N-Q 1 bondindexfundsfinal.htm VANGUARD BOND INDEX FUNDS bondindexfundsfinal.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, 2011

Item 1: Schedule of Investments

 

Vanguard Short-Term Bond Index Fund

Schedule of Investments
As of September 30, 2011

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (69.9%)        
U.S. Government Securities (58.1%)        
United States Treasury Note/Bond 1.750% 8/15/12 11,305 11,459
United States Treasury Note/Bond 4.375% 8/15/12 2,775 2,876
United States Treasury Note/Bond 0.375% 8/31/12 7,895 7,909
United States Treasury Note/Bond 4.125% 8/31/12 18,505 19,167
United States Treasury Note/Bond 0.375% 9/30/12 6 6
United States Treasury Note/Bond 3.875% 10/31/12 5,980 6,216
United States Treasury Note/Bond 1.375% 11/15/12 114,257 115,757
United States Treasury Note/Bond 4.000% 11/15/12 117,405 122,358
United States Treasury Note/Bond 0.500% 11/30/12 342,390 343,619
United States Treasury Note/Bond 3.375% 11/30/12 26,390 27,355
United States Treasury Note/Bond 1.125% 12/15/12 215,100 217,453
United States Treasury Note/Bond 0.625% 12/31/12 168,465 169,334
United States Treasury Note/Bond 3.625% 12/31/12 4,126 4,300
United States Treasury Note/Bond 1.375% 1/15/13 358,220 363,425
United States Treasury Note/Bond 0.625% 1/31/13 161,125 162,006
United States Treasury Note/Bond 2.875% 1/31/13 31,255 32,344
United States Treasury Note/Bond 1.375% 2/15/13 212,078 215,325
United States Treasury Note/Bond 3.875% 2/15/13 38,245 40,134
United States Treasury Note/Bond 0.625% 2/28/13 269,400 270,917
United States Treasury Note/Bond 2.750% 2/28/13 101,314 104,860
United States Treasury Note/Bond 1.375% 3/15/13 154,148 156,678
United States Treasury Note/Bond 0.750% 3/31/13 254,693 256,682
United States Treasury Note/Bond 2.500% 3/31/13 32,000 33,065
United States Treasury Note/Bond 1.750% 4/15/13 177,045 181,057
United States Treasury Note/Bond 0.625% 4/30/13 394,100 396,441
United States Treasury Note/Bond 1.375% 5/15/13 70,225 71,476
United States Treasury Note/Bond 3.625% 5/15/13 237,100 249,918
United States Treasury Note/Bond 0.500% 5/31/13 232,625 233,644
United States Treasury Note/Bond 3.500% 5/31/13 69,560 73,277
United States Treasury Note/Bond 1.125% 6/15/13 193,978 196,767
United States Treasury Note/Bond 0.375% 6/30/13 201,670 202,112
United States Treasury Note/Bond 3.375% 6/30/13 375 395
United States Treasury Note/Bond 0.375% 7/31/13 466,885 467,907
United States Treasury Note/Bond 3.375% 7/31/13 9,200 9,720
United States Treasury Note/Bond 4.250% 8/15/13 57,525 61,767
United States Treasury Note/Bond 0.125% 8/31/13 222,635 222,078
United States Treasury Note/Bond 3.125% 8/31/13 68,460 72,161
United States Treasury Note/Bond 0.125% 9/30/13 21,700 21,646
United States Treasury Note/Bond 3.125% 9/30/13 127,345 134,528
United States Treasury Note/Bond 2.750% 10/31/13 102,705 107,872
United States Treasury Note/Bond 0.500% 11/15/13 24,902 24,999
United States Treasury Note/Bond 4.250% 11/15/13 28,153 30,489
United States Treasury Note/Bond 2.000% 11/30/13 70,240 72,775
United States Treasury Note/Bond 0.750% 12/15/13 2,415 2,438
United States Treasury Note/Bond 1.500% 12/31/13 25,865 26,552
United States Treasury Note/Bond 1.750% 1/31/14 37,340 38,559
United States Treasury Note/Bond 1.250% 2/15/14 8,870 9,058
United States Treasury Note/Bond 4.000% 2/15/14 2,805 3,046
United States Treasury Note/Bond 1.875% 2/28/14 254,740 263,934

 

 

United States Treasury Note/Bond 1.250% 3/15/14 54,195 55,372
United States Treasury Note/Bond 1.750% 3/31/14 262,345 271,322
United States Treasury Note/Bond 1.250% 4/15/14 42,160 43,089
United States Treasury Note/Bond 1.875% 4/30/14 233,705 242,651
United States Treasury Note/Bond 1.000% 5/15/14 40,760 41,403
United States Treasury Note/Bond 2.250% 5/31/14 229,665 240,932
United States Treasury Note/Bond 0.750% 6/15/14 134,035 135,375
United States Treasury Note/Bond 2.625% 6/30/14 348,375 369,549
United States Treasury Note/Bond 0.625% 7/15/14 142,115 143,026
United States Treasury Note/Bond 2.625% 7/31/14 387,645 411,753
United States Treasury Note/Bond 0.500% 8/15/14 109,175 109,499
United States Treasury Note/Bond 2.375% 8/31/14 84,011 88,763
United States Treasury Note/Bond 0.250% 9/15/14 222,500 221,492
United States Treasury Note/Bond 2.375% 9/30/14 107,555 113,773
United States Treasury Note/Bond 2.375% 10/31/14 355,785 376,744
United States Treasury Note/Bond 2.125% 11/30/14 229,550 241,459
United States Treasury Note/Bond 2.625% 12/31/14 48,675 52,014
United States Treasury Note/Bond 2.250% 1/31/15 3,980 4,209
United States Treasury Note/Bond 11.250% 2/15/15 47,092 63,964
United States Treasury Note/Bond 2.375% 2/28/15 210,482 223,572
United States Treasury Note/Bond 2.500% 3/31/15 393,068 419,785
United States Treasury Note/Bond 2.500% 4/30/15 94,417 100,893
United States Treasury Note/Bond 4.125% 5/15/15 31,800 35,835
United States Treasury Note/Bond 2.125% 5/31/15 80,975 85,480
United States Treasury Note/Bond 1.875% 6/30/15 215,453 225,519
United States Treasury Note/Bond 1.750% 7/31/15 164,460 171,476
United States Treasury Note/Bond 4.250% 8/15/15 23,075 26,237
United States Treasury Note/Bond 1.250% 8/31/15 102,898 105,342
United States Treasury Note/Bond 1.250% 9/30/15 107,454 109,889
United States Treasury Note/Bond 1.250% 10/31/15 249,925 255,353
United States Treasury Note/Bond 1.375% 11/30/15 233,650 239,856
United States Treasury Note/Bond 2.125% 12/31/15 246,400 260,684
United States Treasury Note/Bond 2.000% 1/31/16 45,350 47,710
United States Treasury Note/Bond 4.500% 2/15/16 63,058 73,118
United States Treasury Note/Bond 2.125% 2/29/16 173,480 183,537
United States Treasury Note/Bond 2.250% 3/31/16 10,425 11,090
United States Treasury Note/Bond 2.375% 3/31/16 229,707 245,499
United States Treasury Note/Bond 2.000% 4/30/16 212,140 223,277
United States Treasury Note/Bond 2.625% 4/30/16 24,640 26,619
United States Treasury Note/Bond 1.750% 5/31/16 370,725 385,788
United States Treasury Note/Bond 1.500% 6/30/16 206,495 212,368
United States Treasury Note/Bond 1.500% 7/31/16 150,200 154,355
United States Treasury Note/Bond 1.000% 8/31/16 168,120 168,646
United States Treasury Note/Bond 3.000% 8/31/16 39,125 43,031
United States Treasury Note/Bond 1.000% 9/30/16 367,500 368,360
        13,487,569
Agency Bonds and Notes (11.8%)        
1 Ally Financial Inc. 1.750% 10/30/12 7,300 7,414
1 Ally Financial Inc. 2.200% 12/19/12 21,735 22,212
1 Citibank NA 1.750% 12/28/12 13,700 13,933
1 Citigroup Funding Inc. 1.875% 10/22/12 8,912 9,060
1 Citigroup Funding Inc. 2.250% 12/10/12 3,000 3,067
2 Federal Agricultural Mortgage Corp. 1.250% 12/6/13 3,345 3,387
2 Federal Agricultural Mortgage Corp. 2.125% 9/15/15 1,925 2,004
2 Federal Agricultural Mortgage Corp. 2.000% 7/27/16 2,250 2,297
2 Federal Farm Credit Bank 4.500% 10/17/12 24,200 25,265
2 Federal Farm Credit Bank 1.875% 12/7/12 6,200 6,311

 

 

2 Federal Farm Credit Bank 1.750% 2/21/13 5,700 5,809
2 Federal Farm Credit Bank 1.375% 6/25/13 10,000 10,173
2 Federal Farm Credit Bank 3.875% 10/7/13 17,500 18,691
2 Federal Farm Credit Bank 1.125% 2/27/14 5,250 5,318
2 Federal Farm Credit Bank 2.625% 4/17/14 5,500 5,780
2 Federal Farm Credit Bank 3.000% 9/22/14 3,500 3,737
2 Federal Farm Credit Bank 1.625% 11/19/14 5,200 5,341
2 Federal Farm Credit Bank 1.500% 11/16/15 4,500 4,590
2 Federal Farm Credit Bank 4.875% 12/16/15 12,450 14,418
2 Federal Farm Credit Bank 5.125% 8/25/16 13,700 16,176
2 Federal Home Loan Bank of Chicago 5.625% 6/13/16 4,325 4,873
2 Federal Home Loan Banks 4.500% 11/15/12 30,000 31,402
2 Federal Home Loan Banks 1.625% 11/21/12 50,000 50,746
2 Federal Home Loan Banks 1.750% 12/14/12 10,600 10,778
2 Federal Home Loan Banks 1.500% 1/16/13 43,120 43,761
2 Federal Home Loan Banks 1.625% 3/20/13 21,375 21,766
2 Federal Home Loan Banks 1.000% 3/27/13 39,525 39,898
2 Federal Home Loan Banks 1.875% 6/21/13 77,305 79,239
2 Federal Home Loan Banks 5.125% 8/14/13 17,935 19,507
2 Federal Home Loan Banks 0.500% 8/28/13 40,000 40,060
2 Federal Home Loan Banks 4.000% 9/6/13 21,850 23,343
2 Federal Home Loan Banks 5.250% 9/13/13 5,425 5,927
2 Federal Home Loan Banks 4.500% 9/16/13 1,450 1,565
2 Federal Home Loan Banks 3.625% 10/18/13 30,600 32,572
2 Federal Home Loan Banks 4.875% 11/27/13 2,950 3,228
2 Federal Home Loan Banks 3.125% 12/13/13 17,875 18,889
2 Federal Home Loan Banks 0.875% 12/27/13 49,400 49,832
2 Federal Home Loan Banks 1.375% 5/28/14 67,325 68,741
2 Federal Home Loan Banks 2.500% 6/13/14 9,675 10,154
2 Federal Home Loan Banks 5.500% 8/13/14 18,900 21,520
2 Federal Home Loan Banks 0.875% 12/12/14 9,600 9,642
2 Federal Home Loan Banks 2.750% 12/12/14 57,650 61,327
2 Federal Home Loan Mortgage Corp. 4.625% 10/25/12 36,300 37,980
2 Federal Home Loan Mortgage Corp. 0.375% 11/30/12 14,000 14,011
2 Federal Home Loan Mortgage Corp. 0.625% 12/28/12 53,925 54,118
2 Federal Home Loan Mortgage Corp. 0.750% 12/28/12 62,000 62,302
2 Federal Home Loan Mortgage Corp. 0.750% 3/28/13 10,000 10,059
2 Federal Home Loan Mortgage Corp. 1.625% 4/15/13 16,000 16,311
2 Federal Home Loan Mortgage Corp. 3.500% 5/29/13 40,000 42,057
2 Federal Home Loan Mortgage Corp. 4.500% 7/15/13 113,435 121,689
2 Federal Home Loan Mortgage Corp. 4.125% 9/27/13 14,075 15,101
2 Federal Home Loan Mortgage Corp. 0.875% 10/28/13 8,600 8,680
2 Federal Home Loan Mortgage Corp. 0.375% 10/30/13 22,200 22,161
2 Federal Home Loan Mortgage Corp. 2.500% 1/7/14 52,505 54,862
2 Federal Home Loan Mortgage Corp. 4.500% 1/15/14 15,000 16,360
2 Federal Home Loan Mortgage Corp. 5.000% 1/30/14 9,000 9,924
2 Federal Home Loan Mortgage Corp. 1.375% 2/25/14 20,000 20,392
2 Federal Home Loan Mortgage Corp. 2.500% 4/23/14 19,000 19,927
2 Federal Home Loan Mortgage Corp. 5.000% 7/15/14 9,500 10,653
2 Federal Home Loan Mortgage Corp. 3.000% 7/28/14 41,950 44,767
2 Federal Home Loan Mortgage Corp. 1.000% 7/30/14 17,000 17,178
2 Federal Home Loan Mortgage Corp. 1.000% 8/27/14 30,900 31,215
2 Federal Home Loan Mortgage Corp. 0.500% 9/19/14 8,150 8,111
2 Federal Home Loan Mortgage Corp. 2.875% 2/9/15 84,950 90,839
2 Federal Home Loan Mortgage Corp. 1.750% 9/10/15 17,650 18,191
2 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 16,500 19,508
2 Federal Home Loan Mortgage Corp. 2.500% 5/27/16 14,325 15,190

 

 

2 Federal Home Loan Mortgage Corp. 5.500% 7/18/16 25,000 29,975
2 Federal Home Loan Mortgage Corp. 2.000% 8/25/16 41,950 43,456
2 Federal National Mortgage Assn. 4.750% 11/19/12 15,000 15,750
2 Federal National Mortgage Assn. 0.375% 12/28/12 16,090 16,098
2 Federal National Mortgage Assn. 3.625% 2/12/13 39,825 41,585
2 Federal National Mortgage Assn. 4.750% 2/21/13 14,925 15,824
2 Federal National Mortgage Assn. 0.750% 2/26/13 18,050 18,150
2 Federal National Mortgage Assn. 4.375% 3/15/13 41,500 43,895
2 Federal National Mortgage Assn. 4.625% 5/1/13 10,550 11,212
2 Federal National Mortgage Assn. 1.750% 5/7/13 41,485 42,387
2 Federal National Mortgage Assn. 0.500% 8/9/13 62,400 62,491
2 Federal National Mortgage Assn. 1.250% 8/20/13 48,000 48,744
2 Federal National Mortgage Assn. 1.000% 9/23/13 50,000 50,558
2 Federal National Mortgage Assn. 4.625% 10/15/13 9,850 10,679
2 Federal National Mortgage Assn. 0.750% 12/18/13 77,170 77,625
2 Federal National Mortgage Assn. 5.125% 1/2/14 9,550 10,452
2 Federal National Mortgage Assn. 2.750% 2/5/14 4,900 5,155
2 Federal National Mortgage Assn. 1.250% 2/27/14 20,300 20,638
2 Federal National Mortgage Assn. 2.750% 3/13/14 90,585 95,370
2 Federal National Mortgage Assn. 4.125% 4/15/14 13,450 14,646
2 Federal National Mortgage Assn. 2.500% 5/15/14 33,635 35,297
2 Federal National Mortgage Assn. 1.125% 6/27/14 8,300 8,415
2 Federal National Mortgage Assn. 3.000% 9/16/14 45,075 48,162
2 Federal National Mortgage Assn. 4.625% 10/15/14 18,225 20,383
2 Federal National Mortgage Assn. 0.625% 10/30/14 25,000 24,970
2 Federal National Mortgage Assn. 2.625% 11/20/14 15,125 16,023
2 Federal National Mortgage Assn. 5.000% 4/15/15 25,000 28,646
2 Federal National Mortgage Assn. 2.375% 7/28/15 65,900 69,529
2 Federal National Mortgage Assn. 4.375% 10/15/15 8,060 9,139
2 Federal National Mortgage Assn. 1.625% 10/26/15 15,200 15,582
2 Federal National Mortgage Assn. 5.000% 3/15/16 52,800 61,689
2 Federal National Mortgage Assn. 2.375% 4/11/16 29,000 30,585
2 Federal National Mortgage Assn. 5.250% 9/15/16 10,100 12,027
2 Federal National Mortgage Assn. 1.250% 9/28/16 11,675 11,663
1 General Electric Capital Corp. 2.125% 12/21/12 3,200 3,269
1 General Electric Capital Corp. 2.625% 12/28/12 28,500 29,298
1 JPMorgan Chase & Co. 2.125% 12/26/12 6,250 6,385
Private Export Funding Corp. 3.050% 10/15/14 900 959
3 US Central Federal Credit Union 1.900% 10/19/12 6,375 6,483
3 Western Corporate Federal Credit Union 1.750% 11/2/12 3,100 3,148
        2,731,681
Total U.S. Government and Agency Obligations (Cost $15,830,571)     16,219,250
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)      
4 BA Covered Bond Issuer 5.500% 6/14/12 6,800 6,983
4 Cie de Financement Foncier 2.125% 4/22/13 3,600 3,584
4 Royal Bank of Canada 3.125% 4/14/15 5,750 6,103
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $16,150)   16,670
Corporate Bonds (21.8%)        
Finance (9.7%)        
Banking (7.0%)        
Abbey National Treasury Services plc 2.875% 4/25/14 3,075 2,892
Abbey National Treasury Services plc 4.000% 4/27/16 8,725 7,977
American Express Bank FSB 5.550% 10/17/12 13,150 13,674
American Express Bank FSB 5.500% 4/16/13 2,000 2,105
American Express Centurion Bank 5.550% 10/17/12 550 573
5 American Express Co. 6.800% 9/1/66 1,925 1,853

 

 

American Express Credit Corp. 5.875% 5/2/13 7,750 8,222
American Express Credit Corp. 7.300% 8/20/13 8,675 9,494
American Express Credit Corp. 5.125% 8/25/14 17,000 18,401
American Express Credit Corp. 2.750% 9/15/15 4,175 4,185
American Express Credit Corp. 2.800% 9/19/16 9,450 9,413
Banco Bradesco SA 8.750% 10/24/13 1,500 1,687
Banco Santander Chile 2.875% 11/13/12 850 849
4 BanColombia SA 4.250% 1/12/16 2,600 2,536
Bank of America Corp. 5.375% 9/11/12 6,175 6,176
Bank of America Corp. 4.875% 1/15/13 5,400 5,326
Bank of America Corp. 4.900% 5/1/13 13,600 13,477
Bank of America Corp. 7.375% 5/15/14 13,230 13,645
Bank of America Corp. 5.375% 6/15/14 2,525 2,474
Bank of America Corp. 5.125% 11/15/14 6,050 5,975
Bank of America Corp. 4.500% 4/1/15 15,900 15,047
Bank of America Corp. 3.700% 9/1/15 5,475 5,039
Bank of America Corp. 5.250% 12/1/15 6,000 5,581
Bank of America Corp. 3.625% 3/17/16 16,875 15,308
Bank of America Corp. 3.750% 7/12/16 6,300 5,723
Bank of America Corp. 6.500% 8/1/16 8,200 8,131
Bank of America Corp. 5.750% 8/15/16 3,900 3,582
Bank of America Corp. 7.800% 9/15/16 2,967 3,038
Bank of Montreal 2.125% 6/28/13 7,075 7,210
Bank of Montreal 1.750% 4/29/14 650 658
Bank of New York Mellon Corp. 4.950% 11/1/12 18,400 19,237
Bank of New York Mellon Corp. 4.500% 4/1/13 2,200 2,319
Bank of New York Mellon Corp. 5.125% 8/27/13 2,830 3,051
Bank of New York Mellon Corp. 4.300% 5/15/14 4,625 4,979
Bank of New York Mellon Corp. 4.950% 3/15/15 1,700 1,840
Bank of New York Mellon Corp. 2.500% 1/15/16 3,000 3,049
Bank of Nova Scotia 2.250% 1/22/13 7,475 7,614
Bank of Nova Scotia 2.375% 12/17/13 9,000 9,259
Bank of Nova Scotia 3.400% 1/22/15 9,700 10,199
Bank of Nova Scotia 2.050% 10/7/15 6,550 6,592
4 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.450% 9/11/15 2,000 2,024
Bank One Corp. 4.900% 4/30/15 2,375 2,476
Barclays Bank plc 2.500% 1/23/13 23,100 23,010
Barclays Bank plc 5.200% 7/10/14 13,825 14,143
BB&T Corp. 4.750% 10/1/12 1,500 1,538
BB&T Corp. 3.375% 9/25/13 3,275 3,385
BB&T Corp. 5.200% 12/23/15 7,379 7,931
BB&T Corp. 3.200% 3/15/16 1,975 2,020
BB&T Corp. 3.950% 4/29/16 3,450 3,653
BBVA US Senior SAU 3.250% 5/16/14 4,350 4,081
Bear Stearns Cos. LLC 5.700% 11/15/14 2,875 3,108
Bear Stearns Cos. LLC 5.300% 10/30/15 30 32
BNP Paribas / BNP Paribas US Medium-Term        
Note Program LLC 2.125% 12/21/12 2,175 2,151
BNP Paribas SA 3.250% 3/11/15 9,975 9,698
BNP Paribas SA 3.600% 2/23/16 21,050 20,520
BNY Mellon NA 4.750% 12/15/14 1,300 1,414
Canadian Imperial Bank of Commerce 1.450% 9/13/13 4,550 4,576
Canadian Imperial Bank of Commerce 2.350% 12/11/15 2,625 2,659
Capital One Financial Corp. 7.375% 5/23/14 16,825 18,745
Capital One Financial Corp. 3.150% 7/15/16 2,550 2,506
Capital One Financial Corp. 6.150% 9/1/16 5,675 5,959
Citigroup Inc. 5.300% 10/17/12 16,800 17,215

 

 

Citigroup Inc. 5.500% 4/11/13 36,445 37,509
Citigroup Inc. 6.500% 8/19/13 7,700 8,068
Citigroup Inc. 6.000% 12/13/13 16,700 17,497
Citigroup Inc. 5.125% 5/5/14 2,525 2,584
Citigroup Inc. 6.375% 8/12/14 10,550 11,162
Citigroup Inc. 5.000% 9/15/14 14,275 14,020
Citigroup Inc. 5.500% 10/15/14 9,975 10,359
Citigroup Inc. 6.010% 1/15/15 6,700 7,092
Citigroup Inc. 4.750% 5/19/15 8,925 9,138
Citigroup Inc. 4.700% 5/29/15 2,600 2,640
Citigroup Inc. 4.587% 12/15/15 4,575 4,654
Citigroup Inc. 5.300% 1/7/16 7,575 7,871
Citigroup Inc. 3.953% 6/15/16 8,925 8,894
Comerica Inc. 4.800% 5/1/15 1,500 1,548
Comerica Inc. 3.000% 9/16/15 1,900 1,898
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 1.850% 1/10/14 8,150 8,241
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 2.125% 10/13/15 5,500 5,487
Countrywide Financial Corp. 6.250% 5/15/16 2,175 1,909
Credit Suisse New York 3.450% 7/2/12 16,400 16,652
Credit Suisse New York 5.000% 5/15/13 12,400 12,795
Credit Suisse New York 2.200% 1/14/14 1,900 1,867
Credit Suisse New York 5.500% 5/1/14 16,450 17,287
Credit Suisse New York 3.500% 3/23/15 15,450 15,388
Credit Suisse USA Inc. 5.500% 8/15/13 975 1,025
Credit Suisse USA Inc. 4.875% 1/15/15 5,755 6,030
Credit Suisse USA Inc. 5.375% 3/2/16 1,138 1,218
Deutsche Bank AG 5.375% 10/12/12 19,650 20,142
Deutsche Bank AG 2.375% 1/11/13 6,600 6,565
Deutsche Bank AG 4.875% 5/20/13 8,550 8,815
Deutsche Bank AG 3.875% 8/18/14 1,200 1,230
Deutsche Bank AG 3.450% 3/30/15 10,350 10,305
Deutsche Bank AG 3.250% 1/11/16 5,725 5,627
Fifth Third Bancorp 6.250% 5/1/13 5,375 5,693
Fifth Third Bancorp 3.625% 1/25/16 8,325 8,421
Fifth Third Bank 4.750% 2/1/15 2,800 2,938
First Horizon National Corp. 5.375% 12/15/15 2,600 2,633
First Tennessee Bank NA 5.050% 1/15/15 3,425 3,437
First Tennessee Bank NA 5.650% 4/1/16 1,146 1,129
Golden West Financial Corp. 4.750% 10/1/12 4,425 4,581
Goldman Sachs Group Inc. 5.450% 11/1/12 8,050 8,259
Goldman Sachs Group Inc. 4.750% 7/15/13 19,250 19,762
Goldman Sachs Group Inc. 5.250% 10/15/13 5,125 5,304
Goldman Sachs Group Inc. 5.150% 1/15/14 3,575 3,703
Goldman Sachs Group Inc. 6.000% 5/1/14 37,425 39,428
Goldman Sachs Group Inc. 5.125% 1/15/15 4,400 4,547
Goldman Sachs Group Inc. 3.700% 8/1/15 14,350 14,007
Goldman Sachs Group Inc. 5.350% 1/15/16 3,800 3,931
Goldman Sachs Group Inc. 3.625% 2/7/16 21,700 21,062
Goldman Sachs Group Inc. 5.750% 10/1/16 4,000 4,204
HSBC Bank USA NA 4.625% 4/1/14 1,125 1,154
HSBC Holdings plc 5.250% 12/12/12 10,300 10,584
4 ICICI Bank Ltd. 6.625% 10/3/12 6,275 6,413
JPMorgan Chase & Co. 5.375% 10/1/12 48,375 50,429
JPMorgan Chase & Co. 5.750% 1/2/13 1,900 1,986
JPMorgan Chase & Co. 4.750% 5/1/13 5,410 5,680

 

 

JPMorgan Chase & Co. 1.650% 9/30/13 3,175 3,194
JPMorgan Chase & Co. 2.050% 1/24/14 3,175 3,189
JPMorgan Chase & Co. 4.650% 6/1/14 9,300 9,871
JPMorgan Chase & Co. 5.125% 9/15/14 5,275 5,550
JPMorgan Chase & Co. 3.700% 1/20/15 9,725 9,963
JPMorgan Chase & Co. 4.750% 3/1/15 2,050 2,166
JPMorgan Chase & Co. 5.250% 5/1/15 3,975 4,176
JPMorgan Chase & Co. 3.400% 6/24/15 25,725 26,052
JPMorgan Chase & Co. 5.150% 10/1/15 3,000 3,165
JPMorgan Chase & Co. 2.600% 1/15/16 7,500 7,311
JPMorgan Chase & Co. 3.450% 3/1/16 11,100 11,111
JPMorgan Chase & Co. 3.150% 7/5/16 14,600 14,469
KeyBank NA 5.800% 7/1/14 3,000 3,227
KeyBank NA 4.950% 9/15/15 1,000 1,064
KeyBank NA 5.450% 3/3/16 3,025 3,265
KeyCorp 6.500% 5/14/13 8,075 8,606
Lloyds TSB Bank plc 4.875% 1/21/16 17,075 16,648
MBNA Corp. 6.125% 3/1/13 675 675
Mellon Funding Corp. 5.000% 12/1/14 4,600 4,972
Merrill Lynch & Co. Inc. 5.450% 2/5/13 9,725 9,597
Merrill Lynch & Co. Inc. 6.150% 4/25/13 6,050 6,053
Merrill Lynch & Co. Inc. 5.450% 7/15/14 5,200 5,085
Merrill Lynch & Co. Inc. 5.000% 1/15/15 10,400 10,038
Merrill Lynch & Co. Inc. 6.050% 5/16/16 7,440 6,928
Morgan Stanley 5.625% 1/9/12 12,125 12,234
Morgan Stanley 5.250% 11/2/12 14,175 14,435
Morgan Stanley 5.300% 3/1/13 8,225 8,284
Morgan Stanley 2.875% 1/24/14 2,425 2,371
Morgan Stanley 4.750% 4/1/14 11,650 11,080
Morgan Stanley 6.000% 5/13/14 13,375 13,549
Morgan Stanley 4.200% 11/20/14 19,575 19,068
Morgan Stanley 4.100% 1/26/15 8,075 7,703
Morgan Stanley 6.000% 4/28/15 5,875 5,898
Morgan Stanley 4.000% 7/24/15 3,000 2,814
Morgan Stanley 5.375% 10/15/15 7,050 6,972
Morgan Stanley 3.450% 11/2/15 6,925 6,381
Morgan Stanley 3.800% 4/29/16 9,000 8,248
National City Bank 4.625% 5/1/13 2,275 2,374
5 National City Preferred Capital Trust I 12.000% 12/29/49 2,825 2,924
Northern Trust Corp. 5.500% 8/15/13 1,875 2,022
Northern Trust Corp. 4.625% 5/1/14 2,200 2,381
Paribas/New York 6.950% 7/22/13 775 790
PNC Funding Corp. 3.625% 2/8/15 18,675 19,531
PNC Funding Corp. 2.700% 9/19/16 2,450 2,451
Royal Bank of Canada 2.100% 7/29/13 9,300 9,517
Royal Bank of Canada 2.625% 12/15/15 18,150 18,786
Royal Bank of Scotland Group plc 5.050% 1/8/15 7,425 6,876
Royal Bank of Scotland plc 3.400% 8/23/13 2,900 2,892
Royal Bank of Scotland plc 3.250% 1/11/14 8,000 7,720
4 Royal Bank of Scotland plc 4.875% 8/25/14 4,000 3,998
Royal Bank of Scotland plc 4.875% 3/16/15 8,600 8,369
Royal Bank of Scotland plc 3.950% 9/21/15 6,525 6,139
Royal Bank of Scotland plc 4.375% 3/16/16 7,375 7,056
Santander Holdings USA Inc. 4.625% 4/19/16 4,250 4,031
SouthTrust Corp. 5.800% 6/15/14 1,350 1,443
Sovereign Bank 5.125% 3/15/13 1,600 1,616
State Street Corp. 4.300% 5/30/14 1,000 1,078

 

 

State Street Corp. 2.875% 3/7/16 10,700 11,074
SunTrust Banks Inc. 5.250% 11/5/12 3,550 3,673
SunTrust Banks Inc. 3.600% 4/15/16 1,675 1,686
Toronto-Dominion Bank 1.375% 7/14/14 3,050 3,073
Toronto-Dominion Bank 2.500% 7/14/16 4,585 4,703
UBS AG 2.250% 1/28/14 12,975 12,630
UBS AG 3.875% 1/15/15 10,400 10,302
UBS AG 5.875% 7/15/16 4,800 4,948
UFJ Finance Aruba AEC 6.750% 7/15/13 5,550 5,983
Union Bank NA 2.125% 12/16/13 2,550 2,570
Union Bank NA 5.950% 5/11/16 2,300 2,463
Union Bank NA 3.000% 6/6/16 3,150 3,140
US Bancorp 2.000% 6/14/13 13,350 13,588
US Bancorp 1.125% 10/30/13 4,850 4,837
US Bancorp 4.200% 5/15/14 8,600 9,237
US Bancorp 3.150% 3/4/15 4,800 5,044
US Bancorp 3.442% 2/1/16 1,825 1,845
US Bank NA 6.300% 2/4/14 1,850 2,039
US Bank NA 4.950% 10/30/14 1,350 1,468
5 US Bank NA 3.778% 4/29/20 1,000 1,016
Wachovia Bank NA 4.800% 11/1/14 4,425 4,713
Wachovia Bank NA 5.000% 8/15/15 10,000 10,680
Wachovia Corp. 5.500% 5/1/13 14,405 15,307
Wachovia Corp. 5.250% 8/1/14 4,150 4,366
Wells Fargo & Co. 5.250% 10/23/12 21,725 22,697
Wells Fargo & Co. 4.375% 1/31/13 18,700 19,405
Wells Fargo & Co. 4.950% 10/16/13 8,775 9,236
Wells Fargo & Co. 3.750% 10/1/14 6,100 6,435
Wells Fargo & Co. 3.625% 4/15/15 8,100 8,455
Wells Fargo & Co. 3.676% 6/15/16 9,875 10,295
Wells Fargo Bank NA 4.750% 2/9/15 8,150 8,578
Wells Fargo Bank NA 5.750% 5/16/16 4,825 5,335
5 Wells Fargo Capital XIII 7.700% 12/29/49 9,825 9,800
5 Wells Fargo Capital XV 9.750% 9/29/49 10,344 10,344
Westpac Banking Corp. 2.250% 11/19/12 22,975 23,228
Westpac Banking Corp. 4.200% 2/27/15 5,875 6,160
Westpac Banking Corp. 3.000% 8/4/15 10,025 10,125
Westpac Banking Corp. 3.000% 12/9/15 5,000 5,062
 
Brokerage (0.2%)        
Ameriprise Financial Inc. 5.650% 11/15/15 4,500 5,063
BlackRock Inc. 2.250% 12/10/12 1,500 1,522
BlackRock Inc. 3.500% 12/10/14 5,550 5,894
Charles Schwab Corp. 4.950% 6/1/14 5,684 6,226
Franklin Resources Inc. 2.000% 5/20/13 2,350 2,386
Franklin Resources Inc. 3.125% 5/20/15 1,400 1,446
Invesco Ltd. 5.375% 2/27/13 975 1,027
Jefferies Group Inc. 3.875% 11/9/15 8,900 8,618
Lazard Group LLC 7.125% 5/15/15 1,875 2,072
MF Global Holdings Ltd. 6.250% 8/8/16 2,625 2,500
Nomura Holdings Inc. 5.000% 3/4/15 5,350 5,653
Nomura Holdings Inc. 4.125% 1/19/16 4,000 4,079
Raymond James Financial Inc. 4.250% 4/15/16 575 585
TD Ameritrade Holding Corp. 2.950% 12/1/12 1,050 1,072
TD Ameritrade Holding Corp. 4.150% 12/1/14 1,775 1,880

 

 

Finance Companies (1.0%)        
Block Financial LLC 7.875% 1/15/13 2,150 2,241
Block Financial LLC 5.125% 10/30/14 5,000 5,153
GATX Corp. 4.750% 10/1/12 800 825
GATX Corp. 8.750% 5/15/14 1,000 1,157
GATX Corp. 3.500% 7/15/16 3,960 3,945
General Electric Capital Corp. 3.500% 8/13/12 17,475 17,881
General Electric Capital Corp. 5.250% 10/19/12 13,830 14,450
General Electric Capital Corp. 2.800% 1/8/13 200 203
General Electric Capital Corp. 5.450% 1/15/13 6,975 7,328
General Electric Capital Corp. 4.800% 5/1/13 18,525 19,440
General Electric Capital Corp. 1.875% 9/16/13 14,275 14,376
General Electric Capital Corp. 2.100% 1/7/14 1,375 1,383
General Electric Capital Corp. 5.900% 5/13/14 2,750 3,012
General Electric Capital Corp. 5.500% 6/4/14 4,525 4,922
General Electric Capital Corp. 5.650% 6/9/14 4,500 4,908
General Electric Capital Corp. 3.750% 11/14/14 25,700 26,893
General Electric Capital Corp. 3.500% 6/29/15 6,000 6,198
General Electric Capital Corp. 4.375% 9/21/15 2,500 2,672
General Electric Capital Corp. 2.250% 11/9/15 16,500 16,286
General Electric Capital Corp. 2.950% 5/9/16 11,450 11,482
5 HSBC Finance Capital Trust IX 5.911% 11/30/35 2,925 2,424
HSBC Finance Corp. 6.375% 11/27/12 14,525 15,099
HSBC Finance Corp. 4.750% 7/15/13 4,675 4,834
HSBC Finance Corp. 5.500% 1/19/16 19,625 20,432
SLM Corp. 5.400% 10/25/11 3,525 3,528
SLM Corp. 5.375% 1/15/13 2,400 2,400
SLM Corp. 5.000% 10/1/13 5,350 5,270
SLM Corp. 5.375% 5/15/14 1,850 1,819
SLM Corp. 5.050% 11/14/14 1,400 1,352
SLM Corp. 6.250% 1/25/16 10,725 10,528
 
Insurance (1.1%)        
ACE INA Holdings Inc. 5.875% 6/15/14 2,754 3,056
ACE INA Holdings Inc. 5.600% 5/15/15 2,050 2,290
ACE INA Holdings Inc. 2.600% 11/23/15 3,875 3,938
Aegon NV 4.750% 6/1/13 2,532 2,600
Aetna Inc. 6.000% 6/15/16 4,030 4,644
Allied World Assurance Co. Ltd. 7.500% 8/1/16 4,175 4,744
Allstate Life Global Funding Trusts 5.375% 4/30/13 11,075 11,755
American International Group Inc. 4.250% 5/15/13 7,250 7,255
American International Group Inc. 4.250% 9/15/14 4,600 4,487
American International Group Inc. 4.875% 9/15/16 4,600 4,511
AON Corp. 3.500% 9/30/15 3,350 3,453
Assurant Inc. 5.625% 2/15/14 3,655 3,872
Axis Capital Holdings Ltd. 5.750% 12/1/14 1,800 1,912
Berkshire Hathaway Finance Corp. 4.000% 4/15/12 9,350 9,514
Berkshire Hathaway Finance Corp. 4.600% 5/15/13 7,325 7,733
Berkshire Hathaway Finance Corp. 5.000% 8/15/13 4,875 5,224
Berkshire Hathaway Finance Corp. 4.850% 1/15/15 3,075 3,394
Berkshire Hathaway Inc. 2.125% 2/11/13 2,200 2,237
Berkshire Hathaway Inc. 3.200% 2/11/15 18,275 19,198
Chubb Corp. 5.200% 4/1/13 3,000 3,158
CNA Financial Corp. 5.850% 12/15/14 1,575 1,664
CNA Financial Corp. 6.500% 8/15/16 3,950 4,255
Coventry Health Care Inc. 6.300% 8/15/14 4,500 4,957
Genworth Financial Inc. 5.750% 6/15/14 3,325 3,275

 

 

Jefferson-Pilot Corp. 4.750% 1/30/14 2,400 2,532
Lincoln National Corp. 4.300% 6/15/15 2,000 2,109
5 Lincoln National Corp. 7.000% 5/17/66 4,000 3,466
Loews Corp. 5.250% 3/15/16 1,275 1,389
Manulife Financial Corp. 3.400% 9/17/15 4,025 4,104
Marsh & McLennan Cos. Inc. 4.850% 2/15/13 2,000 2,067
Marsh & McLennan Cos. Inc. 5.750% 9/15/15 3,134 3,504
MetLife Inc. 5.375% 12/15/12 2,850 2,965
MetLife Inc. 5.000% 11/24/13 2,060 2,200
MetLife Inc. 2.375% 2/6/14 4,175 4,215
MetLife Inc. 5.000% 6/15/15 6,825 7,493
MetLife Inc. 6.750% 6/1/16 3,800 4,373
OneBeacon US Holdings Inc. 5.875% 5/15/13 583 604
Principal Financial Group Inc. 7.875% 5/15/14 4,680 5,319
Principal Life Income Funding Trusts 5.300% 12/14/12 1,900 1,986
Principal Life Income Funding Trusts 5.300% 4/24/13 2,350 2,484
Prudential Financial Inc. 5.150% 1/15/13 10,100 10,486
Prudential Financial Inc. 4.500% 7/15/13 450 469
Prudential Financial Inc. 4.750% 4/1/14 1,475 1,553
Prudential Financial Inc. 5.100% 9/20/14 1,325 1,403
Prudential Financial Inc. 3.875% 1/14/15 2,750 2,830
Prudential Financial Inc. 6.200% 1/15/15 4,700 5,145
Prudential Financial Inc. 4.750% 9/17/15 3,100 3,279
Prudential Financial Inc. 3.000% 5/12/16 4,515 4,470
5 Reinsurance Group of America Inc. 6.750% 12/15/65 2,800 2,436
Torchmark Corp. 6.375% 6/15/16 1,250 1,388
Transatlantic Holdings Inc. 5.750% 12/14/15 3,275 3,535
Travelers Cos. Inc. 5.500% 12/1/15 4,100 4,611
Travelers Cos. Inc. 6.250% 6/20/16 1,325 1,545
Travelers Property Casualty Corp. 5.000% 3/15/13 2,500 2,624
UnitedHealth Group Inc. 5.500% 11/15/12 5,000 5,241
UnitedHealth Group Inc. 4.875% 2/15/13 1,625 1,706
UnitedHealth Group Inc. 4.875% 4/1/13 1,625 1,713
UnitedHealth Group Inc. 5.000% 8/15/14 4,975 5,456
Unum Group 7.125% 9/30/16 1,800 2,058
WellPoint Inc. 6.000% 2/15/14 1,700 1,860
WellPoint Inc. 5.000% 12/15/14 1,475 1,611
WellPoint Inc. 5.250% 1/15/16 5,000 5,545
Willis Group Holdings plc 4.125% 3/15/16 2,525 2,571
Willis North America Inc. 5.625% 7/15/15 1,900 2,043
XL Group plc 5.250% 9/15/14 1,455 1,529
 
Other Finance (0.1%)        
CME Group Inc. 5.400% 8/1/13 4,400 4,722
CME Group Inc. 5.750% 2/15/14 2,000 2,200
NASDAQ OMX Group Inc. 4.000% 1/15/15 1,750 1,786
NYSE Euronext 4.800% 6/28/13 2,700 2,857
ORIX Corp. 4.710% 4/27/15 750 777
ORIX Corp. 5.000% 1/12/16 4,590 4,740
 
Real Estate Investment Trusts (0.3%)        
Arden Realty LP 5.250% 3/1/15 1,250 1,312
AvalonBay Communities Inc. 5.750% 9/15/16 1,250 1,400
Brandywine Operating Partnership LP 5.400% 11/1/14 1,650 1,721
Brandywine Operating Partnership LP 6.000% 4/1/16 2,074 2,183
CommonWealth REIT 6.250% 8/15/16 1,700 1,814
Digital Realty Trust LP 4.500% 7/15/15 5,225 5,318

 

 

Duke Realty LP 6.250% 5/15/13 1,500 1,573
Duke Realty LP 7.375% 2/15/15 2,650 2,895
ERP Operating LP 5.500% 10/1/12 2,000 2,078
ERP Operating LP 5.200% 4/1/13 1,000 1,038
ERP Operating LP 5.250% 9/15/14 1,430 1,541
ERP Operating LP 5.125% 3/15/16 2,000 2,159
ERP Operating LP 5.375% 8/1/16 475 517
HCP Inc. 5.650% 12/15/13 2,250 2,383
HCP Inc. 2.700% 2/1/14 975 964
HCP Inc. 3.750% 2/1/16 4,600 4,530
Health Care REIT Inc. 6.000% 11/15/13 2,775 2,903
Health Care REIT Inc. 3.625% 3/15/16 4,950 4,848
Health Care REIT Inc. 6.200% 6/1/16 925 997
Healthcare Realty Trust Inc. 5.125% 4/1/14 1,400 1,447
Hospitality Properties Trust 7.875% 8/15/14 1,775 1,929
Kilroy Realty LP 5.000% 11/3/15 2,325 2,409
Kimco Realty Corp. 5.783% 3/15/16 850 919
Liberty Property LP 5.125% 3/2/15 4,500 4,851
Nationwide Health Properties Inc. 6.250% 2/1/13 1,850 1,932
ProLogis LP 7.625% 8/15/14 1,400 1,527
Senior Housing Properties Trust 4.300% 1/15/16 1,000 985
Simon Property Group LP 6.750% 5/15/14 6,550 7,356
Simon Property Group LP 4.200% 2/1/15 6,400 6,750
Ventas Realty LP / Ventas Capital Corp. 3.125% 11/30/15 1,100 1,081
        2,262,931
Industrial (10.6%)        
Basic Industry (0.9%)        
Air Products & Chemicals Inc. 2.000% 8/2/16 3,975 4,051
Airgas Inc. 4.500% 9/15/14 1,525 1,624
Airgas Inc. 3.250% 10/1/15 2,950 3,039
Alcoa Inc. 6.000% 7/15/13 1,860 1,989
ArcelorMittal 5.375% 6/1/13 8,050 8,285
ArcelorMittal 9.000% 2/15/15 7,100 7,811
ArcelorMittal 3.750% 8/5/15 575 545
ArcelorMittal 3.750% 3/1/16 4,500 4,210
ArcelorMittal USA Inc. 6.500% 4/15/14 2,500 2,643
Barrick Gold Corp. 1.750% 5/30/14 2,250 2,261
Barrick Gold Corp. 2.900% 5/30/16 2,225 2,251
Barrick Gold Financeco LLC 6.125% 9/15/13 5,450 5,958
BHP Billiton Finance USA Ltd. 4.800% 4/15/13 3,000 3,170
BHP Billiton Finance USA Ltd. 5.500% 4/1/14 18,950 20,866
Celulosa Arauco y Constitucion SA 5.625% 4/20/15 3,475 3,697
Dow Chemical Co. 6.000% 10/1/12 3,000 3,139
Dow Chemical Co. 7.600% 5/15/14 17,175 19,550
Dow Chemical Co. 5.900% 2/15/15 1,600 1,767
Dow Chemical Co. 2.500% 2/15/16 2,000 1,969
Eastman Chemical Co. 3.000% 12/15/15 1,025 1,047
EI du Pont de Nemours & Co. 5.000% 1/15/13 2,267 2,388
EI du Pont de Nemours & Co. 5.000% 7/15/13 4,500 4,837
EI du Pont de Nemours & Co. 1.750% 3/25/14 5,425 5,558
EI du Pont de Nemours & Co. 4.875% 4/30/14 2,550 2,804
EI du Pont de Nemours & Co. 2.750% 4/1/16 2,000 2,103
ICI Wilmington Inc. 5.625% 12/1/13 1,600 1,725
International Paper Co. 7.400% 6/15/14 3,000 3,368
International Paper Co. 5.300% 4/1/15 2,500 2,683
International Paper Co. 5.250% 4/1/16 2,950 3,140
4 Kinross Gold Corp. 3.625% 9/1/16 1,500 1,486

 

 

Lubrizol Corp. 5.500% 10/1/14 1,850 2,080
Monsanto Co. 2.750% 4/15/16 1,250 1,311
Nucor Corp. 5.000% 12/1/12 925 966
Nucor Corp. 5.000% 6/1/13 275 293
Plum Creek Timberlands LP 5.875% 11/15/15 1,650 1,833
Potash Corp. of Saskatchewan Inc. 3.750% 9/30/15 5,000 5,311
PPG Industries Inc. 5.750% 3/15/13 1,875 1,999
PPG Industries Inc. 1.900% 1/15/16 3,675 3,640
Praxair Inc. 1.750% 11/15/12 1,150 1,164
Praxair Inc. 3.950% 6/1/13 825 867
Praxair Inc. 4.375% 3/31/14 1,125 1,211
Praxair Inc. 5.250% 11/15/14 2,750 3,081
Praxair Inc. 4.625% 3/30/15 1,625 1,791
Rio Tinto Alcan Inc. 4.500% 5/15/13 775 815
Rio Tinto Alcan Inc. 5.200% 1/15/14 700 752
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 17,550 20,760
Rio Tinto Finance USA Ltd. 1.875% 11/2/15 2,500 2,499
Rio Tinto Finance USA Ltd. 2.500% 5/20/16 2,025 2,044
Rio Tinto Finance USA Ltd. 2.250% 9/20/16 1,700 1,697
Sherwin-Williams Co. 3.125% 12/15/14 1,900 2,005
Teck Resources Ltd. 9.750% 5/15/14 4,115 4,878
Teck Resources Ltd. 10.250% 5/15/16 1,750 2,056
Vale Canada Ltd. 5.700% 10/15/15 1,125 1,242
Vale Overseas Ltd. 6.250% 1/11/16 12,025 13,004
WMC Finance USA Ltd. 5.125% 5/15/13 1,600 1,709
Xstrata Canada Corp. 6.000% 10/15/15 1,525 1,686
 
Capital Goods (1.1%)        
3M Co. 4.500% 11/1/11 3,000 3,009
3M Co. 4.375% 8/15/13 2,000 2,142
3M Co. 1.375% 9/29/16 1,650 1,645
Bemis Co. Inc. 5.650% 8/1/14 2,875 3,107
Black & Decker Corp. 8.950% 4/15/14 4,000 4,677
Black & Decker Corp. 4.750% 11/1/14 1,025 1,113
Boeing Capital Corp. 5.800% 1/15/13 750 799
Boeing Capital Corp. 3.250% 10/27/14 7,525 8,033
Boeing Capital Corp. 2.125% 8/15/16 575 583
Boeing Co. 1.875% 11/20/12 2,750 2,787
Boeing Co. 3.500% 2/15/15 3,325 3,574
Caterpillar Financial Services Corp. 4.250% 2/8/13 700 731
Caterpillar Financial Services Corp. 2.000% 4/5/13 800 813
Caterpillar Financial Services Corp. 6.200% 9/30/13 2,350 2,582
Caterpillar Financial Services Corp. 6.125% 2/17/14 35,500 39,571
Caterpillar Financial Services Corp. 2.650% 4/1/16 1,725 1,801
Caterpillar Financial Services Corp. 2.050% 8/1/16 1,000 1,004
Cooper US Inc. 5.250% 11/15/12 5,250 5,498
Cooper US Inc. 2.375% 1/15/16 2,500 2,543
CRH America Inc. 5.300% 10/15/13 2,075 2,158
CRH America Inc. 4.125% 1/15/16 5,000 5,076
CRH America Inc. 6.000% 9/30/16 3,900 4,197
Danaher Corp. 2.300% 6/23/16 1,500 1,544
Deere & Co. 6.950% 4/25/14 1,325 1,521
Eaton Corp. 4.900% 5/15/13 3,850 4,093
Emerson Electric Co. 4.625% 10/15/12 3,200 3,330
General Dynamics Corp. 4.250% 5/15/13 3,800 4,018
General Dynamics Corp. 5.250% 2/1/14 6,100 6,709
General Dynamics Corp. 1.375% 1/15/15 6,000 6,037

 

 

General Electric Co. 5.000% 2/1/13 28,500 29,875
Harsco Corp. 2.700% 10/15/15 3,400 3,454
Honeywell International Inc. 4.250% 3/1/13 2,050 2,153
Honeywell International Inc. 3.875% 2/15/14 8,900 9,540
Illinois Tool Works Inc. 5.150% 4/1/14 4,650 5,088
Ingersoll-Rand Global Holding Co. Ltd. 6.000% 8/15/13 1,800 1,947
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 6,700 7,926
John Deere Capital Corp. 7.000% 3/15/12 13,150 13,523
John Deere Capital Corp. 5.250% 10/1/12 655 685
John Deere Capital Corp. 4.950% 12/17/12 2,300 2,416
John Deere Capital Corp. 1.600% 3/3/14 1,600 1,626
John Deere Capital Corp. 2.950% 3/9/15 4,675 4,938
John Deere Capital Corp. 1.850% 9/15/16 4,000 3,988
Lockheed Martin Corp. 4.121% 3/14/13 6,500 6,841
Northrop Grumman Corp. 1.850% 11/15/15 3,925 3,909
Raytheon Co. 1.625% 10/15/15 2,000 1,991
Roper Industries Inc. 6.625% 8/15/13 1,650 1,790
Tyco International Finance SA 4.125% 10/15/14 4,000 4,247
United Technologies Corp. 4.875% 5/1/15 2,300 2,583
Waste Management Inc. 5.000% 3/15/14 2,075 2,256
Waste Management Inc. 6.375% 3/11/15 1,600 1,832
Waste Management Inc. 2.600% 9/1/16 2,500 2,496
 
Communication (2.0%)        
America Movil SAB de CV 5.750% 1/15/15 5,938 6,544
America Movil SAB de CV 3.625% 3/30/15 6,600 6,840
America Movil SAB de CV 2.375% 9/8/16 5,550 5,389
American Tower Corp. 4.625% 4/1/15 7,209 7,672
AT&T Inc. 4.950% 1/15/13 8,175 8,565
AT&T Inc. 6.700% 11/15/13 11,525 12,802
AT&T Inc. 4.850% 2/15/14 7,925 8,560
AT&T Inc. 5.100% 9/15/14 13,800 15,152
AT&T Inc. 2.500% 8/15/15 16,875 17,298
AT&T Inc. 2.950% 5/15/16 5,725 5,909
AT&T Inc. 5.625% 6/15/16 3,075 3,512
BellSouth Corp. 5.200% 9/15/14 200 220
British Telecommunications plc 5.150% 1/15/13 11,275 11,778
CBS Corp. 8.200% 5/15/14 1,500 1,727
Cellco Partnership / Verizon Wireless Capital        
LLC 7.375% 11/15/13 5,675 6,380
Cellco Partnership / Verizon Wireless Capital        
LLC 5.550% 2/1/14 24,800 27,116
CenturyLink Inc. 5.000% 2/15/15 700 699
Comcast Cable Communications Holdings        
Inc. 8.375% 3/15/13 4,965 5,462
Comcast Corp. 5.300% 1/15/14 5,000 5,433
Comcast Corp. 5.850% 11/15/15 10,000 11,349
Comcast Corp. 5.900% 3/15/16 7,600 8,658
Comcast Corp. 4.950% 6/15/16 2,175 2,411
COX Communications Inc. 7.125% 10/1/12 4,000 4,238
COX Communications Inc. 4.625% 6/1/13 6,435 6,801
COX Communications Inc. 5.450% 12/15/14 8,529 9,464
COX Communications Inc. 5.500% 10/1/15 1,775 1,988
Deutsche Telekom International Finance BV 5.250% 7/22/13 4,015 4,240
Deutsche Telekom International Finance BV 5.875% 8/20/13 4,525 4,867
Deutsche Telekom International Finance BV 4.875% 7/8/14 1,100 1,175
Deutsche Telekom International Finance BV 5.750% 3/23/16 1,000 1,110

 

 

DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.750% 10/1/14 1,875 2,030
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.550% 3/15/15 7,600 7,968
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.500% 3/1/16 3,000 3,095
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 7.625% 5/15/16 3,125 3,352
Embarq Corp. 7.082% 6/1/16 13,350 13,691
France Telecom SA 4.375% 7/8/14 10,575 11,306
France Telecom SA 2.125% 9/16/15 600 594
France Telecom SA 2.750% 9/14/16 2,400 2,391
McGraw-Hill Cos. Inc. 5.375% 11/15/12 2,475 2,573
NBCUniversal Media LLC 2.100% 4/1/14 5,000 5,070
NBCUniversal Media LLC 3.650% 4/30/15 2,000 2,104
NBCUniversal Media LLC 2.875% 4/1/16 10,000 10,169
News America Inc. 9.250% 2/1/13 2,825 3,081
News America Inc. 5.300% 12/15/14 1,450 1,583
Omnicom Group Inc. 5.900% 4/15/16 3,990 4,452
Qwest Corp. 8.375% 5/1/16 1,000 1,097
Reed Elsevier Capital Inc. 7.750% 1/15/14 3,900 4,374
Rogers Communications Inc. 6.375% 3/1/14 3,000 3,331
Rogers Communications Inc. 5.500% 3/15/14 2,150 2,354
Telecom Italia Capital SA 5.250% 11/15/13 1,675 1,638
Telecom Italia Capital SA 6.175% 6/18/14 14,005 13,962
Telecom Italia Capital SA 4.950% 9/30/14 7,514 7,244
Telecom Italia Capital SA 5.250% 10/1/15 2,000 1,907
Telefonica Emisiones SAU 5.855% 2/4/13 7,000 7,143
Telefonica Emisiones SAU 2.582% 4/26/13 5,900 5,705
Telefonica Emisiones SAU 4.949% 1/15/15 1,550 1,525
Telefonica Emisiones SAU 3.729% 4/27/15 8,350 7,946
Telefonica Emisiones SAU 3.992% 2/16/16 12,500 11,900
Thomson Reuters Corp. 5.950% 7/15/13 3,925 4,218
Thomson Reuters Corp. 5.700% 10/1/14 7,250 7,977
Time Warner Cable Inc. 6.200% 7/1/13 7,750 8,384
Time Warner Cable Inc. 7.500% 4/1/14 7,700 8,720
Time Warner Cable Inc. 3.500% 2/1/15 1,125 1,172
Time Warner Entertainment Co. LP 8.875% 10/1/12 1,000 1,078
Verizon Communications Inc. 4.350% 2/15/13 6,025 6,301
Verizon Communications Inc. 5.250% 4/15/13 18,300 19,451
Verizon Communications Inc. 1.950% 3/28/14 4,675 4,785
Verizon Communications Inc. 3.000% 4/1/16 7,600 7,963
Verizon Florida LLC 6.125% 1/15/13 1,500 1,591
Verizon Global Funding Corp. 4.375% 6/1/13 250 264
Verizon Virginia Inc. 4.625% 3/15/13 3,600 3,763
Vodafone Group plc 5.350% 2/27/12 7,025 7,154
Vodafone Group plc 4.150% 6/10/14 11,825 12,711
Vodafone Group plc 3.375% 11/24/15 3,550 3,745
Vodafone Group plc 5.750% 3/15/16 5,250 6,039
WPP Finance UK 5.875% 6/15/14 3,763 4,077
WPP Finance UK 8.000% 9/15/14 4,075 4,639
 
Consumer Cyclical (1.0%)        
AutoZone Inc. 6.500% 1/15/14 5,000 5,570
Best Buy Co. Inc. 6.750% 7/15/13 3,350 3,577
CVS Caremark Corp. 4.875% 9/15/14 4,725 5,183
CVS Caremark Corp. 3.250% 5/18/15 8,150 8,567

 

 

CVS Caremark Corp. 6.125% 8/15/16 1,000 1,153
Daimler Finance North America LLC 6.500% 11/15/13 4,850 5,313
4 Daimler Finance North America LLC 2.625% 9/15/16 1,225 1,202
Darden Restaurants Inc. 5.625% 10/15/12 1,300 1,356
eBay Inc. 0.875% 10/15/13 1,975 1,981
eBay Inc. 1.625% 10/15/15 1,975 1,987
Home Depot Inc. 5.250% 12/16/13 4,625 5,024
Home Depot Inc. 5.400% 3/1/16 15,575 17,702
Hyatt Hotels Corp. 3.875% 8/15/16 1,075 1,071
Johnson Controls Inc. 4.875% 9/15/13 1,000 1,071
Johnson Controls Inc. 1.750% 3/1/14 5,000 5,029
Johnson Controls Inc. 5.500% 1/15/16 1,300 1,464
Lowe's Cos. Inc. 5.600% 9/15/12 3,200 3,354
Macy's Retail Holdings Inc. 8.125% 7/15/15 9,225 10,656
Marriott International Inc. 5.625% 2/15/13 1,425 1,479
Marriott International Inc. 6.200% 6/15/16 1,400 1,581
McDonald's Corp. 4.300% 3/1/13 2,000 2,102
Nordstrom Inc. 6.750% 6/1/14 1,150 1,302
PACCAR Financial Corp. 1.950% 12/17/12 2,150 2,178
PACCAR Financial Corp. 2.050% 6/17/13 650 659
PACCAR Inc. 6.875% 2/15/14 4,450 5,029
Staples Inc. 9.750% 1/15/14 13,325 15,457
Target Corp. 5.125% 1/15/13 1,075 1,135
Target Corp. 4.000% 6/15/13 825 871
Target Corp. 1.125% 7/18/14 950 959
Target Corp. 5.875% 7/15/16 4,075 4,841
Time Warner Inc. 3.150% 7/15/15 14,900 15,375
Toyota Motor Credit Corp. 3.200% 6/17/15 11,200 11,736
Toyota Motor Credit Corp. 2.800% 1/11/16 7,225 7,405
Turner Broadcasting System Inc. 8.375% 7/1/13 2,385 2,661
Viacom Inc. 4.375% 9/15/14 600 644
Viacom Inc. 6.250% 4/30/16 7,500 8,643
Wal-Mart Stores Inc. 4.250% 4/15/13 35 37
Wal-Mart Stores Inc. 4.550% 5/1/13 7,575 8,042
Wal-Mart Stores Inc. 7.250% 6/1/13 2,300 2,547
Wal-Mart Stores Inc. 1.625% 4/15/14 9,450 9,662
Wal-Mart Stores Inc. 3.200% 5/15/14 9,169 9,745
Wal-Mart Stores Inc. 2.875% 4/1/15 4,080 4,332
Wal-Mart Stores Inc. 2.250% 7/8/15 4,250 4,416
Wal-Mart Stores Inc. 1.500% 10/25/15 9,975 10,099
Walgreen Co. 4.875% 8/1/13 8,500 9,124
Walt Disney Co. 4.700% 12/1/12 7,200 7,556
Walt Disney Co. 4.500% 12/15/13 325 351
Walt Disney Co. 6.200% 6/20/14 3,000 3,406
Western Union Co. 6.500% 2/26/14 3,350 3,701
 
Consumer Noncyclical (3.0%)        
Abbott Laboratories 5.150% 11/30/12 3,325 3,507
Abbott Laboratories 2.700% 5/27/15 3,900 4,106
Abbott Laboratories 5.875% 5/15/16 10,975 12,932
Altria Group Inc. 8.500% 11/10/13 1,100 1,257
Altria Group Inc. 7.750% 2/6/14 9,500 10,835
Altria Group Inc. 4.125% 9/11/15 8,925 9,581
AmerisourceBergen Corp. 5.875% 9/15/15 1,825 2,086
Amgen Inc. 4.850% 11/18/14 7,325 8,161
Amgen Inc. 2.300% 6/15/16 5,000 5,136
Anheuser-Busch Cos. Inc. 4.375% 1/15/13 1,500 1,563

 

 

Anheuser-Busch InBev Worldwide Inc. 3.000% 10/15/12 12,375 12,648
Anheuser-Busch InBev Worldwide Inc. 2.500% 3/26/13 8,075 8,233
Anheuser-Busch InBev Worldwide Inc. 1.500% 7/14/14 125 126
Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 4,800 5,372
Anheuser-Busch InBev Worldwide Inc. 4.125% 1/15/15 7,350 7,959
Anheuser-Busch InBev Worldwide Inc. 2.875% 2/15/16 5,000 5,251
Baxter International Inc. 4.000% 3/1/14 1,650 1,769
Baxter International Inc. 4.625% 3/15/15 2,750 3,063
Baxter International Inc. 5.900% 9/1/16 3,300 3,918
Biogen Idec Inc. 6.000% 3/1/13 4,725 5,009
Boston Scientific Corp. 4.500% 1/15/15 5,200 5,441
Boston Scientific Corp. 6.250% 11/15/15 8,000 8,928
Bottling Group LLC 4.625% 11/15/12 4,500 4,696
Bottling Group LLC 5.000% 11/15/13 1,500 1,626
Bottling Group LLC 6.950% 3/15/14 9,325 10,626
Bristol-Myers Squibb Co. 5.250% 8/15/13 1,675 1,815
Brown-Forman Corp. 2.500% 1/15/16 625 646
Bunge Ltd. Finance Corp. 5.875% 5/15/13 1,600 1,681
Bunge Ltd. Finance Corp. 5.350% 4/15/14 5,350 5,681
Bunge Ltd. Finance Corp. 5.100% 7/15/15 1,925 2,031
Bunge Ltd. Finance Corp. 4.100% 3/15/16 1,375 1,407
Cardinal Health Inc. 4.000% 6/15/15 1,875 2,012
CareFusion Corp. 5.125% 8/1/14 5,975 6,504
Celgene Corp. 2.450% 10/15/15 1,600 1,616
Church & Dwight Co. Inc. 3.350% 12/15/15 1,225 1,269
Cia de Bebidas das Americas 8.750% 9/15/13 1,050 1,176
Clorox Co. 5.000% 3/1/13 3,200 3,361
Clorox Co. 5.000% 1/15/15 3,700 3,955
Coca-Cola Co. 0.750% 11/15/13 11,100 11,108
Coca-Cola Co. 3.625% 3/15/14 3,075 3,281
Coca-Cola Co. 1.500% 11/15/15 6,400 6,442
4 Coca-Cola Co. 1.800% 9/1/16 2,300 2,312
Coca-Cola Enterprises Inc. 2.125% 9/15/15 3,000 3,027
Coca-Cola HBC Finance BV 5.125% 9/17/13 1,800 1,928
Coca-Cola HBC Finance BV 5.500% 9/17/15 2,000 2,228
Coca-Cola Refreshments USA Inc. 7.375% 3/3/14 5,375 6,148
Coca-Cola Refreshments USA Inc. 4.250% 3/1/15 1,700 1,876
ConAgra Foods Inc. 5.875% 4/15/14 450 493
Corn Products International Inc. 3.200% 11/1/15 350 360
Covidien International Finance SA 5.450% 10/15/12 2,425 2,539
Covidien International Finance SA 1.875% 6/15/13 11,600 11,765
Delhaize Group SA 5.875% 2/1/14 400 437
DENTSPLY International Inc. 2.750% 8/15/16 1,500 1,508
Diageo Capital plc 5.200% 1/30/13 5,036 5,308
Diageo Capital plc 5.500% 9/30/16 4,000 4,583
Diageo Finance BV 5.500% 4/1/13 1,500 1,601
Diageo Finance BV 5.300% 10/28/15 3,075 3,503
Dr Pepper Snapple Group Inc. 2.350% 12/21/12 1,600 1,622
Dr Pepper Snapple Group Inc. 6.120% 5/1/13 325 350
Dr Pepper Snapple Group Inc. 2.900% 1/15/16 4,300 4,457
Eli Lilly & Co. 4.200% 3/6/14 2,425 2,616
Express Scripts Inc. 6.250% 6/15/14 10,550 11,610
Fortune Brands Inc. 6.375% 6/15/14 2,449 2,712
General Mills Inc. 5.250% 8/15/13 3,325 3,584
General Mills Inc. 5.200% 3/17/15 8,200 9,168
GlaxoSmithKline Capital Inc. 4.850% 5/15/13 16,650 17,762
GlaxoSmithKline Capital Inc. 4.375% 4/15/14 7,800 8,526

 

 

Hasbro Inc. 6.125% 5/15/14 3,000 3,293
Hershey Co. 5.450% 9/1/16 700 809
HJ Heinz Co. 5.350% 7/15/13 1,300 1,398
HJ Heinz Co. 2.000% 9/12/16 1,800 1,804
Hospira Inc. 5.900% 6/15/14 675 741
Johnson & Johnson 1.200% 5/15/14 7,375 7,483
Kellogg Co. 5.125% 12/3/12 5,000 5,249
Kellogg Co. 4.250% 3/6/13 4,175 4,367
Kimberly-Clark Corp. 4.875% 8/15/15 175 197
Koninklijke Philips Electronics NV 4.625% 3/11/13 1,450 1,526
Kraft Foods Inc. 2.625% 5/8/13 13,525 13,829
Kraft Foods Inc. 5.250% 10/1/13 3,200 3,412
Kraft Foods Inc. 6.750% 2/19/14 7,450 8,329
Kraft Foods Inc. 4.125% 2/9/16 10,000 10,697
Kroger Co. 5.500% 2/1/13 1,425 1,503
Kroger Co. 5.000% 4/15/13 1,550 1,634
Kroger Co. 7.500% 1/15/14 8,800 9,947
Laboratory Corp. of America Holdings 5.500% 2/1/13 875 923
Life Technologies Corp. 4.400% 3/1/15 4,475 4,686
Life Technologies Corp. 3.500% 1/15/16 5,725 5,831
Lorillard Tobacco Co. 3.500% 8/4/16 2,150 2,147
McKesson Corp. 5.250% 3/1/13 2,025 2,140
McKesson Corp. 6.500% 2/15/14 1,465 1,641
McKesson Corp. 3.250% 3/1/16 7,200 7,601
Mead Johnson Nutrition Co. 3.500% 11/1/14 5,225 5,458
Medco Health Solutions Inc. 6.125% 3/15/13 4,125 4,363
Medco Health Solutions Inc. 7.250% 8/15/13 400 437
Medco Health Solutions Inc. 2.750% 9/15/15 5,200 5,261
Medtronic Inc. 4.500% 3/15/14 1,975 2,142
Medtronic Inc. 3.000% 3/15/15 5,000 5,278
Medtronic Inc. 2.625% 3/15/16 2,500 2,589
Merck & Co. Inc. 5.125% 11/15/11 1,850 1,860
Merck & Co. Inc. 5.300% 12/1/13 4,375 4,802
Merck & Co. Inc. 4.750% 3/1/15 4,875 5,457
Merck & Co. Inc. 2.250% 1/15/16 17,900 18,541
Newell Rubbermaid Inc. 5.500% 4/15/13 2,520 2,657
Novartis Capital Corp. 1.900% 4/24/13 7,650 7,803
Novartis Capital Corp. 4.125% 2/10/14 7,450 8,017
Novartis Capital Corp. 2.900% 4/24/15 13,125 13,882
PepsiAmericas Inc. 4.375% 2/15/14 1,675 1,813
PepsiAmericas Inc. 4.875% 1/15/15 1,525 1,700
PepsiCo Inc. 4.650% 2/15/13 3,100 3,274
PepsiCo Inc. 3.750% 3/1/14 12,575 13,490
PepsiCo Inc. 3.100% 1/15/15 2,900 3,079
PepsiCo Inc. 2.500% 5/10/16 5,000 5,184
Pfizer Inc. 4.450% 3/15/12 13,625 13,820
Pfizer Inc. 4.500% 2/15/14 925 1,003
Pfizer Inc. 5.350% 3/15/15 17,550 19,889
Philip Morris International Inc. 4.875% 5/16/13 16,925 17,970
Philip Morris International Inc. 6.875% 3/17/14 3,825 4,343
Procter & Gamble Co. 0.700% 8/15/14 7,000 6,999
Procter & Gamble Co. 3.500% 2/15/15 3,525 3,787
Procter & Gamble Co. 1.800% 11/15/15 5,075 5,212
Procter & Gamble Co. 4.850% 12/15/15 4,500 5,131
Procter & Gamble Co. 1.450% 8/15/16 3,450 3,459
Quest Diagnostics Inc. 3.200% 4/1/16 2,000 2,078
Reynolds American Inc. 7.250% 6/1/13 1,500 1,633

 

 

Reynolds American Inc. 7.625% 6/1/16 375 445
Safeway Inc. 6.250% 3/15/14 7,400 8,239
Sanofi 1.625% 3/28/14 1,175 1,196
Sanofi 1.200% 9/30/14 3,750 3,752
Sanofi 2.625% 3/29/16 10,050 10,408
St. Jude Medical Inc. 2.200% 9/15/13 3,125 3,178
St. Jude Medical Inc. 3.750% 7/15/14 2,950 3,139
Stryker Corp. 3.000% 1/15/15 1,500 1,577
Stryker Corp. 2.000% 9/30/16 3,075 3,084
Sysco Corp. 4.200% 2/12/13 600 626
Teva Pharmaceutical Finance II BV / Teva        
Pharmaceutical Finance III LLC 3.000% 6/15/15 7,100 7,443
Thermo Fisher Scientific Inc. 2.150% 12/28/12 1,300 1,323
Thermo Fisher Scientific Inc. 2.050% 2/21/14 150 154
Thermo Fisher Scientific Inc. 3.250% 11/20/14 1,275 1,353
Thermo Fisher Scientific Inc. 3.200% 5/1/15 1,600 1,682
Thermo Fisher Scientific Inc. 3.200% 3/1/16 3,300 3,476
Thermo Fisher Scientific Inc. 2.250% 8/15/16 3,000 3,044
Unilever Capital Corp. 3.650% 2/15/14 1,350 1,433
Watson Pharmaceuticals Inc. 5.000% 8/15/14 4,000 4,332
Whirlpool Corp. 5.500% 3/1/13 4,225 4,401
Whirlpool Corp. 8.600% 5/1/14 1,100 1,247
Wyeth 5.500% 3/15/13 6,700 7,161
Wyeth 5.500% 2/1/14 2,750 3,036
Wyeth 5.500% 2/15/16 5,600 6,469
 
Energy (1.1%)        
Anadarko Petroleum Corp. 7.625% 3/15/14 14,175 15,942
Anadarko Petroleum Corp. 5.750% 6/15/14 900 980
Apache Corp. 5.250% 4/15/13 1,550 1,652
Apache Corp. 6.000% 9/15/13 4,675 5,123
BP Capital Markets plc 5.250% 11/7/13 11,350 12,203
BP Capital Markets plc 3.625% 5/8/14 8,700 9,142
BP Capital Markets plc 3.875% 3/10/15 10,925 11,588
BP Capital Markets plc 3.125% 10/1/15 7,525 7,762
BP Capital Markets plc 3.200% 3/11/16 7,300 7,612
Canadian Natural Resources Ltd. 5.450% 10/1/12 3,550 3,699
Canadian Natural Resources Ltd. 5.150% 2/1/13 510 537
Canadian Natural Resources Ltd. 4.900% 12/1/14 550 609
Canadian Natural Resources Ltd. 6.000% 8/15/16 4,000 4,712
Cenovus Energy Inc. 4.500% 9/15/14 2,950 3,178
Chevron Corp. 3.950% 3/3/14 9,425 10,157
ConocoPhillips 4.750% 2/1/14 14,925 16,172
ConocoPhillips 4.600% 1/15/15 5,300 5,826
Devon Energy Corp. 2.400% 7/15/16 1,800 1,824
Diamond Offshore Drilling Inc. 5.150% 9/1/14 2,000 2,183
Encana Corp. 4.750% 10/15/13 1,125 1,195
EnCana Holdings Finance Corp. 5.800% 5/1/14 3,250 3,551
Ensco plc 3.250% 3/15/16 4,000 4,061
EOG Resources Inc. 6.125% 10/1/13 1,200 1,322
EOG Resources Inc. 2.950% 6/1/15 1,525 1,596
Husky Energy Inc. 5.900% 6/15/14 7,100 7,825
4 Marathon Petroleum Corp. 3.500% 3/1/16 3,550 3,677
Noble Holding International Ltd. 3.450% 8/1/15 5,000 5,240
Occidental Petroleum Corp. 1.450% 12/13/13 3,750 3,802
Occidental Petroleum Corp. 2.500% 2/1/16 2,200 2,293
Occidental Petroleum Corp. 4.125% 6/1/16 2,800 3,118

 

 

PC Financial Partnership 5.000% 11/15/14 2,000 2,161
Petro-Canada 4.000% 7/15/13 3,210 3,352
Shell International Finance BV 1.875% 3/25/13 7,900 8,063
Shell International Finance BV 4.000% 3/21/14 21,850 23,581
Shell International Finance BV 3.100% 6/28/15 1,950 2,071
Statoil ASA 3.875% 4/15/14 1,150 1,229
Statoil ASA 2.900% 10/15/14 4,900 5,155
Talisman Energy Inc. 5.125% 5/15/15 4,150 4,664
Total Capital Canada Ltd. 1.625% 1/28/14 2,600 2,640
Total Capital SA 3.000% 6/24/15 5,125 5,424
Total Capital SA 2.300% 3/15/16 10,225 10,507
Transocean Inc. 5.250% 3/15/13 7,000 7,291
Valero Energy Corp. 4.750% 6/15/13 3,000 3,154
Valero Energy Corp. 4.500% 2/1/15 300 320
Weatherford International Ltd. 5.150% 3/15/13 2,534 2,649
 
Other Industrial (0.0%)        
Connecticut Health & Educational Facilities        
Authority Revenue (Yale University) 2.900% 10/15/14 1,825 1,934
 
Technology (1.3%)        
Adobe Systems Inc. 3.250% 2/1/15 2,925 3,080
Agilent Technologies Inc. 5.500% 9/14/15 3,180 3,481
Amphenol Corp. 4.750% 11/15/14 2,775 2,948
Analog Devices Inc. 5.000% 7/1/14 850 932
Analog Devices Inc. 3.000% 4/15/16 2,000 2,092
Applied Materials Inc. 2.650% 6/15/16 2,500 2,550
Arrow Electronics Inc. 6.875% 7/1/13 800 863
Arrow Electronics Inc. 3.375% 11/1/15 500 497
Avnet Inc. 6.625% 9/15/16 1,400 1,548
Broadcom Corp. 1.500% 11/1/13 5,400 5,411
CA Inc. 6.125% 12/1/14 5,000 5,539
Cisco Systems Inc. 1.625% 3/14/14 20,000 20,337
Cisco Systems Inc. 2.900% 11/17/14 8,900 9,391
Cisco Systems Inc. 5.500% 2/22/16 5,750 6,633
Dell Inc. 4.700% 4/15/13 3,250 3,426
Dell Inc. 1.400% 9/10/13 1,800 1,812
Dell Inc. 2.100% 4/1/14 3,200 3,262
Dell Inc. 2.300% 9/10/15 750 755
Dell Inc. 3.100% 4/1/16 4,350 4,472
Dun & Bradstreet Corp. 6.000% 4/1/13 1,700 1,816
Dun & Bradstreet Corp. 2.875% 11/15/15 875 901
Equifax Inc. 4.450% 12/1/14 1,000 1,066
Fiserv Inc. 3.125% 6/15/16 675 681
Google Inc. 2.125% 5/19/16 5,575 5,734
Hewlett-Packard Co. 4.500% 3/1/13 30,775 32,034
Hewlett-Packard Co. 1.250% 9/13/13 3,200 3,190
Hewlett-Packard Co. 6.125% 3/1/14 3,950 4,331
Hewlett-Packard Co. 4.750% 6/2/14 3,300 3,528
Hewlett-Packard Co. 2.350% 3/15/15 3,200 3,223
Hewlett-Packard Co. 2.125% 9/13/15 2,825 2,797
Hewlett-Packard Co. 3.000% 9/15/16 3,200 3,227
HP Enterprise Services LLC 6.000% 8/1/13 2,850 3,053
IBM International Group Capital LLC 5.050% 10/22/12 16,600 17,351
Intel Corp. 1.950% 10/1/16 5,000 5,039
International Business Machines Corp. 2.100% 5/6/13 15,700 16,057
International Business Machines Corp. 1.000% 8/5/13 5,100 5,134

 

 

International Business Machines Corp. 1.250% 5/12/14 3,800 3,844
International Business Machines Corp. 2.000% 1/5/16 2,500 2,547
International Business Machines Corp. 1.950% 7/22/16 5,500 5,557
Juniper Networks Inc. 3.100% 3/15/16 500 510
Lexmark International Inc. 5.900% 6/1/13 1,050 1,111
Maxim Integrated Products Inc. 3.450% 6/14/13 1,200 1,239
Microsoft Corp. 0.875% 9/27/13 3,300 3,326
Microsoft Corp. 2.950% 6/1/14 7,450 7,899
Microsoft Corp. 1.625% 9/25/15 5,900 6,012
Microsoft Corp. 2.500% 2/8/16 3,800 4,003
Motorola Solutions Inc. 5.375% 11/15/12 3,500 3,631
Oracle Corp. 4.950% 4/15/13 3,435 3,660
Oracle Corp. 3.750% 7/8/14 11,300 12,212
Oracle Corp. 5.250% 1/15/16 6,589 7,584
Pitney Bowes Inc. 4.625% 10/1/12 2,000 2,065
Pitney Bowes Inc. 4.875% 8/15/14 2,025 2,172
Pitney Bowes Inc. 4.750% 1/15/16 5,150 5,523
Symantec Corp. 2.750% 9/15/15 3,375 3,421
Texas Instruments Inc. 1.375% 5/15/14 1,825 1,843
Texas Instruments Inc. 2.375% 5/16/16 5,725 5,887
Tyco Electronics Group SA 6.000% 10/1/12 9,750 10,217
Xerox Corp. 8.250% 5/15/14 2,355 2,686
Xerox Corp. 4.250% 2/15/15 19,500 20,668
Xerox Corp. 6.400% 3/15/16 3,000 3,324
 
Transportation (0.2%)        
Canadian National Railway Co. 5.800% 6/1/16 1,250 1,464
CSX Corp. 5.500% 8/1/13 6,100 6,553
CSX Corp. 6.250% 4/1/15 4,625 5,321
JB Hunt Transport Services Inc. 3.375% 9/15/15 3,100 3,127
Norfolk Southern Corp. 5.257% 9/17/14 1,250 1,389
Norfolk Southern Corp. 5.750% 1/15/16 7,747 8,903
Ryder System Inc. 6.000% 3/1/13 1,500 1,588
Ryder System Inc. 5.850% 3/1/14 2,850 3,117
Ryder System Inc. 3.150% 3/2/15 1,450 1,479
Ryder System Inc. 7.200% 9/1/15 1,480 1,741
Ryder System Inc. 3.600% 3/1/16 4,000 4,171
Union Pacific Corp. 5.450% 1/31/13 3,490 3,680
United Parcel Service Inc. 3.875% 4/1/14 4,625 4,986
        2,454,828
Utilities (1.5%)        
Electric (1.0%)        
Arizona Public Service Co. 5.800% 6/30/14 500 555
Arizona Public Service Co. 4.650% 5/15/15 1,775 1,917
Carolina Power & Light Co. 6.500% 7/15/12 70 73
Carolina Power & Light Co. 5.125% 9/15/13 3,305 3,576
Carolina Power & Light Co. 5.150% 4/1/15 2,000 2,234
Carolina Power & Light Co. 5.250% 12/15/15 3,000 3,431
CenterPoint Energy Houston Electric LLC 5.700% 3/15/13 700 746
CenterPoint Energy Houston Electric LLC 5.750% 1/15/14 500 543
CenterPoint Energy Houston Electric LLC 7.000% 3/1/14 5,225 5,870
Commonwealth Edison Co. 1.625% 1/15/14 1,375 1,382
Commonwealth Edison Co. 4.700% 4/15/15 3,045 3,341
Commonwealth Edison Co. 5.950% 8/15/16 1,975 2,295
Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 4,000 4,203
Consolidated Edison Co. of New York Inc. 5.500% 9/15/16 3,350 3,911
Constellation Energy Group Inc. 4.550% 6/15/15 1,850 1,937

 

 

Consumers Energy Co. 5.375% 4/15/13 750 798
Consumers Energy Co. 5.500% 8/15/16 2,550 2,925
Dayton Power & Light Co. 5.125% 10/1/13 1,875 2,012
Dominion Resources Inc. 5.000% 3/15/13 1,500 1,583
Dominion Resources Inc. 1.800% 3/15/14 4,250 4,291
Dominion Resources Inc. 5.150% 7/15/15 1,795 2,012
Dominion Resources Inc. 1.950% 8/15/16 1,550 1,541
Duke Energy Carolinas LLC 5.750% 11/15/13 1,500 1,647
Duke Energy Corp. 6.300% 2/1/14 14,525 16,207
Duke Energy Corp. 3.350% 4/1/15 1,100 1,150
Duke Energy Indiana Inc. 5.000% 9/15/13 1,125 1,207
Enersis SA/Cayman Island 7.375% 1/15/14 1,000 1,091
Entergy Arkansas Inc. 5.400% 8/1/13 1,000 1,069
Exelon Corp. 4.900% 6/15/15 4,875 5,297
Exelon Generation Co. LLC 5.350% 1/15/14 4,125 4,438
FirstEnergy Solutions Corp. 4.800% 2/15/15 4,675 4,952
Florida Power & Light Co. 4.850% 2/1/13 250 263
Florida Power Corp. 5.100% 12/1/15 1,175 1,346
Georgia Power Co. 6.000% 11/1/13 2,000 2,204
Georgia Power Co. 3.000% 4/15/16 2,400 2,521
Kentucky Utilities Co. 1.625% 11/1/15 2,550 2,544
LG&E and KU Energy LLC 2.125% 11/15/15 3,000 2,941
Louisville Gas & Electric Co. 1.625% 11/15/15 6,500 6,521
Metropolitan Edison Co. 4.875% 4/1/14 1,000 1,058
MidAmerican Energy Co. 5.125% 1/15/13 2,000 2,110
Midamerican Energy Holdings Co. 5.875% 10/1/12 2,000 2,101
Midamerican Energy Holdings Co. 5.000% 2/15/14 600 647
National Rural Utilities Cooperative Finance        
Corp. 5.500% 7/1/13 11,650 12,592
National Rural Utilities Cooperative Finance        
Corp. 3.875% 9/16/15 3,250 3,518
National Rural Utilities Cooperative Finance        
Corp. 3.050% 3/1/16 1,200 1,259
Nevada Power Co. 5.875% 1/15/15 1,500 1,677
NextEra Energy Capital Holdings Inc. 5.350% 6/15/13 2,835 3,019
NextEra Energy Capital Holdings Inc. 2.550% 11/15/13 3,775 3,857
NextEra Energy Capital Holdings Inc. 2.600% 9/1/15 1,900 1,926
NextEra Energy Capital Holdings Inc. 7.875% 12/15/15 3,500 4,201
Northern States Power Co. 1.950% 8/15/15 2,200 2,247
NSTAR Electric Co. 4.875% 10/15/12 3,925 4,090
NSTAR Electric Co. 4.875% 4/15/14 1,500 1,633
Ohio Edison Co. 6.400% 7/15/16 1,200 1,402
Ohio Power Co. 5.750% 9/1/13 1,575 1,690
Ohio Power Co. 6.000% 6/1/16 425 489
Oncor Electric Delivery Co. LLC 5.950% 9/1/13 4,975 5,359
Oncor Electric Delivery Co. LLC 6.375% 1/15/15 3,000 3,432
Pacific Gas & Electric Co. 4.800% 3/1/14 12,600 13,627
Peco Energy Co. 5.000% 10/1/14 1,480 1,642
Pepco Holdings Inc. 2.700% 10/1/15 2,200 2,260
PPL Energy Supply LLC 6.300% 7/15/13 2,175 2,324
PSEG Power LLC 2.500% 4/15/13 800 811
PSEG Power LLC 5.500% 12/1/15 3,000 3,324
PSEG Power LLC 2.750% 9/15/16 300 300
Public Service Co. of Colorado 7.875% 10/1/12 4,625 4,937
Public Service Co. of Colorado 5.500% 4/1/14 1,000 1,105
Public Service Electric & Gas Co. 5.375% 9/1/13 2,000 2,157
Public Service Electric & Gas Co. 0.850% 8/15/14 4,000 3,972

 

 

Public Service Electric & Gas Co. 2.700% 5/1/15 1,125 1,180
Sierra Pacific Power Co. 5.450% 9/1/13 3,769 4,057
Southern California Edison Co. 5.000% 1/15/14 2,000 2,175
Southern California Edison Co. 4.150% 9/15/14 3,000 3,252
Southern Co. 5.300% 1/15/12 3,625 3,672
Southern Co. 4.150% 5/15/14 800 853
Southern Co. 2.375% 9/15/15 4,810 4,899
TECO Finance Inc. 4.000% 3/15/16 375 402
TransAlta Corp. 4.750% 1/15/15 2,688 2,861
Virginia Electric and Power Co. 5.100% 11/30/12 10,525 11,011
Wisconsin Electric Power Co. 6.000% 4/1/14 3,177 3,556
 
Natural Gas (0.5%)        
Atmos Energy Corp. 4.950% 10/15/14 4,400 4,825
DCP Midstream Operating LP 3.250% 10/1/15 1,000 1,004
Enbridge Inc. 4.900% 3/1/15 4,950 5,433
Energy Transfer Partners LP 6.000% 7/1/13 4,500 4,774
Energy Transfer Partners LP 8.500% 4/15/14 3,000 3,439
6 Enron Corp. 9.125% 4/1/03 2,000 —
6 Enron Corp. 7.625% 9/10/04 1,000 —
Enterprise Products Operating LLC 5.650% 4/1/13 2,200 2,320
Enterprise Products Operating LLC 5.900% 4/15/13 1,150 1,218
Enterprise Products Operating LLC 9.750% 1/31/14 2,000 2,342
Enterprise Products Operating LLC 3.200% 2/1/16 10,300 10,540
6 HNG Internorth 9.625% 3/15/06 1,500 —
Kinder Morgan Energy Partners LP 5.850% 9/15/12 4,325 4,512
Kinder Morgan Energy Partners LP 5.000% 12/15/13 1,500 1,607
Kinder Morgan Energy Partners LP 5.625% 2/15/15 1,300 1,437
National Grid plc 6.300% 8/1/16 5,450 6,298
Nisource Finance Corp. 6.150% 3/1/13 1,975 2,093
Nisource Finance Corp. 10.750% 3/15/16 1,000 1,311
NuStar Logistics LP 6.050% 3/15/13 2,000 2,112
Oneok Inc. 5.200% 6/15/15 1,825 1,998
ONEOK Partners LP 3.250% 2/1/16 13,200 13,394
Sempra Energy 6.000% 2/1/13 2,525 2,676
Spectra Energy Capital LLC 6.250% 2/15/13 3,725 3,943
Spectra Energy Capital LLC 5.668% 8/15/14 1,000 1,097
Texas Gas Transmission LLC 4.600% 6/1/15 325 349
TransCanada PipeLines Ltd. 4.000% 6/15/13 2,225 2,328
TransCanada PipeLines Ltd. 3.400% 6/1/15 8,700 9,227
Williams Partners LP 3.800% 2/15/15 12,650 13,196
 
        342,731
Total Corporate Bonds (Cost $4,958,073)       5,060,490
Sovereign Bonds (U.S. Dollar-Denominated) (7.5%)        
African Development Bank 1.000% 11/23/11 4,050 4,053
African Development Bank 1.750% 10/1/12 875 881
African Development Bank 1.625% 2/11/13 4,300 4,373
African Development Bank 3.000% 5/27/14 15,375 16,398
Asian Development Bank 1.625% 7/15/13 11,600 11,854
Asian Development Bank 3.625% 9/5/13 5,850 6,194
Asian Development Bank 2.750% 5/21/14 23,475 24,842
Asian Development Bank 0.875% 6/10/14 12,250 12,341
Asian Development Bank 2.625% 2/9/15 17,550 18,565
Asian Development Bank 2.500% 3/15/16 12,350 13,162
Brazilian Government International Bond 10.250% 6/17/13 4,600 5,264

 

 

Brazilian Government International Bond 10.500% 7/14/14 5,725 7,060
Brazilian Government International Bond 7.875% 3/7/15 11,325 13,318
Canada Government International Bond 2.375% 9/10/14 9,475 9,953
Chile Government International Bond 5.500% 1/15/13 3,550 3,739
China Development Bank Corp. 4.750% 10/8/14 1,375 1,469
China Development Bank Corp. 5.000% 10/15/15 3,450 3,739
Colombia Government International Bond 10.750% 1/15/13 1,500 1,661
Colombia Government International Bond 8.250% 12/22/14 4,000 4,680
Corp. Andina de Fomento 5.200% 5/21/13 5,575 5,873
Corp. Andina de Fomento 5.125% 5/5/15 4,025 4,337
Corp. Andina de Fomento 3.750% 1/15/16 1,850 1,873
Council Of Europe Development Bank 1.500% 1/15/15 3,000 3,063
Council Of Europe Development Bank 2.750% 2/10/15 3,700 3,915
Council Of Europe Development Bank 2.625% 2/16/16 4,600 4,887
Council Of Europe Development Bank 1.250% 9/22/16 2,000 1,995
Eksportfinans ASA 1.875% 4/2/13 5,350 5,455
Eksportfinans ASA 3.000% 11/17/14 4,825 5,083
Eksportfinans ASA 2.000% 9/15/15 8,375 8,544
Eksportfinans ASA 2.375% 5/25/16 2,650 2,758
Eksportfinans ASA 5.500% 5/25/16 3,125 3,678
European Bank for Reconstruction &        
Development 3.625% 6/17/13 3,000 3,160
European Bank for Reconstruction &        
Development 5.000% 5/19/14 3,400 3,784
European Bank for Reconstruction &        
Development 2.750% 4/20/15 6,250 6,631
European Bank for Reconstruction &        
Development 1.625% 9/3/15 1,750 1,769
European Bank for Reconstruction &        
Development 2.500% 3/15/16 9,950 10,582
European Investment Bank 1.625% 3/15/13 6,000 6,096
European Investment Bank 3.250% 5/15/13 7,750 8,063
European Investment Bank 1.875% 6/17/13 14,500 14,806
European Investment Bank 4.250% 7/15/13 16,950 18,050
European Investment Bank 1.250% 9/17/13 14,150 14,340
European Investment Bank 1.250% 2/14/14 69,625 70,470
European Investment Bank 2.375% 3/14/14 8,175 8,503
European Investment Bank 3.000% 4/8/14 8,000 8,443
European Investment Bank 1.500% 5/15/14 24,825 25,295
European Investment Bank 4.625% 5/15/14 4,350 4,782
European Investment Bank 3.125% 6/4/14 28,950 30,755
European Investment Bank 1.125% 8/15/14 29,050 29,320
European Investment Bank 2.875% 1/15/15 11,000 11,743
European Investment Bank 2.750% 3/23/15 11,225 11,946
European Investment Bank 1.625% 9/1/15 24,675 25,279
European Investment Bank 1.375% 10/20/15 13,500 13,708
European Investment Bank 2.250% 3/15/16 9,350 9,759
European Investment Bank 2.500% 5/16/16 12,900 13,630
European Investment Bank 2.125% 7/15/16 11,500 11,974
European Investment Bank 5.125% 9/13/16 4,000 4,739
European Investment Bank 1.250% 10/14/16 4,500 4,480
7 Export Development Canada 4.500% 10/25/12 7,500 7,827
Export Development Canada 3.125% 4/24/14 8,050 8,566
Export Development Canada 1.500% 5/15/14 6,000 6,154
Export Development Canada 2.250% 5/28/15 4,725 4,983
Export Development Canada 1.250% 10/27/15 3,000 3,049
Export-Import Bank of Korea 5.500% 10/17/12 7,850 8,125

 

 

Export-Import Bank of Korea 8.125% 1/21/14 8,300 9,286
Export-Import Bank of Korea 5.875% 1/14/15 5,175 5,502
Export-Import Bank of Korea 5.125% 3/16/15 1,700 1,779
Export-Import Bank of Korea 4.125% 9/9/15 7,125 7,239
Financement-Quebec 5.000% 10/25/12 2,000 2,091
Hungary Government International Bond 4.750% 2/3/15 5,350 5,216
Hydro Quebec 8.000% 2/1/13 2,000 2,183
Hydro Quebec 2.000% 6/30/16 7,525 7,684
Inter-American Development Bank 4.750% 10/19/12 15,500 16,206
Inter-American Development Bank 1.750% 10/22/12 15,250 15,441
Inter-American Development Bank 3.500% 3/15/13 3,000 3,134
Inter-American Development Bank 1.625% 7/15/13 10,225 10,429
Inter-American Development Bank 3.000% 4/22/14 10,550 11,190
Inter-American Development Bank 4.500% 9/15/14 3,000 3,335
Inter-American Development Bank 2.250% 7/15/15 6,975 7,325
Inter-American Development Bank 4.250% 9/14/15 5,550 6,244
International Bank for Reconstruction &        
Development 3.625% 5/21/13 5,500 5,776
International Bank for Reconstruction &        
Development 1.750% 7/15/13 29,400 30,073
International Bank for Reconstruction &        
Development 3.500% 10/8/13 9,490 10,041
International Bank for Reconstruction &        
Development 2.375% 5/26/15 22,650 23,931
International Bank for Reconstruction &        
Development 2.125% 3/15/16 27,900 29,226
International Bank for Reconstruction &        
Development 5.000% 4/1/16 4,600 5,374
International Bank for Reconstruction &        
Development 1.000% 9/15/16 22,000 21,889
International Finance Corp. 3.000% 4/22/14 22,625 23,839
International Finance Corp. 2.750% 4/20/15 13,550 14,454
Israel Government International Bond 4.625% 6/15/13 2,350 2,448
Israel Government International Bond 5.125% 3/1/14 2,000 2,142
8 Japan Bank for International Cooperation 4.375% 11/26/12 2,200 2,295
8 Japan Bank for International Cooperation 4.250% 6/18/13 6,150 6,521
8 Japan Finance Corp. 2.125% 11/5/12 14,000 14,224
8 Japan Finance Corp. 2.875% 2/2/15 6,600 6,978
8 Japan Finance Corp. 1.875% 9/24/15 4,200 4,287
8 Japan Finance Corp. 2.500% 1/21/16 6,200 6,492
8 Japan Finance Corp. 2.500% 5/18/16 6,300 6,600
8 Japan Finance Corp. 2.250% 7/13/16 11,900 12,324
8 Japan Finance Organization for Municipalities 4.625% 4/21/15 5,075 5,688
Korea Development Bank 5.300% 1/17/13 10,150 10,538
Korea Development Bank 5.750% 9/10/13 5,525 5,867
Korea Development Bank 8.000% 1/23/14 5,000 5,581
Korea Development Bank 4.375% 8/10/15 11,275 11,523
Korea Development Bank 3.250% 3/9/16 1,875 1,823
Korea Finance Corp. 3.250% 9/20/16 4,200 4,032
9 Kreditanstalt fuer Wiederaufbau 1.875% 1/14/13 26,150 26,633
9 Kreditanstalt fuer Wiederaufbau 3.250% 3/15/13 28,300 29,433
9 Kreditanstalt fuer Wiederaufbau 3.500% 5/16/13 12,375 12,978
9 Kreditanstalt fuer Wiederaufbau 1.375% 7/15/13 26,825 27,262
9 Kreditanstalt fuer Wiederaufbau 4.000% 10/15/13 6,125 6,544
9 Kreditanstalt fuer Wiederaufbau 1.375% 1/13/14 16,775 17,070
9 Kreditanstalt fuer Wiederaufbau 3.500% 3/10/14 9,425 10,086
9 Kreditanstalt fuer Wiederaufbau 1.500% 4/4/14 24,900 25,476

 

 

9 Kreditanstalt fuer Wiederaufbau 2.750% 10/21/14 20,825 22,068
9 Kreditanstalt fuer Wiederaufbau 2.625% 3/3/15 10,650 11,321
9 Kreditanstalt fuer Wiederaufbau 1.250% 10/26/15 26,725 26,847
9 Kreditanstalt fuer Wiederaufbau 2.625% 2/16/16 18,050 19,185
9 Kreditanstalt fuer Wiederaufbau 5.125% 3/14/16 10,875 12,724
9 Kreditanstalt fuer Wiederaufbau 2.000% 6/1/16 18,175 18,844
9 Kreditanstalt fuer Wiederaufbau 1.250% 10/5/16 6,800 6,779
9 Landwirtschaftliche Rentenbank 3.250% 3/15/13 2,100 2,182
9 Landwirtschaftliche Rentenbank 4.125% 7/15/13 1,000 1,066
9 Landwirtschaftliche Rentenbank 2.500% 2/15/16 10,150 10,703
9 Landwirtschaftliche Rentenbank 2.125% 7/15/16 7,575 7,851
  Mexico Government International Bond 6.375% 1/16/13 5,400 5,719
  Mexico Government International Bond 5.875% 2/17/14 18,900 20,393
  Mexico Government International Bond 6.625% 3/3/15 7,900 8,907
  Mexico Government International Bond 11.375% 9/15/16 1,725 2,419
  Nordic Investment Bank 1.625% 1/28/13 6,900 7,012
  Nordic Investment Bank 2.625% 10/6/14 6,700 7,063
  Nordic Investment Bank 2.500% 7/15/15 1,325 1,404
  Nordic Investment Bank 2.250% 3/15/16 4,825 5,077
10 Oesterreichische Kontrollbank AG 4.750% 11/8/11 3,500 3,514
10 Oesterreichische Kontrollbank AG 4.750% 10/16/12 7,725 8,079
10 Oesterreichische Kontrollbank AG 1.750% 3/11/13 7,650 7,791
10 Oesterreichische Kontrollbank AG 1.750% 10/5/15 12,000 12,236
10 Oesterreichische Kontrollbank AG 4.875% 2/16/16 5,000 5,766
10 Oesterreichische Kontrollbank AG 2.000% 6/3/16 1,050 1,081
  Ontario Electricity Financial Corp. 7.450% 3/31/13 1,000 1,097
  Panama Government International Bond 7.250% 3/15/15 6,000 6,846
  Peruvian Government International Bond 9.875% 2/6/15 2,500 3,037
  Petrobras International Finance Co. - Pifco 9.125% 7/2/13 2,500 2,766
  Petrobras International Finance Co. - Pifco 7.750% 9/15/14 1,625 1,869
  Petrobras International Finance Co. - Pifco 3.875% 1/27/16 19,750 19,653
  Petroleos Mexicanos 4.875% 3/15/15 9,250 9,716
  Poland Government International Bond 5.250% 1/15/14 3,975 4,184
  Poland Government International Bond 3.875% 7/16/15 6,595 6,661
  Province of British Columbia 2.850% 6/15/15 6,075 6,474
  Province of British Columbia 2.100% 5/18/16 8,500 8,810
  Province of Manitoba 2.125% 4/22/13 1,950 1,999
  Province of Manitoba 1.375% 4/28/14 1,600 1,629
  Province of Manitoba 2.625% 7/15/15 4,525 4,756
  Province of Nova Scotia 2.375% 7/21/15 3,850 3,996
  Province of Ontario 1.875% 11/19/12 21,250 21,599
  Province of Ontario 1.375% 1/27/14 15,425 15,676
  Province of Ontario 4.100% 6/16/14 39,400 42,647
  Province of Ontario 2.950% 2/5/15 18,525 19,677
  Province of Ontario 2.700% 6/16/15 5,750 6,011
  Province of Ontario 1.875% 9/15/15 900 915
  Province of Ontario 2.300% 5/10/16 14,300 14,784
  Province of Ontario 1.600% 9/21/16 4,275 4,260
  Province of Saskatchewan 7.375% 7/15/13 1,000 1,120
  Quebec 4.875% 5/5/14 7,700 8,480
  Quebec 4.600% 5/26/15 7,400 8,307
  Republic of Italy 2.125% 10/5/12 23,150 22,774
  Republic of Italy 2.125% 9/16/13 3,925 3,758
  Republic of Italy 4.500% 1/21/15 5,650 5,579
  Republic of Italy 3.125% 1/26/15 16,450 15,381
  Republic of Italy 4.750% 1/25/16 9,000 8,775
  Republic of Italy 5.250% 9/20/16 19,200 19,008

 

 

Republic of Korea 4.250% 6/1/13 3,225 3,329
Republic of Korea 5.750% 4/16/14 6,350 6,854
Republic of Korea 4.875% 9/22/14 3,925 4,202
South Africa Government International Bond 6.500% 6/2/14 5,050 5,587
Svensk Exportkredit AB 3.250% 9/16/14 4,850 5,152
Svensk Exportkredit AB 1.750% 10/20/15 4,400 4,477
Svensk Exportkredit AB 2.125% 7/13/16 5,500 5,654
Total Sovereign Bonds (Cost $1,695,420)       1,743,080
Taxable Municipal Bonds (0.1%)        
California Educational Facilities Authority        
Revenue (Stanford University) 3.625% 5/1/14 1,600 1,708
California GO 5.250% 4/1/14 2,300 2,506
California GO 3.950% 11/1/15 3,300 3,525
California GO 5.650% 4/1/39 2,250 2,389
Illinois GO 2.766% 1/1/12 5,700 5,729
Illinois GO 4.071% 1/1/14 6,980 7,188
Illinois GO 4.511% 3/1/15 550 574
Loudoun County VA Industrial Development        
Authority Revenue (Howard Hughes        
Medical Institute) 3.450% 9/1/14 1,100 1,174
Puerto Rico Government Development Bank        
GO 3.670% 5/1/14 700 718
Puerto Rico Government Development Bank        
GO 4.704% 5/1/16 1,500 1,574
University of California Revenue 0.887% 7/1/13 1,050 1,052
Total Taxable Municipal Bonds (Cost $27,142)       28,137
      Shares  
Temporary Cash Investment (0.7%)        
Money Market Fund (0.7%)        
11 Vanguard Market Liquidity Fund (Cost        
$169,676) 0.144%   169,675,634 169,676
 
Total Investments (100.1%) (Cost $22,697,032)       23,237,303
Other Assets and Liabilities-Net (-0.1%)       (18,706)
Net Assets (100%)       23,218,597

 

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 Guaranteed by the National Credit Union Administration.
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, 2011, the aggregate value of these securities was $40,318,000, representing 0.2% of net assets.
5 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.
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.
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.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

 

Short-Term Bond Index Fund

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

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

The following table summarizes the fund's investments as of September 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 16,219,250 —
Asset-Backed/Commercial Mortgage-Backed Securities — 16,670 —
Corporate Bonds — 5,060,490 —
Sovereign Bonds — 1,743,080 —
Taxable Municipal Bonds — 28,137 —
Temporary Cash Investments 169,676 — —
Total 169,676 23,067,627 —

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended September 30, 2011:

  Investments in
  Corporate Bonds
Amount valued based on Level 3 Inputs ($000)
Balance as of (December 31, 2010) 5
Change in Unrealized Appreciation (Depreciation) (5)
Balance as of (September 30, 2011) —

 

C. At September 30, 2011, the cost of investment securities for tax purposes was $22,697,032,000. Net unrealized appreciation of investment securities for tax purposes was $540,271,000, consisting of unrealized gains of $577,901,000 on securities that had risen in value since their purchase and $37,630,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Intermediate-Term Bond Index Fund

Schedule of Investments
As of September 30, 2011

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (56.0%)        
U.S. Government Securities (52.9%)        
United States Treasury Note/Bond 1.500% 6/30/16 10,000 10,284
United States Treasury Note/Bond 3.250% 6/30/16 30,000 33,323
United States Treasury Note/Bond 1.000% 8/31/16 2,100 2,107
United States Treasury Note/Bond 3.000% 8/31/16 6,190 6,808
United States Treasury Note/Bond 1.000% 9/30/16 6,700 6,716
United States Treasury Note/Bond 3.000% 9/30/16 102,570 112,827
United States Treasury Note/Bond 3.125% 10/31/16 184,305 204,004
United States Treasury Note/Bond 4.625% 11/15/16 52,720 62,317
United States Treasury Note/Bond 7.500% 11/15/16 106,820 141,737
United States Treasury Note/Bond 2.750% 11/30/16 119,680 130,302
United States Treasury Note/Bond 3.250% 12/31/16 172,005 191,679
United States Treasury Note/Bond 3.125% 1/31/17 154,145 170,884
United States Treasury Note/Bond 4.625% 2/15/17 66,420 78,874
United States Treasury Note/Bond 3.000% 2/28/17 94,460 104,157
United States Treasury Note/Bond 3.250% 3/31/17 97,840 109,214
United States Treasury Note/Bond 3.125% 4/30/17 4,150 4,608
United States Treasury Note/Bond 4.500% 5/15/17 119,410 141,650
United States Treasury Note/Bond 8.750% 5/15/17 98,070 139,213
United States Treasury Note/Bond 2.750% 5/31/17 50,595 55,149
United States Treasury Note/Bond 2.500% 6/30/17 41,155 44,286
United States Treasury Note/Bond 2.375% 7/31/17 3,500 3,740
United States Treasury Note/Bond 4.750% 8/15/17 162,305 195,552
United States Treasury Note/Bond 8.875% 8/15/17 71,285 102,739
United States Treasury Note/Bond 1.875% 8/31/17 3,765 3,914
United States Treasury Note/Bond 1.875% 9/30/17 46,480 48,296
United States Treasury Note/Bond 4.250% 11/15/17 2,315 2,733
United States Treasury Note/Bond 2.625% 1/31/18 2,225 2,410
United States Treasury Note/Bond 3.500% 2/15/18 99,085 112,663
United States Treasury Note/Bond 2.875% 3/31/18 8,645 9,499
United States Treasury Note/Bond 2.625% 4/30/18 10,000 10,823
United States Treasury Note/Bond 3.875% 5/15/18 152,280 177,025
United States Treasury Note/Bond 2.375% 5/31/18 50 53
United States Treasury Note/Bond 4.000% 8/15/18 229,280 269,010
United States Treasury Note/Bond 1.500% 8/31/18 375 377
United States Treasury Note/Bond 3.750% 11/15/18 295,245 341,976
United States Treasury Note/Bond 2.750% 2/15/19 188,060 204,692
United States Treasury Note/Bond 8.875% 2/15/19 51,850 78,982
United States Treasury Note/Bond 3.125% 5/15/19 394,410 439,889
United States Treasury Note/Bond 3.625% 8/15/19 390,915 450,408
United States Treasury Note/Bond 3.375% 11/15/19 368,034 417,833
United States Treasury Note/Bond 3.625% 2/15/20 392,967 454,183
United States Treasury Note/Bond 3.500% 5/15/20 368,735 422,836
United States Treasury Note/Bond 8.750% 5/15/20 31,875 50,074
United States Treasury Note/Bond 2.625% 8/15/20 235,085 252,129
United States Treasury Note/Bond 8.750% 8/15/20 14,970 23,667
United States Treasury Note/Bond 2.625% 11/15/20 99,462 106,487
United States Treasury Note/Bond 3.625% 2/15/21 233,935 270,635
United States Treasury Note/Bond 3.125% 5/15/21 245,788 273,247
United States Treasury Note/Bond 8.125% 5/15/21 10,200 15,894

 

 

  United States Treasury Note/Bond 2.125% 8/15/21 407,905 415,871
          6,907,776
Agency Bonds and Notes (3.1%)        
1 Federal Farm Credit Bank 4.875% 1/17/17 5,750 6,733
1 Federal Home Loan Banks 4.750% 12/16/16 13,620 15,945
1 Federal Home Loan Banks 4.875% 5/17/17 24,465 29,014
1 Federal Home Loan Banks 5.000% 11/17/17 13,065 15,678
1 Federal Home Loan Banks 5.375% 8/15/18 14,025 17,177
1 Federal Home Loan Banks 5.125% 8/15/19 5,220 6,352
1 Federal Home Loan Banks 4.125% 3/13/20 15,875 18,104
1 Federal Home Loan Banks 5.625% 6/11/21 2,750 3,473
1 Federal Home Loan Mortgage Corp. 5.000% 2/16/17 7,000 8,290
1 Federal Home Loan Mortgage Corp. 5.125% 11/17/17 18,500 22,263
1 Federal Home Loan Mortgage Corp. 4.875% 6/13/18 9,500 11,353
1 Federal Home Loan Mortgage Corp. 3.750% 3/27/19 52,530 59,351
1 Federal National Mortgage Assn. 4.875% 12/15/16 23,945 28,193
1 Federal National Mortgage Assn. 5.000% 2/13/17 45,625 54,023
1 Federal National Mortgage Assn. 5.000% 5/11/17 16,800 19,968
1 Federal National Mortgage Assn. 5.375% 6/12/17 16,000 19,349
1 Federal National Mortgage Assn. 0.000% 10/9/19 15,300 11,587
1 Financing Corp. Fico 9.400% 2/8/18 1,475 2,130
1 Financing Corp. Fico 10.350% 8/3/18 2,170 3,341
1 Financing Corp. Fico 9.650% 11/2/18 10,145 15,150
1 Financing Corp. Fico 8.600% 9/26/19 1,275 1,886
  Private Export Funding Corp. 2.250% 12/15/17 3,225 3,309
  Private Export Funding Corp. 4.375% 3/15/19 7,000 8,089
1 Tennessee Valley Authority 5.500% 7/18/17 6,200 7,505
1 Tennessee Valley Authority 6.250% 12/15/17 2,600 3,288
1 Tennessee Valley Authority 4.500% 4/1/18 5,300 6,169
1 Tennessee Valley Authority 3.875% 2/15/21 6,100 6,863
          404,583
Total U.S. Government and Agency Obligations (Cost $6,593,080)     7,312,359
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)      
2 Banco Bilbao Vizcaya Argentaria SA 5.750% 7/20/17 225 240
2 Bank of Scotland plc 5.250% 2/21/17 2,225 2,451
2,3 Commercial Mortgage Lease-Backed        
  Certificates 6.746% 6/20/31 217 234
2 Northern Rock Asset Management plc 5.625% 6/22/17 4,825 5,271
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $7,471)   8,196
Corporate Bonds (36.8%)        
Finance (12.7%)        
  Banking (8.1%)        
  American Express Bank FSB 6.000% 9/13/17 650 733
  American Express Centurion Bank 5.950% 6/12/17 3,275 3,670
  American Express Centurion Bank 6.000% 9/13/17 1,075 1,207
  American Express Co. 6.150% 8/28/17 7,575 8,682
  American Express Co. 7.000% 3/19/18 10,800 12,791
  American Express Co. 8.125% 5/20/19 10,025 12,669
  Associates Corp. of North America 6.950% 11/1/18 1,150 1,282
2 BanColombia SA 5.950% 6/3/21 1,675 1,643
  Bank of America Corp. 5.625% 10/14/16 3,075 2,920
  Bank of America Corp. 5.420% 3/15/17 8,675 7,544
  Bank of America Corp. 6.000% 9/1/17 3,850 3,669
  Bank of America Corp. 5.750% 12/1/17 6,325 5,942
  Bank of America Corp. 5.650% 5/1/18 27,795 25,959
  Bank of America Corp. 7.625% 6/1/19 9,100 9,466

