N-Q 1 fixedincomefundsfinal.htm VANGUARD FIXED INCOME FUNDS fixedincomefundsfinal.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: April 30, 2010

Item 1: Schedule of Investments


Vanguard Long-Term Investment-Grade Fund        
 
 
 
Schedule of Investments        
As of April 30, 2010        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (3.0%)        
U.S. Government Securities (1.9%)        
1 United States Treasury Note/Bond 3.500% 2/15/39 86,600 72,366
  United States Treasury Note/Bond 4.375% 11/15/39 10,000 9,753
  United States Treasury Strip Principal 0.000% 2/15/36 217,000 65,421
  United States Treasury Strip Principal 0.000% 8/15/39 71,500 17,836
          165,376
Agency Bonds and Notes (1.1%)        
2 Federal Home Loan Banks 5.500% 7/15/36 52,000 55,638
2 Federal National Mortgage Assn. 6.625% 11/15/30 21,000 25,698
2 Tennessee Valley Authority 5.250% 9/15/39 11,680 11,843
          93,179
Total U.S. Government and Agency Obligations (Cost $263,999)     258,555
Corporate Bonds (87.0%)        
Finance (29.1%)        
  Banking (18.2%)        
  American Express Co. 8.125% 5/20/19 4,170 5,098
  American Express Co. 8.150% 3/19/38 37,225 49,066
  Bank of America Corp. 6.800% 3/15/28 35,000 35,994
  Bank of America NA 6.000% 10/15/36 60,000 57,343
  Bank One Corp. 7.750% 7/15/25 25,000 28,917
  Bank One Corp. 7.625% 10/15/26 20,000 23,144
  Bank One Corp. 8.000% 4/29/27 30,869 36,845
  Barclays Bank PLC 5.125% 1/8/20 20,500 20,505
3 Barclays Bank PLC 10.179% 6/12/21 11,160 14,623
  BB&T Corp. 5.250% 11/1/19 20,000 20,358
  Citigroup Inc. 8.500% 5/22/19 10,000 11,825
  Citigroup Inc. 6.625% 1/15/28 25,000 24,991
  Citigroup Inc. 6.625% 6/15/32 55,055 53,120
  Citigroup Inc. 5.875% 2/22/33 15,000 13,375
  Citigroup Inc. 6.000% 10/31/33 22,395 20,218
  Citigroup Inc. 5.850% 12/11/34 36,500 34,556
  Citigroup Inc. 6.125% 8/25/36 28,800 26,472
  Citigroup Inc. 5.875% 5/29/37 15,000 14,274
  Citigroup Inc. 8.125% 7/15/39 13,300 16,014
  Credit Suisse AG 5.400% 1/14/20 10,000 10,180
  Credit Suisse USA Inc. 7.125% 7/15/32 38,000 45,871
  Goldman Sachs Group Inc. 6.125% 2/15/33 55,725 54,697
  Goldman Sachs Group Inc. 6.450% 5/1/36 45,000 42,530
  Goldman Sachs Group Inc. 6.750% 10/1/37 128,660 124,944
3 HBOS PLC 6.000% 11/1/33 41,500 32,309
  HSBC Bank USA NA 5.875% 11/1/34 50,700 50,750
  HSBC Bank USA NA 5.625% 8/15/35 28,000 27,073
  HSBC Bank USA NA 7.000% 1/15/39 10,000 11,379
  HSBC Holdings PLC 7.625% 5/17/32 21,200 23,925
  HSBC Holdings PLC 6.500% 5/2/36 2,000 2,132
  HSBC Holdings PLC 6.500% 9/15/37 15,000 15,861
  HSBC Holdings PLC 6.800% 6/1/38 58,985 65,030
  JP Morgan Chase Capital XXV 6.800% 10/1/37 8,415 8,386
  JPMorgan Chase & Co. 6.400% 5/15/38 78,750 87,279


3 Lloyds TSB Bank PLC 5.800% 1/13/20 22,800 22,531
  Mellon Funding Corp. 5.500% 11/15/18 8,800 9,151
  Merrill Lynch & Co. Inc. 6.875% 4/25/18 11,000 11,825
  Merrill Lynch & Co. Inc. 6.220% 9/15/26 10,000 9,605
  Merrill Lynch & Co. Inc. 6.110% 1/29/37 49,850 45,992
  Merrill Lynch & Co. Inc. 7.750% 5/14/38 38,050 41,546
  Morgan Stanley 6.625% 4/1/18 9,985 10,624
  Morgan Stanley 5.625% 9/23/19 14,550 14,314
  Morgan Stanley 5.500% 1/26/20 2,085 2,037
  Morgan Stanley 6.250% 8/9/26 12,850 13,373
  Morgan Stanley 7.250% 4/1/32 28,750 33,379
  National City Corp. 6.875% 5/15/19 15,000 16,860
  PNC Funding Corp. 6.700% 6/10/19 3,605 4,102
  Royal Bank of Scotland Group PLC 4.700% 7/3/18 26,125 21,354
  SunTrust Bank 5.400% 4/1/20 10,000 9,620
  Wachovia Bank NA 5.850% 2/1/37 20,700 20,053
  Wachovia Bank NA 6.600% 1/15/38 65,225 69,576
  Wachovia Corp. 6.605% 10/1/25 30,000 31,110
  Wachovia Corp. 5.500% 8/1/35 15,730 14,319
  Wells Fargo & Co. 5.375% 2/7/35 37,000 35,425
  Wells Fargo Bank NA 5.950% 8/26/36 22,670 22,262
 
  Brokerage (0.3%)        
  Ameriprise Financial Inc. 5.300% 3/15/20 3,105 3,236
3 FMR LLC 6.450% 11/15/39 27,500 27,222
 
  Finance Companies (2.7%)        
  General Electric Capital Corp. 6.750% 3/15/32 117,095 128,044
  General Electric Capital Corp. 5.875% 1/14/38 37,905 37,379
  General Electric Capital Corp. 6.875% 1/10/39 62,685 69,428
 
  Insurance (7.3%)        
  ACE Capital Trust II 9.700% 4/1/30 10,000 12,163
  ACE INA Holdings Inc. 6.700% 5/15/36 23,865 27,521
  AEGON Funding Co. LLC 5.750% 12/15/20 1,535 1,530
  Allstate Corp. 5.550% 5/9/35 14,075 13,782
  Allstate Corp. 5.950% 4/1/36 11,135 11,467
  Assurant Inc. 6.750% 2/15/34 750 741
  AXA Financial Inc. 7.000% 4/1/28 34,910 36,635
  Chubb Corp. 6.000% 5/11/37 3,000 3,154
  Chubb Corp. 6.500% 5/15/38 10,375 11,565
3 Guardian Life Insurance Co. of America 7.375% 9/30/39 9,400 10,569
  Hartford Financial Services Group Inc. 6.100% 10/1/41 34,429 31,618
3 Jackson National Life Insurance Co. 8.150% 3/15/27 2,130 2,276
3 John Hancock Life Insurance Co. 7.375% 2/15/24 30,000 33,793
3 Liberty Mutual Insurance Co. 8.500% 5/15/25 23,335 26,492
  Lincoln National Corp. 6.150% 4/7/36 13,900 13,674
3,4 Massachusetts Mutual Life Insurance Co. 7.625% 11/15/23 15,970 18,558
3 Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 18,880 25,238
  MetLife Inc. 6.500% 12/15/32 3,990 4,246
  MetLife Inc. 6.375% 6/15/34 16,010 17,159
  MetLife Inc. 5.700% 6/15/35 5,000 4,916
3 Metropolitan Life Insurance Co. 7.800% 11/1/25 35,000 38,937
  Munich Re America Corp. 7.450% 12/15/26 8,500 9,453
3 Nationwide Mutual Insurance Co. 9.375% 8/15/39 22,950 27,307
3 New York Life Insurance Co. 5.875% 5/15/33 60,275 61,795
3 Pacific Life Insurance Co. 9.250% 6/15/39 23,775 31,771
  Principal Financial Group Inc. 6.050% 10/15/36 11,500 11,093


Prudential Financial Inc. 5.750% 7/15/33 13,000 12,872
Prudential Financial Inc. 5.400% 6/13/35 10,000 9,440
3 Teachers Insurance & Annuity Association of        
America 6.850% 12/16/39 22,308 25,265
Travelers Property Casualty Corp. 7.750% 4/15/26 25,000 28,978
UnitedHealth Group Inc. 5.800% 3/15/36 22,000 21,236
UnitedHealth Group Inc. 6.625% 11/15/37 12,740 13,631
UnitedHealth Group Inc. 6.875% 2/15/38 16,672 18,395
WellPoint Inc. 5.850% 1/15/36 1,200 1,188
XL Capital Ltd. 6.375% 11/15/24 8,500 8,538
 
Real Estate Investment Trusts (0.6%)        
Simon Property Group LP 6.750% 2/1/40 32,900 34,840
3 WEA Finance LLC / WT Finance Aust Pty Ltd. 6.750% 9/2/19 15,000 16,628
        2,511,915
Industrial (44.4%)        
Basic Industry (0.7%)        
EI du Pont de Nemours & Co. 6.500% 1/15/28 22,100 24,638
Monsanto Finance Canada Co. 5.500% 7/30/35 15,000 14,822
Morton International Inc. 12.400% 6/1/20 10,000 12,026
Potash Corp. of Saskatchewan Inc. 5.875% 12/1/36 5,000 5,066
Southern Copper Corp. 6.750% 4/16/40 6,630 6,692
 
Capital Goods (3.5%)        
3M Co. 6.375% 2/15/28 35,000 39,393
3M Co. 5.700% 3/15/37 15,000 16,016
Boeing Co. 6.125% 2/15/33 2,955 3,210
Boeing Co. 6.625% 2/15/38 16,000 18,604
Boeing Co. 5.875% 2/15/40 3,065 3,271
Boeing Co. 7.875% 4/15/43 8,000 10,927
Caterpillar Inc. 6.625% 7/15/28 30,000 33,745
Deere & Co. 7.125% 3/3/31 15,000 18,110
Eaton Corp. 7.625% 4/1/24 15,000 18,133
3 Hutchison Whampoa International 03/33 Ltd. 7.450% 11/24/33 27,500 32,582
3 Siemens Financieringsmaatschappij NV 6.125% 8/17/26 39,750 42,653
United Technologies Corp. 7.500% 9/15/29 15,000 18,758
United Technologies Corp. 6.125% 7/15/38 27,300 30,158
United Technologies Corp. 5.700% 4/15/40 18,150 18,930
 
Communication (11.9%)        
Alltel Corp. 6.800% 5/1/29 2,697 2,979
Alltel Corp. 7.875% 7/1/32 8,773 10,802
3 America Movil SAB de CV 6.125% 3/30/40 25,510 25,261
AT&T Inc. 6.300% 1/15/38 13,000 13,473
AT&T Inc. 6.550% 2/15/39 10,000 10,709
BellSouth Corp. 6.875% 10/15/31 40,000 43,541
BellSouth Corp. 6.000% 11/15/34 40,000 39,860
BellSouth Telecommunications Inc. 7.000% 12/1/95 3,850 4,065
CBS Corp. 7.875% 9/1/23 4,325 5,013
CBS Corp. 7.875% 7/30/30 40,000 45,269
Comcast Corp. 5.650% 6/15/35 30,500 29,018
Comcast Corp. 6.450% 3/15/37 4,500 4,690
3 COX Communications Inc. 6.450% 12/1/36 10,000 10,556
3 COX Communications Inc. 8.375% 3/1/39 11,310 14,635
Deutsche Telekom International Finance BV 8.750% 6/15/30 22,200 28,718
France Telecom SA 8.500% 3/1/31 81,255 110,653
Grupo Televisa SA 6.625% 1/15/40 12,325 12,668


GTE Corp. 6.940% 4/15/28 20,000 21,414
Indiana Bell Telephone Co. Inc. 7.300% 8/15/26 20,000 21,849
Michigan Bell Telephone Co. 7.850% 1/15/22 25,000 29,397
3 NBC Universal Inc. 6.400% 4/30/40 8,650 8,852
New Cingular Wireless Services Inc. 8.750% 3/1/31 50,000 66,020
News America Holdings Inc. 7.750% 12/1/45 290 350
News America Inc. 6.200% 12/15/34 11,750 12,008
News America Inc. 6.400% 12/15/35 28,000 29,164
News America Inc. 6.900% 8/15/39 10,000 11,118
Pacific Bell Telephone Co. 7.125% 3/15/26 10,000 11,275
Telecom Italia Capital SA 7.721% 6/4/38 22,275 23,870
Telefonica Emisiones SAU 7.045% 6/20/36 59,985 66,519
Telefonica Europe BV 8.250% 9/15/30 16,100 20,043
Time Warner Cable Inc. 6.550% 5/1/37 40,000 41,946
Verizon Communications Inc. 5.850% 9/15/35 30,000 29,890
Verizon Communications Inc. 6.250% 4/1/37 20,000 20,861
Verizon Communications Inc. 6.400% 2/15/38 17,815 19,080
Verizon Communications Inc. 6.900% 4/15/38 6,285 7,114
Verizon Communications Inc. 8.950% 3/1/39 9,575 13,294
Verizon Communications Inc. 7.350% 4/1/39 15,000 17,934
Verizon Global Funding Corp. 7.750% 12/1/30 29,750 36,267
Verizon Maryland Inc. 5.125% 6/15/33 12,000 10,068
Verizon New Jersey Inc. 8.000% 6/1/22 25,000 29,580
Verizon Pennsylvania Inc. 8.350% 12/15/30 6,260 7,043
Vodafone Group PLC 6.150% 2/27/37 58,080 60,199
 
Consumer Cyclical (5.8%)        
CVS Caremark Corp. 6.250% 6/1/27 24,000 25,625
CVS Caremark Corp. 6.125% 9/15/39 5,000 5,101
Daimler Finance North America LLC 8.500% 1/18/31 19,380 24,569
Historic TW Inc. 6.625% 5/15/29 10,775 11,562
Kohl's Corp. 6.875% 12/15/37 6,000 6,903
Lowe's Cos. Inc. 6.500% 3/15/29 26,010 29,276
Lowe's Cos. Inc. 5.800% 4/15/40 8,220 8,448
McDonald's Corp. 6.300% 10/15/37 5,900 6,612
McDonald's Corp. 6.300% 3/1/38 26,170 29,346
McDonald's Corp. 5.700% 2/1/39 9,500 9,874
Target Corp. 6.650% 8/1/28 15,000 16,642
Target Corp. 7.000% 7/15/31 20,000 23,235
Target Corp. 7.000% 1/15/38 37,980 45,248
Time Warner Inc. 7.625% 4/15/31 10,000 11,597
Time Warner Inc. 6.500% 11/15/36 10,000 10,485
Time Warner Inc. 6.200% 3/15/40 6,800 6,867
Viacom Inc. 6.875% 4/30/36 17,750 19,464
Wal-Mart Stores Inc. 7.550% 2/15/30 40,000 50,442
Wal-Mart Stores Inc. 5.250% 9/1/35 2,000 1,965
Wal-Mart Stores Inc. 6.500% 8/15/37 35,000 40,035
Wal-Mart Stores Inc. 6.200% 4/15/38 60,900 67,158
Wal-Mart Stores Inc. 5.625% 4/1/40 10,000 10,186
Walt Disney Co. 7.000% 3/1/32 10,000 11,996
Walt Disney Co. 7.550% 7/15/93 25,900 30,642
 
Consumer Noncyclical (14.8%)        
Abbott Laboratories 6.000% 4/1/39 33,870 37,209
Altria Group Inc. 7.750% 1/15/27 1,000 1,102
Altria Group Inc. 9.950% 11/10/38 19,000 25,799
Altria Group Inc. 10.200% 2/6/39 5,000 6,867
Amgen Inc. 6.375% 6/1/37 30,000 32,831


Amgen Inc. 6.900% 6/1/38 20,000 23,443
Amgen Inc. 6.400% 2/1/39 34,430 38,089
Anheuser-Busch Cos. Inc. 6.750% 12/15/27 3,500 3,848
Anheuser-Busch Cos. Inc. 6.800% 8/20/32 6,900 7,685
Anheuser-Busch Cos. Inc. 5.750% 4/1/36 11,460 11,417
3 Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 14,995 19,795
Archer-Daniels-Midland Co. 6.750% 12/15/27 11,000 12,609
Archer-Daniels-Midland Co. 6.625% 5/1/29 10,000 11,370
AstraZeneca PLC 6.450% 9/15/37 70,000 80,137
Becton Dickinson and Co. 7.000% 8/1/27 8,300 9,873
Becton Dickinson and Co. 6.700% 8/1/28 5,066 5,845
Bestfoods 7.250% 12/15/26 30,000 35,933
Bestfoods 6.625% 4/15/28 30,000 34,087
Bristol-Myers Squibb Co. 6.800% 11/15/26 10,000 11,605
Bristol-Myers Squibb Co. 5.875% 11/15/36 5,000 5,276
Bristol-Myers Squibb Co. 6.125% 5/1/38 10,000 10,891
3 Cargill Inc. 6.125% 4/19/34 1,880 1,915
3 Cargill Inc. 6.125% 9/15/36 23,000 23,477
3 Cargill Inc. 6.625% 9/15/37 3,324 3,636
Coca-Cola Enterprises Inc. 6.950% 11/15/26 10,000 12,116
Coca-Cola Enterprises Inc. 6.700% 10/15/36 4,350 5,220
Eli Lilly & Co. 5.500% 3/15/27 33,375 34,651
Eli Lilly & Co. 5.550% 3/15/37 3,500 3,590
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 21,995 21,841
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 47,205 53,239
Johnson & Johnson 6.950% 9/1/29 22,457 27,436
Johnson & Johnson 5.950% 8/15/37 10,000 11,090
Johnson & Johnson 5.850% 7/15/38 17,000 18,604
Kellogg Co. 7.450% 4/1/31 23,800 29,773
Kraft Foods Inc. 6.500% 11/1/31 20,000 21,381
Kraft Foods Inc. 6.500% 2/9/40 21,240 22,866
Medtronic Inc. 6.500% 3/15/39 21,200 24,598
Merck & Co. Inc. 6.500% 12/1/33 30,320 35,060
Merck & Co. Inc. 5.750% 11/15/36 6,000 6,358
Merck & Co. Inc. 6.550% 9/15/37 10,000 11,717
Merck & Co. Inc. 5.850% 6/30/39 26,610 28,613
Pepsi Bottling Group Inc. 7.000% 3/1/29 17,000 20,194
PepsiCo Inc./NC 5.500% 1/15/40 43,350 44,002
Pfizer Inc. 7.200% 3/15/39 56,000 69,684
Pharmacia Corp. 6.750% 12/15/27 28,000 31,958
Philip Morris International Inc. 6.375% 5/16/38 48,090 53,495
4 Procter & Gamble - Esop 9.360% 1/1/21 12,543 16,147
Procter & Gamble Co. 6.450% 1/15/26 27,000 31,325
Procter & Gamble Co. 5.500% 2/1/34 25,000 26,023
Procter & Gamble Co. 5.550% 3/5/37 12,000 12,537
3 Roche Holdings Inc. 7.000% 3/1/39 47,905 58,252
3 Tesco PLC 6.150% 11/15/37 24,930 26,743
Wyeth 5.950% 4/1/37 58,000 62,432
 
Energy (4.4%)        
Anadarko Petroleum Corp. 7.950% 6/15/39 5,000 6,190
Burlington Resources Finance Co. 7.400% 12/1/31 25,000 30,675
ConocoPhillips 7.000% 3/30/29 10,000 11,844
ConocoPhillips 5.900% 10/15/32 20,300 21,481
ConocoPhillips 6.500% 2/1/39 40,735 46,923
ConocoPhillips Holding Co. 6.950% 4/15/29 2,660 3,171
Devon Financing Corp. ULC 7.875% 9/30/31 10,555 13,453
EnCana Corp. 6.500% 8/15/34 10,000 10,867


Halliburton Co. 8.750% 2/15/21 10,000 13,182
Halliburton Co. 6.700% 9/15/38 9,965 11,270
3 Halliburton Co. 7.600% 8/15/96 14,350 16,825
Hess Corp. 6.000% 1/15/40 10,000 10,099
Marathon Oil Corp. 6.600% 10/1/37 9,300 10,009
Nexen Inc. 7.500% 7/30/39 7,800 9,308
Shell International Finance BV 6.375% 12/15/38 55,005 62,268
Shell International Finance BV 5.500% 3/25/40 16,300 16,473
Texaco Capital Inc. 8.625% 11/15/31 13,000 17,828
Tosco Corp. 7.800% 1/1/27 15,000 18,585
Tosco Corp. 8.125% 2/15/30 20,000 25,912
XTO Energy Inc. 6.750% 8/1/37 12,195 14,653
XTO Energy Inc. 6.375% 6/15/38 5,000 5,743
 
Technology (2.9%)        
Cisco Systems Inc. 5.900% 2/15/39 55,000 57,362
Cisco Systems Inc. 5.500% 1/15/40 20,150 19,808
Electronic Data Systems LLC 7.450% 10/15/29 2,075 2,547
International Business Machines Corp. 7.000% 10/30/25 50,400 60,827
International Business Machines Corp. 5.600% 11/30/39 57,492 59,636
Oracle Corp. 6.500% 4/15/38 21,552 24,618
Oracle Corp. 6.125% 7/8/39 18,448 20,177
 
Transportation (0.4%)        
Burlington Northern Santa Fe LLC 6.875% 12/1/27 25,000 27,709
United Parcel Service Inc. 6.200% 1/15/38 4,230 4,747
        3,827,951
Utilities (13.5%)        
Electric (12.0%)        
Alabama Power Co. 5.700% 2/15/33 12,800 13,167
Alabama Power Co. 6.000% 3/1/39 5,475 5,946
American Water Capital Corp. 6.593% 10/15/37 10,000 10,825
Appalachian Power Co. 6.700% 8/15/37 50,000 55,919
Arizona Public Service Co. 5.625% 5/15/33 9,000 8,188
Baltimore Gas & Electric Co. 6.350% 10/1/36 10,000 10,629
Carolina Power & Light Co. 5.700% 4/1/35 7,500 7,653
Connecticut Light & Power Co. 6.350% 6/1/36 15,000 16,805
Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 9,600 9,008
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 10,000 10,370
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 18,000 19,531
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 12,990 15,132
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 6,250 6,270
Consolidated Natural Gas Co. 6.800% 12/15/27 1,401 1,478
Duke Energy Carolinas LLC 6.100% 6/1/37 50,000 54,366
Duke Energy Indiana Inc. 6.450% 4/1/39 10,000 11,403
3 E.ON International Finance BV 6.650% 4/30/38 20,000 22,865
3 Enel Finance International SA 6.800% 9/15/37 6,175 6,474
3 Enel Finance International SA 6.000% 10/7/39 39,905 37,712
FirstEnergy Corp. 7.375% 11/15/31 9,500 10,194
Florida Power & Light Co. 5.625% 4/1/34 16,275 16,658
Florida Power & Light Co. 5.400% 9/1/35 13,380 13,329
Florida Power & Light Co. 5.690% 3/1/40 7,350 7,577
Florida Power Corp. 6.750% 2/1/28 22,375 24,247
Georgia Power Co. 5.950% 2/1/39 13,310 14,275
Midamerican Energy Holdings Co. 6.125% 4/1/36 24,000 24,948
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 53,885 66,688


Northern States Power Co. 7.125% 7/1/25 20,000 23,937
Northern States Power Co. 6.200% 7/1/37 40,000 44,361
Oklahoma Gas & Electric Co. 6.500% 4/15/28 12,770 13,571
Pacific Gas & Electric Co. 6.050% 3/1/34 11,700 12,423
Pacific Gas & Electric Co. 5.800% 3/1/37 5,377 5,535
Pacific Gas & Electric Co. 6.250% 3/1/39 35,905 39,345
Pacific Gas & Electric Co. 5.400% 1/15/40 19,800 19,403
PacifiCorp 6.100% 8/1/36 15,000 16,137
PacifiCorp 6.250% 10/15/37 7,815 8,584
PacifiCorp 6.350% 7/15/38 20,000 22,273
PacifiCorp 6.000% 1/15/39 34,100 36,300
Potomac Electric Power Co. 7.900% 12/15/38 2,800 3,627
PPL Electric Utilities Corp. 6.250% 5/15/39 10,075 11,044
PSEG Power LLC 8.625% 4/15/31 19,005 24,970
Public Service Electric & Gas Co. 5.800% 5/1/37 995 1,062
Public Service Electric & Gas Co. 5.375% 11/1/39 10,000 10,071
Puget Sound Energy Inc. 6.724% 6/15/36 10,000 11,341
Puget Sound Energy Inc. 6.274% 3/15/37 4,700 5,050
Puget Sound Energy Inc. 5.795% 3/15/40 18,500 18,810
3 Rochester Gas & Electric Corp. 8.000% 12/15/33 5,000 6,211
San Diego Gas & Electric Co. 6.000% 6/1/26 25,000 27,513
South Carolina Electric & Gas Co. 6.625% 2/1/32 35,000 39,822
Southern California Edison Co. 6.000% 1/15/34 12,575 13,616
Southern California Edison Co. 5.350% 7/15/35 1,045 1,041
Tampa Electric Co. 6.150% 5/15/37 35,000 36,043
Union Electric Co. 8.450% 3/15/39 9,000 12,278
Virginia Electric and Power Co. 6.000% 5/15/37 53,525 57,053
Virginia Electric and Power Co. 6.350% 11/30/37 4,870 5,471
Wisconsin Electric Power Co. 5.700% 12/1/36 10,365 10,686
 
Natural Gas (1.5%)        
KeySpan Corp. 5.875% 4/1/33 12,000 11,996
KeySpan Corp. 5.803% 4/1/35 10,000 9,903
Sempra Energy 6.000% 10/15/39 20,000 20,341
Texas Eastern Transmission LP 7.000% 7/15/32 17,000 19,744
TransCanada PipeLines Ltd. 6.200% 10/15/37 5,000 5,317
TransCanada PipeLines Ltd. 7.625% 1/15/39 46,800 58,300
 
Other Utility (0.0%)        
Veolia Environnement 6.750% 6/1/38 1,860 2,073
 
        1,166,909
Total Corporate Bonds (Cost $6,985,527)       7,506,775
Sovereign Bonds (U.S. Dollar-Denominated) (1.5%)        
3 CDP Financial Inc. 5.600% 11/25/39 15,000 15,048
3 EDF SA 6.950% 1/26/39 35,000 41,552
3 EDF SA 5.600% 1/27/40 4,000 3,984
Hydro Quebec 9.400% 2/1/21 30,000 41,468
Province of British Columbia Canada 6.500% 1/15/26 13,800 16,151
Province of Saskatchewan Canada 8.500% 7/15/22 5,000 6,918
Total Sovereign Bonds (Cost $112,040)       125,121
Taxable Municipal Bonds (6.5%)        
California GO 7.500% 4/1/34 23,995 26,144
California GO 7.550% 4/1/39 10,000 11,121
California Public Works Board Lease Rev.        
(Build America Bonds) 8.361% 10/1/34 4,995 5,353
Chicago IL O'Hare International Airport Rev. 6.395% 1/1/40 3,710 3,912


Commonwealth Financing Auth. Pennsylvania        
Rev. 5.197% 6/1/26 25,000 24,187
Dallas TX Area Rapid Transit Rev. 5.999% 12/1/44 1,740 1,876
Duke Univ. North Carolina Rev. 5.850% 4/1/37 38,850 40,859
Illinois GO 5.100% 6/1/33 121,265 104,595
Illinois State Tollway Highway Auth. Toll        
Highway Rev. 6.184% 1/1/34 13,530 14,063
New Jersey Econ. Dev. Auth. 7.425% 2/15/29 50,002 56,106
New Jersey Turnpike Auth. Rev. 7.414% 1/1/40 23,590 28,716
New York Metro. Transp. Auth. Rev. 7.336% 11/15/39 31,460 39,354
New York Metro. Transp. Auth. Rev. 6.089% 11/15/40 3,985 4,096
New York State Dormitory Auth. Rev.        
(Personal Income Tax) 5.628% 3/15/39 15,560 15,634
North Texas Tollway Auth. Rev. 6.718% 1/1/49 17,440 18,858
Oregon Community College Dist. 5.440% 6/30/23 10,595 10,775
Oregon GO 4.759% 6/30/28 15,000 13,816
President and Fellows of Harvard College 6.300% 10/1/37 56,345 59,788
Princeton University 5.700% 3/1/39 14,715 15,630
San Antonio TX Electric & Gas Rev. 5.985% 2/1/39 10,035 10,871
Univ. of California Regents 6.583% 5/15/49 2,795 2,984
Univ. of California Rev. 5.770% 5/15/43 5,135 5,180
Univ. of Texas Permanent Univ. Fund Rev. 5.262% 7/1/39 12,800 12,693
Washington GO 5.481% 8/1/39 8,890 9,222
Wisconsin GO 5.700% 5/1/26 23,025 23,196
Total Taxable Municipal Bonds (Cost $557,887)       559,029
Tax-Exempt Municipal Bonds (0.2%)        
Los Angeles CA USD GO (Cost $19,675) 5.755% 7/1/29 19,500 18,650
Total Tax-Exempt Municipal Bonds (Cost $19,675)       18,650
Temporary Cash Investment (0.2%)        
Repurchase Agreement        
Goldman Sachs & Co.        
(Dated 4/30/10, Repurchase Value        
$21,100,000, collateralized by Government        
National Mortgage Assn. 6.000%, 11/15/38)        
(Cost $21,100) 0.200% 5/3/10 21,100 21,100
Total Investments (98.4%) (Cost $7,960,228)       8,489,230
Other Assets and Liabilities-Net (1.6%)       134,940
Net Assets (100%)       8,624,170

1 Securities with a value of $508,000 have been segregated as collateral for open swap contracts.
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 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 April 30, 2010, the aggregate value of these securities was $834,342,000, representing 9.7% of net assets.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
GO—General Obligation Bond.
USD—United School District.


Long-Term Investment-Grade Fund

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

B. 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 Investment. 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, by 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.


Long-Term Investment-Grade Fund          
 
 
 
 
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          
CDX - IG11 - 5yr/BBB+ 12/20/13 GSCM 198,400 5,125 1.500 7,820
CDX - IG11 - 10yr/BBB+ 12/20/18 GSCM 198,400 4,241 1.400 7,612
CDX - IG14 - 10yr/BBB+ 6/20/20 BOANA 100,000 163 1.000 (358)
Credit Protection Purchased            
XL Capital Ltd. 12/20/13 GSCM 8,500 (1,318) 5.000 (2,174)
            12,900

1 GSCM—Goldman Sachs International.
BOANA—Bank of America, N.A.

At April 30, 2010, counterparties had deposited in segregated accounts securities with a value sufficient to cover substantially all amounts due to the fund in connection with open swap contracts

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

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

At April 30, 2010, 100% of the fund's investments were valued based on Level 2 inputs.

D. At April 30, 2010, the cost of investment securities for tax purposes was $7,960,228,000. Net unrealized appreciation of investment securities for tax purposes was $529,002,000, consisting of unrealized gains of $599,166,000 on securities that had risen in value since their purchase and $70,164,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard GNMA Fund        
 
 
 
Schedule of Investments        
As of April 30, 2010        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (100.2%)        
Conventional Mortgage-Backed Securities (99.2%)        
1,2 Fannie Mae Pool 5.500% 4/1/22–12/1/24 1,079,133 1,153,363
1,2 Fannie Mae Pool 6.000% 7/1/36–6/1/39 1,891,388 2,015,678
1,2 Fannie Mae Pool 6.500% 5/1/40–5/1/40 1,731,000 1,871,644
1,2 Freddie Mac Gold Pool 4.500% 1/1/40–3/1/40 498,435 503,293
1,2 Freddie Mac Gold Pool 5.500% 10/1/18–5/1/25 57,908 62,037
1 Ginnie Mae I Pool 4.000% 6/15/39–3/15/40 937,854 924,534
1 Ginnie Mae I Pool 4.500% 5/15/33–5/1/40 1,918,660 1,950,028
1 Ginnie Mae I Pool 5.000% 1/15/24–5/15/24 4,478,902 4,693,884
1 Ginnie Mae I Pool 5.500% 4/15/13–5/1/40 5,684,084 6,072,112
1 Ginnie Mae I Pool 6.000% 10/15/16–5/1/40 4,158,105 4,485,236
1 Ginnie Mae I Pool 6.500% 9/15/10–5/1/40 2,824,211 3,068,318
1 Ginnie Mae I Pool 7.000% 11/15/31–12/15/36 234,730 259,370
1 Ginnie Mae I Pool 7.250% 12/15/26–2/15/27 153 169
1 Ginnie Mae I Pool 7.500% 9/15/16–10/15/31 87,128 96,000
1 Ginnie Mae I Pool 7.750% 2/15/27 152 168
1 Ginnie Mae I Pool 8.000% 9/15/10–8/15/31 39,362 43,161
1 Ginnie Mae I Pool 8.500% 5/15/16–6/15/28 8,760 9,594
1 Ginnie Mae I Pool 9.000% 3/15/14–5/15/21 6,495 7,109
1 Ginnie Mae I Pool 9.250% 9/15/16–7/15/17 45 50
1 Ginnie Mae I Pool 9.500% 12/15/13–7/15/22 3,491 3,844
1 Ginnie Mae I Pool 10.000% 2/15/14–8/15/19 148 163
1 Ginnie Mae I Pool 11.000% 7/15/10–2/15/18 6 6
1 Ginnie Mae I Pool 11.500% 1/15/13–8/15/13 28 31
1 Ginnie Mae I Pool 13.000% 1/15/11 1 1
1 Ginnie Mae I Pool 13.500% 12/15/14 5 6
1 Ginnie Mae I Pool 14.000% 6/15/11 3 3
1 Ginnie Mae II Pool 4.000% 2/20/39–5/1/40 719,664 711,457
1 Ginnie Mae II Pool 4.500% 12/20/32–5/1/40 5,204,526 5,273,073
1 Ginnie Mae II Pool 5.000% 12/20/24–5/1/40 1,281,790 1,331,740
1 Ginnie Mae II Pool 5.500% 1/20/34–1/20/40 105,887 112,903
1 Ginnie Mae II Pool 6.000% 4/20/28–5/1/40 688,999 740,269
1 Ginnie Mae II Pool 6.500% 2/20/38–5/1/40 174,732 188,319
1 Ginnie Mae II Pool 7.000% 10/20/25–5/20/38 1,648 1,803
1 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 443 489
1 Ginnie Mae II Pool 8.000% 12/20/15–9/20/16 148 158
1 Ginnie Mae II Pool 8.500% 3/20/16–1/20/17 628 680
1 Ginnie Mae II Pool 9.000% 6/20/16–9/20/16 239 260
1 Ginnie Mae II Pool 10.000% 7/20/14–8/20/18 41 47
1 Ginnie Mae II Pool 11.000% 6/20/14–2/20/16 16 18
1 Ginnie Mae II Pool 11.250% 9/20/15–2/20/16 34 37
1 Ginnie Mae II Pool 11.500% 1/20/14–11/20/15 15 17
1 Ginnie Mae II Pool 12.000% 6/20/14–1/20/16 34 36
1 Ginnie Mae II Pool 12.500% 5/20/14–7/20/15 23 25
1 Ginnie Mae II Pool 13.000% 9/20/13–11/20/14 17 19
1 Ginnie Mae II Pool 13.500% 8/20/14–10/20/14 9 10
          35,581,162
Nonconventional Mortgage-Backed Securities (1.0%)      
1 Ginnie Mae II Pool 4.000% 10/20/39 88,977 92,029


1 Ginnie Mae II Pool 4.000% 12/20/39 22,008 22,895
1 Ginnie Mae II Pool 4.000% 1/20/40 5,213 5,401
1 Ginnie Mae II Pool 4.000% 2/20/40 14,902 15,481
1 Ginnie Mae II Pool 4.500% 11/20/39 8,601 8,730
1,3 Government National Mortgage Assn. 0.456% 5/20/10 34,769 34,331
1 Government National Mortgage Assn. 5.000% 2/16/37 108,571 114,033
1 Government National Mortgage Assn. 5.000% 6/16/37 39,066 40,998
1 Government National Mortgage Assn. 5.500% 8/16/36 17,000 18,164
1 Government National Mortgage Assn. 6.500% 4/20/31 5,940 6,475
          358,537
Total U.S. Government and Agency Obligations (Cost $34,997,756)     35,939,699
Temporary Cash Investments (23.7%)        
Repurchase Agreements        
  Banc of America Securities, LLC        
  (Dated 4/30/10, Repurchase Value        
  $1,085,618,000, collateralized by Federal        
  National Mortgage Assn. 4.500%-6.500%,        
  11/1/33-4/1/40) 0.200% 5/3/10 1,085,600 1,085,600
  Barclays Capital Inc.        
  (Dated 4/30/10, Repurchase Value        
  $2,069,034,000, collateralized by U.S.        
  Treasury Note 0.875%-4.625%, 9/30/10-        
  2/15/17) 0.200% 5/3/10 2,069,000 2,069,000
  BNP Paribas Securites Corp.        
  (Dated 4/30/10, Repurchase Value        
  $592,210,000, collateralized by Federal        
  Home Loan Mortgage Corp. 4.000%-        
  6.500%, 5/1/17-4/1/40 and Federal National        
  Mortgage Assn. 4.000%-6.500%, 2/1/17-        
  3/1/40) 0.200% 5/3/10 592,200 592,200
  Credit Suisse First Securities (USA) LLC        
  (Dated 4/30/10, Repurchase Value        
  $586,910,000, collateralized by Federal        
  Home Loan Mortgage Corp. 4.000%-        
  7.000%, 7/1/17-6/1/38) 0.200% 5/3/10 586,900 586,900
  Deutsche Bank Securities, Inc.        
  (Dated 4/30/10, Repurchase Value        
  $350,006,000, collateralized by Federal        
  Home Loan Mortgage Corp. 3.500%-        
  9.500%, 7/1/10-10/1/58, Federal National        
  Mortgage Assn. 4.500%-7.500%, 2/1/25-        
  5/1/39, and Government National Mortgage        
  Assn. 4.500%-6.172%, 1/15/35-10/20/58) 0.190% 5/3/10 350,000 350,000
  Deutsche Bank Securities, Inc.        
  (Dated 4/30/10, Repurchase Value        
  $1,048,017,000, collateralized by Federal        
  Home Loan Mortgage Corp. 3.500%-        
  9.500%, 7/1/10-10/1/58, Federal National        
  Mortgage Assn. 4.500%-7.500%, 2/1/25-        
  5/1/39, and Government National Mortgage        
  Assn. 4.500%-6.172%, 1/15/35-10/20/58) 0.200% 5/3/10 1,048,000 1,048,000
  Goldman Sachs & Co.        
  (Dated 4/30/10, Repurchase Value        
  $843,514,000, collateralized by        
  Government National Mortgage Assn.        
  5.000%-6.000%, 6/15/39-9/15/39) 0.200% 5/3/10 843,500 843,500


J.P. Morgan Securities Inc.        
(Dated 4/30/10, Repurchase Value        
$1,065,118,000, collateralized by Federal        
Home Loan Mortgage Corp. 4.000%-        
6.500%, 1/1/18-5/1/40) 0.200% 5/3/10 1,065,100 1,065,100

Morgan Stanley        
(Dated 4/30/10, Repurchase Value        
$857,014,000, collateralized by Federal        
Home Loan Mortgage Corp. 4.000%-        
7.000%, 5/1/17-5/1/40 and Federal National        
Mortgage Assn. 4.000%-7.500%, 11/1/17-        
4/1/40) 0.190% 5/3/10 857,000 857,000
Total Temporary Cash Investments (Cost $8,497,300)       8,497,300
Total Investments (123.9%) (Cost $43,495,056)       44,436,999
Other Assets and Liabilities-Net (-23.9%)4       (8,563,234)
Net Assets (100%)       35,873,765

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 $18,855,000, has been segregated as initial margin for open futures contracts.


