-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, N09WJH2c5ut6gM5gJw5y/FWvUAwRPo0Y0nHkfvsAEzQsqL256UUzSGhitZKoN4IG UHHH/21RC1E32syRkhurOg== 0000719608-06-000292.txt : 20061128 0000719608-06-000292.hdr.sgml : 20061128 20061128133828 ACCESSION NUMBER: 0000719608-06-000292 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061128 DATE AS OF CHANGE: 20061128 EFFECTIVENESS DATE: 20061128 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BOND FUND OF AMERICA INC CENTRAL INDEX KEY: 0000013075 IRS NUMBER: 952884967 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02444 FILM NUMBER: 061241675 BUSINESS ADDRESS: STREET 1: 333 S HOPE ST - 55TH FL (TODP) CITY: LOS ANGELES STATE: CA ZIP: 90071 BUSINESS PHONE: 213-486-9200 MAIL ADDRESS: STREET 1: 333 S HOPE ST - 55TH FL (TODP) CITY: LOS ANGELES STATE: CA ZIP: 90071 0000013075 S000009231 BOND FUND OF AMERICA INC C000025097 Class A ABNDX C000025098 Class R-1 RBFAX C000025099 Class R-2 RBFBX C000025100 Class R-3 RMFCX C000025101 Class R-4 RBFEX C000025102 Class R-5 RBFFX C000025103 Class B BFABX C000025104 Class C BFACX C000025105 Class F BFAFX C000025106 Class 529-A CFAAX C000025107 Class 529-B CFABX C000025108 Class 529-C CFACX C000025109 Class 529-E CFAEX C000025110 Class 529-F CFAFX N-Q 1 bfa_nq.htm N-Q Unassociated Document
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549



FORM N-Q
Quarterly Schedule of Portfolio Holdings of
Registered Management Investment Company

Investment Company Act File Number: 811-02444



The Bond Fund of America, Inc.
(Exact name of registrant as specified in charter)

333 South Hope Street,
Los Angeles, California 90071
(Address of principal executive offices)




Registrant's telephone number, including area code: (213) 486-9200

Date of fiscal year end: December 31

Date of reporting period: September 30, 2006





Kimberly S. Verdick
Capital Research and Management Company
333 South Hope Street
Los Angeles, California 90071
(Name and address of agent for service)


Copies to:
Michael Glazer
Paul, Hastings, Janofsky & Walker LLP
515 South Flower Street
Los Angeles, California 90071
(Counsel for the registrant)

 
 
 

ITEM 1 - Schedule of Investments

 
[logo - American Funds®]

Bond Fund of AmericaSM
Investment portfolio

September 30, 2006
                                                                                             unaudited

Bonds & notes — 89.55%
Principal amount
(000)
Market value
(000)
     
CORPORATE BONDS & NOTES — 45.44%
    
FINANCIALS — 19.69%
    
General Motors Acceptance Corp. 6.15% 2007
$ 2,750
$ 2,747
General Motors Acceptance Corp. 6.407% 20071
2,000
1,999
General Motors Acceptance Corp. 5.125% 2008
9,855
9,661
General Motors Acceptance Corp. 5.85% 2009
7,790
7,642
Residential Capital Corp. 6.607% 20091 
17,500
17,637
Residential Capital Corp. 7.337% 20091,2 
6,000
6,031
Residential Capital Corp. 6.375% 2010
78,250
79,237
General Motors Acceptance Corp. 7.75% 2010
5,880
6,029
Residential Capital Corp. 6.00% 2011
19,500
19,495
General Motors Corp. 7.20% 2011
22,700
21,026
General Motors Acceptance Corp. 7.25% 2011
72,350
72,831
General Motors Acceptance Corp. 6.875% 2012
19,500
19,324
General Motors Acceptance Corp. 7.00% 2012
41,750
41,658
Residential Capital Corp. 6.50% 2013
25,000
25,422
General Motors Corp. 7.125% 2013
13,615
12,032
General Motors Corp. 7.25% 2013
€700
825
General Motors Acceptance Corp. 6.75% 2014
$43,750
42,777
General Motors Acceptance Corp. 7.60% 20141 
75,000
75,324
Residential Capital Corp. 6.875% 2015
2,780
2,892
General Motors Corp. 7.70% 2016
5,375
4,710
General Motors Corp. 9.40% 2021
1,875
1,725
General Motors Corp. 8.375% 2033
1,200
1,044
International Lease Finance Corp., Series P, 3.125% 2007
2,000
1,973
ASIF Global Financing XVIII 3.85% 20072
5,785
5,696
ASIF Global Financing XXVIII 5.508% 20071,2 
2,000
2,002
International Lease Finance Corp. 4.35% 2008
20,500
20,172
AIG SunAmerica Global Financing VII 5.85% 20082
24,250
24,529
International Lease Finance Corp. 3.50% 2009
13,000
12,474
International Lease Finance Corp., Series O, 4.55% 2009
18,355
18,001
International Lease Finance Corp. 4.75% 2009
22,000
21,721
International Lease Finance Corp. 5.00% 2010
4,565
4,505
International Lease Finance Corp. 5.125% 2010
25,000
24,992
International Lease Finance Corp., Series Q, 5.45% 2011
15,000
15,108
American General Finance Corp., Series J, 5.706% 20111
32,500
32,602
International Lease Finance Corp. 5.00% 2012
13,500
13,275
ASIF Global Financing XIX 4.90% 20132
2,000
1,957
International Lease Finance Corp., Series R, 5.625% 2013
20,000
20,155
American General Finance Corp., Series I, 5.85% 2013
27,500
28,138
International Lease Finance Corp. 5.875% 2013
5,000
5,139
American General Finance Corp., Series I, 5.40% 2015
20,000
19,836
American General Finance Corp., Series J, 5.75% 2016
2,500
2,534
American International Group, Inc. 6.25% 2036
8,750
9,225
ILFC E-Capital Trust I 5.90% 20651,2
52,500
52,934
ILFC E-Capital Trust II 6.25% 20651,2
9,325
9,338
Washington Mutual, Inc. 4.375% 2008
11,735
11,597
Washington Mutual, Inc. 5.55% 2010
4,000
4,046
Washington Mutual, Inc. 5.00% 2012
14,000
13,702
Washington Mutual, Inc. 5.687% 20121 
41,000
40,945
Washington Mutual, Inc. 5.79% 20121
35,000
35,108
Washington Mutual, Inc. 5.95% 2013
5,000
5,111
Washington Mutual, Inc. 5.25% 2017
10,000
9,641
Washington Mutual Preferred Funding I Ltd. 6.534% (undated)1,2
140,400
138,420
Ford Motor Credit Co. 4.875% 2007
€13,950
17,651
Ford Motor Credit Co. 7.20% 2007
$ 3,000
2,999
Ford Motor Credit Co. 7.875% 2010
61,000
59,453
Ford Motor Credit Co. 9.75% 20102
94,500
97,648
Ford Motor Credit Co. 10.64% 20111,2 
60,275
63,051
J.P. Morgan Chase & Co. 5.35% 2007
3,285
3,284
J.P. Morgan Chase & Co. 4.00% 2008
12,500
12,300
BANK ONE, Texas, NA 6.25% 2008
7,250
7,341
J.P. Morgan Chase & Co. 6.75% 2011
15,000
15,878
J.P. Morgan Chase & Co. 4.75% 2015
7,500
7,166
J.P. Morgan Chase & Co. 4.891% 2015
55,000
54,072
Bank One Corp. 4.90% 2015
9,000
8,649
J.P. Morgan Chase & Co. 5.15% 2015
24,190
23,637
Chase Capital II, Global Floating Rate Capital Securities, Series B, 5.989% 20271
20,000
19,286
J.P. Morgan Chase Capital XX, Series T, 6.55% 2036
40,750
41,253
JPMorgan Chase Capital XVIII, Series R, 6.95% 2036
25,150
26,801
Household Finance Corp. 5.75% 2007
10,000
10,013
Household Finance Corp. 7.875% 2007
32,000
32,320
Household Finance Corp. 4.125% 2008
1,000
979
Household Finance Corp. 6.40% 2008
10,000
10,193
Household Finance Corp. 4.125% 2009
25,000
24,262
HSBC Finance Corp. 4.625% 2010
11,500
11,275
Household Finance Corp. 6.375% 2011
7,250
7,586
Household Finance Corp. 6.75% 2011
23,750
25,195
HSBC Finance Corp. 5.74% 20121
20,000
20,163
HSBC Finance Corp. 5.84% 20121
15,000
15,123
HSBC Bank USA 4.625% 20142
14,000
13,364
HSBC Finance Corp. 5.00% 2015
31,730
30,724
Midland Bank 5.875% Eurodollar note (undated)1
15,000
12,900
CIT Group Inc. 3.65% 2007
10,720
10,541
CIT Group Inc. 4.00% 2008
14,000
13,741
CIT Group Inc. 3.375% 2009
5,000
4,794
CIT Group Inc. 6.875% 2009
31,000
32,328
CIT Group Inc. 4.25% 2010
30,000
29,108
CIT Group Inc. 5.78% 20111
30,000
30,059
CIT Group Inc. 7.75% 2012
26,875
29,790
CIT Group Inc. 5.40% 2013
15,000
14,946
HBOS PLC 5.375% (undated)1,2
21,270
20,922
HBOS PLC, Series B, 5.92% (undated)1,2
117,000
113,382
Bank of Scotland 7.00% (undated)1,2
25,000
25,359
Westfield Capital Corp. Ltd., WT Finance (Australia) Pty Ltd. and WEA Finance LLC 4.375% 20102 
57,950
55,939
Westfield Group 5.40% 20122
50,000
49,964
Westfield Capital Corp. Ltd., WT Finance (Australia) Pty Ltd. and WEA Finance LLC 5.125% 20142
26,600
25,854
Westfield Group 5.70% 20162
2,000
1,999
WT Finance (Australia) Pty Ltd., Westfield Europe Finance PLC, and WEA Finance LLC 5.50% 2017
£3,470
$ 6,451
Santander Issuances, SA Unipersonal 5.75% 20161,2 
$21,500
21,534
Santander Issuances, SA Unipersonal 5.805% 20161,2
62,000
62,939
Abbey National PLC 6.70% (undated)1
18,380
18,758
Abbey National PLC 7.35% (undated)1
30,500
30,543
Abbey National PLC 7.50% (undated)1
£2,975
6,304
Prudential Financial, Inc. 4.104% 2006
$ 10,000
9,987
PRICOA Global Funding I, Series 2003-2, 3.90% 20082
7,500
7,289
PRICOA Global Funding I, Series 2004-4, 4.35% 20082
2,500
2,460
PRICOA Global Funding I 4.20% 20102
17,000
16,463
Prudential Financial, Inc., Series B, 4.75% 2014
4,000
3,831
Prudential Holdings, LLC, Series C, 8.695% 20232,3 
57,035
70,477
Sumitomo Mitsui Banking Corp. 5.625% (undated)1,2
108,405
105,686
USA Education, Inc. 5.625% 2007
29,150
29,199
SLM Corp., Series A, 3.95% 2008
17,500
17,113
SLM Corp., Series A, 4.00% 2010
5,500
5,303
SLM Corp., Series A, 4.50% 2010
43,000
41,905
SLM Corp., Series A, 5.125% 2012
5,000
4,935
SLM Corp., Series A, 5.375% 2013
5,450
5,443
Royal Bank of Scotland Group PLC 8.375% 2007
£6,500
12,272
Royal Bank of Scotland Group PLC 5.00% 2014
$ 1,280
1,249
Royal Bank of Scotland Group PLC 5.512% noncumulative trust preferred (undated)1
65,399
63,646
National Westminster Bank PLC 7.75% (undated)1
17,000
17,358
Simon Property Group, LP 4.875% 2010
12,000
11,830
Simon Property Group, LP 5.375% 2011
12,500
12,481
Simon Property Group, LP 5.60% 2011
32,060
32,333
Simon Property Group, LP 5.75% 2012
4,000
4,062
Simon Property Group, LP 6.10% 2016
4,000
4,132
Simon Property Group, LP 5.875% 2017
17,250
17,462
SocGen Real Estate Co. LLC, Series A, 7.64% (undated)1,2
76,250
77,907
Citigroup Inc. 3.50% 2008
20,000
19,579
Citigroup Inc. 4.25% 2009
15,000
14,687
Citigroup Inc. 4.125% 2010
26,000
25,240
Citigroup Inc. 5.125% 2011
10,000
10,003
Citigroup Inc. 5.625% 2012
5,675
5,785
Bank of America Corp. 3.875% 2008
2,000
1,967
Bank of America Corp. 4.375% 2010
13,000
12,645
Bank of America Corp. 4.50% 2010
9,000
8,814
BankAmerica Corp. 7.125% 2011
1,750
1,894
Bank of America Corp. 4.875% 2012
2,000
1,969
MBNA Corp., Series F, 7.50% 2012
1,800
1,991
Bank of America Corp. 5.25% 2015
5,000
4,932
MBNA Capital A, Series A, 8.278% 2026
7,500
7,835
MBNA Global Capital Funding, Series B, 6.289% 20271
33,000
32,963
Price REIT, Inc. 7.50% 2006
2,760
2,764
Kimco Realty Corp., Series C, 3.95% 2008
9,200
8,982
Kimco Realty Corp., Series C, 4.82% 2011
10,000
9,775
Kimco Realty Corp. 6.00% 2012
18,500
19,121
Kimco Realty Corp., Series C, 4.82% 2014
12,000
11,420
Kimco Realty Corp., Series C, 4.904% 2015
3,000
2,858
Kimco Realty Corp., Series C, 5.783% 2016
18,500
18,688
Resona Bank, Ltd. 3.75% 20151
€9,740
12,156
Resona Bank, Ltd. 5.85% (undated)1,2
$56,660
55,493
Capital One Bank 4.25% 2008
8,000
7,830
Capital One Financial Corp. 5.67% 20091
30,000
30,046
Capital One Financial Corp. 5.70% 2011
12,000
12,097
Capital One Financial Corp. 6.25% 2013
7,000
7,242
Capital One Financial Corp. 6.15% 2016
10,000
10,137
Liberty Mutual Group Inc. 6.50% 20352 
37,460
35,848
Liberty Mutual Group Inc. 7.50% 20362
26,990
29,042
Lazard Group LLC 7.125% 2015
56,765
59,243
American Express Credit Corp. 3.00% 2008
9,060
8,761
American Express Co. 6.80% 20661
46,500
49,181
Lincoln National Corp. 7.00% 20661
54,895
57,598
Mizuho Capital Investment (EUR) 1 Ltd. 5.02% (undated)1
€4,650
5,903
Mizuho Capital Investment (USD) 1 Ltd. and Mizuho Capital Investment (EUR) 1 Ltd. 6.686% noncumulative preferred (undated)1,2
$49,602
50,118
CNA Financial Corp. 5.85% 2014
8,500
8,442
CNA Financial Corp. 6.50% 2016
23,000
23,678
CNA Financial Corp. 7.25% 2023
21,645
23,070
EOP Operating LP 6.75% 2008
24,500
24,929
EOP Operating LP 4.65% 2010
17,010
16,518
EOP Operating LP 7.00% 2011
2,500
2,649
EOP Operating LP 6.75% 2012
8,250
8,671
EOP Operating LP 7.50% 2029
1,710
1,921
ReliaStar Financial Corp. 8.00% 2006
23,160
23,202
ING Security Life Institutional Funding 2.70% 20072
4,730
4,676
ReliaStar Financial Corp. 6.50% 2008
6,016
6,163
ING Bank NV 5.50% 2012
€3,750
5,094
ING Groep NV 5.775% (undated)1
$15,500
15,322
TuranAlem Finance BV 7.75% 20132 
11,000
10,967
TuranAlem Finance BV 8.00% 2014
9,710
9,729
TuranAlem Finance BV 8.00% 20142 
5,000
5,010
TuranAlem Finance BV 8.50% 20152
20,560
20,957
TuranAlem Finance BV 8.50% 2015
6,890
7,023
Bayerische Hypo- und Vereinsbank AG 6.00% 2014
€10,370
14,575
HVB Funding Trust I 8.741% 20312
$18,339
23,036
HVB Funding Trust III 9.00% 20312
12,530
16,058
Hospitality Properties Trust 7.00% 2008
1,000
1,021
Hospitality Properties Trust 6.75% 2013
17,845
18,784
Hospitality Properties Trust 5.125% 2015
6,850
6,530
Hospitality Properties Trust 6.30% 2016
24,175
24,745
XL Capital Finance (Europe) PLC 6.50% 2012
12,455
13,006
XL Capital Ltd. 6.375% 2024
2,125
2,190
Mangrove Bay Pass Through Trust 6.102% 20331,2
22,380
21,692
Twin Reefs Asset Trust (XLFA), Series B, 6.33% (undated)1,2 
10,200
10,218
Allstate Financial Global Funding LLC 5.25% 20072
26,500
26,490
Allstate Life Global Funding Trust, Series 2004-2, 5.46% 20071
3,000
3,003
Allstate Financial Global Funding LLC 4.25% 20082
7,500
7,373
Allstate Life Global Funding Trust, Series 2004-1, 4.50% 2009
5,000
4,920
Allstate Financing II 7.83% 2045
5,000
5,208
ACE Ltd. 6.00% 2007
1,000
1,002
ACE INA Holdings Inc. 5.875% 2014
25,275
25,556
ACE Capital Trust II 9.70% 2030
12,423
16,618
Developers Diversified Realty Corp. 3.875% 2009
19,500
18,859
Developers Diversified Realty Corp. 5.00% 2010
2,500
2,469
Developers Diversified Realty Corp. 5.375% 2012
3,450
3,419
Developers Diversified Realty Corp. 5.50% 2015
17,500
17,209
Monumental Global Funding II, Series 2002-A, 5.20% 20072
17,500
17,488
AEGON NV 4.625% 2008
€7,750
9,951
Transamerica Corp. 9.375% 2008
$7,500
7,834
Monumental Global Funding II, Series 2004-F, 4.375% 20092
2,000
1,959
AEGON NV 6.125% 2031
£1,600
3,512
Kazkommerts International BV 7.00% 20092 
$ 5,500
5,548
Kazkommerts International BV 8.50% 2013
8,500
8,989
Kazkommerts International BV 7.875% 20142 
9,200
9,384
Kazkommerts International BV 8.00% 20152 
15,500
15,732
American Honda Finance Corp. 5.125% 20102
34,350
34,299
Development Bank of Singapore Ltd. 7.875% 20092 
20,000
21,355
DBS Bank Ltd. 5.98% 20211,2
12,500
12,594
Nationwide Life Insurance Co. 5.35% 20072
4,250
4,250
North Front Pass Through Trust 5.81% 20241,2
18,500
18,205
Nationwide Mutual Insurance Co. 7.875% 20332 
8,000
9,387
Nationwide Mutual Insurance Co. 6.60% 20342
2,000
1,976
World Savings Bank, FSB, Bank Notes, Series 2008-FXR, 4.125% 2008
34,250
33,690
BOI Capital Funding (No. 2) LP 5.571% (undated)1,2
8,150
7,875
Bank of Ireland 6.107% (undated)1,2
25,550
24,979
ZFS Finance (USA) Trust I 6.15% 20651,2
32,680
32,553
PLD International Finance LLC 4.375% 2011
€4,150
5,286
ProLogis 5.625% 2015
$25,000
24,846
Berkshire Hathaway Finance Corp. 4.125% 2010
20,000
19,445
Berkshire Hathaway Finance Corp. 4.75% 2012
10,000
9,794
Principal Life Global Funding I 2.80% 20082 
11,625
11,169
Principal Life Global Funding I 4.40% 20102
16,600
16,060
Principal Life Income Fundings Trust, Series 2005-34, 5.20% 2010
2,000
2,001
Plum Creek Timberlands, LP 5.875% 2015
29,000
28,736
Brandywine Operating Partnership, LP 5.75% 2012
26,550
26,742
iStar Financial, Inc. 5.375% 2010
10,675
10,628
iStar Financial, Inc., Series B, 5.125% 2011
1,500
1,473
iStar Financial, Inc. 6.05% 2015
14,285
14,451
Hartford Financial Services Group, Inc. 4.70% 2007
16,250
16,146
Hartford Financial Services Group, Inc. 5.55% 2008
875
880
Hartford Financial Services Group, Inc. 5.25% 2011
5,625
5,626
Hartford Financial Services Group, Inc. 4.625% 2013
4,000
3,830
Rouse Co. 3.625% 2009
5,200
4,935
Rouse Co. 7.20% 2012
17,700
18,191
Rouse Co. 6.75% 20132
2,000
2,009
UnionBanCal Corp. 5.25% 2013
2,000
1,974
Union Bank of California, NA 5.95% 2016
22,000
22,728
Jackson National Life Global Funding, Series 2002-1, 5.25% 20072
23,125
23,162
Metropolitan Life Global Funding I, Series 2004-2, 5.46% 20071,2 
1,500
1,501
Met Life Global Funding I 2.60% 20082
20,000
19,087
MetLife, Inc. 5.00% 2015
2,000
1,940
John Hancock Global Funding II, Series 2002-G, 5.00% 20072 
5,000
4,979
John Hancock Global Funding II, Series 2004-A, 3.50% 20092
18,000
17,348
Assurant, Inc. 5.625% 2014
22,000
21,940
United Overseas Bank Ltd. 5.375% 20191,2
22,250
21,845
Zions Bancorporation 5.50% 2015
21,625
21,404
Canadian Imperial Bank of Commerce 5.625% Eurodollar note 20851
25,000
20,875
Countrywide Home Loans, Inc., Series M, 4.125% 20093
20,000
19,388
United Dominion Realty Trust, Inc., Series E, 4.50% 2008
17,000
16,744
Standard Chartered Bank 5.563% Eurodollar note (undated)1
15,000
12,412
Standard Chartered Bank 5.588% (undated)1
5,000
4,200
Credit Suisse First Boston (USA), Inc. 6.50% 2012
15,000
15,820
Protective Life Insurance Co., Series 2005-C, 4.85% 2010
15,000
14,856
Downey Financial Corp. 6.50% 2014
14,380
14,440
Skandinaviska Enskilda Banken AB 7.50% (undated)1
12,500
13,234
Genworth Financial, Inc. 5.54% 20071
2,500
2,504
Genworth Financial, Inc. 4.75% 2009
10,345
10,246
Advanta Capital Trust I, Series B, 8.99% 2026
12,500
12,719
ERP Operating LP 4.75% 2009
2,225
2,195
ERP Operating LP 6.625% 2012
5,000
5,298
ERP Operating LP 5.375% 2016
5,000
4,928
E*TRADE Financial Corp. 8.00% 2011
750
780
E*TRADE Financial Corp. 7.375% 2013
925
950
E*TRADE Financial Corp. 7.875% 2015
9,720
10,279
Independence Community Bank Corp. 4.90% 2010
12,000
11,757
MassMutual Global Funding II, Series 2002-1, 3.50% 20102
12,000
11,440
Wells Fargo & Co. 3.50% 2008
3,310
3,232
Wells Fargo & Co. 4.125% 2008
8,000
7,884
Banco Santander-Chile 5.375% 20142
11,200
11,048
Comerica, Inc., Imperial Capital Trust I, Imperial Bancorp, Series B, 9.98% 2026
10,200
11,008
PNC Funding Corp. 4.20% 2008
6,750
6,639
PNC Funding Corp. 5.125% 2010
4,000
3,992
AB Spintab 6.00% 2009
SKr73,000
10,514
United Energy Distribution Pty Ltd., AMBAC insured, 4.70% 20112
$10,000
9,792
Post Apartment Homes, LP 7.70% 2010
1,400
1,509
Post Apartment Homes, LP 5.125% 2011
7,720
7,529
Shinsei Bank, Ltd. 3.75% 20161
€6,865
8,493
Bank of Nova Scotia 5.125% 20851 
$10,000
8,492
Chohung Bank 4.50% 20141,2
8,000
7,702
Host Marriott, LP, Series G, 9.25% 2007
625
648
Host Marriott, LP, Series M, 7.00% 2012
6,595
6,702
Lloyds Bank, Series 2, 5.563% (undated)1 
8,000
7,103
BCI U.S. Funding Trust I 8.01% noncumulative preferred (undated)1,2
6,500
6,762
Allied Irish Banks Ltd. 5.985% (undated)1
7,000
6,378
Weingarten Realty Investors, Series A, 4.857% 2014
6,080
5,826
National Australia Bank Ltd. 5.486% (undated)1,2
5,925
5,666
Irvine Apartment Communities, LP 7.00% 2007
5,000
4,996
Wachovia Corp., Series G, 4.375% 2010
5,000
4,885
Industrial Bank of Korea 4.00% 20141,2
5,000
4,796
Bergen Bank 5.563% (undated)1
5,000
4,250
National Bank of Canada 5.625% 20871
5,000
4,090
Skandinaviska Enskilda Banken AB 5.471% (undated)1,2
4,250
4,073
Barclays Bank PLC 4.75% (undated)1
€3,500
3,949
Christiana Bank Og Kreditkasse 5.466% (undated)1
$ 4,000
3,574
Federal Realty Investment Trust 4.50% 2011
3,500
3,370
FelCor Lodging LP 8.50% 20111
2,270
2,415
Willis North America Inc. 5.625% 2015
2,500
2,403
Deutsche Bank Financial LLC 5.375% 2015
2,000
1,987
St. Paul Travelers Companies, Inc. 6.25% 2016
1,500
1,567
UnumProvident Finance Co. PLC 6.85% 20152
1,425
1,465
   