 

 

  Bank of America Corp. 5.625% 7/1/20 25,770 23,706
  Bank of America Corp. 5.875% 1/5/21 3,400 3,130
  Bank of America NA 5.300% 3/15/17 15,050 13,452
  Bank of America NA 6.100% 6/15/17 500 464
  Bank of New York Mellon Corp. 5.450% 5/15/19 3,760 4,298
  Bank of New York Mellon Corp. 4.600% 1/15/20 3,675 4,033
  Bank of New York Mellon Corp. 4.150% 2/1/21 2,000 2,118
  Barclays Bank plc 6.750% 5/22/19 7,500 8,196
  Barclays Bank plc 5.125% 1/8/20 16,100 15,800
  BB&T Corp. 6.850% 4/30/19 3,475 4,280
  Bear Stearns Cos. LLC 5.550% 1/22/17 12,725 13,205
  Bear Stearns Cos. LLC 6.400% 10/2/17 16,300 18,519
  Bear Stearns Cos. LLC 7.250% 2/1/18 3,350 3,931
  BNP Paribas SA 5.000% 1/15/21 13,950 13,789
  Capital One Bank USA NA 8.800% 7/15/19 4,025 4,618
  Capital One Financial Corp. 6.750% 9/15/17 8,850 10,089
  Capital One Financial Corp. 4.750% 7/15/21 7,375 7,342
2,3 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 2,100 2,409
  Citigroup Inc. 5.500% 2/15/17 10,250 10,047
  Citigroup Inc. 6.000% 8/15/17 13,775 14,693
  Citigroup Inc. 6.125% 11/21/17 10,675 11,427
  Citigroup Inc. 6.125% 5/15/18 17,100 18,363
  Citigroup Inc. 8.500% 5/22/19 8,650 10,382
  Citigroup Inc. 5.375% 8/9/20 10,676 10,992
  Comerica Bank 5.750% 11/21/16 3,225 3,589
  Comerica Bank 5.200% 8/22/17 3,025 3,321
  Compass Bank 6.400% 10/1/17 1,800 1,904
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 4.500% 1/11/21 6,175 6,661
3 Credit Suisse AG 5.860% 5/29/49 6,200 4,852
  Credit Suisse New York 6.000% 2/15/18 14,175 14,295
  Credit Suisse New York 5.300% 8/13/19 4,775 4,815
  Credit Suisse New York 5.400% 1/14/20 6,475 6,225
  Credit Suisse New York 4.375% 8/5/20 10,750 10,351
  Deutsche Bank AG 6.000% 9/1/17 13,000 14,294
  Discover Bank 8.700% 11/18/19 2,350 2,703
  Discover Bank 7.000% 4/15/20 2,400 2,549
  Fifth Third Bancorp 5.450% 1/15/17 3,750 3,974
  Fifth Third Bancorp 4.500% 6/1/18 2,250 2,211
3 Fifth Third Capital Trust IV 6.500% 4/15/67 5,750 5,462
  First Niagara Financial Group Inc. 6.750% 3/19/20 1,275 1,394
  Goldman Sachs Group Inc. 5.750% 10/1/16 2,750 2,890
  Goldman Sachs Group Inc. 5.625% 1/15/17 12,625 12,365
  Goldman Sachs Group Inc. 6.250% 9/1/17 17,075 17,760
  Goldman Sachs Group Inc. 5.950% 1/18/18 15,375 15,805
  Goldman Sachs Group Inc. 6.150% 4/1/18 15,175 15,676
  Goldman Sachs Group Inc. 7.500% 2/15/19 5,960 6,587
  Goldman Sachs Group Inc. 5.375% 3/15/20 16,800 16,629
  Goldman Sachs Group Inc. 6.000% 6/15/20 9,565 9,780
  Goldman Sachs Group Inc. 5.250% 7/27/21 14,375 14,236
2 HBOS plc 6.750% 5/21/18 925 806
  HSBC Bank USA NA 4.875% 8/24/20 9,075 8,506
  HSBC Holdings plc 5.100% 4/5/21 9,500 9,857
  HSBC USA Inc. 5.000% 9/27/20 6,500 6,137
  Huntington Bancshares Inc. 7.000% 12/15/20 4,175 4,651
  JPMorgan Chase & Co. 6.125% 6/27/17 3,900 4,269
  JPMorgan Chase & Co. 6.000% 1/15/18 25,625 28,644
  JPMorgan Chase & Co. 6.300% 4/23/19 18,525 20,934

 

 

  JPMorgan Chase & Co. 4.400% 7/22/20 11,815 11,929
  JPMorgan Chase & Co. 4.250% 10/15/20 23,525 23,426
  JPMorgan Chase & Co. 4.625% 5/10/21 2,508 2,568
  JPMorgan Chase & Co. 4.350% 8/15/21 4,275 4,317
  JPMorgan Chase Bank NA 6.000% 10/1/17 6,525 6,827
  KeyCorp 5.100% 3/24/21 2,300 2,325
  Lloyds TSB Bank plc 6.375% 1/21/21 14,725 14,479
  M&I Marshall & Ilsley Bank 4.850% 6/16/15 700 745
  M&I Marshall & Ilsley Bank 5.000% 1/17/17 2,015 2,108
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 5,425 6,004
3 Manufacturers & Traders Trust Co. 5.585% 12/28/20 2,400 2,383
  Merrill Lynch & Co. Inc. 5.700% 5/2/17 7,075 6,317
  Merrill Lynch & Co. Inc. 6.400% 8/28/17 9,750 9,310
  Merrill Lynch & Co. Inc. 6.875% 4/25/18 31,850 31,353
  Merrill Lynch & Co. Inc. 6.500% 7/15/18 4,125 3,824
  Morgan Stanley 5.750% 10/18/16 1,400 1,375
  Morgan Stanley 5.450% 1/9/17 7,325 7,070
  Morgan Stanley 5.550% 4/27/17 18,325 17,742
  Morgan Stanley 6.250% 8/28/17 12,000 11,834
  Morgan Stanley 5.950% 12/28/17 15,225 14,849
  Morgan Stanley 6.625% 4/1/18 13,430 13,394
  Morgan Stanley 7.300% 5/13/19 12,675 13,017
  Morgan Stanley 5.625% 9/23/19 17,950 16,661
  Morgan Stanley 5.500% 1/26/20 5,350 4,921
  Morgan Stanley 5.500% 7/24/20 6,925 6,281
  Morgan Stanley 5.750% 1/25/21 14,000 12,828
  Morgan Stanley 5.500% 7/28/21 5,500 5,080
  National City Bank 5.800% 6/7/17 4,000 4,376
  National City Corp. 6.875% 5/15/19 1,700 1,946
  Northern Trust Co. 6.500% 8/15/18 1,275 1,536
  Northern Trust Corp. 3.450% 11/4/20 950 964
  Northern Trust Corp. 3.375% 8/23/21 2,750 2,791
  PNC Bank NA 4.875% 9/21/17 2,950 3,091
  PNC Bank NA 6.000% 12/7/17 1,125 1,232
  PNC Funding Corp. 5.625% 2/1/17 7,625 8,291
  PNC Funding Corp. 6.700% 6/10/19 3,375 4,079
  PNC Funding Corp. 5.125% 2/8/20 6,010 6,648
  PNC Funding Corp. 4.375% 8/11/20 1,200 1,263
  Royal Bank of Scotland Group plc 4.700% 7/3/18 800 644
  Royal Bank of Scotland Group plc 6.400% 10/21/19 12,850 12,285
  Royal Bank Of Scotland NV 4.650% 6/4/18 1,925 1,758
  Royal Bank of Scotland plc 5.625% 8/24/20 925 892
  Royal Bank of Scotland plc 6.125% 1/11/21 6,325 6,262
  Sovereign Bank 8.750% 5/30/18 2,825 3,220
2,3 Standard Chartered plc 6.409% 12/31/49 1,500 1,271
  State Street Bank and Trust Co. 5.250% 10/15/18 1,000 1,104
  State Street Corp. 4.956% 3/15/18 4,175 4,410
  State Street Corp. 4.375% 3/7/21 4,500 4,864
  SunTrust Bank 7.250% 3/15/18 3,550 4,130
  SunTrust Banks Inc. 6.000% 9/11/17 1,925 2,102
  UBS AG 5.875% 12/20/17 14,775 15,136
  UBS AG 5.750% 4/25/18 15,475 15,833
  UBS AG 4.875% 8/4/20 8,375 8,020
  US Bancorp 4.125% 5/24/21 1,600 1,718
  Wachovia Bank NA 6.000% 11/15/17 5,275 5,786
  Wachovia Corp. 5.625% 10/15/16 4,000 4,296
  Wachovia Corp. 5.750% 6/15/17 10,450 11,772
  Wachovia Corp. 5.750% 2/1/18 10,450 11,832

 

 

Wells Fargo & Co. 5.625% 12/11/17 16,075 18,116
Wells Fargo & Co. 4.600% 4/1/21 10,825 11,539
Westpac Banking Corp. 4.875% 11/19/19 11,275 11,749
 
Brokerage (0.4%)        
Ameriprise Financial Inc. 7.300% 6/28/19 600 746
Ameriprise Financial Inc. 5.300% 3/15/20 4,500 4,947
BlackRock Inc. 6.250% 9/15/17 2,950 3,410
BlackRock Inc. 5.000% 12/10/19 3,900 4,317
BlackRock Inc. 4.250% 5/24/21 4,500 4,711
Charles Schwab Corp. 4.450% 7/22/20 4,050 4,259
Franklin Resources Inc. 4.625% 5/20/20 2,250 2,471
2 GFI Group Inc. 8.375% 7/19/18 1,075 1,058
Jefferies Group Inc. 5.125% 4/13/18 8,342 7,871
Jefferies Group Inc. 8.500% 7/15/19 3,375 3,692
Jefferies Group Inc. 6.875% 4/15/21 37 38
Lazard Group LLC 6.850% 6/15/17 5,525 6,060
Nomura Holdings Inc. 6.700% 3/4/20 5,100 5,934
TD Ameritrade Holding Corp. 5.600% 12/1/19 2,225 2,432
 
Finance Companies (1.1%)        
Discover Financial Services 6.450% 6/12/17 3,500 3,628
3 GE Capital Trust I 6.375% 11/15/67 425 400
General Electric Capital Corp. 5.400% 2/15/17 12,600 13,738
General Electric Capital Corp. 5.625% 9/15/17 2,450 2,672
General Electric Capital Corp. 5.625% 5/1/18 40,175 43,656
General Electric Capital Corp. 6.000% 8/7/19 6,925 7,771
General Electric Capital Corp. 5.500% 1/8/20 4,475 4,924
General Electric Capital Corp. 5.550% 5/4/20 3,025 3,363
General Electric Capital Corp. 4.375% 9/16/20 8,425 8,530
General Electric Capital Corp. 4.625% 1/7/21 1,800 1,861
General Electric Capital Corp. 5.300% 2/11/21 8,300 8,542
3 General Electric Capital Corp. 6.375% 11/15/67 14,525 13,653
2 HSBC Finance Corp. 6.676% 1/15/21 16,659 16,396
SLM Corp. 8.450% 6/15/18 11,375 11,833
SLM Corp. 8.000% 3/25/20 5,250 5,200
 
Insurance (2.1%)        
ACE INA Holdings Inc. 5.700% 2/15/17 2,400 2,708
ACE INA Holdings Inc. 5.800% 3/15/18 1,850 2,127
ACE INA Holdings Inc. 5.900% 6/15/19 1,925 2,269
Aetna Inc. 6.500% 9/15/18 1,450 1,760
Aetna Inc. 4.125% 6/1/21 6,675 7,061
Aflac Inc. 8.500% 5/15/19 3,400 4,209
Alleghany Corp. 5.625% 9/15/20 1,450 1,525
Allstate Corp. 6.750% 5/15/18 1,000 1,164
Allstate Corp. 7.450% 5/16/19 2,000 2,448
3 Allstate Corp. 6.125% 5/15/67 2,575 2,292
Alterra Finance LLC 6.250% 9/30/20 1,565 1,681
American Financial Group Inc. 9.875% 6/15/19 2,625 3,261
American International Group Inc. 5.600% 10/18/16 875 862
American International Group Inc. 5.450% 5/18/17 6,425 6,101
American International Group Inc. 5.850% 1/16/18 13,125 13,051
American International Group Inc. 8.250% 8/15/18 8,620 9,591
American International Group Inc. 6.400% 12/15/20 8,990 9,122
AON Corp. 5.000% 9/30/20 1,100 1,203
Aspen Insurance Holdings Ltd. 6.000% 12/15/20 1,075 1,133
Axis Specialty Finance LLC 5.875% 6/1/20 4,975 5,117

 

 

Berkshire Hathaway Finance Corp. 5.400% 5/15/18 5,400 6,173
Berkshire Hathaway Finance Corp. 4.250% 1/15/21 2,575 2,715
Chubb Corp. 5.750% 5/15/18 3,500 4,129
3 Chubb Corp. 6.375% 3/29/67 3,975 3,839
CIGNA Corp. 5.125% 6/15/20 1,491 1,624
CIGNA Corp. 4.375% 12/15/20 650 673
CIGNA Corp. 4.500% 3/15/21 3,700 3,827
CNA Financial Corp. 7.350% 11/15/19 2,240 2,507
CNA Financial Corp. 5.875% 8/15/20 1,800 1,839
CNA Financial Corp. 5.750% 8/15/21 925 935
Coventry Health Care Inc. 5.950% 3/15/17 3,000 3,348
Coventry Health Care Inc. 5.450% 6/15/21 1,250 1,346
Genworth Financial Inc. 8.625% 12/15/16 3,500 3,496
Genworth Financial Inc. 7.700% 6/15/20 1,000 892
Genworth Financial Inc. 7.200% 2/15/21 575 495
Genworth Financial Inc. 7.625% 9/24/21 1,225 1,053
Hanover Insurance Group Inc. 6.375% 6/15/21 425 454
Hartford Financial Services Group Inc. 5.500% 10/15/16 4,525 4,668
Hartford Financial Services Group Inc. 5.375% 3/15/17 2,200 2,246
Hartford Financial Services Group Inc. 6.000% 1/15/19 875 885
Hartford Financial Services Group Inc. 5.500% 3/30/20 510 503
HCC Insurance Holdings Inc. 6.300% 11/15/19 1,600 1,776
Humana Inc. 7.200% 6/15/18 5,205 6,182
Humana Inc. 6.300% 8/1/18 785 891
Lincoln National Corp. 8.750% 7/1/19 6,451 7,656
Lincoln National Corp. 6.250% 2/15/20 3,250 3,489
Manulife Financial Corp. 4.900% 9/17/20 3,250 3,343
Markel Corp. 7.125% 9/30/19 1,617 1,884
Marsh & McLennan Cos. Inc. 9.250% 4/15/19 1,950 2,609
Marsh & McLennan Cos. Inc. 4.800% 7/15/21 2,550 2,691
MetLife Inc. 6.817% 8/15/18 5,500 6,473
MetLife Inc. 7.717% 2/15/19 3,829 4,669
MetLife Inc. 4.750% 2/8/21 3,675 3,813
PartnerRe Finance B LLC 5.500% 6/1/20 4,700 4,861
Principal Financial Group Inc. 8.875% 5/15/19 1,750 2,227
Progressive Corp. 3.750% 8/23/21 1,900 1,946
3 Progressive Corp. 6.700% 6/15/67 4,650 4,580
Protective Life Corp. 7.375% 10/15/19 1,600 1,770
Prudential Financial Inc. 6.000% 12/1/17 6,150 6,561
Prudential Financial Inc. 7.375% 6/15/19 6,695 7,955
Prudential Financial Inc. 5.375% 6/21/20 3,500 3,727
Reinsurance Group of America Inc. 5.000% 6/1/21 3,500 3,648
Swiss Re Solutions Holding Corp. 6.450% 3/1/19 400 438
Travelers Cos. Inc. 5.750% 12/15/17 3,550 4,069
Travelers Cos. Inc. 5.800% 5/15/18 3,225 3,730
Travelers Cos. Inc. 5.900% 6/2/19 3,075 3,543
UnitedHealth Group Inc. 6.000% 6/15/17 2,775 3,194
UnitedHealth Group Inc. 6.000% 2/15/18 10,220 12,161
UnitedHealth Group Inc. 4.700% 2/15/21 2,325 2,570
Unum Group 5.625% 9/15/20 1,650 1,766
WellPoint Inc. 5.250% 1/15/16 5,900 6,543
WellPoint Inc. 5.875% 6/15/17 4,600 5,252
WellPoint Inc. 4.350% 8/15/20 2,005 2,133
Willis Group Holdings plc 5.750% 3/15/21 3,750 3,929
Willis North America Inc. 6.200% 3/28/17 1,625 1,776
Willis North America Inc. 7.000% 9/29/19 3,250 3,695
WR Berkley Corp. 5.375% 9/15/20 2,250 2,342

 

 

XL Group Ltd. 5.750% 10/1/21 1,725 1,716
 
Other Finance (0.0%)        
NASDAQ OMX Group Inc. 5.550% 1/15/20 2,700 2,690
XTRA Finance Corp. 5.150% 4/1/17 1,600 1,804
 
Real Estate Investment Trusts (1.0%)        
Boston Properties LP 5.875% 10/15/19 875 964
Boston Properties LP 5.625% 11/15/20 4,775 5,226
Boston Properties LP 4.125% 5/15/21 2,095 2,041
Brandywine Operating Partnership LP 5.700% 5/1/17 3,025 3,085
Camden Property Trust 5.700% 5/15/17 1,800 1,970
CommonWealth REIT 6.250% 6/15/17 3,200 3,519
Digital Realty Trust LP 5.250% 3/15/21 5,575 5,552
Duke Realty LP 5.950% 2/15/17 4,975 5,277
Duke Realty LP 8.250% 8/15/19 1,125 1,296
Duke Realty LP 6.750% 3/15/20 350 364
ERP Operating LP 5.750% 6/15/17 1,675 1,864
ERP Operating LP 4.750% 7/15/20 2,250 2,361
HCP Inc. 6.000% 1/30/17 2,875 3,037
HCP Inc. 6.700% 1/30/18 4,500 4,895
HCP Inc. 5.375% 2/1/21 10,120 10,169
Health Care REIT Inc. 4.700% 9/15/17 1,850 1,866
Health Care REIT Inc. 6.125% 4/15/20 2,250 2,328
Health Care REIT Inc. 4.950% 1/15/21 2,425 2,353
Healthcare Realty Trust Inc. 6.500% 1/17/17 1,200 1,307
Hospitality Properties Trust 5.625% 3/15/17 3,150 3,234
Kilroy Realty LP 4.800% 7/15/18 5,950 5,747
Kimco Realty Corp. 6.875% 10/1/19 2,957 3,373
Liberty Property LP 5.500% 12/15/16 113 123
Liberty Property LP 6.625% 10/1/17 2,000 2,288
Liberty Property LP 4.750% 10/1/20 2,410 2,400
Mack-Cali Realty LP 7.750% 8/15/19 975 1,157
National Retail Properties Inc. 6.875% 10/15/17 3,000 3,350
ProLogis LP 4.500% 8/15/17 1,200 1,132
ProLogis LP 7.375% 10/30/19 2,600 2,790
ProLogis LP 6.625% 12/1/19 2,225 2,360
ProLogis LP 6.875% 3/15/20 5,300 5,601
Realty Income Corp. 6.750% 8/15/19 3,150 3,624
Realty Income Corp. 5.750% 1/15/21 1,000 1,062
Regency Centers LP 5.875% 6/15/17 3,000 3,267
Simon Property Group LP 5.250% 12/1/16 8,675 9,392
Simon Property Group LP 6.125% 5/30/18 3,225 3,640
Simon Property Group LP 5.650% 2/1/20 10,800 11,924
Simon Property Group LP 4.375% 3/1/21 1,235 1,252
UDR Inc. 4.250% 6/1/18 850 869
Ventas Realty LP / Ventas Capital Corp. 4.750% 6/1/21 2,650 2,559
        1,660,680
Industrial (19.8%)        
Basic Industry (2.4%)        
Agrium Inc. 6.750% 1/15/19 1,750 2,118
Albemarle Corp. 4.500% 12/15/20 1,050 1,131
Alcoa Inc. 5.550% 2/1/17 4,850 5,034
Alcoa Inc. 6.750% 7/15/18 9,800 10,424
Alcoa Inc. 6.150% 8/15/20 3,250 3,292
Alcoa Inc. 5.400% 4/15/21 7,025 6,694
Allegheny Technologies Inc. 5.950% 1/15/21 3,735 3,851

 

 

AngloGold Ashanti Holdings plc 5.375% 4/15/20 2,660 2,654
ArcelorMittal 6.125% 6/1/18 9,343 9,054
ArcelorMittal 9.850% 6/1/19 8,250 9,410
ArcelorMittal 5.250% 8/5/20 325 296
ArcelorMittal 5.500% 3/1/21 10,975 9,835
Barrick Gold Corp. 6.950% 4/1/19 6,100 7,406
Barrick North America Finance LLC 6.800% 9/15/18 2,150 2,627
Barrick North America Finance LLC 4.400% 5/30/21 3,575 3,661
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 2,300 2,610
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 9,150 11,176
Carpenter Technology Corp. 5.200% 7/15/21 2,350 2,340
Celulosa Arauco y Constitucion SA 7.250% 7/29/19 2,000 2,339
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 1,525 1,530
Cliffs Natural Resources Inc. 5.900% 3/15/20 1,525 1,602
Cliffs Natural Resources Inc. 4.875% 4/1/21 5,150 4,964
Commercial Metals Co. 6.500% 7/15/17 1,650 1,728
Commercial Metals Co. 7.350% 8/15/18 2,175 2,245
Cytec Industries Inc. 8.950% 7/1/17 1,750 2,208
Dow Chemical Co. 4.250% 11/15/20 19,975 19,994
Eastman Chemical Co. 5.500% 11/15/19 650 734
Eastman Chemical Co. 4.500% 1/15/21 1,000 1,038
EI du Pont de Nemours & Co. 5.250% 12/15/16 5,925 6,859
EI du Pont de Nemours & Co. 6.000% 7/15/18 10,375 12,679
EI du Pont de Nemours & Co. 4.625% 1/15/20 4,450 5,009
EI du Pont de Nemours & Co. 4.250% 4/1/21 350 383
Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 12,025 12,882
International Paper Co. 7.950% 6/15/18 7,200 8,326
International Paper Co. 9.375% 5/15/19 3,775 4,659
International Paper Co. 7.500% 8/15/21 5,490 6,359
2 Kinross Gold Corp. 5.125% 9/1/21 2,300 2,303
Lubrizol Corp. 8.875% 2/1/19 850 1,149
Monsanto Co. 5.125% 4/15/18 925 1,076
2 Mosaic Co. 7.625% 12/1/16 4,000 4,190
Newmont Mining Corp. 5.125% 10/1/19 4,025 4,431
Nucor Corp. 5.750% 12/1/17 825 972
Nucor Corp. 5.850% 6/1/18 3,275 3,900
Plum Creek Timberlands LP 4.700% 3/15/21 950 957
Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 7,175 7,486
PPG Industries Inc. 6.650% 3/15/18 3,425 4,219
PPG Industries Inc. 3.600% 11/15/20 3,500 3,622
Praxair Inc. 5.375% 11/1/16 700 819
Praxair Inc. 5.200% 3/15/17 1,500 1,743
Praxair Inc. 4.500% 8/15/19 2,450 2,759
Praxair Inc. 3.000% 9/1/21 4,925 4,926
Reliance Steel & Aluminum Co. 6.200% 11/15/16 650 686
Rio Tinto Finance USA Ltd. 6.500% 7/15/18 17,650 21,105
Rio Tinto Finance USA Ltd. 9.000% 5/1/19 3,825 5,145
Rio Tinto Finance USA Ltd. 4.125% 5/20/21 2,650 2,730
Rio Tinto Finance USA Ltd. 3.750% 9/20/21 3,450 3,448
Rohm & Haas Co. 6.000% 9/15/17 5,825 6,690
RPM International Inc. 6.125% 10/15/19 2,575 2,785
Sigma-Aldrich Corp. 3.375% 11/1/20 550 564
Southern Copper Corp. 5.375% 4/16/20 1,725 1,747
Teck Resources Ltd. 3.150% 1/15/17 1,850 1,862
Teck Resources Ltd. 10.750% 5/15/19 7,250 9,017
Vale Overseas Ltd. 6.250% 1/23/17 2,750 2,985
Vale Overseas Ltd. 5.625% 9/15/19 4,350 4,530
Vale Overseas Ltd. 4.625% 9/15/20 7,300 7,066

 

 

Valspar Corp. 7.250% 6/15/19 1,275 1,548
 
Capital Goods (2.1%)        
Acuity Brands Lighting Inc. 6.000% 12/15/19 1,675 1,827
Allied Waste North America Inc. 6.875% 6/1/17 5,000 5,331
Bemis Co. Inc. 6.800% 8/1/19 2,300 2,762
Black & Decker Corp. 5.750% 11/15/16 1,925 2,230
Boeing Capital Corp. 2.900% 8/15/18 550 573
Boeing Co. 6.000% 3/15/19 6,975 8,525
Boeing Co. 4.875% 2/15/20 850 972
Caterpillar Financial Services Corp. 5.450% 4/15/18 7,950 9,367
Caterpillar Financial Services Corp. 7.050% 10/1/18 3,500 4,488
Caterpillar Financial Services Corp. 7.150% 2/15/19 7,250 9,342
Caterpillar Inc. 3.900% 5/27/21 3,825 4,144
Cooper US Inc. 3.875% 12/15/20 1,000 1,064
CRH America Inc. 8.125% 7/15/18 4,425 5,182
Danaher Corp. 5.625% 1/15/18 1,200 1,443
Danaher Corp. 5.400% 3/1/19 1,300 1,562
Danaher Corp. 3.900% 6/23/21 4,000 4,299
Deere & Co. 4.375% 10/16/19 700 791
Dover Corp. 5.450% 3/15/18 900 1,069
Dover Corp. 4.300% 3/1/21 5,500 6,151
Eaton Corp. 5.600% 5/15/18 3,825 4,511
Embraer Overseas Ltd. 6.375% 1/24/17 1,550 1,673
Embraer Overseas Ltd. 6.375% 1/15/20 2,800 3,030
Emerson Electric Co. 5.125% 12/1/16 375 437
Emerson Electric Co. 5.375% 10/15/17 5,000 5,850
Emerson Electric Co. 5.250% 10/15/18 850 1,001
Emerson Electric Co. 4.875% 10/15/19 1,450 1,685
General Dynamics Corp. 3.875% 7/15/21 2,900 3,148
General Electric Co. 5.250% 12/6/17 20,225 22,547
Goodrich Corp. 6.125% 3/1/19 3,472 4,178
Goodrich Corp. 4.875% 3/1/20 2,000 2,244
Goodrich Corp. 3.600% 2/1/21 1,050 1,087
Harsco Corp. 5.750% 5/15/18 4,550 5,264
Honeywell International Inc. 5.300% 3/15/17 1,000 1,162
Honeywell International Inc. 5.300% 3/1/18 4,025 4,725
Honeywell International Inc. 5.000% 2/15/19 3,250 3,763
Honeywell International Inc. 4.250% 3/1/21 2,000 2,216
Illinois Tool Works Inc. 6.250% 4/1/19 5,900 7,381
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 6,100 7,489
John Deere Capital Corp. 5.500% 4/13/17 2,300 2,695
John Deere Capital Corp. 2.800% 9/18/17 1,075 1,118
John Deere Capital Corp. 5.750% 9/10/18 10,100 12,251
John Deere Capital Corp. 3.900% 7/12/21 2,050 2,222
Joy Global Inc. 6.000% 11/15/16 1,275 1,441
L-3 Communications Corp. 5.200% 10/15/19 4,075 4,208
L-3 Communications Corp. 4.750% 7/15/20 2,700 2,798
L-3 Communications Corp. 4.950% 2/15/21 8,225 8,437
Lockheed Martin Corp. 4.250% 11/15/19 4,800 5,198
Lockheed Martin Corp. 3.350% 9/15/21 2,600 2,570
Martin Marietta Materials Inc. 6.600% 4/15/18 2,050 2,315
Northrop Grumman Corp. 3.500% 3/15/21 5,750 5,816
Owens Corning 6.500% 12/1/16 4,850 5,214
Parker Hannifin Corp. 5.500% 5/15/18 2,000 2,383
Raytheon Co. 6.400% 12/15/18 500 613
Raytheon Co. 4.400% 2/15/20 1,225 1,332
Raytheon Co. 3.125% 10/15/20 4,800 4,766

 

 

Republic Services Inc. 3.800% 5/15/18 2,430 2,531
Republic Services Inc. 5.500% 9/15/19 1,825 2,069
Republic Services Inc. 5.000% 3/1/20 6,025 6,652
Republic Services Inc. 5.250% 11/15/21 963 1,081
Rockwell Collins Inc. 5.250% 7/15/19 650 763
Roper Industries Inc. 6.250% 9/1/19 2,900 3,456
Textron Inc. 5.600% 12/1/17 2,700 2,829
Tyco International Finance SA 3.750% 1/15/18 2,175 2,257
Tyco International Finance SA 8.500% 1/15/19 3,650 4,757
Tyco International Ltd. / Tyco International        
Finance SA 7.000% 12/15/19 850 1,046
United Technologies Corp. 5.375% 12/15/17 3,850 4,456
United Technologies Corp. 6.125% 2/1/19 8,000 9,835
United Technologies Corp. 4.500% 4/15/20 2,350 2,622
Waste Management Inc. 6.375% 11/15/12 1,000 1,056
Waste Management Inc. 7.375% 3/11/19 1,450 1,818
Waste Management Inc. 4.750% 6/30/20 6,675 7,268
Waste Management Inc. 4.600% 3/1/21 1,400 1,509
 
Communication (3.2%)        
America Movil SAB de CV 5.000% 10/16/19 7,500 7,977
America Movil SAB de CV 5.000% 3/30/20 8,800 9,299
American Tower Corp. 4.500% 1/15/18 5,000 4,963
American Tower Corp. 5.050% 9/1/20 8,070 7,924
AT&T Inc. 5.500% 2/1/18 12,350 14,299
AT&T Inc. 5.600% 5/15/18 4,450 5,197
AT&T Inc. 5.800% 2/15/19 11,175 13,170
AT&T Inc. 4.450% 5/15/21 2,575 2,768
AT&T Inc. 3.875% 8/15/21 4,450 4,565
BellSouth Corp. 5.200% 12/15/16 1,025 1,167
British Telecommunications plc 5.950% 1/15/18 4,575 5,131
CBS Corp. 8.875% 5/15/19 6,350 8,106
CBS Corp. 5.750% 4/15/20 220 242
CBS Corp. 4.300% 2/15/21 3,300 3,331
Cellco Partnership / Verizon Wireless Capital        
LLC 8.500% 11/15/18 13,550 18,200
CenturyLink Inc. 6.000% 4/1/17 2,475 2,415
CenturyLink Inc. 6.150% 9/15/19 500 473
CenturyLink Inc. 6.450% 6/15/21 8,575 7,972
Comcast Cable Communications LLC 8.875% 5/1/17 1,700 2,175
Comcast Corp. 6.500% 1/15/17 1,575 1,846
Comcast Corp. 6.300% 11/15/17 7,125 8,370
Comcast Corp. 5.875% 2/15/18 5,375 6,228
Comcast Corp. 5.700% 5/15/18 3,600 4,142
Comcast Corp. 5.700% 7/1/19 1,075 1,253
Comcast Corp. 5.150% 3/1/20 11,550 13,011
Deutsche Telekom International Finance BV 6.750% 8/20/18 4,250 5,068
Deutsche Telekom International Finance BV 6.000% 7/8/19 625 723
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.875% 10/1/19 4,150 4,676
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.200% 3/15/20 8,000 8,601
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.000% 3/1/21 6,000 6,342
Discovery Communications LLC 5.050% 6/1/20 6,300 6,873
Discovery Communications LLC 4.375% 6/15/21 2,150 2,213
France Telecom SA 5.375% 7/8/19 5,100 5,582
France Telecom SA 4.125% 9/14/21 3,125 3,107

 

 

GTE Corp. 6.840% 4/15/18 1,000 1,215
McGraw-Hill Cos. Inc. 5.900% 11/15/17 2,950 3,204
NBCUniversal Media LLC 5.150% 4/30/20 11,625 12,712
NBCUniversal Media LLC 4.375% 4/1/21 5,390 5,567
News America Inc. 6.900% 3/1/19 10,800 12,485
News America Inc. 4.500% 2/15/21 4,500 4,521
Omnicom Group Inc. 4.450% 8/15/20 4,000 4,042
Qwest Corp. 6.500% 6/1/17 4,000 4,134
Reed Elsevier Capital Inc. 8.625% 1/15/19 4,128 5,306
Rogers Communications Inc. 6.800% 8/15/18 4,465 5,408
Telecom Italia Capital SA 6.999% 6/4/18 2,625 2,625
Telecom Italia Capital SA 7.175% 6/18/19 7,555 7,651
Telefonica Emisiones SAU 5.877% 7/15/19 2,000 1,966
Telefonica Emisiones SAU 5.134% 4/27/20 6,600 6,135
Telefonica Emisiones SAU 5.462% 2/16/21 14,000 13,362
Thomson Reuters Corp. 6.500% 7/15/18 3,950 4,684
Thomson Reuters Corp. 4.700% 10/15/19 1,000 1,105
Thomson Reuters Corp. 3.950% 9/30/21 2,875 2,904
Time Warner Cable Inc. 5.850% 5/1/17 15,625 17,315
Time Warner Cable Inc. 6.750% 7/1/18 11,900 13,810
Time Warner Cable Inc. 8.750% 2/14/19 1,575 2,007
Time Warner Cable Inc. 8.250% 4/1/19 5,475 6,845
Time Warner Cable Inc. 5.000% 2/1/20 8,910 9,498
Time Warner Cable Inc. 4.000% 9/1/21 3,000 2,950
Verizon Communications Inc. 5.500% 2/15/18 10,725 12,434
Verizon Communications Inc. 6.100% 4/15/18 2,250 2,675
Verizon Communications Inc. 8.750% 11/1/18 11,075 14,936
Verizon Communications Inc. 6.350% 4/1/19 7,500 9,028
Verizon Communications Inc. 4.600% 4/1/21 10,525 11,676
Virgin Media Secured Finance plc 5.250% 1/15/21 3,000 3,210
Vodafone Group plc 5.625% 2/27/17 7,150 8,253
Vodafone Group plc 4.625% 7/15/18 1,000 1,109
Vodafone Group plc 5.450% 6/10/19 2,400 2,829
Vodafone Group plc 4.375% 3/16/21 2,000 2,170
Washington Post Co. 7.250% 2/1/19 1,075 1,279
 
Consumer Cyclical (2.0%)        
AutoZone Inc. 7.125% 8/1/18 2,050 2,476
AutoZone Inc. 4.000% 11/15/20 700 702
Best Buy Co. Inc. 5.500% 3/15/21 3,150 2,856
BorgWarner Inc. 4.625% 9/15/20 950 1,027
Costco Wholesale Corp. 5.500% 3/15/17 4,675 5,530
CVS Caremark Corp. 5.750% 6/1/17 13,600 15,619
CVS Caremark Corp. 6.600% 3/15/19 4,635 5,601
CVS Caremark Corp. 4.125% 5/15/21 1,000 1,043
Darden Restaurants Inc. 6.200% 10/15/17 4,025 4,688
eBay Inc. 3.250% 10/15/20 2,175 2,149
Expedia Inc. 5.950% 8/15/20 9,275 9,270
Family Dollar Stores Inc. 5.000% 2/1/21 1,450 1,420
Gap Inc. 5.950% 4/12/21 4,200 3,927
Home Depot Inc. 3.950% 9/15/20 400 423
Home Depot Inc. 4.400% 4/1/21 8,350 9,088
Hyatt Hotels Corp. 5.375% 8/15/21 900 927
International Game Technology 7.500% 6/15/19 2,100 2,506
International Game Technology 5.500% 6/15/20 650 702
Johnson Controls Inc. 5.000% 3/30/20 2,850 3,193
Johnson Controls Inc. 4.250% 3/1/21 650 686
Kohl's Corp. 6.250% 12/15/17 4,000 4,784

 

 

Lowe's Cos. Inc. 5.400% 10/15/16 4,525 5,240
Lowe's Cos. Inc. 6.100% 9/15/17 600 723
Lowe's Cos. Inc. 4.625% 4/15/20 2,450 2,675
Lowe's Cos. Inc. 3.750% 4/15/21 500 516
Macy's Retail Holdings Inc. 5.900% 12/1/16 5,450 5,958
Marriott International Inc. 6.375% 6/15/17 2,450 2,840
McDonald's Corp. 5.300% 3/15/17 750 874
McDonald's Corp. 5.800% 10/15/17 3,950 4,767
McDonald's Corp. 5.350% 3/1/18 4,775 5,679
McDonald's Corp. 5.000% 2/1/19 725 851
Nordstrom Inc. 6.250% 1/15/18 2,700 3,197
Nordstrom Inc. 4.750% 5/1/20 4,150 4,545
O'Reilly Automotive Inc. 4.875% 1/14/21 1,825 1,882
O'Reilly Automotive Inc. 4.625% 9/15/21 625 626
Target Corp. 6.000% 1/15/18 5,375 6,546
Target Corp. 3.875% 7/15/20 7,200 7,789
Time Warner Inc. 5.875% 11/15/16 9,600 10,882
Time Warner Inc. 4.875% 3/15/20 7,100 7,590
Time Warner Inc. 4.700% 1/15/21 3,000 3,160
Time Warner Inc. 4.750% 3/29/21 8,575 9,032
TJX Cos. Inc. 6.950% 4/15/19 4,325 5,466
Toyota Motor Credit Corp. 4.500% 6/17/20 3,300 3,622
Toyota Motor Credit Corp. 4.250% 1/11/21 1,475 1,604
Toyota Motor Credit Corp. 3.400% 9/15/21 4,375 4,376
VF Corp. 5.950% 11/1/17 1,125 1,336
VF Corp. 3.500% 9/1/21 1,575 1,591
Viacom Inc. 3.500% 4/1/17 5,350 5,421
Viacom Inc. 6.125% 10/5/17 50 57
Viacom Inc. 5.625% 9/15/19 7,175 8,104
Wal-Mart Stores Inc. 5.375% 4/5/17 2,575 3,042
Wal-Mart Stores Inc. 5.800% 2/15/18 7,125 8,660
Wal-Mart Stores Inc. 3.625% 7/8/20 4,800 5,138
Wal-Mart Stores Inc. 3.250% 10/25/20 10,900 11,355
Wal-Mart Stores Inc. 4.250% 4/15/21 3,050 3,432
Walgreen Co. 5.250% 1/15/19 5,800 6,873
Walt Disney Co. 5.875% 12/15/17 2,600 3,128
Walt Disney Co. 3.750% 6/1/21 600 640
Walt Disney Co. 2.750% 8/16/21 5,575 5,496
Western Union Co. 5.930% 10/1/16 3,800 4,263
Western Union Co. 3.650% 8/22/18 2,600 2,650
Yum! Brands Inc. 6.250% 3/15/18 7,125 8,442
 
Consumer Noncyclical (5.1%)        
Abbott Laboratories 5.600% 11/30/17 8,500 10,082
Abbott Laboratories 5.125% 4/1/19 5,200 6,136
Abbott Laboratories 4.125% 5/27/20 4,225 4,698
Allergan Inc. 3.375% 9/15/20 3,000 3,100
Altria Group Inc. 9.700% 11/10/18 22,400 29,638
Altria Group Inc. 9.250% 8/6/19 3,800 4,993
Altria Group Inc. 4.750% 5/5/21 8,900 9,256
Amgen Inc. 5.850% 6/1/17 8,675 10,332
Amgen Inc. 5.700% 2/1/19 3,025 3,625
Amgen Inc. 3.450% 10/1/20 6,425 6,638
Amgen Inc. 4.100% 6/15/21 3,100 3,340
Anheuser-Busch Cos. Inc. 5.600% 3/1/17 4,100 4,742
Anheuser-Busch Cos. Inc. 5.500% 1/15/18 3,900 4,562
Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 6,075 7,913
Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 6,325 8,048

 

 

Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 17,950 20,887
Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 2,800 3,217
Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 1,175 1,304
Archer-Daniels-Midland Co. 8.375% 4/15/17 1,375 1,783
Archer-Daniels-Midland Co. 5.450% 3/15/18 2,050 2,427
Archer-Daniels-Midland Co. 4.479% 3/1/21 4,625 5,159
AstraZeneca plc 5.900% 9/15/17 7,625 9,135
Avon Products Inc. 5.750% 3/1/18 1,856 2,126
Avon Products Inc. 6.500% 3/1/19 385 455
Baxter International Inc. 5.375% 6/1/18 3,500 4,123
Baxter International Inc. 4.250% 3/15/20 3,000 3,312
Becton Dickinson and Co. 5.000% 5/15/19 2,975 3,448
Becton Dickinson and Co. 3.250% 11/12/20 1,500 1,545
Biogen Idec Inc. 6.875% 3/1/18 1,950 2,380
Boston Scientific Corp. 5.125% 1/12/17 2,500 2,683
Boston Scientific Corp. 6.000% 1/15/20 5,050 5,636
Bottling Group LLC 5.125% 1/15/19 6,470 7,529
Bristol-Myers Squibb Co. 5.450% 5/1/18 1,425 1,706
Bunge Ltd. Finance Corp. 8.500% 6/15/19 7,375 9,055
Campbell Soup Co. 3.050% 7/15/17 1,850 1,962
Campbell Soup Co. 4.250% 4/15/21 1,550 1,705
Cardinal Health Inc. 4.625% 12/15/20 3,125 3,392
CareFusion Corp. 6.375% 8/1/19 2,750 3,302
Celgene Corp. 3.950% 10/15/20 925 953
Clorox Co. 5.950% 10/15/17 4,000 4,373
Coca-Cola Co. 5.350% 11/15/17 4,925 5,843
Coca-Cola Co. 4.875% 3/15/19 2,400 2,784
Coca-Cola Co. 3.150% 11/15/20 6,500 6,731
2 Coca-Cola Co. 3.300% 9/1/21 2,525 2,632
Coca-Cola Enterprises Inc. 3.500% 9/15/20 1,600 1,645
Coca-Cola Femsa SAB de CV 4.625% 2/15/20 2,000 2,118
Colgate-Palmolive Co. 2.625% 5/1/17 3,060 3,226
ConAgra Foods Inc. 5.819% 6/15/17 1,500 1,647
ConAgra Foods Inc. 7.000% 4/15/19 500 604
Corn Products International Inc. 4.625% 11/1/20 650 688
Covidien International Finance SA 6.000% 10/15/17 7,925 9,412
CR Bard Inc. 4.400% 1/15/21 2,000 2,238
Delhaize Group SA 6.500% 6/15/17 2,800 3,272
DENTSPLY International Inc. 4.125% 8/15/21 2,000 2,094
Diageo Capital plc 5.750% 10/23/17 4,800 5,646
Diageo Capital plc 4.828% 7/15/20 975 1,096
Dr Pepper Snapple Group Inc. 6.820% 5/1/18 4,250 5,296
Eli Lilly & Co. 5.200% 3/15/17 4,925 5,711
2 Energizer Holdings Inc. 4.700% 5/19/21 2,300 2,462
Express Scripts Inc. 7.250% 6/15/19 2,050 2,532
General Mills Inc. 5.700% 2/15/17 5,750 6,735
General Mills Inc. 5.650% 2/15/19 5,775 6,864
Gilead Sciences Inc. 4.500% 4/1/21 4,300 4,624
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 14,550 17,606
Hasbro Inc. 6.300% 9/15/17 2,175 2,476
Hormel Foods Corp. 4.125% 4/15/21 875 971
Hospira Inc. 6.050% 3/30/17 2,000 2,308
Johnson & Johnson 5.550% 8/15/17 550 664
Johnson & Johnson 5.150% 7/15/18 7,325 8,870
Johnson & Johnson 2.950% 9/1/20 2,000 2,121
Kellogg Co. 3.250% 5/21/18 1,325 1,393
Kellogg Co. 4.150% 11/15/19 4,350 4,778
Kellogg Co. 4.000% 12/15/20 4,275 4,603

 

 

Kimberly-Clark Corp. 6.125% 8/1/17 7,000 8,415
Kimberly-Clark Corp. 6.250% 7/15/18 675 834
Kimberly-Clark Corp. 3.625% 8/1/20 1,000 1,072
Kimberly-Clark Corp. 3.875% 3/1/21 2,095 2,301
Koninklijke Philips Electronics NV 5.750% 3/11/18 8,800 10,102
Kraft Foods Inc. 6.500% 8/11/17 13,450 15,954
Kraft Foods Inc. 6.125% 2/1/18 5,150 6,042
Kraft Foods Inc. 6.125% 8/23/18 700 829
Kraft Foods Inc. 5.375% 2/10/20 20,100 22,718
Kroger Co. 6.400% 8/15/17 2,350 2,785
Kroger Co. 6.150% 1/15/20 5,369 6,488
Laboratory Corp. of America Holdings 4.625% 11/15/20 3,000 3,243
Life Technologies Corp. 6.000% 3/1/20 5,250 5,813
Life Technologies Corp. 5.000% 1/15/21 3,875 4,018
Lorillard Tobacco Co. 8.125% 6/23/19 4,425 5,206
McCormick & Co. Inc. 3.900% 7/15/21 1,850 1,971
McKesson Corp. 5.700% 3/1/17 1,000 1,173
McKesson Corp. 7.500% 2/15/19 1,825 2,356
McKesson Corp. 4.750% 3/1/21 7,125 8,104
Mead Johnson Nutrition Co. 4.900% 11/1/19 5,725 6,379
Medco Health Solutions Inc. 7.125% 3/15/18 9,800 11,829
Medtronic Inc. 5.600% 3/15/19 1,525 1,838
Medtronic Inc. 4.450% 3/15/20 4,075 4,601
Merck & Co. Inc. 6.000% 9/15/17 1,925 2,347
Merck & Co. Inc. 5.000% 6/30/19 5,525 6,574
Merck & Co. Inc. 3.875% 1/15/21 8,000 8,721
Novant Health Inc. 5.850% 11/1/19 1,300 1,508
Novartis Capital Corp. 4.400% 4/24/20 3,300 3,735
Novartis Securities Investment Ltd. 5.125% 2/10/19 13,625 16,125
PepsiAmericas Inc. 5.000% 5/15/17 750 859
PepsiCo Inc. 5.000% 6/1/18 9,200 10,720
PepsiCo Inc. 7.900% 11/1/18 8,700 11,656
PepsiCo Inc. 4.500% 1/15/20 1,900 2,139
PepsiCo Inc. 3.125% 11/1/20 2,000 2,051
Pfizer Inc. 6.200% 3/15/19 20,600 25,626
Philip Morris International Inc. 5.650% 5/16/18 16,375 19,373
Procter & Gamble Co. 4.700% 2/15/19 6,426 7,566
Quest Diagnostics Inc. 6.400% 7/1/17 1,325 1,575
Quest Diagnostics Inc. 4.750% 1/30/20 1,100 1,177
Quest Diagnostics Inc. 4.700% 4/1/21 1,000 1,081
Reynolds American Inc. 6.750% 6/15/17 6,500 7,479
Safeway Inc. 6.350% 8/15/17 3,400 3,942
Safeway Inc. 5.000% 8/15/19 2,750 3,000
Safeway Inc. 3.950% 8/15/20 1,500 1,505
Sanofi 4.000% 3/29/21 14,900 16,062
Sara Lee Corp. 4.100% 9/15/20 325 329
St. Jude Medical Inc. 4.875% 7/15/19 2,757 3,132
Stryker Corp. 4.375% 1/15/20 1,950 2,144
Sysco Corp. 5.250% 2/12/18 2,500 2,940
Thermo Fisher Scientific Inc. 4.700% 5/1/20 650 730
Thermo Fisher Scientific Inc. 4.500% 3/1/21 1,850 2,057
Thermo Fisher Scientific Inc. 3.600% 8/15/21 4,700 4,875
Unilever Capital Corp. 4.800% 2/15/19 2,475 2,891
Unilever Capital Corp. 4.250% 2/10/21 3,000 3,417
UST LLC 5.750% 3/1/18 975 1,105
Wyeth 5.450% 4/1/17 1,725 2,020
Zimmer Holdings Inc. 4.625% 11/30/19 3,175 3,510

 

 

Energy (2.5%)        
Anadarko Petroleum Corp. 6.375% 9/15/17 11,500 12,877
Anadarko Petroleum Corp. 6.950% 6/15/19 2,700 3,104
Apache Corp. 5.625% 1/15/17 625 742
Apache Corp. 6.900% 9/15/18 3,800 4,786
Apache Corp. 3.625% 2/1/21 1,900 1,990
Baker Hughes Inc. 7.500% 11/15/18 3,000 3,947
2 Baker Hughes Inc. 3.200% 8/15/21 2,300 2,328
BJ Services Co. 6.000% 6/1/18 1,225 1,477
BP Capital Markets plc 4.750% 3/10/19 4,675 5,165
BP Capital Markets plc 4.500% 10/1/20 5,780 6,242
BP Capital Markets plc 4.742% 3/11/21 7,400 8,085
Cameron International Corp. 6.375% 7/15/18 1,600 1,872
Cameron International Corp. 4.500% 6/1/21 650 681
Canadian Natural Resources Ltd. 5.700% 5/15/17 4,325 4,976
Cenovus Energy Inc. 5.700% 10/15/19 5,300 6,127
Chevron Corp. 4.950% 3/3/19 6,300 7,471
ConocoPhillips 5.750% 2/1/19 10,875 12,980
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 9,825 11,401
Devon Energy Corp. 6.300% 1/15/19 2,875 3,490
Devon Energy Corp. 4.000% 7/15/21 800 839
Diamond Offshore Drilling Inc. 5.875% 5/1/19 1,050 1,218
Encana Corp. 5.900% 12/1/17 4,225 4,836
Ensco plc 4.700% 3/15/21 5,150 5,226
EOG Resources Inc. 5.875% 9/15/17 2,300 2,708
EOG Resources Inc. 6.875% 10/1/18 4,525 5,702
EOG Resources Inc. 4.400% 6/1/20 1,200 1,317
EOG Resources Inc. 4.100% 2/1/21 5,200 5,572
Halliburton Co. 6.150% 9/15/19 4,300 5,232
Hess Corp. 8.125% 2/15/19 3,925 5,080
Husky Energy Inc. 6.150% 6/15/19 510 612
Husky Energy Inc. 7.250% 12/15/19 3,895 4,810
Marathon Oil Corp. 6.000% 10/1/17 8,775 10,164
Marathon Oil Corp. 5.900% 3/15/18 137 160
Nabors Industries Inc. 6.150% 2/15/18 5,475 6,095
Nabors Industries Inc. 9.250% 1/15/19 4,875 6,191
Nabors Industries Inc. 5.000% 9/15/20 1,450 1,491
Nexen Inc. 6.200% 7/30/19 2,000 2,285
Noble Energy Inc. 8.250% 3/1/19 4,081 5,396
Noble Holding International Ltd. 4.900% 8/1/20 6,715 7,260
Noble Holding International Ltd. 4.625% 3/1/21 1,800 1,895
Occidental Petroleum Corp. 1.750% 2/15/17 5,000 4,946
Occidental Petroleum Corp. 4.100% 2/1/21 4,000 4,346
Petro-Canada 6.050% 5/15/18 7,350 8,524
Pride International Inc. 6.875% 8/15/20 7,100 8,236
Rowan Cos. Inc. 7.875% 8/1/19 2,150 2,542
Shell International Finance BV 5.200% 3/22/17 2,775 3,227
Shell International Finance BV 4.300% 9/22/19 12,775 14,370
Shell International Finance BV 4.375% 3/25/20 3,900 4,386
Statoil ASA 3.125% 8/17/17 3,800 4,028
Statoil ASA 5.250% 4/15/19 7,825 9,219
Suncor Energy Inc. 6.100% 6/1/18 3,575 4,167
Talisman Energy Inc. 7.750% 6/1/19 3,875 4,806
Total Capital SA 4.450% 6/24/20 4,750 5,311
Total Capital SA 4.125% 1/28/21 6,000 6,541
Transocean Inc. 4.950% 11/15/15 225 237
Transocean Inc. 6.000% 3/15/18 6,750 7,192
Transocean Inc. 6.500% 11/15/20 2,500 2,732

 

 

Valero Energy Corp. 6.125% 6/15/17 6,000 6,680
Valero Energy Corp. 9.375% 3/15/19 4,000 5,147
Valero Energy Corp. 6.125% 2/1/20 3,780 4,200
Weatherford International Inc. 6.350% 6/15/17 2,035 2,283
Weatherford International Ltd. 6.000% 3/15/18 5,080 5,620
Weatherford International Ltd. 9.625% 3/1/19 7,565 9,758
Weatherford International Ltd. 5.125% 9/15/20 900 914
Williams Cos. Inc. 7.875% 9/1/21 450 534
XTO Energy Inc. 6.250% 8/1/17 3,125 3,897
XTO Energy Inc. 5.500% 6/15/18 1,875 2,304
 
Other Industrial (0.0%)        
Cintas Corp. No 2 6.125% 12/1/17 1,300 1,532
Cornell University New York Revenue 5.450% 2/1/19 1,350 1,604
Fluor Corp. 3.375% 9/15/21 2,300 2,329
 
Technology (1.7%)        
Adobe Systems Inc. 4.750% 2/1/20 4,175 4,408
Agilent Technologies Inc. 6.500% 11/1/17 4,725 5,561
Agilent Technologies Inc. 5.000% 7/15/20 3,000 3,230
Applied Materials Inc. 4.300% 6/15/21 5,325 5,514
Arrow Electronics Inc. 5.125% 3/1/21 2,000 1,995
BMC Software Inc. 7.250% 6/1/18 1,550 1,846
CA Inc. 5.375% 12/1/19 6,450 7,035
Cisco Systems Inc. 3.150% 3/14/17 1,725 1,823
Cisco Systems Inc. 4.950% 2/15/19 8,892 10,119
Cisco Systems Inc. 4.450% 1/15/20 12,375 13,722
Computer Sciences Corp. 6.500% 3/15/18 3,900 4,251
Corning Inc. 6.625% 5/15/19 950 1,160
Corning Inc. 4.250% 8/15/20 1,447 1,528
Dell Inc. 5.650% 4/15/18 2,500 2,832
Dell Inc. 5.875% 6/15/19 3,675 4,244
Equifax Inc. 6.300% 7/1/17 1,300 1,464
Fiserv Inc. 6.800% 11/20/17 3,150 3,674
Fiserv Inc. 4.750% 6/15/21 2,000 2,086
Google Inc. 3.625% 5/19/21 3,300 3,518
Harris Corp. 5.950% 12/1/17 775 894
Harris Corp. 6.375% 6/15/19 1,425 1,704
Harris Corp. 4.400% 12/15/20 1,800 1,904
Hewlett-Packard Co. 5.400% 3/1/17 3,850 4,262
Hewlett-Packard Co. 5.500% 3/1/18 2,125 2,369
Hewlett-Packard Co. 3.750% 12/1/20 6,800 6,586
Hewlett-Packard Co. 4.300% 6/1/21 4,000 4,039
Hewlett-Packard Co. 4.375% 9/15/21 4,000 4,057
Intel Corp. 3.300% 10/1/21 8,000 8,166
International Business Machines Corp. 5.700% 9/14/17 25,725 30,643
Intuit Inc. 5.750% 3/15/17 1,025 1,155
Juniper Networks Inc. 4.600% 3/15/21 725 747
Lexmark International Inc. 6.650% 6/1/18 2,975 3,320
Microsoft Corp. 4.200% 6/1/19 9,175 10,177
Motorola Solutions Inc. 6.000% 11/15/17 2,220 2,464
Nokia Oyj 5.375% 5/15/19 9,025 8,874
Oracle Corp. 5.750% 4/15/18 6,600 7,881
Oracle Corp. 5.000% 7/8/19 6,825 7,929
2 Oracle Corp. 3.875% 7/15/20 8,440 9,035
Pitney Bowes Inc. 5.750% 9/15/17 1,800 1,889
Pitney Bowes Inc. 4.750% 5/15/18 1,000 1,003
2 SAIC Inc. 4.450% 12/1/20 1,200 1,301

 

 

Symantec Corp. 4.200% 9/15/20 3,705 3,635
Tyco Electronics Group SA 6.550% 10/1/17 4,250 4,936
Xerox Corp. 6.750% 2/1/17 1,650 1,897
Xerox Corp. 6.350% 5/15/18 10,275 11,629
Xerox Corp. 5.625% 12/15/19 2,775 3,005
 
Transportation (0.8%)        
3 American Airlines 2011-1 Class A Pass        
Through Trust 5.250% 1/31/21 649 578
3 American Airlines Pass Through Trust 2009-        
1A 10.375% 7/2/19 3,004 3,259
Burlington Northern Santa Fe LLC 5.650% 5/1/17 4,150 4,778
Burlington Northern Santa Fe LLC 5.750% 3/15/18 5,400 6,296
Burlington Northern Santa Fe LLC 3.450% 9/15/21 2,175 2,201
Canadian National Railway Co. 5.850% 11/15/17 500 593
Canadian National Railway Co. 5.550% 5/15/18 900 1,066
Canadian National Railway Co. 5.550% 3/1/19 2,000 2,396
Canadian Pacific Railway Co. 7.250% 5/15/19 1,500 1,879
Con-way Inc. 7.250% 1/15/18 3,400 3,787
3 Continental Airlines 1997-4 Class A Pass        
Through Trust 6.900% 1/2/18 1,310 1,337
3 Continental Airlines 1998-1 Class A Pass        
Through Trust 6.648% 9/15/17 1,346 1,346
3 Continental Airlines 2009-2 Class A Pass        
Through Trust 7.250% 11/10/19 4,284 4,498
3 Continental Airlines 2010-1 Class A Pass        
Through Trust 4.750% 1/12/21 2,500 2,425
CSX Corp. 5.600% 5/1/17 3,850 4,416
CSX Corp. 7.900% 5/1/17 282 354
CSX Corp. 6.250% 3/15/18 7,025 8,506
CSX Corp. 7.375% 2/1/19 725 917
CSX Corp. 4.250% 6/1/21 2,025 2,144
CSX Corp. 6.220% 4/30/40 393 488
3 Delta Air Lines 2009-1 Class A Pass Through        
Trust 7.750% 12/17/19 2,057 2,165
3 Delta Air Lines 2010-1 Class A Pass Through        
Trust 6.200% 7/2/18 2,735 2,797
3 Delta Air Lines 2010-2 Class A Pass Through        
Trust 4.950% 5/23/19 3,376 3,342
FedEx Corp. 8.000% 1/15/19 1,515 1,989
Norfolk Southern Corp. 7.700% 5/15/17 2,400 3,037
Norfolk Southern Corp. 5.750% 4/1/18 2,375 2,782
Norfolk Southern Corp. 5.900% 6/15/19 6,900 8,304
Norfolk Southern Railway Co. 9.750% 6/15/20 411 607
Ryder System Inc. 5.850% 11/1/16 1,000 1,150
Ryder System Inc. 3.500% 6/1/17 1,325 1,374
Southwest Airlines Co. 5.750% 12/15/16 1,390 1,547
Southwest Airlines Co. 5.125% 3/1/17 650 691
Union Pacific Corp. 5.700% 8/15/18 3,825 4,467
2 Union Pacific Corp. 4.163% 7/15/22 4,596 4,907
United Parcel Service Inc. 5.500% 1/15/18 3,100 3,736
United Parcel Service Inc. 5.125% 4/1/19 2,200 2,658
United Parcel Service Inc. 3.125% 1/15/21 6,700 7,012
United Parcel Service of America Inc. 8.375% 4/1/20 500 711
        2,586,575

 

 

Utilities (4.3%)        
Electric (2.6%)        
Alabama Power Co. 5.500% 10/15/17 1,925 2,284
Ameren Illinois Co. 6.125% 11/15/17 3,100 3,640
Ameren Illinois Co. 6.250% 4/1/18 2,000 2,322
Ameren Illinois Co. 9.750% 11/15/18 3,300 4,475
Appalachian Power Co. 7.950% 1/15/20 675 889
Appalachian Power Co. 4.600% 3/30/21 2,550 2,775
Arizona Public Service Co. 8.750% 3/1/19 2,000 2,544
Baltimore Gas & Electric Co. 5.900% 10/1/16 2,250 2,587
Carolina Power & Light Co. 5.300% 1/15/19 9,725 11,423
Carolina Power & Light Co. 3.000% 9/15/21 2,675 2,696
CenterPoint Energy Inc. 6.500% 5/1/18 4,500 5,287
Cleveland Electric Illuminating Co. 7.880% 11/1/17 250 315
Commonwealth Edison Co. 6.150% 9/15/17 4,250 4,973
Commonwealth Edison Co. 5.800% 3/15/18 2,550 2,989
Commonwealth Edison Co. 4.000% 8/1/20 2,000 2,102
Connecticut Light & Power Co. 5.650% 5/1/18 3,000 3,618
Consolidated Edison Co. of New York Inc. 5.850% 4/1/18 5,000 5,995
Consolidated Edison Co. of New York Inc. 7.125% 12/1/18 2,000 2,544
Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 1,200 1,502
Constellation Energy Group Inc. 5.150% 12/1/20 2,000 2,044
Consumers Energy Co. 6.125% 3/15/19 300 363
Consumers Energy Co. 6.700% 9/15/19 2,900 3,629
Consumers Energy Co. 5.650% 4/15/20 1,075 1,278
Detroit Edison Co. 3.450% 10/1/20 2,500 2,577
Detroit Edison Co. 3.900% 6/1/21 750 801
Dominion Resources Inc. 6.000% 11/30/17 8,750 10,330
Dominion Resources Inc. 8.875% 1/15/19 5,375 7,189
Dominion Resources Inc. 5.200% 8/15/19 900 1,044
Dominion Resources Inc. 4.450% 3/15/21 7,600 8,268
Duke Energy Carolinas LLC 5.100% 4/15/18 6,750 7,864
Duke Energy Carolinas LLC 4.300% 6/15/20 1,050 1,172
Duke Energy Carolinas LLC 3.900% 6/15/21 2,000 2,161
Duke Energy Corp. 5.050% 9/15/19 7,400 8,324
Duke Energy Indiana Inc. 3.750% 7/15/20 1,450 1,544
Entergy Gulf States Louisiana LLC 6.000% 5/1/18 2,600 3,024
Entergy Louisiana LLC 6.500% 9/1/18 3,075 3,730
Exelon Generation Co. LLC 6.200% 10/1/17 3,500 4,030
Exelon Generation Co. LLC 4.000% 10/1/20 4,875 4,869
FirstEnergy Solutions Corp. 6.050% 8/15/21 5,000 5,521
Florida Power & Light Co. 5.550% 11/1/17 1,950 2,334
Florida Power Corp. 5.650% 6/15/18 2,100 2,533
Georgia Power Co. 5.700% 6/1/17 3,000 3,520
Great Plains Energy Inc. 4.850% 6/1/21 3,825 4,068
Indiana Michigan Power Co. 7.000% 3/15/19 2,497 3,086
3 Integrys Energy Group Inc. 6.110% 12/1/66 1,500 1,440
Jersey Central Power & Light Co. 5.650% 6/1/17 5,475 6,309
Kentucky Utilities Co. 3.250% 11/1/20 2,300 2,374
LG&E and KU Energy LLC 3.750% 11/15/20 2,025 2,001
Metropolitan Edison Co. 7.700% 1/15/19 2,000 2,534
MidAmerican Energy Co. 5.950% 7/15/17 925 1,091
MidAmerican Energy Co. 5.300% 3/15/18 400 467
Midamerican Energy Holdings Co. 5.750% 4/1/18 5,350 6,175
National Rural Utilities Cooperative Finance        
Corp. 5.450% 4/10/17 250 289
National Rural Utilities Cooperative Finance        
Corp. 5.450% 2/1/18 9,625 11,149

 

 

National Rural Utilities Cooperative Finance        
Corp. 10.375% 11/1/18 2,525 3,632
Nevada Power Co. 6.500% 5/15/18 4,217 5,066
Nevada Power Co. 6.500% 8/1/18 4,175 5,040
NextEra Energy Capital Holdings Inc. 6.000% 3/1/19 4,500 5,242
3 NextEra Energy Capital Holdings Inc. 6.350% 10/1/66 1,825 1,752
3 NextEra Energy Capital Holdings Inc. 6.650% 6/15/67 1,700 1,651
3 NextEra Energy Capital Holdings Inc. 7.300% 9/1/67 1,000 1,035
Northern States Power Co. 5.250% 3/1/18 5,350 6,370
NSTAR 4.500% 11/15/19 3,500 3,834
NSTAR Electric Co. 5.625% 11/15/17 975 1,157
Oncor Electric Delivery Co. LLC 6.800% 9/1/18 2,500 3,027
Pacific Gas & Electric Co. 5.625% 11/30/17 5,900 6,878
Pacific Gas & Electric Co. 8.250% 10/15/18 1,325 1,770
Pacific Gas & Electric Co. 3.500% 10/1/20 9,525 9,749
Pacific Gas & Electric Co. 4.250% 5/15/21 200 214
PacifiCorp 5.650% 7/15/18 2,575 3,103
PacifiCorp 5.500% 1/15/19 2,740 3,282
Peco Energy Co. 5.350% 3/1/18 2,475 2,945
Pennsylvania Electric Co. 6.050% 9/1/17 800 913
PPL Electric Utilities Corp. 3.000% 9/15/21 2,800 2,809
PPL Energy Supply LLC 6.500% 5/1/18 750 862
Progress Energy Inc. 4.400% 1/15/21 2,000 2,149
PSEG Power LLC 5.125% 4/15/20 5,262 5,723
Public Service Co. of Colorado 5.125% 6/1/19 2,300 2,719
Public Service Co. of Colorado 3.200% 11/15/20 1,800 1,848
Public Service Co. of Oklahoma 5.150% 12/1/19 650 720
Public Service Co. of Oklahoma 4.400% 2/1/21 2,500 2,676
Public Service Electric & Gas Co. 3.500% 8/15/20 2,000 2,092
SCANA Corp. 4.750% 5/15/21 2,800 2,953
South Carolina Electric & Gas Co. 6.500% 11/1/18 2,400 3,025
Southern California Edison Co. 5.500% 8/15/18 4,400 5,256
Southern California Edison Co. 3.875% 6/1/21 3,325 3,603
Southwestern Electric Power Co. 5.550% 1/15/17 3,500 3,897
Southwestern Electric Power Co. 6.450% 1/15/19 2,075 2,450
Tampa Electric Co. 6.100% 5/15/18 2,150 2,596
TECO Finance Inc. 5.150% 3/15/20 1,350 1,516
TransAlta Corp. 6.650% 5/15/18 2,975 3,475
UIL Holdings Corp. 4.625% 10/1/20 1,850 1,903
Union Electric Co. 6.700% 2/1/19 4,000 4,935
United Utilities plc 5.375% 2/1/19 1,000 1,073
Westar Energy Inc. 8.625% 12/1/18 2,000 2,742
Wisconsin Electric Power Co. 4.250% 12/15/19 1,525 1,697
3 Wisconsin Energy Corp. 6.250% 5/15/67 5,275 5,268
Wisconsin Power & Light Co. 5.000% 7/15/19 2,275 2,647
Xcel Energy Inc. 4.700% 5/15/20 2,000 2,233
 
Natural Gas (1.6%)        
AGL Capital Corp. 5.250% 8/15/19 2,300 2,585
Atmos Energy Corp. 8.500% 3/15/19 2,510 3,394
Boardwalk Pipelines LP 5.500% 2/1/17 3,725 4,131
Buckeye Partners LP 6.050% 1/15/18 4,550 5,156
Buckeye Partners LP 4.875% 2/1/21 2,000 2,040
CenterPoint Energy Resources Corp. 6.000% 5/15/18 5,361 6,316
El Paso Natural Gas Co. 5.950% 4/15/17 2,875 3,236
Enbridge Energy Partners LP 6.500% 4/15/18 3,075 3,598
Enbridge Energy Partners LP 9.875% 3/1/19 1,700 2,269
Enbridge Energy Partners LP 5.200% 3/15/20 1,875 1,984

 

 

Enbridge Energy Partners LP 4.200% 9/15/21 3,675 3,632
Enbridge Inc. 5.600% 4/1/17 3,550 3,979
Energy Transfer Partners LP 6.125% 2/15/17 4,850 5,310
Energy Transfer Partners LP 9.000% 4/15/19 6,500 7,839
Enterprise Products Operating LLC 6.300% 9/15/17 2,525 2,924
Enterprise Products Operating LLC 6.650% 4/15/18 550 648
Enterprise Products Operating LLC 6.500% 1/31/19 3,050 3,574
Enterprise Products Operating LLC 5.250% 1/31/20 5,000 5,510
Enterprise Products Operating LLC 5.200% 9/1/20 6,500 7,127
EQT Corp. 6.500% 4/1/18 3,800 4,302
EQT Corp. 8.125% 6/1/19 1,725 2,094
Kinder Morgan Energy Partners LP 6.000% 2/1/17 1,000 1,132
Kinder Morgan Energy Partners LP 5.950% 2/15/18 3,250 3,689
Kinder Morgan Energy Partners LP 6.850% 2/15/20 14,325 16,804
Magellan Midstream Partners LP 5.650% 10/15/16 650 745
Magellan Midstream Partners LP 6.550% 7/15/19 3,475 4,163
Magellan Midstream Partners LP 4.250% 2/1/21 2,400 2,479
Nisource Finance Corp. 5.250% 9/15/17 500 543
Nisource Finance Corp. 6.400% 3/15/18 13,650 15,530
Nisource Finance Corp. 6.800% 1/15/19 938 1,096
NuStar Logistics LP 7.650% 4/15/18 2,900 3,492
ONEOK Partners LP 6.150% 10/1/16 3,125 3,549
ONEOK Partners LP 8.625% 3/1/19 5,000 6,437
Panhandle Eastern Pipeline Co. LP 6.200% 11/1/17 2,000 2,314
Panhandle Eastern Pipeline Co. LP 7.000% 6/15/18 2,525 3,030
Plains All American Pipeline LP / PAA        
Finance Corp. 6.125% 1/15/17 2,500 2,796
Plains All American Pipeline LP / PAA        
Finance Corp. 6.500% 5/1/18 2,675 3,085
Plains All American Pipeline LP / PAA        
Finance Corp. 8.750% 5/1/19 200 255
Plains All American Pipeline LP / PAA        
Finance Corp. 5.750% 1/15/20 600 662
Plains All American Pipeline LP / PAA        
Finance Corp. 5.000% 2/1/21 2,575 2,695
Sempra Energy 6.150% 6/15/18 2,800 3,302
Sempra Energy 9.800% 2/15/19 4,370 6,106
2 Southern Natural Gas Co. 5.900% 4/1/17 3,650 4,175
2 Southern Natural Gas Co. / Southern Natural        
Issuing Corp. 4.400% 6/15/21 575 582
Spectra Energy Capital LLC 6.200% 4/15/18 1,700 1,944
TransCanada PipeLines Ltd. 6.500% 8/15/18 6,100 7,544
TransCanada PipeLines Ltd. 7.125% 1/15/19 1,050 1,335
TransCanada PipeLines Ltd. 3.800% 10/1/20 2,675 2,809
3 TransCanada PipeLines Ltd. 6.350% 5/15/67 6,550 6,514
Transcontinental Gas Pipe Line Co. LLC 6.050% 6/15/18 2,500 2,892
Williams Partners LP 5.250% 3/15/20 9,025 9,721
Williams Partners LP / Williams Partners        
Finance Corp. 7.250% 2/1/17 6,700 7,816
 
Other Utility (0.1%)        
American Water Capital Corp. 6.085% 10/15/17 3,025 3,562
Veolia Environnement SA 6.000% 6/1/18 3,550 4,004
 
        552,069
Total Corporate Bonds (Cost $4,433,041)       4,799,324

 

 

Sovereign Bonds (U.S. Dollar-Denominated) (5.9%)        
Asian Development Bank 5.250% 6/12/17 2,300 2,777
Asian Development Bank 5.593% 7/16/18 1,975 2,422
Brazilian Government International Bond 6.000% 1/17/17 28,575 32,447
3 Brazilian Government International Bond 8.000% 1/15/18 11,050 13,039
Brazilian Government International Bond 5.875% 1/15/19 8,050 9,229
Brazilian Government International Bond 4.875% 1/22/21 4,125 4,399
Chile Government International Bond 3.875% 8/5/20 3,800 3,970
Chile Government International Bond 3.250% 9/14/21 4,000 3,891
Colombia Government International Bond 7.375% 1/27/17 7,200 8,604
Colombia Government International Bond 7.375% 3/18/19 11,125 13,656
Colombia Government International Bond 11.750% 2/25/20 600 912
Colombia Government International Bond 4.375% 7/12/21 9,450 9,592
Corp. Andina de Fomento 5.750% 1/12/17 5,025 5,486
Corp. Andina de Fomento 8.125% 6/4/19 5,600 6,865
Development Bank of Japan 5.125% 2/1/17 3,700 4,368
Ecopetrol SA 7.625% 7/23/19 5,000 5,861
Eksportfinans ASA 5.500% 6/26/17 6,100 7,201
European Investment Bank 1.250% 10/14/16 10,450 10,405
European Investment Bank 4.875% 1/17/17 10,375 12,185
European Investment Bank 5.125% 5/30/17 16,550 19,657
European Investment Bank 2.875% 9/15/20 9,600 10,078
European Investment Bank 4.000% 2/16/21 15,600 17,884
Export-Import Bank of Korea 3.750% 10/20/16 9,000 8,772
Export-Import Bank of Korea 5.125% 6/29/20 4,400 4,467
Export-Import Bank of Korea 4.375% 9/15/21 2,000 1,917
Hungary Government International Bond 6.250% 1/29/20 8,200 7,883
Hungary Government International Bond 6.375% 3/29/21 10,275 9,915
Inter-American Development Bank 2.375% 8/15/17 7,800 8,188
Inter-American Development Bank 1.750% 8/24/18 5,375 5,398
Inter-American Development Bank 3.875% 9/17/19 7,025 8,050
Inter-American Development Bank 3.875% 2/14/20 5,475 6,345
International Finance Corp. 2.125% 11/17/17 8,600 8,809
Israel Government International Bond 5.500% 11/9/16 4,025 4,557
Israel Government International Bond 5.125% 3/26/19 8,900 9,757
4 Japan Finance Organization for Municipalities 5.000% 5/16/17 3,800 4,461
4 Japan Finance Organization for Municipalities 4.000% 1/13/21 4,500 5,073
5 Kreditanstalt fuer Wiederaufbau 1.250% 10/5/16 15,075 15,028
5 Kreditanstalt fuer Wiederaufbau 4.875% 1/17/17 3,000 3,530
5 Kreditanstalt fuer Wiederaufbau 4.375% 3/15/18 22,200 25,653
5 Kreditanstalt fuer Wiederaufbau 4.500% 7/16/18 12,875 15,080
5 Kreditanstalt fuer Wiederaufbau 4.875% 6/17/19 13,450 16,406
5 Kreditanstalt fuer Wiederaufbau 4.000% 1/27/20 13,375 15,352
5 Kreditanstalt fuer Wiederaufbau 2.750% 9/8/20 19,550 20,406
5 Kreditanstalt fuer Wiederaufbau 2.375% 8/25/21 10,000 10,060
5 Landwirtschaftliche Rentenbank 5.125% 2/1/17 8,800 10,409
5 Landwirtschaftliche Rentenbank 2.375% 9/13/17 4,000 4,144
5 Landwirtschaftliche Rentenbank 1.875% 9/17/18 8,800 8,743
Mexico Government International Bond 5.625% 1/15/17 24,200 26,965
Mexico Government International Bond 5.950% 3/19/19 15,764 17,868
Mexico Government International Bond 5.125% 1/15/20 17,625 19,186
Nordic Investment Bank 5.000% 2/1/17 7,650 9,043
North American Development Bank 4.375% 2/11/20 1,200 1,354
6 Oesterreichische Kontrollbank AG 5.000% 4/25/17 6,425 7,570
Panama Government International Bond 5.200% 1/30/20 3,950 4,303
Pemex Project Funding Master Trust 5.750% 3/1/18 17,325 18,717
Peruvian Government International Bond 7.125% 3/30/19 6,400 7,712
Petrobras International Finance Co. - Pifco 6.125% 10/6/16 4,475 4,916

 

 

Petrobras International Finance Co. - Pifco 5.875% 3/1/18 10,575 10,971
Petrobras International Finance Co. - Pifco 8.375% 12/10/18 1,500 1,774
Petrobras International Finance Co. - Pifco 7.875% 3/15/19 11,950 13,742
Petrobras International Finance Co. - Pifco 5.750% 1/20/20 11,010 11,311
Petrobras International Finance Co. - Pifco 5.375% 1/27/21 7,550 7,522
Petroleos Mexicanos 8.000% 5/3/19 5,075 6,195
Petroleos Mexicanos 6.000% 3/5/20 5,825 6,368
Petroleos Mexicanos 5.500% 1/21/21 4,525 4,756
2 Petroleos Mexicanos 5.500% 1/21/21 2,500 2,627
Poland Government International Bond 6.375% 7/15/19 17,050 18,691
Poland Government International Bond 5.125% 4/21/21 6,500 6,467
Province of British Columbia 2.650% 9/22/21 3,500 3,550
Province of Manitoba 4.900% 12/6/16 5,500 6,416
Province of Manitoba 9.250% 4/1/20 1,500 2,241
Province of New Brunswick 2.750% 6/15/18 6,425 6,723
Province of Nova Scotia 5.125% 1/26/17 3,500 4,113
Province of Ontario 3.150% 12/15/17 1,150 1,224
Province of Ontario 4.000% 10/7/19 16,400 18,229
Province of Ontario 4.400% 4/14/20 16,600 18,930
Quebec 5.125% 11/14/16 8,975 10,543
Quebec 4.625% 5/14/18 4,500 5,187
Quebec 3.500% 7/29/20 2,400 2,568
Quebec 2.750% 8/25/21 7,175 7,171
Republic of Italy 5.375% 6/12/17 425 420
Republic of Korea 7.125% 4/16/19 6,550 7,937
South Africa Government International Bond 6.875% 5/27/19 9,150 10,877
South Africa Government International Bond 5.500% 3/9/20 8,875 9,740
Svensk Exportkredit AB 5.125% 3/1/17 6,250 7,332
Total Sovereign Bonds (Cost $716,130)       774,590
Taxable Municipal Bonds (0.3%)        
California Educational Facilities Authority        
Revenue (Stanford University) 3.625% 5/1/14 2,500 2,668
California Educational Facilities Authority        
Revenue (Stanford University) 4.250% 5/1/16 800 891
California Educational Facilities Authority        
Revenue (Stanford University) 4.750% 5/1/19 1,800 2,094
California GO 5.950% 4/1/16 2,800 3,186
California GO 6.200% 3/1/19 500 571
California GO 6.200% 10/1/19 3,925 4,520
Illinois GO 5.365% 3/1/17 14,200 14,989
Kentucky Asset/Liability Commission General        
Fund Revenue 3.165% 4/1/18 1,250 1,274
Loudoun County VA Industrial Development        
Authority Revenue (Howard Hughes        
Medical Institute) 3.450% 9/1/14 2,750 2,935
Maryland Health & Higher Educational        
Facilities Authority Revenue (Johns        
Hopkins University) 5.250% 7/1/19 1,200 1,423
Massachusetts GO 4.200% 12/1/21 3,375 3,743
New Hampshire Health & Educational        
Facilities Authority Revenue (Dartmouth        
College) 4.750% 6/1/19 1,000 1,148
Private Colleges & University Authority of        
Georgia Revenue (Emory University) 5.625% 9/1/19 1,000 1,212
7 Wisconsin GO 4.800% 5/1/13 1,350 1,431
Total Taxable Municipal Bonds (Cost $38,774)       42,085

 

 

      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.5%)      
Money Market Fund (0.5%)      
8 Vanguard Market Liquidity Fund (Cost      
$63,839) 0.144% 63,839,311 63,839
 
Total Investments (99.6%) (Cost $11,852,335)     13,000,393
Other Assets and Liabilities-Net (0.4%)     47,897
Net Assets (100%)     13,048,290

 

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, 2011, the aggregate value of these securities was $68,321,000, representing 0.5% 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 Government of Japan.
5 Guaranteed by the Federal Republic of Germany.
6 Guaranteed by the Republic of Austria.
7 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
8 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.
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, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 7,312,359 —
Asset-Backed/Commercial Mortgage-Backed Securities — 8,196 —

 

 

Corporate Bonds — 4,799,324 —
Sovereign Bonds — 774,590 —
Taxable Municipal Bonds — 42,085 —
Temporary Cash Investments 63,839 — —
Total 63,839 12,936,554 —

 

C. At September 30, 2011, the cost of investment securities for tax purposes was $11,852,335,000. Net unrealized appreciation of investment securities for tax purposes was $1,148,058,000, consisting of unrealized gains of $1,182,336,000 on securities that had risen in value since their purchase and $34,278,000 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, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (46.3%)        
U.S. Government Securities (43.1%)        
  United States Treasury Note/Bond 0.625% 12/31/12 1,600 1,608
  United States Treasury Note/Bond 2.375% 8/31/14 55 58
  United States Treasury Note/Bond 2.375% 10/31/14 230 244
  United States Treasury Note/Bond 9.875% 11/15/15 30 41
  United States Treasury Note/Bond 2.750% 5/31/17 30 33
  United States Treasury Note/Bond 3.125% 5/15/21 1,125 1,251
  United States Treasury Note/Bond 8.125% 5/15/21 520 810
  United States Treasury Note/Bond 2.125% 8/15/21 2,675 2,727
  United States Treasury Note/Bond 8.125% 8/15/21 1,660 2,602
  United States Treasury Note/Bond 8.000% 11/15/21 6,890 10,776
  United States Treasury Note/Bond 7.250% 8/15/22 280 423
  United States Treasury Note/Bond 7.125% 2/15/23 63,665 96,214
  United States Treasury Note/Bond 6.250% 8/15/23 76,215 108,845
  United States Treasury Note/Bond 7.500% 11/15/24 22,090 35,202
  United States Treasury Note/Bond 7.625% 2/15/25 1,525 2,461
  United States Treasury Note/Bond 6.875% 8/15/25 52,425 80,513
  United States Treasury Note/Bond 6.000% 2/15/26 4,500 6,458
  United States Treasury Note/Bond 6.750% 8/15/26 26,905 41,383
  United States Treasury Note/Bond 6.500% 11/15/26 670 1,012
  United States Treasury Note/Bond 6.625% 2/15/27 5 8
  United States Treasury Note/Bond 6.375% 8/15/27 6,620 9,985
  United States Treasury Note/Bond 6.125% 11/15/27 3,997 5,906
  United States Treasury Note/Bond 5.500% 8/15/28 7,015 9,826
  United States Treasury Note/Bond 5.250% 11/15/28 55,110 75,337
  United States Treasury Note/Bond 5.250% 2/15/29 8,060 11,040
  United States Treasury Note/Bond 6.125% 8/15/29 45,140 67,858
  United States Treasury Note/Bond 6.250% 5/15/30 12,205 18,727
  United States Treasury Note/Bond 5.375% 2/15/31 13,120 18,518
  United States Treasury Note/Bond 4.500% 2/15/36 100 130
  United States Treasury Note/Bond 4.750% 2/15/37 5,350 7,212
  United States Treasury Note/Bond 5.000% 5/15/37 12,140 16,954
  United States Treasury Note/Bond 4.375% 2/15/38 49,523 63,459
  United States Treasury Note/Bond 4.500% 5/15/38 64,435 84,199
  United States Treasury Note/Bond 4.250% 5/15/39 111,528 140,821
  United States Treasury Note/Bond 4.500% 8/15/39 127,336 167,189
  United States Treasury Note/Bond 4.375% 11/15/39 152,745 196,946
  United States Treasury Note/Bond 4.625% 2/15/40 75,576 101,284
  United States Treasury Note/Bond 4.375% 5/15/40 81,283 104,932
  United States Treasury Note/Bond 3.875% 8/15/40 61,365 73,130
  United States Treasury Note/Bond 4.250% 11/15/40 131,115 166,331
  United States Treasury Note/Bond 4.750% 2/15/41 98,985 135,733
  United States Treasury Note/Bond 4.375% 5/15/41 87,320 113,175
  United States Treasury Note/Bond 3.750% 8/15/41 500 584
          1,981,945
Agency Bonds and Notes (3.2%)        
1 Federal Home Loan Banks 5.625% 3/14/36 1,000 1,341
1 Federal Home Loan Banks 5.500% 7/15/36 8,410 10,996
1 Federal Home Loan Mortgage Corp. 6.750% 9/15/29 7,700 11,490

 

 

1 Federal Home Loan Mortgage Corp. 6.750% 3/15/31 10,160 15,350
1 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 4,525 6,581
1 Federal National Mortgage Assn. 6.250% 5/15/29 9,450 13,433
1 Federal National Mortgage Assn. 7.125% 1/15/30 9,075 14,074
1 Federal National Mortgage Assn. 7.250% 5/15/30 6,635 10,430
1 Federal National Mortgage Assn. 6.625% 11/15/30 3,300 4,912
1 Federal National Mortgage Assn. 5.625% 7/15/37 4,575 6,244
1 Federal National Mortgage Assn. 6.210% 8/6/38 1,000 1,429
  Israel Government AID Bond 5.500% 12/4/23 5,325 6,785
  Israel Government AID Bond 5.500% 4/26/24 4,800 6,140
  Private Export Funding Corp. 4.300% 12/15/21 1,475 1,693
  Private Export Funding Corp. 2.800% 5/15/22 800 801
  Resolution Funding Corp. 8.625% 1/15/21 850 1,292
1 Tennessee Valley Authority 6.750% 11/1/25 5,750 8,084
1 Tennessee Valley Authority 7.125% 5/1/30 1,250 1,926
1 Tennessee Valley Authority 4.650% 6/15/35 4,825 5,652
1 Tennessee Valley Authority 5.880% 4/1/36 1,000 1,367
1 Tennessee Valley Authority 5.980% 4/1/36 1,000 1,383
1 Tennessee Valley Authority 6.150% 1/15/38 2,450 3,495
1 Tennessee Valley Authority 5.500% 6/15/38 1,175 1,548
1 Tennessee Valley Authority 5.250% 9/15/39 3,375 4,350
1 Tennessee Valley Authority 4.875% 1/15/48 2,500 3,112
1 Tennessee Valley Authority 5.375% 4/1/56 1,850 2,538
1 Tennessee Valley Authority 4.625% 9/15/60 1,700 2,054
          148,500
Total U.S. Government and Agency Obligations (Cost $1,733,925)     2,130,445
Asset-Backed/Commercial Mortgage-Backed Security (0.1%)      
2 PSE&G Transition Funding LLC (Cost $2,500) 6.890% 12/15/17 2,500 3,019
 
Corporate Bonds (41.2%)        
Finance (7.9%)        
  Banking (4.2%)        
2 Abbey National Capital Trust I 8.963% 12/29/49 2,300 2,264
  American Express Co. 8.150% 3/19/38 1,950 2,778
  Bank of America Corp. 6.800% 3/15/28 375 358
  Bank of America Corp. 6.500% 9/15/37 1,600 1,283
  Bank of America NA 6.000% 10/15/36 2,475 2,189
  Bank One Corp. 7.750% 7/15/25 2,000 2,323
  Bank One Corp. 7.625% 10/15/26 4,350 5,334
  BB&T Capital Trust II 6.750% 6/7/36 3,325 3,304
2 BB&T Capital Trust IV 6.820% 6/12/77 650 673
2 Capital One Capital III 7.686% 8/1/66 1,700 1,662
  Capital One Capital IV 6.745% 2/17/37 1,190 1,136
  Capital One Capital V 10.250% 8/15/39 2,350 2,403
  Capital One Capital VI 8.875% 5/15/40 2,775 2,768
2,3 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 450 516
  Citigroup Inc. 6.625% 6/15/32 2,750 2,504
  Citigroup Inc. 5.875% 2/22/33 1,825 1,521
  Citigroup Inc. 6.000% 10/31/33 3,500 3,011
  Citigroup Inc. 5.850% 12/11/34 2,300 2,220
  Citigroup Inc. 6.125% 8/25/36 3,350 2,840
  Citigroup Inc. 5.875% 5/29/37 1,100 1,065
  Citigroup Inc. 6.875% 3/5/38 8,325 8,935
  Citigroup Inc. 8.125% 7/15/39 5,275 6,439
  Compass Bank 5.900% 4/1/26 1,075 1,054

 

 

Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 5.250% 5/24/41 3,325 3,700
Credit Suisse USA Inc. 7.125% 7/15/32 2,600 2,978
Fifth Third Bancorp 8.250% 3/1/38 3,525 4,277
FleetBoston Financial Corp. 6.875% 1/15/28 400 412
FleetBoston Financial Corp. 6.700% 7/15/28 1,200 1,167
Goldman Sachs Capital I 6.345% 2/15/34 7,350 6,328
Goldman Sachs Group Inc. 5.750% 10/1/16 75 79
Goldman Sachs Group Inc. 5.950% 1/15/27 4,050 3,919
Goldman Sachs Group Inc. 6.125% 2/15/33 6,150 6,181
Goldman Sachs Group Inc. 6.450% 5/1/36 875 802
Goldman Sachs Group Inc. 6.750% 10/1/37 11,600 10,584
Goldman Sachs Group Inc. 6.250% 2/1/41 6,035 5,844
HSBC Bank USA NA 5.875% 11/1/34 4,100 3,903
HSBC Bank USA NA 5.625% 8/15/35 2,800 2,520
HSBC Bank USA NA 7.000% 1/15/39 400 437
HSBC Holdings plc 7.625% 5/17/32 1,050 1,105
HSBC Holdings plc 7.350% 11/27/32 200 214
HSBC Holdings plc 6.500% 5/2/36 3,425 3,379
HSBC Holdings plc 6.500% 9/15/37 5,425 5,278
HSBC Holdings plc 6.800% 6/1/38 5,040 5,051
JP Morgan Chase Capital XVII 5.850% 8/1/35 425 423
2 JP Morgan Chase Capital XVIII 6.950% 8/1/66 1,400 1,400
2 JP Morgan Chase Capital XX 6.550% 9/15/66 2,575 2,584
2 JP Morgan Chase Capital XXII 6.450% 1/15/87 3,075 3,089
JP Morgan Chase Capital XXV 6.800% 10/1/37 2,950 2,956
JPMorgan Chase & Co. 6.400% 5/15/38 6,925 7,916
JPMorgan Chase & Co. 5.500% 10/15/40 950 1,010
JPMorgan Chase & Co. 5.600% 7/15/41 4,050 4,192
JPMorgan Chase Capital XXVII 7.000% 11/1/39 1,725 1,729
KeyBank NA 6.950% 2/1/28 143 163
Merrill Lynch & Co. Inc. 6.220% 9/15/26 4,775 4,004
Merrill Lynch & Co. Inc. 6.110% 1/29/37 3,400 2,697
Merrill Lynch & Co. Inc. 7.750% 5/14/38 4,800 4,407
Morgan Stanley 6.250% 8/9/26 3,250 3,251
Morgan Stanley 7.250% 4/1/32 1,525 1,578
Santander UK plc 7.950% 10/26/29 725 667
2 SunTrust Capital VIII 6.100% 12/1/66 1,629 1,613
UBS AG 7.000% 10/15/15 1,000 1,094
UBS AG 7.375% 6/15/17 550 617
UBS AG 7.750% 9/1/26 1,000 1,244
USB Capital XIII Trust 6.625% 12/15/39 1,325 1,346
Wachovia Bank NA 5.850% 2/1/37 3,175 3,307
Wachovia Bank NA 6.600% 1/15/38 4,850 5,526
Wachovia Corp. 6.605% 10/1/25 725 821
Wachovia Corp. 7.500% 4/15/35 150 190
Wachovia Corp. 5.500% 8/1/35 4,000 3,957
Wachovia Corp. 6.550% 10/15/35 125 142
Wells Fargo & Co. 5.375% 2/7/35 2,450 2,575
Wells Fargo Bank NA 5.950% 8/26/36 2,175 2,312
2 Wells Fargo Capital X 5.950% 12/1/86 2,525 2,474
 
Brokerage (0.1%)        
Jefferies Group Inc. 6.450% 6/8/27 1,500 1,438
Jefferies Group Inc. 6.250% 1/15/36 1,800 1,618

 

 

Finance Companies (1.0%)        
General Electric Capital Corp. 6.750% 3/15/32 18,975 21,531
General Electric Capital Corp. 6.150% 8/7/37 5,600 5,875
General Electric Capital Corp. 5.875% 1/14/38 12,425 12,715
General Electric Capital Corp. 6.875% 1/10/39 5,800 6,673
SLM Corp. 5.625% 8/1/33 1,950 1,583
 
Insurance (2.5%)        
ACE Capital Trust II 9.700% 4/1/30 850 1,083
ACE INA Holdings Inc. 6.700% 5/15/36 1,000 1,267
Aetna Inc. 6.625% 6/15/36 2,850 3,631
Aetna Inc. 6.750% 12/15/37 700 897
Aflac Inc. 6.900% 12/17/39 575 614
Aflac Inc. 6.450% 8/15/40 1,450 1,407
Allstate Corp. 6.125% 12/15/32 1,250 1,427
Allstate Corp. 5.350% 6/1/33 1,950 2,031
Allstate Corp. 5.550% 5/9/35 2,000 2,142
Allstate Corp. 6.900% 5/15/38 300 376
2 Allstate Corp. 6.500% 5/15/57 1,500 1,312
American International Group Inc. 6.250% 5/1/36 2,350 2,228
American International Group Inc. 6.250% 3/15/37 3,565 2,469
2 American International Group Inc. 8.175% 5/15/68 9,000 7,920
AON Corp. 8.205% 1/1/27 1,175 1,338
AON Corp. 6.250% 9/30/40 1,525 1,860
Arch Capital Group Ltd. 7.350% 5/1/34 625 712
Assurant Inc. 6.750% 2/15/34 1,200 1,290
AXA SA 8.600% 12/15/30 3,700 4,150
Berkshire Hathaway Finance Corp. 5.750% 1/15/40 675 758
Chubb Corp. 6.000% 5/11/37 2,075 2,463
Chubb Corp. 6.500% 5/15/38 1,375 1,716
CIGNA Corp. 7.875% 5/15/27 500 637
CIGNA Corp. 6.150% 11/15/36 525 608
CIGNA Corp. 5.875% 3/15/41 1,650 1,849
Cincinnati Financial Corp. 6.920% 5/15/28 1,000 1,157
Cincinnati Financial Corp. 6.125% 11/1/34 850 919
Endurance Specialty Holdings Ltd. 7.000% 7/15/34 1,425 1,404
Genworth Financial Inc. 6.500% 6/15/34 825 653
Hartford Financial Services Group Inc. 5.950% 10/15/36 450 391
Hartford Financial Services Group Inc. 6.625% 3/30/40 500 466
Hartford Financial Services Group Inc. 6.100% 10/1/41 500 434
Humana Inc. 8.150% 6/15/38 250 339
Lincoln National Corp. 6.150% 4/7/36 1,775 1,714
Lincoln National Corp. 7.000% 6/15/40 1,350 1,431
Loews Corp. 6.000% 2/1/35 800 876
MetLife Inc. 6.500% 12/15/32 750 876
MetLife Inc. 6.375% 6/15/34 1,150 1,323
MetLife Inc. 5.700% 6/15/35 475 500
MetLife Inc. 5.875% 2/6/41 4,475 4,868
2 MetLife Inc. 6.400% 12/15/66 3,415 2,953
2 MetLife Inc. 10.750% 8/1/69 700 882
2 Nationwide Financial Services 6.750% 5/15/67 1,000 820
Principal Financial Group Inc. 6.050% 10/15/36 1,900 2,046
Progressive Corp. 6.625% 3/1/29 1,625 2,043
Protective Life Corp. 8.450% 10/15/39 600 694
Prudential Financial Inc. 5.750% 7/15/33 800 812
Prudential Financial Inc. 5.400% 6/13/35 1,000 963
Prudential Financial Inc. 5.900% 3/17/36 1,500 1,523

 

 

Prudential Financial Inc. 5.700% 12/14/36 4,175 4,076
Prudential Financial Inc. 6.625% 12/1/37 125 136
Prudential Financial Inc. 6.625% 6/21/40 700 761
Prudential Financial Inc. 6.200% 11/15/40 1,025 1,056
Prudential Financial Inc. 5.625% 5/12/41 125 118
Swiss Re Solutions Holding Corp. 7.000% 2/15/26 1,850 2,219
Swiss Re Solutions Holding Corp. 7.750% 6/15/30 600 738
Transatlantic Holdings Inc. 8.000% 11/30/39 800 968
Travelers Cos. Inc. 6.750% 6/20/36 1,000 1,250
Travelers Cos. Inc. 6.250% 6/15/37 1,825 2,129
Travelers Cos. Inc. 5.350% 11/1/40 1,775 1,889
Travelers Property Casualty Corp. 6.375% 3/15/33 1,500 1,773
UnitedHealth Group Inc. 5.800% 3/15/36 1,300 1,498
UnitedHealth Group Inc. 6.500% 6/15/37 700 867
UnitedHealth Group Inc. 6.625% 11/15/37 575 726
UnitedHealth Group Inc. 6.875% 2/15/38 5,800 7,587
UnitedHealth Group Inc. 5.950% 2/15/41 750 915
Validus Holdings Ltd. 8.875% 1/26/40 590 651
WellPoint Inc. 5.950% 12/15/34 3,200 3,770
WellPoint Inc. 5.850% 1/15/36 2,475 2,844
XL Group plc 6.375% 11/15/24 1,150 1,226
XL Group plc 6.250% 5/15/27 125 130
 
Real Estate Investment Trusts (0.1%)        
HCP Inc. 6.750% 2/1/41 775 824
Health Care REIT Inc. 5.250% 1/15/22 1,400 1,330
Health Care REIT Inc. 6.500% 3/15/41 900 862
Realty Income Corp. 5.875% 3/15/35 595 602
Simon Property Group LP 6.750% 2/1/40 1,350 1,635
        366,307
Industrial (26.1%)        
Basic Industry (2.0%)        
Agrium Inc. 6.125% 1/15/41 1,500 1,816
Alcoa Inc. 5.870% 2/23/22 1,550 1,516
Alcoa Inc. 5.900% 2/1/27 4,175 4,059
Alcoa Inc. 6.750% 1/15/28 1,225 1,283
AngloGold Ashanti Holdings plc 6.500% 4/15/40 550 541
ArcelorMittal 7.000% 10/15/39 3,900 3,470
ArcelorMittal 6.750% 3/1/41 2,900 2,500
Barrick North America Finance LLC 7.500% 9/15/38 1,225 1,646
Barrick North America Finance LLC 5.700% 5/30/41 1,375 1,461
Barrick PD Australia Finance Pty Ltd. 5.950% 10/15/39 1,750 1,906
BHP Billiton Finance USA Ltd. 6.420% 3/1/26 500 621
Cliffs Natural Resources Inc. 6.250% 10/1/40 2,350 2,309
Dow Chemical Co. 7.375% 11/1/29 3,300 4,054
Dow Chemical Co. 9.400% 5/15/39 2,350 3,560
EI du Pont de Nemours & Co. 6.500% 1/15/28 1,175 1,491
EI du Pont de Nemours & Co. 4.900% 1/15/41 925 1,020
International Paper Co. 8.700% 6/15/38 800 1,018
International Paper Co. 7.300% 11/15/39 1,800 2,014
3 Kinross Gold Corp. 6.875% 9/1/41 700 751
Lubrizol Corp. 6.500% 10/1/34 350 457
Monsanto Co. 5.500% 8/15/25 1,350 1,655
Monsanto Co. 5.875% 4/15/38 650 832
Newmont Mining Corp. 5.875% 4/1/35 1,250 1,367
Newmont Mining Corp. 6.250% 10/1/39 3,150 3,568
Nucor Corp. 4.125% 9/15/22 2,000 2,102

 

 

Nucor Corp. 6.400% 12/1/37 575 713
Placer Dome Inc. 6.450% 10/15/35 700 827
Potash Corp. of Saskatchewan Inc. 5.875% 12/1/36 1,465 1,784
Potash Corp. of Saskatchewan Inc. 5.625% 12/1/40 800 941
PPG Industries Inc. 7.700% 3/15/38 650 896
PPG Industries Inc. 5.500% 11/15/40 800 906
Reliance Steel & Aluminum Co. 6.850% 11/15/36 350 342
Rio Tinto Alcan Inc. 5.750% 6/1/35 1,250 1,430
Rio Tinto Finance USA Ltd. 7.125% 7/15/28 4,725 6,287
Rio Tinto Finance USA Ltd. 5.200% 11/2/40 1,250 1,352
Southern Copper Corp. 7.500% 7/27/35 3,500 3,743
Southern Copper Corp. 6.750% 4/16/40 1,750 1,772
Teck Resources Ltd. 4.750% 1/15/22 2,325 2,373
Teck Resources Ltd. 6.125% 10/1/35 1,500 1,586
Teck Resources Ltd. 6.000% 8/15/40 1,525 1,571
Teck Resources Ltd. 6.250% 7/15/41 2,300 2,411
Vale Canada Ltd. 7.200% 9/15/32 1,050 1,208
Vale Overseas Ltd. 8.250% 1/17/34 1,225 1,469
Vale Overseas Ltd. 6.875% 11/21/36 5,625 6,119
Vale Overseas Ltd. 6.875% 11/10/39 4,825 5,261
 
Capital Goods (1.9%)        
3M Co. 6.375% 2/15/28 500 664
3M Co. 5.700% 3/15/37 1,550 2,003
Boeing Co. 8.750% 9/15/31 850 1,300
Boeing Co. 6.125% 2/15/33 925 1,147
Boeing Co. 6.625% 2/15/38 1,050 1,422
Boeing Co. 6.875% 3/15/39 250 344
Boeing Co. 5.875% 2/15/40 1,625 2,017
Caterpillar Inc. 6.625% 7/15/28 1,575 2,090
Caterpillar Inc. 7.300% 5/1/31 1,200 1,695
Caterpillar Inc. 6.050% 8/15/36 2,225 2,856
Caterpillar Inc. 5.200% 5/27/41 2,350 2,754
Caterpillar Inc. 6.950% 5/1/42 1,425 2,038
Deere & Co. 5.375% 10/16/29 1,975 2,454
Deere & Co. 8.100% 5/15/30 1,000 1,503
Deere & Co. 7.125% 3/3/31 200 281
Dover Corp. 5.375% 10/15/35 350 419
Dover Corp. 6.600% 3/15/38 800 1,121
Dover Corp. 5.375% 3/1/41 1,900 2,300
Emerson Electric Co. 6.000% 8/15/32 400 509
Emerson Electric Co. 6.125% 4/15/39 825 1,097
Emerson Electric Co. 5.250% 11/15/39 175 211
Goodrich Corp. 6.800% 7/1/36 1,000 1,344
Honeywell International Inc. 5.700% 3/15/36 775 947
Honeywell International Inc. 5.700% 3/15/37 1,425 1,747
Honeywell International Inc. 5.375% 3/1/41 2,525 3,052
3 Illinois Tool Works Inc. 4.875% 9/15/41 1,600 1,788
Lockheed Martin Corp. 6.150% 9/1/36 5,025 6,145
Lockheed Martin Corp. 5.500% 11/15/39 1,200 1,359
Lockheed Martin Corp. 5.720% 6/1/40 189 213
Northrop Grumman Corp. 5.050% 11/15/40 1,950 2,047
Northrop Grumman Systems Corp. 7.750% 2/15/31 1,115 1,620
Owens Corning 7.000% 12/1/36 2,800 2,925
Parker Hannifin Corp. 3.500% 9/15/22 100 105
Parker Hannifin Corp. 6.250% 5/15/38 1,225 1,571
Raytheon Co. 7.200% 8/15/27 400 553

 

 

Raytheon Co. 4.875% 10/15/40 1,300 1,378
Republic Services Inc. 5.250% 11/15/21 1,525 1,712
Republic Services Inc. 6.086% 3/15/35 225 262
Republic Services Inc. 6.200% 3/1/40 3,375 4,055
Republic Services Inc. 5.700% 5/15/41 1,375 1,560
Rockwell Automation Inc. 6.700% 1/15/28 300 387
Rockwell Automation Inc. 6.250% 12/1/37 1,100 1,378
Sonoco Products Co. 5.750% 11/1/40 425 483
Stanley Black & Decker Inc. 5.200% 9/1/40 700 782
Tyco International Finance SA 4.625% 1/15/23 600 645
United Technologies Corp. 6.700% 8/1/28 250 332
United Technologies Corp. 7.500% 9/15/29 1,875 2,709
United Technologies Corp. 5.400% 5/1/35 1,775 2,077
United Technologies Corp. 6.050% 6/1/36 975 1,236
United Technologies Corp. 6.125% 7/15/38 1,700 2,142
United Technologies Corp. 5.700% 4/15/40 2,975 3,638
Waste Management Inc. 7.100% 8/1/26 800 1,008
Waste Management Inc. 7.000% 7/15/28 3,000 3,802
Waste Management Inc. 7.750% 5/15/32 875 1,197
Waste Management Inc. 6.125% 11/30/39 500 602
 
Communication (6.5%)        
Alltel Corp. 7.875% 7/1/32 2,225 3,184
America Movil SAB de CV 6.375% 3/1/35 2,700 2,971
America Movil SAB de CV 6.125% 11/15/37 1,200 1,267
America Movil SAB de CV 6.125% 3/30/40 4,700 4,942
Ameritech Capital Funding Corp. 6.550% 1/15/28 1,000 1,137
AT&T Corp. 8.000% 11/15/31 3,005 4,181
AT&T Inc. 6.450% 6/15/34 5,250 6,132
AT&T Inc. 6.150% 9/15/34 3,000 3,409
AT&T Inc. 6.500% 9/1/37 5,550 6,542
AT&T Inc. 6.300% 1/15/38 9,725 11,138
AT&T Inc. 6.400% 5/15/38 825 969
AT&T Inc. 6.550% 2/15/39 3,800 4,512
AT&T Inc. 5.350% 9/1/40 7,405 7,820
AT&T Inc. 5.550% 8/15/41 5,000 5,390
AT&T Mobility LLC 7.125% 12/15/31 2,425 3,212
Bellsouth Capital Funding Corp. 7.875% 2/15/30 4,250 5,687
BellSouth Corp. 6.875% 10/15/31 1,275 1,569
BellSouth Corp. 6.550% 6/15/34 1,475 1,721
BellSouth Corp. 6.000% 11/15/34 1,480 1,606
BellSouth Telecommunications Inc. 6.375% 6/1/28 1,640 1,876
British Telecommunications plc 9.875% 12/15/30 6,600 9,600
CBS Corp. 7.875% 7/30/30 3,865 4,863
CBS Corp. 5.500% 5/15/33 225 227
CBS Corp. 5.900% 10/15/40 600 632
CenturyLink Inc. 6.875% 1/15/28 550 488
CenturyLink Inc. 7.600% 9/15/39 3,800 3,425
Comcast Cable Communications Holdings        
Inc. 9.455% 11/15/22 3,198 4,675
Comcast Corp. 5.650% 6/15/35 5,100 5,316
Comcast Corp. 6.500% 11/15/35 7,225 8,255
Comcast Corp. 6.450% 3/15/37 3,175 3,618
Comcast Corp. 6.950% 8/15/37 3,550 4,249
Comcast Corp. 6.400% 5/15/38 2,000 2,271
Deutsche Telekom International Finance BV 8.750% 6/15/30 8,425 11,306

 

 

DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.350% 3/15/40 1,125 1,247
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.000% 8/15/40 2,250 2,384
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.375% 3/1/41 2,200 2,433
Discovery Communications LLC 6.350% 6/1/40 1,600 1,851
Embarq Corp. 7.995% 6/1/36 3,900 3,708
France Telecom SA 8.500% 3/1/31 5,590 7,757
Grupo Televisa SA 6.625% 3/18/25 1,600 1,770
Grupo Televisa SA 8.500% 3/11/32 250 311
Grupo Televisa SA 6.625% 1/15/40 875 926
GTE Corp. 8.750% 11/1/21 150 211
GTE Corp. 6.940% 4/15/28 2,275 2,835
Koninklijke KPN NV 8.375% 10/1/30 2,375 3,112
McGraw-Hill Cos. Inc. 6.550% 11/15/37 1,150 1,244
NBCUniversal Media LLC 6.400% 4/30/40 3,725 4,305
NBCUniversal Media LLC 5.950% 4/1/41 1,700 1,882
New Cingular Wireless Services Inc. 8.750% 3/1/31 2,075 3,095
News America Inc. 6.550% 3/15/33 225 245
News America Inc. 6.200% 12/15/34 6,450 6,834
News America Inc. 6.400% 12/15/35 5,950 6,401
News America Inc. 8.150% 10/17/36 1,225 1,530
News America Inc. 7.850% 3/1/39 750 926
News America Inc. 6.900% 8/15/39 975 1,117
News America Inc. 6.150% 2/15/41 3,525 3,759
News America Inc. 7.750% 12/1/45 1,225 1,487
Pacific Bell Telephone Co. 7.125% 3/15/26 550 700
Qwest Corp. 7.500% 6/15/23 2,350 2,326
Qwest Corp. 7.200% 11/10/26 200 188
Qwest Corp. 6.875% 9/15/33 3,850 3,638
Rogers Communications Inc. 7.500% 8/15/38 1,175 1,570
TCI Communications Inc. 7.875% 2/15/26 2,200 2,854
Telecom Italia Capital SA 6.375% 11/15/33 3,025 2,607
Telecom Italia Capital SA 6.000% 9/30/34 2,050 1,673
Telecom Italia Capital SA 7.200% 7/18/36 1,625 1,472
Telecom Italia Capital SA 7.721% 6/4/38 2,050 1,935
Telefonica Emisiones SAU 7.045% 6/20/36 5,725 5,766
Telefonica Europe BV 8.250% 9/15/30 2,500 2,802
Thomson Reuters Corp. 5.500% 8/15/35 900 989
Thomson Reuters Corp. 5.850% 4/15/40 1,100 1,259
Time Warner Cable Inc. 6.550% 5/1/37 4,000 4,408
Time Warner Cable Inc. 7.300% 7/1/38 2,000 2,364
Time Warner Cable Inc. 6.750% 6/15/39 4,275 4,779
Time Warner Cable Inc. 5.875% 11/15/40 3,550 3,632
Time Warner Cable Inc. 5.500% 9/1/41 1,975 1,924
Time Warner Entertainment Co. LP 8.375% 3/15/23 2,733 3,514
Time Warner Entertainment Co. LP 8.375% 7/15/33 1,950 2,542
United States Cellular Corp. 6.700% 12/15/33 1,450 1,549
Verizon Communications Inc. 5.850% 9/15/35 3,275 3,833
Verizon Communications Inc. 6.250% 4/1/37 2,825 3,395
Verizon Communications Inc. 6.400% 2/15/38 7,050 8,688
Verizon Communications Inc. 6.900% 4/15/38 2,800 3,606
Verizon Communications Inc. 8.950% 3/1/39 1,025 1,608
Verizon Communications Inc. 7.350% 4/1/39 1,250 1,679
Verizon Communications Inc. 6.000% 4/1/41 1,675 2,020
Verizon Global Funding Corp. 7.750% 12/1/30 7,550 10,340

