N-CSRS 1 bfa_ncsr.htm N-CSR Unassociated Document
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549



FORM N-CSR
Certified Shareholder Report of
Registered Management Investment Companies

Investment Company Act File Number: 811-02444



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

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




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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2007





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


Copies to:
Michael Glazer
Paul, Hastings, Janofsky & Walker LLP
515 South Flower Street, 25th Floor
Los Angeles, California 90071
(Counsel for the registrant)



ITEM 1 – Reports to Stockholders

[logo - American Funds®]

The right choice for the long term®

The Bond Fund of America
 
[photo of a womans' hand holding a piece of paper - eyeglasses in the foreground and a keyboard in the background]
 
Semi-annual report for the six months ended June 30, 2007

The Bond Fund of AmericaSM seeks as high a level of current income as is consistent with preservation of capital through a diversified portfolio of bonds and other fixed-income obligations.

This fund is one of the 30 American Funds. American Funds ranks among the nation’s three largest mutual fund families. For 75 years, Capital Research and Management Company,SM the American Funds adviser, has invested with a long-term focus based on thorough research and attention to risk.

Figures shown are past results for Class A shares and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Share prices and returns will vary, so investors may lose money. Investing for short periods makes losses more likely. Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity. For current information and month-end results, visit americanfunds.com. Fund results shown, unless otherwise indicated, are at net asset value. If a sales charge (maximum 3.75%) had been deducted, the results would have been lower.

Here are the average annual total returns on a $1,000 investment with all distributions reinvested for periods ended June 30, 2007:

Class A shares
1 year
5 years
10 years
Reflecting 3.75% maximum sales charge
+2.69%
+5.74%
+5.48%

The total annual fund operating expense ratio for Class A shares as of the most recent fiscal year-end was 0.65%. This figure does not reflect a fee waiver currently in effect; therefore, the actual expense ratio is lower.

The fund’s investment adviser waived 5% of its management fees from September 1, 2004, through March 31, 2005, and increased it to 10% on April 1, 2005. Fund results shown reflect actual expenses, with the waiver applied. Fund results would have been lower without the waiver. Please see the Financial Highlights table on pages 26 to 29 for details.

The fund’s 30-day yield for Class A shares as of July 31, 2007, calculated in accordance with the Securities and Exchange Commission formula, was 5.19% (5.17% without the fee waiver). The fund’s distribution rate for Class A shares as of that date was 4.83%. Both reflect the 3.75% maximum sales charge. The SEC yield reflects the rate at which the fund is earning income on its current portfolio of securities while the distribution rate reflects the fund’s past dividends paid to shareholders. Accordingly, the fund’s SEC yield and distribution rate may differ.

Results for other share classes can be found on page 4.

The return of principal in bond funds is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the fund. High-yield bonds are subject to greater fluctuations in value and risk of loss of income and principal. Investing in non-U.S. bonds is subject to additional risks. They include currency fluctuations, political and social instability, differing securities regulations and accounting standards, higher transaction costs, possible changes in taxation and illiquidity. For more complete information, please read the prospectus.
 

 
Fellow shareholders:
 
[photo of a woman's hand holding a piece of paper - eyeglasses in the foreground and a keyboard in the background]
 
The bond market saw increasing volatility during the first half of 2007, with prices rising during the first quarter, then falling sharply in the second quarter. As a result, The Bond Fund of America recorded a modest total return of 1.3% for the six months ended June 30, 2007. At the same time, our shareholders continued to receive an attractive stream of income. For the six-month period, the fund paid monthly dividends totaling approximately 30.4 cents a share, providing an income return of about 2.3% (4.6% annualized). [If we had included the portion of the January dividend that was pre-paid in December 2006 amounting to two cents a share, the income return would have been 2.5% (5.0% annualized), with dividends reinvested.] Moreover, the fund increased its monthly dividend to 5.60 cents a share from 5.25 cents effective with the July 26 payment.

Weaker bond prices were reflected in the fund’s market benchmark, the unmanaged Lehman Brothers Aggregate Bond Index, which reported a total return of 1.0% for the same period. The fund’s peer group measure, the Lipper Corporate Debt A-Rated Bond Funds Average, posted a lower return of 0.6%. Results for longer time periods, including cycles of rising and falling interest rates, are shown in the table below.

[Begin Sidebar]
Class A share results at a glance
(for periods ended June 30, 2007, with all distributions reinvested)

   
 
    
Average annual total returns 
  
   
1 year
    
5 years
    
10 years
    
Lifetime1
  
                         
The Bond Fund of America
     +6.72 %     +6.54 %     +5.88 %     +9.03 %
Lehman Brothers Aggregate Bond Index2
     +6.12       +4.48       +6.02       +8.55  
Lipper Corporate Debt A-Rated Bond Funds Average3
                                
     
+5.65
      
+4.52
      
+5.40
      
+8.50
  

 
1Since May 28, 1974.
 
2The unmanaged Lehman Brothers Aggregate Bond Index began on January 1, 1976. From May 28, 1974, through December 31, 1975, the Lehman Brothers Government/Credit Bond Index was used.
 
3Source: Lipper. Lipper averages do not include the effects of sales charges.
[End Sidebar]

Bond market overview

Bond market yields generally reflect investors’ risk assumptions and expectations associated with economic prospects, inflation trends and interest rates. U.S. Treasuries, because of their perceived safety and universal acceptance, function as a barometer for market sentiment and the basis for other bond yields.

At the start of the fiscal period, yields on short-term Treasuries were notably higher than those on Treasuries with longer maturities. This anomaly in yield relationships — long-term bonds generally have higher yields — is known as an inverted yield curve. The inverted yield relationships that began the year largely reflected investors’ expectations for slower economic growth and lower interest rates in the year ahead. Indeed, first-quarter growth came in at a sluggish 0.6% annual rate, while ongoing weakness in the housing market fanned concerns about the durability of consumer spending — the largest component of economic growth.

As the second quarter unfolded, however, new economic data pointed toward resilience in the broader economy. Unemployment remained low as companies continued to hire and wages continued to increase. Investors gradually began to reevaluate expectations and bond yields headed higher, pushing prices lower. As a result, solid market gains logged during the first quarter gave way to modest declines during the second quarter, and the inverted yield curve assumed a positive, upward slope for maturities of two years and longer.

The late-spring downturn affected every sector of the bond market, some more than others. In general, bonds with shorter maturities held more of their value than did long-maturity debt, which is often the case in a rising yield environment. Among investment-grade bonds, AAA-rated and BBB-rated issues (the highest and lowest rating levels) fared better than other rating categories. Yet, the best returns for the period were posted by high-yield bonds, which had delivered strong gains early in the period, providing a bigger cushion against the selloff.

How the fund responded

The Bond Fund of America is an actively managed portfolio of bonds. The fund’s portfolio counselors invest in a wide range of securities with the objective of maximizing current income while preserving capital. Portfolio counselors freely buy or sell securities in response to changing market conditions. This flexibility has helped the fund weather market downturns and has contributed to the fund’s good relative results both near term and over longer time periods.

During the recent period — and for much of the past year — the fund benefited from strong gains among its lower rated investment-grade and high-yield holdings. As prices rose on many of these securities, however, the fund trimmed its exposure, reducing holdings of BBB-rated debt to 14.7% of portfolio assets from 18.7% at the start of the year. Similarly, the fund lowered its exposure to high-yield debt to 8.2% of assets from 9.1%. At the same time, the fund increased its exposure to U.S. government obligations (to 10.4% of assets from 8.9%) and federal agency issues (to 14.4% from 8.8%).

Looking ahead

Some clouds have a silver lining and the same may be true of the recent downturn. Heading into the year, many market sectors appeared “rich,” offering slim yield advantages over Treasuries; the subsequent rise in yields, however, re-priced many bonds both on an absolute and relative basis, which helps create more appealing investment opportunities for the fund. Additionally, inflation has remained well-contained, making current, higher yields more attractive for bond buyers.

For more than three decades, The Bond Fund of America has delivered a high level of current income to its shareholders and attractive total returns. These accomplishments are due, in part, to our investment approach, which looks beyond the market’s short-term trends to find attractively priced securities that we believe provide enduring value for the fund. Similarly, we encourage our shareholders to maintain a long-term perspective on all their investments.

We take this opportunity to welcome new shareholders to the fund, and we look forward to discussing the fund’s progress again at year-end.

Cordially,

/s/ Paul G. Haaga, Jr.
/s/ Abner D. Goldstine
Paul G. Haaga, Jr.
Abner D. Goldstine
Vice Chairman of the Board
President

August 7, 2007

For current information about the fund, visit americanfunds.com.
 

 
Other share class results
unaudited

Class B, Class C, Class F and Class 529

Figures shown are past results and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Share prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com.

Average annual total returns for periods ended June 30, 2007:

   
1 year
    
5 years
    
Life of class
  
                   
Class B shares — first sold 3/15/00
                  
Reflecting applicable contingent deferred sales charge (CDSC), maximum of 5%, payable only if shares are sold within six years of purchase
     +0.94 %     +5.43 %     +5.40 %
Not reflecting CDSC
     +5.94 %     +5.75 %     +5.40 %
                         
Class C shares — first sold 3/15/01
                        
Reflecting CDSC, maximum of 1%, payable only if shares are sold within one year of purchase
     +4.87 %     +5.68 %     +4.94 %
Not reflecting CDSC
     +5.87 %     +5.68 %     +4.94 %
                         
Class F shares* — first sold 3/15/01
                        
Not reflecting annual asset-based fee charged by sponsoring firm
     +6.74 %     +6.52 %     +5.75 %
                         
Class 529-A shares†— first sold 2/15/02
                        
Reflecting 3.75% maximum sales charge
     +2.64 %     +5.70 %     +5.22 %
Not reflecting maximum sales charge
     +6.67 %     +6.50 %     +5.97 %
                         
Class 529-B shares†— first sold 2/15/02
                        
Reflecting applicable CDSC, maximum of 5%, payable only if shares are sold within six years of purchase
     +0.80 %     +5.26 %     +4.91 %
Not reflecting CDSC
     +5.80 %     +5.58 %     +5.07 %
                         
Class 529-C shares†— first sold 2/19/02
                        
Reflecting CDSC, maximum of 1%, payable only if shares are sold within one year of purchase
     +4.81 %     +5.60 %     +5.12 %
Not reflecting CDSC
     +5.81 %     +5.60 %     +5.12 %
                         
Class 529-E shares*†— first sold 3/7/02
     +6.36 %     +6.14 %     +5.70 %
                         
Class 529-F shares*†— first sold 9/26/02
                        
Not reflecting annual asset-based fee charged by sponsoring firm
     +6.88 %    
—
       +6.67 %
                         
 
*These shares are sold without any initial or contingent deferred sales charge.
†Results shown do not reflect the $10 initial account setup fee and an annual $10 account maintenance fee.
 
The fund’s investment adviser waived 5% of its management fees from September 1, 2004, through March 31, 2005, and increased it to 10% on April 1, 2005. Fund results shown reflect the waiver, without which they would have been lower. Please see the Financial Highlights table on pages 26 to 29 for details that include expense ratios for all share classes.

For information regarding the differences among the various share classes, please refer to the fund’s prospectus.
 
 
Summary investment portfolio June 30, 2007

unaudited
 
The following summary investment portfolio is designed to streamline the report and help investors better focus on a fund’s principal holdings.  For details on how to obtain a complete schedule of portfolio holdings, please see the inside back cover.
 
