N-Q 1 bondindexfunds_final.htm VANGUARD BOND INDEX FUNDS bondindexfunds_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: September 30, 2010

Item 1: Schedule of Investments


Vanguard Short-Term Bond Index Fund

Schedule of Investments
As of September 30, 2010

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (72.4%)         
U.S. Government Securities (58.2%)         
United States Treasury Note/Bond  0.875%  4/30/11  114  114 
United States Treasury Note/Bond  1.000%  7/31/11  248,194  249,668 
United States Treasury Note/Bond  4.875%  7/31/11  233,530  242,435 
United States Treasury Note/Bond  1.000%  8/31/11  83,004  83,549 
United States Treasury Note/Bond  4.625%  8/31/11  51,190  53,214 
United States Treasury Note/Bond  1.000%  9/30/11  95,865  96,525 
United States Treasury Note/Bond  4.500%  9/30/11  82,605  86,051 
United States Treasury Note/Bond  1.000%  10/31/11  137,030  138,058 
United States Treasury Note/Bond  4.625%  10/31/11  19,695  20,612 
United States Treasury Note/Bond  1.750%  11/15/11  132,175  134,282 
United States Treasury Note/Bond  0.750%  11/30/11  130,725  131,379 
United States Treasury Note/Bond  4.500%  11/30/11  30,855  32,350 
United States Treasury Note/Bond  1.125%  12/15/11  160,745  162,277 
United States Treasury Note/Bond  1.000%  12/31/11  156,280  157,599 
United States Treasury Note/Bond  4.625%  12/31/11  27,200  28,662 
United States Treasury Note/Bond  1.125%  1/15/12  236,005  238,438 
United States Treasury Note/Bond  0.875%  1/31/12  208,400  209,898 
United States Treasury Note/Bond  4.750%  1/31/12  54,915  58,167 
United States Treasury Note/Bond  1.375%  2/15/12  64,335  65,260 
United States Treasury Note/Bond  0.875%  2/29/12  61,175  61,634 
United States Treasury Note/Bond  4.625%  2/29/12  68,505  72,648 
United States Treasury Note/Bond  1.000%  3/31/12  7,700  7,775 
United States Treasury Note/Bond  4.500%  3/31/12  131,815  140,032 
United States Treasury Note/Bond  1.375%  4/15/12  20,525  20,843 
United States Treasury Note/Bond  1.000%  4/30/12  141,525  142,940 
United States Treasury Note/Bond  4.500%  4/30/12  77,355  82,432 
United States Treasury Note/Bond  1.375%  5/15/12  218,385  221,899 
United States Treasury Note/Bond  0.750%  5/31/12  224,715  226,050 
United States Treasury Note/Bond  4.750%  5/31/12  119,265  127,912 
United States Treasury Note/Bond  1.875%  6/15/12  149,925  153,768 
United States Treasury Note/Bond  0.625%  6/30/12  52,345  52,550 
United States Treasury Note/Bond  4.875%  6/30/12  59,970  64,693 
United States Treasury Note/Bond  1.500%  7/15/12  8,300  8,466 
United States Treasury Note/Bond  0.625%  7/31/12  42,482  42,654 
United States Treasury Note/Bond  4.625%  7/31/12  126,865  136,736 
United States Treasury Note/Bond  1.750%  8/15/12  315,645  323,536 
United States Treasury Note/Bond  4.375%  8/15/12  2,460  2,644 
United States Treasury Note/Bond  0.375%  8/31/12  4,275  4,271 
United States Treasury Note/Bond  4.125%  8/31/12  31,625  33,868 
United States Treasury Note/Bond  1.375%  9/15/12  411,995  419,720 
United States Treasury Note/Bond  0.375%  9/30/12  83,636  83,545 
United States Treasury Note/Bond  1.375%  10/15/12  51,490  52,455 
United States Treasury Note/Bond  3.875%  10/31/12  58,690  62,909 
United States Treasury Note/Bond  1.375%  11/15/12  372,267  379,362 
United States Treasury Note/Bond  4.000%  11/15/12  68,685  73,922 
United States Treasury Note/Bond  3.375%  11/30/12  19,350  20,580 
United States Treasury Note/Bond  1.125%  12/15/12  229,370  232,595 
United States Treasury Note/Bond  1.375%  1/15/13  348,090  354,944 


United States Treasury Note/Bond  1.375%  2/15/13  163,268  166,533 
United States Treasury Note/Bond  3.875%  2/15/13  6,090  6,583 
United States Treasury Note/Bond  2.750%  2/28/13  63,549  67,005 
United States Treasury Note/Bond  1.750%  4/15/13  111,425  114,802 
United States Treasury Note/Bond  1.375%  5/15/13  70,225  71,696 
United States Treasury Note/Bond  3.500%  5/31/13  149,120  160,909 
United States Treasury Note/Bond  1.125%  6/15/13  110,683  112,257 
United States Treasury Note/Bond  3.375%  6/30/13  26,075  28,080 
United States Treasury Note/Bond  3.375%  7/31/13  4,205  4,537 
United States Treasury Note/Bond  0.750%  8/15/13  5,800  5,823 
United States Treasury Note/Bond  4.250%  8/15/13  48,195  53,226 
United States Treasury Note/Bond  3.125%  8/31/13  75,705  81,194 
United States Treasury Note/Bond  0.750%  9/15/13  11,000  11,036 
United States Treasury Note/Bond  3.125%  9/30/13  260,050  279,187 
United States Treasury Note/Bond  2.750%  10/31/13  240,480  255,736 
United States Treasury Note/Bond  2.000%  11/30/13  104,775  109,064 
United States Treasury Note/Bond  1.500%  12/31/13  91,645  93,921 
United States Treasury Note/Bond  1.750%  1/31/14  128,645  132,866 
United States Treasury Note/Bond  4.000%  2/15/14  27,335  30,299 
United States Treasury Note/Bond  1.875%  2/28/14  278,485  288,711 
United States Treasury Note/Bond  1.750%  3/31/14  329,165  339,863 
United States Treasury Note/Bond  1.875%  4/30/14  246,125  255,278 
United States Treasury Note/Bond  2.250%  5/31/14  243,510  255,914 
United States Treasury Note/Bond  2.625%  6/30/14  336,355  358,164 
United States Treasury Note/Bond  2.625%  7/31/14  349,460  372,119 
United States Treasury Note/Bond  2.375%  8/31/14  33,950  35,823 
United States Treasury Note/Bond  2.375%  9/30/14  111,675  117,887 
United States Treasury Note/Bond  2.375%  10/31/14  355,785  375,577 
United States Treasury Note/Bond  2.125%  11/30/14  229,550  239,951 
United States Treasury Note/Bond  2.625%  12/31/14  82,565  87,984 
United States Treasury Note/Bond  2.250%  1/31/15  23,660  24,836 
United States Treasury Note/Bond  2.375%  2/28/15  245,152  258,559 
United States Treasury Note/Bond  2.500%  3/31/15  383,718  406,860 
United States Treasury Note/Bond  2.500%  4/30/15  101,697  107,830 
United States Treasury Note/Bond  2.125%  5/31/15  67,825  70,729 
United States Treasury Note/Bond  1.875%  6/30/15  226,803  233,750 
United States Treasury Note/Bond  1.750%  7/31/15  217,235  222,462 
United States Treasury Note/Bond  1.250%  8/31/15  145,033  145,033 
United States Treasury Note/Bond  1.250%  9/30/15  362,988  362,534 
        12,140,539 
Agency Bonds and Notes (14.2%)         
1 Ally Financial Inc.  1.750%  10/30/12  7,300  7,469 
1 Ally Financial Inc.  2.200%  12/19/12  10,150  10,493 
1 American Express Bank FSB  3.150%  12/9/11  15,675  16,181 
1 Bank of America Corp.  2.100%  4/30/12  27,175  27,865 
1 Bank of America Corp.  3.125%  6/15/12  37,125  38,649 
1 Bank of America Corp.  2.375%  6/22/12  7,675  7,917 
1 Bank of America NA  1.700%  12/23/10  7,500  7,524 
1 Bank of the West  2.150%  3/27/12  4,050  4,152 
1 Citibank NA  1.625%  3/30/11  3,550  3,574 
1 Citibank NA  1.875%  5/7/12  7,050  7,202 
1 Citibank NA  1.750%  12/28/12  13,700  14,029 
1 Citigroup Funding Inc.  2.000%  3/30/12  3,550  3,624 
1 Citigroup Funding Inc.  2.125%  7/12/12  21,425  22,024 
1 Citigroup Funding Inc.  1.875%  10/22/12  8,912  9,142 


1  Citigroup Funding Inc.  2.250%  12/10/12  3,000  3,104 
1  Citigroup Inc.  2.875%  12/9/11  22,820  23,480 
1  Citigroup Inc.  2.125%  4/30/12  73,525  75,397 
2  Federal Agricultural Mortgage Corp.  2.125%  9/15/15  1,925  1,948 
2  Federal Farm Credit Bank  2.000%  1/17/12  5,000  5,106 
2  Federal Farm Credit Bank  2.250%  4/24/12  3,800  3,906 
2  Federal Farm Credit Bank  2.125%  6/18/12  8,700  8,944 
2  Federal Farm Credit Bank  4.500%  10/17/12  24,200  26,125 
2  Federal Farm Credit Bank  1.875%  12/7/12  6,200  6,360 
2  Federal Farm Credit Bank  1.750%  2/21/13  5,700  5,842 
2  Federal Farm Credit Bank  1.375%  6/25/13  10,000  10,164 
2  Federal Farm Credit Bank  3.875%  10/7/13  17,500  19,069 
2  Federal Farm Credit Bank  2.625%  4/17/14  5,500  5,799 
2  Federal Farm Credit Bank  3.000%  9/22/14  3,500  3,744 
2  Federal Home Loan Banks  4.875%  11/18/11  46,750  49,125 
2  Federal Home Loan Banks  0.750%  12/21/11  40,000  40,180 
2  Federal Home Loan Banks  1.000%  12/28/11  64,725  65,221 
2  Federal Home Loan Banks  1.125%  5/18/12  37,125  37,526 
2  Federal Home Loan Banks  1.375%  6/8/12  5,100  5,175 
2  Federal Home Loan Banks  1.875%  6/20/12  17,500  17,921 
2  Federal Home Loan Banks  0.875%  8/22/12  52,100  52,457 
2  Federal Home Loan Banks  1.750%  8/22/12  8,000  8,188 
2  Federal Home Loan Banks  1.625%  9/26/12  21,000  21,454 
2,3 Federal Home Loan Banks  2.000%  10/5/12  42,720  42,728 
2  Federal Home Loan Banks  4.500%  11/15/12  30,000  32,450 
2  Federal Home Loan Banks  1.750%  12/14/12  10,600  10,845 
2  Federal Home Loan Banks  1.500%  1/16/13  31,975  32,577 
2  Federal Home Loan Banks  1.625%  3/20/13  40,900  41,835 
2  Federal Home Loan Banks  1.875%  6/21/13  77,305  79,627 
2  Federal Home Loan Banks  5.125%  8/14/13  17,935  20,132 
2  Federal Home Loan Banks  4.000%  9/6/13  21,850  23,899 
2  Federal Home Loan Banks  5.250%  9/13/13  5,425  6,113 
2  Federal Home Loan Banks  4.500%  9/16/13  3,000  3,323 
2  Federal Home Loan Banks  3.625%  10/18/13  30,600  33,151 
2  Federal Home Loan Banks  4.875%  11/27/13  2,950  3,300 
2  Federal Home Loan Banks  3.125%  12/13/13  16,425  17,539 
2  Federal Home Loan Banks  2.500%  6/13/14  9,675  10,158 
2  Federal Home Loan Banks  5.500%  8/13/14  18,900  22,041 
2  Federal Home Loan Banks  4.500%  11/14/14  9,050  10,190 
2  Federal Home Loan Banks  2.750%  12/12/14  2,650  2,809 
2,3 Federal Home Loan Mortgage Corp.  4.500%  11/15/11  9,000  9,416 
2  Federal Home Loan Mortgage Corp.  1.125%  12/15/11  45,000  45,419 
2  Federal Home Loan Mortgage Corp.  4.750%  3/5/12  13,000  13,800 
2  Federal Home Loan Mortgage Corp.  2.125%  3/23/12  36,375  37,271 
2  Federal Home Loan Mortgage Corp.  1.750%  6/15/12  42,000  42,905 
2  Federal Home Loan Mortgage Corp.  5.125%  7/15/12  20,600  22,283 
2  Federal Home Loan Mortgage Corp.  5.500%  8/20/12  30,000  32,782 
2  Federal Home Loan Mortgage Corp.  1.000%  8/28/12  6,425  6,479 
2  Federal Home Loan Mortgage Corp.  2.125%  9/21/12  50,830  52,408 
2  Federal Home Loan Mortgage Corp.  4.625%  10/25/12  36,300  39,304 
2  Federal Home Loan Mortgage Corp.  4.125%  12/21/12  22,850  24,599 
2  Federal Home Loan Mortgage Corp.  1.625%  4/15/13  16,000  16,373 
2  Federal Home Loan Mortgage Corp.  4.500%  7/15/13  90,350  99,504 
2  Federal Home Loan Mortgage Corp.  4.125%  9/27/13  14,075  15,425 
2  Federal Home Loan Mortgage Corp.  0.875%  10/28/13  8,600  8,604 


2  Federal Home Loan Mortgage Corp.  2.500%  1/7/14  37,725  39,567 
2  Federal Home Loan Mortgage Corp.  4.500%  1/15/14  15,000  16,706 
2  Federal Home Loan Mortgage Corp.  5.000%  1/30/14  9,000  10,167 
2  Federal Home Loan Mortgage Corp.  2.500%  4/23/14  19,000  19,941 
2  Federal Home Loan Mortgage Corp.  5.000%  7/15/14  9,500  10,849 
2  Federal Home Loan Mortgage Corp.  3.000%  7/28/14  41,950  44,817 
2  Federal Home Loan Mortgage Corp.  2.875%  2/9/15  49,950  53,148 
2  Federal Home Loan Mortgage Corp.  1.750%  9/10/15  17,650  17,804 
2  Federal National Mortgage Assn.  5.000%  10/15/11  25,000  26,202 
2  Federal National Mortgage Assn.  1.000%  11/23/11  15,215  15,318 
2  Federal National Mortgage Assn.  1.000%  4/4/12  48,850  49,261 
2  Federal National Mortgage Assn.  1.875%  4/20/12  41,425  42,337 
2  Federal National Mortgage Assn.  4.875%  5/18/12  42,200  45,223 
2  Federal National Mortgage Assn.  1.250%  6/22/12  47,360  47,986 
2  Federal National Mortgage Assn.  1.125%  7/30/12  23,750  24,020 
2  Federal National Mortgage Assn.  5.250%  8/1/12  4,300  4,639 
2  Federal National Mortgage Assn.  1.750%  8/10/12  7,350  7,524 
2  Federal National Mortgage Assn.  4.375%  9/15/12  16,450  17,672 
2  Federal National Mortgage Assn.  0.625%  9/24/12  10,475  10,497 
2,3 Federal National Mortgage Assn.  1.600%  10/1/12  8,950  8,950 
2  Federal National Mortgage Assn.  4.750%  11/19/12  15,000  16,307 
2  Federal National Mortgage Assn.  3.625%  2/12/13  39,825  42,541 
2  Federal National Mortgage Assn.  4.750%  2/21/13  14,925  16,325 
2  Federal National Mortgage Assn.  4.375%  3/15/13  6,500  7,076 
2  Federal National Mortgage Assn.  0.850%  4/8/13  6,500  6,501 
2  Federal National Mortgage Assn.  4.625%  5/1/13  10,550  11,416 
2  Federal National Mortgage Assn.  1.750%  5/7/13  24,550  25,189 
2  Federal National Mortgage Assn.  1.250%  8/20/13  59,325  60,072 
2  Federal National Mortgage Assn.  1.000%  9/23/13  50,000  50,223 
2  Federal National Mortgage Assn.  4.625%  10/15/13  9,850  10,958 
2  Federal National Mortgage Assn.  5.125%  1/2/14  9,550  10,569 
2  Federal National Mortgage Assn.  2.750%  2/5/14  4,900  5,185 
2  Federal National Mortgage Assn.  2.750%  3/13/14  62,675  66,325 
2  Federal National Mortgage Assn.  4.125%  4/15/14  22,000  24,330 
2  Federal National Mortgage Assn.  2.500%  5/15/14  32,550  34,154 
2  Federal National Mortgage Assn.  3.000%  9/16/14  37,375  39,956 
2  Federal National Mortgage Assn.  4.625%  10/15/14  18,225  20,659 
2  Federal National Mortgage Assn.  2.625%  11/20/14  15,125  15,951 
2  Federal National Mortgage Assn.  5.000%  4/15/15  25,000  28,938 
2  Federal National Mortgage Assn.  2.375%  7/28/15  30,900  32,145 
1  General Electric Capital Corp.  1.800%  3/11/11  14,700  14,801 
1  General Electric Capital Corp.  3.000%  12/9/11  10,850  11,177 
1  General Electric Capital Corp.  2.250%  3/12/12  8,450  8,664 
1  General Electric Capital Corp.  2.200%  6/8/12  21,925  22,533 
1  General Electric Capital Corp.  2.000%  9/28/12  28,000  28,780 
1  General Electric Capital Corp.  2.125%  12/21/12  3,200  3,303 
1  General Electric Capital Corp.  2.625%  12/28/12  28,500  29,735 
1  Goldman Sachs Group Inc.  1.700%  3/15/11  6,950  6,996 
1  Goldman Sachs Group Inc.  2.150%  3/15/12  10,000  10,244 
1  Goldman Sachs Group Inc.  3.250%  6/15/12  31,500  32,946 
1  HSBC USA Inc.  3.125%  12/16/11  8,225  8,492 
1  John Deere Capital Corp.  2.875%  6/19/12  4,000  4,162 
1  JPMorgan Chase & Co.  1.650%  2/23/11  14,000  14,075 
1  JPMorgan Chase & Co.  3.125%  12/1/11  27,175  28,037 
1  JPMorgan Chase & Co.  2.200%  6/15/12  22,900  23,550 


1  JPMorgan Chase & Co.  2.125%  12/26/12  6,250  6,465 
1  Morgan Stanley  2.900%  12/1/10  11,500  11,552 
1  Morgan Stanley  3.250%  12/1/11  11,850  12,239 
1  Morgan Stanley  2.250%  3/13/12  7,400  7,590 
1  Morgan Stanley  1.950%  6/20/12  13,225  13,548 
1  PNC Funding Corp.  2.300%  6/22/12  8,025  8,269 
  Private Export Funding Corp.  3.050%  10/15/14  900  962 
1  Regions Bank  2.750%  12/10/10  8,900  8,942 
1  Regions Bank  3.250%  12/9/11  10,000  10,333 
1  Sovereign Bank  2.750%  1/17/12  2,950  3,037 
1  State Street Corp.  2.150%  4/30/12  5,150  5,284 
1  US Bancorp  2.250%  3/13/12  4,500  4,615 
14 US Central Federal Credit Union  1.900%  10/19/12  6,375  6,536 
1  Wells Fargo & Co.  3.000%  12/9/11  15,975  16,460 
1  Wells Fargo & Co.  2.125%  6/15/12  9,475  9,737 
14 Western Corporate Federal Credit Union  1.750%  11/2/12  3,100  3,165 
          2,949,046 
Total U.S. Government and Agency Obligations (Cost $14,684,472)      15,089,585 
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)       
4  BA Covered Bond Issuer  5.500%  6/14/12  6,800  7,227 
4  Cie de Financement Foncier  2.125%  4/22/13  3,600  3,664 
3,5 Countrywide Home Loan Mortgage Pass         
  Through Trust  2.934%  5/25/33  237  190 
4  Nationwide Building Society  5.500%  7/18/12  2,700  2,859 
4  Royal Bank of Canada  3.125%  4/14/15  5,750  6,129 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $19,091)    20,069 
Corporate Bonds (20.1%)         
Finance (9.0%)         
  Banking (6.4%)         
  American Express Bank FSB  5.550%  10/17/12  13,150  14,165 
  American Express Bank FSB  5.500%  4/16/13  2,000  2,180 
  American Express Centurion Bank  5.550%  10/17/12  550  593 
  American Express Credit Corp.  5.875%  5/2/13  7,750  8,525 
  American Express Credit Corp.  7.300%  8/20/13  5,475  6,280 
  American Express Credit Corp.  5.125%  8/25/14  14,500  16,015 
  American Express Credit Corp.  2.750%  9/15/15  4,175  4,200 
4  American Express Travel Related Services         
  Co. Inc.  5.250%  11/21/11  2,325  2,421 
  Banco Bradesco SA  8.750%  10/24/13  1,500  1,770 
  Banco Santander Chile  2.875%  11/13/12  850  858 
  Bank of America Corp.  4.250%  10/1/10  10,500  10,501 
  Bank of America Corp.  5.375%  9/11/12  6,175  6,582 
  Bank of America Corp.  4.875%  9/15/12  6,550  6,916 
  Bank of America Corp.  4.875%  1/15/13  1,500  1,593 
  Bank of America Corp.  4.900%  5/1/13  5,300  5,659 
  Bank of America Corp.  7.375%  5/15/14  13,200  15,168 
  Bank of America Corp.  5.375%  6/15/14  3,425  3,715 
  Bank of America Corp.  5.125%  11/15/14  5,150  5,556 
  Bank of America Corp.  4.500%  4/1/15  14,700  15,430 
  Bank of America Corp.  3.700%  9/1/15  3,875  3,920 
  Bank of Montreal  2.125%  6/28/13  3,875  3,989 
  Bank of New York Mellon Corp.  4.950%  1/14/11  2,825  2,861 
  Bank of New York Mellon Corp.  6.375%  4/1/12  1,000  1,081 
  Bank of New York Mellon Corp.  4.950%  11/1/12  18,400  19,964 


Bank of New York Mellon Corp.  4.500%  4/1/13  2,200  2,387 
Bank of New York Mellon Corp.  5.125%  8/27/13  2,830  3,150 
Bank of New York Mellon Corp.  4.300%  5/15/14  4,625  5,079 
Bank of New York Mellon Corp.  4.950%  3/15/15  1,700  1,901 
Bank of Nova Scotia  2.250%  1/22/13  7,475  7,684 
Bank of Nova Scotia  2.375%  12/17/13  6,500  6,724 
Bank of Nova Scotia  3.400%  1/22/15  5,000  5,329 
Bank of Nova Scotia  2.050%  10/7/15  350  350 
Bank One Corp.  5.900%  11/15/11  1,500  1,582 
Bank One Corp.  4.900%  4/30/15  2,375  2,569 
Barclays Bank PLC  5.450%  9/12/12  5,375  5,818 
Barclays Bank PLC  2.500%  1/23/13  13,550  13,848 
Barclays Bank PLC  5.200%  7/10/14  8,825  9,786 
BB&T Corp.  3.850%  7/27/12  2,825  2,960 
BB&T Corp.  4.750%  10/1/12  1,500  1,588 
BB&T Corp.  3.375%  9/25/13  3,275  3,441 
BB&T Corp.  5.700%  4/30/14  1,700  1,912 
BB&T Corp.  5.200%  12/23/15  1,200  1,328 
Bear Stearns Cos. LLC  4.500%  10/28/10  4,500  4,512 
Bear Stearns Cos. LLC  5.350%  2/1/12  5,775  6,114 
Bear Stearns Cos. LLC  6.950%  8/10/12  1,600  1,768 
Bear Stearns Cos. LLC  5.700%  11/15/14  2,825  3,189 
BNP Paribas  3.250%  3/11/15  5,975  6,226 
BNP Paribas / BNP Paribas US Medium-Term         
Note Program LLC  2.125%  12/21/12  6,175  6,303 
BNY Mellon NA  4.750%  12/15/14  1,300  1,448 
Canadian Imperial Bank of Commerce  1.450%  9/13/13  4,550  4,577 
Capital One Financial Corp.  4.800%  2/21/12  50  52 
Capital One Financial Corp.  7.375%  5/23/14  15,725  18,361 
Citigroup Inc.  5.250%  2/27/12  8,800  9,246 
Citigroup Inc.  5.625%  8/27/12  8,500  8,976 
Citigroup Inc.  5.300%  10/17/12  16,800  17,891 
Citigroup Inc.  5.500%  4/11/13  28,000  30,090 
Citigroup Inc.  6.500%  8/19/13  7,700  8,517 
Citigroup Inc.  6.000%  12/13/13  12,700  13,956 
Citigroup Inc.  5.125%  5/5/14  2,525  2,688 
Citigroup Inc.  6.375%  8/12/14  10,550  11,718 
Citigroup Inc.  5.000%  9/15/14  14,275  14,897 
Citigroup Inc.  5.500%  10/15/14  8,375  9,121 
Citigroup Inc.  6.010%  1/15/15  6,700  7,368 
Citigroup Inc.  4.750%  5/19/15  8,225  8,664 
Citigroup Inc.  4.700%  5/29/15  2,600  2,729 
Comerica Inc.  4.800%  5/1/15  1,500  1,597 
Comerica Inc.  3.000%  9/16/15  1,900  1,924 
Countrywide Financial Corp.  5.800%  6/7/12  3,850  4,094 
Credit Suisse USA Inc.  6.125%  11/15/11  8,400  8,882 
Credit Suisse USA Inc.  6.500%  1/15/12  14,575  15,614 
Credit Suisse USA Inc.  5.500%  8/15/13  975  1,083 
Credit Suisse USA Inc.  4.875%  1/15/15  5,755  6,368 
Credit Suisse  3.450%  7/2/12  21,400  22,266 
Credit Suisse  5.000%  5/15/13  10,300  11,223 
Credit Suisse  5.500%  5/1/14  16,450  18,431 
Credit Suisse  3.500%  3/23/15  6,950  7,311 
Deutsche Bank AG  3.875%  8/18/14  1,200  1,284 
Deutsche Bank AG  5.375%  10/12/12  19,650  21,417 


Deutsche Bank AG  2.375%  1/11/13  6,600  6,761 
Deutsche Bank AG  4.875%  5/20/13  8,550  9,310 
Deutsche Bank AG  3.450%  3/30/15  10,350  10,882 
FIA Card Services NA  6.625%  6/15/12  1,000  1,067 
Fifth Third Bancorp  6.250%  5/1/13  5,175  5,671 
Fifth Third Bank/Ohio  4.750%  2/1/15  2,800  2,961 
First Tennessee Bank NA  5.050%  1/15/15  1,850  1,863 
Golden West Financial Corp.  4.750%  10/1/12  4,425  4,717 
3 Goldman Sachs Capital II  5.793%  12/29/49  6,250  5,289 
Goldman Sachs Group Inc.  6.600%  1/15/12  24,000  25,613 
Goldman Sachs Group Inc.  5.300%  2/14/12  3,725  3,926 
Goldman Sachs Group Inc.  3.625%  8/1/12  1,800  1,874 
Goldman Sachs Group Inc.  5.700%  9/1/12  3,250  3,507 
Goldman Sachs Group Inc.  5.450%  11/1/12  3,050  3,293 
Goldman Sachs Group Inc.  5.250%  4/1/13  2,250  2,427 
Goldman Sachs Group Inc.  4.750%  7/15/13  10,750  11,524 
Goldman Sachs Group Inc.  5.250%  10/15/13  5,125  5,568 
Goldman Sachs Group Inc.  5.150%  1/15/14  3,575  3,882 
Goldman Sachs Group Inc.  6.000%  5/1/14  36,425  40,584 
Goldman Sachs Group Inc.  5.125%  1/15/15  4,400  4,773 
Goldman Sachs Group Inc.  3.700%  8/1/15  14,350  14,720 
HSBC Bank USA NA  4.625%  4/1/14  1,125  1,207 
HSBC Holdings PLC  5.250%  12/12/12  6,500  6,982 
4 ICICI Bank Ltd.  6.625%  10/3/12  6,275  6,738 
JPMorgan Chase & Co.  6.625%  3/15/12  3,725  4,009 
JPMorgan Chase & Co.  5.375%  10/1/12  48,375  52,358 
JPMorgan Chase & Co.  5.750%  1/2/13  1,900  2,068 
JPMorgan Chase & Co.  4.750%  5/1/13  5,325  5,779 
JPMorgan Chase & Co.  1.650%  9/30/13  4,875  4,881 
JPMorgan Chase & Co.  4.650%  6/1/14  9,300  10,182 
JPMorgan Chase & Co.  5.125%  9/15/14  5,275  5,790 
JPMorgan Chase & Co.  3.700%  1/20/15  9,725  10,278 
JPMorgan Chase & Co.  4.750%  3/1/15  2,050  2,244 
JPMorgan Chase & Co.  5.250%  5/1/15  3,975  4,354 
JPMorgan Chase & Co.  3.400%  6/24/15  5,225  5,440 
JPMorgan Chase & Co.  5.150%  10/1/15  3,000  3,278 
KeyBank NA  5.500%  9/17/12  1,025  1,094 
KeyBank NA  5.800%  7/1/14  3,000  3,273 
KeyBank NA  4.950%  9/15/15  1,000  1,063 
KeyCorp  6.500%  5/14/13  2,975  3,256 
M&I Marshall & Ilsley Bank  5.250%  9/4/12  1,850  1,891 
M&T Bank Corp.  5.375%  5/24/12  300  317 
MBNA Corp.  7.500%  3/15/12  2,400  2,593 
MBNA Corp.  6.125%  3/1/13  675  733 
3 Mellon Capital IV  6.244%  6/29/49  1,750  1,599 
Mellon Funding Corp.  5.000%  12/1/14  4,600  5,148 
Merrill Lynch & Co. Inc.  6.050%  8/15/12  21,275  22,851 
Merrill Lynch & Co. Inc.  5.450%  2/5/13  9,725  10,423 
Merrill Lynch & Co. Inc.  6.150%  4/25/13  6,050  6,605 
Merrill Lynch & Co. Inc.  5.450%  7/15/14  3,950  4,264 
Merrill Lynch & Co. Inc.  5.000%  1/15/15  10,400  11,027 
Morgan Stanley  5.625%  1/9/12  12,125  12,751 
Morgan Stanley  6.600%  4/1/12  3,865  4,156 
Morgan Stanley  5.750%  8/31/12  5,800  6,232 
Morgan Stanley  5.250%  11/2/12  14,175  15,147 


  Morgan Stanley  5.300%  3/1/13  10,650  11,470 
  Morgan Stanley  4.750%  4/1/14  7,650  7,939 
  Morgan Stanley  6.000%  5/13/14  13,375  14,722 
  Morgan Stanley  4.200%  11/20/14  19,575  20,341 
  Morgan Stanley  4.100%  1/26/15  2,000  2,069 
  Morgan Stanley  6.000%  4/28/15  5,875  6,476 
  Morgan Stanley  4.000%  7/24/15  3,000  3,074 
  Morgan Stanley  5.375%  10/15/15  7,050  7,587 
  National City Bank  4.625%  5/1/13  2,275  2,421 
3  National City Preferred Capital Trust I  12.000%  12/31/49  2,825  3,153 
  North Fork Bancorporation Inc.  5.875%  8/15/12  600  636 
  Northern Trust Corp.  5.500%  8/15/13  1,875  2,111 
  Northern Trust Corp.  4.625%  5/1/14  2,200  2,432 
  Paribas  6.950%  7/22/13  775  882 
  PNC Funding Corp.  5.125%  12/14/10  2,950  2,976 
  PNC Funding Corp.  3.625%  2/8/15  15,475  16,324 
  Regions Financial Corp.  7.750%  11/10/14  2,700  2,967 
  Regions Financial Corp.  5.750%  6/15/15  4,500  4,584 
  Royal Bank of Canada  2.100%  7/29/13  11,400  11,756 
  Royal Bank of Scotland Group PLC  5.050%  1/8/15  7,425  7,453 
  Royal Bank of Scotland PLC  3.400%  8/23/13  2,200  2,254 
4  Royal Bank of Scotland PLC  4.875%  8/25/14  4,000  4,198 
  Royal Bank of Scotland PLC  4.875%  3/16/15  8,600  9,050 
  Royal Bank of Scotland PLC  3.950%  9/21/15  6,525  6,598 
  SouthTrust Corp.  5.800%  6/15/14  1,350  1,477 
  Sovereign Bank  5.125%  3/15/13  1,600  1,674 
3  State Street Capital Trust III  8.250%  3/15/42  2,500  2,534 
  State Street Corp.  4.300%  5/30/14  1,000  1,098 
  Sumitomo Mitsui Banking Corp.  8.000%  6/15/12  3,300  3,658 
  SunTrust Banks Inc.  5.250%  11/5/12  2,750  2,912 
  UBS AG  3.875%  1/15/15  10,400  10,835 
  UFJ Finance Aruba AEC  6.750%  7/15/13  5,550  6,305 
3,4 Unicredit Luxembourg Finance SA  5.584%  1/13/17  500  490 
  US Bancorp  2.000%  6/14/13  9,250  9,468 
  US Bancorp  4.200%  5/15/14  8,600  9,398 
  US Bancorp  3.150%  3/4/15  800  847 
  US Bank NA  6.375%  8/1/11  4,700  4,923 
  US Bank NA  4.950%  10/30/14  1,350  1,506 
  US Bank NA  6.300%  2/4/14  1,850  2,125 
  Wachovia Bank NA  4.800%  11/1/14  4,425  4,804 
  Wachovia Corp.  5.300%  10/15/11  6,975  7,316 
  Wachovia Corp.  5.500%  5/1/13  9,330  10,260 
  Wachovia Corp.  5.250%  8/1/14  4,150  4,527 
  Wells Fargo & Co.  4.875%  1/12/11  3,800  3,846 
  Wells Fargo & Co.  5.250%  10/23/12  20,225  21,873 
  Wells Fargo & Co.  4.375%  1/31/13  16,000  17,099 
  Wells Fargo & Co.  4.950%  10/16/13  4,975  5,420 
  Wells Fargo & Co.  3.750%  10/1/14  6,100  6,478 
  Wells Fargo & Co.  3.625%  4/15/15  7,900  8,397 
  Wells Fargo Bank NA  4.750%  2/9/15  8,150  8,758 
3  Wells Fargo Capital XIII  7.700%  12/29/49  9,825  10,157 
3  Wells Fargo Capital XV  9.750%  12/29/49  10,344  11,391 
  Westpac Banking Corp.  2.250%  11/19/12  20,075  20,441 
  Westpac Banking Corp.  4.200%  2/27/15  3,875  4,166 


Westpac Banking Corp.  3.000%  8/4/15  10,025  10,229 
 
Brokerage (0.1%)         
BlackRock Inc.  2.250%  12/10/12  1,500  1,543 
BlackRock Inc.  3.500%  12/10/14  3,300  3,504 
Charles Schwab Corp.  4.950%  6/1/14  5,684  6,298 
Franklin Resources Inc.  2.000%  5/20/13  2,350  2,402 
Franklin Resources Inc.  3.125%  5/20/15  1,400  1,476 
Invesco Ltd.  5.375%  2/27/13  975  1,045 
Lazard Group LLC  7.125%  5/15/15  1,875  2,045 
Nomura Holdings Inc.  5.000%  3/4/15  5,350  5,780 
TD Ameritrade Holding Corp.  2.950%  12/1/12  1,050  1,079 
TD Ameritrade Holding Corp.  4.150%  12/1/14  1,775  1,887 
 
Finance Companies (1.1%)         
Block Financial LLC  7.875%  1/15/13  1,950  2,122 
Block Financial LLC  5.125%  10/30/14  3,000  3,079 
GATX Corp.  4.750%  10/1/12  800  844 
GATX Corp.  8.750%  5/15/14  1,000  1,181 
General Electric Capital Corp.  6.125%  2/22/11  12,325  12,593 
General Electric Capital Corp.  5.000%  11/15/11  6,250  6,547 
General Electric Capital Corp.  4.375%  11/21/11  2,750  2,866 
General Electric Capital Corp.  5.875%  2/15/12  4,285  4,565 
General Electric Capital Corp.  4.375%  3/3/12  4,325  4,528 
General Electric Capital Corp.  6.000%  6/15/12  17,350  18,750 
General Electric Capital Corp.  3.500%  8/13/12  24,475  25,475 
General Electric Capital Corp.  5.250%  10/19/12  18,750  20,240 
General Electric Capital Corp.  2.800%  1/8/13  200  206 
General Electric Capital Corp.  5.450%  1/15/13  6,975  7,588 
General Electric Capital Corp.  4.800%  5/1/13  16,925  18,250 
General Electric Capital Corp.  1.875%  9/16/13  6,475  6,491 
General Electric Capital Corp.  5.900%  5/13/14  2,750  3,116 
General Electric Capital Corp.  5.500%  6/4/14  4,525  5,039 
General Electric Capital Corp.  5.650%  6/9/14  4,500  5,063 
General Electric Capital Corp.  3.750%  11/14/14  15,700  16,619 
General Electric Capital Corp.  3.500%  6/29/15  6,000  6,280 
HSBC Finance Corp.  6.375%  10/15/11  800  843 
HSBC Finance Corp.  7.000%  5/15/12  5,525  5,972 
HSBC Finance Corp.  5.900%  6/19/12  10,975  11,703 
HSBC Finance Corp.  6.375%  11/27/12  14,525  15,876 
HSBC Finance Corp.  4.750%  7/15/13  4,675  4,976 
SLM Corp.  5.400%  10/25/11  3,525  3,595 
SLM Corp.  5.125%  8/27/12  2,500  2,526 
SLM Corp.  5.375%  1/15/13  2,400  2,411 
SLM Corp.  5.000%  10/1/13  4,350  4,267 
SLM Corp.  5.375%  5/15/14  1,850  1,818 
SLM Corp.  5.050%  11/14/14  1,400  1,342 
 
Insurance (1.1%)         
ACE INA Holdings Inc.  5.875%  6/15/14  2,754  3,130 
ACE INA Holdings Inc.  5.600%  5/15/15  2,050  2,325 
Aegon NV  4.750%  6/1/13  2,500  2,648 
Allstate Corp.  6.125%  2/15/12  1,450  1,548 
Allstate Life Global Funding Trusts  5.375%  4/30/13  11,075  12,239 
American International Group Inc.  5.375%  10/18/11  800  820 


American International Group Inc.  4.950%  3/20/12  1,475  1,519 
American International Group Inc.  4.250%  5/15/13  7,250  7,468 
AON Corp.  3.500%  9/30/15  1,750  1,782 
Assurant Inc.  5.625%  2/15/14  3,575  3,825 
Axis Capital Holdings Ltd.  5.750%  12/1/14  1,800  1,921 
Berkshire Hathaway Finance Corp.  4.000%  4/15/12  17,350  18,209 
Berkshire Hathaway Finance Corp.  4.600%  5/15/13  7,325  7,982 
Berkshire Hathaway Finance Corp.  5.000%  8/15/13  4,875  5,401 
Berkshire Hathaway Finance Corp.  4.850%  1/15/15  3,075  3,466 
Berkshire Hathaway Inc.  1.400%  2/10/12  8,275  8,355 
Berkshire Hathaway Inc.  2.125%  2/11/13  2,200  2,263 
Berkshire Hathaway Inc.  3.200%  2/11/15  4,675  4,958 
Chubb Corp.  5.200%  4/1/13  3,000  3,281 
CNA Financial Corp.  5.850%  12/15/14  1,575  1,693 
Coventry Health Care Inc.  6.300%  8/15/14  4,500  4,815 
Genworth Financial Inc.  5.750%  6/15/14  3,325  3,441 
Hartford Financial Services Group Inc.  5.250%  10/15/11  4,200  4,357 
Jefferson-Pilot Corp.  4.750%  1/30/14  2,400  2,535 
Lincoln National Corp.  6.200%  12/15/11  1,550  1,641 
Lincoln National Corp.  5.650%  8/27/12  225  241 
Lincoln National Corp.  4.300%  6/15/15  2,000  2,113 
Manulife Financial Corp.  3.400%  9/17/15  4,025  4,071 
Marsh & McLennan Cos. Inc.  6.250%  3/15/12  2,175  2,297 
Marsh & McLennan Cos. Inc.  4.850%  2/15/13  2,000  2,116 
Marsh & McLennan Cos. Inc.  5.375%  7/15/14  1,500  1,615 
MetLife Inc.  5.375%  12/15/12  2,850  3,083 
MetLife Inc.  5.000%  11/24/13  2,050  2,247 
MetLife Inc.  2.375%  2/6/14  4,175  4,218 
MetLife Inc.  5.000%  6/15/15  1,825  2,019 
4 Metropolitan Life Global Funding I  2.875%  9/17/12  2,575  2,650 
OneBeacon US Holdings Inc.  5.875%  5/15/13  1,625  1,706 
Principal Financial Group Inc.  7.875%  5/15/14  4,600  5,410 
Principal Life Income Funding Trusts  5.300%  12/14/12  1,900  2,066 
Principal Life Income Funding Trusts  5.300%  4/24/13  2,350  2,579 
Progressive Corp.  6.375%  1/15/12  850  907 
Protective Life Secured Trusts  5.450%  9/28/12  1,290  1,382 
Prudential Financial Inc.  5.100%  12/14/11  1,200  1,256 
Prudential Financial Inc.  5.800%  6/15/12  1,700  1,817 
Prudential Financial Inc.  3.625%  9/17/12  4,700  4,884 
Prudential Financial Inc.  5.150%  1/15/13  10,050  10,762 
Prudential Financial Inc.  4.500%  7/15/13  450  478 
Prudential Financial Inc.  4.750%  4/1/14  1,475  1,579 
Prudential Financial Inc.  5.100%  9/20/14  1,325  1,446 
Prudential Financial Inc.  3.875%  1/14/15  2,750  2,885 
Prudential Financial Inc.  6.200%  1/15/15  4,675  5,259 
Prudential Financial Inc.  4.750%  9/17/15  3,100  3,363 
Travelers Cos. Inc.  5.375%  6/15/12  700  751 
Travelers Property Casualty Corp.  5.000%  3/15/13  2,500  2,726 
UnitedHealth Group Inc.  5.500%  11/15/12  5,000  5,411 
UnitedHealth Group Inc.  4.875%  2/15/13  1,625  1,750 
UnitedHealth Group Inc.  4.875%  4/1/13  1,625  1,755 
UnitedHealth Group Inc.  5.000%  8/15/14  4,975  5,472 
WellPoint Health Networks Inc.  6.375%  1/15/12  1,650  1,758 
WellPoint Inc.  5.000%  1/15/11  1,950  1,973 
WellPoint Inc.  6.800%  8/1/12  1,150  1,262 


WellPoint Inc.  6.000%  2/15/14  1,700  1,926 
WellPoint Inc.  5.000%  12/15/14  1,475  1,635 
Willis North America Inc.  5.625%  7/15/15  1,900  2,031 
XL Capital Finance Europe PLC  6.500%  1/15/12  2,160  2,262 
XL Group PLC  5.250%  9/15/14  1,400  1,498 
 
Other Finance (0.1%)         
CME Group Inc.  5.400%  8/1/13  4,400  4,925 
CME Group Inc.  5.750%  2/15/14  2,000  2,272 
NASDAQ OMX Group Inc.  4.000%  1/15/15  1,750  1,810 
NYSE Euronext  4.800%  6/28/13  2,700  2,947 
ORIX Corp.  5.480%  11/22/11  4,425  4,595 
 
Real Estate Investment Trusts (0.2%)         
Arden Realty LP  5.250%  3/1/15  1,250  1,362 
AvalonBay Communities Inc.  5.500%  1/15/12  1,054  1,107 
Boston Properties LP  6.250%  1/15/13  5,600  6,163 
Brandywine Operating Partnership LP  5.750%  4/1/12  765  793 
Brandywine Operating Partnership LP  5.400%  11/1/14  1,650  1,717 
4 Digital Realty Trust LP  4.500%  7/15/15  475  493 
Duke Realty LP  6.250%  5/15/13  1,500  1,623 
Duke Realty LP  7.375%  2/15/15  2,650  3,013 
ERP Operating LP  6.625%  3/15/12  1,350  1,443 
ERP Operating LP  5.500%  10/1/12  2,000  2,152 
ERP Operating LP  5.200%  4/1/13  1,000  1,085 
ERP Operating LP  5.250%  9/15/14  1,350  1,500 
HCP Inc.  5.950%  9/15/11  625  653 
HCP Inc.  6.450%  6/25/12  750  799 
HCP Inc.  5.650%  12/15/13  2,250  2,421 
Health Care REIT Inc.  6.000%  11/15/13  2,775  3,036 
Healthcare Realty Trust Inc.  5.125%  4/1/14  1,400  1,480 
Hospitality Properties Trust  7.875%  8/15/14  1,775  1,989 
Liberty Property LP  5.125%  3/2/15  4,500  4,902 
Nationwide Health Properties Inc.  6.250%  2/1/13  1,850  1,996 
ProLogis  7.625%  8/15/14  1,400  1,509 
Regency Centers LP  6.750%  1/15/12  2,300  2,452 
Simon Property Group LP  6.750%  5/15/14  500  575 
Simon Property Group LP  4.200%  2/1/15  4,400  4,716 
        1,873,030 
Industrial (9.6%)         
Basic Industry (0.9%)         
Airgas Inc.  4.500%  9/15/14  1,525  1,625 
Airgas Inc.  3.250%  10/1/15  2,950  2,957 
Alcoa Inc.  5.375%  1/15/13  650  690 
^ Alcoa Inc.  6.000%  7/15/13  3,725  4,048 
ArcelorMittal  5.375%  6/1/13  8,050  8,659 
ArcelorMittal  9.000%  2/15/15  7,100  8,570 
ArcelorMittal  3.750%  8/5/15  575  581 
ArcelorMittal USA Inc.  6.500%  4/15/14  2,500  2,760 
Barrick Gold Financeco LLC  6.125%  9/15/13  5,450  6,214 
BHP Billiton Finance USA Ltd.  5.125%  3/29/12  475  503 
BHP Billiton Finance USA Ltd.  4.800%  4/15/13  3,000  3,267 
BHP Billiton Finance USA Ltd.  5.500%  4/1/14  12,350  13,912 
Celulosa Arauco y Constitucion SA  5.625%  4/20/15  3,475  3,805 
Dow Chemical Co.  4.850%  8/15/12  10,050  10,630 


Dow Chemical Co.  6.000%  10/1/12  3,000  3,249 
Dow Chemical Co.  7.600%  5/15/14  13,975  16,333 
Dow Chemical Co.  5.900%  2/15/15  1,600  1,787 
EI du Pont de Nemours & Co.  5.000%  1/15/13  2,267  2,469 
EI du Pont de Nemours & Co.  5.000%  7/15/13  4,500  4,993 
EI du Pont de Nemours & Co.  5.875%  1/15/14  1,700  1,942 
EI du Pont de Nemours & Co.  4.875%  4/30/14  2,550  2,852 
Freeport-McMoRan Copper & Gold Inc.  8.250%  4/1/15  5,000  5,350 
ICI Wilmington Inc.  5.625%  12/1/13  1,600  1,784 
International Paper Co.  7.400%  6/15/14  3,000  3,458 
Lubrizol Corp.  5.500%  10/1/14  1,850  2,035 
Monsanto Co.  7.375%  8/15/12  1,200  1,335 
4 Mosaic Co.  7.375%  12/1/14  775  812 
Nucor Corp.  5.000%  12/1/12  925  1,001 
Nucor Corp.  5.000%  6/1/13  1,200  1,309 
Potash Corp. of Saskatchewan Inc.  3.750%  9/30/15  3,000  3,125 
PPG Industries Inc.  5.750%  3/15/13  1,875  2,052 
Praxair Inc.  6.375%  4/1/12  1,250  1,353 
Praxair Inc.  1.750%  11/15/12  1,150  1,172 
Praxair Inc.  3.950%  6/1/13  825  886 
Praxair Inc.  4.375%  3/31/14  1,125  1,235 
Praxair Inc.  5.250%  11/15/14  2,750  3,150 
Praxair Inc.  4.625%  3/30/15  1,625  1,824 
Rio Tinto Alcan Inc.  4.500%  5/15/13  775  831 
Rio Tinto Alcan Inc.  5.200%  1/15/14  1,500  1,638 
Rio Tinto Finance USA Ltd.  5.875%  7/15/13  11,325  12,618 
Rio Tinto Finance USA Ltd.  8.950%  5/1/14  17,550  21,666 
Sherwin-Williams Co.  3.125%  12/15/14  1,900  2,017 
Teck Resources Ltd.  9.750%  5/15/14  4,115  5,067 
WMC Finance USA Ltd.  5.125%  5/15/13  1,600  1,752 
Xstrata Canada Corp.  7.350%  6/5/12  1,000  1,081 
Xstrata Canada Corp.  7.250%  7/15/12  1,500  1,635 
 
Capital Goods (1.0%)         
3M Co.  4.500%  11/1/11  3,000  3,131 
3M Co.  4.375%  8/15/13  2,000  2,200 
Bemis Co. Inc.  4.875%  4/1/12  1,600  1,667 
Bemis Co. Inc.  5.650%  8/1/14  2,875  3,237 
Black & Decker Corp.  4.750%  11/1/14  1,025  1,123 
Boeing Capital Corp.  6.500%  2/15/12  4,700  5,067 
Boeing Capital Corp.  5.800%  1/15/13  750  829 
Boeing Capital Corp.  3.250%  10/27/14  2,725  2,913 
Boeing Co.  1.875%  11/20/12  2,750  2,808 
Boeing Co.  3.500%  2/15/15  3,325  3,597 
Caterpillar Financial Services Corp.  4.250%  2/8/13  700  751 
Caterpillar Financial Services Corp.  2.000%  4/5/13  800  819 
Caterpillar Financial Services Corp.  6.200%  9/30/13  2,350  2,694 
Caterpillar Financial Services Corp.  6.125%  2/17/14  30,900  35,574 
Cooper US Inc.  5.250%  11/15/12  5,250  5,689 
CRH America Inc.  5.625%  9/30/11  2,500  2,605 
CRH America Inc.  6.950%  3/15/12  2,000  2,135 
CRH America Inc.  5.300%  10/15/13  2,075  2,221 
Deere & Co.  6.950%  4/25/14  1,325  1,574 
Eaton Corp.  4.900%  5/15/13  3,850  4,201 
Emerson Electric Co.  4.625%  10/15/12  3,200  3,437 


General Dynamics Corp.  4.250%  5/15/13  3,800  4,124 
General Dynamics Corp.  5.250%  2/1/14  4,100  4,641 
General Electric Co.  5.000%  2/1/13  27,500  29,828 
Harsco Corp.  2.700%  10/15/15  3,400  3,408 
Honeywell International Inc.  6.125%  11/1/11  2,000  2,116 
Honeywell International Inc.  5.625%  8/1/12  775  843 
Honeywell International Inc.  4.250%  3/1/13  2,050  2,218 
Honeywell International Inc.  3.875%  2/15/14  8,900  9,676 
Illinois Tool Works Inc.  5.150%  4/1/14  2,150  2,438 
Ingersoll-Rand Global Holding Co. Ltd.  6.000%  8/15/13  1,800  2,020 
Ingersoll-Rand Global Holding Co. Ltd.  9.500%  4/15/14  6,700  8,211 
John Deere Capital Corp.  5.400%  10/17/11  1,325  1,391 
John Deere Capital Corp.  7.000%  3/15/12  19,650  21,434 
John Deere Capital Corp.  5.250%  10/1/12  575  625 
John Deere Capital Corp.  4.950%  12/17/12  2,300  2,497 
John Deere Capital Corp.  2.950%  3/9/15  1,025  1,083 
Lockheed Martin Corp.  4.121%  3/14/13  6,500  6,982 
Roper Industries Inc.  6.625%  8/15/13  1,650  1,864 
Tyco International Finance SA  4.125%  10/15/14  4,000  4,355 
United Technologies Corp.  6.100%  5/15/12  1,000  1,085 
United Technologies Corp.  4.875%  5/1/15  2,300  2,631 
Vulcan Materials Co.  6.300%  6/15/13  1,250  1,357 
Waste Management Inc.  5.000%  3/15/14  2,075  2,281 
Waste Management Inc.  6.375%  3/11/15  1,600  1,872 
 
Communication (2.0%)         
Alltel Corp.  7.000%  7/1/12  1,120  1,233 
America Movil SAB de CV  5.750%  1/15/15  1,525  1,731 
American Tower Corp.  4.625%  4/1/15  1,775  1,891 
AT&T Corp.  7.300%  11/15/11  12,700  13,612 
AT&T Inc.  6.250%  3/15/11  3,075  3,153 
AT&T Inc.  5.875%  2/1/12  4,725  5,033 
AT&T Inc.  5.875%  8/15/12  1,825  1,988 
AT&T Inc.  4.950%  1/15/13  8,175  8,886 
AT&T Inc.  6.700%  11/15/13  10,525  12,181 
AT&T Inc.  4.850%  2/15/14  7,925  8,792 
AT&T Inc.  5.100%  9/15/14  13,800  15,498 
AT&T Inc.  2.500%  8/15/15  3,875  3,955 
AT&T Mobility LLC  6.500%  12/15/11  1,000  1,067 
BellSouth Corp.  5.200%  9/15/14  200  224 
British Telecommunications PLC  5.150%  1/15/13  6,775  7,238 
CBS Corp.  5.625%  8/15/12  2,225  2,364 
CBS Corp.  8.200%  5/15/14  3,500  4,166 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.250%  2/1/12  2,000  2,120 
Cellco Partnership / Verizon Wireless Capital         
LLC  7.375%  11/15/13  5,675  6,716 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.550%  2/1/14  26,000  29,355 
CenturyLink Inc.  7.875%  8/15/12  3,000  3,284 
CenturyLink Inc.  5.000%  2/15/15  700  731 
Comcast Cable Communications Holdings         
Inc.  8.375%  3/15/13  4,965  5,773 
Comcast Cable Communications LLC  6.750%  1/30/11  14,675  14,967 
COX Communications Inc.  7.125%  10/1/12  4,000  4,423 


COX Communications Inc.  4.625%  6/1/13  6,435  6,932 
COX Communications Inc.  5.450%  12/15/14  1,450  1,641 
Deutsche Telekom International Finance BV  5.250%  7/22/13  4,015  4,413 
Deutsche Telekom International Finance BV  5.875%  8/20/13  4,525  5,065 
Deutsche Telekom International Finance BV  4.875%  7/8/14  1,100  1,212 
DIRECTV Holdings LLC  3.550%  3/15/15  7,100  7,381 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.750%  10/1/14  1,875  2,045 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  6.375%  6/15/15  3,500  3,618 
France Telecom SA  4.375%  7/8/14  4,475  4,940 
France Telecom SA  2.125%  9/16/15  600  605 
McGraw-Hill Cos. Inc.  5.375%  11/15/12  2,475  2,635 
4 NBC Universal Inc.  2.100%  4/1/14  5,000  5,002 
4 NBC Universal Inc.  3.650%  4/30/15  2,000  2,103 
New Cingular Wireless Services Inc.  8.125%  5/1/12  16,575  18,431 
News America Holdings Inc.  9.250%  2/1/13  2,825  3,302 
News America Inc.  5.300%  12/15/14  1,450  1,643 
Qwest Corp.  8.875%  3/15/12  12,525  13,762 
Reed Elsevier Capital Inc.  7.750%  1/15/14  3,900  4,554 
Rogers Communications Inc.  7.250%  12/15/12  6,500  7,334 
Rogers Communications Inc.  6.375%  3/1/14  3,000  3,457 
Rogers Communications Inc.  5.500%  3/15/14  2,150  2,403 
RR Donnelley & Sons Co.  4.950%  4/1/14  2,550  2,646 
Telecom Italia Capital SA  4.875%  10/1/10  1,000  1,000 
Telecom Italia Capital SA  5.250%  11/15/13  6,675  7,177 
Telecom Italia Capital SA  6.175%  6/18/14  9,950  11,012 
Telecom Italia Capital SA  4.950%  9/30/14  7,514  8,017 
Telefonica Emisiones SAU  5.855%  2/4/13  7,000  7,626 
Telefonica Emisiones SAU  2.582%  4/26/13  2,000  2,043 
Telefonica Emisiones SAU  4.949%  1/15/15  1,550  1,703 
Telefonica Emisiones SAU  3.729%  4/27/15  8,350  8,735 
Thomson Reuters Corp.  5.950%  7/15/13  3,925  4,417 
Thomson Reuters Corp.  5.700%  10/1/14  2,650  3,035 
Time Warner Cable Inc.  5.400%  7/2/12  9,300  9,964 
Time Warner Cable Inc.  6.200%  7/1/13  7,750  8,720 
Time Warner Cable Inc.  7.500%  4/1/14  7,700  9,038 
Time Warner Cable Inc.  3.500%  2/1/15  1,125  1,180 
Time Warner Entertainment Co. LP  8.875%  10/1/12  1,000  1,135 
Verizon Communications Inc.  4.350%  2/15/13  6,025  6,500 
Verizon Communications Inc.  5.250%  4/15/13  18,300  20,230 
Verizon Florida LLC  6.125%  1/15/13  1,500  1,640 
Verizon Global Funding Corp.  6.875%  6/15/12  2,500  2,751 
Verizon Global Funding Corp.  7.375%  9/1/12  4,450  4,985 
Verizon Global Funding Corp.  4.375%  6/1/13  250  272 
Verizon New Jersey Inc.  5.875%  1/17/12  3,700  3,922 
Verizon New York Inc.  6.875%  4/1/12  2,000  2,167 
Verizon Pennsylvania Inc.  5.650%  11/15/11  2,000  2,101 
Verizon Virginia Inc.  4.625%  3/15/13  3,600  3,868 
Vodafone Group PLC  5.350%  2/27/12  9,025  9,557 
Vodafone Group PLC  4.150%  6/10/14  4,025  4,350 
Vodafone Group PLC  3.375%  11/24/15  2,375  2,492 
WPP Finance UK  5.875%  6/15/14  3,475  3,847 
WPP Finance UK  8.000%  9/15/14  4,075  4,853 


Consumer Cyclical (0.8%)         
AutoZone Inc.  6.500%  1/15/14  5,000  5,644 
Best Buy Co. Inc.  6.750%  7/15/13  3,350  3,750 
Costco Wholesale Corp.  5.300%  3/15/12  4,000  4,268 
CVS Caremark Corp.  4.875%  9/15/14  4,725  5,242 
CVS Caremark Corp.  3.250%  5/18/15  2,950  3,088 
3 CVS Caremark Corp.  6.302%  6/1/37  2,500  2,329 
Daimler Finance North America LLC  5.750%  9/8/11  6,000  6,267 
Daimler Finance North America LLC  7.300%  1/15/12  3,475  3,732 
Daimler Finance North America LLC  6.500%  11/15/13  4,850  5,549 
Darden Restaurants Inc.  5.625%  10/15/12  1,300  1,405 
Home Depot Inc.  5.250%  12/16/13  4,625  5,136 
Johnson Controls Inc.  4.875%  9/15/13  1,000  1,089 
Lowe's Cos. Inc.  5.600%  9/15/12  3,200  3,497 
Marriott International Inc.  4.625%  6/15/12  1,175  1,230 
Marriott International Inc.  5.625%  2/15/13  1,425  1,518 
McDonald's Corp.  5.750%  3/1/12  1,800  1,920 
McDonald's Corp.  4.300%  3/1/13  2,000  2,162 
Nordstrom Inc.  6.750%  6/1/14  1,150  1,338 
PACCAR Financial Corp.  1.950%  12/17/12  2,150  2,189 
PACCAR Financial Corp.  2.050%  6/17/13  650  664 
PACCAR Inc.  6.875%  2/15/14  4,450  5,201 
Staples Inc.  9.750%  1/15/14  16,325  20,121 
Target Corp.  6.350%  1/15/11  4,900  4,981 
Target Corp.  5.125%  1/15/13  1,075  1,177 
Target Corp.  4.000%  6/15/13  825  891 
Time Warner Inc.  3.150%  7/15/15  4,100  4,247 
Toll Brothers Finance Corp.  6.875%  11/15/12  59  63 
Toll Brothers Finance Corp.  5.950%  9/15/13  45  47 
Toll Brothers Finance Corp.  5.150%  5/15/15  1,900  1,908 
Toyota Motor Credit Corp.  3.200%  6/17/15  5,900  6,249 
Turner Broadcasting System Inc.  8.375%  7/1/13  2,385  2,779 
Viacom Inc.  4.375%  9/15/14  600  652 
Wal-Mart Stores Inc.  4.550%  5/1/13  7,575  8,289 
Wal-Mart Stores Inc.  7.250%  6/1/13  2,300  2,683 
Wal-Mart Stores Inc.  3.200%  5/15/14  7,769  8,334 
Wal-Mart Stores Inc.  2.875%  4/1/15  3,975  4,224 
Wal-Mart Stores Inc.  2.250%  7/8/15  4,250  4,402 
Walgreen Co.  4.875%  8/1/13  8,500  9,417 
Walt Disney Co.  6.375%  3/1/12  1,500  1,618 
Walt Disney Co.  4.700%  12/1/12  7,200  7,787 
Walt Disney Co.  4.500%  12/15/13  325  360 
Walt Disney Co.  6.200%  6/20/14  3,000  3,524 
Western Union Co.  6.500%  2/26/14  3,350  3,831 
Yum! Brands Inc.  7.700%  7/1/12  1,600  1,760 
 
Consumer Noncyclical (2.6%)         
Abbott Laboratories  5.150%  11/30/12  3,325  3,639 
Altria Group Inc.  8.500%  11/10/13  5,100  6,123 
Altria Group Inc.  7.750%  2/6/14  9,500  11,241 
Altria Group Inc.  4.125%  9/11/15  3,925  4,204 
AmerisourceBergen Corp.  5.625%  9/15/12  2,725  2,930 
AmerisourceBergen Corp.  5.875%  9/15/15  1,825  2,094 
Amgen Inc.  4.850%  11/18/14  6,625  7,480 
Anheuser-Busch Cos. Inc.  4.700%  4/15/12  1,500  1,583 


Anheuser-Busch Cos. Inc.  4.375%  1/15/13  1,500  1,600 
Anheuser-Busch InBev Worldwide Inc.  3.000%  10/15/12  12,375  12,824 
Anheuser-Busch InBev Worldwide Inc.  2.500%  3/26/13  8,075  8,273 
Anheuser-Busch InBev Worldwide Inc.  4.125%  1/15/15  7,350  7,893 
AstraZeneca PLC  5.400%  9/15/12  11,875  12,945 
Baxter FinCo BV  4.750%  10/15/10  500  501 
Baxter International Inc.  4.000%  3/1/14  1,650  1,802 
Baxter International Inc.  4.625%  3/15/15  2,750  3,088 
Biogen Idec Inc.  6.000%  3/1/13  4,725  5,156 
Bottling Group LLC  4.625%  11/15/12  4,500  4,842 
Bottling Group LLC  5.000%  11/15/13  1,500  1,672 
Bottling Group LLC  6.950%  3/15/14  9,300  11,044 
Bristol-Myers Squibb Co.  5.250%  8/15/13  1,675  1,868 
Bunge Ltd. Finance Corp.  5.875%  5/15/13  1,600  1,731 
Bunge Ltd. Finance Corp.  5.350%  4/15/14  5,350  5,709 
Bunge Ltd. Finance Corp.  5.100%  7/15/15  1,925  2,032 
Cardinal Health Inc.  5.650%  6/15/12  32  34 
Cardinal Health Inc.  4.000%  6/15/15  1,875  2,003 
CareFusion Corp.  4.125%  8/1/12  600  627 
CareFusion Corp.  5.125%  8/1/14  5,975  6,584 
Cia de Bebidas das Americas  10.500%  12/15/11  1,300  1,435 
Cia de Bebidas das Americas  8.750%  9/15/13  1,050  1,242 
Clorox Co.  5.450%  10/15/12  1,200  1,309 
Clorox Co.  5.000%  3/1/13  2,000  2,183 
Clorox Co.  5.000%  1/15/15  3,700  4,145 
Coca-Cola Co.  3.625%  3/15/14  3,075  3,311 
Coca-Cola Enterprises Inc.  3.750%  3/1/12  2,000  2,086 
Coca-Cola HBC Finance BV  5.125%  9/17/13  1,800  1,964 
Coca-Cola HBC Finance BV  5.500%  9/17/15  2,000  2,243 
Coca-Cola Refreshments USA Inc.  5.000%  8/15/13  2,300  2,546 
Coca-Cola Refreshments USA Inc.  7.375%  3/3/14  5,375  6,473 
Coca-Cola Refreshments USA Inc.  4.250%  3/1/15  1,700  1,885 
Colgate-Palmolive Co.  5.980%  4/25/12  1,250  1,352 
ConAgra Foods Inc.  5.875%  4/15/14  450  513 
Corn Products International Inc.  3.200%  11/1/15  350  357 
Covidien International Finance SA  5.450%  10/15/12  2,425  2,640 
Covidien International Finance SA  1.875%  6/15/13  4,000  4,065 
Delhaize Group SA  5.875%  2/1/14  400  452 
Diageo Capital PLC  5.200%  1/30/13  5,036  5,512 
Diageo Finance BV  5.500%  4/1/13  1,500  1,659 
Dr Pepper Snapple Group Inc.  1.700%  12/21/11  1,625  1,639 
Dr Pepper Snapple Group Inc.  2.350%  12/21/12  1,600  1,639 
Dr Pepper Snapple Group Inc.  6.120%  5/1/13  325  364 
Eli Lilly & Co.  3.550%  3/6/12  3,400  3,540 
Eli Lilly & Co.  6.000%  3/15/12  2,775  2,989 
Eli Lilly & Co.  4.200%  3/6/14  2,425  2,649 
Express Scripts Inc.  5.250%  6/15/12  3,950  4,212 
Express Scripts Inc.  6.250%  6/15/14  10,550  12,106 
Fortune Brands Inc.  3.000%  6/1/12  1,725  1,757 
Fortune Brands Inc.  4.875%  12/1/13  1,000  1,074 
Fortune Brands Inc.  6.375%  6/15/14  3,375  3,815 
General Mills Inc.  6.000%  2/15/12  1,300  1,390 
General Mills Inc.  5.650%  9/10/12  3,050  3,328 
General Mills Inc.  5.250%  8/15/13  7,325  8,170 
General Mills Inc.  5.200%  3/17/15  8,200  9,387 


GlaxoSmithKline Capital Inc.  4.850%  5/15/13  12,250  13,467 
GlaxoSmithKline Capital Inc.  4.375%  4/15/14  2,100  2,320 
Hasbro Inc.  6.125%  5/15/14  3,000  3,282 
HJ Heinz Co.  5.350%  7/15/13  1,300  1,438 
HJ Heinz Finance Co.  6.000%  3/15/12  1,500  1,605 
Hospira Inc.  5.900%  6/15/14  675  763 
Johnson & Johnson  5.150%  8/15/12  1,650  1,788 
Kellogg Co.  5.125%  12/3/12  5,000  5,426 
Kellogg Co.  4.250%  3/6/13  4,175  4,484 
Kimberly-Clark Corp.  5.625%  2/15/12  2,075  2,210 
Kimberly-Clark Corp.  4.875%  8/15/15  175  202 
Koninklijke Philips Electronics NV  4.625%  3/11/13  1,450  1,571 
Kraft Foods Inc.  5.625%  11/1/11  5,150  5,409 
Kraft Foods Inc.  6.250%  6/1/12  7,525  8,168 
Kraft Foods Inc.  2.625%  5/8/13  11,425  11,798 
Kraft Foods Inc.  5.250%  10/1/13  3,200  3,536 
Kraft Foods Inc.  6.750%  2/19/14  7,450  8,660 
Kroger Co.  6.750%  4/15/12  3,050  3,309 
Kroger Co.  6.200%  6/15/12  2,525  2,742 
Kroger Co.  5.500%  2/1/13  1,425  1,560 
Kroger Co.  5.000%  4/15/13  1,550  1,687 
Kroger Co.  7.500%  1/15/14  8,800  10,409 
Laboratory Corp. of America Holdings  5.500%  2/1/13  875  944 
Life Technologies Corp.  4.400%  3/1/15  2,875  3,074 
McKesson Corp.  7.750%  2/1/12  1,475  1,599 
McKesson Corp.  5.250%  3/1/13  2,025  2,201 
Mead Johnson Nutrition Co.  3.500%  11/1/14  5,225  5,519 
Medco Health Solutions Inc.  6.125%  3/15/13  4,125  4,567 
Medco Health Solutions Inc.  7.250%  8/15/13  400  461 
Medco Health Solutions Inc.  2.750%  9/15/15  200  203 
Medtronic Inc.  4.500%  3/15/14  1,975  2,187 
Medtronic Inc.  3.000%  3/15/15  5,000  5,288 
Merck & Co. Inc.  5.125%  11/15/11  1,850  1,945 
Merck & Co. Inc.  5.300%  12/1/13  4,375  4,931 
Merck & Co. Inc.  4.750%  3/1/15  4,875  5,537 
Newell Rubbermaid Inc.  5.500%  4/15/13  2,500  2,719 
Novartis Capital Corp.  1.900%  4/24/13  6,500  6,666 
Novartis Capital Corp.  4.125%  2/10/14  7,450  8,135 
Novartis Capital Corp.  2.900%  4/24/15  2,550  2,684 
PepsiAmericas Inc.  5.750%  7/31/12  800  871 
PepsiAmericas Inc.  4.375%  2/15/14  1,675  1,842 
PepsiAmericas Inc.  4.875%  1/15/15  1,525  1,727 
PepsiCo Inc.  5.150%  5/15/12  3,250  3,488 
PepsiCo Inc.  3.100%  1/15/15  2,900  3,095 
PepsiCo Inc.  4.650%  2/15/13  3,025  3,294 
PepsiCo Inc.  3.750%  3/1/14  6,275  6,784 
Pfizer Inc.  4.450%  3/15/12  33,625  35,442 
Pfizer Inc.  4.500%  2/15/14  925  1,021 
Pfizer Inc.  5.350%  3/15/15  9,550  11,014 
Philip Morris International Inc.  4.875%  5/16/13  15,525  17,057 
Philip Morris International Inc.  6.875%  3/17/14  3,825  4,514 
Procter & Gamble Co.  1.375%  8/1/12  5,000  5,072 
Procter & Gamble Co.  3.500%  2/15/15  3,525  3,834 
Reynolds American Inc.  7.250%  6/1/12  3,850  4,158 
Reynolds American Inc.  7.250%  6/1/13  1,500  1,678 


Safeway Inc.  5.800%  8/15/12  3,050  3,303 
Safeway Inc.  6.250%  3/15/14  6,000  6,890 
St. Jude Medical Inc.  2.200%  9/15/13  3,125  3,193 
St. Jude Medical Inc.  3.750%  7/15/14  2,950  3,165 
Stryker Corp.  3.000%  1/15/15  1,500  1,578 
Sysco Corp.  4.200%  2/12/13  600  644 
Teva Pharmaceutical Finance II BV / Teva         
Pharmaceutical Finance III LLC  3.000%  6/15/15  2,100  2,197 
Teva Pharmaceutical Finance III LLC  1.500%  6/15/12  5,500  5,562 
Thermo Fisher Scientific Inc.  2.150%  12/28/12  1,300  1,325 
Thermo Fisher Scientific Inc.  3.250%  11/20/14  1,275  1,346 
Thermo Fisher Scientific Inc.  3.200%  5/1/15  1,600  1,685 
Unilever Capital Corp.  7.125%  11/1/10  4,550  4,572 
Unilever Capital Corp.  3.650%  2/15/14  1,350  1,453 
UST LLC  6.625%  7/15/12  1,000  1,088 
Watson Pharmaceuticals Inc.  5.000%  8/15/14  4,000  4,373 
Whirlpool Corp.  5.500%  3/1/13  4,225  4,546 
Whirlpool Corp.  8.600%  5/1/14  1,100  1,312 
Wyeth  5.500%  3/15/13  5,600  6,194 
Wyeth  5.500%  2/1/14  2,750  3,119 
 
Energy (1.1%)         
Anadarko Petroleum Corp.  7.625%  3/15/14  5,375  6,047 
Anadarko Petroleum Corp.  5.750%  6/15/14  900  963 
Apache Corp.  6.250%  4/15/12  1,000  1,079 
Apache Corp.  5.250%  4/15/13  1,500  1,639 
Apache Corp.  6.000%  9/15/13  1,675  1,884 
Baker Hughes Inc.  6.500%  11/15/13  3,600  4,146 
BP Capital Markets PLC  3.125%  3/10/12  5,275  5,375 
BP Capital Markets PLC  5.250%  11/7/13  11,350  12,365 
BP Capital Markets PLC  3.625%  5/8/14  5,500  5,692 
BP Capital Markets PLC  3.875%  3/10/15  8,425  8,782 
BP Capital Markets PLC  3.125%  10/1/15  7,525  7,586 
Burlington Resources Finance Co.  6.500%  12/1/11  500  533 
Canadian Natural Resources Ltd.  5.450%  10/1/12  3,550  3,821 
Canadian Natural Resources Ltd.  5.150%  2/1/13  500  541 
Canadian Natural Resources Ltd.  4.900%  12/1/14  550  612 
Cenovus Energy Inc.  4.500%  9/15/14  8,950  9,873 
Chevron Corp.  3.450%  3/3/12  2,950  3,073 
Chevron Corp.  3.950%  3/3/14  13,425  14,685 
ConocoPhillips  4.750%  2/1/14  6,100  6,774 
ConocoPhillips  4.600%  1/15/15  5,300  5,955 
Diamond Offshore Drilling Inc.  5.150%  9/1/14  2,000  2,228 
Encana Corp.  6.300%  11/1/11  1,500  1,585 
Encana Corp.  4.750%  10/15/13  1,125  1,217 
EnCana Holdings Finance Corp.  5.800%  5/1/14  3,250  3,688 
EOG Resources Inc.  6.125%  10/1/13  1,200  1,362 
EOG Resources Inc.  2.950%  6/1/15  1,525  1,599 
Husky Energy Inc.  6.250%  6/15/12  1,000  1,076 
Husky Energy Inc.  5.900%  6/15/14  7,100  7,886 
Marathon Global Funding Corp.  6.000%  7/1/12  900  970 
Marathon Oil Corp.  6.125%  3/15/12  700  749 
Nexen Inc.  5.050%  11/20/13  5,175  5,624 
Noble Holding International Ltd.  3.450%  8/1/15  5,000  5,210 
Occidental Petroleum Corp.  7.000%  11/1/13  2,500  2,941 


PC Financial Partnership  5.000%  11/15/14  2,000  2,192 
Petro-Canada  4.000%  7/15/13  3,210  3,390 
Shell International Finance BV  1.875%  3/25/13  7,900  8,076 
Shell International Finance BV  4.000%  3/21/14  21,850  23,662 
Shell International Finance BV  3.100%  6/28/15  1,950  2,053 
Statoil ASA  3.875%  4/15/14  1,150  1,249 
Statoil ASA  2.900%  10/15/14  3,500  3,673 
Sunoco Inc.  4.875%  10/15/14  950  997 
Talisman Energy Inc.  5.125%  5/15/15  2,150  2,382 
Total Capital SA  3.000%  6/24/15  5,125  5,378 
Transocean Inc.  5.250%  3/15/13  3,400  3,570 
Valero Energy Corp.  6.875%  4/15/12  3,000  3,225 
Valero Energy Corp.  4.750%  6/15/13  3,000  3,192 
Valero Energy Corp.  4.500%  2/1/15  300  320 
Weatherford International Inc.  5.950%  6/15/12  5,750  6,159 
Weatherford International Ltd. Bermuda  5.150%  3/15/13  4,175  4,494 
XTO Energy Inc.  5.900%  8/1/12  8,850  9,686 
XTO Energy Inc.  4.900%  2/1/14  2,000  2,241 
XTO Energy Inc.  5.000%  1/31/15  2,375  2,727 
 
Other Industrial (0.0%)         
Connecticut State Health & Educ. Fac. Auth.         
(Yale Univ.)  2.900%  10/15/14  1,825  1,936 
 
Technology (1.0%)         
Adobe Systems Inc.  3.250%  2/1/15  2,925  3,061 
Agilent Technologies Inc.  4.450%  9/14/12  1,700  1,791 
Agilent Technologies Inc.  5.500%  9/14/15  500  562 
Amphenol Corp.  4.750%  11/15/14  2,775  3,006 
Analog Devices Inc.  5.000%  7/1/14  850  935 
Arrow Electronics Inc.  6.875%  7/1/13  800  890 
Cisco Systems Inc.  2.900%  11/17/14  8,900  9,451 
Computer Sciences Corp.  5.500%  3/15/13  725  787 
Dell Inc.  3.375%  6/15/12  2,900  3,022 
Dell Inc.  4.700%  4/15/13  3,250  3,540 
Dell Inc.  1.400%  9/10/13  1,800  1,806 
Dell Inc.  2.300%  9/10/15  2,250  2,264 
Dun & Bradstreet Corp.  6.000%  4/1/13  1,700  1,864 
Equifax Inc.  4.450%  12/1/14  1,000  1,065 
Fiserv Inc.  6.125%  11/20/12  8,000  8,758 
Hewlett-Packard Co.  6.500%  7/1/12  1,025  1,128 
Hewlett-Packard Co.  4.500%  3/1/13  30,775  33,323 
Hewlett-Packard Co.  1.250%  9/13/13  3,950  3,968 
Hewlett-Packard Co.  6.125%  3/1/14  3,950  4,556 
Hewlett-Packard Co.  4.750%  6/2/14  3,300  3,680 
Hewlett-Packard Co.  2.125%  9/13/15  2,375  2,392 
HP Enterprise Services LLC  6.000%  8/1/13  2,850  3,238 
IBM International Group Capital LLC  5.050%  10/22/12  16,600  18,046 
International Business Machines Corp.  2.100%  5/6/13  15,700  16,198 
International Business Machines Corp.  1.000%  8/5/13  975  978 
Intuit Inc.  5.400%  3/15/12  950  1,002 
Lexmark International Inc.  5.900%  6/1/13  1,050  1,129 
Maxim Integrated Products Inc.  3.450%  6/14/13  1,200  1,235 
Microsoft Corp.  0.875%  9/27/13  3,300  3,299 
Microsoft Corp.  2.950%  6/1/14  5,775  6,138 


Microsoft Corp.  1.625%  9/25/15  3,500  3,499 
Motorola Inc.  8.000%  11/1/11  3,025  3,227 
Motorola Inc.  5.375%  11/15/12  3,500  3,726 
Oracle Corp.  4.950%  4/15/13  3,400  3,740 
Oracle Corp.  3.750%  7/8/14  11,300  12,264 
Pitney Bowes Inc.  4.625%  10/1/12  2,000  2,117 
Pitney Bowes Inc.  4.875%  8/15/14  2,025  2,178 
Symantec Corp.  2.750%  9/15/15  1,525  1,539 
Tyco Electronics Group SA  6.000%  10/1/12  9,750  10,542 
Xerox Corp.  5.500%  5/15/12  11,750  12,529 
Xerox Corp.  8.250%  5/15/14  2,275  2,725 
Xerox Corp.  4.250%  2/15/15  1,100  1,181 
 
Transportation (0.2%)         
Burlington Northern Santa Fe LLC  5.900%  7/1/12  1,050  1,136 
CSX Corp.  6.300%  3/15/12  2,000  2,145 
CSX Corp.  5.500%  8/1/13  6,100  6,738 
CSX Corp.  6.250%  4/1/15  4,625  5,419 
JB Hunt Transport Services Inc.  3.375%  9/15/15  3,100  3,097 
Norfolk Southern Corp.  5.257%  9/17/14  1,250  1,394 
Ryder System Inc.  6.000%  3/1/13  1,500  1,628 
Ryder System Inc.  5.850%  3/1/14  2,850  3,107 
Ryder System Inc.  7.200%  9/1/15  1,450  1,714 
Southwest Airlines Co.  6.500%  3/1/12  3,225  3,415 
Union Pacific Corp.  6.650%  1/15/11  2,000  2,033 
Union Pacific Corp.  6.500%  4/15/12  2,375  2,573 
Union Pacific Corp.  5.450%  1/31/13  3,490  3,817 
Union Pacific Corp.  5.375%  5/1/14  1,100  1,234 
United Parcel Service Inc.  3.875%  4/1/14  4,625  5,032 
        2,008,594 
Utilities (1.5%)         
Electric (1.2%)         
4 Allegheny Energy Supply Co. LLC  8.250%  4/15/12  3,500  3,771 
Appalachian Power Co.  5.650%  8/15/12  3,875  4,158 
Arizona Public Service Co.  5.800%  6/30/14  500  553 
Arizona Public Service Co.  4.650%  5/15/15  1,775  1,920 
Carolina Power & Light Co.  6.500%  7/15/12  1,000  1,088 
Carolina Power & Light Co.  5.125%  9/15/13  3,305  3,663 
CenterPoint Energy Houston Electric LLC  5.700%  3/15/13  700  773 
CenterPoint Energy Houston Electric LLC  5.750%  1/15/14  500  559 
CenterPoint Energy Houston Electric LLC  7.000%  3/1/14  5,225  6,170 
Commonwealth Edison Co.  6.150%  3/15/12  3,275  3,509 
Commonwealth Edison Co.  4.700%  4/15/15  100  112 
Consolidated Edison Co. of New York Inc.  4.875%  2/1/13  4,000  4,325 
Consolidated Natural Gas Co.  6.250%  11/1/11  1,000  1,055 
Constellation Energy Group Inc.  4.550%  6/15/15  1,850  1,996 
Consumers Energy Co.  5.000%  2/15/12  1,250  1,314 
Consumers Energy Co.  5.375%  4/15/13  750  821 
Dayton Power & Light Co.  5.125%  10/1/13  1,875  2,098 
Dominion Resources Inc.  4.750%  12/15/10  2,125  2,141 
Dominion Resources Inc.  5.150%  7/15/15  1,795  2,047 
Dominion Resources Inc.  5.000%  3/15/13  1,500  1,636 
3 Dominion Resources Inc.  6.300%  9/30/66  3,400  3,236 
Duke Energy Carolinas LLC  6.250%  1/15/12  3,500  3,748 
Duke Energy Carolinas LLC  5.750%  11/15/13  1,500  1,702 


Duke Energy Corp.  6.300%  2/1/14  14,525  16,649 
Duke Energy Corp.  3.350%  4/1/15  1,100  1,163 
Duke Energy Indiana Inc.  5.000%  9/15/13  1,125  1,250 
Duke Energy Ohio Inc.  5.700%  9/15/12  2,400  2,609 
Enersis SA  7.375%  1/15/14  1,000  1,131 
Entergy Arkansas Inc.  5.400%  8/1/13  1,000  1,101 
Exelon Corp.  4.900%  6/15/15  4,875  5,345 
Exelon Generation Co. LLC  5.350%  1/15/14  4,125  4,582 
FirstEnergy Corp.  6.450%  11/15/11  306  319 
FirstEnergy Solutions Corp.  4.800%  2/15/15  4,675  5,026 
Florida Power & Light Co.  4.850%  2/1/13  250  272 
FPL Group Capital Inc.  5.350%  6/15/13  2,835  3,101 
FPL Group Capital Inc.  2.550%  11/15/13  1,675  1,722 
FPL Group Capital Inc.  2.600%  9/1/15  1,900  1,922 
FPL Group Capital Inc.  7.875%  12/15/15  3,500  4,368 
Georgia Power Co.  6.000%  11/1/13  2,000  2,281 
Iberdrola International BV  6.750%  6/15/12  1,750  1,895 
KCP&L Greater Missouri Operations Co.  11.875%  7/1/12  1,400  1,607 
Metropolitan Edison Co.  4.875%  4/1/14  1,000  1,079 
MidAmerican Energy Co.  5.650%  7/15/12  1,150  1,240 
MidAmerican Energy Co.  5.125%  1/15/13  2,000  2,182 
Midamerican Energy Holdings Co.  5.000%  2/15/14  600  654 
National Rural Utilities Cooperative Finance         
Corp.  4.375%  10/1/10  3,100  3,100 
National Rural Utilities Cooperative Finance         
Corp.  7.250%  3/1/12  2,975  3,235 
National Rural Utilities Cooperative Finance         
Corp.  2.625%  9/16/12  975  1,008 
National Rural Utilities Cooperative Finance         
Corp.  5.500%  7/1/13  10,250  11,482 
National Rural Utilities Cooperative Finance         
Corp.  3.875%  9/16/15  3,250  3,521 
Nevada Power Co.  5.875%  1/15/15  1,500  1,711 
Nisource Finance Corp.  6.150%  3/1/13  1,975  2,167 
Northern States Power Co.  1.950%  8/15/15  2,200  2,231 
NSTAR Electric Co.  4.875%  10/15/12  3,925  4,225 
NSTAR Electric Co.  4.875%  4/15/14  1,500  1,673 
Ohio Power Co.  5.750%  9/1/13  1,575  1,747 
Oncor Electric Delivery Co. LLC  5.950%  9/1/13  4,975  5,577 
Oncor Electric Delivery Co. LLC  6.375%  1/15/15  3,000  3,497 
Pacific Gas & Electric Co.  4.800%  3/1/14  11,000  12,143 
PacifiCorp  6.900%  11/15/11  3,650  3,898 
Pepco Holdings Inc.  2.700%  10/1/15  2,200  2,210 
PPL Energy Supply LLC  6.400%  11/1/11  1,000  1,057 
PPL Energy Supply LLC  6.300%  7/15/13  2,175  2,429 
Progress Energy Inc.  7.100%  3/1/11  5,118  5,249 
Progress Energy Inc.  6.850%  4/15/12  775  839 
PSEG Power LLC  6.950%  6/1/12  4,775  5,236 
PSEG Power LLC  2.500%  4/15/13  800  822 
PSEG Power LLC  5.500%  12/1/15  3,000  3,394 
Public Service Co. of Colorado  7.875%  10/1/12  4,625  5,225 
Public Service Co. of Colorado  5.500%  4/1/14  1,000  1,134 
Public Service Electric & Gas Co.  5.375%  9/1/13  2,000  2,240 
Public Service Electric & Gas Co.  2.700%  5/1/15  1,125  1,174 
Sierra Pacific Power Co.  5.450%  9/1/13  3,769  4,133 


Southern California Edison Co.  5.000%  1/15/14  2,000  2,223 
Southern California Edison Co.  4.150%  9/15/14  3,000  3,308 
Southern Co.  5.300%  1/15/12  9,625  10,130 
Southern Co.  4.150%  5/15/14  800  865 
Southern Co.  2.375%  9/15/15  1,000  1,015 
Southern Power Co.  6.250%  7/15/12  1,000  1,091 
Tampa Electric Co.  6.875%  6/15/12  1,000  1,091 
Tampa Electric Co.  6.375%  8/15/12  2,000  2,180 
TransAlta Corp.  4.750%  1/15/15  2,688  2,912 
Virginia Electric and Power Co.  5.100%  11/30/12  6,825  7,427 
Wisconsin Electric Power Co.  6.000%  4/1/14  1,437  1,665 
 
Natural Gas (0.3%)         
Atmos Energy Corp.  4.950%  10/15/14  4,400  4,846 
CenterPoint Energy Resources Corp.  7.875%  4/1/13  1,500  1,730 
DCP Midstream Operating LP  3.250%  10/1/15  1,000  1,005 
Enbridge Inc.  4.900%  3/1/15  4,950  5,544 
Energy Transfer Partners LP  5.650%  8/1/12  1,470  1,558 
Energy Transfer Partners LP  6.000%  7/1/13  4,500  4,928 
Energy Transfer Partners LP  8.500%  4/15/14  3,000  3,544 
6 Enron Corp.  9.125%  4/1/03  2,000  5 
6 Enron Corp.  7.625%  9/10/04  1,000  2 
Enterprise Products Operating LLC  4.600%  8/1/12  5,150  5,400 
Enterprise Products Operating LLC  5.650%  4/1/13  2,200  2,392 
Enterprise Products Operating LLC  5.900%  4/15/13  1,150  1,265 
Enterprise Products Operating LLC  9.750%  1/31/14  2,000  2,453 
Enterprise Products Operating LLC  5.600%  10/15/14  5,375  6,065 
6 HNG Internorth  9.625%  3/15/06  1,500  3 
Kinder Morgan Energy Partners LP  7.125%  3/15/12  550  593 
Kinder Morgan Energy Partners LP  5.850%  9/15/12  4,325  4,671 
Kinder Morgan Energy Partners LP  5.000%  12/15/13  1,500  1,638 
Kinder Morgan Energy Partners LP  5.625%  2/15/15  1,300  1,458 
NuStar Logistics LP  6.050%  3/15/13  2,000  2,160 
Oneok Inc.  5.200%  6/15/15  1,825  2,016 
ONEOK Partners LP  5.900%  4/1/12  3,400  3,630 
Plains All American Pipeline LP / PAA         
Finance Corp.  4.250%  9/1/12  2,000  2,092 
Sempra Energy  6.000%  2/1/13  2,525  2,779 
Spectra Energy Capital LLC  6.250%  2/15/13  3,725  4,064 
Spectra Energy Capital LLC  5.668%  8/15/14  1,000  1,124 
Texas Gas Transmission LLC  4.600%  6/1/15  325  347 
TransCanada PipeLines Ltd.  4.000%  6/15/13  2,225  2,385 
TransCanada PipeLines Ltd.  3.400%  6/1/15  3,100  3,313 
Williams Partners LP  3.800%  2/15/15  1,950  2,052 
 
        319,219 
Total Corporate Bonds (Cost $3,961,656)        4,200,843 
Sovereign Bonds (U.S. Dollar-Denominated) (6.8%)         
African Development Bank  1.000%  11/23/11  4,050  4,075 
African Development Bank  1.750%  10/1/12  875  893 
African Development Bank  1.625%  2/11/13  4,300  4,386 
African Development Bank  3.000%  5/27/14  11,575  12,380 
Asian Development Bank  2.125%  3/15/12  3,350  3,433 
Asian Development Bank  4.500%  9/4/12  5,000  5,373 


Asian Development Bank  1.625%  7/15/13  11,600  11,874 
Asian Development Bank  3.625%  9/5/13  5,850  6,332 
Asian Development Bank  2.750%  5/21/14  14,550  15,433 
Asian Development Bank  2.625%  2/9/15  11,250  11,878 
Brazilian Government International Bond  11.000%  1/11/12  3,875  4,379 
Brazilian Government International Bond  10.250%  6/17/13  4,600  5,725 
Brazilian Government International Bond  10.500%  7/14/14  5,725  7,465 
Brazilian Government International Bond  7.875%  3/7/15  6,825  8,378 
Canada Government International Bond  2.375%  9/10/14  7,725  8,115 
7 Canada Mortgage & Housing Corp.  4.800%  10/1/10  1,500  1,500 
Chile Government International Bond  7.125%  1/11/12  2,650  2,839 
Chile Government International Bond  5.500%  1/15/13  3,550  3,855 
China Development Bank Corp.  4.750%  10/8/14  1,375  1,510 
Corp Andina de Fomento  6.875%  3/15/12  2,300  2,470 
Corp. Andina de Fomento  5.200%  5/21/13  5,575  6,025 
Corp. Andina de Fomento  5.125%  5/5/15  4,025  4,377 
Council Of Europe Development Bank  2.750%  2/10/15  3,700  3,913 
Eksportfinans ASA  5.125%  10/26/11  6,000  6,284 
Eksportfinans ASA  1.875%  4/2/13  5,350  5,459 
Eksportfinans ASA  3.000%  11/17/14  4,825  5,093 
Eksportfinans ASA  2.000%  9/15/15  4,375  4,400 
European Bank for Reconstruction &         
Development  3.625%  6/17/13  3,000  3,211 
European Bank for Reconstruction &         
Development  5.000%  5/19/14  3,400  3,855 
European Bank for Reconstruction &         
Development  2.750%  4/20/15  6,250  6,600 
European Bank for Reconstruction &         
Development  1.625%  9/3/15  1,750  1,751 
European Investment Bank  3.250%  10/14/11  4,775  4,912 
European Investment Bank  2.625%  11/15/11  10,450  10,704 
European Investment Bank  2.000%  2/10/12  60,550  61,705 
European Investment Bank  4.625%  3/21/12  8,700  9,216 
4 European Investment Bank  1.125%  4/16/12  12,500  12,614 
European Investment Bank  1.750%  9/14/12  15,000  15,330 
European Investment Bank  1.625%  3/15/13  4,000  4,090 
European Investment Bank  3.250%  5/15/13  1,050  1,117 
European Investment Bank  1.875%  6/17/13  14,500  14,930 
European Investment Bank  4.250%  7/15/13  16,950  18,571 
European Investment Bank  1.250%  9/17/13  9,650  9,787 
European Investment Bank  2.375%  3/14/14  4,175  4,380 
European Investment Bank  3.000%  4/8/14  8,000  8,508 
European Investment Bank  4.625%  5/15/14  4,350  4,863 
European Investment Bank  3.125%  6/4/14  38,950  41,586 
European Investment Bank  2.875%  1/15/15  11,000  11,662 
European Investment Bank  2.750%  3/23/15  11,225  11,869 
^ European Investment Bank  1.625%  9/1/15  14,475  14,615 
Export Development Canada  2.625%  11/15/11  3,300  3,374 
Export Development Canada  2.375%  3/19/12  6,875  7,051 
7 Export Development Canada  4.500%  10/25/12  7,500  8,067 
Export Development Canada  3.125%  4/24/14  8,050  8,657 
Export Development Canada  2.250%  5/28/15  4,725  4,912 
Export-Import Bank of Korea  5.500%  10/17/12  7,850  8,383 
Export-Import Bank of Korea  8.125%  1/21/14  10,800  12,556 
Export-Import Bank of Korea  5.875%  1/14/15  5,175  5,794 


  Export-Import Bank of Korea  5.125%  3/16/15  1,700  1,856 
  Export-Import Bank of Korea  4.125%  9/9/15  7,125  7,520 
  Financement-Quebec  5.000%  10/25/12  2,000  2,173 
  Hungary Government International Bond  4.750%  2/3/15  5,350  5,402 
  Hydro Quebec  6.300%  5/11/11  2,500  2,588 
  Hydro Quebec  8.000%  2/1/13  2,000  2,319 
  Inter-American Development Bank  3.250%  11/15/11  4,500  4,638 
  Inter-American Development Bank  4.750%  10/19/12  15,500  16,768 
  Inter-American Development Bank  1.750%  10/22/12  15,250  15,603 
  Inter-American Development Bank  3.500%  3/15/13  3,000  3,201 
  Inter-American Development Bank  1.625%  7/15/13  10,225  10,416 
  Inter-American Development Bank  3.000%  4/22/14  10,550  11,268 
  Inter-American Development Bank  4.500%  9/15/14  3,000  3,378 
  Inter-American Development Bank  2.250%  7/15/15  1,975  2,048 
  Inter-American Development Bank  4.250%  9/14/15  5,550  6,294 
  International Bank for Reconstruction &         
  Development  2.000%  4/2/12  28,800  29,466 
  International Bank for Reconstruction &         
  Development  0.800%  7/13/12  9,100  9,134 
  International Bank for Reconstruction &         
  Development  3.625%  5/21/13  5,500  5,909 
  International Bank for Reconstruction &         
  Development  1.750%  7/15/13  25,300  25,985 
  International Bank for Reconstruction &         
  Development  3.500%  10/8/13  5,490  5,936 
  International Bank for Reconstruction &         
  Development  2.375%  5/26/15  22,650  23,722 
  International Finance Corp.  5.125%  5/2/11  7,100  7,297 
  International Finance Corp.  3.000%  4/22/14  22,425  23,879 
  International Finance Corp.  2.750%  4/20/15  9,550  10,172 
  Israel Government International Bond  4.625%  6/15/13  2,350  2,527 
  Israel Government International Bond  5.125%  3/1/14  2,000  2,215 
  Japan Bank for International Cooperation  4.375%  11/26/12  2,200  2,370 
  Japan Bank for International Cooperation  4.250%  6/18/13  6,150  6,688 
8  Japan Finance Corp.  1.500%  7/6/12  9,025  9,147 
8  Japan Finance Corp.  2.125%  11/5/12  14,000  14,375 
8  Japan Finance Corp.  2.875%  2/2/15  6,600  6,964 
8  Japan Finance Corp.  1.875%  9/24/15  4,200  4,229 
8  Japan Finance Organization for Municipalities  4.625%  4/21/15  5,075  5,779 
  Korea Development Bank  5.300%  1/17/13  4,650  4,957 
  Korea Development Bank  5.750%  9/10/13  5,525  6,035 
  Korea Development Bank  8.000%  1/23/14  5,000  5,866 
  Korea Development Bank  4.375%  8/10/15  5,475  5,848 
  Kreditanstalt fuer Wiederaufbau  3.250%  10/14/11  10,950  11,255 
9  Kreditanstalt fuer Wiederaufbau  2.000%  1/17/12  7,850  7,998 
9  Kreditanstalt fuer Wiederaufbau  2.250%  4/16/12  6,875  7,050 
  Kreditanstalt fuer Wiederaufbau  4.750%  5/15/12  24,700  26,331 
9  Kreditanstalt fuer Wiederaufbau  1.250%  6/15/12  18,850  19,065 
9  Kreditanstalt fuer Wiederaufbau  1.875%  1/14/13  26,150  26,865 
  Kreditanstalt fuer Wiederaufbau  3.250%  3/15/13  40,300  42,723 
  Kreditanstalt fuer Wiederaufbau  3.500%  5/16/13  12,375  13,250 
9  Kreditanstalt fuer Wiederaufbau  1.375%  7/15/13  26,825  27,276 
  Kreditanstalt fuer Wiederaufbau  4.000%  10/15/13  6,125  6,708 
9  Kreditanstalt fuer Wiederaufbau  3.500%  3/10/14  8,325  9,025 
^,9 Kreditanstalt fuer Wiederaufbau  2.750%  10/21/14  20,825  22,036 


^,9 Kreditanstalt fuer Wiederaufbau  2.625%  3/3/15  10,650  11,211 
10 Landeskreditbank Baden-Wuerttemberg         
Foerderbank  4.875%  1/13/12  1,500  1,573 
9 Landwirtschaftliche Rentenbank  5.250%  7/2/12  9,600  10,361 
Landwirtschaftliche Rentenbank  1.875%  9/24/12  23,475  24,040 
Landwirtschaftliche Rentenbank  3.250%  3/15/13  2,100  2,217 
Mexico Government International Bond  6.375%  1/16/13  5,400  5,994 
Mexico Government International Bond  5.875%  2/17/14  17,900  20,227 
Mexico Government International Bond  6.625%  3/3/15  7,900  9,263 
Nordic Investment Bank  1.625%  1/28/13  6,900  7,021 
Nordic Investment Bank  2.625%  10/6/14  6,700  7,051 
Nordic Investment Bank  2.500%  7/15/15  1,325  1,388 
Oesterreichische Kontrollbank AG  3.125%  10/14/11  4,825  4,948 
11 Oesterreichische Kontrollbank AG  4.750%  11/8/11  13,500  14,105 
11 Oesterreichische Kontrollbank AG  1.875%  3/21/12  11,000  11,208 
11 Oesterreichische Kontrollbank AG  4.750%  10/16/12  7,725  8,367 
11 Oesterreichische Kontrollbank AG  1.750%  3/11/13  7,650  7,795 
Ontario Electricity Financial Corp.  7.450%  3/31/13  1,000  1,150 
Panama Government International Bond  7.250%  3/15/15  4,000  4,773 
Pemex Project Funding Master Trust  9.125%  10/13/10  2,500  2,488 
Petrobras International Finance Co. - Pifco  9.125%  7/2/13  2,500  2,927 
Petrobras International Finance Co. - Pifco  7.750%  9/15/14  1,625  1,896 
4 Petroleos Mexicanos  4.875%  3/15/15  7,150  7,663 
Poland Government International Bond  6.250%  7/3/12  9,125  9,855 
Poland Government International Bond  5.250%  1/15/14  3,975  4,333 
Poland Government International Bond  3.875%  7/16/15  6,500  6,760 
Province of British Columbia Canada  2.850%  6/15/15  6,075  6,468 
Province of Manitoba Canada  2.125%  4/22/13  1,950  2,018 
Province of Manitoba Canada  2.625%  7/15/15  4,525  4,759 
Province of Nova Scotia Canada  2.375%  7/21/15  3,850  3,969 
Province of Ontario Canada  5.000%  10/18/11  12,450  13,041 
Province of Ontario Canada  1.875%  11/19/12  16,250  16,633 
Province of Ontario Canada  4.100%  6/16/14  39,400  43,444 
Province of Ontario Canada  2.950%  2/5/15  11,725  12,451 
Province of Ontario Canada  2.700%  6/16/15  5,750  6,035 
Province of Ontario Canada  1.875%  9/15/15  900  908 
Province of Quebec Canada  6.125%  1/22/11  3,935  4,002 
Province of Quebec Canada  4.875%  5/5/14  2,100  2,361 
Province of Quebec Canada  4.600%  5/26/15  4,800  5,416 
Province of Saskatchewan Canada  7.375%  7/15/13  1,000  1,171 
Republic of Italy  5.625%  6/15/12  13,350  14,192 
Republic of Italy  2.125%  10/5/12  23,150  23,432 
Republic of Italy  2.125%  9/16/13  2,000  2,005 
Republic of Italy  4.500%  1/21/15  5,650  6,045 
Republic of Italy  3.125%  1/26/15  8,450  8,623 
Republic of Italy  4.750%  1/25/16  9,000  9,672 
Republic of Korea  4.250%  6/1/13  3,225  3,419 
Republic of Korea  5.750%  4/16/14  6,350  7,135 
Republic of Korea  4.875%  9/22/14  3,925  4,290 
South Africa Government International Bond  7.375%  4/25/12  2,500  2,728 
South Africa Government International Bond  6.500%  6/2/14  3,300  3,762 
Svensk Exportkredit AB  3.250%  9/16/14  4,850  5,163 
Total Sovereign Bonds (Cost $1,370,627)        1,427,824 


Taxable Municipal Bonds (0.1%)         
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  3.625%  5/1/14  1,600  1,730 
California GO  5.250%  4/1/14  1,800  1,914 
California GO  5.650%  4/1/39  2,250  2,422 
Illinois GO  2.766%  1/1/12  5,700  5,775 
Illinois GO  4.071%  1/1/14  5,700  5,898 
Loudoun County VA IDA Rev. (Howard         
Hughes Medical Institute)  3.450%  9/1/14  1,100  1,182 
Total Taxable Municipal Bonds (Cost $18,163)        18,921 
      Shares   
Temporary Cash Investment (0.8%)         
Money Market Fund (0.8%)         
12,13Vanguard Market Liquidity Fund (Cost         
$168,597)  0.261%    168,597,098  168,597 
 
Total Investments (100.3%) (Cost $20,222,606)        20,925,839 
Other Assets and Liabilities-Net (-0.3%)        (102,922) 
Net Assets (100%)        20,822,917 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $32,858,000.
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 September 30, 2010, the aggregate value of these securities was $68,834,000, representing 0.3% of net assets.
5 Adjustable-rate security.
6 Non-income-producing security--security in default.
7 Guaranteed by the Government of Canada.
8 Guaranteed by the Government of Japan.
9 Guaranteed by the Federal Republic of Germany.
10Guaranteed by the State of Baden-Wurttemberg.
11Guaranteed by the Republic of Austria.
12Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
13Includes $33,762,000 of collateral received for securities on loan.
14Guaranteed by the National Credit Union Administration.
GO—General Obligation Bond.
IDA—Industrial Development Authority 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


Short-Term Bond Index Fund

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  Level 2  Level 3 
 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  15,089,585  — 
Asset-Backed/Commercial Mortgage-Backed       
Securities  —  20,069  — 
Corporate Bonds  —  4,200,833  10 
Sovereign Bonds  —  1,427,824  — 
Taxable Municipal Bonds  —  18,921  — 
Temporary Cash Investments  168,597  —  — 
Total  168,597  20,757,232  10 

There were no changes in investments valued based on Level 3 inputs during the period ended September 30, 2010.

C. At September 30, 2010, the cost of investment securities for tax purposes was $20,222,606,000. Net unrealized appreciation of investment securities for tax purposes was $703,233,000, consisting of unrealized gains of $705,721,000 on securities that had risen in value since their purchase and $2,488,000 in unrealized losses on securities that had fallen in value since their purchase.