 

 

Verizon Maryland Inc. 5.125% 6/15/33 500 517
Verizon New England Inc. 7.875% 11/15/29 400 488
Verizon New York Inc. 7.375% 4/1/32 650 805
Vodafone Group plc 7.875% 2/15/30 1,000 1,437
Vodafone Group plc 6.250% 11/30/32 200 245
Vodafone Group plc 6.150% 2/27/37 5,350 6,620
 
Consumer Cyclical (3.3%)        
CVS Caremark Corp. 6.250% 6/1/27 3,700 4,472
CVS Caremark Corp. 6.125% 9/15/39 2,925 3,426
CVS Caremark Corp. 5.750% 5/15/41 1,125 1,266
Daimler Finance North America LLC 8.500% 1/18/31 2,900 4,087
Darden Restaurants Inc. 6.800% 10/15/37 1,750 2,093
Historic TW Inc. 9.150% 2/1/23 1,230 1,692
Historic TW Inc. 6.625% 5/15/29 6,975 7,911
Home Depot Inc. 5.875% 12/16/36 5,200 6,086
Home Depot Inc. 5.400% 9/15/40 2,375 2,632
Home Depot Inc. 5.950% 4/1/41 2,250 2,683
Johnson Controls Inc. 6.000% 1/15/36 475 565
Johnson Controls Inc. 5.700% 3/1/41 1,100 1,230
Kohl's Corp. 6.000% 1/15/33 400 456
Kohl's Corp. 6.875% 12/15/37 1,675 2,065
Lowe's Cos. Inc. 6.875% 2/15/28 550 717
Lowe's Cos. Inc. 6.500% 3/15/29 1,800 2,262
Lowe's Cos. Inc. 5.800% 10/15/36 2,250 2,575
Lowe's Cos. Inc. 5.800% 4/15/40 1,175 1,370
Macy's Retail Holdings Inc. 6.900% 4/1/29 3,050 3,265
Macy's Retail Holdings Inc. 6.375% 3/15/37 3,100 3,387
McDonald's Corp. 6.300% 10/15/37 1,750 2,376
McDonald's Corp. 6.300% 3/1/38 1,475 1,989
McDonald's Corp. 5.700% 2/1/39 1,250 1,588
Nordstrom Inc. 6.950% 3/15/28 300 377
Nordstrom Inc. 7.000% 1/15/38 1,200 1,574
Target Corp. 7.000% 7/15/31 1,800 2,376
Target Corp. 6.350% 11/1/32 3,825 4,733
Target Corp. 6.500% 10/15/37 3,400 4,417
Target Corp. 7.000% 1/15/38 1,650 2,250
Time Warner Cos. Inc. 7.570% 2/1/24 500 627
Time Warner Cos. Inc. 6.950% 1/15/28 1,000 1,175
Time Warner Inc. 7.625% 4/15/31 5,935 7,366
Time Warner Inc. 7.700% 5/1/32 1,865 2,345
Time Warner Inc. 6.200% 3/15/40 2,350 2,610
Time Warner Inc. 6.100% 7/15/40 2,425 2,678
Time Warner Inc. 6.250% 3/29/41 2,925 3,308
VF Corp. 6.450% 11/1/37 1,500 1,910
Viacom Inc. 6.875% 4/30/36 4,775 5,726
Wal-Mart Stores Inc. 5.875% 4/5/27 4,562 5,693
Wal-Mart Stores Inc. 7.550% 2/15/30 4,425 6,307
Wal-Mart Stores Inc. 5.250% 9/1/35 5,300 6,080
Wal-Mart Stores Inc. 6.500% 8/15/37 5,850 7,811
Wal-Mart Stores Inc. 6.200% 4/15/38 4,275 5,519
Wal-Mart Stores Inc. 5.625% 4/1/40 1,000 1,220
Wal-Mart Stores Inc. 4.875% 7/8/40 3,950 4,377
Wal-Mart Stores Inc. 5.000% 10/25/40 1,000 1,128
Wal-Mart Stores Inc. 5.625% 4/15/41 4,350 5,349
Walt Disney Co. 7.000% 3/1/32 1,150 1,632
Walt Disney Co. 4.375% 8/16/41 225 238

 

 

Western Union Co. 6.200% 11/17/36 1,350 1,472
Western Union Co. 6.200% 6/21/40 325 351
Yum! Brands Inc. 6.875% 11/15/37 1,400 1,844
 
Consumer Noncyclical (5.4%)        
Abbott Laboratories 6.150% 11/30/37 2,225 2,875
Abbott Laboratories 6.000% 4/1/39 2,050 2,632
Abbott Laboratories 5.300% 5/27/40 2,600 3,117
Altria Group Inc. 9.950% 11/10/38 3,550 5,052
Altria Group Inc. 10.200% 2/6/39 3,725 5,423
Amgen Inc. 6.375% 6/1/37 2,125 2,738
Amgen Inc. 6.400% 2/1/39 5,075 6,638
Amgen Inc. 5.750% 3/15/40 950 1,144
Amgen Inc. 4.950% 10/1/41 1,950 2,130
Amgen Inc. 5.650% 6/15/42 1,700 2,062
Anheuser-Busch Cos. Inc. 6.800% 8/20/32 1,875 2,491
Anheuser-Busch Cos. Inc. 5.950% 1/15/33 650 795
Anheuser-Busch Cos. Inc. 5.750% 4/1/36 1,575 1,910
Anheuser-Busch Cos. Inc. 6.450% 9/1/37 650 862
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 3,475 5,238
Anheuser-Busch InBev Worldwide Inc. 6.375% 1/15/40 2,225 2,914
Archer-Daniels-Midland Co. 5.935% 10/1/32 255 321
Archer-Daniels-Midland Co. 5.375% 9/15/35 4,150 4,791
Archer-Daniels-Midland Co. 5.765% 3/1/41 2,400 3,006
3 Archer-Daniels-Midland Co. 4.535% 3/26/42 335 346
AstraZeneca plc 6.450% 9/15/37 6,925 9,263
Baptist Health South Florida Obligated Group 4.590% 8/15/21 550 600
Baxter International Inc. 6.250% 12/1/37 800 1,062
Becton Dickinson and Co. 6.000% 5/15/39 1,000 1,277
Becton Dickinson and Co. 5.000% 11/12/40 400 451
Boston Scientific Corp. 7.000% 11/15/35 575 670
Boston Scientific Corp. 7.375% 1/15/40 1,150 1,430
Bristol-Myers Squibb Co. 7.150% 6/15/23 1,300 1,804
Bristol-Myers Squibb Co. 6.800% 11/15/26 889 1,177
Bristol-Myers Squibb Co. 5.875% 11/15/36 1,802 2,257
Bristol-Myers Squibb Co. 6.125% 5/1/38 850 1,122
Bristol-Myers Squibb Co. 6.875% 8/1/97 200 289
Celgene Corp. 5.700% 10/15/40 600 676
Coca-Cola Refreshments USA Inc. 8.500% 2/1/22 600 864
ConAgra Foods Inc. 7.125% 10/1/26 150 174
ConAgra Foods Inc. 7.000% 10/1/28 175 203
ConAgra Foods Inc. 8.250% 9/15/30 1,650 2,104
Corn Products International Inc. 6.625% 4/15/37 575 687
Covidien International Finance SA 6.550% 10/15/37 2,525 3,253
CR Bard Inc. 6.700% 12/1/26 500 660
Delhaize Group SA 5.700% 10/1/40 2,739 2,846
Diageo Capital plc 5.875% 9/30/36 750 932
Diageo Investment Corp. 7.450% 4/15/35 1,750 2,567
Dr Pepper Snapple Group Inc. 7.450% 5/1/38 600 828
Eli Lilly & Co. 7.125% 6/1/25 1,100 1,497
Eli Lilly & Co. 5.500% 3/15/27 5,000 6,024
Eli Lilly & Co. 5.550% 3/15/37 750 910
Estee Lauder Cos. Inc. 6.000% 5/15/37 1,025 1,288
Fortune Brands Inc. 5.875% 1/15/36 175 182
Genentech Inc. 5.250% 7/15/35 200 232
General Mills Inc. 5.400% 6/15/40 2,000 2,349
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 1,850 2,216

 

 

GlaxoSmithKline Capital Inc. 6.375% 5/15/38 5,775 7,740
Hasbro Inc. 6.350% 3/15/40 1,544 1,666
HJ Heinz Finance Co. 6.750% 3/15/32 1,125 1,482
Hospira Inc. 5.600% 9/15/40 725 806
Johnson & Johnson 6.950% 9/1/29 2,125 3,090
Johnson & Johnson 4.950% 5/15/33 2,125 2,542
Johnson & Johnson 5.950% 8/15/37 975 1,316
Johnson & Johnson 5.850% 7/15/38 1,525 2,031
Johnson & Johnson 4.500% 9/1/40 1,775 1,985
Kellogg Co. 7.450% 4/1/31 2,350 3,395
Kimberly-Clark Corp. 6.625% 8/1/37 1,975 2,690
Kimberly-Clark Corp. 5.300% 3/1/41 600 721
Koninklijke Philips Electronics NV 6.875% 3/11/38 2,550 3,260
Kraft Foods Inc. 6.500% 11/1/31 2,450 3,062
Kraft Foods Inc. 7.000% 8/11/37 3,050 3,928
Kraft Foods Inc. 6.875% 2/1/38 1,575 1,982
Kraft Foods Inc. 6.875% 1/26/39 400 505
Kraft Foods Inc. 6.500% 2/9/40 8,150 9,875
Kroger Co. 7.700% 6/1/29 375 499
Kroger Co. 8.000% 9/15/29 1,925 2,623
Kroger Co. 7.500% 4/1/31 1,350 1,812
Kroger Co. 5.400% 7/15/40 750 822
Lorillard Tobacco Co. 7.000% 8/4/41 300 318
McKesson Corp. 6.000% 3/1/41 1,550 1,984
Mead Johnson Nutrition Co. 5.900% 11/1/39 1,675 1,980
Medtronic Inc. 6.500% 3/15/39 600 832
Medtronic Inc. 5.550% 3/15/40 1,025 1,297
Merck & Co. Inc. 6.300% 1/1/26 500 649
Merck & Co. Inc. 6.400% 3/1/28 2,200 2,931
Merck & Co. Inc. 5.950% 12/1/28 1,050 1,334
Merck & Co. Inc. 6.500% 12/1/33 775 1,068
Merck & Co. Inc. 5.750% 11/15/36 300 378
Merck & Co. Inc. 6.550% 9/15/37 3,850 5,401
Merck & Co. Inc. 5.850% 6/30/39 2,025 2,636
Pepsi Bottling Group Inc. 7.000% 3/1/29 3,575 5,004
PepsiCo Inc. 5.500% 1/15/40 425 530
PepsiCo Inc. 4.875% 11/1/40 3,600 4,083
Pfizer Inc. 7.200% 3/15/39 4,475 6,514
Pharmacia Corp. 6.600% 12/1/28 1,050 1,392
Philip Morris International Inc. 6.375% 5/16/38 3,700 4,748
Procter & Gamble Co. 6.450% 1/15/26 1,100 1,454
Procter & Gamble Co. 5.800% 8/15/34 100 131
Procter & Gamble Co. 5.550% 3/5/37 4,650 5,985
Quest Diagnostics Inc. 6.950% 7/1/37 925 1,161
Quest Diagnostics Inc. 5.750% 1/30/40 1,000 1,087
Ralcorp Holdings Inc. 6.625% 8/15/39 1,225 1,233
Reynolds American Inc. 7.250% 6/15/37 600 678
Safeway Inc. 7.250% 2/1/31 1,631 2,051
Sara Lee Corp. 6.125% 11/1/32 625 630
Sysco Corp. 5.375% 9/21/35 1,575 1,954
Teva Pharmaceutical Finance Co. LLC 6.150% 2/1/36 1,675 2,078
Unilever Capital Corp. 5.900% 11/15/32 3,325 4,424
Wyeth 6.450% 2/1/24 2,725 3,554
Wyeth 6.000% 2/15/36 2,850 3,512
Wyeth 5.950% 4/1/37 5,875 7,494
Zimmer Holdings Inc. 5.750% 11/30/39 1,100 1,302

 

 

Energy (4.1%)        
Alberta Energy Co. Ltd. 7.375% 11/1/31 1,000 1,257
Anadarko Finance Co. 7.500% 5/1/31 2,000 2,368
Anadarko Petroleum Corp. 6.450% 9/15/36 5,300 5,563
Anadarko Petroleum Corp. 7.950% 6/15/39 50 62
Anadarko Petroleum Corp. 6.200% 3/15/40 1,575 1,622
Apache Corp. 6.000% 1/15/37 1,600 1,965
Apache Corp. 5.100% 9/1/40 2,500 2,749
Apache Corp. 5.250% 2/1/42 2,550 2,873
Apache Finance Canada Corp. 7.750% 12/15/29 650 959
Baker Hughes Inc. 6.875% 1/15/29 1,000 1,336
Baker Hughes Inc. 5.125% 9/15/40 3,215 3,686
Burlington Resources Finance Co. 7.200% 8/15/31 1,050 1,373
Burlington Resources Finance Co. 7.400% 12/1/31 1,675 2,398
Cameron International Corp. 5.950% 6/1/41 1,400 1,585
Canadian Natural Resources Ltd. 7.200% 1/15/32 1,400 1,793
Canadian Natural Resources Ltd. 6.450% 6/30/33 1,175 1,447
Canadian Natural Resources Ltd. 6.500% 2/15/37 2,275 2,822
Canadian Natural Resources Ltd. 6.250% 3/15/38 2,315 2,783
Cenovus Energy Inc. 6.750% 11/15/39 3,250 4,011
ConocoPhillips 5.900% 10/15/32 2,250 2,716
ConocoPhillips 5.900% 5/15/38 3,575 4,390
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 950 1,189
ConocoPhillips Holding Co. 6.950% 4/15/29 1,975 2,635
Devon Energy Corp. 7.950% 4/15/32 435 614
Devon Energy Corp. 5.600% 7/15/41 2,625 3,010
Devon Financing Corp. ULC 7.875% 9/30/31 4,825 6,771
Diamond Offshore Drilling Inc. 5.700% 10/15/39 1,075 1,200
Encana Corp. 6.500% 8/15/34 4,825 5,420
Encana Corp. 6.625% 8/15/37 1,175 1,368
Encana Corp. 6.500% 2/1/38 500 574
Eni USA Inc. 7.300% 11/15/27 600 745
Global Marine Inc. 7.000% 6/1/28 800 876
Halliburton Co. 6.700% 9/15/38 4,175 5,496
Hess Corp. 7.875% 10/1/29 2,625 3,539
Hess Corp. 7.300% 8/15/31 600 774
Hess Corp. 7.125% 3/15/33 925 1,184
Hess Corp. 6.000% 1/15/40 2,100 2,405
Hess Corp. 5.600% 2/15/41 3,000 3,255
Husky Energy Inc. 6.800% 9/15/37 725 885
Kerr-McGee Corp. 6.950% 7/1/24 2,162 2,532
Kerr-McGee Corp. 7.875% 9/15/31 500 606
Marathon Oil Corp. 6.600% 10/1/37 2,400 2,852
3 Marathon Petroleum Corp. 6.500% 3/1/41 3,000 3,236
Nexen Inc. 7.875% 3/15/32 1,050 1,357
Nexen Inc. 5.875% 3/10/35 1,850 1,780
Nexen Inc. 6.400% 5/15/37 3,300 3,366
Nexen Inc. 7.500% 7/30/39 1,525 1,756
Noble Energy Inc. 8.000% 4/1/27 775 1,046
Noble Energy Inc. 6.000% 3/1/41 1,950 2,183
Noble Holding International Ltd. 6.200% 8/1/40 1,700 1,986
Petro-Canada 7.875% 6/15/26 150 201
Petro-Canada 7.000% 11/15/28 250 306
Petro-Canada 5.350% 7/15/33 1,650 1,675
Petro-Canada 5.950% 5/15/35 2,500 2,688
Petro-Canada 6.800% 5/15/38 2,675 3,230
Shell International Finance BV 6.375% 12/15/38 6,400 8,758

 

 

Shell International Finance BV 5.500% 3/25/40 2,550 3,161
Statoil ASA 7.250% 9/23/27 2,500 3,387
Statoil ASA 7.150% 1/15/29 1,000 1,355
Statoil ASA 5.100% 8/17/40 2,300 2,695
Suncor Energy Inc. 7.150% 2/1/32 800 991
Suncor Energy Inc. 5.950% 12/1/34 875 940
Suncor Energy Inc. 6.500% 6/15/38 4,625 5,389
Suncor Energy Inc. 6.850% 6/1/39 500 607
Talisman Energy Inc. 7.250% 10/15/27 450 557
Talisman Energy Inc. 5.850% 2/1/37 3,200 3,452
Tosco Corp. 8.125% 2/15/30 7,500 10,657
Total Capital SA 4.450% 6/24/20 1,000 1,118
Transocean Inc. 6.500% 11/15/20 225 246
Transocean Inc. 7.500% 4/15/31 1,525 1,705
Transocean Inc. 6.800% 3/15/38 1,725 1,792
Valero Energy Corp. 7.500% 4/15/32 950 1,109
Valero Energy Corp. 6.625% 6/15/37 5,325 5,612
Weatherford International Inc. 6.800% 6/15/37 2,900 3,149
Weatherford International Ltd. 6.500% 8/1/36 1,500 1,570
Weatherford International Ltd. 7.000% 3/15/38 1,600 1,725
Williams Cos. Inc. 7.500% 1/15/31 2,852 3,387
Williams Cos. Inc. 7.750% 6/15/31 1,537 1,873
XTO Energy Inc. 6.750% 8/1/37 500 777
 
Other Industrial (0.1%)        
Massachusetts Development Finance Agency        
Revenue (Harvard University) 4.875% 10/15/40 1,000 1,222
Massachusetts Health & Educational Facilities        
Authority Revenue (MIT) 5.600% 7/1/2111 1,950 2,619
 
Technology (1.4%)        
Applied Materials Inc. 5.850% 6/15/41 1,350 1,508
Cisco Systems Inc. 5.900% 2/15/39 1,800 2,165
Cisco Systems Inc. 5.500% 1/15/40 7,550 8,775
Corning Inc. 7.250% 8/15/36 600 736
Corning Inc. 5.750% 8/15/40 950 1,061
Dell Inc. 7.100% 4/15/28 500 618
Dell Inc. 6.500% 4/15/38 1,458 1,757
Harris Corp. 6.150% 12/15/40 400 458
Hewlett-Packard Co. 6.000% 9/15/41 3,000 3,182
HP Enterprise Services LLC 7.450% 10/15/29 375 466
Intel Corp. 4.800% 10/1/41 5,100 5,499
International Business Machines Corp. 7.000% 10/30/25 1,050 1,447
International Business Machines Corp. 6.220% 8/1/27 1,600 2,072
International Business Machines Corp. 6.500% 1/15/28 225 300
International Business Machines Corp. 5.875% 11/29/32 950 1,205
International Business Machines Corp. 5.600% 11/30/39 4,970 6,139
Juniper Networks Inc. 5.950% 3/15/41 750 807
Microsoft Corp. 5.200% 6/1/39 2,075 2,516
Microsoft Corp. 4.500% 10/1/40 1,750 1,931
Microsoft Corp. 5.300% 2/8/41 1,800 2,219
Motorola Solutions Inc. 7.500% 5/15/25 525 616
Nokia Oyj 6.625% 5/15/39 1,575 1,463
Oracle Corp. 6.500% 4/15/38 2,775 3,660
Oracle Corp. 6.125% 7/8/39 2,125 2,657
3 Oracle Corp. 5.375% 7/15/40 5,825 6,766
Pitney Bowes Inc. 5.250% 1/15/37 2,000 2,077

 

 

3 SAIC Inc. 5.950% 12/1/40 350 421
Science Applications International Corp. 5.500% 7/1/33 1,100 1,216
Tyco Electronics Group SA 7.125% 10/1/37 1,250 1,638
Xerox Corp. 6.750% 12/15/39 950 1,127
 
Transportation (1.4%)        
2 American Airlines 2011-2 Class A Pass        
Through Trust 8.625% 4/15/23 1,550 1,538
2 BNSF Funding Trust I 6.613% 12/15/55 850 858
Burlington Northern Santa Fe LLC 7.000% 12/15/25 700 939
Burlington Northern Santa Fe LLC 7.950% 8/15/30 1,300 1,808
Burlington Northern Santa Fe LLC 6.200% 8/15/36 775 947
Burlington Northern Santa Fe LLC 6.150% 5/1/37 1,325 1,613
Burlington Northern Santa Fe LLC 5.750% 5/1/40 1,550 1,815
Burlington Northern Santa Fe LLC 5.050% 3/1/41 1,475 1,571
Burlington Northern Santa Fe LLC 5.400% 6/1/41 1,650 1,853
Canadian National Railway Co. 6.250% 8/1/34 2,450 3,278
Canadian National Railway Co. 6.200% 6/1/36 1,925 2,484
Canadian Pacific Railway Co. 4.450% 3/15/23 1,800 1,938
Canadian Pacific Railway Co. 7.125% 10/15/31 1,325 1,712
Con-way Inc. 6.700% 5/1/34 650 640
2 Continental Airlines 2007-1 Class A Pass        
Through Trust 5.983% 4/19/22 2,604 2,637
CSX Corp. 6.000% 10/1/36 175 212
CSX Corp. 6.150% 5/1/37 2,125 2,587
CSX Corp. 6.220% 4/30/40 4,125 5,119
CSX Corp. 5.500% 4/15/41 400 453
2 Delta Air Lines 2007-1 Class A Pass Through        
Trust 6.821% 8/10/22 1,966 1,986
Norfolk Southern Corp. 5.590% 5/17/25 716 838
Norfolk Southern Corp. 7.800% 5/15/27 2,802 3,996
Norfolk Southern Corp. 5.640% 5/17/29 1,898 2,254
Norfolk Southern Corp. 7.250% 2/15/31 800 1,097
3 Norfolk Southern Corp. 4.837% 10/1/41 2,400 2,499
Norfolk Southern Corp. 6.000% 5/23/2111 1,625 1,935
2 Southwest Airlines Co. 2007-1 Pass Through        
Trust 6.150% 8/1/22 719 752
Union Pacific Corp. 7.125% 2/1/28 600 806
Union Pacific Corp. 6.625% 2/1/29 1,500 1,942
Union Pacific Corp. 6.150% 5/1/37 1,000 1,235
Union Pacific Corp. 4.750% 9/15/41 2,550 2,619
2 Union Pacific Railroad Co. 2007-3 Pass        
Through Trust 6.176% 1/2/31 888 1,088
United Parcel Service Inc. 6.200% 1/15/38 3,950 5,291
United Parcel Service of America Inc. 8.375% 4/1/30 500 751
        1,199,014
Utilities (7.2%)        
Electric (5.3%)        
AEP Texas Central Co. 6.650% 2/15/33 2,980 3,688
Alabama Power Co. 6.125% 5/15/38 1,000 1,304
Alabama Power Co. 5.500% 3/15/41 500 608
Alabama Power Co. 5.200% 6/1/41 1,375 1,604
Appalachian Power Co. 5.800% 10/1/35 500 580
Appalachian Power Co. 6.375% 4/1/36 825 1,020
Appalachian Power Co. 7.000% 4/1/38 875 1,173
Baltimore Gas & Electric Co. 6.350% 10/1/36 375 479
CenterPoint Energy Houston Electric LLC 6.950% 3/15/33 925 1,222

 

 

Cleco Power LLC 6.000% 12/1/40 1,000 1,194
Cleveland Electric Illuminating Co. 5.500% 8/15/24 1,000 1,154
Cleveland Electric Illuminating Co. 5.950% 12/15/36 1,000 1,051
Columbus Southern Power Co. 5.850% 10/1/35 800 925
4 Commonwealth Edison Co. 5.875% 2/1/33 250 290
Commonwealth Edison Co. 5.900% 3/15/36 1,950 2,342
Commonwealth Edison Co. 6.450% 1/15/38 400 513
Connecticut Light & Power Co. 6.350% 6/1/36 750 999
Consolidated Edison Co. of New York Inc. 5.300% 3/1/35 1,950 2,210
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 1,875 2,273
Consolidated Edison Co. of New York Inc. 6.300% 8/15/37 925 1,189
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 2,675 3,636
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 750 904
Constellation Energy Group Inc. 7.600% 4/1/32 1,800 2,192
Detroit Edison Co. 5.700% 10/1/37 500 624
Dominion Resources Inc. 6.300% 3/15/33 2,150 2,631
Dominion Resources Inc. 5.950% 6/15/35 1,675 1,977
Dominion Resources Inc. 7.000% 6/15/38 1,025 1,387
Dominion Resources Inc. 4.900% 8/1/41 1,700 1,776
DTE Energy Co. 6.375% 4/15/33 800 989
Duke Energy Carolinas LLC 6.000% 12/1/28 1,125 1,374
Duke Energy Carolinas LLC 6.450% 10/15/32 1,050 1,370
Duke Energy Carolinas LLC 6.100% 6/1/37 850 1,074
Duke Energy Carolinas LLC 6.000% 1/15/38 875 1,136
Duke Energy Carolinas LLC 6.050% 4/15/38 3,500 4,576
Duke Energy Carolinas LLC 5.300% 2/15/40 1,400 1,664
Duke Energy Indiana Inc. 6.120% 10/15/35 600 729
Duke Energy Indiana Inc. 6.350% 8/15/38 1,000 1,332
El Paso Electric Co. 6.000% 5/15/35 850 982
Entergy Gulf States Louisiana LLC 5.590% 10/1/24 500 574
Entergy Louisiana LLC 5.400% 11/1/24 1,425 1,640
Entergy Louisiana LLC 4.440% 1/15/26 425 438
Exelon Corp. 5.625% 6/15/35 1,975 2,136
Exelon Generation Co. LLC 6.250% 10/1/39 3,475 4,026
FirstEnergy Corp. 7.375% 11/15/31 6,050 7,435
FirstEnergy Solutions Corp. 6.800% 8/15/39 645 716
Florida Power & Light Co. 5.950% 10/1/33 950 1,214
Florida Power & Light Co. 5.625% 4/1/34 1,674 2,066
Florida Power & Light Co. 4.950% 6/1/35 150 171
Florida Power & Light Co. 5.400% 9/1/35 1,100 1,329
Florida Power & Light Co. 6.200% 6/1/36 150 201
Florida Power & Light Co. 5.650% 2/1/37 2,150 2,691
Florida Power & Light Co. 5.850% 5/1/37 475 610
Florida Power & Light Co. 5.950% 2/1/38 2,850 3,720
Florida Power & Light Co. 5.960% 4/1/39 650 854
Florida Power & Light Co. 5.690% 3/1/40 750 956
Florida Power & Light Co. 5.250% 2/1/41 1,000 1,204
Florida Power Corp. 6.350% 9/15/37 1,525 2,034
Florida Power Corp. 6.400% 6/15/38 4,025 5,296
Florida Power Corp. 5.650% 4/1/40 500 617
Georgia Power Co. 5.650% 3/1/37 2,075 2,553
Georgia Power Co. 5.950% 2/1/39 1,160 1,470
Georgia Power Co. 5.400% 6/1/40 2,000 2,360
Iberdrola International BV 6.750% 7/15/36 1,425 1,472
Indiana Michigan Power Co. 6.050% 3/15/37 1,775 2,125
Interstate Power & Light Co. 6.250% 7/15/39 975 1,275
Kansas City Power & Light Co. 6.050% 11/15/35 500 550

 

 

Kansas City Power & Light Co. 5.300% 10/1/41 750 766
Kentucky Utilities Co. 5.125% 11/1/40 800 949
Louisville Gas & Electric Co. 5.125% 11/15/40 1,700 2,017
MidAmerican Energy Co. 6.750% 12/30/31 1,800 2,397
MidAmerican Energy Co. 5.750% 11/1/35 850 1,026
MidAmerican Energy Co. 5.800% 10/15/36 875 1,067
Midamerican Energy Holdings Co. 8.480% 9/15/28 300 417
Midamerican Energy Holdings Co. 6.125% 4/1/36 8,425 10,116
Midamerican Energy Holdings Co. 5.950% 5/15/37 1,675 1,962
Midamerican Energy Holdings Co. 6.500% 9/15/37 1,700 2,132
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 2,625 3,675
Nevada Power Co. 6.750% 7/1/37 1,800 2,471
Nevada Power Co. 5.375% 9/15/40 1,300 1,522
Nevada Power Co. 5.450% 5/15/41 500 588
Northern States Power Co. 5.250% 7/15/35 1,175 1,403
Northern States Power Co. 6.250% 6/1/36 525 707
Northern States Power Co. 6.200% 7/1/37 1,550 2,085
Northern States Power Co. 5.350% 11/1/39 625 763
Northern States Power Co. 4.850% 8/15/40 800 910
NSTAR Electric Co. 5.500% 3/15/40 725 890
Oglethorpe Power Corp. 5.950% 11/1/39 750 918
Oglethorpe Power Corp. 5.375% 11/1/40 1,450 1,646
Ohio Edison Co. 6.875% 7/15/36 1,000 1,259
Ohio Power Co. 6.600% 2/15/33 400 514
Oklahoma Gas & Electric Co. 5.850% 6/1/40 350 440
Oncor Electric Delivery Co. LLC 7.000% 9/1/22 1,675 2,121
Oncor Electric Delivery Co. LLC 7.000% 5/1/32 2,025 2,706
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 325 445
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 425 611
Oncor Electric Delivery Co. LLC 5.250% 9/30/40 1,175 1,321
Pacific Gas & Electric Co. 6.050% 3/1/34 9,125 10,975
Pacific Gas & Electric Co. 5.800% 3/1/37 2,925 3,398
Pacific Gas & Electric Co. 6.350% 2/15/38 1,500 1,871
Pacific Gas & Electric Co. 5.400% 1/15/40 700 784
PacifiCorp 7.700% 11/15/31 400 588
PacifiCorp 5.250% 6/15/35 1,150 1,313
PacifiCorp 5.750% 4/1/37 1,000 1,198
PacifiCorp 6.250% 10/15/37 1,700 2,171
Pennsylvania Electric Co. 6.150% 10/1/38 350 421
Potomac Electric Power Co. 6.500% 11/15/37 2,000 2,693
PPL Electric Utilities Corp. 6.250% 5/15/39 775 1,038
PPL Electric Utilities Corp. 5.200% 7/15/41 400 470
Progress Energy Inc. 7.750% 3/1/31 1,725 2,349
Progress Energy Inc. 6.000% 12/1/39 1,800 2,137
PSEG Power LLC 8.625% 4/15/31 400 562
Public Service Co. of Colorado 6.250% 9/1/37 1,025 1,388
Public Service Co. of Colorado 4.750% 8/15/41 800 899
Public Service Co. of Oklahoma 6.625% 11/15/37 300 390
Public Service Electric & Gas Co. 5.800% 5/1/37 2,050 2,579
Public Service Electric & Gas Co. 5.500% 3/1/40 1,550 1,888
Puget Sound Energy Inc. 5.483% 6/1/35 1,725 1,975
Puget Sound Energy Inc. 6.274% 3/15/37 1,425 1,810
Puget Sound Energy Inc. 5.757% 10/1/39 850 1,022
Puget Sound Energy Inc. 5.795% 3/15/40 675 817
Puget Sound Energy Inc. 5.764% 7/15/40 600 724
San Diego Gas & Electric Co. 5.350% 5/15/35 1,025 1,230

 

 

San Diego Gas & Electric Co. 6.125% 9/15/37 625 829
San Diego Gas & Electric Co. 4.500% 8/15/40 2,225 2,430
South Carolina Electric & Gas Co. 6.625% 2/1/32 500 657
South Carolina Electric & Gas Co. 5.300% 5/15/33 1,850 2,111
South Carolina Electric & Gas Co. 6.050% 1/15/38 775 988
South Carolina Electric & Gas Co. 5.450% 2/1/41 500 596
Southern California Edison Co. 6.650% 4/1/29 700 928
Southern California Edison Co. 6.000% 1/15/34 975 1,267
Southern California Edison Co. 5.750% 4/1/35 800 1,017
Southern California Edison Co. 5.350% 7/15/35 2,000 2,425
Southern California Edison Co. 5.550% 1/15/36 100 125
Southern California Edison Co. 5.625% 2/1/36 2,075 2,611
Southern California Edison Co. 5.550% 1/15/37 500 626
Southern California Edison Co. 5.950% 2/1/38 1,675 2,216
Southern California Edison Co. 4.500% 9/1/40 2,275 2,485
Southern Power Co. 5.150% 9/15/41 750 781
Southwestern Electric Power Co. 6.200% 3/15/40 700 829
Tampa Electric Co. 6.550% 5/15/36 450 588
Tampa Electric Co. 6.150% 5/15/37 900 1,127
Toledo Edison Co. 6.150% 5/15/37 500 592
TransAlta Corp. 6.500% 3/15/40 600 683
United Utilities plc 6.875% 8/15/28 375 437
Virginia Electric and Power Co. 3.450% 9/1/22 750 777
Virginia Electric and Power Co. 6.000% 1/15/36 1,725 2,185
Virginia Electric and Power Co. 6.000% 5/15/37 825 1,046
Virginia Electric and Power Co. 6.350% 11/30/37 1,000 1,323
Virginia Electric and Power Co. 8.875% 11/15/38 1,200 1,968
Wisconsin Electric Power Co. 5.625% 5/15/33 450 545
Wisconsin Electric Power Co. 5.700% 12/1/36 1,575 1,903
Wisconsin Power & Light Co. 6.375% 8/15/37 950 1,259
Xcel Energy Inc. 6.500% 7/1/36 650 857
 
Natural Gas (1.8%)        
AGL Capital Corp. 6.000% 10/1/34 850 980
AGL Capital Corp. 5.875% 3/15/41 1,225 1,414
Atmos Energy Corp. 5.500% 6/15/41 750 882
CenterPoint Energy Resources Corp. 5.850% 1/15/41 500 554
DCP Midstream LLC 8.125% 8/16/30 500 637
El Paso Natural Gas Co. 8.375% 6/15/32 1,520 1,959
Enbridge Energy Partners LP 7.500% 4/15/38 1,595 2,042
Energy Transfer Partners LP 6.625% 10/15/36 1,625 1,654
Energy Transfer Partners LP 7.500% 7/1/38 2,675 2,876
Enterprise Products Operating LLC 6.875% 3/1/33 2,150 2,555
Enterprise Products Operating LLC 6.650% 10/15/34 1,095 1,277
Enterprise Products Operating LLC 7.550% 4/15/38 1,125 1,411
Enterprise Products Operating LLC 6.125% 10/15/39 1,500 1,637
Enterprise Products Operating LLC 6.450% 9/1/40 1,275 1,443
Enterprise Products Operating LLC 5.950% 2/1/41 1,650 1,775
Enterprise Products Operating LLC 5.700% 2/15/42 1,200 1,248
KeySpan Corp. 8.000% 11/15/30 1,175 1,666
Kinder Morgan Energy Partners LP 7.750% 3/15/32 500 607
Kinder Morgan Energy Partners LP 7.300% 8/15/33 1,000 1,166
Kinder Morgan Energy Partners LP 5.800% 3/15/35 1,675 1,647
Kinder Morgan Energy Partners LP 6.500% 2/1/37 3,250 3,433
Kinder Morgan Energy Partners LP 6.950% 1/15/38 2,419 2,665
Kinder Morgan Energy Partners LP 6.500% 9/1/39 1,900 2,060
Kinder Morgan Energy Partners LP 6.375% 3/1/41 1,700 1,814

 

 

Kinder Morgan Energy Partners LP 5.625% 9/1/41 900 886
Nisource Finance Corp. 6.125% 3/1/22 2,900 3,286
Nisource Finance Corp. 5.950% 6/15/41 125 135
Oneok Inc. 6.000% 6/15/35 1,725 1,859
ONEOK Partners LP 6.650% 10/1/36 3,025 3,526
ONEOK Partners LP 6.850% 10/15/37 200 239
ONEOK Partners LP 6.125% 2/1/41 1,825 2,009
Plains All American Pipeline LP / PAA        
Finance Corp. 6.650% 1/15/37 2,175 2,415
Sempra Energy 6.000% 10/15/39 2,100 2,548
Southern California Gas Co. 5.750% 11/15/35 75 97
Southern Natural Gas Co. 8.000% 3/1/32 1,200 1,560
Southern Union Co. 8.250% 11/15/29 1,650 1,954
Spectra Energy Capital LLC 6.750% 2/15/32 1,705 1,957
Sunoco Logistics Partners Operations LP 4.650% 2/15/22 1,325 1,303
Tennessee Gas Pipeline Co. 7.000% 3/15/27 350 414
Tennessee Gas Pipeline Co. 7.000% 10/15/28 1,400 1,671
Texas Eastern Transmission LP 7.000% 7/15/32 700 898
TransCanada PipeLines Ltd. 5.600% 3/31/34 1,725 2,023
TransCanada PipeLines Ltd. 5.850% 3/15/36 2,575 3,139
TransCanada PipeLines Ltd. 6.200% 10/15/37 650 803
TransCanada PipeLines Ltd. 7.250% 8/15/38 3,850 5,242
TransCanada PipeLines Ltd. 7.625% 1/15/39 1,450 2,004
TransCanada PipeLines Ltd. 6.100% 6/1/40 600 750
Williams Partners LP 6.300% 4/15/40 4,150 4,637
 
Other Utility (0.1%)        
American Water Capital Corp. 6.593% 10/15/37 1,925 2,311
Veolia Environnement SA 6.750% 6/1/38 575 729
 
        330,446
Total Corporate Bonds (Cost $1,675,579)       1,895,767
Sovereign Bonds (U.S. Dollar-Denominated) (4.9%)        
Asian Development Bank 5.593% 7/16/18 4,000 4,905
Brazilian Government International Bond 8.875% 4/15/24 3,000 4,275
Brazilian Government International Bond 8.750% 2/4/25 6,700 9,413
Brazilian Government International Bond 10.125% 5/15/27 6,700 10,485
Brazilian Government International Bond 8.250% 1/20/34 6,375 8,925
Brazilian Government International Bond 7.125% 1/20/37 6,800 8,682
Brazilian Government International Bond 11.000% 8/17/40 5,150 6,780
Brazilian Government International Bond 5.625% 1/7/41 5,875 6,316
Colombia Government International Bond 8.125% 5/21/24 1,450 1,907
Colombia Government International Bond 7.375% 9/18/37 3,750 4,837
Colombia Government International Bond 6.125% 1/18/41 4,700 5,317
European Investment Bank 4.875% 2/15/36 2,400 2,880
Finland Government International Bond 6.950% 2/15/26 695 1,008
Hungary Government International Bond 7.625% 3/29/41 1,750 1,699
Hydro Quebec 8.400% 1/15/22 775 1,151
Hydro Quebec 8.050% 7/7/24 5,000 7,552
Hydro Quebec 8.500% 12/1/29 1,200 2,003
Inter-American Development Bank 7.000% 6/15/25 750 1,079
International Bank for Reconstruction &        
Development 7.625% 1/19/23 1,807 2,689
International Bank for Reconstruction &        
Development 8.875% 3/1/26 1,000 1,674

 

 

International Bank for Reconstruction &        
Development 4.750% 2/15/35 1,025 1,279
Korea Electric Power Corp. 7.000% 2/1/27 750 915
5 Kreditanstalt fuer Wiederaufbau 0.000% 4/18/36 6,200 2,763
5 Kreditanstalt fuer Wiederaufbau 0.000% 6/29/37 825 349
Landesbank Baden-Wuerttemberg 7.625% 2/1/23 700 936
Mexico Government International Bond 8.300% 8/15/31 1,325 1,875
Mexico Government International Bond 7.500% 4/8/33 1,000 1,310
Mexico Government International Bond 6.750% 9/27/34 12,800 15,741
Mexico Government International Bond 6.050% 1/11/40 11,525 12,994
Mexico Government International Bond 5.750% 10/12/10 4,950 4,832
Panama Government International Bond 7.125% 1/29/26 3,850 4,822
Panama Government International Bond 8.875% 9/30/27 1,350 1,924
Panama Government International Bond 9.375% 4/1/29 1,200 1,779
2 Panama Government International Bond 6.700% 1/26/36 4,900 5,911
Pemex Project Funding Master Trust 6.625% 6/15/35 6,250 6,778
Pemex Project Funding Master Trust 6.625% 6/15/38 1,375 1,477
Peruvian Government International Bond 7.350% 7/21/25 5,800 7,192
Peruvian Government International Bond 8.750% 11/21/33 3,250 4,588
2 Peruvian Government International Bond 6.550% 3/14/37 4,875 5,606
Peruvian Government International Bond 5.625% 11/18/50 2,200 2,191
Petrobras International Finance Co. - Pifco 6.875% 1/20/40 4,850 5,108
Petrobras International Finance Co. - Pifco 6.750% 1/27/41 1,975 2,101
3 Petroleos Mexicanos 6.500% 6/2/41 3,000 3,163
Province of British Columbia 6.500% 1/15/26 1,500 2,110
Province of Saskatchewan 7.375% 7/15/13 600 672
Quebec 7.125% 2/9/24 4,125 5,866
Quebec 7.500% 9/15/29 4,375 6,745
Region of Lombardy Italy 5.804% 10/25/32 2,375 2,367
Republic of Italy 6.875% 9/27/23 6,600 6,465
Republic of Italy 5.375% 6/15/33 5,675 5,107
Republic of Korea 5.625% 11/3/25 900 1,061
South Africa Government International Bond 6.875% 5/27/19 150 178
South Africa Government International Bond 5.875% 5/30/22 2,125 2,380
South Africa Government International Bond 6.250% 3/8/41 1,850 2,084
Total Sovereign Bonds (Cost $204,992)       224,246
Taxable Municipal Bonds (6.4%)        
Alameda County CA Joint Powers Authority        
Lease Revenue 7.046% 12/1/44 600 740
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.834% 2/15/41 200 275
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.053% 2/15/43 600 696
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 5.939% 2/15/47 2,900 3,239
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.270% 2/15/50 475 573
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.499% 2/15/50 200 268
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 8.084% 2/15/50 1,800 2,556
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 600 759
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 950 1,239
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 3,150 4,071

 

 

Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 7.043% 4/1/50 2,000 2,700
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.907% 10/1/50 775 1,024
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 5.262% 7/1/39 550 663
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 6.276% 8/15/41 675 766
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 5.134% 8/15/42 500 604
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 4.794% 8/15/46 575 655
California GO 5.700% 11/1/21 1,300 1,443
California GO 6.650% 3/1/22 1,500 1,822
California GO 7.500% 4/1/34 6,125 7,329
California GO 7.950% 3/1/36 1,500 1,705
California GO 7.550% 4/1/39 5,800 7,177
California GO 7.300% 10/1/39 4,625 5,573
California GO 7.350% 11/1/39 1,950 2,363
California GO 7.625% 3/1/40 3,100 3,878
California GO 7.600% 11/1/40 4,600 5,749
Central Puget Sound WA Regional Transit        
Authority Sales & Use Tax Revenue 5.491% 11/1/39 650 806
Chicago IL Board of Education GO 6.319% 11/1/29 650 741
Chicago IL Board of Education GO 6.138% 12/1/39 700 776
Chicago IL GO 7.781% 1/1/35 675 866
Chicago IL Metropolitan Water Reclamation        
District GO 5.720% 12/1/38 1,125 1,377
Chicago IL O'Hare International Airport        
Revenue 6.845% 1/1/38 600 676
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 650 785
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 4,650 5,543
Chicago IL Wastewater Transmission        
Revenue 6.900% 1/1/40 575 765
Chicago IL Water Revenue 6.742% 11/1/40 800 1,048
Clark County NV Airport Revenue 6.881% 7/1/42 650 715
Clark County NV Airport Revenue 6.820% 7/1/45 1,000 1,266
Colorado Bridge Enterprise Revenue 6.078% 12/1/40 280 360
Commonwealth Financing Authority        
Pennsylvania Revenue 6.218% 6/1/39 1,190 1,396
Connecticut GO 5.090% 10/1/30 350 373
Connecticut GO 5.850% 3/15/32 3,250 3,941
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 5.459% 11/1/30 900 1,054
Cook County IL GO 6.229% 11/15/34 1,050 1,230
Curators of the University of Missouri System        
Facilities Revenue 5.960% 11/1/39 1,000 1,263
Curators of the University of Missouri System        
Facilities Revenue 5.792% 11/1/41 200 249
Dallas County TX Hospital District Revenue 5.621% 8/15/44 850 1,057
Dallas TX Area Rapid Transit Revenue 4.922% 12/1/41 400 440

 

 

Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 1,570 2,026
Dallas TX Area Rapid Transit Revenue 5.022% 12/1/48 1,600 1,812
Dallas TX Independent School District GO 6.450% 2/15/35 1,400 1,659
Denver CO City & County School District No.        
1 GO 5.664% 12/1/33 525 598
Denver CO Public Schools Revenue (City &        
County of Denver School District No. 1)        
COP 7.017% 12/15/37 700 889
District of Columbia Income Tax Revenue 5.591% 12/1/34 675 820
District of Columbia Income Tax Revenue 5.582% 12/1/35 625 780
East Baton Rouge LA Sewer Commission        
Revenue 6.087% 2/1/45 700 768
East Bay CA Municipal Utility District Water        
System Revenue 5.874% 6/1/40 900 1,118
Georgia GO 4.503% 11/1/25 825 932
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 2,700 2,932
Georgia Municipal Electric Power Authority        
Revenue 6.655% 4/1/57 2,800 2,973
Georgia Municipal Electric Power Authority        
Revenue 7.055% 4/1/57 850 886
Illinois GO 4.950% 6/1/23 1,700 1,701
Illinois GO 5.100% 6/1/33 18,125 16,649
Illinois GO 6.630% 2/1/35 1,050 1,111
Illinois GO 6.725% 4/1/35 1,000 1,062
Illinois GO 7.350% 7/1/35 2,250 2,563
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 1,200 1,405
Illinois Toll Highway Authority Revenue 5.851% 12/1/34 600 680
Indianapolis IN Local Public Improvement        
Revenue 6.116% 1/15/40 875 1,115
6 Kansas Development Finance Authority        
Revenue (Public Employees Retirement        
System) 5.501% 5/1/34 500 555
Las Vegas Valley Water District Nevada GO 7.013% 6/1/39 525 686
Los Angeles CA Community College District        
GO 6.600% 8/1/42 1,300 1,718
Los Angeles CA Community College District        
GO 6.750% 8/1/49 700 960
Los Angeles CA Department of Water &        
Power Revenue 5.716% 7/1/39 775 906
Los Angeles CA Department of Water &        
Power Revenue 6.008% 7/1/39 775 914
Los Angeles CA Department of Water &        
Power Revenue 6.166% 7/1/40 625 682
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 1,375 1,774
Los Angeles CA Department of Water &        
Power Revenue 6.603% 7/1/50 1,500 2,032
Los Angeles CA Unified School District GO 5.755% 7/1/29 1,000 1,127
Los Angeles CA Unified School District GO 5.750% 7/1/34 3,700 4,191
Los Angeles CA Unified School District GO 6.758% 7/1/34 1,700 2,141
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax        
Revenue 5.735% 6/1/39 1,150 1,363
Los Angeles County CA Public Works        
Financing Authority Lease Revenue 7.488% 8/1/33 700 870

 

 

Los Angeles County CA Public Works        
Financing Authority Lease Revenue 7.618% 8/1/40 700 888
Maryland Transportation Authority Facilities        
Projects Revenue 5.888% 7/1/43 850 1,053
Massachusetts Development Finance Agency        
Revenue (Harvard University) 6.300% 10/1/37 1,000 1,125
Massachusetts GO 4.200% 12/1/21 700 776
Massachusetts GO 4.500% 8/1/31 1,500 1,602
Massachusetts GO 5.456% 12/1/39 1,900 2,324
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.715% 8/15/39 1,050 1,304
Massachusetts Transportation Fund Revenue 5.731% 6/1/40 850 1,069
Massachusetts Water Pollution Abatement        
Trust 5.192% 8/1/40 900 1,060
Metropolitan Government of Nashville &        
Davidson County TN GO 5.707% 7/1/34 1,200 1,421
Metropolitan New York Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 3,325 4,705
Metropolitan New York Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 575 705
Metropolitan New York Transportation        
Authority Revenue (Transit Revenue) 6.548% 11/15/31 500 610
Metropolitan New York Transportation        
Authority Revenue (Transit Revenue) 5.871% 11/15/39 700 778
Metropolitan New York Transportation        
Authority Revenue (Transit Revenue) 6.648% 11/15/39 1,750 2,161
Metropolitan Washington DC/VA Airports        
Authority Dulles Toll Road Revenue 7.462% 10/1/46 775 901
Metropolitan Water District of Southern        
California Water Revenue 6.947% 7/1/40 575 668
Mississippi GO 5.245% 11/1/34 700 783
Missouri Highways & Transportation        
Commission Road Revenue 5.445% 5/1/33 600 700
7 New Jersey Economic Development Authority        
Revenue (State Pension Funding) 7.425% 2/15/29 5,250 6,465
New Jersey Educational Facilities Authority        
Revenue (Princeton University) 5.700% 3/1/39 1,500 2,020
New Jersey Transportation Trust Fund        
Authority Transportation System Revenue 5.754% 12/15/28 1,700 1,893
New Jersey Transportation Trust Fund        
Authority Transportation System Revenue 6.104% 12/15/28 1,150 1,261
New Jersey Transportation Trust Fund        
Authority Transportation System Revenue 6.561% 12/15/40 1,575 1,970
4 New Jersey Turnpike Authority Revenue 4.252% 1/1/16 30 33
4 New Jersey Turnpike Authority Revenue 4.252% 1/1/16 570 598
New Jersey Turnpike Authority Revenue 7.414% 1/1/40 3,050 4,337
New Jersey Turnpike Authority Revenue 7.102% 1/1/41 4,200 5,727
New York City NY GO 5.206% 10/1/31 1,000 1,121
New York City NY GO 6.646% 12/1/31 400 470
New York City NY GO 6.246% 6/1/35 775 869
New York City NY GO 5.968% 3/1/36 300 364
New York City NY GO 5.985% 12/1/36 625 772
New York City NY GO 5.517% 10/1/37 675 785
New York City NY GO 6.271% 12/1/37 1,550 1,930
New York City NY GO 5.846% 6/1/40 400 454
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.750% 6/15/41 800 1,017

 

 

New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.790% 6/15/41 500 547
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.724% 6/15/42 550 675
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.952% 6/15/42 800 1,013
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 6.011% 6/15/42 1,150 1,524
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.440% 6/15/43 1,000 1,190
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.882% 6/15/44 2,000 2,503
New York City NY Transitional Finance        
Authority Building Aid Revenue 6.828% 7/15/40 800 1,066
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.767% 8/1/36 775 912
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.508% 8/1/37 1,900 2,266
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.572% 11/1/38 1,150 1,368
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.500% 3/15/30 1,500 1,747
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.289% 3/15/33 500 567
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.628% 3/15/39 2,000 2,437
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.389% 3/15/40 600 681
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.770% 3/15/39 1,350 1,610
New York State Urban Development Corp.        
Revenue (Personal Income Tax) 5.838% 3/15/40 625 763
North Texas Tollway Authority System        
Revenue 6.718% 1/1/49 2,500 3,192
Ohio State University General Receipts        
Revenue 4.910% 6/1/40 1,500 1,713
Ohio Water Development Authority Water        
Pollution Control Loan Fund Revenue 4.879% 12/1/34 1,125 1,236
Orange County CA Local Transportation        
Authority Sales Tax Revenue 6.908% 2/15/41 575 794
Oregon Department Transportation Highway        
Usertax Revenue 5.834% 11/15/34 1,250 1,555
Oregon GO 5.762% 6/1/23 600 742
Oregon GO 5.892% 6/1/27 3,350 3,943
4 Oregon School Boards Association GO 4.759% 6/30/28 1,850 1,833
6 Oregon School Boards Association GO 5.528% 6/30/28 1,500 1,639
Pennsylvania GO 4.650% 2/15/26 1,100 1,255
Pennsylvania GO 5.350% 5/1/30 1,000 1,109
Pennsylvania Public School Building Authority        
Lease Revenue (School District of        
Philadelphia) 5.000% 9/15/27 1,100 1,198
Pennsylvania Turnpike Commission Revenue 6.105% 12/1/39 600 735
Pennsylvania Turnpike Commission Revenue 5.511% 12/1/45 775 895
Pennsylvania Turnpike Commission Revenue 5.561% 12/1/49 850 974
Port Authority of New York & New Jersey        
Revenue 6.040% 12/1/29 1,125 1,370

 

 

Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 2,750 3,219
Regional Transportation District of Colorado        
Sales Tax Revenue 5.844% 11/1/50 700 905
Rutgers State University NJ Revenue 5.665% 5/1/40 1,050 1,261
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 4.839% 1/1/41 1,100 1,200
San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 600 760
San Antonio TX Electric & Gas Systems        
Revenue 5.718% 2/1/41 950 1,152
San Antonio TX Electric & Gas Systems        
Revenue 5.808% 2/1/41 1,150 1,426
San Diego County CA Regional        
Transportation Authority Sales Tax        
Revenue 5.911% 4/1/48 500 613
San Diego County CA Water Authority        
Revenue 6.138% 5/1/49 1,200 1,515
San Francisco CA City & County Public Utility        
Commission Water Revenue 6.000% 11/1/40 1,325 1,568
San Francisco CA City & County Public Utility        
Commission Water Revenue 6.950% 11/1/50 800 1,068
Santa Clara Valley CA Transportation        
Authority Sales Tax Revenue 5.876% 4/1/32 1,000 1,207
Sonoma County CA Pension Obligation        
Revenue 6.000% 12/1/29 750 822
South Carolina Public Service Authority        
Revenue 6.454% 1/1/50 750 997
Texas GO 5.517% 4/1/39 2,920 3,666
Texas Transportation Commission Revenue 5.028% 4/1/26 1,000 1,198
Texas Transportation Commission Revenue 5.178% 4/1/30 2,650 3,044
Texas Transportation Commission Revenue 4.631% 4/1/33 800 894
Texas Transportation Commission Revenue 4.681% 4/1/40 750 839
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 900 1,079
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 1,075 1,292
University of California Revenue 5.770% 5/15/43 2,800 3,245
University of California Revenue 5.946% 5/15/45 1,400 1,604
University of Massachusetts Building Authority        
Revenue 5.450% 11/1/40 575 676
University of Southern California 5.250% 10/1/2111 800 915
University of Virginia Revenue 6.200% 9/1/39 1,000 1,364
Utah GO 4.554% 7/1/24 1,100 1,290
Utah GO 3.539% 7/1/25 1,200 1,275
Utah Transit Authority Sales Tax Revenue 5.937% 6/15/39 700 940
Virginia Commonwealth Transportation Board        
Revenue 5.350% 5/15/35 300 346
Washington Convention Center Public        
Facilities District Revenue 6.790% 7/1/40 600 741
Washington GO 5.090% 8/1/33 900 1,014
Washington GO 5.481% 8/1/39 650 804
Washington GO 5.140% 8/1/40 625 723
6 Wisconsin GO 5.700% 5/1/26 1,400 1,620
Total Taxable Municipal Bonds (Cost $252,242)       297,045

 

 

      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.5%)      
Money Market Fund (0.5%)      
8 Vanguard Market Liquidity Fund      
(Cost $23,086) 0.144% 23,086,010 23,086
 
Total Investments (99.4%) (Cost $3,892,324)     4,573,608
Other Assets and Liabilities-Net (0.6%)     25,836
Net Assets (100%)     4,599,444

 

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, 2011, the aggregate value of these securities was $19,486,000, representing 0.4% of net assets.
4 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
5 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.
6 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
7 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
COP—Certificate of Participation.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

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

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

The following table summarizes the fund's investments as of September 30, 2011, based on the inputs used to value them:

 

Long-Term Bond Index Fund      
 
 
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 2,130,445 —
Asset-Backed/Commercial Mortgage-Backed Securities — 3,019 —
Corporate Bonds — 1,895,767 —
Sovereign Bonds — 224,246 —
Taxable Municipal Bonds — 297,045 —
Temporary Cash Investments 23,086 — —
Total 23,086 4,550,522 —

 

C. At September 30, 2011, the cost of investment securities for tax purposes was $3,892,324,000. Net unrealized appreciation of investment securities for tax purposes was $681,284,000, consisting of unrealized gains of $699,686,000 on securities that had risen in value since their purchase and $18,402,000 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, 2011

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (70.5%)        
U.S. Government Securities (37.4%)        
United States Treasury Note/Bond 4.500% 3/31/12 950 970
United States Treasury Note/Bond 4.375% 8/15/12 71,975 74,584
United States Treasury Note/Bond 0.375% 8/31/12 6,300 6,311
United States Treasury Note/Bond 4.125% 8/31/12 6,641 6,879
United States Treasury Note/Bond 1.375% 9/15/12 154,677 156,393
United States Treasury Note/Bond 0.375% 9/30/12 43,270 43,351
United States Treasury Note/Bond 4.250% 9/30/12 29,440 30,622
United States Treasury Note/Bond 1.375% 10/15/12 746,455 755,554
United States Treasury Note/Bond 0.375% 10/31/12 602,906 604,130
United States Treasury Note/Bond 3.875% 10/31/12 65,760 68,360
United States Treasury Note/Bond 1.375% 11/15/12 138,095 139,908
United States Treasury Note/Bond 4.000% 11/15/12 22,860 23,824
United States Treasury Note/Bond 0.500% 11/30/12 17,070 17,131
United States Treasury Note/Bond 3.375% 11/30/12 7,190 7,453
United States Treasury Note/Bond 1.125% 12/15/12 526,110 531,866
United States Treasury Note/Bond 0.625% 12/31/12 72,465 72,839
United States Treasury Note/Bond 3.625% 12/31/12 4,810 5,013
United States Treasury Note/Bond 1.375% 1/15/13 797,325 808,910
United States Treasury Note/Bond 0.625% 1/31/13 416,210 418,487
United States Treasury Note/Bond 1.375% 2/15/13 140,750 142,905
United States Treasury Note/Bond 3.875% 2/15/13 72,655 76,243
United States Treasury Note/Bond 0.625% 2/28/13 72,555 72,964
United States Treasury Note/Bond 2.750% 2/28/13 41,755 43,216
United States Treasury Note/Bond 1.375% 3/15/13 268,515 272,921
United States Treasury Note/Bond 0.750% 3/31/13 34,620 34,890
United States Treasury Note/Bond 1.750% 4/15/13 72,905 74,557
United States Treasury Note/Bond 0.625% 4/30/13 1,326,825 1,334,706
United States Treasury Note/Bond 3.625% 5/15/13 12,056 12,708
United States Treasury Note/Bond 0.500% 5/31/13 179,025 179,809
United States Treasury Note/Bond 3.500% 5/31/13 4,070 4,288
United States Treasury Note/Bond 3.375% 6/30/13 40,360 42,548
United States Treasury Note/Bond 1.000% 7/15/13 9,350 9,470
United States Treasury Note/Bond 3.375% 7/31/13 15,255 16,118
United States Treasury Note/Bond 0.750% 8/15/13 605 610
United States Treasury Note/Bond 4.250% 8/15/13 15,055 16,165
United States Treasury Note/Bond 0.125% 8/31/13 8,940 8,918
United States Treasury Note/Bond 3.125% 8/31/13 39,105 41,219
United States Treasury Note/Bond 0.750% 9/15/13 19,200 19,371
United States Treasury Note/Bond 0.125% 9/30/13 506,550 505,284
United States Treasury Note/Bond 3.125% 9/30/13 383,305 404,927
United States Treasury Note/Bond 0.500% 10/15/13 2,825 2,836
United States Treasury Note/Bond 2.750% 10/31/13 542,353 569,638
United States Treasury Note/Bond 0.500% 11/15/13 300 301
United States Treasury Note/Bond 4.250% 11/15/13 29,040 31,449
United States Treasury Note/Bond 2.000% 11/30/13 18,510 19,178
United States Treasury Note/Bond 0.750% 12/15/13 25,425 25,667
United States Treasury Note/Bond 1.500% 12/31/13 258,435 265,299
United States Treasury Note/Bond 1.750% 1/31/14 234,655 242,319
United States Treasury Note/Bond 4.000% 2/15/14 121,020 131,420

 

 

United States Treasury Note/Bond 1.875% 2/28/14 734,150 760,645
United States Treasury Note/Bond 1.250% 3/15/14 41,915 42,825
United States Treasury Note/Bond 1.750% 3/31/14 473,225 489,419
United States Treasury Note/Bond 1.250% 4/15/14 124,400 127,141
United States Treasury Note/Bond 1.875% 4/30/14 263,825 273,924
United States Treasury Note/Bond 1.000% 5/15/14 726,945 738,416
United States Treasury Note/Bond 4.750% 5/15/14 58,928 65,631
United States Treasury Note/Bond 2.250% 5/31/14 179,815 188,637
United States Treasury Note/Bond 0.750% 6/15/14 5,925 5,984
United States Treasury Note/Bond 2.625% 6/30/14 290,790 308,464
United States Treasury Note/Bond 0.625% 7/15/14 286,675 288,513
United States Treasury Note/Bond 2.625% 7/31/14 196,735 208,970
United States Treasury Note/Bond 0.500% 8/15/14 569,400 571,091
United States Treasury Note/Bond 4.250% 8/15/14 35,680 39,588
United States Treasury Note/Bond 2.375% 8/31/14 188,125 198,765
United States Treasury Note/Bond 2.375% 9/30/14 206,625 218,570
United States Treasury Note/Bond 2.375% 10/31/14 282,985 299,656
United States Treasury Note/Bond 2.125% 11/30/14 476,434 501,151
United States Treasury Note/Bond 2.625% 12/31/14 35,495 37,930
United States Treasury Note/Bond 2.250% 1/31/15 109,005 115,273
United States Treasury Note/Bond 4.000% 2/15/15 61,812 68,969
United States Treasury Note/Bond 11.250% 2/15/15 49,325 66,997
United States Treasury Note/Bond 2.375% 2/28/15 317,857 337,625
United States Treasury Note/Bond 2.500% 3/31/15 137,550 146,899
United States Treasury Note/Bond 2.500% 4/30/15 186,955 199,778
United States Treasury Note/Bond 4.125% 5/15/15 220,855 248,877
United States Treasury Note/Bond 2.125% 5/31/15 114,610 120,986
United States Treasury Note/Bond 1.875% 6/30/15 100,865 105,577
United States Treasury Note/Bond 1.750% 7/31/15 277,368 289,201
United States Treasury Note/Bond 10.625% 8/15/15 5,935 8,204
United States Treasury Note/Bond 1.250% 8/31/15 91,580 93,755
United States Treasury Note/Bond 1.250% 9/30/15 197,450 201,924
United States Treasury Note/Bond 1.250% 10/31/15 6,950 7,101
United States Treasury Note/Bond 4.500% 11/15/15 18,100 20,886
United States Treasury Note/Bond 9.875% 11/15/15 262,900 361,201
United States Treasury Note/Bond 1.375% 11/30/15 252,290 258,991
United States Treasury Note/Bond 2.125% 12/31/15 248,055 262,435
United States Treasury Note/Bond 2.000% 1/31/16 63,600 66,909
United States Treasury Note/Bond 4.500% 2/15/16 135,655 157,296
United States Treasury Note/Bond 9.250% 2/15/16 2,210 3,019
United States Treasury Note/Bond 2.125% 2/29/16 69,650 73,688
United States Treasury Note/Bond 2.625% 2/29/16 152,950 165,067
United States Treasury Note/Bond 2.375% 3/31/16 70,525 75,374
United States Treasury Note/Bond 2.000% 4/30/16 78,075 82,174
United States Treasury Note/Bond 2.625% 4/30/16 245,360 265,065
United States Treasury Note/Bond 5.125% 5/15/16 247,030 295,048
United States Treasury Note/Bond 7.250% 5/15/16 48,085 62,120
United States Treasury Note/Bond 1.750% 5/31/16 7,435 7,737
United States Treasury Note/Bond 1.500% 6/30/16 216,140 222,287
United States Treasury Note/Bond 3.250% 6/30/16 271,865 301,982
United States Treasury Note/Bond 1.500% 7/31/16 12,310 12,651
United States Treasury Note/Bond 1.000% 8/31/16 7,150 7,172
United States Treasury Note/Bond 3.000% 8/31/16 331,480 364,575
United States Treasury Note/Bond 1.000% 9/30/16 353,500 354,327
United States Treasury Note/Bond 3.000% 9/30/16 457,850 503,635
United States Treasury Note/Bond 3.125% 10/31/16 213,860 236,717
United States Treasury Note/Bond 4.625% 11/15/16 35,921 42,460

 

 

United States Treasury Note/Bond 7.500% 11/15/16 84,277 111,825
United States Treasury Note/Bond 2.750% 11/30/16 175,832 191,437
United States Treasury Note/Bond 3.250% 12/31/16 65,675 73,187
United States Treasury Note/Bond 3.125% 1/31/17 300,145 332,738
United States Treasury Note/Bond 4.625% 2/15/17 3,065 3,640
United States Treasury Note/Bond 3.000% 2/28/17 40,275 44,410
United States Treasury Note/Bond 3.250% 3/31/17 8,570 9,566
United States Treasury Note/Bond 3.125% 4/30/17 11,200 12,435
United States Treasury Note/Bond 4.500% 5/15/17 101,245 120,102
United States Treasury Note/Bond 8.750% 5/15/17 250,815 356,039
United States Treasury Note/Bond 2.750% 5/31/17 323,780 352,920
United States Treasury Note/Bond 2.500% 6/30/17 462,350 497,530
United States Treasury Note/Bond 2.375% 7/31/17 54,375 58,105
United States Treasury Note/Bond 4.750% 8/15/17 420,505 506,641
United States Treasury Note/Bond 8.875% 8/15/17 43,390 62,536
United States Treasury Note/Bond 1.875% 8/31/17 35,650 37,059
United States Treasury Note/Bond 1.875% 9/30/17 59,575 61,902
United States Treasury Note/Bond 1.875% 10/31/17 259,827 269,815
United States Treasury Note/Bond 4.250% 11/15/17 158,250 186,809
United States Treasury Note/Bond 2.750% 12/31/17 275 300
United States Treasury Note/Bond 2.625% 1/31/18 450 487
United States Treasury Note/Bond 3.500% 2/15/18 47,425 53,924
United States Treasury Note/Bond 2.750% 2/28/18 294,925 321,745
United States Treasury Note/Bond 2.875% 3/31/18 34,300 37,687
United States Treasury Note/Bond 2.625% 4/30/18 43,100 46,649
United States Treasury Note/Bond 3.875% 5/15/18 376,346 437,502
United States Treasury Note/Bond 9.125% 5/15/18 3,685 5,526
United States Treasury Note/Bond 2.375% 5/31/18 160,090 170,597
United States Treasury Note/Bond 4.000% 8/15/18 235,010 275,733
United States Treasury Note/Bond 1.500% 8/31/18 256,250 257,772
United States Treasury Note/Bond 3.750% 11/15/18 192,010 222,401
United States Treasury Note/Bond 9.000% 11/15/18 25 38
United States Treasury Note/Bond 2.750% 2/15/19 14,745 16,049
United States Treasury Note/Bond 8.875% 2/15/19 123,475 188,087
United States Treasury Note/Bond 3.125% 5/15/19 136,060 151,749
United States Treasury Note/Bond 3.625% 8/15/19 102,681 118,308
United States Treasury Note/Bond 8.125% 8/15/19 117,735 175,572
United States Treasury Note/Bond 3.375% 11/15/19 471,533 535,336
United States Treasury Note/Bond 3.625% 2/15/20 337,909 390,548
United States Treasury Note/Bond 3.500% 5/15/20 452,328 518,694
United States Treasury Note/Bond 8.750% 5/15/20 2,500 3,927
United States Treasury Note/Bond 2.625% 8/15/20 245,341 263,128
United States Treasury Note/Bond 8.750% 8/15/20 244,040 385,813
United States Treasury Note/Bond 2.625% 11/15/20 117,964 126,296
United States Treasury Note/Bond 3.625% 2/15/21 298,705 345,566
United States Treasury Note/Bond 7.875% 2/15/21 208,392 318,352
United States Treasury Note/Bond 3.125% 5/15/21 199,295 221,560
United States Treasury Note/Bond 8.125% 5/15/21 12,080 18,824
United States Treasury Note/Bond 2.125% 8/15/21 509,003 518,944
United States Treasury Note/Bond 8.125% 8/15/21 136,690 214,283
United States Treasury Note/Bond 8.000% 11/15/21 59,855 93,617
United States Treasury Note/Bond 7.250% 8/15/22 2,940 4,446
United States Treasury Note/Bond 7.625% 11/15/22 7,450 11,595
United States Treasury Note/Bond 7.125% 2/15/23 161,760 244,460
United States Treasury Note/Bond 6.250% 8/15/23 703,410 1,004,561
United States Treasury Note/Bond 7.625% 2/15/25 712 1,149
United States Treasury Note/Bond 6.875% 8/15/25 82,450 126,625

 

 

United States Treasury Note/Bond 6.000% 2/15/26 12,605 18,090
United States Treasury Note/Bond 6.750% 8/15/26 5,435 8,360
United States Treasury Note/Bond 6.500% 11/15/26 8,704 13,150
United States Treasury Note/Bond 6.625% 2/15/27 41,065 62,932
United States Treasury Note/Bond 6.375% 8/15/27 46,885 70,716
United States Treasury Note/Bond 6.125% 11/15/27 15,485 22,879
United States Treasury Note/Bond 5.500% 8/15/28 45,505 63,743
United States Treasury Note/Bond 5.250% 11/15/28 9,990 13,657
United States Treasury Note/Bond 5.250% 2/15/29 105,605 144,646
United States Treasury Note/Bond 6.125% 8/15/29 163,735 246,140
United States Treasury Note/Bond 6.250% 5/15/30 60,343 92,589
United States Treasury Note/Bond 5.375% 2/15/31 12,370 17,459
United States Treasury Note/Bond 4.500% 2/15/36 1,815 2,357
United States Treasury Note/Bond 4.750% 2/15/37 278,035 374,783
United States Treasury Note/Bond 5.000% 5/15/37 3,449 4,817
United States Treasury Note/Bond 4.375% 2/15/38 58,624 75,121
United States Treasury Note/Bond 4.500% 5/15/38 1,187 1,551
United States Treasury Note/Bond 3.500% 2/15/39 142,938 159,443
United States Treasury Note/Bond 4.250% 5/15/39 243,564 307,538
United States Treasury Note/Bond 4.500% 8/15/39 481,224 631,833
United States Treasury Note/Bond 4.375% 11/15/39 334,296 431,035
United States Treasury Note/Bond 4.625% 2/15/40 377,451 505,845
United States Treasury Note/Bond 4.375% 5/15/40 263,915 340,698
United States Treasury Note/Bond 3.875% 8/15/40 90,588 107,956
United States Treasury Note/Bond 4.250% 11/15/40 219,825 278,868
United States Treasury Note/Bond 4.750% 2/15/41 293,275 402,153
United States Treasury Note/Bond 4.375% 5/15/41 264,800 343,205
United States Treasury Note/Bond 3.750% 8/15/41 15,000 17,531
        35,829,472
Agency Bonds and Notes (5.0%)        
1 Ally Financial Inc. 2.200% 12/19/12 2,950 3,015
1 Citibank NA 1.750% 12/28/12 42,995 43,727
1 Citigroup Funding Inc. 1.875% 10/22/12 21,794 22,157
1 Citigroup Funding Inc. 2.250% 12/10/12 4,775 4,881
Egypt Government AID Bonds 4.450% 9/15/15 16,750 18,921
2 Federal Agricultural Mortgage Corp. 1.250% 12/6/13 5,140 5,205
2 Federal Agricultural Mortgage Corp. 2.125% 9/15/15 2,825 2,942
2 Federal Agricultural Mortgage Corp. 2.000% 7/27/16 3,575 3,649
2 Federal Farm Credit Bank 4.500% 10/17/12 12,375 12,920
2 Federal Farm Credit Bank 1.875% 12/7/12 9,375 9,543
2 Federal Farm Credit Bank 1.750% 2/21/13 8,775 8,943
2 Federal Farm Credit Bank 1.375% 6/25/13 6,800 6,918
2 Federal Farm Credit Bank 3.875% 10/7/13 37,650 40,212
2 Federal Farm Credit Bank 1.125% 2/27/14 8,000 8,104
2 Federal Farm Credit Bank 2.625% 4/17/14 11,375 11,953
2 Federal Farm Credit Bank 3.000% 9/22/14 11,250 12,011
2 Federal Farm Credit Bank 1.625% 11/19/14 7,800 8,012
2 Federal Farm Credit Bank 1.500% 11/16/15 6,825 6,962
2 Federal Farm Credit Bank 4.875% 12/16/15 1,625 1,882
2 Federal Farm Credit Bank 5.125% 8/25/16 9,075 10,715
2 Federal Farm Credit Bank 4.875% 1/17/17 8,030 9,402
2 Federal Farm Credit Bank 5.150% 11/15/19 15,675 19,086
2 Federal Home Loan Bank of Chicago 5.625% 6/13/16 3,705 4,174
2 Federal Home Loan Banks 1.750% 12/14/12 19,360 19,685
2 Federal Home Loan Banks 1.500% 1/16/13 81,120 82,325
2 Federal Home Loan Banks 1.625% 3/20/13 11,395 11,603
2 Federal Home Loan Banks 1.000% 3/27/13 36,900 37,249

 

 

2 Federal Home Loan Banks 3.625% 5/29/13 150 158
2 Federal Home Loan Banks 3.875% 6/14/13 5,125 5,427
2 Federal Home Loan Banks 5.375% 6/14/13 12,150 13,162
2 Federal Home Loan Banks 1.875% 6/21/13 90,705 92,974
2 Federal Home Loan Banks 5.125% 8/14/13 4,560 4,960
2 Federal Home Loan Banks 4.000% 9/6/13 46,725 49,919
2 Federal Home Loan Banks 5.250% 9/13/13 9,200 10,052
2 Federal Home Loan Banks 4.500% 9/16/13 24,625 26,571
2 Federal Home Loan Banks 3.625% 10/18/13 65,100 69,294
2 Federal Home Loan Banks 4.875% 11/27/13 19,900 21,777
2 Federal Home Loan Banks 3.125% 12/13/13 32,925 34,793
2 Federal Home Loan Banks 0.875% 12/27/13 29,800 30,060
2 Federal Home Loan Banks 1.375% 5/28/14 22,000 22,463
2 Federal Home Loan Banks 2.500% 6/13/14 37,450 39,303
2 Federal Home Loan Banks 5.500% 8/13/14 88,275 100,513
2 Federal Home Loan Banks 4.500% 11/14/14 35,450 39,563
2 Federal Home Loan Banks 2.750% 12/12/14 18,950 20,159
2 Federal Home Loan Banks 3.125% 3/11/16 26,225 28,411
2 Federal Home Loan Banks 5.375% 5/18/16 36,700 43,716
2 Federal Home Loan Banks 5.125% 10/19/16 15,925 18,871
2 Federal Home Loan Banks 4.750% 12/16/16 21,510 25,182
2 Federal Home Loan Banks 4.875% 5/17/17 52,260 61,977
2 Federal Home Loan Banks 5.000% 11/17/17 7,100 8,520
2 Federal Home Loan Banks 5.375% 8/15/18 4,750 5,818
2 Federal Home Loan Banks 4.125% 3/13/20 10,515 11,992
2 Federal Home Loan Banks 5.250% 12/11/20 6,850 8,409
2 Federal Home Loan Banks 5.625% 6/11/21 1,125 1,421
2 Federal Home Loan Banks 5.375% 8/15/24 24,600 30,867
2 Federal Home Loan Banks 5.500% 7/15/36 14,250 18,632
2 Federal Home Loan Mortgage Corp. 4.625% 10/25/12 31,925 33,402
2 Federal Home Loan Mortgage Corp. 0.375% 11/30/12 20,000 20,016
2 Federal Home Loan Mortgage Corp. 0.625% 12/28/12 62,000 62,222
2 Federal Home Loan Mortgage Corp. 0.750% 12/28/12 50,850 51,098
2 Federal Home Loan Mortgage Corp. 1.375% 1/9/13 82,395 83,460
2 Federal Home Loan Mortgage Corp. 0.750% 3/28/13 31,150 31,334
2 Federal Home Loan Mortgage Corp. 1.625% 4/15/13 91,330 93,108
2 Federal Home Loan Mortgage Corp. 3.750% 6/28/13 9,790 10,360
2 Federal Home Loan Mortgage Corp. 4.500% 7/15/13 30,015 32,199
2 Federal Home Loan Mortgage Corp. 4.125% 9/27/13 29,225 31,355
2 Federal Home Loan Mortgage Corp. 0.875% 10/28/13 11,900 12,011
2 Federal Home Loan Mortgage Corp. 0.375% 10/30/13 33,700 33,640
2 Federal Home Loan Mortgage Corp. 4.875% 11/15/13 49,625 54,245
2 Federal Home Loan Mortgage Corp. 2.500% 1/7/14 5,300 5,538
2 Federal Home Loan Mortgage Corp. 4.500% 1/15/14 24,855 27,109
2 Federal Home Loan Mortgage Corp. 1.375% 2/25/14 44,925 45,805
2 Federal Home Loan Mortgage Corp. 2.500% 4/23/14 106,825 112,035
2 Federal Home Loan Mortgage Corp. 5.000% 7/15/14 47,900 53,716
2 Federal Home Loan Mortgage Corp. 3.000% 7/28/14 82,250 87,773
2 Federal Home Loan Mortgage Corp. 1.000% 7/30/14 24,625 24,883
2 Federal Home Loan Mortgage Corp. 1.000% 8/27/14 20,000 20,204
2 Federal Home Loan Mortgage Corp. 0.500% 9/19/14 12,500 12,440
2 Federal Home Loan Mortgage Corp. 0.000% 11/24/14 7,400 7,185
2 Federal Home Loan Mortgage Corp. 5.050% 1/26/15 600 684
2 Federal Home Loan Mortgage Corp. 2.875% 2/9/15 775 829
2 Federal Home Loan Mortgage Corp. 1.750% 9/10/15 25,000 25,766
2 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 48,925 57,844
2 Federal Home Loan Mortgage Corp. 2.500% 5/27/16 13,600 14,421

 

 

2 Federal Home Loan Mortgage Corp. 5.500% 7/18/16 91,500 109,710
2 Federal Home Loan Mortgage Corp. 2.000% 8/25/16 34,075 35,298
2 Federal Home Loan Mortgage Corp. 5.125% 10/18/16 15,775 18,717
2 Federal Home Loan Mortgage Corp. 5.000% 2/16/17 28,225 33,428
2 Federal Home Loan Mortgage Corp. 5.000% 4/18/17 10,000 11,859
2 Federal Home Loan Mortgage Corp. 5.500% 8/23/17 33,450 40,854
2 Federal Home Loan Mortgage Corp. 5.125% 11/17/17 6,670 8,027
2 Federal Home Loan Mortgage Corp. 4.875% 6/13/18 22,750 27,188
2 Federal Home Loan Mortgage Corp. 3.750% 3/27/19 88,770 100,297
2 Federal Home Loan Mortgage Corp. 6.750% 9/15/29 11,375 16,974
2 Federal Home Loan Mortgage Corp. 6.750% 3/15/31 38,739 58,527
2 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 524 762
2 Federal National Mortgage Assn. 0.500% 10/30/12 100,000 100,263
2 Federal National Mortgage Assn. 4.750% 11/19/12 50,000 52,500
2 Federal National Mortgage Assn. 0.375% 12/28/12 15,735 15,743
2 Federal National Mortgage Assn. 3.625% 2/12/13 80,285 83,833
2 Federal National Mortgage Assn. 4.750% 2/21/13 9,800 10,390
2 Federal National Mortgage Assn. 0.750% 2/26/13 35,025 35,220
2 Federal National Mortgage Assn. 4.375% 3/15/13 86,075 91,042
2 Federal National Mortgage Assn. 4.625% 5/1/13 23,794 25,288
2 Federal National Mortgage Assn. 1.750% 5/7/13 25,675 26,233
2 Federal National Mortgage Assn. 3.875% 7/12/13 4,700 4,989
2 Federal National Mortgage Assn. 0.500% 8/9/13 9,800 9,814
2 Federal National Mortgage Assn. 1.250% 8/20/13 40,600 41,230
2 Federal National Mortgage Assn. 4.625% 10/15/13 62,075 67,300
2 Federal National Mortgage Assn. 2.875% 12/11/13 11,175 11,759
2 Federal National Mortgage Assn. 0.750% 12/18/13 121,625 122,343
2 Federal National Mortgage Assn. 5.125% 1/2/14 3,600 3,940
2 Federal National Mortgage Assn. 2.750% 2/5/14 38,950 40,975
2 Federal National Mortgage Assn. 1.250% 2/27/14 83,000 84,381
2 Federal National Mortgage Assn. 2.750% 3/13/14 37,950 39,955
2 Federal National Mortgage Assn. 4.125% 4/15/14 26,200 28,529
2 Federal National Mortgage Assn. 2.500% 5/15/14 42,050 44,127
2 Federal National Mortgage Assn. 1.125% 6/27/14 12,775 12,951
2 Federal National Mortgage Assn. 0.875% 8/28/14 25,000 25,165
2 Federal National Mortgage Assn. 3.000% 9/16/14 32,075 34,271
2 Federal National Mortgage Assn. 4.625% 10/15/14 28,500 31,875
2 Federal National Mortgage Assn. 0.625% 10/30/14 35,500 35,457
2 Federal National Mortgage Assn. 2.625% 11/20/14 15,625 16,552
2 Federal National Mortgage Assn. 5.000% 4/15/15 16,960 19,434
2 Federal National Mortgage Assn. 2.375% 7/28/15 30,125 31,784
2 Federal National Mortgage Assn. 4.375% 10/15/15 17,755 20,132
2 Federal National Mortgage Assn. 1.625% 10/26/15 18,450 18,914
2 Federal National Mortgage Assn. 8.200% 3/10/16 50 65
2 Federal National Mortgage Assn. 5.000% 3/15/16 5,850 6,835
2 Federal National Mortgage Assn. 2.375% 4/11/16 29,200 30,796
2 Federal National Mortgage Assn. 5.250% 9/15/16 22,175 26,406
2 Federal National Mortgage Assn. 1.250% 9/28/16 25,600 25,573
2 Federal National Mortgage Assn. 4.875% 12/15/16 63,225 74,442
2 Federal National Mortgage Assn. 5.000% 2/13/17 79,525 94,162
2 Federal National Mortgage Assn. 5.000% 5/11/17 119,951 142,569
2 Federal National Mortgage Assn. 5.375% 6/12/17 9,340 11,295
2 Federal National Mortgage Assn. 0.000% 10/9/19 3,695 2,798
2 Federal National Mortgage Assn. 6.250% 5/15/29 1,250 1,777
2 Federal National Mortgage Assn. 7.125% 1/15/30 24,980 38,740
2 Federal National Mortgage Assn. 7.250% 5/15/30 46,901 73,728
2 Federal National Mortgage Assn. 6.625% 11/15/30 6,795 10,114

 

 

2 Federal National Mortgage Assn. 5.625% 7/15/37 7,240 9,882
2 Financing Corp. Fico 9.800% 4/6/18 1,750 2,595
2 Financing Corp. Fico 10.350% 8/3/18 4,900 7,545
2 Financing Corp. Fico 9.650% 11/2/18 10,535 15,732
2 Financing Corp. Fico 9.700% 4/5/19 1,575 2,405
1 General Electric Capital Corp. 2.125% 12/21/12 19,250 19,664
1 General Electric Capital Corp. 2.625% 12/28/12 13,150 13,518
  Israel Government AID Bond 5.500% 12/4/23 3,200 4,077
  Israel Government AID Bond 5.500% 4/26/24 19,280 24,664
1 JPMorgan Chase & Co. 2.125% 12/26/12 32,325 33,021
  Private Export Funding Corp. 3.550% 4/15/13 2,275 2,384
  Private Export Funding Corp. 3.050% 10/15/14 4,600 4,902
  Private Export Funding Corp. 2.250% 12/15/17 4,600 4,720
  Private Export Funding Corp. 4.375% 3/15/19 8,700 10,054
  Private Export Funding Corp. 4.300% 12/15/21 3,800 4,362
  Private Export Funding Corp. 2.800% 5/15/22 2,625 2,628
  Resolution Funding Corp. 8.125% 10/15/19 450 650
  Resolution Funding Corp. 8.875% 7/15/20 180 274
  Resolution Funding Corp. 8.625% 1/15/30 110 187
  Small Business Administration Variable Rate        
  Interest Only Custodial Receipts (U.S.        
  Government Guaran 2.719% 7/15/17 4,449 222
2 Tennessee Valley Authority 4.750% 8/1/13 4,000 4,313
2 Tennessee Valley Authority 5.500% 7/18/17 17,100 20,699
2 Tennessee Valley Authority 4.500% 4/1/18 6,325 7,362
2 Tennessee Valley Authority 3.875% 2/15/21 9,400 10,576
2 Tennessee Valley Authority 6.750% 11/1/25 1,985 2,791
2 Tennessee Valley Authority 7.125% 5/1/30 27,025 41,636
2 Tennessee Valley Authority 4.650% 6/15/35 15,169 17,770
2 Tennessee Valley Authority 5.880% 4/1/36 9,850 13,463
2 Tennessee Valley Authority 6.150% 1/15/38 135 193
2 Tennessee Valley Authority 5.500% 6/15/38 2,550 3,360
2 Tennessee Valley Authority 5.250% 9/15/39 9,068 11,688
2 Tennessee Valley Authority 4.875% 1/15/48 6,825 8,497
2 Tennessee Valley Authority 5.375% 4/1/56 6,250 8,576
2 Tennessee Valley Authority 4.625% 9/15/60 4,225 5,104
3 US Central Federal Credit Union 1.900% 10/19/12 9,275 9,433
3 Western Corporate Federal Credit Union 1.750% 11/2/12 4,675 4,748
          4,836,867
Conventional Mortgage-Backed Securities (27.1%)        
2,4,5Fannie Mae Pool 3.500% 7/1/13–4/1/41 780,265 812,317
2,4,5Fannie Mae Pool 4.000% 11/1/11–10/1/41 2,108,409 2,218,933
2,4,5Fannie Mae Pool 4.500% 11/1/11–10/1/41 2,168,674 2,308,546
2,4,5Fannie Mae Pool 5.000% 1/1/12–10/1/41 2,091,610 2,259,657
2,4,5Fannie Mae Pool 5.500% 2/1/14–10/1/41 1,846,275 2,016,077
2,4,5Fannie Mae Pool 6.000% 7/1/12–10/1/41 1,336,268 1,472,372
2,4,5Fannie Mae Pool 6.500% 11/1/11–10/1/41 422,477 468,478
2,4 Fannie Mae Pool 7.000% 11/1/11–11/1/38 123,774 142,306
2,4 Fannie Mae Pool 7.500% 11/1/11–12/1/32 8,069 9,176
2,4 Fannie Mae Pool 8.000% 12/1/11–9/1/31 2,478 2,833
2,4 Fannie Mae Pool 8.500% 9/1/15–5/1/32 992 1,144
2,4 Fannie Mae Pool 9.000% 2/1/17–8/1/30 248 278
2,4 Fannie Mae Pool 9.500% 8/1/16–11/1/25 313 363
2,4 Fannie Mae Pool 10.000% 10/1/14–11/1/19 38 44
2,4 Fannie Mae Pool 11.000% 9/1/19 3 3
2,4,5Freddie Mac Gold Pool 3.500% 6/1/19–1/1/41 460,431 479,277
2,4,5Freddie Mac Gold Pool 4.000% 2/1/12–10/1/41 1,319,930 1,386,207

 

 

2,4,5Freddie Mac Gold Pool 4.500% 12/1/11–10/1/41 1,548,900 1,642,817
2,4,5Freddie Mac Gold Pool 5.000% 10/1/11–10/1/41 1,382,108 1,487,396
2,4,5Freddie Mac Gold Pool 5.500% 12/1/13–10/1/41 1,364,997 1,481,673
2,4,5Freddie Mac Gold Pool 6.000% 11/1/11–10/1/41 842,544 926,294
2,4 Freddie Mac Gold Pool 6.500% 1/1/12–4/1/39 242,913 271,206
2,4 Freddie Mac Gold Pool 7.000% 10/1/11–12/1/38 55,340 63,930
2,4 Freddie Mac Gold Pool 7.500% 10/1/11–2/1/32 5,219 5,957
2,4 Freddie Mac Gold Pool 8.000% 10/1/11–1/1/32 4,383 4,998
2,4 Freddie Mac Gold Pool 8.500% 3/1/21–7/1/31 827 959
2,4 Freddie Mac Gold Pool 9.000% 7/1/20–3/1/31 596 675
2,4 Freddie Mac Gold Pool 9.500% 4/1/16–6/1/25 118 131
2,4 Freddie Mac Gold Pool 10.000% 10/1/16–4/1/25 17 19
2,4 Freddie Mac Non Gold Pool 8.000% 2/1/17–6/1/17 17 18
2,4 Freddie Mac Non Gold Pool 8.500% 6/1/18 31 35
2,4 Freddie Mac Non Gold Pool 9.000% 7/1/16   1
2,4 Freddie Mac Non Gold Pool 9.500% 10/1/18–3/1/20 3 4
4 Ginnie Mae I Pool 3.500% 2/15/26–1/15/41 70,178 73,739
4,5 Ginnie Mae I Pool 4.000% 8/15/18–10/1/41 445,175 476,669
4,5 Ginnie Mae I Pool 4.500% 6/15/18–10/1/41 974,304 1,060,899
4 Ginnie Mae I Pool 4.750% 8/15/33 30 33
4,5 Ginnie Mae I Pool 5.000% 1/15/17–10/1/41 704,431 774,796
4,5 Ginnie Mae I Pool 5.500% 3/15/15–10/1/41 411,875 456,470
4 Ginnie Mae I Pool 6.000% 3/15/13–12/15/40 302,677 338,080
4 Ginnie Mae I Pool 6.500% 3/15/12–1/15/39 90,230 102,797
4 Ginnie Mae I Pool 7.000% 6/15/12–9/15/36 15,192 17,683
4 Ginnie Mae I Pool 7.250% 9/15/25 40 47
4 Ginnie Mae I Pool 7.500% 12/15/11–6/15/32 6,117 6,967
4 Ginnie Mae I Pool 7.750% 2/15/30 3 4
4 Ginnie Mae I Pool 7.900% 2/15/21 3 3
4 Ginnie Mae I Pool 8.000% 8/15/16–12/15/30 4,294 4,863
4 Ginnie Mae I Pool 8.250% 6/15/27 4 4
4 Ginnie Mae I Pool 8.500% 1/15/17–3/15/31 881 975
4 Ginnie Mae I Pool 9.000% 5/15/16–2/15/31 1,592 1,762
4 Ginnie Mae I Pool 9.500% 7/15/16–9/15/25 408 461
4 Ginnie Mae I Pool 10.000% 2/15/18–2/15/25 155 172
4 Ginnie Mae I Pool 10.500% 7/15/15–4/15/25 105 112
4 Ginnie Mae I Pool 11.000% 9/15/15–11/15/15 11 12
4 Ginnie Mae I Pool 11.500% 3/15/13–4/15/16 12 11
4 Ginnie Mae II Pool 3.500% 5/20/34 24 25
4,5 Ginnie Mae II Pool 4.000% 3/20/26–10/1/41 492,866 527,282
4,5 Ginnie Mae II Pool 4.500% 4/20/18–10/1/41 1,084,285 1,176,651
4,5 Ginnie Mae II Pool 5.000% 12/20/32–10/1/41 782,660 860,444
4 Ginnie Mae II Pool 5.500% 8/20/23–6/20/41 302,037 334,515
4 Ginnie Mae II Pool 6.000% 7/20/23–9/20/39 175,373 196,208
4 Ginnie Mae II Pool 6.500% 12/20/23–7/20/39 57,358 65,295
4 Ginnie Mae II Pool 7.000% 3/20/28–11/20/38 3,917 4,533
4 Ginnie Mae II Pool 7.500% 8/20/30 10 11
4 Ginnie Mae II Pool 8.500% 10/20/30 19 22
          25,945,669
Nonconventional Mortgage-Backed Securities (1.0%)        
2,4 Fannie Mae Pool 2.371% 12/1/35 22 23
2,4 Fannie Mae Pool 2.417% 12/1/35 9,988 10,524
2,4 Fannie Mae Pool 2.436% 2/1/36 4,012 4,093
2,4 Fannie Mae Pool 2.497% 9/1/33–5/1/35 2,709 2,862
2,4 Fannie Mae Pool 2.500% 2/1/36 2,311 2,350
2,4 Fannie Mae Pool 2.520% 12/1/35 13,250 13,937
2,4 Fannie Mae Pool 2.525% 11/1/32 25 27

 

 

2,4 Fannie Mae Pool 2.552% 10/1/34 36 38
2,4 Fannie Mae Pool 2.562% 1/1/35 3,218 3,403
2,4 Fannie Mae Pool 2.578% 10/1/40 15,404 15,914
2,4 Fannie Mae Pool 2.580% 12/1/40 9,730 10,044
2,4 Fannie Mae Pool 2.627% 9/1/34 1,672 1,755
2,4 Fannie Mae Pool 2.677% 4/1/36 5,868 6,307
2,4 Fannie Mae Pool 2.685% 11/1/33 2,979 3,181
2,4 Fannie Mae Pool 2.721% 9/1/33 43 45
2,4 Fannie Mae Pool 2.800% 8/1/35 8,352 8,527
2,4 Fannie Mae Pool 2.864% 3/1/41 12,415 12,906
2,4 Fannie Mae Pool 2.946% 10/1/36 2,109 2,263
2,4 Fannie Mae Pool 2.957% 12/1/40 6,751 6,997
2,4 Fannie Mae Pool 3.013% 3/1/41 6,899 7,195
2,4 Fannie Mae Pool 3.104% 12/1/40 8,754 9,136
2,4 Fannie Mae Pool 3.138% 2/1/41 8,596 8,982
2,4 Fannie Mae Pool 3.154% 2/1/41 10,651 11,071
2,4 Fannie Mae Pool 3.187% 12/1/40 11,198 11,702
2,4 Fannie Mae Pool 3.201% 8/1/40 13,295 13,893
2,4 Fannie Mae Pool 3.224% 9/1/40 15,816 16,525
2,4 Fannie Mae Pool 3.247% 10/1/40 18,340 19,176
2,4 Fannie Mae Pool 3.275% 11/1/40 7,278 7,610
2,4 Fannie Mae Pool 3.300% 1/1/40 8,826 9,225
2,4 Fannie Mae Pool 3.385% 5/1/40 6,514 6,825
2,4 Fannie Mae Pool 3.451% 12/1/39 18,415 19,269
2,4 Fannie Mae Pool 3.508% 5/1/40 6,226 6,535
2,4 Fannie Mae Pool 3.529% 3/1/40 17,219 18,069
2,4 Fannie Mae Pool 3.617% 4/1/41 12,139 12,646
2,4 Fannie Mae Pool 3.623% 11/1/39 7,239 7,595
2,4 Fannie Mae Pool 3.868% 12/1/35 7,329 7,769
2,4 Fannie Mae Pool 4.034% 7/1/35 2,922 3,047
2,4 Fannie Mae Pool 4.500% 11/1/34 5,948 6,301
2,4 Fannie Mae Pool 4.564% 8/1/37 10,544 11,043
2,4 Fannie Mae Pool 4.572% 8/1/35 5,330 5,657
2,4 Fannie Mae Pool 4.782% 5/1/33 13 14
2,4 Fannie Mae Pool 4.853% 7/1/38 3,000 3,219
2,4 Fannie Mae Pool 4.976% 1/1/35 21 23
2,4 Fannie Mae Pool 5.010% 12/1/33 2,141 2,281
2,4 Fannie Mae Pool 5.027% 11/1/33 1,367 1,458
2,4 Fannie Mae Pool 5.056% 3/1/38 4,966 5,380
2,4 Fannie Mae Pool 5.061% 3/1/37 5,606 5,999
2,4 Fannie Mae Pool 5.127% 8/1/38 378 409
2,4 Fannie Mae Pool 5.201% 6/1/35 95 102
2,4 Fannie Mae Pool 5.266% 7/1/38 658 713
2,4 Fannie Mae Pool 5.276% 11/1/35 18 19
2,4 Fannie Mae Pool 5.360% 12/1/35 3,574 3,908
2,4 Fannie Mae Pool 5.405% 1/1/37 3,331 3,597
2,4 Fannie Mae Pool 5.484% 3/1/37 3,380 3,529
2,4 Fannie Mae Pool 5.546% 4/1/37 769 825
2,4 Fannie Mae Pool 5.572% 2/1/37 5,553 5,754
2,4 Fannie Mae Pool 5.582% 5/1/36 2,577 2,796
2,4 Fannie Mae Pool 5.646% 3/1/37 2,947 3,050
2,4 Fannie Mae Pool 5.655% 3/1/37 6,100 6,333
2,4 Fannie Mae Pool 5.680% 6/1/37 3,212 3,460
2,4 Fannie Mae Pool 5.682% 4/1/37 3,477 3,649
2,4 Fannie Mae Pool 5.709% 4/1/37 4,968 5,386
2,4 Fannie Mae Pool 5.731% 12/1/37 7,455 8,303
2,4 Fannie Mae Pool 5.736% 2/1/37 3,482 3,695

 

 

2,4 Fannie Mae Pool 5.884% 8/1/37 5,867 6,180
2,4 Fannie Mae Pool 5.894% 11/1/36 3,627 3,907
2,4 Fannie Mae Pool 5.905% 1/1/37 511 549
2,4 Fannie Mae Pool 5.913% 6/1/36 859 919
2,4 Fannie Mae Pool 5.917% 10/1/37 6,110 6,626
2,4 Fannie Mae Pool 5.921% 4/1/36 3,182 3,393
2,4 Fannie Mae Pool 5.942% 2/1/37 8 8
2,4 Fannie Mae Pool 5.973% 11/1/36 74 79
2,4 Fannie Mae Pool 5.987% 12/1/36 58 61
2,4 Fannie Mae Pool 6.259% 9/1/37 3,255 3,452
2,4 Freddie Mac Non Gold Pool 2.109% 1/1/37 3,760 3,939
2,4 Freddie Mac Non Gold Pool 2.477% 1/1/35 429 458
2,4 Freddie Mac Non Gold Pool 2.487% 12/1/34 8,079 8,480
2,4 Freddie Mac Non Gold Pool 2.500% 4/1/33 27 28
2,4 Freddie Mac Non Gold Pool 2.506% 12/1/34 47 49
2,4 Freddie Mac Non Gold Pool 2.507% 3/1/36 7,398 7,834
2,4 Freddie Mac Non Gold Pool 2.515% 4/1/35 363 384
2,4 Freddie Mac Non Gold Pool 2.563% 12/1/34 2,876 3,024
2,4 Freddie Mac Non Gold Pool 2.619% 6/1/37 3,361 3,580
2,4 Freddie Mac Non Gold Pool 2.635% 12/1/40 8,321 8,606
2,4 Freddie Mac Non Gold Pool 2.667% 5/1/33 132 141
2,4 Freddie Mac Non Gold Pool 2.703% 12/1/40 17,816 18,451
2,4 Freddie Mac Non Gold Pool 2.780% 11/1/40 8,659 8,981
2,4 Freddie Mac Non Gold Pool 2.829% 1/1/41 12,095 12,480
2,4 Freddie Mac Non Gold Pool 2.841% 3/1/36 23 24
2,4 Freddie Mac Non Gold Pool 2.983% 2/1/41 17,841 18,598
2,4 Freddie Mac Non Gold Pool 3.087% 3/1/41 9,560 9,981
2,4 Freddie Mac Non Gold Pool 3.155% 11/1/40 9,611 10,045
2,4 Freddie Mac Non Gold Pool 3.296% 6/1/40 7,992 8,363
2,4 Freddie Mac Non Gold Pool 3.335% 4/1/40 10,918 11,431
2,4 Freddie Mac Non Gold Pool 3.352% 5/1/40 3,923 4,111
2,4 Freddie Mac Non Gold Pool 3.450% 5/1/40 4,721 4,948
2,4 Freddie Mac Non Gold Pool 3.577% 6/1/40 10,567 11,107
2,4 Freddie Mac Non Gold Pool 3.603% 6/1/40 16,658 17,486
2,4 Freddie Mac Non Gold Pool 3.616% 1/1/40 9,304 9,765
2,4 Freddie Mac Non Gold Pool 3.672% 9/1/40 14,991 15,759
2,4 Freddie Mac Non Gold Pool 3.979% 3/1/40 16,587 17,491
2,4 Freddie Mac Non Gold Pool 4.023% 6/1/36 12 13
2,4 Freddie Mac Non Gold Pool 4.608% 11/1/34 3,863 4,088
2,4 Freddie Mac Non Gold Pool 4.617% 7/1/35 3,115 3,338
2,4 Freddie Mac Non Gold Pool 4.684% 6/1/34 31 33
2,4 Freddie Mac Non Gold Pool 4.725% 5/1/38 3,374 3,608
2,4 Freddie Mac Non Gold Pool 5.002% 6/1/35 12 12
2,4 Freddie Mac Non Gold Pool 5.025% 12/1/34 58 61
2,4 Freddie Mac Non Gold Pool 5.033% 7/1/38 7,386 7,931
2,4 Freddie Mac Non Gold Pool 5.044% 5/1/35 5,064 5,474
2,4 Freddie Mac Non Gold Pool 5.147% 8/1/34 15 16
2,4 Freddie Mac Non Gold Pool 5.165% 12/1/36 5,156 5,338
2,4 Freddie Mac Non Gold Pool 5.217% 11/1/33 15 16
2,4 Freddie Mac Non Gold Pool 5.253% 3/1/38 9,795 10,625
2,4 Freddie Mac Non Gold Pool 5.362% 12/1/35 3,638 3,817
2,4 Freddie Mac Non Gold Pool 5.395% 8/1/37 170 181
2,4 Freddie Mac Non Gold Pool 5.413% 4/1/37 7,469 7,755
2,4 Freddie Mac Non Gold Pool 5.426% 3/1/37 4,587 4,824
2,4 Freddie Mac Non Gold Pool 5.506% 1/1/38 7,591 8,187
2,4 Freddie Mac Non Gold Pool 5.507% 2/1/36 4,206 4,559
2,4 Freddie Mac Non Gold Pool 5.543% 4/1/37 7,119 7,405

 

 

2,4 Freddie Mac Non Gold Pool 5.571% 4/1/37 4,850 5,212
2,4 Freddie Mac Non Gold Pool 5.625% 4/1/37 78 81
2,4 Freddie Mac Non Gold Pool 5.636% 3/1/37 746 798
2,4 Freddie Mac Non Gold Pool 5.640% 3/1/37 8,237 8,615
2,4 Freddie Mac Non Gold Pool 5.699% 6/1/37 7,049 7,355
2,4 Freddie Mac Non Gold Pool 5.724% 11/1/36 2,172 2,309
2,4 Freddie Mac Non Gold Pool 5.727% 9/1/36 14,445 15,451
2,4 Freddie Mac Non Gold Pool 5.751% 5/1/36 6,294 6,680
2,4 Freddie Mac Non Gold Pool 5.763% 5/1/37 212 223
2,4 Freddie Mac Non Gold Pool 5.785% 10/1/37 6,114 6,455
2,4 Freddie Mac Non Gold Pool 5.794% 3/1/37 3,238 3,491
2,4 Freddie Mac Non Gold Pool 5.796% 6/1/37 7,414 8,013
2,4 Freddie Mac Non Gold Pool 5.829% 8/1/37 6,797 7,327
2,4 Freddie Mac Non Gold Pool 5.855% 5/1/37 7,894 8,569
2,4 Freddie Mac Non Gold Pool 5.870% 1/1/37 2,607 2,804
2,4 Freddie Mac Non Gold Pool 5.891% 12/1/36 2,435 2,626
2,4 Freddie Mac Non Gold Pool 6.030% 8/1/37 2,285 2,480
2,4 Freddie Mac Non Gold Pool 6.061% 3/1/37 191 199
2,4 Freddie Mac Non Gold Pool 6.070% 12/1/36–10/1/37 6,146 6,676
2,4 Freddie Mac Non Gold Pool 6.084% 3/1/37 793 836
2,4 Freddie Mac Non Gold Pool 6.127% 6/1/37 3,900 4,151
2,4 Freddie Mac Non Gold Pool 6.385% 2/1/37 2,400 2,594
4 Ginnie Mae II Pool 2.375% 6/20/29 236 246
4 Ginnie Mae II Pool 2.500% 1/20/41–6/20/41 49,786 51,169
4 Ginnie Mae II Pool 3.000% 12/20/40–5/20/41 17,528 18,266
4 Ginnie Mae II Pool 3.500% 1/20/41 10,943 11,522
4 Ginnie Mae II Pool 4.000% 12/20/39 16,256 17,285
4 Ginnie Mae II Pool 4.500% 10/20/39 1,986 2,139
4 Ginnie Mae II Pool 5.000% 7/20/38–10/20/38 4,897 5,232
          925,172
Total U.S. Government and Agency Obligations (Cost $63,289,881)   67,537,180
Asset-Backed/Commercial Mortgage-Backed Securities (2.8%)      
6 BA Covered Bond Issuer 5.500% 6/14/12 17,750 18,227
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 3.878% 9/11/36 164 164
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.050% 11/10/38 891 891
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.153% 11/10/38 4,250 4,421
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.730% 6/10/39 12,062 13,028
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.877% 7/10/42 18,805 19,934
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.234% 11/10/42 4,335 4,408
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.727% 7/10/43 4,695 4,516
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.118% 7/11/43 10,325 10,445
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.921% 5/10/45 5,700 6,216
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.956% 5/10/45 3,290 2,697
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.372% 9/10/45 19,690 21,328

 

 

4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.421% 9/10/45 185 182
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.115% 10/10/45 16,101 17,571
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.120% 10/10/45 875 881
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.176% 10/10/45 432 430
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.634% 7/10/46 22,705 24,672
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.695% 7/10/46 2,850 2,136
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.367% 9/10/47 3,520 3,231
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.367% 9/10/47 3,204 3,204
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.414% 9/10/47 11,525 12,067
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.448% 9/10/47 2,175 1,851
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.523% 1/15/49 2,700 1,630
4,7 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 6.395% 2/10/51 21,200 23,299
6 Banco Bilbao Vizcaya Argentaria SA 5.750% 7/20/17 1,975 2,108
6 Bank of Scotland plc 5.250% 2/21/17 12,135 13,365
4 Bear Stearns Commercial Mortgage        
  Securities 6.460% 10/15/36 58 59
4 Bear Stearns Commercial Mortgage        
  Securities 5.704% 4/12/38 20,977 22,925
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.705% 4/12/38 4,525 4,428
4 Bear Stearns Commercial Mortgage        
  Securities 4.830% 8/15/38 25,125 25,602
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.942% 9/11/38 5,500 5,248
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.942% 9/11/38 2,650 2,147
4 Bear Stearns Commercial Mortgage        
  Securities 5.619% 3/11/39 24,500 26,362
4 Bear Stearns Commercial Mortgage        
  Securities 4.680% 8/13/39 16,300 17,058
4 Bear Stearns Commercial Mortgage        
  Securities 4.740% 3/13/40 13,900 14,406
4 Bear Stearns Commercial Mortgage        
  Securities 5.853% 6/11/40 16,700 16,975
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.905% 6/11/40 2,650 1,771
4 Bear Stearns Commercial Mortgage        
  Securities 5.405% 12/11/40 1,443 1,558
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.200% 1/12/41 830 882
4 Bear Stearns Commercial Mortgage        
  Securities 4.750% 6/11/41 4,175 3,700
4 Bear Stearns Commercial Mortgage        
  Securities 5.582% 9/11/41 1,625 1,607

 

 

4,7 Bear Stearns Commercial Mortgage        
  Securities 5.568% 10/12/41 8,318 8,244
4 Bear Stearns Commercial Mortgage        
  Securities 4.521% 11/11/41 6,255 6,275
4 Bear Stearns Commercial Mortgage        
  Securities 4.825% 11/11/41 495 537
4 Bear Stearns Commercial Mortgage        
  Securities 4.868% 11/11/41 2,300 2,019
4 Bear Stearns Commercial Mortgage        
  Securities 4.933% 2/13/42 2,500 2,679
4 Bear Stearns Commercial Mortgage        
  Securities 5.742% 9/11/42 15,900 17,615
4 Bear Stearns Commercial Mortgage        
  Securities 5.793% 9/11/42 5,500 5,733
4 Bear Stearns Commercial Mortgage        
  Securities 5.127% 10/12/42 8,379 8,439
4 Bear Stearns Commercial Mortgage        
  Securities 5.294% 10/12/42 3,215 3,542
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.513% 1/12/45 6,280 5,758
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.566% 1/12/45 4,275 3,470
4 Bear Stearns Commercial Mortgage        
  Securities 5.613% 6/11/50 9,921 10,219
4 Bear Stearns Commercial Mortgage        
  Securities 5.694% 6/11/50 21,900 23,374
4 Bear Stearns Commercial Mortgage        
  Securities 5.700% 6/11/50 10,400 11,154
4,7 Bear Stearns Commercial Mortgage        
  Securities 5.915% 6/11/50 4,553 4,124
4 Capital Auto Receivables Asset Trust 4.680% 10/15/12 1,282 1,302
4 Capital One Multi-Asset Execution Trust 5.050% 12/17/18 36,645 42,094
4 Capital One Multi-Asset Execution Trust 5.750% 7/15/20 9,800 11,818
4 CDC Commercial Mortgage Trust 5.676% 11/15/30 3,162 3,164
4 Chase Issuance Trust 4.650% 3/15/15 32,375 34,200
4 Chase Issuance Trust 5.400% 7/15/15 10,025 10,853
6 Cie de Financement Foncier 2.125% 4/22/13 7,500 7,467
4 CIT Group Home Equity Loan Trust 6.200% 2/25/30 642 648
4 Citibank Credit Card Issuance Trust 4.900% 6/23/16 20,125 22,353
4 Citibank Credit Card Issuance Trust 4.150% 7/7/17 3,425 3,806
4 Citibank Credit Card Issuance Trust 5.650% 9/20/19 4,750 5,684
4 Citibank Credit Card Issuance Trust 5.350% 2/7/20 900 1,078
4 Citigroup Commercial Mortgage Trust 4.623% 10/15/41 3,475 3,528
4 Citigroup Commercial Mortgage Trust 4.830% 5/15/43 1,015 1,035
4,7 Citigroup Commercial Mortgage Trust 5.922% 3/15/49 12,600 13,994
4 Citigroup Commercial Mortgage Trust 5.431% 10/15/49 230 248
4 Citigroup Commercial Mortgage Trust 5.462% 10/15/49 3,375 3,141
4 Citigroup Commercial Mortgage Trust 5.482% 10/15/49 2,025 1,673
4,7 Citigroup Commercial Mortgage Trust 5.886% 12/10/49 4,350 3,975
4,7 Citigroup Commercial Mortgage Trust 5.886% 12/10/49 17,045 18,398
4,7 Citigroup Commercial Mortgage Trust 6.274% 12/10/49 7,310 6,471
4,7 Citigroup Commercial Mortgage Trust 6.274% 12/10/49 17,377 19,005
4,7 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.398% 7/15/44 7,000 7,134
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.398% 7/15/44 18,000 19,584