[pie chart]       
 Mortgage-backed obligations  24.3%    
 U.S. government & government agency bonds & notes 13.6     
 Non-U.S. government & government agency bonds & notes 6.7%     
 Asset-backed obligations 5.8     
 Preferred securities 3.8     
 Municipals 0.3     
 Convertible securities 0.2     
 Common stocks & warrants 0.4     
 Corporate bonds & notes 39.5     
 Short-term securities & other assets less liabilities 5.4     
 [end pie chart]      
       
 
Principal
Market
Percent
 
amount
value
of net
Bonds & notes  - 90.32%
(000)
(000)
assets
       
Corporate bonds & notes -  39.53%
      
Financials - 17.15%
      
Residential Capital Corp.:
      
 6.50% 2013
$                         94,000
$                      90,966
  
 6.00%-7.187% 2009-2015 (1)  (2)
137,125
135,529
  
General Motors Acceptance Corp. 5.85%-7.75% 2009-2014 (2)
225,185
223,050
1.39%
Washington Mutual Preferred Funding I Ltd., Series A-1, 6.534% (undated) (1)  (2)
120,500
116,704
  
Washington Mutual Preferred Funding II Ltd. 6.665% (undated) (1)  (2)
74,800
71,530
  
Washington Mutual Preferred Funding III Ltd. 6.895% (undated) (1)  (2)
64,600
63,774
  
Washington Mutual, Inc. 5.00%-6.75% 2012-2036 (2)
60,000
59,385
  
Washington Mutual Bank 5.78% 2013 (2)
47,000
47,067
  
Washington Mutual Bank, FA 5.125%-5.65%  2013-2015
25,500
24,437
1.19
International Lease Finance Corp. 3.50%-5.875% 2008-2014
130,500
128,874
  
American General Finance Corp. 5.40%-5.85% 2011-2015 (2)
77,500
77,139
  
ILFC E-Capital Trust II 6.25% 2065 (1)  (2)
42,460
41,480
  
AIG SunAmerica Global Financing VII 5.85% 2008 (1)
24,250
24,357
  
American International Group, Inc., Series A-1, 6.25% 2087 (2)
23,720
22,501
  
American General Capital I 6.00% 2067 (1)  (2)
10,500
10,059
  
ASIF Global Financing XVIII 3.85% 2007 (1)
5,785
5,751
  
American International Group, Inc. 5.00% 2023
£                              400
716
.97
J.P. Morgan Chase & Co. 4.00%-6.75% 2008-2015 (2)
$                        100,840
99,420
  
JPMorgan Chase Capital XXI, Series U, 6.305% 2037 (2)
30,000
29,742
  
JPMorgan Chase Capital XX, Series T, 6.55% 2066
27,670
26,732
  
JPMorgan Chase Capital XVIII, Series R, 6.95% 2066
17,400
17,643
  
Bank One Corp. 4.90% 2015
9,000
8,527
  
BANK ONE, Texas, NA 6.25% 2008
7,250
7,280
.59
BNP Paribas 7.195% (undated) (1)  (2)
93,100
94,446
.29
Other securities
  
4,096,599
12.72
   
5,523,708
17.15
       
Consumer discretionary - 5.36%
      
Other securities
  
1,727,457
5.36
       
       
Industrials - 3.88%
      
Other securities
  
1,248,523
3.88
       
       
Telecommunication services  - 3.65%
      
SBC Communications Inc. 4.125%-6.45% 2009-2034
136,582
134,862
  
AT&T Wireless Services, Inc.:
      
 7.875% 2011
28,855
31,049
  
 8.125% 2012
87,630
96,450
  
BellSouth Corp. 4.75%-6.55% 2012-2034
74,760
72,636
  
AT&T Corp. 7.30% 2011 (2)
4,734
5,044
  
AT&T Inc. 6.80% 2036
3,710
3,855
  
BellSouth Capital Funding Corp. 7.875% 2030
1,500
1,698
1.07
Verizon Communications Inc. 5.50% 2017
96,265
92,950
.29
France Télécom 7.75% 2011 (2)
85,050
90,938
.28
Other securities
  
646,604
2.01
   
1,176,086
3.65
       
Energy  - 2.97%
      
Gaz Capital SA 6.51% 2022 (1)
99,010
97,970
.30
TransCanada PipeLines Ltd. 6.35% 2067 (2)
84,115
81,010
.25
Other securities
  
775,698
2.42
   
954,678
2.97
       
Utilities - 2.21%
      
Other securities
  
710,634
2.21
       
       
Other corporate bonds & notes - 4.31%
      
Other securities
  
1,388,254
4.31
       
       
       
Total corporate bonds & notes
  
12,729,340
39.53
       
       
Mortgage-backed obligations (3) - 24.34%
      
Fannie Mae:
      
 5.50% 2033
136,410
132,194
  
 5.50% 2037
114,021
109,981
  
 0%-12.00% 2009-2042 (2)
1,918,199
1,869,758
6.56
Freddie Mac:
      
 6.00% 2027
241,315
240,202
  
 6.00% 2037
317,795
314,344
  
 0%-11.00% 2007-2037 (2)
962,232
933,155
4.62
CS First Boston Mortgage Securities Corp. 0%- 8.067% 2018-2041 (1)  (2)
504,482
484,278
1.50
Countrywide Alternative Loan Trust, 4.75%-6.029% 2019-2036 (2)
356,132
351,873
1.09
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046
91,455
89,672
.28
Wells Fargo Mortgage-backed Securities Trust Series 2005-1, Class I-A-1, 4.75% 2020
86,868
82,609
.26
Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class III-A-1, 6.25% 2037
81,750
80,990
.25
Other securities
  
3,151,252
9.78
   
7,840,308
24.34
       
U.S. government & government agency bonds & notes  - 13.65%
      
U.S. Treasury:
      
 4.50% 2011
365,486
359,375
  
 4.875% 2012
105,490
105,367
  
 3.625% 2013
100,000
93,469
  
 4.25% 2013
895,150
864,375
  
 11.25% 2015
160,000
222,512
  
 4.50% 2016
744,930
717,867
  
 8.875% 2017
80,000
103,662
  
 6.875% 2025
129,700
154,587
  
 4.50% 2036
247,383
224,035
  
 0%-12.00% 2007-2037 (4)  (5)
532,848
492,929
10.37
Federal Home Loan Bank:
      
 3.375% 2008
93,250
92,132
  
 4.875% 2008
139,750
139,331
  
 3.70%-5.625% 2007-2016 (2)
167,885
167,714
1.24
Fannie Mae:
      
 4.25% 2007
198,446
198,384
  
 4.125%-5.25% 2007- 2014
193,260
191,282
1.21
Freddie Mac:
      
 5.25% 2011
90,000
89,995
  
 4.00%-4.50% 2007-2014
93,315
91,382
.56
Other securities
  
86,592
.27
   
4,394,990
13.65
       
Non-U.S. government & government agency bonds & notes  - 6.67%
      
Japanese Government 0.90% 2008
¥                   17,679,050
143,496
.45
Israeli Government 7.50% 2014
ILS                   539,902
142,317
.44
South Korean Government 5.25% 2015
KRW          109,531,970
116,662
.36
Hungarian Government 7.25% 2012
HUF             16,853,240
94,256
.29
Singapore (Republic of) 3.125% 2011
S$                      131,540
87,658
.27
Canadian Government 4.25% 2026 (2)  (4)
C$                       66,703
83,732
.26
German Government 4.50% 2009
€                          59,040
79,933
.25
Other securities
  
1,398,729
4.35
   
2,146,783
6.67
       
Asset-backed obligations (3) - 5.81%
      
Residential Funding Mortgage Securities II, Inc., Series 2007-HSA2, Class A-1F, MBIA insured, 8.47% 2037 (2)
$                         84,430
85,591
.27
Other securities
  
1,786,710
5.54
   
1,872,301
5.81
       
Municipals - 0.32%
      
Other securities
  
104,370
.32
       
       
       
Total bonds & notes (cost: $29,174,835,000)
  
29,088,092
90.32
       
       
       
       
       
Convertible securities  - 0.15%
Shares
    
       
Financials  - 0.03%
      
Fannie Mae, Series 2004-1, 5.375% convertible preferred
95
9,429
.03
       
       
Other - 0.12%
      
Other securities
  
39,514
.12
       
       
       
Total convertible securities (cost: $37,494,000)
  
48,943
.15
       
       
       
       
       
Preferred securities - 3.78%
      
       
Financials  - 3.76%
      
Fuji JGB Investment LLC, Series A, 9.87% noncumulative (1)  (2)
121,238,000
126,059
.39
Sumitomo Mitsui Banking Corp. 6.078% (1)  (2)
119,258,000
115,324
.36
MUFG Capital Finance 1 Ltd. 6.346% noncumulative (2)
97,323,000
95,384
.30
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up (1)  (2)
71,250,000
78,730
.24
Fannie Mae:
      
 Series O, 7.495% (1)  (2)
900,000
46,884
  
 Series E, 5.10%
150,000
6,528
.17
Freddie Mac:
      
5.57%
830,000
19,640
  
 Series U, 5.90%
500,000
12,625
.10
Other securities
  
710,632
2.20
   
1,211,806
3.76
       
Other - 0.02%
      
Other securities
  
5,418
.02
       
       
       
Total preferred securities (cost: $1,160,585,000)
  
1,217,224
3.78
       
       
       
       
       
Common stocks  - 0.37%
      
       
Other - 0.26%
      
Other securities
  
88,502
.26
       
       
Miscellaneous -  0.11%
      
Other common stocks in initial period of acquisition
  
32,125
.11
       
       
Total common stocks (cost: $81,729,000)
  
120,627
.37
       
       
       
       
       
Warrants  - 0.00%
      
       
Telecommunication services - 0.00%
      
Other securities
  
17
.00
       
       
Total warrants (cost: $143,000)
  
17
.00
       
       
       
 
Principal
    
 
amount
    
Short-term securities  - 5.62%
(000)
    
       
CAFCO, LLC 5.25%-5.27% due 7/6-8/17/2007 (1)  (5)
$                       206,400
205,481
.64
Procter & Gamble International Funding S.C.A. 5.21%-5.24% due 8/6-9/14/2007 (1)  (5)
176,723
175,160
.54
Clipper Receivables Co., LLC 5.24%-5.26% due 7/23-8/13/2007 (1)  (5)
159,600
158,791
.49
Bank of America Corp. 5.235%-5.245% due 7/27-8/14/2007 (5)
88,500
88,029
  
Ranger Funding Co. LLC 5.25%-5.27% due 8/8-8/28/2007 (1)  (5)
50,000
49,667
.43
Wal-Mart Stores Inc. 5.18%-5.20% due 7/24-9/18/2007 (1)  (5)
138,500
137,418
.43
JPMorgan Chase & Co. 5.24% due 8/2/2007 (5)
50,000
49,759
  
Jupiter Securitization Co., LLC 5.24%-5.35% due 7/2-7/12/2007 (1)
46,924
46,881
  
Park Avenue Receivables Co., LLC 5.24% due 7/16/2007 (1)
38,200
38,111
.42
Three Pillars Funding, LLC 5.26%-5.37% due 7/2-7/10/2007 (1)
125,200
125,039
.39
Honeywell International Inc. 5.19%-5.22% due 7/23-8/16/2007 (1)  (5)
105,900
105,427
.33
Coca-Cola Co. 5.19%-5.22% due 7/18/2007 (1)
59,400
59,249
  
Atlantic Industries 5.24% due 7/30/2007 (1)
34,410
34,260
.29
Johnson & Johnson 5.19%-5.23% due 8/8-9/24/2007 (1)  (5)
80,000
79,260
.25
Federal Home Loan Bank 5.115% due 7/20/2007
50,000
49,864
.15
International Lease Finance Corp. 5.21% due 7/10/2007
30,300
30,256
.09
Other securities
  
375,269
1.17
       
       
Total short-term securities (cost: $1,807,801,000)
  
1,807,921
5.62
       
       
Total investment securities (cost: $32,262,587,000)
  
32,282,824
100.24
Other assets less liabilities
  
                      (76,485)
        (.24)
       
Net assets
  
$32,206,339
100.00%
       
       
"Miscellaneous" securities include holdings in their initial period of acquisition that have not previously been publicly disclosed. 
"Other securities" includes all issues that are not disclosed separately in the summary investment portfolio.  
 
Investments in affiliates
                                    
                                     
A company is considered to be an affiliate of the fund under the Investment Company Act of 1940 if the fund's holdings in that company represent 5% or more of the outstanding voting shares of that company. The market value of the fund's holdings in affiliated companies is included in "Other securities" under their respective industry sectors in the preceding summary investment portfolio. Further details on these holdings and related transactions during the six months ended June 30, 2007, appear below.
  
                                     
                                     
                                 
Market value
  
                           
Dividend
    
of affiliates
  
                           
income
    
at 6/30/07
  
Company
  
Beginning shares
    
Purchases
    
Sales
    
Ending shares
       (000 )     (000 )
ZiLOG, Inc. (6)
    
879,000
      
-
      
-
      
879,000
      
-
     $
4,509
  
Clarent Hospital Corp. (6)  (7)
    
331,291
      
-
      
-
      
331,291
      
-
      
33
  
                                                 
                                     
-
     $
4,542
  
 
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
 
(1) Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public
may require registration. The total value of all such restricted securities,  including those in "Other securities" in the
summary investment portfolio, was $7,146,317,000, which represented 22.19% of the net assets of the fund.
(2) Coupon rate may change periodically.
(3) Principal payments may be made periodically. Therefore, the effective maturity date may be
earlier than the stated maturity date.
(4) Index-linked bond whose principal amount moves with a government retail price index.
(5) This security, or a portion of this security, has been segregated to cover funding requirements
on investment transactions settling in the future.
(6) Security did not produce income during the last 12 months.
(7) Valued under fair value procedures adopted by authority of the board of directors. The total value of all such securities,
including those in “Miscellaneous” and “Other securities,” was $22,486,000.
 
 
See Notes to Financial Statements
 
 
Financial statements
      
       
Statement of assets and liabilities at June 30, 2007
    
unaudited
 
  (dollars and shares in thousands, except per-share amounts)
       
Assets:
      
 Investment securities at market:
      
  Unaffiliated issuers (cost: $32,246,635)
  
$32,278,282
  
  Affiliated issuers (cost: $15,952)
  
4,542
$32,282,824
 Cash
    
14,270
 Receivables for:
      
  Sales of investments
  
453,474
  
  Sales of fund's shares
  
124,488
  
  Open forward currency contracts
  
29
  
  Closed forward currency contracts
  
1,148
  
  Dividends and interest
  
370,640
949,779
     
33,246,873
Liabilities:
      
 Payables for:
      
  Purchases of investments
  
955,735
  
  Repurchases of fund's shares
  
43,525
  
  Dividends on fund's shares
  
22,186
  
  Open forward currency contracts
  
117
  
  Investment advisory services
  
5,804
  
  Services provided by affiliates
  
12,083
  
  Deferred directors' compensation
  
523
  
  Other
  
561
1,040,534
Net assets at June 30, 2007
    
$32,206,339
       
Net assets consist of:
      
 Capital paid in on shares of capital stock
    
$32,588,820
 Undistributed net investment income
    
88,490
 Accumulated net realized loss
    
(491,821)
 Net unrealized appreciation
    
20,850
Net assets at June 30, 2007
    
$32,206,339
       
Total authorized capital stock - 5,000,000 shares, $.001 par value (2,441,747 total shares outstanding)
 
Net assets
Shares outstanding
Net asset value
per share*
       
Class A
$23,053,671
1,747,831
$13.19
Class B
1,499,456
113,683
13.19
Class C
2,218,327
168,185
13.19
Class F
2,349,010
178,092
13.19
Class 529-A
462,555
35,069
13.19
Class 529-B
73,640
5,583
13.19
Class 529-C
211,392
16,027
13.19
Class 529-E
24,710
1,873
13.19
Class 529-F
18,785
1,424
13.19
Class R-1
46,391
3,516
13.19
Class R-2
588,587
44,624
13.19
Class R-3
757,697
57,445
13.19
Class R-4
451,024
34,195
13.19
Class R-5
451,094
34,200
13.19
(*) Maximum offering price and redemption price per share were equal to the net asset value per share for all share classes, except for Class A and 529-A, for which the maximum offering prices per share were $13.70 each.
       
