N-Q 1 fixedincomefinal.htm VANGUARD FIXED INCOME SECURITIES FUNDS fixedincomefinal.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, 2011

Item 1: Schedule of Investments

 

Vanguard GNMA Fund

Schedule of Investments
As of April 30, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.1%)        
Conventional Mortgage-Backed Securities (98.2%)        
1,2 Fannie Mae Pool 3.970% 8/1/20 13,638 13,717
1,2 Fannie Mae Pool 4.000% 8/1/20 16,157 16,227
1,2 Fannie Mae Pool 4.080% 5/1/21 3,850 3,868
1,2 Fannie Mae Pool 4.130% 9/1/20 135,765 137,724
1,2 Fannie Mae Pool 4.151% 10/1/20 122,249 124,299
1,2 Fannie Mae Pool 4.160% 3/1/21 13,286 13,545
1,2 Fannie Mae Pool 4.180% 6/1/21 10,779 10,904
1,2 Fannie Mae Pool 4.200% 6/1/21 16,000 16,200
1,2 Fannie Mae Pool 4.210% 6/1/21 8,900 9,014
1,2 Fannie Mae Pool 4.230% 6/1/21 32,400 32,866
1,2 Fannie Mae Pool 4.260% 6/1/21 22,350 22,738
1,2 Fannie Mae Pool 4.280% 5/1/21 3,475 3,543
1,2 Fannie Mae Pool 4.295% 6/1/21 112,000 112,654
1,2 Fannie Mae Pool 4.320% 4/1/21 3,300 3,393
1,2 Fannie Mae Pool 4.355% 3/1/20 7,286 7,546
1,2 Fannie Mae Pool 4.370% 2/1/20–5/1/21 24,729 25,482
1,2 Fannie Mae Pool 4.390% 5/1/21 10,920 11,210
1,2 Fannie Mae Pool 4.420% 6/1/21 4,340 4,452
1,2 Fannie Mae Pool 4.440% 5/1/21 1,600 1,650
1,2 Fannie Mae Pool 4.480% 5/1/21 4,370 4,518
1,2 Fannie Mae Pool 4.500% 3/1/20 1,927 2,010
1,2 Fannie Mae Pool 4.510% 5/1/21 50,039 51,787
1,2 Fannie Mae Pool 4.530% 6/1/21 27,465 28,366
1,2 Fannie Mae Pool 4.540% 6/1/21 26,789 27,546
1,2 Fannie Mae Pool 4.570% 5/1/21 3,000 3,209
1,2 Fannie Mae Pool 5.500% 1/1/12–1/1/19 11,984 13,067
1,2 Fannie Mae Pool 6.000% 7/1/22–5/1/41 134 147
1,2 Freddie Mac Gold Pool 3.500% 1/1/41 172,230 164,050
1 Ginnie Mae I Pool 4.000% 6/15/19–5/1/41 5,767,200 5,866,972
1 Ginnie Mae I Pool 4.500% 5/15/19–5/1/41 8,607,556 9,009,433
1 Ginnie Mae I Pool 5.000% 1/15/30–5/1/41 3,337,683 3,599,444
1 Ginnie Mae I Pool 5.500% 4/15/13–5/1/41 4,767,079 5,233,531
1 Ginnie Mae I Pool 6.000% 10/15/16–4/1/41 2,407,973 2,689,368
1 Ginnie Mae I Pool 6.500% 7/15/12–3/1/41 2,719,435 3,095,366
1 Ginnie Mae I Pool 7.000% 11/15/31–12/15/36 198,956 231,697
1 Ginnie Mae I Pool 7.250% 12/15/26–2/15/27 147 171
1 Ginnie Mae I Pool 7.500% 9/15/16–10/15/31 73,521 85,119
1 Ginnie Mae I Pool 7.750% 2/15/27 147 172
1 Ginnie Mae I Pool 8.000% 6/15/11–8/15/31 32,324 35,960
1 Ginnie Mae I Pool 8.500% 5/15/16–6/15/28 7,342 7,964
1 Ginnie Mae I Pool 9.000% 3/15/14–5/15/21 4,984 5,574
1 Ginnie Mae I Pool 9.250% 9/15/16–7/15/17 38 42
1 Ginnie Mae I Pool 9.500% 12/15/13–7/15/22 2,782 3,125
1 Ginnie Mae I Pool 10.000% 2/15/14–7/15/19 127 142
1 Ginnie Mae I Pool 11.000% 7/15/13–2/15/18 4 5
1 Ginnie Mae I Pool 11.500% 1/15/13–8/15/13 17 18
1 Ginnie Mae I Pool 13.500% 12/15/14 4 4
1 Ginnie Mae II Pool 3.500% 4/20/39–5/1/41 374,777 362,970
1 Ginnie Mae II Pool 4.000% 4/20/39–9/20/40 101,404 102,560

 

 

1 Ginnie Mae II Pool 4.500% 12/20/32–5/1/41 636,823 665,538
1 Ginnie Mae II Pool 5.000% 10/20/32–8/20/40 2,066,596 2,216,415
1 Ginnie Mae II Pool 5.500% 1/20/34–7/20/40 84,759 92,870
1 Ginnie Mae II Pool 6.000% 4/20/28–8/20/40 380,392 420,682
1 Ginnie Mae II Pool 6.500% 4/20/37–2/20/40 123,516 139,939
1 Ginnie Mae II Pool 7.000% 10/20/25–5/20/38 1,400 1,592
1 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 371 425
1 Ginnie Mae II Pool 8.000% 12/20/15–9/20/16 103 108
1 Ginnie Mae II Pool 8.500% 3/20/16–1/20/17 530 600
1 Ginnie Mae II Pool 9.000% 6/20/16–9/20/16 180 206
1 Ginnie Mae II Pool 10.000% 7/20/14–8/20/18 37 42
1 Ginnie Mae II Pool 11.000% 6/20/14–2/20/16 13 14
1 Ginnie Mae II Pool 11.250% 9/20/15–2/20/16 29 33
1 Ginnie Mae II Pool 11.500% 1/20/14–11/20/15 12 14
1 Ginnie Mae II Pool 12.000% 6/20/14–12/20/15 24 26
1 Ginnie Mae II Pool 12.500% 5/20/14–7/20/15 10 12
1 Ginnie Mae II Pool 13.000% 9/20/13–11/20/14 7 8
1 Ginnie Mae II Pool 13.500% 8/20/14–10/20/14 7 7
          34,733,900
Nonconventional Mortgage-Backed Securities (0.9%)      
1,2 Fannie Mae Pool 4.240% 1/1/20 2,750 2,825
1,2 Fannie Mae Pool 4.430% 3/1/20 2,073 2,153
1,2 Fannie Mae Pool 4.570% 5/1/19 5,842 6,166
1,3 Government National Mortgage Assn. 0.413% 2/20/37 24,963 24,641
1 Government National Mortgage Assn. 5.000% 2/16/37-6/16/37 147,637 162,215
1 Government National Mortgage Assn. 5.500% 8/16/36 17,000 18,853
1 Government National Mortgage Assn. 6.000% 10/20/39 98,832 107,335
1 Government National Mortgage Assn. 6.500% 4/20/31 5,003 5,500
          329,688
Total U.S. Government and Agency Obligations (Cost $33,748,116)   35,063,588
Temporary Cash Investments (28.1%)        
Repurchase Agreements (22.1%)        
  Bank of America Securities, LLC        
  (Dated 4/29/11, Repurchase Value        
  $785,303,000, collateralized by Federal        
  Home Loan Bank 4.805%-4.910%, 4/28/15-        
  8/20/15, Federal Home Loan Mortgage        
  Corp. 2.227%-7.000%, 7/1/35-3/1/41,        
  Federal National Mortgage Assn. 1.513%-        
  6.000%, 12/1/23-12/1/44, Government        
  National Mortgage Assn. 4.699%-4.761%,        
  2/20/61-4/20/61) 0.040% 5/2/11 785,300 785,300
  Barclays Capital Inc.        
  (Dated 4/29/11, Repurchase Value        
  $858,204,000, collateralized by Federal        
  Home Loan Mortgage Corp. 4.000%-        
  5.000%, 11/1/40-5/1/41, Federal National        
  Mortgage Assn. 3.500%-5.500%, 1/1/26-        
  3/1/41) 0.050% 5/2/11 858,200 858,200
  BNP Paribas Securities Corp.        
  (Dated 4/29/11, Repurchase Value        
  $375,102,000, collateralized by Federal        
  Home Loan Mortgage Corp. 4.000%,        
  3/1/26-2/1/41, Federal National Mortgage        
  Assn. 4.000%-5.500%, 9/1/29-1/1/38) 0.050% 5/2/11 375,100 375,100

 

 

Deutsche Bank Securities, Inc.        
(Dated 4/29/11, Repurchase Value        
$1,054,504,000, collateralized by Federal        
National Mortgage Assn. 3.500%-5.500%,        
5/1/24-2/1/41) 0.040% 5/2/11 1,054,500 1,054,500
HSBC Bank USA        
(Dated 4/29/11, Repurchase Value        
$2,809,912,000, collateralized by Federal        
National Mortgage Assn. 3.000%-6.500%,        
10/1/13-5/1/41) 0.050% 5/2/11 2,809,900 2,809,900
RBS Securities, Inc.        
(Dated 4/29/11, Repurchase Value        
$769,003,000, collateralized by        
Government National Mortgage Assn.        
2.500%-12.000%, 9/15/11-4/20/61) 0.050% 5/2/11 769,000 769,000
UBS Securities LLC        
(Dated 4/29/11, Repurchase Value        
$1,150,606,000, collateralized by Federal        
Home Loan Mortgage Corp. 2.476%-        
7.000%, 3/1/14-4/1/41, Federal National        
Mortgage Assn. 2.547%-7.000%, 8/1/11-        
4/1/41) 0.060% 5/2/11 1,150,600 1,150,600
        7,802,600
U.S. Government and Agency Obligations (6.0%)      
2 Freddie Mac Discount Notes 0.060%–0.070% 7/25/11 426,308 426,248
United States Treasury Bill 0.020% 7/14/11 1,700,000 1,699,932
        2,126,180
Total Temporary Cash Investments (Cost $9,928,773)     9,928,780
Total Investments (127.2%) (Cost $43,676,889)       44,992,368
Other Assets and Liabilities-Net (-27.2%)4       (9,612,756)
Net Assets (100%)       35,379,612

 

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 $13,077,000, has 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.

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

        ($000)
    Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration  Contracts Long (Short) (Depreciation)
10-Year U.S. Treasury Note June 2011 8,173 990,082 11,019

 

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, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 35,063,588 —
Temporary Cash Investments — 9,928,780 —
Futures Contracts—Assets1 1,532 — —
Total 1,532 44,992,368 —
1 Represents variation margin on the last day of the reporting period.      

 

D. At April 30, 2011, the cost of investment securities for tax purposes was $43,685,316,000. Net unrealized appreciation of investment securities for tax purposes was $1,307,052,000, consisting of unrealized gains of $1,342,084,000 on securities that had risen in value since their purchase and $35,032,000 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, 2011

        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 78,947
  United States Treasury Note/Bond 4.000% 11/15/12 69,315 73,138
  United States Treasury Note/Bond 4.250% 8/15/13 56,900 61,506
  United States Treasury Note/Bond 2.250% 5/31/14 92,825 96,161
  United States Treasury Note/Bond 4.250% 8/15/15 75,000 83,133
Total U.S. Government and Agency Obligations (Cost $380,255)     392,885
Corporate Bonds (94.3%)        
Finance (13.7%)        
  Banking (1.9%)        
  BankAmerica Capital II 8.000% 12/15/26 14,590 14,918
1 LBG Capital No.1 plc 7.875% 11/1/20 141,705 141,138
1 Lloyds TSB Bank plc 6.500% 9/14/20 82,240 83,625
  NB Capital Trust IV 8.250% 4/15/27 24,250 24,863
 
  Finance Companies (9.4%)        
  Ally Financial Inc. 8.300% 2/12/15 74,645 83,789
  Ally Financial Inc. 8.000% 3/15/20 106,050 119,041
1 Ally Financial Inc. 7.500% 9/15/20 67,975 74,433
  Ally Financial Inc. 8.000% 11/1/31 37,015 41,549
2 CIT Group Inc. 7.000% 5/1/13 5,648 5,761
  CIT Group Inc. 7.000% 5/1/14 16,147 16,429
  CIT Group Inc. 7.000% 5/1/15 16,147 16,369
  CIT Group Inc. 7.000% 5/1/16 98,911 99,777
  CIT Group Inc. 7.000% 5/1/17 170,406 171,897
^,1 CIT Group Inc. 6.625% 4/1/18 120,655 128,497
1 International Lease Finance Corp. 6.500% 9/1/14 37,670 40,024
1,3 International Lease Finance Corp. 8.875% 9/15/15 41,880 46,801
1 International Lease Finance Corp. 6.750% 9/1/16 42,895 45,898
1,3 International Lease Finance Corp. 9.000% 3/15/17 38,820 44,158
1 International Lease Finance Corp. 7.125% 9/1/18 45,485 49,237
  International Lease Finance Corp. 8.250% 12/15/20 41,371 46,439
1 Provident Funding Associates LP / PFG        
  Finance Corp. 10.250% 4/15/17 48,700 54,422
  SLM Corp. 6.250% 1/25/16 80,090 84,967
  SLM Corp. 8.450% 6/15/18 44,100 50,113
  SLM Corp. 8.000% 3/25/20 58,325 64,572
 
  Insurance (2.2%)        
2 Hartford Financial Services Group Inc. 8.125% 6/15/38 94,960 106,565
1 Liberty Mutual Group Inc. 7.800% 3/15/37 55,515 56,348
1,2 Metlife Capital Trust IV 7.875% 12/15/67 46,910 52,187
1,2 MetLife Capital Trust X 9.250% 4/8/68 33,000 41,250
  Provident Cos. Inc. 7.000% 7/15/18 27,310 30,508
  Unum Group 6.750% 12/15/28 16,145 15,728
  Unum Group 7.375% 6/15/32 6,295 6,240

 

 

  Other Finance (0.2%)        
  Lender Processing Services Inc. 8.125% 7/1/16 25,715 26,551
          1,884,094
Industrial (72.2%)        
  Basic Industry (7.7%)        
  Arch Coal Inc. 8.750% 8/1/16 14,090 15,781
  Arch Coal Inc. 7.250% 10/1/20 16,105 17,353
  Arch Western Finance LLC 6.750% 7/1/13 9,301 9,371
  Ashland Inc. 9.125% 6/1/17 24,880 28,736
  Cascades Inc. 7.750% 12/15/17 32,775 34,987
  Cascades Inc. 7.875% 1/15/20 10,620 11,390
3,4 CDW Extended Bank Loan 4.500% 7/15/17 64,333 64,344
  Celanese US Holdings LLC 6.625% 10/15/18 11,265 11,828
  CF Industries Inc. 6.875% 5/1/18 21,795 24,465
  CF Industries Inc. 7.125% 5/1/20 27,670 31,613
1 Chemtura Corp. 7.875% 9/1/18 11,380 12,234
3,4 CIT Group Inc. Bank Loan 6.250% 8/11/15 9,756 9,892
  Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.250% 12/15/17 28,965 31,572
  Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.500% 12/15/19 17,600 19,580
  Consol Energy Inc. 8.000% 4/1/17 34,455 38,073
  Consol Energy Inc. 8.250% 4/1/20 49,305 54,852
3,4 First Data Corp. 2.963% 9/24/14 4,320 4,100
1 FMG Resources August 2006 Pty Ltd. 7.000% 11/1/15 49,525 52,342
1 FMG Resources August 2006 Pty Ltd. 6.375% 2/1/16 9,720 9,917
1 FMG Resources August 2006 Pty Ltd. 6.875% 2/1/18 48,750 51,236
3,4 Freescale Semiconductor, Inc. Bank Loan 4.493% 12/1/16 58,306 58,296
1 Georgia-Pacific LLC 7.125% 1/15/17 78,040 83,308
1 Georgia-Pacific LLC 5.400% 11/1/20 20,130 20,296
  Georgia-Pacific LLC 8.000% 1/15/24 17,955 20,693
1 KRATON Polymers LLC/KRATON Polymers        
  Capital Corp. 6.750% 3/1/19 4,600 4,681
1 Lyondell Chemical Co. 8.000% 11/1/17 46,851 52,239
  Methanex Corp. 8.750% 8/15/12 28,910 31,006
  Neenah Paper Inc. 7.375% 11/15/14 20,108 20,410
  Novelis Inc. 8.375% 12/15/17 37,875 41,662
  Novelis Inc. 8.750% 12/15/20 34,065 38,068
  Solutia Inc. 8.750% 11/1/17 10,365 11,453
1 Vedanta Resources plc 8.750% 1/15/14 9,725 10,556
1 Vedanta Resources plc 9.500% 7/18/18 52,840 58,611
  Weyerhaeuser Co. 7.375% 10/1/19 37,950 43,545
  Weyerhaeuser Co. 7.375% 3/15/32 26,800 29,046
 
  Capital Goods (6.0%)        
1 Ardagh Packaging Finance plc 7.375% 10/15/17 16,125 17,297
  Ball Corp. 7.125% 9/1/16 3,380 3,693
  Ball Corp. 6.625% 3/15/18 18,800 19,364
  Ball Corp. 7.375% 9/1/19 4,890 5,306
  BE Aerospace Inc. 6.875% 10/1/20 37,830 39,769
1 Bombardier Inc. 7.500% 3/15/18 32,985 36,531
1 Bombardier Inc. 7.750% 3/15/20 33,085 37,055
1 Building Materials Corp. of America 6.875% 8/15/18 14,580 14,908
1 Building Materials Corp. of America 6.750% 5/1/21 19,490 19,734
  Case New Holland Inc. 7.750% 9/1/13 23,465 25,606
1 Case New Holland Inc. 7.875% 12/1/17 85,665 95,945
1 Cemex Finance LLC 9.500% 12/14/16 61,020 64,927

 

 

1 Crown Americas LLC / Crown Americas        
  Capital Corp. III 6.250% 2/1/21 34,000 34,935
1 Fibria Overseas Finance Ltd. 7.500% 5/4/20 83,061 91,944
1 Huntington Ingalls Industries Inc. 6.875% 3/15/18 27,210 28,570
1 Huntington Ingalls Industries Inc. 7.125% 3/15/21 25,350 26,617
  Masco Corp. 6.125% 10/3/16 7,785 8,016
  Masco Corp. 5.850% 3/15/17 6,819 6,858
  Masco Corp. 6.625% 4/15/18 3,895 3,979
  Masco Corp. 7.125% 3/15/20 16,791 17,421
  Owens Corning 9.000% 6/15/19 39,840 47,459
1 Pinafore LLC / Pinafore Inc. 9.000% 10/1/18 20,575 22,530
1 Reynolds Group Issuer Inc / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer        
  Luxembourg SA 7.750% 10/15/16 73,325 77,908
1 Reynolds Group Issuer Inc / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer        
  Luxembourg SA 7.125% 4/15/19 43,750 45,609
  United Rentals North America Inc. 10.875% 6/15/16 29,190 33,933
 
  Communication (16.9%)        
  Belo Corp. 8.000% 11/15/16 9,750 10,725
  Cablevision Systems Corp. 8.625% 9/15/17 51,205 57,350
  Cablevision Systems Corp. 7.750% 4/15/18 8,085 8,813
  CCO Holdings LLC / CCO Holdings Capital        
  Corp. 7.250% 10/30/17 33,505 35,599
  CCO Holdings LLC / CCO Holdings Capital        
  Corp. 7.875% 4/30/18 38,955 42,071
  CCO Holdings LLC / CCO Holdings Capital        
  Corp. 7.000% 1/15/19 30,985 32,302
  CCO Holdings LLC / CCO Holdings Capital        
  Corp. 8.125% 4/30/20 39,455 43,894
  Cenveo Corp. 8.875% 2/1/18 48,750 48,750
1 Cequel Communications Holdings I LLC and        
  Cequel Capital Corp. 8.625% 11/15/17 59,365 63,521
  Cincinnati Bell Inc. 8.250% 10/15/17 48,625 49,354
  Cincinnati Bell Inc. 8.750% 3/15/18 55,315 53,172
  Clear Channel Worldwide Holdings Inc. 9.250% 12/15/17 9,115 10,118
  Clear Channel Worldwide Holdings Inc. 9.250% 12/15/17 48,120 53,413
3,4 Commscope, Inc. Bank Loan 5.000% 1/14/18 733 740
3,4 Commscope, Inc. Bank Loan 5.000% 1/14/18 6,593 6,657
  Cricket Communications Inc. 7.750% 5/15/16 24,260 25,958
  Cricket Communications Inc. 7.750% 10/15/20 97,250 99,317
  CSC Holdings LLC 8.500% 4/15/14 20,540 22,953
^ CSC Holdings LLC 7.875% 2/15/18 29,580 32,834
  CSC Holdings LLC 7.625% 7/15/18 79,045 86,752
  CSC Holdings LLC 8.625% 2/15/19 10,520 12,151
1 eAccess Ltd. 8.250% 4/1/18 16,850 16,976
  Frontier Communications Corp. 8.250% 5/1/14 56,450 62,377
  Frontier Communications Corp. 7.875% 4/15/15 6,910 7,480
  Frontier Communications Corp. 8.250% 4/15/17 20,535 22,280
  Frontier Communications Corp. 8.125% 10/1/18 58,200 62,856
  Frontier Communications Corp. 8.500% 4/15/20 24,495 26,455
  Frontier Communications Corp. 8.750% 4/15/22 14,585 15,715
  GCI Inc. 7.250% 2/15/14 52,885 53,678
1 Inmarsat Finance plc 7.375% 12/1/17 14,580 15,418
  Intelsat Jackson Holdings SA 9.500% 6/15/16 6,705 7,057
1 Intelsat Jackson Holdings SA 7.250% 4/1/19 39,890 40,588
  Intelsat Jackson Holdings SA 8.500% 11/1/19 14,265 15,335

 

 

1 Intelsat Jackson Holdings SA 7.250% 10/15/20 107,065 107,868
1 Intelsat Jackson Holdings SA 7.500% 4/1/21 33,900 34,578
  Interpublic Group of Cos. Inc. 10.000% 7/15/17 26,670 31,737
  Lamar Media Corp. 6.625% 8/15/15 18,680 19,077
  Lamar Media Corp. 7.875% 4/15/18 11,890 12,752
  Liberty Media LLC 8.500% 7/15/29 14,595 14,340
^ Liberty Media LLC 8.250% 2/1/30 46,115 45,077
^ Mediacom Broadband LLC / Mediacom        
  Broadband Corp. 8.500% 10/15/15 47,845 49,878
5 MediaNews Group Inc. 6.875% 10/1/13 26,317 3
  MetroPCS Wireless Inc. 7.875% 9/1/18 45,685 49,111
  MetroPCS Wireless Inc. 6.625% 11/15/20 75,800 75,989
1 Nielsen Finance LLC / Nielsen Finance Co. 7.750% 10/15/18 43,400 46,763
  NII Capital Corp. 7.625% 4/1/21 19,445 20,417
  Quebecor Media Inc. 7.750% 3/15/16 48,600 50,605
2 Quebecor Media Inc. 7.750% 3/15/16 49,585 51,630
  Qwest Communications International Inc. 7.500% 2/15/14 43,490 44,251
  Qwest Communications International Inc. 8.000% 10/1/15 29,865 32,702
  Qwest Communications International Inc. 7.125% 4/1/18 26,445 28,693
  Qwest Corp. 6.875% 9/15/33 24,815 24,133
  SBA Telecommunications Inc. 8.000% 8/15/16 19,855 21,667
  SBA Telecommunications Inc. 8.250% 8/15/19 23,260 25,790
1 Sinclair Television Group Inc. 9.250% 11/1/17 31,400 35,168
  Sprint Capital Corp. 6.900% 5/1/19 24,395 25,554
  Sprint Nextel Corp. 6.000% 12/1/16 31,700 32,175
  Videotron Ltee 9.125% 4/15/18 25,380 28,489
  Virgin Media Secured Finance plc 6.500% 1/15/18 24,300 26,746
1 Wind Acquisition Finance SA 11.750% 7/15/17 75,775 88,187
  Windstream Corp. 8.125% 8/1/13 11,565 12,707
  Windstream Corp. 8.625% 8/1/16 22,955 24,275
  Windstream Corp. 7.875% 11/1/17 42,820 46,353
  Windstream Corp. 8.125% 9/1/18 22,355 24,032
  Windstream Corp. 7.000% 3/15/19 9,720 9,963
  Windstream Corp. 7.750% 10/15/20 38,950 41,482
 
  Consumer Cyclical (13.3%)        
  AMC Entertainment Inc. 8.000% 3/1/14 23,190 23,422
  AMC Entertainment Inc. 8.750% 6/1/19 42,420 45,814
3,4 Burger King Corp. Term Loan B Bank Loan 4.500% 10/19/16 43,144 43,091
1 CityCenter Holdings LLC / CityCenter Finance        
  Corp. 7.625% 1/15/16 47,509 49,528
  Ford Motor Co. 6.625% 10/1/28 24,310 24,432
  Ford Motor Co. 7.450% 7/16/31 12,645 14,384
  Ford Motor Credit Co. LLC 7.000% 10/1/13 124,665 134,950
  Ford Motor Credit Co. LLC 8.000% 12/15/16 47,520 54,886
  Ford Motor Credit Co. LLC 6.625% 8/15/17 34,755 38,144
  Ford Motor Credit Co. LLC 5.000% 5/15/18 48,255 48,195
  Ford Motor Credit Co. LLC 8.125% 1/15/20 55,475 65,599
  Goodyear Tire & Rubber Co. 10.500% 5/15/16 9,690 10,974
^ Goodyear Tire & Rubber Co. 8.250% 8/15/20 44,470 49,473
  Hanesbrands Inc. 8.000% 12/15/16 22,835 24,890
  Hanesbrands Inc. 6.375% 12/15/20 32,850 32,686
  Host Hotels & Resorts LP 6.875% 11/1/14 41,280 42,622
  Host Hotels & Resorts LP 6.375% 3/15/15 24,315 24,923
  Host Hotels & Resorts LP 6.750% 6/1/16 7,790 8,024
  Host Hotels & Resorts LP 6.000% 11/1/20 58,225 57,643
  Levi Strauss & Co. 7.625% 5/15/20 26,695 26,895
  Limited Brands, Inc. 8.500% 6/15/19 4,860 5,577

 

 

  Limited Brands, Inc. 7.000% 5/1/20 22,210 23,598
  Ltd Brands Inc. 6.625% 4/1/21 37,635 38,952
  Macy's Retail Holdings Inc. 7.450% 7/15/17 23,820 27,065
  Macy's Retail Holdings Inc. 7.000% 2/15/28 15,385 15,673
  Macy's Retail Holdings Inc. 6.700% 9/15/28 9,140 8,854
  Macy's Retail Holdings Inc. 6.900% 4/1/29 20,583 20,609
  Macy's Retail Holdings Inc. 6.700% 7/15/34 9,285 9,227
^ MGM Resorts International 6.750% 9/1/12 16,575 16,906
  MGM Resorts International 10.375% 5/15/14 35,945 41,561
  MGM Resorts International 11.125% 11/15/17 18,780 21,926
  MGM Resorts International 9.000% 3/15/20 28,925 32,179
1 NAI Entertainment Holdings LLC 8.250% 12/15/17 6,446 6,946
  Navistar International Corp. 8.250% 11/1/21 56,000 62,300
1 Palace Entertainment Holdings LLC / Palace        
  Entertainment Holdings Corp. 8.875% 4/15/17 6,065 6,262
  Phillips-Van Heusen Corp. 7.375% 5/15/20 25,435 27,470
1 QVC Inc. 7.500% 10/1/19 68,345 72,787
  Rite Aid Corp. 9.750% 6/12/16 23,335 26,310
  Rite Aid Corp. 10.375% 7/15/16 25,280 27,492
^ Rite Aid Corp. 7.500% 3/1/17 22,610 23,034
^ Rite Aid Corp. 8.000% 8/15/20 29,250 31,444
  Royal Caribbean Cruises Ltd. 11.875% 7/15/15 24,250 29,827
  Service Corp. International/US 7.375% 10/1/14 12,605 13,865
  Service Corp. International/US 6.750% 4/1/16 22,998 24,665
  Service Corp. International/US 7.000% 6/15/17 38,900 42,109
  Service Corp. International/US 7.625% 10/1/18 35,040 38,982
  Tenneco Inc. 7.750% 8/15/18 8,215 8,687
  Tenneco Inc. 6.875% 12/15/20 29,075 29,802
1 TRW Automotive Inc. 7.000% 3/15/14 82,555 90,604
1 TRW Automotive Inc. 7.250% 3/15/17 44,280 48,708
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 7.875% 11/1/17 34,000 37,230
^ Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 7.875% 5/1/20 14,590 15,921
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 7.750% 8/15/20 68,200 74,679
 
  Consumer Noncyclical (13.8%)        
  American Stores Co. 7.900% 5/1/17 4,860 4,763
  ARAMARK Corp. 8.500% 2/1/15 98,490 102,676
1 ARAMARK Holdings Corp. 8.625% 5/1/16 11,345 11,600
1 BFF International Ltd. 7.250% 1/28/20 58,475 64,112
  Bio-Rad Laboratories Inc. 8.000% 9/15/16 12,800 14,160
  Biomet Inc. 10.000% 10/15/17 62,020 68,610
  Biomet Inc. 11.625% 10/15/17 16,995 19,289
  CHS/Community Health Systems Inc. 8.875% 7/15/15 118,160 120,671
  Constellation Brands Inc. 7.250% 9/1/16 65,188 71,544
  Constellation Brands Inc. 7.250% 5/15/17 26,605 28,933
  DaVita Inc. 6.375% 11/1/18 35,482 36,280
  DaVita Inc. 6.625% 11/1/20 21,385 21,946
3,4 Del Monte Foods Co. Term Loan Bank Loan 4.500% 0/0/0 25,560 25,664
  Elan Finance PLC / Elan Finance Corp. 8.875% 12/1/13 47,530 49,491
  Elan Finance PLC / Elan Finance Corp. 8.750% 10/15/16 34,720 37,107
1 Fresenius Medical Care US Finance Inc. 5.750% 2/15/21 38,975 38,049
1 Fresenius US Finance II Inc. 9.000% 7/15/15 28,475 32,533
  HCA Inc. 5.750% 3/15/14 9,135 9,340
  HCA Inc. 6.375% 1/15/15 96,955 100,106
  HCA Inc. 6.500% 2/15/16 69,575 71,662

 

 

  HCA Inc. 9.250% 11/15/16 99,230 106,424
  HCA Inc. 9.875% 2/15/17 37,945 42,309
  HCA Inc. 8.500% 4/15/19 23,905 26,564
  HCA Inc. 7.690% 6/15/25 4,510 4,268
1 Hypermarcas SA 6.500% 4/20/21 33,315 33,562
  IASIS Healthcare LLC / IASIS Capital Corp. 8.750% 6/15/14 36,960 37,699
1 IMS Health Inc. 12.500% 3/1/18 76,475 91,196
1 LifePoint Hospitals Inc. 6.625% 10/1/20 17,460 18,202
1 Mylan Inc./PA 6.000% 11/15/18 63,050 64,469
1 Pernod-Ricard SA 5.750% 4/7/21 13,495 13,897
  Smithfield Foods Inc. 10.000% 7/15/14 28,070 33,193
1 STHI Holding Corp. 8.000% 3/15/18 8,660 9,050
  SUPERVALU Inc. 7.500% 11/15/14 47,130 48,426
  Tenet Healthcare Corp. 9.250% 2/1/15 8,760 9,592
  Tenet Healthcare Corp. 9.000% 5/1/15 43,890 47,621
  Tenet Healthcare Corp. 10.000% 5/1/18 19,525 22,454
  Tenet Healthcare Corp. 8.875% 7/1/19 63,575 71,840
  Tyson Foods Inc. 10.500% 3/1/14 23,660 28,392
  Tyson Foods Inc. 6.850% 4/1/16 47,695 52,882
1 Valeant Pharmaceuticals International 6.500% 7/15/16 34,265 34,179
1 Valeant Pharmaceuticals International 6.750% 10/1/17 13,600 13,566
1 Valeant Pharmaceuticals International 7.000% 10/1/20 14,550 14,332
1 Valeant Pharmaceuticals International 6.750% 8/15/21 36,030 34,904
1 Warner Chilcott Co. LLC / Warner Chilcott        
  Finance LLC 7.750% 9/15/18 93,262 98,391
 
  Energy (6.1%)        
  Chesapeake Energy Corp. 9.500% 2/15/15 15,900 19,120
  Chesapeake Energy Corp. 6.500% 8/15/17 28,700 31,355
  Denbury Resources Inc. 8.250% 2/15/20 19,004 21,094
  Denbury Resources Inc. 6.375% 8/15/21 12,445 12,818
  Encore Acquisition Co. 9.500% 5/1/16 37,295 42,050
^,1 Expro Finance Luxembourg SCA 8.500% 12/15/16 70,410 68,493
1 Harvest Operations Corp. 6.875% 10/1/17 26,290 27,506
  Hornbeck Offshore Services Inc. 6.125% 12/1/14 36,695 37,062
  Hornbeck Offshore Services Inc. 8.000% 9/1/17 16,565 17,103
  Newfield Exploration Co. 6.625% 4/15/16 23,985 24,825
  Newfield Exploration Co. 7.125% 5/15/18 56,260 60,198
  Offshore Group Investments Ltd. 11.500% 8/1/15 50,397 56,258
  Peabody Energy Corp. 7.375% 11/1/16 69,675 78,733
  Peabody Energy Corp. 7.875% 11/1/26 47,685 53,526
  Petrohawk Energy Corp. 10.500% 8/1/14 17,720 20,312
  Petrohawk Energy Corp. 7.875% 6/1/15 11,730 12,434
1 Petroplus Finance Ltd. 6.750% 5/1/14 26,700 26,166
  Pioneer Natural Resources Co. 5.875% 7/15/16 35,730 37,874
  Pioneer Natural Resources Co. 6.650% 3/15/17 68,845 75,213
  Pioneer Natural Resources Co. 6.875% 5/1/18 38,405 41,765
  Pioneer Natural Resources Co. 7.200% 1/15/28 12,855 13,433
  Pride International Inc. 6.875% 8/15/20 21,566 24,801
  Range Resources Corp. 7.500% 10/1/17 19,450 20,617
  Range Resources Corp. 6.750% 8/1/20 13,580 14,531
 
  Other Industrial (0.5%)        
  Virgin Media Finance plc 9.500% 8/15/16 43,375 49,664
  Virgin Media Finance plc 8.375% 10/15/19 14,560 16,417
 
  Technology (6.6%)        
  Brocade Communications Systems Inc. 6.625% 1/15/18 9,355 9,905

 

 

  Brocade Communications Systems Inc. 6.875% 1/15/20 9,110 9,884
1 CDW LLC / CDW Finance Corp. 8.000% 12/15/18 38,650 41,162
1 CommScope Inc. 8.250% 1/15/19 48,700 51,257
  Equinix Inc. 8.125% 3/1/18 35,120 38,017
  Fidelity National Information Services Inc. 7.625% 7/15/17 17,280 18,835
  Fidelity National Information Services Inc. 7.875% 7/15/20 13,825 15,242
3,4 First Data 2018 Dollar Term Loan 4.213% 9/24/14 48,433 45,907
3,4 First Data Corp. 2.963% 9/24/14 834 792
1 First Data Corp. 7.375% 6/15/19 9,905 9,992
1 First Data Corp. 8.250% 1/15/21 75,700 75,322
^ Freescale Semiconductor Inc. 8.875% 12/15/14 39,870 41,465
1 Freescale Semiconductor Inc. 10.125% 3/15/18 57,255 64,984
1 Freescale Semiconductor Inc. 9.250% 4/15/18 29,155 32,216
  Iron Mountain Inc. 8.000% 6/15/20 22,340 23,290
  Iron Mountain Inc. 8.375% 8/15/21 43,695 46,590
  Jabil Circuit Inc. 7.750% 7/15/16 10,690 12,133
  Jabil Circuit Inc. 8.250% 3/15/18 8,745 10,035
  Jabil Circuit Inc. 5.625% 12/15/20 8,580 8,580
1 Seagate HDD Cayman 6.875% 5/1/20 64,225 65,188
  Seagate Technology HDD Holdings 6.800% 10/1/16 33,035 35,182
1 Seagate Technology International/Cayman        
  Islands 10.000% 5/1/14 46,912 54,887
^,1 Sorenson Communications Inc. 10.500% 2/1/15 46,240 34,333
  SunGard Data Systems Inc. 10.250% 8/15/15 37,162 39,020
1 SunGard Data Systems Inc. 7.375% 11/15/18 53,005 54,728
1 SunGard Data Systems Inc. 7.625% 11/15/20 44,011 45,661
1 Unisys Corp. 12.750% 10/15/14 20,676 24,398
 
  Transportation (1.3%)        
2 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 4/1/21 28,154 29,421
2 Continental Airlines 2007-1 Class B Pass        
  Through Trust 6.903% 4/19/22 20,342 20,342
^ Hertz Corp. 8.875% 1/1/14 7,124 7,302
1 Hertz Corp. 6.750% 4/15/19 66,675 68,508
1 Hertz Corp. 7.375% 1/15/21 48,250 51,145
          9,905,166
Utilities (8.4%)        
  Electric (6.0%)        
  AES Corp. 7.750% 10/15/15 44,790 48,933
  AES Corp. 8.000% 10/15/17 45,766 49,770
  AES Corp. 8.000% 6/1/20 19,980 21,828
1 Calpine Corp. 7.250% 10/15/17 121,118 126,568
1 Calpine Corp. 7.500% 2/15/21 48,550 51,342
^ Energy Future Holdings Corp. 5.550% 11/15/14 12,175 10,683
  Energy Future Holdings Corp. 6.500% 11/15/24 24,165 13,049
  Energy Future Holdings Corp. 6.550% 11/15/34 24,000 12,720
  GenOn Energy Inc. 7.875% 6/15/17 19,975 20,175
2 Homer City Funding LLC 8.734% 10/1/26 48,448 42,877
1 Intergen NV 9.000% 6/30/17 57,635 62,390
1 Ipalco Enterprises Inc. 7.250% 4/1/16 11,985 13,064
2 Midwest Generation LLC 8.560% 1/2/16 8,672 8,867
  NRG Energy Inc. 7.375% 2/1/16 102,485 106,328
  NRG Energy Inc. 7.375% 1/15/17 89,225 93,352
1 Texas Competitive Electric Holdings Co. LLC /        
  TCEH Finance Inc. 11.500% 10/1/20 58,620 60,085

 

 

3,4 Texas Competitive Electric Holdings Co., LLC        
  Bank Loan 4.736% 10/10/17 97,049 82,637
 
  Natural Gas (2.4%)        
  El Paso Corp. 7.000% 6/15/17 21,395 23,749
  El Paso Corp. 7.250% 6/1/18 66,150 74,501
  El Paso Corp. 6.500% 9/15/20 36,085 39,152
  Energy Transfer Equity LP 7.500% 10/15/20 78,360 85,804
1 Ferrellgas LP / Ferrellgas Finance Corp. 6.500% 5/1/21 38,310 37,544
1 Kinder Morgan Finance Co. LLC 6.000% 1/15/18 45,785 47,616
  Kinder Morgan Finance Co. ULC 5.700% 1/5/16 15,000 15,788
1 NGPL PipeCo LLC 7.119% 12/15/17 9,755 10,743
 
          1,159,565
Total Corporate Bonds (Cost $12,015,992)       12,948,825
          Market
          Value
    Coupon   Shares ($000)
Preferred Stocks (1.0%)        
  Citigroup Capital XIII Pfd. (Cost $122,240) 7.875%   4,765,000 132,467
Temporary Cash Investments (2.2%)        
Money Market Fund (1.1%)        
6,7 Vanguard Market Liquidity Fund 0.179%   154,712,655 154,713
        Face  
      Maturity Amount  
      Date ($000)  
Repurchase Agreement (1.1%)        
  Bank of America Securities, LLC        
  (Dated 4/29/11, Repurchase Value        
  $151,101,000, collateralized by Federal        
  Home Loan Mortgage Corp. 2.899%,        
  1/1/41, Federal National Mortgage Assn.        
  3.031%-3.297%, 12/1/40-4/1/41, and        
  Government National Mortgage Assn.        
  4.859%, 4/20/61) 0.040% 5/2/11 151,100 151,100
Total Temporary Cash Investments (Cost $305,813)       305,813
Total Investments (100.4%) (Cost $12,824,300)       13,779,990
Other Assets and Liabilities-Net (-0.4%)7       (53,640)
Net Assets (100%)       13,726,350

 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $151,365,000.
1 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, 2011, the aggregate value of these securities was $4,329,190,000, representing 31.5% of net assets.
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 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, 2011, the aggregate value of these securities was $342,120,000, representing 2.5% 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 $154,713,000 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. 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. 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, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 392,885 —
Corporate Bonds — 12,948,822 3
Preferred Stocks 132,467 — —
Temporary Cash Investments 154,713 151,100 —
Total 287,180 13,492,807 3

 

There were no changes in investments valued based on Level 3 inputs during the three months ended April 30, 2011.