GNMA Fund

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

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

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

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

        ($000)
    Number of Aggregate  
    Long (Short) Settlement Unrealized
    Contracts Value Appreciation
Futures Contracts Expiration   Long (Short)  (Depreciation)
10-Year U.S. Treasury Note June 2010 9,679 1,141,215 5,825
30-Year U.S. Treasury Note June 2010 4,320 514,350 9,604

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


GNMA Fund

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

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

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations   35,939,699  
Temporary Cash Investments   8,497,300  
Futures Contracts—Assets1 8,182    
Total 8,182 44,436,999  
1 Represents variation margin on the last day of the reporting period.      

D. At April 30, 2010, the cost of investment securities for tax purposes was $43,495,056,000. Net unrealized appreciation of investment securities for tax purposes was $941,943,000, consisting of unrealized gains of $966,300,000 on securities that had risen in value since their purchase and $24,357,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Investment-Grade Fund

Schedule of Investments
As of April 30, 2010

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (6.1%)        
U.S. Government Securities (4.9%)        
  United States Treasury Note/Bond 3.625% 6/15/10 2,033 2,041
  United States Treasury Note/Bond 1.500% 10/31/10 40,550 40,791
  United States Treasury Note/Bond 1.250% 11/30/10 256,360 257,721
1 United States Treasury Note/Bond 0.875% 2/28/11 523,115 525,077
  United States Treasury Note/Bond 1.375% 2/15/12 234,500 236,625
  United States Treasury Note/Bond 1.375% 3/15/12 17,000 17,151
  United States Treasury Note/Bond 1.000% 3/31/12 579,500 580,224
  United States Treasury Note/Bond 1.875% 6/15/12 100,000 101,797
          1,761,427
Agency Bonds and Notes (0.6%)        
2 Bank of America Corp. 2.100% 4/30/12 51,500 52,526
2 Citigroup Inc. 2.125% 4/30/12 58,000 59,149
3,4 Federal Farm Credit Bank 0.209% 5/4/10 67,700 67,700
2 General Electric Capital Corp. 2.000% 9/28/12 40,000 40,579
          219,954
Conventional Mortgage-Backed Securities (0.1%)        
4,5 Fannie Mae Pool 6.000% 12/1/16–5/1/17 12,658 13,662
4,5 Fannie Mae Pool 6.500% 12/1/11–9/1/16 11,010 11,873
4,5 Fannie Mae Pool 7.000% 10/1/11–4/1/13 195 200
4,5 Fannie Mae Pool 7.500% 3/1/15 180 190
4,5 Freddie Mac Gold Pool 6.000% 3/1/17–4/1/17 8,451 9,136
          35,061
Nonconventional Mortgage-Backed Securities (0.5%)        
4,5 Fannie Mae Pool 2.375% 12/1/32 1,136 1,151
4,5 Fannie Mae Pool 2.793% 5/1/33 7,275 7,505
4,5 Fannie Mae Pool 2.803% 6/1/33 8,315 8,578
4,5 Fannie Mae Pool 3.049% 8/1/32 1,012 1,037
4,5 Fannie Mae Pool 3.060% 7/1/32 830 848
4,5 Fannie Mae Pool 3.215% 9/1/32 288 295
4,5 Fannie Mae Pool 3.233% 10/1/33 3,665 3,788
4,5 Fannie Mae Pool 3.328% 9/1/32 494 511
4,5 Fannie Mae Pool 3.410% 8/1/33 2,658 2,737
4,5 Fannie Mae Pool 3.445% 9/1/33 8,935 9,351
4,5 Fannie Mae Pool 3.481% 9/1/33 11,805 12,230
4,5 Fannie Mae Pool 3.541% 8/1/33 4,010 4,133
4,5 Fannie Mae Pool 3.541% 8/1/33 2,740 2,815
4,5 Fannie Mae Pool 3.550% 8/1/33 7,138 7,448
4,5 Fannie Mae Pool 3.561% 8/1/33 5,663 5,863
4,5 Fannie Mae Pool 3.589% 7/1/33 8,997 9,366
4,5 Fannie Mae Pool 3.605% 7/1/33 14,165 14,679
4,5 Fannie Mae Pool 3.797% 6/1/33 14,130 14,628
4,5 Fannie Mae Pool 3.900% 5/1/33 1,873 1,920
4,5 Fannie Mae Pool 4.046% 5/1/33 4,385 4,549
4,5 Fannie Mae Pool 5.452% 8/1/37 4,098 4,324
4,5 Fannie Mae Pool 5.561% 2/1/37 5,638 5,918
4,5 Freddie Mac Non Gold Pool 2.961% 2/1/33 1,132 1,176
4,5 Freddie Mac Non Gold Pool 3.197% 1/1/33 1,365 1,425
4,5 Freddie Mac Non Gold Pool 3.227% 8/1/32 1,133 1,150


4,5 Freddie Mac Non Gold Pool 3.244% 8/1/32 1,786 1,795
4,5 Freddie Mac Non Gold Pool 3.254% 9/1/32 1,335 1,384
4,5 Freddie Mac Non Gold Pool 3.367% 10/1/32 1,203 1,244
4,5 Freddie Mac Non Gold Pool 3.390% 9/1/32 1,056 1,100
4,5 Freddie Mac Non Gold Pool 3.393% 9/1/32 1,643 1,698
4,5 Freddie Mac Non Gold Pool 3.486% 7/1/32 654 670
4,5 Freddie Mac Non Gold Pool 3.514% 8/1/32 955 991
4,5 Freddie Mac Non Gold Pool 3.533% 8/1/33 3,730 3,860
4,5 Freddie Mac Non Gold Pool 3.680% 7/1/33 14,022 14,578
4,5 Freddie Mac Non Gold Pool 3.690% 8/1/33 2,580 2,689
4,5 Freddie Mac Non Gold Pool 3.701% 8/1/33 2,151 2,221
4,5 Freddie Mac Non Gold Pool 3.928% 6/1/33 4,094 4,224
4,5 Freddie Mac Non Gold Pool 3.945% 6/1/33 4,875 5,056
4,5 Freddie Mac Non Gold Pool 4.155% 5/1/33 3,222 3,310
4,5 Freddie Mac Non Gold Pool 4.160% 5/1/33 2,659 2,747
4,5 Freddie Mac Non Gold Pool 5.794% 8/1/37 19,270 20,353
          195,345
Total U.S. Government and Agency Obligations (Cost $2,044,831)     2,211,787
Asset-Backed/Commercial Mortgage-Backed Securities (23.0%)      
5,6 Ally Auto Receivables Trust 2.330% 6/17/13 28,775 29,245
5,6 Ally Auto Receivables Trust 3.050% 12/15/14 44,876 46,079
5,6 Ally Auto Receivables Trust 3.000% 10/15/15 11,525 11,840
5,6 Ally Master Owner Trust 2.880% 4/15/13 44,400 44,393
5,6 Ally Master Owner Trust 3.470% 4/15/13 20,545 20,541
5,6 Ally Master Owner Trust 3.870% 4/15/13 10,900 10,899
5,6 Ally Master Owner Trust 4.250% 4/15/17 7,800 7,891
5,6 Ally Master Owner Trust 4.590% 4/15/17 15,500 15,562
3,5,6 American Express Credit Account Master        
  Trust 0.584% 6/17/13 2,700 2,693
3,5,6 American Express Credit Account Master        
  Trust 0.544% 8/15/13 6,830 6,800
3,5 American Express Credit Account Master        
  Trust 0.284% 12/15/13 22,500 22,466
3,5,6 American Express Credit Account Master        
  Trust 0.534% 12/15/13 3,400 3,374
3,5,6 American Express Credit Account Master        
  Trust 0.534% 3/17/14 3,400 3,366
3,5,6 American Express Credit Account Master        
  Trust 0.674% 1/15/15 2,770 2,727
3,5 American Express Credit Account Master        
  Trust 1.354% 3/15/16 8,300 8,421
3,5 American Express Credit Account Master        
  Trust 1.354% 3/15/16 4,940 5,012
3,5 American Express Credit Account Master        
  Trust 1.354% 4/15/16 5,245 5,323
3,5 American Express Credit Account Master        
  Trust 1.504% 3/15/17 78,750 81,984
3 AmeriCredit Automobile Receivables Trust 5.249% 1/6/15 61,196 64,321
3 AmeriCredit Automobile Receivables Trust 5.249% 4/6/15 55,124 58,699
5 Americredit Prime Automobile Receivable 2.210% 1/15/14 4,300 4,357
5 Americredit Prime Automobile Receivable 2.900% 12/15/14 3,340 3,426
3,5,6 Arkle Master Issuer PLC 0.000% 5/17/60 156,300 156,300
6 BA Covered Bond Issuer 5.500% 6/14/12 36,600 38,945
3,5 BA Credit Card Trust 0.284% 11/15/13 8,025 8,010
3,5 BA Credit Card Trust 1.454% 12/16/13 168,200 170,038
3,5 BA Credit Card Trust 0.254% 4/15/14 25,850 25,733
3,5 BA Credit Card Trust 0.544% 6/15/14 23,930 23,396


3,5 BA Credit Card Trust 0.954% 12/15/14 106,000 106,493
3,5 BA Credit Card Trust 0.284% 4/15/16 58,000 57,361
3,5 BA Credit Card Trust 0.314% 4/15/16 23,790 23,553
3,5 BA Credit Card Trust 0.314% 9/15/16 26,200 25,908
3,5 BA Credit Card Trust 0.324% 12/15/16 13,720 13,535
3,5 BA Credit Card Trust 0.294% 11/15/19 61,370 59,520
5 Banc of America Commercial Mortgage Inc. 5.334% 9/10/45 14,475 14,729
3 Banc of America Commercial Mortgage Inc. 5.634% 4/10/49 69,823 72,032
3 Banc of America Commercial Mortgage Inc. 5.867% 4/10/49 15,310 15,046
3,5 Banc of America Funding Corp. 5.496% 9/20/46 55,332 38,483
3,5 Banc of America Mortgage Securities Inc. 3.666% 9/25/32 120 117
3,5 Banc of America Mortgage Securities Inc. 3.619% 2/25/33 493 420
3,5 Banc of America Mortgage Securities Inc. 3.504% 5/25/33 1,567 1,447
3,5 Banc of America Mortgage Securities Inc. 4.167% 7/25/33 3,266 3,143
3,5 Banc of America Mortgage Securities Inc. 3.516% 2/25/34 3,144 2,953
5,6 Bank of America Auto Trust 2.130% 9/15/13 28,825 29,204
5,6 Bank of America Auto Trust 3.520% 6/15/16 59,165 61,617
5,6 Bank of America Auto Trust 3.030% 10/15/16 73,416 75,738
3,5 Bank One Issuance Trust 0.374% 5/15/14 15,796 15,784
3,5 Bank One Issuance Trust 1.054% 2/15/17 6,600 6,480
3,5 Bear Stearns Adjustable Rate Mortgage        
  Trust 5.602% 10/25/36 61,119 43,892
3,5 Bear Stearns Adjustable Rate Mortgage        
  Trust 5.378% 5/25/47 51,293 38,406
3 Bear Stearns Commercial Mortgage        
  Securities 5.908% 6/11/40 13,960 14,236
5 Bear Stearns Commercial Mortgage        
  Securities 5.478% 10/12/41 46,800 48,346
5 Bear Stearns Commercial Mortgage        
  Securities 4.254% 7/11/42 5,587 5,618
5 Bear Stearns Commercial Mortgage        
  Securities 4.871% 9/11/42 6,557 6,680
5 Bear Stearns Commercial Mortgage        
  Securities 5.330% 1/12/45 11,250 11,553
5 Bear Stearns Commercial Mortgage        
  Securities 5.574% 6/11/50 45,000 46,710
5 Bear Stearns Commercial Mortgage        
  Securities 5.613% 6/11/50 40,000 41,217
3,5,6 BMW Floorplan Master Owner Trust 1.404% 9/15/14 27,325 27,530
5 BMW Vehicle Lease Trust 3.660% 8/15/13 20,150 20,771
5,6 Cabela's Master Credit Card Trust 4.310% 12/16/13 59,750 60,855
3,5 Capital One Multi-Asset Execution Trust 0.544% 3/17/14 13,405 13,229
5 Capital One Multi-Asset Execution Trust 3.200% 4/15/14 159,000 163,218
3,5 Capital One Multi-Asset Execution Trust 0.554% 6/16/14 30,950 30,444
3,5 Capital One Multi-Asset Execution Trust 0.574% 7/15/14 26,100 25,660
3,5 Capital One Multi-Asset Execution Trust 0.384% 8/15/14 5,000 4,984
3,5 Capital One Multi-Asset Execution Trust 0.554% 11/15/14 32,150 31,385
3,5 Capital One Multi-Asset Execution Trust 0.334% 9/15/15 14,693 14,588
3,5 Capital One Multi-Asset Execution Trust 0.314% 1/15/16 21,850 21,648
5 Capital One Multi-Asset Execution Trust 5.050% 2/15/16 46,500 50,565
3,5 Capital One Multi-Asset Execution Trust 0.284% 4/15/16 16,995 16,803
3,5 Capital One Multi-Asset Execution Trust 0.314% 7/15/16 30,000 29,666
3,5 Capital One Multi-Asset Execution Trust 0.464% 12/15/16 2,675 2,657
3,5 Capital One Multi-Asset Execution Trust 0.344% 6/17/19 16,780 16,293
3,5 Capital One Multi-Asset Execution Trust 0.304% 11/15/19 2,570 2,484
3,5 Capital One Multi-Asset Execution Trust 0.334% 12/16/19 133,380 129,121
3,5 Capital One Multi-Asset Execution Trust 0.294% 7/15/20 113,650 109,151
3,5 Chase Issuance Trust 0.274% 11/15/13 6,625 6,610


3,5 Chase Issuance Trust 0.557% 6/16/14 46,250 46,341
3,5 Chase Issuance Trust 0.294% 7/15/14 23,000 22,917
3,5 Chase Issuance Trust 0.324% 12/15/14 11,100 11,075
3,5 Chase Issuance Trust 0.324% 12/15/14 11,910 11,859
3,5 Chase Issuance Trust 0.694% 1/15/15 28,080 27,753
5 Chase Issuance Trust 4.650% 3/15/15 164,000 177,038
5 Chase Issuance Trust 5.400% 7/15/15 80,000 88,422
3,5 Chase Issuance Trust 0.374% 9/15/15 3,900 3,887
3,5 Chase Issuance Trust 1.757% 9/15/15 65,750 68,427
5 Chrysler Financial Auto Securitization Trust 1.150% 11/8/11 50,200 50,311
5 Chrysler Financial Auto Securitization Trust 2.940% 6/8/13 17,173 17,221
5,6 Chrysler Financial Lease Trust 3.460% 9/16/13 6,130 6,122
5,6 CIT Equipment Collateral 1.510% 5/15/12 35,700 35,658
5,6 CIT Equipment Collateral 2.410% 5/15/13 35,700 35,661
5 Citibank Credit Card Issuance Trust 5.450% 5/10/13 31,585 33,023
3,5 Citibank Credit Card Issuance Trust 0.664% 7/15/14 78,915 76,841
3,5 Citibank Credit Card Issuance Trust 0.606% 8/20/14 29,300 29,319
3,5 Citibank Credit Card Issuance Trust 0.326% 10/20/14 48,950 48,644
3,5 Citibank Credit Card Issuance Trust 0.506% 12/17/14 87,300 87,113
5 Citibank Credit Card Issuance Trust 2.250% 12/23/14 143,500 145,301
3,5 Citibank Credit Card Issuance Trust 0.656% 2/20/15 18,200 17,538
5 Citibank Credit Card Issuance Trust 4.850% 4/22/15 216,700 234,781
5 Citibank Credit Card Issuance Trust 4.900% 6/23/16 83,000 90,443
3,5 Citibank Credit Card Issuance Trust 0.732% 3/24/17 4,380 4,106
3,5 Citibank Credit Card Issuance Trust 1.456% 5/22/17 22,500 23,381
3,5 Citibank Credit Card Issuance Trust 0.317% 12/17/18 30,100 29,352
3,5 Citibank Credit Card Issuance Trust 0.343% 12/17/18 54,625 53,181
5 Citibank Credit Card Issuance Trust 5.650% 9/20/19 24,075 26,958
3,5 Citibank Credit Card Issuance Trust 1.631% 5/20/20 61,200 65,240
3,5,6 Citibank Omni Master Trust 2.354% 5/16/16 138,300 140,070
5,6 Citibank Omni Master Trust 5.350% 8/15/18 55,725 58,792
5 Citibank Omni Master Trust 4.900% 11/15/18 7,410 7,671
5,6 CitiFinancial Auto Issuance Trust 2.590% 10/15/13 59,700 60,765
5,6 CitiFinancial Auto Issuance Trust 3.150% 8/15/16 16,125 16,465
5 Citigroup Commercial Mortgage Trust 5.888% 12/10/49 41,000 42,672
3,5 Citigroup Mortgage Loan Trust Inc. 5.853% 7/25/37 32,354 24,714
5 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.205% 12/11/49 60,025 61,502
5 CNH Equipment Trust 5.280% 11/15/12 13,000 13,437
5 CNH Equipment Trust 3.000% 8/17/15 27,600 28,022
5 Commercial Mortgage Pass Through        
  Certificates 5.811% 12/10/49 19,000 19,548
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 3.899% 5/25/33 3,478 2,997
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 3.831% 11/19/33 4,860 4,706
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 5.250% 3/20/36 26,278 15,757
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 5.241% 2/25/47 34,205 20,768
3 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.230% 12/15/40 45,700 47,067
5 Credit Suisse Mortgage Capital Certificates 6.019% 6/15/38 17,485 18,149
5 Credit Suisse Mortgage Capital Certificates 5.911% 6/15/39 36,575 37,884
5 Credit Suisse Mortgage Capital Certificates 5.589% 9/15/40 29,100 29,835
3,5 Discover Card Master Trust 1.554% 12/15/14 212,405 216,651
3,5 Discover Card Master Trust 1.554% 2/17/15 88,825 90,699
3,5 Discover Card Master Trust 0.597% 6/15/15 146,150 146,058


3,5 Discover Card Master Trust 0.904% 9/15/15 120,273 121,270
5 Discover Card Master Trust 5.650% 12/15/15 79,100 87,664
3,5 Discover Card Master Trust I 0.000% 10/16/13   —
3,5 Discover Card Master Trust I 0.304% 10/16/14 5,965 5,930
3,5 Discover Card Master Trust I 0.344% 6/16/15 7,900 7,844
3,5 Discover Card Master Trust I 0.334% 1/19/16 64,488 63,845
3,5 Discover Card Master Trust I 0.334% 9/15/16 21,500 21,241
3,5 First Horizon Asset Securities Inc. 5.606% 11/25/36 21,677 17,303
3 First Horizon Asset Securities Inc. 5.476% 1/25/37 52,492 41,893
5,6 Ford Credit Auto Lease Trust 1.040% 3/15/13 61,130 61,105
5,6 Ford Credit Auto Lease Trust 1.620% 11/15/13 31,120 31,178
5,6 Ford Credit Auto Lease Trust 3.710% 1/15/14 35,700 36,482
5 Ford Credit Auto Owner Trust 4.950% 3/15/13 5,550 5,824
3 Ford Credit Auto Owner Trust 2.004% 4/15/13 36,100 36,844
5 Ford Credit Auto Owner Trust 2.790% 8/15/13 104,500 106,922
5 Ford Credit Auto Owner Trust 2.170% 10/15/13 33,550 33,944
5 Ford Credit Auto Owner Trust 4.500% 7/15/14 25,200 27,010
5 Ford Credit Auto Owner Trust 2.980% 8/15/14 12,925 13,333
5 Ford Credit Auto Owner Trust 2.930% 11/15/15 5,900 5,909
5 Ford Credit Auto Owner Trust 3.220% 3/15/16 6,040 6,051
3,5 Ford Credit Floorplan Master Owner Trust 1.804% 9/15/14 62,700 63,280
3,5,6 Ford Credit Floorplan Master Owner Trust 1.904% 12/15/14 42,980 43,508
3,5,6 Ford Credit Floorplan Master Owner Trust 2.504% 12/15/14 39,500 40,377
3,5,6 Ford Credit Floorplan Master Owner Trust 2.904% 12/15/14 88,458 90,745
5 GE Capital Commercial Mortgage Corp. 4.974% 7/10/45 3,960 4,072
5 GE Capital Commercial Mortgage Corp. 4.353% 6/10/48 10,396 10,567
3,5 GMAC Mortgage Corp. Loan Trust 5.286% 11/19/35 9,712 8,143
3,5,6 Golden Credit Card Trust 1.254% 7/15/17 91,100 91,264
3 Granite Master Issuer PLC 0.296% 12/17/54 5,598 5,248
3 Granite Master Issuer PLC 0.326% 12/20/54 16,666 15,680
5 Greenwich Capital Commercial Funding        
  Corp. 5.224% 4/10/37 53,455 54,534
5 Greenwich Capital Commercial Funding        
  Corp. 4.799% 8/10/42 16,700 17,020
5 Harley-Davidson Motorcycle Trust 3.190% 11/15/13 21,620 22,095
5 Harley-Davidson Motorcycle Trust 1.870% 2/15/14 28,950 29,231
5 Harley-Davidson Motorcycle Trust 2.620% 3/15/14 65,300 66,571
5 Harley-Davidson Motorcycle Trust 2.400% 7/15/14 4,655 4,739
5 Harley-Davidson Motorcycle Trust 3.320% 2/15/17 8,780 9,099
5 Harley-Davidson Motorcycle Trust 2.540% 4/15/17 8,000 8,155
5,6 Hertz Vehicle Financing LLC 5.290% 3/25/16 54,400 56,751
5 Hyundai Auto Receivables Trust 3.150% 3/15/16 37,850 39,121
3,5,6 Hyundai Floorplan Master Owner Trust 1.504% 11/17/14 9,510 9,568
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.633% 12/5/27 20,500 21,864
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.625% 3/15/46 9,369 9,699
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.298% 5/15/47 18,700 19,102
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.991% 6/15/49 50,700 52,571
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.827% 2/15/51 44,610 46,084
5,6 JPMorgan Auto Receivables Trust 5.220% 9/15/12 50,499 51,630
3,6 Kildare Securities Ltd. 0.314% 12/10/43 33,524 32,270
5 LB-UBS Commercial Mortgage Trust 5.303% 2/15/40 37,500 38,522
5 LB-UBS Commercial Mortgage Trust 5.318% 2/15/40 23,300 23,850
3,5 Mastr Adjustable Rate Mortgages Trust 2.285% 4/25/34 5,488 4,779


3,5 MBNA Credit Card Master Note Trust 1.604% 10/15/14 2,075 2,065
3,5 MBNA Credit Card Master Note Trust 0.674% 7/15/15 53,440 51,550
3,5 MBNA Credit Card Master Note Trust 1.154% 11/15/16 24,240 23,415
3,5 Merrill Lynch Mortgage Investors Inc. 1.883% 2/25/33 4,805 4,171
3,5 Merrill Lynch Mortgage Investors Inc. 3.325% 7/25/33 1,860 1,877
5 Merrill Lynch Mortgage Trust 4.556% 6/12/43 14,703 14,710
5 Merrill Lynch Mortgage Trust 5.915% 6/12/50 38,100 39,293
5 Merrill Lynch Mortgage Trust 5.425% 2/12/51 3,700 3,801
5 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.282% 8/12/48 23,500 23,982
5 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.693% 6/12/50 10,300 10,603
5 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.331% 3/12/51 19,865 20,316
5 Morgan Stanley Capital I 5.802% 6/11/42 81,050 83,623
5 Morgan Stanley Capital I 4.989% 8/13/42 63,930 66,554
5 Morgan Stanley Capital I 5.374% 3/12/44 24,578 24,839
5 Morgan Stanley Capital I 5.623% 12/12/49 16,800 17,272
5 Morgan Stanley Capital I 5.090% 10/12/52 19,825 20,061
3,5 Morgan Stanley Mortgage Loan Trust 5.342% 6/25/36 29,963 25,438
3,5 National City Credit Card Master Trust 0.304% 8/15/12 57,400 57,322
3,5 National City Credit Card Master Trust 0.304% 3/17/14 24,825 24,493
3,5,6 Navistar Financial Dealer Note Master        
  Trust 1.696% 10/26/15 23,900 24,001
5 Nissan Auto Lease Trust 3.510% 11/17/14 9,200 9,459
5 Nissan Auto Lease Trust 2.070% 1/15/15 52,625 53,277
5 Nissan Auto Lease Trust 2.650% 1/15/15 13,750 13,974
5 Nissan Auto Receivables Owner Trust 3.200% 2/15/13 11,050 11,334
5 Nissan Auto Receivables Owner Trust 4.740% 8/17/15 18,292 19,636
3,5,6 Nissan Master Owner Trust Receivables 1.404% 1/15/15 116,600 117,192
3,5,6 Nordstrom Private Label Credit Card        
  Master Note Trust 0.314% 5/15/15 113,210 110,891
3,5,6 Permanent Master Issuer PLC 1.453% 7/15/42 110,800 110,345
3,5 Residential Funding Mortgage Securities I 5.806% 8/25/36 43,256 29,338
3,5 Residential Funding Mortgage Securities I 5.956% 9/25/36 18,764 12,678
3,5 Swift Master Auto Receivables Trust 0.354% 6/15/12 12,100 12,090
3,5 Swift Master Auto Receivables Trust 0.904% 10/15/12 21,395 21,364
5,6 Tidewater Auto Receivables Trust 5.920% 5/15/17 23,851 23,963
5 Volkswagen Auto Lease Trust 3.410% 4/16/12 55,380 56,760
5 Volkswagen Auto Loan Enhanced Trust 2.140% 8/22/16 31,930 32,127
5 Wachovia Bank Commercial Mortgage        
  Trust 4.847% 10/15/41 21,500 22,236
3,5 Wachovia Bank Commercial Mortgage        
  Trust 5.383% 10/15/44 2,500 2,646
5 Wachovia Bank Commercial Mortgage        
  Trust 5.569% 5/15/46 29,100 29,901
5 Wachovia Bank Commercial Mortgage        
  Trust 5.572% 10/15/48 34,705 35,679
5 Wachovia Bank Commercial Mortgage        
  Trust 5.275% 11/15/48 16,490 16,924
3,5 WaMu Mortgage Pass Through Certificates 2.770% 1/25/33 487 451
3,5 WaMu Mortgage Pass Through Certificates 2.829% 8/25/33 3,838 3,743
3,5 WaMu Mortgage Pass Through Certificates 2.831% 9/25/33 5,239 4,973
3,5 Wells Fargo Mortgage Backed Securities        
  Trust 5.508% 10/25/36 47,828 38,741
5 World Omni Auto Receivables Trust 3.330% 5/15/13 27,620 28,333


5 World Omni Auto Receivables Trust 5.120% 5/15/14 16,410 17,641
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $8,191,560)   8,308,679
Corporate Bonds (67.5%)        
Finance (33.4%)        
  Banking (23.1%)        
6 Abbey National Treasury Services PLC 3.875% 11/10/14 16,625 16,719
6 ADCB Finance Cayman Ltd. 4.750% 10/8/14 5,000 4,855
  American Express Bank FSB 5.550% 10/17/12 40,912 44,058
  American Express Bank FSB 5.500% 4/16/13 71,035 76,991
  American Express Centurion Bank 5.200% 11/26/10 29,300 30,018
  American Express Centurion Bank 5.550% 10/17/12 21,161 22,904
  American Express Co. 5.250% 9/12/11 8,300 8,717
  American Express Co. 4.875% 7/15/13 4,805 5,146
3 American Express Credit Corp. 0.399% 10/4/10 19,600 19,571
  American Express Credit Corp. 5.875% 5/2/13 9,360 10,237
  American Express Credit Corp. 7.300% 8/20/13 106,070 120,982
6 ANZ National International Ltd. 6.200% 7/19/13 18,175 20,177
  Astoria Financial Corp. 5.750% 10/15/12 11,850 12,059
6 Australia & New Zealand Banking Group        
  Ltd. 3.700% 1/13/15 38,000 38,674
5 BAC Capital Trust XIV 5.630% 12/31/49 5,314 3,879
6 Banco do Brasil SA 4.500% 1/22/15 4,000 4,008
3,5,6 Banco Mercantil del Norte SA 6.135% 10/13/16 19,550 19,379
3,6 Banco Santander Chile 1.557% 4/20/12 45,000 45,084
6 Banco Santander Chile 2.875% 11/13/12 75,175 75,373
  Bank of America Corp. 5.375% 9/11/12 40,870 43,569
  Bank of America Corp. 4.875% 1/15/13 11,922 12,533
  Bank of America Corp. 7.375% 5/15/14 19,245 21,686
  Bank of America Corp. 4.500% 4/1/15 50,655 51,233
5 Bank of America Corp. 8.000% 12/29/49 24,375 24,314
  Bank of New York Mellon Corp. 4.950% 1/14/11 14,700 15,143
  Bank of New York Mellon Corp. 5.125% 11/1/11 3,450 3,652
  Bank of New York Mellon Corp. 6.375% 4/1/12 3,705 4,043
  Bank of New York Mellon Corp. 4.950% 11/1/12 80,322 87,203
  Bank of New York Mellon Corp. 4.500% 4/1/13 45,775 49,097
  Bank of New York Mellon Corp. 5.125% 8/27/13 8,366 9,180
  Bank of New York Mellon Corp. 4.950% 3/15/15 32,675 35,294
  Bank of Nova Scotia 2.250% 1/22/13 184,500 186,251
3,6 Bank of Scotland PLC 0.312% 12/8/10 89,800 88,619
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.600% 1/22/13 226,380 227,306
  Bank of Tokyo-Mitsubishi UFJ Ltd. 7.400% 6/15/11 9,575 10,197
  Bank One Corp. 5.250% 1/30/13 13,965 14,938
  Barclays Bank PLC 2.500% 1/23/13 360,500 362,685
  Barclays Bank PLC 5.200% 7/10/14 60,450 64,757
5,6 Barclays Bank PLC 7.375% 12/15/49 4,420 4,344
  BB&T Corp. 3.100% 7/28/11 4,875 4,981
  BB&T Corp. 6.500% 8/1/11 30,200 31,879
  BB&T Corp. 3.850% 7/27/12 90,000 94,042
  BB&T Corp. 3.375% 9/25/13 23,450 24,198
  BB&T Corp. 5.700% 4/30/14 39,725 43,589
  Bear Stearns Cos. LLC 4.500% 10/28/10 24,158 24,614
3 Bear Stearns Cos. LLC 0.568% 1/31/11 25,020 25,053
  Bear Stearns Cos. LLC 5.350% 2/1/12 9,400 10,030
  Bear Stearns Cos. LLC 6.950% 8/10/12 170,543 189,719
  Bear Stearns Cos. LLC 5.700% 11/15/14 6,015 6,581
  BNP Paribas 3.250% 3/11/15 36,500 36,325


  BNP Paribas / BNP Paribas US Medium-        
  Term Note Program LLC 2.125% 12/21/12 42,200 42,553
6 BNP Paribas / BNP Paribas US Medium-        
  Term Note Program LLC 4.800% 6/24/15 13,800 14,406
6 BNP Paribas US Medium-Term Note        
  Program LLC 5.125% 1/15/15 4,880 5,162
3,6 BTMU Curacao Holdings NV 0.586% 12/19/16 36,725 35,623
  Capital One Bank USA NA 5.750% 9/15/10 3,732 3,801
  Capital One Bank USA NA 6.500% 6/13/13 4,675 5,157
  Capital One Financial Corp. 4.800% 2/21/12 29,250 30,536
  Capital One Financial Corp. 6.250% 11/15/13 4,720 5,230
  Capital One Financial Corp. 7.375% 5/23/14 42,372 49,062
5,6 CBA Capital Trust II 6.024% 3/15/49 21,125 19,857
6,7 CBG Florida REIT Corp. 7.114% 2/15/49 25,100 816
  Charter One Bank NA 5.500% 4/26/11 16,300 16,683
  Citigroup Inc. 6.500% 1/18/11 17,458 18,088
  Citigroup Inc. 5.100% 9/29/11 8,000 8,330
  Citigroup Inc. 5.625% 8/27/12 65,600 69,138
  Citigroup Inc. 5.300% 10/17/12 87,627 92,175
  Citigroup Inc. 5.500% 4/11/13 89,358 94,401
  Citigroup Inc. 6.500% 8/19/13 95,365 103,527
  Citigroup Inc. 6.375% 8/12/14 8,300 9,002
6 Commonwealth Bank of Australia 2.750% 10/15/12 109,000 110,790
6 Commonwealth Bank of Australia 5.000% 11/6/12 19,600 20,876
6 Commonwealth Bank of Australia 3.500% 3/19/15 19,500 19,450
  Countrywide Financial Corp. 5.800% 6/7/12 6,800 7,240
3,6 Credit Agricole SA 0.302% 5/28/10 93,750 93,654
  Credit Suisse USA Inc. 6.125% 11/15/11 98,658 105,399
  Credit Suisse USA Inc. 6.500% 1/15/12 11,482 12,454
  Credit Suisse USA Inc. 5.125% 1/15/14 5,400 5,840
  Credit Suisse 3.450% 7/2/12 162,000 168,004
  Credit Suisse 5.000% 5/15/13 27,100 29,171
  Credit Suisse 5.500% 5/1/14 127,060 139,230
6 Danske Bank A/S 3.750% 4/1/15 21,000 21,132
3,6 DBS Bank Ltd. 0.470% 5/16/17 52,310 50,853
  Deutsche Bank AG 5.375% 10/12/12 69,585 74,997
  Deutsche Bank AG 2.375% 1/11/13 338,375 340,808
  Deutsche Bank AG 4.875% 5/20/13 45,566 48,789
  Deutsche Bank AG 3.450% 3/30/15 48,700 48,813
  Fifth Third Bancorp 6.250% 5/1/13 75,877 82,380
3 Goldman Sachs Group Inc. 0.588% 6/28/10 45,030 45,033
  Goldman Sachs Group Inc. 5.700% 9/1/12 4,650 4,937
  Goldman Sachs Group Inc. 5.450% 11/1/12 43,700 46,396
  Goldman Sachs Group Inc. 5.250% 4/1/13 2,575 2,714
  Goldman Sachs Group Inc. 4.750% 7/15/13 4,100 4,256
  Goldman Sachs Group Inc. 5.250% 10/15/13 36,940 39,033
  Goldman Sachs Group Inc. 6.000% 5/1/14 60,100 64,519
  Goldman Sachs Group Inc. 5.000% 10/1/14 4,450 4,606
  Goldman Sachs Group Inc. 5.625% 1/15/17 5,870 5,806
  Goldman Sachs Group Inc. 6.150% 4/1/18 20,000 20,770
  HSBC Bank PLC 6.950% 3/15/11 23,187 24,315
6 ICICI Bank Ltd. 5.750% 1/12/12 9,125 9,501
6 ING Bank NV 2.650% 1/14/13 47,200 47,190
  Intesa Sanpaolo 2.375% 12/21/12 139,200 140,354
  JPMorgan Chase & Co. 4.600% 1/17/11 9,350 9,610
  JPMorgan Chase & Co. 6.750% 2/1/11 131,313 136,853
  JPMorgan Chase & Co. 5.600% 6/1/11 14,600 15,299
  JPMorgan Chase & Co. 4.850% 6/16/11 29,150 30,362


  JPMorgan Chase & Co. 6.625% 3/15/12 40,401 43,926
  JPMorgan Chase & Co. 5.375% 10/1/12 31,362 34,056
  JPMorgan Chase & Co. 5.750% 1/2/13 57,818 62,552
  JPMorgan Chase & Co. 4.750% 5/1/13 57,470 61,447
  JPMorgan Chase & Co. 4.875% 3/15/14 3,460 3,670
  JPMorgan Chase & Co. 4.891% 9/1/15 10,570 10,583
5 JPMorgan Chase & Co. 7.900% 12/29/49 18,000 18,900
  KeyCorp 6.500% 5/14/13 87,625 95,005
5,6 Lloyds Banking Group PLC 6.267% 11/14/49 23,575 15,322
6 Lloyds TSB Bank PLC 4.375% 1/12/15 46,075 45,663
3,6 Manufacturers & Traders Trust Co. 1.791% 4/1/13 18,050 17,579
5 Mellon Capital IV 6.244% 6/29/49 32,825 30,855
3 Merrill Lynch & Co. Inc. 0.482% 6/5/12 25,000 24,463
  Merrill Lynch & Co. Inc. 6.050% 8/15/12 11,208 11,992
  Merrill Lynch & Co. Inc. 5.450% 2/5/13 113,565 120,346
  Merrill Lynch & Co. Inc. 6.150% 4/25/13 43,175 46,823
  Merrill Lynch & Co. Inc. 5.000% 2/3/14 10,250 10,668
  Morgan Stanley 6.750% 4/15/11 59,070 62,078
  Morgan Stanley 5.625% 1/9/12 87,150 92,507
  Morgan Stanley 5.250% 11/2/12 4,985 5,310
  Morgan Stanley 5.300% 3/1/13 125,681 133,410
  Morgan Stanley 6.000% 5/13/14 53,110 57,167
  Morgan Stanley 4.200% 11/20/14 5,900 5,934
  National Australia Bank Ltd. 8.600% 5/19/10 18,760 18,815
6 National Australia Bank Ltd. 3.750% 3/2/15 34,340 34,925
  National City Bank of Kentucky 6.300% 2/15/11 8,700 9,021
  National City Bank of Pennsylvania 7.250% 10/21/11 6,228 6,659
  National City Bank 6.250% 3/15/11 2,000 2,083
  National City Bank 6.200% 12/15/11 16,300 17,514
  National City Bank 4.625% 5/1/13 4,170 4,388
6 Nordea Bank AB 2.500% 11/13/12 78,000 78,769
6 Nordea Bank AB 3.700% 11/13/14 16,000 16,412
  North Fork Bancorporation Inc. 5.875% 8/15/12 8,070 8,525
  Northern Trust Corp. 5.500% 8/15/13 10,225 11,324
  PNC Funding Corp. 5.125% 12/14/10 28,155 28,892
  PNC Funding Corp. 5.400% 6/10/14 6,820 7,450
  PNC Funding Corp. 3.625% 2/8/15 34,200 34,854
6 Rabobank Nederland NV 2.650% 8/17/12 41,475 42,415
6 Rabobank Nederland NV 4.200% 5/13/14 42,485 44,588
  Regions Financial Corp. 7.000% 3/1/11 9,385 9,554
  Regions Financial Corp. 4.875% 4/26/13 29,300 29,409
  Royal Bank of Canada 2.250% 3/15/13 151,285 152,666
  Royal Bank of Scotland Group PLC 6.375% 2/1/11 29,828 30,172
  Royal Bank of Scotland Group PLC 5.000% 10/1/14 6,300 6,193
  Royal Bank of Scotland Group PLC 5.050% 1/8/15 25,475 24,511
6 Royal Bank of Scotland PLC 4.875% 8/25/14 138,092 141,568
  Royal Bank of Scotland PLC 4.875% 3/16/15 14,750 15,074
  Santander Financial Issuances Ltd. 6.375% 2/15/11 17,675 18,399
  Santander Holdings USA Inc. 4.800% 9/1/10 7,000 7,083
3 Sovereign Bank 1.959% 8/1/13 2,247 2,226
3 Sovereign Bank 2.111% 4/1/14 16,040 15,678
3,5 State Street Capital Trust III 8.250% 3/15/42 7,450 7,636
  State Street Corp. 7.650% 6/15/10 8,075 8,141
3 State Street Corp. 0.438% 4/30/12 5,000 4,986
6 Svenska Handelsbanken AB 4.875% 6/10/14 48,700 51,677
3 UBS AG 1.352% 2/23/12 146,200 147,065
3,6 Unicredit Luxembourg Finance SA 0.638% 1/13/17 51,600 48,435
  Union Planters Corp. 4.375% 12/1/10 1,500 1,515


