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

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-2368 
Name of Registrant: Vanguard Fixed Income Securities Funds 
 
Address of Registrant: 
P.O. Box 2600 
Valley Forge, PA 19482 
Name and address of agent for service: 
Heidi Stam, Esquire 
P.O. Box 876 
Valley Forge, PA 19482 
Date of fiscal year end: January 31 
Date of reporting period: October 31, 2009 
Item 1: Schedule of Investments 


Vanguard Long-Term Investment-Grade Fund

Schedule of Investments

As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (3.3%)         
U.S. Government Securities (1.7%)         
  United States Treasury Note/Bond  3.500%  2/15/39  45,000  39,431 
  United States Treasury Strip Principal  0.000%  2/15/36  217,000  69,507 
  United States Treasury Strip Principal  0.000%  8/15/39  71,500  19,708 
          128,646 
Agency Bonds and Notes (1.6%)         
1  Federal Home Loan Banks  5.500%  7/15/36  52,000  55,590 
1  Federal Home Loan Mortgage Corp.  6.250%  7/15/32  18,000  21,876 
1  Federal National Mortgage Assn.  6.625%  11/15/30  31,000  38,932 
1  Tennessee Valley Authority  5.250%  9/15/39  11,680  11,988 
          128,386 
Total U.S. Government and Agency Obligations (Cost $253,789)      257,032 
Corporate Bonds (86.0%)         
Finance (28.9%)         
  Banking (18.5%)         
  Abbey National PLC  7.950%  10/26/29  15,000  15,321 
  American Express Co.  8.125%  5/20/19  26,450  31,669 
  American Express Co.  8.150%  3/19/38  15,000  19,031 
  Bank of America Corp.  6.800%  3/15/28  35,000  35,557 
  Bank of America NA  6.000%  10/15/36  60,000  60,416 
  Bank One Corp.  7.750%  7/15/25  25,000  28,801 
  Bank One Corp.  7.625%  10/15/26  20,000  23,105 
  Bank One Corp.  8.000%  4/29/27  16,500  19,947 
3  Barclays Bank PLC  10.179%  6/12/21  11,160  14,671 
  BB&T Corp.  5.250%  11/1/19  20,000  19,476 
  Bear Stearns Cos. LLC  7.250%  2/1/18  15,000  17,151 
  Citigroup Inc.  6.125%  5/15/18  15,000  15,177 
  Citigroup Inc.  8.500%  5/22/19  10,000  11,673 
  Citigroup Inc.  6.625%  1/15/28  25,000  24,575 
  Citigroup Inc.  6.625%  6/15/32  38,000  35,825 
  Citigroup Inc.  5.875%  2/22/33  10,000  8,625 
  Citigroup Inc.  6.000%  10/31/33  16,900  14,777 
  Citigroup Inc.  5.850%  12/11/34  36,500  33,338 
  Citigroup Inc.  6.125%  8/25/36  21,350  19,082 
  Citigroup Inc.  5.875%  5/29/37  15,000  13,953 
  Citigroup Inc.  8.125%  7/15/39  8,300  9,709 
  Credit Suisse USA Inc.  7.125%  7/15/32  38,000  46,015 
  Goldman Sachs Group Inc.  7.500%  2/15/19  12,505  14,624 
  Goldman Sachs Group Inc.  6.125%  2/15/33  55,725  57,960 
  Goldman Sachs Group Inc.  6.450%  5/1/36  38,000  38,691 
  Goldman Sachs Group Inc.  6.750%  10/1/37  109,160  114,859 
3  HBOS PLC  6.000%  11/1/33  41,500  28,920 
  HSBC Bank USA NA/New York NY  5.875%  11/1/34  50,700  52,301 
  HSBC Bank USA NA/New York NY  5.625%  8/15/35  28,000  27,761 
  HSBC Holdings PLC  7.625%  5/17/32  21,200  23,233 
  HSBC Holdings PLC  6.500%  5/2/36  2,000  2,198 
  HSBC Holdings PLC  6.500%  9/15/37  5,000  5,475 
  HSBC Holdings PLC  6.800%  6/1/38  39,000  44,423 
  JP Morgan Chase Capital XXV  6.800%  10/1/37  8,415  8,217 


  JPMorgan Chase & Co.  6.300%  4/23/19  10,000  10,974 
  JPMorgan Chase & Co.  6.400%  5/15/38  81,000  89,707 
  Mellon Funding Corp.  5.500%  11/15/18  8,800  9,230 
  Merrill Lynch & Co. Inc.  6.875%  4/25/18  11,000  11,939 
  Merrill Lynch & Co. Inc.  6.875%  11/15/18  16,000  17,294 
  Merrill Lynch & Co. Inc.  6.220%  9/15/26  10,000  9,697 
  Merrill Lynch & Co. Inc.  6.110%  1/29/37  28,050  26,529 
  Merrill Lynch & Co. Inc.  7.750%  5/14/38  16,100  18,356 
  Morgan Stanley  6.625%  4/1/18  9,985  10,805 
  Morgan Stanley  5.625%  9/23/19  14,550  14,636 
  Morgan Stanley  6.250%  8/9/26  12,850  13,271 
  Morgan Stanley  7.250%  4/1/32  28,750  33,115 
  National City Corp.  6.875%  5/15/19  15,000  16,149 
  PNC Funding Corp.  6.700%  6/10/19  3,605  4,045 
  Royal Bank of Scotland Group PLC  4.700%  7/3/18  26,125  19,926 
  SunTrust Bank/Atlanta GA  5.400%  4/1/20  10,000  8,915 
  Wachovia Bank NA  5.850%  2/1/37  20,700  20,481 
  Wachovia Bank NA  6.600%  1/15/38  60,225  65,557 
  Wachovia Corp.  6.605%  10/1/25  30,000  30,314 
  Wachovia Corp.  5.500%  8/1/35  10,730  9,785 
  Wells Fargo & Co.  5.375%  2/7/35  37,000  35,647 
  Wells Fargo Bank NA  5.950%  8/26/36  22,670  22,705 
 
  Brokerage (0.2%)         
3  FMR LLC  6.450%  11/15/39  19,000  19,030 
 
  Finance Companies (2.8%)         
  General Electric Capital Corp.  6.750%  3/15/32  117,095  122,756 
  General Electric Capital Corp.  5.875%  1/14/38  37,905  36,068 
  General Electric Capital Corp.  6.875%  1/10/39  52,685  56,762 
 
  Insurance (7.0%)         
  ACE Capital Trust II  9.700%  4/1/30  10,000  11,005 
  ACE INA Holdings Inc.  6.700%  5/15/36  30,000  34,587 
  AEGON Funding Co. LLC  5.750%  12/15/20  1,535  1,472 
  Aetna Inc.  6.750%  12/15/37  10,000  10,510 
  Allstate Corp.  5.550%  5/9/35  14,075  13,909 
  Allstate Corp.  5.950%  4/1/36  8,000  8,341 
  AXA Financial Inc.  7.000%  4/1/28  34,910  33,897 
3  Guardian Life Insurance Co. of America  7.375%  9/30/39  9,400  9,615 
  Hartford Financial Services Group Inc.  6.100%  10/1/41  29,900  23,809 
3  Jackson National Life Insurance Co.  8.150%  3/15/27  2,130  2,130 
3  John Hancock Life Insurance Co.  7.375%  2/15/24  30,000  30,734 
3  Liberty Mutual Insurance Co.  8.500%  5/15/25  23,335  23,318 
  Lincoln National Corp.  6.150%  4/7/36  13,900  12,659 
2,3 Massachusetts Mutual Life Insurance Co.  7.625%  11/15/23  15,970  17,006 
3  Massachusetts Mutual Life Insurance Co.  8.875%  6/1/39  13,880  17,034 
  MetLife Inc.  6.500%  12/15/32  3,990  4,376 
  MetLife Inc.  6.375%  6/15/34  16,010  17,212 
  MetLife Inc.  5.700%  6/15/35  5,000  5,042 
3  Metropolitan Life Insurance Co.  7.800%  11/1/25  35,000  38,208 
  Munich Re America Corp.  7.450%  12/15/26  8,500  9,055 
3  Nationwide Mutual Insurance Co.  9.375%  8/15/39  18,000  18,640 
3  New York Life Insurance Co.  5.875%  5/15/33  60,275  55,779 
3  Pacific Life Insurance Co.  9.250%  6/15/39  23,775  26,425 
  Principal Financial Group Inc.  6.050%  10/15/36  11,500  10,313 
  Prudential Financial Inc.  5.750%  7/15/33  13,000  11,978 
  Prudential Financial Inc.  5.400%  6/13/35  10,000  8,528 


Travelers Property Casualty Corp.  7.750%  4/15/26  25,000  29,685 
UnitedHealth Group Inc.  5.800%  3/15/36  17,000  15,551 
UnitedHealth Group Inc.  6.625%  11/15/37  12,740  13,081 
UnitedHealth Group Inc.  6.875%  2/15/38  16,672  17,704 
WellPoint Inc.  5.850%  1/15/36  1,200  1,140 
XL Capital Ltd.  6.375%  11/15/24  8,500  7,648 
 
Real Estate Investment Trusts (0.4%)         
Simon Property Group LP  10.350%  4/1/19  15,080  19,000 
3 WEA Finance LLC / WT Finance Aust Pty Ltd.  6.750%  9/2/19  15,000  15,110 
        2,244,750 
Industrial (43.4%)         
Basic Industry (0.9%)         
EI Du Pont de Nemours & Co.  6.500%  1/15/28  22,100  24,169 
Monsanto Finance Canada Co.  5.500%  7/30/35  15,000  15,024 
Morton International Inc.  12.400%  6/1/20  10,000  11,947 
Potash Corp. of Saskatchewan Inc.  5.875%  12/1/36  5,000  5,073 
PPG Industries Inc.  9.000%  5/1/21  9,750  12,354 
 
Capital Goods (3.6%)         
3M Co.  6.375%  2/15/28  35,000  40,545 
3M Co.  5.700%  3/15/37  15,000  16,465 
Boeing Co.  6.125%  2/15/33  2,955  3,221 
Boeing Co.  6.625%  2/15/38  16,000  18,725 
Boeing Co.  5.875%  2/15/40  3,065  3,282 
Boeing Co.  7.875%  4/15/43  8,000  10,756 
Caterpillar Inc.  6.625%  7/15/28  30,000  34,298 
Deere & Co.  7.125%  3/3/31  15,000  18,721 
Eaton Corp.  7.625%  4/1/24  15,000  17,900 
3 Hutchison Whampoa International 03/33 Ltd.  7.450%  11/24/33  27,500  30,881 
3 Siemens Financieringsmaatschappij NV  6.125%  8/17/26  32,000  34,832 
United Technologies Corp.  7.500%  9/15/29  15,000  18,770 
United Technologies Corp.  6.125%  7/15/38  27,300  31,050 
 
Communication (11.9%)         
Alltel Corp.  7.875%  7/1/32  5,000  6,020 
AT&T Inc.  6.300%  1/15/38  13,000  13,548 
AT&T Inc.  6.550%  2/15/39  10,000  10,756 
BellSouth Corp.  6.875%  10/15/31  40,000  43,274 
BellSouth Corp.  6.000%  11/15/34  40,000  39,551 
CBS Corp.  7.875%  7/30/30  40,000  39,739 
Comcast Corp.  5.650%  6/15/35  30,500  28,589 
Comcast Corp.  6.450%  3/15/37  4,500  4,624 
3 COX Communications Inc.  6.450%  12/1/36  10,000  9,889 
3 COX Communications Inc.  8.375%  3/1/39  6,310  7,623 
Deutsche Telekom International Finance BV  8.750%  6/15/30  30,000  38,798 
France Telecom SA  8.500%  3/1/31  81,255  111,023 
GTE Corp.  6.940%  4/15/28  20,000  20,854 
Indiana Bell Telephone Co. Inc.  7.300%  8/15/26  20,000  21,014 
Michigan Bell Telephone Co.  7.850%  1/15/22  25,000  28,616 
New Cingular Wireless Services Inc.  8.750%  3/1/31  50,000  65,771 
News America Holdings Inc.  7.750%  12/1/45  290  329 
News America Inc.  6.200%  12/15/34  11,750  11,547 
News America Inc.  6.400%  12/15/35  28,000  28,041 
Pacific Bell Telephone Co.  7.125%  3/15/26  10,000  10,922 
Telecom Italia Capital SA  7.721%  6/4/38  15,125  17,646 
Telefonica Emisiones SAU  7.045%  6/20/36  44,985  52,819 


Telefonica Europe BV  8.250%  9/15/30  16,100  20,864 
Time Warner Cable Inc.  6.550%  5/1/37  40,000  41,632 
Verizon Communications Inc.  5.850%  9/15/35  30,000  29,967 
Verizon Communications Inc.  6.250%  4/1/37  20,000  20,922 
Verizon Communications Inc.  6.400%  2/15/38  17,815  18,935 
Verizon Communications Inc.  6.900%  4/15/38  6,285  7,082 
Verizon Communications Inc.  8.950%  3/1/39  9,575  12,887 
Verizon Communications Inc.  7.350%  4/1/39  15,000  17,857 
Verizon Global Funding Corp.  7.750%  12/1/30  29,750  35,140 
Verizon Maryland Inc.  5.125%  6/15/33  12,000  9,812 
Verizon New Jersey Inc.  8.000%  6/1/22  25,000  29,796 
Verizon Pennsylvania Inc.  8.350%  12/15/30  6,260  7,148 
Vodafone Group PLC  6.150%  2/27/37  58,180  61,880 
 
Consumer Cyclical (5.3%)         
CVS Caremark Corp.  6.250%  6/1/27  24,000  24,809 
Daimler Finance North America LLC  8.500%  1/18/31  9,780  12,094 
Historic TW Inc.  6.625%  5/15/29  10,775  10,937 
Lowe's Cos. Inc.  6.500%  3/15/29  26,010  28,958 
McDonald's Corp.  6.300%  10/15/37  900  1,029 
McDonald's Corp.  6.300%  3/1/38  26,170  29,824 
McDonald's Corp.  5.700%  2/1/39  9,500  10,064 
Target Corp.  6.650%  8/1/28  15,000  16,108 
Target Corp.  7.000%  7/15/31  20,000  22,439 
Target Corp.  7.000%  1/15/38  37,980  44,338 
Time Warner Inc.  7.625%  4/15/31  10,000  11,182 
Time Warner Inc.  6.500%  11/15/36  10,000  10,182 
Viacom Inc.  6.875%  4/30/36  10,000  10,552 
Wal-Mart Stores Inc.  7.550%  2/15/30  40,000  51,406 
Wal-Mart Stores Inc.  5.250%  9/1/35  2,000  2,001 
Wal-Mart Stores Inc.  6.500%  8/15/37  35,000  40,684 
Wal-Mart Stores Inc.  6.200%  4/15/38  45,900  52,023 
Walt Disney Co.  7.000%  3/1/32  10,000  12,257 
Walt Disney Co.  7.550%  7/15/93  19,300  22,037 
 
Consumer Noncyclical (14.3%)         
Abbott Laboratories  6.000%  4/1/39  33,870  37,393 
Altria Group Inc.  9.950%  11/10/38  19,000  24,781 
Altria Group Inc.  10.200%  2/6/39  5,000  6,652 
Amgen Inc.  6.375%  6/1/37  30,000  34,085 
Amgen Inc.  6.900%  6/1/38  5,000  6,071 
Amgen Inc.  6.400%  2/1/39  26,430  30,172 
Anheuser-Busch Cos. Inc.  6.750%  12/15/27  3,500  3,792 
Anheuser-Busch Cos. Inc.  6.800%  8/20/32  6,900  7,637 
Anheuser-Busch Cos. Inc.  5.750%  4/1/36  11,460  11,174 
3 Anheuser-Busch InBev Worldwide Inc.  8.200%  1/15/39  14,995  18,829 
Archer-Daniels-Midland Co.  6.750%  12/15/27  11,000  12,363 
Archer-Daniels-Midland Co.  6.625%  5/1/29  10,000  11,338 
AstraZeneca PLC  6.450%  9/15/37  70,000  80,769 
3 BAT International Finance PLC  9.500%  11/15/18  5,000  6,431 
Becton Dickinson and Co.  7.000%  8/1/27  8,300  9,901 
Becton Dickinson and Co.  6.700%  8/1/28  5,066  5,811 
Bestfoods  7.250%  12/15/26  30,000  34,017 
Bestfoods  6.625%  4/15/28  30,000  34,495 
Bristol-Myers Squibb Co.  6.800%  11/15/26  10,000  11,671 
Bristol-Myers Squibb Co.  6.125%  5/1/38  10,000  11,257 
3 Cargill Inc.  6.125%  4/19/34  1,880  1,875 
3 Cargill Inc.  6.125%  9/15/36  23,000  22,929 


Coca-Cola Enterprises Inc.  8.500%  2/1/22  11,930  15,985 
Coca-Cola Enterprises Inc.  6.950%  11/15/26  10,000  11,939 
Coca-Cola Enterprises Inc.  6.700%  10/15/36  4,350  5,241 
Eli Lilly & Co.  5.500%  3/15/27  33,375  34,790 
Eli Lilly & Co.  5.550%  3/15/37  3,500  3,658 
GlaxoSmithKline Capital Inc.  5.375%  4/15/34  21,995  22,105 
GlaxoSmithKline Capital Inc.  6.375%  5/15/38  25,000  28,440 
Hershey Co.  7.200%  8/15/27  20,461  23,295 
Johnson & Johnson  6.950%  9/1/29  22,457  27,415 
Johnson & Johnson  5.950%  8/15/37  10,000  11,226 
Johnson & Johnson  5.850%  7/15/38  17,000  18,915 
Kellogg Co.  7.450%  4/1/31  18,800  23,801 
Kraft Foods Inc.  6.500%  11/1/31  15,000  15,251 
Medtronic Inc.  6.500%  3/15/39  6,200  7,221 
Merck & Co. Inc./NJ  5.850%  6/30/39  26,610  28,962 
Pepsi Bottling Group Inc.  7.000%  3/1/29  17,000  20,542 
Pfizer Inc.  7.200%  3/15/39  36,000  45,564 
Pharmacia Corp.  6.750%  12/15/27  28,000  32,481 
Philip Morris International Inc.  6.375%  5/16/38  41,540  46,822 
2 Procter & Gamble - Esop  9.360%  1/1/21  12,859  16,323 
Procter & Gamble Co.  6.450%  1/15/26  27,000  31,153 
Procter & Gamble Co.  5.500%  2/1/34  25,000  26,174 
Procter & Gamble Co.  5.550%  3/5/37  12,000  12,648 
3 Roche Holdings Inc.  7.000%  3/1/39  47,905  58,727 
Schering-Plough Corp.  6.750%  12/1/33  30,320  35,084 
Sysco Corp.  6.500%  8/1/28  9,000  10,310 
3 Tesco PLC  6.150%  11/15/37  19,930  21,359 
Wyeth  5.950%  4/1/37  50,000  53,986 
 
Energy (4.6%)         
Anadarko Petroleum Corp.  7.950%  6/15/39  5,000  6,094 
Burlington Resources Finance Co.  7.400%  12/1/31  25,000  29,463 
ConocoPhillips  7.000%  3/30/29  10,000  11,401 
ConocoPhillips  5.900%  10/15/32  20,300  21,113 
ConocoPhillips  6.500%  2/1/39  45,165  50,567 
ConocoPhillips Holding Co.  6.950%  4/15/29  2,660  3,069 
Devon Financing Corp. ULC  7.875%  9/30/31  15,555  19,110 
EnCana Corp.  6.500%  8/15/34  10,000  10,656 
Halliburton Co.  8.750%  2/15/21  10,000  12,954 
Halliburton Co.  6.700%  9/15/38  9,965  11,309 
3 Halliburton Co.  7.600%  8/15/96  7,350  8,604 
Mobil Corp.  8.625%  8/15/21  17,000  23,650 
Nexen Inc.  7.500%  7/30/39  10,000  11,111 
Shell International Finance BV  6.375%  12/15/38  50,005  57,622 
Talisman Energy Inc.  7.750%  6/1/19  1,115  1,320 
Texaco Capital Inc.  8.625%  11/15/31  13,000  18,168 
Tosco Corp.  7.800%  1/1/27  15,000  18,254 
Tosco Corp.  8.125%  2/15/30  20,000  24,978 
XTO Energy Inc.  6.750%  8/1/37  12,195  13,444 
XTO Energy Inc.  6.375%  6/15/38  5,000  5,263 
 
Technology (2.4%)         
Cisco Systems Inc.  5.900%  2/15/39  35,000  37,354 
Electronic Data Systems LLC  7.450%  10/15/29  2,075  2,553 
International Business Machines Corp.  7.000%  10/30/25  50,000  58,331 
International Business Machines Corp.  8.000%  10/15/38  35,448  48,158 
International Business Machines Corp.  7.000%  10/30/45  4,500  5,489 
Oracle Corp.  6.500%  4/15/38  20,000  22,866 


Oracle Corp.  6.125%  7/8/39  10,000  10,990 
 
Transportation (0.4%)         
Burlington Northern Santa Fe Corp.  6.875%  12/1/27  25,000  28,020 
United Parcel Service Inc.  6.200%  1/15/38  4,230  4,792 
        3,375,415 
Utilities (13.7%)         
Electric (12.1%)         
Alabama Power Co.  5.700%  2/15/33  12,800  13,501 
Alabama Power Co.  6.000%  3/1/39  4,900  5,417 
Appalachian Power Co.  6.700%  8/15/37  50,000  54,213 
Arizona Public Service Co.  5.625%  5/15/33  9,000  8,170 
Baltimore Gas & Electric Co.  6.350%  10/1/36  10,000  10,481 
Carolina Power & Light Co.  5.700%  4/1/35  7,500  7,983 
Connecticut Light & Power Co.  6.350%  6/1/36  15,000  17,142 
Consolidated Edison Co. of New York Inc.  5.100%  6/15/33  9,600  9,049 
Consolidated Edison Co. of New York Inc.  6.200%  6/15/36  18,000  19,782 
Consolidated Edison Co. of New York Inc.  6.750%  4/1/38  12,990  15,335 
Consolidated Natural Gas Co.  6.800%  12/15/27  1,401  1,435 
Duke Energy Carolinas LLC  6.100%  6/1/37  50,000  55,081 
Duke Energy Carolinas LLC  6.000%  1/15/38  935  1,054 
Duke Energy Indiana Inc.  6.450%  4/1/39  10,000  11,724 
3 E.ON International Finance BV  6.650%  4/30/38  20,000  23,011 
3 Enel Finance International SA  6.800%  9/15/37  17,835  20,132 
3 Enel Finance International SA  6.000%  10/7/39  18,200  18,461 
FirstEnergy Corp.  7.375%  11/15/31  9,500  10,600 
Florida Power & Light Co.  5.625%  4/1/34  16,275  17,137 
Florida Power & Light Co.  5.400%  9/1/35  13,380  13,684 
Florida Power & Light Co.  6.200%  6/1/36  2,895  3,269 
Florida Power & Light Co.  5.960%  4/1/39  1,725  1,939 
Florida Power Corp.  6.750%  2/1/28  22,375  24,913 
Georgia Power Co.  5.950%  2/1/39  13,310  14,508 
Midamerican Energy Holdings Co.  6.125%  4/1/36  24,000  25,589 
National Rural Utilities Cooperative Finance         
Corp.  8.000%  3/1/32  50,000  59,850 
Northern States Power Co./MN  7.125%  7/1/25  20,000  23,759 
Northern States Power Co./MN  6.200%  7/1/37  40,000  44,952 
Oklahoma Gas & Electric Co.  6.500%  4/15/28  12,770  13,642 
Pacific Gas & Electric Co.  6.050%  3/1/34  11,700  12,827 
Pacific Gas & Electric Co.  5.800%  3/1/37  5,377  5,692 
Pacific Gas & Electric Co.  6.250%  3/1/39  23,650  26,827 
Pacificorp  6.100%  8/1/36  15,000  16,617 
Pacificorp  6.250%  10/15/37  3,700  4,158 
Pacificorp  6.350%  7/15/38  20,000  22,954 
Pacificorp  6.000%  1/15/39  34,100  37,419 
Potomac Electric Power Co.  7.900%  12/15/38  2,800  3,652 
PPL Electric Utilities Corp.  6.250%  5/15/39  10,075  11,112 
PSEG Power LLC  8.625%  4/15/31  19,005  25,069 
Public Service Electric & Gas Co.  5.800%  5/1/37  995  1,061 
Puget Sound Energy Inc.  6.724%  6/15/36  10,000  11,116 
Puget Sound Energy Inc.  6.274%  3/15/37  4,700  4,945 
3 Rochester Gas & Electric Corp.  8.000%  12/15/33  5,000  6,020 
San Diego Gas & Electric Co.  6.000%  6/1/26  25,000  27,093 
San Diego Gas & Electric Co.  6.000%  6/1/39  2,470  2,771 
South Carolina Electric & Gas Co.  6.625%  2/1/32  35,000  41,331 
Southern California Edison Co.  6.000%  1/15/34  12,575  14,066 
Southern California Edison Co.  5.350%  7/15/35  1,045  1,061 


Tampa Electric Co.  6.150%  5/15/37  35,000  37,236 
Union Electric Co.  8.450%  3/15/39  9,000  12,124 
Virginia Electric and Power Co.  6.000%  5/15/37  53,525  57,794 
Wisconsin Electric Power Co.  5.700%  12/1/36  10,365  10,823 
 
Natural Gas (1.6%)         
KeySpan Corp.  5.875%  4/1/33  12,000  12,210 
KeySpan Corp.  5.803%  4/1/35  10,000  10,086 
Sempra Energy  6.000%  10/15/39  20,000  20,171 
Texas Eastern Transmission LP  7.000%  7/15/32  17,000  19,822 
TransCanada Pipelines Ltd.  6.200%  10/15/37  5,000  5,371 
TransCanada Pipelines Ltd.  7.625%  1/15/39  46,800  59,554 
 
Other Utility (0.0%)         
Veolia Environnement  6.750%  6/1/38  1,860  2,109 
        1,068,904 
Total Corporate Bonds (Cost $6,186,978)        6,689,069 
Sovereign Bonds (U.S. Dollar-Denominated) (2.0%)         
3 EDF SA  6.950%  1/26/39  35,000  41,538 
Hydro Quebec  9.400%  2/1/21  30,000  41,731 
Italian Republic  6.875%  9/27/23  17,700  20,925 
Province of British Columbia Canada  6.500%  1/15/26  13,800  16,354 
Province of Quebec Canada  7.500%  9/15/29  24,500  32,015 
Province of Saskatchewan Canada  8.500%  7/15/22  5,000  6,897 
Total Sovereign Bonds (Cost $141,296)        159,460 
Taxable Municipal Bonds (6.9%)         
California GO  7.500%  4/1/34  23,995  24,871 
California GO  7.550%  4/1/39  10,000  10,450 
California Public Works Board Lease Rev.         
(Build America Bonds)  8.361%  10/1/34  4,995  5,182 
Commonwealth Financing Auth. Pennsylvania         
Rev.  5.197%  6/1/26  25,000  23,830 
Dallas TX Area Rapid Transit Rev.  5.999%  12/1/44  1,740  1,888 
Duke Univ. North Carolina Rev.  5.850%  4/1/37  38,850  41,343 
Illinois GO  5.100%  6/1/33  121,265  109,234 
Illinois State Tollway Highway Auth. Toll         
Highway Rev.  6.184%  1/1/34  13,530  14,625 
New Jersey Econ. Dev. Auth.  7.425%  2/15/29  50,002  55,806 
New Jersey Turnpike Auth. Rev.  7.414%  1/1/40  20,900  24,962 
New York Metro. Transp. Auth. Rev.  7.336%  11/15/39  22,060  26,435 
New York State Dormitory Auth. Rev.         
(Personal Income Tax)  5.628%  3/15/39  15,560  15,714 
North Texas Tollway Auth. Rev.  6.718%  1/1/49  17,110  18,664 
Oregon Community College Dist.  5.440%  6/30/23  10,595  10,687 
Oregon GO  4.759%  6/30/28  15,000  12,893 
President and Fellows of Harvard College  6.300%  10/1/37  56,345  59,034 
Princeton University  5.700%  3/1/39  13,300  14,236 
San Antonio TX Electric & Gas Rev.  5.985%  2/1/39  10,035  10,713 
Univ. of California Rev.  5.770%  5/15/43  7,940  8,242 
Univ. of Texas Permanent Univ. Fund Rev.  5.262%  7/1/39  12,800  12,860 
Washington GO  5.481%  8/1/39  8,890  9,142 
Wisconsin GO  5.700%  5/1/26  23,025  23,216 
Total Taxable Municipal Bonds (Cost $536,359)        534,027 


Tax-Exempt Municipal Bonds (0.2%)         
Los Angeles CA USD GO (Cost $19,678)  5.755%  7/1/29  19,500  19,216 
Temporary Cash Investment (0.5%)         
Repurchase Agreement (0.5%)         
J.P. Morgan Securities Inc.         
(Dated 10/30/09, Repurchase Value         
$35,600,000, collateralized by Federal         
National Mortgage Assn. 0.000%, 9/1/34-         
5/1/35) (Cost $35,600)  0.070%  11/2/09  35,600  35,600 
Total Investments (98.9%) (Cost $7,173,700)        7,694,404 
Other Assets and Liabilities-Net (1.1%)        83,501 
Net Assets (100%)        7,777,905 

1 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2009, the
aggregate value of these securities was $647,761,000, representing 8.3% of net assets.
GO—General Obligation Bond.
USD—United School District.

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

Swap Contracts: The fund may invest in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific bond issuer. The fund has sold credit protection through credit default swaps, to simulate investments in long bond positions that are either unavailable or considered to be less attractively priced in the bond market. The fund has also purchased credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an upfront payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional principal amount. If the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer the notional amount and take delivery of a debt instrument of the reference issuer of the same notional par amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for debt instruments of the relevant reference entity, as determined either in a market auction for credit default swaps of such reference entity or pursuant to a pre-agreed upon valuation procedure.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily and the change in value is recorded as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract. The primary risks associated with selling credit protection are that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash


Long-Term Investment-Grade Fund

settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A primary risk for all types of swaps is that a counterparty will default on its obligation to pay net amounts due to the fund. The fund's maximum risk of loss from counterparty credit risk is the amount of unrealized appreciation on the swap contract. This risk is mitigated by entering into swaps only with highly rated counterparties, a master netting arrangement between the fund and the counterparty and by the posting of collateral by the counterparty. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has posted. Any securities posted as collateral for open contracts are noted in the Schedule of Investments.

Credit Default Swaps           
         
      Up-Front Periodic 
      Premium  Premium  Unrealized
   Termination Notional  Received Receive Appreciation
   Date Amount  (Paid)   (Paid)  (Depreciation) 
Reference Entity   Counterparty1   ($000)  ($000)  (%)  ($000) 
Credit Protection Sold/Moody’s Rating           
CDX-IG11-10yr/Baa1  12/20/2018  GSCM200,000  4,241  1.400  5,280 
CDX-IG11-5yr/Baa1  12/20/2013  GSCM200,000  5,125  1.500  6,473 
 
Credit Protection Purchased           
XL Capital Ltd.  12/20/2013  GSCM 8,500  (1,318)  (5.000)  (2,507) 
          9,246 
1 GSCM—Goldman Sachs Capital Markets.           

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

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

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

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

At October 31, 2009, 100% of the fund's investments were valued based on Level 2 inputs.

At October 31, 2009, the cost of investment securities for tax purposes was $7,173,700,000. Net unrealized appreciation of investment securities for tax purposes was $520,704,000, consisting of unrealized gains of $610,624,000 on securities that had risen in value since their purchase and $89,920,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard GNMA Fund

Schedule of Investments
As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (95.5%)         
Conventional Mortgage-Backed Securities (90.6%)         
1,2 Fannie Mae Pool  5.500%  11/1/39  400,000  420,876 
1,2 Fannie Mae Pool  6.000%  11/1/39–12/1/39  3,217,500  3,411,124 
1,2 Fannie Mae Pool  6.500%  11/1/39  300,000  321,843 
1  Ginnie Mae I Pool  4.500%  11/15/33–6/15/39  1,089,172  1,106,504 
1  Ginnie Mae I Pool  5.000%  12/15/33–4/15/39  3,716,842  3,881,303 
1  Ginnie Mae I Pool  5.500%  1/15/24–5/15/39  8,360,795  8,858,574 
1  Ginnie Mae I Pool  6.000%  11/15/28–10/15/39  4,194,404  4,479,624 
1  Ginnie Mae I Pool  6.500%  3/15/28–5/15/39  4,380,201  4,673,779 
1  Ginnie Mae I Pool  7.000%  7/15/28–12/15/36  260,755  285,987 
1  Ginnie Mae I Pool  7.250%  1/15/27  155  171 
1  Ginnie Mae I Pool  7.500%  3/15/17–9/15/30  95,392  104,266 
1  Ginnie Mae I Pool  7.750%  2/15/27  182  200 
1  Ginnie Mae I Pool  8.000%  8/15/17–3/15/30  43,069  46,897 
1  Ginnie Mae I Pool  8.500%  10/15/22–12/15/22  9,661  10,512 
1  Ginnie Mae I Pool  9.000%  7/15/16–5/15/21  7,262  7,870 
1  Ginnie Mae I Pool  9.250%  9/15/16–7/15/17  50  54 
1  Ginnie Mae I Pool  9.500%  12/15/13–7/15/22  3,955  4,317 
1  Ginnie Mae I Pool  10.000%  2/15/14–8/15/19  162  177 
1  Ginnie Mae I Pool  11.000%  7/15/10–2/15/18  7  8 
1  Ginnie Mae I Pool  11.500%  1/15/13–8/15/13  33  36 
1  Ginnie Mae I Pool  13.000%  1/15/11  2  2 
1  Ginnie Mae I Pool  13.500%  5/15/10–12/15/14  5  6 
1  Ginnie Mae I Pool  14.000%  6/15/11  4  4 
1  Ginnie Mae I Pool  15.000%  5/15/12  1  1 
1  Ginnie Mae II Pool  4.000%  8/20/38–6/20/39  267,372  266,068 
1  Ginnie Mae II Pool  4.500%  8/20/38–1/20/39  4,522,063  4,589,192 
1  Ginnie Mae II Pool  5.000%  12/20/32–8/20/38  486,794  507,914 
1  Ginnie Mae II Pool  5.500%  1/20/34–4/20/37  69,573  73,843 
1  Ginnie Mae II Pool  6.000%  4/20/28–5/20/38  27,007  28,957 
1  Ginnie Mae II Pool  6.500%  2/20/38–2/20/39  97,263  103,528 
1  Ginnie Mae II Pool  7.000%  10/20/25–5/20/38  1,998  2,168 
1  Ginnie Mae II Pool  7.500%  6/20/25–8/20/25  515  566 
1  Ginnie Mae II Pool  8.000%  12/20/15–9/20/16  160  171 
1  Ginnie Mae II Pool  8.500%  3/20/16–1/20/17  683  734 
1  Ginnie Mae II Pool  9.000%  6/20/16–9/20/16  268  290 
1  Ginnie Mae II Pool  10.000%  7/20/14–8/20/18  47  49 
1  Ginnie Mae II Pool  11.000%  6/20/14–2/20/16  17  19 
1  Ginnie Mae II Pool  11.250%  9/20/15–2/20/16  37  39 
1  Ginnie Mae II Pool  11.500%  1/20/14–11/20/15  17  18 
1  Ginnie Mae II Pool  12.000%  6/20/14–1/20/16  42  48 
1  Ginnie Mae II Pool  12.500%  5/20/14–7/20/15  27  28 
1  Ginnie Mae II Pool  13.000%  9/20/13–1/20/15  20  22 
1  Ginnie Mae II Pool  13.500%  8/20/14–10/20/14  11  12 
          33,187,801 
Nonconventional Mortgage-Backed Securities (4.9%)       
1  Ginnie Mae II Pool  4.000%  10/20/39  91,269  93,840 
1,3 Government National Mortgage Assn.  0.445%  11/20/09  42,560  41,568 
1  Government National Mortgage Assn.  5.000%  7/15/23–11/1/39  1,422,984  1,472,869 


1 Government National Mortgage Assn.  5.500%  10/15/24–10/15/39  152,892  160,653 
1 Government National Mortgage Assn.  6.500%  4/20/31  6,544  7,022 
        1,775,952 
Total U.S. Government and Agency Obligations (Cost $33,994,914)    34,963,753 
Temporary Cash Investments (25.3%)         
Repurchase Agreements         
Banc of America Securities, LLC         
(Dated 10/30/09, Repurchase Value         
$716,605,000, collateralized by Federal         
National Mortgage Assn. 5.500%, 6/1/38         
and Government National Mortgage Assn.         
5.000%-6.500%, 8/20/38-9/20/39)  0.080%  11/2/09  716,600  716,600 
Barclays Capital Inc.         
(Dated 10/30/09, Repurchase Value         
$1,940,811,000, collateralized by U.S.         
Treasury Bond 8.125%, 8/15/21 and U.S.         
Treasury Note 0.875%-4.625%, 11/15/09-         
8/15/18  0.070%  11/2/09  1,940,800  1,940,800 
BNP Paribas Securities Corp.         
(Dated 10/30/09, Repurchase Value         
$2,455,616,000, collateralized Federal         
Home Loan Mortgage Corp. 5.000%-         
7.000%, 5/1/36-10/1/38 and Federal         
National Mortgage Assn. 5.000%-6.500%,         
11/1/35-12/1/48)  0.080%  11/2/09  2,455,600  2,455,600 
Deutsche Bank Securities, Inc.         
(Dated 10/30/09, Repurchase Value         
$1,419,009,000, collateralized by Federal         
Home Loan Mortgage Corp. 4.500%-         
7.000%, 11/1/18-11/1/39 and Federal         
National Mortgage Assn. 5.000%-7.000%,         
8/1/36-7/1/39)  0.080%  11/2/09  1,419,000  1,419,000 
Goldman, Sachs & Co.         
(Dated 10/30/09, Repurchase Value         
$2,077,712,000, collateralized by Federal         
National Mortgage Assn. 5.000%-6.500%,         
12/1/29-3/1/34 and Government National         
Mortgage Assn. 5.000%, 10/20/39)  0.070%  11/2/09  2,077,700  2,077,700 
J.P. Morgan Securities Inc.         
(Dated 10/30/09, Repurchase Value         
$666,504,000, collateralized by Federal         
National Mortgage Assn. 5.000%-7.500%,         
8/1/17-9/1/48)  0.070%  11/2/09  666,500  666,500 
Total Temporary Cash Investments (Cost $9,276,200)      9,276,200 
Total Investments (120.8%) (Cost $43,271,114)        44,239,953 
Other Assets and Liabilities-Net (-20.8%)4        (7,603,247) 
Net Assets (100%)        36,636,706 

1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
3 Adjustable-rate security.
4 Cash of $24,353,000, has been segregated as initial margin for open futures contracts.