C. At April 30, 2011, the cost of investment securities for tax purposes was $12,824,300,000. Net unrealized appreciation of investment securities for tax purposes was $955,690,000, consisting of unrealized gains of $1,021,160,000 on securities that had risen in value since their purchase and $65,470,000 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, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (5.7%)        
U.S. Government Securities (5.6%)        
  United States Treasury Note/Bond 0.875% 5/31/11 7,600 7,605
  United States Treasury Note/Bond 1.375% 2/15/13 9,000 9,135
  United States Treasury Note/Bond 0.625% 2/28/13 25,000 25,035
  United States Treasury Note/Bond 1.375% 5/15/13 75,000 76,125
  United States Treasury Note/Bond 1.250% 2/15/14 21,830 22,021
  United States Treasury Note/Bond 1.250% 4/15/14 63,347 63,812
  United States Treasury Note/Bond 1.875% 4/30/14 100,000 102,516
  United States Treasury Note/Bond 2.250% 5/31/14 1,200 1,243
1 United States Treasury Note/Bond 2.625% 6/30/14 13,010 13,626
  United States Treasury Note/Bond 4.125% 5/15/15 28,000 30,861
  United States Treasury Note/Bond 1.250% 8/31/15 55,310 54,325
  United States Treasury Note/Bond 1.250% 9/30/15 50,000 49,008
  United States Treasury Note/Bond 9.875% 11/15/15 9,000 12,227
  United States Treasury Note/Bond 2.250% 3/31/16 59,896 60,785
  United States Treasury Note/Bond 2.375% 3/31/16 2,000 2,042
  United States Treasury Note/Bond 2.000% 4/30/16 109,335 109,489
2 United States Treasury Note/Bond 2.625% 4/30/16 4,700 4,848
  United States Treasury Note/Bond 2.875% 3/31/18 65,000 65,955
2 United States Treasury Note/Bond 2.750% 2/15/19 6,395 6,340
  United States Treasury Note/Bond 3.625% 8/15/19 1,530 1,604
  United States Treasury Note/Bond 3.375% 11/15/19 32,810 33,635
  United States Treasury Note/Bond 3.625% 2/15/21 50,000 51,399
          803,636
Agency Notes (0.1%)        
3,4 Federal Home Loan Mortgage Corp. 0.163% 2/2/12 10,650 10,636
          10,636
Nonconventional Mortgage-Backed Securities (0.0%)        
3,4,5Freddie Mac Non Gold Pool 2.625% 8/1/32 660 688
3,4,5Freddie Mac Non Gold Pool 3.018% 9/1/32 273 282
          970
Total U.S. Government and Agency Obligations (Cost $807,158)     815,242
Asset-Backed/Commercial Mortgage-Backed Securities (13.4%)      
5,6 Ally Auto Receivables Trust 2.690% 2/15/17 3,250 3,290
5,6 Ally Master Owner Trust 3.470% 4/15/15 3,900 4,033
5,6 Ally Master Owner Trust 3.870% 4/15/15 1,800 1,872
5,6 Ally Master Owner Trust 4.250% 4/15/17 3,100 3,297
5,6 Ally Master Owner Trust 4.590% 4/15/17 3,280 3,531
4,5 Ally Master Owner Trust 1.289% 8/15/17 43,450 44,012
4,5,6Ally Master Owner Trust 1.769% 8/15/17 8,100 8,319
4,5,6Ally Master Owner Trust 2.169% 8/15/17 6,160 6,394
4,5,6American Express Credit Account Master        
  Trust 0.499% 12/15/13 1,500 1,500
4,5,6American Express Credit Account Master        
  Trust 0.499% 3/17/14 1,500 1,499
4,5,6American Express Credit Account Master        
  Trust 0.489% 9/15/14 450 449

 

 

4,5,6American Express Credit Account Master        
  Trust 0.639% 1/15/15 1,160 1,157
4,5 American Express Credit Account Master        
  Trust 1.319% 3/15/16 1,500 1,522
4,5 American Express Credit Account Master        
  Trust 1.319% 3/15/16 930 944
4,5 American Express Credit Account Master        
  Trust 1.319% 4/15/16 1,000 1,015
4,5,6American Express Credit Account Master        
  Trust 0.889% 12/15/16 1,000 996
5,6 Americold LLC Trust 4.954% 1/14/29 1,150 1,190
5,6 Americold LLC Trust 6.030% 1/14/29 3,500 3,768
5,6 Americold LLC Trust 6.811% 1/14/29 5,540 6,162
5 Americredit Prime Automobile Receivable 2.900% 12/15/14 1,480 1,519
4,5,6Arkle Master Issuer PLC 1.564% 5/17/60 60,370 60,168
4,5,6Arran Residential Mortgages Funding PLC 1.714% 5/16/47 8,640 8,650
4,5,6Arran Residential Mortgages Funding PLC 1.787% 11/19/47 11,900 11,900
6 BA Covered Bond Issuer 5.500% 6/14/12 11,000 11,471
4,5 BA Credit Card Trust 0.509% 6/16/14 2,205 2,196
5 Banc of America Commercial Mortgage Inc. 5.634% 7/10/46 24,950 27,504
4,5 Banc of America Commercial Mortgage Inc. 5.826% 4/10/49 26,887 29,149
4,5 Banc of America Commercial Mortgage Inc. 6.394% 2/10/51 31,812 35,645
4,5,6Bank of America Student Loan Trust 1.074% 2/25/43 32,645 32,676
4,5 Bank One Issuance Trust 1.019% 2/15/17 1,200 1,194
4,5 Bear Stearns Commercial Mortgage        
  Securities 5.906% 6/11/40 35,740 39,306
5 Bear Stearns Commercial Mortgage        
  Securities 4.945% 2/11/41 7,056 7,164
5 Bear Stearns Commercial Mortgage        
  Securities 4.254% 7/11/42 520 521
5 Bear Stearns Commercial Mortgage        
  Securities 5.574% 6/11/50 13,000 13,388
5 Bear Stearns Commercial Mortgage        
  Securities 5.613% 6/13/50 11,900 12,384
4,5 Brazos Higher Education Authority 0.508% 6/25/26 5,720 5,301
4,5 Brazos Higher Education Authority 1.212% 5/25/29 4,935 4,924
4,5 Brazos Higher Education Authority 1.109% 2/25/30 25,900 25,901
4,5 Capital One Multi-Asset Execution Trust 0.259% 7/15/20 46,699 45,345
4,5 Capital One Multi-Asset Execution Trust 0.299% 12/16/19 106,585 104,255
4,5 Capital One Multi-Asset Execution Trust 0.509% 3/17/14 2,664 2,663
4,5 Capital One Multi-Asset Execution Trust 0.519% 6/16/14 8,300 8,281
4,5 Capital One Multi-Asset Execution Trust 0.539% 7/15/14 10,700 10,668
4,5 Capital One Multi-Asset Execution Trust 0.519% 11/17/14 13,760 13,667
4,5 Capital One Multi-Asset Execution Trust 2.469% 7/15/16 16,374 16,654
4,5 Capital One Multi-Asset Execution Trust 1.269% 12/15/16 1,988 1,959
4,5 Capital One Multi-Asset Execution Trust 0.269% 11/15/19 1,130 1,104
4,5,6CFCRE Commercial Mortgage Trust 4.961% 4/15/44 6,150 6,242
4,5,6CFCRE Commercial Mortgage Trust 5.233% 4/15/44 2,280 2,314
4,5,6CFCRE Commercial Mortgage Trust 5.553% 4/15/44 2,900 2,925
4,5,6CFCRE Commercial Mortgage Trust 5.553% 4/15/44 1,050 1,035
4,5 Chase Issuance Trust 0.509% 1/15/14 2,800 2,796
4,5 Chase Issuance Trust 0.659% 1/15/15 5,700 5,688
4,5 Chase Issuance Trust 0.679% 4/15/19 5,700 5,524
5 Chrysler Financial Auto Securitization Trust 2.940% 6/8/13 7,530 7,555
5,6 Chrysler Financial Auto Securitization Trust 6.250% 5/8/14 5,600 5,806
5,6 Chrysler Financial Auto Securitization Trust 5.570% 8/8/14 5,600 5,783
5,6 Chrysler Financial Auto Securitization Trust 6.540% 11/10/14 3,300 3,439
5 Chrysler Financial Auto Securitization Trust 3.520% 8/8/16 7,300 7,456

 

 

4,5 Citibank Credit Card Issuance Trust 0.629% 7/15/14 34,895 34,628
4,5 Citibank Credit Card Issuance Trust 0.613% 2/20/15 11,355 11,208
4,5 Citibank Credit Card Issuance Trust 1.588% 5/20/20 11,800 12,536
4,5 Citibank Credit Card Issuance Trust 0.683% 3/24/17 1,520 1,483
4,5,6Citibank Omni Master Trust 2.969% 8/15/18 5,290 5,602
5,6 Citibank Omni Master Trust 5.350% 8/15/18 13,340 14,603
5,6 Citibank Omni Master Trust 4.900% 11/15/18 47,505 51,351
4,5 Citigroup Commercial Mortgage Trust 5.886% 12/10/49 13,000 13,421
5 Citigroup Commercial Mortgage Trust 5.431% 10/15/49 6,650 7,260
5,6 CLI Funding LLC 4.500% 3/18/26 2,980 2,936
5,6 Commercial Mortgage Pass Through        
  Certificates 3.830% 7/10/46 5,000 4,941
5,6 Commercial Mortgage Pass Through        
  Certificates 4.205% 7/10/46 11,070 11,018
4,5 Commercial Mortgage Pass Through        
  Certificates 5.811% 12/10/49 5,600 5,744
4,5 Credit Suisse First Boston Mortgage        
  Securities Corp. 5.014% 2/15/38 10,420 11,181
4,5 Credit Suisse Mortgage Capital Certificates 5.905% 6/15/39 10,319 10,550
4,5 Credit Suisse Mortgage Capital Certificates 6.017% 6/15/38 15,484 17,144
5 Credit Suisse Mortgage Capital Certificates 5.589% 9/15/40 8,800 9,018
4,5,        
  6 DBUBS Mortgage Trust 5.729% 11/10/46 5,480 5,647
5,6 DBUBS Mortgage Trust 5.002% 11/10/46 3,600 3,795
5,6 Extended Stay America Trust 2.950% 11/5/27 5,556 5,533
5,6 Extended Stay America Trust 4.220% 11/5/27 7,200 7,388
5,6 Extended Stay America Trust 4.860% 11/5/27 8,600 8,888
5 Ford Credit Auto Owner Trust 2.930% 11/15/15 1,000 1,034
5 Ford Credit Auto Owner Trust 3.220% 3/15/16 1,210 1,255
4,5,6Ford Credit Floorplan Master Owner Trust 1.919% 2/15/17 20,990 21,779
4,5,6Ford Credit Floorplan Master Owner Trust 2.469% 12/15/14 7,280 7,445
4,5,6Ford Credit Floorplan Master Owner Trust 2.869% 12/15/14 37,130 38,194
5,6 Ford Credit Floorplan Master Owner Trust 4.200% 2/15/17 7,440 7,964
5,6 Ford Credit Floorplan Master Owner Trust 4.990% 2/15/17 8,785 9,543
4,5 GE Capital Commercial Mortgage Corp. 4.974% 7/10/45 28,700 30,865
5 GE Capital Commercial Mortgage Corp. 4.353% 6/10/48 2,194 2,219
5,6 Great America Leasing Receivables 2.340% 4/15/16 1,500 1,519
4,5 Greenwich Capital Commercial Funding Corp. 6.077% 7/10/38 40,015 44,349
4,5 Greenwich Capital Commercial Funding Corp. 5.224% 4/10/37 23,150 24,932
4,5,6GS Mortgage Securities Corp. II 5.405% 12/10/43 1,370 1,366
4,5,6GS Mortgage Securities Corp. II 5.405% 12/10/43 2,450 2,525
4,5,6GS Mortgage Securities Corp. II 3.215% 2/10/21 5,290 5,317
4,5,6GS Mortgage Securities Corp. II 3.563% 2/10/21 1,850 1,859
4,5 GS Mortgage Securities Corp. II 5.506% 4/10/38 9,252 9,608
4,5,6GS Mortgage Securities Corp. II 5.162% 12/10/43 5,675 6,004
4,5,6GS Mortgage Securities Corp. II 4.473% 3/10/44 7,700 7,927
4,5,6GS Mortgage Securities Corp. II 4.753% 3/10/44 6,400 6,635
4,5,6GS Mortgage Securities Corp. II 5.361% 3/10/44 7,546 7,818
4,5,6GS Mortgage Securities Corp. II 5.728% 3/10/44 2,650 2,726
5,6 Hertz Vehicle Financing LLC 5.290% 3/25/16 24,300 26,908
5,6 Hertz Vehicle Financing LLC 3.740% 2/25/17 28,500 29,631
4,5,6Holmes Master Issuer PLC 1.678% 10/15/54 7,380 7,403
4,5 Illinois Student Assistance Commission 1.324% 4/25/22 25,700 25,809
4,5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.475% 4/15/43 20,045 21,960
4,5,JP Morgan Chase Commercial Mortgage        
  6 Securities Corp. 5.715% 11/15/43 2,313 2,380

 

 

5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.633% 12/5/27 21,645 23,749
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.608% 6/15/43 10,030 10,464
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.058% 6/15/43 7,950 8,434
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 3.615% 11/15/43 4,000 3,918
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.387% 2/16/46 11,800 12,057
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.717% 2/16/46 11,350 11,654
4,5,JP Morgan Chase Commercial Mortgage        
6 Securities Corp. 5.360% 2/16/46 8,350 8,388
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.717% 2/16/46 6,255 6,191
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.716% 2/15/51 30,084 32,666
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.827% 2/15/51 13,370 13,859
4,5 LB-UBS Commercial Mortgage Trust 6.078% 6/15/38 11,500 12,808
5 LB-UBS Commercial Mortgage Trust 5.347% 11/15/38 42,411 46,117
4,5 LB-UBS Commercial Mortgage Trust 5.866% 9/15/45 36,000 39,344
4,5 MBNA Credit Card Master Note Trust 0.639% 7/15/15 24,379 24,096
4,5 MBNA Credit Card Master Note Trust 1.119% 11/15/16 16,655 16,516
4,5 MBNA Credit Card Master Note Trust 1.569% 3/15/16 3,430 3,448
4,5 MBNA Credit Card Master Note Trust 1.569% 10/15/14 875 879
4,5 Merrill Lynch Mortgage Trust 5.916% 6/12/50 10,839 11,147
5 Merrill Lynch Mortgage Trust 5.690% 2/12/51 15,000 16,414
4,5 Morgan Stanley Capital I 5.794% 6/11/42 24,100 24,749
4,5,          
6 Morgan Stanley Capital I 5.442% 9/15/47 5,390 5,476
5,6 Morgan Stanley Capital I 4.700% 9/15/47 3,750 3,886
4,5 National City Credit Card Master Trust 0.269% 3/17/14 15,000 14,940
4,5,          
6 Navistar Financial Dealer Note Master Trust 1.669% 10/26/15 10,550 10,651
4,5 North Carolina Education Assistance Authority        
  Student Loan Revenue 1.209% 1/26/26 5,500 5,460
4,5,6Permanent Master Issuer PLC 1.428% 7/15/42 13,120 13,113
4,5,6Permanent Master Issuer PLC 1.669% 7/15/42 16,000 16,000
4,5,6Silverstone Master Issuer PLC 1.774% 1/21/55 40,850 41,299
4,5 SLM Student Loan Trust 0.364% 1/26/26 24,625 23,374
4,5 SLM Student Loan Trust 0.374% 4/25/25 6,000 5,863
4,5 SLM Student Loan Trust 0.374% 10/25/25 9,200 8,777
4,5 SLM Student Loan Trust 0.384% 1/25/27 3,000 2,854
4,5 SLM Student Loan Trust 0.384% 10/27/25 6,500 6,251
5,6 SLM Student Loan Trust 4.370% 4/17/28 1,700 1,700
4,5,6SMART Trust/Australia 1.721% 12/14/15 21,200 21,508
5,6 SMART Trust/Australia 2.520% 11/14/16 5,000 5,039
4,5 South Carolina Student Loan Corp. 1.274% 7/25/25 21,200 21,261
5,6 Tidewater Auto Receivables Trust 5.920% 5/15/17 5,010 5,054
5 Volkswagen Auto Loan Enhanced Trust 2.140% 8/22/16 450 460
5,6 Volvo Financial Equipment LLC 2.990% 5/15/17 3,700 3,744
4,5 Wachovia Bank Commercial Mortgage Trust 5.765% 7/15/45 13,360 14,653
5 Wachovia Bank Commercial Mortgage Trust 5.569% 5/15/46 8,800 9,062
5 Wachovia Bank Commercial Mortgage Trust 5.572% 10/15/48 40,425 43,904
5,6 WF-RBS Commercial Mortgage Trust 4.498% 2/15/44 2,050 2,125

 

 

5,6 WF-RBS Commercial Mortgage Trust 5.392% 2/15/44 3,200 3,258
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,825,889)   1,916,529
Corporate Bonds (75.5%)        
Finance (33.9%)        
  Banking (21.0%)        
6 Abbey National Treasury Services        
  PLC/London 3.875% 11/10/14 4,550 4,656
  Abbey National Treasury Services        
  PLC/London 4.000% 4/27/16 28,000 28,212
  AgriBank FCB 9.125% 7/15/19 5,000 6,076
  American Express Bank FSB 6.000% 9/13/17 4,250 4,806
  American Express Centurion Bank 5.950% 6/12/17 10,000 11,201
  American Express Centurion Bank 6.000% 9/13/17 38,060 43,135
  American Express Co. 7.000% 3/19/18 29,000 34,301
  American Express Co. 8.125% 5/20/19 23,304 29,606
  American Express Credit Corp. 2.750% 9/15/15 6,200 6,179
5,6 ANZ Capital Trust II 5.360% 12/15/49 10,000 10,180
  Astoria Financial Corp. 5.750% 10/15/12 9,000 9,273
6 Australia & New Zealand Banking Group Ltd. 4.875% 1/12/21 5,000 5,111
6 Banco Santander Chile 5.375% 12/9/14 4,000 4,189
6 Banco Votorantim SA 5.250% 2/11/16 12,000 12,169
  Bank of America Corp. 4.500% 4/1/15 9,425 9,913
  Bank of America Corp. 6.500% 8/1/16 11,375 12,820
  Bank of America Corp. 5.420% 3/15/17 7,300 7,615
  Bank of America Corp. 6.000% 9/1/17 1,750 1,914
  Bank of America Corp. 5.750% 12/1/17 22,500 24,335
  Bank of America Corp. 5.650% 5/1/18 5,000 5,315
  Bank of America Corp. 7.625% 6/1/19 3,500 4,135
  Bank of America Corp. 5.625% 7/1/20 15,000 15,773
  Bank of America NA 5.300% 3/15/17 14,527 15,271
  Bank of America NA 6.100% 6/15/17 15,000 16,377
  Bank of New York Mellon Corp. 4.950% 3/15/15 9,500 10,340
  Bank of New York Mellon Corp. 5.500% 12/1/17 5,465 6,000
  Bank of New York Mellon Corp. 5.450% 5/15/19 9,580 10,611
  Bank of New York Mellon Corp. 4.150% 2/1/21 7,000 7,034
  Bank of Nova Scotia 2.900% 3/29/16 12,000 12,119
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.450% 9/11/15 15,000 14,767
  Bank One Corp. 4.900% 4/30/15 15,000 15,941
  Barclays Bank plc 5.000% 9/22/16 10,000 10,765
6 Barclays Bank plc 6.050% 12/4/17 26,307 28,095
  Barclays Bank plc 6.750% 5/22/19 22,030 25,189
  Barclays Bank plc 5.125% 1/8/20 55,000 56,614
4,5,6Barclays Bank plc 5.926% 12/15/49 15,000 14,197
  BB&T Corp. 5.200% 12/23/15 6,380 6,888
  BB&T Corp. 4.900% 6/30/17 15,300 16,300
  BB&T Corp. 6.850% 4/30/19 22,714 26,766
6 BBVA Bancomer SA/Texas 6.500% 3/10/21 15,000 15,492
  Bear Stearns Cos. LLC 5.700% 11/15/14 9,345 10,337
  Bear Stearns Cos. LLC 6.400% 10/2/17 17,000 19,409
  Bear Stearns Cos. LLC 7.250% 2/1/18 37,035 43,442
6 BNP Paribas 4.800% 6/24/15 17,000 17,810
  BNP Paribas 3.600% 2/23/16 15,000 15,243
  BNP Paribas 5.000% 1/15/21 45,000 45,556
  BNY Mellon NA 4.750% 12/15/14 5,000 5,463
  Branch Banking & Trust Co./Wilson NC 5.625% 9/15/16 4,750 5,313
4,6 BTMU Curacao Holdings NV 0.629% 12/19/16 10,790 10,672
  Capital One Bank USA NA 8.800% 7/15/19 10,000 12,763

 

 

  Citigroup Inc. 5.000% 9/15/14 12,000 12,712
  Citigroup Inc. 6.010% 1/15/15 9,840 10,881
  Citigroup Inc. 4.700% 5/29/15 12,705 13,406
  Citigroup Inc. 4.587% 12/15/15 8,700 9,179
  Citigroup Inc. 5.300% 1/7/16 10,000 10,814
  Citigroup Inc. 5.850% 8/2/16 10,000 11,045
  Citigroup Inc. 6.125% 11/21/17 38,318 42,290
  Citigroup Inc. 6.125% 5/15/18 15,000 16,514
  Citigroup Inc. 8.500% 5/22/19 28,517 35,583
5,6,7Colonial BancGroup Inc. 7.114% 2/15/49 17,340 394
  Comerica Bank 5.700% 6/1/14 18,000 19,740
  Comerica Bank 5.750% 11/21/16 4,000 4,465
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA/Netherlands 4.500% 1/11/21 15,000 15,429
  Credit Suisse AG 5.400% 1/14/20 29,000 29,854
4,5 Credit Suisse AG/Guernsey 5.860% 5/29/49 17,228 16,797
  Credit Suisse New York 6.000% 2/15/18 60,692 65,742
  Credit Suisse New York 5.300% 8/13/19 60,000 64,058
  Credit Suisse New York 4.375% 8/5/20 32,500 32,417
  Credit Suisse USA Inc. 5.125% 8/15/15 2,000 2,196
  Deutsche Bank AG/London 6.000% 9/1/17 33,000 37,207
  Discover Bank/Greenwood DE 8.700% 11/18/19 10,000 12,328
  Discover Bank/Greenwood DE 7.000% 4/15/20 3,665 4,113
  Fifth Third Bancorp 3.625% 1/25/16 7,000 7,104
  Fifth Third Bank/Ohio 4.750% 2/1/15 31,825 33,652
4,5 Fifth Third Capital Trust IV 6.500% 4/15/67 5,000 4,925
  First Tennessee Bank NA 5.050% 1/15/15 5,000 5,213
  Goldman Sachs Group Inc. 3.700% 8/1/15 4,725 4,844
  Goldman Sachs Group Inc. 3.625% 2/7/16 5,000 5,046
  Goldman Sachs Group Inc. 5.625% 1/15/17 9,000 9,636
  Goldman Sachs Group Inc. 6.250% 9/1/17 12,000 13,338
  Goldman Sachs Group Inc. 5.950% 1/18/18 18,000 19,627
  Goldman Sachs Group Inc. 6.150% 4/1/18 15,075 16,671
  Goldman Sachs Group Inc. 7.500% 2/15/19 26,500 31,252
  Goldman Sachs Group Inc. 5.375% 3/15/20 25,000 26,012
  Goldman Sachs Group Inc. 6.000% 6/15/20 23,500 25,456
  HSBC Bank USA NA 4.875% 8/24/20 18,000 17,955
  HSBC Bank USA NA/New York NY 4.625% 4/1/14 22,000 23,606
  HSBC Holdings plc 5.100% 4/5/21 30,000 30,850
  HSBC USA Inc. 5.000% 9/27/20 20,000 19,928
  Huntington Bancshares Inc./OH 7.000% 12/15/20 7,500 8,457
6 ICICI Bank Ltd. 5.750% 1/12/12 2,675 2,749
6 Intesa Sanpaolo SPA 3.625% 8/12/15 8,350 8,305
  JPMorgan Chase & Co. 4.875% 3/15/14 6,440 6,903
  JPMorgan Chase & Co. 3.700% 1/20/15 5,650 5,882
  JPMorgan Chase & Co. 6.125% 6/27/17 10,000 11,129
  JPMorgan Chase & Co. 6.000% 1/15/18 31,000 34,497
  JPMorgan Chase & Co. 6.300% 4/23/19 24,150 27,175
  JPMorgan Chase & Co. 4.950% 3/25/20 18,000 18,537
  JPMorgan Chase & Co. 4.400% 7/22/20 53,635 52,880
  JPMorgan Chase & Co. 4.250% 10/15/20 5,000 4,871
  JPMorgan Chase Bank NA 5.875% 6/13/16 10,000 11,160
  JPMorgan Chase Bank NA 6.000% 7/5/17 6,500 7,222
  JPMorgan Chase Bank NA 6.000% 10/1/17 25,380 28,251
  KeyBank NA 4.950% 9/15/15 18,000 19,143
  KeyBank NA 5.450% 3/3/16 2,500 2,702
  KeyCorp 5.100% 3/24/21 10,000 10,243
6,8 Lloyds Banking Group plc 0.000% 11/29/49 2,405 1,969

 

 

  Lloyds TSB Bank plc 6.375% 1/21/21 57,000 60,983
  M&I Marshall & Ilsley Bank 5.250% 9/4/12 4,000 4,163
4 Manufacturers & Traders Trust Co. 1.805% 4/1/13 2,750 2,745
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 23,555 27,202
  Merrill Lynch & Co. Inc. 6.050% 5/16/16 17,150 18,414
  Merrill Lynch & Co. Inc. 5.700% 5/2/17 7,000 7,350
  Merrill Lynch & Co. Inc. 6.875% 4/25/18 15,355 17,382
  Morgan Stanley 6.000% 4/28/15 3,000 3,297
  Morgan Stanley 6.250% 8/28/17 3,825 4,217
  Morgan Stanley 5.950% 12/28/17 26,000 28,251
  Morgan Stanley 6.625% 4/1/18 32,150 35,767
  Morgan Stanley 7.300% 5/13/19 15,000 17,217
  Morgan Stanley 5.625% 9/23/19 28,000 29,053
  Morgan Stanley 5.500% 1/26/20 10,000 10,223
  Morgan Stanley 5.500% 7/24/20 5,000 5,131
  Morgan Stanley 5.750% 1/25/21 17,000 17,642
  National City Bank/Cleveland OH 5.250% 12/15/16 7,500 8,103
  National City Bank/Cleveland OH 5.800% 6/7/17 5,012 5,558
  National City Corp. 4.900% 1/15/15 28,435 30,954
  National City Corp. 6.875% 5/15/19 10,285 11,962
  Northern Trust Co. 5.850% 11/9/17 7,280 8,218
  Northern Trust Co. 6.500% 8/15/18 4,000 4,662
  PNC Bank NA 4.875% 9/21/17 3,100 3,299
  PNC Bank NA 6.000% 12/7/17 4,500 5,047
  PNC Bank NA 6.875% 4/1/18 33,085 38,390
  PNC Funding Corp. 4.250% 9/21/15 15,000 15,915
  PNC Funding Corp. 5.250% 11/15/15 8,685 9,388
  PNC Funding Corp. 6.700% 6/10/19 10,000 11,673
  PNC Funding Corp. 5.125% 2/8/20 5,000 5,340
  PNC Funding Corp. 4.375% 8/11/20 5,000 5,033
4,5,9RBS Capital Trust IV 1.669% 9/29/49 4,325 2,800
  Royal Bank of Canada 2.875% 4/19/16 7,500 7,560
  Royal Bank of Scotland Group plc 5.000% 10/1/14 4,520 4,581
  Royal Bank of Scotland Group plc 4.700% 7/3/18 2,000 1,766
  Royal Bank of Scotland Group plc 6.400% 10/21/19 57,500 60,811
  Royal Bank of Scotland plc 3.950% 9/21/15 2,000 2,034
  Royal Bank of Scotland plc 5.625% 8/24/20 24,000 24,639
  Royal Bank of Scotland plc 6.125% 1/11/21 25,000 26,470
  Santander Holdings USA Inc. 4.625% 4/19/16 3,200 3,286
6 Societe Generale 3.500% 1/15/16 12,500 12,590
6 Societe Generale 5.750% 4/20/16 5,200 5,538
6 Societe Generale 5.200% 4/15/21 7,500 7,653
  SouthTrust Corp. 5.800% 6/15/14 14,705 16,183
  Sovereign Bank/Wyomissing PA 8.750% 5/30/18 5,000 5,837
  State Street Bank and Trust Co. 5.300% 1/15/16 12,000 13,199
4 State Street Corp. 4.956% 3/15/18 15,000 15,723
  State Street Corp. 4.375% 3/7/21 14,000 14,052
4 SunTrust Bank/Atlanta GA 0.605% 4/1/15 6,000 5,718
  SunTrust Bank/Atlanta GA 7.250% 3/15/18 13,000 15,017
  SunTrust Banks Inc. 3.600% 4/15/16 4,200 4,255
  UBS AG/Stamford CT 5.875% 7/15/16 10,220 11,185
  UBS AG/Stamford CT 5.875% 12/20/17 44,450 49,803
  UBS AG/Stamford CT 5.750% 4/25/18 37,625 41,362
  UBS AG/Stamford CT 4.875% 8/4/20 35,000 35,907
4,6 Unicredit Luxembourg Finance SA 0.623% 1/13/17 14,925 13,814
  Union Bank NA 5.950% 5/11/16 4,826 5,245
6 United Overseas Bank Ltd. 4.500% 7/2/13 7,000 7,376
4,5 US Bank NA/Cincinnati OH 3.778% 4/29/20 6,395 6,575

 

 

  Wachovia Bank NA 4.875% 2/1/15 15,400 16,521
  Wachovia Bank NA 5.600% 3/15/16 10,000 10,949
  Wachovia Bank NA 6.000% 11/15/17 22,000 24,638
  Wachovia Corp. 5.625% 10/15/16 28,000 30,866
  Wachovia Corp. 5.750% 6/15/17 10,000 11,175
  Wachovia Corp. 5.750% 2/1/18 17,025 18,877
7 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 5.500% 1/15/13 6,147 6
7 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 5.650% 8/15/14 7,500 8
7 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 5.125% 1/15/15 9,000 9
  Washington Mutual Finance Corp. 6.875% 5/15/11 5,000 5,009
4 Wells Fargo & Co. 3.676% 6/15/16 27,775 28,498
  Wells Fargo & Co. 5.625% 12/11/17 32,900 36,718
  Wells Fargo & Co. 4.600% 4/1/21 37,500 37,951
  Wells Fargo Bank NA 4.750% 2/9/15 11,550 12,399
  Wells Fargo Bank NA 5.750% 5/16/16 12,500 13,878
  Westpac Banking Corp. 4.200% 2/27/15 10,000 10,584
  Westpac Banking Corp. 3.000% 8/4/15 15,000 15,130
4,5,6Westpac Capital Trust III 5.819% 12/30/49 14,300 14,502
  Wilmington Trust Corp. 4.875% 4/15/13 13,000 13,389
6 Woori Bank 5.875% 4/13/21 3,000 2,993
  Zions Bancorporation 6.000% 9/15/15 11,000 11,124
  Zions Bancorporation 5.500% 11/16/15 8,000 8,180
 
  Brokerage (1.0%)        
  Ameriprise Financial Inc. 7.300% 6/28/19 6,200 7,520
  Ameriprise Financial Inc. 5.300% 3/15/20 26,570 28,717
  BlackRock Inc. 6.250% 9/15/17 10,000 11,692
  BlackRock Inc. 5.000% 12/10/19 25,000 26,638
6 Blackstone Holdings Finance Co. LLC 6.625% 8/15/19 2,725 2,910
6 Cantor Fitzgerald LP 6.375% 6/26/15 5,600 5,756
  Charles Schwab Corp. 4.950% 6/1/14 11,600 12,725
  Charles Schwab Corp. 4.450% 7/22/20 14,500 14,955
  Franklin Resources Inc. 4.625% 5/20/20 5,000 5,197
  Jefferies Group Inc. 5.125% 4/13/18 13,000 13,048
  Jefferies Group Inc. 8.500% 7/15/19 9,540 11,429
7 Lehman Brothers Holdings Inc. 5.625% 1/24/13 12,755 3,300
7 Lehman Brothers Holdings Inc. 6.200% 9/26/14 22,500 5,794
7 Lehman Brothers Holdings Inc. 6.500% 7/19/17 20,000 2
7 Lehman Brothers Holdings Inc. 6.875% 5/2/18 5,000 1,300
 
  Finance Companies (2.2%)        
  General Electric Capital Corp. 5.625% 9/15/17 21,025 23,285
4,5 General Electric Capital Corp. 6.375% 11/15/67 14,450 14,920
  General Electric Capital Corp. 5.625% 5/1/18 49,750 54,422
  General Electric Capital Corp. 6.000% 8/7/19 45,000 50,042
  General Electric Capital Corp. 5.500% 1/8/20 25,000 26,802
  General Electric Capital Corp. 4.375% 9/16/20 25,000 24,634
  General Electric Capital Corp. 4.625% 1/7/21 27,500 27,577
  General Electric Capital Corp. 5.300% 2/11/21 21,000 21,746
4,5 HSBC Finance Capital Trust IX 5.911% 11/30/35 5,000 4,875
4 HSBC Finance Corp. 0.740% 6/1/16 6,225 5,970
  HSBC Finance Corp. 5.250% 1/15/14 9,050 9,777
6 HSBC Finance Corp. 6.676% 1/15/21 11,024 11,698
  International Lease Finance Corp. 5.750% 6/15/11 3,900 3,912
  SLM Corp. 5.050% 11/14/14 7,500 7,797

 

 

  SLM Corp. 6.250% 1/25/16 20,000 21,218
  SLM Corp. 8.450% 6/15/18 5,000 5,682
 
  Insurance (7.4%)        
  ACE INA Holdings Inc. 5.875% 6/15/14 16,839 18,833
  ACE INA Holdings Inc. 5.600% 5/15/15 26,490 29,371
  ACE INA Holdings Inc. 5.700% 2/15/17 3,000 3,354
  ACE INA Holdings Inc. 5.800% 3/15/18 5,805 6,449
  Aetna Inc. 6.000% 6/15/16 2,970 3,391
  Aetna Inc. 6.500% 9/15/18 31,818 36,873
  Aetna Inc. 3.950% 9/1/20 12,000 11,735
  Aflac Inc. 8.500% 5/15/19 24,940 30,529
  Alleghany Corp. 5.625% 9/15/20 4,000 4,098
  Allied World Assurance Co. Holdings Ltd. 7.500% 8/1/16 10,000 11,368
  Allied World Assurance Co. Holdings Ltd. 5.500% 11/15/20 5,000 5,062
  Allstate Corp. 7.450% 5/16/19 18,100 21,750
  Allstate Life Global Funding Trusts 5.375% 4/30/13 23,895 25,861
  Alterra Finance LLC 6.250% 9/30/20 8,000 8,177
  American Financial Group Inc./OH 9.875% 6/15/19 10,000 12,505
  American International Group Inc. 5.050% 10/1/15 20,012 20,851
  American International Group Inc. 5.600% 10/18/16 5,000 5,318
  American International Group Inc. 5.450% 5/18/17 10,000 10,480
  American International Group Inc. 5.850% 1/16/18 13,000 13,744
  American International Group Inc. 8.250% 8/15/18 15,000 17,804
  American International Group Inc. 6.400% 12/15/20 5,000 5,454
  Aspen Insurance Holdings Ltd. 6.000% 12/15/20 5,000 5,162
  Axis Capital Holdings Ltd. 5.750% 12/1/14 5,955 6,490
  Axis Specialty Finance LLC 5.875% 6/1/20 21,700 22,293
  Berkshire Hathaway Finance Corp. 4.850% 1/15/15 32,100 35,245
  Berkshire Hathaway Finance Corp. 4.250% 1/15/21 9,000 9,130
4,5 Chubb Corp. 6.375% 3/29/67 14,900 15,996
  Chubb Corp. 5.750% 5/15/18 5,933 6,665
  CNA Financial Corp. 7.350% 11/15/19 4,000 4,635
  CNA Financial Corp. 5.875% 8/15/20 3,000 3,173
  Coventry Health Care Inc. 5.875% 1/15/12 625 644
  Coventry Health Care Inc. 5.950% 3/15/17 4,000 4,226
  Genworth Financial Inc. 7.700% 6/15/20 3,000 3,111
  Genworth Global Funding Trusts 5.750% 5/15/13 5,250 5,573
  Hartford Financial Services Group Inc. 4.625% 7/15/13 10,000 10,511
  Hartford Financial Services Group Inc. 4.000% 3/30/15 3,400 3,499
  Hartford Financial Services Group Inc. 5.500% 3/30/20 2,500 2,595
  HCC Insurance Holdings Inc. 6.300% 11/15/19 7,500 8,150
  Humana Inc. 7.200% 6/15/18 10,000 11,537
4,5 ING Groep NV 5.775% 12/8/49 1,320 1,232
6 Jackson National Life Global Funding 4.700% 6/1/18 2,500 2,554
4,5 Lincoln National Corp. 6.050% 4/20/67 5,940 5,851
  Manulife Financial Corp. 4.900% 9/17/20 19,050 19,045
  Marsh & McLennan Cos. Inc. 5.375% 7/15/14 5,325 5,759
  Marsh & McLennan Cos. Inc. 5.750% 9/15/15 5,400 5,938
6 MassMutual Global Funding II 3.125% 4/14/16 9,800 9,954
  MetLife Inc. 6.750% 6/1/16 15,000 17,566
  MetLife Inc. 6.817% 8/15/18 5,080 5,962
  MetLife Inc. 7.717% 2/15/19 29,439 36,054
  MetLife Inc. 4.750% 2/8/21 7,000 7,115
6 Metropolitan Life Global Funding I 5.125% 6/10/14 4,400 4,798
6 Metropolitan Life Global Funding I 2.500% 9/29/15 16,170 15,936
6 Metropolitan Life Global Funding I 3.125% 1/11/16 18,000 18,096
4,6 Monumental Global Funding III 0.444% 1/25/13 10,000 9,891

 

 

6 New York Life Global Funding 3.000% 5/4/15 4,150 4,260
6 Pacific Life Global Funding 5.150% 4/15/13 11,404 12,182
6 Pacific LifeCorp 6.000% 2/10/20 8,000 8,627
  PartnerRe Finance B LLC 5.500% 6/1/20 30,200 30,482
6 Pricoa Global Funding I 5.450% 6/11/14 8,166 8,971
  Principal Financial Group Inc. 8.875% 5/15/19 21,195 27,158
6 Principal Life Global Funding I 5.250% 1/15/13 5,000 5,328
4,5 Progressive Corp. 6.700% 6/15/37 16,500 17,325
  Protective Life Corp. 7.375% 10/15/19 7,000 7,934
  Prudential Financial Inc. 6.100% 6/15/17 6,200 6,953
  Prudential Financial Inc. 7.375% 6/15/19 7,000 8,309
  Swiss Re Solutions Holding Corp. 6.450% 3/1/19 11,250 12,342
6 TIAA Global Markets Inc. 4.950% 7/15/13 2,750 2,964
  Torchmark Corp. 9.250% 6/15/19 3,000 3,720
  Travelers Cos. Inc. 6.250% 6/20/16 10,370 11,864
  Travelers Cos. Inc. 5.750% 12/15/17 20,206 22,702
  Travelers Cos. Inc. 5.800% 5/15/18 18,710 20,831
  UnitedHealth Group Inc. 5.000% 8/15/14 20,930 22,857
  UnitedHealth Group Inc. 4.875% 3/15/15 7,585 8,264
  UnitedHealth Group Inc. 5.375% 3/15/16 15,000 16,743
  UnitedHealth Group Inc. 6.000% 6/15/17 19,335 21,881
  UnitedHealth Group Inc. 6.000% 2/15/18 15,114 17,047
  UnitedHealth Group Inc. 4.700% 2/15/21 8,000 8,228
  Unum Group 5.625% 9/15/20 2,000 2,087
  WellPoint Inc. 6.000% 2/15/14 17,970 19,962
  WellPoint Inc. 5.250% 1/15/16 20,000 22,140
  WellPoint Inc. 5.875% 6/15/17 11,465 13,100
  WellPoint Inc. 7.000% 2/15/19 14,445 17,223
  WellPoint Inc. 4.350% 8/15/20 25,000 25,269
  Willis North America Inc. 6.200% 3/28/17 10,000 10,882
  Willis North America Inc. 7.000% 9/29/19 8,000 8,833
  XL Capital Finance Europe plc 6.500% 1/15/12 3,000 3,104
4,5,6ZFS Finance USA Trust IV 5.875% 5/9/62 1,284 1,300
 
  Other Finance (0.0%)        
6 Targeted Return Index Securities Trust 6.814% 1/15/12 4,400 4,489
 