  Union Planters Corp. 7.750% 3/1/11 1,000 1,023
  US Bancorp 2.125% 2/15/13 54,600 54,733
  US Bancorp 4.200% 5/15/14 34,100 35,856
  US Bank NA 6.375% 8/1/11 60,469 64,340
  US Bank NA 6.300% 2/4/14 37,150 41,831
5 USB Capital IX 6.189% 4/15/49 53,940 46,928
5,6 USB Realty Corp. 6.091% 12/15/49 11,750 9,973
  Wachovia Bank NA 7.800% 8/18/10 38,950 39,748
  Wachovia Bank NA 4.800% 11/1/14 18,250 19,160
  Wachovia Bank NA 4.875% 2/1/15 4,000 4,212
  Wachovia Bank NA 5.000% 8/15/15 9,750 10,300
5 Wachovia Capital Trust III 5.800% 12/31/49 27,485 23,637
  Wachovia Corp. 4.375% 6/1/10 4,050 4,062
  Wachovia Corp. 5.350% 3/15/11 27,047 28,103
3 Wachovia Corp. 0.433% 10/15/11 50,850 50,682
  Wachovia Corp. 5.300% 10/15/11 17,845 18,881
  Wachovia Corp. 5.500% 5/1/13 127,495 138,716
7 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.550% 6/16/10 8,965 4,393
7 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 6.875% 6/15/11 21,983 220
  Washington Mutual Finance Corp. 6.875% 5/15/11 5,975 6,307
  Wells Fargo & Co. 4.625% 8/9/10 5,270 5,327
  Wells Fargo & Co. 5.250% 10/23/12 34,185 36,860
  Wells Fargo & Co. 4.375% 1/31/13 24,750 26,214
  Wells Fargo & Co. 3.750% 10/1/14 32,925 33,666
  Wells Fargo & Co. 3.625% 4/15/15 39,000 39,594
  Wells Fargo Bank NA 6.450% 2/1/11 57,550 59,939
5 Wells Fargo Capital XIII 7.700% 12/29/49 19,500 20,280
5 Wells Fargo Capital XV 9.750% 12/29/49 11,700 13,104
  Wells Fargo Financial Inc. 5.500% 8/1/12 5,650 6,072
  Westpac Banking Corp. 2.250% 11/19/12 209,751 212,253
  Westpac Banking Corp. 4.200% 2/27/15 41,700 43,454
6 Westpac Securities NZ Ltd. 2.625% 1/28/13 80,000 80,900
 
  Brokerage (0.5%)        
  BlackRock Inc. 3.500% 12/10/14 28,120 28,819
6 Blackstone Holdings Finance Co. LLC 6.625% 8/15/19 12,400 12,800
  Charles Schwab Corp. 4.950% 6/1/14 24,740 26,598
  Jefferies Group Inc. 5.875% 6/8/14 6,950 7,408
  Jefferies Group Inc. 8.500% 7/15/19 9,320 10,607
3,7 Lehman Brothers Holdings E-Capital Trust I 2.998% 8/19/65 9,410 9
3,7 Lehman Brothers Holdings Inc. 2.911% 8/21/09 24,450 5,318
3,7 Lehman Brothers Holdings Inc. 2.907% 11/16/09 38,620 8,110
3,7 Lehman Brothers Holdings Inc. 2.951% 5/25/10 19,555 4,278
7 Lehman Brothers Holdings Inc. 5.750% 7/18/11 69,400 14,227
7 Lehman Brothers Holdings Inc. 5.625% 1/24/13 9,200 2,070
  Nomura Holdings Inc. 5.000% 3/4/15 11,675 12,241
  TD Ameritrade Holding Corp. 2.950% 12/1/12 46,825 47,588
 
  Finance Companies (3.7%)        
  American General Finance Corp. 4.875% 5/15/10 5,200 5,194
  American General Finance Corp. 5.200% 12/15/11 12,700 12,192
  American General Finance Corp. 4.875% 7/15/12 16,678 15,385
  General Electric Capital Corp. 5.500% 4/28/11 5,235 5,465
  General Electric Capital Corp. 5.000% 11/15/11 19,900 21,021
  General Electric Capital Corp. 5.875% 2/15/12 9,401 10,121
  General Electric Capital Corp. 4.375% 3/3/12 17,175 18,003


  General Electric Capital Corp. 5.000% 4/10/12 39,810 42,346
  General Electric Capital Corp. 6.000% 6/15/12 30,000 32,608
  General Electric Capital Corp. 3.500% 8/13/12 38,140 39,536
  General Electric Capital Corp. 5.250% 10/19/12 181,373 195,438
  General Electric Capital Corp. 2.800% 1/8/13 53,625 54,501
  General Electric Capital Corp. 5.450% 1/15/13 13,800 14,968
  General Electric Capital Corp. 4.800% 5/1/13 68,840 73,789
  General Electric Capital Corp. 5.900% 5/13/14 13,715 15,222
  General Electric Capital Corp. 5.500% 6/4/14 4,700 5,142
3,5 General Electric Capital Corp. 6.375% 11/15/67 14,450 13,728
3,5 HSBC Finance Capital Trust IX 5.911% 11/30/35 5,000 4,550
  HSBC Finance Corp. 4.625% 9/15/10 50,700 51,376
  HSBC Finance Corp. 5.250% 1/14/11 89,775 92,170
  HSBC Finance Corp. 6.750% 5/15/11 87,425 92,196
  HSBC Finance Corp. 5.700% 6/1/11 58,650 61,238
  HSBC Finance Corp. 6.375% 10/15/11 101,295 107,746
  HSBC Finance Corp. 7.000% 5/15/12 5,850 6,400
  HSBC Finance Corp. 5.900% 6/19/12 95,578 103,081
3 HSBC Finance Corp. 0.607% 9/14/12 7,800 7,671
  HSBC Finance Corp. 6.375% 11/27/12 16,832 18,485
  HSBC Finance Corp. 5.250% 1/15/14 39,403 42,141
3 HSBC Finance Corp. 0.682% 6/1/16 14,500 13,638
  International Lease Finance Corp. 4.875% 9/1/10 13,377 13,277
  International Lease Finance Corp. 5.125% 11/1/10 9,750 9,738
  International Lease Finance Corp. 4.950% 2/1/11 45,000 44,662
  International Lease Finance Corp. 5.450% 3/24/11 43,065 42,742
  International Lease Finance Corp. 5.750% 6/15/11 19,275 19,179
  International Lease Finance Corp. 5.300% 5/1/12 16,575 16,078
3 SLM Corp. 0.457% 3/15/11 8,900 8,754
6 USAA Capital Corp. 3.500% 7/17/14 9,600 9,770
 
  Insurance (5.3%)        
  ACE INA Holdings Inc. 5.875% 6/15/14 14,690 16,319
  Aetna Inc. 7.875% 3/1/11 4,720 4,980
  Aetna Inc. 5.750% 6/15/11 26,652 27,991
6 AIG SunAmerica Global Financing VI 6.300% 5/10/11 16,625 17,290
  Allstate Corp. 6.125% 2/15/12 8,950 9,668
  Allstate Corp. 6.200% 5/16/14 12,700 14,264
  Allstate Corp. 5.000% 8/15/14 400 432
  Allstate Life Global Funding Trusts 5.375% 4/30/13 10,000 10,974
  American International Group Inc. 5.050% 10/1/15 39,550 37,177
6 ASIF Global Financing XIX 4.900% 1/17/13 24,250 24,614
  Axis Capital Holdings Ltd. 5.750% 12/1/14 31,770 33,530
  Berkshire Hathaway Finance Corp. 4.000% 4/15/12 53,900 56,809
  Berkshire Hathaway Finance Corp. 4.500% 1/15/13 25,245 27,066
  Berkshire Hathaway Finance Corp. 4.600% 5/15/13 4,875 5,238
  Berkshire Hathaway Finance Corp. 5.000% 8/15/13 5,200 5,693
  Berkshire Hathaway Finance Corp. 5.100% 7/15/14 13,900 15,139
  Berkshire Hathaway Inc. 2.125% 2/11/13 147,750 149,649
  Chubb Corp. 5.200% 4/1/13 2,067 2,241
3,5 Chubb Corp. 6.375% 3/29/67 3,760 3,773
  CNA Financial Corp. 6.000% 8/15/11 16,835 17,553
  Coventry Health Care Inc. 5.875% 1/15/12 18,875 19,721
  Hartford Financial Services Group Inc. 4.000% 3/30/15 8,400 8,363
5 ING Groep NV 5.775% 12/8/49 11,170 9,271
6 Jackson National Life Global Funding 5.375% 5/8/13 44,193 47,444
6 John Hancock Global Funding II 6.500% 3/1/11 8,000 8,310
3,5,6 Liberty Mutual Group Inc. 7.000% 3/15/37 5,320 4,695


  Lincoln National Corp. 5.650% 8/27/12 20,075 21,394
3,5 Lincoln National Corp. 6.050% 4/20/67 8,340 7,180
  Marsh & McLennan Cos. Inc. 6.250% 3/15/12 11,770 12,615
  Marsh & McLennan Cos. Inc. 5.375% 7/15/14 3,925 4,133
3,6 MassMutual Global Funding II 0.370% 4/21/11 117,100 116,595
3,6 MassMutual Global Funding II 0.412% 12/6/13 14,950 14,820
3,6 Merna Reinsurance Ltd. 2.040% 7/7/10 18,330 18,216
3,6 Metropolitan Life Global Funding I 0.410% 5/18/10 48,900 48,872
6 Metropolitan Life Global Funding I 2.875% 9/17/12 97,575 99,688
6 Metropolitan Life Global Funding I 2.500% 1/11/13 35,500 35,778
6 Metropolitan Life Global Funding I 5.125% 4/10/13 64,787 69,949
6 Metropolitan Life Global Funding I 5.125% 6/10/14 12,615 13,546
6 Monumental Global Funding III 5.250% 1/15/14 7,565 7,983
6 New York Life Global Funding 4.625% 8/16/10 9,360 9,470
6 New York Life Global Funding 5.250% 10/16/12 9,340 10,159
6 New York Life Global Funding 4.650% 5/9/13 5,400 5,800
6 New York Life Global Funding 5.375% 9/15/13 10,660 11,788
6 New York Life Global Funding 3.000% 5/4/15 10,375 10,390
5,6 Oil Insurance Ltd. 7.558% 6/30/49 13,225 11,770
6 Pacific Life Global Funding 5.150% 4/15/13 4,850 5,220
6 Pricoa Global Funding I 5.625% 5/24/11 1,125 1,174
6 Pricoa Global Funding I 4.625% 6/25/12 7,580 8,022
6 Pricoa Global Funding I 5.400% 10/18/12 27,095 29,122
6 Pricoa Global Funding I 5.450% 6/11/14 50,000 54,253
  Principal Financial Group Inc. 7.875% 5/15/14 13,750 15,776
6 Principal Life Global Funding I 4.400% 10/1/10 9,800 9,922
6 Principal Life Global Funding I 6.250% 2/15/12 12,650 13,590
6 Principal Life Global Funding I 5.250% 1/15/13 2,425 2,598
6 Principal Life Global Funding I 5.125% 10/15/13 34,280 36,707
  Principal Life Income Funding Trusts 5.125% 3/1/11 37,400 38,571
  Principal Life Income Funding Trusts 5.300% 12/14/12 1,500 1,621
  Principal Life Income Funding Trusts 5.300% 4/24/13 11,000 11,861
  Prudential Financial Inc. 5.800% 6/15/12 31,100 33,374
  Prudential Financial Inc. 3.625% 9/17/12 29,275 30,261
  Prudential Financial Inc. 2.750% 1/14/13 48,500 48,816
  Prudential Financial Inc. 5.100% 9/20/14 9,350 9,996
  Prudential Financial Inc. 6.200% 1/15/15 4,890 5,404
6 TIAA Global Markets Inc. 4.950% 7/15/13 5,800 6,308
  Travelers Cos. Inc. 5.375% 6/15/12 18,258 19,680
3,5 Travelers Cos. Inc. 6.250% 3/15/37 16,175 15,899
  Travelers Property Casualty Corp. 5.000% 3/15/13 18,740 20,242
  UnitedHealth Group Inc. 5.125% 11/15/10 65,120 66,633
  UnitedHealth Group Inc. 5.250% 3/15/11 19,300 19,972
  UnitedHealth Group Inc. 5.500% 11/15/12 20,125 21,809
  UnitedHealth Group Inc. 4.875% 2/15/13 37,455 39,994
  UnitedHealth Group Inc. 4.875% 4/1/13 34,844 37,352
  UnitedHealth Group Inc. 4.750% 2/10/14 3,215 3,415
  UnitedHealth Group Inc. 5.000% 8/15/14 11,035 11,805
  WellPoint Health Networks Inc. 6.375% 1/15/12 9,550 10,287
  WellPoint Inc. 5.000% 1/15/11 16,768 17,229
  WellPoint Inc. 6.800% 8/1/12 31,358 34,711
  WellPoint Inc. 6.000% 2/15/14 41,400 45,822
  Willis North America Inc. 5.125% 7/15/10 8,040 8,107
  Willis North America Inc. 5.625% 7/15/15 25,916 26,661
  XL Capital Finance Europe PLC 6.500% 1/15/12 32,275 34,155
6 Xlliac Global Funding 4.800% 8/10/10 15,700 15,716
3,5,6 ZFS Finance USA Trust I 5.875% 5/9/32 4,270 4,078


Real Estate Investment Trusts (0.8%)        
Arden Realty LP 5.200% 9/1/11 7,700 8,039
Boston Properties LP 6.250% 1/15/13 11,015 11,992
Brandywine Operating Partnership LP 5.750% 4/1/12 4,779 5,017
Brandywine Operating Partnership LP 5.400% 11/1/14 4,850 4,998
Developers Diversified Realty Corp. 5.250% 4/15/11 7,330 7,403
Developers Diversified Realty Corp. 5.375% 10/15/12 14,000 14,140
Duke Realty LP 4.625% 5/15/13 9,725 9,936
Duke Realty LP 6.250% 5/15/13 10,076 10,765
HCP Inc. 4.875% 9/15/10 19,480 19,754
Hospitality Properties Trust 7.875% 8/15/14 8,350 9,336
Kimco Realty Corp. 4.820% 8/15/11 14,035 14,470
Liberty Property LP 6.375% 8/15/12 19,020 20,383
Simon Property Group LP 4.875% 8/15/10 17,950 18,075
Simon Property Group LP 5.300% 5/30/13 30,974 33,199
Simon Property Group LP 6.750% 5/15/14 2,760 3,064
6 WCI Finance LLC / WEA Finance LLC 5.400% 10/1/12 43,645 46,704
6 WEA Finance LLC / WT Finance Aust Pty Ltd. 7.500% 6/2/14 23,125 26,400
6 WT Finance Aust Pty Ltd. / Westfield Capital /        
WEA Finance LLC 4.375% 11/15/10 18,930 19,209
        12,047,534
Industrial (28.8%)        
Basic Industry (1.5%)        
Air Products & Chemicals Inc. 4.150% 2/1/13 12,300 12,887
Alcoa Inc. 6.000% 7/15/13 66,800 71,511
ArcelorMittal 5.375% 6/1/13 45,250 48,416
ArcelorMittal USA Inc. 6.500% 4/15/14 12,775 14,032
Barrick Gold Financeco LLC 6.125% 9/15/13 23,225 26,004
BHP Billiton Finance USA Ltd. 5.125% 3/29/12 19,175 20,489
BHP Billiton Finance USA Ltd. 4.800% 4/15/13 6,966 7,532
BHP Billiton Finance USA Ltd. 5.500% 4/1/14 9,150 10,151
Dow Chemical Co. 4.850% 8/15/12 19,400 20,543
Dow Chemical Co. 7.600% 5/15/14 42,375 49,042
Dow Chemical Co. 5.900% 2/15/15 11,250 12,346
Freeport-McMoRan Copper & Gold Inc. 8.250% 4/1/15 11,116 12,089
International Paper Co. 5.300% 4/1/15 4,750 5,080
International Paper Co. 7.950% 6/15/18 7,250 8,602
PPG Industries Inc. 5.750% 3/15/13 15,810 17,271
Praxair Inc. 1.750% 11/15/12 23,500 23,625
Rio Tinto Finance USA Ltd. 5.875% 7/15/13 40,554 44,759
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 92,275 111,657
Rohm and Haas Co. 5.600% 3/15/13 20,310 21,753
Sherwin-Williams Co. 3.125% 12/15/14 4,450 4,505
 
Capital Goods (3.2%)        
Allied Waste North America Inc. 7.125% 5/15/16 4,750 5,201
Allied Waste North America Inc. 6.875% 6/1/17 9,125 10,038
6 BAE Systems Holdings Inc. 4.750% 8/15/10 23,636 23,857
6 BAE Systems Holdings Inc. 6.400% 12/15/11 9,500 10,193
Bemis Co. Inc. 5.650% 8/1/14 20,130 21,954
Boeing Capital Corp. 6.500% 2/15/12 27,846 30,468
Boeing Capital Corp. 5.800% 1/15/13 17,298 18,973
Boeing Co. 1.875% 11/20/12 37,500 37,771
Boeing Co. 3.500% 2/15/15 4,750 4,911
Caterpillar Financial Services Corp. 4.300% 6/1/10 1,000 1,003
Caterpillar Financial Services Corp. 5.125% 10/12/11 19,625 20,752
Caterpillar Financial Services Corp. 5.750% 2/15/12 73,500 79,250


Caterpillar Financial Services Corp. 4.250% 2/8/13 33,195 35,329
Caterpillar Financial Services Corp. 2.000% 4/5/13 48,250 48,458
Cooper US Inc. 5.250% 11/15/12 9,365 10,164
CRH America Inc. 5.625% 9/30/11 73,425 77,156
CRH America Inc. 6.950% 3/15/12 9,300 10,140
CRH America Inc. 5.300% 10/15/13 18,677 20,042
Eaton Corp. 5.750% 7/15/12 7,950 8,670
Emerson Electric Co. 4.125% 4/15/15 9,220 9,742
General Dynamics Corp. 1.800% 7/15/11 9,000 9,087
General Dynamics Corp. 5.250% 2/1/14 15,260 16,783
General Electric Co. 5.000% 2/1/13 132,138 142,688
Harsco Corp. 5.125% 9/15/13 8,000 8,595
Honeywell International Inc. 6.125% 11/1/11 8,013 8,637
Honeywell International Inc. 4.250% 3/1/13 4,250 4,543
Illinois Tool Works Inc. 5.150% 4/1/14 22,925 25,181
Ingersoll-Rand Global Holding Co. Ltd. 6.000% 8/15/13 28,020 30,920
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 39,607 48,488
John Deere Capital Corp. 5.400% 10/17/11 23,350 24,779
John Deere Capital Corp. 7.000% 3/15/12 45,448 50,254
John Deere Capital Corp. 5.250% 10/1/12 80,440 87,446
John Deere Capital Corp. 4.900% 9/9/13 18,328 20,040
John Deere Capital Corp. 2.950% 3/9/15 58,750 59,258
L-3 Communications Corp. 6.125% 7/15/13 1,550 1,564
L-3 Communications Corp. 6.125% 1/15/14 3,400 3,443
L-3 Communications Corp. 5.875% 1/15/15 5,600 5,642
Lafarge SA 6.150% 7/15/11 1,850 1,927
Northrop Grumman Systems Corp. 7.125% 2/15/11 9,375 9,833
Roper Industries Inc. 6.625% 8/15/13 36,590 40,773
6 Siemens Financieringsmaatschappij NV 5.500% 2/16/12 35,545 38,102
Textron Financial Corp. 4.600% 5/3/10 7,844 7,845
Textron Financial Corp. 5.400% 4/28/13 14,470 15,055
Tyco International Finance SA 6.375% 10/15/11 9,765 10,452
Tyco International Finance SA 4.125% 10/15/14 3,350 3,505
Tyco International Finance SA 8.500% 1/15/19 10,600 13,437
 
Communication (7.2%)        
America Movil SAB de CV 5.500% 3/1/14 8,450 9,217
American Tower Corp. 4.625% 4/1/15 6,875 7,115
AT&T Corp. 7.300% 11/15/11 55,836 60,902
AT&T Inc. 5.875% 2/1/12 16,100 17,367
AT&T Inc. 4.950% 1/15/13 18,295 19,759
AT&T Inc. 6.700% 11/15/13 48,871 56,316
AT&T Mobility LLC 6.500% 12/15/11 25,955 28,120
British Telecommunications PLC 9.125% 12/15/10 68,983 72,220
British Telecommunications PLC 5.150% 1/15/13 34,027 36,226
CBS Corp. 8.200% 5/15/14 27,050 31,856
Cellco Partnership / Verizon Wireless Capital        
LLC 3.750% 5/20/11 189,777 195,231
Cellco Partnership / Verizon Wireless Capital        
LLC 5.250% 2/1/12 28,250 30,109
Cellco Partnership / Verizon Wireless Capital        
LLC 7.375% 11/15/13 66,285 77,036
Cellco Partnership / Verizon Wireless Capital        
LLC 5.550% 2/1/14 10,405 11,496
CenturyTel Inc. 7.875% 8/15/12 18,250 20,363
CenturyTel Inc. 5.000% 2/15/15 4,750 4,843
Comcast Cable Communications Holdings        
Inc. 8.375% 3/15/13 16,250 18,875


Comcast Cable Communications LLC 6.750% 1/30/11 19,750 20,570
Comcast Corp. 5.450% 11/15/10 28,275 28,980
Comcast Corp. 5.500% 3/15/11 29,190 30,315
Comcast Corp. 5.300% 1/15/14 25,273 27,531
Comcast Corp. 6.500% 1/15/15 7,750 8,792
COX Communications Inc. 6.750% 3/15/11 5,265 5,509
COX Communications Inc. 7.125% 10/1/12 39,137 43,889
COX Communications Inc. 4.625% 6/1/13 4,405 4,661
COX Communications Inc. 5.450% 12/15/14 26,810 29,391
6 COX Enterprises Inc. 7.875% 9/15/10 12,000 12,264
Deutsche Telekom International Finance BV 8.500% 6/15/10 23,455 23,662
Deutsche Telekom International Finance BV 5.250% 7/22/13 13,950 15,025
Deutsche Telekom International Finance BV 5.875% 8/20/13 32,510 35,688
Deutsche Telekom International Finance BV 4.875% 7/8/14 3,265 3,465
6 DIRECTV Holdings LLC 3.550% 3/15/15 24,400 24,304
DirecTV Holdings LLC / DirecTV Financing        
Co. Inc. 4.750% 10/1/14 12,125 12,831
DirecTV Holdings LLC / DirecTV Financing        
Co. Inc. 6.375% 6/15/15 28,100 29,013
France Telecom SA 7.750% 3/1/11 112,587 118,807
France Telecom SA 4.375% 7/8/14 27,625 29,397
McGraw-Hill Cos. Inc. 5.375% 11/15/12 6,200 6,668
6 NBC Universal Inc. 3.650% 4/30/15 24,400 24,524
New Cingular Wireless Services Inc. 7.875% 3/1/11 57,939 61,316
New Cingular Wireless Services Inc. 8.125% 5/1/12 81,025 91,618
6 New Communications Holdings Inc. 7.875% 4/15/15 10,525 10,854
6 New Communications Holdings Inc. 8.250% 4/15/17 14,050 14,524
News America Inc. 5.300% 12/15/14 14,770 16,264
5 Nynex Corp. 9.550% 5/1/10 2,104 2,105
6 Pearson PLC 7.000% 6/15/11 55,450 58,560
6 Qtel International Finance Ltd. 6.500% 6/10/14 4,500 4,905
Qwest Corp. 7.875% 9/1/11 7,450 7,916
Qwest Corp. 8.875% 3/15/12 40,840 44,618
Qwest Corp. 7.625% 6/15/15 11,590 12,749
Reed Elsevier Capital Inc. 7.750% 1/15/14 9,150 10,576
Rogers Communications Inc. 7.875% 5/1/12 8,600 9,557
Rogers Communications Inc. 7.250% 12/15/12 22,925 25,906
Rogers Communications Inc. 6.375% 3/1/14 24,002 26,871
Telecom Italia Capital SA 4.875% 10/1/10 10,000 10,145
Telecom Italia Capital SA 6.200% 7/18/11 9,700 10,138
Telecom Italia Capital SA 5.250% 11/15/13 41,813 44,154
Telecom Italia Capital SA 6.175% 6/18/14 52,225 56,173
Telecom Italia Capital SA 4.950% 9/30/14 16,963 17,443
Telefonica Emisiones SAU 5.984% 6/20/11 112,190 118,189
Telefonica Emisiones SAU 5.855% 2/4/13 39,535 43,147
Telefonica Emisiones SAU 2.582% 4/26/13 58,500 58,674
Telefonica Europe BV 7.750% 9/15/10 9,913 10,149
Thomson Reuters Corp. 5.950% 7/15/13 35,240 39,364
Thomson Reuters Corp. 5.700% 10/1/14 9,125 10,119
Time Warner Cable Inc. 5.400% 7/2/12 51,200 55,102
Time Warner Cable Inc. 6.200% 7/1/13 32,655 36,351
Time Warner Cable Inc. 7.500% 4/1/14 20,795 24,103
Time Warner Cable Inc. 3.500% 2/1/15 11,500 11,615
Verizon Communications Inc. 4.350% 2/15/13 37,755 40,204
Verizon Communications Inc. 5.250% 4/15/13 69,525 76,081
Verizon Communications Inc. 5.500% 2/15/18 19,525 20,871
Verizon Global Funding Corp. 7.250% 12/1/10 39,430 40,926
Verizon Global Funding Corp. 6.875% 6/15/12 20,950 23,279


  Verizon Global Funding Corp. 7.375% 9/1/12 50,890 57,645
6 Vivendi SA 5.750% 4/4/13 18,225 19,609
  Vodafone Group PLC 5.500% 6/15/11 26,925 28,226
  Vodafone Group PLC 5.350% 2/27/12 48,185 51,456
  Vodafone Group PLC 5.000% 12/16/13 27,713 29,993
  WPP Finance UK 8.000% 9/15/14 22,360 25,946
 
  Consumer Cyclical (3.6%)        
6 American Honda Finance Corp. 5.125% 12/15/10 24,390 24,996
6 American Honda Finance Corp. 2.375% 3/18/13 21,900 22,038
6 American Honda Finance Corp. 4.625% 4/2/13 18,650 19,946
6 American Honda Finance Corp. 6.700% 10/1/13 19,400 21,998
  Best Buy Co. Inc. 6.750% 7/15/13 9,350 10,428
  CVS Caremark Corp. 5.750% 8/15/11 9,825 10,392
3,5 CVS Caremark Corp. 6.302% 6/1/37 16,400 15,851
  Daimler Finance North America LLC 4.875% 6/15/10 29,480 29,601
  Daimler Finance North America LLC 8.000% 6/15/10 4,670 4,702
  Daimler Finance North America LLC 5.875% 3/15/11 37,200 38,663
  Daimler Finance North America LLC 7.300% 1/15/12 37,750 41,127
  Daimler Finance North America LLC 6.500% 11/15/13 8,776 9,785
  Darden Restaurants Inc. 5.625% 10/15/12 13,095 14,326
  Ford Motor Credit Co. LLC 7.000% 4/15/15 3,910 3,969
6 Harley-Davidson Funding Corp. 5.000% 12/15/10 9,300 9,441
6 Harley-Davidson Funding Corp. 5.250% 12/15/12 25,900 26,802
6 Harley-Davidson Funding Corp. 5.750% 12/15/14 5,975 6,111
  Historic TW Inc. 9.125% 1/15/13 28,598 33,553
  Hyundai Capital Services Inc. 5.625% 1/24/12 9,375 9,826
  JC Penney Corp. Inc. 9.000% 8/1/12 23,036 26,095
  Johnson Controls Inc. 5.250% 1/15/11 26,200 26,975
  K Hovnanian Enterprises Inc. 6.250% 1/15/16 7,710 6,476
  Lennar Corp. 5.125% 10/1/10 5,300 5,379
  Lowe's Cos. Inc. 8.250% 6/1/10 8,600 8,646
  Lowe's Cos. Inc. 5.600% 9/15/12 18,275 20,058
  Macy's Retail Holdings Inc. 6.625% 4/1/11 17,146 17,918
  Macy's Retail Holdings Inc. 5.350% 3/15/12 20,092 21,097
  McDonald's Corp. 4.300% 3/1/13 13,325 14,280
  MGM Mirage 8.500% 9/15/10 5,600 5,656
  MGM Mirage 6.750% 4/1/13 3,825 3,634
  MGM Mirage 5.875% 2/27/14 4,000 3,500
6 Nissan Motor Acceptance Corp. 5.625% 3/14/11 39,200 40,408
6 Nissan Motor Acceptance Corp. 3.250% 1/30/13 14,550 14,799
  Nordstrom Inc. 6.750% 6/1/14 3,200 3,668
3 PACCAR Financial Corp. 0.300% 5/17/10 70,325 70,323
  PACCAR Financial Corp. 1.950% 12/17/12 32,950 33,162
3 PACCAR Financial Corp. 0.699% 4/5/13 50,535 50,578
  Staples Inc. 7.750% 4/1/11 4,900 5,194
  Staples Inc. 7.375% 10/1/12 22,580 25,143
  Staples Inc. 9.750% 1/15/14 23,900 29,158
  Target Corp. 5.875% 3/1/12 14,300 15,519
  Target Corp. 5.125% 1/15/13 9,340 10,169
  Tenneco Inc. 8.625% 11/15/14 4,400 4,499
  Time Warner Inc. 5.500% 11/15/11 24,883 26,407
  Time Warner Inc. 6.875% 5/1/12 26,212 28,835
  Toyota Motor Credit Corp. 1.900% 12/5/12 119,890 118,741
  Viacom Inc. 4.375% 9/15/14 9,290 9,747
6 Volvo Treasury AB 5.950% 4/1/15 3,950 4,094
  Wal-Mart Stores Inc. 4.250% 4/15/13 13,175 14,101
  Wal-Mart Stores Inc. 4.550% 5/1/13 2,600 2,800


Wal-Mart Stores Inc. 3.200% 5/15/14 50,000 51,645
Wal-Mart Stores Inc. 2.875% 4/1/15 4,230 4,262
Walgreen Co. 4.875% 8/1/13 60,850 66,330
3 Walt Disney Co. 0.374% 7/16/10 18,550 18,555
Walt Disney Co. 5.700% 7/15/11 3,475 3,678
Walt Disney Co. 6.375% 3/1/12 1,900 2,079
Walt Disney Co. 4.500% 12/15/13 53,806 58,002
Western Union Co. 5.400% 11/17/11 38,842 41,231
Western Union Co. 6.500% 2/26/14 28,250 31,848
Yum! Brands Inc. 8.875% 4/15/11 6,725 7,201
 
Consumer Noncyclical (6.3%)        
Abbott Laboratories 3.750% 3/15/11 6,550 6,734
Abbott Laboratories 5.600% 5/15/11 6,070 6,381
Abbott Laboratories 5.150% 11/30/12 39,750 43,442
Altria Group Inc. 8.500% 11/10/13 70,200 82,756
AmerisourceBergen Corp. 5.625% 9/15/12 12,395 13,356
Anheuser-Busch InBev Worldwide Inc. 3.000% 10/15/12 32,800 33,710
6 Anheuser-Busch InBev Worldwide Inc. 2.500% 3/26/13 97,500 97,935
6 Anheuser-Busch InBev Worldwide Inc. 7.200% 1/15/14 54,700 62,945
6 Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 12,900 14,030
AstraZeneca PLC 5.400% 9/15/12 39,650 43,385
AstraZeneca PLC 5.400% 6/1/14 1,330 1,476
Avon Products Inc. 5.625% 3/1/14 29,615 32,582
Baxter FinCo BV 4.750% 10/15/10 16,300 16,616
Baxter International Inc. 1.800% 3/15/13 13,650 13,692
Biogen Idec Inc. 6.000% 3/1/13 41,165 44,961
Boston Scientific Corp. 4.500% 1/15/15 34,100 33,436
Bottling Group LLC 6.950% 3/15/14 6,695 7,815
Cardinal Health Inc. 5.500% 6/15/13 4,245 4,599
CareFusion Corp. 4.125% 8/1/12 4,660 4,883
CareFusion Corp. 5.125% 8/1/14 13,970 14,949
6 Cargill Inc. 6.375% 6/1/12 3,900 4,242
6 Cargill Inc. 5.200% 1/22/13 18,650 19,968
Clorox Co. 5.000% 3/1/13 2,750 2,974
6 Coca-Cola Amatil Ltd. 3.250% 11/2/14 6,560 6,602
Coca-Cola Co. 3.625% 3/15/14 23,800 25,058
Coca-Cola Enterprises Inc. 5.000% 8/15/13 20,400 22,339
Coca-Cola Enterprises Inc. 7.375% 3/3/14 14,575 17,159
Coca-Cola Enterprises Inc. 4.250% 3/1/15 4,500 4,805
Covidien International Finance SA 5.150% 10/15/10 18,680 19,003
Covidien International Finance SA 5.450% 10/15/12 6,750 7,388
Delhaize Group SA 5.875% 2/1/14 1,925 2,126
Diageo Capital PLC 5.200% 1/30/13 6,315 6,860
Diageo Finance BV 5.500% 4/1/13 9,250 10,160
Dr Pepper Snapple Group Inc. 2.350% 12/21/12 9,400 9,488
Eli Lilly & Co. 3.550% 3/6/12 5,950 6,227
Express Scripts Inc. 5.250% 6/15/12 41,950 44,904
General Mills Inc. 5.650% 9/10/12 13,880 15,209
General Mills Inc. 5.250% 8/15/13 15,800 17,332
GlaxoSmithKline Capital Inc. 4.850% 5/15/13 27,740 30,182
Hasbro Inc. 6.125% 5/15/14 7,675 8,521
HJ Heinz Co. 5.350% 7/15/13 7,175 7,831
Hormel Foods Corp. 6.625% 6/1/11 8,750 9,265
Hospira Inc. 5.550% 3/30/12 6,599 7,068
Hospira Inc. 5.900% 6/15/14 6,825 7,511
Kellogg Co. 5.125% 12/3/12 9,770 10,640
Kellogg Co. 4.250% 3/6/13 14,000 14,908


Koninklijke Philips Electronics NV 4.625% 3/11/13 13,925 14,893
Kraft Foods Inc. 5.625% 8/11/10 14,050 14,237
Kraft Foods Inc. 5.625% 11/1/11 29,480 31,294
Kraft Foods Inc. 6.000% 2/11/13 9,750 10,789
Kraft Foods Inc. 2.625% 5/8/13 58,500 59,698
Kraft Foods Inc. 5.250% 10/1/13 15,000 16,313
Kraft Foods Inc. 6.750% 2/19/14 21,475 24,348
Kroger Co. 6.750% 4/15/12 13,975 15,267
Kroger Co. 6.200% 6/15/12 3,550 3,862
Kroger Co. 5.000% 4/15/13 31,915 34,270
Kroger Co. 7.500% 1/15/14 13,725 15,937
Life Technologies Corp. 4.400% 3/1/15 14,600 14,957
McKesson Corp. 5.250% 3/1/13 9,750 10,429
McKesson Corp. 6.500% 2/15/14 9,070 10,182
6 Mead Johnson Nutrition Co. 3.500% 11/1/14 14,000 14,123
Medco Health Solutions Inc. 6.125% 3/15/13 29,200 31,971
Medco Health Solutions Inc. 7.250% 8/15/13 21,105 24,134
Medtronic Inc. 4.375% 9/15/10 4,000 4,055
Medtronic Inc. 4.500% 3/15/14 9,200 9,919
Medtronic Inc. 3.000% 3/15/15 34,000 34,325
Merck & Co. Inc. 1.875% 6/30/11 53,225 53,952
Molson Coors Capital Finance ULC 4.850% 9/22/10 6,575 6,676
Novartis Capital Corp. 1.900% 4/24/13 164,100 164,344
Novartis Capital Corp. 4.125% 2/10/14 31,775 33,842
PepsiAmericas Inc. 5.625% 5/31/11 4,715 4,939
PepsiAmericas Inc. 4.375% 2/15/14 14,370 15,341
PepsiCo Inc. 4.650% 2/15/13 22,166 23,939
PepsiCo Inc. 3.750% 3/1/14 9,750 10,246
Pfizer Inc. 4.450% 3/15/12 74,734 79,214
Pfizer Inc. 5.350% 3/15/15 52,000 57,766
Philip Morris International Inc. 4.875% 5/16/13 12,200 13,174
Philip Morris International Inc. 6.875% 3/17/14 18,431 21,282
Procter & Gamble Co. 4.600% 1/15/14 12,875 13,894
Procter & Gamble International Funding SCA 1.350% 8/26/11 19,325 19,485
Reynolds American Inc. 7.250% 6/1/13 7,800 8,677
Reynolds American Inc. 7.625% 6/1/16 3,050 3,416
6 Roche Holdings Inc. 4.500% 3/1/12 55,600 58,965
6 Roche Holdings Inc. 5.000% 3/1/14 4,900 5,346
6 SABMiller PLC 6.200% 7/1/11 27,465 28,829
6 SABMiller PLC 5.500% 8/15/13 9,557 10,394
Safeway Inc. 4.950% 8/16/10 13,675 13,837
Safeway Inc. 6.250% 3/15/14 9,650 10,819
St. Jude Medical Inc. 2.200% 9/15/13 48,750 48,767
St. Jude Medical Inc. 3.750% 7/15/14 18,575 19,240
Stryker Corp. 3.000% 1/15/15 13,600 13,720
Sysco Corp. 4.200% 2/12/13 9,255 9,829
6 Thermo Fisher Scientific Inc. 2.150% 12/28/12 18,750 18,662
Thermo Fisher Scientific Inc. 5.000% 6/1/15 6,730 7,280
Unilever Capital Corp. 3.650% 2/15/14 23,300 24,399
Whirlpool Corp. 5.500% 3/1/13 37,511 39,935
Wyeth 5.500% 3/15/13 66,330 72,676
Wyeth 5.500% 2/1/14 28,275 31,381
 