5,139,717
     
CONSUMER DISCRETIONARY — 5.55%
    
DaimlerChrysler North America Holding Corp. 4.05% 2008
4,750
4,640
DaimlerChrysler North America Holding Corp. 4.75% 2008
4,800
4,754
DaimlerChrysler North America Holding Corp. 5.82% 20091
30,000
30,035
DaimlerChrysler North America Holding Corp. 7.20% 2009
5,000
5,213
DaimlerChrysler North America Holding Corp. 4.875% 2010
20,000
19,448
DaimlerChrysler North America Holding Corp. 8.00% 2010
56,500
60,788
DaimlerChrysler North America Holding Corp. 7.75% 2011
26,350
28,257
DaimlerChrysler North America Holding Corp. 6.50% 2013
11,610
11,923
Comcast Cable Communications, Inc. 6.20% 2008
7,150
7,293
Lenfest Communications, Inc. 7.625% 2008
6,750
6,940
Comcast Corp. 5.80% 20091
2,000
2,005
Comcast Cable Communications, Inc. 6.875% 2009
15,194
15,809
Tele-Communications, Inc. 9.80% 2012
17,500
20,693
Comcast Cable Communications, Inc. 7.125% 2013
1,650
1,781
Tele-Communications, Inc. 7.875% 2013
7,500
8,392
Comcast Corp. 5.85% 2015
29,025
29,068
Comcast Corp. 6.50% 2015
23,000
24,047
Comcast Corp. 5.90% 2016
6,570
6,585
Comcast Corp. 6.50% 2017
25,000
26,145
Comcast Corp. 5.65% 2035
6,670
6,072
Harrah’s Operating Co., Inc. 5.50% 2010
17,320
17,072
Harrah’s Operating Co., Inc. 5.625% 2015
27,650
25,744
Harrah’s Operating Co., Inc. 6.50% 2016
20,000
19,640
Harrah’s Operating Co., Inc. 5.75% 2017
12,000
10,996
Viacom Inc. 5.75% 20112 
2,500
2,497
Viacom Inc. 6.25% 20162 
34,110
33,871
Viacom Inc. 6.875% 20362
32,600
32,329
Time Warner Inc. 8.18% 2007
2,225
2,277
AOL Time Warner Inc. 6.875% 2012
27,250
28,847
AOL Time Warner Inc. 7.625% 2031
18,575
20,579
Toll Brothers, Inc. 6.875% 2012
9,875
10,004
Toll Brothers, Inc. 4.95% 2014
23,720
21,272
Toll Brothers, Inc. 5.15% 2015
14,000
12,465
Chancellor Media Corp. of Los Angeles 8.00% 2008
12,500
13,076
Clear Channel Communications, Inc. 5.75% 2013
10,000
9,623
Clear Channel Communications, Inc. 5.50% 2014
3,000
2,792
Clear Channel Communications, Inc. 6.875% 2018
13,000
12,801
News America Holdings Inc. 8.00% 2016
1,000
1,155
News America Holdings Inc. 8.25% 2018
8,990
10,602
News America Inc. 6.40% 2035
26,000
25,582
Royal Caribbean Cruises Ltd. 7.00% 2007
1,400
1,421
Royal Caribbean Cruises Ltd. 8.75% 2011
2,325
2,544
Royal Caribbean Cruises Ltd. 6.875% 2013
805
806
Royal Caribbean Cruises Ltd. 7.00% 2013
12,435
12,633
Royal Caribbean Cruises Ltd. 7.25% 2016
17,000
17,267
Cox Communications, Inc. 5.94% 20071
5,000
5,026
Cox Communications, Inc. 7.875% 2009
1,000
1,061
Cox Communications, Inc. 4.625% 2010
5,000
4,867
Cox Communications, Inc. 7.75% 2010
10,000
10,801
Cox Communications, Inc. 5.45% 2014
12,750
12,336
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.00% 20122
10,150
10,277
Charter Communications Operating, LLC, Term Loan B, 8.125% 20131,3
7,900
7,949
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013
13,150
13,298
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.375% 20142
2,500
2,553
Target Corp. 3.375% 2008
8,330
8,136
Target Corp. 5.375% 2009
24,500
24,739
Ryland Group, Inc. 5.375% 2008
2,000
1,985
Ryland Group, Inc. 5.375% 2012
30,900
29,148
Centex Corp. 5.80% 2009
2,500
2,520
Centex Corp. 5.25% 2015
6,725
6,293
Centex Corp. 6.50% 2016
20,000
20,276
Pulte Homes, Inc. 4.875% 2009
20,300
19,952
Pulte Homes, Inc. 7.625% 2017
7,500
8,155
Carnival Corp. 3.75% 2007
8,500
8,348
Carnival Corp. 6.15% 2008
18,623
18,815
Johnson Controls, Inc. 5.25% 2011
7,550
7,482
Johnson Controls, Inc. 5.50% 2016
15,000
14,684
D.R. Horton, Inc. 9.75% 2010
1,150
1,265
D.R. Horton, Inc. 7.875% 2011
800
855
D.R. Horton, Inc. 6.50% 2016
20,060
19,718
American Media Operations, Inc., Series B, 10.25% 2009
15,865
14,834
American Media Operations, Inc. 8.875% 2011
7,060
6,230
J.C. Penney Co., Inc. 8.00% 2010
7,590
8,170
J.C. Penney Co., Inc. 9.00% 2012
995
1,154
J.C. Penney Co., Inc., Series A, 6.875% 2015
5,500
5,822
J.C. Penney Co., Inc. 7.65% 2016
2,315
2,604
J.C. Penney Co., Inc. 7.625% 2097
500
515
Kohl’s Corp. 6.30% 2011
16,000
16,605
Kohl’s Corp. 7.375% 2011
1,500
1,619
Omnicom Group Inc. 5.90% 2016
17,750
18,040
Mohegan Tribal Gaming Authority 6.375% 2009
14,410
14,374
Mohegan Tribal Gaming Authority 7.125% 2014
2,000
2,000
Visteon Corp. 8.25% 2010
16,240
15,915
Cinemark USA, Inc. 9.00% 2013
8,325
8,679
Cinemark, Inc. 0%/9.75% 20144
8,750
7,022
MGM MIRAGE 6.00% 2009
1,975
1,960
MGM MIRAGE 8.50% 2010
6,850
7,321
MGM MIRAGE 6.75% 2012
1,050
1,041
MGM MIRAGE 6.75% 2013
2,500
2,469
MGM MIRAGE 5.875% 2014
500
466
MGM MIRAGE 6.625% 2015
2,025
1,954
MDC Holdings, Inc. 5.50% 2013
6,555
6,119
MDC Holdings, Inc. 5.375% 2014
9,475
8,622
Seminole Tribe of Florida 5.798% 20132
14,750
14,589
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp. 6.625% 2014
14,415
14,055
CanWest Media Inc., Series B, 8.00% 2012
13,676
13,573
Delphi Automotive Systems Corp. 6.55% 20065 
500
450
Delphi Automotive Systems Corp. 6.50% 20095
6,000
5,370
Delphi Corp. 6.50% 20135
7,020
6,002
Delphi Automotive Systems Corp. 7.125% 20295
1,350
1,147
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012
12,025
12,701
Grupo Posadas, SA de CV 8.75% 20112
10,585
11,114
Grupo Posadas, SA de CV 8.75% 2011
1,050
1,102
Young Broadcasting Inc. 10.00% 2011
12,317
11,563
NTL Cable PLC 8.75% 2014
8,650
9,018
NTL Cable PLC 9.125% 2016
2,325
2,412
Bon-Ton Department Stores, Inc. 10.25% 2014
10,800
10,557
Linens n’ Things, Inc. 11.132% 20141,2 
10,750
10,427
Lowe’s Companies, Inc. 8.25% 2010
8,450
9,320
Neiman Marcus Group, Inc. 9.00% 20156
8,620
9,202
AMC Entertainment Inc., Series B, 8.625% 2012
3,000
3,112
AMC Entertainment Inc. 8.00% 2014
5,650
5,339
Toys "R" Us, Inc. 7.625% 2011
3,420
2,907
Toys "R" Us-Delaware, Inc., Term Loan B, 9.643% 20121,3 
5,000
5,106
Iesy Repository GmbH 10.375% 20152
8,550
7,909
William Lyon Homes, Inc. 7.625% 2012
5,750
4,672
William Lyon Homes, Inc. 10.75% 2013
2,000
1,850
William Lyon Homes, Inc. 7.50% 2014
1,500
1,207
Kabel Deutschland GmbH 10.625% 20142
7,150
7,704
Century Communications Corp. 0% 20035 
5,000
4,975
Adelphia Communications Corp. 10.25% 20065 
3,500
2,161
Regal Cinemas Corp., Series B, 9.375% 20127
6,125
6,460
Thomson Corp. 5.50% 2035
7,000
6,440
Technical Olympic USA, Inc. 9.00% 2010
2,600
2,486
Technical Olympic USA, Inc. 9.00% 2010
950
908
Technical Olympic USA, Inc. 7.50% 2011
3,750
3,037
Burlington Coat Factory Warehouse Corp. 11.125% 20142
6,600
6,402
Tenneco Automotive Inc., Series B, 10.25% 2013
750
817
Tenneco Automotive Inc. 8.625% 2014
5,510
5,469
Telenet Group Holding NV 0%/11.50% 20142,4 
7,100
6,248
PETCO Animal Supplies, Inc. 10.75% 2011
5,750
6,095
Quebecor Media Inc. 7.75% 2016
5,900
5,937
Marriott International, Inc., Series F, 4.625% 2012
1,500
1,428
Marriott International, Inc., Series G, 5.81% 2015
4,500
4,486
RBS-Zero Editora Jornalística SA 11.00% 20102
5,492
5,904
Dollarama Group LP and Dollarama Corp. 8.875% 2012
5,550
5,689
Radio One, Inc., Series B, 8.875% 2011
4,000
4,105
Radio One, Inc. 6.375% 2013
1,425
1,304
K. Hovnanian Enterprises, Inc. 6.25% 2015
500
446
K. Hovnanian Enterprises, Inc. 7.50% 2016
3,735
3,506
K. Hovnanian Enterprises, Inc. 8.625% 2017
1,000
997
May Department Stores Co. 8.00% 2012
2,500
2,733
Federated Department Stores, Inc. 7.45% 2017
2,000
2,177
Fisher Communications, Inc. 8.625% 2014
4,550
4,743
Liberty Media Corp. 7.875% 2009
2,500
2,630
Liberty Media Corp. 8.25% 2030
2,000
2,006
Walt Disney Co., Series B, 5.375% 2007
3,500
3,503
Walt Disney Co. 5.625% 2016
1,000
1,009
WCI Communities, Inc. 9.125% 2012
3,115
2,803
WCI Communities, Inc. 7.875% 2013
1,750
1,487
Emmis Operating Co. 6.875% 2012
4,250
4,266
Atlantic Broadband Finance, LLC and Atlantic Broadband Finance, Inc. 9.375% 2014
4,300
4,225
Cablevision Systems Corp., Series B, 8.00% 2012
3,635
3,699
Education Management LLC and Education Management Finance Corp. 10.25% 20162
3,525
3,622
Buffets, Inc. 11.25% 2010
3,275
3,480
Vidéotron Ltée 6.875% 2014
2,525
2,500
Vidéotron Ltée 6.375% 2015
1,000
952
Morris Publishing Group, LLC and Morris Publishing Finance Co., Series B, 7.00% 2013
3,540
3,363
Seneca Gaming Corp. 7.25% 2012
2,500
2,512
Seneca Gaming Corp. 7.25% 2012
775
779
Hyatt Equities, LLC 6.875% 20072
3,250
3,272
WDAC Subsidiary Corp. 8.375% 20142
2,600
2,626
WDAC Subsidiary Corp. 8.50% 2014
€500
637
Warner Music Group 7.375% 2014
$3,300
3,234
Kingfisher PLC 5.625% 2014
£1,740
3,209
Sealy Mattress Co. 8.25% 2014
$3,025
3,101
Aztar Corp. 7.875% 2014
2,250
2,436
Reader’s Digest Assn., Inc. 6.50% 2011
2,500
2,387
LBI Media, Inc. 10.125% 2012
2,250
2,379
Gaylord Entertainment Co. 8.00% 2013
2,300
2,352
R.H. Donnelley Corp., Series A-1, 6.875% 2013
1,000
917
Dex Media, Inc., Series B, 8.00% 2013
525
524
R.H. Donnelley Corp., Series A-3, 8.875% 2016
850
856
Gamestop Corp. 8.00% 2012
2,000
2,070
KB Home 6.25% 2015
2,000
1,849
Stoneridge, Inc. 11.50% 2012
1,733
1,685
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc. 8.375% 2013
1,493
1,555
Payless ShoeSource, Inc. 8.25% 2013
1,425
1,457
Riddell Bell Holdings Inc. 8.375% 2012
1,430
1,409
NTL Cable PLC 8.75% 2014
€1,000
1,329
TRW Automotive Acquisition Corp. 9.375% 2013
$ 1,075
1,150
XM Satellite Radio Holdings Inc. 9.75% 20142
1,175
1,134
Dillard’s, Inc. 7.13% 2018
1,000
985
Warnaco, Inc. 8.875% 2013
925
962
Standard Pacific Corp. 5.125% 2009
1,000
945
Boyd Gaming Corp. 6.75% 2014
750
737
Carmike Cinemas, Inc., Term Loan B, 8.64% 20121,3 
575
581
General Motors Nova Scotia Finance Co. 6.85% 2008
300
293
Starwood Hotels & Resorts Worldwide, Inc. 7.375% 2007
250
253
Entercom Radio, LLC 7.625% 2014
250
245
   