  Real Estate Investment Trusts (2.3%)        
  Brandywine Operating Partnership LP 7.500% 5/15/15 10,000 11,418
  Brandywine Operating Partnership LP 5.700% 5/1/17 2,000 2,138
  Brandywine Operating Partnership LP 4.950% 4/15/18 5,000 5,056
  Developers Diversified Realty Corp. 7.500% 4/1/17 1,750 2,008
  Developers Diversified Realty Corp. 4.750% 4/15/18 3,000 2,951
  Developers Diversified Realty Corp. 7.875% 9/1/20 5,000 5,806
  Digital Realty Trust LP 5.875% 2/1/20 12,000 12,711
  Digital Realty Trust LP 5.250% 3/15/21 5,000 4,977
  Duke Realty LP 7.375% 2/15/15 5,000 5,703
  Duke Realty LP 5.950% 2/15/17 5,000 5,429
  Duke Realty LP 6.500% 1/15/18 3,555 3,921
  Federal Realty Investment Trust 5.900% 4/1/20 3,000 3,297
6 Goodman Funding Pty Ltd. 6.375% 11/12/20 7,000 7,246
6 Goodman Funding Pty Ltd. 6.375% 4/15/21 8,000 8,253
  HCP Inc. 6.000% 1/30/17 10,000 11,032
  Health Care REIT Inc. 5.875% 5/15/15 5,725 6,311
  Health Care REIT Inc. 4.700% 9/15/17 5,000 5,115
  Health Care REIT Inc. 6.125% 4/15/20 5,000 5,395
  Hospitality Properties Trust 7.875% 8/15/14 3,900 4,396
  Hospitality Properties Trust 6.300% 6/15/16 5,000 5,483

 

 

Mack-Cali Realty LP 7.750% 8/15/19 4,000 4,838
National Retail Properties Inc. 6.875% 10/15/17 11,775 12,991
Realty Income Corp. 5.750% 1/15/21 3,000 3,190
Regency Centers LP 4.950% 4/15/14 5,000 5,321
Simon Property Group LP 6.750% 5/15/14 15,000 16,963
Simon Property Group LP 5.100% 6/15/15 6,320 6,906
Simon Property Group LP 5.250% 12/1/16 13,500 14,779
Simon Property Group LP 5.875% 3/1/17 3,300 3,704
Simon Property Group LP 6.125% 5/30/18 30,369 34,253
Simon Property Group LP 10.350% 4/1/19 22,815 31,671
Simon Property Group LP 5.650% 2/1/20 16,200 17,633
Simon Property Group LP 4.375% 3/1/21 15,000 14,995
Ventas Realty LP / Ventas Capital Corp. 3.125% 11/30/15 7,000 6,948
6 WEA Finance LLC 7.125% 4/15/18 26,500 30,888
6 WEA Finance LLC / WT Finance Aust Pty Ltd. 5.750% 9/2/15 3,925 4,346
6 WEA Finance LLC / WT Finance Aust Pty Ltd. 6.750% 9/2/19 1,000 1,156
        4,864,326
Industrial (35.2%)        
Basic Industry (3.2%)        
Air Products & Chemicals Inc. 4.150% 2/1/13 3,700 3,869
Alcoa Inc. 6.750% 7/15/18 8,586 9,678
Alcoa Inc. 5.720% 2/23/19 9,500 10,064
Alcoa Inc. 6.150% 8/15/20 5,000 5,381
Alcoa Inc. 5.400% 4/15/21 7,000 7,114
Alcoa Inc. 5.870% 2/23/22 1,100 1,152
6 Anglo American Capital plc 4.450% 9/27/20 4,000 4,050
AngloGold Ashanti Holdings plc 5.375% 4/15/20 7,000 7,193
ArcelorMittal 6.125% 6/1/18 18,000 19,619
ArcelorMittal 9.850% 6/1/19 14,000 18,046
ArcelorMittal 5.250% 8/5/20 8,000 8,006
ArcelorMittal 5.500% 3/1/21 10,000 10,122
ArcelorMittal USA Inc. 6.500% 4/15/14 2,200 2,432
Barrick PD Australia Finance Pty Ltd. 4.950% 1/15/20 4,000 4,280
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 15,968 18,099
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 19,075 22,927
Celulosa Arauco y Constitucion SA 7.250% 7/29/19 2,000 2,267
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 3,500 3,468
6 Chevron Phillips Chemical Co. LLC/LP 4.750% 2/1/21 6,000 6,028
Dow Chemical Co. 5.700% 5/15/18 2,000 2,193
Dow Chemical Co. 4.250% 11/15/20 17,205 16,799
EI du Pont de Nemours & Co. 6.000% 7/15/18 33,480 38,491
EI du Pont de Nemours & Co. 4.625% 1/15/20 10,728 11,249
Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 26,000 28,600
6 Gerdau Trade Inc. 5.750% 1/30/21 2,000 2,023
6 Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 10,000 9,568
6 GTL Trade Finance Inc. 7.250% 10/20/17 3,000 3,388
6 Incitec Pivot Finance LLC 6.000% 12/10/19 10,000 10,593
International Paper Co. 7.950% 6/15/18 12,939 15,702
International Paper Co. 9.375% 5/15/19 7,000 9,120
Lubrizol Corp. 8.875% 2/1/19 4,000 5,219
Monsanto Co. 2.750% 4/15/16 3,660 3,707
6 POSCO 4.250% 10/28/20 10,000 9,424
6 POSCO 5.250% 4/14/21 7,000 7,110
Praxair Inc. 4.375% 3/31/14 2,115 2,281
Praxair Inc. 4.625% 3/30/15 5,550 6,066
Praxair Inc. 4.500% 8/15/19 3,000 3,166
Rio Tinto Finance USA Ltd. 6.500% 7/15/18 14,000 16,419

 

 

Rio Tinto Finance USA Ltd. 3.500% 11/2/20 45,000 42,934
Rohm and Haas Co. 6.000% 9/15/17 6,000 6,721
Teck Resources Ltd. 10.250% 5/15/16 10,000 12,038
Vale Overseas Ltd. 5.625% 9/15/19 18,000 19,167
Vale Overseas Ltd. 4.625% 9/15/20 5,000 4,929
 
Capital Goods (4.1%)        
Acuity Brands Lighting Inc. 6.000% 12/15/19 10,000 10,508
Allied Waste North America Inc. 7.125% 5/15/16 4,000 4,140
Allied Waste North America Inc. 6.875% 6/1/17 12,675 13,784
Black & Decker Corp. 7.125% 6/1/11 8,550 8,594
Boeing Capital Corp. 4.700% 10/27/19 7,893 8,440
Boeing Co. 4.875% 2/15/20 11,000 11,877
Caterpillar Financial Services Corp. 6.125% 2/17/14 11,890 13,448
Caterpillar Financial Services Corp. 5.500% 3/15/16 2,000 2,265
Caterpillar Financial Services Corp. 5.850% 9/1/17 2,000 2,316
Caterpillar Financial Services Corp. 5.450% 4/15/18 10,405 11,682
Caterpillar Financial Services Corp. 7.150% 2/15/19 14,000 17,305
Caterpillar Inc. 7.900% 12/15/18 20,000 25,638
Cooper US Inc. 5.450% 4/1/15 6,000 6,671
Cooper US Inc. 6.100% 7/1/17 3,500 4,046
Crane Co. 5.500% 9/15/13 5,000 5,370
CRH America Inc. 6.000% 9/30/16 10,725 11,823
CRH America Inc. 8.125% 7/15/18 2,200 2,628
CRH America Inc. 5.750% 1/15/21 10,000 10,461
Deere & Co. 4.375% 10/16/19 8,850 9,308
Eaton Corp. 6.950% 3/20/19 7,110 8,602
Embraer Overseas Ltd. 6.375% 1/24/17 4,000 4,341
Embraer Overseas Ltd. 6.375% 1/15/20 10,000 10,780
Emerson Electric Co. 5.250% 10/15/18 5,000 5,522
Emerson Electric Co. 4.875% 10/15/19 4,000 4,366
Emerson Electric Co. 4.250% 11/15/20 17,500 18,213
General Dynamics Corp. 5.250% 2/1/14 1,150 1,274
General Electric Co. 5.250% 12/6/17 65,800 73,005
Harsco Corp. 2.700% 10/15/15 5,000 4,979
Harsco Corp. 5.750% 5/15/18 12,000 13,223
Honeywell International Inc. 5.300% 3/1/18 14,772 16,479
Illinois Tool Works Inc. 6.250% 4/1/19 9,950 11,722
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 5,544 6,686
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 12,000 14,045
John Deere Capital Corp. 5.500% 4/13/17 7,321 8,318
John Deere Capital Corp. 5.350% 4/3/18 9,000 10,080
John Deere Capital Corp. 5.750% 9/10/18 11,000 12,600
L-3 Communications Corp. 6.375% 10/15/15 850 876
L-3 Communications Corp. 5.200% 10/15/19 7,000 7,392
Lafarge SA 6.500% 7/15/16 17,252 18,600
Lockheed Martin Corp. 7.650% 5/1/16 5,000 6,119
Masco Corp. 5.875% 7/15/12 10,560 11,062
Owens Corning 6.500% 12/1/16 10,360 11,402
Owens Corning 9.000% 6/15/19 7,000 8,339
Raytheon Co. 6.400% 12/15/18 5,725 6,726
Raytheon Co. 3.125% 10/15/20 10,000 9,281
Republic Services Inc. 5.500% 9/15/19 2,415 2,626
Rockwell Automation Inc. 5.650% 12/1/17 5,000 5,695
5,6 Systems 2001 AT LLC 7.156% 12/15/11 1,064 1,084
Tyco International Finance SA 6.000% 11/15/13 11,000 12,190
Tyco International Finance SA 3.750% 1/15/18 29,375 29,476
Tyco International Finance SA 8.500% 1/15/19 4,000 5,094

 

 

United Technologies Corp. 5.375% 12/15/17 23,805 27,048
United Technologies Corp. 6.125% 2/1/19 5,500 6,407
United Technologies Corp. 4.500% 4/15/20 8,500 8,923
Waste Management Inc. 7.375% 3/11/19 4,250 5,148
 
Communication (6.7%)        
America Movil SAB de CV 5.500% 3/1/14 4,000 4,390
6 America Movil SAB de CV 5.750% 1/15/15 22,555 24,995
America Movil SAB de CV 5.750% 1/15/15 8,400 9,309
America Movil SAB de CV 5.625% 11/15/17 14,424 16,199
America Movil SAB de CV 5.000% 10/16/19 19,000 19,822
America Movil SAB de CV 5.000% 3/30/20 7,500 7,855
American Tower Corp. 4.625% 4/1/15 3,000 3,147
American Tower Corp. 4.500% 1/15/18 10,000 9,868
AT&T Inc. 5.100% 9/15/14 7,750 8,549
AT&T Inc. 2.950% 5/15/16 12,000 12,055
AT&T Inc. 5.625% 6/15/16 23,000 25,921
AT&T Inc. 5.500% 2/1/18 34,425 37,965
AT&T Inc. 5.600% 5/15/18 32,089 35,690
AT&T Inc. 4.450% 5/15/21 13,000 13,085
BellSouth Corp. 5.200% 12/15/16 7,000 7,797
6 British Sky Broadcasting Group plc 9.500% 11/15/18 4,000 5,330
British Telecommunications plc 5.950% 1/15/18 16,465 18,305
CBS Corp. 4.625% 5/15/18 2,750 2,787
Cellco Partnership / Verizon Wireless Capital        
LLC 5.550% 2/1/14 12,800 14,114
Cellco Partnership / Verizon Wireless Capital        
LLC 8.500% 11/15/18 30,000 38,980
CenturyLink Inc. 6.000% 4/1/17 7,000 7,456
Comcast Cable Communications LLC 8.875% 5/1/17 3,400 4,310
Comcast Corp. 6.300% 11/15/17 26,480 30,389
Comcast Corp. 5.700% 5/15/18 5,000 5,533
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 7.625% 5/15/16 12,000 13,230
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.875% 10/1/19 8,000 8,787
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.000% 3/1/21 5,000 5,121
Embarq Corp. 7.082% 6/1/16 15,225 17,188
France Telecom SA 2.125% 9/16/15 5,000 4,951
France Telecom SA 5.375% 7/8/19 7,000 7,827
6 NBCUniversal Media LLC 5.150% 4/30/20 9,000 9,389
6 NBCUniversal Media LLC 4.375% 4/1/21 7,000 6,844
News America Inc. 6.900% 3/1/19 7,000 8,240
6 News America Inc. 4.500% 2/15/21 3,000 2,991
Omnicom Group Inc. 4.450% 8/15/20 4,000 3,973
Qwest Corp. 7.625% 6/15/15 770 884
Qwest Corp. 8.375% 5/1/16 9,525 11,287
Reed Elsevier Capital Inc. 8.625% 1/15/19 8,000 10,193
Rogers Communications Inc. 6.750% 3/15/15 6,000 6,900
RR Donnelley & Sons Co. 6.125% 1/15/17 7,162 7,462
RR Donnelley & Sons Co. 7.625% 6/15/20 15,000 15,789
Telecom Italia Capital SA 5.250% 10/1/15 14,000 14,798
Telecom Italia Capital SA 7.175% 6/18/19 6,000 6,803
Telefonica Emisiones SAU 4.949% 1/15/15 48,140 51,605
Telefonica Emisiones SAU 3.729% 4/27/15 8,848 9,028
Telefonica Emisiones SAU 6.221% 7/3/17 10,662 11,863
Telefonica Emisiones SAU 5.877% 7/15/19 14,185 15,122

 

 

  Telefonica Emisiones SAU 5.134% 4/27/20 29,000 29,619
  Telefonica Emisiones SAU 5.462% 2/16/21 12,800 13,264
6 Telemar Norte Leste SA 5.500% 10/23/20 6,500 6,356
  Thomson Reuters Corp. 6.500% 7/15/18 10,685 12,473
  Thomson Reuters Corp. 4.700% 10/15/19 13,835 14,637
  Time Warner Cable Inc. 8.250% 2/14/14 5,000 5,845
  Time Warner Cable Inc. 5.850% 5/1/17 7,000 7,782
  Time Warner Cable Inc. 6.750% 7/1/18 20,000 23,006
  Time Warner Cable Inc. 8.250% 4/1/19 12,000 14,877
  Verizon Communications Inc. 3.000% 4/1/16 15,000 15,135
  Verizon Communications Inc. 5.500% 2/15/18 14,440 15,932
  Verizon Communications Inc. 6.100% 4/15/18 39,790 45,388
  Verizon Communications Inc. 8.750% 11/1/18 25,600 33,235
  Verizon Communications Inc. 6.350% 4/1/19 23,606 27,355
  Verizon Communications Inc. 4.600% 4/1/21 8,000 8,160
  Vodafone Group plc 5.750% 3/15/16 17,190 19,445
  Vodafone Group plc 5.625% 2/27/17 29,000 32,536
  Vodafone Group plc 5.450% 6/10/19 8,000 8,832
  Vodafone Group plc 4.375% 3/16/21 5,000 5,018
  Washington Post Co. 7.250% 2/1/19 2,500 2,885
  WPP Finance UK 8.000% 9/15/14 6,000 7,054
 
  Consumer Cyclical (2.6%)        
6 American Honda Finance Corp. 3.500% 3/16/15 7,390 7,666
6 American Honda Finance Corp. 3.875% 9/21/20 3,640 3,580
  CVS Caremark Corp. 5.750% 6/1/17 5,000 5,593
  CVS Caremark Corp. 6.600% 3/15/19 4,000 4,640
5,6 CVS Pass-Through Trust 6.117% 1/10/13 5,251 5,551
  Darden Restaurants Inc. 6.200% 10/15/17 15,000 16,821
  eBay Inc. 3.250% 10/15/20 3,500 3,241
  Expedia Inc. 5.950% 8/15/20 15,450 15,266
  Ford Motor Credit Co. LLC 7.000% 4/15/15 6,580 7,222
  Ford Motor Credit Co. LLC 5.625% 9/15/15 1,440 1,516
  Ford Motor Credit Co. LLC 5.000% 5/15/18 5,400 5,393
  Ford Motor Credit Co. LLC 5.750% 2/1/21 6,500 6,646
6 Harley-Davidson Funding Corp. 5.250% 12/15/12 300 314
6 Harley-Davidson Funding Corp. 6.800% 6/15/18 11,725 13,132
  Historic TW Inc. 6.875% 6/15/18 5,000 5,852
  Home Depot Inc. 3.950% 9/15/20 5,000 4,920
6 Hyundai Capital America 3.750% 4/6/16 1,740 1,730
6 Hyundai Capital Services Inc. 6.000% 5/5/15 3,000 3,262
6 Hyundai Capital Services Inc. 4.375% 7/27/16 2,160 2,195
  International Game Technology 5.500% 6/15/20 5,000 5,167
  K Hovnanian Enterprises Inc. 6.250% 1/15/16 4,260 3,088
  Lowe's Cos. Inc. 4.625% 4/15/20 8,000 8,442
  Macy's Retail Holdings Inc. 5.900% 12/1/16 5,000 5,394
  McDonald's Corp. 5.350% 3/1/18 10,000 11,264
6 Nissan Motor Acceptance Corp. 4.500% 1/30/15 9,300 9,796
  Nordstrom Inc. 4.750% 5/1/20 10,000 10,455
6 RCI Banque SA 4.600% 4/12/16 16,000 16,224
  Target Corp. 6.000% 1/15/18 8,200 9,473
  Target Corp. 3.875% 7/15/20 20,000 19,826
  Time Warner Inc. 4.875% 3/15/20 5,000 5,177
  Time Warner Inc. 4.750% 3/29/21 6,500 6,609
  TJX Cos. Inc. 6.950% 4/15/19 5,500 6,629
  Toyota Motor Credit Corp. 4.500% 6/17/20 5,000 5,155
  Toyota Motor Credit Corp. 4.250% 1/11/21 9,000 9,144
6 Volkswagen International Finance NV 2.875% 4/1/16 3,000 2,999

 

 

6 Volkswagen International Finance NV 4.000% 8/12/20 7,500 7,426
6 Volvo Treasury AB 5.950% 4/1/15 12,000 13,244
Wal-Mart Stores Inc. 2.875% 4/1/15 1,645 1,702
Wal-Mart Stores Inc. 5.375% 4/5/17 7,000 7,964
Wal-Mart Stores Inc. 3.625% 7/8/20 30,000 29,326
Wal-Mart Stores Inc. 3.250% 10/25/20 31,460 29,857
Walgreen Co. 5.250% 1/15/19 8,375 9,286
Walt Disney Co. 5.625% 9/15/16 5,000 5,744
Walt Disney Co. 6.000% 7/17/17 3,000 3,463
Western Union Co. 6.500% 2/26/14 7,400 8,274
Western Union Co. 5.930% 10/1/16 11,825 13,303
 
Consumer Noncyclical (9.4%)        
Abbott Laboratories 5.875% 5/15/16 19,000 22,002
Abbott Laboratories 5.600% 11/30/17 16,000 18,319
Abbott Laboratories 5.125% 4/1/19 43,360 47,412
Allergan Inc./United States 5.750% 4/1/16 12,000 13,694
Allergan Inc./United States 3.375% 9/15/20 9,000 8,525
Altria Group Inc. 9.700% 11/10/18 27,276 36,282
Altria Group Inc. 9.250% 8/6/19 10,000 13,156
AmerisourceBergen Corp. 5.875% 9/15/15 3,000 3,368
AmerisourceBergen Corp. 4.875% 11/15/19 3,000 3,138
Amgen Inc. 5.850% 6/1/17 25,460 29,337
Amgen Inc. 6.150% 6/1/18 5,000 5,784
Amgen Inc. 5.700% 2/1/19 12,080 13,599
Amgen Inc. 3.450% 10/1/20 12,250 11,690
Anheuser-Busch Cos. Inc. 5.500% 1/15/18 5,000 5,517
Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 6,100 6,776
Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 8,000 10,038
Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 5,000 5,494
Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 12,000 12,859
Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 5,000 5,094
Archer-Daniels-Midland Co. 5.450% 3/15/18 6,388 7,168
4 Archer-Daniels-Midland Co. 4.479% 3/1/21 12,500 12,861
AstraZeneca plc 5.900% 9/15/17 22,060 25,453
Avon Products Inc. 5.625% 3/1/14 6,125 6,741
Avon Products Inc. 6.500% 3/1/19 5,000 5,782
6 BAT International Finance plc 9.500% 11/15/18 4,000 5,330
Baxter International Inc. 5.900% 9/1/16 7,000 8,156
Baxter International Inc. 5.375% 6/1/18 10,100 11,286
Baxter International Inc. 4.500% 8/15/19 2,000 2,115
Baxter International Inc. 4.250% 3/15/20 3,000 3,065
Becton Dickinson and Co. 5.000% 5/15/19 4,700 5,091
Biogen Idec Inc. 6.875% 3/1/18 5,000 5,742
Boston Scientific Corp. 6.000% 1/15/20 5,000 5,408
Bottling Group LLC 6.950% 3/15/14 3,813 4,411
Bottling Group LLC 5.500% 4/1/16 19,086 21,704
Bottling Group LLC 5.125% 1/15/19 19,925 21,827
Bristol-Myers Squibb Co. 5.450% 5/1/18 4,000 4,483
Bunge Ltd. Finance Corp. 4.100% 3/15/16 2,800 2,871
Bunge Ltd. Finance Corp. 8.500% 6/15/19 10,000 12,096
Campbell Soup Co. 3.050% 7/15/17 6,250 6,340
Campbell Soup Co. 4.500% 2/15/19 3,000 3,168
6 Coca-Cola Amatil Ltd. 3.250% 11/2/14 1,090 1,127
Coca-Cola Co. 3.150% 11/15/20 22,970 21,806
Coca-Cola Femsa SAB de CV 4.625% 2/15/20 5,000 5,200
Coca-Cola Refreshments USA Inc. 7.375% 3/3/14 17,597 20,495
Coca-Cola Refreshments USA Inc. 4.250% 3/1/15 4,500 4,869

 

 

Colgate-Palmolive Co. 3.150% 8/5/15 2,000 2,087
ConAgra Foods Inc. 6.750% 9/15/11 312 319
Covidien International Finance SA 6.000% 10/15/17 14,306 16,531
Covidien International Finance SA 4.200% 6/15/20 5,000 5,023
CR Bard Inc. 4.400% 1/15/21 13,000 13,342
Delhaize Group SA 5.875% 2/1/14 875 958
Eli Lilly & Co. 4.200% 3/6/14 11,850 12,774
Estee Lauder Cos. Inc. 6.000% 1/15/12 493 511
Express Scripts Inc. 3.125% 5/15/16 7,650 7,669
Express Scripts Inc. 7.250% 6/15/19 3,000 3,626
6 Foster's Finance Corp. 4.875% 10/1/14 4,000 4,262
Genentech Inc. 4.750% 7/15/15 16,150 17,736
General Mills Inc. 5.650% 2/15/19 3,000 3,341
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 32,400 36,626
Hasbro Inc. 6.300% 9/15/17 5,000 5,601
Hershey Co. 4.850% 8/15/15 5,000 5,457
Hershey Co. 4.125% 12/1/20 4,125 4,186
Hormel Foods Corp. 4.125% 4/15/21 3,350 3,387
Johnson & Johnson 2.950% 9/1/20 5,850 5,556
Kellogg Co. 4.450% 5/30/16 7,000 7,573
Kellogg Co. 4.150% 11/15/19 12,000 12,226
Kimberly-Clark Corp. 6.125% 8/1/17 8,449 9,888
Kimberly-Clark Corp. 7.500% 11/1/18 10,000 12,475
Kimberly-Clark Corp. 3.625% 8/1/20 3,300 3,258
Koninklijke Philips Electronics NV 5.750% 3/11/18 15,000 16,973
Kraft Foods Inc. 6.500% 8/11/17 7,840 9,109
Kraft Foods Inc. 5.375% 2/10/20 35,000 37,833
Kroger Co. 6.800% 12/15/18 6,100 7,186
Lorillard Tobacco Co. 6.875% 5/1/20 6,000 6,598
McKesson Corp. 6.500% 2/15/14 7,100 7,997
McKesson Corp. 4.750% 3/1/21 7,000 7,257
Medco Health Solutions Inc. 7.125% 3/15/18 5,000 5,907
Medtronic Inc. 4.450% 3/15/20 10,000 10,357
Merck & Co. Inc. 4.750% 3/1/15 6,000 6,618
Merck & Co. Inc. 4.000% 6/30/15 2,100 2,263
Merck & Co. Inc. 6.000% 9/15/17 10,000 11,687
Merck & Co. Inc. 5.000% 6/30/19 10,000 10,953
Merck & Co. Inc. 3.875% 1/15/21 20,500 20,232
Nabisco Inc. 7.550% 6/15/15 15,000 17,602
Novartis Capital Corp. 4.400% 4/24/20 10,000 10,462
Novartis Securities Investment Ltd. 5.125% 2/10/19 51,794 56,594
PepsiAmericas Inc. 4.375% 2/15/14 12,500 13,533
PepsiCo Inc./NC 5.000% 6/1/18 16,500 18,171
PepsiCo Inc./NC 7.900% 11/1/18 14,000 17,861
PepsiCo Inc./NC 3.125% 11/1/20 22,000 20,561
Pfizer Inc. 6.200% 3/15/19 60,000 70,159
Philip Morris International Inc. 6.875% 3/17/14 10,000 11,529
Philip Morris International Inc. 5.650% 5/16/18 36,555 41,203
Philip Morris International Inc. 4.500% 3/26/20 6,750 7,006
Procter & Gamble Co. 3.500% 2/15/15 4,400 4,667
Procter & Gamble Co. 4.700% 2/15/19 11,000 12,019
Quest Diagnostics Inc./DE 4.750% 1/30/20 2,000 2,045
Quest Diagnostics Inc./DE 4.700% 4/1/21 4,000 4,067
Reynolds American Inc. 7.625% 6/1/16 16,655 19,861
6 Roche Holdings Inc. 6.000% 3/1/19 13,500 15,505
Safeway Inc. 6.350% 8/15/17 3,000 3,405
Sanofi-Aventis SA 2.625% 3/29/16 4,860 4,876
Sanofi-Aventis SA 4.000% 3/29/21 8,500 8,460

 

 

  St. Jude Medical Inc. 2.500% 1/15/16 10,000 9,964
  St. Jude Medical Inc. 4.875% 7/15/19 10,000 10,708
  Stryker Corp. 4.375% 1/15/20 10,000 10,356
  Sysco Corp. 5.250% 2/12/18 12,000 13,265
6 Tesco plc 5.500% 11/15/17 7,000 7,897
  Teva Pharmaceutical Finance II BV / Teva        
  Pharmaceutical Finance III LLC 3.000% 6/15/15 12,000 12,223
  Thermo Fisher Scientific Inc. 5.000% 6/1/15 4,700 5,181
  Thermo Fisher Scientific Inc. 4.500% 3/1/21 7,000 7,202
  Unilever Capital Corp. 3.650% 2/15/14 6,500 6,903
  Whirlpool Corp. 8.600% 5/1/14 5,000 5,844
  Wyeth 5.500% 2/15/16 15,000 17,116
  Wyeth 5.450% 4/1/17 12,780 14,477
 
  Energy (4.4%)        
  Anadarko Petroleum Corp. 5.950% 9/15/16 10,500 11,709
  Anadarko Petroleum Corp. 6.375% 9/15/17 10,000 11,297
  Anadarko Petroleum Corp. 6.950% 6/15/19 19,500 22,461
  Apache Corp. 5.625% 1/15/17 4,000 4,577
  Apache Corp. 6.900% 9/15/18 3,000 3,627
  Apache Corp. 3.625% 2/1/21 6,000 5,769
  Baker Hughes Inc. 7.500% 11/15/18 16,845 21,198
  BP Capital Markets plc 3.625% 5/8/14 6,300 6,598
  BP Capital Markets plc 3.875% 3/10/15 5,000 5,245
  BP Capital Markets plc 4.750% 3/10/19 13,850 14,507
  BP Capital Markets plc 4.500% 10/1/20 33,000 33,332
  BP Capital Markets plc 4.742% 3/11/21 25,000 25,559
  Canadian Natural Resources Ltd. 5.700% 5/15/17 4,500 5,063
  ConocoPhillips 5.750% 2/1/19 43,935 50,399
  ConocoPhillips 6.000% 1/15/20 10,000 11,625
6 ENI SPA 4.150% 10/1/20 5,120 4,893
  Ensco plc 4.700% 3/15/21 10,000 10,064
  EOG Resources Inc. 5.875% 9/15/17 3,000 3,419
  EOG Resources Inc. 5.625% 6/1/19 7,000 7,861
  EOG Resources Inc. 4.400% 6/1/20 12,000 12,163
6 GS Caltex Corp. 5.500% 8/25/14 4,000 4,310
6 GS Caltex Corp. 5.500% 10/15/15 6,000 6,444
  Halliburton Co. 6.150% 9/15/19 13,000 15,062
6 Marathon Petroleum Corp. 5.125% 3/1/21 7,000 7,210
6 Motiva Enterprises LLC 5.750% 1/15/20 10,000 11,067
  Nabors Industries Inc. 6.150% 2/15/18 3,000 3,335
  Nabors Industries Inc. 9.250% 1/15/19 5,900 7,547
  Noble Corp. 5.875% 6/1/13 3,000 3,259
  Noble Holding International Ltd. 4.900% 8/1/20 14,000 14,431
  Occidental Petroleum Corp. 4.100% 2/1/21 23,525 23,733
5,6 Odebrecht Drilling Norbe VIII/IX Ltd. 6.350% 6/30/21 7,000 7,444
  Petro-Canada 6.050% 5/15/18 4,000 4,527
  Pride International Inc. 6.875% 8/15/20 17,178 19,755
  Shell International Finance BV 4.300% 9/22/19 21,000 21,888
  Shell International Finance BV 4.375% 3/25/20 35,000 36,564
  Statoil ASA 3.125% 8/17/17 15,000 14,994
  Statoil ASA 5.250% 4/15/19 27,000 29,725
  Suncor Energy Inc. 6.100% 6/1/18 5,000 5,695
  Talisman Energy Inc. 7.750% 6/1/19 3,000 3,702
  Talisman Energy Inc. 3.750% 2/1/21 5,000 4,714
  Total Capital SA 3.000% 6/24/15 12,000 12,362
  Total Capital SA 2.300% 3/15/16 10,000 9,887
  Total Capital SA 4.450% 6/24/20 15,000 15,561

 

 

Transocean Inc. 6.000% 3/15/18 20,000 21,904
Transocean Inc. 6.500% 11/15/20 5,000 5,596
Valero Energy Corp. 9.375% 3/15/19 9,200 11,937
Valero Energy Corp. 6.125% 2/1/20 5,000 5,548
Weatherford International Inc. 6.350% 6/15/17 3,000 3,403
Weatherford International Ltd./Bermuda 6.000% 3/15/18 10,000 11,027
Weatherford International Ltd./Bermuda 9.625% 3/1/19 12,500 16,178
Weatherford International Ltd./Bermuda 5.125% 9/15/20 5,000 5,088
 
Other Industrial (0.2%)        
6 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 10,000 11,999
6 Hutchison Whampoa International 09/16 Ltd. 4.625% 9/11/15 20,000 21,332
 
Technology (3.1%)        
Agilent Technologies Inc. 6.500% 11/1/17 5,950 6,763
Cisco Systems Inc. 5.500% 2/22/16 8,011 9,118
Cisco Systems Inc. 4.950% 2/15/19 36,800 39,914
Cisco Systems Inc. 4.450% 1/15/20 33,000 34,232
Corning Inc. 6.625% 5/15/19 2,000 2,325
Dell Inc. 3.100% 4/1/16 7,000 7,054
Dell Inc. 5.650% 4/15/18 11,750 13,037
Dell Inc. 5.875% 6/15/19 3,250 3,605
Dun & Bradstreet Corp. 6.000% 4/1/13 9,700 10,484
Equifax Inc. 6.300% 7/1/17 5,000 5,484
Fiserv Inc. 6.800% 11/20/17 5,000 5,694
Hewlett-Packard Co. 6.125% 3/1/14 15,000 16,837
Hewlett-Packard Co. 5.400% 3/1/17 2,500 2,818
Hewlett-Packard Co. 5.500% 3/1/18 7,000 7,853
Hewlett-Packard Co. 3.750% 12/1/20 15,000 14,601
International Business Machines Corp. 5.700% 9/14/17 39,450 45,497
International Business Machines Corp. 7.625% 10/15/18 22,500 28,390
Lexmark International Inc. 6.650% 6/1/18 17,000 18,455
Microsoft Corp. 1.625% 9/25/15 25,000 24,647
Microsoft Corp. 4.200% 6/1/19 3,800 3,989
Nokia Oyj 5.375% 5/15/19 26,185 27,041
Oracle Corp. 5.750% 4/15/18 33,410 37,948
Oracle Corp. 5.000% 7/8/19 19,000 20,564
6 Oracle Corp. 3.875% 7/15/20 10,000 9,913
Pitney Bowes Inc. 5.000% 3/15/15 10,000 10,705
Pitney Bowes Inc. 5.750% 9/15/17 7,707 8,407
Pitney Bowes Inc. 6.250% 3/15/19 5,000 5,426
Tyco Electronics Group SA 6.550% 10/1/17 2,990 3,492
Xerox Corp. 6.350% 5/15/18 5,000 5,708
Xerox Corp. 5.625% 12/15/19 8,000 8,673
 
Transportation (1.5%)        
American Airlines Pass Through Trust 2001-        
01 6.817% 5/23/11 714 715
6 Aviation Capital Group Corp. 6.750% 4/6/21 15,000 15,174
Burlington Northern Santa Fe LLC 8.125% 4/15/20 5,000 6,328
Burlington Northern Santa Fe LLC 3.600% 9/1/20 3,000 2,885
Canadian National Railway Co. 5.800% 6/1/16 4,000 4,578
Canadian National Railway Co. 5.550% 5/15/18 5,275 5,913
5 Continental Airlines 1997-4 Class A Pass        
Through Trust 6.900% 1/2/18 2,655 2,814
5 Continental Airlines 1998-1 Class A Pass        
Through Trust 6.648% 9/15/17 702 737

 

 

5 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 1,605 1,750
10 Continental Airlines 2002-1 Class G-2 Pass        
  Through Trust 6.563% 2/15/12 3,000 3,060
5 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 4/1/21 1,941 2,028
5 Continental Airlines 2009-2 Class A Pass        
  Through Trust 7.250% 11/10/19 4,862 5,263
  CSX Corp. 7.900% 5/1/17 5,000 6,146
  CSX Corp. 7.375% 2/1/19 10,000 12,147
5 Delta Air Lines 2007-1 Class A Pass Through        
  Trust 6.821% 8/10/22 2,582 2,673
5 Delta Air Lines 2007-1 Class B Pass Through        
  Trust 8.021% 8/10/22 1,217 1,245
5 Delta Air Lines 2009-1 Class A Pass Through        
  Trust 7.750% 12/17/19 6,833 7,483
5 Delta Air Lines 2010-1 Class A Pass Through        
  Trust 6.200% 7/2/18 14,824 15,306
5 Delta Air Lines 2010-2 Class A Pass Through        
  Trust 4.950% 5/23/19 5,000 4,987
6 ERAC USA Finance LLC 6.375% 10/15/17 11,370 13,008
  JB Hunt Transport Services Inc. 3.375% 9/15/15 4,920 4,922
4,5,JetBlue Airways 2004-1 G-1 Pass Through        
11 Trust 0.685% 12/15/13 2,269 2,183
4,11JetBlue Airways 2004-1 G-2 Pass Through        
  Trust 0.730% 3/15/14 7,150 6,459
4,11JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.763% 11/15/16 4,765 4,074
  Norfolk Southern Corp. 5.750% 4/1/18 5,655 6,379
5 Northwest Airlines 2007-1 Class A Pass        
  Through Trust 7.027% 11/1/19 4,757 4,876
  Ryder System Inc. 7.200% 9/1/15 16,000 18,648
  Ryder System Inc. 3.600% 3/1/16 9,755 9,945
5 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 8/1/22 4,456 4,824
  Union Pacific Corp. 4.000% 2/1/21 5,000 4,992
  United Parcel Service Inc. 5.500% 1/15/18 5,100 5,757
  United Parcel Service Inc. 5.125% 4/1/19 1,900 2,127
  United Parcel Service Inc. 3.125% 1/15/21 23,000 21,627
          5,041,764
Utilities (6.4%)        
  Electric (4.8%)        
  Ameren Illinois Co. 6.125% 11/15/17 5,000 5,609
  Ameren Illinois Co. 6.250% 4/1/18 7,625 8,453
  Appalachian Power Co. 4.600% 3/30/21 5,000 5,001
  CMS Energy Corp. 6.250% 2/1/20 5,000 5,288
  Commonwealth Edison Co. 5.950% 8/15/16 5,000 5,667
  Commonwealth Edison Co. 5.800% 3/15/18 13,500 15,110
  Commonwealth Edison Co. 4.000% 8/1/20 5,000 4,902
  Connecticut Light & Power Co. 5.650% 5/1/18 4,000 4,480
  Connecticut Light & Power Co. 5.500% 2/1/19 10,475 11,742
  Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 2,500 2,652
  Consolidated Edison Co. of New York Inc. 7.125% 12/1/18 5,000 6,130
  Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 13,890 16,595
  Consumers Energy Co. 6.125% 3/15/19 5,000 5,733
  Consumers Energy Co. 6.700% 9/15/19 12,790 15,296
4 Dayton Power & Light Co. 5.125% 10/1/13 2,275 2,472

 

 

4,5 Dominion Resources Inc./VA 6.300% 9/30/66 370 367
  Dominion Resources Inc./VA 6.000% 11/30/17 5,000 5,746
  Dominion Resources Inc./VA 6.400% 6/15/18 2,000 2,312
  Dominion Resources Inc./VA 5.200% 8/15/19 2,000 2,162
  Duke Energy Carolinas LLC 5.300% 10/1/15 6,000 6,752
  Duke Energy Indiana Inc. 3.750% 7/15/20 15,096 14,832
  Duke Energy Ohio Inc. 5.450% 4/1/19 5,000 5,574
  Entergy Louisiana LLC 4.800% 5/1/21 10,000 10,063
  Entergy Texas Inc. 7.125% 2/1/19 5,485 6,422
  Exelon Corp. 4.900% 6/15/15 10,000 10,684
  FirstEnergy Corp. 6.450% 11/15/11 50 51
  FirstEnergy Solutions Corp. 4.800% 2/15/15 5,000 5,297
  Florida Power Corp. 5.800% 9/15/17 8,201 9,448
  Florida Power Corp. 5.650% 6/15/18 11,915 13,541
5,6 FPL Energy Marcus Hook LP 7.590% 7/10/18 5,518 5,548
  Georgia Power Co. 5.700% 6/1/17 4,300 4,911
  Georgia Power Co. 5.400% 6/1/18 5,000 5,578
6 Iberdrola Finance Ireland Ltd. 5.000% 9/11/19 11,435 11,328
  Indiana Michigan Power Co. 7.000% 3/15/19 5,000 5,930
6 ITC Holdings Corp. 6.050% 1/31/18 7,500 8,265
6 Kansas Gas & Electric 6.700% 6/15/19 3,000 3,451
  Metropolitan Edison Co. 7.700% 1/15/19 5,000 5,999
  MidAmerican Energy Co. 5.300% 3/15/18 24,957 27,535
  Midamerican Energy Holdings Co. 5.750% 4/1/18 5,000 5,640
  National Rural Utilities Cooperative Finance        
  Corp. 3.875% 9/16/15 8,000 8,475
  National Rural Utilities Cooperative Finance        
  Corp. 1.900% 11/1/15 5,000 4,900
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 4/10/17 7,691 8,596
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 2/1/18 7,000 7,796
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 15,380 21,146
  Nevada Power Co. 6.500% 8/1/18 3,662 4,220
  Nevada Power Co. 7.125% 3/15/19 5,000 5,953
4,5 NextEra Energy Capital Holdings Inc. 6.350% 10/1/66 10,850 10,741
  NextEra Energy Capital Holdings Inc. 6.000% 3/1/19 8,976 9,925
6 Niagara Mohawk Power Corp. 4.881% 8/15/19 7,000 7,427
  Northeast Utilities 7.250% 4/1/12 4,620 4,880
  NSTAR 4.500% 11/15/19 7,000 7,242
  NSTAR Electric Co. 5.625% 11/15/17 3,000 3,412
  Ohio Power Co. 4.850% 1/15/14 5,000 5,377
  Ohio Power Co. 6.000% 6/1/16 4,000 4,548
  Pacific Gas & Electric Co. 5.625% 11/30/17 15,400 17,324
  Pacific Gas & Electric Co. 3.500% 10/1/20 38,000 35,644
  PacifiCorp 5.650% 7/15/18 10,000 11,338
  PacifiCorp 5.500% 1/15/19 6,215 6,941
10 Peco Energy Co. 5.950% 11/1/11 15,000 15,380
  Pennsylvania Electric Co. 6.050% 9/1/17 7,000 7,691
  PG&E Corp. 5.750% 4/1/14 10,650 11,707
  Portland General Electric Co. 6.100% 4/15/19 3,000 3,465
  Potomac Electric Power Co. 4.950% 11/15/13 5,465 5,936
4,5 PPL Capital Funding Inc. 6.700% 3/30/67 15,000 14,906
  Progress Energy Carolina 5.300% 1/15/19 6,985 7,763
  Progress Energy Inc. 5.625% 1/15/16 11,407 12,814
  PSEG Power LLC 5.125% 4/15/20 4,000 4,156
  Public Service Co. of Colorado 5.500% 4/1/14 7,000 7,721

 

 