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

The following table summarizes the fund's investments as of September 30, 2010, based on the inputs used to value them:


Short-Term Bond Index Fund


Vanguard Intermediate-Term Bond Index Fund

Schedule of Investments
As of September 30, 2010

      Face  Market 
    Maturity  Amount  Value 
Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (56.4%)         
U.S. Government Securities (52.0%)         
United States Treasury Note/Bond  1.000%  9/30/11  100  101 
United States Treasury Note/Bond  0.375%  8/31/12  3,700  3,697 
United States Treasury Note/Bond  1.250%  8/31/15  260  260 
United States Treasury Note/Bond  1.250%  9/30/15  25,365  25,333 
United States Treasury Note/Bond  9.875%  11/15/15  27,650  39,393 
United States Treasury Note/Bond  4.500%  2/15/16  46,740  54,240 
United States Treasury Note/Bond  9.250%  2/15/16  41,620  58,593 
United States Treasury Note/Bond  2.625%  2/29/16  221,945  235,885 
United States Treasury Note/Bond  2.375%  3/31/16  231,110  242,377 
United States Treasury Note/Bond  2.625%  4/30/16  49,015  51,994 
United States Treasury Note/Bond  5.125%  5/15/16  83,480  99,981 
United States Treasury Note/Bond  7.250%  5/15/16  78,175  102,531 
United States Treasury Note/Bond  3.250%  5/31/16  115,725  126,700 
United States Treasury Note/Bond  3.250%  6/30/16  185,815  203,467 
United States Treasury Note/Bond  4.875%  8/15/16  38,745  45,998 
United States Treasury Note/Bond  3.000%  8/31/16  81,475  87,904 
United States Treasury Note/Bond  3.000%  9/30/16  102,115  110,140 
United States Treasury Note/Bond  3.125%  10/31/16  157,505  170,967 
United States Treasury Note/Bond  4.625%  11/15/16  103,980  122,160 
United States Treasury Note/Bond  7.500%  11/15/16  106,820  143,056 
United States Treasury Note/Bond  2.750%  11/30/16  112,680  119,757 
United States Treasury Note/Bond  3.250%  12/31/16  137,305  149,877 
United States Treasury Note/Bond  3.125%  1/31/17  75,535  81,873 
United States Treasury Note/Bond  4.625%  2/15/17  56,160  66,023 
United States Treasury Note/Bond  3.000%  2/28/17  130,460  140,327 
United States Treasury Note/Bond  3.250%  3/31/17  31,440  34,284 
United States Treasury Note/Bond  4.500%  5/15/17  105,325  123,115 
United States Treasury Note/Bond  8.750%  5/15/17  98,070  140,823 
United States Treasury Note/Bond  2.750%  5/31/17  34,470  36,468 
United States Treasury Note/Bond  2.500%  6/30/17  35,550  37,028 
United States Treasury Note/Bond  2.375%  7/31/17  4,800  4,959 
United States Treasury Note/Bond  4.750%  8/15/17  126,745  150,530 
United States Treasury Note/Bond  8.875%  8/15/17  71,285  103,676 
United States Treasury Note/Bond  1.875%  8/31/17  21,040  21,024 
United States Treasury Note/Bond  4.250%  11/15/17  44,610  51,615 
United States Treasury Note/Bond  3.500%  2/15/18  103,530  114,337 
United States Treasury Note/Bond  3.875%  5/15/18  194,785  219,955 
United States Treasury Note/Bond  9.125%  5/15/18  18,795  28,345 
United States Treasury Note/Bond  4.000%  8/15/18  222,975  253,529 
United States Treasury Note/Bond  3.750%  11/15/18  331,345  370,175 
United States Treasury Note/Bond  2.750%  2/15/19  387,010  401,461 
United States Treasury Note/Bond  8.875%  2/15/19  51,850  78,367 
United States Treasury Note/Bond  3.125%  5/15/19  432,625  459,798 
United States Treasury Note/Bond  3.625%  8/15/19  416,500  457,954 
United States Treasury Note/Bond  3.375%  11/15/19  424,075  456,941 
United States Treasury Note/Bond  3.625%  2/15/20  227,350  249,339 
United States Treasury Note/Bond  3.500%  5/15/20  212,605  230,810 


  United States Treasury Note/Bond  2.625%  8/15/20  197,610  199,464 
          6,706,631 
Agency Bonds and Notes (4.4%)         
1  Federal Farm Credit Bank  4.875%  12/16/15  12,450  14,428 
1  Federal Farm Credit Bank  5.125%  8/25/16  13,700  16,175 
1  Federal Farm Credit Bank  4.875%  1/17/17  5,750  6,689 
1  Federal Home Loan Bank of Chicago  5.625%  6/13/16  4,325  4,797 
1  Federal Home Loan Banks  5.375%  5/18/16  15,575  18,593 
1  Federal Home Loan Banks  4.750%  12/16/16  23,750  27,589 
1  Federal Home Loan Banks  4.875%  5/17/17  21,925  25,714 
1  Federal Home Loan Banks  5.000%  11/17/17  21,125  25,052 
1  Federal Home Loan Banks  5.375%  8/15/18  6,000  7,270 
1  Federal Home Loan Banks  5.375%  5/15/19  5,250  6,289 
1  Federal Home Loan Banks  5.125%  8/15/19  5,220  6,160 
1  Federal Home Loan Banks  4.125%  3/13/20  3,625  4,000 
1  Federal Home Loan Mortgage Corp.  4.750%  1/19/16  30,550  35,293 
1  Federal Home Loan Mortgage Corp.  5.250%  4/18/16  16,500  19,496 
1  Federal Home Loan Mortgage Corp.  5.500%  7/18/16  54,175  64,944 
1  Federal Home Loan Mortgage Corp.  5.000%  2/16/17  7,000  8,214 
1  Federal Home Loan Mortgage Corp.  5.125%  11/17/17  15,600  18,526 
1  Federal Home Loan Mortgage Corp.  3.750%  3/27/19  27,425  29,776 
1  Federal National Mortgage Assn.  4.375%  10/15/15  6,400  7,258 
1  Federal National Mortgage Assn.  1.625%  10/26/15  20,000  20,028 
1  Federal National Mortgage Assn.  5.000%  3/15/16  13,000  15,192 
1  Federal National Mortgage Assn.  5.250%  9/15/16  20,925  24,834 
1  Federal National Mortgage Assn.  4.875%  12/15/16  30,375  35,406 
1  Federal National Mortgage Assn.  5.000%  2/13/17  44,600  52,295 
1  Federal National Mortgage Assn.  5.375%  6/12/17  15,000  17,991 
1  Federal National Mortgage Assn.  0.000%  10/9/19  15,300  10,054 
1  Financing Corp. Fico  9.400%  2/8/18  1,475  2,152 
1  Financing Corp. Fico  10.350%  8/3/18  2,170  3,357 
1  Financing Corp. Fico  9.650%  11/2/18  10,145  15,289 
1  Financing Corp. Fico  8.600%  9/26/19  1,275  1,850 
  Private Export Funding Corp.  4.375%  3/15/19  3,500  3,921 
1  Tennessee Valley Authority  5.500%  7/18/17  6,200  7,476 
1  Tennessee Valley Authority  6.250%  12/15/17  2,600  3,288 
1  Tennessee Valley Authority  4.500%  4/1/18  5,300  6,062 
          565,458 
Total U.S. Government and Agency Obligations (Cost $6,700,301)      7,272,089 
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)       
2  Banco Bilbao Vizcaya Argentaria SA  5.750%  7/20/17  225  248 
2  Bank of Scotland PLC  5.250%  2/21/17  2,225  2,438 
3  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  259  291 
2  Northern Rock Asset Management PLC  5.625%  6/22/17  6,325  6,738 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $11,503)    12,295 
Corporate Bonds (36.5%)         
Finance (13.4%)         
  Banking (8.8%)         
  American Express Bank FSB  6.000%  9/13/17  750  859 
  American Express Centurion Bank  5.950%  6/12/17  3,275  3,727 
  American Express Centurion Bank  6.000%  9/13/17  1,075  1,225 


  American Express Co.  5.500%  9/12/16  1,400  1,587 
  American Express Co.  6.150%  8/28/17  9,950  11,391 
  American Express Co.  7.000%  3/19/18  13,300  15,976 
  American Express Co.  8.125%  5/20/19  5,675  7,336 
3  American Express Co.  6.800%  9/1/66  3,525  3,521 
  American Express Credit Corp.  5.300%  12/2/15  2,000  2,244 
  Associates Corp. of North America  6.950%  11/1/18  1,150  1,266 
  Bank of America Corp.  5.250%  12/1/15  3,700  3,926 
  Bank of America Corp.  6.500%  8/1/16  14,775  16,692 
  Bank of America Corp.  5.750%  8/15/16  3,900  4,211 
  Bank of America Corp.  5.625%  10/14/16  17,150  18,534 
  Bank of America Corp.  5.420%  3/15/17  8,675  8,928 
  Bank of America Corp.  6.000%  9/1/17  4,150  4,499 
  Bank of America Corp.  5.750%  12/1/17  6,325  6,777 
  Bank of America Corp.  5.650%  5/1/18  35,950  38,111 
  Bank of America Corp.  7.625%  6/1/19  6,300  7,525 
  Bank of America Corp.  5.625%  7/1/20  9,500  10,045 
  Bank of America NA  5.300%  3/15/17  15,550  16,022 
  Bank of America NA  6.100%  6/15/17  500  537 
  Bank of New York Mellon Corp.  5.450%  5/15/19  3,760  4,384 
  Bank of New York Mellon Corp.  4.600%  1/15/20  6,000  6,630 
  Bank of Nova Scotia  2.050%  10/7/15  2,525  2,523 
  Barclays Bank PLC  5.000%  9/22/16  14,800  16,231 
  Barclays Bank PLC  6.750%  5/22/19  7,500  8,940 
  Barclays Bank PLC  5.125%  1/8/20  12,925  13,971 
  BB&T Corp.  5.200%  12/23/15  12,625  13,976 
  BB&T Corp.  6.850%  4/30/19  4,975  6,036 
  Bear Stearns Cos. LLC  5.300%  10/30/15  1,100  1,229 
  Bear Stearns Cos. LLC  5.550%  1/22/17  12,725  13,874 
  Bear Stearns Cos. LLC  6.400%  10/2/17  23,900  27,848 
  Bear Stearns Cos. LLC  7.250%  2/1/18  12,350  15,062 
  Branch Banking & Trust Co.  5.625%  9/15/16  50  57 
  Capital One Bank USA NA  8.800%  7/15/19  4,825  6,167 
  Capital One Financial Corp.  6.150%  9/1/16  6,325  6,964 
  Capital One Financial Corp.  6.750%  9/15/17  10,850  13,039 
2,3 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  2,100  2,466 
  Citigroup Inc.  5.300%  1/7/16  10,825  11,554 
  Citigroup Inc.  5.500%  2/15/17  10,250  10,612 
  Citigroup Inc.  6.000%  8/15/17  12,675  13,695 
  Citigroup Inc.  6.125%  11/21/17  11,275  12,333 
  Citigroup Inc.  6.125%  5/15/18  13,600  14,866 
  Citigroup Inc.  8.500%  5/22/19  9,775  12,097 
  Citigroup Inc.  5.375%  8/9/20  8,375  8,671 
  Comerica Bank  5.750%  11/21/16  5,025  5,649 
  Comerica Bank  5.200%  8/22/17  3,025  3,238 
  Compass Bank  6.400%  10/1/17  1,600  1,676 
  Countrywide Financial Corp.  6.250%  5/15/16  3,775  4,051 
  Credit Suisse  5.300%  8/13/19  4,575  5,073 
  Credit Suisse  4.375%  8/5/20  13,250  13,534 
  Credit Suisse AG  5.400%  1/14/20  6,475  6,904 
  Credit Suisse USA Inc.  5.850%  8/16/16  3,250  3,775 
3  Credit Suisse/Guernsey  5.860%  5/15/49  6,200  5,890 
  Credit Suisse/New York NY  6.000%  2/15/18  14,175  15,656 
  Deutsche Bank AG/London  6.000%  9/1/17  15,000  17,515 
  Discover Bank  8.700%  11/18/19  2,350  2,791 


Discover Bank  7.000%  4/15/20  2,400  2,609 
Fifth Third Bancorp  5.450%  1/15/17  3,000  3,160 
Fifth Third Bancorp  4.500%  6/1/18  1,550  1,543 
3  Fifth Third Capital Trust IV  6.500%  4/15/67  5,750  5,491 
First Niagara Financial Group Inc.  6.750%  3/19/20  1,275  1,411 
Goldman Sachs Group Inc.  5.350%  1/15/16  11,350  12,439 
Goldman Sachs Group Inc.  5.750%  10/1/16  2,950  3,289 
Goldman Sachs Group Inc.  5.625%  1/15/17  11,925  12,606 
Goldman Sachs Group Inc.  6.250%  9/1/17  14,825  16,708 
Goldman Sachs Group Inc.  5.950%  1/18/18  21,875  24,029 
Goldman Sachs Group Inc.  6.150%  4/1/18  15,175  16,877 
Goldman Sachs Group Inc.  7.500%  2/15/19  5,875  7,002 
Goldman Sachs Group Inc.  5.375%  3/15/20  15,925  16,790 
Goldman Sachs Group Inc.  6.000%  6/15/20  8,000  8,797 
2 HBOS PLC  6.750%  5/21/18  925  927 
HSBC Bank USA NA  4.875%  8/24/20  2,875  2,984 
JPMorgan Chase & Co.  5.150%  10/1/15  2,250  2,458 
JPMorgan Chase & Co.  6.125%  6/27/17  3,900  4,419 
JPMorgan Chase & Co.  6.000%  1/15/18  21,900  24,986 
JPMorgan Chase & Co.  6.300%  4/23/19  11,975  13,899 
JPMorgan Chase & Co.  4.400%  7/22/20  9,225  9,456 
JPMorgan Chase Bank NA  5.875%  6/13/16  6,400  7,269 
JPMorgan Chase Bank NA  6.000%  10/1/17  8,225  9,355 
KeyBank NA  5.450%  3/3/16  3,025  3,275 
M&I Marshall & Ilsley Bank  4.850%  6/16/15  700  684 
M&I Marshall & Ilsley Bank  5.000%  1/17/17  1,950  1,862 
Manufacturers & Traders Trust Co.  6.625%  12/4/17  5,425  6,243 
3 Manufacturers & Traders Trust Co.  5.585%  12/28/20  2,400  2,377 
Merrill Lynch & Co. Inc.  6.050%  5/16/16  7,200  7,685 
Merrill Lynch & Co. Inc.  5.700%  5/2/17  7,075  7,322 
Merrill Lynch & Co. Inc.  6.400%  8/28/17  9,750  10,670 
Merrill Lynch & Co. Inc.  6.875%  4/25/18  31,850  35,745 
Merrill Lynch & Co. Inc.  6.500%  7/15/18  4,125  4,509 
Morgan Stanley  5.750%  10/18/16  13,650  14,730 
Morgan Stanley  5.450%  1/9/17  10,825  11,394 
Morgan Stanley  5.550%  4/27/17  18,325  19,368 
Morgan Stanley  6.250%  8/28/17  12,000  13,109 
Morgan Stanley  5.950%  12/28/17  18,725  19,971 
Morgan Stanley  6.625%  4/1/18  13,325  14,780 
Morgan Stanley  7.300%  5/13/19  12,675  14,552 
Morgan Stanley  5.625%  9/23/19  13,200  13,725 
Morgan Stanley  5.500%  7/24/20  8,575  8,858 
National City Bank  5.800%  6/7/17  4,000  4,416 
National City Corp.  6.875%  5/15/19  1,700  1,994 
North American Development Bank  4.375%  2/11/20  1,200  1,306 
Northern Trust Co.  6.500%  8/15/18  1,275  1,546 
PNC Bank NA  4.875%  9/21/17  2,950  3,117 
PNC Bank NA  6.000%  12/7/17  1,125  1,265 
PNC Funding Corp.  5.250%  11/15/15  3,575  3,966 
PNC Funding Corp.  5.625%  2/1/17  7,625  8,348 
PNC Funding Corp.  6.700%  6/10/19  2,575  3,062 
PNC Funding Corp.  5.125%  2/8/20  4,475  4,851 
PNC Funding Corp.  4.375%  8/11/20  2,450  2,507 
Regions Bank  7.500%  5/15/18  1,100  1,161 
Royal Bank of Canada  2.625%  12/15/15  3,550  3,686 


  Royal Bank of Scotland Group PLC  4.700%  7/3/18  800  686 
  Royal Bank of Scotland Group PLC  6.400%  10/21/19  12,850  13,935 
  Royal Bank Of Scotland NV  4.650%  6/4/18  1,925  1,886 
  Royal Bank of Scotland PLC  5.625%  8/24/20  925  965 
  Sovereign Bank  8.750%  5/30/18  2,825  3,283 
2,3 Standard Chartered PLC  6.409%  12/31/49  1,500  1,410 
  State Street Bank and Trust Co.  5.300%  1/15/16  1,825  2,024 
  State Street Bank and Trust Co.  5.250%  10/15/18  1,000  1,135 
  SunTrust Bank  7.250%  3/15/18  3,550  4,037 
  SunTrust Banks Inc.  6.000%  9/11/17  1,925  2,085 
  UBS AG  5.875%  7/15/16  4,800  5,312 
  UBS AG  5.875%  12/20/17  15,575  17,651 
  UBS AG  5.750%  4/25/18  12,975  14,635 
  UBS AG  4.875%  8/4/20  13,025  13,730 
  Union Bank NA  5.950%  5/11/16  4,100  4,500 
  Wachovia Bank NA  6.000%  11/15/17  5,275  6,014 
  Wachovia Corp.  5.625%  10/15/16  4,000  4,442 
  Wachovia Corp.  5.750%  6/15/17  7,475  8,501 
  Wachovia Corp.  5.750%  2/1/18  10,450  11,901 
  Wells Fargo & Co.  5.625%  12/11/17  23,075  26,122 
  Wells Fargo Bank NA  5.750%  5/16/16  5,300  5,940 
  Westpac Banking Corp.  4.875%  11/19/19  14,675  15,802 
 
  Brokerage (0.4%)         
  Ameriprise Financial Inc.  5.650%  11/15/15  3,450  3,910 
  Ameriprise Financial Inc.  7.300%  6/28/19  600  744 
  Ameriprise Financial Inc.  5.300%  3/15/20  2,250  2,479 
3  Ameriprise Financial Inc.  7.518%  6/1/66  3,050  3,045 
  BlackRock Inc.  6.250%  9/15/17  2,950  3,503 
  BlackRock Inc.  5.000%  12/10/19  3,900  4,302 
  Charles Schwab Corp.  4.450%  7/22/20  4,050  4,234 
  Franklin Resources Inc.  4.625%  5/20/20  2,250  2,458 
  Jefferies Group Inc.  5.500%  3/15/16  4,500  4,795 
  Jefferies Group Inc.  8.500%  7/15/19  1,325  1,516 
  Lazard Group LLC  6.850%  6/15/17  5,525  5,910 
  Nomura Holdings Inc.  6.700%  3/4/20  7,350  8,387 
  TD Ameritrade Holding Corp.  5.600%  12/1/19  2,225  2,460 
 
  Finance Companies (1.1%)         
  Alterra Finance LLC  6.250%  9/30/20  1,565  1,571 
  Discover Financial Services  6.450%  6/12/17  3,500  3,773 
3  GE Capital Trust I  6.375%  11/15/67  425  423 
  General Electric Capital Corp.  5.400%  2/15/17  12,600  13,866 
  General Electric Capital Corp.  5.625%  9/15/17  3,800  4,233 
  General Electric Capital Corp.  5.625%  5/1/18  38,725  42,941 
  General Electric Capital Corp.  6.000%  8/7/19  6,925  7,795 
  General Electric Capital Corp.  5.500%  1/8/20  6,075  6,618 
  General Electric Capital Corp.  5.550%  5/4/20  3,025  3,333 
  General Electric Capital Corp.  4.375%  9/16/20  8,425  8,430 
3  General Electric Capital Corp.  6.375%  11/15/67  14,525  14,452 
3  HSBC Finance Capital Trust IX  5.911%  11/30/35  3,925  3,655 
  HSBC Finance Corp.  5.500%  1/19/16  6,000  6,590 
  SLM Corp.  8.450%  6/15/18  14,875  15,033 
  SLM Corp.  8.000%  3/25/20  5,150  5,101 


Insurance (2.2%)         
ACE INA Holdings Inc.  5.700%  2/15/17  2,400  2,689 
ACE INA Holdings Inc.  5.800%  3/15/18  1,850  2,105 
ACE INA Holdings Inc.  5.900%  6/15/19  1,925  2,235 
Aetna Inc.  6.000%  6/15/16  5,250  6,159 
Aetna Inc.  6.500%  9/15/18  1,450  1,714 
Aflac Inc.  8.500%  5/15/19  3,400  4,329 
Alleghany Corp.  5.625%  9/15/20  1,450  1,478 
Allied World Assurance Co. Holdings Ltd.  7.500%  8/1/16  4,575  5,179 
Allstate Corp.  6.750%  5/15/18  1,000  1,188 
3  Allstate Corp.  6.125%  5/15/37  2,575  2,388 
American Financial Group Inc.  9.875%  6/15/19  2,625  3,236 
American International Group Inc.  5.050%  10/1/15  9,675  9,868 
American International Group Inc.  5.600%  10/18/16  875  897 
American International Group Inc.  5.450%  5/18/17  6,425  6,553 
American International Group Inc.  5.850%  1/16/18  12,925  13,345 
American International Group Inc.  8.250%  8/15/18  8,620  9,999 
AON Corp.  5.000%  9/30/20  2,050  2,096 
Axis Specialty Finance LLC  5.875%  6/1/20  1,475  1,503 
Berkshire Hathaway Finance Corp.  5.400%  5/15/18  5,400  6,167 
Chubb Corp.  5.750%  5/15/18  5,600  6,489 
3  Chubb Corp.  6.375%  3/29/67  5,225  5,145 
CIGNA Corp.  6.350%  3/15/18  4,050  4,709 
CIGNA Corp.  5.125%  6/15/20  1,400  1,509 
CNA Financial Corp.  6.500%  8/15/16  3,400  3,670 
CNA Financial Corp.  7.350%  11/15/19  875  989 
CNA Financial Corp.  5.875%  8/15/20  1,800  1,835 
Coventry Health Care Inc.  5.950%  3/15/17  3,000  3,008 
Genworth Financial Inc.  4.950%  10/1/15  1,450  1,450 
Genworth Financial Inc.  8.625%  12/15/16  3,500  3,902 
Hartford Financial Services Group Inc.  5.500%  10/15/16  4,525  4,745 
Hartford Financial Services Group Inc.  5.375%  3/15/17  2,200  2,266 
Hartford Financial Services Group Inc.  6.000%  1/15/19  1,125  1,183 
HCC Insurance Holdings Inc.  6.300%  11/15/19  1,600  1,749 
Humana Inc.  6.450%  6/1/16  400  442 
Humana Inc.  7.200%  6/15/18  5,150  5,949 
Humana Inc.  6.300%  8/1/18  750  819 
Lincoln National Corp.  8.750%  7/1/19  2,325  2,990 
3  Lincoln National Corp.  7.000%  5/17/66  4,575  4,306 
Loews Corp.  5.250%  3/15/16  1,850  2,072 
Manulife Financial Corp.  4.900%  9/17/20  4,250  4,244 
Markel Corp.  7.125%  9/30/19  1,575  1,796 
Marsh & McLennan Cos. Inc.  9.250%  4/15/19  1,350  1,770 
MetLife Inc.  6.750%  6/1/16  6,150  7,338 
MetLife Inc.  6.817%  8/15/18  5,500  6,632 
MetLife Inc.  7.717%  2/15/19  3,750  4,773 
PartnerRe Finance B LLC  5.500%  6/1/20  4,700  4,854 
Principal Financial Group Inc.  8.875%  5/15/19  4,500  5,886 
3 Progressive Corp.  6.700%  6/15/37  5,900  5,831 
Protective Life Corp.  7.375%  10/15/19  1,600  1,796 
Prudential Financial Inc.  5.500%  3/15/16  575  630 
Prudential Financial Inc.  6.100%  6/15/17  500  559 
Prudential Financial Inc.  6.000%  12/1/17  5,650  6,359 
Prudential Financial Inc.  7.375%  6/15/19  8,575  10,424 
Prudential Financial Inc.  5.375%  6/21/20  2,300  2,482 


3  Reinsurance Group of America Inc.  6.750%  12/15/65  4,400  3,773 
Swiss Re Solutions Holding Corp.  6.450%  3/1/19  400  437 
Torchmark Corp.  6.375%  6/15/16  1,750  1,962 
Transatlantic Holdings Inc.  5.750%  12/14/15  4,000  4,212 
Travelers Cos. Inc.  5.500%  12/1/15  1,350  1,552 
Travelers Cos. Inc.  6.250%  6/20/16  2,025  2,403 
Travelers Cos. Inc.  5.750%  12/15/17  3,550  4,086 
Travelers Cos. Inc.  5.800%  5/15/18  1,975  2,260 
Travelers Cos. Inc.  5.900%  6/2/19  5,175  6,005 
3  Travelers Cos. Inc.  6.250%  3/15/37  3,950  3,795 
UnitedHealth Group Inc.  6.000%  6/15/17  2,775  3,219 
UnitedHealth Group Inc.  6.000%  2/15/18  11,350  13,203 
Unum Group  7.125%  9/30/16  1,800  2,066 
Unum Group  5.625%  9/15/20  1,650  1,693 
WellPoint Inc.  5.250%  1/15/16  6,400  7,197 
WellPoint Inc.  5.875%  6/15/17  5,425  6,252 
WellPoint Inc.  4.350%  8/15/20  2,000  2,075 
Willis North America Inc.  6.200%  3/28/17  1,625  1,735 
Willis North America Inc.  7.000%  9/29/19  3,250  3,571 
WR Berkley Corp.  5.375%  9/15/20  2,250  2,295 
 
Other Finance (0.0%)         
Brookfield Asset Management Inc.  7.125%  6/15/12  1,000  1,076 
NASDAQ OMX Group Inc.  5.550%  1/15/20  2,700  2,859 
XTRA Finance Corp.  5.150%  4/1/17  1,600  1,777 
 
Real Estate Investment Trusts (0.9%)         
AMB Property LP  4.500%  8/15/17  1,200  1,209 
AMB Property LP  6.625%  12/1/19  2,225  2,504 
AvalonBay Communities Inc.  5.750%  9/15/16  1,750  1,967 
Boston Properties LP  5.875%  10/15/19  1,850  2,066 
Brandywine Operating Partnership LP  5.700%  5/1/17  3,025  3,063 
Camden Property Trust  5.700%  5/15/17  1,800  1,959 
CommonWealth REIT  6.250%  8/15/16  5,150  5,461 
CommonWealth REIT  6.250%  6/15/17  3,200  3,324 
Duke Realty LP  5.950%  2/15/17  4,975  5,325 
Duke Realty LP  8.250%  8/15/19  1,125  1,338 
Duke Realty LP  6.750%  3/15/20  350  391 
ERP Operating LP  5.125%  3/15/16  5,000  5,469 
ERP Operating LP  5.375%  8/1/16  475  524 
ERP Operating LP  5.750%  6/15/17  1,675  1,886 
HCP Inc.  6.300%  9/15/16  275  300 
HCP Inc.  6.000%  1/30/17  3,750  3,974 
HCP Inc.  6.700%  1/30/18  4,500  4,933 
Health Care REIT Inc.  6.200%  6/1/16  925  1,035 
Health Care REIT Inc.  4.700%  9/15/17  1,850  1,868 
Health Care REIT Inc.  6.125%  4/15/20  2,250  2,402 
Healthcare Realty Trust Inc.  6.500%  1/17/17  1,200  1,293 
Hospitality Properties Trust  5.625%  3/15/17  3,150  3,228 
Kimco Realty Corp.  5.783%  3/15/16  1,350  1,491 
Kimco Realty Corp.  6.875%  10/1/19  1,575  1,829 
Liberty Property LP  5.500%  12/15/16  113  124 
Liberty Property LP  4.750%  10/1/20  2,760  2,774 
Mack-Cali Realty LP  7.750%  8/15/19  975  1,164 
National Retail Properties Inc.  6.875%  10/15/17  3,000  3,399 


ProLogis  5.625%  11/15/15  2,800  2,756 
ProLogis  5.750%  4/1/16  3,000  2,954 
ProLogis  5.625%  11/15/16  1,925  1,857 
ProLogis  7.375%  10/30/19  2,600  2,610 
ProLogis  6.875%  3/15/20  5,300  5,213 
Realty Income Corp.  5.950%  9/15/16  1,000  1,108 
Realty Income Corp.  6.750%  8/15/19  1,350  1,543 
Regency Centers LP  5.875%  6/15/17  3,000  3,253 
Simon Property Group LP  5.750%  12/1/15  4,600  5,246 
Simon Property Group LP  6.100%  5/1/16  1,800  2,093 
Simon Property Group LP  5.250%  12/1/16  8,675  9,712 
Simon Property Group LP  6.125%  5/30/18  3,225  3,722 
Simon Property Group LP  5.650%  2/1/20  4,600  5,133 
Tanger Properties LP  6.150%  11/15/15  1,725  1,931 
        1,728,720 
Industrial (19.0%)         
Basic Industry (2.1%)         
Agrium Inc.  6.750%  1/15/19  1,750  2,077 
Alcoa Inc.  5.550%  2/1/17  5,600  5,774 
Alcoa Inc.  6.750%  7/15/18  9,800  10,555 
AngloGold Ashanti Holdings PLC  5.375%  4/15/20  2,600  2,751 
ArcelorMittal  6.125%  6/1/18  8,925  9,605 
ArcelorMittal  9.850%  6/1/19  7,250  9,301 
ArcelorMittal  5.250%  8/5/20  325  327 
Barrick Gold Corp.  6.950%  4/1/19  5,100  6,461 
Barrick North America Finance LLC  6.800%  9/15/18  4,150  5,185 
BHP Billiton Finance USA Ltd.  5.250%  12/15/15  2,725  3,114 
BHP Billiton Finance USA Ltd.  5.400%  3/29/17  2,300  2,623 
BHP Billiton Finance USA Ltd.  6.500%  4/1/19  12,650  15,608 
Celulosa Arauco y Constitucion SA  7.250%  7/29/19  2,000  2,291 
Cliffs Natural Resources Inc.  5.900%  3/15/20  1,525  1,661 
Commercial Metals Co.  6.500%  7/15/17  1,650  1,694 
Commercial Metals Co.  7.350%  8/15/18  1,675  1,808 
Cytec Industries Inc.  8.950%  7/1/17  1,750  2,202 
Dow Chemical Co.  8.550%  5/15/19  18,550  23,413 
Eastman Chemical Co.  5.500%  11/15/19  650  723 
EI du Pont de Nemours & Co.  5.250%  12/15/16  5,925  6,910 
EI du Pont de Nemours & Co.  6.000%  7/15/18  5,975  7,179 
EI du Pont de Nemours & Co.  4.625%  1/15/20  4,450  4,949 
Freeport-McMoRan Copper & Gold Inc.  8.375%  4/1/17  13,800  15,353 
International Paper Co.  5.250%  4/1/16  2,950  3,190 
International Paper Co.  7.950%  6/15/18  8,200  9,923 
International Paper Co.  9.375%  5/15/19  3,775  4,879 
International Paper Co.  7.500%  8/15/21  2,000  2,384 
Lubrizol Corp.  8.875%  2/1/19  3,850  4,987 
Monsanto Co.  5.125%  4/15/18  925  1,051 
2  Mosaic Co.  7.625%  12/1/16  4,000  4,350 
Newmont Mining Corp.  5.125%  10/1/19  6,025  6,741 
Nucor Corp.  5.750%  12/1/17  825  963 
Nucor Corp.  5.850%  6/1/18  3,275  3,844 
Plum Creek Timberlands LP  5.875%  11/15/15  1,650  1,832 
PPG Industries Inc.  6.650%  3/15/18  3,425  4,142 
Praxair Inc.  5.375%  11/1/16  700  821 
Praxair Inc.  5.200%  3/15/17  1,500  1,730 
Praxair Inc.  4.500%  8/15/19  2,550  2,811 


Reliance Steel & Aluminum Co.  6.200%  11/15/16  650  692 
Rio Tinto Finance USA Ltd.  6.500%  7/15/18  16,850  20,307 
Rio Tinto Finance USA Ltd.  9.000%  5/1/19  3,125  4,341 
Rohm and Haas Co.  6.000%  9/15/17  5,825  6,500 
Southern Copper Corp.  5.375%  4/16/20  1,725  1,827 
Teck Resources Ltd.  10.250%  5/15/16  9,000  10,890 
Teck Resources Ltd.  10.750%  5/15/19  7,250  9,099 
Vale Inco Ltd.  5.700%  10/15/15  1,675  1,808 
Vale Overseas Ltd.  6.250%  1/11/16  5,825  6,538 
Vale Overseas Ltd.  6.250%  1/23/17  4,575  5,233 
Vale Overseas Ltd.  5.625%  9/15/19  2,000  2,222 
Vale Overseas Ltd.  4.625%  9/15/20  5,250  5,382 
Valspar Corp.  7.250%  6/15/19  1,275  1,556 
Xstrata Canada Corp.  6.000%  10/15/15  2,525  2,808 
 
Capital Goods (2.0%)         
Acuity Brands Lighting Inc.  6.000%  12/15/19  1,675  1,847 
Allied Waste North America Inc.  7.125%  5/15/16  4,200  4,473 
Allied Waste North America Inc.  6.875%  6/1/17  5,000  5,500 
Bemis Co. Inc.  6.800%  8/1/19  2,300  2,743 
Black & Decker Corp.  5.750%  11/15/16  1,925  2,216 
Boeing Co.  6.000%  3/15/19  6,975  8,469 
Boeing Co.  4.875%  2/15/20  5,350  6,085 
Caterpillar Financial Services Corp.  5.450%  4/15/18  7,550  8,724 
Caterpillar Financial Services Corp.  7.050%  10/1/18  3,500  4,424 
Caterpillar Financial Services Corp.  7.150%  2/15/19  11,175  14,374 
CRH America Inc.  6.000%  9/30/16  8,375  9,325 
CRH America Inc.  8.125%  7/15/18  4,425  5,317 
Danaher Corp.  5.625%  1/15/18  1,200  1,416 
Danaher Corp.  5.400%  3/1/19  1,300  1,528 
Deere & Co.  4.375%  10/16/19  700  770 
Dover Corp.  4.875%  10/15/15  2,400  2,750 
Dover Corp.  5.450%  3/15/18  900  1,052 
Eaton Corp.  5.600%  5/15/18  3,825  4,422 
Embraer Overseas Ltd.  6.375%  1/24/17  1,550  1,697 
Embraer Overseas Ltd.  6.375%  1/15/20  800  879 
Emerson Electric Co.  5.125%  12/1/16  2,500  2,895 
Emerson Electric Co.  5.375%  10/15/17  5,000  5,862 
Emerson Electric Co.  5.250%  10/15/18  850  994 
Emerson Electric Co.  4.875%  10/15/19  1,450  1,655 
General Electric Co.  5.250%  12/6/17  20,475  23,023 
Goodrich Corp.  6.125%  3/1/19  3,472  4,148 
Goodrich Corp.  4.875%  3/1/20  2,000  2,233 
Harsco Corp.  5.750%  5/15/18  4,550  5,256 
Honeywell International Inc.  5.400%  3/15/16  1,825  2,131 
Honeywell International Inc.  5.300%  3/15/17  1,000  1,159 
Honeywell International Inc.  5.300%  3/1/18  4,025  4,695 
Honeywell International Inc.  5.000%  2/15/19  3,650  4,210 
Illinois Tool Works Inc.  6.250%  4/1/19  5,900  7,196 
Ingersoll-Rand Global Holding Co. Ltd.  6.875%  8/15/18  6,100  7,379 
John Deere Capital Corp.  5.500%  4/13/17  2,300  2,673 
John Deere Capital Corp.  5.750%  9/10/18  9,925  11,771 
Joy Global Inc.  6.000%  11/15/16  1,275  1,412 
L-3 Communications Corp.  5.200%  10/15/19  4,075  4,405 
L-3 Communications Corp.  4.750%  7/15/20  2,700  2,832 


Lafarge SA  6.500%  7/15/16  6,500  6,998 
Lockheed Martin Corp.  7.650%  5/1/16  3,000  3,811 
Lockheed Martin Corp.  4.250%  11/15/19  2,450  2,659 
Martin Marietta Materials Inc.  6.600%  4/15/18  2,050  2,320 
Northrop Grumman Systems Corp.  7.750%  3/1/16  2,900  3,665 
Owens Corning  6.500%  12/1/16  4,850  5,244 
Parker Hannifin Corp.  5.500%  5/15/18  2,000  2,343 
Raytheon Co.  6.400%  12/15/18  500  619 
Raytheon Co.  4.400%  2/15/20  1,225  1,360 
Republic Services Inc.  5.500%  9/15/19  1,825  2,054 
Republic Services Inc.  5.000%  3/1/20  4,025  4,382 
Republic Services Inc.  5.250%  11/15/21  875  967 
Rockwell Collins Inc.  5.250%  7/15/19  650  745 
Roper Industries Inc.  6.250%  9/1/19  2,900  3,353 
2,3 Systems 2001 AT LLC  7.156%  12/15/11  166  172 
Textron Inc.  5.600%  12/1/17  3,700  3,973 
Tyco International Finance SA  8.500%  1/15/19  3,650  4,853 
Tyco International Ltd. / Tyco International         
Finance SA  7.000%  12/15/19  850  1,064 
United Technologies Corp.  5.375%  12/15/17  5,100  5,980 
United Technologies Corp.  6.125%  2/1/19  8,000  9,851 
United Technologies Corp.  4.500%  4/15/20  2,350  2,633 
Vulcan Materials Co.  7.000%  6/15/18  3,275  3,630 
Waste Management Inc.  6.375%  11/15/12  1,000  1,099 
Waste Management Inc.  7.375%  3/11/19  1,450  1,813 
Waste Management Inc.  4.750%  6/30/20  4,350  4,659 
 
Communication (3.4%)         
America Movil SAB de CV  5.000%  10/16/19  5,500  5,944 
America Movil SAB de CV  5.000%  3/30/20  7,000  7,551 
AT&T Inc.  5.625%  6/15/16  4,975  5,808 
AT&T Inc.  5.500%  2/1/18  12,350  14,351 
AT&T Inc.  5.600%  5/15/18  4,925  5,766 
AT&T Inc.  5.800%  2/15/19  15,675  18,673 
BellSouth Corp.  5.200%  12/15/16  1,025  1,170 
British Telecommunications PLC  5.950%  1/15/18  4,875  5,432 
CBS Corp.  8.875%  5/15/19  8,850  11,487 
CBS Corp.  5.750%  4/15/20  220  244 
Cellco Partnership / Verizon Wireless Capital         
LLC  8.500%  11/15/18  13,700  18,654 
CenturyLink Inc.  6.000%  4/1/17  2,475  2,608 
CenturyLink Inc.  6.150%  9/15/19  500  514 
Comcast Cable Communications LLC  8.875%  5/1/17  1,700  2,201 
Comcast Corp.  5.900%  3/15/16  11,925  13,747 
Comcast Corp.  4.950%  6/15/16  2,175  2,414 
Comcast Corp.  6.500%  1/15/17  1,575  1,871 
Comcast Corp.  6.300%  11/15/17  7,125  8,412 
Comcast Corp.  5.875%  2/15/18  5,375  6,190 
Comcast Corp.  5.700%  5/15/18  5,650  6,455 
Comcast Corp.  5.700%  7/1/19  1,075  1,231 
COX Communications Inc.  5.500%  10/1/15  1,250  1,409 
Deutsche Telekom International Finance BV  5.750%  3/23/16  2,725  3,151 
Deutsche Telekom International Finance BV  6.750%  8/20/18  4,550  5,589 
Deutsche Telekom International Finance BV  6.000%  7/8/19  4,125  4,925 
DIRECTV Holdings LLC  5.200%  3/15/20  8,000  8,620 


DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  7.625%  5/15/16  5,325  5,924 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  5.875%  10/1/19  4,150  4,694 
Discovery Communications LLC  5.050%  6/1/20  3,300  3,590 
Embarq Corp.  7.082%  6/1/16  9,275  10,215 
France Telecom SA  5.375%  7/8/19  7,125  8,379 
GTE Corp.  6.840%  4/15/18  1,000  1,185 
McGraw-Hill Cos. Inc.  5.900%  11/15/17  2,950  3,349 
2  NBC Universal Inc.  2.875%  4/1/16  2,100  2,108 
2  NBC Universal Inc.  5.150%  4/30/20  11,125  11,935 
News America Inc.  6.900%  3/1/19  10,800  13,218 
Omnicom Group Inc.  5.900%  4/15/16  6,400  7,367 
Omnicom Group Inc.  4.450%  8/15/20  3,000  3,088 
Qwest Corp.  8.375%  5/1/16  3,500  4,113 
Qwest Corp.  6.500%  6/1/17  4,000  4,350 
Reed Elsevier Capital Inc.  8.625%  1/15/19  4,100  5,388 
Rogers Communications Inc.  6.800%  8/15/18  8,740  10,763 
RR Donnelley & Sons Co.  6.125%  1/15/17  2,650  2,765 
^ RR Donnelley & Sons Co.  11.250%  2/1/19  2,900  3,636 
RR Donnelley & Sons Co.  7.625%  6/15/20  2,350  2,449 
Telecom Italia Capital SA  5.250%  10/1/15  6,625  7,167 
Telecom Italia Capital SA  6.999%  6/4/18  2,625  3,025 
Telecom Italia Capital SA  7.175%  6/18/19  7,500  8,809 
Telefonica Emisiones SAU  6.421%  6/20/16  12,975  15,245 
Telefonica Emisiones SAU  5.877%  7/15/19  1,900  2,182 
Telefonica Emisiones SAU  5.134%  4/27/20  2,600  2,827 
Thomson Reuters Corp.  6.500%  7/15/18  3,950  4,790 
Thomson Reuters Corp.  4.700%  10/15/19  1,000  1,099 
Time Warner Cable Inc.  5.850%  5/1/17  15,625  17,813 
Time Warner Cable Inc.  6.750%  7/1/18  11,900  14,149 
Time Warner Cable Inc.  8.750%  2/14/19  1,575  2,076 
Time Warner Cable Inc.  8.250%  4/1/19  5,475  7,060 
Time Warner Cable Inc.  5.000%  2/1/20  4,625  4,949 
Verizon Communications Inc.  5.550%  2/15/16  12,150  14,097 
Verizon Communications Inc.  5.500%  2/15/18  9,575  11,031 
Verizon Communications Inc.  6.100%  4/15/18  2,250  2,681 
Verizon Communications Inc.  8.750%  11/1/18  11,075  15,042 
Verizon Communications Inc.  6.350%  4/1/19  7,500  9,140 
Vodafone Group PLC  5.750%  3/15/16  5,350  6,140 
Vodafone Group PLC  5.625%  2/27/17  7,425  8,479 
Vodafone Group PLC  4.625%  7/15/18  1,250  1,348 
Vodafone Group PLC  5.450%  6/10/19  5,400  6,262 
Washington Post Co.  7.250%  2/1/19  1,075  1,296 
 
Consumer Cyclical (1.7%)         
BorgWarner Inc.  4.625%  9/15/20  950  962 
Costco Wholesale Corp.  5.500%  3/15/17  7,925  9,410 
CVS Caremark Corp.  5.750%  6/1/17  16,575  19,036 
CVS Caremark Corp.  6.600%  3/15/19  4,100  4,966 
Darden Restaurants Inc.  6.200%  10/15/17  4,025  4,706 
2  Expedia Inc.  5.950%  8/15/20  4,275  4,349 
Home Depot Inc.  5.400%  3/1/16  12,550  14,277 
Home Depot Inc.  3.950%  9/15/20  400  408 
International Game Technology  7.500%  6/15/19  2,100  2,488 


International Game Technology  5.500%  6/15/20  650  697 
Johnson Controls Inc.  5.500%  1/15/16  3,000  3,393 
Johnson Controls Inc.  5.000%  3/30/20  2,850  3,133 
Kohl's Corp.  6.250%  12/15/17  4,000  4,771 
Lowe's Cos. Inc.  5.000%  10/15/15  25  29 
Lowe's Cos. Inc.  5.400%  10/15/16  4,525  5,347 
Lowe's Cos. Inc.  6.100%  9/15/17  600  730 
Lowe's Cos. Inc.  4.625%  4/15/20  2,450  2,733 
Marriott International Inc.  6.200%  6/15/16  2,600  2,910 
Marriott International Inc.  6.375%  6/15/17  2,450  2,722 
McDonald's Corp.  5.300%  3/15/17  750  867 
McDonald's Corp.  5.800%  10/15/17  3,950  4,766 
McDonald's Corp.  5.350%  3/1/18  4,775  5,596 
McDonald's Corp.  5.000%  2/1/19  725  836 
Nordstrom Inc.  6.250%  1/15/18  2,700  3,155 
Nordstrom Inc.  4.750%  5/1/20  4,150  4,437 
Target Corp.  5.875%  7/15/16  5,375  6,438 
Target Corp.  6.000%  1/15/18  5,375  6,486 
Target Corp.  3.875%  7/15/20  4,800  5,051 
Time Warner Inc.  5.875%  11/15/16  9,600  11,130 
Time Warner Inc.  4.875%  3/15/20  5,400  5,849 
TJX Cos. Inc.  6.950%  4/15/19  4,325  5,502 
Toll Brothers Finance Corp.  6.750%  11/1/19  1,425  1,472 
Toyota Motor Credit Corp.  4.500%  6/17/20  3,300  3,656 
VF Corp.  5.950%  11/1/17  1,125  1,318 
Viacom Inc.  6.250%  4/30/16  8,800  10,321 
Viacom Inc.  6.125%  10/5/17  50  58 
Viacom Inc.  5.625%  9/15/19  2,175  2,479 
Wal-Mart Stores Inc.  5.375%  4/5/17  2,575  3,050 
Wal-Mart Stores Inc.  5.800%  2/15/18  6,525  7,844 
Wal-Mart Stores Inc.  3.625%  7/8/20  4,800  5,016 
Walgreen Co.  5.250%  1/15/19  5,600  6,510 
Walt Disney Co.  5.625%  9/15/16  3,500  4,197 
Walt Disney Co.  5.875%  12/15/17  2,600  3,152 
Walt Disney Co.  5.500%  3/15/19  1,575  1,875 
Western Union Co.  5.930%  10/1/16  3,800  4,452 
Yum! Brands Inc.  6.250%  4/15/16  2,750  3,233 
Yum! Brands Inc.  6.250%  3/15/18  7,125  8,416 
 
Consumer Noncyclical (4.8%)         
Abbott Laboratories  5.875%  5/15/16  15,900  19,061 
Abbott Laboratories  5.600%  11/30/17  5,000  5,949 
Abbott Laboratories  5.125%  4/1/19  5,200  5,982 
Abbott Laboratories  4.125%  5/27/20  4,225  4,577 
Allergan Inc./United States  5.750%  4/1/16  3,300  3,893 
Altria Group Inc.  9.700%  11/10/18  20,300  27,401 
Altria Group Inc.  9.250%  8/6/19  3,800  5,088 
Amgen Inc.  5.850%  6/1/17  8,675  10,319 
Amgen Inc.  5.700%  2/1/19  3,025  3,606 
Amgen Inc.  3.450%  10/1/20  4,925  4,976 
Anheuser-Busch Cos. Inc.  5.600%  3/1/17  4,100  4,696 
Anheuser-Busch Cos. Inc.  5.500%  1/15/18  4,450  5,021 
Anheuser-Busch InBev Worldwide Inc.  5.375%  1/15/20  12,750  14,342 
Anheuser-Busch InBev Worldwide Inc.  5.000%  4/15/20  2,800  3,074 
Archer-Daniels-Midland Co.  8.375%  4/15/17  1,375  1,804 


Archer-Daniels-Midland Co.  5.450%  3/15/18  4,050  4,703 
AstraZeneca PLC  5.900%  9/15/17  10,925  13,127 
Avon Products Inc.  6.500%  3/1/19  2,000  2,460 
Baxter International Inc.  5.900%  9/1/16  2,600  3,130 
Baxter International Inc.  5.375%  6/1/18  3,500  4,086 
Baxter International Inc.  4.250%  3/15/20  3,000  3,268 
Becton Dickinson and Co.  5.000%  5/15/19  2,975  3,400 
Biogen Idec Inc.  6.875%  3/1/18  4,950  5,789 
Bottling Group LLC  5.500%  4/1/16  2,550  3,005 
Bottling Group LLC  5.125%  1/15/19  7,400  8,506 
Bristol-Myers Squibb Co.  5.450%  5/1/18  3,925  4,646 
Bunge Ltd. Finance Corp.  8.500%  6/15/19  5,875  7,103 
Campbell Soup Co.  3.050%  7/15/17  1,850  1,942 
CareFusion Corp.  6.375%  8/1/19  2,750  3,273 
Clorox Co.  5.950%  10/15/17  4,000  4,716 
Coca-Cola Co.  5.350%  11/15/17  6,150  7,230 
Coca-Cola Co.  4.875%  3/15/19  8,950  10,268 
Coca-Cola Enterprises Inc.  4.500%  8/15/19  900  1,003 
Coca-Cola Femsa SAB de CV  4.625%  2/15/20  2,000  2,155 
ConAgra Foods Inc.  5.819%  6/15/17  1,500  1,724 
ConAgra Foods Inc.  7.000%  4/15/19  500  625 
Corn Products International Inc.  3.200%  11/1/15  1,350  1,375 
Corn Products International Inc.  4.625%  11/1/20  650  666 
Covidien International Finance SA  6.000%  10/15/17  8,125  9,649 
Delhaize Group SA  6.500%  6/15/17  2,800  3,312 
Diageo Capital PLC  5.500%  9/30/16  4,500  5,241 
Diageo Capital PLC  5.750%  10/23/17  4,800  5,678 
Diageo Capital PLC  4.828%  7/15/20  975  1,095 
Diageo Finance BV  5.300%  10/28/15  2,675  3,083 
Dr Pepper Snapple Group Inc.  6.820%  5/1/18  6,075  7,526 
Eli Lilly & Co.  5.200%  3/15/17  4,925  5,690 
Express Scripts Inc.  7.250%  6/15/19  2,050  2,575 
Fortune Brands Inc.  5.375%  1/15/16  3,325  3,643 
General Mills Inc.  5.700%  2/15/17  5,750  6,789 
General Mills Inc.  5.650%  2/15/19  8,775  10,259 
GlaxoSmithKline Capital Inc.  5.650%  5/15/18  14,250  16,869 
Hasbro Inc.  6.300%  9/15/17  2,175  2,397 
Hershey Co.  5.450%  9/1/16  2,100  2,432 
Hospira Inc.  6.050%  3/30/17  2,000  2,290 
Johnson & Johnson  5.550%  8/15/17  550  660 
Johnson & Johnson  5.150%  7/15/18  7,325  8,595 
Kellogg Co.  4.150%  11/15/19  5,600  6,079 
Kimberly-Clark Corp.  6.125%  8/1/17  7,000  8,500 
Kimberly-Clark Corp.  6.250%  7/15/18  675  827 
Kimberly-Clark Corp.  3.625%  8/1/20  1,000  1,043 
Koninklijke Philips Electronics NV  5.750%  3/11/18  8,800  10,269 
Kraft Foods Inc.  4.125%  2/9/16  7,425  8,006 
Kraft Foods Inc.  6.500%  8/11/17  16,450  19,690 
Kraft Foods Inc.  6.125%  2/1/18  5,750  6,763 
Kraft Foods Inc.  6.125%  8/23/18  700  825 
Kraft Foods Inc.  5.375%  2/10/20  20,100  22,374 
Kroger Co.  3.900%  10/1/15  2,700  2,929 
Kroger Co.  6.400%  8/15/17  1,950  2,328 
Kroger Co.  6.150%  1/15/20  6,369  7,570 
Laboratory Corp. of America Holdings  5.625%  12/15/15  1,250  1,413 


Life Technologies Corp.  6.000%  3/1/20  3,150  3,569 
Lorillard Tobacco Co.  8.125%  6/23/19  3,800  4,351 
Lorillard Tobacco Co.  6.875%  5/1/20  5,050  5,361 
McKesson Corp.  5.700%  3/1/17  1,000  1,153 
McKesson Corp.  7.500%  2/15/19  1,825  2,314 
Mead Johnson Nutrition Co.  4.900%  11/1/19  2,475  2,711 
Medco Health Solutions Inc.  7.125%  3/15/18  9,800  12,004 
Medtronic Inc.  5.600%  3/15/19  1,525  1,804 
Medtronic Inc.  4.450%  3/15/20  4,075  4,471 
Merck & Co. Inc.  6.000%  9/15/17  5,775  7,029 
Merck & Co. Inc.  5.000%  6/30/19  5,650  6,547 
Novant Health Inc.  5.850%  11/1/19  1,300  1,448 
Novartis Capital Corp.  4.400%  4/24/20  1,800  1,989 
Novartis Securities Investment Ltd.  5.125%  2/10/19  15,875  18,201 
PepsiAmericas Inc.  5.000%  5/15/17  750  856 
PepsiCo Inc./NC  5.000%  6/1/18  9,200  10,554 
PepsiCo Inc./NC  7.900%  11/1/18  8,700  11,591 
PepsiCo Inc./NC  4.500%  1/15/20  1,900  2,115 
Pfizer Inc.  6.200%  3/15/19  17,600  21,572 
Philip Morris International Inc.  5.650%  5/16/18  18,075  21,223 
Procter & Gamble Co.  4.850%  12/15/15  5,000  5,772 
Procter & Gamble Co.  4.700%  2/15/19  3,350  3,804 
Quest Diagnostics Inc./DE  5.450%  11/1/15  1,900  2,146 
Quest Diagnostics Inc./DE  6.400%  7/1/17  1,325  1,531 
Quest Diagnostics Inc./DE  4.750%  1/30/20  1,300  1,363 
Reynolds American Inc.  7.625%  6/1/16  1,000  1,167 
Reynolds American Inc.  6.750%  6/15/17  6,500  7,264 
Safeway Inc.  6.350%  8/15/17  3,875  4,580 
Safeway Inc.  5.000%  8/15/19  2,750  3,019 
Sara Lee Corp.  4.100%  9/15/20  325  330 
St. Jude Medical Inc.  4.875%  7/15/19  2,757  3,093 
Stryker Corp.  4.375%  1/15/20  1,950  2,130 
Sysco Corp.  5.250%  2/12/18  2,500  2,878 
Teva Pharmaceutical Finance Co. LLC  5.550%  2/1/16  2,675  3,114 
Thermo Fisher Scientific Inc.  4.700%  5/1/20  650  723 
Unilever Capital Corp.  4.800%  2/15/19  2,475  2,799 
UST LLC  5.750%  3/1/18  975  1,056 
Wyeth  5.500%  2/15/16  5,000  5,849 
Wyeth  5.450%  4/1/17  1,725  2,013 
Zimmer Holdings Inc.  4.625%  11/30/19  3,175  3,428 
 
Energy (2.5%)         
Anadarko Petroleum Corp.  5.950%  9/15/16  12,000  13,128 
Anadarko Petroleum Corp.  6.375%  9/15/17  6,400  7,008 
Anadarko Petroleum Corp.  6.950%  6/15/19  2,700  2,983 
Apache Corp.  5.625%  1/15/17  3,625  4,166 
Apache Corp.  6.900%  9/15/18  2,800  3,502 
Baker Hughes Inc.  7.500%  11/15/18  3,000  3,817 
BJ Services Co.  6.000%  6/1/18  1,225  1,436 
BP Capital Markets PLC  4.750%  3/10/19  3,975  4,138 
BP Capital Markets PLC  4.500%  10/1/20  5,625  5,731 
Cameron International Corp.  6.375%  7/15/18  1,600  1,815 
Canadian Natural Resources Ltd.  6.000%  8/15/16  4,000  4,709 
Canadian Natural Resources Ltd.  5.700%  5/15/17  3,625  4,183 
Cenovus Energy Inc.  5.700%  10/15/19  8,900  10,399 


Chevron Corp.  4.950%  3/3/19  6,300  7,336 
ConocoPhillips  5.750%  2/1/19  10,875  13,047 
ConocoPhillips Canada Funding Co. I  5.625%  10/15/16  9,825  11,593 
Devon Energy Corp.  6.300%  1/15/19  2,875  3,480 
Diamond Offshore Drilling Inc.  5.875%  5/1/19  1,050  1,198 
Encana Corp.  5.900%  12/1/17  4,225  4,947 
Encana Corp.  6.500%  5/15/19  1,100  1,346 
EOG Resources Inc.  5.875%  9/15/17  3,300  3,887 
EOG Resources Inc.  6.875%  10/1/18  4,525  5,658 
EOG Resources Inc.  4.400%  6/1/20  1,700  1,844 
Halliburton Co.  6.150%  9/15/19  4,300  5,126 
Hess Corp.  8.125%  2/15/19  7,700  10,120 
Husky Energy Inc.  6.150%  6/15/19  510  587 
Husky Energy Inc.  7.250%  12/15/19  4,595  5,608 
Marathon Oil Corp.  6.000%  10/1/17  8,775  10,174 
Marathon Oil Corp.  5.900%  3/15/18  150  173 
Nabors Industries Inc.  6.150%  2/15/18  5,475  6,065 
Nabors Industries Inc.  9.250%  1/15/19  4,800  6,136 
2 Nabors Industries Inc.  5.000%  9/15/20  1,450  1,465 
Nexen Inc.  5.650%  5/15/17  1,850  2,081 
Nexen Inc.  6.200%  7/30/19  2,000  2,338 
Noble Energy Inc.  8.250%  3/1/19  4,000  5,188 
Noble Holding International Ltd.  4.900%  8/1/20  2,500  2,686 
Petro-Canada  6.050%  5/15/18  2,225  2,590 
Rowan Cos. Inc.  7.875%  8/1/19  2,150  2,553 
Shell International Finance BV  5.200%  3/22/17  2,775  3,190 
Shell International Finance BV  4.300%  9/22/19  17,700  19,283 
Shell International Finance BV  4.375%  3/25/20  2,375  2,608 
Smith International Inc.  9.750%  3/15/19  4,500  6,460 
Statoil ASA  3.125%  8/17/17  3,800  3,952 
Statoil ASA  5.250%  4/15/19  7,825  9,066 
Suncor Energy Inc.  6.100%  6/1/18  8,700  10,184 
Sunoco Inc.  5.750%  1/15/17  2,075  2,169 
Talisman Energy Inc.  7.750%  6/1/19  3,875  4,940 
Total Capital SA  3.125%  10/2/15  4,750  5,005 
Total Capital SA  4.450%  6/24/20  6,450  7,053 
Transocean Inc.  4.950%  11/15/15  4,600  4,761 
Transocean Inc.  6.000%  3/15/18  4,750  4,999 
Valero Energy Corp.  6.125%  6/15/17  6,000  6,643 
Valero Energy Corp.  9.375%  3/15/19  4,000  5,077 
Valero Energy Corp.  6.125%  2/1/20  3,700  4,031 
Weatherford Bermuda Holdings Ltd.  5.125%  9/15/20  900  919 
Weatherford International Inc.  6.350%  6/15/17  2,035  2,273 
Weatherford International Ltd.  5.500%  2/15/16  1,000  1,087 
Weatherford International Ltd.  6.000%  3/15/18  2,575  2,845 
Weatherford International Ltd.  9.625%  3/1/19  7,725  10,073 
XTO Energy Inc.  6.250%  8/1/17  6,125  7,571 
XTO Energy Inc.  5.500%  6/15/18  4,875  5,830 
XTO Energy Inc.  6.500%  12/15/18  4,100  5,215 
 
Other Industrial (0.0%)         
Cintas Corp. No 2  6.125%  12/1/17  1,300  1,563 
 
Technology (1.7%)         
Adobe Systems Inc.  4.750%  2/1/20  4,175  4,478 


Agilent Technologies Inc.  6.500%  11/1/17  4,025  4,621 
Avnet Inc.  6.625%  9/15/16  3,000  3,421 
BMC Software Inc.  7.250%  6/1/18  1,550  1,868 
CA Inc.  5.375%  12/1/19  3,450  3,737 
Cisco Systems Inc.  5.500%  2/22/16  21,475  25,291 
Cisco Systems Inc.  4.950%  2/15/19  6,000  6,866 
Cisco Systems Inc.  4.450%  1/15/20  9,200  10,103 
Computer Sciences Corp.  6.500%  3/15/18  7,400  8,429 
Corning Inc.  6.625%  5/15/19  950  1,152 
Dell Inc.  5.650%  4/15/18  2,500  2,859 
Dell Inc.  5.875%  6/15/19  4,025  4,675 
Equifax Inc.  6.300%  7/1/17  1,300  1,461 
Fiserv Inc.  6.800%  11/20/17  3,150  3,636 
Fiserv Inc.  4.625%  10/1/20  1,800  1,815 
Harris Corp.  5.000%  10/1/15  1,425  1,563 
Harris Corp.  5.950%  12/1/17  775  883 
Harris Corp.  6.375%  6/15/19  1,425  1,655 
Hewlett-Packard Co.  5.400%  3/1/17  2,750  3,193 
Hewlett-Packard Co.  5.500%  3/1/18  5,375  6,341 
International Business Machines Corp.  5.700%  9/14/17  28,975  34,510 
Intuit Inc.  5.750%  3/15/17  1,025  1,161 
Lexmark International Inc.  6.650%  6/1/18  2,975  3,351 
Microsoft Corp.  4.200%  6/1/19  7,375  8,183 
Motorola Inc.  6.000%  11/15/17  3,725  4,151 
Nokia Oyj  5.375%  5/15/19  4,825  5,276 
Oracle Corp.  5.250%  1/15/16  20,675  23,968 
Oracle Corp.  5.750%  4/15/18  8,000  9,522 
Oracle Corp.  5.000%  7/8/19  1,750  2,012 
2  Oracle Corp.  3.875%  7/15/20  440  462 
Pitney Bowes Inc.  4.750%  1/15/16  6,175  6,528 
Pitney Bowes Inc.  5.750%  9/15/17  2,400  2,597 
Pitney Bowes Inc.  4.750%  5/15/18  1,625  1,668 
Symantec Corp.  4.200%  9/15/20  1,800  1,802 
Tyco Electronics Group SA  6.550%  10/1/17  1,250  1,458 
Xerox Corp.  6.400%  3/15/16  5,700  6,636 
Xerox Corp.  6.750%  2/1/17  1,850  2,171 
Xerox Corp.  6.350%  5/15/18  5,575  6,468 
Xerox Corp.  5.625%  12/15/19  2,775  3,097 
 
Transportation (0.8%)         
3  American Airlines Pass Through Trust 2009-         
1A  10.375%  7/2/19  1,183  1,405 
Burlington Northern Santa Fe LLC  5.650%  5/1/17  5,150  5,925 
Burlington Northern Santa Fe LLC  5.750%  3/15/18  5,400  6,249 
Canadian National Railway Co.  5.800%  6/1/16  1,950  2,321 
Canadian National Railway Co.  5.850%  11/15/17  500  594 
Canadian National Railway Co.  5.550%  5/15/18  900  1,054 
Canadian Pacific Railway Co.  7.250%  5/15/19  1,500  1,857 
Con-way Inc.  7.250%  1/15/18  2,000  2,193 
3  Continental Airlines 1997-4 Class A Pass         
Through Trust  6.900%  1/2/18  1,416  1,498 
3  Continental Airlines 1998-1 Class A Pass         
Through Trust  6.648%  9/15/17  1,457  1,530 
3 Continental Airlines 1999-1 Class A Pass         
Through Trust  6.545%  2/2/19  609  639 


3 Continental Airlines 2009-2 Class A Pass         
Through Trust  7.250%  11/10/19  1,500  1,658 
CSX Corp.  5.600%  5/1/17  3,850  4,394 
CSX Corp.  7.900%  5/1/17  282  356 
CSX Corp.  6.250%  3/15/18  5,375  6,361 
CSX Corp.  7.375%  2/1/19  1,425  1,789 
CSX Corp.  6.220%  4/30/40  393  451 
3  Delta Air Lines 1999-1 Class A Pass Through         
Trust  7.750%  12/17/19  2,164  2,391 
3  Delta Air Lines 2010-1 Class A Pass Through         
Trust  6.200%  7/2/18  2,900  3,059 
FedEx Corp.  8.000%  1/15/19  1,515  1,961 
Norfolk Southern Corp.  5.750%  1/15/16  2,050  2,372 
Norfolk Southern Corp.  7.700%  5/15/17  2,400  3,047 
Norfolk Southern Corp.  5.750%  4/1/18  3,175  3,684 
Norfolk Southern Corp.  5.900%  6/15/19  6,900  8,179 
Norfolk Southern Railway Co.  9.750%  6/15/20  411  592 
Ryder System Inc.  3.600%  3/1/16  2,400  2,433 
Ryder System Inc.  5.850%  11/1/16  1,000  1,126 
Southwest Airlines Co.  5.750%  12/15/16  1,300  1,427 
Southwest Airlines Co.  5.125%  3/1/17  650  678 
Union Pacific Corp.  7.000%  2/1/16  550  670 
Union Pacific Corp.  5.650%  5/1/17  3,300  3,797 
Union Pacific Corp.  5.750%  11/15/17  4,675  5,438 
Union Pacific Corp.  5.700%  8/15/18  8,325  9,688 
United Parcel Service Inc.  5.500%  1/15/18  3,100  3,650 
United Parcel Service Inc.  5.125%  4/1/19  2,200  2,590 
United Parcel Service of America Inc.  8.375%  4/1/20  500  702 
        2,447,645 
Utilities (4.1%)         
Electric (2.7%)         
Alabama Power Co.  5.500%  10/15/17  2,100  2,435 
Ameren Energy Generating Co.  7.000%  4/15/18  1,175  1,189 
American Water Capital Corp.  6.085%  10/15/17  3,025  3,434 
Appalachian Power Co.  7.950%  1/15/20  675  888 
Baltimore Gas & Electric Co.  5.900%  10/1/16  2,250  2,646 
Carolina Power & Light Co.  5.250%  12/15/15  3,000  3,480 
Carolina Power & Light Co.  5.300%  1/15/19  11,225  13,045 
CenterPoint Energy Inc.  6.500%  5/1/18  4,500  5,191 
Cleveland Electric Illuminating Co.  7.880%  11/1/17  250  313 
Commonwealth Edison Co.  5.950%  8/15/16  1,975  2,353 
Commonwealth Edison Co.  6.150%  9/15/17  4,250  5,049 
Commonwealth Edison Co.  5.800%  3/15/18  2,550  2,974 
Commonwealth Edison Co.  4.000%  8/1/20  2,000  2,102 
Connecticut Light & Power Co.  5.650%  5/1/18  3,000  3,454 
Consolidated Edison Co. of New York Inc.  5.500%  9/15/16  3,350  3,924 
Consolidated Edison Co. of New York Inc.  5.850%  4/1/18  5,000  5,943 
Consolidated Edison Co. of New York Inc.  7.125%  12/1/18  2,000  2,557 
Consolidated Edison Co. of New York Inc.  6.650%  4/1/19  1,200  1,504 
Consolidated Edison Co. of New York Inc.  4.450%  6/15/20  1,525  1,674 
Consumers Energy Co.  5.500%  8/15/16  3,850  4,418 
Consumers Energy Co.  6.125%  3/15/19  300  358 
Consumers Energy Co.  6.700%  9/15/19  2,900  3,644 
Consumers Energy Co.  5.650%  4/15/20  1,075  1,259 
Detroit Edison Co.  3.450%  10/1/20  2,500  2,545 


Dominion Resources Inc.  6.000%  11/30/17  8,750  10,337 
Dominion Resources Inc.  8.875%  1/15/19  5,375  7,311 
Dominion Resources Inc.  5.200%  8/15/19  1,000  1,145 
3  Dominion Resources Inc.  7.500%  6/30/66  1,300  1,339 
Duke Energy Carolinas LLC  5.100%  4/15/18  8,750  9,969 
Duke Energy Carolinas LLC  4.300%  6/15/20  1,050  1,153 
Duke Energy Corp.  5.050%  9/15/19  7,200  8,041 
Duke Energy Indiana Inc.  6.050%  6/15/16  1,500  1,785 
Duke Energy Indiana Inc.  3.750%  7/15/20  1,900  1,984 
Entergy Gulf States Louisiana LLC  6.000%  5/1/18  2,600  3,007 
Entergy Louisiana LLC  6.500%  9/1/18  3,075  3,710 
Exelon Generation Co. LLC  6.200%  10/1/17  3,500  4,103 
Exelon Generation Co. LLC  4.000%  10/1/20  2,700  2,705 
Florida Power & Light Co.  5.550%  11/1/17  3,950  4,683 
Florida Power Corp.  5.650%  6/15/18  2,100  2,485 
FPL Group Capital Inc.  6.000%  3/1/19  4,500  5,155 
3  FPL Group Capital Inc.  6.350%  10/1/66  1,825  1,754 
3  FPL Group Capital Inc.  6.650%  6/15/67  1,700  1,645 
3  FPL Group Capital Inc.  7.300%  9/1/67  1,000  1,030 
Georgia Power Co.  5.700%  6/1/17  7,000  8,236 
Illinois Power Co.  6.125%  11/15/17  3,100  3,501 
Illinois Power Co.  6.250%  4/1/18  2,000  2,286 
Illinois Power Co.  9.750%  11/15/18  3,300  4,435 
Indiana Michigan Power Co.  7.000%  3/15/19  2,497  3,066 
3  Integrys Energy Group Inc.  6.110%  12/1/66  1,500  1,389 
Jersey Central Power & Light Co.  5.625%  5/1/16  5,675  6,450 
Jersey Central Power & Light Co.  5.650%  6/1/17  5,475  6,162 
Metropolitan Edison Co.  7.700%  1/15/19  2,000  2,514 
MidAmerican Energy Co.  5.950%  7/15/17  925  1,093 
MidAmerican Energy Co.  5.300%  3/15/18  4,900  5,630 
Midamerican Energy Holdings Co.  5.750%  4/1/18  4,350  5,047 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  4/10/17  250  288 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  2/1/18  13,625  15,720 
National Rural Utilities Cooperative Finance         
Corp.  10.375%  11/1/18  2,525  3,622 
Nevada Power Co.  6.500%  5/15/18  2,675  3,224 
Nevada Power Co.  6.500%  8/1/18  3,575  4,299 
Nisource Finance Corp.  10.750%  3/15/16  1,000  1,321 
Nisource Finance Corp.  5.250%  9/15/17  500  543 
Nisource Finance Corp.  6.400%  3/15/18  10,550  12,190 
Nisource Finance Corp.  6.800%  1/15/19  850  1,002 
Northern States Power Co.  5.250%  3/1/18  5,350  6,195 
NSTAR  4.500%  11/15/19  2,500  2,741 
NSTAR Electric Co.  5.625%  11/15/17  975  1,159 
Ohio Edison Co.  6.400%  7/15/16  1,200  1,408 
Ohio Power Co.  6.000%  6/1/16  2,425  2,835 
Oncor Electric Delivery Co. LLC  6.800%  9/1/18  3,500  4,314 
Pacific Gas & Electric Co.  5.625%  11/30/17  6,900  7,978 
Pacific Gas & Electric Co.  8.250%  10/15/18  1,325  1,758 
Pacific Gas & Electric Co.  3.500%  10/1/20  2,150  2,127 
PacifiCorp  5.650%  7/15/18  2,575  3,077 
Peco Energy Co.  5.350%  3/1/18  2,475  2,882 
Pennsylvania Electric Co.  6.050%  9/1/17  800  906 


PPL Energy Supply LLC  6.200%  5/15/16  3,575  4,092 
PPL Energy Supply LLC  6.500%  5/1/18  750  871 
Progress Energy Inc.  5.625%  1/15/16  1,425  1,629 
Progress Energy Inc.  7.050%  3/15/19  1,800  2,239 
PSEG Power LLC  5.500%  12/1/15  3,125  3,535 
PSEG Power LLC  5.125%  4/15/20  3,562  3,916 
Public Service Co. of Colorado  5.125%  6/1/19  2,300  2,648 
Public Service Co. of Oklahoma  5.150%  12/1/19  650  714 
San Diego Gas & Electric Co.  5.300%  11/15/15  300  350 
Sierra Pacific Power Co.  6.000%  5/15/16  2,525  2,928 
South Carolina Electric & Gas Co.  6.500%  11/1/18  2,400  2,995 
Southern California Edison Co.  5.000%  1/15/16  675  774 
Southwestern Electric Power Co.  5.550%  1/15/17  3,500  3,844 
Southwestern Electric Power Co.  6.450%  1/15/19  2,075  2,374 
Tampa Electric Co.  6.100%  5/15/18  2,150  2,542 
Teco Finance Inc.  4.000%  3/15/16  1,100  1,158 
Teco Finance Inc.  5.150%  3/15/20  1,350  1,480 
TransAlta Corp.  6.750%  7/15/12  125  135 
TransAlta Corp.  6.650%  5/15/18  2,975  3,529 
Union Electric Co.  5.400%  2/1/16  300  335 
Union Electric Co.  6.700%  2/1/19  4,000  4,863 
United Utilities PLC  5.375%  2/1/19  1,000  1,073 
Virginia Electric and Power Co.  5.400%  1/15/16  4,450  5,202 
Westar Energy Inc.  8.625%  12/1/18  2,000  2,652 
Wisconsin Electric Power Co.  4.250%  12/15/19  1,525  1,669 
3  Wisconsin Energy Corp.  6.250%  5/15/67  5,275  5,077 
Wisconsin Power & Light Co.  5.000%  7/15/19  2,275  2,574 
Xcel Energy Inc.  4.700%  5/15/20  2,000  2,183 
 
Natural Gas (1.4%)         
AGL Capital Corp.  5.250%  8/15/19  2,300  2,546 
Atmos Energy Corp.  8.500%  3/15/19  600  778 
Boardwalk Pipelines LP  5.500%  2/1/17  3,725  4,059 
Buckeye Partners LP  6.050%  1/15/18  4,550  5,083 
CenterPoint Energy Resources Corp.  6.150%  5/1/16  1,350  1,541 
CenterPoint Energy Resources Corp.  6.000%  5/15/18  5,000  5,733 
El Paso Natural Gas Co.  5.950%  4/15/17  1,700  1,846 
Enbridge Energy Partners LP  6.500%  4/15/18  3,075  3,610 
Enbridge Energy Partners LP  9.875%  3/1/19  1,700  2,324 
Enbridge Energy Partners LP  5.200%  3/15/20  1,875  2,039 
Enbridge Inc.  5.600%  4/1/17  3,550  4,109 
Energy Transfer Partners LP  6.125%  2/15/17  4,850  5,380 
Energy Transfer Partners LP  9.000%  4/15/19  8,500  10,880 
Enterprise Products Operating LLC  6.300%  9/15/17  2,525  2,921 
Enterprise Products Operating LLC  6.650%  4/15/18  550  643 
Enterprise Products Operating LLC  6.500%  1/31/19  3,050  3,550 
Enterprise Products Operating LLC  5.250%  1/31/20  5,000  5,434 
Enterprise Products Operating LLC  5.200%  9/1/20  1,500  1,622 
EQT Corp.  6.500%  4/1/18  3,800  4,326 
EQT Corp.  8.125%  6/1/19  1,725  2,132 
Kinder Morgan Energy Partners LP  6.000%  2/1/17  1,000  1,128 
Kinder Morgan Energy Partners LP  5.950%  2/15/18  250  282 
Kinder Morgan Energy Partners LP  6.850%  2/15/20  8,925  10,688 
Magellan Midstream Partners LP  5.650%  10/15/16  650  741 
Magellan Midstream Partners LP  6.550%  7/15/19  3,475  4,143 


National Grid PLC  6.300%  8/1/16  6,200  7,322 
NuStar Logistics LP  7.650%  4/15/18  2,900  3,474 
ONEOK Partners LP  6.150%  10/1/16  3,125  3,637 
ONEOK Partners LP  8.625%  3/1/19  5,000  6,505 
Panhandle Eastern Pipeline Co. LP  6.200%  11/1/17  2,000  2,215 
Panhandle Eastern Pipeline Co. LP  7.000%  6/15/18  2,525  2,946 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.125%  1/15/17  2,500  2,800 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.500%  5/1/18  2,675  3,067 
Plains All American Pipeline LP / PAA         
Finance Corp.  8.750%  5/1/19  200  254 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.750%  1/15/20  600  662 
Sempra Energy  6.150%  6/15/18  2,800  3,328 
Sempra Energy  9.800%  2/15/19  4,370  6,111 
2  Southern Natural Gas Co.  5.900%  4/1/17  6,525  7,139 
Spectra Energy Capital LLC  6.200%  4/15/18  1,700  1,963 
Spectra Energy Capital LLC  8.000%  10/1/19  425  539 
TransCanada PipeLines Ltd.  6.500%  8/15/18  5,000  6,113 
TransCanada PipeLines Ltd.  7.125%  1/15/19  2,500  3,184 
TransCanada PipeLines Ltd.  3.800%  10/1/20  1,875  1,911 
3  TransCanada PipeLines Ltd.  6.350%  5/15/67  6,475  6,035 
Transcontinental Gas Pipe Line Co. LLC  6.050%  6/15/18  2,500  2,942 
Williams Partners LP  5.250%  3/15/20  5,525  6,015 
Williams Partners LP / Williams Partners         
Finance Corp.  7.250%  2/1/17  6,900  8,223 
 
Other Utility (0.0%)         
Veolia Environnement  6.000%  6/1/18  3,500  4,041 
        524,463 
Total Corporate Bonds (Cost $4,165,589)        4,700,828 
Sovereign Bonds (U.S. Dollar-Denominated) (5.6%)         
Asian Development Bank  5.500%  6/27/16  6,900  8,275 
Asian Development Bank  5.250%  6/12/17  2,300  2,757 
Asian Development Bank  5.593%  7/16/18  1,975  2,371 
Brazilian Government International Bond  6.000%  1/17/17  28,575  33,290 
3  Brazilian Government International Bond  8.000%  1/15/18  12,750  15,255 
Brazilian Government International Bond  5.875%  1/15/19  5,450  6,390 
Chile Government International Bond  3.875%  8/5/20  3,800  3,944 
China Development Bank Corp.  5.000%  10/15/15  3,450  3,872 
Corp Andina de Fomento  3.750%  1/15/16  1,500  1,523 
Corp Andina de Fomento  8.125%  6/4/19  5,500  6,867 
Corp. Andina de Fomento  5.750%  1/12/17  5,025  5,529 
Development Bank of Japan  5.125%  2/1/17  3,700  4,334 
Eksportfinans ASA  5.500%  5/25/16  3,125  3,666 
Eksportfinans ASA  5.500%  6/26/17  6,100  7,198 
European Investment Bank  4.875%  2/16/16  9,250  10,703 
European Investment Bank  5.125%  9/13/16  11,550  13,618 
European Investment Bank  4.875%  1/17/17  14,975  17,499 
European Investment Bank  5.125%  5/30/17  20,550  24,311 
European Investment Bank  2.875%  9/15/20  5,100  5,147 
Export-Import Bank of Korea  5.125%  6/29/20  4,400  4,734 
Hungary Government International Bond  6.250%  1/29/20  5,000  5,353 
Hydro Quebec  7.500%  4/1/16  2,500  3,202 


  Inter-American Development Bank  5.125%  9/13/16  6,700  7,893 
  Inter-American Development Bank  2.375%  8/15/17  9,000  9,194 
  Inter-American Development Bank  3.875%  9/17/19  5,025  5,575 
  Inter-American Development Bank  3.875%  2/14/20  5,475  6,043 
  International Bank for Reconstruction &         
  Development  5.000%  4/1/16  9,375  10,968 
  Israel Government International Bond  5.500%  11/9/16  4,025  4,651 
  Israel Government International Bond  5.125%  3/26/19  9,200  10,216 
  Japan Finance Organization for Municipalities  5.000%  5/16/17  3,800  4,450 
  Korea Development Bank  3.250%  3/9/16  1,875  1,884 
  Korea Finance Corp.  3.250%  9/20/16  4,200  4,193 
  Kreditanstalt fuer Wiederaufbau  5.125%  3/14/16  10,875  12,768 
4  Kreditanstalt fuer Wiederaufbau  4.875%  1/17/17  3,000  3,515 
  Kreditanstalt fuer Wiederaufbau  4.375%  3/15/18  19,700  22,400 
  Kreditanstalt fuer Wiederaufbau  4.500%  7/16/18  19,875  22,871 
4  Kreditanstalt fuer Wiederaufbau  4.875%  6/17/19  13,450  15,799 
^,4 Kreditanstalt fuer Wiederaufbau  4.000%  1/27/20  12,500  13,790 
4  Kreditanstalt fuer Wiederaufbau  2.750%  9/8/20  17,650  17,777 
  Landwirtschaftliche Rentenbank  4.875%  11/16/15  6,525  7,471 
4  Landwirtschaftliche Rentenbank  5.125%  2/1/17  8,775  10,312 
^  Landwirtschaftliche Rentenbank  2.375%  9/13/17  4,000  4,028 
  Mexico Government International Bond  11.375%  9/15/16  1,725  2,506 
  Mexico Government International Bond  5.625%  1/15/17  32,200  36,980 
  Mexico Government International Bond  5.950%  3/19/19  11,500  13,513 
  Mexico Government International Bond  8.125%  12/30/19  1,625  2,198 
  Mexico Government International Bond  5.125%  1/15/20  9,550  10,649 
  Nordic Investment Bank  5.000%  2/1/17  7,650  8,988 
  Oesterreichische Kontrollbank AG  4.875%  2/16/16  5,000  5,725 
5  Oesterreichische Kontrollbank AG  5.000%  4/25/17  6,425  7,458 
  Panama Government International Bond  5.200%  1/30/20  3,450  3,798 
  Pemex Project Funding Master Trust  5.750%  3/1/18  14,400  15,802 
  Peruvian Government International Bond  7.125%  3/30/19  8,400  10,500 
  Petrobras International Finance Co. - Pifco  6.125%  10/6/16  8,475  9,425 
  Petrobras International Finance Co. - Pifco  5.875%  3/1/18  8,175  9,083 
  Petrobras International Finance Co. - Pifco  8.375%  12/10/18  1,500  1,838 
  Petrobras International Finance Co. - Pifco  7.875%  3/15/19  11,950  14,519 
  Petrobras International Finance Co. - Pifco  5.750%  1/20/20  8,125  9,041 
  Petroleos Mexicanos  8.000%  5/3/19  5,075  6,359 
2  Petroleos Mexicanos  6.000%  3/5/20  5,825  6,419 
  Poland Government International Bond  5.000%  10/19/15  4,500  4,922 
  Poland Government International Bond  6.375%  7/15/19  17,050  20,162 
  Province of Manitoba Canada  4.900%  12/6/16  5,500  6,414 
  Province of Manitoba Canada  9.250%  4/1/20  1,500  2,209 
  Province of Ontario Canada  4.750%  1/19/16  6,600  7,553 
  Province of Ontario Canada  4.000%  10/7/19  15,400  16,713 
  Province of Ontario Canada  4.400%  4/14/20  12,750  14,145 
  Province of Quebec Canada  5.125%  11/14/16  8,975  10,447 
  Province of Quebec Canada  4.625%  5/14/18  4,500  5,097 
  Province of Quebec Canada  3.500%  7/29/20  8,100  8,264 
  Republic of Italy  4.750%  1/25/16  4,275  4,594 
  Republic of Italy  5.250%  9/20/16  25,700  28,308 
  Republic of Italy  5.375%  6/12/17  425  470 
  Republic of Korea  7.125%  4/16/19  6,550  8,306 
  South Africa Government International Bond  6.875%  5/27/19  9,150  11,209 
  South Africa Government International Bond  5.500%  3/9/20  7,875  8,781 


Svensk Exportkredit AB  5.125%  3/1/17  6,250  7,265 
Total Sovereign Bonds (Cost $646,053)        725,296 
Taxable Municipal Bonds (0.1%)         
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  3.625%  5/1/14  2,500  2,702 
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  4.250%  5/1/16  800  896 
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  4.750%  5/1/19  800  904 
California GO  5.950%  4/1/16  2,800  3,089 
California GO  6.200%  3/1/19  500  547 
California GO  6.200%  10/1/19  3,925  4,317 
Kentucky Asset/Liability Comm. General Fund         
Rev.  3.165%  4/1/18  1,250  1,262 
Loudoun County VA IDA Rev. (Howard         
Hughes Medical Institute)  3.450%  9/1/14  2,750  2,955 
New Hampshire Health & Educ. Fac. Auth.         
Rev. (Dartmouth College)  4.750%  6/1/19  1,000  1,131 
Wisconsin GO  4.800%  5/1/13  1,350  1,464 
Total Taxable Municipal Bonds (Cost $17,703)        19,267 
      Shares   
Temporary Cash Investment (0.8%)         
Money Market Fund (0.8%)         
6,7  Vanguard Market Liquidity Fund         
(Cost $94,324)  0.261%    94,324,397  94,324 
Total Investments (99.5%) (Cost $11,635,473)        12,824,099 
Other Assets and Liabilities-Net (0.5%)7        70,773 
Net Assets (100%)        12,894,872 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $17,881,000.
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 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2010, the aggregate value of these securities was $52,917,000, representing 0.4% of net assets.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Guaranteed by the Federal Republic of Germany.
5 Guaranteed by the Republic of Austria.
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 $18,362,000 of collateral received for securities on loan.
GO—General Obligation Bond.
IDA—Industrial Development Authority 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 September 30, 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  —  7,272,089  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  12,295  — 
Corporate Bonds  —  4,700,828  — 
Sovereign Bonds  —  725,296  — 
Taxable Municipal Bonds  —  19,267  — 
Temporary Cash Investments  94,324  —  — 
Total  94,324  12,729,775  — 

C. At September 30, 2010, the cost of investment securities for tax purposes was $11,635,473,000. Net unrealized appreciation of investment securities for tax purposes was $1,188,626,000, consisting of unrealized gains of $1,190,430,000 on securities that had risen in value since their purchase and $1,804,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Bond Index Fund

Schedule of Investments
As of September 30, 2010

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (45.1%)         
U.S. Government Securities (41.6%)         
  United States Treasury Note/Bond  1.250%  11/30/10  1,050  1,052 
  United States Treasury Note/Bond  1.000%  9/30/11  1,595  1,606 
  United States Treasury Note/Bond  0.375%  8/31/12  9,875  9,866 
  United States Treasury Note/Bond  2.375%  10/31/14  1,545  1,631 
  United States Treasury Note/Bond  2.625%  8/15/20  8,610  8,691 
  United States Treasury Note/Bond  8.125%  5/15/21  1,520  2,295 
  United States Treasury Note/Bond  8.125%  8/15/21  2,335  3,539 
  United States Treasury Note/Bond  8.000%  11/15/21  84,130  126,892 
  United States Treasury Note/Bond  7.250%  8/15/22  395  573 
  United States Treasury Note/Bond  7.625%  11/15/22  4,635  6,921 
  United States Treasury Note/Bond  7.125%  2/15/23  66,840  96,406 
  United States Treasury Note/Bond  6.250%  8/15/23  80,640  109,217 
  United States Treasury Note/Bond  7.500%  11/15/24  26,090  39,543 
  United States Treasury Note/Bond  7.625%  2/15/25  2,120  3,254 
  United States Treasury Note/Bond  6.875%  8/15/25  61,245  88,977 
  United States Treasury Note/Bond  6.000%  2/15/26  20,125  27,185 
  United States Treasury Note/Bond  6.750%  8/15/26  665  967 
  United States Treasury Note/Bond  6.500%  11/15/26  670  954 
  United States Treasury Note/Bond  6.625%  2/15/27  5  7 
  United States Treasury Note/Bond  6.375%  8/15/27  43,045  60,808 
  United States Treasury Note/Bond  6.125%  11/15/27  7,347  10,142 
  United States Treasury Note/Bond  5.500%  8/15/28  18,805  24,391 
  United States Treasury Note/Bond  5.250%  11/15/28  960  1,213 
  United States Treasury Note/Bond  5.250%  2/15/29  5,250  6,635 
  United States Treasury Note/Bond  6.125%  8/15/29  48,185  67,045 
  United States Treasury Note/Bond  6.250%  5/15/30  20,160  28,530 
  United States Treasury Note/Bond  5.375%  2/15/31  52,920  68,126 
  United States Treasury Note/Bond  4.500%  2/15/36  37,725  43,360 
  United States Treasury Note/Bond  4.750%  2/15/37  16,800  20,081 
  United States Treasury Note/Bond  5.000%  5/15/37  22,945  28,488 
  United States Treasury Note/Bond  4.375%  2/15/38  43,598  49,129 
  United States Treasury Note/Bond  4.500%  5/15/38  71,180  81,835 
  United States Treasury Note/Bond  3.500%  2/15/39  76,923  74,386 
  United States Treasury Note/Bond  4.250%  5/15/39  115,328  126,806 
  United States Treasury Note/Bond  4.500%  8/15/39  118,951  136,162 
  United States Treasury Note/Bond  4.375%  11/15/39  98,685  110,666 
  United States Treasury Note/Bond  4.625%  2/15/40  54,421  63,553 
  United States Treasury Note/Bond  4.375%  5/15/40  73,855  82,914 
  United States Treasury Note/Bond  3.875%  8/15/40  28,200  29,147 
          1,642,993 
Agency Bonds and Notes (3.5%)         
1  Federal Home Loan Banks  5.250%  12/11/20  1,500  1,801 
1  Federal Home Loan Banks  5.625%  6/11/21  3,000  3,698 
1  Federal Home Loan Banks  5.625%  3/14/36  1,000  1,213 
1  Federal Home Loan Banks  5.500%  7/15/36  4,200  5,101 
1  Federal Home Loan Mortgage Corp.  6.750%  9/15/29  7,700  10,623 
1  Federal Home Loan Mortgage Corp.  6.750%  3/15/31  13,050  18,262 


1  Federal Home Loan Mortgage Corp.  6.250%  7/15/32  4,525  6,069 
1  Federal National Mortgage Assn.  6.250%  5/15/29  9,400  12,337 
1  Federal National Mortgage Assn.  7.125%  1/15/30  9,075  13,034 
1  Federal National Mortgage Assn.  7.250%  5/15/30  6,635  9,665 
1  Federal National Mortgage Assn.  6.625%  11/15/30  3,300  4,547 
1  Federal National Mortgage Assn.  5.625%  7/15/37  7,325  9,064 
1  Federal National Mortgage Assn.  6.210%  8/6/38  1,000  1,299 
  Israel Government AID Bond  5.500%  9/18/23  1,375  1,699 
  Israel Government AID Bond  5.500%  12/4/23  5,325  6,555 
  Israel Government AID Bond  5.500%  4/26/24  2,900  3,592 
  Private Export Funding Corp.  4.300%  12/15/21  1,075  1,184 
  Resolution Funding Corp.  8.625%  1/15/21  850  1,227 
1  Tennessee Valley Authority  6.750%  11/1/25  4,500  6,083 
1  Tennessee Valley Authority  7.125%  5/1/30  1,250  1,758 
1  Tennessee Valley Authority  4.650%  6/15/35  2,825  3,011 
1  Tennessee Valley Authority  5.880%  4/1/36  1,000  1,249 
1  Tennessee Valley Authority  5.980%  4/1/36  1,000  1,273 
1  Tennessee Valley Authority  6.150%  1/15/38  2,450  3,213 
1  Tennessee Valley Authority  5.500%  6/15/38  1,175  1,391 
1  Tennessee Valley Authority  5.250%  9/15/39  3,375  3,916 
1  Tennessee Valley Authority  4.875%  1/15/48  2,500  2,792 
1  Tennessee Valley Authority  5.375%  4/1/56  1,850  2,225 
1  Tennessee Valley Authority  4.625%  9/15/60  1,700  1,778 
          139,659 
Total U.S. Government and Agency Obligations (Cost $1,610,574)      1,782,652 
Asset-Backed/Commercial Mortgage-Backed Security (0.1%)       
2  PSE&G Transition Funding LLC         
  (Cost $2,500)  6.890%  12/15/17  2,500  3,093 
Corporate Bonds (43.0%)         
Finance (9.1%)         
  Banking (5.2%)         
2  Abbey National Capital Trust I  8.963%  12/29/49  2,300  2,483 
  American Express Co.  8.150%  3/19/38  1,950  2,745 
  BAC Capital Trust XI  6.625%  5/23/36  4,000  4,092 
  Bank of America Corp.  6.800%  3/15/28  375  398 
  Bank of America Corp.  6.500%  9/15/37  1,600  1,675 
  Bank of America NA  6.000%  10/15/36  3,875  3,895 
  Bank One Corp.  7.750%  7/15/25  2,000  2,497 
  Bank One Corp.  7.625%  10/15/26  4,350  5,433 
  BB&T Capital Trust II  6.750%  6/7/36  3,325  3,411 
2  BB&T Capital Trust IV  6.820%  6/12/57  650  652 
  Capital One Capital III  7.686%  8/15/36  1,700  1,719 
  Capital One Capital IV  6.745%  2/17/37  1,100  1,074 
  Capital One Capital V  10.250%  8/15/39  2,350  2,529 
  Capital One Capital VI  8.875%  5/15/40  2,000  2,092 
2,3 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  450  528 
  Citigroup Inc.  6.625%  6/15/32  2,750  2,841 
  Citigroup Inc.  5.875%  2/22/33  1,825  1,760 
  Citigroup Inc.  6.000%  10/31/33  2,625  2,539 
  Citigroup Inc.  5.850%  12/11/34  2,300  2,288 
  Citigroup Inc.  6.125%  8/25/36  4,225  4,125 
  Citigroup Inc.  5.875%  5/29/37  2,100  2,112 
  Citigroup Inc.  6.875%  3/5/38  6,550  7,315 
  Citigroup Inc.  8.125%  7/15/39  5,275  6,663 


2  Comerica Capital Trust II  6.576%  2/20/37  1,500  1,500 
Compass Bank  5.900%  4/1/26  1,075  1,014 
3  Corestates Capital I  8.000%  12/15/26  2,300  2,343 
Credit Suisse USA Inc.  7.125%  7/15/32  1,950  2,508 
Fifth Third Bancorp  8.250%  3/1/38  3,425  4,091 
First Union Institutional Capital I  8.040%  12/1/26  500  509 
FleetBoston Financial Corp.  6.875%  1/15/28  400  433 
FleetBoston Financial Corp.  6.700%  7/15/28  1,200  1,263 
Goldman Sachs Capital I  6.345%  2/15/34  7,350  7,051 
Goldman Sachs Group Inc.  5.750%  10/1/16  75  84 
Goldman Sachs Group Inc.  5.950%  1/15/27  4,050  4,070 
Goldman Sachs Group Inc.  6.125%  2/15/33  5,650  6,185 
Goldman Sachs Group Inc.  6.450%  5/1/36  875  875 
Goldman Sachs Group Inc.  6.750%  10/1/37  13,100  13,702 
HSBC Bank USA NA  5.875%  11/1/34  4,100  4,281 
HSBC Bank USA NA/New York NY  5.625%  8/15/35  3,800  3,853 
HSBC Holdings PLC  7.625%  5/17/32  1,050  1,214 
HSBC Holdings PLC  7.350%  11/27/32  200  225 
HSBC Holdings PLC  6.500%  5/2/36  3,425  3,811 
HSBC Holdings PLC  6.500%  9/15/37  5,850  6,551 
HSBC Holdings PLC  6.800%  6/1/38  3,740  4,332 
JP Morgan Chase Capital XV  5.875%  3/15/35  2,350  2,301 
JP Morgan Chase Capital XVII  5.850%  8/1/35  425  415 
JP Morgan Chase Capital XX  6.550%  9/29/36  3,375  3,400 
JP Morgan Chase Capital XXII  6.450%  2/2/37  3,075  3,059 
JP Morgan Chase Capital XXV  6.800%  10/1/37  2,850  2,925 
JPMorgan Chase & Co.  6.400%  5/15/38  6,050  7,269 
JPMorgan Chase Capital XXVII  7.000%  11/1/39  2,250  2,295 
KeyBank NA  6.950%  2/1/28  143  154 
Merrill Lynch & Co. Inc.  6.220%  9/15/26  4,775  4,847 
Merrill Lynch & Co. Inc.  6.110%  1/29/37  3,500  3,428 
Merrill Lynch & Co. Inc.  7.750%  5/14/38  5,175  5,992 
Morgan Stanley  6.250%  8/9/26  2,000  2,127 
Morgan Stanley  7.250%  4/1/32  1,550  1,803 
NB Capital Trust II  7.830%  12/15/26  4,000  4,105 
Regions Bank/Birmingham AL  6.450%  6/26/37  1,000  884 
SunTrust Capital VIII  6.100%  12/15/36  2,504  2,337 
UBS AG/Stamford CT  7.000%  10/15/15  1,000  1,131 
UBS AG/Stamford CT  7.375%  6/15/17  550  626 
UBS AG/Stamford CT  7.750%  9/1/26  1,000  1,149 
USB Capital XIII Trust  6.625%  12/15/39  1,025  1,056 
Wachovia Bank NA  5.850%  2/1/37  3,175  3,265 
Wachovia Bank NA  6.600%  1/15/38  5,700  6,456 
Wachovia Corp.  6.605%  10/1/25  725  796 
Wachovia Corp.  7.500%  4/15/35  150  177 
Wachovia Corp.  5.500%  8/1/35  4,000  3,915 
Wachovia Corp.  6.550%  10/15/35  125  137 
Wells Fargo & Co.  5.375%  2/7/35  2,450  2,585 
Wells Fargo Bank NA  5.950%  8/26/36  1,475  1,535 
Wells Fargo Capital X  5.950%  12/15/36  1,650  1,598 
 
Brokerage (0.1%)         
Jefferies Group Inc.  6.875%  4/15/21  600  638 
Jefferies Group Inc.  6.450%  6/8/27  1,500  1,473 


Jefferies Group Inc.  6.250%  1/15/36  1,400  1,298 
 
Finance Companies (1.2%)         
General Electric Capital Corp.  6.750%  3/15/32  18,875  20,933 
General Electric Capital Corp.  6.150%  8/7/37  5,600  5,849 
General Electric Capital Corp.  5.875%  1/14/38  12,425  12,567 
General Electric Capital Corp.  6.875%  1/10/39  5,950  6,796 
SLM Corp.  5.625%  8/1/33  1,950  1,497 
 
Insurance (2.5%)         
ACE Capital Trust II  9.700%  4/1/30  850  1,041 
ACE INA Holdings Inc.  6.700%  5/15/36  1,500  1,843 
AEGON Funding Co. LLC  5.750%  12/15/20  1,000  1,087 
Aetna Inc.  3.950%  9/1/20  1,775  1,772 
Aetna Inc.  6.625%  6/15/36  2,350  2,733 
Aetna Inc.  6.750%  12/15/37  1,200  1,403 
Aflac Inc.  6.900%  12/17/39  575  634 
Aflac Inc.  6.450%  8/15/40  750  776 
Allstate Corp.  6.125%  12/15/32  1,250  1,376 
Allstate Corp.  5.350%  6/1/33  1,950  1,991 
Allstate Corp.  5.550%  5/9/35  1,700  1,784 
Allstate Corp.  6.900%  5/15/38  300  367 
2  Allstate Corp.  6.500%  5/15/57  1,500  1,394 
American International Group Inc.  6.250%  5/1/36  2,150  2,107 
AON Corp.  8.205%  1/1/27  1,175  1,264 
AON Corp.  6.250%  9/30/40  1,525  1,569 
Arch Capital Group Ltd.  7.350%  5/1/34  625  667 
Assurant Inc.  6.750%  2/15/34  1,200  1,252 
AXA SA  8.600%  12/15/30  3,700  4,250 
Berkshire Hathaway Finance Corp.  5.750%  1/15/40  2,200  2,427 
Chubb Corp.  6.000%  5/11/37  1,675  1,912 
Chubb Corp.  6.500%  5/15/38  1,375  1,672 
CIGNA Corp.  7.875%  5/15/27  500  607 
CIGNA Corp.  6.150%  11/15/36  525  573 
Cincinnati Financial Corp.  6.920%  5/15/28  1,000  1,072 
Cincinnati Financial Corp.  6.125%  11/1/34  850  833 
Endurance Specialty Holdings Ltd.  7.000%  7/15/34  1,425  1,401 
Genworth Financial Inc.  6.500%  6/15/34  825  761 
Hartford Financial Services Group Inc.  5.950%  10/15/36  450  409 
Hartford Financial Services Group Inc.  6.625%  3/30/40  500  502 
Hartford Financial Services Group Inc.  6.100%  10/1/41  500  459 
Humana Inc.  8.150%  6/15/38  250  274 
Lincoln National Corp.  6.150%  4/7/36  1,475  1,525 
Lincoln National Corp.  7.000%  6/15/40  1,400  1,595 
Loews Corp.  6.000%  2/1/35  800  822 
MetLife Inc.  4.750%  2/8/21  2,225  2,362 
MetLife Inc.  6.500%  12/15/32  750  862 
MetLife Inc.  6.375%  6/15/34  1,150  1,300 
MetLife Inc.  5.700%  6/15/35  1,475  1,579 
MetLife Inc.  6.400%  12/15/36  2,865  2,685 
MetLife Inc.  10.750%  8/1/39  700  903 
MetLife Inc.  5.875%  2/6/41  5,200  5,681 
Nationwide Financial Services  6.750%  5/15/37  1,000  871 
Principal Financial Group Inc.  6.050%  10/15/36  1,700  1,747 
Progressive Corp.  6.625%  3/1/29  1,625  1,847 


Protective Life Corp.  8.450%  10/15/39  600  653 
Prudential Financial Inc.  5.750%  7/15/33  1,000  1,007 
Prudential Financial Inc.  5.400%  6/13/35  1,000  975 
Prudential Financial Inc.  5.900%  3/17/36  1,500  1,573 
Prudential Financial Inc.  5.700%  12/14/36  3,225  3,318 
Swiss Re Solutions Holding Corp.  7.000%  2/15/26  1,850  2,026 
Swiss Re Solutions Holding Corp.  7.750%  6/15/30  400  473 
Transatlantic Holdings Inc.  8.000%  11/30/39  800  828 
Travelers Cos. Inc.  6.750%  6/20/36  1,000  1,236 
Travelers Cos. Inc.  6.250%  6/15/37  1,825  2,147 
Travelers Property Casualty Corp.  6.375%  3/15/33  1,500  1,745 
UnitedHealth Group Inc.  5.800%  3/15/36  1,300  1,364 
UnitedHealth Group Inc.  6.500%  6/15/37  1,200  1,378 
UnitedHealth Group Inc.  6.625%  11/15/37  1,075  1,246 
UnitedHealth Group Inc.  6.875%  2/15/38  4,300  5,138 
Validus Holdings Ltd.  8.875%  1/26/40  590  644 
WellPoint Inc.  5.950%  12/15/34  1,300  1,388 
WellPoint Inc.  5.850%  1/15/36  2,475  2,578 
WellPoint Inc.  6.375%  6/15/37  700  775 
WellPoint Inc.  5.800%  8/15/40  1,500  1,568 
XL Group PLC  6.375%  11/15/24  1,150  1,185 
XL Group PLC  6.250%  5/15/27  125  123 
 
Real Estate Investment Trusts (0.1%)         
Boston Properties LP  5.625%  11/15/20  1,525  1,674 
Simon Property Group LP  4.375%  3/1/21  300  302 
Simon Property Group LP  6.750%  2/1/40  2,000  2,349 
        361,263 
Industrial (26.8%)         
Basic Industry (1.9%)         
Alcoa Inc.  5.870%  2/23/22  1,250  1,240 
Alcoa Inc.  5.900%  2/1/27  3,525  3,466 
Alcoa Inc.  6.750%  1/15/28  850  855 
AngloGold Ashanti Holdings PLC  6.500%  4/15/40  550  573 
ArcelorMittal  7.000%  10/15/39  3,900  3,958 
Barrick Australian Finance Pty Ltd.  5.950%  10/15/39  1,525  1,723 
Barrick North America Finance LLC  7.500%  9/15/38  1,225  1,618 
BHP Billiton Finance USA Ltd.  6.420%  3/1/26  500  596 
3  Celulosa Arauco y Constitucion SA  5.000%  1/21/21  825  833 
Dow Chemical Co.  7.375%  11/1/29  2,925  3,363 
Dow Chemical Co.  9.400%  5/15/39  1,350  1,915 
Eastman Chemical Co.  7.250%  1/15/24  2,200  2,708 
Eastman Chemical Co.  7.600%  2/1/27  300  368 
EI du Pont de Nemours & Co.  3.625%  1/15/21  2,400  2,433 
EI du Pont de Nemours & Co.  6.500%  1/15/28  1,175  1,420 
EI du Pont de Nemours & Co.  4.900%  1/15/41  1,000  995 
International Paper Co.  7.500%  8/15/21  2,600  3,099 
International Paper Co.  8.700%  6/15/38  800  1,011 
International Paper Co.  7.300%  11/15/39  2,250  2,509 
Lubrizol Corp.  6.500%  10/1/34  900  988 
Monsanto Co.  5.500%  8/15/25  1,350  1,548 
Monsanto Co.  5.875%  4/15/38  650  743 
Newmont Mining Corp.  5.875%  4/1/35  1,250  1,359 
Newmont Mining Corp.  6.250%  10/1/39  3,650  4,184 
Nucor Corp.  6.400%  12/1/37  1,250  1,500 


Placer Dome Inc.  6.450%  10/15/35  700  814 
Potash Corp. of Saskatchewan Inc.  5.875%  12/1/36  1,465  1,543 
Reliance Steel & Aluminum Co.  6.850%  11/15/36  350  348 
Rio Tinto Alcan Inc.  5.750%  6/1/35  1,250  1,365 
Rio Tinto Finance USA Ltd.  7.125%  7/15/28  4,550  5,710 
Southern Copper Corp.  7.500%  7/27/35  2,500  2,892 
Southern Copper Corp.  6.750%  4/16/40  1,750  1,908 
Teck Resources Ltd.  6.125%  10/1/35  1,500  1,575 
Vale Inco Ltd.  7.200%  9/15/32  1,050  1,176 
Vale Overseas Ltd.  8.250%  1/17/34  1,225  1,567 
Vale Overseas Ltd.  6.875%  11/21/36  5,625  6,418 
Vale Overseas Ltd.  6.875%  11/10/39  4,825  5,543 
 
Capital Goods (1.9%)         
3M Co.  6.375%  2/15/28  500  613 
3M Co.  5.700%  3/15/37  1,550  1,822 
Boeing Co.  8.750%  8/15/21  300  432 
Boeing Co.  8.750%  9/15/31  850  1,284 
Boeing Co.  6.125%  2/15/33  925  1,100 
Boeing Co.  6.625%  2/15/38  1,050  1,333 
Boeing Co.  6.875%  3/15/39  250  320 
Boeing Co.  5.875%  2/15/40  1,625  1,907 
Caterpillar Inc.  6.625%  7/15/28  1,575  1,935 
Caterpillar Inc.  7.300%  5/1/31  1,200  1,610 
Caterpillar Inc.  6.050%  8/15/36  2,450  2,950 
Caterpillar Inc.  6.950%  5/1/42  1,425  1,861 
Deere & Co.  5.375%  10/16/29  1,225  1,363 
Deere & Co.  8.100%  5/15/30  1,000  1,391 
Deere & Co.  7.125%  3/3/31  200  257 
Dover Corp.  5.375%  10/15/35  350  384 
Dover Corp.  6.600%  3/15/38  800  1,027 
Emerson Electric Co.  4.250%  11/15/20  575  632 
Emerson Electric Co.  6.000%  8/15/32  400  477 
Emerson Electric Co.  6.125%  4/15/39  825  1,006 
Emerson Electric Co.  5.250%  11/15/39  575  631 
Goodrich Corp.  3.600%  2/1/21  1,425  1,423 
Goodrich Corp.  6.800%  7/1/36  1,000  1,214 
Honeywell International Inc.  5.700%  3/15/36  775  893 
Honeywell International Inc.  5.700%  3/15/37  1,425  1,646 
Lafarge SA  7.125%  7/15/36  2,225  2,132 
Litton Industries Inc.  7.750%  3/15/26  2,265  3,035 
Lockheed Martin Corp.  6.150%  9/1/36  4,825  5,712 
Lockheed Martin Corp.  5.500%  11/15/39  1,200  1,311 
3  Lockheed Martin Corp.  5.720%  6/1/40  189  214 
Northrop Grumman Systems Corp.  7.750%  2/15/31  1,115  1,532 
Owens Corning  7.000%  12/1/36  1,625  1,666 
Pactiv Corp.  7.950%  12/15/25  1,000  844 
Parker Hannifin Corp.  3.500%  9/15/22  100  101 
Parker Hannifin Corp.  6.250%  5/15/38  1,225  1,482 
Raytheon Co.  7.200%  8/15/27  400  526 
Republic Services Inc.  5.250%  11/15/21  1,525  1,685 
Republic Services Inc.  6.086%  3/15/35  225  240 
Republic Services Inc.  6.200%  3/1/40  2,575  2,901 
Rockwell Automation Inc.  6.700%  1/15/28  300  366 
Rockwell Automation Inc.  6.250%  12/1/37  1,100  1,333 


Stanley Black & Decker Inc.  5.200%  9/1/40  700  700 
Tyco International Ltd. / Tyco International         
Finance SA  6.875%  1/15/21  1,300  1,617 
United Technologies Corp.  6.700%  8/1/28  250  316 
United Technologies Corp.  7.500%  9/15/29  1,875  2,531 
United Technologies Corp.  5.400%  5/1/35  3,350  3,618 
United Technologies Corp.  6.050%  6/1/36  975  1,147 
United Technologies Corp.  6.125%  7/15/38  1,350  1,625 
United Technologies Corp.  5.700%  4/15/40  2,600  2,994 
Waste Management Inc.  7.100%  8/1/26  800  968 
Waste Management Inc.  7.000%  7/15/28  3,000  3,621 
Waste Management Inc.  7.750%  5/15/32  875  1,110 
Waste Management Inc.  6.125%  11/30/39  500  558 
 
Communication (7.1%)         
Alltel Corp.  7.875%  7/1/32  3,025  4,042 
America Movil SAB de CV  6.375%  3/1/35  2,700  3,079 
America Movil SAB de CV  6.125%  11/15/37  1,200  1,324 
America Movil SAB de CV  6.125%  3/30/40  2,525  2,807 
Ameritech Capital Funding Corp.  6.550%  1/15/28  1,000  1,060 
AT&T Corp.  8.000%  11/15/31  3,505  4,666 
AT&T Inc.  6.450%  6/15/34  7,750  8,818 
AT&T Inc.  6.150%  9/15/34  500  551 
AT&T Inc.  6.500%  9/1/37  4,850  5,609 
AT&T Inc.  6.300%  1/15/38  11,400  12,836 
AT&T Inc.  6.400%  5/15/38  825  941 
AT&T Inc.  6.550%  2/15/39  4,050  4,728 
3 AT&T Inc.  5.350%  9/1/40  5,805  5,909 
AT&T Mobility LLC  7.125%  12/15/31  2,425  2,991 
Bellsouth Capital Funding Corp.  7.875%  2/15/30  4,250  5,360 
BellSouth Corp.  6.875%  10/15/31  1,275  1,476 
BellSouth Corp.  6.550%  6/15/34  1,475  1,649 
BellSouth Corp.  6.000%  11/15/34  1,480  1,566 
BellSouth Telecommunications Inc.  6.375%  6/1/28  4,140  4,550 
British Telecommunications PLC  9.875%  12/15/30  6,200  8,607 
CBS Corp.  7.875%  7/30/30  3,665  4,387 
CBS Corp.  5.500%  5/15/33  225  219 
CenturyLink Inc.  6.875%  1/15/28  550  536 
CenturyLink Inc.  7.600%  9/15/39  950  933 
Comcast Cable Communications Holdings         
Inc.  9.455%  11/15/22  3,198  4,510 
Comcast Corp.  5.650%  6/15/35  5,100  5,126 
Comcast Corp.  6.500%  11/15/35  6,625  7,337 
Comcast Corp.  6.450%  3/15/37  2,275  2,510 
Comcast Corp.  6.950%  8/15/37  3,150  3,683 
Comcast Corp.  6.400%  5/15/38  2,700  2,965 
Comcast Corp.  6.400%  3/1/40  1,000  1,108 
Deutsche Telekom International Finance BV  8.750%  6/15/30  8,825  12,327 
DIRECTV Holdings LLC  6.350%  3/15/40  1,125  1,213 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.600%  2/15/21  2,350  2,405 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  6.000%  8/15/40  3,050  3,140 
Discovery Communications LLC  6.350%  6/1/40  1,600  1,780 
Embarq Corp.  7.995%  6/1/36  3,500  3,720 


France Telecom SA  8.500%  3/1/31  5,640  8,164 
Grupo Televisa SA  6.625%  3/18/25  1,600  1,814 
Grupo Televisa SA  8.500%  3/11/32  250  336 
Grupo Televisa SA  6.625%  1/15/40  875  995 
GTE Corp.  8.750%  11/1/21  900  1,268 
GTE Corp.  6.940%  4/15/28  2,275  2,643 
Koninklijke KPN NV  8.375%  10/1/30  2,375  3,247 
McGraw-Hill Cos. Inc.  6.550%  11/15/37  1,150  1,319 
3  NBC Universal Inc.  4.375%  4/1/21  1,500  1,515 
3  NBC Universal Inc.  6.400%  4/30/40  3,625  3,920 
3  NBC Universal Inc.  5.950%  4/1/41  1,200  1,210 
New Cingular Wireless Services Inc.  8.750%  3/1/31  975  1,415 
News America Holdings Inc.  8.150%  10/17/36  1,225  1,552 
News America Holdings Inc.  7.750%  12/1/45  1,225  1,537 
News America Inc.  6.550%  3/15/33  225  251 
News America Inc.  6.200%  12/15/34  6,450  6,967 
News America Inc.  6.400%  12/15/35  6,650  7,343 
News America Inc.  6.900%  8/15/39  975  1,149 
Pacific Bell Telephone Co.  7.125%  3/15/26  550  649 
Qwest Corp.  7.500%  6/15/23  2,300  2,297 
Qwest Corp.  7.200%  11/10/26  200  199 
Qwest Corp.  6.875%  9/15/33  4,650  4,592 
Rogers Communications Inc.  7.500%  8/15/38  1,175  1,520 
TCI Communications Inc.  7.875%  2/15/26  2,200  2,719 
Telecom Italia Capital SA  6.375%  11/15/33  4,025  3,969 
Telecom Italia Capital SA  6.000%  9/30/34  2,050  1,929 
Telecom Italia Capital SA  7.200%  7/18/36  1,625  1,740 
Telecom Italia Capital SA  7.721%  6/4/38  2,700  3,048 
Telefonica Emisiones SAU  7.045%  6/20/36  4,225  5,084 
Telefonica Europe BV  8.250%  9/15/30  2,500  3,308 
Thomson Reuters Corp.  5.500%  8/15/35  900  945 
Thomson Reuters Corp.  5.850%  4/15/40  1,100  1,209 
Time Warner Cable Inc.  6.550%  5/1/37  4,000  4,498 
Time Warner Cable Inc.  7.300%  7/1/38  3,000  3,645 
Time Warner Cable Inc.  6.750%  6/15/39  3,525  4,050 
Time Warner Entertainment Co. LP  8.375%  3/15/23  2,733  3,575 
Time Warner Entertainment Co. LP  8.375%  7/15/33  1,950  2,524 
United States Cellular Corp.  6.700%  12/15/33  1,450  1,518 
Verizon Communications Inc.  5.850%  9/15/35  3,275  3,513 
Verizon Communications Inc.  6.250%  4/1/37  2,825  3,200 
Verizon Communications Inc.  6.400%  2/15/38  6,450  7,426 
Verizon Communications Inc.  6.900%  4/15/38  2,450  2,998 
Verizon Communications Inc.  8.950%  3/1/39  2,025  2,961 
Verizon Global Funding Corp.  7.750%  12/1/30  7,550  9,723 
Verizon Maryland Inc.  5.125%  6/15/33  500  454 
Verizon New England Inc.  7.875%  11/15/29  400  462 
Verizon New York Inc.  7.375%  4/1/32  650  767 
Vodafone Group PLC  7.875%  2/15/30  1,000  1,325 
Vodafone Group PLC  6.250%  11/30/32  200  232 
Vodafone Group PLC  6.150%  2/27/37  5,275  6,210 
 