 

 

4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.886% 11/15/44 18,540 19,920
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.648% 10/15/48 8,575 7,544
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.688% 10/15/48 3,350 1,871
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.205% 12/11/49 18,570 18,631
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.322% 12/11/49 9,050 9,343
4,6 Commercial Mortgage Lease-Backed        
  Certificates 6.746% 6/20/31 7,396 7,969
4 Commercial Mortgage Pass Through        
  Certificates 4.084% 6/10/38 8,200 8,449
4 Commercial Mortgage Pass Through        
  Certificates 4.715% 3/10/39 19,825 21,016
4 Commercial Mortgage Pass Through        
  Certificates 5.116% 6/10/44 22,303 24,136
4 Commercial Mortgage Pass Through        
  Certificates 5.943% 6/10/46 18,030 19,693
4,7 Commercial Mortgage Pass Through        
  Certificates 5.968% 6/10/46 4,025 3,765
4 Commercial Mortgage Pass Through        
  Certificates 5.248% 12/10/46 3,464 3,479
4,7 Commercial Mortgage Pass Through        
  Certificates 6.008% 12/10/49 17,373 18,804
4,7 Credit Suisse First Boston Mortgage        
  Securities Corp. 4.750% 1/15/37 16,575 17,452
4 Credit Suisse First Boston Mortgage        
  Securities Corp. 4.877% 4/15/37 925 858
4,7 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.014% 2/15/38 14,005 14,903
4,7 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.075% 2/15/38 3,375 3,193
4 Credit Suisse First Boston Mortgage        
  Securities Corp. 3.936% 5/15/38 14,935 15,368
4,7 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.100% 8/15/38 1,565 1,608
4 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.100% 8/15/38 18,225 19,619
4,7 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.190% 8/15/38 3,400 3,065
4,7 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.230% 12/15/40 3,290 2,781
4 Credit Suisse Mortgage Capital Certificates 6.011% 6/15/38 18,434 19,690
4 Credit Suisse Mortgage Capital Certificates 6.011% 6/15/38 1,147 1,030
4 Credit Suisse Mortgage Capital Certificates 5.594% 2/15/39 17,450 18,872
4,7 Credit Suisse Mortgage Capital Certificates 5.595% 2/15/39 7,675 7,271
4,7 Credit Suisse Mortgage Capital Certificates 5.595% 2/15/39 3,350 2,826
4,7 Credit Suisse Mortgage Capital Certificates 5.903% 6/15/39 20,185 21,163
4 Credit Suisse Mortgage Capital Certificates 5.509% 9/15/39 1,725 1,455
4 Credit Suisse Mortgage Capital Certificates 5.311% 12/15/39 15,000 15,599
4 Credit Suisse Mortgage Capital Certificates 5.383% 2/15/40 6,421 6,835
4,7 CW Capital Cobalt Ltd. 6.011% 5/15/46 11,775 12,445
4,7 CW Capital Cobalt Ltd. 5.484% 4/15/47 3,060 3,299
4 Discover Card Master Trust 5.650% 12/15/15 23,300 25,197
4 Discover Card Master Trust 5.650% 3/16/20 7,975 9,573

 

 

  Federal Housing Administration 7.430% 10/1/20 3 3
4,7 First Union Commercial Mortgage Trust 6.751% 10/15/35 3,509 3,612
4 First Union National Bank Commercial        
  Mortgage 6.223% 12/12/33 1,401 1,404
4 Ford Credit Auto Owner Trust 4.370% 10/15/12 8,133 8,159
4 Ford Credit Auto Owner Trust 2.420% 11/15/14 4,625 4,727
4 Ford Credit Auto Owner Trust 2.150% 6/15/15 16,950 17,423
4 GE Capital Commercial Mortgage Corp. 6.269% 12/10/35 8,443 8,561
4 GE Capital Commercial Mortgage Corp. 5.145% 7/10/37 4,605 4,837
4 GE Capital Commercial Mortgage Corp. 4.996% 12/10/37 16,434 16,929
4,7 GE Capital Commercial Mortgage Corp. 5.510% 3/10/44 22,040 23,713
4,7 GE Capital Commercial Mortgage Corp. 5.510% 3/10/44 6,675 6,214
4 GE Capital Commercial Mortgage Corp. 4.974% 7/10/45 1,425 1,547
4,7 GE Capital Commercial Mortgage Corp. 5.492% 11/10/45 7,048 6,501
4 GMAC Commercial Mortgage Securities Inc. 6.700% 4/15/34 1,029 1,018
4 GMAC Commercial Mortgage Securities Inc. 4.079% 5/10/36 3,000 3,074
4 GMAC Commercial Mortgage Securities Inc. 4.908% 3/10/38 2,625 2,801
4 GMAC Commercial Mortgage Securities Inc. 4.646% 4/10/40 447 455
4,7 GMAC Commercial Mortgage Securities Inc. 5.638% 5/10/40 1,695 1,801
4 GMAC Commercial Mortgage Securities Inc. 4.864% 12/10/41 3,775 4,028
4 GMAC Commercial Mortgage Securities Inc. 4.754% 5/10/43 1,650 1,680
4 Greenwich Capital Commercial Funding Corp. 4.948% 1/11/35 6,912 7,106
4 Greenwich Capital Commercial Funding Corp. 4.533% 1/5/36 831 844
4 Greenwich Capital Commercial Funding Corp. 4.915% 1/5/36 11,875 12,521
4 Greenwich Capital Commercial Funding Corp. 5.317% 6/10/36 13,850 14,673
4 Greenwich Capital Commercial Funding Corp. 5.117% 4/10/37 4,040 4,055
4 Greenwich Capital Commercial Funding Corp. 5.224% 4/10/37 18,063 19,023
4,7 Greenwich Capital Commercial Funding Corp. 5.277% 4/10/37 4,475 3,870
4 Greenwich Capital Commercial Funding Corp. 6.073% 7/10/38 1,500 1,620
4,7 Greenwich Capital Commercial Funding Corp. 6.074% 7/10/38 2,400 2,246
4 Greenwich Capital Commercial Funding Corp. 5.475% 3/10/39 1,625 1,404
4 Greenwich Capital Commercial Funding Corp. 4.799% 8/10/42 23,150 24,446
4,7 Greenwich Capital Commercial Funding Corp. 4.859% 8/10/42 2,000 1,839
4 GS Mortgage Securities Corp. II 5.506% 4/10/38 7,991 8,076
4,7 GS Mortgage Securities Corp. II 5.553% 4/10/38 12,625 13,314
4,7 GS Mortgage Securities Corp. II 5.622% 4/10/38 4,750 4,374
4 GS Mortgage Securities Corp. II 5.396% 8/10/38 14,610 15,554
4 GS Mortgage Securities Corp. II 4.608% 1/10/40 14,425 14,866
4,7 GS Mortgage Securities Corp. II 3.707% 8/10/44 3,220 3,252
4 Harley-Davidson Motorcycle Trust 5.210% 6/17/13 369 370
4 Honda Auto Receivables Owner Trust 4.880% 9/18/14 3,889 3,928
4 Honda Auto Receivables Owner Trust 1.800% 4/17/17 3,225 3,294
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.050% 12/12/34 8,121 8,326
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.654% 1/12/37 3,250 3,325
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.985% 1/12/37 11,725 12,202
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.255% 7/12/37 1,365 1,443
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.376% 7/12/37 9,847 10,029
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.534% 8/12/37 2,000 1,805
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.824% 9/12/37 1,607 1,616

 

 

4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.879% 1/12/38 23,029 24,351
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.404% 1/12/39 11,465 12,101
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.790% 6/12/41 17,725 19,323
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.780% 7/15/42 1,625 1,628
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.496% 1/12/43 185 167
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.475% 4/15/43 3,302 3,557
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.636% 12/12/44 3,300 3,063
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.685% 12/12/44 1,350 968
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.414% 12/15/44 4,250 4,396
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.493% 12/15/44 1,375 1,221
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.072% 4/15/45 15,525 17,114
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.072% 4/15/45 1,750 1,669
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.072% 4/15/45 3,310 2,530
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.593% 5/12/45 3,890 3,476
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.623% 5/12/45 2,025 1,457
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.440% 5/15/45 4,315 4,131
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.447% 5/15/45 8,000 8,523
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.440% 6/12/47 10,230 10,628
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.004% 6/15/49 6,150 6,460
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.794% 2/12/51 27,885 30,142
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.855% 2/12/51 6,308 6,364
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.098% 2/12/51 3,350 2,999
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.882% 2/15/51 12,270 13,077
4 LB-UBS Commercial Mortgage Trust 5.386% 6/15/26 240 240
4 LB-UBS Commercial Mortgage Trust 4.786% 10/15/29 17,575 18,707
4 LB-UBS Commercial Mortgage Trust 4.742% 2/15/30 8,040 8,587
4 LB-UBS Commercial Mortgage Trust 5.197% 11/15/30 17,600 18,998
4 LB-UBS Commercial Mortgage Trust 5.217% 2/15/31 2,535 2,412
4 LB-UBS Commercial Mortgage Trust 4.853% 9/15/31 23,075 23,686
4 LB-UBS Commercial Mortgage Trust 4.960% 12/15/31 4,625 4,809
4 LB-UBS Commercial Mortgage Trust 4.166% 5/15/32 22,880 23,579
4,7 LB-UBS Commercial Mortgage Trust 5.124% 11/15/32 7,550 8,007
4 LB-UBS Commercial Mortgage Trust 4.931% 9/15/35 21,100 22,041
4,7 LB-UBS Commercial Mortgage Trust 5.661% 3/15/39 27,350 29,923

 

 

4 LB-UBS Commercial Mortgage Trust 5.372% 9/15/39 3,000 3,258
4 LB-UBS Commercial Mortgage Trust 5.413% 9/15/39 1,175 1,127
4 LB-UBS Commercial Mortgage Trust 5.424% 2/15/40 3,550 3,751
4 LB-UBS Commercial Mortgage Trust 5.430% 2/15/40 10,900 11,225
4 LB-UBS Commercial Mortgage Trust 5.455% 2/15/40 4,775 4,233
4,7 LB-UBS Commercial Mortgage Trust 5.493% 2/15/40 3,557 2,996
4,7 LB-UBS Commercial Mortgage Trust 5.057% 9/15/40 1,625 1,449
4,7 LB-UBS Commercial Mortgage Trust 5.276% 2/15/41 3,375 2,762
4,7 LB-UBS Commercial Mortgage Trust 6.312% 4/15/41 22,025 24,239
4,7 LB-UBS Commercial Mortgage Trust 6.312% 4/15/41 3,020 2,687
4 LB-UBS Commercial Mortgage Trust 5.866% 9/15/45 17,600 18,477
4 Merrill Lynch Mortgage Trust 5.236% 11/12/35 9,020 9,477
4 Merrill Lynch Mortgage Trust 5.107% 7/12/38 965 930
4 Merrill Lynch Mortgage Trust 5.854% 5/12/39 12,550 13,662
4,7 Merrill Lynch Mortgage Trust 5.855% 5/12/39 1,825 1,750
4 Merrill Lynch Mortgage Trust 5.782% 8/12/43 2,865 2,650
4,7 Merrill Lynch Mortgage Trust 5.802% 8/12/43 3,325 2,364
4,7 Merrill Lynch Mortgage Trust 5.291% 1/12/44 20,875 23,023
4,7 Merrill Lynch Mortgage Trust 6.022% 6/12/50 22,018 23,102
4,7 Merrill Lynch Mortgage Trust 6.022% 6/12/50 3,260 2,810
4 Merrill Lynch Mortgage Trust 5.425% 2/12/51 3,475 3,536
4 Merrill Lynch Mortgage Trust 5.690% 2/12/51 17,040 18,209
4,7 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.706% 2/12/39 650 532
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 6.096% 6/12/46 21,125 23,043
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.456% 7/12/46 3,660 3,388
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.378% 8/12/48 14,870 15,237
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.590% 9/12/49 8,874 8,996
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.700% 9/12/49 14,175 15,029
4 Morgan Stanley Capital I 4.970% 4/14/40 5,175 5,423
4,7 Morgan Stanley Capital I 5.110% 6/15/40 15,050 16,262
4 Morgan Stanley Capital I 5.030% 6/13/41 1,088 1,114
4 Morgan Stanley Capital I 5.270% 6/13/41 4,525 4,842
4,7 Morgan Stanley Capital I 5.991% 8/12/41 2,175 2,209
4 Morgan Stanley Capital I 5.328% 11/12/41 6,460 6,953
4 Morgan Stanley Capital I 5.360% 11/12/41 7,400 6,780
4 Morgan Stanley Capital I 4.780% 12/13/41 1,900 2,032
4,7 Morgan Stanley Capital I 4.840% 12/13/41 1,350 1,221
4 Morgan Stanley Capital I 4.970% 12/15/41 10,300 10,899
4 Morgan Stanley Capital I 5.168% 1/14/42 3,950 4,244
4,7 Morgan Stanley Capital I 5.795% 6/11/42 1,375 1,319
4,7 Morgan Stanley Capital I 5.795% 6/11/42 19,150 21,294
4 Morgan Stanley Capital I 4.989% 8/13/42 24,800 26,766
4,7 Morgan Stanley Capital I 5.073% 8/13/42 3,730 2,979
4 Morgan Stanley Capital I 5.230% 9/15/42 23,225 25,348
4 Morgan Stanley Capital I 5.897% 10/15/42 8,175 8,932
4,7 Morgan Stanley Capital I 5.902% 10/15/42 700 675
4,7 Morgan Stanley Capital I 5.902% 10/15/42 4,325 3,609
4,7 Morgan Stanley Capital I 5.374% 11/14/42 14,450 15,669
4 Morgan Stanley Capital I 6.455% 1/11/43 18,825 21,511
4 Morgan Stanley Capital I 5.332% 12/15/43 8,580 9,239
4,7 Morgan Stanley Capital I 5.598% 3/12/44 20,466 22,010

 

 

4,7 Morgan Stanley Capital I 5.773% 7/12/44 4,396 4,437
4,7 Morgan Stanley Capital I 5.793% 7/12/44 4,100 3,467
4 Morgan Stanley Capital I 4.660% 9/13/45 3,345 3,557
4,7 Morgan Stanley Capital I 5.654% 4/15/49 1,850 1,957
4,7 Morgan Stanley Capital I 5.692% 4/15/49 15,100 15,700
4,7 Morgan Stanley Capital I 5.871% 4/15/49 4,775 3,633
4,7 Morgan Stanley Capital I 5.544% 11/12/49 4,525 4,278
4 Morgan Stanley Capital I 5.809% 12/12/49 11,345 12,272
4,7 Morgan Stanley Capital I 6.313% 12/12/49 4,675 4,248
4 Morgan Stanley Capital I 5.090% 10/12/52 2,905 2,901
4,7 Morgan Stanley Capital I 5.204% 10/12/52 5,410 5,201
4 Morgan Stanley Capital I 4.770% 7/15/56 3,295 2,953
4 Morgan Stanley Dean Witter Capital I 6.390% 7/15/33 272 270
4 Morgan Stanley Dean Witter Capital I 4.920% 3/12/35 26,350 27,308
4 Morgan Stanley Dean Witter Capital I 6.390% 10/15/35 951 953
4 Morgan Stanley Dean Witter Capital I 4.740% 11/13/36 25,729 26,546
4 Nissan Auto Receivables Owner Trust 5.050% 11/17/14 4,846 4,951
6 Northern Rock Asset Management plc 5.625% 6/22/17 33,225 36,299
4 PG&E Energy Recovery Funding LLC 5.030% 3/25/14 1,615 1,638
4 PSE&G Transition Funding LLC 6.890% 12/15/17 21,175 25,572
4 Public Service New Hampshire Funding LLC 6.480% 5/1/15 117 122
4 Residential Asset Securities Corp. 6.489% 10/25/30 156 143
6 Royal Bank of Canada 3.125% 4/14/15 9,325 9,898
4 Salomon Brothers Mortgage Securities VII Inc. 4.467% 3/18/36 300 303
4,7 TIAA Seasoned Commercial Mortgage Trust 5.947% 8/15/39 3,285 3,001
4 USAA Auto Owner Trust 4.710% 2/18/14 9,103 9,187
4 Wachovia Bank Commercial Mortgage Trust 4.980% 11/15/34 678 698
4 Wachovia Bank Commercial Mortgage Trust 4.867% 2/15/35 1,000 1,033
4,7 Wachovia Bank Commercial Mortgage Trust 5.125% 8/15/35 3,100 3,244
4,7 Wachovia Bank Commercial Mortgage Trust 4.964% 11/15/35 10,750 11,395
4 Wachovia Bank Commercial Mortgage Trust 4.719% 1/15/41 614 609
4 Wachovia Bank Commercial Mortgage Trust 4.748% 2/15/41 20,345 21,615
4,7 Wachovia Bank Commercial Mortgage Trust 5.495% 7/15/41 18,350 19,798
4 Wachovia Bank Commercial Mortgage Trust 4.803% 10/15/41 18,725 19,862
4,7 Wachovia Bank Commercial Mortgage Trust 5.083% 3/15/42 15,075 16,249
4,7 Wachovia Bank Commercial Mortgage Trust 5.224% 3/15/42 1,700 1,556
4 Wachovia Bank Commercial Mortgage Trust 5.118% 7/15/42 6,729 7,301
4,7 Wachovia Bank Commercial Mortgage Trust 5.923% 5/15/43 16,025 17,544
4 Wachovia Bank Commercial Mortgage Trust 4.699% 5/15/44 14,354 15,379
4 Wachovia Bank Commercial Mortgage Trust 4.750% 5/15/44 1,480 1,467
4 Wachovia Bank Commercial Mortgage Trust 4.793% 5/15/44 3,325 3,003
4,7 Wachovia Bank Commercial Mortgage Trust 5.381% 10/15/44 1,340 1,251
4,7 Wachovia Bank Commercial Mortgage Trust 5.381% 10/15/44 18,010 19,613
4,7 Wachovia Bank Commercial Mortgage Trust 5.444% 12/15/44 22,500 24,440
4,7 Wachovia Bank Commercial Mortgage Trust 5.494% 12/15/44 775 731
4,7 Wachovia Bank Commercial Mortgage Trust 6.173% 6/15/45 1,280 1,222
4,7 Wachovia Bank Commercial Mortgage Trust 5.765% 7/15/45 11,100 12,196
4 Wachovia Bank Commercial Mortgage Trust 5.679% 10/15/48 850 911
4 Wachovia Bank Commercial Mortgage Trust 5.313% 11/15/48 16,475 17,606
4 Wachovia Bank Commercial Mortgage Trust 5.339% 11/15/48 2,225 2,006
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,427,514)   2,657,225
Corporate Bonds (20.6%)        
Finance (7.1%)        
  Banking (4.6%)        
4 Abbey National Capital Trust I 8.963% 12/29/49 1,200 1,181
  Abbey National Treasury Services plc 2.875% 4/25/14 5,200 4,891
  Abbey National Treasury Services plc 4.000% 4/27/16 7,225 6,606

 

 

American Express Bank FSB 5.550% 10/17/12 3,575 3,717
American Express Bank FSB 5.500% 4/16/13 8,675 9,129
American Express Bank FSB 6.000% 9/13/17 1,750 1,974
American Express Centurion Bank 5.550% 10/17/12 2,775 2,892
American Express Centurion Bank 5.950% 6/12/17 1,900 2,129
American Express Centurion Bank 6.000% 9/13/17 24,000 26,939
American Express Co. 4.875% 7/15/13 5,821 6,090
American Express Co. 7.250% 5/20/14 1,225 1,388
American Express Co. 5.500% 9/12/16 3,075 3,465
American Express Co. 6.150% 8/28/17 5,575 6,390
American Express Co. 7.000% 3/19/18 27,797 32,922
American Express Co. 8.125% 5/20/19 275 348
American Express Co. 8.150% 3/19/38 520 741
4 American Express Co. 6.800% 9/1/66 6,515 6,270
American Express Credit Corp. 5.875% 5/2/13 8,480 8,997
American Express Credit Corp. 7.300% 8/20/13 20,864 22,833
American Express Credit Corp. 5.125% 8/25/14 9,080 9,828
American Express Credit Corp. 2.800% 9/19/16 17,750 17,681
Associates Corp. of North America 6.950% 11/1/18 250 279
Banco Santander Chile 2.875% 11/13/12 1,950 1,948
6 BanColombia SA 4.250% 1/12/16 6,150 5,999
Bank of America Corp. 4.875% 1/15/13 15,782 15,566
Bank of America Corp. 4.900% 5/1/13 17,165 17,010
Bank of America Corp. 7.375% 5/15/14 6,125 6,317
Bank of America Corp. 5.375% 6/15/14 2,500 2,450
Bank of America Corp. 5.125% 11/15/14 20,695 20,437
Bank of America Corp. 4.500% 4/1/15 12,560 11,886
Bank of America Corp. 4.750% 8/1/15 225 216
Bank of America Corp. 3.700% 9/1/15 2,050 1,887
Bank of America Corp. 5.250% 12/1/15 3,975 3,697
Bank of America Corp. 3.625% 3/17/16 10,300 9,344
Bank of America Corp. 3.750% 7/12/16 5,750 5,223
Bank of America Corp. 6.500% 8/1/16 21,200 21,021
Bank of America Corp. 5.750% 8/15/16 11,025 10,126
Bank of America Corp. 5.625% 10/14/16 6,350 6,030
Bank of America Corp. 5.420% 3/15/17 14,300 12,436
Bank of America Corp. 6.000% 9/1/17 2,560 2,440
Bank of America Corp. 5.750% 12/1/17 6,525 6,130
Bank of America Corp. 5.650% 5/1/18 66,300 61,920
Bank of America Corp. 7.625% 6/1/19 25,625 26,655
Bank of America Corp. 5.625% 7/1/20 21,215 19,516
Bank of America Corp. 5.875% 1/5/21 1,000 921
Bank of America Corp. 7.250% 10/15/25 1,400 1,267
Bank of America Corp. 6.800% 3/15/28 1,025 978
Bank of America Corp. 6.500% 9/15/37 3,335 2,675
Bank of America NA 5.300% 3/15/17 24,375 21,787
Bank of America NA 6.100% 6/15/17 11,225 10,415
Bank of America NA 6.000% 10/15/36 11,250 9,952
Bank of Montreal 2.125% 6/28/13 5,975 6,089
Bank of Montreal 1.750% 4/29/14 825 835
Bank of New York Mellon Corp. 4.950% 11/1/12 23,750 24,830
Bank of New York Mellon Corp. 4.500% 4/1/13 2,125 2,240
Bank of New York Mellon Corp. 4.300% 5/15/14 9,675 10,416
Bank of New York Mellon Corp. 4.950% 3/15/15 9,750 10,555
Bank of New York Mellon Corp. 2.950% 6/18/15 4,200 4,365
Bank of New York Mellon Corp. 2.300% 7/28/16 425 428
Bank of New York Mellon Corp. 5.450% 5/15/19 6,240 7,133

 

 

  Bank of New York Mellon Corp. 4.600% 1/15/20 5,775 6,338
  Bank of New York Mellon Corp. 3.550% 9/23/21 2,000 1,979
  Bank of Nova Scotia 2.250% 1/22/13 8,125 8,276
  Bank of Nova Scotia 2.375% 12/17/13 17,950 18,468
  Bank of Nova Scotia 2.050% 10/7/15 500 503
  Bank of Nova Scotia 4.375% 1/13/21 500 547
  Bank One Capital III 8.750% 9/1/30 2,700 3,414
  Bank One Corp. 5.250% 1/30/13 6,000 6,221
  Bank One Corp. 4.900% 4/30/15 6,075 6,332
  Bank One Corp. 7.750% 7/15/25 330 383
  Bank One Corp. 7.625% 10/15/26 2,930 3,593
  Barclays Bank plc 2.500% 1/23/13 11,950 11,903
  Barclays Bank plc 5.200% 7/10/14 30,445 31,145
  Barclays Bank plc 5.000% 9/22/16 10,750 10,715
  Barclays Bank plc 6.750% 5/22/19 8,675 9,480
  Barclays Bank plc 5.125% 1/8/20 24,600 24,141
  BB&T Capital Trust II 6.750% 6/7/36 8,725 8,670
4 BB&T Capital Trust IV 6.820% 6/12/77 3,875 4,013
  BB&T Corp. 4.750% 10/1/12 6,075 6,228
  BB&T Corp. 2.050% 4/28/14 825 833
  BB&T Corp. 5.200% 12/23/15 4,712 5,064
  BB&T Corp. 3.950% 4/29/16 3,600 3,812
  BB&T Corp. 4.900% 6/30/17 525 559
  BB&T Corp. 6.850% 4/30/19 3,754 4,624
  BB&T Corp. 5.250% 11/1/19 6,150 6,651
  BBVA US Senior SAU 3.250% 5/16/14 8,600 8,069
  Bear Stearns Cos. LLC 5.350% 2/1/12 14,075 14,291
  Bear Stearns Cos. LLC 5.700% 11/15/14 15,590 16,853
  Bear Stearns Cos. LLC 5.300% 10/30/15 6,415 6,944
  Bear Stearns Cos. LLC 5.550% 1/22/17 6,850 7,108
  Bear Stearns Cos. LLC 6.400% 10/2/17 8,230 9,351
  Bear Stearns Cos. LLC 7.250% 2/1/18 11,053 12,969
  Bear Stearns Cos. LLC 4.650% 7/2/18 1,650 1,733
  BNP Paribas / BNP Paribas US Medium-Term        
  Note Program LLC 2.125% 12/21/12 13,290 13,144
  BNP Paribas SA 3.250% 3/11/15 3,925 3,816
  BNP Paribas SA 3.600% 2/23/16 28,675 27,953
  BNP Paribas SA 5.000% 1/15/21 25,175 24,885
  BNY Mellon NA 4.750% 12/15/14 2,800 3,046
  Branch Banking & Trust Co. 5.625% 9/15/16 5,825 6,561
  Canadian Imperial Bank of Commerce 1.450% 9/13/13 2,650 2,665
  Canadian Imperial Bank of Commerce 2.350% 12/11/15 775 785
  Capital One Bank USA NA 6.500% 6/13/13 4,350 4,635
  Capital One Bank USA NA 8.800% 7/15/19 13,375 15,345
4 Capital One Capital III 7.686% 8/1/66 4,925 4,814
  Capital One Capital IV 6.745% 2/17/37 3,237 3,091
  Capital One Capital V 10.250% 8/15/39 2,875 2,940
  Capital One Capital VI 8.875% 5/15/40 8,925 8,903
  Capital One Financial Corp. 7.375% 5/23/14 7,275 8,105
  Capital One Financial Corp. 5.500% 6/1/15 7,450 7,932
  Capital One Financial Corp. 3.150% 7/15/16 13,400 13,171
  Capital One Financial Corp. 6.150% 9/1/16 5,646 5,929
  Capital One Financial Corp. 5.250% 2/21/17 1,850 1,966
  Capital One Financial Corp. 6.750% 9/15/17 5,200 5,928
  Capital One Financial Corp. 4.750% 7/15/21 3,175 3,161
4,6 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 14,225 16,319
  Citigroup Inc. 5.300% 10/17/12 49,273 50,490

 

 

Citigroup Inc. 5.500% 4/11/13 42,695 43,941
Citigroup Inc. 6.500% 8/19/13 16,390 17,174
Citigroup Inc. 6.000% 12/13/13 16,140 16,911
Citigroup Inc. 5.125% 5/5/14 7,550 7,727
Citigroup Inc. 6.375% 8/12/14 8,665 9,167
Citigroup Inc. 5.000% 9/15/14 37,676 37,004
Citigroup Inc. 5.500% 10/15/14 15,850 16,460
Citigroup Inc. 6.010% 1/15/15 9,100 9,632
Citigroup Inc. 4.750% 5/19/15 275 282
Citigroup Inc. 4.700% 5/29/15 3,350 3,402
Citigroup Inc. 4.587% 12/15/15 475 483
Citigroup Inc. 5.300% 1/7/16 19,100 19,846
Citigroup Inc. 3.953% 6/15/16 175 174
Citigroup Inc. 5.500% 2/15/17 4,050 3,970
Citigroup Inc. 6.000% 8/15/17 15,925 16,987
Citigroup Inc. 6.125% 11/21/17 11,375 12,176
Citigroup Inc. 6.125% 5/15/18 21,700 23,302
Citigroup Inc. 8.500% 5/22/19 24,555 29,471
Citigroup Inc. 5.375% 8/9/20 5,225 5,380
Citigroup Inc. 6.625% 6/15/32 2,025 1,844
Citigroup Inc. 5.875% 2/22/33 11,475 9,565
Citigroup Inc. 6.000% 10/31/33 10,525 9,053
Citigroup Inc. 5.850% 12/11/34 1,750 1,689
Citigroup Inc. 6.125% 8/25/36 7,700 6,527
Citigroup Inc. 5.875% 5/29/37 12,657 12,254
Citigroup Inc. 6.875% 3/5/38 16,230 17,420
Citigroup Inc. 8.125% 7/15/39 13,190 16,102
Comerica Bank 5.750% 11/21/16 10,775 11,992
Comerica Bank 5.200% 8/22/17 4,600 5,049
Comerica Inc. 4.800% 5/1/15 3,225 3,328
Compass Bank 6.400% 10/1/17 2,275 2,406
Compass Bank 5.900% 4/1/26 1,725 1,691
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 2.125% 10/13/15 4,450 4,440
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 4.500% 1/11/21 30,025 32,390
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 5.250% 5/24/41 925 1,029
Countrywide Financial Corp. 6.250% 5/15/16 1,820 1,598
4 Credit Suisse AG 5.860% 5/29/49 11,230 8,787
Credit Suisse New York 5.000% 5/15/13 30,460 31,431
Credit Suisse New York 5.500% 5/1/14 10,600 11,140
Credit Suisse New York 3.500% 3/23/15 25,125 25,023
Credit Suisse New York 6.000% 2/15/18 4,075 4,110
Credit Suisse New York 5.300% 8/13/19 15,000 15,127
Credit Suisse New York 5.400% 1/14/20 16,040 15,421
Credit Suisse New York 4.375% 8/5/20 14,650 14,106
Credit Suisse USA Inc. 5.500% 8/15/13 6,250 6,570
Credit Suisse USA Inc. 5.125% 1/15/14 2,150 2,265
Credit Suisse USA Inc. 4.875% 1/15/15 7,345 7,696
Credit Suisse USA Inc. 5.125% 8/15/15 14,755 15,589
Credit Suisse USA Inc. 7.125% 7/15/32 11,536 13,211
Deutsche Bank AG 3.250% 1/11/16 14,825 14,572
Deutsche Bank AG/London 5.375% 10/12/12 13,100 13,428
Deutsche Bank AG/London 2.375% 1/11/13 8,250 8,206
Deutsche Bank AG/London 4.875% 5/20/13 24,300 25,053
Deutsche Bank AG/London 3.450% 3/30/15 14,600 14,536

 

 

Deutsche Bank AG/London 6.000% 9/1/17 20,531 22,575
Deutsche Bank Financial LLC 5.375% 3/2/15 5,950 6,138
Discover Bank 8.700% 11/18/19 4,400 5,061
Fifth Third Bancorp 6.250% 5/1/13 5,750 6,090
Fifth Third Bancorp 3.625% 1/25/16 16,000 16,184
Fifth Third Bancorp 5.450% 1/15/17 4,900 5,193
Fifth Third Bancorp 4.500% 6/1/18 1,525 1,499
Fifth Third Bancorp 8.250% 3/1/38 5,040 6,115
Fifth Third Bank/Ohio 4.750% 2/1/15 8,825 9,260
4 Fifth Third Capital Trust IV 6.500% 4/15/67 4,200 3,990
First Horizon National Corp. 5.375% 12/15/15 13,850 14,026
First Niagara Financial Group Inc. 6.750% 3/19/20 1,675 1,831
First Tennessee Bank NA 5.050% 1/15/15 2,400 2,408
First Tennessee Bank NA 5.650% 4/1/16 1,690 1,665
FleetBoston Financial Corp. 6.700% 7/15/28 1,900 1,847
Golden West Financial Corp. 4.750% 10/1/12 2,790 2,888
Goldman Sachs Capital I 6.345% 2/15/34 16,500 14,206
Goldman Sachs Group Inc. 5.450% 11/1/12 10,940 11,224
Goldman Sachs Group Inc. 4.750% 7/15/13 21,645 22,221
Goldman Sachs Group Inc. 5.250% 10/15/13 16,430 17,002
Goldman Sachs Group Inc. 5.150% 1/15/14 13,995 14,497
Goldman Sachs Group Inc. 6.000% 5/1/14 22,125 23,309
Goldman Sachs Group Inc. 5.000% 10/1/14 27,182 28,201
Goldman Sachs Group Inc. 5.125% 1/15/15 16,610 17,165
Goldman Sachs Group Inc. 3.700% 8/1/15 17,600 17,179
Goldman Sachs Group Inc. 5.350% 1/15/16 37,950 39,257
Goldman Sachs Group Inc. 3.625% 2/7/16 15,750 15,287
Goldman Sachs Group Inc. 5.750% 10/1/16 9,375 9,853
Goldman Sachs Group Inc. 5.625% 1/15/17 12,005 11,758
Goldman Sachs Group Inc. 6.250% 9/1/17 27,840 28,958
Goldman Sachs Group Inc. 5.950% 1/18/18 24,875 25,571
Goldman Sachs Group Inc. 6.150% 4/1/18 13,010 13,440
Goldman Sachs Group Inc. 7.500% 2/15/19 5,190 5,736
Goldman Sachs Group Inc. 5.375% 3/15/20 25,415 25,157
Goldman Sachs Group Inc. 6.000% 6/15/20 17,030 17,414
Goldman Sachs Group Inc. 5.250% 7/27/21 6,150 6,091
Goldman Sachs Group Inc. 5.950% 1/15/27 10,935 10,581
Goldman Sachs Group Inc. 6.125% 2/15/33 18,351 18,443
Goldman Sachs Group Inc. 6.450% 5/1/36 5,535 5,070
Goldman Sachs Group Inc. 6.750% 10/1/37 36,416 33,227
Goldman Sachs Group Inc. 6.250% 2/1/41 15,170 14,690
6 HBOS plc 6.750% 5/21/18 6,075 5,291
HSBC Bank USA NA 4.625% 4/1/14 5,825 5,974
HSBC Bank USA NA 4.875% 8/24/20 15,315 14,354
HSBC Bank USA NA 5.875% 11/1/34 2,500 2,380
HSBC Bank USA NA 5.625% 8/15/35 2,300 2,070
HSBC Holdings plc 5.100% 4/5/21 37,220 38,619
HSBC Holdings plc 7.625% 5/17/32 925 974
HSBC Holdings plc 7.350% 11/27/32 2,040 2,181
HSBC Holdings plc 6.500% 5/2/36 18,495 18,244
HSBC Holdings plc 6.500% 9/15/37 17,600 17,123
HSBC Holdings plc 6.800% 6/1/38 15,210 15,242
HSBC USA Inc. 5.000% 9/27/20 5,625 5,311
Huntington Bancshares Inc. 7.000% 12/15/20 4,200 4,679
6 ICICI Bank Ltd. 6.625% 10/3/12 6,400 6,541
JP Morgan Chase Capital XVII 5.850% 8/1/35 675 672
4 JP Morgan Chase Capital XVIII 6.950% 8/1/66 2,025 2,024

 

 

4 JP Morgan Chase Capital XX 6.550% 9/15/66 7,335 7,360
4 JP Morgan Chase Capital XXII 6.450% 1/15/87 15,900 15,974
JP Morgan Chase Capital XXV 6.800% 10/1/37 10,375 10,398
JPMorgan Chase & Co. 5.375% 10/1/12 19,995 20,844
JPMorgan Chase & Co. 5.750% 1/2/13 6,386 6,674
JPMorgan Chase & Co. 4.750% 5/1/13 23,860 25,050
JPMorgan Chase & Co. 1.650% 9/30/13 1,430 1,439
JPMorgan Chase & Co. 2.050% 1/24/14 1,445 1,451
JPMorgan Chase & Co. 4.875% 3/15/14 18,100 18,914
JPMorgan Chase & Co. 4.650% 6/1/14 40,791 43,295
JPMorgan Chase & Co. 5.125% 9/15/14 21,412 22,527
JPMorgan Chase & Co. 3.700% 1/20/15 5,450 5,583
JPMorgan Chase & Co. 4.750% 3/1/15 3,900 4,121
JPMorgan Chase & Co. 5.250% 5/1/15 5,575 5,857
JPMorgan Chase & Co. 3.400% 6/24/15 24,625 24,938
JPMorgan Chase & Co. 5.150% 10/1/15 8,190 8,641
JPMorgan Chase & Co. 2.600% 1/15/16 15,375 14,988
JPMorgan Chase & Co. 3.450% 3/1/16 775 776
JPMorgan Chase & Co. 3.150% 7/5/16 14,950 14,816
JPMorgan Chase & Co. 6.125% 6/27/17 10,700 11,713
JPMorgan Chase & Co. 6.000% 1/15/18 10,410 11,637
JPMorgan Chase & Co. 6.300% 4/23/19 20,800 23,505
JPMorgan Chase & Co. 4.400% 7/22/20 7,275 7,345
JPMorgan Chase & Co. 4.250% 10/15/20 2,640 2,629
JPMorgan Chase & Co. 4.350% 8/15/21 2,025 2,045
JPMorgan Chase & Co. 6.400% 5/15/38 58,519 66,892
JPMorgan Chase & Co. 5.500% 10/15/40 31,050 33,010
JPMorgan Chase & Co. 5.600% 7/15/41 11,700 12,111
JPMorgan Chase Bank NA 5.875% 6/13/16 4,346 4,599
JPMorgan Chase Bank NA 6.000% 7/5/17 825 883
JPMorgan Chase Bank NA 6.000% 10/1/17 65 68
JPMorgan Chase Capital XXVII 7.000% 11/1/39 7,325 7,341
KeyBank NA 5.800% 7/1/14 2,825 3,039
KeyBank NA 4.950% 9/15/15 4,675 4,973
KeyBank NA 5.450% 3/3/16 6,275 6,772
KeyBank NA 6.950% 2/1/28 1,925 2,193
KeyCorp 6.500% 5/14/13 4,625 4,929
KeyCorp 5.100% 3/24/21 775 783
6 Lloyds TSB Bank plc 4.375% 1/12/15 9,640 9,333
Lloyds TSB Bank plc 4.875% 1/21/16 4,825 4,704
6 Lloyds TSB Bank plc 5.800% 1/13/20 9,425 9,061
Lloyds TSB Bank plc 6.375% 1/21/21 33,900 33,334
M&I Marshall & Ilsley Bank 4.850% 6/16/15 1,250 1,331
M&I Marshall & Ilsley Bank 5.000% 1/17/17 150 157
Manufacturers & Traders Trust Co. 6.625% 12/4/17 7,050 7,802
4 Manufacturers & Traders Trust Co. 5.585% 12/28/20 450 447
MBNA Corp. 6.125% 3/1/13 4,075 4,074
MBNA Corp. 5.000% 6/15/15 4,775 4,628
Mellon Funding Corp. 5.000% 12/1/14 5,975 6,459
Merrill Lynch & Co. Inc. 5.450% 2/5/13 14,805 14,611
Merrill Lynch & Co. Inc. 6.150% 4/25/13 21,250 21,260
Merrill Lynch & Co. Inc. 5.000% 2/3/14 11,550 11,274
Merrill Lynch & Co. Inc. 5.450% 7/15/14 2,450 2,396
Merrill Lynch & Co. Inc. 5.000% 1/15/15 17,779 17,161
Merrill Lynch & Co. Inc. 6.050% 5/16/16 4,700 4,376
Merrill Lynch & Co. Inc. 5.700% 5/2/17 21,625 19,310
Merrill Lynch & Co. Inc. 6.400% 8/28/17 14,825 14,156

 

 

Merrill Lynch & Co. Inc. 6.875% 4/25/18 36,596 36,024
Merrill Lynch & Co. Inc. 6.500% 7/15/18 3,325 3,083
Merrill Lynch & Co. Inc. 6.875% 11/15/18 600 602
Merrill Lynch & Co. Inc. 6.220% 9/15/26 15,250 12,788
Merrill Lynch & Co. Inc. 6.110% 1/29/37 5,475 4,343
Merrill Lynch & Co. Inc. 7.750% 5/14/38 24,108 22,135
Morgan Stanley 5.300% 3/1/13 23,961 24,132
Morgan Stanley 6.750% 10/15/13 600 637
Morgan Stanley 2.875% 1/24/14 11,925 11,659
Morgan Stanley 4.750% 4/1/14 27,917 26,550
Morgan Stanley 6.000% 5/13/14 21,485 21,765
Morgan Stanley 2.875% 7/28/14 3,825 3,655
Morgan Stanley 4.200% 11/20/14 15,675 15,269
Morgan Stanley 4.100% 1/26/15 13,425 12,806
Morgan Stanley 6.000% 4/28/15 50,760 50,959
Morgan Stanley 4.000% 7/24/15 3,750 3,517
Morgan Stanley 5.375% 10/15/15 6,400 6,329
Morgan Stanley 3.450% 11/2/15 4,825 4,446
Morgan Stanley 3.800% 4/29/16 875 802
Morgan Stanley 5.750% 10/18/16 15,300 15,022
Morgan Stanley 5.450% 1/9/17 11,360 10,965
Morgan Stanley 5.550% 4/27/17 3,305 3,200
Morgan Stanley 6.250% 8/28/17 560 552
Morgan Stanley 5.950% 12/28/17 17,475 17,044
Morgan Stanley 6.625% 4/1/18 34,285 34,192
Morgan Stanley 7.300% 5/13/19 11,760 12,078
Morgan Stanley 5.625% 9/23/19 45,000 41,769
Morgan Stanley 5.750% 1/25/21 14,375 13,172
Morgan Stanley 6.250% 8/9/26 15,125 15,128
Morgan Stanley 7.250% 4/1/32 15,352 15,882
National City Bank 4.625% 5/1/13 2,500 2,609
National City Corp. 4.900% 1/15/15 1,425 1,542
National City Corp. 6.875% 5/15/19 875 1,002
4 National City Preferred Capital Trust I 12.000% 12/29/49 5,850 6,055
NB Capital Trust II 7.830% 12/15/26 8,000 6,840
Northern Trust Co. 6.500% 8/15/18 1,125 1,355
Northern Trust Corp. 5.500% 8/15/13 1,350 1,456
Northern Trust Corp. 4.625% 5/1/14 4,200 4,545
Northern Trust Corp. 3.450% 11/4/20 750 761
Northern Trust Corp. 3.375% 8/23/21 1,575 1,599
Paribas/New York 6.950% 7/22/13 900 918
PNC Bank NA 4.875% 9/21/17 8,425 8,828
PNC Bank NA 6.000% 12/7/17 1,100 1,204
PNC Funding Corp. 3.625% 2/8/15 17,550 18,354
PNC Funding Corp. 4.250% 9/21/15 4,750 5,120
PNC Funding Corp. 5.250% 11/15/15 8,525 9,184
PNC Funding Corp. 2.700% 9/19/16 1,400 1,400
PNC Funding Corp. 5.625% 2/1/17 975 1,060
PNC Funding Corp. 6.700% 6/10/19 6,934 8,379
PNC Funding Corp. 5.125% 2/8/20 5,575 6,167
PNC Funding Corp. 4.375% 8/11/20 175 184
Royal Bank of Canada 2.100% 7/29/13 15,400 15,759
Royal Bank of Canada 2.625% 12/15/15 5,400 5,589
Royal Bank of Canada 2.875% 4/19/16 8,300 8,605
Royal Bank of Scotland Group plc 5.000% 10/1/14 666 621
Royal Bank of Scotland Group plc 5.050% 1/8/15 7,860 7,278
Royal Bank of Scotland Group plc 4.700% 7/3/18 250 201

 

 

  Royal Bank of Scotland Group plc 6.400% 10/21/19 25,065 23,963
  Royal Bank Of Scotland NV 4.650% 6/4/18 225 206
  Royal Bank of Scotland plc 3.400% 8/23/13 9,950 9,922
  Royal Bank of Scotland plc 3.250% 1/11/14 9,550 9,216
6 Royal Bank of Scotland plc 4.875% 8/25/14 1,700 1,699
  Royal Bank of Scotland plc 4.875% 3/16/15 6,100 5,936
  Royal Bank of Scotland plc 3.950% 9/21/15 1,440 1,355
  Royal Bank of Scotland plc 4.375% 3/16/16 5,850 5,597
  Royal Bank of Scotland plc 5.625% 8/24/20 13,825 13,326
  Royal Bank of Scotland plc 6.125% 1/11/21 18,750 18,563
  Santander Holdings USA Inc. 4.625% 4/19/16 9,075 8,608
  Santander UK plc 7.950% 10/26/29 4,500 4,141
  SouthTrust Corp. 5.800% 6/15/14 2,550 2,726
  Sovereign Bank 5.125% 3/15/13 2,275 2,298
  Sovereign Bank 8.750% 5/30/18 1,595 1,818
4,6 Standard Chartered plc 6.409% 12/31/49 5,825 4,937
  State Street Bank and Trust Co. 5.300% 1/15/16 2,800 3,136
  State Street Corp. 4.300% 5/30/14 3,900 4,204
  State Street Corp. 2.875% 3/7/16 23,100 23,907
  State Street Corp. 4.956% 3/15/18 3,875 4,093
  State Street Corp. 4.375% 3/7/21 400 432
  SunTrust Bank 5.000% 9/1/15 39 41
  SunTrust Bank 7.250% 3/15/18 1,000 1,163
  SunTrust Banks Inc. 5.250% 11/5/12 6,100 6,311
  SunTrust Banks Inc. 3.600% 4/15/16 5,000 5,034
  SunTrust Banks Inc. 6.000% 9/11/17 2,508 2,738
4 SunTrust Capital VIII 6.100% 12/1/66 2,102 2,081
  Toronto-Dominion Bank 1.375% 7/14/14 3,500 3,527
  Toronto-Dominion Bank 2.500% 7/14/16 5,240 5,374
  UBS AG 2.250% 8/12/13 19,750 19,312
  UBS AG 2.250% 1/28/14 150 146
  UBS AG 3.875% 1/15/15 340 337
  UBS AG 7.000% 10/15/15 2,500 2,734
  UBS AG 5.875% 7/15/16 3,525 3,634
  UBS AG 7.375% 6/15/17 9,550 10,719
  UBS AG 5.875% 12/20/17 28,849 29,554
  UBS AG 5.750% 4/25/18 10,517 10,760
  UBS AG 4.875% 8/4/20 28,635 27,420
  UFJ Finance Aruba AEC 6.750% 7/15/13 20,950 22,585
  Union Bank NA 5.950% 5/11/16 3,875 4,150
  Union Bank NA 3.000% 6/6/16 1,300 1,296
  UnionBanCal Corp. 5.250% 12/16/13 2,105 2,193
  US Bancorp 2.000% 6/14/13 15,250 15,522
  US Bancorp 4.200% 5/15/14 775 832
  US Bancorp 3.150% 3/4/15 1,450 1,524
  US Bancorp 3.442% 2/1/16 6,150 6,218
  US Bancorp 4.125% 5/24/21 6,000 6,443
  US Bank NA 6.300% 2/4/14 8,750 9,643
  US Bank NA 4.950% 10/30/14 12,271 13,342
  USB Capital XIII Trust 6.625% 12/15/39 875 889
  Wachovia Bank NA 4.800% 11/1/14 1,400 1,491
  Wachovia Bank NA 4.875% 2/1/15 15,250 16,130
  Wachovia Bank NA 5.000% 8/15/15 960 1,025
  Wachovia Bank NA 6.000% 11/15/17 8,025 8,803
  Wachovia Bank NA 5.850% 2/1/37 16,225 16,900
  Wachovia Bank NA 6.600% 1/15/38 13,510 15,393
  Wachovia Corp. 5.300% 10/15/11 5,175 5,181

 

 

Wachovia Corp. 5.500% 5/1/13 6,500 6,907
Wachovia Corp. 4.875% 2/15/14 10,990 11,411
Wachovia Corp. 5.250% 8/1/14 7,212 7,587
Wachovia Corp. 5.625% 10/15/16 13,065 14,033
Wachovia Corp. 5.750% 6/15/17 28,875 32,527
Wachovia Corp. 5.750% 2/1/18 1,325 1,500
Wachovia Corp. 6.605% 10/1/25 175 198
Wachovia Corp. 7.500% 4/15/35 925 1,170
Wachovia Corp. 5.500% 8/1/35 4,185 4,140
Wachovia Corp. 6.550% 10/15/35 625 710
Wells Fargo & Co. 5.250% 10/23/12 39,625 41,398
Wells Fargo & Co. 4.375% 1/31/13 18,235 18,922
Wells Fargo & Co. 4.950% 10/16/13 3,825 4,026
Wells Fargo & Co. 5.000% 11/15/14 171 181
Wells Fargo & Co. 3.625% 4/15/15 7,250 7,567
Wells Fargo & Co. 3.676% 6/15/16 28,175 29,374
Wells Fargo & Co. 5.625% 12/11/17 26,100 29,414
Wells Fargo & Co. 4.600% 4/1/21 18,500 19,720
Wells Fargo & Co. 5.375% 2/7/35 4,250 4,467
Wells Fargo Bank NA 4.750% 2/9/15 13,825 14,551
Wells Fargo Bank NA 5.750% 5/16/16 7,900 8,734
Wells Fargo Bank NA 5.950% 8/26/36 12,625 13,422
4 Wells Fargo Capital X 5.950% 12/1/86 3,725 3,651
4 Wells Fargo Capital XIII 7.700% 12/29/49 11,895 11,865
4 Wells Fargo Capital XV 9.750% 9/29/49 8,055 8,055
Westpac Banking Corp. 2.250% 11/19/12 8,875 8,973
Westpac Banking Corp. 2.100% 8/2/13 4,675 4,742
Westpac Banking Corp. 1.850% 12/9/13 17,175 17,264
Westpac Banking Corp. 4.200% 2/27/15 15,075 15,806
Westpac Banking Corp. 3.000% 8/4/15 17,350 17,522
Westpac Banking Corp. 4.875% 11/19/19 12,100 12,609
 
Brokerage (0.2%)        
Ameriprise Financial Inc. 5.650% 11/15/15 7,850 8,831
Ameriprise Financial Inc. 7.300% 6/28/19 400 497
Ameriprise Financial Inc. 5.300% 3/15/20 2,025 2,226
4 Ameriprise Financial Inc. 7.518% 6/1/66 575 575
BlackRock Inc. 2.250% 12/10/12 5,300 5,380
BlackRock Inc. 3.500% 12/10/14 4,275 4,540
BlackRock Inc. 6.250% 9/15/17 3,375 3,902
BlackRock Inc. 5.000% 12/10/19 625 692
BlackRock Inc. 4.250% 5/24/21 1,125 1,178
Charles Schwab Corp. 4.950% 6/1/14 9,450 10,351
Charles Schwab Corp. 4.450% 7/22/20 4,550 4,784
6 FMR LLC 7.490% 6/15/19 800 992
Franklin Resources Inc. 2.000% 5/20/13 6,825 6,930
Franklin Resources Inc. 3.125% 5/20/15 3,700 3,821
Franklin Resources Inc. 4.625% 5/20/20 1,950 2,141
6 GFI Group Inc. 8.375% 7/19/18 1,900 1,869
Invesco Ltd. 5.375% 2/27/13 25 26
Jefferies Group Inc. 5.125% 4/13/18 17,250 16,277
Jefferies Group Inc. 8.500% 7/15/19 9,345 10,222
Jefferies Group Inc. 6.875% 4/15/21 3,400 3,480
Jefferies Group Inc. 6.450% 6/8/27 13,560 13,002
Jefferies Group Inc. 6.250% 1/15/36 7,500 6,741
Lazard Group LLC 7.125% 5/15/15 2,150 2,376
Lazard Group LLC 6.850% 6/15/17 7,425 8,144

 

 

MF Global Holdings Ltd. 6.250% 8/8/16 7,400 7,048
Nomura Holdings Inc. 5.000% 3/4/15 6,825 7,211
Nomura Holdings Inc. 6.700% 3/4/20 8,850 10,297
Raymond James Financial Inc. 4.250% 4/15/16 1,975 2,009
TD Ameritrade Holding Corp. 2.950% 12/1/12 2,025 2,067
TD Ameritrade Holding Corp. 4.150% 12/1/14 2,725 2,887
TD Ameritrade Holding Corp. 5.600% 12/1/19 2,425 2,651
 
Finance Companies (0.7%)        
Block Financial LLC 7.875% 1/15/13 1,675 1,746
Block Financial LLC 5.125% 10/30/14 13,570 13,984
Discover Financial Services 6.450% 6/12/17 1,825 1,892
Discover Financial Services 10.250% 7/15/19 917 1,093
GATX Corp. 4.750% 10/1/12 2,650 2,731
4 GE Capital Trust I 6.375% 11/15/67 10,475 9,846
General Electric Capital Corp. 5.250% 10/19/12 59,115 61,764
General Electric Capital Corp. 2.800% 1/8/13 10,500 10,675
General Electric Capital Corp. 5.450% 1/15/13 41,100 43,180
General Electric Capital Corp. 4.800% 5/1/13 24,125 25,316
General Electric Capital Corp. 2.100% 1/7/14 3,050 3,067
General Electric Capital Corp. 5.900% 5/13/14 4,850 5,313
General Electric Capital Corp. 5.500% 6/4/14 14,400 15,663
General Electric Capital Corp. 5.650% 6/9/14 9,000 9,816
General Electric Capital Corp. 3.750% 11/14/14 28,250 29,562
General Electric Capital Corp. 3.500% 6/29/15 2,500 2,583
General Electric Capital Corp. 4.375% 9/21/15 6,900 7,376
General Electric Capital Corp. 2.250% 11/9/15 7,089 6,997
General Electric Capital Corp. 2.950% 5/9/16 8,675 8,699
General Electric Capital Corp. 5.400% 2/15/17 22,825 24,887
General Electric Capital Corp. 5.625% 9/15/17 20,663 22,532
General Electric Capital Corp. 5.625% 5/1/18 26,934 29,268
General Electric Capital Corp. 6.000% 8/7/19 11,650 13,073
General Electric Capital Corp. 5.500% 1/8/20 4,600 5,062
General Electric Capital Corp. 5.550% 5/4/20 8,550 9,506
General Electric Capital Corp. 5.300% 2/11/21 5,925 6,098
General Electric Capital Corp. 6.750% 3/15/32 35,731 40,545
General Electric Capital Corp. 6.150% 8/7/37 20,500 21,504
General Electric Capital Corp. 5.875% 1/14/38 40,975 41,932
General Electric Capital Corp. 6.875% 1/10/39 33,250 38,254
4 General Electric Capital Corp. 6.375% 11/15/67 13,580 12,765
4 HSBC Finance Capital Trust IX 5.911% 11/30/35 2,125 1,761
HSBC Finance Corp. 6.375% 11/27/12 15,522 16,136
HSBC Finance Corp. 4.750% 7/15/13 18,875 19,516
HSBC Finance Corp. 5.250% 1/15/14 5,725 5,988
HSBC Finance Corp. 5.000% 6/30/15 15,200 15,677
HSBC Finance Corp. 5.500% 1/19/16 11,921 12,411
6 HSBC Finance Corp. 6.676% 1/15/21 35,924 35,358
6 International Lease Finance Corp. 6.500% 9/1/14 170 169
6 International Lease Finance Corp. 6.750% 9/1/16 830 818
SLM Corp. 5.400% 10/25/11 12,325 12,335
SLM Corp. 5.375% 1/15/13 4,175 4,175
SLM Corp. 5.000% 10/1/13 4,485 4,418
SLM Corp. 5.375% 5/15/14 2,515 2,472
SLM Corp. 5.050% 11/14/14 2,335 2,255
SLM Corp. 5.000% 4/15/15 30 28
SLM Corp. 6.250% 1/25/16 7,075 6,945
SLM Corp. 8.450% 6/15/18 17,500 18,204

 

 

SLM Corp. 8.000% 3/25/20 6,710 6,646
SLM Corp. 5.625% 8/1/33 8,115 6,587
 
Insurance (1.2%)        
ACE Capital Trust II 9.700% 4/1/30 2,035 2,592
ACE INA Holdings Inc. 5.875% 6/15/14 900 999
ACE INA Holdings Inc. 5.600% 5/15/15 6,175 6,899
ACE INA Holdings Inc. 2.600% 11/23/15 5,910 6,006
ACE INA Holdings Inc. 5.700% 2/15/17 2,930 3,306
ACE INA Holdings Inc. 5.800% 3/15/18 1,256 1,444
ACE INA Holdings Inc. 5.900% 6/15/19 1,950 2,298
ACE INA Holdings Inc. 6.700% 5/15/36 750 950
AEGON Funding Co. LLC 5.750% 12/15/20 1,075 1,213
Aegon NV 4.750% 6/1/13 1,900 1,951
Aetna Inc. 6.000% 6/15/16 10,650 12,273
Aetna Inc. 6.500% 9/15/18 2,175 2,640
Aetna Inc. 4.125% 6/1/21 350 370
Aetna Inc. 6.625% 6/15/36 8,900 11,338
Aetna Inc. 6.750% 12/15/37 4,855 6,222
Aflac Inc. 8.500% 5/15/19 500 619
Aflac Inc. 6.900% 12/17/39 825 880
Aflac Inc. 6.450% 8/15/40 250 243
Alleghany Corp. 5.625% 9/15/20 1,700 1,787
Allied World Assurance Co. Ltd. 7.500% 8/1/16 15,503 17,615
Allstate Corp. 5.000% 8/15/14 6,325 6,941
Allstate Corp. 6.125% 12/15/32 2,450 2,796
Allstate Corp. 5.350% 6/1/33 895 932
Allstate Corp. 5.550% 5/9/35 2,936 3,145
4 Allstate Corp. 6.500% 5/15/57 4,475 3,916
4 Allstate Corp. 6.125% 5/15/67 2,831 2,520
Allstate Life Global Funding Trusts 5.375% 4/30/13 18,900 20,060
Alterra Finance LLC 6.250% 9/30/20 2,225 2,390
American Financial Group Inc. 9.875% 6/15/19 8,864 11,012
American International Group Inc. 4.250% 5/15/13 18,551 18,563
American International Group Inc. 4.250% 9/15/14 5,500 5,365
American International Group Inc. 5.050% 10/1/15 3,200 3,133
American International Group Inc. 4.875% 9/15/16 5,500 5,394
American International Group Inc. 5.600% 10/18/16 2,000 1,971
American International Group Inc. 5.450% 5/18/17 7,425 7,051
American International Group Inc. 5.850% 1/16/18 12,770 12,698
American International Group Inc. 8.250% 8/15/18 3,325 3,700
American International Group Inc. 6.400% 12/15/20 15,040 15,261
American International Group Inc. 6.250% 5/1/36 13,860 13,142
American International Group Inc. 6.250% 3/15/37 5,825 4,034
4 American International Group Inc. 8.175% 5/15/68 26,550 23,364
AON Corp. 3.500% 9/30/15 5,325 5,488
AON Corp. 5.000% 9/30/20 3,200 3,501
AON Corp. 8.205% 1/1/27 1,025 1,167
AON Corp. 6.250% 9/30/40 3,550 4,331
Arch Capital Group Ltd. 7.350% 5/1/34 2,875 3,273
Aspen Insurance Holdings Ltd. 6.000% 12/15/20 2,075 2,186
Assurant Inc. 5.625% 2/15/14 3,225 3,417
Assurant Inc. 6.750% 2/15/34 3,715 3,992
AXA SA 8.600% 12/15/30 13,107 14,701
Axis Capital Holdings Ltd. 5.750% 12/1/14 2,150 2,284
Axis Specialty Finance LLC 5.875% 6/1/20 21,900 22,523
Berkshire Hathaway Finance Corp. 4.600% 5/15/13 14,658 15,473

 

 

Berkshire Hathaway Finance Corp. 5.000% 8/15/13 18,025 19,314
Berkshire Hathaway Finance Corp. 4.850% 1/15/15 5,580 6,160
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 12,250 14,003
Berkshire Hathaway Finance Corp. 4.250% 1/15/21 600 633
Berkshire Hathaway Finance Corp. 5.750% 1/15/40 5,675 6,369
Berkshire Hathaway Inc. 2.125% 2/11/13 14,575 14,823
Berkshire Hathaway Inc. 3.200% 2/11/15 12,370 12,994
Chubb Corp. 5.200% 4/1/13 1,575 1,658
Chubb Corp. 5.750% 5/15/18 5,375 6,341
Chubb Corp. 6.000% 5/11/37 5,945 7,057
Chubb Corp. 6.500% 5/15/38 1,900 2,372
4 Chubb Corp. 6.375% 3/29/67 11,075 10,696
CIGNA Corp. 5.125% 6/15/20 2,075 2,260
CIGNA Corp. 4.375% 12/15/20 3,550 3,677
CIGNA Corp. 4.500% 3/15/21 875 905
CIGNA Corp. 7.875% 5/15/27 1,025 1,305
CIGNA Corp. 6.150% 11/15/36 8,675 10,049
CIGNA Corp. 5.875% 3/15/41 2,200 2,465
Cincinnati Financial Corp. 6.920% 5/15/28 3,575 4,135
Cincinnati Financial Corp. 6.125% 11/1/34 3,500 3,783
CNA Financial Corp. 5.850% 12/15/14 4,025 4,253
CNA Financial Corp. 6.500% 8/15/16 8,625 9,290
CNA Financial Corp. 7.350% 11/15/19 8,125 9,093
CNA Financial Corp. 5.875% 8/15/20 2,125 2,172
CNA Financial Corp. 5.750% 8/15/21 600 606
Coventry Health Care Inc. 6.300% 8/15/14 9,515 10,480
Coventry Health Care Inc. 5.450% 6/15/21 1,600 1,723
Endurance Specialty Holdings Ltd. 7.000% 7/15/34 6,875 6,773
Genworth Financial Inc. 5.750% 6/15/14 2,496 2,459
Genworth Financial Inc. 4.950% 10/1/15 950 932
Genworth Financial Inc. 8.625% 12/15/16 8,450 8,439
Genworth Financial Inc. 7.700% 6/15/20 500 446
Genworth Financial Inc. 7.200% 2/15/21 4,100 3,533
Genworth Financial Inc. 6.500% 6/15/34 5,775 4,569
Hartford Financial Services Group Inc. 4.625% 7/15/13 4,125 4,247
Hartford Financial Services Group Inc. 5.500% 10/15/16 3,075 3,172
Hartford Financial Services Group Inc. 5.375% 3/15/17 2,600 2,654
Hartford Financial Services Group Inc. 6.300% 3/15/18 900 936
Hartford Financial Services Group Inc. 6.000% 1/15/19 1,325 1,340
Hartford Financial Services Group Inc. 5.950% 10/15/36 2,200 1,910
Hartford Financial Services Group Inc. 6.100% 10/1/41 3,875 3,362
HCC Insurance Holdings Inc. 6.300% 11/15/19 4,250 4,717
Humana Inc. 6.450% 6/1/16 175 198
Humana Inc. 7.200% 6/15/18 6,375 7,572
Humana Inc. 6.300% 8/1/18 200 227
Jefferson-Pilot Corp. 4.750% 1/30/14 1,600 1,688
Lincoln National Corp. 4.300% 6/15/15 250 264
Lincoln National Corp. 8.750% 7/1/19 127 151
Lincoln National Corp. 6.150% 4/7/36 6,950 6,710
Lincoln National Corp. 7.000% 6/15/40 3,725 3,949
4 Lincoln National Corp. 7.000% 5/17/66 15,950 13,823
4 Lincoln National Corp. 6.050% 4/20/67 1,700 1,377
Loews Corp. 5.250% 3/15/16 3,200 3,486
Loews Corp. 6.000% 2/1/35 625 685
Manulife Financial Corp. 3.400% 9/17/15 10,500 10,705
Manulife Financial Corp. 4.900% 9/17/20 16,225 16,690
Markel Corp. 7.125% 9/30/19 6,625 7,720

 

 

Marsh & McLennan Cos. Inc. 5.750% 9/15/15 8,853 9,897
Marsh & McLennan Cos. Inc. 9.250% 4/15/19 8,150 10,903
Marsh & McLennan Cos. Inc. 4.800% 7/15/21 1,370 1,446
Marsh & McLennan Cos. Inc. 5.875% 8/1/33 400 439
MetLife Inc. 5.375% 12/15/12 6,050 6,294
MetLife Inc. 5.000% 11/24/13 4,425 4,726
MetLife Inc. 2.375% 2/6/14 9,725 9,818
MetLife Inc. 5.000% 6/15/15 3,926 4,310
MetLife Inc. 6.750% 6/1/16 3,900 4,488
MetLife Inc. 7.717% 2/15/19 1,495 1,823
MetLife Inc. 4.750% 2/8/21 4,040 4,192
MetLife Inc. 6.500% 12/15/32 2,700 3,154
MetLife Inc. 6.375% 6/15/34 2,375 2,733
MetLife Inc. 5.700% 6/15/35 725 764
MetLife Inc. 5.875% 2/6/41 11,640 12,663
4 MetLife Inc. 6.400% 12/15/66 18,437 15,945
6 Metropolitan Life Global Funding I 5.125% 6/10/14 3,475 3,762
4 Nationwide Financial Services 6.750% 5/15/67 550 451
OneBeacon US Holdings Inc. 5.875% 5/15/13 565 585
PartnerRe Finance B LLC 5.500% 6/1/20 11,759 12,162
Principal Financial Group Inc. 7.875% 5/15/14 650 739
Principal Financial Group Inc. 8.875% 5/15/19 4 5
Principal Financial Group Inc. 6.050% 10/15/36 3,275 3,527
Principal Life Income Funding Trusts 5.300% 12/14/12 4,300 4,494
Principal Life Income Funding Trusts 5.300% 4/24/13 5,575 5,894
Principal Life Income Funding Trusts 5.100% 4/15/14 4,925 5,281
Progressive Corp. 3.750% 8/23/21 7,450 7,631
Progressive Corp. 6.625% 3/1/29 4,700 5,908
Progressive Corp. 6.250% 12/1/32 225 275
4 Progressive Corp. 6.700% 6/15/67 7,400 7,289
Protective Life Corp. 7.375% 10/15/19 5,995 6,632
Protective Life Corp. 8.450% 10/15/39 5,100 5,903
Prudential Financial Inc. 5.150% 1/15/13 2,145 2,227
Prudential Financial Inc. 4.500% 7/15/13 6,225 6,489
Prudential Financial Inc. 4.750% 4/1/14 1,875 1,974
Prudential Financial Inc. 5.100% 9/20/14 10,991 11,641
Prudential Financial Inc. 3.875% 1/14/15 11,250 11,578
Prudential Financial Inc. 6.200% 1/15/15 5,150 5,638
Prudential Financial Inc. 4.750% 9/17/15 2,825 2,988
Prudential Financial Inc. 5.500% 3/15/16 675 727
Prudential Financial Inc. 6.000% 12/1/17 4,800 5,121
Prudential Financial Inc. 5.375% 6/21/20 2,475 2,636
Prudential Financial Inc. 5.750% 7/15/33 900 913
Prudential Financial Inc. 5.400% 6/13/35 3,975 3,830
Prudential Financial Inc. 5.900% 3/17/36 5,182 5,261
Prudential Financial Inc. 5.700% 12/14/36 10,525 10,274
Prudential Financial Inc. 6.625% 6/21/40 5,325 5,792
Prudential Financial Inc. 6.200% 11/15/40 4,350 4,480
Prudential Financial Inc. 5.625% 5/12/41 125 118
4 Prudential Financial Inc. 8.875% 6/15/68 750 803
4 Reinsurance Group of America Inc. 6.750% 12/15/65 6,950 6,047
Swiss Re Solutions Holding Corp. 6.450% 3/1/19 1,325 1,451
Swiss Re Solutions Holding Corp. 7.000% 2/15/26 3,450 4,138
Swiss Re Solutions Holding Corp. 7.750% 6/15/30 10,990 13,513
Torchmark Corp. 6.375% 6/15/16 3,500 3,886
Transatlantic Holdings Inc. 8.000% 11/30/39 14,470 17,511
Travelers Cos. Inc. 5.500% 12/1/15 1,025 1,153

 

 

Travelers Cos. Inc. 6.250% 6/20/16 2,625 3,062
Travelers Cos. Inc. 5.750% 12/15/17 3,825 4,384
Travelers Cos. Inc. 5.800% 5/15/18 150 173
Travelers Cos. Inc. 5.900% 6/2/19 11,500 13,250
Travelers Cos. Inc. 3.900% 11/1/20 400 409
Travelers Cos. Inc. 6.250% 6/15/37 15,725 18,343
Travelers Cos. Inc. 5.350% 11/1/40 2,370 2,522
Travelers Property Casualty Corp. 5.000% 3/15/13 225 236
Travelers Property Casualty Corp. 6.375% 3/15/33 325 384
UnitedHealth Group Inc. 5.500% 11/15/12 7,600 7,966
UnitedHealth Group Inc. 4.875% 2/15/13 2,350 2,468
UnitedHealth Group Inc. 4.875% 4/1/13 2,850 3,005
UnitedHealth Group Inc. 4.875% 3/15/15 19,581 21,628
UnitedHealth Group Inc. 5.375% 3/15/16 200 227
UnitedHealth Group Inc. 6.000% 6/15/17 7,500 8,633
UnitedHealth Group Inc. 6.000% 2/15/18 33,655 40,047
UnitedHealth Group Inc. 3.875% 10/15/20 170 180
UnitedHealth Group Inc. 4.700% 2/15/21 675 746
UnitedHealth Group Inc. 5.800% 3/15/36 2,275 2,621
UnitedHealth Group Inc. 6.500% 6/15/37 1,350 1,672
UnitedHealth Group Inc. 6.625% 11/15/37 3,475 4,388
UnitedHealth Group Inc. 6.875% 2/15/38 3,705 4,846
UnitedHealth Group Inc. 5.700% 10/15/40 170 194
Unum Group 7.125% 9/30/16 3,425 3,915
Unum Group 5.625% 9/15/20 2,200 2,354
Validus Holdings Ltd. 8.875% 1/26/40 3,000 3,312
WellPoint Inc. 6.000% 2/15/14 2,225 2,435
WellPoint Inc. 5.000% 12/15/14 3,525 3,850
WellPoint Inc. 5.250% 1/15/16 9,836 10,908
WellPoint Inc. 5.875% 6/15/17 375 428
WellPoint Inc. 7.000% 2/15/19 210 260
WellPoint Inc. 4.350% 8/15/20 2,600 2,766
WellPoint Inc. 5.950% 12/15/34 7,775 9,161
WellPoint Inc. 5.850% 1/15/36 6,660 7,654
WellPoint Inc. 6.375% 6/15/37 1,030 1,259
Willis Group Holdings plc 5.750% 3/15/21 4,051 4,244
Willis North America Inc. 5.625% 7/15/15 3,825 4,112
Willis North America Inc. 6.200% 3/28/17 2,495 2,726
Willis North America Inc. 7.000% 9/29/19 20,300 23,078
WR Berkley Corp. 5.375% 9/15/20 950 989
XL Group plc 5.250% 9/15/14 5,625 5,912
XL Group plc 6.375% 11/15/24 525 560
XL Group plc 6.250% 5/15/27 8,025 8,324
 
Other Finance (0.0%)        
CME Group Inc. 5.400% 8/1/13 8,450 9,068
CME Group Inc. 5.750% 2/15/14 3,225 3,547
NASDAQ OMX Group Inc. 4.000% 1/15/15 3,275 3,342
NASDAQ OMX Group Inc. 5.550% 1/15/20 2,500 2,490
NYSE Euronext 4.800% 6/28/13 4,435 4,693
ORIX Corp. 5.000% 1/12/16 4,835 4,994
XTRA Finance Corp. 5.150% 4/1/17 12,925 14,576
 
Real Estate Investment Trusts (0.4%)        
Arden Realty LP 5.250% 3/1/15 925 971
AvalonBay Communities Inc. 6.125% 11/1/12 422 443
AvalonBay Communities Inc. 5.750% 9/15/16 825 924

 

 

Boston Properties LP 5.625% 4/15/15 5,175 5,711
Boston Properties LP 5.625% 11/15/20 8,925 9,768
Boston Properties LP 4.125% 5/15/21 1,280 1,247
Brandywine Operating Partnership LP 5.400% 11/1/14 1,000 1,043
Brandywine Operating Partnership LP 7.500% 5/15/15 3,950 4,308
Brandywine Operating Partnership LP 6.000% 4/1/16 6,390 6,726
Brandywine Operating Partnership LP 5.700% 5/1/17 4,580 4,671
Camden Property Trust 5.700% 5/15/17 5,025 5,499
CommonWealth REIT 6.250% 8/15/16 1,425 1,520
CommonWealth REIT 6.250% 6/15/17 5,075 5,581
CommonWealth REIT 5.875% 9/15/20 3,200 3,386
Digital Realty Trust LP 4.500% 7/15/15 2,400 2,443
Digital Realty Trust LP 5.875% 2/1/20 2,000 2,089
Digital Realty Trust LP 5.250% 3/15/21 12,345 12,293
Duke Realty LP 6.250% 5/15/13 800 839
Duke Realty LP 7.375% 2/15/15 8,425 9,204
Duke Realty LP 5.950% 2/15/17 4,200 4,455
Duke Realty LP 8.250% 8/15/19 3,600 4,148
Duke Realty LP 6.750% 3/15/20 1,025 1,066
ERP Operating LP 5.500% 10/1/12 3,050 3,169
ERP Operating LP 5.250% 9/15/14 1,700 1,832
ERP Operating LP 5.125% 3/15/16 825 890
ERP Operating LP 5.375% 8/1/16 3,125 3,404
ERP Operating LP 5.750% 6/15/17 1,250 1,391
HCP Inc. 5.650% 12/15/13 9,655 10,224
HCP Inc. 3.750% 2/1/16 16,850 16,595
HCP Inc. 6.300% 9/15/16 2,915 3,154
HCP Inc. 5.625% 5/1/17 100 103
HCP Inc. 6.700% 1/30/18 6,200 6,745
HCP Inc. 6.750% 2/1/41 500 532
Health Care REIT Inc. 6.000% 11/15/13 2,175 2,275
Health Care REIT Inc. 3.625% 3/15/16 1,450 1,420
Health Care REIT Inc. 6.200% 6/1/16 9,300 10,024
Health Care REIT Inc. 4.700% 9/15/17 25 25
Health Care REIT Inc. 4.950% 1/15/21 2,335 2,266
Health Care REIT Inc. 5.250% 1/15/22 4,075 3,871
Health Care REIT Inc. 6.500% 3/15/41 1,900 1,820
Healthcare Realty Trust Inc. 5.125% 4/1/14 1,525 1,576
Healthcare Realty Trust Inc. 6.500% 1/17/17 2,800 3,049
Healthcare Realty Trust Inc. 5.750% 1/15/21 600 588
Hospitality Properties Trust 6.750% 2/15/13 500 513
Hospitality Properties Trust 7.875% 8/15/14 3,550 3,858
Hospitality Properties Trust 5.125% 2/15/15 5,170 5,270
Kilroy Realty LP 5.000% 11/3/15 3,950 4,092
Kilroy Realty LP 4.800% 7/15/18 11,075 10,697
Kimco Realty Corp. 5.783% 3/15/16 1,075 1,162
Kimco Realty Corp. 6.875% 10/1/19 6,650 7,587
Liberty Property LP 5.125% 3/2/15 8,400 9,055
Liberty Property LP 5.500% 12/15/16 1,975 2,148
Liberty Property LP 6.625% 10/1/17 2,750 3,146
Liberty Property LP 4.750% 10/1/20 225 224
Mack-Cali Realty LP 7.750% 8/15/19 2,200 2,612
National Retail Properties Inc. 6.875% 10/15/17 11,000 12,283
Nationwide Health Properties Inc. 6.250% 2/1/13 4,150 4,334
ProLogis LP 7.625% 8/15/14 600 654
ProLogis LP 4.500% 8/15/17 2,600 2,452
ProLogis LP 7.375% 10/30/19 5,100 5,473

 

 

ProLogis LP 6.625% 12/1/19 1,750 1,856
ProLogis LP 6.875% 3/15/20 7,750 8,190
Realty Income Corp. 5.950% 9/15/16 150 168
Realty Income Corp. 6.750% 8/15/19 8,210 9,446
Realty Income Corp. 5.750% 1/15/21 5,175 5,497
Realty Income Corp. 5.875% 3/15/35 360 364
Regency Centers LP 5.250% 8/1/15 2,925 3,141
Senior Housing Properties Trust 4.300% 1/15/16 2,175 2,142
Simon Property Group LP 6.750% 5/15/14 11,480 12,893
Simon Property Group LP 4.200% 2/1/15 1,550 1,635
Simon Property Group LP 5.100% 6/15/15 2,286 2,491
Simon Property Group LP 5.750% 12/1/15 15,350 17,003
Simon Property Group LP 6.100% 5/1/16 1,850 2,078
Simon Property Group LP 5.250% 12/1/16 8,800 9,527
Simon Property Group LP 5.875% 3/1/17 3,250 3,662
Simon Property Group LP 6.125% 5/30/18 4,525 5,108
Simon Property Group LP 5.650% 2/1/20 4,800 5,300
Simon Property Group LP 6.750% 2/1/40 7,800 9,446
Tanger Properties LP 6.150% 11/15/15 3,525 3,903
UDR Inc. 4.250% 6/1/18 1,200 1,227
Ventas Realty LP / Ventas Capital Corp. 3.125% 11/30/15 400 393
Ventas Realty LP / Ventas Capital Corp. 4.750% 6/1/21 4,850 4,683
        6,826,986
Industrial (11.2%)        
Basic Industry (1.1%)        
Agrium Inc. 6.750% 1/15/19 7,100 8,593
Agrium Inc. 6.125% 1/15/41 6,550 7,928
Air Products & Chemicals Inc. 2.000% 8/2/16 5,325 5,427
Airgas Inc. 4.500% 9/15/14 2,325 2,476
Airgas Inc. 3.250% 10/1/15 5,400 5,562
Albemarle Corp. 4.500% 12/15/20 1,300 1,401
Alcoa Inc. 6.000% 7/15/13 5,500 5,882
Alcoa Inc. 5.550% 2/1/17 500 519
Alcoa Inc. 6.750% 7/15/18 200 213
Alcoa Inc. 5.720% 2/23/19 5,288 5,339
Alcoa Inc. 6.150% 8/15/20 12,075 12,233
Alcoa Inc. 5.400% 4/15/21 2,250 2,144
Alcoa Inc. 5.870% 2/23/22 2,512 2,457
Alcoa Inc. 5.900% 2/1/27 12,365 12,022
Alcoa Inc. 6.750% 1/15/28 18,061 18,913
Alcoa Inc. 5.950% 2/1/37 8,275 7,447
Allegheny Technologies Inc. 9.375% 6/1/19 25 31
AngloGold Ashanti Holdings plc 5.375% 4/15/20 6,450 6,436
AngloGold Ashanti Holdings plc 6.500% 4/15/40 2,275 2,237
ArcelorMittal 5.375% 6/1/13 16,101 16,571
ArcelorMittal 9.000% 2/15/15 8,425 9,268
ArcelorMittal 3.750% 8/5/15 3,400 3,221
ArcelorMittal 3.750% 3/1/16 4,500 4,210
ArcelorMittal 6.125% 6/1/18 9,025 8,746
ArcelorMittal 9.850% 6/1/19 15,250 17,395
ArcelorMittal 5.250% 8/5/20 3,600 3,277
ArcelorMittal 5.500% 3/1/21 4,700 4,212
ArcelorMittal 7.000% 10/15/39 11,410 10,151
ArcelorMittal 6.750% 3/1/41 14,975 12,909
Barrick Gold Corp. 2.900% 5/30/16 200 202
Barrick Gold Corp. 6.950% 4/1/19 11,574 14,051
Barrick Gold Finance Co. 4.875% 11/15/14 2,700 2,950

 

 

Barrick Gold Financeco LLC 6.125% 9/15/13 13,200 14,431
Barrick North America Finance LLC 6.800% 9/15/18 5,325 6,508
Barrick North America Finance LLC 4.400% 5/30/21 1,050 1,075
Barrick North America Finance LLC 7.500% 9/15/38 5,150 6,920
Barrick PD Australia Finance Pty Ltd. 5.950% 10/15/39 4,675 5,093
BHP Billiton Finance USA Ltd. 8.500% 12/1/12 125 136
BHP Billiton Finance USA Ltd. 4.800% 4/15/13 7,676 8,110
BHP Billiton Finance USA Ltd. 5.500% 4/1/14 6,865 7,559
BHP Billiton Finance USA Ltd. 5.250% 12/15/15 14,175 16,306
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 25 28
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 19,500 23,818
Carpenter Technology Corp. 5.200% 7/15/21 11,175 11,126
Celulosa Arauco y Constitucion SA 5.125% 7/9/13 1,175 1,227
Celulosa Arauco y Constitucion SA 5.625% 4/20/15 3,675 3,910
Celulosa Arauco y Constitucion SA 7.250% 7/29/19 2,000 2,339
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 5,300 5,318
Cliffs Natural Resources Inc. 5.900% 3/15/20 2,850 2,993
Cliffs Natural Resources Inc. 4.875% 4/1/21 1,300 1,253
Cliffs Natural Resources Inc. 6.250% 10/1/40 8,200 8,058
Commercial Metals Co. 6.500% 7/15/17 2,250 2,356
Commercial Metals Co. 7.350% 8/15/18 5,725 5,908
Cytec Industries Inc. 8.950% 7/1/17 1,575 1,987
Dow Chemical Co. 6.000% 10/1/12 1,680 1,758
Dow Chemical Co. 7.600% 5/15/14 12,500 14,229
Dow Chemical Co. 5.900% 2/15/15 32,175 35,532
Dow Chemical Co. 2.500% 2/15/16 625 615
Dow Chemical Co. 5.700% 5/15/18 500 556
Dow Chemical Co. 4.250% 11/15/20 4,892 4,897
Dow Chemical Co. 7.375% 11/1/29 3,550 4,361
Dow Chemical Co. 9.400% 5/15/39 11,949 18,102
Eastman Chemical Co. 3.000% 12/15/15 675 690
Eastman Chemical Co. 5.500% 11/15/19 2,200 2,486
Eastman Chemical Co. 4.500% 1/15/21 775 804
EI du Pont de Nemours & Co. 4.750% 11/15/12 3,320 3,470
EI du Pont de Nemours & Co. 5.000% 1/15/13 6,333 6,672
EI du Pont de Nemours & Co. 5.000% 7/15/13 7,075 7,604
EI du Pont de Nemours & Co. 1.750% 3/25/14 5,000 5,123
EI du Pont de Nemours & Co. 1.950% 1/15/16 2,800 2,840
EI du Pont de Nemours & Co. 2.750% 4/1/16 5,000 5,258
EI du Pont de Nemours & Co. 5.250% 12/15/16 836 968
EI du Pont de Nemours & Co. 6.000% 7/15/18 6,725 8,218
EI du Pont de Nemours & Co. 4.625% 1/15/20 2,050 2,307
EI du Pont de Nemours & Co. 3.625% 1/15/21 5,150 5,380
EI du Pont de Nemours & Co. 4.250% 4/1/21 2,950 3,225
EI du Pont de Nemours & Co. 6.500% 1/15/28 1,700 2,157
EI du Pont de Nemours & Co. 4.900% 1/15/41 2,275 2,508
Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 11,900 12,748
ICI Wilmington Inc. 5.625% 12/1/13 700 755
International Paper Co. 5.300% 4/1/15 4,600 4,936
International Paper Co. 7.950% 6/15/18 5,475 6,331
International Paper Co. 9.375% 5/15/19 21,600 26,660
International Paper Co. 7.500% 8/15/21 28,325 32,808
International Paper Co. 8.700% 6/15/38 1,200 1,527
International Paper Co. 7.300% 11/15/39 625 699
6 Kinross Gold Corp. 3.625% 9/1/16 2,975 2,947
6 Kinross Gold Corp. 5.125% 9/1/21 3,100 3,104
6 Kinross Gold Corp. 6.875% 9/1/41 2,150 2,306

 

 

Lubrizol Corp. 5.500% 10/1/14 10,125 11,385
Lubrizol Corp. 8.875% 2/1/19 850 1,149
Lubrizol Corp. 6.500% 10/1/34 5,285 6,897
Monsanto Co. 2.750% 4/15/16 2,400 2,516
Monsanto Co. 5.125% 4/15/18 3,100 3,606
Monsanto Co. 5.875% 4/15/38 1,750 2,239
Newmont Mining Corp. 5.125% 10/1/19 1,550 1,706
Newmont Mining Corp. 5.875% 4/1/35 2,600 2,843
Newmont Mining Corp. 6.250% 10/1/39 18,752 21,241
Nucor Corp. 5.000% 12/1/12 800 836
Nucor Corp. 5.000% 6/1/13 200 213
Nucor Corp. 5.750% 12/1/17 1,100 1,296
Nucor Corp. 5.850% 6/1/18 5,200 6,193
Nucor Corp. 4.125% 9/15/22 325 342
Nucor Corp. 6.400% 12/1/37 4,185 5,189
Placer Dome Inc. 6.450% 10/15/35 2,175 2,568
Plum Creek Timberlands LP 5.875% 11/15/15 3,550 3,944
Plum Creek Timberlands LP 4.700% 3/15/21 3,380 3,404
Potash Corp. of Saskatchewan Inc. 4.875% 3/1/13 3,950 4,163
Potash Corp. of Saskatchewan Inc. 5.250% 5/15/14 775 854
Potash Corp. of Saskatchewan Inc. 3.750% 9/30/15 5,350 5,683
Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 2,100 2,191
Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 150 184
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 6,485 7,335
Potash Corp. of Saskatchewan Inc. 5.875% 12/1/36 1,250 1,522
Potash Corp. of Saskatchewan Inc. 5.625% 12/1/40 3,650 4,292
PPG Industries Inc. 5.750% 3/15/13 3,915 4,174
PPG Industries Inc. 1.900% 1/15/16 6,825 6,760
PPG Industries Inc. 6.650% 3/15/18 8,715 10,735
PPG Industries Inc. 3.600% 11/15/20 750 776
PPG Industries Inc. 7.700% 3/15/38 5,895 8,126
Praxair Inc. 1.750% 11/15/12 2,400 2,428
Praxair Inc. 3.950% 6/1/13 775 814
Praxair Inc. 4.375% 3/31/14 2,775 2,988
Praxair Inc. 5.250% 11/15/14 6,850 7,673
Praxair Inc. 4.625% 3/30/15 325 358
Praxair Inc. 3.250% 9/15/15 800 854
Praxair Inc. 5.200% 3/15/17 1,100 1,279
Praxair Inc. 4.500% 8/15/19 2,525 2,844
Praxair Inc. 3.000% 9/1/21 3,550 3,551
Reliance Steel & Aluminum Co. 6.200% 11/15/16 250 264
Reliance Steel & Aluminum Co. 6.850% 11/15/36 1,750 1,713
Rio Tinto Alcan Inc. 4.500% 5/15/13 5,875 6,181
Rio Tinto Alcan Inc. 5.200% 1/15/14 675 725
Rio Tinto Alcan Inc. 5.000% 6/1/15 1,775 1,937
Rio Tinto Alcan Inc. 6.125% 12/15/33 10,625 12,645
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 22,727 26,884
Rio Tinto Finance USA Ltd. 1.875% 11/2/15 8,725 8,722
Rio Tinto Finance USA Ltd. 2.500% 5/20/16 1,050 1,060
Rio Tinto Finance USA Ltd. 2.250% 9/20/16 2,000 1,997
Rio Tinto Finance USA Ltd. 6.500% 7/15/18 6,310 7,545
Rio Tinto Finance USA Ltd. 9.000% 5/1/19 10,786 14,508
Rio Tinto Finance USA Ltd. 3.500% 11/2/20 9,708 9,547
Rio Tinto Finance USA Ltd. 4.125% 5/20/21 1,125 1,159
Rio Tinto Finance USA Ltd. 3.750% 9/20/21 2,850 2,848
Rio Tinto Finance USA Ltd. 7.125% 7/15/28 4,450 5,921
Rio Tinto Finance USA Ltd. 5.200% 11/2/40 8,750 9,466

 

 

Rohm & Haas Co. 5.600% 3/15/13 150 158
Rohm & Haas Co. 6.000% 9/15/17 8,475 9,733
RPM International Inc. 6.125% 10/15/19 1,350 1,460
Sherwin-Williams Co. 3.125% 12/15/14 3,225 3,404
Sigma-Aldrich Corp. 3.375% 11/1/20 1,585 1,625
Southern Copper Corp. 5.375% 4/16/20 1,800 1,823
Southern Copper Corp. 7.500% 7/27/35 16,075 17,190
Southern Copper Corp. 6.750% 4/16/40 1,950 1,974
Teck Resources Ltd. 9.750% 5/15/14 3,650 4,326
Teck Resources Ltd. 10.250% 5/15/16 10,475 12,308
Teck Resources Ltd. 3.150% 1/15/17 1,550 1,560
Teck Resources Ltd. 3.850% 8/15/17 4,100 4,323
Teck Resources Ltd. 10.750% 5/15/19 9,300 11,567
Teck Resources Ltd. 4.750% 1/15/22 1,525 1,556
Teck Resources Ltd. 6.125% 10/1/35 4,262 4,508
Teck Resources Ltd. 6.000% 8/15/40 350 361
Teck Resources Ltd. 6.250% 7/15/41 4,600 4,823
Vale Canada Ltd. 5.700% 10/15/15 3,550 3,920
Vale Canada Ltd. 7.200% 9/15/32 1,175 1,352
Vale Overseas Ltd. 6.250% 1/11/16 2,050 2,217
Vale Overseas Ltd. 6.250% 1/23/17 2,750 2,985
Vale Overseas Ltd. 5.625% 9/15/19 29,550 30,774
Vale Overseas Ltd. 4.625% 9/15/20 7,700 7,454
Vale Overseas Ltd. 8.250% 1/17/34 2,450 2,937
Vale Overseas Ltd. 6.875% 11/21/36 15,454 16,811
Vale Overseas Ltd. 6.875% 11/10/39 18,320 19,977
Valspar Corp. 7.250% 6/15/19 1,100 1,336
WMC Finance USA Ltd. 5.125% 5/15/13 425 454
Xstrata Canada Corp. 5.375% 6/1/15 350 377
Xstrata Canada Corp. 6.000% 10/15/15 1,125 1,244
Xstrata Canada Corp. 5.500% 6/15/17 5,575 6,135
 
Capital Goods (1.1%)        
3M Co. 4.500% 11/1/11 425 426
3M Co. 6.375% 2/15/28 3,650 4,850
3M Co. 5.700% 3/15/37 5,850 7,560
Acuity Brands Lighting Inc. 6.000% 12/15/19 2,975 3,244
6 BAE Systems Holdings Inc. 5.200% 8/15/15 600 668
Bemis Co. Inc. 5.650% 8/1/14 2,625 2,837
Black & Decker Corp. 8.950% 4/15/14 1,200 1,403
Black & Decker Corp. 5.750% 11/15/16 2,325 2,693
Boeing Capital Corp. 5.800% 1/15/13 436 465
Boeing Capital Corp. 3.250% 10/27/14 700 747
Boeing Capital Corp. 2.900% 8/15/18 150 156
Boeing Co. 1.875% 11/20/12 6,885 6,979
Boeing Co. 3.500% 2/15/15 14,150 15,212
Boeing Co. 6.000% 3/15/19 25 31
Boeing Co. 4.875% 2/15/20 3,200 3,659
Boeing Co. 8.750% 8/15/21 800 1,147
Boeing Co. 7.250% 6/15/25 675 926
Boeing Co. 8.750% 9/15/31 850 1,300
Boeing Co. 6.125% 2/15/33 800 992
Boeing Co. 6.625% 2/15/38 2,180 2,953
Boeing Co. 6.875% 3/15/39 1,610 2,215
Boeing Co. 5.875% 2/15/40 3,950 4,902
Caterpillar Financial Services Corp. 4.850% 12/7/12 300 315
Caterpillar Financial Services Corp. 1.900% 12/17/12 1,850 1,877

 

 

Caterpillar Financial Services Corp. 4.250% 2/8/13 4,175 4,361
Caterpillar Financial Services Corp. 6.200% 9/30/13 620 681
Caterpillar Financial Services Corp. 6.125% 2/17/14 12,175 13,571
Caterpillar Financial Services Corp. 1.650% 4/1/14 425 431
Caterpillar Financial Services Corp. 1.375% 5/20/14 300 302
Caterpillar Financial Services Corp. 4.750% 2/17/15 4,550 5,060
Caterpillar Financial Services Corp. 4.625% 6/1/15 2,625 2,952
Caterpillar Financial Services Corp. 2.650% 4/1/16 650 678
Caterpillar Financial Services Corp. 2.050% 8/1/16 10,225 10,265
Caterpillar Financial Services Corp. 7.150% 2/15/19 38,800 49,995
Caterpillar Inc. 1.375% 5/27/14 7,050 7,101
Caterpillar Inc. 3.900% 5/27/21 2,200 2,384
Caterpillar Inc. 6.625% 7/15/28 2,075 2,754
Caterpillar Inc. 7.300% 5/1/31 1,100 1,553
Caterpillar Inc. 6.050% 8/15/36 8,617 11,059
Caterpillar Inc. 8.250% 12/15/38 800 1,231
Caterpillar Inc. 5.200% 5/27/41 5,000 5,860
Caterpillar Inc. 6.950% 5/1/42 950 1,359
Caterpillar Inc. 7.375% 3/1/97 5,100 7,495
Cooper US Inc. 5.250% 11/15/12 4,250 4,451
Cooper US Inc. 5.450% 4/1/15 1,925 2,180
Cooper US Inc. 2.375% 1/15/16 1,425 1,449
CRH America Inc. 5.300% 10/15/13 875 910
CRH America Inc. 4.125% 1/15/16 6,425 6,523
CRH America Inc. 6.000% 9/30/16 16,986 18,282
CRH America Inc. 8.125% 7/15/18 11,750 13,759
CRH America Inc. 5.750% 1/15/21 6,800 6,983
Danaher Corp. 2.300% 6/23/16 1,750 1,801
Danaher Corp. 5.625% 1/15/18 2,375 2,856
Danaher Corp. 5.400% 3/1/19 1,700 2,043
Danaher Corp. 3.900% 6/23/21 1,750 1,881
Deere & Co. 6.950% 4/25/14 6,195 7,110
Deere & Co. 4.375% 10/16/19 4,775 5,398
Deere & Co. 5.375% 10/16/29 8,925 11,092
Deere & Co. 8.100% 5/15/30 3,405 5,118
Deere & Co. 7.125% 3/3/31 925 1,300
Dover Corp. 5.450% 3/15/18 6,650 7,899
Dover Corp. 4.300% 3/1/21 550 615
Dover Corp. 5.375% 10/15/35 550 658
Dover Corp. 6.600% 3/15/38 3,115 4,364
Dover Corp. 5.375% 3/1/41 350 424
Eaton Corp. 4.900% 5/15/13 11,085 11,786
Eaton Corp. 5.600% 5/15/18 2,600 3,066
Embraer Overseas Ltd. 6.375% 1/24/17 4,625 4,993
Embraer Overseas Ltd. 6.375% 1/15/20 4,550 4,924
Emerson Electric Co. 4.625% 10/15/12 6,625 6,894
Emerson Electric Co. 4.500% 5/1/13 2,025 2,136
Emerson Electric Co. 5.250% 10/15/18 6,625 7,803
Emerson Electric Co. 4.875% 10/15/19 4,575 5,315
Emerson Electric Co. 4.250% 11/15/20 425 473
Emerson Electric Co. 6.000% 8/15/32 940 1,196
Emerson Electric Co. 6.125% 4/15/39 1,575 2,095
Emerson Electric Co. 5.250% 11/15/39 170 205
General Dynamics Corp. 4.250% 5/15/13 14,815 15,667
General Dynamics Corp. 5.250% 2/1/14 13,025 14,325
General Dynamics Corp. 1.375% 1/15/15 2,100 2,113
General Dynamics Corp. 3.875% 7/15/21 2,750 2,985

 

 

General Electric Co. 5.000% 2/1/13 29,990 31,437
General Electric Co. 5.250% 12/6/17 40,462 45,107
Goodrich Corp. 6.125% 3/1/19 1,695 2,040
Goodrich Corp. 4.875% 3/1/20 22,925 25,723
Goodrich Corp. 3.600% 2/1/21 275 285
Goodrich Corp. 6.800% 7/1/36 80 108
Harsco Corp. 5.750% 5/15/18 19,813 22,920
Honeywell International Inc. 4.250% 3/1/13 1,200 1,260
Honeywell International Inc. 3.875% 2/15/14 425 456
Honeywell International Inc. 5.400% 3/15/16 1,650 1,915
Honeywell International Inc. 5.300% 3/15/17 5,100 5,926
Honeywell International Inc. 5.300% 3/1/18 650 763
Honeywell International Inc. 5.000% 2/15/19 1,425 1,650
Honeywell International Inc. 5.700% 3/15/36 2,425 2,964
Honeywell International Inc. 5.700% 3/15/37 4,125 5,056
Honeywell International Inc. 5.375% 3/1/41 225 272
Illinois Tool Works Inc. 5.150% 4/1/14 4,325 4,732
Illinois Tool Works Inc. 6.250% 4/1/19 13,475 16,858
Ingersoll-Rand Global Holding Co. Ltd. 6.000% 8/15/13 4,150 4,489
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 13,475 15,941
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 5,825 7,151
John Deere Capital Corp. 5.250% 10/1/12 850 889
John Deere Capital Corp. 4.950% 12/17/12 3,450 3,623
John Deere Capital Corp. 4.900% 9/9/13 8,275 8,913
John Deere Capital Corp. 2.950% 3/9/15 7,375 7,791
John Deere Capital Corp. 1.850% 9/15/16 9,000 8,973
John Deere Capital Corp. 5.500% 4/13/17 250 293
John Deere Capital Corp. 2.800% 9/18/17 5,625 5,849
John Deere Capital Corp. 5.750% 9/10/18 3,950 4,791
John Deere Capital Corp. 3.900% 7/12/21 3,950 4,281
Joy Global Inc. 6.000% 11/15/16 1,850 2,091
L-3 Communications Corp. 5.200% 10/15/19 4,650 4,802
L-3 Communications Corp. 4.750% 7/15/20 3,400 3,523
L-3 Communications Corp. 4.950% 2/15/21 12,725 13,053
Lockheed Martin Corp. 4.121% 3/14/13 2,250 2,368
Lockheed Martin Corp. 7.650% 5/1/16 4,800 5,924
Lockheed Martin Corp. 4.250% 11/15/19 4,800 5,198
Lockheed Martin Corp. 3.350% 9/15/21 9,250 9,144
Lockheed Martin Corp. 6.150% 9/1/36 12,300 15,042
Lockheed Martin Corp. 5.500% 11/15/39 1,850 2,095
Lockheed Martin Corp. 5.720% 6/1/40 4,432 5,004
Martin Marietta Materials Inc. 6.600% 4/15/18 5,450 6,154
Northrop Grumman Corp. 1.850% 11/15/15 2,500 2,490
Northrop Grumman Corp. 5.050% 8/1/19 3,285 3,720
Northrop Grumman Corp. 3.500% 3/15/21 10,953 11,079
Northrop Grumman Corp. 5.050% 11/15/40 7,175 7,534
Northrop Grumman Systems Corp. 7.750% 2/15/31 381 554
Owens Corning 6.500% 12/1/16 30,080 32,339
Owens Corning 7.000% 12/1/36 725 757
Parker Hannifin Corp. 5.500% 5/15/18 1,375 1,638
Parker Hannifin Corp. 3.500% 9/15/22 500 524
Parker Hannifin Corp. 6.250% 5/15/38 4,735 6,072
Raytheon Co. 6.400% 12/15/18 400 491
Raytheon Co. 4.400% 2/15/20 2,500 2,719
Raytheon Co. 3.125% 10/15/20 890 884
Raytheon Co. 7.200% 8/15/27 3,575 4,944
Raytheon Co. 4.875% 10/15/40 1,000 1,060

 

 

Republic Services Inc. 3.800% 5/15/18 4,550 4,740
Republic Services Inc. 5.500% 9/15/19 17,750 20,119
Republic Services Inc. 5.000% 3/1/20 3,075 3,395
Republic Services Inc. 5.250% 11/15/21 12,735 14,299
Republic Services Inc. 6.086% 3/15/35 2,375 2,764
Republic Services Inc. 6.200% 3/1/40 4,155 4,992
Republic Services Inc. 5.700% 5/15/41 3,050 3,459
Rockwell Automation Inc. 5.650% 12/1/17 1,150 1,328
Rockwell Automation Inc. 6.700% 1/15/28 1,025 1,320
Rockwell Automation Inc. 6.250% 12/1/37 3,975 4,979
Rockwell Collins Inc. 5.250% 7/15/19 850 997
Roper Industries Inc. 6.625% 8/15/13 9,250 10,035
Roper Industries Inc. 6.250% 9/1/19 2,350 2,801
Sonoco Products Co. 5.750% 11/1/40 4,450 5,062
Stanley Black & Decker Inc. 5.200% 9/1/40 2,000 2,235
Textron Inc. 5.600% 12/1/17 975 1,022
Tyco International Finance SA 6.000% 11/15/13 6,730 7,368
Tyco International Finance SA 3.750% 1/15/18 1,250 1,297
Tyco International Finance SA 8.500% 1/15/19 925 1,205
Tyco International Finance SA 4.625% 1/15/23 975 1,048
Tyco International Ltd. / Tyco International        
Finance SA 7.000% 12/15/19 2,975 3,662
Tyco International Ltd. / Tyco International        
Finance SA 6.875% 1/15/21 20,060 25,027
United Technologies Corp. 4.875% 5/1/15 125 140
United Technologies Corp. 5.375% 12/15/17 12,175 14,092
United Technologies Corp. 6.125% 2/1/19 733 901
United Technologies Corp. 4.500% 4/15/20 22,728 25,354
United Technologies Corp. 6.700% 8/1/28 1,367 1,815
United Technologies Corp. 7.500% 9/15/29 2,325 3,359
United Technologies Corp. 5.400% 5/1/35 6,375 7,458
United Technologies Corp. 6.050% 6/1/36 5,152 6,531
United Technologies Corp. 6.125% 7/15/38 3,308 4,169
United Technologies Corp. 5.700% 4/15/40 8,200 10,027
Waste Management Inc. 6.375% 11/15/12 700 739
Waste Management Inc. 5.000% 3/15/14 1,175 1,277
Waste Management Inc. 6.375% 3/11/15 3,400 3,893
Waste Management Inc. 2.600% 9/1/16 2,400 2,396
Waste Management Inc. 7.375% 3/11/19 9,632 12,080
Waste Management Inc. 4.750% 6/30/20 675 735
Waste Management Inc. 4.600% 3/1/21 6,400 6,898
Waste Management Inc. 7.100% 8/1/26 875 1,102
Waste Management Inc. 7.000% 7/15/28 80 101
Waste Management Inc. 7.750% 5/15/32 1,700 2,326
Waste Management Inc. 6.125% 11/30/39 7,275 8,765
 
Communication (2.2%)        
Alltel Corp. 7.000% 3/15/16 5,000 5,970
Alltel Corp. 7.875% 7/1/32 4,725 6,761
America Movil SAB de CV 5.500% 3/1/14 2,150 2,308
America Movil SAB de CV 5.750% 1/15/15 30,242 33,327
America Movil SAB de CV 5.625% 11/15/17 4,240 4,660
America Movil SAB de CV 5.000% 10/16/19 2,500 2,659
America Movil SAB de CV 5.000% 3/30/20 1,000 1,057
America Movil SAB de CV 6.375% 3/1/35 17,400 19,146
America Movil SAB de CV 6.125% 11/15/37 4,300 4,540
America Movil SAB de CV 6.125% 3/30/40 10,900 11,462

 

 

American Tower Corp. 4.625% 4/1/15 6,075 6,465
American Tower Corp. 4.500% 1/15/18 18,315 18,180
American Tower Corp. 5.050% 9/1/20 1,000 982
AT&T Corp. 8.000% 11/15/31 15,489 21,549
AT&T Inc. 4.950% 1/15/13 16,685 17,481
AT&T Inc. 6.700% 11/15/13 5,825 6,470
AT&T Inc. 4.850% 2/15/14 8,100 8,749
AT&T Inc. 5.100% 9/15/14 12,510 13,736
AT&T Inc. 2.500% 8/15/15 3,950 4,049
AT&T Inc. 2.950% 5/15/16 3,950 4,077
AT&T Inc. 5.625% 6/15/16 33,520 38,283
AT&T Inc. 5.500% 2/1/18 5,981 6,925
AT&T Inc. 5.600% 5/15/18 6,875 8,029
AT&T Inc. 5.800% 2/15/19 45,320 53,410
AT&T Inc. 3.875% 8/15/21 2,500 2,565
AT&T Inc. 6.450% 6/15/34 5,625 6,570
AT&T Inc. 6.150% 9/15/34 525 597
AT&T Inc. 6.800% 5/15/36 1,137 1,382
AT&T Inc. 6.500% 9/1/37 25,675 30,264
AT&T Inc. 6.300% 1/15/38 23,702 27,145
AT&T Inc. 6.400% 5/15/38 5,895 6,925
AT&T Inc. 6.550% 2/15/39 8,120 9,641
AT&T Inc. 5.350% 9/1/40 8,162 8,619
AT&T Inc. 5.550% 8/15/41 4,450 4,797
AT&T Mobility LLC 7.125% 12/15/31 10,015 13,267
Bellsouth Capital Funding Corp. 7.875% 2/15/30 10,400 13,916
BellSouth Corp. 5.200% 9/15/14 1,650 1,817
BellSouth Corp. 5.200% 12/15/16 5,850 6,662
BellSouth Corp. 6.875% 10/15/31 5,100 6,278
BellSouth Corp. 6.550% 6/15/34 7,136 8,324
BellSouth Corp. 6.000% 11/15/34 4,586 4,977
BellSouth Telecommunications Inc. 6.375% 6/1/28 8,800 10,068
British Telecommunications plc 5.150% 1/15/13 8,323 8,694
British Telecommunications plc 5.950% 1/15/18 11,850 13,291
British Telecommunications plc 9.875% 12/15/30 12,377 18,002
CBS Corp. 8.200% 5/15/14 10,550 12,148
CBS Corp. 4.625% 5/15/18 400 421
CBS Corp. 8.875% 5/15/19 4,575 5,840
CBS Corp. 5.750% 4/15/20 8,725 9,616
CBS Corp. 4.300% 2/15/21 3,775 3,811
CBS Corp. 7.875% 7/30/30 2,196 2,763
CBS Corp. 5.500% 5/15/33 650 656
CBS Corp. 5.900% 10/15/40 800 842
Cellco Partnership / Verizon Wireless Capital        
LLC 7.375% 11/15/13 21,575 24,253
Cellco Partnership / Verizon Wireless Capital        
LLC 5.550% 2/1/14 31,767 34,733
Cellco Partnership / Verizon Wireless Capital        
LLC 8.500% 11/15/18 17,600 23,640
CenturyLink Inc. 5.000% 2/15/15 500 499
CenturyLink Inc. 6.000% 4/1/17 325 317
CenturyLink Inc. 6.150% 9/15/19 2,550 2,412
CenturyLink Inc. 6.450% 6/15/21 5,200 4,834
CenturyLink Inc. 6.875% 1/15/28 800 710
CenturyLink Inc. 7.600% 9/15/39 8,975 8,089
Comcast Cable Communications Holdings        
Inc. 8.375% 3/15/13 2,777 3,055

 

 

Comcast Cable Communications Holdings        
Inc. 9.455% 11/15/22 7,156 10,462
Comcast Cable Communications LLC 8.875% 5/1/17 2,475 3,167
Comcast Corp. 5.300% 1/15/14 4,180 4,542
Comcast Corp. 6.500% 1/15/15 3,295 3,768
Comcast Corp. 5.900% 3/15/16 10,475 11,933
Comcast Corp. 6.500% 1/15/17 515 604
Comcast Corp. 6.300% 11/15/17 38,075 44,729
Comcast Corp. 5.875% 2/15/18 13,550 15,699
Comcast Corp. 5.700% 5/15/18 4,600 5,293
Comcast Corp. 5.700% 7/1/19 1,150 1,341
Comcast Corp. 5.150% 3/1/20 6,750 7,603
Comcast Corp. 5.650% 6/15/35 3,125 3,258
Comcast Corp. 6.500% 11/15/35 15,300 17,481
Comcast Corp. 6.450% 3/15/37 7,718 8,794
Comcast Corp. 6.950% 8/15/37 6,265 7,498
Comcast Corp. 6.400% 5/15/38 14,656 16,640
Comcast Corp. 6.400% 3/1/40 3,900 4,538
COX Communications Inc. 7.125% 10/1/12 8,625 9,138
COX Communications Inc. 5.450% 12/15/14 10,210 11,329
COX Communications Inc. 5.500% 10/1/15 625 700
6 COX Communications Inc. 8.375% 3/1/39 4,100 5,589
Deutsche Telekom International Finance BV 5.875% 8/20/13 11,050 11,886
Deutsche Telekom International Finance BV 4.875% 7/8/14 5,025 5,369
Deutsche Telekom International Finance BV 5.750% 3/23/16 7,965 8,844
Deutsche Telekom International Finance BV 6.750% 8/20/18 325 388
Deutsche Telekom International Finance BV 6.000% 7/8/19 7,175 8,301
Deutsche Telekom International Finance BV 8.750% 6/15/30 15,836 21,251
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.750% 10/1/14 3,875 4,195
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.550% 3/15/15 8,200 8,597
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.500% 3/1/16 7,000 7,221
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 7.625% 5/15/16 3,575 3,834
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.875% 10/1/19 29,500 33,236
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.200% 3/15/20 3,950 4,247
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.600% 2/15/21 250 257
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.000% 3/1/21 2,400 2,537
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.350% 3/15/40 1,875 2,079
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.000% 8/15/40 3,225 3,417
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.375% 3/1/41 2,800 3,097
Discovery Communications LLC 5.050% 6/1/20 8,500 9,273
Discovery Communications LLC 4.375% 6/15/21 1,250 1,287
Discovery Communications LLC 6.350% 6/1/40 250 289
Embarq Corp. 6.738% 6/1/13 500 520
Embarq Corp. 7.082% 6/1/16 18,081 18,543
Embarq Corp. 7.995% 6/1/36 8,990 8,548
France Telecom SA 4.375% 7/8/14 8,900 9,515

 

 