       
See Notes to Financial Statements
      
       
Statement of operations
    
unaudited
for the six months ended June 30, 2007
  
(dollars in thousands)
       
Investment income:
      
 Income:
      
  Interest (net of non-U.S. taxes of $537)
  
$849,091
  
  Dividends
  
13,173
$862,264
       
 Fees and expenses(*):
      
  Investment advisory services
  
36,889
  
  Distribution services
  
53,371
  
  Transfer agent services
  
13,112
  
  Administrative services
  
6,030
  
  Reports to shareholders
  
719
  
  Registration statement and prospectus
  
1,213
  
  Postage, stationery and supplies
  
1,640
  
  Directors' compensation
  
155
  
  Auditing and legal
  
14
  
  Custodian
  
688
  
  State and local taxes
  
206
  
  Other
  
142
  
  Total fees and expenses before reimbursements/waivers
  
114,179
  
 Less reimbursements/waivers of fees and expenses:
      
  Investment advisory services
  
3,739
  
  Administrative services
  
249
  
  Total fees and expenses after reimbursements/waivers
    
110,191
 Net investment income
    
752,073
       
Net realized gain and unrealized depreciation on investments
      
 and non-U.S. currency:
      
 Net realized gain on:
      
  Investments
  
44,074
  
  Non-U.S. currency transactions
  
4,697
48,771
 Net unrealized depreciation on:
      
  Investments
  
(443,494)
  
  Non-U.S. currency translations
  
(835)
(444,329)
   Net realized gain and unrealized depreciation
      
    on investments and non-U.S. currency
    
(395,558)
Net increase in net assets resulting from operations
    
$356,515
       
(*) Additional information related to class-specific fees and expenses is included in the Notes to Financial Statements.
       
See Notes to Financial Statements
      
       
       
       
       
       
Statements of changes in net assets
  
(dollars in thousands)
       
   
Six months
Year ended
   
ended June 30,
December 31,
   
2007*
2006
Operations:
      
 Net investment income
  
$752,073
$1,234,916
 Net realized gain (loss) on investments and  non-U.S. currency transactions
48,771
(87,674)
 Net unrealized (depreciation) appreciation on investments and non-U.S. currency translations
(444,329)
264,345
  Net increase in net assets resulting from operations
  
356,515
1,411,587
       
Dividends paid or accrued to shareholders from net investment income and
    
 non-U.S. currency gain
  
(672,665)
(1,214,994)
       
Net capital share transactions
  
4,514,689
4,835,584
       
Total increase in net assets
  
4,198,539
5,032,177
       
Net assets:
      
 Beginning of period
  
28,007,800
22,975,623
 End of period (including undistributed net investment income:
      
  $88,490 and $9,082, respectively)
  
$32,206,339
$28,007,800
       
*Unaudited.
      
       
See Notes to Financial Statements
      
 
 
Notes to financial statements
unaudited

1.  
Organization and significant accounting policies

Organization– The Bond Fund of America, Inc. (the "fund") is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company. The fund seeks as high a level of current income as is consistent with preservation of capital through a diversified portfolio of bonds and other fixed-income obligations.

The fund offers 14 share classes consisting of four retail share classes, five 529 college savings plan share classes and five retirement plan share classes. The 529 college savings plan share classes (529-A, 529-B, 529-C, 529-E and 529-F) can be utilized to save for college education. The five retirement plan share classes (R-1, R-2, R-3, R-4 and R-5) are sold without any sales charges and do not carry any conversion rights. The fund’s share classes are described below:

Share class
Initial sales charge
Contingent deferred sales charge upon redemption
Conversion feature
Class A and 529-A
Up to 3.75%
None (except 1% for certain redemptions within one year of purchase without an initial sales charge)
None
Class B and 529-B
None
Declines from 5% to 0% for redemptions within six years of purchase
Class B and 529-B convert to Class A and 529-A, respectively, after eight years
Class C
None
1% for redemptions within one year of purchase
Class C converts to Class F after 10 years
Class 529-C
None
1% for redemptions within one year of purchase
None
Class 529-E
None
None
None
Class F and 529-F
None
None
None
Class R-1, R-2, R-3, R-4 and R-5
None
None
None
 

Holders of all share classes have equal pro rata rights to assets, dividends and liquidation proceeds. Each share class has identical voting rights, except for the exclusive right to vote on matters affecting only its class. Share classes have different fees and expenses ("class-specific fees and expenses"), primarily due to different arrangements for distribution, administrative and shareholder services. Differences in class-specific fees and expenses will result in differences in net investment income and, therefore, the payment of different per-share dividends by each class.

Significant accounting policies– The financial statements have been prepared to comply with accounting principles generally accepted in the United States of America. These principles require management to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. The following is a summary of the significant accounting policies followed by the fund:

Security valuation– Equity securities are valued at the official closing price of, or the last reported sale price on, the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price. Prices for each security are taken from the principal exchange or market in which the security trades. Fixed-income securities, including short-term securities purchased with more than 60 days left to maturity, are valued at prices obtained from an independent pricing service when such prices are available. However, where the investment adviser deems it appropriate, such securities will be valued at the mean quoted bid and asked prices (or bid prices, if asked prices are not available) or at prices for securities of comparable maturity, quality and type. Securities with both fixed-income and equity characteristics, or equity securities traded principally among fixed-income dealers, are valued in the manner described above for either equity or fixed-income securities, depending on which method is deemed most appropriate by the investment adviser. Short-term securities purchased within 60 days to maturity are valued at amortized cost, which approximates market value. The value of short-term securities originally purchased with maturities greater than 60 days is determined based on an amortized value to par when they reach 60 days or less remaining to maturity. The ability of the issuers of the debt securities held by the fund to meet their obligations may be affected by economic developments in a specific industry, state or region. Forward currency contracts are valued at the mean of representative quoted bid and asked prices.

Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the investment adviser are fair valued as determined in good faith under procedures adopted by authority of the fund's board of directors. Various factors may be reviewed in order to make a good faith determination of a security’s fair value. These factors include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions.

Security transactions and related investment income– Security transactions are recorded by the fund as of the date the trades are executed with brokers. Realized gains and losses from security transactions are determined based on the specific identified cost of the securities. In the event a security is purchased with a delayed payment date, the fund will segregate liquid assets sufficient to meet its payment obligations. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Market discounts, premiums and original issue discounts on fixed-income securities are amortized daily over the expected life of the security.

Class allocations – Income, fees and expenses (other than class-specific fees and expenses) are allocated daily among the various share classes based on the relative value of their settled shares. Realized and unrealized gains and losses are allocated daily among the various share classes based on their relative net assets. Class-specific fees and expenses, such as distribution, administrative and shareholder services, are charged directly to the respective share class.

Dividends and distributions to shareholders– Dividends paid to shareholders are declared daily from net investment income and are paid to shareholders monthly. Distributions paid to shareholders are recorded on the ex-dividend date.

Non-U.S. currency translation– Assets and liabilities, including investment securities, denominated in non-U.S. currencies are translated into U.S. dollars at the exchange rates in effect on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. In the accompanying financial statements, the effects of changes in non-U.S. exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in non-U.S. currencies are disclosed separately.

Forward currency contracts– The fund may enter into forward currency contracts, which represent agreements to exchange non-U.S. currencies on specific future dates at predetermined rates. The fund enters into these contracts to manage its exposure to changes in non-U.S. exchange rates arising from investments denominated in non-U.S. currencies. Upon entering into these contracts, risks may arise from the potential inability of counterparties to meet the terms of their contracts and from possible movements in non-U.S. exchange rates. Due to these risks, the fund could incur losses up to the entire contract amount, which may exceed the net unrealized value shown on the accompanying financial statements. On a daily basis, the fund values forward currency contracts based on the applicable exchange rates and records unrealized gains or losses. The fund records realized gains or losses at the time the forward contract is closed or offset by another contract with the same broker for the same settlement date and currency.

Mortgage dollar rolls – The fund may enter into mortgage dollar roll transactions in which the fund sells a mortgage-backed security to a counterparty and simultaneously enters into an agreement with the same counterparty to buy back a similar security on a specific future date at a predetermined price. Each mortgage dollar roll is treated as a financing transaction; therefore, any gain or loss is considered unrealized until the roll reaches completion. Risks may arise due to the delayed payment date and the potential inability of counterparties to complete the transaction. Income is generated as consideration for entering into these transactions and is included in interest income on the accompanying financial statements.

Loan transactions– The fund may enter into loan transactions in which the fund acquires a loan either through an agent, by assignment from another holder, or as a participation interest in another holder's portion of a loan. The loan is often administered by a financial institution that acts as agent for the holders of the loan, and the fund may be required to receive approval from the agent and/or borrower prior to the sale of the investment. The loan's interest rate and maturity date may change based on the terms of the loan, including potential early payments of principal. Risks may arise due to the delayed settlement date of the loan transaction and the ability of the agent and/or the borrower to meet the obligations of the loan.

2.  
Non-U.S. investments

Investment risk – The risks of investing in securities of non-U.S. issuers may include, but are not limited to, investment and repatriation restrictions; revaluation of currencies; adverse political, social and economic developments; government involvement in the private sector; limited and less reliable investor information; lack of liquidity; certain local tax law considerations; and limited regulation of the securities markets.

Taxation– Dividend and interest income is recorded net of non-U.S. taxes paid. Realized and unrealized gains on securities in certain countries are subject to non-U.S. taxes. The fund records a liability based on realized and unrealized gains to provide for potential non-U.S. taxes payable on these securities. For the six months ended June 30, 2007, there were no non-U.S. taxes recorded based on realized and unrealized gains.

3. Federal income taxation and distributions

The fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its net taxable income and net capital gains each year. The fund is not subject to income taxes to the extent such distributions are made. Therefore, no federal income tax provision is required. 

The fund adopted the provisions of Financial Accounting Standards Board Interpretation No. 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes, on June 29, 2007. The implementation of FIN 48 resulted in no material liability for unrecognized tax benefits and no material change to the beginning net asset value of the fund.

As of and during the period ended June 30, 2007, the fund did not have a liability for any unrecognized tax benefits. The fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the fund did not incur any interest or penalties.

The fund is not subject to examination by U.S. federal tax authorities for tax years before 2003, by state tax authorities for tax years before 2002 and by non-U.S. tax authorities for tax years before 2005.

Distributions– Distributions paid to shareholders are based on net investment income and net realized gains determined on a tax basis, which may differ from net investment income and net realized gains for financial reporting purposes. These differences are due primarily to differing treatment for items such as non-U.S. currency gains and losses; short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase; unrealized appreciation of certain investments in non-U.S. securities; cost of investments sold; and net capital losses. The fiscal year in which amounts are distributed may differ from the year in which the net investment income and net realized gains are recorded by the fund for financial reporting purposes.

The components of distributable earnings on a tax basis are reported as of the fund’s most recent year-end. As of December 31, 2006, the components of distributable earnings on a tax basis were as follows:

     
 
(dollars in thousands)
Undistributed ordinary income
    
                $19,605
Capital loss carryforwards*:
      
     Expiring 2010
  
$(183,032)
  
     Expiring 2011
  
(243,982)
  
     Expiring 2014
  
(69,196)
(496,210)
*The capital loss carryforwards will be used to offset any capital gains realized by the fund in the current year or in subsequent years through the expiration dates. The fund will not make distributions from capital gains while capital loss carryforwards remain.   

As of June 30, 2007, the tax basis unrealized appreciation (depreciation) and cost of investments were as follows:

     
(dollars in thousands)
Gross unrealized appreciation on investment securities
    
$411,044
Gross unrealized depreciation on investment securities
    
(458,929)
Net unrealized depreciation on investment securities
    
(47,885)
Cost of investment securities
    
32,330,709

Ordinary income distributions paid or accrued to shareholders from net investment income and non-U.S. currency gain were as follows (dollars in thousands):
 
Share class
  
Six months ended June 30, 2007
    
Year ended December 31, 2006
  
Class A
   $
500,679
     $
941,317
  
Class B
    
28,441
      
59,893
  
Class C
    
38,464
      
66,720
  
Class F
    
45,532
      
55,145
  
Class 529-A
    
9,650
      
16,173
  
Class 529-B
    
1,328
      
2,569
  
Class 529-C
    
3,570
      
5,889
  
Class 529-E
    
486
      
840
  
Class 529-F
    
393
      
550
  
Class R-1
    
722
      
943
  
Class R-2
    
10,401
      
17,973
  
Class R-3
    
14,405
      
21,268
  
Class R-4
    
9,004
      
12,290
  
Class R-5
    
9,590
      
13,424
  
Total
   $
672,665
     $
1,214,994
  

 

4. Fees and transactions with related parties

Capital Research and Management Company ("CRMC"), the fund’s investment adviser, is the parent company of American Funds Service Company SM ("AFS"), the fund’s transfer agent, and American Funds Distributors, SM Inc. ("AFD"), the principal underwriter of the fund’s shares.