Consumer Cyclical (3.1%)         
CVS Caremark Corp.  6.250%  6/1/27  3,700  4,209 
CVS Caremark Corp.  6.125%  9/15/39  2,925  3,229 
Daimler Finance North America LLC  8.500%  1/18/31  4,100  5,599 


Darden Restaurants Inc.  6.800%  10/15/37  1,750  2,016 
Historic TW Inc.  9.150%  2/1/23  1,230  1,672 
Historic TW Inc.  6.625%  5/15/29  6,975  7,907 
Home Depot Inc.  5.875%  12/16/36  6,300  6,679 
Home Depot Inc.  5.400%  9/15/40  875  874 
Johnson Controls Inc.  6.000%  1/15/36  475  522 
Kohl's Corp.  6.000%  1/15/33  400  437 
Kohl's Corp.  6.875%  12/15/37  1,000  1,240 
Lowe's Cos. Inc.  6.875%  2/15/28  550  677 
Lowe's Cos. Inc.  6.500%  3/15/29  1,800  2,125 
Lowe's Cos. Inc.  5.800%  10/15/36  2,250  2,510 
Lowe's Cos. Inc.  5.800%  4/15/40  1,625  1,827 
McDonald's Corp.  6.300%  10/15/37  1,750  2,167 
McDonald's Corp.  6.300%  3/1/38  1,475  1,826 
McDonald's Corp.  5.700%  2/1/39  1,625  1,867 
Nordstrom Inc.  6.950%  3/15/28  300  351 
Nordstrom Inc.  7.000%  1/15/38  1,200  1,429 
Target Corp.  7.000%  7/15/31  1,800  2,259 
Target Corp.  6.350%  11/1/32  3,825  4,487 
Target Corp.  6.500%  10/15/37  3,200  3,902 
Target Corp.  7.000%  1/15/38  1,950  2,516 
Time Warner Cos. Inc.  7.570%  2/1/24  500  623 
Time Warner Cos. Inc.  6.950%  1/15/28  1,000  1,164 
Time Warner Inc.  4.700%  1/15/21  1,900  2,017 
Time Warner Inc.  7.625%  4/15/31  5,185  6,390 
Time Warner Inc.  7.700%  5/1/32  1,865  2,324 
Time Warner Inc.  6.200%  3/15/40  1,950  2,121 
Time Warner Inc.  6.100%  7/15/40  3,225  3,462 
VF Corp.  6.450%  11/1/37  1,500  1,798 
Viacom Inc.  6.875%  4/30/36  4,200  4,929 
Wal-Mart Stores Inc.  5.875%  4/5/27  2,025  2,375 
Wal-Mart Stores Inc.  7.550%  2/15/30  4,425  5,988 
Wal-Mart Stores Inc.  5.250%  9/1/35  4,900  5,248 
Wal-Mart Stores Inc.  6.500%  8/15/37  5,750  7,185 
Wal-Mart Stores Inc.  6.200%  4/15/38  4,275  5,154 
Wal-Mart Stores Inc.  5.625%  4/1/40  1,000  1,131 
Wal-Mart Stores Inc.  4.875%  7/8/40  3,950  4,021 
Walt Disney Co.  7.000%  3/1/32  1,150  1,510 
Western Union Co.  6.200%  11/17/36  1,350  1,462 
Western Union Co.  6.200%  6/21/40  325  353 
Yum! Brands Inc.  3.875%  11/1/20  900  895 
Yum! Brands Inc.  6.875%  11/15/37  1,400  1,665 
 
Consumer Noncyclical (5.8%)         
Abbott Laboratories  6.150%  11/30/37  2,225  2,682 
Abbott Laboratories  6.000%  4/1/39  2,050  2,422 
Abbott Laboratories  5.300%  5/27/40  3,450  3,727 
Altria Group Inc.  9.950%  11/10/38  4,075  5,851 
Altria Group Inc.  10.200%  2/6/39  3,725  5,459 
Amgen Inc.  6.375%  6/1/37  2,125  2,599 
Amgen Inc.  6.400%  2/1/39  3,375  4,092 
Amgen Inc.  5.750%  3/15/40  1,050  1,178 
Amgen Inc.  4.950%  10/1/41  4,150  4,156 
Anheuser-Busch Cos. Inc.  6.800%  8/20/32  1,875  2,267 
Anheuser-Busch Cos. Inc.  5.950%  1/15/33  650  715 


Anheuser-Busch Cos. Inc.  5.750%  4/1/36  1,575  1,711 
Anheuser-Busch Cos. Inc.  6.450%  9/1/37  650  771 
Anheuser-Busch InBev Worldwide Inc.  6.375%  1/15/40  2,225  2,654 
Archer-Daniels-Midland Co.  6.625%  5/1/29  250  310 
Archer-Daniels-Midland Co.  5.935%  10/1/32  255  298 
Archer-Daniels-Midland Co.  5.375%  9/15/35  3,750  4,078 
AstraZeneca PLC  6.450%  9/15/37  7,125  8,942 
Baxter International Inc.  6.250%  12/1/37  800  969 
Becton Dickinson and Co.  6.000%  5/15/39  1,000  1,196 
Bristol-Myers Squibb Co.  7.150%  6/15/23  1,300  1,709 
Bristol-Myers Squibb Co.  6.800%  11/15/26  889  1,123 
Bristol-Myers Squibb Co.  5.875%  11/15/36  3,150  3,640 
Bristol-Myers Squibb Co.  6.125%  5/1/38  850  1,012 
Bristol-Myers Squibb Co.  6.875%  8/1/97  200  246 
Coca-Cola Enterprises Inc.  8.500%  2/1/22  1,075  1,528 
Coca-Cola Enterprises Inc.  7.000%  10/1/26  1,175  1,496 
Coca-Cola Enterprises Inc.  6.950%  11/15/26  3,475  4,471 
Coca-Cola Enterprises Inc.  6.750%  9/15/28  1,675  2,119 
ConAgra Foods Inc.  9.750%  3/1/21  129  183 
ConAgra Foods Inc.  7.125%  10/1/26  150  181 
ConAgra Foods Inc.  7.000%  10/1/28  175  209 
ConAgra Foods Inc.  8.250%  9/15/30  1,150  1,549 
Corn Products International Inc.  4.625%  11/1/20  850  871 
Corn Products International Inc.  6.625%  4/15/37  575  623 
Covidien International Finance SA  6.550%  10/15/37  2,650  3,310 
CR Bard Inc.  6.700%  12/1/26  500  621 
Delhaize America Inc.  9.000%  4/15/31  2,000  2,811 
Diageo Capital PLC  5.875%  9/30/36  250  287 
Diageo Investment Corp.  7.450%  4/15/35  1,750  2,331 
Dr Pepper Snapple Group Inc.  7.450%  5/1/38  600  805 
Eli Lilly & Co.  7.125%  6/1/25  1,000  1,303 
Eli Lilly & Co.  5.500%  3/15/27  4,300  4,854 
Eli Lilly & Co.  5.950%  11/15/37  450  529 
Estee Lauder Cos. Inc.  6.000%  5/15/37  1,025  1,185 
Fortune Brands Inc.  5.875%  1/15/36  925  917 
Genentech Inc.  5.250%  7/15/35  200  215 
General Mills Inc.  5.400%  6/15/40  2,000  2,175 
GlaxoSmithKline Capital Inc.  5.375%  4/15/34  1,850  2,007 
GlaxoSmithKline Capital Inc.  6.375%  5/15/38  5,700  7,095 
Hasbro Inc.  6.350%  3/15/40  900  923 
HJ Heinz Finance Co.  6.750%  3/15/32  1,125  1,342 
Hospira Inc.  5.600%  9/15/40  725  745 
Johnson & Johnson  6.950%  9/1/29  2,125  2,819 
Johnson & Johnson  4.950%  5/15/33  2,125  2,304 
Johnson & Johnson  5.950%  8/15/37  975  1,187 
Johnson & Johnson  5.850%  7/15/38  825  999 
Johnson & Johnson  4.500%  9/1/40  1,775  1,778 
Kellogg Co.  7.450%  4/1/31  2,350  3,175 
Kimberly-Clark Corp.  6.625%  8/1/37  1,975  2,554 
Koninklijke Philips Electronics NV  6.875%  3/11/38  2,550  3,219 
Kraft Foods Inc.  6.500%  11/1/31  1,650  1,890 
Kraft Foods Inc.  7.000%  8/11/37  3,050  3,742 
Kraft Foods Inc.  6.875%  2/1/38  1,575  1,920 
Kraft Foods Inc.  6.875%  1/26/39  400  486 
Kraft Foods Inc.  6.500%  2/9/40  8,750  10,230 


Kroger Co.  7.700%  6/1/29  375  481 
Kroger Co.  8.000%  9/15/29  1,925  2,530 
Kroger Co.  7.500%  4/1/31  1,350  1,730 
Kroger Co.  5.400%  7/15/40  750  774 
Mead Johnson Nutrition Co.  5.900%  11/1/39  1,675  1,893 
Medtronic Inc.  6.500%  3/15/39  600  758 
Medtronic Inc.  5.550%  3/15/40  1,025  1,168 
Merck & Co. Inc.  6.300%  1/1/26  500  626 
Merck & Co. Inc.  6.400%  3/1/28  2,200  2,713 
Merck & Co. Inc.  5.950%  12/1/28  1,050  1,250 
Merck & Co. Inc.  6.500%  12/1/33  775  991 
Merck & Co. Inc.  5.750%  11/15/36  300  353 
Merck & Co. Inc.  6.550%  9/15/37  3,850  4,960 
Merck & Co. Inc.  5.850%  6/30/39  2,350  2,820 
PepsiCo Inc./DE  7.000%  3/1/29  4,075  5,359 
PepsiCo Inc./NC  5.500%  1/15/40  1,425  1,625 
Pfizer Inc.  7.200%  3/15/39  5,050  6,860 
Pharmacia Corp.  6.600%  12/1/28  1,050  1,289 
Philip Morris International Inc.  6.375%  5/16/38  3,700  4,560 
2  Procter & Gamble - Esop  9.360%  1/1/21  1,979  2,593 
Procter & Gamble Co.  6.450%  1/15/26  1,100  1,393 
Procter & Gamble Co.  5.800%  8/15/34  100  120 
Procter & Gamble Co.  5.550%  3/5/37  4,650  5,407 
Quest Diagnostics Inc./DE  6.950%  7/1/37  925  1,056 
Quest Diagnostics Inc./DE  5.750%  1/30/40  1,000  998 
Ralcorp Holdings Inc.  6.625%  8/15/39  1,225  1,331 
Reynolds American Inc.  7.250%  6/15/37  600  628 
Safeway Inc.  7.250%  2/1/31  1,331  1,638 
Sara Lee Corp.  6.125%  11/1/32  625  670 
Sysco Corp.  5.375%  9/21/35  1,775  1,989 
Teva Pharmaceutical Finance Co. LLC  6.150%  2/1/36  2,700  3,230 
Unilever Capital Corp.  5.900%  11/15/32  3,325  3,978 
Wyeth  6.450%  2/1/24  2,225  2,766 
Wyeth  6.000%  2/15/36  2,275  2,676 
Wyeth  5.950%  4/1/37  6,225  7,333 
Zimmer Holdings Inc.  5.750%  11/30/39  1,100  1,218 
 
Energy (4.4%)         
Alberta Energy Co. Ltd.  7.375%  11/1/31  1,000  1,232 
Anadarko Finance Co.  7.500%  5/1/31  1,500  1,613 
Anadarko Petroleum Corp.  6.450%  9/15/36  5,300  5,300 
Anadarko Petroleum Corp.  7.950%  6/15/39  50  55 
Anadarko Petroleum Corp.  6.200%  3/15/40  2,325  2,261 
Apache Corp.  6.000%  1/15/37  3,125  3,539 
Apache Corp.  5.100%  9/1/40  2,500  2,503 
Apache Finance Canada Corp.  7.750%  12/15/29  650  859 
Baker Hughes Inc.  6.875%  1/15/29  1,000  1,250 
Baker Hughes Inc.  5.125%  9/15/40  4,215  4,369 
Burlington Resources Finance Co.  7.200%  8/15/31  1,050  1,317 
Burlington Resources Finance Co.  7.400%  12/1/31  1,675  2,147 
Cameron International Corp.  7.000%  7/15/38  625  714 
Canadian Natural Resources Ltd.  7.200%  1/15/32  1,400  1,714 
Canadian Natural Resources Ltd.  6.450%  6/30/33  1,175  1,354 
Canadian Natural Resources Ltd.  6.500%  2/15/37  2,275  2,664 
Canadian Natural Resources Ltd.  6.250%  3/15/38  2,750  3,160 


Cenovus Energy Inc.  6.750%  11/15/39  3,750  4,526 
Conoco Funding Co.  7.250%  10/15/31  400  511 
ConocoPhillips  5.900%  10/15/32  2,750  3,122 
ConocoPhillips  6.500%  2/1/39  2,825  3,518 
ConocoPhillips Canada Funding Co. I  5.950%  10/15/36  950  1,082 
ConocoPhillips Holding Co.  6.950%  4/15/29  2,725  3,482 
Devon Energy Corp.  7.950%  4/15/32  435  590 
Devon Financing Corp. ULC  7.875%  9/30/31  4,825  6,431 
Diamond Offshore Drilling Inc.  5.700%  10/15/39  1,075  1,115 
Encana Corp.  6.500%  8/15/34  4,825  5,610 
Encana Corp.  6.625%  8/15/37  775  922 
Encana Corp.  6.500%  2/1/38  950  1,103 
Global Marine Inc.  7.000%  6/1/28  800  813 
Halliburton Co.  6.700%  9/15/38  3,075  3,808 
Halliburton Co.  7.450%  9/15/39  675  912 
Hess Corp.  7.875%  10/1/29  2,625  3,357 
Hess Corp.  7.300%  8/15/31  600  734 
Hess Corp.  7.125%  3/15/33  925  1,119 
Hess Corp.  6.000%  1/15/40  2,100  2,304 
Hess Corp.  5.600%  2/15/41  3,000  3,125 
Husky Energy Inc.  6.800%  9/15/37  725  824 
Kerr-McGee Corp.  6.950%  7/1/24  2,000  2,160 
Kerr-McGee Corp.  7.875%  9/15/31  500  545 
Lasmo USA Inc.  7.300%  11/15/27  600  774 
Marathon Oil Corp.  6.600%  10/1/37  2,200  2,594 
Nexen Inc.  7.875%  3/15/32  550  686 
Nexen Inc.  5.875%  3/10/35  1,850  1,895 
Nexen Inc.  6.400%  5/15/37  3,300  3,614 
Nexen Inc.  7.500%  7/30/39  1,525  1,873 
Noble Energy Inc.  8.000%  4/1/27  775  937 
Noble Holding International Ltd.  6.200%  8/1/40  1,600  1,765 
Petro-Canada  7.875%  6/15/26  150  192 
Petro-Canada  7.000%  11/15/28  250  293 
Petro-Canada  5.350%  7/15/33  1,650  1,648 
Petro-Canada  5.950%  5/15/35  2,500  2,657 
Petro-Canada  6.800%  5/15/38  2,275  2,696 
Shell International Finance BV  6.375%  12/15/38  6,100  7,641 
Shell International Finance BV  5.500%  3/25/40  2,800  3,180 
Statoil ASA  7.250%  9/23/27  2,500  3,243 
Statoil ASA  7.150%  1/15/29  1,000  1,300 
Statoil ASA  5.100%  8/17/40  2,000  2,137 
Suncor Energy Inc.  7.150%  2/1/32  800  966 
Suncor Energy Inc.  5.950%  12/1/34  875  947 
Suncor Energy Inc.  6.500%  6/15/38  4,325  4,956 
Talisman Energy Inc.  7.250%  10/15/27  450  545 
Talisman Energy Inc.  5.850%  2/1/37  3,200  3,354 
Tosco Corp.  8.125%  2/15/30  7,500  10,224 
Total Capital SA  4.250%  12/15/21  1,000  1,085 
Transocean Inc.  6.500%  11/15/20  2,450  2,646 
Transocean Inc.  7.500%  4/15/31  1,525  1,632 
Transocean Inc.  6.800%  3/15/38  1,725  1,742 
Valero Energy Corp.  7.500%  4/15/32  950  1,043 
Valero Energy Corp.  6.625%  6/15/37  4,875  4,895 
Valero Energy Corp.  10.500%  3/15/39  350  473 
Weatherford Bermuda Holdings Ltd.  6.750%  9/15/40  1,900  1,965 


Weatherford International Inc.  6.800%  6/15/37  700  732 
Weatherford International Ltd.  6.500%  8/1/36  1,500  1,496 
Weatherford International Ltd.  7.000%  3/15/38  1,600  1,693 
Williams Cos. Inc.  7.875%  9/1/21  741  898 
Williams Cos. Inc.  7.500%  1/15/31  2,852  3,226 
Williams Cos. Inc.  7.750%  6/15/31  1,537  1,775 
XTO Energy Inc.  6.750%  8/1/37  500  673 
 
Technology (1.3%)         
Cisco Systems Inc.  5.900%  2/15/39  2,900  3,322 
Cisco Systems Inc.  5.500%  1/15/40  6,750  7,442 
Corning Inc.  7.250%  8/15/36  600  707 
Corning Inc.  5.750%  8/15/40  950  1,005 
Dell Inc.  7.100%  4/15/28  500  593 
Dell Inc.  6.500%  4/15/38  400  457 
Equifax Inc.  7.000%  7/1/37  600  676 
HP Enterprise Services LLC  7.450%  10/15/29  375  502 
International Business Machines Corp.  7.000%  10/30/25  1,050  1,367 
International Business Machines Corp.  6.220%  8/1/27  1,600  1,946 
International Business Machines Corp.  6.500%  1/15/28  225  277 
International Business Machines Corp.  5.875%  11/29/32  950  1,111 
International Business Machines Corp.  5.600%  11/30/39  5,220  5,997 
Microsoft Corp.  3.000%  10/1/20  1,475  1,467 
Microsoft Corp.  5.200%  6/1/39  2,075  2,282 
Microsoft Corp.  4.500%  10/1/40  750  749 
Motorola Inc.  7.500%  5/15/25  525  623 
Motorola Inc.  6.500%  9/1/25  823  900 
Motorola Inc.  6.500%  11/15/28  92  97 
Motorola Inc.  6.625%  11/15/37  116  124 
Nokia Oyj  6.625%  5/15/39  1,575  1,794 
Oracle Corp.  6.500%  4/15/38  2,475  3,074 
Oracle Corp.  6.125%  7/8/39  3,850  4,579 
3  Oracle Corp.  5.375%  7/15/40  4,600  4,947 
Pitney Bowes Inc.  5.250%  1/15/37  2,000  2,075 
Science Applications International Corp.  5.500%  7/1/33  1,100  1,094 
Tyco Electronics Group SA  7.125%  10/1/37  1,250  1,476 
Xerox Corp.  6.750%  12/15/39  950  1,123 
 
Transportation (1.3%)         
Burlington Northern Santa Fe LLC  7.000%  12/15/25  700  851 
Burlington Northern Santa Fe LLC  7.950%  8/15/30  1,300  1,745 
Burlington Northern Santa Fe LLC  6.200%  8/15/36  775  898 
Burlington Northern Santa Fe LLC  6.150%  5/1/37  1,325  1,528 
Burlington Northern Santa Fe LLC  5.750%  5/1/40  2,000  2,200 
Burlington Northern Santa Fe LLC  5.050%  3/1/41  225  224 
Canadian National Railway Co.  6.250%  8/1/34  2,450  3,007 
Canadian National Railway Co.  6.200%  6/1/36  1,325  1,610 
Canadian Pacific Railway Co.  4.450%  3/15/23  1,000  1,013 
Canadian Pacific Railway Co.  7.125%  10/15/31  2,075  2,480 
Con-way Inc.  6.700%  5/1/34  650  618 
2 Continental Airlines 2007-1 Class A Pass         
Through Trust  5.983%  4/19/22  2,800  2,912 
CSX Corp.  6.000%  10/1/36  175  194 
CSX Corp.  6.150%  5/1/37  2,125  2,400 
CSX Corp.  6.220%  4/30/40  3,775  4,327 


2  Delta Air Lines 2007-1 Class A Pass Through         
Trust  6.821%  8/10/22  2,113  2,229 
Norfolk Southern Corp.  5.590%  5/17/25  716  789 
Norfolk Southern Corp.  7.800%  5/15/27  2,802  3,722 
Norfolk Southern Corp.  5.640%  5/17/29  1,898  2,083 
Norfolk Southern Corp.  7.050%  5/1/37  1,200  1,536 
Norfolk Southern Corp.  7.900%  5/15/97  450  608 
2  Southwest Airlines Co. 2007-1 Pass Through         
Trust  6.150%  8/1/22  752  812 
Union Pacific Corp.  4.000%  2/1/21  1,250  1,296 
Union Pacific Corp.  7.125%  2/1/28  600  747 
Union Pacific Corp.  6.625%  2/1/29  1,500  1,792 
Union Pacific Corp.  6.150%  5/1/37  1,000  1,158 
2  Union Pacific Railroad Co. 2007-3 Pass         
Through Trust  6.176%  1/2/31  918  1,078 
United Parcel Service Inc.  6.200%  1/15/38  4,400  5,416 
United Parcel Service of America Inc.  8.375%  4/1/30  500  691 
        1,058,988 
Utilities (7.1%)         
Electric (5.4%)         
AEP Texas Central Co.  6.650%  2/15/33  1,950  2,267 
Alabama Power Co.  6.125%  5/15/38  1,000  1,186 
Alabama Power Co.  6.000%  3/1/39  825  970 
Ameren Energy Generating Co.  7.950%  6/1/32  1,750  1,665 
American Water Capital Corp.  6.593%  10/15/37  2,025  2,276 
Appalachian Power Co.  5.800%  10/1/35  500  532 
Appalachian Power Co.  7.000%  4/1/38  1,700  2,104 
Baltimore Gas & Electric Co.  6.350%  10/1/36  375  443 
CenterPoint Energy Houston Electric LLC  6.950%  3/15/33  925  1,132 
Cleveland Electric Illuminating Co.  5.500%  8/15/24  1,000  1,130 
Cleveland Electric Illuminating Co.  5.950%  12/15/36  1,000  1,020 
Columbus Southern Power Co.  5.850%  10/1/35  800  885 
Commonwealth Edison Co.  5.875%  2/1/33  250  277 
Commonwealth Edison Co.  5.900%  3/15/36  2,350  2,620 
Commonwealth Edison Co.  6.450%  1/15/38  400  483 
Connecticut Light & Power Co.  6.350%  6/1/36  750  922 
Consolidated Edison Co. of New York Inc.  5.300%  3/1/35  1,125  1,185 
Consolidated Edison Co. of New York Inc.  5.850%  3/15/36  1,875  2,126 
Consolidated Edison Co. of New York Inc.  6.200%  6/15/36  550  652 
Consolidated Edison Co. of New York Inc.  6.300%  8/15/37  925  1,103 
Consolidated Edison Co. of New York Inc.  6.750%  4/1/38  2,325  2,962 
Consolidated Edison Co. of New York Inc.  5.500%  12/1/39  825  908 
Consolidated Edison Co. of New York Inc.  5.700%  6/15/40  750  841 
Constellation Energy Group Inc.  7.600%  4/1/32  1,800  2,223 
Detroit Edison Co.  5.700%  10/1/37  500  564 
Dominion Resources Inc./VA  6.300%  3/15/33  2,150  2,518 
Dominion Resources Inc./VA  5.950%  6/15/35  1,675  1,909 
Dominion Resources Inc./VA  7.000%  6/15/38  525  682 
DTE Energy Co.  6.375%  4/15/33  800  858 
Duke Energy Carolinas LLC  6.000%  12/1/28  1,000  1,146 
Duke Energy Carolinas LLC  6.450%  10/15/32  1,050  1,277 
Duke Energy Carolinas LLC  6.100%  6/1/37  825  980 
Duke Energy Carolinas LLC  6.000%  1/15/38  875  1,035 
Duke Energy Carolinas LLC  6.050%  4/15/38  2,850  3,396 
Duke Energy Carolinas LLC  5.300%  2/15/40  2,025  2,203 


Duke Energy Indiana Inc.  6.120%  10/15/35  600  694 
Duke Energy Indiana Inc.  6.350%  8/15/38  1,000  1,230 
El Paso Electric Co.  6.000%  5/15/35  850  850 
Entergy Louisiana LLC  5.400%  11/1/24  1,425  1,635 
Entergy Louisiana LLC  4.440%  1/15/26  425  431 
Exelon Corp.  5.625%  6/15/35  1,975  2,011 
Exelon Generation Co. LLC  6.250%  10/1/39  3,175  3,416 
FirstEnergy Corp.  7.375%  11/15/31  5,300  5,738 
FirstEnergy Solutions Corp.  6.050%  8/15/21  925  989 
FirstEnergy Solutions Corp.  6.800%  8/15/39  900  908 
Florida Power & Light Co.  5.950%  10/1/33  950  1,110 
Florida Power & Light Co.  5.625%  4/1/34  1,174  1,320 
Florida Power & Light Co.  4.950%  6/1/35  150  154 
Florida Power & Light Co.  5.400%  9/1/35  1,875  2,069 
Florida Power & Light Co.  6.200%  6/1/36  150  182 
Florida Power & Light Co.  5.650%  2/1/37  2,150  2,442 
Florida Power & Light Co.  5.850%  5/1/37  475  554 
Florida Power & Light Co.  5.950%  2/1/38  2,450  2,889 
Florida Power & Light Co.  5.960%  4/1/39  650  770 
Florida Power Corp.  6.350%  9/15/37  2,225  2,728 
Florida Power Corp.  6.400%  6/15/38  2,525  3,122 
Georgia Power Co.  5.650%  3/1/37  2,075  2,317 
Georgia Power Co.  5.950%  2/1/39  1,250  1,441 
Georgia Power Co.  5.400%  6/1/40  1,800  1,958 
Iberdrola International BV  6.750%  7/15/36  1,425  1,582 
Indiana Michigan Power Co.  6.050%  3/15/37  1,775  1,966 
Interstate Power & Light Co.  6.250%  7/15/39  975  1,161 
Kansas City Power & Light Co.  6.050%  11/15/35  500  541 
2 Kansas Gas & Electric  5.647%  3/29/21  999  1,061 
MidAmerican Energy Co.  6.750%  12/30/31  1,800  2,220 
MidAmerican Energy Co.  5.750%  11/1/35  850  937 
MidAmerican Energy Co.  5.800%  10/15/36  875  991 
Midamerican Energy Holdings Co.  8.480%  9/15/28  300  397 
Midamerican Energy Holdings Co.  6.125%  4/1/36  8,375  9,670 
Midamerican Energy Holdings Co.  5.950%  5/15/37  2,975  3,345 
Midamerican Energy Holdings Co.  6.500%  9/15/37  700  838 
National Rural Utilities Cooperative Finance         
Corp.  8.000%  3/1/32  2,400  3,208 
Nevada Power Co.  6.750%  7/1/37  2,500  3,019 
Nisource Finance Corp.  6.125%  3/1/22  2,025  2,303 
Northern States Power Co./MN  5.250%  7/15/35  1,175  1,280 
Northern States Power Co./MN  6.250%  6/1/36  525  640 
Northern States Power Co./MN  6.200%  7/1/37  1,550  1,864 
Northern States Power Co./MN  5.350%  11/1/39  625  695 
Northern States Power Co./MN  4.850%  8/15/40  800  834 
NSTAR Electric Co.  5.500%  3/15/40  725  824 
Oglethorpe Power Corp.  5.950%  11/1/39  750  879 
Ohio Power Co.  6.600%  2/15/33  400  465 
Oklahoma Gas & Electric Co.  5.850%  6/1/40  350  396 
Oncor Electric Delivery Co. LLC  7.000%  9/1/22  1,675  2,110 
Oncor Electric Delivery Co. LLC  7.000%  5/1/32  2,025  2,467 
Oncor Electric Delivery Co. LLC  7.250%  1/15/33  325  408 
Oncor Electric Delivery Co. LLC  7.500%  9/1/38  425  557 
Pacific Gas & Electric Co.  6.050%  3/1/34  7,875  8,901 
Pacific Gas & Electric Co.  5.800%  3/1/37  2,425  2,692 


Pacific Gas & Electric Co.  5.400%  1/15/40  2,750  2,922 
PacifiCorp  7.700%  11/15/31  400  547 
PacifiCorp  5.250%  6/15/35  1,150  1,235 
PacifiCorp  5.750%  4/1/37  1,000  1,132 
PacifiCorp  6.250%  10/15/37  1,200  1,453 
Pennsylvania Electric Co.  6.150%  10/1/38  350  380 
Potomac Electric Power Co.  6.500%  11/15/37  2,250  2,810 
PPL Electric Utilities Corp.  6.250%  5/15/39  775  936 
Progress Energy Inc.  7.750%  3/1/31  1,725  2,303 
Progress Energy Inc.  7.000%  10/30/31  925  1,145 
Progress Energy Inc.  6.000%  12/1/39  1,800  2,062 
PSEG Power LLC  8.625%  4/15/31  400  535 
Public Service Co. of Colorado  6.250%  9/1/37  1,025  1,250 
Public Service Co. of Oklahoma  6.625%  11/15/37  300  355 
Public Service Electric & Gas Co.  5.250%  7/1/35  675  732 
Public Service Electric & Gas Co.  5.800%  5/1/37  2,050  2,369 
Public Service Electric & Gas Co.  5.500%  3/1/40  1,550  1,763 
Puget Sound Energy Inc.  5.483%  6/1/35  825  858 
Puget Sound Energy Inc.  6.274%  3/15/37  1,425  1,646 
Puget Sound Energy Inc.  5.757%  10/1/39  850  922 
Puget Sound Energy Inc.  5.795%  3/15/40  675  736 
Puget Sound Energy Inc.  5.764%  7/15/40  600  652 
San Diego Gas & Electric Co.  5.350%  5/15/35  1,025  1,139 
San Diego Gas & Electric Co.  6.125%  9/15/37  625  770 
San Diego Gas & Electric Co.  6.000%  6/1/39  650  788 
San Diego Gas & Electric Co.  4.500%  8/15/40  2,225  2,207 
South Carolina Electric & Gas Co.  6.625%  2/1/32  500  614 
South Carolina Electric & Gas Co.  5.300%  5/15/33  1,850  1,953 
South Carolina Electric & Gas Co.  6.050%  1/15/38  775  910 
Southern California Edison Co.  6.650%  4/1/29  700  849 
Southern California Edison Co.  6.000%  1/15/34  975  1,147 
Southern California Edison Co.  5.750%  4/1/35  400  461 
Southern California Edison Co.  5.350%  7/15/35  3,175  3,455 
Southern California Edison Co.  5.550%  1/15/36  100  112 
Southern California Edison Co.  5.625%  2/1/36  2,075  2,360 
Southern California Edison Co.  5.550%  1/15/37  500  569 
Southern California Edison Co.  5.950%  2/1/38  1,675  1,969 
Southern California Edison Co.  4.500%  9/1/40  1,475  1,439 
Southwestern Electric Power Co.  6.200%  3/15/40  700  756 
Tampa Electric Co.  6.550%  5/15/36  450  540 
Toledo Edison Co.  6.150%  5/15/37  1,500  1,660 
TransAlta Corp.  6.500%  3/15/40  600  646 
Union Electric Co.  8.450%  3/15/39  625  920 
United Utilities PLC  6.875%  8/15/28  375  422 
Virginia Electric and Power Co.  3.450%  9/1/22  750  752 
Virginia Electric and Power Co.  6.000%  1/15/36  1,725  2,018 
Virginia Electric and Power Co.  6.000%  5/15/37  825  967 
Virginia Electric and Power Co.  6.350%  11/30/37  1,000  1,227 
Virginia Electric and Power Co.  8.875%  11/15/38  1,200  1,821 
Wisconsin Electric Power Co.  5.625%  5/15/33  450  502 
Wisconsin Electric Power Co.  5.700%  12/1/36  1,675  1,901 
Wisconsin Power & Light Co.  6.375%  8/15/37  950  1,151 
Xcel Energy Inc.  6.500%  7/1/36  650  786 


Natural Gas (1.6%)         
AGL Capital Corp.  6.000%  10/1/34  850  900 
DCP Midstream LLC  8.125%  8/16/30  500  630 
El Paso Natural Gas Co.  8.375%  6/15/32  1,635  1,978 
Enbridge Energy Partners LP  7.500%  4/15/38  525  661 
Energy Transfer Partners LP  6.625%  10/15/36  1,625  1,749 
Energy Transfer Partners LP  7.500%  7/1/38  775  912 
Enterprise Products Operating LLC  6.875%  3/1/33  2,150  2,426 
Enterprise Products Operating LLC  6.650%  10/15/34  1,095  1,216 
Enterprise Products Operating LLC  7.550%  4/15/38  1,125  1,396 
Enterprise Products Operating LLC  6.125%  10/15/39  1,500  1,592 
Enterprise Products Operating LLC  6.450%  9/1/40  2,275  2,522 
KeySpan Corp.  8.000%  11/15/30  1,175  1,566 
Kinder Morgan Energy Partners LP  7.750%  3/15/32  500  607 
Kinder Morgan Energy Partners LP  7.300%  8/15/33  1,000  1,164 
Kinder Morgan Energy Partners LP  5.800%  3/15/35  1,675  1,699 
Kinder Morgan Energy Partners LP  6.500%  2/1/37  2,350  2,527 
Kinder Morgan Energy Partners LP  6.950%  1/15/38  3,219  3,679 
Kinder Morgan Energy Partners LP  6.500%  9/1/39  1,900  2,049 
Magellan Midstream Partners LP  4.250%  2/1/21  1,525  1,548 
Oneok Inc.  6.000%  6/15/35  975  1,004 
ONEOK Partners LP  6.650%  10/1/36  2,925  3,282 
ONEOK Partners LP  6.850%  10/15/37  200  232 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.650%  1/15/37  1,175  1,277 
Sempra Energy  6.000%  10/15/39  1,500  1,693 
Southern California Gas Co.  5.750%  11/15/35  75  88 
Southern Union Co.  7.600%  2/1/24  500  592 
Southern Union Co.  8.250%  11/15/29  1,000  1,167 
Spectra Energy Capital LLC  6.750%  2/15/32  1,705  1,949 
Tennessee Gas Pipeline Co.  7.000%  3/15/27  350  381 
Tennessee Gas Pipeline Co.  7.000%  10/15/28  2,650  2,896 
Texas Eastern Transmission LP  7.000%  7/15/32  700  864 
TransCanada PipeLines Ltd.  5.600%  3/31/34  1,725  1,832 
TransCanada PipeLines Ltd.  5.850%  3/15/36  2,575  2,809 
TransCanada PipeLines Ltd.  6.200%  10/15/37  1,250  1,420 
TransCanada PipeLines Ltd.  7.250%  8/15/38  200  256 
TransCanada PipeLines Ltd.  7.625%  1/15/39  4,825  6,441 
TransCanada PipeLines Ltd.  6.100%  6/1/40  1,275  1,447 
Williams Partners LP  6.300%  4/15/40  3,250  3,581 
 
Other Utility (0.1%)         
Veolia Environnement  6.750%  6/1/38  1,750  2,163 
        279,438 
Total Corporate Bonds (Cost $1,529,736)        1,699,689 
Sovereign Bonds (U.S. Dollar-Denominated) (5.4%)         
Asian Development Bank  5.593%  7/16/18  4,000  4,802 
Brazilian Government International Bond  4.875%  1/22/21  4,975  5,453 
Brazilian Government International Bond  8.875%  4/15/24  3,000  4,403 
Brazilian Government International Bond  8.750%  2/4/25  6,700  9,815 
Brazilian Government International Bond  10.125%  5/15/27  6,700  10,854 
Brazilian Government International Bond  8.250%  1/20/34  5,675  8,200 
Brazilian Government International Bond  7.125%  1/20/37  6,375  8,334 
Brazilian Government International Bond  11.000%  8/17/40  9,900  13,711 
Brazilian Government International Bond  5.625%  1/7/41  6,925  7,583 


European Investment Bank  4.875%  2/15/36  2,400  2,675 
Finland Government International Bond  6.950%  2/15/26  195  254 
Hydro Quebec  9.400%  2/1/21  480  723 
Hydro Quebec  8.400%  1/15/22  775  1,125 
Hydro Quebec  8.050%  7/7/24  5,000  7,455 
Hydro Quebec  8.500%  12/1/29  1,200  1,834 
Inter-American Development Bank  7.000%  6/15/25  750  1,009 
International Bank for Reconstruction &         
Development  7.625%  1/19/23  1,807  2,629 
International Bank for Reconstruction &         
Development  8.875%  3/1/26  1,000  1,573 
International Bank for Reconstruction &         
Development  4.750%  2/15/35  1,025  1,163 
Korea Electric Power Corp.  7.000%  2/1/27  750  875 
Kreditanstalt fuer Wiederaufbau  0.000%  4/18/36  6,200  2,071 
Kreditanstalt fuer Wiederaufbau  0.000%  6/29/37  825  260 
Mexico Government International Bond  8.300%  8/15/31  1,325  1,875 
Mexico Government International Bond  6.750%  9/27/34  14,300  17,743 
Mexico Government International Bond  6.050%  1/11/40  9,350  10,682 
Panama Government International Bond  7.125%  1/29/26  3,850  4,861 
Panama Government International Bond  8.875%  9/30/27  1,350  1,951 
Panama Government International Bond  9.375%  4/1/29  1,200  1,812 
Panama Government International Bond  6.700%  1/26/36  5,450  6,645 
Pemex Project Funding Master Trust  6.625%  6/15/35  4,900  5,328 
Pemex Project Funding Master Trust  6.625%  6/15/38  1,375  1,493 
Peruvian Government International Bond  7.350%  7/21/25  4,800  6,216 
Peruvian Government International Bond  8.750%  11/21/33  2,500  3,702 
2  Peruvian Government International Bond  6.550%  3/14/37  5,975  7,230 
Petrobras International Finance Co. - Pifco  6.875%  1/20/40  4,100  4,712 
3  Petroleos Mexicanos  5.500%  1/21/21  4,525  4,811 
3  Petroleos Mexicanos  6.625%  6/15/35  1,600  1,727 
Province of British Columbia Canada  6.500%  1/15/26  1,500  2,042 
Province of Nova Scotia Canada  9.125%  5/1/21  1,280  1,924 
Province of Quebec Canada  7.125%  2/9/24  3,200  4,421 
Province of Quebec Canada  7.500%  9/15/29  4,250  6,147 
Province of Saskatchewan Canada  7.375%  7/15/13  600  702 
Region of Lombardy Italy  5.804%  10/25/32  2,375  2,565 
Republic of Italy  6.875%  9/27/23  6,600  8,007 
Republic of Italy  5.375%  6/15/33  5,675  5,775 
Republic of Korea  5.625%  11/3/25  900  1,040 
South Africa Government International Bond  6.875%  5/27/19  900  1,103 
South Africa Government International Bond  5.875%  5/30/22  2,125  2,454 
Total Sovereign Bonds (Cost $191,201)        213,769 
Taxable Municipal Bonds (5.3%)         
American Muni. Power Ohio Inc.  6.053%  2/15/43  600  628 
American Muni. Power Ohio Inc.  5.939%  2/15/47  1,900  1,944 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.793%  4/1/30  600  641 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.918%  4/1/40  950  1,025 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.263%  4/1/49  2,750  3,046 
Bay Area Toll Auth. CA Toll Bridge Rev.  7.043%  4/1/50  2,000  2,183 
Board of Regents of the Univ. of Texas         
System Rev. Financing System  5.134%  8/15/42  500  533 
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  4.750%  5/1/19  1,000  1,130 
California GO  6.650%  3/1/22  1,500  1,653 


California GO  7.500%  4/1/34  5,500  6,059 
California GO  7.950%  3/1/36  1,500  1,598 
California GO  7.550%  4/1/39  5,800  6,329 
California GO  7.300%  10/1/39  4,625  4,904 
California GO  7.350%  11/1/39  2,400  2,560 
California GO  7.625%  3/1/40  3,100  3,406 
Central Puget Sound WA Regional Transit         
Auth. Sales & Use Tax Rev.  5.491%  11/1/39  650  716 
Chicago IL Board of Educ. GO  6.138%  12/1/39  700  714 
Chicago IL Metro. Water Reclamation Dist.         
GO  5.720%  12/1/38  2,300  2,616 
Chicago IL O'Hare International Airport Rev.  6.845%  1/1/38  600  626 
Chicago IL O'Hare International Airport Rev.  6.395%  1/1/40  650  694 
Chicago IL Transit Auth. Rev.  6.899%  12/1/40  5,500  5,997 
Clark County NV Airport Improvement Rev.  6.881%  7/1/42  650  680 
Clark County NV Airport Rev.  6.820%  7/1/45  1,000  1,127 
Commonwealth Financing Auth. Pennsylvania         
Rev.  6.218%  6/1/39  800  872 
Connecticut GO  5.850%  3/15/32  3,250  3,685 
Cook County IL GO  6.229%  11/15/34  1,050  1,091 
Curators of the Univ. of Missouri System Fac.         
Rev.  5.960%  11/1/39  1,000  1,156 
Dallas County TX Hosp. Dist. GO  5.621%  8/15/44  850  977 
Dallas TX Area Rapid Transit Rev.  4.922%  12/1/41  400  400 
Dallas TX Area Rapid Transit Rev.  5.999%  12/1/44  2,170  2,531 
Dallas TX Area Rapid Transit Rev.  5.022%  12/1/48  1,200  1,205 
Denver CO City & County School Dist.  5.664%  12/1/33  525  571 
District of Columbia Income Tax Rev.  5.591%  12/1/34  675  730 
East Baton Rouge LA Sewer Commission         
Rev.  6.087%  2/1/45  700  723 
East Bay CA Muni. Util. Dist. Water System         
Rev.  5.874%  6/1/40  1,600  1,810 
Georgia GO  4.503%  11/1/25  825  930 
Illinois GO  4.950%  6/1/23  1,700  1,644 
Illinois GO  5.100%  6/1/33  18,125  15,273 
Illinois GO  6.630%  2/1/35  1,050  1,047 
Illinois GO  6.725%  4/1/35  1,000  996 
Illinois State Tollway Highway Auth. Toll         
Highway Rev.  6.184%  1/1/34  1,200  1,281 
Illinois State Tollway Highway Auth. Toll         
Highway Rev.  5.851%  12/1/34  600  614 
Indianapolis IN Local Public Improvement         
Bond Bank Notes  6.116%  1/15/40  875  987 
Kansas Dev. Finance Auth. Rev. (Public         
Employee Retirement System)  5.501%  5/1/34  500  522 
Las Vegas Valley Water Dist. Nevada GO  7.013%  6/1/39  525  615 
Los Angeles CA Community College Dist. GO  6.600%  8/1/42  1,300  1,434 
Los Angeles CA Community College Dist. GO  6.750%  8/1/49  700  786 
Los Angeles CA Dept. of Water & Power Rev.  5.716%  7/1/39  775  800 
Los Angeles CA Dept. of Water & Power Rev.  6.008%  7/1/39  775  850 
Los Angeles CA Dept. of Water & Power Rev.  6.166%  7/1/40  625  637 
Los Angeles CA USD GO  5.755%  7/1/29  1,000  1,044 
Los Angeles CA USD GO  5.750%  7/1/34  3,700  3,732 
Los Angeles CA USD GO  6.758%  7/1/34  1,700  1,923 


Maryland Health & Higher Educ. Fac Auth.         
Rev. (Johns Hopkins Univ.)  5.250%  7/1/19  1,200  1,398 
Maryland Transp. Auth. Rev.  5.888%  7/1/43  850  937 
Massachusetts Dev. Finance Agency Rev.         
(Harvard Univ.)  6.300%  10/1/37  1,000  1,158 
Massachusetts GO  4.500%  8/1/31  1,500  1,464 
Massachusetts GO  5.456%  12/1/39  1,900  2,084 
Massachusetts School Building Auth.         
Dedicated Sales Tax Rev.  5.715%  8/15/39  1,050  1,191 
Massachusetts Water Pollution Abatement         
Trust  5.192%  8/1/40  900  957 
Metro. Govt. of Nashville & Davidson County         
TN GO  5.707%  7/1/34  1,200  1,333 
Metro. New York Transp. Auth. Rev.  6.548%  11/15/31  500  544 
Metro. New York Transp. Auth. Rev.  5.871%  11/15/39  700  706 
Metro. Transp. Auth. NY Rev.  6.648%  11/15/39  1,750  1,920 
Metro. Washington DC/VA Airports Auth.         
Airport System Rev.  7.462%  10/1/46  775  804 
Missouri Highways & Transp. Comm. Road         
Rev.  5.445%  5/1/33  600  646 
Muni. Electric Auth. Georgia Rev.  6.637%  4/1/57  2,700  2,897 
Muni. Electric Auth. Georgia Rev.  6.655%  4/1/57  2,800  2,942 
Muni. Electric Auth. Georgia Rev.  7.055%  4/1/57  850  839 
New Jersey Econ. Dev. Auth.  7.425%  2/15/29  5,250  6,133 
New Jersey Educ. Fac. Auth. Rev. (Princeton         
Univ.)  5.700%  3/1/39  1,500  1,776 
New Jersey Transp. Trust Fund Auth. Rev.  6.561%  12/15/40  1,575  1,792 
New Jersey Turnpike Auth. Rev.  4.252%  1/1/16  30  33 
New Jersey Turnpike Auth. Rev.  4.252%  1/1/16  570  606 
New Jersey Turnpike Auth. Rev.  7.414%  1/1/40  3,050  3,805 
New York City NY GO  5.206%  10/1/31  1,000  984 
New York City NY GO  6.246%  6/1/35  775  819 
New York City NY GO  5.968%  3/1/36  300  323 
New York City NY GO  5.985%  12/1/36  625  667 
New York City NY GO  5.846%  6/1/40  1,000  1,050 
New York City NY Muni. Water Finance Auth.  5.724%  6/15/42  550  595 
New York City NY Muni. Water Finance Auth.  6.011%  6/15/42  1,150  1,304 
New York City NY Muni. Water Finance Auth.  5.440%  6/15/43  1,000  1,042 
New York City NY Muni. Water Finance Auth.         
Water & Sewer System Rev.  5.750%  6/15/41  800  868 
New York City NY Muni. Water Finance Auth.         
Water & Sewer System Rev.  5.952%  6/15/42  800  892 
New York City NY Transitional Finance Auth.         
Rev.  5.767%  8/1/36  775  816 
New York City NY Transitional Finance Auth.         
Rev.  5.508%  8/1/37  1,900  1,979 
New York Metro. Transp. Auth. Rev.  7.336%  11/15/39  2,325  2,924 
New York Metro. Transp. Auth. Rev.  6.089%  11/15/40  575  631 
New York State Dormitory Auth. Rev.         
(Personal Income Tax)  5.500%  3/15/30  1,500  1,579 
New York State Dormitory Auth. Rev.         
(Personal Income Tax)  5.628%  3/15/39  2,000  2,100 
New York State Urban Dev. Corp. Rev.  5.770%  3/15/39  1,350  1,447 
North Texas Tollway Auth. Rev.  6.718%  1/1/49  2,500  2,744 
Ohio State Univ. General Receipts Rev.  4.910%  6/1/40  1,500  1,531 


Ohio Water Dev. Auth. PCR  4.879%  12/1/34  1,125  1,177 
Oregon (Taxable Pension) GO  5.762%  6/1/23  600  685 
Oregon (Taxable Pension) GO  5.892%  6/1/27  1,850  2,153 
Oregon GO  4.759%  6/30/28  1,850  1,906 
Oregon GO  5.528%  6/30/28  1,500  1,691 
Oregon State Dept. Transp. Highway Usertax         
Rev.  5.834%  11/15/34  1,250  1,426 
Pennsylvania GO  4.650%  2/15/26  1,100  1,155 
Pennsylvania GO  5.350%  5/1/30  1,000  1,028 
Pennsylvania State Turnpike Comm. Rev.  5.511%  12/1/45  775  783 
Pennsylvania State Turnpike Comm. Rev.  5.561%  12/1/49  850  862 
Pennsylvania Turnpike Comm. Rev.  6.105%  12/1/39  600  676 
Port Auth. of New York & New Jersey Rev.  6.040%  12/1/29  1,125  1,265 
Private Colleges & Univ Auth of Georgia Rev         
(Emory Univ)  5.625%  9/1/19  1,000  1,168 
Salt River Project Arizona Agricultural         
Improvement & Power Dist. Rev.  4.839%  1/1/41  1,100  1,099 
San Antonio TX Electric & Gas Rev.  5.985%  2/1/39  600  706 
San Antonio TX Electric & Gas Rev.  5.718%  2/1/41  950  1,077 
San Diego County CA Water Auth.  6.138%  5/1/49  1,200  1,331 
State Public School Building Auth.         
Pennsylvania College Rev.  5.000%  9/15/27  1,100  1,101 
Texas GO  4.631%  4/1/33  800  809 
Texas GO  5.517%  4/1/39  2,920  3,302 
Texas GO  4.681%  4/1/40  750  756 
Texas State Transp. Comm. First Tier  5.028%  4/1/26  1,000  1,090 
Texas State Transp. Comm. First Tier  5.178%  4/1/30  2,650  2,853 
Tobacco Settlement West Virginia Finance         
Auth. Rev.  7.467%  6/1/47  3,695  2,873 
Univ. of California Regents  6.583%  5/15/49  1,075  1,189 
Univ. of California Rev.  5.770%  5/15/43  2,000  2,107 
Univ. of California Rev.  5.946%  5/15/45  1,400  1,424 
Univ. of Texas Permanent Univ. Fund Rev.  5.262%  7/1/39  550  611 
Univ. of Texas Permanent Univ. Fund Rev.  6.276%  8/15/41  675  737 
Univ. of Texas Permanent Univ. Fund Rev.  4.794%  8/15/46  575  588 
Univ. of Virginia VRDO  6.200%  9/1/39  1,000  1,243 
Utah GO  4.554%  7/1/24  1,100  1,193 
Utah GO  3.539%  7/1/25  1,200  1,203 
Utah Transit Auth. Sales Tax Rev.  5.937%  6/15/39  700  818 
Washington GO  5.090%  8/1/33  900  956 
Washington GO  5.481%  8/1/39  650  714 
Washington GO  5.140%  8/1/40  1,775  1,847 
Wisconsin GO  5.700%  5/1/26  900  981 
Total Taxable Municipal Bonds (Cost $199,978)        210,518 
Tax-Exempt Municipal Bonds (0.1%)         
Illinois GO  7.350%  7/1/35  1,450  1,492 
San Francisco CA City & County Water Rev.  6.000%  11/1/40  1,325  1,398 
Total Tax-Exempt Municipal Bonds (Cost $2,834)        2,890 


    Shares   
Temporary Cash Investment (0.8%)       
Money Market Fund (0.8%)       
4 Vanguard Market Liquidity Fund       
(Cost $32,522)  0.261%  32,521,652  32,522 
Total Investments (99.8%) (Cost $3,569,345)      3,945,133 
Other Assets and Liabilities-Net (0.2%)      7,949 
Net Assets (100%)      3,953,082 

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 September 30, 2010, the aggregate value of these securities was $27,957,000, representing 0.7% 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.
PCR—Pollution Control Revenue Bond.
USD—United School District.
VRDO—Variable Rate Demand Obligation.

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 September 30, 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  —  1,782,652  — 


Asset-Backed/Commercial Mortgage-Backed Securities  —  3,093  — 
Corporate Bonds  —  1,699,689  — 
Sovereign Bonds  —  213,769  — 
Taxable Municipal Bonds  —  210,518  — 
Tax-Exempt Municipal Bonds  —  2,890  — 
Temporary Cash Investments  32,522  —  — 
Total  32,522  3,912,611  — 

C. At September 30, 2010, the cost of investment securities for tax purposes was $3,569,345,000. Net unrealized appreciation of investment securities for tax purposes was $375,788,000, consisting of unrealized gains of $383,686,000 on securities that had risen in value since their purchase and $7,898,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Total Bond Market Index Fund

Schedule of Investments
As of September 30, 2010

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (70.5%)         
U.S. Government Securities (37.1%)         
United States Treasury Note/Bond  1.125%  6/30/11  175,700  176,826 
United States Treasury Note/Bond  5.125%  6/30/11  416,583  431,684 
United States Treasury Note/Bond  5.000%  8/15/11  13,620  14,186 
United States Treasury Note/Bond  4.625%  8/31/11  55,940  58,151 
United States Treasury Note/Bond  1.000%  9/30/11  143,490  144,477 
United States Treasury Note/Bond  4.500%  9/30/11  29,194  30,412 
United States Treasury Note/Bond  1.000%  10/31/11  107,545  108,352 
United States Treasury Note/Bond  4.625%  10/31/11  57,970  60,669 
United States Treasury Note/Bond  1.750%  11/15/11  20,665  20,994 
United States Treasury Note/Bond  0.750%  11/30/11  750,344  754,096 
United States Treasury Note/Bond  4.500%  11/30/11  19,900  20,864 
United States Treasury Note/Bond  1.125%  12/15/11  289,900  292,663 
United States Treasury Note/Bond  1.000%  12/31/11  332,485  335,291 
United States Treasury Note/Bond  4.625%  12/31/11  1,950  2,055 
United States Treasury Note/Bond  1.125%  1/15/12  94,605  95,580 
United States Treasury Note/Bond  0.875%  1/31/12  369,140  371,794 
United States Treasury Note/Bond  4.750%  1/31/12  31,485  33,350 
United States Treasury Note/Bond  1.375%  2/15/12  96,755  98,146 
United States Treasury Note/Bond  4.875%  2/15/12  293,695  311,960 
United States Treasury Note/Bond  0.875%  2/29/12  766,135  771,881 
United States Treasury Note/Bond  4.625%  2/29/12  81,415  86,338 
United States Treasury Note/Bond  1.375%  3/15/12  735  746 
United States Treasury Note/Bond  1.000%  3/31/12  323,050  326,180 
United States Treasury Note/Bond  4.500%  3/31/12  143,630  152,584 
United States Treasury Note/Bond  1.375%  4/15/12  279,464  283,787 
United States Treasury Note/Bond  1.000%  4/30/12  87,500  88,375 
United States Treasury Note/Bond  4.500%  4/30/12  163,540  174,273 
United States Treasury Note/Bond  1.375%  5/15/12  407,800  414,361 
United States Treasury Note/Bond  0.750%  5/31/12  739,750  744,144 
United States Treasury Note/Bond  4.750%  5/31/12  343,045  367,916 
United States Treasury Note/Bond  1.875%  6/15/12  128,785  132,086 
United States Treasury Note/Bond  0.625%  6/30/12  7,825  7,856 
United States Treasury Note/Bond  4.875%  6/30/12  60,235  64,979 
United States Treasury Note/Bond  1.500%  7/15/12  52,800  53,856 
United States Treasury Note/Bond  0.625%  7/31/12  58,974  59,214 
United States Treasury Note/Bond  4.625%  7/31/12  160,475  172,962 
United States Treasury Note/Bond  1.750%  8/15/12  352,135  360,938 
United States Treasury Note/Bond  4.375%  8/15/12  40  43 
United States Treasury Note/Bond  0.375%  8/31/12  6,300  6,294 
United States Treasury Note/Bond  4.125%  8/31/12  6,641  7,112 
United States Treasury Note/Bond  1.375%  9/15/12  202,467  206,264 
United States Treasury Note/Bond  4.250%  9/30/12  25,190  27,111 
United States Treasury Note/Bond  1.375%  10/15/12  41,550  42,329 
United States Treasury Note/Bond  3.875%  10/31/12  47,780  51,214 
United States Treasury Note/Bond  1.375%  11/15/12  100,420  102,334 
United States Treasury Note/Bond  4.000%  11/15/12  17,980  19,351 
United States Treasury Note/Bond  3.375%  11/30/12  2,380  2,531 
United States Treasury Note/Bond  1.125%  12/15/12  482,645  489,431 
United States Treasury Note/Bond  3.625%  12/31/12  2,705  2,897 


United States Treasury Note/Bond  1.375%  1/15/13  667,525  680,669 
United States Treasury Note/Bond  1.375%  2/15/13  134,750  137,445 
United States Treasury Note/Bond  3.875%  2/15/13  131,535  142,181 
United States Treasury Note/Bond  2.750%  2/28/13  41,755  44,026 
United States Treasury Note/Bond  1.375%  3/15/13  250,125  255,285 
United States Treasury Note/Bond  1.750%  4/15/13  72,215  74,404 
United States Treasury Note/Bond  3.625%  5/15/13  12,056  13,043 
United States Treasury Note/Bond  3.500%  5/31/13  11,180  12,064 
United States Treasury Note/Bond  1.125%  6/15/13  665  674 
United States Treasury Note/Bond  3.375%  6/30/13  21,755  23,428 
United States Treasury Note/Bond  1.000%  7/15/13  11,615  11,742 
United States Treasury Note/Bond  3.375%  7/31/13  11,400  12,301 
United States Treasury Note/Bond  0.750%  8/15/13  755  758 
United States Treasury Note/Bond  4.250%  8/15/13  14,450  15,958 
United States Treasury Note/Bond  3.125%  8/31/13  33,380  35,800 
United States Treasury Note/Bond  0.750%  9/15/13  26,450  26,537 
United States Treasury Note/Bond  3.125%  9/30/13  583,185  626,102 
United States Treasury Note/Bond  2.750%  10/31/13  588,953  626,316 
United States Treasury Note/Bond  4.250%  11/15/13  8,360  9,290 
United States Treasury Note/Bond  2.000%  11/30/13  39,310  40,919 
United States Treasury Note/Bond  1.500%  12/31/13  293,800  301,098 
United States Treasury Note/Bond  1.750%  1/31/14  244,575  252,599 
United States Treasury Note/Bond  4.000%  2/15/14  60,080  66,595 
United States Treasury Note/Bond  1.875%  2/28/14  785,075  813,903 
United States Treasury Note/Bond  1.750%  3/31/14  569,725  588,241 
United States Treasury Note/Bond  1.875%  4/30/14  227,100  235,546 
United States Treasury Note/Bond  4.750%  5/15/14  44,288  50,544 
United States Treasury Note/Bond  2.250%  5/31/14  186,815  196,331 
United States Treasury Note/Bond  2.625%  6/30/14  412,240  438,970 
United States Treasury Note/Bond  2.625%  7/31/14  215,285  229,244 
United States Treasury Note/Bond  4.250%  8/15/14  6,000  6,766 
United States Treasury Note/Bond  2.375%  8/31/14  173,605  183,181 
United States Treasury Note/Bond  2.375%  9/30/14  163,185  172,263 
United States Treasury Note/Bond  2.375%  10/31/14  286,385  302,317 
United States Treasury Note/Bond  2.125%  11/30/14  430,659  450,172 
United States Treasury Note/Bond  2.625%  12/31/14  74,595  79,491 
United States Treasury Note/Bond  2.250%  1/31/15  208,400  218,755 
United States Treasury Note/Bond  4.000%  2/15/15  85,642  96,307 
United States Treasury Note/Bond  11.250%  2/15/15  49,325  70,773 
United States Treasury Note/Bond  2.375%  2/28/15  289,962  305,820 
United States Treasury Note/Bond  2.500%  3/31/15  128,180  135,911 
United States Treasury Note/Bond  2.500%  4/30/15  191,660  203,219 
United States Treasury Note/Bond  4.125%  5/15/15  154,475  175,111 
United States Treasury Note/Bond  2.125%  5/31/15  97,905  102,096 
United States Treasury Note/Bond  1.875%  6/30/15  69,745  71,881 
United States Treasury Note/Bond  1.750%  7/31/15  387,368  396,688 
United States Treasury Note/Bond  4.250%  8/15/15  101,475  115,999 
United States Treasury Note/Bond  10.625%  8/15/15  5,935  8,580 
United States Treasury Note/Bond  1.250%  8/31/15  355,975  355,975 
United States Treasury Note/Bond  1.250%  9/30/15  400,050  399,550 
United States Treasury Note/Bond  4.500%  11/15/15  15,575  18,082 
United States Treasury Note/Bond  9.875%  11/15/15  262,900  374,551 
United States Treasury Note/Bond  4.500%  2/15/16  116,255  134,910 
United States Treasury Note/Bond  9.250%  2/15/16  6,710  9,446 
United States Treasury Note/Bond  2.625%  2/29/16  311,975  331,570 


United States Treasury Note/Bond  2.375%  3/31/16  66,175  69,401 
United States Treasury Note/Bond  2.625%  4/30/16  216,700  229,871 
United States Treasury Note/Bond  5.125%  5/15/16  282,610  338,471 
United States Treasury Note/Bond  7.250%  5/15/16  48,085  63,066 
United States Treasury Note/Bond  3.250%  5/31/16  50,800  55,618 
United States Treasury Note/Bond  3.250%  6/30/16  263,740  288,795 
United States Treasury Note/Bond  4.875%  8/15/16  96,250  114,267 
United States Treasury Note/Bond  3.000%  8/31/16  365,675  394,530 
United States Treasury Note/Bond  3.000%  9/30/16  468,850  505,697 
United States Treasury Note/Bond  3.125%  10/31/16  171,060  185,680 
United States Treasury Note/Bond  4.625%  11/15/16  17,296  20,320 
United States Treasury Note/Bond  7.500%  11/15/16  84,277  112,865 
United States Treasury Note/Bond  2.750%  11/30/16  55,782  59,286 
United States Treasury Note/Bond  3.250%  12/31/16  20,100  21,940 
United States Treasury Note/Bond  3.125%  1/31/17  246,495  267,178 
United States Treasury Note/Bond  4.625%  2/15/17  1,420  1,669 
United States Treasury Note/Bond  3.250%  3/31/17  8,570  9,345 
United States Treasury Note/Bond  3.125%  4/30/17  11,200  12,121 
United States Treasury Note/Bond  4.500%  5/15/17  14,270  16,680 
United States Treasury Note/Bond  8.750%  5/15/17  250,815  360,155 
United States Treasury Note/Bond  2.750%  5/31/17  254,555  269,312 
United States Treasury Note/Bond  2.500%  6/30/17  289,800  301,844 
United States Treasury Note/Bond  4.750%  8/15/17  339,205  402,860 
United States Treasury Note/Bond  8.875%  8/15/17  43,390  63,106 
United States Treasury Note/Bond  4.250%  11/15/17  220,815  255,490 
United States Treasury Note/Bond  3.500%  2/15/18  47,425  52,375 
United States Treasury Note/Bond  3.875%  5/15/18  421,286  475,725 
United States Treasury Note/Bond  9.125%  5/15/18  3,685  5,557 
United States Treasury Note/Bond  4.000%  8/15/18  253,175  287,868 
United States Treasury Note/Bond  3.750%  11/15/18  226,920  253,513 
United States Treasury Note/Bond  9.000%  11/15/18  25  38 
United States Treasury Note/Bond  2.750%  2/15/19  24,200  25,104 
United States Treasury Note/Bond  8.875%  2/15/19  163,475  247,078 
United States Treasury Note/Bond  3.125%  5/15/19  125,150  133,011 
United States Treasury Note/Bond  3.625%  8/15/19  120,281  132,253 
United States Treasury Note/Bond  8.125%  8/15/19  78,785  115,236 
United States Treasury Note/Bond  3.375%  11/15/19  471,533  508,077 
United States Treasury Note/Bond  3.625%  2/15/20  357,959  392,581 
United States Treasury Note/Bond  3.500%  5/15/20  423,573  459,844 
United States Treasury Note/Bond  2.625%  8/15/20  641,710  647,729 
United States Treasury Note/Bond  8.750%  8/15/20  244,040  377,081 
United States Treasury Note/Bond  7.875%  2/15/21  208,392  308,779 
United States Treasury Note/Bond  8.125%  5/15/21  12,080  18,243 
United States Treasury Note/Bond  8.125%  8/15/21  136,690  207,171 
United States Treasury Note/Bond  8.000%  11/15/21  59,855  90,278 
United States Treasury Note/Bond  7.250%  8/15/22  2,940  4,263 
United States Treasury Note/Bond  7.625%  11/15/22  7,450  11,124 
United States Treasury Note/Bond  7.125%  2/15/23  161,760  233,313 
United States Treasury Note/Bond  6.250%  8/15/23  517,360  700,702 
United States Treasury Note/Bond  7.625%  2/15/25  712  1,093 
United States Treasury Note/Bond  6.875%  8/15/25  50,725  73,694 
United States Treasury Note/Bond  6.000%  2/15/26  2,615  3,532 
United States Treasury Note/Bond  6.750%  8/15/26  5,435  7,903 
United States Treasury Note/Bond  6.500%  11/15/26  7,064  10,061 
United States Treasury Note/Bond  6.625%  2/15/27  81,065  116,974 


United States Treasury Note/Bond  6.375%  8/15/27  77,520  109,509 
United States Treasury Note/Bond  6.125%  11/15/27  29,985  41,393 
United States Treasury Note/Bond  5.500%  8/15/28  34,290  44,475 
United States Treasury Note/Bond  5.250%  11/15/28  7,950  10,042 
United States Treasury Note/Bond  5.250%  2/15/29  89,820  113,510 
United States Treasury Note/Bond  6.125%  8/15/29  163,655  227,711 
United States Treasury Note/Bond  6.250%  5/15/30  60,343  85,395 
United States Treasury Note/Bond  5.375%  2/15/31  66,175  85,190 
United States Treasury Note/Bond  4.500%  2/15/36  33,870  38,929 
United States Treasury Note/Bond  4.750%  2/15/37  402,360  480,945 
United States Treasury Note/Bond  5.000%  5/15/37  3,449  4,282 
United States Treasury Note/Bond  4.375%  2/15/38  51,309  57,819 
United States Treasury Note/Bond  4.500%  5/15/38  33,687  38,730 
United States Treasury Note/Bond  3.500%  2/15/39  18,508  17,897 
United States Treasury Note/Bond  4.250%  5/15/39  271,339  298,345 
United States Treasury Note/Bond  4.500%  8/15/39  470,744  538,856 
United States Treasury Note/Bond  4.375%  11/15/39  319,296  358,062 
United States Treasury Note/Bond  4.625%  2/15/40  333,501  389,466 
United States Treasury Note/Bond  4.375%  5/15/40  202,020  226,800 
        32,749,487 
Agency Bonds and Notes (6.3%)         
1 Ally Financial Inc.  2.200%  12/19/12  2,950  3,050 
1 American Express Bank FSB  3.150%  12/9/11  20,525  21,187 
1 Bank of America Corp.  2.100%  4/30/12  51,075  52,372 
1 Bank of America Corp.  3.125%  6/15/12  37,450  38,987 
1 Bank of America Corp.  2.375%  6/22/12  24,075  24,834 
1 Bank of America NA  1.700%  12/23/10  12,425  12,464 
1 Bank of the West  2.150%  3/27/12  11,425  11,712 
1 Citibank NA  1.625%  3/30/11  8,900  8,961 
1 Citibank NA  1.875%  5/7/12  23,485  23,990 
1 Citibank NA  1.750%  12/28/12  37,100  37,990 
1 Citigroup Funding Inc.  2.000%  3/30/12  8,900  9,086 
1 Citigroup Funding Inc.  2.125%  7/12/12  11,275  11,590 
1 Citigroup Funding Inc.  1.875%  10/22/12  17,794  18,253 
1 Citigroup Funding Inc.  2.250%  12/10/12  4,775  4,941 
1 Citigroup Inc.  2.875%  12/9/11  26,225  26,983 
1 Citigroup Inc.  2.125%  4/30/12  48,420  49,653 
Egypt Government AID Bonds  4.450%  9/15/15  16,750  18,917 
2 Federal Agricultural Mortgage Corp.  2.125%  9/15/15  2,825  2,858 
2 Federal Farm Credit Bank  2.000%  1/17/12  17,000  17,360 
2 Federal Farm Credit Bank  2.250%  4/24/12  6,300  6,477 
2 Federal Farm Credit Bank  2.125%  6/18/12  14,675  15,086 
2 Federal Farm Credit Bank  4.500%  10/17/12  12,375  13,359 
2 Federal Farm Credit Bank  1.875%  12/7/12  9,375  9,617 
2 Federal Farm Credit Bank  1.750%  2/21/13  8,775  8,993 
2 Federal Farm Credit Bank  1.375%  6/25/13  6,800  6,911 
2 Federal Farm Credit Bank  3.875%  10/7/13  37,650  41,026 
2 Federal Farm Credit Bank  2.625%  4/17/14  11,375  11,994 
2 Federal Farm Credit Bank  3.000%  9/22/14  11,250  12,035 
2 Federal Farm Credit Bank  4.875%  12/16/15  1,625  1,883 
2 Federal Farm Credit Bank  5.125%  8/25/16  9,075  10,714 
2 Federal Farm Credit Bank  4.875%  1/17/17  8,030  9,342 
2 Federal Farm Credit Bank  5.150%  11/15/19  15,675  18,515 
2 Federal Home Loan Bank of Chicago  5.625%  6/13/16  3,705  4,109 
2 Federal Home Loan Banks  4.875%  11/18/11  21,440  22,529 


2  Federal Home Loan Banks  1.000%  12/28/11  38,800  39,098 
2  Federal Home Loan Banks  1.125%  5/18/12  78,300  79,145 
2  Federal Home Loan Banks  1.375%  6/8/12  37,750  38,304 
2  Federal Home Loan Banks  1.875%  6/20/12  34,525  35,355 
2  Federal Home Loan Banks  1.750%  8/22/12  26,850  27,481 
2  Federal Home Loan Banks  1.625%  9/26/12  16,500  16,856 
2,3 Federal Home Loan Banks  2.000%  10/5/12  36,160  36,167 
2  Federal Home Loan Banks  1.750%  12/14/12  16,900  17,291 
2  Federal Home Loan Banks  1.500%  1/16/13  18,625  18,976 
2  Federal Home Loan Banks  3.375%  2/27/13  10,075  10,722 
2  Federal Home Loan Banks  1.625%  3/20/13  12,400  12,683 
2  Federal Home Loan Banks  3.625%  5/29/13  150  162 
2  Federal Home Loan Banks  3.875%  6/14/13  5,125  5,554 
2  Federal Home Loan Banks  5.375%  6/14/13  12,150  13,634 
2  Federal Home Loan Banks  1.875%  6/21/13  55,705  57,378 
2  Federal Home Loan Banks  5.125%  8/14/13  4,560  5,119 
2  Federal Home Loan Banks  4.000%  9/6/13  46,725  51,107 
2  Federal Home Loan Banks  5.250%  9/13/13  9,200  10,366 
2  Federal Home Loan Banks  4.500%  9/16/13  51,125  56,632 
2  Federal Home Loan Banks  3.625%  10/18/13  15,100  16,359 
2  Federal Home Loan Banks  4.875%  11/27/13  19,900  22,258 
2  Federal Home Loan Banks  3.125%  12/13/13  8,125  8,676 
2  Federal Home Loan Banks  2.500%  6/13/14  37,450  39,321 
2  Federal Home Loan Banks  5.500%  8/13/14  85,150  99,302 
2  Federal Home Loan Banks  4.500%  11/14/14  35,450  39,916 
2  Federal Home Loan Banks  2.750%  12/12/14  18,950  20,088 
2  Federal Home Loan Banks  5.375%  5/18/16  44,900  53,601 
2  Federal Home Loan Banks  5.125%  10/19/16  15,925  18,717 
2  Federal Home Loan Banks  4.750%  12/16/16  36,110  41,946 
2  Federal Home Loan Banks  4.875%  5/17/17  35,975  42,191 
2  Federal Home Loan Banks  5.000%  11/17/17  12,275  14,557 
2  Federal Home Loan Banks  5.375%  5/15/19  2,765  3,312 
2  Federal Home Loan Banks  4.125%  3/13/20  7,750  8,552 
2  Federal Home Loan Banks  5.250%  12/11/20  5,350  6,423 
2  Federal Home Loan Banks  5.625%  6/11/21  1,125  1,387 
2  Federal Home Loan Banks  5.375%  8/15/24  24,600  29,977 
2  Federal Home Loan Banks  5.500%  7/15/36  9,900  12,024 
2  Federal Home Loan Mortgage Corp.  5.750%  1/15/12  69,775  74,606 
2  Federal Home Loan Mortgage Corp.  2.125%  3/23/12  55,945  57,323 
2  Federal Home Loan Mortgage Corp.  1.750%  6/15/12  30,325  30,978 
2  Federal Home Loan Mortgage Corp.  4.750%  6/28/12  2,000  2,146 
2  Federal Home Loan Mortgage Corp.  5.125%  7/15/12  19,975  21,607 
2  Federal Home Loan Mortgage Corp.  5.500%  8/20/12  41,325  45,158 
2  Federal Home Loan Mortgage Corp.  1.000%  8/28/12  21,525  21,705 
2  Federal Home Loan Mortgage Corp.  2.125%  9/21/12  57,900  59,698 
2  Federal Home Loan Mortgage Corp.  4.625%  10/25/12  31,925  34,567 
2  Federal Home Loan Mortgage Corp.  4.125%  12/21/12  15,125  16,283 
2  Federal Home Loan Mortgage Corp.  1.375%  1/9/13  82,395  83,703 
2  Federal Home Loan Mortgage Corp.  1.625%  4/15/13  83,750  85,701 
2  Federal Home Loan Mortgage Corp.  3.750%  6/28/13  33,590  36,302 
2  Federal Home Loan Mortgage Corp.  4.500%  7/15/13  18,000  19,824 
2  Federal Home Loan Mortgage Corp.  4.125%  9/27/13  7,725  8,466 
2  Federal Home Loan Mortgage Corp.  0.875%  10/28/13  11,900  11,906 
2  Federal Home Loan Mortgage Corp.  4.875%  11/15/13  64,550  72,394 
2  Federal Home Loan Mortgage Corp.  2.500%  1/7/14  10,675  11,196 


2  Federal Home Loan Mortgage Corp.  4.500%  1/15/14  24,855  27,681 
2  Federal Home Loan Mortgage Corp.  2.500%  4/23/14  56,825  59,641 
2  Federal Home Loan Mortgage Corp.  5.000%  7/15/14  47,900  54,702 
2  Federal Home Loan Mortgage Corp.  3.000%  7/28/14  82,250  87,871 
2  Federal Home Loan Mortgage Corp.  0.000%  11/24/14  7,400  6,872 
2  Federal Home Loan Mortgage Corp.  5.050%  1/26/15  600  692 
2  Federal Home Loan Mortgage Corp.  2.875%  2/9/15  775  825 
2  Federal Home Loan Mortgage Corp.  1.750%  9/10/15  25,000  25,218 
2  Federal Home Loan Mortgage Corp.  4.750%  1/19/16  1,375  1,588 
2  Federal Home Loan Mortgage Corp.  5.250%  4/18/16  48,925  57,809 
2  Federal Home Loan Mortgage Corp.  5.500%  7/18/16  64,175  76,932 
2  Federal Home Loan Mortgage Corp.  5.125%  10/18/16  15,775  18,608 
2  Federal Home Loan Mortgage Corp.  5.000%  2/16/17  28,225  33,119 
2  Federal Home Loan Mortgage Corp.  5.000%  4/18/17  10,000  11,758 
2  Federal Home Loan Mortgage Corp.  5.500%  8/23/17  33,450  40,449 
2  Federal Home Loan Mortgage Corp.  5.125%  11/17/17  6,670  7,921 
2  Federal Home Loan Mortgage Corp.  4.875%  6/13/18  22,750  26,685 
2  Federal Home Loan Mortgage Corp.  3.750%  3/27/19  56,300  61,127 
2  Federal Home Loan Mortgage Corp.  6.750%  9/15/29  11,375  15,693 
2  Federal Home Loan Mortgage Corp.  6.750%  3/15/31  38,739  54,212 
2  Federal Home Loan Mortgage Corp.  6.250%  7/15/32  524  703 
2  Federal National Mortgage Assn.  5.000%  10/15/11  68,775  72,082 
2  Federal National Mortgage Assn.  1.000%  11/23/11  8,795  8,854 
2  Federal National Mortgage Assn.  2.000%  1/9/12  121,600  124,113 
2  Federal National Mortgage Assn.  0.875%  1/12/12  32,200  32,420 
2  Federal National Mortgage Assn.  5.000%  2/16/12  19,975  21,236 
2  Federal National Mortgage Assn.  6.125%  3/15/12  68,630  74,284 
2  Federal National Mortgage Assn.  1.000%  4/4/12  29,650  29,899 
2  Federal National Mortgage Assn.  1.875%  4/20/12  74,275  75,911 
2  Federal National Mortgage Assn.  4.875%  5/18/12  36,870  39,511 
2  Federal National Mortgage Assn.  1.250%  6/22/12  12,940  13,111 
2  Federal National Mortgage Assn.  1.125%  7/30/12  26,000  26,296 
2  Federal National Mortgage Assn.  5.250%  8/1/12  7,415  8,000 
2  Federal National Mortgage Assn.  1.750%  8/10/12  4,100  4,197 
2  Federal National Mortgage Assn.  4.375%  9/15/12  176,025  189,102 
2  Federal National Mortgage Assn.  0.625%  9/24/12  15,350  15,382 
2,3 Federal National Mortgage Assn.  1.600%  10/1/12  29,000  29,001 
2  Federal National Mortgage Assn.  4.750%  11/19/12  50,000  54,358 
2  Federal National Mortgage Assn.  3.625%  2/12/13  28,325  30,257 
2  Federal National Mortgage Assn.  4.750%  2/21/13  7,600  8,313 
2  Federal National Mortgage Assn.  4.375%  3/15/13  11,075  12,056 
2  Federal National Mortgage Assn.  0.850%  4/8/13  36,198  36,202 
2  Federal National Mortgage Assn.  4.625%  5/1/13  23,794  25,748 
2  Federal National Mortgage Assn.  1.750%  5/7/13  12,900  13,236 
2,3 Federal National Mortgage Assn.  2.000%  5/24/13  19,465  19,591 
2  Federal National Mortgage Assn.  3.875%  7/12/13  4,700  5,100 
2  Federal National Mortgage Assn.  1.250%  8/20/13  10,175  10,303 
2  Federal National Mortgage Assn.  4.625%  10/15/13  59,600  66,301 
2  Federal National Mortgage Assn.  2.875%  12/11/13  22,150  23,533 
2  Federal National Mortgage Assn.  5.125%  1/2/14  3,600  3,984 
2  Federal National Mortgage Assn.  2.750%  2/5/14  38,950  41,216 
2  Federal National Mortgage Assn.  2.750%  3/13/14  37,950  40,160 
2  Federal National Mortgage Assn.  4.125%  4/15/14  42,875  47,415 
2  Federal National Mortgage Assn.  2.500%  5/15/14  42,050  44,123 
2  Federal National Mortgage Assn.  3.000%  9/16/14  17,050  18,228 


2 Federal National Mortgage Assn.  4.625%  10/15/14  28,500  32,306 
2 Federal National Mortgage Assn.  2.625%  11/20/14  15,625  16,478 
2 Federal National Mortgage Assn.  5.000%  4/15/15  16,960  19,631 
2 Federal National Mortgage Assn.  2.375%  7/28/15  28,425  29,570 
2 Federal National Mortgage Assn.  4.375%  10/15/15  17,325  19,647 
2 Federal National Mortgage Assn.  1.625%  10/26/15  24,300  24,335 
2 Federal National Mortgage Assn.  8.200%  3/10/16  50  67 
2 Federal National Mortgage Assn.  5.375%  7/15/16  15,675  18,680 
2 Federal National Mortgage Assn.  5.250%  9/15/16  45,925  54,504 
2 Federal National Mortgage Assn.  4.875%  12/15/16  7,175  8,363 
2 Federal National Mortgage Assn.  5.000%  2/13/17  79,525  93,246 
2 Federal National Mortgage Assn.  5.000%  5/11/17  111,101  130,658 
2 Federal National Mortgage Assn.  5.375%  6/12/17  3,750  4,498 
2 Federal National Mortgage Assn.  0.000%  10/9/19  2,375  1,561 
2 Federal National Mortgage Assn.  6.250%  5/15/29  1,250  1,641 
2 Federal National Mortgage Assn.  7.125%  1/15/30  24,980  35,879 
2 Federal National Mortgage Assn.  7.250%  5/15/30  46,901  68,318 
2 Federal National Mortgage Assn.  6.625%  11/15/30  6,795  9,362 
2 Federal National Mortgage Assn.  5.625%  7/15/37  11,590  14,341 
Financing Corp. Fico  9.800%  4/6/18  1,750  2,611 
Financing Corp. Fico  10.350%  8/3/18  4,900  7,580 
Financing Corp. Fico  9.650%  11/2/18  10,535  15,877 
Financing Corp. Fico  9.700%  4/5/19  1,575  2,403 
1 General Electric Capital Corp.  1.800%  3/11/11  26,530  26,713 
1 General Electric Capital Corp.  3.000%  12/9/11  43,900  45,223 
1 General Electric Capital Corp.  2.250%  3/12/12  23,575  24,173 
1 General Electric Capital Corp.  2.200%  6/8/12  43,320  44,522 
1 General Electric Capital Corp.  2.125%  12/21/12  19,250  19,870 
1 General Electric Capital Corp.  2.625%  12/28/12  13,150  13,720 
1 Goldman Sachs Group Inc.  1.700%  3/15/11  11,000  11,073 
1 Goldman Sachs Group Inc.  2.150%  3/15/12  6,925  7,094 
1 Goldman Sachs Group Inc.  3.250%  6/15/12  23,350  24,422 
1 HSBC USA Inc.  3.125%  12/16/11  15,000  15,487 
Israel Government AID Bond  5.500%  9/18/23  5,760  7,116 
Israel Government AID Bond  5.500%  12/4/23  3,200  3,939 
Israel Government AID Bond  5.500%  4/26/24  12,400  15,358 
1 JPMorgan Chase & Co.  1.650%  2/23/11  21,175  21,289 
1 JPMorgan Chase & Co.  3.125%  12/1/11  28,975  29,894 
1 JPMorgan Chase & Co.  2.200%  6/15/12  20,950  21,545 
1 JPMorgan Chase & Co.  2.125%  6/22/12  13,800  14,181 
1 JPMorgan Chase & Co.  2.125%  12/26/12  32,325  33,439 
1 Morgan Stanley  2.900%  12/1/10  11,375  11,426 
1 Morgan Stanley  3.250%  12/1/11  30,200  31,191 
1 Morgan Stanley  1.950%  6/20/12  26,250  26,890 
1 PNC Funding Corp.  2.300%  6/22/12  6,075  6,260 
Private Export Funding Corp.  3.550%  4/15/13  2,275  2,433 
Private Export Funding Corp.  3.050%  10/15/14  4,600  4,919 
Private Export Funding Corp.  4.375%  3/15/19  8,700  9,747 
Private Export Funding Corp.  4.300%  12/15/21  2,675  2,945 
1 Regions Bank  2.750%  12/10/10  8,275  8,314 
1 Regions Bank  3.250%  12/9/11  1,500  1,550 
Resolution Funding Corp.  8.125%  10/15/19  450  639 
Resolution Funding Corp.  8.875%  7/15/20  180  262 
Resolution Funding Corp.  8.625%  1/15/30  110  178 


  Small Business Administration Variable Rate         
  Interest Only Custodial Receipts (U.S.         
  Government Guaran  2.719%  7/15/17  4,449  222 
1  Sovereign Bank  2.750%  1/17/12  6,900  7,104 
1  State Street Corp.  2.150%  4/30/12  11,150  11,440 
2  Tennessee Valley Authority  4.750%  8/1/13  4,000  4,444 
2  Tennessee Valley Authority  5.500%  7/18/17  17,100  20,619 
2  Tennessee Valley Authority  4.500%  4/1/18  6,325  7,235 
2  Tennessee Valley Authority  6.750%  11/1/25  1,800  2,433 
2  Tennessee Valley Authority  7.125%  5/1/30  27,025  38,010 
2  Tennessee Valley Authority  4.650%  6/15/35  3,825  4,077 
2  Tennessee Valley Authority  6.150%  1/15/38  135  177 
2  Tennessee Valley Authority  5.500%  6/15/38  2,550  3,020 
2  Tennessee Valley Authority  5.250%  9/15/39  8,663  10,053 
2  Tennessee Valley Authority  4.875%  1/15/48  6,825  7,621 
2  Tennessee Valley Authority  5.375%  4/1/56  6,250  7,517 
2  Tennessee Valley Authority  4.625%  9/15/60  4,225  4,418 
13 US Central Federal Credit Union  1.900%  10/19/12  9,275  9,509 
1  Wells Fargo & Co.  3.000%  12/9/11  28,175  29,031 
1  Wells Fargo & Co.  2.125%  6/15/12  16,725  17,187 
13 Western Corporate Federal Credit Union  1.750%  11/2/12  4,675  4,773 
          5,511,865 
Conventional Mortgage-Backed Securities (26.1%)         
2,3 Fannie Mae Pool  4.000%  10/1/10–8/1/40  812,554  847,431 
2,3 Fannie Mae Pool  4.500%  7/1/11–10/1/40  1,618,257  1,696,347 
2,3 Fannie Mae Pool  5.000%  1/1/11–10/1/40  2,645,393  2,601,880 
2,3 Fannie Mae Pool  5.500%  2/1/14–10/1/40  2,501,641  2,645,322 
2,3 Fannie Mae Pool  6.000%  1/1/11–10/1/40  1,751,328  1,894,021 
2,3 Fannie Mae Pool  6.500%  12/1/10–1/1/39  542,354  596,862 
2,3 Fannie Mae Pool  7.000%  11/1/10–11/1/38  156,593  174,997 
2,3 Fannie Mae Pool  7.500%  12/1/10–12/1/32  9,691  10,866 
2,3 Fannie Mae Pool  8.000%  12/1/11–9/1/31  2,978  3,351 
2,3 Fannie Mae Pool  8.500%  9/1/15–5/1/32  1,168  1,324 
2,3 Fannie Mae Pool  9.000%  2/1/17–8/1/30  293  333 
2,3 Fannie Mae Pool  9.500%  8/1/16–11/1/25  373  421 
2,3 Fannie Mae Pool  10.000%  10/1/14–11/1/19  61  68 
2,3 Fannie Mae Pool  10.500%  3/1/11–8/1/20  2  2 
2,3 Fannie Mae Pool  11.000%  9/1/19  4  4 
2,3 Freddie Mac Gold Pool  3.500%  6/1/19  52  54 
2,3 Freddie Mac Gold Pool  4.000%  11/1/10–10/1/40  537,895  561,067 
2,3 Freddie Mac Gold Pool  4.500%  11/1/10–10/1/40  1,268,692  1,329,942 
2,3 Freddie Mac Gold Pool  5.000%  4/1/11–9/1/40  1,752,113  1,810,033 
2,3 Freddie Mac Gold Pool  5.500%  3/1/11–10/1/40  1,821,861  1,932,935 
2,3 Freddie Mac Gold Pool  6.000%  11/1/10–10/1/40  1,116,815  1,204,094 
2,3 Freddie Mac Gold Pool  6.500%  10/1/10–4/1/39  317,732  347,963 
2,3 Freddie Mac Gold Pool  7.000%  11/1/10–12/1/37  59,739  66,810 
2,3 Freddie Mac Gold Pool  7.500%  10/1/10–2/1/32  6,371  7,087 
2,3 Freddie Mac Gold Pool  8.000%  11/1/10–1/1/32  5,185  5,815 
2,3 Freddie Mac Gold Pool  8.500%  3/1/21–7/1/31  965  1,088 
2,3 Freddie Mac Gold Pool  9.000%  7/1/20–3/1/31  665  756 
2,3 Freddie Mac Gold Pool  9.500%  4/1/16–6/1/25  132  151 
2,3 Freddie Mac Gold Pool  10.000%  10/1/16–4/1/25  46  52 
2,3 Freddie Mac Non Gold Pool  8.000%  2/1/17–6/1/17  20  23 
2,3 Freddie Mac Non Gold Pool  8.500%  6/1/18  40  44 
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  4 
3  Ginnie Mae I Pool  4.000%  8/15/18–10/1/40  142,795  147,722 
3  Ginnie Mae I Pool  4.500%  6/15/18–5/15/40  931,362  981,293 
3  Ginnie Mae I Pool  4.750%  8/15/33  30  32 
3  Ginnie Mae I Pool  5.000%  1/15/17–9/15/40  966,985  1,011,868 
3  Ginnie Mae I Pool  5.500%  3/15/15–10/1/40  762,685  670,208 
3  Ginnie Mae I Pool  6.000%  4/15/11–10/1/40  365,437  397,324 
3  Ginnie Mae I Pool  6.500%  3/15/11–1/15/39  112,102  124,318 
3  Ginnie Mae I Pool  7.000%  1/15/11–9/15/36  17,736  19,825 
3  Ginnie Mae I Pool  7.250%  9/15/25  44  50 
3  Ginnie Mae I Pool  7.500%  8/15/11–6/15/32  6,922  7,735 
3  Ginnie Mae I Pool  7.750%  2/15/30  4  4 
3  Ginnie Mae I Pool  8.000%  8/15/16–12/15/30  4,993  5,606 
3  Ginnie Mae I Pool  8.250%  6/15/27  4  5 
3  Ginnie Mae I Pool  8.500%  1/15/17–3/15/31  1,043  1,178 
3  Ginnie Mae I Pool  9.000%  5/15/16–2/15/31  1,908  2,140 
3  Ginnie Mae I Pool  9.500%  5/15/16–9/15/25  483  544 
3  Ginnie Mae I Pool  10.000%  2/15/18–2/15/25  189  213 
3  Ginnie Mae I Pool  10.500%  7/15/15–4/15/25  133  149 
3  Ginnie Mae I Pool  11.000%  9/15/15–11/15/15  13  15 
3  Ginnie Mae I Pool  11.500%  3/15/13–4/15/16  18  19 
3  Ginnie Mae II Pool  3.500%  5/20/34  25  25 
3  Ginnie Mae II Pool  4.500%  4/20/18–10/1/40  560,781  525,113 
3  Ginnie Mae II Pool  5.000%  12/20/32–10/1/40  760,509  763,850 
3  Ginnie Mae II Pool  5.500%  6/20/34–10/1/40  292,212  314,274 
3  Ginnie Mae II Pool  6.000%  3/20/31–7/20/39  217,183  236,170 
3  Ginnie Mae II Pool  6.500%  3/20/31–12/20/37  67,255  74,128 
3  Ginnie Mae II Pool  7.000%  3/20/28–4/20/38  2,498  2,778 
3  Ginnie Mae II Pool  7.500%  8/20/30  11  13 
3  Ginnie Mae II Pool  8.500%  10/20/30  21  25 
          23,027,772 
Nonconventional Mortgage-Backed Securities (1.0%)         
2,3 Fannie Mae Pool  2.290%  8/1/35  5,674  5,927 
2,3 Fannie Mae Pool  2.691%  1/1/35  3,723  3,878 
2,3 Fannie Mae Pool  2.716%  5/1/35  3,050  3,138 
2,3 Fannie Mae Pool  2.744%  11/1/34  5,252  5,382 
2,3 Fannie Mae Pool  2.775%  11/1/32  27  29 
2,3 Fannie Mae Pool  2.791%  10/1/34  5,425  5,564 
2,3 Fannie Mae Pool  2.960%  10/1/34  39  41 
2,3 Fannie Mae Pool  3.070%  4/1/36  7,041  7,447 
2,3 Fannie Mae Pool  3.110%  9/1/34  1,977  2,050 
2,3 Fannie Mae Pool  3.200%  8/1/40  17,329  17,954 
2,3 Fannie Mae Pool  3.237%  9/1/40  17,315  17,931 
2,3 Fannie Mae Pool  3.298%  1/1/40  16,218  16,828 
2,3 Fannie Mae Pool  3.394%  5/1/37  2,708  2,809 
2,3 Fannie Mae Pool  3.398%  9/1/33  56  58 
2,3 Fannie Mae Pool  3.402%  5/1/40  8,889  9,250 
2,3 Fannie Mae Pool  3.520%  3/1/40  33,947  35,416 
2,3 Fannie Mae Pool  3.773%  9/1/33  21  21 
2,3 Fannie Mae Pool  3.879%  8/1/35  11,384  11,694 
2,3 Fannie Mae Pool  3.960%  10/1/36  3,970  4,131 
2,3 Fannie Mae Pool  3.996%  7/1/35  5,355  5,591 
2,3 Fannie Mae Pool  4.136%  5/1/34  2,777  2,875 
2,3 Fannie Mae Pool  4.355%  12/1/35  9,756  10,278 
2,3 Fannie Mae Pool  4.540%  11/1/34  12,832  13,544 


2,3 Fannie Mae Pool  4.602%  9/1/35  4,310  4,439 
2,3 Fannie Mae Pool  4.620%  8/1/35  8,020  8,436 
2,3 Fannie Mae Pool  4.625%  9/1/34  2,814  3,028 
2,3 Fannie Mae Pool  4.642%  11/1/33  3,717  3,906 
2,3 Fannie Mae Pool  4.792%  6/1/34  4,861  5,047 
2,3 Fannie Mae Pool  4.890%  5/1/33  42  45 
2,3 Fannie Mae Pool  4.903%  10/1/35  12,235  12,690 
2,3 Fannie Mae Pool  4.903%  2/1/36  5,474  5,645 
2,3 Fannie Mae Pool  4.909%  12/1/35  16,270  16,754 
2,3 Fannie Mae Pool  4.928%  7/1/38  3,886  4,131 
2,3 Fannie Mae Pool  4.935%  11/1/34  2,176  2,277 
2,3 Fannie Mae Pool  4.952%  11/1/35  10,508  11,110 
2,3 Fannie Mae Pool  4.953%  12/1/35  26  27 
2,3 Fannie Mae Pool  4.995%  1/1/35  28  30 
2,3 Fannie Mae Pool  5.005%  11/1/33  1,973  2,098 
2,3 Fannie Mae Pool  5.025%  12/1/33  2,760  2,939 
2,3 Fannie Mae Pool  5.046%  12/1/35  12,384  12,734 
2,3 Fannie Mae Pool  5.058%  8/1/37  19,869  20,959 
2,3 Fannie Mae Pool  5.113%  3/1/37  8,086  8,561 
2,3 Fannie Mae Pool  5.138%  3/1/38  9,240  9,907 
2,3 Fannie Mae Pool  5.172%  8/1/38  597  641 
2,3 Fannie Mae Pool  5.194%  6/1/35  121  129 
2,3 Fannie Mae Pool  5.266%  7/1/38  831  891 
2,3 Fannie Mae Pool  5.273%  11/1/35  23  25 
2,3 Fannie Mae Pool  5.342%  12/1/35  4,742  5,016 
2,3 Fannie Mae Pool  5.381%  2/1/36  3,085  3,180 
2,3 Fannie Mae Pool  5.386%  2/1/36  7,008  7,292 
2,3 Fannie Mae Pool  5.409%  6/1/36  8,407  8,761 
2,3 Fannie Mae Pool  5.495%  1/1/37  5,469  5,749 
2,3 Fannie Mae Pool  5.550%  4/1/37  928  994 
2,3 Fannie Mae Pool  5.576%  2/1/37  7,962  8,433 
2,3 Fannie Mae Pool  5.590%  5/1/36  3,486  3,739 
2,3 Fannie Mae Pool  5.625%  6/1/37  4,293  4,522 
2,3 Fannie Mae Pool  5.634%  7/1/36  5,737  6,098 
2,3 Fannie Mae Pool  5.653%  3/1/37  4,563  4,855 
2,3 Fannie Mae Pool  5.659%  2/1/37  5,461  5,808 
2,3 Fannie Mae Pool  5.660%  3/1/37  11,758  12,502 
2,3 Fannie Mae Pool  5.663%  9/1/36  4,449  4,642 
2,3 Fannie Mae Pool  5.671%  3/1/37  5,693  6,053 
2,3 Fannie Mae Pool  5.689%  1/1/36  3,520  3,731 
2,3 Fannie Mae Pool  5.713%  12/1/37  13,544  14,930 
2,3 Fannie Mae Pool  5.726%  4/1/37  5,735  6,042 
2,3 Fannie Mae Pool  5.726%  4/1/37  6,646  7,135 
2,3 Fannie Mae Pool  5.751%  4/1/36  6,363  6,617 
2,3 Fannie Mae Pool  5.833%  9/1/36  6,366  6,792 
2,3 Fannie Mae Pool  5.884%  8/1/37  7,051  7,383 
2,3 Fannie Mae Pool  5.915%  4/1/36  5,106  5,458 
2,3 Fannie Mae Pool  5.923%  10/1/37  8,539  9,171 
2,3 Fannie Mae Pool  5.941%  11/1/36  5,698  6,109 
2,3 Fannie Mae Pool  5.941%  2/1/37  12  12 
2,3 Fannie Mae Pool  5.977%  12/1/36  75  79 
2,3 Fannie Mae Pool  5.997%  6/1/36  962  1,028 
2,3 Fannie Mae Pool  5.998%  11/1/36  89  95 
2,3 Fannie Mae Pool  6.305%  9/1/37  6,998  7,485 
2,3 Freddie Mac Non Gold Pool  2.625%  4/1/33  28  29 


2,3 Freddie Mac Non Gold Pool  2.649%  4/1/35  388  409 
2,3 Freddie Mac Non Gold Pool  2.667%  12/1/34  9,532  9,835 
2,3 Freddie Mac Non Gold Pool  2.673%  9/1/34  5,482  5,744 
2,3 Freddie Mac Non Gold Pool  2.863%  5/1/33  145  153 
2,3 Freddie Mac Non Gold Pool  2.946%  1/1/35  521  542 
2,3 Freddie Mac Non Gold Pool  3.002%  12/1/34  56  59 
2,3 Freddie Mac Non Gold Pool  3.076%  12/1/34  4,932  5,177 
2,3 Freddie Mac Non Gold Pool  3.290%  6/1/40  23,538  24,444 
2,3 Freddie Mac Non Gold Pool  3.331%  4/1/40  13,852  14,389 
2,3 Freddie Mac Non Gold Pool  3.355%  6/1/37  4,347  4,540 
2,3 Freddie Mac Non Gold Pool  3.366%  5/1/40  10,701  11,127 
2,3 Freddie Mac Non Gold Pool  3.426%  5/1/40  11,448  11,927 
2,3 Freddie Mac Non Gold Pool  3.559%  6/1/40  15,404  16,094 
2,3 Freddie Mac Non Gold Pool  3.595%  6/1/40  28,907  30,027 
2,3 Freddie Mac Non Gold Pool  3.627%  1/1/40  12,300  12,869 
2,3 Freddie Mac Non Gold Pool  3.857%  3/1/36  8,966  9,324 
2,3 Freddie Mac Non Gold Pool  4.087%  1/1/37  4,498  4,723 
2,3 Freddie Mac Non Gold Pool  4.590%  7/1/35  4,597  4,843 
2,3 Freddie Mac Non Gold Pool  4.607%  11/1/34  6,752  7,203 
2,3 Freddie Mac Non Gold Pool  4.694%  6/1/34  51  54 
2,3 Freddie Mac Non Gold Pool  4.987%  12/1/34  72  77 
2,3 Freddie Mac Non Gold Pool  4.995%  6/1/35  17  18 
2,3 Freddie Mac Non Gold Pool  5.008%  5/1/35  7,979  8,443 
2,3 Freddie Mac Non Gold Pool  5.052%  7/1/38  9,343  9,949 
2,3 Freddie Mac Non Gold Pool  5.115%  8/1/34  25  26 
2,3 Freddie Mac Non Gold Pool  5.210%  11/1/33  26  28 
2,3 Freddie Mac Non Gold Pool  5.276%  3/1/38  11,000  11,816 
2,3 Freddie Mac Non Gold Pool  5.311%  3/1/36  8,411  8,736 
2,3 Freddie Mac Non Gold Pool  5.349%  12/1/35  5,325  5,666 
2,3 Freddie Mac Non Gold Pool  5.422%  4/1/37  10,887  11,535 
2,3 Freddie Mac Non Gold Pool  5.437%  3/1/37  5,869  6,220 
2,3 Freddie Mac Non Gold Pool  5.442%  3/1/36  33  34 
2,3 Freddie Mac Non Gold Pool  5.507%  2/1/36  6,945  7,430 
2,3 Freddie Mac Non Gold Pool  5.551%  4/1/37  7,221  7,677 
2,3 Freddie Mac Non Gold Pool  5.564%  5/1/36  10,190  10,689 
2,3 Freddie Mac Non Gold Pool  5.610%  7/1/36  5,525  5,786 
2,3 Freddie Mac Non Gold Pool  5.644%  12/1/36  7,685  8,055 
2,3 Freddie Mac Non Gold Pool  5.655%  8/1/37  218  232 
2,3 Freddie Mac Non Gold Pool  5.667%  4/1/37  10,531  11,118 
2,3 Freddie Mac Non Gold Pool  5.688%  3/1/37  14,773  15,689 
2,3 Freddie Mac Non Gold Pool  5.690%  4/1/37  101  108 
2,3 Freddie Mac Non Gold Pool  5.691%  3/1/37  1,009  1,090 
2,3 Freddie Mac Non Gold Pool  5.711%  6/1/37  10,480  11,142 
2,3 Freddie Mac Non Gold Pool  5.714%  9/1/36  18,665  19,978 
2,3 Freddie Mac Non Gold Pool  5.720%  11/1/36  3,824  4,097 
2,3 Freddie Mac Non Gold Pool  5.752%  3/1/37  3,914  4,194 
2,3 Freddie Mac Non Gold Pool  5.778%  5/1/36  8,279  8,967 
2,3 Freddie Mac Non Gold Pool  5.816%  10/1/37  12,145  12,932 
2,3 Freddie Mac Non Gold Pool  5.825%  12/1/36  3,889  4,170 
2,3 Freddie Mac Non Gold Pool  5.846%  8/1/37  8,375  8,903 
2,3 Freddie Mac Non Gold Pool  5.860%  6/1/37  9,805  10,519 
2,3 Freddie Mac Non Gold Pool  5.865%  5/1/37  10,966  11,763 
2,3 Freddie Mac Non Gold Pool  5.953%  10/1/37  2,255  2,418 
2,3 Freddie Mac Non Gold Pool  5.968%  1/1/37  3,527  3,789 
2,3 Freddie Mac Non Gold Pool  6.023%  6/1/36  13  14 


2,3 Freddie Mac Non Gold Pool  6.030%  3/1/37  302  322 
2,3 Freddie Mac Non Gold Pool  6.072%  8/1/37  3,155  3,393 
2,3 Freddie Mac Non Gold Pool  6.095%  3/1/37  271  286 
2,3 Freddie Mac Non Gold Pool  6.115%  12/1/36  7,389  7,939 
2,3 Freddie Mac Non Gold Pool  6.231%  6/1/37  4,985  5,283 
2,3 Freddie Mac Non Gold Pool  6.398%  2/1/37  3,532  3,813 
3  Ginnie Mae I Pool  7.900%  2/15/21  5  5 
3  Ginnie Mae II Pool  3.375%  6/20/29  260  270 
          916,127 
Total U.S. Government and Agency Obligations (Cost $59,241,836)      62,205,251 
Asset-Backed/Commercial Mortgage-Backed Securities (3.8%)       
4  BA Covered Bond Issuer  5.500%  6/14/12  17,750  18,865 
3  BA Credit Card Trust  4.720%  5/15/13  8,275  8,345 
3  Banc of America Commercial Mortgage Inc.  5.787%  5/11/35  12,582  12,854 
3  Banc of America Commercial Mortgage Inc.  6.503%  4/15/36  4,741  4,808 
3  Banc of America Commercial Mortgage Inc.  3.878%  9/11/36  456  463 
3  Banc of America Commercial Mortgage Inc.  4.050%  11/10/38  6,057  6,088 
3  Banc of America Commercial Mortgage Inc.  4.153%  11/10/38  4,250  4,408 
3,5 Banc of America Commercial Mortgage Inc.  5.596%  6/10/39  13,050  13,978 
3  Banc of America Commercial Mortgage Inc.  4.877%  7/10/42  28,730  30,254 
3,5 Banc of America Commercial Mortgage Inc.  5.228%  11/10/42  4,335  4,589 
3  Banc of America Commercial Mortgage Inc.  4.727%  7/10/43  4,695  4,290 
3  Banc of America Commercial Mortgage Inc.  5.118%  7/11/43  14,555  15,105 
3,5 Banc of America Commercial Mortgage Inc.  5.963%  5/10/45  3,290  2,795 
3  Banc of America Commercial Mortgage Inc.  5.372%  9/10/45  19,690  21,189 
3,5 Banc of America Commercial Mortgage Inc.  5.421%  9/10/45  185  188 
3  Banc of America Commercial Mortgage Inc.  5.115%  10/10/45  16,101  17,568 
3,5 Banc of America Commercial Mortgage Inc.  5.120%  10/10/45  875  898 
3,5 Banc of America Commercial Mortgage Inc.  5.176%  10/10/45  432  439 
3  Banc of America Commercial Mortgage Inc.  5.634%  7/10/46  22,300  24,175 
3,5 Banc of America Commercial Mortgage Inc.  5.695%  7/10/46  2,850  2,178 
3,5 Banc of America Commercial Mortgage Inc.  5.346%  9/10/47  1,504  1,528 
3,5 Banc of America Commercial Mortgage Inc.  5.346%  9/10/47  3,520  3,364 
3  Banc of America Commercial Mortgage Inc.  5.414%  9/10/47  11,525  11,989 
3  Banc of America Commercial Mortgage Inc.  5.448%  9/10/47  2,175  1,981 
3,5 Banc of America Commercial Mortgage Inc.  5.523%  1/15/49  2,700  1,525 
3,5 Banc of America Commercial Mortgage Inc.  6.339%  2/10/51  24,200  26,450 
4  Banco Bilbao Vizcaya Argentaria SA  5.750%  7/20/17  2,200  2,430 
4  Bank of Scotland PLC  5.250%  2/21/17  12,025  13,174 
3  Bear Stearns Commercial Mortgage         
  Securities  5.610%  11/15/33  11,930  12,311 
3  Bear Stearns Commercial Mortgage         
  Securities  6.460%  10/15/36  99  103 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.678%  4/12/38  763  770 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.678%  4/12/38  4,525  4,703 
3  Bear Stearns Commercial Mortgage         
  Securities  5.678%  4/12/38  20,977  22,877 
3  Bear Stearns Commercial Mortgage         
  Securities  4.830%  8/15/38  15,800  16,462 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.946%  9/11/38  5,250  5,175 


3,5 Bear Stearns Commercial Mortgage         
  Securities  5.946%  9/11/38  2,650  2,225 
3  Bear Stearns Commercial Mortgage         
  Securities  5.623%  3/11/39  44,705  48,653 
3  Bear Stearns Commercial Mortgage         
  Securities  4.680%  8/13/39  17,300  18,434 
3  Bear Stearns Commercial Mortgage         
  Securities  4.740%  3/13/40  13,900  14,728 
3  Bear Stearns Commercial Mortgage         
  Securities  5.854%  6/11/40  31,450  32,908 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.907%  6/11/40  2,650  1,827 
3  Bear Stearns Commercial Mortgage         
  Securities  5.405%  12/11/40  1,443  1,558 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.200%  1/12/41  830  889 
3  Bear Stearns Commercial Mortgage         
  Securities  4.750%  6/11/41  4,175  3,670 
3  Bear Stearns Commercial Mortgage         
  Securities  5.582%  9/11/41  3,445  3,420 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.568%  10/12/41  4,175  4,147 
3  Bear Stearns Commercial Mortgage         
  Securities  4.521%  11/11/41  4,175  4,291 
3  Bear Stearns Commercial Mortgage         
  Securities  4.825%  11/11/41  200  215 
3  Bear Stearns Commercial Mortgage         
  Securities  5.742%  9/11/42  14,900  16,311 
3  Bear Stearns Commercial Mortgage         
  Securities  5.793%  9/11/42  5,500  6,034 
3  Bear Stearns Commercial Mortgage         
  Securities  5.127%  10/12/42  9,074  9,069 
3  Bear Stearns Commercial Mortgage         
  Securities  5.296%  10/12/42  615  677 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.513%  1/12/45  6,280  6,295 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.566%  1/12/45  4,275  3,200 
3  Bear Stearns Commercial Mortgage         
  Securities  5.694%  6/11/50  46,930  50,336 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.915%  6/11/50  7,903  7,394 
3  Bear Stearns Commercial Mortgage         
  Securities  5.613%  6/13/50  9,925  10,397 
3  Bear Stearns Commercial Mortgage         
  Securities  5.700%  6/13/50  9,800  10,449 
3  Capital Auto Receivables Asset Trust  4.680%  10/15/12  11,866  12,116 
3  Capital One Multi-Asset Execution Trust  5.300%  2/18/14  6,175  6,323 
3  Capital One Multi-Asset Execution Trust  5.050%  12/17/18  36,645  42,008 
3  Capital One Multi-Asset Execution Trust  5.750%  7/15/20  6,800  8,151 
3  CDC Commercial Mortgage Trust  5.676%  11/15/30  15,767  16,157 
3  Chase Issuance Trust  4.650%  12/17/12  31,250  31,287 
3  Chase Issuance Trust  4.650%  3/15/15  32,375  35,346 
3  Chase Issuance Trust  5.400%  7/15/15  10,025  11,236 
4  Cie de Financement Foncier  2.125%  4/22/13  7,500  7,634 