Energy (3.0%)        
Anadarko Petroleum Corp. 5.750% 6/15/14 29,998 33,119
BP Capital Markets PLC 5.250% 11/7/13 50,040 55,131
BP Capital Markets PLC 3.625% 5/8/14 54,350 56,816
BP Capital Markets PLC 3.875% 3/10/15 9,340 9,737


Burlington Resources Finance Co. 6.500% 12/1/11 1,865 2,025
Canadian Natural Resources Ltd. 6.700% 7/15/11 9,450 10,055
Canadian Natural Resources Ltd. 5.150% 2/1/13 14,020 15,114
6 Cenovus Energy Inc. 4.500% 9/15/14 23,400 24,689
Chevron Corp. 3.450% 3/3/12 54,125 56,487
Conoco Funding Co. 6.350% 10/15/11 51,256 55,091
ConocoPhillips 8.750% 5/25/10 31,205 31,352
ConocoPhillips 9.375% 2/15/11 15,375 16,434
ConocoPhillips 4.400% 5/15/13 13,725 14,755
ConocoPhillips 4.750% 2/1/14 74,298 80,673
ConocoPhillips Australia Funding Co. 5.500% 4/15/13 816 900
ConocoPhillips Canada Funding Co. I 5.300% 4/15/12 1,600 1,720
Devon Energy Corp. 5.625% 1/15/14 6,250 6,868
Devon Financing Corp. ULC 6.875% 9/30/11 41,780 45,017
EnCana Corp. 4.750% 10/15/13 14,555 15,680
6 GS Caltex Corp. 5.500% 10/15/15 8,300 8,825
Husky Energy Inc. 5.900% 6/15/14 25,865 28,599
Marathon Oil Corp. 6.125% 3/15/12 24,460 26,418
Shell International Finance BV 1.875% 3/25/13 165,000 165,587
Shell International Finance BV 4.000% 3/21/14 99,445 105,385
6 Statoil ASA 5.125% 4/30/14 9,750 10,662
6 TNK-BP Finance SA 6.250% 2/2/15 2,000 2,080
Total Capital SA 3.125% 10/2/15 9,750 9,831
Transocean Inc. 5.250% 3/15/13 2,281 2,460
Valero Energy Corp. 6.875% 4/15/12 21,000 22,865
Valero Energy Corp. 4.500% 2/1/15 14,625 14,913
Weatherford International Inc. 5.950% 6/15/12 11,050 11,916
Weatherford International Ltd. 5.150% 3/15/13 21,675 23,103
6 Woodside Finance Ltd. 8.125% 3/1/14 9,375 10,889
XTO Energy Inc. 5.000% 8/1/10 27,850 28,149
XTO Energy Inc. 5.900% 8/1/12 28,225 31,025
XTO Energy Inc. 4.625% 6/15/13 16,975 18,318
XTO Energy Inc. 4.900% 2/1/14 10,700 11,635
 
Technology (2.9%)        
Adobe Systems Inc. 3.250% 2/1/15 14,625 14,780
Agilent Technologies Inc. 4.450% 9/14/12 68,475 72,021
Agilent Technologies Inc. 6.500% 11/1/17 8,325 9,091
CA Inc. 6.125% 12/1/14 11,000 12,070
Cisco Systems Inc. 5.250% 2/22/11 21,990 22,809
Cisco Systems Inc. 2.900% 11/17/14 5,000 5,088
Computer Sciences Corp. 5.000% 2/15/13 15,000 15,963
Computer Sciences Corp. 5.500% 3/15/13 35,210 38,068
Dell Inc. 3.375% 6/15/12 11,400 11,895
Dell Inc. 4.700% 4/15/13 18,890 20,415
Dun & Bradstreet Corp. 6.000% 4/1/13 25,050 27,097
Electronic Data Systems LLC 6.000% 8/1/13 45,357 50,959
Fiserv Inc. 6.125% 11/20/12 52,045 56,954
3 Hewlett-Packard Co. 0.317% 6/15/10 23,450 23,453
Hewlett-Packard Co. 2.250% 5/27/11 27,825 28,285
Hewlett-Packard Co. 2.950% 8/15/12 8,250 8,539
Hewlett-Packard Co. 4.500% 3/1/13 95,083 102,008
Hewlett-Packard Co. 6.125% 3/1/14 14,487 16,424
Hewlett-Packard Co. 4.750% 6/2/14 33,830 36,791
IBM International Group Capital LLC 5.050% 10/22/12 51,580 56,079
International Business Machines Corp. 4.950% 3/22/11 31,150 32,312
International Business Machines Corp. 4.750% 11/29/12 14,025 15,193
International Business Machines Corp. 2.100% 5/6/13 63,500 64,317


Intuit Inc. 5.400% 3/15/12 9,200 9,789
Lexmark International Inc. 5.900% 6/1/13 18,400 19,681
Microsoft Corp. 2.950% 6/1/14 17,450 17,863
3 Oracle Corp. 0.310% 5/14/10 93,775 93,777
Oracle Corp. 5.000% 1/15/11 21,562 22,224
Oracle Corp. 4.950% 4/15/13 19,338 21,083
Oracle Corp. 3.750% 7/8/14 17,550 18,423
Pitney Bowes Inc. 4.875% 8/15/14 4,500 4,857
Pitney Bowes Inc. 5.000% 3/15/15 21,870 23,559
Xerox Corp. 6.875% 8/15/11 27,655 29,461
Xerox Corp. 5.500% 5/15/12 9,088 9,701
Xerox Corp. 5.650% 5/15/13 12,830 13,792
Xerox Corp. 4.250% 2/15/15 26,750 27,423
 
Transportation (1.1%)        
American Airlines Pass Through Trust 2001-        
01 6.817% 5/23/11 7,453 7,472
American Airlines Pass Through Trust 2001-        
02 7.858% 10/1/11 15,885 16,401
5 American Airlines Pass Through Trust 2003-        
01 3.857% 7/9/10 5,511 5,511
Burlington Northern Santa Fe LLC 5.900% 7/1/12 4,800 5,216
Canadian National Railway Co. 6.375% 10/15/11 4,325 4,652
5 Continental Airlines 1997-4 Class A Pass        
Through Trust 6.900% 1/2/18 2,852 2,874
5 Continental Airlines 1998-1 Class A Pass        
Through Trust 6.648% 9/15/17 2,601 2,614
5 Continental Airlines 2005-ERJ1 Pass Through        
Trust 9.798% 4/1/21 7,427 7,055
CSX Corp. 6.750% 3/15/11 24,540 25,757
CSX Corp. 6.300% 3/15/12 10,668 11,546
CSX Corp. 5.500% 8/1/13 6,900 7,527
CSX Corp. 6.250% 4/1/15 4,262 4,819
Delta Air Lines Inc. 7.570% 11/18/10 66,365 67,775
5 Delta Air Lines Inc. 5.869% 3/18/11 1,932 1,966
Delta Air Lines Inc. 7.111% 9/18/11 17,510 18,254
Delta Air Lines Inc. 6.417% 7/2/12 9,690 9,811
5 Delta Air Lines Inc. 8.021% 8/10/22 4,477 4,276
6 ERAC USA Finance LLC 8.000% 1/15/11 8,400 8,793
6 ERAC USA Finance LLC 5.800% 10/15/12 14,600 15,868
6 ERAC USA Finance LLC 5.600% 5/1/15 7,339 8,008
Greenbrier Cos. Inc. 8.375% 5/15/15 9,113 8,612
3 JetBlue Airways 2004-1 G-1 Pass Through        
Trust 0.632% 12/15/13 11,805 10,374
3 JetBlue Airways 2004-1 G-2 Pass Through        
Trust 0.677% 3/15/14 25,765 21,768
3 JetBlue Airways 2004-2 G-2 Pass Through        
Trust 0.700% 11/15/16 19,135 14,399
Norfolk Southern Corp. 8.625% 5/15/10 10,290 10,313
Norfolk Southern Corp. 6.750% 2/15/11 16,300 17,037
Ryder System Inc. 6.000% 3/1/13 39,370 42,498
6 Southwest Airlines Co. 10.500% 12/15/11 24,225 27,374
Union Pacific Corp. 3.625% 6/1/10 19,320 19,349
Union Pacific Corp. 5.450% 1/31/13 4,580 4,987
        10,396,061


Utilities (5.3%)        
  Electric (4.1%)        
  Alabama Power Co. 4.850% 12/15/12 6,640 7,201
  Ameren Corp. 8.875% 5/15/14 25,100 29,418
  American Water Capital Corp. 6.085% 10/15/17 29,200 31,885
  Appalachian Power Co. 5.550% 4/1/11 19,000 19,748
  Appalachian Power Co. 5.650% 8/15/12 16,820 18,245
  Carolina Power & Light Co. 6.500% 7/15/12 21,037 23,234
  Carolina Power & Light Co. 5.125% 9/15/13 7,898 8,659
  Carolina Power & Light Co. 5.150% 4/1/15 4,900 5,415
  CenterPoint Energy Houston Electric LLC 5.700% 3/15/13 2,950 3,253
  Cleveland Electric Illuminating Co. 5.650% 12/15/13 2,925 3,158
3 CMS Energy Corp. 1.253% 1/15/13 10,000 9,562
  Commonwealth Edison Co. 5.400% 12/15/11 14,049 14,933
  Commonwealth Edison Co. 6.150% 3/15/12 11,200 12,166
  Commonwealth Edison Co. 4.700% 4/15/15 2,807 3,006
  Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 5,000 5,390
  Consumers Energy Co. 4.000% 5/15/10 22,567 22,589
  Consumers Energy Co. 5.000% 2/15/12 4,300 4,567
  Consumers Energy Co. 5.375% 4/15/13 33,610 36,597
  Dominion Resources Inc. 5.700% 9/17/12 12,107 13,195
  Dominion Resources Inc. 5.000% 3/15/13 3,800 4,095
3,5 Dominion Resources Inc. 6.300% 9/30/66 37,740 36,250
  DPL Inc. 6.875% 9/1/11 44,692 47,693
  Duke Energy Carolinas LLC 5.300% 10/1/15 4,900 5,456
  Duke Energy Corp. 3.350% 4/1/15 19,500 19,589
  Duke Energy Ohio Inc. 2.100% 6/15/13 23,100 23,281
6 EDP Finance BV 5.375% 11/2/12 60,896 64,143
6 Enel Finance International SA 3.875% 10/7/14 42,550 42,850
  Entergy Arkansas Inc. 5.400% 8/1/13 42,280 46,501
  FirstEnergy Corp. 6.450% 11/15/11 345 366
  Florida Power Corp. 6.650% 7/15/11 3,400 3,620
  Florida Power Corp. 4.800% 3/1/13 7,180 7,721
5,6 FPL Energy Marcus Hook LP 7.590% 7/10/18 18,635 20,831
3 FPL Group Capital Inc. 1.138% 6/17/11 23,250 23,400
3 FPL Group Capital Inc. 0.650% 11/9/12 25,750 25,685
3,5 FPL Group Capital Inc. 6.350% 10/1/66 8,820 8,320
3 Georgia Power Co. 0.577% 3/15/13 31,000 31,058
5,6 GWF Energy LLC 6.131% 12/30/11 2,941 2,985
6 Iberdrola Finance Ireland Ltd. 3.800% 9/11/14 9,700 9,813
6 International Transmission Co. 4.450% 7/15/13 8,800 9,340
6 Israel Electric Corp. Ltd. 7.250% 1/15/19 5,500 6,034
  MidAmerican Energy Co. 5.650% 7/15/12 39,025 42,301
  Midamerican Energy Holdings Co. 3.150% 7/15/12 36,805 37,946
  Midamerican Energy Holdings Co. 5.000% 2/15/14 3,000 3,197
  National Rural Utilities Cooperative Finance        
  Corp. 7.250% 3/1/12 24,300 26,856
  National Rural Utilities Cooperative Finance        
  Corp. 2.625% 9/16/12 26,340 26,996
  National Rural Utilities Cooperative Finance        
  Corp. 5.500% 7/1/13 34,423 37,925
  National Rural Utilities Cooperative Finance        
  Corp. 4.750% 3/1/14 4,900 5,292
  Nevada Power Co. 8.250% 6/1/11 5,525 5,913
  Nevada Power Co. 6.500% 4/15/12 8,150 8,873
  Nevada Power Co. 5.875% 1/15/15 6,650 7,316
6 Niagara Mohawk Power Corp. 3.553% 10/1/14 4,830 4,900
  Northeast Utilities 7.250% 4/1/12 16,260 17,789


  Northeast Utilities 5.650% 6/1/13 23,225 25,275
  Northern States Power Co. 4.750% 8/1/10 7,350 7,418
  Northern States Power Co. 8.000% 8/28/12 20,550 23,542
  NSTAR Electric Co. 4.875% 10/15/12 5,430 5,868
  Ohio Power Co. 5.300% 11/1/10 10,030 10,228
  Oncor Electric Delivery Co. LLC 6.375% 5/1/12 28,820 31,247
  Oncor Electric Delivery Co. LLC 5.950% 9/1/13 32,595 35,841
  Pacific Gas & Electric Co. 4.200% 3/1/11 11,950 12,273
  Pacific Gas & Electric Co. 6.250% 12/1/13 12,596 14,275
  Peco Energy Co. 5.950% 11/1/11 8,500 9,107
  Peco Energy Co. 5.600% 10/15/13 7,300 8,173
  Peco Energy Co. 5.000% 10/1/14 4,855 5,318
3 Pepco Holdings Inc. 0.877% 6/1/10 11,510 11,511
  PG&E Corp. 5.750% 4/1/14 41,850 45,999
3,5 PPL Capital Funding Inc. 6.700% 3/30/67 20,650 18,859
  PPL Electric Utilities Corp. 7.125% 11/30/13 4,660 5,446
  PPL Energy Supply LLC 5.400% 8/15/14 8,725 9,400
  Progress Energy Inc. 7.100% 3/1/11 3,170 3,325
  Progress Energy Inc. 6.850% 4/15/12 31,660 34,667
  Progress Energy Inc. 6.050% 3/15/14 10,430 11,626
6 PSEG Power LLC 2.500% 4/15/13 16,525 16,577
  PSEG Power LLC 5.000% 4/1/14 9,650 10,251
  Public Service Co. of Colorado 7.875% 10/1/12 6,741 7,703
  Public Service Electric & Gas Co. 5.125% 9/1/12 6,215 6,730
  Public Service Electric & Gas Co. 5.000% 8/15/14 9,500 10,183
  Sierra Pacific Power Co. 5.450% 9/1/13 9,280 10,058
  Southern California Edison Co. 5.750% 3/15/14 12,925 14,523
3 Southern Co. 0.705% 10/21/11 31,800 31,938
  Southern Co. 5.300% 1/15/12 7,426 7,911
  Southern Co. 4.150% 5/15/14 4,650 4,893
  Tampa Electric Co. 6.875% 6/15/12 19,330 21,338
  Tampa Electric Co. 6.375% 8/15/12 7,459 8,211
6 Trans-Allegheny Interstate Line Co. 4.000% 1/15/15 34,100 34,189
  Virginia Electric and Power Co. 4.750% 3/1/13 11,305 12,141
  Wisconsin Energy Corp. 6.500% 4/1/11 35,040 36,810
 
  Natural Gas (1.2%)        
  AGL Capital Corp. 7.125% 1/14/11 9,900 10,320
3,5 Enbridge Energy Partners LP 8.050% 10/1/37 4,615 4,689
  Energy Transfer Partners LP 5.650% 8/1/12 12,660 13,613
  Energy Transfer Partners LP 6.000% 7/1/13 18,540 20,238
  Enterprise Products Operating LLC 7.500% 2/1/11 24,400 25,517
  Enterprise Products Operating LLC 4.600% 8/1/12 21,450 22,648
  Enterprise Products Operating LLC 5.650% 4/1/13 34,270 37,338
  Enterprise Products Operating LLC 5.900% 4/15/13 36,800 40,232
  Enterprise Products Operating LLC 9.750% 1/31/14 25,925 31,917
3,5 Enterprise Products Operating LLC 8.375% 8/1/66 20,700 21,543
6 Gulf South Pipeline Co. LP 5.750% 8/15/12 23,400 25,287
  Kinder Morgan Energy Partners LP 6.750% 3/15/11 3,750 3,937
  Kinder Morgan Energy Partners LP 5.850% 9/15/12 14,600 15,878
  Magellan Midstream Partners LP 6.450% 6/1/14 3,650 4,101
6 NGPL PipeCo LLC 6.514% 12/15/12 38,845 42,602
  ONEOK Partners LP 8.875% 6/15/10 7,950 8,028
  ONEOK Partners LP 5.900% 4/1/12 15,090 16,134
  Plains All American Pipeline LP / PAA        
  Finance Corp. 4.250% 9/1/12 14,465 15,171
6 Rockies Express Pipeline LLC 6.250% 7/15/13 18,400 20,185
6 Rockies Express Pipeline LLC 3.900% 4/15/15 4,850 4,831


3,5 Southern Union Co. 7.200% 11/1/66 17,625 16,501
3,5 TransCanada PipeLines Ltd. 6.350% 5/15/67 7,500 7,172
 
6 Williams Partners LP 3.800% 2/15/15 19,400 19,663
          1,926,955
Total Corporate Bonds (Cost $24,027,775)       24,370,550
Sovereign Bonds (U.S. Dollar-Denominated) (0.8%)        
6 Abu Dhabi National Energy Co. 5.620% 10/25/12 4,000 4,176
6 Abu Dhabi National Energy Co. 4.750% 9/15/14 12,000 12,075
6 Abu Dhabi National Energy Co. 5.875% 10/27/16 4,000 4,133
6 Central American Bank for Economic        
  Integration 5.375% 9/24/14 10,000 10,497
6 Emirate of Abu Dhabi 5.500% 4/8/14 9,740 10,574
  Export-Import Bank of Korea 5.500% 10/17/12 17,800 18,984
6 Gaz Capital SA for Gazprom 6.212% 11/22/16 5,500 5,555
6,8 Hana Bank 6.500% 4/9/12 4,580 4,897
6 Industrial Bank of Korea 7.125% 4/23/14 6,700 7,485
6,9 Irish Life & Permanent Group Holdings PLC 3.600% 1/14/13 10,000 10,049
  Korea Development Bank 5.300% 1/17/13 18,675 19,806
6 Korea Gas Corp. 6.000% 7/15/14 4,500 4,892
6 MDC-GMTN B.V. 5.750% 5/6/14 16,200 17,339
6 National Agricultural Cooperative Federation 5.000% 9/30/14 10,000 10,502
  Petrobras International Finance Co. 9.125% 7/2/13 5,587 6,619
  Petrobras International Finance Co. 7.750% 9/15/14 1,600 1,859
5,6 Petroleum Co. of Trinidad & Tobago Ltd. 6.000% 5/8/22 5,800 5,613
5,6 Petroleum Export Ltd. 4.623% 6/15/10 639 639
6 Petronas Capital Ltd. 7.000% 5/22/12 20,700 22,839
5,6 PF Export Receivables Master Trust 3.748% 6/1/13 4,526 4,449
5,6 PF Export Receivables Master Trust 6.436% 6/1/15 9,388 9,864
6 Qatar Government International Bond 5.150% 4/9/14 3,200 3,436
6 Qatar Government International Bond 4.000% 1/20/15 8,000 8,208
5,6 Qatar Petroleum 5.579% 5/30/11 7,835 8,072
5,6 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 14,590 15,129
6 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500% 9/30/14 6,675 7,216
6 TDIC Finance Ltd. 6.500% 7/2/14 14,000 15,238
6 TransCapitalInvest Ltd. for OJSC AK        
  Transneft 5.670% 3/5/14 22,675 23,648
Total Sovereign Bonds (Cost $259,754)       273,793
Taxable Municipal Bonds (0.4%)        
  Board of Trustees of The Leland Stanford        
  Junior University 3.625% 5/1/14 4,000 4,184
  Duke University 4.200% 4/1/14 7,200 7,697
3 Florida Hurricane Catastrophe Fund Finance        
  Corp. Rev. 1.034% 10/15/12 47,450 45,708
  Howard Hughes Medical Institute 3.450% 9/1/14 6,200 6,435
  Illinois GO 2.766% 1/1/12 29,000 29,301
  Illinois GO 4.071% 1/1/14 29,000 29,325
  New York City NY IDA Special Fac. Rev.        
  (American Airlines Inc. J.F.K International        
  Project) 7.500% 8/1/16 3,400 3,430
Total Taxable Municipal Bonds (Cost $108,743)       126,080


        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
Tax-Exempt Municipal Bonds (0.1%)        
3 California Housing Finance Agency Home        
  Mortgage Rev. VRDO 0.290% 8/1/37 LOC 10,660 10,660
3 California Housing Finance Agency Multifamily        
  Housing Rev. VRDO 0.290% 2/1/37 LOC 16,215 16,215
          26,875
Total Tax-Exempt Municipal Bonds (Cost $26,875)       26,875
        Shares  
Convertible Preferred Stock (0.0%)        
Financials (0.0%)        
7 Lehman Brothers Holdings Inc. Pfd. 7.250%   29,160 44
 
Total Convertible Preferred Stocks (Cost $29,160)       44
Preferred Stocks (0.3%)        
  Southern California Edison Co. Pfd. 6.050%   717,682 71,842
  Goldman Sachs Group Inc. Pfd. 4.000%   1,107,375 22,391
  Santander Finance Preferred SA Unipersonal        
  Pfd. 10.500%   311,773 8,471
  General Electric Capital Corp. Pfd. 6.450%   300,000 7,548
  Aspen Insurance Holdings Ltd. Pfd. 7.401%   262,600 6,093
  Federal National Mortgage Assn. Pfd. 4.500%   934,000 1,046
Total Preferred Stocks (Cost $145,039)       117,391
Temporary Cash Investment (1.7%)        
Money Market Fund (1.7%)        
10 Vanguard Market Liquidity Fund (Cost        
  $629,005) 0.210%   629,005,154 629,005
Total Investments (99.9%) (Cost $35,462,742)       36,064,204
Other Assets and Liabilities-Net (0.1%)       34,986
Net Assets (100%)       36,099,190

1 Securities with a value of $22,083,000 have been segregated as initial margin for open futures contracts.
2 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.
3 Adjustable-rate security.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
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 April 30, 2010, the aggregate value of these securities was $5,915,423,000, representing 16.4% of net assets.
7 Non-income-producing security--security in default.
8 Guaranteed by the Republic of Korea.
9 Guaranteed by the Republic of Ireland.
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
IDA—Industrial Development Authority Bond.
REIT—Real Estate Investment Trust.
VRDO—Variable Rate Demand Obligation.


Short-Term Investment-Grade Fund

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. 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.

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

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

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

        ($000)
    Number of Aggregate  
    Long (Short) Settlement Unrealized
    Contracts Value Appreciation
Futures Contracts Expiration   Long (Short)  (Depreciation)
5-Year U.S. Treasury Note June 2010 (22,118) (2,562,578) (17,647)
2-Year U.S. Treasury Note June 2010 8,710 1,895,105 4,686
10-Year U.S. Treasury Note June 2010 (1,039) (122,504) (847)

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


Short-Term Investment-Grade Fund

C. 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 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 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 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, by 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.


Short-Term Investment-Grade Fund          
 
 
 
 
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 6/20/12 DBAG 18,400 — 0.400 4
Johnson & Johnson/Aaa 9/20/12 UBSAG 7,340 — 0.080 (36)
Johnson & Johnson/Aaa 9/20/12 GSCM 18,345 — 0.070 (92)
Bank of America Corp./A2 3/20/15 DBAG 10,660 245 1.000 59
Metlife Inc./A2 3/20/15 DBAG 11,700 706 1.000 258
Credit Protection Purchased            
Barclays Bank 6/20/10 BOANA 4,000 — (1.680) (5)
Goldman Sachs & Co. 6/20/10 JPMC 13,000 (203) (1.000) (24)
Wells Fargo 6/20/10 DBAG 11,000 (250) (1.000) (38)
Wells Fargo 9/20/10 DBAG 12,000 45 (1.000) (8)
Goldman Sachs & Co. 3/20/11 BOANA 10,000 — (1.000) (1)
Wells Fargo 3/20/11 BOANA 13,000 43 (1.000) (27)
Barclays Bank 6/20/11 RBS 10,000 66 (1.000) 28
Goldman Sachs & Co. 6/20/11 MSCS 48,800 (57) (1.000) (66)
Goldman Sachs & Co. 6/20/11 BOANA 34,000 20 (1.000) 12
Goldman Sachs & Co. 6/20/11 MSCS 48,800 17 (1.000) 6
AT&T Inc. 6/20/13 GSCM 12,700 — (1.040) (160)
Merrill Lynch 9/20/13 BOANA 14,700 — (2.900) (526)
Citigroup Inc. 6/20/14 BOANA 34,200 (1,462) (5.000) (5,657)
Bank of America Corp. 12/20/14 DBAG 13,300 (167) (1.000) 90
Bank of America Corp. 12/20/14 BARC 13,300 (155) (1.000) 101
Bank of America Corp. 12/20/14 BARC 9,700 (95) (1.000) 90
Wells Fargo 3/20/15 GSCM 10,660 (90) (1.000) (199)
            (6,191)

1 BARC—Barclays Bank PLC.
BOANA—Bank of America, N.A.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
MSCS—Morgan Stanley Capital Services.
JPMC—JP Morgan Chase Bank.
RBS—Royal Bank of Scotland.
UBSAG—UBS AG.
WFC—Wachovia Bank N.A.


Short-Term Investment-Grade Fund        
 
 
At April 30, 2010, the fund had the following open swap contracts:    
         
 
Interest Rate Swaps        
        Floating  
      Fixed Interest  
      Interest Rate Rate Unrealized
    Notional Received Received Appreciation
    Amount (Paid) (Paid)  (Depreciation)
Termination Date Counterparty1 ($000) (%) (%) ($000)
5/18/2010 BARC 48,900 2.550 (0.250) 2 41
6/15/2010 BARC 25,000 2.590 (0.260) 2 65
9/30/2010 BARC 683,814 3.440 (0.290) 2 8,278
11/6/2010 BARC 26,104 1.350 (0.250) 3 120
11/6/2010 BARC 40,154 1.350 (0.250) 3 184
11/6/2010 GSCM 11,674 1.360 (0.250) 3 54
11/6/2010 WFC 10,193 1.360 (0.250) 3 47
11/15/2010 GSCM 2,700 0.630 (0.250) 3 3
12/15/2010 WFC 17,550 1.020 (0.250) 3 61
1/18/2011 BOANA 6,830 0.740 (0.260) 3 13
3/15/2011 BARC 8,900 0.550 (0.280) 2 (4)
4/15/2011 BOANA 25,400 1.050 (0.250) 3 117
5/15/2011 BARC 5,200 0.600 (0.250) 3 0
5/16/2011 BOANA 3,400 0.940 (0.260) 3 12
5/16/2011 WFC 3,380 0.980 (0.260) 3 13
6/15/2011 GSCM 6,700 1.320 (0.250) 3 51
6/15/2011 WFC 1,325 1.320 (0.250) 3 10
7/15/2011 JPMC 15,200 1.290 (0.250) 3 112
7/15/2011 WFC 16,700 1.320 (0.250) 3 129
7/15/2011 BARC 112,500 1.200 (0.250) 3 707
7/15/2011 GSCM 16,000 1.300 (0.250) 3 119
7/15/2011 WFC 7,800 1.300 (0.250) 3 58
7/15/2011 GSCM 3,380 1.090 (0.250) 3 17


Short-Term Investment-Grade Fund        
 
7/15/2011 BOANA 10,355 1.090 (0.250) 3 52
8/15/2011 GSCM 3,400 1.090 (0.250) 3 16
8/15/2011 BOANA 13,850 0.830 (0.250) 3 21
8/15/2011 WFC 17,100 0.740 (0.250) 3 6
9/15/2011 WFC 6,625 1.410 (0.250) 3 58
9/15/2011 BARC 15,796 1.400 (0.250) 3 138
9/15/2011 BOANA 26,100 0.840 (0.250) 3 30
10/6/2011 WFC 57,210 1.720 (0.250) 3 755
10/6/2011 BARC 76,060 1.720 (0.250) 3 1,007
10/15/2011 WFC 5,000 1.510 (0.250) 3 51
10/15/2011 WFC 26,400 0.930 (0.300) 2 15
10/21/2011 WFC 31,800 1.340 (0.310) 2 210
11/15/2011 GSCM 9,700 1.360 (0.250) 3 76
11/15/2011 WFC 13,900 1.480 (0.250) 3 134
11/15/2011 WFC 2,250 1.500 (0.250) 3 23
12/6/2011 WFC 180,666 2.020 (0.250) 2 3,011
1/15/2012 WFC 10,200 1.380 (0.250) 3 76
1/15/2012 WFC 11,520 1.230 (0.250) 3 55
1/15/2012 WFC 19,400 1.150 (0.250) 3 68
1/15/2012 WFC 4,150 1.080 (0.250) 3 9
1/15/2012 WFC 380 1.050 (0.250) 3 1
1/15/2012 WFC 10,400 1.060 (0.250) 3 21
2/6/2012 WFC 61,196 1.490 (0.250) 3 548
2/15/2012 BOANA 36,100 1.770 (0.250) 3 497
2/23/2012 GSCM 146,200 1.210 (0.250) 2 334
3/6/2012 GSCM 55,124 1.500 (0.250) 3 489
4/15/2012 GSCM 8,940 1.540 (0.250) 3 80
4/15/2012 WFC 11,270 1.540 (0.250) 3 101
4/16/2012 WFC 5,075 1.990 (0.260) 3 89
4/16/2012 BOANA 890 1.570 (0.260) 3 9


Short-Term Investment-Grade Fund        
 
4/20/2012 JPMC 45,000 1.180 (0.300) 2 8
5/15/2012 GSCM 89,500 1.900 (0.250) 3 1,398
5/15/2012 BOANA 2,075 1.350 (0.250) 3 9
5/15/2012 WFC 28,000 1.260 (0.250) 3 78
5/15/2012 WFC 48,800 1.140 (0.260) 3 17
6/15/2012 BARC 69,900 1.660 (0.250) 3 709
6/15/2012 BARC 3,280 1.680 (0.250) 3 35
6/15/2012 BARC 17,425 1.610 (0.250) 3 162
6/15/2012 WFC 55,500 1.570 (0.250) 3 466
6/15/2012 WFC 40,600 1.450 (0.250) 3 234
6/15/2012 JPMC 2,770 1.350 (0.250) 3 10
7/15/2012 GSCM 41,000 1.730 (0.250) 3 458
7/15/2012 WFC 23,000 1.710 (0.250) 3 247
7/15/2012 BARC 36,250 1.680 (0.250) 3 366
7/15/2012 WFC 3,425 1.450 (0.250) 3 17
7/15/2012 WFC 8,970 1.450 (0.250) 3 45
7/15/2012 JPMC 26,620 1.370 (0.250) 3 89
7/16/2012 WFC 3,650 1.590 (0.250) 3 30
8/15/2012 WFC 77,375 1.850 (0.250) 3 1,015
8/15/2012 JPMC 11,450 1.440 (0.240) 3 47
8/20/2012 WFC 29,300 1.770 (0.260) 3 331
9/6/2012 GSCM 66,031 2.070 (0.250) 3 1,181
9/6/2012 BOANA 88,131 2.070 (0.250) 3 1,561
9/15/2012 GSCM 62,700 1.860 (0.250) 3 795
9/15/2012 WFC 27,325 1.760 (0.250) 3 282
10/15/2012 WFC 5,260 1.800 (0.250) 3 56
10/15/2012 BOANA 23,900 1.750 (0.250) 3 226
10/20/2012 BARC 19,100 1.760 (0.260) 3 182
10/20/2012 BARC 18,900 2.040 (0.260) 3 306
10/22/2012 BOANA 10,950 2.450 (0.260) 3 289


Short-Term Investment-Grade Fund        
 
11/9/2012 WFC 25,750 1.860 (0.250) 2 241
11/15/2012 WFC 6,650 1.900 (0.250) 3 83
11/15/2012 BARC 13,205 1.950 (0.250) 3 180
11/15/2012 WFC 9,510 1.810 (0.250) 3 97
11/15/2012 WFC 1,448 1.560 (0.250) 3 6
12/6/2012 BARC 94,300 2.330 (0.250) 2 1,941
12/6/2012 BARC 7,800 1.930 (0.250) 2 82
12/15/2012 BOANA 11,000 2.210 (0.260) 2 190
12/15/2012 WFC 42,980 1.820 (0.250) 3 411
12/15/2012 WFC 39,500 1.760 (0.250) 3 317
12/15/2012 WFC 88,458 1.720 (0.250) 3 603
12/15/2012 GSCM 87,700 1.600 (0.260) 2 138
12/17/2012 BARC 7,900 2.380 (0.260) 3 189
12/17/2012 BOANA 87,300 2.030 (0.260) 3 1,310
12/17/2012 WFC 26,400 2.260 (0.260) 2 493
12/17/2012 WFC 21,050 1.990 (0.260) 2 249
1/15/2013 WFC 116,600 1.720 (0.250) 3 722
1/15/2013 WFC 110,800 1.770 (0.300) 2 575
1/15/2013 JPMC 10,000 1.630 (0.300) 2 16
2/15/2013 WFC 3,900 1.960 (0.250) 3 44
2/15/2013 WFC 27,500 1.710 (0.250) 3 127
2/15/2013 WFC 1,730 1.890 (0.250) 3 17
2/15/2013 WFC 24,210 1.730 (0.250) 3 125
2/20/2013 WFC 18,200 1.930 (0.260) 3 191
3/15/2013 WFC 2,400 2.100 (0.250) 3 35
3/15/2013 WFC 6,600 2.170 (0.250) 3 109
3/15/2013 BARC 11,750 2.380 (0.250) 3 264
3/15/2013 WFC 1,100 1.850 (0.250) 3 9
3/15/2013 JPMC 89,700 1.740 (0.250) 3 431
3/15/2013 WFC 31,000 1.710 (0.250) 2 44


Short-Term Investment-Grade Fund        
 
3/15/2013 JPMC 30,573 1.720 (0.250) 3 128
4/5/2013 GSCM 50,535 1.770 (0.250) 3 235
6/15/2013 GSCM 9,300 2.350 (0.250) 3 180
7/15/2013 BARC 10,000 2.530 (0.250) 3 244
7/15/2013 BOANA 54,488 2.190 (0.250) 3 752
9/15/2013 WFC 49,000 2.330 (0.260) 2 669
9/15/2013 WFC 30,000 1.950 (0.250) 3 117
9/16/2013 GSCM 16,750 2.290 (0.260) 2 206
11/15/2013 WFC 3,190 2.040 (0.250) 3 14
11/15/2013 WFC 44,700 2.040 (0.250) 3 193
11/15/2013 BARC 13,300 2.240 (0.250) 3 149
11/15/2013 WFC 20,600 2.090 (0.250) 3 126
11/17/2013 JPMC 7,695 2.170 (0.260) 3 67
12/1/2013 GSCM 43,112 2.580 (0.250) 2 845
12/1/2013 WFC 128,237 2.580 (0.250) 2 2,497
12/1/2013 GSCM 128,237 2.580 (0.250) 2 2,507
3/6/2014 GSCM 128,659 2.450 (0.250) 3 1,860
3/15/2014 WFC 14,000 2.660 (0.250) 3 307
3/15/2014 WFC 7,500 2.210 (0.250) 3 37
4/15/2014 WFC 26,200 2.210 (0.250) 3 96
5/15/2014 GSCM 2,675 2.300 (0.250) 3 16
6/15/2014 WFC 10,400 2.340 (0.250) 3 64
6/16/2014 WFC 105 2.580 (0.250) 3 2
7/15/2014 WFC 13,720 2.310 (0.250) 3 51
8/15/2014 WFC 78,750 2.680 (0.250) 3 1,394
3/24/2015 GSCM 4,380 2.910 (0.260) 3 85
2/17/2015 GSCM 156,300 2.555 (0.250) 2 —
6/1/2016 WFC 14,500 2.910 (0.250) 2 (39)
8/15/2016 GSCM 11,460 3.030 (0.250) 3 59
8/15/2016 BOANA 5,320 3.230 (0.260) 3 90
12/15/2016 WFC   3.370 (0.260) 2 273


Short-Term Investment-Grade Fund        
 
   16,300      
12/15/2016 WFC 13,800 3.330 (0.300) 2 197
12/15/2016 GSCM 25,000 3.330 (0.300) 2 359
12/15/2016 JPMC 18,575 3.260 (0.300) 2 186
12/15/2016 WFC 11,050 3.260 (0.250) 2 111
1/15/2017 BARC 2,570 2.970 (0.250) 3 (12)
2/15/2017 WFC 85,000 3.370 (0.250) 3 1,620
2/15/2017 GSCM 45,000 3.430 (0.250) 3 1,023
2/15/2017 BARC 3,380 3.180 (0.250) 3 24
6/15/2017 GSCM 9,860 3.490 (0.250) 3 225
6/15/2017 BARC 4,960 3.470 (0.250) 3 108
6/15/2017 GSCM 21,550 3.400 (0.250) 3 367
6/15/2017 BOANA 25,000 3.310 (0.250) 3 280
9/15/2017 GSCM 58,750 3.520 (0.250) 3 1,291
9/15/2017 BARC 54,900 3.360 (0.250) 3 623
          57,701

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 3-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on 1-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

Total Return Swaps        
      Floating Unrealized
    Notional   Interest Rate Appreciation
    Amount Received (Depreciation)
Reference Entity/Termination Date Counterparty¹ ($000) (Paid) ($000)
Commercial Mortgage-Backed Securities Index        
7/1/10 BARC 16,925 (0.250)² 402
8/1/10 BARC 16,925 (0.250)² 402
9/1/10 BARC 16,925 (0.250)² 282
10/1/10 BARC 16,925 (0.250)² 282
        1,368


Short-Term Investment-Grade Fund

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

At April 30, 2010, counterparties had deposited in segregated accounts securities with a value sufficient to cover substantially all amounts due to the fund in connection with open swap contracts

D. 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 April 30, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 2,211,787 —
Asset-Backed/Commercial Mortgage-Backed Securities — 8,308,679 —
Corporate Bonds — 24,370,550 —
Sovereign Bonds — 273,793 —
Taxable Municipal Bonds — 126,080 —
Tax-Exempt Municipal Bonds — 26,875 —
Convertible Preferred Stocks 44 — —
Preferred Stocks 117,391 — —
Temporary Cash Investments 629,005 — —
Futures Contracts—Assets1 1,633 — —
Futures Contracts—Liabilities1 (7,480) — —
Swap Contracts—Assets — 59,772 —
Swap Contracts—Liabilities — (6,894) —
Total 740,593 35,370,642 —
1 Represents variation margin on the last day of the reporting period.      