GNMA Fund

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

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

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

At October 31, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value (Depreciation) 
10-Year United States Treasury Note/Bond  December 2009  10,191  1,208,748  2,870 
30-Year United States Treasury Note/Bond  December 2009  1,878  225,654  1,301 

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


GNMA Fund

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

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

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

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

The following table summarizes the fund's investments as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  34,963,753  — 
Temporary Cash Investments  —  9,276,200  — 
Futures Contracts—Assets1  11,835  —  — 
Total  11,835  44,239,953  — 

1 Represents variation margin on the last day of the reporting period.

At October 31, 2009, the cost of investment securities for tax purposes was $43,271,114,000. Net unrealized appreciation of investment securities for tax purposes was $968,839,000, consisting of unrealized gains of $992,670,000 on securities that had risen in value since their purchase and $23,831,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Investment-Grade Fund

Schedule of Investments
As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (10.7%)         
U.S. Government Securities (7.5%)         
  United States Treasury Inflation Indexed         
  Bonds  3.500%  1/15/11  350,000  453,024 
  United States Treasury Inflation Indexed         
  Bonds  2.375%  4/15/11  275,000  309,220 
  United States Treasury Inflation Indexed         
  Bonds  3.375%  1/15/12  150,000  195,120 
*  United States Treasury Note/Bond  3.500%  2/15/10  31,800  32,103 
  United States Treasury Note/Bond  3.625%  6/15/10  2,033  2,076 
  United States Treasury Note/Bond  1.500%  10/31/10  40,550  40,987 
  United States Treasury Note/Bond  1.250%  11/30/10  256,360  258,603 
2  United States Treasury Note/Bond  0.875%  2/28/11  523,115  525,485 
  United States Treasury Note/Bond  1.375%  2/15/12  234,500  236,149 
  United States Treasury Note/Bond  1.375%  3/15/12  17,000  17,109 
  United States Treasury Note/Bond  1.875%  6/15/12  100,000  101,688 
  United States Treasury Note/Bond  2.750%  10/31/13  88,000  90,846 
  United States Treasury Note/Bond  2.625%  6/30/14  95,809  97,635 
          2,360,045 
Agency Bonds and Notes (1.6%)         
1  Bank of America Corp.  2.100%  4/30/12  106,000  107,816 
1  Citigroup Funding Inc.  2.000%  3/30/12  40,000  40,530 
1  Citigroup Inc.  2.125%  4/30/12  58,000  58,957 
3,4 Federal Farm Credit Bank  0.206%  5/4/10  67,700  67,700 
1  General Electric Capital Corp.  2.250%  3/12/12  60,000  61,181 
1  General Electric Capital Corp.  2.000%  9/28/12  40,000  40,352 
1  Morgan Stanley  3.250%  12/1/11  63,000  65,736 
1  US Central Federal Credit Union  1.900%  10/19/12  22,000  22,140 
1  Western Corporate Federal Credit Union  1.750%  11/2/12  23,500  23,481 
          487,893 
Conventional Mortgage-Backed Securities (0.8%)         
3,5 Fannie Mae Pool  7.000%  10/1/11–4/1/13  377  387 
3,5 Fannie Mae Pool  6.500%  12/1/11–9/1/16  12,395  13,351 
3,5 Fannie Mae Pool  7.500%  3/1/15  242  256 
3,5 Fannie Mae Pool  6.000%  12/1/16–5/1/17  14,640  15,770 
3,5 Fannie Mae Pool  5.500%  7/1/37–11/1/38  40,635  42,831 
3,5 Fannie Mae Pool  5.000%  2/1/38–4/1/39  40,686  42,239 
3,5 Freddie Mac Gold Pool  6.000%  3/1/17–4/1/17  9,853  10,608 
3,5 Freddie Mac Gold Pool  5.000%  12/1/37–11/1/39  127,321  132,128 
          257,570 
Nonconventional Mortgage-Backed Securities (0.8%)         
3,5 Fannie Mae Pool  2.798%  6/1/33  9,103  9,316 
3,5 Fannie Mae Pool  2.834%  5/1/33  7,974  8,167 
3,5 Fannie Mae Pool  3.050%  8/1/32  1,034  1,058 
3,5 Fannie Mae Pool  3.060%  7/1/32  848  865 
3,5 Fannie Mae Pool  3.215%  9/1/32  466  477 
3,5 Fannie Mae Pool  3.328%  9/1/32  501  516 
3,5 Fannie Mae Pool  3.410%  8/1/33  2,993  3,089 
3,5 Fannie Mae Pool  3.444%  9/1/33  9,476  9,803 
3,5 Fannie Mae Pool  3.483%  9/1/33  13,653  14,069 


3,5 Fannie Mae Pool  3.519%  8/1/33  843  881 
3,5 Fannie Mae Pool  3.541%  8/1/33  4,319  4,390 
3,5 Fannie Mae Pool  3.541%  8/1/33  2,803  2,880 
3,5 Fannie Mae Pool  3.545%  7/1/33  5,335  5,503 
3,5 Fannie Mae Pool  3.550%  8/1/33  7,618  7,849 
3,5 Fannie Mae Pool  3.559%  8/1/33  6,548  6,748 
3,5 Fannie Mae Pool  3.587%  7/1/33  9,614  9,920 
3,5 Fannie Mae Pool  3.591%  4/1/33  4,761  4,888 
3,5 Fannie Mae Pool  3.602%  7/1/33  15,662  16,168 
3,5 Fannie Mae Pool  3.785%  4/1/33  3,305  3,403 
3,5 Fannie Mae Pool  3.834%  6/1/33  15,386  15,872 
3,5 Fannie Mae Pool  3.883%  10/1/33  4,397  4,578 
3,5 Fannie Mae Pool  4.041%  5/1/33  10,729  11,108 
3,5 Fannie Mae Pool  4.046%  5/1/33  5,049  5,247 
3,5 Fannie Mae Pool  4.061%  5/1/33  2,123  2,176 
3,5 Fannie Mae Pool  4.157%  12/1/32  1,162  1,179 
3,5 Fannie Mae Pool  5.473%  8/1/37  5,707  5,997 
3,5 Fannie Mae Pool  5.565%  2/1/37  6,796  7,156 
3,5 Freddie Mac Non Gold Pool  3.227%  8/1/32  1,157  1,172 
3,5 Freddie Mac Non Gold Pool  3.244%  8/1/32  2,005  2,012 
3,5 Freddie Mac Non Gold Pool  3.254%  9/1/32  1,455  1,507 
3,5 Freddie Mac Non Gold Pool  3.390%  9/1/32  1,073  1,113 
3,5 Freddie Mac Non Gold Pool  3.393%  9/1/32  1,750  1,814 
3,5 Freddie Mac Non Gold Pool  3.511%  7/1/32  773  802 
3,5 Freddie Mac Non Gold Pool  3.518%  8/1/32  1,173  1,216 
3,5 Freddie Mac Non Gold Pool  3.556%  8/1/33  4,208  4,359 
3,5 Freddie Mac Non Gold Pool  3.680%  7/1/33  15,573  16,086 
3,5 Freddie Mac Non Gold Pool  3.690%  8/1/33  2,630  2,741 
3,5 Freddie Mac Non Gold Pool  3.702%  8/1/33  2,382  2,452 
3,5 Freddie Mac Non Gold Pool  3.948%  6/1/33  5,211  5,359 
3,5 Freddie Mac Non Gold Pool  3.966%  6/1/33  4,672  4,828 
3,5 Freddie Mac Non Gold Pool  4.156%  5/1/33  2,949  3,015 
3,5 Freddie Mac Non Gold Pool  4.194%  5/1/33  3,947  4,048 
3,5 Freddie Mac Non Gold Pool  4.461%  2/1/33  1,218  1,267 
3,5 Freddie Mac Non Gold Pool  4.748%  10/1/32  1,239  1,295 
3,5 Freddie Mac Non Gold Pool  4.978%  1/1/33  1,389  1,448 
3,5 Freddie Mac Non Gold Pool  5.855%  8/1/37  31,110  32,852 
          252,689 
Total U.S. Government and Agency Obligations (Cost $3,322,984)      3,358,197 
Asset-Backed/Commercial Mortgage-Backed Securities (23.1%)       
5  Ally Auto Receivables Trust  2.330%  6/17/13  28,775  28,985 
5  Ally Auto Receivables Trust  3.000%  10/15/15  11,525  11,598 
4,5 American Express Credit Account Master         
  Trust  0.285%  2/15/13  28,421  28,370 
4,5,American Express Credit Account Master         
6 Trust  0.575%  6/17/13  2,700  2,634 
4,5,American Express Credit Account Master         
6 Trust  0.535%  8/15/13  6,830  6,494 
4,5 American Express Credit Account Master         
  Trust  0.275%  12/15/13  22,500  22,340 
4,5,American Express Credit Account Master         
6 Trust  0.525%  12/15/13  3,400  3,262 
4,5,American Express Credit Account Master         
6 Trust  0.525%  3/17/14  3,400  3,255 
4,5 American Express Credit Account Master         
  Trust  1.495%  3/15/17  78,750  80,664 
4,5 AmeriCredit Automobile Receivables Trust  5.244%  1/6/15  61,196  64,778 


4,5 AmeriCredit Automobile Receivables Trust  5.244%  4/6/15  55,124  58,829 
5  Americredit Prime Automobile Receivable  1.000%  1/15/14  4,300  4,299 
5  Americredit Prime Automobile Receivable  1.000%  12/15/14  3,340  3,339 
6  BA Covered Bond Issuer  5.500%  6/14/12  36,600  38,627 
4,5 BA Credit Card Trust  0.825%  4/15/13  58,800  58,734 
4,5 BA Credit Card Trust  0.265%  6/17/13  44,920  44,556 
4,5 BA Credit Card Trust  0.275%  11/15/13  8,025  7,933 
4,5 BA Credit Card Trust  1.445%  12/16/13  168,200  169,520 
4,5 BA Credit Card Trust  0.245%  4/15/14  25,850  25,436 
4,5 BA Credit Card Trust  0.945%  12/15/14  106,000  105,613 
5  Banc of America Commercial Mortgage Inc.  5.334%  9/10/45  14,475  14,621 
5  Banc of America Funding Corp.  5.547%  9/20/46  58,009  36,406 
5  Banc of America Mortgage Securities Inc.  3.666%  9/25/32  122  116 
5  Banc of America Mortgage Securities Inc.  5.469%  2/25/33  514  473 
5  Banc of America Mortgage Securities Inc.  3.914%  5/25/33  1,723  1,582 
5  Banc of America Mortgage Securities Inc.  4.172%  7/25/33  3,621  3,334 
5  Banc of America Mortgage Securities Inc.  5.443%  2/25/34  3,536  3,227 
5,6 Bank of America Auto Trust  2.130%  9/15/13  28,825  29,193 
5,6 Bank of America Auto Trust  3.030%  10/15/16  34,161  34,755 
4,5 Bank One Issuance Trust  0.365%  5/15/14  15,796  15,715 
5  Bear Stearns Adjustable Rate Mortgage Trust  5.713%  10/25/36  65,543  42,042 
5  Bear Stearns Adjustable Rate Mortgage Trust  5.434%  5/25/47  53,911  37,532 
4,5 Bear Stearns Commercial Mortgage         
  Securities  5.719%  6/11/40  6,500  5,992 
5  Bear Stearns Commercial Mortgage         
  Securities  5.540%  9/11/41  9,540  9,523 
5  Bear Stearns Commercial Mortgage         
  Securities  5.478%  10/12/41  46,800  47,712 
5  Bear Stearns Commercial Mortgage         
  Securities  4.254%  7/11/42  8,956  8,895 
5  Bear Stearns Commercial Mortgage         
  Securities  4.871%  9/11/42  6,557  6,324 
5  Bear Stearns Commercial Mortgage         
  Securities  5.330%  1/12/45  11,250  11,479 
5  Bear Stearns Commercial Mortgage         
  Securities  5.574%  6/11/50  45,000  45,445 
5  Bear Stearns Commercial Mortgage         
  Securities  5.613%  6/11/50  40,000  40,175 
4,5,           
6 BMW Floorplan Master Owner Trust  1.394%  9/15/14  27,325  27,379 
5  BMW Vehicle Lease Trust  2.910%  3/15/12  110,500  112,794 
5  BMW Vehicle Lease Trust  3.660%  8/15/13  20,150  20,755 
5,6 Cabela's Master Credit Card Trust  4.310%  12/16/13  59,750  60,807 
5  Capital Auto Receivables Asset Trust  5.000%  12/15/11  15,760  16,146 
5  Capital One Auto Finance Trust  5.250%  8/15/11  2,177  2,183 
4,5 Capital One Multi-Asset Execution Trust  0.535%  4/15/13  3,025  2,984 
4,5 Capital One Multi-Asset Execution Trust  0.535%  7/15/13  27,400  27,340 
5  Capital One Multi-Asset Execution Trust  6.000%  8/15/13  5,700  5,698 
5  Capital One Multi-Asset Execution Trust  5.300%  2/18/14  4,300  4,537 
4,5 Capital One Multi-Asset Execution Trust  0.275%  3/17/14  129,375  128,259 
4,5 Capital One Multi-Asset Execution Trust  0.535%  3/17/14  3,380  3,216 
5  Capital One Multi-Asset Execution Trust  3.200%  4/15/14  159,000  163,204 
4,5 Capital One Multi-Asset Execution Trust  0.375%  8/15/14  5,000  4,950 
4,5 Capital One Multi-Asset Execution Trust  0.545%  11/15/14  10,200  9,166 
4,5 Capital One Multi-Asset Execution Trust  0.325%  9/15/15  13,205  12,982 
4,5 Capital One Multi-Asset Execution Trust  0.305%  1/15/16  20,750  20,347 
5  Capital One Multi-Asset Execution Trust  5.050%  2/15/16  46,500  50,210 
4,5 Capital One Multi-Asset Execution Trust  0.275%  4/15/16  16,995  16,503 


4,5 Capital One Multi-Asset Execution Trust  0.455%  12/15/16  2,675  2,599 
4,5 Capital One Multi-Asset Execution Trust  0.335%  6/17/19  11,460  10,678 
4,5 Capital One Multi-Asset Execution Trust  0.325%  12/16/19  133,380  123,549 
4,5 Chase Issuance Trust  0.265%  11/15/13  6,625  6,579 
4,5 Chase Issuance Trust  0.599%  6/16/14  46,250  46,079 
4,5 Chase Issuance Trust  0.285%  7/15/14  23,000  22,750 
4,5 Chase Issuance Trust  0.315%  12/15/14  11,910  11,780 
4,5 Chase Issuance Trust  0.315%  12/15/14  11,100  10,999 
5  Chase Issuance Trust  4.650%  3/15/15  164,000  176,238 
5  Chase Issuance Trust  5.400%  7/15/15  80,000  88,059 
4,5 Chase Issuance Trust  0.365%  9/15/15  3,900  3,854 
4,5 Chase Issuance Trust  1.799%  9/15/15  65,750  68,185 
5  Citibank Credit Card Issuance Trust  5.450%  5/10/13  31,585  33,529 
4,5 Citibank Credit Card Issuance Trust  0.895%  7/15/13  22,075  21,170 
4,5 Citibank Credit Card Issuance Trust  0.655%  7/15/14  36,250  32,249 
4,5 Citibank Credit Card Issuance Trust  0.595%  8/20/14  29,300  29,064 
4,5 Citibank Credit Card Issuance Trust  0.315%  10/20/14  48,950  48,126 
4,5 Citibank Credit Card Issuance Trust  0.864%  11/7/14  8,970  8,614 
4,5 Citibank Credit Card Issuance Trust  0.495%  12/17/14  87,300  86,325 
5  Citibank Credit Card Issuance Trust  4.850%  4/22/15  216,700  233,137 
5  Citibank Credit Card Issuance Trust  4.900%  6/23/16  83,000  90,707 
4,5 Citibank Credit Card Issuance Trust  1.445%  5/22/17  22,500  22,947 
4,5 Citibank Credit Card Issuance Trust  0.359%  12/17/18  16,300  15,264 
5  Citibank Credit Card Issuance Trust  5.650%  9/20/19  24,075  26,664 
4,5 Citibank Credit Card Issuance Trust  1.620%  5/20/20  61,200  63,172 
4,5,           
6 Citibank Omni Master Trust  2.345%  5/16/16  89,500  91,008 
5,6 Citibank Omni Master Trust  5.350%  8/15/18  52,325  54,284 
5,6 CitiFinancial Auto Issuance Trust  2.590%  10/15/13  59,700  59,476 
5,6 CitiFinancial Auto Issuance Trust  3.150%  8/15/16  16,125  15,996 
5  Citigroup Commercial Mortgage Trust  5.699%  12/10/49  41,000  41,488 
5  Citigroup Mortgage Loan Trust Inc.  5.894%  7/25/37  34,415  25,812 
5  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.655%  11/15/44  14,270  14,382 
5  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.205%  12/11/49  60,025  60,518 
5  CNH Equipment Trust  4.120%  5/15/12  17,410  17,643 
5  CNH Equipment Trust  5.280%  11/15/12  13,000  13,741 
5  CNH Equipment Trust  2.970%  3/15/13  35,800  36,448 
5  Commercial Mortgage Pass Through         
  Certificates  5.811%  12/10/49  19,000  19,255 
5  Countrywide Home Loan Mortgage Pass         
  Through Trust  4.100%  5/25/33  3,809  3,125 
5  Countrywide Home Loan Mortgage Pass         
  Through Trust  4.034%  11/19/33  5,367  5,087 
5  Countrywide Home Loan Mortgage Pass         
  Through Trust  5.305%  3/20/36  27,608  16,441 
5  Countrywide Home Loan Mortgage Pass         
  Through Trust  5.342%  2/25/47  35,652  18,271 
4,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.230%  12/15/40  45,700  45,118 
5  Credit Suisse Mortgage Capital Certificates  5.825%  6/15/38  15,800  13,995 
5  Credit Suisse Mortgage Capital Certificates  5.512%  2/15/39  20,800  20,889 
5  Credit Suisse Mortgage Capital Certificates  5.722%  6/15/39  36,575  36,978 
5  Credit Suisse Mortgage Capital Certificates  5.589%  9/15/40  29,100  29,212 
5  Daimler Chrysler Auto Trust  4.980%  2/8/11  3,529  3,548 
5  Daimler Chrysler Auto Trust  3.700%  6/8/12  30,991  31,429 
5  Daimler Chrysler Auto Trust  4.710%  9/10/12  19,100  19,677 


5  Discover Card Master Trust  5.100%  10/15/13  23,925  25,089 
4,5 Discover Card Master Trust  1.545%  12/15/14  146,105  147,123 
4,5 Discover Card Master Trust  1.545%  2/17/15  77,375  77,737 
4,5 Discover Card Master Trust  0.639%  6/15/15  58,450  57,020 
5  Discover Card Master Trust  5.650%  12/15/15  79,100  86,555 
5  Discover Card Master Trust  5.650%  3/16/20  25,720  28,320 
4,5 Discover Card Master Trust I  0.620%  10/16/13  25,400  25,096 
4,5 Discover Card Master Trust I  0.295%  10/16/14  5,965  5,822 
4,5 Discover Card Master Trust I  0.335%  6/16/15  7,900  7,646 
4,5 Discover Card Master Trust I  0.325%  1/19/16  64,488  61,899 
4,5 Discover Card Master Trust I  0.325%  9/15/16  14,000  13,310 
5  Fifth Third Auto Trust  4.070%  1/17/12  67,600  68,621 
5  First Horizon Asset Securities Inc.  5.640%  11/25/36  23,232  18,820 
4,5 First Horizon Asset Securities Inc.  5.481%  1/25/37  56,384  41,767 
5,6 Ford Credit Auto Lease Trust  3.710%  1/15/14  35,700  36,664 
5  Ford Credit Auto Owner Trust  5.160%  11/15/10  1,722  1,724 
5  Ford Credit Auto Owner Trust  5.250%  9/15/11  37,246  37,997 
5  Ford Credit Auto Owner Trust  5.150%  11/15/11  20,188  20,523 
5  Ford Credit Auto Owner Trust  3.960%  4/15/12  14,610  14,874 
5  Ford Credit Auto Owner Trust  4.280%  5/15/12  91,500  93,726 
5  Ford Credit Auto Owner Trust  4.950%  3/15/13  5,550  5,852 
4,5 Ford Credit Auto Owner Trust  1.995%  4/15/13  36,100  36,639 
5  Ford Credit Auto Owner Trust  2.790%  8/15/13  104,500  106,625 
5  Ford Credit Auto Owner Trust  2.170%  10/15/13  33,550  33,895 
5  Ford Credit Auto Owner Trust  4.500%  7/15/14  25,200  26,562 
5  Ford Credit Auto Owner Trust  2.980%  8/15/14  12,925  13,006 
4,5 Ford Credit Floorplan Master Owner Trust  1.794%  9/15/14  62,700  62,708 
5  GE Capital Commercial Mortgage Corp.  4.974%  7/10/45  3,960  3,840 
5  GE Capital Commercial Mortgage Corp.  4.353%  6/10/48  19,646  19,628 
4,5 GE Capital Credit Card Master Note Trust  0.285%  3/15/13  17,600  17,558 
5  GMAC Mortgage Corp. Loan Trust  5.312%  11/19/35  10,414  9,270 
4,5,           
6 Golden Credit Card Trust  1.245%  7/15/17  91,100  85,781 
4,5 Granite Master Issuer PLC  0.285%  12/17/54  6,320  5,498 
4,5 Granite Master Issuer PLC  0.315%  12/20/54  18,816  16,494 
5  Greenwich Capital Commercial Funding Corp.  4.799%  8/10/42  16,700  15,710 
5  Harley-Davidson Motorcycle Trust  5.240%  1/15/12  650  653 
5  Harley-Davidson Motorcycle Trust  5.220%  3/15/12  4,496  4,539 
5  Harley-Davidson Motorcycle Trust  5.100%  5/15/12  10,820  10,954 
5,6 Harley-Davidson Motorcycle Trust  5.040%  10/15/12  12,166  12,345 
5  Harley-Davidson Motorcycle Trust  3.190%  11/15/13  21,620  22,156 
5  Harley-Davidson Motorcycle Trust  2.620%  3/15/14  65,300  66,425 
5  Harley-Davidson Motorcycle Trust  3.320%  2/15/17  8,780  8,938 
5  Harley-Davidson Motorcycle Trust  2.540%  4/15/17  8,000  8,066 
5,6 Hertz Vehicle Financing LLC  5.290%  3/25/16  54,400  54,494 
5  Hyundai Auto Receivables Trust  3.150%  3/15/16  26,200  26,373 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.625%  3/15/46  20,175  20,179 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.298%  5/15/47  18,700  18,095 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.803%  6/15/49  50,700  50,903 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.629%  2/12/51  24,053  24,403 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.827%  2/15/51  44,610  45,161 
5,6 JPMorgan Auto Receivables Trust  5.220%  9/15/12  52,000  53,986 


4,5,           
6 Kildare Securities Ltd.  0.362%  12/10/43  39,407  36,652 
5  LB-UBS Commercial Mortgage Trust  5.303%  2/15/40  37,500  37,866 
5  LB-UBS Commercial Mortgage Trust  5.318%  2/15/40  23,300  23,500 
5  Master Adjustable Rate Mortgages Trust  3.042%  4/25/34  7,261  5,841 
5  Merrill Lynch Mortgage Investors Inc.  2.228%  2/25/33  4,880  3,660 
5  Merrill Lynch Mortgage Investors Inc.  3.566%  7/25/33  2,357  2,154 
5  Merrill Lynch Mortgage Trust  4.556%  6/12/43  16,397  16,502 
5  Merrill Lynch Mortgage Trust  5.724%  6/12/50  38,100  38,390 
5  Merrill Lynch Mortgage Trust  5.425%  2/12/51  3,700  3,767 
5  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.282%  8/12/48  23,500  23,282 
5  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.693%  6/12/50  10,300  10,318 
5  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.331%  3/12/51  19,865  19,730 
5  Morgan Stanley Capital I  5.649%  6/11/42  81,050  81,882 
5  Morgan Stanley Capital I  4.989%  8/13/42  5,400  5,318 
5  Morgan Stanley Capital I  5.770%  10/15/42  25,900  25,353 
5  Morgan Stanley Capital I  5.374%  3/12/44  25,330  25,589 
5  Morgan Stanley Capital I  5.623%  12/12/49  16,800  16,932 
5  Morgan Stanley Capital I  5.090%  10/12/52  19,825  20,009 
5  Morgan Stanley Mortgage Loan Trust  5.362%  6/25/36  33,110  28,172 
4,5 MSDWCC Heloc Trust  0.784%  11/25/15  1,963  1,223 
4,5 National City Credit Card Master Trust  0.295%  8/15/12  57,400  56,999 
4,5 National City Credit Card Master Trust  0.295%  3/17/14  24,825  23,714 
4,5,           
6 Navistar Financial Dealer Note Master Trust  0.295%  10/26/15  23,900  23,900 
5  Nissan Auto Lease Trust  2.920%  12/15/11  64,290  65,601 
5  Nissan Auto Lease Trust  3.510%  11/17/14  9,200  9,449 
5  Nissan Auto Lease Trust  2.070%  1/15/15  52,625  52,819 
5  Nissan Auto Lease Trust  2.650%  1/15/15  13,750  13,864 
5  Nissan Auto Receivables Owner Trust  5.930%  7/16/12  34,250  36,161 
5  Nissan Auto Receivables Owner Trust  3.200%  2/15/13  11,050  11,386 
5  Nissan Auto Receivables Owner Trust  5.000%  9/15/14  70,400  74,533 
5  Nissan Auto Receivables Owner Trust  4.740%  8/17/15  18,292  19,632 
4,5,Nordstrom Private Label Credit Card Master         
6 Note Trust  0.305%  5/15/15  113,210  106,049 
4,5 Permanent Master Issuer PLC  0.334%  1/15/16  32,800  32,673 
5  Residential Funding Mortgage Securities I  5.839%  8/25/36  46,674  33,449 
5  Residential Funding Mortgage Securities I  5.940%  9/25/36  20,629  15,117 
5  Salomon Brothers Mortgage Securities VII Inc.  3.689%  9/25/33  11,312  10,071 
5  Sequoia Mortgage Trust  5.624%  9/20/46  56,550  36,583 
4,5 Swift Master Auto Receivables Trust  0.345%  6/15/12  12,100  11,975 
4,5 Swift Master Auto Receivables Trust  0.895%  10/15/12  21,395  21,167 
5  USAA Auto Owner Trust  3.020%  6/17/13  79,000  81,002 
5  USAA Auto Owner Trust  4.500%  10/15/13  28,020  29,544 
5  USAA Auto Owner Trust  4.710%  2/18/14  68,375  72,426 
5  Volkswagen Auto Lease Trust  3.410%  4/16/12  55,380  56,945 
5  Volkswagen Auto Loan Enhanced Trust  5.470%  3/20/13  92,350  98,693 
4,5 Wachovia Asset Securitization Inc.  0.504%  6/25/33  1,405  862 
5  Wachovia Auto Owner Trust  5.390%  9/20/11  10,061  10,193 
5  Wachovia Bank Commercial Mortgage Trust  4.847%  10/15/41  21,500  21,110 
4,5 Wachovia Bank Commercial Mortgage Trust  5.209%  10/15/44  2,500  2,490 
5  Wachovia Bank Commercial Mortgage Trust  5.569%  5/15/46  29,100  28,558 
5  Wachovia Bank Commercial Mortgage Trust  5.275%  11/15/48  16,490  16,637 
5  WaMu Mortgage Pass Through Certificates  4.478%  1/25/33  500  460 
5  WaMu Mortgage Pass Through Certificates  2.849%  8/25/33  4,214  3,813 


5  WaMu Mortgage Pass Through Certificates  2.832%  9/25/33  5,667  4,955 
5  Wells Fargo Home Equity Trust  3.970%  5/25/34  6,488  6,322 
5  Wells Fargo Mortgage Backed Securities         
  Trust  5.617%  10/25/36  52,359  39,807 
5  World Omni Auto Receivables Trust  3.940%  10/15/12  15,880  16,220 
5  World Omni Auto Receivables Trust  5.130%  4/15/13  21,500  22,409 
5  World Omni Auto Receivables Trust  3.330%  5/15/13  27,620  28,379 
5  World Omni Auto Receivables Trust  5.120%  5/15/14  16,410  17,706 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $7,221,054)    7,226,287 
Corporate Bonds (55.7%)         
Finance (27.9%)         
  Banking (18.6%)         
6  ADCB Finance Cayman Ltd.  4.750%  10/8/14  5,000  4,973 
  American Express Bank FSB  5.550%  10/17/12  13,900  14,871 
  American Express Bank FSB  5.500%  4/16/13  39,300  41,626 
4  American Express Centurion Bank  0.405%  11/16/09  9,500  9,500 
  American Express Centurion Bank  5.200%  11/26/10  29,300  30,478 
  American Express Co.  5.250%  9/12/11  8,300  8,738 
  American Express Co.  4.875%  7/15/13  4,880  5,042 
  American Express Co.  7.250%  5/20/14  48,320  54,828 
4  American Express Credit Corp.  0.396%  10/4/10  19,600  19,410 
  American Express Credit Corp.  5.875%  5/2/13  9,360  10,044 
  American Express Credit Corp.  7.300%  8/20/13  47,545  53,405 
6  ANZ National International Ltd./New Zealand  6.200%  7/19/13  18,175  19,802 
  Astoria Financial Corp.  5.750%  10/15/12  12,000  10,964 
  BAC Capital Trust XIV  5.630%  12/31/49  44,443  30,555 
5,6 Banco Mercantil del Norte SA  6.135%  10/13/16  19,550  19,010 
4,6 Banco Santander Chile  0.659%  12/9/09  18,900  18,866 
4  Bank of America Corp.  0.583%  8/2/10  20,000  19,971 
  Bank of America Corp.  5.375%  8/15/11  59,361  62,765 
  Bank of America Corp.  5.375%  9/11/12  40,870  43,414 
  Bank of America Corp.  4.875%  1/15/13  20,722  21,507 
  Bank of America Corp.  8.000%  12/29/49  19,500  17,453 
  Bank of New York Mellon Corp.  7.300%  12/1/09  4,900  4,920 
  Bank of New York Mellon Corp.  4.950%  1/14/11  14,700  15,313 
  Bank of New York Mellon Corp.  5.125%  11/1/11  3,450  3,700 
  Bank of New York Mellon Corp.  6.375%  4/1/12  3,705  4,055 
  Bank of New York Mellon Corp.  4.950%  11/1/12  14,645  15,846 
  Bank of New York Mellon Corp.  4.500%  4/1/13  20,700  21,983 
  Bank of New York Mellon Corp.  5.125%  8/27/13  8,466  9,157 
  Bank of New York Mellon Corp.  4.950%  3/15/15  32,675  35,088 
4,6 Bank of Scotland PLC  0.374%  12/8/10  89,800  87,660 
  Bank of Tokyo-Mitsubishi UFJ Ltd./New York         
  NY  7.400%  6/15/11  9,825  10,659 
  Bank One Corp.  5.250%  1/30/13  16,815  17,820 
  Barclays Bank PLC  7.400%  12/15/09  6,788  6,811 
  Barclays Bank PLC  5.450%  9/12/12  40,490  43,810 
  Barclays Bank PLC  5.200%  7/10/14  83,225  88,617 
6  Barclays Bank PLC  7.375%  12/15/49  4,420  4,038 
  BB&T Corp.  3.100%  7/28/11  4,875  4,980 
  BB&T Corp.  6.500%  8/1/11  30,375  32,391 
  BB&T Corp.  3.850%  7/27/12  90,000  93,118 
  BB&T Corp.  3.375%  9/25/13  23,450  23,744 
  BB&T Corp.  5.700%  4/30/14  39,725  42,847 
  Bear Stearns Cos. LLC  4.500%  10/28/10  24,158  25,048 
4  Bear Stearns Cos. LLC  0.511%  1/31/11  25,020  25,004 
  Bear Stearns Cos. LLC  5.350%  2/1/12  9,400  10,023 


  Bear Stearns Cos. LLC  6.950%  8/10/12  136,140  152,279 
  Bear Stearns Cos. LLC  5.700%  11/15/14  9,700  10,615 
6  BNP Paribas  4.800%  6/24/15  13,800  14,268 
4,6 BTMU Curacao Holdings NV  0.606%  12/19/16  36,725  35,543 
  Capital One Bank USA NA  5.750%  9/15/10  3,732  3,867 
  Capital One Bank USA NA  6.500%  6/13/13  4,875  5,145 
  Capital One Financial Corp.  4.800%  2/21/12  29,250  30,260 
  Capital One Financial Corp.  7.375%  5/23/14  51,872  58,906 
6  CBA Capital Trust II  6.024%  3/15/49  21,125  17,217 
6  CBG Florida REIT Corp.  7.114%  2/15/49  25,100  126 
  Charter One Bank NA  5.500%  4/26/11  16,400  17,228 
  Citigroup Inc.  5.125%  2/14/11  31,225  32,310 
  Citigroup Inc.  5.100%  9/29/11  8,000  8,334 
  Citigroup Inc.  5.625%  8/27/12  36,075  37,252 
  Citigroup Inc.  5.300%  10/17/12  84,202  88,375 
  Citigroup Inc.  5.500%  4/11/13  89,358  93,451 
  Citigroup Inc.  6.500%  8/19/13  95,365  102,281 
  Citigroup Inc.  6.375%  8/12/14  8,425  8,955 
6  Commonwealth Bank of Australia  2.750%  10/15/12  109,000  110,055 
6  Commonwealth Bank of Australia  5.000%  11/6/12  19,600  20,557 
  Countrywide Financial Corp.  5.800%  6/7/12  6,800  7,200 
  Countrywide Home Loans Inc.  4.000%  3/22/11  50,453  51,399 
6  Credit Agricole SA  6.637%  5/31/49  7,600  6,080 
4,6 Credit Agricole SA/London  0.422%  5/28/10  93,750  92,988 
4  Credit Suisse USA Inc.  0.640%  8/15/10  41,500  41,548 
  Credit Suisse USA Inc.  5.250%  3/2/11  15,600  16,477 
  Credit Suisse USA Inc.  5.500%  8/16/11  27,600  29,532 
  Credit Suisse USA Inc.  6.125%  11/15/11  39,441  42,888 
  Credit Suisse USA Inc.  6.500%  1/15/12  11,732  12,907 
  Credit Suisse USA Inc.  5.125%  1/15/14  5,400  5,750 
  Credit Suisse/New York NY  3.450%  7/2/12  103,000  106,559 
  Credit Suisse/New York NY  5.000%  5/15/13  55,350  59,113 
  Credit Suisse/New York NY  5.500%  5/1/14  65,985  71,769 
4,6 DBS Bank Ltd./Singapore  0.660%  5/16/17  52,310  49,368 
  Deutsche Bank AG/London  5.375%  10/12/12  73,960  80,348 
  Deutsche Bank AG/London  4.875%  5/20/13  36,066  38,511 
  Fifth Third Bancorp  6.250%  5/1/13  76,052  78,676 
4  First Tennessee Bank NA  0.433%  12/17/09  23,500  23,504 
  FleetBoston Financial Corp.  7.375%  12/1/09  5,000  5,023 
  Goldman Sachs Capital II  5.793%  12/29/49  19,430  14,665 
4  Goldman Sachs Group Inc.  0.369%  12/23/09  49,750  49,759 
4  Goldman Sachs Group Inc.  0.583%  6/28/10  45,030  45,075 
  Goldman Sachs Group Inc.  6.600%  1/15/12  4,650  5,079 
  Goldman Sachs Group Inc.  5.700%  9/1/12  4,650  5,046 
  Goldman Sachs Group Inc.  5.450%  11/1/12  43,700  47,122 
  Goldman Sachs Group Inc.  5.250%  4/1/13  3,000  3,204 
  Goldman Sachs Group Inc.  4.750%  7/15/13  4,500  4,728 
  Goldman Sachs Group Inc.  5.250%  10/15/13  12,450  13,303 
  Goldman Sachs Group Inc.  5.625%  1/15/17  5,870  6,030 
  Goldman Sachs Group Inc.  6.150%  4/1/18  20,000  21,412 
  HSBC Bank PLC  6.950%  3/15/11  17,812  18,454 
4  HSBC Bank USA NA/New York NY  0.430%  12/14/09  38,500  38,502 
6  ICICI Bank Ltd.  5.750%  1/12/12  9,125  9,296 
  JPMorgan Chase & Co.  4.600%  1/17/11  9,350  9,708 
  JPMorgan Chase & Co.  6.750%  2/1/11  65,035  69,029 
  JPMorgan Chase & Co.  4.850%  6/16/11  30,000  31,571 
  JPMorgan Chase & Co.  6.625%  3/15/12  40,601  44,591 
  JPMorgan Chase & Co.  5.375%  10/1/12  36,912  40,296 