1,448,623
     
TELECOMMUNICATION SERVICES — 5.12%
    
US Unwired Inc., Series B, 10.00% 2012
4,400
4,862
Nextel Communications, Inc., Series E, 6.875% 2013
105,480
107,486
Nextel Communications, Inc., Series D, 7.375% 2015
102,705
106,072
Sprint Capital Corp. 6.875% 2028
15,000
15,245
AT&T Wireless Services, Inc. 7.875% 2011
28,355
31,080
AT&T Wireless Services, Inc. 8.125% 2012
87,630
98,746
BellSouth Corp. 4.20% 2009
3,250
3,154
BellSouth Corp. 4.75% 2012
72,725
69,470
BellSouth Capital Funding Corp. 7.875% 2030
10,490
11,987
BellSouth Corp. 6.55% 2034
35,260
35,431
Sogerim SA 7.25% 2011
€2,650
3,755
Telecom Italia SpA 6.25% 2012
18,500
25,058
Telecom Italia Capital SA, Series B, 5.25% 2013
$16,050
15,220
Telecom Italia Capital SA 5.25% 2015
37,000
34,344
Telecom Italia Capital SA 7.20% 2036
23,350
24,074
SBC Communications Inc. 4.125% 2009
31,345
30,375
SBC Communications Inc. 6.25% 2011
1,150
1,188
AT&T Corp. 7.30% 20111
5,917
6,420
SBC Communications Inc. 5.10% 2014
22,745
22,011
SBC Communications Inc. 5.625% 2016
18,000
17,835
SBC Communications Inc. 6.15% 2034
18,000
17,483
SBC Communications Inc. 6.45% 2034
2,000
2,015
AT&T Inc. 6.80% 2036
3,710
3,910
France Télécom 6.75% 20081
€3,500
4,615
France Télécom 7.75% 20111
$85,050
93,266
Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006
70,330
70,308
Telefónica Emisiones, SAU 6.421% 2016
20,000
20,614
Telefónica Emisiones, SAU 7.045% 2036
29,000
30,703
Vodafone Group PLC 7.75% 2010
35,285
37,864
Koninklijke KPN NV 4.75% 2008
€6,000
7,711
Koninklijke KPN NV 8.00% 2010
$27,575
29,817
Deutsche Telekom International Finance BV 6.625% 2011
€1,200
1,688
Deutsche Telekom International Finance BV 8.125% 20121
€4,420
6,649
Deutsche Telekom International Finance BV 8.25% 20301
$20,000
24,504
Windstream Corp. 8.125% 20132
6,875
7,330
Valor Telecommunications Enterprises, LLC and Valor Telecommunications Enterprises Finance Corp. 7.75% 2015
6,090
6,516
Windstream Corp. 8.625% 20162
15,300
16,448
Intelsat, Ltd. 7.625% 2012
1,000
880
Intelsat (Bermuda), Ltd. 10.484% 20121
4,950
5,043
Intelsat (Bermuda), Ltd. 8.25% 2013
6,725
6,843
Intelsat (Bermuda), Ltd. 8.625% 2015
4,000
4,110
Intelsat PanAmSat Opco 9.00% 20162 
3,550
3,674
Intelsat (Bermuda), Ltd. 9.25% 20162 
6,500
6,866
Intelsat (Bermuda), Ltd. 11.25% 20162
2,400
2,562
Triton PCS, Inc. 8.75% 2011
3,975
2,991
Triton PCS, Inc. 9.375% 2011
10,000
7,525
Triton PCS, Inc. 8.50% 2013
17,825
16,622
Dobson Cellular Systems, Inc., Series B, 8.375% 20112
3,600
3,758
Dobson Communications Corp. 9.757% 20121
1,650
1,691
Dobson Cellular Systems, Inc. 9.875% 2012
13,300
14,331
Dobson Communications Corp. 8.875% 2013
5,000
4,981
U S WEST Capital Funding, Inc. 6.375% 2008
500
503
Qwest Capital Funding, Inc. 7.90% 2010
950
981
Qwest Communications International Inc. 7.25% 2011
5,000
5,025
Qwest Capital Funding, Inc. 7.25% 2011
4,150
4,171
Qwest Communications International Inc., Series B, 7.50% 2014
3,750
3,778
Qwest Capital Funding, Inc. 7.625% 2021
500
487
U S WEST Capital Funding, Inc. 6.875% 2028
4,725
4,253
Qwest Capital Funding, Inc. 7.75% 2031
2,605
2,527
Singapore Telecommunications Ltd. 6.375% 20112
16,250
17,021
Singapore Telecommunications Ltd. 6.375% 2011
3,475
3,640
Embarq Corp. 6.738% 2013
20,000
20,605
PCCW-HKT Capital Ltd. 8.00% 20111,2
15,000
16,493
PCCW-HKT Capital No. 3 Ltd. 5.25% 20152
3,600
3,386
American Tower Corp. 7.125% 2012
17,525
18,051
Centennial Cellular Corp. 10.75% 2008
379
386
Centennial Communications Corp. 11.258% 20131
7,500
7,781
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC and Centennial Puerto Rico Operations Corp. 8.125% 20141
9,300
9,207
British Telecommunications PLC 6.875% 20111
€5,500
7,864
British Telecommunications PLC 8.625% 2020
£900
2,059
British Telecommunications PLC 5.75% 2028
1,800
3,249
British Telecommunications PLC 8.875% 2030
$1,600
2,141
Hawaiian Telcom Communications, Inc. 9.75% 2013
6,790
7,011
Hawaiian Telcom Communications, Inc. 10.789% 20131
3,605
3,704
Hawaiian Telcom Communications, Inc., Series B, 12.50% 2015
3,050
3,218
Verizon Global Funding Corp. 6.125% 2007
3,625
3,643
Verizon Global Funding Corp. 7.375% 2012
7,360
8,060
Rogers Wireless Inc. 7.25% 2012
1,275
1,340
Rogers Wireless Inc. 7.50% 2015
6,925
7,427
Rogers Cantel Inc. 9.75% 2016
1,250
1,575
Cincinnati Bell Inc. 7.25% 2013
6,800
6,987
MetroPCS, Inc., Second Lien Loan, 12.938% 20071,3 
4,110
4,295
MetroPCS, Inc., First Lien Loan, 10.188% 20111,3 
2,250
2,289
Rural Cellular Corp. 9.75% 2010
1,750
1,770
Rural Cellular Corp. 8.25% 2012
750
776
Rural Cellular Corp. 11.239% 20121
3,260
3,378
SK Telecom Co., Ltd. 4.25% 20112
6,000
5,731
Telekom Austria AG 3.375% 2010
€4,200
5,204
NTELOS Inc., Term Loan B, 7.58% 20111,3
$ 4,975
4,981
Millicom International Cellular SA 10.00% 2013
3,930
4,239
Nordic Telephone Co. Holding ApS 8.875% 20162
1,000
1,056
Level 3 Financing, Inc. 12.25% 2013
350
392
   
1,337,815
     
INDUSTRIALS — 4.92%
    
Continental Airlines, Inc., Series 2001-1, Class A-2, 6.503% 2011
14,050
14,319
Continental Airlines, Inc., Series 1999-2, Class A-2, 7.056% 20113
10,000
10,333
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.487% 2012
12,500
13,070
Continental Airlines, Inc., Series 2006-1, Class G, FGIC insured, 5.748% 20151
6,500
6,500
Continental Airlines, Inc., Series 1997-1, Class A, 7.461% 20163 
10,375
10,382
Continental Airlines, Inc., Series 1996-2, Class D, 11.50% 20163
1,699
1,727
Continental Airlines, Inc., Series 2001-1, Class B, 7.373% 20173 
205
203
Continental Airlines, Inc., Series 1998-1, Class B, 6.748% 20183
3,249
3,170
Continental Airlines, Inc., Series 1997-4B, Class B, 6.90% 20183 
2,465
2,365
Continental Airlines, Inc., Series 1998-1, Class A, 6.648% 20193 
26,976
27,465
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20193 
42,445
43,719
Continental Airlines, Inc., Series 2000-2, Class B, 8.307% 20193
2,255
2,255
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20203 
28,350
28,858
Continental Airlines, Inc., Series 1999-1, Class B, 6.795% 20203
15,233
14,832
Continental Airlines, Inc., Series 2003-ERJ1, Class A, 7.875% 20203 
16,115
15,924
Continental Airlines, Inc., Series 1999-2, Class A-1, 7.256% 20213 
330
350
Continental Airlines, Inc., Series 1999-2, Class B, 7.566% 20213 
3,371
3,365
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20223 
14,564
14,573
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707% 20223 
12,689
13,569
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20223 
10,249
10,922
Continental Airlines, Inc., Series 2000-1, Class B, 8.388% 20223
1,590
1,551
Delta Air Lines, Inc. 8.00% 20072,5 
4,000
1,130
Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.619% 20113
7,799
7,794
Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57% 2012
3,500
3,507
Delta Air Lines, Inc., Series 2001-1, Class A-2, 7.111% 2013
10,000
10,018
Delta Air Lines, Inc., Series 2002-1, Class C, 7.779% 20133
3,603
3,452
Delta Air Lines, Inc., Series 2002-1, Class G-2, MBIA insured, 6.417% 2014
53,658
54,631
Delta Air Lines, Inc., Series 1992-A2, 9.20% 20143,5 
7,500
5,855
Delta Air Lines, Inc. 10.375% 20225
2,577
741
Delta Air Lines, Inc., Series 2002-1, Class G-1, MBIA insured, 6.718% 20243
47,690
48,674
General Electric Capital Corp., Series A, 5.00% 2007
21,500
21,470
General Electric Capital Corp., Series A, 5.375% 2007
13,250
13,257
General Electric Capital Corp., Series A, 7.25% 2007
£1,030
1,960
General Electric Capital Corp., Series A, 3.50% 2008
$20,000
19,514
General Electric Capital Corp., Series A, 6.00% 2012
15,000
15,604
General Electric Co. 5.00% 2013
12,750
12,623
General Electric Capital Corp., Series A, 5.00% 2016
5,000
4,905
General Electric Capital Corp., Series A, 5.75% 20181 
18,000
18,033
General Electric Capital Corp., Series A, 5.86% 20261
25,000
25,002
American Airlines, Inc., Series 1999-1, Class A-1, 6.855% 20103
8,088
8,202
AMR Corp., Series B, 10.45% 2011
150
144
American Airlines, Inc., Series 2001-1, Class A-2, 6.817% 2012
3,750
3,691
American Airlines, Inc., Series 2001-2, Class A-1, 6.978% 20123
27,116
27,882
American Airlines, Inc., Series 2001-2, Class B, 8.608% 2012
17,915
18,576
AMR Corp. 9.00% 2012
5,800
5,858
American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 2013
36,430
39,185
American Airlines, Inc., Series 1991-C2, 9.73% 20143
6,410
6,061
American Airlines, Inc., Series 2001-1, Class B, 7.377% 20193
11,013
10,153
BAE Systems Holding Inc. 4.75% 20102
10,350
10,090
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 20112,3
42,411
44,065
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 20132,3 
42,740
44,982
Hutchison Whampoa International Ltd. 7.00% 20112 
24,300
25,755
Hutchison Whampoa International Ltd. 6.50% 20132
59,200
61,970
Qantas Airways Ltd. 6.05% 20162
55,580
55,958
United Air Lines, Inc., Series 2001-1, Class A-2, 6.201% 20103
12,271
12,279
United Air Lines, Inc., Series 2000-2, Class B, 7.811% 20113 
7,335
7,853
UAL Corp., Term Loan B, 9.08% 20121,3
16,096
16,217
United Air Lines, Inc., Series 2001-1, Class A-1, 6.071% 20143 
2,073
2,072
United Air Lines, Inc., Series 2001-1, Class A-3, 6.602% 20153
6,710
6,731
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 1996-B, 6.96% 20093 
1,314
1,341
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 2002-2, 5.14% 20213
12,280
12,228
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 2002-1, 5.943% 20223
6,264
6,492
BNSF Funding Trust I 6.613% 20551
13,600
13,707
Southwest Airlines Co., Series 2001-1, Class B, 6.126% 20063 
7,500
7,510
Southwest Airlines Co., Series 2001-1, Class A-2, 5.496% 20083
5,000
5,006
Southwest Airlines Co. 5.25% 2014
12,500
12,217
Union Pacific Railroad Co. Pass Through Trust, Series 2001-1, 6.63% 20223
7,586
8,207
Union Pacific Railroad Co. Pass Through Trust, Series 2002-1, 6.061% 20233 
11,029
11,548
Union Pacific Railroad Co. Pass Through Trust, Series 2003-1, 4.698% 20243
2,913
2,779
NTK Holdings Inc. 0%/10.75% 20144 
15,118
10,507
THL Buildco, Inc. 8.50% 2014
10,650
10,118
Bombardier Inc. 6.30% 20142
19,800
17,870
Allied Waste North America, Inc. 8.50% 2008
7,500
7,894
Allied Waste North America, Inc., Series B, 6.50% 2010
500
495
Allied Waste North America, Inc., Series B, 5.75% 2011
2,500
2,409
Allied Waste North America, Inc., Series B, 6.125% 2014
3,000
2,813
Allied Waste North America, Inc., Series B, 7.375% 2014
3,750
3,713
Northwest Airlines, Inc. 9.875% 20075 
6,000
3,368
Northwest Airlines, Inc. 10.00% 20095
4,000
2,170
Northwest Airlines, Inc., Series 2001-1, Class A-2, 6.841% 2012
9,955
9,874
Northwest Airlines, Inc., Series 2001-1, Class A-1, 7.041% 20233
1,871
1,860
John Deere Capital Corp., Series D, 4.375% 2008
15,000
14,825
Caterpillar Financial Services Corp. 2.70% 2008
845
809
Caterpillar Inc. 4.50% 2009
9,690
9,548
Caterpillar Financial Services Corp. 4.30% 2010
2,400
2,333
Caterpillar Inc. 6.05% 2036
1,300
1,358
Nielsen Finance LLC, Term Loan B, 8.195% 20131,3 
2,000
2,000
Nielsen Finance LLC and Nielsen Finance Co. 10.00% 20142
7,100
7,375
Nielsen Finance LLC and Nielsen Finance Co. 0%/12.50% 20162,4
6,100
3,607
Northrop Grumman Corp. 4.079% 2006
2,000
1,997
Northrop Grumman Systems Corp. 7.125% 2011
8,000
8,574
Raytheon Co. 6.55% 2010
6,000
6,244
Raytheon Co. 8.30% 2010
3,000
3,280
Goodman Global Holdings, Inc., Series B, 7.875% 2012
8,795
8,421
Standard Aero Holdings, Inc. 8.25% 2014
8,550
8,294
Ashtead Group PLC 8.625% 20152 
3,875
3,953
Ashtead Capital, Inc. 9.00% 20162
4,000
4,180
DynCorp International and DIV Capital Corp., Series A, 9.50% 2013
7,530
7,831
DRS Technologies, Inc. 6.875% 2013
5,035
4,997
DRS Technologies, Inc. 6.625% 2016
475
469
DRS Technologies, Inc. 7.625% 2018
2,000
2,040
Horizon Lines, LLC and Horizon Lines Holding Corp. 9.00% 2012
7,071
7,318
Holcim Finance (Luxembourg) SA 4.375% 2014
€5,655
7,181
TFM, SA de CV 9.375% 2012
$4,450
4,739
TFM, SA de CV 12.50% 2012
2,145
2,370
AIR 2 US, Series A, 8.027% 20202,3 
6,879
6,918
United Rentals (North America), Inc., Series B, 6.50% 2012
6,950
6,742
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 20232,3 
6,446
6,422
Lockheed Martin Corp. 6.15% 20362
6,000
6,309
Accuride Corp. 8.50% 2015
6,525
6,101
Waste Management, Inc. 6.50% 2008
5,220
5,348
Waste Management, Inc. 5.00% 2014
765
739
Tyco International Group SA 6.125% 2008
5,000
5,075
Tyco International Group SA 6.125% 2009
500
509
RBS Global, Inc. and Rexnord Corp. 9.50% 20142
2,925
2,984
RBS Global, Inc. and Rexnord Corp. 11.75% 20162
2,425
2,510
K&F Industries, Inc. 7.75% 2014
5,375
5,415
General Dynamics Corp. 4.50% 2010
5,000
4,893
Jacuzzi Brands, Inc. 9.625% 2010
4,000
4,260
Quebecor World Inc. 8.75% 20162 
3,755
3,633
Argo-Tech Corp. 9.25% 2011
3,395
3,548
Williams Scotsman, Inc. 8.50% 2015
2,900
2,980
CCMG Acquisition Corp. 10.50% 20162
2,250
2,486
FTI Consulting, Inc. 7.625% 2013
2,300
2,335
TransDigm Inc., 7.75% 20142 
2,300
2,329
ACIH, Inc. 0%/11.50% 20122,4
3,390
2,271
Mobile Storage Group, Inc. 9.75% 20142
1,725
1,777
UCAR Finance Inc. 10.25% 2012
1,385
1,461
Gol Finance 8.75% (undated)2 
1,100
1,073
Kansas City Southern Railway Co. 7.50% 2009
1,000
1,005
AGCO Corp. 6.875% 2014
€700
906
H&E Equipment Services, Inc. 8.375% 20162
$ 850
876
Terex Corp. 9.25% 2011
375
397
Jet Equipment Trust, Series 1994-A, 11.79% 20132,5 
4,000
—
Jet Equipment Trust, Series 1995-B, 10.91% 20142,5 
5,000
—
Jet Equipment Trust, Series 1995-D, 11.44% 20142,5 
2,500
—
   