France Telecom SA 2.125% 9/16/15 1,500 1,486
France Telecom SA 2.750% 9/14/16 7,025 6,998
France Telecom SA 4.125% 9/14/21 6,325 6,288
France Telecom SA 8.500% 3/1/31 16,300 22,618
Grupo Televisa SA 6.625% 3/18/25 3,350 3,706
Grupo Televisa SA 8.500% 3/11/32 550 684
Grupo Televisa SA 6.625% 1/15/40 600 635
GTE Corp. 8.750% 11/1/21 2,935 4,132
GTE Corp. 6.940% 4/15/28 13,070 16,285
Koninklijke KPN NV 8.375% 10/1/30 3,505 4,592
McGraw-Hill Cos. Inc. 5.375% 11/15/12 1,550 1,611
McGraw-Hill Cos. Inc. 5.900% 11/15/17 5,050 5,484
McGraw-Hill Cos. Inc. 6.550% 11/15/37 6,650 7,192
NBCUniversal Media LLC 2.100% 4/1/14 3,300 3,346
NBCUniversal Media LLC 3.650% 4/30/15 8,175 8,598
NBCUniversal Media LLC 2.875% 4/1/16 4,075 4,144
NBCUniversal Media LLC 5.150% 4/30/20 7,425 8,119
NBCUniversal Media LLC 4.375% 4/1/21 8,110 8,376
NBCUniversal Media LLC 6.400% 4/30/40 17,950 20,744
NBCUniversal Media LLC 5.950% 4/1/41 7,600 8,416
New Cingular Wireless Services Inc. 8.750% 3/1/31 195 291
News America Inc. 9.250% 2/1/13 151 165
News America Inc. 5.300% 12/15/14 4,050 4,423
News America Inc. 8.000% 10/17/16 3,840 4,634
News America Inc. 7.250% 5/18/18 150 175
News America Inc. 6.900% 3/1/19 2,500 2,890
News America Inc. 4.500% 2/15/21 6,300 6,330
News America Inc. 7.700% 10/30/25 1,175 1,445
News America Inc. 6.550% 3/15/33 11,665 12,728
News America Inc. 6.200% 12/15/34 14,366 15,222
News America Inc. 6.400% 12/15/35 17,135 18,434
News America Inc. 8.150% 10/17/36 2,175 2,717
News America Inc. 6.150% 3/1/37 1,028 1,071
News America Inc. 6.650% 11/15/37 2,030 2,251
News America Inc. 6.900% 8/15/39 4,900 5,616
News America Inc. 6.150% 2/15/41 6,325 6,745
News America Inc. 7.750% 12/1/45 1,460 1,772
Omnicom Group Inc. 5.900% 4/15/16 750 837
Omnicom Group Inc. 4.450% 8/15/20 12,300 12,428
Pacific Bell Telephone Co. 7.125% 3/15/26 1,275 1,623
Qwest Corp. 7.500% 10/1/14 8,200 8,858
Qwest Corp. 8.375% 5/1/16 14,450 15,855
Qwest Corp. 6.500% 6/1/17 3,300 3,411
Qwest Corp. 7.500% 6/15/23 3,925 3,886
Qwest Corp. 7.250% 9/15/25 1,360 1,346
Qwest Corp. 6.875% 9/15/33 7,150 6,757
Qwest Corp. 7.125% 11/15/43 4,775 4,632
Reed Elsevier Capital Inc. 7.750% 1/15/14 3,825 4,290
Reed Elsevier Capital Inc. 8.625% 1/15/19 11,264 14,477
Rogers Communications Inc. 6.375% 3/1/14 13,425 14,906
Rogers Communications Inc. 5.500% 3/15/14 1,450 1,588
Rogers Communications Inc. 6.800% 8/15/18 16,940 20,516
Rogers Communications Inc. 7.500% 8/15/38 725 968
TCI Communications Inc. 8.750% 8/1/15 17,750 21,729
TCI Communications Inc. 7.875% 2/15/26 580 752
Telecom Italia Capital SA 5.250% 11/15/13 7,123 6,964
Telecom Italia Capital SA 6.175% 6/18/14 3,100 3,090

 

 

Telecom Italia Capital SA 4.950% 9/30/14 5,150 4,965
Telecom Italia Capital SA 5.250% 10/1/15 19,135 18,245
Telecom Italia Capital SA 6.999% 6/4/18 5,920 5,920
Telecom Italia Capital SA 7.175% 6/18/19 21,200 21,469
Telecom Italia Capital SA 6.375% 11/15/33 6,055 5,219
Telecom Italia Capital SA 6.000% 9/30/34 1,325 1,081
Telecom Italia Capital SA 7.200% 7/18/36 3,140 2,845
Telecom Italia Capital SA 7.721% 6/4/38 5,568 5,256
Telefonica Emisiones SAU 5.855% 2/4/13 1,975 2,015
Telefonica Emisiones SAU 2.582% 4/26/13 4,800 4,642
Telefonica Emisiones SAU 4.949% 1/15/15 17,125 16,852
Telefonica Emisiones SAU 3.729% 4/27/15 4,875 4,639
Telefonica Emisiones SAU 3.992% 2/16/16 10,125 9,639
Telefonica Emisiones SAU 6.421% 6/20/16 15,760 16,174
Telefonica Emisiones SAU 6.221% 7/3/17 266 269
Telefonica Emisiones SAU 5.877% 7/15/19 5,475 5,381
Telefonica Emisiones SAU 5.134% 4/27/20 10,035 9,328
Telefonica Emisiones SAU 5.462% 2/16/21 14,775 14,102
Telefonica Emisiones SAU 7.045% 6/20/36 10,834 10,913
Telefonica Europe BV 8.250% 9/15/30 4,675 5,240
Thomson Reuters Corp. 5.950% 7/15/13 1,965 2,111
Thomson Reuters Corp. 5.700% 10/1/14 8,400 9,242
Thomson Reuters Corp. 6.500% 7/15/18 625 741
Thomson Reuters Corp. 4.700% 10/15/19 1,825 2,016
Thomson Reuters Corp. 5.500% 8/15/35 5,025 5,520
Thomson Reuters Corp. 5.850% 4/15/40 8,475 9,702
Time Warner Cable Inc. 6.200% 7/1/13 7,925 8,573
Time Warner Cable Inc. 8.250% 2/14/14 1,225 1,397
Time Warner Cable Inc. 7.500% 4/1/14 18,475 20,923
Time Warner Cable Inc. 3.500% 2/1/15 3,625 3,777
Time Warner Cable Inc. 5.850% 5/1/17 18,790 20,822
Time Warner Cable Inc. 6.750% 7/1/18 20,030 23,245
Time Warner Cable Inc. 8.750% 2/14/19 7,045 8,975
Time Warner Cable Inc. 8.250% 4/1/19 8,920 11,151
Time Warner Cable Inc. 5.000% 2/1/20 17,525 18,682
Time Warner Cable Inc. 6.550% 5/1/37 11,611 12,794
Time Warner Cable Inc. 7.300% 7/1/38 95 112
Time Warner Cable Inc. 6.750% 6/15/39 13,250 14,812
Time Warner Cable Inc. 5.875% 11/15/40 20,247 20,712
Time Warner Entertainment Co. LP 8.875% 10/1/12 950 1,024
Time Warner Entertainment Co. LP 8.375% 3/15/23 2,340 3,008
Time Warner Entertainment Co. LP 8.375% 7/15/33 7,720 10,065
United States Cellular Corp. 6.700% 12/15/33 4,500 4,807
Verizon Communications Inc. 4.350% 2/15/13 1,350 1,412
Verizon Communications Inc. 5.250% 4/15/13 6,250 6,643
Verizon Communications Inc. 4.900% 9/15/15 425 474
Verizon Communications Inc. 5.550% 2/15/16 10,175 11,610
Verizon Communications Inc. 3.000% 4/1/16 3,025 3,170
Verizon Communications Inc. 5.500% 4/1/17 3,000 3,428
Verizon Communications Inc. 5.500% 2/15/18 33,261 38,561
Verizon Communications Inc. 6.100% 4/15/18 7,605 9,042
Verizon Communications Inc. 8.750% 11/1/18 3,425 4,619
Verizon Communications Inc. 6.350% 4/1/19 46,741 56,265
Verizon Communications Inc. 4.600% 4/1/21 8,200 9,097
Verizon Communications Inc. 5.850% 9/15/35 15,050 17,613
Verizon Communications Inc. 6.250% 4/1/37 2,495 2,998
Verizon Communications Inc. 6.400% 2/15/38 2,180 2,686

 

 

Verizon Communications Inc. 6.900% 4/15/38 20,685 26,636
Verizon Communications Inc. 8.950% 3/1/39 11,450 17,962
Verizon Communications Inc. 6.000% 4/1/41 8,175 9,859
Verizon Global Funding Corp. 4.375% 6/1/13 860 908
Verizon Global Funding Corp. 7.750% 12/1/30 11,691 16,012
Verizon Maryland Inc. 5.125% 6/15/33 405 419
Verizon New England Inc. 7.875% 11/15/29 1,385 1,690
Verizon New York Inc. 7.375% 4/1/32 2,200 2,725
Verizon Virginia Inc. 4.625% 3/15/13 6,000 6,272
Vodafone Group plc 5.000% 12/16/13 8,150 8,811
Vodafone Group plc 4.150% 6/10/14 5,075 5,455
Vodafone Group plc 5.375% 1/30/15 4,175 4,652
Vodafone Group plc 3.375% 11/24/15 1,325 1,398
Vodafone Group plc 5.750% 3/15/16 9,050 10,409
Vodafone Group plc 5.625% 2/27/17 13,406 15,475
Vodafone Group plc 4.625% 7/15/18 200 222
Vodafone Group plc 5.450% 6/10/19 10,475 12,348
Vodafone Group plc 4.375% 3/16/21 500 542
Vodafone Group plc 7.875% 2/15/30 1,650 2,372
Vodafone Group plc 6.250% 11/30/32 7,775 9,544
Vodafone Group plc 6.150% 2/27/37 3,700 4,578
Washington Post Co. 7.250% 2/1/19 2,575 3,064
WPP Finance UK 5.875% 6/15/14 6,900 7,475
WPP Finance UK 8.000% 9/15/14 7,225 8,226
 
Consumer Cyclical (1.2%)        
AutoZone Inc. 6.500% 1/15/14 2,025 2,256
AutoZone Inc. 5.750% 1/15/15 8,375 9,244
AutoZone Inc. 7.125% 8/1/18 7,950 9,601
Best Buy Co. Inc. 6.750% 7/15/13 9,350 9,985
Best Buy Co. Inc. 5.500% 3/15/21 3,000 2,720
BorgWarner Inc. 4.625% 9/15/20 1,000 1,081
Costco Wholesale Corp. 5.500% 3/15/17 10,725 12,686
CVS Caremark Corp. 4.875% 9/15/14 1,375 1,508
CVS Caremark Corp. 3.250% 5/18/15 2,525 2,654
CVS Caremark Corp. 6.125% 8/15/16 2,475 2,854
CVS Caremark Corp. 5.750% 6/1/17 4,530 5,203
CVS Caremark Corp. 6.600% 3/15/19 16,980 20,518
CVS Caremark Corp. 4.750% 5/18/20 625 682
CVS Caremark Corp. 6.250% 6/1/27 24,275 29,341
CVS Caremark Corp. 6.125% 9/15/39 3,025 3,544
Daimler Finance North America LLC 6.500% 11/15/13 12,080 13,233
6 Daimler Finance North America LLC 2.625% 9/15/16 5,125 5,029
Daimler Finance North America LLC 8.500% 1/18/31 4,830 6,806
Darden Restaurants Inc. 5.625% 10/15/12 3,650 3,808
Darden Restaurants Inc. 6.200% 10/15/17 8,805 10,256
Darden Restaurants Inc. 6.800% 10/15/37 14,375 17,189
eBay Inc. 0.875% 10/15/13 3,050 3,059
eBay Inc. 1.625% 10/15/15 3,050 3,068
eBay Inc. 3.250% 10/15/20 3,100 3,062
Expedia Inc. 5.950% 8/15/20 4,375 4,373
Family Dollar Stores Inc. 5.000% 2/1/21 2,850 2,790
Gap Inc. 5.950% 4/12/21 4,000 3,740
Historic TW Inc. 9.150% 2/1/23 9,550 13,138
Historic TW Inc. 6.625% 5/15/29 7,800 8,846
Home Depot Inc. 5.250% 12/16/13 10,675 11,596
Home Depot Inc. 5.400% 3/1/16 4,851 5,514

 

 

Home Depot Inc. 3.950% 9/15/20 4,500 4,758
Home Depot Inc. 4.400% 4/1/21 27,925 30,394
Home Depot Inc. 5.875% 12/16/36 4,725 5,530
Home Depot Inc. 5.400% 9/15/40 1,900 2,105
Home Depot Inc. 5.950% 4/1/41 8,600 10,257
Hyatt Hotels Corp. 3.875% 8/15/16 1,475 1,469
Hyatt Hotels Corp. 5.375% 8/15/21 1,900 1,957
International Game Technology 7.500% 6/15/19 1,600 1,909
International Game Technology 5.500% 6/15/20 3,000 3,241
Johnson Controls Inc. 5.000% 3/30/20 21,962 24,608
Johnson Controls Inc. 6.000% 1/15/36 950 1,130
Johnson Controls Inc. 5.700% 3/1/41 1,300 1,454
Kohl's Corp. 6.250% 12/15/17 2,300 2,751
Kohl's Corp. 6.000% 1/15/33 725 826
Kohl's Corp. 6.875% 12/15/37 3,325 4,099
Lowe's Cos. Inc. 5.400% 10/15/16 12,350 14,301
Lowe's Cos. Inc. 6.100% 9/15/17 2,250 2,711
Lowe's Cos. Inc. 6.875% 2/15/28 560 730
Lowe's Cos. Inc. 6.500% 3/15/29 3,676 4,619
Lowe's Cos. Inc. 5.800% 10/15/36 6,475 7,411
Lowe's Cos. Inc. 5.800% 4/15/40 900 1,050
Macy's Retail Holdings Inc. 8.125% 7/15/15 10,350 11,956
Macy's Retail Holdings Inc. 5.900% 12/1/16 7,200 7,872
Macy's Retail Holdings Inc. 6.900% 4/1/29 10,009 10,715
Macy's Retail Holdings Inc. 6.375% 3/15/37 8,575 9,369
Marriott International Inc. 5.625% 2/15/13 2,375 2,465
Marriott International Inc. 6.200% 6/15/16 1,500 1,694
Marriott International Inc. 6.375% 6/15/17 1,750 2,029
McDonald's Corp. 5.300% 3/15/17 850 990
McDonald's Corp. 5.800% 10/15/17 5,550 6,698
McDonald's Corp. 5.350% 3/1/18 6,350 7,553
McDonald's Corp. 5.000% 2/1/19 3,150 3,695
McDonald's Corp. 3.500% 7/15/20 100 108
McDonald's Corp. 6.300% 10/15/37 1,950 2,647
McDonald's Corp. 6.300% 3/1/38 5,250 7,080
McDonald's Corp. 5.700% 2/1/39 2,500 3,177
Nordstrom Inc. 6.750% 6/1/14 1,675 1,896
Nordstrom Inc. 6.250% 1/15/18 10,950 12,967
Nordstrom Inc. 4.750% 5/1/20 3,875 4,244
Nordstrom Inc. 6.950% 3/15/28 1,075 1,352
Nordstrom Inc. 7.000% 1/15/38 1,980 2,597
O'Reilly Automotive Inc. 4.875% 1/14/21 1,200 1,238
PACCAR Financial Corp. 1.950% 12/17/12 5,200 5,268
PACCAR Financial Corp. 2.050% 6/17/13 9,100 9,229
PACCAR Inc. 6.875% 2/15/14 3,575 4,040
Staples Inc. 9.750% 1/15/14 19,300 22,388
Target Corp. 5.125% 1/15/13 425 449
Target Corp. 4.000% 6/15/13 1,680 1,774
Target Corp. 5.875% 7/15/16 11,850 14,078
Target Corp. 5.375% 5/1/17 6,475 7,553
Target Corp. 6.000% 1/15/18 5,650 6,881
Target Corp. 3.875% 7/15/20 5,200 5,625
Target Corp. 7.000% 7/15/31 3,700 4,884
Target Corp. 6.350% 11/1/32 7,600 9,404
Target Corp. 6.500% 10/15/37 6,975 9,061
Target Corp. 7.000% 1/15/38 11,435 15,590
Time Warner Cos. Inc. 7.570% 2/1/24 1,530 1,920

 

 

Time Warner Cos. Inc. 6.950% 1/15/28 80 94
Time Warner Inc. 3.150% 7/15/15 575 593
Time Warner Inc. 5.875% 11/15/16 9,225 10,457
Time Warner Inc. 4.875% 3/15/20 14,350 15,341
Time Warner Inc. 4.700% 1/15/21 3,320 3,497
Time Warner Inc. 4.750% 3/29/21 17,000 17,906
Time Warner Inc. 7.625% 4/15/31 13,715 17,022
Time Warner Inc. 7.700% 5/1/32 9,631 12,108
Time Warner Inc. 6.500% 11/15/36 7,050 7,918
Time Warner Inc. 6.200% 3/15/40 4,850 5,386
Time Warner Inc. 6.100% 7/15/40 6,300 6,958
Time Warner Inc. 6.250% 3/29/41 11,175 12,637
TJX Cos. Inc. 6.950% 4/15/19 17,985 22,731
Toyota Motor Credit Corp. 3.200% 6/17/15 15,250 15,980
Toyota Motor Credit Corp. 2.800% 1/11/16 2,000 2,050
Toyota Motor Credit Corp. 2.000% 9/15/16 7,400 7,299
Toyota Motor Credit Corp. 4.500% 6/17/20 1,400 1,536
Toyota Motor Credit Corp. 4.250% 1/11/21 5,075 5,518
Toyota Motor Credit Corp. 3.400% 9/15/21 3,000 3,001
VF Corp. 5.950% 11/1/17 2,700 3,208
VF Corp. 3.500% 9/1/21 8,000 8,082
VF Corp. 6.450% 11/1/37 2,375 3,025
Viacom Inc. 4.375% 9/15/14 6,275 6,733
Viacom Inc. 6.250% 4/30/16 3,500 4,033
Viacom Inc. 3.500% 4/1/17 2,975 3,014
Viacom Inc. 6.125% 10/5/17 2,725 3,096
Viacom Inc. 5.625% 9/15/19 14,660 16,558
Viacom Inc. 6.875% 4/30/36 9,935 11,913
Wal-Mart Stores Inc. 4.550% 5/1/13 17,071 18,123
Wal-Mart Stores Inc. 7.250% 6/1/13 900 997
Wal-Mart Stores Inc. 1.625% 4/15/14 1,175 1,201
Wal-Mart Stores Inc. 3.200% 5/15/14 20,000 21,256
Wal-Mart Stores Inc. 4.500% 7/1/15 2,450 2,746
Wal-Mart Stores Inc. 2.250% 7/8/15 3,850 4,000
Wal-Mart Stores Inc. 1.500% 10/25/15 21,360 21,626
Wal-Mart Stores Inc. 5.375% 4/5/17 1,650 1,950
Wal-Mart Stores Inc. 5.800% 2/15/18 17,050 20,723
Wal-Mart Stores Inc. 3.625% 7/8/20 9,875 10,570
Wal-Mart Stores Inc. 3.250% 10/25/20 26,525 27,632
Wal-Mart Stores Inc. 4.250% 4/15/21 8,400 9,452
Wal-Mart Stores Inc. 5.875% 4/5/27 18,775 23,428
Wal-Mart Stores Inc. 7.550% 2/15/30 11,645 16,599
Wal-Mart Stores Inc. 5.250% 9/1/35 6,615 7,589
Wal-Mart Stores Inc. 6.500% 8/15/37 20,886 27,888
Wal-Mart Stores Inc. 6.200% 4/15/38 3,395 4,383
Wal-Mart Stores Inc. 5.625% 4/1/40 4,250 5,185
Wal-Mart Stores Inc. 4.875% 7/8/40 1,950 2,161
Wal-Mart Stores Inc. 5.000% 10/25/40 285 321
Wal-Mart Stores Inc. 5.625% 4/15/41 21,950 26,992
Walgreen Co. 4.875% 8/1/13 11,750 12,613
Walgreen Co. 5.250% 1/15/19 4,100 4,859
Walt Disney Co. 4.700% 12/1/12 575 603
Walt Disney Co. 4.500% 12/15/13 7,875 8,515
Walt Disney Co. 5.625% 9/15/16 5,525 6,482
Walt Disney Co. 5.875% 12/15/17 5,350 6,436
Walt Disney Co. 2.750% 8/16/21 5,500 5,422
Walt Disney Co. 7.000% 3/1/32 1,825 2,590

 

 

Walt Disney Co. 4.375% 8/16/41 3,550 3,760
Western Union Co. 6.500% 2/26/14 2,850 3,148
Western Union Co. 5.930% 10/1/16 5,500 6,170
Western Union Co. 5.253% 4/1/20 3,946 4,372
Western Union Co. 6.200% 11/17/36 2,675 2,916
Western Union Co. 6.200% 6/21/40 5,375 5,807
Yum! Brands Inc. 6.250% 4/15/16 3,525 4,123
Yum! Brands Inc. 6.250% 3/15/18 125 148
Yum! Brands Inc. 3.875% 11/1/20 825 848
Yum! Brands Inc. 6.875% 11/15/37 8,250 10,869
 
Consumer Noncyclical (2.8%)        
Abbott Laboratories 5.150% 11/30/12 2,800 2,953
Abbott Laboratories 4.350% 3/15/14 3,675 4,005
Abbott Laboratories 2.700% 5/27/15 5,925 6,238
Abbott Laboratories 5.875% 5/15/16 15,811 18,630
Abbott Laboratories 5.600% 11/30/17 16,125 19,126
Abbott Laboratories 5.125% 4/1/19 3,720 4,390
Abbott Laboratories 4.125% 5/27/20 5,617 6,246
Abbott Laboratories 6.150% 11/30/37 5,225 6,752
Abbott Laboratories 6.000% 4/1/39 1,950 2,503
Abbott Laboratories 5.300% 5/27/40 5,435 6,516
Allergan Inc. 5.750% 4/1/16 3,200 3,708
Altria Group Inc. 8.500% 11/10/13 46,195 52,798
Altria Group Inc. 4.125% 9/11/15 425 456
Altria Group Inc. 9.700% 11/10/18 8,615 11,399
Altria Group Inc. 9.250% 8/6/19 16,925 22,239
Altria Group Inc. 9.950% 11/10/38 5,675 8,076
Altria Group Inc. 10.200% 2/6/39 20,475 29,810
AmerisourceBergen Corp. 5.875% 9/15/15 13,561 15,498
AmerisourceBergen Corp. 4.875% 11/15/19 4,000 4,488
Amgen Inc. 4.850% 11/18/14 4,725 5,264
Amgen Inc. 2.300% 6/15/16 8,200 8,423
Amgen Inc. 5.850% 6/1/17 7,900 9,409
Amgen Inc. 5.700% 2/1/19 2,525 3,026
Amgen Inc. 3.450% 10/1/20 5,575 5,759
Amgen Inc. 4.100% 6/15/21 8,750 9,427
Amgen Inc. 6.375% 6/1/37 6,625 8,538
Amgen Inc. 6.900% 6/1/38 9,275 12,564
Amgen Inc. 6.400% 2/1/39 8,750 11,445
Amgen Inc. 5.750% 3/15/40 3,425 4,126
Amgen Inc. 4.950% 10/1/41 2,050 2,240
Amgen Inc. 5.650% 6/15/42 5,675 6,883
Anheuser-Busch Cos. Inc. 4.375% 1/15/13 4,175 4,350
Anheuser-Busch Cos. Inc. 5.600% 3/1/17 4,750 5,494
Anheuser-Busch Cos. Inc. 5.500% 1/15/18 10,375 12,135
Anheuser-Busch Cos. Inc. 6.800% 8/20/32 2,275 3,022
Anheuser-Busch Cos. Inc. 5.750% 4/1/36 5,995 7,271
Anheuser-Busch Cos. Inc. 6.450% 9/1/37 470 623
Anheuser-Busch InBev Worldwide Inc. 3.000% 10/15/12 7,550 7,717
Anheuser-Busch InBev Worldwide Inc. 2.500% 3/26/13 10,675 10,884
Anheuser-Busch InBev Worldwide Inc. 1.500% 7/14/14 12,450 12,536
Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 9,700 10,855
Anheuser-Busch InBev Worldwide Inc. 4.125% 1/15/15 11,025 11,938
Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 7,250 9,444
Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 7,600 9,670
Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 25,360 29,509

 

 

Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 8,090 9,295
Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 1,675 1,859
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 6,400 9,648
Anheuser-Busch InBev Worldwide Inc. 6.375% 1/15/40 10,385 13,599
Archer-Daniels-Midland Co. 8.375% 4/15/17 525 681
Archer-Daniels-Midland Co. 5.450% 3/15/18 8,900 10,537
Archer-Daniels-Midland Co. 4.479% 3/1/21 1,900 2,119
Archer-Daniels-Midland Co. 5.935% 10/1/32 4,275 5,385
Archer-Daniels-Midland Co. 5.375% 9/15/35 3,900 4,503
Archer-Daniels-Midland Co. 5.765% 3/1/41 9,575 11,993
AstraZeneca plc 5.400% 6/1/14 5,650 6,316
AstraZeneca plc 5.900% 9/15/17 12,710 15,227
AstraZeneca plc 6.450% 9/15/37 17,796 23,805
Avon Products Inc. 5.750% 3/1/18 1,982 2,271
Avon Products Inc. 6.500% 3/1/19 410 485
Baptist Health South Florida Obligated Group 4.590% 8/15/21 1,000 1,090
Baxter International Inc. 4.000% 3/1/14 1,350 1,448
Baxter International Inc. 5.900% 9/1/16 1,700 2,018
Baxter International Inc. 6.250% 12/1/37 11,425 15,161
Becton Dickinson and Co. 5.000% 5/15/19 1,125 1,304
Becton Dickinson and Co. 3.250% 11/12/20 200 206
Becton Dickinson and Co. 6.000% 5/15/39 1,000 1,277
Becton Dickinson and Co. 5.000% 11/12/40 100 113
Biogen Idec Inc. 6.000% 3/1/13 8,200 8,693
Biogen Idec Inc. 6.875% 3/1/18 12,825 15,654
Boston Scientific Corp. 4.500% 1/15/15 6,000 6,278
Boston Scientific Corp. 6.250% 11/15/15 12,151 13,560
Boston Scientific Corp. 5.125% 1/12/17 10,000 10,733
Boston Scientific Corp. 6.000% 1/15/20 7,625 8,510
Boston Scientific Corp. 7.000% 11/15/35 1,500 1,747
Boston Scientific Corp. 7.375% 1/15/40 3,000 3,730
Bottling Group LLC 4.625% 11/15/12 1,435 1,497
Bottling Group LLC 5.000% 11/15/13 10,125 10,974
Bottling Group LLC 6.950% 3/15/14 29,775 33,929
Bottling Group LLC 5.500% 4/1/16 18,975 22,092
Bottling Group LLC 5.125% 1/15/19 1,500 1,746
Bristol-Myers Squibb Co. 5.250% 8/15/13 965 1,046
Bristol-Myers Squibb Co. 5.450% 5/1/18 2,225 2,664
Bristol-Myers Squibb Co. 7.150% 6/15/23 400 555
Bristol-Myers Squibb Co. 6.800% 11/15/26 150 199
Bristol-Myers Squibb Co. 5.875% 11/15/36 13,784 17,266
Bristol-Myers Squibb Co. 6.125% 5/1/38 1,625 2,144
Bristol-Myers Squibb Co. 6.875% 8/1/97 1,030 1,488
Bunge Ltd. Finance Corp. 5.350% 4/15/14 2,025 2,150
Bunge Ltd. Finance Corp. 5.100% 7/15/15 7,625 8,043
Bunge Ltd. Finance Corp. 4.100% 3/15/16 3,775 3,862
Bunge Ltd. Finance Corp. 8.500% 6/15/19 14,950 18,357
Campbell Soup Co. 3.050% 7/15/17 1,425 1,511
Campbell Soup Co. 4.250% 4/15/21 4,500 4,949
Cardinal Health Inc. 4.000% 6/15/15 550 590
Cardinal Health Inc. 4.625% 12/15/20 6,500 7,056
CareFusion Corp. 5.125% 8/1/14 1,700 1,851
CareFusion Corp. 6.375% 8/1/19 8,215 9,864
Celgene Corp. 2.450% 10/15/15 1,975 1,995
Celgene Corp. 3.950% 10/15/20 1,325 1,365
Celgene Corp. 5.700% 10/15/40 1,650 1,858
Church & Dwight Co. Inc. 3.350% 12/15/15 2,375 2,461

 

 

Cia de Bebidas das Americas 8.750% 9/15/13 295 330
Clorox Co. 5.000% 3/1/13 5,700 5,987
Clorox Co. 5.000% 1/15/15 1,725 1,844
Clorox Co. 3.550% 11/1/15 1,825 1,886
Clorox Co. 5.950% 10/15/17 13,265 14,501
Coca-Cola Co. 0.750% 11/15/13 7,000 7,005
Coca-Cola Co. 3.625% 3/15/14 5,675 6,056
Coca-Cola Co. 1.500% 11/15/15 7,300 7,348
6 Coca-Cola Co. 1.800% 9/1/16 10,000 10,054
Coca-Cola Co. 5.350% 11/15/17 5,750 6,822
Coca-Cola Co. 4.875% 3/15/19 10,050 11,657
Coca-Cola Co. 3.150% 11/15/20 3,700 3,832
Coca-Cola Enterprises Inc. 3.250% 8/19/21 1,575 1,587
Coca-Cola Femsa SAB de CV 4.625% 2/15/20 2,025 2,144
Coca-Cola HBC Finance BV 5.125% 9/17/13 945 1,012
Coca-Cola Refreshments USA Inc. 7.375% 3/3/14 10,850 12,411
Coca-Cola Refreshments USA Inc. 4.250% 3/1/15 375 414
Coca-Cola Refreshments USA Inc. 8.500% 2/1/22 6,361 9,160
Colgate-Palmolive Co. 2.625% 5/1/17 700 738
ConAgra Foods Inc. 5.875% 4/15/14 1,040 1,138
ConAgra Foods Inc. 5.819% 6/15/17 951 1,044
ConAgra Foods Inc. 7.000% 4/15/19 500 604
ConAgra Foods Inc. 9.750% 3/1/21 129 177
ConAgra Foods Inc. 7.125% 10/1/26 1,000 1,160
ConAgra Foods Inc. 7.000% 10/1/28 725 841
ConAgra Foods Inc. 8.250% 9/15/30 4,750 6,057
Corn Products International Inc. 3.200% 11/1/15 650 669
Corn Products International Inc. 4.625% 11/1/20 885 937
Corn Products International Inc. 6.625% 4/15/37 1,725 2,061
Covidien International Finance SA 5.450% 10/15/12 2,600 2,722
Covidien International Finance SA 1.875% 6/15/13 15,840 16,065
Covidien International Finance SA 6.000% 10/15/17 5,225 6,205
Covidien International Finance SA 6.550% 10/15/37 8,618 11,103
CR Bard Inc. 6.700% 12/1/26 5,250 6,929
Delhaize Group SA 5.875% 2/1/14 2,425 2,649
Delhaize Group SA 5.700% 10/1/40 3,087 3,207
DENTSPLY International Inc. 2.750% 8/15/16 2,800 2,815
DENTSPLY International Inc. 4.125% 8/15/21 1,575 1,649
Diageo Capital plc 5.200% 1/30/13 8,275 8,722
Diageo Capital plc 5.500% 9/30/16 1,275 1,461
Diageo Capital plc 5.750% 10/23/17 7,200 8,469
Diageo Capital plc 4.828% 7/15/20 2,430 2,731
Diageo Capital plc 5.875% 9/30/36 1,775 2,206
Diageo Finance BV 5.500% 4/1/13 5,326 5,685
Diageo Finance BV 3.250% 1/15/15 375 398
Diageo Finance BV 5.300% 10/28/15 6,676 7,606
Diageo Investment Corp. 7.450% 4/15/35 875 1,283
Dr Pepper Snapple Group Inc. 2.350% 12/21/12 2,050 2,078
Dr Pepper Snapple Group Inc. 6.120% 5/1/13 1,750 1,884
Dr Pepper Snapple Group Inc. 2.900% 1/15/16 1,150 1,192
Dr Pepper Snapple Group Inc. 6.820% 5/1/18 4,290 5,346
Dr Pepper Snapple Group Inc. 7.450% 5/1/38 950 1,311
Eli Lilly & Co. 4.200% 3/6/14 2,400 2,589
Eli Lilly & Co. 5.200% 3/15/17 6,400 7,421
Eli Lilly & Co. 5.500% 3/15/27 5,750 6,928
Eli Lilly & Co. 5.550% 3/15/37 3,286 3,986
6 Energizer Holdings Inc. 4.700% 5/19/21 3,450 3,693

 

 

Estee Lauder Cos. Inc. 6.000% 5/15/37 2,050 2,576
Express Scripts Inc. 6.250% 6/15/14 9,625 10,592
Express Scripts Inc. 3.125% 5/15/16 6,950 7,021
Express Scripts Inc. 7.250% 6/15/19 1,925 2,378
Fortune Brands Inc. 6.375% 6/15/14 1,403 1,554
Fortune Brands Inc. 5.375% 1/15/16 1,568 1,724
Fortune Brands Inc. 5.875% 1/15/36 2,725 2,830
Genentech Inc. 4.750% 7/15/15 2,320 2,585
Genentech Inc. 5.250% 7/15/35 2,675 3,103
General Mills Inc. 5.250% 8/15/13 17,925 19,324
General Mills Inc. 5.200% 3/17/15 835 934
General Mills Inc. 5.700% 2/15/17 23,525 27,557
General Mills Inc. 5.650% 2/15/19 14,917 17,730
Gilead Sciences Inc. 4.500% 4/1/21 6,525 7,017
GlaxoSmithKline Capital Inc. 4.850% 5/15/13 11,025 11,761
GlaxoSmithKline Capital Inc. 4.375% 4/15/14 9,800 10,712
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 20,110 24,334
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 3,500 4,192
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 24,471 32,797
Hasbro Inc. 6.125% 5/15/14 6,900 7,575
Hasbro Inc. 6.300% 9/15/17 5,875 6,688
Hasbro Inc. 6.350% 3/15/40 9,306 10,039
Hershey Co. 5.450% 9/1/16 1,275 1,474
Hershey Co. 4.125% 12/1/20 3,225 3,552
HJ Heinz Co. 5.350% 7/15/13 2,075 2,231
HJ Heinz Co. 2.000% 9/12/16 1,450 1,453
HJ Heinz Finance Co. 6.750% 3/15/32 3,325 4,381
Hormel Foods Corp. 4.125% 4/15/21 1,300 1,442
Hospira Inc. 5.900% 6/15/14 1,550 1,702
Hospira Inc. 6.400% 5/15/15 850 965
Hospira Inc. 6.050% 3/30/17 150 173
Hospira Inc. 5.600% 9/15/40 2,700 3,003
Johnson & Johnson 5.550% 8/15/17 4,025 4,862
Johnson & Johnson 5.150% 7/15/18 1,675 2,028
Johnson & Johnson 6.950% 9/1/29 4,400 6,398
Johnson & Johnson 4.950% 5/15/33 5,025 6,011
Johnson & Johnson 5.950% 8/15/37 6,360 8,584
Johnson & Johnson 5.850% 7/15/38 1,625 2,164
Johnson & Johnson 4.500% 9/1/40 2,355 2,633
Kellogg Co. 5.125% 12/3/12 17,048 17,897
Kellogg Co. 4.250% 3/6/13 4,225 4,419
Kellogg Co. 4.450% 5/30/16 50 56
Kellogg Co. 4.150% 11/15/19 5,075 5,574
Kellogg Co. 4.000% 12/15/20 650 700
Kellogg Co. 7.450% 4/1/31 6,040 8,725
Kimberly-Clark Corp. 4.875% 8/15/15 5,250 5,915
Kimberly-Clark Corp. 6.125% 8/1/17 8,500 10,218
Kimberly-Clark Corp. 6.250% 7/15/18 175 216
Kimberly-Clark Corp. 3.625% 8/1/20 8,424 9,027
Kimberly-Clark Corp. 3.875% 3/1/21 425 467
Kimberly-Clark Corp. 6.625% 8/1/37 1,275 1,737
Kimberly-Clark Corp. 5.300% 3/1/41 1,725 2,073
Koninklijke Philips Electronics NV 4.625% 3/11/13 3,900 4,103
Koninklijke Philips Electronics NV 5.750% 3/11/18 10,100 11,595
Koninklijke Philips Electronics NV 6.875% 3/11/38 4,225 5,401
Kraft Foods Inc. 5.625% 11/1/11 2,196 2,204
Kraft Foods Inc. 2.625% 5/8/13 13,250 13,547

 

 

Kraft Foods Inc. 5.250% 10/1/13 675 720
Kraft Foods Inc. 6.750% 2/19/14 150 168
Kraft Foods Inc. 4.125% 2/9/16 19,925 21,314
Kraft Foods Inc. 6.500% 8/11/17 12,073 14,321
Kraft Foods Inc. 6.125% 8/23/18 10,075 11,932
Kraft Foods Inc. 5.375% 2/10/20 66,315 74,954
Kraft Foods Inc. 6.500% 11/1/31 8,400 10,500
Kraft Foods Inc. 7.000% 8/11/37 9,425 12,140
Kraft Foods Inc. 6.875% 2/1/38 6,000 7,552
Kraft Foods Inc. 6.875% 1/26/39 1,300 1,642
Kraft Foods Inc. 6.500% 2/9/40 13,025 15,782
Kroger Co. 5.500% 2/1/13 1,686 1,778
Kroger Co. 5.000% 4/15/13 3,700 3,900
Kroger Co. 4.950% 1/15/15 1,725 1,907
Kroger Co. 3.900% 10/1/15 500 536
Kroger Co. 6.400% 8/15/17 840 996
Kroger Co. 6.800% 12/15/18 2,600 3,209
Kroger Co. 6.150% 1/15/20 16,045 19,389
Kroger Co. 7.700% 6/1/29 7,825 10,414
Kroger Co. 8.000% 9/15/29 1,425 1,942
Kroger Co. 7.500% 4/1/31 2,395 3,214
Kroger Co. 6.900% 4/15/38 6,300 8,237
Laboratory Corp. of America Holdings 5.500% 2/1/13 1,540 1,624
Laboratory Corp. of America Holdings 5.625% 12/15/15 2,500 2,827
Laboratory Corp. of America Holdings 4.625% 11/15/20 200 216
Life Technologies Corp. 4.400% 3/1/15 4,350 4,555
Life Technologies Corp. 3.500% 1/15/16 11,185 11,392
Life Technologies Corp. 6.000% 3/1/20 4,300 4,761
Life Technologies Corp. 5.000% 1/15/21 2,200 2,281
Lorillard Tobacco Co. 8.125% 6/23/19 7,610 8,953
Lorillard Tobacco Co. 8.125% 5/1/40 4,000 4,732
Lorillard Tobacco Co. 7.000% 8/4/41 4,350 4,616
McCormick & Co. Inc. 3.900% 7/15/21 1,850 1,971
McKesson Corp. 5.250% 3/1/13 10,175 10,754
McKesson Corp. 6.500% 2/15/14 1,650 1,848
McKesson Corp. 3.250% 3/1/16 1,475 1,557
McKesson Corp. 4.750% 3/1/21 4,350 4,948
McKesson Corp. 6.000% 3/1/41 2,050 2,624
Mead Johnson Nutrition Co. 3.500% 11/1/14 6,825 7,129
Mead Johnson Nutrition Co. 4.900% 11/1/19 2,925 3,259
Mead Johnson Nutrition Co. 5.900% 11/1/39 11,170 13,205
Medco Health Solutions Inc. 6.125% 3/15/13 6,450 6,822
Medco Health Solutions Inc. 7.250% 8/15/13 600 656
Medco Health Solutions Inc. 2.750% 9/15/15 8,050 8,145
Medco Health Solutions Inc. 7.125% 3/15/18 14,138 17,065
Medtronic Inc. 4.500% 3/15/14 2,225 2,413
Medtronic Inc. 3.000% 3/15/15 10,050 10,608
Medtronic Inc. 4.750% 9/15/15 4,275 4,799
Medtronic Inc. 5.600% 3/15/19 1,150 1,386
Medtronic Inc. 4.450% 3/15/20 3,615 4,082
Medtronic Inc. 6.500% 3/15/39 2,440 3,383
Medtronic Inc. 5.550% 3/15/40 4,275 5,410
Merck & Co. Inc. 4.375% 2/15/13 3,825 4,024
Merck & Co. Inc. 5.300% 12/1/13 13,325 14,626
Merck & Co. Inc. 4.750% 3/1/15 1,450 1,623
Merck & Co. Inc. 4.000% 6/30/15 9,625 10,594
Merck & Co. Inc. 2.250% 1/15/16 21,825 22,607

 

 

Merck & Co. Inc. 6.000% 9/15/17 825 1,006
Merck & Co. Inc. 5.000% 6/30/19 3,975 4,729
Merck & Co. Inc. 3.875% 1/15/21 6,630 7,227
Merck & Co. Inc. 6.400% 3/1/28 4,130 5,503
Merck & Co. Inc. 5.950% 12/1/28 2,150 2,731
Merck & Co. Inc. 6.500% 12/1/33 5,563 7,663
Merck & Co. Inc. 5.750% 11/15/36 10,775 13,582
Merck & Co. Inc. 6.550% 9/15/37 11,500 16,133
Merck & Co. Inc. 5.850% 6/30/39 1,750 2,278
Newell Rubbermaid Inc. 4.700% 8/15/20 700 710
Novant Health Inc. 5.850% 11/1/19 6,125 7,103
Novartis Capital Corp. 1.900% 4/24/13 39,950 40,747
Novartis Capital Corp. 4.125% 2/10/14 33,225 35,751
Novartis Capital Corp. 2.900% 4/24/15 5,150 5,447
Novartis Capital Corp. 4.400% 4/24/20 400 453
Novartis Securities Investment Ltd. 5.125% 2/10/19 17,975 21,273
Pepsi Bottling Group Inc. 7.000% 3/1/29 9,649 13,506
PepsiAmericas Inc. 4.375% 2/15/14 825 893
PepsiAmericas Inc. 4.875% 1/15/15 1,400 1,560
PepsiAmericas Inc. 5.000% 5/15/17 3,800 4,351
PepsiCo Inc. 4.650% 2/15/13 11,875 12,542
PepsiCo Inc. 3.750% 3/1/14 8,350 8,957
PepsiCo Inc. 2.500% 5/10/16 500 518
PepsiCo Inc. 5.000% 6/1/18 13,750 16,022
PepsiCo Inc. 7.900% 11/1/18 6,022 8,068
PepsiCo Inc. 4.500% 1/15/20 4,275 4,813
PepsiCo Inc. 5.500% 1/15/40 6,500 8,101
Pfizer Inc. 5.350% 3/15/15 44,025 49,893
Pfizer Inc. 6.200% 3/15/19 21,170 26,335
Pfizer Inc. 7.200% 3/15/39 18,825 27,405
Pharmacia Corp. 6.500% 12/1/18 550 689
Pharmacia Corp. 6.600% 12/1/28 1,750 2,321
Philip Morris International Inc. 4.875% 5/16/13 8,950 9,503
Philip Morris International Inc. 6.875% 3/17/14 43,525 49,419
Philip Morris International Inc. 5.650% 5/16/18 9,805 11,600
Philip Morris International Inc. 4.125% 5/17/21 800 866
Philip Morris International Inc. 6.375% 5/16/38 8,155 10,465
4 Procter & Gamble - Esop 9.360% 1/1/21 8,904 11,943
Procter & Gamble Co. 0.700% 8/15/14 3,150 3,150
Procter & Gamble Co. 4.950% 8/15/14 2,300 2,569
Procter & Gamble Co. 3.500% 2/15/15 7,750 8,326
Procter & Gamble Co. 1.800% 11/15/15 5,000 5,135
Procter & Gamble Co. 4.850% 12/15/15 1,250 1,425
Procter & Gamble Co. 1.450% 8/15/16 2,850 2,857
Procter & Gamble Co. 4.700% 2/15/19 3,350 3,944
Procter & Gamble Co. 6.450% 1/15/26 3,875 5,121
Procter & Gamble Co. 5.800% 8/15/34 225 294
Procter & Gamble Co. 5.550% 3/5/37 8,721 11,225
Quest Diagnostics Inc. 5.450% 11/1/15 6,375 7,222
Quest Diagnostics Inc. 6.400% 7/1/17 140 166
Quest Diagnostics Inc. 4.750% 1/30/20 250 267
Quest Diagnostics Inc. 4.700% 4/1/21 700 756
Quest Diagnostics Inc. 6.950% 7/1/37 3,295 4,134
Ralcorp Holdings Inc. 4.950% 8/15/20 6,000 5,809
Ralcorp Holdings Inc. 6.625% 8/15/39 1,390 1,399
Reynolds American Inc. 7.250% 6/1/13 6,575 7,157
Reynolds American Inc. 7.625% 6/1/16 6,250 7,412

 

 

Reynolds American Inc. 6.750% 6/15/17 5,836 6,715
Reynolds American Inc. 7.250% 6/15/37 4,015 4,535
Safeway Inc. 6.250% 3/15/14 6,200 6,903
Safeway Inc. 5.625% 8/15/14 1,855 2,030
Safeway Inc. 6.350% 8/15/17 700 812
Safeway Inc. 5.000% 8/15/19 1,450 1,582
Safeway Inc. 3.950% 8/15/20 4,650 4,665
Safeway Inc. 7.250% 2/1/31 9,822 12,352
Sanofi 1.625% 3/28/14 3,000 3,054
Sanofi 1.200% 9/30/14 5,250 5,252
Sanofi 2.625% 3/29/16 21,585 22,354
Sanofi 4.000% 3/29/21 4,700 5,067
Sara Lee Corp. 2.750% 9/15/15 775 778
Sara Lee Corp. 4.100% 9/15/20 350 354
Sara Lee Corp. 6.125% 11/1/32 150 151
St. Jude Medical Inc. 2.200% 9/15/13 4,900 4,984
St. Jude Medical Inc. 3.750% 7/15/14 10,275 10,932
St. Jude Medical Inc. 2.500% 1/15/16 550 564
St. Jude Medical Inc. 4.875% 7/15/19 1,525 1,733
Stryker Corp. 3.000% 1/15/15 2,100 2,208
Stryker Corp. 2.000% 9/30/16 3,875 3,887
Stryker Corp. 4.375% 1/15/20 1,825 2,007
Sysco Corp. 4.200% 2/12/13 1,750 1,825
Sysco Corp. 5.250% 2/12/18 3,625 4,264
Sysco Corp. 5.375% 9/21/35 6,375 7,908
Teva Pharmaceutical Finance Co. LLC 5.550% 2/1/16 775 887
Teva Pharmaceutical Finance Co. LLC 6.150% 2/1/36 5,005 6,208
Teva Pharmaceutical Finance II BV / Teva        
Pharmaceutical Finance III LLC 3.000% 6/15/15 5,075 5,320
Thermo Fisher Scientific Inc. 2.150% 12/28/12 2,325 2,366
Thermo Fisher Scientific Inc. 3.250% 11/20/14 3,700 3,927
Thermo Fisher Scientific Inc. 3.200% 5/1/15 5,825 6,124
Thermo Fisher Scientific Inc. 4.700% 5/1/20 725 814
Thermo Fisher Scientific Inc. 4.500% 3/1/21 200 222
Thermo Fisher Scientific Inc. 3.600% 8/15/21 1,100 1,141
6 Tupperware Brands Corp. 4.750% 6/1/21 700 716
Tyson Foods Inc. 10.500% 3/1/14 4,000 4,640
Unilever Capital Corp. 3.650% 2/15/14 6,275 6,663
Unilever Capital Corp. 4.800% 2/15/19 1,500 1,752
Unilever Capital Corp. 5.900% 11/15/32 1,528 2,033
UST LLC 5.750% 3/1/18 2,700 3,061
Watson Pharmaceuticals Inc. 5.000% 8/15/14 4,600 4,982
Watson Pharmaceuticals Inc. 6.125% 8/15/19 5,000 5,911
Whirlpool Corp. 5.500% 3/1/13 12,000 12,501
Wyeth 5.500% 3/15/13 15,725 16,806
Wyeth 5.500% 2/1/14 11,286 12,461
Wyeth 5.500% 2/15/16 2,475 2,859
Wyeth 5.450% 4/1/17 925 1,083
Wyeth 6.450% 2/1/24 1,500 1,956
Wyeth 6.500% 2/1/34 3,450 4,573
Wyeth 6.000% 2/15/36 7,425 9,149
Wyeth 5.950% 4/1/37 25,245 32,202
Zimmer Holdings Inc. 4.625% 11/30/19 1,075 1,188
Zimmer Holdings Inc. 5.750% 11/30/39 4,340 5,137
 
Energy (1.5%)        
Alberta Energy Co. Ltd. 7.375% 11/1/31 950 1,194

 

 

Anadarko Finance Co. 7.500% 5/1/31 1,220 1,444
Anadarko Petroleum Corp. 7.625% 3/15/14 25,675 28,876
Anadarko Petroleum Corp. 5.750% 6/15/14 7,150 7,782
Anadarko Petroleum Corp. 5.950% 9/15/16 28,326 30,934
Anadarko Petroleum Corp. 6.375% 9/15/17 480 537
Anadarko Petroleum Corp. 6.950% 6/15/19 675 776
Anadarko Petroleum Corp. 6.450% 9/15/36 12,720 13,350
Anadarko Petroleum Corp. 7.950% 6/15/39 3,775 4,684
Anadarko Petroleum Corp. 6.200% 3/15/40 1,025 1,055
Apache Corp. 5.250% 4/15/13 1,774 1,891
Apache Corp. 6.000% 9/15/13 6,365 6,975
Apache Corp. 5.625% 1/15/17 400 475
Apache Corp. 6.900% 9/15/18 7,100 8,942
Apache Corp. 3.625% 2/1/21 1,700 1,781
Apache Corp. 6.000% 1/15/37 7,200 8,843
Apache Corp. 5.100% 9/1/40 11,900 13,085
Apache Corp. 5.250% 2/1/42 6,300 7,098
Apache Finance Canada Corp. 7.750% 12/15/29 1,075 1,587
Baker Hughes Inc. 7.500% 11/15/18 240 316
6 Baker Hughes Inc. 3.200% 8/15/21 3,675 3,719
Baker Hughes Inc. 6.875% 1/15/29 700 935
Baker Hughes Inc. 5.125% 9/15/40 14,465 16,583
BJ Services Co. 6.000% 6/1/18 2,825 3,407
BP Capital Markets plc 5.250% 11/7/13 14,975 16,100
BP Capital Markets plc 3.625% 5/8/14 5,625 5,911
BP Capital Markets plc 3.875% 3/10/15 9,985 10,591
BP Capital Markets plc 3.125% 10/1/15 17,375 17,922
BP Capital Markets plc 3.200% 3/11/16 15,000 15,640
BP Capital Markets plc 4.750% 3/10/19 10,925 12,070
BP Capital Markets plc 4.742% 3/11/21 14,300 15,624
Burlington Resources Finance Co. 7.200% 8/15/31 750 981
Burlington Resources Finance Co. 7.400% 12/1/31 4,275 6,121
Cameron International Corp. 6.375% 7/15/18 975 1,141
Cameron International Corp. 7.000% 7/15/38 100 123
Cameron International Corp. 5.950% 6/1/41 400 453
Canadian Natural Resources Ltd. 5.450% 10/1/12 4,800 5,002
Canadian Natural Resources Ltd. 5.150% 2/1/13 1,500 1,578
Canadian Natural Resources Ltd. 4.900% 12/1/14 5,400 5,980
Canadian Natural Resources Ltd. 6.000% 8/15/16 4,225 4,977
Canadian Natural Resources Ltd. 5.700% 5/15/17 8,801 10,125
Canadian Natural Resources Ltd. 7.200% 1/15/32 4,800 6,149
Canadian Natural Resources Ltd. 6.450% 6/30/33 5,865 7,224
Canadian Natural Resources Ltd. 6.500% 2/15/37 9,180 11,389
Canadian Natural Resources Ltd. 6.250% 3/15/38 800 962
Cenovus Energy Inc. 4.500% 9/15/14 4,625 4,982
Cenovus Energy Inc. 5.700% 10/15/19 4,575 5,289
Cenovus Energy Inc. 6.750% 11/15/39 22,325 27,553
Chevron Corp. 3.950% 3/3/14 6,165 6,644
Chevron Corp. 4.950% 3/3/19 14,025 16,631
ConocoPhillips 4.750% 2/1/14 5,125 5,553
ConocoPhillips 4.600% 1/15/15 10,300 11,323
ConocoPhillips 5.750% 2/1/19 19,625 23,423
ConocoPhillips 5.900% 10/15/32 4,501 5,434
ConocoPhillips 5.900% 5/15/38 2,630 3,230
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 16,300 18,914
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 2,150 2,690
ConocoPhillips Holding Co. 6.950% 4/15/29 7,840 10,459

 

 

Devon Energy Corp. 5.625% 1/15/14 8,800 9,640
Devon Energy Corp. 2.400% 7/15/16 750 760
Devon Energy Corp. 4.000% 7/15/21 1,250 1,311
Devon Energy Corp. 7.950% 4/15/32 1,125 1,588
Devon Energy Corp. 5.600% 7/15/41 1,830 2,098
Devon Financing Corp. ULC 7.875% 9/30/31 13,306 18,674
Diamond Offshore Drilling Inc. 5.150% 9/1/14 2,250 2,456
Diamond Offshore Drilling Inc. 4.875% 7/1/15 600 661
Diamond Offshore Drilling Inc. 5.875% 5/1/19 2,700 3,132
Diamond Offshore Drilling Inc. 5.700% 10/15/39 4,250 4,743
Encana Corp. 4.750% 10/15/13 75 80
Encana Corp. 5.900% 12/1/17 7,450 8,527
Encana Corp. 7.200% 11/1/31 5,675 7,012
Encana Corp. 6.500% 8/15/34 7,800 8,761
Encana Corp. 6.625% 8/15/37 4,479 5,216
EnCana Holdings Finance Corp. 5.800% 5/1/14 4,900 5,353
Eni USA Inc. 7.300% 11/15/27 355 441
Ensco plc 3.250% 3/15/16 4,000 4,061
Ensco plc 4.700% 3/15/21 9,300 9,437
EOG Resources Inc. 6.125% 10/1/13 650 716
EOG Resources Inc. 2.950% 6/1/15 5,350 5,599
EOG Resources Inc. 5.875% 9/15/17 3,025 3,561
EOG Resources Inc. 5.625% 6/1/19 850 1,012
EOG Resources Inc. 4.400% 6/1/20 2,875 3,155
EOG Resources Inc. 4.100% 2/1/21 9,500 10,179
Global Marine Inc. 7.000% 6/1/28 3,150 3,450
Halliburton Co. 6.150% 9/15/19 2,945 3,583
Halliburton Co. 6.700% 9/15/38 10,225 13,461
Halliburton Co. 7.450% 9/15/39 4,435 6,231
Hess Corp. 8.125% 2/15/19 10,725 13,881
Hess Corp. 7.875% 10/1/29 5,895 7,949
Hess Corp. 7.300% 8/15/31 4,510 5,819
Hess Corp. 7.125% 3/15/33 4,675 5,986
Hess Corp. 6.000% 1/15/40 6,518 7,464
Hess Corp. 5.600% 2/15/41 4,375 4,747
Husky Energy Inc. 5.900% 6/15/14 8,607 9,486
Husky Energy Inc. 6.150% 6/15/19 800 959
Husky Energy Inc. 7.250% 12/15/19 2,435 3,007
Husky Energy Inc. 6.800% 9/15/37 2,175 2,656
Kerr-McGee Corp. 6.950% 7/1/24 12,420 14,543
Kerr-McGee Corp. 7.875% 9/15/31 2,015 2,442
Marathon Oil Corp. 6.000% 10/1/17 10,475 12,133
Marathon Oil Corp. 5.900% 3/15/18 3,797 4,434
Marathon Oil Corp. 6.800% 3/15/32 5,117 6,190
Marathon Oil Corp. 6.600% 10/1/37 610 725
6 Marathon Petroleum Corp. 3.500% 3/1/16 3,000 3,107
6 Marathon Petroleum Corp. 5.125% 3/1/21 7,250 7,534
6 Marathon Petroleum Corp. 6.500% 3/1/41 4,000 4,314
Nabors Industries Inc. 6.150% 2/15/18 9,650 10,743
Nabors Industries Inc. 9.250% 1/15/19 3,025 3,842
Nabors Industries Inc. 5.000% 9/15/20 2,975 3,060
Nexen Inc. 7.875% 3/15/32 5,975 7,720
Nexen Inc. 5.875% 3/10/35 375 361
Nexen Inc. 6.400% 5/15/37 9,450 9,639
Nexen Inc. 7.500% 7/30/39 7,375 8,495
Noble Energy Inc. 8.250% 3/1/19 3,829 5,063
Noble Energy Inc. 8.000% 4/1/27 525 708

 

 

Noble Energy Inc. 6.000% 3/1/41 3,600 4,030
Noble Holding International Ltd. 3.450% 8/1/15 9,050 9,484
Noble Holding International Ltd. 4.900% 8/1/20 3,225 3,487
Noble Holding International Ltd. 6.200% 8/1/40 4,450 5,198
Noble Holding International Ltd. 6.050% 3/1/41 850 975
Occidental Petroleum Corp. 2.500% 2/1/16 9,675 10,085
Occidental Petroleum Corp. 4.100% 2/1/21 14,700 15,973
PC Financial Partnership 5.000% 11/15/14 8,100 8,754
Petro-Canada 4.000% 7/15/13 5,600 5,847
Petro-Canada 6.050% 5/15/18 6,075 7,045
Petro-Canada 7.875% 6/15/26 1,500 2,008
Petro-Canada 7.000% 11/15/28 1,175 1,437
Petro-Canada 5.350% 7/15/33 4,825 4,898
Petro-Canada 5.950% 5/15/35 6,850 7,366
Petro-Canada 6.800% 5/15/38 4,475 5,403
Pride International Inc. 8.500% 6/15/19 725 901
Rowan Cos. Inc. 7.875% 8/1/19 7,500 8,867
Shell International Finance BV 1.875% 3/25/13 5,625 5,741
Shell International Finance BV 4.000% 3/21/14 52,575 56,739
Shell International Finance BV 3.100% 6/28/15 13,525 14,365
Shell International Finance BV 3.250% 9/22/15 3,600 3,838
Shell International Finance BV 5.200% 3/22/17 2,950 3,430
Shell International Finance BV 4.300% 9/22/19 27,250 30,653
Shell International Finance BV 4.375% 3/25/20 2,500 2,812
Shell International Finance BV 6.375% 12/15/38 13,494 18,465
Statoil ASA 3.875% 4/15/14 6,750 7,216
Statoil ASA 2.900% 10/15/14 2,250 2,367
Statoil ASA 3.125% 8/17/17 7,000 7,420
Statoil ASA 5.250% 4/15/19 11,825 13,931
Statoil ASA 7.750% 6/15/23 25 34
Statoil ASA 7.250% 9/23/27 5,375 7,282
6 Statoil ASA 6.500% 12/1/28 975 1,287
Statoil ASA 7.150% 1/15/29 2,850 3,862
Statoil ASA 5.100% 8/17/40 4,985 5,841
Suncor Energy Inc. 6.100% 6/1/18 875 1,020
Suncor Energy Inc. 7.150% 2/1/32 1,275 1,579
Suncor Energy Inc. 5.950% 12/1/34 250 269
Suncor Energy Inc. 6.500% 6/15/38 23,780 27,709
Suncor Energy Inc. 6.850% 6/1/39 7,250 8,808
Talisman Energy Inc. 5.125% 5/15/15 1,125 1,264
Talisman Energy Inc. 7.750% 6/1/19 16,137 20,012
Talisman Energy Inc. 7.250% 10/15/27 850 1,051
Talisman Energy Inc. 5.850% 2/1/37 6,500 7,012
Tosco Corp. 7.800% 1/1/27 900 1,252
Tosco Corp. 8.125% 2/15/30 15,350 21,811
Total Capital Canada Ltd. 1.625% 1/28/14 5,325 5,408
Total Capital SA 3.000% 6/24/15 19,075 20,188
Total Capital SA 2.300% 3/15/16 975 1,002
Total Capital SA 4.450% 6/24/20 6,925 7,743
Total Capital SA 4.125% 1/28/21 5,000 5,451
Transocean Inc. 5.250% 3/15/13 3,375 3,515
Transocean Inc. 4.950% 11/15/15 11,300 11,907
Transocean Inc. 6.000% 3/15/18 6,075 6,472
Transocean Inc. 6.500% 11/15/20 5,710 6,240
Transocean Inc. 7.500% 4/15/31 2,325 2,599
Transocean Inc. 6.800% 3/15/38 5,135 5,334
Valero Energy Corp. 4.750% 6/15/13 240 252

 

 

Valero Energy Corp. 4.500% 2/1/15 2,625 2,803
Valero Energy Corp. 9.375% 3/15/19 7,566 9,735
Valero Energy Corp. 6.125% 2/1/20 10,675 11,862
Valero Energy Corp. 7.500% 4/15/32 6,215 7,257
Valero Energy Corp. 6.625% 6/15/37 14,065 14,823
Valero Energy Corp. 10.500% 3/15/39 6,650 9,824
Weatherford International Inc. 6.350% 6/15/17 5,750 6,452
Weatherford International Inc. 6.800% 6/15/37 275 299
Weatherford International Ltd. 5.150% 3/15/13 736 769
Weatherford International Ltd. 5.500% 2/15/16 1,040 1,126
Weatherford International Ltd. 6.000% 3/15/18 8,325 9,209
Weatherford International Ltd. 9.625% 3/1/19 37,875 48,856
Weatherford International Ltd. 6.500% 8/1/36 7,925 8,294
Weatherford International Ltd. 7.000% 3/15/38 1,750 1,887
Williams Cos. Inc. 7.875% 9/1/21 1,121 1,329
Williams Cos. Inc. 7.500% 1/15/31 7,592 9,016
Williams Cos. Inc. 7.750% 6/15/31 1,754 2,138
Williams Cos. Inc. 8.750% 3/15/32 712 955
XTO Energy Inc. 5.750% 12/15/13 4,650 5,144
XTO Energy Inc. 6.250% 8/1/17 9,075 11,318
 
Other Industrial (0.0%)        
Cintas Corp. No 2 6.125% 12/1/17 2,500 2,946
Fluor Corp. 3.375% 9/15/21 3,450 3,493
Massachusetts Development Finance Agency        
Revenue (Harvard University) 4.875% 10/15/40 7,600 9,287
Massachusetts Health & Educational Facilities        
Authority Revenue (MIT) 5.600% 7/1/11 9,785 13,140
 
Technology (0.9%)        
Adobe Systems Inc. 3.250% 2/1/15 4,525 4,765
Adobe Systems Inc. 4.750% 2/1/20 6,625 6,994
Agilent Technologies Inc. 5.500% 9/14/15 3,125 3,421
Agilent Technologies Inc. 6.500% 11/1/17 14,750 17,359
Amphenol Corp. 4.750% 11/15/14 4,125 4,383
Analog Devices Inc. 5.000% 7/1/14 3,425 3,756
Analog Devices Inc. 3.000% 4/15/16 1,075 1,124
Applied Materials Inc. 2.650% 6/15/16 1,000 1,020
Applied Materials Inc. 4.300% 6/15/21 7,025 7,274
Applied Materials Inc. 5.850% 6/15/41 8,925 9,969
Arrow Electronics Inc. 6.875% 7/1/13 200 216
Arrow Electronics Inc. 3.375% 11/1/15 2,600 2,584
Arrow Electronics Inc. 5.125% 3/1/21 1,185 1,182
Avnet Inc. 6.625% 9/15/16 235 260
BMC Software Inc. 7.250% 6/1/18 2,300 2,739
Broadcom Corp. 1.500% 11/1/13 2,000 2,004
CA Inc. 5.375% 12/1/19 3,500 3,817
Cisco Systems Inc. 1.625% 3/14/14 7,475 7,601
Cisco Systems Inc. 2.900% 11/17/14 1,975 2,084
Cisco Systems Inc. 5.500% 2/22/16 12,090 13,947
Cisco Systems Inc. 3.150% 3/14/17 5,275 5,574
Cisco Systems Inc. 4.950% 2/15/19 24,989 28,439
Cisco Systems Inc. 4.450% 1/15/20 22,670 25,139
Cisco Systems Inc. 5.900% 2/15/39 19,865 23,889
Cisco Systems Inc. 5.500% 1/15/40 4,475 5,201
Computer Sciences Corp. 6.500% 3/15/18 2,200 2,398
Corning Inc. 6.625% 5/15/19 3,180 3,885

 

 

Corning Inc. 7.250% 8/15/36 300 368
Corning Inc. 5.750% 8/15/40 4,525 5,054
Dell Inc. 4.700% 4/15/13 5,875 6,194
Dell Inc. 1.400% 9/10/13 6,200 6,241
Dell Inc. 2.300% 9/10/15 1,675 1,685
Dell Inc. 3.100% 4/1/16 3,000 3,084
Dell Inc. 5.650% 4/15/18 3,225 3,653
Dell Inc. 5.875% 6/15/19 3,850 4,446
Dell Inc. 6.500% 4/15/38 7,600 9,161
Dun & Bradstreet Corp. 6.000% 4/1/13 4,725 5,048
Equifax Inc. 4.450% 12/1/14 2,175 2,318
Equifax Inc. 6.300% 7/1/17 1,075 1,210
Fiserv Inc. 3.125% 10/1/15 1,100 1,117
Fiserv Inc. 3.125% 6/15/16 1,025 1,034
Fiserv Inc. 6.800% 11/20/17 5,950 6,940
Google Inc. 2.125% 5/19/16 775 797
Google Inc. 3.625% 5/19/21 6,800 7,248
Harris Corp. 5.000% 10/1/15 3,675 4,098
Harris Corp. 5.950% 12/1/17 225 260
Harris Corp. 4.400% 12/15/20 1,725 1,824
Harris Corp. 6.150% 12/15/40 3,750 4,293
Hewlett-Packard Co. 4.500% 3/1/13 12,675 13,193
Hewlett-Packard Co. 1.250% 9/13/13 9,875 9,846
Hewlett-Packard Co. 6.125% 3/1/14 17,700 19,408
Hewlett-Packard Co. 1.550% 5/30/14 4,675 4,639
Hewlett-Packard Co. 4.750% 6/2/14 11,400 12,187
Hewlett-Packard Co. 2.350% 3/15/15 6,350 6,395
Hewlett-Packard Co. 2.125% 9/13/15 12,550 12,428
Hewlett-Packard Co. 2.650% 6/1/16 3,325 3,327
Hewlett-Packard Co. 3.000% 9/15/16 8,350 8,421
Hewlett-Packard Co. 5.400% 3/1/17 2,035 2,253
Hewlett-Packard Co. 5.500% 3/1/18 6,575 7,329
Hewlett-Packard Co. 3.750% 12/1/20 6,275 6,077
Hewlett-Packard Co. 4.300% 6/1/21 675 682
Hewlett-Packard Co. 4.375% 9/15/21 2,550 2,587
Hewlett-Packard Co. 6.000% 9/15/41 3,950 4,189
HP Enterprise Services LLC 6.000% 8/1/13 5,225 5,596
IBM International Group Capital LLC 5.050% 10/22/12 20,275 21,192
Intel Corp. 1.950% 10/1/16 4,625 4,661
Intel Corp. 3.300% 10/1/21 2,850 2,909
Intel Corp. 4.800% 10/1/41 15,200 16,388
International Business Machines Corp. 2.100% 5/6/13 1,000 1,023
International Business Machines Corp. 7.500% 6/15/13 3,150 3,496
International Business Machines Corp. 1.000% 8/5/13 18,000 18,119
International Business Machines Corp. 6.500% 10/15/13 200 223
International Business Machines Corp. 2.000% 1/5/16 2,000 2,037
International Business Machines Corp. 1.950% 7/22/16 19,475 19,676
International Business Machines Corp. 5.700% 9/14/17 35,351 42,109
International Business Machines Corp. 7.625% 10/15/18 6,475 8,583
International Business Machines Corp. 7.000% 10/30/25 965 1,330
International Business Machines Corp. 6.220% 8/1/27 5,350 6,930
International Business Machines Corp. 6.500% 1/15/28 600 801
International Business Machines Corp. 5.875% 11/29/32 875 1,110
International Business Machines Corp. 5.600% 11/30/39 16,529 20,417
Intuit Inc. 5.750% 3/15/17 1,900 2,142
Juniper Networks Inc. 3.100% 3/15/16 1,095 1,116
Juniper Networks Inc. 4.600% 3/15/21 1,500 1,546

 

 

Juniper Networks Inc. 5.950% 3/15/41 2,900 3,120
KLA-Tencor Corp. 6.900% 5/1/18 3,000 3,428
Lexmark International Inc. 5.900% 6/1/13 2,825 2,989
Lexmark International Inc. 6.650% 6/1/18 4,650 5,189
Maxim Integrated Products Inc. 3.450% 6/14/13 1,800 1,859
Microsoft Corp. 0.875% 9/27/13 7,800 7,863
Microsoft Corp. 2.950% 6/1/14 7,800 8,270
Microsoft Corp. 1.625% 9/25/15 7,550 7,693
Microsoft Corp. 4.200% 6/1/19 6,625 7,348
Microsoft Corp. 3.000% 10/1/20 12,620 13,046
Microsoft Corp. 5.200% 6/1/39 2,075 2,516
Microsoft Corp. 4.500% 10/1/40 5,950 6,565
Microsoft Corp. 5.300% 2/8/41 5,190 6,399
Motorola Solutions Inc. 5.375% 11/15/12 4,975 5,161
Motorola Solutions Inc. 6.000% 11/15/17 5,350 5,939
Motorola Solutions Inc. 7.500% 5/15/25 850 998
Nokia Oyj 5.375% 5/15/19 8,400 8,260
Nokia Oyj 6.625% 5/15/39 7,625 7,083
Oracle Corp. 4.950% 4/15/13 1,725 1,838
Oracle Corp. 5.250% 1/15/16 28,071 32,309
Oracle Corp. 5.750% 4/15/18 13,915 16,617
Oracle Corp. 5.000% 7/8/19 16,625 19,314
6 Oracle Corp. 3.875% 7/15/20 3,250 3,479
Oracle Corp. 6.500% 4/15/38 3,850 5,078
Oracle Corp. 6.125% 7/8/39 6,600 8,251
6 Oracle Corp. 5.375% 7/15/40 13,925 16,174
Pitney Bowes Inc. 4.625% 10/1/12 1,725 1,781
Pitney Bowes Inc. 3.875% 6/15/13 4,225 4,367
Pitney Bowes Inc. 4.875% 8/15/14 250 268
Pitney Bowes Inc. 4.750% 1/15/16 12,000 12,869
Pitney Bowes Inc. 5.750% 9/15/17 3,500 3,673
Pitney Bowes Inc. 6.250% 3/15/19 200 223
Pitney Bowes Inc. 5.250% 1/15/37 450 467
6 SAIC Inc. 4.450% 12/1/20 1,850 2,005
6 SAIC Inc. 5.950% 12/1/40 2,550 3,071
Science Applications International Corp. 5.500% 7/1/33 2,470 2,729
Symantec Corp. 2.750% 9/15/15 600 608
Symantec Corp. 4.200% 9/15/20 7,200 7,065
Texas Instruments Inc. 2.375% 5/16/16 3,425 3,522
Tyco Electronics Group SA 6.000% 10/1/12 850 891
Tyco Electronics Group SA 7.125% 10/1/37 14,100 18,478
Xerox Corp. 8.250% 5/15/14 6,525 7,441
Xerox Corp. 4.250% 2/15/15 4,475 4,743
Xerox Corp. 6.400% 3/15/16 8,045 8,915
Xerox Corp. 6.750% 2/1/17 3,050 3,506
Xerox Corp. 6.350% 5/15/18 11,850 13,411
Xerox Corp. 5.625% 12/15/19 7,575 8,203
Xerox Corp. 6.750% 12/15/39 675 800
 
Transportation (0.4%)        
4 American Airlines 2011-1 Class A Pass        
Through Trust 5.250% 1/31/21 1,048 933
4 American Airlines 2011-2 Class A Pass        
Through Trust 8.625% 4/15/23 1,950 1,935
4 American Airlines Pass Through Trust 2009-        
1A 10.375% 7/2/19 3,684 3,997
Burlington Northern Santa Fe LLC 7.000% 2/1/14 750 848

 

 

Burlington Northern Santa Fe LLC 5.650% 5/1/17 4,750 5,469
Burlington Northern Santa Fe LLC 5.750% 3/15/18 8,150 9,503
Burlington Northern Santa Fe LLC 3.600% 9/1/20 3,800 3,915
Burlington Northern Santa Fe LLC 3.450% 9/15/21 1,375 1,391
Burlington Northern Santa Fe LLC 7.000% 12/15/25 5,250 7,040
Burlington Northern Santa Fe LLC 7.950% 8/15/30 80 111
Burlington Northern Santa Fe LLC 6.200% 8/15/36 3,450 4,214
Burlington Northern Santa Fe LLC 6.150% 5/1/37 91 111
Burlington Northern Santa Fe LLC 5.750% 5/1/40 375 439
Burlington Northern Santa Fe LLC 5.050% 3/1/41 7,625 8,121
Burlington Northern Santa Fe LLC 5.400% 6/1/41 7,050 7,918
Burlington Northern Santa Fe LLC 4.950% 9/15/41 1,775 1,875
Canadian National Railway Co. 4.400% 3/15/13 2,575 2,713
Canadian National Railway Co. 4.950% 1/15/14 1,875 2,037
Canadian National Railway Co. 5.800% 6/1/16 750 878
Canadian National Railway Co. 5.850% 11/15/17 1,150 1,365
Canadian National Railway Co. 5.550% 3/1/19 2,160 2,587
Canadian National Railway Co. 6.900% 7/15/28 450 612
Canadian National Railway Co. 6.250% 8/1/34 1,625 2,174
Canadian National Railway Co. 6.200% 6/1/36 2,675 3,452
Canadian National Railway Co. 6.375% 11/15/37 1,550 2,057
Canadian Pacific Railway Co. 4.450% 3/15/23 4,100 4,414
Canadian Pacific Railway Co. 7.125% 10/15/31 275 355
Canadian Pacific Railway Co. 5.950% 5/15/37 1,075 1,284
Con-way Inc. 6.700% 5/1/34 4,225 4,161
4 Continental Airlines 1997-4 Class A Pass        
Through Trust 6.900% 1/2/18 3,085 3,147
4 Continental Airlines 1998-1 Class A Pass        
Through Trust 6.648% 9/15/17 5,871 5,871
4 Continental Airlines 2007-1 Class A Pass        
Through Trust 5.983% 4/19/22 1,283 1,299
4 Continental Airlines 2009-2 Class A Pass        
Through Trust 7.250% 11/10/19 1,713 1,799
CSX Corp. 6.250% 4/1/15 6,925 7,966
CSX Corp. 5.600% 5/1/17 1,500 1,721
CSX Corp. 7.900% 5/1/17 2,513 3,154
CSX Corp. 6.250% 3/15/18 13,350 16,165
CSX Corp. 7.375% 2/1/19 35,100 44,421
CSX Corp. 6.000% 10/1/36 5,931 7,175
CSX Corp. 6.150% 5/1/37 2,325 2,831
CSX Corp. 6.220% 4/30/40 5,887 7,305
4 Delta Air Lines 2007-1 Class A Pass Through        
Trust 6.821% 8/10/22 8,377 8,461
4 Delta Air Lines 2009-1 Class A Pass Through        
Trust 7.750% 12/17/19 10,657 11,217
4 Delta Air Lines 2010-2 Class A Pass Through        
Trust 4.950% 5/23/19 3,795 3,757
JB Hunt Transport Services Inc. 3.375% 9/15/15 10,100 10,189
Norfolk Southern Corp. 5.257% 9/17/14 45 50
Norfolk Southern Corp. 5.750% 1/15/16 1,700 1,954
Norfolk Southern Corp. 7.700% 5/15/17 5,125 6,486
Norfolk Southern Corp. 5.750% 4/1/18 2,575 3,017
Norfolk Southern Corp. 5.900% 6/15/19 6,325 7,612
Norfolk Southern Corp. 5.590% 5/17/25 534 625
Norfolk Southern Corp. 7.800% 5/15/27 5,500 7,844
Norfolk Southern Corp. 5.640% 5/17/29 2,305 2,737
Norfolk Southern Corp. 7.250% 2/15/31 5,772 7,917

 

 

6 Norfolk Southern Corp. 4.837% 10/1/41 11,566 12,044
Norfolk Southern Corp. 6.000% 5/23/11 6,600 7,861
Norfolk Southern Railway Co. 9.750% 6/15/20 1,554 2,295
Ryder System Inc. 5.850% 3/1/14 1,725 1,887
Ryder System Inc. 3.150% 3/2/15 5,275 5,379
Ryder System Inc. 7.200% 9/1/15 3,650 4,294
Ryder System Inc. 3.600% 3/1/16 3,650 3,806
Ryder System Inc. 5.850% 11/1/16 7,425 8,540
Southwest Airlines Co. 5.250% 10/1/14 175 188
Southwest Airlines Co. 5.750% 12/15/16 3,800 4,230
Southwest Airlines Co. 5.125% 3/1/17 700 744
4 Southwest Airlines Co. 2007-1 Pass Through        
Trust 6.150% 8/1/22 1,714 1,794
4 UAL 2009-2A Pass Through Trust 9.750% 1/15/17 1,049 1,141
Union Pacific Corp. 5.450% 1/31/13 4,375 4,613
Union Pacific Corp. 4.000% 2/1/21 200 212
6 Union Pacific Corp. 4.163% 7/15/22 26,506 28,300
Union Pacific Corp. 6.625% 2/1/29 1,900 2,460
Union Pacific Corp. 5.780% 7/15/40 5,175 6,207
Union Pacific Corp. 4.750% 9/15/41 7,400 7,601
4 Union Pacific Railroad Co. 2007-3 Pass        
Through Trust 6.176% 1/2/31 1,278 1,566
United Parcel Service Inc. 3.875% 4/1/14 10,175 10,969
United Parcel Service Inc. 5.500% 1/15/18 2,360 2,844
United Parcel Service Inc. 5.125% 4/1/19 5,850 7,067
United Parcel Service Inc. 3.125% 1/15/21 9,660 10,111
United Parcel Service Inc. 6.200% 1/15/38 4,650 6,228
        10,706,955
Utilities (2.3%)        
Electric (1.6%)        
AEP Texas Central Co. 6.650% 2/15/33 2,300 2,846
Alabama Power Co. 4.850% 12/15/12 1,875 1,963
Alabama Power Co. 5.200% 6/1/41 3,550 4,141
Ameren Corp. 8.875% 5/15/14 1,000 1,134
Ameren Illinois Co. 6.125% 11/15/17 1,300 1,526
Ameren Illinois Co. 6.250% 4/1/18 4,425 5,138
Appalachian Power Co. 3.400% 5/24/15 5,250 5,568
Appalachian Power Co. 7.950% 1/15/20 350 461
Appalachian Power Co. 4.600% 3/30/21 5,975 6,503
Appalachian Power Co. 5.800% 10/1/35 950 1,102
Appalachian Power Co. 7.000% 4/1/38 700 938
Arizona Public Service Co. 5.800% 6/30/14 625 694
Arizona Public Service Co. 4.650% 5/15/15 2,925 3,158
Arizona Public Service Co. 8.750% 3/1/19 2,300 2,925
Arizona Public Service Co. 5.500% 9/1/35 600 652
Atlantic City Electric Co. 7.750% 11/15/18 5,225 6,959
Baltimore Gas & Electric Co. 5.900% 10/1/16 3,525 4,053
Baltimore Gas & Electric Co. 6.350% 10/1/36 625 798
Carolina Power & Light Co. 5.125% 9/15/13 5,350 5,789
Carolina Power & Light Co. 5.300% 1/15/19 35,600 41,814
CenterPoint Energy Houston Electric LLC 5.700% 3/15/13 13,610 14,514
CenterPoint Energy Houston Electric LLC 5.750% 1/15/14 400 434
CenterPoint Energy Houston Electric LLC 7.000% 3/1/14 225 253
CenterPoint Energy Houston Electric LLC 6.950% 3/15/33 300 396
CenterPoint Energy Inc. 6.500% 5/1/18 70 82
Cleco Power LLC 6.000% 12/1/40 4,075 4,866
Cleveland Electric Illuminating Co. 5.650% 12/15/13 175 190

 

 

Cleveland Electric Illuminating Co. 7.880% 11/1/17 2,677 3,376
Cleveland Electric Illuminating Co. 5.500% 8/15/24 900 1,039
Columbus Southern Power Co. 5.850% 10/1/35 5,450 6,301
Commonwealth Edison Co. 5.950% 8/15/16 11,630 13,516
Commonwealth Edison Co. 6.150% 9/15/17 13,650 15,971
Commonwealth Edison Co. 5.800% 3/15/18 2,975 3,487
Commonwealth Edison Co. 4.000% 8/1/20 2,175 2,286
8 Commonwealth Edison Co. 5.875% 2/1/33 490 568
Commonwealth Edison Co. 5.900% 3/15/36 2,375 2,852
Commonwealth Edison Co. 6.450% 1/15/38 7,925 10,173
Connecticut Light & Power Co. 6.350% 6/1/36 5,100 6,791
Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 2,940 3,089
Consolidated Edison Co. of New York Inc. 5.375% 12/15/15 1,400 1,596
Consolidated Edison Co. of New York Inc. 5.500% 9/15/16 5,675 6,625
Consolidated Edison Co. of New York Inc. 5.850% 4/1/18 350 420
Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 5,975 7,480
Consolidated Edison Co. of New York Inc. 5.300% 3/1/35 6,100 6,915
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 2,625 3,182
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 3,000 3,797
Consolidated Edison Co. of New York Inc. 6.300% 8/15/37 5,250 6,750
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 3,475 4,724
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 5,250 6,325
Consolidated Natural Gas Co. 5.000% 12/1/14 4,725 5,195
Constellation Energy Group Inc. 4.550% 6/15/15 8,631 9,038
Constellation Energy Group Inc. 7.600% 4/1/32 2,415 2,942
Consumers Energy Co. 5.375% 4/15/13 4,100 4,361
Consumers Energy Co. 5.500% 8/15/16 1,800 2,065
Consumers Energy Co. 6.125% 3/15/19 550 666
Consumers Energy Co. 6.700% 9/15/19 5,000 6,256
Detroit Edison Co. 3.450% 10/1/20 1,700 1,752
Detroit Edison Co. 3.900% 6/1/21 1,575 1,681
Detroit Edison Co. 5.700% 10/1/37 950 1,186
Dominion Resources Inc. 1.800% 3/15/14 3,800 3,837
Dominion Resources Inc. 5.150% 7/15/15 15,258 17,102
Dominion Resources Inc. 2.250% 9/1/15 2,880 2,913
Dominion Resources Inc. 1.950% 8/15/16 5,450 5,419
Dominion Resources Inc. 6.000% 11/30/17 4,625 5,460
Dominion Resources Inc. 6.400% 6/15/18 290 350
Dominion Resources Inc. 8.875% 1/15/19 430 575
Dominion Resources Inc. 4.450% 3/15/21 4,225 4,596
Dominion Resources Inc. 6.300% 3/15/33 1,400 1,713
Dominion Resources Inc. 5.250% 8/1/33 2,575 2,904
Dominion Resources Inc. 5.950% 6/15/35 8,775 10,357
Dominion Resources Inc. 7.000% 6/15/38 425 575
Dominion Resources Inc. 4.900% 8/1/41 9,050 9,455
4 Dominion Resources Inc. 7.500% 6/30/66 3,775 3,874
DTE Energy Co. 6.375% 4/15/33 175 216
Duke Energy Carolinas LLC 5.750% 11/15/13 400 439
Duke Energy Carolinas LLC 4.300% 6/15/20 5,700 6,362
Duke Energy Carolinas LLC 6.000% 12/1/28 2,750 3,358
Duke Energy Carolinas LLC 6.450% 10/15/32 1,575 2,056
Duke Energy Carolinas LLC 6.100% 6/1/37 7,725 9,757
Duke Energy Carolinas LLC 6.000% 1/15/38 175 227
Duke Energy Carolinas LLC 6.050% 4/15/38 4,675 6,112
Duke Energy Carolinas LLC 5.300% 2/15/40 3,275 3,892
Duke Energy Corp. 6.300% 2/1/14 4,420 4,932
Duke Energy Corp. 3.950% 9/15/14 4,225 4,504

 

 

Duke Energy Corp. 3.350% 4/1/15 4,675 4,889
Duke Energy Corp. 5.050% 9/15/19 10,000 11,248
Duke Energy Indiana Inc. 5.000% 9/15/13 425 456
Duke Energy Indiana Inc. 6.050% 6/15/16 325 370
Duke Energy Indiana Inc. 6.120% 10/15/35 1,075 1,305
Duke Energy Indiana Inc. 6.350% 8/15/38 8,100 10,790
Duke Energy Indiana Inc. 6.450% 4/1/39 900 1,219
Duke Energy Ohio Inc. 2.100% 6/15/13 3,800 3,875
Duke Energy Ohio Inc. 5.450% 4/1/19 8 10
El Paso Electric Co. 6.000% 5/15/35 1,725 1,994
Empresa Nacional de Electricidad SA 8.350% 8/1/13 2,275 2,489
Enersis SA/Cayman Island 7.375% 1/15/14 2,500 2,726
Entergy Arkansas Inc. 3.750% 2/15/21 2,500 2,546
Entergy Gulf States Louisiana LLC 6.000% 5/1/18 8,675 10,089
Entergy Louisiana LLC 5.400% 11/1/24 325 374
Exelon Corp. 4.900% 6/15/15 7,000 7,606
Exelon Corp. 5.625% 6/15/35 1,100 1,190
Exelon Generation Co. LLC 5.350% 1/15/14 3,148 3,387
Exelon Generation Co. LLC 4.000% 10/1/20 8,800 8,789
Exelon Generation Co. LLC 6.250% 10/1/39 1,175 1,361
Exelon Generation Co. LLC 5.750% 10/1/41 5,200 5,581
FirstEnergy Corp. 7.375% 11/15/31 7,855 9,653
FirstEnergy Solutions Corp. 4.800% 2/15/15 6,825 7,229
FirstEnergy Solutions Corp. 6.050% 8/15/21 75 83
FirstEnergy Solutions Corp. 6.800% 8/15/39 2,800 3,109
Florida Power & Light Co. 4.850% 2/1/13 2,375 2,495
Florida Power & Light Co. 5.550% 11/1/17 1,850 2,214
Florida Power & Light Co. 5.950% 10/1/33 225 288
Florida Power & Light Co. 5.625% 4/1/34 3,825 4,721
Florida Power & Light Co. 4.950% 6/1/35 550 626
Florida Power & Light Co. 5.400% 9/1/35 5,650 6,829
Florida Power & Light Co. 6.200% 6/1/36 3,650 4,879
Florida Power & Light Co. 5.650% 2/1/37 3,975 4,975
Florida Power & Light Co. 5.850% 5/1/37 1,675 2,152
Florida Power & Light Co. 5.950% 2/1/38 9,850 12,859
Florida Power & Light Co. 5.960% 4/1/39 1,175 1,545
Florida Power Corp. 4.800% 3/1/13 9,875 10,399
Florida Power Corp. 5.650% 6/15/18 3,100 3,739
Florida Power Corp. 6.350% 9/15/37 10,125 13,502
Florida Power Corp. 6.400% 6/15/38 6,600 8,684
Florida Power Corp. 5.650% 4/1/40 1,000 1,233
Georgia Power Co. 6.000% 11/1/13 3,000 3,306
Georgia Power Co. 3.000% 4/15/16 3,400 3,571
Georgia Power Co. 5.700% 6/1/17 16,444 19,293
Georgia Power Co. 5.650% 3/1/37 325 400
Georgia Power Co. 5.950% 2/1/39 4,025 5,100
Georgia Power Co. 5.400% 6/1/40 4,000 4,719
Great Plains Energy Inc. 2.750% 8/15/13 3,000 3,049
Great Plains Energy Inc. 4.850% 6/1/21 1,200 1,276
Iberdrola International BV 6.750% 7/15/36 3,650 3,770
Indiana Michigan Power Co. 7.000% 3/15/19 625 772
Indiana Michigan Power Co. 6.050% 3/15/37 8,175 9,787
4 Integrys Energy Group Inc. 6.110% 12/1/66 4,990 4,790
Interstate Power & Light Co. 6.250% 7/15/39 2,400 3,139
Jersey Central Power & Light Co. 5.625% 5/1/16 8,700 9,959
Jersey Central Power & Light Co. 5.650% 6/1/17 1,925 2,218
Kansas City Power & Light Co. 6.050% 11/15/35 1,725 1,897

 

 

Kansas City Power & Light Co. 5.300% 10/1/41 3,450 3,522
4 Kansas Gas & Electric 5.647% 3/29/21 150 158
Kentucky Utilities Co. 1.625% 11/1/15 750 748
Kentucky Utilities Co. 3.250% 11/1/20 3,550 3,664
Kentucky Utilities Co. 5.125% 11/1/40 2,410 2,859
LG&E and KU Energy LLC 2.125% 11/15/15 2,800 2,745
LG&E and KU Energy LLC 3.750% 11/15/20 3,655 3,611
Louisville Gas & Electric Co. 5.125% 11/15/40 2,075 2,462
Metropolitan Edison Co. 7.700% 1/15/19 5,236 6,635
MidAmerican Energy Co. 5.125% 1/15/13 6,175 6,513
MidAmerican Energy Co. 5.950% 7/15/17 1,825 2,153
MidAmerican Energy Co. 5.300% 3/15/18 450 525
MidAmerican Energy Co. 6.750% 12/30/31 4,650 6,193
MidAmerican Energy Co. 5.750% 11/1/35 1,400 1,690
Midamerican Energy Holdings Co. 5.875% 10/1/12 5,845 6,140
Midamerican Energy Holdings Co. 5.000% 2/15/14 1,175 1,268
Midamerican Energy Holdings Co. 5.750% 4/1/18 8,575 9,898
Midamerican Energy Holdings Co. 8.480% 9/15/28 600 835
Midamerican Energy Holdings Co. 6.125% 4/1/36 26,147 31,396
Midamerican Energy Holdings Co. 5.950% 5/15/37 9,250 10,836
Midamerican Energy Holdings Co. 6.500% 9/15/37 2,390 2,997
National Rural Utilities Cooperative Finance        
Corp. 5.500% 7/1/13 5,775 6,242
National Rural Utilities Cooperative Finance        
Corp. 4.750% 3/1/14 2,265 2,465
National Rural Utilities Cooperative Finance        
Corp. 3.875% 9/16/15 6,750 7,307
National Rural Utilities Cooperative Finance        
Corp. 5.450% 4/10/17 4,600 5,312
National Rural Utilities Cooperative Finance        
Corp. 5.450% 2/1/18 11,585 13,420
National Rural Utilities Cooperative Finance        
Corp. 10.375% 11/1/18 21,280 30,612
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 4,550 6,370
Nevada Power Co. 7.125% 3/15/19 16,965 21,272
Nevada Power Co. 6.650% 4/1/36 775 1,030
Nevada Power Co. 6.750% 7/1/37 1,175 1,613
Nevada Power Co. 5.375% 9/15/40 5,605 6,564
Nevada Power Co. 5.450% 5/15/41 900 1,059
NextEra Energy Capital Holdings Inc. 5.350% 6/15/13 2,600 2,769
NextEra Energy Capital Holdings Inc. 2.550% 11/15/13 3,825 3,908
NextEra Energy Capital Holdings Inc. 2.600% 9/1/15 2,000 2,027
NextEra Energy Capital Holdings Inc. 7.875% 12/15/15 825 990
NextEra Energy Capital Holdings Inc. 6.000% 3/1/19 20,650 24,055
4 NextEra Energy Capital Holdings Inc. 6.350% 10/1/66 2,175 2,088
4 NextEra Energy Capital Holdings Inc. 6.650% 6/15/67 2,750 2,671
Northern States Power Co. 1.950% 8/15/15 2,225 2,272
Northern States Power Co. 5.250% 3/1/18 1,875 2,233
Northern States Power Co. 5.250% 7/15/35 325 388
Northern States Power Co. 6.250% 6/1/36 1,650 2,222
Northern States Power Co. 6.200% 7/1/37 5,425 7,298
Northern States Power Co. 5.350% 11/1/39 3,700 4,515
Northern States Power Co. 4.850% 8/15/40 525 597
NSTAR 4.500% 11/15/19 6,535 7,159
NSTAR Electric Co. 4.875% 4/15/14 2,600 2,831
NSTAR Electric Co. 5.625% 11/15/17 5,350 6,347

 

 

NSTAR Electric Co. 5.500% 3/15/40 2,950 3,622
Oglethorpe Power Corp. 5.950% 11/1/39 1,700 2,081
Oglethorpe Power Corp. 5.375% 11/1/40 4,800 5,450
Ohio Edison Co. 6.400% 7/15/16 3,800 4,440
Ohio Power Co. 5.750% 9/1/13 6,725 7,217
Ohio Power Co. 6.000% 6/1/16 3,275 3,770
Oklahoma Gas & Electric Co. 5.850% 6/1/40 3,200 4,024
Oncor Electric Delivery Co. LLC 5.950% 9/1/13 4,225 4,551
Oncor Electric Delivery Co. LLC 6.375% 1/15/15 7,340 8,398
Oncor Electric Delivery Co. LLC 6.800% 9/1/18 3,325 4,025
Oncor Electric Delivery Co. LLC 7.000% 9/1/22 5,371 6,802
Oncor Electric Delivery Co. LLC 7.000% 5/1/32 2,125 2,839
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 3,680 5,036
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 1,805 2,597
Oncor Electric Delivery Co. LLC 5.250% 9/30/40 325 365
Pacific Gas & Electric Co. 4.800% 3/1/14 16,975 18,358
Pacific Gas & Electric Co. 5.625% 11/30/17 3,425 3,993
Pacific Gas & Electric Co. 3.500% 10/1/20 19,650 20,112
Pacific Gas & Electric Co. 4.250% 5/15/21 4,650 4,973
Pacific Gas & Electric Co. 6.050% 3/1/34 25,462 30,623
Pacific Gas & Electric Co. 5.800% 3/1/37 16,875 19,606
Pacific Gas & Electric Co. 6.350% 2/15/38 1,800 2,246
Pacific Gas & Electric Co. 6.250% 3/1/39 3,775 4,670
Pacific Gas & Electric Co. 5.400% 1/15/40 4,250 4,761
PacifiCorp 7.700% 11/15/31 1,299 1,909
PacifiCorp 5.250% 6/15/35 100 114
PacifiCorp 5.750% 4/1/37 150 180
PacifiCorp 6.250% 10/15/37 8,625 11,017
PacifiCorp 6.000% 1/15/39 875 1,089
Peco Energy Co. 5.350% 3/1/18 675 803
Pennsylvania Electric Co. 6.050% 9/1/17 2,250 2,568
Pennsylvania Electric Co. 5.200% 4/1/20 10,400 11,643
Pennsylvania Electric Co. 6.150% 10/1/38 10,400 12,509
Pepco Holdings Inc. 2.700% 10/1/15 150 154
Potomac Electric Power Co. 6.500% 11/15/37 7,882 10,614
PPL Electric Utilities Corp. 3.000% 9/15/21 1,075 1,079
PPL Electric Utilities Corp. 6.250% 5/15/39 4,600 6,158
PPL Energy Supply LLC 6.300% 7/15/13 2,950 3,152
PPL Energy Supply LLC 5.400% 8/15/14 800 863
PPL Energy Supply LLC 6.200% 5/15/16 1,545 1,695
PPL Energy Supply LLC 6.500% 5/1/18 8,025 9,221
Progress Energy Inc. 6.050% 3/15/14 875 965
Progress Energy Inc. 4.875% 12/1/19 8,100 9,026
Progress Energy Inc. 7.750% 3/1/31 1,625 2,213
Progress Energy Inc. 7.000% 10/30/31 900 1,146
Progress Energy Inc. 6.000% 12/1/39 6,700 7,955
PSEG Power LLC 2.500% 4/15/13 1,775 1,800
PSEG Power LLC 5.000% 4/1/14 3,150 3,363
PSEG Power LLC 5.500% 12/1/15 14,230 15,765
PSEG Power LLC 2.750% 9/15/16 4,400 4,403
PSEG Power LLC 5.125% 4/15/20 1,701 1,850
PSEG Power LLC 4.150% 9/15/21 3,900 3,920
PSEG Power LLC 8.625% 4/15/31 350 491
Public Service Co. of Colorado 7.875% 10/1/12 8,525 9,100
Public Service Co. of Colorado 5.500% 4/1/14 165 182
Public Service Co. of Colorado 5.800% 8/1/18 1,475 1,781
Public Service Co. of Colorado 5.125% 6/1/19 8,825 10,432

 

 

Public Service Co. of Colorado 3.200% 11/15/20 1,775 1,822
Public Service Co. of Colorado 6.250% 9/1/37 2,325 3,149
Public Service Co. of Colorado 4.750% 8/15/41 2,925 3,288
Public Service Co. of Oklahoma 5.150% 12/1/19 100 111
Public Service Co. of Oklahoma 6.625% 11/15/37 4,675 6,078
Public Service Electric & Gas Co. 0.850% 8/15/14 2,500 2,483
Public Service Electric & Gas Co. 2.700% 5/1/15 3,300 3,460
Public Service Electric & Gas Co. 3.500% 8/15/20 500 523
Public Service Electric & Gas Co. 5.800% 5/1/37 4,600 5,787
Puget Sound Energy Inc. 5.483% 6/1/35 800 916
Puget Sound Energy Inc. 6.274% 3/15/37 5,175 6,574
Puget Sound Energy Inc. 5.757% 10/1/39 2,675 3,216
Puget Sound Energy Inc. 5.795% 3/15/40 1,515 1,833
Puget Sound Energy Inc. 5.764% 7/15/40 1,700 2,050
Puget Sound Energy Inc. 5.638% 4/15/41 3,025 3,595
San Diego Gas & Electric Co. 5.300% 11/15/15 2,100 2,432
San Diego Gas & Electric Co. 5.350% 5/15/35 800 960
San Diego Gas & Electric Co. 4.500% 8/15/40 3,350 3,658
SCANA Corp. 4.750% 5/15/21 2,675 2,821
Sierra Pacific Power Co. 6.000% 5/15/16 4,925 5,675
Sierra Pacific Power Co. 6.750% 7/1/37 4,250 5,753
South Carolina Electric & Gas Co. 6.500% 11/1/18 1,710 2,155
South Carolina Electric & Gas Co. 6.625% 2/1/32 2,125 2,793
South Carolina Electric & Gas Co. 5.300% 5/15/33 220 251
South Carolina Electric & Gas Co. 6.050% 1/15/38 4,300 5,484
South Carolina Electric & Gas Co. 5.450% 2/1/41 4,200 5,007
Southern California Edison Co. 5.000% 1/15/14 3,350 3,643
Southern California Edison Co. 4.650% 4/1/15 3,600 3,973
Southern California Edison Co. 5.000% 1/15/16 1,175 1,337
Southern California Edison Co. 3.875% 6/1/21 7,675 8,317
Southern California Edison Co. 6.650% 4/1/29 1,536 2,037
Southern California Edison Co. 6.000% 1/15/34 6,675 8,676
Southern California Edison Co. 5.750% 4/1/35 925 1,176
Southern California Edison Co. 5.350% 7/15/35 4,400 5,335
Southern California Edison Co. 5.550% 1/15/36 1,400 1,745
Southern California Edison Co. 5.625% 2/1/36 6,275 7,894
Southern California Edison Co. 5.550% 1/15/37 6,975 8,733
Southern California Edison Co. 5.950% 2/1/38 410 542
Southern California Edison Co. 4.500% 9/1/40 8,575 9,365
Southern Co. 4.150% 5/15/14 3,850 4,105
Southern Power Co. 4.875% 7/15/15 1,550 1,696
Southern Power Co. 5.150% 9/15/41 6,800 7,085
Southwestern Electric Power Co. 5.550% 1/15/17 400 445
Southwestern Electric Power Co. 5.875% 3/1/18 1,142 1,317
Southwestern Electric Power Co. 6.450% 1/15/19 3,625 4,279
Southwestern Electric Power Co. 6.200% 3/15/40 2,175 2,576
Tampa Electric Co. 6.100% 5/15/18 275 332
Tampa Electric Co. 6.550% 5/15/36 3,000 3,919
TECO Finance Inc. 4.000% 3/15/16 2,650 2,842
TECO Finance Inc. 5.150% 3/15/20 2,475 2,780
Toledo Edison Co. 6.150% 5/15/37 6,525 7,727
TransAlta Corp. 4.750% 1/15/15 1,050 1,118
TransAlta Corp. 6.650% 5/15/18 1,325 1,547
TransAlta Corp. 6.500% 3/15/40 650 740
UIL Holdings Corp. 4.625% 10/1/20 2,650 2,726
Union Electric Co. 6.700% 2/1/19 6,566 8,100
Union Electric Co. 8.450% 3/15/39 1,725 2,823

 

 

United Utilities plc 5.375% 2/1/19 4,950 5,311
United Utilities plc 6.875% 8/15/28 850 989
Virginia Electric and Power Co. 5.100% 11/30/12 800 837
Virginia Electric and Power Co. 5.400% 1/15/16 1,300 1,494
Virginia Electric and Power Co. 5.400% 4/30/18 3,170 3,733
Virginia Electric and Power Co. 5.000% 6/30/19 3,500 4,030
Virginia Electric and Power Co. 3.450% 9/1/22 250 259
Virginia Electric and Power Co. 6.000% 1/15/36 5,575 7,061
Virginia Electric and Power Co. 6.000% 5/15/37 2,100 2,662
Virginia Electric and Power Co. 6.350% 11/30/37 3,450 4,566
Virginia Electric and Power Co. 8.875% 11/15/38 675 1,107
Wisconsin Electric Power Co. 4.250% 12/15/19 4,600 5,118
Wisconsin Electric Power Co. 5.625% 5/15/33 1,025 1,242
Wisconsin Electric Power Co. 5.700% 12/1/36 825 997
4 Wisconsin Energy Corp. 6.250% 5/15/67 14,025 14,007
Wisconsin Power & Light Co. 5.000% 7/15/19 1,175 1,367
Wisconsin Power & Light Co. 6.375% 8/15/37 4,780 6,335
Xcel Energy Inc. 5.613% 4/1/17 592 669
Xcel Energy Inc. 4.700% 5/15/20 1,000 1,116
Xcel Energy Inc. 6.500% 7/1/36 3,050 4,020
 
Natural Gas (0.7%)        
AGL Capital Corp. 5.250% 8/15/19 1,100 1,236
AGL Capital Corp. 3.500% 9/15/21 3,550 3,492
AGL Capital Corp. 5.875% 3/15/41 3,310 3,821
Atmos Energy Corp. 4.950% 10/15/14 3,320 3,641
Atmos Energy Corp. 8.500% 3/15/19 2,275 3,076
Atmos Energy Corp. 5.500% 6/15/41 5,700 6,700
Boardwalk Pipelines LP 5.500% 2/1/17 3,225 3,576
British Transco Finance Inc. 6.625% 6/1/18 2,235 2,735
Buckeye Partners LP 6.050% 1/15/18 350 397
CenterPoint Energy Resources Corp. 6.150% 5/1/16 1,350 1,550
CenterPoint Energy Resources Corp. 4.500% 1/15/21 4,226 4,356
CenterPoint Energy Resources Corp. 5.850% 1/15/41 1,750 1,939
DCP Midstream LLC 8.125% 8/16/30 325 414
DCP Midstream Operating LP 3.250% 10/1/15 3,325 3,339
El Paso Natural Gas Co. 5.950% 4/15/17 11,405 12,838
El Paso Natural Gas Co. 8.625% 1/15/22 6,755 8,693
Enbridge Energy Partners LP 6.500% 4/15/18 7,583 8,873
Enbridge Energy Partners LP 9.875% 3/1/19 7,975 10,645
Enbridge Energy Partners LP 7.500% 4/15/38 7,120 9,117
Enbridge Inc. 5.800% 6/15/14 175 193
Enbridge Inc. 5.600% 4/1/17 275 308
Energy Transfer Partners LP 6.000% 7/1/13 10,417 11,050
Energy Transfer Partners LP 8.500% 4/15/14 5,375 6,161
Energy Transfer Partners LP 5.950% 2/1/15 8,475 9,114
Energy Transfer Partners LP 6.125% 2/15/17 1,225 1,341
Energy Transfer Partners LP 6.700% 7/1/18 340 380
Energy Transfer Partners LP 9.000% 4/15/19 26,900 32,442
Energy Transfer Partners LP 6.625% 10/15/36 2,050 2,086
Energy Transfer Partners LP 7.500% 7/1/38 2,590 2,784
Energy Transfer Partners LP 6.050% 6/1/41 800 750
9 Enron Corp. 7.625% 9/10/04 1,600 —
9 Enron Corp. 6.625% 11/15/05 1,075 —
9 Enron Corp. 7.125% 5/15/07 6,846 1
9 Enron Corp. 6.875% 10/15/07 6,700 1
9 Enron Corp. 6.750% 8/1/09 5,145 1

 

 

Enterprise Products Operating LLC 5.650% 4/1/13 3,475 3,665
Enterprise Products Operating LLC 5.900% 4/15/13 2,175 2,304
Enterprise Products Operating LLC 9.750% 1/31/14 12,165 14,246
Enterprise Products Operating LLC 6.300% 9/15/17 19,825 22,959
Enterprise Products Operating LLC 6.650% 4/15/18 2,425 2,857
Enterprise Products Operating LLC 6.500% 1/31/19 2,775 3,252
Enterprise Products Operating LLC 5.200% 9/1/20 3,200 3,509
Enterprise Products Operating LLC 6.875% 3/1/33 1,950 2,317
Enterprise Products Operating LLC 6.650% 10/15/34 1,900 2,216
Enterprise Products Operating LLC 7.550% 4/15/38 2,925 3,669
Enterprise Products Operating LLC 6.125% 10/15/39 5,160 5,632
Enterprise Products Operating LLC 6.450% 9/1/40 725 820
Enterprise Products Operating LLC 5.950% 2/1/41 1,400 1,506
Enterprise Products Operating LLC 5.700% 2/15/42 3,800 3,951
EQT Corp. 6.500% 4/1/18 11,475 12,991
EQT Corp. 8.125% 6/1/19 325 395
9 HNG Internorth 9.625% 3/15/06 3,680 —
KeySpan Corp. 8.000% 11/15/30 50 71
Kinder Morgan Energy Partners LP 5.000% 12/15/13 12,425 13,308
Kinder Morgan Energy Partners LP 5.125% 11/15/14 1,925 2,097
Kinder Morgan Energy Partners LP 5.625% 2/15/15 300 332
Kinder Morgan Energy Partners LP 6.000% 2/1/17 230 260
Kinder Morgan Energy Partners LP 5.950% 2/15/18 10,325 11,720
Kinder Morgan Energy Partners LP 6.850% 2/15/20 9,025 10,587
Kinder Morgan Energy Partners LP 7.300% 8/15/33 505 589
Kinder Morgan Energy Partners LP 5.800% 3/15/35 100 98
Kinder Morgan Energy Partners LP 6.500% 2/1/37 13,225 13,969
Kinder Morgan Energy Partners LP 6.950% 1/15/38 7,200 7,933
Kinder Morgan Energy Partners LP 6.500% 9/1/39 6,000 6,505
Kinder Morgan Energy Partners LP 5.625% 9/1/41 8,500 8,370
Magellan Midstream Partners LP 5.650% 10/15/16 875 1,003
Magellan Midstream Partners LP 6.550% 7/15/19 4,525 5,421
Magellan Midstream Partners LP 4.250% 2/1/21 3,920 4,049
National Grid plc 6.300% 8/1/16 8,600 9,938
Nisource Finance Corp. 6.150% 3/1/13 425 450
Nisource Finance Corp. 5.400% 7/15/14 5,108 5,554
Nisource Finance Corp. 5.250% 9/15/17 925 1,004
Nisource Finance Corp. 6.400% 3/15/18 13,625 15,502
Nisource Finance Corp. 6.800% 1/15/19 150 175
Nisource Finance Corp. 5.450% 9/15/20 1,600 1,722
Nisource Finance Corp. 6.125% 3/1/22 1,825 2,068
Nisource Finance Corp. 6.250% 12/15/40 2,225 2,438
Nisource Finance Corp. 5.950% 6/15/41 6,650 7,155
NuStar Logistics LP 7.650% 4/15/18 4,825 5,810
Oneok Inc. 5.200% 6/15/15 4,000 4,378
Oneok Inc. 6.000% 6/15/35 5,850 6,306
ONEOK Partners LP 3.250% 2/1/16 2,500 2,537
ONEOK Partners LP 6.150% 10/1/16 4,525 5,139
ONEOK Partners LP 8.625% 3/1/19 16,575 21,339
ONEOK Partners LP 6.650% 10/1/36 12,525 14,598
ONEOK Partners LP 6.850% 10/15/37 4,925 5,892
ONEOK Partners LP 6.125% 2/1/41 5,000 5,505
Panhandle Eastern Pipeline Co. LP 6.200% 11/1/17 8,050 9,313
Panhandle Eastern Pipeline Co. LP 7.000% 6/15/18 1,050 1,260
Plains All American Pipeline LP / PAA        
Finance Corp. 6.125% 1/15/17 4,440 4,966

 

 

Plains All American Pipeline LP / PAA        
Finance Corp. 6.500% 5/1/18 925 1,067
Plains All American Pipeline LP / PAA        
Finance Corp. 8.750% 5/1/19 2,475 3,161
Plains All American Pipeline LP / PAA        
Finance Corp. 5.750% 1/15/20 1,400 1,544
Plains All American Pipeline LP / PAA        
Finance Corp. 5.000% 2/1/21 700 733
Questar Corp. 2.750% 2/1/16 600 606
Sempra Energy 6.000% 2/1/13 700 742
Sempra Energy 2.000% 3/15/14 8,025 8,112
Sempra Energy 6.150% 6/15/18 100 118
Sempra Energy 6.000% 10/15/39 1,250 1,517
Southern California Gas Co. 5.750% 11/15/35 950 1,226
6 Southern Natural Gas Co. 5.900% 4/1/17 4,990 5,708
Southern Natural Gas Co. 8.000% 3/1/32 5,832 7,579
Southern Union Co. 7.600% 2/1/24 8,260 9,808
Spectra Energy Capital LLC 6.250% 2/15/13 1,146 1,213
Spectra Energy Capital LLC 5.500% 3/1/14 3,125 3,369
Spectra Energy Capital LLC 5.668% 8/15/14 150 165
Spectra Energy Capital LLC 6.200% 4/15/18 300 343
Spectra Energy Capital LLC 6.750% 2/15/32 2,250 2,582
Sunoco Logistics Partners Operations LP 6.850% 2/15/40 750 838
Tennessee Gas Pipeline Co. 7.000% 10/15/28 120 143
Tennessee Gas Pipeline Co. 7.625% 4/1/37 1,342 1,691
Texas Eastern Transmission LP 7.000% 7/15/32 200 256
Texas Gas Transmission LLC 4.600% 6/1/15 2,875 3,091
TransCanada PipeLines Ltd. 4.000% 6/15/13 3,950 4,133
TransCanada PipeLines Ltd. 3.400% 6/1/15 500 530
TransCanada PipeLines Ltd. 6.500% 8/15/18 11,950 14,779
TransCanada PipeLines Ltd. 7.125% 1/15/19 2,550 3,243
TransCanada PipeLines Ltd. 3.800% 10/1/20 7,900 8,295
TransCanada PipeLines Ltd. 5.600% 3/31/34 3,055 3,583
TransCanada PipeLines Ltd. 5.850% 3/15/36 13,375 16,303
TransCanada PipeLines Ltd. 6.200% 10/15/37 7,425 9,175
TransCanada PipeLines Ltd. 7.250% 8/15/38 2,017 2,746
TransCanada PipeLines Ltd. 7.625% 1/15/39 354 489
4 TransCanada PipeLines Ltd. 6.350% 5/15/67 12,221 12,154
Williams Partners LP 3.800% 2/15/15 2,900 3,025
Williams Partners LP 5.250% 3/15/20 45,220 48,709
Williams Partners LP 6.300% 4/15/40 3,500 3,911
Williams Partners LP / Williams Partners        
Finance Corp. 7.250% 2/1/17 11,225 13,095
 