  JPMorgan Chase & Co.  4.750%  5/1/13  28,525  30,238 
  JPMorgan Chase & Co.  4.891%  9/1/15  25,200  24,375 
  JPMorgan Chase & Co.  7.900%  12/29/49  18,000  18,000 
  Keycorp  6.500%  5/14/13  11,000  11,445 
6  Lloyds Banking Group PLC  6.267%  11/14/49  23,575  14,858 
  M&I Marshall & Ilsley Bank  5.150%  2/22/12  21,500  20,350 
4,6 Manufacturers & Traders Trust Co.  1.790%  4/1/13  18,050  15,908 
  Mellon Capital IV  6.244%  6/29/49  32,825  25,521 
4  Merrill Lynch & Co. Inc.  0.692%  2/5/10  56,575  56,581 
  Merrill Lynch & Co. Inc.  4.790%  8/4/10  26,315  26,976 
  Merrill Lynch & Co. Inc.  5.770%  7/25/11  16,625  17,587 
4  Merrill Lynch & Co. Inc.  0.544%  6/5/12  25,000  24,026 
  Merrill Lynch & Co. Inc.  6.050%  8/15/12  11,208  12,079 
  Merrill Lynch & Co. Inc.  5.450%  2/5/13  10,975  11,459 
  Merrill Lynch & Co. Inc.  6.150%  4/25/13  28,300  30,343 
4  Morgan Stanley  0.564%  1/15/10  57,000  57,019 
  Morgan Stanley  5.050%  1/21/11  6,569  6,831 
  Morgan Stanley  6.750%  4/15/11  62,730  66,934 
  Morgan Stanley  5.625%  1/9/12  34,140  36,422 
  Morgan Stanley  6.600%  4/1/12  24,408  26,633 
  Morgan Stanley  5.250%  11/2/12  19,610  20,918 
  Morgan Stanley  5.300%  3/1/13  78,025  82,249 
  Morgan Stanley  6.000%  5/13/14  34,160  36,830 
  Morgan Stanley  6.625%  4/1/18  18,835  20,382 
  National Australia Bank Ltd.  8.600%  5/19/10  18,760  19,563 
  National City Bank of Kentucky  6.300%  2/15/11  8,700  9,096 
  National City Bank of Pennsylvania  7.250%  10/21/11  6,228  6,685 
  National City Bank/Cleveland OH  4.250%  1/29/10  13,950  14,069 
  National City Bank/Cleveland OH  6.250%  3/15/11  2,000  2,093 
  National City Bank/Cleveland OH  6.200%  12/15/11  16,300  17,497 
  National City Bank/Cleveland OH  4.625%  5/1/13  4,345  4,425 
  North Fork Bancorporation Inc.  5.875%  8/15/12  8,070  8,419 
  Northern Trust Corp.  5.500%  8/15/13  10,225  11,235 
  PNC Funding Corp.  5.125%  12/14/10  28,155  29,205 
  PNC Funding Corp.  5.400%  6/10/14  6,820  7,387 
6  Rabobank Nederland NV  2.650%  8/17/12  41,475  41,957 
6  Rabobank Nederland NV  4.200%  5/13/14  55,985  58,278 
  Regions Financial Corp./Old  7.000%  3/1/11  9,385  9,334 
  Royal Bank of Canada/New York NY  2.250%  3/15/13  292,800  293,020 
  Royal Bank of Scotland Group PLC  6.375%  2/1/11  24,400  24,443 
6  Royal Bank of Scotland PLC  4.875%  8/25/14  113,117  114,926 
  Santander Financial Issuances Ltd.  6.375%  2/15/11  17,675  18,618 
4,6 Santander US Debt SA Unipersonal  0.374%  11/20/09  88,100  87,967 
4,6 Santander US Debt SA Unipersonal  0.683%  10/21/11  78,000  78,001 
6  Societe Generale  5.922%  12/5/49  9,200  7,201 
  Sovereign Bancorp Inc.  4.800%  9/1/10  7,000  7,189 
4  Sovereign Bank  2.193%  8/1/13  2,397  2,287 
4  Sovereign Bank  2.110%  4/1/14  16,040  15,739 
5  State Street Capital Trust III  8.250%  3/15/42  7,450  7,450 
  State Street Corp.  7.650%  6/15/10  8,075  8,409 
4  State Street Corp.  0.381%  4/30/12  5,000  4,919 
4,6 Unicredit Luxembourg Finance SA  0.624%  1/13/17  51,600  48,101 
  Union Planters Corp.  4.375%  12/1/10  1,500  1,494 
  Union Planters Corp.  7.750%  3/1/11  1,000  998 
  US Bancorp  2.125%  2/15/13  59,475  59,041 
  US Bancorp  4.200%  5/15/14  34,100  35,777 
  US Bank NA/Cincinnati OH  7.125%  12/1/09  11,985  12,046 
  US Bank NA/Cincinnati OH  6.375%  8/1/11  60,694  65,403 


  US Bank NA/Cincinnati OH  6.300%  2/4/14  37,300  41,732 
  USB Capital IX  6.189%  4/15/49  53,940  40,860 
6  USB Realty Corp.  6.091%  12/15/49  11,750  8,196 
  Wachovia Bank NA  7.800%  8/18/10  38,950  41,040 
  Wachovia Bank NA  4.800%  11/1/14  18,900  19,363 
  Wachovia Bank NA  4.875%  2/1/15  4,000  4,092 
  Wachovia Bank NA  5.000%  8/15/15  9,750  10,055 
  Wachovia Capital Trust III  5.800%  3/15/11  27,485  19,514 
  Wachovia Corp.  4.375%  6/1/10  4,050  4,136 
  Wachovia Corp.  5.350%  3/15/11  27,047  28,381 
4  Wachovia Corp.  0.414%  10/15/11  24,450  24,106 
  Wachovia Corp.  5.300%  10/15/11  55,120  58,602 
  Wachovia Corp.  5.500%  5/1/13  73,325  78,585 
7  Washington Mutual Bank  5.550%  6/16/10  8,965  3,093 
7  Washington Mutual Bank  6.875%  6/15/11  21,983  53 
  Washington Mutual Finance Corp.  6.875%  5/15/11  5,975  6,349 
  Wells Fargo & Co.  4.200%  1/15/10  41,000  41,305 
  Wells Fargo & Co.  4.625%  8/9/10  5,270  5,418 
  Wells Fargo & Co.  4.875%  1/12/11  39,025  40,605 
  Wells Fargo & Co.  5.300%  8/26/11  19,500  20,755 
  Wells Fargo & Co.  5.250%  10/23/12  22,335  23,978 
  Wells Fargo & Co.  4.375%  1/31/13  15,000  15,660 
  Wells Fargo Bank NA  6.450%  2/1/11  57,550  60,837 
  Wells Fargo Financial Inc.  5.500%  8/1/12  5,650  6,048 
  Westpac Banking Corp.  4.200%  2/27/15  41,700  42,434 
4  Zions Bancorporation  1.802%  12/10/09  65,700  64,634 
 
  Brokerage (0.3%)         
6  Blackstone Holdings Finance Co. LLC  6.625%  8/15/19  12,400  12,603 
  Charles Schwab Corp.  4.950%  6/1/14  24,790  26,513 
  Jefferies Group Inc.  5.875%  6/8/14  7,050  7,233 
  Jefferies Group Inc.  8.500%  7/15/19  9,320  10,122 
4,7 Lehman Brothers Holdings E-Capital Trust I  2.998%  8/19/65  9,410  — 
4,7 Lehman Brothers Holdings Inc.  2.911%  8/21/09  24,450  3,790 
4,7 Lehman Brothers Holdings Inc.  2.907%  11/16/09  38,620  5,986 
4,7 Lehman Brothers Holdings Inc.  2.951%  5/25/10  19,555  3,031 
7  Lehman Brothers Holdings Inc.  5.750%  7/18/11  69,400  10,757 
7  Lehman Brothers Holdings Inc.  5.625%  1/24/13  9,200  1,472 
 
  Finance Companies (3.6%)         
  American General Finance Corp.  4.875%  5/15/10  5,200  5,044 
  American General Finance Corp.  5.200%  12/15/11  12,700  10,160 
  American General Finance Corp.  4.875%  7/15/12  16,678  12,842 
  General Electric Capital Corp.  5.500%  4/28/11  6,035  6,363 
  General Electric Capital Corp.  5.000%  11/15/11  25,000  26,497 
  General Electric Capital Corp.  5.875%  2/15/12  28,926  31,171 
  General Electric Capital Corp.  4.375%  3/3/12  17,175  17,936 
  General Electric Capital Corp.  5.000%  4/10/12  35,285  37,391 
  General Electric Capital Corp.  6.000%  6/15/12  30,000  32,555 
  General Electric Capital Corp.  3.500%  8/13/12  85,040  87,402 
  General Electric Capital Corp.  5.250%  10/19/12  114,658  123,398 
  General Electric Capital Corp.  5.450%  1/15/13  13,800  14,733 
  General Electric Capital Corp.  4.800%  5/1/13  68,915  72,344 
  General Electric Capital Corp.  5.900%  5/13/14  2,440  2,669 
5  General Electric Capital Corp.  6.375%  11/15/67  14,450  12,499 
5  HSBC Finance Capital Trust IX  5.911%  11/30/35  5,000  3,950 
  HSBC Finance Corp.  4.625%  9/15/10  50,700  52,109 
  HSBC Finance Corp.  5.250%  1/14/11  89,775  93,388 


  HSBC Finance Corp.  6.750%  5/15/11  77,410  82,348 
  HSBC Finance Corp.  5.700%  6/1/11  35,025  36,841 
  HSBC Finance Corp.  6.375%  10/15/11  101,295  108,456 
  HSBC Finance Corp.  7.000%  5/15/12  1,950  2,123 
  HSBC Finance Corp.  5.900%  6/19/12  86,258  91,945 
4  HSBC Finance Corp.  0.649%  9/14/12  7,800  7,429 
  HSBC Finance Corp.  6.375%  11/27/12  4,875  5,307 
  HSBC Finance Corp.  5.250%  1/15/14  10,020  10,467 
  International Lease Finance Corp.  4.875%  9/1/10  13,377  12,775 
  International Lease Finance Corp.  5.125%  11/1/10  9,750  9,165 
  International Lease Finance Corp.  4.950%  2/1/11  45,000  40,725 
  International Lease Finance Corp.  5.450%  3/24/11  43,065  38,328 
  International Lease Finance Corp.  5.750%  6/15/11  19,550  17,595 
  International Lease Finance Corp.  5.300%  5/1/12  22,025  18,171 
6  USAA Capital Corp.  3.500%  7/17/14  9,600  9,646 
 
  Insurance (4.3%)         
  ACE INA Holdings Inc.  5.875%  6/15/14  14,690  16,144 
  Aetna Inc.  7.875%  3/1/11  4,720  5,060 
  Aetna Inc.  5.750%  6/15/11  6,600  6,972 
  Allstate Corp.  6.200%  5/16/14  12,700  14,053 
  Allstate Corp.  5.000%  8/15/14  500  530 
  Allstate Life Global Funding Trusts  5.375%  4/30/13  10,000  10,702 
  American International Group Inc.  5.050%  10/1/15  29,550  22,864 
  Axis Capital Holdings Ltd.  5.750%  12/1/14  13,150  13,415 
  Berkshire Hathaway Finance Corp.  4.000%  4/15/12  53,900  56,716 
  Berkshire Hathaway Finance Corp.  4.500%  1/15/13  25,245  26,741 
  Berkshire Hathaway Finance Corp.  4.600%  5/15/13  4,875  5,209 
  Berkshire Hathaway Finance Corp.  5.000%  8/15/13  5,200  5,655 
  Chubb Corp.  5.200%  4/1/13  2,092  2,233 
5  Chubb Corp.  6.375%  3/29/67  3,760  3,442 
  Coventry Health Care Inc.  5.875%  1/15/12  2,375  2,389 
  ING Groep NV  5.775%  12/8/49  11,170  8,042 
6  ING Security Life Institutional Funding  4.250%  1/15/10  29,500  29,495 
6  Jackson National Life Global Funding  5.375%  5/8/13  20,473  21,096 
6  John Hancock Global Funding II  6.500%  3/1/11  8,000  8,384 
6  Liberty Mutual Group Inc.  4.875%  2/1/10  9,380  9,355 
5,6 Liberty Mutual Group Inc.  7.000%  3/15/37  7,600  5,856 
  Lincoln National Corp.  5.650%  8/27/12  20,250  21,098 
5  Lincoln National Corp.  6.050%  4/20/67  8,340  6,490 
  Marsh & McLennan Cos. Inc.  5.375%  7/15/14  4,100  4,245 
4,6 MassMutual Global Funding II  0.348%  4/21/11  117,100  113,811 
4,6 MassMutual Global Funding II  0.474%  12/6/13  14,950  14,533 
4,6 Merna Reinsurance Ltd.  2.032%  7/7/10  18,330  18,018 
4,6 Metropolitan Life Global Funding I  0.589%  5/18/10  48,900  48,498 
6  Metropolitan Life Global Funding I  2.875%  9/17/12  97,575  98,156 
6  Metropolitan Life Global Funding I  5.125%  4/10/13  64,787  68,529 
6  Metropolitan Life Global Funding I  5.125%  6/10/14  12,715  13,486 
6  Monumental Global Funding II  4.625%  3/15/10  15,385  15,321 
6  New York Life Global Funding  4.625%  8/16/10  9,360  9,563 
6  New York Life Global Funding  5.250%  10/16/12  9,340  10,105 
6  New York Life Global Funding  4.650%  5/9/13  5,400  5,717 
6  New York Life Global Funding  5.375%  9/15/13  10,660  11,626 
6  Oil Insurance Ltd.  7.558%  6/30/49  13,225  9,258 
6  Pricoa Global Funding I  4.200%  1/15/10  18,291  18,346 
6  Pricoa Global Funding I  5.625%  5/24/11  1,250  1,306 
6  Pricoa Global Funding I  4.625%  6/25/12  7,580  7,909 
6  Pricoa Global Funding I  5.400%  10/18/12  27,095  28,796 


6  Pricoa Global Funding I  5.450%  6/11/14  35,670  37,517 
  Principal Financial Group Inc.  7.875%  5/15/14  13,900  15,604 
6  Principal Life Global Funding I  4.400%  10/1/10  9,800  10,015 
6  Principal Life Global Funding I  6.250%  2/15/12  12,650  13,504 
6  Principal Life Global Funding I  5.125%  10/15/13  34,280  35,510 
  Principal Life Income Funding Trusts  5.125%  3/1/11  37,400  38,906 
  Principal Life Income Funding Trusts  5.300%  12/14/12  3,925  4,172 
5  Progressive Corp.  6.700%  6/15/37  7,320  6,370 
  Prudential Financial Inc.  5.800%  6/15/12  31,125  33,011 
  Prudential Financial Inc.  3.625%  9/17/12  29,275  29,647 
  Prudential Financial Inc.  5.100%  9/20/14  9,500  9,789 
  Prudential Financial Inc.  6.200%  1/15/15  4,890  5,240 
6  TIAA Global Markets Inc.  4.950%  7/15/13  5,800  6,143 
  Travelers Cos. Inc.  5.375%  6/15/12  18,308  19,484 
5  Travelers Cos. Inc.  6.250%  3/15/37  16,175  14,541 
  Travelers Property Casualty Corp.  5.000%  3/15/13  18,740  19,911 
  UnitedHealth Group Inc.  5.125%  11/15/10  18,750  19,357 
  UnitedHealth Group Inc.  5.250%  3/15/11  19,300  20,164 
  UnitedHealth Group Inc.  5.500%  11/15/12  11,400  12,088 
  UnitedHealth Group Inc.  4.875%  2/15/13  13,105  13,660 
  UnitedHealth Group Inc.  4.875%  4/1/13  29,569  30,661 
  UnitedHealth Group Inc.  5.000%  8/15/14  7,500  7,903 
  WellPoint Health Networks Inc.  6.375%  1/15/12  9,750  10,496 
  WellPoint Inc.  4.250%  12/15/09  16,300  16,336 
  WellPoint Inc.  5.000%  1/15/11  16,768  17,364 
  WellPoint Inc.  6.800%  8/1/12  7,298  8,021 
  WellPoint Inc.  6.000%  2/15/14  41,400  44,964 
  Willis North America Inc.  5.125%  7/15/10  8,040  8,116 
  Willis North America Inc.  5.625%  7/15/15  7,340  7,302 
  XL Capital Finance Europe PLC  6.500%  1/15/12  6,500  6,655 
6  Xlliac Global Funding  4.800%  8/10/10  15,700  15,574 
5,6 ZFS Finance USA Trust I  5.875%  5/9/32  4,270  3,469 
 
  Real Estate Investment Trusts (1.1%)         
6  WEA Finance LLC / WCI Finance LLC  5.400%  10/1/12  43,645  44,994 
  Simon Property Group LP  6.750%  5/15/14  30,570  33,191 
6  WEA Finance LLC / WT Finance Aust Pty Ltd.  7.500%  6/2/14  30,500  33,184 
  Simon Property Group LP  5.300%  5/30/13  29,900  30,999 
  Simon Property Group LP  4.875%  3/18/10  27,900  28,124 
  HCP Inc.  4.875%  9/15/10  24,350  24,626 
6  Westfield Capital Corp. Ltd / WT Finance Aust         
  Pty Ltd / WEA Finance LLC  4.375%  11/15/10  18,930  19,289 
  Simon Property Group LP  4.875%  8/15/10  17,950  18,372 
  Simon Property Group LP  5.750%  5/1/12  14,045  14,807 
  Kimco Realty Corp.  4.820%  8/15/11  14,035  14,309 
  Developers Diversified Realty Corp.  5.375%  10/15/12  14,000  13,223 
  Boston Properties LP  6.250%  1/15/13  11,165  11,832 
  Simon Property Group LP  6.350%  8/28/12  10,535  11,346 
  Liberty Property LP  6.375%  8/15/12  9,400  9,791 
  Simon Property Group LP  5.600%  9/1/11  9,260  9,713 
  Hospitality Properties Trust  7.875%  8/15/14  8,500  8,768 
  Arden Realty LP  5.200%  9/1/11  7,700  8,032 
  Developers Diversified Realty Corp.  5.250%  4/15/11  7,330  7,257 
  Simon Property Group LP  5.375%  6/1/11  5,130  5,330 
  Simon Property Group LP  5.000%  3/1/12  4,800  4,964 
  Brandywine Operating Partnership LP  5.750%  4/1/12  4,779  4,805 
  Duke Realty LP  4.625%  5/15/13  4,875  4,712 


          8,741,060 
Industrial (23.8%)         
  Basic Industry (1.1%)         
  Air Products & Chemicals Inc.  4.150%  2/1/13  12,400  13,038 
  Alcoa Inc.  6.000%  7/15/13  23,250  24,343 
  ArcelorMittal  5.375%  6/1/13  17,245  17,768 
  ArcelorMittal USA Inc.  6.500%  4/15/14  8,800  9,167 
  Barrick Gold Financeco LLC  6.125%  9/15/13  23,250  25,675 
  BHP Billiton Finance USA Ltd.  5.125%  3/29/12  19,500  20,981 
  BHP Billiton Finance USA Ltd.  4.800%  4/15/13  6,966  7,473 
  BHP Billiton Finance USA Ltd.  5.500%  4/1/14  9,150  10,056 
  Dow Chemical Co.  4.850%  8/15/12  19,400  20,126 
  Dow Chemical Co.  7.600%  5/15/14  42,375  46,918 
  International Paper Co.  7.950%  6/15/18  7,250  8,063 
  PPG Industries Inc.  5.750%  3/15/13  15,860  17,058 
  Rio Tinto Finance USA Ltd.  5.875%  7/15/13  38,654  41,629 
  Rio Tinto Finance USA Ltd.  8.950%  5/1/14  32,400  38,306 
  Rohm and Haas Co.  5.600%  3/15/13  20,585  21,318 
4,6 Xstrata Finance Dubai Ltd.  0.804%  11/13/09  14,750  14,746 
 
  Capital Goods (2.6%)         
  Allied Waste North America Inc.  6.125%  2/15/14  29,645  30,349 
  Allied Waste North America Inc.  6.875%  6/1/17  9,125  9,650 
6  BAE Systems Holdings Inc.  4.750%  8/15/10  33,386  33,769 
  Bemis Co. Inc.  5.650%  8/1/14  16,760  17,920 
  Boeing Capital Corp.  6.500%  2/15/12  10,000  11,020 
  Boeing Capital Corp.  5.800%  1/15/13  20,000  21,946 
  Boeing Co.  5.000%  3/15/14  18,250  19,896 
  Boeing Co.  3.500%  2/15/15  18,800  19,218 
  Caterpillar Financial Services Corp.  4.300%  6/1/10  1,000  1,020 
  Caterpillar Financial Services Corp.  5.125%  10/12/11  20,000  21,429 
  Caterpillar Financial Services Corp.  5.750%  2/15/12  73,500  79,685 
  Caterpillar Financial Services Corp.  4.250%  2/8/13  33,195  34,495 
  Cooper US Inc.  5.250%  11/15/12  8,390  9,083 
  CRH America Inc.  5.625%  9/30/11  28,825  30,256 
  CRH America Inc.  6.950%  3/15/12  9,300  10,031 
  CRH America Inc.  5.300%  10/15/13  5,775  5,987 
  Eaton Corp.  5.750%  7/15/12  5,200  5,680 
  Emerson Electric Co.  4.125%  4/15/15  9,220  9,747 
  General Dynamics Corp.  1.800%  7/15/11  9,275  9,397 
  General Dynamics Corp.  5.250%  2/1/14  12,760  14,039 
  General Electric Co.  5.000%  2/1/13  63,699  67,792 
  Harsco Corp.  5.125%  9/15/13  8,000  8,412 
  Honeywell International Inc.  6.125%  11/1/11  8,238  9,081 
  Honeywell International Inc.  4.250%  3/1/13  4,250  4,499 
  Illinois Tool Works Inc.  5.150%  4/1/14  23,075  25,419 
  Ingersoll-Rand Global Holding Co. Ltd.  6.000%  8/15/13  18,345  19,900 
  John Deere Capital Corp.  5.400%  4/7/10  3,300  3,368 
  John Deere Capital Corp.  5.400%  10/17/11  23,400  25,184 
  John Deere Capital Corp.  7.000%  3/15/12  29,850  33,383 
  John Deere Capital Corp.  5.250%  10/1/12  69,000  75,186 
  John Deere Capital Corp.  4.900%  9/9/13  15,062  16,179 
  L-3 Communications Corp.  7.625%  6/15/12  2,325  2,355 
  L-3 Communications Corp.  6.125%  7/15/13  1,550  1,565 
  L-3 Communications Corp.  6.125%  1/15/14  3,400  3,366 
  L-3 Communications Corp.  5.875%  1/15/15  5,600  5,425 
  Lafarge SA  6.150%  7/15/11  1,875  1,962 


4 Martin Marietta Materials Inc.  0.431%  4/30/10  18,750  18,617 
Northrop Grumman Systems Corp.  7.125%  2/15/11  9,375  10,056 
Raytheon Co.  4.850%  1/15/11  15,770  16,428 
Roper Industries Inc.  6.625%  8/15/13  13,925  15,154 
Textron Financial Corp.  4.600%  5/3/10  7,844  7,874 
Textron Financial Corp.  5.400%  4/28/13  14,470  14,209 
Tyco International Finance SA  6.375%  10/15/11  9,765  10,552 
Tyco International Finance SA  4.125%  10/15/14  3,500  3,579 
Tyco International Finance SA  8.500%  1/15/19  10,600  12,882 
 
Communication (6.4%)         
America Movil SAB de CV  5.500%  3/1/14  8,450  8,846 
6 American Tower Corp.  4.625%  4/1/15  6,875  6,972 
AT&T Corp.  7.300%  11/15/11  56,286  62,639 
4 AT&T Inc.  0.572%  2/5/10  35,200  35,212 
AT&T Inc.  5.875%  2/1/12  6,500  7,041 
AT&T Inc.  4.950%  1/15/13  18,295  19,514 
AT&T Inc.  6.700%  11/15/13  41,581  47,245 
AT&T Mobility LLC  6.500%  12/15/11  30,205  33,298 
British Telecommunications PLC  9.125%  12/15/10  68,983  74,267 
British Telecommunications PLC  5.150%  1/15/13  11,127  11,598 
CBS Corp.  8.200%  5/15/14  27,250  30,303 
6 Cellco Partnership / Verizon Wireless Capital         
LLC  3.750%  5/20/11  174,998  180,698 
6 Cellco Partnership / Verizon Wireless Capital         
LLC  5.250%  2/1/12  28,250  29,991 
6 Cellco Partnership / Verizon Wireless Capital         
LLC  7.375%  11/15/13  44,335  51,046 
6 Cellco Partnership / Verizon Wireless Capital         
LLC  5.550%  2/1/14  7,900  8,562 
Comcast Corp.  5.850%  1/15/10  23,562  23,788 
Comcast Corp.  5.450%  11/15/10  28,275  29,420 
Comcast Corp.  5.500%  3/15/11  29,190  30,668 
Comcast Corp.  5.300%  1/15/14  33,248  35,483 
COX Communications Inc.  4.625%  1/15/10  8,700  8,757 
COX Communications Inc.  7.125%  10/1/12  4,650  5,214 
COX Communications Inc.  4.625%  6/1/13  4,530  4,703 
6 COX Enterprises Inc.  7.875%  9/15/10  12,000  12,543 
Deutsche Telekom International Finance BV  8.500%  6/15/10  23,455  24,514 
Deutsche Telekom International Finance BV  5.250%  7/22/13  14,050  15,046 
Deutsche Telekom International Finance BV  5.875%  8/20/13  32,560  35,525 
Deutsche Telekom International Finance BV  4.875%  7/8/14  3,265  3,451 
6 DirecTV Holdings LLC / DirecTV Financing         
Co. Inc.  4.750%  10/1/14  12,200  12,478 
DirecTV Holdings LLC / DirecTV Financing         
Co. Inc.  6.375%  6/15/15  14,600  14,965 
France Telecom SA  7.750%  3/1/11  112,587  121,640 
France Telecom SA  4.375%  7/8/14  27,750  29,291 
New Cingular Wireless Services Inc.  7.875%  3/1/11  67,689  73,237 
New Cingular Wireless Services Inc.  8.125%  5/1/12  53,050  60,759 
5 Nynex Corp.  9.550%  5/1/10  2,104  2,177 
6 Qtel International Finance Ltd.  6.500%  6/10/14  4,500  4,909 
Reed Elsevier Capital Inc.  7.750%  1/15/14  9,200  10,624 
Rogers Communications Inc.  7.250%  12/15/12  9,600  10,863 
Rogers Communications Inc.  6.375%  3/1/14  17,045  18,829 
Telecom Italia Capital SA  4.000%  1/15/10  35,850  36,070 
Telecom Italia Capital SA  4.875%  10/1/10  19,700  20,271 
Telecom Italia Capital SA  5.250%  11/15/13  11,663  12,280 


Telecom Italia Capital SA  6.175%  6/18/14  18,625  20,252 
Telecom Italia Capital SA  4.950%  9/30/14  12,113  12,604 
Telefonica Emisiones SAU  5.984%  6/20/11  112,390  119,418 
Telefonica Emisiones SAU  5.855%  2/4/13  39,535  43,144 
Telefonica Europe BV  7.750%  9/15/10  9,913  10,480 
Telefonos de Mexico SAB de CV  4.750%  1/27/10  18,730  18,783 
Thomson Reuters Corp.  6.200%  1/5/12  5,250  5,714 
Thomson Reuters Corp.  5.950%  7/15/13  19,740  21,843 
Thomson Reuters Corp.  5.700%  10/1/14  4,700  5,196 
Time Warner Cable Inc.  5.400%  7/2/12  51,200  54,714 
Time Warner Cable Inc.  6.200%  7/1/13  27,725  30,443 
Time Warner Cable Inc.  7.500%  4/1/14  21,045  24,242 
Verizon Communications Inc.  4.350%  2/15/13  31,400  33,108 
Verizon Communications Inc.  5.250%  4/15/13  62,944  68,344 
Verizon Communications Inc.  5.500%  2/15/18  19,525  20,440 
Verizon Global Funding Corp.  7.250%  12/1/10  39,430  42,027 
Verizon Global Funding Corp.  6.875%  6/15/12  21,425  23,922 
Verizon Global Funding Corp.  7.375%  9/1/12  30,797  35,085 
6 Vivendi  5.750%  4/4/13  18,225  19,085 
Vodafone Group PLC  7.750%  2/15/10  32,402  33,015 
Vodafone Group PLC  5.500%  6/15/11  36,950  39,220 
Vodafone Group PLC  5.350%  2/27/12  26,835  28,663 
Vodafone Group PLC  5.000%  12/16/13  14,930  15,988 
 
Consumer Cyclical (3.1%)         
6 American Honda Finance Corp.  5.125%  12/15/10  24,390  25,089 
6 American Honda Finance Corp.  4.625%  4/2/13  18,650  19,033 
Best Buy Co. Inc.  6.750%  7/15/13  9,425  10,162 
Caesars Entertainment Inc.  7.875%  3/15/10  5,425  5,398 
CVS Caremark Corp.  5.750%  8/15/11  10,000  10,748 
5 CVS Caremark Corp.  6.302%  6/1/37  16,400  14,231 
Daimler Finance North America LLC  4.875%  6/15/10  29,480  30,032 
Daimler Finance North America LLC  8.000%  6/15/10  4,670  4,847 
Daimler Finance North America LLC  5.875%  3/15/11  37,200  38,843 
Daimler Finance North America LLC  7.300%  1/15/12  18,550  20,255 
Daimler Finance North America LLC  6.500%  11/15/13  19,661  21,423 
Darden Restaurants Inc.  5.625%  10/15/12  8,445  9,008 
6 Harley-Davidson Funding Corp.  5.000%  12/15/10  9,300  9,355 
6 Harley-Davidson Funding Corp.  5.250%  12/15/12  26,075  26,328 
Historic TW Inc.  9.125%  1/15/13  13,008  15,134 
JC Penney Corp. Inc.  8.000%  3/1/10  2,400  2,440 
JC Penney Corp. Inc.  9.000%  8/1/12  23,036  25,269 
Johnson Controls Inc.  5.250%  1/15/11  28,000  29,146 
K Hovnanian Enterprises Inc.  6.250%  1/15/16  7,710  5,551 
Lennar Corp.  5.125%  10/1/10  5,300  5,313 
Lowe's Cos. Inc.  8.250%  6/1/10  8,600  8,989 
Lowe's Cos. Inc.  5.600%  9/15/12  18,275  20,200 
Macy's Retail Holdings Inc.  6.625%  4/1/11  17,146  17,446 
Macy's Retail Holdings Inc.  5.350%  3/15/12  20,092  19,715 
McDonald's Corp.  4.300%  3/1/13  13,325  14,210 
MGM Mirage  8.500%  9/15/10  5,600  5,523 
MGM Mirage  6.750%  4/1/13  3,825  3,175 
MGM Mirage  5.875%  2/27/14  4,000  3,000 
6 Nissan Motor Acceptance Corp.  4.625%  3/8/10  28,250  28,417 
6 Nissan Motor Acceptance Corp.  5.625%  3/14/11  39,200  40,469 
Nordstrom Inc.  6.750%  6/1/14  3,250  3,616 
4 PACCAR Financial Corp.  0.490%  5/17/10  70,325  70,121 
Staples Inc.  7.750%  4/1/11  4,900  5,280 


Staples Inc.  7.375%  10/1/12  14,000  15,362 
Staples Inc.  9.750%  1/15/14  18,700  22,562 
Target Corp.  5.875%  3/1/12  14,550  15,937 
Target Corp.  5.125%  1/15/13  9,340  10,071 
Tenneco Inc.  8.625%  11/15/14  4,400  4,147 
4 Time Warner Inc.  0.684%  11/13/09  29,500  29,499 
Time Warner Inc.  6.875%  5/1/12  17,001  18,697 
Viacom Inc.  4.375%  9/15/14  9,340  9,593 
Wal-Mart Stores Inc.  4.250%  4/15/13  13,175  14,040 
Wal-Mart Stores Inc.  4.550%  5/1/13  2,900  3,126 
Wal-Mart Stores Inc.  3.200%  5/15/14  50,000  51,642 
Walgreen Co.  4.875%  8/1/13  60,850  65,730 
4 Walt Disney Co.  0.354%  7/16/10  18,550  18,554 
Walt Disney Co.  5.700%  7/15/11  3,750  4,045 
Walt Disney Co.  6.375%  3/1/12  1,900  2,105 
Walt Disney Co.  4.500%  12/15/13  53,806  57,812 
Western Union Co.  5.400%  11/17/11  34,517  37,079 
Western Union Co.  6.500%  2/26/14  21,600  24,560 
Yum! Brands Inc.  8.875%  4/15/11  6,800  7,450 
 
Consumer Noncyclical (5.2%)         
Abbott Laboratories  3.750%  3/15/11  6,550  6,801 
Abbott Laboratories  5.600%  5/15/11  6,345  6,789 
Abbott Laboratories  5.150%  11/30/12  39,750  43,780 
Altria Group Inc.  8.500%  11/10/13  46,000  53,499 
AmerisourceBergen Corp.  5.625%  9/15/12  12,420  13,279 
Amgen Inc.  4.000%  11/18/09  19,900  19,929 
6 Anheuser-Busch InBev Worldwide Inc.  3.000%  10/15/12  32,800  33,099 
6 Anheuser-Busch InBev Worldwide Inc.  7.200%  1/15/14  35,400  39,676 
6 Anheuser-Busch InBev Worldwide Inc.  5.375%  11/15/14  12,900  13,722 
AstraZeneca PLC  5.400%  9/15/12  39,650  43,639 
AstraZeneca PLC  5.400%  6/1/14  1,430  1,572 
Avon Products Inc.  5.625%  3/1/14  29,690  32,563 
Baxter FinCo BV  4.750%  10/15/10  16,300  16,950 
Biogen Idec Inc.  6.000%  3/1/13  41,190  44,198 
Bottling Group LLC  6.950%  3/15/14  6,695  7,820 
Cardinal Health Inc.  5.500%  6/15/13  4,245  4,470 
6 CareFusion Corp.  4.125%  8/1/12  4,660  4,801 
6 CareFusion Corp.  5.125%  8/1/14  14,020  14,632 
6 Cargill Inc.  5.200%  1/22/13  18,650  19,533 
Clorox Co.  5.000%  3/1/13  2,825  3,056 
6 Coca-Cola Amatil Ltd.  3.250%  11/2/14  6,560  6,566 
Coca-Cola Co.  3.625%  3/15/14  23,800  24,680 
Coca-Cola Enterprises Inc.  5.000%  8/15/13  20,400  22,090 
Coca-Cola Enterprises Inc.  7.375%  3/3/14  14,650  17,214 
Coca-Cola Enterprises Inc.  4.250%  3/1/15  4,500  4,752 
Covidien International Finance SA  5.150%  10/15/10  18,680  19,431 
Covidien International Finance SA  5.450%  10/15/12  6,750  7,331 
Delhaize Group SA  5.875%  2/1/14  1,950  2,105 
Diageo Capital PLC  5.200%  1/30/13  6,540  7,020 
Eli Lilly & Co.  3.550%  3/6/12  6,000  6,278 
Express Scripts Inc.  5.250%  6/15/12  42,050  44,829 
4 General Mills Inc.  0.413%  1/22/10  28,100  28,080 
General Mills Inc.  5.650%  9/10/12  14,030  15,312 
General Mills Inc.  5.250%  8/15/13  15,800  17,108 
GlaxoSmithKline Capital Inc.  4.850%  5/15/13  19,915  21,417 
Hasbro Inc.  6.125%  5/15/14  7,700  8,476 
HJ Heinz Co.  5.350%  7/15/13  7,275  7,811 


Hormel Foods Corp.  6.625%  6/1/11  8,900  9,603 
4 Hospira Inc.  0.763%  3/30/10  12,594  12,568 
Hospira Inc.  5.550%  3/30/12  6,624  7,129 
Hospira Inc.  5.900%  6/15/14  6,850  7,405 
Kellogg Co.  6.600%  4/1/11  40,240  43,356 
Kellogg Co.  5.125%  12/3/12  9,770  10,648 
Kellogg Co.  4.250%  3/6/13  14,000  14,846 
Koninklijke Philips Electronics NV  4.625%  3/11/13  14,000  14,752 
Kraft Foods Inc.  4.125%  11/12/09  30,550  30,576 
Kraft Foods Inc.  5.625%  8/11/10  14,050  14,545 
Kraft Foods Inc.  5.625%  11/1/11  29,630  31,635 
Kraft Foods Inc.  6.750%  2/19/14  15,600  17,418 
Kroger Co.  6.750%  4/15/12  14,000  15,383 
Kroger Co.  6.200%  6/15/12  3,550  3,875 
Kroger Co.  5.000%  4/15/13  31,915  33,797 
Kroger Co.  7.500%  1/15/14  13,825  15,948 
Land O' Lakes Inc.  9.000%  12/15/10  1,590  1,594 
McKesson Corp.  6.500%  2/15/14  9,120  9,989 
6 Mead Johnson Nutrition Co.  3.500%  11/1/14  14,000  14,077 
Medco Health Solutions Inc.  6.125%  3/15/13  29,250  31,636 
Medtronic Inc.  4.375%  9/15/10  4,000  4,130 
Medtronic Inc.  4.500%  3/15/14  9,200  9,830 
Merck & Co. Inc./NJ  1.875%  6/30/11  53,450  54,281 
6 Miller Brewing Co.  5.500%  8/15/13  9,557  10,165 
Molson Coors Capital Finance ULC  4.850%  9/22/10  6,575  6,798 
Novartis Capital Corp.  4.125%  2/10/14  22,500  23,709 
PepsiAmericas Inc.  5.625%  5/31/11  4,890  5,222 
PepsiAmericas Inc.  4.375%  2/15/14  14,370  15,028 
PepsiCo Inc./NC  4.650%  2/15/13  22,316  24,039 
Pfizer Inc.  4.450%  3/15/12  76,914  81,744 
Pfizer Inc.  5.350%  3/15/15  52,000  57,603 
Philip Morris International Inc.  6.875%  3/17/14  18,606  21,307 
Procter & Gamble Co.  4.600%  1/15/14  13,000  14,043 
Procter & Gamble International Funding SCA  1.350%  8/26/11  19,500  19,648 
Reynolds American Inc.  7.625%  6/1/16  3,050  3,248 
6 Roche Holdings Inc.  4.500%  3/1/12  31,200  33,126 
6 SABMiller PLC  6.200%  7/1/11  27,465  29,361 
Safeway Inc.  4.950%  8/16/10  13,675  14,063 
Safeway Inc.  6.250%  3/15/14  9,750  10,793 
St. Jude Medical Inc.  3.750%  7/15/14  18,600  19,034 
Sysco Corp.  4.200%  2/12/13  9,330  9,832 
Thermo Fisher Scientific Inc.  5.000%  6/1/15  6,730  7,139 
Unilever Capital Corp.  3.650%  2/15/14  23,300  24,179 
Whirlpool Corp.  5.500%  3/1/13  14,000  14,337 
Wyeth  6.950%  3/15/11  16,420  17,646 
Wyeth  5.500%  3/15/13  46,730  50,483 
Wyeth  5.500%  2/1/14  22,550  24,826 
 
Energy (2.2%)         
Anadarko Finance Co.  6.750%  5/1/11  37,906  40,408 
BP Capital Markets PLC  3.125%  3/10/12  8,675  8,967 
BP Capital Markets PLC  5.250%  11/7/13  20,415  22,511 
BP Capital Markets PLC  3.625%  5/8/14  54,500  56,440 
Burlington Resources Finance Co.  6.500%  12/1/11  2,215  2,425 
Canadian Natural Resources Ltd.  6.700%  7/15/11  9,575  10,321 
Canadian Natural Resources Ltd.  5.150%  2/1/13  14,020  14,784 
6 Cenovus Energy Inc.  4.500%  9/15/14  7,950  8,184 
Chevron Corp.  3.450%  3/3/12  54,375  56,798 