  Public Service Co. of Colorado 5.800% 8/1/18 5,200 5,913
  Public Service Co. of Colorado 5.125% 6/1/19 7,500 8,246
  Public Service Electric & Gas Co. 5.300% 5/1/18 3,000 3,321
  Public Service Electric & Gas Co. 3.500% 8/15/20 8,000 7,705
6 Puget Energy Inc. 6.500% 12/15/20 10,000 10,391
  Sierra Pacific Power Co. 6.000% 5/15/16 2,500 2,835
  Southern California Edison Co. 5.000% 1/15/16 4,000 4,403
  Southern California Edison Co. 5.500% 8/15/18 4,625 5,228
6 SP PowerAssets Ltd. 5.000% 10/22/13 15,000 16,143
  Tampa Electric Co. 6.100% 5/15/18 4,000 4,571
  UIL Holdings Corp. 4.625% 10/1/20 7,000 6,760
  Virginia Electric and Power Co. 5.950% 9/15/17 5,000 5,744
  Virginia Electric and Power Co. 5.400% 4/30/18 6,615 7,346
4,5 Wisconsin Energy Corp. 6.250% 5/15/67 25,000 25,125
  Wisconsin Power & Light Co. 5.000% 7/15/19 2,500 2,712
 
  Natural Gas (1.6%)        
  AGL Capital Corp. 5.250% 8/15/19 3,000 3,193
  Atmos Energy Corp. 4.950% 10/15/14 6,420 6,979
  Atmos Energy Corp. 8.500% 3/15/19 5,000 6,297
6 CenterPoint Energy Resources Corp. 4.500% 1/15/21 3,000 3,050
  El Paso Natural Gas Co. 5.950% 4/15/17 3,000 3,355
4,5 Enbridge Energy Partners LP 8.050% 10/1/37 3,280 3,559
  Enbridge Energy Partners LP 6.500% 4/15/18 5,000 5,726
  Enbridge Energy Partners LP 5.200% 3/15/20 2,500 2,638
  Energy Transfer Partners LP 5.950% 2/1/15 2,769 3,073
  Energy Transfer Partners LP 9.700% 3/15/19 5,000 6,547
  Energy Transfer Partners LP 9.000% 4/15/19 5,000 6,378
  Enterprise Products Operating LLC 9.750% 1/31/14 7,000 8,424
4,5 Enterprise Products Operating LLC 8.375% 8/1/66 5,850 6,402
  Enterprise Products Operating LLC 6.650% 4/15/18 15,000 17,352
  Enterprise Products Operating LLC 5.200% 9/1/20 5,000 5,268
  EQT Corp. 6.500% 4/1/18 5,000 5,607
6 Gulf South Pipeline Co. LP 6.300% 8/15/17 7,000 7,898
6 Gulfstream Natural Gas System LLC 5.560% 11/1/15 8,500 9,343
  Kinder Morgan Energy Partners LP 9.000% 2/1/19 5,410 6,942
  Magellan Midstream Partners LP 6.550% 7/15/19 5,000 5,774
  Nisource Finance Corp. 6.800% 1/15/19 1,500 1,729
  ONEOK Partners LP 6.150% 10/1/16 10,000 11,410
  ONEOK Partners LP 8.625% 3/1/19 2,000 2,564
  Plains All American Pipeline LP / PAA        
  Finance Corp. 5.750% 1/15/20 5,000 5,431
  Southern California Gas Co. 5.500% 3/15/14 8,179 9,064
4,5 TransCanada PipeLines Ltd. 6.350% 5/15/67 4,000 4,062
  TransCanada PipeLines Ltd. 6.500% 8/15/18 13,000 15,315
  TransCanada PipeLines Ltd. 3.800% 10/1/20 25,732 25,267
  Williams Partners LP 5.250% 3/15/20 20,000 21,178
  Williams Partners LP / Williams Partners        
  Finance Corp. 7.250% 2/1/17 5,750 6,835
 
          913,093
Total Corporate Bonds (Cost $10,115,633)       10,819,183
Sovereign Bonds (U.S. Dollar-Denominated) (1.6%)        
6 Abu Dhabi National Energy Co. 6.165% 10/25/17 2,000 2,141
6 AK Transneft OJSC Via TransCapitalInvest        
  Ltd. 5.670% 3/5/14 3,450 3,680
6 Banco del Estado de Chile 4.125% 10/7/20 2,500 2,336

 

 

6 Bank of China Hong Kong Ltd. 5.550% 2/11/20 1,500 1,543
6 Bermuda Government International Bond 5.603% 7/20/20 2,300 2,448
  Brazilian Government International Bond 7.875% 3/7/15 3,800 4,569
  Brazilian Government International Bond 5.875% 1/15/19 1,500 1,680
  Brazilian Government International Bond 4.875% 1/22/21 4,500 4,631
6 Centrais Eletricas Brasileiras SA 6.875% 7/30/19 3,000 3,347
  China Development Bank Corp. 5.000% 10/15/15 1,500 1,635
  Colombia Government International Bond 7.375% 1/27/17 2,000 2,388
  Corp Andina de Fomento 3.750% 1/15/16 2,500 2,479
6 Corp Nacional del Cobre de Chile 3.750% 11/4/20 2,500 2,346
6 Croatia Government International Bond 6.375% 3/24/21 3,000 3,071
  Ecopetrol SA 7.625% 7/23/19 3,000 3,529
6 Empresa Nacional del Petroleo 6.250% 7/8/19 2,000 2,144
  Export-Import Bank of Korea 5.875% 1/14/15 3,000 3,287
  Export-Import Bank of Korea 4.125% 9/9/15 2,000 2,076
  Export-Import Bank of Korea 5.125% 6/29/20 1,500 1,526
6 Gazprom OAO Via Gaz Capital SA 6.212% 11/22/16 1,875 2,033
  Hungary Government International Bond 4.750% 2/3/15 2,200 2,249
  Hungary Government International Bond 6.250% 1/29/20 1,500 1,574
  Hungary Government International Bond 6.375% 3/29/21 1,000 1,038
6 Industrial Bank of Korea 7.125% 4/23/14 2,700 3,054
  Israel Government International Bond 5.125% 3/26/19 4,550 4,762
  Korea Development Bank 8.000% 1/23/14 5,000 5,744
6 Korea East-West Power Co. Ltd. 5.250% 11/15/12 5,000 5,238
  Korea Finance Corp. 3.250% 9/20/16 1,000 978
6 Kowloon Canton Railway Corp. 5.125% 5/20/19 2,500 2,703
6 Lithuania Government International Bond 5.125% 9/14/17 750 769
6 Lithuania Government International Bond 6.125% 3/9/21 2,000 2,098
6 MDC-GMTN B.V. 7.625% 5/6/19 2,000 2,374
  Mexico Government International Bond 5.625% 1/15/17 5,000 5,564
  Mexico Government International Bond 5.125% 1/15/20 12,000 12,679
  Panama Government International Bond 7.250% 3/15/15 7,500 8,711
  Pemex Project Funding Master Trust 5.750% 3/1/18 5,000 5,354
  Peruvian Government International Bond 9.125% 2/21/12 4,000 4,250
  Peruvian Government International Bond 8.375% 5/3/16 4,500 5,411
  Peruvian Government International Bond 7.125% 3/30/19 3,000 3,468
  Petrobras International Finance Co. - Pifco 3.875% 1/27/16 3,000 3,035
  Petrobras International Finance Co. - Pifco 6.125% 10/6/16 4,000 4,435
  Petrobras International Finance Co. - Pifco 5.875% 3/1/18 9,500 10,138
  Petrobras International Finance Co. - Pifco 5.375% 1/27/21 5,000 5,064
  Petroleos Mexicanos 4.875% 3/15/15 3,000 3,206
  Petroleos Mexicanos 6.000% 3/5/20 2,000 2,139
  Petroleos Mexicanos 5.500% 1/21/21 7,000 7,151
5,6 Petroleum Co. of Trinidad & Tobago Ltd. 6.000% 5/8/22 288 291
6 Petronas Capital Ltd. 7.000% 5/22/12 3,000 3,174
6 Petronas Capital Ltd. 5.250% 8/12/19 4,000 4,265
5,6,11 PF Export Receivables Master Trust 3.748% 6/1/13 923 923
5,6 PF Export Receivables Master Trust 6.436% 6/1/15 2,215 2,349
  Poland Government International Bond 3.875% 7/16/15 3,000 3,056
  Poland Government International Bond 6.375% 7/15/19 2,000 2,225
  Province of Ontario 4.000% 10/7/19 8,500 8,690
6 Qatar Government International Bond 5.250% 1/20/20 3,250 3,429
6,12 Qatari Diar Finance QSC 3.500% 7/21/15 1,500 1,528
6 Qtel International Finance Ltd. 4.750% 2/16/21 2,500 2,380
5,6 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 2,323 2,456
6 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500% 9/30/14 2,725 2,956
6 Republic of Indonesia 4.875% 5/5/21 5,000 4,940
  Republic of Italy 3.125% 1/26/15 2,500 2,550

 

 

Republic of Italy 4.750% 1/25/16 1,000 1,064
Republic of Korea 4.250% 6/1/13 5,000 5,245
Republic of Korea 7.125% 4/16/19 3,000 3,546
South Africa Government International Bond 5.500% 3/9/20 7,000 7,458
6 TDIC Finance Ltd. 6.500% 7/2/14 2,600 2,883
Total Sovereign Bonds (Cost $223,052)       231,483
Taxable Municipal Bonds (0.4%)        
California Educational Facilities Authority        
Revenue (Stanford University) 4.750% 5/1/19 1,850 2,005
California GO 5.750% 3/1/17 10,000 10,702
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 0.999% 10/15/12 14,210 14,113
Illinois GO 4.511% 3/1/15 4,500 4,631
Illinois GO 5.365% 3/1/17 4,500 4,653
Louisiana Local Government Environmental        
Facility & Community Development        
Authority Revenue 3.220% 2/1/21 12,000 11,833
Louisiana Local Government Environmental        
Facility & Community Development        
Authority Revenue 3.450% 2/1/22 5,475 5,365
Maryland Health & Higher Educational        
Facilities Authority Revenue (Johns        
Hopkins University) 5.250% 7/1/19 1,400 1,560
New York City NY Industrial Development        
Agency Special Facility Revenue (American        
Airlines Inc. John F. Kennedy International        
Airport Project) 7.500% 8/1/16 1,825 1,849
Total Taxable Municipal Bonds (Cost $55,954)       56,711
        Market
        Value
  Coupon   Shares ($000)
Convertible Preferred Stock (0.0%)        
7 Lehman Brothers Holdings Inc. Pfd. (Cost $8,740) 7.250%   8,740 4
Preferred Stocks (0.1%)        
Axis Capital Holdings Ltd. Pfd. 7.500%   50,000 4,887
Southern California Edison Co. Pfd. 5.870%   47,516 4,769
Aspen Insurance Holdings Ltd. Pfd. 7.401%   76,950 1,911
Total Preferred Stocks (Cost $11,853)       11,567
Temporary Cash Investment (3.6%)        
Money Market Fund (3.6%)        
13 Vanguard Market Liquidity Fund (Cost $517,157) 0.179%   517,156,646 517,157
Total Investments (100.3%) (Cost $13,565,436)       14,367,876
Other Assets and Liabilities-Net (-0.3%)       (44,967)
Net Assets (100%)       14,322,909

 

1 Securities with a value of $1,684,000 have been segregated as collateral for open swap contracts.
2 Securities with a value of $10,797,000 have been segregated as initial margin for open futures contracts.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
4 Adjustable-rate security.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2011, the aggregate value of these securities was $1,629,993,000, representing 11.4% of net assets.
7 Non-income-producing security--security in default.

 

8 Non-income-producing security--issuer has suspended all payments until February 1, 2012.
9 Non-income-producing security--issuer has suspended all payments until May 1, 2012.
10 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
11 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
12 Guaranteed by the State of Qatar.
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. 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, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
    Aggregate  
    Number of Settlement Unrealized
     Long (Short) Value Appreciation
Futures Contracts Expiration  Contracts Long (Short)  (Depreciation)
10-Year U.S. Treasury Note June 2011 (3,064) (371,175) (4,840)
2-Year U.S. Treasury Note June 2011 (1,389) (304,365) (724)
5-Year U.S. Treasury Note June 2011 621 73,569 1,294
Ultra Long U.S. Treasury Bond June 2011 511 64,322 2,308
30-Year U.S. Treasury Bond June 2011 (26) (3,182) (42)

 

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

 

Intermediate-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 issuer or group of issuers. The fund has sold credit protection through credit default swaps to simulate investments in long 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 up-front 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, for example, 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 an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional 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 the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The fund enters 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 based on market quotations received from independent pricing services or recognized dealers 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 risk associated with selling credit protection is 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 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, 2011, 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          
Banco Bilbao Vizcaya            
Argentaria SA/Aa2 9/20/15 BARC 11,000 461 1.000 30
Bank of America Corp./A2 3/20/15 DBAG 4,400 101 1.000 86
Bank of America Corp./A2 9/20/15 RBS 2,200 71 1.000 52
Bank of America Corp./A2 12/20/15 DBAG 6,960 348 1.000 268
Burlington Northern/A3 6/20/12 DBAG 5,000 — 0.400 19
Johnson & Johnson/Aaa 9/20/12 UBSAG 2,160 — 0.080 —
Johnson & Johnson/Aaa 9/20/12 GSCM 5,400 — 0.070 —
Metlife Inc./A3 3/20/15 DBAG 18,000 1,086 1.000 854
 
Credit Protection Purchased            
Bank of America Corp. 12/20/13 DBAG 10,540 (231) (1.000) (291)
Bank of America Corp. 12/20/14 DBAG 5,800 (73) (1.000) (62)
Bank of America Corp. 12/20/14 BARC 5,800 (68) (1.000) (58)
Brazil (Federative Republic) 12/20/15 BOANA 1,500 (19) (1.000) (15)
Danske Bank A/S 12/20/15 BOANA 2,645 (19) (1.000) (8)
Danske Bank A/S 12/20/15 BARC 2,645 (16) (1.000) (5)
Goldman, Sachs & Co. 12/20/11 DBAG 10,000 19 (1.000) (33)
Mexico (United Mexican States) 12/20/15 BOANA 1,500 (23) (1.000) (23)
Morgan Stanley 9/20/15 BARC 4,400 (243) (1.000) (152)
Wells Fargo 12/20/11 DBAG 10,000 54 (1.000) (25)
Wells Fargo 3/20/15 GSCM 4,400 (37) (1.000) (98)
            539
1 BARC—Barclays Bank plc.            
BOANA—Bank of America, N.A.          
DBAG—Deutsche Bank AG.            
GSCM—Goldman Sachs Bank USA.          
RBS—Royal Bank of Scotland Group.          
UBSAG—UBS AG.            

 

 

Intermediate-Term Investment-Grade Fund

Interest Rate Swaps        
Termination Counterparty1 Notional Fixed Interest Floating Interest Unrealized
Date   Amount Rate Received Rate Received Appreciation
    ($000) (Paid) (%) (Paid) (Depreciation)
        (%) ($000)
5/16/11 BOANA 1,500 0.943 (0.216) 2 -
7/15/11 GSCM 1,540 1.086 (0.219) 2 3
7/15/11 BOANA 4,220 1.093 (0.219) 2 7
7/15/11 WFC 2,200 1.268 (0.219) 2 5
7/15/11 GSCM 1,900 1.240 (0.219) 2 4
7/15/11 WFC 4,300 1.323 (0.219) 2 9
8/15/11 GSCM 1,500 1.091 (0.219) 2 4
8/15/11 BOANA 5,800 0.833 (0.219) 2 10
8/15/11 WFC 2,500 0.740 (0.219) 2 4
9/15/11 BOANA 10,700 0.840 (0.219) 2 23
10/6/11 BARC 6,600 1.723 (0.240) 2 41
11/15/11 WFC 2,800 0.607 (0.219) 2 5
12/6/11 WFC 2,840 2.018 (0.310) 3 28
1/15/12 WFC 4,550 1.383 (0.219) 2 35
1/15/12 WFC 4,900 1.226 (0.219) 2 32
1/15/12 WFC 1,755 1.148 (0.219) 2 11
1/15/12 WFC 290 1.075 (0.219) 2 2
1/15/12 WFC 160 1.050 (0.219) 2 1
1/15/12 WFC 4,300 1.058 (0.219) 2 23
2/15/12 GSCM 450 0.688 (0.219) 2 1
5/15/12 BOANA 875 1.349 (0.219) 2 9
5/15/12 WFC 5,700 1.259 (0.219) 2 54
6/15/12 JPMC 1,160 1.346 (0.219) 2 13
7/15/12 BARC 16,105 1.683 (0.219) 2 249
7/15/12 WFC 1,485 1.450 (0.219) 2 19
7/15/12 WFC 1,270 1.590 (0.219) 2 18

 

 

Intermediate-Term Investment-Grade Fund        
 
7/15/12 WFC 4,085 1.450 (0.219) 2 52
7/15/12 JPMC 11,950 1.370 (0.219) 2 140
9/6/12 WFC 5,800 0.553 (0.240) 2 9
10/15/12 BOANA 10,550 1.746 (0.219) 2 194
12/6/12 BARC 12,750 2.325 (0.310) 3 351
12/15/12 WFC 7,280 1.763 (0.219) 2 143
12/15/12 WFC 37,130 1.715 (0.219) 2 699
1/15/13 WFC 13,120 1.770 (0.278) 3 252
2/15/13 WFC 11,800 1.705 (0.219) 2 227
2/15/13 WFC 725 1.890 (0.219) 2 16
2/15/13 WFC 10,170 1.725 (0.219) 2 200
2/15/13 WFC 234 0.801 (0.219) 2 1
2/15/13 WFC 1,450 0.910 (0.219) 2 13
2/20/13 WFC 6,220 1.926 (0.213) 2 145
2/20/13 WFC 5,135 0.799 (0.213) 2 16
8/15/13 BARC 1,500 0.843 (0.219) 2 -
8/15/13 BOANA 930 0.841 (0.219) 2 -
9/15/13 GSCM 12,000 1.254 (0.219) 2 99
9/15/13 WFC 4,374 0.698 (0.219) 2 (21)
9/15/13 BOANA 1,000 0.873 (0.219) 2 (1)
10/15/13 WFC 3,430 1.023 (0.219) 2 7
12/1/13 GSCM 7,150 2.584 (0.311) 3 277
12/1/13 WFC 15,786 2.582 (0.311) 3 610
12/1/13 GSCM 41,858 2.584 (0.311) 3 1,620
1/15/14 WFC 16,000 1.331 (0.270) 3 90
2/14/14 WFC 21,200 1.022 (0.221) 2 (51)
3/6/14 GSCM 18,138 2.448 (0.240) 2 667
4/15/14 WFC 7,380 0.680 (0.278) 3 (47)
5/15/14 GSCM 1,000 1.528 (0.219) 2 9
5/16/14 WFC 8,640 1.083 (0.314) 3 (52)
6/15/14 WFC 4,400 2.338 (0.219) 2 143
6/15/14 WFC 40 2.577 (0.219) 2 1

 

 

Intermediate-Term Investment-Grade Fund        
 
6/15/14 WFC 1,200 1.150 (0.219) 2 (5)
8/15/14 JPMC 3,505 1.501 (0.219) 2 16
8/15/14 GSCM 1,785 1.350 (0.219) 2 -
10/15/14 WFC 6,455 1.130 (0.219) 2 (67)
2/15/15 BOANA 2,790 1.799 (0.219) 2 20
2/15/15 WFC 8,600 1.634 (0.219) 2 9
2/15/15 WFC 9,600 1.868 (0.219) 2 93
2/17/15 GSCM 60,370 2.555 (0.314) 3 2,036
3/24/15 GSCM 1,520 2.910 (0.213) 2 73
8/15/15 GSCM 57,710 1.588 (0.219) 2 (567)
10/21/15 WFC 40,850 1.485 (0.274) 3  
          (791)
5/19/16 WFC 11,900 1.454 (0.319) 3 45
6/1/16 WFC 6,225 2.910 (0.311) 3 221
10/25/16 WFC 25,700 1.714 (0.274) 3 (820)
1/15/17 BARC 1,130 2.971 (0.219) 2 37
2/15/17 GSCM 1,200 3.433 (0.219) 2 68
2/15/17 BARC 1,490 3.180 (0.219) 2 64
2/15/17 WFC 950 2.407 (0.219) 2 1
2/15/17 WFC 5,700 2.407 (0.219) 2 4
2/15/17 BARC 1,145 2.287 (0.219) 2 (7)
2/15/17 BOANA 58,800 1.875 (0.219) 2 (1,674)
2/15/17 WFC 43,000 3.373 (0.219) 2 2,305
9/15/17 GSCM 24,600 3.520 (0.219) 2 1,384
9/15/17 BARC 5,400 3.363 (0.219) 2 253
9/15/17 GSCM 14,800 2.533 (0.219) 2 (40)
9/15/17 WFC 1,900 2.345 (0.219) 2 (26)
1/25/19 GSCM 9,200 2.782 (0.274) 3 203
4/25/19 WFC 21,200 2.053 (0.273) 3 (249)
4/25/19 WFC 5,500 2.756 (0.274) 3 87
4/25/20 JPMC 35,700 3.024 (0.274) 3 (532)
4/25/20 GSCM 6,000 2.794 (0.274) 3 75
6/25/21 GSCM 5,720 3.143 (0.308) 3 57

 

 

Intermediate-Term Investment-Grade Fund

10/25/21 WFC 6,500 3.328 (0.274) 3 82
11/25/22 UBSAG 4,942 2.491 (0.312) 3 17
11/25/22 BARC 25,900 2.758 (0.276) 3 (117)
7/25/23 BARC 24,625 3.483 (0.274) 3 402
          9,076
1 BARC—Barclays Bank plc.          
BOANA—Bank of America, N.A.        
GSCM—Goldman Sachs Bank USA.        
JPMC—JP Morgan Chase Bank.        
UBSAG—UBS AG.          
WFC—Wells Fargo Bank N.A.        
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.  
3 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.  

 

At April 30, 2011, 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).

 

Intermediate-Term Investment-Grade Fund

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 815,242 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,916,529 —
Corporate Bonds — 10,818,789 394
Sovereign Bonds — 231,483 —
Taxable Municipal Bonds — 56,711 —
Convertible Preferred Stocks 4 — —
Preferred Stocks 11,567 — —
Temporary Cash Investments 517,157 — —
Futures Contracts—Assets1 318 — —
Futures Contracts—Liabilities1 (691) — —
Swap Contracts—Assets — 15,452 —
Swap Contracts—Liabilities — (5,837) —
Total 528,355 13,848,369 394
1 Represents variation margin on the last day of the reporting period.      

 

There were no changes in investments valued based on Level 3 inputs during the three months ended April 30, 2011.

E. At April 30, 2011, the cost of investment securities for tax purposes was $13,569,155,000. Net unrealized appreciation of investment securities for tax purposes was $798,721,000, consisting of unrealized gains of $925,612,000 on securities that had risen in value since their purchase and $126,891,000 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, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (108.5%)        
U.S. Government Securities (92.9%)        
  United States Treasury Bill 0.050% 5/5/11 366,000 366,000
  United States Treasury Bill 0.025% 5/12/11 210,000 210,000
  United States Treasury Note/Bond 1.250% 4/15/14 25,000 25,184
  United States Treasury Note/Bond 1.875% 4/30/14 260,000 266,542
  United States Treasury Note/Bond 2.625% 6/30/14 300,000 314,202
  United States Treasury Note/Bond 2.375% 10/31/14 233,000 241,847
  United States Treasury Note/Bond 2.125% 11/30/14 31,000 31,886
1 United States Treasury Note/Bond 4.000% 2/15/15 186,000 203,932
  United States Treasury Note/Bond 1.250% 10/31/15 32,000 31,300
  United States Treasury Note/Bond 1.375% 11/30/15 50,000 49,078
  United States Treasury Note/Bond 2.125% 12/31/15 100,000 101,328
  United States Treasury Note/Bond 2.000% 1/31/16 226,000 227,376
  United States Treasury Note/Bond 2.625% 2/29/16 60,000 62,035
  United States Treasury Note/Bond 2.250% 3/31/16 2,000 2,030
  United States Treasury Note/Bond 2.375% 3/31/16 150,000 153,117
  United States Treasury Note/Bond 2.000% 4/30/16 230,000 230,324
  United States Treasury Note/Bond 3.125% 10/31/16 372,000 390,540
  United States Treasury Note/Bond 2.750% 11/30/16 133,000 136,865
  United States Treasury Note/Bond 3.250% 12/31/16 193,000 203,524
  United States Treasury Note/Bond 3.125% 1/31/17 280,000 293,168
  United States Treasury Note/Bond 3.000% 2/28/17 159,000 165,136
  United States Treasury Note/Bond 3.250% 3/31/17 70,000 73,599
  United States Treasury Note/Bond 2.750% 5/31/17 40,000 40,831
  United States Treasury Note/Bond 2.500% 6/30/17 80,000 80,387
  United States Treasury Note/Bond 1.875% 9/30/17 28,000 26,933
  United States Treasury Note/Bond 2.750% 2/15/19 357,000 353,933
  United States Treasury Note/Bond 3.125% 5/15/19 620,000 628,916
  United States Treasury Note/Bond 3.625% 8/15/19 64,000 67,080
  United States Treasury Note/Bond 3.375% 11/15/19 163,000 167,101
  United States Treasury Note/Bond 2.625% 8/15/20 185,000 176,039
  United States Treasury Note/Bond 2.625% 11/15/20 215,000 203,545
  United States Treasury Note/Bond 3.625% 2/15/21 75,000 77,098
          5,600,876
Agency Bonds and Notes (0.3%)        
2 Overseas Private Investment Corp. 7.600% 12/15/12 6,754 7,054
2 Overseas Private Investment Corp. 7.050% 11/15/13 10,313 10,885
          17,939
Conventional Mortgage-Backed Securities (15.0%)        
2,3 Fannie Mae Pool 4.000% 1/1/41 47,750 47,577
2,3 Fannie Mae Pool 4.500% 5/1/41 73,250 75,356
2,3 Fannie Mae Pool 5.000% 5/1/41 167,250 176,501
2,3 Fannie Mae Pool 5.500% 6/1/38–5/1/41 250,750 269,870
2,3 Fannie Mae Pool 6.000% 4/1/41–5/1/41 95,750 104,697
2,3 Freddie Mac Gold Pool 5.500% 4/1/16–5/1/16 726 790
2,3 Freddie Mac Gold Pool 7.000% 5/1/15–3/1/16 231 250
2 Ginnie Mae I Pool 4.000% 5/1/41 30,750 31,154
2 Ginnie Mae I Pool 4.500% 4/1/41–5/1/41 93,500 97,766

 

 

2 Ginnie Mae I Pool 5.000% 5/1/41 90,250 96,652
        900,613
Nonconventional Mortgage-Backed Securities (0.3%)        
2,3 Fannie Mae Grantor Trust 5.763% 12/25/11 20,000 20,555
        20,555
Total U.S. Government and Agency Obligations (Cost $6,411,033)     6,539,983
Temporary Cash Investments (4.8%)        
Repurchase Agreements (4.8%)        
Barclays Capital Inc.        
(Dated 4/29/11, Repurchase Value        
$50,000,000, collateralized by U.S.        
Treasury Bill, 0.000%, 6/2/11) 0.030% 5/2/11 50,000 50,000
BNP Paribas Securities Corp.        
(Dated 4/29/11, Repurchase Value        
$100,000,000, collateralized by U.S.        
Treasury Note/Bond, 2.625%, 11/15/20) 0.030% 5/2/11 100,000 100,000
Deutsche Bank Securities, Inc.        
(Dated 4/29/11, Repurchase Value        
$50,000,000, collateralized by Federal        
Home Loan Mortgage Corp., 4.625%,        
10/25/12) 0.030% 5/2/11 50,000 50,000
RBS Securities, Inc.        
(Dated 4/29/11, Repurchase Value        
$86,336,000, collateralized by U.S.        
Treasury Note/Bond, 6.750%, 8/15/26) 0.030% 5/2/11 86,336 86,336
        286,336
Total Temporary Cash Investments (Cost $286,336)       286,336
Total Investments (113.3%) (Cost $6,697,369)       6,826,319
Other Assets and Liabilities-Net (-13.3%)       (798,808)
Net Assets (100%)       6,027,511

 

1 Securities with a value of $6,030,000 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. 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).

 

Intermediate-Term Treasury Fund

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 6,539,983 —
Temporary Cash Investments — 286,336 —
Futures Contracts—Assets1 527 — —
Futures Contracts—Liabilities1 (291) — —
Total 236 6,826,319 —
1 Represents variation margin on the last day of the reporting period.    

 

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

       
        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
5-Year U.S. Treasury Note June 2011 4,009 474,941 6,922
2-Year U.S. Treasury Note June 2011 (1,543) (338,110) (1,560)
30-Year U.S. Treasury Bond June 2011 (957) (117,113) (2,319)
10-Year U.S. Treasury Note June 2011 307 37,190 427

 

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

D. At April 30, 2011, the cost of investment securities for tax purposes was $6,720,278,000. Net unrealized appreciation of investment securities for tax purposes was $106,041,000, consisting of unrealized gains of $122,242,000 on securities that had risen in value since their purchase and $16,201,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Long-Term Investment-Grade Fund

Schedule of Investments
As of April 30, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (2.3%)        
U.S. Government Securities (1.1%)        
1 United States Treasury Note/Bond 3.500% 2/15/39 42,850 36,623
  United States Treasury Note/Bond 3.875% 8/15/40 45,000 41,049
  United States Treasury Strip Principal 0.000% 2/15/36 55,000 17,587
  United States Treasury Strip Principal 0.000% 8/15/39 38,000 10,106
          105,365
Agency Bonds and Notes (1.2%)        
2 Federal Home Loan Banks 5.500% 7/15/36 52,000 57,740
2 Federal National Mortgage Assn. 6.625% 11/15/30 21,000 26,746
2 Tennessee Valley Authority 5.250% 9/15/39 35,000 37,177
          121,663
Total U.S. Government and Agency Obligations (Cost $218,590)     227,028
Corporate Bonds (84.2%)        
Finance (27.8%)        
  Banking (17.3%)        
  American Express Co. 8.150% 3/19/38 32,025 43,485
  Bank of America Corp. 6.800% 3/15/28 35,000 37,148
  Bank of America Corp. 6.500% 9/15/37 3,900 3,996
  Bank of America NA 6.000% 10/15/36 60,750 60,693
  Bank One Corp. 7.750% 7/15/25 25,000 29,701
  Bank One Corp. 7.625% 10/15/26 25,950 31,284
  Bank One Corp. 8.000% 4/29/27 30,869 38,376
  Barclays Bank plc 5.140% 10/14/20 24,220 23,587
  Citigroup Inc. 6.625% 1/15/28 25,000 27,025
  Citigroup Inc. 6.625% 6/15/32 60,905 64,244
  Citigroup Inc. 5.875% 2/22/33 7,190 6,948
  Citigroup Inc. 6.000% 10/31/33 41,655 40,814
  Citigroup Inc. 5.850% 12/11/34 36,500 36,839
  Citigroup Inc. 6.125% 8/25/36 33,800 33,318
  Citigroup Inc. 5.875% 5/29/37 15,000 15,055
  Citigroup Inc. 6.875% 3/5/38 20,000 22,530
  Citigroup Inc. 8.125% 7/15/39 13,300 17,104
  Credit Suisse USA Inc. 7.125% 7/15/32 38,000 45,310
  Goldman Sachs Group Inc. 6.125% 2/15/33 55,725 57,267
  Goldman Sachs Group Inc. 6.450% 5/1/36 52,000 52,020
  Goldman Sachs Group Inc. 6.750% 10/1/37 133,660 138,239
  Goldman Sachs Group Inc. 6.250% 2/1/41 33,090 33,916
3 HBOS plc 6.000% 11/1/33 26,515 21,836
  HSBC Bank USA NA 7.000% 1/15/39 10,000 11,556
  HSBC Bank USA NA/New York NY 5.875% 11/1/34 50,700 51,140
  HSBC Bank USA NA/New York NY 5.625% 8/15/35 28,000 27,339
  HSBC Holdings plc 5.100% 4/5/21 13,725 14,114
  HSBC Holdings plc 7.625% 5/17/32 21,200 23,634
  HSBC Holdings plc 6.500% 5/2/36 2,000 2,084
  HSBC Holdings plc 6.500% 9/15/37 20,000 20,834
  HSBC Holdings plc 6.800% 6/1/38 78,999 84,883
  JP Morgan Chase Capital XXII 6.450% 2/2/37 17,000 17,241
  JP Morgan Chase Capital XXV 6.800% 10/1/37 28,415 29,094
  JPMorgan Chase & Co. 6.400% 5/15/38 77,850 87,567

 

 

  JPMorgan Chase & Co. 5.500% 10/15/40 9,500 9,490
  Lloyds TSB Bank plc 6.375% 1/21/21 4,100 4,386
  Merrill Lynch & Co. Inc. 6.220% 9/15/26 12,975 13,055
  Merrill Lynch & Co. Inc. 6.110% 1/29/37 48,250 46,509
  Merrill Lynch & Co. Inc. 7.750% 5/14/38 45,680 53,185
  Morgan Stanley 5.625% 9/23/19 9,550 9,909
  Morgan Stanley 5.750% 1/25/21 20,660 21,440
  Morgan Stanley 6.250% 8/9/26 12,850 13,867
  Morgan Stanley 7.250% 4/1/32 20,200 24,256
  National City Corp. 6.875% 5/15/19 10,000 11,631
  SunTrust Bank/Atlanta GA 5.400% 4/1/20 916 929
  USB Capital XIII Trust 6.625% 12/15/39 9,750 10,360
  Wachovia Bank NA 5.850% 2/1/37 20,700 21,466
  Wachovia Bank NA 6.600% 1/15/38 70,225 80,242
  Wachovia Corp. 6.605% 10/1/25 30,000 33,464
  Wachovia Corp. 5.500% 8/1/35 15,730 15,405
  Wells Fargo & Co. 5.375% 2/7/35 28,525 29,212
  Wells Fargo Bank NA 5.950% 8/26/36 33,670 35,454
 
  Brokerage (0.3%)        
3 FMR LLC 6.450% 11/15/39 27,500 27,475
 
  Finance Companies (2.9%)        
  General Electric Capital Corp. 5.300% 2/11/21 18,960 19,634
  General Electric Capital Corp. 6.750% 3/15/32 117,095 131,871
  General Electric Capital Corp. 6.150% 8/7/37 10,265 10,807
  General Electric Capital Corp. 5.875% 1/14/38 60,905 61,875
  General Electric Capital Corp. 6.875% 1/10/39 47,420 54,421
 
  Insurance (7.0%)        
  ACE Capital Trust II 9.700% 4/1/30 10,000 13,050
  ACE INA Holdings Inc. 6.700% 5/15/36 8,070 9,467
  Aflac Inc. 6.450% 8/15/40 20,175 20,693
  Allstate Corp. 5.550% 5/9/35 14,075 14,062
  Allstate Corp. 5.950% 4/1/36 16,135 16,762
  American International Group Inc. 6.400% 12/15/20 9,000 9,817
  AXA Financial Inc. 7.000% 4/1/28 34,910 36,989
3 Guardian Life Insurance Co. of America 7.375% 9/30/39 9,400 11,142
  Hartford Financial Services Group Inc. 6.100% 10/1/41 26,429 25,867
3 Jackson National Life Insurance Co. 8.150% 3/15/27 2,130 2,371
3 John Hancock Life Insurance Co. 7.375% 2/15/24 30,000 32,970
3 Liberty Mutual Insurance Co. 8.500% 5/15/25 23,335 27,379
  Lincoln National Corp. 6.150% 4/7/36 10,000 10,585
3,4 Massachusetts Mutual Life Insurance Co. 7.625% 11/15/23 15,970 19,207
3 Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 19,282 26,909
  MetLife Inc. 6.500% 12/15/32 8,990 10,048
  MetLife Inc. 6.375% 6/15/34 16,010 17,702
3 Metropolitan Life Insurance Co. 7.800% 11/1/25 35,000 41,463
  Munich Re America Corp. 7.450% 12/15/26 8,500 9,191
3 Nationwide Mutual Insurance Co. 9.375% 8/15/39 22,950 28,917
3 New York Life Insurance Co. 5.875% 5/15/33 50,275 52,619
3 Pacific Life Insurance Co. 9.250% 6/15/39 23,145 30,727
  Principal Financial Group Inc. 6.050% 10/15/36 11,500 12,026
  Prudential Financial Inc. 5.750% 7/15/33 13,000 13,069
  Prudential Financial Inc. 5.400% 6/13/35 10,000 9,600
  Prudential Financial Inc. 5.700% 12/14/36 9,466 9,457

 

 

3 Teachers Insurance & Annuity Association of        
America 6.850% 12/16/39 24,050 27,715
UnitedHealth Group Inc. 5.800% 3/15/36 38,250 38,464
UnitedHealth Group Inc. 6.625% 11/15/37 12,740 14,123
UnitedHealth Group Inc. 6.875% 2/15/38 24,422 28,052
UnitedHealth Group Inc. 5.700% 10/15/40 1,335 1,328
UnitedHealth Group Inc. 5.950% 2/15/41 9,835 10,075
WellPoint Inc. 5.850% 1/15/36 11,450 11,665
WellPoint Inc. 6.375% 6/15/37 25,000 27,108
XL Group plc 6.375% 11/15/24 8,500 8,644
 
Real Estate Investment Trusts (0.3%)        
Simon Property Group LP 6.750% 2/1/40 28,900 33,358
        2,703,185
Industrial (43.2%)        
Basic Industry (0.5%)        
Dow Chemical Co. 7.375% 11/1/29 8,450 10,334
EI du Pont de Nemours & Co. 4.900% 1/15/41 24,150 22,929
Monsanto Finance Canada Co. 5.500% 7/30/35 11,250 11,622
Southern Copper Corp. 6.750% 4/16/40 6,630 6,398
 
Capital Goods (3.0%)        
3M Co. 6.375% 2/15/28 35,000 40,174
3M Co. 5.700% 3/15/37 15,000 16,614
Boeing Co. 6.625% 2/15/38 16,000 18,995
Boeing Co. 7.875% 4/15/43 8,000 10,683
Caterpillar Inc. 6.625% 7/15/28 30,000 36,331
Deere & Co. 7.125% 3/3/31 15,000 19,008
Eaton Corp. 7.625% 4/1/24 15,000 18,763
Honeywell International Inc. 5.375% 3/1/41 23,000 23,475
Lockheed Martin Corp. 6.150% 9/1/36 4,600 5,068
3 Siemens Financieringsmaatschappij NV 6.125% 8/17/26 21,030 23,914
United Technologies Corp. 7.500% 9/15/29 15,000 19,456
United Technologies Corp. 6.125% 7/15/38 34,000 38,403
United Technologies Corp. 5.700% 4/15/40 18,150 19,623
 
Communication (10.9%)        
Alltel Corp. 6.800% 5/1/29 2,697 3,113
Alltel Corp. 7.875% 7/1/32 18,848 24,704
AT&T Inc. 6.500% 9/1/37 5,000 5,360
AT&T Inc. 6.300% 1/15/38 23,000 24,214
AT&T Inc. 6.550% 2/15/39 15,000 16,205
3 AT&T Inc. 5.350% 9/1/40 48,095 44,775
Bellsouth Capital Funding Corp. 7.875% 2/15/30 4,550 5,565
BellSouth Corp. 6.875% 10/15/31 30,000 33,393
BellSouth Corp. 6.000% 11/15/34 40,000 40,382
BellSouth Telecommunications Inc. 7.000% 12/1/95 7,850 8,268
CBS Corp. 7.875% 9/1/23 4,325 5,029
CBS Corp. 7.875% 7/30/30 37,000 43,639
Comcast Corp. 5.650% 6/15/35 35,714 34,629
3 COX Communications Inc. 6.450% 12/1/36 10,000 10,507
3 COX Communications Inc. 8.375% 3/1/39 16,310 21,363
Deutsche Telekom International Finance BV 8.750% 6/15/30 27,200 36,598
Discovery Communications LLC 6.350% 6/1/40 13,210 13,923
France Telecom SA 8.500% 3/1/31 61,255 84,214
Grupo Televisa SA 6.625% 1/15/40 12,325 13,136
GTE Corp. 6.940% 4/15/28 20,000 22,592

 

 

Indiana Bell Telephone Co. Inc. 7.300% 8/15/26 20,000 22,783
Michigan Bell Telephone Co. 7.850% 1/15/22 25,000 30,293
3 NBCUniversal Media LLC 6.400% 4/30/40 10,050 10,589
3 NBCUniversal Media LLC 5.950% 4/1/41 17,280 17,263
News America Inc. 6.400% 12/15/35 28,000 29,329
News America Inc. 6.900% 8/15/39 10,000 11,163
3 News America Inc. 6.150% 2/15/41 700 706
News America Inc. 7.750% 12/1/45 2,840 3,414
Pacific Bell Telephone Co. 7.125% 3/15/26 10,000 11,476
Telecom Italia Capital SA 7.721% 6/4/38 20,625 22,268
Telefonica Emisiones SAU 5.462% 2/16/21 5,090 5,275
Telefonica Emisiones SAU 7.045% 6/20/36 56,180 62,901
Telefonica Europe BV 8.250% 9/15/30 16,100 19,880
Time Warner Cable Inc. 6.550% 5/1/37 40,000 42,187
Verizon Communications Inc. 5.850% 9/15/35 30,000 30,810
Verizon Communications Inc. 6.250% 4/1/37 20,000 21,131
Verizon Communications Inc. 6.400% 2/15/38 33,815 36,533
Verizon Communications Inc. 6.900% 4/15/38 12,200 13,864
Verizon Communications Inc. 7.350% 4/1/39 15,950 19,210
Verizon Communications Inc. 6.000% 4/1/41 20,000 20,668
Verizon Global Funding Corp. 7.750% 12/1/30 29,750 37,115
Verizon Maryland Inc. 5.125% 6/15/33 12,000 11,005
Verizon New Jersey Inc. 8.000% 6/1/22 25,000 30,391
Verizon Pennsylvania Inc. 8.350% 12/15/30 6,260 7,382
Vodafone Group plc 6.150% 2/27/37 47,305 51,693
 