1,284,517
     
UTILITIES — 2.64%
    
PECO Energy Co., First and Refunding Mortgage Bonds, 3.50% 2008
5,000
4,867
Commonwealth Edison Co., Series 99, 3.70% 2008
7,125
6,964
Commonwealth Edison Co., First Mortgage Bonds, Series 102, 4.74% 2010
12,500
12,260
Exelon Corp. 6.75% 2011
2,200
2,314
Exelon Generation Co., LLC 6.95% 2011
19,475
20,666
PECO Energy Co., First and Refunding Mortgage Bonds, 4.75% 2012
3,900
3,779
Commonwealth Edison Co., First Mortgage Bonds, Series 103, 5.90% 2036
4,000
3,939
Edison Mission Energy 7.73% 2009
10,125
10,454
Southern California Edison Co., First and Refunding Mortgage Bonds, Series 2005-A, 5.00% 2016
4,000
3,870
Edison Mission Energy 7.75% 20162
6,025
6,130
Midwest Generation, LLC, Series B, 8.56% 20163
7,096
7,544
Homer City Funding LLC 8.734% 20263
11,014
12,253
Midwest Generation, LLC and Midwest Finance Corp. 8.75% 2034
7,600
8,151
NGG Finance PLC 6.125% 2011
€3,480
4,796
National Grid PLC 6.30% 2016
$37,605
39,086
Consolidated Edison Co. of New York, Inc., Series 2003-A, 3.625% 2008
6,000
5,835
Consolidated Edison Co. of New York, Inc., Series B, 3.85% 2013
5,000
4,593
Consolidated Edison Co. of New York, Inc., Series 2006-C, 5.50% 2016
30,000
30,140
Consolidated Edison Co. of New York, Inc., Series 2003-C, 5.10% 2033
2,000
1,803
PSEG Power LLC 3.75% 2009
6,825
6,579
PSEG Power LLC 7.75% 2011
18,700
20,309
PSEG Power LLC 5.00% 2014
11,690
11,157
Ameren Corp. 4.263% 2007
2,500
2,483
Cilcorp Inc. 8.70% 2009
1,000
1,088
Union Electric Co. 5.25% 2012
1,490
1,477
Union Electric Co. 4.65% 2013
11,000
10,501
Union Electric Co. 5.40% 2016
5,750
5,684
Cilcorp Inc. 9.375% 2029
12,265
16,139
PacifiCorp, First Mortgage Bonds, 4.30% 2008
3,060
3,016
PacifiCorp, First Mortgage Bonds, 5.45% 2013
2,875
2,890
Scottish Power PLC 5.375% 2015
31,415
30,844
Dominion Resources, Inc., Series G, 3.66% 2006
3,000
2,994
Virginia Electric and Power Co., Series 2002-A, 5.375% 2007
14,140
14,130
Dominion Resources, Inc., Series 2002-C, 5.70% 20121
1,000
1,007
Dominion Resources, Inc., Series 2002-B, 6.25% 2012
10,000
10,337
Virginia Electric and Power Co., Series 2003-A, 4.75% 2013
6,000
5,757
Israel Electric Corp. Ltd. 7.95% 20112
10,000
10,917
Israel Electric Corp. Ltd. 7.70% 20182 
8,500
9,435
Israel Electric Corp. Ltd. 8.10% 20962
12,000
13,382
MidAmerican Energy Co. 5.125% 2013
7,500
7,447
MidAmerican Energy Co. 4.65% 2014
5,000
4,757
MidAmerican Energy Holdings Co. 6.125% 20362
17,750
18,003
Ohio Power Co., Series J, 5.30% 2010
8,000
7,987
Ohio Power Co., Series H, 4.85% 2014
5,965
5,714
Appalachian Power Co., Series I, 4.95% 2015
1,000
950
Ohio Power Co., Series K, 6.00% 2016
15,000
15,433
Constellation Energy Group, Inc. 6.125% 2009
10,500
10,744
Constellation Energy Group, Inc. 7.00% 2012
15,000
16,073
Baltimore Gas and Electric Co. 5.20% 2033
3,000
2,649
Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% 2011
5,000
4,844
San Diego Gas & Electric Co., Series CCC, 5.30% 2015
10,000
9,972
San Diego Gas & Electric Co., Series DDD, 6.00% 2026
5,000
5,205
Niagara Mohawk Power Corp., Series G, 7.75% 2008
17,460
18,234
SP PowerAssets Ltd. 3.80% 20082 
10,000
9,723
SP PowerAssets Ltd. 5.00% 20132
8,000
7,845
AES Corp. 9.50% 2009
3,927
4,212
AES Corp. 9.375% 2010
4,803
5,211
AES Corp. 8.75% 20132
1,000
1,078
AES Gener SA 7.50% 2014
5,000
5,201
Veolia Environnement 4.875% 2013
€10,860
14,281
Empresa Nacional de Electricidad SA, Series B, 8.50% 2009
$ 4,455
4,746
Empresa Nacional de Electricidad SA 8.35% 2013
5,000
5,619
Empresa Nacional de Electricidad SA 8.625% 2015
3,000
3,481
Old Dominion Electric Cooperative, Series 2003-A, 5.676% 20283
12,937
13,015
Progress Energy Florida, Inc., First Mortgage Bonds, 4.80% 2013
7,000
6,790
Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc., First Mortgage Bonds, 5.125% 2013
5,000
4,924
Oncor Electric Delivery Co. 6.375% 2012
10,700
11,054
Pacific Gas and Electric Co., First Mortgage Bonds, 4.20% 2011
7,000
6,721
Pacific Gas and Electric Co., First Mortgage Bonds, 6.05% 2034
4,000
4,037
NiSource Finance Corp. 6.15% 2013
5,600
5,686
NiSource Finance Corp. 5.25% 2017
4,500
4,207
Kern River Funding Corp. 4.893% 20182,3 
9,372
9,099
Nevada Power Co., General and Refunding Mortgage Notes, Series I, 6.50% 2012
700
725
Nevada Power Co., General and Refunding Mortgage Notes, Series G, 9.00% 2013
2,811
3,081
Sierra Pacific Resources 8.625% 2014
900
976
Nevada Power Co., General and Refunding Mortgage Notes, Series L, 5.875% 2015
2,550
2,551
Nevada Power Co., Series M, 5.95% 20162
1,000
1,004
Anglian Water Services Financing PLC 4.625% 2013
€6,120
7,971
Energy East Corp. 6.75% 2012
$ 7,155
7,520
Florida Power & Light Co. 4.85% 2013
5,000
4,896
Korea East-West Power Co., Ltd. 4.875% 20112 
5,000
4,884
Alabama Power Co., Series R, 4.70% 2010
2,250
2,209
Southern Power Co., Series B, 6.25% 2012
2,500
2,589
FPL Energy National Wind, LLC 5.608% 20242,3 
4,622
4,543
Duke Energy Corp., First and Refunding Mortgage Bonds, 4.50% 2010
4,500
4,399
Tri-State Generation and Transmission Assn. Inc., Pass Through Trust, Series 2003-A, 6.04% 20182,3 
3,500
3,523
Enersis SA 7.375% 2014
3,000
3,194
NRG Energy, Inc. 7.25% 2014
1,500
1,493
NRG Energy, Inc. 7.375% 2016
1,000
996
Equitable Resources, Inc. 5.15% 2018
2,500
2,394
Centerpoint Energy Resources Corp., Series B, 7.875% 2013
2,000
2,229
Wisconsin Gas Co. 5.20% 2015
2,025
1,974
Mirant Americas Generation, Inc. 8.30% 2011
1,700
1,711
   
689,374
     
ENERGY — 2.60%
    
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20092,3
30,985
30,032
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20093
1,710
1,657
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20142,3
15,570
17,449
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20143 
1,000
1,121
Ras Laffan Liquefied Natural Gas II 5.298% 20202,3 
45,970
44,385
Ras Laffan Liquefied Natural Gas III 5.838% 20272,3 
15,000
14,516
Energy Transfer Partners, LP 5.65% 2012
21,770
21,600
Energy Transfer Partners, LP 5.95% 2015
68,670
68,641
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20142,3
59,400
59,103
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20143
6,000
5,970
Enterprise Products Operating LP, Series B, 4.625% 2009
8,000
7,825
Enterprise Products Operating LP 4.95% 2010
8,000
7,832
Enterprise Products Operating LP 7.50% 2011
8,000
8,539
Enterprise Products Operating LP, Series B, 6.375% 2013
17,000
17,478
Enterprise Products Partners LP 5.60% 2014
4,355
4,268
Enterprise Products Operating LP, Series B, 5.00% 2015
8,645
8,121
Enterprise Products Operating LP 8.375% 20661
2,700
2,847
Pemex Finance Ltd. 8.875% 20103
24,000
25,843
Pemex Project Funding Master Trust 5.75% 20152
10,000
9,783
Pemex Finance Ltd., Series 1999-2, Class A-3, 10.61% 20173
11,700
15,162
Pemex Project Funding Master Trust 8.625% 2022
750
903
Qatar Petroleum 5.579% 20112,3
38,400
38,719
Petroleum Export Ltd., Class A-1, MBIA insured, 4.623% 20102,3 
28,750
28,365
Petroleum Export Ltd., Class A-2, XLCA insured, 4.633% 20102,3
5,417
5,344
Apache Corp. 6.25% 2012
28,000
29,241
Williams Companies, Inc. 6.375% 20102 
1,500
1,500
Williams Companies, Inc. 7.508% 20101,2
2,500
2,556
Transcontinental Gas Pipe Line Corp., Series B, 7.00% 2011
300
309
Williams Companies, Inc. 7.125% 2011
500
515
Williams Partners LP 7.50% 20112
5,725
5,768
Transcontinental Gas Pipe Line Corp. 6.40% 20162
200
199
Williams Companies, Inc. 7.875% 2021
2,000
2,100
Transcontinental Gas Pipe Line Corp. 7.25% 2026
1,750
1,792
Williams Companies, Inc. 8.75% 2032
5,080
5,588
Gulfstream Natural Gas 5.56% 20152 
5,000
5,000
Gulfstream Natural Gas 6.19% 20252
12,235
12,397
Kinder Morgan Energy Partners LP 6.75% 2011
2,500
2,607
Kinder Morgan Energy Partners LP 5.00% 2013
2,708
2,576
Kinder Morgan Energy Partners LP 5.125% 2014
12,292
11,703
Delek & Avner-Yam Tethys Ltd. 5.326% 20132,3 
16,432
16,090
Sunoco, Inc. 4.875% 2014
14,830
14,128
Pogo Producing Co. 7.875% 20132
6,725
6,885
Pogo Producing Co. 6.625% 2015
300
288
Pogo Producing Co. 6.875% 2017
6,850
6,567
El Paso Corp. 6.375% 2009
1,250
1,253
El Paso Corp. 7.75% 2010
500
520
Sonat Inc. 7.625% 2011
400
412
El Paso Energy Corp. 7.375% 2012
4,310
4,402
El Paso Corp. 7.875% 2012
1,625
1,694
El Paso Natural Gas Co. 7.50% 2026
50
53
Southern Natural Gas Co. 7.35% 2031
250
260
El Paso Corp. 7.75% 2032
4,000
4,120
Southern Natural Gas Co. 8.00% 2032
125
139
Premcor Refining Group Inc. 9.25% 2010
3,250
3,438
Premcor Refining Group Inc. 6.125% 2011
2,000
2,045
Premcor Refining Group Inc. 6.75% 2011
1,000
1,045
Premcor Refining Group Inc. 9.50% 2013
2,750
2,997
Premcor Refining Group Inc. 6.75% 2014
3,000
3,085
Reliance Industries Ltd. 10.25% 20972 
8,750
11,588
Drummond Co., Inc. 7.375% 20162
9,600
9,072
Devon Financing Corp., ULC 6.875% 2011
8,500
9,055
Open Joint Stock Co. Gazprom 9.125% 2007
2,000
2,049
Gaz Capital SA 5.875% 2015
€5,125
6,858
Newfield Exploration Co. 7.625% 2011
$ 3,000
3,109
Newfield Exploration Co. 6.625% 2014
2,000
1,968
Newfield Exploration Co. 6.625% 2016
3,775
3,690
Teekay Shipping Corp. 8.875% 2011
5,425
5,751
Ultrapetrol (Bahamas) Ltd., First Preferred Ship Mortgage Notes, 9.00% 2014
4,725
4,371
American Commercial Lines LLC and ACL Finance Corp. 9.50% 2015
3,928
4,301
XTO Energy Inc. 5.65% 2016
4,250
4,224
Encore Acquisition Co. 6.00% 2015
4,450
4,094
OXYMAR 7.50% 20162,3 
3,077
3,274
PETRONAS Capital Ltd. 7.00% 20122
2,250
2,425
Overseas Shipholding Group, Inc. 8.25% 2013
1,575
1,638
International Coal Group, Inc. 10.25% 20142
1,500
1,433
Peabody Energy Corp., Series B, 6.875% 2013
1,200
1,188
Petrozuata Finance, Inc., Series B, 8.22% 20172,3 
250
245
   
679,108
     
MATERIALS — 1.93%
    
Norske Skogindustrier ASA 7.625% 20112
45,135
47,012
Norske Skogindustrier ASA 6.125% 20152 
4,000
3,759
Norske Skogindustrier ASA 7.125% 20332 
4,100
3,751
Stora Enso Oyj 5.125% 2014
€4,250
5,550
Stora Enso Oyj 6.404% 20162
$30,040
30,674
Stora Enso Oyj 7.25% 20362
15,650
16,253
International Paper Co. 4.00% 2010
6,545
6,284
International Paper Co. 6.75% 2011
4,000
4,252
International Paper Co. 5.85% 2012
34,815
35,620
International Paper Co. 5.50% 2014
750
743
UPM-Kymmene Corp. 5.625% 20142
39,320
38,356
Weyerhaeuser Co. 5.95% 2008
3,000
3,035
Weyerhaeuser Co. 6.75% 2012
9,330
9,762
Weyerhaeuser Co. 7.375% 2032
18,250
18,960
Lafarge 6.15% 2011
3,000
3,068
Lafarge 6.50% 2016
15,620
16,169
Lafarge 7.125% 2036
4,200
4,513
Equistar Chemicals, LP 10.125% 2008
6,100
6,489
Equistar Chemicals, LP and Equistar Funding Corp. 8.75% 2009
12,800
13,312
Lyondell Chemical Co. 8.25% 2016
2,000
2,040
JSG Funding PLC 7.75% 2015
€2,000
2,461
JSG Funding PLC 7.75% 2015
$2,500
2,375
JSG Holdings PLC 11.50% 20156 
€9,760
12,651
Scotia Pacific Co. LLC, Series B, Class A-2, 7.11% 20283
$21,160
17,153
Stone Container Corp. 9.75% 2011
2,793
2,891
Jefferson Smurfit Corp. (U.S.) 8.25% 2012
10,775
10,371
Stone Container Corp. 8.375% 2012
1,675
1,616
Jefferson Smurfit Corp. (U.S.) 7.50% 2013
250
232
Dow Chemical Co. 5.75% 2008
11,100
11,234
Dow Chemical Co. 6.00% 2012
2,400
2,485
Owens-Illinois, Inc. 8.10% 2007
3,130
3,177
Owens-Illinois, Inc. 7.35% 2008
5,250
5,316
Owens-Brockway Glass Container Inc. 8.875% 2009
1,319
1,362
Owens-Illinois, Inc. 7.50% 2010
2,250
2,261
Georgia-Pacific Corp., First Lien Term Loan B, 7.39% 20121,3 
2,985
2,991
Georgia-Pacific Corp., Second Lien Term Loan C, 8.39% 20131,3 
8,750
8,848
BHP Finance (USA) Ltd. 8.50% 2012
10,000
11,594
Associated Materials Inc. 9.75% 2012
9,765
9,789
AMH Holdings, Inc. 0%/11.25% 20144
3,000
1,665
Building Materials Corp. of America, Series B, 8.00% 2007
1,000
998
Building Materials Corp. of America 8.00% 2008
1,975
1,968
Building Materials Corp. of America 7.75% 2014
8,250
7,363
Abitibi-Consolidated Co. of Canada 8.375% 2015
10,825
9,905
Nalco Co. 7.75% 2011
775
794
Nalco Co. 8.875% 2013
6,200
6,495
Nalco Finance Holdings LLC and Nalco Finance Holdings Inc. 0%/9.00% 20144
1,654
1,307
Boise Cascade, LLC and Boise Cascade Finance Corp. 7.125% 2014
9,150
8,578
Georgia Gulf Corp. 9.50% 20142
5,150
5,131
Georgia Gulf Corp. 10.75% 20162
2,925
2,881
Alcan Inc. 5.20% 2014
8,000
7,819
Graphic Packaging International, Inc. 8.50% 2011
3,325
3,416
Graphic Packaging International, Inc. 9.50% 2013
4,000
4,110
Plastipak Holdings, Inc. 8.50% 20152
6,690
6,790
Teck Cominco Ltd. 5.375% 2015
5,000
4,860
Praxair, Inc. 2.75% 2008
5,000
4,808
Domtar Inc. 7.125% 2015
4,475
4,184
Rhodia 10.25% 2010
97
109
Rhodia 8.875% 2011
549
570
Rhodia SA 9.25% 2011
€2,511
3,428
FMG Finance Pty Ltd. 10.625% 20162
$4,100
3,957
Earle M. Jorgensen Co. 9.75% 2012
3,600
3,857
AEP Industries Inc. 7.875% 2013
3,775
3,794
Arbermarle Corp. 5.10% 2015
3,156
3,006
Ainsworth Lumber Co. Ltd. 7.25% 2012
700
522
Ainsworth Lumber Co. Ltd. 6.75% 2014
1,750
1,234
Ainsworth Lumber Co. Ltd. 6.75% 2014
1,750
1,234
Rockwood Specialties Group, Inc. 10.625% 2011
218
234
Rockwood Specialties Group, Inc. 7.50% 2014
1,675
1,658
Rockwood Specialties Group, Inc. 7.625% 2014
€500
660
Chemtura Corp. 6.875% 2016
$ 2,400
2,379
Crystal US Holdings 3 LLC and Crystal US Sub 3 Corp., Series B, 0%/10.50% 20144
1,928
1,574
BCP Caylux Holdings Luxembourg SCA 9.625% 2014
735
801
Freeport-McMoRan Copper & Gold Inc. 6.875% 2014
2,210
2,193
ICI Wilmington, Inc. 4.375% 2008
200
196
ICI Wilmington, Inc. 5.625% 2013
2,000
1,974
Covalence Specialty Materials Corp. 10.25% 20162
1,750
1,706
Packaging Corp. of America 4.375% 2008
1,500
1,473
E.I. du Pont de Nemours and Co. 4.125% 2010
1,500
1,452
Neenah Paper, Inc. 7.375% 2014
1,250
1,178
AK Steel Corp. 7.75% 2012
1,000
979
Foundation PA Coal Co. 7.25% 2014
975
953
Airgas, Inc. 6.25% 2014
550
516
Ispat Inland ULC 9.75% 2014
206
232
   
503,350
     
HEALTH CARE — 1.34%
    
Cardinal Health, Inc. 6.25% 2008
3,000
3,041
Cardinal Health, Inc. 5.642% 20091,2
3,500
3,500
Cardinal Health, Inc. 6.75% 2011
12,625
13,216
Cardinal Health, Inc. 5.80% 20162
10,000
9,985
Cardinal Health, Inc. 5.85% 2017
12,000
12,004
Allegiance Corp. 7.00% 2026
9,260
9,887
Humana Inc. 6.45% 2016
25,375
26,342
Humana Inc. 6.30% 2018
17,000
17,217
Wyeth 4.375% 20081
6,375
6,295
Wyeth 5.50% 2016
36,165
36,202
UnitedHealth Group Inc. 5.20% 2007
8,000
7,995
UnitedHealth Group Inc. 3.30% 2008
4,000
3,888
UnitedHealth Group Inc. 4.125% 2009
14,335
13,930
UnitedHealth Group Inc. 5.25% 2011
3,165
3,163
UnitedHealth Group Inc. 5.375% 2016
10,000
9,912
Aetna Inc. 5.75% 2011
24,000
24,414
Amgen Inc. 4.00% 2009
24,000
23,282
Boston Scientific Corp. 6.00% 2011
1,700
1,712
Boston Scientific Corp. 6.40% 2016
15,000
15,154
Warner Chilcott Corp. 8.75% 2015
14,565
15,148
Tenet Healthcare Corp. 7.375% 2013
3,050
2,764
Tenet Healthcare Corp. 9.875% 2014
4,200
4,205
Tenet Healthcare Corp. 9.25% 2015
7,175
6,942
WellPoint, Inc. 5.00% 2011
6,500
6,420
WellPoint, Inc. 5.25% 2016
6,455
6,336
Hospira, Inc. 4.95% 2009
7,391
7,318
Hospira, Inc. 5.90% 2014
4,100
4,087
Universal Health Services, Inc. 7.125% 2016
9,890
10,435
Bristol-Myers Squibb Co. 4.00% 2008
10,000
9,779
Accellent Inc. 10.50% 2013
9,325
9,745
HealthSouth Corp. 11.418% 20141,2 
3,950
4,049
HealthSouth Corp. 10.75% 20162
3,975
4,079
Concentra Operating Corp. 9.50% 2010
3,020
3,156
Concentra Operating Corp. 9.125% 2012
3,835
4,008
Columbia/HCA Healthcare Corp. 8.85% 2007
2,000
2,021
HCA Inc. 6.95% 2012
2,000
1,758
AMR HoldCo, Inc. and EmCare HoldCo, Inc. 10.00% 2015
2,000
2,140
Mylan Laboratories Inc. 5.75% 2010
2,025
2,012
Team Finance LLC and Health Finance Corp. 11.25% 2013
1,675
1,725
MedCath Holdings Corp. 9.875% 2012
1,000
1,070
   