Investment advisory services– The Investment Advisory and Service Agreement with CRMC provides for monthly fees accrued daily. These fees are based on a declining series of annual rates beginning with 0.30% on the first $60 million of daily net assets and decreasing to 0.12% on such assets in excess of $20 billion. The agreement also provides for monthly fees, accrued daily, based on a declining series of rates beginning with 2.25% on the first $8,333,333 of the fund's monthly gross income and decreasing to 1.75% on such income in excess of $41,666,667. During the six months ended June 30, 2007, CRMC reduced investment advisory service rates to a proposed rate that would continue the series of rates to include an additional annual rate of 0.115% on daily net assets in excess of $28 billion. CRMC is currently waiving 10% of investment advisory services fees. During the six months ended June 30, 2007, total investment advisory services fees waived by CRMC were $3,739,000. As a result, the fee shown on the accompanying financial statements of $36,889,000, which was equivalent to an annualized rate of 0.246%, was reduced to $33,150,000, or 0.221% of average daily net assets.

Class-specific fees and expenses – Expenses that are specific to individual share classes are accrued directly to the respective share class. The principal class-specific fees and expenses are described below:

Distribution services – The fund has adopted plans of distribution for all share classes, except Class R-5. Under the plans, the board of directors approves certain categories of expenses that are used to finance activities primarily intended to sell fund shares and service existing accounts. The plans provide for payments, based on an annualized percentage of average daily net assets, ranging from 0.25% to 1.00% as noted below. In some cases, the board of directors has limited the amounts that may be paid to less than the maximum allowed by the plans. All share classes may use up to 0.25% of average daily net assets to pay service fees, or to compensate AFD for paying service fees, to firms that have entered into agreements with AFD to provide certain shareholder services. The remaining amounts available to be paid under each plan are paid to dealers to compensate them for their sales activities.

For Class A and 529-A, the board of directors has also approved the reimbursement of dealer and wholesaler commissions paid by AFD for certain shares sold without a sales charge. These classes reimburse AFD for amounts billed within the prior 15 months but only to the extent that the overall annual expense limit of 0.25% is not exceeded. As of June 30, 2007, unreimbursed expenses subject to reimbursement totaled $8,862,000 for Class A. There were no unreimbursed expenses subject to reimbursement for Class 529-A.

Share class
Currently approved limits
Plan limits
Class A
0.25%
0.25%
Class 529-A
0.25
0.50
Class B and 529-B
1.00
1.00
Class C, 529-C and R-1
1.00
1.00
Class R-2
0.75
1.00
Class 529-E and R-3
0.50
0.75
Class F, 529-F and R-4
0.25
0.50

Transfer agent services– The fund has a transfer agent agreement with AFS for Class A and B. Under this agreement, these share classes compensate AFS for transfer agent services including shareholder recordkeeping, communications and transaction processing. AFS is also compensated for certain transfer agent services provided to all other share classes from the administrative services fees paid to CRMC described on the following page.

Administrative services – The fund has an administrative services agreement with CRMC to provide transfer agent and other related shareholder services for all share classes other than Class A and B. Each relevant share class pays CRMC annual fees up to 0.15% (0.10% for Class R-5) based on its respective average daily net assets. Each relevant share class also pays AFS additional amounts for certain transfer agent services. CRMC and AFS may use these fees to compensate third parties for performing these services. CRMC has agreed to pay AFS on the fund's behalf for a portion of the transfer agent services fees for some of the retirement plan share classes. For the six months ended June 30, 2007, the total administrative services fees paid by CRMC were $1,000 and $248,000 for Class R-1 and R-2, respectively. Administrative services fees are presented gross of any payments made by CRMC. Each 529 share class is subject to an additional annual administrative services fee of 0.10% of its respective average daily net assets; this fee is payable to the Commonwealth of Virginia for the maintenance of the 529 college savings plan. Although these amounts are included with administrative services fees on the accompanying financial statements, the Commonwealth of Virginia is not considered a related party.

Expenses under the agreements described above for the six months ended June 30, 2007, were as follows (dollars in thousands):

Share class
Distribution services
Transfer agent services
Administrative services
CRMC administrative services
Transfer agent services
Commonwealth of Virginia administrative services
Class A
$27,200
$12,326
Not applicable
Not applicable
Not applicable
Class B
7,363
 786
Not applicable
Not applicable
Not applicable
Class C
10,124
 
 
 
Included
in
administrative services
$1,444
$195
Not applicable
Class F
2,470
 893
139
Not applicable
Class 529-A
455
219
 35
$213
Class 529-B
355
 36
 8
 36
Class 529-C
950
 98
 20
 95
Class 529-E
57
 12
2
 8
Class 529-F
-
 9
2
 11
Class R-1
190
 23
 16
Not applicable
Class R-2
2,036
373
 973
Not applicable
Class R-3
1,682
 450
 251
Not applicable
Class R-4
489
 262
 14
Not applicable
Class R-5
Not applicable
 187
 6
Not applicable
Total
$53,371
$13,112
$4,006
$1,661
$363

Deferred directors’ compensation– Since the adoption of the deferred compensation plan in 1993, directors who are unaffiliated with CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the fund, are treated as if invested in shares of the fund or other American Funds. These amounts represent general, unsecured liabilities of the fund and vary according to the total returns of the selected funds. Directors’ compensation of $155,000, shown on the accompanying financial statements, includes $103,000 in current fees (either paid in cash or deferred) and a net increase of $52,000 in the value of the deferred amounts.

Affiliated officers and directors – Officers and certain directors of the fund are or may be considered to be affiliated with CRMC, AFS and AFD. No affiliated officers or directors received any compensation directly from the fund.

5. Capital share transactions

Capital share transactions in the fund were as follows (dollars and shares in thousands):
 
Share class
  
Sales*
          
Reinvestments of dividends
    
Repurchases*
          
Net increase
        
   
Amount
    
Shares
    
Amount
    
Shares
    
Amount
    
Shares
    
Amount
    
Shares
  
Six months ended June 30, 2007
                                            
Class A
   $
3,936,078
      
295,053
     $
430,355
      
32,280
     $ (1,757,529 )     (131,840 )   $
2,608,904
      
195,493
  
Class B
    
142,760
      
10,696
      
23,477
      
1,761
       (110,665 )     (8,298 )    
55,572
      
4,159
  
Class C
    
538,363
      
40,354
      
32,165
      
2,413
       (177,365 )     (13,302 )    
393,163
      
29,465
  
Class F
    
942,701
      
70,681
      
36,067
      
2,706
       (216,760 )     (16,264 )    
762,008
      
57,123
  
Class 529-A
    
84,749
      
6,354
      
9,310
      
698
       (14,829 )     (1,113 )    
79,230
      
5,939
  
Class 529-B
    
6,772
      
508
      
1,283
      
96
       (2,291 )     (172 )    
5,764
      
432
  
Class 529-C
    
48,472
      
3,634
      
3,439
      
258
       (8,161 )     (612 )    
43,750
      
3,280
  
Class 529-E
    
4,272
      
320
      
469
      
35
       (787 )     (59 )    
3,954
      
296
  
Class 529-F
    
4,680
      
351
      
378
      
28
       (613 )     (46 )    
4,445
      
333
  
Class R-1
    
22,353
      
1,676
      
684
      
51
       (5,373 )     (403 )    
17,664
      
1,324
  
Class R-2
    
165,021
      
12,376
      
9,983
      
749
       (80,184 )     (6,018 )    
94,820
      
7,107
  
Class R-3
    
285,161
      
21,377
      
13,834
      
1,038
       (103,937 )     (7,790 )    
195,058
      
14,625
  
Class R-4
    
173,452
      
13,006
      
8,669
      
650
       (51,449 )     (3,859 )    
130,672
      
9,797
  
Class R-5
    
144,513
      
10,834
      
8,054
      
604
       (32,882 )     (2,468 )    
119,685
      
8,970
  
Total net increase
                                                                
   (decrease)
   $
6,499,347
      
487,220
     $
578,167
      
43,367
     $ (2,562,825 )     (192,244 )   $
4,514,689
      
338,343
  
                                                                 
Year ended December 31, 2006
                                                          
Class A
   $
5,447,659
      
413,075
     $
828,398
      
62,824
     $ (3,488,816 )     (264,831 )   $
2,787,241
      
211,068
  
Class B
    
211,762
      
16,071
      
50,434
      
3,825
       (228,925 )     (17,385 )    
33,271
      
2,511
  
Class C
    
676,419
      
51,255
      
56,789
      
4,305
       (327,868 )     (24,894 )    
405,340
      
30,666
  
Class F
    
981,606
      
74,277
      
44,262
      
3,353
       (228,643 )     (17,352 )    
797,225
      
60,278
  
Class 529-A
    
124,278
      
9,418
      
16,139
      
1,224
       (28,777 )     (2,183 )    
111,640
      
8,459
  
Class 529-B
    
11,920
      
903
      
2,563
      
195
       (4,252 )     (323 )    
10,231
      
775
  
Class 529-C
    
58,933
      
4,463
      
5,874
      
445
       (17,057 )     (1,294 )    
47,750
      
3,614
  
Class 529-E
    
6,627
      
502
      
837
      
64
       (1,969 )     (149 )    
5,495
      
417
  
Class 529-F
    
7,487
      
568
      
549
      
42
       (945 )     (72 )    
7,091
      
538
  
Class R-1
    
16,185
      
1,224
      
931
      
71
       (5,750 )     (436 )    
11,366
      
859
  
Class R-2
    
228,880
      
17,369
      
17,884
      
1,355
       (102,796 )     (7,797 )    
143,968
      
10,927
  
Class R-3
    
295,955
      
22,433
      
21,159
      
1,604
       (112,658 )     (8,548 )    
204,456
      
15,489
  
Class R-4
    
187,503
      
14,206
      
12,269
      
929
       (58,770 )     (4,461 )    
141,002
      
10,674
  
Class R-5
    
171,087
      
12,937
      
11,226
      
851
       (52,805 )     (3,994 )    
129,508
      
9,794
  
Total net increase
                                                                
   (decrease)
   $
8,426,301
      
638,701
     $
1,069,314
      
81,087
     $ (4,660,031 )     (353,719 )   $
4,835,584
      
366,069
  
                                                                 
                                                                 
(*) Includes exchanges between share classes of the fund.
                                  

 

6. Forward currency contracts

As of June 30, 2007, the fund had open forward currency contracts to purchase or sell non-U.S. currencies as follows (amounts in thousands):
 
   
Contract amount
          
U.S. valuations at June 30, 2007
  
                         
                     
Unrealized
  
                     
appreciation
  
Non-U.S.currency contracts
  
Non-U.S.
    
U.S.
    
Amount
    
(depreciation)
  
                         
Purchases:
                        
 Euros
                        
expiring 9/25/2007
   €
2,000
     $
2,686
     $
2,715
     $
29
  
                                 
Sales:
                                
 Euros
                                
expiring 8/14 to 9/20/2007
   €
6,695
      
8,968
      
9,085
       (117 )
                                 
Forward currency contracts - net
                     $ (88 )

 

7. Investment transactions

The fund made purchases and sales of investment securities, excluding short-term securities, of $11,418,603,000 and $6,618,116,000, respectively, during the six months ended June 30, 2007.
 