Conoco Funding Co.  6.350%  10/15/11  32,097  35,251 
ConocoPhillips  8.750%  5/25/10  31,205  32,585 
ConocoPhillips  9.375%  2/15/11  15,375  16,889 
ConocoPhillips  4.400%  5/15/13  13,725  14,563 
ConocoPhillips  4.750%  2/1/14  34,150  36,752 
ConocoPhillips  4.600%  1/15/15  18,600  19,900 
ConocoPhillips Canada Funding Co. I  5.300%  4/15/12  1,600  1,729 
Devon Energy Corp.  5.625%  1/15/14  6,400  6,957 
Devon Financing Corp. ULC  6.875%  9/30/11  41,780  45,563 
6 GS Caltex Corp.  5.500%  10/15/15  8,300  8,193 
Kerr-McGee Corp.  6.875%  9/15/11  40,130  43,516 
Marathon Oil Corp.  6.125%  3/15/12  24,585  26,572 
Nabors Industries Inc.  9.250%  1/15/19  8,350  10,084 
Shell International Finance BV  4.000%  3/21/14  45,200  47,516 
Transocean Inc.  5.250%  3/15/13  2,331  2,483 
Valero Energy Corp.  6.875%  4/15/12  19,400  21,133 
Weatherford International Inc.  5.950%  6/15/12  11,150  11,997 
Weatherford International Ltd.  5.150%  3/15/13  21,675  22,795 
XTO Energy Inc.  5.000%  8/1/10  27,850  28,650 
XTO Energy Inc.  5.900%  8/1/12  28,225  30,473 
XTO Energy Inc.  4.625%  6/15/13  9,975  10,394 
 
Technology (2.2%)         
Agilent Technologies Inc.  4.450%  9/14/12  68,500  70,034 
Agilent Technologies Inc.  6.500%  11/1/17  8,325  8,615 
Cisco Systems Inc.  5.250%  2/22/11  21,990  23,248 
Computer Sciences Corp.  7.375%  6/15/11  7,877  8,380 
Dell Inc.  3.375%  6/15/12  7,375  7,669 
Dell Inc.  4.700%  4/15/13  14,140  15,070 
Dun & Bradstreet Corp.  6.000%  4/1/13  25,100  26,577 
Electronic Data Systems LLC  6.000%  8/1/13  21,382  23,836 
Fiserv Inc.  6.125%  11/20/12  52,120  57,389 
4 Hewlett-Packard Co.  0.359%  6/15/10  23,450  23,481 
Hewlett-Packard Co.  2.250%  5/27/11  28,000  28,569 
Hewlett-Packard Co.  2.950%  8/15/12  8,250  8,541 
Hewlett-Packard Co.  4.500%  3/1/13  60,664  64,750 
Hewlett-Packard Co.  6.125%  3/1/14  8,902  10,003 
Hewlett-Packard Co.  4.750%  6/2/14  23,830  25,622 
International Business Machines Corp.  4.950%  3/22/11  31,150  32,949 
International Business Machines Corp.  4.750%  11/29/12  14,150  15,375 
Intuit Inc.  5.400%  3/15/12  9,375  9,918 
Lexmark International Inc.  5.900%  6/1/13  18,550  19,163 
Microsoft Corp.  2.950%  6/1/14  17,450  17,802 
4 Oracle Corp.  0.510%  5/14/10  93,775  93,815 
Oracle Corp.  5.000%  1/15/11  21,562  22,645 
Oracle Corp.  4.950%  4/15/13  19,513  21,150 
Oracle Corp.  3.750%  7/8/14  12,625  13,175 
Pitney Bowes Inc.  5.000%  3/15/15  14,170  15,403 
Xerox Corp.  6.875%  8/15/11  11,395  12,190 
Xerox Corp.  5.650%  5/15/13  4,700  4,948 
 
Transportation (1.0%)         
American Airlines Pass Through Trust 2001-         
01  6.817%  5/23/11  7,453  7,099 
American Airlines Pass Through Trust 2001-         
02  7.858%  10/1/11  15,885  15,865 
5 American Airlines Pass Through Trust 2003-         
01  3.857%  7/9/10  5,736  5,564 


  Burlington Northern Santa Fe Corp.  5.900%  7/1/12  4,900  5,358 
  Canadian National Railway Co.  6.375%  10/15/11  4,500  4,923 
5  Continental Airlines Inc.  6.648%  9/15/17  2,742  2,605 
5  Continental Airlines Inc.  6.900%  1/2/18  2,924  2,807 
5  Continental Airlines Inc.  9.798%  4/1/21  7,631  6,181 
  CSX Corp.  4.875%  11/1/09  5,740  5,740 
  CSX Corp.  6.750%  3/15/11  16,800  17,944 
  Delta Air Lines Inc.  7.570%  11/18/10  45,690  45,747 
5  Delta Air Lines Inc.  6.821%  8/10/22  9,576  9,050 
5  Delta Air Lines Inc.  8.021%  8/10/22  4,648  3,951 
6  Erac USA Finance Co.  7.950%  12/15/09  12,270  12,330 
6  Erac USA Finance Co.  8.000%  1/15/11  8,400  8,836 
6  Erac USA Finance Co.  5.800%  10/15/12  9,750  10,190 
6  Erac USA Finance Co.  5.600%  5/1/15  4,669  4,806 
  Greenbrier Cos. Inc.  8.375%  5/15/15  9,113  7,028 
4,5 JetBlue Airways 2004-1 G-1 Pass Through         
  Trust  0.674%  12/15/13  13,477  11,563 
4  JetBlue Airways 2004-1 G-2 Pass Through         
  Trust  0.719%  3/15/14  25,765  18,412 
4  JetBlue Airways 2004-2 G-2 Pass Through         
  Trust  0.890%  11/15/16  19,135  11,301 
  Norfolk Southern Corp.  8.625%  5/15/10  10,290  10,695 
  Norfolk Southern Corp.  6.750%  2/15/11  16,300  17,364 
  Ryder System Inc.  6.000%  3/1/13  18,660  19,581 
6  Southwest Airlines Co.  10.500%  12/15/11  24,375  27,056 
5  UAL Pass Through Trust Series 2000-2  7.186%  4/1/11  1,165  1,162 
  Union Pacific Corp.  3.625%  6/1/10  19,320  19,580 
  Union Pacific Corp.  5.450%  1/31/13  4,680  5,045 
          7,437,588 
Utilities (4.0%)         
  Electric (2.8%)         
6  AES Panama SA  6.350%  12/21/16  2,600  2,516 
  Alabama Power Co.  4.850%  12/15/12  6,840  7,402 
  American Water Capital Corp.  6.085%  10/15/17  29,200  30,582 
  Appalachian Power Co.  5.650%  8/15/12  16,870  18,214 
  Carolina Power & Light Co.  6.500%  7/15/12  21,037  23,271 
  Carolina Power & Light Co.  5.125%  9/15/13  7,973  8,592 
  Cleveland Electric Illuminating Co.  5.650%  12/15/13  3,000  3,212 
  Commonwealth Edison Co.  6.150%  3/15/12  4,000  4,356 
  Consumers Energy Co.  4.000%  5/15/10  22,567  22,916 
  Consumers Energy Co.  5.000%  2/15/12  4,300  4,531 
  Consumers Energy Co.  5.375%  4/15/13  14,660  15,579 
  Dominion Resources Inc./VA  5.000%  3/15/13  4,000  4,230 
5  Dominion Resources Inc./VA  6.300%  9/30/66  37,740  33,158 
6  EDP Finance BV  5.375%  11/2/12  14,750  15,963 
6  Enel Finance International SA  3.875%  10/7/14  32,800  33,212 
  Entergy Arkansas Inc.  5.400%  8/1/13  9,280  9,906 
  FirstEnergy Corp.  6.450%  11/15/11  345  373 
  Florida Power Corp.  6.650%  7/15/11  3,400  3,691 
  Florida Power Corp.  4.800%  3/1/13  7,180  7,637 
6  FPL Energy Marcus Hook LP  7.590%  7/10/18  18,875  19,743 
4  FPL Group Capital Inc.  1.173%  6/17/11  23,250  23,497 
5  FPL Group Capital Inc.  6.350%  10/1/66  8,820  8,215 
5,6 GWF Energy LLC  6.131%  12/30/11  3,840  3,995 
6  Iberdrola Finance Ireland Ltd.  3.800%  9/11/14  9,750  9,901 
6  Israel Electric Corp. Ltd.  7.250%  1/15/19  5,500  6,022 
  MidAmerican Energy Co.  5.650%  7/15/12  32,800  35,650 


Midamerican Energy Holdings Co.  3.150%  7/15/12  37,280  38,145 
Midamerican Energy Holdings Co.  5.000%  2/15/14  3,000  3,174 
National Rural Utilities Cooperative Finance         
Corp.  2.625%  9/16/12  26,340  26,570 
National Rural Utilities Cooperative Finance         
Corp.  5.500%  7/1/13  15,600  16,924 
Nevada Power Co.  8.250%  6/1/11  5,600  6,110 
Nevada Power Co.  6.500%  4/15/12  8,150  8,837 
6 Niagara Mohawk Power Corp.  3.553%  10/1/14  4,880  4,918 
Northeast Utilities  7.250%  4/1/12  16,385  17,690 
Northeast Utilities  5.650%  6/1/13  23,250  24,295 
Northern States Power Co./MN  4.750%  8/1/10  7,350  7,577 
Northern States Power Co./MN  8.000%  8/28/12  20,650  23,991 
NSTAR Electric Co.  4.875%  10/15/12  5,480  5,903 
Ohio Power Co.  5.300%  11/1/10  10,030  10,437 
Oncor Electric Delivery Co.  5.950%  9/1/13  32,670  35,352 
Pacific Gas & Electric Co.  4.200%  3/1/11  11,950  12,399 
Pacific Gas & Electric Co.  6.250%  12/1/13  4,600  5,182 
Peco Energy Co.  5.950%  11/1/11  8,500  9,200 
Peco Energy Co.  5.600%  10/15/13  7,300  7,976 
Peco Energy Co.  5.000%  10/1/14  4,880  5,327 
4 Pepco Holdings Inc.  0.986%  6/1/10  11,510  11,399 
PG&E Corp.  5.750%  4/1/14  13,750  15,133 
5 PPL Capital Funding Inc.  6.700%  3/30/67  20,650  18,276 
PPL Electric Utilities Corp.  7.125%  11/30/13  4,660  5,374 
PPL Energy Supply LLC  5.400%  8/15/14  8,800  9,319 
Progress Energy Inc.  7.100%  3/1/11  3,170  3,379 
Progress Energy Inc.  6.850%  4/15/12  31,760  34,579 
Progress Energy Inc.  6.050%  3/15/14  10,430  11,484 
PSEG Power LLC  5.000%  4/1/14  9,750  10,229 
Public Service Electric & Gas Co.  5.125%  9/1/12  6,215  6,718 
Sierra Pacific Power Co.  5.450%  9/1/13  9,280  9,901 
Southern California Edison Co.  7.625%  1/15/10  7,150  7,240 
Southern California Edison Co.  5.750%  3/15/14  13,000  14,474 
4 Southern Co.  0.683%  10/21/11  31,800  31,894 
Southern Co.  4.150%  5/15/14  4,650  4,839 
Tampa Electric Co.  6.875%  6/15/12  19,430  21,228 
Tampa Electric Co.  6.375%  8/15/12  7,459  8,093 
Wisconsin Energy Corp.  6.500%  4/1/11  35,215  37,416 
 
Natural Gas (1.2%)         
AGL Capital Corp.  7.125%  1/14/11  9,900  10,384 
5 Enbridge Energy Partners LP  8.050%  10/1/37  4,615  4,334 
Energy Transfer Partners LP  5.650%  8/1/12  12,660  13,448 
Energy Transfer Partners LP  6.000%  7/1/13  18,690  20,028 
Enterprise Products Operating LLC  7.500%  2/1/11  24,400  25,982 
Enterprise Products Operating LLC  4.600%  8/1/12  21,550  22,485 
Enterprise Products Operating LLC  5.650%  4/1/13  34,270  36,582 
Enterprise Products Operating LLC  5.900%  4/15/13  36,800  39,299 
Enterprise Products Operating LLC  9.750%  1/31/14  9,750  11,690 
5 Enterprise Products Operating LLC  8.375%  8/1/66  20,700  20,259 
6 Gulf South Pipeline Co. LP  5.750%  8/15/12  23,400  24,758 
Kinder Morgan Energy Partners LP  6.750%  3/15/11  3,750  3,995 
6 NGPL Pipeco LLC  6.514%  12/15/12  38,845  42,730 
ONEOK Partners LP  8.875%  6/15/10  7,950  8,309 
ONEOK Partners LP  5.900%  4/1/12  9,370  9,861 
Plains All American Pipeline LP / PAA         
Finance Corp.  4.250%  9/1/12  14,640  15,168 


6  Rockies Express Pipeline LLC  6.250%  7/15/13  12,100  13,100 
  Southern Union Co.  6.089%  2/16/10  17,580  17,703 
5  Southern Union Co.  7.200%  11/1/66  17,625  14,519 
5  TransCanada PipeLines Ltd.  6.350%  5/15/67  7,500  6,931 
          1,248,911 
Total Corporate Bonds (Cost $17,152,868)        17,427,559 
Sovereign Bonds (U.S. Dollar-Denominated) (1.1%)         
6  Abu Dhabi National Energy Co.  5.620%  10/25/12  9,400  9,788 
6  Abu Dhabi National Energy Co.  4.750%  9/15/14  12,000  12,113 
6  Abu Dhabi National Energy Co.  5.875%  10/27/16  15,000  15,153 
6  Central American Bank for Economic         
  Integration  5.375%  9/24/14  10,000  10,240 
6  Emirate of Abu Dhabi  5.500%  4/8/14  2,740  2,917 
  Export-Import Bank of Korea  5.500%  10/17/12  17,800  18,546 
6  Gaz Capital SA  6.212%  11/22/16  11,300  10,791 
4  Governor & Co. of the Bank of Ireland  0.342%  12/18/09  61,800  61,616 
6  Hana Bank  6.500%  4/9/12  4,580  4,809 
6  Industrial Bank of Korea  7.125%  4/23/14  6,700  7,272 
  Korea Development Bank/Republic of Korea  5.300%  1/17/13  18,675  19,465 
6  Korea Gas Corp.  6.000%  7/15/14  4,500  4,796 
6  MDC-GMTN B.V.  5.750%  5/6/14  16,200  17,126 
6  National Agricultural Cooperative Federation  5.000%  9/30/14  10,000  10,027 
  Petrobras International Finance Co.  9.125%  7/2/13  5,587  6,652 
  Petrobras International Finance Co.  7.750%  9/15/14  1,600  1,835 
5,6 Petroleum Co. of Trinidad & Tobago Ltd.  6.000%  5/8/22  5,800  5,427 
5,6 Petroleum Export Ltd.  4.623%  6/15/10  1,917  1,888 
6  Petronas Capital Ltd.  7.000%  5/22/12  20,700  22,821 
5,6 PF Export Receivables Master Trust  3.748%  6/1/13  5,166  5,049 
5,6 PF Export Receivables Master Trust  6.436%  6/1/15  10,282  10,783 
6  Qatar Govt International Bond  5.150%  4/9/14  3,200  3,360 
5,6 Qatar Petroleum  5.579%  5/30/11  10,446  10,787 
5,6 Ras Laffan Liquefied Natural Gas Co. Ltd. II  5.298%  9/30/20  14,590  14,628 
6  Ras Laffan Liquefied Natural Gas Co. Ltd. III  5.500%  9/30/14  6,675  7,115 
6  TDIC Finance Ltd.  6.500%  7/2/14  14,000  15,192 
6  TransCapitalInvest Ltd. for OJSC AK         
  Transneft  5.670%  3/5/14  22,675  22,307 
Total Sovereign Bonds (Cost $323,933)        332,503 
Taxable Municipal Bonds (0.4%)         
  Board of Trustees of The Leland Stanford         
  Junior University  3.625%  5/1/14  4,000  4,152 
  Duke University  4.200%  4/1/14  7,200  7,618 
4  Florida Hurricane Catastrophe Fund Finance         
  Corp. Rev.  1.026%  10/15/12  47,450  44,660 
  Howard Hughes Medical Institute  3.450%  9/1/14  6,200  6,386 
5  Louisiana Public Facs. Auth. Systems Rev.  4.500%  2/1/14  49,117  52,110 
  New York City NY IDA Special Fac. Rev.         
  (American Airlines Inc. J.F.K International         
  Project)  7.500%  8/1/16  3,400  3,310 
Total Taxable Municipal Bonds (Cost $117,239)        118,236 
Tax-Exempt Municipal Bonds (0.3%)         
  California GO CP  0.400%  11/4/09 LOC  4,350  4,350 
  California GO CP  0.400%  11/4/09 LOC  16,249  16,249 
  California GO CP  1.250%  11/4/09  19,860  19,859 
  California GO CP  0.400%  11/5/09 LOC  6,968  6,968 
  California GO CP  0.420%  11/5/09 LOC  11,345  11,346 


4 California Housing Finance Agency Home         
Mortgage Rev. VRDO  0.500%  8/1/37  6,850  6,850 
4 California Housing Finance Agency Multifamily         
Housing Rev. VRDO  0.500%  2/1/37  22,125  22,125 
Total Tax-Exempt Municipal Bonds (Cost $87,747)        87,747 
 
      Shares   
Preferred Stocks (0.5%)         
Southern California Edison Co. Pfd.  5.349%    1,234,390  107,845 
Goldman Sachs Group Inc. Pfd.  4.000%    1,580,000  33,685 
Santander Finance SA Unipersonal Pfd.  10.500%    311,773  8,530 
General Electric Capital Corp. Pfd.  6.450%    300,000  7,452 
Aspen Insurance Holdings Ltd. Pfd.  7.401%    262,600  5,331 
Federal National Mortgage Assn. Pfd.  4.500%    934,000  747 
7 Lehman Brothers Holdings Inc. Pfd.  7.250%    29,160  197 
Total Preferred Stocks (Cost $236,952)        163,787 
Temporary Cash Investment (8.0%)         
Money Market Fund (8.0%)         
8 Vanguard Market Liquidity Fund         
(Cost $2,486,626)  0.225%    2,486,625,556  2,486,626 
Total Investments (99.8%) (Cost $30,949,403)        31,200,942 
Other Assets and Liabilities-Net (0.2%)        68,361 
Net Assets (100%)        31,269,303 

* Securities with a value of $2,235,000 have been segregated as collateral for open swap contracts.
1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee
Program.
2 Securities with a value of $28,629,000 have been segregated as initial margin for open futures contracts.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
4 Adjustable-rate security.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2009, the
aggregate value of these securities was $3,853,983,000, representing 12.3% of net assets.
7 Non-income-producing security--security in default.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
CP—Commercial Paper.
GO—General Obligation Bond.
IDA—Industrial Development Authority Bond.
REIT—Real Estate Investment Trust.
VRDO—Variable Rate Demand Obligation.


Short-Term Investment-Grade Fund

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

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

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

At October 31, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value (Depreciation) 
5-Year United States Treasury Note/Bond  December 2009  (5,393)  628,032  (2,967) 
2-Year United States Treasury Note/Bond  December 2009  (2,880)  626,715  (1,662) 
10-Year United States Treasury Note/Bond  December 2009  (933)  110,662  (1,918) 

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

Swap Contracts: The fund may invest in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific bond issuer. The fund has sold credit protection through credit default swaps, to simulate investments in long bond positions that are either unavailable or considered to be less attractively priced in the bond market. The fund has also purchased credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an upfront payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional principal amount. If the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer the notional amount and take delivery of a debt instrument of the reference issuer of the same notional par amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for debt instruments of the relevant reference entity, as


Short-Term Investment-Grade Fund

determined either in a market auction for credit default swaps of such reference entity or pursuant to a pre-agreed upon valuation procedure.

The fund is subject to credit risk through its investment in swap transactions to earn the total return on the Commercial Mortgage-Backed Securities (CMBS) Index. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on the CMBS index, applied to a notional principal amount. In return, the fund agrees to pay the counterparty a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities.

The fund has also entered into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional principal amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily and the change in value is recorded as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract. The primary risks associated with selling credit protection are that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A primary risk for all types of swaps is that a counterparty will default on its obligation to pay net amounts due to the fund. The fund's maximum risk of loss from counterparty credit risk is the amount of unrealized appreciation on the swap contract. This risk is mitigated by entering into swaps only with highly rated counterparties, a master netting arrangement between the fund and the counterparty and by the posting of collateral by the counterparty. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has posted. Any securities posted as collateral for open contracts are noted in the Schedule of Investments.

Credit Default Swaps             
        Up-Front  Periodic   
        Premium  Premium  Unrealized 
      Notional  Received  Received  Appreciation 
  Termination    Amount  (Paid)  (Paid) (Depreciation) 
Reference Entity  Date Counterparty1  ($000)  ($000)  (%)  ($000) 
Credit Protection Sold/Moody’s Rating           
Burlington Northern Sante Fe            
Corp./Baa1  6/20/12  DBAG  18,400  —  0.400  8 
Johnson & Johnson/Aaa  9/20/12  UBSAG  7,340  —  0.080  (40) 
Johnson & Johnson/Aaa  9/20/12  GSCM  18,345  —  0.070  (103) 
Lloyds TBS Bank/Aa3  6/20/14  DBAG  12,900  —  1.550  260 


Short-Term Investment-Grade Fund

Credit Protection Purchased             
AT&T Inc.  6/20/13  GSCM  12,700  —  (1.040)  (86) 
Merrill Lynch & Co., Inc.  9/20/13  BOANA  14,700  —  (2.900)  (847) 
Barclays Bank  3/20/10  BOANA  10,000  —  (2.450)  (81) 
Citigroup Inc.  6/20/14  BOANA  34,200  (1,462)  (5.000)  (6,306) 
Goldman Sachs Group, Inc.  6/20/10  JPMC  13,000  (203)  (1.000)  (205) 
Wells Fargo  6/20/10  DBAG  11,000  (250)  (1.000)  (252) 
Barclays Bank  6/20/10  BOANA  4,000  —  (1.680)  (33) 
Banco Santander  6/20/14  BOANA  19,320  —  (1.680)  (483) 
BBVA Senior Finance  6/20/14  DBAG  12,900  —  (0.950)  (46) 
Wells Fargo  9/20/10  DBAG  12,000  45  (1.000)  41 
            (8,173) 

1 BOANA—Bank of America, N.A.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.
UBSAG—UBS AG.

Total Return Swaps           
        Floating  Unrealized 
      Notional Interest Rate  Appreciation 
  Termination    Amount  Received  (Depreciation) 
Reference Entity  Date Counterparty1  ($000)  (Paid)2  ($000) 
Commercial Mortgage-Backed Securities           
Index  11/1/09  BARC  67,700  (0.250%)  — 
1 BARC—Barclays Bank PLC.           
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.     
 
Interest Rate Swaps           
      Fixed  Floating  Unrealized 
    Notional Interest Rate  Interest Rate  Appreciation 
    Amount  Received  Received (Depreciation) 
Termination Date  Counterparty1  ($000)  (Paid)  (Paid)  ($000) 
5/18/10  BARC  48,900  2.550%  (0.430%)3  577 
6/15/10  BARC  25,000  2.590%  (0.300%)3  339 
6/15/10  BOANA  3,025  0.410%  (0.250%)2  1 
9/30/10  BARC  683,814  3.440%  (0.280%)3  17,994 
11/6/10  BARC  27,604  1.350%  (0.240%)2  229 
11/6/10  BARC  67,554  1.350%  (0.240%)2  555 
11/6/10  GSCM  74,194  1.360%  (0.240%)2  619 
11/6/10  WFC  38,614  1.360%  (0.240%)2  323 
11/15/10  WFC  29,300  1.080%  (0.250%)2  165 


Short-Term Investment-Grade Fund

11/15/10  WFC  28,000  0.990%  (0.250%)2  132 
11/15/10  GSCM  2,700  0.630%  (0.250%)2  3 
12/15/10  WFC  17,550  1.020%  (0.250%)2  84 
1/18/11  BOANA  6,830  0.740%  (0.250%)2  7 
4/15/11  BOANA  25,400  1.050%  (0.250%)2  86 
5/15/11  BOANA  123,735  1.560%  (0.250%)2  1,295 
5/16/11  JPMC  5,640  1.090%  (0.250%)2  18 
5/16/11  BOANA  3,400  0.940%  (0.250%)2  4 
5/16/11  WFC  3,380  0.980%  (0.250%)2  6 
6/15/11  GSCM  6,700  1.320%  (0.250%)2  42 
6/15/11  WFC  1,325  1.320%  (0.250%)2  8 
7/15/11  JPMC  15,200  1.290%  (0.250%)2  82 
7/15/11  WFC  16,700  1.320%  (0.250%)2  99 
7/15/11  BARC  112,500  1.200%  (0.250%)2  431 
7/15/11  GSCM  16,000  1.300%  (0.250%)2  87 
7/15/11  WFC  7,800  1.300%  (0.250%)2  43 
7/15/11  GSCM  3,380  1.090%  (0.250%)2  6 
7/15/11  BOANA  13,500  1.090%  (0.250%)2  27 
7/15/11  WFC  5,195  1.030%  (0.230%)2  5 
8/15/11  GSCM  3,400  1.090%  (0.230%)2  4 
9/15/11  WFC  6,625  1.410%  (0.250%)2  40 
9/15/11  BARC  15,796  1.400%  (0.250%)2  93 
10/6/11  WFC  76,060  1.720%  (0.240%)2  874 
10/6/11  BARC  76,060  1.720%  (0.240%)2  879 
10/15/11  WFC  5,000  1.510%  (0.250%)2  36 
10/21/11  WFC  31,800  1.340%  (0.290%)3  76 
10/21/11  WFC  78,000  1.340%  (0.280%)3  183 
11/15/11  GSCM  9,700  1.360%  (0.250%)2  34 
11/15/11  WFC  13,900  1.480%  (0.250%)2  82 
11/15/11  WFC  2,250  1.500%  (0.250%)2  14 
12/6/11  WFC  180,666  2.020%  (0.310%)3  2,664 
1/15/12  WFC  10,200  1.380%  (0.230%)2  18 
2/6/12  WFC  61,196  1.490%  (0.240%)2  207 
2/15/12  BOANA  36,100  1.770%  (0.250%)2  339 
3/6/12  GSCM  55,124  1.500%  (0.240%)2  152 
4/15/12  GSCM  8,940  1.540%  (0.250%)2  19 
4/15/12  WFC  11,270  1.540%  (0.250%)2  24 
4/16/12  WFC  5,075  1.990%  (0.250%)2  66 
4/16/12  BOANA  890  1.570%  (0.250%)2  3 
5/15/12  GSCM  89,500  1.900%  (0.250%)2  895 
6/15/12  BARC  69,900  1.660%  (0.250%)2  189 


Short-Term Investment-Grade Fund

6/15/12  BARC  3,280  1.680%  (0.250%)2  11 
6/15/12  BARC  17,425  1.610%  (0.250%)2  28 
6/15/12  WFC  55,500  1.570%  (0.250%)2  30 
7/15/12  GSCM  41,000  1.730%  (0.250%)2  143 
7/15/12  WFC  23,000  1.710%  (0.250%)2  68 
7/15/12  BARC  36,250  1.680%  (0.230%)2  79 
8/15/12  WFC  77,375  1.850%  (0.250%)2  418 
8/20/12  WFC  29,300  1.770%  (0.250%)2  91 
9/6/12  GSCM  88,131  2.070%  (0.240%)2  957 
9/6/12  BOANA  88,131  2.070%  (0.240%)2  939 
9/15/12  GSCM  62,700  1.860%  (0.250%)2  277 
9/15/12  WFC  27,325  1.760%  (0.250%)2  43 
10/15/12  WFC  5,260  1.800%  (0.250%)2  9 
10/20/12  BARC  19,100  1.760%  (0.250%)2  4 
10/20/12  BARC  18,900  2.040%  (0.250%)2  154 
10/22/12  BOANA  10,950  2.450%  (0.250%)2  223 
11/7/12  WFC  8,970  1.930%  (0.240%)2  42 
11/15/12  WFC  6,650  1.900%  (0.250%)2  22 
11/15/12  BARC  13,205  1.950%  (0.250%)2  63 
12/6/12  BARC  94,300  2.330%  (0.310%)3  1,219 
12/15/12  BOANA  11,000  2.210%  (0.300%)3  98 
12/17/12  BARC  7,900  2.380%  (0.250%)2  131 
12/17/12  BOANA  87,300  2.030%  (0.250%)2  524 
12/17/12  WFC  26,400  2.260%  (0.290%)3  278 
12/17/12  WFC  21,050  1.990%  (0.290%)3  50 
2/15/13  WFC  3,900  1.960%  (0.250%)2  5 
3/15/13  WFC  2,400  2.100%  (0.250%)2  12 
3/15/13  WFC  6,600  2.170%  (0.250%)2  48 
3/15/13  BARC  11,750  2.380%  (0.250%)2  166 
6/15/13  GSCM  9,300  2.350%  (0.250%)2  92 
7/15/13  BARC  10,000  2.530%  (0.250%)2  154 
7/15/13  BOANA  54,488  2.190%  (0.250%)2  182 
9/15/13  WFC  49,000  2.330%  (0.300%)3  148 
9/16/13  GSCM  16,750  2.290%  (0.300%)3  24 
11/17/13  JPMC  7,695  2.170%  (0.250%)2  (23) 
12/1/13  GSCM  43,112  2.580%  (0.360%)3  411 
12/1/13  WFC  128,237  2.580%  (0.360%)3  1,213 
12/1/13  GSCM  128,237  2.580%  (0.360%)3  1,222 
3/6/14  GSCM  128,659  2.450%  (0.240%)2  507 
3/15/14  WFC  14,000  2.660%  (0.250%)2  171 
5/15/14  GSCM  2,675  2.300%  (0.250%)2  (14) 


Short-Term Investment-Grade Fund

8/15/14  WFC  78,750  2.680%  (0.250%)2  604 
8/15/16  GSCM  11,460  3.030%  (0.250%)2  (16) 
12/15/16  WFC  16,300  3.370%  (0.300%)3  200 
2/15/17  WFC  85,000  3.370%  (0.250%)2  1,270 
2/15/17  GSCM  45,000  3.430%  (0.250%)2  857 
2/15/17  BARC  3,380  3.180%  (0.240%)2  8 
          43,300 

1 BARC—Barclays Bank PLC.
BOANA—Bank of America, N.A.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.
WFC—Wachovia Bank N.A.
2 Based on 1-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on 3-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

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

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

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

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

The following table summarizes the fund's investments as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  3,358,197  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  7,226,287   
Corporate Bonds  —  17,427,559  — 
Sovereign Bonds  —  332,503  — 
Taxable Municipal Bonds  —  118,236  — 
Tax-Exempt Municipal Bonds  —  87,747  — 
Preferred Stocks  163,787  —  — 
Temporary Cash Investments  2,486,626  —  — 
Futures Contracts—Assets1  1,811  —  — 
Futures Contracts—Liabilities1  (8,714)  —  — 
Swap Contracts—Assets  —  43,662  — 
Swap Contracts—Liabilities  —  (8,535)  — 
Total  2,643,510  28,585,656  — 
1 Represents variation margin on the last day of the reporting period.       


Short-Term Investment-Grade Fund

At October 31, 2009, the cost of investment securities for tax purposes was $30,949,422,000. Net unrealized appreciation of investment securities for tax purposes was $251,520,000, consisting of unrealized gains of $902,447,000 on securities that had risen in value since their purchase and $650,927,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Federal Fund

Schedule of Investments
As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (89.4%)         
U.S. Government Securities (12.0%)         
  United States Treasury Inflation Indexed         
  Bonds  2.375%  4/15/11  108,700  122,226 
  United States Treasury Inflation Indexed         
  Bonds  2.000%  4/15/12  23,750  26,382 
  United States Treasury Note/Bond  1.000%  9/30/11  68,400  68,624 
  United States Treasury Note/Bond  1.000%  10/31/11  314,150  314,788 
  United States Treasury Note/Bond  1.375%  10/15/12  36,400  36,366 
          568,386 
Agency Bonds and Notes (65.2%)         
1  Federal Farm Credit Bank  2.125%  6/18/12  98,500  100,060 
1  Federal Farm Credit Bank  2.625%  4/17/14  54,000  54,317 
1  Federal Home Loan Banks  5.000%  5/13/11  80,000  85,054 
1  Federal Home Loan Banks  5.250%  6/10/11  29,105  31,125 
1,2 Federal Home Loan Banks  1.375%  10/19/11  75,000  75,363 
1  Federal Home Loan Banks  3.625%  6/8/12  25,000  26,345 
1  Federal Home Loan Banks  1.625%  11/21/12  100,000  99,786 
1  Federal Home Loan Banks  5.250%  9/13/13  35,000  38,936 
1,3 Federal Home Loan Banks  3.625%  10/18/13  50,000  52,908 
1  Federal Home Loan Banks  4.875%  11/27/13  35,000  38,431 
1  Federal Home Loan Banks  5.250%  6/18/14  50,000  56,030 
1,2 Federal Home Loan Mortgage Corp.  2.050%  3/9/11  100,000  100,651 
1,2 Federal Home Loan Mortgage Corp.  1.750%  4/20/11  34,645  34,862 
1  Federal Home Loan Mortgage Corp.  1.125%  12/15/11  200,000  199,906 
1,2 Federal Home Loan Mortgage Corp.  1.750%  4/13/12  170,000  170,532 
1,2 Federal Home Loan Mortgage Corp.  2.200%  4/20/12  100,000  100,615 
1  Federal Home Loan Mortgage Corp.  1.750%  6/15/12  291,000  293,404 
1,2 Federal Home Loan Mortgage Corp.  2.000%  6/15/12  50,000  50,110 
1  Federal Home Loan Mortgage Corp.  2.125%  9/21/12  296,000  300,715 
1  Federal Home Loan Mortgage Corp.  4.625%  10/25/12  100,000  108,839 
1  Federal Home Loan Mortgage Corp.  5.000%  1/30/14  15,000  16,574 
1,2 Federal Home Loan Mortgage Corp.  3.250%  2/18/14  100,000  100,632 
1  Federal Home Loan Mortgage Corp.  2.500%  4/23/14  209,500  210,604 
1,2 Federal Home Loan Mortgage Corp.  3.625%  8/25/14  12,500  12,684 
1  Federal National Mortgage Assn.  1.000%  11/23/11  21,000  20,967 
1  Federal National Mortgage Assn.  1.875%  4/20/12  48,000  48,648 
1,2 Federal National Mortgage Assn.  2.150%  5/4/12  50,000  50,286 
1  Federal National Mortgage Assn.  4.875%  5/18/12  500  543 
1,2 Federal National Mortgage Assn.  2.000%  9/28/12  100,000  100,216 
1  Federal National Mortgage Assn.  2.750%  2/5/14  150,500  153,137 
1,2 Federal National Mortgage Assn.  3.375%  3/10/14  120,000  120,995 
1  Federal National Mortgage Assn.  2.750%  3/13/14  50,000  50,876 
1,2 Federal National Mortgage Assn.  3.300%  7/30/14  30,000  30,256 
1,2 Federal National Mortgage Assn.  3.500%  8/25/14  45,000  45,490 
1  Federal National Mortgage Assn.  3.000%  9/16/14  86,000  87,781 
1  Federal National Mortgage Assn.  2.625%  11/20/14  31,000  31,015 
          3,098,693 
Conventional Mortgage-Backed Securities (10.0%)         
1,2 Fannie Mae Pool  6.500%  10/1/10–9/1/16  9,232  9,939 


1,2 Fannie Mae Pool  8.000%  10/1/14–9/1/15  1,708  1,846 
1,2 Fannie Mae Pool  7.500%  3/1/15–8/1/15  388  414 
1,2 Fannie Mae Pool  6.000%  4/1/17  5,554  5,979 
1,2 Fannie Mae Pool  5.000%  8/1/20–7/1/22  110,174  116,640 
1,2 Fannie Mae Pool  5.500%  11/1/21–12/1/22  43,565  46,379 
1,2 Fannie Mae Pool  4.000%  11/1/24  36,500  37,162 
1,2 Fannie Mae Pool  4.500%  11/1/24  20,000  20,775 
1,2 Freddie Mac Gold Pool  6.500%  9/1/11  102  105 
1,2 Freddie Mac Gold Pool  5.500%  2/1/16–11/1/24  30,431  32,599 
1,2 Freddie Mac Gold Pool  6.000%  1/1/23–11/1/24  47,038  50,410 
1,2 Freddie Mac Gold Pool  4.500%  4/1/23–7/1/24  87,172  90,676 
1,2 Freddie Mac Gold Pool  5.000%  7/1/23–11/1/24  61,192  64,646 
        477,570 
Nonconventional Mortgage-Backed Securities (2.2%)         
1,2 Fannie Mae Pool  2.798%  6/1/33  4,544  4,650 
1,2 Fannie Mae Pool  3.277%  10/1/33  4,580  4,725 
1,2 Fannie Mae Pool  3.444%  9/1/33  9,906  10,248 
1,2 Fannie Mae Pool  3.472%  8/1/34  3,574  3,643 
1,2 Fannie Mae Pool  3.483%  9/1/33  4,858  5,006 
1,2 Fannie Mae Pool  3.519%  8/1/33  716  749 
1,2 Fannie Mae Pool  3.545%  7/1/33  1,972  2,034 
1,2 Fannie Mae Pool  3.550%  8/1/33  3,984  4,105 
1,2 Fannie Mae Pool  3.587%  7/1/33  5,064  5,225 
1,2 Fannie Mae Pool  3.635%  8/1/33  1,596  1,646 
1,2 Fannie Mae Pool  3.845%  6/1/34  15,668  16,176 
1,2 Fannie Mae Pool  4.788%  6/1/38  3,650  3,811 
1,2 Fannie Mae Pool  6.298%  9/1/36  14,456  15,352 
1,2 Fannie Mae Pool  6.429%  9/1/36  11,979  12,733 
1,2 Freddie Mac Non Gold Pool  5.311%  11/1/38  4,377  4,603 
1,2 Freddie Mac Non Gold Pool  5.455%  8/1/33  2,180  2,244 
1,2 Freddie Mac Non Gold Pool  6.018%  5/1/36  6,869  7,270 
        104,220 
Total U.S. Government and Agency Obligations (Cost $4,189,895)      4,248,869 
Temporary Cash Investments (22.2%)         
Repurchase Agreements (22.2%)         
Barclays Capital Inc.         
(Dated 10/30/09, Repurchase Value         
$354,379,000, collateralized by United         
States Treasury Note/Bond 3.125%-         
4.750%, 9/30/13-5/15/14)  0.060%  11/2/09  354,377  354,377 
BNP Paribas Securities Corp.         
(Dated 10/30/09, Repurchase Value         
$350,002,000, collateralized by United         
States Treasury Note/Bond 1.375%-         
4.250%, 2/15/10-11/15/17)  0.060%  11/2/09  350,000  350,000 
RBS Securities, Inc.         
(Dated 10/30/09, Repurchase Value         
$350,002,000, collateralized by Federal         
Home Loan Bank 0.420%-5.750%,         
11/13/09-12/9/22, Federal Home Loan         
Mortgage Corp. 6.250%-6.750%, 9/15/29-         
7/15/32, and Federal National Mortgage         
Assn. 4.375%-7.250%, 9/13/10-8/6/38)  0.080%  11/2/09  350,000  350,000 
Total Temporary Cash Investments (Cost $1,054,377)        1,054,377 


Total Investments (111.6%) (Cost $5,244,272)  5,303,246 
Other Assets and Liabilities-Net (-11.6%)  (549,499) 
Net Assets (100%)  4,753,747 

1 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
3 Securities with a value of $3,174,000 have been segregated as initial margin for open futures contracts.