350,336
     
INFORMATION TECHNOLOGY — 0.90%
    
Electronic Data Systems Corp., Series B, 6.50% 20131
55,575
56,454
Electronic Data Systems Corp. 7.45% 2029
13,190
14,516
Cisco Systems, Inc. 5.25% 2011
45,750
45,987
Sabre Holdings Corp. 6.35% 2016
23,930
23,803
Celestica Inc. 7.875% 2011
12,180
12,302
Celestica Inc. 7.625% 2013
4,170
4,160
Hughes Network Systems, LLC and HNS Finance Corp. 9.50% 20142
14,300
14,801
Sanmina-SCI Corp. 8.125% 2016
13,600
13,396
SunGard Data Systems Inc. 9.125% 2013
8,175
8,502
SunGard Data Systems Inc. 10.25% 2015
2,000
2,070
Hyundai Semiconductor America, Inc. 8.625% 20072
10,150
10,251
Nortel Networks Ltd. 9.73% 20111,2
2,500
2,594
Nortel Networks Ltd. 10.125% 20132 
2,225
2,359
Nortel Networks Ltd. 10.75% 20162 
1,150
1,236
Sensata Technologies BV 8.00% 20142
5,100
4,985
Jabil Circuit, Inc. 5.875% 2010
4,750
4,797
Solectron Global Finance, LTD 8.00% 2016
4,000
3,980
Motorola, Inc. 8.00% 2011
2,750
3,072
Serena Software, Inc. 10.375% 2016
2,580
2,715
Iron Mountain Inc. 7.75% 2015
2,010
2,020
Exodus Communications, Inc. 11.625% 20105,7 
1,132
—
   
234,000
     
CONSUMER STAPLES — 0.75%
    
Tyson Foods, Inc. 6.85% 20161
33,750
34,811
CVS Corp. 6.117% 20132,3 
18,597
18,833
CVS Corp. 5.789% 20262,3 
7,933
7,719
H.J. Heinz Co. 6.428% 20202
14,320
14,623
SUPERVALUE INC., Term Loan B, 7.188% 20121,3 
6,250
6,258
SUPERVALU INC. 7.50% 2012
3,890
3,964
Albertson’s, Inc. 7.45% 2029
3,000
2,794
Albertson’s, Inc. 8.00% 2031
1,000
977
Dole Food Co., Inc. 7.25% 2010
2,175
2,028
Dole Food Co., Inc. 8.875% 2011
8,935
8,600
Diageo Capital PLC 3.50% 2007
5,000
4,903
Diageo Capital PLC 4.375% 2010
2,395
2,324
Grand Metropolitan Investment Corp. 7.45% 2035
2,290
2,788
Jean Coutu Group (PJC) Inc. 7.625% 2012
800
845
Jean Coutu Group (PJC) Inc. 8.50% 2014
8,900
8,611
Rite Aid Corp. 6.125% 20082
2,750
2,705
Rite Aid Corp. 9.50% 2011
4,500
4,674
Rite Aid Corp. 7.50% 2015
1,000
953
Vitamin Shoppe Industries, Inc. 12.905% 20121,2
7,740
7,992
Petro Stopping Centers, LP and Petro Financial Corp. 9.00% 2012
6,560
6,675
Nabisco, Inc. 7.05% 2007
6,500
6,560
Stater Bros. Holdings Inc. 8.89% 20101
475
482
Stater Bros. Holdings Inc. 8.125% 2012
5,360
5,414
Gold Kist Inc. 10.25% 2014
4,949
5,716
Cadbury Schweppes Investments PLC, Series 41, 4.25% 2009
€4,250
5,420
Pathmark Stores, Inc. 8.75% 2012
$ 5,565
5,412
Molson Coors Capital Finance ULC 4.85% 2010
5,000
4,918
Delhaize America, Inc. 8.125% 2011
3,500
3,774
Spectrum Brands, Inc. 7.375% 2015
3,500
2,818
Kellogg Co. 7.45% 2031
2,310
2,796
Winn-Dixie Stores, Inc. 8.875% 20085
2,300
1,530
Winn-Dixie Pass Through Trust, Series 1999-1, Class A-1, 7.803% 20172,3,5
1,341
1,124
Playtex Products, Inc. 9.375% 2011
2,375
2,494
Elizabeth Arden, Inc. 7.75% 2014
1,780
1,753
Ahold Lease Pass Through Trust, Series 2001-A-2, 8.62% 20253
1,075
1,108
Smithfield Foods, Inc., Series B, 8.00% 2009
1,000
1,050
   