 
Financial highlights
(1)
                                
                                   
     
Income from investment operations(2)
                        
                                   
   
Net asset value, beginning of period
Net investment income
Net (losses) gains on securities (both realized and unrealized)
Total from investment operations
Dividends (from net investment income)
Net asset value, end of period
Total return (3)(4)
Net assets, end of period (in millions)
Ratio of
expenses to average
net assets
before reimbursements/ waivers
Ratio of
expenses to average
net assets
after reimbursements/ waivers (4)
Ratio of net income to average net assets (4)
Class A:
                                  
 Six months ended 6/30/2007
(5)
$13.32
$.34
  
$(.17)
$.17
$(.30)
$13.19
1.31%
$23,054
  
.64%
(6)
.62%
(6)
5.13%
(6)
 Year ended 12/31/2006
  
 13.22
.67
  
.09
.76
(.66)
13.32
5.88
20,670
  
.65
  
.62
  
5.07
  
 Year ended 12/31/2005
  
 13.65
.62
  
(.36)
.26
(.69)
13.22
1.94
17,738
  
.65
  
.62
  
4.60
  
 Year ended 12/31/2004
  
 13.51
.61
  
.16
.77
(.63)
13.65
5.85
15,822
  
.65
  
.65
  
4.54
  
 Year ended 12/31/2003
  
 12.70
.68
  
.84
1.52
(.71)
13.51
12.22
13,991
  
.67
  
.67
  
5.15
  
 Year ended 12/31/2002
  
 12.79
.82
  
(.08)
.74
(.83)
12.70
6.11
12,600
  
.71
  
.71
  
6.59
  
Class B:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.29
  
(.17)
.12
(.25)
13.19
.94
1,499
  
1.39
(6)
1.36
(6)
4.40
(6)
 Year ended 12/31/2006
  
 13.22
.57
  
.09
.66
(.56)
13.32
5.09
1,458
  
1.40
  
1.37
  
4.33
  
 Year ended 12/31/2005
  
 13.65
.52
  
(.36)
.16
(.59)
13.22
1.19
1,415
  
1.38
  
1.36
  
3.87
  
 Year ended 12/31/2004
  
 13.51
.51
  
.16
.67
(.53)
13.65
5.07
1,394
  
1.39
  
1.38
  
3.80
  
 Year ended 12/31/2003
  
 12.70
.58
  
.84
1.42
(.61)
13.51
11.38
1,274
  
1.41
  
1.41
  
4.37
  
 Year ended 12/31/2002
  
 12.79
.72
  
(.08)
.64
(.73)
12.70
5.28
939
  
1.47
  
1.47
  
5.77
  
Class C:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.29
  
(.17)
.12
(.25)
13.19
.91
2,218
  
1.44
(6)
1.42
(6)
4.32
(6)
 Year ended 12/31/2006
  
 13.22
.56
  
.09
.65
(.55)
13.32
5.04
1,847
  
1.45
  
1.42
  
4.27
  
 Year ended 12/31/2005
  
 13.65
.51
  
(.36)
.15
(.58)
13.22
1.12
1,429
  
1.44
  
1.42
  
3.81
  
 Year ended 12/31/2004
  
 13.51
.50
  
.16
.66
(.52)
13.65
4.99
1,123
  
1.46
  
1.45
  
3.71
  
 Year ended 12/31/2003
  
 12.70
.57
  
.84
1.41
(.60)
13.51
11.29
848
  
1.49
  
1.49
  
4.26
  
 Year ended 12/31/2002
  
 12.79
.71
  
(.08)
.63
(.72)
12.70
5.20
554
  
1.55
  
1.55
  
5.66
  
Class F:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.34
  
(.17)
.17
(.30)
13.19
1.31
2,349
  
.62
(6)
.60
(6)
5.12
(6)
 Year ended 12/31/2006
  
 13.22
.67
  
.09
.76
(.66)
13.32
5.90
1,611
  
.63
  
.60
  
5.07
  
 Year ended 12/31/2005
  
 13.65
.62
  
(.36)
.26
(.69)
13.22
1.92
803
  
.65
  
.63
  
4.60
  
 Year ended 12/31/2004
  
 13.51
.60
  
.16
.76
(.62)
13.65
5.80
487
  
.70
  
.69
  
4.46
  
 Year ended 12/31/2003
  
 12.70
.67
  
.84
1.51
(.70)
13.51
12.15
292
  
.72
  
.72
  
5.02
  
 Year ended 12/31/2002
  
 12.79
.81
  
(.08)
.73
(.82)
12.70
6.04
180
  
.77
  
.77
  
6.44
  
Class 529-A:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.34
  
(.17)
.17
(.30)
13.19
1.27
462
  
.71
(6)
.69
(6)
5.07
(6)
 Year ended 12/31/2006
  
 13.22
.66
  
.09
.75
(.65)
13.32
5.85
388
  
.68
  
.66
  
5.05
  
 Year ended 12/31/2005
  
 13.65
.61
  
(.36)
.25
(.68)
13.22
1.88
273
  
.69
  
.67
  
4.57
  
 Year ended 12/31/2004
  
 13.51
.60
  
.16
.76
(.62)
13.65
5.80
187
  
.70
  
.70
  
4.48
  
 Year ended 12/31/2003
  
 12.70
.67
  
.84
1.51
(.70)
13.51
12.21
110
  
.68
  
.68
  
5.05
  
 Period from 2/15/2002 to 12/31/2002
  
 12.76
.69
  
(.04)
.65
(.71)
12.70
5.33
50
  
.75
(6)
.75
(6)
6.46
(6)
Class 529-B:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.29
  
(.17)
.12
(.25)
13.19
.88
74
  
1.50
(6)
1.48
(6)
4.28
(6)
 Year ended 12/31/2006
  
 13.22
.55
  
.09
.64
(.54)
13.32
4.97
69
  
1.53
  
1.50
  
4.20
  
 Year ended 12/31/2005
  
 13.65
.50
  
(.36)
.14
(.57)
13.22
1.02
58
  
1.54
  
1.52
  
3.71
  
 Year ended 12/31/2004
  
 13.51
.48
  
.16
.64
(.50)
13.65
4.86
49
  
1.59
  
1.58
  
3.60
  
 Year ended 12/31/2003
  
 12.70
.55
  
.84
1.39
(.58)
13.51
11.18
35
  
1.61
  
1.61
  
4.13
  
 Period from 2/15/2002 to 12/31/2002
  
 12.76
.60
  
(.04)
.56
(.62)
12.70
4.55
17
  
1.64
(6)
1.64
(6)
5.57
(6)
Class 529-C:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.29
  
(.17)
.12
(.25)
13.19
.88
211
  
1.50
(6)
1.48
(6)
4.28
(6)
 Year ended 12/31/2006
  
 13.22
.55
  
.09
.64
(.54)
13.32
4.99
170
  
1.51
  
1.49
  
4.22
  
 Year ended 12/31/2005
  
 13.65
.50
  
(.36)
.14
(.57)
13.22
1.03
121
  
1.53
  
1.51
  
3.74
  
 Year ended 12/31/2004
  
 13.51
.48
  
.16
.64
(.50)
13.65
4.88
86
  
1.57
  
1.57
  
3.61
  
 Year ended 12/31/2003
  
 12.70
.55
  
.84
1.39
(.58)
13.51
11.19
56
  
1.59
  
1.59
  
4.15
  
 Period from 2/19/2002 to 12/31/2002
  
 12.73
.60
  
(.02)
.58
(.61)
12.70
4.75
28
  
1.63
(6)
1.63
(6)
5.58
(6)
Class 529-E:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.32
  
(.17)
.15
(.28)
13.19
1.13
25
  
1.00
(6)
.97
(6)
4.79
(6)
 Year ended 12/31/2006
  
 13.22
.62
  
.09
.71
(.61)
13.32
5.53
21
  
.99
  
.97
  
4.74
  
 Year ended 12/31/2005
  
 13.65
.57
  
(.36)
.21
(.64)
13.22
1.56
15
  
1.01
  
.99
  
4.25
  
 Year ended 12/31/2004
  
 13.51
.55
  
.16
.71
(.57)
13.65
5.43
11
  
1.05
  
1.05
  
4.13
  
 Year ended 12/31/2003
  
 12.70
.62
  
.84
1.46
(.65)
13.51
11.77
7
  
1.06
  
1.06
  
4.68
  
 Period from 3/7/2002 to 12/31/2002
  
 12.70
.61
  
.02
.63
(.63)
12.70
5.14
3
  
1.13
(6)
1.13
(6)
6.06
(6)
Class 529-F:
                                  
 Six months ended 6/30/2007
(5)
$13.32
$.35
  
$(.17)
$.18
$(.31)
$13.19
1.38%
$19
  
.50%
(6)
.48%
(6)
5.29%
(6)
 Year ended 12/31/2006
  
 13.22
.69
  
.09
.78
(.68)
13.32
6.05
14
  
.49
  
.46
  
5.25
  
 Year ended 12/31/2005
  
 13.65
.62
  
(.36)
.26
(.69)
13.22
1.98
7
  
.58
  
.56
  
4.69
  
 Year ended 12/31/2004
  
 13.51
.59
  
.16
.75
(.61)
13.65
5.69
4
  
.80
  
.80
  
4.36
  
 Year ended 12/31/2003
  
 12.70
.64
  
.84
1.48
(.67)
13.51
11.96
2
  
.82
  
.82
  
4.72
  
 Period from 9/26/2002 to 12/31/2002
  
 12.31
.19
  
.40
.59
(.20)
12.70
4.81
-
(7)
.30
  
.30
  
1.51
  
Class R-1:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.29
  
(.17)
.12
(.25)
13.19
.90
46
  
1.47
(6)
1.44
(6)
4.32
(6)
 Year ended 12/31/2006
  
 13.22
.56
  
.09
.65
(.55)
13.32
5.05
29
  
1.49
  
1.42
  
4.28
  
 Year ended 12/31/2005
  
 13.65
.51
  
(.36)
.15
(.58)
13.22
1.11
18
  
1.51
  
1.43
  
3.82
  
 Year ended 12/31/2004
  
 13.51
.50
  
.16
.66
(.52)
13.65
4.98
11
  
1.55
  
1.47
  
3.70
  
 Year ended 12/31/2003
  
 12.70
.57
  
.84
1.41
(.60)
13.51
11.29
5
  
1.65
  
1.49
  
4.13
  
 Period from 6/11/2002 to 12/31/2002
  
 12.65
.38
  
.06
.44
(.39)
12.70
3.59
1
  
2.53
(6)
1.52
(6)
5.55
(6)
Class R-2:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.29
  
(.17)
.12
(.25)
13.19
.92
589
  
1.52
(6)
1.40
(6)
4.36
(6)
 Year ended 12/31/2006
  
 13.22
.56
  
.09
.65
(.55)
13.32
5.06
500
  
1.67
  
1.41
  
4.30
  
 Year ended 12/31/2005
  
 13.65
.51
  
(.36)
.15
(.58)
13.22
1.14
352
  
1.74
  
1.41
  
3.84
  
 Year ended 12/31/2004
  
 13.51
.50
  
.16
.66
(.52)
13.65
5.02
238
  
1.85
  
1.43
  
3.73
  
 Year ended 12/31/2003
  
 12.70
.57
  
.84
1.41
(.60)
13.51
11.33
111
  
1.94
  
1.46
  
4.20
  
 Period from 5/31/2002 to 12/31/2002
  
 12.72
.40
  
(.01)
.39
(.41)
12.70
3.23
21
  
1.67
(6)
1.48
(6)
5.56
(6)
Class R-3:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.32
  
(.17)
.15
(.28)
13.19
1.14
758
  
.98
(6)
.95
(6)
4.81
(6)
 Year ended 12/31/2006
  
 13.22
.62
  
.09
.71
(.61)
13.32
5.49
570
  
1.02
  
.99
  
4.71
  
 Year ended 12/31/2005
  
 13.65
.56
  
(.36)
.20
(.63)
13.22
1.53
361
  
1.05
  
1.02
  
4.23
  
 Year ended 12/31/2004
  
 13.51
.55
  
.16
.71
(.57)
13.65
5.42
213
  
1.06
  
1.05
  
4.12
  
 Year ended 12/31/2003
  
 12.70
.62
  
.84
1.46
(.65)
13.51
11.76
95
  
1.12
  
1.07
  
4.59
  
 Period from 6/4/2002 to 12/31/2002
  
 12.73
.42
  
(.02)
.40
(.43)
12.70
3.31
18
  
1.20
(6)
1.10
(6)
5.95
(6)
Class R-4:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.34
  
(.17)
.17
(.30)
13.19
1.30
451
  
.66
(6)
.64
(6)
5.12
(6)
 Year ended 12/31/2006
  
 13.22
.66
  
.09
.75
(.65)
13.32
5.86
325
  
.67
  
.65
  
5.06
  
 Year ended 12/31/2005
  
 13.65
.61
  
(.36)
.25
(.68)
13.22
1.91
182
  
.67
  
.65
  
4.61
  
 Year ended 12/31/2004
  
 13.51
.60
  
.16
.76
(.62)
13.65
5.81
77
  
.68
  
.68
  
4.48
  
 Year ended 12/31/2003
  
 12.70
.67
  
.84
1.51
(.70)
13.51
12.15
18
  
.72
  
.72
  
5.05
  
 Period from 5/20/2002 to 12/31/2002
  
 12.67
.47
  
.04
.51
(.48)
12.70
4.21
11
  
.77
(6)
.74
(6)
6.20
(6)
Class R-5:
                                  
 Six months ended 6/30/2007
(5)
 13.32
.36
  
(.17)
.19
(.32)
13.19
1.44
451
  
.37
(6)
.34
(6)
5.41
(6)
 Year ended 12/31/2006
  
 13.22
.70
  
.09
.79
(.69)
13.32
6.17
336
  
.37
  
.35
  
5.36
  
 Year ended 12/31/2005
  
 13.65
.66
  
(.36)
.30
(.73)
13.22
2.21
204
  
.37
  
.35
  
4.91
  
 Year ended 12/31/2004
  
 13.51
.65
  
.16
.81
(.67)
13.65
6.14
127
  
.37
  
.37
  
4.81
  
 Year ended 12/31/2003
  
 12.70
.71
  
.84
1.55
(.74)
13.51
12.52
106
  
.40
  
.40
  
5.39
  
 Period from 5/15/2002 to 12/31/2002
  
 12.66
.52
  
.05
.57
(.53)
12.70
4.66
78
  
.42
(6)
.42
(6)
6.75
(6)
                                   
 
 
Six months ended
          
 
June 30,
Year ended December 31 
 
2007(5)
2006
2005
2004
2003
2002
             
Portfolio turnover rate for all classes of shares
24%
53%
50%
45%
60%
50%
             
             
(1) Based on operations for the periods shown (unless otherwise noted) and, accordingly, may not be representative of a full year.
(2) Based on average shares outstanding.
            