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

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

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

At October 31, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value   (Depreciation) 
2-Year United States Treasury Note/Bond  December 2009  (940)  204,553  (513) 
5-Year United States Treasury Note/Bond  December 2009  1,144  133,222  271 
10-Year United States Treasury Note/Bond  December 2009  (89)  10,556  (183) 

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

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

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

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

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


Short-Term Federal Fund

The following table summarizes the fund's investments as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  4,248,869  — 
Temporary Cash Investments  —  1,054,377  — 
Futures Contracts—Assets1  1,342  —  — 
Futures Contracts—Liabilities1  (964)  —  — 
Total  378  5,303,246  — 

1 Represents variation margin on the last day of the reporting period.

At October 31, 2009, the cost of investment securities for tax purposes was $5,258,970,000. Net unrealized appreciation of investment securities for tax purposes was $44,276,000, consisting of unrealized gains of $44,278,000 on securities that had risen in value since their purchase and $2,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Treasury Fund

Schedule of Investments
As of October 31, 2009

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (98.7%)         
U.S. Government Securities (97.8%)         
United States Treasury Inflation Indexed         
Bonds  2.375%  1/15/25  33,000  40,142 
United States Treasury Note/Bond  3.000%  9/30/16  500  501 
United States Treasury Note/Bond  7.875%  2/15/21  235,581  326,796 
United States Treasury Note/Bond  8.125%  5/15/21  84,875  119,939 
United States Treasury Note/Bond  8.125%  8/15/21  19,000  26,924 
United States Treasury Note/Bond  7.250%  8/15/22  139,000  186,368 
United States Treasury Note/Bond  7.125%  2/15/23  102,500  136,325 
1 United States Treasury Note/Bond  6.250%  8/15/23  240,500  298,107 
United States Treasury Note/Bond  7.625%  2/15/25  11,000  15,443 
United States Treasury Note/Bond  6.375%  8/15/27  92,650  118,332 
United States Treasury Note/Bond  6.125%  11/15/27  94,000  117,236 
United States Treasury Note/Bond  5.250%  11/15/28  26,000  29,579 
United States Treasury Note/Bond  6.125%  8/15/29  77,800  97,918 
United States Treasury Note/Bond  5.375%  2/15/31  227,095  263,784 
United States Treasury Note/Bond  4.750%  2/15/37  88,000  95,411 
United States Treasury Note/Bond  5.000%  5/15/37  191,250  215,305 
United States Treasury Note/Bond  4.375%  2/15/38  238,500  243,978 
United States Treasury Note/Bond  3.500%  2/15/39  238,000  208,548 
United States Treasury Note/Bond  4.250%  5/15/39  123,500  123,751 
United States Treasury Note/Bond  4.500%  8/15/39  85,000  88,759 
        2,753,146 
Agency Bonds and Notes (0.9%)         
Private Export Funding Corp.  4.950%  11/15/15  23,900  26,318 
Total U.S. Government and Agency Obligations (Cost $2,625,559)      2,779,464 
Temporary Cash Investment (0.2%)         
Repurchase Agreement (0.2%)         
Barclays Capital Inc.         
(Dated 10/30/09, Repurchase Value         
$6,940,000, collateralized by United States         
Treasury Note/ Bond 6.875%, 8/15/25)         
(Cost $6,940)  0.060%  11/2/09  6,940  6,940 
Total Investments (98.9%) (Cost $2,632,499)        2,786,404 
Other Assets and Liabilities-Net (1.1%)        30,257 
Net Assets (100%)        2,816,661 

1 Securities with a value of $2,727,000 have been segregated as initial margin for open futures contracts.


Vanguard Long-Term Treasury Fund

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

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

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

At October 31, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value (Depreciation) 
2-Year United States Treasury Note/Bond  December 2009  (1,231)  267,877  (575) 
10-Year United States Treasury Note/Bond  December 2009  352  41,750  102 

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


Vanguard Long-Term Treasury Fund

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

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

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

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

The following table summarizes the fund’s investment as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  2,779,464  — 
Temporary Cash Investments  —  6,940  — 
Futures Contracts—Assets1  162  —  — 
Futures Contracts—Liabilities1  (423)  —  — 
Total  (261)  2,786,404  — 
1 Represents variation margin on the last day of the reporting period.       

At October 31, 2009, the cost of investment securities for tax purposes was $2,647,498,000. Net unrealized appreciation of investment securities for tax purposes was $138,906,000, consisting of unrealized gains of $189,493,000 on securities that had risen in value since their purchase and $50,587,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Treasury Fund

Schedule of Investments
As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (97.3%)         
U.S. Government Securities (95.6%)         
  United States Treasury Inflation Indexed         
  Bonds  0.875%  4/15/10  20,000  22,839 
  United States Treasury Inflation Indexed         
  Bonds  2.375%  4/15/11  179,450  201,780 
  United States Treasury Inflation Indexed         
  Bonds  3.375%  1/15/12  10,000  13,008 
  United States Treasury Inflation Indexed         
  Bonds  3.000%  7/15/12  146,100  188,286 
  United States Treasury Inflation Indexed         
  Bonds  2.000%  1/15/14  30,000  36,779 
  United States Treasury Note/Bond  1.250%  11/30/10  199,000  200,741 
  United States Treasury Note/Bond  0.875%  12/31/10  260,000  261,219 
  United States Treasury Note/Bond  0.875%  4/30/11  250,000  251,055 
  United States Treasury Note/Bond  0.875%  5/31/11  300,000  301,218 
  United States Treasury Note/Bond  1.000%  7/31/11  375,000  376,815 
  United States Treasury Note/Bond  1.000%  9/30/11  45,000  45,148 
  United States Treasury Note/Bond  4.500%  9/30/11  100,000  106,922 
  United States Treasury Note/Bond  4.625%  10/31/11  20,000  21,488 
1  United States Treasury Note/Bond  1.750%  11/15/11  705,000  716,788 
  United States Treasury Note/Bond  4.500%  11/30/11  192,000  206,191 
  United States Treasury Note/Bond  1.125%  12/15/11  346,300  347,384 
  United States Treasury Note/Bond  4.625%  12/31/11  121,500  130,936 
  United States Treasury Note/Bond  1.125%  1/15/12  580,000  581,090 
  United States Treasury Note/Bond  1.875%  6/15/12  292,000  296,929 
  United States Treasury Note/Bond  1.375%  9/15/12  375,000  375,116 
  United States Treasury Note/Bond  1.375%  10/15/12  145,000  144,864 
  United States Treasury Note/Bond  3.875%  2/15/13  40,000  42,938 
  United States Treasury Note/Bond  3.125%  9/30/13  115,000  120,481 
  United States Treasury Note/Bond  2.000%  11/30/13  338,500  339,400 
  United States Treasury Note/Bond  1.500%  12/31/13  98,000  96,116 
  United States Treasury Note/Bond  1.750%  1/31/14  150,000  148,429 
  United States Treasury Note/Bond  1.875%  2/28/14  12,000  11,912 
  United States Treasury Note/Bond  1.875%  4/30/14  100,000  98,922 
  United States Treasury Note/Bond  2.250%  5/31/14  30,000  30,127 
  United States Treasury Note/Bond  2.625%  6/30/14  30,000  30,572 
  United States Treasury Note/Bond  2.625%  7/31/14  120,000  122,269 
  United States Treasury Note/Bond  2.375%  8/31/14  85,000  85,399 
  United States Treasury Note/Bond  2.375%  9/30/14  125,000  125,547 
          6,078,708 
Agency Bonds and Notes (1.7%)         
2  Overseas Private Investment Corp.  7.450%  12/15/10  4,091  4,252 
  Private Export Funding Corp.  7.200%  1/15/10  7,100  7,200 
  Private Export Funding Corp.  7.250%  6/15/10  64,080  66,842 
  Private Export Funding Corp.  6.070%  4/30/11  29,000  31,268 
          109,562 
Conventional Mortgage-Backed Securities (0.0%)         
2,3 Fannie Mae Pool  7.000%  11/1/15–3/1/16  1,072  1,150 
2,3 Freddie Mac Gold Pool  7.000%  9/1/15–1/1/16  357  382 


2,3 Freddie Mac Gold Pool  5.500%  4/1/16–5/1/16  498  532 
        2,064 
Total U.S. Government and Agency Obligations (Cost $6,102,380)      6,190,334 
Temporary Cash Investment (2.2%)         
Repurchase Agreement (2.2%)         
Barclays Capital Inc.         
(Dated 10/30/09, Repurchase Value         
$135,460,000, collateralized by United         
States Treasury Note/Bond 2.750%,         
10/31/13) (Cost $135,459)  0.060%  11/2/09  135,459  135,459 
Total Investments (99.5%) (Cost $6,237,839)        6,325,793 
Other Assets and Liabilities-Net (0.5%)        34,776 
Net Assets (100%)        6,360,569 

1 Securities with a value of $6,965,000 have been segregated as initial margin for open futures contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.

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

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

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

At October 31, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value (Depreciation) 
2-Year United States Treasury Note/Bond  December 2009  (5,314)  1,156,376  (5,701) 
5-Year United States Treasury Note/Bond  December 2009  611  71,153  193 

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


Short-Term Treasury Fund

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

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

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

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

The following table summarizes the fund's investments as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  6,190,334  — 
Temporary Cash Investments  —  135,459  — 
Futures Contracts—Assets1  237  —  — 
Futures Contracts—Liabilities1  (1,827)  —  — 
Total  (1,590)  6,325,793  — 

1 Represents variation margin on the last day of the reporting period.

At October 31, 2009, the cost of investment securities for tax purposes was $6,258,841,000. Net unrealized appreciation of investment securities for tax purposes was $66,952,000, consisting of unrealized gains of $70,179,000 on securities that had risen in value since their purchase and $3,227,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Treasury Fund

Schedule of Investments
As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (98.4%)         
U.S. Government Securities (92.2%)         
  United States Treasury Inflation Indexed         
  Bonds  2.000%  7/15/14  50,000  60,365 
  United States Treasury Inflation Indexed         
  Bonds  1.625%  1/15/15  66,000  77,098 
  United States Treasury Inflation Indexed         
  Bonds  2.000%  1/15/16  133,300  152,386 
  United States Treasury Note/Bond  3.125%  8/31/13  158,000  165,530 
  United States Treasury Note/Bond  2.750%  10/31/13  195,000  201,306 
  United States Treasury Note/Bond  1.875%  2/28/14  267,000  265,040 
  United States Treasury Note/Bond  1.750%  3/31/14  145,000  142,938 
  United States Treasury Note/Bond  1.875%  4/30/14  260,000  257,197 
  United States Treasury Note/Bond  2.250%  5/31/14  250,000  251,055 
  United States Treasury Note/Bond  2.625%  6/30/14  300,000  305,718 
1  United States Treasury Note/Bond  4.000%  2/15/15  401,000  432,831 
  United States Treasury Note/Bond  4.125%  5/15/15  229,000  248,215 
  United States Treasury Note/Bond  4.250%  8/15/15  395,000  430,242 
  United States Treasury Note/Bond  2.625%  2/29/16  975,000  965,094 
  United States Treasury Note/Bond  2.375%  3/31/16  410,000  399,045 
  United States Treasury Note/Bond  2.625%  4/30/16  72,000  71,044 
  United States Treasury Note/Bond  3.125%  10/31/16  142,000  143,220 
  United States Treasury Note/Bond  4.250%  11/15/17  30,000  32,236 
  United States Treasury Note/Bond  3.500%  2/15/18  426,000  434,056 
  United States Treasury Note/Bond  8.125%  8/15/19  68,000  94,424 
  United States Treasury Note/Bond  8.750%  8/15/20  114,000  166,209 
  United States Treasury Note/Bond  7.875%  2/15/21  130,000  180,335 
  United States Treasury Note/Bond  8.125%  5/15/21  35,000  49,459 
  United States Treasury Note/Bond  8.125%  8/15/21  92,000  130,367 
          5,655,410 
Agency Bonds and Notes (5.3%)         
  Egypt Government AID Bonds  4.450%  9/15/15  40,000  42,632 
2  Overseas Private Investment Corp.  7.600%  12/15/12  11,866  12,829 
2  Overseas Private Investment Corp.  7.050%  11/15/13  15,938  17,482 
  Private Export Funding Corp.  7.200%  1/15/10  12,900  13,081 
  Private Export Funding Corp.  7.250%  6/15/10  135,920  141,779 
  Private Export Funding Corp.  6.070%  4/30/11  51,000  54,988 
  Private Export Funding Corp.  5.685%  5/15/12  10,000  11,033 
  Private Export Funding Corp.  4.950%  11/15/15  25,600  28,190 
          322,014 
Conventional Mortgage-Backed Securities (0.0%)         
2,3 Freddie Mac Gold Pool  7.000%  5/1/15–3/1/16  419  448 
2,3 Freddie Mac Gold Pool  5.500%  4/1/16–5/1/16  1,396  1,491 
          1,939 
Nonconventional Mortgage-Backed Securities (0.9%)         
2,3 Fannie Mae Grantor Trust  5.763%  12/25/11  20,000  21,566 
2,3 Fannie Mae Grantor Trust  7.300%  5/25/10  30,000  30,985 
          52,551 


Total U.S. Government and Agency Obligations (Cost $5,905,055)      6,031,914 
Temporary Cash Investment (0.9%)         
Repurchase Agreement (0.9%)         
Barclays Capital Inc.         
(Dated 10/30/09, Repurchase Value         
$53,919,000, collateralized by United         
States Treasury Note/Bond 1.500%,         
10/31/10) (Cost $53,919)  0.060%  11/2/09  53,919  53,919 
Total Investments (99.3%) (Cost $5,958,974)        6,085,833 
Other Assets and Liabilities-Net (0.7%)        45,248 
Net Assets (100%)        6,131,081 

1 Securities with a value of $8,095,000 have been segregated as initial margin for open futures contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.

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

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

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

At October 31, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value   (Depreciation) 
2-Year United States Treasury Note/Bond  December 2009  (2,402)  522,698  (1,123) 
5-Year United States Treasury Note/Bond  December 2009  (1,719)  200,183  (2,357) 
10-Year United States Treasury Note/Bond  December 2009  1,647  195,350  897 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized


Intermediate-Term Treasury Fund

gain (loss) for tax purposes.

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

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

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

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

The following table summarizes the fund's investments as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  6,031,914  — 
Temporary Cash Investments  —  53,919  — 
Futures Contracts—Assets1  1,290  —  — 
Futures Contracts—Liabilities1  (1,873)  —  — 
Total  (583)  6,085,833  — 

1 Represents variation margin on the last day of the reporting period.

At October 31, 2009, the cost of investment securities for tax purposes was $5,983,281,000. Net unrealized appreciation of investment securities for tax purposes was $102,552,000, consisting of unrealized gains of $120,129,000 on securities that had risen in value since their purchase and $17,577,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard High-Yield Corporate Fund

Schedule of Investments
As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (2.6%)         
U.S. Government Securities (2.6%)         
  United States Treasury Note/Bond  4.875%  7/31/11  78,020  83,628 
  United States Treasury Note/Bond  4.000%  11/15/12  69,315  74,719 
  United States Treasury Note/Bond  4.250%  8/15/13  56,900  61,994 
  United States Treasury Note/Bond  2.250%  5/31/14  75,000  75,317 
Total U.S. Government and Agency Obligations (Cost $279,103)      295,658 
Corporate Bonds (92.8%)         
Finance (8.7%)         
  Banking (4.8%)         
  BAC Capital Trust XI  6.625%  5/23/36  100,245  87,201 
  Bank of America NA  5.300%  3/15/17  88,500  86,307 
  BankAmerica Capital II  8.000%  12/15/26  14,590  14,116 
  Capital One Capital V  10.250%  8/15/39  48,480  55,314 
1  Citigroup Capital XXI  8.300%  12/21/57  111,575  102,649 
  Citigroup Inc.  5.000%  9/15/14  54,790  54,021 
  Citigroup Inc.  5.500%  2/15/17  91,760  89,098 
  Goldman Sachs Group Inc.  6.750%  10/1/37  28,685  30,183 
  NB Capital Trust IV  8.250%  4/15/27  24,250  23,522 
 
  Finance Companies (1.8%)         
2  CIT Group Funding Co. of Delaware LLC  5.200%  6/1/15  30,300  29,088 
^,3 CIT Group Inc.  4.125%  11/3/09  9,680  6,486 
^  CIT Group Inc.  5.800%  7/28/11  9,710  6,263 
^  CIT Group Inc.  7.625%  11/30/12  9,725  6,224 
  CIT Group Inc.  5.000%  2/13/14  15,190  9,798 
  CIT Group Inc.  5.125%  9/30/14  5,704  3,736 
  CIT Group Inc.  5.000%  2/1/15  45,250  29,412 
  CIT Group Inc.  5.400%  1/30/16  20,000  13,000 
  CIT Group Inc.  5.850%  9/15/16  9,496  6,172 
  CIT Group Inc.  5.650%  2/13/17  26,940  17,511 
4  GMAC Inc.  8.000%  11/1/31  27,815  23,643 
4  Reynolds Group DL Escrow Inc./Reynolds         
  Group Escrow LLC  7.750%  10/15/16  53,800  53,098 
 
  Insurance (1.8%)         
  Coventry Health Care Inc.  6.125%  1/15/15  8,290  8,019 
1  Hartford Financial Services Group Inc.  8.125%  6/15/38  69,610  64,645 
4  MetLife Capital Trust IV  7.875%  12/15/37  29,325  28,963 
4  MetLife Capital Trust X  9.250%  4/8/33  33,000  36,984 
  Provident Cos. Inc.  7.000%  7/15/18  31,750  30,752 
  Unum Group  7.125%  9/30/16  7,030  7,247 
  Unum Group  6.750%  12/15/28  20,560  16,392 
  Unum Group  7.375%  6/15/32  6,295  4,504 
 
Other Finance (0.3%)         
  Lender Processing Services Inc.  8.125%  7/1/16  30,335  31,852 
          976,200 


Industrial (74.8%)         
  Basic Industry (10.1%)         
  Arch Western Finance LLC  6.750%  7/1/13  80,530  78,114 
4  Ashland Inc.  9.125%  6/1/17  24,880  26,870 
2,5 Calpine Corp. Bank Loan  3.165%  3/29/14  1  1 
  Cascades Inc.  7.250%  2/15/13  10,635  10,396 
2,5 CIT Group Exp TL Bank Loan  9.750%  1/18/12  24,500  25,388 
2,5 CIT Group Inc. Bank Loan  13.000%  1/18/12  23,540  24,393 
4  Drummond Co. Inc.  9.000%  10/15/14  6,010  6,100 
2,5 Federal Mogul Term B Bank Loan  0.000%  12/27/15  48,280  36,965 
2,5 Federal Mogul Term C Bank Loan  0.000%  12/27/15  24,570  18,812 
2  First Data Corp.  3.032%  9/24/14  509  436 
2  First Data Corp.  3.036%  9/24/14  9,211  7,891 
2,5 First Data TLB-1 Bank Loan  2.994%  9/24/14  10,733  9,215 
2,5 First Data TLB-1 Bank Loan  2.994%  9/24/14  17,819  15,299 
2,5 First Data TLB-1 Bank Loan  2.994%  9/24/14  13,278  11,401 
2,5 First Data TLB-1 Bank Loan  2.994%  9/24/14  1,835  1,575 
2,5 First Data TLB-1 Bank Loan  2.994%  9/24/14  2,619  2,249 
2,5 First Data TLB-1 Bank Loan  3.032%  9/24/14  611  525 
2,5 First Data TLB-1 Bank Loan  3.032%  9/24/14  1,015  871 
2,5 First Data TLB-1 Bank Loan  3.032%  9/24/14  756  649 
2,5 First Data TLB-1 Bank Loan  3.032%  9/24/14  105  90 
2,5 First Data TLB-1 Bank Loan  3.032%  9/24/14  149  128 
2,5 First Data TLB-1 Bank Loan  3.036%  9/24/14  56  48 
2,5 First Data TLB-1 Bank Loan  3.036%  9/24/14  80  68 
2,5 First Data TLB-1 Bank Loan  3.036%  9/24/14  326  280 
2,5 First Data TLB-1 Bank Loan  3.036%  9/24/14  542  465 
2,5 First Data TLB-1 Bank Loan  3.036%  9/24/14  404  347 
  Freeport-McMoRan Copper & Gold Inc.  8.250%  4/1/15  34,805  37,241 
  Freeport-McMoRan Copper & Gold Inc.  8.375%  4/1/17  104,410  112,241 
2,5 Freescale Semiconductor Inc Bank Loan  1.996%  12/1/13  2,000  1,620 
2,5 Freescale Semiconductor Inc Bank Loan  1.996%  12/1/13  46,480  37,648 
2,5 Freescale Semiconductor Inc Bank Loan  1.996%  12/1/13  25,000  20,250 
  Georgia-Pacific LLC  8.125%  5/15/11  23,675  24,652 
4  Georgia-Pacific LLC  7.125%  1/15/17  78,040  79,211 
  Georgia-Pacific LLC  8.000%  1/15/24  19,405  19,696 
  International Paper Co.  0.000%      — 
  Methanex Corp.  8.750%  8/15/12  28,910  29,669 
  Mosaic Global Holdings Inc.  7.300%  1/15/28  21,140  21,774 
  Neenah Paper Inc.  7.375%  11/15/14  28,380  24,123 
  Novelis Inc./GA  7.250%  2/15/15  93,555  83,732 
2,5 Rite Aid Bank Loan  9.500%  6/15/15  20,670  21,299 
  Solutia Inc.  8.750%  11/1/17  6,570  6,767 
  Teck Resources Ltd.  9.750%  5/15/14  19,455  21,887 
  Teck Resources Ltd.  10.750%  5/15/19  26,475  30,983 
  Teck Resources Ltd.  6.125%  10/1/35  29,700  25,246 
4  Terra Capital Inc.  7.750%  11/1/19  11,625  11,683 
  United States Steel Corp.  6.050%  6/1/17  14,185  13,050 
  United States Steel Corp.  7.000%  2/1/18  83,540  79,781 
4  Vedanta Resources PLC  8.750%  1/15/14  9,725  9,646 
4  Vedanta Resources PLC  9.500%  7/18/18  77,190  77,404 
  Weyerhaeuser Co.  7.375%  10/1/19  37,950  38,908 
  Weyerhaeuser Co.  7.375%  3/15/32  34,050  31,227 
 
  Capital Goods (3.8%)         
  Alliant Techsystems Inc.  6.750%  4/1/16  25,410  25,156 
  Ball Corp.  7.125%  9/1/16  3,380  3,456 
  Ball Corp.  6.625%  3/15/18  18,800  18,424 


  Ball Corp.  7.375%  9/1/19  4,890  5,024 
4  Case New Holland Inc.  7.750%  9/1/13  23,465  23,289 
  Case New Holland Inc.  7.125%  3/1/14  64,950  63,489 
  Crown Americas LLC / Crown Americas         
  Capital Corp.  7.625%  11/15/13  16,740  17,075 
  Crown Americas LLC / Crown Americas         
  Capital Corp.  7.750%  11/15/15  20,635  21,151 
  L-3 Communications Corp.  6.375%  10/15/15  15,640  15,523 
  Owens Corning  6.500%  12/1/16  29,047  28,729 
  Owens Corning  9.000%  6/15/19  40,615  44,067 
  Owens-Brockway Glass Container Inc.  8.250%  5/15/13  2,915  2,980 
  Owens-Brockway Glass Container Inc.  7.375%  5/15/16  3,385  3,419 
  Textron Financial Corp.  5.400%  4/28/13  31,850  31,276 
  TransDigm Inc.  7.750%  7/15/14  9,680  9,777 
4  TransDigm Inc.  7.750%  7/15/14  16,960  17,129 
  United Rentals North America Inc.  6.500%  2/15/12  68,015  67,080 
4  United Rentals North America Inc.  10.875%  6/15/16  29,190  31,671 
 
  Communication (16.8%)         
4  Cablevision Systems Corp.  8.625%  9/15/17  53,150  55,143 
3  CCO Holdings LLC / CCO Holdings Capital         
  Corp.  8.750%  11/15/13  19,450  21,103 
2,4,Charter Communications Operating LLC /         
6 Charter Communications Operating Capital  10.000%  4/30/12  101,960  103,744 
3,4,Charter Communications Operating LLC /         
6 Charter Communications Operating Capital  10.375%  4/30/14  76,940  78,286 
  Cincinnati Bell Inc.  8.250%  10/15/17  48,625  48,139 
  Cricket Communications Inc.  9.375%  11/1/14  60,380  58,644 
  Cricket Communications Inc.  10.000%  7/15/15  2,430  2,387 
4  Cricket Communications Inc.  7.750%  5/15/16  19,395  19,347 
4  CSC Holdings Inc./United States  8.500%  4/15/14  20,540  21,747 
  CSC Holdings Inc./United States  7.875%  2/15/18  29,580  30,504 
  CSC Holdings Inc./United States  7.625%  7/15/18  79,045  80,824 
4  CSC Holdings Inc./United States  8.625%  2/15/19  10,520  11,309 
  Frontier Communications Corp.  8.250%  5/1/14  58,395  60,001 
  Frontier Communications Corp.  8.125%  10/1/18  58,200  58,346 
  GCI Inc.  7.250%  2/15/14  53,475  51,737 
  Intelsat Corp.  9.250%  8/15/14  58,350  59,079 
  Intelsat Jackson Holdings Ltd.  9.500%  6/15/16  6,705  7,023 
4  Intelsat Jackson Holdings Ltd.  8.500%  11/1/19  11,335  11,335 
  Intelsat Ltd.  7.625%  4/15/12  33,950  33,271 
  Intelsat Ltd.  6.500%  11/1/13  46,555  42,947 
  Intelsat Subsidiary Holding Co. Ltd.  8.500%  1/15/13  61,265  62,031 
4  Intelsat Subsidiary Holding Co. Ltd.  8.875%  1/15/15  18,095  18,366 
  Interpublic Group of Cos. Inc.  6.250%  11/15/14  24,300  22,872 
  Interpublic Group of Cos. Inc.  10.000%  7/15/17  26,670  28,804 
  Lamar Media Corp.  7.250%  1/1/13  11,670  11,378 
  Lamar Media Corp.  6.625%  8/15/15  18,680  17,839 
  Liberty Media LLC  5.700%  5/15/13  85,150  81,105 
  Liberty Media LLC  8.500%  7/15/29  9,730  8,806 
  Liberty Media LLC  8.250%  2/1/30  44,115  39,704 
  Mediacom Broadband LLC / Mediacom         
  Broadband Corp.  8.500%  10/15/15  47,845  48,323 
3  Medianews Group Inc.  6.875%  10/1/13  26,317  3 
  MetroPCS Wireless Inc.  9.250%  11/1/14  23,170  23,170 
  MetroPCS Wireless Inc.  9.250%  11/1/14  68,110  68,110 
1  Quebecor Media Inc.  7.750%  3/15/16  42,795  42,153 
  Quebecor Media Inc.  7.750%  3/15/16  48,600  47,871 


  Qwest Capital Funding Inc.  7.900%  8/15/10  12,740  12,899 
  Qwest Capital Funding Inc.  7.250%  2/15/11  29,175  29,211 
  Qwest Communications International Inc.  7.250%  2/15/11  6,810  6,793 
  Qwest Communications International Inc.  7.500%  2/15/14  24,000  23,580 
4  Qwest Communications International Inc.  8.000%  10/1/15  25,000  24,813 
  Qwest Corp.  8.875%  3/15/12  90,455  94,752 
  Qwest Corp.  7.500%  10/1/14  10,505  10,584 
  Qwest Corp.  6.875%  9/15/33  27,265  22,766 
4  SBA Telecommunications Inc.  8.000%  8/15/16  11,105  11,466 
4  SBA Telecommunications Inc.  8.250%  8/15/19  11,105  11,577 
4  Sinclair Television Group Inc.  9.250%  11/1/17  25,325  25,198 
  Sprint Capital Corp.  7.625%  1/30/11  45,050  45,557 
  Sprint Capital Corp.  6.900%  5/1/19  24,395  21,102 
  Sprint Nextel Corp.  6.000%  12/1/16  31,700  27,302 
  Videotron Ltee  9.125%  4/15/18  15,655  16,986 
4  Videotron Ltee  9.125%  4/15/18  9,725  10,552 
4  Wind Acquisition Finance SA  11.750%  7/15/17  51,425  58,817 
  Windstream Corp.  8.125%  8/1/13  11,565  12,028 
  Windstream Corp.  8.625%  8/1/16  18,090  18,497 
4  Windstream Corp.  7.875%  11/1/17  13,610  13,678 
  Windstream Corp.  7.000%  3/15/19  9,720  9,210 
 
  Consumer Cyclical (12.8%)         
  AMC Entertainment Inc.  8.000%  3/1/14  23,190  22,030 
  AMC Entertainment Inc.  8.750%  6/1/19  42,420  43,480 
  Corrections Corp. of America  6.250%  3/15/13  12,065  12,005 
  Corrections Corp. of America  6.750%  1/31/14  6,300  6,237 
2,5 Ford Motor Credit Co. Bank Loan  3.250%  12/15/13  9,511  8,454 
2,5 Ford Motor Credit Co. Bank Loan  3.290%  12/15/13  145,250  129,114 
  Ford Motor Credit Co. LLC  7.000%  10/1/13  124,665  118,120 
  Ford Motor Credit Co. LLC  8.000%  12/15/16  40,750  39,120 
  Goodyear Tire & Rubber Co.  7.857%  8/15/11  5,000  5,088 
  Goodyear Tire & Rubber Co.  8.625%  12/1/11  19,400  19,982 
  Goodyear Tire & Rubber Co.  10.500%  5/15/16  9,690  10,465 
  Host Hotels & Resorts LP  7.000%  8/15/12  21,000  21,052 
  Host Hotels & Resorts LP  7.125%  11/1/13  79,045  78,156 
  Host Hotels & Resorts LP  6.875%  11/1/14  41,280  40,351 
  Host Hotels & Resorts LP  6.750%  6/1/16  7,790  7,420 
  Macy's Retail Holdings Inc.  5.350%  3/15/12  32,000  31,400 
  Macy's Retail Holdings Inc.  5.900%  12/1/16  32,070  29,745 
  Macy's Retail Holdings Inc.  7.450%  7/15/17  23,820  23,433 
  Macy's Retail Holdings Inc.  6.700%  7/15/34  9,285  7,567 
  Marquee Holdings Inc.  9.505%  8/15/14  38,405  31,876 
  MGM Mirage  8.500%  9/15/10  63,725  62,849 
  MGM Mirage  6.750%  9/1/12  34,305  29,417 
4  MGM Mirage  10.375%  5/15/14  16,470  17,541 
4  MGM Mirage  11.125%  11/15/17  18,780  20,658 
  Navistar International Corp.  8.250%  11/1/21  44,890  43,768 
4  QVC Inc.  7.500%  10/1/19  42,560  42,560 
  Rite Aid Corp.  9.750%  6/12/16  23,335  25,289 
  Rite Aid Corp.  10.375%  7/15/16  38,900  39,289 
  Rite Aid Corp.  7.500%  3/1/17  22,610  20,236 
  Royal Caribbean Cruises Ltd.  11.875%  7/15/15  24,250  27,221 
  Seneca Gaming Corp.  7.250%  5/1/12  28,640  27,638 
  Service Corp. International/US  7.375%  10/1/14  15,605  15,605 
  Service Corp. International/US  6.750%  4/1/16  25,283  24,651 
  Service Corp. International/US  7.000%  6/15/17  43,665  42,573 
  Service Corp. International/US  7.625%  10/1/18  35,040  34,777 


Tenneco Inc.  10.250%  7/15/13  24,697  25,376 
4 TRW Automotive Inc.  7.000%  3/15/14  96,785  90,494 
4 TRW Automotive Inc.  7.250%  3/15/17  44,280  40,516 
Wynn Las Vegas LLC / Wynn Las Vegas         
Capital Corp.  6.625%  12/1/14  55,385  52,616 
Wynn Las Vegas LLC / Wynn Las Vegas         
Capital Corp.  6.625%  12/1/14  36,780  34,941 
4 Wynn Las Vegas LLC / Wynn Las Vegas         
Capital Corp.  7.875%  11/1/17  34,000  33,405 
 
Consumer Noncyclical (13.5%)         
4 ACCO Brands Corp.  10.625%  3/15/15  9,275  10,087 
ARAMARK Corp.  8.500%  2/1/15  100,435  101,439 
Bio-Rad Laboratories Inc.  7.500%  8/15/13  6,550  6,648 
Bio-Rad Laboratories Inc.  6.125%  12/15/14  10,295  9,986 
4 Bio-Rad Laboratories Inc.  8.000%  9/15/16  12,800  13,184 
Biomet Inc.  10.000%  10/15/17  56,740  61,421 
Biomet Inc.  11.625%  10/15/17  16,995  18,737 
CHS/Community Health Systems Inc.  8.875%  7/15/15  120,105  123,708 
Constellation Brands Inc.  7.250%  9/1/16  65,188  65,188 
Constellation Brands Inc.  7.250%  5/15/17  26,605  26,672 
2 Elan Finance PLC/Elan Finance Corp.  4.440%  11/15/11  31,930  29,695 
Elan Finance PLC/Elan Finance Corp.  8.875%  12/1/13  47,530  46,461 
4 Elan Finance PLC/Elan Finance Corp.  8.750%  10/15/16  53,305  49,240 
HCA Inc./DE  5.750%  3/15/14  9,135  8,496 
HCA Inc./DE  6.375%  1/15/15  96,955  91,501 
HCA Inc./DE  6.500%  2/15/16  69,575  65,227 
HCA Inc./DE  9.250%  11/15/16  99,230  103,695 
4 HCA Inc./DE  9.875%  2/15/17  37,945  40,791 
4 HCA Inc./DE  8.500%  4/15/19  23,905  25,339 
HCA Inc./DE  7.690%  6/15/25  4,510  3,856 
IASIS Healthcare LLC / IASIS Capital Corp.  8.750%  6/15/14  22,370  22,929 
Omnicare Inc.  6.125%  6/1/13  6,565  6,270 
Omnicare Inc.  6.750%  12/15/13  18,335  17,647 
Omnicare Inc.  6.875%  12/15/15  15,615  14,912 
Reynolds American Inc.  7.300%  7/15/15  35,500  37,364 
Smithfield Foods Inc.  7.000%  8/1/11  26,650  25,817 
4 Smithfield Foods Inc.  10.000%  7/15/14  30,020  31,446 
Smithfield Foods Inc.  7.750%  7/1/17  63,120  51,916 
SUPERVALU Inc.  7.500%  5/15/12  12,765  13,116 
SUPERVALU Inc.  7.500%  11/15/14  39,355  39,207 
SUPERVALU Inc.  8.000%  5/1/16  13,605  13,809 
4 Talecris Biotherapeutics Holdings Corp.  7.750%  11/15/16  13,710  13,950 
Tenet Healthcare Corp.  7.375%  2/1/13  13,755  13,342 
Tenet Healthcare Corp.  9.250%  2/1/15  11,445  11,903 
4 Tenet Healthcare Corp.  9.000%  5/1/15  43,890  46,414 
4 Tenet Healthcare Corp.  10.000%  5/1/18  19,525  21,477 
4 Tenet Healthcare Corp.  8.875%  7/1/19  63,575  68,105 
Tyson Foods Inc.  8.250%  10/1/11  20,470  21,636 
Tyson Foods Inc.  10.500%  3/1/14  27,910  31,909 
Tyson Foods Inc.  7.850%  4/1/16  47,695  49,319 
Ventas Realty LP / Ventas Capital Corp.  6.625%  10/15/14  24,485  23,873 
Ventas Realty LP / Ventas Capital Corp.  7.125%  6/1/15  16,405  16,200 
Ventas Realty LP / Ventas Capital Corp.  6.500%  6/1/16  17,655  16,905 
 
Energy (10.8%)         
4 Arch Coal Inc.  8.750%  8/1/16  14,090  14,407 
4 Calpine Corp.  7.250%  10/15/17  86,753  82,415 