3  CIT Group Home Equity Loan Trust  6.200%  2/25/30  764  687 
3  Citibank Credit Card Issuance Trust  5.450%  5/10/13  4,085  4,201 
3  Citibank Credit Card Issuance Trust  4.900%  6/23/16  20,125  22,652 
3  Citibank Credit Card Issuance Trust  4.150%  7/7/17  3,425  3,787 
3  Citibank Credit Card Issuance Trust  5.650%  9/20/19  4,750  5,669 
3  Citigroup Commercial Mortgage Trust  4.623%  10/15/41  3,475  3,587 
3  Citigroup Commercial Mortgage Trust  4.830%  5/15/43  1,015  1,016 
3,5 Citigroup Commercial Mortgage Trust  5.919%  3/15/49  14,440  15,840 
3  Citigroup Commercial Mortgage Trust  5.462%  10/15/49  3,375  3,346 
3  Citigroup Commercial Mortgage Trust  5.482%  10/15/49  2,025  1,646 
3,5 Citigroup Commercial Mortgage Trust  5.887%  12/10/49  5,175  4,827 
3,5 Citigroup Commercial Mortgage Trust  5.887%  12/10/49  16,796  18,140 
3,5 Citigroup Commercial Mortgage Trust  6.294%  12/10/49  7,310  6,849 
3,5 Citigroup Commercial Mortgage Trust  6.294%  12/10/49  17,377  18,566 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.395%  7/15/44  32,891  36,174 
3,5 Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.396%  7/15/44  7,000  7,131 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.886%  11/15/44  18,540  19,982 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.648%  10/15/48  9,225  8,721 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.688%  10/15/48  3,350  2,536 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.205%  12/11/49  25,185  26,140 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.322%  12/11/49  19,125  19,798 
3,4 Commercial Mortgage Lease-Backed         
  Certificates  6.746%  6/20/31  8,818  9,906 
3  Commercial Mortgage Pass Through         
  Certificates  4.084%  6/10/38  8,200  8,566 
3  Commercial Mortgage Pass Through         
  Certificates  4.715%  3/10/39  19,825  20,734 
3  Commercial Mortgage Pass Through         
  Certificates  5.116%  6/10/44  25,203  27,168 
3  Commercial Mortgage Pass Through         
  Certificates  5.960%  6/10/46  23,530  25,894 
3,5 Commercial Mortgage Pass Through         
  Certificates  5.986%  6/10/46  4,025  4,049 
3  Commercial Mortgage Pass Through         
  Certificates  5.248%  12/10/46  3,348  3,449 
3,5 Commercial Mortgage Pass Through         
  Certificates  6.009%  12/10/49  19,073  20,828 
3,5 Countrywide Home Loan Mortgage Pass         
  Through Trust  2.934%  5/25/33  3,425  2,748 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  6.380%  12/18/35  997  1,000 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  4.750%  1/15/37  16,120  16,913 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  4.877%  4/15/37  925  783 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.014%  2/15/38  13,900  14,966 


3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.075%  2/15/38  3,375  3,209 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  3.936%  5/15/38  16,005  16,718 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  1,565  1,590 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  35,975  38,721 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.190%  8/15/38  3,400  2,957 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.230%  12/15/40  3,290  3,009 
3  Credit Suisse Mortgage Capital Certificates  6.020%  6/15/38  1,147  1,102 
3  Credit Suisse Mortgage Capital Certificates  6.020%  6/15/38  26,008  28,103 
3  Credit Suisse Mortgage Capital Certificates  5.609%  2/15/39  37,150  40,634 
3,5 Credit Suisse Mortgage Capital Certificates  5.728%  2/15/39  7,675  7,480 
3,5 Credit Suisse Mortgage Capital Certificates  5.728%  2/15/39  3,350  3,012 
3,5 Credit Suisse Mortgage Capital Certificates  5.910%  6/15/39  32,785  33,013 
3  Credit Suisse Mortgage Capital Certificates  5.509%  9/15/39  1,725  1,514 
3  Credit Suisse Mortgage Capital Certificates  5.311%  12/15/39  32,135  32,877 
3  Credit Suisse Mortgage Capital Certificates  5.383%  2/15/40  6,421  6,257 
3,5 CW Capital Cobalt Ltd.  6.013%  5/15/46  23,775  24,128 
3,5 CW Capital Cobalt Ltd.  5.484%  4/15/47  2,375  2,369 
3  Daimler Chrysler Auto Trust  3.700%  6/8/12  2,536  2,552 
3  Discover Card Master Trust  5.100%  10/15/13  975  998 
3  Discover Card Master Trust  5.650%  12/15/15  23,300  26,110 
3  Discover Card Master Trust  5.650%  3/16/20  7,375  8,756 
  Federal Housing Administration  7.430%  10/1/20  3  4 
3  Fifth Third Auto Trust  4.070%  1/17/12  1,935  1,937 
3,5 First Union Commercial Mortgage Trust  6.767%  10/15/35  6,638  6,726 
3  First Union National Bank Commercial         
  Mortgage  6.223%  12/12/33  9,499  9,823 
3  Ford Credit Auto Owner Trust  4.370%  10/15/12  15,775  16,271 
3  Ford Credit Auto Owner Trust  2.420%  11/15/14  4,625  4,800 
3  Ford Credit Auto Owner Trust  2.150%  6/15/15  16,950  17,490 
3  GE Capital Commercial Mortgage Corp.  6.531%  5/15/33  11,038  11,276 
3  GE Capital Commercial Mortgage Corp.  6.290%  8/11/33  2,197  2,251 
3  GE Capital Commercial Mortgage Corp.  6.269%  12/10/35  11,623  12,206 
3  GE Capital Commercial Mortgage Corp.  5.145%  7/10/37  3,015  3,246 
3  GE Capital Commercial Mortgage Corp.  4.996%  12/10/37  17,395  18,417 
3,5 GE Capital Commercial Mortgage Corp.  5.514%  3/10/44  6,675  6,795 
3,5 GE Capital Commercial Mortgage Corp.  5.514%  3/10/44  33,040  36,066 
3  GE Capital Commercial Mortgage Corp.  4.974%  7/10/45  1,425  1,540 
3,5 GE Capital Commercial Mortgage Corp.  5.515%  11/10/45  7,048  6,725 
3  GMAC Commercial Mortgage Securities Inc.  6.465%  4/15/34  10,718  10,801 
3  GMAC Commercial Mortgage Securities Inc.  6.700%  4/15/34  12,238  12,452 
3  GMAC Commercial Mortgage Securities Inc.  4.079%  5/10/36  3,000  3,148 
3  GMAC Commercial Mortgage Securities Inc.  4.908%  3/10/38  2,625  2,734 
3  GMAC Commercial Mortgage Securities Inc.  4.646%  4/10/40  2,217  2,238 
3,5 GMAC Commercial Mortgage Securities Inc.  5.659%  5/10/40  1,695  1,840 
3  GMAC Commercial Mortgage Securities Inc.  4.864%  12/10/41  2,175  2,304 
3  GMAC Commercial Mortgage Securities Inc.  4.754%  5/10/43  1,650  1,652 
3  Greenwich Capital Commercial Funding Corp.  4.948%  1/11/35  6,925  7,335 
3  Greenwich Capital Commercial Funding Corp.  4.533%  1/5/36  1,654  1,708 
3  Greenwich Capital Commercial Funding Corp.  4.915%  1/5/36  11,875  12,700 


3  Greenwich Capital Commercial Funding Corp.  5.317%  6/10/36  14,450  15,731 
3  Greenwich Capital Commercial Funding Corp.  5.117%  4/10/37  5,428  5,513 
3  Greenwich Capital Commercial Funding Corp.  5.224%  4/10/37  21,997  23,725 
3,5 Greenwich Capital Commercial Funding Corp.  5.277%  4/10/37  5,315  5,259 
3,5 Greenwich Capital Commercial Funding Corp.  6.080%  7/10/38  4,275  4,283 
3  Greenwich Capital Commercial Funding Corp.  5.475%  3/10/39  1,625  1,468 
3  Greenwich Capital Commercial Funding Corp.  4.799%  8/10/42  20,190  21,428 
3,5 Greenwich Capital Commercial Funding Corp.  4.859%  8/10/42  2,000  1,809 
3  GS Mortgage Securities Corp. II  5.506%  4/10/38  12,971  13,093 
3,5 GS Mortgage Securities Corp. II  5.553%  4/10/38  12,625  13,656 
3,5 GS Mortgage Securities Corp. II  5.622%  4/10/38  4,750  4,646 
3  GS Mortgage Securities Corp. II  5.396%  8/10/38  26,610  28,913 
3  GS Mortgage Securities Corp. II  4.608%  1/10/40  15,675  16,528 
3  Harley-Davidson Motorcycle Trust  5.210%  6/17/13  1,922  1,966 
3  Honda Auto Receivables Owner Trust  4.880%  9/18/14  7,900  8,144 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.260%  3/15/33  6,838  6,866 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.050%  12/12/34  9,525  10,131 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.654%  1/12/37  3,250  3,301 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.985%  1/12/37  11,725  12,432 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.255%  7/12/37  1,365  1,480 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.376%  7/12/37  10,030  10,551 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.524%  8/12/37  2,000  1,805 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.824%  9/12/37  5,125  5,169 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.879%  1/12/38  30,400  32,314 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.404%  1/12/39  11,465  12,048 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.539%  6/12/41  18,175  19,541 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.697%  7/15/42  1,725  1,782 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.780%  7/15/42  2,960  2,953 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.499%  1/12/43  185  166 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.475%  4/15/43  3,302  3,580 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.627%  12/12/44  3,300  3,243 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.676%  12/12/44  1,350  1,022 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.405%  12/15/44  4,250  4,267 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.484%  12/15/44  1,375  1,236 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.062%  4/15/45  1,750  1,738 


3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.062%  4/15/45  27,525  30,586 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.062%  4/15/45  3,310  2,557 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.593%  5/12/45  6,740  6,090 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.623%  5/12/45  2,025  1,488 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  5/15/45  4,315  4,262 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.447%  5/15/45  8,000  8,518 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  6/12/47  10,230  10,693 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.990%  6/15/49  10,025  10,619 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.005%  6/15/49  6,150  6,347 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.794%  2/12/51  30,440  32,759 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.855%  2/12/51  8,925  9,169 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.882%  2/15/51  24,270  24,964 
3  LB-UBS Commercial Mortgage Trust  5.386%  6/15/26  1,406  1,437 
3  LB-UBS Commercial Mortgage Trust  4.786%  10/15/29  17,575  18,982 
3  LB-UBS Commercial Mortgage Trust  4.742%  2/15/30  8,040  8,551 
3  LB-UBS Commercial Mortgage Trust  4.553%  7/15/30  623  625 
3  LB-UBS Commercial Mortgage Trust  5.197%  11/15/30  17,600  19,192 
3  LB-UBS Commercial Mortgage Trust  6.133%  12/15/30  6,390  6,649 
3  LB-UBS Commercial Mortgage Trust  5.217%  2/15/31  2,535  2,451 
3  LB-UBS Commercial Mortgage Trust  4.853%  9/15/31  23,075  24,112 
3  LB-UBS Commercial Mortgage Trust  4.960%  12/15/31  4,625  4,926 
3  LB-UBS Commercial Mortgage Trust  4.166%  5/15/32  24,280  25,253 
3,5 LB-UBS Commercial Mortgage Trust  5.124%  11/15/32  7,550  8,184 
3  LB-UBS Commercial Mortgage Trust  4.931%  9/15/35  21,100  22,575 
3,5 LB-UBS Commercial Mortgage Trust  5.661%  3/15/39  27,350  29,232 
3  LB-UBS Commercial Mortgage Trust  5.372%  9/15/39  3,000  3,258 
3  LB-UBS Commercial Mortgage Trust  5.413%  9/15/39  1,175  1,157 
3  LB-UBS Commercial Mortgage Trust  5.424%  2/15/40  3,550  3,702 
3  LB-UBS Commercial Mortgage Trust  5.430%  2/15/40  20,900  21,907 
3  LB-UBS Commercial Mortgage Trust  5.455%  2/15/40  4,775  4,252 
3,5 LB-UBS Commercial Mortgage Trust  5.493%  2/15/40  3,557  3,227 
3,5 LB-UBS Commercial Mortgage Trust  5.057%  9/15/40  1,625  1,479 
3,5 LB-UBS Commercial Mortgage Trust  5.276%  2/15/41  3,375  2,799 
3,5 LB-UBS Commercial Mortgage Trust  6.324%  4/15/41  4,855  4,272 
3,5 LB-UBS Commercial Mortgage Trust  6.324%  4/15/41  26,025  28,542 
3  LB-UBS Commercial Mortgage Trust  5.866%  9/15/45  31,600  33,533 
3  Merrill Lynch Mortgage Trust  5.236%  11/12/35  9,020  9,635 
3  Merrill Lynch Mortgage Trust  5.107%  7/12/38  965  972 
3  Merrill Lynch Mortgage Trust  5.837%  5/12/39  11,270  12,225 
3,5 Merrill Lynch Mortgage Trust  5.838%  5/12/39  1,825  1,824 
3  Merrill Lynch Mortgage Trust  5.782%  8/12/43  4,705  4,626 
3,5 Merrill Lynch Mortgage Trust  5.802%  8/12/43  3,325  2,693 
3,5 Merrill Lynch Mortgage Trust  5.291%  1/12/44  20,875  23,004 


3,5 Merrill Lynch Mortgage Trust  6.020%  6/12/50  29,018  31,113 
3,5 Merrill Lynch Mortgage Trust  6.020%  6/12/50  3,260  2,987 
3  Merrill Lynch Mortgage Trust  5.425%  2/12/51  3,475  3,610 
3  Merrill Lynch Mortgage Trust  5.690%  2/12/51  17,040  18,109 
3,5 Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.693%  2/12/39  650  536 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  6.102%  6/12/46  32,125  36,083 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.456%  7/12/46  3,660  3,571 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.378%  8/12/48  20,670  20,578 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.590%  9/12/49  10,275  10,674 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.700%  9/12/49  27,175  28,276 
3  Morgan Stanley Capital I  4.970%  4/14/40  5,120  5,372 
3,5 Morgan Stanley Capital I  5.110%  6/15/40  16,850  18,178 
3  Morgan Stanley Capital I  5.030%  6/13/41  1,397  1,432 
3  Morgan Stanley Capital I  5.270%  6/13/41  4,525  4,881 
3,5 Morgan Stanley Capital I  5.981%  8/12/41  2,175  2,248 
3  Morgan Stanley Capital I  5.328%  11/12/41  5,860  6,305 
3  Morgan Stanley Capital I  5.360%  11/12/41  7,400  7,203 
3,5 Morgan Stanley Capital I  4.840%  12/13/41  1,350  1,227 
3  Morgan Stanley Capital I  4.970%  12/15/41  10,100  10,857 
3  Morgan Stanley Capital I  5.168%  1/14/42  3,950  4,299 
3,5 Morgan Stanley Capital I  5.802%  6/11/42  1,375  1,372 
3,5 Morgan Stanley Capital I  5.802%  6/11/42  19,150  21,160 
3  Morgan Stanley Capital I  4.989%  8/13/42  24,800  26,903 
3,5 Morgan Stanley Capital I  5.073%  8/13/42  3,730  3,316 
3  Morgan Stanley Capital I  5.230%  9/15/42  23,925  25,714 
3  Morgan Stanley Capital I  5.938%  10/15/42  8,175  8,994 
3,5 Morgan Stanley Capital I  5.942%  10/15/42  700  697 
3,5 Morgan Stanley Capital I  5.942%  10/15/42  4,325  3,870 
3,5 Morgan Stanley Capital I  5.376%  11/14/42  16,650  18,186 
3,5 Morgan Stanley Capital I  5.376%  11/14/42  500  511 
3  Morgan Stanley Capital I  6.457%  1/11/43  18,825  21,095 
3  Morgan Stanley Capital I  5.332%  12/15/43  8,580  9,221 
3,5 Morgan Stanley Capital I  5.557%  3/12/44  30,516  33,150 
3,5 Morgan Stanley Capital I  5.773%  7/12/44  4,396  4,530 
3,5 Morgan Stanley Capital I  5.793%  7/12/44  1,325  1,137 
3  Morgan Stanley Capital I  4.660%  9/13/45  3,345  3,528 
3,5 Morgan Stanley Capital I  5.654%  4/15/49  1,850  2,002 
3,5 Morgan Stanley Capital I  5.692%  4/15/49  14,700  14,814 
3,5 Morgan Stanley Capital I  5.876%  4/15/49  4,775  3,820 
3,5 Morgan Stanley Capital I  5.544%  11/12/49  7,300  7,238 
3  Morgan Stanley Capital I  5.809%  12/12/49  11,345  11,957 
3,5 Morgan Stanley Capital I  6.315%  12/12/49  4,675  4,449 
3  Morgan Stanley Capital I  5.090%  10/12/52  4,753  4,780 
3,5 Morgan Stanley Capital I  5.204%  10/12/52  5,410  5,210 
3  Morgan Stanley Capital I  4.770%  7/15/56  3,295  2,852 
3  Morgan Stanley Dean Witter Capital I  6.660%  2/15/33  2,083  2,094 
3  Morgan Stanley Dean Witter Capital I  6.390%  7/15/33  3,395  3,487 
3  Morgan Stanley Dean Witter Capital I  4.920%  3/12/35  30,350  32,217 
3  Morgan Stanley Dean Witter Capital I  6.390%  10/15/35  9,839  10,198 


3  Morgan Stanley Dean Witter Capital I  4.740%  11/13/36  26,250  27,261 
3  Morgan Stanley Dean Witter Capital I  5.980%  1/15/39  1,727  1,817 
4  Nationwide Building Society  5.500%  7/18/12  23,525  24,913 
3  Nissan Auto Receivables Owner Trust  4.460%  4/16/12  405  409 
3  Nissan Auto Receivables Owner Trust  5.050%  11/17/14  6,600  6,941 
4  Northern Rock Asset Management PLC  5.625%  6/22/17  40,225  42,850 
3  PG&E Energy Recovery Funding LLC  5.030%  3/25/14  5,541  5,732 
3  PSE&G Transition Funding LLC  6.890%  12/15/17  21,175  26,196 
3  Public Service New Hampshire Funding LLC  6.480%  5/1/15  178  192 
3  Residential Asset Securities Corp.  6.489%  10/25/30  196  166 
4  Royal Bank of Canada  3.125%  4/14/15  9,325  9,939 
3  Salomon Brothers Mortgage Securities VII Inc.  4.467%  3/18/36  523  539 
3,5 TIAA Seasoned Commercial Mortgage Trust  6.043%  8/15/39  3,285  3,246 
3  USAA Auto Owner Trust  4.710%  2/18/14  13,425  13,931 
3  Wachovia Bank Commercial Mortgage Trust  4.440%  11/15/34  550  561 
3  Wachovia Bank Commercial Mortgage Trust  4.980%  11/15/34  700  741 
3  Wachovia Bank Commercial Mortgage Trust  4.867%  2/15/35  1,000  1,051 
3,5 Wachovia Bank Commercial Mortgage Trust  5.125%  8/15/35  3,100  3,313 
3,5 Wachovia Bank Commercial Mortgage Trust  4.964%  11/15/35  10,750  11,423 
3  Wachovia Bank Commercial Mortgage Trust  4.719%  1/15/41  3,458  3,466 
3  Wachovia Bank Commercial Mortgage Trust  4.748%  2/15/41  22,105  23,879 
3  Wachovia Bank Commercial Mortgage Trust  5.001%  7/15/41  3,235  3,253 
3,5 Wachovia Bank Commercial Mortgage Trust  5.484%  7/15/41  25,020  27,063 
3  Wachovia Bank Commercial Mortgage Trust  4.803%  10/15/41  22,225  23,374 
3,5 Wachovia Bank Commercial Mortgage Trust  5.083%  3/15/42  15,075  16,396 
3,5 Wachovia Bank Commercial Mortgage Trust  5.224%  3/15/42  1,700  1,540 
3  Wachovia Bank Commercial Mortgage Trust  5.118%  7/15/42  6,729  7,386 
3,5 Wachovia Bank Commercial Mortgage Trust  5.923%  5/15/43  14,025  15,306 
3  Wachovia Bank Commercial Mortgage Trust  4.699%  5/15/44  14,354  15,540 
3  Wachovia Bank Commercial Mortgage Trust  4.793%  5/15/44  3,325  2,898 
3,5 Wachovia Bank Commercial Mortgage Trust  5.374%  10/15/44  16,610  18,346 
3,5 Wachovia Bank Commercial Mortgage Trust  5.374%  10/15/44  1,340  1,215 
3,5 Wachovia Bank Commercial Mortgage Trust  5.437%  12/15/44  32,450  35,535 
3,5 Wachovia Bank Commercial Mortgage Trust  5.487%  12/15/44  170  170 
3,5 Wachovia Bank Commercial Mortgage Trust  6.158%  6/15/45  1,280  1,179 
3,5 Wachovia Bank Commercial Mortgage Trust  5.765%  7/15/45  10,100  11,019 
3  Wachovia Bank Commercial Mortgage Trust  5.679%  10/15/48  250  268 
3  Wachovia Bank Commercial Mortgage Trust  5.313%  11/15/48  16,475  17,353 
3  Wachovia Bank Commercial Mortgage Trust  5.339%  11/15/48  7,025  6,961 
3,5 Wachovia Bank Commercial Mortgage Trust  5.368%  11/15/48  3,360  2,637 
3  World Omni Auto Receivables Trust  3.940%  10/15/12  6,990  7,050 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,052,182)    3,347,808 
Corporate Bonds (20.4%)         
Finance (7.1%)         
  Banking (4.6%)         
3  Abbey National Capital Trust I  8.963%  12/29/49  1,200  1,296 
  American Express Bank FSB  5.550%  10/17/12  3,575  3,851 
  American Express Bank FSB  5.500%  4/16/13  8,675  9,455 
  American Express Bank FSB  6.000%  9/13/17  1,750  2,004 
  American Express Centurion Bank  5.550%  10/17/12  2,775  2,991 
  American Express Centurion Bank  5.950%  6/12/17  1,900  2,162 
  American Express Centurion Bank  6.000%  9/13/17  24,000  27,339 
  American Express Co.  4.875%  7/15/13  5,821  6,299 
  American Express Co.  7.250%  5/20/14  1,225  1,434 
  American Express Co.  5.500%  9/12/16  3,075  3,487 


American Express Co.  6.150%  8/28/17  5,575  6,382 
American Express Co.  7.000%  3/19/18  31,500  37,839 
American Express Co.  8.125%  5/20/19  275  355 
American Express Co.  8.150%  3/19/38  520  732 
3 American Express Co.  6.800%  9/1/66  6,285  6,278 
American Express Credit Corp.  5.875%  5/2/13  17,300  19,030 
American Express Credit Corp.  7.300%  8/20/13  17,864  20,492 
American Express Credit Corp.  5.125%  8/25/14  4,200  4,639 
4 American Express Travel Related Services         
Co. Inc.  5.250%  11/21/11  6,625  6,898 
Associates Corp. of North America  6.950%  11/1/18  250  275 
BAC Capital Trust XI  6.625%  5/23/36  11,925  12,198 
Banco Santander Chile  2.875%  11/13/12  1,950  1,968 
Bank of America Corp.  4.250%  10/1/10  7,875  7,875 
Bank of America Corp.  5.375%  9/11/12  4,825  5,143 
Bank of America Corp.  4.875%  9/15/12  13,000  13,726 
Bank of America Corp.  4.875%  1/15/13  7,982  8,475 
Bank of America Corp.  4.900%  5/1/13  13,465  14,378 
Bank of America Corp.  7.375%  5/15/14  6,125  7,038 
Bank of America Corp.  5.375%  6/15/14  3,400  3,688 
Bank of America Corp.  5.125%  11/15/14  20,225  21,818 
Bank of America Corp.  4.500%  4/1/15  11,750  12,334 
Bank of America Corp.  4.750%  8/1/15  225  238 
Bank of America Corp.  3.700%  9/1/15  2,850  2,883 
Bank of America Corp.  5.250%  12/1/15  3,975  4,218 
Bank of America Corp.  6.500%  8/1/16  21,200  23,951 
Bank of America Corp.  5.750%  8/15/16  11,025  11,904 
Bank of America Corp.  5.625%  10/14/16  6,350  6,862 
Bank of America Corp.  5.420%  3/15/17  13,800  14,202 
Bank of America Corp.  6.000%  9/1/17  1,060  1,149 
Bank of America Corp.  5.750%  12/1/17  6,525  6,991 
Bank of America Corp.  5.650%  5/1/18  66,300  70,285 
Bank of America Corp.  7.625%  6/1/19  25,425  30,368 
Bank of America Corp.  5.625%  7/1/20  1,950  2,062 
Bank of America Corp.  7.250%  10/15/25  1,400  1,548 
Bank of America Corp.  6.800%  3/15/28  1,025  1,089 
Bank of America Corp.  6.500%  9/15/37  2,535  2,654 
Bank of America NA  5.300%  3/15/17  24,375  25,115 
Bank of America NA  6.100%  6/15/17  5,825  6,262 
Bank of America NA  6.000%  10/15/36  13,500  13,570 
Bank of Montreal  2.125%  6/28/13  5,975  6,150 
Bank of New York Mellon Corp.  4.950%  1/14/11  2,500  2,532 
Bank of New York Mellon Corp.  6.375%  4/1/12  300  324 
Bank of New York Mellon Corp.  4.950%  11/1/12  23,750  25,769 
Bank of New York Mellon Corp.  4.500%  4/1/13  2,125  2,306 
Bank of New York Mellon Corp.  4.300%  5/15/14  9,675  10,624 
Bank of New York Mellon Corp.  4.950%  3/15/15  9,750  10,906 
Bank of New York Mellon Corp.  5.450%  5/15/19  6,240  7,275 
Bank of New York Mellon Corp.  4.600%  1/15/20  5,675  6,271 
Bank of Nova Scotia  2.250%  1/22/13  8,125  8,353 
Bank of Nova Scotia  2.375%  12/17/13  15,700  16,241 
Bank of Nova Scotia  2.050%  10/7/15  500  500 
Bank One Capital III  8.750%  9/1/30  2,825  3,389 
Bank One Corp.  5.900%  11/15/11  2,520  2,658 
Bank One Corp.  5.250%  1/30/13  4,000  4,307 


  Bank One Corp.  4.900%  4/30/15  6,075  6,572 
  Bank One Corp.  7.750%  7/15/25  330  412 
  Bank One Corp.  7.625%  10/15/26  2,930  3,659 
  Barclays Bank PLC  5.450%  9/12/12  6,725  7,279 
  Barclays Bank PLC  2.500%  1/23/13  7,350  7,512 
  Barclays Bank PLC  5.200%  7/10/14  8,925  9,897 
  Barclays Bank PLC  5.000%  9/22/16  10,750  11,789 
  Barclays Bank PLC  6.750%  5/22/19  8,675  10,340 
  Barclays Bank PLC  5.125%  1/8/20  23,675  25,590 
  BB&T Capital Trust II  6.750%  6/7/36  8,725  8,950 
3  BB&T Capital Trust IV  6.820%  6/12/57  3,875  3,888 
  BB&T Corp.  3.850%  7/27/12  3,800  3,982 
  BB&T Corp.  4.750%  10/1/12  6,075  6,433 
  BB&T Corp.  5.700%  4/30/14  4,200  4,724 
  BB&T Corp.  5.200%  12/23/15  4,712  5,216 
  BB&T Corp.  4.900%  6/30/17  525  551 
  BB&T Corp.  6.850%  4/30/19  5,404  6,557 
  BB&T Corp.  5.250%  11/1/19  6,150  6,649 
  Bear Stearns Cos. LLC  4.500%  10/28/10  2,670  2,677 
  Bear Stearns Cos. LLC  5.350%  2/1/12  24,075  25,487 
  Bear Stearns Cos. LLC  6.950%  8/10/12  8,037  8,881 
  Bear Stearns Cos. LLC  5.700%  11/15/14  15,590  17,599 
  Bear Stearns Cos. LLC  5.300%  10/30/15  6,415  7,168 
  Bear Stearns Cos. LLC  5.550%  1/22/17  6,850  7,468 
  Bear Stearns Cos. LLC  6.400%  10/2/17  8,180  9,531 
  Bear Stearns Cos. LLC  7.250%  2/1/18  11,303  13,785 
  Bear Stearns Cos. LLC  4.650%  7/2/18  1,650  1,745 
  BNP Paribas  3.250%  3/11/15  3,925  4,090 
  BNP Paribas / BNP Paribas US Medium-Term         
  Note Program LLC  2.125%  12/21/12  13,290  13,565 
  BNY Mellon NA  4.750%  12/15/14  2,800  3,118 
  Branch Banking & Trust Co.  5.625%  9/15/16  5,775  6,598 
  Canadian Imperial Bank of Commerce  1.450%  9/13/13  2,650  2,666 
  Capital One Bank USA NA  6.500%  6/13/13  4,350  4,814 
  Capital One Bank USA NA  8.800%  7/15/19  13,125  16,775 
  Capital One Capital III  7.686%  8/15/36  5,325  5,385 
  Capital One Capital IV  6.745%  2/17/37  3,237  3,160 
  Capital One Capital V  10.250%  8/15/39  2,625  2,825 
  Capital One Capital VI  8.875%  5/15/40  1,700  1,779 
  Capital One Financial Corp.  4.800%  2/21/12  1,775  1,857 
  Capital One Financial Corp.  7.375%  5/23/14  7,275  8,494 
  Capital One Financial Corp.  5.500%  6/1/15  7,450  8,298 
  Capital One Financial Corp.  6.150%  9/1/16  5,646  6,216 
  Capital One Financial Corp.  5.250%  2/21/17  1,850  1,988 
  Capital One Financial Corp.  6.750%  9/15/17  5,200  6,249 
3,4 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  14,225  16,703 
  Citigroup Inc.  5.100%  9/29/11  15,975  16,626 
  Citigroup Inc.  6.000%  2/21/12  650  690 
  Citigroup Inc.  5.250%  2/27/12  10,350  10,874 
  Citigroup Inc.  5.500%  8/27/12  2,610  2,778 
  Citigroup Inc.  5.625%  8/27/12  8,440  8,913 
  Citigroup Inc.  5.300%  10/17/12  46,663  49,693 
  Citigroup Inc.  5.500%  4/11/13  34,045  36,586 
  Citigroup Inc.  6.500%  8/19/13  16,050  17,753 
  Citigroup Inc.  6.000%  12/13/13  11,000  12,088 


Citigroup Inc.  5.125%  5/5/14  7,550  8,039 
Citigroup Inc.  6.375%  8/12/14  8,525  9,469 
Citigroup Inc.  5.000%  9/15/14  37,046  38,659 
Citigroup Inc.  5.500%  10/15/14  15,700  17,098 
Citigroup Inc.  6.010%  1/15/15  8,850  9,733 
Citigroup Inc.  4.750%  5/19/15  275  290 
Citigroup Inc.  4.700%  5/29/15  3,350  3,517 
Citigroup Inc.  5.300%  1/7/16  19,375  20,680 
Citigroup Inc.  5.500%  2/15/17  4,050  4,193 
Citigroup Inc.  6.000%  8/15/17  15,525  16,774 
Citigroup Inc.  6.125%  11/21/17  11,375  12,442 
Citigroup Inc.  6.125%  5/15/18  8,300  9,073 
Citigroup Inc.  8.500%  5/22/19  24,455  30,263 
Citigroup Inc.  5.375%  8/9/20  3,725  3,857 
Citigroup Inc.  6.625%  6/15/32  2,025  2,092 
Citigroup Inc.  5.875%  2/22/33  11,475  11,066 
Citigroup Inc.  6.000%  10/31/33  8,400  8,124 
Citigroup Inc.  5.850%  12/11/34  1,750  1,741 
Citigroup Inc.  6.125%  8/25/36  9,250  9,032 
Citigroup Inc.  5.875%  5/29/37  7,075  7,117 
Citigroup Inc.  6.875%  3/5/38  15,075  16,837 
Citigroup Inc.  8.125%  7/15/39  15,090  19,060 
Comerica Bank  5.750%  11/21/16  10,775  12,114 
Comerica Bank  5.200%  8/22/17  3,100  3,318 
3 Comerica Capital Trust II  6.576%  2/20/37  3,400  3,400 
Comerica Inc.  4.800%  5/1/15  3,400  3,621 
Compass Bank  6.400%  10/1/17  2,275  2,383 
Compass Bank  5.900%  4/1/26  1,975  1,862 
4 Corestates Capital I  8.000%  12/15/26  4,300  4,381 
Countrywide Financial Corp.  5.800%  6/7/12  6,375  6,778 
Countrywide Financial Corp.  6.250%  5/15/16  1,720  1,846 
Credit Suisse AG  5.400%  1/14/20  16,040  17,102 
Credit Suisse USA Inc.  6.125%  11/15/11  12,850  13,588 
Credit Suisse USA Inc.  6.500%  1/15/12  2,240  2,400 
Credit Suisse USA Inc.  5.500%  8/15/13  6,250  6,942 
Credit Suisse USA Inc.  5.125%  1/15/14  2,150  2,372 
Credit Suisse USA Inc.  4.875%  1/15/15  14,845  16,425 
Credit Suisse USA Inc.  5.125%  8/15/15  20,990  23,671 
Credit Suisse USA Inc.  7.125%  7/15/32  6,236  8,020 
3 Credit Suisse  5.860%  5/15/49  10,480  9,956 
Credit Suisse  5.000%  5/15/13  27,810  30,302 
Credit Suisse  5.500%  5/1/14  10,600  11,877 
Credit Suisse  3.500%  3/23/15  24,875  26,168 
Credit Suisse  6.000%  2/15/18  9,325  10,299 
Credit Suisse  5.300%  8/13/19  15,300  16,966 
Credit Suisse  4.375%  8/5/20  16,150  16,497 
Deutsche Bank AG  5.375%  10/12/12  13,100  14,278 
Deutsche Bank AG  2.375%  1/11/13  8,250  8,451 
Deutsche Bank AG  4.875%  5/20/13  24,300  26,460 
Deutsche Bank AG  3.450%  3/30/15  5,700  5,993 
Deutsche Bank AG  6.000%  9/1/17  20,556  24,003 
Deutsche Bank Financial LLC  5.375%  3/2/15  5,950  6,555 
Discover Bank  8.700%  11/18/19  4,400  5,226 
FIA Card Services NA  6.625%  6/15/12  3,015  3,218 
Fifth Third Bancorp  6.250%  5/1/13  5,750  6,301 


Fifth Third Bancorp  5.450%  1/15/17  4,900  5,161 
Fifth Third Bancorp  4.500%  6/1/18  1,525  1,518 
Fifth Third Bancorp  8.250%  3/1/38  5,740  6,857 
Fifth Third Bank/Ohio  4.750%  2/1/15  8,825  9,333 
3 Fifth Third Capital Trust IV  6.500%  4/15/67  3,400  3,247 
First Niagara Financial Group Inc.  6.750%  3/19/20  1,675  1,854 
First Tennessee Bank NA  5.050%  1/15/15  2,400  2,416 
First Union Institutional Capital I  8.040%  12/1/26  1,475  1,503 
FleetBoston Financial Corp.  6.700%  7/15/28  1,900  1,999 
Golden West Financial Corp.  4.750%  10/1/12  2,790  2,974 
Goldman Sachs Capital I  6.345%  2/15/34  16,175  15,518 
3 Goldman Sachs Capital II  5.793%  12/29/49  10,945  9,262 
Goldman Sachs Group Inc.  6.600%  1/15/12  25,260  26,958 
Goldman Sachs Group Inc.  5.300%  2/14/12  800  843 
Goldman Sachs Group Inc.  3.625%  8/1/12  4,400  4,582 
Goldman Sachs Group Inc.  5.700%  9/1/12  700  755 
Goldman Sachs Group Inc.  5.450%  11/1/12  10,720  11,575 
Goldman Sachs Group Inc.  5.250%  4/1/13  9,340  10,075 
Goldman Sachs Group Inc.  4.750%  7/15/13  11,275  12,087 
Goldman Sachs Group Inc.  5.250%  10/15/13  16,320  17,731 
Goldman Sachs Group Inc.  5.150%  1/15/14  5,945  6,456 
Goldman Sachs Group Inc.  6.000%  5/1/14  22,125  24,651 
Goldman Sachs Group Inc.  5.000%  10/1/14  26,382  28,558 
Goldman Sachs Group Inc.  5.125%  1/15/15  16,610  18,016 
Goldman Sachs Group Inc.  3.700%  8/1/15  14,100  14,463 
Goldman Sachs Group Inc.  5.350%  1/15/16  41,125  45,072 
Goldman Sachs Group Inc.  5.750%  10/1/16  9,375  10,452 
Goldman Sachs Group Inc.  5.625%  1/15/17  12,250  12,950 
Goldman Sachs Group Inc.  6.250%  9/1/17  28,065  31,630 
Goldman Sachs Group Inc.  5.950%  1/18/18  24,525  26,940 
Goldman Sachs Group Inc.  6.150%  4/1/18  12,910  14,358 
Goldman Sachs Group Inc.  7.500%  2/15/19  5,190  6,186 
Goldman Sachs Group Inc.  5.375%  3/15/20  7,200  7,591 
Goldman Sachs Group Inc.  6.000%  6/15/20  650  715 
Goldman Sachs Group Inc.  5.950%  1/15/27  10,935  10,990 
Goldman Sachs Group Inc.  6.125%  2/15/33  13,665  14,959 
Goldman Sachs Group Inc.  6.450%  5/1/36  5,535  5,534 
Goldman Sachs Group Inc.  6.750%  10/1/37  46,316  48,444 
4 HBOS PLC  6.750%  5/21/18  6,075  6,086 
HSBC Bank USA NA  4.875%  8/24/20  12,750  13,234 
HSBC Bank USA NA  4.625%  4/1/14  5,425  5,820 
HSBC Bank USA NA  5.875%  11/1/34  2,500  2,610 
HSBC Bank USA NA  5.625%  8/15/35  2,300  2,332 
HSBC Holdings PLC  7.625%  5/17/32  925  1,070 
HSBC Holdings PLC  7.350%  11/27/32  2,040  2,296 
HSBC Holdings PLC  6.500%  5/2/36  18,495  20,579 
HSBC Holdings PLC  6.500%  9/15/37  15,875  17,777 
HSBC Holdings PLC  6.800%  6/1/38  10,410  12,057 
4 ICICI Bank Ltd.  6.625%  10/3/12  6,400  6,872 
JP Morgan Chase Capital XV  5.875%  3/15/35  4,815  4,714 
JP Morgan Chase Capital XVII  5.850%  8/1/35  675  659 
JP Morgan Chase Capital XX  6.550%  9/29/36  6,560  6,609 
JP Morgan Chase Capital XXII  6.450%  2/2/37  14,300  14,226 
JP Morgan Chase Capital XXV  6.800%  10/1/37  10,375  10,647 
JPMorgan Chase & Co.  5.600%  6/1/11  13,950  14,421 


JPMorgan Chase & Co.  4.500%  1/15/12  6,275  6,558 
JPMorgan Chase & Co.  6.625%  3/15/12  10,000  10,763 
JPMorgan Chase & Co.  5.375%  10/1/12  19,995  21,641 
JPMorgan Chase & Co.  5.750%  1/2/13  6,146  6,690 
JPMorgan Chase & Co.  4.750%  5/1/13  15,070  16,355 
JPMorgan Chase & Co.  1.650%  9/30/13  2,875  2,879 
JPMorgan Chase & Co.  4.875%  3/15/14  18,100  19,617 
JPMorgan Chase & Co.  4.650%  6/1/14  15,000  16,422 
JPMorgan Chase & Co.  5.125%  9/15/14  21,332  23,414 
JPMorgan Chase & Co.  3.700%  1/20/15  5,450  5,760 
JPMorgan Chase & Co.  4.750%  3/1/15  3,900  4,269 
JPMorgan Chase & Co.  5.250%  5/1/15  5,575  6,107 
JPMorgan Chase & Co.  3.400%  6/24/15  24,025  25,014 
JPMorgan Chase & Co.  5.150%  10/1/15  8,110  8,861 
JPMorgan Chase & Co.  6.125%  6/27/17  10,700  12,125 
JPMorgan Chase & Co.  6.000%  1/15/18  5,000  5,705 
JPMorgan Chase & Co.  6.300%  4/23/19  7,850  9,111 
JPMorgan Chase & Co.  4.400%  7/22/20  4,575  4,689 
JPMorgan Chase & Co.  6.400%  5/15/38  72,369  86,946 
JPMorgan Chase Bank NA  5.875%  6/13/16  4,346  4,936 
JPMorgan Chase Bank NA  6.000%  7/5/17  825  931 
JPMorgan Chase Bank NA  6.000%  10/1/17  65  74 
JPMorgan Chase Capital XXVII  7.000%  11/1/39  8,075  8,236 
KeyBank NA  5.500%  9/17/12  5,750  6,137 
KeyBank NA  5.800%  7/1/14  2,825  3,082 
KeyBank NA  4.950%  9/15/15  4,675  4,969 
KeyBank NA  5.450%  3/3/16  6,275  6,793 
KeyBank NA  6.950%  2/1/28  1,925  2,075 
KeyCorp  6.500%  5/14/13  4,625  5,062 
4 Lloyds TSB Bank PLC  4.375%  1/12/15  9,300  9,554 
4 Lloyds TSB Bank PLC  5.800%  1/13/20  9,425  9,775 
M&I Marshall & Ilsley Bank  5.250%  9/4/12  925  946 
M&I Marshall & Ilsley Bank  4.850%  6/16/15  800  782 
M&I Marshall & Ilsley Bank  5.000%  1/17/17  150  143 
Manufacturers & Traders Trust Co.  6.625%  12/4/17  7,050  8,113 
3 Manufacturers & Traders Trust Co.  5.585%  12/28/20  450  446 
MBNA Corp.  7.500%  3/15/12  2,845  3,074 
MBNA Corp.  6.125%  3/1/13  4,075  4,425 
MBNA Corp.  5.000%  6/15/15  4,775  5,072 
3 Mellon Capital IV  6.244%  6/29/49  200  183 
Mellon Funding Corp.  5.000%  12/1/14  5,975  6,686 
Merrill Lynch & Co. Inc.  6.050%  8/15/12  10,900  11,708 
Merrill Lynch & Co. Inc.  5.450%  2/5/13  14,785  15,846 
Merrill Lynch & Co. Inc.  6.150%  4/25/13  21,250  23,200 
Merrill Lynch & Co. Inc.  5.000%  2/3/14  11,550  12,292 
Merrill Lynch & Co. Inc.  5.450%  7/15/14  2,450  2,645 
Merrill Lynch & Co. Inc.  5.000%  1/15/15  17,779  18,851 
Merrill Lynch & Co. Inc.  6.050%  5/16/16  3,950  4,216 
Merrill Lynch & Co. Inc.  5.700%  5/2/17  21,625  22,381 
Merrill Lynch & Co. Inc.  6.400%  8/28/17  14,825  16,224 
Merrill Lynch & Co. Inc.  6.875%  4/25/18  36,446  40,903 
Merrill Lynch & Co. Inc.  6.500%  7/15/18  3,325  3,635 
Merrill Lynch & Co. Inc.  6.875%  11/15/18  600  671 
Merrill Lynch & Co. Inc.  6.220%  9/15/26  15,250  15,480 
Merrill Lynch & Co. Inc.  6.110%  1/29/37  6,075  5,949 


Merrill Lynch & Co. Inc.  7.750%  5/14/38  11,898  13,776 
Morgan Stanley  5.625%  1/9/12  14,100  14,828 
Morgan Stanley  6.600%  4/1/12  6,550  7,042 
Morgan Stanley  5.750%  8/31/12  7,650  8,220 
Morgan Stanley  5.300%  3/1/13  31,011  33,399 
Morgan Stanley  6.750%  10/15/13  600  666 
Morgan Stanley  4.750%  4/1/14  27,647  28,692 
Morgan Stanley  6.000%  5/13/14  21,485  23,648 
Morgan Stanley  4.200%  11/20/14  15,675  16,288 
Morgan Stanley  4.100%  1/26/15  9,500  9,826 
Morgan Stanley  6.000%  4/28/15  46,675  51,453 
Morgan Stanley  4.000%  7/24/15  3,750  3,842 
Morgan Stanley  5.375%  10/15/15  6,400  6,888 
Morgan Stanley  5.750%  10/18/16  15,300  16,510 
Morgan Stanley  5.450%  1/9/17  10,860  11,431 
Morgan Stanley  5.550%  4/27/17  3,305  3,493 
Morgan Stanley  6.250%  8/28/17  560  612 
Morgan Stanley  5.950%  12/28/17  16,475  17,571 
Morgan Stanley  6.625%  4/1/18  33,755  37,442 
Morgan Stanley  7.300%  5/13/19  11,560  13,272 
Morgan Stanley  5.625%  9/23/19  26,425  27,476 
Morgan Stanley  6.250%  8/9/26  16,325  17,359 
Morgan Stanley  7.250%  4/1/32  10,340  12,027 
National City Bank  4.625%  5/1/13  2,500  2,660 
National City Corp.  4.900%  1/15/15  1,425  1,570 
National City Corp.  6.875%  5/15/19  875  1,026 
3 National City Preferred Capital Trust I  12.000%  12/31/49  5,850  6,530 
NB Capital Trust II  7.830%  12/15/26  8,925  9,159 
North American Development Bank  4.375%  2/11/20  2,600  2,831 
North Fork Bancorporation Inc.  5.875%  8/15/12  150  159 
Northern Trust Co.  6.500%  8/15/18  1,125  1,364 
Northern Trust Corp.  5.500%  8/15/13  1,350  1,520 
Northern Trust Corp.  4.625%  5/1/14  4,200  4,643 
Paribas  6.950%  7/22/13  900  1,024 
PNC Bank NA  4.875%  9/21/17  8,425  8,902 
PNC Bank NA  6.000%  12/7/17  1,100  1,237 
PNC Funding Corp.  5.125%  12/14/10  4,600  4,641 
PNC Funding Corp.  3.625%  2/8/15  19,625  20,702 
PNC Funding Corp.  4.250%  9/21/15  4,750  5,138 
PNC Funding Corp.  5.250%  11/15/15  8,525  9,457 
PNC Funding Corp.  5.625%  2/1/17  975  1,067 
PNC Funding Corp.  6.700%  6/10/19  6,934  8,246 
PNC Funding Corp.  5.125%  2/8/20  5,600  6,070 
PNC Funding Corp.  4.375%  8/11/20  175  179 
Regions Bank  7.500%  5/15/18  1,000  1,055 
Regions Financial Corp.  4.875%  4/26/13  3,625  3,664 
Regions Financial Corp.  7.750%  11/10/14  2,825  3,104 
Regions Financial Corp.  5.750%  6/15/15  4,500  4,584 
Royal Bank of Canada  2.100%  7/29/13  15,800  16,294 
Royal Bank of Canada  2.625%  12/15/15  5,900  6,125 
Royal Bank of Scotland Group PLC  5.000%  10/1/14  296  296 
Royal Bank of Scotland Group PLC  5.050%  1/8/15  7,800  7,829 
Royal Bank of Scotland Group PLC  6.400%  10/21/19  25,200  27,327 
Royal Bank Of Scotland NV  4.650%  6/4/18  225  220 
Royal Bank of Scotland PLC  3.400%  8/23/13  7,200  7,377 


4  Royal Bank of Scotland PLC  4.875%  8/25/14  1,700  1,784 
  Royal Bank of Scotland PLC  4.875%  3/16/15  5,900  6,209 
  Royal Bank of Scotland PLC  3.950%  9/21/15  1,200  1,213 
  Royal Bank of Scotland PLC  5.625%  8/24/20  12,700  13,245 
  SouthTrust Corp.  5.800%  6/15/14  2,550  2,789 
  Sovereign Bank  5.125%  3/15/13  2,275  2,380 
  Sovereign Bank  8.750%  5/30/18  1,595  1,854 
3,4 Standard Chartered PLC  6.409%  12/31/49  5,825  5,475 
  State Street Bank and Trust Co.  5.300%  1/15/16  2,800  3,105 
3  State Street Capital Trust III  8.250%  3/15/42  395  400 
  State Street Corp.  4.300%  5/30/14  3,900  4,281 
  Sumitomo Mitsui Banking Corp.  8.000%  6/15/12  13,090  14,512 
  SunTrust Bank  5.000%  9/1/15  39  42 
  SunTrust Bank  7.250%  3/15/18  1,000  1,137 
  SunTrust Banks Inc.  5.250%  11/5/12  6,350  6,724 
  SunTrust Banks Inc.  6.000%  9/11/17  2,508  2,716 
  SunTrust Capital VIII  6.100%  12/15/36  2,102  1,962 
  UBS AG  7.000%  10/15/15  2,500  2,828 
  UBS AG  7.375%  6/15/17  3,300  3,758 
  UBS AG  2.250%  8/12/13  19,750  19,920 
  UBS AG  5.875%  7/15/16  3,525  3,901 
  UBS AG  5.875%  12/20/17  28,849  32,694 
  UBS AG  5.750%  4/25/18  10,217  11,524 
  UBS AG  4.875%  8/4/20  25,150  26,511 
3  UBS Preferred Funding Trust II  7.247%  6/29/49  8  8 
  UFJ Finance Aruba AEC  6.750%  7/15/13  20,950  23,800 
  Union Bank NA  5.950%  5/11/16  3,875  4,253 
  UnionBanCal Corp.  5.250%  12/16/13  2,105  2,279 
  US Bancorp  2.000%  6/14/13  15,250  15,610 
  US Bancorp  4.200%  5/15/14  775  847 
  US Bancorp  3.150%  3/4/15  1,450  1,536 
  US Bank NA  4.950%  10/30/14  12,021  13,410 
  US Bank NA/Cincinnati OH  6.300%  2/4/14  8,750  10,051 
  USB Capital XIII Trust  6.625%  12/15/39  875  902 
  Wachovia Bank NA  4.800%  11/1/14  1,400  1,520 
  Wachovia Bank NA  4.875%  2/1/15  15,250  16,529 
  Wachovia Bank NA  5.000%  8/15/15  960  1,046 
  Wachovia Bank NA  6.000%  11/15/17  8,025  9,150 
  Wachovia Bank NA  5.850%  2/1/37  16,225  16,687 
  Wachovia Bank NA  6.600%  1/15/38  14,810  16,775 
  Wachovia Corp.  5.300%  10/15/11  12,950  13,583 
  Wachovia Corp.  4.875%  2/15/14  10,000  10,721 
  Wachovia Corp.  5.250%  8/1/14  5,772  6,296 
  Wachovia Corp.  5.625%  10/15/16  12,625  14,021 
  Wachovia Corp.  5.750%  6/15/17  28,875  32,837 
  Wachovia Corp.  5.750%  2/1/18  1,325  1,509 
  Wachovia Corp.  6.605%  10/1/25  175  192 
  Wachovia Corp.  7.500%  4/15/35  925  1,091 
  Wachovia Corp.  5.500%  8/1/35  4,185  4,096 
  Wachovia Corp.  6.550%  10/15/35  625  686 
  Wells Fargo & Co.  4.875%  1/12/11  11,196  11,331 
  Wells Fargo & Co.  5.125%  9/1/12  3,450  3,680 
  Wells Fargo & Co.  5.250%  10/23/12  33,525  36,256 
  Wells Fargo & Co.  4.375%  1/31/13  9,775  10,446 
  Wells Fargo & Co.  4.950%  10/16/13  3,825  4,167 


Wells Fargo & Co.  5.000%  11/15/14  96  104 
Wells Fargo & Co.  3.625%  4/15/15  7,250  7,706 
Wells Fargo & Co.  5.625%  12/11/17  31,675  35,858 
Wells Fargo & Co.  5.375%  2/7/35  4,675  4,933 
Wells Fargo Bank NA  4.750%  2/9/15  13,825  14,856 
Wells Fargo Bank NA  5.750%  5/16/16  7,900  8,854 
Wells Fargo Bank NA  5.950%  8/26/36  10,375  10,794 
Wells Fargo Capital X  5.950%  12/15/36  2,700  2,616 
3 Wells Fargo Capital XIII  7.700%  12/29/49  11,770  12,167 
3 Wells Fargo Capital XV  9.750%  12/29/49  6,575  7,241 
Wells Fargo Financial Inc.  5.500%  8/1/12  3,425  3,685 
Westpac Banking Corp.  2.250%  11/19/12  8,875  9,037 
Westpac Banking Corp.  2.100%  8/2/13  4,675  4,745 
Westpac Banking Corp.  4.200%  2/27/15  15,075  16,207 
Westpac Banking Corp.  3.000%  8/4/15  17,350  17,702 
Westpac Banking Corp.  4.875%  11/19/19  7,725  8,319 
 
Brokerage (0.1%)         
Ameriprise Financial Inc.  5.650%  11/15/15  4,250  4,816 
Ameriprise Financial Inc.  7.300%  6/28/19  400  496 
Ameriprise Financial Inc.  5.300%  3/15/20  1,325  1,460 
3 Ameriprise Financial Inc.  7.518%  6/1/66  575  574 
BlackRock Inc.  2.250%  12/10/12  5,300  5,452 
BlackRock Inc.  3.500%  12/10/14  4,275  4,540 
BlackRock Inc.  6.250%  9/15/17  3,375  4,007 
BlackRock Inc.  5.000%  12/10/19  625  689 
Charles Schwab Corp.  4.950%  6/1/14  9,450  10,470 
Charles Schwab Corp.  4.450%  7/22/20  4,550  4,757 
4 FMR LLC  7.490%  6/15/19  800  963 
Franklin Resources Inc.  2.000%  5/20/13  6,825  6,977 
Franklin Resources Inc.  3.125%  5/20/15  3,700  3,901 
Franklin Resources Inc.  4.625%  5/20/20  1,950  2,130 
Invesco Ltd.  5.375%  2/27/13  25  27 
Jefferies Group Inc.  8.500%  7/15/19  4,925  5,637 
Jefferies Group Inc.  6.875%  4/15/21  3,400  3,617 
Jefferies Group Inc.  6.450%  6/8/27  13,560  13,314 
Jefferies Group Inc.  6.250%  1/15/36  7,025  6,513 
Lazard Group LLC  7.125%  5/15/15  2,150  2,345 
Lazard Group LLC  6.850%  6/15/17  7,425  7,942 
Nomura Holdings Inc.  5.000%  3/4/15  6,825  7,374 
Nomura Holdings Inc.  6.700%  3/4/20  9,350  10,669 
TD Ameritrade Holding Corp.  2.950%  12/1/12  2,025  2,080 
TD Ameritrade Holding Corp.  4.150%  12/1/14  2,725  2,897 
TD Ameritrade Holding Corp.  5.600%  12/1/19  2,425  2,681 
 
Finance Companies (0.8%)         
Alterra Finance LLC  6.250%  9/30/20  2,225  2,234 
Block Financial LLC  7.875%  1/15/13  1,675  1,823 
Block Financial LLC  5.125%  10/30/14  6,350  6,517 
Discover Financial Services  6.450%  6/12/17  1,825  1,968 
GATX Corp.  4.750%  10/1/12  2,650  2,795 
3 GE Capital Trust I  6.375%  11/15/67  10,475  10,423 
General Electric Capital Corp.  5.000%  11/15/11  10,555  11,056 
General Electric Capital Corp.  4.375%  11/21/11  1,550  1,615 
General Electric Capital Corp.  5.875%  2/15/12  11,386  12,131 


General Electric Capital Corp.  4.375%  3/3/12  12,450  13,033 
General Electric Capital Corp.  5.000%  4/10/12  150  159 
General Electric Capital Corp.  6.000%  6/15/12  30,569  33,036 
General Electric Capital Corp.  3.500%  8/13/12  20,200  21,026 
General Electric Capital Corp.  5.250%  10/19/12  49,090  52,992 
General Electric Capital Corp.  2.800%  1/8/13  10,500  10,812 
General Electric Capital Corp.  5.450%  1/15/13  24,225  26,355 
General Electric Capital Corp.  4.800%  5/1/13  21,825  23,533 
General Electric Capital Corp.  5.900%  5/13/14  4,850  5,496 
General Electric Capital Corp.  5.500%  6/4/14  14,400  16,037 
General Electric Capital Corp.  5.650%  6/9/14  9,000  10,125 
General Electric Capital Corp.  3.750%  11/14/14  28,250  29,903 
General Electric Capital Corp.  3.500%  6/29/15  2,500  2,617 
General Electric Capital Corp.  4.375%  9/21/15  2,900  3,142 
General Electric Capital Corp.  5.400%  2/15/17  32,825  36,123 
General Electric Capital Corp.  5.625%  9/15/17  5,138  5,723 
General Electric Capital Corp.  5.625%  5/1/18  30,659  33,997 
General Electric Capital Corp.  6.000%  8/7/19  11,650  13,114 
General Electric Capital Corp.  5.500%  1/8/20  4,600  5,011 
General Electric Capital Corp.  5.550%  5/4/20  8,550  9,419 
General Electric Capital Corp.  6.750%  3/15/32  36,231  40,182 
General Electric Capital Corp.  6.150%  8/7/37  15,400  16,083 
General Electric Capital Corp.  5.875%  1/14/38  40,775  41,240 
General Electric Capital Corp.  6.875%  1/10/39  32,730  37,384 
3 General Electric Capital Corp.  6.375%  11/15/67  11,950  11,890 
3 HSBC Finance Capital Trust IX  5.911%  11/30/35  2,125  1,979 
HSBC Finance Corp.  6.375%  10/15/11  2,575  2,713 
HSBC Finance Corp.  7.000%  5/15/12  15,670  16,939 
HSBC Finance Corp.  5.900%  6/19/12  3,100  3,306 
HSBC Finance Corp.  6.375%  11/27/12  15,472  16,911 
HSBC Finance Corp.  4.750%  7/15/13  3,075  3,273 
HSBC Finance Corp.  5.250%  1/15/14  5,725  6,210 
HSBC Finance Corp.  5.000%  6/30/15  30,400  33,247 
HSBC Finance Corp.  5.500%  1/19/16  1,521  1,670 
SLM Corp.  5.400%  10/25/11  12,325  12,569 
SLM Corp.  5.375%  1/15/13  4,175  4,195 
SLM Corp.  5.000%  10/1/13  4,485  4,399 
SLM Corp.  5.375%  5/15/14  1,800  1,769 
SLM Corp.  5.050%  11/14/14  2,235  2,142 
SLM Corp.  5.000%  4/15/15  10  10 
SLM Corp.  8.450%  6/15/18  17,500  17,686 
SLM Corp.  8.000%  3/25/20  6,650  6,586 
SLM Corp.  5.625%  8/1/33  8,020  6,158 
 
Insurance (1.2%)         
ACE Capital Trust II  9.700%  4/1/30  2,035  2,492 
ACE INA Holdings Inc.  5.875%  6/15/14  900  1,023 
ACE INA Holdings Inc.  5.600%  5/15/15  6,175  7,004 
ACE INA Holdings Inc.  5.700%  2/15/17  2,930  3,283 
ACE INA Holdings Inc.  5.800%  3/15/18  1,256  1,429 
ACE INA Holdings Inc.  5.900%  6/15/19  1,950  2,264 
AEGON Funding Co. LLC  5.750%  12/15/20  1,075  1,168 
Aegon NV  4.750%  6/1/13  1,900  2,012 
Aetna Inc.  6.000%  6/15/16  10,025  11,760 
Aetna Inc.  6.500%  9/15/18  2,175  2,572 


Aetna Inc.  6.625%  6/15/36  3,925  4,564 
Aetna Inc.  6.750%  12/15/37  10,200  11,922 
Aflac Inc.  8.500%  5/15/19  500  637 
Aflac Inc.  6.900%  12/17/39  825  909 
Aflac Inc.  6.450%  8/15/40  250  259 
Alleghany Corp.  5.625%  9/15/20  1,700  1,733 
Allied World Assurance Co. Holdings Ltd.  7.500%  8/1/16  15,503  17,549 
Allstate Corp.  6.125%  2/15/12  2,590  2,765 
Allstate Corp.  5.000%  8/15/14  6,325  7,051 
Allstate Corp.  6.125%  12/15/32  2,450  2,698 
Allstate Corp.  5.350%  6/1/33  895  914 
Allstate Corp.  5.550%  5/9/35  2,336  2,452 
3 Allstate Corp.  6.125%  5/15/37  2,831  2,626 
3 Allstate Corp.  6.500%  5/15/57  5,350  4,974 
Allstate Life Global Funding Trusts  5.375%  4/30/13  21,900  24,202 
American Financial Group Inc.  9.875%  6/15/19  8,864  10,928 
American International Group Inc.  5.375%  10/18/11  3,475  3,562 
American International Group Inc.  4.950%  3/20/12  6,080  6,262 
American International Group Inc.  4.250%  5/15/13  18,551  19,108 
American International Group Inc.  5.050%  10/1/15  3,200  3,264 
American International Group Inc.  5.600%  10/18/16  2,000  2,050 
American International Group Inc.  5.450%  5/18/17  7,425  7,573 
American International Group Inc.  5.850%  1/16/18  12,550  12,958 
American International Group Inc.  8.250%  8/15/18  3,325  3,857 
American International Group Inc.  6.250%  5/1/36  13,860  13,583 
AON Corp.  3.500%  9/30/15  5,325  5,423 
AON Corp.  5.000%  9/30/20  3,200  3,271 
AON Corp.  8.205%  1/1/27  1,025  1,103 
AON Corp.  6.250%  9/30/40  3,550  3,652 
Arch Capital Group Ltd.  7.350%  5/1/34  2,875  3,067 
Assurant Inc.  5.625%  2/15/14  3,225  3,451 
Assurant Inc.  6.750%  2/15/34  3,715  3,875 
AXA SA  8.600%  12/15/30  13,087  15,034 
Axis Capital Holdings Ltd.  5.750%  12/1/14  2,150  2,295 
Axis Specialty Finance LLC  5.875%  6/1/20  16,225  16,532 
Berkshire Hathaway Finance Corp.  4.000%  4/15/12  2,000  2,099 
Berkshire Hathaway Finance Corp.  4.600%  5/15/13  14,658  15,972 
Berkshire Hathaway Finance Corp.  5.000%  8/15/13  18,025  19,968 
Berkshire Hathaway Finance Corp.  4.850%  1/15/15  5,580  6,290 
Berkshire Hathaway Finance Corp.  5.400%  5/15/18  11,750  13,418 
Berkshire Hathaway Finance Corp.  5.750%  1/15/40  8,875  9,789 
Berkshire Hathaway Inc.  1.400%  2/10/12  8,875  8,961 
Berkshire Hathaway Inc.  2.125%  2/11/13  11,875  12,216 
Berkshire Hathaway Inc.  3.200%  2/11/15  8,925  9,465 
Chubb Corp.  5.200%  4/1/13  1,575  1,723 
Chubb Corp.  5.750%  5/15/18  5,775  6,692 
Chubb Corp.  6.000%  5/11/37  6,350  7,247 
Chubb Corp.  6.500%  5/15/38  1,900  2,311 
3 Chubb Corp.  6.375%  3/29/67  11,075  10,906 
CIGNA Corp.  6.350%  3/15/18  1,125  1,308 
CIGNA Corp.  5.125%  6/15/20  2,075  2,237 
CIGNA Corp.  7.875%  5/15/27  1,025  1,245 
CIGNA Corp.  6.150%  11/15/36  5,675  6,191 
Cincinnati Financial Corp.  6.920%  5/15/28  625  670 
Cincinnati Financial Corp.  6.125%  11/1/34  3,500  3,428 


CNA Financial Corp.  5.850%  12/15/14  4,025  4,326 
CNA Financial Corp.  6.500%  8/15/16  6,425  6,936 
CNA Financial Corp.  7.350%  11/15/19  125  141 
CNA Financial Corp.  5.875%  8/15/20  2,125  2,166 
Coventry Health Care Inc.  6.300%  8/15/14  9,515  10,181 
Endurance Specialty Holdings Ltd.  7.000%  7/15/34  6,875  6,758 
Genworth Financial Inc.  5.750%  6/15/14  2,496  2,583 
Genworth Financial Inc.  4.950%  10/1/15  950  950 
Genworth Financial Inc.  8.625%  12/15/16  8,450  9,422 
Genworth Financial Inc.  6.500%  6/15/34  5,775  5,327 
Hartford Financial Services Group Inc.  5.250%  10/15/11  3,900  4,046 
Hartford Financial Services Group Inc.  4.625%  7/15/13  4,125  4,332 
Hartford Financial Services Group Inc.  5.500%  10/15/16  3,075  3,225 
Hartford Financial Services Group Inc.  5.375%  3/15/17  2,600  2,678 
Hartford Financial Services Group Inc.  6.300%  3/15/18  900  971 
Hartford Financial Services Group Inc.  6.000%  1/15/19  1,325  1,394 
Hartford Financial Services Group Inc.  5.950%  10/15/36  2,200  2,000 
Hartford Financial Services Group Inc.  6.100%  10/1/41  3,025  2,774 
HCC Insurance Holdings Inc.  6.300%  11/15/19  4,250  4,645 
Humana Inc.  6.450%  6/1/16  175  193 
Humana Inc.  7.200%  6/15/18  6,075  7,017 
Humana Inc.  6.300%  8/1/18  200  218 
Humana Inc.  8.150%  6/15/38  7,850  8,597 
Jefferson-Pilot Corp.  4.750%  1/30/14  1,600  1,690 
Lincoln National Corp.  6.200%  12/15/11  900  953 
Lincoln National Corp.  5.650%  8/27/12  2,475  2,646 
Lincoln National Corp.  4.300%  6/15/15  250  264 
Lincoln National Corp.  8.750%  7/1/19  127  163 
Lincoln National Corp.  6.150%  4/7/36  6,350  6,566 
Lincoln National Corp.  7.000%  6/15/40  2,850  3,247 
Loews Corp.  5.250%  3/15/16  3,200  3,585 
Loews Corp.  6.000%  2/1/35  625  642 
Manulife Financial Corp.  3.400%  9/17/15  10,500  10,619 
Manulife Financial Corp.  4.900%  9/17/20  16,225  16,203 
Markel Corp.  7.125%  9/30/19  6,625  7,553 
Marsh & McLennan Cos. Inc.  6.250%  3/15/12  400  422 
Marsh & McLennan Cos. Inc.  5.375%  7/15/14  800  861 
Marsh & McLennan Cos. Inc.  5.750%  9/15/15  7,371  8,153 
Marsh & McLennan Cos. Inc.  9.250%  4/15/19  3,750  4,917 
Marsh & McLennan Cos. Inc.  5.875%  8/1/33  400  387 
MetLife Inc.  6.125%  12/1/11  650  687 
MetLife Inc.  5.375%  12/15/12  6,050  6,544 
MetLife Inc.  5.000%  11/24/13  4,425  4,849 
MetLife Inc.  2.375%  2/6/14  9,725  9,825 
MetLife Inc.  5.000%  6/15/15  8,926  9,875 
MetLife Inc.  7.717%  2/15/19  2,225  2,832 
MetLife Inc.  4.750%  2/8/21  3,450  3,662 
MetLife Inc.  6.500%  12/15/32  2,700  3,104 
MetLife Inc.  6.375%  6/15/34  2,375  2,686 
MetLife Inc.  5.700%  6/15/35  1,375  1,472 
MetLife Inc.  6.400%  12/15/36  8,885  8,327 
MetLife Inc.  5.875%  2/6/41  3,835  4,190 
4 Metropolitan Life Global Funding I  2.875%  9/17/12  14,800  15,232 
4 Metropolitan Life Global Funding I  5.125%  6/10/14  3,475  3,852 
Nationwide Financial Services  6.750%  5/15/37  550  479 


OneBeacon US Holdings Inc.  5.875%  5/15/13  1,575  1,654 
PartnerRe Finance B LLC  5.500%  6/1/20  5,539  5,720 
Principal Financial Group Inc.  7.875%  5/15/14  650  764 
Principal Financial Group Inc.  8.875%  5/15/19  4  5 
Principal Financial Group Inc.  6.050%  10/15/36  2,600  2,672 
Principal Life Income Funding Trusts  5.300%  12/14/12  4,300  4,674 
Principal Life Income Funding Trusts  5.300%  4/24/13  5,575  6,117 
Principal Life Income Funding Trusts  5.100%  4/15/14  3,925  4,234 
Progressive Corp.  6.375%  1/15/12  1,750  1,867 
Progressive Corp.  6.625%  3/1/29  4,800  5,456 
Progressive Corp.  6.250%  12/1/32  225  244 
3 Progressive Corp.  6.700%  6/15/37  6,900  6,820 
Protective Life Corp.  7.375%  10/15/19  5,995  6,729 
Protective Life Corp.  8.450%  10/15/39  5,100  5,547 
Prudential Financial Inc.  5.100%  12/14/11  385  403 
Prudential Financial Inc.  5.800%  6/15/12  2,200  2,351 
Prudential Financial Inc.  3.625%  9/17/12  7,550  7,846 
Prudential Financial Inc.  5.150%  1/15/13  2,145  2,297 
Prudential Financial Inc.  4.500%  7/15/13  6,225  6,611 
Prudential Financial Inc.  4.750%  4/1/14  1,875  2,007 
Prudential Financial Inc.  5.100%  9/20/14  9,066  9,895 
Prudential Financial Inc.  3.875%  1/14/15  11,250  11,803 
Prudential Financial Inc.  6.200%  1/15/15  5,150  5,793 
Prudential Financial Inc.  4.750%  9/17/15  2,825  3,064 
Prudential Financial Inc.  5.500%  3/15/16  675  740 
Prudential Financial Inc.  6.100%  6/15/17  1,050  1,174 
Prudential Financial Inc.  6.000%  12/1/17  3,750  4,221 
Prudential Financial Inc.  5.375%  6/21/20  2,475  2,671 
Prudential Financial Inc.  5.750%  7/15/33  1,575  1,587 
Prudential Financial Inc.  5.400%  6/13/35  3,975  3,874 
Prudential Financial Inc.  5.900%  3/17/36  3,750  3,933 
Prudential Financial Inc.  5.700%  12/14/36  20,350  20,937 
Prudential Financial Inc.  6.625%  6/21/40  4,025  4,592 
3 Reinsurance Group of America Inc.  6.750%  12/15/65  425  364 
Swiss Re Solutions Holding Corp.  6.450%  3/1/19  1,325  1,449 
Swiss Re Solutions Holding Corp.  7.000%  2/15/26  3,450  3,778 
Swiss Re Solutions Holding Corp.  7.750%  6/15/30  5,975  7,064 
Torchmark Corp.  6.375%  6/15/16  3,500  3,925 
Transatlantic Holdings Inc.  8.000%  11/30/39  14,470  14,985 
Travelers Cos. Inc.  5.375%  6/15/12  200  215 
Travelers Cos. Inc.  5.500%  12/1/15  1,425  1,638 
Travelers Cos. Inc.  6.250%  6/20/16  2,625  3,115 
Travelers Cos. Inc.  5.750%  12/15/17  3,825  4,403 
Travelers Cos. Inc.  5.800%  5/15/18  150  172 
Travelers Cos. Inc.  5.900%  6/2/19  11,000  12,763 
3 Travelers Cos. Inc.  6.250%  3/15/37  2,509  2,410 
Travelers Cos. Inc.  6.250%  6/15/37  15,725  18,498 
Travelers Property Casualty Corp.  5.000%  3/15/13  225  245 
Travelers Property Casualty Corp.  6.375%  3/15/33  325  378 
UnitedHealth Group Inc.  5.500%  11/15/12  7,600  8,225 
UnitedHealth Group Inc.  4.875%  2/15/13  2,350  2,531 
UnitedHealth Group Inc.  4.875%  4/1/13  2,850  3,078 
UnitedHealth Group Inc.  4.875%  3/15/15  2,281  2,513 
UnitedHealth Group Inc.  6.000%  6/15/17  7,500  8,699 
UnitedHealth Group Inc.  6.000%  2/15/18  41,355  48,107 


UnitedHealth Group Inc.  5.800%  3/15/36  2,175  2,282 
UnitedHealth Group Inc.  6.500%  6/15/37  1,850  2,124 
UnitedHealth Group Inc.  6.625%  11/15/37  3,975  4,607 
UnitedHealth Group Inc.  6.875%  2/15/38  4,355  5,203 
Unum Group  7.125%  9/30/16  3,425  3,931 
Unum Group  5.625%  9/15/20  2,200  2,257 
Validus Holdings Ltd.  8.875%  1/26/40  3,000  3,274 
WellPoint Health Networks Inc.  6.375%  1/15/12  3,090  3,293 
WellPoint Inc.  5.000%  1/15/11  4,900  4,959 
WellPoint Inc.  6.800%  8/1/12  2,085  2,288 
WellPoint Inc.  6.000%  2/15/14  2,225  2,521 
WellPoint Inc.  5.000%  12/15/14  3,525  3,908 
WellPoint Inc.  5.250%  1/15/16  1,836  2,065 
WellPoint Inc.  5.875%  6/15/17  345  398 
WellPoint Inc.  4.350%  8/15/20  2,600  2,698 
WellPoint Inc.  5.950%  12/15/34  6,075  6,488 
WellPoint Inc.  5.850%  1/15/36  5,960  6,209 
WellPoint Inc.  6.375%  6/15/37  1,030  1,140 
WellPoint Inc.  5.800%  8/15/40  1,700  1,777 
Willis North America Inc.  5.625%  7/15/15  3,825  4,089 
Willis North America Inc.  6.200%  3/28/17  2,495  2,664 
Willis North America Inc.  7.000%  9/29/19  20,300  22,303 
WR Berkley Corp.  5.375%  9/15/20  950  969 
XL Group PLC  5.250%  9/15/14  4,625  4,947 
XL Group PLC  6.375%  11/15/24  525  541 
XL Group PLC  6.250%  5/15/27  8,025  7,870 
 
Other Finance (0.1%)         
CME Group Inc.  5.400%  8/1/13  8,450  9,458 
CME Group Inc.  5.750%  2/15/14  3,225  3,664 
NASDAQ OMX Group Inc.  4.000%  1/15/15  3,275  3,388 
NASDAQ OMX Group Inc.  5.550%  1/15/20  2,500  2,647 
ORIX Corp.  5.480%  11/22/11  5,075  5,270 
XTRA Finance Corp.  5.150%  4/1/17  12,925  14,351 
 
Real Estate Investment Trusts (0.3%)         
AMB Property LP  4.500%  8/15/17  2,600  2,620 
AMB Property LP  6.625%  12/1/19  1,750  1,970 
Arden Realty LP  5.250%  3/1/15  925  1,008 
AvalonBay Communities Inc.  5.500%  1/15/12  1,081  1,136 
AvalonBay Communities Inc.  6.125%  11/1/12  422  460 
AvalonBay Communities Inc.  5.750%  9/15/16  825  927 
Boston Properties LP  6.250%  1/15/13  4,186  4,607 
Boston Properties LP  5.625%  4/15/15  6,175  6,908 
Boston Properties LP  5.625%  11/15/20  8,925  9,796 
Brandywine Operating Partnership LP  5.750%  4/1/12  1,481  1,534 
Brandywine Operating Partnership LP  5.400%  11/1/14  1,000  1,041 
Brandywine Operating Partnership LP  7.500%  5/15/15  3,950  4,406 
Brandywine Operating Partnership LP  5.700%  5/1/17  4,280  4,334 
Camden Property Trust  5.700%  5/15/17  5,025  5,469 
CommonWealth REIT  6.250%  8/15/16  1,425  1,511 
CommonWealth REIT  6.250%  6/15/17  5,075  5,272 
CommonWealth REIT  5.875%  9/15/20  3,200  3,176 
4 Digital Realty Trust LP  4.500%  7/15/15  1,600  1,659 
Duke Realty LP  6.250%  5/15/13  800  866 


Duke Realty LP  7.375%  2/15/15  8,425  9,579 
Duke Realty LP  5.950%  2/15/17  4,525  4,844 
Duke Realty LP  8.250%  8/15/19  3,600  4,282 
Duke Realty LP  6.750%  3/15/20  1,025  1,144 
ERP Operating LP  6.625%  3/15/12  4,045  4,323 
ERP Operating LP  5.500%  10/1/12  3,050  3,281 
ERP Operating LP  5.250%  9/15/14  1,700  1,889 
ERP Operating LP  5.125%  3/15/16  825  903 
ERP Operating LP  5.375%  8/1/16  3,125  3,451 
ERP Operating LP  5.750%  6/15/17  1,250  1,407 
HCP Inc.  6.450%  6/25/12  4,525  4,822 
HCP Inc.  5.650%  12/15/13  9,655  10,391 
HCP Inc.  6.300%  9/15/16  2,640  2,878 
HCP Inc.  6.000%  1/30/17  1,700  1,802 
HCP Inc.  5.625%  5/1/17  100  102 
HCP Inc.  6.700%  1/30/18  6,200  6,796 
Health Care REIT Inc.  6.000%  11/15/13  2,175  2,379 
Health Care REIT Inc.  6.200%  6/1/16  9,300  10,408 
Healthcare Realty Trust Inc.  5.125%  4/1/14  1,525  1,612 
Healthcare Realty Trust Inc.  6.500%  1/17/17  2,800  3,017 
Hospitality Properties Trust  6.750%  2/15/13  500  531 
Hospitality Properties Trust  7.875%  8/15/14  3,550  3,979 
Hospitality Properties Trust  5.125%  2/15/15  5,170  5,283 
Kimco Realty Corp.  5.783%  3/15/16  1,075  1,187 
Kimco Realty Corp.  6.875%  10/1/19  6,650  7,723 
Liberty Property LP  5.125%  3/2/15  8,400  9,150 
Liberty Property LP  5.500%  12/15/16  1,975  2,160 
Mack-Cali Realty LP  7.750%  8/15/19  2,200  2,626 
National Retail Properties Inc.  6.875%  10/15/17  11,000  12,462 
Nationwide Health Properties Inc.  6.250%  2/1/13  4,150  4,478 
ProLogis  7.625%  8/15/14  600  647 
ProLogis  5.625%  11/15/15  3,100  3,051 
ProLogis  5.750%  4/1/16  2,725  2,683 
ProLogis  5.625%  11/15/16  3,300  3,183 
ProLogis  7.375%  10/30/19  5,100  5,119 
ProLogis  6.875%  3/15/20  7,750  7,622 
Realty Income Corp.  5.950%  9/15/16  150  166 
Realty Income Corp.  6.750%  8/15/19  6,310  7,210 
Regency Centers LP  6.750%  1/15/12  6,250  6,664 
Regency Centers LP  5.250%  8/1/15  2,925  3,135 
Simon Property Group LP  6.750%  5/15/14  11,480  13,193 
Simon Property Group LP  4.200%  2/1/15  1,550  1,661 
Simon Property Group LP  5.100%  6/15/15  2,286  2,537 
Simon Property Group LP  5.750%  12/1/15  15,350  17,505 
Simon Property Group LP  6.100%  5/1/16  50  58 
Simon Property Group LP  5.250%  12/1/16  8,800  9,853 
Simon Property Group LP  5.875%  3/1/17  3,250  3,704 
Simon Property Group LP  6.125%  5/30/18  4,525  5,222 
Simon Property Group LP  5.650%  2/1/20  3,700  4,129 
Simon Property Group LP  6.750%  2/1/40  7,300  8,572 
Tanger Properties LP  6.150%  11/15/15  3,525  3,947 
        6,264,780 
Industrial (11.0%)         
Basic Industry (1.1%)         
Agrium Inc.  6.750%  1/15/19  7,100  8,427 


Airgas Inc.  4.500%  9/15/14  2,325  2,478 
Airgas Inc.  3.250%  10/1/15  5,400  5,412 
Alcoa Inc.  5.375%  1/15/13  4,010  4,256 
Alcoa Inc.  6.000%  7/15/13  10,975  11,926 
Alcoa Inc.  5.550%  2/1/17  500  516 
Alcoa Inc.  6.750%  7/15/18  200  215 
Alcoa Inc.  5.720%  2/23/19  5,288  5,341 
Alcoa Inc.  5.870%  2/23/22  1,787  1,773 
Alcoa Inc.  5.900%  2/1/27  12,365  12,160 
Alcoa Inc.  6.750%  1/15/28  13,550  13,630 
Alcoa Inc.  5.950%  2/1/37  7,500  6,859 
Allegheny Technologies Inc.  9.375%  6/1/19  25  30 
AngloGold Ashanti Holdings PLC  5.375%  4/15/20  1,450  1,534 
AngloGold Ashanti Holdings PLC  6.500%  4/15/40  2,275  2,370 
ArcelorMittal  5.375%  6/1/13  16,101  17,318 
ArcelorMittal  9.000%  2/15/15  13,425  16,205 
ArcelorMittal  3.750%  8/5/15  3,400  3,437 
ArcelorMittal  6.125%  6/1/18  9,025  9,713 
ArcelorMittal  9.850%  6/1/19  12,350  15,844 
ArcelorMittal  5.250%  8/5/20  3,600  3,623 
ArcelorMittal  7.000%  10/15/39  10,660  10,819 
Barrick Australian Finance Pty Ltd.  5.950%  10/15/39  2,675  3,022 
Barrick Gold Corp.  6.950%  4/1/19  11,574  14,663 
Barrick Gold Finance Co.  4.875%  11/15/14  2,700  2,987 
Barrick Gold Financeco LLC  6.125%  9/15/13  13,200  15,049 
Barrick North America Finance LLC  6.800%  9/15/18  5,325  6,653 
Barrick North America Finance LLC  7.500%  9/15/38  6,875  9,079 
BHP Billiton Finance USA Ltd.  5.125%  3/29/12  3,350  3,550 
BHP Billiton Finance USA Ltd.  8.500%  12/1/12  125  145 
BHP Billiton Finance USA Ltd.  4.800%  4/15/13  7,676  8,359 
BHP Billiton Finance USA Ltd.  5.500%  4/1/14  8,865  9,986 
BHP Billiton Finance USA Ltd.  5.250%  12/15/15  3,575  4,085 
BHP Billiton Finance USA Ltd.  5.400%  3/29/17  25  29 
BHP Billiton Finance USA Ltd.  6.500%  4/1/19  19,500  24,060 
Celulosa Arauco y Constitucion SA  5.125%  7/9/13  1,175  1,256 
^ Celulosa Arauco y Constitucion SA  5.625%  4/20/15  3,675  4,024 
Celulosa Arauco y Constitucion SA  7.250%  7/29/19  2,000  2,291 
4 Celulosa Arauco y Constitucion SA  5.000%  1/21/21  2,800  2,829 
Cliffs Natural Resources Inc.  5.900%  3/15/20  2,850  3,105 
Commercial Metals Co.  6.500%  7/15/17  2,250  2,310 
Commercial Metals Co.  7.350%  8/15/18  5,725  6,178 
Cytec Industries Inc.  8.950%  7/1/17  1,575  1,982 
Dow Chemical Co.  4.850%  8/15/12  16,630  17,590 
Dow Chemical Co.  6.000%  10/1/12  1,680  1,819 
Dow Chemical Co.  7.600%  5/15/14  12,500  14,609 
Dow Chemical Co.  5.900%  2/15/15  32,675  36,492 
Dow Chemical Co.  8.550%  5/15/19  8,937  11,280 
Dow Chemical Co.  7.375%  11/1/29  3,550  4,082 
Dow Chemical Co.  9.400%  5/15/39  325  461 
Eastman Chemical Co.  5.500%  11/15/19  2,200  2,447 
Eastman Chemical Co.  7.250%  1/15/24  6,864  8,449 
Eastman Chemical Co.  7.600%  2/1/27  3,979  4,876 
EI du Pont de Nemours & Co.  4.750%  11/15/12  3,320  3,581 
EI du Pont de Nemours & Co.  5.000%  1/15/13  6,333  6,896 
EI du Pont de Nemours & Co.  5.000%  7/15/13  7,075  7,851 


EI du Pont de Nemours & Co.  5.875%  1/15/14  9,125  10,426 
EI du Pont de Nemours & Co.  1.950%  1/15/16  1,800  1,796 
EI du Pont de Nemours & Co.  5.250%  12/15/16  836  975 
EI du Pont de Nemours & Co.  6.000%  7/15/18  6,725  8,080 
EI du Pont de Nemours & Co.  4.625%  1/15/20  2,050  2,280 
EI du Pont de Nemours & Co.  3.625%  1/15/21  6,150  6,234 
EI du Pont de Nemours & Co.  6.500%  1/15/28  1,700  2,055 
EI du Pont de Nemours & Co.  4.900%  1/15/41  1,950  1,941 
Freeport-McMoRan Copper & Gold Inc.  8.250%  4/1/15  14,720  15,750 
Freeport-McMoRan Copper & Gold Inc.  8.375%  4/1/17  20,610  22,929 
ICI Wilmington Inc.  5.625%  12/1/13  700  780 
International Paper Co.  5.300%  4/1/15  4,600  5,021 
International Paper Co.  7.950%  6/15/18  14,475  17,516 
International Paper Co.  9.375%  5/15/19  21,600  27,918 
International Paper Co.  7.500%  8/15/21  27,150  32,362 
International Paper Co.  8.700%  6/15/38  1,200  1,516 
International Paper Co.  7.300%  11/15/39  625  697 
Lubrizol Corp.  5.500%  10/1/14  10,125  11,138 
Lubrizol Corp.  8.875%  2/1/19  850  1,101 
Lubrizol Corp.  6.500%  10/1/34  8,485  9,319 
Monsanto Co.  7.375%  8/15/12  1,050  1,168 
Monsanto Co.  5.125%  4/15/18  3,100  3,521 
Monsanto Co.  5.875%  4/15/38  1,750  2,000 
4 Mosaic Co.  7.375%  12/1/14  5,200  5,447 
Newmont Mining Corp.  5.125%  10/1/19  1,550  1,734 
Newmont Mining Corp.  5.875%  4/1/35  2,600  2,826 
Newmont Mining Corp.  6.250%  10/1/39  24,052  27,572 
Nucor Corp.  5.000%  12/1/12  800  866 
Nucor Corp.  5.000%  6/1/13  200  218 
Nucor Corp.  5.750%  12/1/17  1,100  1,284 
Nucor Corp.  5.850%  6/1/18  5,200  6,103 
Nucor Corp.  6.400%  12/1/37  4,185  5,021 
Placer Dome Inc.  6.450%  10/15/35  2,175  2,529 
Plum Creek Timberlands LP  5.875%  11/15/15  3,550  3,942 
Potash Corp. of Saskatchewan Inc.  4.875%  3/1/13  3,950  4,227 
Potash Corp. of Saskatchewan Inc.  5.250%  5/15/14  775  851 
Potash Corp. of Saskatchewan Inc.  3.750%  9/30/15  5,350  5,572 
Potash Corp. of Saskatchewan Inc.  6.500%  5/15/19  150  175 
Potash Corp. of Saskatchewan Inc.  4.875%  3/30/20  7,050  7,466 
Potash Corp. of Saskatchewan Inc.  5.875%  12/1/36  1,250  1,316 
PPG Industries Inc.  5.750%  3/15/13  3,850  4,213 
PPG Industries Inc.  6.650%  3/15/18  8,650  10,462 
Praxair Inc.  6.375%  4/1/12  1,875  2,030 
Praxair Inc.  1.750%  11/15/12  2,400  2,446 
Praxair Inc.  3.950%  6/1/13  775  832 
Praxair Inc.  4.375%  3/31/14  2,775  3,046 
Praxair Inc.  5.250%  11/15/14  6,850  7,847 
Praxair Inc.  4.625%  3/30/15  325  365 
Praxair Inc.  3.250%  9/15/15  800  857 
Praxair Inc.  5.200%  3/15/17  1,100  1,269 
Praxair Inc.  4.500%  8/15/19  2,525  2,783 
Reliance Steel & Aluminum Co.  6.200%  11/15/16  250  266 
Reliance Steel & Aluminum Co.  6.850%  11/15/36  550  547 
Rio Tinto Alcan Inc.  4.875%  9/15/12  1,150  1,226 
Rio Tinto Alcan Inc.  4.500%  5/15/13  5,875  6,299 


Rio Tinto Alcan Inc.  5.200%  1/15/14  675  737 
Rio Tinto Alcan Inc.  5.000%  6/1/15  1,775  1,973 
Rio Tinto Alcan Inc.  6.125%  12/15/33  10,625  12,032 
Rio Tinto Finance USA Ltd.  5.875%  7/15/13  12,120  13,504 
Rio Tinto Finance USA Ltd.  8.950%  5/1/14  13,900  17,160 
Rio Tinto Finance USA Ltd.  6.500%  7/15/18  9,250  11,148 
Rio Tinto Finance USA Ltd.  9.000%  5/1/19  11,361  15,783 
Rio Tinto Finance USA Ltd.  7.125%  7/15/28  4,450  5,585 
Rohm and Haas Co.  5.600%  3/15/13  150  161 
Rohm and Haas Co.  6.000%  9/15/17  8,475  9,457 
Sherwin-Williams Co.  3.125%  12/15/14  3,225  3,424 
Southern Copper Corp.  5.375%  4/16/20  1,800  1,906 
Southern Copper Corp.  7.500%  7/27/35  9,100  10,526 
Southern Copper Corp.  6.750%  4/16/40  1,050  1,145 
Teck Resources Ltd.  9.750%  5/15/14  7,225  8,896 
Teck Resources Ltd.  10.250%  5/15/16  10,475  12,675 
Teck Resources Ltd.  3.850%  8/15/17  4,100  4,223 
Teck Resources Ltd.  10.750%  5/15/19  9,875  12,393 
Teck Resources Ltd.  6.125%  10/1/35  3,862  4,055 
Vale Inco Ltd.  7.750%  5/15/12  160  175 
Vale Inco Ltd.  5.700%  10/15/15  3,550  3,832 
Vale Inco Ltd.  7.200%  9/15/32  1,175  1,316 
Vale Overseas Ltd.  6.250%  1/11/16  2,050  2,301 
Vale Overseas Ltd.  6.250%  1/23/17  4,550  5,204 
Vale Overseas Ltd.  5.625%  9/15/19  11,100  12,333 
Vale Overseas Ltd.  4.625%  9/15/20  3,200  3,281 
Vale Overseas Ltd.  8.250%  1/17/34  2,450  3,133 
Vale Overseas Ltd.  6.875%  11/21/36  14,242  16,249 
Vale Overseas Ltd.  6.875%  11/10/39  18,320  21,047 
Valspar Corp.  7.250%  6/15/19  1,100  1,342 
WMC Finance USA Ltd.  5.125%  5/15/13  425  465 
Xstrata Canada Corp.  7.350%  6/5/12  1,075  1,162 
Xstrata Canada Corp.  7.250%  7/15/12  3,325  3,624 
Xstrata Canada Corp.  5.375%  6/1/15  350  378 
Xstrata Canada Corp.  6.000%  10/15/15  1,125  1,251 
Xstrata Canada Corp.  5.500%  6/15/17  5,575  6,070 
 
Capital Goods (1.1%)         
3M Co.  4.500%  11/1/11  425  443 
3M Co.  6.375%  2/15/28  3,650  4,473 
3M Co.  5.700%  3/15/37  5,000  5,879 
Acuity Brands Lighting Inc.  6.000%  12/15/19  2,975  3,280 
Allied Waste North America Inc.  7.125%  5/15/16  4,150  4,420 
4 BAE Systems Holdings Inc.  5.200%  8/15/15  600  666 
Bemis Co. Inc.  4.875%  4/1/12  1,375  1,432 
Bemis Co. Inc.  5.650%  8/1/14  2,625  2,955 
Black & Decker Corp.  8.950%  4/15/14  1,200  1,467 
Black & Decker Corp.  5.750%  11/15/16  2,325  2,677 
Boeing Capital Corp.  6.500%  2/15/12  12,775  13,772 
Boeing Capital Corp.  5.800%  1/15/13  436  482 
Boeing Capital Corp.  3.250%  10/27/14  700  748 
Boeing Co.  1.875%  11/20/12  6,885  7,030 
Boeing Co.  3.500%  2/15/15  14,150  15,309 
Boeing Co.  6.000%  3/15/19  25  30 
Boeing Co.  4.875%  2/15/20  3,200  3,640 


Boeing Co.  8.750%  8/15/21  800  1,153 
Boeing Co.  7.250%  6/15/25  675  889 
Boeing Co.  8.750%  9/15/31  850  1,284 
Boeing Co.  6.125%  2/15/33  800  952 
Boeing Co.  6.625%  2/15/38  1,820  2,310 
Boeing Co.  6.875%  3/15/39  1,950  2,498 
Boeing Co.  5.875%  2/15/40  3,950  4,635 
Caterpillar Financial Services Corp.  5.125%  10/12/11  600  628 
Caterpillar Financial Services Corp.  4.850%  12/7/12  300  325 
Caterpillar Financial Services Corp.  1.900%  12/17/12  1,850  1,888 
Caterpillar Financial Services Corp.  4.250%  2/8/13  4,175  4,482 
Caterpillar Financial Services Corp.  6.125%  2/17/14  17,175  19,773 
Caterpillar Financial Services Corp.  4.750%  2/17/15  4,550  5,091 
Caterpillar Financial Services Corp.  4.625%  6/1/15  2,625  2,932 
Caterpillar Financial Services Corp.  7.150%  2/15/19  38,800  49,907 
Caterpillar Inc.  7.000%  12/15/13  1,575  1,861 
Caterpillar Inc.  6.625%  7/15/28  2,075  2,550 
Caterpillar Inc.  7.300%  5/1/31  1,100  1,476 
Caterpillar Inc.  6.050%  8/15/36  17,125  20,620 
Caterpillar Inc.  8.250%  12/15/38  800  1,200 
Caterpillar Inc.  6.950%  5/1/42  950  1,241 
Caterpillar Inc.  7.375%  3/1/97  5,100  6,679 
Cooper US Inc.  5.250%  11/15/12  4,250  4,605 
Cooper US Inc.  5.450%  4/1/15  1,925  2,204 
CRH America Inc.  6.950%  3/15/12  5,185  5,535 
CRH America Inc.  5.300%  10/15/13  875  937 
CRH America Inc.  6.000%  9/30/16  12,511  13,930 
CRH America Inc.  8.125%  7/15/18  11,750  14,119 
Danaher Corp.  5.625%  1/15/18  2,375  2,802 
Danaher Corp.  5.400%  3/1/19  1,700  1,999 
Deere & Co.  6.950%  4/25/14  6,195  7,358 
Deere & Co.  4.375%  10/16/19  4,775  5,252 
Deere & Co.  5.375%  10/16/29  7,675  8,537 
Deere & Co.  8.100%  5/15/30  3,405  4,735 
Deere & Co.  7.125%  3/3/31  925  1,190 
Dover Corp.  5.450%  3/15/18  6,650  7,770 
Dover Corp.  5.375%  10/15/35  550  603 
Dover Corp.  6.600%  3/15/38  2,750  3,530 
Eaton Corp.  4.900%  5/15/13  11,085  12,095 
Eaton Corp.  5.600%  5/15/18  2,600  3,006 
Embraer Overseas Ltd.  6.375%  1/24/17  4,625  5,065 
Embraer Overseas Ltd.  6.375%  1/15/20  800  879 
Emerson Electric Co.  4.625%  10/15/12  6,625  7,116 
Emerson Electric Co.  4.500%  5/1/13  4,025  4,378 
Emerson Electric Co.  5.250%  10/15/18  6,625  7,750 
Emerson Electric Co.  4.875%  10/15/19  5,200  5,936 
Emerson Electric Co.  4.250%  11/15/20  425  467 
Emerson Electric Co.  6.000%  8/15/32  1,065  1,271 
Emerson Electric Co.  6.125%  4/15/39  1,575  1,920 
Emerson Electric Co.  5.250%  11/15/39  4,420  4,848 
General Dynamics Corp.  4.250%  5/15/13  7,615  8,264 
General Dynamics Corp.  5.250%  2/1/14  13,575  15,366 
General Electric Co.  5.000%  2/1/13  29,990  32,528 
General Electric Co.  5.250%  12/6/17  40,062  45,047 
Goodrich Corp.  6.125%  3/1/19  1,695  2,025 


Goodrich Corp.  4.875%  3/1/20  22,925  25,594 
Goodrich Corp.  3.600%  2/1/21  3,775  3,770 
Goodrich Corp.  6.800%  7/1/36  80  97 
Harsco Corp.  5.750%  5/15/18  19,813  22,887 
Honeywell International Inc.  6.125%  11/1/11  2,225  2,354 
Honeywell International Inc.  5.625%  8/1/12  3,550  3,861 
Honeywell International Inc.  4.250%  3/1/13  1,200  1,298 
Honeywell International Inc.  3.875%  2/15/14  425  462 
Honeywell International Inc.  5.400%  3/15/16  1,650  1,927 
Honeywell International Inc.  5.300%  3/15/17  5,100  5,912 
Honeywell International Inc.  5.300%  3/1/18  650  758 
Honeywell International Inc.  5.000%  2/15/19  1,825  2,105 
Honeywell International Inc.  5.700%  3/15/36  2,025  2,333 
Honeywell International Inc.  5.700%  3/15/37  4,125  4,766 
Illinois Tool Works Inc.  5.150%  4/1/14  4,875  5,528 
Illinois Tool Works Inc.  6.250%  4/1/19  8,925  10,885 
Ingersoll-Rand Global Holding Co. Ltd.  6.000%  8/15/13  4,150  4,658 
Ingersoll-Rand Global Holding Co. Ltd.  9.500%  4/15/14  13,475  16,514 
Ingersoll-Rand Global Holding Co. Ltd.  6.875%  8/15/18  5,825  7,047 
John Deere Capital Corp.  5.400%  10/17/11  5,025  5,277 
John Deere Capital Corp.  5.350%  1/17/12  3,650  3,868 
John Deere Capital Corp.  7.000%  3/15/12  12,493  13,627 
John Deere Capital Corp.  5.250%  10/1/12  850  924 
John Deere Capital Corp.  4.950%  12/17/12  3,450  3,745 
John Deere Capital Corp.  4.900%  9/9/13  8,275  9,164 
John Deere Capital Corp.  2.950%  3/9/15  7,375  7,792 
John Deere Capital Corp.  5.500%  4/13/17  50  58 
John Deere Capital Corp.  2.800%  9/18/17  5,625  5,661 
John Deere Capital Corp.  5.750%  9/10/18  4,575  5,426 
Joy Global Inc.  6.000%  11/15/16  1,850  2,049 
L-3 Communications Corp.  5.200%  10/15/19  4,650  5,026 
L-3 Communications Corp.  4.750%  7/15/20  2,900  3,041 
Lafarge SA  6.500%  7/15/16  6,625  7,133 
Lafarge SA  7.125%  7/15/36  20,175  19,335 
Litton Industries Inc.  7.750%  3/15/26  3,925  5,260 
Lockheed Martin Corp.  4.121%  3/14/13  2,250  2,417 
Lockheed Martin Corp.  7.650%  5/1/16  4,800  6,098 
Lockheed Martin Corp.  4.250%  11/15/19  4,650  5,046 
Lockheed Martin Corp.  6.150%  9/1/36  10,500  12,430 
Lockheed Martin Corp.  5.500%  11/15/39  1,850  2,021 
4 Lockheed Martin Corp.  5.720%  6/1/40  632  717 
Martin Marietta Materials Inc.  6.600%  4/15/18  5,450  6,168 
Northrop Grumman Systems Corp.  7.750%  3/1/16  7,337  9,273 
Northrop Grumman Systems Corp.  7.875%  3/1/26  2,075  2,864 
Northrop Grumman Systems Corp.  7.750%  2/15/31  381  523 
Owens Corning  6.500%  12/1/16  25,430  27,498 
Owens Corning  7.000%  12/1/36  775  795 
Parker Hannifin Corp.  5.500%  5/15/18  1,375  1,611 
Parker Hannifin Corp.  3.500%  9/15/22  500  503 
Parker Hannifin Corp.  6.250%  5/15/38  4,735  5,729 
Raytheon Co.  5.500%  11/15/12  2,400  2,624 
Raytheon Co.  6.400%  12/15/18  400  495 
Raytheon Co.  4.400%  2/15/20  2,500  2,776 
Raytheon Co.  7.200%  8/15/27  3,575  4,696 
Republic Services Inc.  5.500%  9/15/19  23,750  26,735 


Republic Services Inc.  5.000%  3/1/20  3,075  3,347 
Republic Services Inc.  5.250%  11/15/21  12,735  14,071 
Republic Services Inc.  6.086%  3/15/35  2,375  2,531 
Republic Services Inc.  6.200%  3/1/40  3,125  3,521 
Rockwell Automation Inc.  5.650%  12/1/17  1,150  1,344 
Rockwell Automation Inc.  6.700%  1/15/28  1,025  1,250 
Rockwell Automation Inc.  6.250%  12/1/37  3,975  4,816 
Rockwell Collins Inc.  5.250%  7/15/19  850  974 
Roper Industries Inc.  6.625%  8/15/13  9,250  10,451 
Roper Industries Inc.  6.250%  9/1/19  2,350  2,717 
Stanley Black & Decker Inc.  5.200%  9/1/40  2,000  2,000 
3,4 Systems 2001 AT LLC  7.156%  12/15/11  665  689 
Textron Inc.  5.600%  12/1/17  975  1,047 
Tyco International Finance SA  6.000%  11/15/13  4,575  5,177 
Tyco International Finance SA  8.500%  1/15/19  925  1,230 
Tyco International Ltd. / Tyco International         
Finance SA  7.000%  12/15/19  2,975  3,724 
Tyco International Ltd. / Tyco International         
Finance SA  6.875%  1/15/21  5,360  6,667 
United Technologies Corp.  6.100%  5/15/12  125  136 
United Technologies Corp.  4.875%  5/1/15  125  143 
United Technologies Corp.  5.375%  12/15/17  12,175  14,276 
United Technologies Corp.  6.125%  2/1/19  733  903 
United Technologies Corp.  4.500%  4/15/20  26,475  29,658 
United Technologies Corp.  6.700%  8/1/28  1,367  1,725 
United Technologies Corp.  7.500%  9/15/29  2,325  3,139 
United Technologies Corp.  5.400%  5/1/35  6,375  6,884 
United Technologies Corp.  6.050%  6/1/36  5,152  6,062 
United Technologies Corp.  6.125%  7/15/38  3,308  3,982 
United Technologies Corp.  5.700%  4/15/40  7,725  8,896 
Vulcan Materials Co.  6.300%  6/15/13  2,625  2,850 
Vulcan Materials Co.  7.000%  6/15/18  4,675  5,182 
Waste Management Inc.  6.375%  11/15/12  700  769 
Waste Management Inc.  5.000%  3/15/14  1,175  1,291 
Waste Management Inc.  6.375%  3/11/15  3,400  3,978 
Waste Management Inc.  7.375%  3/11/19  9,632  12,044 
Waste Management Inc.  4.750%  6/30/20  500  535 
Waste Management Inc.  7.100%  8/1/26  1,050  1,271 
Waste Management Inc.  7.000%  7/15/28  80  97 
Waste Management Inc.  7.750%  5/15/32  850  1,079 
Waste Management Inc.  6.125%  11/30/39  7,575  8,448 
 
Communication (2.3%)         
Alltel Corp.  7.000%  3/15/16  5,000  6,080 
Alltel Corp.  7.875%  7/1/32  4,475  5,979 
America Movil SAB de CV  5.500%  3/1/14  2,150  2,386 
America Movil SAB de CV  5.750%  1/15/15  14,650  16,628 
America Movil SAB de CV  5.625%  11/15/17  4,550  5,124 
America Movil SAB de CV  5.000%  10/16/19  2,200  2,378 
America Movil SAB de CV  5.000%  3/30/20  1,200  1,295 
America Movil SAB de CV  6.375%  3/1/35  18,125  20,671 
America Movil SAB de CV  6.125%  11/15/37  4,300  4,743 
America Movil SAB de CV  6.125%  3/30/40  7,400  8,227 
American Tower Corp.  4.625%  4/1/15  1,075  1,146 
AT&T Corp.  7.300%  11/15/11  7,400  7,932 


AT&T Corp.  8.000%  11/15/31  15,989  21,283 
AT&T Inc.  5.875%  2/1/12  5,736  6,110 
AT&T Inc.  5.875%  8/15/12  4,960  5,404 
AT&T Inc.  4.950%  1/15/13  16,685  18,137 
AT&T Inc.  6.700%  11/15/13  5,825  6,742 
AT&T Inc.  4.850%  2/15/14  8,100  8,986 
AT&T Inc.  5.100%  9/15/14  12,310  13,825 
AT&T Inc.  2.500%  8/15/15  2,850  2,909 
AT&T Inc.  5.625%  6/15/16  33,520  39,131 
AT&T Inc.  5.500%  2/1/18  2,181  2,534 
AT&T Inc.  5.600%  5/15/18  6,050  7,083 
AT&T Inc.  5.800%  2/15/19  45,320  53,987 
AT&T Inc.  6.450%  6/15/34  5,625  6,400 
AT&T Inc.  6.150%  9/15/34  350  386 
AT&T Inc.  6.800%  5/15/36  312  365 
AT&T Inc.  6.500%  9/1/37  25,675  29,695 
AT&T Inc.  6.300%  1/15/38  25,327  28,518 
AT&T Inc.  6.400%  5/15/38  5,895  6,726 
AT&T Inc.  6.550%  2/15/39  9,175  10,711 
4 AT&T Inc.  5.350%  9/1/40  7,912  8,054 
AT&T Mobility LLC  6.500%  12/15/11  3,175  3,388 
AT&T Mobility LLC  7.125%  12/15/31  10,265  12,661 
Bellsouth Capital Funding Corp.  7.875%  2/15/30  10,400  13,115 
BellSouth Corp.  6.000%  10/15/11  250  264 
BellSouth Corp.  5.200%  9/15/14  1,650  1,850 
BellSouth Corp.  5.200%  12/15/16  5,850  6,679 
BellSouth Corp.  6.875%  10/15/31  5,100  5,904 
BellSouth Corp.  6.550%  6/15/34  7,136  7,978 
BellSouth Corp.  6.000%  11/15/34  4,586  4,852 
BellSouth Telecommunications Inc.  6.375%  6/1/28  7,300  8,023 
British Telecommunications PLC  5.150%  1/15/13  8,323  8,892 
British Telecommunications PLC  5.950%  1/15/18  11,850  13,203 
British Telecommunications PLC  9.875%  12/15/30  12,600  17,492 
CBS Corp.  5.625%  8/15/12  3,060  3,252 
CBS Corp.  4.625%  5/15/18  400  412 
CBS Corp.  8.875%  5/15/19  4,575  5,938 
CBS Corp.  5.750%  4/15/20  8,725  9,693 
CBS Corp.  7.875%  7/30/30  2,016  2,413 
CBS Corp.  5.500%  5/15/33  650  632 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.250%  2/1/12  8,975  9,511 
Cellco Partnership / Verizon Wireless Capital         
LLC  7.375%  11/15/13  21,575  25,534 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.550%  2/1/14  31,767  35,866 
Cellco Partnership / Verizon Wireless Capital         
LLC  8.500%  11/15/18  17,300  23,556 
CenturyLink Inc.  5.000%  2/15/15  500  522 
CenturyLink Inc.  6.000%  4/1/17  325  343 
CenturyLink Inc.  6.150%  9/15/19  2,550  2,619 
CenturyLink Inc.  6.875%  1/15/28  800  779 
CenturyLink Inc.  7.600%  9/15/39  4,875  4,790 
Comcast Cable Communications Holdings         
Inc.  8.375%  3/15/13  2,777  3,229 


Comcast Cable Communications Holdings         
Inc.  9.455%  11/15/22  7,156  10,092 
Comcast Cable Communications LLC  6.750%  1/30/11  10,640  10,852 
Comcast Cable Communications LLC  8.875%  5/1/17  2,475  3,204 
Comcast Corp.  5.300%  1/15/14  4,180  4,659 
Comcast Corp.  6.500%  1/15/15  2,625  3,083 
Comcast Corp.  5.900%  3/15/16  10,475  12,075 
Comcast Corp.  6.500%  1/15/17  325  386 
Comcast Corp.  6.300%  11/15/17  38,075  44,951 
Comcast Corp.  5.875%  2/15/18  13,550  15,606 
Comcast Corp.  5.700%  5/15/18  4,600  5,255 
Comcast Corp.  5.700%  7/1/19  1,150  1,317 
Comcast Corp.  5.150%  3/1/20  800  874 
Comcast Corp.  5.650%  6/15/35  2,975  2,990 
Comcast Corp.  6.500%  11/15/35  16,300  18,051 
Comcast Corp.  6.450%  3/15/37  861  950 
Comcast Corp.  6.950%  8/15/37  5,635  6,588 
Comcast Corp.  6.400%  5/15/38  1,500  1,647 
COX Communications Inc.  7.125%  10/1/12  8,625  9,537 
COX Communications Inc.  5.450%  12/15/14  10,060  11,384 
COX Communications Inc.  5.500%  10/1/15  625  705 
Deutsche Telekom International Finance BV  5.875%  8/20/13  11,050  12,368 
Deutsche Telekom International Finance BV  4.875%  7/8/14  5,025  5,536 
Deutsche Telekom International Finance BV  5.750%  3/23/16  7,595  8,783 
Deutsche Telekom International Finance BV  6.750%  8/20/18  325  399 
Deutsche Telekom International Finance BV  6.000%  7/8/19  7,175  8,567 
Deutsche Telekom International Finance BV  8.750%  6/15/30  16,936  23,657 
DIRECTV Holdings LLC  3.550%  3/15/15  8,200  8,525 
DIRECTV Holdings LLC  5.200%  3/15/20  3,950  4,256 
DIRECTV Holdings LLC  6.350%  3/15/40  1,875  2,022 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.750%  10/1/14  3,875  4,227 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  7.625%  5/15/16  3,575  3,977 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  5.875%  10/1/19  29,500  33,364 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.600%  2/15/21  250  256 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  6.000%  8/15/40  2,250  2,316 
Discovery Communications LLC  5.050%  6/1/20  8,500  9,246 
Discovery Communications LLC  6.350%  6/1/40  250  278 
Embarq Corp.  6.738%  6/1/13  500  549 
Embarq Corp.  7.082%  6/1/16  17,331  19,088 
Embarq Corp.  7.995%  6/1/36  15,140  16,093 
France Telecom SA  4.375%  7/8/14  5,900  6,513 
France Telecom SA  2.125%  9/16/15  1,500  1,512 
France Telecom SA  8.500%  3/1/31  16,300  23,596 
Grupo Televisa SA  6.625%  3/18/25  3,450  3,912 
Grupo Televisa SA  8.500%  3/11/32  550  738 
Grupo Televisa SA  6.625%  1/15/40  2,250  2,559 
GTE Corp.  8.750%  11/1/21  3,060  4,310 
GTE Corp.  6.940%  4/15/28  3,670  4,264 
Koninklijke KPN NV  8.375%  10/1/30  3,505  4,791 
McGraw-Hill Cos. Inc.  5.375%  11/15/12  1,550  1,650 