Consumer Cyclical (7.7%)        
CVS Caremark Corp. 6.250% 6/1/27 24,000 26,426
CVS Caremark Corp. 6.125% 9/15/39 13,000 13,478
Daimler Finance North America LLC 8.500% 1/18/31 24,494 33,240
Historic TW Inc. 6.625% 5/15/29 14,775 16,063
Home Depot Inc. 5.875% 12/16/36 22,590 22,944
Home Depot Inc. 5.950% 4/1/41 4,895 5,036
Kohl's Corp. 6.875% 12/15/37 6,000 6,953
Lowe's Cos. Inc. 6.500% 3/15/29 26,010 29,562
Lowe's Cos. Inc. 5.800% 10/15/36 9,300 9,882
Lowe's Cos. Inc. 6.650% 9/15/37 800 926
Lowe's Cos. Inc. 5.800% 4/15/40 10,645 11,221
McDonald's Corp. 6.300% 10/15/37 25,935 30,063
McDonald's Corp. 6.300% 3/1/38 36,170 42,022
McDonald's Corp. 5.700% 2/1/39 9,500 10,286
McDonald's Corp. 4.875% 7/15/40 7,890 7,556
Target Corp. 6.650% 8/1/28 15,000 16,802
Target Corp. 7.000% 7/15/31 20,000 23,885
Target Corp. 6.500% 10/15/37 20,850 23,875
Target Corp. 7.000% 1/15/38 48,980 59,141
Time Warner Inc. 7.625% 4/15/31 10,000 11,958
Time Warner Inc. 6.500% 11/15/36 10,000 10,640
Time Warner Inc. 6.250% 3/29/41 5,000 5,203
Viacom Inc. 6.875% 4/30/36 28,750 32,078
Wal-Mart Stores Inc. 7.550% 2/15/30 51,000 65,348
Wal-Mart Stores Inc. 5.250% 9/1/35 2,000 1,979
Wal-Mart Stores Inc. 6.500% 8/15/37 39,000 44,640
Wal-Mart Stores Inc. 6.200% 4/15/38 76,150 83,858
Wal-Mart Stores Inc. 5.625% 4/1/40 10,000 10,287
Wal-Mart Stores Inc. 4.875% 7/8/40 20,000 18,529
Wal-Mart Stores Inc. 5.000% 10/25/40 5,400 5,078

 

 

Wal-Mart Stores Inc. 5.625% 4/15/41 37,210 38,183
Walt Disney Co. 7.550% 7/15/93 25,900 30,215
 
Consumer Noncyclical (13.6%)        
Abbott Laboratories 6.000% 4/1/39 33,870 37,372
Abbott Laboratories 5.300% 5/27/40 7,750 7,776
Altria Group Inc. 7.750% 1/15/27 1,000 1,148
Altria Group Inc. 9.950% 11/10/38 19,000 27,166
Altria Group Inc. 10.200% 2/6/39 5,000 7,331
Amgen Inc. 6.375% 6/1/37 30,000 33,581
Amgen Inc. 6.900% 6/1/38 20,000 23,960
Amgen Inc. 6.400% 2/1/39 29,430 33,143
Anheuser-Busch Cos. Inc. 6.750% 12/15/27 3,500 3,941
Anheuser-Busch Cos. Inc. 6.800% 8/20/32 6,900 8,145
Anheuser-Busch Cos. Inc. 5.750% 4/1/36 11,460 11,994
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 14,995 20,779
Archer-Daniels-Midland Co. 6.750% 12/15/27 11,000 13,076
Archer-Daniels-Midland Co. 6.625% 5/1/29 10,000 11,773
Archer-Daniels-Midland Co. 5.765% 3/1/41 8,115 8,631
AstraZeneca plc 6.450% 9/15/37 77,000 88,808
Baxter International Inc. 6.250% 12/1/37 10,000 11,508
Becton Dickinson and Co. 7.000% 8/1/27 8,300 9,968
Becton Dickinson and Co. 6.700% 8/1/28 5,066 5,951
Bestfoods 6.625% 4/15/28 30,000 35,692
Bristol-Myers Squibb Co. 6.800% 11/15/26 10,000 12,286
Bristol-Myers Squibb Co. 5.875% 11/15/36 2,214 2,438
3 Cargill Inc. 6.125% 4/19/34 1,880 2,048
3 Cargill Inc. 6.125% 9/15/36 23,000 25,029
Coca-Cola Refreshments USA Inc. 6.700% 10/15/36 7,882 9,659
Eli Lilly & Co. 5.500% 3/15/27 36,775 39,284
Eli Lilly & Co. 5.550% 3/15/37 3,500 3,654
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 21,995 22,606
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 47,205 53,805
Johnson & Johnson 6.950% 9/1/29 22,457 28,211
Kellogg Co. 7.450% 4/1/31 31,845 40,308
Kimberly-Clark Corp. 5.300% 3/1/41 14,175 14,372
Kraft Foods Inc. 6.500% 11/1/31 20,000 22,343
Kraft Foods Inc. 6.500% 2/9/40 21,240 23,735
Medtronic Inc. 6.500% 3/15/39 21,200 24,926
Merck & Co. Inc. 6.500% 12/1/33 30,320 36,169
Merck & Co. Inc. 5.750% 11/15/36 6,000 6,529
Merck & Co. Inc. 6.550% 9/15/37 42,200 50,275
Merck & Co. Inc. 5.850% 6/30/39 20,000 22,046
PepsiCo Inc./DE 7.000% 3/1/29 17,000 21,194
PepsiCo Inc./NC 5.500% 1/15/40 48,350 50,445
PepsiCo Inc./NC 4.875% 11/1/40 19,375 18,496
Pfizer Inc. 7.200% 3/15/39 56,000 70,367
Pharmacia Corp. 6.750% 12/15/27 28,000 33,109
Philip Morris International Inc. 6.375% 5/16/38 42,620 48,712
4 Procter & Gamble - Esop 9.360% 1/1/21 11,866 15,372
Procter & Gamble Co. 6.450% 1/15/26 27,000 31,851
Procter & Gamble Co. 5.500% 2/1/34 10,000 10,850
Procter & Gamble Co. 5.550% 3/5/37 7,000 7,666
3 Roche Holdings Inc. 7.000% 3/1/39 42,905 52,463
3 Tesco plc 6.150% 11/15/37 34,520 38,268
Wyeth 5.950% 4/1/37 68,950 74,947

 

 

Energy (3.9%)        
Burlington Resources Finance Co. 7.400% 12/1/31 25,000 31,068
3 CNPC HK Overseas Capital Ltd. 5.950% 4/28/41 11,540 11,449
ConocoPhillips 7.000% 3/30/29 13,150 15,874
ConocoPhillips 5.900% 10/15/32 20,300 21,967
ConocoPhillips 6.500% 2/1/39 50,735 59,140
ConocoPhillips Holding Co. 6.950% 4/15/29 2,660 3,214
Devon Financing Corp. ULC 7.875% 9/30/31 6,455 8,380
Encana Corp. 6.500% 8/15/34 15,463 16,758
Halliburton Co. 8.750% 2/15/21 10,000 13,343
3 Halliburton Co. 7.600% 8/15/96 14,937 17,704
Hess Corp. 6.000% 1/15/40 5,000 5,184
Hess Corp. 5.600% 2/15/41 5,000 4,909
Marathon Oil Corp. 6.600% 10/1/37 9,300 10,316
Shell International Finance BV 6.375% 12/15/38 59,705 68,985
Shell International Finance BV 5.500% 3/25/40 21,300 22,000
Statoil ASA 5.100% 8/17/40 9,000 8,672
Texaco Capital Inc. 8.625% 11/15/31 13,000 17,457
Tosco Corp. 7.800% 1/1/27 15,000 18,758
Tosco Corp. 8.125% 2/15/30 20,000 25,800
 
Other Industrial (0.3%)        
3 Hutchison Whampoa International 03/33 Ltd. 7.450% 11/24/33 26,385 32,565
 
Technology (3.0%)        
Cisco Systems Inc. 5.900% 2/15/39 55,000 58,297
Cisco Systems Inc. 5.500% 1/15/40 10,150 10,286
HP Enterprise Services LLC 7.450% 10/15/29 6,368 8,048
International Business Machines Corp. 7.000% 10/30/25 50,400 62,980
International Business Machines Corp. 5.600% 11/30/39 31,250 33,405
Microsoft Corp. 4.500% 10/1/40 30,630 27,989
Microsoft Corp. 5.300% 2/8/41 17,175 17,572
Oracle Corp. 6.500% 4/15/38 33,927 39,316
Oracle Corp. 6.125% 7/8/39 13,448 14,899
3 Oracle Corp. 5.375% 7/15/40 12,660 12,637
 
Transportation (0.3%)        
Burlington Northern Santa Fe LLC 6.875% 12/1/27 25,000 28,834
        4,193,097
Utilities (13.2%)        
Electric (11.8%)        
Alabama Power Co. 5.700% 2/15/33 12,800 13,376
Alabama Power Co. 6.000% 3/1/39 5,475 6,023
Alabama Power Co. 5.500% 3/15/41 13,015 13,389
American Water Capital Corp. 6.593% 10/15/37 10,000 10,702
Appalachian Power Co. 6.700% 8/15/37 50,000 55,614
Baltimore Gas & Electric Co. 6.350% 10/1/36 10,000 11,014
Carolina Power & Light Co. 5.700% 4/1/35 7,500 7,803
Connecticut Light & Power Co. 6.350% 6/1/36 15,000 16,884
Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 9,600 9,258
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 10,000 10,616
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 18,000 20,215
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 12,990 15,365
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 6,250 6,408
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 7,770 8,172
Consolidated Natural Gas Co. 6.800% 12/15/27 1,401 1,520
Duke Energy Carolinas LLC 6.100% 6/1/37 52,400 56,826

 

 

3 Enel Finance International NV 6.800% 9/15/37 6,175 6,363
3 Enel Finance International NV 6.000% 10/7/39 14,734 13,776
Florida Power & Light Co. 5.625% 4/1/34 16,275 17,111
Florida Power & Light Co. 5.400% 9/1/35 13,380 13,979
Florida Power & Light Co. 5.690% 3/1/40 7,350 7,842
Florida Power & Light Co. 5.250% 2/1/41 15,830 15,932
Florida Power Corp. 6.750% 2/1/28 22,375 23,990
Georgia Power Co. 5.950% 2/1/39 27,960 30,254
Georgia Power Co. 5.400% 6/1/40 6,900 6,964
Georgia Power Co. 4.750% 9/1/40 9,555 8,794
Midamerican Energy Holdings Co. 6.125% 4/1/36 28,100 30,278
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 53,885 70,807
Northern States Power Co./MN 7.125% 7/1/25 20,000 24,858
Northern States Power Co./MN 6.200% 7/1/37 40,000 46,015
Oklahoma Gas & Electric Co. 6.500% 4/15/28 12,770 13,948
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 6,872 8,467
Pacific Gas & Electric Co. 6.050% 3/1/34 34,240 36,452
Pacific Gas & Electric Co. 5.800% 3/1/37 7,377 7,631
Pacific Gas & Electric Co. 6.250% 3/1/39 35,905 38,816
Pacific Gas & Electric Co. 5.400% 1/15/40 19,800 19,439
PacifiCorp 6.100% 8/1/36 15,000 16,598
PacifiCorp 6.250% 10/15/37 7,815 8,832
PacifiCorp 6.350% 7/15/38 20,000 22,920
PacifiCorp 6.000% 1/15/39 34,100 37,297
Potomac Electric Power Co. 7.900% 12/15/38 2,800 3,775
PPL Electric Utilities Corp. 6.250% 5/15/39 10,075 11,310
PSEG Power LLC 8.625% 4/15/31 19,005 24,246
Public Service Electric & Gas Co. 5.800% 5/1/37 995 1,071
Public Service Electric & Gas Co. 5.375% 11/1/39 10,000 10,144
Puget Sound Energy Inc. 6.724% 6/15/36 10,000 11,569
Puget Sound Energy Inc. 6.274% 3/15/37 4,700 5,159
Puget Sound Energy Inc. 5.795% 3/15/40 18,500 19,210
Puget Sound Energy Inc. 5.764% 7/15/40 4,520 4,654
3 Rochester Gas & Electric Corp. 8.000% 12/15/33 5,000 6,188
San Diego Gas & Electric Co. 6.000% 6/1/26 25,000 28,839
South Carolina Electric & Gas Co. 6.625% 2/1/32 35,000 40,854
South Carolina Electric & Gas Co. 6.050% 1/15/38 8,600 9,363
Southern California Edison Co. 6.000% 1/15/34 12,575 13,857
Southern California Edison Co. 5.350% 7/15/35 1,045 1,061
Southern California Edison Co. 5.950% 2/1/38 10,000 10,973
Southern California Edison Co. 4.500% 9/1/40 12,000 10,781
Tampa Electric Co. 6.150% 5/15/37 35,000 38,610
Union Electric Co. 8.450% 3/15/39 9,000 12,504
Virginia Electric and Power Co. 6.000% 5/15/37 60,105 65,766
Virginia Electric and Power Co. 6.350% 11/30/37 11,170 12,749
Xcel Energy Inc. 6.500% 7/1/36 5,000 5,657
 
Natural Gas (1.4%)        
Enterprise Products Operating LLC 7.550% 4/15/38 5,396 6,476
KeySpan Corp. 5.875% 4/1/33 12,000 12,130
KeySpan Corp. 5.803% 4/1/35 10,000 9,994
Sempra Energy 6.000% 10/15/39 20,000 20,993
Texas Eastern Transmission LP 7.000% 7/15/32 17,000 20,294
TransCanada PipeLines Ltd. 6.200% 10/15/37 5,000 5,406
TransCanada PipeLines Ltd. 7.625% 1/15/39 50,300 63,145

 

 

Other Utility (0.0%)        
Veolia Environnement SA 6.750% 6/1/38 1,860 2,140
        1,279,466
Total Corporate Bonds (Cost $7,520,888)       8,175,748
Sovereign Bonds (U.S. Dollar-Denominated) (0.9%)        
3 CDP Financial Inc. 5.600% 11/25/39 15,000 15,756
3 CNOOC Finance 2011 Ltd. 5.750% 1/26/41 9,620 9,542
3 EDF SA 6.950% 1/26/39 35,000 41,293
Province of British Columbia 6.500% 1/15/26 13,800 17,070
Total Sovereign Bonds (Cost $75,771)       83,661
Taxable Municipal Bonds (10.8%)        
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 5.262% 7/1/39 12,800 12,383
Board of Regents of the University of Texas        
System Revenue Financing System        
Revenue 4.794% 8/15/46 8,665 8,227
California GO 7.500% 4/1/34 32,655 36,517
California GO 7.550% 4/1/39 45,725 51,870
California GO 7.300% 10/1/39 97,490 107,533
California GO 7.625% 3/1/40 34,960 39,899
California GO 7.600% 11/1/40 40,010 45,581
California Public Works Board Lease Revenue 8.361% 10/1/34 4,995 5,356
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 3,710 3,650
5 Commonwealth Financing Authority        
Pennsylvania Revenue 5.197% 6/1/26 25,000 24,067
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 1,740 1,855
Duke University North Carolina Revenue 5.850% 4/1/37 38,850 41,160
Illinois GO 5.665% 3/1/18 30,270 31,498
Illinois GO 5.877% 3/1/19 24,220 25,105
Illinois GO 5.100% 6/1/33 158,850 133,151
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 13,530 13,454
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 32,225 35,120
Los Angeles CA Unified School District GO 5.755% 7/1/29 19,500 19,207
Los Angeles CA Unified School District GO 6.758% 7/1/34 7,005 7,720
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax        
Revenue 5.735% 6/1/39 11,145 10,746
Massachusetts Development Finance Agency        
Revenue (Harvard University) 6.300% 10/1/37 56,345 61,720
Metropolitan New York Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 31,460 37,909
Metropolitan New York Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 5,305 5,254
6 New Jersey Economic Development Authority        
Revenue (State Pension Funding) 7.425% 2/15/29 50,002 52,374
New Jersey Turnpike Authority Revenue 7.414% 1/1/40 23,590 27,404
New Jersey Turnpike Authority Revenue 7.102% 1/1/41 3,775 4,245
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.508% 8/1/37 3,975 3,990
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.289% 3/15/33 7,325 7,193
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.628% 3/15/39 15,560 15,670

 

 

North Texas Tollway Authority System        
Revenue 6.718% 1/1/49 21,455 22,060
Ohio State University General Receipts        
Revenue 4.910% 6/1/40 12,345 11,711
5 Oregon Community College District Revenue 5.440% 6/30/23 10,595 10,961
7 Oregon School Boards Association GO 4.759% 6/30/28 15,000 13,315
Port Authority of New York & New Jersey        
Revenue 5.859% 12/1/24 6,935 7,266
Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 9,180 9,202
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 4.839% 1/1/41 18,525 17,046
San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 10,035 11,012
San Francisco CA City & County Public Utility        
Commission Water Revenue 6.950% 11/1/50 13,325 15,004
South Carolina Public Service Authority        
Revenue 6.454% 1/1/50 7,125 7,816
Texas Transportation Commission Revenue 5.178% 4/1/30 4,090 4,148
Texas Transportation Commission Revenue 4.631% 4/1/33 6,255 5,759
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 6,495 6,359
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 2,795 2,820
University of California Revenue 5.770% 5/15/43 5,135 5,112
Washington GO 5.481% 8/1/39 8,890 9,006
5 Wisconsin GO 5.700% 5/1/26 23,025 23,963
Total Taxable Municipal Bonds (Cost $1,040,095)       1,052,418
Temporary Cash Investment (0.6%)        
Repurchase Agreement (0.6%)        
Goldman, Sachs & Co.        
(Dated 4/29/11, Repurchase Value        
$59,300,000, collateralized by Federal        
Home Loan Mortgage Corp. 4.500%, 1/1/19        
and Federal National Mortgage Assn.        
6.000%, 3/1/34) (Cost $59,300) 0.050% 5/2/11 59,300 59,300
Total Investments (98.8%) (Cost $8,914,644)       9,598,155
Other Assets and Liabilities-Net (1.2%)       112,253
Net Assets (100%)       9,710,408

 

1 Securities with a value of $3,054,000 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, 2011, the aggregate value of these securities was $764,928,000, representing 7.9% 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.
5 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
6 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
7 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
GO—General Obligation Bond.

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. 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, 2011, 100% of the fund's investments were valued based on Level 2 inputs.

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 issuer or group of issuers. The fund has sold credit protection through credit default swaps to simulate investments in long 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 up-front 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, for example, 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 an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional 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 relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers 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 risk associated with selling credit protection is 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 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.

Credit Default Swaps            
          Up-Front    
          Premium Periodic Unrealized
        Notional Received Premium Appreciation
    Termination   Amount (Paid) Received (Depreciation)
Reference Entity Date  Counterparty1 ($000) ($000) (Paid) ($000)
Credit Protection Sold/Moody’s Rating          
CDX - IG11 - 10yr/Baa12 12/20/18 GSI 198,400 4,241 1.400% 6,496
CDX - IG14 - 10yr/Baa13 6/20/20 BOANA 100,000 163 1.000% (543)
CDX - IG16 - 10yr/Baa14 6/20/21 GSI 200,000 4,187 1.000% 361
Credit Protection Purchased            
XL Capital Ltd. 12/20/13 GSI 8,500 (1,318) (5.000%) (1,735)
              4,579
1 GSI—Goldman Sachs International.          
  BOANA—Bank of America, N.A.          
  Investment Grade Corporate Credit Default Swap          
2 Index-Version 11            
  Investment Grade Corporate Credit Default Swap          
3 Index-Version 14            
  Investment Grade Corporate Credit Default Swap          
4 Index-Version 16            

 

D. At April 30, 2011, the cost of investment securities for tax purposes was $8,914,644,000. Net unrealized appreciation of investment securities for tax purposes was $683,511,000, consisting of unrealized gains of $741,031,000 on securities that had risen in value since their purchase and $57,520,000 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, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (108.1%)        
U.S. Government Securities (93.5%)        
  United States Treasury Bill 0.050% 5/5/11 166,000 166,000
  United States Treasury Bill 0.025% 5/12/11 100,000 100,000
1 United States Treasury Note/Bond 6.250% 8/15/23 350,500 440,480
  United States Treasury Note/Bond 6.000% 2/15/26 47,500 58,685
  United States Treasury Note/Bond 6.375% 8/15/27 37,650 48,416
  United States Treasury Note/Bond 6.125% 11/15/27 94,000 118,014
  United States Treasury Note/Bond 5.250% 11/15/28 95,000 108,820
  United States Treasury Note/Bond 5.250% 2/15/29 201,200 230,531
  United States Treasury Note/Bond 5.375% 2/15/31 53,000 61,670
  United States Treasury Note/Bond 4.500% 2/15/36 20,500 21,054
  United States Treasury Note/Bond 4.750% 2/15/37 36,000 38,323
  United States Treasury Note/Bond 4.500% 5/15/38 16,500 16,848
  United States Treasury Note/Bond 3.500% 2/15/39 387,500 331,192
  United States Treasury Note/Bond 4.250% 5/15/39 123,500 120,645
  United States Treasury Note/Bond 4.375% 11/15/39 202,000 201,275
  United States Treasury Note/Bond 4.625% 2/15/40 173,000 179,650
  United States Treasury Note/Bond 4.375% 5/15/40 118,500 118,019
  United States Treasury Note/Bond 3.875% 8/15/40 246,000 224,399
  United States Treasury Note/Bond 4.250% 11/15/40 43,500 42,378
          2,626,399
Conventional Mortgage-Backed Securities (14.6%)        
2,3 Fannie Mae Pool 4.000% 1/1/41 21,500 21,422
2,3 Fannie Mae Pool 4.500% 5/1/41 33,250 34,206
2,3 Fannie Mae Pool 5.000% 5/1/41 76,000 80,204
2,3 Fannie Mae Pool 5.500% 5/1/41 114,000 122,692
2,3 Fannie Mae Pool 6.000% 4/1/41–5/1/41 43,500 47,565
3 Ginnie Mae I Pool 4.000% 5/1/41 14,000 14,184
3 Ginnie Mae I Pool 4.500% 5/1/41 42,250 44,178
3 Ginnie Mae I Pool 5.000% 5/1/41 41,000 43,908
          408,359
Total U.S. Government and Agency Obligations (Cost $3,016,963)     3,034,758
Temporary Cash Investments (4.6%)        
Repurchase Agreements (4.6%)        
  Barclays Capital Inc.        
  (Dated 4/29/11, Repurchase Value        
  $50,000,000, collateralized by U.S.        
  Treasury Bill 0.000%, 6/2/11) 0.030% 5/2/11 50,000 50,000
  Deutsche Bank Securities, Inc.        
  (Dated 4/29/11, Repurchase Value        
  $50,000,000, collateralized by Federal        
  Home Loan Mortgage Corp. 4.625%,        
  10/25/12, Federal National Mortgage Assn.        
  0.000%, 6/1/17) 0.030% 5/2/11 50,000 50,000

 

 

RBS Securities, Inc.        
(Dated 4/29/11, Repurchase Value        
$30,435,000, collateralized by U.S.        
Treasury Note/Bond 1.500%, 12/31/13) 0.030% 5/2/11 30,435 30,435
Total Temporary Cash Investments (Cost $130,435)       130,435
Total Investments (112.7%) (Cost $3,147,398)       3,165,193
Other Assets and Liabilities-Net (-12.7%)       (356,888)
Net Assets (100%)       2,808,305

 

1 Securities with a value of $12,065,000 have been segregated as initial margin for open futures 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 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. 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, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 3,034,758 —
Temporary Cash Investments — 130,435 —
Futures Contracts—Assets1 1,419 — —
Futures Contracts—Liabilities1 (463) — —
Total 956 3,165,193 —
1 Represents variation margin on the last day of the reporting period.      

 

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

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value  Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
Ultra Long U.S. Treasury Bond June 2011 3,173 399,401 10,713
2-Year U.S. Treasury Note June 2011 (703) (154,045) (713)
10-Year U.S Treasury Note June 2011 (1,030) (124,775) (1,867)
30-Year U.S. Treasury Bond June 2011 (657) (80,400) (1,548)
5-Year U.S. Treasury Note June 2011 (465) (55,088) (749)

 

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

D. At April 30, 2011, the cost of investment securities for tax purposes was $3,147,398,000. Net unrealized appreciation of investment securities for tax purposes was $17,795,000, consisting of unrealized gains of $55,647,000 on securities that had risen in value since their purchase and $37,852,000 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, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (109.7%)        
U.S. Government Securities (27.4%)        
  United States Treasury Bill 0.050% 5/5/11 330,000 330,000
  United States Treasury Bill 0.025% 5/12/11 400,000 400,000
  United States Treasury Note/Bond 0.750% 11/30/11 42,500 42,646
  United States Treasury Note/Bond 1.000% 3/31/12 19,000 19,131
  United States Treasury Note/Bond 1.375% 4/15/12 70,000 70,744
  United States Treasury Note/Bond 0.750% 5/31/12 22,500 22,609
  United States Treasury Note/Bond 0.375% 9/30/12 10,500 10,500
  United States Treasury Note/Bond 1.375% 10/15/12 42,021 42,619
  United States Treasury Note/Bond 0.625% 1/31/13 100,000 100,188
  United States Treasury Note/Bond 1.375% 2/15/13 18,000 18,270
  United States Treasury Note/Bond 0.750% 3/31/13 100,000 100,328
  United States Treasury Note/Bond 1.125% 6/15/13 35,000 35,334
  United States Treasury Note/Bond 1.000% 7/15/13 30,000 30,202
  United States Treasury Note/Bond 1.250% 4/15/14 80,500 81,091
  United States Treasury Note/Bond 2.375% 10/31/14 51,000 52,936
  United States Treasury Note/Bond 2.125% 5/31/15 23,250 23,780
  United States Treasury Note/Bond 1.250% 8/31/15 32,509 31,930
  United States Treasury Note/Bond 1.250% 9/30/15 50,000 49,008
  United States Treasury Note/Bond 2.250% 3/31/16 17,617 17,878
  United States Treasury Note/Bond 2.000% 4/30/16 70,407 70,506
          1,549,700
Agency Bonds and Notes (60.9%)        
1 Federal Farm Credit Bank 1.375% 6/25/13 13,000 13,167
1 Federal Farm Credit Bank 1.300% 12/23/13 15,000 15,110
1 Federal Farm Credit Bank 1.125% 2/27/14 35,000 35,076
1 Federal Farm Credit Bank 2.625% 4/17/14 54,000 56,299
1 Federal Home Loan Banks 0.875% 8/22/12 87,500 88,076
1 Federal Home Loan Banks 1.750% 8/22/12 23,500 23,919
1 Federal Home Loan Banks 1.625% 11/21/12 12,000 12,212
1 Federal Home Loan Banks 1.750% 3/8/13 27,285 27,811
1 Federal Home Loan Banks 1.625% 6/14/13 25,000 25,433
1 Federal Home Loan Banks 1.875% 6/21/13 55,000 56,297
1,2 Federal Home Loan Banks 3.625% 10/18/13 174,500 185,876
1 Federal Home Loan Banks 3.125% 12/13/13 31,710 33,430
1 Federal Home Loan Banks 2.375% 3/14/14 25,000 25,892
1 Federal Home Loan Banks 1.375% 5/28/14 80,000 80,453
1 Federal Home Loan Banks 2.750% 12/12/14 14,000 14,599
1 Federal Home Loan Banks 2.750% 3/13/15 70,000 72,878
1 Federal Home Loan Banks 1.750% 9/11/15 21,000 20,903
1 Federal Home Loan Banks 2.875% 9/11/15 24,000 25,015
1,3 Federal Home Loan Mortgage Corp. 1.000% 7/13/12 102,500 102,689
1 Federal Home Loan Mortgage Corp. 1.125% 7/27/12 42,000 42,416
1 Federal Home Loan Mortgage Corp. 2.125% 9/21/12 14,000 14,340
1 Federal Home Loan Mortgage Corp. 0.625% 10/30/12 122,100 122,455
1 Federal Home Loan Mortgage Corp. 0.375% 11/30/12 35,000 34,965
1 Federal Home Loan Mortgage Corp. 0.750% 12/28/12 202,000 202,701
1 Federal Home Loan Mortgage Corp. 4.500% 1/15/13 50,670 54,067
1 Federal Home Loan Mortgage Corp. 0.750% 3/28/13 104,500 104,680

 

 

1,3 Federal Home Loan Mortgage Corp. 1.625% 6/28/13 58,000 58,133
1 Federal Home Loan Mortgage Corp. 5.000% 1/30/14 15,000 16,591
1,3 Federal Home Loan Mortgage Corp. 1.500% 2/11/14 25,000 25,088
1,3 Federal Home Loan Mortgage Corp. 1.625% 4/18/14 23,500 23,504
1 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 25,000 28,640
1 Federal Home Loan Mortgage Corp. 2.500% 5/27/16 60,000 60,974
1 Federal National Mortgage Assn. 4.875% 5/18/12 500 524
1 Federal National Mortgage Assn. 4.375% 9/15/12 20,000 21,093
1 Federal National Mortgage Assn. 0.625% 9/24/12 14,000 14,050
1 Federal National Mortgage Assn. 0.500% 10/30/12 51,500 51,562
1,3 Federal National Mortgage Assn. 1.750% 12/28/12 50,000 50,128
1,3 Federal National Mortgage Assn. 1.800% 2/8/13 50,000 50,220
1 Federal National Mortgage Assn. 3.625% 2/12/13 119,500 125,905
1 Federal National Mortgage Assn. 0.750% 2/26/13 145,500 145,870
1,3 Federal National Mortgage Assn. 1.875% 5/6/13 54,000 54,010
1,3 Federal National Mortgage Assn. 2.000% 6/24/13 30,000 30,080
1,3 Federal National Mortgage Assn. 1.050% 10/22/13 50,000 50,129
1,3 Federal National Mortgage Assn. 0.875% 11/8/13 170,000 169,437
1,3 Federal National Mortgage Assn. 0.900% 11/15/13 54,675 54,510
1 Federal National Mortgage Assn. 0.750% 12/18/13 253,250 251,698
1,3 Federal National Mortgage Assn. 1.500% 12/30/13 15,000 15,089
1,3 Federal National Mortgage Assn. 1.450% 1/24/14 20,000 20,103
1,3 Federal National Mortgage Assn. 1.550% 1/27/14 10,000 10,067
1,3 Federal National Mortgage Assn. 1.250% 2/27/14 25,000 25,009
1,3 Federal National Mortgage Assn. 1.750% 3/7/14 50,000 50,263
1,3 Federal National Mortgage Assn. 1.250% 3/14/14 35,000 35,131
1 Federal National Mortgage Assn. 4.125% 4/15/14 104,500 113,509
1 Federal National Mortgage Assn. 3.000% 9/16/14 5,250 5,530
1 Federal National Mortgage Assn. 4.625% 10/15/14 57,500 63,694
1,3 Federal National Mortgage Assn. 1.875% 10/15/15 70,000 69,515
1 Federal National Mortgage Assn. 1.625% 10/26/15 13,000 12,825
1,3 Federal National Mortgage Assn. 1.625% 11/12/15 110,000 107,728
1,3 Federal National Mortgage Assn. 1.600% 11/23/15 25,000 24,431
1 Federal National Mortgage Assn. 5.000% 3/15/16 30,000 34,021
1 Federal National Mortgage Assn. 2.375% 4/11/16 53,000 53,630
4 US Central Federal Credit Union 1.900% 10/19/12 32,000 32,594
          3,446,044
Conventional Mortgage-Backed Securities (20.0%)        
1,3 Fannie Mae Pool 3.500% 5/1/26–6/1/26 124,000 125,499
1,3 Fannie Mae Pool 4.000% 2/1/24–1/1/41 174,508 180,071
1,3 Fannie Mae Pool 4.500% 2/1/24–5/1/41 132,975 139,715
1,3 Fannie Mae Pool 5.000% 12/1/14–5/1/41 206,611 220,464
1,3 Fannie Mae Pool 5.500% 11/1/21–6/1/41 106,268 114,536
1,3 Fannie Mae Pool 6.000% 4/1/17–5/1/41 36,863 40,309
1,3 Fannie Mae Pool 6.500% 12/1/11–9/1/16 6,098 6,676
1,3 Fannie Mae Pool 7.500% 3/1/15–8/1/15 177 189
1,3 Fannie Mae Pool 8.000% 10/1/14–9/1/15 995 1,077
1,3 Freddie Mac Gold Pool 3.500% 4/1/26–5/1/26 78,000 78,975
1,3 Freddie Mac Gold Pool 4.000% 6/1/25–5/1/26 71,151 73,757
1,3 Freddie Mac Gold Pool 4.500% 5/1/23–5/1/26 65,936 69,536
1,3 Freddie Mac Gold Pool 5.000% 1/1/12–12/1/24 28,267 30,195
1,3 Freddie Mac Gold Pool 5.500% 8/1/14–12/1/24 27,841 30,284
1,3 Freddie Mac Gold Pool 6.000% 1/1/14–3/1/24 18,544 20,191
          1,131,474
Nonconventional Mortgage-Backed Securities (1.4%)        
1,3 Fannie Mae Pool 2.550% 6/1/33 3,426 3,589
1,3 Fannie Mae Pool 2.902% 10/1/33 3,379 3,483

 

 

1,3 Fannie Mae Pool 3.135% 8/1/33 1,174 1,223
1,3 Fannie Mae Pool 4.803% 6/1/38 2,585 2,747
1,3 Fannie Mae Pool 5.037% 7/1/39 7,502 7,980
1,3 Fannie Mae Pool 5.460% 6/1/37 1,232 1,317
1,3 Fannie Mae Pool 6.260% 9/1/36 2,951 3,185
1,3 Fannie Mae Pool 6.455% 9/1/36 5,015 5,433
1,3 Fannie Mae REMICS 5.500% 2/25/17 1,810 1,919
1,3 Freddie Mac Non Gold Pool 3.204% 8/1/33 1,749 1,842
1,3 Freddie Mac Non Gold Pool 5.229% 11/1/38 2,532 2,708
1,3 Freddie Mac Non Gold Pool 5.937% 5/1/36 3,807 4,090
1,3 Freddie Mac REMICS 4.500% 6/15/18 4,361 4,577
1,3 Freddie Mac REMICS 4.500% 7/15/18 9,111 9,622
1,3 Freddie Mac REMICS 4.500% 10/15/18 500 510
1,3 Freddie Mac REMICS 4.500% 10/15/18 6,507 6,857
1,3 Freddie Mac REMICS 4.500% 5/15/19 8,548 8,890
1,3 Freddie Mac REMICS 4.500% 11/15/19 820 864
1,3 Freddie Mac REMICS 4.500% 2/15/20 3,254 3,427
1,3 Freddie Mac REMICS 4.500% 3/15/22 1,400 1,500
        75,763
Total U.S. Government and Agency Obligations (Cost $6,158,253)     6,202,981
Temporary Cash Investments (6.5%)        
Repurchase Agreements (6.5%)        
Barclays Capital Inc.        
(Dated 4/29/11, Repurchase Value        
$50,000,000, collateralized by U.S.        
Treasury Bill 0.000%, 6/2/11-6/9/11) 0.030% 5/2/11 50,000 50,000
BNP Paribas Securities Corp.        
Dated 4/29/11, Repurchase Value        
$116,000,000, collateralized by U.S.        
Treasury Note/Bond 2.625%, 11/15/20) 0.030% 5/2/11 116,000 116,000
Deutsche Bank Securities, Inc.        
(Date 4/29/11, Repurchase Value        
$50,000,000, collateralized by Federal        
Home Loan Bank 0.000%, 7/29/11, Federal        
National Mortgage Assn. 0.000%, 6/1/17) 0.030% 5/2/11 50,000 50,000
RBS Securities, Inc.        
(Dated 4/29/11, Repurchase Value        
$151,791,000, collateralized by U.S.        
Treasury Note/Bond 1.875%, 10/31/17) 0.030% 5/2/11 151,791 151,791
Total Temporary Cash Investments (Cost $367,791)       367,791
Total Investments (116.2%) (Cost $6,526,044)       6,570,772
Other Assets and Liabilities-Net (-16.2%)       (914,400)
Net Assets (100%)       5,656,372

 

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 $5,592,000 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.
4 Guaranteed by the National Credit Union Administration.


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

 

Short-Term Federal Fund

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, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 6,202,981 —
Temporary Cash Investments — 367,791 —
Futures Contracts—Assets1 112 — —
Futures Contracts—Liabilities1 (529) — —
Total (417) 6,570,772 —
1 Represents variation margin on the last day of the reporting period.      