195,446
     
MORTGAGE-BACKED OBLIGATIONS3— 20.07%
    
Fannie Mae 7.00% 2009
57
58
Fannie Mae 7.50% 2009
111
113
Fannie Mae 7.50% 2009
105
108
Fannie Mae 7.50% 2009
25
26
Fannie Mae 7.50% 2009
18
18
Fannie Mae 7.50% 2009
17
17
Fannie Mae 7.50% 2009
13
14
Fannie Mae 8.50% 2009
51
52
Fannie Mae 9.50% 2009
22
23
Fannie Mae 7.00% 2010
50
51
Fannie Mae, Series 2000-T5, Class B, 7.30% 2010
57,100
61,539
Fannie Mae, Series 2001-T6B, 6.088% 2011
48,000
50,095
Fannie Mae, Series 2003-T1, Class B, 4.491% 2012
46,225
44,955
Fannie Mae 4.89% 2012
25,000
24,610
Fannie Mae 4.00% 2015
30,278
28,940
Fannie Mae 7.00% 2016
269
275
Fannie Mae 11.50% 2016
603
679
Fannie Mae, Series 2002-15, Class PG, 6.00% 2017
13,224
13,425
Fannie Mae 5.00% 2018
23,839
23,508
Fannie Mae 5.00% 2018
16,743
16,510
Fannie Mae 5.00% 2018
9,122
8,995
Fannie Mae 5.50% 2018
3,008
3,015
Fannie Mae 9.00% 2018
42
45
Fannie Mae 10.00% 2018
436
486
Fannie Mae 5.50% 2019
31,312
31,383
Fannie Mae 5.50% 2019
12,013
12,030
Fannie Mae 12.00% 2019
518
591
Fannie Mae 4.50% 2020
7,092
6,843
Fannie Mae, Series 90-93, Class G, 5.50% 2020
39
39
Fannie Mae 11.00% 2020
187
209
Fannie Mae 11.271% 20201
480
546
Fannie Mae 6.00% 2021
11,151
11,322
Fannie Mae 9.00% 2022
157
167
Fannie Mae 7.50% 2023
129
134
Fannie Mae, Series 2001-4, Class GA, 10.285% 20251
859
955
Fannie Mae, Series 2001-4, Class NA, 11.902% 20251 
4,381
4,884
Fannie Mae 6.073% 20261 
649
664
Fannie Mae 7.00% 2026
1,585
1,642
Fannie Mae 8.50% 2027
17
19
Fannie Mae, Series 1998-W5, Class B3, 6.50% 2028
2,712
2,649
Fannie Mae 7.00% 2028
907
935
Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2028
5,988
6,218
Fannie Mae 6.50% 2029
299
302
Fannie Mae, Series 2002-W7, Class A-5, 7.50% 2029
947
990
Fannie Mae 7.50% 2029
77
80
Fannie Mae 7.50% 2029
71
74
Fannie Mae 7.00% 2030
211
217
Fannie Mae 7.50% 2030
212
220
Fannie Mae 7.00% 2031
351
361
Fannie Mae 7.50% 2031
597
618
Fannie Mae 7.50% 2031
65
67
Fannie Mae, Series 2001-20, Class E, 9.61% 20311 
154
168
Fannie Mae, Series 2001-20, Class C, 12.015% 20311
196
219
Fannie Mae 7.00% 2032
263
270
Fannie Mae 3.743% 20331 
3,322
3,257
Fannie Mae 5.50% 2033
74,453
73,558
Fannie Mae 4.48% 20351 
4,143
4,076
Fannie Mae 4.576% 20351 
20,446
20,139
Fannie Mae 5.00% 2035
37,098
35,656
Fannie Mae 5.00% 2035
9,267
8,907
Fannie Mae 5.50% 2035
82,367
81,285
Fannie Mae 5.50% 2035
8,910
8,789
Fannie Mae, Series 2005-68, Class PG, 5.50% 2035
6,859
6,826
Fannie Mae, Series 2006-51, Class PO, principal only, 0% 2036
11,356
8,436
Fannie Mae, Series 2006-32, Class OA, principal only, 0% 2036
9,875
7,267
Fannie Mae 5.50% 2036
80,917
79,716
Fannie Mae 5.50% 2036
68,117
67,106
Fannie Mae 5.50% 2036
66,980
65,986
Fannie Mae 5.50% 2036
531
523
Fannie Mae 5.50% 2036
47
46
Fannie Mae, Series 2006-43, Class PX, 6.00% 2036
25,000
25,442
Fannie Mae 6.00% 2036
16,861
16,965
Fannie Mae 6.00% 2036
4,348
4,368
Fannie Mae 6.00% 2036
2,954
2,968
Fannie Mae 6.50% 2036
16,885
17,196
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041
9,180
9,454
Fannie Mae, Series 2001-50, Class BA, 7.00% 2041
2,885
2,987
Fannie Mae, Series 2002-W1, Class 2A, 7.50% 2042
6,519
6,776
Freddie Mac 8.25% 2007
23
23
Freddie Mac 8.25% 2007
6
6
Freddie Mac 8.50% 2007
3
3
Freddie Mac 8.00% 2008
2
2
Freddie Mac 8.50% 2008
14
14
Freddie Mac 8.50% 2008
12
12
Freddie Mac 8.50% 2008
3
3
Freddie Mac 8.50% 2008
2
2
Freddie Mac 8.75% 2008
39
39
Freddie Mac 8.75% 2008
14
14
Freddie Mac 8.75% 2008
6
6
Freddie Mac 8.75% 2008
6
6
Freddie Mac 8.00% 2009
4
4
Freddie Mac 8.50% 2009
79
81
Freddie Mac 8.50% 2010
90
93
Freddie Mac 8.50% 2010
27
28
Freddie Mac 4.00% 2015
41,509
39,317
Freddie Mac 6.00% 2017
684
695
Freddie Mac, Series 2310, Class A, 10.545% 20171
902
973
Freddie Mac 5.00% 2018
22,766
22,428
Freddie Mac 11.00% 2018
112
124
Freddie Mac 8.50% 2020
226
242
Freddie Mac 8.50% 2020
72
78
Freddie Mac, Series 41, Class F, 10.00% 2020
154
154
Freddie Mac, Series 178, Class Z, 9.25% 2021
115
120
Freddie Mac, Series 1617, Class PM, 6.50% 2023
2,750
2,849
Freddie Mac 8.00% 2026
131
140
Freddie Mac 8.50% 2027
30
32
Freddie Mac 4.647% 20351 
24,919
24,510
Freddie Mac 4.789% 20351
12,985
12,810
Freddie Mac 5.00% 2035
46,504
44,731
Freddie Mac, Series 3061, Class PN, 5.50% 2035
60,567
60,768
Freddie Mac 5.50% 2035
23,040
22,741
Freddie Mac 5.50% 2035
22,910
22,613
Freddie Mac, Series 3136, Class OP, principal only, 0% 2036
9,863
7,368
Freddie Mac 5.50% 2036
8,795
8,673
Freddie Mac 6.00% 2036
316,538
318,172
Freddie Mac, Series 3156, Class NG, 6.00% 2036
17,426
17,820
Freddie Mac 6.50% 2036
2,273
2,316
Freddie Mac 6.50% 2036
456
465
Freddie Mac 6.50% 2036
354
361
Countrywide Alternative Loan Trust, Series 2004-5CB, Class 2-A-1, 5.00% 2019
10,559
10,351
Countrywide Alternative Loan Trust, Series 2006-J3, Class 2-A-1, 4.75% 2020
13,138
12,721
Countrywide Alternative Loan Trust, Series 2005-J8, Class 2-A-1, 5.00% 2020
18,106
17,684
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 7-A-1, 5.00% 2020
4,418
4,304
Countrywide Alternative Loan Trust, Series 2005-9CB, Class 2-A-1, 6.00% 2020
7,725
7,734
Countrywide Alternative Loan Trust, Series 2005-46CB, Class A-8, 5.50% 2035
92,191
92,302
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 1-A-7, 5.50% 2035
58,215
58,295
Countrywide Alternative Loan Trust, Series 2005-49CB, Class A-1, 5.50% 2035
36,231
35,904
Countrywide Alternative Loan Trust, Series 2005-40CB, Class A-1, 5.50% 2035
35,141
34,416
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-9, 5.50% 2035
15,051
15,064
Countrywide Alternative Loan Trust, Series 2005-30CB, Class 2-A-1, 5.50% 2035
5,929
5,799
Countrywide Alternative Loan Trust, Series 2005-62, Class 2-A-1, 5.563% 20351
31,837
31,872
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5-A-1, 5.75% 2035
3,037
2,996
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-17, 6.00% 2035
34,171
34,161
Countrywide Alternative Loan Trust, Series 2004-36CB, Class 1-A-1, 6.00% 2035
17,477
17,589
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 6-A-1, 6.00% 2035
1,246
1,240
Countrywide Alternative Loan Trust, Series 2006-16CB, Class A-2, 6.00% 2036
33,629
33,682
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A-1, 6.00% 2036
27,045
27,021
CS First Boston Mortgage Securities Corp., Series 2002-30, Class I-A-1, 7.50% 2032
1,360
1,365
CS First Boston Mortgage Securities Corp., Series 2002-34, Class I-A-1, 7.50% 2032
145
146
CS First Boston Mortgage Securities Corp., Series 2003-AR12, Class II-A-2, 4.317% 20331
899
889
CS First Boston Mortgage Securities Corp., Series 2003-21, Class V-A-1, 6.50% 2033
7,543
7,604
CS First Boston Mortgage Securities Corp., Series 2003-29, Class V-A-1, 7.00% 2033
1,969
1,991
CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class VII-A-2, 4.608% 20341
19,370
19,107
CS First Boston Mortgage Securities Corp., Series 2004-5, Class IV-A-1, 6.00% 2034
11,298
11,241
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-3, 6.238% 2034
6,778
6,835
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-4, 6.505% 2034
460
481
CS First Boston Mortgage Securities Corp., Series 2002-CP5, Class A-1, 4.106% 2035
1,632
1,593
CS First Boston Mortgage Securities Corp., Series 2005-6, Class VI-A-1, 6.00% 2035
21,601
21,642
CS First Boston Mortgage Securities Corp., Series 2005-5, Class IV-A-1, 6.25% 2035
10,882
10,979
CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A-3, 6.38% 2035
67,122
69,766
CS First Boston Mortgage Securities Corp., Series 2002-CKP1, Class F, 7.067% 20352
1,500
1,619
CS First Boston Mortgage Securities Corp., Series 2006-2R, Class A-PO, principal only, 0% 20362
32,969
22,687
CS First Boston Mortgage Securities Corp., Series 2006-7, Class 6-A-3, 5.50% 2036
33,367
32,486
CS First Boston Mortgage Securities Corp., Series 2006-2, Class 5-A-6, 6.00% 2036
33,750
33,758
CS First Boston Mortgage Securities Corp., Series 2002-CKS4, Class G, 6.006% 20362
500
510
CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-3, 6.387% 2036
26,650
27,922
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-1A, 3.883% 2037
8,096
7,938
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A-AB, 4.614% 2037
20,000
19,311
CS First Boston Mortgage Securities Corp., Series 2002-CKN2, Class A-1, 4.637% 2037
273
273
CS First Boston Mortgage Securities Corp., Series 2005-C4, Class A-2, 5.017% 2038
10,000
9,932
CS First Boston Mortgage Securities Corp., Series 2004-C4, Class A-4, 4.283% 2039
20,600
19,768
CS First Boston Mortgage Securities Corp., Series 2006-C1, Class A-3, 5.711% 2039
14,000
14,225
CS First Boston Mortgage Securities Corp., Series 2005-C6, Class A-3, 5.23% 2040
42,000
41,710
CS First Boston Mortgage Securities Corp., Series 1999-C1, Class D, 8.066% 20411
5,725
6,179
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class F, 5.98% 20342
2,500
2,553
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C3, Class A-1, 4.20% 2035
1,321
1,290
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC12, Class A-3B, 5.511% 20371 
45,000
45,289
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class E, 6.135% 20372
400
414
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1, Class A-1, 3.972% 2039
15,634
15,188
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A-3, 4.545% 2042
10,000
9,693
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-2, 4.79% 2042
10,508
10,366
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-3A1, 4.871% 2042
25,000
24,594
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A-2, 5.198% 2044
10,080
10,082
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046
91,455
90,103
Government National Mortgage Assn. 7.50% 2007
5
5
Government National Mortgage Assn. 6.50% 2008
104
107
Government National Mortgage Assn. 6.50% 2008
30
31
Government National Mortgage Assn. 7.50% 2008
26
26
Government National Mortgage Assn. 7.50% 2008
21
21
Government National Mortgage Assn. 7.50% 2008
17
17
Government National Mortgage Assn. 7.50% 2008
16
16
Government National Mortgage Assn. 7.50% 2008
7
7
Government National Mortgage Assn. 6.50% 2009
36
37
Government National Mortgage Assn. 7.50% 2009
38
38
Government National Mortgage Assn. 7.50% 2009
37
37
Government National Mortgage Assn. 7.50% 2009
34
35
Government National Mortgage Assn. 7.50% 2009
32
33
Government National Mortgage Assn. 7.50% 2009
29
30
Government National Mortgage Assn. 7.50% 2009
23
23
Government National Mortgage Assn. 7.50% 2009
17
17
Government National Mortgage Assn. 9.00% 2009
369
377
Government National Mortgage Assn. 9.50% 2009
435
450
Government National Mortgage Assn. 9.50% 2009
32
33
Government National Mortgage Assn. 9.00% 2016
114
124
Government National Mortgage Assn. 9.00% 2017
33
36
Government National Mortgage Assn. 9.50% 2019
280
313
Government National Mortgage Assn. 8.50% 2020
49
53
Government National Mortgage Assn. 8.50% 2020
30
32
Government National Mortgage Assn. 9.50% 2020
97
109
Government National Mortgage Assn. 10.00% 2020
747
846
Government National Mortgage Assn. 8.50% 2021
258
279
Government National Mortgage Assn. 8.50% 2021
155
168
Government National Mortgage Assn. 8.50% 2021
83
90
Government National Mortgage Assn. 8.50% 2021
41
45
Government National Mortgage Assn. 10.00% 2021
1,626
1,818
Government National Mortgage Assn. 9.00% 2022
27
30
Government National Mortgage Assn. 8.50% 2023
31
33
Government National Mortgage Assn. 8.50% 2024
26
28
Government National Mortgage Assn. 8.50% 2024
25
27
Government National Mortgage Assn. 8.50% 2027
30
32
Government National Mortgage Assn. 8.50% 2028
25
27
Government National Mortgage Assn. 8.50% 2029
28
31
Government National Mortgage Assn. 4.00% 20351 
14,395
14,130
Government National Mortgage Assn. 4.00% 20351
6,602
6,465
Government National Mortgage Assn. 4.00% 20351 
3,066
3,002
Government National Mortgage Assn. 6.00% 2036
84,255
85,025
Government National Mortgage Assn. 6.00% 2036
59,863
60,410
Government National Mortgage Assn. 6.00% 2036
7,573
7,642
Bear Stearns Commercial Mortgage Securities Inc., Series 1998-C1, Class A-1, 6.34% 2030
1,679
1,686
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-WF2, Class X, interest only, 0.406% 20311
225,959
2,687
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-C1, Class X, interest only, 1.244% 20311,2 
145,689
4,117
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF2, Class A-2, 7.32% 2032
16,480
17,633
Bear Stearns Commercial Mortgage Securities Inc., Series 2002-PBW1, Class A-1, 3.97% 2035
21,523
21,028
Bear Stearns Commercial Mortgage Securities Inc., Series 2001-TOP2, Class D, 6.94% 20352
3,000
3,190
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-1, 3.688% 2041
3,070
3,015
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-4, 4.521% 2041
10,000
9,677
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-2, 4.735% 2042
64,000
63,126
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-3, 4.868% 2042
38,825
37,863
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S6, Class II-A-3, 4.75% 2018
1,414
1,369
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-CB2, Class VII-A, 5.50% 2019
1,696
1,700
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A-7, 3.842% 20331 
29,471
29,090
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A, 4.03% 20331 
6,432
6,343
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A-7, 4.208% 20331 
5,630
5,578
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR6, Class A-1, 4.339% 20331 
14,633
14,427
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A, 4.569% 20341
32,883
32,382
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR2, Class 2-A1, 5.846% 20371 
29,042
28,915
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR15, Class A-1-A, 5.59% 20451
21,160
21,245
Residential Accredit Loans, Inc., Series 2004-QS6, Class A-1, 5.00% 2019
6,516
6,365
Residential Accredit Loans, Inc., Series 2004-QS16, Class 1-A-1, 5.50% 2034
12,663
12,598
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034
42,289
42,043
Residential Accredit Loans, Inc., Series 2004-QS12, Class M-1, 6.00% 2034
2,432
2,433
Residential Accredit Loans, Inc., Series 2005-QS4, Class A-3, 5.50% 2035
39,958
39,564
Residential Accredit Loans, Inc., Series 2005-QS9, Class A-6, 5.50% 2035
1,000
967
Residential Accredit Loans, Inc., Series 2005-QS5, Class A-5, 5.75% 2035
3,000
2,957
Residential Accredit Loans, Inc., Series 2006-QS10, Class I-A, 6.00% 2035
11,427
11,375
Residential Accredit Loans, Inc., Series 2005-QS14, Class 2-A-1, 6.00% 2035
5,361
5,337
Residential Accredit Loans, Inc., Series 2006-QS1, Class A-3, 5.75% 2036
8,854
8,895
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22, Class 5-A1, 6.03% 20351
28,862
28,978
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 5-A-1, 5.977% 20361 
51,657
51,835
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 4-A-1, 5.99% 20361 
17,692
17,753
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-2, Class 5-A-1, 6.00% 20361 
9,222
9,248
Bear Stearns ARM Trust, Series 2003-6, Class I-A-2, 3.984% 20331
25,869
25,393
Bear Stearns ARM Trust, Series 2003-3, Class II-A-2, 4.048% 20331 
5,452
5,372
Bear Stearns ARM Trust, Series 2003-3, Class III-A-1, 5.119% 20331 
5,793
5,752
Bear Stearns ARM Trust, Series 2004-3, Class II-A, 4.242% 20341 
14,577
14,217
Bear Stearns ARM Trust, Series 2003-9, Class III-A-2, 4.978% 20341 
2,467
2,436
Bear Stearns ARM Trust, Series 2005-10, Class A-3, 4.65% 20351
51,800
50,539
CHL Mortgage Pass-Through Trust, Series 2003-HYB3, Class 4-A-1, 3.468% 20331 
3,987
3,912
CHL Mortgage Pass-Through Trust, Series 2003-27, Class A-1, 3.697% 20331 
8,732
8,582
CHL Mortgage Pass-Through Trust, Series 2004-22, Class A-2, 4.631% 20341 
10,366
10,226
CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A-3, 5.172% 20341 
4,353
4,340
CHL Mortgage Pass-Through Trust, Series 2005-HYB8, Class 4-A-1, 5.691% 20351
76,476
75,964
Wells Fargo Mortgage-backed Securities Trust, Series 2004-7, Class I-A-1, 4.50% 2019
2,190
2,102
Wells Fargo Mortgage-backed Securities Trust, Series 2003-3, Class II-A-I, 5.25% 2033
23,209
22,877
Wells Fargo Mortgage-backed Securities Trust, Series 2006-AR15, Class A-1, 5.697% 2036
72,750
72,682
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036
53,792
56,104
Banc of America Commercial Mortgage Inc., Series 2003-2, Class A-2, 4.342% 2041
13,875
13,602
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-3, 4.561% 2041
9,975
9,688
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-AB, 4.673% 2041
2,000
1,947
Banc of America Commercial Mortgage Inc., Series 2005-3, Class A-2, 4.501% 2043
1,260
1,231
Crown Castle Towers LLC, Series 2005-1, Class A-FX, 4.643% 20352
36,000
35,191
Crown Castle Towers LLC, Series 2005-1, Class C, 5.074% 20352 
43,000
42,348
Chase Commercial Mortgage Securities Corp., Series 1998-2, Class A-2, 6.39% 2030
41,709
42,532
Chase Commercial Mortgage Securities Corp., Series 1998-1, Class A-2, 6.56% 2030
11,713
11,875
Chase Commercial Mortgage Securities Corp., Series 2000-2, Class A-1, 7.543% 2032
9,253
9,497
Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-2, 7.757% 2032
6,224
6,627
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-2, 3.958% 2035
4,200
4,089
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-3, 4.608% 2035
1,979
1,931
Wachovia Bank Commercial Mortgage Trust, Series 2004-C14, Class A-2, 4.368% 2041
1,530
1,492
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-2, 4.782% 2042
24,000
23,738
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-4, 5.083% 2042
35,000
34,375
Bear Stearns ALT-A Trust, Series 2005-9, Class II-6A-1, 5.835% 20351 
30,401
30,467
Bear Stearns ALT-A Trust, Series 2006-2, Class II-4-A-1, 5.969% 20361 
32,113
32,319
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class A-3, 6.869% 2029
7,405
7,461
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class D, 6.997% 2029
8,300
8,405
GMAC Commercial Mortgage Securities, Inc., Series 2001-C1, Class A-2, 6.465% 2034
30,250
31,615
GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class C, 6.50% 2035
9,000
9,205
Residential Asset Mortgage Products Trust, Series 2004-RS9, Class A-I-4, AMBAC insured, 4.767% 2032
10,000
9,893
Residential Asset Mortgage Products Trust, Series 2003-RZ4, Class A-7, 4.79% 20331
10,000
9,752
Residential Asset Mortgage Products Trust, Series 2003-RS11, Class A-I-7, 4.828% 2033
9,000
8,730
Residential Asset Mortgage Products Trust, Series 2004-RS10, Class A-I-6, 4.55% 2034
26,100
25,183
IndyMac INDX Mortgage Loan Trust, Series 2006-AR5, Class 2-A-1, 5.881% 20361
51,023
50,864
Tower Ventures, LLC, Series 2006-1, Class A-2, 5.45% 20362
22,500
22,570
Tower Ventures, LLC, Series 2006-1, Class C, 5.707% 20362 
3,670
3,685
Tower Ventures, LLC, Series 2006-1, Class D, 6.052% 20362 
10,000
10,117
Tower Ventures, LLC, Series 2006-1, Class E, 6.495% 20362 
4,000
3,997
Tower Ventures, LLC, Series 2006-1, Class F, 7.036% 20362 
8,730
8,919
Nykredit 4.00% 2035
DKr307,327
48,925
Banc of America Funding Corp., Series 2005-H, Class 9-A-1, 5.966% 20351
$47,106
47,254
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20262
41,310
44,700
SBA CMBS Trust, Series 2005-1, Class A, 5.369% 20352 
33,000
33,109
SBA CMBS Trust, Series 2005-1, Class B, 5.565% 20352 
3,300
3,321
SBA CMBS Trust, Series 2005-1, Class E, 6.706% 20352 
7,460
7,630
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-1, 6.341% 20332 
2,673
2,689
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-2, 6.592% 2033
17,250
18,033
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-2, 6.226% 2035
4,295
4,322
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035
16,420
17,133
Deutsche Genossen-Hypobank, Series 883, 5.25% 2009
€29,447
38,888
GMAC Mortgage Loan Trust, Series 2006-AR1, Class 2-A-1, 5.651% 20361
$38,594
38,565
HarborView Mortgage Loan Trust, Series 2005-15, Class 2-A1A2, 6.13% 20451 
38,170
38,542
Bear Stearns Asset-backed Securities I Trust, Series 2005-AC8, Class A-4, 5.50% 2035
15,688
15,652
Bear Stearns Asset-backed Securities I Trust, Series 2006-AC-2, Class II-1A-1, 6.00% 2036
22,064
22,108
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class II-A, 4.61% 20331 
12,990
12,878
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class II-A-1, 4.591% 20341 
24,718
24,350
Banc of America Mortgage Securities Trust, Series 2003-F, Class 2-A-1, 3.734% 20331 
21,317
20,907
Banc of America Mortgage Securities Trust, Series 2003-G, Class 2-A-1, 4.088% 20331
6,157
6,064
Banc of America Mortgage Securities Trust, Series 2003-I, Class 3-A-1, 4.535% 20331 
9,312
9,137
GS Mortgage Securities Corp. II, Series 1998-C1, Class E, 7.419% 20301 
31,076
32,218
GS Mortgage Securities Corp. II, Series 1998-C1, Class D, 7.419% 20301
3,750
3,887
Residential Asset Securitization Trust, Series 2005-A8CB, Class A-11, 6.00% 2035
20,669
20,563
Residential Asset Securitization Trust, Series 2005-A6CB, Class A-7, 6.00% 2035
13,661
13,712
Banc of America Alternative Loan Trust, Series 2005-4, Class 2-A-1, 5.00% 2020
16,763
16,373
Banc of America Alternative Loan Trust, Series 2005-6, Class 2-CB-2, 6.00% 2035
15,980
16,031
Commercial Mortgage Trust, Series 2004-LB3A, Class A-4, 5.234% 2037
10,956
10,952
Commercial Mortgage Trust, Series 2003-LNB1, Class A-2, 4.084% 2038
20,000
18,715
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class A-2, 7.439% 2031
5,000
5,273
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class B, 7.619% 2031
17,125
18,227
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class C, 7.625% 2031
5,000
5,328
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4-A, 5.693% 20341
26,307
25,657
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 3-A, 6.00% 2034
3,132
3,116
Adjustable Rate Mortgage Trust, Series 2006-1, Class 3-A-3, 5.97% 20361
28,645
28,769
MASTR Alternative Loan Trust, Series 2004-5, Class 5-A-1, 4.75% 2019
8,744
8,468
MASTR Alternative Loan Trust, Series 2003-2, Class 6-A-1, 6.00% 2033
762
763
MASTR Alternative Loan Trust, Series 2004-2, Class 2-A-1, 6.00% 2034
1,444
1,436
MASTR Alternative Loan Trust, Series 2005-1, Class 1-A-1, 5.50% 2035
16,689
16,326
MASTR Alternative Loan Trust, Series 2005-3, Class 1-A-1, 5.50% 2035
4,108
4,048
MASTR Alternative Loan Trust, Series 2005-3, Class 2-A-1, 6.00% 2035
5,439
5,441
MASTR Alternative Loan Trust, Series 2005-3, Class 3-A-1, 6.50% 2035
592
599
LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2025
14,500
15,673
LB-UBS Commercial Mortgage Trust, Series 2002-C1, Class A-3, 6.226% 2026
8,300
8,499
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A-2, 5.103% 2030
3,468
3,458
Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035
17,468
17,886
Morgan Stanley Dean Witter Capital I Trust, Series 2003-TOP9, Class A-1, 3.98% 2036
7,387
7,177
Morgan Stanley Dean Witter Capital I Trust, Series 2002-IQ3, Class A-1, 3.48% 2037
126
126
CSAB Mortgage-backed Trust, Series 2006-2, Class A-6-A, 5.72% 3036
25,000
24,992
Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030
13,504
13,735
Morgan Stanley Capital I, Inc., Series 1999-FNV1, Class A-2, 6.53% 2031
9,859
10,079
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-1, 6.079% 2033
218
222
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-2, 6.531% 2033
17,590
18,479
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-1, 5.56% 2038
2,265
2,283
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-2, 6.07% 2038
2,500
2,599
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.526% 20271,2 
6,616
6,660
Structured Asset Securities Corp., Series 1998-RF1, Class A, 8.727% 20271,2
2,451
2,462
Structured Asset Securities Corp., Series 1999-RF1, Class A, 7.85% 20281,2 
1,620
1,658
Structured Asset Securities Corp., Series 2003-17A, Class 3-A1, 4.01% 20331 
2,006
2,008
Structured Asset Securities Corp., Series 2005-6, Class 5-A-4, 5.00% 2035
6,843
6,426
Structured Asset Securities Corp., Series 2005-6, Class 5-A-9, 5.00% 2035
2,711
2,673
J.P. Morgan Mortgage Trust, Series 2004-S1, Class 1-A-7, 5.00% 2019
11,180
10,927
J.P. Morgan Mortgage Trust, Series 2005-A1, Class 4-A-1, 4.776% 20351
8,051
7,777
Prudential Securities Secured Financing Corp., Series 1999-NRF1, Class C, 6.746% 2031
18,000
18,605
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class I-A-14, 5.50% 2035
13,875
13,890
GSR Mortgage Loan Trust, Series 2005-AR1, Class 2-A-1, 4.948% 20351
13,441
13,335
Dexia Municipal Agency 3.50% 2009
€10,076
12,707
DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032
$10,000
10,262
Residential Funding Mortgage Securities I, Inc., Series 2004-SA1, Class A-II, 4.324% 20341
10,382
10,174
Washington Mutual Securities Corp., Series 2005-AR1, Class A-1-A, 5.59% 20351
8,345
8,361
Washington Mutual Securities Corp., WMALT Series 2005-1, Class 6-A-1, 6.50% 2035
1,572
1,586
Bank of America, NA and First Union National Bank Commercial Mortgage Trust, Series 2001-3, Class A-1, 4.89% 2037
9,929
9,877
DLJ Mortgage Acceptance Corp., Series 1998-CF1, Class A-1B, 6.41% 2031
8,502
8,590
American General Mortgage Loan Trust, Series 2006-1, Class A-5, 5.75% 20352
8,500
8,457
Morgan Stanley Capital I Trust, Series 2005-HQ7, Class A-2, 5.375% 20421 
7,875
7,872
Hypothekenbank in Essen AG 5.25% 2008
€6,000
7,760
CS First Boston Mortgage Acceptance Corp., Series 2004-7, Class IV-A-1, 4.50% 2019
$6,993
6,713
Merrill Lynch Mortgage Trust, Series 2004-MKB1, Class A-2, 4.353% 2042
6,675
6,533
Rheinische Hypothekenbank Eurobond 4.25% 2008
€5,000
6,414
First Union National Bank Commercial Mortgage Trust, Series 2000-C1, Class A-1, 7.739% 2032
$ 3,891
3,950
First Union National Bank Commercial Mortgage Trust, Series 2001-C4, Class A-1, 5.673% 2033
2,405
2,426
Banc of America Mortgage Securities, Inc., Series 2003-10, Class 3-A-1, 5.00% 2019
5,622
5,492
Hilton Hotel Pool Trust, Series 2000-HLTA, Class F, 7.75% 20152
5,000
5,180
RAAC Mortgage Loan Asset-backed Trust, Series 2004-SP3, Class A-I-5, 4.89% 2032
5,000
4,823
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A-3-1, 4.55% 20341
4,803
4,742
Specialty Underwriting and Residential Finance Trust, Series 2004-AA1, Class I-A-1, 5.00% 2034
3,203
3,142
SACO I Trust, Series 2005-2, Class A, interest only, 6.00% 20072 
24,546
941
SACO I Trust, Series 2005-1, Class A, interest only, 6.00% 20072 
16,489
516
SACO I Trust, Series 2005-3, Class A, interest only, 6.00% 20352
29,359
1,263
Ocwen Residential MBS Corp., Series 1998-R1, Class AWAC, 5.366% 20401,2 
2,182
2,112
GS Mortgage Securities Corp., Series 1998-2, Class M, 7.75% 20272
601
626
Financial Asset Securitization, Inc., Series 1997-NAM1, Class B-1, 7.75% 2027
421
420
First Boston Mortgage Securities Corp., Series D, principal only, 0% 2017
110
88
First Boston Mortgage Securities Corp., Series D, interest only, 10.965% 2017
119
30
GGP Mall Properties Trust, Series 2001-GGP1, Class A-2, 5.007% 20112 
107
107
Nomura Asset Securities Corp., Series 1998-D6, Class A-1A, 6.28% 2030
64
64
   