McGraw-Hill Cos. Inc.  5.900%  11/15/17  5,050  5,733 
McGraw-Hill Cos. Inc.  6.550%  11/15/37  6,650  7,627 
4 NBC Universal Inc.  2.100%  4/1/14  3,300  3,301 
4 NBC Universal Inc.  3.650%  4/30/15  8,175  8,597 
4 NBC Universal Inc.  2.875%  4/1/16  4,275  4,290 
4 NBC Universal Inc.  5.150%  4/30/20  7,425  7,966 
4 NBC Universal Inc.  4.375%  4/1/21  4,225  4,267 
4 NBC Universal Inc.  6.400%  4/30/40  17,075  18,463 
4 NBC Universal Inc.  5.950%  4/1/41  3,100  3,126 
New Cingular Wireless Services Inc.  8.125%  5/1/12  25,779  28,666 
New Cingular Wireless Services Inc.  8.750%  3/1/31  695  1,009 
News America Holdings Inc.  9.250%  2/1/13  151  176 
News America Holdings Inc.  8.000%  10/17/16  3,840  4,868 
News America Holdings Inc.  7.700%  10/30/25  700  851 
News America Holdings Inc.  8.150%  10/17/36  2,175  2,756 
News America Holdings Inc.  7.750%  12/1/45  1,460  1,832 
News America Inc.  5.300%  12/15/14  4,050  4,590 
News America Inc.  7.250%  5/18/18  150  186 
News America Inc.  6.900%  3/1/19  2,500  3,060 
News America Inc.  6.550%  3/15/33  11,665  13,038 
News America Inc.  6.200%  12/15/34  14,366  15,518 
News America Inc.  6.400%  12/15/35  17,560  19,391 
News America Inc.  6.900%  8/15/39  4,900  5,774 
Omnicom Group Inc.  5.900%  4/15/16  750  863 
Omnicom Group Inc.  4.450%  8/15/20  12,000  12,350 
Pacific Bell Telephone Co.  7.125%  3/15/26  1,275  1,505 
Qwest Corp.  8.875%  3/15/12  8,886  9,764 
Qwest Corp.  7.500%  10/1/14  8,200  9,225 
Qwest Corp.  8.375%  5/1/16  14,450  16,979 
Qwest Corp.  6.500%  6/1/17  3,300  3,589 
Qwest Corp.  7.500%  6/15/23  3,925  3,920 
Qwest Corp.  7.250%  9/15/25  1,360  1,425 
Qwest Corp.  6.875%  9/15/33  7,150  7,061 
Qwest Corp.  7.125%  11/15/43  4,775  4,584 
Reed Elsevier Capital Inc.  4.625%  6/15/12  1,100  1,166 
Reed Elsevier Capital Inc.  7.750%  1/15/14  3,825  4,466 
Reed Elsevier Capital Inc.  8.625%  1/15/19  3,775  4,961 
Rogers Communications Inc.  7.250%  12/15/12  3,090  3,486 
Rogers Communications Inc.  6.375%  3/1/14  13,425  15,469 
Rogers Communications Inc.  5.500%  3/15/14  1,450  1,620 
Rogers Communications Inc.  6.800%  8/15/18  31,940  39,332 
Rogers Communications Inc.  7.500%  8/15/38  725  938 
RR Donnelley & Sons Co.  4.950%  4/1/14  1,000  1,038 
RR Donnelley & Sons Co.  5.500%  5/15/15  1,335  1,391 
RR Donnelley & Sons Co.  8.600%  8/15/16  9,325  10,883 
RR Donnelley & Sons Co.  6.125%  1/15/17  6,325  6,600 
RR Donnelley & Sons Co.  7.625%  6/15/20  1,150  1,198 
TCI Communications Inc.  8.750%  8/1/15  17,750  22,436 
TCI Communications Inc.  7.875%  2/15/26  580  717 
Telecom Italia Capital SA  4.875%  10/1/10  2,650  2,650 
Telecom Italia Capital SA  5.250%  11/15/13  7,033  7,562 
Telecom Italia Capital SA  6.175%  6/18/14  3,500  3,874 
Telecom Italia Capital SA  4.950%  9/30/14  4,770  5,089 
Telecom Italia Capital SA  5.250%  10/1/15  19,105  20,669 
Telecom Italia Capital SA  6.999%  6/4/18  5,540  6,383 


Telecom Italia Capital SA  7.175%  6/18/19  21,200  24,899 
Telecom Italia Capital SA  6.375%  11/15/33  6,555  6,464 
Telecom Italia Capital SA  6.000%  9/30/34  1,325  1,247 
Telecom Italia Capital SA  7.200%  7/18/36  2,865  3,069 
Telecom Italia Capital SA  7.721%  6/4/38  14,518  16,390 
Telefonica Emisiones SAU  5.855%  2/4/13  1,975  2,152 
Telefonica Emisiones SAU  2.582%  4/26/13  4,800  4,904 
Telefonica Emisiones SAU  4.949%  1/15/15  10,325  11,344 
Telefonica Emisiones SAU  3.729%  4/27/15  4,875  5,100 
Telefonica Emisiones SAU  6.421%  6/20/16  15,610  18,341 
Telefonica Emisiones SAU  5.877%  7/15/19  5,475  6,287 
Telefonica Emisiones SAU  5.134%  4/27/20  9,625  10,463 
Telefonica Emisiones SAU  7.045%  6/20/36  10,834  13,036 
Telefonica Europe BV  8.250%  9/15/30  4,675  6,185 
Telefonos de Mexico SAB de CV  5.500%  1/27/15  15,900  17,535 
Thomson Reuters Corp.  5.950%  7/15/13  1,965  2,211 
Thomson Reuters Corp.  5.700%  10/1/14  8,400  9,621 
Thomson Reuters Corp.  6.500%  7/15/18  625  758 
Thomson Reuters Corp.  4.700%  10/15/19  1,825  2,006 
Thomson Reuters Corp.  5.500%  8/15/35  5,125  5,382 
Thomson Reuters Corp.  5.850%  4/15/40  7,525  8,270 
Time Warner Cable Inc.  5.400%  7/2/12  9,586  10,270 
Time Warner Cable Inc.  6.200%  7/1/13  7,925  8,917 
Time Warner Cable Inc.  8.250%  2/14/14  2,725  3,247 
Time Warner Cable Inc.  7.500%  4/1/14  18,275  21,452 
Time Warner Cable Inc.  3.500%  2/1/15  3,625  3,801 
Time Warner Cable Inc.  5.850%  5/1/17  18,790  21,421 
Time Warner Cable Inc.  6.750%  7/1/18  20,030  23,815 
Time Warner Cable Inc.  8.750%  2/14/19  6,325  8,337 
Time Warner Cable Inc.  8.250%  4/1/19  8,750  11,282 
Time Warner Cable Inc.  5.000%  2/1/20  6,875  7,357 
Time Warner Cable Inc.  6.550%  5/1/37  11,611  13,056 
Time Warner Cable Inc.  7.300%  7/1/38  95  115 
Time Warner Cable Inc.  6.750%  6/15/39  12,700  14,591 
Time Warner Entertainment Co. LP  10.150%  5/1/12  1,025  1,160 
Time Warner Entertainment Co. LP  8.875%  10/1/12  950  1,078 
Time Warner Entertainment Co. LP  8.375%  3/15/23  2,340  3,061 
Time Warner Entertainment Co. LP  8.375%  7/15/33  7,710  9,978 
United States Cellular Corp.  6.700%  12/15/33  4,500  4,711 
Verizon Communications Inc.  4.350%  2/15/13  1,350  1,456 
Verizon Communications Inc.  5.250%  4/15/13  6,250  6,909 
Verizon Communications Inc.  4.900%  9/15/15  425  485 
Verizon Communications Inc.  5.550%  2/15/16  9,850  11,429 
Verizon Communications Inc.  5.500%  2/15/18  21,781  25,093 
Verizon Communications Inc.  6.100%  4/15/18  7,600  9,054 
Verizon Communications Inc.  8.750%  11/1/18  3,325  4,516 
Verizon Communications Inc.  6.350%  4/1/19  42,741  52,087 
Verizon Communications Inc.  5.850%  9/15/35  15,050  16,143 
Verizon Communications Inc.  6.250%  4/1/37  5,075  5,749 
Verizon Communications Inc.  6.400%  2/15/38  2,180  2,510 
Verizon Communications Inc.  6.900%  4/15/38  14,535  17,784 
Verizon Communications Inc.  8.950%  3/1/39  11,450  16,740 
Verizon Global Funding Corp.  6.875%  6/15/12  16,075  17,686 
Verizon Global Funding Corp.  7.375%  9/1/12  6,575  7,365 
Verizon Global Funding Corp.  4.375%  6/1/13  860  936 


Verizon Global Funding Corp.  7.750%  12/1/30  12,591  16,214 
Verizon Maryland Inc.  6.125%  3/1/12  400  428 
Verizon Maryland Inc.  5.125%  6/15/33  405  367 
Verizon New England Inc.  7.875%  11/15/29  1,385  1,601 
Verizon New Jersey Inc.  5.875%  1/17/12  6,115  6,482 
Verizon New York Inc.  6.875%  4/1/12  2,735  2,963 
Verizon New York Inc.  7.375%  4/1/32  2,200  2,595 
Verizon Pennsylvania Inc.  5.650%  11/15/11  9,075  9,535 
Verizon Virginia Inc.  4.625%  3/15/13  6,000  6,446 
Vodafone Group PLC  5.350%  2/27/12  2,075  2,197 
Vodafone Group PLC  5.000%  12/16/13  8,150  8,967 
Vodafone Group PLC  4.150%  6/10/14  5,075  5,485 
Vodafone Group PLC  5.375%  1/30/15  4,175  4,709 
Vodafone Group PLC  5.000%  9/15/15  1,600  1,801 
Vodafone Group PLC  3.375%  11/24/15  625  656 
Vodafone Group PLC  5.750%  3/15/16  5,650  6,484 
Vodafone Group PLC  5.625%  2/27/17  13,256  15,137 
Vodafone Group PLC  4.625%  7/15/18  200  216 
Vodafone Group PLC  5.450%  6/10/19  10,475  12,148 
Vodafone Group PLC  7.875%  2/15/30  3,300  4,374 
Vodafone Group PLC  6.250%  11/30/32  7,775  9,021 
Vodafone Group PLC  6.150%  2/27/37  3,700  4,356 
Washington Post Co.  7.250%  2/1/19  2,575  3,104 
WPP Finance UK  5.875%  6/15/14  6,900  7,639 
WPP Finance UK  8.000%  9/15/14  7,225  8,604 
 
Consumer Cyclical (1.0%)         
AutoZone Inc.  6.500%  1/15/14  2,025  2,286 
AutoZone Inc.  5.750%  1/15/15  8,375  9,491 
Best Buy Co. Inc.  6.750%  7/15/13  9,350  10,466 
BorgWarner Inc.  4.625%  9/15/20  1,000  1,013 
Costco Wholesale Corp.  5.500%  3/15/17  10,725  12,734 
CVS Caremark Corp.  4.875%  9/15/14  1,375  1,525 
CVS Caremark Corp.  3.250%  5/18/15  2,525  2,643 
CVS Caremark Corp.  6.125%  8/15/16  2,475  2,917 
CVS Caremark Corp.  5.750%  6/1/17  12,430  14,276 
CVS Caremark Corp.  6.600%  3/15/19  12,700  15,384 
CVS Caremark Corp.  4.750%  5/18/20  625  679 
CVS Caremark Corp.  6.250%  6/1/27  24,275  27,615 
3 CVS Caremark Corp.  6.302%  6/1/37  4,475  4,168 
CVS Caremark Corp.  6.125%  9/15/39  2,775  3,063 
Daimler Finance North America LLC  7.300%  1/15/12  19,191  20,611 
Daimler Finance North America LLC  6.500%  11/15/13  12,000  13,729 
Daimler Finance North America LLC  8.500%  1/18/31  5,230  7,142 
Darden Restaurants Inc.  5.625%  10/15/12  3,650  3,944 
Darden Restaurants Inc.  6.200%  10/15/17  8,805  10,294 
Darden Restaurants Inc.  6.800%  10/15/37  14,375  16,562 
4 Expedia Inc.  5.950%  8/15/20  3,450  3,510 
Historic TW Inc.  9.150%  2/1/23  9,550  12,984 
Historic TW Inc.  6.625%  5/15/29  8,100  9,183 
Home Depot Inc.  5.250%  12/16/13  11,175  12,409 
Home Depot Inc.  5.400%  3/1/16  4,851  5,519 
Home Depot Inc.  3.950%  9/15/20  4,500  4,586 
Home Depot Inc.  5.875%  12/16/36  8,625  9,144 
Home Depot Inc.  5.400%  9/15/40  1,900  1,897 


International Game Technology  7.500%  6/15/19  1,600  1,896 
International Game Technology  5.500%  6/15/20  3,000  3,217 
Johnson Controls Inc.  5.000%  3/30/20  21,962  24,142 
Johnson Controls Inc.  6.000%  1/15/36  950  1,043 
Kohl's Corp.  6.250%  12/15/17  2,300  2,743 
Kohl's Corp.  6.000%  1/15/33  725  792 
Kohl's Corp.  6.875%  12/15/37  3,000  3,721 
Lowe's Cos. Inc.  5.600%  9/15/12  2,850  3,115 
Lowe's Cos. Inc.  5.400%  10/15/16  12,350  14,592 
Lowe's Cos. Inc.  6.100%  9/15/17  2,250  2,737 
Lowe's Cos. Inc.  6.875%  2/15/28  560  689 
Lowe's Cos. Inc.  6.500%  3/15/29  3,676  4,340 
Lowe's Cos. Inc.  5.800%  10/15/36  6,475  7,224 
Lowe's Cos. Inc.  5.800%  4/15/40  500  562 
Marriott International Inc.  4.625%  6/15/12  3,200  3,349 
Marriott International Inc.  5.625%  2/15/13  2,375  2,531 
Marriott International Inc.  6.200%  6/15/16  1,500  1,679 
Marriott International Inc.  6.375%  6/15/17  1,750  1,944 
McDonald's Corp.  5.300%  3/15/17  850  983 
McDonald's Corp.  5.800%  10/15/17  5,550  6,697 
McDonald's Corp.  5.350%  3/1/18  6,200  7,265 
McDonald's Corp.  5.000%  2/1/19  3,150  3,632 
McDonald's Corp.  6.300%  10/15/37  1,950  2,414 
McDonald's Corp.  6.300%  3/1/38  5,250  6,499 
McDonald's Corp.  5.700%  2/1/39  2,400  2,757 
MDC Holdings Inc.  5.500%  5/15/13  2,875  2,985 
Nordstrom Inc.  6.750%  6/1/14  1,675  1,948 
Nordstrom Inc.  6.250%  1/15/18  10,950  12,795 
Nordstrom Inc.  4.750%  5/1/20  4,500  4,811 
Nordstrom Inc.  6.950%  3/15/28  1,075  1,256 
Nordstrom Inc.  7.000%  1/15/38  2,050  2,442 
PACCAR Financial Corp.  1.950%  12/17/12  5,200  5,295 
PACCAR Financial Corp.  2.050%  6/17/13  9,100  9,296 
PACCAR Inc.  6.875%  2/15/14  3,575  4,178 
Staples Inc.  9.750%  1/15/14  19,300  23,787 
Target Corp.  5.875%  3/1/12  5,325  5,712 
Target Corp.  5.125%  1/15/13  425  465 
Target Corp.  4.000%  6/15/13  1,680  1,814 
Target Corp.  5.875%  7/15/16  11,850  14,193 
Target Corp.  5.375%  5/1/17  6,475  7,550 
Target Corp.  6.000%  1/15/18  6,025  7,270 
Target Corp.  3.875%  7/15/20  4,850  5,103 
Target Corp.  7.000%  7/15/31  3,700  4,643 
Target Corp.  6.350%  11/1/32  7,600  8,916 
Target Corp.  6.500%  10/15/37  6,975  8,504 
Target Corp.  7.000%  1/15/38  5,535  7,143 
Time Warner Cos. Inc.  7.570%  2/1/24  1,530  1,906 
Time Warner Cos. Inc.  6.950%  1/15/28  80  93 
Time Warner Inc.  3.150%  7/15/15  575  596 
Time Warner Inc.  5.875%  11/15/16  9,225  10,696 
Time Warner Inc.  4.875%  3/15/20  14,350  15,544 
Time Warner Inc.  4.700%  1/15/21  2,700  2,866 
Time Warner Inc.  7.625%  4/15/31  9,260  11,413 
Time Warner Inc.  7.700%  5/1/32  9,371  11,680 
Time Warner Inc.  6.500%  11/15/36  6,750  7,537 


Time Warner Inc.  6.200%  3/15/40  4,850  5,274 
Time Warner Inc.  6.100%  7/15/40  6,300  6,762 
TJX Cos. Inc.  6.950%  4/15/19  18,660  23,739 
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  3,188 
Toll Brothers Finance Corp.  6.750%  11/1/19  4,925  5,087 
Toyota Motor Credit Corp.  3.200%  6/17/15  15,725  16,655 
Toyota Motor Credit Corp.  4.500%  6/17/20  1,400  1,551 
VF Corp.  5.950%  11/1/17  2,700  3,163 
VF Corp.  6.450%  11/1/37  2,375  2,846 
Viacom Inc.  4.375%  9/15/14  6,275  6,823 
Viacom Inc.  6.250%  4/30/16  1,168  1,370 
Viacom Inc.  6.125%  10/5/17  2,325  2,722 
Viacom Inc.  5.625%  9/15/19  14,660  16,712 
Viacom Inc.  6.875%  4/30/36  1,435  1,684 
Wal-Mart Stores Inc.  4.550%  5/1/13  16,071  17,586 
Wal-Mart Stores Inc.  7.250%  6/1/13  900  1,050 
Wal-Mart Stores Inc.  3.200%  5/15/14  20,000  21,455 
Wal-Mart Stores Inc.  4.500%  7/1/15  2,450  2,777 
Wal-Mart Stores Inc.  2.250%  7/8/15  3,850  3,987 
Wal-Mart Stores Inc.  5.375%  4/5/17  2,025  2,399 
Wal-Mart Stores Inc.  5.800%  2/15/18  17,050  20,497 
Wal-Mart Stores Inc.  3.625%  7/8/20  9,875  10,319 
Wal-Mart Stores Inc.  5.875%  4/5/27  18,000  21,114 
Wal-Mart Stores Inc.  7.550%  2/15/30  11,645  15,759 
Wal-Mart Stores Inc.  5.250%  9/1/35  5,865  6,281 
Wal-Mart Stores Inc.  6.500%  8/15/37  20,686  25,850 
Wal-Mart Stores Inc.  6.200%  4/15/38  3,395  4,093 
Wal-Mart Stores Inc.  5.625%  4/1/40  4,250  4,807 
Wal-Mart Stores Inc.  4.875%  7/8/40  1,950  1,985 
Walgreen Co.  4.875%  8/1/13  11,750  13,018 
Walgreen Co.  5.250%  1/15/19  4,600  5,347 
Walt Disney Co.  6.375%  3/1/12  1,450  1,564 
Walt Disney Co.  4.700%  12/1/12  575  622 
Walt Disney Co.  4.500%  12/15/13  7,875  8,716 
Walt Disney Co.  5.625%  9/15/16  6,300  7,554 
Walt Disney Co.  5.875%  12/15/17  5,350  6,486 
Walt Disney Co.  5.500%  3/15/19  1,400  1,667 
Walt Disney Co.  7.000%  3/1/32  1,025  1,346 
Western Union Co.  6.500%  2/26/14  2,850  3,260 
Western Union Co.  5.930%  10/1/16  5,500  6,443 
4 Western Union Co.  5.253%  4/1/20  3,946  4,257 
Western Union Co.  6.200%  11/17/36  2,775  3,006 
Western Union Co.  6.200%  6/21/40  5,375  5,830 
Yum! Brands Inc.  7.700%  7/1/12  2,525  2,778 
Yum! Brands Inc.  6.250%  4/15/16  3,525  4,144 
Yum! Brands Inc.  6.250%  3/15/18  125  148 
Yum! Brands Inc.  3.875%  11/1/20  825  821 
Yum! Brands Inc.  6.875%  11/15/37  8,250  9,811 
 
Consumer Noncyclical (2.7%)         
Abbott Laboratories  5.150%  11/30/12  2,975  3,256 
Abbott Laboratories  4.350%  3/15/14  3,675  4,056 
Abbott Laboratories  2.700%  5/27/15  5,925  6,235 


Abbott Laboratories  5.875%  5/15/16  15,811  18,954 
Abbott Laboratories  5.600%  11/30/17  16,125  19,186 
Abbott Laboratories  5.125%  4/1/19  3,720  4,279 
Abbott Laboratories  4.125%  5/27/20  2,750  2,979 
Abbott Laboratories  6.150%  11/30/37  5,225  6,297 
Abbott Laboratories  6.000%  4/1/39  1,950  2,304 
Abbott Laboratories  5.300%  5/27/40  6,085  6,573 
Allergan Inc.  5.750%  4/1/16  1,100  1,298 
Altria Group Inc.  8.500%  11/10/13  45,925  55,141 
Altria Group Inc.  4.125%  9/11/15  425  455 
Altria Group Inc.  9.700%  11/10/18  8,615  11,628 
Altria Group Inc.  9.250%  8/6/19  11,525  15,432 
Altria Group Inc.  9.950%  11/10/38  5,675  8,148 
Altria Group Inc.  10.200%  2/6/39  20,475  30,006 
AmerisourceBergen Corp.  5.625%  9/15/12  1,050  1,129 
AmerisourceBergen Corp.  5.875%  9/15/15  13,561  15,562 
AmerisourceBergen Corp.  4.875%  11/15/19  4,000  4,275 
Amgen Inc.  4.850%  11/18/14  4,725  5,335 
Amgen Inc.  5.850%  6/1/17  7,900  9,397 
Amgen Inc.  5.700%  2/1/19  2,525  3,010 
Amgen Inc.  3.450%  10/1/20  5,575  5,633 
Amgen Inc.  6.375%  6/1/37  5,825  7,125 
Amgen Inc.  6.900%  6/1/38  9,275  11,999 
Amgen Inc.  6.400%  2/1/39  9,150  11,094 
Amgen Inc.  5.750%  3/15/40  3,425  3,841 
Amgen Inc.  4.950%  10/1/41  2,050  2,053 
Anheuser-Busch Cos. Inc.  4.375%  1/15/13  4,175  4,454 
Anheuser-Busch Cos. Inc.  5.600%  3/1/17  4,750  5,441 
Anheuser-Busch Cos. Inc.  5.500%  1/15/18  10,375  11,707 
Anheuser-Busch Cos. Inc.  6.800%  8/20/32  2,275  2,750 
Anheuser-Busch Cos. Inc.  5.750%  4/1/36  5,995  6,511 
Anheuser-Busch Cos. Inc.  6.450%  9/1/37  470  558 
Anheuser-Busch InBev Worldwide Inc.  3.000%  10/15/12  7,550  7,824 
Anheuser-Busch InBev Worldwide Inc.  2.500%  3/26/13  10,675  10,937 
Anheuser-Busch InBev Worldwide Inc.  4.125%  1/15/15  11,025  11,840 
Anheuser-Busch InBev Worldwide Inc.  5.375%  1/15/20  24,600  27,672 
Anheuser-Busch InBev Worldwide Inc.  5.000%  4/15/20  8,000  8,783 
Anheuser-Busch InBev Worldwide Inc.  6.375%  1/15/40  10,135  12,087 
Archer-Daniels-Midland Co.  8.375%  4/15/17  525  689 
Archer-Daniels-Midland Co.  5.450%  3/15/18  8,900  10,334 
Archer-Daniels-Midland Co.  5.935%  10/1/32  4,275  5,000 
Archer-Daniels-Midland Co.  5.375%  9/15/35  3,650  3,970 
AstraZeneca PLC  5.400%  9/15/12  18,625  20,303 
AstraZeneca PLC  5.400%  6/1/14  6,725  7,672 
AstraZeneca PLC  5.900%  9/15/17  12,710  15,272 
AstraZeneca PLC  6.450%  9/15/37  17,511  21,976 
Avon Products Inc.  6.500%  3/1/19  2,135  2,626 
Baxter FinCo BV  4.750%  10/15/10  5,775  5,782 
Baxter International Inc.  4.000%  3/1/14  1,350  1,474 
Baxter International Inc.  5.900%  9/1/16  1,700  2,047 
Baxter International Inc.  6.250%  12/1/37  11,425  13,843 
Becton Dickinson and Co.  5.000%  5/15/19  1,125  1,286 
Becton Dickinson and Co.  6.000%  5/15/39  1,000  1,196 
Biogen Idec Inc.  6.000%  3/1/13  8,200  8,949 
Biogen Idec Inc.  6.875%  3/1/18  12,425  14,532 


Bottling Group LLC  4.625%  11/15/12  1,635  1,759 
Bottling Group LLC  5.000%  11/15/13  10,125  11,284 
Bottling Group LLC  6.950%  3/15/14  29,775  35,359 
Bottling Group LLC  5.500%  4/1/16  8,975  10,575 
Bottling Group LLC  5.125%  1/15/19  1,500  1,724 
Bristol-Myers Squibb Co.  5.250%  8/15/13  965  1,076 
Bristol-Myers Squibb Co.  5.450%  5/1/18  2,225  2,634 
Bristol-Myers Squibb Co.  7.150%  6/15/23  400  526 
Bristol-Myers Squibb Co.  6.800%  11/15/26  150  189 
Bristol-Myers Squibb Co.  5.875%  11/15/36  15,511  17,925 
Bristol-Myers Squibb Co.  6.125%  5/1/38  1,625  1,935 
Bristol-Myers Squibb Co.  6.875%  8/1/97  1,030  1,265 
Bunge Ltd. Finance Corp.  5.350%  4/15/14  2,025  2,161 
Bunge Ltd. Finance Corp.  5.100%  7/15/15  7,625  8,051 
Bunge Ltd. Finance Corp.  8.500%  6/15/19  14,950  18,076 
Campbell Soup Co.  3.050%  7/15/17  1,425  1,496 
Cardinal Health Inc.  5.650%  6/15/12  60  64 
Cardinal Health Inc.  4.000%  6/15/15  550  588 
CareFusion Corp.  4.125%  8/1/12  975  1,019 
CareFusion Corp.  5.125%  8/1/14  1,700  1,873 
CareFusion Corp.  6.375%  8/1/19  8,215  9,776 
Cia de Bebidas das Americas  10.500%  12/15/11  3,605  3,979 
Cia de Bebidas das Americas  8.750%  9/15/13  295  349 
Clorox Co.  5.450%  10/15/12  625  682 
Clorox Co.  5.000%  3/1/13  5,075  5,539 
Clorox Co.  5.000%  1/15/15  1,725  1,932 
Clorox Co.  3.550%  11/1/15  1,825  1,961 
Clorox Co.  5.950%  10/15/17  7,385  8,706 
Coca-Cola Co.  3.625%  3/15/14  5,675  6,110 
Coca-Cola Co.  5.350%  11/15/17  7,700  9,052 
Coca-Cola Co.  4.875%  3/15/19  12,575  14,426 
Coca-Cola Enterprises Inc.  8.500%  2/1/22  11,886  16,896 
Coca-Cola Enterprises Inc.  7.000%  10/1/26  3,450  4,393 
Coca-Cola Enterprises Inc.  6.750%  9/15/28  1,350  1,708 
Coca-Cola Femsa SAB de CV  4.625%  2/15/20  2,025  2,182 
Coca-Cola HBC Finance BV  5.125%  9/17/13  945  1,031 
Coca-Cola Refreshments USA Inc.  5.000%  8/15/13  8,900  9,851 
Coca-Cola Refreshments USA Inc.  7.375%  3/3/14  10,850  13,067 
Coca-Cola Refreshments USA Inc.  4.250%  3/1/15  375  416 
Coca-Cola Refreshments USA Inc.  4.500%  8/15/19  525  585 
Coca-Cola Refreshments USA Inc.  6.950%  11/15/26  2,880  3,705 
ConAgra Foods Inc.  5.875%  4/15/14  1,040  1,187 
ConAgra Foods Inc.  5.819%  6/15/17  951  1,093 
ConAgra Foods Inc.  7.000%  4/15/19  500  625 
ConAgra Foods Inc.  9.750%  3/1/21  129  183 
ConAgra Foods Inc.  7.125%  10/1/26  1,000  1,208 
ConAgra Foods Inc.  7.000%  10/1/28  725  868 
ConAgra Foods Inc.  8.250%  9/15/30  2,850  3,838 
Corn Products International Inc.  3.200%  11/1/15  650  662 
Corn Products International Inc.  4.625%  11/1/20  885  907 
Corn Products International Inc.  6.625%  4/15/37  1,725  1,869 
Covidien International Finance SA  5.450%  10/15/12  2,600  2,830 
Covidien International Finance SA  1.875%  6/15/13  15,840  16,096 
Covidien International Finance SA  6.000%  10/15/17  5,225  6,205 
Covidien International Finance SA  6.550%  10/15/37  8,718  10,890 


CR Bard Inc.  6.700%  12/1/26  5,250  6,524 
Delhaize America Inc.  9.000%  4/15/31  2,175  3,057 
Delhaize Group SA  5.875%  2/1/14  2,425  2,741 
Diageo Capital PLC  5.200%  1/30/13  8,275  9,057 
Diageo Capital PLC  5.500%  9/30/16  1,275  1,485 
Diageo Capital PLC  5.750%  10/23/17  7,100  8,398 
Diageo Capital PLC  4.828%  7/15/20  1,500  1,685 
Diageo Capital PLC  5.875%  9/30/36  1,775  2,039 
Diageo Finance BV  5.500%  4/1/13  5,326  5,891 
Diageo Finance BV  3.250%  1/15/15  375  397 
Diageo Finance BV  5.300%  10/28/15  6,676  7,694 
Diageo Investment Corp.  7.450%  4/15/35  875  1,165 
Dr Pepper Snapple Group Inc.  1.700%  12/21/11  2,025  2,043 
Dr Pepper Snapple Group Inc.  2.350%  12/21/12  2,050  2,100 
Dr Pepper Snapple Group Inc.  6.120%  5/1/13  1,750  1,959 
Dr Pepper Snapple Group Inc.  6.820%  5/1/18  5,800  7,186 
Dr Pepper Snapple Group Inc.  7.450%  5/1/38  950  1,275 
Eli Lilly & Co.  3.550%  3/6/12  4,150  4,321 
Eli Lilly & Co.  6.000%  3/15/12  1,850  1,993 
Eli Lilly & Co.  4.200%  3/6/14  2,625  2,868 
Eli Lilly & Co.  5.200%  3/15/17  8,200  9,473 
Eli Lilly & Co.  5.500%  3/15/27  5,750  6,491 
Eli Lilly & Co.  5.550%  3/15/37  886  979 
Eli Lilly & Co.  5.950%  11/15/37  2,400  2,820 
Estee Lauder Cos. Inc.  6.000%  5/15/37  2,225  2,572 
Express Scripts Inc.  5.250%  6/15/12  16,300  17,383 
Express Scripts Inc.  6.250%  6/15/14  9,625  11,045 
Express Scripts Inc.  7.250%  6/15/19  1,925  2,418 
Fortune Brands Inc.  3.000%  6/1/12  2,900  2,953 
Fortune Brands Inc.  4.875%  12/1/13  1,000  1,074 
Fortune Brands Inc.  6.375%  6/15/14  4,340  4,905 
Fortune Brands Inc.  5.375%  1/15/16  8,650  9,477 
Fortune Brands Inc.  5.875%  1/15/36  2,975  2,949 
Genentech Inc.  4.750%  7/15/15  2,320  2,632 
Genentech Inc.  5.250%  7/15/35  3,350  3,597 
General Mills Inc.  6.000%  2/15/12  10,490  11,216 
General Mills Inc.  5.650%  9/10/12  2,375  2,592 
General Mills Inc.  5.250%  8/15/13  18,925  21,109 
General Mills Inc.  5.200%  3/17/15  835  956 
General Mills Inc.  5.700%  2/15/17  10,725  12,662 
General Mills Inc.  5.650%  2/15/19  14,917  17,439 
GlaxoSmithKline Capital Inc.  4.850%  5/15/13  11,025  12,120 
GlaxoSmithKline Capital Inc.  4.375%  4/15/14  9,800  10,825 
GlaxoSmithKline Capital Inc.  5.650%  5/15/18  19,780  23,416 
GlaxoSmithKline Capital Inc.  5.375%  4/15/34  3,500  3,797 
GlaxoSmithKline Capital Inc.  6.375%  5/15/38  19,375  24,117 
Hasbro Inc.  6.125%  5/15/14  6,900  7,549 
Hasbro Inc.  6.300%  9/15/17  5,875  6,475 
Hasbro Inc.  6.350%  3/15/40  2,850  2,923 
Hershey Co.  5.450%  9/1/16  1,275  1,476 
HJ Heinz Co.  5.350%  7/15/13  2,075  2,295 
HJ Heinz Finance Co.  6.750%  3/15/32  3,325  3,967 
Hospira Inc.  5.900%  6/15/14  1,550  1,752 
Hospira Inc.  6.400%  5/15/15  850  986 
Hospira Inc.  6.050%  3/30/17  150  172 


Hospira Inc.  5.600%  9/15/40  2,700  2,775 
Johnson & Johnson  5.550%  8/15/17  4,025  4,832 
Johnson & Johnson  5.150%  7/15/18  1,675  1,965 
Johnson & Johnson  6.950%  9/1/29  4,400  5,836 
Johnson & Johnson  4.950%  5/15/33  5,925  6,424 
Johnson & Johnson  5.950%  8/15/37  6,360  7,743 
Johnson & Johnson  5.850%  7/15/38  1,625  1,968 
Johnson & Johnson  4.500%  9/1/40  2,355  2,358 
Kellogg Co.  5.125%  12/3/12  17,048  18,500 
Kellogg Co.  4.250%  3/6/13  4,225  4,538 
Kellogg Co.  4.450%  5/30/16  1,025  1,150 
Kellogg Co.  4.150%  11/15/19  5,075  5,509 
Kellogg Co.  7.450%  4/1/31  6,790  9,174 
Kimberly-Clark Corp.  5.625%  2/15/12  2,700  2,875 
Kimberly-Clark Corp.  4.875%  8/15/15  5,250  6,051 
Kimberly-Clark Corp.  6.125%  8/1/17  7,750  9,411 
Kimberly-Clark Corp.  6.250%  7/15/18  175  214 
Kimberly-Clark Corp.  3.625%  8/1/20  8,424  8,783 
Kimberly-Clark Corp.  6.625%  8/1/37  1,275  1,649 
Koninklijke Philips Electronics NV  4.625%  3/11/13  3,900  4,226 
Koninklijke Philips Electronics NV  5.750%  3/11/18  10,100  11,786 
Koninklijke Philips Electronics NV  6.875%  3/11/38  4,225  5,333 
Kraft Foods Inc.  5.625%  11/1/11  37,050  38,912 
Kraft Foods Inc.  6.250%  6/1/12  4,765  5,172 
Kraft Foods Inc.  2.625%  5/8/13  13,250  13,683 
Kraft Foods Inc.  5.250%  10/1/13  675  746 
Kraft Foods Inc.  6.750%  2/19/14  150  174 
Kraft Foods Inc.  4.125%  2/9/16  12,950  13,963 
Kraft Foods Inc.  6.500%  8/11/17  12,073  14,451 
Kraft Foods Inc.  6.125%  2/1/18  300  353 
Kraft Foods Inc.  6.125%  8/23/18  10,075  11,870 
Kraft Foods Inc.  5.375%  2/10/20  43,095  47,971 
Kraft Foods Inc.  6.500%  11/1/31  8,400  9,623 
Kraft Foods Inc.  7.000%  8/11/37  10,325  12,668 
Kraft Foods Inc.  6.875%  2/1/38  6,000  7,315 
Kraft Foods Inc.  6.875%  1/26/39  1,300  1,578 
Kraft Foods Inc.  6.500%  2/9/40  15,925  18,618 
Kroger Co.  6.750%  4/15/12  8,275  8,978 
Kroger Co.  6.200%  6/15/12  6,175  6,705 
Kroger Co.  5.500%  2/1/13  1,686  1,846 
Kroger Co.  5.000%  4/15/13  3,700  4,026 
Kroger Co.  4.950%  1/15/15  1,725  1,929 
Kroger Co.  6.400%  8/15/17  840  1,003 
Kroger Co.  6.800%  12/15/18  2,600  3,162 
Kroger Co.  6.150%  1/15/20  16,045  19,070 
Kroger Co.  7.700%  6/1/29  7,825  10,043 
Kroger Co.  8.000%  9/15/29  1,425  1,873 
Kroger Co.  7.500%  4/1/31  2,395  3,070 
Kroger Co.  6.900%  4/15/38  6,300  7,793 
Laboratory Corp. of America Holdings  5.500%  2/1/13  1,540  1,662 
Laboratory Corp. of America Holdings  5.625%  12/15/15  2,500  2,826 
Life Technologies Corp.  4.400%  3/1/15  4,350  4,651 
Life Technologies Corp.  6.000%  3/1/20  4,225  4,787 
Lorillard Tobacco Co.  8.125%  6/23/19  26,235  30,036 
Lorillard Tobacco Co.  6.875%  5/1/20  7,650  8,122 


Lorillard Tobacco Co.  8.125%  5/1/40  4,000  4,275 
McKesson Corp.  7.750%  2/1/12  750  813 
McKesson Corp.  5.250%  3/1/13  10,175  11,061 
McKesson Corp.  6.500%  2/15/14  1,650  1,885 
Mead Johnson Nutrition Co.  3.500%  11/1/14  6,825  7,210 
Mead Johnson Nutrition Co.  4.900%  11/1/19  2,925  3,203 
Mead Johnson Nutrition Co.  5.900%  11/1/39  11,170  12,626 
Medco Health Solutions Inc.  6.125%  3/15/13  6,450  7,141 
Medco Health Solutions Inc.  7.250%  8/15/13  600  692 
Medco Health Solutions Inc.  7.125%  3/15/18  14,138  17,318 
Medtronic Inc.  4.500%  3/15/14  2,225  2,463 
Medtronic Inc.  3.000%  3/15/15  9,900  10,470 
Medtronic Inc.  4.750%  9/15/15  4,275  4,886 
Medtronic Inc.  5.600%  3/15/19  1,150  1,361 
Medtronic Inc.  4.450%  3/15/20  3,425  3,758 
Medtronic Inc.  6.500%  3/15/39  2,440  3,084 
Medtronic Inc.  5.550%  3/15/40  4,275  4,873 
Merck & Co. Inc.  5.125%  11/15/11  2,425  2,550 
Merck & Co. Inc.  4.375%  2/15/13  3,825  4,117 
Merck & Co. Inc.  5.300%  12/1/13  13,325  15,017 
Merck & Co. Inc.  4.750%  3/1/15  1,450  1,647 
Merck & Co. Inc.  4.000%  6/30/15  9,425  10,430 
Merck & Co. Inc.  6.000%  9/15/17  825  1,004 
Merck & Co. Inc.  5.000%  6/30/19  3,975  4,606 
Merck & Co. Inc.  6.400%  3/1/28  4,130  5,092 
Merck & Co. Inc.  5.950%  12/1/28  2,150  2,560 
Merck & Co. Inc.  6.500%  12/1/33  5,163  6,603 
Merck & Co. Inc.  5.750%  11/15/36  10,775  12,664 
Merck & Co. Inc.  6.550%  9/15/37  11,500  14,815 
Merck & Co. Inc.  5.850%  6/30/39  1,750  2,100 
Novant Health Inc.  5.850%  11/1/19  6,125  6,823 
Novartis Capital Corp.  1.900%  4/24/13  4,150  4,256 
Novartis Capital Corp.  4.125%  2/10/14  33,125  36,169 
Novartis Capital Corp.  2.900%  4/24/15  5,150  5,420 
Novartis Capital Corp.  4.400%  4/24/20  400  442 
Novartis Securities Investment Ltd.  5.125%  2/10/19  16,975  19,462 
PepsiAmericas Inc.  5.750%  7/31/12  2,725  2,967 
PepsiAmericas Inc.  4.375%  2/15/14  825  907 
PepsiAmericas Inc.  4.875%  1/15/15  1,400  1,586 
PepsiAmericas Inc.  5.000%  5/15/17  3,800  4,338 
PepsiCo Inc.  5.150%  5/15/12  2,325  2,495 
PepsiCo Inc.  4.500%  1/15/20  4,275  4,759 
PepsiCo Inc.  7.000%  3/1/29  9,149  12,031 
PepsiCo Inc.  4.650%  2/15/13  11,875  12,931 
PepsiCo Inc.  3.750%  3/1/14  8,650  9,351 
PepsiCo Inc.  5.000%  6/1/18  13,750  15,773 
PepsiCo Inc.  7.900%  11/1/18  5,925  7,894 
PepsiCo Inc.  5.500%  1/15/40  6,500  7,412 
Pfizer Inc.  4.450%  3/15/12  18,950  19,974 
Pfizer Inc.  5.350%  3/15/15  44,025  50,773 
Pfizer Inc.  6.200%  3/15/19  21,500  26,352 
Pfizer Inc.  7.200%  3/15/39  23,025  31,279 
Pharmacia Corp.  6.500%  12/1/18  550  688 
Pharmacia Corp.  6.600%  12/1/28  1,750  2,148 
Philip Morris International Inc.  4.875%  5/16/13  8,950  9,833 


Philip Morris International Inc.  6.875%  3/17/14  39,950  47,147 
Philip Morris International Inc.  5.650%  5/16/18  9,705  11,395 
Philip Morris International Inc.  6.375%  5/16/38  8,155  10,050 
3 Procter & Gamble - Esop  9.360%  1/1/21  9,453  12,390 
Procter & Gamble Co.  4.950%  8/15/14  1,700  1,933 
Procter & Gamble Co.  3.500%  2/15/15  7,550  8,212 
Procter & Gamble Co.  4.850%  12/15/15  1,250  1,443 
Procter & Gamble Co.  4.700%  2/15/19  3,550  4,031 
Procter & Gamble Co.  6.450%  1/15/26  3,875  4,906 
Procter & Gamble Co.  5.800%  8/15/34  225  270 
Procter & Gamble Co.  5.550%  3/5/37  10,021  11,653 
Quest Diagnostics Inc.  5.450%  11/1/15  6,375  7,201 
Quest Diagnostics Inc.  6.950%  7/1/37  3,295  3,762 
Quest Diagnostics Inc.  6.400%  7/1/17  140  162 
Quest Diagnostics Inc.  4.750%  1/30/20  250  262 
Ralcorp Holdings Inc.  4.950%  8/15/20  6,000  6,238 
Ralcorp Holdings Inc.  6.625%  8/15/39  1,390  1,510 
Reynolds American Inc.  7.250%  6/1/12  3,725  4,023 
Reynolds American Inc.  7.250%  6/1/13  6,575  7,356 
Reynolds American Inc.  7.625%  6/1/16  6,250  7,297 
Reynolds American Inc.  6.750%  6/15/17  5,836  6,522 
Reynolds American Inc.  7.250%  6/15/37  4,015  4,206 
Safeway Inc.  5.800%  8/15/12  2,700  2,924 
Safeway Inc.  6.250%  3/15/14  6,200  7,120 
Safeway Inc.  5.625%  8/15/14  1,855  2,093 
Safeway Inc.  6.350%  8/15/17  700  827 
Safeway Inc.  5.000%  8/15/19  1,450  1,592 
Safeway Inc.  3.950%  8/15/20  4,650  4,681 
Safeway Inc.  7.250%  2/1/31  9,922  12,210 
Sara Lee Corp.  2.750%  9/15/15  775  785 
Sara Lee Corp.  4.100%  9/15/20  350  356 
Sara Lee Corp.  6.125%  11/1/32  150  161 
St. Jude Medical Inc.  2.200%  9/15/13  4,900  5,007 
St. Jude Medical Inc.  3.750%  7/15/14  10,275  11,023 
St. Jude Medical Inc.  4.875%  7/15/19  1,525  1,711 
Stryker Corp.  3.000%  1/15/15  2,100  2,209 
Stryker Corp.  4.375%  1/15/20  1,825  1,993 
Sysco Corp.  4.200%  2/12/13  1,750  1,878 
Sysco Corp.  5.250%  2/12/18  3,625  4,173 
Sysco Corp.  5.375%  9/21/35  4,375  4,903 
Teva Pharmaceutical Finance Co. LLC  5.550%  2/1/16  775  902 
Teva Pharmaceutical Finance Co. LLC  6.150%  2/1/36  9,405  11,253 
Teva Pharmaceutical Finance II BV / Teva         
Pharmaceutical Finance III LLC  3.000%  6/15/15  5,075  5,311 
Teva Pharmaceutical Finance III LLC  1.500%  6/15/12  5,325  5,385 
Thermo Fisher Scientific Inc.  2.150%  12/28/12  2,325  2,370 
Thermo Fisher Scientific Inc.  3.250%  11/20/14  3,700  3,905 
Thermo Fisher Scientific Inc.  3.200%  5/1/15  5,825  6,134 
Thermo Fisher Scientific Inc.  4.700%  5/1/20  725  807 
Unilever Capital Corp.  7.125%  11/1/10  9,300  9,345 
Unilever Capital Corp.  3.650%  2/15/14  6,275  6,754 
Unilever Capital Corp.  4.800%  2/15/19  1,500  1,696 
Unilever Capital Corp.  5.900%  11/15/32  1,653  1,977 
UST LLC  6.625%  7/15/12  600  653 
UST LLC  5.750%  3/1/18  2,700  2,925 


Watson Pharmaceuticals Inc.  5.000%  8/15/14  4,600  5,029 
Watson Pharmaceuticals Inc.  6.125%  8/15/19  5,000  5,828 
Whirlpool Corp.  5.500%  3/1/13  12,000  12,912 
Wyeth  5.500%  3/15/13  15,725  17,394 
Wyeth  5.500%  2/1/14  10,286  11,665 
Wyeth  5.500%  2/15/16  2,475  2,895 
Wyeth  5.450%  4/1/17  925  1,080 
Wyeth  6.450%  2/1/24  1,500  1,865 
Wyeth  6.500%  2/1/34  3,450  4,301 
Wyeth  6.000%  2/15/36  4,800  5,647 
Wyeth  5.950%  4/1/37  20,245  23,849 
Zimmer Holdings Inc.  4.625%  11/30/19  1,075  1,160 
Zimmer Holdings Inc.  5.750%  11/30/39  2,775  3,074 
 
Energy (1.5%)         
Alberta Energy Co. Ltd.  7.375%  11/1/31  950  1,170 
Anadarko Finance Co.  7.500%  5/1/31  1,220  1,311 
Anadarko Petroleum Corp.  7.625%  3/15/14  25,675  28,884 
Anadarko Petroleum Corp.  5.750%  6/15/14  2,150  2,300 
Anadarko Petroleum Corp.  5.950%  9/15/16  6,076  6,647 
Anadarko Petroleum Corp.  6.375%  9/15/17  350  383 
Anadarko Petroleum Corp.  6.950%  6/15/19  675  746 
Anadarko Petroleum Corp.  6.450%  9/15/36  13,095  13,095 
Anadarko Petroleum Corp.  7.950%  6/15/39  3,775  4,152 
Anadarko Petroleum Corp.  6.200%  3/15/40  1,675  1,629 
Apache Corp.  6.250%  4/15/12  1,625  1,753 
Apache Corp.  5.250%  4/15/13  1,774  1,939 
Apache Corp.  6.000%  9/15/13  5,925  6,665 
Apache Corp.  5.625%  1/15/17  400  460 
Apache Corp.  6.900%  9/15/18  7,100  8,881 
Apache Corp.  6.000%  1/15/37  7,200  8,154 
Apache Corp.  5.100%  9/1/40  11,900  11,916 
Apache Finance Canada Corp.  7.750%  12/15/29  1,075  1,421 
Baker Hughes Inc.  6.500%  11/15/13  6,400  7,372 
Baker Hughes Inc.  7.500%  11/15/18  675  859 
Baker Hughes Inc.  6.875%  1/15/29  700  875 
Baker Hughes Inc.  5.125%  9/15/40  18,490  19,166 
BJ Services Co.  6.000%  6/1/18  2,825  3,313 
BP Capital Markets PLC  3.125%  3/10/12  13,025  13,272 
BP Capital Markets PLC  5.250%  11/7/13  12,325  13,427 
BP Capital Markets PLC  3.625%  5/8/14  5,625  5,821 
BP Capital Markets PLC  3.875%  3/10/15  11,275  11,753 
BP Capital Markets PLC  3.125%  10/1/15  17,375  17,515 
BP Capital Markets PLC  4.750%  3/10/19  10,625  11,061 
Burlington Resources Finance Co.  6.500%  12/1/11  3,550  3,785 
Burlington Resources Finance Co.  7.200%  8/15/31  750  941 
Burlington Resources Finance Co.  7.400%  12/1/31  4,275  5,479 
Cameron International Corp.  6.375%  7/15/18  975  1,106 
Cameron International Corp.  7.000%  7/15/38  100  114 
Canadian Natural Resources Ltd.  5.450%  10/1/12  4,800  5,166 
Canadian Natural Resources Ltd.  5.150%  2/1/13  1,500  1,622 
Canadian Natural Resources Ltd.  4.900%  12/1/14  5,400  6,010 
Canadian Natural Resources Ltd.  6.000%  8/15/16  4,225  4,973 
Canadian Natural Resources Ltd.  5.700%  5/15/17  10,001  11,540 
Canadian Natural Resources Ltd.  7.200%  1/15/32  4,800  5,877 


Canadian Natural Resources Ltd.  6.450%  6/30/33  5,865  6,758 
Canadian Natural Resources Ltd.  6.500%  2/15/37  16,180  18,944 
Canadian Natural Resources Ltd.  6.250%  3/15/38  11,430  13,136 
Cenovus Energy Inc.  4.500%  9/15/14  6,625  7,308 
Cenovus Energy Inc.  5.700%  10/15/19  10,025  11,714 
Cenovus Energy Inc.  6.750%  11/15/39  22,325  26,945 
Chevron Corp.  3.450%  3/3/12  4,925  5,131 
Chevron Corp.  3.950%  3/3/14  14,165  15,494 
Chevron Corp.  4.950%  3/3/19  18,825  21,920 
Conoco Funding Co.  7.250%  10/15/31  325  415 
ConocoPhillips  4.750%  2/1/14  5,125  5,691 
ConocoPhillips  4.600%  1/15/15  10,300  11,572 
ConocoPhillips  5.750%  2/1/19  19,475  23,365 
ConocoPhillips  6.000%  1/15/20  300  368 
ConocoPhillips  5.900%  10/15/32  4,976  5,649 
ConocoPhillips  5.900%  5/15/38  900  1,037 
ConocoPhillips  6.500%  2/1/39  4,435  5,523 
ConocoPhillips Canada Funding Co. I  5.625%  10/15/16  16,300  19,234 
ConocoPhillips Canada Funding Co. I  5.950%  10/15/36  2,150  2,449 
ConocoPhillips Holding Co.  6.950%  4/15/29  7,360  9,403 
Devon Energy Corp.  5.625%  1/15/14  8,800  9,866 
Devon Energy Corp.  7.950%  4/15/32  1,125  1,525 
Devon Financing Corp. ULC  7.875%  9/30/31  13,306  17,736 
Diamond Offshore Drilling Inc.  5.150%  9/1/14  2,250  2,506 
Diamond Offshore Drilling Inc.  4.875%  7/1/15  600  666 
Diamond Offshore Drilling Inc.  5.875%  5/1/19  2,700  3,082 
Diamond Offshore Drilling Inc.  5.700%  10/15/39  4,475  4,643 
Encana Corp.  4.750%  10/15/13  75  81 
Encana Corp.  5.900%  12/1/17  7,450  8,724 
Encana Corp.  6.500%  5/15/19  1,900  2,324 
Encana Corp.  7.200%  11/1/31  5,675  6,950 
Encana Corp.  6.500%  8/15/34  7,800  9,070 
Encana Corp.  6.625%  8/15/37  1,275  1,517 
Encana Corp.  6.500%  2/1/38  7,200  8,358 
EnCana Holdings Finance Corp.  5.800%  5/1/14  4,900  5,561 
EOG Resources Inc.  6.125%  10/1/13  650  738 
EOG Resources Inc.  2.950%  6/1/15  5,350  5,611 
EOG Resources Inc.  5.875%  9/15/17  6,925  8,157 
EOG Resources Inc.  5.625%  6/1/19  850  996 
EOG Resources Inc.  4.400%  6/1/20  2,875  3,118 
Global Marine Inc.  7.000%  6/1/28  3,150  3,201 
Halliburton Co.  6.150%  9/15/19  6,945  8,279 
Halliburton Co.  6.700%  9/15/38  10,450  12,943 
Halliburton Co.  7.450%  9/15/39  5,300  7,163 
Hess Corp.  8.125%  2/15/19  10,025  13,175 
Hess Corp.  7.875%  10/1/29  5,745  7,348 
Hess Corp.  7.300%  8/15/31  4,380  5,357 
Hess Corp.  7.125%  3/15/33  4,675  5,654 
Hess Corp.  6.000%  1/15/40  7,075  7,761 
Hess Corp.  5.600%  2/15/41  4,000  4,167 
Husky Energy Inc.  6.250%  6/15/12  2,325  2,502 
Husky Energy Inc.  5.900%  6/15/14  8,607  9,559 
Husky Energy Inc.  6.150%  6/15/19  800  921 
Husky Energy Inc.  7.250%  12/15/19  2,435  2,972 
Husky Energy Inc.  6.800%  9/15/37  2,175  2,473 


Kerr-McGee Corp.  6.950%  7/1/24  9,830  10,616 
Kerr-McGee Corp.  7.875%  9/15/31  1,625  1,771 
Lasmo USA Inc.  7.300%  11/15/27  355  458 
Marathon Global Funding Corp.  6.000%  7/1/12  2,600  2,804 
Marathon Oil Corp.  6.125%  3/15/12  3,370  3,606 
Marathon Oil Corp.  6.500%  2/15/14  500  574 
Marathon Oil Corp.  6.000%  10/1/17  10,475  12,144 
Marathon Oil Corp.  5.900%  3/15/18  5,650  6,525 
Marathon Oil Corp.  6.600%  10/1/37  235  277 
Nabors Industries Inc.  6.150%  2/15/18  9,400  10,414 
Nabors Industries Inc.  9.250%  1/15/19  3,025  3,867 
4 Nabors Industries Inc.  5.000%  9/15/20  5,975  6,037 
Nexen Inc.  5.050%  11/20/13  5,375  5,841 
Nexen Inc.  5.650%  5/15/17  2,025  2,278 
Nexen Inc.  7.875%  3/15/32  975  1,216 
Nexen Inc.  5.875%  3/10/35  375  384 
Nexen Inc.  6.400%  5/15/37  10,300  11,280 
Nexen Inc.  7.500%  7/30/39  7,375  9,059 
Noble Energy Inc.  8.250%  3/1/19  3,829  4,966 
Noble Energy Inc.  8.000%  4/1/27  525  635 
Noble Holding International Ltd.  3.450%  8/1/15  9,050  9,430 
Noble Holding International Ltd.  4.900%  8/1/20  3,225  3,465 
Noble Holding International Ltd.  6.200%  8/1/40  4,450  4,910 
Occidental Petroleum Corp.  6.750%  1/15/12  5,400  5,813 
Occidental Petroleum Corp.  7.000%  11/1/13  2,375  2,794 
PC Financial Partnership  5.000%  11/15/14  8,100  8,880 
Petro-Canada  4.000%  7/15/13  5,600  5,915 
Petro-Canada  6.050%  5/15/18  2,300  2,678 
Petro-Canada  7.875%  6/15/26  1,500  1,919 
Petro-Canada  7.000%  11/15/28  1,175  1,377 
Petro-Canada  5.350%  7/15/33  4,825  4,818 
Petro-Canada  5.950%  5/15/35  6,850  7,281 
Petro-Canada  6.800%  5/15/38  1,875  2,222 
Rowan Cos. Inc.  7.875%  8/1/19  7,500  8,906 
Shell International Finance BV  1.875%  3/25/13  5,625  5,750 
Shell International Finance BV  4.000%  3/21/14  38,875  42,100 
Shell International Finance BV  3.100%  6/28/15  18,750  19,737 
Shell International Finance BV  3.250%  9/22/15  3,600  3,826 
Shell International Finance BV  5.200%  3/22/17  2,950  3,391 
Shell International Finance BV  4.300%  9/22/19  25,400  27,672 
Shell International Finance BV  4.375%  3/25/20  4,450  4,887 
Shell International Finance BV  6.375%  12/15/38  12,119  15,181 
Shell International Finance BV  5.500%  3/25/40  3,250  3,690 
Smith International Inc.  9.750%  3/15/19  13,980  20,070 
Statoil ASA  3.875%  4/15/14  6,750  7,330 
Statoil ASA  2.900%  10/15/14  2,250  2,361 
Statoil ASA  3.125%  8/17/17  7,000  7,280 
Statoil ASA  5.250%  4/15/19  11,825  13,701 
Statoil ASA  7.750%  6/15/23  25  34 
Statoil ASA  7.250%  9/23/27  2,375  3,081 
4 Statoil ASA  6.500%  12/1/28  975  1,198 
Statoil ASA  7.150%  1/15/29  2,850  3,704 
Statoil ASA  5.100%  8/17/40  2,585  2,763 
Suncor Energy Inc.  6.100%  6/1/18  2,150  2,517 
Suncor Energy Inc.  7.150%  2/1/32  1,275  1,539 


Suncor Energy Inc.  5.950%  12/1/34  250  271 
Suncor Energy Inc.  6.500%  6/15/38  23,980  27,478 
Suncor Energy Inc.  6.850%  6/1/39  700  840 
Sunoco Inc.  4.875%  10/15/14  1,325  1,390 
Sunoco Inc.  5.750%  1/15/17  1,925  2,012 
Talisman Energy Inc.  5.125%  5/15/15  1,125  1,247 
Talisman Energy Inc.  7.750%  6/1/19  16,137  20,571 
Talisman Energy Inc.  7.250%  10/15/27  850  1,030 
Talisman Energy Inc.  5.850%  2/1/37  6,500  6,813 
Tosco Corp.  8.125%  2/15/30  15,350  20,925 
Total Capital SA  3.000%  6/24/15  19,075  20,018 
Total Capital SA  3.125%  10/2/15  775  817 
Total Capital SA  4.450%  6/24/20  6,125  6,697 
Total Capital SA  4.250%  12/15/21  275  298 
Transocean Inc.  5.250%  3/15/13  3,375  3,544 
Transocean Inc.  4.950%  11/15/15  11,300  11,695 
Transocean Inc.  6.000%  3/15/18  4,075  4,289 
Transocean Inc.  6.500%  11/15/20  5,710  6,167 
Transocean Inc.  7.500%  4/15/31  2,325  2,488 
Transocean Inc.  6.800%  3/15/38  5,985  6,045 
Valero Energy Corp.  6.875%  4/15/12  14,200  15,264 
Valero Energy Corp.  4.750%  6/15/13  240  255 
Valero Energy Corp.  4.500%  2/1/15  2,625  2,804 
Valero Energy Corp.  9.375%  3/15/19  7,566  9,603 
Valero Energy Corp.  6.125%  2/1/20  3,675  4,003 
Valero Energy Corp.  7.500%  4/15/32  6,215  6,822 
Valero Energy Corp.  6.625%  6/15/37  9,465  9,505 
Valero Energy Corp.  10.500%  3/15/39  6,650  8,991 
Weatherford International Inc.  5.950%  6/15/12  550  589 
Weatherford International Inc.  6.350%  6/15/17  10,550  11,785 
Weatherford International Inc.  6.800%  6/15/37  1,550  1,620 
Weatherford International Ltd.  5.500%  2/15/16  1,040  1,130 
Weatherford International Ltd.  6.500%  8/1/36  7,925  7,904 
Weatherford International Ltd.  7.000%  3/15/38  2,700  2,857 
Weatherford International Ltd. Bermuda  5.150%  3/15/13  1,225  1,318 
Weatherford International Ltd. Bermuda  6.000%  3/15/18  1,725  1,906 
Weatherford International Ltd. Bermuda  9.625%  3/1/19  33,375  43,520 
Williams Cos. Inc.  7.875%  9/1/21  850  1,030 
Williams Cos. Inc.  7.500%  1/15/31  6,927  7,835 
Williams Cos. Inc.  7.750%  6/15/31  1,749  2,020 
Williams Cos. Inc.  8.750%  3/15/32  712  897 
XTO Energy Inc.  5.900%  8/1/12  4,125  4,515 
XTO Energy Inc.  6.250%  4/15/13  7,460  8,428 
XTO Energy Inc.  5.750%  12/15/13  4,650  5,340 
XTO Energy Inc.  4.900%  2/1/14  8,375  9,385 
XTO Energy Inc.  5.000%  1/31/15  1,350  1,550 
XTO Energy Inc.  5.300%  6/30/15  1,150  1,346 
XTO Energy Inc.  6.250%  8/1/17  9,075  11,218 
XTO Energy Inc.  6.500%  12/15/18  6,780  8,624 
XTO Energy Inc.  6.750%  8/1/37  5,359  7,215 


Other Industrial (0.0%)         
Cintas Corp. No 2  6.125%  12/1/17  2,500  3,005 
 
Technology (0.9%)         
Adobe Systems Inc.  3.250%  2/1/15  4,525  4,735 
Adobe Systems Inc.  4.750%  2/1/20  7,050  7,562 
Agilent Technologies Inc.  4.450%  9/14/12  575  606 
Agilent Technologies Inc.  5.500%  9/14/15  3,125  3,512 
Agilent Technologies Inc.  6.500%  11/1/17  14,750  16,936 
Amphenol Corp.  4.750%  11/15/14  4,125  4,469 
Analog Devices Inc.  5.000%  7/1/14  3,425  3,767 
Arrow Electronics Inc.  6.875%  7/1/13  200  223 
Avnet Inc.  6.625%  9/15/16  235  268 
BMC Software Inc.  7.250%  6/1/18  2,300  2,772 
CA Inc.  5.375%  12/1/19  3,500  3,791 
Cisco Systems Inc.  2.900%  11/17/14  1,975  2,097 
Cisco Systems Inc.  5.500%  2/22/16  3,615  4,257 
Cisco Systems Inc.  4.950%  2/15/19  24,075  27,548 
Cisco Systems Inc.  4.450%  1/15/20  29,235  32,105 
Cisco Systems Inc.  5.900%  2/15/39  24,615  28,196 
Cisco Systems Inc.  5.500%  1/15/40  9,075  10,006 
Computer Sciences Corp.  5.500%  3/15/13  1,650  1,792 
Computer Sciences Corp.  6.500%  3/15/18  2,200  2,506 
Corning Inc.  6.625%  5/15/19  700  849 
Corning Inc.  7.250%  8/15/36  300  354 
Corning Inc.  5.750%  8/15/40  1,025  1,084 
Dell Inc.  3.375%  6/15/12  800  834 
Dell Inc.  4.700%  4/15/13  5,875  6,400 
Dell Inc.  1.400%  9/10/13  6,200  6,220 
Dell Inc.  2.300%  9/10/15  7,700  7,746 
Dell Inc.  5.650%  4/15/18  3,225  3,688 
Dell Inc.  5.875%  6/15/19  3,850  4,472 
Dell Inc.  6.500%  4/15/38  3,200  3,656 
Dun & Bradstreet Corp.  6.000%  4/1/13  4,725  5,179 
Equifax Inc.  4.450%  12/1/14  2,175  2,317 
Equifax Inc.  6.300%  7/1/17  1,075  1,208 
Equifax Inc.  7.000%  7/1/37  1,600  1,802 
Fiserv Inc.  6.125%  11/20/12  10,650  11,659 
Fiserv Inc.  3.125%  10/1/15  1,100  1,119 
Fiserv Inc.  6.800%  11/20/17  5,950  6,867 
Fiserv Inc.  4.625%  10/1/20  800  807 
Harris Corp.  5.000%  10/1/15  3,675  4,031 
Harris Corp.  5.950%  12/1/17  225  256 
Hewlett-Packard Co.  4.250%  2/24/12  10,241  10,741 
Hewlett-Packard Co.  6.500%  7/1/12  1,410  1,551 
Hewlett-Packard Co.  4.500%  3/1/13  12,675  13,724 
Hewlett-Packard Co.  1.250%  9/13/13  12,150  12,207 
Hewlett-Packard Co.  6.125%  3/1/14  17,700  20,416 
Hewlett-Packard Co.  4.750%  6/2/14  11,400  12,714 
Hewlett-Packard Co.  2.125%  9/13/15  7,900  7,957 
Hewlett-Packard Co.  5.400%  3/1/17  2,035  2,363 
Hewlett-Packard Co.  5.500%  3/1/18  6,575  7,756 
HP Enterprise Services LLC  6.000%  8/1/13  5,225  5,936 
IBM International Group Capital LLC  5.050%  10/22/12  20,275  22,041 
International Business Machines Corp.  2.100%  5/6/13  1,000  1,032 


International Business Machines Corp.  7.500%  6/15/13  3,150  3,689 
International Business Machines Corp.  1.000%  8/5/13  18,000  18,056 
International Business Machines Corp.  6.500%  10/15/13  200  232 
International Business Machines Corp.  5.700%  9/14/17  33,251  39,603 
International Business Machines Corp.  7.625%  10/15/18  6,475  8,561 
International Business Machines Corp.  7.000%  10/30/25  965  1,256 
International Business Machines Corp.  6.220%  8/1/27  5,350  6,505 
International Business Machines Corp.  6.500%  1/15/28  600  740 
International Business Machines Corp.  5.875%  11/29/32  1,000  1,170 
International Business Machines Corp.  5.600%  11/30/39  21,429  24,620 
Intuit Inc.  5.400%  3/15/12  2,150  2,267 
Intuit Inc.  5.750%  3/15/17  1,900  2,153 
KLA-Tencor Corp.  6.900%  5/1/18  3,000  3,437 
Lexmark International Inc.  5.900%  6/1/13  2,825  3,037 
Lexmark International Inc.  6.650%  6/1/18  4,650  5,237 
Maxim Integrated Products Inc.  3.450%  6/14/13  1,800  1,852 
Microsoft Corp.  0.875%  9/27/13  7,800  7,797 
Microsoft Corp.  2.950%  6/1/14  7,800  8,290 
Microsoft Corp.  1.625%  9/25/15  7,550  7,548 
Microsoft Corp.  4.200%  6/1/19  6,625  7,351 
Microsoft Corp.  3.000%  10/1/20  12,620  12,548 
Microsoft Corp.  5.200%  6/1/39  2,075  2,282 
Microsoft Corp.  4.500%  10/1/40  6,325  6,314 
Motorola Inc.  8.000%  11/1/11  6,375  6,802 
Motorola Inc.  5.375%  11/15/12  4,975  5,296 
Motorola Inc.  6.000%  11/15/17  15,350  17,105 
Motorola Inc.  7.500%  5/15/25  850  1,008 
Motorola Inc.  6.500%  9/1/25  3,401  3,719 
Motorola Inc.  6.500%  11/15/28  48  51 
Motorola Inc.  6.625%  11/15/37  352  377 
Nokia Oyj  5.375%  5/15/19  5,050  5,522 
Nokia Oyj  6.625%  5/15/39  7,625  8,684 
Oracle Corp.  4.950%  4/15/13  6,725  7,397 
Oracle Corp.  3.750%  7/8/14  1,600  1,737 
Oracle Corp.  5.250%  1/15/16  20,096  23,297 
Oracle Corp.  5.750%  4/15/18  13,915  16,562 
Oracle Corp.  5.000%  7/8/19  14,725  16,933 
4 Oracle Corp.  3.875%  7/15/20  3,100  3,257 
Oracle Corp.  6.500%  4/15/38  5,375  6,676 
Oracle Corp.  6.125%  7/8/39  11,900  14,154 
4 Oracle Corp.  5.375%  7/15/40  19,125  20,569 
Pitney Bowes Inc.  4.625%  10/1/12  3,200  3,387 
Pitney Bowes Inc.  3.875%  6/15/13  4,225  4,416 
Pitney Bowes Inc.  4.875%  8/15/14  250  269 
Pitney Bowes Inc.  4.750%  1/15/16  12,000  12,687 
Pitney Bowes Inc.  5.750%  9/15/17  3,500  3,787 
Pitney Bowes Inc.  4.750%  5/15/18  275  282 
Pitney Bowes Inc.  5.250%  1/15/37  450  467 
Science Applications International Corp.  6.250%  7/1/12  1,000  1,087 
Science Applications International Corp.  5.500%  7/1/33  2,470  2,457 
Symantec Corp.  2.750%  9/15/15  600  606 
Symantec Corp.  4.200%  9/15/20  7,200  7,207 
Tyco Electronics Group SA  6.000%  10/1/12  850  919 
Xerox Corp.  5.500%  5/15/12  3,095  3,300 
Xerox Corp.  7.625%  6/15/13  3,600  3,646 


Xerox Corp.  8.250%  5/15/14  6,525  7,816 
Xerox Corp.  4.250%  2/15/15  4,475  4,806 
Xerox Corp.  6.400%  3/15/16  4,270  4,971 
Xerox Corp.  6.750%  2/1/17  3,050  3,579 
Xerox Corp.  6.350%  5/15/18  11,850  13,748 
Xerox Corp.  5.625%  12/15/19  1,375  1,535 
Xerox Corp.  6.750%  12/15/39  1,075  1,271 
 
Transportation (0.4%)         
3 American Airlines Pass Through Trust 2009-         
1A  10.375%  7/2/19  1,751  2,079 
Burlington Northern Santa Fe LLC  5.900%  7/1/12  2,625  2,841 
Burlington Northern Santa Fe LLC  7.000%  2/1/14  750  878 
Burlington Northern Santa Fe LLC  5.650%  5/1/17  7,750  8,917 
Burlington Northern Santa Fe LLC  5.750%  3/15/18  3,250  3,761 
Burlington Northern Santa Fe LLC  3.600%  9/1/20  3,800  3,839 
Burlington Northern Santa Fe LLC  7.000%  12/15/25  5,250  6,379 
Burlington Northern Santa Fe LLC  7.950%  8/15/30  80  107 
Burlington Northern Santa Fe LLC  6.200%  8/15/36  3,450  3,997 
Burlington Northern Santa Fe LLC  6.150%  5/1/37  91  105 
Burlington Northern Santa Fe LLC  5.750%  5/1/40  375  413 
Burlington Northern Santa Fe LLC  5.050%  3/1/41  5,125  5,109 
Canadian National Railway Co.  6.375%  10/15/11  1,075  1,138 
Canadian National Railway Co.  4.400%  3/15/13  2,575  2,773 
Canadian National Railway Co.  4.950%  1/15/14  1,875  2,091 
Canadian National Railway Co.  5.800%  6/1/16  750  893 
Canadian National Railway Co.  5.850%  11/15/17  1,150  1,365 
Canadian National Railway Co.  5.550%  3/1/19  625  741 
Canadian National Railway Co.  6.900%  7/15/28  600  767 
Canadian National Railway Co.  6.250%  8/1/34  1,625  1,994 
Canadian National Railway Co.  6.200%  6/1/36  2,675  3,251 
Canadian National Railway Co.  6.375%  11/15/37  900  1,123 
Canadian Pacific Railway Co.  4.450%  3/15/23  4,100  4,152 
Canadian Pacific Railway Co.  7.125%  10/15/31  525  628 
Canadian Pacific Railway Co.  5.950%  5/15/37  1,075  1,167 
Con-way Inc.  6.700%  5/1/34  3,425  3,254 
3 Continental Airlines 1997-4 Class A Pass         
Through Trust  6.900%  1/2/18  3,335  3,526 
3 Continental Airlines 1998-1 Class A Pass         
Through Trust  6.648%  9/15/17  6,356  6,674 
3 Continental Airlines 1999-1 Class A Pass         
Through Trust  6.545%  2/2/19  267  281 
3 Continental Airlines 2007-1 Class A Pass         
Through Trust  5.983%  4/19/22  643  669 
3 Continental Airlines 2009-2 Class A Pass         
Through Trust  7.250%  11/10/19  1,800  1,989 
CSX Corp.  6.300%  3/15/12  1,550  1,662 
CSX Corp.  6.250%  4/1/15  5,125  6,005 
CSX Corp.  5.600%  5/1/17  1,500  1,712 
CSX Corp.  7.900%  5/1/17  2,513  3,174 
CSX Corp.  6.250%  3/15/18  13,350  15,798 
CSX Corp.  7.375%  2/1/19  16,700  20,969 
CSX Corp.  6.000%  10/1/36  5,931  6,566 
CSX Corp.  6.150%  5/1/37  2,475  2,796 
CSX Corp.  6.220%  4/30/40  5,887  6,749 


3 Delta Air Lines 2007-1 Class A Pass Through         
Trust  6.821%  8/10/22  8,756  9,237 
3 Delta Air Lines 2009-1 Class A Pass Through         
Trust  7.750%  12/17/19  5,311  5,869 
JB Hunt Transport Services Inc.  3.375%  9/15/15  10,100  10,089 
Norfolk Southern Corp.  5.257%  9/17/14  45  50 
Norfolk Southern Corp.  5.750%  1/15/16  1,700  1,967 
Norfolk Southern Corp.  7.700%  5/15/17  5,125  6,507 
Norfolk Southern Corp.  5.750%  4/1/18  2,575  2,987 
Norfolk Southern Corp.  5.900%  6/15/19  6,325  7,497 
Norfolk Southern Corp.  5.590%  5/17/25  534  589 
Norfolk Southern Corp.  7.800%  5/15/27  5,500  7,305 
Norfolk Southern Corp.  5.640%  5/17/29  1,680  1,843 
Norfolk Southern Corp.  7.250%  2/15/31  1,882  2,379 
Norfolk Southern Corp.  7.050%  5/1/37  10,660  13,647 
Norfolk Southern Corp.  7.900%  5/15/97  1,800  2,430 
Norfolk Southern Railway Co.  9.750%  6/15/20  1,554  2,240 
Ryder System Inc.  5.850%  3/1/14  1,725  1,881 
Ryder System Inc.  7.200%  9/1/15  3,650  4,313 
Ryder System Inc.  3.600%  3/1/16  3,650  3,700 
Ryder System Inc.  5.850%  11/1/16  7,425  8,363 
Southwest Airlines Co.  6.500%  3/1/12  6,725  7,121 
Southwest Airlines Co.  5.250%  10/1/14  175  188 
Southwest Airlines Co.  5.750%  12/15/16  3,300  3,623 
Southwest Airlines Co.  5.125%  3/1/17  700  730 
3 Southwest Airlines Co. 2007-1 Pass Through         
Trust  6.150%  8/1/22  1,793  1,937 
Union Pacific Corp.  6.650%  1/15/11  4,730  4,809 
Union Pacific Corp.  6.125%  1/15/12  250  266 
Union Pacific Corp.  6.500%  4/15/12  992  1,075 
Union Pacific Corp.  5.450%  1/31/13  4,375  4,785 
Union Pacific Corp.  5.375%  5/1/14  325  365 
Union Pacific Corp.  7.000%  2/1/16  350  426 
Union Pacific Corp.  5.650%  5/1/17  4,050  4,660 
Union Pacific Corp.  5.750%  11/15/17  6,825  7,939 
Union Pacific Corp.  5.700%  8/15/18  22,185  25,816 
Union Pacific Corp.  6.625%  2/1/29  1,900  2,270 
4 Union Pacific Corp.  5.780%  7/15/40  625  696 
3 Union Pacific Railroad Co. 2007-3 Pass         
Through Trust  6.176%  1/2/31  1,321  1,552 
United Parcel Service Inc.  3.875%  4/1/14  10,675  11,614 
United Parcel Service Inc.  5.500%  1/15/18  2,360  2,779 
United Parcel Service Inc.  5.125%  4/1/19  5,850  6,887 
United Parcel Service Inc.  6.200%  1/15/38  4,075  5,016 
        9,743,070 
Utilities (2.3%)         
Electric (1.7%)         
AEP Texas Central Co.  6.650%  2/15/33  2,300  2,674 
Alabama Power Co.  4.850%  12/15/12  1,875  2,025 
Alabama Power Co.  5.500%  10/15/17  3,500  4,059 
Alabama Power Co.  6.000%  3/1/39  4,800  5,646 
Ameren Energy Generating Co.  7.000%  4/15/18  9,345  9,455 
Ameren Energy Generating Co.  7.950%  6/1/32  230  219 
American Water Capital Corp.  6.085%  10/15/17  10,200  11,580 
American Water Capital Corp.  6.593%  10/15/37  5,300  5,956 


Appalachian Power Co.  5.650%  8/15/12  3,040  3,262 
Appalachian Power Co.  3.400%  5/24/15  5,250  5,526 
Appalachian Power Co.  7.950%  1/15/20  350  460 
Appalachian Power Co.  5.800%  10/1/35  950  1,010 
Appalachian Power Co.  7.000%  4/1/38  4,400  5,446 
Arizona Public Service Co.  6.375%  10/15/11  600  632 
Arizona Public Service Co.  5.800%  6/30/14  625  691 
Arizona Public Service Co.  4.650%  5/15/15  2,925  3,164 
Arizona Public Service Co.  5.500%  9/1/35  600  597 
Atlantic City Electric Co.  7.750%  11/15/18  5,225  6,731 
Baltimore Gas & Electric Co.  5.900%  10/1/16  3,525  4,145 
Baltimore Gas & Electric Co.  6.350%  10/1/36  625  738 
Carolina Power & Light Co.  6.500%  7/15/12  1,575  1,714 
Carolina Power & Light Co.  5.125%  9/15/13  5,350  5,929 
Carolina Power & Light Co.  5.300%  1/15/19  26,025  30,244 
CenterPoint Energy Houston Electric LLC  5.700%  3/15/13  13,610  15,024 
CenterPoint Energy Houston Electric LLC  5.750%  1/15/14  400  447 
CenterPoint Energy Houston Electric LLC  7.000%  3/1/14  225  266 
CenterPoint Energy Houston Electric LLC  6.950%  3/15/33  300  367 
CenterPoint Energy Inc.  6.500%  5/1/18  70  81 
Cleveland Electric Illuminating Co.  5.650%  12/15/13  175  191 
Cleveland Electric Illuminating Co.  7.880%  11/1/17  2,677  3,355 
Cleveland Electric Illuminating Co.  5.500%  8/15/24  900  1,017 
Columbus Southern Power Co.  5.850%  10/1/35  5,450  6,032 
Commonwealth Edison Co.  6.150%  3/15/12  1,750  1,875 
Commonwealth Edison Co.  5.950%  8/15/16  9,030  10,758 
Commonwealth Edison Co.  6.150%  9/15/17  13,650  16,217 
Commonwealth Edison Co.  5.800%  3/15/18  2,975  3,469 
Commonwealth Edison Co.  4.000%  8/1/20  2,175  2,286 
Commonwealth Edison Co.  5.875%  2/1/33  490  544 
Commonwealth Edison Co.  5.900%  3/15/36  2,375  2,647 
Commonwealth Edison Co.  6.450%  1/15/38  3,025  3,653 
Connecticut Light & Power Co.  6.350%  6/1/36  5,100  6,267 
Consolidated Edison Co. of New York Inc.  4.875%  2/1/13  2,940  3,179 
Consolidated Edison Co. of New York Inc.  5.375%  12/15/15  1,400  1,621 
Consolidated Edison Co. of New York Inc.  5.500%  9/15/16  5,675  6,648 
Consolidated Edison Co. of New York Inc.  5.850%  4/1/18  350  416 
Consolidated Edison Co. of New York Inc.  6.650%  4/1/19  5,975  7,488 
Consolidated Edison Co. of New York Inc.  4.450%  6/15/20  3,475  3,814 
Consolidated Edison Co. of New York Inc.  5.300%  3/1/35  1,950  2,054 
Consolidated Edison Co. of New York Inc.  5.850%  3/15/36  1,925  2,183 
Consolidated Edison Co. of New York Inc.  6.200%  6/15/36  3,000  3,556 
Consolidated Edison Co. of New York Inc.  6.300%  8/15/37  6,150  7,334 
Consolidated Edison Co. of New York Inc.  6.750%  4/1/38  3,075  3,918 
Consolidated Edison Co. of New York Inc.  5.500%  12/1/39  3,400  3,742 
Consolidated Edison Co. of New York Inc.  5.700%  6/15/40  5,250  5,885 
Consolidated Natural Gas Co.  6.250%  11/1/11  7,500  7,909 
Consolidated Natural Gas Co.  5.000%  12/1/14  4,725  5,318 
Constellation Energy Group Inc.  4.550%  6/15/15  17,456  18,830 
Constellation Energy Group Inc.  7.600%  4/1/32  2,015  2,489 
Consumers Energy Co.  5.000%  2/15/12  2,125  2,234 
Consumers Energy Co.  5.375%  4/15/13  4,100  4,486 
Consumers Energy Co.  5.500%  8/15/16  1,800  2,066 
Consumers Energy Co.  6.125%  3/15/19  550  657 
Consumers Energy Co.  6.700%  9/15/19  5,000  6,282 


Consumers Energy Co.  5.650%  4/15/20  800  937 
Detroit Edison Co.  3.450%  10/1/20  1,700  1,731 
Detroit Edison Co.  5.700%  10/1/37  950  1,072 
Dominion Resources Inc.  4.750%  12/15/10  2,000  2,015 
Dominion Resources Inc.  5.150%  7/15/15  15,258  17,400 
Dominion Resources Inc.  6.300%  3/15/33  1,400  1,639 
Dominion Resources Inc.  5.950%  6/15/35  8,775  10,003 
3 Dominion Resources Inc.  7.500%  6/30/66  3,375  3,475 
Dominion Resources Inc.  6.250%  6/30/12  2,275  2,482 
Dominion Resources Inc.  5.700%  9/17/12  730  797 
Dominion Resources Inc.  6.000%  11/30/17  4,625  5,464 
Dominion Resources Inc.  6.400%  6/15/18  290  352 
Dominion Resources Inc.  5.250%  8/1/33  2,575  2,977 
Dominion Resources Inc.  7.000%  6/15/38  425  552 
3 Dominion Resources Inc.  6.300%  9/30/66  1,775  1,689 
DTE Energy Co.  6.375%  4/15/33  175  188 
Duke Energy Carolinas LLC  6.250%  1/15/12  7,407  7,932 
Duke Energy Carolinas LLC  5.750%  11/15/13  400  454 
Duke Energy Carolinas LLC  4.300%  6/15/20  3,700  4,064 
Duke Energy Carolinas LLC  6.000%  12/1/28  1,475  1,690 
Duke Energy Carolinas LLC  6.450%  10/15/32  1,575  1,916 
Duke Energy Carolinas LLC  6.100%  6/1/37  9,000  10,687 
Duke Energy Carolinas LLC  6.000%  1/15/38  175  207 
Duke Energy Carolinas LLC  6.050%  4/15/38  4,275  5,094 
Duke Energy Carolinas LLC  5.300%  2/15/40  3,275  3,564 
Duke Energy Corp.  6.300%  2/1/14  4,420  5,066 
Duke Energy Corp.  3.950%  9/15/14  5,225  5,651 
Duke Energy Corp.  3.350%  4/1/15  4,675  4,945 
Duke Energy Corp.  5.050%  9/15/19  10,000  11,167 
Duke Energy Indiana Inc.  5.000%  9/15/13  425  472 
Duke Energy Indiana Inc.  6.050%  6/15/16  325  387 
Duke Energy Indiana Inc.  6.120%  10/15/35  1,075  1,244 
Duke Energy Indiana Inc.  6.350%  8/15/38  8,100  9,959 
Duke Energy Indiana Inc.  6.450%  4/1/39  900  1,137 
Duke Energy Ohio Inc.  5.700%  9/15/12  3,975  4,322 
Duke Energy Ohio Inc.  2.100%  6/15/13  3,800  3,899 
Duke Energy Ohio Inc.  5.450%  4/1/19  8  9 
El Paso Electric Co.  6.000%  5/15/35  1,725  1,725 
Empresa Nacional de Electricidad SA  8.350%  8/1/13  2,275  2,623 
Enersis SA  7.375%  1/15/14  2,500  2,826 
Entergy Gulf States Louisiana LLC  6.000%  5/1/18  8,675  10,033 
Entergy Louisiana LLC  6.500%  9/1/18  1,350  1,629 
Entergy Louisiana LLC  5.400%  11/1/24  125  143 
Exelon Corp.  4.900%  6/15/15  7,000  7,674 
Exelon Corp.  5.625%  6/15/35  755  769 
Exelon Generation Co. LLC  5.350%  1/15/14  3,148  3,497 
Exelon Generation Co. LLC  5.200%  10/1/19  4,675  5,186 
Exelon Generation Co. LLC  4.000%  10/1/20  5,650  5,661 
Exelon Generation Co. LLC  6.250%  10/1/39  6,050  6,510 
Exelon Generation Co. LLC  5.750%  10/1/41  5,240  5,277 
FirstEnergy Corp.  6.450%  11/15/11  1,646  1,719 
FirstEnergy Corp.  7.375%  11/15/31  4,840  5,240 
FirstEnergy Solutions Corp.  4.800%  2/15/15  6,825  7,338 
FirstEnergy Solutions Corp.  6.050%  8/15/21  75  80 
FirstEnergy Solutions Corp.  6.800%  8/15/39  1,900  1,916 


Florida Power & Light Co.  4.850%  2/1/13  2,375  2,586 
Florida Power & Light Co.  5.550%  11/1/17  1,850  2,193 
Florida Power & Light Co.  5.950%  10/1/33  225  263 
Florida Power & Light Co.  5.625%  4/1/34  3,825  4,301 
Florida Power & Light Co.  4.950%  6/1/35  550  565 
Florida Power & Light Co.  5.400%  9/1/35  5,650  6,235 
Florida Power & Light Co.  6.200%  6/1/36  3,650  4,436 
Florida Power & Light Co.  5.650%  2/1/37  3,975  4,515 
Florida Power & Light Co.  5.850%  5/1/37  1,675  1,954 
Florida Power & Light Co.  5.950%  2/1/38  9,850  11,613 
Florida Power & Light Co.  5.960%  4/1/39  1,175  1,391 
Florida Power Corp.  4.800%  3/1/13  9,875  10,676 
Florida Power Corp.  5.650%  6/15/18  3,100  3,668 
Florida Power Corp.  6.350%  9/15/37  10,425  12,780 
Florida Power Corp.  6.400%  6/15/38  5,550  6,862 
FPL Group Capital Inc.  5.350%  6/15/13  2,600  2,844 
FPL Group Capital Inc.  2.550%  11/15/13  3,825  3,933 
FPL Group Capital Inc.  2.600%  9/1/15  2,000  2,023 
FPL Group Capital Inc.  7.875%  12/15/15  825  1,030 
FPL Group Capital Inc.  6.000%  3/1/19  25,650  29,385 
3 FPL Group Capital Inc.  6.350%  10/1/66  2,175  2,091 
3 FPL Group Capital Inc.  6.650%  6/15/67  2,750  2,661 
Georgia Power Co.  6.000%  11/1/13  3,000  3,422 
Georgia Power Co.  5.700%  6/1/17  19,009  22,364 
Georgia Power Co.  5.650%  3/1/37  325  363 
Georgia Power Co.  5.950%  2/1/39  4,025  4,641 
Georgia Power Co.  5.400%  6/1/40  6,900  7,504 
Great Plains Energy Inc.  2.750%  8/15/13  3,000  3,040 
Iberdrola International BV  6.750%  6/15/12  4,900  5,306 
Iberdrola International BV  6.750%  7/15/36  3,650  4,052 
Illinois Power Co.  6.125%  11/15/17  1,300  1,468 
Illinois Power Co.  6.250%  4/1/18  4,425  5,059 
Indiana Michigan Power Co.  7.000%  3/15/19  625  767 
Indiana Michigan Power Co.  6.050%  3/15/37  8,175  9,053 
3 Integrys Energy Group Inc.  6.110%  12/1/66  4,990  4,621 
Interstate Power & Light Co.  6.250%  7/15/39  2,600  3,097 
Jersey Central Power & Light Co.  5.625%  5/1/16  3,025  3,438 
Jersey Central Power & Light Co.  5.650%  6/1/17  1,925  2,167 
Kansas City Power & Light Co.  6.050%  11/15/35  1,725  1,868 
3 Kansas Gas & Electric  5.647%  3/29/21  161  171 
KCP&L Greater Missouri Operations Co.  11.875%  7/1/12  425  488 
Metropolitan Edison Co.  7.700%  1/15/19  5,236  6,582 
MidAmerican Energy Co.  5.650%  7/15/12  2,625  2,830 
MidAmerican Energy Co.  5.125%  1/15/13  6,175  6,736 
MidAmerican Energy Co.  5.950%  7/15/17  1,825  2,157 
MidAmerican Energy Co.  5.300%  3/15/18  450  517 
MidAmerican Energy Co.  6.750%  12/30/31  4,650  5,734 
MidAmerican Energy Co.  5.750%  11/1/35  1,400  1,543 
Midamerican Energy Holdings Co.  5.875%  10/1/12  5,845  6,362 
Midamerican Energy Holdings Co.  5.000%  2/15/14  1,175  1,281 
Midamerican Energy Holdings Co.  5.750%  4/1/18  9,050  10,500 
Midamerican Energy Holdings Co.  8.480%  9/15/28  600  795 
Midamerican Energy Holdings Co.  6.125%  4/1/36  28,526  32,938 
Midamerican Energy Holdings Co.  5.950%  5/15/37  7,950  8,940 
Midamerican Energy Holdings Co.  6.500%  9/15/37  2,390  2,861 


National Rural Utilities Cooperative Finance         
Corp.  7.250%  3/1/12  15,216  16,546 
National Rural Utilities Cooperative Finance         
Corp.  2.625%  9/16/12  2,725  2,817 
National Rural Utilities Cooperative Finance         
Corp.  5.500%  7/1/13  5,775  6,469 
National Rural Utilities Cooperative Finance         
Corp.  4.750%  3/1/14  2,265  2,516 
National Rural Utilities Cooperative Finance         
Corp.  3.875%  9/16/15  6,750  7,313 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  4/10/17  4,600  5,301 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  2/1/18  11,585  13,366 
National Rural Utilities Cooperative Finance         
Corp.  10.375%  11/1/18  21,080  30,241 
National Rural Utilities Cooperative Finance         
Corp.  8.000%  3/1/32  3,250  4,344 
Nevada Power Co.  7.125%  3/15/19  14,525  18,036 
Nevada Power Co.  6.750%  7/1/37  1,175  1,419 
4 Niagara Mohawk Power Corp.  4.881%  8/15/19  575  632 
Nisource Finance Corp.  6.150%  3/1/13  425  466 
Nisource Finance Corp.  5.400%  7/15/14  5,108  5,678 
Nisource Finance Corp.  5.250%  9/15/17  925  1,005 
Nisource Finance Corp.  6.400%  3/15/18  13,625  15,743 
Nisource Finance Corp.  6.800%  1/15/19  150  177 
Nisource Finance Corp.  5.450%  9/15/20  1,600  1,732 
Nisource Finance Corp.  6.125%  3/1/22  2,375  2,701 
Northern States Power Co.  5.250%  3/1/18  1,875  2,171 
Northern States Power Co.  6.250%  6/1/36  1,600  1,951 
Northern States Power Co.  5.350%  11/1/39  3,700  4,116 
Northern States Power Co.  1.950%  8/15/15  2,225  2,256 
Northern States Power Co.  5.250%  7/15/35  325  354 
Northern States Power Co.  6.200%  7/1/37  5,425  6,524 
Northern States Power Co.  4.850%  8/15/40  525  547 
NSTAR  4.500%  11/15/19  1,575  1,727 
NSTAR Electric Co.  4.875%  4/15/14  2,600  2,900 
NSTAR Electric Co.  5.625%  11/15/17  5,350  6,358 
NSTAR Electric Co.  5.500%  3/15/40  2,950  3,355 
Oglethorpe Power Corp.  5.950%  11/1/39  1,700  1,993 
Ohio Edison Co.  6.400%  7/15/16  3,800  4,459 
Ohio Power Co.  5.750%  9/1/13  6,725  7,461 
Ohio Power Co.  6.000%  6/1/16  3,275  3,829 
Oklahoma Gas & Electric Co.  5.850%  6/1/40  3,200  3,623 
Oncor Electric Delivery Co. LLC  5.950%  9/1/13  4,225  4,737 
Oncor Electric Delivery Co. LLC  6.375%  1/15/15  7,340  8,555 
Oncor Electric Delivery Co. LLC  6.800%  9/1/18  7,725  9,522 
Oncor Electric Delivery Co. LLC  7.000%  9/1/22  4,671  5,883 
Oncor Electric Delivery Co. LLC  7.000%  5/1/32  2,125  2,589 
Oncor Electric Delivery Co. LLC  7.250%  1/15/33  3,680  4,617 
Oncor Electric Delivery Co. LLC  7.500%  9/1/38  1,805  2,367 
Pacific Gas & Electric Co.  4.800%  3/1/14  16,975  18,739 
Pacific Gas & Electric Co.  5.625%  11/30/17  3,425  3,960 
Pacific Gas & Electric Co.  8.250%  10/15/18  475  630 
Pacific Gas & Electric Co.  3.500%  10/1/20  11,700  11,576 


Pacific Gas & Electric Co.  6.050%  3/1/34  14,052  15,883 
Pacific Gas & Electric Co.  5.800%  3/1/37  16,745  18,589 
Pacific Gas & Electric Co.  6.250%  3/1/39  3,775  4,397 
Pacific Gas & Electric Co.  5.400%  1/15/40  250  266 
PacifiCorp  6.900%  11/15/11  6,150  6,567 
PacifiCorp  7.700%  11/15/31  1,299  1,776 
PacifiCorp  5.250%  6/15/35  100  107 
PacifiCorp  5.750%  4/1/37  150  170 
PacifiCorp  6.250%  10/15/37  6,625  8,024 
PacifiCorp  6.000%  1/15/39  875  1,033 
Peco Energy Co.  5.350%  3/1/18  675  786 
Pennsylvania Electric Co.  6.050%  9/1/17  2,250  2,548 
Pennsylvania Electric Co.  5.200%  4/1/20  10,400  11,406 
Pennsylvania Electric Co.  6.150%  10/1/38  10,400  11,281 
Pepco Holdings Inc.  2.700%  10/1/15  150  151 
Potomac Electric Power Co.  6.500%  11/15/37  7,882  9,845 
PPL Electric Utilities Corp.  6.250%  5/15/39  4,600  5,557 
PPL Energy Supply LLC  6.400%  11/1/11  10,200  10,780 
PPL Energy Supply LLC  6.300%  7/15/13  2,950  3,294 
PPL Energy Supply LLC  5.400%  8/15/14  800  883 
PPL Energy Supply LLC  6.200%  5/15/16  1,545  1,768 
PPL Energy Supply LLC  6.500%  5/1/18  8,025  9,315 
Progress Energy Inc.  6.850%  4/15/12  1,675  1,814 
Progress Energy Inc.  6.050%  3/15/14  875  995 
Progress Energy Inc.  5.625%  1/15/16  1,275  1,457 
Progress Energy Inc.  7.050%  3/15/19  1,400  1,741 
Progress Energy Inc.  4.875%  12/1/19  8,100  8,968 
Progress Energy Inc.  7.750%  3/1/31  1,625  2,169 
Progress Energy Inc.  7.000%  10/30/31  4,400  5,445 
Progress Energy Inc.  6.000%  12/1/39  6,700  7,676 
PSEG Power LLC  6.950%  6/1/12  15,800  17,325 
PSEG Power LLC  2.500%  4/15/13  1,775  1,823 
PSEG Power LLC  5.000%  4/1/14  3,150  3,439 
PSEG Power LLC  5.500%  12/1/15  14,230  16,099 
PSEG Power LLC  5.125%  4/15/20  1,001  1,101 
PSEG Power LLC  8.625%  4/15/31  350  468 
Public Service Co. of Colorado  7.875%  10/1/12  8,525  9,631 
Public Service Co. of Colorado  5.500%  4/1/14  165  187 
Public Service Co. of Colorado  5.800%  8/1/18  1,475  1,748 
Public Service Co. of Colorado  5.125%  6/1/19  8,825  10,160 
Public Service Co. of Colorado  6.250%  9/1/37  2,325  2,835 
Public Service Co. of Oklahoma  5.150%  12/1/19  100  110 
Public Service Co. of Oklahoma  6.625%  11/15/37  4,675  5,530 
Public Service Electric & Gas Co.  2.700%  5/1/15  3,300  3,445 
Public Service Electric & Gas Co.  3.500%  8/15/20  500  516 
Public Service Electric & Gas Co.  5.250%  7/1/35  475  515 
Public Service Electric & Gas Co.  5.800%  5/1/37  4,600  5,317 
Puget Sound Energy Inc.  5.483%  6/1/35  800  832 
Puget Sound Energy Inc.  6.274%  3/15/37  5,175  5,976 
Puget Sound Energy Inc.  5.757%  10/1/39  2,675  2,901 
Puget Sound Energy Inc.  5.795%  3/15/40  1,515  1,652 
Puget Sound Energy Inc.  5.764%  7/15/40  1,700  1,847 
San Diego Gas & Electric Co.  5.300%  11/15/15  2,100  2,452 
San Diego Gas & Electric Co.  5.350%  5/15/35  800  889 
San Diego Gas & Electric Co.  6.125%  9/15/37  250  308 


San Diego Gas & Electric Co.  6.000%  6/1/39  900  1,091 
San Diego Gas & Electric Co.  4.500%  8/15/40  3,350  3,322 
Sierra Pacific Power Co.  6.000%  5/15/16  3,750  4,348 
Sierra Pacific Power Co.  6.750%  7/1/37  4,250  5,063 
South Carolina Electric & Gas Co.  6.500%  11/1/18  1,710  2,134 
South Carolina Electric & Gas Co.  6.625%  2/1/32  2,125  2,609 
South Carolina Electric & Gas Co.  5.300%  5/15/33  220  232 
South Carolina Electric & Gas Co.  6.050%  1/15/38  4,300  5,046 
Southern California Edison Co.  5.000%  1/15/14  3,350  3,724 
Southern California Edison Co.  4.650%  4/1/15  3,600  4,050 
Southern California Edison Co.  5.000%  1/15/16  1,175  1,348 
Southern California Edison Co.  5.500%  8/15/18  400  474 
Southern California Edison Co.  6.650%  4/1/29  100  121 
Southern California Edison Co.  6.000%  1/15/34  6,975  8,205 
Southern California Edison Co.  5.750%  4/1/35  925  1,067 
Southern California Edison Co.  5.350%  7/15/35  4,400  4,788 
Southern California Edison Co.  5.550%  1/15/36  1,400  1,566 
Southern California Edison Co.  5.625%  2/1/36  6,275  7,138 
Southern California Edison Co.  5.550%  1/15/37  6,975  7,932 
Southern California Edison Co.  5.950%  2/1/38  410  482 
Southern California Edison Co.  4.500%  9/1/40  5,175  5,050 
Southern Co.  5.300%  1/15/12  2,250  2,368 
Southern Co.  4.150%  5/15/14  3,850  4,165 
Southern Power Co.  6.250%  7/15/12  3,280  3,579 
Southern Power Co.  4.875%  7/15/15  6,550  7,325 
Southwestern Electric Power Co.  5.550%  1/15/17  400  439 
Southwestern Electric Power Co.  5.875%  3/1/18  1,142  1,277 
Southwestern Electric Power Co.  6.450%  1/15/19  3,625  4,147 
Southwestern Electric Power Co.  6.200%  3/15/40  2,175  2,349 
Tampa Electric Co.  6.375%  8/15/12  3,950  4,306 
Tampa Electric Co.  6.100%  5/15/18  275  325 
Tampa Electric Co.  6.550%  5/15/36  3,000  3,598 
Teco Finance Inc.  4.000%  3/15/16  2,650  2,789 
Teco Finance Inc.  5.150%  3/15/20  2,475  2,714 
Toledo Edison Co.  6.150%  5/15/37  6,525  7,221 
TransAlta Corp.  4.750%  1/15/15  1,050  1,138 
TransAlta Corp.  6.650%  5/15/18  1,325  1,572 
TransAlta Corp.  6.500%  3/15/40  650  700 
Union Electric Co.  5.400%  2/1/16  3,225  3,603 
Union Electric Co.  6.700%  2/1/19  6,566  7,983 
Union Electric Co.  8.450%  3/15/39  2,725  4,011 
United Utilities PLC  5.375%  2/1/19  4,950  5,313 
Virginia Electric and Power Co.  5.100%  11/30/12  800  871 
Virginia Electric and Power Co.  5.400%  1/15/16  1,300  1,520 
Virginia Electric and Power Co.  5.000%  6/30/19  3,500  4,000 
Virginia Electric and Power Co.  3.450%  9/1/22  250  251 
Virginia Electric and Power Co.  6.000%  1/15/36  5,575  6,520 
Virginia Electric and Power Co.  6.000%  5/15/37  3,375  3,957 
Virginia Electric and Power Co.  6.350%  11/30/37  3,450  4,232 
Virginia Electric and Power Co.  8.875%  11/15/38  675  1,024 
Wisconsin Electric Power Co.  6.000%  4/1/14  950  1,100 
Wisconsin Electric Power Co.  4.250%  12/15/19  4,600  5,033 
Wisconsin Electric Power Co.  5.625%  5/15/33  1,025  1,142 
Wisconsin Electric Power Co.  5.700%  12/1/36  825  936 
3 Wisconsin Energy Corp.  6.250%  5/15/67  14,025  13,498 


Wisconsin Power & Light Co.  5.000%  7/15/19  1,175  1,329 
Wisconsin Power & Light Co.  6.375%  8/15/37  4,780  5,793 
Xcel Energy Inc.  5.613%  4/1/17  592  666 
Xcel Energy Inc.  4.700%  5/15/20  1,000  1,091 
Xcel Energy Inc.  6.500%  7/1/36  3,050  3,688 
 
Natural Gas (0.6%)         
AGL Capital Corp.  5.250%  8/15/19  1,100  1,218 
AGL Capital Corp.  6.000%  10/1/34  150  159 
Atmos Energy Corp.  4.950%  10/15/14  3,320  3,657 
Atmos Energy Corp.  8.500%  3/15/19  2,275  2,952 
Boardwalk Pipelines LP  5.500%  2/1/17  3,225  3,514 
British Transco Finance Inc.  6.625%  6/1/18  1,625  1,896 
Buckeye Partners LP  6.050%  1/15/18  350  391 
CenterPoint Energy Resources Corp.  7.875%  4/1/13  3,505  4,043 
CenterPoint Energy Resources Corp.  6.150%  5/1/16  1,350  1,541 
DCP Midstream LLC  8.125%  8/16/30  325  409 
DCP Midstream Operating LP  3.250%  10/1/15  3,325  3,340 
El Paso Natural Gas Co.  5.950%  4/15/17  15,930  17,302 
El Paso Natural Gas Co.  8.625%  1/15/22  6,755  8,370 
Enbridge Energy Partners LP  6.500%  4/15/18  3,825  4,491 
Enbridge Energy Partners LP  9.875%  3/1/19  7,475  10,218 
Enbridge Energy Partners LP  7.500%  4/15/38  7,120  8,959 
Enbridge Inc.  5.800%  6/15/14  175  200 
Enbridge Inc.  5.600%  4/1/17  275  318 
Energy Transfer Partners LP  5.650%  8/1/12  4,925  5,220 
Energy Transfer Partners LP  6.000%  7/1/13  10,417  11,409 
Energy Transfer Partners LP  8.500%  4/15/14  8,375  9,894 
Energy Transfer Partners LP  5.950%  2/1/15  8,475  9,408 
Energy Transfer Partners LP  6.125%  2/15/17  1,225  1,359 
Energy Transfer Partners LP  9.000%  4/15/19  9,600  12,288 
Energy Transfer Partners LP  6.625%  10/15/36  2,050  2,206 
Energy Transfer Partners LP  7.500%  7/1/38  2,590  3,048 
6 Enron Corp.  7.625%  9/10/04  1,600  4 
6 Enron Corp.  6.625%  11/15/05  1,075  3 
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  4.600%  8/1/12  22,975  24,091 
Enterprise Products Operating LLC  5.650%  4/1/13  3,475  3,778 
Enterprise Products Operating LLC  5.900%  4/15/13  2,175  2,392 
Enterprise Products Operating LLC  9.750%  1/31/14  16,675  20,448 
Enterprise Products Operating LLC  5.600%  10/15/14  4,726  5,332 
Enterprise Products Operating LLC  6.300%  9/15/17  19,825  22,933 
Enterprise Products Operating LLC  6.650%  4/15/18  2,425  2,836 
Enterprise Products Operating LLC  6.500%  1/31/19  2,775  3,230 
Enterprise Products Operating LLC  5.200%  9/1/20  3,200  3,461 
Enterprise Products Operating LLC  6.875%  3/1/33  1,950  2,200 
Enterprise Products Operating LLC  6.650%  10/15/34  650  722 
Enterprise Products Operating LLC  7.550%  4/15/38  1,375  1,706 
Enterprise Products Operating LLC  6.450%  9/1/40  725  804 
EQT Corp.  6.500%  4/1/18  11,475  13,063 
EQT Corp.  8.125%  6/1/19  325  402 
6 HNG Internorth  9.625%  3/15/06  3,680  8 
KeySpan Corp.  8.000%  11/15/30  50  67 


Kinder Morgan Energy Partners LP  7.125%  3/15/12  5,660  6,100 
Kinder Morgan Energy Partners LP  5.850%  9/15/12  6,595  7,123 
Kinder Morgan Energy Partners LP  5.000%  12/15/13  12,565  13,720 
Kinder Morgan Energy Partners LP  5.125%  11/15/14  1,925  2,133 
Kinder Morgan Energy Partners LP  5.625%  2/15/15  300  337 
Kinder Morgan Energy Partners LP  6.000%  2/1/17  150  169 
Kinder Morgan Energy Partners LP  5.950%  2/15/18  10,325  11,656 
Kinder Morgan Energy Partners LP  6.850%  2/15/20  2,025  2,425 
Kinder Morgan Energy Partners LP  7.300%  8/15/33  505  588 
Kinder Morgan Energy Partners LP  5.800%  3/15/35  100  101 
Kinder Morgan Energy Partners LP  6.500%  2/1/37  4,725  5,081 
Kinder Morgan Energy Partners LP  6.950%  1/15/38  3,700  4,229 
Kinder Morgan Energy Partners LP  6.500%  9/1/39  6,000  6,469 
Magellan Midstream Partners LP  5.650%  10/15/16  875  997 
Magellan Midstream Partners LP  6.550%  7/15/19  4,525  5,395 
Magellan Midstream Partners LP  4.250%  2/1/21  2,045  2,076 
National Grid PLC  6.300%  8/1/16  8,600  10,156 
NuStar Logistics LP  7.650%  4/15/18  4,825  5,781 
Oneok Inc.  5.200%  6/15/15  4,000  4,419 
Oneok Inc.  6.000%  6/15/35  2,275  2,343 
ONEOK Partners LP  5.900%  4/1/12  3,000  3,203 
ONEOK Partners LP  6.150%  10/1/16  4,525  5,267 
ONEOK Partners LP  8.625%  3/1/19  15,775  20,522 
ONEOK Partners LP  6.650%  10/1/36  12,525  14,053 
ONEOK Partners LP  6.850%  10/15/37  4,925  5,708 
Panhandle Eastern Pipeline Co. LP  6.200%  11/1/17  8,050  8,913 
Panhandle Eastern Pipeline Co. LP  7.000%  6/15/18  1,050  1,225 
Plains All American Pipeline LP / PAA         
Finance Corp.  4.250%  9/1/12  8,750  9,151 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.125%  1/15/17  4,440  4,972 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.500%  5/1/18  925  1,061 
Plains All American Pipeline LP / PAA         
Finance Corp.  8.750%  5/1/19  2,475  3,142 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.750%  1/15/20  1,400  1,545 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.650%  1/15/37  1,000  1,087 
Sempra Energy  6.000%  2/1/13  700  771 
Sempra Energy  6.150%  6/15/18  100  119 
Sempra Energy  6.000%  10/15/39  1,700  1,919 
Southern California Gas Co.  5.750%  11/15/35  950  1,113 
4 Southern Natural Gas Co.  5.900%  4/1/17  7,465  8,167 
Southern Natural Gas Co.  8.000%  3/1/32  5,620  6,667 
Southern Union Co.  7.600%  2/1/24  800  947 
Spectra Energy Capital LLC  6.250%  2/15/13  1,146  1,250 
Spectra Energy Capital LLC  5.500%  3/1/14  3,125  3,413 
Spectra Energy Capital LLC  5.668%  8/15/14  150  169 
Spectra Energy Capital LLC  6.200%  4/15/18  925  1,068 
Spectra Energy Capital LLC  6.750%  2/15/32  2,250  2,573 
Sunoco Logistics Partners Operations LP  6.850%  2/15/40  875  953 
Tennessee Gas Pipeline Co.  7.000%  10/15/28  120  131 
Texas Eastern Transmission LP  7.000%  7/15/32  200  247 
Texas Gas Transmission LLC  4.600%  6/1/15  2,875  3,073 