 

C. 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).

 

Short-Term Federal Fund

At April 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
10-Year U.S. Treasury Note June 2011 (2,181) (264,208) (4,122)
5-Year U.S. Treasury Note June 2011 1,099 130,197 215
2-Year U.S. Treasury Note June 2011 277 60,698 184
30-Year U.S. Treasury Bond June 2011 (259) (31,695) (608)

 

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

D. At April 30, 2011, the cost of investment securities for tax purposes was $6,526,094,000. Net unrealized appreciation of investment securities for tax purposes was $44,678,000, consisting of unrealized gains of $49,657,000 on securities that had risen in value since their purchase and $4,979,000 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, 2011

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (10.5%)        
U.S. Government Securities (10.2%)        
  United States Treasury Note/Bond 1.000% 12/31/11 32,500 32,678
1 United States Treasury Note/Bond 1.375% 2/15/12 234,500 236,662
  United States Treasury Note/Bond 0.875% 2/29/12 17,485 17,581
2 United States Treasury Note/Bond 1.000% 3/31/12 579,500 583,487
  United States Treasury Note/Bond 1.375% 4/15/12 200,000 202,126
  United States Treasury Note/Bond 1.375% 5/15/12 100,000 101,125
  United States Treasury Note/Bond 1.875% 6/15/12 50,000 50,883
  United States Treasury Note/Bond 4.125% 8/31/12 70,000 73,533
  United States Treasury Note/Bond 0.625% 12/31/12 106,000 106,248
  United States Treasury Note/Bond 1.375% 1/15/13 390,000 395,850
  United States Treasury Note/Bond 0.625% 1/31/13 150,000 150,282
  United States Treasury Note/Bond 1.375% 2/15/13 194,000 196,910
  United States Treasury Note/Bond 0.625% 2/28/13 150,000 150,211
  United States Treasury Note/Bond 1.375% 3/15/13 194,500 197,417
  United States Treasury Note/Bond 0.750% 3/31/13 250,000 250,820
  United States Treasury Note/Bond 1.750% 4/15/13 100,000 102,234
  United States Treasury Note/Bond 0.625% 4/30/13 200,000 200,062
  United States Treasury Note/Bond 1.375% 5/15/13 200,000 203,000
  United States Treasury Note/Bond 1.125% 6/15/13 150,000 151,429
  United States Treasury Note/Bond 1.250% 2/15/14 124,760 125,852
  United States Treasury Note/Bond 1.250% 4/15/14 76,282 76,842
  United States Treasury Note/Bond 1.875% 4/30/14 150,000 153,774
  United States Treasury Note/Bond 1.250% 8/31/15 9,854 9,679
  United States Treasury Note/Bond 2.250% 3/31/16 52,849 53,633
  United States Treasury Note/Bond 2.000% 4/30/16 96,472 96,608
  United States Treasury Note/Bond 3.125% 10/31/16 70,000 73,489
          3,992,415
Agency Notes (0.0%)        
3,4 Federal Home Loan Mortgage Corp. 0.163% 2/2/12 17,200 17,177
          17,177
Conventional Mortgage-Backed Securities (0.1%)        
4,5 Fannie Mae Pool 6.000% 12/1/16–5/1/17 9,312 10,183
4,5 Fannie Mae Pool 6.500% 12/1/11–9/1/16 7,648 8,371
4,5 Fannie Mae Pool 7.000% 10/1/11–4/1/13 36 37
4,5 Fannie Mae Pool 7.500% 3/1/15 78 82
4,5 Freddie Mac Gold Pool 6.000% 3/1/17–4/1/17 5,990 6,516
          25,189
Nonconventional Mortgage-Backed Securities (0.2%)        
3,4,5Fannie Mae Pool 2.250% 12/1/32 944 974
3,4,5Fannie Mae Pool 2.528% 9/1/32 279 291
3,4,5Fannie Mae Pool 2.550% 6/1/33 6,864 7,190
3,4,5Fannie Mae Pool 2.560% 7/1/32 776 809
3,4,5Fannie Mae Pool 2.577% 5/1/33 6,653 6,973
3,4,5Fannie Mae Pool 2.773% 5/1/33 1,476 1,549
3,4,5Fannie Mae Pool 2.896% 7/1/33 11,519 11,928
3,4,5Fannie Mae Pool 2.910% 8/1/33 2,565 2,640
3,4,5Fannie Mae Pool 2.914% 9/1/32 479 506
3,4,5Fannie Mae Pool 3.019% 8/1/33 1,812 1,860

 

 

3,4,5Fannie Mae Pool 3.024% 8/1/33 3,547 3,730
3,4,5Fannie Mae Pool 5.267% 8/1/37 1,339 1,410
3,4,5Fannie Mae Pool 5.492% 2/1/37 2,964 3,177
3,4,5Freddie Mac Non Gold Pool 2.537% 9/1/32 1,267 1,340
3,4,5Freddie Mac Non Gold Pool 2.625% 8/1/32 2,742 2,852
3,4,5Freddie Mac Non Gold Pool 2.711% 1/1/33–2/1/33 1,788 1,871
3,4,5Freddie Mac Non Gold Pool 2.968% 10/1/32 915 971
3,4,5Freddie Mac Non Gold Pool 3.018% 9/1/32 1,512 1,560
3,4,5Freddie Mac Non Gold Pool 3.204% 8/1/33 1,911 2,013
3,4,5Freddie Mac Non Gold Pool 5.749% 8/1/37 10,138 10,716
          64,360
Total U.S. Government and Agency Obligations (Cost $4,077,116)     4,099,141
Asset-Backed/Commercial Mortgage-Backed Securities (20.7%)      
5,6 Ally Auto Receivables Trust 3.050% 12/15/14 44,876 46,469
5 Ally Auto Receivables Trust 2.090% 5/15/15 49,000 49,564
5,6 Ally Auto Receivables Trust 3.000% 10/15/15 11,525 11,923
5 Ally Auto Receivables Trust 1.350% 12/15/15 15,000 14,813
5 Ally Auto Receivables Trust 2.230% 3/15/16 70,500 71,417
5,6 Ally Auto Receivables Trust 2.690% 2/15/17 18,850 19,080
5,6 Ally Master Owner Trust 3.470% 4/15/15 20,545 21,247
5,6 Ally Master Owner Trust 3.870% 4/15/15 10,900 11,339
5,6 Ally Master Owner Trust 4.250% 4/15/17 7,800 8,296
5,6 Ally Master Owner Trust 4.590% 4/15/17 15,500 16,686
3,5 Ally Master Owner Trust 1.289% 8/15/17 64,150 64,980
3,5,6Ally Master Owner Trust 1.769% 8/15/17 39,172 40,229
3,5,6Ally Master Owner Trust 2.169% 8/15/17 29,770 30,901
3,5,6American Express Credit Account Master        
  Trust 0.499% 12/15/13 3,400 3,400
3,5,6American Express Credit Account Master        
  Trust 0.499% 3/17/14 3,400 3,398
3,5,6American Express Credit Account Master        
  Trust 0.489% 9/15/14 2,410 2,405
3,5,6American Express Credit Account Master        
  Trust 0.639% 1/15/15 2,770 2,763
3,5 American Express Credit Account Master        
  Trust 1.319% 3/15/16 8,300 8,424
3,5 American Express Credit Account Master        
  Trust 1.319% 3/15/16 4,940 5,015
3,5 American Express Credit Account Master        
  Trust 1.319% 4/15/16 5,245 5,325
3,5,6American Express Credit Account Master        
  Trust 0.889% 12/15/16 6,100 6,073
3,5 American Express Credit Account Master        
  Trust 1.469% 3/15/17 52,140 53,909
5,6 Americold LLC Trust 4.954% 1/14/29 2,860 2,959
5,6 Americold LLC Trust 6.030% 1/14/29 8,790 9,462
5,6 Americold LLC Trust 6.811% 1/14/29 14,130 15,716
3,5 AmeriCredit Automobile Receivables Trust 5.240% 1/6/15 38,581 39,051
3,5 AmeriCredit Automobile Receivables Trust 5.240% 4/6/15 47,654 48,334
5 Americredit Prime Automobile Receivable 2.900% 12/15/14 3,340 3,428
3,5,6Arkle Master Issuer PLC 1.564% 5/17/60 151,090 150,585
3,5,6Arran Residential Mortgages Funding PLC 1.714% 5/16/47 20,640 20,664
3,5,6Arran Residential Mortgages Funding PLC 1.787% 11/19/47 67,100 67,100
6 BA Covered Bond Issuer 5.500% 6/14/12 36,600 38,167
3,5 BA Credit Card Trust 0.509% 6/16/14 5,260 5,239
3,5 BA Credit Card Trust 0.279% 9/15/16 26,200 26,019
3,5 BA Credit Card Trust 0.289% 12/15/16 13,720 13,613

 

 

3,5 BA Credit Card Trust 0.259% 11/15/19 61,370 59,912
3,5 Banc of America Commercial Mortgage Inc. 5.334% 9/10/45 14,475 14,749
3,5 Banc of America Commercial Mortgage Inc. 5.826% 4/10/49 23,534 25,514
3,5 Banc of America Funding Corp. 5.356% 9/20/46 47,530 35,204
3,5 Banc of America Mortgage Securities Inc. 3.247% 9/25/32 42 41
3,5 Banc of America Mortgage Securities Inc. 2.982% 2/25/33 417 317
3,5 Banc of America Mortgage Securities Inc. 2.878% 5/25/33 1,343 1,256
3,5 Banc of America Mortgage Securities Inc. 2.920% 7/25/33 2,853 2,732
3,5 Banc of America Mortgage Securities Inc. 2.860% 2/25/34 2,552 2,402
5,6 Bank of America Auto Trust 3.520% 6/15/16 29,583 30,574
5,6 Bank of America Auto Trust 3.030% 10/15/16 73,416 75,486
3,5,6Bank of America Student Loan Trust 1.074% 2/25/43 80,470 80,546
3,5 Bank One Issuance Trust 1.019% 2/15/17 6,600 6,565
3,5 Bear Stearns Adjustable Rate Mortgage        
  Trust 5.008% 10/25/36 54,274 40,221
3,5 Bear Stearns Adjustable Rate Mortgage        
  Trust 5.257% 5/25/47 45,155 33,446
3,5 Bear Stearns Commercial Mortgage        
  Securities 5.906% 6/11/40 14,563 16,016
5 Bear Stearns Commercial Mortgage        
  Securities 5.478% 10/12/41 46,800 47,350
5 Bear Stearns Commercial Mortgage        
  Securities 4.254% 7/11/42 834 835
5 Bear Stearns Commercial Mortgage        
  Securities 5.574% 6/11/50 20,000 20,598
5 Bear Stearns Commercial Mortgage        
  Securities 5.613% 6/13/50 15,000 15,610
3,5 Brazos Higher Education Authority 0.508% 6/25/26 15,150 14,039
3,5 Brazos Higher Education Authority 1.212% 5/25/29 58,724 58,590
3,5 Brazos Higher Education Authority 1.109% 2/25/30 70,400 70,401
3,5 Capital One Multi-Asset Execution Trust 0.509% 3/17/14 3,939 3,938
3,5 Capital One Multi-Asset Execution Trust 0.519% 6/16/14 30,950 30,878
3,5 Capital One Multi-Asset Execution Trust 0.539% 7/15/14 26,100 26,022
3,5 Capital One Multi-Asset Execution Trust 0.519% 11/17/14 32,150 31,933
3,5 Capital One Multi-Asset Execution Trust 2.469% 7/15/16 33,411 33,982
3,5 Capital One Multi-Asset Execution Trust 0.429% 12/15/16 2,675 2,667
3,5 Capital One Multi-Asset Execution Trust 1.269% 12/15/16 2,940 2,898
3,5 Capital One Multi-Asset Execution Trust 0.309% 8/15/18 5,500 5,426
3,5 Capital One Multi-Asset Execution Trust 0.309% 6/17/19 36,860 36,142
3,5 Capital One Multi-Asset Execution Trust 0.269% 11/15/19 27,690 27,046
3,5 Capital One Multi-Asset Execution Trust 0.299% 12/16/19 261,055 255,348
3,5 Capital One Multi-Asset Execution Trust 0.259% 7/15/20 166,795 161,958
5 CarMax Auto Owner Trust 2.040% 10/15/15 29,000 29,506
3,5,6CFCRE Commercial Mortgage Trust 4.961% 4/15/44 16,760 17,011
3,5,6CFCRE Commercial Mortgage Trust 5.233% 4/15/44 6,230 6,323
3,5,6CFCRE Commercial Mortgage Trust 5.553% 4/15/44 7,950 8,019
3,5,6CFCRE Commercial Mortgage Trust 5.553% 4/15/44 2,880 2,840
3,5 Chase Issuance Trust 0.509% 1/15/14 14,250 14,228
3,5 Chase Issuance Trust 0.659% 1/15/15 28,080 28,019
3,5 Chase Issuance Trust 0.679% 4/15/19 28,600 27,717
5 Chrysler Financial Auto Securitization Trust 2.940% 6/8/13 17,173 17,230
5,6 Chrysler Financial Auto Securitization Trust 6.250% 5/8/14 33,555 34,788
5,6 Chrysler Financial Auto Securitization Trust 5.570% 8/8/14 33,555 34,651
5,6 Chrysler Financial Auto Securitization Trust 6.540% 11/10/14 16,600 17,299
5 Chrysler Financial Auto Securitization Trust 3.520% 8/8/16 26,000 26,555
5,6 CIT Equipment Collateral 1.510% 5/15/12 18,587 18,616
5,6 CIT Equipment Collateral 2.410% 5/15/13 35,700 36,164
3,5 Citibank Credit Card Issuance Trust 0.629% 7/15/14 78,915 78,311

 

 

5 Citibank Credit Card Issuance Trust 2.250% 12/23/14 33,390 34,133
3,5 Citibank Credit Card Issuance Trust 0.613% 2/20/15 32,725 32,301
5 Citibank Credit Card Issuance Trust 4.850% 4/22/15 82,210 88,328
5 Citibank Credit Card Issuance Trust 4.900% 6/23/16 83,000 91,192
3,5 Citibank Credit Card Issuance Trust 0.683% 3/24/17 4,380 4,274
3,5 Citibank Credit Card Issuance Trust 1.413% 5/22/17 22,500 23,274
3,5 Citibank Credit Card Issuance Trust 0.318% 12/17/18 64,625 63,234
3,5 Citibank Credit Card Issuance Trust 0.370% 12/17/18 31,075 30,452
5 Citibank Credit Card Issuance Trust 5.650% 9/20/19 24,075 27,681
3,5 Citibank Credit Card Issuance Trust 1.588% 5/20/20 61,200 65,020
3,5,6Citibank Omni Master Trust 2.969% 8/15/18 51,180 54,200
5,6 Citibank Omni Master Trust 5.350% 8/15/18 66,275 72,550
5,6 Citibank Omni Master Trust 4.900% 11/15/18 93,965 101,572
5,6 CitiFinancial Auto Issuance Trust 2.590% 10/15/13 59,700 60,612
5,6 CitiFinancial Auto Issuance Trust 3.150% 8/15/16 16,125 16,623
3,5 Citigroup Mortgage Loan Trust Inc. 5.738% 7/25/37 27,413 19,364
5 Citigroup/Deutsche Bank Commercial        
  Mortgage Trust 5.205% 12/11/49 60,025 61,272
5,6 CLI Funding LLC 4.500% 3/18/26 21,355 21,039
5 CNH Equipment Trust 5.280% 11/15/12 3,751 3,767
5 CNH Equipment Trust 3.000% 8/17/15 27,600 28,497
5 CNH Equipment Trust 1.750% 5/16/16 57,000 56,630
5 CNH Equipment Trust 1.740% 1/17/17 75,500 75,689
3,5 Commercial Mortgage Pass Through        
  Certificates 5.811% 12/10/49 19,000 19,487
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 2.899% 5/25/33 2,946 2,368
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 2.866% 11/19/33 4,027 3,791
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 2.730% 3/20/36 24,386 14,900
3,5 Countrywide Home Loan Mortgage Pass        
  Through Trust 4.954% 2/25/47 31,134 20,120
3,5 Credit Suisse Mortgage Capital Certificates 6.017% 6/15/38 25,230 27,934
3,5 Credit Suisse Mortgage Capital Certificates 5.905% 6/15/39 34,310 35,078
5 Credit Suisse Mortgage Capital Certificates 5.589% 9/15/40 29,100 29,821
3,5,6DBUBS Mortgage Trust 5.729% 11/10/46 14,200 14,632
3,5 Discover Card Master Trust 1.519% 12/15/14 47,035 47,613
3,5 Discover Card Master Trust 0.650% 6/15/15 112,450 112,652
3,5 Discover Card Master Trust 0.869% 9/15/15 61,723 62,161
5 Discover Card Master Trust 5.650% 12/15/15 40,040 43,861
3,5 Discover Card Master Trust 0.569% 8/15/16 93,500 93,601
3,5 Discover Card Master Trust 0.799% 3/15/18 181,400 182,741
3,5 Discover Card Master Trust I 0.309% 6/16/15 7,900 7,879
3,5 Discover Card Master Trust I 0.299% 1/19/16 74,288 73,921
3,5 Discover Card Master Trust I 0.299% 9/15/16 21,500 21,349
5,6 Extended Stay America Trust 4.220% 11/5/27 17,400 17,855
5,6 Extended Stay America Trust 4.860% 11/5/27 20,900 21,599
3,5 First Horizon Asset Securities Inc. 5.590% 11/25/36 18,158 13,936
3,5 First Horizon Asset Securities Inc. 5.389% 1/25/37 44,459 33,458
5 Ford Credit Auto Owner Trust 2.980% 8/15/14 12,925 13,317
5 Ford Credit Auto Owner Trust 2.930% 11/15/15 5,900 6,100
5 Ford Credit Auto Owner Trust 3.220% 3/15/16 6,040 6,265
3,5 Ford Credit Floorplan Master Owner Trust 1.769% 9/15/14 62,700 63,606
3,5,6Ford Credit Floorplan Master Owner Trust 1.869% 12/15/14 42,980 43,741
3,5,6Ford Credit Floorplan Master Owner Trust 2.469% 12/15/14 17,280 17,671
3,5,6Ford Credit Floorplan Master Owner Trust 2.869% 12/15/14 88,458 90,994
3,5,6Ford Credit Floorplan Master Owner Trust 1.919% 2/15/17 102,517 106,369

 

 

5,6 Ford Credit Floorplan Master Owner Trust 4.200% 2/15/17 22,356 23,930
5,6 Ford Credit Floorplan Master Owner Trust 4.990% 2/15/17 21,000 22,811
5 GE Capital Commercial Mortgage Corp. 4.353% 6/10/48 8,406 8,504
3,5 GMAC Mortgage Corp. Loan Trust 5.161% 11/19/35 7,800 6,958
3,5 Granite Master Issuer PLC 0.256% 12/17/54 4,503 4,258
3,5 Granite Master Issuer PLC 0.353% 12/20/54 13,407 12,695
5,6 Great America Leasing Receivables 2.340% 4/15/16 19,525 19,778
3,5 Greenwich Capital Commercial Funding        
  Corp. 5.224% 4/10/37 9,600 10,339
3,5 Greenwich Capital Commercial Funding        
  Corp. 6.077% 7/10/38 20,000 22,166
3,5,6GS Mortgage Securities Corp. II 3.215% 2/10/21 14,370 14,445
3,5,6GS Mortgage Securities Corp. II 3.563% 2/10/21 5,025 5,051
3,5,6GS Mortgage Securities Corp. II 5.162% 12/10/43 14,700 15,551
3,5,6GS Mortgage Securities Corp. II 5.405% 12/10/43 6,400 6,596
3,5,6GS Mortgage Securities Corp. II 5.405% 12/10/43 3,530 3,519
3,5,6GS Mortgage Securities Corp. II 4.473% 3/10/44 20,810 21,423
3,5,6GS Mortgage Securities Corp. II 4.753% 3/10/44 17,200 17,831
3,5,6GS Mortgage Securities Corp. II 5.361% 3/10/44 20,500 21,239
3,5,6GS Mortgage Securities Corp. II 5.728% 3/10/44 7,180 7,386
5 Harley-Davidson Motorcycle Trust 2.620% 3/15/14 48,649 49,119
5 Harley-Davidson Motorcycle Trust 2.400% 7/15/14 4,655 4,747
5 Harley-Davidson Motorcycle Trust 1.530% 9/15/15 28,400 28,489
5 Harley-Davidson Motorcycle Trust 3.320% 2/15/17 8,780 9,048
5 Harley-Davidson Motorcycle Trust 2.540% 4/15/17 8,000 8,151
5,6 Hertz Vehicle Financing LLC 5.290% 3/25/16 56,350 62,399
5,6 Hertz Vehicle Financing LLC 3.740% 2/25/17 81,900 85,151
3,5,6Holmes Master Issuer PLC 1.678% 10/15/54 18,280 18,336
5 Hyundai Auto Receivables Trust 3.150% 3/15/16 37,850 39,275
3,5,6Hyundai Floorplan Master Owner Trust 1.469% 11/17/14 18,710 18,908
3,5 Illinois Student Assistance Commission 1.324% 4/25/22 61,500 61,761
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.633% 12/5/27 38,550 42,297
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.608% 6/15/43 2,300 2,400
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.058% 6/15/43 1,800 1,910
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 3.615% 11/15/43 10,600 10,383
3,5,6JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.715% 11/15/43 6,225 6,406
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.387% 2/16/46 31,700 32,391
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.717% 2/16/46 30,550 31,369
3,5,6JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.360% 2/16/46 22,625 22,727
5,6 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.717% 2/16/46 16,800 16,629
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 4.625% 3/15/46 8,775 8,892
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.298% 5/15/47 18,700 19,026
3,5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.990% 6/15/49 50,700 52,391
5 JP Morgan Chase Commercial Mortgage        
  Securities Corp. 5.827% 2/15/51 44,610 46,243
3,5,6Kildare Securities Ltd. 0.370% 12/10/43 23,321 21,332

 

 

3,5 LB-UBS Commercial Mortgage Trust 6.078% 6/15/38 10,890 12,128
5 LB-UBS Commercial Mortgage Trust 5.303% 2/15/40 28,158 28,762
5 LB-UBS Commercial Mortgage Trust 5.318% 2/15/40 23,300 23,722
3,5 LB-UBS Commercial Mortgage Trust 5.866% 9/15/45 36,205 39,568
5,6 Macquarie Equipment Funding Trust 1.910% 4/20/17 16,000 16,166
3,5 Master Adjustable Rate Mortgages Trust 2.267% 4/25/34 4,794 4,328
3,5 MBNA Credit Card Master Note Trust 1.569% 10/15/14 2,075 2,084
3,5 MBNA Credit Card Master Note Trust 0.639% 7/15/15 57,640 56,971
3,5 MBNA Credit Card Master Note Trust 1.569% 3/15/16 10,340 10,396
3,5 MBNA Credit Card Master Note Trust 1.119% 11/15/16 39,715 39,383
3,5 Merrill Lynch Mortgage Investors Inc. 1.962% 2/25/33 3,840 3,466
3,5 Merrill Lynch Mortgage Investors Inc. 2.842% 7/25/33 1,787 1,667
5 Merrill Lynch Mortgage Trust 4.556% 6/12/43 3,899 3,983
3,5 Merrill Lynch Mortgage Trust 5.916% 6/12/50 37,543 38,610
5 Merrill Lynch Mortgage Trust 5.425% 2/12/51 3,700 3,823
5 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.282% 8/12/48 20,362 20,740
5 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.693% 6/12/50 7,469 7,653
5 Merrill Lynch/Countrywide Commercial        
  Mortgage Trust 5.331% 3/12/51 19,865 20,300
5,6 MMAF Equipment Finance LLC 3.510% 1/15/30 26,000 27,074
3,5 Morgan Stanley Capital I 5.794% 6/11/42 81,050 83,231
5,6 Morgan Stanley Capital I 4.700% 9/15/47 10,430 10,809
3,5,6Morgan Stanley Capital I 5.442% 9/15/47 14,310 14,537
5 Morgan Stanley Capital I 5.090% 10/12/52 8,005 8,316
3,5 Morgan Stanley Mortgage Loan Trust 3.150% 6/25/36 23,201 20,247
3,5 National City Credit Card Master Trust 0.269% 3/17/14 24,825 24,725
5,6 Navistar Financial Corp. Owner Trust 1.990% 1/21/14 76,500 77,217
3,5,6Navistar Financial Dealer Note Master Trust 1.669% 10/26/15 23,900 24,129
5 Nissan Auto Lease Trust 1.270% 10/15/16 22,600 22,582
3,5,6Nissan Master Owner Trust Receivables 1.369% 1/15/15 116,600 117,806
3,5,6Nordstrom Private Label Credit Card Master        
  Note Trust 0.279% 5/15/15 113,210 112,892
3,5 North Carolina Education Assistance        
  Authority Student Loan Revenue 1.209% 1/26/26 37,100 36,832
3,5,6Permanent Master Issuer PLC 1.428% 7/15/42 96,840 96,790
3,5,6Permanent Master Issuer PLC 1.669% 7/15/42 95,650 95,650
3,5 Residential Funding Mortgage Securities I 5.167% 8/25/36 36,760 26,847
3,5 Residential Funding Mortgage Securities I 5.940% 9/25/36 15,343 11,756
3,5,6Silverstone Master Issuer PLC 1.774% 1/21/55 97,950 99,027
3,5,6SLM Student Loan Trust 1.213% 10/15/24 25,900 25,926
3,5 SLM Student Loan Trust 0.394% 1/27/25 72,687 69,790
3,5 SLM Student Loan Trust 0.374% 4/25/25 103,550 101,181
3,5 SLM Student Loan Trust 0.374% 10/25/25 51,758 49,379
3,5 SLM Student Loan Trust 0.384% 10/27/25 36,300 34,910
3,5 SLM Student Loan Trust 0.364% 1/26/26 66,950 63,550
3,5 SLM Student Loan Trust 0.384% 1/25/27 24,500 23,304
5,6 SLM Student Loan Trust 4.370% 4/17/28 12,200 12,199
3,5,6SMART Trust/Australia 1.071% 10/14/14 13,880 13,880
5,6 SMART Trust/Australia 1.770% 10/14/14 41,800 41,920
3,5,6SMART Trust/Australia 1.721% 12/14/15 52,200 52,958
5,6 SMART Trust/Australia 2.520% 11/14/16 42,300 42,631
3,5 South Carolina Student Loan Corp. 1.274% 7/25/25 51,900 52,049
5,6 Tidewater Auto Receivables Trust 5.920% 5/15/17 12,134 12,241
5 Volkswagen Auto Lease Trust 0.990% 11/20/13 30,000 30,024
5 Volkswagen Auto Lease Trust 1.180% 10/20/15 12,600 12,575
5 Volkswagen Auto Loan Enhanced Trust 2.140% 8/22/16 31,930 32,615

 

 

5,6 Volvo Financial Equipment LLC 2.990% 5/15/17 18,820 19,042
3,5 Wachovia Bank Commercial Mortgage Trust 5.765% 7/15/45 10,080 11,055
5 Wachovia Bank Commercial Mortgage Trust 5.569% 5/15/46 29,100 29,966
5 Wachovia Bank Commercial Mortgage Trust 5.572% 10/15/48 46,760 50,784
5 Wachovia Bank Commercial Mortgage Trust 5.275% 11/15/48 16,490 16,721
3,5 WaMu Mortgage Pass Through Certificates 2.521% 1/25/33 445 395
3,5 WaMu Mortgage Pass Through Certificates 2.672% 8/25/33 3,268 3,169
3,5 WaMu Mortgage Pass Through Certificates 2.715% 9/25/33 4,471 4,231
3,5 Wells Fargo Mortgage Backed Securities        
  Trust 5.368% 10/25/36 39,935 33,293
5,6 WF-RBS Commercial Mortgage Trust 4.498% 2/15/44 5,225 5,415
5,6 WF-RBS Commercial Mortgage Trust 5.392% 2/15/44 8,600 8,756
5 World Omni Auto Receivables Trust 5.120% 5/15/14 16,410 17,254
5 World Omni Automobile Lease Securitization        
  Trust 1.490% 10/15/14 52,700 52,696
5 World Omni Automobile Lease Securitization        
  Trust 1.780% 9/15/16 31,000 30,996
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $7,966,321)   8,029,818
Corporate Bonds (64.7%)        
Finance (31.4%)        
  Banking (21.7%)        
  Abbey National Treasury Services        
  PLC/London 2.875% 4/25/14 74,140 74,620
6 Abbey National Treasury Services        
  PLC/London 3.875% 11/10/14 27,475 28,117
6 ADCB Finance Cayman Ltd. 4.750% 10/8/14 5,000 5,140
  American Express Bank FSB 5.550% 10/17/12 40,912 43,389
  American Express Bank FSB 5.500% 4/16/13 71,035 76,237
  American Express Centurion Bank 5.550% 10/17/12 21,161 22,458
  American Express Co. 5.250% 9/12/11 8,300 8,436
  American Express Co. 4.875% 7/15/13 4,805 5,140
  American Express Credit Corp. 5.875% 5/2/13 9,360 10,137
  American Express Credit Corp. 7.300% 8/20/13 86,520 97,129
  American Express Credit Corp. 2.750% 9/15/15 13,400 13,355
6 ANZ National International Ltd./New        
  Zealand 6.200% 7/19/13 18,175 19,871
  Astoria Financial Corp. 5.750% 10/15/12 11,850 12,210
6 Australia & New Zealand Banking Group        
  Ltd. 3.250% 3/1/16 34,200 34,404
3,5,6 Banco Mercantil del Norte SA 6.135% 10/13/16 25,450 25,514
3,6 Banco Santander Chile 1.524% 4/20/12 45,000 44,774
6 Banco Santander Chile 2.875% 11/13/12 75,175 75,455
6 BanColombia SA 4.250% 1/12/16 7,820 7,828
  Bank of America Corp. 4.875% 1/15/13 11,922 12,534
  Bank of America Corp. 7.375% 5/15/14 39,441 44,935
  Bank of America Corp. 5.375% 6/15/14 14,700 15,941
  Bank of America Corp. 4.500% 4/1/15 17,230 18,123
  Bank of America Corp. 3.700% 9/1/15 48,875 49,870
  Bank of America Corp. 3.625% 3/17/16 19,525 19,605
  Bank of New York Mellon Corp. 6.375% 4/1/12 3,705 3,901
  Bank of New York Mellon Corp. 4.950% 11/1/12 62,947 66,864
  Bank of New York Mellon Corp. 4.500% 4/1/13 47,640 50,805
  Bank of New York Mellon Corp. 5.125% 8/27/13 8,366 9,108
  Bank of New York Mellon Corp. 4.300% 5/15/14 9,750 10,535
  Bank of New York Mellon Corp. 4.950% 3/15/15 32,675 35,565
  Bank of Nova Scotia 2.250% 1/22/13 163,800 167,621
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.600% 1/22/13 111,655 113,867

 

 

6 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.600% 9/11/13 66,700 66,395
  Bank One Corp. 5.250% 1/30/13 28,615 30,415
  Barclays Bank plc 2.500% 1/23/13 233,215 238,008
  Barclays Bank plc 5.200% 7/10/14 72,035 78,415
  BB&T Corp. 3.100% 7/28/11 4,875 4,905
  BB&T Corp. 6.500% 8/1/11 30,200 30,628
  BB&T Corp. 3.850% 7/27/12 90,000 93,086
  BB&T Corp. 3.375% 9/25/13 23,450 24,503
  BB&T Corp. 5.700% 4/30/14 51,400 56,942
  Bear Stearns Cos. LLC 5.700% 11/15/14 44,615 49,350
  BNP Paribas 3.250% 3/11/15 102,300 104,714
6 BNP Paribas 4.800% 6/24/15 13,800 14,457
6 BNP Paribas / BNP Paribas US Medium-        
  Term Note Program LLC 5.125% 1/15/15 4,880 5,182
6 BPCE SA 2.375% 10/4/13 22,425 22,403
3,6 BTMU Curacao Holdings NV 0.629% 12/19/16 36,725 36,322
  Canadian Imperial Bank of        
  Commerce/Canada 2.350% 12/11/15 39,050 38,342
  Capital One Bank USA NA 6.500% 6/13/13 4,675 5,130
  Capital One Financial Corp. 4.800% 2/21/12 29,250 30,173
  Capital One Financial Corp. 6.250% 11/15/13 4,720 5,217
  Capital One Financial Corp. 7.375% 5/23/14 38,472 44,693
  Citigroup Inc. 5.100% 9/29/11 8,000 8,142
  Citigroup Inc. 5.625% 8/27/12 65,600 68,941
  Citigroup Inc. 5.300% 10/17/12 82,277 86,817
  Citigroup Inc. 5.500% 4/11/13 60,018 64,263
  Citigroup Inc. 6.500% 8/19/13 100,265 110,159
  Citigroup Inc. 6.000% 12/13/13 52,600 57,543
  Citigroup Inc. 6.375% 8/12/14 28,630 31,933
  Citigroup Inc. 6.010% 1/15/15 22,050 24,382
  Citigroup Inc. 4.750% 5/19/15 4,890 5,196
  Citigroup Inc. 4.587% 12/15/15 13,825 14,585
3,5,6,7 Colonial BancGroup Inc. 7.114% 2/15/49 25,100 570
6 Commonwealth Bank of Australia 5.000% 11/6/12 19,600 20,679
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA/Netherlands 1.850% 1/10/14 24,445 24,613
6 Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA/Netherlands 4.200% 5/13/14 47,225 50,522
  Countrywide Financial Corp. 5.800% 6/7/12 6,800 7,144
  Credit Suisse New York 5.000% 5/15/13 200,023 214,025
  Credit Suisse New York 2.200% 1/14/14 65,400 66,161
  Credit Suisse New York 5.500% 5/1/14 195,360 215,613
  Credit Suisse New York 3.500% 3/23/15 34,200 35,370
  Credit Suisse USA Inc. 6.125% 11/15/11 40,835 41,939
  Credit Suisse USA Inc. 5.500% 8/15/13 9,750 10,617
  Deutsche Bank AG/London 5.375% 10/12/12 99,445 105,605
  Deutsche Bank AG/London 2.375% 1/11/13 343,225 350,824
  Deutsche Bank AG/London 4.875% 5/20/13 75,611 80,765
  Deutsche Bank AG/London 3.450% 3/30/15 48,700 50,358
  Fifth Third Bancorp 6.250% 5/1/13 27,127 29,469
  Fifth Third Bancorp 3.625% 1/25/16 37,000 37,551
3,5 Fifth Third Capital Trust IV 6.500% 4/15/67 4,880 4,807
  First Horizon National Corp. 5.375% 12/15/15 14,600 15,544
  Golden West Financial Corp. 4.750% 10/1/12 17,700 18,601
3,5 Goldman Sachs Capital II 5.793% 12/29/49 4,900 4,232
  Goldman Sachs Group Inc. 4.750% 7/15/13 30,428 32,354
  Goldman Sachs Group Inc. 5.250% 10/15/13 22,790 24,592
  Goldman Sachs Group Inc. 5.150% 1/15/14 31,100 33,601

 

 

  Goldman Sachs Group Inc. 6.000% 5/1/14 71,092 78,616
  Goldman Sachs Group Inc. 5.000% 10/1/14 4,450 4,816
  Goldman Sachs Group Inc. 3.700% 8/1/15 61,650 63,202
  Goldman Sachs Group Inc. 3.625% 2/7/16 67,600 68,226
  Goldman Sachs Group Inc. 5.625% 1/15/17 5,870 6,285
  Goldman Sachs Group Inc. 6.150% 4/1/18 20,000 22,117
6 HSBC Bank plc 1.625% 8/12/13 68,250 68,398
6 HSBC Bank plc 3.500% 6/28/15 19,500 20,045
6 ICICI Bank Ltd. 5.750% 1/12/12 9,125 9,376
6 ING Bank NV 2.000% 10/18/13 75,700 75,381
6 Intesa Sanpaolo SPA 3.625% 8/12/15 19,600 19,494
  Intesa Sanpaolo SpA/New York NY 2.375% 12/21/12 90,350 90,812
  JPMorgan Chase & Co. 5.600% 6/1/11 14,600 14,653
  JPMorgan Chase & Co. 5.375% 10/1/12 35,474 37,625
  JPMorgan Chase & Co. 5.750% 1/2/13 67,518 72,221
  JPMorgan Chase & Co. 4.750% 5/1/13 147,341 156,921
  JPMorgan Chase & Co. 2.050% 1/24/14 29,300 29,457
  JPMorgan Chase & Co. 4.875% 3/15/14 34,090 36,540
  JPMorgan Chase & Co. 4.650% 6/1/14 13,128 14,174
  JPMorgan Chase & Co. 5.125% 9/15/14 19,500 21,097
  JPMorgan Chase & Co. 3.700% 1/20/15 67,227 69,991
  JPMorgan Chase & Co. 3.400% 6/24/15 78,805 80,789
3 JPMorgan Chase & Co. 1.501% 9/1/15 10,570 10,530
  JPMorgan Chase & Co. 2.600% 1/15/16 54,047 52,799
  KeyCorp 6.500% 5/14/13 87,625 95,684
  KeyCorp 3.750% 8/13/15 9,750 10,009
3,6,8 Lloyds Banking Group plc 0.000% 11/29/49 8,455 6,922
  Lloyds TSB Bank plc 4.875% 1/21/16 66,550 69,778
3 Manufacturers & Traders Trust Co. 1.805% 4/1/13 18,050 18,017
3,5 Mellon Capital IV 6.244% 6/29/49 16,225 14,988
3 Merrill Lynch & Co. Inc. 0.539% 6/5/12 25,000 24,894
  Merrill Lynch & Co. Inc. 5.450% 2/5/13 126,565 134,503
  Merrill Lynch & Co. Inc. 6.150% 4/25/13 43,175 46,753
  Merrill Lynch & Co. Inc. 5.000% 2/3/14 20,670 22,165
3 Morgan Stanley 1.253% 4/29/13 88,900 88,886
  Morgan Stanley 2.875% 1/24/14 40,000 40,531
  Morgan Stanley 4.750% 4/1/14 50,000 52,507
  Morgan Stanley 6.000% 5/13/14 90,624 99,012
  Morgan Stanley 4.200% 11/20/14 47,000 48,903
  Morgan Stanley 6.000% 4/28/15 24,650 27,094
  Morgan Stanley 4.000% 7/24/15 16,450 16,899
  Morgan Stanley 3.450% 11/2/15 25,772 25,738
  Morgan Stanley 3.800% 4/29/16 28,200 28,312
  National City Bank of Pennsylvania 7.250% 10/21/11 6,228 6,415
  National City Bank/Cleveland OH 6.200% 12/15/11 16,300 16,837
  National City Bank/Cleveland OH 4.625% 5/1/13 4,170 4,416
  North Fork Bancorporation Inc. 5.875% 8/15/12 8,070 8,479
  PNC Funding Corp. 5.400% 6/10/14 6,820 7,540
  PNC Funding Corp. 3.625% 2/8/15 34,200 35,695
3,5,9 RBS Capital Trust IV 8.875% 0/0/0 10,700 6,928
  Royal Bank of Canada 1.125% 1/15/14 46,675 46,498
  Royal Bank of Canada 2.875% 4/19/16 73,300 73,887
  Royal Bank of Scotland Group plc 5.000% 11/12/13 24,400 24,823
  Royal Bank of Scotland Group plc 5.000% 10/1/14 6,300 6,385
  Royal Bank of Scotland Group plc 5.050% 1/8/15 8,123 8,223
  Royal Bank of Scotland plc 3.400% 8/23/13 86,575 89,056
  Royal Bank of Scotland plc 3.250% 1/11/14 20,500 20,941
6 Royal Bank of Scotland plc 4.875% 8/25/14 135,652 142,957

 

 

  Royal Bank of Scotland plc 3.950% 9/21/15 15,850 16,123
  Santander Holdings USA Inc. 4.625% 4/19/16 8,600 8,831
6 Santander US Debt SA Unipersonal 2.991% 10/7/13 62,300 62,645
6 Societe Generale 2.200% 9/14/13 36,045 36,130
6 Societe Generale 2.500% 1/15/14 71,070 71,591
3 State Street Corp. 0.373% 4/30/12 5,000 4,995
6 Sumitomo Mitsui Banking Corp. 2.150% 7/22/13 53,595 54,097
  SunTrust Banks Inc. 3.600% 4/15/16 25,200 25,528
  UBS AG/Stamford CT 2.750% 1/8/13 40,284 40,982
  UBS AG/Stamford CT 2.250% 8/12/13 93,275 94,669
  UBS AG/Stamford CT 2.250% 1/28/14 83,100 83,875
  UBS AG/Stamford CT 3.875% 1/15/15 38,603 40,352
3,6 Unicredit Luxembourg Finance SA 0.623% 1/13/17 51,600 47,760
  UnionBanCal Corp. 5.250% 12/16/13 10,996 11,792
  US Bancorp 2.125% 2/15/13 54,600 55,674
  US Bancorp 1.125% 10/30/13 46,300 46,106
  US Bancorp 2.450% 7/27/15 34,100 34,125
  US Bank NA/Cincinnati OH 6.300% 2/4/14 37,150 41,458
3 US Bank NA/Cincinnati OH 0.561% 10/14/14 92,000 90,989
  Wachovia Bank NA 4.800% 11/1/14 18,250 19,602
  Wachovia Bank NA 4.875% 2/1/15 4,000 4,291
  Wachovia Bank NA 5.000% 8/15/15 9,750 10,438
  Wachovia Corp. 5.500% 5/1/13 177,727 192,073
7 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.550% 6/16/10 8,965 3,272
7 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 6.875% 6/15/11 21,983 22
  Washington Mutual Finance Corp. 6.875% 5/15/11 5,975 5,986
  Wells Fargo & Co. 4.375% 1/31/13 89,385 94,206
  Wells Fargo & Co. 3.750% 10/1/14 39,965 42,193
  Wells Fargo & Co. 3.625% 4/15/15 29,300 30,601
3 Wells Fargo & Co. 3.676% 6/15/16 33,650 34,526
3,5 Wells Fargo Capital XIII 7.700% 12/29/49 104,495 108,152
3,5 Wells Fargo Capital XV 9.750% 12/29/49 40,376 44,464
  Wells Fargo Financial Inc. 5.500% 8/1/12 5,650 5,972
  Westpac Banking Corp. 2.250% 11/19/12 58,131 59,297
  Westpac Banking Corp. 2.100% 8/2/13 66,500 67,469
  Westpac Banking Corp. 1.850% 12/9/13 52,240 52,814
  Westpac Banking Corp. 4.200% 2/27/15 46,575 49,295
  Westpac Banking Corp. 3.000% 8/4/15 14,650 14,777
6 Westpac Securities NZ Ltd. 2.625% 1/28/13 80,000 81,565
 
  Brokerage (0.6%)        
  BlackRock Inc. 3.500% 12/10/14 28,120 29,610
6 Blackstone Holdings Finance Co. LLC 6.625% 8/15/19 5,675 6,060
6 Cantor Fitzgerald LP 6.375% 6/26/15 14,000 14,389
  Charles Schwab Corp. 4.950% 6/1/14 24,740 27,141
  Franklin Resources Inc. 2.000% 5/20/13 17,700 17,993
  Jefferies Group Inc. 5.875% 6/8/14 6,950 7,543
  Jefferies Group Inc. 3.875% 11/9/15 30,200 30,566
  Jefferies Group Inc. 5.125% 4/13/18 36,150 36,283
3,7 Lehman Brothers Holdings E-Capital Trust I 2.998% 8/19/65 9,410 1
3,7 Lehman Brothers Holdings Inc. 2.911% 8/21/09 24,450 6,112
3,7 Lehman Brothers Holdings Inc. 2.907% 11/16/09 38,620 9,752
7 Lehman Brothers Holdings Inc. 5.625% 1/24/13 9,200 2,381
  TD Ameritrade Holding Corp. 2.950% 12/1/12 46,825 47,916

 

 

  Finance Companies (2.9%)        
  General Electric Capital Corp. 6.000% 6/15/12 7,670 8,126
  General Electric Capital Corp. 3.500% 8/13/12 8,810 9,111
  General Electric Capital Corp. 5.250% 10/19/12 117,555 124,899
  General Electric Capital Corp. 2.800% 1/8/13 32,285 33,143
  General Electric Capital Corp. 5.450% 1/15/13 38,100 40,760
  General Electric Capital Corp. 4.800% 5/1/13 90,480 96,507
  General Electric Capital Corp. 1.875% 9/16/13 36,075 36,316
  General Electric Capital Corp. 2.100% 1/7/14 57,590 58,166
  General Electric Capital Corp. 5.900% 5/13/14 29,900 33,355
  General Electric Capital Corp. 5.500% 6/4/14 14,550 15,997
  General Electric Capital Corp. 4.750% 9/15/14 10,000 10,833
  General Electric Capital Corp. 3.750% 11/14/14 16,495 17,348
  General Electric Capital Corp. 2.250% 11/9/15 9,300 9,107
3,5 General Electric Capital Corp. 6.375% 11/15/67 14,450 14,920
3,5 HSBC Finance Capital Trust IX 5.911% 11/30/35 13,200 12,870
  HSBC Finance Corp. 6.750% 5/15/11 87,425 87,590
  HSBC Finance Corp. 5.700% 6/1/11 58,650 58,874
  HSBC Finance Corp. 6.375% 10/15/11 101,295 103,881
  HSBC Finance Corp. 7.000% 5/15/12 45,350 48,168
  HSBC Finance Corp. 5.900% 6/19/12 95,578 100,717
3 HSBC Finance Corp. 0.659% 9/14/12 7,800 7,768
  HSBC Finance Corp. 6.375% 11/27/12 53,347 57,414
  HSBC Finance Corp. 5.250% 1/15/14 39,403 42,567
  HSBC Finance Corp. 5.000% 6/30/15 10,750 11,679
3 HSBC Finance Corp. 0.740% 6/1/16 16,250 15,583
  International Lease Finance Corp. 5.750% 6/15/11 19,275 19,333
  SLM Corp. 6.250% 1/25/16 35,041 37,175
  Springleaf Finance Corp. 5.200% 12/15/11 12,700 12,700
6 USAA Capital Corp. 3.500% 7/17/14 9,600 10,116
 