Other Utility (0.0%)        
American Water Capital Corp. 6.085% 10/15/17 10,200 12,013
American Water Capital Corp. 6.593% 10/15/37 5,300 6,362
Veolia Environnement SA 6.000% 6/1/18 7,020 7,917
 
        2,207,542
Total Corporate Bonds (Cost $18,414,458)       19,741,483
Sovereign Bonds (U.S. Dollar-Denominated) (4.5%)        
African Development Bank 1.000% 11/23/11 5,575 5,579
African Development Bank 1.750% 10/1/12 4,450 4,480
African Development Bank 1.625% 2/11/13 7,425 7,552
African Development Bank 3.000% 5/27/14 17,625 18,798

 

 

  African Development Bank 1.250% 9/2/16 6,550 6,566
  Asian Development Bank 1.625% 7/15/13 23,725 24,245
  Asian Development Bank 3.625% 9/5/13 23,500 24,882
  Asian Development Bank 2.750% 5/21/14 18,145 19,202
  Asian Development Bank 0.875% 6/10/14 5,350 5,390
  Asian Development Bank 4.250% 10/20/14 5,875 6,502
  Asian Development Bank 2.625% 2/9/15 24,975 26,420
  Asian Development Bank 2.500% 3/15/16 14,550 15,506
  Asian Development Bank 5.500% 6/27/16 5,175 6,215
  Asian Development Bank 5.250% 6/12/17 600 725
  Asian Development Bank 5.593% 7/16/18 3,528 4,326
  Brazilian Government International Bond 10.250% 6/17/13 2,200 2,518
  Brazilian Government International Bond 7.875% 3/7/15 8,200 9,643
  Brazilian Government International Bond 6.000% 1/17/17 30,605 34,752
4 Brazilian Government International Bond 8.000% 1/15/18 17,645 20,821
  Brazilian Government International Bond 5.875% 1/15/19 41,825 47,952
  Brazilian Government International Bond 8.875% 10/14/19 11,650 15,786
  Brazilian Government International Bond 4.875% 1/22/21 12,050 12,849
  Brazilian Government International Bond 8.875% 4/15/24 3,125 4,453
  Brazilian Government International Bond 8.875% 4/15/24 1,500 2,130
  Brazilian Government International Bond 8.750% 2/4/25 12,250 17,211
  Brazilian Government International Bond 10.125% 5/15/27 12,325 19,288
  Brazilian Government International Bond 8.250% 1/20/34 16,525 23,135
  Brazilian Government International Bond 7.125% 1/20/37 16,706 21,330
  Brazilian Government International Bond 11.000% 8/17/40 13,300 17,509
  Brazilian Government International Bond 5.625% 1/7/41 24,450 26,284
  Canada Government International Bond 2.375% 9/10/14 4,175 4,385
  Chile Government International Bond 5.500% 1/15/13 2,965 3,123
  Chile Government International Bond 3.875% 8/5/20 8,850 9,247
  Chile Government International Bond 3.250% 9/14/21 1,000 973
  China Development Bank Corp. 4.750% 10/8/14 3,700 3,953
  China Development Bank Corp. 5.000% 10/15/15 1,450 1,572
  China Government International Bond 4.750% 10/29/13 5,700 6,094
  Colombia Government International Bond 10.750% 1/15/13 2,150 2,381
  Colombia Government International Bond 8.250% 12/22/14 3,200 3,744
  Colombia Government International Bond 7.375% 1/27/17 10,875 12,996
  Colombia Government International Bond 7.375% 3/18/19 13,300 16,326
  Colombia Government International Bond 11.750% 2/25/20 3,350 5,092
  Colombia Government International Bond 4.375% 7/12/21 14,675 14,895
  Colombia Government International Bond 8.125% 5/21/24 5,600 7,364
  Colombia Government International Bond 7.375% 9/18/37 9,450 12,190
  Colombia Government International Bond 6.125% 1/18/41 19,150 21,664
  Corp. Andina de Fomento 5.200% 5/21/13 2,400 2,528
  Corp. Andina de Fomento 5.125% 5/5/15 1,100 1,185
  Corp. Andina de Fomento 3.750% 1/15/16 5,825 5,896
  Corp. Andina de Fomento 5.750% 1/12/17 16,625 18,152
  Corp. Andina de Fomento 8.125% 6/4/19 12,000 14,711
  Council Of Europe Development Bank 2.750% 2/10/15 5,675 6,005
  Council Of Europe Development Bank 2.625% 2/16/16 6,950 7,384
10 Development Bank of Japan 4.250% 6/9/15 11,375 12,572
  Eksportfinans ASA 1.875% 4/2/13 400 408
  Eksportfinans ASA 3.000% 11/17/14 7,250 7,638
  Eksportfinans ASA 2.000% 9/15/15 5,825 5,943
  Eksportfinans ASA 5.500% 5/25/16 9,520 11,204
  Eksportfinans ASA 5.500% 6/26/17 17,500 20,657
  European Bank for Reconstruction &        
  Development 2.750% 4/20/15 19,100 20,263

 

 

European Bank for Reconstruction &        
Development 1.625% 9/3/15 6,550 6,623
European Bank for Reconstruction &        
Development 2.500% 3/15/16 8,100 8,614
European Investment Bank 1.625% 3/15/13 12,800 13,004
European Investment Bank 2.875% 3/15/13 8,100 8,357
European Investment Bank 3.250% 5/15/13 35,700 37,140
European Investment Bank 1.875% 6/17/13 11,650 11,896
European Investment Bank 4.250% 7/15/13 33,575 35,753
European Investment Bank 1.250% 9/17/13 15,975 16,190
European Investment Bank 1.250% 2/14/14 3,400 3,441
European Investment Bank 2.375% 3/14/14 24,750 25,742
European Investment Bank 1.500% 5/15/14 39,400 40,146
European Investment Bank 4.625% 5/15/14 35,482 39,005
European Investment Bank 3.125% 6/4/14 58,200 61,829
European Investment Bank 1.125% 8/15/14 43,050 43,450
European Investment Bank 2.875% 1/15/15 15,400 16,440
European Investment Bank 2.750% 3/23/15 20,100 21,391
European Investment Bank 1.625% 9/1/15 19,025 19,491
European Investment Bank 1.375% 10/20/15 24,325 24,700
European Investment Bank 4.875% 2/16/16 19,250 22,218
European Investment Bank 2.500% 5/16/16 29,250 30,905
European Investment Bank 2.125% 7/15/16 21,800 22,698
European Investment Bank 5.125% 9/13/16 18,700 22,155
European Investment Bank 1.250% 10/14/16 14,250 14,188
European Investment Bank 4.875% 1/17/17 25,625 30,095
European Investment Bank 5.125% 5/30/17 28,695 34,081
European Investment Bank 2.875% 9/15/20 18,000 18,897
European Investment Bank 4.000% 2/16/21 24,075 27,599
European Investment Bank 4.875% 2/15/36 300 360
Export Development Canada 3.500% 5/16/13 9,600 10,036
Export Development Canada 3.125% 4/24/14 225 239
Export Development Canada 2.250% 5/28/15 3,500 3,691
Export-Import Bank of Korea 5.500% 10/17/12 8,350 8,642
Export-Import Bank of Korea 8.125% 1/21/14 18,550 20,753
Export-Import Bank of Korea 5.875% 1/14/15 19,025 20,228
Export-Import Bank of Korea 5.125% 3/16/15 2,500 2,616
Export-Import Bank of Korea 4.125% 9/9/15 4,925 5,003
Export-Import Bank of Korea 3.750% 10/20/16 4,950 4,825
Export-Import Bank of Korea 5.125% 6/29/20 5,700 5,787
Export-Import Bank of Korea 4.375% 9/15/21 2,525 2,420
Financement-Quebec 5.000% 10/25/12 3,725 3,894
Finland Government International Bond 6.950% 2/15/26 1,905 2,762
Hungary Government International Bond 4.750% 2/3/15 8,075 7,873
Hungary Government International Bond 6.250% 1/29/20 10,500 10,094
Hungary Government International Bond 6.375% 3/29/21 6,700 6,465
Hungary Government International Bond 7.625% 3/29/41 5,450 5,291
Hydro Quebec 8.000% 2/1/13 9,675 10,562
Hydro Quebec 7.500% 4/1/16 2,155 2,711
Hydro Quebec 2.000% 6/30/16 21,525 21,981
Hydro Quebec 8.400% 1/15/22 2,675 3,972
Hydro Quebec 8.050% 7/7/24 2,975 4,494
Hydro Quebec 8.500% 12/1/29 400 668
Inter-American Development Bank 4.750% 10/19/12 4,525 4,731
Inter-American Development Bank 3.500% 3/15/13 9,375 9,795
Inter-American Development Bank 1.625% 7/15/13 1,000 1,020
Inter-American Development Bank 3.000% 4/22/14 25,200 26,729

 

 

Inter-American Development Bank 2.250% 7/15/15 8,100 8,507
Inter-American Development Bank 4.250% 9/14/15 7,395 8,320
Inter-American Development Bank 5.125% 9/13/16 6,900 8,175
Inter-American Development Bank 2.375% 8/15/17 22,800 23,935
Inter-American Development Bank 1.750% 8/24/18 4,900 4,921
Inter-American Development Bank 4.250% 9/10/18 2,950 3,449
Inter-American Development Bank 3.875% 9/17/19 57,400 65,773
Inter-American Development Bank 3.875% 2/14/20 6,425 7,446
Inter-American Development Bank 7.000% 6/15/25 2,775 3,992
International Bank for Reconstruction &        
Development 1.750% 7/15/13 17,275 17,670
International Bank for Reconstruction &        
Development 3.500% 10/8/13 29,250 30,949
International Bank for Reconstruction &        
Development 2.375% 5/26/15 42,100 44,482
International Bank for Reconstruction &        
Development 2.125% 3/15/16 44,275 46,379
International Bank for Reconstruction &        
Development 5.000% 4/1/16 18,325 21,408
International Bank for Reconstruction &        
Development 1.000% 9/15/16 12,750 12,686
International Bank for Reconstruction &        
Development 7.625% 1/19/23 3,350 4,985
International Bank for Reconstruction &        
Development 8.875% 3/1/26 1,050 1,757
International Bank for Reconstruction &        
Development 4.750% 2/15/35 1,150 1,435
International Finance Corp. 3.500% 5/15/13 7,100 7,438
International Finance Corp. 3.000% 4/22/14 26,437 27,855
International Finance Corp. 2.750% 4/20/15 10,375 11,067
International Finance Corp. 2.250% 4/11/16 8,700 9,158
International Finance Corp. 2.125% 11/17/17 14,975 15,339
Israel Government International Bond 4.625% 6/15/13 2,375 2,474
Israel Government International Bond 5.125% 3/1/14 800 857
Israel Government International Bond 5.500% 11/9/16 7,650 8,660
Israel Government International Bond 5.125% 3/26/19 18,700 20,501
10 Japan Bank for International Cooperation 4.375% 11/26/12 5,450 5,686
10 Japan Bank for International Cooperation 4.250% 6/18/13 20,125 21,339
10 Japan Finance Corp. 2.125% 11/5/12 12,450 12,650
10 Japan Finance Corp. 2.875% 2/2/15 16,150 17,076
10 Japan Finance Corp. 2.500% 1/21/16 6,100 6,388
10 Japan Finance Corp. 2.500% 5/18/16 6,100 6,390
10 Japan Finance Corp. 2.250% 7/13/16 12,125 12,557
10 Japan Finance Organization for Municipalities 4.625% 4/21/15 6,850 7,678
10 Japan Finance Organization for Municipalities 5.000% 5/16/17 4,000 4,696
10 Japan Finance Organization for Municipalities 4.000% 1/13/21 9,200 10,371
Korea Development Bank 5.300% 1/17/13 2,475 2,570
Korea Development Bank 5.750% 9/10/13 9,940 10,555
Korea Development Bank 8.000% 1/23/14 10,800 12,056
Korea Development Bank 4.375% 8/10/15 6,275 6,413
Korea Development Bank 3.250% 3/9/16 12,800 12,447
Korea Development Bank 4.000% 9/9/16 4,250 4,262
Korea Electric Power Corp. 7.750% 4/1/13 6,075 6,542
Korea Finance Corp. 3.250% 9/20/16 11,100 10,655
11 Kreditanstalt fuer Wiederaufbau 1.875% 1/14/13 25,500 25,971
11 Kreditanstalt fuer Wiederaufbau 3.250% 3/15/13 80,400 83,618
11 Kreditanstalt fuer Wiederaufbau 3.500% 5/16/13 12,075 12,663

 

 

11 Kreditanstalt fuer Wiederaufbau 1.375% 7/15/13 31,350 31,861
11 Kreditanstalt fuer Wiederaufbau 4.000% 10/15/13 23,825 25,457
11 Kreditanstalt fuer Wiederaufbau 1.375% 1/13/14 19,175 19,512
11 Kreditanstalt fuer Wiederaufbau 3.500% 3/10/14 22,925 24,533
11 Kreditanstalt fuer Wiederaufbau 1.500% 4/4/14 13,675 13,991
11 Kreditanstalt fuer Wiederaufbau 4.125% 10/15/14 1,425 1,567
11 Kreditanstalt fuer Wiederaufbau 2.750% 10/21/14 15,275 16,187
11 Kreditanstalt fuer Wiederaufbau 2.625% 3/3/15 28,625 30,428
11 Kreditanstalt fuer Wiederaufbau 1.250% 10/26/15 11,575 11,628
11 Kreditanstalt fuer Wiederaufbau 2.625% 2/16/16 27,900 29,654
11 Kreditanstalt fuer Wiederaufbau 5.125% 3/14/16 36,250 42,412
11 Kreditanstalt fuer Wiederaufbau 2.000% 6/1/16 38,400 39,814
11 Kreditanstalt fuer Wiederaufbau 1.250% 10/5/16 27,075 26,991
11 Kreditanstalt fuer Wiederaufbau 4.875% 1/17/17 680 800
11 Kreditanstalt fuer Wiederaufbau 4.375% 3/15/18 17,975 20,771
11 Kreditanstalt fuer Wiederaufbau 4.500% 7/16/18 14,325 16,778
11 Kreditanstalt fuer Wiederaufbau 4.875% 6/17/19 24,025 29,304
11 Kreditanstalt fuer Wiederaufbau 4.000% 1/27/20 18,550 21,292
11 Kreditanstalt fuer Wiederaufbau 2.750% 9/8/20 41,125 42,926
11 Kreditanstalt fuer Wiederaufbau 0.000% 4/18/36 17,100 7,620
Landesbank Baden-Wuerttemberg 7.625% 2/1/23 300 401
11 Landwirtschaftliche Rentenbank 3.250% 3/15/13 20,750 21,559
11 Landwirtschaftliche Rentenbank 4.125% 7/15/13 9,325 9,937
11 Landwirtschaftliche Rentenbank 3.125% 7/15/15 11,395 12,232
11 Landwirtschaftliche Rentenbank 4.875% 11/16/15 9,250 10,637
11 Landwirtschaftliche Rentenbank 2.500% 2/15/16 2,675 2,821
11 Landwirtschaftliche Rentenbank 2.125% 7/15/16 10,750 11,142
11 Landwirtschaftliche Rentenbank 5.000% 11/8/16 76 89
11 Landwirtschaftliche Rentenbank 5.125% 2/1/17 6,975 8,250
11 Landwirtschaftliche Rentenbank 1.875% 9/17/18 4,500 4,471
Mexico Government International Bond 6.375% 1/16/13 10,302 10,910
Mexico Government International Bond 5.875% 2/17/14 19,075 20,582
Mexico Government International Bond 6.625% 3/3/15 433 488
Mexico Government International Bond 11.375% 9/15/16 4,775 6,697
Mexico Government International Bond 5.625% 1/15/17 29,722 33,118
Mexico Government International Bond 5.950% 3/19/19 24,400 27,657
Mexico Government International Bond 5.125% 1/15/20 5,050 5,497
Mexico Government International Bond 8.300% 8/15/31 24,300 34,384
Mexico Government International Bond 6.750% 9/27/34 75,821 93,244
Mexico Government International Bond 6.050% 1/11/40 9,665 10,897
Mexico Government International Bond 5.750% 10/12/10 6,500 6,345
Nordic Investment Bank 1.625% 1/28/13 12,000 12,195
Nordic Investment Bank 2.625% 10/6/14 9,600 10,120
Nordic Investment Bank 2.500% 7/15/15 9,200 9,751
Nordic Investment Bank 2.250% 3/15/16 3,175 3,341
Nordic Investment Bank 5.000% 2/1/17 5,200 6,147
North American Development Bank 4.375% 2/11/20 2,600 2,935
12 Oesterreichische Kontrollbank AG 4.750% 11/8/11 2,525 2,535
12 Oesterreichische Kontrollbank AG 4.750% 10/16/12 4,975 5,203
12 Oesterreichische Kontrollbank AG 1.750% 3/11/13 16,500 16,803
12 Oesterreichische Kontrollbank AG 1.375% 1/21/14 975 993
12 Oesterreichische Kontrollbank AG 4.500% 3/9/15 125 139
12 Oesterreichische Kontrollbank AG 1.750% 10/5/15 5,300 5,404
12 Oesterreichische Kontrollbank AG 2.000% 6/3/16 10,700 11,016
12 Oesterreichische Kontrollbank AG 5.000% 4/25/17 13,570 15,988
Ontario Electricity Financial Corp. 7.450% 3/31/13 3,950 4,333
Panama Government International Bond 7.250% 3/15/15 3,400 3,879

 

 

Panama Government International Bond 5.200% 1/30/20 20,125 21,921
Panama Government International Bond 7.125% 1/29/26 14,150 17,723
Panama Government International Bond 8.875% 9/30/27 650 926
Panama Government International Bond 9.375% 4/1/29 800 1,186
4 Panama Government International Bond 6.700% 1/26/36 10,895 13,144
Pemex Project Funding Master Trust 5.750% 3/1/18 33,775 36,488
Pemex Project Funding Master Trust 6.625% 6/15/35 21,371 23,176
Pemex Project Funding Master Trust 6.625% 6/15/38 5,975 6,417
Peruvian Government International Bond 7.125% 3/30/19 20,700 24,943
Peruvian Government International Bond 7.350% 7/21/25 9,475 11,749
Peruvian Government International Bond 8.750% 11/21/33 11,392 16,084
4 Peruvian Government International Bond 6.550% 3/14/37 12,250 14,087
Peruvian Government International Bond 5.625% 11/18/50 5,100 5,079
Petrobras International Finance Co. - Pifco 3.875% 1/27/16 8,000 7,961
Petrobras International Finance Co. - Pifco 6.125% 10/6/16 13,963 15,340
Petrobras International Finance Co. - Pifco 5.875% 3/1/18 29,475 30,580
Petrobras International Finance Co. - Pifco 8.375% 12/10/18 10,250 12,121
Petrobras International Finance Co. - Pifco 7.875% 3/15/19 21,208 24,389
Petrobras International Finance Co. - Pifco 5.750% 1/20/20 8,752 8,991
Petrobras International Finance Co. - Pifco 5.375% 1/27/21 14,500 14,446
Petrobras International Finance Co. - Pifco 6.875% 1/20/40 7,400 7,794
Petrobras International Finance Co. - Pifco 6.750% 1/27/41 4,125 4,388
Petroleos Mexicanos 4.875% 3/15/15 9,350 9,821
Petroleos Mexicanos 8.000% 5/3/19 5,200 6,347
Petroleos Mexicanos 6.000% 3/5/20 10,825 11,835
Petroleos Mexicanos 5.500% 1/21/21 7,395 7,772
6 Petroleos Mexicanos 6.500% 6/2/41 5,575 5,877
6 Petronas Capital Ltd. 5.250% 8/12/19 1,000 1,087
Poland Government International Bond 5.250% 1/15/14 1,695 1,784
Poland Government International Bond 3.875% 7/16/15 14,900 15,049
Poland Government International Bond 5.000% 10/19/15 2,875 3,019
Poland Government International Bond 6.375% 7/15/19 37,925 41,575
Poland Government International Bond 5.125% 4/21/21 3,925 3,905
Province of British Columbia 2.850% 6/15/15 15,300 16,304
Province of British Columbia 2.100% 5/18/16 22,000 22,802
Province of British Columbia 2.650% 9/22/21 1,250 1,268
Province of Manitoba 2.125% 4/22/13 4,850 4,971
Province of Manitoba 2.625% 7/15/15 8,750 9,198
Province of Manitoba 4.900% 12/6/16 11,700 13,649
Province of New Brunswick 2.750% 6/15/18 14,750 15,433
Province of Nova Scotia 2.375% 7/21/15 8,000 8,304
Province of Ontario 1.875% 11/19/12 27,500 27,952
Province of Ontario 1.375% 1/27/14 16,575 16,845
Province of Ontario 4.100% 6/16/14 27,670 29,950
Province of Ontario 2.950% 2/5/15 5,080 5,396
Province of Ontario 2.700% 6/16/15 23,375 24,436
Province of Ontario 1.875% 9/15/15 10,300 10,473
Province of Ontario 4.750% 1/19/16 5,375 6,114
Province of Ontario 5.450% 4/27/16 30,325 35,682
Province of Ontario 2.300% 5/10/16 1,000 1,034
Province of Ontario 1.600% 9/21/16 10,350 10,313
Province of Ontario 3.150% 12/15/17 13,000 13,840
Province of Ontario 3.000% 7/16/18 8,475 8,880
Province of Ontario 4.000% 10/7/19 20,525 22,814
Province of Ontario 4.400% 4/14/20 20,575 23,463
Province of Saskatchewan 7.375% 7/15/13 1,375 1,540
Quebec 4.875% 5/5/14 4,125 4,543

 

 

Quebec 4.600% 5/26/15 7,600 8,531
Quebec 5.125% 11/14/16 18,225 21,408
Quebec 4.625% 5/14/18 11,800 13,601
Quebec 3.500% 7/29/20 16,450 17,600
Quebec 2.750% 8/25/21 11,725 11,718
Quebec 7.125% 2/9/24 905 1,287
Quebec 7.500% 9/15/29 7,877 12,144
6 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500% 9/30/14 350 379
6 Ras Laffan Liquefied Natural Gas Co. Ltd. III 6.750% 9/30/19 350 417
Region of Lombardy Italy 5.804% 10/25/32 6,395 6,373
Republic of Italy 2.125% 10/5/12 27,250 26,807
Republic of Italy 4.375% 6/15/13 125 124
Republic of Italy 2.125% 9/16/13 11,750 11,251
Republic of Italy 4.500% 1/21/15 14,350 14,171
Republic of Italy 3.125% 1/26/15 24,800 23,188
Republic of Italy 4.750% 1/25/16 22,250 21,694
Republic of Italy 5.250% 9/20/16 31,326 31,013
Republic of Italy 6.875% 9/27/23 11,600 11,363
Republic of Italy 5.375% 6/15/33 16,575 14,917
Republic of Korea 4.250% 6/1/13 19,300 19,921
Republic of Korea 5.750% 4/16/14 8,700 9,390
Republic of Korea 4.875% 9/22/14 625 669
Republic of Korea 7.125% 4/16/19 7,975 9,664
Republic of Korea 5.625% 11/3/25 1,425 1,680
South Africa Government International Bond 6.500% 6/2/14 2,425 2,683
South Africa Government International Bond 6.875% 5/27/19 14,875 17,683
South Africa Government International Bond 5.500% 3/9/20 11,500 12,621
South Africa Government International Bond 5.875% 5/30/22 4,300 4,816
South Africa Government International Bond 6.250% 3/8/41 6,900 7,771
Svensk Exportkredit AB 3.250% 9/16/14 7,775 8,259
Svensk Exportkredit AB 1.750% 10/20/15 13,000 13,227
Svensk Exportkredit AB 2.125% 7/13/16 7,950 8,173
Svensk Exportkredit AB 5.125% 3/1/17 1,350 1,584
6 Temasek Financial I Ltd. 5.375% 11/23/39 500 578
Total Sovereign Bonds (Cost $4,071,987)       4,313,064
Taxable Municipal Bonds (1.0%)        
Alameda County CA Joint Powers Authority        
Lease Revenue 7.046% 12/1/44 200 247
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.834% 2/15/41 1,000 1,374
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.053% 2/15/43 950 1,102
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 5.939% 2/15/47 4,775 5,334
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.270% 2/15/50 1,750 2,110
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.499% 2/15/50 1,525 2,046
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 8.084% 2/15/50 8,600 12,213
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 2,375 3,005
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 4,075 5,316
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 6,250 8,078

 

 

Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.907% 10/1/50 8,800 11,628
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 5.262% 7/1/39 1,650 1,988
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 6.276% 8/15/41 1,525 1,730
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 5.134% 8/15/42 100 121
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 4.794% 8/15/46 3,000 3,419
California Educational Facilities Authority        
Revenue (Stanford University) 3.625% 5/1/14 7,650 8,166
California Educational Facilities Authority        
Revenue (Stanford University) 4.250% 5/1/16 2,250 2,507
California GO 5.250% 4/1/14 3,425 3,732
California GO 5.750% 3/1/17 10,750 12,191
California GO 6.200% 3/1/19 1,400 1,600
California GO 6.200% 10/1/19 11,175 12,869
California GO 5.700% 11/1/21 10,000 11,101
California GO 7.500% 4/1/34 23,775 28,447
California GO 7.950% 3/1/36 500 568
California GO 5.650% 4/1/39 3,775 4,009
California GO 7.550% 4/1/39 185 229
California GO 7.300% 10/1/39 3,510 4,229
California GO 7.350% 11/1/39 21,900 26,541
California GO 7.625% 3/1/40 8,250 10,320
California GO 7.600% 11/1/40 9,150 11,435
Central Puget Sound WA Regional Transit        
Authority Sales & Use Tax Revenue 5.491% 11/1/39 1,500 1,861
Chicago IL Board of Education GO 6.319% 11/1/29 3,125 3,563
Chicago IL Board of Education GO 6.138% 12/1/39 650 721
Chicago IL GO 7.781% 1/1/35 1,850 2,373
Chicago IL Metropolitan Water Reclamation        
District GO 5.720% 12/1/38 9,350 11,448
Chicago IL O'Hare International Airport        
Revenue 6.845% 1/1/38 1,450 1,634
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 1,500 1,812
Chicago IL Transit Authority Sales Tax        
Receipts Revenue 6.200% 12/1/40 2,850 3,296
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 8,125 9,686
Chicago IL Wastewater Transmission        
Revenue 6.900% 1/1/40 1,700 2,262
Chicago IL Water Revenue 6.742% 11/1/40 2,150 2,817
Clark County NV Airport Revenue 6.881% 7/1/42 1,475 1,623
Commonwealth Financing Authority        
Pennsylvania Revenue 6.218% 6/1/39 6,375 7,478
Connecticut GO 5.090% 10/1/30 8,600 9,174
Connecticut GO 5.850% 3/15/32 5,375 6,518
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 5.459% 11/1/30 3,300 3,865
Cook County IL GO 6.229% 11/15/34 1,950 2,285

 

 

Curators of the University of Missouri System        
Facilities Revenue 5.960% 11/1/39 3,000 3,790
Curators of the University of Missouri System        
Facilities Revenue 5.792% 11/1/41 3,000 3,734
Dallas County TX Hospital District Revenue 5.621% 8/15/44 2,100 2,612
Dallas TX Area Rapid Transit Revenue 4.922% 12/1/41 7,850 8,628
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 1,050 1,355
Dallas TX Area Rapid Transit Revenue 5.022% 12/1/48 4,700 5,322
Dallas TX Independent School District GO 6.450% 2/15/35 3,850 4,561
Denver CO City & County School District No.        
1 GO 5.664% 12/1/33 1,325 1,508
Denver CO Public Schools Revenue (City &        
County of Denver School District No. 1)        
COP 7.017% 12/15/37 2,100 2,667
District of Columbia Income Tax Revenue 5.591% 12/1/34 1,125 1,367
District of Columbia Income Tax Revenue 5.582% 12/1/35 1,600 1,995
East Baton Rouge LA Sewer Commission        
Revenue 6.087% 2/1/45 2,300 2,523
East Bay CA Municipal Utility District Water        
System Revenue 5.874% 6/1/40 2,100 2,609
Georgia GO 4.503% 11/1/25 5,900 6,666
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 8,175 8,877
Georgia Municipal Electric Power Authority        
Revenue 6.655% 4/1/57 5,980 6,349
Georgia Municipal Electric Power Authority        
Revenue 7.055% 4/1/57 3,425 3,571
Illinois GO 2.766% 1/1/12 9,600 9,649
Illinois GO 4.071% 1/1/14 9,600 9,885
Illinois GO 4.511% 3/1/15 11,650 12,164
Illinois GO 5.365% 3/1/17 6,750 7,125
Illinois GO 4.950% 6/1/23 13,275 13,279
Illinois GO 5.100% 6/1/33 42,199 38,763
Illinois GO 6.630% 2/1/35 2,800 2,961
Illinois GO 6.725% 4/1/35 5,275 5,602
Illinois GO 7.350% 7/1/35 550 627
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 880 1,031
Illinois Toll Highway Authority Revenue 5.851% 12/1/34 1,650 1,871
Indianapolis IN Local Public Improvement        
Revenue 6.116% 1/15/40 9,700 12,359
13 Kansas Development Finance Authority        
Revenue (Public Employees Retirement        
System) 5.501% 5/1/34 4,300 4,769
Kentucky Asset/Liability Commission General        
Fund Revenue 3.165% 4/1/18 800 815
Las Vegas Valley Water District Nevada GO 7.013% 6/1/39 1,700 2,222
Los Angeles CA Community College District        
GO 6.600% 8/1/42 5,325 7,038
Los Angeles CA Department of Water &        
Power Revenue 5.716% 7/1/39 2,000 2,337
Los Angeles CA Department of Water &        
Power Revenue 6.008% 7/1/39 6,350 7,485
Los Angeles CA Department of Water &        
Power Revenue 6.166% 7/1/40 1,550 1,690
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 3,400 4,386

 

 

Los Angeles CA Department of Water &        
Power Revenue 6.603% 7/1/50 350 474
Los Angeles CA Unified School District GO 5.750% 7/1/34 9,225 10,450
Los Angeles CA Unified School District GO 6.758% 7/1/34 2,525 3,180
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax        
Revenue 5.735% 6/1/39 5,200 6,164
Los Angeles County CA Public Works        
Financing Authority Lease Revenue 7.488% 8/1/33 4,300 5,347
Los Angeles County CA Public Works        
Financing Authority Lease Revenue 7.618% 8/1/40 2,250 2,853
Loudoun County VA Industrial Development        
Authority Revenue (Howard Hughes        
Medical Institute) 3.450% 9/1/14 4,050 4,322
Maryland Health & Higher Educational        
Facilities Authority Revenue (Johns        
Hopkins University) 5.250% 7/1/19 7,950 9,426
Maryland Transportation Authority Facilities        
Projects Revenue 5.888% 7/1/43 2,100 2,602
Massachusetts GO 4.200% 12/1/21 5,000 5,545
Massachusetts GO 4.500% 8/1/31 500 534
Massachusetts GO 5.456% 12/1/39 5,300 6,484
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.715% 8/15/39 2,550 3,166
Massachusetts Transportation Fund Revenue 5.731% 6/1/40 1,000 1,258
Massachusetts Water Pollution Abatement        
Trust 5.192% 8/1/40 2,825 3,326
Metropolitan Government of Nashville &        
Davidson County TN GO 5.707% 7/1/34 2,625 3,108
Metropolitan New York Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 10,955 15,501
Metropolitan New York Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 975 1,196
Metropolitan New York Transportation        
Authority Revenue (Transit Revenue) 6.548% 11/15/31 700 854
Metropolitan New York Transportation        
Authority Revenue (Transit Revenue) 5.871% 11/15/39 2,175 2,417
Metropolitan New York Transportation        
Authority Revenue (Transit Revenue) 6.648% 11/15/39 3,825 4,724
Metropolitan Washington DC/VA Airports        
Authority Dulles Toll Road Revenue 7.462% 10/1/46 1,375 1,598
Metropolitan Water District of Southern        
California Water Revenue 6.947% 7/1/40 1,650 1,916
Mississippi GO 5.245% 11/1/34 1,375 1,538
Missouri Highways & Transportation        
Commission Road Revenue 5.445% 5/1/33 1,650 1,924
New Hampshire Health & Educational        
Facilities Authority Revenue (Dartmouth        
College) 4.750% 6/1/19 1,185 1,360
14 New Jersey Economic Development Authority        
Revenue (State Pension Funding) 7.425% 2/15/29 9,750 12,007
New Jersey Educational Facilities Authority        
Revenue (Princeton University) 5.700% 3/1/39 3,625 4,881
New Jersey Transportation Trust Fund        
Authority Transportation System Revenue 5.754% 12/15/28 13,075 14,558
New Jersey Transportation Trust Fund        
Authority Transportation System Revenue 6.104% 12/15/28 3,500 3,839

 

 

  New Jersey Transportation Trust Fund        
  Authority Transportation System Revenue 6.561% 12/15/40 575 719
8 New Jersey Turnpike Authority Revenue 4.252% 1/1/16 200 217
8 New Jersey Turnpike Authority Revenue 4.252% 1/1/16 2,875 3,014
  New Jersey Turnpike Authority Revenue 7.414% 1/1/40 11,900 16,921
  New Jersey Turnpike Authority Revenue 7.102% 1/1/41 3,500 4,773
  New York City NY GO 6.246% 6/1/35 2,150 2,412
  New York City NY GO 5.968% 3/1/36 3,200 3,886
  New York City NY GO 5.985% 12/1/36 1,650 2,037
  New York City NY GO 5.517% 10/1/37 8,000 9,307
  New York City NY GO 5.846% 6/1/40 2,100 2,382
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.750% 6/15/41 1,400 1,780
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.724% 6/15/42 450 552
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.952% 6/15/42 2,900 3,671
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 6.011% 6/15/42 1,050 1,392
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.440% 6/15/43 4,400 5,238
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.882% 6/15/44 16,645 20,832
  New York City NY Transitional Finance        
  Authority Building Aid Revenue 6.828% 7/15/40 6,300 8,396
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.767% 8/1/36 2,125 2,501
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.508% 8/1/37 8,950 10,673
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.500% 3/15/30 6,900 8,034
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.289% 3/15/33 3,150 3,574
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.628% 3/15/39 2,000 2,437
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.389% 3/15/40 1,425 1,617
  New York State Urban Development Corp.        
  Revenue (Personal Income Tax) 5.770% 3/15/39 5,675 6,766
  New York State Urban Development Corp.        
  Revenue (Personal Income Tax) 5.838% 3/15/40 1,600 1,954
  North Texas Tollway Authority System        
  Revenue 6.718% 1/1/49 3,050 3,894
  Ohio State University General Receipts        
  Revenue 4.910% 6/1/40 4,400 5,025
  Ohio Water Development Authority Water        
  Pollution Control Loan Fund Revenue 4.879% 12/1/34 2,550 2,801
  Orange County CA Local Transportation        
  Authority Sales Tax Revenue 6.908% 2/15/41 1,650 2,277
  Oregon Department Transportation Highway        
  Usertax Revenue 5.834% 11/15/34 2,425 3,016
  Oregon GO 5.762% 6/1/23 1,950 2,412
  Oregon GO 5.892% 6/1/27 2,725 3,207
8 Oregon School Boards Association GO 4.759% 6/30/28 2,075 2,056
13 Oregon School Boards Association GO 5.528% 6/30/28 1,200 1,311
  Pennsylvania GO 4.650% 2/15/26 2,875 3,281
  Pennsylvania GO 5.350% 5/1/30 7,400 8,205

 

 

Pennsylvania Public School Building Authority        
Lease Revenue (School District of        
Philadelphia) 5.000% 9/15/27 2,600 2,831
Pennsylvania Turnpike Commission Revenue 6.105% 12/1/39 400 490
Pennsylvania Turnpike Commission Revenue 5.511% 12/1/45 1,450 1,674
Pennsylvania Turnpike Commission Revenue 5.561% 12/1/49 1,475 1,691
Port Authority of New York & New Jersey        
Revenue 6.040% 12/1/29 2,550 3,105
Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 11,550 13,519
Puerto Rico Government Development Bank        
GO 3.670% 5/1/14 4,000 4,102
Puerto Rico Government Development Bank        
GO 4.704% 5/1/16 3,450 3,621
Regional Transportation District of Colorado        
Sales Tax Revenue 5.844% 11/1/50 3,500 4,526
Rutgers State University NJ Revenue 5.665% 5/1/40 1,850 2,222
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 4.839% 1/1/41 1,900 2,073
San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 4,325 5,482
San Antonio TX Electric & Gas Systems        
Revenue 5.718% 2/1/41 2,725 3,303
San Antonio TX Electric & Gas Systems        
Revenue 5.808% 2/1/41 4,650 5,767
San Diego County CA Water Authority        
Revenue 6.138% 5/1/49 2,320 2,929
San Francisco CA City & County Public Utility        
Commission Water Revenue 6.000% 11/1/40 4,950 5,857
Santa Clara Valley CA Transportation        
Authority Sales Tax Revenue 5.876% 4/1/32 8,900 10,744
South Carolina Public Service Authority        
Revenue 6.454% 1/1/50 2,000 2,660
Texas GO 5.517% 4/1/39 4,000 5,022
Texas Transportation Commission Revenue 5.028% 4/1/26 2,100 2,516
Texas Transportation Commission Revenue 5.178% 4/1/30 2,025 2,326
Texas Transportation Commission Revenue 4.631% 4/1/33 6,450 7,208
Texas Transportation Commission Revenue 4.681% 4/1/40 2,750 3,078
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 3,950 4,734
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 2,575 3,095
University of California Revenue 0.887% 7/1/13 1,250 1,252
University of California Revenue 6.270% 5/15/31 500 552
University of California Revenue 5.770% 5/15/43 2,000 2,317
University of California Revenue 5.946% 5/15/45 13,100 15,010
University of Massachusetts Building Authority        
Revenue 5.450% 11/1/40 1,700 1,997
University of Southern California 5.250% 10/1/11 3,900 4,463
University of Virginia Revenue 6.200% 9/1/39 3,000 4,091
Utah GO 4.554% 7/1/24 2,425 2,844
Utah GO 3.539% 7/1/25 6,300 6,695
Utah Transit Authority Sales Tax Revenue 5.937% 6/15/39 400 537
Washington Convention Center Public        
Facilities District Revenue 6.790% 7/1/40 400 494
Washington GO 5.090% 8/1/33 9,025 10,165
Washington GO 5.481% 8/1/39 770 953

 

 

Washington GO 5.140% 8/1/40 5,800 6,706
13 Wisconsin GO 4.800% 5/1/13 2,525 2,676
13 Wisconsin GO 5.700% 5/1/26 2,800 3,240
Total Taxable Municipal Bonds (Cost $822,853)       951,952
      Shares  
Temporary Cash Investment (3.6%)        
Money Market Fund (3.6%)        
15 Vanguard Market Liquidity Fund        
(Cost $3,425,614) 0.144%   3,425,614,251 3,425,614
Total Investments (103.0%) (Cost $92,452,307)       98,626,518
Other Assets and Liabilities-Net (-3.0%)       (2,850,833)
Net Assets (100%)       95,775,685

 

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 Guaranteed by the National Credit Union Administration.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interimprincipal payments and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2011.
6 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, 2011, the aggregate value of these securities was $330,667,000, representing 0.3% of net assets.
7 Adjustable-rate security.
8 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
9 Non-income-producing security--security in default.
10 Guaranteed by the Government of Japan.
11 Guaranteed by the Federal Republic of Germany.
12 Guaranteed by the Republic of Austria.
13 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
14 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
COP—Certificate of Participation.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

 

Total Bond Market Index Fund

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

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

The following table summarizes the fund's investments as of September 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 67,537,180 —
Asset-Backed/Commercial Mortgage-Backed Securities — 2,657,225 —
Corporate Bonds — 19,741,480 3
Sovereign Bonds — 4,313,064 —
Taxable Municipal Bonds — 951,952 —
Temporary Cash Investments 3,425,614 — —
Total 3,425,614 95,200,901 3

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended September 30, 2011. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Corporate Bonds
Amount Valued Based on Level 3 Inputs ($000)
Balance as of December 31, 2010 29
Change in Unrealized Appreciation (Depreciation) (26)
Balance as of September 30, 2011 3

 

C. At September 30, 2011, the cost of investment securities for tax purposes was $92,452,307,000. Net unrealized appreciation of investment securities for tax purposes was $6,174,211,000, consisting of unrealized gains of $6,354,960,000 on securities that had risen in value since their purchase and $180,749,000 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, 2011

      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 0.625% 4/15/13 495,000 538,598
United States Treasury Inflation Indexed Bonds 1.875% 7/15/13 1,126,875 1,450,685
United States Treasury Inflation Indexed Bonds 2.000% 1/15/14 1,530,000 1,985,596
United States Treasury Inflation Indexed Bonds 1.250% 4/15/14 964,000 1,077,652
United States Treasury Inflation Indexed Bonds 2.000% 7/15/14 952,845 1,228,039
United States Treasury Inflation Indexed Bonds 1.625% 1/15/15 847,215 1,078,060
United States Treasury Inflation Indexed Bonds 0.500% 4/15/15 1,404,600 1,522,867
United States Treasury Inflation Indexed Bonds 1.875% 7/15/15 671,725 856,272
United States Treasury Inflation Indexed Bonds 2.000% 1/15/16 546,750 691,399
United States Treasury Inflation Indexed Bonds 0.125% 4/15/16 1,712,000 1,809,215
United States Treasury Inflation Indexed Bonds 2.500% 7/15/16 428,425 550,418
United States Treasury Inflation Indexed Bonds 2.375% 1/15/17 700,525 902,267
United States Treasury Inflation Indexed Bonds 2.625% 7/15/17 1,324,025 1,699,894
United States Treasury Inflation Indexed Bonds 1.625% 1/15/18 905,600 1,093,186
United States Treasury Inflation Indexed Bonds 1.375% 7/15/18 986,500 1,145,933
United States Treasury Inflation Indexed Bonds 2.125% 1/15/19 496,600 609,025
United States Treasury Inflation Indexed Bonds 1.875% 7/15/19 704,950 859,069
United States Treasury Inflation Indexed Bonds 1.375% 1/15/20 873,000 1,015,805
United States Treasury Inflation Indexed Bonds 1.250% 7/15/20 821,100 939,652
United States Treasury Inflation Indexed Bonds 1.125% 1/15/21 1,786,000 2,014,574
United States Treasury Inflation Indexed Bonds 0.625% 7/15/21 1,262,000 1,321,347
United States Treasury Inflation Indexed Bonds 2.375% 1/15/25 1,213,770 1,797,768
United States Treasury Inflation Indexed Bonds 2.000% 1/15/26 1,141,698 1,545,074
United States Treasury Inflation Indexed Bonds 2.375% 1/15/27 1,127,389 1,579,941
United States Treasury Inflation Indexed Bonds 1.750% 1/15/28 832,125 1,039,964
United States Treasury Inflation Indexed Bonds 3.625% 4/15/28 663,890 1,334,351
United States Treasury Inflation Indexed Bonds 2.500% 1/15/29 657,700 888,455
United States Treasury Inflation Indexed Bonds 3.875% 4/15/29 924,200 1,911,121
United States Treasury Inflation Indexed Bonds 3.375% 4/15/32 28,500 53,522
United States Treasury Inflation Indexed Bonds 2.125% 2/15/40 589,130 784,078
United States Treasury Inflation Indexed Bonds 2.125% 2/15/41 923,500 1,219,788
Total U.S. Government and Agency Obligations (Cost $32,649,769)     36,543,615
        Market
        Value
  Coupon   Shares ($000)
Temporary Cash Investment (0.0%)        
Money Market Fund (0.0%)        
Vanguard Market Liquidity Fund (Cost $12,054) 0.144%   12,053,801 12,054
 
Total Investments (99.6%) (Cost $32,661,823)       36,555,669
Other Assets and Liabilities-Net (0.4%)       158,325
Net Assets (100%)       36,713,994
1 Securities with a value of $7,497,000 have been segregated as initial margin for open futures contracts.

 

 

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, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short)   (Depreciation)
10-Year U.S. Treasury Note December 2011 2,871 373,499 (82)
2-Year U.S. Treasury Note December 2011 (968) (213,156) 327
30-Year U.S. Treasury Bond December 2011 (1,428) (203,669) 20
5-Year U.S. Treasury Note December 2011 (9) (1,102) 1

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

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

The following table summarizes the fund's investments as of September 30, 2011, based on the inputs used to value them:

 

Inflation-Protected Securities Fund

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 36,543,615 —
Temporary Cash Investments 12,054 — —
Futures Contracts—Assets1 450 — —
Futures Contracts—Liabilities1 (784)    
Total 11,720 36,543,615 —
1 Represents variation margin on the last day of the reporting period.      

 

At September 30, 2011, the cost of investment securities for tax purposes was $32,751,494,000. Net unrealized depreciation of investment securities for tax purposes was $3,804,175,000, consisting entirely of 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, 2011

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (69.9%)        
U.S. Government Securities (36.5%)        
United States Treasury Note/Bond 1.750% 8/15/12 169,550 171,854
United States Treasury Note/Bond 0.375% 8/31/12 51,075 51,163
United States Treasury Note/Bond 4.125% 8/31/12 500 518
United States Treasury Note/Bond 1.375% 9/15/12 385,175 389,447
United States Treasury Note/Bond 0.375% 9/30/12 72,300 72,436
United States Treasury Note/Bond 4.250% 9/30/12 1,400 1,456
United States Treasury Note/Bond 1.375% 10/15/12 178,265 180,438
United States Treasury Note/Bond 3.875% 10/31/12 12,994 13,508
United States Treasury Note/Bond 4.000% 11/15/12 258,700 269,615
United States Treasury Note/Bond 0.500% 11/30/12 27,125 27,222
United States Treasury Note/Bond 3.375% 11/30/12 9,020 9,350
United States Treasury Note/Bond 1.125% 12/15/12 22,835 23,085
United States Treasury Note/Bond 1.375% 1/15/13 18,100 18,363
United States Treasury Note/Bond 3.875% 2/15/13 18,275 19,177
United States Treasury Note/Bond 0.625% 2/28/13 27,425 27,579
United States Treasury Note/Bond 2.750% 2/28/13 106,700 110,434
United States Treasury Note/Bond 1.375% 3/15/13 7,485 7,608
United States Treasury Note/Bond 0.750% 3/31/13 110,255 111,116
United States Treasury Note/Bond 1.750% 4/15/13 114,025 116,609
United States Treasury Note/Bond 0.625% 4/30/13 253,575 255,081
United States Treasury Note/Bond 1.375% 5/15/13 259,275 263,893
United States Treasury Note/Bond 0.500% 5/31/13 9,095 9,135
United States Treasury Note/Bond 3.500% 5/31/13 16,300 17,171
United States Treasury Note/Bond 1.125% 6/15/13 36,950 37,481
United States Treasury Note/Bond 0.375% 6/30/13 76,905 77,073
United States Treasury Note/Bond 3.375% 6/30/13 31,200 32,892
United States Treasury Note/Bond 0.375% 7/31/13 70,865 71,020
United States Treasury Note/Bond 3.375% 7/31/13 4,225 4,464
United States Treasury Note/Bond 0.750% 8/15/13 328,275 331,147
United States Treasury Note/Bond 4.250% 8/15/13 46,275 49,688
United States Treasury Note/Bond 0.125% 8/31/13 301,725 300,971
United States Treasury Note/Bond 3.125% 8/31/13 90,225 95,103
United States Treasury Note/Bond 0.750% 9/15/13 171,000 172,524
United States Treasury Note/Bond 0.125% 9/30/13 35,400 35,311
United States Treasury Note/Bond 3.125% 9/30/13 43,450 45,901
United States Treasury Note/Bond 0.500% 10/15/13 71,325 71,604
United States Treasury Note/Bond 4.250% 11/15/13 10,800 11,696
United States Treasury Note/Bond 2.000% 11/30/13 28,250 29,270
United States Treasury Note/Bond 0.750% 12/15/13 750 757
United States Treasury Note/Bond 1.500% 12/31/13 13,735 14,100
United States Treasury Note/Bond 1.000% 1/15/14 2,550 2,588
United States Treasury Note/Bond 1.750% 1/31/14 12,550 12,960
United States Treasury Note/Bond 1.250% 2/15/14 3,700 3,779
United States Treasury Note/Bond 1.875% 2/28/14 109,550 113,504
United States Treasury Note/Bond 1.250% 3/15/14 138,635 141,646
United States Treasury Note/Bond 1.750% 3/31/14 122,300 126,485
United States Treasury Note/Bond 1.250% 4/15/14 274,185 280,225
United States Treasury Note/Bond 1.875% 4/30/14 113,325 117,663
United States Treasury Note/Bond 1.000% 5/15/14 121,290 123,204

 

 

United States Treasury Note/Bond 4.750% 5/15/14 50,400 56,133
United States Treasury Note/Bond 2.250% 5/31/14 89,650 94,048
United States Treasury Note/Bond 0.750% 6/15/14 337,300 340,673
United States Treasury Note/Bond 2.625% 6/30/14 109,150 115,784
United States Treasury Note/Bond 0.625% 7/15/14 267,900 269,617
United States Treasury Note/Bond 2.625% 7/31/14 37,125 39,434
United States Treasury Note/Bond 0.500% 8/15/14 226,600 227,273
United States Treasury Note/Bond 4.250% 8/15/14 94,225 104,545
United States Treasury Note/Bond 2.375% 8/31/14 81,800 86,427
United States Treasury Note/Bond 0.250% 9/15/14 65,000 64,706
United States Treasury Note/Bond 2.375% 9/30/14 27,450 29,037
United States Treasury Note/Bond 2.375% 10/31/14 162,250 171,808
United States Treasury Note/Bond 2.125% 11/30/14 228,050 239,881
United States Treasury Note/Bond 2.625% 12/31/14 280,025 299,232
United States Treasury Note/Bond 2.250% 1/31/15 67,400 71,275
United States Treasury Note/Bond 4.000% 2/15/15 7,895 8,809
United States Treasury Note/Bond 11.250% 2/15/15 12,075 16,401
United States Treasury Note/Bond 2.375% 2/28/15 1,000 1,062
United States Treasury Note/Bond 4.125% 5/15/15 125,700 141,649
United States Treasury Note/Bond 2.125% 5/31/15 22,400 23,646
United States Treasury Note/Bond 1.875% 6/30/15 21,250 22,243
United States Treasury Note/Bond 10.625% 8/15/15 1,775 2,454
United States Treasury Note/Bond 1.250% 10/31/15 1,685 1,722
United States Treasury Note/Bond 4.500% 11/15/15 3,125 3,606
United States Treasury Note/Bond 9.875% 11/15/15 69,875 96,002
United States Treasury Note/Bond 1.375% 11/30/15 425 436
United States Treasury Note/Bond 2.125% 12/31/15 3,265 3,454
United States Treasury Note/Bond 2.000% 1/31/16 2,115 2,225
United States Treasury Note/Bond 9.250% 2/15/16 2,000 2,732
United States Treasury Note/Bond 2.125% 2/29/16 9,406 9,951
United States Treasury Note/Bond 2.375% 3/31/16 44,800 47,880
United States Treasury Note/Bond 2.000% 4/30/16 25 26
United States Treasury Note/Bond 7.250% 5/15/16 3,075 3,973
United States Treasury Note/Bond 1.750% 5/31/16 1,425 1,483
United States Treasury Note/Bond 3.250% 5/31/16 3,050 3,386
United States Treasury Note/Bond 1.500% 6/30/16 51,150 52,605
United States Treasury Note/Bond 4.875% 8/15/16 625 744
United States Treasury Note/Bond 1.000% 8/31/16 1,200 1,204
United States Treasury Note/Bond 3.000% 8/31/16 99,375 109,297
United States Treasury Note/Bond 1.000% 9/30/16 42,700 42,800
United States Treasury Note/Bond 3.000% 9/30/16 82,950 91,245
United States Treasury Note/Bond 3.125% 10/31/16 315,950 349,719
United States Treasury Note/Bond 4.625% 11/15/16 850 1,005
United States Treasury Note/Bond 2.750% 11/30/16 249,165 271,278
United States Treasury Note/Bond 3.250% 12/31/16 270,775 301,746
United States Treasury Note/Bond 3.125% 1/31/17 217,675 241,312
United States Treasury Note/Bond 4.625% 2/15/17 33,425 39,692
United States Treasury Note/Bond 3.000% 2/28/17 56,675 62,493
United States Treasury Note/Bond 3.250% 3/31/17 115,650 129,094
United States Treasury Note/Bond 3.125% 4/30/17 337,350 374,563
United States Treasury Note/Bond 4.500% 5/15/17 4,850 5,753
United States Treasury Note/Bond 8.750% 5/15/17 35,864 50,910
United States Treasury Note/Bond 2.750% 5/31/17 209,000 227,810
United States Treasury Note/Bond 2.500% 6/30/17 14,625 15,738
United States Treasury Note/Bond 2.375% 7/31/17 20,425 21,826
United States Treasury Note/Bond 8.875% 8/15/17 41,325 59,560
United States Treasury Note/Bond 1.875% 8/31/17 87,600 91,063
United States Treasury Note/Bond 1.875% 9/30/17 389,675 404,896

 

 

United States Treasury Note/Bond 4.250% 11/15/17 53,865 63,586
United States Treasury Note/Bond 2.625% 1/31/18 2,575 2,789
United States Treasury Note/Bond 2.625% 4/30/18 4,225 4,573
United States Treasury Note/Bond 9.125% 5/15/18 1,625 2,437
United States Treasury Note/Bond 2.375% 6/30/18 84,800 90,326
United States Treasury Note/Bond 2.250% 7/31/18 90,525 95,603
United States Treasury Note/Bond 4.000% 8/15/18 129,925 152,438
United States Treasury Note/Bond 1.500% 8/31/18 26,400 26,557
United States Treasury Note/Bond 1.375% 9/30/18 62,700 62,465
United States Treasury Note/Bond 3.750% 11/15/18 202,750 234,841
United States Treasury Note/Bond 3.125% 5/15/19 5,650 6,302
United States Treasury Note/Bond 3.625% 8/15/19 172,675 198,954
United States Treasury Note/Bond 8.125% 8/15/19 27,200 40,562
United States Treasury Note/Bond 3.375% 11/15/19 365,313 414,744
United States Treasury Note/Bond 3.625% 2/15/20 26,240 30,328
United States Treasury Note/Bond 3.500% 5/15/20 164,995 189,203
United States Treasury Note/Bond 8.750% 5/15/20 25 39
United States Treasury Note/Bond 2.625% 8/15/20 45,420 48,713
United States Treasury Note/Bond 8.750% 8/15/20 110,680 174,978
United States Treasury Note/Bond 2.625% 11/15/20 8,870 9,496
United States Treasury Note/Bond 7.875% 2/15/21 70,550 107,776
United States Treasury Note/Bond 3.125% 5/15/21 244,295 271,588
United States Treasury Note/Bond 8.125% 5/15/21 3,350 5,220
United States Treasury Note/Bond 2.125% 8/15/21 303,596 309,525
United States Treasury Note/Bond 8.125% 8/15/21 42,550 66,704
United States Treasury Note/Bond 8.000% 11/15/21 3,700 5,787
United States Treasury Note/Bond 7.250% 8/15/22 75 113
United States Treasury Note/Bond 7.625% 11/15/22 150 233
United States Treasury Note/Bond 7.125% 2/15/23 2,675 4,043
United States Treasury Note/Bond 6.250% 8/15/23 226,175 323,007
United States Treasury Note/Bond 6.875% 8/15/25 98,575 151,390
United States Treasury Note/Bond 6.750% 8/15/26 27,850 42,837
United States Treasury Note/Bond 6.500% 11/15/26 525 793
United States Treasury Note/Bond 6.625% 2/15/27 4,150 6,360
United States Treasury Note/Bond 6.375% 8/15/27 6,850 10,332
United States Treasury Note/Bond 6.125% 11/15/27 350 517
United States Treasury Note/Bond 5.500% 8/15/28 80,775 113,148
United States Treasury Note/Bond 5.250% 11/15/28 1,092 1,493
United States Treasury Note/Bond 5.250% 2/15/29 40,775 55,849
United States Treasury Note/Bond 6.125% 8/15/29 73,800 110,942
United States Treasury Note/Bond 5.375% 2/15/31 82,375 116,265
United States Treasury Note/Bond 4.750% 2/15/37 160,125 215,844
United States Treasury Note/Bond 4.375% 2/15/38 85,500 109,561
United States Treasury Note/Bond 4.500% 5/15/38 39,200 51,223
United States Treasury Note/Bond 3.500% 2/15/39 25,390 28,322
United States Treasury Note/Bond 4.250% 5/15/39 1,550 1,957
United States Treasury Note/Bond 4.500% 8/15/39 67,241 88,285
United States Treasury Note/Bond 4.375% 11/15/39 133,905 172,654
United States Treasury Note/Bond 4.625% 2/15/40 81,805 109,632
United States Treasury Note/Bond 4.375% 5/15/40 108,445 139,996
United States Treasury Note/Bond 3.875% 8/15/40 53,910 64,246
United States Treasury Note/Bond 4.250% 11/15/40 91,837 116,503
United States Treasury Note/Bond 4.750% 2/15/41 311,707 427,428
United States Treasury Note/Bond 4.375% 5/15/41 91,545 118,651
United States Treasury Note/Bond 3.750% 8/15/41 30,000 35,062
        15,250,900

 

 

Agency Bonds and Notes (5.2%)        
1 Ally Financial Inc. 1.750% 10/30/12 10,000 10,156
1 Ally Financial Inc. 2.200% 12/19/12 5,725 5,851
1 Citibank NA 1.750% 12/28/12 15,950 16,222
1 Citigroup Funding Inc. 1.875% 10/22/12 6,563 6,672
1 Citigroup Funding Inc. 2.250% 12/10/12 1,750 1,789
Egypt Government AID Bonds 4.450% 9/15/15 5,725 6,467
2 Federal Agricultural Mortgage Corp. 1.250% 12/6/13 2,075 2,101
2 Federal Agricultural Mortgage Corp. 2.125% 9/15/15 1,050 1,093
2 Federal Agricultural Mortgage Corp. 2.000% 7/27/16 1,800 1,837
2 Federal Farm Credit Bank 4.500% 10/17/12 4,725 4,933
2 Federal Farm Credit Bank 1.875% 12/7/12 3,525 3,588
2 Federal Farm Credit Bank 1.750% 2/21/13 3,500 3,567
2 Federal Farm Credit Bank 1.375% 6/25/13 2,500 2,543
2 Federal Farm Credit Bank 3.875% 10/7/13 3,250 3,471
2 Federal Farm Credit Bank 1.125% 2/27/14 5,650 5,723
2 Federal Farm Credit Bank 2.625% 4/17/14 27,442 28,837
2 Federal Farm Credit Bank 3.000% 9/22/14 4,150 4,431
2 Federal Farm Credit Bank 1.625% 11/19/14 3,775 3,878
2 Federal Farm Credit Bank 1.500% 11/16/15 3,000 3,060
2 Federal Farm Credit Bank 4.875% 12/16/15 425 492
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 3,220
2 Federal Farm Credit Bank 5.150% 11/15/19 5,325 6,484
2 Federal Home Loan Bank of Chicago 5.625% 6/13/16 825 930
2 Federal Home Loan Banks 1.750% 12/14/12 6,200 6,304
2 Federal Home Loan Banks 1.500% 1/16/13 19,300 19,587
2 Federal Home Loan Banks 1.625% 3/20/13 26,425 26,908
2 Federal Home Loan Banks 1.000% 3/27/13 59,725 60,289
2 Federal Home Loan Banks 3.875% 6/14/13 1,425 1,509
2 Federal Home Loan Banks 5.375% 6/14/13 3,850 4,171
2 Federal Home Loan Banks 1.875% 6/21/13 111,235 114,018
2 Federal Home Loan Banks 5.125% 8/14/13 2,480 2,697
2 Federal Home Loan Banks 4.000% 9/6/13 9,175 9,802
2 Federal Home Loan Banks 5.250% 9/13/13 4,450 4,862
2 Federal Home Loan Banks 4.500% 9/16/13 6,575 7,095
2 Federal Home Loan Banks 3.625% 10/18/13 5,000 5,322
2 Federal Home Loan Banks 4.875% 11/27/13 6,475 7,086
2 Federal Home Loan Banks 3.125% 12/13/13 2,675 2,827
2 Federal Home Loan Banks 0.875% 12/27/13 15,000 15,131
2 Federal Home Loan Banks 1.375% 5/28/14 11,600 11,844
2 Federal Home Loan Banks 2.500% 6/13/14 4,975 5,221
2 Federal Home Loan Banks 5.500% 8/13/14 9,675 11,016
2 Federal Home Loan Banks 4.500% 11/14/14 4,650 5,190
2 Federal Home Loan Banks 2.750% 12/12/14 22,925 24,387
2 Federal Home Loan Banks 3.125% 3/11/16 16,175 17,523
2 Federal Home Loan Banks 5.375% 5/18/16 18,800 22,394
2 Federal Home Loan Banks 5.125% 10/19/16 9,725 11,524
2 Federal Home Loan Banks 4.750% 12/16/16 10,800 12,644
2 Federal Home Loan Banks 4.875% 5/17/17 10,500 12,452
2 Federal Home Loan Banks 5.000% 11/17/17 7,850 9,420
2 Federal Home Loan Banks 5.375% 8/15/18 5,250 6,430
2 Federal Home Loan Banks 4.125% 3/13/20 16,780 19,136
2 Federal Home Loan Banks 5.250% 12/11/20 5,000 6,138
2 Federal Home Loan Banks 5.625% 6/11/21 5,275 6,661
2 Federal Home Loan Banks 5.375% 8/15/24 400 502
2 Federal Home Loan Banks 5.500% 7/15/36 7,225 9,447
2 Federal Home Loan Mortgage Corp. 4.625% 10/25/12 10,400 10,881

 

 

2 Federal Home Loan Mortgage Corp. 0.375% 11/30/12 8,000 8,007
2 Federal Home Loan Mortgage Corp. 0.625% 12/28/12 24,275 24,362
2 Federal Home Loan Mortgage Corp. 0.750% 12/28/12 50,000 50,244
2 Federal Home Loan Mortgage Corp. 1.375% 1/9/13 9,200 9,319
2 Federal Home Loan Mortgage Corp. 0.750% 3/28/13 50,000 50,296
2 Federal Home Loan Mortgage Corp. 3.750% 6/28/13 3,900 4,127
2 Federal Home Loan Mortgage Corp. 4.500% 7/15/13 5,475 5,873
2 Federal Home Loan Mortgage Corp. 4.125% 9/27/13 14,825 15,905
2 Federal Home Loan Mortgage Corp. 0.875% 10/28/13 4,500 4,542
2 Federal Home Loan Mortgage Corp. 0.375% 10/30/13 15,000 14,973
2 Federal Home Loan Mortgage Corp. 4.875% 11/15/13 16,250 17,763
2 Federal Home Loan Mortgage Corp. 2.500% 1/7/14 2,000 2,090
2 Federal Home Loan Mortgage Corp. 4.500% 1/15/14 19,525 21,295
2 Federal Home Loan Mortgage Corp. 1.375% 2/25/14 33,025 33,672
2 Federal Home Loan Mortgage Corp. 2.500% 4/23/14 25,650 26,901
2 Federal Home Loan Mortgage Corp. 5.000% 7/15/14 16,275 18,251
2 Federal Home Loan Mortgage Corp. 3.000% 7/28/14 23,075 24,625
2 Federal Home Loan Mortgage Corp. 1.000% 7/30/14 12,000 12,126
2 Federal Home Loan Mortgage Corp. 1.000% 8/27/14 10,000 10,102
2 Federal Home Loan Mortgage Corp. 0.500% 9/19/14 5,950 5,921
2 Federal Home Loan Mortgage Corp. 0.000% 11/24/14 2,100 2,039
2 Federal Home Loan Mortgage Corp. 5.050% 1/26/15 5,400 6,156
2 Federal Home Loan Mortgage Corp. 2.875% 2/9/15 8,600 9,196
2 Federal Home Loan Mortgage Corp. 4.375% 7/17/15 30,000 33,869
2 Federal Home Loan Mortgage Corp. 1.750% 9/10/15 20,000 20,613
2 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 1,400 1,655
2 Federal Home Loan Mortgage Corp. 2.500% 5/27/16 29,725 31,520
2 Federal Home Loan Mortgage Corp. 5.500% 7/18/16 775 929
2 Federal Home Loan Mortgage Corp. 2.000% 8/25/16 12,400 12,845
2 Federal Home Loan Mortgage Corp. 5.125% 10/18/16 20,700 24,561
2 Federal Home Loan Mortgage Corp. 5.000% 2/16/17 12,175 14,419
2 Federal Home Loan Mortgage Corp. 5.000% 4/18/17 5,000 5,930
2 Federal Home Loan Mortgage Corp. 5.500% 8/23/17 11,550 14,107
2 Federal Home Loan Mortgage Corp. 5.125% 11/17/17 7,125 8,574
2 Federal Home Loan Mortgage Corp. 4.875% 6/13/18 7,025 8,395
2 Federal Home Loan Mortgage Corp. 3.750% 3/27/19 32,850 37,116
2 Federal Home Loan Mortgage Corp. 6.750% 9/15/29 3,625 5,409
2 Federal Home Loan Mortgage Corp. 6.750% 3/15/31 16,050 24,249
2 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 6,700 9,744
2 Federal National Mortgage Assn. 0.500% 10/30/12 50,000 50,132
2 Federal National Mortgage Assn. 0.375% 12/28/12 5,200 5,203
2 Federal National Mortgage Assn. 3.625% 2/12/13 9,750 10,181
2 Federal National Mortgage Assn. 4.750% 2/21/13 2,525 2,677
2 Federal National Mortgage Assn. 0.750% 2/26/13 42,400 42,636
2 Federal National Mortgage Assn. 4.375% 3/15/13 3,450 3,649
2 Federal National Mortgage Assn. 4.625% 5/1/13 8,650 9,193
2 Federal National Mortgage Assn. 1.750% 5/7/13 24,750 25,288
2 Federal National Mortgage Assn. 3.875% 7/12/13 6,050 6,422
2 Federal National Mortgage Assn. 0.500% 8/9/13 22,100 22,132
2 Federal National Mortgage Assn. 1.250% 8/20/13 31,400 31,887
2 Federal National Mortgage Assn. 4.625% 10/15/13 12,625 13,688
2 Federal National Mortgage Assn. 2.875% 12/11/13 8,775 9,234
2 Federal National Mortgage Assn. 0.750% 12/18/13 35,750 35,961
2 Federal National Mortgage Assn. 5.125% 1/2/14 1,175 1,286
2 Federal National Mortgage Assn. 2.750% 2/5/14 12,850 13,518
2 Federal National Mortgage Assn. 1.250% 2/27/14 15,000 15,250
2 Federal National Mortgage Assn. 2.750% 3/13/14 17,425 18,345
2 Federal National Mortgage Assn. 4.125% 4/15/14 35,025 38,139

 

 

2 Federal National Mortgage Assn. 2.500% 5/15/14 58,825 61,731
2 Federal National Mortgage Assn. 1.125% 6/27/14 6,050 6,134
2 Federal National Mortgage Assn. 0.875% 8/28/14 25,150 25,316
2 Federal National Mortgage Assn. 3.000% 9/16/14 9,075 9,697
2 Federal National Mortgage Assn. 4.625% 10/15/14 16,100 18,006
2 Federal National Mortgage Assn. 2.625% 11/20/14 18,775 19,889
2 Federal National Mortgage Assn. 5.000% 4/15/15 5,450 6,245
2 Federal National Mortgage Assn. 2.375% 7/28/15 5,525 5,829
2 Federal National Mortgage Assn. 4.375% 10/15/15 22,325 25,313
2 Federal National Mortgage Assn. 1.625% 10/26/15 77,975 79,937
2 Federal National Mortgage Assn. 5.000% 3/15/16 12,025 14,049
2 Federal National Mortgage Assn. 2.375% 4/11/16 27,250 28,739
2 Federal National Mortgage Assn. 5.250% 9/15/16 12,450 14,825
2 Federal National Mortgage Assn. 1.250% 9/28/16 14,375 14,360
2 Federal National Mortgage Assn. 4.875% 12/15/16 8,100 9,537
2 Federal National Mortgage Assn. 5.000% 2/13/17 28,600 33,864
2 Federal National Mortgage Assn. 5.000% 5/11/17 11,275 13,401
2 Federal National Mortgage Assn. 5.375% 6/12/17 2,800 3,386
2 Federal National Mortgage Assn. 0.000% 10/9/19 625 473
2 Federal National Mortgage Assn. 6.250% 5/15/29 5,550 7,889
2 Federal National Mortgage Assn. 7.125% 1/15/30 7,925 12,290
2 Federal National Mortgage Assn. 7.250% 5/15/30 10,200 16,034
2 Federal National Mortgage Assn. 6.625% 11/15/30 1,900 2,828
2 Federal National Mortgage Assn. 5.625% 7/15/37 3,246 4,431
2 Financing Corp. Fico 9.800% 4/6/18 850 1,261
2 Financing Corp. Fico 10.350% 8/3/18 100 154
2 Financing Corp. Fico 9.650% 11/2/18 2,375 3,547
2 Financing Corp. Fico 9.700% 4/5/19 425 649
1 General Electric Capital Corp. 2.125% 12/21/12 5,975 6,104
1 General Electric Capital Corp. 2.625% 12/28/12 4,450 4,575
Israel Government AID Bond 5.500% 12/4/23 1,050 1,338
Israel Government AID Bond 5.500% 4/26/24 6,200 7,931
1 JPMorgan Chase & Co. 2.125% 12/26/12 9,000 9,194
Private Export Funding Corp. 3.050% 10/15/14 4,000 4,262
Private Export Funding Corp. 2.250% 12/15/17 1,775 1,822
Private Export Funding Corp. 4.375% 3/15/19 3,217 3,718
Private Export Funding Corp. 4.300% 12/15/21 1,535 1,762
Private Export Funding Corp. 2.800% 5/15/22 1,125 1,126
Resolution Funding Corp. 8.125% 10/15/19 100 144
Resolution Funding Corp. 8.875% 7/15/20 100 152
2 Tennessee Valley Authority 6.000% 3/15/13 6,000 6,487
2 Tennessee Valley Authority 5.500% 7/18/17 6,400 7,747
2 Tennessee Valley Authority 4.500% 4/1/18 2,050 2,386
2 Tennessee Valley Authority 3.875% 2/15/21 4,575 5,147
2 Tennessee Valley Authority 6.750% 11/1/25 550 773
2 Tennessee Valley Authority 7.125% 5/1/30 8,975 13,827
2 Tennessee Valley Authority 4.650% 6/15/35 1,425 1,669
2 Tennessee Valley Authority 5.880% 4/1/36 3,850 5,262
2 Tennessee Valley Authority 5.500% 6/15/38 850 1,120
2 Tennessee Valley Authority 5.250% 9/15/39 3,150 4,060
2 Tennessee Valley Authority 4.875% 1/15/48 14,075 17,522
2 Tennessee Valley Authority 5.375% 4/1/56 2,475 3,396
2 Tennessee Valley Authority 4.625% 9/15/60 1,550 1,873
3 US Central Federal Credit Union 1.900% 10/19/12 3,450 3,509
3 Western Corporate Federal Credit Union 1.750% 11/2/12 1,750 1,777
        2,166,904

 

 

Conventional Mortgage-Backed Securities (27.1%)        
2,4,5 Fannie Mae Pool 3.500% 10/1/25–4/1/41 340,365 354,348
2,4,5 Fannie Mae Pool 4.000% 11/1/11–10/1/41 911,059 958,784
2,4,5 Fannie Mae Pool 4.500% 11/1/11–10/1/41 942,817 1,003,479
2,4,5 Fannie Mae Pool 5.000% 3/1/17–10/1/41 907,762 980,947
2,4,5 Fannie Mae Pool 5.500% 9/1/14–11/1/41 801,399 875,488
2,4,5 Fannie Mae Pool 6.000% 9/1/13–11/1/41 580,234 639,325
2,4,5 Fannie Mae Pool 6.500% 4/1/16–10/1/41 194,744 215,956
2,4 Fannie Mae Pool 7.000% 9/1/14–12/1/38 53,497 61,550
2,4 Fannie Mae Pool 7.500% 7/1/30–12/1/32 569 669
2,4 Fannie Mae Pool 8.000% 12/1/29 65 76
2,4,5 Freddie Mac Gold Pool 3.500% 11/1/25–1/1/41 201,268 209,374
2,4,5 Freddie Mac Gold Pool 4.000% 2/1/12–10/1/41 566,792 595,455
2,4,5 Freddie Mac Gold Pool 4.500% 12/1/11–11/1/41 689,336 731,189
2,4,5 Freddie Mac Gold Pool 5.000% 10/1/11–4/1/41 617,078 664,227
2,4,5 Freddie Mac Gold Pool 5.500% 12/1/13–10/1/41 607,661 659,878
2,4,5 Freddie Mac Gold Pool 6.000% 4/1/13–11/1/41 367,351 403,842
2,4 Freddie Mac Gold Pool 6.500% 6/1/13–4/1/39 114,547 127,984
2,4 Freddie Mac Gold Pool 7.000% 6/1/15–12/1/38 29,209 33,755
2,4 Freddie Mac Gold Pool 7.500% 4/1/27–2/1/32 289 340
2,4 Freddie Mac Gold Pool 8.000% 1/1/27–11/1/31 348 410
2,4 Freddie Mac Gold Pool 8.500% 6/1/25 65 76
4 Ginnie Mae I Pool 3.500% 2/15/26–1/15/41 33,389 35,082
4 Ginnie Mae I Pool 4.000% 8/15/18–8/15/41 185,619 198,934
4,5 Ginnie Mae I Pool 4.500% 6/15/18–10/1/41 397,744 432,827
4,5 Ginnie Mae I Pool 5.000% 12/15/17–10/1/41 262,785 289,135
4,5 Ginnie Mae I Pool 5.500% 4/15/17–10/1/41 152,539 169,139
4,5 Ginnie Mae I Pool 6.000% 4/15/17–10/1/41 127,681 142,623
4 Ginnie Mae I Pool 6.500% 5/15/24–8/15/39 60,853 69,216
4 Ginnie Mae I Pool 7.000% 7/15/23–9/15/36 2,405 2,794
4 Ginnie Mae I Pool 7.500% 12/15/23 65 76
4 Ginnie Mae I Pool 8.000% 6/15/25–1/15/27 137 161
4 Ginnie Mae I Pool 9.000% 11/15/17–12/15/17 155 180
4,5 Ginnie Mae II Pool 4.000% 3/20/26–10/1/41 196,263 209,977
4,5 Ginnie Mae II Pool 4.500% 8/20/33–10/1/41 487,644 529,106
4,5 Ginnie Mae II Pool 5.000% 12/20/32–10/1/41 388,374 427,007
4 Ginnie Mae II Pool 5.500% 12/20/33–6/20/41 163,282 180,855
4 Ginnie Mae II Pool 6.000% 3/20/31–9/20/39 77,479 86,703
4 Ginnie Mae II Pool 6.500% 10/20/28–7/20/39 21,878 24,917
4 Ginnie Mae II Pool 7.000% 8/20/34–11/20/38 2,598 3,004
          11,318,888
Nonconventional Mortgage-Backed Securities (1.1%)        
2,4 Fannie Mae Pool 2.417% 12/1/35 1,917 2,020
2,4 Fannie Mae Pool 2.436% 2/1/36 1,221 1,246
2,4 Fannie Mae Pool 2.497% 5/1/35 1,249 1,319
2,4 Fannie Mae Pool 2.500% 2/1/36 1,446 1,470
2,4 Fannie Mae Pool 2.520% 12/1/35 4,010 4,218
2,4 Fannie Mae Pool 2.562% 1/1/35 1,561 1,651
2,4 Fannie Mae Pool 2.578% 10/1/40 6,399 6,611
2,4 Fannie Mae Pool 2.580% 12/1/40 6,981 7,206
2,4 Fannie Mae Pool 2.627% 9/1/34 618 648
2,4 Fannie Mae Pool 2.677% 4/1/36 4,294 4,616
2,4 Fannie Mae Pool 2.685% 11/1/33 959 1,024
2,4 Fannie Mae Pool 2.800% 8/1/35 2,970 3,032
2,4 Fannie Mae Pool 2.864% 3/1/41 7,177 7,460
2,4 Fannie Mae Pool 2.946% 10/1/36 1,027 1,102
2,4 Fannie Mae Pool 2.957% 12/1/40 4,789 4,964

 

 

2,4 Fannie Mae Pool 3.013% 3/1/41 3,261 3,401
2,4 Fannie Mae Pool 3.104% 12/1/40 5,122 5,345
2,4 Fannie Mae Pool 3.138% 2/1/41 4,164 4,351
2,4 Fannie Mae Pool 3.154% 2/1/41 6,487 6,743
2,4 Fannie Mae Pool 3.187% 12/1/40 6,716 7,019
2,4 Fannie Mae Pool 3.201% 8/1/40 5,136 5,367
2,4 Fannie Mae Pool 3.224% 9/1/40 6,234 6,513
2,4 Fannie Mae Pool 3.247% 10/1/40 12,153 12,707
2,4 Fannie Mae Pool 3.275% 11/1/40 5,822 6,088
2,4 Fannie Mae Pool 3.300% 1/1/40 3,244 3,391
2,4 Fannie Mae Pool 3.385% 5/1/40 3,257 3,413
2,4 Fannie Mae Pool 3.451% 12/1/39 6,728 7,040
2,4 Fannie Mae Pool 3.508% 5/1/40 3,027 3,178
2,4 Fannie Mae Pool 3.529% 3/1/40 12,677 13,303
2,4 Fannie Mae Pool 3.617% 4/1/41 5,813 6,056
2,4 Fannie Mae Pool 3.623% 11/1/39 2,616 2,745
2,4 Fannie Mae Pool 3.868% 12/1/35 2,343 2,484
2,4 Fannie Mae Pool 4.034% 7/1/35 1,388 1,448
2,4 Fannie Mae Pool 4.500% 11/1/34 4,791 5,076
2,4 Fannie Mae Pool 4.564% 8/1/37 7,373 7,722
2,4 Fannie Mae Pool 4.572% 8/1/35 1,754 1,862
2,4 Fannie Mae Pool 4.853% 7/1/38 837 899
2,4 Fannie Mae Pool 5.010% 12/1/33 754 803
2,4 Fannie Mae Pool 5.027% 11/1/33 481 512
2,4 Fannie Mae Pool 5.056% 3/1/38 3,847 4,168
2,4 Fannie Mae Pool 5.061% 3/1/37 1,929 2,064
2,4 Fannie Mae Pool 5.127% 8/1/38 149 162
2,4 Fannie Mae Pool 5.266% 7/1/38 221 240
2,4 Fannie Mae Pool 5.360% 12/1/35 1,444 1,579
2,4 Fannie Mae Pool 5.405% 1/1/37 1,182 1,277
2,4 Fannie Mae Pool 5.484% 3/1/37 1,200 1,253
2,4 Fannie Mae Pool 5.546% 4/1/37 228 244
2,4 Fannie Mae Pool 5.572% 2/1/37 1,891 1,960
2,4 Fannie Mae Pool 5.582% 5/1/36 708 769
2,4 Fannie Mae Pool 5.646% 3/1/37 1,074 1,112
2,4 Fannie Mae Pool 5.655% 3/1/37 4,906 5,094
2,4 Fannie Mae Pool 5.680% 6/1/37 893 962
2,4 Fannie Mae Pool 5.682% 4/1/37 2,201 2,310
2,4 Fannie Mae Pool 5.709% 4/1/37 2,919 3,165
2,4 Fannie Mae Pool 5.731% 12/1/37 4,364 4,860
2,4 Fannie Mae Pool 5.736% 2/1/37 1,161 1,232
2,4 Fannie Mae Pool 5.884% 8/1/37 1,813 1,909
2,4 Fannie Mae Pool 5.894% 11/1/36 1,186 1,277
2,4 Fannie Mae Pool 5.913% 6/1/36 278 297
2,4 Fannie Mae Pool 5.917% 10/1/37 1,704 1,848
2,4 Fannie Mae Pool 5.921% 4/1/36 900 959
2,4 Fannie Mae Pool 6.259% 9/1/37 2,873 3,046
2,4 Freddie Mac Non Gold Pool 2.109% 1/1/37 1,336 1,400
2,4 Freddie Mac Non Gold Pool 2.477% 1/1/35 147 157
2,4 Freddie Mac Non Gold Pool 2.487% 12/1/34 2,569 2,696
2,4 Freddie Mac Non Gold Pool 2.507% 3/1/36 2,351 2,490
2,4 Freddie Mac Non Gold Pool 2.515% 4/1/35 95 101
2,4 Freddie Mac Non Gold Pool 2.563% 12/1/34 1,038 1,091
2,4 Freddie Mac Non Gold Pool 2.619% 6/1/37 1,483 1,579
2,4 Freddie Mac Non Gold Pool 2.635% 12/1/40 7,522 7,779
2,4 Freddie Mac Non Gold Pool 2.703% 12/1/40 14,039 14,538
2,4 Freddie Mac Non Gold Pool 2.780% 11/1/40 3,597 3,731
2,4 Freddie Mac Non Gold Pool 2.829% 1/1/41 8,102 8,360

 

 

2,4 Freddie Mac Non Gold Pool 2.983% 2/1/41 8,372 8,727
2,4 Freddie Mac Non Gold Pool 3.087% 3/1/41 4,367 4,559
2,4 Freddie Mac Non Gold Pool 3.155% 11/1/40 5,568 5,819
2,4 Freddie Mac Non Gold Pool 3.296% 6/1/40 3,188 3,336
2,4 Freddie Mac Non Gold Pool 3.335% 4/1/40 7,145 7,481
2,4 Freddie Mac Non Gold Pool 3.352% 5/1/40 2,557 2,680
2,4 Freddie Mac Non Gold Pool 3.450% 5/1/40 2,637 2,764
2,4 Freddie Mac Non Gold Pool 3.577% 6/1/40 4,468 4,696
2,4 Freddie Mac Non Gold Pool 3.603% 6/1/40 11,587 12,163
2,4 Freddie Mac Non Gold Pool 3.616% 1/1/40 3,852 4,042
2,4 Freddie Mac Non Gold Pool 3.672% 9/1/40 8,088 8,503
2,4 Freddie Mac Non Gold Pool 3.979% 3/1/40 8,220 8,668
2,4 Freddie Mac Non Gold Pool 4.608% 11/1/34 1,561 1,652
2,4 Freddie Mac Non Gold Pool 4.617% 7/1/35 1,011 1,083
2,4 Freddie Mac Non Gold Pool 4.725% 5/1/38 1,643 1,757
2,4 Freddie Mac Non Gold Pool 5.033% 7/1/38 2,090 2,244
2,4 Freddie Mac Non Gold Pool 5.044% 5/1/35 1,629 1,761
2,4 Freddie Mac Non Gold Pool 5.165% 12/1/36 1,860 1,926
2,4 Freddie Mac Non Gold Pool 5.253% 3/1/38 2,744 2,977
2,4 Freddie Mac Non Gold Pool 5.362% 12/1/35 1,391 1,459
2,4 Freddie Mac Non Gold Pool 5.413% 4/1/37 2,643 2,744
2,4 Freddie Mac Non Gold Pool 5.426% 3/1/37 1,549 1,629
2,4 Freddie Mac Non Gold Pool 5.506% 1/1/38 3,612 3,896
2,4 Freddie Mac Non Gold Pool 5.507% 2/1/36 1,341 1,454
2,4 Freddie Mac Non Gold Pool 5.543% 4/1/37 2,447 2,545
2,4 Freddie Mac Non Gold Pool 5.571% 4/1/37 1,683 1,808
2,4 Freddie Mac Non Gold Pool 5.636% 3/1/37 319 341
2,4 Freddie Mac Non Gold Pool 5.640% 3/1/37 3,491 3,652
2,4 Freddie Mac Non Gold Pool 5.699% 6/1/37 2,212 2,309
2,4 Freddie Mac Non Gold Pool 5.724% 11/1/36 752 800
2,4 Freddie Mac Non Gold Pool 5.727% 9/1/36 4,240 4,535
2,4 Freddie Mac Non Gold Pool 5.751% 5/1/36 2,002 2,125
2,4 Freddie Mac Non Gold Pool 5.785% 10/1/37 4,129 4,360
2,4 Freddie Mac Non Gold Pool 5.794% 3/1/37 1,121 1,208
2,4 Freddie Mac Non Gold Pool 5.796% 6/1/37 2,094 2,263
2,4 Freddie Mac Non Gold Pool 5.829% 8/1/37 2,119 2,284
2,4 Freddie Mac Non Gold Pool 5.855% 5/1/37 5,958 6,467
2,4 Freddie Mac Non Gold Pool 5.870% 1/1/37 736 792
2,4 Freddie Mac Non Gold Pool 5.891% 12/1/36 940 1,014
2,4 Freddie Mac Non Gold Pool 6.030% 8/1/37 795 863
2,4 Freddie Mac Non Gold Pool 6.061% 3/1/37 63 66
2,4 Freddie Mac Non Gold Pool 6.070% 12/1/36–10/1/37 1,790 1,944
2,4 Freddie Mac Non Gold Pool 6.084% 3/1/37 57 60
2,4 Freddie Mac Non Gold Pool 6.127% 6/1/37 1,134 1,207
2,4 Freddie Mac Non Gold Pool 6.385% 2/1/37 981 1,061
4 Ginnie Mae II Pool 2.375% 6/20/29 62 65
4 Ginnie Mae II Pool 2.500% 1/20/41–6/20/41 29,555 30,343
4 Ginnie Mae II Pool 3.000% 12/20/40–5/20/41 8,239 8,587
4 Ginnie Mae II Pool 3.500% 1/20/41 4,853 5,110
4 Ginnie Mae II Pool 4.000% 12/20/39 5,244 5,576
4 Ginnie Mae II Pool 4.500% 10/20/39 910 980
4 Ginnie Mae II Pool 5.000% 7/20/38–10/20/38 1,873 1,998
          444,145
Total U.S. Government and Agency Obligations (Cost $27,728,533)   29,180,837
Asset-Backed/Commercial Mortgage-Backed Securities (2.8%)      
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.050% 11/10/38 282 282

 

 

4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.153% 11/10/38 1,800 1,872
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.730% 6/10/39 5,183 5,598
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.877% 7/10/42 13,100 13,887
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.234% 11/10/42 2,295 2,334
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 4.727% 7/10/43 1,655 1,592
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.118% 7/11/43 2,838 2,871
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.921% 5/10/45 4,250 4,635
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.956% 5/10/45 1,380 1,131
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.372% 9/10/45 6,200 6,716
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.421% 9/10/45 40 39
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.115% 10/10/45 4,175 4,556
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.120% 10/10/45 1,125 1,132
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.176% 10/10/45 120 119
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.634% 7/10/46 8,425 9,155
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.695% 7/10/46 1,150 862
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.367% 9/10/47 1,500 1,377
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.367% 9/10/47 2,300 2,300
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.414% 9/10/47 4,990 5,225
4 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.448% 9/10/47 890 758
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 5.523% 1/15/49 1,025 619
4,6 Banc of America Merrill Lynch Commercial        
  Mortgage Inc. 6.395% 2/10/51 12,600 13,848
4 Bear Stearns Commercial Mortgage        
  Securities 5.704% 4/12/38 6,110 6,677
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.705% 4/12/38 1,500 1,468
4 Bear Stearns Commercial Mortgage        
  Securities 4.830% 8/15/38 12,312 12,546
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.942% 9/11/38 1,075 871
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.942% 9/11/38 2,225 2,123
4 Bear Stearns Commercial Mortgage        
  Securities 5.619% 3/11/39 5,650 6,080
4 Bear Stearns Commercial Mortgage        
  Securities 4.680% 8/13/39 7,000 7,326
4 Bear Stearns Commercial Mortgage        
  Securities 4.740% 3/13/40 4,970 5,151

 

 

4 Bear Stearns Commercial Mortgage        
  Securities 5.853% 6/11/40 5,912 6,009
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.905% 6/11/40 1,075 718
4 Bear Stearns Commercial Mortgage        
  Securities 5.405% 12/11/40 645 697
4 Bear Stearns Commercial Mortgage        
  Securities 4.750% 6/11/41 1,970 1,746
4 Bear Stearns Commercial Mortgage        
  Securities 5.582% 9/11/41 1,125 1,112
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.568% 10/12/41 3,618 3,586
4 Bear Stearns Commercial Mortgage        
  Securities 4.521% 11/11/41 2,240 2,247
4 Bear Stearns Commercial Mortgage        
  Securities 4.868% 11/11/41 990 869
4 Bear Stearns Commercial Mortgage        
  Securities 4.933% 2/13/42 1,835 1,967
4 Bear Stearns Commercial Mortgage        
  Securities 5.742% 9/11/42 7,000 7,755
4 Bear Stearns Commercial Mortgage        
  Securities 5.793% 9/11/42 1,825 1,902
4 Bear Stearns Commercial Mortgage        
  Securities 5.127% 10/12/42 2,779 2,799
4 Bear Stearns Commercial Mortgage        
  Securities 5.294% 10/12/42 3,125 3,442
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.513% 1/12/45 2,475 2,269
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.566% 1/12/45 1,775 1,441
4 Bear Stearns Commercial Mortgage        
  Securities 5.613% 6/11/50 4,170 4,295
4 Bear Stearns Commercial Mortgage        
  Securities 5.694% 6/11/50 13,500 14,409
4 Bear Stearns Commercial Mortgage        
  Securities 5.700% 6/11/50 6,625 7,105
4,6 Bear Stearns Commercial Mortgage        
  Securities 5.915% 6/11/50 1,700 1,540
4 Capital Auto Receivables Asset Trust 4.680% 10/15/12 439 446
4 Capital One Multi-Asset Execution Trust 5.050% 12/17/18 12,975 14,904
4 Capital One Multi-Asset Execution Trust 5.750% 7/15/20 3,380 4,076
4 CDC Commercial Mortgage Trust 5.676% 11/15/30 978 979
4 Chase Issuance Trust 4.650% 3/15/15 11,375 12,016
4 Chase Issuance Trust 5.400% 7/15/15 3,325 3,600
7 Cie de Financement Foncier 2.125% 4/22/13 2,900 2,887
4 CIT Group Home Equity Loan Trust 6.200% 2/25/30 205 207
4 Citibank Credit Card Issuance Trust 4.900% 6/23/16 7,575 8,414
4 Citibank Credit Card Issuance Trust 4.850% 3/10/17 1,155 1,303
4 Citibank Credit Card Issuance Trust 4.150% 7/7/17 1,225 1,361
4 Citibank Credit Card Issuance Trust 5.650% 9/20/19 3,700 4,428
4 Citibank Credit Card Issuance Trust 5.350% 2/7/20 400 479
4 Citigroup Commercial Mortgage Trust 4.623% 10/15/41 1,125 1,142
4 Citigroup Commercial Mortgage Trust 4.830% 5/15/43 375 382
4,6 Citigroup Commercial Mortgage Trust 5.922% 3/15/49 5,050 5,609
4 Citigroup Commercial Mortgage Trust 5.462% 10/15/49 1,435 1,335
4 Citigroup Commercial Mortgage Trust 5.482% 10/15/49 825 682
4,6 Citigroup Commercial Mortgage Trust 5.886% 12/10/49 6,125 6,611
4,6 Citigroup Commercial Mortgage Trust 5.886% 12/10/49 1,875 1,714

 

 

4,6 Citigroup Commercial Mortgage Trust 6.274% 12/10/49 6,600 7,219
4,6 Citigroup Commercial Mortgage Trust 6.274% 12/10/49 2,935 2,598
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.398% 7/15/44 4,350 4,733
4,6 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.398% 7/15/44 2,475 2,522
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.886% 11/15/44 6,780 7,285
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.648% 10/15/48 3,150 2,771
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.688% 10/15/48 1,350 754
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.205% 12/11/49 12,110 12,150
4 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.322% 12/11/49 10,450 10,788
4,7 Commercial Mortgage Lease-Backed        
  Certificates 6.746% 6/20/31 2,455 2,646
4 Commercial Mortgage Pass Through        
  Certificates 4.084% 6/10/38 2,700 2,782
4 Commercial Mortgage Pass Through        
  Certificates 4.715% 3/10/39 8,395 8,899
4 Commercial Mortgage Pass Through        
  Certificates 5.116% 6/10/44 10,975 11,877
4 Commercial Mortgage Pass Through        
  Certificates 5.943% 6/10/46 4,950 5,407
4,6 Commercial Mortgage Pass Through        
  Certificates 5.968% 6/10/46 1,715 1,604
4 Commercial Mortgage Pass Through        
  Certificates 5.248% 12/10/46 2,741 2,753
4,6 Commercial Mortgage Pass Through        
  Certificates 6.008% 12/10/49 6,825 7,387
4,6 Credit Suisse First Boston Mortgage        
  Securities Corp. 4.750% 1/15/37 7,075 7,449
4 Credit Suisse First Boston Mortgage        
  Securities Corp. 4.877% 4/15/37 325 301
4,6 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.014% 2/15/38 4,800 5,108
4,6 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.075% 2/15/38 1,325 1,253
4 Credit Suisse First Boston Mortgage        
  Securities Corp. 3.936% 5/15/38 5,765 5,932
4,6 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.100% 8/15/38 520 534
4 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.100% 8/15/38 6,775 7,293
4,6 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.190% 8/15/38 1,300 1,172
4,6 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.230% 12/15/40 1,525 1,289
4 Credit Suisse Mortgage Capital Certificates 6.011% 6/15/38 5,675 6,062
4 Credit Suisse Mortgage Capital Certificates 6.011% 6/15/38 350 314
4 Credit Suisse Mortgage Capital Certificates 5.594% 2/15/39 10,725 11,599
4,6 Credit Suisse Mortgage Capital Certificates 5.595% 2/15/39 1,400 1,181
4,6 Credit Suisse Mortgage Capital Certificates 5.595% 2/15/39 2,800 2,653
4,6 Credit Suisse Mortgage Capital Certificates 5.903% 6/15/39 11,650 12,215
4 Credit Suisse Mortgage Capital Certificates 5.509% 9/15/39 550 464
4 Credit Suisse Mortgage Capital Certificates 5.311% 12/15/39 6,575 6,838

 

 

4 Credit Suisse Mortgage Capital Certificates 5.383% 2/15/40 2,250 2,395
4,6 CW Capital Cobalt Ltd. 6.011% 5/15/46 5,625 5,945
4,6 CW Capital Cobalt Ltd. 5.484% 4/15/47 1,975 2,129
4 Discover Card Master Trust 5.650% 12/15/15 7,975 8,624
4 Discover Card Master Trust 5.650% 3/16/20 3,687 4,426
4,6 First Union Commercial Mortgage Trust 6.751% 10/15/35 1,128 1,161
4 First Union National Bank Commercial        
  Mortgage 6.223% 12/12/33 622 623
4 Ford Credit Auto Owner Trust 4.370% 10/15/12 2,848 2,858
4 Ford Credit Auto Owner Trust 2.420% 11/15/14 1,875 1,916
4 Ford Credit Auto Owner Trust 2.150% 6/15/15 6,800 6,990
4 GE Capital Commercial Mortgage Corp. 6.269% 12/10/35 2,210 2,241
4 GE Capital Commercial Mortgage Corp. 5.145% 7/10/37 3,925 4,123
4 GE Capital Commercial Mortgage Corp. 4.996% 12/10/37 4,086 4,209
4,6 GE Capital Commercial Mortgage Corp. 5.510% 3/10/44 2,825 2,630
4,6 GE Capital Commercial Mortgage Corp. 5.510% 3/10/44 11,475 12,346
4,6 GE Capital Commercial Mortgage Corp. 5.492% 11/10/45 2,725 2,514
4 GE Capital Commercial Mortgage Corp. 5.543% 12/10/49 2,750 2,891
4 GMAC Commercial Mortgage Securities Inc. 6.700% 4/15/34 285 282
4 GMAC Commercial Mortgage Securities Inc. 4.079% 5/10/36 1,200 1,230
4 GMAC Commercial Mortgage Securities Inc. 4.908% 3/10/38 825 880
4 GMAC Commercial Mortgage Securities Inc. 4.646% 4/10/40 166 169
4 GMAC Commercial Mortgage Securities Inc. 4.864% 12/10/41 2,625 2,801
4 GMAC Commercial Mortgage Securities Inc. 4.754% 5/10/43 575 585
4 Greenwich Capital Commercial Funding Corp. 4.948% 1/11/35 2,371 2,437
4 Greenwich Capital Commercial Funding Corp. 4.533% 1/5/36 234 238
4 Greenwich Capital Commercial Funding Corp. 4.915% 1/5/36 4,375 4,613
4 Greenwich Capital Commercial Funding Corp. 5.317% 6/10/36 4,875 5,165
4 Greenwich Capital Commercial Funding Corp. 5.117% 4/10/37 1,315 1,320
4 Greenwich Capital Commercial Funding Corp. 5.224% 4/10/37 6,750 7,109
4,6 Greenwich Capital Commercial Funding Corp. 5.277% 4/10/37 1,900 1,643
4 Greenwich Capital Commercial Funding Corp. 6.073% 7/10/38 520 561
4,6 Greenwich Capital Commercial Funding Corp. 6.074% 7/10/38 1,775 1,661
4 Greenwich Capital Commercial Funding Corp. 5.475% 3/10/39 575 497
4 Greenwich Capital Commercial Funding Corp. 4.799% 8/10/42 10,827 11,433
4,6 Greenwich Capital Commercial Funding Corp. 4.859% 8/10/42 800 736
4 GS Mortgage Securities Corp. II 5.506% 4/10/38 3,045 3,077
4,6 GS Mortgage Securities Corp. II 5.553% 4/10/38 4,275 4,508
4,6 GS Mortgage Securities Corp. II 5.622% 4/10/38 1,725 1,589
4 GS Mortgage Securities Corp. II 5.396% 8/10/38 8,075 8,597
4 GS Mortgage Securities Corp. II 4.608% 1/10/40 4,325 4,457
4,6 GS Mortgage Securities Corp. II 3.707% 8/10/44 1,500 1,515
4 Harley-Davidson Motorcycle Trust 5.210% 6/17/13 476 476
4 Honda Auto Receivables Owner Trust 4.880% 9/18/14 1,317 1,330
4 Honda Auto Receivables Owner Trust 1.800% 4/17/17 1,475 1,506
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.050% 12/12/34 2,903 2,976
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.654% 1/12/37 1,225 1,253
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.985% 1/12/37 3,275 3,408
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.255% 7/12/37 425 449
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.376% 7/12/37 3,123 3,181
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.534% 8/12/37 800 722

 

 

4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.824% 9/12/37 1,489 1,497
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.879% 1/12/38 10,973 11,603
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.404% 1/12/39 4,275 4,512
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.790% 6/12/41 10,300 11,229
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.780% 7/15/42 1,075 1,077
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.496% 1/12/43 40 36
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.475% 4/15/43 1,540 1,659
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.636% 12/12/44 1,100 1,021
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.685% 12/12/44 550 395
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.414% 12/15/44 1,480 1,531
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.493% 12/15/44 550 488
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.072% 4/15/45 7,265 8,008
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.072% 4/15/45 635 605
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.072% 4/15/45 1,355 1,036
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.593% 5/12/45 2,500 2,234
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.623% 5/12/45 800 575
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.440% 5/15/45 1,720 1,647
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.447% 5/15/45 2,425 2,584
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.440% 6/12/47 5,395 5,605
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.004% 6/15/49 5,075 5,331
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.794% 2/12/51 16,448 17,779
4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.855% 2/12/51 2,621 2,644
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 6.098% 2/12/51 1,275 1,141
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.882% 2/15/51 6,150 6,554
4 LB-UBS Commercial Mortgage Trust 5.386% 6/15/26 63 64
4 LB-UBS Commercial Mortgage Trust 4.786% 10/15/29 6,975 7,424
4 LB-UBS Commercial Mortgage Trust 4.742% 2/15/30 2,850 3,044
4,6 LB-UBS Commercial Mortgage Trust 5.150% 4/15/30 2,175 2,356
4 LB-UBS Commercial Mortgage Trust 5.197% 11/15/30 5,965 6,439
4 LB-UBS Commercial Mortgage Trust 5.217% 2/15/31 925 880
4 LB-UBS Commercial Mortgage Trust 4.853% 9/15/31 10,012 10,277
4 LB-UBS Commercial Mortgage Trust 4.960% 12/15/31 2,375 2,469
4 LB-UBS Commercial Mortgage Trust 4.166% 5/15/32 10,700 11,027
4,6 LB-UBS Commercial Mortgage Trust 4.685% 7/15/32 515 538

 

 

4,6 LB-UBS Commercial Mortgage Trust 5.124% 11/15/32 2,850 3,022
4 LB-UBS Commercial Mortgage Trust 4.931% 9/15/35 5,900 6,163
4,6 LB-UBS Commercial Mortgage Trust 5.661% 3/15/39 12,225 13,375
4 LB-UBS Commercial Mortgage Trust 5.372% 9/15/39 1,250 1,358
4 LB-UBS Commercial Mortgage Trust 5.413% 9/15/39 425 408
4 LB-UBS Commercial Mortgage Trust 5.424% 2/15/40 1,200 1,268
4 LB-UBS Commercial Mortgage Trust 5.430% 2/15/40 5,500 5,664
4 LB-UBS Commercial Mortgage Trust 5.455% 2/15/40 1,700 1,507
4,6 LB-UBS Commercial Mortgage Trust 5.493% 2/15/40 1,200 1,011
4,6 LB-UBS Commercial Mortgage Trust 5.057% 9/15/40 700 624
4,6 LB-UBS Commercial Mortgage Trust 5.276% 2/15/41 1,325 1,084
4,6 LB-UBS Commercial Mortgage Trust 6.312% 4/15/41 12,650 13,922
4,6 LB-UBS Commercial Mortgage Trust 6.312% 4/15/41 1,970 1,753
4 LB-UBS Commercial Mortgage Trust 5.866% 9/15/45 12,050 12,651
4 Merrill Lynch Mortgage Trust 5.236% 11/12/35 5,825 6,120
4 Merrill Lynch Mortgage Trust 5.107% 7/12/38 50 48
4 Merrill Lynch Mortgage Trust 5.854% 5/12/39 8,610 9,373
4,6 Merrill Lynch Mortgage Trust 5.855% 5/12/39 625 599
4 Merrill Lynch Mortgage Trust 5.782% 8/12/43 1,965 1,818
4,6 Merrill Lynch Mortgage Trust 5.802% 8/12/43 1,350 960
4,6 Merrill Lynch Mortgage Trust 5.291% 1/12/44 6,675 7,362
4,6 Merrill Lynch Mortgage Trust 6.022% 6/12/50 1,175 1,013
4,6 Merrill Lynch Mortgage Trust 6.022% 6/12/50 13,950 14,637
4 Merrill Lynch Mortgage Trust 5.425% 2/12/51 1,275 1,297
4 Merrill Lynch Mortgage Trust 5.690% 2/12/51 5,920 6,326
4,6 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.706% 2/12/39 275 225
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 6.096% 6/12/46 12,675 13,826
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.456% 7/12/46 300 278
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.378% 8/12/48 7,455 7,639
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.590% 9/12/49 1,956 1,983
4 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.700% 9/12/49 10,075 10,682
4 Morgan Stanley Capital I 4.970% 4/14/40 3,545 3,715
4,6 Morgan Stanley Capital I 5.110% 6/15/40 9,025 9,752
4 Morgan Stanley Capital I 5.030% 6/13/41 1,566 1,603
4 Morgan Stanley Capital I 5.270% 6/13/41 2,185 2,338
4,6 Morgan Stanley Capital I 5.991% 8/12/41 775 787
4 Morgan Stanley Capital I 5.328% 11/12/41 3,675 3,955
4 Morgan Stanley Capital I 5.360% 11/12/41 2,626 2,406
4 Morgan Stanley Capital I 4.780% 12/13/41 1,540 1,647
4,6 Morgan Stanley Capital I 4.840% 12/13/41 515 466
4 Morgan Stanley Capital I 4.970% 12/15/41 7,440 7,873
4 Morgan Stanley Capital I 5.168% 1/14/42 1,500 1,612
4,6 Morgan Stanley Capital I 5.795% 6/11/42 6,575 7,311
4,6 Morgan Stanley Capital I 5.795% 6/11/42 550 528
4 Morgan Stanley Capital I 4.989% 8/13/42 8,300 8,958
4,6 Morgan Stanley Capital I 5.073% 8/13/42 1,500 1,198
4 Morgan Stanley Capital I 5.230% 9/15/42 10,500 11,460
4 Morgan Stanley Capital I 5.897% 10/15/42 2,790 3,048
4,6 Morgan Stanley Capital I 5.902% 10/15/42 225 217
4,6 Morgan Stanley Capital I 5.902% 10/15/42 1,750 1,460
4,6 Morgan Stanley Capital I 5.374% 11/14/42 7,950 8,621
4 Morgan Stanley Capital I 6.455% 1/11/43 7,850 8,970

 

 

4 Morgan Stanley Capital I 5.332% 12/15/43 5,275 5,680
4,6 Morgan Stanley Capital I 5.598% 3/12/44 11,925 12,825
4,6 Morgan Stanley Capital I 5.773% 7/12/44 1,575 1,590
4,6 Morgan Stanley Capital I 5.793% 7/12/44 1,475 1,247
4 Morgan Stanley Capital I 4.660% 9/13/45 2,150 2,286
4,6 Morgan Stanley Capital I 5.654% 4/15/49 1,300 1,375
4,6 Morgan Stanley Capital I 5.692% 4/15/49 9,650 10,034
4,6 Morgan Stanley Capital I 5.871% 4/15/49 1,641 1,249
4,6 Morgan Stanley Capital I 5.544% 11/12/49 1,550 1,465
4 Morgan Stanley Capital I 5.809% 12/12/49 3,425 3,705
4,6 Morgan Stanley Capital I 6.313% 12/12/49 1,975 1,795
4 Morgan Stanley Capital I 5.090% 10/12/52 987 986
4,6 Morgan Stanley Capital I 5.204% 10/12/52 1,725 1,659
4 Morgan Stanley Capital I 4.770% 7/15/56 1,345 1,205
4 Morgan Stanley Dean Witter Capital I 6.390% 7/15/33 97 96
4 Morgan Stanley Dean Witter Capital I 4.920% 3/12/35 13,650 14,146
4 Morgan Stanley Dean Witter Capital I 6.390% 10/15/35 393 394
4 Morgan Stanley Dean Witter Capital I 4.740% 11/13/36 12,421 12,816
4 Nissan Auto Receivables Owner Trust 5.050% 11/17/14 1,671 1,707
7 Northern Rock Asset Management plc 5.625% 6/22/17 1,075 1,174
4 PG&E Energy Recovery Funding LLC 5.030% 3/25/14 494 501
4 PSE&G Transition Funding LLC 6.890% 12/15/17 6,975 8,423
4 Public Service New Hampshire Funding LLC 6.480% 5/1/15 168 176
4 Residential Asset Securities Corp. 6.489% 10/25/30 55 50
4,6 TIAA Seasoned Commercial Mortgage Trust 5.947% 8/15/39 1,385 1,265
4 USAA Auto Owner Trust 4.710% 2/18/14 3,085 3,114
4 Wachovia Bank Commercial Mortgage Trust 4.980% 11/15/34 194 199
4 Wachovia Bank Commercial Mortgage Trust 4.867% 2/15/35 550 568
4,6 Wachovia Bank Commercial Mortgage Trust 5.125% 8/15/35 1,100 1,151
4,6 Wachovia Bank Commercial Mortgage Trust 4.964% 11/15/35 4,225 4,478
4 Wachovia Bank Commercial Mortgage Trust 4.719% 1/15/41 199 197
4 Wachovia Bank Commercial Mortgage Trust 4.748% 2/15/41 7,432 7,896
4,6 Wachovia Bank Commercial Mortgage Trust 5.495% 7/15/41 11,150 12,030
4 Wachovia Bank Commercial Mortgage Trust 4.803% 10/15/41 10,325 10,952
4,6 Wachovia Bank Commercial Mortgage Trust 5.083% 3/15/42 5,820 6,273
4,6 Wachovia Bank Commercial Mortgage Trust 5.224% 3/15/42 625 572
4 Wachovia Bank Commercial Mortgage Trust 5.118% 7/15/42 2,955 3,206
4,6 Wachovia Bank Commercial Mortgage Trust 5.923% 5/15/43 6,695 7,330
4 Wachovia Bank Commercial Mortgage Trust 4.699% 5/15/44 4,900 5,250
4 Wachovia Bank Commercial Mortgage Trust 4.750% 5/15/44 665 659
4 Wachovia Bank Commercial Mortgage Trust 4.793% 5/15/44 1,350 1,219
4,6 Wachovia Bank Commercial Mortgage Trust 5.381% 10/15/44 535 500
4,6 Wachovia Bank Commercial Mortgage Trust 5.381% 10/15/44 10,050 10,945
4,6 Wachovia Bank Commercial Mortgage Trust 5.444% 12/15/44 9,200 9,993
4,6 Wachovia Bank Commercial Mortgage Trust 5.494% 12/15/44 375 354
4,6 Wachovia Bank Commercial Mortgage Trust 6.173% 6/15/45 475 453
4,6 Wachovia Bank Commercial Mortgage Trust 5.765% 7/15/45 7,000 7,691
4 Wachovia Bank Commercial Mortgage Trust 5.679% 10/15/48 680 729
4 Wachovia Bank Commercial Mortgage Trust 5.313% 11/15/48 5,275 5,637
4 Wachovia Bank Commercial Mortgage Trust 5.339% 11/15/48 2,400 2,163
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $966,807)   1,140,528
Corporate Bonds (20.9%)        
Finance (7.3%)        
  Banking (4.9%)        
4 Abbey National Capital Trust I 8.963% 12/29/49 2,400 2,363
  Abbey National Treasury Services plc 2.875% 4/25/14 2,300 2,163
  Abbey National Treasury Services plc 4.000% 4/27/16 2,150 1,966

 

 