Chesapeake Energy Corp.  9.500%  2/15/15  15,900  17,172 
Chesapeake Energy Corp.  6.625%  1/15/16  48,625  46,437 
Chesapeake Energy Corp.  6.875%  1/15/16  39,920  38,423 
Chesapeake Energy Corp.  6.500%  8/15/17  72,645  67,923 
Chesapeake Energy Corp.  6.250%  1/15/18  45,220  41,376 
Complete Production Services Inc.  8.000%  12/15/16  855  808 
Encore Acquisition Co.  6.250%  4/15/14  5,010  4,734 
Encore Acquisition Co.  6.000%  7/15/15  17,645  16,410 
Encore Acquisition Co.  9.500%  5/1/16  17,845  19,005 
Forest Oil Corp.  8.000%  12/15/11  14,400  14,760 
Forest Oil Corp.  7.750%  5/1/14  11,805  11,628 
Forest Oil Corp.  7.250%  6/15/19  31,115  29,015 
Hornbeck Offshore Services Inc.  6.125%  12/1/14  36,695  34,035 
4 Hornbeck Offshore Services Inc.  8.000%  9/1/17  16,565  16,399 
Newfield Exploration Co.  6.625%  4/15/16  23,985  23,565 
Newfield Exploration Co.  7.125%  5/15/18  56,260  56,682 
Peabody Energy Corp.  6.875%  3/15/13  23,535  23,712 
Peabody Energy Corp.  7.375%  11/1/16  69,675  70,372 
Peabody Energy Corp.  7.875%  11/1/26  47,685  47,029 
PetroHawk Energy Corp.  9.125%  7/15/13  13,465  13,970 
PetroHawk Energy Corp.  10.500%  8/1/14  32,320  35,067 
PetroHawk Energy Corp.  7.875%  6/1/15  27,920  28,060 
4 Petroplus Finance Ltd.  6.750%  5/1/14  47,800  44,335 
4 Petroplus Finance Ltd.  7.000%  5/1/17  42,225  37,897 
Pioneer Natural Resources Co.  5.875%  7/15/16  35,730  33,342 
Pioneer Natural Resources Co.  6.650%  3/15/17  68,845  66,149 
Pioneer Natural Resources Co.  6.875%  5/1/18  38,405  36,926 
Pioneer Natural Resources Co.  7.200%  1/15/28  12,855  10,964 
Plains Exploration & Production Co.  7.750%  6/15/15  9,715  9,642 
Plains Exploration & Production Co.  7.000%  3/15/17  15,685  14,940 
Plains Exploration & Production Co.  7.625%  6/1/18  17,780  17,380 
Pride International Inc.  7.375%  7/15/14  41,000  42,333 
Range Resources Corp.  7.500%  10/1/17  19,450  19,547 
4 SandRidge Energy Inc.  9.875%  5/15/16  6,745  7,150 
4 SandRidge Energy Inc.  8.000%  6/1/18  36,345  36,072 
Southwestern Energy Co.  7.500%  2/1/18  44,155  45,369 
Whiting Petroleum Corp.  7.250%  5/1/12  17,725  17,769 
Whiting Petroleum Corp.  7.250%  5/1/13  19,910  19,960 
Whiting Petroleum Corp.  7.000%  2/1/14  2,635  2,628 
 
Other Industrial (0.7%)         
RBS Global Inc. / Rexnord LLC  9.500%  8/1/14  31,150  30,839 
Virgin Media Finance PLC  9.500%  8/15/16  43,375  45,869 
 
Technology (4.3%)         
Affiliated Computer Services Inc.  5.200%  6/1/15  30,510  29,747 
Alcatel-Lucent USA Inc.  6.450%  3/15/29  73,965  58,063 
Flextronics International Ltd.  6.500%  5/15/13  8,842  8,798 
Flextronics International Ltd.  6.250%  11/15/14  30,975  30,046 
Freescale Semiconductor Inc.  8.875%  12/15/14  64,180  51,986 
Iron Mountain Inc.  8.000%  6/15/20  17,475  17,737 
Iron Mountain Inc.  8.375%  8/15/21  32,030  33,231 
Jabil Circuit Inc.  7.750%  7/15/16  10,690  11,171 
Jabil Circuit Inc.  8.250%  3/15/18  8,745  9,357 
Seagate Technology HDD Holdings  6.375%  10/1/11  15,130  15,508 
Seagate Technology HDD Holdings  6.800%  10/1/16  33,035  32,787 
4 Seagate Technology International/Cayman         
Islands  10.000%  5/1/14  48,540  54,122 


Sensata Technologies BV  8.000%  5/1/14  14,520  13,649 
Sungard Data Systems Inc.  9.125%  8/15/13  68,250  69,274 
4 Unisys Corp.  12.750%  10/15/14  40,280  43,905 
 
Transportation (2.0%)         
2 Avis Budget Car Rental LLC/Avis Budget         
Finance Inc.  2.940%  5/15/14  8,045  6,376 
Avis Budget Car Rental LLC/Avis Budget         
Finance Inc.  7.625%  5/15/14  37,785  34,006 
Avis Budget Car Rental LLC/Avis Budget         
Finance Inc.  7.750%  5/15/16  26,250  23,494 
1 Continental Airlines Inc.  9.798%  4/1/21  30,748  24,906 
Continental Airlines Inc.  6.903%  4/19/22  20,905  17,978 
Hertz Corp.  8.875%  1/1/14  78,785  79,573 
Hertz Corp.  10.500%  1/1/16  32,355  33,730 
        8,389,159 
Utilities (9.3%)         
Electric (7.7%)         
4 AES Corp.  8.750%  5/15/13  19,789  20,185 
AES Corp.  7.750%  10/15/15  49,640  49,888 
AES Corp.  8.000%  10/15/17  18,905  19,094 
AES Corp.  8.000%  6/1/20  19,980  19,980 
Dynegy Holdings Inc.  8.375%  5/1/16  55,465  51,721 
Dynegy Holdings Inc.  7.750%  6/1/19  44,450  37,449 
Edison Mission Energy  7.500%  6/15/13  11,865  11,034 
Edison Mission Energy  7.000%  5/15/17  34,385  27,766 
Edison Mission Energy  7.200%  5/15/19  33,675  26,772 
Energy Future Holdings Corp.  5.550%  11/15/14  64,890  46,721 
Energy Future Holdings Corp.  6.500%  11/15/24  77,300  36,524 
Energy Future Holdings Corp.  6.550%  11/15/34  66,345  30,685 
4 Intergen NV  9.000%  6/30/17  57,635  59,796 
4 Ipalco Enterprises Inc.  7.250%  4/1/16  11,985  12,075 
Mirant North America LLC  7.375%  12/31/13  69,140  68,276 
NRG Energy Inc.  7.250%  2/1/14  30,145  29,994 
NRG Energy Inc.  7.375%  2/1/16  94,705  94,468 
NRG Energy Inc.  7.375%  1/15/17  69,725  69,202 
RRI Energy Inc.  6.750%  12/15/14  61,078  62,300 
RRI Energy Inc.  7.875%  6/15/17  24,850  24,104 
Texas Competitive Electric Holdings Co. LLC  10.250%  11/1/15  87,525  62,362 
 
Natural Gas (1.6%)         
El Paso Corp.  12.000%  12/12/13  16,685  19,104 
El Paso Corp.  7.000%  6/15/17  21,395  21,288 
El Paso Corp.  7.250%  6/1/18  66,150  65,985 
Kinder Morgan Finance Co. ULC  5.700%  1/5/16  19,450  18,502 
Suburban Propane Partners LP/Suburban         
Energy Finance Corp.  6.875%  12/15/13  9,978  9,828 
Williams Cos. Inc.  7.500%  1/15/31  26,750  27,648 
Williams Partners LP / Williams Partners         
Finance Corp.  7.250%  2/1/17  13,625  13,523 
        1,036,274 
Total Corporate Bonds (Cost $10,233,007)        10,401,633 
Sovereign Bonds (U.S. Dollar-Denominated) (0.7%)         
4 Fibria Overseas Finance Ltd.  9.250%  10/30/19  44,770  46,337 
4 Fresenius US Finance II Inc.  9.000%  7/15/15  28,475  31,322 
Total Sovereign Bonds (Cost $71,089)        77,659 


Temporary Cash Investments (5.7%)         
Repurchase Agreement (3.2%)         
J.P. Morgan Securities Inc. (Dated 10/30/09,         
Repurchase Value $359,102,000         
collateralized by Federal National Mortgage         
Assn. 0.000%, 10/1/18-10/1/47)  0.070%  11/2/09  359,100  359,100 
 
      Shares   
Money Market Fund (2.5%)         
7,8 Vanguard Market Liquidity Fund  0.225%    275,837,000  275,837 
Total Temporary Cash Investments (Cost $634,937)        634,937 
Total Investments (101.8%) (Cost $11,218,136)        11,409,887 
Other Assets and Liabilities-Net (-1.8%)7        (200,711) 
Net Assets (100%)        11,209,176 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $267,511,000.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
2 Adjustable-rate security.
3 Non-income-producing security--security in default.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2009, the
aggregate value of these securities was $1,972,693,000, representing 17.6% of net assets.
5 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and
private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At October
31, 2009, the aggregate value of these securities was $367,154,000, representing 3.3% of net assets.
6 Issuer has filed for bankruptcy; however, no interest payments have been missed.
7 Includes $275,836,000 of collateral received for securities on loan.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.


High-Yield Corporate Fund

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

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

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

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

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

The following table summarizes the fund's investments as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  295,658  — 
Corporate Bonds  —  10,401,633  — 
Sovereign Bonds  —  77,659  — 
Temporary Cash Investments  275,837  359,100  — 
Total  275,837  11,134,050  — 

At October 31, 2009, the cost of investment securities for tax purposes was $11,218,136,000. Net unrealized appreciation of investment securities for tax purposes was $191,751,000, consisting of unrealized gains of $490,206,000 on securities that had risen in value since their purchase and $298,455,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Investment-Grade Fund

Schedule of Investments
As of October 31, 2009

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (4.0%)         
U.S. Government Securities (1.9%)         
  United States Treasury Note/Bond  0.875%  5/31/11  7,600  7,631 
  United States Treasury Note/Bond  2.250%  5/31/14  1,200  1,205 
  United States Treasury Note/Bond  2.625%  6/30/14  113,010  115,164 
  United States Treasury Note/Bond  4.125%  5/15/15  28,000  30,349 
  United States Treasury Note/Bond  4.500%  11/15/15  10,000  11,031 
  United States Treasury Note/Bond  2.375%  3/31/16  2,000  1,947 
  United States Treasury Note/Bond  2.625%  4/30/16  4,700  4,638 
1  United States Treasury Note/Bond  3.875%  5/15/18  42,360  44,240 
  United States Treasury Note/Bond  2.750%  2/15/19  6,395  6,075 
  United States Treasury Note/Bond  3.625%  8/15/19  34,600  35,254 
          257,534 
Agency Bonds and Notes (2.1%)         
2,3 Federal Farm Credit Bank  0.206%  5/4/10  121,725  121,725 
2,3 Federal Farm Credit Bank  0.176%  5/5/10  97,000  96,994 
2,3 Federal Farm Credit Bank  0.186%  8/3/10  43,650  43,647 
2,3 Federal Farm Credit Bank  0.636%  10/1/10  4,850  4,850 
4  US Central Federal Credit Union  1.900%  10/19/12  10,000  10,064 
4  Western Corporate Federal Credit Union  1.750%  11/2/12  11,000  10,991 
          288,271 
Nonconventional Mortgage-Backed Securities (0.0%)         
3,5 Freddie Mac Non Gold Pool  3.244%  8/1/32  797  800 
3,5 Freddie Mac Non Gold Pool  3.393%  9/1/32  316  328 
          1,128 
Total U.S. Government and Agency Obligations (Cost $544,194)      546,933 
Asset-Backed/Commercial Mortgage-Backed Securities (12.5%)       
5  Ally Auto Receivables Trust  2.330%  6/17/13  4,750  4,785 
5  Ally Auto Receivables Trust  3.000%  10/15/15  1,875  1,887 
2,5,American Express Credit Account Master         
  6 Trust  0.575%  6/17/13  1,230  1,200 
2,5,American Express Credit Account Master         
  6 Trust  0.535%  8/15/13  3,000  2,853 
2,5,American Express Credit Account Master         
  6 Trust  0.525%  12/15/13  1,500  1,439 
2,5,American Express Credit Account Master         
  6 Trust  0.525%  3/17/14  1,500  1,436 
2,5 American Express Credit Account Master         
  Trust  0.275%  12/15/14  15,000  14,787 
2,5 American Express Credit Account Master         
  Trust  0.295%  9/15/16  10,000  9,708 
2,5 American Express Credit Account Master         
  Trust  1.495%  3/15/17  12,750  13,060 
2,5 AmeriCredit Automobile Receivables Trust  5.244%  1/6/15  5,500  5,822 
2,5 AmeriCredit Automobile Receivables Trust  5.244%  4/6/15  5,000  5,336 
5  Americredit Prime Automobile Receivable  1.000%  1/15/14  1,900  1,900 
5  Americredit Prime Automobile Receivable  1.000%  12/15/14  1,480  1,480 
6  BA Covered Bond Issuer  5.500%  6/14/12  11,000  11,609 
2,5 BA Credit Card Trust  0.275%  11/15/13  3,775  3,732 


2,5 BA Credit Card Trust  0.245%  4/15/14  4,720  4,644 
2,5 BA Credit Card Trust  0.945%  12/15/14  42,780  42,624 
5  Banc of America Commercial Mortgage Inc.  5.115%  10/10/45  7,700  7,451 
2,5 Banc of America Commercial Mortgage Inc.  6.166%  2/10/51  20,000  18,520 
5,6 Bank of America Auto Trust  3.030%  10/15/16  5,050  5,138 
5  Bear Stearns Commercial Mortgage         
  Securities  5.463%  4/12/38  8,200  8,387 
2,5 Bear Stearns Commercial Mortgage         
  Securities  5.719%  6/11/40  3,200  2,950 
5  Bear Stearns Commercial Mortgage         
  Securities  4.945%  2/11/41  7,304  7,268 
5  Bear Stearns Commercial Mortgage         
  Securities  5.540%  9/11/41  33,600  33,540 
5  Bear Stearns Commercial Mortgage         
  Securities  5.537%  10/12/41  27,170  27,266 
5  Bear Stearns Commercial Mortgage         
  Securities  4.254%  7/11/42  5,586  5,548 
5  Bear Stearns Commercial Mortgage         
  Securities  4.871%  9/11/42  3,530  3,405 
5  Bear Stearns Commercial Mortgage         
  Securities  5.149%  10/12/42  9,000  8,850 
5  Bear Stearns Commercial Mortgage         
  Securities  5.574%  6/11/50  13,000  13,128 
5  Bear Stearns Commercial Mortgage         
  Securities  5.613%  6/11/50  11,900  11,952 
2,5,           
6 BMW Floorplan Master Owner Trust  1.394%  9/15/14  30,665  30,725 
2,5 Capital One Multi-Asset Execution Trust  0.535%  4/15/13  1,400  1,381 
5  Capital One Multi-Asset Execution Trust  6.000%  8/15/13  2,576  2,575 
2,5 Capital One Multi-Asset Execution Trust  0.275%  3/17/14  6,080  6,028 
2,5 Capital One Multi-Asset Execution Trust  0.535%  3/17/14  1,540  1,465 
2,5 Capital One Multi-Asset Execution Trust  0.375%  8/15/14  5,975  5,915 
2,5 Capital One Multi-Asset Execution Trust  0.545%  11/15/14  4,550  4,089 
2,5 Capital One Multi-Asset Execution Trust  0.275%  3/16/15  2,100  2,065 
2,5 Capital One Multi-Asset Execution Trust  0.334%  7/15/15  2,750  2,706 
2,5 Capital One Multi-Asset Execution Trust  0.325%  9/15/15  16,300  16,025 
2,5 Capital One Multi-Asset Execution Trust  0.305%  1/15/16  16,150  15,837 
2,5 Capital One Multi-Asset Execution Trust  0.275%  4/15/16  3,600  3,496 
2,5 Capital One Multi-Asset Execution Trust  0.455%  12/15/16  1,250  1,214 
5  Capital One Multi-Asset Execution Trust  5.050%  12/17/18  15,400  16,172 
2,5 Capital One Multi-Asset Execution Trust  0.335%  6/17/19  5,430  5,059 
2,5 Capital One Multi-Asset Execution Trust  0.325%  12/16/19  60,690  56,217 
2,5 Chase Issuance Trust  0.275%  6/16/14  9,000  8,903 
2,5 Chase Issuance Trust  0.285%  7/15/14  39,200  38,774 
2,5 Chase Issuance Trust  0.315%  7/15/14  10,000  9,899 
2,5 Chase Issuance Trust  0.315%  12/15/14  61,939  61,261 
2,5 Chase Issuance Trust  0.995%  8/17/15  5,600  5,645 
2,5 Chase Issuance Trust  1.799%  9/15/15  7,850  8,141 
2,5 Citibank Credit Card Issuance Trust  0.895%  7/15/13  9,985  9,575 
2,5 Citibank Credit Card Issuance Trust  0.314%  4/24/14  1,700  1,676 
2,5 Citibank Credit Card Issuance Trust  0.655%  7/15/14  16,105  14,327 
2,5 Citibank Credit Card Issuance Trust  0.315%  10/20/14  40,750  40,064 
2,5 Citibank Credit Card Issuance Trust  0.864%  11/7/14  4,085  3,923 
5  Citibank Credit Card Issuance Trust  4.850%  4/22/15  50,000  53,792 
5  Citibank Credit Card Issuance Trust  4.900%  6/23/16  40,000  43,714 
5  Citibank Credit Card Issuance Trust  4.850%  3/10/17  10,000  10,760 
2,5 Citibank Credit Card Issuance Trust  1.445%  5/22/17  4,400  4,487 
2,5 Citibank Credit Card Issuance Trust  0.359%  12/17/18  11,300  10,582 


2,5 Citibank Credit Card Issuance Trust  1.620%  5/20/20  11,800  12,180 
5,6 Citibank Omni Master Trust  5.350%  8/15/18  8,600  8,922 
5,6 CitiFinancial Auto Issuance Trust  2.590%  10/15/13  27,025  26,923 
5,6 CitiFinancial Auto Issuance Trust  3.150%  8/15/16  7,300  7,241 
5  Citigroup Commercial Mortgage Trust  5.699%  12/10/49  13,000  13,155 
5  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.655%  11/15/44  4,270  4,304 
5  CNH Equipment Trust  5.280%  11/15/12  6,160  6,511 
5  CNH Equipment Trust  2.970%  3/15/13  17,000  17,308 
2,5 Commercial Mortgage Pass Through         
  Certificates  4.982%  5/10/43  1,000  1,001 
5  Commercial Mortgage Pass Through         
  Certificates  5.811%  12/10/49  5,600  5,675 
2,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.104%  8/15/38  2,000  1,977 
2,5 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.230%  12/15/40  23,574  23,274 
5  Credit Suisse Mortgage Capital Certificates  5.825%  6/15/38  8,800  7,795 
5  Credit Suisse Mortgage Capital Certificates  5.548%  2/15/39  10,400  9,897 
5  Credit Suisse Mortgage Capital Certificates  5.722%  6/15/39  11,000  11,121 
5  Credit Suisse Mortgage Capital Certificates  5.589%  9/15/40  8,800  8,834 
2,5 Discover Card Master Trust  1.545%  12/15/14  33,000  33,230 
2,5 Discover Card Master Trust  1.545%  2/17/15  13,850  13,915 
2,5 Discover Card Master Trust  0.639%  6/15/15  31,200  30,437 
5  Discover Card Master Trust  5.650%  12/15/15  15,000  16,414 
5  Discover Card Master Trust  5.650%  3/16/20  11,800  12,993 
2,5 Discover Card Master Trust I  0.325%  1/19/16  32,000  30,716 
2,5 Discover Card Master Trust I  0.325%  9/15/16  7,500  7,130 
2,5 Ford Credit Auto Owner Trust  1.995%  4/15/13  12,300  12,484 
2,5 Ford Credit Floorplan Master Owner Trust  1.794%  9/15/14  22,400  22,403 
2,5 GE Capital Commercial Mortgage Corp.  5.336%  3/10/44  3,280  3,304 
5  GE Capital Commercial Mortgage Corp.  4.974%  7/10/45  28,700  27,829 
5  GE Capital Commercial Mortgage Corp.  4.353%  6/10/48  5,127  5,122 
5  Greenwich Capital Commercial Funding Corp.  4.799%  8/10/42  8,620  8,109 
5  GS Mortgage Securities Corp. II  5.506%  4/10/38  15,000  15,190 
5  GS Mortgage Securities Corp. II  4.751%  7/10/39  5,300  5,220 
5  Harley-Davidson Motorcycle Trust  3.320%  2/15/17  4,000  4,072 
5  Harley-Davidson Motorcycle Trust  2.540%  4/15/17  3,600  3,630 
5,6 Hertz Vehicle Financing LLC  5.290%  3/25/16  24,300  24,342 
5  Hyundai Auto Receivables Trust  3.150%  3/15/16  4,200  4,228 
2,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.475%  4/15/43  20,045  18,814 
2,5 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.038%  3/15/46  5,999  5,947 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.629%  2/12/51  7,000  7,102 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.794%  2/12/51  12,000  10,237 
5  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.827%  2/15/51  13,370  13,535 
5  LB-UBS Commercial Mortgage Trust  5.347%  11/15/38  53,011  49,240 
5  LB-UBS Commercial Mortgage Trust  5.430%  2/15/40  15,275  13,060 
2,5 MBNA Credit Card Master Note Trust  0.305%  6/15/15  31,000  30,187 
5  Merrill Lynch Mortgage Trust  5.724%  6/12/50  11,000  11,084 
5  Merrill Lynch Mortgage Trust  5.690%  2/12/51  15,000  12,380 
5  Morgan Stanley Capital I  5.649%  6/11/42  24,100  24,347 
5  Morgan Stanley Capital I  4.989%  8/13/42  5,900  5,810 
5  Morgan Stanley Capital I  5.770%  10/15/42  60,000  58,732 


2,5 Morgan Stanley Capital I  5.385%  3/12/44  10,000  9,495 
5  Morgan Stanley Capital I  5.623%  12/12/49  4,700  4,737 
2,5 MSDWCC Heloc Trust  0.784%  11/25/15  577  360 
2,5 National City Credit Card Master Trust  0.295%  8/15/12  10,000  9,930 
2,5 National City Credit Card Master Trust  0.295%  3/17/14  15,000  14,328 
2,5,           
6 Navistar Financial Dealer Note Master Trust  0.295%  10/26/15  10,550  10,550 
5  Nissan Auto Lease Trust  2.650%  1/15/15  1,875  1,891 
5  Nissan Auto Receivables Owner Trust  4.740%  8/17/15  8,500  9,122 
2,5,Nordstrom Private Label Credit Card Master         
6 Note Trust  0.305%  5/15/15  34,300  32,131 
2,5 Target Credit Card Master Trust  0.304%  10/27/14  15,000  14,734 
2,5 TIAA Seasoned Commercial Mortgage Trust  5.787%  8/15/39  4,000  4,144 
5  Volkswagen Auto Lease Trust  4.590%  3/17/14  11,500  12,014 
5  Volkswagen Auto Loan Enhanced Trust  6.240%  7/20/15  30,000  33,404 
5  Wachovia Bank Commercial Mortgage Trust  4.847%  10/15/41  24,308  23,868 
5  Wachovia Bank Commercial Mortgage Trust  5.118%  7/15/42  5,000  4,870 
2,5 Wachovia Bank Commercial Mortgage Trust  5.209%  10/15/44  24,500  24,404 
2,5 Wachovia Bank Commercial Mortgage Trust  5.265%  12/15/44  4,115  4,006 
5  Wachovia Bank Commercial Mortgage Trust  5.569%  5/15/46  8,800  8,636 
5  Wachovia Bank Commercial Mortgage Trust  5.308%  11/15/48  15,200  14,343 
5  World Omni Auto Receivables Trust  5.120%  5/15/14  7,700  8,308 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,649,765)    1,730,833 
Corporate Bonds (75.6%)         
Finance (34.6%)         
  Banking (20.0%)         
  AgriBank FCB  9.125%  7/15/19  5,000  5,357 
  American Express Bank FSB  6.000%  9/13/17  4,250  4,426 
2  American Express Centurion Bank  0.405%  11/16/09  5,000  5,000 
  American Express Centurion Bank  5.950%  6/12/17  10,000  10,404 
  American Express Centurion Bank  6.000%  9/13/17  48,060  50,587 
  American Express Co.  4.875%  7/15/13  16,417  16,962 
  American Express Co.  7.000%  3/19/18  29,000  31,997 
  American Express Co.  8.125%  5/20/19  33,304  39,876 
  Amsouth Bank/Birmingham AL  5.200%  4/1/15  10,000  8,698 
6  ANZ Capital Trust II  5.360%  12/15/49  10,000  8,727 
  Astoria Financial Corp.  5.750%  10/15/12  9,000  8,223 
5,6 Banco Mercantil del Norte SA  6.862%  10/13/21  5,000  4,516 
6  Banco Santander Chile  5.375%  12/9/14  4,000  4,132 
  Bank of America Corp.  4.875%  1/15/13  16,021  16,628 
  Bank of America Corp.  5.250%  12/1/15  15,000  14,930 
  Bank of America Corp.  6.500%  8/1/16  16,375  17,460 
  Bank of America Corp.  5.420%  3/15/17  7,300  7,086 
  Bank of America Corp.  6.000%  9/1/17  1,750  1,806 
  Bank of America Corp.  7.625%  6/1/19  27,500  31,591 
  Bank of America NA  5.300%  3/15/17  14,527  14,167 
  Bank of America NA  6.100%  6/15/17  15,000  15,184 
  Bank of New York Mellon Corp.  4.500%  4/1/13  10,000  10,620 
  Bank of New York Mellon Corp.  4.950%  3/15/15  14,500  15,571 
  Bank of New York Mellon Corp.  5.500%  12/1/17  5,465  5,720 
  Bank of New York Mellon Corp.  5.450%  5/15/19  29,580  31,701 
  Bank of Tokyo-Mitsubishi UFJ Ltd./New York         
  NY  7.400%  6/15/11  2,825  3,065 
  Bank One Corp.  4.900%  4/30/15  15,000  15,599 
  Barclays Bank PLC  5.200%  7/10/14  8,500  9,051 
  Barclays Bank PLC  5.000%  9/22/16  40,000  41,029 
  Barclays Bank PLC  6.750%  5/22/19  5,000  5,619 


5,6 Barclays Bank PLC  5.926%  12/15/49  15,000  11,550 
  BB&T Corp.  6.500%  8/1/11  12,500  13,329 
  BB&T Corp.  4.750%  10/1/12  5,000  5,227 
  BB&T Corp.  5.700%  4/30/14  29,500  31,818 
  BB&T Corp.  5.200%  12/23/15  6,380  6,739 
  BB&T Corp.  4.900%  6/30/17  15,300  14,828 
  BB&T Corp.  6.850%  4/30/19  16,714  18,831 
5  BBVA International Preferred SA Unipersonal  5.919%  12/31/49  7,000  5,556 
  Bear Stearns Cos. LLC  5.700%  11/15/14  10,785  11,803 
  Bear Stearns Cos. LLC  5.300%  10/30/15  18,073  19,273 
  Bear Stearns Cos. LLC  6.400%  10/2/17  23,353  25,473 
  Bear Stearns Cos. LLC  7.250%  2/1/18  31,000  35,445 
6  BNP Paribas  4.800%  6/24/15  17,000  17,576 
  BNY Mellon NA  4.750%  12/15/14  5,000  5,334 
2,6 BTMU Curacao Holdings NV  0.606%  12/19/16  10,790  10,443 
  Capital One Bank USA NA  8.800%  7/15/19  20,000  23,670 
  Capital One Financial Corp.  6.750%  9/15/17  30,000  31,688 
5,6 CBA Capital Trust II  6.024%  3/15/49  17,050  13,896 
5,6 CBG Florida REIT Corp.  7.114%  2/15/49  17,340  87 
  Citigroup Inc.  7.250%  10/1/10  900  938 
  Citigroup Inc.  5.500%  4/11/13  13,550  14,171 
  Citigroup Inc.  6.500%  8/19/13  10,000  10,725 
  Citigroup Inc.  6.375%  8/12/14  10,000  10,629 
  Citigroup Inc.  5.000%  9/15/14  12,000  11,832 
  Citigroup Inc.  5.300%  1/7/16  10,000  9,847 
  Citigroup Inc.  5.850%  8/2/16  10,000  10,090 
  Citigroup Inc.  6.125%  11/21/17  63,925  65,426 
  Citigroup Inc.  6.125%  5/15/18  10,000  10,118 
  Citigroup Inc.  8.500%  5/22/19  15,000  17,510 
  Comerica Bank  5.750%  11/21/16  4,000  3,790 
6  Commonwealth Bank of Australia  5.000%  10/15/19  15,000  14,946 
5,6 Credit Agricole SA  6.637%  5/31/49  18,900  15,120 
  Credit Suisse USA Inc.  5.125%  1/15/14  2,460  2,620 
  Credit Suisse USA Inc.  4.875%  1/15/15  25,782  27,226 
  Credit Suisse USA Inc.  5.125%  8/15/15  2,000  2,136 
  Credit Suisse/New York NY  5.500%  5/1/14  29,320  31,890 
  Credit Suisse/New York NY  6.000%  2/15/18  65,692  69,521 
  Credit Suisse/New York NY  5.300%  8/13/19  60,000  61,720 
2,6 DBS Bank Ltd./Singapore  0.660%  5/16/17  16,500  15,572 
  Deutsche Bank AG/London  6.000%  9/1/17  53,000  58,390 
  Deutsche Bank Financial LLC  5.375%  3/2/15  10,000  10,555 
  Fifth Third Bank/Ohio  4.750%  2/1/15  31,825  30,220 
  First Tennessee Bank NA  5.050%  1/15/15  5,000  4,405 
5  Goldman Sachs Capital II  5.793%  12/29/49  30,000  22,643 
  Goldman Sachs Group Inc.  5.350%  1/15/16  5,000  5,237 
  Goldman Sachs Group Inc.  5.625%  1/15/17  29,000  29,789 
  Goldman Sachs Group Inc.  6.250%  9/1/17  25,000  26,841 
  Goldman Sachs Group Inc.  5.950%  1/18/18  18,000  19,068 
  Goldman Sachs Group Inc.  6.150%  4/1/18  15,075  16,139 
6  HBOS PLC  6.750%  5/21/18  5,000  4,590 
  HSBC Bank USA NA/New York NY  4.625%  4/1/14  22,000  22,975 
  Hudson United Bank/Mahwah NJ  7.000%  5/15/12  9,200  9,868 
6  ICICI Bank Ltd.  5.750%  1/12/12  2,675  2,725 
  JPMorgan Chase & Co.  5.750%  1/2/13  12,000  12,891 
  JPMorgan Chase & Co.  4.875%  3/15/14  5,000  5,239 
  JPMorgan Chase & Co.  6.125%  6/27/17  10,000  10,644 
  JPMorgan Chase & Co.  6.000%  1/15/18  18,000  19,227 
  JPMorgan Chase & Co.  6.300%  4/23/19  39,150  42,964 


5  JPMorgan Chase & Co.  7.900%  12/29/49  5,650  5,650 
  JPMorgan Chase Bank NA  5.875%  6/13/16  10,000  10,558 
  JPMorgan Chase Bank NA  6.000%  10/1/17  41,880  44,513 
  KeyBank NA  4.950%  9/15/15  18,000  16,631 
  KeyBank NA  5.450%  3/3/16  2,500  2,305 
5,6 Lloyds Banking Group PLC  6.267%  11/14/49  6,875  4,333 
  M&I Marshall & Ilsley Bank  5.250%  9/4/12  4,000  3,558 
  M&I Marshall & Ilsley Bank  5.000%  1/17/17  10,000  7,371 
6  Macquarie Group Ltd.  7.625%  8/13/19  3,000  3,231 
2,6 Manufacturers & Traders Trust Co.  1.790%  4/1/13  2,750  2,424 
  Manufacturers & Traders Trust Co.  6.625%  12/4/17  43,555  44,588 
  Mercantile Bankshares Corp.  4.625%  4/15/13  10,000  10,132 
  Merrill Lynch & Co. Inc.  5.450%  2/5/13  3,250  3,393 
  Merrill Lynch & Co. Inc.  6.050%  5/16/16  15,000  15,099 
  Merrill Lynch & Co. Inc.  5.700%  5/2/17  12,000  11,824 
  Merrill Lynch & Co. Inc.  6.875%  4/25/18  5,355  5,812 
  Morgan Stanley  4.750%  4/1/14  26,250  26,603 
  Morgan Stanley  6.000%  4/28/15  3,000  3,226 
  Morgan Stanley  5.375%  10/15/15  15,000  15,654 
  Morgan Stanley  6.250%  8/28/17  3,825  4,021 
  Morgan Stanley  5.950%  12/28/17  38,000  39,118 
  Morgan Stanley  6.625%  4/1/18  52,150  56,434 
  Morgan Stanley  7.300%  5/13/19  3,000  3,355 
  Morgan Stanley  5.625%  9/23/19  28,000  28,165 
  National City Bank/Cleveland OH  6.250%  3/15/11  8,000  8,371 
  National City Bank/Cleveland OH  5.250%  12/15/16  7,500  7,371 
  National City Bank/Cleveland OH  5.800%  6/7/17  5,012  5,084 
  National City Corp.  4.900%  1/15/15  28,435  29,274 
  National City Corp.  6.875%  5/15/19  2,500  2,692 
  Northern Trust Co.  5.850%  11/9/17  7,280  7,912 
  Northern Trust Co.  6.500%  8/15/18  4,000  4,576 
  Northern Trust Corp.  5.500%  8/15/13  3,000  3,296 
5,6 Northgroup Preferred Capital Corp.  6.378%  10/15/49  13,000  10,978 
  PNC Bank NA  4.875%  9/21/17  6,100  5,841 
  PNC Bank NA  6.000%  12/7/17  4,500  4,579 
  PNC Bank NA  6.875%  4/1/18  33,085  35,387 
  PNC Funding Corp.  4.250%  9/21/15  15,000  15,312 
  PNC Funding Corp.  5.250%  11/15/15  13,685  14,083 
  PNC Funding Corp.  6.700%  6/10/19  10,000  11,221 
  Regions Financial Corp.  6.375%  5/15/12  2,080  1,976 
  Royal Bank of Scotland Group PLC  5.000%  10/1/14  4,520  4,108 
  Royal Bank of Scotland Group PLC  5.050%  1/8/15  2,228  1,960 
  Royal Bank of Scotland Group PLC  4.700%  7/3/18  2,000  1,525 
  Royal Bank of Scotland Group PLC  6.400%  10/21/19  2,500  2,547 
6  Royal Bank of Scotland PLC  4.875%  8/25/14  63,290  64,302 
6  Scotland International Finance No 2 BV  7.700%  8/15/10  10,000  10,263 
6  Societe Generale  5.750%  4/20/16  5,200  5,338 
5,6 Societe Generale  5.922%  12/5/49  20,000  15,655 
  SouthTrust Corp.  5.800%  6/15/14  14,705  15,568 
  Sovereign Bancorp Inc.  4.800%  9/1/10  5,000  5,135 
2  Sovereign Bank  2.193%  8/1/13  2,458  2,345 
  Sovereign Bank  8.750%  5/30/18  5,000  5,717 
  State Street Bank and Trust Co.  5.300%  1/15/16  12,000  12,314 
  State Street Corp.  4.300%  5/30/14  10,000  10,468 
2  SunTrust Bank/Atlanta GA  0.590%  4/1/15  6,000  5,200 
  SunTrust Bank/Atlanta GA  7.250%  3/15/18  13,000  13,606 
  UBS AG/Stamford Branch  5.875%  12/20/17  50,000  51,489 
  UBS AG/Stamford CT  5.875%  7/15/16  20,220  20,462 


  UBS AG/Stamford CT  5.750%  4/25/18  21,000  21,443 
2,6 Unicredit Luxembourg Finance SA  0.624%  1/13/17  14,925  13,913 
  Union Bank NA  5.950%  5/11/16  4,826  4,763 
  Union Planters Corp.  7.750%  3/1/11  10,000  9,977 
  UnionBanCal Corp.  5.250%  12/16/13  3,000  2,975 
6  United Overseas Bank Ltd.  4.500%  7/2/13  7,000  7,219 
  US Bancorp  4.200%  5/15/14  10,675  11,200 
  US Bank NA/Cincinnati OH  6.300%  2/4/14  28,245  31,601 
  US Bank NA/Cincinnati OH  4.950%  10/30/14  21,115  22,625 
5  USB Capital IX  6.189%  4/15/49  12,525  9,488 
5,6 USB Realty Corp.  6.091%  12/15/49  3,450  2,406 
  Wachovia Bank NA  4.800%  11/1/14  18,400  18,851 
  Wachovia Bank NA  4.875%  2/1/15  15,400  15,753 
  Wachovia Bank NA  5.600%  3/15/16  10,000  10,325 
  Wachovia Bank NA  6.000%  11/15/17  22,000  23,253 
  Wachovia Corp.  5.500%  5/1/13  5,270  5,648 
  Wachovia Corp.  5.625%  10/15/16  35,000  36,092 
  Wachovia Corp.  5.750%  6/15/17  10,000  10,459 
  Wachovia Corp.  5.750%  2/1/18  29,600  31,029 
7  Washington Mutual Bank  5.500%  1/15/13  6,147  22 
7  Washington Mutual Bank  5.650%  8/15/14  7,500  18 
7  Washington Mutual Bank  5.125%  1/15/15  9,000  22 
  Washington Mutual Finance Corp.  6.875%  5/15/11  5,000  5,313 
  Wells Fargo & Co.  4.950%  10/16/13  4,500  4,650 
  Wells Fargo & Co.  4.625%  4/15/14  10,000  10,219 
  Wells Fargo & Co.  5.125%  9/15/16  5,000  5,063 
  Wells Fargo & Co.  5.625%  12/11/17  35,400  36,867 
  Wells Fargo Bank NA  4.750%  2/9/15  11,550  11,770 
  Wells Fargo Bank NA  5.750%  5/16/16  17,500  18,228 
  Westpac Banking Corp.  4.200%  2/27/15  35,000  35,616 
  Westpac Banking Corp.  4.625%  6/1/18  3,925  3,758 
5,6 Westpac Capital Trust III  5.819%  12/30/49  14,300  12,215 
  Wilmington Trust Corp.  4.875%  4/15/13  18,305  17,471 
  Zions Bancorporation  6.000%  9/15/15  11,000  8,580 
  Zions Bancorporation  5.500%  11/16/15  8,000  6,160 
 
  Brokerage (0.6%)         
  Ameriprise Financial Inc.  7.300%  6/28/19  6,200  7,003 
  BlackRock Inc.  6.250%  9/15/17  10,000  10,908 
6  Blackstone Holdings Finance Co. LLC  6.625%  8/15/19  5,725  5,819 
  Charles Schwab Corp.  4.950%  6/1/14  11,600  12,406 
  Jefferies Group Inc.  5.875%  6/8/14  7,500  7,695 
  Jefferies Group Inc.  8.500%  7/15/19  25,000  27,151 
7  Lehman Brothers Holdings Inc.  5.625%  1/24/13  12,755  2,041 
7  Lehman Brothers Holdings Inc.  6.200%  9/26/14  22,500  3,488 
7  Lehman Brothers Holdings Inc.  6.500%  7/19/17  20,000  12 
7  Lehman Brothers Holdings Inc.  6.875%  5/2/18  5,000  819 
 