(3) Total returns exclude all sales charges, including contingent deferred sales charges.
  
(4) This column reflects the impact, if any, of certain reimbursements/waivers from CRMC. During some of the
    periods shown, CRMC reduced fees for investment advisory services for all share classes. In addition, during some of
    the periods shown, CRMC paid a portion of the fund's transfer agent fees for certain retirement plan share classes.
(5) Unaudited.
            
(6) Annualized.
            
(7) Amount less than $1 million.
            
             
             
See Notes to Financial Statements
          
 
 
 
Expense example
unaudited
   
 
As a shareholder of the fund, you incur two types of costs: (1) transaction costs such as initial sales charges on purchase payments and contingent deferred sales charges on redemptions (loads); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund so you can compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2007, through June 30, 2007).
 
Actual expenses:
 
The first line of each share class in the table on the next page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period.
 
Hypothetical example for comparison purposes:
 
The second line of each share class in the table on the next page provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for the share class and an assumed rate of return of 5.00% per year before expenses, which is not the actual return of the share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5.00% hypothetical example with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
 
Notes:
 
There are some account fees that are charged to certain types of accounts, such as Individual Retirement Accounts and 529 college savings plan accounts (generally, a $10 fee is charged to set up the account and an additional $10 fee is charged to the account annually) that would increase the amount of expenses paid on your account. In addition, retirement plan participants may be subject to certain fees charged by the plan sponsor, and Class F and 529-F shareholders may be subject to fees charged by financial intermediaries, typically ranging from 0.75% to 1.50% of assets annually depending on services offered. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated above. In addition, your ending account value would also be lower by the amount of these fees.
 
 
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
   
Beginning account value 1/1/2007
 
Ending account value 6/30/2007
 
Expenses paid during period*
 
Annualized expense ratio
                 
Class A -- actual return
  
 $1,000.00
  
$1,013.08
  
      $3.09
  
   .62%
Class A -- assumed 5% return
 
         1,000.00
 
1,021.72
  
3.11
  
.62
Class B -- actual return
  
         1,000.00
  
1,009.35
  
6.78
  
1.36
Class B -- assumed 5% return
 
         1,000.00
 
1,018.05
  
6.80
  
1.36
Class C -- actual return
  
         1,000.00
  
1,009.06
  
7.07
  
1.42
Class C -- assumed 5% return
 
         1,000.00
 
1,017.75
  
7.10
  
1.42
Class F -- actual return
  
         1,000.00
  
1,013.13
  
2.99
  
.60
Class F -- assumed 5% return
 
         1,000.00
 
1,021.82
  
3.01
  
.60
Class 529-A -- actual return
  
         1,000.00
  
1,012.71
  
3.44
  
.69
Class 529-A -- assumed 5% return
 
         1,000.00
 
1,021.37
  
3.46
  
.69
Class 529-B -- actual return
  
         1,000.00
  
1,008.77
  
7.37
  
1.48
Class 529-B -- assumed 5% return
 
         1,000.00
 
1,017.46
  
7.40
  
1.48
Class 529-C -- actual return
  
         1,000.00
  
1,008.78
  
7.37
  
1.48
Class 529-C -- assumed 5% return
 
         1,000.00
 
1,017.46
  
7.40
  
1.48
Class 529-E -- actual return
  
         1,000.00
  
1,011.32
  
4.84
  
.97
Class 529-E -- assumed 5% return
 
         1,000.00
 
1,019.98
  
4.86
  
.97
Class 529-F -- actual return
  
         1,000.00
  
1,013.78
  
2.40
  
.48
Class 529-F -- assumed 5% return
 
         1,000.00
 
1,022.41
  
2.41
  
.48
Class R-1 -- actual return
  
         1,000.00
  
1,008.96
  
7.17
  
1.44
Class R-1 -- assumed 5% return
 
         1,000.00
 
1,017.65
  
7.20
  
1.44
Class R-2 -- actual return
  
         1,000.00
  
1,009.15
  
6.97
  
1.40
Class R-2 -- assumed 5% return
 
         1,000.00
 
1,017.85
  
7.00
  
1.40
Class R-3 -- actual return
  
         1,000.00
  
1,011.39
  
4.74
  
.95
Class R-3 -- assumed 5% return
 
         1,000.00
 
1,020.08
  
4.76
  
.95
Class R-4 -- actual return
  
         1,000.00
  
1,012.98
  
3.19
  
.64
Class R-4 -- assumed 5% return
  
         1,000.00
  
1,021.62
  
3.21
  
.64
Class R-5 -- actual return
  
         1,000.00
  
1,014.44
  
1.70
  
.34
Class R-5 -- assumed 5% return
 
         1,000.00
 
1,023.11
  
1.71
  
.34
 
*The “expenses paid during period” are equal to the “annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period (181), and divided by 365 (to reflect the one-half year period).
 
Offices of the fund and of the investment adviser
Capital Research and Management Company
333 South Hope Street
Los Angeles, CA 90071-1406

135 South State College Boulevard
Brea, CA 92821-5823

Transfer agent for shareholder accounts
American Funds Service Company
(Please write to the address nearest you.)

P.O. Box 25065
Santa Ana, CA 92799-5065

P.O. Box 659522
San Antonio, TX 78265-9522

P.O. Box 6007
Indianapolis, IN 46206-6007

P.O. Box 2280
Norfolk, VA 23501-2280

Custodian of assets
JPMorgan Chase Bank
270 Park Avenue
New York, NY 10017-2070

Counsel
Paul, Hastings, Janofsky & Walker LLP
515 South Flower Street
Los Angeles, CA 90071-2228

Independent registered public accounting firm
Deloitte & Touche LLP
695 Town Center Drive
Suite 1200
Costa Mesa, CA 92626-7188

Principal underwriter
American Funds Distributors, Inc.
333 South Hope Street
Los Angeles, CA 90071-1406

Investors should carefully consider the investment objectives, risks, charges and expenses of the American Funds. This and other important information is contained in the fund’s prospectus, which can be obtained from your financial adviser and should be read carefully before investing. You may also call American Funds Service Company (AFS) at 800/421-0180 or visit the American Funds website at americanfunds.com.

“American Funds Proxy Voting Guidelines” — which describes how we vote proxies relating to portfolio securities — is available free of charge on the U.S. Securities and Exchange Commission (SEC) website at sec.gov, on the American Funds website or upon request by calling AFS. The fund files its proxy voting record with the SEC for the 12 months ended June 30 by August 31. The report also is available on the SEC and American Funds websites.

A complete June 30, 2007, portfolio of The Bond Fund of America’s investments is available free of charge by calling AFS or visiting the SEC website (where it is part of Form N-CSR).

The Bond Fund of America files a complete list of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This filing is available free of charge on the SEC website. You may also review or, for a fee, copy this filing at the SEC’s Public Reference Room in Washington, D.C. (800/SEC-0330). Additionally, the list of portfolio holdings also is available by calling AFS.

This report is for the information of shareholders of The Bond Fund of America, but it also may be used as sales literature when preceded or accompanied by the current prospectus, which gives details about charges, expenses, investment objectives and operating policies of the fund. If used as sales material after September 30, 2007, this report must be accompanied by an American Funds statistical update for the most recently completed calendar quarter.

[logo - American Funds®]

The right choice for the long term®

What makes American Funds different?

For 75 years, we have followed a consistent philosophy to benefit our investors. Our 30 carefully conceived, broadly diversified funds, in addition to the target date retirement series, offer opportunities that have attracted over 40 million shareholder accounts.

Our unique combination of strengths includes these five factors:

•
A long-term, value-oriented approach
 
We seek to buy securities at reasonable prices relative to their prospects and hold them for the long term.

•
An extensive global research effort
 
Our investment professionals travel the world to find the best investment opportunities and gain a comprehensive understanding of companies and markets.

•
The multiple portfolio counselor system
 
Our unique method of portfolio management, developed nearly 50 years ago, blends teamwork with individual accountability and has provided American Funds with a sustainable method of achieving fund objectives.

•
Experienced investment professionals
 
American Funds portfolio counselors have an average of 24 years of investment experience, providing a wealth of knowledge and experience that few organizations have.

•
A commitment to low operating expenses
 
The American Funds provide exceptional value for shareholders, with operating expenses that are among the lowest in the mutual fund industry.

American Funds span a range of investment objectives

•
Growth funds
AMCAP Fund®
 
EuroPacific Growth Fund®
 
The Growth Fund of America®
 
The New Economy Fund®
 
New Perspective Fund®
 
New World FundSM
 
SMALLCAP World Fund®

•
Growth-and-income funds
 
American Mutual Fund®
 
Capital World Growth and Income FundSM
 
Fundamental InvestorsSM
 
The Investment Company of America®
 
Washington Mutual Investors FundSM

•
Equity-income funds
 
Capital Income Builder®
 
The Income Fund of America®

•
Balanced fund
 
American Balanced Fund®

•
Bond funds
 
American High-Income TrustSM
>
The Bond Fund of AmericaSM
 
Capital World Bond Fund®
 
Intermediate Bond Fund of America®
Short-Term Bond Fund of AmericaSM
 
U.S. Government Securities FundSM

•
Tax-exempt bond funds
 
American High-Income Municipal Bond Fund®
 
Limited Term Tax-Exempt Bond Fund of AmericaSM
 
The Tax-Exempt Bond Fund of America®
 
State-specific tax-exempt funds
 
The Tax-Exempt Fund of California®
 
The Tax-Exempt Fund of Maryland®
 
The Tax-Exempt Fund of Virginia®

•
Money market funds
 
The Cash Management Trust of America®
 
The Tax-Exempt Money Fund of AmericaSM
 
The U.S. Treasury Money Fund of AmericaSM

•
American Funds Target Date Retirement SeriesSM
 
 
The Capital Group Companies

American Funds     Capital Research and Management          Capital International       Capital Guardian         Capital Bank and Trust

Lit. No. MFGESR-908-0807P

Litho in USA BG/CVB/6370-S10058

Printed on recycled paper

 
ITEM 2 – Code of Ethics

Not applicable for filing of semi-annual reports to shareholders.


ITEM 3 – Audit Committee Financial Expert

Not applicable for filing of semi-annual reports to shareholders.


ITEM 4 – Principal Accountant Fees and Services

Not applicable for filing of semi-annual reports to shareholders.


ITEM 5 – Audit Committee of Listed Registrants

Not applicable to this Registrant, insofar as the Registrant is not a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934.


ITEM 6 – Schedule of Investments
 

[logo – American Funds®]


Bond Fund of AmericaSM
Investment portfolio

June 30, 2007
 
 unaudited



Bonds & notes — 90.32%
  
Principal
 amount
(000)
    
Market
 value
(000)
  