5,239,965
     
U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 11.10%
    
U.S. Treasury 3.125% 2007
15,475
15,298
U.S. Treasury 3.625% 2007
96,525
95,552
U.S. Treasury 3.375% 20078
64,209
63,645
U.S. Treasury 6.25% 2007
143,385
144,002
U.S. Treasury 3.375% 2008
10,500
10,226
U.S. Treasury 3.625% 20088
2,878
2,900
U.S. Treasury 3.625% 2009
25,000
24,355
U.S. Treasury 5.50% 2009
5,510
5,630
U.S. Treasury 0.875% 20108
21,963
20,800
U.S. Treasury 6.50% 2010
40,000
42,331
U.S. Treasury 2.375% 20118
999
1,000
U.S. Treasury 4.25% 2011
30,000
29,594
U.S. Treasury 4.50% 2011
7,875
7,847
U.S. Treasury 4.875% 2011
96,168
97,295
U.S. Treasury 3.50% 20118
58,451
61,170
U.S. Treasury 5.00% 2011
25,000
25,447
U.S. Treasury 3.00% 20128 
1,183
1,226
U.S. Treasury 4.875% 2012
43,480
44,098
U.S. Treasury 10.375% 2012
24,500
25,970
U.S. Treasury 3.625% 2013
75,000
70,887
U.S. Treasury 4.25% 2013
593,650
581,219
U.S. Treasury 12.00% 2013
10,000
11,303
U.S. Treasury 2.00% 20148 
34,052
33,365
U.S. Treasury 4.00% 2014
11,350
10,916
U.S. Treasury 4.25% 2014
60,000
58,556
U.S. Treasury 11.25% 2015
70,000
101,828
U.S. Treasury 4.50% 2016
162,000
160,406
U.S. Treasury 9.25% 2016
30,000
40,383
U.S. Treasury 8.875% 2017
70,000
94,576
U.S. Treasury Principal Strip 0% 2018
31,220
17,979
U.S. Treasury 8.00% 2021
3,875
5,185
U.S. Treasury 2.375% 20258
1,052
1,067
U.S. Treasury 6.875% 20259 
129,700
162,064
U.S. Treasury 6.50% 20269 
66,850
81,003
U.S. Treasury 3.875% 20298
804
1,037
U.S. Treasury 3.375% 20328 
888
1,101
U.S. Treasury 4.50% 20369
187,430
179,640
Fannie Mae 2.625% 2006
70,450
70,212
Fannie Mae 5.25% 2007
103,500
103,565
Fannie Mae 5.25% 2012
50,000
50,326
Freddie Mac 2.875% 2006
16,675
16,592
Freddie Mac 3.75% 2006
56,920
56,807
Freddie Mac 4.125% 2009
25,000
24,401
Freddie Mac 4.125% 2010
13,250
12,899
Freddie Mac 5.50% 2011
74,000
75,977
Freddie Mac 6.25% 2012
15,000
15,042
Federal Home Loan Bank 3.70% 2007
20,000
19,729
Federal Home Loan Bank 5.823% 2009
46,690
47,610
Federal Home Loan Bank 5.625% 2016
17,000
17,503
Federal Agricultural Mortgage Corp. 4.25% 2008
17,000
16,768
Federal Agricultural Mortgage Corp. 4.875% 20112 
15,000
14,924
Federal Agricultural Mortgage Corp. 5.50% 20112
10,000
10,165
United States Government-Guaranteed Certificates of Participation, Overseas Private Investment Corp., Series 2000-044-A, 3.74% 20153
10,450
10,004
United States Agency for International Development, Republic of Egypt 4.45% 2015
5,000
4,833
   
2,898,258
     
NON-U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 6.24%
    
Japanese Government 0.50% 2007
¥9,186,900
77,887
Japanese Government 0.90% 2008
7,187,550
61,178
Japanese Government 1.80% 2010
487,350
4,255
Japanese Government 1.30% 2011
1,160,250
9,931
Japanese Government 1.50% 2014
1,760,950
14,916
Japanese Government 2.30% 2035
3,957,000
32,582
United Mexican States Government Global 10.375% 2009
$9,700
10,840
United Mexican States Government, Series MI10, 9.50% 2014
MXN716,000
70,061
United Mexican States Government Global 11.375% 2016
$3,750
5,391
United Mexican States Government, Series M20, 8.00% 2023
MXN153,800
13,394
United Mexican States Government, Series M20, 10.00% 2024
311,500
32,340
United Mexican States Government Global 8.30% 2031
$8,220
10,271
United Mexican States Government Global 7.50% 2033
6,705
7,751
Polish Government 5.75% 2010
PLN259,820
84,127
Polish Government 6.00% 2010
157,250
51,428
Korean Government 5.00% 2011
KRW31,928,770
34,255
Korean Government 4.25% 2014
44,725,000
45,853
Korean Government 5.25% 2015
50,265,000
55,226
United Kingdom 7.50% 2006
£13,070
24,567
United Kingdom 5.00% 2008
1,380
2,587
United Kingdom 4.75% 2010
£11,890
$ 22,252
United Kingdom 4.75% 2015
14,550
27,630
United Kingdom 4.75% 2038
23,305
48,893
German Government 4.50% 2009
€ 55,000
71,400
German Government 6.25% 2030
28,240
48,350
Israeli Government 7.50% 2014
ILS464,132
115,626
Singapore (Republic of) 3.125% 2011
S$63,550
40,177
Singapore (Republic of) 3.625% 2011
11,395
7,359
Singapore (Republic of) 3.75% 2016
72,365
47,550
Canadian Government 4.25% 20261,8
C$65,530
84,028
Swedish Government 5.00% 2009
SKr196,365
27,746
Swedish Government 5.25% 2011
311,885
45,531
Netherlands Government Eurobond 5.75% 2007
€52,230
66,787
French Government O.A.T. Eurobond Strip Principal 0% 2019
14,000
10,885
French Government O.A.T. Eurobond 5.50% 2029
7,610
11,906
French Government O.A.T. Eurobond 4.75% 2035
26,150
37,762
Thai Government 4.125% 2009
THB1,325,000
34,414
Thai Government 5.00% 2014
735,810
19,533
Russian Federation 5.00%/7.50% 20303,4
$45,695
51,036
Russian Federation 5.00%/7.50% 20302,3,4 
145
162
Aries Vermögensverwaltungs GmbH, Series C, 9.60% 2014
23,000
29,785
Export-Import Bank of China 4.875% 20152
20,000
19,199
State of Qatar 9.75% 2030
12,220
18,116
Italian Government BTPS Eurobond 6.00% 2007
€10,354
13,464
Argentina (Republic of) 4.193% 20121,3
$4,850
3,359
Argentina (Republic of) 7.255% 20333,6,8
ARS15,903
5,910
Argentina (Republic of) GDP-Linked 2035
53,811
1,595
Argentina (Republic of) 0.797% 20383,8
10,050
1,610
El Salvador (Republic of) 7.65% 20352 
$8,580
9,245
Brazilian Treasury Bill 9.445% 20108
BRL1,338
558
Brazil (Federal Republic of) Global 7.875% 2015
$1,250
1,373
Brazil (Federal Republic of) Global 8.00% 20183
644
709
Brazil (Federal Republic of) Global 8.875% 2024
1,375
1,657
Brazil (Federal Republic of) Global 12.25% 2030
425
685
Brazil (Federal Republic of) Global 11.00% 2040
3,110
4,055
Banque Centrale de Tunisie 4.75% 2011
€3,000
3,875
Banque Centrale de Tunisie 7.375% 2012
$4,500
4,900
Corporación Andina de Fomento 6.875% 2012
5,895
6,289
Corporación Andina de Fomento 5.125% 2015
2,000
1,938
Panama (Republic of) Global 7.125% 2026
690
726
Panama (Republic of) Global 8.875% 2027
250
311
Panama (Republic of) Global 9.375% 2029
340
440
Panama (Republic of) Global 6.70% 20363
5,748
5,719
Spanish Government 4.25% 2007
€4,500
5,747
Columbia (Republic of) Global 8.25% 2014
$2,500
2,772
Colombia (Republic of) Global 12.00% 2015
COP2,330,000
1,111
Peru (Republic of) 9.125% 2012
$ 432
498
Peru (Republic of) 8.375% 2016
2,500
2,894
Peru (Republic of) Past Due Interest Eurobond 5.00% 20171,3
331
327
Turkey (Republic of) 12.375% 2009
500
577
Turkey (Republic of) 15.00% 2010
TRY5,250
3,017
Hungarian Government 6.00% 2011
HUF760,000
3,233
Dominican Republic 9.50% 20112,3,6
$2,344
2,531
Egypt (Arab Republic of) Treasury Bill 0% 2007
EGP6,175
1,049
Egypt (Arab Republic of) Treasury Bill 0% 2007
EGP 1,825
$ 310
Venezuela (Republic of) Global 8.50% 2014
$ 245
272
Venezuela (Republic of) 9.25% 2027
780
957
Guatemala (Republic of) 10.25% 20112
1,000
1,182
   
1,629,862
     
ASSET-BACKED OBLIGATIONS3— 5.98%
    
Drive Auto Receivables Trust, Series 2005-2, Class A-2, MBIA insured, 4.12% 20102 
6,327
6,283
Drive Auto Receivables Trust, Series 2005-1, Class A-4, MBIA insured, 4.01% 2012
28,125
27,627
Drive Auto Receivables Trust, Series 2005-2, Class A-3, MBIA insured, 4.26% 20122 
60,520
59,663
Drive Auto Receivables Trust, Series 2005-3, Class A-4, FSA insured, 5.09% 20132
17,500
17,522
Drive Auto Receivables Trust, Series 2006-1, Class A-4, FSA insured, 5.54% 20132 
60,000
60,956
ARG Funding Corp., Series 2005-1, Class A-1, MBIA insured, 4.02% 20092 
21,000
20,663
ARG Funding Corp., Series 2005-2, Class A-1, AMBAC insured, 4.54% 20092
51,820
51,359
ARG Funding Corp., Series 2005-1, Class A-3, MBIA insured, 4.29% 20112 
55,200
53,775
ARG Funding Corp., Series 2005-2, Class A-4, AMBAC insured, 4.84% 20112 
30,000
29,759
CPS Auto Receivables Trust, Series 2003-A, Class A-2, XLCA insured, 2.89% 20092 
2,055
2,024
CPS Auto Receivables Trust, Series 2002-B, Class A-2, XLCA insured, 3.50% 20092 
446
442
CPS Auto Receivables Trust, Series 2002-C, Class A-2, XLCA insured, 3.52% 20092 
274
272
CPS Auto Receivables Trust, Series 2004-A, Class A-2, FSA insured, 3.87% 20102 
7,141
7,050
CPS Auto Receivables Trust, Series 2004-D, Class A-2, XLCA insured, 3.86% 20112 
15,078
14,878
CPS Auto Receivables Trust, Series 2006-C, Class A-3, XLCA insured, 5.14% 20112 
16,300
16,300
CPS Auto Receivables Trust, Series 2005-B, Class A-2, FSA insured, 4.36% 20122 
17,605
17,366
CPS Auto Receivables Trust, Series 2005-D, Class A-2, FSA insured, 5.06% 20122 
7,600
7,611
CPS Auto Receivables Trust, Series 2006-A, Class 1-A-4, FSA insured, 5.33% 20122 
10,000
10,105
CPS Auto Receivables Trust, Series 2006-B, Class A-4, MBIA insured, 5.81% 20122
23,000
23,485
CPS Auto Receivables Trust, Series 2006-C, Class A-4, XLCA insured, 5.14% 2013
26,200
26,200
MBNA Credit Card Master Note Trust, Series 2002-1, Class B, 5.15% 2009
17,000
16,989
MBNA Credit Card Master Note Trust, Series 2005-6, Class A, 4.50% 2013
42,500
41,843
AmeriCredit Automobile Receivables Trust, Series 2003-A-M, Class A-4-A, MBIA insured, 3.10% 2009
969
954
AmeriCredit Automobile Receivables Trust, Series 2002-C, Class A-4, FSA insured, 3.55% 2009
1,816
1,803
AmeriCredit Automobile Receivables Trust, Series 2003-C-F, Class A-4, FSA insured, 3.48% 2010
10,824
10,739
AmeriCredit Automobile Receivables Trust, Series 2005-CF, Class A-4, FSA insured, 4.63% 2012
16,950
16,791
AmeriCredit Automobile Receivables Trust, Series 2006-B-G, Class A-4, FGIC insured, 5.21% 2013
23,680
23,787
WFS Financial Owner Trust, Series 2003-1, Class A-4, 2.74% 2010
2,300
2,261
WFS Financial Owner Trust, Series 2004-1, Class C, 2.49% 2011
1,679
1,646
WFS Financial Owner Trust, Series 2004-1, Class A-4, 2.81% 2011
13,378
13,090
WFS Financial Owner Trust, Series 2005-1, Class A-4, 3.87% 2012
35,250
34,484
GS Auto Loan Trust, Series 2006-1, Class A-4, 5.38% 2014
20,000
20,219
GS Auto Loan Trust, Series 2006-1, Class A-4, 5.60% 2014
25,312
25,443
Vega ContainerVessel PLC, Series 2006-1, Class A, XLCA insured, 5.562% 20212
45,000
45,607
Long Beach Acceptance Auto Receivables Trust, Series 2005-B, Class A-4, FSA insured, 4.522% 2012
17,000
16,775
Long Beach Acceptance Auto Receivables Trust, Series 2006-B, Class A-4, FSA insured, 5.18% 2013
27,800
27,881
Vanderbilt Mortgage and Finance, Inc., Series 2002-B, Class A-3, 4.70% 2018
5,100
5,063
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class A-4, 6.57% 2024
7,660
7,906
Vanderbilt Mortgage and Finance, Inc., Series 1999-B, Class I-A-6, 6.925% 2024
10,250
10,575
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-4, 7.905% 2026
3,489
3,684
Vanderbilt Mortgage and Finance, Inc., Series 1997-C, Class II-A-1, 5.54% 20271
1,026
1,027
Vanderbilt Mortgage and Finance, Inc., Series 2000-D, Class A-4, 7.715% 2027
3,997
4,177
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-5, 8.195% 2030
6,889
7,349
Vanderbilt Mortgage and Finance, Inc., Series 2001-C, Class M-1, 6.76% 2032
1,500
1,534
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class M-1, 7.82% 2032
3,000
3,214
CWABS, Inc., Series 2004-12, Class 2-AV-2, 5.61% 20331 
6,192
6,199
CWABS, Inc., Series 2004-15, Class 2-AV-2, 5.60% 20341
11,383
11,400
CWABS, Inc., Series 2005-11, Class AF-2, 4.657% 2036
22,666
22,390
UPFC Auto Receivables Trust, Series 2005-A, Class A-3, AMBAC insured, 4.34% 2010
14,000
13,889
UPFC Auto Receivables Trust, Series 2005-B, Class A-3, XLCA insured, 4.98% 2011
20,000
19,953
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-1, Class A-5, MBIA insured, 5.08% 20112 
18,000
17,913
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-2, Class A-6, AMBAC insured, 5.08% 20112 
14,500
14,430
Residential Asset Securities Corp. Trust, Series 2001-KS3, Class A-I-6, 5.96% 2031
18,168
18,168
Residential Asset Securities Corp. Trust, Series 2004-KS12, Class A-1-2, 5.56% 20351 
14,129
14,158
Residential Funding Mortgage Securities II, Inc., Series 2005-HI1, Class A-4, FGIC insured, 4.70% 2034
19,594
19,340
Residential Funding Mortgage Securities II, Inc., Series 2005-HS1, Class A-1-2, FGIC insured, 4.66% 2020
12,500
12,201
Drivetime Auto Owner Trust, Series 2004-C, Class A-3, XLCA insured, 3.493% 20102 
4,879
4,834
Drivetime Auto Owner Trust, Series 2006-A, Class A-3, XLCA insured, 5.501% 20112
25,460
25,667
Capital Auto Receivables Asset Trust, Series 2004-2, Class A-4, 3.75% 2009
21,750
21,308
Capital Auto Receivables Asset Trust, Series 2005-SN1, Class B-2, 6.08% 20091 
2,485
2,508
Capital Auto Receivables Asset Trust, Series 2006-SN1, Class C, 5.77% 20102
3,700
3,760
Spirit Master Funding LLC, Net-Lease Mortgage Notes, Series 2005-1, Class A-1, AMBAC insured, 5.05% 20232
28,489
27,478
Capital One Multi-asset Execution Trust, Series 2006-10, Class A, 5.15% 2014
25,830
26,012
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A, interest only, FGIC insured, 4.00% 2027
73,023
—
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A-5, FGIC insured, 5.753% 2027
15,750
15,844
CWHEQ Home Equity Loan Trust, Series 2006-S4, Class A-6, AMBAC insured, 5.834% 2034
9,650
9,736
Bear Stearns Asset-backed Securities I Trust, Series 2004-HE11, Class I-A-2, 5.63% 20331 
2,420
2,423
Bear Stearns Asset-backed Securities I Trust, Series 2005-CL1, Class A-1, 5.83% 20341 
22,546
22,616
Prestige Auto Receivables Trust, Series 2005-1A, Class A-2, FSA insured, 4.37% 20122 
10,000
9,906
Prestige Auto Receivables Trust, Series 2006-1A, Class A-2, FSA insured, 5.25% 20132 
15,000
15,073
Honda Auto Receivables Owner Trust, Series 2006-2, Class A-4, 5.28% 2012
24,250
24,466
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class B-1, 7.30% 2021
10,148
10,212
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-4, 6.57% 2027
8,290
8,660
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-5, 7.12% 2032
3,000
3,172
Morgan Stanley ABS Capital I, Inc., Series 2004-NC3, Class M-1, 5.86% 20341 
20,000
20,066
Green Tree Financial Corp., Series 1995-3, Class B-2, 8.10% 20255
3,991
1,237
Green Tree Financial Corp., Series 1996-10, Class A-6, 7.30% 2028
3,571
3,624
Green Tree Financial Corp., Series 1997-6, Class A-7, 7.14% 2029
7,903
8,204
Green Tree Recreational, Equipment & Consumer Trust, Series 1997-D, 7.25% 2029
4,400
4,002
Green Tree Financial Corp., Series 1997-6, Class B-2, 7.75% 20295
3,051
—
Green Tree Financial Corp., Series 1998-4, Class B-2, 8.11% 20305
8,028
1
Conseco Finance Home Equity Loan Trust, Series 2002-B, Class M-1, 7.08% 20331 
2,793
2,813
Triad Automobile Receivables Trust, Series 2005-A, Class A-4, AMBAC insured, 4.22% 2012
20,000
19,662
Consumer Credit Reference Index Securities Program Trust, Series 2002-1A, Class A, 7.387% 20071,2 
10,158
10,323
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 20072 
8,250
8,385
Chase Issuance Trust, Series 2005-7, Class A, 4.55% 2013
17,500
17,227
Cendant Timeshare Receivables Funding, LLC, Series 2005-1, Class A-1, FGIC insured, 4.67% 20172
16,808
16,585
Wachovia Auto Loan Owner Trust, Series 2006-1, Class A-4, 5.08% 20122 
10,000
10,000
Wachovia Auto Loan Owner Trust, Series 2006-1, Class B, 5.15% 20122 
5,000
5,000
Providian Gateway Master Trust, Series 2004-DA, Class A, 3.35% 20112 
15,000
14,733
CNL Funding, Series 2000-AA, Class A-2, MBIA insured, 8.044% 20172
13,800
14,559
First Investors Auto Owner Trust, Series 2003-A, Class A, MBIA insured, 2.58% 20112 
6,905
6,768
First Investors Auto Owner Trust, Series 2005-A, Class A-2, MBIA insured, 4.23% 20122
7,835
7,759
PECO Energy Transition Trust, Series 1999-A, Class A-7, 6.13% 2009
14,250
14,423
New Century Home Equity Loan Trust, Series 2001-NC2, Class M-1, 6.56% 20311 
2,664
2,667
New Century Home Equity Loan Trust, Series 2004-A, Class A-II-5, FGIC insured, 5.25% 2034
11,000
10,943
American Express Credit Account Master Trust, Series 2005-3, Class B, 5.47% 20111 
7,000
7,008
American Express Credit Account Master Trust, Series 2006-3, Class C, 5.65% 20141,2 
6,000
5,995
MASTR Asset-backed Securities Trust, Series 2006-AB1, Class A-4, 5.719% 2036
11,500
11,423
Providian Master Note Trust, Series 2005-A1A, Class A, 5.39% 20121,2
10,000
10,011
PG&E Energy Recovery Funding LLC, Series 2005-1, Class A-2, 3.87% 2011
8,329
8,191
Nordstrom Credit Card Master Note Trust, Series 2002-1, Class B, 6.03% 20101,2
8,000
8,025
Ford Credit Auto Owner Trust, Series 2006-B, Class B, 5.43% 2012
7,333
7,393
PP&L Transition Bond Co. LLC, Series 1999-1, Class A-7, 7.05% 2009
7,230
7,292
Discover Card Master Trust I, Series 1996-4, Class B, 5.88% 20131
7,000
7,124
MBNA Master Credit Card Trust II, Series 1999-B, Class A, 5.90% 2011
3,000
3,066
MBNA Master Credit Card Trust II, Series 1999-B, Class B, 6.20% 2011
3,750
3,853
First USA Credit Card Master Trust, Series 1997-4, Class C, 6.33% 20101,2 
6,630
6,647
Home Equity Asset Trust, Series 2004-7, Class M-1, 5.95% 20351
6,500
6,568
ACLC Business Loan Receivables Trust, Series 2002-1, Class A-2, 7.462% 20222
5,606
5,662
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-3, 4.35% 2014
3,480
3,330
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-4, 5.27% 2018
1,785
1,763
PCR Auto Receivables Trust, Series 2004-1, Class A-2, XLCA insured, 3.995% 20102
5,073
5,073
GMAC Mortgage Loan Trust, Series 2006-HE3, Class A-5, FGIC insured, 5.809% 20361
5,000
5,041
Chase Credit Card Owner Trust, Series 2003-6, Class B, 5.68% 20111 
5,000
5,027
GreenPoint Credit Manufactured Housing Contract Trust, Series 2000-7, Class A-1, MBIA insured, 5.62% 20221
4,725
4,742
Origen Manufactured Housing Contract Trust, Series 2004-B, Class A-1, 2.87% 2013
148
148
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-1, 5.73% 2035
2,500
2,431
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-2, 6.51% 2035
2,000
2,021
West Penn Funding LLC, Series 1999-A, Class A-4, 6.98% 2008
4,118
4,188
Capital One Auto Finance Trust, Series 2004-B, Class A-3, MBIA insured, 2.96% 2009
3,735
3,722
Specialty Underwriting and Residential Finance Trust, Series 2004-BC4, Class A-2B, 5.64% 20351 
3,704
3,707
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB4, Class AF-4, 5.028% 20351
3,490
3,423
Countryplace Manufactured Housing Contract, Series 2005-1, Class A-2, AMBAC insured, 4.42% 20352 
3,400
3,348
SLM Student Loan Trust, Series 2003-10, Class A-4, 5.15% 20392
£1,160
2,184
Irwin Home Equity, Series 2006-2, Class 2-A3, FGIC insured, 6.40% 20361,2 
$ 2,000
2,097
Advanta Business Card Master Trust, Series 2005-A2, Class A-2, 5.46% 20131
2,000
1,998
IndyMac Home Equity Mortgage Loan Asset-backed Trust, Series SPMD 2001-A, Class AF-6, 6.537% 2030
1,997
1,992
Chase Auto Owner Trust, Series 2006-B, Class B, 5.24% 2014
1,500
1,503
Capital One Master Trust, Series 2002-1A, Class B, 5.93% 20111 
1,000
1,011
Harley-Davidson Motorcycle Trust, Series 2002-2, Class B, 2.84% 2010
680
665
New South Motor Vehicle Trust, Series 2002-A, Class A-3, AMBAC insured, 3.03% 2010
641
634
NPF XII, Inc., Series 2001-3, Class A, 5.52% 20072,5
16,000
440
NPF XII, Inc., Series 1999-3, Class B, 2.763% 20031,2,5 
3,000
—
NPF XII, Inc., Series 2001-1A, Class A, 2.30% 20041,2,5
7,000
192
Option One Mortgage Loan Trust, Series 2002-1, Class M-1, 6.455% 20321 
581
581
Financial Pacific Funding II, LLC, Series 2003-A, Class A, FSA insured, 2.29% 20092 
386
384
MMCA Auto Owner Trust, Series 2002-4, Class B, 3.82% 2009
280
280
SeaWest Securitization, LLC, Series 2002-A, Class A-3, XLCA insured, 3.58% 20082 
102
101
SeaWest Securitization, LLC, Series 2003-A, Class A-2, XLCA insured, 2.84% 20092
37
36
Continental Auto Receivables Owner Trust, Series 2000-B, Class CTFS, MBIA insured, 7.11% 20072
109
109
   