  Finance Companies (3.1%)         
  American General Finance Corp.  4.875%  5/15/10  1,000  970 
  American General Finance Corp.  5.625%  8/17/11  15,500  12,865 
  American General Finance Corp.  4.875%  7/15/12  12,000  9,240 
  American General Finance Corp.  5.850%  6/1/13  25,000  18,500 
  American General Finance Corp.  6.900%  12/15/17  7,000  4,865 
  Discover Financial Services  10.250%  7/15/19  15,000  17,525 
  General Electric Capital Corp.  4.375%  3/3/12  3,875  4,047 
  General Electric Capital Corp.  5.900%  5/13/14  15,000  16,409 
  General Electric Capital Corp.  5.625%  9/15/17  55,525  57,044 


  General Electric Capital Corp.  5.625%  5/1/18  105,000  108,790 
  General Electric Capital Corp.  6.000%  8/7/19  20,000  20,983 
5  General Electric Capital Corp.  6.375%  11/15/67  14,450  12,499 
5  HSBC Finance Capital Trust IX  5.911%  11/30/35  27,500  21,725 
  HSBC Finance Corp.  5.250%  1/15/14  9,050  9,454 
  HSBC Finance Corp.  5.000%  6/30/15  11,000  11,478 
  HSBC Finance Corp.  5.500%  1/19/16  73,058  75,588 
  International Lease Finance Corp.  0.000%      — 
  International Lease Finance Corp.  4.950%  2/1/11  6,300  5,701 
  International Lease Finance Corp.  5.450%  3/24/11  800  712 
  International Lease Finance Corp.  5.750%  6/15/11  3,900  3,510 
  SLM Corp.  5.050%  11/14/14  7,500  5,951 
  SLM Corp.  8.450%  6/15/18  5,000  4,377 
 
  Insurance (8.8%)         
  ACE INA Holdings Inc.  5.875%  6/15/14  41,839  45,981 
  ACE INA Holdings Inc.  5.600%  5/15/15  26,490  28,751 
  ACE INA Holdings Inc.  5.700%  2/15/17  3,000  3,208 
  ACE INA Holdings Inc.  5.800%  3/15/18  5,805  6,277 
  ACE INA Holdings Inc.  5.900%  6/15/19  2,500  2,731 
  Aetna Inc.  6.000%  6/15/16  11,900  12,703 
  Aetna Inc.  6.500%  9/15/18  12,818  13,945 
  Aflac Inc.  8.500%  5/15/19  18,000  21,022 
5,6 AGFC Capital Trust I  6.000%  1/15/67  8,000  3,200 
  Allied World Assurance Co. Holdings Ltd.  7.500%  8/1/16  5,000  5,276 
  Allstate Corp.  6.200%  5/16/14  4,760  5,267 
  Allstate Corp.  7.450%  5/16/19  33,100  38,926 
  Allstate Life Global Funding Trusts  5.375%  4/30/13  23,895  25,573 
  American Financial Group Inc./OH  9.875%  6/15/19  10,000  11,314 
  American International Group Inc.  5.850%  1/16/18  30,000  22,650 
  Axis Capital Holdings Ltd.  5.750%  12/1/14  5,955  6,075 
  Berkshire Hathaway Finance Corp.  4.000%  4/15/12  10,000  10,522 
  Berkshire Hathaway Finance Corp.  4.600%  5/15/13  22,914  24,484 
  Berkshire Hathaway Finance Corp.  5.000%  8/15/13  1,500  1,631 
  Berkshire Hathaway Finance Corp.  4.850%  1/15/15  32,100  34,728 
  Chubb Corp.  5.200%  4/1/13  10,820  11,549 
  Chubb Corp.  5.750%  5/15/18  24,953  27,150 
5  Chubb Corp.  6.375%  3/29/67  8,000  7,324 
  CIGNA Corp.  7.000%  1/15/11  10,000  10,530 
  CIGNA Corp.  6.350%  3/15/18  7,000  6,868 
  Coventry Health Care Inc.  5.875%  1/15/12  625  629 
  Coventry Health Care Inc.  5.950%  3/15/17  4,000  3,633 
5  Genworth Financial Inc.  6.150%  11/15/66  8,000  5,320 
  Genworth Global Funding Trusts  5.750%  5/15/13  5,250  5,204 
  Hartford Financial Services Group Inc.  4.625%  7/15/13  10,000  9,864 
6  Health Care Service Corp.  7.750%  6/15/11  20,000  20,808 
  Humana Inc.  7.200%  6/15/18  10,000  10,227 
5  ING Groep NV  5.775%  12/8/49  3,120  2,246 
6  Jackson National Life Global Funding  5.375%  5/8/13  6,605  6,806 
5,6 Liberty Mutual Group Inc.  7.000%  3/15/37  2,225  1,714 
  Lincoln National Corp.  6.200%  12/15/11  7,000  7,356 
  Lincoln National Corp.  8.750%  7/1/19  6,300  7,331 
5  Lincoln National Corp.  6.050%  4/20/67  5,940  4,622 
  Marsh & McLennan Cos. Inc.  5.375%  7/15/14  5,325  5,513 
  Marsh & McLennan Cos. Inc.  9.250%  4/15/19  6,000  7,442 
2,6 MassMutual Global Funding II  0.474%  12/6/13  20,000  19,442 
2,6 Merna Reinsurance Ltd.  2.032%  7/7/10  5,450  5,357 
  MetLife Inc.  5.375%  12/15/12  10,000  10,776 


  MetLife Inc.  6.750%  6/1/16  15,000  16,725 
  MetLife Inc.  6.817%  8/15/18  5,080  5,654 
  MetLife Inc.  7.717%  2/15/19  29,439  34,727 
6  Metropolitan Life Global Funding I  5.125%  4/10/13  108,720  115,000 
6  Metropolitan Life Global Funding I  5.125%  6/10/14  4,400  4,667 
2,6 Monumental Global Funding III  0.452%  1/25/13  10,000  9,023 
  Nationwide Financial Services  5.900%  7/1/12  5,000  5,157 
6  New York Life Global Funding  5.250%  10/16/12  5,000  5,410 
6  New York Life Global Funding  4.650%  5/9/13  8,525  9,026 
6  New York Life Global Funding  5.375%  9/15/13  7,000  7,634 
5,6 Oil Insurance Ltd.  7.558%  6/30/49  10,600  7,420 
6  Pacific Life Global Funding  5.150%  4/15/13  22,404  23,497 
6  Pricoa Global Funding I  5.450%  6/11/14  8,166  8,589 
  Principal Financial Group Inc.  7.875%  5/15/14  10,000  11,226 
  Principal Financial Group Inc.  8.875%  5/15/19  21,195  24,736 
6  Principal Life Global Funding I  5.250%  1/15/13  5,000  5,166 
5  Progressive Corp.  6.700%  6/15/37  2,200  1,915 
  Protective Life Secured Trusts  4.000%  4/1/11  5,000  5,119 
  Prudential Financial Inc.  5.100%  9/20/14  15,000  15,456 
  Prudential Financial Inc.  4.750%  6/13/15  7,000  7,041 
  Prudential Financial Inc.  6.100%  6/15/17  6,200  6,330 
  Prudential Financial Inc.  7.375%  6/15/19  12,400  13,875 
  Swiss Re Solutions Holding Corp.  6.450%  3/1/19  11,250  10,945 
6  TIAA Global Markets Inc.  4.950%  7/15/13  2,750  2,912 
  Travelers Cos. Inc.  5.500%  12/1/15  5,350  5,891 
  Travelers Cos. Inc.  6.250%  6/20/16  13,370  14,903 
  Travelers Cos. Inc.  5.750%  12/15/17  20,206  21,912 
  Travelers Cos. Inc.  5.800%  5/15/18  37,710  41,023 
  Travelers Cos. Inc.  5.900%  6/2/19  3,460  3,806 
5  Travelers Cos. Inc.  6.250%  3/15/37  4,750  4,270 
  Travelers Property Casualty Corp.  5.000%  3/15/13  15,000  15,938 
  UnitedHealth Group Inc.  4.875%  2/15/13  10,000  10,423 
  UnitedHealth Group Inc.  4.875%  4/1/13  4,880  5,060 
  UnitedHealth Group Inc.  5.000%  8/15/14  20,930  22,055 
  UnitedHealth Group Inc.  4.875%  3/15/15  7,585  7,791 
  UnitedHealth Group Inc.  5.375%  3/15/16  15,000  15,368 
  UnitedHealth Group Inc.  6.000%  6/15/17  19,335  20,264 
  UnitedHealth Group Inc.  6.000%  11/15/17  23,150  24,313 
  UnitedHealth Group Inc.  6.000%  2/15/18  10,864  11,505 
  WellPoint Health Networks Inc.  6.375%  1/15/12  12,500  13,457 
  WellPoint Inc.  6.800%  8/1/12  6,410  7,045 
  WellPoint Inc.  6.000%  2/15/14  17,970  19,517 
  WellPoint Inc.  5.250%  1/15/16  20,000  20,534 
  WellPoint Inc.  5.875%  6/15/17  14,465  15,261 
  WellPoint Inc.  7.000%  2/15/19  14,445  16,343 
  Willis North America Inc.  7.000%  9/29/19  6,000  6,044 
  XL Capital Finance Europe PLC  6.500%  1/15/12  3,000  3,072 
6  Xlliac Global Funding  4.800%  8/10/10  3,300  3,273 
5,6 ZFS Finance USA Trust I  5.875%  5/9/32  1,284  1,043 
 
  Other Finance (0.1%)         
6  Targeted Return Index Securities Trust  6.814%  1/15/12  12,200  12,991 
 
  Real Estate Investment Trusts (2.0%)         
  Simon Property Group LP  10.350%  4/1/19  22,815  28,746 
  Simon Property Group LP  6.125%  5/30/18  20,000  20,712 
6  WEA Finance LLC  7.125%  4/15/18  20,000  20,585 
  Simon Property Group LP  5.100%  6/15/15  16,320  16,454 


Simon Property Group LP  6.750%  5/15/14  15,000  16,286 
ERP Operating LP  5.125%  3/15/16  11,000  10,754 
Brandywine Operating Partnership LP  7.500%  5/15/15  10,000  10,140 
Kimco Realty Corp.  5.783%  3/15/16  10,000  9,940 
6 Westfield Capital Corp. Ltd / WT Finance Aust         
Pty Ltd / WEA Finance LLC  5.125%  11/15/14  10,000  9,932 
HRPT Properties Trust  6.400%  2/15/15  9,500  9,382 
6 WEA Finance LLC / WCI Finance LLC  5.400%  10/1/12  7,640  7,876 
6 WEA Finance LLC / WT Finance Aust Pty Ltd.  7.500%  6/2/14  7,000  7,616 
Developers Diversified Realty Corp.  5.250%  4/15/11  7,500  7,425 
Boston Properties LP  6.250%  1/15/13  6,680  7,079 
National Retail Properties Inc.  6.875%  10/15/17  7,000  6,845 
6 WEA Finance LLC / WT Finance Aust Pty Ltd.  6.750%  9/2/19  6,000  6,044 
HRPT Properties Trust  5.750%  2/15/14  6,061  5,964 
Health Care REIT Inc.  5.875%  5/15/15  5,725  5,631 
Duke Realty LP  7.375%  2/15/15  5,000  5,288 
ProLogis  5.625%  11/15/16  5,500  5,115 
Simon Property Group LP  5.250%  12/1/16  5,000  5,001 
HCP Inc.  6.700%  1/30/18  5,000  4,969 
Regency Centers LP  4.950%  4/15/14  5,000  4,858 
Camden Property Trust  5.000%  6/15/15  5,000  4,850 
ProLogis  6.625%  5/15/18  5,000  4,790 
HCP Inc.  6.000%  1/30/17  5,000  4,775 
Liberty Property LP  5.125%  3/2/15  5,000  4,764 
ProLogis  5.625%  11/15/15  5,000  4,753 
Duke Realty LP  5.950%  2/15/17  5,000  4,705 
Hospitality Properties Trust  6.300%  6/15/16  5,000  4,619 
Equity One Inc.  6.250%  1/15/17  5,000  4,580 
Mack-Cali Realty Corp.  7.750%  8/15/19  4,000  4,210 
Hospitality Properties Trust  7.875%  8/15/14  3,900  4,023 
ProLogis  7.375%  10/30/19  3,000  3,006 
Brandywine Operating Partnership LP  5.700%  5/1/17  2,000  1,797 
        4,772,896 
Industrial (33.3%)         
Basic Industry (2.4%)         
6 ABX Financing Co.  5.750%  10/15/16  7,000  7,412 
Air Products & Chemicals Inc.  4.150%  2/1/13  3,700  3,891 
Alcoa Inc.  6.750%  7/15/18  23,586  23,821 
Alcoa Inc.  5.870%  2/23/22  1,100  1,003 
ArcelorMittal  6.125%  6/1/18  8,000  7,905 
ArcelorMittal  9.850%  6/1/19  14,000  16,410 
ArcelorMittal USA Inc.  6.500%  4/15/14  2,200  2,292 
6 Barrick Australian Finance Pty Ltd.  4.950%  1/15/20  7,500  7,473 
Barrick North America Finance LLC  6.800%  9/15/18  5,500  6,203 
BHP Billiton Finance USA Ltd.  5.400%  3/29/17  12,735  13,685 
BHP Billiton Finance USA Ltd.  6.500%  4/1/19  23,075  26,609 
6 Celulosa Arauco y Constitucion SA  7.250%  7/29/19  2,000  2,202 
Dow Chemical Co.  5.900%  2/15/15  20,000  20,796 
Dow Chemical Co.  8.550%  5/15/19  15,000  17,129 
EI Du Pont de Nemours & Co.  6.000%  7/15/18  28,480  32,102 
Freeport-McMoRan Copper & Gold Inc.  8.375%  4/1/17  3,000  3,225 
6 GTL Trade Finance Inc.  7.250%  10/20/17  3,000  3,108 
International Paper Co.  7.950%  6/15/18  2,200  2,447 
International Paper Co.  9.375%  5/15/19  7,000  8,435 
International Paper Co.  7.500%  8/15/21  5,000  5,473 
Lubrizol Corp.  8.875%  2/1/19  4,000  4,969 
Newmont Mining Corp.  5.125%  10/1/19  5,000  4,972 


Potash Corp. of Saskatchewan Inc.  3.750%  9/30/15  10,000  10,068 
PPG Industries Inc.  6.650%  3/15/18  5,000  5,491 
Praxair Inc.  4.375%  3/31/14  2,115  2,253 
Praxair Inc.  5.250%  11/15/14  5,000  5,536 
Praxair Inc.  4.625%  3/30/15  10,550  11,350 
Praxair Inc.  4.500%  8/15/19  8,000  8,323 
Rio Tinto Finance USA Ltd.  5.875%  7/15/13  7,245  7,803 
Rio Tinto Finance USA Ltd.  8.950%  5/1/14  25,000  29,557 
Rio Tinto Finance USA Ltd.  6.500%  7/15/18  9,000  9,812 
Rohm and Haas Co.  6.000%  9/15/17  6,000  6,038 
Vale Overseas Ltd.  5.625%  9/15/19  18,000  18,074 
 
Capital Goods (4.4%)         
Allied Waste North America Inc.  6.125%  2/15/14  7,981  8,171 
Allied Waste North America Inc.  7.125%  5/15/16  4,000  4,240 
Allied Waste North America Inc.  6.875%  6/1/17  12,675  13,404 
Avery Dennison Corp.  4.875%  1/15/13  6,800  6,965 
Bemis Co. Inc.  5.650%  8/1/14  12,820  13,707 
Bemis Co. Inc.  6.800%  8/1/19  11,100  12,402 
Black & Decker Corp.  7.125%  6/1/11  8,550  9,193 
Boeing Co.  4.875%  2/15/20  11,000  11,339 
Caterpillar Financial Services Corp.  4.250%  2/8/13  7,865  8,173 
Caterpillar Financial Services Corp.  4.600%  1/15/14  3,000  3,142 
Caterpillar Financial Services Corp.  6.125%  2/17/14  16,890  18,724 
Caterpillar Financial Services Corp.  5.500%  3/15/16  2,000  2,121 
Caterpillar Financial Services Corp.  5.850%  9/1/17  2,000  2,156 
Caterpillar Financial Services Corp.  5.450%  4/15/18  10,855  11,420 
Caterpillar Financial Services Corp.  7.150%  2/15/19  7,000  8,222 
Caterpillar Inc.  7.900%  12/15/18  20,000  24,689 
Cooper US Inc.  5.450%  4/1/15  6,000  6,486 
Cooper US Inc.  6.100%  7/1/17  3,500  3,884 
Crane Co.  5.500%  9/15/13  5,000  5,215 
CRH America Inc.  6.000%  9/30/16  12,725  13,163 
CRH America Inc.  8.125%  7/15/18  10,000  11,499 
Deere & Co.  4.375%  10/16/19  5,000  5,028 
Eaton Corp.  6.950%  3/20/19  6,000  6,967 
Embraer Overseas Ltd.  6.375%  1/24/17  4,000  3,983 
Embraer Overseas Ltd.  6.375%  1/15/20  10,000  9,660 
Emerson Electric Co.  5.250%  10/15/18  5,000  5,440 
Emerson Electric Co.  4.875%  10/15/19  9,000  9,493 
General Dynamics Corp.  4.250%  5/15/13  6,350  6,725 
General Dynamics Corp.  5.250%  2/1/14  1,150  1,265 
General Electric Co.  5.250%  12/6/17  61,800  64,080 
Honeywell International Inc.  5.300%  3/1/18  17,855  19,162 
6 Hutchison Whampoa International 09 Ltd.  7.625%  4/9/19  10,000  11,284 
6 Hutchison Whampoa International 09/16 Ltd.  4.625%  9/11/15  20,000  20,075 
Illinois Tool Works Inc.  5.150%  4/1/14  8,540  9,408 
Illinois Tool Works Inc.  6.250%  4/1/19  9,950  11,550 
Ingersoll-Rand Global Holding Co. Ltd.  9.500%  4/15/14  7,244  8,698 
Ingersoll-Rand Global Holding Co. Ltd.  6.875%  8/15/18  5,000  5,522 
John Deere Capital Corp.  7.000%  3/15/12  6,440  7,202 
John Deere Capital Corp.  5.100%  1/15/13  2,000  2,146 
John Deere Capital Corp.  4.500%  4/3/13  2,470  2,610 
John Deere Capital Corp.  5.500%  4/13/17  3,000  3,208 
John Deere Capital Corp.  5.350%  4/3/18  9,000  9,598 
John Deere Capital Corp.  5.750%  9/10/18  10,000  10,983 
L-3 Communications Corp.  7.625%  6/15/12  675  684 
L-3 Communications Corp.  6.125%  7/15/13  450  455 


  L-3 Communications Corp.  6.125%  1/15/14  1,500  1,485 
  L-3 Communications Corp.  5.875%  1/15/15  1,400  1,356 
6  L-3 Communications Corp.  5.200%  10/15/19  7,000  6,991 
  Lafarge SA  6.500%  7/15/16  17,252  17,965 
  Lockheed Martin Corp.  4.121%  3/14/13  8,200  8,627 
  Lockheed Martin Corp.  7.650%  5/1/16  5,000  6,055 
  Masco Corp.  5.875%  7/15/12  10,560  10,616 
6  Meccanica Holdings USA  6.250%  7/15/19  5,000  5,338 
  Owens Corning  9.000%  6/15/19  7,000  7,595 
  Parker Hannifin Corp.  4.875%  2/15/13  6,100  6,407 
  Raytheon Co.  6.750%  3/15/18  2,805  3,274 
  Raytheon Co.  6.400%  12/15/18  5,725  6,602 
  Rockwell Automation Inc./DE  5.650%  12/1/17  5,000  5,317 
  Roper Industries Inc.  6.250%  9/1/19  8,000  8,422 
5,6 Systems 2001 AT LLC  7.156%  12/15/11  3,738  3,894 
  Textron Financial Corp.  4.600%  5/3/10  5,341  5,361 
  Tyco International Finance SA  6.375%  10/15/11  10,000  10,806 
  Tyco International Finance SA  6.000%  11/15/13  11,000  12,017 
  Tyco International Finance SA  8.500%  1/15/19  4,000  4,861 
  United Technologies Corp.  5.375%  12/15/17  12,000  13,093 
  United Technologies Corp.  6.125%  2/1/19  20,000  22,732 
  Waste Management Inc.  7.375%  3/11/19  4,250  4,970 
 
  Communication (6.6%)         
  America Movil SAB de CV  5.500%  3/1/14  4,000  4,188 
  America Movil SAB de CV  5.750%  1/15/15  8,400  8,913 
  America Movil SAB de CV  5.625%  11/15/17  14,424  14,883 
6  American Tower Corp.  4.625%  4/1/15  3,000  3,042 
  AT&T Inc.  4.850%  2/15/14  4,000  4,272 
  AT&T Inc.  5.100%  9/15/14  19,750  21,261 
  AT&T Inc.  5.625%  6/15/16  23,000  24,949 
  AT&T Inc.  5.500%  2/1/18  45,425  47,736 
  AT&T Inc.  5.600%  5/15/18  21,260  22,521 
6  British Sky Broadcasting Group PLC  9.500%  11/15/18  4,000  5,161 
  British Telecommunications PLC  9.125%  12/15/10  5,450  5,867 
  British Telecommunications PLC  5.950%  1/15/18  11,921  12,000 
  CBS Corp.  8.200%  5/15/14  8,000  8,896 
6  Cellco Partnership / Verizon Wireless Capital         
  LLC  5.550%  2/1/14  11,800  12,789 
6  Cellco Partnership / Verizon Wireless Capital         
  LLC  8.500%  11/15/18  30,000  37,441 
  CenturyTel Inc.  6.150%  9/15/19  8,745  8,831 
  Comcast Cable Communications LLC  8.875%  5/1/17  3,400  4,156 
  Comcast Corp.  5.900%  3/15/16  19,526  21,045 
  Comcast Corp.  4.950%  6/15/16  20,000  20,456 
  Comcast Corp.  6.500%  1/15/17  5,000  5,459 
  Comcast Corp.  6.300%  11/15/17  11,000  11,977 
  COX Communications Inc.  6.750%  3/15/11  10,000  10,604 
  COX Communications Inc.  4.625%  6/1/13  4,000  4,153 
6  COX Enterprises Inc.  7.875%  9/15/10  5,000  5,226 
  Deutsche Telekom International Finance BV  5.750%  3/23/16  12,000  12,793 
  Deutsche Telekom International Finance BV  6.750%  8/20/18  13,000  14,606 
  DirecTV Holdings LLC / DirecTV Financing         
  Co. Inc.  7.625%  5/15/16  12,000  12,960 
6  DirecTV Holdings LLC / DirecTV Financing         
  Co. Inc.  5.875%  10/1/19  9,000  9,120 
  Embarq Corp.  7.082%  6/1/16  10,000  10,951 
  France Telecom SA  5.375%  7/8/19  12,000  12,859 


  News America Inc.  4.750%  3/15/10  9,800  9,890 
  News America Inc.  6.900%  3/1/19  5,000  5,603 
  Omnicom Group Inc.  5.900%  4/15/16  5,500  5,759 
  Omnicom Group Inc.  6.250%  7/15/19  5,000  5,401 
6  Qtel International Finance Ltd.  7.875%  6/10/19  3,500  3,947 
  Reed Elsevier Capital Inc.  8.625%  1/15/19  8,000  10,018 
  Rogers Communications Inc.  6.750%  3/15/15  6,000  6,690 
  Rogers Communications Inc.  6.800%  8/15/18  7,000  7,862 
  Telecom Italia Capital SA  5.250%  11/15/13  10,000  10,529 
  Telecom Italia Capital SA  5.250%  10/1/15  18,000  18,627 
  Telecom Italia Capital SA  6.999%  6/4/18  11,000  12,071 
  Telecom Italia Capital SA  7.175%  6/18/19  6,000  6,650 
  Telefonica Emisiones SAU  5.855%  2/4/13  2,954  3,224 
  Telefonica Emisiones SAU  4.949%  1/15/15  27,020  28,574 
  Telefonica Emisiones SAU  6.421%  6/20/16  16,228  18,148 
  Telefonica Emisiones SAU  6.221%  7/3/17  10,662  11,843 
  Telefonica Emisiones SAU  5.877%  7/15/19  7,185  7,770 
  Telefonos de Mexico SAB de CV  5.500%  1/27/15  20,000  20,767 
  Thomson Reuters Corp.  5.950%  7/15/13  8,877  9,823 
  Thomson Reuters Corp.  5.700%  10/1/14  3,900  4,312 
  Thomson Reuters Corp.  6.500%  7/15/18  7,000  7,946 
  Thomson Reuters Corp.  4.700%  10/15/19  5,000  5,021 
  Time Warner Cable Inc.  8.250%  2/14/14  5,000  5,864 
  Time Warner Cable Inc.  7.500%  4/1/14  10,000  11,519 
  Time Warner Cable Inc.  5.850%  5/1/17  12,000  12,649 
  Time Warner Cable Inc.  6.750%  7/1/18  20,000  22,070 
  Time Warner Cable Inc.  8.750%  2/14/19  7,000  8,609 
  Time Warner Cable Inc.  8.250%  4/1/19  10,000  12,026 
  Verizon Communications Inc.  5.550%  2/15/16  16,600  17,972 
  Verizon Communications Inc.  5.500%  2/15/18  19,270  20,173 
  Verizon Communications Inc.  6.100%  4/15/18  37,000  40,051 
  Verizon Communications Inc.  8.750%  11/1/18  25,600  31,965 
  Verizon Communications Inc.  6.350%  4/1/19  15,000  16,649 
6  Vivendi  5.750%  4/4/13  5,450  5,707 
  Vodafone Group PLC  5.375%  1/30/15  12,000  12,925 
  Vodafone Group PLC  5.000%  9/15/15  11,850  12,540 
  Vodafone Group PLC  5.750%  3/15/16  18,000  19,272 
  Vodafone Group PLC  5.625%  2/27/17  24,000  25,672 
  Vodafone Group PLC  5.450%  6/10/19  8,000  8,367 
  Washington Post Co.  7.250%  2/1/19  2,500  2,757 
  WPP Finance UK  8.000%  9/15/14  6,000  6,651 
 
  Consumer Cyclical (3.1%)         
  Best Buy Co. Inc.  6.750%  7/15/13  2,860  3,084 
  Caesars Entertainment Inc.  7.875%  3/15/10  1,575  1,567 
  CVS Caremark Corp.  6.125%  8/15/16  14,146  15,522 
  CVS Caremark Corp.  6.600%  3/15/19  4,000  4,453 
5,6 CVS Pass-Through Trust  6.117%  1/10/13  5,992  6,365 
  Daimler Finance North America LLC  4.875%  6/15/10  3,300  3,362 
  Daimler Finance North America LLC  5.750%  9/8/11  30,000  31,603 
  Daimler Finance North America LLC  7.300%  1/15/12  6,736  7,355 
  Daimler Finance North America LLC  6.500%  11/15/13  10,000  10,896 
  DaimlerChrysler North America Holding Corp.  7.260%  1/15/12  1,100  — 
  Darden Restaurants Inc.  6.200%  10/15/17  15,000  15,960 
6  Harley-Davidson Funding Corp.  5.000%  12/15/10  2,600  2,615 
6  Harley-Davidson Funding Corp.  5.250%  12/15/12  3,300  3,332 
6  Harley-Davidson Funding Corp.  6.800%  6/15/18  11,725  11,689 
  Historic TW Inc.  6.875%  6/15/18  5,000  5,540 


Home Depot Inc.  5.400%  3/1/16  12,875  13,593 
6 Hyundai Capital Services Inc.  6.000%  5/5/15  3,000  2,986 
International Speedway Corp.  5.400%  4/15/14  7,000  7,283 
JC Penney Corp. Inc.  7.950%  4/1/17  5,000  5,301 
Johnson Controls Inc.  5.250%  1/15/11  3,000  3,123 
K Hovnanian Enterprises Inc.  6.250%  1/15/16  4,260  3,067 
Kohl's Corp.  6.250%  12/15/17  7,000  7,702 
Lowe's Cos. Inc.  5.600%  9/15/12  5,450  6,024 
Lowe's Cos. Inc.  5.000%  10/15/15  7,000  7,705 
Macy's Retail Holdings Inc.  5.900%  12/1/16  5,000  4,637 
McDonald's Corp.  5.350%  3/1/18  20,000  21,783 
MGM Mirage  8.500%  9/15/10  1,400  1,381 
MGM Mirage  6.750%  4/1/13  1,075  892 
MGM Mirage  5.875%  2/27/14  1,000  750 
6 Nissan Motor Acceptance Corp.  4.625%  3/8/10  11,570  11,638 
6 Nissan Motor Acceptance Corp.  5.625%  3/14/11  10,500  10,840 
Nordstrom Inc.  6.750%  6/1/14  1,525  1,697 
PACCAR Inc.  6.875%  2/15/14  5,000  5,723 
Target Corp.  6.000%  1/15/18  24,700  27,671 
Tenneco Inc.  8.625%  11/15/14  1,100  1,037 
TJX Cos. Inc.  6.950%  4/15/19  13,000  15,215 
Viacom Inc.  6.250%  4/30/16  7,000  7,623 
Viacom Inc.  6.125%  10/5/17  5,000  5,399 
6 Volvo Treasury AB  5.950%  4/1/15  12,000  12,289 
Wal-Mart Stores Inc.  3.200%  5/15/14  21,675  22,387 
Wal-Mart Stores Inc.  5.375%  4/5/17  7,000  7,624 
Wal-Mart Stores Inc.  5.800%  2/15/18  10,137  11,377 
Walgreen Co.  5.250%  1/15/19  12,500  13,466 
Walt Disney Co.  5.625%  9/15/16  10,000  11,045 
Walt Disney Co.  6.000%  7/17/17  3,000  3,374 
Walt Disney Co.  5.500%  3/15/19  3,000  3,281 
Western Union Co.  5.400%  11/17/11  4,000  4,297 
Western Union Co.  6.500%  2/26/14  7,400  8,414 
Western Union Co.  5.930%  10/1/16  22,825  24,792 
 
Consumer Noncyclical (9.6%)         
Abbott Laboratories  5.875%  5/15/16  19,000  21,336 
Abbott Laboratories  5.600%  11/30/17  16,000  17,582 
Abbott Laboratories  5.125%  4/1/19  21,060  22,299 
Allergan Inc./United States  5.750%  4/1/16  12,000  12,898 
Altria Group Inc.  9.700%  11/10/18  17,276  21,195 
Altria Group Inc.  9.250%  8/6/19  20,000  24,190 
AmerisourceBergen Corp.  5.625%  9/15/12  2,800  2,994 
AmerisourceBergen Corp.  5.875%  9/15/15  3,000  3,262 
Amgen Inc.  4.850%  11/18/14  15,000  16,325 
Amgen Inc.  5.850%  6/1/17  20,400  22,472 
Amgen Inc.  6.150%  6/1/18  5,000  5,613 
Amgen Inc.  5.700%  2/1/19  12,080  13,246 
Anheuser-Busch Cos. Inc.  5.500%  1/15/18  5,000  5,147 
6 Anheuser-Busch InBev Worldwide Inc.  5.375%  11/15/14  6,100  6,489 
6 Anheuser-Busch InBev Worldwide Inc.  7.750%  1/15/19  8,000  9,350 
6 Anheuser-Busch InBev Worldwide Inc.  5.375%  1/15/20  5,000  4,954 
Archer-Daniels-Midland Co.  5.450%  3/15/18  6,388  6,855 
AstraZeneca PLC  5.400%  6/1/14  5,025  5,523 
AstraZeneca PLC  5.900%  9/15/17  32,060  35,914 
Avon Products Inc.  5.625%  3/1/14  16,125  17,685 
Avon Products Inc.  6.500%  3/1/19  8,000  9,028 
6 BAT International Finance PLC  9.500%  11/15/18  4,000  5,145 


Baxter International Inc.  4.000%  3/1/14  5,000  5,236 
Baxter International Inc.  5.900%  9/1/16  7,000  7,829 
Baxter International Inc.  5.375%  6/1/18  10,100  10,890 
Baxter International Inc.  4.500%  8/15/19  5,000  5,109 
Becton Dickinson and Co.  4.550%  4/15/13  8,000  8,511 
Becton Dickinson and Co.  5.000%  5/15/19  4,700  4,934 
Biogen Idec Inc.  6.875%  3/1/18  15,000  16,261 
Bottling Group LLC  6.950%  3/15/14  3,813  4,453 
Bottling Group LLC  5.500%  4/1/16  19,086  20,795 
Bottling Group LLC  5.125%  1/15/19  14,925  15,798 
Bristol-Myers Squibb Co.  5.450%  5/1/18  8,000  8,734 
Bunge Ltd. Finance Corp.  5.875%  5/15/13  2,000  2,073 
Bunge Ltd. Finance Corp.  8.500%  6/15/19  10,000  11,610 
Campbell Soup Co.  4.875%  10/1/13  10,000  10,977 
Campbell Soup Co.  4.500%  2/15/19  3,000  3,081 
6 CareFusion Corp.  6.375%  8/1/19  5,000  5,426 
6 Cargill Inc.  4.375%  6/1/13  8,600  8,804 
Clorox Co.  5.000%  3/1/13  6,025  6,517 
Clorox Co.  5.000%  1/15/15  7,000  7,484 
Coca-Cola Bottling Co. Consolidated  5.000%  11/15/12  7,000  7,511 
Coca-Cola Co.  5.350%  11/15/17  15,000  16,340 
Coca-Cola Co.  4.875%  3/15/19  12,000  12,663 
Coca-Cola Enterprises Inc.  7.375%  3/3/14  17,597  20,677 
Coca-Cola Enterprises Inc.  4.250%  3/1/15  4,500  4,752 
Coca-Cola Enterprises Inc.  4.500%  8/15/19  2,500  2,552 
Colgate-Palmolive Co.  3.150%  8/5/15  2,000  2,053 
ConAgra Foods Inc.  6.750%  9/15/11  312  340 
ConAgra Foods Inc.  5.819%  6/15/17  4,687  5,033 
Covidien International Finance SA  6.000%  10/15/17  14,306  15,780 
Delhaize Group SA  5.875%  2/1/14  875  944 
Diageo Capital PLC  5.750%  10/23/17  18,000  19,636 
Diageo Finance BV  5.500%  4/1/13  3,307  3,592 
Diageo Finance BV  5.300%  10/28/15  5,000  5,317 
Eli Lilly & Co.  4.200%  3/6/14  11,850  12,588 
Eli Lilly & Co.  5.200%  3/15/17  6,000  6,457 
Estee Lauder Cos. Inc.  6.000%  1/15/12  6,800  7,367 
Express Scripts Inc.  7.250%  6/15/19  3,000  3,494 
Fortune Brands Inc.  6.375%  6/15/14  7,000  7,451 
6 Foster's Finance Corp.  4.875%  10/1/14  4,000  4,173 
Genentech Inc.  4.750%  7/15/15  16,150  17,522 
General Mills Inc.  5.700%  2/15/17  10,415  11,375 
General Mills Inc.  5.650%  2/15/19  8,000  8,650 
GlaxoSmithKline Capital Inc.  5.650%  5/15/18  38,400  42,081 
Hasbro Inc.  6.125%  5/15/14  3,700  4,073 
Hasbro Inc.  6.300%  9/15/17  5,000  5,386 
Hershey Co.  4.850%  8/15/15  5,000  5,265 
HJ Heinz Co.  5.350%  7/15/13  2,175  2,335 
Hospira Inc.  6.400%  5/15/15  3,000  3,346 
Kellogg Co.  4.450%  5/30/16  7,000  7,283 
Kimberly-Clark Corp.  4.875%  8/15/15  6,000  6,483 
Kimberly-Clark Corp.  6.125%  8/1/17  3,949  4,518 
Kimberly-Clark Corp.  7.500%  11/1/18  10,000  12,411 
Koninklijke Philips Electronics NV  5.750%  3/11/18  15,000  16,135 
Kraft Foods Inc.  6.000%  2/11/13  5,000  5,385 
Kraft Foods Inc.  6.500%  8/11/17  7,840  8,455 
Kroger Co.  6.200%  6/15/12  4,530  4,944 
Kroger Co.  6.400%  8/15/17  5,000  5,532 
Kroger Co.  6.800%  12/15/18  11,100  12,638 


Land O' Lakes Inc.  9.000%  12/15/10  410  411 
Lorillard Tobacco Co.  8.125%  6/23/19  7,000  7,769 
McKesson Corp.  6.500%  2/15/14  7,100  7,777 
6 Mead Johnson Nutrition Co.  4.900%  11/1/19  7,000  7,085 
Medco Health Solutions Inc.  7.125%  3/15/18  5,000  5,647 
Medtronic Inc.  4.750%  9/15/15  20,000  21,369 
Merck & Co. Inc./NJ  4.750%  3/1/15  11,000  11,901 
Merck & Co. Inc./NJ  4.000%  6/30/15  7,100  7,448 
Merck & Co. Inc./NJ  5.000%  6/30/19  10,000  10,543 
Nabisco Inc.  7.550%  6/15/15  15,000  17,134 
Novartis Capital Corp.  4.125%  2/10/14  8,475  8,930 
Novartis Securities Investment Ltd.  5.125%  2/10/19  33,794  35,915 
PepsiAmericas Inc.  4.500%  3/15/13  6,000  6,344 
PepsiAmericas Inc.  4.375%  2/15/14  12,500  13,072 
PepsiCo Inc./NC  3.750%  3/1/14  15,500  16,218 
PepsiCo Inc./NC  5.000%  6/1/18  16,500  17,581 
PepsiCo Inc./NC  7.900%  11/1/18  4,000  5,035 
Pfizer Inc.  5.350%  3/15/15  11,025  12,213 
Pfizer Inc.  6.200%  3/15/19  68,000  77,218 
Philip Morris International Inc.  6.875%  3/17/14  10,000  11,452 
Philip Morris International Inc.  5.650%  5/16/18  39,055  41,933 
Procter & Gamble Co.  4.600%  1/15/14  19,000  20,525 
Procter & Gamble Co.  3.500%  2/15/15  27,000  27,988 
Procter & Gamble Co.  4.700%  2/15/19  13,000  13,590 
Reynolds American Inc.  7.625%  6/1/16  875  932 
6 Roche Holdings Inc.  6.000%  3/1/19  4,500  4,974 
6 SABMiller PLC  6.200%  7/1/11  13,000  13,898 
Safeway Inc.  6.250%  3/15/14  8,375  9,271 
Safeway Inc.  6.350%  8/15/17  3,000  3,310 
Schering-Plough Corp.  6.000%  9/15/17  5,000  5,570 
St. Jude Medical Inc.  4.875%  7/15/19  10,000  10,343 
Sysco Corp.  5.250%  2/12/18  12,000  12,858 
6 Tesco PLC  5.500%  11/15/17  7,000  7,373 
Thermo Fisher Scientific Inc.  5.000%  6/1/15  4,700  4,986 
Unilever Capital Corp.  3.650%  2/15/14  6,500  6,745 
Whirlpool Corp.  8.600%  5/1/14  5,000  5,692 
Wyeth  5.500%  2/1/14  12,700  13,982 
Wyeth  5.500%  2/15/16  15,000  16,386 
Wyeth  5.450%  4/1/17  10,000  10,745 
 