American Express Bank FSB 5.550% 10/17/12 1,300 1,352
American Express Bank FSB 5.500% 4/16/13 3,275 3,447
American Express Bank FSB 6.000% 9/13/17 625 705
American Express Centurion Bank 5.550% 10/17/12 1,025 1,068
American Express Centurion Bank 5.950% 6/12/17 650 728
American Express Centurion Bank 6.000% 9/13/17 10,325 11,589
American Express Co. 4.875% 7/15/13 1,575 1,648
American Express Co. 7.250% 5/20/14 1,250 1,416
American Express Co. 5.500% 9/12/16 1,025 1,155
American Express Co. 6.150% 8/28/17 2,025 2,321
American Express Co. 7.000% 3/19/18 6,800 8,054
American Express Co. 8.125% 5/20/19 1,625 2,054
American Express Co. 8.150% 3/19/38 1,425 2,030
4 American Express Co. 6.800% 9/1/66 2,825 2,719
American Express Credit Corp. 5.875% 5/2/13 3,175 3,369
American Express Credit Corp. 7.300% 8/20/13 15,300 16,744
American Express Credit Corp. 5.125% 8/25/14 5,400 5,845
American Express Credit Corp. 2.750% 9/15/15 7,125 7,142
American Express Credit Corp. 5.300% 12/2/15 2,000 2,213
Associates Corp. of North America 6.950% 11/1/18 100 111
Banco Santander Chile 2.875% 11/13/12 900 899
7 BanColombia SA 4.250% 1/12/16 2,700 2,634
Bank of America Corp. 4.875% 1/15/13 5,875 5,795
Bank of America Corp. 4.900% 5/1/13 11,375 11,272
Bank of America Corp. 7.375% 5/15/14 4,650 4,796
Bank of America Corp. 5.375% 6/15/14 800 784
Bank of America Corp. 5.125% 11/15/14 5,825 5,752
Bank of America Corp. 4.500% 4/1/15 22,500 21,293
Bank of America Corp. 4.750% 8/1/15 275 264
Bank of America Corp. 5.250% 12/1/15 1,225 1,139
Bank of America Corp. 3.625% 3/17/16 15,275 13,857
Bank of America Corp. 3.750% 7/12/16 3,025 2,748
Bank of America Corp. 6.500% 8/1/16 15,900 15,766
Bank of America Corp. 5.750% 8/15/16 3,250 2,985
Bank of America Corp. 7.800% 9/15/16 5,000 5,120
Bank of America Corp. 5.625% 10/14/16 14,700 13,960
Bank of America Corp. 5.420% 3/15/17 4,575 3,979
Bank of America Corp. 6.000% 9/1/17 400 381
Bank of America Corp. 5.750% 12/1/17 1,575 1,480
Bank of America Corp. 5.650% 5/1/18 9,000 8,405
Bank of America Corp. 7.625% 6/1/19 3,825 3,979
Bank of America Corp. 5.625% 7/1/20 16,950 15,592
Bank of America Corp. 5.875% 1/5/21 1,150 1,059
Bank of America Corp. 6.800% 3/15/28 600 573
Bank of America Corp. 6.500% 9/15/37 875 702
Bank of America NA 5.300% 3/15/17 6,850 6,123
Bank of America NA 6.100% 6/15/17 1,975 1,833
Bank of America NA 6.000% 10/15/36 2,225 1,968
Bank of Montreal 2.125% 6/28/13 2,225 2,268
Bank of New York Mellon Corp. 4.950% 11/1/12 9,500 9,932
Bank of New York Mellon Corp. 4.500% 4/1/13 525 553
Bank of New York Mellon Corp. 4.300% 5/15/14 4,850 5,222
Bank of New York Mellon Corp. 4.950% 3/15/15 2,325 2,517
Bank of New York Mellon Corp. 2.500% 1/15/16 4,050 4,117
Bank of New York Mellon Corp. 5.450% 5/15/19 3,645 4,167
Bank of New York Mellon Corp. 4.600% 1/15/20 6,975 7,655
Bank of Nova Scotia 2.250% 1/22/13 9,400 9,575
Bank of Nova Scotia 2.375% 12/17/13 7,250 7,459

 

 

  Bank of Nova Scotia 2.050% 10/7/15 1,900 1,912
  Bank of Nova Scotia 4.375% 1/13/21 1,425 1,558
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.450% 9/11/15 4,000 4,047
  Bank One Corp. 5.250% 1/30/13 1,450 1,503
  Bank One Corp. 4.900% 4/30/15 975 1,016
  Bank One Corp. 7.625% 10/15/26 425 521
  Barclays Bank plc 2.500% 1/23/13 3,325 3,312
  Barclays Bank plc 5.200% 7/10/14 22,750 23,273
  Barclays Bank plc 3.900% 4/7/15 3,600 3,538
  Barclays Bank plc 5.000% 9/22/16 3,125 3,115
  Barclays Bank plc 6.750% 5/22/19 2,775 3,032
  Barclays Bank plc 5.125% 1/8/20 2,450 2,404
  Barclays Bank plc 5.140% 10/14/20 4,600 3,764
  BB&T Capital Trust II 6.750% 6/7/36 2,675 2,658
4 BB&T Capital Trust IV 6.820% 6/12/77 1,600 1,657
  BB&T Corp. 4.750% 10/1/12 1,675 1,717
  BB&T Corp. 3.375% 9/25/13 2,725 2,817
  BB&T Corp. 5.200% 12/23/15 8,975 9,646
  BB&T Corp. 4.900% 6/30/17 100 106
  BB&T Corp. 5.250% 11/1/19 4,350 4,704
  BBVA US Senior SAU 3.250% 5/16/14 4,625 4,339
  Bear Stearns Cos. LLC 5.700% 11/15/14 9,825 10,621
  Bear Stearns Cos. LLC 5.300% 10/30/15 5,900 6,387
  Bear Stearns Cos. LLC 5.550% 1/22/17 2,200 2,283
  Bear Stearns Cos. LLC 6.400% 10/2/17 2,650 3,011
  Bear Stearns Cos. LLC 7.250% 2/1/18 3,975 4,664
  Bear Stearns Cos. LLC 4.650% 7/2/18 425 446
  BNP Paribas / BNP Paribas US Medium-Term        
  Note Program LLC 2.125% 12/21/12 9,250 9,148
  BNP Paribas SA 3.250% 3/11/15 4,850 4,715
  BNP Paribas SA 3.600% 2/23/16 4,975 4,850
  BNP Paribas SA 5.000% 1/15/21 9,675 9,563
  BNY Mellon NA 4.750% 12/15/14 3,350 3,644
  Branch Banking & Trust Co. 5.625% 9/15/16 1,875 2,112
  Canadian Imperial Bank of Commerce 1.450% 9/13/13 975 980
  Canadian Imperial Bank of Commerce 2.350% 12/11/15 325 329
  Capital One Bank USA NA 6.500% 6/13/13 1,150 1,225
  Capital One Bank USA NA 8.800% 7/15/19 10,900 12,505
4 Capital One Capital III 7.686% 8/1/66 2,025 1,979
  Capital One Capital IV 6.745% 2/17/37 1,500 1,433
  Capital One Capital V 10.250% 8/15/39 1,750 1,789
  Capital One Capital VI 8.875% 5/15/40 2,700 2,693
  Capital One Financial Corp. 7.375% 5/23/14 500 557
  Capital One Financial Corp. 2.125% 7/15/14 3,250 3,222
  Capital One Financial Corp. 5.500% 6/1/15 2,800 2,981
  Capital One Financial Corp. 3.150% 7/15/16 6,400 6,291
  Capital One Financial Corp. 6.150% 9/1/16 1,875 1,969
  Capital One Financial Corp. 5.250% 2/21/17 1,075 1,142
  Capital One Financial Corp. 6.750% 9/15/17 1,575 1,795
  Capital One Financial Corp. 4.750% 7/15/21 1,400 1,394
4,7 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 4,025 4,618
  Citigroup Inc. 6.000% 2/21/12 3,500 3,543
  Citigroup Inc. 5.250% 2/27/12 3,875 3,926
  Citigroup Inc. 5.300% 10/17/12 15,300 15,678
  Citigroup Inc. 5.500% 4/11/13 15,925 16,390
  Citigroup Inc. 6.500% 8/19/13 6,450 6,758
  Citigroup Inc. 6.000% 12/13/13 17,625 18,466
  Citigroup Inc. 5.125% 5/5/14 825 844

 

 

Citigroup Inc. 6.375% 8/12/14 6,125 6,480
Citigroup Inc. 5.000% 9/15/14 8,500 8,348
Citigroup Inc. 5.500% 10/15/14 4,850 5,037
Citigroup Inc. 6.010% 1/15/15 3,250 3,440
Citigroup Inc. 4.750% 5/19/15 5,250 5,375
Citigroup Inc. 4.700% 5/29/15 1,000 1,016
Citigroup Inc. 4.587% 12/15/15 6,680 6,795
Citigroup Inc. 5.300% 1/7/16 5,550 5,767
Citigroup Inc. 3.953% 6/15/16 3,700 3,687
Citigroup Inc. 6.000% 8/15/17 4,325 4,613
Citigroup Inc. 6.125% 11/21/17 10,250 10,972
Citigroup Inc. 6.125% 5/15/18 13,183 14,156
Citigroup Inc. 8.500% 5/22/19 18,175 21,814
Citigroup Inc. 5.375% 8/9/20 5,325 5,483
Citigroup Inc. 6.625% 6/15/32 1,925 1,753
Citigroup Inc. 5.875% 2/22/33 3,250 2,709
Citigroup Inc. 6.000% 10/31/33 4,050 3,484
Citigroup Inc. 5.850% 12/11/34 650 627
Citigroup Inc. 6.125% 8/25/36 5,750 4,874
Citigroup Inc. 5.875% 5/29/37 4,550 4,405
Citigroup Inc. 6.875% 3/5/38 10,800 11,592
Citigroup Inc. 8.125% 7/15/39 1,400 1,709
Comerica Bank 5.750% 11/21/16 3,775 4,201
Comerica Bank 5.200% 8/22/17 2,800 3,074
Comerica Inc. 4.800% 5/1/15 2,600 2,683
Compass Bank 6.400% 10/1/17 900 952
Compass Bank 5.900% 4/1/26 650 637
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 2.125% 10/13/15 5,000 4,989
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 4.500% 1/11/21 11,400 12,298
Countrywide Financial Corp. 6.250% 5/15/16 450 395
4 Credit Suisse AG 5.860% 5/29/49 3,724 2,914
Credit Suisse New York 5.000% 5/15/13 12,900 13,311
Credit Suisse New York 2.200% 1/14/14 7,625 7,491
Credit Suisse New York 5.500% 5/1/14 7,200 7,567
Credit Suisse New York 3.500% 3/23/15 11,250 11,205
Credit Suisse New York 6.000% 2/15/18 6,150 6,202
Credit Suisse New York 5.300% 8/13/19 8,925 9,000
Credit Suisse New York 5.400% 1/14/20 3,800 3,653
Credit Suisse New York 4.375% 8/5/20 3,700 3,563
Credit Suisse USA Inc. 5.500% 8/15/13 2,575 2,707
Credit Suisse USA Inc. 5.125% 1/15/14 625 658
Credit Suisse USA Inc. 4.875% 1/15/15 2,935 3,075
Credit Suisse USA Inc. 5.125% 8/15/15 4,265 4,506
Credit Suisse USA Inc. 7.125% 7/15/32 6,400 7,330
Deutsche Bank AG 5.375% 10/12/12 13,350 13,684
Deutsche Bank AG 2.375% 1/11/13 4,500 4,476
Deutsche Bank AG 4.875% 5/20/13 5,500 5,670
Deutsche Bank AG 3.450% 3/30/15 5,725 5,700
Deutsche Bank AG 3.250% 1/11/16 4,200 4,128
Deutsche Bank AG 6.000% 9/1/17 9,175 10,088
Deutsche Bank Financial LLC 5.375% 3/2/15 4,545 4,689
Discover Bank 7.000% 4/15/20 1,800 1,912
Fifth Third Bancorp 6.250% 5/1/13 100 106
Fifth Third Bancorp 3.625% 1/25/16 9,525 9,635
Fifth Third Bancorp 4.500% 6/1/18 725 713
Fifth Third Bancorp 8.250% 3/1/38 5,806 7,044

 

 

Fifth Third Bank 4.750% 2/1/15 2,800 2,938
4 Fifth Third Capital Trust IV 6.500% 4/15/67 1,825 1,734
First Horizon National Corp. 5.375% 12/15/15 7,350 7,443
First Niagara Financial Group Inc. 6.750% 3/19/20 675 738
First Tennessee Bank NA 5.050% 1/15/15 1,604 1,609
FleetBoston Financial Corp. 6.700% 7/15/28 5,400 5,250
Golden West Financial Corp. 4.750% 10/1/12 975 1,009
Goldman Sachs Capital I 6.345% 2/15/34 4,975 4,283
Goldman Sachs Group Inc. 5.450% 11/1/12 18,050 18,519
Goldman Sachs Group Inc. 4.750% 7/15/13 7,425 7,623
Goldman Sachs Group Inc. 5.250% 10/15/13 12,125 12,547
Goldman Sachs Group Inc. 5.150% 1/15/14 3,125 3,237
Goldman Sachs Group Inc. 6.000% 5/1/14 10,825 11,404
Goldman Sachs Group Inc. 5.000% 10/1/14 11,175 11,594
Goldman Sachs Group Inc. 5.125% 1/15/15 6,525 6,743
Goldman Sachs Group Inc. 3.700% 8/1/15 1,950 1,903
Goldman Sachs Group Inc. 5.350% 1/15/16 11,225 11,612
Goldman Sachs Group Inc. 3.625% 2/7/16 8,225 7,983
Goldman Sachs Group Inc. 5.750% 10/1/16 2,750 2,890
Goldman Sachs Group Inc. 5.625% 1/15/17 4,275 4,187
Goldman Sachs Group Inc. 6.250% 9/1/17 8,625 8,971
Goldman Sachs Group Inc. 5.950% 1/18/18 5,775 5,937
Goldman Sachs Group Inc. 6.150% 4/1/18 7,475 7,722
Goldman Sachs Group Inc. 7.500% 2/15/19 2,900 3,205
Goldman Sachs Group Inc. 5.375% 3/15/20 16,050 15,887
Goldman Sachs Group Inc. 6.000% 6/15/20 14,390 14,714
Goldman Sachs Group Inc. 5.250% 7/27/21 500 495
Goldman Sachs Group Inc. 5.950% 1/15/27 4,650 4,499
Goldman Sachs Group Inc. 6.125% 2/15/33 15,670 15,749
Goldman Sachs Group Inc. 6.450% 5/1/36 2,175 1,992
Goldman Sachs Group Inc. 6.750% 10/1/37 17,000 15,511
Goldman Sachs Group Inc. 6.250% 2/1/41 3,220 3,118
7 HBOS plc 6.750% 5/21/18 2,075 1,807
HSBC Bank USA NA 4.625% 4/1/14 8,475 8,691
HSBC Bank USA NA 4.875% 8/24/20 3,675 3,445
HSBC Bank USA NA 5.875% 11/1/34 1,200 1,142
HSBC Bank USA NA 5.625% 8/15/35 1,225 1,102
HSBC Bank USA NA 7.000% 1/15/39 325 355
HSBC Holdings plc 5.100% 4/5/21 10,110 10,490
HSBC Holdings plc 7.625% 5/17/32 325 342
HSBC Holdings plc 7.350% 11/27/32 600 641
HSBC Holdings plc 6.500% 5/2/36 7,500 7,398
HSBC Holdings plc 6.500% 9/15/37 14,050 13,669
HSBC Holdings plc 6.800% 6/1/38 1,475 1,478
Huntington Bancshares Inc. 7.000% 12/15/20 3,950 4,401
7 ICICI Bank Ltd. 6.625% 10/3/12 4,525 4,625
JP Morgan Chase Capital XVII 5.850% 8/1/35 250 249
4 JP Morgan Chase Capital XVIII 6.950% 8/1/66 900 900
4 JP Morgan Chase Capital XX 6.550% 9/15/66 2,490 2,499
4 JP Morgan Chase Capital XXII 6.450% 1/15/87 7,675 7,711
JP Morgan Chase Capital XXV 6.800% 10/1/37 2,775 2,781
JPMorgan Chase & Co. 5.375% 10/1/12 5,950 6,203
JPMorgan Chase & Co. 5.750% 1/2/13 8,990 9,395
JPMorgan Chase & Co. 4.750% 5/1/13 8,785 9,223
JPMorgan Chase & Co. 1.650% 9/30/13 8,050 8,099
JPMorgan Chase & Co. 2.050% 1/24/14 8,050 8,085
JPMorgan Chase & Co. 4.875% 3/15/14 8,800 9,196
JPMorgan Chase & Co. 4.650% 6/1/14 8,600 9,128

 

 

JPMorgan Chase & Co. 5.125% 9/15/14 14,715 15,482
JPMorgan Chase & Co. 3.700% 1/20/15 2,950 3,022
JPMorgan Chase & Co. 4.750% 3/1/15 4,625 4,887
JPMorgan Chase & Co. 5.250% 5/1/15 2,025 2,127
JPMorgan Chase & Co. 5.150% 10/1/15 7,400 7,807
JPMorgan Chase & Co. 2.600% 1/15/16 4,525 4,411
JPMorgan Chase & Co. 3.450% 3/1/16 500 501
JPMorgan Chase & Co. 3.150% 7/5/16 75 74
JPMorgan Chase & Co. 6.125% 6/27/17 3,325 3,640
JPMorgan Chase & Co. 6.000% 1/15/18 2,400 2,683
JPMorgan Chase & Co. 6.300% 4/23/19 14,795 16,719
JPMorgan Chase & Co. 4.400% 7/22/20 425 429
JPMorgan Chase & Co. 4.250% 10/15/20 725 722
JPMorgan Chase & Co. 4.350% 8/15/21 3,625 3,661
JPMorgan Chase & Co. 6.400% 5/15/38 29,150 33,321
JPMorgan Chase & Co. 5.500% 10/15/40 5,350 5,688
JPMorgan Chase & Co. 5.600% 7/15/41 3,250 3,364
JPMorgan Chase Bank NA 5.875% 6/13/16 7,950 8,412
JPMorgan Chase Capital XXVII 7.000% 11/1/39 3,140 3,147
KeyBank NA 5.800% 7/1/14 850 914
KeyBank NA 5.450% 3/3/16 2,500 2,698
KeyCorp 6.500% 5/14/13 1,500 1,599
KeyCorp 5.100% 3/24/21 6,300 6,367
7 Lloyds TSB Bank plc 4.375% 1/12/15 3,650 3,534
Lloyds TSB Bank plc 4.875% 1/21/16 6,375 6,216
7 Lloyds TSB Bank plc 5.800% 1/13/20 3,950 3,797
Lloyds TSB Bank plc 6.375% 1/21/21 6,575 6,465
M&I Marshall & Ilsley Bank 4.850% 6/16/15 350 373
M&I Marshall & Ilsley Bank 5.000% 1/17/17 100 105
Manufacturers & Traders Trust Co. 6.625% 12/4/17 2,475 2,739
4 Manufacturers & Traders Trust Co. 5.585% 12/28/20 100 99
MBNA Corp. 6.125% 3/1/13 1,375 1,375
MBNA Corp. 5.000% 6/15/15 1,425 1,381
Mellon Funding Corp. 5.000% 12/1/14 875 946
Merrill Lynch & Co. Inc. 5.450% 2/5/13 3,225 3,183
Merrill Lynch & Co. Inc. 6.150% 4/25/13 7,200 7,203
Merrill Lynch & Co. Inc. 5.000% 2/3/14 5,325 5,198
Merrill Lynch & Co. Inc. 5.450% 7/15/14 850 831
Merrill Lynch & Co. Inc. 5.000% 1/15/15 11,281 10,889
Merrill Lynch & Co. Inc. 6.050% 5/16/16 1,025 954
Merrill Lynch & Co. Inc. 5.700% 5/2/17 6,625 5,916
Merrill Lynch & Co. Inc. 6.400% 8/28/17 5,425 5,180
Merrill Lynch & Co. Inc. 6.875% 4/25/18 16,925 16,661
Merrill Lynch & Co. Inc. 6.500% 7/15/18 1,100 1,020
Merrill Lynch & Co. Inc. 6.220% 9/15/26 4,525 3,794
Merrill Lynch & Co. Inc. 6.110% 1/29/37 2,375 1,884
Merrill Lynch & Co. Inc. 7.750% 5/14/38 14,420 13,240
Morgan Stanley 5.625% 1/9/12 5,520 5,570
Morgan Stanley 5.300% 3/1/13 1,050 1,057
Morgan Stanley 6.750% 10/15/13 200 212
Morgan Stanley 2.875% 1/24/14 13,900 13,590
Morgan Stanley 4.750% 4/1/14 13,900 13,220
Morgan Stanley 6.000% 5/13/14 12,050 12,207
Morgan Stanley 2.875% 7/28/14 1,050 1,003
Morgan Stanley 4.200% 11/20/14 2,325 2,265
Morgan Stanley 4.100% 1/26/15 3,300 3,148
Morgan Stanley 6.000% 4/28/15 19,475 19,552
Morgan Stanley 5.375% 10/15/15 2,325 2,299

 

 

  Morgan Stanley 3.450% 11/2/15 24,800 22,851
  Morgan Stanley 3.800% 4/29/16 625 573
  Morgan Stanley 5.750% 10/18/16 4,700 4,615
  Morgan Stanley 5.450% 1/9/17 3,225 3,113
  Morgan Stanley 5.550% 4/27/17 1,375 1,331
  Morgan Stanley 5.950% 12/28/17 5,100 4,974
  Morgan Stanley 6.625% 4/1/18 6,975 6,956
  Morgan Stanley 7.300% 5/13/19 12,800 13,146
  Morgan Stanley 5.625% 9/23/19 23,195 21,530
  Morgan Stanley 5.500% 1/26/20 2,750 2,529
  Morgan Stanley 5.500% 7/24/20 1,650 1,497
  Morgan Stanley 5.750% 1/25/21 4,850 4,444
  Morgan Stanley 6.250% 8/9/26 8,475 8,477
  Morgan Stanley 7.250% 4/1/32 2,750 2,845
  National City Bank 4.625% 5/1/13 725 757
  National City Corp. 4.900% 1/15/15 850 920
  National City Corp. 6.875% 5/15/19 4,525 5,180
4 National City Preferred Capital Trust I 12.000% 12/29/49 1,575 1,630
  Northern Trust Co. 6.500% 8/15/18 425 512
  Northern Trust Corp. 5.500% 8/15/13 425 458
  Northern Trust Corp. 4.625% 5/1/14 1,025 1,109
  Paribas 6.950% 7/22/13 325 332
  PNC Bank NA 4.875% 9/21/17 3,575 3,746
  PNC Bank NA 6.000% 12/7/17 325 356
  PNC Funding Corp. 4.250% 9/21/15 650 701
  PNC Funding Corp. 5.250% 11/15/15 6,400 6,895
  PNC Funding Corp. 2.700% 9/19/16 1,800 1,800
  PNC Funding Corp. 5.625% 2/1/17 325 353
  PNC Funding Corp. 6.700% 6/10/19 6,475 7,825
  PNC Funding Corp. 4.375% 8/11/20 1,150 1,210
  Royal Bank of Canada 2.100% 7/29/13 6,200 6,344
  Royal Bank of Canada 2.625% 12/15/15 5,600 5,796
  Royal Bank of Canada 2.875% 4/19/16 2,075 2,151
  Royal Bank of Scotland Group plc 5.000% 10/1/14 1,500 1,398
  Royal Bank of Scotland Group plc 5.050% 1/8/15 1,800 1,667
  Royal Bank of Scotland Group plc 6.400% 10/21/19 7,650 7,314
  Royal Bank Of Scotland NV 4.650% 6/4/18 100 91
  Royal Bank of Scotland plc 3.400% 8/23/13 4,225 4,213
  Royal Bank of Scotland plc 3.250% 1/11/14 6,525 6,297
7 Royal Bank of Scotland plc 4.875% 8/25/14 1,800 1,799
  Royal Bank of Scotland plc 4.875% 3/16/15 3,975 3,868
  Royal Bank of Scotland plc 4.375% 3/16/16 3,300 3,157
  Royal Bank of Scotland plc 5.625% 8/24/20 8,350 8,049
  Royal Bank of Scotland plc 6.125% 1/11/21 2,425 2,401
  Santander Holdings USA Inc. 4.625% 4/19/16 4,225 4,008
  Santander UK plc 7.950% 10/26/29 590 543
  SouthTrust Corp. 5.800% 6/15/14 750 802
  Sovereign Bank 5.125% 3/15/13 625 631
  Sovereign Bank 8.750% 5/30/18 675 769
4,7 Standard Chartered plc 6.409% 12/31/49 1,975 1,674
  State Street Bank and Trust Co. 5.300% 1/15/16 2,725 3,052
  State Street Bank and Trust Co. 5.250% 10/15/18 2,879 3,180
  State Street Corp. 4.300% 5/30/14 1,600 1,725
  State Street Corp. 2.875% 3/7/16 5,400 5,589
  SunTrust Bank 5.000% 9/1/15 16 17
  SunTrust Bank 7.250% 3/15/18 375 436
  SunTrust Banks Inc. 5.250% 11/5/12 1,800 1,862
  SunTrust Banks Inc. 3.600% 4/15/16 3,775 3,801

 

 

SunTrust Banks Inc. 6.000% 9/11/17 1,300 1,419
4 SunTrust Capital VIII 6.100% 12/1/66 657 650
Toronto-Dominion Bank 1.375% 7/14/14 1,660 1,673
Toronto-Dominion Bank 2.500% 7/14/16 2,495 2,559
UBS AG 2.250% 8/12/13 7,650 7,480
UBS AG 2.250% 1/28/14 9,950 9,685
UBS AG 3.875% 1/15/15 1,300 1,288
UBS AG 7.000% 10/15/15 1,000 1,094
UBS AG 5.875% 7/15/16 2,325 2,397
UBS AG 7.375% 6/15/17 3,000 3,367
UBS AG 5.875% 12/20/17 7,575 7,760
UBS AG 5.750% 4/25/18 3,675 3,760
UBS AG 4.875% 8/4/20 14,100 13,502
UBS AG 7.750% 9/1/26 1,000 1,244
UFJ Finance Aruba AEC 6.750% 7/15/13 9,750 10,511
Union Bank NA 5.950% 5/11/16 1,375 1,473
Union Bank NA 3.000% 6/6/16 1,550 1,545
UnionBanCal Corp. 5.250% 12/16/13 700 729
US Bancorp 2.000% 6/14/13 5,000 5,089
US Bancorp 1.125% 10/30/13 3,400 3,391
US Bancorp 3.150% 3/4/15 600 630
US Bancorp 2.450% 7/27/15 275 284
US Bancorp 3.442% 2/1/16 4,250 4,297
US Bancorp 4.125% 5/24/21 2,150 2,309
US Bank NA 6.300% 2/4/14 3,150 3,472
US Bank NA 4.950% 10/30/14 4,800 5,219
US Bank NA 4.800% 4/15/15 850 931
USB Capital XIII Trust 6.625% 12/15/39 675 686
Wachovia Bank NA 4.800% 11/1/14 425 453
Wachovia Bank NA 4.875% 2/1/15 6,050 6,399
Wachovia Bank NA 5.000% 8/15/15 825 881
Wachovia Bank NA 6.000% 11/15/17 2,500 2,742
Wachovia Bank NA 5.850% 2/1/37 5,775 6,015
Wachovia Bank NA 6.600% 1/15/38 3,600 4,102
Wachovia Corp. 5.300% 10/15/11 4,125 4,130
Wachovia Corp. 5.500% 5/1/13 2,103 2,235
Wachovia Corp. 4.875% 2/15/14 5,275 5,477
Wachovia Corp. 5.250% 8/1/14 1,900 1,999
Wachovia Corp. 5.625% 10/15/16 11,800 12,674
Wachovia Corp. 5.750% 6/15/17 6,425 7,238
Wachovia Corp. 5.750% 2/1/18 825 934
Wachovia Corp. 6.605% 10/1/25 100 113
Wachovia Corp. 7.500% 4/15/35 275 348
Wachovia Corp. 5.500% 8/1/35 1,775 1,756
Wachovia Corp. 6.550% 10/15/35 250 284
Wells Fargo & Co. 5.250% 10/23/12 3,575 3,735
Wells Fargo & Co. 4.375% 1/31/13 17,000 17,641
Wells Fargo & Co. 4.950% 10/16/13 1,150 1,210
Wells Fargo & Co. 3.750% 10/1/14 2,050 2,162
Wells Fargo & Co. 3.625% 4/15/15 11,375 11,873
Wells Fargo & Co. 3.676% 6/15/16 13,350 13,918
Wells Fargo & Co. 5.625% 12/11/17 19,725 22,229
Wells Fargo & Co. 4.600% 4/1/21 6,825 7,275
Wells Fargo & Co. 5.375% 2/7/35 4,700 4,940
Wells Fargo Bank NA 4.750% 2/9/15 4,925 5,184
Wells Fargo Bank NA 5.750% 5/16/16 3,600 3,980
Wells Fargo Bank NA 5.950% 8/26/36 1,725 1,834
4 Wells Fargo Capital X 5.950% 12/1/86 3,600 3,528

 

 

4 Wells Fargo Capital XIII 7.700% 12/29/49 6,600 6,584
4 Wells Fargo Capital XV 9.750% 9/29/49 3,650 3,650
Westpac Banking Corp. 2.250% 11/19/12 3,725 3,766
Westpac Banking Corp. 2.100% 8/2/13 625 634
Westpac Banking Corp. 1.850% 12/9/13 7,000 7,036
Westpac Banking Corp. 4.200% 2/27/15 7,400 7,759
Westpac Banking Corp. 3.000% 8/4/15 4,125 4,166
Westpac Banking Corp. 4.875% 11/19/19 8,575 8,935
 
Brokerage (0.2%)        
Ameriprise Financial Inc. 5.650% 11/15/15 5,000 5,625
Ameriprise Financial Inc. 5.300% 3/15/20 775 852
4 Ameriprise Financial Inc. 7.518% 6/1/66 4,475 4,475
BlackRock Inc. 2.250% 12/10/12 2,300 2,335
BlackRock Inc. 3.500% 12/10/14 1,700 1,805
BlackRock Inc. 6.250% 9/15/17 1,150 1,329
BlackRock Inc. 5.000% 12/10/19 100 111
BlackRock Inc. 4.250% 5/24/21 2,125 2,225
Charles Schwab Corp. 4.950% 6/1/14 3,925 4,299
Charles Schwab Corp. 4.450% 7/22/20 1,000 1,051
7 FMR LLC 7.490% 6/15/19 200 248
Franklin Resources Inc. 2.000% 5/20/13 2,650 2,691
Franklin Resources Inc. 3.125% 5/20/15 1,450 1,497
Franklin Resources Inc. 4.625% 5/20/20 700 769
7 GFI Group Inc. 8.375% 7/19/18 750 738
Jefferies Group Inc. 5.500% 3/15/16 3,900 4,063
Jefferies Group Inc. 5.125% 4/13/18 8,150 7,690
Jefferies Group Inc. 8.500% 7/15/19 2,105 2,303
Jefferies Group Inc. 6.450% 6/8/27 1,050 1,007
Jefferies Group Inc. 6.250% 1/15/36 4,225 3,797
Lazard Group LLC 6.850% 6/15/17 2,675 2,934
MF Global Holdings Ltd. 6.250% 8/8/16 3,625 3,453
Nomura Holdings Inc. 5.000% 3/4/15 2,425 2,562
Nomura Holdings Inc. 4.125% 1/19/16 275 280
Nomura Holdings Inc. 6.700% 3/4/20 3,850 4,480
Raymond James Financial Inc. 4.250% 4/15/16 1,000 1,017
TD Ameritrade Holding Corp. 2.950% 12/1/12 775 791
TD Ameritrade Holding Corp. 4.150% 12/1/14 1,025 1,086
TD Ameritrade Holding Corp. 5.600% 12/1/19 925 1,011
 
Finance Companies (0.7%)        
Block Financial LLC 7.875% 1/15/13 525 547
Block Financial LLC 5.125% 10/30/14 5,500 5,668
Discover Financial Services 6.450% 6/12/17 325 337
Discover Financial Services 10.250% 7/15/19 950 1,132
GATX Corp. 4.750% 10/1/12 1,000 1,031
General Electric Capital Corp. 5.250% 10/19/12 24,450 25,546
General Electric Capital Corp. 2.800% 1/8/13 6,975 7,091
General Electric Capital Corp. 5.450% 1/15/13 5,470 5,747
General Electric Capital Corp. 4.800% 5/1/13 10,425 10,940
General Electric Capital Corp. 2.100% 1/7/14 2,600 2,615
General Electric Capital Corp. 5.900% 5/13/14 5,125 5,614
General Electric Capital Corp. 5.500% 6/4/14 5,150 5,602
General Electric Capital Corp. 5.650% 6/9/14 5,800 6,326
General Electric Capital Corp. 3.750% 11/14/14 12,475 13,054
General Electric Capital Corp. 3.500% 6/29/15 5,000 5,165
General Electric Capital Corp. 4.375% 9/21/15 3,500 3,741
General Electric Capital Corp. 2.250% 11/9/15 675 666

 

 

General Electric Capital Corp. 2.950% 5/9/16 3,125 3,134
General Electric Capital Corp. 5.375% 10/20/16 250 275
General Electric Capital Corp. 5.400% 2/15/17 14,850 16,191
General Electric Capital Corp. 5.625% 9/15/17 4,000 4,362
General Electric Capital Corp. 5.625% 5/1/18 12,050 13,094
General Electric Capital Corp. 6.000% 8/7/19 10,675 11,979
General Electric Capital Corp. 5.500% 1/8/20 1,075 1,183
General Electric Capital Corp. 5.550% 5/4/20 3,275 3,641
General Electric Capital Corp. 4.625% 1/7/21 2,400 2,482
General Electric Capital Corp. 5.300% 2/11/21 2,550 2,624
General Electric Capital Corp. 6.750% 3/15/32 5,900 6,695
General Electric Capital Corp. 6.150% 8/7/37 14,250 14,948
General Electric Capital Corp. 5.875% 1/14/38 18,900 19,341
General Electric Capital Corp. 6.875% 1/10/39 18,625 21,428
4 General Electric Capital Corp. 6.375% 11/15/67 12,400 11,656
4 HSBC Finance Capital Trust IX 5.911% 11/30/35 1,075 891
HSBC Finance Corp. 6.375% 11/27/12 9,000 9,356
HSBC Finance Corp. 4.750% 7/15/13 4,000 4,136
HSBC Finance Corp. 5.250% 1/15/14 1,425 1,490
HSBC Finance Corp. 5.000% 6/30/15 10,650 10,984
HSBC Finance Corp. 5.500% 1/19/16 550 573
7 HSBC Finance Corp. 6.676% 1/15/21 16,999 16,731
SLM Corp. 5.375% 1/15/13 1,150 1,150
SLM Corp. 5.000% 10/1/13 1,750 1,724
SLM Corp. 5.375% 5/15/14 3,175 3,121
SLM Corp. 5.050% 11/14/14 975 941
SLM Corp. 6.250% 1/25/16 950 933
SLM Corp. 8.450% 6/15/18 4,950 5,149
SLM Corp. 8.000% 3/25/20 4,900 4,853
SLM Corp. 5.625% 8/1/33 5,000 4,059
 
Insurance (1.1%)        
ACE Capital Trust II 9.700% 4/1/30 1,000 1,274
ACE INA Holdings Inc. 5.875% 6/15/14 2,500 2,774
ACE INA Holdings Inc. 5.600% 5/15/15 1,725 1,927
ACE INA Holdings Inc. 2.600% 11/23/15 3,500 3,557
ACE INA Holdings Inc. 5.700% 2/15/17 1,400 1,580
ACE INA Holdings Inc. 5.800% 3/15/18 425 489
ACE INA Holdings Inc. 5.900% 6/15/19 550 648
ACE INA Holdings Inc. 6.700% 5/15/36 400 507
AEGON Funding Co. LLC 5.750% 12/15/20 1,375 1,552
Aegon NV 4.750% 6/1/13 800 822
Aetna Inc. 6.000% 6/15/16 5,800 6,684
Aetna Inc. 4.125% 6/1/21 1,375 1,454
Aetna Inc. 6.625% 6/15/36 3,100 3,949
Aetna Inc. 6.750% 12/15/37 50 64
Aflac Inc. 8.500% 5/15/19 1,100 1,362
Aflac Inc. 6.900% 12/17/39 2,450 2,615
Aflac Inc. 6.450% 8/15/40 1,050 1,019
Alleghany Corp. 5.625% 9/15/20 1,000 1,051
Allied World Assurance Co. Ltd. 7.500% 8/1/16 6,875 7,812
Allstate Corp. 5.000% 8/15/14 3,325 3,649
Allstate Corp. 7.450% 5/16/19 2,040 2,497
Allstate Corp. 6.125% 12/15/32 950 1,084
Allstate Corp. 5.350% 6/1/33 225 234
Allstate Corp. 5.550% 5/9/35 475 509
Allstate Corp. 5.950% 4/1/36 1,000 1,121
Allstate Corp. 6.900% 5/15/38 2,655 3,332

 

 

4 Allstate Corp. 6.500% 5/15/57 1,625 1,422
4 Allstate Corp. 6.125% 5/15/67 1,500 1,335
Allstate Life Global Funding Trusts 5.375% 4/30/13 1,425 1,512
Alterra Finance LLC 6.250% 9/30/20 815 875
American Financial Group Inc. 9.875% 6/15/19 775 963
American International Group Inc. 4.250% 5/15/13 3,550 3,552
American International Group Inc. 4.250% 9/15/14 3,200 3,122
American International Group Inc. 5.050% 10/1/15 4,775 4,675
American International Group Inc. 4.875% 9/15/16 3,200 3,138
American International Group Inc. 5.600% 10/18/16 1,150 1,133
American International Group Inc. 5.450% 5/18/17 2,225 2,113
American International Group Inc. 5.850% 1/16/18 3,300 3,281
American International Group Inc. 8.250% 8/15/18 950 1,057
American International Group Inc. 6.400% 12/15/20 7,015 7,118
American International Group Inc. 6.250% 5/1/36 6,500 6,163
American International Group Inc. 6.250% 3/15/37 6,698 4,638
4 American International Group Inc. 8.175% 5/15/68 11,750 10,340
AON Corp. 3.500% 9/30/15 2,025 2,087
AON Corp. 5.000% 9/30/20 1,175 1,286
AON Corp. 8.205% 1/1/27 325 370
AON Corp. 6.250% 9/30/40 2,125 2,592
Arch Capital Group Ltd. 7.350% 5/1/34 1,175 1,338
Aspen Insurance Holdings Ltd. 6.000% 12/15/20 4,250 4,478
Assurant Inc. 5.625% 2/15/14 625 662
Assurant Inc. 6.750% 2/15/34 1,425 1,531
AXA SA 8.600% 12/15/30 3,925 4,402
Axis Capital Holdings Ltd. 5.750% 12/1/14 725 770
Axis Specialty Finance LLC 5.875% 6/1/20 5,300 5,451
Berkshire Hathaway Finance Corp. 4.600% 5/15/13 2,050 2,164
Berkshire Hathaway Finance Corp. 5.000% 8/15/13 5,850 6,268
Berkshire Hathaway Finance Corp. 4.850% 1/15/15 1,050 1,159
Berkshire Hathaway Finance Corp. 2.450% 12/15/15 2,050 2,107
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 4,775 5,458
Berkshire Hathaway Finance Corp. 4.250% 1/15/21 4,725 4,982
Berkshire Hathaway Inc. 2.125% 2/11/13 1,750 1,780
Berkshire Hathaway Inc. 3.200% 2/11/15 3,700 3,887
Chubb Corp. 5.200% 4/1/13 425 447
Chubb Corp. 5.750% 5/15/18 750 885
Chubb Corp. 6.000% 5/11/37 2,900 3,442
4 Chubb Corp. 6.375% 3/29/67 5,650 5,457
CIGNA Corp. 5.125% 6/15/20 875 953
CIGNA Corp. 4.375% 12/15/20 200 207
CIGNA Corp. 4.500% 3/15/21 225 233
CIGNA Corp. 7.875% 5/15/27 425 541
CIGNA Corp. 6.150% 11/15/36 4,484 5,194
CIGNA Corp. 5.875% 3/15/41 1,000 1,120
Cincinnati Financial Corp. 6.920% 5/15/28 4,325 5,002
Cincinnati Financial Corp. 6.125% 11/1/34 1,175 1,270
CNA Financial Corp. 5.850% 12/15/14 2,000 2,113
CNA Financial Corp. 6.500% 8/15/16 1,750 1,885
CNA Financial Corp. 7.350% 11/15/19 1,650 1,847
CNA Financial Corp. 5.875% 8/15/20 925 945
CNA Financial Corp. 5.750% 8/15/21 975 985
Coventry Health Care Inc. 6.300% 8/15/14 3,850 4,241
Coventry Health Care Inc. 5.950% 3/15/17 1,800 2,009
Coventry Health Care Inc. 5.450% 6/15/21 1,600 1,723
Endurance Specialty Holdings Ltd. 7.000% 7/15/34 4,729 4,659
Genworth Financial Inc. 5.750% 6/15/14 300 296

 

 

Genworth Financial Inc. 4.950% 10/1/15 825 810
Genworth Financial Inc. 8.625% 12/15/16 4,125 4,120
Genworth Financial Inc. 6.515% 5/22/18 900 792
Genworth Financial Inc. 7.700% 6/15/20 225 201
Genworth Financial Inc. 7.625% 9/24/21 500 430
Genworth Financial Inc. 6.500% 6/15/34 3,575 2,829
Hartford Financial Services Group Inc. 4.625% 7/15/13 625 643
Hartford Financial Services Group Inc. 5.500% 10/15/16 975 1,006
Hartford Financial Services Group Inc. 5.375% 3/15/17 900 919
Hartford Financial Services Group Inc. 6.300% 3/15/18 1,800 1,872
Hartford Financial Services Group Inc. 6.000% 1/15/19 425 430
Hartford Financial Services Group Inc. 5.950% 10/15/36 550 478
Hartford Financial Services Group Inc. 6.100% 10/1/41 1,775 1,540
HCC Insurance Holdings Inc. 6.300% 11/15/19 1,600 1,776
Humana Inc. 7.200% 6/15/18 100 119
Humana Inc. 6.300% 8/1/18 150 170
Humana Inc. 8.150% 6/15/38 2,500 3,390
Jefferson-Pilot Corp. 4.750% 1/30/14 275 290
Lincoln National Corp. 4.300% 6/15/15 1,619 1,707
Lincoln National Corp. 8.750% 7/1/19 900 1,068
Lincoln National Corp. 6.150% 4/7/36 3,450 3,331
Lincoln National Corp. 7.000% 6/15/40 1,125 1,193
4 Lincoln National Corp. 7.000% 5/17/66 6,985 6,053
Loews Corp. 5.250% 3/15/16 950 1,035
Loews Corp. 6.000% 2/1/35 200 219
Manulife Financial Corp. 3.400% 9/17/15 3,875 3,951
Manulife Financial Corp. 4.900% 9/17/20 4,875 5,015
Markel Corp. 7.125% 9/30/19 825 961
Marsh & McLennan Cos. Inc. 4.850% 2/15/13 2,229 2,304
Marsh & McLennan Cos. Inc. 5.750% 9/15/15 56 63
Marsh & McLennan Cos. Inc. 9.250% 4/15/19 5,962 7,976
Marsh & McLennan Cos. Inc. 4.800% 7/15/21 1,880 1,984
Marsh & McLennan Cos. Inc. 5.875% 8/1/33 100 110
7 Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 575 879
MetLife Inc. 5.375% 12/15/12 1,775 1,846
MetLife Inc. 5.000% 11/24/13 1,275 1,362
MetLife Inc. 2.375% 2/6/14 1,625 1,640
MetLife Inc. 5.000% 6/15/15 1,350 1,482
MetLife Inc. 7.717% 2/15/19 675 823
MetLife Inc. 4.750% 2/8/21 3,000 3,113
MetLife Inc. 6.375% 6/15/34 975 1,122
MetLife Inc. 5.875% 2/6/41 5,850 6,364
4 MetLife Inc. 6.400% 12/15/66 4,400 3,805
7 Metropolitan Life Global Funding I 5.125% 6/10/14 5,225 5,657
4 Nationwide Financial Services 6.750% 5/15/67 200 164
OneBeacon US Holdings Inc. 5.875% 5/15/13 215 223
PartnerRe Finance B LLC 5.500% 6/1/20 8,508 8,799
Principal Financial Group Inc. 7.875% 5/15/14 1,525 1,733
Principal Financial Group Inc. 6.050% 10/15/36 950 1,023
Principal Life Income Funding Trusts 5.300% 12/14/12 1,450 1,516
Principal Life Income Funding Trusts 5.300% 4/24/13 1,825 1,929
Principal Life Income Funding Trusts 5.100% 4/15/14 1,250 1,340
Progressive Corp. 6.625% 3/1/29 1,300 1,634
Progressive Corp. 6.250% 12/1/32 100 122
4 Progressive Corp. 6.700% 6/15/67 3,100 3,054
Protective Life Corp. 7.375% 10/15/19 950 1,051
Protective Life Corp. 8.450% 10/15/39 900 1,042
Prudential Financial Inc. 2.750% 1/14/13 1,715 1,732

 

 

Prudential Financial Inc. 5.150% 1/15/13 975 1,012
Prudential Financial Inc. 4.500% 7/15/13 1,825 1,902
Prudential Financial Inc. 4.750% 4/1/14 650 684
Prudential Financial Inc. 5.100% 9/20/14 5,225 5,534
Prudential Financial Inc. 6.200% 1/15/15 2,750 3,010
Prudential Financial Inc. 4.750% 9/17/15 5,750 6,082
Prudential Financial Inc. 5.500% 3/15/16 175 188
Prudential Financial Inc. 3.000% 5/12/16 1,650 1,634
Prudential Financial Inc. 6.000% 12/1/17 1,550 1,654
Prudential Financial Inc. 5.375% 6/21/20 450 479
Prudential Financial Inc. 5.400% 6/13/35 2,775 2,674
Prudential Financial Inc. 5.900% 3/17/36 1,300 1,320
Prudential Financial Inc. 5.700% 12/14/36 5,475 5,345
Prudential Financial Inc. 6.625% 12/1/37 1,050 1,146
Prudential Financial Inc. 5.625% 5/12/41 2,550 2,407
4 Reinsurance Group of America Inc. 6.750% 12/15/65 5,675 4,937
Swiss Re Solutions Holding Corp. 6.450% 3/1/19 675 739
Swiss Re Solutions Holding Corp. 7.000% 2/15/26 1,225 1,469
Swiss Re Solutions Holding Corp. 7.750% 6/15/30 4,075 5,010
Torchmark Corp. 6.375% 6/15/16 1,225 1,360
Transatlantic Holdings Inc. 8.000% 11/30/39 4,425 5,355
Travelers Cos. Inc. 5.500% 12/1/15 3,815 4,290
Travelers Cos. Inc. 6.250% 6/20/16 1,100 1,283
Travelers Cos. Inc. 5.750% 12/15/17 1,375 1,576
Travelers Cos. Inc. 5.800% 5/15/18 100 116
Travelers Cos. Inc. 3.900% 11/1/20 1,275 1,304
Travelers Cos. Inc. 6.250% 6/15/37 5,155 6,013
Travelers Cos. Inc. 5.350% 11/1/40 3,350 3,565
Travelers Property Casualty Corp. 6.375% 3/15/33 100 118
UnitedHealth Group Inc. 5.500% 11/15/12 1,925 2,018
UnitedHealth Group Inc. 4.875% 2/15/13 975 1,024
UnitedHealth Group Inc. 4.875% 4/1/13 975 1,028
UnitedHealth Group Inc. 5.000% 8/15/14 4,900 5,373
UnitedHealth Group Inc. 4.875% 3/15/15 875 966
UnitedHealth Group Inc. 6.000% 6/15/17 1,825 2,101
UnitedHealth Group Inc. 6.000% 2/15/18 4,750 5,652
UnitedHealth Group Inc. 3.875% 10/15/20 5,000 5,300
UnitedHealth Group Inc. 5.800% 3/15/36 4,525 5,214
UnitedHealth Group Inc. 6.500% 6/15/37 625 774
UnitedHealth Group Inc. 6.625% 11/15/37 1,425 1,799
UnitedHealth Group Inc. 6.875% 2/15/38 6,000 7,849
UnitedHealth Group Inc. 5.950% 2/15/41 250 305
Unum Group 7.125% 9/30/16 1,250 1,429
Unum Group 5.625% 9/15/20 825 883
Validus Holdings Ltd. 8.875% 1/26/40 1,150 1,270
WellPoint Inc. 6.000% 2/15/14 550 602
WellPoint Inc. 5.000% 12/15/14 4,650 5,079
WellPoint Inc. 5.250% 1/15/16 1,475 1,636
WellPoint Inc. 5.875% 6/15/17 7,450 8,507
WellPoint Inc. 7.000% 2/15/19 450 557
WellPoint Inc. 5.950% 12/15/34 3,050 3,594
WellPoint Inc. 5.850% 1/15/36 2,400 2,758
WellPoint Inc. 6.375% 6/15/37 325 397
Willis Group Holdings plc 4.125% 3/15/16 3,775 3,844
Willis Group Holdings plc 5.750% 3/15/21 2,725 2,855
Willis North America Inc. 5.625% 7/15/15 2,200 2,365
Willis North America Inc. 6.200% 3/28/17 1,125 1,229
Willis North America Inc. 7.000% 9/29/19 150 171

 

 

WR Berkley Corp. 5.375% 9/15/20 375 390
XL Group Ltd. 5.750% 10/1/21 4,475 4,453
XL Group plc 5.250% 9/15/14 350 368
XL Group plc 6.375% 11/15/24 175 187
 
Other Finance (0.0%)        
CME Group Inc. 5.400% 8/1/13 2,900 3,112
CME Group Inc. 5.750% 2/15/14 1,075 1,182
NASDAQ OMX Group Inc. 4.000% 1/15/15 1,275 1,301
NASDAQ OMX Group Inc. 5.550% 1/15/20 1,900 1,893
NYSE Euronext 4.800% 6/28/13 2,090 2,211
ORIX Corp. 5.000% 1/12/16 2,340 2,417
XTRA Finance Corp. 5.150% 4/1/17 4,525 5,103
 
Real Estate Investment Trusts (0.4%)        
Arden Realty LP 5.250% 3/1/15 250 262
AvalonBay Communities Inc. 6.125% 11/1/12 106 111
AvalonBay Communities Inc. 5.750% 9/15/16 275 308
Boston Properties LP 5.625% 4/15/15 1,375 1,518
Boston Properties LP 5.625% 11/15/20 4,500 4,925
Boston Properties LP 4.125% 5/15/21 1,475 1,437
Brandywine Operating Partnership LP 5.400% 11/1/14 875 913
Brandywine Operating Partnership LP 7.500% 5/15/15 1,400 1,527
Brandywine Operating Partnership LP 6.000% 4/1/16 5,630 5,926
Brandywine Operating Partnership LP 5.700% 5/1/17 275 280
CommonWealth REIT 6.250% 8/15/16 575 613
CommonWealth REIT 6.250% 6/15/17 1,725 1,897
CommonWealth REIT 5.875% 9/15/20 1,300 1,376
Digital Realty Trust LP 4.500% 7/15/15 4,550 4,631
Digital Realty Trust LP 5.250% 3/15/21 4,375 4,357
Duke Realty LP 6.250% 5/15/13 2,350 2,465
Duke Realty LP 7.375% 2/15/15 3,675 4,015
Duke Realty LP 5.950% 2/15/17 1,300 1,379
Duke Realty LP 8.250% 8/15/19 875 1,008
Duke Realty LP 6.750% 3/15/20 275 286
ERP Operating LP 5.500% 10/1/12 1,100 1,143
ERP Operating LP 5.250% 9/15/14 1,350 1,455
ERP Operating LP 5.125% 3/15/16 3,050 3,292
ERP Operating LP 5.375% 8/1/16 975 1,062
ERP Operating LP 5.750% 6/15/17 550 612
HCP Inc. 5.650% 12/15/13 2,225 2,356
HCP Inc. 2.700% 2/1/14 1,000 989
HCP Inc. 3.750% 2/1/16 11,650 11,474
HCP Inc. 6.300% 9/15/16 950 1,028
HCP Inc. 5.375% 2/1/21 3,275 3,291
HCP Inc. 6.750% 2/1/41 1,675 1,782
Health Care REIT Inc. 6.000% 11/15/13 525 549
Health Care REIT Inc. 6.200% 6/1/16 3,250 3,503
Health Care REIT Inc. 6.125% 4/15/20 350 362
Health Care REIT Inc. 4.950% 1/15/21 8,915 8,652
Healthcare Realty Trust Inc. 6.500% 1/17/17 1,600 1,742
Hospitality Properties Trust 7.875% 8/15/14 1,375 1,495
Hospitality Properties Trust 5.125% 2/15/15 1,775 1,809
Kilroy Realty LP 5.000% 11/3/15 3,100 3,211
Kilroy Realty LP 4.800% 7/15/18 2,900 2,801
Kimco Realty Corp. 5.783% 3/15/16 400 432
Kimco Realty Corp. 6.875% 10/1/19 3,575 4,079
Liberty Property LP 5.125% 3/2/15 3,200 3,450

 

 

Liberty Property LP 4.750% 10/1/20 450 448
Mack-Cali Realty LP 7.750% 8/15/19 675 801
National Retail Properties Inc. 6.875% 10/15/17 2,700 3,015
Nationwide Health Properties Inc. 6.250% 2/1/13 1,400 1,462
ProLogis LP 4.500% 8/15/17 775 731
ProLogis LP 6.625% 5/15/18 500 519
ProLogis LP 7.375% 10/30/19 2,075 2,227
ProLogis LP 6.625% 12/1/19 850 901
ProLogis LP 6.875% 3/15/20 3,675 3,884
Realty Income Corp. 6.750% 8/15/19 2,575 2,963
Realty Income Corp. 5.750% 1/15/21 3,000 3,187
Regency Centers LP 5.250% 8/1/15 625 671
Senior Housing Properties Trust 4.300% 1/15/16 700 690
Simon Property Group LP 6.750% 5/15/14 9,850 11,062
Simon Property Group LP 4.200% 2/1/15 1,500 1,582
Simon Property Group LP 5.750% 12/1/15 5,975 6,618
Simon Property Group LP 6.100% 5/1/16 150 169
Simon Property Group LP 5.250% 12/1/16 3,525 3,816
Simon Property Group LP 5.875% 3/1/17 1,825 2,056
Simon Property Group LP 6.125% 5/30/18 1,700 1,919
Simon Property Group LP 5.650% 2/1/20 3,050 3,367
Simon Property Group LP 6.750% 2/1/40 3,800 4,602
Tanger Properties LP 6.150% 11/15/15 2,975 3,294
UDR Inc. 4.250% 6/1/18 575 588
Ventas Realty LP / Ventas Capital Corp. 3.125% 11/30/15 1,575 1,547
Ventas Realty LP / Ventas Capital Corp. 4.750% 6/1/21 975 942
        3,059,436
Industrial (11.2%)        
Basic Industry (1.0%)        
Agrium Inc. 6.750% 1/15/19 1,500 1,815
Agrium Inc. 6.125% 1/15/41 275 333
Air Products & Chemicals Inc. 2.000% 8/2/16 1,050 1,070
Airgas Inc. 4.500% 9/15/14 1,800 1,917
Airgas Inc. 3.250% 10/1/15 1,075 1,107
Albemarle Corp. 4.500% 12/15/20 450 485
Alcoa Inc. 6.000% 7/15/13 1,525 1,631
Alcoa Inc. 6.750% 7/15/18 100 106
Alcoa Inc. 6.150% 8/15/20 7,125 7,218
Alcoa Inc. 5.400% 4/15/21 7,725 7,362
Alcoa Inc. 5.870% 2/23/22 550 538
Alcoa Inc. 5.900% 2/1/27 2,450 2,382
Alcoa Inc. 6.750% 1/15/28 6,180 6,472
Allegheny Technologies Inc. 9.375% 6/1/19 2,975 3,719
AngloGold Ashanti Holdings plc 5.375% 4/15/20 575 574
AngloGold Ashanti Holdings plc 6.500% 4/15/40 875 860
ArcelorMittal 5.375% 6/1/13 4,025 4,142
ArcelorMittal 9.000% 2/15/15 1,350 1,485
ArcelorMittal 3.750% 8/5/15 2,450 2,321
ArcelorMittal 3.750% 3/1/16 4,725 4,420
ArcelorMittal 6.125% 6/1/18 3,000 2,907
ArcelorMittal 9.850% 6/1/19 6,700 7,642
ArcelorMittal 5.250% 8/5/20 2,500 2,275
ArcelorMittal 5.500% 3/1/21 4,550 4,077
ArcelorMittal 7.000% 10/15/39 8,000 7,117
ArcelorMittal 6.750% 3/1/41 2,325 2,004
Barrick Gold Corp. 2.900% 5/30/16 625 632
Barrick Gold Corp. 6.950% 4/1/19 200 243

 

 

Barrick Gold Finance Co. 4.875% 11/15/14 400 437
Barrick Gold Financeco LLC 6.125% 9/15/13 2,275 2,487
Barrick North America Finance LLC 6.800% 9/15/18 6,150 7,516
Barrick North America Finance LLC 4.400% 5/30/21 1,150 1,178
Barrick North America Finance LLC 5.700% 5/30/41 1,625 1,726
Barrick PD Australia Finance Pty Ltd. 5.950% 10/15/39 8,744 9,526
BHP Billiton Finance USA Ltd. 8.500% 12/1/12 175 190
BHP Billiton Finance USA Ltd. 5.500% 4/1/14 5,125 5,643
BHP Billiton Finance USA Ltd. 5.250% 12/15/15 5,000 5,752
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 350 397
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 4,390 5,362
Carpenter Technology Corp. 5.200% 7/15/21 5,425 5,401
Celulosa Arauco y Constitucion SA 5.125% 7/9/13 325 339
Celulosa Arauco y Constitucion SA 5.625% 4/20/15 1,000 1,064
Celulosa Arauco y Constitucion SA 7.250% 7/29/19 800 936
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 2,800 2,810
Cliffs Natural Resources Inc. 5.900% 3/15/20 350 368
Cliffs Natural Resources Inc. 4.875% 4/1/21 5,325 5,132
Commercial Metals Co. 6.500% 7/15/17 800 838
Commercial Metals Co. 7.350% 8/15/18 1,925 1,987
Cytec Industries Inc. 8.950% 7/1/17 550 694
Dow Chemical Co. 6.000% 10/1/12 500 523
Dow Chemical Co. 7.600% 5/15/14 4,375 4,980
Dow Chemical Co. 5.900% 2/15/15 12,300 13,583
Dow Chemical Co. 2.500% 2/15/16 2,175 2,141
Dow Chemical Co. 4.250% 11/15/20 9,465 9,474
Dow Chemical Co. 7.375% 11/1/29 1,500 1,843
Dow Chemical Co. 9.400% 5/15/39 5,275 7,992
Eastman Chemical Co. 3.000% 12/15/15 4,600 4,699
EI du Pont de Nemours & Co. 4.750% 11/15/12 1,400 1,463
EI du Pont de Nemours & Co. 5.000% 1/15/13 1,509 1,590
EI du Pont de Nemours & Co. 5.000% 7/15/13 2,375 2,553
EI du Pont de Nemours & Co. 1.750% 3/25/14 1,500 1,537
EI du Pont de Nemours & Co. 2.750% 4/1/16 1,600 1,683
EI du Pont de Nemours & Co. 5.250% 12/15/16 225 260
EI du Pont de Nemours & Co. 6.000% 7/15/18 6,075 7,424
EI du Pont de Nemours & Co. 4.625% 1/15/20 1,625 1,829
EI du Pont de Nemours & Co. 3.625% 1/15/21 2,010 2,100
EI du Pont de Nemours & Co. 4.250% 4/1/21 950 1,039
EI du Pont de Nemours & Co. 6.500% 1/15/28 525 666
EI du Pont de Nemours & Co. 4.900% 1/15/41 2,500 2,756
Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 5,425 5,812
ICI Wilmington Inc. 5.625% 12/1/13 200 216
International Paper Co. 5.300% 4/1/15 1,600 1,717
International Paper Co. 7.950% 6/15/18 6,875 7,950
International Paper Co. 9.375% 5/15/19 1,800 2,222
International Paper Co. 7.500% 8/15/21 4,600 5,328
International Paper Co. 7.300% 11/15/39 2,850 3,190
Lubrizol Corp. 5.500% 10/1/14 2,100 2,361
Lubrizol Corp. 8.875% 2/1/19 1,075 1,453
Monsanto Co. 5.125% 4/15/18 850 989
Monsanto Co. 5.875% 4/15/38 4,300 5,501
7 Mosaic Co. 7.625% 12/1/16 3,349 3,508
Newmont Mining Corp. 5.125% 10/1/19 1,000 1,101
Newmont Mining Corp. 5.875% 4/1/35 750 820
Newmont Mining Corp. 6.250% 10/1/39 3,275 3,710
Nucor Corp. 5.000% 12/1/12 200 209
Nucor Corp. 5.000% 6/1/13 100 106

 

 

Nucor Corp. 5.750% 12/1/17 425 501
Nucor Corp. 5.850% 6/1/18 1,725 2,054
Nucor Corp. 4.125% 9/15/22 300 315
Nucor Corp. 6.400% 12/1/37 1,875 2,325
Placer Dome Inc. 6.450% 10/15/35 1,050 1,240
Plum Creek Timberlands LP 5.875% 11/15/15 1,250 1,389
Plum Creek Timberlands LP 4.700% 3/15/21 1,345 1,354
Potash Corp. of Saskatchewan Inc. 4.875% 3/1/13 1,050 1,107
Potash Corp. of Saskatchewan Inc. 3.750% 9/30/15 2,000 2,124
Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 1,200 1,252
Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 1,077 1,323
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 7,225 8,172
Potash Corp. of Saskatchewan Inc. 5.875% 12/1/36 200 243
Potash Corp. of Saskatchewan Inc. 5.625% 12/1/40 1,225 1,440
PPG Industries Inc. 5.750% 3/15/13 1,050 1,119
PPG Industries Inc. 1.900% 1/15/16 3,625 3,590
PPG Industries Inc. 6.650% 3/15/18 1,950 2,402
PPG Industries Inc. 5.500% 11/15/40 4,200 4,758
Praxair Inc. 1.750% 11/15/12 1,050 1,062
Praxair Inc. 3.950% 6/1/13 200 210
Praxair Inc. 4.375% 3/31/14 825 888
Praxair Inc. 5.250% 11/15/14 2,000 2,240
Praxair Inc. 4.625% 3/30/15 1,050 1,157
Praxair Inc. 5.200% 3/15/17 325 378
Praxair Inc. 4.500% 8/15/19 1,800 2,027
Praxair Inc. 3.000% 9/1/21 2,225 2,226
Reliance Steel & Aluminum Co. 6.200% 11/15/16 100 105
Reliance Steel & Aluminum Co. 6.850% 11/15/36 100 98
Rio Tinto Alcan Inc. 4.500% 5/15/13 1,850 1,946
Rio Tinto Alcan Inc. 5.200% 1/15/14 200 215
Rio Tinto Alcan Inc. 5.000% 6/1/15 250 273
Rio Tinto Alcan Inc. 6.125% 12/15/33 2,725 3,243
Rio Tinto Alcan Inc. 5.750% 6/1/35 7,000 8,008
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 11,275 13,337
Rio Tinto Finance USA Ltd. 2.250% 9/20/16 3,200 3,195
Rio Tinto Finance USA Ltd. 6.500% 7/15/18 2,000 2,392
Rio Tinto Finance USA Ltd. 9.000% 5/1/19 7,700 10,357
Rio Tinto Finance USA Ltd. 3.750% 9/20/21 2,700 2,698
Rio Tinto Finance USA Ltd. 7.125% 7/15/28 1,375 1,830
Rio Tinto Finance USA Ltd. 5.200% 11/2/40 1,250 1,352
Rohm & Haas Co. 6.000% 9/15/17 2,325 2,670
RPM International Inc. 6.125% 10/15/19 650 703
Sherwin-Williams Co. 3.125% 12/15/14 1,350 1,425
Sigma-Aldrich Corp. 3.375% 11/1/20 600 615
Southern Copper Corp. 5.375% 4/16/20 1,000 1,013
Southern Copper Corp. 7.500% 7/27/35 6,200 6,630
Southern Copper Corp. 6.750% 4/16/40 1,600 1,620
Teck Resources Ltd. 9.750% 5/15/14 1,421 1,684
Teck Resources Ltd. 5.375% 10/1/15 4,991 5,512
Teck Resources Ltd. 10.250% 5/15/16 4,175 4,906
Teck Resources Ltd. 3.150% 1/15/17 700 705
Teck Resources Ltd. 10.750% 5/15/19 4,050 5,037
Teck Resources Ltd. 4.750% 1/15/22 700 714
Teck Resources Ltd. 6.000% 8/15/40 3,500 3,606
Teck Resources Ltd. 6.250% 7/15/41 2,200 2,307
Vale Canada Ltd. 5.700% 10/15/15 1,200 1,325
Vale Canada Ltd. 7.200% 9/15/32 3,141 3,615
Vale Overseas Ltd. 6.250% 1/11/16 1,650 1,784

 

 

Vale Overseas Ltd. 6.250% 1/23/17 850 923
Vale Overseas Ltd. 5.625% 9/15/19 5,550 5,780
Vale Overseas Ltd. 4.625% 9/15/20 7,950 7,696
Vale Overseas Ltd. 8.250% 1/17/34 800 959
Vale Overseas Ltd. 6.875% 11/21/36 5,325 5,793
Vale Overseas Ltd. 6.875% 11/10/39 7,275 7,933
Valspar Corp. 7.250% 6/15/19 400 486
WMC Finance USA Ltd. 5.125% 5/15/13 575 614
Xstrata Canada Corp. 5.375% 6/1/15 100 108
Xstrata Canada Corp. 6.000% 10/15/15 325 359
Xstrata Canada Corp. 5.500% 6/15/17 1,975 2,173
 
Capital Goods (1.1%)        
3M Co. 4.500% 11/1/11 575 577
3M Co. 1.375% 9/29/16 875 872
3M Co. 6.375% 2/15/28 1,300 1,727
3M Co. 5.700% 3/15/37 1,450 1,874
Acuity Brands Lighting Inc. 6.000% 12/15/19 800 872
7 BAE Systems Holdings Inc. 5.200% 8/15/15 100 111
Bemis Co. Inc. 5.650% 8/1/14 7,225 7,809
Black & Decker Corp. 8.950% 4/15/14 2,300 2,689
Black & Decker Corp. 5.750% 11/15/16 625 724
Boeing Capital Corp. 6.500% 2/15/12 4,425 4,516
Boeing Capital Corp. 5.800% 1/15/13 1,475 1,572
Boeing Capital Corp. 3.250% 10/27/14 2,850 3,042
Boeing Co. 1.875% 11/20/12 2,050 2,078
Boeing Co. 5.000% 3/15/14 100 110
Boeing Co. 3.500% 2/15/15 3,250 3,494
Boeing Co. 6.000% 3/15/19 725 886
Boeing Co. 4.875% 2/15/20 950 1,086
Boeing Co. 8.750% 8/15/21 200 287
Boeing Co. 7.250% 6/15/25 325 446
Boeing Co. 8.750% 9/15/31 300 459
Boeing Co. 6.125% 2/15/33 225 279
Boeing Co. 6.625% 2/15/38 525 711
Boeing Co. 5.875% 2/15/40 1,075 1,334
Caterpillar Financial Services Corp. 4.850% 12/7/12 100 105
Caterpillar Financial Services Corp. 4.250% 2/8/13 1,725 1,802
Caterpillar Financial Services Corp. 2.000% 4/5/13 5,150 5,234
Caterpillar Financial Services Corp. 1.550% 12/20/13 1,425 1,442
Caterpillar Financial Services Corp. 6.125% 2/17/14 9,150 10,199
Caterpillar Financial Services Corp. 1.650% 4/1/14 450 457
Caterpillar Financial Services Corp. 1.375% 5/20/14 375 377
Caterpillar Financial Services Corp. 4.750% 2/17/15 1,350 1,501
Caterpillar Financial Services Corp. 4.625% 6/1/15 775 872
Caterpillar Financial Services Corp. 2.650% 4/1/16 450 470
Caterpillar Financial Services Corp. 2.050% 8/1/16 2,650 2,660
Caterpillar Financial Services Corp. 7.150% 2/15/19 13,600 17,524
Caterpillar Inc. 1.375% 5/27/14 1,200 1,209
Caterpillar Inc. 3.900% 5/27/21 2,475 2,682
Caterpillar Inc. 6.625% 7/15/28 200 265
Caterpillar Inc. 7.300% 5/1/31 675 953
Caterpillar Inc. 6.050% 8/15/36 3,136 4,025
Caterpillar Inc. 8.250% 12/15/38 200 308
Caterpillar Inc. 5.200% 5/27/41 2,550 2,989
Caterpillar Inc. 6.950% 5/1/42 325 465
Caterpillar Inc. 7.375% 3/1/97 1,825 2,682
Cooper US Inc. 5.250% 11/15/12 1,275 1,335

 

 

Cooper US Inc. 5.450% 4/1/15 950 1,076
Cooper US Inc. 2.375% 1/15/16 3,575 3,636
Cooper US Inc. 3.875% 12/15/20 1,000 1,064
CRH America Inc. 5.300% 10/15/13 450 468
CRH America Inc. 4.125% 1/15/16 3,800 3,858
CRH America Inc. 6.000% 9/30/16 4,500 4,843
CRH America Inc. 8.125% 7/15/18 3,275 3,835
CRH America Inc. 5.750% 1/15/21 7,750 7,958
Danaher Corp. 2.300% 6/23/16 1,800 1,852
Danaher Corp. 5.625% 1/15/18 850 1,022
Danaher Corp. 3.900% 6/23/21 1,000 1,075
Deere & Co. 6.950% 4/25/14 3,925 4,505
Deere & Co. 5.375% 10/16/29 2,800 3,480
Deere & Co. 8.100% 5/15/30 1,525 2,292
Dover Corp. 4.875% 10/15/15 2,225 2,519
Dover Corp. 5.450% 3/15/18 2,250 2,673
Dover Corp. 5.375% 10/15/35 100 120
Dover Corp. 6.600% 3/15/38 975 1,366
Eaton Corp. 4.900% 5/15/13 2,175 2,312
Eaton Corp. 5.600% 5/15/18 1,755 2,070
Embraer Overseas Ltd. 6.375% 1/24/17 4,450 4,804
Embraer Overseas Ltd. 6.375% 1/15/20 575 622
Emerson Electric Co. 4.625% 10/15/12 1,800 1,873
Emerson Electric Co. 4.500% 5/1/13 1,275 1,345
Emerson Electric Co. 5.125% 12/1/16 2,125 2,479
Emerson Electric Co. 5.250% 10/15/18 2,200 2,591
Emerson Electric Co. 4.875% 10/15/19 2,275 2,643
Emerson Electric Co. 4.250% 11/15/20 950 1,057
Emerson Electric Co. 5.250% 11/15/39 325 391
General Dynamics Corp. 4.250% 5/15/13 2,850 3,014
General Dynamics Corp. 5.250% 2/1/14 3,450 3,794
General Dynamics Corp. 1.375% 1/15/15 5,000 5,030
General Dynamics Corp. 3.875% 7/15/21 5,000 5,427
General Electric Co. 5.000% 2/1/13 9,475 9,932
General Electric Co. 5.250% 12/6/17 20,775 23,160
Goodrich Corp. 6.290% 7/1/16 1,000 1,175
Goodrich Corp. 6.125% 3/1/19 3,600 4,332
Goodrich Corp. 4.875% 3/1/20 4,657 5,225
Goodrich Corp. 3.600% 2/1/21 950 984
Harsco Corp. 2.700% 10/15/15 1,000 1,016
Harsco Corp. 5.750% 5/15/18 4,800 5,553
Honeywell International Inc. 4.250% 3/1/13 475 499
Honeywell International Inc. 3.875% 2/15/14 375 402
Honeywell International Inc. 5.400% 3/15/16 1,975 2,293
Honeywell International Inc. 5.300% 3/15/17 1,375 1,598
Honeywell International Inc. 5.300% 3/1/18 175 205
Honeywell International Inc. 5.000% 2/15/19 2,375 2,750
Honeywell International Inc. 5.700% 3/15/36 1,600 1,956
Honeywell International Inc. 5.700% 3/15/37 350 429
Honeywell International Inc. 5.375% 3/1/41 3,000 3,626
Illinois Tool Works Inc. 5.150% 4/1/14 8,769 9,594
Illinois Tool Works Inc. 6.250% 4/1/19 2,650 3,315
Ingersoll-Rand Global Holding Co. Ltd. 6.000% 8/15/13 1,425 1,541
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 5,175 6,122
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 1,850 2,271
John Deere Capital Corp. 5.250% 10/1/12 1,000 1,046
John Deere Capital Corp. 4.950% 12/17/12 975 1,024
John Deere Capital Corp. 4.900% 9/9/13 2,925 3,151

 

 

John Deere Capital Corp. 2.950% 3/9/15 5,075 5,361
John Deere Capital Corp. 5.500% 4/13/17 150 176
John Deere Capital Corp. 2.800% 9/18/17 4,225 4,393
John Deere Capital Corp. 5.750% 9/10/18 3,400 4,124
Joy Global Inc. 6.000% 11/15/16 575 650
L-3 Communications Corp. 5.200% 10/15/19 1,375 1,420
L-3 Communications Corp. 4.750% 7/15/20 2,950 3,057
L-3 Communications Corp. 4.950% 2/15/21 4,225 4,334
Lockheed Martin Corp. 4.121% 3/14/13 625 658
Lockheed Martin Corp. 7.650% 5/1/16 3,950 4,875
Lockheed Martin Corp. 4.250% 11/15/19 1,800 1,949
Lockheed Martin Corp. 6.150% 9/1/36 5,075 6,206
Lockheed Martin Corp. 5.500% 11/15/39 900 1,019
Lockheed Martin Corp. 5.720% 6/1/40 4,626 5,223
Martin Marietta Materials Inc. 6.600% 4/15/18 1,850 2,089
Northrop Grumman Corp. 1.850% 11/15/15 6,730 6,702
Northrop Grumman Corp. 3.500% 3/15/21 550 556
Northrop Grumman Corp. 5.050% 11/15/40 1,000 1,050
Northrop Grumman Systems Corp. 7.750% 2/15/31 1,295 1,882
Owens Corning 6.500% 12/1/16 9,400 10,106
Owens Corning 9.000% 6/15/19 1,500 1,770
Owens Corning 7.000% 12/1/36 325 339
Parker Hannifin Corp. 5.500% 5/15/18 450 536
Parker Hannifin Corp. 3.500% 9/15/22 1,625 1,704
Parker Hannifin Corp. 6.250% 5/15/38 550 705
Raytheon Co. 1.625% 10/15/15 500 498
Raytheon Co. 6.400% 12/15/18 100 123
Raytheon Co. 4.400% 2/15/20 500 544
Raytheon Co. 3.125% 10/15/20 750 745
Raytheon Co. 7.200% 8/15/27 1,225 1,694
Raytheon Co. 4.875% 10/15/40 400 424
Republic Services Inc. 3.800% 5/15/18 6,325 6,589
Republic Services Inc. 5.500% 9/15/19 4,000 4,534
Republic Services Inc. 5.000% 3/1/20 3,925 4,333
Republic Services Inc. 5.250% 11/15/21 3,375 3,790
Republic Services Inc. 6.086% 3/15/35 825 960
Republic Services Inc. 6.200% 3/1/40 2,455 2,949
Republic Services Inc. 5.700% 5/15/41 3,125 3,544
Rockwell Automation Inc. 5.650% 12/1/17 600 693
Rockwell Automation Inc. 6.700% 1/15/28 325 419
Rockwell Automation Inc. 6.250% 12/1/37 1,500 1,879
Rockwell Collins Inc. 5.250% 7/15/19 275 323
Roper Industries Inc. 6.625% 8/15/13 3,175 3,445
Roper Industries Inc. 6.250% 9/1/19 1,500 1,788
Sonoco Products Co. 5.750% 11/1/40 1,700 1,934
Textron Inc. 5.600% 12/1/17 325 341
Tyco International Finance SA 6.000% 11/15/13 1,275 1,396
Tyco International Finance SA 3.375% 10/15/15 550 570
Tyco International Finance SA 3.750% 1/15/18 350 363
Tyco International Finance SA 4.625% 1/15/23 225 242
Tyco International Ltd. / Tyco International        
Finance SA 7.000% 12/15/19 2,375 2,923
Tyco International Ltd. / Tyco International        
Finance SA 6.875% 1/15/21 5,100 6,363
United Technologies Corp. 4.875% 5/1/15 200 225
United Technologies Corp. 5.375% 12/15/17 4,925 5,701
United Technologies Corp. 6.125% 2/1/19 2,350 2,889
United Technologies Corp. 4.500% 4/15/20 1,850 2,064

 

 

United Technologies Corp. 6.700% 8/1/28 325 432
United Technologies Corp. 7.500% 9/15/29 825 1,192
United Technologies Corp. 5.400% 5/1/35 600 702
United Technologies Corp. 6.050% 6/1/36 1,525 1,933
United Technologies Corp. 6.125% 7/15/38 7,450 9,388
United Technologies Corp. 5.700% 4/15/40 2,125 2,599
Waste Management Inc. 6.375% 11/15/12 325 343
Waste Management Inc. 5.000% 3/15/14 350 380
Waste Management Inc. 6.375% 3/11/15 9,650 11,049
Waste Management Inc. 7.375% 3/11/19 3,750 4,703
Waste Management Inc. 7.100% 8/1/26 325 409
Waste Management Inc. 7.750% 5/15/32 100 137
Waste Management Inc. 6.125% 11/30/39 4,175 5,030
 
Communication (2.3%)        
America Movil SAB de CV 5.500% 3/1/14 650 698
America Movil SAB de CV 5.750% 1/15/15 6,989 7,702
America Movil SAB de CV 5.000% 10/16/19 2,700 2,872
America Movil SAB de CV 5.000% 3/30/20 8,850 9,352
America Movil SAB de CV 6.375% 3/1/35 2,275 2,503
America Movil SAB de CV 6.125% 11/15/37 1,575 1,663
America Movil SAB de CV 6.125% 3/30/40 9,875 10,384
American Tower Corp. 4.500% 1/15/18 15,000 14,889
AT&T Corp. 8.000% 11/15/31 5,699 7,929
AT&T Inc. 4.950% 1/15/13 8,700 9,115
AT&T Inc. 6.700% 11/15/13 11,325 12,580
AT&T Inc. 4.850% 2/15/14 4,200 4,537
AT&T Inc. 5.100% 9/15/14 5,775 6,341
AT&T Inc. 2.500% 8/15/15 16,700 17,119
AT&T Inc. 2.950% 5/15/16 7,650 7,895
AT&T Inc. 5.625% 6/15/16 7,225 8,252
AT&T Inc. 5.500% 2/1/18 1,600 1,853
AT&T Inc. 5.600% 5/15/18 1,225 1,431
AT&T Inc. 5.800% 2/15/19 1,425 1,679
AT&T Inc. 6.450% 6/15/34 2,025 2,365
AT&T Inc. 6.500% 9/1/37 12,125 14,292
AT&T Inc. 6.300% 1/15/38 13,275 15,203
AT&T Inc. 6.400% 5/15/38 2,675 3,143
AT&T Inc. 6.550% 2/15/39 3,575 4,244
AT&T Inc. 5.350% 9/1/40 17,413 18,389
AT&T Inc. 5.550% 8/15/41 2,100 2,264
AT&T Mobility LLC 7.125% 12/15/31 525 695
Bellsouth Capital Funding Corp. 7.875% 2/15/30 3,200 4,282
BellSouth Corp. 5.200% 9/15/14 425 468
BellSouth Corp. 5.200% 12/15/16 1,875 2,135
BellSouth Corp. 6.875% 10/15/31 1,625 2,000
BellSouth Corp. 6.550% 6/15/34 1,750 2,041
BellSouth Corp. 6.000% 11/15/34 1,175 1,275
BellSouth Telecommunications Inc. 6.375% 6/1/28 2,750 3,146
British Telecommunications plc 5.150% 1/15/13 825 862
British Telecommunications plc 5.950% 1/15/18 9,525 10,683
British Telecommunications plc 9.875% 12/15/30 5,325 7,745
CBS Corp. 4.625% 5/15/18 100 105
CBS Corp. 8.875% 5/15/19 1,100 1,404
CBS Corp. 5.750% 4/15/20 11,975 13,197
CBS Corp. 4.300% 2/15/21 4,150 4,189
CBS Corp. 7.875% 7/30/30 450 566
CBS Corp. 5.500% 5/15/33 200 202

 

 

Cellco Partnership / Verizon Wireless Capital        
LLC 7.375% 11/15/13 9,275 10,426
Cellco Partnership / Verizon Wireless Capital        
LLC 5.550% 2/1/14 6,944 7,592
Cellco Partnership / Verizon Wireless Capital        
LLC 8.500% 11/15/18 11,950 16,051
CenturyLink Inc. 6.000% 4/1/17 100 98
CenturyLink Inc. 6.150% 9/15/19 1,675 1,584
CenturyLink Inc. 6.450% 6/15/21 2,875 2,673
CenturyLink Inc. 6.875% 1/15/28 300 266
CenturyLink Inc. 7.600% 9/15/39 3,550 3,200
Comcast Cable Communications Holdings        
Inc. 8.375% 3/15/13 55 61
Comcast Cable Communications Holdings        
Inc. 9.455% 11/15/22 2,000 2,924
Comcast Cable Communications LLC 8.875% 5/1/17 975 1,248
Comcast Corp. 5.300% 1/15/14 1,850 2,010
Comcast Corp. 6.500% 1/15/15 1,350 1,544
Comcast Corp. 5.850% 11/15/15 3,760 4,267
Comcast Corp. 5.900% 3/15/16 10,725 12,218
Comcast Corp. 6.500% 1/15/17 150 176
Comcast Corp. 6.300% 11/15/17 3,475 4,082
Comcast Corp. 5.875% 2/15/18 3,800 4,403
Comcast Corp. 5.700% 5/15/18 4,625 5,322
Comcast Corp. 5.700% 7/1/19 25 29
Comcast Corp. 5.150% 3/1/20 9,275 10,448
Comcast Corp. 5.650% 6/15/35 2,450 2,554
Comcast Corp. 6.500% 11/15/35 16,100 18,395
Comcast Corp. 6.450% 3/15/37 1,825 2,080
Comcast Corp. 6.950% 8/15/37 1,500 1,795
Comcast Corp. 6.400% 5/15/38 1,975 2,242
Comcast Corp. 6.400% 3/1/40 1,475 1,716
COX Communications Inc. 7.125% 10/1/12 2,625 2,781
COX Communications Inc. 5.450% 12/15/14 8,200 9,099
COX Communications Inc. 5.500% 10/1/15 100 112
Deutsche Telekom International Finance BV 5.875% 8/20/13 5,400 5,808
Deutsche Telekom International Finance BV 4.875% 7/8/14 1,775 1,897
Deutsche Telekom International Finance BV 5.750% 3/23/16 2,500 2,776
Deutsche Telekom International Finance BV 6.750% 8/20/18 100 119
Deutsche Telekom International Finance BV 6.000% 7/8/19 11,525 13,334
Deutsche Telekom International Finance BV 8.750% 6/15/30 2,450 3,288
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.750% 10/1/14 1,550 1,678
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.550% 3/15/15 6,425 6,736
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.500% 3/1/16 3,000 3,095
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 7.625% 5/15/16 750 804
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.875% 10/1/19 12,975 14,618
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.600% 2/15/21 1,950 2,006
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.000% 3/1/21 12,000 12,685
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.000% 8/15/40 325 344
Discovery Communications LLC 5.050% 6/1/20 500 545

 

 

Discovery Communications LLC 4.375% 6/15/21 75 77
Discovery Communications LLC 6.350% 6/1/40 4,060 4,696
Embarq Corp. 7.082% 6/1/16 6,050 6,205
Embarq Corp. 7.995% 6/1/36 8,869 8,433
France Telecom SA 4.375% 7/8/14 3,850 4,116
France Telecom SA 2.125% 9/16/15 5,000 4,953
France Telecom SA 5.375% 7/8/19 6,825 7,471
France Telecom SA 8.500% 3/1/31 3,775 5,238
Grupo Televisa SA 6.625% 3/18/25 1,300 1,438
Grupo Televisa SA 8.500% 3/11/32 200 249
Grupo Televisa SA 6.625% 1/15/40 500 529
GTE Corp. 8.750% 11/1/21 1,700 2,393
GTE Corp. 6.940% 4/15/28 1,050 1,308
Koninklijke KPN NV 8.375% 10/1/30 1,550 2,031
McGraw-Hill Cos. Inc. 5.375% 11/15/12 750 780
McGraw-Hill Cos. Inc. 5.900% 11/15/17 1,750 1,900
McGraw-Hill Cos. Inc. 6.550% 11/15/37 1,600 1,730
NBCUniversal Media LLC 2.100% 4/1/14 3,700 3,752
NBCUniversal Media LLC 3.650% 4/30/15 7,250 7,626
NBCUniversal Media LLC 2.875% 4/1/16 850 864
NBCUniversal Media LLC 5.150% 4/30/20 7,550 8,256
NBCUniversal Media LLC 6.400% 4/30/40 8,200 9,476
NBCUniversal Media LLC 5.950% 4/1/41 400 443
New Cingular Wireless Services Inc. 8.750% 3/1/31 925 1,380
News America Inc. 5.300% 12/15/14 4,650 5,078
News America Inc. 8.000% 10/17/16 1,450 1,750
News America Inc. 6.900% 3/1/19 750 867
News America Inc. 4.500% 2/15/21 3,350 3,366
News America Inc. 7.700% 10/30/25 200 246
News America Inc. 6.550% 3/15/33 4,500 4,910
News America Inc. 6.200% 12/15/34 5,500 5,828
News America Inc. 6.400% 12/15/35 4,200 4,518
News America Inc. 8.150% 10/17/36 625 781
News America Inc. 6.650% 11/15/37 3,000 3,327
News America Inc. 7.850% 3/1/39 250 309
News America Inc. 6.900% 8/15/39 1,850 2,120
News America Inc. 6.150% 2/15/41 5,125 5,465
News America Inc. 7.750% 12/1/45 425 516
Omnicom Group Inc. 5.900% 4/15/16 1,675 1,869
Omnicom Group Inc. 4.450% 8/15/20 4,550 4,597
Pacific Bell Telephone Co. 7.125% 3/15/26 425 541
Qwest Corp. 7.500% 10/1/14 2,625 2,836
Qwest Corp. 7.625% 6/15/15 2,500 2,684
Qwest Corp. 8.375% 5/1/16 2,675 2,935
Qwest Corp. 6.500% 6/1/17 1,125 1,163
Qwest Corp. 7.500% 6/15/23 1,325 1,312
Qwest Corp. 7.250% 9/15/25 1,400 1,386
Qwest Corp. 6.875% 9/15/33 2,900 2,740
Qwest Corp. 7.125% 11/15/43 4,500 4,365
Reed Elsevier Capital Inc. 7.750% 1/15/14 1,000 1,122
Reed Elsevier Capital Inc. 8.625% 1/15/19 2,570 3,303
Rogers Communications Inc. 6.375% 3/1/14 5,275 5,857
Rogers Communications Inc. 5.500% 3/15/14 1,750 1,916
Rogers Communications Inc. 6.800% 8/15/18 2,600 3,149
Rogers Communications Inc. 7.500% 8/15/38 100 134
TCI Communications Inc. 8.750% 8/1/15 4,175 5,111
TCI Communications Inc. 7.875% 2/15/26 300 389
Telecom Italia Capital SA 5.250% 11/15/13 6,850 6,697

 

 

Telecom Italia Capital SA 6.175% 6/18/14 1,475 1,470
Telecom Italia Capital SA 4.950% 9/30/14 7,475 7,207
Telecom Italia Capital SA 5.250% 10/1/15 3,500 3,337
Telecom Italia Capital SA 6.999% 6/4/18 200 200
Telecom Italia Capital SA 6.375% 11/15/33 2,875 2,478
Telecom Italia Capital SA 6.000% 9/30/34 200 163
Telecom Italia Capital SA 7.200% 7/18/36 1,100 997
Telecom Italia Capital SA 7.721% 6/4/38 11,325 10,691
Telefonica Emisiones SAU 5.855% 2/4/13 6,525 6,658
Telefonica Emisiones SAU 4.949% 1/15/15 3,775 3,715
Telefonica Emisiones SAU 3.992% 2/16/16 7,000 6,664
Telefonica Emisiones SAU 6.421% 6/20/16 4,975 5,106
Telefonica Emisiones SAU 5.877% 7/15/19 7,375 7,248
Telefonica Emisiones SAU 5.462% 2/16/21 5,800 5,536
Telefonica Emisiones SAU 7.045% 6/20/36 7,800 7,857
Telefonica Europe BV 8.250% 9/15/30 1,500 1,681
Thomson Reuters Corp. 5.950% 7/15/13 725 779
Thomson Reuters Corp. 5.700% 10/1/14 5,075 5,584
Thomson Reuters Corp. 6.500% 7/15/18 250 296
Thomson Reuters Corp. 4.700% 10/15/19 1,625 1,796
Thomson Reuters Corp. 3.950% 9/30/21 2,000 2,020
Thomson Reuters Corp. 5.500% 8/15/35 1,500 1,648
Thomson Reuters Corp. 5.850% 4/15/40 1,400 1,603
Time Warner Cable Inc. 8.250% 2/14/14 875 998
Time Warner Cable Inc. 7.500% 4/1/14 2,825 3,199
Time Warner Cable Inc. 3.500% 2/1/15 925 964
Time Warner Cable Inc. 5.850% 5/1/17 9,600 10,638
Time Warner Cable Inc. 6.750% 7/1/18 9,150 10,619
Time Warner Cable Inc. 8.750% 2/14/19 3,100 3,949
Time Warner Cable Inc. 8.250% 4/1/19 12,550 15,689
Time Warner Cable Inc. 5.000% 2/1/20 6,360 6,780
Time Warner Cable Inc. 4.000% 9/1/21 3,050 2,999
Time Warner Cable Inc. 6.750% 6/15/39 1,815 2,029
Time Warner Cable Inc. 5.875% 11/15/40 12,350 12,634
Time Warner Cable Inc. 5.500% 9/1/41 1,950 1,899
Time Warner Entertainment Co. LP 8.875% 10/1/12 550 593
Time Warner Entertainment Co. LP 8.375% 3/15/23 800 1,028
Time Warner Entertainment Co. LP 8.375% 7/15/33 2,975 3,879
United States Cellular Corp. 6.700% 12/15/33 1,025 1,095
Verizon Communications Inc. 4.350% 2/15/13 200 209
Verizon Communications Inc. 5.250% 4/15/13 4,575 4,863
Verizon Communications Inc. 1.950% 3/28/14 300 307
Verizon Communications Inc. 4.900% 9/15/15 575 642
Verizon Communications Inc. 5.550% 2/15/16 15,350 17,515
Verizon Communications Inc. 3.000% 4/1/16 6,675 6,994
Verizon Communications Inc. 5.500% 4/1/17 1,450 1,657
Verizon Communications Inc. 5.500% 2/15/18 16,300 18,898
Verizon Communications Inc. 6.100% 4/15/18 3,625 4,310
Verizon Communications Inc. 8.750% 11/1/18 1,775 2,394
Verizon Communications Inc. 6.350% 4/1/19 2,925 3,521
Verizon Communications Inc. 4.600% 4/1/21 5,075 5,630
Verizon Communications Inc. 5.850% 9/15/35 5,150 6,027
Verizon Communications Inc. 6.250% 4/1/37 1,675 2,013
Verizon Communications Inc. 6.400% 2/15/38 4,471 5,510
Verizon Communications Inc. 6.900% 4/15/38 4,625 5,956
Verizon Communications Inc. 8.950% 3/1/39 4,300 6,745
Verizon Communications Inc. 7.350% 4/1/39 1,200 1,612
Verizon Communications Inc. 6.000% 4/1/41 5,075 6,120

 

 

Verizon Global Funding Corp. 4.375% 6/1/13 200 211
Verizon Global Funding Corp. 7.750% 12/1/30 4,600 6,300
Verizon Maryland Inc. 5.125% 6/15/33 175 181
Verizon New England Inc. 7.875% 11/15/29 1,225 1,495
Verizon New York Inc. 7.375% 4/1/32 650 805
Verizon Virginia Inc. 4.625% 3/15/13 1,725 1,803
Vodafone Group plc 5.000% 12/16/13 475 514
Vodafone Group plc 5.375% 1/30/15 6,775 7,548
Vodafone Group plc 5.750% 3/15/16 1,825 2,099
Vodafone Group plc 5.625% 2/27/17 15,900 18,354
Vodafone Group plc 5.450% 6/10/19 5,000 5,894
Vodafone Group plc 6.250% 11/30/32 2,675 3,283
Vodafone Group plc 6.150% 2/27/37 2,625 3,248
Washington Post Co. 7.250% 2/1/19 875 1,041
WPP Finance UK 5.875% 6/15/14 6,125 6,636
WPP Finance UK 8.000% 9/15/14 2,625 2,989
 
Consumer Cyclical (1.2%)        
AutoZone Inc. 6.500% 1/15/14 2,000 2,228
AutoZone Inc. 5.750% 1/15/15 4,050 4,470
Best Buy Co. Inc. 6.750% 7/15/13 2,875 3,070
BorgWarner Inc. 4.625% 9/15/20 400 433
Costco Wholesale Corp. 5.500% 3/15/17 3,500 4,140
CVS Caremark Corp. 4.875% 9/15/14 1,675 1,837
CVS Caremark Corp. 3.250% 5/18/15 2,100 2,207
CVS Caremark Corp. 6.125% 8/15/16 2,375 2,739
CVS Caremark Corp. 6.600% 3/15/19 6,065 7,329
CVS Caremark Corp. 4.750% 5/18/20 1,000 1,092
CVS Caremark Corp. 6.250% 6/1/27 10,150 12,268
CVS Caremark Corp. 5.750% 5/15/41 900 1,012
Daimler Finance North America LLC 6.500% 11/15/13 7,100 7,778
7 Daimler Finance North America LLC 2.625% 9/15/16 2,300 2,257
Daimler Finance North America LLC 8.500% 1/18/31 4,700 6,623
Darden Restaurants Inc. 5.625% 10/15/12 2,675 2,791
Darden Restaurants Inc. 6.200% 10/15/17 1,850 2,155
Darden Restaurants Inc. 6.800% 10/15/37 6,450 7,713
eBay Inc. 0.875% 10/15/13 1,150 1,153
eBay Inc. 1.625% 10/15/15 1,150 1,157
eBay Inc. 3.250% 10/15/20 1,175 1,161
Expedia Inc. 7.456% 8/15/18 250 278
Expedia Inc. 5.950% 8/15/20 6,400 6,397
Family Dollar Stores Inc. 5.000% 2/1/21 1,275 1,248
Gap Inc. 5.950% 4/12/21 1,675 1,566
Historic TW Inc. 9.150% 2/1/23 3,425 4,712
Historic TW Inc. 6.625% 5/15/29 2,925 3,317
Home Depot Inc. 5.250% 12/16/13 6,050 6,572
Home Depot Inc. 5.400% 3/1/16 6,175 7,018
Home Depot Inc. 4.400% 4/1/21 400 435
Home Depot Inc. 5.875% 12/16/36 2,250 2,634
Home Depot Inc. 5.400% 9/15/40 7,590 8,411
Home Depot Inc. 5.950% 4/1/41 2,725 3,250
International Game Technology 7.500% 6/15/19 875 1,044
International Game Technology 5.500% 6/15/20 1,030 1,113
Johnson Controls Inc. 5.000% 3/30/20 2,300 2,577
Johnson Controls Inc. 4.250% 3/1/21 5,250 5,539
Johnson Controls Inc. 6.000% 1/15/36 350 416
Kohl's Corp. 6.250% 12/15/17 1,550 1,854
Kohl's Corp. 6.000% 1/15/33 300 342

 

 

Kohl's Corp. 6.875% 12/15/37 700 863
Lowe's Cos. Inc. 5.400% 10/15/16 1,925 2,229
Lowe's Cos. Inc. 6.100% 9/15/17 875 1,054
Lowe's Cos. Inc. 6.875% 2/15/28 350 456
Lowe's Cos. Inc. 6.500% 3/15/29 1,050 1,319
Lowe's Cos. Inc. 5.800% 10/15/36 7,175 8,212
Macy's Retail Holdings Inc. 8.125% 7/15/15 4,925 5,689
Macy's Retail Holdings Inc. 5.900% 12/1/16 3,775 4,127
Macy's Retail Holdings Inc. 6.900% 4/1/29 4,850 5,192
Macy's Retail Holdings Inc. 6.375% 3/15/37 2,300 2,513
Marriott International Inc. 5.625% 2/15/13 850 882
Marriott International Inc. 6.200% 6/15/16 550 621
Marriott International Inc. 6.375% 6/15/17 650 754
McDonald's Corp. 5.300% 3/15/17 300 349
McDonald's Corp. 5.800% 10/15/17 1,825 2,203
McDonald's Corp. 5.350% 3/1/18 2,575 3,063
McDonald's Corp. 5.000% 2/1/19 4,525 5,308
McDonald's Corp. 6.300% 10/15/37 750 1,018
McDonald's Corp. 6.300% 3/1/38 1,825 2,461
Nordstrom Inc. 6.750% 6/1/14 175 198
Nordstrom Inc. 6.250% 1/15/18 5,625 6,661
Nordstrom Inc. 4.750% 5/1/20 1,200 1,314
Nordstrom Inc. 6.950% 3/15/28 425 535
Nordstrom Inc. 7.000% 1/15/38 1,275 1,672
O'Reilly Automotive Inc. 4.875% 1/14/21 600 619
PACCAR Financial Corp. 1.950% 12/17/12 2,150 2,178
PACCAR Inc. 6.875% 2/15/14 1,200 1,356
Staples Inc. 9.750% 1/15/14 6,300 7,308
Target Corp. 5.125% 1/15/13 625 660
Target Corp. 4.000% 6/15/13 600 634
Target Corp. 5.875% 7/15/16 3,575 4,247
Target Corp. 5.375% 5/1/17 100 117
Target Corp. 6.000% 1/15/18 2,850 3,471
Target Corp. 7.000% 7/15/31 1,425 1,881
Target Corp. 6.350% 11/1/32 2,075 2,567
Target Corp. 6.500% 10/15/37 2,400 3,118
Target Corp. 7.000% 1/15/38 12,700 17,315
Time Warner Cos. Inc. 7.570% 2/1/24 325 408
Time Warner Cos. Inc. 6.950% 1/15/28 150 176
Time Warner Inc. 3.150% 7/15/15 7,928 8,181
Time Warner Inc. 5.875% 11/15/16 2,525 2,862
Time Warner Inc. 4.875% 3/15/20 3,975 4,249
Time Warner Inc. 4.700% 1/15/21 4,250 4,476
Time Warner Inc. 4.750% 3/29/21 7,975 8,400
Time Warner Inc. 7.625% 4/15/31 5,700 7,074
Time Warner Inc. 7.700% 5/1/32 7,850 9,869
Time Warner Inc. 6.500% 11/15/36 1,900 2,134
Time Warner Inc. 6.200% 3/15/40 950 1,055
Time Warner Inc. 6.100% 7/15/40 1,725 1,905
Time Warner Inc. 6.250% 3/29/41 5,275 5,965
TJX Cos. Inc. 4.200% 8/15/15 6,265 6,839
TJX Cos. Inc. 6.950% 4/15/19 6,150 7,773
Toyota Motor Credit Corp. 3.200% 6/17/15 5,500 5,763
Toyota Motor Credit Corp. 2.800% 1/11/16 1,300 1,332
Toyota Motor Credit Corp. 2.000% 9/15/16 3,125 3,082
Toyota Motor Credit Corp. 4.250% 1/11/21 4,200 4,566
Toyota Motor Credit Corp. 3.400% 9/15/21 1,200 1,200
VF Corp. 5.950% 11/1/17 850 1,010

 

 

VF Corp. 3.500% 9/1/21 4,400 4,445
VF Corp. 6.450% 11/1/37 625 796
Viacom Inc. 4.375% 9/15/14 375 402
Viacom Inc. 3.500% 4/1/17 700 709
Viacom Inc. 6.125% 10/5/17 1,250 1,420
Viacom Inc. 5.625% 9/15/19 12,235 13,819
Viacom Inc. 6.875% 4/30/36 4,325 5,186
Wal-Mart Stores Inc. 4.250% 4/15/13 25 26
Wal-Mart Stores Inc. 4.550% 5/1/13 2,250 2,389
Wal-Mart Stores Inc. 7.250% 6/1/13 550 609
Wal-Mart Stores Inc. 1.625% 4/15/14 5,525 5,649
Wal-Mart Stores Inc. 3.200% 5/15/14 2,100 2,232
Wal-Mart Stores Inc. 2.875% 4/1/15 2,425 2,575
Wal-Mart Stores Inc. 4.500% 7/1/15 2,225 2,494
Wal-Mart Stores Inc. 2.250% 7/8/15 1,275 1,325
Wal-Mart Stores Inc. 1.500% 10/25/15 11,250 11,390
Wal-Mart Stores Inc. 5.375% 4/5/17 625 738
Wal-Mart Stores Inc. 5.800% 2/15/18 5,625 6,837
Wal-Mart Stores Inc. 3.625% 7/8/20 3,950 4,228
Wal-Mart Stores Inc. 3.250% 10/25/20 6,205 6,464
Wal-Mart Stores Inc. 4.250% 4/15/21 5,250 5,908
Wal-Mart Stores Inc. 5.875% 4/5/27 11,050 13,789
Wal-Mart Stores Inc. 7.550% 2/15/30 3,650 5,203
Wal-Mart Stores Inc. 5.250% 9/1/35 1,425 1,635
Wal-Mart Stores Inc. 6.500% 8/15/37 7,925 10,582
Wal-Mart Stores Inc. 6.200% 4/15/38 6,400 8,263
Wal-Mart Stores Inc. 5.625% 4/1/40 1,700 2,074
Wal-Mart Stores Inc. 4.875% 7/8/40 875 970
Wal-Mart Stores Inc. 5.000% 10/25/40 1,850 2,086
Wal-Mart Stores Inc. 5.625% 4/15/41 5,000 6,149
Walgreen Co. 4.875% 8/1/13 3,575 3,838
Walgreen Co. 5.250% 1/15/19 1,675 1,985
Walt Disney Co. 4.700% 12/1/12 100 105
Walt Disney Co. 4.500% 12/15/13 2,300 2,487
Walt Disney Co. 6.200% 6/20/14 2,000 2,271
Walt Disney Co. 5.625% 9/15/16 3,425 4,018
Walt Disney Co. 5.875% 12/15/17 1,875 2,256
Walt Disney Co. 7.000% 3/1/32 325 461
Western Union Co. 6.500% 2/26/14 3,275 3,618
Western Union Co. 5.930% 10/1/16 1,825 2,047
Western Union Co. 5.253% 4/1/20 240 266
Western Union Co. 6.200% 11/17/36 850 927
Western Union Co. 6.200% 6/21/40 1,100 1,188
Yum! Brands Inc. 4.250% 9/15/15 2,000 2,147
Yum! Brands Inc. 6.250% 4/15/16 2,850 3,333
Yum! Brands Inc. 6.250% 3/15/18 1,750 2,073
Yum! Brands Inc. 3.875% 11/1/20 1,175 1,208
Yum! Brands Inc. 6.875% 11/15/37 1,350 1,779
 
Consumer Noncyclical (2.8%)        
Abbott Laboratories 5.150% 11/30/12 1,100 1,160
Abbott Laboratories 4.350% 3/15/14 2,075 2,261
Abbott Laboratories 5.875% 5/15/16 5,500 6,481
Abbott Laboratories 5.600% 11/30/17 4,450 5,278
Abbott Laboratories 5.125% 4/1/19 925 1,092
Abbott Laboratories 4.125% 5/27/20 3,000 3,336
Abbott Laboratories 6.150% 11/30/37 5,600 7,236
Abbott Laboratories 6.000% 4/1/39 575 738

 

 

Abbott Laboratories 5.300% 5/27/40 3,000 3,597
Allergan Inc. 5.750% 4/1/16 400 463
Allergan Inc. 3.375% 9/15/20 5,000 5,167
Altria Group Inc. 8.500% 11/10/13 8,450 9,658
Altria Group Inc. 7.750% 2/6/14 4,600 5,246
Altria Group Inc. 4.125% 9/11/15 500 537
Altria Group Inc. 9.700% 11/10/18 3,300 4,366
Altria Group Inc. 9.250% 8/6/19 75 99
Altria Group Inc. 4.750% 5/5/21 2,150 2,236
Altria Group Inc. 9.950% 11/10/38 14,800 21,062
Altria Group Inc. 10.200% 2/6/39 7,400 10,774
AmerisourceBergen Corp. 5.875% 9/15/15 7,375 8,428
AmerisourceBergen Corp. 4.875% 11/15/19 975 1,094
Amgen Inc. 4.850% 11/18/14 9,375 10,445
Amgen Inc. 2.300% 6/15/16 6,075 6,240
Amgen Inc. 5.850% 6/1/17 7,750 9,231
Amgen Inc. 5.700% 2/1/19 525 629
Amgen Inc. 3.450% 10/1/20 825 852
Amgen Inc. 4.100% 6/15/21 1,075 1,158
Amgen Inc. 6.375% 6/1/37 2,200 2,835
Amgen Inc. 6.900% 6/1/38 2,300 3,116
Amgen Inc. 6.400% 2/1/39 2,725 3,564
Amgen Inc. 5.750% 3/15/40 1,700 2,048
Amgen Inc. 4.950% 10/1/41 4,275 4,671
Amgen Inc. 5.650% 6/15/42 1,700 2,062
Anheuser-Busch Cos. Inc. 4.375% 1/15/13 1,150 1,198
Anheuser-Busch Cos. Inc. 5.600% 3/1/17 1,375 1,590
Anheuser-Busch Cos. Inc. 5.500% 1/15/18 6,307 7,377
Anheuser-Busch Cos. Inc. 6.800% 8/20/32 775 1,030
Anheuser-Busch Cos. Inc. 5.750% 4/1/36 2,905 3,523
Anheuser-Busch InBev Worldwide Inc. 3.000% 10/15/12 4,000 4,088
Anheuser-Busch InBev Worldwide Inc. 2.500% 3/26/13 3,800 3,874
Anheuser-Busch InBev Worldwide Inc. 1.500% 7/14/14 825 831
Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 3,700 4,141
Anheuser-Busch InBev Worldwide Inc. 4.125% 1/15/15 4,000 4,331
Anheuser-Busch InBev Worldwide Inc. 2.875% 2/15/16 6,200 6,512
Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 3,275 4,266
Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 3,675 4,676
Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 11,100 12,916
Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 2,600 2,987
Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 3,875 4,301
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 8,000 12,060
Anheuser-Busch InBev Worldwide Inc. 6.375% 1/15/40 2,825 3,699
Archer-Daniels-Midland Co. 8.375% 4/15/17 100 130
Archer-Daniels-Midland Co. 5.450% 3/15/18 3,625 4,292
Archer-Daniels-Midland Co. 4.479% 3/1/21 1,850 2,064
Archer-Daniels-Midland Co. 5.935% 10/1/32 1,775 2,236
Archer-Daniels-Midland Co. 5.375% 9/15/35 1,850 2,136
Archer-Daniels-Midland Co. 5.765% 3/1/41 4,300 5,386
AstraZeneca plc 5.900% 9/15/17 5,125 6,140
AstraZeneca plc 6.450% 9/15/37 7,310 9,778
Avon Products Inc. 5.750% 3/1/18 2,460 2,818
Avon Products Inc. 6.500% 3/1/19 1,160 1,372
Baptist Health South Florida Obligated Group 4.590% 8/15/21 375 409
Baxter International Inc. 5.900% 9/1/16 875 1,039
Baxter International Inc. 4.250% 3/15/20 900 993
Becton Dickinson and Co. 5.000% 5/15/19 450 522
Becton Dickinson and Co. 3.250% 11/12/20 5,700 5,869

 

 

Biogen Idec Inc. 6.000% 3/1/13 750 795
Biogen Idec Inc. 6.875% 3/1/18 4,300 5,248
Boston Scientific Corp. 4.500% 1/15/15 3,000 3,139
Boston Scientific Corp. 6.250% 11/15/15 6,000 6,696
Boston Scientific Corp. 5.125% 1/12/17 3,750 4,025
Boston Scientific Corp. 6.000% 1/15/20 3,725 4,157
Boston Scientific Corp. 7.000% 11/15/35 700 815
Boston Scientific Corp. 7.375% 1/15/40 1,400 1,741
Bottling Group LLC 4.625% 11/15/12 5,025 5,244
Bottling Group LLC 5.000% 11/15/13 2,700 2,926
Bottling Group LLC 6.950% 3/15/14 4,225 4,814
Bottling Group LLC 5.500% 4/1/16 4,050 4,715
Bottling Group LLC 5.125% 1/15/19 1,500 1,746
Bristol-Myers Squibb Co. 5.250% 8/15/13 650 705
Bristol-Myers Squibb Co. 5.450% 5/1/18 800 958
Bristol-Myers Squibb Co. 7.150% 6/15/23 100 139
Bristol-Myers Squibb Co. 6.800% 11/15/26 100 132
Bristol-Myers Squibb Co. 5.875% 11/15/36 2,888 3,617
Bristol-Myers Squibb Co. 6.125% 5/1/38 475 627
Bristol-Myers Squibb Co. 6.875% 8/1/97 325 470
Bunge Ltd. Finance Corp. 5.100% 7/15/15 575 607
Bunge Ltd. Finance Corp. 8.500% 6/15/19 13,150 16,146
Campbell Soup Co. 3.050% 7/15/17 525 557
Campbell Soup Co. 4.250% 4/15/21 2,175 2,392
Cardinal Health Inc. 4.000% 6/15/15 100 107
Cardinal Health Inc. 4.625% 12/15/20 4,700 5,102
CareFusion Corp. 5.125% 8/1/14 1,985 2,161
CareFusion Corp. 6.375% 8/1/19 4,850 5,824
Celgene Corp. 2.450% 10/15/15 750 758
Celgene Corp. 3.950% 10/15/20 5,500 5,666
Celgene Corp. 5.700% 10/15/40 600 676
Church & Dwight Co. Inc. 3.350% 12/15/15 1,000 1,036
Cia de Bebidas das Americas 8.750% 9/15/13 1,450 1,624
Clorox Co. 5.000% 3/1/13 1,635 1,717
Clorox Co. 5.000% 1/15/15 525 561
Clorox Co. 3.550% 11/1/15 1,850 1,911
Clorox Co. 5.950% 10/15/17 8,722 9,535
Coca-Cola Co. 0.750% 11/15/13 6,200 6,204
7 Coca-Cola Co. 1.800% 9/1/16 2,900 2,916
Coca-Cola Co. 5.350% 11/15/17 2,850 3,381
Coca-Cola Co. 4.875% 3/15/19 5,910 6,855
Coca-Cola Co. 3.150% 11/15/20 1,100 1,139
7 Coca-Cola Co. 3.300% 9/1/21 175 182
Coca-Cola Enterprises Inc. 2.125% 9/15/15 800 807
Coca-Cola Femsa SAB de CV 4.625% 2/15/20 775 821
Coca-Cola HBC Finance BV 5.125% 9/17/13 325 348
Coca-Cola HBC Finance BV 5.500% 9/17/15 3,500 3,899
Coca-Cola Refreshments USA Inc. 7.375% 3/3/14 4,425 5,061
Coca-Cola Refreshments USA Inc. 4.250% 3/1/15 2,200 2,428
Coca-Cola Refreshments USA Inc. 8.500% 2/1/22 1,800 2,592
ConAgra Foods Inc. 5.875% 4/15/14 1,295 1,418
ConAgra Foods Inc. 5.819% 6/15/17 225 247
ConAgra Foods Inc. 7.125% 10/1/26 450 522
ConAgra Foods Inc. 7.000% 10/1/28 250 290
Corn Products International Inc. 3.200% 11/1/15 1,700 1,750
Corn Products International Inc. 4.625% 11/1/20 1,215 1,286
Corn Products International Inc. 6.625% 4/15/37 575 687
Covidien International Finance SA 5.450% 10/15/12 725 759