  Insurance (5.2%)        
  ACE INA Holdings Inc. 5.875% 6/15/14 14,690 16,429
  Aetna Inc. 5.750% 6/15/11 26,652 26,812
6 AIG SunAmerica Global Financing VI 6.300% 5/10/11 16,625 16,639
  Allied World Assurance Co. Holdings Ltd. 7.500% 8/1/16 7,142 8,119
  Allstate Corp. 6.125% 2/15/12 13,750 14,345
  Allstate Corp. 6.200% 5/16/14 12,700 14,440
  Allstate Corp. 5.000% 8/15/14 400 441
  Allstate Life Global Funding Trusts 5.375% 4/30/13 32,100 34,741
3 American International Group Inc. 4.250% 5/15/13 26,110 27,179
  American International Group Inc. 3.650% 1/15/14 26,975 27,652
  American International Group Inc. 5.050% 10/1/15 39,550 41,209
6 ASIF Global Financing XIX 4.900% 1/17/13 38,132 39,896
  Axis Capital Holdings Ltd. 5.750% 12/1/14 38,900 42,394
  Berkshire Hathaway Finance Corp. 4.000% 4/15/12 13,400 13,852
  Berkshire Hathaway Finance Corp. 4.500% 1/15/13 28,745 30,470
  Berkshire Hathaway Finance Corp. 4.600% 5/15/13 64,625 69,253
  Berkshire Hathaway Finance Corp. 5.000% 8/15/13 6,650 7,212
  Berkshire Hathaway Finance Corp. 1.500% 1/10/14 22,900 23,070
  Berkshire Hathaway Finance Corp. 5.100% 7/15/14 13,900 15,379
  Berkshire Hathaway Finance Corp. 2.450% 12/15/15 34,575 34,813
  Berkshire Hathaway Inc. 2.125% 2/11/13 152,600 156,207
  Chubb Corp. 5.200% 4/1/13 2,067 2,221
3,5 Chubb Corp. 6.375% 3/29/67 5,860 6,291
  CNA Financial Corp. 5.850% 12/15/14 28,660 31,162
  CNA Financial Corp. 6.500% 8/15/16 7,825 8,735
  Coventry Health Care Inc. 5.875% 1/15/12 18,875 19,444

 

 

  Hartford Financial Services Group Inc. 4.000% 3/30/15 8,400 8,644
3,5 ING Groep NV 5.775% 12/8/49 4,970 4,641
6 Jackson National Life Global Funding 5.375% 5/8/13 44,193 47,539
  Lincoln National Corp. 5.650% 8/27/12 20,075 21,209
3,5 Lincoln National Corp. 6.050% 4/20/67 8,340 8,215
  Manulife Financial Corp. 3.400% 9/17/15 14,620 14,943
  Marsh & McLennan Cos. Inc. 6.250% 3/15/12 11,770 12,275
  Marsh & McLennan Cos. Inc. 5.375% 7/15/14 17,268 18,674
  Marsh & McLennan Cos. Inc. 5.750% 9/15/15 14,300 15,724
3,6 MassMutual Global Funding II 0.470% 12/6/13 14,950 14,915
6 MassMutual Global Funding II 3.125% 4/14/16 26,850 27,273
  MetLife Inc. 2.375% 2/6/14 58,500 59,293
6 Metropolitan Life Global Funding I 2.875% 9/17/12 97,575 99,872
6 Metropolitan Life Global Funding I 2.500% 1/11/13 35,500 36,186
6 Metropolitan Life Global Funding I 5.125% 4/10/13 64,787 69,198
6 Metropolitan Life Global Funding I 5.125% 6/10/14 12,615 13,755
3,6 Monumental Global Funding III 0.444% 1/25/13 8,525 8,432
3,6 Monumental Global Funding III 0.478% 1/15/14 14,650 14,335
6 Monumental Global Funding III 5.250% 1/15/14 12,710 13,644
6 Monumental Global Funding Ltd. 5.500% 4/22/13 1,200 1,296
6 New York Life Global Funding 4.650% 5/9/13 5,400 5,771
6 New York Life Global Funding 5.375% 9/15/13 10,660 11,645
6 New York Life Global Funding 3.000% 5/4/15 20,560 21,106
6 Pacific Life Global Funding 5.150% 4/15/13 6,150 6,570
6 Pricoa Global Funding I 5.625% 5/24/11 1,125 1,128
6 Pricoa Global Funding I 4.625% 6/25/12 7,580 7,867
6 Pricoa Global Funding I 5.400% 10/18/12 17,330 18,401
6 Pricoa Global Funding I 5.450% 6/11/14 50,000 54,929
  Principal Financial Group Inc. 7.875% 5/15/14 23,450 27,183
6 Principal Life Global Funding I 6.250% 2/15/12 36,155 37,681
6 Principal Life Global Funding I 5.250% 1/15/13 2,425 2,584
6 Principal Life Global Funding I 5.125% 10/15/13 34,280 37,093
6 Principal Life Global Funding I 5.050% 3/15/15 7,750 8,243
  Principal Life Income Funding Trusts 5.300% 12/14/12 1,500 1,593
  Principal Life Income Funding Trusts 5.300% 4/24/13 11,000 11,868
  Protective Life Corp. 4.300% 6/1/13 8,540 8,825
  Prudential Financial Inc. 5.800% 6/15/12 31,100 32,700
  Prudential Financial Inc. 3.625% 9/17/12 29,275 30,205
  Prudential Financial Inc. 2.750% 1/14/13 48,500 49,496
  Prudential Financial Inc. 5.100% 9/20/14 9,350 10,158
  Prudential Financial Inc. 6.200% 1/15/15 4,890 5,437
6 TIAA Global Markets Inc. 4.950% 7/15/13 5,800 6,252
  Transatlantic Holdings Inc. 5.750% 12/14/15 33,950 36,014
  Travelers Cos. Inc. 5.375% 6/15/12 18,258 19,156
  Travelers Property Casualty Corp. 5.000% 3/15/13 27,640 29,609
  UnitedHealth Group Inc. 5.500% 11/15/12 20,125 21,488
  UnitedHealth Group Inc. 4.875% 2/15/13 37,455 39,785
  UnitedHealth Group Inc. 4.875% 4/1/13 34,844 37,097
  UnitedHealth Group Inc. 4.750% 2/10/14 3,215 3,468
  UnitedHealth Group Inc. 5.000% 8/15/14 11,035 12,051
  WellPoint Health Networks Inc. 6.375% 1/15/12 9,550 9,932
  WellPoint Inc. 6.800% 8/1/12 31,358 33,585
  WellPoint Inc. 6.000% 2/15/14 41,400 45,989
  WellPoint Inc. 5.000% 12/15/14 12,700 13,897
  Willis North America Inc. 5.625% 7/15/15 38,459 41,262
  XL Capital Finance Europe plc 6.500% 1/15/12 32,275 33,398
  XL Group plc 5.250% 9/15/14 22,140 23,782

 

 

3,5,6ZFS Finance USA Trust IV 5.875% 5/9/62 4,270 4,323
 
  Real Estate Investment Trusts (1.0%)        
  Arden Realty LP 5.200% 9/1/11 7,700 7,811
  Boston Properties LP 6.250% 1/15/13 2,693 2,913
  Brandywine Operating Partnership LP 5.750% 4/1/12 4,779 4,955
  Brandywine Operating Partnership LP 5.400% 11/1/14 4,850 5,148
  Developers Diversified Realty Corp. 5.375% 10/15/12 26,100 27,046
  Developers Diversified Realty Corp. 5.500% 5/1/15 20,772 21,966
  Digital Realty Trust LP 4.500% 7/15/15 50,080 51,954
  Duke Realty LP 4.625% 5/15/13 9,725 10,235
  Duke Realty LP 6.250% 5/15/13 10,076 10,929
  HCP Inc. 2.700% 2/1/14 14,550 14,724
  HCP Inc. 3.750% 2/1/16 14,550 14,834
  Healthcare Realty Trust Inc. 5.125% 4/1/14 13,100 13,919
  Hospitality Properties Trust 7.875% 8/15/14 8,350 9,412
  Kilroy Realty LP 5.000% 11/3/15 14,550 15,130
  Kimco Realty Corp. 4.820% 8/15/11 14,035 14,189
  Liberty Property LP 6.375% 8/15/12 19,020 20,184
  Senior Housing Properties Trust 4.300% 1/15/16 9,700 9,712
  Simon Property Group LP 6.750% 5/15/14 2,760 3,121
  Ventas Realty LP / Ventas Capital Corp. 3.125% 11/30/15 17,575 17,444
6 WCI Finance LLC / WEA Finance LLC 5.400% 10/1/12 43,645 46,079
6 WEA Finance LLC / WT Finance Aust Pty Ltd. 7.500% 6/2/14 23,125 26,487
6 WEA Finance LLC / WT Finance Aust Pty Ltd. 5.750% 9/2/15 29,950 33,163
          12,225,426
Industrial (28.2%)        
  Basic Industry (2.0%)        
  Air Products & Chemicals Inc. 4.150% 2/1/13 12,300 12,863
  Alcoa Inc. 6.000% 7/15/13 66,800 73,505
6 Anglo American Capital plc 2.150% 9/27/13 34,150 34,405
6 Anglo American Capital plc 9.375% 4/8/14 11,225 13,543
  ArcelorMittal 5.375% 6/1/13 83,000 88,561
  ArcelorMittal 9.000% 2/15/15 15,495 18,614
  ArcelorMittal 3.750% 8/5/15 21,233 21,751
  ArcelorMittal 3.750% 3/1/16 9,775 9,890
  ArcelorMittal USA Inc. 6.500% 4/15/14 14,775 16,334
  Barrick Gold Financeco LLC 6.125% 9/15/13 23,225 25,849
  BHP Billiton Finance USA Ltd. 5.125% 3/29/12 19,175 19,986
  BHP Billiton Finance USA Ltd. 4.800% 4/15/13 6,966 7,477
  BHP Billiton Finance USA Ltd. 5.500% 4/1/14 55,475 61,820
  Celulosa Arauco y Constitucion SA 5.125% 7/9/13 4,880 5,144
6 Chevron Phillips Chemical Co. LLC/LP 7.000% 6/15/14 7,800 8,816
  Dow Chemical Co. 4.850% 8/15/12 14,520 15,234
  Dow Chemical Co. 7.600% 5/15/14 22,855 26,609
  Dow Chemical Co. 5.900% 2/15/15 11,250 12,633
  Dow Chemical Co. 2.500% 2/15/16 19,500 19,118
  EI du Pont de Nemours & Co. 5.875% 1/15/14 208 231
  EI du Pont de Nemours & Co. 1.950% 1/15/16 29,260 28,689
6 Incitec Pivot Ltd. 4.000% 12/7/15 10,740 10,887
  International Paper Co. 5.300% 4/1/15 4,750 5,190
  International Paper Co. 7.950% 6/15/18 7,250 8,798
  Monsanto Co. 2.750% 4/15/16 10,060 10,190
3,6 Mosaic Co. 7.625% 12/1/16 9,200 9,913
  Praxair Inc. 1.750% 11/15/12 20,200 20,514
  Rio Tinto Finance USA Ltd. 8.950% 5/1/14 120,730 146,086
  Rio Tinto Finance USA Ltd. 1.875% 11/2/15 9,760 9,550

 

 

Rohm and Haas Co. 5.600% 3/15/13 20,310 21,863
 
Capital Goods (3.4%)        
Allied Waste North America Inc. 7.125% 5/15/16 4,750 4,916
Allied Waste North America Inc. 6.875% 6/1/17 9,125 9,923
6 BAE Systems Holdings Inc. 6.400% 12/15/11 9,500 9,777
Bemis Co. Inc. 5.650% 8/1/14 10,130 11,090
Boeing Capital Corp. 6.500% 2/15/12 26,021 27,254
Boeing Capital Corp. 5.800% 1/15/13 22,048 23,853
Boeing Co. 1.875% 11/20/12 34,575 35,232
Boeing Co. 3.500% 2/15/15 4,750 5,010
Case New Holland Inc. 7.750% 9/1/13 23,505 25,650
Caterpillar Financial Services Corp. 4.250% 2/8/13 33,195 35,177
Caterpillar Financial Services Corp. 2.000% 4/5/13 52,695 53,796
Caterpillar Financial Services Corp. 4.900% 8/15/13 16,495 17,841
Caterpillar Financial Services Corp. 6.200% 9/30/13 27,200 30,431
Caterpillar Financial Services Corp. 6.125% 2/17/14 64,020 72,410
Caterpillar Financial Services Corp. 1.650% 4/1/14 26,625 26,899
Caterpillar Financial Services Corp. 4.750% 2/17/15 11,900 13,077
Caterpillar Financial Services Corp. 2.750% 6/24/15 9,250 9,517
Caterpillar Financial Services Corp. 2.650% 4/1/16 19,550 19,817
Cooper US Inc. 5.250% 11/15/12 19,115 20,383
CRH America Inc. 5.625% 9/30/11 73,425 74,880
CRH America Inc. 5.300% 10/15/13 21,527 23,041
CRH America Inc. 4.125% 1/15/16 38,050 38,851
Eaton Corp. 5.750% 7/15/12 7,950 8,395
Eaton Corp. 5.950% 3/20/14 9,750 10,953
Emerson Electric Co. 5.625% 11/15/13 7,800 8,664
Emerson Electric Co. 4.125% 4/15/15 9,220 9,901
General Dynamics Corp. 4.250% 5/15/13 6,500 6,952
General Dynamics Corp. 5.250% 2/1/14 15,260 16,910
General Electric Co. 5.000% 2/1/13 227,615 243,182
Harsco Corp. 5.125% 9/15/13 8,000 8,666
Harsco Corp. 2.700% 10/15/15 37,250 37,092
Honeywell International Inc. 6.125% 11/1/11 8,013 8,249
Honeywell International Inc. 4.250% 3/1/13 4,250 4,519
Illinois Tool Works Inc. 5.150% 4/1/14 21,175 23,464
Ingersoll-Rand Global Holding Co. Ltd. 6.000% 8/15/13 28,020 30,924
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 39,578 47,731
John Deere Capital Corp. 7.000% 3/15/12 45,448 48,025
John Deere Capital Corp. 5.250% 10/1/12 59,340 63,093
John Deere Capital Corp. 1.875% 6/17/13 30,850 31,423
John Deere Capital Corp. 4.900% 9/9/13 25,147 27,344
John Deere Capital Corp. 2.950% 3/9/15 52,450 54,520
L-3 Communications Corp. 6.375% 10/15/15 2,100 2,163
Lafarge SA 6.150% 7/15/11 1,850 1,869
Mohawk Industries Inc. 7.200% 4/15/12 18,695 19,644
Tyco International Finance SA 6.000% 11/15/13 8,750 9,697
Tyco International Finance SA 4.125% 10/15/14 3,350 3,578
Tyco International Finance SA 8.500% 1/15/19 10,600 13,500
 
Communication (6.8%)        
America Movil SAB de CV 5.500% 3/1/14 11,166 12,255
America Movil SAB de CV 3.625% 3/30/15 26,375 27,461
American Tower Corp. 4.625% 4/1/15 6,875 7,211
3 AT&T Corp. 7.300% 11/15/11 55,836 57,844
AT&T Inc. 5.875% 2/1/12 16,100 16,710
AT&T Inc. 4.950% 1/15/13 45,735 48,745

 

 

AT&T Inc. 6.700% 11/15/13 79,928 90,110
AT&T Inc. 4.850% 2/15/14 27,271 29,678
AT&T Inc. 5.100% 9/15/14 41,097 45,332
AT&T Inc. 2.500% 8/15/15 4,750 4,763
AT&T Mobility LLC 6.500% 12/15/11 25,955 26,874
BellSouth Corp. 5.200% 9/15/14 32,150 35,401
British Telecommunications plc 5.150% 1/15/13 34,027 36,220
Cellco Partnership / Verizon Wireless Capital        
LLC 3.750% 5/20/11 141,027 141,243
Cellco Partnership / Verizon Wireless Capital        
LLC 7.375% 11/15/13 88,660 101,314
Cellco Partnership / Verizon Wireless Capital        
LLC 5.550% 2/1/14 185,155 204,159
CenturyLink Inc. 7.875% 8/15/12 18,250 19,640
CenturyLink Inc. 5.000% 2/15/15 4,750 5,012
Comcast Cable Communications Holdings        
Inc. 8.375% 3/15/13 26,714 30,053
Comcast Corp. 5.300% 1/15/14 26,309 28,819
Comcast Corp. 6.500% 1/15/15 28,344 32,343
COX Communications Inc. 7.125% 10/1/12 33,262 36,017
COX Communications Inc. 4.625% 6/1/13 4,405 4,691
COX Communications Inc. 5.450% 12/15/14 12,150 13,522
Deutsche Telekom International Finance BV 5.250% 7/22/13 9,100 9,869
Deutsche Telekom International Finance BV 5.875% 8/20/13 9,985 10,984
Deutsche Telekom International Finance BV 4.875% 7/8/14 3,265 3,560
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.375% 6/15/15 28,100 28,838
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.500% 3/1/16 14,500 14,724
Discovery Communications LLC 3.700% 6/1/15 9,750 10,169
Embarq Corp. 6.738% 6/1/13 20,675 22,578
Embarq Corp. 7.082% 6/1/16 5,200 5,870
France Telecom SA 4.375% 7/8/14 7,625 8,261
McGraw-Hill Cos. Inc. 5.375% 11/15/12 6,200 6,579
6 NBCUniversal Media LLC 2.100% 4/1/14 43,850 44,075
6 NBCUniversal Media LLC 3.650% 4/30/15 26,900 27,931
New Cingular Wireless Services Inc. 8.125% 5/1/12 83,025 89,074
6 Pearson plc 7.000% 6/15/11 55,450 55,820
Qwest Corp. 7.875% 9/1/11 18,450 18,819
3 Qwest Corp. 8.875% 3/15/12 29,055 30,798
Qwest Corp. 7.500% 10/1/14 4,875 5,533
Qwest Corp. 7.625% 6/15/15 13,092 15,023
Reed Elsevier Capital Inc. 7.750% 1/15/14 9,150 10,489
Rogers Communications Inc. 6.375% 3/1/14 24,002 27,097
RR Donnelley & Sons Co. 4.950% 4/1/14 9,041 9,426
RR Donnelley & Sons Co. 6.125% 1/15/17 4,750 4,949
Telecom Italia Capital SA 6.200% 7/18/11 9,700 9,808
Telecom Italia Capital SA 5.250% 11/15/13 64,055 68,319
Telecom Italia Capital SA 6.175% 6/18/14 16,117 17,597
Telecom Italia Capital SA 4.950% 9/30/14 31,551 33,237
Telefonica Emisiones SAU 5.984% 6/20/11 112,190 112,950
Telefonica Emisiones SAU 5.855% 2/4/13 66,648 71,309
Telefonica Emisiones SAU 2.582% 4/26/13 95,005 96,484
Telefonica Emisiones SAU 4.949% 1/15/15 12,055 12,923
Telefonica Emisiones SAU 3.992% 2/16/16 29,300 29,953
Telefonica Emisiones SAU 6.421% 6/20/16 4,875 5,506
Thomson Reuters Corp. 5.950% 7/15/13 50,874 56,077
Thomson Reuters Corp. 5.700% 10/1/14 22,400 25,131

 

 

  Time Warner Cable Inc. 5.400% 7/2/12 26,450 27,829
  Time Warner Cable Inc. 6.200% 7/1/13 21,080 23,215
  Time Warner Cable Inc. 8.250% 2/14/14 11,540 13,490
  Time Warner Cable Inc. 7.500% 4/1/14 22,545 26,019
  Time Warner Cable Inc. 3.500% 2/1/15 5,650 5,854
  Verizon Communications Inc. 4.350% 2/15/13 37,755 39,914
  Verizon Communications Inc. 5.250% 4/15/13 80,633 86,920
  Verizon Communications Inc. 1.950% 3/28/14 95,060 96,022
  Verizon Communications Inc. 4.900% 9/15/15 4,850 5,351
  Verizon Communications Inc. 5.550% 2/15/16 44,005 49,316
  Verizon Global Funding Corp. 6.875% 6/15/12 11,075 11,831
  Verizon Global Funding Corp. 7.375% 9/1/12 50,264 54,521
  Vodafone Group plc 5.500% 6/15/11 17,050 17,147
  Vodafone Group plc 4.150% 6/10/14 90,556 97,138
  WPP Finance UK 5.875% 6/15/14 14,011 15,513
  WPP Finance UK 8.000% 9/15/14 17,480 20,552
 
  Consumer Cyclical (3.1%)        
6 American Honda Finance Corp. 2.375% 3/18/13 29,300 29,838
6 American Honda Finance Corp. 4.625% 4/2/13 18,650 19,770
6 American Honda Finance Corp. 6.700% 10/1/13 19,400 21,666
  Best Buy Co. Inc. 6.750% 7/15/13 9,350 10,253
  CVS Caremark Corp. 5.750% 8/15/11 9,825 9,973
  CVS Caremark Corp. 3.250% 5/18/15 24,650 25,316
3,5 CVS Caremark Corp. 6.302% 6/1/37 16,400 16,253
  Daimler Finance North America LLC 7.300% 1/15/12 37,750 39,499
  Daimler Finance North America LLC 6.500% 11/15/13 25,856 28,926
  Darden Restaurants Inc. 5.625% 10/15/12 15,055 15,946
  eBay Inc. 1.625% 10/15/15 28,285 27,329
  Ford Motor Credit Co. LLC 7.000% 4/15/15 21,910 24,046
  Ford Motor Credit Co. LLC 5.625% 9/15/15 3,460 3,642
  Ford Motor Credit Co. LLC 5.000% 5/15/18 14,280 14,262
6 Harley-Davidson Funding Corp. 5.250% 12/15/12 32,820 34,357
6 Harley-Davidson Funding Corp. 5.750% 12/15/14 20,635 22,330
  Historic TW Inc. 9.125% 1/15/13 28,598 32,162
6 Hyundai Capital America 3.750% 4/6/16 4,160 4,136
  Hyundai Capital Services Inc. 5.625% 1/24/12 9,375 9,590
6 Hyundai Capital Services Inc. 4.375% 7/27/16 5,700 5,791
  JC Penney Corp. Inc. 9.000% 8/1/12 23,036 25,052
  K Hovnanian Enterprises Inc. 6.250% 1/15/16 7,710 5,590
  Macy's Retail Holdings Inc. 5.350% 3/15/12 20,092 20,494
  McDonald's Corp. 4.300% 3/1/13 13,325 14,194
6 Nissan Motor Acceptance Corp. 3.250% 1/30/13 38,040 38,929
  Nordstrom Inc. 6.750% 6/1/14 7,926 9,082
  PACCAR Financial Corp. 1.950% 12/17/12 32,950 33,544
3 PACCAR Financial Corp. 0.693% 4/5/13 50,535 50,781
6 RCI Banque SA 3.400% 4/11/14 22,490 22,761
6 RCI Banque SA 4.600% 4/12/16 11,720 11,884
  Staples Inc. 7.375% 10/1/12 22,580 24,445
  Target Corp. 5.125% 1/15/13 9,340 10,023
  Toll Brothers Finance Corp. 5.150% 5/15/15 16,010 16,507
  Toyota Motor Credit Corp. 1.900% 12/5/12 68,800 69,906
  Toyota Motor Credit Corp. 1.375% 8/12/13 23,140 23,216
6 Volkswagen International Finance NV 1.625% 8/12/13 19,525 19,646
6 Volkswagen International Finance NV 1.875% 4/1/14 59,600 59,696
6 Volvo Treasury AB 5.950% 4/1/15 32,370 35,725
  Wal-Mart Stores Inc. 4.250% 4/15/13 13,175 14,057
  Wal-Mart Stores Inc. 4.550% 5/1/13 2,600 2,792

 

 

Wal-Mart Stores Inc. 1.625% 4/15/14 18,640 18,810
Wal-Mart Stores Inc. 3.200% 5/15/14 50,000 52,787
Wal-Mart Stores Inc. 2.875% 4/1/15 4,230 4,376
Wal-Mart Stores Inc. 1.500% 10/25/15 60,400 58,679
Walgreen Co. 4.875% 8/1/13 60,850 66,095
Walt Disney Co. 6.375% 3/1/12 1,900 1,995
Walt Disney Co. 4.500% 12/15/13 50,163 54,589
Western Union Co. 6.500% 2/26/14 28,250 31,585
 
Consumer Noncyclical (6.0%)        
Abbott Laboratories 5.600% 5/15/11 6,070 6,080
Abbott Laboratories 5.150% 11/30/12 19,750 21,145
Abbott Laboratories 2.700% 5/27/15 19,525 20,085
Altria Group Inc. 8.500% 11/10/13 31,113 36,373
Altria Group Inc. 4.125% 9/11/15 38,477 40,581
AmerisourceBergen Corp. 5.625% 9/15/12 12,395 13,130
Anheuser-Busch Cos. Inc. 5.000% 1/15/15 3,480 3,811
Anheuser-Busch InBev Worldwide Inc. 3.000% 10/15/12 32,800 33,751
Anheuser-Busch InBev Worldwide Inc. 2.500% 3/26/13 97,500 100,001
Anheuser-Busch InBev Worldwide Inc. 7.200% 1/15/14 30,275 34,604
Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 28,675 31,853
Anheuser-Busch InBev Worldwide Inc. 4.125% 1/15/15 4,885 5,219
Anheuser-Busch InBev Worldwide Inc. 2.875% 2/15/16 33,440 33,757
AstraZeneca plc 5.400% 9/15/12 39,650 42,188
AstraZeneca plc 5.400% 6/1/14 1,330 1,482
Avon Products Inc. 5.625% 3/1/14 22,755 25,043
Baxter International Inc. 1.800% 3/15/13 6,820 6,930
Biogen Idec Inc. 6.000% 3/1/13 41,165 44,156
Boston Scientific Corp. 4.500% 1/15/15 34,100 35,837
Boston Scientific Corp. 6.400% 6/15/16 15,572 17,505
Bottling Group LLC 6.950% 3/15/14 10,283 11,896
Bunge Ltd. Finance Corp. 4.100% 3/15/16 21,670 22,215
Cardinal Health Inc. 5.500% 6/15/13 4,245 4,581
CareFusion Corp. 4.125% 8/1/12 4,660 4,823
CareFusion Corp. 5.125% 8/1/14 13,970 15,204
6 Cargill Inc. 6.375% 6/1/12 3,900 4,122
6 Cargill Inc. 5.200% 1/22/13 18,650 19,954
Celgene Corp. 2.450% 10/15/15 14,600 14,339
Church & Dwight Co. Inc. 3.350% 12/15/15 9,760 9,914
Clorox Co. 5.000% 3/1/13 2,750 2,921
6 Coca-Cola Amatil Ltd. 3.250% 11/2/14 6,560 6,782
Coca-Cola Co. 0.750% 11/15/13 19,950 19,817
Coca-Cola Co. 3.625% 3/15/14 19,635 20,921
Coca-Cola Co. 1.500% 11/15/15 38,775 37,690
Coca-Cola Refreshments USA Inc. 5.000% 8/15/13 20,400 22,202
Coca-Cola Refreshments USA Inc. 7.375% 3/3/14 14,575 16,975
Coca-Cola Refreshments USA Inc. 4.250% 3/1/15 4,500 4,869
Colgate-Palmolive Co. 1.250% 5/1/14 6,200 6,191
Covidien International Finance SA 5.450% 10/15/12 6,750 7,184
Covidien International Finance SA 1.875% 6/15/13 29,250 29,748
CR Bard Inc. 2.875% 1/15/16 22,350 22,737
Delhaize Group SA 5.875% 2/1/14 1,925 2,109
Diageo Capital plc 5.200% 1/30/13 6,315 6,772
Dr Pepper Snapple Group Inc. 2.350% 12/21/12 9,400 9,596
Express Scripts Inc. 5.250% 6/15/12 24,950 26,134
Express Scripts Inc. 6.250% 6/15/14 7,505 8,423
Express Scripts Inc. 3.125% 5/15/16 20,350 20,400
General Mills Inc. 5.650% 9/10/12 9,733 10,355

 

 

General Mills Inc. 5.250% 8/15/13 15,800 17,228
GlaxoSmithKline Capital Inc. 4.850% 5/15/13 95,400 102,810
HJ Heinz Co. 5.350% 7/15/13 7,175 7,816
Hormel Foods Corp. 6.625% 6/1/11 8,750 8,792
Hospira Inc. 5.900% 6/15/14 6,825 7,553
Kellogg Co. 5.125% 12/3/12 9,770 10,428
Kellogg Co. 4.250% 3/6/13 14,000 14,681
Koninklijke Philips Electronics NV 4.625% 3/11/13 13,925 14,776
Kraft Foods Inc. 5.625% 11/1/11 3,797 3,895
Kraft Foods Inc. 6.000% 2/11/13 27,339 29,590
Kraft Foods Inc. 2.625% 5/8/13 39,934 41,039
Kraft Foods Inc. 5.250% 10/1/13 24,308 26,469
Kraft Foods Inc. 6.750% 2/19/14 21,475 24,364
Kroger Co. 6.750% 4/15/12 13,975 14,778
Kroger Co. 6.200% 6/15/12 3,550 3,759
Kroger Co. 5.000% 4/15/13 31,915 34,193
Kroger Co. 7.500% 1/15/14 13,725 15,682
Life Technologies Corp. 4.400% 3/1/15 14,600 15,435
McKesson Corp. 5.250% 3/1/13 9,750 10,446
McKesson Corp. 6.500% 2/15/14 9,070 10,216
Mead Johnson Nutrition Co. 3.500% 11/1/14 14,000 14,603
Medco Health Solutions Inc. 6.125% 3/15/13 29,200 31,573
Medco Health Solutions Inc. 7.250% 8/15/13 21,105 23,704
Medtronic Inc. 4.500% 3/15/14 9,200 10,001
Medtronic Inc. 3.000% 3/15/15 9,645 9,998
Merck & Co. Inc. 1.875% 6/30/11 33,225 33,315
Novartis Capital Corp. 1.900% 4/24/13 131,480 134,233
Novartis Capital Corp. 4.125% 2/10/14 31,775 34,145
PepsiAmericas Inc. 5.625% 5/31/11 4,715 4,734
PepsiAmericas Inc. 4.375% 2/15/14 14,370 15,557
PepsiCo Inc./NC 4.650% 2/15/13 22,166 23,701
PepsiCo Inc./NC 0.875% 10/25/13 38,260 38,127
PepsiCo Inc./NC 3.750% 3/1/14 26,150 27,961
Pfizer Inc. 4.500% 2/15/14 5,500 5,976
Pfizer Inc. 5.350% 3/15/15 52,000 58,566
Philip Morris International Inc. 4.875% 5/16/13 36,600 39,419
Philip Morris International Inc. 6.875% 3/17/14 18,431 21,249
Procter & Gamble International Funding SCA 1.350% 8/26/11 19,325 19,394
Reynolds American Inc. 7.250% 6/1/13 7,800 8,677
Reynolds American Inc. 7.625% 6/1/16 3,050 3,637
6 Roche Holdings Inc. 5.000% 3/1/14 3,160 3,463
6 SABMiller plc 6.200% 7/1/11 27,465 27,693
Safeway Inc. 6.250% 3/15/14 9,650 10,746
Sanofi-Aventis SA 1.625% 3/28/14 36,470 36,736
St. Jude Medical Inc. 2.200% 9/15/13 48,750 49,667
St. Jude Medical Inc. 3.750% 7/15/14 18,575 19,676
Stryker Corp. 3.000% 1/15/15 13,600 14,111
Sysco Corp. 4.200% 2/12/13 9,255 9,778
Teva Pharmaceutical Finance II BV / Teva        
Pharmaceutical Finance III LLC 3.000% 6/15/15 10,235 10,425
Thermo Fisher Scientific Inc. 2.150% 12/28/12 18,750 19,109
Thermo Fisher Scientific Inc. 5.000% 6/1/15 6,730 7,419
Whirlpool Corp. 5.500% 3/1/13 37,511 39,937
6 WM Wrigley Jr Co. 2.450% 6/28/12 53,660 53,885
3 Wyeth 5.500% 3/15/13 66,330 72,012
Wyeth 5.500% 2/1/14 53,732 59,794

 

 

Energy (2.8%)        
Anadarko Petroleum Corp. 5.750% 6/15/14 29,998 33,073
Apache Corp. 5.250% 4/15/13 4,900 5,298
BP Capital Markets plc 5.250% 11/7/13 59,258 64,299
BP Capital Markets plc 3.625% 5/8/14 58,390 61,154
BP Capital Markets plc 3.875% 3/10/15 47,307 49,623
BP Capital Markets plc 3.125% 10/1/15 33,450 33,993
BP Capital Markets plc 3.200% 3/11/16 19,550 19,713
Burlington Resources Finance Co. 6.500% 12/1/11 1,865 1,923
Canadian Natural Resources Ltd. 6.700% 7/15/11 9,450 9,570
Canadian Natural Resources Ltd. 5.150% 2/1/13 14,020 14,970
Cenovus Energy Inc. 4.500% 9/15/14 18,650 20,180
Chevron Corp. 3.450% 3/3/12 54,125 55,554
ConocoPhillips 4.400% 5/15/13 13,725 14,687
ConocoPhillips 4.750% 2/1/14 74,298 81,057
ConocoPhillips 4.600% 1/15/15 6,830 7,498
ConocoPhillips Australia Funding Co. 5.500% 4/15/13 9,516 10,363
Devon Energy Corp. 5.625% 1/15/14 6,250 6,943
Devon Financing Corp. ULC 6.875% 9/30/11 21,780 22,335
Ensco plc 3.250% 3/15/16 38,325 38,614
EOG Resources Inc. 2.950% 6/1/15 14,600 14,937
6 GS Caltex Corp. 5.500% 10/15/15 8,300 8,914
Husky Energy Inc. 5.900% 6/15/14 16,115 17,978
6 Marathon Petroleum Corp. 3.500% 3/1/16 17,600 17,848
Noble Holding International Ltd. 3.450% 8/1/15 14,600 15,035
Occidental Petroleum Corp. 2.500% 2/1/16 34,250 34,353
Shell International Finance BV 1.875% 3/25/13 76,900 78,628
Shell International Finance BV 4.000% 3/21/14 138,195 148,312
Shell International Finance BV 3.100% 6/28/15 34,445 35,707
6 Statoil ASA 5.125% 4/30/14 9,750 10,759
Total Capital Canada Ltd. 1.625% 1/28/14 26,600 26,840
Total Capital SA 3.000% 6/24/15 11,325 11,667
Total Capital SA 3.125% 10/2/15 9,750 10,093
Transocean Inc. 5.250% 3/15/13 7,181 7,640
Transocean Inc. 4.950% 11/15/15 39,000 41,718
Valero Energy Corp. 6.875% 4/15/12 21,000 22,176
Valero Energy Corp. 4.750% 6/15/13 17,350 18,497
Valero Energy Corp. 4.500% 2/1/15 14,625 15,565
Weatherford International Ltd./Bermuda 5.150% 3/15/13 3,737 3,966
6 Woodside Finance Ltd. 8.125% 3/1/14 9,375 10,825
 
Technology (3.1%)        
Affiliated Computer Services Inc. 5.200% 6/1/15 9,750 10,593
Agilent Technologies Inc. 4.450% 9/14/12 26,475 27,550
Cisco Systems Inc. 1.625% 3/14/14 99,040 99,558
Cisco Systems Inc. 2.900% 11/17/14 5,000 5,240
Computer Sciences Corp. 5.000% 2/15/13 15,000 15,857
Computer Sciences Corp. 5.500% 3/15/13 35,210 37,588
Dell Inc. 3.375% 6/15/12 11,400 11,738
Dell Inc. 4.700% 4/15/13 23,640 25,191
Dell Inc. 2.100% 4/1/14 46,000 46,693
Dell Inc. 5.625% 4/15/14 27,750 30,853
Dell Inc. 2.300% 9/10/15 9,600 9,540
Dun & Bradstreet Corp. 6.000% 4/1/13 25,050 27,075
Dun & Bradstreet Corp. 2.875% 11/15/15 6,750 6,700
Fiserv Inc. 6.125% 11/20/12 27,818 29,896
Hewlett-Packard Co. 4.500% 3/1/13 95,083 101,233
Hewlett-Packard Co. 1.250% 9/13/13 39,000 39,147

 

 

  Hewlett-Packard Co. 6.125% 3/1/14 76,116 85,438
  Hewlett-Packard Co. 2.125% 9/13/15 9,750 9,687
  Hewlett-Packard Co. 2.200% 12/1/15 5,825 5,777
3 HP Enterprise Services LLC 6.000% 8/1/13 83,308 92,286
  IBM International Group Capital LLC 5.050% 10/22/12 47,570 50,579
  International Business Machines Corp. 4.750% 11/29/12 7,195 7,657
  International Business Machines Corp. 2.100% 5/6/13 48,471 49,647
  International Business Machines Corp. 1.000% 8/5/13 130,335 130,284
  International Business Machines Corp. 6.500% 10/15/13 8,800 9,945
  International Business Machines Corp. 2.000% 1/5/16 19,550 19,264
  Intuit Inc. 5.400% 3/15/12 9,200 9,546
  Lexmark International Inc. 5.900% 6/1/13 18,400 19,666
  Microsoft Corp. 2.950% 6/1/14 22,750 23,809
  Motorola Solutions Inc. 8.000% 11/1/11 22,727 23,529
  Oracle Corp. 4.950% 4/15/13 19,338 20,855
  Oracle Corp. 3.750% 7/8/14 35,175 37,688
  Pitney Bowes Inc. 4.875% 8/15/14 4,500 4,819
  Pitney Bowes Inc. 5.000% 3/15/15 21,870 23,411
6 STATS ChipPAC Ltd. 7.500% 8/12/15 1,000 1,083
  Xerox Corp. 6.875% 8/15/11 27,655 28,066
  Xerox Corp. 5.500% 5/15/12 9,088 9,513
 
  Transportation (1.0%)        
  American Airlines Pass Through Trust 2001-        
  01 6.817% 5/23/11 7,453 7,464
10 American Airlines Pass Through Trust 2001-        
  02 7.858% 10/1/11 15,885 16,242
  Burlington Northern Santa Fe LLC 5.900% 7/1/12 4,800 5,086
  Canadian National Railway Co. 6.375% 10/15/11 4,325 4,435
  Canadian National Railway Co. 4.950% 1/15/14 8,125 8,877
5 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 1/2/18 8,652 9,171
5 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 9/15/17 2,402 2,523
5 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 6,546 7,135
5 Continental Airlines 2005-ERJ1 Pass        
  Through Trust 9.798% 4/1/21 6,987 7,302
  CSX Corp. 6.300% 3/15/12 10,668 11,168
  CSX Corp. 5.750% 3/15/13 10,650 11,518
  CSX Corp. 5.500% 8/1/13 14,120 15,335
  CSX Corp. 6.250% 4/1/15 4,262 4,865
  Delta Air Lines 2001-1 Class A-2 Pass        
  Through Trust 7.111% 9/18/11 17,510 17,817
11 Delta Air Lines 2002-1 Class G-2 Pass        
  Through Trust 6.417% 7/2/12 9,690 9,993
5 Delta Air Lines 2007-1 Class B Pass        
  Through Trust 8.021% 8/10/22 4,050 4,141
5 Delta Air Lines 2010-1 Class A Pass        
  Through Trust 6.200% 7/2/18 17,567 18,138
6 ERAC USA Finance LLC 5.800% 10/15/12 14,600 15,498
6 ERAC USA Finance LLC 2.750% 7/1/13 21,500 21,936
6 ERAC USA Finance LLC 2.250% 1/10/14 19,400 19,451
6 ERAC USA Finance LLC 5.600% 5/1/15 7,339 8,037
  JB Hunt Transport Services Inc. 3.375% 9/15/15 11,790 11,796
3,11 JetBlue Airways 2004-1 G-1 Pass Through        
  Trust 0.685% 12/15/13 9,117 8,769

 

 