TransCanada PipeLines Ltd.  4.000%  6/15/13  3,950  4,233 
TransCanada PipeLines Ltd.  3.400%  6/1/15  500  534 
TransCanada PipeLines Ltd.  6.500%  8/15/18  10,300  12,592 
TransCanada PipeLines Ltd.  7.125%  1/15/19  4,525  5,763 
TransCanada PipeLines Ltd.  3.800%  10/1/20  7,900  8,053 
TransCanada PipeLines Ltd.  5.600%  3/31/34  3,055  3,245 
TransCanada PipeLines Ltd.  5.850%  3/15/36  13,375  14,593 
TransCanada PipeLines Ltd.  6.200%  10/15/37  7,425  8,437 
TransCanada PipeLines Ltd.  7.250%  8/15/38  1,050  1,343 
TransCanada PipeLines Ltd.  7.625%  1/15/39  1,279  1,707 
TransCanada PipeLines Ltd.  6.100%  6/1/40  475  539 
3 TransCanada PipeLines Ltd.  6.350%  5/15/67  11,021  10,273 
Williams Partners LP  3.800%  2/15/15  2,900  3,051 
Williams Partners LP  5.250%  3/15/20  22,650  24,659 
Williams Partners LP  6.300%  4/15/40  4,400  4,849 
Williams Partners LP / Williams Partners         
Finance Corp.  7.250%  2/1/17  9,225  10,994 
 
Other Utility (0.0%)         
Veolia Environnement  6.000%  6/1/18  7,020  8,104 
Veolia Environnement  6.750%  6/1/38  125  154 
 
        2,060,307 
Total Corporate Bonds (Cost $16,516,704)        18,068,157 
Sovereign Bonds (U.S. Dollar-Denominated) (4.3%)         
African Development Bank  1.000%  11/23/11  5,575  5,610 
African Development Bank  1.750%  10/1/12  4,450  4,542 
^ African Development Bank  1.625%  2/11/13  7,425  7,574 
African Development Bank  3.000%  5/27/14  17,625  18,851 
Asian Development Bank  2.125%  3/15/12  4,725  4,843 
Asian Development Bank  4.500%  9/4/12  1,050  1,128 
Asian Development Bank  1.625%  7/15/13  16,500  16,890 
Asian Development Bank  3.625%  9/5/13  23,500  25,437 
Asian Development Bank  2.750%  5/21/14  18,145  19,247 
Asian Development Bank  4.250%  10/20/14  5,875  6,564 
Asian Development Bank  2.625%  2/9/15  24,975  26,368 
Asian Development Bank  5.500%  6/27/16  1,875  2,249 
Asian Development Bank  5.250%  6/12/17  600  719 
Asian Development Bank  5.593%  7/16/18  3,528  4,235 
Brazilian Government International Bond  11.000%  1/11/12  4,175  4,718 
Brazilian Government International Bond  10.250%  6/17/13  2,200  2,738 
Brazilian Government International Bond  7.875%  3/7/15  8,200  10,065 
Brazilian Government International Bond  6.000%  1/17/17  24,505  28,548 
3 Brazilian Government International Bond  8.000%  1/15/18  20,359  24,360 
Brazilian Government International Bond  5.875%  1/15/19  41,550  48,717 
Brazilian Government International Bond  8.875%  10/14/19  11,650  16,397 
Brazilian Government International Bond  4.875%  1/22/21  12,050  13,208 
Brazilian Government International Bond  8.875%  4/15/24  3,125  4,586 
Brazilian Government International Bond  8.875%  4/15/24  1,500  2,197 
Brazilian Government International Bond  8.750%  2/4/25  12,250  17,946 
Brazilian Government International Bond  10.125%  5/15/27  12,325  19,966 
Brazilian Government International Bond  8.250%  1/20/34  18,750  27,094 
Brazilian Government International Bond  7.125%  1/20/37  16,706  21,841 
Brazilian Government International Bond  11.000%  8/17/40  26,225  36,322 


Brazilian Government International Bond  5.625%  1/7/41  24,450  26,773 
Canada Government International Bond  2.375%  9/10/14  4,175  4,386 
Canada Mortgage & Housing Corp.  4.800%  10/1/10  1,075  1,075 
Chile Government International Bond  7.125%  1/11/12  3,225  3,455 
Chile Government International Bond  5.500%  1/15/13  2,965  3,220 
Chile Government International Bond  3.875%  8/5/20  8,850  9,185 
China Development Bank Corp.  4.750%  10/8/14  3,700  4,064 
China Development Bank Corp.  5.000%  10/15/15  1,450  1,628 
China Government International Bond  4.750%  10/29/13  5,700  6,296 
Corp Andina de Fomento  3.750%  1/15/16  2,800  2,843 
Corp Andina de Fomento  8.125%  6/4/19  12,000  14,983 
Corp. Andina de Fomento  5.200%  5/21/13  4,500  4,864 
Corp. Andina de Fomento  5.125%  5/5/15  1,100  1,196 
Corp. Andina de Fomento  5.750%  1/12/17  16,625  18,292 
Council Of Europe Development Bank  2.750%  2/10/15  5,675  6,001 
7 Development Bank of Japan  4.250%  6/9/15  2,050  2,294 
Eksportfinans ASA  1.875%  4/2/13  400  408 
Eksportfinans ASA  3.000%  11/17/14  7,250  7,653 
Eksportfinans ASA  2.000%  9/15/15  2,100  2,112 
Eksportfinans ASA  5.500%  5/25/16  9,520  11,168 
Eksportfinans ASA  5.500%  6/26/17  17,500  20,651 
European Bank for Reconstruction &         
Development  2.750%  4/20/15  19,100  20,170 
European Bank for Reconstruction &         
Development  1.625%  9/3/15  6,550  6,555 
European Investment Bank  3.250%  10/14/11  14,625  15,046 
European Investment Bank  2.625%  11/15/11  3,275  3,354 
European Investment Bank  2.000%  2/10/12  66,975  68,253 
European Investment Bank  4.625%  3/21/12  27,400  29,026 
4 European Investment Bank  1.125%  4/16/12  12,500  12,614 
European Investment Bank  1.750%  9/14/12  10,850  11,089 
^ European Investment Bank  1.625%  3/15/13  12,800  13,088 
European Investment Bank  2.875%  3/15/13  8,100  8,514 
European Investment Bank  3.250%  5/15/13  20,400  21,709 
European Investment Bank  1.875%  6/17/13  11,650  11,996 
European Investment Bank  4.250%  7/15/13  33,575  36,787 
^ European Investment Bank  1.250%  9/17/13  15,975  16,202 
European Investment Bank  2.375%  3/14/14  24,750  25,963 
European Investment Bank  4.625%  5/15/14  35,482  39,670 
European Investment Bank  3.125%  6/4/14  58,200  62,139 
European Investment Bank  2.875%  1/15/15  15,400  16,327 
European Investment Bank  2.750%  3/23/15  20,100  21,253 
^ European Investment Bank  1.625%  9/1/15  14,975  15,120 
European Investment Bank  4.875%  2/16/16  15,000  17,356 
European Investment Bank  5.125%  9/13/16  2,150  2,535 
European Investment Bank  4.875%  1/17/17  21,025  24,568 
European Investment Bank  5.125%  5/30/17  28,695  33,947 
European Investment Bank  2.875%  9/15/20  12,750  12,868 
European Investment Bank  4.875%  2/15/36  300  334 
Export Development Canada  2.625%  3/15/11  16  16 
Export Development Canada  2.625%  11/15/11  5,075  5,188 
Export Development Canada  2.375%  3/19/12  10,300  10,564 
Export Development Canada  1.750%  9/24/12  20,975  21,445 
Export Development Canada  3.500%  5/16/13  9,600  10,294 
Export Development Canada  3.125%  4/24/14  225  242 


^ Export Development Canada  2.250%  5/28/15  3,500  3,638 
Export-Import Bank of Korea  5.500%  10/17/12  8,350  8,917 
Export-Import Bank of Korea  8.125%  1/21/14  21,050  24,473 
Export-Import Bank of Korea  5.875%  1/14/15  19,025  21,301 
Export-Import Bank of Korea  5.125%  3/16/15  2,500  2,729 
Export-Import Bank of Korea  4.125%  9/9/15  4,925  5,198 
Export-Import Bank of Korea  5.125%  6/29/20  5,700  6,133 
Financement-Quebec  5.000%  10/25/12  3,725  4,048 
Hungary Government International Bond  4.750%  2/3/15  3,225  3,256 
Hydro Quebec  6.300%  5/11/11  16,325  16,899 
Hydro Quebec  8.000%  2/1/13  9,675  11,218 
Hydro Quebec  7.500%  4/1/16  2,155  2,760 
Hydro Quebec  8.400%  1/15/22  2,675  3,882 
Hydro Quebec  8.050%  7/7/24  2,975  4,435 
Hydro Quebec  8.500%  12/1/29  400  611 
Inter-American Development Bank  4.375%  9/20/12  80  86 
Inter-American Development Bank  4.750%  10/19/12  4,525  4,895 
Inter-American Development Bank  3.500%  3/15/13  9,375  10,004 
Inter-American Development Bank  1.625%  7/15/13  1,000  1,019 
Inter-American Development Bank  3.000%  4/22/14  25,200  26,916 
Inter-American Development Bank  2.250%  7/15/15  8,100  8,398 
Inter-American Development Bank  4.250%  9/14/15  7,395  8,387 
Inter-American Development Bank  5.125%  9/13/16  200  236 
Inter-American Development Bank  2.375%  8/15/17  4,550  4,648 
Inter-American Development Bank  4.250%  9/10/18  17,950  20,311 
Inter-American Development Bank  3.875%  9/17/19  57,400  63,687 
Inter-American Development Bank  3.875%  2/14/20  6,425  7,092 
Inter-American Development Bank  7.000%  6/15/25  2,775  3,734 
International Bank for Reconstruction &         
Development  3.125%  11/15/11  825  848 
International Bank for Reconstruction &         
Development  2.000%  4/2/12  39,065  39,969 
International Bank for Reconstruction &         
Development  0.800%  7/13/12  17,875  17,942 
International Bank for Reconstruction &         
Development  1.750%  7/15/13  17,275  17,743 
International Bank for Reconstruction &         
Development  3.500%  10/8/13  22,025  23,815 
International Bank for Reconstruction &         
Development  2.375%  5/26/15  42,275  44,276 
International Bank for Reconstruction &         
Development  5.000%  4/1/16  14,525  16,994 
International Bank for Reconstruction &         
Development  7.625%  1/19/23  3,350  4,873 
International Bank for Reconstruction &         
Development  8.875%  3/1/26  1,050  1,652 
International Bank for Reconstruction &         
Development  4.750%  2/15/35  1,150  1,305 
International Finance Corp.  3.500%  5/15/13  7,100  7,634 
International Finance Corp.  3.000%  4/22/14  26,437  28,151 
International Finance Corp.  2.750%  4/20/15  10,375  11,051 
Israel Government International Bond  4.625%  6/15/13  2,375  2,554 
Israel Government International Bond  5.125%  3/1/14  800  886 
Israel Government International Bond  5.500%  11/9/16  7,650  8,840 
Israel Government International Bond  5.125%  3/26/19  18,700  20,765 


  Japan Bank for International Cooperation  4.375%  11/26/12  5,450  5,871 
  Japan Bank for International Cooperation  4.250%  6/18/13  20,125  21,886 
7  Japan Finance Corp.  1.500%  7/6/12  12,925  13,099 
7  Japan Finance Corp.  2.125%  11/5/12  12,450  12,784 
7  Japan Finance Corp.  2.875%  2/2/15  16,150  17,042 
7  Japan Finance Organization for Municipalities  4.625%  4/21/15  6,850  7,800 
  Japan Finance Organization for Municipalities  5.000%  5/16/17  4,000  4,684 
  Korea Development Bank  5.300%  1/17/13  2,475  2,638 
  Korea Development Bank  5.750%  9/10/13  9,940  10,858 
  Korea Development Bank  8.000%  1/23/14  10,800  12,670 
  Korea Development Bank  4.375%  8/10/15  6,275  6,703 
  Korea Development Bank  3.250%  3/9/16  12,800  12,863 
  Korea Electric Power Corp.  7.750%  4/1/13  6,075  6,862 
  Korea Finance Corp.  3.250%  9/20/16  11,100  11,082 
  Kreditanstalt fuer Wiederaufbau  3.250%  10/14/11  14,132  14,525 
8  Kreditanstalt fuer Wiederaufbau  2.000%  1/17/12  53,200  54,203 
8  Kreditanstalt fuer Wiederaufbau  2.250%  4/16/12  8,675  8,896 
  Kreditanstalt fuer Wiederaufbau  4.750%  5/15/12  13,300  14,178 
8  Kreditanstalt fuer Wiederaufbau  1.250%  6/15/12  28,100  28,420 
8  Kreditanstalt fuer Wiederaufbau  1.875%  1/14/13  25,500  26,197 
  Kreditanstalt fuer Wiederaufbau  3.250%  3/15/13  80,400  85,234 
  Kreditanstalt fuer Wiederaufbau  3.500%  5/16/13  12,075  12,929 
8  Kreditanstalt fuer Wiederaufbau  1.375%  7/15/13  31,350  31,877 
  Kreditanstalt fuer Wiederaufbau  4.000%  10/15/13  23,825  26,092 
8  Kreditanstalt fuer Wiederaufbau  3.500%  3/10/14  21,825  23,660 
  Kreditanstalt fuer Wiederaufbau  4.125%  10/15/14  1,425  1,580 
^,8 Kreditanstalt fuer Wiederaufbau  2.750%  10/21/14  15,275  16,164 
^,8 Kreditanstalt fuer Wiederaufbau  2.625%  3/3/15  28,625  30,132 
  Kreditanstalt fuer Wiederaufbau  5.125%  3/14/16  36,250  42,561 
8  Kreditanstalt fuer Wiederaufbau  4.875%  1/17/17  680  797 
  Kreditanstalt fuer Wiederaufbau  4.375%  3/15/18  14,175  16,118 
  Kreditanstalt fuer Wiederaufbau  4.500%  7/16/18  14,325  16,484 
8  Kreditanstalt fuer Wiederaufbau  4.875%  6/17/19  24,425  28,691 
^,8 Kreditanstalt fuer Wiederaufbau  4.000%  1/27/20  17,800  19,636 
8  Kreditanstalt fuer Wiederaufbau  2.750%  9/8/20  19,450  19,590 
  Landesbank Baden-Wuerttemberg  6.350%  4/1/12  2,000  2,152 
9  Landeskreditbank Baden-Wuerttemberg         
  Foerderbank  4.875%  1/13/12  9,375  9,832 
8  Landwirtschaftliche Rentenbank  5.250%  7/2/12  7,425  8,014 
  Landwirtschaftliche Rentenbank  1.875%  9/24/12  18,950  19,406 
  Landwirtschaftliche Rentenbank  3.250%  3/15/13  20,750  21,904 
  Landwirtschaftliche Rentenbank  4.125%  7/15/13  7,325  7,963 
8  Landwirtschaftliche Rentenbank  3.125%  7/15/15  11,395  12,218 
  Landwirtschaftliche Rentenbank  4.875%  11/16/15  9,250  10,592 
8  Landwirtschaftliche Rentenbank  5.000%  11/8/16  76  88 
8  Landwirtschaftliche Rentenbank  5.125%  2/1/17  6,975  8,197 
^  Mexico Government International Bond  7.500%  1/14/12  2,475  2,675 
  Mexico Government International Bond  6.375%  1/16/13  9,477  10,519 
  Mexico Government International Bond  5.875%  2/17/14  16,575  18,730 
  Mexico Government International Bond  6.625%  3/3/15  2,433  2,853 
  Mexico Government International Bond  11.375%  9/15/16  4,775  6,936 
  Mexico Government International Bond  5.625%  1/15/17  43,196  49,608 
  Mexico Government International Bond  5.950%  3/19/19  23,200  27,260 
  Mexico Government International Bond  5.125%  1/15/20  1,050  1,171 
  Mexico Government International Bond  8.300%  8/15/31  10,300  14,574 


  Mexico Government International Bond  6.750%  9/27/34  75,951  94,238 
  Mexico Government International Bond  6.050%  1/11/40  8,775  10,025 
  Nordic Investment Bank  1.625%  1/28/13  12,000  12,211 
  Nordic Investment Bank  2.625%  10/6/14  9,600  10,102 
  Nordic Investment Bank  2.500%  7/15/15  9,200  9,636 
  Nordic Investment Bank  5.000%  2/1/17  5,200  6,110 
  Oesterreichische Kontrollbank AG  3.125%  10/14/11  7,645  7,840 
10 Oesterreichische Kontrollbank AG  4.750%  11/8/11  2,525  2,638 
10 Oesterreichische Kontrollbank AG  1.875%  3/21/12  16,675  16,990 
10 Oesterreichische Kontrollbank AG  4.750%  10/16/12  4,975  5,389 
10 Oesterreichische Kontrollbank AG  1.750%  3/11/13  16,500  16,812 
  Oesterreichische Kontrollbank AG  4.500%  3/9/15  125  140 
10 Oesterreichische Kontrollbank AG  5.000%  4/25/17  13,570  15,752 
  Ontario Electricity Financial Corp.  7.450%  3/31/13  3,950  4,543 
  Panama Government International Bond  5.200%  1/30/20  20,125  22,153 
  Panama Government International Bond  7.125%  1/29/26  14,150  17,864 
  Panama Government International Bond  8.875%  9/30/27  650  939 
  Panama Government International Bond  9.375%  4/1/29  800  1,208 
  Panama Government International Bond  6.700%  1/26/36  7,295  8,895 
  Pemex Project Funding Master Trust  9.125%  10/13/10  335  333 
  Pemex Project Funding Master Trust  5.750%  3/1/18  31,900  35,005 
  Pemex Project Funding Master Trust  6.625%  6/15/35  17,230  18,735 
  Pemex Project Funding Master Trust  6.625%  6/15/38  5,975  6,486 
  Peruvian Government International Bond  7.125%  3/30/19  18,700  23,375 
  Peruvian Government International Bond  7.350%  7/21/25  8,475  10,975 
  Peruvian Government International Bond  8.750%  11/21/33  11,392  16,870 
3  Peruvian Government International Bond  6.550%  3/14/37  12,500  15,125 
  Petrobras International Finance Co. - Pifco  6.125%  10/6/16  13,763  15,305 
  Petrobras International Finance Co. - Pifco  5.875%  3/1/18  18,650  20,721 
  Petrobras International Finance Co. - Pifco  8.375%  12/10/18  10,250  12,556 
  Petrobras International Finance Co. - Pifco  7.875%  3/15/19  19,808  24,067 
  Petrobras International Finance Co. - Pifco  5.750%  1/20/20  5,600  6,231 
  Petrobras International Finance Co. - Pifco  6.875%  1/20/40  5,800  6,665 
4  Petroleos Mexicanos  4.875%  3/15/15  9,350  10,021 
  Petroleos Mexicanos  8.000%  5/3/19  5,200  6,516 
4  Petroleos Mexicanos  6.000%  3/5/20  10,825  11,929 
4  Petroleos Mexicanos  5.500%  1/21/21  7,175  7,628 
4  Petroleos Mexicanos  6.625%  6/15/35  3,575  3,859 
4  Petronas Capital Ltd.  5.250%  8/12/19  1,000  1,119 
  Poland Government International Bond  6.250%  7/3/12  8,725  9,423 
  Poland Government International Bond  5.250%  1/15/14  1,695  1,848 
  Poland Government International Bond  3.875%  7/16/15  14,200  14,768 
  Poland Government International Bond  5.000%  10/19/15  2,875  3,145 
  Poland Government International Bond  6.375%  7/15/19  37,925  44,847 
  Province of British Columbia Canada  2.850%  6/15/15  15,300  16,290 
  Province of Manitoba Canada  2.125%  4/22/13  4,850  5,020 
  Province of Manitoba Canada  2.625%  7/15/15  8,750  9,202 
  Province of Manitoba Canada  4.900%  12/6/16  11,700  13,645 
  Province of Nova Scotia Canada  5.750%  2/27/12  1,650  1,760 
  Province of Nova Scotia Canada  2.375%  7/21/15  8,000  8,248 
  Province of Ontario Canada  5.000%  10/18/11  15,300  16,026 
  Province of Ontario Canada  1.875%  11/19/12  20,300  20,778 
  Province of Ontario Canada  4.100%  6/16/14  27,670  30,510 
  Province of Ontario Canada  2.950%  2/5/15  5,080  5,394 
  Province of Ontario Canada  2.700%  6/16/15  23,375  24,534 


Province of Ontario Canada  1.875%  9/15/15  10,300  10,387 
Province of Ontario Canada  4.750%  1/19/16  2,075  2,375 
Province of Ontario Canada  5.450%  4/27/16  30,325  35,689 
Province of Ontario Canada  4.000%  10/7/19  19,775  21,460 
Province of Ontario Canada  4.400%  4/14/20  20,575  22,825 
Province of Quebec Canada  4.875%  5/5/14  4,125  4,637 
Province of Quebec Canada  4.600%  5/26/15  7,600  8,576 
Province of Quebec Canada  5.125%  11/14/16  18,225  21,215 
Province of Quebec Canada  4.625%  5/14/18  11,800  13,364 
Province of Quebec Canada  3.500%  7/29/20  16,450  16,783 
Province of Quebec Canada  7.125%  2/9/24  905  1,250 
Province of Quebec Canada  7.500%  9/15/29  7,877  11,394 
Province of Saskatchewan Canada  7.375%  7/15/13  1,375  1,610 
4 Ras Laffan Liquefied Natural Gas Co. Ltd. III  5.500%  9/30/14  350  383 
4 Ras Laffan Liquefied Natural Gas Co. Ltd. III  6.750%  9/30/19  350  416 
Region of Lombardy Italy  5.804%  10/25/32  6,395  6,907 
Republic of Italy  5.625%  6/15/12  11,675  12,411 
Republic of Italy  2.125%  10/5/12  27,250  27,582 
Republic of Italy  4.375%  6/15/13  125  133 
Republic of Italy  2.125%  9/16/13  11,750  11,780 
Republic of Italy  4.500%  1/21/15  14,350  15,354 
^ Republic of Italy  3.125%  1/26/15  24,800  25,307 
Republic of Italy  4.750%  1/25/16  22,250  23,913 
Republic of Italy  5.250%  9/20/16  31,326  34,505 
Republic of Italy  6.875%  9/27/23  11,600  14,072 
Republic of Italy  5.375%  6/15/33  16,575  16,868 
Republic of Korea  4.250%  6/1/13  19,300  20,462 
^ Republic of Korea  5.750%  4/16/14  8,700  9,775 
Republic of Korea  4.875%  9/22/14  625  683 
Republic of Korea  7.125%  4/16/19  7,975  10,113 
Republic of Korea  5.625%  11/3/25  1,425  1,647 
South Africa Government International Bond  7.375%  4/25/12  7,775  8,484 
South Africa Government International Bond  6.500%  6/2/14  2,425  2,764 
South Africa Government International Bond  6.875%  5/27/19  15,125  18,528 
South Africa Government International Bond  5.500%  3/9/20  11,500  12,822 
South Africa Government International Bond  5.875%  5/30/22  4,300  4,966 
Svensk Exportkredit AB  3.250%  9/16/14  7,775  8,276 
Svensk Exportkredit AB  5.125%  3/1/17  1,350  1,569 
4 Temasek Financial I Ltd.  5.375%  11/23/39  500  571 
Total Sovereign Bonds (Cost $3,534,769)        3,801,746 
Taxable Municipal Bonds (0.7%)         
American Muni. Power Ohio Inc.  6.053%  2/15/43  950  994 
American Muni. Power Ohio Inc.  5.939%  2/15/47  4,775  4,885 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.793%  4/1/30  2,375  2,536 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.918%  4/1/40  4,075  4,398 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.263%  4/1/49  6,275  6,950 
Board of Regents of the Univ. of Texas         
System Rev. Financing System  5.134%  8/15/42  100  107 
Board of Regents of the Univ. of Texas         
System Rev. Financing System  4.794%  8/15/46  3,000  3,067 
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  3.625%  5/1/14  7,650  8,269 
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  4.250%  5/1/16  2,250  2,519 
California GO  5.250%  4/1/14  3,425  3,642 


California GO  5.750%  3/1/17  10,750  11,804 
California GO  6.200%  3/1/19  1,400  1,532 
California GO  6.200%  10/1/19  11,175  12,291 
California GO  7.500%  4/1/34  23,775  26,191 
California GO  7.950%  3/1/36  500  533 
California GO  5.650%  4/1/39  3,775  4,064 
California GO  7.550%  4/1/39  185  202 
California GO  7.300%  10/1/39  3,250  3,446 
California GO  7.350%  11/1/39  21,900  23,358 
California GO  7.625%  3/1/40  8,250  9,065 
Central Puget Sound WA Regional Transit         
Auth. Sales & Use Tax Rev.  5.491%  11/1/39  1,500  1,651 
Chicago IL Board of Educ. GO  6.138%  12/1/39  650  663 
Chicago IL Metro. Water Reclamation Dist.         
GO  5.720%  12/1/38  9,350  10,636 
Chicago IL O'Hare International Airport Rev.  6.845%  1/1/38  950  992 
Chicago IL O'Hare International Airport Rev.  6.395%  1/1/40  1,500  1,601 
Chicago IL Transit Auth. Rev.  6.200%  12/1/40  2,850  2,893 
Chicago IL Transit Auth. Rev.  6.899%  12/1/40  8,125  8,859 
Clark County NV Airport Improvement Rev.  6.881%  7/1/42  1,475  1,542 
Commonwealth Financing Auth. Pennsylvania         
Rev.  6.218%  6/1/39  6,375  6,953 
Connecticut GO  5.850%  3/15/32  5,375  6,095 
Cook County IL GO  6.229%  11/15/34  1,950  2,027 
Curators of the Univ. of Missouri System Fac.         
Rev.  5.960%  11/1/39  3,000  3,469 
Dallas County TX Hosp. Dist. GO  5.621%  8/15/44  2,100  2,414 
Dallas TX Area Rapid Transit Rev.  4.922%  12/1/41  7,850  7,845 
Dallas TX Area Rapid Transit Rev.  5.999%  12/1/44  1,050  1,225 
Dallas TX Area Rapid Transit Rev.  5.022%  12/1/48  4,700  4,718 
Denver CO City & County School Dist.  5.664%  12/1/33  1,325  1,442 
District of Columbia Income Tax Rev.  5.591%  12/1/34  1,125  1,217 
East Baton Rouge LA Sewer Commission         
Rev.  6.087%  2/1/45  2,300  2,375 
East Bay CA Muni. Util. Dist. Water System         
Rev.  5.874%  6/1/40  2,100  2,375 
Georgia GO  4.503%  11/1/25  6,100  6,873 
Illinois GO  2.766%  1/1/12  9,600  9,726 
Illinois GO  4.071%  1/1/14  9,600  9,934 
Illinois GO  4.950%  6/1/23  13,275  12,837 
Illinois GO  5.100%  6/1/33  42,199  35,560 
Illinois GO  6.630%  2/1/35  2,800  2,791 
Illinois GO  6.725%  4/1/35  5,275  5,256 
Illinois State Tollway Highway Auth. Toll         
Highway Rev.  6.184%  1/1/34  880  939 
Illinois State Tollway Highway Auth. Toll         
Highway Rev.  5.851%  12/1/34  1,650  1,688 
Indianapolis IN Local Public Improvement         
Bond Bank Notes  6.116%  1/15/40  9,700  10,946 
Kansas Dev. Finance Auth. Rev. (Public         
Employee Retirement System)  5.501%  5/1/34  4,650  4,854 
Kentucky Asset/Liability Comm. General Fund         
Rev.  3.165%  4/1/18  800  808 
Las Vegas Valley Water Dist. Nevada GO  7.013%  6/1/39  1,700  1,992 
Los Angeles CA Community College Dist. GO  6.600%  8/1/42  5,325  5,873 


Los Angeles CA Dept. of Water & Power Rev.  5.716%  7/1/39  2,000  2,065 
Los Angeles CA Dept. of Water & Power Rev.  6.008%  7/1/39  6,350  6,967 
Los Angeles CA Dept. of Water & Power Rev.  6.166%  7/1/40  1,550  1,580 
Los Angeles CA USD GO  5.750%  7/1/34  4,825  4,867 
Los Angeles CA USD GO  6.758%  7/1/34  2,525  2,856 
Loudoun County VA IDA Rev. (Howard         
Hughes Medical Institute)  3.450%  9/1/14  4,050  4,352 
Maryland Health & Higher Educ. Fac Auth.         
Rev. (Johns Hopkins Univ.)  5.250%  7/1/19  7,950  9,265 
Maryland Transp. Auth. Rev.  5.888%  7/1/43  2,100  2,315 
Massachusetts GO  4.500%  8/1/31  500  488 
Massachusetts GO  5.456%  12/1/39  5,300  5,814 
Massachusetts School Building Auth.         
Dedicated Sales Tax Rev.  5.715%  8/15/39  2,550  2,892 
Massachusetts Water Pollution Abatement         
Trust  5.192%  8/1/40  2,825  3,005 
Metro New York Transp Auth. Rev.         
(Dedicated Tax Fund)  7.336%  11/15/39  4,575  5,754 
Metro New York Transp Auth. Rev.         
(Dedicated Tax Fund)  6.089%  11/15/40  975  1,070 
Metro. Govt. of Nashville & Davidson County         
TN GO  5.707%  7/1/34  2,625  2,916 
Metro. New York Transp. Auth. Rev.  6.548%  11/15/31  700  761 
Metro. New York Transp. Auth. Rev.  5.871%  11/15/39  2,175  2,192 
Metro. Transp. Auth. NY Rev.  6.648%  11/15/39  3,825  4,197 
Metro. Washington DC/VA Airports Auth.         
Airport System Rev.  7.462%  10/1/46  1,375  1,426 
Missouri Highways & Transp. Comm. Road         
Rev.  5.445%  5/1/33  1,650  1,777 
Muni. Electric Auth. Georgia Rev.  6.637%  4/1/57  8,025  8,612 
Muni. Electric Auth. Georgia Rev.  6.655%  4/1/57  5,900  6,198 
Muni. Electric Auth. Georgia Rev.  7.055%  4/1/57  3,425  3,379 
New Hampshire Health & Educ. Fac. Auth.         
Rev. (Dartmouth College)  4.750%  6/1/19  700  792 
New Jersey Econ. Dev. Auth. Rev. (Pension         
Funding)  7.425%  2/15/29  9,750  11,390 
New Jersey Educ. Fac. Auth. Rev. (Princeton         
Univ.)  5.700%  3/1/39  3,500  4,144 
New Jersey Transp. Trust Fund Auth. Rev.  6.561%  12/15/40  575  654 
New Jersey Turnpike Auth. Rev.  4.252%  1/1/16  200  219 
New Jersey Turnpike Auth. Rev.  4.252%  1/1/16  2,875  3,056 
New Jersey Turnpike Auth. Rev.  7.414%  1/1/40  11,900  14,845 
New York City NY GO  6.246%  6/1/35  2,150  2,272 
New York City NY GO  5.968%  3/1/36  3,200  3,448 
New York City NY GO  5.985%  12/1/36  1,650  1,760 
New York City NY GO  5.846%  6/1/40  2,100  2,205 
New York City NY Muni. Water Finance Auth.  5.724%  6/15/42  450  487 
New York City NY Muni. Water Finance Auth.  6.011%  6/15/42  1,050  1,190 
New York City NY Muni. Water Finance Auth.  5.440%  6/15/43  4,400  4,586 
New York City NY Muni. Water Finance Auth.         
Water & Sewer System Rev.  5.750%  6/15/41  1,400  1,520 
New York City NY Muni. Water Finance Auth.         
Water & Sewer System Rev.  5.952%  6/15/42  2,900  3,232 
New York City NY Transitional Finance Auth.         
Rev.  5.767%  8/1/36  2,125  2,238 


New York City NY Transitional Finance Auth.         
Rev.  5.508%  8/1/37  8,950  9,321 
New York State Dormitory Auth. Rev.         
(Personal Income Tax)  5.500%  3/15/30  6,900  7,261 
New York State Dormitory Auth. Rev.         
(Personal Income Tax)  5.628%  3/15/39  2,000  2,100 
New York State Urban Dev. Corp. Rev.  5.770%  3/15/39  5,675  6,083 
North Texas Tollway Auth. Rev.  6.718%  1/1/49  3,550  3,896 
Ohio State Univ. General Receipts Rev.  4.910%  6/1/40  4,400  4,491 
Ohio Water Dev. Auth. PCR  4.879%  12/1/34  2,550  2,668 
Oregon (Taxable Pension) GO  5.762%  6/1/23  1,950  2,228 
Oregon (Taxable Pension) GO  5.892%  6/1/27  2,725  3,171 
Oregon GO  5.528%  6/30/28  1,200  1,353 
Oregon School Boards Association GO  4.759%  6/30/28  2,075  2,138 
Oregon State Dept. Transp. Highway Usertax         
Rev.  5.834%  11/15/34  2,425  2,766 
Pennsylvania GO  4.650%  2/15/26  2,875  3,019 
Pennsylvania GO  5.350%  5/1/30  7,400  7,606 
Pennsylvania State Turnpike Comm. Rev.  5.511%  12/1/45  1,450  1,466 
Pennsylvania State Turnpike Comm. Rev.  5.561%  12/1/49  1,475  1,495 
Pennsylvania Turnpike Comm. Rev.  6.105%  12/1/39  400  451 
Port Auth. of New York & New Jersey Rev.  6.040%  12/1/29  2,550  2,868 
Salt River Project Arizona Agricultural         
Improvement & Power Dist. Rev.  4.839%  1/1/41  1,900  1,899 
San Antonio TX Electric & Gas Rev.  5.985%  2/1/39  4,325  5,088 
San Antonio TX Electric & Gas Rev.  5.718%  2/1/41  2,725  3,090 
San Diego County CA Water Auth.  6.138%  5/1/49  2,320  2,574 
State Public School Building Auth.         
Pennsylvania College Rev.  5.000%  9/15/27  2,600  2,603 
Texas GO  4.681%  4/1/40  2,750  2,773 
Texas State Transp. Comm. First Tier  5.028%  4/1/26  2,100  2,290 
Texas State Transp. Comm. Rev. (First Tier)  5.178%  4/1/30  2,025  2,180 
Texas State Transp. Comm. Rev. (First Tier)  4.631%  4/1/33  6,450  6,519 
Tobacco Settlement West Virginia Finance         
Auth. Rev.  7.467%  6/1/47  4,135  3,215 
Univ. of California Regents  6.583%  5/15/49  2,575  2,847 
Univ. of California Rev.  5.946%  5/15/45  13,100  13,323 
Univ. of Texas Permanent Univ. Fund Rev.  5.262%  7/1/39  1,650  1,835 
Univ. of Texas Permanent Univ. Fund Rev.  6.276%  8/15/41  1,525  1,664 
Univ. of Virginia VRDO  6.200%  9/1/39  3,000  3,730 
Utah GO  4.554%  7/1/24  2,425  2,630 
Utah GO  3.539%  7/1/25  6,300  6,313 
Utah Transit Auth. Sales Tax Rev.  5.937%  6/15/39  400  467 
Washington GO  5.090%  8/1/33  9,550  10,148 
Washington GO  5.481%  8/1/39  770  846 
Washington GO  5.140%  8/1/40  5,800  6,035 
Wisconsin GO  4.800%  5/1/13  2,525  2,738 
Wisconsin GO  5.700%  5/1/26  2,800  3,051 
Total Taxable Municipal Bonds (Cost $574,524)        605,947 


Tax-Exempt Municipal Bonds (0.0%)         
Illinois (0.0%)         
Illinois GO  7.350%  7/1/35  550  566 
 
California (0.0%)         
San Francisco CA City & County Water Rev.  6.000%  11/1/40  4,950  5,222 
 
Total Tax-Exempt Municipal Bonds (Cost $5,669)        5,788 
      Shares   
Temporary Cash Investment (3.2%)         
Money Market Fund (3.2%)         
11,12Vanguard Market Liquidity Fund (Cost         
$2,779,155)  0.261%    2,779,155,000  2,779,155 
 
Total Investments (102.9%) (Cost $85,704,839)        90,813,852 
Other Assets and Liabilities-Net (-2.9%)        (2,177,824) 
Net Assets (100%)        88,636,028 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $85,222,000.
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 September 30, 2010, the aggregate value of these securities was $384,220,000, representing 0.4% of net assets.
5 Adjustable-rate security.
6 Non-income-producing security--security in default.
7 Guaranteed by the Government of Japan.
8 Guaranteed by the Federal Republic of Germany.
9 Guaranteed by the State of Baden-Wurttemberg.
10 Guaranteed by the Republic of Austria.
11 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
12 Includes $87,254,000 of collateral received for securities on loan.
13 Guaranteed by the National Credit Union Administration.
GO—General Obligation Bond.
IDA—Industrial Development Authority Bond.
PCR—Pollution Control Revenue Bond.
REIT—Real Estate Investment Trust.
USD—United School District.
VRDO—Variable Rate Demand Obligation.

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


Total Bond Market Index Fund

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 September 30, 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    62,205,251   
  —    — 
Asset-Backed/Commercial Mortgage-Backed Securities    3,347,808   
  —     
Corporate Bonds    18,068,100  57 
  —    — 
Sovereign Bonds    3,801,746   
  —    — 
Taxable Municipal Bonds    605,947   
  —    — 
Tax-Exempt Municipal Bonds    5,788   
    —  — 
Temporary Cash Investments  2,779,155     
Total  2,779,155  88,034,640  57 

There were no changes in investments valued based on Level 3 inputs during the period ended September 30, 2010.

C. At September 30, 2010, the cost of investment securities for tax purposes was $85,704,839,000. Net unrealized appreciation of investment securities for tax purposes was $5,109,013,000, consisting of unrealized gains of $5,160,503,000 on securities that had risen in value since their purchase and $51,490,000 in unrealized losses on securities that had fallen in value since their purchase.


Total Bond Market Index Fund


Vanguard Inflation-Protected Securities Fund

Schedule of Investments
As of September 30, 2010

      Face  Market 
    Maturity  Amount  Value 
Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (99.6%)         
U.S. Government Securities (99.6%)         
1 United States Treasury Inflation Indexed         
Bonds  3.375%  1/15/12  325,640  418,682 
United States Treasury Inflation Indexed         
Bonds  2.000%  4/15/12  383,000  425,816 
United States Treasury Inflation Indexed         
Bonds  3.000%  7/15/12  1,334,275  1,718,190 
United States Treasury Inflation Indexed         
Bonds  0.625%  4/15/13  335,000  354,979 
United States Treasury Inflation Indexed         
Bonds  1.875%  7/15/13  1,297,875  1,637,355 
United States Treasury Inflation Indexed         
Bonds  2.000%  1/15/14  1,530,000  1,936,384 
United States Treasury Inflation Indexed         
Bonds  1.250%  4/15/14  994,000  1,077,400 
United States Treasury Inflation Indexed         
Bonds  2.000%  7/15/14  1,015,845  1,270,731 
United States Treasury Inflation Indexed         
Bonds  1.625%  1/15/15  1,190,215  1,452,137 
United States Treasury Inflation Indexed         
Bonds  0.500%  4/15/15  629,600  650,688 
United States Treasury Inflation Indexed         
Bonds  1.875%  7/15/15  1,073,725  1,308,008 
United States Treasury Inflation Indexed         
Bonds  2.000%  1/15/16  938,050  1,129,381 
United States Treasury Inflation Indexed         
Bonds  2.500%  7/15/16  692,425  846,760 
United States Treasury Inflation Indexed         
Bonds  2.375%  1/15/17  970,525  1,182,968 
United States Treasury Inflation Indexed         
Bonds  2.625%  7/15/17  1,152,750  1,398,622 
United States Treasury Inflation Indexed         
Bonds  1.625%  1/15/18  953,600  1,077,012 
United States Treasury Inflation Indexed         
Bonds  1.375%  7/15/18  371,500  402,054 
United States Treasury Inflation Indexed         
Bonds  2.125%  1/15/19  570,100  652,155 
United States Treasury Inflation Indexed         
Bonds  1.875%  7/15/19  794,450  899,761 
United States Treasury Inflation Indexed         
Bonds  1.375%  1/15/20  1,523,000  1,632,359 
United States Treasury Inflation Indexed         
Bonds  1.250%  7/15/20  44,000  46,171 
United States Treasury Inflation Indexed         
Bonds  2.375%  1/15/25  1,544,770  2,049,627 
United States Treasury Inflation Indexed         
Bonds  2.000%  1/15/26  1,207,698  1,455,687 
United States Treasury Inflation Indexed         
Bonds  2.375%  1/15/27  1,187,889  1,479,413 


United States Treasury Inflation Indexed         
Bonds  1.750%  1/15/28  895,125  985,213 
United States Treasury Inflation Indexed         
Bonds  3.625%  4/15/28  650,490  1,170,119 
United States Treasury Inflation Indexed         
Bonds  2.500%  1/15/29  803,700  960,566 
United States Treasury Inflation Indexed         
Bonds  3.875%  4/15/29  884,200  1,626,770 
United States Treasury Inflation Indexed         
Bonds  3.375%  4/15/32  41,500  68,644 
United States Treasury Inflation Indexed         
Bonds  2.125%  2/15/40  877,130  985,505 
Total U.S. Government and Agency Obligations (Cost $29,735,999)      32,299,157 
        Market 
        Value 
  Coupon    Shares  ($000) 
Temporary Cash Investment (0.1%)         
Money Market Fund (0.1%)         
2 Vanguard Market Liquidity Fund (Cost         
$32,885)  0.261%    32,885,386  32,885 
Total Investments (99.7%) (Cost $29,768,884)        32,332,042 
Other Assets and Liabilities-Net (0.3%)        102,692 
Net Assets (100%)        32,434,734 

1 Securities with a value of $10,472,000 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.


Inflation-Protected Securities 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. 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).

At September 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)  
        Aggregate  
      Settlement  
    Number of   Value Unrealized 
    Long (Short)    Appreciation 
Futures Contracts  Expiration  Contracts    Long (Short) (Depreciation) 
10-Year U.S. Treasury Note  December 2010  7,059  889,765  2,588 
2-Year U.S. Treasury Note  December 2010  (3,311)  (726,713)  (811) 
5-Year U.S. Treasury Note  December 2010  (770)  (93,068)  (596) 
30-Year U.S. Treasury Bond  December 2010  (208)  (27,813)  59 

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


Inflation-Protected Securities Fund

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 September 30, 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  —  32,299,157  — 
Temporary Cash Investments  32,885  —  — 
Futures Contracts—Liabilities1  (961)  —  — 
Total  31,924  32,299,157  — 
 
1 Represents variation margin on the last day of the reporting period.       

D. At September 30, 2010, the cost of investment securities for tax purposes was $29,813,136,000. Net unrealized appreciation of investment securities for tax purposes was $2,518,906,000, consisting of unrealized gains of $2,519,120,000 on securities that had risen in value since their purchase and $214,000 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 September 30, 2010

      Face  Market 
    Maturity  Amount  Value 
Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (70.8%)         
U.S. Government Securities (37.7%)         
United States Treasury Note/Bond  0.750%  11/30/11  251,898  253,157 
United States Treasury Note/Bond  1.125%  12/15/11  92,000  92,877 
United States Treasury Note/Bond  1.000%  12/31/11  234,850  236,832 
United States Treasury Note/Bond  4.625%  12/31/11  2,300  2,424 
United States Treasury Note/Bond  1.125%  1/15/12  97,300  98,303 
United States Treasury Note/Bond  0.875%  1/31/12  477,125  480,555 
United States Treasury Note/Bond  4.750%  1/31/12  5,825  6,170 
United States Treasury Note/Bond  1.375%  2/15/12  69,650  70,652 
United States Treasury Note/Bond  4.875%  2/15/12  80,000  84,975 
United States Treasury Note/Bond  0.875%  2/29/12  12,050  12,140 
United States Treasury Note/Bond  4.625%  2/29/12  4,375  4,640 
United States Treasury Note/Bond  1.375%  3/15/12  375  381 
United States Treasury Note/Bond  1.000%  3/31/12  8,400  8,481 
United States Treasury Note/Bond  4.500%  3/31/12  131,550  139,751 
United States Treasury Note/Bond  1.375%  4/15/12  36,775  37,344 
United States Treasury Note/Bond  1.000%  4/30/12  369,255  372,948 
United States Treasury Note/Bond  4.500%  4/30/12  56,100  59,782 
United States Treasury Note/Bond  1.375%  5/15/12  244,025  247,951 
United States Treasury Note/Bond  0.750%  5/31/12  384,600  386,884 
United States Treasury Note/Bond  4.750%  5/31/12  31,325  33,596 
United States Treasury Note/Bond  1.875%  6/15/12  100,575  103,153 
United States Treasury Note/Bond  0.625%  6/30/12  1,850  1,857 
United States Treasury Note/Bond  4.875%  6/30/12  43,675  47,114 
United States Treasury Note/Bond  0.625%  7/31/12  151,950  152,567 
United States Treasury Note/Bond  4.625%  7/31/12  51,425  55,426 
United States Treasury Note/Bond  1.750%  8/15/12  133,550  136,889 
United States Treasury Note/Bond  0.375%  8/31/12  70,275  70,209 
United States Treasury Note/Bond  4.125%  8/31/12  500  535 
United States Treasury Note/Bond  1.375%  9/15/12  66,475  67,721 
United States Treasury Note/Bond  4.250%  9/30/12  1,400  1,507 
United States Treasury Note/Bond  1.375%  10/15/12  8,540  8,700 
United States Treasury Note/Bond  3.875%  10/31/12  31,419  33,677 
United States Treasury Note/Bond  1.375%  11/15/12  85,535  87,165 
United States Treasury Note/Bond  4.000%  11/15/12  4,025  4,332 
United States Treasury Note/Bond  3.375%  11/30/12  9,020  9,594 
United States Treasury Note/Bond  1.125%  12/15/12  36,475  36,988 
United States Treasury Note/Bond  1.375%  1/15/13  35,550  36,250 
United States Treasury Note/Bond  1.375%  2/15/13  107,375  109,522 
United States Treasury Note/Bond  3.875%  2/15/13  100  108 
United States Treasury Note/Bond  2.750%  2/28/13  26,075  27,493 
United States Treasury Note/Bond  1.375%  3/15/13  70,520  71,975 
United States Treasury Note/Bond  1.750%  4/15/13  145,450  149,859 
United States Treasury Note/Bond  1.375%  5/15/13  195,100  199,185 
United States Treasury Note/Bond  3.625%  5/15/13  21,175  22,909 
United States Treasury Note/Bond  3.500%  5/31/13  45,250  48,827 
United States Treasury Note/Bond  1.125%  6/15/13  45,810  46,461 
United States Treasury Note/Bond  3.375%  6/30/13  3,200  3,446 
United States Treasury Note/Bond  3.375%  7/31/13  4,225  4,559 
United States Treasury Note/Bond  0.750%  8/15/13  139,750  140,296 


United States Treasury Note/Bond  4.250%  8/15/13  57,225  63,198 
United States Treasury Note/Bond  3.125%  8/31/13  21,350  22,898 
United States Treasury Note/Bond  0.750%  9/15/13  185,250  185,858 
United States Treasury Note/Bond  3.125%  9/30/13  67,300  72,253 
United States Treasury Note/Bond  2.750%  10/31/13  44,550  47,376 
United States Treasury Note/Bond  4.250%  11/15/13  40,800  45,339 
United States Treasury Note/Bond  2.000%  11/30/13  41,950  43,667 
United States Treasury Note/Bond  1.500%  12/31/13  14,525  14,886 
United States Treasury Note/Bond  1.750%  1/31/14  325  336 
United States Treasury Note/Bond  1.875%  2/28/14  442,150  458,386 
United States Treasury Note/Bond  1.750%  3/31/14  153,300  158,282 
United States Treasury Note/Bond  1.875%  4/30/14  113,600  117,825 
United States Treasury Note/Bond  4.750%  5/15/14  61,500  70,187 
United States Treasury Note/Bond  2.250%  5/31/14  89,650  94,217 
United States Treasury Note/Bond  2.625%  6/30/14  183,400  195,292 
United States Treasury Note/Bond  2.625%  7/31/14  72,250  76,935 
United States Treasury Note/Bond  2.375%  9/30/14  35,300  37,264 
United States Treasury Note/Bond  2.375%  10/31/14  128,240  135,374 
United States Treasury Note/Bond  2.125%  11/30/14  52,643  55,028 
United States Treasury Note/Bond  2.625%  12/31/14  4,900  5,222 
United States Treasury Note/Bond  2.250%  1/31/15  51,875  54,453 
United States Treasury Note/Bond  4.000%  2/15/15  3,595  4,043 
United States Treasury Note/Bond  11.250%  2/15/15  15,075  21,630 
United States Treasury Note/Bond  2.375%  2/28/15  1,275  1,345 
United States Treasury Note/Bond  2.500%  3/31/15  5,000  5,302 
United States Treasury Note/Bond  4.125%  5/15/15  4,800  5,441 
United States Treasury Note/Bond  1.875%  6/30/15  17,660  18,201 
United States Treasury Note/Bond  1.750%  7/31/15  41,075  42,063 
United States Treasury Note/Bond  4.250%  8/15/15  4,900  5,601 
United States Treasury Note/Bond  10.625%  8/15/15  1,775  2,566 
United States Treasury Note/Bond  1.250%  8/31/15  68,135  68,135 
United States Treasury Note/Bond  4.500%  11/15/15  175  203 
United States Treasury Note/Bond  9.875%  11/15/15  79,875  113,797 
United States Treasury Note/Bond  4.500%  2/15/16  137,500  159,565 
United States Treasury Note/Bond  9.250%  2/15/16  2,000  2,816 
United States Treasury Note/Bond  2.625%  2/29/16  217,600  231,267 
United States Treasury Note/Bond  2.375%  3/31/16  183,625  192,577 
United States Treasury Note/Bond  2.625%  4/30/16  149,000  158,056 
United States Treasury Note/Bond  5.125%  5/15/16  67,375  80,692 
United States Treasury Note/Bond  7.250%  5/15/16  3,075  4,033 
United States Treasury Note/Bond  3.250%  5/31/16  78,175  85,589 
United States Treasury Note/Bond  3.250%  6/30/16  57,575  63,045 
United States Treasury Note/Bond  4.875%  8/15/16  625  742 
United States Treasury Note/Bond  3.000%  8/31/16  155,450  167,717 
United States Treasury Note/Bond  3.000%  9/30/16  363,050  391,582 
United States Treasury Note/Bond  3.125%  10/31/16  324,950  352,723 
United States Treasury Note/Bond  4.625%  11/15/16  850  999 
United States Treasury Note/Bond  7.500%  11/15/16  17,950  24,039 
United States Treasury Note/Bond  2.750%  11/30/16  242,875  258,130 
United States Treasury Note/Bond  3.250%  12/31/16  90,775  99,086 
United States Treasury Note/Bond  3.125%  1/31/17  8,850  9,593 
United States Treasury Note/Bond  4.625%  2/15/17  4,025  4,732 
United States Treasury Note/Bond  3.250%  3/31/17  475  518 
United States Treasury Note/Bond  4.500%  5/15/17  45,400  53,068 
United States Treasury Note/Bond  8.750%  5/15/17  35,864  51,499 
United States Treasury Note/Bond  2.750%  5/31/17  177,000  187,261 
United States Treasury Note/Bond  2.500%  6/30/17  3,025  3,151 
United States Treasury Note/Bond  4.750%  8/15/17  7,375  8,759 


United States Treasury Note/Bond  8.875%  8/15/17  41,325  60,102 
United States Treasury Note/Bond  1.875%  9/30/17  178,750  178,332 
United States Treasury Note/Bond  3.875%  5/15/18  37,425  42,261 
United States Treasury Note/Bond  9.125%  5/15/18  1,625  2,451 
United States Treasury Note/Bond  4.000%  8/15/18  170,500  193,864 
United States Treasury Note/Bond  3.750%  11/15/18  202,750  226,510 
United States Treasury Note/Bond  2.750%  2/15/19  175  182 
United States Treasury Note/Bond  8.875%  2/15/19  53,775  81,276 
United States Treasury Note/Bond  3.125%  5/15/19  124,850  132,692 
United States Treasury Note/Bond  3.625%  8/15/19  230,750  253,717 
United States Treasury Note/Bond  8.125%  8/15/19  17,450  25,523 
United States Treasury Note/Bond  3.375%  11/15/19  93,438  100,679 
United States Treasury Note/Bond  3.625%  2/15/20  10,365  11,367 
United States Treasury Note/Bond  3.500%  5/15/20  113,095  122,779 
United States Treasury Note/Bond  2.625%  8/15/20  141,305  142,630 
United States Treasury Note/Bond  8.750%  8/15/20  81,655  126,170 
United States Treasury Note/Bond  7.875%  2/15/21  70,550  104,535 
United States Treasury Note/Bond  8.125%  5/15/21  3,350  5,059 
United States Treasury Note/Bond  8.125%  8/15/21  42,550  64,490 
United States Treasury Note/Bond  8.000%  11/15/21  3,700  5,581 
United States Treasury Note/Bond  7.250%  8/15/22  75  109 
United States Treasury Note/Bond  7.625%  11/15/22  150  224 
United States Treasury Note/Bond  7.125%  2/15/23  40,675  58,667 
United States Treasury Note/Bond  6.250%  8/15/23  216,950  293,833 
United States Treasury Note/Bond  6.875%  8/15/25  157,625  228,999 
United States Treasury Note/Bond  6.000%  2/15/26  1,175  1,587 
United States Treasury Note/Bond  6.750%  8/15/26  375  545 
United States Treasury Note/Bond  6.500%  11/15/26  525  748 
United States Treasury Note/Bond  6.625%  2/15/27  4,150  5,988 
United States Treasury Note/Bond  6.375%  8/15/27  18,600  26,275 
United States Treasury Note/Bond  6.125%  11/15/27  6,050  8,352 
United States Treasury Note/Bond  5.500%  8/15/28  4,775  6,193 
United States Treasury Note/Bond  5.250%  11/15/28  650  821 
United States Treasury Note/Bond  5.250%  2/15/29  50,175  63,409 
United States Treasury Note/Bond  6.125%  8/15/29  44,250  61,570 
United States Treasury Note/Bond  6.250%  5/15/30  6,925  9,800 
United States Treasury Note/Bond  5.375%  2/15/31  17,775  22,882 
United States Treasury Note/Bond  4.500%  2/15/36  84,200  96,778 
United States Treasury Note/Bond  4.750%  2/15/37  262,950  314,307 
United States Treasury Note/Bond  5.000%  5/15/37  9,400  11,671 
United States Treasury Note/Bond  4.375%  2/15/38  64,100  72,233 
United States Treasury Note/Bond  3.500%  2/15/39  20,150  19,486 
United States Treasury Note/Bond  4.250%  5/15/39  81,450  89,557 
United States Treasury Note/Bond  4.500%  8/15/39  151,866  173,839 
United States Treasury Note/Bond  4.375%  11/15/39  31,405  35,218 
United States Treasury Note/Bond  4.625%  2/15/40  67,580  78,921 
United States Treasury Note/Bond  4.375%  5/15/40  59,215  66,478 
        12,770,699 
Agency Bonds and Notes (6.4%)         
1  Ally Financial Inc.  1.750%  10/30/12  10,000  10,231 
1 Ally Financial Inc.  2.200%  12/19/12  5,725  5,918 
1 American Express Bank FSB  3.150%  12/9/11  5,625  5,806 
1  Bank of America Corp.  2.100%  4/30/12  17,050  17,483 
1  Bank of America Corp.  3.125%  6/15/12  8,950  9,317 
1  Bank of America Corp.  2.375%  6/22/12  1,725  1,779 
1 Bank of America NA  1.700%  12/23/10  4,225  4,238 
1  Bank of the West  2.150%  3/27/12  3,500  3,588 


1  Citibank NA  1.625%  3/30/11  2,125  2,140 
1  Citibank NA  1.875%  5/7/12  6,375  6,512 
1  Citibank NA  1.750%  12/28/12  15,950  16,333 
1  Citigroup Funding Inc.  2.000%  3/30/12  2,125  2,169 
1  Citigroup Funding Inc.  2.125%  7/12/12  3,800  3,906 
1  Citigroup Funding Inc.  1.875%  10/22/12  6,563  6,732 
1  Citigroup Funding Inc.  2.250%  12/10/12  1,750  1,811 
1  Citigroup Inc.  2.875%  12/9/11  6,300  6,482 
1  Citigroup Inc.  2.125%  4/30/12  14,975  15,356 
  Egypt Government AID Bonds  4.450%  9/15/15  5,725  6,466 
2  Federal Agricultural Mortgage Corp.  2.125%  9/15/15  1,050  1,062 
2  Federal Farm Credit Bank  2.000%  1/17/12  6,000  6,127 
2  Federal Farm Credit Bank  2.250%  4/24/12  2,075  2,133 
2  Federal Farm Credit Bank  2.125%  6/18/12  15,225  15,652 
2  Federal Farm Credit Bank  4.500%  10/17/12  4,725  5,101 
2  Federal Farm Credit Bank  1.875%  12/7/12  3,525  3,616 
2  Federal Farm Credit Bank  1.750%  2/21/13  3,500  3,587 
2  Federal Farm Credit Bank  1.375%  6/25/13  2,500  2,541 
2  Federal Farm Credit Bank  3.875%  10/7/13  3,250  3,541 
2  Federal Farm Credit Bank  2.625%  4/17/14  3,675  3,875 
2  Federal Farm Credit Bank  3.000%  9/22/14  4,150  4,440 
2  Federal Farm Credit Bank  4.875%  12/16/15  425  493 
2  Federal Farm Credit Bank  5.125%  8/25/16  3,475  4,103 
2  Federal Farm Credit Bank  4.875%  1/17/17  2,750  3,199 
2  Federal Farm Credit Bank  5.150%  11/15/19  5,325  6,290 
2  Federal Home Loan Bank of Chicago  5.625%  6/13/16  825  915 
2  Federal Home Loan Banks  4.875%  11/18/11  5,600  5,884 
2  Federal Home Loan Banks  1.000%  12/28/11  6,350  6,399 
2  Federal Home Loan Banks  1.125%  5/18/12  4,250  4,296 
2  Federal Home Loan Banks  1.375%  6/8/12  2,850  2,892 
2  Federal Home Loan Banks  1.875%  6/20/12  5,425  5,555 
2  Federal Home Loan Banks  1.750%  8/22/12  12,650  12,947 
2  Federal Home Loan Banks  1.625%  9/26/12  5,300  5,414 
2,3 Federal Home Loan Banks  2.000%  10/5/12  11,430  11,432 
2  Federal Home Loan Banks  1.750%  12/14/12  6,200  6,343 
2  Federal Home Loan Banks  1.500%  1/16/13  15,825  16,123 
2  Federal Home Loan Banks  3.375%  2/27/13  3,175  3,379 
2  Federal Home Loan Banks  1.625%  3/20/13  50,550  51,705 
2  Federal Home Loan Banks  3.875%  6/14/13  1,425  1,544 
2  Federal Home Loan Banks  5.375%  6/14/13  3,850  4,320 
2  Federal Home Loan Banks  1.875%  6/21/13  71,235  73,375 
2  Federal Home Loan Banks  5.125%  8/14/13  2,480  2,784 
2  Federal Home Loan Banks  4.000%  9/6/13  9,175  10,036 
2  Federal Home Loan Banks  5.250%  9/13/13  4,450  5,014 
2  Federal Home Loan Banks  4.500%  9/16/13  6,575  7,283 
2  Federal Home Loan Banks  3.625%  10/18/13  5,000  5,417 
2  Federal Home Loan Banks  4.875%  11/27/13  6,475  7,242 
2  Federal Home Loan Banks  3.125%  12/13/13  2,675  2,856 
2  Federal Home Loan Banks  2.500%  6/13/14  4,975  5,224 
2  Federal Home Loan Banks  5.500%  8/13/14  9,675  11,283 
2  Federal Home Loan Banks  4.500%  11/14/14  4,650  5,236 
2  Federal Home Loan Banks  2.750%  12/12/14  2,925  3,101 
2  Federal Home Loan Banks  5.375%  5/18/16  17,850  21,309 
2  Federal Home Loan Banks  5.125%  10/19/16  9,725  11,430 
2  Federal Home Loan Banks  4.750%  12/16/16  10,800  12,545 
2  Federal Home Loan Banks  4.875%  5/17/17  10,500  12,314 
2  Federal Home Loan Banks  5.000%  11/17/17  13,550  16,069 
2  Federal Home Loan Banks  5.375%  5/15/19  3,855  4,618 


2  Federal Home Loan Banks  4.125%  3/13/20  1,925  2,124 
2  Federal Home Loan Banks  5.250%  12/11/20  5,000  6,003 
2  Federal Home Loan Banks  5.625%  6/11/21  425  524 
2  Federal Home Loan Banks  5.375%  8/15/24  400  487 
2  Federal Home Loan Banks  5.500%  7/15/36  4,100  4,980 
2  Federal Home Loan Mortgage Corp.  5.750%  1/15/12  25,225  26,972 
2  Federal Home Loan Mortgage Corp.  2.125%  3/23/12  9,775  10,016 
2  Federal Home Loan Mortgage Corp.  1.750%  6/15/12  65,775  67,192 
2  Federal Home Loan Mortgage Corp.  5.125%  7/15/12  5,875  6,355 
2  Federal Home Loan Mortgage Corp.  5.500%  8/20/12  85,675  93,621 
2  Federal Home Loan Mortgage Corp.  1.000%  8/28/12  10,175  10,260 
2  Federal Home Loan Mortgage Corp.  2.125%  9/21/12  8,500  8,764 
2  Federal Home Loan Mortgage Corp.  4.625%  10/25/12  10,400  11,261 
2  Federal Home Loan Mortgage Corp.  4.125%  12/21/12  5,275  5,679 
2  Federal Home Loan Mortgage Corp.  1.375%  1/9/13  9,200  9,346 
2  Federal Home Loan Mortgage Corp.  3.750%  6/28/13  13,325  14,401 
2  Federal Home Loan Mortgage Corp.  4.500%  7/15/13  5,475  6,030 
2  Federal Home Loan Mortgage Corp.  4.125%  9/27/13  6,300  6,904 
2  Federal Home Loan Mortgage Corp.  0.875%  10/28/13  4,500  4,502 
2  Federal Home Loan Mortgage Corp.  4.875%  11/15/13  21,125  23,692 
2  Federal Home Loan Mortgage Corp.  2.500%  1/7/14  4,050  4,248 
2  Federal Home Loan Mortgage Corp.  4.500%  1/15/14  19,275  21,467 
2  Federal Home Loan Mortgage Corp.  2.500%  4/23/14  25,650  26,921 
2  Federal Home Loan Mortgage Corp.  5.000%  7/15/14  16,275  18,586 
2  Federal Home Loan Mortgage Corp.  3.000%  7/28/14  23,075  24,652 
2  Federal Home Loan Mortgage Corp.  0.000%  11/24/14  2,100  1,950 
2  Federal Home Loan Mortgage Corp.  5.050%  1/26/15  5,400  6,229 
2  Federal Home Loan Mortgage Corp.  2.875%  2/9/15  8,600  9,151 
2  Federal Home Loan Mortgage Corp.  1.750%  9/10/15  20,000  20,174 
2  Federal Home Loan Mortgage Corp.  4.750%  1/19/16  6,575  7,596 
2  Federal Home Loan Mortgage Corp.  5.250%  4/18/16  1,400  1,654 
2  Federal Home Loan Mortgage Corp.  5.500%  7/18/16  775  929 
2  Federal Home Loan Mortgage Corp.  5.125%  10/18/16  20,700  24,418 
2  Federal Home Loan Mortgage Corp.  5.000%  2/16/17  12,175  14,286 
2  Federal Home Loan Mortgage Corp.  5.000%  4/18/17  5,000  5,879 
2  Federal Home Loan Mortgage Corp.  5.500%  8/23/17  11,550  13,967 
2  Federal Home Loan Mortgage Corp.  5.125%  11/17/17  7,125  8,461 
2  Federal Home Loan Mortgage Corp.  4.875%  6/13/18  7,025  8,240 
2  Federal Home Loan Mortgage Corp.  3.750%  3/27/19  12,850  13,952 
2  Federal Home Loan Mortgage Corp.  6.750%  9/15/29  3,625  5,001 
2  Federal Home Loan Mortgage Corp.  6.750%  3/15/31  13,000  18,192 
2  Federal Home Loan Mortgage Corp.  6.250%  7/15/32  6,700  8,987 
2  Federal National Mortgage Assn.  5.000%  10/15/11  20,000  20,962 
2  Federal National Mortgage Assn.  1.000%  11/23/11  595  599 
2  Federal National Mortgage Assn.  2.000%  1/9/12  11,400  11,636 
2  Federal National Mortgage Assn.  0.875%  1/12/12  38,900  39,166 
2  Federal National Mortgage Assn.  5.000%  2/16/12  5,550  5,900 
2  Federal National Mortgage Assn.  6.125%  3/15/12  19,075  20,647 
2  Federal National Mortgage Assn.  1.000%  4/4/12  37,125  37,437 
2  Federal National Mortgage Assn.  1.875%  4/20/12  32,275  32,986 
2  Federal National Mortgage Assn.  4.875%  5/18/12  10,225  10,957 
2  Federal National Mortgage Assn.  1.250%  6/22/12  870  881 
2  Federal National Mortgage Assn.  1.125%  7/30/12  19,450  19,671 
2  Federal National Mortgage Assn.  5.250%  8/1/12  2,425  2,616 
2  Federal National Mortgage Assn.  1.750%  8/10/12  8,025  8,215 
2  Federal National Mortgage Assn.  4.375%  9/15/12  29,850  32,068 
2  Federal National Mortgage Assn.  0.625%  9/24/12  5,550  5,561 
2,3 Federal National Mortgage Assn.  1.600%  10/1/12  10,000  10,000 


2  Federal National Mortgage Assn.  3.625%  2/12/13  9,750  10,415 
2  Federal National Mortgage Assn.  4.750%  2/21/13  2,525  2,762 
2  Federal National Mortgage Assn.  1.750%  2/22/13  15,000  15,369 
2  Federal National Mortgage Assn.  4.375%  3/15/13  3,450  3,755 
2  Federal National Mortgage Assn.  0.850%  4/8/13  14,000  14,001 
2  Federal National Mortgage Assn.  4.625%  5/1/13  8,650  9,360 
2  Federal National Mortgage Assn.  1.750%  5/7/13  24,750  25,394 
2,3 Federal National Mortgage Assn.  2.000%  5/24/13  5,715  5,752 
2  Federal National Mortgage Assn.  3.875%  7/12/13  6,050  6,564 
2  Federal National Mortgage Assn.  1.250%  8/20/13  69,500  70,375 
2  Federal National Mortgage Assn.  4.625%  10/15/13  12,625  14,045 
2  Federal National Mortgage Assn.  2.875%  12/11/13  17,375  18,460 
2  Federal National Mortgage Assn.  5.125%  1/2/14  1,175  1,300 
2  Federal National Mortgage Assn.  2.750%  2/5/14  12,850  13,597 
2  Federal National Mortgage Assn.  2.750%  3/13/14  17,425  18,440 
2  Federal National Mortgage Assn.  4.125%  4/15/14  8,225  9,096 
2  Federal National Mortgage Assn.  2.500%  5/15/14  28,825  30,246 
2  Federal National Mortgage Assn.  3.000%  9/16/14  6,200  6,628 
2  Federal National Mortgage Assn.  4.625%  10/15/14  16,100  18,250 
2  Federal National Mortgage Assn.  2.625%  11/20/14  18,775  19,800 
2  Federal National Mortgage Assn.  5.000%  4/15/15  5,450  6,308 
2  Federal National Mortgage Assn.  2.375%  7/28/15  5,525  5,748 
2  Federal National Mortgage Assn.  4.375%  10/15/15  22,325  25,317 
2  Federal National Mortgage Assn.  1.625%  10/26/15  20,000  20,028 
2  Federal National Mortgage Assn.  5.375%  7/15/16  4,325  5,154 
2  Federal National Mortgage Assn.  5.250%  9/15/16  25,775  30,590 
2  Federal National Mortgage Assn.  4.875%  12/15/16  4,000  4,663 
2  Federal National Mortgage Assn.  5.000%  2/13/17  28,600  33,535 
2  Federal National Mortgage Assn.  5.000%  5/11/17  11,275  13,260 
2  Federal National Mortgage Assn.  5.375%  6/12/17  2,800  3,358 
2  Federal National Mortgage Assn.  0.000%  10/9/19  625  411 
2  Federal National Mortgage Assn.  6.250%  5/15/29  5,550  7,284 
2  Federal National Mortgage Assn.  7.125%  1/15/30  7,925  11,383 
2  Federal National Mortgage Assn.  7.250%  5/15/30  10,200  14,858 
2  Federal National Mortgage Assn.  6.625%  11/15/30  1,900  2,618 
2  Federal National Mortgage Assn.  5.625%  7/15/37  3,625  4,486 
2  Financing Corp. Fico  9.800%  4/6/18  850  1,268 
2  Financing Corp. Fico  10.350%  8/3/18  100  155 
2  Financing Corp. Fico  9.650%  11/2/18  2,375  3,579 
2  Financing Corp. Fico  9.700%  4/5/19  425  648 
1  General Electric Capital Corp.  1.800%  3/11/11  300  302 
1  General Electric Capital Corp.  3.000%  12/9/11  15,625  16,096 
1  General Electric Capital Corp.  2.250%  3/12/12  15,125  15,509 
1  General Electric Capital Corp.  2.200%  6/8/12  11,275  11,588 
1  General Electric Capital Corp.  2.125%  12/21/12  5,975  6,168 
1  General Electric Capital Corp.  2.625%  12/28/12  4,450  4,643 
1  Goldman Sachs Group Inc.  1.700%  3/15/11  1,950  1,963 
1  Goldman Sachs Group Inc.  2.150%  3/15/12  2,525  2,587 
1  Goldman Sachs Group Inc.  3.250%  6/15/12  7,925  8,289 
1  HSBC USA Inc.  3.125%  12/16/11  5,650  5,834 
  Israel Government AID Bond  5.500%  9/18/23  1,809  2,235 
  Israel Government AID Bond  5.500%  12/4/23  1,050  1,293 
  Israel Government AID Bond  5.500%  4/26/24  4,450  5,512 
1  JPMorgan Chase & Co.  1.650%  2/23/11  7,025  7,063 
1  JPMorgan Chase & Co.  3.125%  12/1/11  9,175  9,466 
1  JPMorgan Chase & Co.  2.200%  6/15/12  6,200  6,376 
1  JPMorgan Chase & Co.  2.125%  6/22/12  5,150  5,292 
1  JPMorgan Chase & Co.  2.125%  12/26/12  9,000  9,310 


1  Morgan Stanley  2.900%  12/1/10  3,825  3,842 
1  Morgan Stanley  3.250%  12/1/11  10,050  10,380 
1  Morgan Stanley  2.250%  3/13/12  7,600  7,796 
1  Morgan Stanley  1.950%  6/20/12  8,900  9,117 
1  PNC Funding Corp.  2.300%  6/22/12  5,850  6,028 
  Private Export Funding Corp.  3.050%  10/15/14  4,000  4,278 
  Private Export Funding Corp.  4.375%  3/15/19  2,100  2,353 
  Private Export Funding Corp.  4.300%  12/15/21  1,000  1,101 
1  Regions Bank  2.750%  12/10/10  100  100 
1  Regions Bank  3.250%  12/9/11  27,150  28,054 
  Resolution Funding Corp.  8.125%  10/15/19  100  142 
  Resolution Funding Corp.  8.875%  7/15/20  100  146 
1  Sovereign Bank  2.750%  1/17/12  2,600  2,677 
1  State Street Corp.  2.150%  4/30/12  200  205 
2  Tennessee Valley Authority  6.000%  3/15/13  6,000  6,760 
2  Tennessee Valley Authority  5.500%  7/18/17  6,400  7,717 
2  Tennessee Valley Authority  4.500%  4/1/18  2,050  2,345 
2  Tennessee Valley Authority  6.750%  11/1/25  550  743 
2  Tennessee Valley Authority  7.125%  5/1/30  8,975  12,623 
2  Tennessee Valley Authority  4.650%  6/15/35  1,425  1,519 
2  Tennessee Valley Authority  5.500%  6/15/38  850  1,007 
2  Tennessee Valley Authority  5.250%  9/15/39  3,150  3,655 
2  Tennessee Valley Authority  4.875%  1/15/48  2,075  2,317 
2  Tennessee Valley Authority  5.375%  4/1/56  2,475  2,977 
2  Tennessee Valley Authority  4.625%  9/15/60  1,550  1,621 
1  US Central Federal Credit Union  1.900%  10/19/12  3,450  3,537 
1  Wells Fargo & Co.  3.000%  12/9/11  9,625  9,917 
1  Wells Fargo & Co.  2.125%  6/15/12  2,925  3,006 
1  Western Corporate Federal Credit Union  1.750%  11/2/12  1,750  1,787 
          2,157,202 
Conventional Mortgage-Backed Securities (25.7%)         
2,3 Fannie Mae Pool  4.000%  10/1/10–8/1/40  329,362  326,837 
2,3 Fannie Mae Pool  4.500%  7/1/11–10/1/40  637,195  644,433 
2,3 Fannie Mae Pool  5.000%  1/1/11–10/1/40  1,051,113  984,218 
2,3 Fannie Mae Pool  5.500%  9/1/14–10/1/40  957,095  1,003,341 
2,3 Fannie Mae Pool  6.000%  2/1/14–10/1/40  672,179  712,844 
2,3 Fannie Mae Pool  6.500%  4/1/16–1/1/39  214,595  236,062 
2,3 Fannie Mae Pool  7.000%  9/1/14–12/1/38  59,034  65,992 
2,3 Fannie Mae Pool  7.500%  1/1/31–12/1/32  662  743 
2,3 Fannie Mae Pool  8.000%  12/1/29  75  84 
2,3 Freddie Mac Gold Pool  4.000%  11/1/10–10/1/40  202,108  210,587 
2,3 Freddie Mac Gold Pool  4.500%  1/1/11–10/1/40  529,208  514,390 
2,3 Freddie Mac Gold Pool  5.000%  4/1/11–10/1/40  740,300  671,531 
2,3 Freddie Mac Gold Pool  5.500%  12/1/13–10/1/40  692,297  730,860 
2,3 Freddie Mac Gold Pool  6.000%  4/1/13–10/1/40  434,092  467,734 
2,3 Freddie Mac Gold Pool  6.500%  6/1/13–4/1/39  117,669  128,995 
2,3 Freddie Mac Gold Pool  7.000%  6/1/15–12/1/37  25,172  28,182 
2,3 Freddie Mac Gold Pool  7.500%  6/1/27–2/1/32  311  351 
2,3 Freddie Mac Gold Pool  8.000%  1/1/27–11/1/31  407  459 
2,3 Freddie Mac Gold Pool  8.500%  6/1/25  74  83 
3  Ginnie Mae I Pool  4.000%  8/15/18–10/1/40  40,599  41,996 
3  Ginnie Mae I Pool  4.500%  6/15/18–2/15/40  360,838  380,174 
3  Ginnie Mae I Pool  5.000%  12/15/17–9/15/40  513,241  360,748 
3  Ginnie Mae I Pool  5.500%  4/15/17–10/1/40  229,915  201,086 
3  Ginnie Mae I Pool  6.000%  4/15/17–10/1/40  147,848  160,826 
3  Ginnie Mae I Pool  6.500%  5/15/24–1/15/39  69,145  76,305 
3  Ginnie Mae I Pool  7.000%  7/15/23–9/15/36  2,573  2,870 


3  Ginnie Mae I Pool  7.500%  12/15/23  77  87 
3  Ginnie Mae I Pool  8.000%  6/15/25–1/15/27  159  177 
3  Ginnie Mae I Pool  9.000%  11/15/17–12/15/17  202  226 
3  Ginnie Mae II Pool  4.500%  1/20/35–10/1/40  185,937  195,355 
3  Ginnie Mae II Pool  5.000%  12/20/32–10/1/40  290,257  308,647 
3  Ginnie Mae II Pool  5.500%  6/20/34–10/1/40  138,089  148,482 
3  Ginnie Mae II Pool  6.000%  3/20/31–7/20/39  78,101  84,922 
3  Ginnie Mae II Pool  6.500%  3/20/31–12/20/37  22,683  24,998 
3  Ginnie Mae II Pool  7.000%  8/20/34–4/20/38  856  952 
          8,715,577 
Nonconventional Mortgage-Backed Securities (1.0%)         
2,3 Fannie Mae Pool  2.290%  8/1/35  1,874  1,957 
2,3 Fannie Mae Pool  2.691%  1/1/35  1,807  1,882 
2,3 Fannie Mae Pool  2.716%  5/1/35  1,416  1,457 
2,3 Fannie Mae Pool  2.744%  11/1/34  1,699  1,742 
2,3 Fannie Mae Pool  2.791%  10/1/34  1,962  2,012 
2,3 Fannie Mae Pool  3.070%  4/1/36  5,153  5,449 
2,3 Fannie Mae Pool  3.110%  9/1/34  730  757 
2,3 Fannie Mae Pool  3.200%  8/1/40  6,694  6,936 
2,3 Fannie Mae Pool  3.237%  9/1/40  6,825  7,068 
2,3 Fannie Mae Pool  3.298%  1/1/40  5,962  6,186 
2,3 Fannie Mae Pool  3.394%  5/1/37  1,041  1,079 
2,3 Fannie Mae Pool  3.402%  5/1/40  4,445  4,625 
2,3 Fannie Mae Pool  3.520%  3/1/40  13,513  14,097 
2,3 Fannie Mae Pool  3.879%  8/1/35  4,048  4,158 
2,3 Fannie Mae Pool  3.960%  10/1/36  1,933  2,011 
2,3 Fannie Mae Pool  3.996%  7/1/35  2,544  2,656 
2,3 Fannie Mae Pool  4.136%  5/1/34  1,026  1,062 
2,3 Fannie Mae Pool  4.355%  12/1/35  3,119  3,286 
2,3 Fannie Mae Pool  4.540%  11/1/34  4,685  4,945 
2,3 Fannie Mae Pool  4.602%  9/1/35  1,521  1,566 
2,3 Fannie Mae Pool  4.620%  8/1/35  2,639  2,776 
2,3 Fannie Mae Pool  4.625%  9/1/34  1,003  1,079 
2,3 Fannie Mae Pool  4.642%  11/1/33  1,196  1,257 
2,3 Fannie Mae Pool  4.792%  6/1/34  1,740  1,807 
2,3 Fannie Mae Pool  4.903%  10/1/35  5,003  5,189 
2,3 Fannie Mae Pool  4.903%  2/1/36  1,667  1,718 
2,3 Fannie Mae Pool  4.909%  12/1/35  4,924  5,071 
2,3 Fannie Mae Pool  4.928%  7/1/38  1,085  1,153 
2,3 Fannie Mae Pool  4.935%  11/1/34  631  660 
2,3 Fannie Mae Pool  4.952%  11/1/35  3,633  3,842 
2,3 Fannie Mae Pool  5.005%  11/1/33  694  737 
2,3 Fannie Mae Pool  5.025%  12/1/33  972  1,035 
2,3 Fannie Mae Pool  5.046%  12/1/35  2,376  2,444 
2,3 Fannie Mae Pool  5.058%  8/1/37  5,634  5,943 
2,3 Fannie Mae Pool  5.113%  3/1/37  2,782  2,946 
2,3 Fannie Mae Pool  5.138%  3/1/38  2,577  2,764 
2,3 Fannie Mae Pool  5.172%  8/1/38  236  253 
2,3 Fannie Mae Pool  5.266%  7/1/38  279  300 
2,3 Fannie Mae Pool  5.342%  12/1/35  1,916  2,027 
2,3 Fannie Mae Pool  5.381%  2/1/36  1,930  1,990 
2,3 Fannie Mae Pool  5.386%  2/1/36  4,393  4,571 
2,3 Fannie Mae Pool  5.409%  6/1/36  2,615  2,725 
2,3 Fannie Mae Pool  5.495%  1/1/37  1,941  2,041 
2,3 Fannie Mae Pool  5.550%  4/1/37  275  294 
2,3 Fannie Mae Pool  5.576%  2/1/37  2,712  2,873 
2,3 Fannie Mae Pool  5.590%  5/1/36  958  1,028 


2,3 Fannie Mae Pool  5.625%  6/1/37  1,194  1,257 
2,3 Fannie Mae Pool  5.634%  7/1/36  1,939  2,061 
2,3 Fannie Mae Pool  5.653%  3/1/37  1,663  1,770 
2,3 Fannie Mae Pool  5.659%  2/1/37  1,821  1,937 
2,3 Fannie Mae Pool  5.660%  3/1/37  4,902  5,212 
2,3 Fannie Mae Pool  5.663%  9/1/36  1,230  1,283 
2,3 Fannie Mae Pool  5.671%  3/1/37  2,021  2,149 
2,3 Fannie Mae Pool  5.689%  1/1/36  1,272  1,348 
2,3 Fannie Mae Pool  5.713%  12/1/37  3,802  4,191 
2,3 Fannie Mae Pool  5.726%  4/1/37  3,906  4,193 
2,3 Fannie Mae Pool  5.726%  4/1/37  3,631  3,826 
2,3 Fannie Mae Pool  5.751%  4/1/36  2,704  2,812 
2,3 Fannie Mae Pool  5.833%  9/1/36  2,034  2,170 
2,3 Fannie Mae Pool  5.884%  8/1/37  2,179  2,281 
2,3 Fannie Mae Pool  5.915%  4/1/36  1,444  1,543 
2,3 Fannie Mae Pool  5.923%  10/1/37  2,382  2,558 
2,3 Fannie Mae Pool  5.941%  11/1/36  1,862  1,997 
2,3 Fannie Mae Pool  5.997%  6/1/36  311  332 
2,3 Fannie Mae Pool  6.305%  9/1/37  2,272  2,430 
2,3 Freddie Mac Non Gold Pool  2.649%  4/1/35  102  107 
2,3 Freddie Mac Non Gold Pool  2.667%  12/1/34  3,031  3,127 
2,3 Freddie Mac Non Gold Pool  2.673%  9/1/34  1,698  1,779 
2,3 Freddie Mac Non Gold Pool  2.946%  1/1/35  179  186 
2,3 Freddie Mac Non Gold Pool  3.076%  12/1/34  1,780  1,869 
2,3 Freddie Mac Non Gold Pool  3.290%  6/1/40  9,391  9,752 
2,3 Freddie Mac Non Gold Pool  3.331%  4/1/40  9,066  9,417 
2,3 Freddie Mac Non Gold Pool  3.355%  6/1/37  1,918  2,003 
2,3 Freddie Mac Non Gold Pool  3.366%  5/1/40  6,975  7,253 
2,3 Freddie Mac Non Gold Pool  3.426%  5/1/40  6,395  6,662 
2,3 Freddie Mac Non Gold Pool  3.559%  6/1/40  6,513  6,804 
2,3 Freddie Mac Non Gold Pool  3.595%  6/1/40  13,199  13,710 
2,3 Freddie Mac Non Gold Pool  3.627%  1/1/40  5,092  5,327 
2,3 Freddie Mac Non Gold Pool  3.857%  3/1/36  2,849  2,963 
2,3 Freddie Mac Non Gold Pool  4.087%  1/1/37  1,598  1,678 
2,3 Freddie Mac Non Gold Pool  4.590%  7/1/35  1,492  1,571 
2,3 Freddie Mac Non Gold Pool  4.607%  11/1/34  2,728  2,910 
2,3 Freddie Mac Non Gold Pool  5.008%  5/1/35  2,567  2,716 
2,3 Freddie Mac Non Gold Pool  5.052%  7/1/38  2,644  2,816 
2,3 Freddie Mac Non Gold Pool  5.276%  3/1/38  3,082  3,310 
2,3 Freddie Mac Non Gold Pool  5.311%  3/1/36  3,471  3,605 
2,3 Freddie Mac Non Gold Pool  5.349%  12/1/35  2,036  2,166 
2,3 Freddie Mac Non Gold Pool  5.422%  4/1/37  3,852  4,082 
2,3 Freddie Mac Non Gold Pool  5.437%  3/1/37  1,982  2,100 
2,3 Freddie Mac Non Gold Pool  5.507%  2/1/36  2,215  2,370 
2,3 Freddie Mac Non Gold Pool  5.551%  4/1/37  2,506  2,664 
2,3 Freddie Mac Non Gold Pool  5.564%  5/1/36  3,401  3,568 
2,3 Freddie Mac Non Gold Pool  5.610%  7/1/36  1,517  1,589 
2,3 Freddie Mac Non Gold Pool  5.644%  12/1/36  2,773  2,907 
2,3 Freddie Mac Non Gold Pool  5.667%  4/1/37  3,620  3,821 
2,3 Freddie Mac Non Gold Pool  5.688%  3/1/37  187  199 
2,3 Freddie Mac Non Gold Pool  5.691%  3/1/37  431  466 
2,3 Freddie Mac Non Gold Pool  5.711%  6/1/37  3,289  3,497 
2,3 Freddie Mac Non Gold Pool  5.714%  9/1/36  5,478  5,864 
2,3 Freddie Mac Non Gold Pool  5.720%  11/1/36  1,324  1,419 
2,3 Freddie Mac Non Gold Pool  5.752%  3/1/37  1,355  1,452 
2,3 Freddie Mac Non Gold Pool  5.778%  5/1/36  2,633  2,852 
2,3 Freddie Mac Non Gold Pool  5.816%  10/1/37  3,419  3,641 
2,3 Freddie Mac Non Gold Pool  5.825%  12/1/36  1,501  1,610 


2,3 Freddie Mac Non Gold Pool  5.846%  8/1/37  2,610  2,775 
2,3 Freddie Mac Non Gold Pool  5.860%  6/1/37  2,769  2,971 
2,3 Freddie Mac Non Gold Pool  5.865%  5/1/37  8,276  8,878 
2,3 Freddie Mac Non Gold Pool  5.953%  10/1/37  897  962 
2,3 Freddie Mac Non Gold Pool  5.968%  1/1/37  996  1,070 
2,3 Freddie Mac Non Gold Pool  6.030%  3/1/37  100  106 
2,3 Freddie Mac Non Gold Pool  6.072%  8/1/37  1,098  1,181 
2,3 Freddie Mac Non Gold Pool  6.095%  3/1/37  76  80 
2,3 Freddie Mac Non Gold Pool  6.115%  12/1/36  2,025  2,176 
2,3 Freddie Mac Non Gold Pool  6.231%  6/1/37  1,449  1,536 
2,3 Freddie Mac Non Gold Pool  6.398%  2/1/37  1,444  1,559 
3  Ginnie Mae II Pool  3.375%  6/20/29  68  71 
          338,001 
Total U.S. Government and Agency Obligations (Cost $23,178,215)      23,981,479 
Asset-Backed/Commercial Mortgage-Backed Securities (3.7%)       
4  BA Covered Bond Issuer  5.500%  6/14/12  4,950  5,261 
3  BA Credit Card Trust  4.720%  5/15/13  2,325  2,345 
3  Banc of America Commercial Mortgage Inc.  5.787%  5/11/35  3,554  3,630 
3  Banc of America Commercial Mortgage Inc.  6.503%  4/15/36  2,256  2,288 
3  Banc of America Commercial Mortgage Inc.  4.050%  11/10/38  1,916  1,926 
3  Banc of America Commercial Mortgage Inc.  4.153%  11/10/38  1,400  1,452 
3,5 Banc of America Commercial Mortgage Inc.  5.596%  6/10/39  5,607  6,006 
3  Banc of America Commercial Mortgage Inc.  4.877%  7/10/42  18,100  19,060 
3,5 Banc of America Commercial Mortgage Inc.  5.228%  11/10/42  2,295  2,430 
3  Banc of America Commercial Mortgage Inc.  4.727%  7/10/43  1,655  1,512 
3  Banc of America Commercial Mortgage Inc.  5.118%  7/11/43  4,000  4,151 
3,5 Banc of America Commercial Mortgage Inc.  5.963%  5/10/45  1,380  1,172 
3  Banc of America Commercial Mortgage Inc.  5.372%  9/10/45  7,600  8,179 
3,5 Banc of America Commercial Mortgage Inc.  5.421%  9/10/45  40  41 
3  Banc of America Commercial Mortgage Inc.  5.115%  10/10/45  6,425  7,010 
3,5 Banc of America Commercial Mortgage Inc.  5.120%  10/10/45  1,125  1,155 
3,5 Banc of America Commercial Mortgage Inc.  5.176%  10/10/45  120  122 
3  Banc of America Commercial Mortgage Inc.  5.634%  7/10/46  8,425  9,133 
3,5 Banc of America Commercial Mortgage Inc.  5.695%  7/10/46  1,150  879 
3,5 Banc of America Commercial Mortgage Inc.  5.346%  9/10/47  500  508 
3,5 Banc of America Commercial Mortgage Inc.  5.346%  9/10/47  1,500  1,433 
3  Banc of America Commercial Mortgage Inc.  5.414%  9/10/47  4,955  5,154 
3  Banc of America Commercial Mortgage Inc.  5.448%  9/10/47  775  706 
3,5 Banc of America Commercial Mortgage Inc.  5.523%  1/15/49  1,025  579 
3,5 Banc of America Commercial Mortgage Inc.  6.339%  2/10/51  9,375  10,246 
4  Bank of Scotland PLC  5.250%  2/21/17  4,300  4,711 
3  Bear Stearns Commercial Mortgage         
  Securities  5.610%  11/15/33  3,650  3,767 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.678%  4/12/38  207  209 
3  Bear Stearns Commercial Mortgage         
  Securities  5.678%  4/12/38  7,225  7,879 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.678%  4/12/38  1,500  1,559 
3  Bear Stearns Commercial Mortgage         
  Securities  4.830%  8/15/38  6,218  6,479 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.946%  9/11/38  1,000  986 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.946%  9/11/38  1,075  902 
3  Bear Stearns Commercial Mortgage         
  Securities  5.623%  3/11/39  14,325  15,590 


3  Bear Stearns Commercial Mortgage         
  Securities  4.680%  8/13/39  7,000  7,459 
3  Bear Stearns Commercial Mortgage         
  Securities  4.740%  3/13/40  4,550  4,821 
3  Bear Stearns Commercial Mortgage         
  Securities  5.854%  6/11/40  10,825  11,327 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.907%  6/11/40  1,075  741 
3  Bear Stearns Commercial Mortgage         
  Securities  5.405%  12/11/40  645  696 
3  Bear Stearns Commercial Mortgage         
  Securities  4.750%  6/11/41  1,720  1,512 
3  Bear Stearns Commercial Mortgage         
  Securities  5.582%  9/11/41  1,125  1,117 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.568%  10/12/41  1,600  1,589 
3  Bear Stearns Commercial Mortgage         
  Securities  4.521%  11/11/41  1,400  1,439 
3  Bear Stearns Commercial Mortgage         
  Securities  5.742%  9/11/42  7,295  7,986 
3  Bear Stearns Commercial Mortgage         
  Securities  5.793%  9/11/42  1,825  2,002 
3  Bear Stearns Commercial Mortgage         
  Securities  5.127%  10/12/42  3,010  3,008 
3  Bear Stearns Commercial Mortgage         
  Securities  5.296%  10/12/42  1,125  1,238 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.513%  1/12/45  2,475  2,481 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.566%  1/12/45  1,775  1,329 
3  Bear Stearns Commercial Mortgage         
  Securities  5.694%  6/11/50  17,635  18,915 
3,5 Bear Stearns Commercial Mortgage         
  Securities  5.915%  6/11/50  2,975  2,783 
3  Bear Stearns Commercial Mortgage         
  Securities  5.613%  6/13/50  3,450  3,614 
3  Bear Stearns Commercial Mortgage         
  Securities  5.700%  6/13/50  4,950  5,278 
3  Capital Auto Receivables Asset Trust  4.680%  10/15/12  4,060  4,146 
3  Capital One Multi-Asset Execution Trust  5.300%  2/18/14  2,150  2,202 
3  Capital One Multi-Asset Execution Trust  5.050%  12/17/18  12,975  14,874 
3  Capital One Multi-Asset Execution Trust  5.750%  7/15/20  1,640  1,966 
3  CDC Commercial Mortgage Trust  5.676%  11/15/30  4,877  4,998 
3  Chase Issuance Trust  4.650%  12/17/12  9,275  9,286 
3  Chase Issuance Trust  4.650%  3/15/15  11,375  12,419 
3  Chase Issuance Trust  5.400%  7/15/15  3,325  3,727 
4  Cie de Financement Foncier  2.125%  4/22/13  2,900  2,952 
3  CIT Group Home Equity Loan Trust  6.200%  2/25/30  244  219 
3  Citibank Credit Card Issuance Trust  5.450%  5/10/13  1,225  1,260 
3  Citibank Credit Card Issuance Trust  4.900%  6/23/16  7,575  8,526 
3  Citibank Credit Card Issuance Trust  4.850%  3/10/17  1,155  1,307 
3  Citibank Credit Card Issuance Trust  4.150%  7/7/17  1,225  1,354 
3  Citibank Credit Card Issuance Trust  5.650%  9/20/19  1,200  1,432 
3  Citigroup Commercial Mortgage Trust  4.623%  10/15/41  1,125  1,161 
3  Citigroup Commercial Mortgage Trust  4.830%  5/15/43  375  376 
3,5 Citigroup Commercial Mortgage Trust  5.919%  3/15/49  5,612  6,156 
3  Citigroup Commercial Mortgage Trust  5.462%  10/15/49  1,375  1,363 
3  Citigroup Commercial Mortgage Trust  5.482%  10/15/49  825  671 


3,5 Citigroup Commercial Mortgage Trust  5.887%  12/10/49  4,550  4,914 
3,5 Citigroup Commercial Mortgage Trust  5.887%  12/10/49  1,875  1,749 
3,5 Citigroup Commercial Mortgage Trust  6.294%  12/10/49  6,500  6,945 
3,5 Citigroup Commercial Mortgage Trust  6.294%  12/10/49  2,935  2,750 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.395%  7/15/44  11,050  12,153 
3,5 Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.396%  7/15/44  2,475  2,521 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.886%  11/15/44  6,780  7,307 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.648%  10/15/48  3,150  2,978 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.688%  10/15/48  1,350  1,022 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.205%  12/11/49  7,925  8,226 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.322%  12/11/49  11,295  11,693 
3,4 Commercial Mortgage Lease-Backed         
  Certificates  6.746%  6/20/31  2,763  3,103 
3  Commercial Mortgage Pass Through         
  Certificates  4.084%  6/10/38  2,700  2,820 
3  Commercial Mortgage Pass Through         
  Certificates  4.715%  3/10/39  8,200  8,576 
3  Commercial Mortgage Pass Through         
  Certificates  5.116%  6/10/44  8,075  8,704 
3  Commercial Mortgage Pass Through         
  Certificates  5.960%  6/10/46  6,400  7,043 
3,5 Commercial Mortgage Pass Through         
  Certificates  5.986%  6/10/46  1,715  1,725 
3  Commercial Mortgage Pass Through         
  Certificates  5.248%  12/10/46  1,075  1,108 
3,5 Commercial Mortgage Pass Through         
  Certificates  6.009%  12/10/49  8,825  9,637 
3,5 Countrywide Home Loan Mortgage Pass         
  Through Trust  2.934%  5/25/33  1,001  804 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  6.380%  12/18/35  274  275 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  4.750%  1/15/37  5,205  5,461 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  4.877%  4/15/37  325  275 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.014%  2/15/38  3,800  4,091 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.075%  2/15/38  1,325  1,260 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  3.936%  5/15/38  5,765  6,022 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  520  528 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  12,225  13,158 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.190%  8/15/38  1,300  1,131 
3,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.230%  12/15/40  1,380  1,262 
3  Credit Suisse Mortgage Capital Certificates  6.020%  6/15/38  8,550  9,239 
3  Credit Suisse Mortgage Capital Certificates  6.020%  6/15/38  350  336 


3  Credit Suisse Mortgage Capital Certificates  5.609%  2/15/39  13,780  15,072 
3,5 Credit Suisse Mortgage Capital Certificates  5.728%  2/15/39  2,800  2,729 
3,5 Credit Suisse Mortgage Capital Certificates  5.728%  2/15/39  1,400  1,259 
3,5 Credit Suisse Mortgage Capital Certificates  5.910%  6/15/39  11,150  11,227 
3  Credit Suisse Mortgage Capital Certificates  5.509%  9/15/39  550  483 
3  Credit Suisse Mortgage Capital Certificates  5.311%  12/15/39  12,575  12,865 
3  Credit Suisse Mortgage Capital Certificates  5.383%  2/15/40  2,250  2,192 
3,5 CW Capital Cobalt Ltd.  6.013%  5/15/46  8,100  8,220 
3,5 CW Capital Cobalt Ltd.  5.484%  4/15/47  1,475  1,471 
3  Daimler Chrysler Auto Trust  3.700%  6/8/12  1,055  1,062 
3  Discover Card Master Trust  5.100%  10/15/13  225  230 
3  Discover Card Master Trust  5.650%  12/15/15  7,975  8,937 
3  Discover Card Master Trust  5.650%  3/16/20  2,500  2,968 
3  Fifth Third Auto Trust  4.070%  1/17/12  545  546 
3,5 First Union Commercial Mortgage Trust  6.767%  10/15/35  2,134  2,162 
3  First Union National Bank Commercial         
  Mortgage  6.223%  12/12/33  4,216  4,360 
3  Ford Credit Auto Owner Trust  4.370%  10/15/12  5,525  5,699 
3  Ford Credit Auto Owner Trust  2.420%  11/15/14  1,875  1,946 
3  Ford Credit Auto Owner Trust  2.150%  6/15/15  6,800  7,017 
3  GE Capital Commercial Mortgage Corp.  6.531%  5/15/33  3,071  3,137 
3  GE Capital Commercial Mortgage Corp.  6.290%  8/11/33  578  592 
3  GE Capital Commercial Mortgage Corp.  6.269%  12/10/35  3,043  3,196 
3  GE Capital Commercial Mortgage Corp.  5.145%  7/10/37  1,625  1,749 
3  GE Capital Commercial Mortgage Corp.  4.996%  12/10/37  4,325  4,579 
3,5 GE Capital Commercial Mortgage Corp.  5.514%  3/10/44  10,975  11,980 
3,5 GE Capital Commercial Mortgage Corp.  5.514%  3/10/44  2,825  2,876 
3,5 GE Capital Commercial Mortgage Corp.  5.515%  11/10/45  2,725  2,600 
3  GMAC Commercial Mortgage Securities Inc.  6.465%  4/15/34  2,543  2,562 
3  GMAC Commercial Mortgage Securities Inc.  6.700%  4/15/34  3,392  3,452 
3  GMAC Commercial Mortgage Securities Inc.  4.079%  5/10/36  1,200  1,259 
3  GMAC Commercial Mortgage Securities Inc.  4.908%  3/10/38  825  859 
3  GMAC Commercial Mortgage Securities Inc.  4.646%  4/10/40  826  833 
3  GMAC Commercial Mortgage Securities Inc.  4.864%  12/10/41  1,825  1,934 
3  GMAC Commercial Mortgage Securities Inc.  4.754%  5/10/43  575  576 
3  Greenwich Capital Commercial Funding Corp.  4.948%  1/11/35  2,375  2,516 
3  Greenwich Capital Commercial Funding Corp.  4.533%  1/5/36  466  481 
3  Greenwich Capital Commercial Funding Corp.  4.915%  1/5/36  3,375  3,609 
3  Greenwich Capital Commercial Funding Corp.  5.317%  6/10/36  4,875  5,307 
3  Greenwich Capital Commercial Funding Corp.  5.117%  4/10/37  1,767  1,794 
3  Greenwich Capital Commercial Funding Corp.  5.224%  4/10/37  8,540  9,211 
3,5 Greenwich Capital Commercial Funding Corp.  5.277%  4/10/37  1,900  1,880 
3,5 Greenwich Capital Commercial Funding Corp.  6.080%  7/10/38  1,775  1,778 
3  Greenwich Capital Commercial Funding Corp.  5.475%  3/10/39  575  519 
3  Greenwich Capital Commercial Funding Corp.  4.799%  8/10/42  11,287  11,979 
3,5 Greenwich Capital Commercial Funding Corp.  4.859%  8/10/42  800  723 
3  GS Mortgage Securities Corp. II  5.506%  4/10/38  4,942  4,989 
3,5 GS Mortgage Securities Corp. II  5.553%  4/10/38  3,525  3,813 
3,5 GS Mortgage Securities Corp. II  5.622%  4/10/38  1,725  1,687 
3  GS Mortgage Securities Corp. II  5.396%  8/10/38  10,375  11,273 
3  GS Mortgage Securities Corp. II  4.608%  1/10/40  4,325  4,560 
3  Harley-Davidson Motorcycle Trust  5.210%  6/17/13  2,475  2,532 
3  Honda Auto Receivables Owner Trust  4.880%  9/18/14  2,675  2,758 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.260%  3/15/33  2,000  2,008 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.050%  12/12/34  2,875  3,058 


3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.654%  1/12/37  1,225  1,244 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.985%  1/12/37  3,275  3,472 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.255%  7/12/37  425  461 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.376%  7/12/37  2,750  2,893 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.524%  8/12/37  800  722 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.824%  9/12/37  4,750  4,791 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.879%  1/12/38  13,150  13,978 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.404%  1/12/39  4,275  4,492 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.539%  6/12/41  8,300  8,924 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.780%  7/15/42  1,075  1,072 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.499%  1/12/43  40  36 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.475%  4/15/43  1,295  1,404 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.627%  12/12/44  1,100  1,081 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.676%  12/12/44  550  417 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.405%  12/15/44  1,480  1,486 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.484%  12/15/44  550  495 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.062%  4/15/45  9,075  10,084 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.062%  4/15/45  635  631 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.062%  4/15/45  1,355  1,047 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.593%  5/12/45  2,500  2,259 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.623%  5/12/45  800  588 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  5/15/45  1,720  1,699 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.447%  5/15/45  2,425  2,582 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  6/12/47  5,025  5,252 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.990%  6/15/49  3,850  4,078 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  6.005%  6/15/49  5,075  5,237 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.794%  2/12/51  11,851  12,754 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.855%  2/12/51  3,075  3,159 
3,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.882%  2/15/51  8,150  8,383 


3  LB-UBS Commercial Mortgage Trust  5.386%  6/15/26  372  380 
3  LB-UBS Commercial Mortgage Trust  4.786%  10/15/29  6,225  6,723 
3  LB-UBS Commercial Mortgage Trust  4.742%  2/15/30  2,850  3,031 
3  LB-UBS Commercial Mortgage Trust  4.553%  7/15/30  203  203 
3  LB-UBS Commercial Mortgage Trust  5.197%  11/15/30  5,705  6,221 
3  LB-UBS Commercial Mortgage Trust  6.133%  12/15/30  1,800  1,873 
3  LB-UBS Commercial Mortgage Trust  5.217%  2/15/31  925  894 
3  LB-UBS Commercial Mortgage Trust  4.853%  9/15/31  9,787  10,227 
3  LB-UBS Commercial Mortgage Trust  4.960%  12/15/31  2,375  2,530 
3  LB-UBS Commercial Mortgage Trust  4.166%  5/15/32  10,700  11,129 
3,5 LB-UBS Commercial Mortgage Trust  5.124%  11/15/32  2,850  3,089 
3  LB-UBS Commercial Mortgage Trust  4.931%  9/15/35  5,900  6,312 
3,5 LB-UBS Commercial Mortgage Trust  5.661%  3/15/39  10,225  10,929 
3  LB-UBS Commercial Mortgage Trust  5.372%  9/15/39  1,250  1,358 
3  LB-UBS Commercial Mortgage Trust  5.413%  9/15/39  425  419 
3  LB-UBS Commercial Mortgage Trust  5.424%  2/15/40  1,200  1,251 
3  LB-UBS Commercial Mortgage Trust  5.430%  2/15/40  6,000  6,289 
3  LB-UBS Commercial Mortgage Trust  5.455%  2/15/40  1,700  1,514 
3,5 LB-UBS Commercial Mortgage Trust  5.493%  2/15/40  1,200  1,089 
3,5 LB-UBS Commercial Mortgage Trust  5.057%  9/15/40  700  637 
3,5 LB-UBS Commercial Mortgage Trust  5.276%  2/15/41  1,325  1,099 
3,5 LB-UBS Commercial Mortgage Trust  6.324%  4/15/41  8,650  9,487 
3,5 LB-UBS Commercial Mortgage Trust  6.324%  4/15/41  1,970  1,733 
3  LB-UBS Commercial Mortgage Trust  5.866%  9/15/45  15,050  15,971 
3  Merrill Lynch Mortgage Trust  5.236%  11/12/35  5,825  6,222 
3  Merrill Lynch Mortgage Trust  5.107%  7/12/38  50  50 
3  Merrill Lynch Mortgage Trust  5.837%  5/12/39  6,000  6,509 
3,5 Merrill Lynch Mortgage Trust  5.838%  5/12/39  625  625 
3  Merrill Lynch Mortgage Trust  5.782%  8/12/43  1,965  1,932 
3,5 Merrill Lynch Mortgage Trust  5.802%  8/12/43  1,350  1,094 
3,5 Merrill Lynch Mortgage Trust  5.291%  1/12/44  6,675  7,356 
3,5 Merrill Lynch Mortgage Trust  6.020%  6/12/50  1,175  1,077 
3,5 Merrill Lynch Mortgage Trust  6.020%  6/12/50  14,600  15,654 
3  Merrill Lynch Mortgage Trust  5.425%  2/12/51  1,275  1,324 
3  Merrill Lynch Mortgage Trust  5.690%  2/12/51  4,150  4,410 
3,5 Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.693%  2/12/39  275  227 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  6.102%  6/12/46  15,675  17,606 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.456%  7/12/46  300  293 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.378%  8/12/48  7,455  7,422 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.590%  9/12/49  3,810  3,958 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.700%  9/12/49  10,075  10,483 
3  Morgan Stanley Capital I  4.970%  4/14/40  2,475  2,597 
3,5 Morgan Stanley Capital I  5.110%  6/15/40  9,025  9,736 
3  Morgan Stanley Capital I  5.030%  6/13/41  470  482 
3  Morgan Stanley Capital I  5.270%  6/13/41  2,185  2,357 
3,5 Morgan Stanley Capital I  5.981%  8/12/41  775  801 
3  Morgan Stanley Capital I  5.328%  11/12/41  2,225  2,394 
3  Morgan Stanley Capital I  5.360%  11/12/41  2,626  2,556 
3,5 Morgan Stanley Capital I  4.840%  12/13/41  515  468 
3  Morgan Stanley Capital I  4.970%  12/15/41  5,040  5,418 
3  Morgan Stanley Capital I  5.168%  1/14/42  1,500  1,633 
3,5 Morgan Stanley Capital I  5.802%  6/11/42  6,075  6,713 