E. At April 30, 2010, the cost of investment securities for tax purposes was $35,495,498,000. Net unrealized appreciation of investment securities for tax purposes was $568,706,000, consisting of unrealized gains of $1,017,747,000 on securities that had risen in value since their purchase and $449,041,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Federal Fund

Schedule of Investments
As of April 30, 2010

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.1%)        
U.S. Government Securities (23.3%)        
  United States Treasury Note/Bond 0.750% 11/30/11 42,500 42,493
  United States Treasury Note/Bond 0.875% 2/29/12 168,500 168,448
  United States Treasury Note/Bond 1.000% 3/31/12 593,000 593,741
  United States Treasury Note/Bond 1.375% 11/15/12 35,500 35,600
  United States Treasury Note/Bond 1.375% 2/15/13 18,000 17,989
  United States Treasury Note/Bond 1.375% 3/15/13 30,000 29,939
  United States Treasury Note/Bond 2.375% 10/31/14 51,000 51,311
  United States Treasury Note/Bond 2.500% 3/31/15 340,000 341,754
          1,281,275
Agency Bonds and Notes (68.7%)        
1 Federal Farm Credit Bank 2.125% 6/18/12 98,500 100,472
1 Federal Farm Credit Bank 2.625% 4/17/14 54,000 54,887
1 Federal Home Loan Banks 5.000% 5/13/11 80,000 83,679
1 Federal Home Loan Banks 1.125% 5/18/12 82,000 81,995
1 Federal Home Loan Banks 3.625% 6/8/12 25,000 26,210
1 Federal Home Loan Banks 1.625% 9/26/12 50,000 50,337
1 Federal Home Loan Banks 1.625% 3/20/13 19,000 19,014
1 Federal Home Loan Banks 1.875% 6/21/13 124,500 125,090
1 Federal Home Loan Banks 5.250% 9/13/13 35,000 38,716
1,2 Federal Home Loan Banks 3.625% 10/18/13 50,000 52,875
1 Federal Home Loan Banks 4.875% 11/27/13 35,000 38,397
1 Federal Home Loan Banks 2.375% 3/14/14 25,000 25,125
1 Federal Home Loan Mortgage Corp. 1.125% 12/15/11 9,000 9,040
1 Federal Home Loan Mortgage Corp. 2.125% 3/23/12 123,200 125,721
1 Federal Home Loan Mortgage Corp. 1.750% 6/15/12 291,000 294,588
1,3 Federal Home Loan Mortgage Corp. 2.000% 6/15/12 50,000 50,086
1 Federal Home Loan Mortgage Corp. 2.125% 9/21/12 25,000 25,466
1,3 Federal Home Loan Mortgage Corp. 1.700% 12/17/12 240,000 240,240
1 Federal Home Loan Mortgage Corp. 1.375% 1/9/13 182,250 181,751
1 Federal Home Loan Mortgage Corp. 4.500% 1/15/13 36,170 39,041
1 Federal Home Loan Mortgage Corp. 1.625% 4/15/13 21,500 21,485
1 Federal Home Loan Mortgage Corp. 5.000% 1/30/14 15,000 16,548
1 Federal Home Loan Mortgage Corp. 2.500% 4/23/14 149,500 151,258
1,3 Federal Home Loan Mortgage Corp. 3.625% 8/25/14 12,500 12,609
1 Federal Home Loan Mortgage Corp. 2.875% 2/9/15 124,000 125,627
1 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 25,000 27,918
1 Federal National Mortgage Assn. 1.000% 11/23/11 44,300 44,431
1 Federal National Mortgage Assn. 6.125% 3/15/12 75,900 83,063
1,3 Federal National Mortgage Assn. 1.250% 4/5/12 38,000 38,043
1 Federal National Mortgage Assn. 1.875% 4/20/12 48,000 48,751
1,3 Federal National Mortgage Assn. 2.150% 5/4/12 50,000 50,002
1 Federal National Mortgage Assn. 4.875% 5/18/12 500 538
1 Federal National Mortgage Assn. 1.250% 6/22/12 24,000 24,026
1,3 Federal National Mortgage Assn. 2.000% 9/28/12 100,000 100,481
1,3 Federal National Mortgage Assn. 1.750% 12/28/12 50,000 50,246
1,3 Federal National Mortgage Assn. 1.800% 2/8/13 50,000 50,085
1 Federal National Mortgage Assn. 1.750% 2/22/13 217,250 218,321
1,3 Federal National Mortgage Assn. 1.800% 3/15/13 20,000 20,002


1,3 Federal National Mortgage Assn. 2.000% 4/15/13 100,000 100,293
1,3 Federal National Mortgage Assn. 2.050% 4/26/13 100,000 100,561
1,3 Federal National Mortgage Assn. 1.875% 5/6/13 54,000 54,038
1 Federal National Mortgage Assn. 1.750% 5/7/13 207,000 207,368
1,3 Federal National Mortgage Assn. 2.000% 5/10/13 65,000 65,112
1 Federal National Mortgage Assn. 2.750% 2/5/14 195,500 200,282
1 Federal National Mortgage Assn. 2.750% 3/13/14 25,000 25,572
1 Federal National Mortgage Assn. 4.125% 4/15/14 40,500 43,483
1,3 Federal National Mortgage Assn. 3.300% 7/30/14 30,000 30,183
1,3 Federal National Mortgage Assn. 3.500% 8/25/14 45,000 45,387
1,3 Federal National Mortgage Assn. 3.000% 3/9/15 100,000 100,612
1 Federal National Mortgage Assn. 4.375% 10/15/15 52,500 56,378
          3,775,433
Conventional Mortgage-Backed Securities (5.5%)        
1,3 Fannie Mae Pool 4.000% 1/1/25–2/1/25 16,213 16,507
1,3 Fannie Mae Pool 5.000% 8/1/20–12/1/23 94,736 100,371
1,3 Fannie Mae Pool 5.500% 11/1/21–12/1/22 35,936 38,497
1,3 Fannie Mae Pool 6.000% 4/1/17 4,925 5,316
1,3 Fannie Mae Pool 6.500% 10/1/10–9/1/16 8,168 8,805
1,3 Fannie Mae Pool 7.500% 3/1/15–8/1/15 309 329
1,3 Fannie Mae Pool 8.000% 10/1/14–9/1/15 1,482 1,602
1,3 Freddie Mac Gold Pool 4.500% 5/1/23–7/1/24 54,625 56,884
1,3 Freddie Mac Gold Pool 5.000% 7/1/23–8/1/23 22,923 24,269
1,3 Freddie Mac Gold Pool 5.500% 2/1/16–11/1/17 16,975 18,316
1,3 Freddie Mac Gold Pool 6.000% 1/1/14–3/1/24 26,870 28,970
1,3 Freddie Mac Gold Pool 6.500% 9/1/11 44 45
          299,911
Nonconventional Mortgage-Backed Securities (1.6%)        
1,3 Fannie Mae Pool 2.794% 6/1/33 4,151 4,282
1,3 Fannie Mae Pool 3.277% 10/1/33 4,025 4,149
1,3 Fannie Mae Pool 3.445% 9/1/33 9,341 9,775
1,3 Fannie Mae Pool 3.462% 8/1/34 3,248 3,319
1,3 Fannie Mae Pool 3.482% 9/1/33 4,201 4,352
1,3 Fannie Mae Pool 3.550% 8/1/33 3,733 3,895
1,3 Fannie Mae Pool 3.589% 7/1/33 4,739 4,933
1,3 Fannie Mae Pool 3.635% 8/1/33 1,417 1,458
1,3 Fannie Mae Pool 3.792% 6/1/34 14,000 14,631
1,3 Fannie Mae Pool 4.777% 6/1/38 3,460 3,618
1,3 Fannie Mae Pool 6.282% 9/1/36 10,033 10,650
1,3 Fannie Mae Pool 6.357% 9/1/36 8,425 8,969
1,3 Freddie Mac Non Gold Pool 3.701% 8/1/33 1,969 2,033
1,3 Freddie Mac Non Gold Pool 5.247% 11/1/38 3,322 3,494
1,3 Freddie Mac Non Gold Pool 5.951% 5/1/36 4,457 4,704
1,3 Freddie Mac REMICS 4.500% 10/15/18 894 925
1,3 Freddie Mac REMICS 4.500% 3/15/22 1,400 1,456
          86,643
Total U.S. Government and Agency Obligations (Cost $5,395,256)     5,443,262


Temporary Cash Investment (3.8%)        
Repurchase Agreement (3.8%)        
RBS Securities, Inc.        
(Dated 4/30/10, Repurchase Value        
$208,227,000, collateralized by U.S.        
Treasury Note, 1.500%, 12/31/13) (Cost        
$208,224) 0.200% 5/3/10 208,224 208,224
 
Total Investments (102.9%) (Cost $5,603,480)       5,651,486
Other Assets and Liabilities-Net (-2.9%)       (160,191)
Net Assets (100%)       5,491,295

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 Securities with a value of $3,966,000 have been segregated as initial margin for open futures contracts.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

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

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

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

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

        ($000)
    Aggregate
     Number of Settlement Unrealized
    Long (Short)  Value  Appreciation
Futures Contracts Expiration  Contracts Long (Short)  (Depreciation)
2-Year U.S. Treasury Note June 2010 (3,143) (683,848) (2,100)
5-Year U.S. Treasury Note June 2010 (432) (50,051) (433)
10-Year U.S. Treasury Note June 2010 (81) (9,550) (66)

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

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used


Short-Term Federal Fund

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 April 30, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations - 5,443,262 -
Temporary Cash Investments - 208,224 -
Futures Contracts—Assets1 57 - -
Futures Contracts—Liabilities1 (882) - -
Total (825) 5,651,486 -
1 Represents variation margin on the last day of the reporting period.      

D. At April 30, 2010, the cost of investment securities for tax purposes was $5,605,851,000. Net unrealized appreciation of investment securities for tax purposes was $45,635,000, consisting of unrealized gains of $46,470,000 on securities that had risen in value since their purchase and $835,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Treasury Fund

Schedule of Investments
As of April 30, 2010

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (98.1%)        
U.S. Government Securities (98.1%)        
United States Treasury Note/Bond 7.875% 2/15/21 185,581 252,797
United States Treasury Note/Bond 8.125% 5/15/21 84,875 117,804
United States Treasury Note/Bond 7.250% 8/15/22 14,000 18,460
United States Treasury Note/Bond 7.125% 2/15/23 102,500 134,147
1 United States Treasury Note/Bond 6.250% 8/15/23 251,000 306,925
United States Treasury Note/Bond 6.375% 8/15/27 92,650 116,363
United States Treasury Note/Bond 6.125% 11/15/27 94,000 115,165
United States Treasury Note/Bond 5.250% 11/15/28 74,000 82,545
United States Treasury Note/Bond 5.250% 2/15/29 141,200 157,415
United States Treasury Note/Bond 6.125% 8/15/29 71,800 88,494
United States Treasury Note/Bond 5.375% 2/15/31 168,095 190,840
United States Treasury Note/Bond 4.750% 2/15/37 88,000 91,864
United States Treasury Note/Bond 5.000% 5/15/37 113,250 122,788
United States Treasury Note/Bond 4.375% 2/15/38 238,500 233,768
United States Treasury Note/Bond 4.500% 5/15/38 21,000 21,003
United States Treasury Note/Bond 3.500% 2/15/39 375,000 313,361
United States Treasury Note/Bond 4.250% 5/15/39 123,500 117,962
United States Treasury Note/Bond 4.500% 8/15/39 67,000 66,696
United States Treasury Note/Bond 4.375% 11/15/39 129,500 126,303
United States Treasury Note/Bond 4.625% 2/15/40 4,000 4,064
Total U.S. Government and Agency Obligations (Cost $2,599,924)     2,678,764
Temporary Cash Investment (0.9%)        
Repurchase Agreement (0.9%)        
RBS Securities, Inc.        
(Dated 4/30/10, Repurchase Value        
$23,733,000, collateralized by U.S.        
Treasury Note, 4.500%, 2/28/11) (Cost        
$23,733) 0.200% 5/3/10 23,733 23,733
 
Total Investments (99.0%) (Cost $2,623,657)       2,702,497
Other Assets and Liabilities-Net (1.0%)       28,312
Net Assets (100%)       2,730,809
1 Securities with a value of $2,690,000 have been segregated as initial margin for open futures contracts.

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

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


Long-Term Treasury Fund

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

        ($000)
    Number of Aggregate  
    Long (Short) Settlement Unrealized
    Contracts Value Appreciation
Futures Contracts Expiration   Long (Short)  (Depreciation)
10-Year U.S. Treasury Note June 2010 52 6,131 1

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

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

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

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations - 2,678,764 -
Temporary Cash Investments - 23,733 -
Futures Contracts—Assets1 1 - -
Futures Contracts—Liabilities1 (42) - -
Total (41) 2,702,497 -
1 Represents variation margin on the last day of the reporting period.      

D. At April 30, 2010, the cost of investment securities for tax purposes was $2,642,855,000. Net unrealized appreciation of investment securities for tax purposes was $59,642,000, consisting of unrealized gains of $140,805,000 on securities that had risen in value since their purchase and $81,163,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Treasury Fund

Schedule of Investments
As of April 30, 2010

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (98.3%)        
U.S. Government Securities (96.8%)        
United States Treasury Note/Bond 0.875% 4/30/11 250,000 251,015
United States Treasury Note/Bond 0.875% 5/31/11 300,000 301,266
United States Treasury Note/Bond 1.000% 7/31/11 375,000 376,991
United States Treasury Note/Bond 1.000% 9/30/11 45,000 45,211
United States Treasury Note/Bond 4.500% 9/30/11 100,000 105,438
United States Treasury Note/Bond 1.000% 10/31/11 250,000 251,095
United States Treasury Note/Bond 4.625% 10/31/11 20,000 21,178
1 United States Treasury Note/Bond 1.750% 11/15/11 600,000 609,468
United States Treasury Note/Bond 0.750% 11/30/11 320,000 319,949
United States Treasury Note/Bond 4.500% 11/30/11 192,000 203,370
United States Treasury Note/Bond 1.125% 12/15/11 346,300 348,302
United States Treasury Note/Bond 1.000% 12/31/11 400,000 401,252
United States Treasury Note/Bond 4.625% 12/31/11 121,500 129,246
United States Treasury Note/Bond 1.125% 1/15/12 180,000 180,929
United States Treasury Note/Bond 0.875% 1/31/12 68,000 68,021
United States Treasury Note/Bond 0.875% 2/29/12 100,000 99,969
United States Treasury Note/Bond 1.000% 3/31/12 338,000 338,422
United States Treasury Note/Bond 1.875% 6/15/12 292,000 297,247
United States Treasury Note/Bond 1.375% 9/15/12 305,000 306,525
United States Treasury Note/Bond 1.375% 10/15/12 145,000 145,589
United States Treasury Note/Bond 1.375% 11/15/12 42,000 42,118
United States Treasury Note/Bond 1.375% 1/15/13 72,000 72,022
United States Treasury Note/Bond 3.875% 2/15/13 40,000 42,762
United States Treasury Note/Bond 1.750% 4/15/13 200,000 201,500
United States Treasury Note/Bond 3.125% 9/30/13 115,000 120,354
United States Treasury Note/Bond 2.000% 11/30/13 338,500 340,829
United States Treasury Note/Bond 1.500% 12/31/13 98,000 96,821
United States Treasury Note/Bond 1.750% 1/31/14 150,000 149,204
United States Treasury Note/Bond 1.875% 2/28/14 12,000 11,974
United States Treasury Note/Bond 1.875% 4/30/14 100,000 99,469
United States Treasury Note/Bond 2.250% 5/31/14 30,000 30,244
United States Treasury Note/Bond 2.625% 6/30/14 30,000 30,647
United States Treasury Note/Bond 2.625% 7/31/14 120,000 122,437
United States Treasury Note/Bond 2.375% 8/31/14 85,000 85,810
United States Treasury Note/Bond 2.375% 9/30/14 125,000 125,918
        6,372,592
Agency Bonds and Notes (1.5%)        
2 Overseas Private Investment Corp. 7.450% 12/15/10 2,727 2,784
Private Export Funding Corp. 7.250% 6/15/10 64,080 64,583
Private Export Funding Corp. 6.070% 4/30/11 29,000 30,605
        97,972
Conventional Mortgage-Backed Securities (0.0%)        
2,3 Fannie Mae Pool 7.000% 11/1/15–3/1/16 902 973
2,3 Freddie Mac Gold Pool 5.500% 4/1/16–5/1/16 436 469
2,3 Freddie Mac Gold Pool 7.000% 9/1/15–1/1/16 324 351
        1,793
Total U.S. Government and Agency Obligations (Cost $6,412,461)     6,472,357


      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Temporary Cash Investment (0.4%)        
Repurchase Agreement (0.4%)        
RBS Securities, Inc.        
(Dated 4/30/10, Repurchase Value        
$25,248,000, collateralized by U.S.        
Treasury Note, 4.500%, 2/28/11) (Cost        
$25,248) 0.200% 5/3/10 25,248 25,248
 
Total Investments (98.7%) (Cost $6,437,709)       6,497,605
Other Assets and Liabilities-Net (1.3%)       86,719
Net Assets (100%)       6,584,324

1 Securities with a value of $5,638,000 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.

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

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

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

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

        ($000)
    Number of Aggregate  
    Long (Short) Settlement Unrealized
    Contracts Value Appreciation
Futures Contracts Expiration   Long (Short)  (Depreciation)
2-Year U.S. Treasury Note June 2010 (2,900) (630,977) (2,694)
5-Year U.S. Treasury Note June 2010 3,312 383,726 3,860

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

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used


Short-Term Treasury Fund

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 April 30, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations - 6,472,357 -
Temporary Cash Investments - 25,248 -
Futures Contracts—Assets1 1,029 - -
Futures Contracts—Liabilities1 (544) - -
Total 485 6,497,605 -
1 Represents variation margin on the last day of the reporting period.      

D. At April 30, 2010, the cost of investment securities for tax purposes was $6,438,957,000. Net unrealized appreciation of investment securities for tax purposes was $58,648,000, consisting of unrealized gains of $60,344,000 on securities that had risen in value since their purchase and $1,696,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Treasury Fund

Schedule of Investments
As of April 30, 2010

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.1%)        
U.S. Government Securities (94.6%)        
  United States Treasury Note/Bond 0.875% 1/31/12 7,000 7,002
  United States Treasury Note/Bond 1.375% 3/15/13 48,000 47,903
  United States Treasury Note/Bond 2.750% 10/31/13 125,000 129,180
  United States Treasury Note/Bond 1.875% 2/28/14 267,000 266,415
  United States Treasury Note/Bond 1.750% 3/31/14 145,000 143,776
  United States Treasury Note/Bond 1.875% 4/30/14 260,000 258,619
  United States Treasury Note/Bond 2.625% 6/30/14 300,000 306,468
  United States Treasury Note/Bond 2.375% 10/31/14 53,000 53,323
1 United States Treasury Note/Bond 4.000% 2/15/15 191,000 205,653
  United States Treasury Note/Bond 4.125% 5/15/15 229,000 247,856
  United States Treasury Note/Bond 4.250% 8/15/15 395,000 429,626
  United States Treasury Note/Bond 2.625% 2/29/16 975,000 967,531
  United States Treasury Note/Bond 2.375% 3/31/16 410,000 400,521
  United States Treasury Note/Bond 2.625% 4/30/16 72,000 71,202
  United States Treasury Note/Bond 3.125% 10/31/16 372,000 374,790
  United States Treasury Note/Bond 2.750% 11/30/16 105,000 103,294
  United States Treasury Note/Bond 4.250% 11/15/17 30,000 32,105
  United States Treasury Note/Bond 3.500% 2/15/18 426,000 432,722
  United States Treasury Note/Bond 3.875% 5/15/18 100,000 103,844
  United States Treasury Note/Bond 3.750% 11/15/18 100,000 102,141
  United States Treasury Note/Bond 2.750% 2/15/19 200,000 188,438
  United States Treasury Note/Bond 3.125% 5/15/19 200,000 193,250
  United States Treasury Note/Bond 3.625% 8/15/19 95,000 95,148
  United States Treasury Note/Bond 8.500% 2/15/20 34,000 47,579
  United States Treasury Note/Bond 8.750% 8/15/20 114,000 163,038
  United States Treasury Note/Bond 7.875% 2/15/21 130,000 177,085
  United States Treasury Note/Bond 8.125% 5/15/21 35,000 48,579
  United States Treasury Note/Bond 8.125% 8/15/21 72,000 100,114
          5,697,202
Agency Bonds and Notes (3.6%)        
2 Overseas Private Investment Corp. 7.600% 12/15/12 10,360 11,146
2 Overseas Private Investment Corp. 7.050% 11/15/13 14,063 15,339
  Private Export Funding Corp. 7.250% 6/15/10 135,920 136,987
  Private Export Funding Corp. 6.070% 4/30/11 51,000 53,822
          217,294
Conventional Mortgage-Backed Securities (0.0%)        
2,3 Freddie Mac Gold Pool 5.500% 4/1/16–5/1/16 1,116 1,199
2,3 Freddie Mac Gold Pool 7.000% 5/1/15–3/1/16 348 376
          1,575
Nonconventional Mortgage-Backed Securities (0.9%)        
2,3 Fannie Mae Grantor Trust 5.763% 12/25/11 20,000 21,294
2,3 Fannie Mae Grantor Trust 7.300% 5/25/10 30,000 30,007
          51,301
Total U.S. Government and Agency Obligations (Cost $5,901,251)     5,967,372


      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Temporary Cash Investment (0.4%)        
Repurchase Agreement (0.4%)        
RBS Securities, Inc.        
(Dated 4/30/10, Repurchase Value        
$21,708,000, collateralized by U.S.        
Treasury Note, 4.500%, 2/28/11) (Cost        
$21,708) 0.200% 5/3/10 21,708 21,708
 
Total Investments (99.5%) (Cost $5,922,959)       5,989,080
Other Assets and Liabilities-Net (0.5%)       30,789
Net Assets (100%)       6,019,869

1 Securities with a value of $5,922,000 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.

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

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

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

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

        ($000)
    Number of Aggregate  
    Long (Short) Settlement Unrealized
    Contracts Value Appreciation
Futures Contracts Expiration   Long (Short)  (Depreciation)
2-Year U.S. Treasury Note June 2010 (3,034) (660,132) (2,439)
5-Year U.S. Treasury Note June 2010 (914) (105,895) (542)
10-Year U.S. Treasury Note June 2010 1,116 131,583 1,727

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

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used


Intermediate-Term Treasury Fund

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 April 30, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations - 5,967,372 -
Temporary Cash Investments - 21,708 -
Futures Contracts—Assets1 625 - -
Futures Contracts—Liabilities1 (923) - -
Total (298) 5,989,080 -
1 Represents variation margin on the last day of the reporting period.      

D. At April 30, 2010, the cost of investment securities for tax purposes was $5,951,361,000. Net unrealized appreciation of investment securities for tax purposes was $37,719,000, consisting of unrealized gains of $56,269,000 on securities that had risen in value since their purchase and $18,550,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard High-Yield Corporate Fund        
 
 
 
Schedule of Investments        
As of April 30, 2010        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (2.9%)        
U.S. Government Securities (2.9%)        
  United States Treasury Note/Bond 4.875% 7/31/11 78,020 82,214
  United States Treasury Note/Bond 4.000% 11/15/12 69,315 74,167
  United States Treasury Note/Bond 4.250% 8/15/13 56,900 61,719
  United States Treasury Note/Bond 2.250% 5/31/14 132,000 133,073
Total U.S. Government and Agency Obligations (Cost $336,421)     351,173
Corporate Bonds (94.2%)        
Finance (10.2%)        
  Banking (4.7%)        
  BAC Capital Trust XI 6.625% 5/23/36 100,245 91,889
  BankAmerica Capital II 8.000% 12/15/26 14,590 14,663
  Capital One Capital V 10.250% 8/15/39 48,480 58,324
  Capital One Capital VI 8.875% 5/15/40 30,000 33,238
1 Citigroup Capital XXI 8.300% 3/15/57 121,575 121,575
  Citigroup Inc. 5.500% 2/15/17 56,260 56,095
  LBG Capital No.1 PLC 7.875% 11/1/20 131,265 120,107
  NB Capital Trust IV 8.250% 4/15/27 24,250 24,371
2 Provident Funding Associates 10.250% 4/15/17 48,700 50,405
 
  Finance Companies (3.1%)        
^ CIT Group Funding Co. of Delaware LLC 10.250% 5/1/13 3,037 3,166
  CIT Group Funding Co. of Delaware LLC 10.250% 5/1/14 4,556 4,749
  CIT Group Funding Co. of Delaware LLC 10.250% 5/1/15 4,556 4,749
  CIT Group Funding Co. of Delaware LLC 10.250% 5/1/16 7,593 7,896
  CIT Group Funding Co. of Delaware LLC 10.250% 5/1/17 10,630 11,055
^ CIT Group Inc. 7.000% 5/1/13 10,764 10,603
  CIT Group Inc. 7.000% 5/1/14 16,147 15,582
  CIT Group Inc. 7.000% 5/1/15 16,147 15,420
  CIT Group Inc. 7.000% 5/1/16 26,911 25,599
  CIT Group Inc. 7.000% 5/1/17 57,676 54,864
2 GMAC Inc. 8.300% 2/12/15 76,590 80,228
2 GMAC Inc. 8.000% 3/15/20 86,575 89,172
  GMAC Inc. 8.000% 11/1/31 46,815 45,469
 
  Insurance (2.1%)        
1 Hartford Financial Services Group Inc. 8.125% 6/15/38 81,335 83,919
2 Liberty Mutual Group Inc. 7.800% 3/15/37 43,845 40,948
2 Metlife Capital Trust IV 7.875% 12/15/37 29,325 31,083
2 MetLife Capital Trust X 9.250% 4/8/38 33,000 38,957
  Provident Cos. Inc. 7.000% 7/15/18 31,750 33,608
^ Unum Group 6.750% 12/15/28 20,560 19,263
  Unum Group 7.375% 6/15/32 6,295 4,982
 
  Other Finance (0.3%)        
  Lender Processing Services Inc. 8.125% 7/1/16 30,335 32,345
 
          1,224,324


Industrial (75.2%)        
  Basic Industry (10.0%)        
  Arch Western Finance LLC 6.750% 7/1/13 80,530 80,933
2 Ashland Inc. 9.125% 6/1/17 24,880 28,239
2 Cascades Inc. 7.750% 12/15/17 32,775 33,431
2 Cascades Inc. 7.875% 1/15/20 10,620 10,726
3,4 CDW TLB Bank Loan 4.253% 10/12/14 92,341 86,108
  CF Industries Inc. 6.875% 5/1/18 21,795 22,749
  CF Industries Inc. 7.125% 5/1/20 13,080 13,767
3,4 CIT Group Exp TL Bank Loan 9.500% 1/31/12 17,149 17,669
3,4 CIT Group Inc. Bank Loan 13.000% 1/18/12 16,478 16,976
2 Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.250% 12/15/17 27,020 27,763
2 Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.500% 12/15/19 15,580 16,164
2 Consol Energy Inc. 8.000% 4/1/17 34,455 36,350
2 Consol Energy Inc. 8.250% 4/1/20 49,305 52,263
2 Drummond Co. Inc. 9.000% 10/15/14 6,010 6,280
3,4 Federal Mogul Term Bank Loan 2.188% 12/27/15 29,068 26,569
3,4 First Data TLB-1 Bank Loan 3.013% 9/24/14 50,070 45,021
3,4 First Data TLB-2 Bank Loan 3.032% 9/24/14 9,671 8,682
  Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 27,000 30,240
3,4 Freescale Semiconductor Inc Bank Loan 4.499% 12/1/13 59,064 58,739
2 Georgia-Pacific LLC 7.125% 1/15/17 78,040 81,942
  Georgia-Pacific LLC 8.000% 1/15/24 17,955 19,436
2 LBI Escrow Corp. 8.000% 11/1/17 28,590 29,662
  Methanex Corp. 8.750% 8/15/12 28,910 29,994
  Neenah Paper Inc. 7.375% 11/15/14 28,380 28,380
  Novelis Inc. 7.250% 2/15/15 93,555 91,684
3,4 Rite Aid Bank Loan 9.500% 6/15/15 20,670 21,501
  Solutia Inc. 8.750% 11/1/17 6,570 6,981
  Teck Resources Ltd. 10.750% 5/15/19 26,475 32,994
  United States Steel Corp. 7.000% 2/1/18 47,650 48,126
2 Vedanta Resources PLC 8.750% 1/15/14 9,725 10,663
2 Vedanta Resources PLC 9.500% 7/18/18 77,190 85,452
  Weyerhaeuser Co. 7.375% 10/1/19 37,950 41,340
  Weyerhaeuser Co. 7.375% 3/15/32 53,550 53,819
 
  Capital Goods (4.8%)        
  Alliant Techsystems Inc. 6.750% 4/1/16 24,125 24,788
  Ball Corp. 7.125% 9/1/16 3,380 3,591
  Ball Corp. 6.625% 3/15/18 18,800 19,176
  Ball Corp. 7.375% 9/1/19 4,890 5,147
2 Bombardier Inc. 7.500% 3/15/18 32,985 35,047
2 Bombardier Inc. 7.750% 3/15/20 33,085 35,235
2 Case New Holland Inc. 7.750% 9/1/13 23,465 24,404
  Case New Holland Inc. 7.125% 3/1/14 64,950 66,574
2 Cemex Finance LLC 9.500% 12/14/16 54,175 55,596
  Crown Americas LLC / Crown Americas        
  Capital Corp. 7.750% 11/15/15 20,635 21,512
2 Fibria Overseas Finance Ltd. 9.250% 10/30/19 44,770 51,862
2 Fibria Overseas Finance Ltd. 7.500% 5/4/20 29,490 29,384
  Masco Corp. 6.125% 10/3/16 7,785 7,944
  Masco Corp. 6.625% 4/15/18 3,895 3,934
  Masco Corp. 7.125% 3/15/20 5,515 5,637
  Masco Corp. 6.500% 8/15/32 21,385 19,131
  Owens Corning 9.000% 6/15/19 39,840 47,908


2 Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 7.750% 10/15/16 63,525 65,590
TransDigm Inc. 7.750% 7/15/14 9,680 9,874
2 TransDigm Inc. 7.750% 7/15/14 16,960 17,299
United Rentals North America Inc. 10.875% 6/15/16 29,190 32,693
 
Communication (16.8%)        
Belo Corp. 8.000% 11/15/16 9,750 10,189
2 Cablevision Systems Corp. 8.625% 9/15/17 53,150 56,472
Cablevision Systems Corp. 7.750% 4/15/18 8,085 8,166
2 CCO Holdings LLC / CCO Holdings Capital        
Corp. 7.875% 4/30/18 29,210 29,940
2 CCO Holdings LLC / CCO Holdings Capital        
Corp. 8.125% 4/30/20 34,580 35,617
2 Cenveo Corp. 8.875% 2/1/18 48,750 50,091
2 Cequel Communications Holdings I LLC and        
Cequel Capital Corp. 8.625% 11/15/17 24,350 24,837
Cincinnati Bell Inc. 8.250% 10/15/17 48,625 48,990
Cincinnati Bell Inc. 8.750% 3/15/18 55,315 56,006
2 Clear Channel Worldwide Holdings Inc. 9.250% 12/15/17 9,115 9,719
2 Clear Channel Worldwide Holdings Inc. 9.250% 12/15/17 48,120 51,549
^ Cricket Communications Inc. 9.375% 11/1/14 79,830 82,824
^ Cricket Communications Inc. 10.000% 7/15/15 2,430 2,576
Cricket Communications Inc. 7.750% 5/15/16 24,260 25,230
2 CSC Holdings LLC 8.500% 4/15/14 20,540 22,081
CSC Holdings LLC 7.875% 2/15/18 29,580 31,392
CSC Holdings LLC 7.625% 7/15/18 79,045 83,195
2 CSC Holdings LLC 8.625% 2/15/19 10,520 11,493
Equinix Inc. 8.125% 3/1/18 35,120 36,525
Frontier Communications Corp. 8.250% 5/1/14 58,395 61,607
Frontier Communications Corp. 8.125% 10/1/18 58,200 59,946
GCI Inc. 7.250% 2/15/14 53,475 53,609
2 Inmarsat Finance PLC 7.375% 12/1/17 14,580 15,305
Intelsat Corp. 9.250% 8/15/14 58,350 60,392
Intelsat Jackson Holdings SA 9.500% 6/15/16 6,705 7,149
2 Intelsat Jackson Holdings SA 8.500% 11/1/19 11,335 11,958
Intelsat SA 6.500% 11/1/13 46,555 46,206
Intelsat Subsidiary Holding Co. SA 8.500% 1/15/13 61,265 62,337
2 Intelsat Subsidiary Holding Co. SA 8.875% 1/15/15 18,095 18,774
Interpublic Group of Cos. Inc. 6.250% 11/15/14 24,300 25,029
Interpublic Group of Cos. Inc. 10.000% 7/15/17 26,670 30,537
Lamar Media Corp. 6.625% 8/15/15 18,680 18,376
2 Lamar Media Corp. 7.875% 4/15/18 11,890 12,217
Liberty Media LLC 5.700% 5/15/13 83,150 83,358
Liberty Media LLC 8.500% 7/15/29 14,595 13,756
Liberty Media LLC 8.250% 2/1/30 46,115 43,463
Mediacom Broadband LLC / Mediacom        
Broadband Corp. 8.500% 10/15/15 47,845 49,280
5 MediaNews Group Inc. 6.875% 10/1/13 26,317 3
^ MetroPCS Wireless Inc. 9.250% 11/1/14 68,110 70,834
MetroPCS Wireless Inc. 9.250% 11/1/14 23,170 24,039
2 New Communications Holdings Inc. 7.875% 4/15/15 6,910 7,126
2 New Communications Holdings Inc. 8.250% 4/15/17 17,625 18,220
2 New Communications Holdings Inc. 8.500% 4/15/20 19,645 20,136
2 New Communications Holdings Inc. 8.750% 4/15/22 9,735 9,978
1 Quebecor Media Inc. 7.750% 3/15/16 49,585 49,709
Quebecor Media Inc. 7.750% 3/15/16 48,600 48,722
Qwest Communications International Inc. 7.500% 2/15/14 24,000 24,420


2 Qwest Communications International Inc. 8.000% 10/1/15 25,000 26,875
2 Qwest Communications International Inc. 7.125% 4/1/18 26,445 27,371
  Qwest Corp. 6.875% 9/15/33 24,815 23,915
2 SBA Telecommunications Inc. 8.000% 8/15/16 11,105 11,688
2 SBA Telecommunications Inc. 8.250% 8/15/19 11,105 11,882
2 Sinclair Television Group Inc. 9.250% 11/1/17 26,530 28,254
  Sprint Capital Corp. 6.900% 5/1/19 24,395 23,053
  Sprint Nextel Corp. 6.000% 12/1/16 31,700 29,323
  Videotron Ltee 9.125% 4/15/18 25,380 28,045
2 Virgin Media Secured Finance PLC 6.500% 1/15/18 24,300 24,606
2 Wind Acquisition Finance SA 11.750% 7/15/17 75,775 84,773
  Windstream Corp. 8.125% 8/1/13 11,565 12,114
  Windstream Corp. 8.625% 8/1/16 22,955 23,644
  Windstream Corp. 7.875% 11/1/17 42,820 42,552
  Windstream Corp. 7.000% 3/15/19 9,720 9,161
 
  Consumer Cyclical (13.0%)        
  AMC Entertainment Inc. 8.000% 3/1/14 23,190 23,422
  AMC Entertainment Inc. 8.750% 6/1/19 42,420 44,753
3,4 Ford Motor Credit Co. Bank Loan 3.310% 12/15/13 139,076 134,078
  Ford Motor Credit Co. LLC 7.000% 10/1/13 124,665 128,093
  Ford Motor Credit Co. LLC 8.000% 12/15/16 47,520 50,371
  Ford Motor Credit Co. LLC 8.125% 1/15/20 38,925 41,163
  Goodyear Tire & Rubber Co. 8.625% 12/1/11 19,400 20,200
  Goodyear Tire & Rubber Co. 10.500% 5/15/16 9,690 10,804
  Hanesbrands Inc. 8.000% 12/15/16 22,835 23,863
  Host Hotels & Resorts LP 7.125% 11/1/13 79,045 80,231
  Host Hotels & Resorts LP 6.875% 11/1/14 41,280 42,002
  Host Hotels & Resorts LP 6.750% 6/1/16 7,790 7,868
2 Levi Strauss & Co. 7.625% 5/15/20 17,015 17,206
  Ltd Brands Inc. 7.000% 5/1/20 7,595 7,747
^ Macy's Retail Holdings Inc. 7.450% 7/15/17 23,820 25,785
  Macy's Retail Holdings Inc. 6.700% 7/15/34 9,285 8,728
  Marquee Holdings Inc. 9.505% 8/15/14 38,405 32,068
  MGM Mirage 8.500% 9/15/10 63,725 64,362
  MGM Mirage 6.750% 9/1/12 34,305 33,190
2 MGM Mirage 10.375% 5/15/14 35,945 39,360
2 MGM Mirage 11.125% 11/15/17 18,780 21,245
2 MGM Mirage 9.000% 3/15/20 19,200 20,112
  Navistar International Corp. 8.250% 11/1/21 56,000 59,080
  Phillips-Van Heusen Corp. 7.375% 5/15/20 20,590 21,105
2 QVC Inc. 7.500% 10/1/19 61,535 62,920
  Rite Aid Corp. 9.750% 6/12/16 23,335 25,669
  Rite Aid Corp. 10.375% 7/15/16 38,900 41,720
  Rite Aid Corp. 7.500% 3/1/17 22,610 21,367
  Royal Caribbean Cruises Ltd. 11.875% 7/15/15 24,250 29,161
  Seneca Gaming Corp. 7.250% 5/1/12 22,360 22,220
  Service Corp. International/US 7.375% 10/1/14 15,605 16,112
  Service Corp. International/US 6.750% 4/1/16 22,998 22,998
  Service Corp. International/US 7.000% 6/15/17 38,900 38,900
  Service Corp. International/US 7.625% 10/1/18 35,040 36,266
  Tenneco Inc. 10.250% 7/15/13 24,697 25,314
2 TRW Automotive Inc. 7.000% 3/15/14 96,785 97,995
2 TRW Automotive Inc. 7.250% 3/15/17 44,280 44,612
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 6.625% 12/1/14 36,780 37,148
^ Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 6.625% 12/1/14 55,385 55,939