3,11 JetBlue Airways 2004-1 G-2 Pass Through        
  Trust 0.730% 3/15/14 25,765 23,275
3,11 JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.763% 11/15/16 19,135 16,360
  Ryder System Inc. 6.000% 3/1/13 39,370 42,378
  Ryder System Inc. 5.850% 3/1/14 5,150 5,685
  Ryder System Inc. 3.150% 3/2/15 17,450 17,720
  Ryder System Inc. 3.600% 3/1/16 23,350 23,804
6 Southwest Airlines Co. 10.500% 12/15/11 24,225 25,497
5 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 8/1/22 2,401 2,599
  Union Pacific Corp. 5.450% 1/31/13 4,580 4,927
          10,979,104
Utilities (5.1%)        
  Electric (4.0%)        
  Alabama Power Co. 4.850% 12/15/12 6,640 7,069
  Appalachian Power Co. 5.650% 8/15/12 16,820 17,751
  Carolina Power & Light Co. 6.500% 7/15/12 38,537 41,131
  Carolina Power & Light Co. 5.125% 9/15/13 12,286 13,359
  Carolina Power & Light Co. 5.150% 4/1/15 4,900 5,418
  Carolina Power & Light Co. 5.250% 12/15/15 10,480 11,731
  CenterPoint Energy Houston Electric LLC 5.700% 3/15/13 2,950 3,196
  CenterPoint Energy Houston Electric LLC 7.000% 3/1/14 16,460 18,911
  Cleveland Electric Illuminating Co. 5.650% 12/15/13 2,925 3,188
3 CMS Energy Corp. 1.228% 1/15/13 10,000 9,900
  CMS Energy Corp. 4.250% 9/30/15 29,555 30,331
  Columbus Southern Power Co. 5.500% 3/1/13 9,775 10,506
  Commonwealth Edison Co. 5.400% 12/15/11 14,049 14,466
  Commonwealth Edison Co. 6.150% 3/15/12 11,200 11,730
  Commonwealth Edison Co. 4.700% 4/15/15 2,807 3,042
  Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 5,000 5,304
  Consumers Energy Co. 5.000% 2/15/12 4,300 4,434
  Consumers Energy Co. 5.375% 4/15/13 33,610 36,264
  Dominion Resources Inc./VA 5.700% 9/17/12 12,107 12,891
  Dominion Resources Inc./VA 5.000% 3/15/13 3,800 4,071
3,5 Dominion Resources Inc./VA 6.300% 9/30/66 9,025 8,957
  DPL Inc. 6.875% 9/1/11 44,692 45,612
  DTE Energy Co. 7.625% 5/15/14 4,900 5,658
  Duke Energy Carolinas LLC 5.300% 10/1/15 4,900 5,514
  Duke Energy Ohio Inc. 2.100% 6/15/13 23,100 23,607
6 EDP Finance BV 5.375% 11/2/12 60,896 62,030
6 Enel Finance International NV 5.700% 1/15/13 4,800 5,105
6 Enel Finance International NV 3.875% 10/7/14 24,475 25,522
  Entergy Arkansas Inc. 5.400% 8/1/13 42,280 45,834
  Exelon Generation Co. LLC 5.350% 1/15/14 19,500 21,101
  FirstEnergy Corp. 6.450% 11/15/11 345 354
  Florida Power Corp. 6.650% 7/15/11 3,400 3,435
  Florida Power Corp. 4.800% 3/1/13 14,480 15,370
5,6 FPL Energy Marcus Hook LP 7.590% 7/10/18 18,354 18,453
3 Georgia Power Co. 0.629% 3/15/13 31,000 30,897
  Georgia Power Co. 6.000% 11/1/13 8,105 8,996
  Georgia Power Co. 3.000% 4/15/16 24,425 24,840
  Great Plains Energy Inc. 2.750% 8/15/13 11,700 11,950
6 Iberdrola Finance Ireland Ltd. 3.800% 9/11/14 24,222 24,806
6 International Transmission Co. 4.450% 7/15/13 8,800 9,269
6 Kentucky Utilities Co. 1.625% 11/1/15 14,650 14,185
  MidAmerican Energy Co. 5.650% 7/15/12 39,025 41,267

 

 

  Midamerican Energy Holdings Co. 3.150% 7/15/12 36,805 37,808
  Midamerican Energy Holdings Co. 5.000% 2/15/14 3,000 3,250
6 Monongahela Power Co. 7.950% 12/15/13 6,720 7,673
  National Rural Utilities Cooperative Finance        
  Corp. 7.250% 3/1/12 24,300 25,617
  National Rural Utilities Cooperative Finance        
  Corp. 2.625% 9/16/12 26,340 26,997
  National Rural Utilities Cooperative Finance        
  Corp. 5.500% 7/1/13 69,773 76,197
  National Rural Utilities Cooperative Finance        
  Corp. 1.125% 11/1/13 13,300 13,273
  National Rural Utilities Cooperative Finance        
  Corp. 4.750% 3/1/14 4,900 5,329
  National Rural Utilities Cooperative Finance        
  Corp. 1.900% 11/1/15 20,390 19,983
  National Rural Utilities Cooperative Finance        
  Corp. 3.050% 3/1/16 10,244 10,460
  Nevada Power Co. 8.250% 6/1/11 5,525 5,557
  Nevada Power Co. 6.500% 4/15/12 8,150 8,579
  Nevada Power Co. 5.875% 1/15/15 6,650 7,442
3 NextEra Energy Capital Holdings Inc. 1.189% 6/17/11 23,250 23,275
3 NextEra Energy Capital Holdings Inc. 0.712% 11/9/12 25,750 25,817
  NextEra Energy Capital Holdings Inc. 2.600% 9/1/15 24,660 24,290
3,5 NextEra Energy Capital Holdings Inc. 6.350% 10/1/66 8,820 8,732
6 Niagara Mohawk Power Corp. 3.553% 10/1/14 4,830 5,037
  Northeast Utilities 7.250% 4/1/12 16,260 17,174
  Northeast Utilities 5.650% 6/1/13 23,225 25,064
  Northern States Power Co./MN 8.000% 8/28/12 20,550 22,428
  Northern States Power Co./MN 1.950% 8/15/15 24,075 23,749
  NSTAR Electric Co. 4.875% 10/15/12 5,430 5,741
  Pacific Gas & Electric Co. 6.250% 12/1/13 16,681 18,506
  Pacific Gas & Electric Co. 4.800% 3/1/14 17,436 18,937
  Peco Energy Co. 5.950% 11/1/11 8,500 8,711
  Peco Energy Co. 5.600% 10/15/13 7,300 8,048
  Peco Energy Co. 5.000% 10/1/14 4,855 5,351
  PG&E Corp. 5.750% 4/1/14 42,548 46,770
3,5 PPL Capital Funding Inc. 6.700% 3/30/67 20,650 20,521
  PPL Electric Utilities Corp. 7.125% 11/30/13 20,260 23,176
  PPL Energy Supply LLC 5.400% 8/15/14 8,725 9,474
  Progress Energy Inc. 6.850% 4/15/12 31,660 33,472
  PSEG Power LLC 2.500% 4/15/13 16,525 16,861
  Public Service Co. of Colorado 7.875% 10/1/12 6,741 7,383
  Public Service Electric & Gas Co. 5.125% 9/1/12 6,215 6,562
  Public Service Electric & Gas Co. 5.000% 8/15/14 9,500 10,446
  Public Service Electric & Gas Co. 2.700% 5/1/15 21,500 21,766
  Sierra Pacific Power Co. 5.450% 9/1/13 9,280 10,099
  Southern California Edison Co. 5.000% 1/15/14 3,300 3,609
  Southern California Edison Co. 5.750% 3/15/14 12,925 14,441
3 Southern Co. 0.674% 10/21/11 31,800 31,860
  Southern Co. 5.300% 1/15/12 11,931 12,308
  Southern Co. 4.150% 5/15/14 4,650 4,956
6 Trans-Allegheny Interstate Line Co. 4.000% 1/15/15 53,650 55,468
  Virginia Electric and Power Co. 4.750% 3/1/13 31,625 33,700
 
  Natural Gas (1.1%)        
  Enbridge Energy Partners LP 5.875% 12/15/16 6,281 7,092
3,5 Enbridge Energy Partners LP 8.050% 10/1/37 4,615 5,007
  Energy Transfer Partners LP 5.650% 8/1/12 12,660 13,299

 

 

  Energy Transfer Partners LP 6.000% 7/1/13 18,540 20,169
  Enterprise Products Operating LLC 6.375% 2/1/13 7,300 7,906
  Enterprise Products Operating LLC 5.650% 4/1/13 26,970 29,085
  Enterprise Products Operating LLC 5.900% 4/15/13 36,800 39,950
  Enterprise Products Operating LLC 9.750% 1/31/14 21,045 25,326
  Enterprise Products Operating LLC 3.200% 2/1/16 9,775 9,868
3,5 Enterprise Products Operating LLC 8.375% 8/1/66 20,700 22,655
6 Gulf South Pipeline Co. LP 5.750% 8/15/12 23,400 24,608
  Magellan Midstream Partners LP 6.450% 6/1/14 3,650 4,126
6 NGPL PipeCo LLC 6.514% 12/15/12 19,335 20,407
  ONEOK Partners LP 5.900% 4/1/12 15,090 15,779
  ONEOK Partners LP 3.250% 2/1/16 50,960 51,263
  Plains All American Pipeline LP / PAA        
  Finance Corp. 4.250% 9/1/12 14,465 15,034
  Plains All American Pipeline LP / PAA        
  Finance Corp. 3.950% 9/15/15 6,619 6,899
6 Rockies Express Pipeline LLC 6.250% 7/15/13 10,475 11,368
6 Rockies Express Pipeline LLC 3.900% 4/15/15 12,775 13,012
  TransCanada PipeLines Ltd. 4.000% 6/15/13 4,900 5,188
  TransCanada PipeLines Ltd. 3.400% 6/1/15 18,000 18,686
3,5 TransCanada PipeLines Ltd. 6.350% 5/15/67 7,500 7,615
  Williams Partners LP 3.800% 2/15/15 32,508 34,057
 
          1,977,751
Total Corporate Bonds (Cost $24,612,901)       25,182,281
Sovereign Bonds (U.S. Dollar-Denominated) (1.3%)        
6 Abu Dhabi Government International Bond 5.500% 4/8/14 4,740 5,186
6 Abu Dhabi National Energy Co. 5.620% 10/25/12 4,000 4,173
6 Abu Dhabi National Energy Co. 4.750% 9/15/14 7,000 7,316
6 AK Transneft OJSC Via TransCapitalInvest        
  Ltd. 5.670% 3/5/14 10,075 10,747
6 Banco do Brasil SA/Cayman 4.500% 1/22/15 4,000 4,178
6 Banco do Nordeste do Brasil SA 3.625% 11/9/15 2,000 1,949
  Brazilian Government International Bond 7.875% 3/7/15 14,700 17,677
6 Centrais Eletricas Brasileiras SA 7.750% 11/30/15 3,000 3,493
6 Central American Bank for Economic        
  Integration 5.375% 9/24/14 7,000 7,593
6 CNPC HK Overseas Capital Ltd. 3.125% 4/28/16 5,000 4,998
  Corp Andina de Fomento 3.750% 1/15/16 7,300 7,238
  Eksportfinans ASA 2.000% 9/15/15 2,500 2,477
  European Bank for Reconstruction &        
  Development 1.625% 9/3/15 2,575 2,531
  European Investment Bank 4.250% 7/15/13 8,750 9,397
  European Investment Bank 2.875% 1/15/15 19,500 20,366
  European Investment Bank 2.750% 3/23/15 8,750 9,083
  European Investment Bank 2.500% 5/16/16 5,000 5,066
  Export-Import Bank of Korea 5.500% 10/17/12 17,800 18,736
6 Gazprom OAO Via Gaz Capital SA 6.212% 11/22/16 2,425 2,629
6,12 Hana Bank 6.500% 4/9/12 4,580 4,794
  Hungary Government International Bond 4.750% 2/3/15 3,150 3,221
6 Industrial Bank of Korea 7.125% 4/23/14 6,700 7,578
6 Israel Electric Corp. Ltd. 7.250% 1/15/19 5,500 5,922
  Israel Government International Bond 5.125% 3/1/14 2,000 2,149
13 Japan Finance Corp. 1.875% 9/24/15 4,500 4,440
  Korea Development Bank 5.300% 1/17/13 18,675 19,736
6 Korea Gas Corp. 6.000% 7/15/14 4,500 4,951
14 Kreditanstalt fuer Wiederaufbau 3.250% 3/15/13 8,750 9,138

 

 

14 Kreditanstalt fuer Wiederaufbau 1.375% 7/15/13 4,400 4,452
14 Kreditanstalt fuer Wiederaufbau 2.750% 10/21/14 28,250 29,469
14 Landwirtschaftliche Rentenbank 3.125% 7/15/15 7,000 7,295
6 MDC-GMTN B.V. 5.750% 5/6/14 11,300 12,334
6 MDC-GMTN B.V. 3.750% 4/20/16 6,000 5,980
  Mexico Government International Bond 5.875% 2/17/14 4,800 5,290
  Mexico Government International Bond 6.625% 3/3/15 4,800 5,513
  Mexico Government International Bond 5.125% 1/15/20 5,000 5,283
6 National Agricultural Cooperative        
  Federation 5.000% 9/30/14 10,000 10,638
  Nordic Investment Bank 2.500% 7/15/15 18,000 18,403
  Panama Government International Bond 7.250% 3/15/15 3,900 4,529
  Peruvian Government International Bond 9.125% 2/21/12 2,900 3,081
  Peruvian Government International Bond 9.875% 2/6/15 10,000 12,200
  Petrobras International Finance Co. - Pifco 9.125% 7/2/13 5,587 6,448
  Petrobras International Finance Co. - Pifco 7.750% 9/15/14 1,600 1,837
  Petrobras International Finance Co. - Pifco 3.875% 1/27/16 5,000 5,058
  Petroleos Mexicanos 4.875% 3/15/15 8,800 9,404
5,6 Petroleum Co. of Trinidad & Tobago Ltd. 6.000% 5/8/22 2,755 2,787
6 Petronas Capital Ltd. 7.000% 5/22/12 20,700 21,901
5,6,11 PF Export Receivables Master Trust 3.748% 6/1/13 3,202 3,202
5,6 PF Export Receivables Master Trust 6.436% 6/1/15 7,600 8,059
  Poland Government International Bond 6.250% 7/3/12 5,000 5,300
  Poland Government International Bond 3.875% 7/16/15 6,800 6,927
  Province of Ontario 3.500% 7/15/13 8,750 9,219
  Province of Ontario 2.950% 2/5/15 8,750 9,106
  Province of Ontario 1.875% 9/15/15 6,400 6,348
6 Qatar Government International Bond 5.150% 4/9/14 3,200 3,472
6 Qatar Government International Bond 4.000% 1/20/15 8,000 8,348
5,6 Qatar Petroleum 5.579% 5/30/11 2,613 2,620
6,15 Qatari Diar Finance QSC 3.500% 7/21/15 4,600 4,685
6 Qtel International Finance Ltd. 6.500% 6/10/14 4,500 4,974
6 Qtel International Finance Ltd. 3.375% 10/14/16 4,325 4,235
5,6 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 8,931 9,445
6 Ras Laffan Liquefied Natural Gas Co. Ltd.        
  III 5.500% 9/30/14 6,675 7,241
  Republic of Italy 2.125% 10/5/12 6,850 6,937
  Republic of Italy 4.375% 6/15/13 3,000 3,173
  Republic of Korea 4.250% 6/1/13 4,675 4,905
  South Africa Government International        
  Bond 6.500% 6/2/14 3,900 4,348
6 TDIC Finance Ltd. 6.500% 7/2/14 7,275 8,066
6 Transnet Ltd. 4.500% 2/10/16 4,400 4,473
Total Sovereign Bonds (Cost $488,775)       503,747
Taxable Municipal Bonds (0.4%)        
  California Educational Facilities Authority        
  Revenue (Stanford University) 3.625% 5/1/14 4,000 4,258
  California GO 5.250% 4/1/14 4,850 5,150
3 Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 0.999% 10/15/12 47,450 47,126
  Illinois GO 2.766% 1/1/12 24,000 24,183
  Illinois GO 4.071% 1/1/14 15,000 15,417
  Loudoun County VA Industrial Development        
  Authority Revenue (Howard Hughes        
  Medical Institute) 3.450% 9/1/14 6,200 6,574

 

 

Louisiana Local Government Environmental        
Facility & Community Development        
Authority Revenue 3.220% 2/1/21 29,250 28,842
Louisiana Local Government Environmental        
Facility & Community Development        
Authority Revenue 3.450% 2/1/22 13,800 13,522
New York City NY Industrial Development        
Agency Special Facility Revenue (American        
Airlines Inc. John F. Kennedy International        
Airport Project) 7.500% 8/1/16 3,400 3,445
North Carolina Capital Facilities Finance        
Agency Revenue (Duke University Project) 4.200% 4/1/14 7,200 7,704
Total Taxable Municipal Bonds (Cost $155,241)       156,221
Tax-Exempt Municipal Bonds (0.1%)        
Calhoun County TX Navigation Industrial        
Development Authority Port Revenue (BP        
PLC) VRDO 0.300% 1/1/24 10,000 10,000
California Housing Finance Agency Home        
Mortgage Revenue VRDO 0.250% 2/1/37 15,700 15,700
 
Total Tax-Exempt Municipal Bonds (Cost $25,700)       25,700
      Shares  
Convertible Preferred Stock (0.0%)        
Financials (0.0%)        
7 Lehman Brothers Holdings Inc. Pfd. 7.250%   29,160 15
 
Total Convertible Preferred Stocks (Cost $29,160)       15
Preferred Stocks (0.1%)        
Southern California Edison Co. Pfd. 5.870%   482,148 48,386
Aspen Insurance Holdings Ltd. Pfd. 7.401%   262,600 6,523
General Electric Capital Corp. Pfd. 6.450%   180,000 4,570
Federal National Mortgage Assn. Pfd. 4.500%   934,000 1,588
Total Preferred Stocks (Cost $81,919)       61,067
Temporary Cash Investment (2.6%)        
Money Market Fund (2.6%)        
16 Vanguard Market Liquidity Fund (Cost        
$1,006,971) 0.179%   1,006,971,651 1,006,972
 
Total Investments (100.4%) (Cost $38,444,104)       39,064,962
Other Assets and Liabilities-Net (-0.4%)       (169,387)
Net Assets (100%)       38,895,575

 

1 Securities with a value of $47,938,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $4,247,000 have been segregated as collateral for open swap contracts.
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, 2011, the aggregate value of these securities was $6,332,980,000, representing 16.3% of net assets.
7 Non-income-producing security--security in default.
8 Non-income-producing security--issuer has suspended all payments until February 1, 2012.
9 Non-income producing security--issuer has suspended all payments until May 1, 2012.
10 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).

 

11 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
12 Guaranteed by the Republic of Korea.
13 Guaranteed by the Government of Japan.
14 Guaranteed by the Federal Republic of Germany.
15 Guaranteed by the State of Qatar.
16 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.
VRDO—Variable Rate Demand Obligation.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. 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, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
2-Year U.S. Treasury Note June 2011 18,657 4,088,215 16,674
Ultra Long U.S. Treasury Bond June 2011 160 20,140 780
30-Year U.S. Treasury Note June 2011 (107) (13,094) (402)
10-Year U.S. Treasury Note June 2011 (14,848) (1,798,696) (25,278)
5-Year U.S. Treasury Note June 2011 (26,421) (3,130,063) (41,287)

 

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 issuer or group of issuers. The fund has

 

sold credit protection through credit default swaps to simulate investments in long 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 up-front 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, for example, 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 an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional 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 the relevant debt instrument, as determined either in a market auction 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 based on market quotations received from independent pricing services or recognized dealers 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 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.

At April 30, 2011 the fund had the following open swap contracts:

 

Credit Default Swaps            
        Up-Front    
        Premium Periodic Unrealized
      Notional  Received Premium Appreciation
  Termination   Amount  (Paid) Received (Paid (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody’s Rating          
Bank of America            
Corporation/A2 3/20/15 DBAG 10,660 246 1.000 209
Bank of America            
Corporation/A2 9/20/15 RBS 7,700 248 1.000 183
Bank of America            
Corporation/A2 12/20/15 DBAG 17,110 856 1.000 660
Banco Bilbao Vizcaya            
Argententaria SA/Aa2 9/20/15 BARC 27,300 1,144 1.000 74
Burlington Northern/A3 6/20/12 DBAG 18,400 — 0.400 69
Johnson &            
Johnson/Aaa 9/20/12 USBSAG 7,340 — 0.080 ---
Johnson &            
Johnson/Aaa 9/20/12 GSCM 18,345 — 0.070 (1)
Credit Protection Purchased          
AT&T 6/20/13 GSCM 12,700 — (1.040) (186)
Bank of America            
Corporation 9/20/11 JPMC 8,000 (13) (1.000) (26)
Bank of America            
Corporation 12/20/13 DBAG 25,910 (568) (1.000) (716)
Bank of America            
Corporation 12/20/14 DBAG 13,300 (167) (1.000) (143)
Bank of America            
Corporation 12/20/14 BARC 13,300 (155) (1.000) (134)
Bank of America            
Corporation 12/20/14 BARC 9,700 (95) (1.000) (85)
Barclays Bank 6/20/11 RBS 10,000 66 (1.000) 3
Barclays Bank 9/20/11 BOANA 2,000 (2) (1.000) (3)
Brazil (Federative            
Republic) 12/20/15 BOANA 3,500 (43) (1.000) (35)
Citigroup Inc. 6/20/14 BOANA 34,200 (1,462) (5.000) (5,398)
Danske Bank 12/20/15 BOANA 6,000 (43) (1.000) (17)
Danske Bank 12/20/15 BARC 6,000 (37) (1.000) (12)
Goldman Sachs & Co. 9/20/11 DBAG 20,000 (161) (1.000) (102)
Goldman Sachs & Co. 9/20/11 JPMC 10,000 (32) (1.000) (38)
Intesa SanPaolo Spa 6/20/15 BOANA 8,900 (457) (1.000) (102)
J.P. Morgan Securities 9/20/11 GSCM 10,000 54 (1.000) (13)
Mexico (United States) 12/20/15 BOANA 3,500 (53) (1.000) (54)
Morgan Stanley 9/20/15 BARC 11,000 (606) (1.000) (380)

 

 

Wells Fargo 9/20/11 BOANA 14,000 52 (1.000) (29)
Wells Fargo 12/20/11 DBAG 10,000 54 (1.000) (25)
Wells Fargo 3/20/12 GSCM 18,000 154 (1.000) 5
Wells Fargo 3/20/15 GSCM 10,660 (90) (1.000) (237)
            (6,533)
1 BARC—Barclays Bank plc.            
BOANA—Bank of America NA.          
DBAG—Deutsche Bank AG.            
GSCM—Goldman Sachs Bank USA.          
JPMC—JP Morgan Chase Bank NA.          
RBS—The Royal Bank of Scotland          
plc.            
UBSAG—UBS AG.            

 

Interest Rate Swaps          
Termination  Counterparty1 Notional Fixed Interest Floating Interest Unrealized
Date   Amount Rate Received Rate Received Appreciation
    ($000) (Paid) (%) (Paid) (Depreciation)
        (%) ($000)
5/16/11 BOANA 3,400 0.943 (0.216) 2 1
7/15/11 GSCM 3,380 1.086 (0.219) 2 6
7/15/11 BOANA 10,355 1.093 (0.219) 2 18
8/15/11 GSCM 3,400 1.091 (0.219) 2 8
8/15/11 BOANA 13,850 0.833 (0.219) 2 23
8/15/11 WFC 17,100 0.740 (0.219) 2 24
9/15/11 BOANA 26,100 0.840 (0.219) 2 57
10/6/11 WFC 21,285 1.719 (0.240) 2 133
10/6/11 BARC 14,260 1.723 (0.240) 2 89
10/21/11 WFC 31,800 1.343 (0.274) 3 154
11/15/11 WFC 14,250 0.607 (0.219) 2 27
12/6/11 WFC 29,283 2.018 (0.310) 3 293
1/15/12 WFC 10,200 1.383 (0.219) 2 78
1/15/12 WFC 11,520 1.226 (0.219) 2 76
1/15/12 WFC 4,180 1.148 (0.219) 2 25
1/15/12 WFC 700 1.075 (0.219) 2 4
1/15/12 WFC 380 1.050 (0.219) 2 2
1/15/12 WFC 10,400 1.058 (0.219) 2 56

 

 

2/6/12 WFC 61,196 1.485 (0.240) 2 552
2/15/12 GSCM 2,410 0.688 (0.219) 2 7
3/6/12 GSCM 55,124 1.501 (0.240) 2 555
4/15/12 GSCM 8,940 1.543 (0.219) 2 103
4/15/12 WFC 11,270 1.543 (0.219) 2 130
4/20/12 JPMC 45,000 1.175 (0.274) 3 346
5/15/12 BOANA 2,075 1.349 (0.219) 2 22
5/15/12 WFC 28,000 1.259 (0.219) 2 265
6/15/12 BARC 21,335 1.655 (0.219) 2 307
6/15/12 JPMC 2,770 1.346 (0.219) 2 30
7/15/12 BARC 36,250 1.683 (0.219) 2 561
7/15/12 WFC 3,425 1.450 (0.219) 2 44
7/15/12 WFC 3,650 1.590 (0.219) 2 52
7/15/12 WFC 8,970 1.450 (0.219) 2 114
7/15/12 JPMC 26,620 1.370 (0.219) 2 313
9/6/12 GSCM 11,516 2.073 (0.240) 2 252
9/6/12 BOANA 66,506 2.065 (0.240) 2 1,449
9/6/12 WFC 19,700 0.553 (0.240) 2 32
9/15/12 GSCM 62,700 1.860 (0.219) 2 1,207
10/15/12 BOANA 23,900 1.746 (0.219) 2 439
11/9/12 WFC 25,750 1.855 (0.312) 3 507
11/15/12 WFC 9,510 1.811 (0.219) 2 189
11/15/12 WFC 9,200 0.933 (0.219) 2 60
12/6/12 BARC 48,050 2.325 (0.310) 3 1,323
12/6/12 BARC 7,800 1.930 (0.310) 3 166
12/15/12 BOANA 11,000 2.208 (0.310) 3 284
12/15/12 WFC 42,980 1.822 (0.219) 2 883
12/15/12 WFC 17,280 1.763 (0.219) 2 338
12/15/12 WFC 88,458 1.715 (0.219) 2 1,664
12/15/12 GSCM 54,000 1.595 (0.310) 3 864
12/17/12 WFC 26,400 2.258 (0.309) 3 706
12/17/12 WFC 21,050 1.990 (0.309) 3 473

 

 

12/17/12 BARC 7,900 2.378 (0.216) 2 234
1/15/13 WFC 116,600 1.724 (0.219) 2 2,257
1/15/13 WFC 96,840 1.770 (0.278) 3 1,861
1/15/13 JPMC 10,000 1.634 (0.278) 3 169
1/15/13 WFC 3,120 1.004 (0.219) 2 22
1/25/13 WFC 8,525 0.816 (0.274) 3 25
2/15/13 WFC 27,500 1.705 (0.219) 2 530
2/15/13 WFC 1,730 1.890 (0.219) 2 39
2/15/13 WFC 24,210 1.725 (0.219) 2 475
2/15/13 WFC 750 0.801 (0.219) 2 2
2/15/13 WFC 3,450 0.910 (0.219) 2 28
2/20/13 WFC 18,200 1.926 (0.213) 2 423
2/20/13 WFC 14,525 0.799 (0.213) 2 46
3/15/13 JPMC 31,150 1.745 (0.219) 2 632
3/15/13 WFC 31,000 1.708 (0.310) 3 574
3/15/13 JPMC 30,573 1.723 (0.219) 2 608
4/5/13 GSCM 50,535 1.767 (0.243) 2 1,051
4/29/13 BOANA 88,900 0.800 0.000 3 64
7/15/13 BARC 10,000 2.528 (0.219) 2 374
7/15/13 BOANA 54,488 2.188 (0.219) 2 1,632
7/15/13 WFC 9,800 1.187 (0.219) 2 80
9/15/13 GSCM 26,945 1.254 (0.219) 2 223
9/15/13 WFC 6,466 0.698 (0.219) 2 (31)
10/15/13 WFC 10,340 1.023 (0.219) 2 21
12/1/13 GSCM 40,865 2.584 (0.311) 3 1,582
12/1/13 WFC 124,223 2.582 (0.311) 3 4,802
12/1/13 GSCM 128,237 2.584 (0.311) 3 4,965
12/14/13 UBSAG 13,880 0.739 (0.221) 2 (4)
1/15/14 WFC 14,650 0.870 (0.278) 3 (98)
1/15/14 WFC 95,650 1.331 (0.270) 3 535
2/14/14 WFC 52,200 1.022 (0.221) 2 (125)
2/15/14 WFC 93,500 1.400 (0.219) 2 724

 

 

3/6/14 GSCM 128,659 2.448 (0.240) 2 4,732
3/15/14 WFC 14,000 2.662 (0.219) 2 597
3/15/14 WFC 7,500 2.206 (0.219) 2 223
4/15/14 WFC 26,200 2.205 (0.219) 2 773
4/15/14 WFC 18,280 0.680 (0.278) 3 (117)
5/15/14 GSCM 2,675 2.303 (0.219) 2 86
5/15/14 GSCM 6,100 1.528 (0.219) 2 54
5/16/14 WFC 20,640 1.083 (0.314) 3 (123)
6/15/14 WFC 10,400 2.338 (0.219) 2 338
6/15/14 WFC 105 2.577 (0.219) 2 4
7/15/14 WFC 13,720 2.305 (0.219) 2 427
8/15/14 WFC 52,140 2.681 (0.219) 2 2,224
8/15/14 JPMC 33,870 1.501 (0.219) 2 159
8/15/14 GSCM 17,310 1.350 (0.219) 2 (3)
10/14/14 WFC 92,000 1.861 (0.285) 3 1,179
10/15/14 WFC 15,475 1.130 (0.219) 2 (161)
2/15/15 BOANA 6,620 1.799 (0.219) 2 47
2/15/15 WFC 10,530 1.634 (0.219) 2 11
2/15/15 UBSAG 27,100 1.830 (0.219) 2 225
2/15/15 GSCM 13,800 1.755 (0.219) 2 77
2/17/15 GSCM 151,090 2.555 (0.314) 3 5,094
3/24/15 GSCM 4,380 2.910 (0.213) 2 210
8/15/15 GSCM 133,092 1.588 (0.219) 2 (1,309)
9/15/15 UBSAG 181,400 1.630 (0.219) 2 (1,737)
10/15/15 JPMC 4,000 2.211 (0.219) 2 55
10/15/15 UBSAG 1,500 2.163 (0.219) 2 18
10/21/15 WFC 97,950 1.485 (0.274) 3 (1,896)
5/19/16 WFC 67,100 1.454 (0.319) 3 254
6/1/16 WFC 14,500 2.910 (0.311) 3 513
8/15/16 BOANA 5,320 3.226 (0.219) 2 270
8/15/16 BARC 14,780 1.919 (0.219) 2 (224)
8/15/16 GSCM 10,000 1.903 (0.219) 2 (160)

 

 

8/15/16 GSCM 6,760 1.844 (0.219) 2 (128)
10/25/16 WFC 61,500 1.714 (0.274) 3 (1,960)
12/15/16 WFC 16,300 3.370 (0.310) 3 865
12/15/16 WFC 13,800 3.330 (0.310) 3 703
12/15/16 GSCM 25,000 3.331 (0.278) 3 1,275
12/15/16 JPMC 18,575 3.258 (0.278) 3 876
12/15/16 WFC 11,050 3.260 (0.278) 3 522
12/15/16 JPMC 9,620 2.507 (0.278) 3 68
12/15/16 GSCM 380 2.392 (0.278) 3 -
1/15/17 BARC 2,570 2.971 (0.219) 2 84
1/15/17 GSCM 5,520 2.008 (0.219) 2 (108)
1/15/17 BOANA 19,600 1.954 (0.219) 2 (440)
2/15/17 GSCM 45,000 3.433 (0.219) 2 2,561
2/15/17 BARC 3,380 3.180 (0.219) 2 146
2/15/17 WFC 85,000 3.373 (0.219) 2 4,561
2/15/17 WFC 2,920 2.407 (0.219) 2 2
2/15/17 WFC 28,600 2.407 (0.219) 2 21
2/15/17 BARC 3,530 2.287 (0.219) 2 (21)
2/15/17 BOANA 121,225 1.875 (0.219) 2 (3,452)
6/15/17 GSCM 9,860 3.492 (0.219) 2 565
6/15/17 BARC 4,960 3.473 (0.219) 2 278
6/15/17 GSCM 21,550 3.403 (0.219) 2 1,124
6/15/17 BOANA 25,000 3.313 (0.219) 2 1,172
9/15/17 GSCM 58,750 3.520 (0.219) 2 3,306
9/15/17 BARC 54,900 3.363 (0.219) 2 2,573
9/15/17 GSCM 46,475 2.533 (0.219) 2 (126)
9/15/17 WFC 6,670 2.345 (0.219) 2 (93)
1/25/18 GSCM 72,687 2.543 (0.274) 3 919
1/25/19 GSCM 52,100 2.782 (0.274) 3 1,148
4/25/19 WFC 51,900 2.053 (0.273) 3 (608)
4/25/19 WFC 37,100 2.756 (0.274) 3 589
4/25/20 JPMC 88,000 3.024 (0.274) 3 (1,311)

 

 

4/25/20 GSCM 37,800 2.794 (0.274) 3 475
4/25/20 GSCM 65,750 2.833 (0.274) 3 562
6/25/21 GSCM 15,150 3.143 (0.308) 3 150
10/25/21 WFC 36,300 3.328 (0.274) 3 460
11/25/22 WFC 58,815 2.477 (0.312) 3 158
11/25/22 BARC 70,400 2.758 (0.276) 3 (317)
7/25/23 BARC 66,950 3.483 (0.274) 3 1,094
          68,564
 
1 BARC—Barclays Bank PLC.          
BOANA—Bank of America, N.A.        
GSCM—Goldman Sachs Bank USA.        
JPMC—JP Morgan Chase Bank.        
UBSAG—UBS AG.          
WFC—Wells Fargo Bank N.A.          
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

 

At April 30, 2011, 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, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 4,099,141 —
Asset-Backed/Commercial Mortgage-Backed Securities — 8,029,818 —
Corporate Bonds — 25,181,711 570
Sovereign Bonds — 503,747 —
Taxable Municipal Bonds — 156,221 —
Tax-Exempt Municipal Bonds — 25,700 —
Convertible Preferred Stocks 15 — —
Preferred Stocks 61,067 — —
Temporary Cash Investments 1,006,972 — —
Futures Contracts—Assets1 587 — —
Futures Contracts—Liabilities1 (5,983) — —
Swap Contracts—Assets — 84,319 —
Swap Contracts—Liabilities — (22,288) —
Total 1,062,658 38,058,369 570
1 Represents variation margin on the last day of the reporting period.    

 

There were no changes in investments valued based on Level 3 inputs during the three months ended April 30, 2011.

E. At April 30, 2011, the cost of investment securities for tax purposes was $38,484,419,000. Net unrealized appreciation of investment securities for tax purposes was $580,543,000, consisting of unrealized gains of $892,139,000 on securities that had risen in value since their purchase and $311,596,000 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, 2011

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (109.1%)        
U.S. Government Securities (94.2%)        
United States Treasury Bill 0.050% 5/5/11 385,000 385,000
United States Treasury Bill 0.025% 5/12/11 220,000 220,000
United States Treasury Note/Bond 1.125% 1/15/12 100,000 100,656
United States Treasury Note/Bond 4.500% 3/31/12 120,000 124,631
United States Treasury Note/Bond 1.000% 4/30/12 200,000 201,438
United States Treasury Note/Bond 1.375% 5/15/12 60,000 60,675
United States Treasury Note/Bond 0.750% 5/31/12 165,000 165,799
United States Treasury Note/Bond 0.625% 6/30/12 240,000 240,900
United States Treasury Note/Bond 0.625% 7/31/12 115,000 115,431
United States Treasury Note/Bond 1.750% 8/15/12 75,000 76,371
United States Treasury Note/Bond 0.375% 9/30/12 385,000 385,000
United States Treasury Note/Bond 1.375% 10/15/12 55,000 55,782
United States Treasury Note/Bond 1.375% 11/15/12 312,000 316,533
United States Treasury Note/Bond 0.500% 11/30/12 20,000 20,019
United States Treasury Note/Bond 1.125% 12/15/12 191,000 193,059
United States Treasury Note/Bond 0.625% 12/31/12 250,000 250,585
United States Treasury Note/Bond 1.375% 1/15/13 242,000 245,630
United States Treasury Note/Bond 0.625% 2/28/13 290,000 290,409
United States Treasury Note/Bond 1.375% 5/15/13 95,000 96,425
United States Treasury Note/Bond 0.500% 11/15/13 110,000 109,123
United States Treasury Note/Bond 1.250% 2/15/14 200,000 201,750
United States Treasury Note/Bond 1.875% 2/28/14 84,000 86,192
United States Treasury Note/Bond 1.250% 3/15/14 140,000 141,116
United States Treasury Note/Bond 1.750% 3/31/14 20,000 20,438
United States Treasury Note/Bond 1.250% 4/15/14 130,000 130,954
United States Treasury Note/Bond 1.875% 4/30/14 100,000 102,516
United States Treasury Note/Bond 2.250% 5/31/14 30,000 31,078
United States Treasury Note/Bond 2.625% 6/30/14 30,000 31,420
United States Treasury Note/Bond 4.250% 8/15/14 105,000 115,566
United States Treasury Note/Bond 2.375% 8/31/14 280,000 290,850
United States Treasury Note/Bond 2.375% 9/30/14 125,000 129,824
United States Treasury Note/Bond 2.375% 10/31/14 70,000 72,658
United States Treasury Note/Bond 2.125% 11/30/14 16,000 16,457
United States Treasury Note/Bond 2.625% 12/31/14 5,000 5,229
1 United States Treasury Note/Bond 2.250% 1/31/15 190,000 195,968
United States Treasury Note/Bond 2.375% 2/28/15 150,000 155,320
United States Treasury Note/Bond 1.750% 7/31/15 220,000 221,065
United States Treasury Note/Bond 1.250% 10/31/15 40,000 39,125
United States Treasury Note/Bond 1.375% 11/30/15 92,000 90,304
United States Treasury Note/Bond 2.125% 12/31/15 90,000 91,195
United States Treasury Note/Bond 2.000% 1/31/16 5,000 5,030
United States Treasury Note/Bond 2.250% 3/31/16 85,000 86,261
United States Treasury Note/Bond 2.000% 4/30/16 80,000 80,113
        5,993,895
Conventional Mortgage-Backed Securities (14.9%)        
2,3 Fannie Mae Pool 4.000% 1/1/41 50,250 50,068
2,3 Fannie Mae Pool 4.500% 5/1/41 77,250 79,471
2,3 Fannie Mae Pool 5.000% 5/1/41 176,500 186,262

 

 

2,3 Fannie Mae Pool 5.500% 5/1/41 264,250 284,399
2,3 Fannie Mae Pool 6.000% 4/1/41–5/1/41 101,000 110,437
2,3 Fannie Mae Pool 7.000% 11/1/15–3/1/16 608 662
2,3 Freddie Mac Gold Pool 5.500% 4/1/16–5/1/16 267 290
2,3 Freddie Mac Gold Pool 7.000% 9/1/15–1/1/16 169 184
3 Ginnie Mae I Pool 4.000% 5/1/41 32,500 32,927
3 Ginnie Mae I Pool 4.500% 4/1/41–5/1/41 98,750 103,256
3 Ginnie Mae I Pool 5.000% 5/1/41 95,250 102,007
          949,963
Total U.S. Government and Agency Obligations (Cost $6,905,758)     6,943,858
Temporary Cash Investments (4.5%)        
Repurchase Agreements (4.5%)        
  Barclays Capital Inc.        
  (Dated 4/29/11, Repurchase Value        
  $50,000,000, collateralized by U.S.        
  Treasury Bill, 0.000%,6/2/11) 0.030% 5/2/11 50,000 50,000
  BNP Paribas Securities Corp.        
  (Dated 4/29/11, Repurchase Value        
  $100,000,000, collateralized by U.S.        
  Treasury Note/Bond, 2.625%, 11/15/20) 0.030% 5/2/11 100,000 100,000
  Deutsche Bank Securities, Inc.        
  (Dated 4/29/11, Repurchase Value        
  $50,000,000 collateralized by Federal        
  Home Loan Bank,0.000% , 7/29/11) 0.030% 5/2/11 50,000 50,000
  RBS Securities, Inc.        
  (Dated 4/29/11, Repurchase Value        
  $83,546,000, collateralized by U.S.        
  Treasury Note/Bond, 6.750%, 8/15/26) 0.030% 5/2/11 83,546 83,546
          283,546
Total Temporary Cash Investments (Cost $283,546)       283,546
Total Investments (113.6%) (Cost $7,189,304)       7,227,404
Other Assets and Liabilities-Net (-13.6%)       (864,361)
Net Assets (100%)       6,363,043

1 Securities with a value of $8,767,000 have been segregated as initial margin for open futures 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 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. 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, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 6,943,858 —
Temporary Cash Investments — 283,546 —
Futures Contracts—Assets1 130 — —
Futures Contracts—Liabilities1 (880) — —
Total (750) 7,227,404 —
1 Represents variation margin on the last day of the reporting period.      

 

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

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value  Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
2-Year U.S. Treasury Note June 2011 2,446 535,980 2,399
10-Year U.S. Treasury Note June 2011 (2,442) (295,825) (4,773)
5-Year U.S. Treasury Note June 2011 (1,084) (128,420) (1,923)
30-Year U.S. Treasury Note June 2011 (1,017) (124,455) (2,468)
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

 

D. At April 30, 2011, the cost of investment securities for tax purposes was $7,189,304,000. Net unrealized appreciation of investment securities for tax purposes was $38,100,000, consisting of unrealized gains of $45,650,000 on securities that had risen in value since their purchase and $7,550,000 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: June 16, 2011

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

  VANGUARD FIXED INCOME SECURITIES FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: June 16, 2011

  VANGUARD FIXED INCOME SECURITIES FUNDS
 
By:  /s/ THOMAS J. HIGGINS* 
  THOMAS J. HIGGINS 
  CHIEF FINANCIAL OFFICER 
 
Date: June 16, 2011

* 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.