3,5 Morgan Stanley Capital I  5.802%  6/11/42  550  549 
3  Morgan Stanley Capital I  4.989%  8/13/42  7,875  8,543 
3,5 Morgan Stanley Capital I  5.073%  8/13/42  1,500  1,333 
3  Morgan Stanley Capital I  5.230%  9/15/42  9,800  10,533 
3  Morgan Stanley Capital I  5.938%  10/15/42  2,700  2,970 
3,5 Morgan Stanley Capital I  5.942%  10/15/42  225  224 
3,5 Morgan Stanley Capital I  5.942%  10/15/42  1,750  1,566 
3,5 Morgan Stanley Capital I  5.376%  11/14/42  170  174 
3,5 Morgan Stanley Capital I  5.376%  11/14/42  5,750  6,280 
3  Morgan Stanley Capital I  6.457%  1/11/43  7,850  8,797 
3  Morgan Stanley Capital I  5.332%  12/15/43  3,860  4,149 
3,5 Morgan Stanley Capital I  5.557%  3/12/44  10,375  11,271 
3,5 Morgan Stanley Capital I  5.773%  7/12/44  1,575  1,623 
3,5 Morgan Stanley Capital I  5.793%  7/12/44  525  450 
3  Morgan Stanley Capital I  4.660%  9/13/45  2,150  2,268 
3,5 Morgan Stanley Capital I  5.692%  4/15/49  7,600  7,659 
3,5 Morgan Stanley Capital I  5.876%  4/15/49  1,600  1,280 
3,5 Morgan Stanley Capital I  5.544%  11/12/49  2,500  2,479 
3  Morgan Stanley Capital I  5.809%  12/12/49  3,425  3,610 
3,5 Morgan Stanley Capital I  6.315%  12/12/49  1,975  1,879 
3  Morgan Stanley Capital I  5.090%  10/12/52  1,615  1,624 
3,5 Morgan Stanley Capital I  5.204%  10/12/52  1,725  1,661 
3  Morgan Stanley Capital I  4.770%  7/15/56  1,345  1,164 
3  Morgan Stanley Dean Witter Capital I  6.660%  2/15/33  703  706 
3  Morgan Stanley Dean Witter Capital I  6.390%  7/15/33  1,212  1,244 
3  Morgan Stanley Dean Witter Capital I  4.920%  3/12/35  9,650  10,244 
3  Morgan Stanley Dean Witter Capital I  6.390%  10/15/35  4,071  4,220 
3  Morgan Stanley Dean Witter Capital I  4.740%  11/13/36  12,673  13,161 
3  Morgan Stanley Dean Witter Capital I  5.980%  1/15/39  3,507  3,689 
4  Nationwide Building Society  5.500%  7/18/12  7,275  7,704 
3  Nissan Auto Receivables Owner Trust  4.460%  4/16/12  98  98 
3  Nissan Auto Receivables Owner Trust  5.050%  11/17/14  2,275  2,392 
4  Northern Rock Asset Management PLC  5.625%  6/22/17  14,075  14,994 
3  PG&E Energy Recovery Funding LLC  5.030%  3/25/14  1,696  1,755 
3  PSE&G Transition Funding LLC  6.890%  12/15/17  6,975  8,629 
3  Public Service New Hampshire Funding LLC  6.480%  5/1/15  257  277 
3  Residential Asset Securities Corp.  6.489%  10/25/30  68  58 
4  Royal Bank of Canada  3.125%  4/14/15  3,525  3,757 
3,5 TIAA Seasoned Commercial Mortgage Trust  6.043%  8/15/39  1,385  1,368 
3  USAA Auto Owner Trust  4.710%  2/18/14  4,550  4,721 
3  Wachovia Bank Commercial Mortgage Trust  4.440%  11/15/34  160  163 
3  Wachovia Bank Commercial Mortgage Trust  4.980%  11/15/34  200  212 
3  Wachovia Bank Commercial Mortgage Trust  4.867%  2/15/35  550  578 
3,5 Wachovia Bank Commercial Mortgage Trust  5.125%  8/15/35  1,100  1,175 
3,5 Wachovia Bank Commercial Mortgage Trust  4.964%  11/15/35  4,225  4,490 
3  Wachovia Bank Commercial Mortgage Trust  4.719%  1/15/41  1,120  1,122 
3  Wachovia Bank Commercial Mortgage Trust  4.748%  2/15/41  8,075  8,723 
3  Wachovia Bank Commercial Mortgage Trust  5.001%  7/15/41  1,179  1,185 
3,5 Wachovia Bank Commercial Mortgage Trust  5.484%  7/15/41  9,475  10,249 
3  Wachovia Bank Commercial Mortgage Trust  4.803%  10/15/41  6,825  7,178 
3,5 Wachovia Bank Commercial Mortgage Trust  5.083%  3/15/42  5,425  5,900 
3,5 Wachovia Bank Commercial Mortgage Trust  5.224%  3/15/42  625  566 
3  Wachovia Bank Commercial Mortgage Trust  5.118%  7/15/42  2,745  3,013 
3,5 Wachovia Bank Commercial Mortgage Trust  5.923%  5/15/43  8,695  9,489 
3  Wachovia Bank Commercial Mortgage Trust  4.699%  5/15/44  4,900  5,305 
3  Wachovia Bank Commercial Mortgage Trust  4.793%  5/15/44  1,350  1,177 
3,5 Wachovia Bank Commercial Mortgage Trust  5.374%  10/15/44  535  485 
3,5 Wachovia Bank Commercial Mortgage Trust  5.374%  10/15/44  5,775  6,378 


3,5 Wachovia Bank Commercial Mortgage Trust  5.437%  12/15/44  10,950  11,991 
3,5 Wachovia Bank Commercial Mortgage Trust  5.487%  12/15/44  60  60 
3,5 Wachovia Bank Commercial Mortgage Trust  6.158%  6/15/45  475  438 
3,5 Wachovia Bank Commercial Mortgage Trust  5.765%  7/15/45  4,950  5,400 
3  Wachovia Bank Commercial Mortgage Trust  5.313%  11/15/48  5,275  5,556 
3  Wachovia Bank Commercial Mortgage Trust  5.339%  11/15/48  2,400  2,378 
3,5 Wachovia Bank Commercial Mortgage Trust  5.368%  11/15/48  1,320  1,036 
3  World Omni Auto Receivables Trust  3.940%  10/15/12  2,461  2,482 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,019,587)    1,244,448 
Corporate Bonds (19.6%)         
Finance (6.8%)         
  Banking (4.5%)         
3  Abbey National Capital Trust I  8.963%  12/29/49  2,400  2,591 
  American Express Bank FSB  5.550%  10/17/12  1,300  1,400 
  American Express Bank FSB  5.500%  4/16/13  3,275  3,570 
  American Express Bank FSB  6.000%  9/13/17  625  716 
  American Express Centurion Bank  5.550%  10/17/12  1,025  1,105 
  American Express Centurion Bank  5.950%  6/12/17  650  740 
  American Express Centurion Bank  6.000%  9/13/17  10,325  11,762 
  American Express Co.  4.875%  7/15/13  1,575  1,704 
  American Express Co.  7.250%  5/20/14  1,250  1,464 
3  American Express Co.  6.800%  9/1/16  2,825  2,822 
  American Express Co.  5.500%  9/12/16  1,025  1,162 
  American Express Co.  6.150%  8/28/17  2,025  2,318 
  American Express Co.  7.000%  3/19/18  6,800  8,168 
  American Express Co.  8.125%  5/20/19  1,625  2,101 
  American Express Co.  8.150%  3/19/38  1,425  2,006 
  American Express Credit Corp.  5.875%  5/2/13  3,175  3,493 
  American Express Credit Corp.  7.300%  8/20/13  6,300  7,227 
  American Express Credit Corp.  5.125%  8/25/14  2,900  3,203 
4  American Express Travel Related Services         
  Co. Inc.  5.250%  11/21/11  2,400  2,499 
  Associates Corp. of North America  6.950%  11/1/18  100  110 
  Banco Santander Chile  2.875%  11/13/12  900  908 
  Bank of America Corp.  4.250%  10/1/10  1,000  1,000 
  Bank of America Corp.  5.375%  9/11/12  2,175  2,318 
  Bank of America Corp.  4.875%  9/15/12  5,100  5,385 
  Bank of America Corp.  4.875%  1/15/13  2,825  2,999 
  Bank of America Corp.  4.900%  5/1/13  1,925  2,056 
  Bank of America Corp.  7.375%  5/15/14  4,650  5,343 
  Bank of America Corp.  5.375%  6/15/14  1,075  1,166 
  Bank of America Corp.  5.125%  11/15/14  5,550  5,987 
  Bank of America Corp.  4.500%  4/1/15  22,500  23,618 
  Bank of America Corp.  4.750%  8/1/15  275  291 
  Bank of America Corp.  5.250%  12/1/15  1,225  1,300 
  Bank of America Corp.  6.500%  8/1/16  10,100  11,410 
  Bank of America Corp.  5.750%  8/15/16  3,250  3,509 
  Bank of America Corp.  5.625%  10/14/16  2,325  2,513 
  Bank of America Corp.  5.420%  3/15/17  4,575  4,708 
  Bank of America Corp.  6.000%  9/1/17  400  434 
  Bank of America Corp.  5.750%  12/1/17  1,575  1,688 
  Bank of America Corp.  5.650%  5/1/18  8,950  9,488 
  Bank of America Corp.  7.625%  6/1/19  3,825  4,569 
  Bank of America Corp.  5.625%  7/1/20  500  529 
  Bank of America Corp.  6.800%  3/15/28  600  637 
  Bank of America Corp.  6.500%  9/15/37  875  916 
  Bank of America NA  5.300%  3/15/17  6,850  7,058 


Bank of America NA  6.100%  6/15/17  1,975  2,123 
Bank of America NA  6.000%  10/15/36  4,225  4,247 
Bank of Montreal  2.125%  6/28/13  2,225  2,290 
Bank of New York Mellon Corp.  4.950%  1/14/11  1,125  1,139 
Bank of New York Mellon Corp.  6.375%  4/1/12  100  108 
Bank of New York Mellon Corp.  4.950%  11/1/12  9,500  10,308 
Bank of New York Mellon Corp.  4.500%  4/1/13  525  570 
Bank of New York Mellon Corp.  4.300%  5/15/14  3,000  3,294 
Bank of New York Mellon Corp.  4.950%  3/15/15  2,325  2,601 
Bank of New York Mellon Corp.  5.450%  5/15/19  3,645  4,250 
Bank of New York Mellon Corp.  4.600%  1/15/20  2,150  2,376 
Bank of Nova Scotia  2.250%  1/22/13  3,025  3,110 
Bank of Nova Scotia  2.375%  12/17/13  3,000  3,103 
Bank of Nova Scotia  2.050%  10/7/15  1,900  1,898 
Bank One Corp.  5.900%  11/15/11  1,150  1,213 
Bank One Corp.  5.250%  1/30/13  1,450  1,561 
Bank One Corp.  4.900%  4/30/15  975  1,055 
Bank One Corp.  7.625%  10/15/26  425  531 
Barclays Bank PLC  5.450%  9/12/12  1,450  1,569 
Barclays Bank PLC  2.500%  1/23/13  2,325  2,376 
Barclays Bank PLC  5.200%  7/10/14  5,800  6,432 
Barclays Bank PLC  3.900%  4/7/15  3,600  3,829 
Barclays Bank PLC  5.000%  9/22/16  2,450  2,687 
Barclays Bank PLC  6.750%  5/22/19  2,175  2,593 
Barclays Bank PLC  5.125%  1/8/20  2,450  2,648 
BB&T Capital Trust II  6.750%  6/7/36  2,675  2,744 
3 BB&T Capital Trust IV  6.820%  6/12/37  700  702 
BB&T Corp.  3.850%  7/27/12  2,375  2,489 
BB&T Corp.  4.750%  10/1/12  1,675  1,774 
BB&T Corp.  3.375%  9/25/13  2,725  2,863 
BB&T Corp.  5.700%  4/30/14  1,750  1,968 
BB&T Corp.  5.200%  12/23/15  1,150  1,273 
BB&T Corp.  4.900%  6/30/17  100  105 
BB&T Corp.  6.850%  4/30/19  1,750  2,123 
BB&T Corp.  5.250%  11/1/19  4,350  4,703 
Bear Stearns Cos. LLC  4.500%  10/28/10  850  852 
Bear Stearns Cos. LLC  5.350%  2/1/12  6,600  6,987 
Bear Stearns Cos. LLC  6.950%  8/10/12  6,975  7,708 
Bear Stearns Cos. LLC  5.700%  11/15/14  4,825  5,447 
Bear Stearns Cos. LLC  5.300%  10/30/15  1,900  2,123 
Bear Stearns Cos. LLC  5.550%  1/22/17  2,200  2,399 
Bear Stearns Cos. LLC  6.400%  10/2/17  2,650  3,088 
Bear Stearns Cos. LLC  7.250%  2/1/18  3,975  4,848 
Bear Stearns Cos. LLC  4.650%  7/2/18  425  449 
BNP Paribas  3.250%  3/11/15  850  886 
BNP Paribas / BNP Paribas US Medium-Term         
Note Program LLC  2.125%  12/21/12  5,750  5,869 
BNY Mellon NA  4.750%  12/15/14  3,350  3,730 
Branch Banking & Trust Co./Wilson NC  5.625%  9/15/16  1,875  2,142 
Canadian Imperial Bank of         
Commerce/Canada  1.450%  9/13/13  975  981 
Capital One Bank USA NA  6.500%  6/13/13  1,150  1,273 
Capital One Bank USA NA  8.800%  7/15/19  10,425  13,324 
Capital One Capital III  7.686%  8/15/36  2,025  2,048 
Capital One Capital IV  6.745%  2/17/37  850  830 
Capital One Capital V  10.250%  8/15/39  875  942 
Capital One Capital VI  8.875%  5/15/40  700  732 
Capital One Financial Corp.  4.800%  2/21/12  525  549 


  Capital One Financial Corp.  7.375%  5/23/14  2,500  2,919 
  Capital One Financial Corp.  5.500%  6/1/15  2,800  3,119 
  Capital One Financial Corp.  6.150%  9/1/16  1,875  2,064 
  Capital One Financial Corp.  5.250%  2/21/17  1,075  1,155 
  Capital One Financial Corp.  6.750%  9/15/17  1,575  1,893 
3,4 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  4,025  4,726 
  Citigroup Inc.  5.100%  9/29/11  2,450  2,550 
  Citigroup Inc.  5.250%  2/27/12  3,875  4,071 
  Citigroup Inc.  5.500%  8/27/12  1,050  1,117 
  Citigroup Inc.  5.625%  8/27/12  2,400  2,534 
  Citigroup Inc.  5.300%  10/17/12  14,250  15,175 
  Citigroup Inc.  5.500%  4/11/13  8,325  8,946 
  Citigroup Inc.  6.500%  8/19/13  6,450  7,134 
  Citigroup Inc.  5.125%  5/5/14  825  878 
  Citigroup Inc.  6.375%  8/12/14  6,125  6,803 
  Citigroup Inc.  5.000%  9/15/14  8,500  8,870 
  Citigroup Inc.  5.500%  10/15/14  4,850  5,282 
  Citigroup Inc.  6.010%  1/15/15  3,250  3,574 
  Citigroup Inc.  4.750%  5/19/15  100  105 
  Citigroup Inc.  4.700%  5/29/15  1,000  1,050 
  Citigroup Inc.  5.300%  1/7/16  5,550  5,924 
  Citigroup Inc.  5.500%  2/15/17  850  880 
  Citigroup Inc.  6.000%  8/15/17  4,325  4,673 
  Citigroup Inc.  6.125%  11/21/17  10,250  11,212 
  Citigroup Inc.  6.125%  5/15/18  8,633  9,437 
  Citigroup Inc.  8.500%  5/22/19  17,175  21,254 
  Citigroup Inc.  5.375%  8/9/20  9,875  10,224 
  Citigroup Inc.  6.625%  6/15/32  1,925  1,989 
  Citigroup Inc.  5.875%  2/22/33  3,250  3,134 
  Citigroup Inc.  6.000%  10/31/33  2,525  2,442 
  Citigroup Inc.  5.850%  12/11/34  650  647 
  Citigroup Inc.  6.125%  8/25/36  3,000  2,929 
  Citigroup Inc.  5.875%  5/29/37  4,550  4,577 
  Citigroup Inc.  6.875%  3/5/38  4,500  5,026 
  Citigroup Inc.  8.125%  7/15/39  2,700  3,410 
  Comerica Bank  5.750%  11/21/16  3,775  4,244 
  Comerica Bank  5.200%  8/22/17  2,800  2,997 
3  Comerica Capital Trust II  6.576%  2/20/32  950  950 
  Comerica Inc.  4.800%  5/1/15  2,600  2,769 
  Compass Bank  6.400%  10/1/17  900  943 
  Compass Bank  5.900%  4/1/26  650  613 
4  Corestates Capital I  8.000%  12/15/26  1,600  1,630 
  Countrywide Financial Corp.  5.800%  6/7/12  1,800  1,914 
  Countrywide Financial Corp.  6.250%  5/15/16  450  483 
  Credit Suisse  3.450%  7/2/12  400  416 
  Credit Suisse  5.000%  5/15/13  5,900  6,429 
  Credit Suisse  5.500%  5/1/14  7,200  8,067 
  Credit Suisse  3.500%  3/23/15  11,250  11,835 
  Credit Suisse  6.000%  2/15/18  6,150  6,792 
  Credit Suisse  5.300%  8/13/19  8,925  9,897 
  Credit Suisse  4.375%  8/5/20  3,350  3,422 
  Credit Suisse AG  5.400%  1/14/20  3,800  4,052 
  Credit Suisse USA Inc.  6.125%  11/15/11  3,825  4,045 
  Credit Suisse USA Inc.  6.500%  1/15/12  975  1,044 
  Credit Suisse USA Inc.  5.500%  8/15/13  2,575  2,860 
  Credit Suisse USA Inc.  5.125%  1/15/14  625  690 
  Credit Suisse USA Inc.  4.875%  1/15/15  5,435  6,014 
  Credit Suisse USA Inc.  5.125%  8/15/15  6,565  7,404 


Credit Suisse USA Inc.  7.125%  7/15/32  1,425  1,833 
3  Credit Suisse/Guernsey  5.860%  5/15/49  3,050  2,898 
Deutsche Bank AG  5.375%  10/12/12  5,850  6,376 
Deutsche Bank AG  2.375%  1/11/13  4,500  4,609 
Deutsche Bank AG  4.875%  5/20/13  5,500  5,989 
Deutsche Bank AG  3.450%  3/30/15  2,225  2,339 
Deutsche Bank AG  6.000%  9/1/17  6,475  7,561 
Deutsche Bank Financial LLC  5.375%  3/2/15  4,650  5,123 
Discover Bank  7.000%  4/15/20  1,800  1,957 
FIA Card Services NA  6.625%  6/15/12  1,100  1,174 
Fifth Third Bancorp  6.250%  5/1/13  100  110 
Fifth Third Bancorp  4.500%  6/1/18  725  722 
Fifth Third Bancorp  8.250%  3/1/38  3,225  3,853 
Fifth Third Bank/Ohio  4.750%  2/1/15  2,800  2,961 
3  Fifth Third Capital Trust IV  6.500%  4/15/17  1,825  1,743 
First Niagara Financial Group Inc.  6.750%  3/19/20  675  747 
First Tennessee Bank NA  5.050%  1/15/15  500  503 
First Union Institutional Capital I  8.040%  12/1/26  525  535 
FleetBoston Financial Corp.  6.700%  7/15/28  5,400  5,681 
Golden West Financial Corp.  4.750%  10/1/12  975  1,039 
Goldman Sachs Capital I  6.345%  2/15/34  4,975  4,773 
3  Goldman Sachs Capital II  5.793%  12/29/49  2,550  2,158 
Goldman Sachs Group Inc.  6.600%  1/15/12  6,750  7,204 
Goldman Sachs Group Inc.  5.300%  2/14/12  325  342 
Goldman Sachs Group Inc.  5.700%  9/1/12  275  297 
Goldman Sachs Group Inc.  5.450%  11/1/12  3,550  3,833 
Goldman Sachs Group Inc.  5.250%  4/1/13  3,150  3,398 
Goldman Sachs Group Inc.  4.750%  7/15/13  4,275  4,583 
Goldman Sachs Group Inc.  5.250%  10/15/13  5,100  5,541 
Goldman Sachs Group Inc.  5.150%  1/15/14  3,125  3,393 
Goldman Sachs Group Inc.  6.000%  5/1/14  10,825  12,061 
Goldman Sachs Group Inc.  5.000%  10/1/14  11,175  12,097 
Goldman Sachs Group Inc.  5.125%  1/15/15  6,525  7,077 
Goldman Sachs Group Inc.  3.700%  8/1/15  10,450  10,719 
Goldman Sachs Group Inc.  5.350%  1/15/16  8,900  9,754 
Goldman Sachs Group Inc.  5.750%  10/1/16  2,000  2,230 
Goldman Sachs Group Inc.  5.625%  1/15/17  4,275  4,519 
Goldman Sachs Group Inc.  6.250%  9/1/17  8,625  9,721 
Goldman Sachs Group Inc.  5.950%  1/18/18  5,775  6,344 
Goldman Sachs Group Inc.  6.150%  4/1/18  7,475  8,313 
Goldman Sachs Group Inc.  7.500%  2/15/19  2,400  2,861 
Goldman Sachs Group Inc.  5.375%  3/15/20  4,125  4,349 
Goldman Sachs Group Inc.  6.000%  6/15/20  6,200  6,818 
Goldman Sachs Group Inc.  5.950%  1/15/27  4,650  4,673 
Goldman Sachs Group Inc.  6.125%  2/15/33  10,700  11,713 
Goldman Sachs Group Inc.  6.450%  5/1/36  2,175  2,175 
Goldman Sachs Group Inc.  6.750%  10/1/37  17,000  17,781 
4  HBOS PLC  6.750%  5/21/18  2,075  2,079 
HSBC Bank USA NA  4.625%  4/1/14  3,475  3,728 
HSBC Bank USA NA  4.875%  8/24/20  3,675  3,814 
HSBC Bank USA NA  5.875%  11/1/34  1,200  1,253 
HSBC Bank USA NA  5.625%  8/15/35  1,225  1,242 
HSBC Holdings PLC  7.625%  5/17/32  325  376 
HSBC Holdings PLC  7.350%  11/27/32  600  675 
HSBC Holdings PLC  6.500%  5/2/36  7,500  8,345 
HSBC Holdings PLC  6.500%  9/15/37  5,850  6,551 
HSBC Holdings PLC  6.800%  6/1/38  1,325  1,535 
4  ICICI Bank Ltd.  6.625%  10/3/12  4,525  4,859 


JP Morgan Chase Capital XV  5.875%  3/15/35  2,125  2,080 
JP Morgan Chase Capital XVII  5.850%  8/1/35  250  244 
JP Morgan Chase Capital XX  6.550%  9/29/36  2,250  2,267 
JP Morgan Chase Capital XXII  6.450%  2/2/37  7,675  7,635 
JP Morgan Chase Capital XXV  6.800%  10/1/37  2,775  2,848 
JPMorgan Chase & Co.  4.500%  1/15/12  3,075  3,214 
JPMorgan Chase & Co.  6.625%  3/15/12  2,975  3,202 
JPMorgan Chase & Co.  5.375%  10/1/12  5,950  6,440 
JPMorgan Chase & Co.  5.750%  1/2/13  2,175  2,368 
JPMorgan Chase & Co.  4.750%  5/1/13  4,450  4,829 
JPMorgan Chase & Co.  1.650%  9/30/13  8,175  8,185 
JPMorgan Chase & Co.  4.875%  3/15/14  8,800  9,538 
JPMorgan Chase & Co.  4.650%  6/1/14  4,600  5,036 
JPMorgan Chase & Co.  5.125%  9/15/14  14,715  16,151 
JPMorgan Chase & Co.  3.700%  1/20/15  2,950  3,118 
JPMorgan Chase & Co.  4.750%  3/1/15  4,625  5,063 
JPMorgan Chase & Co.  5.250%  5/1/15  2,025  2,218 
JPMorgan Chase & Co.  5.150%  10/1/15  5,875  6,419 
JPMorgan Chase & Co.  6.125%  6/27/17  3,325  3,768 
JPMorgan Chase & Co.  6.000%  1/15/18  3,150  3,594 
JPMorgan Chase & Co.  6.300%  4/23/19  9,950  11,549 
JPMorgan Chase & Co.  4.400%  7/22/20  3,625  3,716 
JPMorgan Chase & Co.  6.400%  5/15/38  15,075  18,111 
JPMorgan Chase Bank NA  5.875%  6/13/16  1,350  1,533 
JPMorgan Chase Bank NA  6.000%  10/1/17  3,700  4,208 
JPMorgan Chase Capital XXVII  7.000%  11/1/39  3,140  3,203 
KeyBank NA  5.500%  9/17/12  2,000  2,135 
KeyBank NA  5.800%  7/1/14  850  927 
KeyBank NA  5.450%  3/3/16  2,500  2,706 
KeyCorp  6.500%  5/14/13  1,500  1,642 
4  Lloyds TSB Bank PLC  4.375%  1/12/15  3,650  3,750 
4  Lloyds TSB Bank PLC  5.800%  1/13/20  3,950  4,097 
M&I Marshall & Ilsley Bank  5.250%  9/4/12  225  230 
M&I Marshall & Ilsley Bank  4.850%  6/16/15  350  342 
M&I Marshall & Ilsley Bank  5.000%  1/17/17  100  95 
3 Manufacturers & Traders Trust Co.  5.585%  12/28/15  100  99 
Manufacturers & Traders Trust Co.  6.625%  12/4/17  2,475  2,848 
MBNA Corp.  7.500%  3/15/12  1,125  1,216 
MBNA Corp.  6.125%  3/1/13  1,375  1,493 
MBNA Corp.  5.000%  6/15/15  1,425  1,514 
Mellon Funding Corp.  5.000%  12/1/14  875  979 
Merrill Lynch & Co. Inc.  6.050%  8/15/12  3,475  3,732 
Merrill Lynch & Co. Inc.  5.450%  2/5/13  3,225  3,456 
Merrill Lynch & Co. Inc.  6.150%  4/25/13  7,200  7,861 
Merrill Lynch & Co. Inc.  5.000%  2/3/14  5,325  5,667 
Merrill Lynch & Co. Inc.  5.450%  7/15/14  850  918 
Merrill Lynch & Co. Inc.  5.000%  1/15/15  11,281  11,961 
Merrill Lynch & Co. Inc.  6.050%  5/16/16  1,025  1,094 
Merrill Lynch & Co. Inc.  5.700%  5/2/17  6,625  6,857 
Merrill Lynch & Co. Inc.  6.400%  8/28/17  5,425  5,937 
Merrill Lynch & Co. Inc.  6.875%  4/25/18  16,925  18,995 
Merrill Lynch & Co. Inc.  6.500%  7/15/18  100  109 
Merrill Lynch & Co. Inc.  6.220%  9/15/26  4,525  4,593 
Merrill Lynch & Co. Inc.  6.110%  1/29/37  2,375  2,326 
Merrill Lynch & Co. Inc.  7.750%  5/14/38  12,825  14,849 
Morgan Stanley  5.625%  1/9/12  9,520  10,011 
Morgan Stanley  6.600%  4/1/12  2,050  2,204 
Morgan Stanley  5.750%  8/31/12  2,350  2,525 


  Morgan Stanley  5.300%  3/1/13  1,350  1,454 
  Morgan Stanley  6.750%  10/15/13  200  222 
  Morgan Stanley  4.750%  4/1/14  13,900  14,425 
  Morgan Stanley  6.000%  5/13/14  12,050  13,263 
  Morgan Stanley  4.200%  11/20/14  1,825  1,896 
  Morgan Stanley  4.100%  1/26/15  3,300  3,413 
  Morgan Stanley  6.000%  4/28/15  11,475  12,650 
  Morgan Stanley  5.375%  10/15/15  2,100  2,260 
  Morgan Stanley  5.750%  10/18/16  4,700  5,072 
  Morgan Stanley  5.450%  1/9/17  3,225  3,394 
  Morgan Stanley  5.550%  4/27/17  1,375  1,453 
  Morgan Stanley  5.950%  12/28/17  5,100  5,439 
  Morgan Stanley  6.625%  4/1/18  11,975  13,283 
  Morgan Stanley  7.300%  5/13/19  12,800  14,696 
  Morgan Stanley  5.625%  9/23/19  18,700  19,444 
  Morgan Stanley  5.500%  7/24/20  4,400  4,545 
  Morgan Stanley  6.250%  8/9/26  5,425  5,769 
  Morgan Stanley  7.250%  4/1/32  750  872 
  National City Bank  4.625%  5/1/13  725  771 
  National City Corp.  4.900%  1/15/15  850  936 
  National City Corp.  6.875%  5/15/19  4,525  5,307 
3  National City Preferred Capital Trust I  12.000%  12/31/49  1,575  1,758 
  North American Development Bank  4.375%  2/11/20  975  1,062 
  North Fork Bancorporation Inc.  5.875%  8/15/12  100  106 
  Northern Trust Co.  6.500%  8/15/18  425  515 
  Northern Trust Corp.  5.500%  8/15/13  425  478 
  Northern Trust Corp.  4.625%  5/1/14  1,025  1,133 
  Paribas  6.950%  7/22/13  325  370 
  PNC Bank NA  4.875%  9/21/17  3,575  3,777 
  PNC Bank NA  6.000%  12/7/17  325  365 
  PNC Funding Corp.  5.125%  12/14/10  1,450  1,463 
  PNC Funding Corp.  3.625%  2/8/15  1,925  2,031 
  PNC Funding Corp.  4.250%  9/21/15  650  703 
  PNC Funding Corp.  5.250%  11/15/15  2,825  3,134 
  PNC Funding Corp.  5.625%  2/1/17  325  356 
  PNC Funding Corp.  6.700%  6/10/19  6,475  7,701 
  PNC Funding Corp.  5.125%  2/8/20  2,325  2,520 
  PNC Funding Corp.  4.375%  8/11/20  2,150  2,200 
  Regions Bank  7.500%  5/15/18  1,325  1,398 
  Regions Financial Corp.  4.875%  4/26/13  1,550  1,567 
  Regions Financial Corp.  7.750%  11/10/14  1,625  1,785 
  Regions Financial Corp.  5.750%  6/15/15  575  586 
  Royal Bank of Canada  2.100%  7/29/13  6,200  6,394 
  Royal Bank of Canada  2.625%  12/15/15  1,850  1,921 
  Royal Bank of Scotland Group PLC  5.000%  10/1/14  1,500  1,502 
  Royal Bank of Scotland Group PLC  5.050%  1/8/15  1,800  1,807 
  Royal Bank of Scotland Group PLC  6.400%  10/21/19  7,650  8,296 
  Royal Bank Of Scotland NV  4.650%  6/4/18  100  98 
  Royal Bank of Scotland PLC  3.400%  8/23/13  2,825  2,894 
4  Royal Bank of Scotland PLC  4.875%  8/25/14  1,800  1,889 
  Royal Bank of Scotland PLC  4.875%  3/16/15  3,975  4,183 
  Royal Bank of Scotland PLC  3.950%  9/21/15  75  76 
  Royal Bank of Scotland PLC  5.625%  8/24/20  4,850  5,058 
  SouthTrust Corp.  5.800%  6/15/14  750  820 
  Sovereign Bank  5.125%  3/15/13  625  654 
  Sovereign Bank  8.750%  5/30/18  675  784 
3,4 Standard Chartered PLC  6.409%  12/31/49  1,975  1,857 
  State Street Bank and Trust Co.  5.300%  1/15/16  900  998 


State Street Corp.  4.300%  5/30/14  1,600  1,756 
Sumitomo Mitsui Banking Corp.  8.000%  6/15/12  4,075  4,518 
SunTrust Bank  5.000%  9/1/15  16  17 
SunTrust Bank  7.250%  3/15/18  375  426 
SunTrust Banks Inc.  5.250%  11/5/12  1,800  1,906 
SunTrust Banks Inc.  6.000%  9/11/17  1,300  1,408 
SunTrust Capital VIII  6.100%  12/15/36  657  613 
UBS AG  2.250%  8/12/13  7,650  7,716 
UBS AG  3.875%  1/15/15  1,300  1,354 
UBS AG  7.000%  10/15/15  1,000  1,131 
UBS AG  5.875%  7/15/16  2,325  2,573 
UBS AG  7.375%  6/15/17  1,050  1,196 
UBS AG  5.875%  12/20/17  6,525  7,395 
UBS AG  5.750%  4/25/18  2,925  3,299 
UBS AG  4.875%  8/4/20  10,400  10,963 
UBS AG  7.750%  9/1/26  1,000  1,149 
UFJ Finance Aruba AEC  6.750%  7/15/13  9,750  11,076 
Union Bank NA  5.950%  5/11/16  1,375  1,509 
UnionBanCal Corp.  5.250%  12/16/13  700  758 
US Bancorp  3.150%  3/4/15  600  636 
US Bank NA  6.300%  2/4/14  3,150  3,619 
US Bank NA  4.950%  10/30/14  4,800  5,355 
US Bank NA  4.800%  4/15/15  850  947 
USB Capital XIII Trust  6.625%  12/15/39  675  696 
Wachovia Bank NA  4.800%  11/1/14  425  461 
Wachovia Bank NA  4.875%  2/1/15  6,050  6,557 
Wachovia Bank NA  5.000%  8/15/15  325  354 
Wachovia Bank NA  6.000%  11/15/17  2,500  2,850 
Wachovia Bank NA  5.850%  2/1/37  5,775  5,939 
Wachovia Bank NA  6.600%  1/15/38  4,225  4,786 
Wachovia Corp.  5.300%  10/15/11  4,125  4,327 
Wachovia Corp.  5.500%  5/1/13  4,353  4,787 
Wachovia Corp.  4.875%  2/15/14  5,275  5,655 
Wachovia Corp.  5.250%  8/1/14  1,900  2,073 
Wachovia Corp.  5.625%  10/15/16  3,800  4,220 
Wachovia Corp.  5.750%  6/15/17  6,425  7,307 
Wachovia Corp.  5.750%  2/1/18  325  370 
Wachovia Corp.  6.605%  10/1/25  100  110 
Wachovia Corp.  7.500%  4/15/35  275  324 
Wachovia Corp.  5.500%  8/1/35  1,325  1,297 
Wachovia Corp.  6.550%  10/15/35  250  274 
Wells Fargo & Co.  4.875%  1/12/11  3,425  3,466 
Wells Fargo & Co.  5.125%  9/1/12  1,200  1,280 
Wells Fargo & Co.  5.250%  10/23/12  11,575  12,518 
Wells Fargo & Co.  4.375%  1/31/13  5,100  5,450 
Wells Fargo & Co.  4.950%  10/16/13  1,150  1,253 
Wells Fargo & Co.  3.750%  10/1/14  2,050  2,177 
Wells Fargo & Co.  3.625%  4/15/15  6,425  6,829 
Wells Fargo & Co.  5.625%  12/11/17  9,725  11,009 
Wells Fargo & Co.  5.375%  2/7/35  4,700  4,960 
Wells Fargo Bank NA  4.750%  2/9/15  4,925  5,292 
Wells Fargo Bank NA  5.750%  5/16/16  3,600  4,035 
Wells Fargo Bank NA  5.950%  8/26/36  700  728 
Wells Fargo Capital X  5.950%  12/15/36  725  702 
3  Wells Fargo Capital XIII  7.700%  12/29/49  6,525  6,745 
3  Wells Fargo Capital XV  9.750%  12/29/49  3,650  4,020 
Wells Fargo Financial Inc.  5.500%  8/1/12  1,225  1,318 
Westpac Banking Corp.  2.250%  11/19/12  3,725  3,793 


Westpac Banking Corp.  2.100%  8/2/13  625  634 
Westpac Banking Corp.  4.200%  2/27/15  7,400  7,955 
Westpac Banking Corp.  3.000%  8/4/15  4,125  4,209 
Westpac Banking Corp.  4.875%  11/19/19  2,225  2,396 
 
Brokerage (0.1%)         
Ameriprise Financial Inc.  5.650%  11/15/15  1,550  1,757 
3  Ameriprise Financial Inc.  7.518%  6/1/16  2,275  2,271 
Ameriprise Financial Inc.  5.300%  3/15/20  775  854 
BlackRock Inc.  2.250%  12/10/12  2,300  2,366 
BlackRock Inc.  3.500%  12/10/14  1,700  1,805 
BlackRock Inc.  6.250%  9/15/17  1,150  1,365 
BlackRock Inc.  5.000%  12/10/19  100  110 
Charles Schwab Corp.  4.950%  6/1/14  3,925  4,349 
Charles Schwab Corp.  4.450%  7/22/20  1,000  1,045 
4 FMR LLC  7.490%  6/15/19  200  241 
Franklin Resources Inc.  2.000%  5/20/13  2,650  2,709 
Franklin Resources Inc.  3.125%  5/20/15  1,450  1,529 
Franklin Resources Inc.  4.625%  5/20/20  700  765 
Jefferies Group Inc.  8.500%  7/15/19  2,105  2,409 
Jefferies Group Inc.  6.450%  6/8/27  5,800  5,695 
Jefferies Group Inc.  6.250%  1/15/36  4,225  3,917 
Lazard Group LLC  6.850%  6/15/17  2,675  2,861 
Nomura Holdings Inc.  5.000%  3/4/15  2,425  2,620 
Nomura Holdings Inc.  6.700%  3/4/20  3,850  4,393 
TD Ameritrade Holding Corp.  2.950%  12/1/12  775  796 
TD Ameritrade Holding Corp.  4.150%  12/1/14  1,025  1,090 
TD Ameritrade Holding Corp.  5.600%  12/1/19  925  1,023 
 
Finance Companies (0.8%)         
Alterra Finance LLC  6.250%  9/30/20  815  818 
Block Financial LLC  7.875%  1/15/13  525  571 
Block Financial LLC  5.125%  10/30/14  2,500  2,566 
Discover Financial Services  6.450%  6/12/17  325  350 
Discover Financial Services  10.250%  7/15/19  950  1,217 
GATX Corp.  4.750%  10/1/12  1,000  1,055 
General Electric Capital Corp.  5.000%  11/15/11  4,225  4,426 
General Electric Capital Corp.  4.375%  11/21/11  550  573 
General Electric Capital Corp.  5.875%  2/15/12  2,800  2,983 
General Electric Capital Corp.  4.375%  3/3/12  4,000  4,187 
General Electric Capital Corp.  5.000%  4/10/12  100  106 
General Electric Capital Corp.  6.000%  6/15/12  16,325  17,643 
General Electric Capital Corp.  3.500%  8/13/12  3,775  3,929 
General Electric Capital Corp.  5.250%  10/19/12  19,100  20,618 
General Electric Capital Corp.  2.800%  1/8/13  6,975  7,182 
General Electric Capital Corp.  5.450%  1/15/13  2,975  3,237 
General Electric Capital Corp.  4.800%  5/1/13  3,425  3,693 
General Electric Capital Corp.  5.900%  5/13/14  5,125  5,807 
General Electric Capital Corp.  5.500%  6/4/14  5,150  5,735 
General Electric Capital Corp.  5.650%  6/9/14  5,800  6,525 
General Electric Capital Corp.  3.750%  11/14/14  12,475  13,205 
General Electric Capital Corp.  5.400%  2/15/17  14,850  16,342 
General Electric Capital Corp.  5.625%  9/15/17  1,775  1,977 
3 General Electric Capital Corp.  6.375%  11/15/17  3,675  3,657 
General Electric Capital Corp.  5.625%  5/1/18  14,275  15,829 
General Electric Capital Corp.  6.000%  8/7/19  10,675  12,016 
General Electric Capital Corp.  5.500%  1/8/20  1,075  1,171 
General Electric Capital Corp.  5.550%  5/4/20  550  606 


General Electric Capital Corp.  6.750%  3/15/32  5,900  6,543 
General Electric Capital Corp.  6.150%  8/7/37  5,350  5,587 
General Electric Capital Corp.  5.875%  1/14/38  18,900  19,116 
General Electric Capital Corp.  6.875%  1/10/39  15,125  17,276 
3  HSBC Finance Capital Trust IX  5.911%  11/30/15  675  629 
HSBC Finance Corp.  6.375%  10/15/11  1,775  1,870 
HSBC Finance Corp.  7.000%  5/15/12  4,575  4,945 
HSBC Finance Corp.  5.900%  6/19/12  1,250  1,333 
HSBC Finance Corp.  6.375%  11/27/12  4,500  4,919 
HSBC Finance Corp.  4.750%  7/15/13  1,000  1,065 
HSBC Finance Corp.  5.250%  1/15/14  1,425  1,546 
HSBC Finance Corp.  5.000%  6/30/15  12,850  14,054 
HSBC Finance Corp.  5.500%  1/19/16  425  467 
SLM Corp.  5.400%  10/25/11  4,775  4,870 
SLM Corp.  5.375%  1/15/13  1,150  1,155 
SLM Corp.  5.000%  10/1/13  1,250  1,226 
SLM Corp.  5.375%  5/15/14  3,175  3,120 
SLM Corp.  5.050%  11/14/14  975  935 
SLM Corp.  8.450%  6/15/18  4,950  5,003 
SLM Corp.  8.000%  3/25/20  4,500  4,457 
SLM Corp.  5.625%  8/1/33  5,000  3,839 
 
Insurance (1.1%)         
ACE Capital Trust II  9.700%  4/1/30  1,000  1,225 
ACE INA Holdings Inc.  5.875%  6/15/14  2,500  2,841 
ACE INA Holdings Inc.  5.600%  5/15/15  1,725  1,956 
ACE INA Holdings Inc.  5.700%  2/15/17  1,400  1,569 
ACE INA Holdings Inc.  5.800%  3/15/18  425  484 
ACE INA Holdings Inc.  5.900%  6/15/19  550  638 
ACE INA Holdings Inc.  6.700%  5/15/36  900  1,106 
AEGON Funding Co. LLC  5.750%  12/15/20  375  408 
Aegon NV  4.750%  6/1/13  800  847 
Aetna Inc.  6.000%  6/15/16  1,200  1,408 
Aetna Inc.  6.500%  9/15/18  875  1,035 
Aetna Inc.  6.625%  6/15/36  3,075  3,576 
Aetna Inc.  6.750%  12/15/37  75  88 
Aflac Inc.  8.500%  5/15/19  1,100  1,401 
Aflac Inc.  6.900%  12/17/39  2,450  2,701 
Alleghany Corp.  5.625%  9/15/20  1,000  1,020 
Allied World Assurance Co. Holdings Ltd.  7.500%  8/1/16  5,375  6,084 
Allstate Corp.  6.125%  2/15/12  900  961 
Allstate Corp.  5.000%  8/15/14  3,325  3,707 
3 Allstate Corp.  6.125%  5/15/17  1,500  1,391 
Allstate Corp.  6.125%  12/15/32  950  1,046 
Allstate Corp.  5.350%  6/1/33  225  230 
Allstate Corp.  5.550%  5/9/35  475  499 
Allstate Corp.  5.950%  4/1/36  1,000  1,096 
3 Allstate Corp.  6.500%  5/15/37  1,625  1,511 
Allstate Corp.  6.900%  5/15/38  1,780  2,178 
Allstate Life Global Funding Trusts  5.375%  4/30/13  1,425  1,575 
American Financial Group Inc./OH  9.875%  6/15/19  775  955 
American International Group Inc.  5.375%  10/18/11  1,225  1,256 
American International Group Inc.  4.950%  3/20/12  1,875  1,931 
American International Group Inc.  4.250%  5/15/13  3,550  3,656 
American International Group Inc.  5.050%  10/1/15  1,400  1,428 
American International Group Inc.  5.600%  10/18/16  1,150  1,179 
American International Group Inc.  5.450%  5/18/17  2,100  2,142 
American International Group Inc.  5.850%  1/16/18  3,300  3,407 


American International Group Inc.  8.250%  8/15/18  950  1,102 
American International Group Inc.  6.250%  5/1/36  11,200  10,976 
AON Corp.  3.500%  9/30/15  2,025  2,062 
AON Corp.  5.000%  9/30/20  1,175  1,201 
AON Corp.  8.205%  1/1/27  325  350 
AON Corp.  6.250%  9/30/40  1,325  1,363 
Arch Capital Group Ltd.  7.350%  5/1/34  1,175  1,253 
Assurant Inc.  5.625%  2/15/14  625  669 
Assurant Inc.  6.750%  2/15/34  1,425  1,487 
AXA SA  8.600%  12/15/30  3,925  4,509 
Axis Capital Holdings Ltd.  5.750%  12/1/14  725  774 
Axis Specialty Finance LLC  5.875%  6/1/20  6,225  6,343 
Berkshire Hathaway Finance Corp.  4.000%  4/15/12  675  708 
Berkshire Hathaway Finance Corp.  4.600%  5/15/13  2,050  2,234 
Berkshire Hathaway Finance Corp.  5.000%  8/15/13  5,850  6,481 
Berkshire Hathaway Finance Corp.  4.850%  1/15/15  1,050  1,184 
Berkshire Hathaway Finance Corp.  5.400%  5/15/18  4,775  5,453 
Berkshire Hathaway Finance Corp.  5.750%  1/15/40  3,325  3,667 
Berkshire Hathaway Inc.  1.400%  2/10/12  3,700  3,736 
Berkshire Hathaway Inc.  2.125%  2/11/13  1,750  1,800 
Berkshire Hathaway Inc.  3.200%  2/11/15  3,700  3,924 
Chubb Corp.  5.200%  4/1/13  425  465 
3  Chubb Corp.  6.375%  4/15/17  5,650  5,564 
Chubb Corp.  5.750%  5/15/18  750  869 
Chubb Corp.  6.000%  5/11/37  2,800  3,196 
Chubb Corp.  6.500%  5/15/38  700  851 
CIGNA Corp.  6.350%  3/15/18  325  378 
CIGNA Corp.  5.125%  6/15/20  875  943 
CIGNA Corp.  7.875%  5/15/27  425  516 
CIGNA Corp.  6.150%  11/15/36  2,150  2,345 
Cincinnati Financial Corp.  6.920%  5/15/28  325  348 
Cincinnati Financial Corp.  6.125%  11/1/34  1,175  1,151 
CNA Financial Corp.  5.850%  12/15/14  2,000  2,149 
CNA Financial Corp.  6.500%  8/15/16  1,750  1,889 
CNA Financial Corp.  7.350%  11/15/19  1,650  1,864 
CNA Financial Corp.  5.875%  8/15/20  925  943 
Coventry Health Care Inc.  6.300%  8/15/14  3,850  4,120 
Endurance Specialty Holdings Ltd.  7.000%  7/15/34  4,729  4,649 
Genworth Financial Inc.  5.750%  6/15/14  300  310 
Genworth Financial Inc.  4.950%  10/1/15  375  375 
Genworth Financial Inc.  8.625%  12/15/16  4,125  4,599 
Genworth Financial Inc.  6.515%  5/22/18  900  916 
Genworth Financial Inc.  7.700%  6/15/20  225  237 
Genworth Financial Inc.  6.500%  6/15/34  3,575  3,298 
Hartford Financial Services Group Inc.  5.250%  10/15/11  1,400  1,452 
Hartford Financial Services Group Inc.  4.625%  7/15/13  625  656 
Hartford Financial Services Group Inc.  5.500%  10/15/16  975  1,022 
Hartford Financial Services Group Inc.  5.375%  3/15/17  900  927 
Hartford Financial Services Group Inc.  6.000%  1/15/19  425  447 
Hartford Financial Services Group Inc.  5.950%  10/15/36  550  500 
Hartford Financial Services Group Inc.  6.100%  10/1/41  1,775  1,628 
HCC Insurance Holdings Inc.  6.300%  11/15/19  1,600  1,749 
Humana Inc.  7.200%  6/15/18  100  115 
Humana Inc.  6.300%  8/1/18  150  164 
Humana Inc.  8.150%  6/15/38  2,500  2,738 
Jefferson-Pilot Corp.  4.750%  1/30/14  275  290 
Lincoln National Corp.  6.200%  12/15/11  325  344 
Lincoln National Corp.  5.650%  8/27/12  950  1,015 


Lincoln National Corp.  4.300%  6/15/15  1,619  1,710 
Lincoln National Corp.  8.750%  7/1/19  900  1,157 
Lincoln National Corp.  6.150%  4/7/36  3,450  3,567 
Lincoln National Corp.  7.000%  6/15/40  500  570 
Loews Corp.  5.250%  3/15/16  950  1,064 
Loews Corp.  6.000%  2/1/35  200  205 
Manulife Financial Corp.  3.400%  9/17/15  3,875  3,919 
Manulife Financial Corp.  4.900%  9/17/20  4,875  4,868 
Markel Corp.  7.125%  9/30/19  825  941 
Marsh & McLennan Cos. Inc.  6.250%  3/15/12  1,900  2,007 
Marsh & McLennan Cos. Inc.  4.850%  2/15/13  2,229  2,358 
Marsh & McLennan Cos. Inc.  5.375%  7/15/14  100  108 
Marsh & McLennan Cos. Inc.  5.750%  9/15/15  300  332 
Marsh & McLennan Cos. Inc.  9.250%  4/15/19  825  1,082 
Marsh & McLennan Cos. Inc.  5.875%  8/1/33  100  97 
4  Massachusetts Mutual Life Insurance Co.  8.875%  6/1/39  575  791 
MetLife Inc.  6.125%  12/1/11  200  211 
MetLife Inc.  5.375%  12/15/12  1,775  1,920 
MetLife Inc.  5.000%  11/24/13  1,275  1,397 
MetLife Inc.  2.375%  2/6/14  1,625  1,642 
MetLife Inc.  5.000%  6/15/15  1,350  1,494 
MetLife Inc.  7.717%  2/15/19  5,325  6,777 
MetLife Inc.  4.750%  2/8/21  775  823 
MetLife Inc.  6.500%  12/15/32  750  862 
MetLife Inc.  6.375%  6/15/34  975  1,102 
MetLife Inc.  5.700%  6/15/35  375  401 
MetLife Inc.  6.400%  12/15/36  3,650  3,421 
MetLife Inc.  5.875%  2/6/41  600  656 
4  Metropolitan Life Global Funding I  2.875%  9/17/12  2,200  2,264 
4  Metropolitan Life Global Funding I  5.125%  6/10/14  5,225  5,792 
Nationwide Financial Services  6.750%  5/15/37  200  174 
OneBeacon US Holdings Inc.  5.875%  5/15/13  600  630 
PartnerRe Finance B LLC  5.500%  6/1/20  1,500  1,549 
Principal Financial Group Inc.  7.875%  5/15/14  1,525  1,794 
Principal Financial Group Inc.  6.050%  10/15/36  950  976 
Principal Life Income Funding Trusts  5.300%  12/14/12  1,450  1,576 
Principal Life Income Funding Trusts  5.300%  4/24/13  1,825  2,002 
Principal Life Income Funding Trusts  5.100%  4/15/14  1,250  1,349 
Progressive Corp.  6.375%  1/15/12  700  747 
3  Progressive Corp.  6.700%  6/15/17  2,300  2,273 
Progressive Corp.  6.625%  3/1/29  1,300  1,478 
Progressive Corp.  6.250%  12/1/32  100  108 
Protective Life Corp.  7.375%  10/15/19  950  1,066 
Protective Life Corp.  8.450%  10/15/39  900  979 
Prudential Financial Inc.  5.100%  12/14/11  125  131 
Prudential Financial Inc.  5.800%  6/15/12  975  1,042 
Prudential Financial Inc.  3.625%  9/17/12  775  805 
Prudential Financial Inc.  2.750%  1/14/13  1,715  1,757 
Prudential Financial Inc.  5.150%  1/15/13  975  1,044 
Prudential Financial Inc.  4.500%  7/15/13  1,825  1,938 
Prudential Financial Inc.  4.750%  4/1/14  650  696 
Prudential Financial Inc.  5.100%  9/20/14  8,000  8,732 
Prudential Financial Inc.  6.200%  1/15/15  2,750  3,094 
Prudential Financial Inc.  4.750%  9/17/15  5,750  6,237 
Prudential Financial Inc.  5.500%  3/15/16  175  192 
Prudential Financial Inc.  6.100%  6/15/17  325  363 
Prudential Financial Inc.  6.000%  12/1/17  1,225  1,379 
Prudential Financial Inc.  5.750%  7/15/33  675  680 


Prudential Financial Inc.  5.400%  6/13/35  2,775  2,704 
Prudential Financial Inc.  5.900%  3/17/36  1,300  1,363 
Prudential Financial Inc.  5.700%  12/14/36  5,475  5,633 
Swiss Re Solutions Holding Corp.  6.450%  3/1/19  675  738 
Swiss Re Solutions Holding Corp.  7.000%  2/15/26  1,225  1,341 
Swiss Re Solutions Holding Corp.  7.750%  6/15/30  1,825  2,158 
Torchmark Corp.  6.375%  6/15/16  1,225  1,374 
Transatlantic Holdings Inc.  8.000%  11/30/39  4,425  4,583 
Travelers Cos. Inc.  5.375%  6/15/12  100  107 
Travelers Cos. Inc.  5.500%  12/1/15  625  718 
Travelers Cos. Inc.  6.250%  6/20/16  1,100  1,305 
Travelers Cos. Inc.  6.250%  3/15/17  2,400  2,306 
Travelers Cos. Inc.  5.750%  12/15/17  1,375  1,583 
Travelers Cos. Inc.  5.800%  5/15/18  100  114 
Travelers Cos. Inc.  5.900%  6/2/19  1,275  1,479 
Travelers Cos. Inc.  6.250%  6/15/37  4,955  5,829 
Travelers Property Casualty Corp.  6.375%  3/15/33  100  116 
UnitedHealth Group Inc.  5.500%  11/15/12  1,925  2,083 
UnitedHealth Group Inc.  4.875%  2/15/13  975  1,050 
UnitedHealth Group Inc.  4.875%  4/1/13  975  1,053 
UnitedHealth Group Inc.  5.000%  8/15/14  4,900  5,390 
UnitedHealth Group Inc.  4.875%  3/15/15  875  964 
UnitedHealth Group Inc.  6.000%  6/15/17  1,825  2,117 
UnitedHealth Group Inc.  6.000%  2/15/18  4,750  5,526 
UnitedHealth Group Inc.  5.800%  3/15/36  4,525  4,748 
UnitedHealth Group Inc.  6.500%  6/15/37  625  718 
UnitedHealth Group Inc.  6.625%  11/15/37  1,425  1,652 
UnitedHealth Group Inc.  6.875%  2/15/38  1,675  2,001 
Unum Group  7.125%  9/30/16  1,250  1,435 
Unum Group  5.625%  9/15/20  825  846 
Validus Holdings Ltd.  8.875%  1/26/40  1,150  1,255 
WellPoint Health Networks Inc.  6.375%  1/15/12  1,000  1,066 
WellPoint Inc.  5.000%  1/15/11  1,875  1,898 
WellPoint Inc.  6.800%  8/1/12  625  686 
WellPoint Inc.  6.000%  2/15/14  550  623 
WellPoint Inc.  5.000%  12/15/14  4,650  5,155 
WellPoint Inc.  5.250%  1/15/16  550  619 
WellPoint Inc.  5.875%  6/15/17  900  1,037 
WellPoint Inc.  5.950%  12/15/34  2,200  2,350 
WellPoint Inc.  5.850%  1/15/36  2,400  2,500 
WellPoint Inc.  6.375%  6/15/37  325  360 
WellPoint Inc.  5.800%  8/15/40  500  523 
Willis North America Inc.  5.625%  7/15/15  2,200  2,352 
Willis North America Inc.  6.200%  3/28/17  1,125  1,201 
Willis North America Inc.  7.000%  9/29/19  150  165 
WR Berkley Corp.  5.375%  9/15/20  375  382 
XL Group PLC  5.250%  9/15/14  350  374 
XL Group PLC  6.375%  11/15/24  175  180 
 
Other Finance (0.0%)         
CME Group Inc.  5.400%  8/1/13  2,900  3,246 
CME Group Inc.  5.750%  2/15/14  1,075  1,221 
NASDAQ OMX Group Inc.  4.000%  1/15/15  1,275  1,319 
NASDAQ OMX Group Inc.  5.550%  1/15/20  1,900  2,012 
ORIX Corp.  5.480%  11/22/11  1,800  1,869 
XTRA Finance Corp.  5.150%  4/1/17  4,525  5,024 


Real Estate Investment Trusts (0.3%)         
AMB Property LP  4.500%  8/15/17  775  781 
AMB Property LP  6.625%  12/1/19  850  957 
Arden Realty LP  5.250%  3/1/15  250  272 
AvalonBay Communities Inc.  5.500%  1/15/12  356  374 
AvalonBay Communities Inc.  6.125%  11/1/12  106  116 
AvalonBay Communities Inc.  5.750%  9/15/16  275  309 
Boston Properties LP  6.250%  1/15/13  1,400  1,541 
Boston Properties LP  5.625%  4/15/15  1,375  1,538 
Boston Properties LP  5.625%  11/15/20  4,000  4,390 
Brandywine Operating Partnership LP  5.750%  4/1/12  550  570 
Brandywine Operating Partnership LP  5.400%  11/1/14  875  910 
Brandywine Operating Partnership LP  7.500%  5/15/15  1,400  1,562 
Brandywine Operating Partnership LP  5.700%  5/1/17  275  278 
CommonWealth REIT  6.250%  8/15/16  575  610 
CommonWealth REIT  6.250%  6/15/17  1,725  1,792 
CommonWealth REIT  5.875%  9/15/20  1,300  1,290 
4  Digital Realty Trust LP  4.500%  7/15/15  550  570 
Duke Realty LP  6.250%  5/15/13  2,350  2,543 
Duke Realty LP  7.375%  2/15/15  3,675  4,178 
Duke Realty LP  5.950%  2/15/17  1,300  1,391 
Duke Realty LP  8.250%  8/15/19  875  1,041 
ERP Operating LP  6.625%  3/15/12  1,150  1,229 
ERP Operating LP  5.500%  10/1/12  1,100  1,183 
ERP Operating LP  5.250%  9/15/14  1,350  1,500 
ERP Operating LP  5.125%  3/15/16  600  656 
ERP Operating LP  5.375%  8/1/16  975  1,077 
ERP Operating LP  5.750%  6/15/17  550  619 
HCP Inc.  6.450%  6/25/12  2,075  2,211 
HCP Inc.  5.650%  12/15/13  2,225  2,395 
HCP Inc.  6.300%  9/15/16  950  1,036 
HCP Inc.  6.000%  1/30/17  425  450 
HCP Inc.  6.700%  1/30/18  1,700  1,863 
Health Care REIT Inc.  6.000%  11/15/13  525  574 
Health Care REIT Inc.  6.200%  6/1/16  3,250  3,637 
Health Care REIT Inc.  6.125%  4/15/20  350  374 
Healthcare Realty Trust Inc.  6.500%  1/17/17  1,600  1,724 
Hospitality Properties Trust  7.875%  8/15/14  1,375  1,541 
Hospitality Properties Trust  5.125%  2/15/15  1,775  1,814 
Kimco Realty Corp.  5.783%  3/15/16  400  442 
Kimco Realty Corp.  6.875%  10/1/19  3,575  4,152 
Liberty Property LP  5.125%  3/2/15  3,200  3,486 
Liberty Property LP  5.500%  12/15/16  625  684 
Mack-Cali Realty LP  7.750%  8/15/19  675  806 
National Retail Properties Inc.  6.875%  10/15/17  2,700  3,059 
Nationwide Health Properties Inc.  6.250%  2/1/13  1,400  1,511 
ProLogis  5.625%  11/15/15  1,200  1,181 
ProLogis  5.750%  4/1/16  1,025  1,009 
ProLogis  5.625%  11/15/16  1,200  1,158 
ProLogis  7.375%  10/30/19  2,075  2,083 
ProLogis  6.875%  3/15/20  3,200  3,147 
Realty Income Corp.  6.750%  8/15/19  2,575  2,942 
Regency Centers LP  6.750%  1/15/12  2,350  2,506 
Regency Centers LP  5.250%  8/1/15  625  670 
Simon Property Group LP  6.750%  5/15/14  6,350  7,297 
Simon Property Group LP  4.200%  2/1/15  450  482 
Simon Property Group LP  5.750%  12/1/15  1,375  1,568 
Simon Property Group LP  6.100%  5/1/16  150  174 


Simon Property Group LP  5.250%  12/1/16  3,525  3,947 
Simon Property Group LP  5.875%  3/1/17  1,825  2,080 
Simon Property Group LP  6.125%  5/30/18  1,700  1,962 
Simon Property Group LP  5.650%  2/1/20  3,050  3,404 
Simon Property Group LP  6.750%  2/1/40  300  352 
Tanger Properties LP  6.150%  11/15/15  1,250  1,400 
        2,308,967 
Industrial (10.5%)         
Basic Industry (1.0%)         
Agrium Inc.  6.750%  1/15/19  1,500  1,780 
Airgas Inc.  4.500%  9/15/14  1,800  1,918 
Airgas Inc.  3.250%  10/1/15  1,075  1,077 
Alcoa Inc.  5.375%  1/15/13  1,150  1,220 
Alcoa Inc.  6.000%  7/15/13  3,050  3,314 
Alcoa Inc.  6.750%  7/15/18  100  108 
Alcoa Inc.  6.150%  8/15/20  3,025  3,099 
Alcoa Inc.  5.870%  2/23/22  550  546 
Alcoa Inc.  5.900%  2/1/27  2,450  2,409 
Alcoa Inc.  6.750%  1/15/28  4,180  4,205 
Allegheny Technologies Inc.  9.375%  6/1/19  2,975  3,603 
AngloGold Ashanti Holdings PLC  5.375%  4/15/20  575  608 
AngloGold Ashanti Holdings PLC  6.500%  4/15/40  875  912 
ArcelorMittal  5.375%  6/1/13  4,025  4,329 
ArcelorMittal  9.000%  2/15/15  1,350  1,630 
ArcelorMittal  3.750%  8/5/15  2,450  2,477 
ArcelorMittal  6.125%  6/1/18  3,000  3,229 
ArcelorMittal  9.850%  6/1/19  6,700  8,596 
ArcelorMittal  5.250%  8/5/20  2,500  2,516 
ArcelorMittal  7.000%  10/15/39  8,000  8,119 
Barrick Australian Finance Pty Ltd.  5.950%  10/15/39  1,550  1,751 
Barrick Gold Corp.  6.950%  4/1/19  200  253 
Barrick Gold Finance Co.  4.875%  11/15/14  400  443 
Barrick Gold Financeco LLC  6.125%  9/15/13  2,275  2,594 
Barrick North America Finance LLC  6.800%  9/15/18  1,650  2,062 
Barrick North America Finance LLC  7.500%  9/15/38  2,100  2,773 
BHP Billiton Finance USA Ltd.  5.125%  3/29/12  950  1,007 
BHP Billiton Finance USA Ltd.  8.500%  12/1/12  175  202 
BHP Billiton Finance USA Ltd.  4.800%  4/15/13  2,450  2,668 
BHP Billiton Finance USA Ltd.  5.500%  4/1/14  5,125  5,773 
BHP Billiton Finance USA Ltd.  5.250%  12/15/15  1,550  1,771 
BHP Billiton Finance USA Ltd.  5.400%  3/29/17  350  399 
BHP Billiton Finance USA Ltd.  6.500%  4/1/19  8,090  9,982 
Celulosa Arauco y Constitucion SA  5.125%  7/9/13  325  347 
Celulosa Arauco y Constitucion SA  5.625%  4/20/15  1,000  1,095 
Celulosa Arauco y Constitucion SA  7.250%  7/29/19  800  916 
4  Celulosa Arauco y Constitucion SA  5.000%  1/21/21  1,350  1,364 
Cliffs Natural Resources Inc.  5.900%  3/15/20  350  381 
Commercial Metals Co.  6.500%  7/15/17  800  821 
Commercial Metals Co.  7.350%  8/15/18  1,925  2,077 
Cytec Industries Inc.  8.950%  7/1/17  550  692 
Dow Chemical Co.  4.850%  8/15/12  5,050  5,342 
Dow Chemical Co.  6.000%  10/1/12  500  541 
Dow Chemical Co.  7.600%  5/15/14  4,375  5,113 
Dow Chemical Co.  5.900%  2/15/15  12,300  13,737 
Dow Chemical Co.  8.550%  5/15/19  3,675  4,638 
Dow Chemical Co.  7.375%  11/1/29  1,500  1,725 
Dow Chemical Co.  9.400%  5/15/39  1,725  2,448 


Eastman Chemical Co.  7.250%  1/15/24  4,750  5,847 
Eastman Chemical Co.  7.600%  2/1/27  675  827 
EI du Pont de Nemours & Co.  4.750%  11/15/12  1,400  1,510 
EI du Pont de Nemours & Co.  5.000%  1/15/13  1,509  1,643 
EI du Pont de Nemours & Co.  5.000%  7/15/13  2,375  2,635 
EI du Pont de Nemours & Co.  5.875%  1/15/14  4,055  4,633 
EI du Pont de Nemours & Co.  5.250%  12/15/16  225  262 
EI du Pont de Nemours & Co.  6.000%  7/15/18  7,275  8,741 
EI du Pont de Nemours & Co.  3.625%  1/15/21  50  51 
EI du Pont de Nemours & Co.  6.500%  1/15/28  525  635 
EI du Pont de Nemours & Co.  4.900%  1/15/41  2,500  2,488 
Freeport-McMoRan Copper & Gold Inc.  8.250%  4/1/15  4,450  4,762 
ICI Wilmington Inc.  5.625%  12/1/13  200  223 
International Paper Co.  5.300%  4/1/15  1,600  1,746 
International Paper Co.  7.950%  6/15/18  6,875  8,319 
International Paper Co.  9.375%  5/15/19  4,800  6,204 
International Paper Co.  7.500%  8/15/21  4,600  5,483 
International Paper Co.  7.300%  11/15/39  2,225  2,481 
Lubrizol Corp.  5.500%  10/1/14  2,100  2,310 
Lubrizol Corp.  8.875%  2/1/19  1,075  1,393 
Lubrizol Corp.  6.500%  10/1/34  2,375  2,608 
Monsanto Co.  7.375%  8/15/12  475  529 
Monsanto Co.  5.125%  4/15/18  850  966 
Monsanto Co.  5.875%  4/15/38  4,300  4,915 
4  Mosaic Co.  7.375%  12/1/14  1,475  1,545 
4 Mosaic Co.  7.625%  12/1/16  3,349  3,642 
Newmont Mining Corp.  5.125%  10/1/19  1,000  1,119 
Newmont Mining Corp.  5.875%  4/1/35  750  815 
Newmont Mining Corp.  6.250%  10/1/39  9,650  11,062 
Nucor Corp.  5.000%  12/1/12  200  216 
Nucor Corp.  5.000%  6/1/13  100  109 
Nucor Corp.  5.750%  12/1/17  425  496 
Nucor Corp.  5.850%  6/1/18  1,725  2,025 
Nucor Corp.  6.400%  12/1/37  1,225  1,470 
Placer Dome Inc.  6.450%  10/15/35  1,050  1,221 
Plum Creek Timberlands LP  5.875%  11/15/15  1,250  1,388 
Potash Corp. of Saskatchewan Inc.  4.875%  3/1/13  1,050  1,124 
Potash Corp. of Saskatchewan Inc.  3.750%  9/30/15  2,000  2,083 
Potash Corp. of Saskatchewan Inc.  4.875%  3/30/20  3,900  4,130 
Potash Corp. of Saskatchewan Inc.  5.875%  12/1/36  200  211 
PPG Industries Inc.  5.750%  3/15/13  1,050  1,149 
PPG Industries Inc.  6.650%  3/15/18  1,950  2,358 
Praxair Inc.  6.375%  4/1/12  525  568 
Praxair Inc.  1.750%  11/15/12  1,050  1,070 
Praxair Inc.  3.950%  6/1/13  200  215 
Praxair Inc.  4.375%  3/31/14  825  906 
Praxair Inc.  5.250%  11/15/14  2,000  2,291 
Praxair Inc.  4.625%  3/30/15  1,050  1,179 
Praxair Inc.  5.200%  3/15/17  325  375 
Praxair Inc.  4.500%  8/15/19  1,600  1,764 
Reliance Steel & Aluminum Co.  6.200%  11/15/16  100  107 
Reliance Steel & Aluminum Co.  6.850%  11/15/36  100  100 
Rio Tinto Alcan Inc.  4.875%  9/15/12  600  640 
Rio Tinto Alcan Inc.  4.500%  5/15/13  1,850  1,984 
Rio Tinto Alcan Inc.  5.200%  1/15/14  200  218 
Rio Tinto Alcan Inc.  5.000%  6/1/15  250  278 
Rio Tinto Alcan Inc.  6.125%  12/15/33  2,725  3,086 
Rio Tinto Finance USA Ltd.  5.875%  7/15/13  6,775  7,548 


Rio Tinto Finance USA Ltd.  8.950%  5/1/14  4,625  5,710 
Rio Tinto Finance USA Ltd.  6.500%  7/15/18  3,000  3,616 
Rio Tinto Finance USA Ltd.  9.000%  5/1/19  12,700  17,643 
Rio Tinto Finance USA Ltd.  7.125%  7/15/28  1,375  1,726 
Rohm and Haas Co.  6.000%  9/15/17  2,325  2,594 
Sherwin-Williams Co.  3.125%  12/15/14  1,350  1,433 
Southern Copper Corp.  5.375%  4/16/20  1,000  1,059 
Southern Copper Corp.  7.500%  7/27/35  2,500  2,892 
Southern Copper Corp.  6.750%  4/16/40  1,600  1,744 
Teck Resources Ltd.  9.750%  5/15/14  2,846  3,504 
Teck Resources Ltd.  10.250%  5/15/16  4,175  5,052 
Teck Resources Ltd.  10.750%  5/15/19  4,050  5,083 
Vale Inco Ltd.  7.750%  5/15/12  175  191 
Vale Inco Ltd.  5.700%  10/15/15  1,200  1,295 
Vale Inco Ltd.  7.200%  9/15/32  325  364 
Vale Overseas Ltd.  6.250%  1/11/16  625  702 
Vale Overseas Ltd.  6.250%  1/23/17  1,425  1,630 
Vale Overseas Ltd.  5.625%  9/15/19  1,525  1,694 
Vale Overseas Ltd.  4.625%  9/15/20  3,350  3,434 
Vale Overseas Ltd.  8.250%  1/17/34  800  1,023 
Vale Overseas Ltd.  6.875%  11/21/36  5,325  6,076 
Vale Overseas Ltd.  6.875%  11/10/39  7,275  8,358 
Valspar Corp.  7.250%  6/15/19  400  488 
WMC Finance USA Ltd.  5.125%  5/15/13  575  630 
Xstrata Canada Corp.  7.350%  6/5/12  475  514 
Xstrata Canada Corp.  7.250%  7/15/12  1,375  1,499 
Xstrata Canada Corp.  5.375%  6/1/15  100  108 
Xstrata Canada Corp.  6.000%  10/15/15  325  361 
Xstrata Canada Corp.  5.500%  6/15/17  1,975  2,150 
 
Capital Goods (1.0%)         
3M Co.  4.500%  11/1/11  575  600 
3M Co.  6.375%  2/15/28  1,300  1,593 
3M Co.  5.700%  3/15/37  1,450  1,705 
Acuity Brands Lighting Inc.  6.000%  12/15/19  800  882 
Allied Waste North America Inc.  7.125%  5/15/16  6,550  6,976 
4  BAE Systems Holdings Inc.  5.200%  8/15/15  100  111 
Bemis Co. Inc.  4.875%  4/1/12  575  599 
Bemis Co. Inc.  5.650%  8/1/14  7,225  8,134 
Black & Decker Corp.  8.950%  4/15/14  2,300  2,812 
Black & Decker Corp.  5.750%  11/15/16  625  720 
Boeing Capital Corp.  6.500%  2/15/12  4,425  4,771 
Boeing Capital Corp.  5.800%  1/15/13  1,475  1,631 
Boeing Capital Corp.  3.250%  10/27/14  1,000  1,069 
Boeing Co.  1.875%  11/20/12  2,050  2,093 
Boeing Co.  5.000%  3/15/14  100  112 
Boeing Co.  3.500%  2/15/15  3,250  3,516 
Boeing Co.  6.000%  3/15/19  725  880 
Boeing Co.  4.875%  2/15/20  950  1,081 
Boeing Co.  8.750%  8/15/21  200  288 
Boeing Co.  7.250%  6/15/25  325  428 
Boeing Co.  8.750%  9/15/31  300  453 
Boeing Co.  6.125%  2/15/33  225  268 
Boeing Co.  6.625%  2/15/38  525  666 
Boeing Co.  5.875%  2/15/40  1,075  1,262 
Caterpillar Financial Services Corp.  5.125%  10/12/11  100  105 
Caterpillar Financial Services Corp.  4.850%  12/7/12  100  108 
Caterpillar Financial Services Corp.  4.250%  2/8/13  1,725  1,852 


Caterpillar Financial Services Corp.  2.000%  4/5/13  5,150  5,276 
Caterpillar Financial Services Corp.  6.125%  2/17/14  9,150  10,534 
Caterpillar Financial Services Corp.  4.750%  2/17/15  1,350  1,511 
Caterpillar Financial Services Corp.  4.625%  6/1/15  775  866 
Caterpillar Financial Services Corp.  7.150%  2/15/19  10,525  13,538 
Caterpillar Inc.  7.000%  12/15/13  425  502 
Caterpillar Inc.  6.625%  7/15/28  200  246 
Caterpillar Inc.  7.300%  5/1/31  675  906 
Caterpillar Inc.  6.050%  8/15/36  2,161  2,602 
Caterpillar Inc.  8.250%  12/15/38  200  300 
Caterpillar Inc.  6.950%  5/1/42  325  424 
Caterpillar Inc.  7.375%  3/1/97  1,825  2,390 
Cooper US Inc.  5.250%  11/15/12  1,275  1,382 
Cooper US Inc.  5.450%  4/1/15  950  1,088 
CRH America Inc.  6.950%  3/15/12  1,825  1,948 
CRH America Inc.  5.300%  10/15/13  450  482 
CRH America Inc.  6.000%  9/30/16  4,500  5,010 
CRH America Inc.  8.125%  7/15/18  3,275  3,935 
Danaher Corp.  5.625%  1/15/18  850  1,003 
Deere & Co.  6.950%  4/25/14  3,925  4,662 
Deere & Co.  5.375%  10/16/29  2,800  3,115 
Deere & Co.  8.100%  5/15/30  1,525  2,121 
Deere & Co.  7.125%  3/3/31  975  1,254 
Dover Corp.  5.450%  3/15/18  2,250  2,629 
Dover Corp.  5.375%  10/15/35  100  110 
Dover Corp.  6.600%  3/15/38  975  1,252 
Eaton Corp.  4.900%  5/15/13  2,175  2,373 
Eaton Corp.  5.600%  5/15/18  1,755  2,029 
Embraer Overseas Ltd.  6.375%  1/24/17  1,450  1,588 
Embraer Overseas Ltd.  6.375%  1/15/20  575  632 
Emerson Electric Co.  4.625%  10/15/12  1,800  1,934 
Emerson Electric Co.  4.500%  5/1/13  1,275  1,387 
Emerson Electric Co.  5.250%  10/15/18  2,200  2,574 
Emerson Electric Co.  4.875%  10/15/19  2,275  2,597 
Emerson Electric Co.  4.250%  11/15/20  950  1,044 
Emerson Electric Co.  5.250%  11/15/39  2,875  3,153 
General Dynamics Corp.  4.250%  5/15/13  2,850  3,093 
General Dynamics Corp.  5.250%  2/1/14  3,450  3,905 
General Electric Co.  5.000%  2/1/13  9,475  10,277 
General Electric Co.  5.250%  12/6/17  16,775  18,862 
Goodrich Corp.  6.290%  7/1/16  1,000  1,196 
Goodrich Corp.  6.125%  3/1/19  3,600  4,301 
Goodrich Corp.  4.875%  3/1/20  4,657  5,199 
Goodrich Corp.  3.600%  2/1/21  850  849 
Harsco Corp.  2.700%  10/15/15  1,000  1,002 
Harsco Corp.  5.750%  5/15/18  4,800  5,545 
Honeywell International Inc.  6.125%  11/1/11  825  873 
Honeywell International Inc.  5.625%  8/1/12  1,300  1,414 
Honeywell International Inc.  4.250%  3/1/13  475  514 
Honeywell International Inc.  3.875%  2/15/14  375  408 
Honeywell International Inc.  5.400%  3/15/16  425  496 
Honeywell International Inc.  5.300%  3/15/17  1,375  1,594 
Honeywell International Inc.  5.300%  3/1/18  175  204 
Honeywell International Inc.  5.000%  2/15/19  2,375  2,740 
Honeywell International Inc.  5.700%  3/15/36  700  807 
Honeywell International Inc.  5.700%  3/15/37  350  404 
Illinois Tool Works Inc.  5.150%  4/1/14  1,950  2,211 
Illinois Tool Works Inc.  6.250%  4/1/19  2,650  3,232 


  Ingersoll-Rand Global Holding Co. Ltd.  6.000%  8/15/13  1,425  1,599 
  Ingersoll-Rand Global Holding Co. Ltd.  9.500%  4/15/14  5,175  6,342 
  Ingersoll-Rand Global Holding Co. Ltd.  6.875%  8/15/18  1,850  2,238 
  John Deere Capital Corp.  5.400%  10/17/11  2,075  2,179 
  John Deere Capital Corp.  5.350%  1/17/12  1,200  1,272 
  John Deere Capital Corp.  7.000%  3/15/12  2,525  2,754 
  John Deere Capital Corp.  5.250%  10/1/12  1,000  1,087 
  John Deere Capital Corp.  4.950%  12/17/12  975  1,058 
  John Deere Capital Corp.  4.900%  9/9/13  2,925  3,239 
  John Deere Capital Corp.  2.950%  3/9/15  825  872 
  John Deere Capital Corp.  5.500%  4/13/17  150  174 
  John Deere Capital Corp.  2.800%  9/18/17  5,300  5,334 
  John Deere Capital Corp.  5.750%  9/10/18  1,275  1,512 
  Joy Global Inc.  6.000%  11/15/16  575  637 
  L-3 Communications Corp.  5.200%  10/15/19  1,375  1,486 
  L-3 Communications Corp.  4.750%  7/15/20  1,525  1,599 
  Lafarge SA  6.500%  7/15/16  2,200  2,369 
  Lafarge SA  7.125%  7/15/36  7,600  7,284 
  Litton Industries Inc.  7.750%  3/15/26  2,575  3,451 
  Lockheed Martin Corp.  4.121%  3/14/13  625  671 
  Lockheed Martin Corp.  7.650%  5/1/16  1,950  2,477 
  Lockheed Martin Corp.  4.250%  11/15/19  1,800  1,953 
  Lockheed Martin Corp.  6.150%  9/1/36  4,075  4,824 
  Lockheed Martin Corp.  5.500%  11/15/39  900  983 
4  Lockheed Martin Corp.  5.720%  6/1/40  126  143 
  Martin Marietta Materials Inc.  6.600%  4/15/18  1,850  2,094 
  Northrop Grumman Systems Corp.  7.750%  3/1/16  250  316 
  Northrop Grumman Systems Corp.  7.875%  3/1/26  525  725 
  Northrop Grumman Systems Corp.  7.750%  2/15/31  1,295  1,779 
  Owens Corning  6.500%  12/1/16  4,900  5,298 
  Owens Corning  9.000%  6/15/19  1,500  1,781 
  Parker Hannifin Corp.  5.500%  5/15/18  450  527 
  Parker Hannifin Corp.  3.500%  9/15/22  1,625  1,633 
  Parker Hannifin Corp.  6.250%  5/15/38  550  665 
  Raytheon Co.  5.500%  11/15/12  925  1,011 
  Raytheon Co.  6.400%  12/15/18  100  124 
  Raytheon Co.  4.400%  2/15/20  500  555 
  Raytheon Co.  7.200%  8/15/27  1,225  1,609 
  Republic Services Inc.  5.500%  9/15/19  1,000  1,126 
  Republic Services Inc.  5.000%  3/1/20  3,925  4,273 
  Republic Services Inc.  5.250%  11/15/21  3,375  3,729 
  Republic Services Inc.  6.086%  3/15/35  825  879 
  Republic Services Inc.  6.200%  3/1/40  1,225  1,380 
  Rockwell Automation Inc.  5.650%  12/1/17  600  701 
  Rockwell Automation Inc.  6.700%  1/15/28  425  518 
  Rockwell Automation Inc.  6.250%  12/1/37  1,500  1,818 
  Rockwell Collins Inc.  5.250%  7/15/19  275  315 
  Roper Industries Inc.  6.625%  8/15/13  3,175  3,587 
  Roper Industries Inc.  6.250%  9/1/19  1,500  1,734 
3,4 Systems 2001 AT LLC  7.156%  12/15/11  205  212 
  Textron Inc.  5.600%  12/1/17  325  349 
  Tyco International Finance SA  6.000%  11/15/13  1,275  1,443 
  Tyco International Ltd. / Tyco International         
  Finance SA  7.000%  12/15/19  2,375  2,973 
  Tyco International Ltd. / Tyco International         
  Finance SA  6.875%  1/15/21  3,000  3,731 
  United Technologies Corp.  6.100%  5/15/12  175  190 
  United Technologies Corp.  4.875%  5/1/15  200  229 


United Technologies Corp.  5.375%  12/15/17  3,675  4,309 
United Technologies Corp.  6.125%  2/1/19  2,350  2,894 
United Technologies Corp.  4.500%  4/15/20  1,550  1,736 
United Technologies Corp.  6.700%  8/1/28  325  410 
United Technologies Corp.  7.500%  9/15/29  825  1,114 
United Technologies Corp.  5.400%  5/1/35  4,025  4,346 
United Technologies Corp.  6.050%  6/1/36  1,525  1,794 
United Technologies Corp.  6.125%  7/15/38  6,800  8,185 
United Technologies Corp.  5.700%  4/15/40  1,000  1,152 
Vulcan Materials Co.  6.300%  6/15/13  950  1,032 
Vulcan Materials Co.  7.000%  6/15/18  1,550  1,718 
Waste Management Inc.  6.375%  11/15/12  325  357 
Waste Management Inc.  5.000%  3/15/14  350  385 
Waste Management Inc.  6.375%  3/11/15  1,550  1,813 
Waste Management Inc.  7.375%  3/11/19  3,750  4,689 
Waste Management Inc.  7.100%  8/1/26  325  393 
Waste Management Inc.  7.750%  5/15/32  100  127 
Waste Management Inc.  6.125%  11/30/39  4,175  4,656 
 
Communication (2.3%)         
America Movil SAB de CV  5.500%  3/1/14  650  721 
America Movil SAB de CV  5.750%  1/15/15  1,375  1,561 
America Movil SAB de CV  5.000%  3/30/20  1,100  1,187 
America Movil SAB de CV  6.375%  3/1/35  2,275  2,595 
America Movil SAB de CV  6.125%  11/15/37  1,575  1,737 
America Movil SAB de CV  6.125%  3/30/40  4,025  4,475 
American Tower Corp.  4.625%  4/1/15  3,550  3,783 
AT&T Corp.  7.300%  11/15/11  3,425  3,671 
AT&T Corp.  8.000%  11/15/31  5,699  7,586 
AT&T Inc.  5.875%  2/1/12  1,975  2,104 
AT&T Inc.  5.875%  8/15/12  1,925  2,097 
AT&T Inc.  4.950%  1/15/13  4,450  4,837 
AT&T Inc.  6.700%  11/15/13  11,325  13,107 
AT&T Inc.  4.850%  2/15/14  4,200  4,659 
AT&T Inc.  5.100%  9/15/14  5,775  6,486 
AT&T Inc.  2.500%  8/15/15  11,450  11,687 
AT&T Inc.  5.625%  6/15/16  5,225  6,100 
AT&T Inc.  5.500%  2/1/18  1,600  1,859 
AT&T Inc.  5.600%  5/15/18  1,225  1,434 
AT&T Inc.  5.800%  2/15/19  1,425  1,698 
AT&T Inc.  6.450%  6/15/34  2,025  2,304 
AT&T Inc.  6.500%  9/1/37  12,125  14,023 
AT&T Inc.  6.300%  1/15/38  12,725  14,328 
AT&T Inc.  6.400%  5/15/38  2,675  3,052 
AT&T Inc.  6.550%  2/15/39  4,125  4,816 
4  AT&T Inc.  5.350%  9/1/40  6,188  6,299 
AT&T Mobility LLC  6.500%  12/15/11  1,875  2,001 
AT&T Mobility LLC  7.125%  12/15/31  3,575  4,410 
Bellsouth Capital Funding Corp.  7.875%  2/15/30  3,200  4,036 
BellSouth Corp.  5.200%  9/15/14  425  477 
BellSouth Corp.  5.200%  12/15/16  1,875  2,141 
BellSouth Corp.  6.875%  10/15/31  1,625  1,881 
BellSouth Corp.  6.550%  6/15/34  1,750  1,956 
BellSouth Corp.  6.000%  11/15/34  1,175  1,243 
BellSouth Telecommunications Inc.  6.375%  6/1/28  2,750  3,023 
British Telecommunications PLC  5.150%  1/15/13  825  881 
British Telecommunications PLC  5.950%  1/15/18  4,525  5,042 
British Telecommunications PLC  9.875%  12/15/30  6,225  8,642 


CBS Corp.  5.625%  8/15/12  850  903 
CBS Corp.  4.625%  5/15/18  100  103 
CBS Corp.  8.875%  5/15/19  1,100  1,428 
CBS Corp.  5.750%  4/15/20  11,975  13,304 
CBS Corp.  7.875%  7/30/30  450  539 
CBS Corp.  5.500%  5/15/33  200  194 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.250%  2/1/12  3,050  3,232 
Cellco Partnership / Verizon Wireless Capital         
LLC  7.375%  11/15/13  9,275  10,977 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.550%  2/1/14  6,944  7,840 
Cellco Partnership / Verizon Wireless Capital         
LLC  8.500%  11/15/18  11,950  16,271 
CenturyLink Inc.  6.000%  4/1/17  100  105 
CenturyLink Inc.  6.150%  9/15/19  1,675  1,720 
CenturyLink Inc.  6.875%  1/15/28  300  292 
CenturyLink Inc.  7.600%  9/15/39  1,800  1,769 
Comcast Cable Communications Holdings         
Inc.  8.375%  3/15/13  55  64 
Comcast Cable Communications Holdings         
Inc.  9.455%  11/15/22  2,000  2,821 
Comcast Cable Communications LLC  6.750%  1/30/11  5,325  5,431 
Comcast Cable Communications LLC  8.875%  5/1/17  975  1,262 
Comcast Corp.  5.300%  1/15/14  1,850  2,062 
Comcast Corp.  6.500%  1/15/15  1,350  1,586 
Comcast Corp.  5.900%  3/15/16  6,650  7,666 
Comcast Corp.  6.500%  1/15/17  150  178 
Comcast Corp.  6.300%  11/15/17  3,475  4,103 
Comcast Corp.  5.875%  2/15/18  3,800  4,377 
Comcast Corp.  5.700%  5/15/18  4,625  5,284 
Comcast Corp.  5.700%  7/1/19  1,275  1,460 
Comcast Corp.  5.650%  6/15/35  2,450  2,463 
Comcast Corp.  6.500%  11/15/35  11,600  12,846 
Comcast Corp.  6.450%  3/15/37  1,825  2,013 
Comcast Corp.  6.950%  8/15/37  1,500  1,754 
Comcast Corp.  6.400%  5/15/38  1,975  2,169 
COX Communications Inc.  7.125%  10/1/12  2,625  2,903 
COX Communications Inc.  5.450%  12/15/14  8,200  9,280 
COX Communications Inc.  5.500%  10/1/15  100  113 
Deutsche Telekom International Finance BV  5.875%  8/20/13  5,400  6,044 
Deutsche Telekom International Finance BV  4.875%  7/8/14  1,775  1,955 
Deutsche Telekom International Finance BV  5.750%  3/23/16  2,500  2,891 
Deutsche Telekom International Finance BV  6.750%  8/20/18  100  123 
Deutsche Telekom International Finance BV  6.000%  7/8/19  2,525  3,015 
Deutsche Telekom International Finance BV  8.750%  6/15/30  3,075  4,295 
DIRECTV Holdings LLC  3.550%  3/15/15  2,425  2,521 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.750%  10/1/14  1,550  1,691 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  7.625%  5/15/16  750  834 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  5.875%  10/1/19  12,975  14,674 
Discovery Communications LLC  6.350%  6/1/40  4,060  4,516 
Embarq Corp.  7.082%  6/1/16  6,050  6,663 
Embarq Corp.  7.995%  6/1/36  8,869  9,427 
France Telecom SA  7.750%  3/1/11  7,800  8,054 
France Telecom SA  4.375%  7/8/14  1,850  2,042 


France Telecom SA  5.375%  7/8/19  1,725  2,029 
France Telecom SA  8.500%  3/1/31  4,275  6,189 
Grupo Televisa SA  6.625%  3/18/25  1,300  1,474 
Grupo Televisa SA  8.500%  3/11/32  200  269 
Grupo Televisa SA  6.625%  1/15/40  850  967 
GTE Corp.  8.750%  11/1/21  950  1,338 
GTE Corp.  6.940%  4/15/28  1,050  1,220 
Koninklijke KPN NV  8.375%  10/1/30  1,550  2,119 
McGraw-Hill Cos. Inc.  5.375%  11/15/12  750  799 
McGraw-Hill Cos. Inc.  5.900%  11/15/17  1,750  1,987 
McGraw-Hill Cos. Inc.  6.550%  11/15/37  1,600  1,835 
4 NBC Universal Inc.  3.650%  4/30/15  3,250  3,418 
4 NBC Universal Inc.  5.150%  4/30/20  7,550  8,100 
4  NBC Universal Inc.  6.400%  4/30/40  7,800  8,434 
New Cingular Wireless Services Inc.  8.125%  5/1/12  6,875  7,645 
New Cingular Wireless Services Inc.  8.750%  3/1/31  925  1,342 
News America Holdings Inc.  8.000%  10/17/16  1,450  1,838 
News America Holdings Inc.  7.700%  10/30/25  200  243 
News America Holdings Inc.  8.150%  10/17/36  625  792 
News America Holdings Inc.  7.750%  12/1/45  425  533 
News America Inc.  5.300%  12/15/14  4,650  5,270 
News America Inc.  6.550%  3/15/33  4,500  5,030 
News America Inc.  6.200%  12/15/34  5,500  5,941 
News America Inc.  6.400%  12/15/35  4,200  4,638 
News America Inc.  6.900%  8/15/39  1,850  2,180 
Omnicom Group Inc.  5.900%  4/15/16  225  259 
Omnicom Group Inc.  4.450%  8/15/20  4,200  4,322 
Pacific Bell Telephone Co.  7.125%  3/15/26  425  502 
Qwest Corp.  8.875%  3/15/12  1,725  1,895 
Qwest Corp.  7.500%  10/1/14  2,625  2,953 
Qwest Corp.  8.375%  5/1/16  2,675  3,143 
Qwest Corp.  6.500%  6/1/17  1,125  1,223 
Qwest Corp.  7.500%  6/15/23  1,325  1,323 
Qwest Corp.  7.250%  9/15/25  1,400  1,467 
Qwest Corp.  6.875%  9/15/33  2,900  2,864 
Qwest Corp.  7.125%  11/15/43  4,500  4,320 
Reed Elsevier Capital Inc.  4.625%  6/15/12  375  397 
Reed Elsevier Capital Inc.  7.750%  1/15/14  1,300  1,518 
Reed Elsevier Capital Inc.  8.625%  1/15/19  1,275  1,676 
Rogers Communications Inc.  7.250%  12/15/12  850  959 
Rogers Communications Inc.  6.375%  3/1/14  5,275  6,078 
Rogers Communications Inc.  5.500%  3/15/14  1,750  1,956 
Rogers Communications Inc.  6.800%  8/15/18  2,600  3,202 
Rogers Communications Inc.  7.500%  8/15/38  100  129 
RR Donnelley & Sons Co.  4.950%  4/1/14  400  415 
RR Donnelley & Sons Co.  5.500%  5/15/15  425  443 
RR Donnelley & Sons Co.  8.600%  8/15/16  4,000  4,668 
RR Donnelley & Sons Co.  6.125%  1/15/17  2,000  2,087 
RR Donnelley & Sons Co.  7.625%  6/15/20  300  313 
TCI Communications Inc.  8.750%  8/1/15  4,175  5,277 
TCI Communications Inc.  7.875%  2/15/26  300  371 
Telecom Italia Capital SA  4.875%  10/1/10  750  750 
Telecom Italia Capital SA  5.250%  11/15/13  6,750  7,258 
Telecom Italia Capital SA  6.175%  6/18/14  1,475  1,632 
Telecom Italia Capital SA  4.950%  9/30/14  7,475  7,975 
Telecom Italia Capital SA  5.250%  10/1/15  3,500  3,786 
Telecom Italia Capital SA  6.999%  6/4/18  200  230 
Telecom Italia Capital SA  7.175%  6/18/19  4,150  4,874 


Telecom Italia Capital SA  6.375%  11/15/33  2,875  2,835 
Telecom Italia Capital SA  6.000%  9/30/34  200  188 
Telecom Italia Capital SA  7.200%  7/18/36  1,100  1,178 
Telecom Italia Capital SA  7.721%  6/4/38  8,325  9,398 
Telefonica Emisiones SAU  5.855%  2/4/13  6,525  7,108 
Telefonica Emisiones SAU  4.949%  1/15/15  3,775  4,148 
Telefonica Emisiones SAU  6.421%  6/20/16  4,975  5,845 
Telefonica Emisiones SAU  5.877%  7/15/19  7,375  8,469 
Telefonica Emisiones SAU  7.045%  6/20/36  4,300  5,174 
Telefonica Europe BV  8.250%  9/15/30  1,500  1,985 
Telefonos de Mexico SAB de CV  5.500%  1/27/15  5,725  6,314 
Thomson Reuters Corp.  5.950%  7/15/13  725  816 
Thomson Reuters Corp.  5.700%  10/1/14  5,075  5,812 
Thomson Reuters Corp.  6.500%  7/15/18  250  303 
Thomson Reuters Corp.  4.700%  10/15/19  1,625  1,786 
Thomson Reuters Corp.  5.500%  8/15/35  1,500  1,575 
Thomson Reuters Corp.  5.850%  4/15/40  950  1,044 
Time Warner Cable Inc.  5.400%  7/2/12  4,625  4,955 
Time Warner Cable Inc.  6.200%  7/1/13  2,775  3,122 
Time Warner Cable Inc.  8.250%  2/14/14  875  1,043 
Time Warner Cable Inc.  7.500%  4/1/14  2,825  3,316 
Time Warner Cable Inc.  3.500%  2/1/15  925  970 
Time Warner Cable Inc.  5.850%  5/1/17  9,600  10,944 
Time Warner Cable Inc.  6.750%  7/1/18  9,150  10,879 
Time Warner Cable Inc.  8.750%  2/14/19  3,100  4,086 
Time Warner Cable Inc.  8.250%  4/1/19  11,050  14,248 
Time Warner Cable Inc.  5.000%  2/1/20  1,900  2,033 
Time Warner Cable Inc.  6.550%  5/1/37  1,525  1,715 
Time Warner Cable Inc.  6.750%  6/15/39  1,815  2,085 
Time Warner Entertainment Co. LP  10.150%  5/1/12  375  424 
Time Warner Entertainment Co. LP  8.875%  10/1/12  550  624 
Time Warner Entertainment Co. LP  8.375%  3/15/23  800  1,046 
Time Warner Entertainment Co. LP  8.375%  7/15/33  2,975  3,850 
United States Cellular Corp.  6.700%  12/15/33  1,025  1,073 
Verizon Communications Inc.  4.350%  2/15/13  200  216 
Verizon Communications Inc.  5.250%  4/15/13  4,575  5,058 
Verizon Communications Inc.  4.900%  9/15/15  575  656 
Verizon Communications Inc.  5.550%  2/15/16  3,175  3,684 
Verizon Communications Inc.  5.500%  2/15/18  17,750  20,449 
Verizon Communications Inc.  6.100%  4/15/18  3,625  4,319 
Verizon Communications Inc.  8.750%  11/1/18  1,775  2,411 
Verizon Communications Inc.  6.350%  4/1/19  2,250  2,742 
Verizon Communications Inc.  5.850%  9/15/35  5,150  5,524 
Verizon Communications Inc.  6.250%  4/1/37  1,675  1,897 
Verizon Communications Inc.  6.400%  2/15/38  4,471  5,148 
Verizon Communications Inc.  6.900%  4/15/38  4,625  5,659 
Verizon Communications Inc.  8.950%  3/1/39  4,300  6,287 
Verizon Global Funding Corp.  6.875%  6/15/12  5,750  6,326 
Verizon Global Funding Corp.  7.375%  9/1/12  1,700  1,904 
Verizon Global Funding Corp.  4.375%  6/1/13  200  218 
Verizon Global Funding Corp.  7.750%  12/1/30  4,600  5,924 
Verizon Maryland Inc.  6.125%  3/1/12  100  107 
Verizon Maryland Inc.  5.125%  6/15/33  175  159 
Verizon New England Inc.  7.875%  11/15/29  1,225  1,416 
Verizon New Jersey Inc.  5.875%  1/17/12  1,700  1,802 
Verizon New York Inc.  6.875%  4/1/12  900  975 
Verizon New York Inc.  7.375%  4/1/32  650  767 
Verizon Pennsylvania Inc.  5.650%  11/15/11  2,900  3,047 


Verizon Virginia Inc.  4.625%  3/15/13  1,725  1,853 
Vodafone Group PLC  5.350%  2/27/12  1,375  1,456 
Vodafone Group PLC  5.000%  12/16/13  475  523 
Vodafone Group PLC  5.375%  1/30/15  6,775  7,642 
Vodafone Group PLC  5.000%  9/15/15  1,175  1,322 
Vodafone Group PLC  5.750%  3/15/16  1,825  2,094 
Vodafone Group PLC  5.625%  2/27/17  5,000  5,710 
Vodafone Group PLC  7.875%  2/15/30  1,525  2,021 
Vodafone Group PLC  6.250%  11/30/32  2,675  3,104 
Vodafone Group PLC  6.150%  2/27/37  2,625  3,090 
Washington Post Co.  7.250%  2/1/19  875  1,055 
WPP Finance UK  5.875%  6/15/14  6,125  6,781 
WPP Finance UK  8.000%  9/15/14  2,625  3,126 
 
Consumer Cyclical (1.0%)         
AutoZone Inc.  6.500%  1/15/14  2,000  2,258 
AutoZone Inc.  5.750%  1/15/15  2,400  2,720 
Best Buy Co. Inc.  6.750%  7/15/13  2,875  3,218 
BorgWarner Inc.  4.625%  9/15/20  400  405 
Costco Wholesale Corp.  5.500%  3/15/17  3,500  4,156 
3  CVS Caremark Corp.  6.302%  6/1/12  1,550  1,444 
CVS Caremark Corp.  4.875%  9/15/14  1,675  1,858 
CVS Caremark Corp.  3.250%  5/18/15  2,100  2,198 
CVS Caremark Corp.  6.125%  8/15/16  2,375  2,799 
CVS Caremark Corp.  5.750%  6/1/17  525  603 
CVS Caremark Corp.  6.600%  3/15/19  6,065  7,347 
CVS Caremark Corp.  4.750%  5/18/20  1,000  1,086 
CVS Caremark Corp.  6.250%  6/1/27  5,150  5,858 
Daimler Finance North America LLC  7.300%  1/15/12  7,050  7,571 
Daimler Finance North America LLC  6.500%  11/15/13  7,100  8,123 
Daimler Finance North America LLC  8.500%  1/18/31  4,700  6,418 
Darden Restaurants Inc.  5.625%  10/15/12  2,675  2,890 
Darden Restaurants Inc.  6.200%  10/15/17  1,850  2,163 
Darden Restaurants Inc.  6.800%  10/15/37  6,450  7,431 
4  Expedia Inc.  5.950%  8/15/20  1,400  1,424 
Historic TW Inc.  9.150%  2/1/23  3,425  4,657 
Historic TW Inc.  6.625%  5/15/29  2,925  3,316 
Home Depot Inc.  5.250%  12/16/13  6,050  6,718 
Home Depot Inc.  5.400%  3/1/16  6,175  7,025 
Home Depot Inc.  5.875%  12/16/36  2,000  2,120 
International Game Technology  7.500%  6/15/19  875  1,037 
International Game Technology  5.500%  6/15/20  1,030  1,104 
Johnson Controls Inc.  5.000%  3/30/20  2,300  2,528 
Johnson Controls Inc.  6.000%  1/15/36  350  384 
Kohl's Corp.  6.250%  12/15/17  850  1,014 
Kohl's Corp.  6.000%  1/15/33  300  328 
Kohl's Corp.  6.875%  12/15/37  700  868 
Lowe's Cos. Inc.  5.600%  9/15/12  850  929 
Lowe's Cos. Inc.  5.400%  10/15/16  1,925  2,274 
Lowe's Cos. Inc.  6.100%  9/15/17  875  1,064 
Lowe's Cos. Inc.  4.625%  4/15/20  2,350  2,622 
Lowe's Cos. Inc.  6.875%  2/15/28  350  431 
Lowe's Cos. Inc.  6.500%  3/15/29  1,050  1,240 
Lowe's Cos. Inc.  5.800%  10/15/36  2,175  2,427 
Lowe's Cos. Inc.  5.800%  4/15/40  1,775  1,996 
Marriott International Inc.  4.625%  6/15/12  1,000  1,046 
Marriott International Inc.  5.625%  2/15/13  850  906 
Marriott International Inc.  6.200%  6/15/16  550  615 


Marriott International Inc.  6.375%  6/15/17  650  722 
McDonald's Corp.  5.300%  3/15/17  300  347 
McDonald's Corp.  5.800%  10/15/17  1,825  2,202 
McDonald's Corp.  5.350%  3/1/18  1,875  2,197 
McDonald's Corp.  5.000%  2/1/19  4,525  5,217 
McDonald's Corp.  6.300%  10/15/37  750  928 
McDonald's Corp.  6.300%  3/1/38  1,825  2,259 
McDonald's Corp.  5.700%  2/1/39  850  976 
MDC Holdings Inc.  5.500%  5/15/13  750  779 
Nordstrom Inc.  6.750%  6/1/14  175  204 
Nordstrom Inc.  6.250%  1/15/18  5,625  6,573 
Nordstrom Inc.  4.750%  5/1/20  1,200  1,283 
Nordstrom Inc.  6.950%  3/15/28  425  497 
Nordstrom Inc.  7.000%  1/15/38  475  566 
PACCAR Financial Corp.  1.950%  12/17/12  2,150  2,189 
PACCAR Inc.  6.875%  2/15/14  1,200  1,402 
Staples Inc.  9.750%  1/15/14  6,300  7,765 
Target Corp.  5.875%  3/1/12  1,825  1,958 
Target Corp.  5.125%  1/15/13  625  685 
Target Corp.  4.000%  6/15/13  600  648 
Target Corp.  5.875%  7/15/16  3,575  4,282 
Target Corp.  5.375%  5/1/17  100  117 
Target Corp.  6.000%  1/15/18  2,250  2,715 
Target Corp.  7.000%  7/15/31  1,425  1,788 
Target Corp.  6.350%  11/1/32  2,075  2,434 
Target Corp.  6.500%  10/15/37  2,400  2,926 
Target Corp.  7.000%  1/15/38  9,800  12,646 
Time Warner Cos. Inc.  7.570%  2/1/24  325  405 
Time Warner Cos. Inc.  6.950%  1/15/28  150  175 
Time Warner Inc.  3.150%  7/15/15  1,600  1,657 
Time Warner Inc.  5.875%  11/15/16  2,525  2,927 
Time Warner Inc.  4.875%  3/15/20  3,975  4,306 
Time Warner Inc.  4.700%  1/15/21  2,350  2,494 
Time Warner Inc.  7.625%  4/15/31  3,700  4,560 
Time Warner Inc.  7.700%  5/1/32  6,925  8,631 
Time Warner Inc.  6.500%  11/15/36  1,900  2,122 
Time Warner Inc.  6.200%  3/15/40  950  1,033 
Time Warner Inc.  6.100%  7/15/40  1,725  1,852 
TJX Cos. Inc.  6.950%  4/15/19  5,650  7,188 
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  1,004 
Toll Brothers Finance Corp.  6.750%  11/1/19  1,350  1,394 
Toyota Motor Credit Corp.  3.200%  6/17/15  5,500  5,825 
VF Corp.  5.950%  11/1/17  850  996 
VF Corp.  6.450%  11/1/37  850  1,019 
Viacom Inc.  4.375%  9/15/14  375  408 
Viacom Inc.  6.250%  4/30/16  1,625  1,906 
Viacom Inc.  6.125%  10/5/17  1,250  1,463 
Viacom Inc.  5.625%  9/15/19  12,235  13,947 
Viacom Inc.  6.875%  4/30/36  100  117 
Wal-Mart Stores Inc.  4.250%  4/15/13  25  27 
Wal-Mart Stores Inc.  4.550%  5/1/13  2,250  2,462 
Wal-Mart Stores Inc.  7.250%  6/1/13  550  642 
Wal-Mart Stores Inc.  3.200%  5/15/14  2,100  2,253 
Wal-Mart Stores Inc.  2.875%  4/1/15  2,425  2,577 
Wal-Mart Stores Inc.  4.500%  7/1/15  2,225  2,522 
Wal-Mart Stores Inc.  2.250%  7/8/15  1,275  1,320 


Wal-Mart Stores Inc.  5.375%  4/5/17  625  740 
Wal-Mart Stores Inc.  5.800%  2/15/18  5,625  6,762 
Wal-Mart Stores Inc.  3.625%  7/8/20  3,950  4,128 
Wal-Mart Stores Inc.  5.875%  4/5/27  8,150  9,560 
Wal-Mart Stores Inc.  7.550%  2/15/30  3,650  4,940 
Wal-Mart Stores Inc.  5.250%  9/1/35  1,425  1,526 
Wal-Mart Stores Inc.  6.500%  8/15/37  7,925  9,903 
Wal-Mart Stores Inc.  6.200%  4/15/38  5,525  6,661 
Wal-Mart Stores Inc.  5.625%  4/1/40  1,700  1,923 
Wal-Mart Stores Inc.  4.875%  7/8/40  875  891 
Walgreen Co.  4.875%  8/1/13  3,575  3,961 
Walgreen Co.  5.250%  1/15/19  1,675  1,947 
Walt Disney Co.  6.375%  3/1/12  700  755 
Walt Disney Co.  4.700%  12/1/12  100  108 
Walt Disney Co.  4.500%  12/15/13  2,300  2,546 
Walt Disney Co.  6.200%  6/20/14  2,000  2,350 
Walt Disney Co.  5.625%  9/15/16  2,425  2,908 
Walt Disney Co.  5.875%  12/15/17  1,875  2,273 
Walt Disney Co.  7.000%  3/1/32  325  427 
Western Union Co.  6.500%  2/26/14  3,275  3,746 
Western Union Co.  5.930%  10/1/16  1,825  2,138 
4  Western Union Co.  5.253%  4/1/20  240  259 
Western Union Co.  6.200%  11/17/36  850  921 
Western Union Co.  6.200%  6/21/40  1,100  1,193 
Yum! Brands Inc.  7.700%  7/1/12  775  853 
Yum! Brands Inc.  4.250%  9/15/15  2,000  2,186 
Yum! Brands Inc.  6.250%  4/15/16  100  118 
Yum! Brands Inc.  6.250%  3/15/18  1,750  2,067 
Yum! Brands Inc.  3.875%  11/1/20  275  274 
Yum! Brands Inc.  6.875%  11/15/37  1,350  1,605 
 
Consumer Noncyclical (2.6%)         
Abbott Laboratories  5.150%  11/30/12  1,100  1,204 
Abbott Laboratories  4.350%  3/15/14  2,075  2,290 
Abbott Laboratories  5.875%  5/15/16  4,900  5,874 
Abbott Laboratories  5.600%  11/30/17  4,450  5,295 
Abbott Laboratories  5.125%  4/1/19  925  1,064 
Abbott Laboratories  6.150%  11/30/37  5,600  6,749 
Abbott Laboratories  6.000%  4/1/39  575  679 
Allergan Inc.  5.750%  4/1/16  400  472 
Altria Group Inc.  8.500%  11/10/13  8,450  10,146 
Altria Group Inc.  7.750%  2/6/14  4,600  5,443 
Altria Group Inc.  9.700%  11/10/18  3,300  4,454 
Altria Group Inc.  9.250%  8/6/19  75  100 
Altria Group Inc.  9.950%  11/10/38  9,800  14,070 
Altria Group Inc.  10.200%  2/6/39  6,900  10,112 
AmerisourceBergen Corp.  5.625%  9/15/12  425  457 
AmerisourceBergen Corp.  5.875%  9/15/15  7,375  8,463 
AmerisourceBergen Corp.  4.875%  11/15/19  975  1,042 
Amgen Inc.  4.850%  11/18/14  3,575  4,036 
Amgen Inc.  5.850%  6/1/17  7,750  9,219 
Amgen Inc.  5.700%  2/1/19  25  30 
Amgen Inc.  3.450%  10/1/20  825  834 
Amgen Inc.  6.375%  6/1/37  1,350  1,651 
Amgen Inc.  6.400%  2/1/39  2,725  3,304 
Amgen Inc.  5.750%  3/15/40  1,700  1,907 
Amgen Inc.  4.950%  10/1/41  1,275  1,277 
Anheuser-Busch Cos. Inc.  4.375%  1/15/13  1,150  1,227 


Anheuser-Busch Cos. Inc.  5.600%  3/1/17  1,375  1,575 
Anheuser-Busch Cos. Inc.  5.500%  1/15/18  6,307  7,117 
Anheuser-Busch Cos. Inc.  6.800%  8/20/32  775  937 
Anheuser-Busch Cos. Inc.  5.750%  4/1/36  2,905  3,155 
Anheuser-Busch InBev Worldwide Inc.  3.000%  10/15/12  4,000  4,145 
Anheuser-Busch InBev Worldwide Inc.  2.500%  3/26/13  3,800  3,893 
Anheuser-Busch InBev Worldwide Inc.  4.125%  1/15/15  4,000  4,296 
Anheuser-Busch InBev Worldwide Inc.  5.375%  1/15/20  11,100  12,486 
Anheuser-Busch InBev Worldwide Inc.  5.000%  4/15/20  2,600  2,855 
Anheuser-Busch InBev Worldwide Inc.  6.375%  1/15/40  2,825  3,369 
Archer-Daniels-Midland Co.  8.375%  4/15/17  100  131 
Archer-Daniels-Midland Co.  5.450%  3/15/18  2,975  3,454 
Archer-Daniels-Midland Co.  5.935%  10/1/32  1,775  2,076 
Archer-Daniels-Midland Co.  5.375%  9/15/35  1,850  2,012 
AstraZeneca PLC  5.400%  9/15/12  3,150  3,434 
AstraZeneca PLC  5.400%  6/1/14  2,925  3,337 
AstraZeneca PLC  5.900%  9/15/17  5,125  6,158 
AstraZeneca PLC  6.450%  9/15/37  7,110  8,923 
Avon Products Inc.  6.500%  3/1/19  2,650  3,260 
Baxter FinCo BV  4.750%  10/15/10  1,950  1,952 
Baxter International Inc.  5.900%  9/1/16  875  1,053 
Baxter International Inc.  6.250%  12/1/37  3,675  4,453 
Becton Dickinson and Co.  5.000%  5/15/19  450  514 
Biogen Idec Inc.  6.000%  3/1/13  750  818 
Biogen Idec Inc.  6.875%  3/1/18  4,300  5,029 
Bottling Group LLC  4.625%  11/15/12  5,025  5,407 
Bottling Group LLC  5.000%  11/15/13  2,700  3,009 
Bottling Group LLC  6.950%  3/15/14  4,225  5,017 
Bottling Group LLC  5.500%  4/1/16  1,925  2,268 
Bottling Group LLC  5.125%  1/15/19  1,500  1,724 
Bristol-Myers Squibb Co.  5.250%  8/15/13  650  725 
Bristol-Myers Squibb Co.  5.450%  5/1/18  800  947 
Bristol-Myers Squibb Co.  7.150%  6/15/23  100  132 
Bristol-Myers Squibb Co.  6.800%  11/15/26  100  126 
Bristol-Myers Squibb Co.  5.875%  11/15/36  3,250  3,756 
Bristol-Myers Squibb Co.  6.125%  5/1/38  475  566 
Bristol-Myers Squibb Co.  6.875%  8/1/97  325  399 
Bunge Ltd. Finance Corp.  5.100%  7/15/15  575  607 
Bunge Ltd. Finance Corp.  8.500%  6/15/19  9,175  11,093 
Campbell Soup Co.  3.050%  7/15/17  525  551 
Cardinal Health Inc.  5.650%  6/15/12  17  18 
Cardinal Health Inc.  4.000%  6/15/15  100  107 
CareFusion Corp.  4.125%  8/1/12  350  366 
CareFusion Corp.  5.125%  8/1/14  1,985  2,187 
CareFusion Corp.  6.375%  8/1/19  4,850  5,772 
Cia de Bebidas das Americas  10.500%  12/15/11  1,375  1,518 
Cia de Bebidas das Americas  8.750%  9/15/13  1,450  1,715 
Clorox Co.  5.450%  10/15/12  1,635  1,783 
Clorox Co.  5.000%  1/15/15  525  588 
Clorox Co.  3.550%  11/1/15  1,850  1,988 
Clorox Co.  5.950%  10/15/17  2,200  2,594 
Coca-Cola Co.  5.350%  11/15/17  3,575  4,203 
Coca-Cola Co.  4.875%  3/15/19  7,385  8,472 
Coca-Cola Enterprises Inc.  5.000%  8/15/13  2,900  3,210 
Coca-Cola Enterprises Inc.  7.375%  3/3/14  4,425  5,329 
Coca-Cola Enterprises Inc.  4.250%  3/1/15  2,200  2,439 
Coca-Cola Enterprises Inc.  4.500%  8/15/19  900  1,003 
Coca-Cola Enterprises Inc.  8.500%  2/1/22  3,250  4,620 