2 Wynn Las Vegas LLC / Wynn Las Vegas        
Capital Corp. 7.875% 11/1/17 34,000 34,680
 
Consumer Noncyclical (12.7%)        
2 ACCO Brands Corp. 10.625% 3/15/15 9,275 10,318
ARAMARK Corp. 8.500% 2/1/15 100,435 103,071
2 BFF International Ltd. 7.250% 1/28/20 48,750 49,731
Bio-Rad Laboratories Inc. 7.500% 8/15/13 5,745 5,831
Bio-Rad Laboratories Inc. 6.125% 12/15/14 10,295 10,372
Bio-Rad Laboratories Inc. 8.000% 9/15/16 12,800 13,696
Biomet Inc. 10.000% 10/15/17 56,740 62,414
Biomet Inc. 11.625% 10/15/17 16,995 18,992
CHS/Community Health Systems Inc. 8.875% 7/15/15 120,105 124,909
Constellation Brands Inc. 7.250% 9/1/16 65,188 66,981
Constellation Brands Inc. 7.250% 5/15/17 26,605 27,270
3 Elan Finance PLC / Elan Finance Corp. 4.250% 11/15/11 31,930 31,451
Elan Finance PLC / Elan Finance Corp. 8.875% 12/1/13 47,530 49,552
2 Elan Finance PLC / Elan Finance Corp. 8.750% 10/15/16 53,305 54,371
HCA Inc. 5.750% 3/15/14 9,135 8,884
HCA Inc. 6.375% 1/15/15 96,955 94,531
HCA Inc. 6.500% 2/15/16 69,575 67,836
HCA Inc. 9.250% 11/15/16 99,230 106,672
2 HCA Inc. 9.875% 2/15/17 37,945 41,929
2 HCA Inc. 8.500% 4/15/19 23,905 26,385
HCA Inc. 7.690% 6/15/25 4,510 4,285
IASIS Healthcare LLC / IASIS Capital Corp. 8.750% 6/15/14 36,960 37,884
Omnicare Inc. 6.125% 6/1/13 6,565 6,565
Omnicare Inc. 6.750% 12/15/13 18,335 18,495
Omnicare Inc. 6.875% 12/15/15 15,615 15,615
2 Smithfield Foods Inc. 10.000% 7/15/14 30,020 33,660
Smithfield Foods Inc. 7.750% 7/1/17 63,120 62,647
SUPERVALU Inc. 7.500% 11/15/14 39,355 40,339
SUPERVALU Inc. 8.000% 5/1/16 35,485 35,929
Tenet Healthcare Corp. 7.375% 2/1/13 13,755 14,065
Tenet Healthcare Corp. 9.250% 2/1/15 11,445 12,246
2 Tenet Healthcare Corp. 9.000% 5/1/15 43,890 47,840
2 Tenet Healthcare Corp. 10.000% 5/1/18 19,525 22,259
2 Tenet Healthcare Corp. 8.875% 7/1/19 63,575 69,615
Tyson Foods Inc. 10.500% 3/1/14 25,660 30,535
Tyson Foods Inc. 7.850% 4/1/16 47,695 51,749
Ventas Realty LP / Ventas Capital Corp. 6.625% 10/15/14 20,195 20,750
Ventas Realty LP / Ventas Capital Corp. 7.125% 6/1/15 16,405 16,897
Ventas Realty LP / Ventas Capital Corp. 6.500% 6/1/16 17,655 18,185
 
Energy (10.4%)        
2 Arch Coal Inc. 8.750% 8/1/16 14,090 15,076
2 Calpine Corp. 7.250% 10/15/17 91,618 89,099
Chesapeake Energy Corp. 9.500% 2/15/15 15,900 17,490
Chesapeake Energy Corp. 6.625% 1/15/16 48,625 48,078
Chesapeake Energy Corp. 6.875% 1/15/16 39,920 39,820
Chesapeake Energy Corp. 6.500% 8/15/17 72,645 70,375
Chesapeake Energy Corp. 6.250% 1/15/18 45,220 43,863
Denbury Resources Inc. 8.250% 2/15/20 19,004 20,382
Encore Acquisition Co. 9.500% 5/1/16 37,295 40,838
2 Expro Finance Luxembourg SCA 8.500% 12/15/16 70,410 71,796
Forest Oil Corp. 7.250% 6/15/19 31,115 31,582
Hornbeck Offshore Services Inc. 6.125% 12/1/14 36,695 36,512
Hornbeck Offshore Services Inc. 8.000% 9/1/17 16,565 16,793


2 McJunkin Red Man Corp. 9.500% 12/15/16 23,445 24,441
  Newfield Exploration Co. 6.625% 4/15/16 23,985 24,345
  Newfield Exploration Co. 7.125% 5/15/18 56,260 57,948
  Peabody Energy Corp. 7.375% 11/1/16 69,675 74,117
  Peabody Energy Corp. 7.875% 11/1/26 47,685 49,592
  Petrohawk Energy Corp. 9.125% 7/15/13 13,465 14,071
  Petrohawk Energy Corp. 10.500% 8/1/14 32,320 35,875
  Petrohawk Energy Corp. 7.875% 6/1/15 27,920 28,827
2 Petroplus Finance Ltd. 6.750% 5/1/14 47,800 45,051
2 Petroplus Finance Ltd. 7.000% 5/1/17 42,225 38,319
  Pioneer Natural Resources Co. 5.875% 7/15/16 35,730 36,072
  Pioneer Natural Resources Co. 6.650% 3/15/17 68,845 70,700
  Pioneer Natural Resources Co. 6.875% 5/1/18 38,405 39,626
  Pioneer Natural Resources Co. 7.200% 1/15/28 12,855 12,882
  Plains Exploration & Production Co. 7.750% 6/15/15 9,715 9,885
  Plains Exploration & Production Co. 7.000% 3/15/17 15,685 15,528
  Plains Exploration & Production Co. 7.625% 6/1/18 17,780 17,958
  Range Resources Corp. 7.500% 10/1/17 19,450 20,301
2 SandRidge Energy Inc. 9.875% 5/15/16 6,745 7,082
2 SandRidge Energy Inc. 8.000% 6/1/18 38,295 37,625
2 SandRidge Energy Inc. 8.750% 1/15/20 17,550 17,638
  Whiting Petroleum Corp. 7.250% 5/1/12 15,295 15,314
  Whiting Petroleum Corp. 7.250% 5/1/13 19,910 20,159
  Whiting Petroleum Corp. 7.000% 2/1/14 2,635 2,754
 
  Other Industrial (0.5%)        
  Virgin Media Finance PLC 9.500% 8/15/16 43,375 47,496
  Virgin Media Finance PLC 8.375% 10/15/19 14,560 15,251
 
  Technology (5.6%)        
  Alcatel-Lucent USA Inc. 6.450% 3/15/29 108,050 79,147
2 Brocade Communications Systems Inc. 6.625% 1/15/18 9,355 9,612
2 Brocade Communications Systems Inc. 6.875% 1/15/20 9,110 9,383
  Flextronics International Ltd. 6.250% 11/15/14 29,846 30,070
^ Freescale Semiconductor Inc. 8.875% 12/15/14 64,180 63,217
^,2 Freescale Semiconductor Inc. 10.125% 3/15/18 57,255 61,835
2 Freescale Semiconductor Inc. 9.250% 4/15/18 24,300 25,272
  Iron Mountain Inc. 8.000% 6/15/20 22,340 23,178
  Iron Mountain Inc. 8.375% 8/15/21 43,695 46,153
  Jabil Circuit Inc. 7.750% 7/15/16 10,690 11,278
  Jabil Circuit Inc. 8.250% 3/15/18 8,745 9,466
2 Seagate HDD Cayman 6.875% 5/1/20 44,760 44,872
  Seagate Technology HDD Holdings 6.800% 10/1/16 33,035 33,613
2 Seagate Technology International/Cayman        
  Islands 10.000% 5/1/14 48,540 57,277
2 Sorenson Communications Inc. 10.500% 2/1/15 41,375 40,341
  SunGard Data Systems Inc. 9.125% 8/15/13 68,250 69,786
  SunGard Data Systems Inc. 10.250% 8/15/15 10,878 11,463
2 Unisys Corp. 12.750% 10/15/14 40,280 47,128
 
  Transportation (1.4%)        
  Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. 7.625% 5/15/14 8,770 8,901
1 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 4/1/21 29,926 28,430
1 Continental Airlines 2007-1 Class B Pass        
  Through Trust 6.903% 4/19/22 20,723 19,687
  Hertz Corp. 8.875% 1/1/14 78,785 81,345


^ Hertz Corp. 10.500% 1/1/16 32,355 34,701
        9,084,932
Utilities (8.8%)        
Electric (7.8%)        
2 AES Corp. 8.750% 5/15/13 8,284 8,408
AES Corp. 7.750% 10/15/15 49,640 50,633
AES Corp. 8.000% 10/15/17 33,505 34,594
AES Corp. 8.000% 6/1/20 19,980 20,529
Dynegy Holdings Inc. 8.375% 5/1/16 55,465 48,948
Dynegy Holdings Inc. 7.750% 6/1/19 44,450 36,004
^ Edison Mission Energy 7.500% 6/15/13 11,865 10,560
Edison Mission Energy 7.000% 5/15/17 34,385 25,187
Edison Mission Energy 7.200% 5/15/19 33,675 24,246
Energy Future Holdings Corp. 5.550% 11/15/14 64,890 48,343
Energy Future Holdings Corp. 6.500% 11/15/24 77,300 39,809
Energy Future Holdings Corp. 6.550% 11/15/34 66,345 33,836
1 Homer City Funding LLC 8.734% 10/1/26 49,902 47,407
2 Intergen NV 9.000% 6/30/17 57,635 60,373
2 Ipalco Enterprises Inc. 7.250% 4/1/16 11,985 12,494
1 Midwest Generation LLC 8.560% 1/2/16 10,468 10,599
Mirant North America LLC 7.375% 12/31/13 69,140 71,214
NRG Energy Inc. 7.250% 2/1/14 30,145 30,522
NRG Energy Inc. 7.375% 2/1/16 104,430 103,647
NRG Energy Inc. 7.375% 1/15/17 69,725 69,028
^ RRI Energy Inc. 6.750% 12/15/14 61,078 62,605
RRI Energy Inc. 7.875% 6/15/17 24,850 23,918
^ Texas Competitive Electric Holdings Co. LLC 10.250% 11/1/15 87,525 65,425
 
Natural Gas (1.0%)        
El Paso Corp. 12.000% 12/12/13 16,685 19,855
El Paso Corp. 7.000% 6/15/17 21,395 21,876
El Paso Corp. 7.250% 6/1/18 66,150 68,796
 
Kinder Morgan Finance Co. ULC 5.700% 1/5/16 15,000 14,794
        1,063,650
Total Corporate Bonds (Cost $10,858,447)       11,372,906
Sovereign Bond (0.2%)        
2 Fresenius US Finance II Inc. 9.000% 7/15/15 28,475 31,892
Total Sovereign Bonds (Cost $26,796)       31,892
        Market
        Value
      Shares ($000)
Common Stocks (0.3%)        
Financials (0.3%)        
CIT Group Inc.     926,565 37,619
Total Common Stocks (Cost $26,018)       37,619


  Coupon      
Temporary Cash Investments (3.4%)        
Money Market Fund (2.1%)        
6,7 Vanguard Market Liquidity Fund 0.210%   252,083,370 252,083
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Repurchase Agreement (1.3%)        
Goldman Sachs & Co.        
(Dated 4/30/10, Repurchase Value        
$152,403,000, collateralized by        
Government National Mortgage Assn.        
5.000%-6.000%, 4/20/38-11/15/39) 0.200% 5/3/10 152,400 152,400
 
Total Temporary Cash Investments (Cost $404,483)       404,483
Total Investments (101.0%) (Cost $11,652,165)       12,198,073
Other Assets and Liabilities-Net (-1.0%)7       (121,856)
Net Assets (100%)       12,076,217

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $241,561,000.
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 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 April 30, 2010, the aggregate value of these securities was $3,134,359,000, representing 26.0% of net assets.
3 Adjustable-rate security.
4 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 April 30, 2010, the aggregate value of these securities was $415,343,000, representing 3.4% of net assets.
5 Non-income-producing security--security in default.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 Includes $252,083,000 of collateral received for securities on loan.


High-Yield Corporate Fund

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

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

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

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations   351,173  
Corporate Bonds   11,372,906  
Sovereign Bonds   31,892  
Common Stocks 37,619    
Temporary Cash Investments 252,083 152,400  
Total 289,702 11,908,371  

C. At April 30, 2010, the cost of investment securities for tax purposes was $11,652,165,000. Net unrealized appreciation of investment securities for tax purposes was $545,908,000, consisting of unrealized gains of $713,022,000 on securities that had risen in value since their purchase and $167,114,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Investment-Grade Fund        
 
 
 
Schedule of Investments        
As of April 30, 2010        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (3.6%)        
U.S. Government Securities (2.3%)        
United States Treasury Note/Bond 0.875% 5/31/11 7,600 7,632
United States Treasury Note/Bond 1.375% 2/15/13 9,000 8,994
United States Treasury Note/Bond 1.375% 3/15/13 10,000 9,980
United States Treasury Note/Bond 2.250% 5/31/14 1,200 1,210
United States Treasury Note/Bond 2.625% 6/30/14 113,010 115,446
United States Treasury Note/Bond 2.125% 11/30/14 55,000 54,682
United States Treasury Note/Bond 4.125% 5/15/15 28,000 30,306
United States Treasury Note/Bond 4.500% 11/15/15 10,000 11,011
United States Treasury Note/Bond 2.375% 3/31/16 2,000 1,954
United States Treasury Note/Bond 2.625% 4/30/16 4,700 4,648
United States Treasury Note/Bond 3.875% 5/15/18 42,360 43,988
United States Treasury Note/Bond 2.750% 2/15/19 6,395 6,025
United States Treasury Note/Bond 3.625% 8/15/19 34,600 34,654
          330,530
Agency Bonds and Notes (1.3%)        
1,2 Federal Farm Credit Bank 0.209% 5/4/10 43,225 43,225
1,2 Federal Farm Credit Bank 0.179% 5/5/10 97,000 97,000
1,2 Federal Farm Credit Bank 0.189% 8/3/10 43,650 43,649
1,2 Federal Farm Credit Bank 0.639% 10/1/10 4,850 4,856
          188,730
Nonconventional Mortgage-Backed Securities (0.0%)        
2,3 Freddie Mac Non Gold Pool 3.244% 8/1/32 710 713
2,3 Freddie Mac Non Gold Pool 3.393% 9/1/32 297 307
          1,020
Total U.S. Government and Agency Obligations (Cost $518,351)     520,280
Asset-Backed/Commercial Mortgage-Backed Securities (12.2%)      
3,4 Ally Auto Receivables Trust 2.330% 6/17/13 4,750 4,828
3,4 Ally Auto Receivables Trust 3.050% 12/15/14 19,860 20,392
3,4 Ally Auto Receivables Trust 3.000% 10/15/15 1,875 1,926
3,4 Ally Master Owner Trust 2.880% 4/15/13 17,750 17,747
3,4 Ally Master Owner Trust 3.470% 4/15/13 3,900 3,899
3,4 Ally Master Owner Trust 3.870% 4/15/13 1,800 1,800
3,4 Ally Master Owner Trust 4.250% 4/15/17 3,100 3,136
3,4 Ally Master Owner Trust 4.590% 4/15/17 3,280 3,293
1,3,4 American Express Credit Account Master        
  Trust 0.584% 6/17/13 1,230 1,227
1,3,4 American Express Credit Account Master        
  Trust 0.544% 8/15/13 3,000 2,987
1,3,4 American Express Credit Account Master        
  Trust 0.534% 12/15/13 1,500 1,489
1,3,4 American Express Credit Account Master        
  Trust 0.534% 3/17/14 1,500 1,485
1,3,4 American Express Credit Account Master        
  Trust 0.674% 1/15/15 1,160 1,142
1,3 American Express Credit Account Master        
  Trust 1.354% 3/15/16 1,500 1,522


1,3 American Express Credit Account Master        
  Trust 1.354% 3/15/16 930 944
1,3 American Express Credit Account Master        
  Trust 1.354% 4/15/16 1,000 1,015
1,3 American Express Credit Account Master        
  Trust 1.504% 3/15/17 12,750 13,274
1,3 AmeriCredit Automobile Receivables Trust 5.249% 1/6/15 5,500 5,781
1,3 AmeriCredit Automobile Receivables Trust 5.249% 4/6/15 5,000 5,324
3 Americredit Prime Automobile Receivable 2.210% 1/15/14 1,900 1,925
3 Americredit Prime Automobile Receivable 2.900% 12/15/14 1,480 1,518
1,3,4 Arkle Master Issuer PLC 0.000% 5/17/60 62,450 62,450
4 BA Covered Bond Issuer 5.500% 6/14/12 11,000 11,705
1,3 BA Credit Card Trust 0.284% 11/15/13 3,775 3,768
1,3 BA Credit Card Trust 0.254% 4/15/14 4,720 4,699
1,3 BA Credit Card Trust 0.544% 6/15/14 10,000 9,777
1,3 BA Credit Card Trust 0.000% 12/15/14 — —
1,3 BA Credit Card Trust 0.284% 4/15/16 24,240 23,973
1,3 BA Credit Card Trust 0.314% 4/15/16 1,750 1,733
1,3 BA Credit Card Trust 0.314% 9/15/16 14,000 13,844
1,3 BA Credit Card Trust 0.324% 12/15/16 8,000 7,892
1,3 BA Credit Card Trust 0.294% 11/15/19 16,210 15,721
3 Banc of America Commercial Mortgage Inc. 5.115% 10/10/45 7,700 8,075
1,3 Banc of America Commercial Mortgage Inc. 5.634% 4/10/49 30,000 30,949
1,3 Banc of America Commercial Mortgage Inc. 5.867% 4/10/49 6,182 6,075
1,3 Banc of America Commercial Mortgage Inc. 6.373% 2/10/51 20,000 20,447
3,4 Bank of America Auto Trust 3.030% 10/15/16 5,050 5,210
1,3 Bank One Issuance Trust 1.054% 2/15/17 1,200 1,178
3 Bear Stearns Commercial Mortgage        
  Securities 5.628% 4/12/38 8,200 8,676
1,3 Bear Stearns Commercial Mortgage        
  Securities 5.908% 6/11/40 3,740 3,814
3 Bear Stearns Commercial Mortgage        
  Securities 4.945% 2/11/41 7,107 7,292
3 Bear Stearns Commercial Mortgage        
  Securities 4.254% 7/11/42 3,485 3,504
3 Bear Stearns Commercial Mortgage        
  Securities 4.871% 9/11/42 3,530 3,596
3 Bear Stearns Commercial Mortgage        
  Securities 5.297% 10/12/42 9,000 9,477
3 Bear Stearns Commercial Mortgage        
  Securities 5.574% 6/11/50 13,000 13,494
3 Bear Stearns Commercial Mortgage        
  Securities 5.613% 6/11/50 11,900 12,262
1,3,4 BMW Floorplan Master Owner Trust 1.404% 9/15/14 30,665 30,895
1,3 Capital One Multi-Asset Execution Trust 0.544% 3/17/14 9,065 8,946
1,3 Capital One Multi-Asset Execution Trust 0.554% 6/16/14 8,300 8,164
1,3 Capital One Multi-Asset Execution Trust 0.574% 7/15/14 10,700 10,520
1,3 Capital One Multi-Asset Execution Trust 0.554% 11/15/14 13,760 13,433
1,3 Capital One Multi-Asset Execution Trust 0.284% 3/16/15 2,100 2,087
1,3 Capital One Multi-Asset Execution Trust 0.353% 7/15/15 2,750 2,728
1,3 Capital One Multi-Asset Execution Trust 0.000% 9/15/15 — —
1,3 Capital One Multi-Asset Execution Trust 0.314% 1/15/16 16,150 16,001
1,3 Capital One Multi-Asset Execution Trust 0.284% 4/15/16 3,600 3,559
1,3 Capital One Multi-Asset Execution Trust 0.314% 7/15/16 7,900 7,812
1,3 Capital One Multi-Asset Execution Trust 0.464% 12/15/16 1,250 1,241
1,3 Capital One Multi-Asset Execution Trust 0.344% 6/17/19 23,070 22,400
1,3 Capital One Multi-Asset Execution Trust 0.304% 11/15/19 1,130 1,092
1,3 Capital One Multi-Asset Execution Trust 0.334% 12/16/19 60,690 58,752


1,3 Capital One Multi-Asset Execution Trust 0.294% 7/15/20 30,000 28,812
1,3 Chase Issuance Trust 0.694% 1/15/15 5,700 5,634
3 Chrysler Financial Auto Securitization Trust 2.940% 6/8/13 7,530 7,551
3,4 Chrysler Financial Lease Trust 3.460% 9/16/13 1,210 1,208
1,3 Citibank Credit Card Issuance Trust 0.332% 4/24/14 1,700 1,694
1,3 Citibank Credit Card Issuance Trust 0.664% 7/15/14 34,895 33,978
1,3 Citibank Credit Card Issuance Trust 0.656% 2/20/15 6,220 5,994
3 Citibank Credit Card Issuance Trust 4.850% 3/10/17 10,000 10,883
1,3 Citibank Credit Card Issuance Trust 0.732% 3/24/17 1,520 1,425
1,3 Citibank Credit Card Issuance Trust 1.456% 5/22/17 4,400 4,572
1,3 Citibank Credit Card Issuance Trust 0.317% 12/17/18 11,300 11,019
1,3 Citibank Credit Card Issuance Trust 1.631% 5/20/20 11,800 12,579
1,3,4 Citibank Omni Master Trust 2.354% 5/16/16 14,300 14,483
3,4 Citibank Omni Master Trust 5.350% 8/15/18 9,940 10,487
3 Citibank Omni Master Trust 4.900% 11/15/18 38,560 39,920
3,4 CitiFinancial Auto Issuance Trust 2.590% 10/15/13 27,025 27,507
3,4 CitiFinancial Auto Issuance Trust 3.150% 8/15/16 7,300 7,454
3 Citigroup Commercial Mortgage Trust 5.888% 12/10/49 13,000 13,530
3 CNH Equipment Trust 3.000% 8/17/15 12,210 12,397
1,3 Commercial Mortgage Pass Through        
  Certificates 4.982% 5/10/43 1,000 1,034
3 Commercial Mortgage Pass Through        
  Certificates 5.811% 12/10/49 5,600 5,761
1,3 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.104% 8/15/38 2,000 2,082
1,3 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.230% 12/15/40 23,574 24,279
3 Credit Suisse Mortgage Capital Certificates 6.019% 6/15/38 9,534 9,896
3 Credit Suisse Mortgage Capital Certificates 5.911% 6/15/39 11,000 11,394
3 Credit Suisse Mortgage Capital Certificates 5.589% 9/15/40 8,800 9,022
1,3 Discover Card Master Trust 1.554% 12/15/14 33,000 33,660
1,3 Discover Card Master Trust 1.554% 2/17/15 19,125 19,529
1,3 Discover Card Master Trust 0.597% 6/15/15 31,200 31,180
1,3 Discover Card Master Trust 0.904% 9/15/15 13,950 14,066
3 Discover Card Master Trust 5.650% 12/15/15 15,000 16,624
1,3 Discover Card Master Trust I 0.334% 1/19/16 32,000 31,681
1,3 Discover Card Master Trust I 0.334% 9/15/16 11,000 10,868
3 Ford Credit Auto Owner Trust 2.930% 11/15/15 1,000 1,002
3 Ford Credit Auto Owner Trust 3.220% 3/15/16 1,210 1,212
1,3 Ford Credit Floorplan Master Owner Trust 1.804% 9/15/14 22,400 22,607
1,3,4 Ford Credit Floorplan Master Owner Trust 1.904% 12/15/14 18,000 18,221
1,3,4 Ford Credit Floorplan Master Owner Trust 2.504% 12/15/14 16,500 16,866
1,3,4 Ford Credit Floorplan Master Owner Trust 2.904% 12/15/14 37,130 38,090
3 GE Capital Commercial Mortgage Corp. 4.974% 7/10/45 28,700 29,508
3 GE Capital Commercial Mortgage Corp. 4.353% 6/10/48 2,713 2,758
3 Greenwich Capital Commercial Funding        
  Corp. 5.224% 4/10/37 34,100 34,788
3 Greenwich Capital Commercial Funding        
  Corp. 4.799% 8/10/42 8,620 8,785
3 GS Mortgage Securities Corp. II 5.506% 4/10/38 15,000 15,209
3 GS Mortgage Securities Corp. II 4.751% 7/10/39 5,300 5,403
3 Harley-Davidson Motorcycle Trust 3.320% 2/15/17 4,000 4,145
3 Harley-Davidson Motorcycle Trust 2.540% 4/15/17 3,600 3,670
3,4 Hertz Vehicle Financing LLC 5.290% 3/25/16 24,300 25,350
3 Hyundai Auto Receivables Trust 3.150% 3/15/16 4,200 4,341
1,3,4 Hyundai Floorplan Master Owner Trust 1.504% 11/17/14 3,970 3,994
3,4 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.633% 12/5/27 8,840 9,428


1,3 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.475% 4/15/43 20,045 20,563
1,3 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.038% 3/15/46 6,799 7,069
3 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.794% 2/12/51 12,000 12,238
3 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.827% 2/15/51 13,370 13,812
3 LB-UBS Commercial Mortgage Trust 5.347% 11/15/38 53,011 53,470
3 LB-UBS Commercial Mortgage Trust 5.430% 2/15/40 15,275 14,979
1,3 MBNA Credit Card Master Note Trust 1.604% 10/15/14 875 871
1,3 MBNA Credit Card Master Note Trust 0.674% 7/15/15 22,695 21,892
1,3 MBNA Credit Card Master Note Trust 1.154% 11/15/16 10,200 9,853
3 Merrill Lynch Mortgage Trust 5.915% 6/12/50 11,000 11,345
3 Merrill Lynch Mortgage Trust 5.690% 2/12/51 15,000 14,751
3 Morgan Stanley Capital I 5.802% 6/11/42 24,100 24,865
3 Morgan Stanley Capital I 4.989% 8/13/42 34,340 35,750
3 Morgan Stanley Capital I 5.623% 12/12/49 4,700 4,832
1,3 National City Credit Card Master Trust 0.304% 8/15/12 10,000 9,986
1,3 National City Credit Card Master Trust 0.304% 3/17/14 15,000 14,799
1,3,4 Navistar Financial Dealer Note Master        
  Trust 1.696% 10/26/15 10,550 10,595
3 Nissan Auto Lease Trust 2.650% 1/15/15 1,875 1,906
1,3,4 Nissan Master Owner Trust Receivables 1.404% 1/15/15 16,750 16,835
1,3,4 Nordstrom Private Label Credit Card        
  Master Note Trust 0.314% 5/15/15 34,300 33,598
1,3,4 Permanent Master Issuer PLC 1.453% 7/15/42 15,000 14,938
3,4 Tidewater Auto Receivables Trust 5.920% 5/15/17 9,848 9,894
3 Volkswagen Auto Lease Trust 4.590% 3/17/14 11,500 12,015
3 Volkswagen Auto Loan Enhanced Trust 2.140% 8/22/16 450 453
3 Wachovia Bank Commercial Mortgage        
  Trust 4.847% 10/15/41 24,308 25,140
3 Wachovia Bank Commercial Mortgage        
  Trust 5.118% 7/15/42 5,000 5,153
1,3 Wachovia Bank Commercial Mortgage        
  Trust 5.383% 10/15/44 24,500 25,931
1,3 Wachovia Bank Commercial Mortgage        
  Trust 5.445% 12/15/44 4,115 4,314
3 Wachovia Bank Commercial Mortgage        
  Trust 5.569% 5/15/46 8,800 9,042
3 Wachovia Bank Commercial Mortgage        
  Trust 5.572% 10/15/48 26,575 27,321
3 World Omni Auto Receivables Trust 5.120% 5/15/14 7,700 8,277
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,681,167)   1,767,962
Corporate Bonds (78.3%)        
Finance (36.2%)        
  Banking (20.0%)        
  AgriBank FCB 9.125% 7/15/19 5,000 5,799
  American Express Bank FSB 6.000% 9/13/17 4,250 4,628
  American Express Centurion Bank 5.950% 6/12/17 10,000 10,828
  American Express Centurion Bank 6.000% 9/13/17 48,060 52,119
  American Express Co. 4.875% 7/15/13 16,417 17,582
  American Express Co. 7.000% 3/19/18 29,000 33,219
  American Express Co. 8.125% 5/20/19 23,304 28,490
  Amsouth Bank 5.200% 4/1/15 10,000 9,702
4 ANZ Capital Trust II 5.360% 12/15/49 10,000 9,922
  Astoria Financial Corp. 5.750% 10/15/12 9,000 9,159


4 Australia & New Zealand Banking Group        
  Ltd. 5.100% 1/13/20 7,000 7,182
4 Banco Santander Chile 5.375% 12/9/14 4,000 4,273
4 Banco Votorantim SA 7.375% 1/21/20 5,000 5,117
  Bank of America Corp. 4.500% 4/1/15 15,000 15,171
  Bank of America Corp. 5.250% 12/1/15 15,000 15,218
  Bank of America Corp. 6.500% 8/1/16 31,375 33,762
  Bank of America Corp. 5.420% 3/15/17 7,300 7,233
  Bank of America Corp. 6.000% 9/1/17 1,750 1,811
  Bank of America Corp. 7.625% 6/1/19 12,500 14,299
  Bank of America NA 5.300% 3/15/17 14,527 14,459
  Bank of America NA 6.100% 6/15/17 15,000 15,611
  Bank of New York Mellon Corp. 4.500% 4/1/13 10,000 10,726
  Bank of New York Mellon Corp. 4.950% 3/15/15 14,500 15,662
  Bank of New York Mellon Corp. 5.500% 12/1/17 5,465 5,790
  Bank of New York Mellon Corp. 5.450% 5/15/19 19,580 21,233
  Bank of Tokyo-Mitsubishi UFJ Ltd. 7.400% 6/15/11 2,825 3,009
  Bank One Corp. 4.900% 4/30/15 15,000 15,751
  Barclays Bank PLC 5.200% 7/10/14 8,500 9,106
  Barclays Bank PLC 5.000% 9/22/16 40,000 41,551
  Barclays Bank PLC 6.750% 5/22/19 5,000 5,607
  Barclays Bank PLC 5.125% 1/8/20 15,000 15,004
3,4 Barclays Bank PLC 5.926% 12/15/49 15,000 13,650
  BB&T Corp. 4.750% 10/1/12 5,000 5,276
  BB&T Corp. 5.700% 4/30/14 14,500 15,910
  BB&T Corp. 5.200% 12/23/15 6,380 6,776
  BB&T Corp. 4.900% 6/30/17 15,300 15,613
  BB&T Corp. 6.850% 4/30/19 22,714 26,115
3 BBVA International Preferred SA        
  Unipersonal 5.919% 12/31/49 7,000 5,600
  Bear Stearns Cos. LLC 5.700% 11/15/14 9,345 10,224
  Bear Stearns Cos. LLC 6.400% 10/2/17 30,000 33,097
  Bear Stearns Cos. LLC 7.250% 2/1/18 42,035 48,444
4 BNP Paribas / BNP Paribas US Medium-        
  Term Note Program LLC 4.800% 6/24/15 17,000 17,747
  BNY Mellon NA 4.750% 12/15/14 5,000 5,310
1,4 BTMU Curacao Holdings NV 0.586% 12/19/16 10,790 10,466
  Capital One Financial Corp. 6.750% 9/15/17 20,000 22,657
3,4 CBA Capital Trust II 6.024% 3/15/49 17,050 16,027
1,4,5 CBG Florida REIT Corp. 7.114% 2/15/49 17,340 564
  Citigroup Inc. 7.250% 10/1/10 900 921
  Citigroup Inc. 5.500% 4/11/13 13,550 14,315
  Citigroup Inc. 6.500% 8/19/13 10,000 10,856
  Citigroup Inc. 6.375% 8/12/14 10,000 10,846
  Citigroup Inc. 5.000% 9/15/14 12,000 12,089
  Citigroup Inc. 5.300% 1/7/16 10,000 10,160
  Citigroup Inc. 5.850% 8/2/16 10,000 10,395
  Citigroup Inc. 6.125% 11/21/17 63,925 66,922
  Citigroup Inc. 8.500% 5/22/19 24,000 28,379
  Comerica Bank 5.700% 6/1/14 18,000 19,064
  Comerica Bank 5.750% 11/21/16 4,000 4,174
4 Commonwealth Bank of Australia 5.000% 10/15/19 15,000 15,442
  Credit Suisse AG 5.400% 1/14/20 37,000 37,665
  Credit Suisse USA Inc. 5.125% 1/15/14 2,460 2,660
  Credit Suisse USA Inc. 5.125% 8/15/15 2,000 2,156
  Credit Suisse 5.500% 5/1/14 49,320 54,044
  Credit Suisse 6.000% 2/15/18 60,692 64,756
  Credit Suisse 5.300% 8/13/19 60,000 62,398


4 Danske Bank A/S 3.750% 4/1/15 9,000 9,057
  Deutsche Bank AG 6.000% 9/1/17 43,000 47,545
  Deutsche Bank Financial LLC 5.375% 3/2/15 10,000 10,693
  Discover Bank/Greenwood DE 8.700% 11/18/19 10,000 11,392
  Discover Bank/Greenwood DE 7.000% 4/15/20 13,665 14,047
  Fifth Third Bank 4.750% 2/1/15 31,825 32,516
  First Tennessee Bank NA 5.050% 1/15/15 5,000 4,880
  Goldman Sachs Group Inc. 5.350% 1/15/16 5,000 5,148
  Goldman Sachs Group Inc. 5.625% 1/15/17 29,000 28,686
  Goldman Sachs Group Inc. 6.250% 9/1/17 25,000 26,175
  Goldman Sachs Group Inc. 5.950% 1/18/18 18,000 18,580
  Goldman Sachs Group Inc. 6.150% 4/1/18 15,075 15,656
  Goldman Sachs Group Inc. 5.375% 3/15/20 25,000 24,316
  HSBC Bank USA NA 4.625% 4/1/14 22,000 23,152
  Hudson United Bank 7.000% 5/15/12 9,200 9,806
4 ICICI Bank Ltd. 5.750% 1/12/12 2,675 2,785
  JPMorgan Chase & Co. 5.750% 1/2/13 12,000 12,982
  JPMorgan Chase & Co. 4.875% 3/15/14 6,440 6,832
  JPMorgan Chase & Co. 6.125% 6/27/17 10,000 10,755
  JPMorgan Chase & Co. 6.000% 1/15/18 18,000 19,326
  JPMorgan Chase & Co. 6.300% 4/23/19 24,150 26,596
  JPMorgan Chase & Co. 4.950% 3/25/20 25,000 25,036
3 JPMorgan Chase & Co. 7.900% 12/29/49 5,650 5,933
  JPMorgan Chase Bank NA 5.875% 6/13/16 10,000 10,815
  JPMorgan Chase Bank NA 6.000% 10/1/17 41,880 45,220
  KeyBank NA 4.950% 9/15/15 18,000 18,195
  KeyBank NA 5.450% 3/3/16 2,500 2,542
3,4 Lloyds Banking Group PLC 6.267% 11/14/49 6,875 4,468
4 Lloyds TSB Bank PLC 5.800% 1/13/20 15,000 14,823
  M&I Marshall & Ilsley Bank 5.250% 9/4/12 4,000 4,027
  M&I Marshall & Ilsley Bank 5.000% 1/17/17 10,000 9,215
1,4 Manufacturers & Traders Trust Co. 1.791% 4/1/13 2,750 2,678
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 38,555 41,931
  Mercantile Bankshares Corp. 4.625% 4/15/13 10,000 10,443
  Merrill Lynch & Co. Inc. 6.050% 5/16/16 17,150 17,734
  Merrill Lynch & Co. Inc. 5.700% 5/2/17 12,000 11,992
  Merrill Lynch & Co. Inc. 6.875% 4/25/18 15,355 16,507
  Morgan Stanley 4.750% 4/1/14 26,250 26,785
  Morgan Stanley 6.000% 4/28/15 3,000 3,216
  Morgan Stanley 6.250% 8/28/17 3,825 3,994
  Morgan Stanley 5.950% 12/28/17 38,000 39,027
  Morgan Stanley 6.625% 4/1/18 62,150 66,126
  Morgan Stanley 7.300% 5/13/19 3,000 3,315
  Morgan Stanley 5.625% 9/23/19 28,000 27,546
  National City Bank 6.250% 3/15/11 8,000 8,331
  National City Bank 5.250% 12/15/16 7,500 7,761
  National City Bank 5.800% 6/7/17 5,012 5,276
  National City Corp. 4.900% 1/15/15 28,435 30,311
  National City Corp. 6.875% 5/15/19 2,500 2,810
4 Nordea Bank AB 3.700% 11/13/14 7,100 7,283
4 Nordea Bank AB 4.875% 1/27/20 7,500 7,508
  Northern Trust Co. 5.850% 11/9/17 7,280 7,919
  Northern Trust Co. 6.500% 8/15/18 4,000 4,571
3,4 Northgroup Preferred Capital Corp. 6.378% 10/15/49 7,000 6,597
  PNC Bank NA 4.875% 9/21/17 6,100 6,154
  PNC Bank NA 6.000% 12/7/17 4,500 4,813
  PNC Bank NA 6.875% 4/1/18 33,085 37,045
  PNC Funding Corp. 4.250% 9/21/15 15,000 15,556


  PNC Funding Corp. 5.250% 11/15/15 13,685 14,583
  PNC Funding Corp. 6.700% 6/10/19 10,000 11,378
  PNC Funding Corp. 5.125% 2/8/20 5,000 5,086
4 Rabobank Nederland NV 4.750% 1/15/20 18,000 18,263
  Regions Financial Corp. 6.375% 5/15/12 2,080 2,123
  Royal Bank of Scotland Group PLC 5.000% 10/1/14 4,520 4,443
  Royal Bank of Scotland Group PLC 5.050% 1/8/15 2,228 2,144
  Royal Bank of Scotland Group PLC 4.700% 7/3/18 2,000 1,635
  Royal Bank of Scotland Group PLC 6.400% 10/21/19 20,500 20,994
4 Royal Bank of Scotland PLC 4.875% 8/25/14 63,290 64,883
  Royal Bank of Scotland PLC 4.875% 3/16/15 15,000 15,330
  Santander Holdings USA Inc. 4.800% 9/1/10 5,000 5,059
4 Scotland International Finance No 2 BV 7.700% 8/15/10 10,000 10,114
4 Societe Generale 5.750% 4/20/16 5,200 5,547
  SouthTrust Corp. 5.800% 6/15/14 14,705 15,792
1 Sovereign Bank 1.959% 8/1/13 2,458 2,435
  Sovereign Bank 8.750% 5/30/18 5,000 5,711
  State Street Bank and Trust Co. 5.300% 1/15/16 12,000 12,845
  State Street Corp. 4.300% 5/30/14 10,000 10,586
1 SunTrust Bank 0.591% 4/1/15 6,000 5,449
  SunTrust Bank 7.250% 3/15/18 13,000 14,149
4 Svenska Handelsbanken AB 5.125% 3/30/20 10,000 10,088
  UBS AG 5.875% 12/20/17 59,450 62,707
  UBS AG 5.875% 7/15/16 20,220 21,437
  UBS AG 5.750% 4/25/18 37,625 39,435
1,4 Unicredit Luxembourg Finance SA 0.638% 1/13/17 14,925 14,010
  Union Bank NA 5.950% 5/11/16 4,826 5,084
  Union Planters Corp. 7.750% 3/1/11 10,000 10,231
  UnionBanCal Corp. 5.250% 12/16/13 3,000 3,228
4 United Overseas Bank Ltd. 4.500% 7/2/13 7,000 7,324
  US Bank NA 6.300% 2/4/14 28,245 31,804
  US Bank NA 4.950% 10/30/14 21,115 22,851
3 USB Capital IX 6.189% 4/15/49 12,525 10,897
3,4 USB Realty Corp. 6.091% 12/15/49 3,450 2,928
  Wachovia Bank NA 4.800% 11/1/14 18,400 19,317
  Wachovia Bank NA 4.875% 2/1/15 15,400 16,215
  Wachovia Bank NA 5.600% 3/15/16 10,000 10,849
  Wachovia Bank NA 6.000% 11/15/17 22,000 23,969
  Wachovia Corp. 5.500% 5/1/13 5,270 5,734
  Wachovia Corp. 5.625% 10/15/16 35,000 37,502
  Wachovia Corp. 5.750% 6/15/17 10,000 10,847
  Wachovia Corp. 5.750% 2/1/18 29,600 32,072
5 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.500% 1/15/13 6,147 61
5 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.650% 8/15/14 7,500 84
5 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.125% 1/15/15 9,000 101
  Washington Mutual Finance Corp. 6.875% 5/15/11 5,000 5,278
  Wells Fargo & Co. 4.950% 10/16/13 4,500 4,804
  Wells Fargo & Co. 4.625% 4/15/14 10,000 10,529
  Wells Fargo & Co. 5.125% 9/15/16 5,000 5,281
  Wells Fargo & Co. 5.625% 12/11/17 35,400 38,243
  Wells Fargo Bank NA 4.750% 2/9/15 11,550 12,142
  Wells Fargo Bank NA 5.750% 5/16/16 17,500 19,028
  Westpac Banking Corp. 4.200% 2/27/15 10,000 10,421
  Westpac Banking Corp. 4.625% 6/1/18 3,925 3,902
  Westpac Banking Corp. 4.875% 11/19/19 15,000 15,187