1,561,307
     
MUNICIPALS — 0.72%
    
State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A-1, 6.25% 2033
64,975
71,619
State of Wisconsin, Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds, 6.125% 2027
27,130
29,096
State of South Dakota, Educational Enhancement Funding Corp., Tobacco Settlement Asset-backed Bonds, Series 2002-A, Class A, 6.72% 2025
27,291
27,216
State of Louisiana, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, Series 2001-A, Class A, 6.36% 2025
18,067
18,065
State of Louisiana, Tobacco Settlement Authority, Asset-backed Bonds, Series 2001-B, 5.50% 2030
10,000
10,371
Los Angeles County, California, Metropolitan Transportation Authority, General Revenue Refunding Bonds (Workers’ Compensation Funding Program), Series 2003, AMBAC insured, 3.83% 2008
5,000
4,897
Los Angeles County, California, Metropolitan Transportation Authority, General Revenue Refunding Bonds (Workers’ Compensation Funding Program), Series 2003, AMBAC insured, 4.56% 2010
5,000
4,914
California Maritime Infrastructure Authority, Taxable Lease Revenue Bonds (San Diego Unified Port Dist.-South Bay Plant Acquisition), Series 1999, 6.63% 20092
8,861
8,948
State of Washington, Tobacco Settlement Authority, Asset-backed Bonds, Series 2002, 6.50% 2026
6,625
7,281
State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds (Economic Development and Housing), Series B, 2.88% 2007
2,000
1,979
State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds
   
(Economic Development and Housing), Series B, 3.09% 2007
2,200
2,156
   
186,542 
     
     
Total bonds & notes (cost: $23,154,606,000)
  
23,378,220
     
     
 
Shares or
  
Convertible securities — 0.37%
principal amount
  
     
INFORMATION TECHNOLOGY — 0.10%
    
Conexant Systems, Inc. 4.00% convertible notes 2007
$14,700,000
14,590
SCI Systems, Inc. 3.00% convertible debentures 2007
$12,000,000
11,820
   
26,410
     
TELECOMMUNICATION SERVICES — 0.08%
    
American Tower Corp. 5.00% convertible debentures 2010
$21,000,000
21,000
     
     
UTILITIES — 0.07%
    
AES Trust VII 6.00% convertible preferred 2008
351,450
17,133
     
     
CONSUMER DISCRETIONARY — 0.06%
    
Amazon.com, Inc. 6.875% PEACS convertible notes 2010
€9,005,000
11,623
Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032
128,100
4,303
   
15,926
     
FINANCIALS — 0.01%
    
Equity Office Properties Trust, Series B, 5.25% convertible preferred 2008
70,400
4,072
     
     
MISCELLANEOUS — 0.05%
    
Other convertible securities in initial period of acquisition
  
12,370
     
     
Total convertible securities (cost: $84,553,000)
  
96,911
     
     
     
Preferred securities — 3.86%
Shares
  
     
FINANCIALS — 3.86%
    
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred1,2
121,238,000
129,903
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred1,2
52,000,000
54,798
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up perpetual preferred1,2
85,750,000
97,402
HSBC Capital Funding LP, Series 2, 10.176% noncumulative step-up perpetual preferred1,2
25,000,000
36,844
HSBC Capital Funding LP 8.03% noncumulative preferred1
20,000,000
30,012
MUFG Capital Finance 1 Ltd. 6.346% noncumulative preferred1
79,010,000
79,547
Tokai Preferred Capital Co. LLC, Series A, 9.98% noncumulative preferred1,2
12,000,000
12,869
MUFG Capital Finance 2 Ltd. 4.85% noncumulative preferred1
4,650,000
5,800
BNP Paribas 5.186% noncumulative1,2
41,050,000
38,947
BNP U.S. Funding LLC, Series A, 7.738% noncumulative preferred1,2
21,750,000
22,268
BNP Paribas Capital Trust 9.003% noncumulative trust preferred1,2
15,000,000
16,905
Shinsei Finance II (Cayman) Ltd. 7.16% noncumulative preferred1,2
57,995,000
58,031
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities2
1,670,000
48,743
Swire Pacific Offshore Financing Ltd. 9.33% cumulative guaranteed perpetual preferred capital securities2
230,000
5,937
Fannie Mae, Series O, 7.085% preferred2
900,000
47,869
Wachovia Capital Trust III 5.80%1
45,000,000
45,166
Resona Preferred Global Securities (Cayman) Ltd. 7.191%1,2
33,925,000
35,169
RBS Capital Trust I 4.709% noncumulative trust preferred1
28,440,000
26,669
Royal Bank of Scotland Group PLC 6.625%1
4,700,000
6,399
ING Capital Funding Trust III 8.439% noncumulative preferred1
29,750,000
33,043
National Bank of Canada, Series A, 8.35% exchangeable preferred depositary shares
1,200,000
31,740
Chuo Mitsui Trust and Banking Co., Ltd. 5.506%1,2
24,970,000
23,981
Weingarten Realty Investors, Series D, 6.75% preferred 2008
495,420
13,054
Weingarten Realty Investors, Series E, 6.95% cumulative redeemable preferred depositary shares
250,000
6,350
SB Treasury Co. LLC, Series A, 9.40% noncumulative preferred1,2
17,638,000
18,751
Société Générale 7.85%1,2
17,705,000
17,946
Standard Chartered Capital Trust I 8.16%1
10,000,000
14,279
DBS Capital Funding Corp., Series A, 7.657% noncumulative guaranteed preference shares1,2
11,250,000
12,205
HVB Funding Trust VIII 7.055%1
7,400,000
10,559
HBOS Capital Funding LP, Series A, 6.461% noncumulative preferred1
3,000,000
5,978
New Plan Excel Realty Trust, Inc., Series D, 7.80% preferred cumulative step-up premium rate
112,500
5,713
ACE Ltd., Series C, 7.80% preferred depositary shares
217,355
5,640
Nationwide Health Properties, Inc., Series A, 7.677% preferred cumulative step-up premium rate
50,000
5,186
Westpac Capital Trust IV 5.256%1,2
4,500,000
4,216
   
1,007,919
     
CONSUMER STAPLES — 0.00%
    
Great Atlantic & Pacific Tea Co., Inc. 9.375% QUIBS preferred
18,500
469
     
     
INFORMATION TECHNOLOGY — 0.00%
    
ZiLOG, Inc. - MOD III Inc., units7,10,11
1,447
215
     
     
CONSUMER DISCRETIONARY — 0.00%
    
Adelphia Communications Corp., Series B, 13.00% preferred10
50,565
25
     
     
TELECOMMUNICATION SERVICES — 0.00%
    
XO Holdings, Inc. 14.00% preferred6.7.10
24
0
     
     
Total preferred securities (cost: $935,574,000)
  
1,008,628
   
 
     
   
Market value
Common stocks — 0.34%
Shares
(000)
     
UTILITIES — 0.27%
    
Drax Group PLC10
4,430,290
$69,104 
     
     
TELECOMMUNICATION SERVICES — 0.03%
    
Dobson Communications Corp., Class A10
1,051,359
7,381
XO Holdings, Inc.10
7,614
37
   
7,418
     
INDUSTRIALS — 0.02%
    
DigitalGlobe Inc.2,7,10
3,984,039
3,984
Delta Air Lines, Inc.2,10
312,961
429
   
4,413
     
FINANCIALS — 0.01%
    
Beverly Hills Bancorp Inc.
446,000
3,639
     
     
INFORMATION TECHNOLOGY — 0.01%
    
ZiLOG, Inc.10,11
879,000
3,209
     
     
HEALTH CARE — 0.00%
    
Clarent Hospital Corp.7,10,11
331,291
83
     
     
MISCELLANEOUS — 0.00%
    
Other common stocks in initial period of acquisition
  
285
     
     
Total common stocks (cost: $51,178,000)
  
88,151
     
     
     
Warrants — 0.00%
    
     
TELECOMMUNICATION SERVICES — 0.00%
    
XO Holdings, Inc., Series A, warrants, expire 201010
15,233
14
XO Holdings, Inc., Series B, warrants, expire 201010
11,424
7
XO Holdings, Inc., Series C, warrants, expire 201010
11,424
4
GT Group Telecom Inc., warrants, expire 20102,7,10
2,750
0
     
     
Total warrants (cost: $143,000)
  
25
   
     
 
Principal amount
Market value
Short-term securities — 5.90%
(000)
(000)
     
Bank of America Corp. 5.25%-5.27% due 10/20-12/12/20069
$148,800
$ 147,970
Ranger Funding Co. LLC 5.25%-5.26% due 10/12-11/2/20062,9
51,147
50,972
Wal-Mart Stores Inc. 5.20%-5.21% due 10/5-12/19/20062,9
174,600
173,486
Clipper Receivables Co., LLC 5.26%-5.28% due 10/12-11/10/20062,9
129,500
129,076
Variable Funding Capital Corp. 5.25%-5.36% due 10/2-10/16/20062
125,000
124,831
Citigroup Funding Inc. 5.25%-5.26% due 10/17-10/30/2006
79,900
79,654
CAFCO, LLC 5.26% due 10/26/20062
25,000
24,908
E.I. duPont de Nemours and Co. 5.19%-5.20% due 10/25-10/27/20062
101,284
100,907
Abbott Laboratories 5.18% due 11/7-11/21/20062,9
98,600
97,947
Edison Asset Securitization LLC 5.25% due 12/18/20062,9
50,000
49,435
General Electric Capital Services, Inc. 5.24% due 10/4/2006
20,700
20,688
Caterpillar Financial Services Corp. 5.20%-5.21% due 10/16-10/23/2006
56,804
56,644
UnionBanCal Commercial Funding Corp. 5.25% due 10/24/2006
56,700
56,500
Federal Farm Credit Banks 5.13% due 10/18/2006
50,000
49,872
Preferred Receivables Funding Corp. 5.25% due 10/20/20062
50,000
49,854
NetJets Inc. 5.20% due 11/9/20062,9
49,800
49,512
AT&T Inc. 5.26% due 10/23/20062 
48,500
48,337
Gannett Co. 5.20% due 10/3/20062
40,000
39,983
Federal Home Loan Bank 5.155% due 11/29/20069
35,700
35,396
Three Pillars Funding, LLC 5.36% due 10/2/20062
32,400
32,386
Kimberly-Clark Worldwide Inc. 5.20% due 10/19/20062
32,400
32,311
3M Co. 5.19% due 11/17/20069
27,500
27,316
International Lease Finance Corp. 5.22% due 10/3/2006
27,000
26,988
HSBC Finance Corp. 5.35% due 10/19/2006
21,100
21,044
Home Depot Inc. 5.20% due 10/20/20062
13,000
12,962
     
     
Total short-term securities (cost: $1,538,907,000)
  
1,538,979
     
Total investment securities (cost: $25,764,961,000)
  
26,110,914
Other assets less liabilities
  
(5,306)
     
Net assets
  
$26,105,608


“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.


1 Coupon rate may change periodically.
2 Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public may require registration.
The total value of all such restricted securities was $5,824,125,000, which represented 22.31% of the net assets of the fund.
3 Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.
4 Step bond; coupon rate will increase at a later date.
5 Scheduled interest and/or principal payment was not received.
6 Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
7 Valued under fair value procedures adopted by authority of the board of directors.
8 Index-linked bond whose principal amount moves with a government retail price index.
9 This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.
10Security did not produce income during the last 12 months.
11Represents an affiliated company as defined under the Investment Company Act of 1940.



                                                                                         unaudited

Investments in affiliates
 
A company is considered to be an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares of that company. Further details on these holdings and related transactions during the nine months ended September 30, 2006, appear below.

Company
  
Beginning shares
  
Purchases
  
Sales
  
Ending shares
  
Dividend
(000)
  
Market value
of affiliates
at 9/30/06 (000)
  
                                       
ZiLOG, Inc.
    
879,000
    
—
    
—
    
879,000
  
$
—
  
$
3,209
  
ZiLOG, Inc. - MOD III Inc., units
    
1,447
    
—
    
—
    
1,447
    
—
    
215
  
Clarent Hospital
    
331,291
    
—
    
—
    
331,291
    
—
    
83
  
 
                           $
 —
  
$
3,507
  
 
 

Federal income tax information
  
(dollars in thousands)
  
         
Gross unrealized appreciation on investment securities
  
$
550,097
  
Gross unrealized depreciation on investment securities
    
(266,044
)
Net unrealized appreciation on investment securities
    
284,053
 
Cost of investment securities for federal income tax purposes
    
25,826,861
  


Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so you may lose money.

Investors should carefully consider the investment objectives, risks, charges and expenses of the American Funds. This and other important information is contained in each fund’s prospectus, which can be obtained from a financial adviser and should be read carefully before investing.
 
 
MFGEFP-908-1106-S6838


ITEM 2 - Controls and Procedures

The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as such term is defined in Rule 30a-3 under the Investment Company Act of 1940), that such controls and procedures are adequate and reasonably designed to achieve the purposes described in paragraph (c) of such rule.

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.


ITEM 3 - Exhibits

The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.
 

 
 
 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 
THE BOND FUND OF AMERICA, INC.
   
 
By /s/ Abner D. Goldstine
 
Abner D. Goldstine, President and
Principal Executive Officer
   
 
Date: November 28, 2006



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.


By /s/ Abner D. Goldstine
Abner D. Goldstine, President and
Principal Executive Officer
 
Date: November 28, 2006



By /s/ Susi M. Silverman
Susi M. Silverman, Treasurer and
Principal Financial Officer
 
Date: November 28, 2006


EX-99.CERT 2 bfa_cert302.htm CERT302 Unassociated Document

[logo - American Funds®]
The Bond Fund of America, Inc.
333 South Hope Street
Los Angeles, California 90071
Phone (213) 486-9200


CERTIFICATION

I, Abner D. Goldstine, certify that:

1.
I have reviewed this report on Form N-Q of The Bond Fund of America, Inc.;
   
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
   
3.
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which this report is filed;
   
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
   
 
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
   
 
b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
   
 
c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
   
 
d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
   
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's Board of Directors (or persons performing the equivalent functions):
   
 
a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
   
 
b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
   


Date: November 28, 2006

/s/ Abner D. Goldstine 
Abner D. Goldstine, President and
Principal Executive Officer
The Bond Fund of America, Inc.

 
 
 


[logo - American Funds®]
The Bond Fund of America, Inc.
333 South Hope Street
Los Angeles, California 90071
Phone (213) 486-9200


CERTIFICATION

I, Susi M. Silverman, certify that:

1.
I have reviewed this report on Form N-Q of The Bond Fund of America, Inc.;
   
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
   
3.
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which this report is filed;
   
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
   
 
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
   
 
b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
   
 
c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
   
 
d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
   
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's Board of Directors (or persons performing the equivalent functions):
   
 
a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
   
 
b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
   


Date: November 28, 2006

/s/ Susi M. Silverman 
Susi M. Silverman, Treasurer and
Principal Financial Officer
The Bond Fund of America, Inc.



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