             
CORPORATE BONDS & NOTES — 39.53%
            
FINANCIALS — 17.15%
            
General Motors Acceptance Corp. 5.85% 2009
   $
7,790
     $
7,680
  
Residential Capital Corp. 6.457% 20091
    
40,000
      
39,950
  
Residential Capital Corp. 7.187% 20091,2
    
7,595
      
7,564
  
Residential Capital Corp. 6.375% 2010
    
66,750
      
65,932
  
General Motors Acceptance Corp. 7.75% 2010
    
4,355
      
4,411
  
Residential Capital Corp. 6.00% 2011
    
15,000
      
14,526
  
General Motors Acceptance Corp. 7.25% 2011
    
44,790
      
44,678
  
General Motors Acceptance Corp. 6.625% 2012
    
3,000
      
2,900
  
General Motors Acceptance Corp. 6.875% 2012
    
10,000
      
9,784
  
General Motors Acceptance Corp. 7.00% 2012
    
34,000
      
33,378
  
Residential Capital Corp. 6.50% 2013
    
94,000
      
90,966
  
General Motors Acceptance Corp. 6.75% 2014
    
46,250
      
44,355
  
General Motors Acceptance Corp. 7.56% 20141
    
75,000
      
75,864
  
Residential Capital Corp. 6.875% 2015
    
7,780
      
7,557
  
Washington Mutual, Inc. 5.00% 2012
    
14,000
      
13,512
  
Washington Mutual, Inc. 5.66% 20121
    
41,000
      
40,715
  
Washington Mutual Bank, FA 5.50% 2013
    
10,155
      
9,936
  
Washington Mutual Bank 5.78% 20131
    
47,000
      
47,067
  
Washington Mutual Bank, FA 5.65% 2014
    
345
      
337
  
Washington Mutual Bank, FA, Series 16, 5.125% 2015
    
15,000
      
14,164
  
Washington Mutual, Inc. 6.75% 2036
    
5,000
      
5,158
  
Washington Mutual Preferred Funding I Ltd., Series A-1, 6.534% (undated)1,2
    
120,500
      
116,704
  
Washington Mutual Preferred Funding II Ltd. 6.665% (undated)1,2
    
74,800
      
71,530
  
Washington Mutual Preferred Funding III Ltd. 6.895% (undated)1,2
    
64,600
      
63,774
  
ASIF Global Financing XVIII 3.85% 20072
    
5,785
      
5,751
  
International Lease Finance Corp. 4.35% 2008
    
20,500
      
20,235
  
AIG SunAmerica Global Financing VII 5.85% 20082
    
24,250
      
24,357
  
International Lease Finance Corp. 3.50% 2009
    
10,000
      
9,691
  
International Lease Finance Corp. 4.75% 2009
    
15,000
      
14,808
  
International Lease Finance Corp. 5.125% 2010
    
25,000
      
24,721
  
American General Finance Corp., Series J, 5.64% 20111
    
30,000
      
30,165
  
International Lease Finance Corp. 5.00% 2012
    
13,500
      
13,075
  
International Lease Finance Corp., Series R, 5.40% 2012
    
10,000
      
9,903
  
International Lease Finance Corp., Series R, 5.625% 2013
    
20,000
      
19,981
  
American General Finance Corp., Series I, 5.85% 2013
    
27,500
      
27,668
  
International Lease Finance Corp. 5.875% 2013
    
5,000
      
5,040
  
International Lease Finance Corp., Series R, 5.65% 2014
    
11,500
      
11,420
  
American General Finance Corp., Series I, 5.40% 2015
    
20,000
      
19,306
  
American International Group, Inc. 5.00% 2023
   £
400
      
716
  
ILFC E-Capital Trust II 6.25% 20651,2
   $
42,460
      
41,480
  
American General Capital I 6.00% 20671,2
    
10,500
      
10,059
  
American International Group, Inc., Series A-1, 6.25% 20871
    
23,720
      
22,501
  
Ford Motor Credit Co. 7.875% 2010
    
12,000
      
12,005
  
Ford Motor Credit Co. 9.75% 20101
    
47,500
      
49,633
  
Ford Motor Credit Co. 7.25% 2011
    
24,000
      
23,119
  
Ford Motor Credit Co. 7.375% 2011
    
2,150
      
2,102
  
Ford Motor Credit Co. 10.61% 20111
    
60,275
      
65,164
  
Ford Motor Credit Co. 8.105% 20121
    
8,000
      
7,987
  
Ford Motor Credit Co. 8.00% 2016
    
49,350
      
47,346
  
J.P. Morgan Chase & Co. 4.00% 2008
    
12,500
      
12,396
  
BANK ONE, Texas, NA 6.25% 2008
    
7,250
      
7,280
  
J.P. Morgan Chase & Co. 6.75% 2011
    
15,000
      
15,597
  
J.P. Morgan Chase & Co. 4.875% 2014
    
18,340
      
17,459
  
J.P. Morgan Chase & Co. 4.891% 20151
    
55,000
      
53,968
  
Bank One Corp. 4.90% 2015
    
9,000
      
8,527
  
JPMorgan Chase Capital XXI, Series U, 6.305% 20371
    
30,000
      
29,742
  
JPMorgan Chase Capital XX, Series T, 6.55% 2066
    
27,670
      
26,732
  
JPMorgan Chase Capital XVIII, Series R, 6.95% 2066
    
17,400
      
17,643
  
Westfield Capital Corp. Ltd., WT Finance (Australia) Pty Ltd. and WEA Finance LLC 4.375% 20102
    
57,950
      
55,859
  
Westfield Group 5.40% 20122
    
50,000
      
49,357
  
Westfield Capital Corp. Ltd., WT Finance (Australia) Pty Ltd. and WEA Finance LLC 5.125% 20142
    
26,600
      
25,504
  
Westfield Group 5.70% 20162
    
7,000
      
6,891
  
WT Finance (Australia) Pty Ltd., Westfield Europe Finance PLC, and WEA Finance LLC 5.50% 2017
   £
3,780
      