Energy (3.4%)         
Anadarko Petroleum Corp.  5.950%  9/15/16  15,000  16,001 
Anadarko Petroleum Corp.  6.950%  6/15/19  14,000  15,726 
Apache Corp.  5.625%  1/15/17  4,000  4,326 
Apache Corp.  6.900%  9/15/18  3,000  3,559 
Baker Hughes Inc.  7.500%  11/15/18  16,845  20,427 
BP Capital Markets PLC  3.625%  5/8/14  10,000  10,356 
BP Capital Markets PLC  4.750%  3/10/19  19,000  19,821 
Canadian Natural Resources Ltd.  5.700%  5/15/17  9,000  9,527 
Canadian Natural Resources Ltd.  5.900%  2/1/18  6,000  6,446 
6 Cenovus Energy Inc.  4.500%  9/15/14  3,500  3,603 
6 Cenovus Energy Inc.  5.700%  10/15/19  3,000  3,140 
Chevron Corp.  4.950%  3/3/19  3,300  3,522 
ConocoPhillips  4.600%  1/15/15  31,000  33,168 
ConocoPhillips  5.750%  2/1/19  25,435  27,723 
ConocoPhillips  6.000%  1/15/20  10,000  10,961 
ConocoPhillips Canada Funding Co. I  5.625%  10/15/16  7,769  8,555 
Diamond Offshore Drilling Inc.  5.875%  5/1/19  3,000  3,214 


Ecopetrol SA  7.625%  7/23/19  3,000  3,302 
6 Empresa Nacional del Petroleo  6.250%  7/8/19  5,000  5,282 
EnCana Corp.  5.900%  12/1/17  5,570  5,977 
EnCana Corp.  6.500%  5/15/19  3,000  3,327 
EOG Resources Inc.  5.875%  9/15/17  3,000  3,307 
EOG Resources Inc.  5.625%  6/1/19  7,000  7,638 
6 GS Caltex Corp.  5.500%  8/25/14  4,000  4,003 
6 GS Caltex Corp.  5.500%  10/15/15  6,000  5,922 
Halliburton Co.  6.150%  9/15/19  8,000  8,943 
Marathon Oil Corp.  5.900%  3/15/18  15,000  15,917 
Nabors Industries Inc.  6.150%  2/15/18  3,000  3,059 
Nabors Industries Inc.  9.250%  1/15/19  10,900  13,163 
Nexen Inc.  5.650%  5/15/17  3,000  3,010 
Nexen Inc.  6.200%  7/30/19  3,000  3,132 
Noble Corp.  5.875%  6/1/13  3,000  3,110 
Petro-Canada  6.050%  5/15/18  11,000  11,680 
Questar Market Resources Inc.  6.800%  3/1/20  4,000  4,197 
Shell International Finance BV  4.300%  9/22/19  21,000  20,989 
Smith International Inc.  9.750%  3/15/19  10,000  12,479 
StatoilHydro ASA  5.250%  4/15/19  27,000  29,266 
Suncor Energy Inc.  6.100%  6/1/18  5,000  5,345 
Talisman Energy Inc.  7.750%  6/1/19  7,000  8,288 
Transocean Inc.  6.000%  3/15/18  8,000  8,628 
Valero Energy Corp.  6.125%  6/15/17  5,000  5,209 
Valero Energy Corp.  9.375%  3/15/19  11,000  13,024 
Weatherford International Inc.  6.350%  6/15/17  3,000  3,177 
Weatherford International Ltd.  6.000%  3/15/18  10,000  10,368 
Weatherford International Ltd.  9.625%  3/1/19  17,500  21,714 
XTO Energy Inc.  6.250%  4/15/13  5,000  5,472 
XTO Energy Inc.  6.250%  8/1/17  15,000  16,294 
XTO Energy Inc.  6.500%  12/15/18  6,250  6,955 
 
Technology (2.8%)         
Agilent Technologies Inc.  5.500%  9/14/15  10,000  10,261 
Agilent Technologies Inc.  6.500%  11/1/17  5,950  6,157 
Cisco Systems Inc.  5.500%  2/22/16  48,011  53,023 
Cisco Systems Inc.  4.950%  2/15/19  16,000  16,906 
Corning Inc.  6.625%  5/15/19  2,000  2,197 
Dell Inc.  5.650%  4/15/18  11,750  12,440 
Dun & Bradstreet Corp.  6.000%  4/1/13  9,700  10,271 
Electronic Data Systems LLC  6.000%  8/1/13  11,325  12,625 
Equifax Inc.  6.300%  7/1/17  5,000  5,076 
Fiserv Inc.  6.800%  11/20/17  5,000  5,609 
Hewlett-Packard Co.  6.125%  3/1/14  15,000  16,855 
Hewlett-Packard Co.  5.500%  3/1/18  7,000  7,630 
International Business Machines Corp.  5.700%  9/14/17  26,500  29,369 
International Business Machines Corp.  7.625%  10/15/18  22,500  27,807 
Intuit Inc.  5.750%  3/15/17  5,000  5,258 
Lexmark International Inc.  6.650%  6/1/18  7,000  6,845 
Microsoft Corp.  4.200%  6/1/19  4,500  4,608 
Nokia Oyj  5.375%  5/15/19  9,500  9,807 
Oracle Corp.  5.250%  1/15/16  23,000  24,957 
Oracle Corp.  5.750%  4/15/18  29,410  32,347 
Oracle Corp.  5.000%  7/8/19  24,000  25,267 
Pitney Bowes Inc.  5.000%  3/15/15  10,000  10,870 
Pitney Bowes Inc.  5.750%  9/15/17  18,152  19,821 
Pitney Bowes Inc.  6.250%  3/15/19  5,000  5,599 
Tyco Electronics Group SA  6.550%  10/1/17  5,000  5,220 


  Xerox Corp.  5.650%  5/15/13  10,000  10,528 
  Xerox Corp.  6.350%  5/15/18  10,000  10,610 
 
  Transportation (1.0%)         
  American Airlines Pass Through Trust 2001-         
  01  6.817%  5/23/11  714  680 
5  Burlington Northern Railroad Co. 1996-A Pass         
  Through Trust  7.330%  6/23/10  284  288 
  Burlington Northern Santa Fe Corp.  8.125%  4/15/20  5,000  6,124 
  Canadian National Railway Co.  5.800%  6/1/16  4,000  4,377 
  Canadian National Railway Co.  5.550%  5/15/18  5,275  5,763 
  Continental Airlines Inc.  6.563%  2/15/12  3,000  2,858 
5  Continental Airlines Inc.  6.648%  9/15/17  801  761 
5  Continental Airlines Inc.  6.900%  1/2/18  217  208 
  Continental Airlines Inc.  7.250%  11/10/19  5,000  5,056 
5  Continental Airlines Inc.  9.798%  4/1/21  2,120  1,717 
  CSX Corp.  7.900%  5/1/17  5,000  5,881 
  CSX Corp.  7.375%  2/1/19  10,000  11,662 
5  Delta Air Lines Inc.  6.821%  8/10/22  2,880  2,722 
5  Delta Air Lines Inc.  8.021%  8/10/22  1,397  1,187 
6  Erac USA Finance Co.  7.950%  12/15/09  10,000  10,049 
6  Erac USA Finance Co.  6.375%  10/15/17  21,370  22,011 
  Greenbrier Cos. Inc.  8.375%  5/15/15  2,540  1,959 
2,5 JetBlue Airways 2004-1 G-1 Pass Through         
  Trust  0.674%  12/15/13  3,355  2,878 
2  JetBlue Airways 2004-1 G-2 Pass Through         
  Trust  0.719%  3/15/14  7,150  5,109 
2  JetBlue Airways 2004-2 G-2 Pass Through         
  Trust  0.890%  11/15/16  4,765  2,814 
6  Kowloon Canton Railway Corp.  5.125%  5/20/19  2,500  2,611 
5  Northwest Airlines Inc.  7.027%  11/1/19  4,984  4,461 
  Ryder System Inc.  5.850%  3/1/14  4,000  4,199 
  Ryder System Inc.  7.200%  9/1/15  16,000  17,149 
5  Southwest Airlines Co. 2007-1 Pass Through         
  Trust  6.150%  8/1/22  3,739  3,765 
5  UAL Pass Through Trust Series 2000-2  7.186%  4/1/11  355  355 
  Union Pacific Corp.  5.750%  11/15/17  2,500  2,692 
  United Parcel Service Inc.  5.125%  4/1/19  7,000  7,501 
          4,600,755 
Utilities (7.7%)         
  Electric (5.7%)         
6  AES Panama SA  6.350%  12/21/16  8,300  8,033 
  American Water Capital Corp.  6.085%  10/15/17  8,750  9,164 
  Appalachian Power Co.  5.650%  8/15/12  4,970  5,366 
  Baltimore Gas & Electric Co.  5.900%  10/1/16  5,000  5,352 
  Carolina Power & Light Co.  5.300%  1/15/19  11,985  12,938 
  Columbus Southern Power Co.  5.500%  3/1/13  10,000  10,583 
  Commonwealth Edison Co.  5.950%  8/15/16  5,000  5,451 
  Commonwealth Edison Co.  5.800%  3/15/18  13,500  14,569 
  Connecticut Light & Power Co.  5.650%  5/1/18  4,000  4,338 
  Connecticut Light & Power Co.  5.500%  2/1/19  12,000  12,949 
  Consolidated Edison Co. of New York Inc.  4.875%  2/1/13  2,500  2,641 
  Consolidated Edison Co. of New York Inc.  6.650%  4/1/19  6,000  6,933 
  Consumers Energy Co.  6.125%  3/15/19  5,000  5,512 
  Consumers Energy Co.  6.700%  9/15/19  12,790  14,685 
  Dayton Power & Light Co.  5.125%  10/1/13  2,275  2,449 
  Dominion Resources Inc./VA  6.000%  11/30/17  5,000  5,458 


  Dominion Resources Inc./VA  6.400%  6/15/18  2,000  2,232 
  Dominion Resources Inc./VA  5.200%  8/15/19  2,000  2,070 
5  Dominion Resources Inc./VA  6.300%  9/30/66  10,990  9,656 
  Duke Energy Carolinas LLC  5.750%  11/15/13  12,100  13,413 
  Duke Energy Carolinas LLC  5.300%  10/1/15  6,000  6,646 
  Duke Energy Ohio Inc.  5.450%  4/1/19  5,000  5,422 
6  EDP Finance BV  6.000%  2/2/18  6,000  6,487 
6  Enel Finance International SA  5.125%  10/7/19  13,000  13,164 
  Entergy Gulf States Inc.  5.250%  8/1/15  10,000  10,038 
  Exelon Corp.  4.900%  6/15/15  10,000  10,433 
  FirstEnergy Corp.  6.450%  11/15/11  50  54 
6  FirstEnergy Solutions Corp.  4.800%  2/15/15  5,000  5,193 
  Florida Power Corp.  4.800%  3/1/13  5,000  5,318 
  Florida Power Corp.  5.650%  6/15/18  9,915  10,835 
6  FPL Energy Marcus Hook LP  7.590%  7/10/18  5,675  5,936 
  FPL Group Capital Inc.  7.875%  12/15/15  14,348  17,440 
  FPL Group Capital Inc.  6.000%  3/1/19  17,976  19,872 
5  FPL Group Capital Inc.  6.350%  10/1/66  10,850  10,105 
  Georgia Power Co.  5.700%  6/1/17  2,000  2,207 
  Georgia Power Co.  5.400%  6/1/18  5,000  5,392 
5,6 GWF Energy LLC  6.131%  12/30/11  1,012  1,053 
6  Iberdrola Finance Ireland Ltd.  5.000%  9/11/19  5,000  5,040 
  Illinois Power Co.  6.125%  11/15/17  5,000  5,370 
  Illinois Power Co.  6.250%  4/1/18  7,625  8,060 
6  Israel Electric Corp. Ltd.  7.250%  1/15/19  1,675  1,834 
6  ITC Holdings Corp.  6.050%  1/31/18  20,000  20,614 
6  Kansas Gas & Electric  6.700%  6/15/19  3,000  3,416 
6  Korea East-West Power Co. Ltd.  4.875%  4/21/11  5,000  5,103 
6  Korea East-West Power Co. Ltd.  5.250%  11/15/12  5,000  5,238 
  Metropolitan Edison Co.  7.700%  1/15/19  5,000  5,866 
  MidAmerican Energy Co.  5.125%  1/15/13  9,000  9,539 
  Midamerican Energy Holdings Co.  5.750%  4/1/18  5,000  5,363 
  National Rural Utilities Cooperative Finance         
  Corp.  3.875%  9/16/15  5,000  5,064 
  National Rural Utilities Cooperative Finance         
  Corp.  5.450%  4/10/17  12,691  13,408 
  National Rural Utilities Cooperative Finance         
  Corp.  10.375%  11/1/18  15,380  20,389 
  Nevada Power Co.  6.500%  5/15/18  9,131  9,976 
  Nevada Power Co.  6.500%  8/1/18  3,662  4,007 
  Nevada Power Co.  7.125%  3/15/19  5,000  5,668 
6  Niagara Mohawk Power Corp.  4.881%  8/15/19  7,000  7,046 
  Northeast Utilities  7.250%  4/1/12  4,620  4,988 
  NSTAR Electric Co.  5.625%  11/15/17  3,000  3,268 
  Ohio Power Co.  4.850%  1/15/14  5,000  5,269 
  Ohio Power Co.  6.000%  6/1/16  4,000  4,327 
  Pacific Gas & Electric Co.  5.625%  11/30/17  13,000  14,233 
  Pacific Gas & Electric Co.  8.250%  10/15/18  7,695  9,674 
  Pacificorp  5.650%  7/15/18  15,000  16,347 
  Pacificorp  5.500%  1/15/19  8,000  8,725 
  Peco Energy Co.  5.950%  11/1/11  15,000  16,235 
  Peco Energy Co.  4.750%  10/1/12  4,500  4,807 
  Pennsylvania Electric Co.  6.050%  9/1/17  7,000  7,449 
2  Pepco Holdings Inc.  0.986%  6/1/10  3,075  3,045 
  PG&E Corp.  5.750%  4/1/14  10,650  11,721 
  Portland General Electric Co.  6.100%  4/15/19  3,000  3,392 
  Potomac Electric Power Co.  4.950%  11/15/13  5,465  5,786 
5  PPL Capital Funding Inc.  6.700%  3/30/67  15,000  13,276 


Progress Energy Inc.  7.100%  3/1/11  516  550 
Progress Energy Inc.  5.625%  1/15/16  21,407  22,879 
Public Service Co. of Colorado  5.500%  4/1/14  7,000  7,654 
Public Service Co. of Colorado  5.800%  8/1/18  5,200  5,825 
Public Service Co. of Colorado  5.125%  6/1/19  5,500  5,855 
Public Service Electric & Gas Co.  5.300%  5/1/18  3,000  3,213 
Sierra Pacific Power Co.  6.000%  5/15/16  10,000  10,689 
South Carolina Electric & Gas Co.  6.500%  11/1/18  13,105  15,294 
Southern California Edison Co.  5.750%  3/15/14  23,157  25,783 
Southern California Edison Co.  5.000%  1/15/16  4,000  4,249 
Southern California Edison Co.  5.500%  8/15/18  2,500  2,737 
Southern Co.  5.300%  1/15/12  7,000  7,508 
Southern Co.  4.150%  5/15/14  9,000  9,366 
Southern Power Co.  4.875%  7/15/15  6,500  6,827 
6 SP PowerAssets Ltd.  5.000%  10/22/13  15,000  15,981 
Tampa Electric Co.  6.375%  8/15/12  2,193  2,379 
Tampa Electric Co.  6.100%  5/15/18  4,000  4,347 
TransAlta Corp.  6.650%  5/15/18  5,000  5,082 
6 United Energy Distribution Holdings Pty Ltd.  4.700%  4/15/11  10,000  10,136 
Virginia Electric and Power Co.  5.950%  9/15/17  15,000  16,535 
Virginia Electric and Power Co.  5.400%  4/30/18  12,075  12,926 
5 Wisconsin Energy Corp.  6.250%  5/15/67  25,000  22,049 
Wisconsin Power & Light Co.  5.000%  7/15/19  2,500  2,598 
 
Natural Gas (2.0%)         
AGL Capital Corp.  7.125%  1/14/11  10,000  10,489 
AGL Capital Corp.  5.250%  8/15/19  3,000  3,082 
Atmos Energy Corp.  4.950%  10/15/14  6,420  6,815 
Atmos Energy Corp.  8.500%  3/15/19  5,000  6,191 
Boardwalk Pipelines LP  5.750%  9/15/19  8,500  8,470 
El Paso Natural Gas Co.  5.950%  4/15/17  3,000  3,082 
Enbridge Energy Partners LP  6.500%  4/15/18  5,000  5,370 
5 Enbridge Energy Partners LP  8.050%  10/1/37  3,280  3,080 
Enbridge Inc.  5.800%  6/15/14  10,000  10,958 
Energy Transfer Partners LP  5.950%  2/1/15  2,769  2,944 
Energy Transfer Partners LP  9.700%  3/15/19  5,000  6,186 
Energy Transfer Partners LP  9.000%  4/15/19  5,000  6,051 
Enterprise Products Operating LLC  5.650%  4/1/13  16,975  18,121 
Enterprise Products Operating LLC  9.750%  1/31/14  7,000  8,393 
Enterprise Products Operating LLC  6.650%  4/15/18  15,000  16,748 
5 Enterprise Products Operating LLC  8.375%  8/1/66  5,850  5,726 
EQT Corp.  6.500%  4/1/18  15,000  15,443 
6 Florida Gas Transmission Co. LLC  7.625%  12/1/10  5,000  5,267 
6 Florida Gas Transmission Co. LLC  7.900%  5/15/19  5,000  5,940 
6 Gulf South Pipeline Co. LP  6.300%  8/15/17  7,000  7,284 
6 Gulfstream Natural Gas System LLC  5.560%  11/1/15  8,500  8,588 
KeySpan Gas East Corp.  7.875%  2/1/10  10,000  10,148 
Kinder Morgan Energy Partners LP  5.950%  2/15/18  10,000  10,536 
Kinder Morgan Energy Partners LP  9.000%  2/1/19  5,410  6,636 
Magellan Midstream Partners LP  6.550%  7/15/19  10,000  10,996 
National Grid PLC  6.300%  8/1/16  7,000  7,684 
6 NGPL Pipeco LLC  7.119%  12/15/17  10,000  11,078 
Northwest Pipeline GP  5.950%  4/15/17  5,000  5,325 
ONEOK Partners LP  6.150%  10/1/16  10,000  10,559 
ONEOK Partners LP  8.625%  3/1/19  2,000  2,411 
Panhandle Eastern Pipeline Co. LP  6.200%  11/1/17  5,000  5,225 
Sempra Energy  6.150%  6/15/18  6,000  6,523 
Southern California Gas Co.  5.500%  3/15/14  8,179  9,069 


5  Southern Union Co.  7.200%  11/1/66  5,175  4,263 
  TransCanada Pipelines Ltd.  6.500%  8/15/18  13,000  14,671 
5  TransCanada PipeLines Ltd.  6.350%  5/15/67  4,000  3,696 
          1,066,440 
Total Corporate Bonds (Cost $9,946,677)        10,440,091 
Sovereign Bonds (U.S. Dollar-Denominated) (1.8%)         
6  Abu Dhabi National Energy Co.  5.875%  10/27/16  4,000  4,041 
6  Abu Dhabi National Energy Co.  6.165%  10/25/17  10,000  10,137 
6  Banco Nacional de Desenvolvimento         
  Economico e Social  6.500%  6/10/19  10,000  10,563 
  Brazilian Government International Bond  5.875%  1/15/19  2,800  2,982 
  China Development Bank Corp.  5.000%  10/15/15  1,500  1,559 
  Colombia Government International Bond  7.375%  3/18/19  5,000  5,525 
  Corp Andina de Fomento  8.125%  6/4/19  6,000  7,099 
  Corp. Andina de Fomento  5.200%  5/21/13  3,000  3,139 
6  Croatia Government International Bond  6.750%  11/5/19  5,000  4,948 
6  Emirate of Abu Dhabi  6.750%  4/8/19  5,000  5,633 
6  Gaz Capital SA  6.212%  11/22/16  7,800  7,449 
6  Industrial Bank Of Korea  7.125%  4/23/14  2,700  2,931 
  Israel Government International Bond  5.125%  3/26/19  15,000  15,123 
  Korea Development Bank/Republic of Korea  8.000%  1/23/14  5,000  5,711 
6  Korea Expressway Corp.  4.875%  4/7/14  5,000  5,044 
6  MDC-GMTN B.V.  7.625%  5/6/19  11,000  12,242 
  Panama Government International Bond  7.250%  3/15/15  7,500  8,438 
  Pemex Project Funding Master Trust  5.750%  3/1/18  5,000  5,005 
  Petrobras International Finance Co.  9.125%  7/2/13  3,937  4,688 
  Petrobras International Finance Co.  7.750%  9/15/14  400  459 
  Petrobras International Finance Co.  7.875%  3/15/19  6,000  6,901 
  Petrobras International Finance Co.  5.750%  1/20/20  5,000  5,014 
  Petroleos Mexicanos  8.000%  5/3/19  3,000  3,459 
6  Petroleum Co. of Trinidad & Tobago Ltd.  9.750%  8/14/19  1,000  1,141 
5,6 Petroleum Co. of Trinidad & Tobago Ltd.  6.000%  5/8/22  8,800  8,234 
6  Petronas Capital Ltd.  7.000%  5/22/12  5,000  5,512 
6  Petronas Capital Ltd.  5.250%  8/12/19  14,500  14,614 
6  Petronas Capital Ltd.  7.875%  5/22/22  5,000  6,171 
5,6 PF Export Receivables Master Trust  3.748%  6/1/13  1,489  1,455 
5,6 PF Export Receivables Master Trust  6.436%  6/1/15  2,997  3,143 
  Poland Government International Bond  6.375%  7/15/19  10,000  11,038 
6  Qatar Govt International Bond  6.550%  4/9/19  5,000  5,607 
5,6 Ras Laffan Liquefied Natural Gas Co. Ltd. II  5.298%  9/30/20  15,020  15,059 
6  Ras Laffan Liquefied Natural Gas Co. Ltd. III  5.500%  9/30/14  2,725  2,905 
  Republic of Korea  4.250%  6/1/13  9,325  9,675 
  Republic of Korea  7.125%  4/16/19  3,000  3,538 
  South Africa Government International Bond  6.875%  5/27/19  2,000  2,233 
6  TDIC Finance Ltd.  6.500%  7/2/14  5,600  6,077 
6  TransCapitalInvest Ltd. for OJSC AK         
  Transneft  5.670%  3/5/14  15,450  15,199 
Total Sovereign Bonds (Cost $237,314)        249,691 
Taxable Municipal Bonds (0.2%)         
2  Florida Hurricane Catastrophe Fund Finance         
  Corp. Rev.  1.026%  10/15/12  14,210  13,375 
  New York City NY IDA Special Fac. Rev.         
  (American Airlines Inc. J.F.K International         
  Project)  7.500%  8/1/16  1,825  1,777 
  Tobacco Settlement Finance Auth. Rev.  7.467%  6/1/47  9,690  7,664 
Total Taxable Municipal Bonds (Cost $25,639)        22,816 


Tax-Exempt Municipal Bonds (0.2%)         
California GO CP  0.400%  11/4/09  7,520  7,520 
California GO CP  0.400%  11/4/09  2,000  2,000 
California GO CP  1.250%  11/4/09  9,125  9,125 
California GO CP  0.400%  11/5/09  3,225  3,225 
California GO CP  0.420%  11/5/09  5,331  5,331 
Total Tax-Exempt Municipal Bonds (Cost $27,201)        27,201 
        Market 
        Value 
  Coupon    Shares  ($000) 
Preferred Stocks (0.3%)         
Southern California Edison Co. Pfd.  5.349%    211,400  18,469 
Goldman Sachs Group Inc. Pfd.  4.000%    322,000  6,865 
Axis Capital Holdings Ltd. Pfd.  7.500%    50,000  3,744 
Santander Finance SA Unipersonal Pfd.  10.500%    90,590  2,479 
Aspen Insurance Holdings Ltd. Pfd.  7.401%    76,950  1,562 
7 Lehman Brothers Holdings Inc. Pfd.  7.250%    8,740  59 
Total Preferred Stocks (Cost $47,431)        33,178 
Temporary Cash Investment (4.7%)         
Money Market Fund (4.7%)         
8 Vanguard Market Liquidity Fund (Cost         
$646,240)  0.225%    646,240,332  646,240 
Total Investments (99.3%) (Cost $13,124,461)        13,696,983 
Other Assets and Liabilities-Net (0.7%)        102,932 
Net Assets (100%)        13,799,915 

1 Securities with a value of $15,144,000 have been segregated as initial margin for open futures contracts.
2 Adjustable-rate security.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
4 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee
Program.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2009, the
aggregate value of these securities was $1,418,308,000, representing 10.3% of net assets.
7 Non-income-producing security--security in default.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
CP—Commercial Paper.
GO—General Obligation Bond.
IDA—Industrial Development Authority Bond.
REIT—Real Estate Investment Trust.

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


Intermediate-Term Investment-Grade Fund

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

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

At October 31, 2009, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000) 
    Number of  Aggregate  Unrealized 
    Long (Short)  Settlement  Appreciation 
Futures Contracts  Expiration  Contracts  Value (Depreciation) 
2-Year United States Treasury Note/Bond  December 2009  (5,032)  1,095,010  (2,327) 
10-Year United States Treasury Note/Bond  December 2009  7,587  899,889  2,516 
5-Year United States. Treasury Note/Bond  December 2009  (2,161)  251,655  (505) 

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

Swap Contracts: The fund may invest in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific bond issuer. The fund has sold credit protection through credit default swaps, to simulate investments in long bond positions that are either unavailable or considered to be less attractively priced in the bond market. The fund has also purchased credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an upfront payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional principal amount. If the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer the notional amount and take delivery of a debt instrument of the reference issuer of the same notional par amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for debt instruments of the relevant reference entity, as determined either in a market auction for credit default swaps of such reference entity or pursuant to a pre-agreed upon valuation procedure.

The fund is subject to credit risk through its investment in swap transactions to earn the total return on the Commercial Mortgage-Backed Securities (CMBS) Index. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on the CMBS index, applied to a notional principal amount. In return, the fund agrees to pay the counterparty a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities.

The fund has also entered into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates.


Intermediate-Term Investment-Grade Fund

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

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily and the change in value is recorded as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract. The primary risks associated with selling credit protection are that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A primary risk for all types of swaps is that a counterparty will default on its obligation to pay net amounts due to the fund. The fund's maximum risk of loss from counterparty credit risk is the amount of unrealized appreciation on the swap contract. This risk is mitigated by entering into swaps only with highly rated counterparties, a master netting arrangement between the fund and the counterparty and by the posting of collateral by the counterparty. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has posted. Any securities posted as collateral for open contracts are noted in the Schedule of Investments.

Credit Default Swaps             
        Up-Front  Periodic   
        Premium  Premium  Unrealized 
      Notional  Received  Received  Appreciation 
  Termination    Amount  (Paid)  (Paid) (Depreciation) 
Reference Entity  Date Counterparty1  ($000)  ($000)  (%)  ($000) 
Credit Protection Sold/Moody’s Rating             
Burlington Northern Santa Fe Corp./Baa1  6/20/2012  DBAG  5,000  —  0.400  2 
Johnson & Johnson/Aaa  9/20/2012  UBSAG  2,160  —  0.080  (12 ) 
Johnson & Johnson/Aaa  9/20/2012  GSCM  5,400  —  0.070  (30 ) 
HSBC /A3  3/20/2014  BOANA  28,000  —  6.200  5,816 
HSBC/A3  6/20/2014  GSCM  30,000  3,600  5.000  8,678 
Lloyds TBS Bank/Aa3  6/20/2014  DBAG  6,100  —  1.550  123 
 
Credit Protection Purchased             
Morgan Stanley  9/20/2018  UBSAG  10,000  —  (2.000)  (496 ) 
Morgan Stanley  9/20/2018  BOANA  10,000  (1,152 )  (1.000)  (889 ) 
Marsh & Mclennan Com.  6/20/2014  DBAG  10,000  135  (1.000)  (60 ) 
Banco Santander  6/20/2014  BOANA  9,200  —  (1.680)  (230 ) 
BBVA Senior Finance  6/20/2014  DBAG  6,100  —  (0.950)  (22 ) 
Goldman Sachs & Co  9/20/2010  DBAG  7,500  (52 )  (1.000)  (55 ) 


Intermediate-Term Investment-Grade Fund

Wells Fargo  9/20/2010  DBAG  8,000  30  (1.000)  27 
            12,852 

1 BOANA—Bank of America, N.A.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
UBSAG—UBS AG.

Total Return Swaps         
      Floating  Unrealized 
    Notional  Interest Rate  Appreciation 
  Termination  Amount  Received  (Depreciation) 
Reference Entity  Date Counterparty1  ($000)  (Paid)2  ($000) 
Commercial Mortgage-Backed Securities         
Index         
11/1/2009  BARC  121,725  (0.25)  — 
12/1/2009  BARC  48,500  (0.25)  3,062 
1/1/2010  BARC  48,500  (0.25)  3,062 
2/1/2010  BARC  48,500  (0.25)  3,062 
        9,186 

1 BARC—Barclays Bank PLC.
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

Interest Rate Swaps           
      Fixed  Floating  Unrealized 
    Notional   Interest Rate  Interest Rate  Appreciation 
    Amount  Received  Received  (Depreciation) 
Termination Date  Counterparty1  ($000)  (Paid)  (Paid)  ($000) 
6/15/2010  BOANA  1,400  0.410%  (0.250%)2  1 
9/30/2010  BARC  360  3.440%  (0.280%)3  9 
10/6/2010  WFC  8,165  1.640%  (0.280%)3  82 
11/15/2010  GSCM  1,230  0.630%  (0.250%)2  1 
12/15/2010  WFC  8,300  1.020%  (0.250%)2  40 
1/15/2011  WFC  16,700  1.030%  (0.250%)2  74 
1/18/2011  BOANA  3,000  0.740%  (0.250%)2  3 
5/15/2011  BOANA  1,800  1.560%  (0.250%)2  19 
5/16/2011  JPMC  4,280  1.090%  (0.250%)2  14 
5/16/2011  BOANA  1,500  0.940%  (0.250%)2  2 
5/16/2011  WFC  1,540  0.980%  (0.250%)2  2 
6/15/2011  GSCM  3,125  1.320%  (0.250%)2  20 
6/15/2011  WFC  650  1.320%  (0.250%)2  4 
7/15/2011  WFC  2,200  1.270%  (0.250%)2  11 


Intermediate-Term Investment-Grade Fund           
 
 
7/15/2011  GSCM  1,900  1.240%  (0.250%)2  8 
7/15/2011  WFC  7,900  1.320%  (0.250%)2  47 
7/15/2011  GSCM  1,540  1.090%  (0.250%)2  3 
7/15/2011  BOANA  6,170  1.090%  (0.250%)2  12 
7/15/2011  WFC  2,275  1.030%  (0.230%)2  2 
8/15/2011  GSCM  1,500  1.090%  (0.230%)2  2 
10/6/2011  BARC  6,600  1.720%  (0.240%)2  76 
10/15/2011  WFC  2,375  1.510%  (0.250%)2  17 
11/15/2011  WFC  1,720  1.500%  (0.250%)2  11 
11/15/2011  WFC  3,000  1.380%  (0.250%)2  11 
12/6/2011  WFC  3,950  2.020%  (0.310%)3  58 
1/15/2012  WFC  4,550  1.380%  (0.230%)2  8 
2/6/2012  WFC  5,500  1.490%  (0.240%)2  19 
2/15/2012  BOANA  12,300  1.770%  (0.250%)2  115 
3/6/2012  GSCM  5,000  1.500%  (0.240%)2  14 
4/15/2012  WFC  6,300  1.540%  (0.250%)2  14 
4/24/2012  GSCM  1,700  1.600%  (0.240%)2  6 
5/15/2012  GSCM  2,100  1.710%  (0.250%)2  11 
6/15/2012  BARC  31,500  1.660%  (0.250%)2  85 
6/15/2012  BARC  1,500  1.680%  (0.250%)2  5 
7/1/2012  WFC  9,000  1.710%  (0.250%)2  31 
7/15/2012  WFC  19,800  1.600%  (0.250%)2  (3) 
7/15/2012  GSCM  14,980  1.610%  (0.250%)2  4 
7/15/2012  GSCM  8,000  1.730%  (0.250%)2  28 
7/15/2012  WFC  20,000  1.710%  (0.250%)2  59 
7/15/2012  BARC  16,105  1.680%  (0.230%)2  35 
8/15/2012  WFC  13,850  1.850%  (0.250%)2  75 
8/16/2012  BARC  19,200  1.730%  (0.250%)2  43 
9/6/2012  GSCM  55,556  2.070%  (0.240%)2  603 
9/6/2012  BOANA  55,556  2.070%  (0.240%)2  592 
9/15/2012  GSCM  22,400  1.860%  (0.250%)2  99 
9/15/2012  WFC  30,665  1.760%  (0.250%)2  48 
10/15/2012  WFC  2,460  1.800%  (0.250%)2  4 
10/15/2012  GSCM  59,479  1.820%  (0.250%)2  141 
10/20/2012  BARC  9,000  1.760%  (0.250%)2  2 
10/22/2012  BOANA  6,750  2.450%  (0.250%)2  138 
11/7/2012  WFC  4,085  1.930%  (0.240%)2  19 
11/15/2012  GSCM  10,100  1.800%  (0.250%)2  3 
11/15/2012  BARC  6,200  1.950%  (0.250%)2  30 
12/6/2012  BARC  15,500  2.330%  (0.310%)3  304 
12/15/2012  BOANA  7,000  2.210%  (0.300%)3  62 


Intermediate-Term Investment-Grade Fund           
 
 
12/17/2012  WFC  14,500  2.260%  (0.290%)3  153 
12/17/2012  WFC  9,700  1.990%  (0.290%)3  23 
3/15/2013  WFC  11,750  1.900%  (0.250%)2  (18) 
3/15/2013  WFC  1,200  2.100%  (0.250%)2  6 
3/15/2013  WFC  3,200  2.170%  (0.250%)2  23 
7/15/2013  BARC  7,000  2.530%  (0.250%)2  109 
7/15/2013  BOANA  25,000  2.190%  (0.250%)2  81 
8/15/2013  WFC  5,600  1.970%  (0.250%)2  (32) 
9/16/2013  GSCM  7,850  2.290%  (0.300%)3  11 
11/17/2013  JPMC  3,600  2.170%  (0.250%)2  (11) 
12/1/2013  GSCM  29,608  2.580%  (0.360%)3  282 
12/1/2013  WFC  41,858  2.580%  (0.360%)3  387 
12/1/2013  GSCM  41,858  2.580%  (0.360%)3  399 
1/6/2014  WFC  10,000  2.430%  (0.240%)2  52 
3/6/2014  GSCM  24,902  2.450%  (0.240%)2  96 
3/15/2014  WFC  7,500  2.660%  (0.250%)2  93 
5/15/2014  GSCM  1,250  2.300%  (0.250%)2  (6) 
8/15/2014  WFC  12,750  2.680%  (0.250%)2  98 
8/15/2016  GSCM  5,430  3.030%  (0.250%)2  (8) 
12/15/2016  WFC  11,300  3.370%  (0.300%)3  139 
2/15/2017  WFC  43,000  3.370%  (0.250%)2  640 
2/15/2017  GSCM  16,200  3.430%  (0.250%)2  306 
2/15/2017  BARC  1,490  3.180%  (0.240%)2  3 
          5,949 

1 BARC—Barclays Bank PLC.
BOANA—Bank of America, N.A.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.
WFC—Wachovia Bank N.A.
2 Based on 1-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on 3-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.


Intermediate-Term Investment-Grade Fund

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

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

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

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

The following table summarizes the fund's investments as of October 31, 2009, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  546,933  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  1,730,833   
Corporate Bonds  —  10,440,091  — 
Sovereign Bonds  —  249,691  — 
Taxable Municipal Bonds  —  22,816  — 
Tax-Exempt Municipal Bonds  —  27,201  — 
Preferred Stocks  33,178  —  — 
Temporary Cash Investments  646,240  —  — 
Futures Contracts—Assets1  6,775  —  — 
Futures Contracts—Liabilities1  (3,082)  —  — 
Swap Contracts—Assets  —  29,859  — 
Swap Contracts—Liabilities  —  (1,872)  — 
Total  683,111  13,045,552  — 

1 Represents variation margin on the last day of the reporting period.

At October 31, 2009, the cost of investment securities for tax purposes was $13,124,980,000. Net unrealized appreciation of investment securities for tax purposes was $572,003,000, consisting of unrealized gains of $823,643,000 on securities that had risen in value since their purchase and $251,640,000 in unrealized losses on securities that had fallen in value since their purchase.


Item 2: Controls and Procedures

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD FIXED INCOME SECURITIES FUNDS 
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: December 18, 2009 

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

  VANGUARD FIXED INCOME SECURITIES FUNDS 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
Date: December 18, 2009 
  VANGUARD FIXED INCOME SECURITIES FUNDS 
By:  /s/ THOMAS J. HIGGINS* 
  THOMAS J. HIGGINS 
  CHIEF FINANCIAL OFFICER 
Date: December 18, 2009 

*By: /s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on July 24, 2009, see File Number 2-88373,
and a Power of Attorney filed on October 16, 2009, see File Number 2-52698,
both Incorporated by Reference.