3,4 Westpac Capital Trust III 5.819% 12/30/49 14,300 14,110
  Wilmington Trust Corp. 4.875% 4/15/13 18,305 17,906
  Zions Bancorporation 6.000% 9/15/15 11,000 10,505
  Zions Bancorporation 5.500% 11/16/15 8,000 7,640
 
  Brokerage (0.9%)        
  Ameriprise Financial Inc. 7.300% 6/28/19 6,200 7,305
  Ameriprise Financial Inc. 5.300% 3/15/20 15,000 15,630
  BlackRock Inc. 6.250% 9/15/17 10,000 11,211
  BlackRock Inc. 5.000% 12/10/19 25,000 25,649
4 Blackstone Holdings Finance Co. LLC 6.625% 8/15/19 5,725 5,910
  Charles Schwab Corp. 4.950% 6/1/14 11,600 12,471
  Jefferies Group Inc. 5.875% 6/8/14 7,500 7,994
  Jefferies Group Inc. 8.500% 7/15/19 25,000 28,452
5 Lehman Brothers Holdings Inc. 5.625% 1/24/13 12,755 2,870
5 Lehman Brothers Holdings Inc. 6.200% 9/26/14 22,500 4,922
5 Lehman Brothers Holdings Inc. 6.500% 7/19/17 20,000 25
5 Lehman Brothers Holdings Inc. 6.875% 5/2/18 5,000 1,100
  Nomura Holdings Inc. 6.700% 3/4/20 7,500 7,997
 
  Finance Companies (2.9%)        
  American General Finance Corp. 4.875% 5/15/10 1,000 999
  American General Finance Corp. 5.625% 8/17/11 15,500 14,977
  American General Finance Corp. 4.875% 7/15/12 12,000 11,070
  American General Finance Corp. 5.850% 6/1/13 15,000 13,650
  General Electric Capital Corp. 4.375% 3/3/12 3,875 4,062
  General Electric Capital Corp. 5.900% 5/13/14 15,000 16,648
  General Electric Capital Corp. 5.625% 9/15/17 55,525 58,834
  General Electric Capital Corp. 5.625% 5/1/18 105,000 110,970
  General Electric Capital Corp. 6.000% 8/7/19 20,000 21,603
3 General Electric Capital Corp. 6.375% 11/15/67 14,450 13,727
3 HSBC Finance Capital Trust IX 5.911% 11/30/35 27,500 25,025
  HSBC Finance Corp. 5.250% 1/15/14 9,050 9,679
  HSBC Finance Corp. 5.000% 6/30/15 11,000 11,618
  HSBC Finance Corp. 5.500% 1/19/16 78,058 83,612
1 HSBC Finance Corp. 0.682% 6/1/16 6,225 5,855
  International Lease Finance Corp. 4.950% 2/1/11 6,300 6,253
  International Lease Finance Corp. 5.450% 3/24/11 800 794
  International Lease Finance Corp. 5.750% 6/15/11 3,900 3,881
  SLM Corp. 5.050% 11/14/14 7,500 6,971
  SLM Corp. 8.450% 6/15/18 5,000 5,025
 
  Insurance (10.0%)        
  ACE INA Holdings Inc. 5.875% 6/15/14 41,839 46,478
  ACE INA Holdings Inc. 5.600% 5/15/15 26,490 29,114
  ACE INA Holdings Inc. 5.700% 2/15/17 3,000 3,261
  ACE INA Holdings Inc. 5.800% 3/15/18 5,805 6,335
  ACE INA Holdings Inc. 5.900% 6/15/19 2,500 2,757
  Aetna Inc. 6.000% 6/15/16 11,900 13,248
  Aetna Inc. 6.500% 9/15/18 22,818 25,864
  Aflac Inc. 8.500% 5/15/19 18,000 22,031
  Allied World Assurance Co. Holdings Ltd. 7.500% 8/1/16 10,000 11,014
  Allstate Corp. 6.200% 5/16/14 4,760 5,346
  Allstate Corp. 7.450% 5/16/19 23,100 27,522
  Allstate Life Global Funding Trusts 5.375% 4/30/13 23,895 26,223
  American Financial Group Inc. 9.875% 6/15/19 10,000 12,168
  American International Group Inc. 5.050% 10/1/15 23,000 21,620
  American International Group Inc. 5.600% 10/18/16 20,000 18,775


  American International Group Inc. 5.450% 5/18/17 30,000 27,450
  American International Group Inc. 5.850% 1/16/18 38,000 35,150
  American International Group Inc. 8.250% 8/15/18 40,000 42,400
  Axis Capital Holdings Ltd. 5.750% 12/1/14 5,955 6,285
  Axis Specialty Finance LLC 5.875% 6/1/20 8,000 7,979
  Berkshire Hathaway Finance Corp. 4.000% 4/15/12 10,000 10,540
  Berkshire Hathaway Finance Corp. 4.600% 5/15/13 22,914 24,622
  Berkshire Hathaway Finance Corp. 5.000% 8/15/13 1,500 1,642
  Berkshire Hathaway Finance Corp. 4.850% 1/15/15 32,100 34,930
  Chubb Corp. 5.200% 4/1/13 10,820 11,729
  Chubb Corp. 5.750% 5/15/18 28,953 31,755
3 Chubb Corp. 6.375% 3/29/67 23,000 23,081
  CIGNA Corp. 7.000% 1/15/11 10,000 10,406
  CIGNA Corp. 6.350% 3/15/18 7,000 7,650
  CNA Financial Corp. 7.350% 11/15/19 6,000 6,375
  Coventry Health Care Inc. 5.875% 1/15/12 625 653
  Coventry Health Care Inc. 5.950% 3/15/17 4,000 3,899
3 Genworth Financial Inc. 6.150% 11/15/66 8,000 6,400
  Genworth Global Funding Trusts 5.750% 5/15/13 5,250 5,479
  Hartford Financial Services Group Inc. 4.625% 7/15/13 10,000 10,414
  Hartford Financial Services Group Inc. 4.000% 3/30/15 3,400 3,385
  Hartford Financial Services Group Inc. 5.500% 3/30/20 2,500 2,470
  HCC Insurance Holdings Inc. 6.300% 11/15/19 7,500 7,934
4 Health Care Service Corp. 7.750% 6/15/11 20,000 21,103
  Humana Inc. 7.200% 6/15/18 10,000 11,058
3 ING Groep NV 5.775% 12/8/49 3,120 2,590
4 Jackson National Life Global Funding 5.375% 5/8/13 6,605 7,091
4 Jackson National Life Global Funding 4.700% 6/1/18 2,500 2,449
3,4 Liberty Mutual Group Inc. 7.000% 3/15/37 1,555 1,372
  Lincoln National Corp. 6.200% 12/15/11 7,000 7,448
  Lincoln National Corp. 6.250% 2/15/20 10,000 10,636
3 Lincoln National Corp. 6.050% 4/20/67 5,940 5,114
  Markel Corp. 7.125% 9/30/19 5,000 5,452
  Marsh & McLennan Cos. Inc. 5.375% 7/15/14 5,325 5,607
1,4 MassMutual Global Funding II 0.412% 12/6/13 20,000 19,826
1,4 Merna Reinsurance Ltd. 2.040% 7/7/10 5,450 5,416
  MetLife Inc. 5.375% 12/15/12 10,000 10,828
  MetLife Inc. 6.750% 6/1/16 15,000 16,990
  MetLife Inc. 6.817% 8/15/18 5,080 5,732
  MetLife Inc. 7.717% 2/15/19 29,439 34,808
4 Metropolitan Life Global Funding I 5.125% 4/10/13 108,720 117,383
4 Metropolitan Life Global Funding I 5.125% 6/10/14 4,400 4,725
1,4 Monumental Global Funding III 0.486% 1/25/13 10,000 9,708
  Nationwide Financial Services 5.900% 7/1/12 5,000 5,308
4 New York Life Global Funding 5.250% 10/16/12 5,000 5,438
4 New York Life Global Funding 4.650% 5/9/13 8,525 9,157
4 New York Life Global Funding 5.375% 9/15/13 7,000 7,741
4 New York Life Global Funding 3.000% 5/4/15 4,150 4,156
4 Ohio National Financial Services Inc. 6.375% 4/30/20 4,000 4,093
3,4 Oil Insurance Ltd. 7.558% 6/30/49 10,600 9,434
4 Pacific Life Global Funding 5.150% 4/15/13 22,404 24,114
4 Pacific LifeCorp 6.000% 2/10/20 8,000 8,201
  PartnerRe Finance B LLC 5.500% 6/1/20 15,000 15,045
4 Pricoa Global Funding I 5.450% 6/11/14 8,166 8,861
  Principal Financial Group Inc. 7.875% 5/15/14 10,000 11,473
  Principal Financial Group Inc. 8.875% 5/15/19 21,195 26,384
4 Principal Life Global Funding I 5.250% 1/15/13 5,000 5,356
  Protective Life Secured Trusts 4.000% 4/1/11 5,000 5,127


  Prudential Financial Inc. 5.100% 9/20/14 15,000 16,036
  Prudential Financial Inc. 4.750% 6/13/15 7,000 7,293
  Prudential Financial Inc. 6.100% 6/15/17 6,200 6,657
  Prudential Financial Inc. 7.375% 6/15/19 12,400 14,473
  Swiss Re Solutions Holding Corp. 6.450% 3/1/19 11,250 11,899
4 TIAA Global Markets Inc. 4.950% 7/15/13 2,750 2,991
  Travelers Cos. Inc. 5.500% 12/1/15 5,350 5,911
  Travelers Cos. Inc. 6.250% 6/20/16 13,370 15,224
  Travelers Cos. Inc. 5.750% 12/15/17 20,206 22,281
  Travelers Cos. Inc. 5.800% 5/15/18 37,710 41,406
  Travelers Cos. Inc. 5.900% 6/2/19 3,460 3,815
3 Travelers Cos. Inc. 6.250% 3/15/37 4,750 4,669
  Travelers Property Casualty Corp. 5.000% 3/15/13 15,000 16,203
  UnitedHealth Group Inc. 4.875% 4/1/13 4,880 5,231
  UnitedHealth Group Inc. 5.000% 8/15/14 20,930 22,391
  UnitedHealth Group Inc. 4.875% 3/15/15 7,585 8,027
  UnitedHealth Group Inc. 5.375% 3/15/16 15,000 15,932
  UnitedHealth Group Inc. 6.000% 6/15/17 19,335 20,910
  UnitedHealth Group Inc. 6.000% 11/15/17 23,150 25,130
  UnitedHealth Group Inc. 6.000% 2/15/18 15,114 16,369
  WellPoint Health Networks Inc. 6.375% 1/15/12 12,500 13,464
  WellPoint Inc. 6.800% 8/1/12 6,410 7,095
  WellPoint Inc. 6.000% 2/15/14 17,970 19,889
  WellPoint Inc. 5.250% 1/15/16 20,000 21,473
  WellPoint Inc. 5.875% 6/15/17 14,465 15,653
  WellPoint Inc. 7.000% 2/15/19 14,445 16,630
  Willis North America Inc. 7.000% 9/29/19 12,000 12,665
  XL Capital Finance Europe PLC 6.500% 1/15/12 3,000 3,175
4 Xlliac Global Funding 4.800% 8/10/10 3,300 3,303
3,4 ZFS Finance USA Trust I 5.875% 5/9/32 1,284 1,226
 
  Other Finance (0.1%)        
4 Targeted Return Index Securities Trust 0.000% 1/15/12 9,200 9,714
 
  Real Estate Investment Trusts (2.3%)        
  AMB Property LP 6.625% 12/1/19 5,000 5,341
  Boston Properties LP 6.250% 1/15/13 6,680 7,272
  Brandywine Operating Partnership LP 7.500% 5/15/15 10,000 10,997
  Brandywine Operating Partnership LP 5.700% 5/1/17 2,000 1,974
  Camden Property Trust 5.000% 6/15/15 5,000 5,081
  Developers Diversified Realty Corp. 5.250% 4/15/11 7,500 7,575
4 Digital Realty Trust LP 5.875% 2/1/20 7,000 7,007
  Duke Realty LP 7.375% 2/15/15 5,000 5,557
  Duke Realty LP 5.950% 2/15/17 5,000 5,122
  Duke Realty LP 6.500% 1/15/18 3,555 3,723
  Duke Realty LP 6.750% 3/15/20 5,000 5,253
  Equity One Inc. 6.250% 1/15/17 5,000 5,056
  ERP Operating LP 5.125% 3/15/16 11,000 11,478
  Federal Realty Investment Trust 5.900% 4/1/20 3,000 3,076
  HCP Inc. 6.000% 1/30/17 10,000 10,181
  Health Care REIT Inc. 5.875% 5/15/15 5,725 6,054
  Health Care REIT Inc. 6.125% 4/15/20 3,000 3,061
  Hospitality Properties Trust 7.875% 8/15/14 3,900 4,360
  Hospitality Properties Trust 6.300% 6/15/16 5,000 5,106
  HRPT Properties Trust 5.750% 2/15/14 6,061 6,313
  HRPT Properties Trust 6.400% 2/15/15 9,500 10,125
  Kimco Realty Corp. 5.783% 3/15/16 10,000 10,629
  Liberty Property LP 5.125% 3/2/15 5,000 5,019


Mack-Cali Realty LP 7.750% 8/15/19 4,000 4,681
National Retail Properties Inc. 6.875% 10/15/17 7,000 7,423
ProLogis 5.625% 11/15/15 5,000 4,990
ProLogis 5.625% 11/15/16 5,500 5,408
ProLogis 6.625% 5/15/18 5,000 4,934
ProLogis 7.375% 10/30/19 3,000 3,113
Regency Centers LP 4.950% 4/15/14 5,000 5,143
Simon Property Group LP 6.750% 5/15/14 15,000 16,651
Simon Property Group LP 5.100% 6/15/15 6,320 6,627
Simon Property Group LP 5.250% 12/1/16 13,500 14,221
Simon Property Group LP 5.875% 3/1/17 3,300 3,524
Simon Property Group LP 6.125% 5/30/18 25,000 26,915
Simon Property Group LP 10.350% 4/1/19 22,815 29,563
Simon Property Group LP 5.650% 2/1/20 11,200 11,502
4 WEA Finance LLC 7.125% 4/15/18 20,000 22,602
4 WEA Finance LLC / WT Finance Aust Pty        
Ltd. 7.500% 6/2/14 3,000 3,425
4 WEA Finance LLC / WT Finance Aust Pty        
Ltd. 6.750% 9/2/19 1,000 1,109
4 WT Finance Aust Pty Ltd. / Westfield        
Capital / WEA Finance LLC 5.125% 11/15/14 10,000 10,530
        5,227,722
Industrial (34.4%)        
Basic Industry (2.7%)        
Air Products & Chemicals Inc. 4.150% 2/1/13 3,700 3,877
Alcoa Inc. 6.750% 7/15/18 23,586 24,932
Alcoa Inc. 5.870% 2/23/22 1,100 1,055
AngloGold Ashanti Holdings PLC 5.375% 4/15/20 7,000 7,061
ArcelorMittal 6.125% 6/1/18 8,000 8,577
ArcelorMittal 9.850% 6/1/19 14,000 18,197
ArcelorMittal USA Inc. 6.500% 4/15/14 2,200 2,416
Barrick Australian Finance Pty Ltd. 4.950% 1/15/20 7,500 7,697
Barrick Gold Corp. 6.950% 4/1/19 5,000 5,846
Barrick North America Finance LLC 6.800% 9/15/18 5,500 6,368
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 12,735 13,920
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 23,075 26,740
Celulosa Arauco y Constitucion SA 7.250% 7/29/19 2,000 2,173
Cliffs Natural Resources Inc. 5.900% 3/15/20 3,000 3,146
Dow Chemical Co. 8.550% 5/15/19 23,000 28,011
EI du Pont de Nemours & Co. 6.000% 7/15/18 28,480 32,105
EI du Pont de Nemours & Co. 4.625% 1/15/20 5,000 5,103
Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 21,000 23,520
4 Gerdau Holdings Inc. 7.000% 1/20/20 5,000 5,241
4 GTL Trade Finance Inc. 7.250% 10/20/17 3,000 3,197
International Paper Co. 7.950% 6/15/18 11,939 14,166
International Paper Co. 9.375% 5/15/19 7,000 8,872
International Paper Co. 7.500% 8/15/21 5,000 5,781
Lubrizol Corp. 8.875% 2/1/19 4,000 4,999
Newmont Mining Corp. 5.125% 10/1/19 5,000 5,156
Potash Corp. of Saskatchewan Inc. 3.750% 9/30/15 7,000 7,194
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 3,000 3,074
Praxair Inc. 4.375% 3/31/14 2,115 2,266
Praxair Inc. 5.250% 11/15/14 5,000 5,543
Praxair Inc. 4.625% 3/30/15 10,550 11,382
Praxair Inc. 4.500% 8/15/19 8,000 8,163
Rio Tinto Finance USA Ltd. 5.875% 7/15/13 7,245 7,996
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 25,000 30,251


Rio Tinto Finance USA Ltd. 6.500% 7/15/18 9,000 10,195
Rohm and Haas Co. 6.000% 9/15/17 6,000 6,457
Sherwin-Williams Co. 3.125% 12/15/14 1,325 1,341
Teck Resources Ltd. 10.250% 5/15/16 10,000 12,050
Vale Overseas Ltd. 5.625% 9/15/19 18,000 18,885
 
Capital Goods (4.4%)        
4 Acuity Brands Lighting Inc. 6.000% 12/15/19 10,000 10,248
Allied Waste North America Inc. 7.125% 5/15/16 4,000 4,380
Allied Waste North America Inc. 6.875% 6/1/17 12,675 13,942
Avery Dennison Corp. 4.875% 1/15/13 6,800 7,160
Bemis Co. Inc. 6.800% 8/1/19 12,690 14,402
Black & Decker Corp. 7.125% 6/1/11 8,550 9,075
Boeing Co. 4.875% 2/15/20 11,000 11,499
Caterpillar Financial Services Corp. 6.125% 2/17/14 16,890 19,067
Caterpillar Financial Services Corp. 5.500% 3/15/16 2,000 2,203
Caterpillar Financial Services Corp. 5.850% 9/1/17 2,000 2,191
Caterpillar Financial Services Corp. 5.450% 4/15/18 10,855 11,604
Caterpillar Financial Services Corp. 7.150% 2/15/19 7,000 8,326
Caterpillar Inc. 7.900% 12/15/18 20,000 25,035
Cooper US Inc. 5.450% 4/1/15 6,000 6,626
Cooper US Inc. 6.100% 7/1/17 3,500 3,882
Crane Co. 5.500% 9/15/13 5,000 5,292
CRH America Inc. 6.000% 9/30/16 12,725 13,990
CRH America Inc. 8.125% 7/15/18 15,000 17,939
Deere & Co. 4.375% 10/16/19 5,000 5,114
Eaton Corp. 6.950% 3/20/19 7,110 8,366
Embraer Overseas Ltd. 6.375% 1/24/17 4,000 4,176
Embraer Overseas Ltd. 6.375% 1/15/20 10,000 10,315
Emerson Electric Co. 5.250% 10/15/18 5,000 5,403
Emerson Electric Co. 4.875% 10/15/19 9,000 9,526
Emerson Electric Co. 4.250% 11/15/20 17,500 17,528
General Dynamics Corp. 5.250% 2/1/14 1,150 1,265
General Electric Co. 5.250% 12/6/17 61,800 65,519
Goodrich Corp. 4.875% 3/1/20 4,000 4,085
Harsco Corp. 5.750% 5/15/18 12,000 12,867
Honeywell International Inc. 5.300% 3/1/18 17,855 19,324
Illinois Tool Works Inc. 5.150% 4/1/14 8,540 9,380
Illinois Tool Works Inc. 6.250% 4/1/19 9,950 11,404
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 7,244 8,868
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 5,000 5,697
John Deere Capital Corp. 4.500% 4/3/13 2,470 2,655
John Deere Capital Corp. 5.500% 4/13/17 3,000 3,306
John Deere Capital Corp. 5.350% 4/3/18 9,000 9,715
John Deere Capital Corp. 5.750% 9/10/18 10,000 11,110
L-3 Communications Corp. 6.125% 7/15/13 450 454
L-3 Communications Corp. 6.125% 1/15/14 1,500 1,519
L-3 Communications Corp. 5.875% 1/15/15 1,400 1,410
4 L-3 Communications Corp. 5.200% 10/15/19 7,000 7,061
Lafarge SA 6.500% 7/15/16 17,252 18,604
Lockheed Martin Corp. 4.121% 3/14/13 8,200 8,660
Lockheed Martin Corp. 7.650% 5/1/16 5,000 6,079
Martin Marietta Materials Inc. 6.600% 4/15/18 5,000 5,380
Masco Corp. 5.875% 7/15/12 10,560 11,203
Owens Corning 6.500% 12/1/16 10,360 11,168
Owens Corning 9.000% 6/15/19 7,000 8,417
Parker Hannifin Corp. 4.875% 2/15/13 6,100 6,590
Parker Hannifin Corp. 5.500% 5/15/18 4,000 4,348


  Raytheon Co. 6.750% 3/15/18 2,805 3,288
  Raytheon Co. 6.400% 12/15/18 5,725 6,622
4 Republic Services Inc. 5.000% 3/1/20 8,000 8,055
  Rockwell Automation Inc. 5.650% 12/1/17 5,000 5,469
  Roper Industries Inc. 6.250% 9/1/19 13,000 13,927
3,4 Systems 2001 AT LLC 7.156% 12/15/11 3,051 3,198
  Textron Financial Corp. 4.600% 5/3/10 5,341 5,342
  Tyco International Finance SA 6.375% 10/15/11 10,000 10,704
  Tyco International Finance SA 6.000% 11/15/13 11,000 12,266
  Tyco International Finance SA 8.500% 1/15/19 4,000 5,071
  United Technologies Corp. 5.375% 12/15/17 12,000 13,213
  United Technologies Corp. 6.125% 2/1/19 20,000 22,915
  United Technologies Corp. 4.500% 4/15/20 10,000 10,248
  Waste Management Inc. 7.375% 3/11/19 4,250 5,048
 
  Communication (6.8%)        
  America Movil SAB de CV 5.500% 3/1/14 4,000 4,363
  America Movil SAB de CV 5.750% 1/15/15 8,400 9,246
  America Movil SAB de CV 5.625% 11/15/17 14,424 15,374
4 America Movil SAB de CV 5.000% 10/16/19 6,000 6,007
4 America Movil SAB de CV 5.000% 3/30/20 2,500 2,510
  American Tower Corp. 4.625% 4/1/15 3,000 3,105
  AT&T Inc. 5.100% 9/15/14 7,750 8,464
  AT&T Inc. 5.625% 6/15/16 23,000 25,536
  AT&T Inc. 5.500% 2/1/18 53,425 57,382
  AT&T Inc. 5.600% 5/15/18 29,260 31,693
4 British Sky Broadcasting Group PLC 9.500% 11/15/18 4,000 5,283
  British Telecommunications PLC 9.125% 12/15/10 5,450 5,706
  British Telecommunications PLC 5.950% 1/15/18 14,421 15,135
  CBS Corp. 8.200% 5/15/14 8,000 9,421
  CBS Corp. 5.750% 4/15/20 5,000 5,187
  Cellco Partnership / Verizon Wireless        
  Capital LLC 5.550% 2/1/14 6,800 7,513
  Cellco Partnership / Verizon Wireless        
  Capital LLC 8.500% 11/15/18 30,000 38,028
  CenturyTel Inc. 6.150% 9/15/19 8,745 8,768
  Comcast Cable Communications LLC 8.875% 5/1/17 3,400 4,201
  Comcast Corp. 4.950% 6/15/16 10,000 10,545
  Comcast Corp. 6.500% 1/15/17 9,100 10,191
  Comcast Corp. 6.300% 11/15/17 28,000 31,357
  Comcast Corp. 5.700% 5/15/18 10,000 10,724
  COX Communications Inc. 6.750% 3/15/11 10,000 10,463
  COX Communications Inc. 4.625% 6/1/13 4,000 4,233
4 COX Enterprises Inc. 7.875% 9/15/10 5,000 5,110
  Deutsche Telekom International Finance        
  BV 6.750% 8/20/18 13,000 14,811
4 DIRECTV Holdings LLC 5.200% 3/15/20 8,000 8,085
  DirecTV Holdings LLC / DirecTV Financing        
  Co. Inc. 7.625% 5/15/16 12,000 13,350
  DirecTV Holdings LLC / DirecTV Financing        
  Co. Inc. 5.875% 10/1/19 9,000 9,570
  Embarq Corp. 7.082% 6/1/16 10,000 10,992
  France Telecom SA 5.375% 7/8/19 12,000 12,864
4 NBC Universal Inc. 5.150% 4/30/20 10,000 10,108
4 New Communications Holdings Inc. 7.875% 4/15/15 4,200 4,331
4 New Communications Holdings Inc. 8.250% 4/15/17 5,600 5,789
  News America Inc. 6.900% 3/1/19 10,000 11,526
  Omnicom Group Inc. 5.900% 4/15/16 21,975 24,363


  Omnicom Group Inc. 6.250% 7/15/19 8,990 9,857
4 Qtel International Finance Ltd. 7.875% 6/10/19 3,500 4,072
  Qwest Corp. 7.625% 6/15/15 2,275 2,503
  Qwest Corp. 8.375% 5/1/16 5,880 6,703
  Reed Elsevier Capital Inc. 8.625% 1/15/19 8,000 10,146
  Rogers Communications Inc. 6.750% 3/15/15 6,000 6,810
  Rogers Communications Inc. 6.800% 8/15/18 10,000 11,491
  Telecom Italia Capital SA 5.250% 11/15/13 10,000 10,560
  Telecom Italia Capital SA 5.250% 10/1/15 18,000 18,529
  Telecom Italia Capital SA 6.999% 6/4/18 11,000 11,899
  Telecom Italia Capital SA 7.175% 6/18/19 6,000 6,528
  Telefonica Emisiones SAU 4.949% 1/15/15 22,020 23,333
  Telefonica Emisiones SAU 6.421% 6/20/16 16,228 18,251
  Telefonica Emisiones SAU 6.221% 7/3/17 10,662 11,830
  Telefonica Emisiones SAU 5.877% 7/15/19 7,185 7,666
  Telefonos de Mexico SAB de CV 5.500% 1/27/15 23,000 24,904
  Thomson Reuters Corp. 5.950% 7/15/13 8,877 9,916
  Thomson Reuters Corp. 5.700% 10/1/14 3,900 4,325
  Thomson Reuters Corp. 6.500% 7/15/18 10,685 12,166
  Thomson Reuters Corp. 4.700% 10/15/19 5,000 5,111
  Time Warner Cable Inc. 8.250% 2/14/14 5,000 5,893
  Time Warner Cable Inc. 5.850% 5/1/17 12,000 13,006
  Time Warner Cable Inc. 6.750% 7/1/18 10,000 11,331
  Time Warner Cable Inc. 8.250% 4/1/19 17,000 20,710
  Time Warner Cable Inc. 5.000% 2/1/20 8,000 7,980
  Verizon Communications Inc. 5.550% 2/15/16 11,600 12,771
  Verizon Communications Inc. 5.500% 2/15/18 22,270 23,805
  Verizon Communications Inc. 6.100% 4/15/18 52,295 57,864
  Verizon Communications Inc. 8.750% 11/1/18 25,600 32,458
  Verizon Communications Inc. 6.350% 4/1/19 10,006 11,226
4 Vivendi SA 5.750% 4/4/13 5,450 5,864
  Vodafone Group PLC 5.375% 1/30/15 12,000 13,007
  Vodafone Group PLC 5.000% 9/15/15 11,850 12,600
  Vodafone Group PLC 5.750% 3/15/16 12,190 13,389
  Vodafone Group PLC 5.625% 2/27/17 24,000 25,916
  Vodafone Group PLC 5.450% 6/10/19 12,000 12,631
  Washington Post Co. 7.250% 2/1/19 2,500 2,867
  WPP Finance UK 8.000% 9/15/14 6,000 6,962
 
  Consumer Cyclical (3.0%)        
4 American Honda Finance Corp. 3.500% 3/16/15 3,390 3,414
  CVS Caremark Corp. 6.125% 8/15/16 14,146 15,793
  CVS Caremark Corp. 6.600% 3/15/19 4,000 4,558
3,4 CVS Pass-Through Trust 6.117% 1/10/13 5,753 6,204
  Daimler Finance North America LLC 4.875% 6/15/10 3,300 3,314
  Daimler Finance North America LLC 7.260% 1/15/12 1,100 —
  Daimler Finance North America LLC 6.500% 11/15/13 25,500 28,431
  Darden Restaurants Inc. 6.200% 10/15/17 15,000 16,687
4 Harley-Davidson Funding Corp. 5.000% 12/15/10 2,600 2,639
4 Harley-Davidson Funding Corp. 5.250% 12/15/12 3,300 3,415
4 Harley-Davidson Funding Corp. 6.800% 6/15/18 11,725 11,935
  Historic TW Inc. 6.875% 6/15/18 5,000 5,740
  Home Depot Inc. 5.400% 3/1/16 12,875 14,112
4 Hyundai Capital Services Inc. 6.000% 5/5/15 3,000 3,236
  International Speedway Corp. 5.400% 4/15/14 7,000 7,569
  JC Penney Corp. Inc. 7.950% 4/1/17 5,000 5,770
  Johnson Controls Inc. 5.500% 1/15/16 3,000 3,269
  Johnson Controls Inc. 5.000% 3/30/20 3,000 3,056


K Hovnanian Enterprises Inc. 6.250% 1/15/16 4,260 3,578
Kohl's Corp. 6.250% 12/15/17 7,000 7,945
Lowe's Cos. Inc. 5.600% 9/15/12 5,450 5,982
Lowe's Cos. Inc. 5.000% 10/15/15 7,000 7,740
Lowe's Cos. Inc. 4.625% 4/15/20 8,000 8,201
Macy's Retail Holdings Inc. 5.900% 12/1/16 5,000 5,156
McDonald's Corp. 5.350% 3/1/18 20,000 22,064
MGM Mirage 8.500% 9/15/10 1,400 1,414
MGM Mirage 6.750% 4/1/13 1,075 1,021
MGM Mirage 5.875% 2/27/14 1,000 875
4 Nissan Motor Acceptance Corp. 5.625% 3/14/11 10,500 10,824
4 Nissan Motor Acceptance Corp. 4.500% 1/30/15 9,300 9,503
Nordstrom Inc. 6.750% 6/1/14 1,525 1,748
Nordstrom Inc. 4.750% 5/1/20 10,000 10,046
PACCAR Inc. 6.875% 2/15/14 5,000 5,727
Target Corp. 6.000% 1/15/18 24,700 28,099
Tenneco Inc. 8.625% 11/15/14 1,100 1,125
Time Warner Inc. 4.875% 3/15/20 5,000 4,947
TJX Cos. Inc. 6.950% 4/15/19 13,000 15,545
Viacom Inc. 6.250% 4/30/16 7,000 7,856
Viacom Inc. 6.125% 10/5/17 5,000 5,520
4 Volvo Treasury AB 5.950% 4/1/15 12,000 12,437
Wal-Mart Stores Inc. 3.200% 5/15/14 21,675 22,388
Wal-Mart Stores Inc. 2.875% 4/1/15 1,645 1,658
Wal-Mart Stores Inc. 5.375% 4/5/17 7,000 7,760
Wal-Mart Stores Inc. 5.800% 2/15/18 10,137 11,534
Walgreen Co. 5.250% 1/15/19 12,500 13,560
Walt Disney Co. 5.625% 9/15/16 10,000 11,399
Walt Disney Co. 6.000% 7/17/17 3,000 3,430
Walt Disney Co. 5.500% 3/15/19 3,000 3,318
Western Union Co. 5.400% 11/17/11 4,000 4,246
Western Union Co. 6.500% 2/26/14 7,400 8,343
Western Union Co. 5.930% 10/1/16 22,825 25,308
 
Consumer Noncyclical (10.0%)        
Abbott Laboratories 5.875% 5/15/16 19,000 21,757
Abbott Laboratories 5.600% 11/30/17 16,000 17,978
Abbott Laboratories 5.125% 4/1/19 21,060 22,574
Allergan Inc. 5.750% 4/1/16 12,000 13,594
Altria Group Inc. 9.700% 11/10/18 17,276 21,712
Altria Group Inc. 9.250% 8/6/19 20,000 24,592
AmerisourceBergen Corp. 5.625% 9/15/12 2,800 3,017
AmerisourceBergen Corp. 5.875% 9/15/15 3,000 3,332
AmerisourceBergen Corp. 4.875% 11/15/19 3,000 3,033
Amgen Inc. 5.850% 6/1/17 25,460 28,601
Amgen Inc. 6.150% 6/1/18 5,000 5,713
Amgen Inc. 5.700% 2/1/19 12,080 13,430
Anheuser-Busch Cos. Inc. 5.500% 1/15/18 5,000 5,315
4 Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 6,100 6,635
4 Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 8,000 9,622
Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 5,000 5,215
4 Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 12,000 12,177
Archer-Daniels-Midland Co. 5.450% 3/15/18 6,388 7,002
AstraZeneca PLC 5.900% 9/15/17 32,060 36,322
Avon Products Inc. 5.625% 3/1/14 16,125 17,741
Avon Products Inc. 6.500% 3/1/19 8,000 9,147
4 BAT International Finance PLC 9.500% 11/15/18 4,000 5,283
Baxter International Inc. 4.000% 3/1/14 5,000 5,255


Baxter International Inc. 5.900% 9/1/16 7,000 8,010
Baxter International Inc. 5.375% 6/1/18 10,100 11,078
Baxter International Inc. 4.500% 8/15/19 8,285 8,493
Baxter International Inc. 4.250% 3/15/20 3,000 3,009
Becton Dickinson and Co. 4.550% 4/15/13 8,000 8,566
Becton Dickinson and Co. 5.000% 5/15/19 4,700 4,976
Biogen Idec Inc. 6.875% 3/1/18 10,000 11,125
Boston Scientific Corp. 6.000% 1/15/20 5,000 4,941
Bottling Group LLC 6.950% 3/15/14 3,813 4,451
Bottling Group LLC 5.500% 4/1/16 19,086 21,346
Bottling Group LLC 5.125% 1/15/19 19,925 21,238
Bristol-Myers Squibb Co. 5.450% 5/1/18 8,000 8,780
Bunge Ltd. Finance Corp. 5.875% 5/15/13 2,000 2,147
Bunge Ltd. Finance Corp. 8.500% 6/15/19 10,000 11,881
Campbell Soup Co. 4.875% 10/1/13 10,000 10,980
Campbell Soup Co. 4.500% 2/15/19 3,000 3,107
CareFusion Corp. 6.375% 8/1/19 5,000 5,558
4 Cargill Inc. 4.375% 6/1/13 8,600 9,077
Clorox Co. 5.000% 3/1/13 6,025 6,517
Clorox Co. 5.000% 1/15/15 7,000 7,612
Coca-Cola Bottling Co. Consolidated 5.000% 11/15/12 7,000 7,527
Coca-Cola Co. 5.350% 11/15/17 15,000 16,626
Coca-Cola Co. 4.875% 3/15/19 12,000 12,720
Coca-Cola Enterprises Inc. 7.375% 3/3/14 17,597 20,717
Coca-Cola Enterprises Inc. 4.250% 3/1/15 4,500 4,805
Coca-Cola Enterprises Inc. 4.500% 8/15/19 2,500 2,584
4 Coca-Cola Femsa SAB de CV 4.625% 2/15/20 5,000 4,979
Colgate-Palmolive Co. 3.150% 8/5/15 2,000 2,040
ConAgra Foods Inc. 6.750% 9/15/11 312 334
ConAgra Foods Inc. 5.819% 6/15/17 4,687 5,041
Covidien International Finance SA 6.000% 10/15/17 14,306 15,859
Delhaize Group SA 5.875% 2/1/14 875 966
Diageo Capital PLC 5.750% 10/23/17 18,000 20,018
Diageo Finance BV 5.500% 4/1/13 3,307 3,632
Diageo Finance BV 5.300% 10/28/15 5,000 5,514
Eli Lilly & Co. 4.200% 3/6/14 11,850 12,677
Eli Lilly & Co. 5.200% 3/15/17 6,000 6,537
Estee Lauder Cos. Inc. 6.000% 1/15/12 6,800 7,360
Express Scripts Inc. 7.250% 6/15/19 3,000 3,559
Fortune Brands Inc. 6.375% 6/15/14 7,000 7,722
4 Foster's Finance Corp. 4.875% 10/1/14 4,000 4,199
Genentech Inc. 4.750% 7/15/15 16,150 17,412
General Mills Inc. 5.700% 2/15/17 2,415 2,684
General Mills Inc. 5.650% 2/15/19 3,000 3,282
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 38,400 42,544
Hasbro Inc. 6.125% 5/15/14 3,700 4,108
Hasbro Inc. 6.300% 9/15/17 5,000 5,473
Hershey Co. 4.850% 8/15/15 5,000 5,388
HJ Heinz Co. 5.350% 7/15/13 2,175 2,374
Hospira Inc. 6.400% 5/15/15 3,000 3,378
Kellogg Co. 4.450% 5/30/16 7,000 7,480
Kellogg Co. 4.150% 11/15/19 12,000 12,037
Kimberly-Clark Corp. 6.125% 8/1/17 8,449 9,664
Kimberly-Clark Corp. 7.500% 11/1/18 10,000 12,408
Koninklijke Philips Electronics NV 5.750% 3/11/18 15,000 16,424
Kraft Foods Inc. 6.000% 2/11/13 5,000 5,533
Kraft Foods Inc. 6.500% 8/11/17 7,840 8,869
Kraft Foods Inc. 5.375% 2/10/20 35,000 36,245