 

 

Covidien International Finance SA 1.875% 6/15/13 8,000 8,114
Covidien International Finance SA 6.000% 10/15/17 1,525 1,811
Covidien International Finance SA 6.550% 10/15/37 4,704 6,061
CR Bard Inc. 4.400% 1/15/21 1,985 2,221
CR Bard Inc. 6.700% 12/1/26 1,800 2,376
Delhaize Group SA 5.875% 2/1/14 1,400 1,529
Delhaize Group SA 5.700% 10/1/40 1,587 1,649
Diageo Capital plc 5.200% 1/30/13 2,425 2,556
Diageo Capital plc 5.500% 9/30/16 425 487
Diageo Capital plc 5.750% 10/23/17 3,000 3,529
Diageo Capital plc 4.828% 7/15/20 3,100 3,484
Diageo Capital plc 5.875% 9/30/36 200 249
Diageo Finance BV 5.300% 10/28/15 1,800 2,051
Diageo Investment Corp. 7.450% 4/15/35 200 293
Dr Pepper Snapple Group Inc. 2.350% 12/21/12 1,125 1,141
Dr Pepper Snapple Group Inc. 6.120% 5/1/13 525 565
Dr Pepper Snapple Group Inc. 2.900% 1/15/16 2,750 2,850
Dr Pepper Snapple Group Inc. 6.820% 5/1/18 420 523
Dr Pepper Snapple Group Inc. 7.450% 5/1/38 425 587
Eli Lilly & Co. 4.200% 3/6/14 2,200 2,374
Eli Lilly & Co. 5.200% 3/15/17 2,625 3,044
Eli Lilly & Co. 5.500% 3/15/27 2,950 3,554
Eli Lilly & Co. 5.550% 3/15/37 1,800 2,183
7 Energizer Holdings Inc. 4.700% 5/19/21 1,325 1,419
Estee Lauder Cos. Inc. 6.000% 5/15/37 200 251
Express Scripts Inc. 6.250% 6/15/14 4,700 5,172
Fortune Brands Inc. 5.875% 1/15/36 875 909
Genentech Inc. 4.750% 7/15/15 800 892
Genentech Inc. 5.250% 7/15/35 300 348
General Mills Inc. 5.250% 8/15/13 1,650 1,779
General Mills Inc. 5.200% 3/17/15 2,000 2,236
General Mills Inc. 5.700% 2/15/17 2,525 2,958
General Mills Inc. 5.650% 2/15/19 6,725 7,993
General Mills Inc. 5.400% 6/15/40 5,000 5,872
Gilead Sciences Inc. 4.500% 4/1/21 2,900 3,119
GlaxoSmithKline Capital Inc. 4.850% 5/15/13 9,125 9,734
GlaxoSmithKline Capital Inc. 4.375% 4/15/14 6,225 6,804
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 4,850 5,869
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 950 1,138
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 13,830 18,535
Hasbro Inc. 6.125% 5/15/14 5,000 5,489
Hasbro Inc. 6.300% 9/15/17 2,125 2,419
Hasbro Inc. 6.350% 3/15/40 1,200 1,295
Hershey Co. 5.450% 9/1/16 425 491
Hershey Co. 4.125% 12/1/20 1,475 1,625
HJ Heinz Co. 5.350% 7/15/13 7,775 8,361
HJ Heinz Finance Co. 6.750% 3/15/32 1,125 1,482
Hormel Foods Corp. 4.125% 4/15/21 625 693
Hospira Inc. 5.900% 6/15/14 500 549
Hospira Inc. 6.400% 5/15/15 275 312
Hospira Inc. 6.050% 3/30/17 100 115
Hospira Inc. 5.600% 9/15/40 1,075 1,196
Johnson & Johnson 5.550% 8/15/17 1,700 2,054
Johnson & Johnson 5.150% 7/15/18 550 666
Johnson & Johnson 2.950% 9/1/20 10,000 10,606
Johnson & Johnson 6.950% 9/1/29 1,300 1,890
Johnson & Johnson 4.950% 5/15/33 1,600 1,914
Johnson & Johnson 5.950% 8/15/37 800 1,080

 

 

Johnson & Johnson 4.500% 9/1/40 1,370 1,532
Kellogg Co. 5.125% 12/3/12 4,025 4,225
Kellogg Co. 4.000% 12/15/20 3,475 3,742
Kellogg Co. 7.450% 4/1/31 1,150 1,661
Kimberly-Clark Corp. 4.875% 8/15/15 1,875 2,113
Kimberly-Clark Corp. 6.125% 8/1/17 2,475 2,975
Kimberly-Clark Corp. 7.500% 11/1/18 800 1,057
Kimberly-Clark Corp. 3.625% 8/1/20 3,150 3,376
Kimberly-Clark Corp. 3.875% 3/1/21 2,350 2,581
Kimberly-Clark Corp. 6.625% 8/1/37 200 272
Kimberly-Clark Corp. 5.300% 3/1/41 1,600 1,923
Koninklijke Philips Electronics NV 4.625% 3/11/13 2,550 2,683
Koninklijke Philips Electronics NV 5.750% 3/11/18 2,750 3,157
Koninklijke Philips Electronics NV 6.875% 3/11/38 3,050 3,899
Kraft Foods Inc. 5.625% 11/1/11 509 511
Kraft Foods Inc. 6.000% 2/11/13 2,950 3,131
Kraft Foods Inc. 2.625% 5/8/13 8,300 8,486
Kraft Foods Inc. 5.250% 10/1/13 3,100 3,305
Kraft Foods Inc. 6.750% 2/19/14 200 224
Kraft Foods Inc. 4.125% 2/9/16 5,775 6,177
Kraft Foods Inc. 6.500% 8/11/17 5,775 6,850
Kraft Foods Inc. 6.125% 2/1/18 100 117
Kraft Foods Inc. 6.125% 8/23/18 7,650 9,060
Kraft Foods Inc. 5.375% 2/10/20 18,600 21,023
Kraft Foods Inc. 6.500% 11/1/31 3,275 4,094
Kraft Foods Inc. 7.000% 8/11/37 3,675 4,733
Kraft Foods Inc. 6.875% 2/1/38 4,975 6,262
Kraft Foods Inc. 6.875% 1/26/39 525 663
Kraft Foods Inc. 6.500% 2/9/40 7,375 8,936
Kroger Co. 5.500% 2/1/13 425 448
Kroger Co. 5.000% 4/15/13 1,050 1,107
Kroger Co. 4.950% 1/15/15 1,950 2,155
Kroger Co. 3.900% 10/1/15 2,350 2,517
Kroger Co. 6.400% 8/15/17 200 237
Kroger Co. 6.800% 12/15/18 2,400 2,962
Kroger Co. 7.700% 6/1/29 2,800 3,726
Kroger Co. 8.000% 9/15/29 3,775 5,144
Kroger Co. 7.500% 4/1/31 625 839
Laboratory Corp. of America Holdings 5.500% 2/1/13 425 448
Laboratory Corp. of America Holdings 5.625% 12/15/15 1,025 1,159
Life Technologies Corp. 4.400% 3/1/15 1,700 1,780
Life Technologies Corp. 3.500% 1/15/16 2,800 2,852
Life Technologies Corp. 6.000% 3/1/20 1,750 1,938
Life Technologies Corp. 5.000% 1/15/21 1,350 1,400
Lorillard Tobacco Co. 3.500% 8/4/16 1,625 1,622
Lorillard Tobacco Co. 8.125% 6/23/19 3,075 3,618
Lorillard Tobacco Co. 8.125% 5/1/40 1,000 1,183
Lorillard Tobacco Co. 7.000% 8/4/41 1,550 1,645
McCormick & Co. Inc. 3.900% 7/15/21 875 932
McKesson Corp. 5.250% 3/1/13 3,450 3,646
McKesson Corp. 6.500% 2/15/14 6,000 6,721
McKesson Corp. 4.750% 3/1/21 1,150 1,308
McKesson Corp. 6.000% 3/1/41 5,000 6,399
Mead Johnson Nutrition Co. 3.500% 11/1/14 2,525 2,638
Mead Johnson Nutrition Co. 4.900% 11/1/19 2,309 2,573
Mead Johnson Nutrition Co. 5.900% 11/1/39 3,025 3,576
Medco Health Solutions Inc. 6.125% 3/15/13 1,425 1,507
Medco Health Solutions Inc. 7.250% 8/15/13 625 683

 

 

Medco Health Solutions Inc. 7.125% 3/15/18 8,785 10,604
Medtronic Inc. 4.500% 3/15/14 1,000 1,084
Medtronic Inc. 3.000% 3/15/15 4,200 4,433
Medtronic Inc. 4.750% 9/15/15 1,775 1,993
Medtronic Inc. 4.450% 3/15/20 1,650 1,863
Medtronic Inc. 6.500% 3/15/39 500 693
Medtronic Inc. 5.550% 3/15/40 2,100 2,658
Merck & Co. Inc. 4.375% 2/15/13 1,225 1,289
Merck & Co. Inc. 5.300% 12/1/13 500 549
Merck & Co. Inc. 4.750% 3/1/15 1,200 1,343
Merck & Co. Inc. 4.000% 6/30/15 2,000 2,201
Merck & Co. Inc. 2.250% 1/15/16 1,850 1,916
Merck & Co. Inc. 6.000% 9/15/17 2,300 2,804
Merck & Co. Inc. 5.000% 6/30/19 6,650 7,912
Merck & Co. Inc. 3.875% 1/15/21 5,970 6,508
Merck & Co. Inc. 6.400% 3/1/28 1,525 2,032
Merck & Co. Inc. 5.950% 12/1/28 775 985
Merck & Co. Inc. 6.500% 12/1/33 4,675 6,440
Merck & Co. Inc. 5.750% 11/15/36 325 410
Merck & Co. Inc. 6.550% 9/15/37 4,425 6,208
Merck & Co. Inc. 5.850% 6/30/39 1,025 1,334
Novant Health Inc. 5.850% 11/1/19 2,125 2,464
Novartis Capital Corp. 1.900% 4/24/13 2,600 2,652
Novartis Capital Corp. 4.125% 2/10/14 6,525 7,021
Novartis Capital Corp. 2.900% 4/24/15 13,575 14,358
Novartis Securities Investment Ltd. 5.125% 2/10/19 9,825 11,628
PepsiAmericas Inc. 4.375% 2/15/14 100 108
PepsiAmericas Inc. 4.875% 1/15/15 5,100 5,684
PepsiAmericas Inc. 5.000% 5/15/17 1,400 1,603
PepsiCo Inc. 4.650% 2/15/13 2,900 3,063
PepsiCo Inc. 0.875% 10/25/13 5,000 5,002
PepsiCo Inc. 3.750% 3/1/14 1,150 1,234
PepsiCo Inc. 2.500% 5/10/16 800 829
PepsiCo Inc. 5.000% 6/1/18 425 495
PepsiCo Inc. 7.900% 11/1/18 2,050 2,747
PepsiCo Inc. 4.500% 1/15/20 2,800 3,152
PepsiCo Inc. 3.125% 11/1/20 4,200 4,306
PepsiCo Inc. 5.500% 1/15/40 5,425 6,761
PepsiCo Inc. 4.875% 11/1/40 4,275 4,849
Pfizer Inc. 5.350% 3/15/15 15,275 17,311
Pfizer Inc. 6.200% 3/15/19 7,150 8,895
Pfizer Inc. 7.200% 3/15/39 10,500 15,285
Pharmacia Corp. 6.500% 12/1/18 200 251
Pharmacia Corp. 6.600% 12/1/28 625 829
Philip Morris International Inc. 4.875% 5/16/13 6,650 7,061
Philip Morris International Inc. 6.875% 3/17/14 3,900 4,428
Philip Morris International Inc. 2.500% 5/16/16 5,000 5,153
Philip Morris International Inc. 5.650% 5/16/18 8,700 10,293
Philip Morris International Inc. 4.500% 3/26/20 575 637
Philip Morris International Inc. 6.375% 5/16/38 4,100 5,261
4 Procter & Gamble - Esop 9.360% 1/1/21 2,841 3,811
Procter & Gamble Co. 4.950% 8/15/14 850 949
Procter & Gamble Co. 3.500% 2/15/15 4,500 4,835
Procter & Gamble Co. 1.800% 11/15/15 6,925 7,112
Procter & Gamble Co. 4.700% 2/15/19 1,775 2,090
Procter & Gamble Co. 6.450% 1/15/26 2,750 3,635
Procter & Gamble Co. 5.800% 8/15/34 250 327
Procter & Gamble Co. 5.550% 3/5/37 2,050 2,639

 

 

Quest Diagnostics Inc. 5.450% 11/1/15 4,000 4,531
Quest Diagnostics Inc. 6.400% 7/1/17 175 208
Quest Diagnostics Inc. 6.950% 7/1/37 1,225 1,537
Reynolds American Inc. 7.250% 6/1/13 1,575 1,714
Reynolds American Inc. 7.625% 6/1/16 850 1,008
Reynolds American Inc. 7.250% 6/15/37 1,225 1,384
Safeway Inc. 6.250% 3/15/14 5,850 6,514
Safeway Inc. 6.350% 8/15/17 1,325 1,536
Safeway Inc. 3.950% 8/15/20 1,350 1,354
Safeway Inc. 7.250% 2/1/31 1,825 2,295
Sanofi 1.625% 3/28/14 1,050 1,069
Sanofi 2.625% 3/29/16 10,800 11,185
Sanofi 4.000% 3/29/21 3,275 3,530
Sara Lee Corp. 6.125% 11/1/32 2,175 2,191
St. Jude Medical Inc. 2.200% 9/15/13 3,025 3,077
St. Jude Medical Inc. 3.750% 7/15/14 2,875 3,059
St. Jude Medical Inc. 2.500% 1/15/16 1,475 1,513
St. Jude Medical Inc. 4.875% 7/15/19 500 568
Stryker Corp. 3.000% 1/15/15 800 841
Stryker Corp. 2.000% 9/30/16 2,050 2,056
Stryker Corp. 4.375% 1/15/20 700 770
Sysco Corp. 4.200% 2/12/13 625 652
Sysco Corp. 5.250% 2/12/18 3,875 4,558
Sysco Corp. 5.375% 9/21/35 4,948 6,138
Teva Pharmaceutical Finance Co. LLC 5.550% 2/1/16 3,225 3,692
Teva Pharmaceutical Finance II BV / Teva        
Pharmaceutical Finance III LLC 3.000% 6/15/15 1,950 2,044
Thermo Fisher Scientific Inc. 2.150% 12/28/12 875 890
Thermo Fisher Scientific Inc. 2.050% 2/21/14 2,500 2,568
Thermo Fisher Scientific Inc. 3.200% 5/1/15 1,725 1,813
Thermo Fisher Scientific Inc. 4.700% 5/1/20 525 590
Thermo Fisher Scientific Inc. 4.500% 3/1/21 1,850 2,057
Unilever Capital Corp. 3.650% 2/15/14 1,525 1,619
Unilever Capital Corp. 4.800% 2/15/19 700 818
Unilever Capital Corp. 4.250% 2/10/21 5,765 6,567
Unilever Capital Corp. 5.900% 11/15/32 900 1,198
UST LLC 5.750% 3/1/18 1,000 1,134
Watson Pharmaceuticals Inc. 5.000% 8/15/14 1,250 1,354
Whirlpool Corp. 5.500% 3/1/13 4,075 4,245
Whirlpool Corp. 8.600% 5/1/14 900 1,020
Wyeth 5.500% 3/15/13 2,750 2,939
Wyeth 5.500% 2/1/14 1,350 1,491
Wyeth 5.500% 2/15/16 4,650 5,372
Wyeth 5.450% 4/1/17 2,950 3,454
Wyeth 6.450% 2/1/24 2,625 3,423
Wyeth 6.500% 2/1/34 1,450 1,922
Wyeth 6.000% 2/15/36 3,575 4,405
Wyeth 5.950% 4/1/37 6,950 8,865
Zimmer Holdings Inc. 4.625% 11/30/19 700 774
Zimmer Holdings Inc. 5.750% 11/30/39 1,075 1,272
 
Energy (1.4%)        
Alberta Energy Co. Ltd. 7.375% 11/1/31 425 534
Anadarko Finance Co. 7.500% 5/1/31 4,600 5,446
Anadarko Petroleum Corp. 7.625% 3/15/14 7,363 8,281
Anadarko Petroleum Corp. 5.750% 6/15/14 800 871
Anadarko Petroleum Corp. 5.950% 9/15/16 3,000 3,276
Anadarko Petroleum Corp. 6.375% 9/15/17 525 588

 

 

Anadarko Petroleum Corp. 6.950% 6/15/19 500 575
Anadarko Petroleum Corp. 6.450% 9/15/36 9,025 9,472
Anadarko Petroleum Corp. 7.950% 6/15/39 1,925 2,388
Anadarko Petroleum Corp. 6.200% 3/15/40 2,450 2,523
Apache Corp. 5.250% 4/15/13 300 320
Apache Corp. 6.000% 9/15/13 1,925 2,110
Apache Corp. 5.625% 1/15/17 250 297
Apache Corp. 6.900% 9/15/18 5,450 6,864
Apache Corp. 3.625% 2/1/21 2,275 2,383
Apache Corp. 5.100% 9/1/40 1,725 1,897
Apache Corp. 5.250% 2/1/42 740 834
Apache Finance Canada Corp. 7.750% 12/15/29 400 590
Baker Hughes Inc. 6.875% 1/15/29 300 401
Baker Hughes Inc. 5.125% 9/15/40 4,410 5,056
BJ Services Co. 6.000% 6/1/18 850 1,025
BP Capital Markets plc 5.250% 11/7/13 5,475 5,886
BP Capital Markets plc 3.625% 5/8/14 3,650 3,835
BP Capital Markets plc 3.875% 3/10/15 4,525 4,800
BP Capital Markets plc 3.125% 10/1/15 6,500 6,705
BP Capital Markets plc 3.200% 3/11/16 3,725 3,884
BP Capital Markets plc 4.750% 3/10/19 5,300 5,855
BP Capital Markets plc 4.500% 10/1/20 7,295 7,879
BP Capital Markets plc 4.742% 3/11/21 4,550 4,971
Burlington Resources Finance Co. 7.200% 8/15/31 300 392
Burlington Resources Finance Co. 7.400% 12/1/31 1,775 2,542
Cameron International Corp. 6.375% 7/15/18 225 263
Cameron International Corp. 7.000% 7/15/38 100 123
Canadian Natural Resources Ltd. 5.450% 10/1/12 1,175 1,224
Canadian Natural Resources Ltd. 5.150% 2/1/13 475 500
Canadian Natural Resources Ltd. 4.900% 12/1/14 4,225 4,679
Canadian Natural Resources Ltd. 6.000% 8/15/16 1,150 1,355
Canadian Natural Resources Ltd. 7.200% 1/15/32 1,875 2,402
Canadian Natural Resources Ltd. 6.450% 6/30/33 2,025 2,494
Canadian Natural Resources Ltd. 6.500% 2/15/37 5,600 6,947
Canadian Natural Resources Ltd. 6.250% 3/15/38 2,030 2,440
Cenovus Energy Inc. 5.700% 10/15/19 7,050 8,150
Cenovus Energy Inc. 6.750% 11/15/39 2,725 3,363
Chevron Corp. 3.950% 3/3/14 3,375 3,637
Chevron Corp. 4.950% 3/3/19 2,750 3,261
ConocoPhillips 4.750% 2/1/14 5,550 6,014
ConocoPhillips 4.600% 1/15/15 6,600 7,255
ConocoPhillips 5.750% 2/1/19 12,975 15,486
ConocoPhillips 5.900% 10/15/32 725 875
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 4,525 5,251
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 4,825 6,036
ConocoPhillips Holding Co. 6.950% 4/15/29 2,850 3,802
Devon Energy Corp. 5.625% 1/15/14 1,475 1,616
Devon Energy Corp. 2.400% 7/15/16 800 811
Devon Energy Corp. 4.000% 7/15/21 2,000 2,098
Devon Energy Corp. 7.950% 4/15/32 1,650 2,329
Devon Energy Corp. 5.600% 7/15/41 3,000 3,440
Devon Financing Corp. ULC 7.875% 9/30/31 5,275 7,403
Diamond Offshore Drilling Inc. 4.875% 7/1/15 2,275 2,506
Diamond Offshore Drilling Inc. 5.875% 5/1/19 850 986
Diamond Offshore Drilling Inc. 5.700% 10/15/39 1,850 2,065
Encana Corp. 5.900% 12/1/17 2,100 2,404
Encana Corp. 7.200% 11/1/31 1,800 2,224
Encana Corp. 6.500% 8/15/34 2,925 3,286

 

 

Encana Corp. 6.625% 8/15/37 4,700 5,474
EnCana Holdings Finance Corp. 5.800% 5/1/14 4,350 4,752
Eni USA Inc. 7.300% 11/15/27 175 217
Ensco plc 3.250% 3/15/16 2,075 2,106
Ensco plc 4.700% 3/15/21 9,250 9,386
EOG Resources Inc. 6.125% 10/1/13 575 633
EOG Resources Inc. 5.875% 9/15/17 1,900 2,237
EOG Resources Inc. 5.625% 6/1/19 3,350 3,989
EOG Resources Inc. 4.400% 6/1/20 325 357
EOG Resources Inc. 4.100% 2/1/21 4,900 5,250
Global Marine Inc. 7.000% 6/1/28 5,850 6,407
Halliburton Co. 7.450% 9/15/39 900 1,264
Hess Corp. 8.125% 2/15/19 3,900 5,048
Hess Corp. 7.875% 10/1/29 1,450 1,955
Hess Corp. 7.125% 3/15/33 1,375 1,761
Hess Corp. 5.600% 2/15/41 7,580 8,224
Husky Energy Inc. 5.900% 6/15/14 7,025 7,743
Husky Energy Inc. 6.150% 6/15/19 200 240
Husky Energy Inc. 7.250% 12/15/19 1,225 1,513
Husky Energy Inc. 6.800% 9/15/37 875 1,069
Kerr-McGee Corp. 6.950% 7/1/24 3,300 3,864
Kerr-McGee Corp. 7.875% 9/15/31 875 1,061
Marathon Oil Corp. 6.000% 10/1/17 10,460 12,116
Marathon Oil Corp. 5.900% 3/15/18 1,228 1,434
7 Marathon Petroleum Corp. 3.500% 3/1/16 1,000 1,036
7 Marathon Petroleum Corp. 5.125% 3/1/21 2,425 2,520
7 Marathon Petroleum Corp. 6.500% 3/1/41 1,500 1,618
Nabors Industries Inc. 6.150% 2/15/18 2,650 2,950
Nabors Industries Inc. 9.250% 1/15/19 1,375 1,746
Nabors Industries Inc. 5.000% 9/15/20 2,675 2,751
Nexen Inc. 7.875% 3/15/32 325 420
Nexen Inc. 5.875% 3/10/35 100 96
Nexen Inc. 6.400% 5/15/37 7,850 8,007
Nexen Inc. 7.500% 7/30/39 3,400 3,916
Noble Energy Inc. 8.250% 3/1/19 3,000 3,967
Noble Energy Inc. 8.000% 4/1/27 275 371
Noble Holding International Ltd. 4.900% 8/1/20 900 973
Noble Holding International Ltd. 4.625% 3/1/21 2,500 2,632
Noble Holding International Ltd. 6.200% 8/1/40 1,400 1,635
Noble Holding International Ltd. 6.050% 3/1/41 2,500 2,867
Occidental Petroleum Corp. 2.500% 2/1/16 2,700 2,814
Occidental Petroleum Corp. 4.125% 6/1/16 825 919
Occidental Petroleum Corp. 4.100% 2/1/21 5,100 5,541
Occidental Petroleum Corp. 3.125% 2/15/22 3,000 3,005
PC Financial Partnership 5.000% 11/15/14 900 973
Petro-Canada 4.000% 7/15/13 1,325 1,383
Petro-Canada 7.875% 6/15/26 500 669
Petro-Canada 7.000% 11/15/28 475 581
Petro-Canada 5.350% 7/15/33 1,425 1,447
Petro-Canada 5.950% 5/15/35 2,900 3,119
Petro-Canada 6.800% 5/15/38 525 634
Rowan Cos. Inc. 5.000% 9/1/17 750 788
Rowan Cos. Inc. 7.875% 8/1/19 875 1,034
Shell International Finance BV 1.875% 3/25/13 5,550 5,665
Shell International Finance BV 4.000% 3/21/14 4,210 4,543
Shell International Finance BV 3.100% 6/28/15 14,300 15,189
Shell International Finance BV 3.250% 9/22/15 1,400 1,493
Shell International Finance BV 5.200% 3/22/17 975 1,134

 

 

Shell International Finance BV 4.300% 9/22/19 3,100 3,487
Shell International Finance BV 6.375% 12/15/38 12,125 16,592
Shell International Finance BV 5.500% 3/25/40 3,750 4,648
Statoil ASA 3.875% 4/15/14 1,250 1,336
Statoil ASA 2.900% 10/15/14 950 999
Statoil ASA 3.125% 8/17/17 3,500 3,710
Statoil ASA 5.250% 4/15/19 4,125 4,860
Statoil ASA 7.250% 9/23/27 1,975 2,676
7 Statoil ASA 6.500% 12/1/28 225 297
Statoil ASA 7.150% 1/15/29 1,165 1,579
Statoil ASA 5.100% 8/17/40 4,000 4,687
Suncor Energy Inc. 6.100% 6/1/18 50 58
Suncor Energy Inc. 7.150% 2/1/32 425 526
Suncor Energy Inc. 5.950% 12/1/34 175 188
Suncor Energy Inc. 6.500% 6/15/38 11,950 13,924
Suncor Energy Inc. 6.850% 6/1/39 6,100 7,411
Talisman Energy Inc. 5.125% 5/15/15 375 421
Talisman Energy Inc. 7.750% 6/1/19 7,005 8,687
Talisman Energy Inc. 3.750% 2/1/21 7,425 7,232
Talisman Energy Inc. 7.250% 10/15/27 200 247
Tosco Corp. 8.125% 2/15/30 4,950 7,034
Total Capital Canada Ltd. 1.625% 1/28/14 4,500 4,570
Total Capital SA 3.000% 6/24/15 5,800 6,138
Total Capital SA 2.300% 3/15/16 6,500 6,679
Total Capital SA 4.450% 6/24/20 2,200 2,460
Total Capital SA 4.125% 1/28/21 2,425 2,644
Transocean Inc. 5.250% 3/15/13 1,125 1,172
Transocean Inc. 4.950% 11/15/15 7,325 7,718
Transocean Inc. 6.000% 3/15/18 1,875 1,998
Transocean Inc. 7.500% 4/15/31 775 866
Valero Energy Corp. 4.750% 6/15/13 2,400 2,523
Valero Energy Corp. 6.125% 6/15/17 2,000 2,227
Valero Energy Corp. 9.375% 3/15/19 1,575 2,026
Valero Energy Corp. 6.125% 2/1/20 250 278
Valero Energy Corp. 7.500% 4/15/32 1,725 2,014
Valero Energy Corp. 6.625% 6/15/37 9,289 9,790
Valero Energy Corp. 10.500% 3/15/39 3,000 4,432
Weatherford International Inc. 6.350% 6/15/17 4,625 5,190
Weatherford International Inc. 6.800% 6/15/37 3,050 3,312
Weatherford International Ltd. 5.150% 3/15/13 203 212
Weatherford International Ltd. 5.500% 2/15/16 2,000 2,166
Weatherford International Ltd. 6.000% 3/15/18 6,140 6,792
Weatherford International Ltd. 9.625% 3/1/19 5,200 6,708
Weatherford International Ltd. 5.125% 9/15/20 3,125 3,174
Weatherford International Ltd. 6.500% 8/1/36 2,750 2,878
Weatherford International Ltd. 7.000% 3/15/38 2,480 2,674
Williams Cos. Inc. 7.500% 1/15/31 2,148 2,551
Williams Cos. Inc. 7.750% 6/15/31 630 768
Williams Cos. Inc. 8.750% 3/15/32 500 671
XTO Energy Inc. 5.750% 12/15/13 2,200 2,434
XTO Energy Inc. 6.250% 8/1/17 6,250 7,794
 
Other Industrial (0.0%)        
Cintas Corp. No 2 6.125% 12/1/17 850 1,002
Fluor Corp. 3.375% 9/15/21 1,500 1,519
Massachusetts Development Finance Agency        
Revenue (Harvard University) 4.875% 10/15/40 2,925 3,574

 

 

Massachusetts Health & Educational Facilities        
Authority Revenue (MIT) 5.600% 7/1/11 4,000 5,371
 
Technology (1.0%)        
Adobe Systems Inc. 3.250% 2/1/15 1,525 1,606
Adobe Systems Inc. 4.750% 2/1/20 1,275 1,346
Agilent Technologies Inc. 2.500% 7/15/13 2,387 2,423
Agilent Technologies Inc. 5.500% 9/14/15 1,300 1,423
Agilent Technologies Inc. 6.500% 11/1/17 5,325 6,267
Amphenol Corp. 4.750% 11/15/14 2,475 2,630
Analog Devices Inc. 5.000% 7/1/14 1,200 1,316
Analog Devices Inc. 3.000% 4/15/16 875 915
Applied Materials Inc. 2.650% 6/15/16 525 536
Applied Materials Inc. 4.300% 6/15/21 3,400 3,521
Arrow Electronics Inc. 3.375% 11/1/15 1,225 1,218
Arrow Electronics Inc. 5.125% 3/1/21 515 514
Avnet Inc. 6.625% 9/15/16 225 249
Avnet Inc. 5.875% 6/15/20 4,300 4,607
BMC Software Inc. 7.250% 6/1/18 825 983
Broadcom Corp. 1.500% 11/1/13 5,800 5,812
CA Inc. 6.125% 12/1/14 5,000 5,539
CA Inc. 5.375% 12/1/19 2,750 2,999
Cisco Systems Inc. 1.625% 3/14/14 9,100 9,253
Cisco Systems Inc. 5.500% 2/22/16 11,783 13,593
Cisco Systems Inc. 3.150% 3/14/17 3,000 3,170
Cisco Systems Inc. 4.950% 2/15/19 9,025 10,271
Cisco Systems Inc. 5.900% 2/15/39 6,600 7,937
Cisco Systems Inc. 5.500% 1/15/40 8,800 10,228
Computer Sciences Corp. 6.500% 3/15/18 100 109
Corning Inc. 6.625% 5/15/19 275 336
Corning Inc. 7.250% 8/15/36 100 123
Corning Inc. 5.750% 8/15/40 6,300 7,036
Dell Inc. 4.700% 4/15/13 2,025 2,135
Dell Inc. 1.400% 9/10/13 2,700 2,718
Dell Inc. 2.100% 4/1/14 6,400 6,524
Dell Inc. 3.100% 4/1/16 500 514
Dell Inc. 5.650% 4/15/18 1,100 1,246
Dell Inc. 5.875% 6/15/19 1,250 1,443
Dell Inc. 6.500% 4/15/38 1,200 1,446
Dun & Bradstreet Corp. 6.000% 4/1/13 1,275 1,362
Dun & Bradstreet Corp. 2.875% 11/15/15 350 361
Equifax Inc. 4.450% 12/1/14 775 826
Equifax Inc. 6.300% 7/1/17 425 478
Fiserv Inc. 3.125% 10/1/15 1,000 1,015
Fiserv Inc. 3.125% 6/15/16 3,000 3,025
Fiserv Inc. 6.800% 11/20/17 2,150 2,508
Google Inc. 2.125% 5/19/16 375 386
Google Inc. 3.625% 5/19/21 3,325 3,544
Harris Corp. 5.000% 10/1/15 2,500 2,788
Harris Corp. 6.375% 6/15/19 250 299
Harris Corp. 6.150% 12/15/40 750 859
Hewlett-Packard Co. 4.500% 3/1/13 7,175 7,468
Hewlett-Packard Co. 1.250% 9/13/13 4,225 4,212
Hewlett-Packard Co. 6.125% 3/1/14 10,125 11,102
Hewlett-Packard Co. 1.550% 5/30/14 1,400 1,389
Hewlett-Packard Co. 4.750% 6/2/14 725 775
Hewlett-Packard Co. 2.350% 3/15/15 1,300 1,309
Hewlett-Packard Co. 2.125% 9/13/15 4,275 4,234

 

 

Hewlett-Packard Co. 2.200% 12/1/15 1,625 1,616
Hewlett-Packard Co. 2.650% 6/1/16 1,300 1,301
Hewlett-Packard Co. 3.000% 9/15/16 1,300 1,311
Hewlett-Packard Co. 5.400% 3/1/17 975 1,079
Hewlett-Packard Co. 5.500% 3/1/18 7,325 8,165
Hewlett-Packard Co. 3.750% 12/1/20 5,250 5,085
Hewlett-Packard Co. 6.000% 9/15/41 2,000 2,121
HP Enterprise Services LLC 6.000% 8/1/13 1,775 1,901
IBM International Group Capital LLC 5.050% 10/22/12 5,175 5,409
Intel Corp. 1.950% 10/1/16 2,200 2,217
Intel Corp. 3.300% 10/1/21 2,000 2,042
Intel Corp. 4.800% 10/1/41 4,200 4,528
International Business Machines Corp. 2.100% 5/6/13 850 869
International Business Machines Corp. 7.500% 6/15/13 1,200 1,332
International Business Machines Corp. 1.000% 8/5/13 3,775 3,800
International Business Machines Corp. 6.500% 10/15/13 2,875 3,198
International Business Machines Corp. 2.000% 1/5/16 5,425 5,526
International Business Machines Corp. 1.950% 7/22/16 4,175 4,218
International Business Machines Corp. 5.700% 9/14/17 19,200 22,871
International Business Machines Corp. 7.000% 10/30/25 350 482
International Business Machines Corp. 6.220% 8/1/27 1,975 2,558
International Business Machines Corp. 6.500% 1/15/28 100 134
International Business Machines Corp. 5.875% 11/29/32 225 286
International Business Machines Corp. 5.600% 11/30/39 6,610 8,165
Intuit Inc. 5.750% 3/15/17 575 648
Juniper Networks Inc. 3.100% 3/15/16 1,000 1,019
Juniper Networks Inc. 4.600% 3/15/21 460 474
Juniper Networks Inc. 5.950% 3/15/41 1,000 1,076
KLA-Tencor Corp. 6.900% 5/1/18 1,350 1,543
Lexmark International Inc. 5.900% 6/1/13 925 979
Lexmark International Inc. 6.650% 6/1/18 1,700 1,897
Maxim Integrated Products Inc. 3.450% 6/14/13 700 723
Microsoft Corp. 0.875% 9/27/13 2,960 2,984
Microsoft Corp. 2.950% 6/1/14 2,550 2,704
Microsoft Corp. 1.625% 9/25/15 2,800 2,853
Microsoft Corp. 4.200% 6/1/19 375 416
Microsoft Corp. 3.000% 10/1/20 4,750 4,910
Microsoft Corp. 4.000% 2/8/21 950 1,048
Microsoft Corp. 5.200% 6/1/39 3,975 4,820
Microsoft Corp. 4.500% 10/1/40 2,810 3,100
Microsoft Corp. 5.300% 2/8/41 2,500 3,082
Motorola Solutions Inc. 5.375% 11/15/12 1,650 1,712
Motorola Solutions Inc. 6.000% 11/15/17 6,825 7,576
Nokia Oyj 5.375% 5/15/19 6,600 6,490
Nokia Oyj 6.625% 5/15/39 2,250 2,090
Oracle Corp. 4.950% 4/15/13 3,625 3,863
Oracle Corp. 3.750% 7/8/14 2,850 3,080
Oracle Corp. 5.250% 1/15/16 10,250 11,798
Oracle Corp. 5.750% 4/15/18 1,750 2,090
Oracle Corp. 5.000% 7/8/19 5,500 6,390
7 Oracle Corp. 3.875% 7/15/20 1,625 1,740
Oracle Corp. 6.500% 4/15/38 2,900 3,825
Oracle Corp. 6.125% 7/8/39 2,725 3,407
7 Oracle Corp. 5.375% 7/15/40 3,655 4,245
Pitney Bowes Inc. 3.875% 6/15/13 1,325 1,369
Pitney Bowes Inc. 4.875% 8/15/14 100 107
Pitney Bowes Inc. 4.750% 1/15/16 4,475 4,799
Pitney Bowes Inc. 5.750% 9/15/17 950 997

 

 

Pitney Bowes Inc. 5.250% 1/15/37 1,975 2,051
7 SAIC Inc. 4.450% 12/1/20 1,400 1,517
7 SAIC Inc. 5.950% 12/1/40 800 963
Science Applications International Corp. 5.500% 7/1/33 250 276
Symantec Corp. 2.750% 9/15/15 2,300 2,331
Symantec Corp. 4.200% 9/15/20 800 785
Texas Instruments Inc. 2.375% 5/16/16 1,675 1,722
Tyco Electronics Group SA 4.875% 1/15/21 4,500 4,764
Tyco Electronics Group SA 7.125% 10/1/37 4,575 5,995
Xerox Corp. 8.250% 5/15/14 7,550 8,610
Xerox Corp. 4.250% 2/15/15 3,575 3,789
Xerox Corp. 6.400% 3/15/16 1,525 1,690
Xerox Corp. 6.750% 2/1/17 1,100 1,264
Xerox Corp. 6.350% 5/15/18 3,250 3,678
Xerox Corp. 5.625% 12/15/19 1,165 1,262
 
Transportation (0.4%)        
4 American Airlines 2011-1 Class A Pass        
Through Trust 5.250% 1/31/21 449 400
4 American Airlines 2011-2 Class A Pass        
Through Trust 8.625% 4/15/23 975 968
4 American Airlines Pass Through Trust 2009-        
1A 10.375% 7/2/19 1,525 1,655
Burlington Northern Santa Fe LLC 5.650% 5/1/17 1,025 1,180
Burlington Northern Santa Fe LLC 5.750% 3/15/18 850 991
Burlington Northern Santa Fe LLC 3.600% 9/1/20 750 773
Burlington Northern Santa Fe LLC 7.000% 12/15/25 1,700 2,280
Burlington Northern Santa Fe LLC 6.200% 8/15/36 1,300 1,588
Burlington Northern Santa Fe LLC 5.750% 5/1/40 3,850 4,508
Burlington Northern Santa Fe LLC 5.050% 3/1/41 1,800 1,917
Canadian National Railway Co. 4.400% 3/15/13 875 922
Canadian National Railway Co. 4.950% 1/15/14 125 136
Canadian National Railway Co. 5.800% 6/1/16 200 234
Canadian National Railway Co. 5.850% 11/15/17 350 415
Canadian National Railway Co. 5.550% 3/1/19 5,000 5,989
Canadian National Railway Co. 6.900% 7/15/28 100 136
Canadian National Railway Co. 6.250% 8/1/34 575 769
Canadian National Railway Co. 6.200% 6/1/36 1,375 1,774
Canadian Pacific Railway Co. 4.450% 3/15/23 2,375 2,557
Canadian Pacific Railway Co. 7.125% 10/15/31 200 258
Canadian Pacific Railway Co. 5.950% 5/15/37 325 388
Con-way Inc. 6.700% 5/1/34 2,475 2,438
4 Continental Airlines 1997-4 Class A Pass        
Through Trust 6.900% 1/2/18 826 843
4 Continental Airlines 1998-1 Class A Pass        
Through Trust 6.648% 9/15/17 2,194 2,194
4 Continental Airlines 2007-1 Class A Pass        
Through Trust 5.983% 4/19/22 308 312
4 Continental Airlines 2009-2 Class A Pass        
Through Trust 7.250% 11/10/19 1,142 1,199
4 Continental Airlines 2010-1 Class A Pass        
Through Trust 4.750% 1/12/21 5,000 4,850
CSX Corp. 5.500% 8/1/13 1,900 2,041
CSX Corp. 6.250% 4/1/15 1,325 1,524
CSX Corp. 5.600% 5/1/17 450 516
CSX Corp. 7.900% 5/1/17 886 1,112
CSX Corp. 6.250% 3/15/18 4,875 5,903
CSX Corp. 7.375% 2/1/19 6,550 8,289

 

 

CSX Corp. 3.700% 10/30/20 8,470 8,763
CSX Corp. 6.000% 10/1/36 1,675 2,026
CSX Corp. 6.150% 5/1/37 900 1,096
CSX Corp. 6.220% 4/30/40 2,614 3,244
4 Delta Air Lines 2007-1 Class A Pass Through        
Trust 6.821% 8/10/22 2,951 2,981
4 Delta Air Lines 2009-1 Class A Pass Through        
Trust 7.750% 12/17/19 5,142 5,412
4 Delta Air Lines 2010-2 Class A Pass Through        
Trust 4.950% 5/23/19 1,774 1,757
JB Hunt Transport Services Inc. 3.375% 9/15/15 3,800 3,834
Norfolk Southern Corp. 5.257% 9/17/14 1,845 2,050
Norfolk Southern Corp. 5.750% 1/15/16 2,825 3,247
Norfolk Southern Corp. 7.700% 5/15/17 1,525 1,930
Norfolk Southern Corp. 5.750% 4/1/18 875 1,025
Norfolk Southern Corp. 5.900% 6/15/19 2,175 2,618
Norfolk Southern Corp. 5.590% 5/17/25 100 117
Norfolk Southern Corp. 7.800% 5/15/27 1,280 1,825
Norfolk Southern Corp. 5.640% 5/17/29 525 623
7 Norfolk Southern Corp. 4.837% 10/1/41 4,233 4,408
Norfolk Southern Corp. 6.000% 5/23/11 8,150 9,707
Norfolk Southern Railway Co. 9.750% 6/15/20 775 1,144
Ryder System Inc. 5.850% 3/1/14 600 656
Ryder System Inc. 3.150% 3/2/15 2,150 2,192
Ryder System Inc. 7.200% 9/1/15 1,250 1,471
Ryder System Inc. 3.600% 3/1/16 2,060 2,148
Ryder System Inc. 5.850% 11/1/16 6,075 6,987
Southwest Airlines Co. 5.250% 10/1/14 100 107
Southwest Airlines Co. 5.750% 12/15/16 1,125 1,252
Southwest Airlines Co. 5.125% 3/1/17 250 266
4 Southwest Airlines Co. 2007-1 Pass Through        
Trust 6.150% 8/1/22 773 808
4 UAL 2009-2A Pass Through Trust 9.750% 1/15/17 1,521 1,654
Union Pacific Corp. 5.450% 1/31/13 1,325 1,397
Union Pacific Corp. 6.125% 2/15/20 350 424
Union Pacific Corp. 4.000% 2/1/21 4,325 4,581
7 Union Pacific Corp. 4.163% 7/15/22 4,740 5,061
Union Pacific Corp. 6.625% 2/1/29 400 518
Union Pacific Corp. 5.780% 7/15/40 900 1,080
Union Pacific Corp. 4.750% 9/15/41 2,025 2,080
4 Union Pacific Railroad Co. 2007-3 Pass        
Through Trust 6.176% 1/2/31 428 524
United Parcel Service Inc. 3.875% 4/1/14 3,550 3,827
United Parcel Service Inc. 5.500% 1/15/18 2,200 2,651
United Parcel Service Inc. 5.125% 4/1/19 1,875 2,265
United Parcel Service Inc. 3.125% 1/15/21 9,015 9,435
United Parcel Service Inc. 6.200% 1/15/38 2,150 2,880
        4,655,861
Utilities (2.4%)        
Electric (1.6%)        
AEP Texas Central Co. 6.650% 2/15/33 800 990
Alabama Power Co. 4.850% 12/15/12 4,975 5,208
Alabama Power Co. 6.125% 5/15/38 1,000 1,304
Alabama Power Co. 5.200% 6/1/41 800 933
Ameren Illinois Co. 6.125% 11/15/17 550 646
Ameren Illinois Co. 6.250% 4/1/18 1,275 1,480

 

 

Appalachian Power Co. 3.400% 5/24/15 1,300 1,379
Appalachian Power Co. 4.600% 3/30/21 6,500 7,075
Appalachian Power Co. 5.800% 10/1/35 250 290
Arizona Public Service Co. 5.800% 6/30/14 100 111
Arizona Public Service Co. 4.650% 5/15/15 400 432
Arizona Public Service Co. 5.500% 9/1/35 100 109
Atlantic City Electric Co. 7.750% 11/15/18 2,700 3,596
Baltimore Gas & Electric Co. 5.900% 10/1/16 100 115
Baltimore Gas & Electric Co. 6.350% 10/1/36 200 255
Carolina Power & Light Co. 5.125% 9/15/13 1,825 1,975
CenterPoint Energy Houston Electric LLC 5.700% 3/15/13 4,275 4,559
CenterPoint Energy Houston Electric LLC 5.750% 1/15/14 100 109
CenterPoint Energy Houston Electric LLC 7.000% 3/1/14 1,350 1,517
CenterPoint Energy Houston Electric LLC 6.950% 3/15/33 100 132
CenterPoint Energy Inc. 6.500% 5/1/18 150 176
Cleco Power LLC 6.000% 12/1/40 1,600 1,910
Cleveland Electric Illuminating Co. 5.700% 4/1/17 4,203 4,601
Cleveland Electric Illuminating Co. 7.880% 11/1/17 425 536
Cleveland Electric Illuminating Co. 5.500% 8/15/24 1,125 1,299
Columbus Southern Power Co. 5.850% 10/1/35 1,750 2,023
Commonwealth Edison Co. 5.950% 8/15/16 2,975 3,458
Commonwealth Edison Co. 6.150% 9/15/17 15,207 17,793
Commonwealth Edison Co. 5.800% 3/15/18 1,075 1,260
Commonwealth Edison Co. 4.000% 8/1/20 5,000 5,255
8 Commonwealth Edison Co. 5.875% 2/1/33 100 116
Commonwealth Edison Co. 5.900% 3/15/36 875 1,051
Commonwealth Edison Co. 6.450% 1/15/38 850 1,091
Connecticut Light & Power Co. 6.350% 6/1/36 2,225 2,963
Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 950 998
Consolidated Edison Co. of New York Inc. 5.375% 12/15/15 3,213 3,662
Consolidated Edison Co. of New York Inc. 5.500% 9/15/16 2,225 2,597
Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 5,000 6,259
Consolidated Edison Co. of New York Inc. 5.300% 3/1/35 550 623
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 700 848
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 1,878 2,377
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 625 850
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 5,460 6,578
Consolidated Natural Gas Co. 5.000% 12/1/14 4,660 5,124
Constellation Energy Group Inc. 4.550% 6/15/15 4,750 4,974
Constellation Energy Group Inc. 7.600% 4/1/32 700 853
Consumers Energy Co. 5.375% 4/15/13 1,250 1,329
Consumers Energy Co. 5.500% 8/15/16 800 918
Consumers Energy Co. 6.125% 3/15/19 125 151
Consumers Energy Co. 6.700% 9/15/19 1,225 1,533
Detroit Edison Co. 3.450% 10/1/20 3,415 3,520
Detroit Edison Co. 5.700% 10/1/37 425 531
Dominion Resources Inc. 5.150% 7/15/15 5,600 6,277
Dominion Resources Inc. 2.250% 9/1/15 2,782 2,814
Dominion Resources Inc. 6.000% 11/30/17 1,750 2,066
Dominion Resources Inc. 6.400% 6/15/18 300 362
Dominion Resources Inc. 5.200% 8/15/19 300 348
Dominion Resources Inc. 6.300% 3/15/33 350 428
Dominion Resources Inc. 5.250% 8/1/33 825 930
Dominion Resources Inc. 5.950% 6/15/35 2,375 2,803
Dominion Resources Inc. 4.900% 8/1/41 1,075 1,123
4 Dominion Resources Inc. 7.500% 6/30/66 950 975
DTE Energy Co. 6.375% 4/15/33 100 124
Duke Energy Carolinas LLC 5.750% 11/15/13 100 110

 

 

Duke Energy Carolinas LLC 5.100% 4/15/18 2,000 2,330
Duke Energy Carolinas LLC 4.300% 6/15/20 2,500 2,790
Duke Energy Carolinas LLC 6.000% 12/1/28 2,994 3,656
Duke Energy Carolinas LLC 6.450% 10/15/32 825 1,077
Duke Energy Carolinas LLC 6.100% 6/1/37 2,225 2,810
Duke Energy Carolinas LLC 6.000% 1/15/38 200 260
Duke Energy Carolinas LLC 6.050% 4/15/38 775 1,013
Duke Energy Corp. 3.950% 9/15/14 4,350 4,637
Duke Energy Corp. 3.350% 4/1/15 4,650 4,863
Duke Energy Corp. 5.050% 9/15/19 3,775 4,246
Duke Energy Indiana Inc. 5.000% 9/15/13 275 295
Duke Energy Indiana Inc. 6.050% 6/15/16 1,600 1,821
Duke Energy Indiana Inc. 3.750% 7/15/20 2,500 2,662
Duke Energy Indiana Inc. 6.120% 10/15/35 325 395
Duke Energy Indiana Inc. 6.350% 8/15/38 2,675 3,563
Duke Energy Ohio Inc. 2.100% 6/15/13 675 688
El Paso Electric Co. 6.000% 5/15/35 600 693
Empresa Nacional de Electricidad SA 8.350% 8/1/13 625 684
Entergy Arkansas Inc. 3.750% 2/15/21 3,350 3,412
Entergy Gulf States Louisiana LLC 3.950% 10/1/20 675 682
Entergy Gulf States Louisiana LLC 5.590% 10/1/24 1,670 1,917
Entergy Louisiana LLC 5.400% 11/1/24 450 518
Exelon Corp. 4.900% 6/15/15 1,400 1,521
Exelon Corp. 5.625% 6/15/35 200 216
Exelon Generation Co. LLC 4.000% 10/1/20 6,800 6,791
Exelon Generation Co. LLC 5.750% 10/1/41 1,575 1,690
FirstEnergy Corp. 7.375% 11/15/31 7,830 9,622
FirstEnergy Solutions Corp. 4.800% 2/15/15 3,500 3,707
Florida Power & Light Co. 4.850% 2/1/13 625 657
Florida Power & Light Co. 5.550% 11/1/17 2,675 3,201
Florida Power & Light Co. 5.950% 10/1/33 225 288
Florida Power & Light Co. 5.625% 4/1/34 2,160 2,666
Florida Power & Light Co. 4.950% 6/1/35 250 285
Florida Power & Light Co. 5.400% 9/1/35 425 514
Florida Power & Light Co. 6.200% 6/1/36 1,050 1,404
Florida Power & Light Co. 5.650% 2/1/37 725 907
Florida Power & Light Co. 5.850% 5/1/37 675 867
Florida Power & Light Co. 5.950% 2/1/38 3,100 4,047
Florida Power & Light Co. 5.960% 4/1/39 6,100 8,019
Florida Power & Light Co. 5.690% 3/1/40 425 542
Florida Power & Light Co. 5.250% 2/1/41 500 602
Florida Power Corp. 4.800% 3/1/13 3,075 3,238
Florida Power Corp. 5.650% 6/15/18 1,175 1,417
Florida Power Corp. 6.350% 9/15/37 1,375 1,834
Florida Power Corp. 6.400% 6/15/38 11,900 15,657
Florida Power Corp. 5.650% 4/1/40 3,500 4,317
Georgia Power Co. 3.000% 4/15/16 6,625 6,959
Georgia Power Co. 5.700% 6/1/17 2,525 2,962
Georgia Power Co. 5.650% 3/1/37 100 123
Georgia Power Co. 5.400% 6/1/40 1,575 1,858
Great Plains Energy Inc. 2.750% 8/15/13 1,475 1,499
Iberdrola International BV 6.750% 7/15/36 4,285 4,426
Indiana Michigan Power Co. 7.000% 3/15/19 550 680
Indiana Michigan Power Co. 6.050% 3/15/37 2,850 3,412
4 Integrys Energy Group Inc. 6.110% 12/1/66 1,600 1,536
Interstate Power & Light Co. 6.250% 7/15/39 925 1,210
Jersey Central Power & Light Co. 5.625% 5/1/16 2,525 2,890
Jersey Central Power & Light Co. 5.650% 6/1/17 775 893

 

 

Kansas City Power & Light Co. 6.050% 11/15/35 525 577
Kansas City Power & Light Co. 5.300% 10/1/41 2,250 2,297
4 Kansas Gas & Electric 5.647% 3/29/21 83 87
Kentucky Utilities Co. 1.625% 11/1/15 1,125 1,122
Kentucky Utilities Co. 3.250% 11/1/20 1,250 1,290
Kentucky Utilities Co. 5.125% 11/1/40 3,575 4,240
LG&E and KU Energy LLC 2.125% 11/15/15 1,350 1,323
LG&E and KU Energy LLC 3.750% 11/15/20 1,600 1,581
Louisville Gas & Electric Co. 1.625% 11/15/15 4,875 4,890
Louisville Gas & Electric Co. 5.125% 11/15/40 825 979
Metropolitan Edison Co. 7.700% 1/15/19 1,348 1,708
MidAmerican Energy Co. 5.125% 1/15/13 1,700 1,793
MidAmerican Energy Co. 5.950% 7/15/17 900 1,062
MidAmerican Energy Co. 5.300% 3/15/18 100 117
MidAmerican Energy Co. 6.750% 12/30/31 4,150 5,527
MidAmerican Energy Co. 5.750% 11/1/35 1,575 1,901
Midamerican Energy Holdings Co. 5.875% 10/1/12 2,075 2,180
Midamerican Energy Holdings Co. 5.000% 2/15/14 425 459
Midamerican Energy Holdings Co. 5.750% 4/1/18 1,275 1,472
Midamerican Energy Holdings Co. 8.480% 9/15/28 100 139
Midamerican Energy Holdings Co. 6.125% 4/1/36 9,725 11,677
Midamerican Energy Holdings Co. 5.950% 5/15/37 4,369 5,118
Midamerican Energy Holdings Co. 6.500% 9/15/37 7,700 9,655
National Rural Utilities Cooperative Finance        
Corp. 5.500% 7/1/13 1,725 1,864
National Rural Utilities Cooperative Finance        
Corp. 4.750% 3/1/14 3,375 3,674
National Rural Utilities Cooperative Finance        
Corp. 3.050% 3/1/16 2,950 3,095
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 1,767
National Rural Utilities Cooperative Finance        
Corp. 10.375% 11/1/18 3,500 5,035
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 975 1,365
Nevada Power Co. 6.500% 5/15/18 1,290 1,550
Nevada Power Co. 6.500% 8/1/18 7,270 8,776
Nevada Power Co. 7.125% 3/15/19 4,150 5,204
Nevada Power Co. 6.750% 7/1/37 325 446
Nevada Power Co. 5.375% 9/15/40 400 468
NextEra Energy Capital Holdings Inc. 5.350% 6/15/13 3,725 3,967
NextEra Energy Capital Holdings Inc. 2.550% 11/15/13 2,375 2,426
NextEra Energy Capital Holdings Inc. 2.600% 9/1/15 350 355
NextEra Energy Capital Holdings Inc. 7.875% 12/15/15 2,000 2,400
NextEra Energy Capital Holdings Inc. 6.000% 3/1/19 3,613 4,209
4 NextEra Energy Capital Holdings Inc. 6.350% 10/1/66 2,075 1,992
4 NextEra Energy Capital Holdings Inc. 6.650% 6/15/67 1,503 1,460
Northern States Power Co. 1.950% 8/15/15 425 434
Northern States Power Co. 5.250% 3/1/18 625 744
Northern States Power Co. 5.250% 7/15/35 100 119
Northern States Power Co. 6.250% 6/1/36 525 707
Northern States Power Co. 6.200% 7/1/37 1,475 1,984
Northern States Power Co. 5.350% 11/1/39 1,325 1,617
NSTAR 4.500% 11/15/19 7,777 8,519
NSTAR Electric Co. 4.875% 4/15/14 625 680
NSTAR Electric Co. 5.625% 11/15/17 2,060 2,444

 

 

NSTAR Electric Co. 5.500% 3/15/40 1,250 1,535
Oglethorpe Power Corp. 5.950% 11/1/39 600 734
Oglethorpe Power Corp. 5.375% 11/1/40 2,300 2,612
Ohio Edison Co. 6.400% 7/15/16 1,275 1,490
Ohio Power Co. 5.750% 9/1/13 2,025 2,173
Ohio Power Co. 6.000% 6/1/16 1,050 1,209
Ohio Power Co. 5.375% 10/1/21 3,000 3,367
Oklahoma Gas & Electric Co. 5.850% 6/1/40 1,200 1,509
Oncor Electric Delivery Co. LLC 5.950% 9/1/13 4,800 5,171
Oncor Electric Delivery Co. LLC 6.375% 1/15/15 2,150 2,460
Oncor Electric Delivery Co. LLC 6.800% 9/1/18 2,700 3,269
Oncor Electric Delivery Co. LLC 7.000% 9/1/22 2,900 3,672
Oncor Electric Delivery Co. LLC 7.000% 5/1/32 1,000 1,336
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 150 205
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 1,800 2,589
Pacific Gas & Electric Co. 4.800% 3/1/14 4,375 4,731
Pacific Gas & Electric Co. 5.625% 11/30/17 4,375 5,100
Pacific Gas & Electric Co. 8.250% 10/15/18 4,105 5,484
Pacific Gas & Electric Co. 3.500% 10/1/20 3,000 3,071
Pacific Gas & Electric Co. 4.250% 5/15/21 4,400 4,705
Pacific Gas & Electric Co. 6.050% 3/1/34 10,575 12,718
Pacific Gas & Electric Co. 5.800% 3/1/37 2,695 3,131
Pacific Gas & Electric Co. 6.350% 2/15/38 4,000 4,990
Pacific Gas & Electric Co. 6.250% 3/1/39 1,325 1,639
Pacific Gas & Electric Co. 5.400% 1/15/40 1,500 1,681
PacifiCorp 7.700% 11/15/31 1,185 1,742
PacifiCorp 5.250% 6/15/35 125 143
Peco Energy Co. 5.350% 3/1/18 575 684
Pennsylvania Electric Co. 6.050% 9/1/17 1,378 1,573
Pennsylvania Electric Co. 5.200% 4/1/20 2,250 2,519
Pennsylvania Electric Co. 6.150% 10/1/38 2,250 2,706
Potomac Electric Power Co. 6.500% 11/15/37 3,383 4,556
PPL Electric Utilities Corp. 6.250% 5/15/39 275 368
PPL Energy Supply LLC 6.300% 7/15/13 1,000 1,069
PPL Energy Supply LLC 5.400% 8/15/14 200 216
PPL Energy Supply LLC 6.200% 5/15/16 3,149 3,454
PPL Energy Supply LLC 6.500% 5/1/18 525 603
Progress Energy Inc. 6.050% 3/15/14 625 689
Progress Energy Inc. 7.750% 3/1/31 625 851
PSEG Power LLC 2.500% 4/15/13 2,100 2,130
PSEG Power LLC 5.000% 4/1/14 2,425 2,589
PSEG Power LLC 5.500% 12/1/15 3,125 3,462
PSEG Power LLC 5.125% 4/15/20 540 587
PSEG Power LLC 4.150% 9/15/21 1,100 1,106
PSEG Power LLC 8.625% 4/15/31 975 1,369
Public Service Co. of Colorado 7.875% 10/1/12 3,150 3,362
Public Service Co. of Colorado 5.500% 4/1/14 175 193
Public Service Co. of Colorado 5.800% 8/1/18 425 513
Public Service Co. of Colorado 5.125% 6/1/19 3,925 4,640
Public Service Co. of Colorado 3.200% 11/15/20 5,900 6,057
Public Service Co. of Colorado 6.250% 9/1/37 475 643
Public Service Co. of Oklahoma 5.150% 12/1/19 650 720
Public Service Co. of Oklahoma 6.625% 11/15/37 1,550 2,015
Public Service Electric & Gas Co. 3.500% 8/15/20 625 654
Public Service Electric & Gas Co. 5.800% 5/1/37 3,275 4,120
Public Service Electric & Gas Co. 5.500% 3/1/40 2,725 3,319
Puget Sound Energy Inc. 5.483% 6/1/35 1,350 1,546
Puget Sound Energy Inc. 6.274% 3/15/37 1,525 1,937

 

 

Puget Sound Energy Inc. 5.757% 10/1/39 1,400 1,683
Puget Sound Energy Inc. 5.795% 3/15/40 660 799
Puget Sound Energy Inc. 5.764% 7/15/40 600 724
San Diego Gas & Electric Co. 5.300% 11/15/15 650 753
San Diego Gas & Electric Co. 5.350% 5/15/35 250 300
SCANA Corp. 6.250% 4/1/20 4,455 5,133
Sierra Pacific Power Co. 6.000% 5/15/16 4,050 4,667
Sierra Pacific Power Co. 6.750% 7/1/37 1,450 1,963
South Carolina Electric & Gas Co. 6.500% 11/1/18 2,275 2,867
South Carolina Electric & Gas Co. 6.625% 2/1/32 2,525 3,318
South Carolina Electric & Gas Co. 6.050% 1/15/38 1,550 1,977
Southern California Edison Co. 5.000% 1/15/14 2,725 2,963
Southern California Edison Co. 5.750% 3/15/14 700 779
Southern California Edison Co. 4.650% 4/1/15 425 469
Southern California Edison Co. 5.000% 1/15/16 1,025 1,166
Southern California Edison Co. 3.875% 6/1/21 2,000 2,167
Southern California Edison Co. 6.650% 4/1/29 150 199
Southern California Edison Co. 6.000% 1/15/34 1,000 1,300
Southern California Edison Co. 5.750% 4/1/35 325 413
Southern California Edison Co. 5.350% 7/15/35 1,275 1,546
Southern California Edison Co. 5.550% 1/15/36 500 623
Southern California Edison Co. 5.625% 2/1/36 1,875 2,359
Southern California Edison Co. 5.950% 2/1/38 2,800 3,705
Southern California Edison Co. 4.500% 9/1/40 7,012 7,658
Southern Co. 2.375% 9/15/15 2,850 2,903
Southern Power Co. 4.875% 7/15/15 2,125 2,325
Southern Power Co. 5.150% 9/15/41 2,350 2,449
Southwestern Electric Power Co. 5.550% 1/15/17 100 111
Southwestern Electric Power Co. 6.450% 1/15/19 950 1,121
Tampa Electric Co. 6.100% 5/15/18 475 574
Tampa Electric Co. 6.550% 5/15/36 1,075 1,404
TECO Finance Inc. 4.000% 3/15/16 1,100 1,180
TECO Finance Inc. 5.150% 3/15/20 6,000 6,738
Toledo Edison Co. 6.150% 5/15/37 275 326
TransAlta Corp. 4.750% 1/15/15 400 426
TransAlta Corp. 6.650% 5/15/18 425 496
UIL Holdings Corp. 4.625% 10/1/20 1,000 1,029
Union Electric Co. 5.100% 10/1/19 350 406
Union Electric Co. 8.450% 3/15/39 2,300 3,764
United Utilities plc 5.375% 2/1/19 4,400 4,721
Virginia Electric and Power Co. 5.100% 11/30/12 375 392
Virginia Electric and Power Co. 5.400% 1/15/16 5,250 6,035
Virginia Electric and Power Co. 3.450% 9/1/22 8,000 8,290
Virginia Electric and Power Co. 6.000% 1/15/36 1,575 1,995
Virginia Electric and Power Co. 8.875% 11/15/38 900 1,476
Wisconsin Electric Power Co. 6.000% 4/1/14 825 923
Wisconsin Electric Power Co. 4.250% 12/15/19 2,650 2,949
Wisconsin Electric Power Co. 5.625% 5/15/33 325 394
Wisconsin Electric Power Co. 5.700% 12/1/36 200 242
4 Wisconsin Energy Corp. 6.250% 5/15/67 5,325 5,318
Wisconsin Power & Light Co. 5.000% 7/15/19 475 553
Wisconsin Power & Light Co. 6.375% 8/15/37 1,400 1,855
Xcel Energy Inc. 5.613% 4/1/17 275 311
Xcel Energy Inc. 4.700% 5/15/20 6,800 7,591
Xcel Energy Inc. 6.500% 7/1/36 975 1,285
 
Natural Gas (0.8%)        
AGL Capital Corp. 5.250% 8/15/19 1,600 1,798

 

 

AGL Capital Corp. 3.500% 9/15/21 650 639
AGL Capital Corp. 5.875% 3/15/41 1,200 1,385
Atmos Energy Corp. 4.950% 10/15/14 2,125 2,330
Atmos Energy Corp. 8.500% 3/15/19 450 608
Atmos Energy Corp. 5.500% 6/15/41 3,000 3,526
Boardwalk Pipelines LP 5.500% 2/1/17 925 1,026
British Transco Finance Inc. 6.625% 6/1/18 3,175 3,885
Buckeye Partners LP 6.050% 1/15/18 100 113
CenterPoint Energy Resources Corp. 6.150% 5/1/16 675 775
CenterPoint Energy Resources Corp. 4.500% 1/15/21 2,501 2,578
CenterPoint Energy Resources Corp. 6.625% 11/1/37 2,300 2,791
CenterPoint Energy Resources Corp. 5.850% 1/15/41 625 693
DCP Midstream LLC 8.125% 8/16/30 175 223
DCP Midstream Operating LP 3.250% 10/1/15 1,200 1,205
El Paso Natural Gas Co. 5.950% 4/15/17 9,775 11,003
Enbridge Energy Partners LP 6.500% 4/15/18 3,625 4,242
Enbridge Energy Partners LP 9.875% 3/1/19 4,475 5,973
Enbridge Energy Partners LP 5.200% 3/15/20 525 556
Enbridge Inc. 4.900% 3/1/15 800 878
Enbridge Inc. 5.600% 4/1/17 2,160 2,421
Energy Transfer Partners LP 8.500% 4/15/14 5,000 5,731
Energy Transfer Partners LP 5.950% 2/1/15 4,900 5,269
Energy Transfer Partners LP 6.125% 2/15/17 500 547
Energy Transfer Partners LP 9.000% 4/15/19 1,825 2,201
Energy Transfer Partners LP 6.625% 10/15/36 750 763
Energy Transfer Partners LP 7.500% 7/1/38 7,257 7,801
9 Enron Corp. 7.625% 9/10/04 400 —
9 Enron Corp. 6.625% 11/15/05 300 —
9 Enron Corp. 7.125% 5/15/07 1,800 —
9 Enron Corp. 6.875% 10/15/07 1,800 —
9 Enron Corp. 6.750% 8/1/09 1,300 —
Enterprise Products Operating LLC 5.650% 4/1/13 950 1,002
Enterprise Products Operating LLC 5.900% 4/15/13 625 662
Enterprise Products Operating LLC 9.750% 1/31/14 7,325 8,578
Enterprise Products Operating LLC 5.600% 10/15/14 9,025 9,920
Enterprise Products Operating LLC 6.300% 9/15/17 5,850 6,775
Enterprise Products Operating LLC 6.650% 4/15/18 975 1,149
Enterprise Products Operating LLC 6.500% 1/31/19 750 879
Enterprise Products Operating LLC 5.200% 9/1/20 3,000 3,289
Enterprise Products Operating LLC 6.875% 3/1/33 5,398 6,415
Enterprise Products Operating LLC 7.550% 4/15/38 3,130 3,926
Enterprise Products Operating LLC 5.950% 2/1/41 1,400 1,506
EQT Corp. 6.500% 4/1/18 3,175 3,594
EQT Corp. 8.125% 6/1/19 2,275 2,762
9 HNG Internorth 9.625% 3/15/06 1,000 —
KeySpan Corp. 8.000% 11/15/30 150 213
Kinder Morgan Energy Partners LP 5.000% 12/15/13 5,800 6,212
Kinder Morgan Energy Partners LP 5.125% 11/15/14 3,250 3,540
Kinder Morgan Energy Partners LP 3.500% 3/1/16 3,200 3,302
Kinder Morgan Energy Partners LP 5.950% 2/15/18 3,300 3,746
Kinder Morgan Energy Partners LP 6.850% 2/15/20 2,300 2,698
Kinder Morgan Energy Partners LP 5.300% 9/15/20 5,000 5,385
Kinder Morgan Energy Partners LP 7.300% 8/15/33 350 408
Kinder Morgan Energy Partners LP 6.500% 2/1/37 700 739
Kinder Morgan Energy Partners LP 6.950% 1/15/38 4,600 5,068
Kinder Morgan Energy Partners LP 6.500% 9/1/39 5,275 5,719
Kinder Morgan Energy Partners LP 5.625% 9/1/41 500 492
Magellan Midstream Partners LP 5.650% 10/15/16 250 287

 

 

Magellan Midstream Partners LP 6.550% 7/15/19 1,750 2,097
Magellan Midstream Partners LP 4.250% 2/1/21 3,950 4,080
National Grid plc 6.300% 8/1/16 2,450 2,831
Nisource Finance Corp. 6.150% 3/1/13 100 106
Nisource Finance Corp. 5.400% 7/15/14 425 462
Nisource Finance Corp. 5.250% 9/15/17 650 706
Nisource Finance Corp. 6.800% 1/15/19 4,250 4,963
Nisource Finance Corp. 5.450% 9/15/20 1,400 1,507
Nisource Finance Corp. 6.125% 3/1/22 9,045 10,250
Nisource Finance Corp. 6.250% 12/15/40 2,350 2,575
NuStar Logistics LP 7.650% 4/15/18 1,700 2,047
Oneok Inc. 5.200% 6/15/15 1,000 1,095
Oneok Inc. 6.000% 6/15/35 3,715 4,005
ONEOK Partners LP 3.250% 2/1/16 4,050 4,110
ONEOK Partners LP 6.150% 10/1/16 3,550 4,032
ONEOK Partners LP 8.625% 3/1/19 2,500 3,219
ONEOK Partners LP 6.650% 10/1/36 4,775 5,565
ONEOK Partners LP 6.850% 10/15/37 2,575 3,081
ONEOK Partners LP 6.125% 2/1/41 2,650 2,918
Panhandle Eastern Pipeline Co. LP 6.200% 11/1/17 2,900 3,355
Panhandle Eastern Pipeline Co. LP 7.000% 6/15/18 325 390
Plains All American Pipeline LP / PAA        
Finance Corp. 6.125% 1/15/17 2,000 2,237
Plains All American Pipeline LP / PAA        
Finance Corp. 8.750% 5/1/19 125 160
Plains All American Pipeline LP / PAA        
Finance Corp. 5.000% 2/1/21 5,300 5,546
Questar Corp. 2.750% 2/1/16 2,075 2,097
Sempra Energy 6.000% 2/1/13 200 212
Sempra Energy 9.800% 2/15/19 1,500 2,096
Sempra Energy 6.000% 10/15/39 2,075 2,518
Southern California Gas Co. 5.750% 11/15/35 400 516
7 Southern Natural Gas Co. 5.900% 4/1/17 1,950 2,231
Southern Natural Gas Co. 8.000% 3/1/32 2,299 2,988
7 Southern Natural Gas Co. / Southern Natural        
Issuing Corp. 4.400% 6/15/21 1,725 1,744
Southern Union Co. 7.600% 2/1/24 8,050 9,558
Southern Union Co. 8.250% 11/15/29 700 829
Spectra Energy Capital LLC 6.250% 2/15/13 325 344
Spectra Energy Capital LLC 5.500% 3/1/14 1,250 1,347
Spectra Energy Capital LLC 5.668% 8/15/14 100 110
Spectra Energy Capital LLC 6.750% 2/15/32 725 832
Tennessee Gas Pipeline Co. 7.500% 4/1/17 720 865
Texas Eastern Transmission LP 7.000% 7/15/32 100 128
Texas Gas Transmission LLC 4.600% 6/1/15 1,275 1,371
TransCanada PipeLines Ltd. 4.000% 6/15/13 1,800 1,883
TransCanada PipeLines Ltd. 3.400% 6/1/15 4,000 4,242
TransCanada PipeLines Ltd. 6.500% 8/15/18 8,865 10,964
TransCanada PipeLines Ltd. 7.125% 1/15/19 1,675 2,130
TransCanada PipeLines Ltd. 3.800% 10/1/20 5,550 5,827
TransCanada PipeLines Ltd. 5.600% 3/31/34 1,400 1,642
TransCanada PipeLines Ltd. 5.850% 3/15/36 2,675 3,261
TransCanada PipeLines Ltd. 6.200% 10/15/37 1,425 1,761
TransCanada PipeLines Ltd. 7.250% 8/15/38 300 408
TransCanada PipeLines Ltd. 7.625% 1/15/39 100 138
4 TransCanada PipeLines Ltd. 6.350% 5/15/67 4,100 4,078
Williams Partners LP 3.800% 2/15/15 1,200 1,252
Williams Partners LP 5.250% 3/15/20 6,700 7,217

 

 

Williams Partners LP 6.300% 4/15/40 8,150 9,106
Williams Partners LP / Williams Partners        
Finance Corp. 7.250% 2/1/17 7,000 8,166
 
Other Utility (0.0%)        
American Water Capital Corp. 6.085% 10/15/17 2,425 2,856
American Water Capital Corp. 6.593% 10/15/37 1,875 2,251
Veolia Environnement SA 6.000% 6/1/18 6,000 6,767
        1,010,125
Total Corporate Bonds (Cost $8,040,984)       8,725,422
Sovereign Bonds (U.S. Dollar-Denominated) (4.7%)        
African Development Bank 1.000% 11/23/11 2,100 2,101
African Development Bank 1.750% 10/1/12 1,150 1,158
African Development Bank 1.625% 2/11/13 2,800 2,848
African Development Bank 3.000% 5/27/14 7,175 7,652
African Development Bank 1.250% 9/2/16 3,100 3,108
Asian Development Bank 1.625% 7/15/13 6,625 6,770
Asian Development Bank 3.625% 9/5/13 7,400 7,835
Asian Development Bank 2.750% 5/21/14 8,875 9,392
Asian Development Bank 0.875% 6/10/14 500 504
Asian Development Bank 4.250% 10/20/14 3,550 3,929
Asian Development Bank 2.625% 2/9/15 17,325 18,327
Asian Development Bank 2.500% 3/15/16 11,150 11,883
Asian Development Bank 5.500% 6/27/16 5,450 6,545
Asian Development Bank 5.250% 6/12/17 100 121
Asian Development Bank 5.593% 7/16/18 1,700 2,085
Brazilian Government International Bond 10.250% 6/17/13 800 916
Brazilian Government International Bond 10.500% 7/14/14 1,275 1,572
Brazilian Government International Bond 7.875% 3/7/15 4,875 5,733
Brazilian Government International Bond 6.000% 1/17/17 9,975 11,327
4 Brazilian Government International Bond 8.000% 1/15/18 7,204 8,501
Brazilian Government International Bond 5.875% 1/15/19 31,050 35,599
Brazilian Government International Bond 8.875% 10/14/19 3,600 4,878
Brazilian Government International Bond 4.875% 1/22/21 1,025 1,093
Brazilian Government International Bond 8.875% 4/15/24 1,525 2,173
Brazilian Government International Bond 8.750% 2/4/25 4,200 5,901
Brazilian Government International Bond 10.125% 5/15/27 4,200 6,573
Brazilian Government International Bond 7.125% 1/20/37 11,425 14,587
Brazilian Government International Bond 11.000% 8/17/40 4,350 5,727
Brazilian Government International Bond 5.625% 1/7/41 15,675 16,851
Chile Government International Bond 5.500% 1/15/13 1,000 1,053
Chile Government International Bond 3.875% 8/5/20 6,850 7,157
China Development Bank Corp. 4.750% 10/8/14 2,625 2,805
China Development Bank Corp. 5.000% 10/15/15 525 569
China Government International Bond 4.750% 10/29/13 1,800 1,924
Colombia Government International Bond 10.750% 1/15/13 1,050 1,163
Colombia Government International Bond 8.250% 12/22/14 2,000 2,340
Colombia Government International Bond 7.375% 1/27/17 4,900 5,856
Colombia Government International Bond 7.375% 3/18/19 5,550 6,813
Colombia Government International Bond 11.750% 2/25/20 1,050 1,596
Colombia Government International Bond 4.375% 7/12/21 8,025 8,145
Colombia Government International Bond 8.125% 5/21/24 2,800 3,682
Colombia Government International Bond 7.375% 9/18/37 4,500 5,805
Colombia Government International Bond 6.125% 1/18/41 3,000 3,394
Corp. Andina de Fomento 5.200% 5/21/13 725 764
Corp. Andina de Fomento 5.125% 5/5/15 5,200 5,603
Corp. Andina de Fomento 3.750% 1/15/16 6,750 6,832

 

 

Corp. Andina de Fomento 5.750% 1/12/17 4,700 5,132
Corp. Andina de Fomento 8.125% 6/4/19 1,775 2,176
Council Of Europe Development Bank 2.750% 2/10/15 2,200 2,328
Council Of Europe Development Bank 2.625% 2/16/16 3,650 3,878
10 Development Bank of Japan 4.250% 6/9/15 5,225 5,775
Ecopetrol SA 7.625% 7/23/19 1,000 1,172
Eksportfinans ASA 1.875% 4/2/13 550 561
Eksportfinans ASA 3.000% 11/17/14 1,675 1,765
Eksportfinans ASA 2.000% 9/15/15 10,225 10,431
Eksportfinans ASA 2.375% 5/25/16 2,350 2,446
Eksportfinans ASA 5.500% 5/25/16 2,700 3,178
Eksportfinans ASA 5.500% 6/26/17 4,175 4,928
European Bank for Reconstruction &        
Development 2.750% 4/20/15 7,700 8,169
European Bank for Reconstruction &        
Development 1.625% 9/3/15 1,800 1,820
European Bank for Reconstruction &        
Development 2.500% 3/15/16 5,975 6,354
European Investment Bank 1.625% 3/15/13 7,800 7,925
European Investment Bank 2.875% 3/15/13 2,825 2,915
European Investment Bank 3.250% 5/15/13 6,900 7,178
European Investment Bank 1.875% 6/17/13 6,500 6,637
European Investment Bank 4.250% 7/15/13 11,900 12,672
European Investment Bank 1.250% 9/17/13 12,275 12,440
European Investment Bank 1.250% 2/14/14 12,500 12,652
European Investment Bank 2.375% 3/14/14 7,400 7,697
European Investment Bank 1.500% 5/15/14 13,575 13,832
European Investment Bank 4.625% 5/15/14 11,075 12,175
European Investment Bank 3.125% 6/4/14 13,450 14,289
European Investment Bank 1.125% 8/15/14 12,900 13,020
European Investment Bank 2.875% 1/15/15 7,875 8,407
European Investment Bank 2.750% 3/23/15 10,325 10,988
European Investment Bank 1.625% 9/1/15 13,650 13,984
European Investment Bank 1.375% 10/20/15 1,600 1,625
European Investment Bank 4.875% 2/16/16 9,500 10,965
European Investment Bank 2.250% 3/15/16 18,400 19,205
European Investment Bank 2.500% 5/16/16 15,700 16,588
European Investment Bank 2.125% 7/15/16 6,000 6,247
European Investment Bank 5.125% 9/13/16 14,700 17,416
European Investment Bank 1.250% 10/14/16 4,600 4,580
European Investment Bank 4.875% 1/17/17 6,325 7,428
European Investment Bank 5.125% 5/30/17 9,150 10,868
European Investment Bank 2.875% 9/15/20 12,900 13,543
European Investment Bank 4.000% 2/16/21 8,575 9,830
European Investment Bank 4.875% 2/15/36 100 120
Export Development Canada 2.375% 3/19/12 3,825 3,849
Export Development Canada 3.500% 5/16/13 4,650 4,861
Export Development Canada 3.125% 4/24/14 15,175 16,148
Export Development Canada 2.250% 5/28/15 1,550 1,634
Export-Import Bank of Korea 5.500% 10/17/12 3,025 3,131
Export-Import Bank of Korea 8.125% 1/21/14 11,800 13,201
Export-Import Bank of Korea 5.875% 1/14/15 1,750 1,861
Export-Import Bank of Korea 5.125% 3/16/15 3,275 3,426
Export-Import Bank of Korea 4.125% 9/9/15 3,950 4,013
Export-Import Bank of Korea 3.750% 10/20/16 4,800 4,678
Export-Import Bank of Korea 4.000% 1/29/21 2,500 2,332
Financement-Quebec 5.000% 10/25/12 1,275 1,333
Finland Government International Bond 6.950% 2/15/26 1,000 1,450

 

 

Hungary Government International Bond 4.750% 2/3/15 1,050 1,024
Hungary Government International Bond 6.250% 1/29/20 8,400 8,075
Hungary Government International Bond 6.375% 3/29/21 6,775 6,538
Hungary Government International Bond 7.625% 3/29/41 575 558
Hydro Quebec 8.000% 2/1/13 2,750 3,002
Hydro Quebec 7.500% 4/1/16 3,650 4,591
Hydro Quebec 2.000% 6/30/16 7,950 8,118
Hydro Quebec 8.400% 1/15/22 2,450 3,638
Hydro Quebec 8.050% 7/7/24 1,350 2,039
Hydro Quebec 8.500% 12/1/29 100 167
Inter-American Development Bank 4.750% 10/19/12 3,975 4,156
Inter-American Development Bank 3.500% 3/15/13 2,625 2,743
Inter-American Development Bank 3.000% 4/22/14 19,725 20,922
Inter-American Development Bank 2.250% 7/15/15 9,625 10,108
Inter-American Development Bank 4.250% 9/14/15 3,450 3,882
Inter-American Development Bank 5.125% 9/13/16 100 118
Inter-American Development Bank 2.375% 8/15/17 5,100 5,354
Inter-American Development Bank 1.750% 8/24/18 3,850 3,866
Inter-American Development Bank 3.875% 9/17/19 16,750 19,193
Inter-American Development Bank 3.875% 2/14/20 2,300 2,666
Inter-American Development Bank 7.000% 6/15/25 1,125 1,618
International Bank for Reconstruction &        
Development 1.750% 7/15/13 8,200 8,388
International Bank for Reconstruction &        
Development 3.500% 10/8/13 7,410 7,840
International Bank for Reconstruction &        
Development 1.125% 8/25/14 10,275 10,445
International Bank for Reconstruction &        
Development 2.375% 5/26/15 16,675 17,618
International Bank for Reconstruction &        
Development 2.125% 3/15/16 20,450 21,422
International Bank for Reconstruction &        
Development 5.000% 4/1/16 9,475 11,069
International Bank for Reconstruction &        
Development 1.000% 9/15/16 1,200 1,194
International Bank for Reconstruction &        
Development 7.625% 1/19/23 950 1,414
International Bank for Reconstruction &        
Development 8.875% 3/1/26 450 753
International Finance Corp. 3.500% 5/15/13 2,350 2,462
International Finance Corp. 3.000% 4/22/14 11,675 12,301
International Finance Corp. 2.750% 4/20/15 3,250 3,467
International Finance Corp. 2.250% 4/11/16 5,000 5,263
International Finance Corp. 2.125% 11/17/17 10,175 10,422
Israel Government International Bond 4.625% 6/15/13 750 781
Israel Government International Bond 5.125% 3/1/14 200 214
Israel Government International Bond 5.500% 11/9/16 2,800 3,170
Israel Government International Bond 5.125% 3/26/19 5,350 5,865
10 Japan Bank for International Cooperation 4.375% 11/26/12 1,950 2,034
10 Japan Bank for International Cooperation 4.250% 6/18/13 4,800 5,090
10 Japan Finance Corp. 2.125% 11/5/12 8,000 8,128
10 Japan Finance Corp. 2.875% 2/2/15 6,300 6,661
10 Japan Finance Corp. 2.500% 1/21/16 5,600 5,864
10 Japan Finance Corp. 2.500% 5/18/16 6,000 6,285
10 Japan Finance Corp. 2.250% 7/13/16 5,000 5,178
10 Japan Finance Organization for Municipalities 4.625% 4/21/15 2,675 2,998
10 Japan Finance Organization for Municipalities 5.000% 5/16/17 1,100 1,291
10 Japan Finance Organization for Municipalities 4.000% 1/13/21 5,625 6,341

 

 

Korea Development Bank 5.300% 1/17/13 1,200 1,246
Korea Development Bank 5.750% 9/10/13 3,300 3,504
Korea Development Bank 8.000% 1/23/14 3,150 3,516
Korea Development Bank 4.375% 8/10/15 11,800 12,059
Korea Development Bank 4.000% 9/9/16 2,500 2,507
Korea Electric Power Corp. 7.750% 4/1/13 2,200 2,369
Korea Finance Corp. 3.250% 9/20/16 4,000 3,840
11 Kreditanstalt fuer Wiederaufbau 1.875% 1/14/13 12,900 13,138
11 Kreditanstalt fuer Wiederaufbau 3.250% 3/15/13 19,600 20,385
11 Kreditanstalt fuer Wiederaufbau 3.500% 5/16/13 4,000 4,195
11 Kreditanstalt fuer Wiederaufbau 1.375% 7/15/13 18,400 18,700
11 Kreditanstalt fuer Wiederaufbau 4.000% 10/15/13 7,500 8,014
11 Kreditanstalt fuer Wiederaufbau 1.375% 1/13/14 12,700 12,924
11 Kreditanstalt fuer Wiederaufbau 3.500% 3/10/14 300 321
11 Kreditanstalt fuer Wiederaufbau 1.500% 4/4/14 275 281
11 Kreditanstalt fuer Wiederaufbau 4.125% 10/15/14 575 632
11 Kreditanstalt fuer Wiederaufbau 2.750% 10/21/14 10,250 10,862
11 Kreditanstalt fuer Wiederaufbau 2.625% 3/3/15 11,875 12,623
11 Kreditanstalt fuer Wiederaufbau 1.250% 10/26/15 15,400 15,470
11 Kreditanstalt fuer Wiederaufbau 2.625% 2/16/16 3,450 3,667
11 Kreditanstalt fuer Wiederaufbau 5.125% 3/14/16 14,000 16,380
11 Kreditanstalt fuer Wiederaufbau 2.000% 6/1/16 19,000 19,700
11 Kreditanstalt fuer Wiederaufbau 1.250% 10/5/16 4,800 4,785
11 Kreditanstalt fuer Wiederaufbau 4.375% 3/15/18 18,850 21,782
11 Kreditanstalt fuer Wiederaufbau 4.500% 7/16/18 6,425 7,525
11 Kreditanstalt fuer Wiederaufbau 4.875% 6/17/19 19,300 23,541
11 Kreditanstalt fuer Wiederaufbau 4.000% 1/27/20 5,500 6,313
11 Kreditanstalt fuer Wiederaufbau 2.750% 9/8/20 24,000 25,051
11 Kreditanstalt fuer Wiederaufbau 0.000% 4/18/36 7,000 3,119
11 Kreditanstalt fuer Wiederaufbau 0.000% 6/29/37 5,450 2,305
11 Landwirtschaftliche Rentenbank 3.250% 3/15/13 7,000 7,273
11 Landwirtschaftliche Rentenbank 4.125% 7/15/13 3,000 3,197
11 Landwirtschaftliche Rentenbank 3.125% 7/15/15 6,605 7,090
11 Landwirtschaftliche Rentenbank 4.875% 11/16/15 10,650 12,247
11 Landwirtschaftliche Rentenbank 2.500% 2/15/16 5,450 5,747
11 Landwirtschaftliche Rentenbank 2.125% 7/15/16 175 181
11 Landwirtschaftliche Rentenbank 5.125% 2/1/17 2,000 2,366
11 Landwirtschaftliche Rentenbank 1.875% 9/17/18 5,600 5,564
Mexico Government International Bond 6.375% 1/16/13 4,525 4,792
Mexico Government International Bond 5.875% 2/17/14 8,025 8,659
Mexico Government International Bond 6.625% 3/3/15 2,975 3,354
Mexico Government International Bond 11.375% 9/15/16 1,325 1,858
Mexico Government International Bond 5.625% 1/15/17 22,675 25,266
Mexico Government International Bond 5.950% 3/19/19 7,775 8,813
Mexico Government International Bond 5.125% 1/15/20 24,100 26,234
Mexico Government International Bond 8.300% 8/15/31 3,125 4,422
Mexico Government International Bond 6.750% 9/27/34 11,800 14,512
Mexico Government International Bond 6.050% 1/11/40 12,150 13,699
Mexico Government International Bond 5.750% 10/12/10 1,150 1,122
Nordic Investment Bank 1.625% 1/28/13 5,300 5,386
Nordic Investment Bank 2.625% 10/6/14 4,000 4,217
Nordic Investment Bank 2.500% 7/15/15 3,275 3,471
Nordic Investment Bank 2.250% 3/15/16 4,250 4,472
Nordic Investment Bank 5.000% 2/1/17 1,150 1,359
North American Development Bank 4.375% 2/11/20 975 1,101
12 Oesterreichische Kontrollbank AG 4.750% 11/8/11 725 728
12 Oesterreichische Kontrollbank AG 4.750% 10/16/12 2,025 2,118
12 Oesterreichische Kontrollbank AG 1.750% 3/11/13 6,900 7,027

 

 

12 Oesterreichische Kontrollbank AG 1.375% 1/21/14 7,775 7,915
12 Oesterreichische Kontrollbank AG 4.500% 3/9/15 2,600 2,895
12 Oesterreichische Kontrollbank AG 2.000% 6/3/16 2,500 2,574
12 Oesterreichische Kontrollbank AG 5.000% 4/25/17 4,025 4,742
  Ontario Electricity Financial Corp. 7.450% 3/31/13 1,450 1,591
  Panama Government International Bond 7.250% 3/15/15 4,000 4,564
  Panama Government International Bond 5.200% 1/30/20 9,275 10,103
  Panama Government International Bond 7.125% 1/29/26 6,500 8,141
4 Panama Government International Bond 6.700% 1/26/36 5,300 6,394
  Pemex Project Funding Master Trust 7.375% 12/15/14 2,500 2,850
  Pemex Project Funding Master Trust 5.750% 3/1/18 11,125 12,019
  Pemex Project Funding Master Trust 6.625% 6/15/35 9,100 9,869
  Pemex Project Funding Master Trust 6.625% 6/15/38 2,025 2,175
  Peruvian Government International Bond 7.125% 3/30/19 12,350 14,882
  Peruvian Government International Bond 7.350% 7/21/25 1,525 1,891
  Peruvian Government International Bond 8.750% 11/21/33 12,092 17,072
4 Peruvian Government International Bond 6.550% 3/14/37 5,200 5,980
  Petrobras International Finance Co. - Pifco 3.875% 1/27/16 4,100 4,080
  Petrobras International Finance Co. - Pifco 6.125% 10/6/16 8,850 9,723
  Petrobras International Finance Co. - Pifco 5.875% 3/1/18 6,775 7,029
  Petrobras International Finance Co. - Pifco 8.375% 12/10/18 2,300 2,720
  Petrobras International Finance Co. - Pifco 7.875% 3/15/19 9,575 11,011
  Petrobras International Finance Co. - Pifco 5.750% 1/20/20 9,100 9,348
  Petrobras International Finance Co. - Pifco 5.375% 1/27/21 5,200 5,181
  Petrobras International Finance Co. - Pifco 6.875% 1/20/40 4,525 4,766
  Petrobras International Finance Co. - Pifco 6.750% 1/27/41 1,650 1,755
  Petroleos Mexicanos 4.875% 3/15/15 4,875 5,120
  Petroleos Mexicanos 8.000% 5/3/19 1,675 2,045
  Petroleos Mexicanos 6.000% 3/5/20 4,150 4,537
  Petroleos Mexicanos 5.500% 1/21/21 1,400 1,471
7 Petroleos Mexicanos 6.500% 6/2/41 1,800 1,898
  Poland Government International Bond 5.250% 1/15/14 800 842
  Poland Government International Bond 3.875% 7/16/15 13,100 13,231
  Poland Government International Bond 5.000% 10/19/15 750 788
  Poland Government International Bond 6.375% 7/15/19 15,275 16,745
  Poland Government International Bond 5.125% 4/21/21 1,850 1,841
  Province of British Columbia 2.850% 6/15/15 6,100 6,500
  Province of British Columbia 2.100% 5/18/16 12,100 12,541
  Province of Manitoba 1.375% 4/28/14 7,000 7,126
  Province of Manitoba 2.625% 7/15/15 1,475 1,550
  Province of Manitoba 4.900% 12/6/16 5,475 6,387
  Province of New Brunswick 2.750% 6/15/18 7,125 7,455
  Province of Nova Scotia 2.375% 7/21/15 2,800 2,906
  Province of Nova Scotia 5.125% 1/26/17 1,000 1,175
  Province of Nova Scotia 9.125% 5/1/21 1,280 1,948
  Province of Ontario 1.875% 11/19/12 13,950 14,179
  Province of Ontario 1.375% 1/27/14 14,675 14,914
  Province of Ontario 4.100% 6/16/14 13,250 14,342
  Province of Ontario 2.950% 2/5/15 1,475 1,567
  Province of Ontario 2.700% 6/16/15 10,800 11,290
  Province of Ontario 1.875% 9/15/15 2,500 2,542
  Province of Ontario 4.750% 1/19/16 4,325 4,919
  Province of Ontario 5.450% 4/27/16 5,675 6,678
  Province of Ontario 2.300% 5/10/16 6,250 6,462
  Province of Ontario 1.600% 9/21/16 5,075 5,057
  Province of Ontario 3.150% 12/15/17 5,525 5,882
  Province of Ontario 3.000% 7/16/18 2,550 2,672
  Province of Ontario 4.000% 10/7/19 3,750 4,168

 

 

Province of Ontario 4.400% 4/14/20 9,200 10,492
Province of Saskatchewan 7.375% 7/15/13 425 476
Quebec 4.875% 5/5/14 275 303
Quebec 4.600% 5/26/15 2,250 2,526
Quebec 5.125% 11/14/16 7,275 8,546
Quebec 4.625% 5/14/18 7,000 8,068
Quebec 3.500% 7/29/20 5,000 5,350
Quebec 2.750% 8/25/21 4,475 4,472
Quebec 7.125% 2/9/24 325 462
Quebec 7.500% 9/15/29 6,875 10,599
Region of Lombardy Italy 5.804% 10/25/32 1,050 1,046
Republic of Italy 2.125% 10/5/12 9,750 9,592
Republic of Italy 4.375% 6/15/13 4,350 4,328
Republic of Italy 2.125% 9/16/13 13,075 12,519
Republic of Italy 4.500% 1/21/15 4,000 3,950
Republic of Italy 3.125% 1/26/15 10,575 9,888
Republic of Italy 4.750% 1/25/16 12,350 12,041
Republic of Italy 5.250% 9/20/16 13,275 13,142
Republic of Italy 6.875% 9/27/23 4,600 4,506
Republic of Italy 5.375% 6/15/33 5,650 5,085
Republic of Korea 4.250% 6/1/13 5,700 5,883
Republic of Korea 5.750% 4/16/14 3,175 3,427
Republic of Korea 4.875% 9/22/14 2,400 2,569
Republic of Korea 7.125% 4/16/19 3,175 3,848
Republic of Korea 5.625% 11/3/25 575 678
South Africa Government International Bond 6.875% 5/27/19 7,375 8,767
South Africa Government International Bond 5.500% 3/9/20 4,800 5,268
South Africa Government International Bond 5.875% 5/30/22 1,075 1,204
South Africa Government International Bond 6.250% 3/8/41 7,100 7,996
Svensk Exportkredit AB 3.250% 9/16/14 5,050 5,365
Svensk Exportkredit AB 1.750% 10/20/15 2,600 2,645
Svensk Exportkredit AB 2.125% 7/13/16 5,975 6,142
Svensk Exportkredit AB 5.125% 3/1/17 550 645
Total Sovereign Bonds (Cost $1,861,728)       1,965,685
Taxable Municipal Bonds (1.0%)        
Alameda County CA Joint Powers Authority        
Lease Revenue 7.046% 12/1/44 100 123
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.834% 2/15/41 575 790
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.053% 2/15/43 400 464
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 5.939% 2/15/47 2,750 3,072
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.499% 2/15/50 750 1,006
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 8.084% 2/15/50 3,050 4,332
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 875 1,107
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 1,500 1,957
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 4,283 5,536
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.907% 10/1/50 3,475 4,592

 

 

Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 5.262% 7/1/39 650 783
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 6.276% 8/15/41 525 596
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 5.134% 8/15/42 150 181
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 4.794% 8/15/46 1,250 1,424
California Educational Facilities Authority        
Revenue (Stanford University) 3.625% 5/1/14 2,250 2,402
California Educational Facilities Authority        
Revenue (Stanford University) 4.250% 5/1/16 750 836
California GO 5.250% 4/1/14 1,675 1,825
California GO 3.950% 11/1/15 2,550 2,723
California GO 5.750% 3/1/17 4,000 4,536
California GO 6.200% 3/1/19 1,100 1,257
California GO 6.200% 10/1/19 4,935 5,683
California GO 5.700% 11/1/21 4,655 5,168
California GO 7.500% 4/1/34 14,225 17,020
California GO 5.650% 4/1/39 1,225 1,301
California GO 7.300% 10/1/39 1,200 1,446
California GO 7.350% 11/1/39 8,200 9,938
California GO 7.625% 3/1/40 2,950 3,690
California GO 7.600% 11/1/40 2,900 3,624
Central Puget Sound WA Regional Transit        
Authority Sales & Use Tax Revenue 5.491% 11/1/39 550 682
Chicago IL Board of Education GO 6.319% 11/1/29 1,025 1,169
Chicago IL Board of Education GO 6.138% 12/1/39 400 443
Chicago IL GO 7.781% 1/1/35 825 1,058
Chicago IL Metropolitan Water Reclamation        
District GO 5.720% 12/1/38 2,675 3,275
Chicago IL O'Hare International Airport        
Revenue 6.845% 1/1/38 400 451
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 600 725
Chicago IL Transit Authority Sales Tax        
Receipts Revenue 6.200% 12/1/40 1,650 1,908
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 2,475 2,950
Chicago IL Wastewater Transmission        
Revenue 6.900% 1/1/40 600 798
Chicago IL Water Revenue 6.742% 11/1/40 900 1,179
Clark County NV Airport Revenue 6.881% 7/1/42 550 605
Commonwealth Financing Authority        
Pennsylvania Revenue 6.218% 6/1/39 2,350 2,757
Connecticut GO 5.090% 10/1/30 800 853
Connecticut GO 5.850% 3/15/32 5,475 6,639
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 5.459% 11/1/30 100 117
Cook County IL GO 6.229% 11/15/34 750 879
Curators of the University of Missouri System        
Facilities Revenue 5.960% 11/1/39 1,000 1,263
Curators of the University of Missouri System        
Facilities Revenue 5.792% 11/1/41 2,700 3,360

 

 

Dallas County TX Hospital District Revenue 5.621% 8/15/44 750 933
Dallas TX Area Rapid Transit Revenue 4.922% 12/1/41 1,650 1,814
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 1,100 1,419
Dallas TX Area Rapid Transit Revenue 5.022% 12/1/48 2,675 3,029
Dallas TX Independent School District GO 6.450% 2/15/35 1,500 1,777
Denver CO City & County School District No.        
1 GO 5.664% 12/1/33 525 598
Denver CO Public Schools Revenue (City &        
County of Denver School District No. 1)        
COP 7.017% 12/15/37 1,050 1,334
District of Columbia Income Tax Revenue 5.591% 12/1/34 450 547
District of Columbia Income Tax Revenue 5.582% 12/1/35 650 811
East Baton Rouge LA Sewer Commission        
Revenue 6.087% 2/1/45 975 1,069
East Bay CA Municipal Utility District Water        
System Revenue 5.874% 6/1/40 4,400 5,467
Georgia GO 4.503% 11/1/25 2,300 2,599
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 3,050 3,312
Georgia Municipal Electric Power Authority        
Revenue 6.655% 4/1/57 2,250 2,389
Georgia Municipal Electric Power Authority        
Revenue 7.055% 4/1/57 1,275 1,329
Illinois GO 2.766% 1/1/12 4,800 4,825
Illinois GO 4.071% 1/1/14 4,800 4,943
Illinois GO 4.511% 3/1/15 3,350 3,498
Illinois GO 5.365% 3/1/17 3,000 3,167
Illinois GO 5.665% 3/1/18 5,000 5,327
Illinois GO 4.950% 6/1/23 5,125 5,126
Illinois GO 5.100% 6/1/33 13,500 12,401
Illinois GO 6.630% 2/1/35 1,050 1,111
Illinois GO 6.725% 4/1/35 3,250 3,451
Illinois GO 7.350% 7/1/35 4,200 4,784
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 460 539
Illinois Toll Highway Authority Revenue 5.851% 12/1/34 625 709
Indianapolis IN Local Public Improvement        
Revenue 6.116% 1/15/40 3,700 4,714
13 Kansas Development Finance Authority        
Revenue (Public Employees Retirement        
System) 5.501% 5/1/34 1,525 1,691
Kentucky Asset/Liability Commission General        
Fund Revenue 3.165% 4/1/18 300 306
Las Vegas Valley Water District Nevada GO 7.013% 6/1/39 650 850
Los Angeles CA Community College District        
GO 6.600% 8/1/42 1,950 2,577
Los Angeles CA Department of Water &        
Power Revenue 5.716% 7/1/39 850 993
Los Angeles CA Department of Water &        
Power Revenue 6.008% 7/1/39 2,400 2,829
Los Angeles CA Department of Water &        
Power Revenue 6.166% 7/1/40 600 654
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 4,800 6,191
Los Angeles CA Department of Water &        
Power Revenue 6.603% 7/1/50 500 677
Los Angeles CA Unified School District GO 5.755% 7/1/29 1,500 1,691
Los Angeles CA Unified School District GO 5.750% 7/1/34 4,600 5,211

 

 

  Los Angeles County CA Metropolitan        
  Transportation Authority Sales Tax        
  Revenue 5.735% 6/1/39 2,200 2,608
  Los Angeles County CA Public Works        
  Financing Authority Lease Revenue 7.488% 8/1/33 1,700 2,114
  Los Angeles County CA Public Works        
  Financing Authority Lease Revenue 7.618% 8/1/40 750 951
  Loudoun County VA Industrial Development        
  Authority Revenue (Howard Hughes        
  Medical Institute) 3.450% 9/1/14 1,450 1,547
  Maryland Health & Higher Educational        
  Facilities Authority Revenue (Johns        
  Hopkins University) 5.250% 7/1/19 2,275 2,697
  Maryland Transportation Authority Facilities        
  Projects Revenue 5.888% 7/1/43 700 867
  Massachusetts GO 4.200% 12/1/21 2,300 2,551
  Massachusetts GO 5.456% 12/1/39 3,025 3,701
  Massachusetts School Building Authority        
  Dedicated Sales Tax Revenue 5.715% 8/15/39 1,950 2,421
  Massachusetts Transportation Fund Revenue 5.731% 6/1/40 475 597
  Massachusetts Water Pollution Abatement        
  Trust 5.192% 8/1/40 1,050 1,236
  Metropolitan Government of Nashville &        
  Davidson County TN GO 5.707% 7/1/34 1,000 1,184
  Metropolitan New York Transportation        
  Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 3,950 5,589
  Metropolitan New York Transportation        
  Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 400 491
  Metropolitan New York Transportation        
  Authority Revenue (Transit Revenue) 6.548% 11/15/31 300 366
  Metropolitan New York Transportation        
  Authority Revenue (Transit Revenue) 5.871% 11/15/39 800 889
  Metropolitan New York Transportation        
  Authority Revenue (Transit Revenue) 6.648% 11/15/39 1,750 2,161
  Metropolitan Washington DC/VA Airports        
  Authority Dulles Toll Road Revenue 7.462% 10/1/46 525 610
  Metropolitan Water District of Southern        
  California Water Revenue 6.947% 7/1/40 650 755
  Mississippi GO 5.245% 11/1/34 700 783
  Missouri Highways & Transportation        
  Commission Road Revenue 5.445% 5/1/33 600 700
  New Hampshire Health & Educational        
  Facilities Authority Revenue (Dartmouth        
  College) 4.750% 6/1/19 275 316
14 New Jersey Economic Development Authority        
  Revenue (State Pension Funding) 7.425% 2/15/29 3,175 3,910
  New Jersey Educational Facilities Authority        
  Revenue (Princeton University) 5.700% 3/1/39 1,500 2,020
  New Jersey Transportation Trust Fund        
  Authority Transportation System Revenue 5.754% 12/15/28 1,265 1,408
  New Jersey Transportation Trust Fund        
  Authority Transportation System Revenue 6.561% 12/15/40 4,865 6,086
8 New Jersey Turnpike Authority Revenue 4.252% 1/1/16 900 944
  New Jersey Turnpike Authority Revenue 7.414% 1/1/40 4,400 6,256
  New Jersey Turnpike Authority Revenue 7.102% 1/1/41 4,000 5,455
  New York City NY GO 6.646% 12/1/31 100 118
  New York City NY GO 6.246% 6/1/35 750 841
  New York City NY GO 5.968% 3/1/36 1,250 1,518

 

 

  New York City NY GO 5.985% 12/1/36 600 741
  New York City NY GO 5.517% 10/1/37 3,225 3,752
  New York City NY GO 6.271% 12/1/37 3,450 4,297
  New York City NY GO 5.846% 6/1/40 750 851
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.750% 6/15/41 500 636
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.790% 6/15/41 4,000 4,377
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.952% 6/15/42 1,150 1,456
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 6.011% 6/15/42 350 464
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.440% 6/15/43 1,400 1,667
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.882% 6/15/44 3,300 4,130
  New York City NY Transitional Finance        
  Authority Building Aid Revenue 6.828% 7/15/40 2,500 3,332
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.767% 8/1/36 750 883
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.508% 8/1/37 3,300 3,935
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.572% 11/1/38 1,000 1,190
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.500% 3/15/30 2,600 3,027
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.289% 3/15/33 1,250 1,418
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.628% 3/15/39 900 1,097
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.389% 3/15/40 750 851
  New York State Urban Development Corp.        
  Revenue (Personal Income Tax) 5.770% 3/15/39 2,175 2,593
  New York State Urban Development Corp.        
  Revenue (Personal Income Tax) 5.838% 3/15/40 650 794
  North Texas Tollway Authority System        
  Revenue 6.718% 1/1/49 1,250 1,596
  Ohio State University General Receipts        
  Revenue 4.910% 6/1/40 1,575 1,799
  Ohio Water Development Authority Water        
  Pollution Control Loan Fund Revenue 4.879% 12/1/34 1,000 1,098
  Orange County CA Local Transportation        
  Authority Sales Tax Revenue 6.908% 2/15/41 650 897
  Oregon Department Transportation Highway        
  Usertax Revenue 5.834% 11/15/34 1,050 1,306
  Oregon GO 5.762% 6/1/23 650 804
  Oregon GO 5.892% 6/1/27 975 1,147
8 Oregon School Boards Association GO 4.759% 6/30/28 700 694
13 Oregon School Boards Association GO 5.528% 6/30/28 375 410
  Pennsylvania GO 4.650% 2/15/26 850 970
  Pennsylvania GO 5.350% 5/1/30 3,000 3,326
  Pennsylvania Public School Building Authority        
  Lease Revenue (School District of        
  Philadelphia) 5.000% 9/15/27 1,000 1,089
  Pennsylvania Turnpike Commission Revenue 5.511% 12/1/45 550 635
  Pennsylvania Turnpike Commission Revenue 5.561% 12/1/49 550 630

 

 

Port Authority of New York & New Jersey        
Revenue 6.040% 12/1/29 850 1,035
Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 4,700 5,501
Puerto Rico Government Development Bank        
GO 3.670% 5/1/14 2,000 2,051
Puerto Rico Government Development Bank        
GO 4.704% 5/1/16 1,750 1,837
Regional Transportation District of Colorado        
Sales Tax Revenue 5.844% 11/1/50 1,400 1,811
Rutgers State University NJ Revenue 5.665% 5/1/40 725 871
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 4.839% 1/1/41 750 818
San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 1,500 1,901
San Antonio TX Electric & Gas Systems        
Revenue 5.718% 2/1/41 1,175 1,424
San Antonio TX Electric & Gas Systems        
Revenue 5.808% 2/1/41 1,875 2,326
San Diego County CA Water Authority        
Revenue 6.138% 5/1/49 750 947
San Francisco CA City & County Public Utility        
Commission Water Revenue 6.000% 11/1/40 1,600 1,893
San Francisco CA City & County Public Utility        
Commission Water Revenue 6.950% 11/1/50 3,000 4,006
Santa Clara Valley CA Transportation        
Authority Sales Tax Revenue 5.876% 4/1/32 3,500 4,225
Sonoma County CA Pension Obligation        
Revenue 6.000% 12/1/29 775 849
South Carolina Public Service Authority        
Revenue 6.454% 1/1/50 4,125 5,486
Texas GO 5.517% 4/1/39 1,000 1,256
Texas Transportation Commission Revenue 5.028% 4/1/26 750 898
Texas Transportation Commission Revenue 5.178% 4/1/30 800 919
Texas Transportation Commission Revenue 4.631% 4/1/33 2,300 2,570
Texas Transportation Commission Revenue 4.681% 4/1/40 1,075 1,203
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 1,600 1,918
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 975 1,172
University of California Revenue 0.887% 7/1/13 600 601
University of California Revenue 5.770% 5/15/43 5,200 6,025
University of California Revenue 5.946% 5/15/45 4,700 5,385
University of Massachusetts Building Authority        
Revenue 5.450% 11/1/40 600 705
University of Southern California 5.250% 10/1/11 1,800 2,060
University of Virginia Revenue 6.200% 9/1/39 1,000 1,364
Utah GO 4.554% 7/1/24 1,000 1,173
Utah GO 3.539% 7/1/25 2,300 2,444
Utah Transit Authority Sales Tax Revenue 5.937% 6/15/39 100 134
Virginia Commonwealth Transportation Board        
Revenue 5.350% 5/15/35 730 843
Washington GO 5.090% 8/1/33 3,825 4,308
Washington GO 5.481% 8/1/39 270 334
Washington GO 5.140% 8/1/40 1,475 1,705
13 Wisconsin GO 4.800% 5/1/13 775 821
13 Wisconsin GO 5.700% 5/1/26 1,800 2,083
Total Taxable Municipal Bonds (Cost $360,822)       423,699

 

 

      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (2.5%)      
Money Market Fund (2.5%)      
15 Vanguard Market Liquidity Fund      
(Cost $1,043,970) 0.144% 1,043,970,090 1,043,970
Total Investments (101.8%) (Cost $40,002,844)     42,480,141
Other Assets and Liabilities-Net (-1.8%)     (749,960)
Net Assets (100%)     41,730,181

 

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 Guaranteed by the National Credit Union Administration.
4 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.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2011.
6 Adjustable-rate security.
7 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, 2011, the aggregate value of these securities was $99,166,000, representing 0.2% of net assets.
8 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
9 Non-income-producing security--security in default.
10Guaranteed by the Government of Japan.
11Guaranteed by the Federal Republic of Germany.
12Guaranteed by the Republic of Austria.
13Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
14Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
COP—Certificate of Participation.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

 

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

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

The following table summarizes the fund's investments as of September 30, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 29,180,837 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,140,528 —
Corporate Bonds — 8,725,422 —
Sovereign Bonds — 1,965,685 —
Taxable Municipal Bonds — 423,699 —
Temporary Cash Investments 1,043,970 — —
Total 1,043,970 41,436,171 —

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended September 30, 2011. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Corporate Bonds
Amount valued based on Level 3 Inputs ($000)
Balance as of December 31, 2010 8
Change in Unrealized Appreciation (Depreciation) (8)
Balance as of September 30, 2011 —

 

C. At September 30, 2011, the cost of investment securities for tax purposes was $40,002,844,000. Net unrealized appreciation of investment securities for tax purposes was $2,477,297,000, consisting of unrealized gains of $2,543,345,000 on securities that had risen in value since their purchase and $66,048,000 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, 2011

 

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, 2011

 

  VANGUARD BOND INDEX FUNDS
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: November 18, 2011

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on November 28, 2011, see file Number 33-23444, Incorporated by Reference.