Coca-Cola Enterprises Inc.  7.000%  10/1/26  1,525  1,942 
Coca-Cola Enterprises Inc.  6.950%  11/15/26  1,050  1,351 
Coca-Cola Enterprises Inc.  6.750%  9/15/28  475  601 
Coca-Cola Femsa SAB de CV  4.625%  2/15/20  775  835 
Coca-Cola HBC Finance BV  5.125%  9/17/13  325  355 
Coca-Cola HBC Finance BV  5.500%  9/17/15  3,500  3,926 
ConAgra Foods Inc.  5.875%  4/15/14  1,295  1,478 
ConAgra Foods Inc.  5.819%  6/15/17  225  259 
ConAgra Foods Inc.  7.125%  10/1/26  450  544 
ConAgra Foods Inc.  7.000%  10/1/28  250  299 
Corn Products International Inc.  3.200%  11/1/15  250  255 
Corn Products International Inc.  4.625%  11/1/20  325  333 
Corn Products International Inc.  6.625%  4/15/37  575  623 
Covidien International Finance SA  5.450%  10/15/12  725  789 
Covidien International Finance SA  1.875%  6/15/13  8,000  8,129 
Covidien International Finance SA  6.000%  10/15/17  1,525  1,811 
Covidien International Finance SA  6.550%  10/15/37  3,980  4,972 
CR Bard Inc.  6.700%  12/1/26  1,800  2,237 
Delhaize America Inc.  9.000%  4/15/31  625  878 
Delhaize Group SA  5.875%  2/1/14  1,400  1,582 
Diageo Capital PLC  5.200%  1/30/13  2,425  2,654 
Diageo Capital PLC  5.500%  9/30/16  425  495 
Diageo Capital PLC  5.750%  10/23/17  2,500  2,957 
Diageo Capital PLC  4.828%  7/15/20  3,100  3,483 
Diageo Capital PLC  5.875%  9/30/36  200  230 
Diageo Finance BV  5.300%  10/28/15  1,800  2,074 
Diageo Investment Corp.  7.450%  4/15/35  200  266 
Dr Pepper Snapple Group Inc.  1.700%  12/21/11  1,125  1,135 
Dr Pepper Snapple Group Inc.  2.350%  12/21/12  1,125  1,153 
Dr Pepper Snapple Group Inc.  6.120%  5/1/13  525  588 
Dr Pepper Snapple Group Inc.  6.820%  5/1/18  600  743 
Dr Pepper Snapple Group Inc.  7.450%  5/1/38  425  570 
Eli Lilly & Co.  3.550%  3/6/12  3,100  3,228 
Eli Lilly & Co.  6.000%  3/15/12  950  1,023 
Eli Lilly & Co.  4.200%  3/6/14  2,200  2,404 
Eli Lilly & Co.  5.200%  3/15/17  2,625  3,033 
Eli Lilly & Co.  5.500%  3/15/27  2,150  2,427 
Eli Lilly & Co.  5.550%  3/15/37  1,100  1,216 
Estee Lauder Cos. Inc.  6.000%  5/15/37  200  231 
Express Scripts Inc.  5.250%  6/15/12  1,625  1,733 
Express Scripts Inc.  6.250%  6/15/14  4,700  5,393 
Express Scripts Inc.  7.250%  6/15/19  650  816 
Fortune Brands Inc.  3.000%  6/1/12  4,000  4,073 
Fortune Brands Inc.  6.375%  6/15/14  1,300  1,469 
Fortune Brands Inc.  5.375%  1/15/16  1,500  1,643 
Fortune Brands Inc.  5.875%  1/15/36  875  867 
Genentech Inc.  4.750%  7/15/15  800  908 
Genentech Inc.  5.250%  7/15/35  300  322 
General Mills Inc.  6.000%  2/15/12  5,525  5,907 
General Mills Inc.  5.650%  9/10/12  625  682 
General Mills Inc.  5.250%  8/15/13  1,650  1,840 
General Mills Inc.  5.200%  3/17/15  2,000  2,290 
General Mills Inc.  5.700%  2/15/17  2,525  2,981 
General Mills Inc.  5.650%  2/15/19  6,125  7,161 
General Mills Inc.  5.400%  6/15/40  5,000  5,438 
GlaxoSmithKline Capital Inc.  4.850%  5/15/13  4,125  4,535 
GlaxoSmithKline Capital Inc.  4.375%  4/15/14  1,800  1,988 
GlaxoSmithKline Capital Inc.  5.650%  5/15/18  4,850  5,741 


GlaxoSmithKline Capital Inc.  5.375%  4/15/34  950  1,031 
GlaxoSmithKline Capital Inc.  6.375%  5/15/38  9,430  11,738 
Hasbro Inc.  6.125%  5/15/14  5,000  5,470 
Hasbro Inc.  6.300%  9/15/17  2,125  2,342 
Hasbro Inc.  6.350%  3/15/40  1,200  1,231 
Hershey Co.  5.450%  9/1/16  425  492 
HJ Heinz Co.  5.350%  7/15/13  575  636 
HJ Heinz Finance Co.  6.750%  3/15/32  1,325  1,581 
Hospira Inc.  5.900%  6/15/14  500  565 
Hospira Inc.  6.400%  5/15/15  275  319 
Hospira Inc.  6.050%  3/30/17  100  114 
Hospira Inc.  5.600%  9/15/40  1,075  1,105 
Johnson & Johnson  5.150%  8/15/12  1,525  1,653 
Johnson & Johnson  5.550%  8/15/17  1,950  2,341 
Johnson & Johnson  5.150%  7/15/18  550  645 
Johnson & Johnson  6.950%  9/1/29  1,300  1,724 
Johnson & Johnson  4.950%  5/15/33  1,600  1,735 
Johnson & Johnson  5.950%  8/15/37  800  974 
Johnson & Johnson  5.850%  7/15/38  950  1,150 
Johnson & Johnson  4.500%  9/1/40  1,370  1,372 
Kellogg Co.  5.125%  12/3/12  4,025  4,368 
Kellogg Co.  4.250%  3/6/13  1,375  1,477 
Kellogg Co.  4.150%  11/15/19  2,150  2,334 
Kellogg Co.  7.450%  4/1/31  675  912 
Kimberly-Clark Corp.  5.625%  2/15/12  1,075  1,145 
Kimberly-Clark Corp.  4.875%  8/15/15  1,875  2,161 
Kimberly-Clark Corp.  6.125%  8/1/17  2,475  3,006 
Kimberly-Clark Corp.  7.500%  11/1/18  800  1,052 
Kimberly-Clark Corp.  3.625%  8/1/20  3,150  3,284 
Kimberly-Clark Corp.  6.625%  8/1/37  200  259 
Koninklijke Philips Electronics NV  4.625%  3/11/13  1,300  1,409 
Koninklijke Philips Electronics NV  5.750%  3/11/18  2,750  3,209 
Koninklijke Philips Electronics NV  6.875%  3/11/38  3,050  3,850 
Kraft Foods Inc.  5.625%  11/1/11  7,450  7,824 
Kraft Foods Inc.  6.250%  6/1/12  1,225  1,330 
Kraft Foods Inc.  6.000%  2/11/13  2,950  3,263 
Kraft Foods Inc.  2.625%  5/8/13  3,300  3,408 
Kraft Foods Inc.  5.250%  10/1/13  100  110 
Kraft Foods Inc.  6.750%  2/19/14  200  232 
Kraft Foods Inc.  4.125%  2/9/16  5,775  6,227 
Kraft Foods Inc.  6.500%  8/11/17  5,375  6,434 
Kraft Foods Inc.  6.125%  2/1/18  100  118 
Kraft Foods Inc.  6.125%  8/23/18  7,650  9,013 
Kraft Foods Inc.  5.375%  2/10/20  13,600  15,139 
Kraft Foods Inc.  6.500%  11/1/31  3,275  3,752 
Kraft Foods Inc.  7.000%  8/11/37  3,675  4,509 
Kraft Foods Inc.  6.875%  2/1/38  4,975  6,065 
Kraft Foods Inc.  6.875%  1/26/39  525  637 
Kraft Foods Inc.  6.500%  2/9/40  3,375  3,946 
Kroger Co.  6.750%  4/15/12  100  109 
Kroger Co.  6.200%  6/15/12  1,950  2,117 
Kroger Co.  5.500%  2/1/13  425  465 
Kroger Co.  5.000%  4/15/13  1,050  1,143 
Kroger Co.  4.950%  1/15/15  1,950  2,180 
Kroger Co.  6.400%  8/15/17  200  239 
Kroger Co.  6.800%  12/15/18  2,400  2,918 
Kroger Co.  6.150%  1/15/20  2,525  3,001 
Kroger Co.  7.700%  6/1/29  2,800  3,594 


Kroger Co.  8.000%  9/15/29  3,775  4,962 
Kroger Co.  7.500%  4/1/31  625  801 
Kroger Co.  6.900%  4/15/38  625  773 
Kroger Co.  5.400%  7/15/40  1,250  1,289 
Laboratory Corp. of America Holdings  5.500%  2/1/13  425  459 
Laboratory Corp. of America Holdings  5.625%  12/15/15  850  961 
Life Technologies Corp.  4.400%  3/1/15  1,700  1,818 
Life Technologies Corp.  6.000%  3/1/20  1,750  1,983 
Lorillard Tobacco Co.  8.125%  6/23/19  2,750  3,148 
Lorillard Tobacco Co.  6.875%  5/1/20  800  849 
Lorillard Tobacco Co.  8.125%  5/1/40  1,000  1,069 
McKesson Corp.  7.750%  2/1/12  450  488 
McKesson Corp.  5.250%  3/1/13  3,450  3,750 
Mead Johnson Nutrition Co.  3.500%  11/1/14  2,525  2,667 
Mead Johnson Nutrition Co.  4.900%  11/1/19  2,850  3,121 
Mead Johnson Nutrition Co.  5.900%  11/1/39  3,025  3,419 
Medco Health Solutions Inc.  6.125%  3/15/13  1,425  1,578 
Medco Health Solutions Inc.  7.250%  8/15/13  625  721 
Medco Health Solutions Inc.  7.125%  3/15/18  8,785  10,761 
Medtronic Inc.  4.500%  3/15/14  1,000  1,107 
Medtronic Inc.  3.000%  3/15/15  4,200  4,442 
Medtronic Inc.  4.750%  9/15/15  1,775  2,029 
Medtronic Inc.  4.450%  3/15/20  1,650  1,810 
Medtronic Inc.  6.500%  3/15/39  500  632 
Medtronic Inc.  5.550%  3/15/40  2,100  2,394 
Merck & Co. Inc.  5.125%  11/15/11  725  762 
Merck & Co. Inc.  4.375%  2/15/13  1,225  1,319 
Merck & Co. Inc.  5.300%  12/1/13  500  563 
Merck & Co. Inc.  4.750%  3/1/15  1,200  1,363 
Merck & Co. Inc.  4.000%  6/30/15  2,000  2,213 
Merck & Co. Inc.  6.000%  9/15/17  2,300  2,799 
Merck & Co. Inc.  5.000%  6/30/19  6,650  7,706 
Merck & Co. Inc.  6.400%  3/1/28  1,525  1,880 
Merck & Co. Inc.  5.950%  12/1/28  775  923 
Merck & Co. Inc.  6.500%  12/1/33  4,675  5,979 
Merck & Co. Inc.  5.750%  11/15/36  325  382 
Merck & Co. Inc.  6.550%  9/15/37  4,425  5,700 
Novant Health Inc.  5.850%  11/1/19  2,125  2,367 
Novartis Capital Corp.  1.900%  4/24/13  2,600  2,666 
Novartis Capital Corp.  4.125%  2/10/14  6,525  7,125 
Novartis Capital Corp.  2.900%  4/24/15  5,725  6,025 
Novartis Securities Investment Ltd.  5.125%  2/10/19  4,825  5,532 
PepsiAmericas Inc.  5.750%  7/31/12  1,050  1,143 
PepsiAmericas Inc.  4.375%  2/15/14  100  110 
PepsiAmericas Inc.  4.875%  1/15/15  100  113 
PepsiAmericas Inc.  5.000%  5/15/17  1,400  1,598 
PepsiCo Inc.  5.150%  5/15/12  300  322 
PepsiCo Inc.  4.650%  2/15/13  2,900  3,158 
PepsiCo Inc.  3.750%  3/1/14  1,150  1,243 
PepsiCo Inc.  5.000%  6/1/18  425  488 
PepsiCo Inc.  7.900%  11/1/18  1,150  1,532 
PepsiCo Inc.  4.500%  1/15/20  2,800  3,117 
PepsiCo Inc.  7.000%  3/1/29  5,325  7,002 
PepsiCo Inc.  5.500%  1/15/40  5,425  6,186 
Pfizer Inc.  4.450%  3/15/12  12,650  13,333 
Pfizer Inc.  5.350%  3/15/15  10,275  11,850 
Pfizer Inc.  6.200%  3/15/19  6,850  8,396 
Pfizer Inc.  7.200%  3/15/39  13,550  18,408 


Pharmacia Corp.  6.500%  12/1/18  200  250 
Pharmacia Corp.  6.600%  12/1/28  625  767 
Philip Morris International Inc.  4.875%  5/16/13  3,150  3,461 
Philip Morris International Inc.  6.875%  3/17/14  3,900  4,603 
Philip Morris International Inc.  5.650%  5/16/18  8,700  10,215 
Philip Morris International Inc.  6.375%  5/16/38  3,550  4,375 
3  Procter & Gamble - Esop  9.360%  1/1/21  3,016  3,953 
Procter & Gamble Co.  4.950%  8/15/14  850  966 
Procter & Gamble Co.  3.500%  2/15/15  4,500  4,894 
Procter & Gamble Co.  4.700%  2/15/19  1,775  2,015 
Procter & Gamble Co.  6.450%  1/15/26  2,750  3,482 
Procter & Gamble Co.  5.800%  8/15/34  250  301 
Procter & Gamble Co.  5.550%  3/5/37  2,050  2,384 
Quest Diagnostics Inc.  5.450%  11/1/15  1,800  2,033 
Quest Diagnostics Inc.  6.400%  7/1/17  175  202 
Quest Diagnostics Inc.  6.950%  7/1/37  1,225  1,399 
Reynolds American Inc.  7.250%  6/1/12  1,500  1,620 
Reynolds American Inc.  7.250%  6/1/13  1,575  1,762 
Reynolds American Inc.  7.625%  6/1/16  850  992 
Reynolds American Inc.  7.250%  6/15/37  1,225  1,283 
Safeway Inc.  5.800%  8/15/12  975  1,056 
Safeway Inc.  6.250%  3/15/14  5,850  6,718 
Safeway Inc.  6.350%  8/15/17  325  384 
Safeway Inc.  3.950%  8/15/20  700  705 
Safeway Inc.  7.250%  2/1/31  1,825  2,246 
Sara Lee Corp.  6.125%  11/1/32  2,175  2,330 
St. Jude Medical Inc.  2.200%  9/15/13  3,025  3,091 
St. Jude Medical Inc.  3.750%  7/15/14  2,875  3,084 
St. Jude Medical Inc.  4.875%  7/15/19  500  561 
Stryker Corp.  3.000%  1/15/15  800  842 
Stryker Corp.  4.375%  1/15/20  700  765 
Sysco Corp.  4.200%  2/12/13  625  671 
Sysco Corp.  5.250%  2/12/18  3,875  4,461 
Sysco Corp.  5.375%  9/21/35  1,400  1,569 
Teva Pharmaceutical Finance Co. LLC  5.550%  2/1/16  550  640 
Teva Pharmaceutical Finance Co. LLC  6.150%  2/1/36  2,425  2,901 
Teva Pharmaceutical Finance II BV / Teva         
Pharmaceutical Finance III LLC  3.000%  6/15/15  1,950  2,041 
Teva Pharmaceutical Finance III LLC  1.500%  6/15/12  2,775  2,807 
Thermo Fisher Scientific Inc.  2.150%  12/28/12  875  892 
Thermo Fisher Scientific Inc.  3.200%  5/1/15  1,725  1,817 
Thermo Fisher Scientific Inc.  4.700%  5/1/20  525  584 
Unilever Capital Corp.  7.125%  11/1/10  3,400  3,416 
Unilever Capital Corp.  3.650%  2/15/14  1,525  1,641 
Unilever Capital Corp.  4.800%  2/15/19  700  792 
Unilever Capital Corp.  5.900%  11/15/32  900  1,077 
UST LLC  6.625%  7/15/12  1,500  1,632 
UST LLC  5.750%  3/1/18  1,000  1,083 
Watson Pharmaceuticals Inc.  5.000%  8/15/14  1,250  1,367 
Whirlpool Corp.  5.500%  3/1/13  4,075  4,385 
Whirlpool Corp.  8.600%  5/1/14  900  1,073 
Wyeth  5.500%  3/15/13  2,750  3,042 
Wyeth  5.500%  2/1/14  1,350  1,531 
Wyeth  5.500%  2/15/16  7,500  8,774 
Wyeth  5.450%  4/1/17  2,950  3,443 
Wyeth  6.450%  2/1/24  525  653 
Wyeth  6.500%  2/1/34  1,450  1,808 
Wyeth  6.000%  2/15/36  2,025  2,382 


Wyeth  5.950%  4/1/37  2,950  3,475 
Zimmer Holdings Inc.  4.625%  11/30/19  700  756 
Zimmer Holdings Inc.  5.750%  11/30/39  1,075  1,191 
 
Energy (1.4%)         
Alberta Energy Co. Ltd.  7.375%  11/1/31  425  524 
Anadarko Finance Co.  7.500%  5/1/31  200  215 
Anadarko Petroleum Corp.  7.625%  3/15/14  2,950  3,319 
Anadarko Petroleum Corp.  5.750%  6/15/14  800  856 
Anadarko Petroleum Corp.  6.375%  9/15/17  525  575 
Anadarko Petroleum Corp.  6.950%  6/15/19  500  552 
Anadarko Petroleum Corp.  6.450%  9/15/36  9,025  9,025 
Anadarko Petroleum Corp.  7.950%  6/15/39  825  907 
Anadarko Petroleum Corp.  6.200%  3/15/40  1,600  1,556 
Apache Corp.  6.250%  4/15/12  875  944 
Apache Corp.  5.250%  4/15/13  300  328 
Apache Corp.  6.000%  9/15/13  1,925  2,165 
Apache Corp.  5.625%  1/15/17  250  287 
Apache Corp.  6.900%  9/15/18  3,450  4,315 
Apache Corp.  6.000%  1/15/37  375  425 
Apache Corp.  5.100%  9/1/40  6,475  6,484 
Apache Finance Canada Corp.  7.750%  12/15/29  400  529 
Baker Hughes Inc.  7.500%  11/15/18  325  414 
Baker Hughes Inc.  6.875%  1/15/29  300  375 
Baker Hughes Inc.  5.125%  9/15/40  4,000  4,146 
BJ Services Co.  6.000%  6/1/18  850  997 
BP Capital Markets PLC  3.125%  3/10/12  200  204 
BP Capital Markets PLC  5.250%  11/7/13  5,475  5,964 
BP Capital Markets PLC  3.625%  5/8/14  3,650  3,777 
BP Capital Markets PLC  3.875%  3/10/15  4,525  4,717 
BP Capital Markets PLC  3.125%  10/1/15  6,500  6,552 
BP Capital Markets PLC  4.750%  3/10/19  5,300  5,518 
BP Capital Markets PLC  4.500%  10/1/20  300  306 
Burlington Resources Finance Co.  6.500%  12/1/11  1,400  1,493 
Burlington Resources Finance Co.  7.200%  8/15/31  300  376 
Burlington Resources Finance Co.  7.400%  12/1/31  1,775  2,275 
Cameron International Corp.  6.375%  7/15/18  225  255 
Cameron International Corp.  7.000%  7/15/38  100  114 
Canadian Natural Resources Ltd.  5.450%  10/1/12  1,175  1,265 
Canadian Natural Resources Ltd.  5.150%  2/1/13  475  514 
Canadian Natural Resources Ltd.  4.900%  12/1/14  4,225  4,702 
Canadian Natural Resources Ltd.  6.000%  8/15/16  1,150  1,354 
Canadian Natural Resources Ltd.  7.200%  1/15/32  1,875  2,296 
Canadian Natural Resources Ltd.  6.450%  6/30/33  2,025  2,333 
Canadian Natural Resources Ltd.  6.500%  2/15/37  2,600  3,044 
Canadian Natural Resources Ltd.  6.250%  3/15/38  3,350  3,850 
Cenovus Energy Inc.  4.500%  9/15/14  1,875  2,068 
Cenovus Energy Inc.  5.700%  10/15/19  7,050  8,237 
Cenovus Energy Inc.  6.750%  11/15/39  6,325  7,634 
Chevron Corp.  3.450%  3/3/12  1,225  1,276 
Chevron Corp.  3.950%  3/3/14  3,375  3,692 
Chevron Corp.  4.950%  3/3/19  3,750  4,367 
Conoco Funding Co.  7.250%  10/15/31  200  255 
ConocoPhillips  4.750%  2/1/14  1,650  1,832 
ConocoPhillips  4.600%  1/15/15  1,100  1,236 
ConocoPhillips  5.750%  2/1/19  12,975  15,567 
ConocoPhillips  5.900%  10/15/32  1,225  1,391 
ConocoPhillips  6.500%  2/1/39  1,075  1,339 


ConocoPhillips Canada Funding Co. I  5.625%  10/15/16  4,525  5,339 
ConocoPhillips Canada Funding Co. I  5.950%  10/15/36  325  370 
ConocoPhillips Holding Co.  6.950%  4/15/29  1,950  2,491 
Devon Energy Corp.  5.625%  1/15/14  1,475  1,654 
Devon Energy Corp.  7.950%  4/15/32  1,650  2,236 
Devon Financing Corp. ULC  7.875%  9/30/31  5,275  7,031 
Diamond Offshore Drilling Inc.  4.875%  7/1/15  2,275  2,526 
Diamond Offshore Drilling Inc.  5.875%  5/1/19  850  970 
Diamond Offshore Drilling Inc.  5.700%  10/15/39  1,850  1,920 
Encana Corp.  5.900%  12/1/17  2,100  2,459 
Encana Corp.  7.200%  11/1/31  1,800  2,205 
Encana Corp.  6.500%  8/15/34  2,925  3,401 
Encana Corp.  6.625%  8/15/37  700  833 
Encana Corp.  6.500%  2/1/38  1,150  1,335 
EnCana Holdings Finance Corp.  5.800%  5/1/14  4,350  4,936 
EOG Resources Inc.  6.125%  10/1/13  575  653 
EOG Resources Inc.  5.875%  9/15/17  1,900  2,238 
EOG Resources Inc.  5.625%  6/1/19  3,350  3,927 
EOG Resources Inc.  4.400%  6/1/20  325  352 
Global Marine Inc.  7.000%  6/1/28  850  864 
Halliburton Co.  6.700%  9/15/38  4,025  4,985 
Halliburton Co.  7.450%  9/15/39  900  1,216 
Hess Corp.  8.125%  2/15/19  3,900  5,125 
Hess Corp.  7.875%  10/1/29  1,450  1,855 
Hess Corp.  7.125%  3/15/33  1,375  1,663 
Hess Corp.  5.600%  2/15/41  7,000  7,292 
Husky Energy Inc.  6.250%  6/15/12  725  780 
Husky Energy Inc.  5.900%  6/15/14  7,025  7,802 
Husky Energy Inc.  6.150%  6/15/19  200  230 
Husky Energy Inc.  7.250%  12/15/19  1,225  1,495 
Husky Energy Inc.  6.800%  9/15/37  875  995 
Kerr-McGee Corp.  6.950%  7/1/24  3,300  3,564 
Kerr-McGee Corp.  7.875%  9/15/31  875  954 
Lasmo USA Inc.  7.300%  11/15/27  175  226 
Marathon Global Funding Corp.  6.000%  7/1/12  1,000  1,078 
Marathon Oil Corp.  6.125%  3/15/12  825  883 
Marathon Oil Corp.  6.000%  10/1/17  3,750  4,348 
Marathon Oil Corp.  5.900%  3/15/18  1,350  1,559 
Marathon Oil Corp.  6.600%  10/1/37  200  236 
Nabors Industries Inc.  6.150%  2/15/18  2,650  2,936 
Nabors Industries Inc.  9.250%  1/15/19  1,375  1,758 
4 Nabors Industries Inc.  5.000%  9/15/20  2,675  2,703 
Nexen Inc.  5.050%  11/20/13  5,516  5,995 
Nexen Inc.  5.650%  5/15/17  850  956 
Nexen Inc.  7.875%  3/15/32  325  405 
Nexen Inc.  5.875%  3/10/35  100  102 
Nexen Inc.  6.400%  5/15/37  2,850  3,121 
Nexen Inc.  7.500%  7/30/39  3,400  4,176 
Noble Energy Inc.  8.250%  3/1/19  3,000  3,891 
Noble Energy Inc.  8.000%  4/1/27  275  332 
Noble Holding International Ltd.  4.900%  8/1/20  900  967 
Noble Holding International Ltd.  6.200%  8/1/40  1,400  1,545 
Occidental Petroleum Corp.  6.750%  1/15/12  1,675  1,803 
Occidental Petroleum Corp.  7.000%  11/1/13  3,100  3,647 
PC Financial Partnership  5.000%  11/15/14  900  987 
Petro-Canada  4.000%  7/15/13  1,325  1,399 
Petro-Canada  6.050%  5/15/18  1,050  1,222 
Petro-Canada  7.875%  6/15/26  500  640 


Petro-Canada  7.000%  11/15/28  475  557 
Petro-Canada  5.350%  7/15/33  1,425  1,423 
Petro-Canada  5.950%  5/15/35  2,100  2,232 
Petro-Canada  6.800%  5/15/38  525  622 
Rowan Cos. Inc.  5.000%  9/1/17  750  777 
Rowan Cos. Inc.  7.875%  8/1/19  875  1,039 
Shell International Finance BV  1.875%  3/25/13  5,550  5,673 
Shell International Finance BV  4.000%  3/21/14  4,210  4,559 
Shell International Finance BV  3.100%  6/28/15  10,300  10,842 
Shell International Finance BV  3.250%  9/22/15  1,400  1,488 
Shell International Finance BV  5.200%  3/22/17  975  1,121 
Shell International Finance BV  4.300%  9/22/19  5,775  6,292 
Shell International Finance BV  4.375%  3/25/20  2,525  2,773 
Shell International Finance BV  6.375%  12/15/38  9,125  11,431 
Shell International Finance BV  5.500%  3/25/40  1,200  1,363 
Smith International Inc.  9.750%  3/15/19  6,635  9,525 
Statoil ASA  3.875%  4/15/14  1,250  1,357 
Statoil ASA  2.900%  10/15/14  950  997 
Statoil ASA  3.125%  8/17/17  3,500  3,640 
Statoil ASA  5.250%  4/15/19  4,125  4,779 
Statoil ASA  7.250%  9/23/27  1,975  2,562 
4  Statoil ASA  6.500%  12/1/28  225  277 
Statoil ASA  7.150%  1/15/29  900  1,170 
Statoil ASA  5.100%  8/17/40  1,000  1,069 
Suncor Energy Inc.  6.100%  6/1/18  100  117 
Suncor Energy Inc.  7.150%  2/1/32  425  513 
Suncor Energy Inc.  5.950%  12/1/34  175  189 
Suncor Energy Inc.  6.500%  6/15/38  11,950  13,693 
Suncor Energy Inc.  6.850%  6/1/39  3,700  4,440 
Sunoco Inc.  4.875%  10/15/14  500  525 
Sunoco Inc.  5.750%  1/15/17  725  758 
Talisman Energy Inc.  5.125%  5/15/15  375  416 
Talisman Energy Inc.  7.750%  6/1/19  3,125  3,984 
Talisman Energy Inc.  7.250%  10/15/27  200  242 
Talisman Energy Inc.  5.850%  2/1/37  4,825  5,058 
Tosco Corp.  8.125%  2/15/30  4,950  6,748 
Total Capital SA  3.000%  6/24/15  5,800  6,087 
Total Capital SA  3.125%  10/2/15  2,000  2,107 
Total Capital SA  4.450%  6/24/20  2,200  2,406 
Transocean Inc.  5.250%  3/15/13  1,125  1,181 
Transocean Inc.  4.950%  11/15/15  2,875  2,976 
Transocean Inc.  6.000%  3/15/18  1,875  1,973 
Transocean Inc.  6.500%  11/15/20  1,225  1,323 
Transocean Inc.  7.500%  4/15/31  775  829 
Transocean Inc.  6.800%  3/15/38  4,600  4,646 
Valero Energy Corp.  6.875%  4/15/12  4,375  4,703 
Valero Energy Corp.  4.750%  6/15/13  2,400  2,553 
Valero Energy Corp.  9.375%  3/15/19  1,575  1,999 
Valero Energy Corp.  7.500%  4/15/32  1,725  1,893 
Valero Energy Corp.  6.625%  6/15/37  5,900  5,925 
Valero Energy Corp.  10.500%  3/15/39  3,000  4,056 
Weatherford Bermuda Holdings Ltd.  5.125%  9/15/20  3,125  3,190 
Weatherford Bermuda Holdings Ltd.  6.750%  9/15/40  2,525  2,611 
Weatherford International Inc.  5.950%  6/15/12  200  214 
Weatherford International Inc.  6.350%  6/15/17  4,625  5,166 
Weatherford International Inc.  6.800%  6/15/37  525  549 
Weatherford International Ltd.  5.150%  3/15/13  325  350 
Weatherford International Ltd.  5.500%  2/15/16  1,000  1,087 


Weatherford International Ltd.  6.000%  3/15/18  525  580 
Weatherford International Ltd.  9.625%  3/1/19  5,200  6,781 
Weatherford International Ltd.  6.500%  8/1/36  2,750  2,743 
Weatherford International Ltd.  7.000%  3/15/38  425  450 
Williams Cos. Inc.  7.500%  1/15/31  2,148  2,430 
Williams Cos. Inc.  7.750%  6/15/31  630  727 
Williams Cos. Inc.  8.750%  3/15/32  500  630 
XTO Energy Inc.  5.900%  8/1/12  1,525  1,669 
XTO Energy Inc.  6.250%  4/15/13  2,175  2,457 
XTO Energy Inc.  5.750%  12/15/13  2,200  2,526 
XTO Energy Inc.  4.900%  2/1/14  600  672 
XTO Energy Inc.  5.000%  1/31/15  500  574 
XTO Energy Inc.  6.250%  8/1/17  3,250  4,018 
XTO Energy Inc.  6.500%  12/15/18  2,075  2,639 
XTO Energy Inc.  6.750%  8/1/37  2,575  3,467 
 
Other Industrial (0.0%)         
Cintas Corp. No 2  6.125%  12/1/17  850  1,022 
 
Technology (0.8%)         
Adobe Systems Inc.  3.250%  2/1/15  1,525  1,596 
Adobe Systems Inc.  4.750%  2/1/20  2,650  2,842 
Agilent Technologies Inc.  4.450%  9/14/12  175  184 
Agilent Technologies Inc.  5.500%  9/14/15  1,300  1,461 
Agilent Technologies Inc.  6.500%  11/1/17  5,325  6,114 
Amphenol Corp.  4.750%  11/15/14  2,475  2,681 
Analog Devices Inc.  5.000%  7/1/14  1,200  1,320 
Avnet Inc.  6.625%  9/15/16  225  257 
BMC Software Inc.  7.250%  6/1/18  825  994 
CA Inc.  5.375%  12/1/19  2,250  2,437 
Cisco Systems Inc.  5.500%  2/22/16  1,625  1,914 
Cisco Systems Inc.  4.950%  2/15/19  4,025  4,606 
Cisco Systems Inc.  4.450%  1/15/20  9,475  10,405 
Cisco Systems Inc.  5.900%  2/15/39  5,800  6,644 
Cisco Systems Inc.  5.500%  1/15/40  5,725  6,312 
Computer Sciences Corp.  5.500%  3/15/13  425  461 
Computer Sciences Corp.  6.500%  3/15/18  100  114 
Corning Inc.  6.625%  5/15/19  275  333 
Corning Inc.  7.250%  8/15/36  100  118 
Dell Inc.  3.375%  6/15/12  475  495 
Dell Inc.  4.700%  4/15/13  2,025  2,206 
Dell Inc.  1.400%  9/10/13  2,700  2,709 
Dell Inc.  2.300%  9/10/15  3,400  3,421 
Dell Inc.  5.650%  4/15/18  1,100  1,258 
Dell Inc.  5.875%  6/15/19  1,000  1,161 
Dell Inc.  6.500%  4/15/38  1,200  1,371 
Dun & Bradstreet Corp.  6.000%  4/1/13  1,275  1,398 
Equifax Inc.  4.450%  12/1/14  775  826 
Equifax Inc.  6.300%  7/1/17  425  478 
Equifax Inc.  7.000%  7/1/37  600  676 
Fiserv Inc.  6.125%  11/20/12  2,875  3,147 
Fiserv Inc.  3.125%  10/1/15  1,000  1,017 
Fiserv Inc.  6.800%  11/20/17  2,150  2,481 
Fiserv Inc.  4.625%  10/1/20  1,000  1,009 
Harris Corp.  5.000%  10/1/15  1,275  1,399 
Harris Corp.  6.375%  6/15/19  250  290 
Hewlett-Packard Co.  4.250%  2/24/12  475  498 
Hewlett-Packard Co.  6.500%  7/1/12  425  468 


Hewlett-Packard Co.  4.500%  3/1/13  3,675  3,979 
Hewlett-Packard Co.  1.250%  9/13/13  5,200  5,224 
Hewlett-Packard Co.  6.125%  3/1/14  7,875  9,083 
Hewlett-Packard Co.  4.750%  6/2/14  725  809 
Hewlett-Packard Co.  2.125%  9/13/15  3,100  3,122 
Hewlett-Packard Co.  5.400%  3/1/17  975  1,132 
Hewlett-Packard Co.  5.500%  3/1/18  7,325  8,641 
HP Enterprise Services LLC  6.000%  8/1/13  1,775  2,017 
IBM International Group Capital LLC  5.050%  10/22/12  5,175  5,626 
International Business Machines Corp.  2.100%  5/6/13  850  877 
International Business Machines Corp.  7.500%  6/15/13  1,200  1,405 
International Business Machines Corp.  1.000%  8/5/13  7,600  7,624 
International Business Machines Corp.  6.500%  10/15/13  2,875  3,331 
International Business Machines Corp.  5.700%  9/14/17  13,600  16,198 
International Business Machines Corp.  7.625%  10/15/18  2,100  2,777 
International Business Machines Corp.  7.000%  10/30/25  350  456 
International Business Machines Corp.  6.220%  8/1/27  1,975  2,401 
International Business Machines Corp.  6.500%  1/15/28  100  123 
International Business Machines Corp.  5.875%  11/29/32  225  263 
International Business Machines Corp.  5.600%  11/30/39  6,110  7,020 
Intuit Inc.  5.400%  3/15/12  750  791 
Intuit Inc.  5.750%  3/15/17  575  652 
KLA-Tencor Corp.  6.900%  5/1/18  1,350  1,547 
Lexmark International Inc.  5.900%  6/1/13  925  994 
Lexmark International Inc.  6.650%  6/1/18  1,700  1,915 
Maxim Integrated Products Inc.  3.450%  6/14/13  700  720 
Microsoft Corp.  0.875%  9/27/13  2,960  2,959 
Microsoft Corp.  2.950%  6/1/14  2,550  2,710 
Microsoft Corp.  1.625%  9/25/15  2,800  2,799 
Microsoft Corp.  4.200%  6/1/19  375  416 
Microsoft Corp.  3.000%  10/1/20  4,750  4,723 
Microsoft Corp.  5.200%  6/1/39  3,975  4,372 
Microsoft Corp.  4.500%  10/1/40  2,375  2,371 
Motorola Inc.  8.000%  11/1/11  100  107 
Motorola Inc.  5.375%  11/15/12  1,650  1,757 
Motorola Inc.  6.000%  11/15/17  7,825  8,720 
Motorola Inc.  6.500%  9/1/25  34  37 
Motorola Inc.  6.500%  11/15/28  22  23 
Motorola Inc.  6.625%  11/15/37  83  89 
Nokia Oyj  5.375%  5/15/19  4,050  4,428 
Nokia Oyj  6.625%  5/15/39  2,250  2,563 
Oracle Corp.  4.950%  4/15/13  3,625  3,987 
Oracle Corp.  3.750%  7/8/14  3,050  3,310 
Oracle Corp.  5.250%  1/15/16  4,925  5,709 
Oracle Corp.  5.750%  4/15/18  4,475  5,326 
Oracle Corp.  5.000%  7/8/19  2,800  3,220 
4 Oracle Corp.  3.875%  7/15/20  1,300  1,366 
Oracle Corp.  6.500%  4/15/38  1,575  1,956 
Oracle Corp.  6.125%  7/8/39  4,900  5,828 
4 Oracle Corp.  5.375%  7/15/40  11,480  12,347 
Pitney Bowes Inc.  4.625%  10/1/12  150  159 
Pitney Bowes Inc.  3.875%  6/15/13  1,325  1,385 
Pitney Bowes Inc.  4.875%  8/15/14  100  108 
Pitney Bowes Inc.  4.750%  1/15/16  4,475  4,731 
Pitney Bowes Inc.  5.750%  9/15/17  950  1,028 
Pitney Bowes Inc.  4.750%  5/15/18  100  103 
Pitney Bowes Inc.  5.250%  1/15/37  1,975  2,049 
Science Applications International Corp.  6.250%  7/1/12  375  408 


Science Applications International Corp.  5.500%  7/1/33  475  472 
Symantec Corp.  2.750%  9/15/15  300  303 
Symantec Corp.  4.200%  9/15/20  800  801 
Xerox Corp.  5.500%  5/15/12  1,125  1,200 
Xerox Corp.  7.625%  6/15/13  1,125  1,139 
Xerox Corp.  8.250%  5/15/14  7,550  9,043 
Xerox Corp.  4.250%  2/15/15  3,575  3,840 
Xerox Corp.  6.400%  3/15/16  1,525  1,775 
Xerox Corp.  6.750%  2/1/17  1,100  1,291 
Xerox Corp.  6.350%  5/15/18  2,950  3,422 
Xerox Corp.  5.625%  12/15/19  525  586 
 
Transportation (0.4%)         
3  American Airlines Pass Through Trust 2009-         
1A  10.375%  7/2/19  814  966 
Burlington Northern Santa Fe LLC  5.900%  7/1/12  750  812 
Burlington Northern Santa Fe LLC  5.650%  5/1/17  2,025  2,330 
Burlington Northern Santa Fe LLC  5.750%  3/15/18  850  984 
Burlington Northern Santa Fe LLC  3.600%  9/1/20  750  758 
Burlington Northern Santa Fe LLC  7.000%  12/15/25  1,700  2,065 
Burlington Northern Santa Fe LLC  6.200%  8/15/36  1,300  1,506 
Burlington Northern Santa Fe LLC  5.750%  5/1/40  3,500  3,851 
Burlington Northern Santa Fe LLC  5.050%  3/1/41  1,050  1,047 
Canadian National Railway Co.  6.375%  10/15/11  425  450 
Canadian National Railway Co.  4.400%  3/15/13  875  942 
Canadian National Railway Co.  4.950%  1/15/14  125  139 
Canadian National Railway Co.  5.800%  6/1/16  200  238 
Canadian National Railway Co.  5.850%  11/15/17  350  415 
Canadian National Railway Co.  6.900%  7/15/28  100  128 
Canadian National Railway Co.  6.250%  8/1/34  575  706 
Canadian National Railway Co.  6.200%  6/1/36  975  1,185 
Canadian Pacific Railway Co.  4.450%  3/15/23  1,575  1,595 
Canadian Pacific Railway Co.  7.125%  10/15/31  200  239 
Canadian Pacific Railway Co.  5.950%  5/15/37  325  353 
Con-way Inc.  6.700%  5/1/34  2,475  2,351 
3 Continental Airlines 1997-4 Class A Pass         
Through Trust  6.900%  1/2/18  893  945 
3  Continental Airlines 1998-1 Class A Pass         
Through Trust  6.648%  9/15/17  2,376  2,495 
3  Continental Airlines 1999-1 Class A Pass         
Through Trust  6.545%  2/2/19  64  67 
3  Continental Airlines 2007-1 Class A Pass         
Through Trust  5.983%  4/19/22  319  332 
3  Continental Airlines 2009-2 Class A Pass         
Through Trust  7.250%  11/10/19  1,200  1,326 
CSX Corp.  6.300%  3/15/12  700  751 
CSX Corp.  5.500%  8/1/13  1,900  2,099 
CSX Corp.  6.250%  4/1/15  1,325  1,553 
CSX Corp.  5.600%  5/1/17  450  514 
CSX Corp.  7.900%  5/1/17  886  1,119 
CSX Corp.  6.250%  3/15/18  4,875  5,769 
CSX Corp.  7.375%  2/1/19  6,550  8,224 
CSX Corp.  6.000%  10/1/36  1,675  1,854 
CSX Corp.  6.150%  5/1/37  900  1,017 
CSX Corp.  6.220%  4/30/40  1,864  2,137 
3  Delta Air Lines 1999-1 Class A Pass Through         
Trust  7.750%  12/17/19  2,459  2,717 


3  Delta Air Lines 2007-1 Class A Pass Through         
Trust  6.821%  8/10/22  3,171  3,345 
JB Hunt Transport Services Inc.  3.375%  9/15/15  3,800  3,796 
Norfolk Southern Corp.  5.257%  9/17/14  1,845  2,057 
Norfolk Southern Corp.  5.750%  1/15/16  775  897 
Norfolk Southern Corp.  7.700%  5/15/17  1,525  1,936 
Norfolk Southern Corp.  5.750%  4/1/18  875  1,015 
Norfolk Southern Corp.  5.900%  6/15/19  2,175  2,578 
Norfolk Southern Corp.  5.590%  5/17/25  100  110 
Norfolk Southern Corp.  7.800%  5/15/27  1,280  1,700 
Norfolk Southern Corp.  5.640%  5/17/29  525  576 
Norfolk Southern Corp.  7.050%  5/1/37  3,075  3,937 
Norfolk Southern Corp.  7.900%  5/15/97  600  810 
Norfolk Southern Railway Co.  9.750%  6/15/20  775  1,117 
Ryder System Inc.  5.850%  3/1/14  600  654 
Ryder System Inc.  7.200%  9/1/15  1,250  1,477 
Ryder System Inc.  5.850%  11/1/16  6,075  6,843 
Southwest Airlines Co.  6.500%  3/1/12  2,300  2,435 
Southwest Airlines Co.  5.250%  10/1/14  100  107 
Southwest Airlines Co.  5.750%  12/15/16  1,125  1,235 
Southwest Airlines Co.  5.125%  3/1/17  250  261 
3  Southwest Airlines Co. 2007-1 Pass Through         
Trust  6.150%  8/1/22  808  873 
Union Pacific Corp.  6.650%  1/15/11  1,275  1,296 
Union Pacific Corp.  6.500%  4/15/12  350  379 
Union Pacific Corp.  5.450%  1/31/13  1,325  1,449 
Union Pacific Corp.  5.375%  5/1/14  425  477 
Union Pacific Corp.  7.000%  2/1/16  100  122 
Union Pacific Corp.  5.650%  5/1/17  1,150  1,323 
Union Pacific Corp.  5.750%  11/15/17  2,175  2,530 
Union Pacific Corp.  5.700%  8/15/18  2,650  3,084 
Union Pacific Corp.  6.125%  2/15/20  350  422 
Union Pacific Corp.  4.000%  2/1/21  3,075  3,189 
Union Pacific Corp.  6.625%  2/1/29  400  478 
4 Union Pacific Corp.  5.780%  7/15/40  4,850  5,399 
3 Union Pacific Railroad Co. 2007-3 Pass         
Through Trust  6.176%  1/2/31  442  519 
United Parcel Service Inc.  3.875%  4/1/14  3,550  3,862 
United Parcel Service Inc.  5.500%  1/15/18  2,200  2,591 
United Parcel Service Inc.  5.125%  4/1/19  1,125  1,324 
United Parcel Service Inc.  6.200%  1/15/38  1,450  1,785 
        3,560,863 
Utilities (2.3%)         
Electric (1.6%)         
AEP Texas Central Co.  6.650%  2/15/33  800  930 
Alabama Power Co.  4.850%  12/15/12  4,975  5,372 
Alabama Power Co.  5.500%  10/15/17  1,325  1,536 
Alabama Power Co.  6.125%  5/15/38  1,000  1,186 
Alabama Power Co.  6.000%  3/1/39  1,000  1,176 
Ameren Energy Generating Co.  7.000%  4/15/18  4,000  4,047 
American Water Capital Corp.  6.085%  10/15/17  2,425  2,753 
American Water Capital Corp.  6.593%  10/15/37  1,875  2,107 
Appalachian Power Co.  3.400%  5/24/15  1,300  1,368 
Appalachian Power Co.  5.800%  10/1/35  250  266 
Appalachian Power Co.  7.000%  4/1/38  3,075  3,806 
Arizona Public Service Co.  6.375%  10/15/11  200  211 
Arizona Public Service Co.  5.800%  6/30/14  100  111 


Arizona Public Service Co.  4.650%  5/15/15  400  433 
Arizona Public Service Co.  5.500%  9/1/35  100  99 
Atlantic City Electric Co.  7.750%  11/15/18  2,700  3,478 
Baltimore Gas & Electric Co.  5.900%  10/1/16  100  118 
Baltimore Gas & Electric Co.  6.350%  10/1/36  200  236 
Carolina Power & Light Co.  6.500%  7/15/12  1,175  1,279 
Carolina Power & Light Co.  5.125%  9/15/13  1,825  2,023 
Carolina Power & Light Co.  5.300%  1/15/19  375  436 
CenterPoint Energy Houston Electric LLC  5.700%  3/15/13  4,275  4,719 
CenterPoint Energy Houston Electric LLC  5.750%  1/15/14  100  112 
CenterPoint Energy Houston Electric LLC  7.000%  3/1/14  1,350  1,594 
CenterPoint Energy Houston Electric LLC  6.950%  3/15/33  100  122 
CenterPoint Energy Inc.  6.500%  5/1/18  150  173 
Cleveland Electric Illuminating Co.  7.880%  11/1/17  425  533 
Cleveland Electric Illuminating Co.  5.500%  8/15/24  1,125  1,271 
Columbus Southern Power Co.  5.850%  10/1/35  1,750  1,937 
Commonwealth Edison Co.  6.150%  3/15/12  650  696 
Commonwealth Edison Co.  5.950%  8/15/16  2,975  3,544 
Commonwealth Edison Co.  6.150%  9/15/17  15,207  18,067 
Commonwealth Edison Co.  5.800%  3/15/18  1,075  1,254 
Commonwealth Edison Co.  5.875%  2/1/33  100  111 
Commonwealth Edison Co.  5.900%  3/15/36  875  975 
Commonwealth Edison Co.  6.450%  1/15/38  850  1,026 
Connecticut Light & Power Co.  6.350%  6/1/36  2,225  2,734 
Consolidated Edison Co. of New York Inc.  4.875%  2/1/13  950  1,027 
Consolidated Edison Co. of New York Inc.  5.375%  12/15/15  475  550 
Consolidated Edison Co. of New York Inc.  5.500%  9/15/16  2,225  2,606 
Consolidated Edison Co. of New York Inc.  6.650%  4/1/19  5,000  6,266 
Consolidated Edison Co. of New York Inc.  5.300%  3/1/35  550  579 
Consolidated Edison Co. of New York Inc.  5.850%  3/15/36  700  794 
Consolidated Edison Co. of New York Inc.  6.200%  6/15/36  975  1,156 
Consolidated Edison Co. of New York Inc.  6.300%  8/15/37  2,000  2,385 
Consolidated Edison Co. of New York Inc.  6.750%  4/1/38  625  796 
Consolidated Edison Co. of New York Inc.  5.700%  6/15/40  3,960  4,439 
Consolidated Natural Gas Co.  6.250%  11/1/11  2,675  2,821 
Consolidated Natural Gas Co.  5.000%  12/1/14  4,660  5,244 
Constellation Energy Group Inc.  4.550%  6/15/15  4,750  5,124 
Constellation Energy Group Inc.  7.600%  4/1/32  700  865 
Consumers Energy Co.  5.000%  2/15/12  725  762 
Consumers Energy Co.  5.375%  4/15/13  1,250  1,368 
Consumers Energy Co.  5.500%  8/15/16  800  918 
Consumers Energy Co.  6.125%  3/15/19  125  149 
Consumers Energy Co.  6.700%  9/15/19  1,225  1,539 
Consumers Energy Co.  5.650%  4/15/20  200  234 
Detroit Edison Co.  3.450%  10/1/20  800  814 
Detroit Edison Co.  5.700%  10/1/37  425  480 
Dominion Resources Inc.  4.750%  12/15/10  875  882 
3  Dominion Resources Inc.  6.300%  9/30/11  800  761 
Dominion Resources Inc.  6.250%  6/30/12  725  791 
Dominion Resources Inc.  5.700%  9/17/12  300  327 
Dominion Resources Inc.  5.150%  7/15/15  5,600  6,386 
3  Dominion Resources Inc.  7.500%  6/30/16  950  978 
Dominion Resources Inc.  6.000%  11/30/17  1,750  2,067 
Dominion Resources Inc.  6.400%  6/15/18  300  365 
Dominion Resources Inc.  6.300%  3/15/33  350  410 
Dominion Resources Inc.  5.250%  8/1/33  825  954 
Dominion Resources Inc.  5.950%  6/15/35  2,375  2,707 
DTE Energy Co.  6.375%  4/15/33  100  107 


Duke Energy Carolinas LLC  6.250%  1/15/12  2,575  2,757 
Duke Energy Carolinas LLC  5.750%  11/15/13  100  113 
Duke Energy Carolinas LLC  6.000%  12/1/28  425  487 
Duke Energy Carolinas LLC  6.450%  10/15/32  825  1,004 
Duke Energy Carolinas LLC  6.100%  6/1/37  3,050  3,622 
Duke Energy Carolinas LLC  6.000%  1/15/38  200  237 
Duke Energy Carolinas LLC  6.050%  4/15/38  775  923 
Duke Energy Corp.  3.950%  9/15/14  4,350  4,705 
Duke Energy Corp.  3.350%  4/1/15  4,650  4,918 
Duke Energy Corp.  5.050%  9/15/19  3,775  4,216 
Duke Energy Indiana Inc.  5.000%  9/15/13  275  305 
Duke Energy Indiana Inc.  6.050%  6/15/16  100  119 
Duke Energy Indiana Inc.  3.750%  7/15/20  2,000  2,089 
Duke Energy Indiana Inc.  6.120%  10/15/35  325  376 
Duke Energy Indiana Inc.  6.350%  8/15/38  2,675  3,289 
Duke Energy Ohio Inc.  5.700%  9/15/12  1,175  1,277 
Duke Energy Ohio Inc.  2.100%  6/15/13  675  693 
El Paso Electric Co.  6.000%  5/15/35  600  600 
Empresa Nacional de Electricidad SA/Chile  8.350%  8/1/13  625  721 
Entergy Gulf States Louisiana LLC  3.950%  10/1/20  675  680 
Entergy Louisiana LLC  6.500%  9/1/18  425  513 
Entergy Louisiana LLC  5.400%  11/1/24  450  516 
Exelon Corp.  4.900%  6/15/15  1,000  1,096 
Exelon Corp.  5.625%  6/15/35  200  204 
Exelon Generation Co. LLC  4.000%  10/1/20  275  276 
Exelon Generation Co. LLC  6.250%  10/1/39  950  1,022 
Exelon Generation Co. LLC  5.750%  10/1/41  275  277 
FirstEnergy Corp.  6.450%  11/15/11  489  511 
FirstEnergy Corp.  7.375%  11/15/31  5,360  5,803 
FirstEnergy Solutions Corp.  4.800%  2/15/15  3,500  3,763 
FirstEnergy Solutions Corp.  6.800%  8/15/39  1,000  1,009 
Florida Power & Light Co.  4.850%  2/1/13  625  681 
Florida Power & Light Co.  5.550%  11/1/17  675  800 
Florida Power & Light Co.  5.950%  10/1/33  225  263 
Florida Power & Light Co.  5.625%  4/1/34  1,400  1,574 
Florida Power & Light Co.  4.950%  6/1/35  250  257 
Florida Power & Light Co.  5.400%  9/1/35  425  469 
Florida Power & Light Co.  6.200%  6/1/36  1,050  1,276 
Florida Power & Light Co.  5.650%  2/1/37  725  824 
Florida Power & Light Co.  5.850%  5/1/37  675  787 
Florida Power & Light Co.  5.950%  2/1/38  3,100  3,655 
Florida Power & Light Co.  5.960%  4/1/39  6,100  7,224 
Florida Power Corp.  4.800%  3/1/13  3,075  3,324 
Florida Power Corp.  5.650%  6/15/18  1,175  1,390 
Florida Power Corp.  6.350%  9/15/37  1,375  1,686 
Florida Power Corp.  6.400%  6/15/38  10,900  13,477 
FPL Group Capital Inc.  5.350%  6/15/13  3,725  4,075 
FPL Group Capital Inc.  2.550%  11/15/13  2,375  2,442 
FPL Group Capital Inc.  2.600%  9/1/15  350  354 
FPL Group Capital Inc.  7.875%  12/15/15  1,500  1,872 
3 FPL Group Capital Inc.  6.350%  10/1/16  675  649 
3  FPL Group Capital Inc.  6.650%  6/15/17  1,503  1,454 
Georgia Power Co.  5.700%  6/1/17  525  618 
Georgia Power Co.  5.650%  3/1/37  100  112 
Georgia Power Co.  5.950%  2/1/39  2,750  3,171 
Georgia Power Co.  5.400%  6/1/40  1,000  1,088 
Great Plains Energy Inc.  2.750%  8/15/13  1,475  1,495 
Iberdrola International BV  6.750%  6/15/12  1,700  1,841 


Iberdrola International BV  6.750%  7/15/36  4,285  4,758 
Illinois Power Co.  6.125%  11/15/17  550  621 
Illinois Power Co.  6.250%  4/1/18  1,275  1,458 
Indiana Michigan Power Co.  7.000%  3/15/19  550  675 
Indiana Michigan Power Co.  6.050%  3/15/37  2,850  3,156 
3  Integrys Energy Group Inc.  6.110%  12/1/16  1,600  1,482 
Interstate Power & Light Co.  6.250%  7/15/39  925  1,102 
Jersey Central Power & Light Co.  5.625%  5/1/16  1,025  1,165 
Jersey Central Power & Light Co.  5.650%  6/1/17  775  872 
Kansas City Power & Light Co.  6.050%  11/15/35  525  569 
3  Kansas Gas & Electric  5.647%  3/29/21  89  94 
MidAmerican Energy Co.  5.650%  7/15/12  925  997 
MidAmerican Energy Co.  5.125%  1/15/13  1,700  1,855 
MidAmerican Energy Co.  5.950%  7/15/17  900  1,064 
MidAmerican Energy Co.  5.300%  3/15/18  100  115 
MidAmerican Energy Co.  6.750%  12/30/31  1,550  1,911 
MidAmerican Energy Co.  5.750%  11/1/35  575  634 
Midamerican Energy Holdings Co.  5.875%  10/1/12  2,075  2,259 
Midamerican Energy Holdings Co.  5.000%  2/15/14  425  463 
Midamerican Energy Holdings Co.  5.750%  4/1/18  1,275  1,479 
Midamerican Energy Holdings Co.  8.480%  9/15/28  100  132 
Midamerican Energy Holdings Co.  6.125%  4/1/36  9,175  10,594 
Midamerican Energy Holdings Co.  5.950%  5/15/37  4,369  4,913 
Midamerican Energy Holdings Co.  6.500%  9/15/37  3,700  4,429 
National Rural Utilities Cooperative Finance         
Corp.  7.250%  3/1/12  10,400  11,309 
National Rural Utilities Cooperative Finance         
Corp.  2.625%  9/16/12  100  103 
National Rural Utilities Cooperative Finance         
Corp.  5.500%  7/1/13  1,725  1,932 
National Rural Utilities Cooperative Finance         
Corp.  4.750%  3/1/14  3,375  3,750 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  4/10/17  175  202 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  2/1/18  1,525  1,759 
National Rural Utilities Cooperative Finance         
Corp.  10.375%  11/1/18  3,500  5,021 
National Rural Utilities Cooperative Finance         
Corp.  8.000%  3/1/32  975  1,303 
Nevada Power Co.  7.125%  3/15/19  2,800  3,477 
Nevada Power Co.  6.750%  7/1/37  325  392 
4  Niagara Mohawk Power Corp.  4.881%  8/15/19  2,600  2,858 
Nisource Finance Corp.  6.150%  3/1/13  100  110 
Nisource Finance Corp.  5.400%  7/15/14  425  472 
Nisource Finance Corp.  5.250%  9/15/17  650  706 
Nisource Finance Corp.  6.400%  3/15/18  200  231 
Nisource Finance Corp.  5.450%  9/15/20  1,400  1,515 
Nisource Finance Corp.  6.125%  3/1/22  5,800  6,596 
Northern States Power Co.  1.950%  8/15/15  425  431 
Northern States Power Co.  5.250%  3/1/18  625  724 
Northern States Power Co.  5.250%  7/15/35  100  109 
Northern States Power Co.  6.250%  6/1/36  525  640 
Northern States Power Co.  6.200%  7/1/37  1,475  1,774 
Northern States Power Co.  5.350%  11/1/39  1,325  1,474 
NSTAR  4.500%  11/15/19  900  987 
NSTAR Electric Co.  4.875%  4/15/14  625  697 
NSTAR Electric Co.  5.625%  11/15/17  2,060  2,448 


NSTAR Electric Co.  5.500%  3/15/40  1,250  1,422 
Oglethorpe Power Corp.  5.950%  11/1/39  825  967 
Ohio Edison Co.  6.400%  7/15/16  1,275  1,496 
Ohio Power Co.  5.750%  9/1/13  2,025  2,247 
Ohio Power Co.  6.000%  6/1/16  1,050  1,228 
Ohio Power Co.  5.375%  10/1/21  3,000  3,428 
Oklahoma Gas & Electric Co.  5.850%  6/1/40  1,200  1,359 
Oncor Electric Delivery Co. LLC  5.950%  9/1/13  4,800  5,381 
Oncor Electric Delivery Co. LLC  6.375%  1/15/15  2,150  2,506 
Oncor Electric Delivery Co. LLC  6.800%  9/1/18  2,700  3,328 
Oncor Electric Delivery Co. LLC  7.000%  9/1/22  100  126 
Oncor Electric Delivery Co. LLC  7.000%  5/1/32  1,000  1,218 
Oncor Electric Delivery Co. LLC  7.250%  1/15/33  150  188 
Oncor Electric Delivery Co. LLC  7.500%  9/1/38  1,800  2,360 
Pacific Gas & Electric Co.  4.200%  3/1/11  6,450  6,547 
Pacific Gas & Electric Co.  4.800%  3/1/14  4,375  4,830 
Pacific Gas & Electric Co.  5.625%  11/30/17  1,125  1,301 
Pacific Gas & Electric Co.  8.250%  10/15/18  4,750  6,303 
Pacific Gas & Electric Co.  6.050%  3/1/34  5,075  5,736 
Pacific Gas & Electric Co.  5.800%  3/1/37  2,225  2,470 
Pacific Gas & Electric Co.  6.250%  3/1/39  1,325  1,543 
PacifiCorp  6.900%  11/15/11  1,950  2,082 
PacifiCorp  7.700%  11/15/31  1,185  1,620 
PacifiCorp  5.250%  6/15/35  125  134 
PacifiCorp  6.250%  10/15/37  2,700  3,270 
Peco Energy Co.  5.350%  3/1/18  575  670 
Pennsylvania Electric Co.  6.050%  9/1/17  750  849 
Pennsylvania Electric Co.  5.200%  4/1/20  2,250  2,468 
Pennsylvania Electric Co.  6.150%  10/1/38  2,250  2,441 
Potomac Electric Power Co.  6.500%  11/15/37  1,800  2,248 
PPL Energy Supply LLC  6.400%  11/1/11  3,475  3,673 
PPL Energy Supply LLC  6.300%  7/15/13  1,000  1,117 
PPL Energy Supply LLC  5.400%  8/15/14  200  221 
PPL Energy Supply LLC  6.200%  5/15/16  674  771 
PPL Energy Supply LLC  6.500%  5/1/18  525  609 
Progress Energy Inc.  6.850%  4/15/12  525  568 
Progress Energy Inc.  6.050%  3/15/14  625  711 
Progress Energy Inc.  5.625%  1/15/16  600  686 
Progress Energy Inc.  7.050%  3/15/19  425  529 
Progress Energy Inc.  4.875%  12/1/19  4,000  4,428 
Progress Energy Inc.  7.750%  3/1/31  625  834 
Progress Energy Inc.  7.000%  10/30/31  1,300  1,609 
Progress Energy Inc.  6.000%  12/1/39  3,450  3,953 
PSEG Power LLC  6.950%  6/1/12  3,075  3,372 
PSEG Power LLC  2.500%  4/15/13  2,100  2,157 
PSEG Power LLC  5.000%  4/1/14  2,425  2,648 
PSEG Power LLC  5.125%  4/15/20  540  594 
PSEG Power LLC  8.625%  4/15/31  975  1,304 
Public Service Co. of Colorado  7.875%  10/1/12  3,150  3,559 
Public Service Co. of Colorado  5.500%  4/1/14  175  198 
Public Service Co. of Colorado  5.800%  8/1/18  425  504 
Public Service Co. of Colorado  5.125%  6/1/19  3,925  4,519 
Public Service Co. of Colorado  6.250%  9/1/37  475  579 
Public Service Co. of Oklahoma  5.150%  12/1/19  650  714 
Public Service Co. of Oklahoma  6.625%  11/15/37  1,550  1,833 
Public Service Electric & Gas Co.  3.500%  8/15/20  625  645 
Public Service Electric & Gas Co.  5.250%  7/1/35  100  108 
Public Service Electric & Gas Co.  5.800%  5/1/37  1,275  1,474 


Public Service Electric & Gas Co.  5.500%  3/1/40  2,725  3,099 
Puget Sound Energy Inc.  5.483%  6/1/35  250  260 
Puget Sound Energy Inc.  6.274%  3/15/37  1,525  1,761 
Puget Sound Energy Inc.  5.757%  10/1/39  1,400  1,518 
Puget Sound Energy Inc.  5.795%  3/15/40  660  720 
Puget Sound Energy Inc.  5.764%  7/15/40  600  652 
San Diego Gas & Electric Co.  5.300%  11/15/15  650  759 
San Diego Gas & Electric Co.  5.350%  5/15/35  250  278 
San Diego Gas & Electric Co.  6.125%  9/15/37  1,475  1,818 
San Diego Gas & Electric Co.  6.000%  6/1/39  225  273 
Sierra Pacific Power Co.  6.000%  5/15/16  4,050  4,696 
Sierra Pacific Power Co.  6.750%  7/1/37  1,450  1,727 
South Carolina Electric & Gas Co.  6.500%  11/1/18  275  343 
South Carolina Electric & Gas Co.  6.625%  2/1/32  625  767 
South Carolina Electric & Gas Co.  6.050%  1/15/38  1,550  1,819 
Southern California Edison Co.  5.000%  1/15/14  2,725  3,029 
Southern California Edison Co.  5.750%  3/15/14  700  800 
Southern California Edison Co.  4.650%  4/1/15  425  478 
Southern California Edison Co.  5.000%  1/15/16  350  401 
Southern California Edison Co.  5.500%  8/15/18  500  592 
Southern California Edison Co.  6.650%  4/1/29  150  182 
Southern California Edison Co.  6.000%  1/15/34  1,000  1,176 
Southern California Edison Co.  5.750%  4/1/35  325  375 
Southern California Edison Co.  5.350%  7/15/35  1,275  1,387 
Southern California Edison Co.  5.550%  1/15/36  500  559 
Southern California Edison Co.  5.625%  2/1/36  1,875  2,133 
Southern California Edison Co.  5.550%  1/15/37  2,400  2,729 
Southern California Edison Co.  5.950%  2/1/38  2,800  3,292 
Southern California Edison Co.  4.500%  9/1/40  3,000  2,927 
Southern Co.  5.300%  1/15/12  1,200  1,263 
Southern Co.  2.375%  9/15/15  2,850  2,893 
Southern Power Co.  6.250%  7/15/12  1,050  1,146 
Southern Power Co.  4.875%  7/15/15  2,125  2,376 
Southwestern Electric Power Co.  5.550%  1/15/17  100  110 
Southwestern Electric Power Co.  6.450%  1/15/19  950  1,087 
Tampa Electric Co.  6.375%  8/15/12  1,050  1,145 
Tampa Electric Co.  6.100%  5/15/18  475  562 
Tampa Electric Co.  6.550%  5/15/36  1,075  1,289 
Teco Finance Inc.  4.000%  3/15/16  1,100  1,158 
Teco Finance Inc.  5.150%  3/15/20  1,000  1,097 
Toledo Edison Co.  6.150%  5/15/37  275  304 
TransAlta Corp.  4.750%  1/15/15  400  433 
TransAlta Corp.  6.650%  5/15/18  425  504 
Union Electric Co.  5.400%  2/1/16  1,025  1,145 
Union Electric Co.  8.450%  3/15/39  2,500  3,679 
United Utilities PLC  5.375%  2/1/19  4,400  4,722 
Virginia Electric and Power Co.  5.100%  11/30/12  375  408 
Virginia Electric and Power Co.  5.400%  1/15/16  800  935 
Virginia Electric and Power Co.  6.000%  1/15/36  1,575  1,842 
Virginia Electric and Power Co.  6.000%  5/15/37  1,850  2,169 
Virginia Electric and Power Co.  6.350%  11/30/37  3,450  4,232 
Virginia Electric and Power Co.  8.875%  11/15/38  500  759 
Wisconsin Electric Power Co.  6.000%  4/1/14  825  956 
Wisconsin Electric Power Co.  4.250%  12/15/19  2,650  2,899 
Wisconsin Electric Power Co.  5.625%  5/15/33  325  362 
Wisconsin Electric Power Co.  5.700%  12/1/36  200  227 
3  Wisconsin Energy Corp.  6.250%  5/15/17  5,325  5,125 
Wisconsin Power & Light Co.  5.000%  7/15/19  475  537 


Wisconsin Power & Light Co.  6.375%  8/15/37  1,400  1,697 
Xcel Energy Inc.  5.613%  4/1/17  275  309 
Xcel Energy Inc.  4.700%  5/15/20  1,800  1,965 
Xcel Energy Inc.  6.500%  7/1/36  975  1,179 
 
Natural Gas (0.7%)         
AGL Capital Corp.  5.250%  8/15/19  1,600  1,771 
Atmos Energy Corp.  4.950%  10/15/14  2,125  2,340 
Atmos Energy Corp.  8.500%  3/15/19  450  584 
Boardwalk Pipelines LP  5.500%  2/1/17  925  1,008 
British Transco Finance Inc.  6.625%  6/1/18  425  496 
Buckeye Partners LP  6.050%  1/15/18  100  112 
CenterPoint Energy Resources Corp.  7.875%  4/1/13  1,275  1,471 
CenterPoint Energy Resources Corp.  6.150%  5/1/16  675  770 
DCP Midstream LLC  8.125%  8/16/30  175  220 
DCP Midstream Operating LP  3.250%  10/1/15  1,200  1,206 
El Paso Natural Gas Co.  5.950%  4/15/17  8,800  9,558 
Enbridge Energy Partners LP  6.500%  4/15/18  3,625  4,256 
Enbridge Energy Partners LP  9.875%  3/1/19  4,475  6,117 
Enbridge Energy Partners LP  5.200%  3/15/20  525  571 
Enbridge Energy Partners LP  7.500%  4/15/38  1,475  1,856 
Enbridge Inc.  4.900%  3/1/15  800  896 
Enbridge Inc.  5.600%  4/1/17  2,160  2,500 
Energy Transfer Partners LP  5.650%  8/1/12  1,875  1,987 
Energy Transfer Partners LP  8.500%  4/15/14  5,000  5,907 
Energy Transfer Partners LP  5.950%  2/1/15  4,900  5,440 
Energy Transfer Partners LP  6.125%  2/15/17  500  555 
Energy Transfer Partners LP  9.000%  4/15/19  2,425  3,104 
Energy Transfer Partners LP  6.625%  10/15/36  750  807 
Energy Transfer Partners LP  7.500%  7/1/38  100  118 
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  5.650%  4/1/13  950  1,033 
Enterprise Products Operating LLC  5.900%  4/15/13  625  687 
Enterprise Products Operating LLC  9.750%  1/31/14  7,325  8,982 
Enterprise Products Operating LLC  5.600%  10/15/14  9,025  10,183 
Enterprise Products Operating LLC  6.300%  9/15/17  5,850  6,767 
Enterprise Products Operating LLC  6.650%  4/15/18  975  1,140 
Enterprise Products Operating LLC  6.500%  1/31/19  750  873 
Enterprise Products Operating LLC  5.200%  9/1/20  1,000  1,081 
Enterprise Products Operating LLC  6.875%  3/1/33  2,100  2,369 
Enterprise Products Operating LLC  7.550%  4/15/38  425  527 
EQT Corp.  6.500%  4/1/18  3,175  3,615 
EQT Corp.  8.125%  6/1/19  2,275  2,811 
6  HNG Internorth  9.625%  3/15/06  1,000  2 
KeySpan Corp.  8.000%  11/15/30  150  200 
Kinder Morgan Energy Partners LP  7.125%  3/15/12  1,825  1,967 
Kinder Morgan Energy Partners LP  5.850%  9/15/12  2,100  2,268 
Kinder Morgan Energy Partners LP  5.000%  12/15/13  5,800  6,333 
Kinder Morgan Energy Partners LP  5.125%  11/15/14  3,250  3,601 
Kinder Morgan Energy Partners LP  5.950%  2/15/18  2,300  2,596 
Kinder Morgan Energy Partners LP  7.300%  8/15/33  350  408 
Kinder Morgan Energy Partners LP  6.500%  2/1/37  200  215 
Kinder Morgan Energy Partners LP  6.950%  1/15/38  2,000  2,286 
Kinder Morgan Energy Partners LP  6.500%  9/1/39  3,275  3,531 


Magellan Midstream Partners LP  5.650%  10/15/16  250  285 
Magellan Midstream Partners LP  6.550%  7/15/19  1,750  2,087 
Magellan Midstream Partners LP  4.250%  2/1/21  3,000  3,046 
National Grid PLC  6.300%  8/1/16  2,450  2,893 
NuStar Logistics LP  7.650%  4/15/18  1,700  2,037 
Oneok Inc.  5.200%  6/15/15  1,000  1,105 
Oneok Inc.  6.000%  6/15/35  750  772 
ONEOK Partners LP  5.900%  4/1/12  2,125  2,269 
ONEOK Partners LP  6.150%  10/1/16  3,550  4,132 
ONEOK Partners LP  8.625%  3/1/19  2,500  3,252 
ONEOK Partners LP  6.650%  10/1/36  4,450  4,993 
ONEOK Partners LP  6.850%  10/15/37  2,575  2,985 
Panhandle Eastern Pipeline Co. LP  6.200%  11/1/17  2,900  3,211 
Panhandle Eastern Pipeline Co. LP  7.000%  6/15/18  325  379 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.125%  1/15/17  2,000  2,240 
Plains All American Pipeline LP / PAA         
Finance Corp.  8.750%  5/1/19  125  159 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.650%  1/15/37  325  353 
Sempra Energy  6.000%  2/1/13  200  220 
Sempra Energy  9.800%  2/15/19  1,500  2,098 
Sempra Energy  6.000%  10/15/39  2,075  2,342 
Southern California Gas Co.  5.750%  11/15/35  400  469 
4  Southern Natural Gas Co.  5.900%  4/1/17  2,925  3,200 
Southern Union Co.  7.600%  2/1/24  200  237 
Spectra Energy Capital LLC  6.250%  2/15/13  325  355 
Spectra Energy Capital LLC  5.500%  3/1/14  1,250  1,365 
Spectra Energy Capital LLC  5.668%  8/15/14  100  112 
Spectra Energy Capital LLC  6.200%  4/15/18  325  375 
Spectra Energy Capital LLC  6.750%  2/15/32  725  829 
Tennessee Gas Pipeline Co.  7.625%  4/1/37  1,940  2,244 
Texas Eastern Transmission LP  7.000%  7/15/32  100  123 
Texas Gas Transmission LLC  4.600%  6/1/15  1,275  1,363 
TransCanada PipeLines Ltd.  4.000%  6/15/13  1,800  1,929 
TransCanada PipeLines Ltd.  3.400%  6/1/15  4,000  4,275 
3 TransCanada PipeLines Ltd.  6.350%  5/15/17  4,100  3,822 
TransCanada PipeLines Ltd.  6.500%  8/15/18  7,540  9,218 
TransCanada PipeLines Ltd.  7.125%  1/15/19  3,000  3,821 
TransCanada PipeLines Ltd.  5.600%  3/31/34  1,400  1,487 
TransCanada PipeLines Ltd.  5.850%  3/15/36  2,675  2,919 
TransCanada PipeLines Ltd.  6.200%  10/15/37  3,450  3,920 
TransCanada PipeLines Ltd.  7.625%  1/15/39  375  501 
Williams Partners LP  3.800%  2/15/15  1,200  1,263 
Williams Partners LP  5.250%  3/15/20  6,350  6,913 
Williams Partners LP  6.300%  4/15/40  1,650  1,818 
Williams Partners LP / Williams Partners         
Finance Corp.  7.250%  2/1/17  3,000  3,575 
 
Other Utility (0.0%)         
Veolia Environnement  6.000%  6/1/18  6,000  6,927 
 
        760,089 
Total Corporate Bonds (Cost $5,861,103)        6,629,919 
Sovereign Bonds (U.S. Dollar-Denominated) (4.2%)         
African Development Bank  1.000%  11/23/11  2,100  2,113 
African Development Bank  1.750%  10/1/12  1,150  1,174 


African Development Bank  1.625%  2/11/13  2,800  2,856 
African Development Bank  3.000%  5/27/14  7,175  7,674 
Asian Development Bank  2.125%  3/15/12  1,575  1,614 
Asian Development Bank  4.500%  9/4/12  325  349 
Asian Development Bank  1.625%  7/15/13  4,550  4,658 
Asian Development Bank  3.625%  9/5/13  7,400  8,010 
Asian Development Bank  2.750%  5/21/14  8,875  9,414 
Asian Development Bank  4.250%  10/20/14  3,550  3,967 
Asian Development Bank  2.625%  2/9/15  7,900  8,341 
Asian Development Bank  5.500%  6/27/16  1,850  2,219 
Asian Development Bank  5.250%  6/12/17  100  120 
Asian Development Bank  5.593%  7/16/18  1,700  2,041 
Brazilian Government International Bond  11.000%  1/11/12  1,400  1,582 
Brazilian Government International Bond  10.250%  6/17/13  800  996 
Brazilian Government International Bond  10.500%  7/14/14  1,275  1,663 
Brazilian Government International Bond  7.875%  3/7/15  4,875  5,984 
Brazilian Government International Bond  6.000%  1/17/17  7,675  8,941 
3  Brazilian Government International Bond  8.000%  1/15/18  8,313  9,946 
Brazilian Government International Bond  5.875%  1/15/19  21,875  25,648 
Brazilian Government International Bond  8.875%  10/14/19  3,600  5,067 
Brazilian Government International Bond  4.875%  1/22/21  5,050  5,535 
Brazilian Government International Bond  8.875%  4/15/24  1,525  2,238 
Brazilian Government International Bond  8.750%  2/4/25  4,200  6,153 
Brazilian Government International Bond  10.125%  5/15/27  4,200  6,804 
Brazilian Government International Bond  8.250%  1/20/34  2,775  4,010 
Brazilian Government International Bond  7.125%  1/20/37  11,425  14,937 
Brazilian Government International Bond  11.000%  8/17/40  9,900  13,712 
Brazilian Government International Bond  5.625%  1/7/41  6,275  6,871 
Canada Mortgage & Housing Corp.  4.800%  10/1/10  325  325 
Chile Government International Bond  7.125%  1/11/12  1,225  1,312 
Chile Government International Bond  5.500%  1/15/13  1,000  1,086 
Chile Government International Bond  3.875%  8/5/20  4,850  5,034 
China Development Bank Corp.  4.750%  10/8/14  2,625  2,884 
China Development Bank Corp.  5.000%  10/15/15  525  589 
China Government International Bond  4.750%  10/29/13  1,800  1,988 
Corp Andina de Fomento  3.750%  1/15/16  900  914 
Corp Andina de Fomento  8.125%  6/4/19  5,775  7,210 
Corp. Andina de Fomento  5.200%  5/21/13  1,375  1,486 
Corp. Andina de Fomento  5.125%  5/5/15  5,200  5,654 
Corp. Andina de Fomento  5.750%  1/12/17  4,700  5,171 
Council Of Europe Development Bank  2.750%  2/10/15  2,200  2,327 
7  Development Bank of Japan  4.250%  6/9/15  625  699 
Eksportfinans ASA  1.875%  4/2/13  550  561 
Eksportfinans ASA  3.000%  11/17/14  1,675  1,768 
Eksportfinans ASA  2.000%  9/15/15  5,000  5,028 
Eksportfinans ASA  5.500%  5/25/16  2,700  3,167 
Eksportfinans ASA  5.500%  6/26/17  4,175  4,927 
European Bank for Reconstruction &         
Development  2.750%  4/20/15  7,700  8,132 
European Bank for Reconstruction &         
Development  1.625%  9/3/15  1,800  1,801 
European Investment Bank  3.250%  10/14/11  1,150  1,183 
European Investment Bank  2.625%  11/15/11  950  973 
European Investment Bank  2.000%  2/10/12  24,100  24,560 
European Investment Bank  4.625%  3/21/12  7,600  8,051 
4 European Investment Bank  1.125%  4/16/12  9,100  9,183 
European Investment Bank  1.750%  9/14/12  8,000  8,176 
European Investment Bank  1.625%  3/15/13  7,800  7,975 


European Investment Bank  2.875%  3/15/13  2,825  2,969 
European Investment Bank  3.250%  5/15/13  6,900  7,343 
European Investment Bank  1.875%  6/17/13  6,500  6,693 
European Investment Bank  4.250%  7/15/13  11,900  13,038 
^  European Investment Bank  1.250%  9/17/13  12,275  12,449 
European Investment Bank  2.375%  3/14/14  7,400  7,763 
European Investment Bank  4.625%  5/15/14  11,075  12,382 
European Investment Bank  3.125%  6/4/14  13,450  14,360 
European Investment Bank  2.875%  1/15/15  7,875  8,349 
European Investment Bank  2.750%  3/23/15  10,325  10,917 
^  European Investment Bank  1.625%  9/1/15  6,000  6,058 
European Investment Bank  4.875%  2/16/16  4,500  5,207 
European Investment Bank  5.125%  9/13/16  700  825 
European Investment Bank  4.875%  1/17/17  6,325  7,391 
European Investment Bank  5.125%  5/30/17  9,150  10,825 
European Investment Bank  2.875%  9/15/20  1,400  1,413 
European Investment Bank  4.875%  2/15/36  100  111 
Export Development Canada  2.625%  11/15/11  1,475  1,508 
Export Development Canada  2.375%  3/19/12  3,825  3,923 
Export Development Canada  1.750%  9/24/12  7,575  7,745 
Export Development Canada  3.500%  5/16/13  4,650  4,986 
Export Development Canada  3.125%  4/24/14  175  188 
Export Development Canada  2.250%  5/28/15  1,550  1,611 
Export-Import Bank of Korea  5.500%  10/17/12  3,025  3,230 
Export-Import Bank of Korea  8.125%  1/21/14  11,800  13,719 
Export-Import Bank of Korea  5.875%  1/14/15  1,750  1,959 
Export-Import Bank of Korea  5.125%  3/16/15  3,275  3,576 
Export-Import Bank of Korea  4.125%  9/9/15  3,950  4,169 
Financement-Quebec  5.000%  10/25/12  1,275  1,386 
Hungary Government International Bond  4.750%  2/3/15  1,050  1,060 
Hydro Quebec  6.300%  5/11/11  2,825  2,924 
Hydro Quebec  8.000%  2/1/13  2,750  3,188 
Hydro Quebec  7.500%  4/1/16  1,150  1,473 
Hydro Quebec  8.400%  1/15/22  2,450  3,556 
Hydro Quebec  8.050%  7/7/24  1,350  2,013 
Hydro Quebec  8.500%  12/1/29  100  153 
Inter-American Development Bank  4.750%  10/19/12  3,975  4,300 
Inter-American Development Bank  3.500%  3/15/13  2,625  2,801 
Inter-American Development Bank  3.000%  4/22/14  11,725  12,523 
Inter-American Development Bank  2.250%  7/15/15  9,625  9,979 
Inter-American Development Bank  4.250%  9/14/15  3,450  3,913 
Inter-American Development Bank  5.125%  9/13/16  100  118 
Inter-American Development Bank  2.375%  8/15/17  5,100  5,210 
Inter-American Development Bank  3.875%  9/17/19  18,750  20,804 
Inter-American Development Bank  3.875%  2/14/20  2,300  2,539 
Inter-American Development Bank  7.000%  6/15/25  1,125  1,514 
International Bank for Reconstruction &         
Development  3.125%  11/15/11  375  386 
International Bank for Reconstruction &         
Development  2.000%  4/2/12  16,225  16,600 
International Bank for Reconstruction &         
Development  0.800%  7/13/12  8,350  8,381 
International Bank for Reconstruction &         
Development  1.750%  7/15/13  8,200  8,422 
International Bank for Reconstruction &         
Development  3.500%  10/8/13  4,410  4,768 
International Bank for Reconstruction &         
Development  2.375%  5/26/15  16,675  17,464 


  International Bank for Reconstruction &         
  Development  5.000%  4/1/16  4,100  4,797 
  International Bank for Reconstruction &         
  Development  7.625%  1/19/23  950  1,382 
  International Bank for Reconstruction &         
  Development  8.875%  3/1/26  450  708 
  International Finance Corp.  3.500%  5/15/13  2,350  2,527 
  International Finance Corp.  3.000%  4/22/14  11,675  12,432 
  International Finance Corp.  2.750%  4/20/15  3,250  3,462 
  Israel Government International Bond  4.625%  6/15/13  750  807 
  Israel Government International Bond  5.125%  3/1/14  200  221 
  Israel Government International Bond  5.500%  11/9/16  2,800  3,236 
  Israel Government International Bond  5.125%  3/26/19  5,350  5,941 
  Japan Bank for International Cooperation  4.375%  11/26/12  1,950  2,101 
  Japan Bank for International Cooperation  4.250%  6/18/13  4,800  5,220 
7  Japan Finance Corp.  1.500%  7/6/12  6,550  6,638 
7  Japan Finance Corp.  2.125%  11/5/12  8,000  8,215 
7  Japan Finance Corp.  2.875%  2/2/15  6,300  6,648 
7  Japan Finance Organization for Municipalities  4.625%  4/21/15  2,675  3,046 
  Japan Finance Organization for Municipalities  5.000%  5/16/17  1,100  1,288 
  Korea Development Bank  5.300%  1/17/13  1,200  1,279 
  Korea Development Bank  5.750%  9/10/13  3,300  3,605 
  Korea Development Bank  8.000%  1/23/14  3,150  3,695 
  Korea Development Bank  4.375%  8/10/15  11,800  12,604 
  Korea Electric Power Corp.  7.750%  4/1/13  2,200  2,485 
  Korea Finance Corp.  3.250%  9/20/16  4,000  3,994 
  Kreditanstalt fuer Wiederaufbau  3.250%  10/14/11  4,775  4,908 
8  Kreditanstalt fuer Wiederaufbau  2.000%  1/17/12  5,125  5,222 
8  Kreditanstalt fuer Wiederaufbau  2.250%  4/16/12  7,975  8,178 
  Kreditanstalt fuer Wiederaufbau  4.750%  5/15/12  4,425  4,717 
8  Kreditanstalt fuer Wiederaufbau  1.250%  6/15/12  13,175  13,325 
8  Kreditanstalt fuer Wiederaufbau  1.875%  1/14/13  12,900  13,253 
  Kreditanstalt fuer Wiederaufbau  3.250%  3/15/13  19,600  20,778 
  Kreditanstalt fuer Wiederaufbau  3.500%  5/16/13  4,000  4,283 
8  Kreditanstalt fuer Wiederaufbau  1.375%  7/15/13  18,400  18,709 
  Kreditanstalt fuer Wiederaufbau  4.000%  10/15/13  7,500  8,214 
8  Kreditanstalt fuer Wiederaufbau  3.500%  3/10/14  300  325 
  Kreditanstalt fuer Wiederaufbau  4.125%  10/15/14  575  637 
8  Kreditanstalt fuer Wiederaufbau  2.750%  10/21/14  10,250  10,846 
^,8 Kreditanstalt fuer Wiederaufbau  2.625%  3/3/15  11,875  12,500 
  Kreditanstalt fuer Wiederaufbau  5.125%  3/14/16  14,000  16,437 
  Kreditanstalt fuer Wiederaufbau  4.375%  3/15/18  4,600  5,230 
  Kreditanstalt fuer Wiederaufbau  4.500%  7/16/18  6,425  7,393 
8  Kreditanstalt fuer Wiederaufbau  4.875%  6/17/19  19,300  22,671 
8  Kreditanstalt fuer Wiederaufbau  4.000%  1/27/20  5,500  6,067 
8  Kreditanstalt fuer Wiederaufbau  2.750%  9/8/20  4,625  4,658 
  Kreditanstalt fuer Wiederaufbau  0.000%  6/29/37  5,450  1,720 
9  Landeskreditbank Baden-Wuerttemberg         
  Foerderbank  4.875%  1/13/12  2,625  2,753 
8  Landwirtschaftliche Rentenbank  5.250%  7/2/12  2,675  2,887 
  Landwirtschaftliche Rentenbank  1.875%  9/24/12  9,150  9,370 
  Landwirtschaftliche Rentenbank  3.250%  3/15/13  7,000  7,389 
  Landwirtschaftliche Rentenbank  4.125%  7/15/13  2,500  2,718 
8  Landwirtschaftliche Rentenbank  3.125%  7/15/15  6,605  7,082 
  Landwirtschaftliche Rentenbank  4.875%  11/16/15  4,125  4,723 
8  Landwirtschaftliche Rentenbank  5.125%  2/1/17  2,000  2,350 
^  Mexico Government International Bond  7.500%  1/14/12  3,325  3,594 
  Mexico Government International Bond  6.375%  1/16/13  4,250  4,718 


  Mexico Government International Bond  5.875%  2/17/14  8,025  9,068 
  Mexico Government International Bond  6.625%  3/3/15  5,975  7,006 
  Mexico Government International Bond  11.375%  9/15/16  1,325  1,925 
  Mexico Government International Bond  5.625%  1/15/17  10,675  12,260 
  Mexico Government International Bond  5.950%  3/19/19  5,975  7,021 
  Mexico Government International Bond  8.125%  12/30/19  4,325  5,850 
  Mexico Government International Bond  5.125%  1/15/20  1,950  2,174 
  Mexico Government International Bond  8.300%  8/15/31  3,125  4,422 
  Mexico Government International Bond  6.750%  9/27/34  11,800  14,641 
  Mexico Government International Bond  6.050%  1/11/40  6,700  7,655 
  Nordic Investment Bank  1.625%  1/28/13  5,300  5,393 
  Nordic Investment Bank  2.625%  10/6/14  4,000  4,209 
  Nordic Investment Bank  2.500%  7/15/15  3,275  3,430 
  Nordic Investment Bank  5.000%  2/1/17  1,150  1,351 
  Oesterreichische Kontrollbank AG  3.125%  10/14/11  4,725  4,846 
10 Oesterreichische Kontrollbank AG  4.750%  11/8/11  725  758 
10 Oesterreichische Kontrollbank AG  1.875%  3/21/12  2,275  2,318 
10 Oesterreichische Kontrollbank AG  4.750%  10/16/12  2,025  2,193 
10 Oesterreichische Kontrollbank AG  1.750%  3/11/13  6,900  7,030 
  Oesterreichische Kontrollbank AG  4.500%  3/9/15  2,600  2,915 
10 Oesterreichische Kontrollbank AG  5.000%  4/25/17  4,025  4,672 
  Ontario Electricity Financial Corp.  7.450%  3/31/13  1,450  1,668 
  Panama Government International Bond  5.200%  1/30/20  9,275  10,210 
  Panama Government International Bond  7.125%  1/29/26  6,500  8,206 
  Panama Government International Bond  6.700%  1/26/36  4,000  4,877 
  Pemex Project Funding Master Trust  9.125%  10/13/10  175  174 
  Pemex Project Funding Master Trust  7.375%  12/15/14  2,500  2,891 
  Pemex Project Funding Master Trust  5.750%  3/1/18  8,925  9,794 
  Pemex Project Funding Master Trust  6.625%  6/15/35  4,600  5,002 
  Pemex Project Funding Master Trust  6.625%  6/15/38  2,025  2,198 
  Peruvian Government International Bond  7.125%  3/30/19  7,350  9,188 
  Peruvian Government International Bond  7.350%  7/21/25  1,525  1,975 
  Peruvian Government International Bond  8.750%  11/21/33  7,842  11,613 
3  Peruvian Government International Bond  6.550%  3/14/37  5,200  6,292 
  Petrobras International Finance Co. - Pifco  6.125%  10/6/16  4,850  5,393 
  Petrobras International Finance Co. - Pifco  5.875%  3/1/18  8,275  9,194 
  Petrobras International Finance Co. - Pifco  8.375%  12/10/18  2,300  2,818 
  Petrobras International Finance Co. - Pifco  7.875%  3/15/19  7,575  9,204 
  Petrobras International Finance Co. - Pifco  5.750%  1/20/20  2,850  3,171 
  Petrobras International Finance Co. - Pifco  6.875%  1/20/40  1,975  2,270 
4  Petroleos Mexicanos  4.875%  3/15/15  4,450  4,769 
  Petroleos Mexicanos  8.000%  5/3/19  1,675  2,099 
4  Petroleos Mexicanos  6.000%  3/5/20  4,150  4,573 
4  Petroleos Mexicanos  5.500%  1/21/21  1,400  1,489 
4  Petroleos Mexicanos  6.625%  6/15/35  4,500  4,857 
  Poland Government International Bond  6.250%  7/3/12  2,425  2,619 
  Poland Government International Bond  5.250%  1/15/14  800  872 
  Poland Government International Bond  3.875%  7/16/15  7,250  7,540 
  Poland Government International Bond  5.000%  10/19/15  750  820 
  Poland Government International Bond  6.375%  7/15/19  15,275  18,063 
  Province of British Columbia Canada  2.850%  6/15/15  6,100  6,495 
  Province of Manitoba Canada  2.625%  7/15/15  1,475  1,551 
  Province of Manitoba Canada  4.900%  12/6/16  5,475  6,385 
  Province of Nova Scotia Canada  5.750%  2/27/12  550  587 
  Province of Nova Scotia Canada  2.375%  7/21/15  2,800  2,887 
  Province of Ontario Canada  5.000%  10/18/11  4,625  4,845 
  Province of Ontario Canada  1.875%  11/19/12  8,450  8,649 
  Province of Ontario Canada  4.100%  6/16/14  13,250  14,610 


Province of Ontario Canada  2.950%  2/5/15  1,475  1,566 
Province of Ontario Canada  2.700%  6/16/15  10,800  11,335 
Province of Ontario Canada  1.875%  9/15/15  2,500  2,521 
Province of Ontario Canada  4.750%  1/19/16  1,025  1,173 
Province of Ontario Canada  5.450%  4/27/16  5,675  6,679 
Province of Ontario Canada  4.000%  10/7/19  7,750  8,411 
Province of Ontario Canada  4.400%  4/14/20  9,200  10,206 
Province of Quebec Canada  4.875%  5/5/14  275  309 
Province of Quebec Canada  4.600%  5/26/15  2,250  2,539 
Province of Quebec Canada  5.125%  11/14/16  7,275  8,468 
Province of Quebec Canada  4.625%  5/14/18  7,000  7,928 
Province of Quebec Canada  3.500%  7/29/20  4,300  4,387 
Province of Quebec Canada  7.125%  2/9/24  325  449 
Province of Quebec Canada  7.500%  9/15/29  2,575  3,725 
Province of Saskatchewan Canada  7.375%  7/15/13  425  498 
Region of Lombardy Italy  5.804%  10/25/32  1,050  1,134 
Republic of Italy  5.625%  6/15/12  1,875  1,993 
Republic of Italy  2.125%  10/5/12  9,750  9,869 
Republic of Italy  4.375%  6/15/13  4,350  4,618 
Republic of Italy  4.500%  1/21/15  4,000  4,280 
Republic of Italy  3.125%  1/26/15  10,575  10,791 
Republic of Italy  4.750%  1/25/16  8,075  8,678 
Republic of Italy  5.250%  9/20/16  13,275  14,622 
Republic of Italy  6.875%  9/27/23  4,600  5,580 
Republic of Italy  5.375%  6/15/33  5,650  5,750 
Republic of Korea  4.250%  6/1/13  5,700  6,043 
Republic of Korea  5.750%  4/16/14  3,175  3,567 
Republic of Korea  4.875%  9/22/14  2,400  2,623 
Republic of Korea  7.125%  4/16/19  3,175  4,026 
Republic of Korea  5.625%  11/3/25  575  665 
South Africa Government International Bond  7.375%  4/25/12  2,650  2,892 
South Africa Government International Bond  6.875%  5/27/19  7,375  9,034 
South Africa Government International Bond  5.500%  3/9/20  4,800  5,352 
South Africa Government International Bond  5.875%  5/30/22  1,075  1,242 
Svensk Exportkredit AB  3.250%  9/16/14  5,050  5,376 
Svensk Exportkredit AB  5.125%  3/1/17  550  639 
Total Sovereign Bonds (Cost $1,330,551)        1,430,922 
Taxable Municipal Bonds (0.7%)         
American Muni. Power Ohio Inc.  6.053%  2/15/43  400  419 
American Muni. Power Ohio Inc.  5.939%  2/15/47  1,750  1,790 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.793%  4/1/30  875  934 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.918%  4/1/40  1,500  1,619 
Bay Area Toll Auth. CA Toll Bridge Rev.  6.263%  4/1/49  2,325  2,575 
Board of Regents of the Univ. of Texas         
System Rev. Financing System  5.134%  8/15/42  150  160 
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  3.625%  5/1/14  2,250  2,432 
California Educ. Fac. Auth. Rev. (Stanford         
Univ.)  4.250%  5/1/16  750  840 
California GO  5.250%  4/1/14  1,175  1,249 
California GO  5.750%  3/1/17  4,000  4,392 
California GO  6.200%  3/1/19  1,100  1,204 
California GO  6.200%  10/1/19  3,925  4,317 
California GO  7.500%  4/1/34  9,225  10,162 
California GO  5.650%  4/1/39  1,225  1,319 
California GO  7.300%  10/1/39  1,200  1,272 
California GO  7.350%  11/1/39  8,200  8,746 


California GO  7.625%  3/1/40  2,950  3,241 
Central Puget Sound WA Regional Transit         
Auth. Sales & Use Tax Rev.  5.491%  11/1/39  550  606 
Chicago IL Board of Educ. GO  6.138%  12/1/39  400  408 
Chicago IL Metro. Water Reclamation Dist.         
GO  5.720%  12/1/38  3,000  3,413 
Chicago IL O'Hare International Airport Rev.  6.845%  1/1/38  400  418 
Chicago IL O'Hare International Airport Rev.  6.395%  1/1/40  600  640 
Chicago IL Transit Auth. Rev.  6.200%  12/1/40  1,650  1,675 
Chicago IL Transit Auth. Rev.  6.899%  12/1/40  2,625  2,862 
Clark County NV Airport Improvement Rev.  6.881%  7/1/42  550  575 
Commonwealth Financing Auth. Pennsylvania         
Rev.  6.218%  6/1/39  2,350  2,563 
Connecticut GO  5.850%  3/15/32  5,475  6,208 
Cook County IL GO  6.229%  11/15/34  750  779 
Curators of the Univ. of Missouri System Fac.         
Rev.  5.960%  11/1/39  1,000  1,156 
Dallas County TX Hosp. Dist. GO  5.621%  8/15/44  750  862 
Dallas TX Area Rapid Transit Rev.  4.922%  12/1/41  1,650  1,649 
Dallas TX Area Rapid Transit Rev.  5.999%  12/1/44  1,500  1,750 
Dallas TX Area Rapid Transit Rev.  5.022%  12/1/48  1,825  1,832 
Denver CO City & County School Dist.  5.664%  12/1/33  525  571 
District of Columbia Income Tax Rev.  5.591%  12/1/34  450  487 
East Baton Rouge LA Sewer Commission         
Rev.  6.087%  2/1/45  975  1,007 
Georgia GO  4.503%  11/1/25  2,300  2,592 
Illinois GO  2.766%  1/1/12  4,800  4,863 
Illinois GO  4.071%  1/1/14  4,800  4,967 
Illinois GO  4.950%  6/1/23  5,125  4,956 
Illinois GO  5.100%  6/1/33  13,500  11,376 
Illinois GO  6.630%  2/1/35  1,050  1,047 
Illinois GO  6.725%  4/1/35  3,250  3,238 
Illinois State Tollway Highway Auth. Toll         
Highway Rev.  6.184%  1/1/34  460  491 
Illinois State Tollway Highway Auth. Toll         
Highway Rev.  5.851%  12/1/34  625  640 
Indianapolis IN Local Public Improvement         
Bond Bank Notes  6.116%  1/15/40  3,700  4,175 
Kansas Dev. Finance Auth. Rev. (Public         
Employee Retirement System)  5.501%  5/1/34  1,525  1,592 
Kentucky Asset/Liability Comm. General Fund         
Rev.  3.165%  4/1/18  300  303 
Las Vegas Valley Water Dist. Nevada GO  7.013%  6/1/39  650  761 
Los Angeles CA Community College Dist. GO  6.600%  8/1/42  1,950  2,151 
Los Angeles CA Dept. of Water & Power Rev.  5.716%  7/1/39  850  877 
Los Angeles CA Dept. of Water & Power Rev.  6.008%  7/1/39  2,400  2,633 
Los Angeles CA Dept. of Water & Power Rev.  6.166%  7/1/40  600  612 
Los Angeles CA USD GO  5.755%  7/1/29  1,500  1,566 
Los Angeles CA USD GO  5.750%  7/1/34  4,600  4,640 
Loudoun County VA IDA Rev. (Howard         
Hughes Medical Institute)  3.450%  9/1/14  1,450  1,558 
Maryland Health & Higher Educ. Fac Auth.         
Rev. (Johns Hopkins Univ.)  5.250%  7/1/19  2,275  2,651 
Maryland Transp. Auth. Rev.  5.888%  7/1/43  700  772 
Massachusetts GO  5.456%  12/1/39  2,000  2,194 
Massachusetts School Building Auth.         
Dedicated Sales Tax Rev.  5.715%  8/15/39  950  1,077 


Massachusetts Water Pollution Abatement         
Trust  5.192%  8/1/40  1,050  1,117 
Metro. Govt. of Nashville & Davidson County         
TN GO  5.707%  7/1/34  1,000  1,111 
Metro. New York Transp. Auth. Rev.  6.548%  11/15/31  300  326 
Metro. New York Transp. Auth. Rev.  5.871%  11/15/39  800  806 
Metro. Transp. Auth. NY Rev.  6.648%  11/15/39  1,750  1,920 
Metro. Washington DC/VA Airports Auth.         
Airport System Rev.  7.462%  10/1/46  525  544 
Missouri Highways & Transp. Comm. Road         
Rev.  5.445%  5/1/33  600  646 
Muni. Electric Auth. Georgia Rev.  6.637%  4/1/57  3,050  3,273 
Muni. Electric Auth. Georgia Rev.  6.655%  4/1/57  2,250  2,364 
Muni. Electric Auth. Georgia Rev.  7.055%  4/1/57  1,275  1,258 
New Hampshire Health & Educ. Fac. Auth.         
Rev. (Dartmouth College)  4.750%  6/1/19  275  311 
New Jersey Econ. Dev. Auth.  7.425%  2/15/29  3,175  3,709 
New Jersey Educ. Fac. Auth. Rev. (Princeton         
Univ.)  5.700%  3/1/39  1,500  1,776 
New Jersey Transp. Trust Fund Auth. Rev.  6.561%  12/15/40  4,865  5,534 
New Jersey Turnpike Auth. Rev.  4.252%  1/1/16  900  957 
New Jersey Turnpike Auth. Rev.  7.414%  1/1/40  3,850  4,803 
New York City NY GO  6.246%  6/1/35  750  793 
New York City NY GO  5.968%  3/1/36  1,250  1,347 
New York City NY GO  5.985%  12/1/36  600  640 
New York City NY GO  5.846%  6/1/40  750  787 
New York City NY Muni. Water Finance Auth.  6.011%  6/15/42  350  397 
New York City NY Muni. Water Finance Auth.  5.440%  6/15/43  1,400  1,459 
New York City NY Muni. Water Finance Auth.         
Water & Sewer System Rev.  5.750%  6/15/41  500  543 
New York City NY Muni. Water Finance Auth.         
Water & Sewer System Rev.  5.952%  6/15/42  1,150  1,282 
New York City NY Transitional Finance Auth.         
Rev.  5.767%  8/1/36  750  790 
New York City NY Transitional Finance Auth.         
Rev.  5.508%  8/1/37  3,300  3,437 
New York Metro. Transp. Auth. Rev.  7.336%  11/15/39  2,550  3,207 
New York Metro. Transp. Auth. Rev.  6.089%  11/15/40  400  439 
New York State Dormitory Auth. Rev.         
(Personal Income Tax)  5.500%  3/15/30  2,600  2,736 
New York State Dormitory Auth. Rev.         
(Personal Income Tax)  5.628%  3/15/39  900  945 
New York State Urban Dev. Corp. Rev.  5.770%  3/15/39  2,175  2,331 
North Texas Tollway Auth. Rev.  6.718%  1/1/49  1,250  1,372 
Ohio State Univ. General Receipts Rev.  4.910%  6/1/40  1,575  1,608 
Ohio Water Dev. Auth. PCR  4.879%  12/1/34  1,000  1,046 
Oregon (Taxable Pension) GO  5.762%  6/1/23  650  742 
Oregon (Taxable Pension) GO  5.892%  6/1/27  975  1,134 
Oregon GO  4.759%  6/30/28  700  721 
Oregon GO  5.528%  6/30/28  375  423 
Oregon State Dept. Transp. Highway Usertax         
Rev.  5.834%  11/15/34  1,050  1,198 
Pennsylvania GO  4.650%  2/15/26  850  893 
Pennsylvania GO  5.350%  5/1/30  3,000  3,084 
Pennsylvania State Turnpike Comm. Rev.  5.511%  12/1/45  550  556 
Pennsylvania State Turnpike Comm. Rev.  5.561%  12/1/49  550  557 
Port Auth. of New York & New Jersey Rev.  6.040%  12/1/29  850  956 


Salt River Project Arizona Agricultural         
Improvement & Power Dist. Rev.  4.839%  1/1/41  750  750 
San Antonio TX Electric & Gas Rev.  5.985%  2/1/39  1,500  1,765 
San Antonio TX Electric & Gas Rev.  5.718%  2/1/41  1,175  1,332 
San Diego County CA Water Auth.  6.138%  5/1/49  750  832 
State Public School Building Auth.         
Pennsylvania College Rev.  5.000%  9/15/27  1,000  1,001 
Texas GO  4.631%  4/1/33  2,300  2,325 
Texas GO  4.681%  4/1/40  1,075  1,084 
Texas State Transp. Comm. First Tier  5.028%  4/1/26  750  818 
Texas State Transp. Comm. First Tier  5.178%  4/1/30  800  861 
Tobacco Settlement West Virginia Finance         
Auth. Rev.  7.467%  6/1/47  1,400  1,089 
Univ. of California Regents  6.583%  5/15/49  975  1,078 
Univ. of California Rev.  5.946%  5/15/45  4,700  4,780 
Univ. of Texas Permanent Univ. Fund Rev.  5.262%  7/1/39  650  723 
Univ. of Texas Permanent Univ. Fund Rev.  6.276%  8/15/41  525  573 
Univ. of Texas Permanent Univ. Fund Rev.  4.794%  8/15/46  1,250  1,278 
Univ. of Virginia VRDO  6.200%  9/1/39  1,000  1,243 
Utah GO  4.554%  7/1/24  1,000  1,085 
Utah GO  3.539%  7/1/25  2,300  2,305 
Utah Transit Auth. Sales Tax Rev.  5.937%  6/15/39  100  117 
Washington GO  5.090%  8/1/33  3,825  4,065 
Washington GO  5.481%  8/1/39  270  297 
Washington GO  5.140%  8/1/40  2,325  2,419 
Wisconsin GO  4.800%  5/1/13  775  840 
Wisconsin GO  5.700%  5/1/26  900  980 
Total Taxable Municipal Bonds (Cost $221,066)        237,382 
Tax-Exempt Municipal Bonds (0.0%)         
California (0.0%)         
San Francisco CA City & County Water Rev.  6.000%  11/1/40  1,600  1,688 
Total Tax-Exempt Municipal Bonds (Cost $1,649)        1,688 
      Shares   
Temporary Cash Investment (4.7%)         
Money Market Fund (4.7%)         
11,12Vanguard Market Liquidity Fund         
(Cost $1,580,320)  0.261%    1,580,320,393  1,580,320 
Total Investments (103.7%) (Cost $33,192,491)        35,106,158 
Other Assets and Liabilities-Net (-3.7%)12        (1,263,994) 
Net Assets (100%)        33,842,164 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $21,657,000.
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 September 30, 2010, the aggregate value of these securities was $167,498,000, representing 0.5% of net assets.
5 Adjustable-rate security.
6 Non-income-producing security--security in default.
7 Guaranteed by the Government of Japan.
8 Guaranteed by the Federal Republic of Germany.
9 Guaranteed by the State of Baden-Wurttemberg.


10Guaranteed by the Republic of Austria.
11Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
12Includes $22,200,000 of collateral received for securities on loan.
GO—General Obligation Bond.
IDA—Industrial Development Authority Bond.
PCR—Pollution Control Revenue Bond.
REIT—Real Estate Investment Trust.
USD—United School District.
VRDO—Variable Rate Demand Obligation.

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. Mortgage Dollar Rolls: The fund has entered into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities, and is compensated by interest earned on the proceeds of the initial sale and by a lower price on the securities to be repurchased. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold (Other Assets) or Payables for Investment Securities Purchased (Liabilities) in the Statement of Net Assets. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations to deliver purchased securities. This risk is mitigated by entering into mortgage dollar rolls with only highly rated counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.

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 September 30, 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  —  23,981,479  — 
Asset-Backed/Commercial Mortgage-Backed       
Securities  —  1,244,448  — 
Corporate Bonds  —  6,629,904  15 
Sovereign Bonds  —  1,430,922  — 
Taxable Municipal Bonds  —  237,382  — 
Tax-Exempt Municipal Bonds  —  1,688  — 
Temporary Cash Investments  1,580,320  —  — 
Total  1,580,320  33,525,823  15 

There were no changes in investments valued based on Level 3 inputs during the nine months ended September 30, 2010.

D. At September 30, 2010, the cost of investment securities for tax purposes was $33,192,491,000. Net unrealized appreciation of investment securities for tax purposes was $1,913,667,000, consisting of unrealized gains of $1,924,419,000 on securities that had risen in value since their purchase and $10,752,000 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: November 18, 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: November 18, 2010

  VANGUARD BOND INDEX FUNDS
 
By:  /s/ THOMAS J. HIGGINS* 
  THOMAS J. HIGGINS 
  CHIEF FINANCIAL OFFICER 
 
Date: November 18, 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.