Kroger Co. 6.200% 6/15/12 4,530 4,928
Kroger Co. 6.400% 8/15/17 5,000 5,680
Kroger Co. 6.800% 12/15/18 11,100 12,641
Life Technologies Corp. 6.000% 3/1/20 5,000 5,260
Lorillard Tobacco Co. 8.125% 6/23/19 7,000 7,923
McKesson Corp. 6.500% 2/15/14 7,100 7,970
4 Mead Johnson Nutrition Co. 4.900% 11/1/19 7,000 7,036
Medco Health Solutions Inc. 7.125% 3/15/18 5,000 5,803
Medtronic Inc. 4.750% 9/15/15 20,000 21,785
Medtronic Inc. 4.450% 3/15/20 10,000 10,126
Merck & Co. Inc. 4.750% 3/1/15 11,000 11,972
Merck & Co. Inc. 4.000% 6/30/15 2,100 2,221
Merck & Co. Inc. 6.000% 9/15/17 10,000 11,421
Merck & Co. Inc. 5.000% 6/30/19 10,000 10,688
Nabisco Inc. 7.550% 6/15/15 15,000 17,584
Novartis Capital Corp. 4.400% 4/24/20 10,000 10,152
Novartis Securities Investment Ltd. 5.125% 2/10/19 43,794 46,965
PepsiAmericas Inc. 4.500% 3/15/13 6,000 6,357
PepsiAmericas Inc. 4.375% 2/15/14 12,500 13,344
PepsiCo Inc. 3.750% 3/1/14 15,500 16,289
PepsiCo Inc. 5.000% 6/1/18 16,500 17,662
PepsiCo Inc. 7.900% 11/1/18 14,000 17,631
Pfizer Inc. 6.200% 3/15/19 74,000 83,909
Philip Morris International Inc. 6.875% 3/17/14 10,000 11,547
Philip Morris International Inc. 5.650% 5/16/18 39,055 42,711
Procter & Gamble Co. 3.500% 2/15/15 27,000 27,915
Procter & Gamble Co. 4.700% 2/15/19 23,000 24,075
Quest Diagnostics Inc. 4.750% 1/30/20 5,000 4,976
Reynolds American Inc. 7.625% 6/1/16 875 980
4 Roche Holdings Inc. 6.000% 3/1/19 13,500 15,105
4 SABMiller PLC 6.200% 7/1/11 13,000 13,646
Safeway Inc. 6.250% 3/15/14 8,375 9,390
Safeway Inc. 6.350% 8/15/17 3,000 3,408
St. Jude Medical Inc. 4.875% 7/15/19 10,000 10,347
Stryker Corp. 4.375% 1/15/20 10,000 10,089
Sysco Corp. 5.250% 2/12/18 12,000 12,942
4 Tesco PLC 5.500% 11/15/17 7,000 7,616
Thermo Fisher Scientific Inc. 5.000% 6/1/15 4,700 5,084
Unilever Capital Corp. 3.650% 2/15/14 6,500 6,807
Whirlpool Corp. 8.600% 5/1/14 5,000 5,873
Wyeth 5.500% 2/1/14 12,700 14,095
Wyeth 5.500% 2/15/16 15,000 16,858
Wyeth 5.450% 4/1/17 12,780 14,155
Zimmer Holdings Inc. 4.625% 11/30/19 5,000 5,017
 
Energy (3.4%)        
Anadarko Petroleum Corp. 5.950% 9/15/16 5,000 5,546
Anadarko Petroleum Corp. 6.950% 6/15/19 24,000 27,711
Apache Corp. 5.625% 1/15/17 4,000 4,468
Apache Corp. 6.900% 9/15/18 3,000 3,587
Baker Hughes Inc. 7.500% 11/15/18 16,845 20,510
BP Capital Markets PLC 3.625% 5/8/14 10,000 10,454
BP Capital Markets PLC 4.750% 3/10/19 19,000 19,964
Canadian Natural Resources Ltd. 5.700% 5/15/17 9,000 9,894
Canadian Natural Resources Ltd. 5.900% 2/1/18 6,000 6,621
4 Cenovus Energy Inc. 4.500% 9/15/14 3,500 3,693
4 Cenovus Energy Inc. 5.700% 10/15/19 3,000 3,224
Chevron Corp. 4.950% 3/3/19 3,300 3,528


ConocoPhillips 5.750% 2/1/19 43,935 48,664
ConocoPhillips 6.000% 1/15/20 20,000 22,568
Diamond Offshore Drilling Inc. 5.875% 5/1/19 3,000 3,311
Ecopetrol SA 7.625% 7/23/19 3,000 3,373
4 Empresa Nacional del Petroleo 6.250% 7/8/19 5,000 5,226
EnCana Corp. 5.900% 12/1/17 5,570 6,136
EnCana Corp. 6.500% 5/15/19 3,000 3,391
EOG Resources Inc. 5.875% 9/15/17 3,000 3,323
EOG Resources Inc. 5.625% 6/1/19 7,000 7,684
4 GS Caltex Corp. 5.500% 8/25/14 4,000 4,253
4 GS Caltex Corp. 5.500% 10/15/15 6,000 6,380
Halliburton Co. 6.150% 9/15/19 8,000 9,024
Marathon Oil Corp. 5.900% 3/15/18 5,033 5,474
4 Motiva Enterprises LLC 5.750% 1/15/20 10,000 10,720
Nabors Industries Inc. 6.150% 2/15/18 3,000 3,214
Nabors Industries Inc. 9.250% 1/15/19 5,900 7,454
Nexen Inc. 5.650% 5/15/17 3,000 3,213
Nexen Inc. 6.200% 7/30/19 3,000 3,308
Noble Corp. 5.875% 6/1/13 3,000 3,243
Petro-Canada 6.050% 5/15/18 11,000 12,129
Questar Market Resources Inc. 6.800% 3/1/20 4,000 4,156
Shell International Finance BV 4.300% 9/22/19 21,000 21,224
Shell International Finance BV 4.375% 3/25/20 35,000 35,346
Smith International Inc. 9.750% 3/15/19 10,000 13,572
Statoil ASA 5.250% 4/15/19 27,000 28,865
Suncor Energy Inc. 6.100% 6/1/18 5,000 5,532
Talisman Energy Inc. 7.750% 6/1/19 7,000 8,527
Transocean Inc. 6.000% 3/15/18 8,000 8,725
Valero Energy Corp. 9.375% 3/15/19 9,200 11,266
Weatherford International Inc. 6.350% 6/15/17 3,000 3,285
Weatherford International Ltd. 6.000% 3/15/18 10,000 10,703
Weatherford International Ltd. 9.625% 3/1/19 17,500 22,617
XTO Energy Inc. 6.250% 4/15/13 5,000 5,628
XTO Energy Inc. 6.250% 8/1/17 15,000 17,295
XTO Energy Inc. 6.500% 12/15/18 6,250 7,318
 
Other Industrial (0.2%)        
4 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 10,000 11,774
4 Hutchison Whampoa International 09/16        
Ltd. 4.625% 9/11/15 20,000 20,803
 
Technology (3.0%)        
Agilent Technologies Inc. 6.500% 11/1/17 5,950 6,498
Cisco Systems Inc. 5.500% 2/22/16 38,011 42,799
Cisco Systems Inc. 4.950% 2/15/19 16,000 16,956
Cisco Systems Inc. 4.450% 1/15/20 23,000 23,250
Corning Inc. 6.625% 5/15/19 2,000 2,276
Dell Inc. 5.650% 4/15/18 11,750 12,716
Dell Inc. 5.875% 6/15/19 8,000 8,807
Dun & Bradstreet Corp. 6.000% 4/1/13 9,700 10,493
Electronic Data Systems LLC 6.000% 8/1/13 11,325 12,724
Equifax Inc. 6.300% 7/1/17 5,000 5,414
Fiserv Inc. 6.800% 11/20/17 5,000 5,656
Hewlett-Packard Co. 6.125% 3/1/14 15,000 17,005
Hewlett-Packard Co. 5.500% 3/1/18 7,000 7,773
International Business Machines Corp. 5.700% 9/14/17 32,500 36,517
International Business Machines Corp. 7.625% 10/15/18 22,500 28,056
Intuit Inc. 5.750% 3/15/17 5,000 5,408


  Lexmark International Inc. 6.650% 6/1/18 7,000 7,467
  Microsoft Corp. 4.200% 6/1/19 3,800 3,912
  Motorola Inc. 6.000% 11/15/17 10,000 10,454
  Nokia Oyj 5.375% 5/15/19 9,500 10,103
  Oracle Corp. 5.250% 1/15/16 23,000 25,578
  Oracle Corp. 5.750% 4/15/18 29,410 32,796
  Oracle Corp. 5.000% 7/8/19 24,000 25,540
  Pitney Bowes Inc. 5.000% 3/15/15 10,000 10,772
  Pitney Bowes Inc. 5.750% 9/15/17 18,152 19,605
  Pitney Bowes Inc. 6.250% 3/15/19 5,000 5,583
  Tyco Electronics Group SA 6.550% 10/1/17 7,990 8,926
  Xerox Corp. 5.650% 5/15/13 10,000 10,750
  Xerox Corp. 6.350% 5/15/18 10,000 10,980
  Xerox Corp. 5.625% 12/15/19 8,000 8,371
 
  Transportation (0.9%)        
  American Airlines Pass Through Trust        
  2001-01 6.817% 5/23/11 714 716
3 Burlington Northern Railroad Co. 1996-A        
  Pass Through Trust 7.330% 6/23/10 43 44
  Burlington Northern Santa Fe LLC 8.125% 4/15/20 5,000 6,252
  Canadian National Railway Co. 5.800% 6/1/16 4,000 4,523
  Canadian National Railway Co. 5.550% 5/15/18 5,275 5,752
3 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 1/2/18 211 213
3 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 9/15/17 760 764
  Continental Airlines 2002-1 Class G-2 Pass        
  Through Trust 6.563% 2/15/12 3,000 3,023
3 Continental Airlines 2005-ERJ1 Pass        
  Through Trust 9.798% 4/1/21 2,063 1,960
3 Continental Airlines 2009-2 Class A Pass        
  Through Trust 7.250% 11/10/19 5,000 5,438
  CSX Corp. 7.900% 5/1/17 5,000 6,023
  CSX Corp. 7.375% 2/1/19 10,000 11,969
3 Delta Air Lines Inc. 7.750% 12/17/19 7,000 7,665
3 Delta Air Lines Inc. 6.821% 8/10/22 2,772 2,814
3 Delta Air Lines Inc. 8.021% 8/10/22 1,346 1,285
4 ERAC USA Finance LLC 6.375% 10/15/17 11,370 12,735
  Greenbrier Cos. Inc. 8.375% 5/15/15 2,540 2,400
1,3 JetBlue Airways 2004-1 G-1 Pass Through        
  Trust 0.632% 12/15/13 2,939 2,582
1 JetBlue Airways 2004-1 G-2 Pass Through        
  Trust 0.677% 3/15/14 7,150 6,041
1 JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.700% 11/15/16 4,765 3,586
4 Kowloon Canton Railway Corp. 5.125% 5/20/19 2,500 2,709
  Norfolk Southern Corp. 5.750% 4/1/18 3,000 3,255
3 Northwest Airlines Inc. 7.027% 11/1/19 4,908 4,760
  Ryder System Inc. 5.850% 3/1/14 4,000 4,283
  Ryder System Inc. 7.200% 9/1/15 16,000 18,228
3 Southwest Airlines Co. 2007-1 Pass        
  Through Trust 6.150% 8/1/22 3,619 3,780
  Union Pacific Corp. 5.750% 11/15/17 2,500 2,721
  United Parcel Service Inc. 5.125% 4/1/19 7,000 7,606
          4,974,226


Utilities (7.7%)        
  Electric (5.7%)        
  Ameren Energy Generating Co. 6.300% 4/1/20 4,000 4,055
  American Water Capital Corp. 6.085% 10/15/17 8,750 9,555
  Baltimore Gas & Electric Co. 5.900% 10/1/16 5,000 5,485
  Carolina Power & Light Co. 5.300% 1/15/19 11,985 12,881
  Columbus Southern Power Co. 5.500% 3/1/13 10,000 10,887
  Commonwealth Edison Co. 5.950% 8/15/16 5,000 5,546
  Commonwealth Edison Co. 5.800% 3/15/18 8,500 9,366
  Connecticut Light & Power Co. 5.650% 5/1/18 4,000 4,345
  Connecticut Light & Power Co. 5.500% 2/1/19 18,475 19,989
  Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 2,500 2,695
  Consolidated Edison Co. of New York Inc. 7.125% 12/1/18 10,000 11,999
  Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 13,890 16,215
  Consumers Energy Co. 6.125% 3/15/19 5,000 5,564
  Consumers Energy Co. 6.700% 9/15/19 12,790 14,697
  Dayton Power & Light Co. 5.125% 10/1/13 2,275 2,501
  Dominion Resources Inc. 6.000% 11/30/17 5,000 5,574
  Dominion Resources Inc. 6.400% 6/15/18 2,000 2,276
  Dominion Resources Inc. 5.200% 8/15/19 2,000 2,111
3 Dominion Resources Inc. 6.300% 9/30/66 10,990 10,556
  Duke Energy Carolinas LLC 5.750% 11/15/13 12,100 13,621
  Duke Energy Carolinas LLC 5.300% 10/1/15 6,000 6,681
  Duke Energy Ohio Inc. 5.450% 4/1/19 5,000 5,456
4 EDP Finance BV 6.000% 2/2/18 6,000 6,014
4 EDP Finance BV 4.900% 10/1/19 5,000 4,588
4 Enel Finance International SA 5.125% 10/7/19 13,000 12,833
  Entergy Texas Inc. 7.125% 2/1/19 5,485 6,297
  Exelon Corp. 4.900% 6/15/15 10,000 10,536
  FirstEnergy Corp. 6.450% 11/15/11 50 53
  FirstEnergy Solutions Corp. 4.800% 2/15/15 5,000 5,175
  Florida Power Corp. 4.800% 3/1/13 5,000 5,377
  Florida Power Corp. 5.800% 9/15/17 8,201 9,128
  Florida Power Corp. 5.650% 6/15/18 11,915 13,168
3,4 FPL Energy Marcus Hook LP 7.590% 7/10/18 5,603 6,263
  FPL Group Capital Inc. 7.875% 12/15/15 14,348 17,530
  FPL Group Capital Inc. 6.000% 3/1/19 17,976 19,768
3 FPL Group Capital Inc. 6.350% 10/1/66 10,850 10,235
  Georgia Power Co. 5.700% 6/1/17 2,000 2,227
  Georgia Power Co. 5.400% 6/1/18 5,000 5,421
3,4 GWF Energy LLC 6.131% 12/30/11 775 786
  Illinois Power Co. 6.125% 11/15/17 5,000 5,494
  Illinois Power Co. 6.250% 4/1/18 7,625 8,365
  Indiana Michigan Power Co. 7.000% 3/15/19 5,000 5,801
4 ITC Holdings Corp. 6.050% 1/31/18 20,000 21,183
4 Kansas Gas & Electric 6.700% 6/15/19 3,000 3,426
  Metropolitan Edison Co. 7.700% 1/15/19 5,000 5,899
  MidAmerican Energy Co. 5.125% 1/15/13 9,000 9,749
  Midamerican Energy Holdings Co. 5.750% 4/1/18 5,000 5,443
  National Rural Utilities Cooperative Finance        
  Corp. 3.875% 9/16/15 5,000 5,156
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 4/10/17 12,691 13,627
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 15,380 21,028
  Nevada Power Co. 6.500% 5/15/18 9,131 10,206
  Nevada Power Co. 6.500% 8/1/18 3,662 4,102
  Nevada Power Co. 7.125% 3/15/19 5,000 5,807


4 Niagara Mohawk Power Corp. 4.881% 8/15/19 7,000 7,168
Nisource Finance Corp. 6.800% 1/15/19 1,500 1,670
Northeast Utilities 7.250% 4/1/12 4,620 5,054
NSTAR 4.500% 11/15/19 7,000 7,157
NSTAR Electric Co. 5.625% 11/15/17 3,000 3,353
Ohio Power Co. 4.850% 1/15/14 5,000 5,327
Ohio Power Co. 6.000% 6/1/16 4,000 4,446
Pacific Gas & Electric Co. 5.625% 11/30/17 13,000 14,358
Pacific Gas & Electric Co. 8.250% 10/15/18 7,695 9,544
PacifiCorp 5.650% 7/15/18 15,000 16,591
PacifiCorp 5.500% 1/15/19 11,215 12,241
Peco Energy Co. 5.950% 11/1/11 15,000 16,041
Peco Energy Co. 4.750% 10/1/12 4,500 4,835
Pennsylvania Electric Co. 6.050% 9/1/17 7,000 7,642
1 Pepco Holdings Inc. 0.877% 6/1/10 3,075 3,075
PG&E Corp. 5.750% 4/1/14 10,650 11,706
Portland General Electric Co. 6.100% 4/15/19 3,000 3,383
Potomac Electric Power Co. 4.950% 11/15/13 5,465 5,936
3 PPL Capital Funding Inc. 6.700% 3/30/67 15,000 13,699
Progress Energy Inc. 7.100% 3/1/11 516 541
Progress Energy Inc. 5.625% 1/15/16 21,407 23,461
4 PSEG Power LLC 5.125% 4/15/20 4,000 4,051
Public Service Co. of Colorado 5.500% 4/1/14 7,000 7,739
Public Service Co. of Colorado 5.800% 8/1/18 5,200 5,789
Public Service Co. of Colorado 5.125% 6/1/19 5,500 5,820
Public Service Electric & Gas Co. 5.300% 5/1/18 3,000 3,230
Sierra Pacific Power Co. 6.000% 5/15/16 10,000 11,040
South Carolina Electric & Gas Co. 6.500% 11/1/18 13,105 15,177
Southern California Edison Co. 5.750% 3/15/14 23,157 26,021
Southern California Edison Co. 5.000% 1/15/16 4,000 4,364
Southern California Edison Co. 5.500% 8/15/18 4,625 5,072
Southern Co. 5.300% 1/15/12 7,000 7,457
Southern Co. 4.150% 5/15/14 9,000 9,471
Southern Power Co. 4.875% 7/15/15 6,500 7,021
4 SP PowerAssets Ltd. 5.000% 10/22/13 15,000 16,186
Tampa Electric Co. 6.375% 8/15/12 2,193 2,414
Tampa Electric Co. 6.100% 5/15/18 4,000 4,359
TransAlta Corp. 6.650% 5/15/18 5,000 5,554
4 United Energy Distribution Holdings Pty        
Ltd. 4.700% 4/15/11 10,000 10,224
Virginia Electric and Power Co. 5.950% 9/15/17 15,000 16,736
Virginia Electric and Power Co. 5.400% 4/30/18 15,615 16,918
3 Wisconsin Energy Corp. 6.250% 5/15/67 25,000 24,280
Wisconsin Power & Light Co. 5.000% 7/15/19 2,500 2,563
 
Natural Gas (2.0%)        
AGL Capital Corp. 7.125% 1/14/11 10,000 10,424
AGL Capital Corp. 5.250% 8/15/19 3,000 3,070
Atmos Energy Corp. 4.950% 10/15/14 6,420 6,885
Atmos Energy Corp. 8.500% 3/15/19 5,000 6,276
El Paso Natural Gas Co. 5.950% 4/15/17 3,000 3,182
Enbridge Energy Partners LP 6.500% 4/15/18 5,000 5,640
Enbridge Energy Partners LP 5.200% 3/15/20 5,000 5,151
3 Enbridge Energy Partners LP 8.050% 10/1/37 3,280 3,332
Enbridge Inc. 5.800% 6/15/14 10,000 11,129
Energy Transfer Partners LP 5.950% 2/1/15 2,769 3,033
Energy Transfer Partners LP 9.700% 3/15/19 5,000 6,432
Energy Transfer Partners LP 9.000% 4/15/19 5,000 6,219


  Enterprise Products Operating LLC 5.650% 4/1/13 16,975 18,494
  Enterprise Products Operating LLC 9.750% 1/31/14 7,000 8,618
  Enterprise Products Operating LLC 6.650% 4/15/18 15,000 17,122
3 Enterprise Products Operating LLC 8.375% 8/1/66 5,850 6,088
  EQT Corp. 6.500% 4/1/18 15,000 16,442
4 Florida Gas Transmission Co. LLC 7.625% 12/1/10 5,000 5,195
4 Gulf South Pipeline Co. LP 6.300% 8/15/17 7,000 7,701
4 Gulfstream Natural Gas System LLC 5.560% 11/1/15 8,500 9,196
  Kinder Morgan Energy Partners LP 5.950% 2/15/18 10,000 10,935
  Kinder Morgan Energy Partners LP 9.000% 2/1/19 5,410 6,899
  Magellan Midstream Partners LP 6.550% 7/15/19 10,000 11,319
  National Grid PLC 6.300% 8/1/16 7,000 7,882
4 NGPL PipeCo LLC 7.119% 12/15/17 10,000 11,388
  Northwest Pipeline GP 5.950% 4/15/17 5,000 5,484
  ONEOK Partners LP 6.150% 10/1/16 10,000 11,086
  ONEOK Partners LP 8.625% 3/1/19 2,000 2,510
  Panhandle Eastern Pipeline Co. LP 6.200% 11/1/17 5,000 5,432
  Southern California Gas Co. 5.500% 3/15/14 8,179 9,100
3 Southern Union Co. 7.200% 11/1/66 5,175 4,845
  TransCanada PipeLines Ltd. 6.500% 8/15/18 13,000 14,865
  TransCanada PipeLines Ltd. 7.125% 1/15/19 5,450 6,504
3 TransCanada PipeLines Ltd. 6.350% 5/15/67 4,000 3,825
 
4 Williams Partners LP 5.250% 3/15/20 15,000 15,451
          1,118,608
Total Corporate Bonds (Cost $10,578,775)       11,320,556
Sovereign Bonds (U.S. Dollar-Denominated) (2.0%)        
4 Abu Dhabi National Energy Co. 5.875% 10/27/16 1,000 1,033
4 Abu Dhabi National Energy Co. 6.165% 10/25/17 5,000 5,152
4 Bahrain Government International Bond 5.500% 3/31/20 3,300 3,300
4 Banco Nacional de Desenvolvimento        
  Economico e Social 6.500% 6/10/19 10,000 10,755
4 Bank of China Hong Kong Ltd. 5.550% 2/11/20 5,000 5,090
  Brazilian Government International Bond 5.875% 1/15/19 2,800 3,020
  China Development Bank Corp. 5.000% 10/15/15 1,500 1,629
  Colombia Government International Bond 7.375% 3/18/19 5,000 5,760
  Corp Andina de Fomento 8.125% 6/4/19 6,000 7,207
  Corp. Andina de Fomento 5.200% 5/21/13 3,000 3,255
4 Croatia Government International Bond 6.750% 11/5/19 5,000 5,356
4 EDF SA 4.600% 1/27/20 10,000 10,050
4 Emirate of Abu Dhabi 6.750% 4/8/19 5,000 5,755
  Export-Import Bank of Korea 4.125% 9/9/15 5,000 5,044
4 Gaz Capital SA for Gazprom 6.212% 11/22/16 3,750 3,787
4 Industrial Bank of Korea 7.125% 4/23/14 2,700 3,016
  Israel Government International Bond 5.125% 3/26/19 15,000 15,441
  Korea Development Bank 8.000% 1/23/14 5,000 5,761
4 Korea East-West Power Co. Ltd. 4.875% 4/21/11 5,000 5,101
4 Korea East-West Power Co. Ltd. 5.250% 11/15/12 5,000 5,280
4 Korea Expressway Corp. 4.875% 4/7/14 5,000 5,178
4 MDC-GMTN B.V. 7.625% 5/6/19 9,000 10,268
  Panama Government International Bond 7.250% 3/15/15 7,500 8,689
  Pemex Project Funding Master Trust 5.750% 3/1/18 5,000 5,172
  Petrobras International Finance Co. 9.125% 7/2/13 3,937 4,664
  Petrobras International Finance Co. 7.750% 9/15/14 400 465
  Petrobras International Finance Co. 7.875% 3/15/19 6,000 7,005
  Petrobras International Finance Co. 5.750% 1/20/20 5,000 5,141
4 Petroleos Mexicanos 6.000% 3/5/20 5,000 5,159


3,4 Petroleum Co. of Trinidad & Tobago Ltd. 6.000% 5/8/22 8,800 8,516
4 Petronas Capital Ltd. 7.000% 5/22/12 5,000 5,517
4 Petronas Capital Ltd. 5.250% 8/12/19 14,500 15,081
3,4 PF Export Receivables Master Trust 3.748% 6/1/13 1,305 1,283
3,4 PF Export Receivables Master Trust 6.436% 6/1/15 2,737 2,875
  Poland Government International Bond 6.375% 7/15/19 10,000 10,990
4 Qatar Government International Bond 6.550% 4/9/19 5,000 5,694
4 Qatar Government International Bond 5.250% 1/20/20 3,250 3,368
3,4 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 15,020 15,575
4 Ras Laffan Liquefied Natural Gas Co. Ltd.        
  III 5.500% 9/30/14 2,725 2,946
  Republic of Korea 4.250% 6/1/13 9,325 9,848
  Republic of Korea 7.125% 4/16/19 3,000 3,584
  South Africa Government International        
  Bond 5.500% 3/9/20 7,000 7,105
4 TDIC Finance Ltd. 6.500% 7/2/14 5,600 6,095
4 TransCapitalInvest Ltd. for OJSC AK        
  Transneft 5.670% 3/5/14 15,450 16,113
  United Mexican States 5.125% 1/15/20 8,000 8,104
Total Sovereign Bonds (Cost $267,462)       285,227
Taxable Municipal Bonds (0.2%)        
  California GO 5.750% 3/1/17 10,000 10,432
  Florida Hurricane Catastrophe Fund        
  Finance Corp. Rev. 1.034% 10/15/12 14,210 13,688
  New York City NY IDA Special Fac. Rev.        
  (American Airlines Inc. J.F.K International        
  Project) 7.500% 8/1/16 1,825 1,842
Total Taxable Municipal Bonds (Cost $26,026)       25,962
        Shares  
Convertible Preferred Stock (0.0%)        
Financials (0.0%)        
5 Lehman Brothers Holdings Inc. Pfd. 7.250%   8,740 13
 
Total Convertible Preferred Stocks (Cost $8,740)       13
 
Preferred Stocks (0.1%)        
  Goldman Sachs Group Inc. Pfd. 4.000%   322,000 6,511
  Southern California Edison Co. Pfd. 5.349%   50,316 5,037
  Axis Capital Holdings Ltd. Pfd. 7.500%   50,000 4,667
  Santander Finance Preferred SA        
  Unipersonal Pfd. 10.500%   90,590 2,461
  Aspen Insurance Holdings Ltd. Pfd. 7.401%   76,950 1,785
Total Preferred Stocks (Cost $22,885)       20,461
Temporary Cash Investment (2.6%)        
Money Market Fund (2.6%)        
6 Vanguard Market Liquidity Fund (Cost        
  $383,466) 0.210%   383,466,253 383,466
 
Total Investments (99.0%) (Cost $13,486,872)       14,323,927
Other Assets and Liabilities-Net (1.0%)       138,101
Net Assets (100%)       14,462,028

1 Adjustable-rate security.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.


3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2010, the aggregate value of these securities was $1,724,510,000, representing 11.9% of net assets.
5 Non-income-producing security--security in default.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
IDA—Industrial Development Authority Bond.
REIT—Real Estate Investment Trust.


Intermediate-Term Investment-Grade Fund

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. 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.

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

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

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

        ($000)
    Number of Aggregate  
    Long (Short) Settlement Unrealized
    Contracts Value Appreciation
Futures Contracts Expiration   Long (Short)  (Depreciation)
2-Year U.S. Treasury Note June 2010 (4,297) (934,933) (2,635)
10-Year U.S. Treasury Note June 2010 4,701 554,277 6,084
5-Year U.S. Treasury Note June 2010 1,071 124,085 438

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

C. 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


Intermediate-Term Investment-Grade Fund

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

The fund has 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 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 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, by 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.


Intermediate-Term Investment-Grade Fund          
 
 
At April 30, 2010, the fund had the following open swap contracts:      
 
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 6/20/10 DBAG 5,000 — 0.400 1
Johnson & Johnson/Aaa 9/20/12 UBSAG 2,160 — 0.080 (10)
Johnson & Johnson/Aaa 9/20/12 GSCM 5,400 — 0.070 (27)
HSBC/A3 3/20/14 BOANA 28,000 — 6.200 5,625
HSBC/A3 6/20/14 GSCM 30,000 3,600 5.000 8,038
Bank of America Corp. 3/20/15 DBAG 4,400 101 1.000 24
Metlife Inc. 3/20/15 DBAG 18,000 1,086 1.000 397
Credit Protection Purchased            
Goldman Sachs & Co. 9/20/10 DBAG 7,500 (52) 1.000 (19)
Wells Fargo 9/20/10 DBAG 8,000 30 1.000 (5)
Marsh & McLennan Co. 6/20/14 DBAG 10,000 135 1.000 154
Bank of America Corp. 12/20/14 DBAG 5,800 (73) 1.000 39
Bank of America Corp. 12/20/14 BARC 5,800 (68) 1.000 44
Wells Fargo 3/20/15 GSCM 4,400 (37) 1.000 (82)
Morgan Stanley 9/20/18 UBSAG 10,000 — 2.000 (133)
Morgan Stanley 9/20/18 BOANA 10,000 (1,152) 1.000 (437)
            13,609

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


Intermediate-Term Investment-Grade Fund        
 
Interest Rate Swaps          
      Fixed  Floating  
      Interest  Interest  
      Rate  Rate Unrealized
    Notional Received Received Appreciation
    Amount (Paid)   (Paid) (Depreciation)
Termination Date Counterparty1 ($000) (%) (%)  ($000)
9/30/2010 BARC 360 3.440 (0.290) 2 4
10/6/2010 WFC 8,165 1.640 (0.290) 2 41
11/15/2010 GSCM 1,230 0.630 (0.290) 3 1
12/15/2010 WFC 8,300 1.020 (0.290) 3 29
1/15/2011 WFC 16,700 1.030 (0.290) 3 63
1/18/2011 BOANA 3,000 0.740 (0.290) 3 5
5/15/2011 BARC 2,525 0.600 (0.290) 3 —
5/16/2011 BOANA 1,500 0.940 (0.290) 3 5
5/16/2011 WFC 1,540 0.980 (0.290) 3 6
6/15/2011 GSCM 3,125 1.320 (0.290) 3 24
6/15/2011 WFC 650 1.320 (0.290) 3 5
7/15/2011 WFC 2,200 1.270 (0.290) 3 16
7/15/2011 GSCM 1,900 1.240 (0.290) 3 13
7/15/2011 WFC 4,300 1.320 (0.290) 3 33
7/15/2011 GSCM 1,540 1.090 (0.290) 3 8
7/15/2011 BOANA 4,220 1.090 (0.290) 3 21
8/15/2011 GSCM 1,500 1.090 (0.290) 3 7
8/15/2011 BOANA 5,800 0.830 (0.290) 3 9
8/15/2011 WFC 2,500 0.740 (0.290) 3 1
9/15/2011 BOANA 10,700 0.840 (0.290) 3 12
10/6/2011 BARC 6,600 1.720 (0.290) 3 87
11/15/2011 WFC 1,720 1.500 (0.290) 3 17
11/15/2011 WFC 3,000 1.380 (0.290) 3 24
12/6/2011 WFC 3,950 2.020 (0.290) 2 66
1/15/2012 WFC 4,550 1.380 (0.290) 3 34
1/15/2012 WFC 4,900 1.230 (0.290) 3 24


Intermediate-Term Investment-Grade Fund        
 
1/15/2012 WFC 8,100 1.150 (0.290) 3 28
1/15/2012 WFC 1,740 1.080 (0.290) 3 4
1/15/2012 WFC 160 1.050 (0.290) 3 —
1/15/2012 WFC 4,300 1.060 (0.290) 3 8
2/6/2012 WFC 5,500 1.490 (0.290) 3 49
3/6/2012 GSCM 5,000 1.500 (0.290) 3 44
4/15/2012 WFC 6,300 1.540 (0.290) 3 56
4/24/2012 GSCM 1,700 1.600 (0.290) 3 17
5/15/2012 GSCM 2,100 1.710 (0.290) 3 25
5/15/2012 BOANA 875 1.350 (0.290) 3 4
5/15/2012 WFC 5,700 1.260 (0.290) 3 16
5/15/2012 WFC 14,300 1.140 (0.290) 3 5
6/15/2012 BARC 31,500 1.660 (0.290) 3 320
6/15/2012 BARC 1,500 1.680 (0.290) 3 16
6/15/2012 JPMC 1,160 1.350 (0.290) 3 4
7/15/2012 WFC 19,800 1.600 (0.290) 3 162
7/15/2012 GSCM 14,980 1.610 (0.290) 3 128
7/15/2012 GSCM 8,000 1.730 (0.290) 3 89
7/15/2012 BARC 16,105 1.680 (0.290) 3 163
7/15/2012 WFC 1,485 1.450 (0.290) 3 8
7/15/2012 WFC 4,085 1.450 (0.290) 3 21
7/15/2012 JPMC 11,950 1.370 (0.290) 3 40
7/16/2012 WFC 1,270 1.590 (0.290) 3 10
8/15/2012 WFC 13,850 1.850 (0.290) 3 182
8/15/2012 JPMC 5,275 1.440 (0.290) 3 22
9/6/2012 GSCM 24,056 2.070 (0.290) 3 430
9/6/2012 BOANA 30,556 2.070 (0.290) 3 541
9/15/2012 GSCM 22,400 1.860 (0.290) 3 284
9/15/2012 WFC 30,665 1.760 (0.290) 3 316
10/15/2012 BOANA 10,550 1.750 (0.290) 3 100


Intermediate-Term Investment-Grade Fund        
 
11/15/2012 GSCM 10,100 1.800 (0.290) 3 100
11/15/2012 BARC 6,200 1.950 (0.290) 3 84
11/15/2012 WFC 3,970 1.810 (0.290) 3 41
12/6/2012 BARC 15,500 2.330 (0.290) 2 319
12/15/2012 BOANA 7,000 2.210 (0.290) 2 121
12/15/2012 WFC 18,000 1.820 (0.290) 3 172
12/15/2012 WFC 16,500 1.760 (0.290) 3 133
12/15/2012 WFC 37,130 1.720 (0.290) 3 253
12/17/2012 WFC 14,500 2.260 (0.290) 2 271
12/17/2012 WFC 9,700 1.990 (0.290) 2 115
1/15/2013 WFC 16,750 1.720 (0.290) 3 104
1/15/2013 WFC 15,000 1.770 (0.290) 2 78
2/15/2013 WFC 11,800 1.710 (0.290) 3 54
2/15/2013 WFC 725 1.890 (0.290) 3 7
2/15/2013 WFC 10,170 1.730 (0.290) 3 52
2/20/2013 WFC 6,220 1.930 (0.290) 3 65
3/15/2013 WFC 11,750 1.900 (0.290) 3 107
3/15/2013 WFC 1,200 2.100 (0.290) 3 18
3/15/2013 WFC 3,200 2.170 (0.290) 3 53
3/15/2013 JPMC 13,950 1.720 (0.290) 3 58
7/15/2013 BARC 7,000 2.530 (0.290) 3 171
7/15/2013 BOANA 25,000 2.190 (0.290) 3 345
9/15/2013 WFC 7,900 1.950 (0.290) 3 31
11/15/2013 WFC 1,750 2.040 (0.290) 3 8
11/15/2013 WFC 24,240 2.040 (0.290) 3 105
11/17/2013 JPMC 3,600 2.170 (0.290) 3 31
12/1/2013 GSCM 29,608 2.580 (0.290) 2 578
12/1/2013 WFC 41,858 2.580 (0.290) 2 815
12/1/2013 GSCM 41,858 2.580 (0.290) 2 817
1/6/2014 WFC 10,000 2.430 (0.290) 3 160


Intermediate-Term Investment-Grade Fund        
 
3/6/2014 GSCM 24,902 2.450 (0.290) 3 360
3/15/2014 WFC 7,500 2.660 (0.290) 3 165
3/15/2014 WFC 3,500 2.210 (0.290) 3 17
4/15/2014 WFC 14,000 2.210 (0.290) 3 51
5/15/2014 GSCM 1,250 2.300 (0.290) 3 8
6/15/2014 WFC 4,400 2.340 (0.290) 3 27
6/16/2014 WFC 40 2.580 (0.290) 3 1
7/15/2014 WFC 8,000 2.310 (0.290) 3 29
8/15/2014 WFC 12,750 2.680 (0.290) 3 224
2/17/2015 GSCM 62,450 2.555 (0.290) 2 —
3/24/2015 GSCM 1,520 2.910 (0.290) 3 29
6/1/2016 WFC 6,225 2.910 (0.290) 2 (17)
8/15/2016 GSCM 5,430 3.030 (0.290) 3 28
8/15/2016 GSCM 15,400 3.080 (0.290) 3 125
8/15/2016 BOANA 2,240 3.230 (0.290) 3 38
12/15/2016 WFC 11,300 3.370 (0.290) 2 190
1/15/2017 BARC 1,130 2.970 (0.290) 3 (5)
2/15/2017 WFC 43,000 3.370 (0.290) 3 827
2/15/2017 GSCM 16,200 3.430 (0.290) 3 372
2/15/2017 BARC 1,490 3.180 (0.290) 3 11
6/15/2017 GSCM 4,160 3.490 (0.290) 3 95
6/15/2017 BARC 2,050 3.470 (0.290) 3 45
6/15/2017 BOANA 10,000 3.310 (0.290) 3 114
9/15/2017 GSCM 24,600 3.520 (0.290) 3 538
9/15/2017 BARC 5,400 3.360 (0.290) 3 62
          12,245

2 Based on 3-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on 1-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.


Intermediate-Term Investment-Grade Fund        
 
 
Total Return Swaps        
      Floating Unrealized
    Notional  Interest Rate Appreciation
    Amount Received (Depreciation)
Reference Entity/Termination Date Counterparty¹ ($000) (Paid) ($000)
Commercial Mortgage-Backed Securities Index        
5/1/10 BARC 48,500 (0.250)² —
6/1/10 BARC 48,500 (0.250)² 2,069
7/1/10 BARC 30,431 (0.250)² 724
8/1/10 BARC 30,431 (0.250)² 724
9/1/10 BARC 15,431 (0.250)² 257
10/1/10 BARC 15,431 (0.250)² 257
        4,031

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

At April 30, 2010, counterparties had deposited in segregated accounts securities with a value sufficient to cover substantially all amounts due to the fund in connection with open swap contracts.


Intermediate-Term Investment-Grade Fund

D. 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 April 30, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 520,280 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,767,962 —
Corporate Bonds — 11,320,556 —
Sovereign Bonds — 285,227 —
Taxable Municipal Bonds — 25,962 —
Convertible Preferred Stocks 13 — —
Preferred Stocks 20,461 — —
Temporary Cash Investments 383,466 — —
Futures Contracts—Assets1 3,339 — —
Futures Contracts—Liabilities1 (1,220) — —
Swap Contracts—Assets — 30,620 —
Swap Contracts—Liabilities — (735) —
Total 406,059 13,949,872 —
1 Represents variation margin on the last day of the reporting period.      

E. At April 30, 2010, the cost of investment securities for tax purposes was $13,492,519,000. Net unrealized appreciation of investment securities for tax purposes was $831,408,000, consisting of unrealized gains of $978,159,000 on securities that had risen in value since their purchase and $146,751,000 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:

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:

  VANGUARD FIXED INCOME SECURITIES FUNDS
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date:

* By:/s/ Heidi Stam

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