7,066
  
CIT Group Inc. 4.00% 2008
   $
14,000
      
13,833
  
CIT Group Inc. 5.50% 2008
   £
165
      
327
  
CIT Group Inc. 6.875% 2009
   $
31,000
      
31,836
  
CIT Group Inc. 4.25% 2010
    
30,000
      
29,008
  
CIT Group Inc. 5.635% 20111
    
30,000
      
29,905
  
CIT Group Inc. 5.40% 2013
    
15,000
      
14,596
  
CIT Group Inc. 6.10% 20671
    
26,350
      
24,040
  
Household Finance Corp. 4.125% 2009
    
25,000
      
24,289
  
HSBC Finance Corp. 4.625% 2010
    
11,500
      
11,200
  
Household Finance Corp. 6.75% 2011
    
23,750
      
24,674
  
HSBC Finance Corp. 5.71% 20121
    
20,000
      
20,041
  
HSBC Finance Corp. 5.71% 20121
    
15,000
      
15,081
  
HSBC Finance Corp. 5.00% 2015
    
27,195
      
25,513
  
Midland Bank 5.625% Eurodollar note (undated)1
    
15,000
      
13,050
  
PNC Funding Corp. 4.20% 2008
    
6,750
      
6,690
  
PNC Funding Corp. 5.555% 20141
    
30,000
      
30,028
  
PNC Funding Corp., Series II, 6.113% (undated)1,2
    
34,300
      
33,488
  
PNC Funding Corp., Series I, 6.517% (undated)1,2
    
47,000
      
47,593
  
Santander Issuances, SA Unipersonal 5.72% 20161,2
    
21,500
      
21,626
  
Santander Issuances, SA Unipersonal 5.805% 20161,2
    
68,700
      
69,059
  
Abbey National PLC 6.70% (undated)1
    
18,380
      
18,561
  
Abbey National PLC 7.50% (undated)1
   £
3,270
      
6,925
  
TuranAlem Finance BV 7.75% 20132
   $
11,000
      
10,602
  
TuranAlem Finance BV 8.00% 2014
    
7,960
      
7,681
  
TuranAlem Finance BV 8.00% 20142
    
5,000
      
4,825
  
TuranAlem Finance BV 8.50% 20152
    
20,560
      
20,124
  
TuranAlem Finance BV 8.50% 2015
    
7,390
      
7,233
  
TuranAlem Finance BV 8.25% 20372
    
61,795
      
59,478
  
Simon Property Group, LP 4.875% 2010
    
12,000
      
11,813
  
Simon Property Group, LP 5.375% 2011
    
12,500
      
12,417
  
Simon Property Group, LP 5.60% 2011
    
32,060
      
32,075
  
Simon Property Group, LP 5.00% 2012
    
16,000
      
15,594
  
Simon Property Group, LP 5.75% 2012
    
4,000
      
4,022
  
Simon Property Group, LP 5.75% 2015
    
3,250
      
3,221
  
Simon Property Group, LP 5.25% 2016
    
1,000
      
954
  
Simon Property Group, LP 6.10% 2016
    
4,750
      
4,816
  
Simon Property Group, LP 5.875% 2017
    
17,250
      
17,186
  
PRICOA Global Funding I, Series 2003-2, 3.90% 20082
    
7,500
      
7,333
  
PRICOA Global Funding I, Series 2004-4, 4.35% 20082
    
2,500
      
2,463
  
Prudential Financial, Inc., Series D, 5.10% 2011
    
2,000
      
1,963
  
Prudential Financial, Inc., Series B, 4.75% 2014
    
4,000
      
3,776
  
Prudential Financial, Inc., Series D, 6.10% 2017
    
12,500
      
12,664
  
Prudential Holdings, LLC, Series C, 8.695% 20232,3
    
57,035
      
69,055
  
Kimco Realty Corp., Series C, 3.95% 2008
    
5,000
      
4,903
  
Kimco Realty Corp., Series C, 4.82% 2011
    
7,500
      
7,261
  
Kimco Realty Corp. 6.00% 2012
    
17,500
      
17,733
  
Kimco Realty Corp., Series C, 4.82% 2014
    
12,000
      
11,327
  
Kimco Realty Corp., Series C, 4.904% 2015
    
3,000
      
2,825
  
Kimco Realty Corp., Series C, 5.783% 2016
    
19,500
      
19,288
  
Kimco Realty Corp. 5.70% 2017
    
33,450
      
32,576
  
BNP Paribas 5.75% 2022
   £
415
      
809
  
BNP Paribas 7.195% (undated)1,2
   $
93,100
      
94,446
  
Bayerische Hypo- und Vereinsbank AG 6.00% 2014
  
€10,370
      
14,754
  
UniCredito Italiano SpA 5.584% 20171,2
   $
54,790
      
54,685
  
HVB Funding Trust I 8.741% 20312
    
9,800
      
11,997
  
HVB Funding Trust III 9.00% 20312
    
9,417
      
11,740
  
Bank of America Corp. 3.625% 2008
  
€2,120
      
2,855
  
Bank of America Corp. 4.50% 2010
   $
7,270
      
7,105
  
Bank of America Corp. 7.125% 2011
    
1,750
      
1,852
  
Bank of America Corp. 4.875% 2012
    
2,000
      
1,935
  
MBNA Corp., Series F, 7.50% 2012
    
1,800
      
1,941
  
Bank of America Corp. 6.10% 2017
    
30,000
      
30,396
  
MBNA Capital A, Series A, 8.278% 2026
    
7,500
      
7,828
  
MBNA Global Capital Funding, Series B, 6.156% 20271
    
33,000
      
32,980
  
HBOS PLC, Series B, 5.92% (undated)1,2
    
57,600
      
54,107
  
Bank of Scotland 7.00% (undated)1,2
    
25,800
      
25,942
  
SocGen Real Estate Co. LLC, Series A, 7.64% (undated)1,2
    
76,915
      
77,293
  
Fifth Third Capital Trust IV 6.50% 20671
    
74,750
      
72,381
  
Countrywide Home Loans, Inc. 5.875% 20083
   £
95
      
189
  
Countrywide Home Loans, Inc., Series M, 4.125% 20093
   $
20,000
      
19,409
  
Countrywide Financial Corp., Series B, 5.78% 20121
    
30,000
      
30,053
  
Countrywide Financial Corp., Series B, 5.80% 2012
    
20,500
      
20,377
  
Standard Chartered Bank 5.375% (undated)1
   £
150
      
269
  
Standard Chartered Bank 5.50% Eurodollar note (undated)1
   $
15,000
      
12,545
  
Standard Chartered Bank 5.588% (undated)1
    
5,000
      
4,200
  
Standard Chartered PLC 6.409% (undated)1,2
    
52,400
      
50,057
  
Resona Bank, Ltd. 3.75% 20151
  
€9,740
      
12,763
  
Resona Bank, Ltd. 5.85% (undated)1,2
   $
56,660
      
54,265
  
Hartford Financial Services Group, Inc. 4.70% 2007
    
16,250
      
16,230
  
Hartford Financial Services Group, Inc. 5.25% 2011
    
5,625
      
5,558
  
Hartford Life Insurance Co. 5.46% 20121
    
2,500
      
2,503
  
Hartford Financial Services Group, Inc. 4.625% 2013
    
4,000
      
3,787
  
Glen Meadow Pass Through Trust 6.505% 20671,2
    
35,201
      
34,600
  
Lehman Brothers Holdings Inc. 5.00% 2010
   £
235
      
455
  
Lehman Brothers Holdings Inc., Series I, 5.50% 20101
   $
5,000
      
5,000
  
Lehman Brothers Holdings Capital Trust VII 5.857% (undated)1
    
57,500
      
56,384
  
CNA Financial Corp. 5.85% 2014
    
8,500
      
8,343
  
CNA Financial Corp. 6.50% 2016
    
24,625
      
24,868
  
CNA Financial Corp. 7.25% 2023
    
24,145
      
24,905
  
SLM Corp., Series A, 3.95% 2008
    
17,500
      
17,053
  
SLM Corp., Series A, 4.50% 2010
    
38,000
      
35,160
  
SLM Corp., Series A, 5.40% 2011
    
5,000
      
4,584
  
Hospitality Properties Trust 7.00% 2008
    
1,000
      
1,008
  
Hospitality Properties Trust 6.75% 2013
    
17,845
      
18,426
  
Hospitality Properties Trust 5.125% 2015
    
6,850
      
6,437
  
Hospitality Properties Trust 6.30% 2016
    
24,175
      
24,399
  
Hospitality Properties Trust 5.625% 2017
    
6,800
      
6,501
  
XL Capital Finance (Europe) PLC 6.50% 2012
    
6,455
      
6,635
  
XL Capital Ltd. 6.375% 2024
    
3,000
      
2,944
  
Mangrove Bay Pass Through Trust 6.102% 20331,2
    
37,380
      
36,275
  
Twin Reefs Asset Trust (XLFA), Series B, 6.32% (undated)1,2
    
10,200
      
10,233
  
Sumitomo Mitsui Banking Corp. 5.625% (undated)1,2
    
58,025
      
55,387
  
STB Finance Cayman Ltd., Series 108, 5.834% (undated)1
   £
150
      
292
  
Citigroup Inc. 3.50% 2008
   $
20,000
      
19,801
  
Citigroup Inc. 4.125% 2010
    
26,000
      
25,237
  
Citigroup Inc. 5.125% 2011
    
10,000
      
9,884
  
Citigroup Inc. 6.50% 2030
   £
35
      
76
  
American Express Credit Corp. 3.00% 2008
   $
6,810
      
6,675
  
American Express Co. 6.80% 20661
    
46,500
      
48,029
  
Capital One Financial Corp. 5.64% 20091
    
30,000
      
30,099
  
Capital One Financial Corp. 5.70% 2011
    
12,000
      
11,952
  
Capital One Financial Corp. 6.15% 2016
    
10,000
      
9,890
  
ACE INA Holdings Inc. 5.875% 2014
    
23,775
      
23,673
  
ACE INA Holdings Inc. 5.70% 2017
    
4,000
      
3,898
  
ACE Capital Trust II 9.70% 2030
    
12,423
      
16,110
  
ACE INA Holdings Inc. 6.70% 2036
    
5,980
      
6,091
  
HSBK (Europe) B.V. 7.75% 2013
    
10,855
      
11,126
  
HSBK (Europe) B.V. 7.75% 20132
    
305
      
313
  
HSBK (Europe) B.V. 7.25% 20172
    
39,245
      
38,181
  
AEGON NV 4.625% 2008
  
€7,750
      
10,500
  
Transamerica Corp. 9.375% 2008
   $
7,500
      
7,640
  
Monumental Global Funding II, Series 2004-F, 4.375% 20092
    
2,000
      
1,958
  
Monumental Global Funding III 5.25% 20142
    
23,000
      
22,703
  
Monumental Global Funding III 5.556% 20141,2
    
2,710
      
2,710
  
AEGON NV 6.125% 2031
   £
1,730
      
3,603
  
Allstate Financial Global Funding LLC 4.25% 20082
   $
7,500
      
7,389
  
Allstate Life Global Funding Trust, Series 2004-1, 4.50% 2009
    
5,000
      
4,934
  
Allstate Corp., Series B, 6.125% 20671
    
35,500
      
34,263
  
Kazkommerts International BV 7.00% 20092
    
5,500
      
5,548
  
Kazkommerts International BV 8.50% 2013
    
6,500
      
6,679
  
Kazkommerts International BV 7.875% 20142
    
9,200
      
9,143
  
Kazkommerts International BV 8.00% 20152
    
15,500
      
15,133
  
Kazkommerts International BV 8.00% 2015
    
600
      
586
  
Kazkommerts International BV, Series 4, 7.50% 2016
    
10,000
      
9,425
  
World Savings Bank, FSB, Bank Notes, Series 2008-FXR, 4.125% 2008
    
34,250
      
33,926
  
Wachovia Corp. 5.30% 2011
    
5,000
      
4,953
  
Wachovia Corp. 5.625% 2016
    
7,000
      
6,830
  
Lincoln National Corp. 7.00% 20661
    
43,000
      
44,194
  
Liberty Mutual Group Inc. 6.50% 20352
    
34,965
      
31,904
  
Liberty Mutual Group Inc. 7.50% 20362
    
9,000
      
9,155
  
Liberty Mutual Group Inc., Series A, 7.80% 20872
    
3,000
      
2,832
  
Developers Diversified Realty Corp. 3.875% 2009
    
19,500
      
19,003
  
Developers Diversified Realty Corp. 5.375% 2012
    
3,450
      
3,385
  
Developers Diversified Realty Corp. 5.50% 2015
    
19,500
      
18,833
  
State Street Capital Trust IV 6.355% 20771
    
40,000
      
40,294
  
Wells Fargo & Co. 3.50% 2008
    
3,310
      
3,263
  
Wells Fargo & Co. 4.125% 2008
    
8,000
      
7,924
  
Wells Fargo Bank, National Assn. 4.75% 2015
    
29,175
      
27,401
  
AXA SA 6.379% (undated)1,2
    
6,400
      
5,791
  
AXA SA 6.463% (undated)1,2
    
35,000
      
32,600
  
Merrill Lynch & Co., Inc. 5.59% 20121
    
5,000
      
4,996
  
Merrill Lynch & Co., Inc. 5.70% 2017
    
4,000
      
3,859
  
Merrill Lynch & Co., Inc. 6.11% 2037
    
29,680
      
27,941
  
ORIX Corp. 5.48% 2011
    
36,175
      
35,696
  
Brandywine Operating Partnership, LP 5.75% 2012
    
27,110
      
27,112
  
Brandywine Operating Partnership, LP 5.40% 2014
    
3,000
      
2,901
  
Brandywine Operating Partnership, LP 5.70% 2017
    
5,000
      
4,851
  
Development Bank of Singapore Ltd. 7.875% 20092
    
20,000
      
20,929
  
DBS Bank Ltd. 5.966% 20211,2
    
12,500
      
12,856
  
Skandinaviska Enskilda Banken AB 4.958% (undated)1,2
    
10,985
      
10,228
  
Skandinaviska Endkilda Banken AB 5.00% (undated)1
   £
265
      
508
  
Skandinaviska Enskilda Banken AB 5.471% (undated)1,2
   $
8,415
      
7,999
  
Skandinaviska Enskilda Banken AB 7.50% (undated)1
    
12,500
      
12,961
  
BBVA International SA Unipersonal 5.919% (undated)1,2
    
33,320
      
31,316
  
ProLogis 5.25% 2010
    
10,884
      
10,774
  
PLD International Finance LLC 4.375% 2011
  
€4,150
      
5,466
  
ProLogis 5.625% 2015
   $
14,940
      
14,641
  
ERP Operating LP 4.75% 2009
    
2,225
      
2,193
  
ERP Operating LP 6.625% 2012
    
5,000
      
5,195
  
ERP Operating LP 5.375% 2016
    
6,000
      
5,764
  
ERP Operating LP 5.75% 2017
    
18,000
      
17,679
  
Plum Creek Timberlands, LP 5.875% 2015
    
31,000
      
30,063
  
North Front Pass Through Trust 5.81% 20241,2
    
19,085
      
18,469
  
Nationwide Mutual Insurance Co. 7.875% 20332
    
8,000
      
9,248
  
Nationwide Mutual Insurance Co. 6.60% 20342
    
2,000
      
1,914
  
Principal Life Global Funding I 2.80% 20082
    
11,625
      
11,294
  
Principal Life Global Funding I 4.40% 20102
    
16,600
      
16,049
  
Principal Life Income Fundings Trust, Series 2005-34, 5.20% 2010
    
2,000
      
1,996
  
Catlin Insurance Ltd. 7.249% (undated)1,2
    
30,000
      
28,593
  
Lazard Group LLC 7.125% 2015
    
22,605
      
23,353
  
Lazard Group LLC 6.85% 20172
    
4,950
      
4,962
  
Metropolitan Life Global Funding I, Series 2003-4, 2.60% 20082
    
20,000
      
19,465
  
MetLife, Inc. 5.50% 2014
    
5,224
      
5,138
  
MetLife, Inc. 5.00% 2015
    
2,000
      
1,891
  
ReliaStar Financial Corp. 6.50% 2008
    
6,016
      
6,071
  
ING Bank NV 5.50% 2012
  
€3,750
      
5,204
  
ING Groep NV 5.775% (undated)1
   $
15,500
      
14,984
  
iStar Financial, Inc. 5.375% 2010
    
10,675
      
10,571
  
iStar Financial, Inc., Series B, 5.125% 2011
    
1,500
      
1,469
  
iStar Financial, Inc. 6.05% 2015
    
14,285
      
14,033
  
Lloyds Bank, Series 2, 5.563% (undated)1
    
8,000
      
6,963
  
Lloyds TSB Group PLC 6.267% (undated)1,2
    
20,000
      
19,006
  
Rouse Co. 3.625% 2009
    
5,200
      
5,010
  
Rouse Co. 7.20% 2012
    
17,700
      
18,255
  
Rouse Co. 5.375% 2013
    
1,000
      
938
  
Rouse Co. 6.75% 20132
    
1,400
      
1,406
  
UnionBanCal Corp. 5.25% 2013
    
2,000
      
1,948
  
Union Bank of California, NA 5.95% 2016
    
22,000
      
21,901
  
John Hancock Global Funding II, Series 2002-G, 5.00% 20072
    
5,000
      
4,998
  
John Hancock Global Funding II, Series 2004-A, 3.50% 20092
    
18,000
      
17,451
  
ZFS Finance (USA) Trust II 6.45% 20651,2
    
22,500
      
21,860
  
American Honda Finance Corp. 5.125% 20102
    
21,850
      
21,653
  
Canadian Imperial Bank of Commerce 5.625% Eurodollar note 20851
    
25,000
      
21,625
  
Assurant, Inc. 5.625% 2014
    
22,000
      
21,560
  
United Overseas Bank Ltd. 5.375% 20191,2
    
22,250
      
21,473
  
Realogy Corp. 7.15% 20111,2
    
750
      
756
  
Realogy Corp., Term Loan B, 8.35% 20131,3
    
150
      
149
  
Realogy Corp., Term Loan B, Letter of Credit, 8.35% 20131,3
    
50
      
50
  
Realogy Corp. 10.50% 20142
    
4,410
      
4,212
  
Realogy Corp. 11.00% 20142,4
    
6,000
      
5,670
  
Realogy Corp. 12.375% 20152
    
200
      
183
  
Realogy Corp. 7.50% 20161,2
    
7,750
      
7,789
  
Royal Bank of Scotland PLC 9.625% 2015
   £
200
      
484
  
Royal Bank of Scotland PLC 5.00% (undated)1
    
200
      
383
  
National Westminster Bank PLC 7.75% (undated)1
   $
17,000
      
17,090
  
Silicon Valley Bank 5.70% 2012
    
18,000
      
17,820
  
QBE Capital Funding II LP 6.797% (undated)1,2
    
17,800
      
17,412
  
United Dominion Realty Trust, Inc., Series E, 4.50% 2008
    
17,000
      
16,884
  
Genworth Global Funding Trust, Series 2007-C, 5.25% 2012
    
11,000
      
10,868
  
Genworth Global Funding Trust, Series 2007-B, 5.491% 20121
    
1,000
      
1,001
  
Genworth Financial, Inc. 6.15% 20661
    
5,000
      
4,747
  
Capmark Financial Group, Inc. 6.007% 20101,2
    
3,000
      
3,007
  
Capmark Financial Group, Inc. 5.875% 20122
    
10,500
      
10,373
  
Capmark Financial Group, Inc. 6.30% 20172
    
2,390
      
2,356
  
Credit Suisse First Boston (USA), Inc. 6.50% 2012
    
15,000
      
15,552
  
Protective Life Insurance Co., Series 2005-C, 4.85% 2010
    
15,000
      
14,761
  
E*TRADE Financial Corp. 8.00% 2011
    
3,000
      
3,090
  
E*TRADE Financial Corp. 7.375% 2013
    
925
      
944
  
E*TRADE Financial Corp. 7.875% 2015
    
9,720
      
10,170
  
Downey Financial Corp. 6.50% 2014
    
14,380
      
14,083
  
Advanta Capital Trust I, Series B, 8.99% 2026
    
12,500
      
12,438
  
Independence Community Bank Corp. 4.90% 2010
    
12,000
      
11,750
  
Goldman Sachs Group, Inc. 5.536% 20121
    
2,500
      
2,497
  
Goldman Sachs Group, Inc. 5.75% 2016
    
4,745
      
4,642
  
Goldman Sachs Group, Inc. 5.625% 2017
    
4,755
      
4,565
  
MassMutual Global Funding II, Series 2002-1, 3.50% 20102
    
12,000
      
11,472
  
AB Spintab 6.00% 2009
  
SKr73,000
      
10,951
  
Banco Santander-Chile 5.375% 20142
   $
11,200
      
10,942
  
Assured Guaranty US Holdings Inc., Series A, 6.40% 20661
    
10,625
      
10,426
  
Berkshire Hathaway Finance Corp. 4.75% 2012
    
10,000
      
9,731
  
United Energy Distribution Pty Ltd., AMBAC insured, 4.70% 20112
    
10,000
      
9,717
  
Zions Bancorporation 5.50% 2015
    
9,625
      
9,266
  
Shinsei Bank, Ltd. 3.75% 20161
  
€6,865
      
8,870
  
Shinsei Bank, Ltd. 5.625% (undated)1
   £
195
      
367
  
Post Apartment Homes, LP 7.70% 2010
   $
1,400
      
1,488
  
Post Apartment Homes, LP 5.125% 2011
    
7,720
      
7,501
  
Banco Mercantil del Norte, SA 6.135% 20162
    
8,600
      
8,631
  
Bank of Nova Scotia 5.625% 20851
    
10,000
      
8,550
  
Host Marriott, LP, Series M, 7.00% 2012
    
7,130
      
7,175
  
Host Hotels & Resorts, LP, Series S, 6.875% 2014
    
1,000
      
994
  
Chohung Bank 4.50% 20141,2
    
8,000
      
7,804
  
Allied Irish Banks, PLC 5.625% 20301
   £
250
      
474
  
Allied Irish Banks Ltd. 5.855% (undated)1
   $
7,000
      
6,364
  
BCI U.S. Funding Trust I 8.01% noncumulative preferred (undated)1,2
    
6,500
      
6,646
  
Weingarten Realty Investors, Series A, 4.857% 2014
    
6,080
      
5,761
  
National Australia Bank Ltd. 5.486% (undated)1,2
    
5,925
      
5,624
  
Barclays Bank PLC 5.926% (undated)1,2
    
4,750
      
4,599
  
Barclays Bank PLC 6.375% (undated)1
   £
240
      
477
  
Irvine Apartment Communities, LP 7.00% 2007
    
5,000
      
4,997
  
Industrial Bank of Korea 4.00% 20141,2
    
5,000
      
4,864
  
Bergen Bank 5.50% (undated)1
    
5,000
      
4,275
  
National Bank of Canada 5.563% 20871
    
5,000
      
4,092
  
Financial Security Assurance Holdings Ltd. 6.40% 20661,2
    
4,000
      
3,731
  
Credit Agricole SA 6.637% 20221,2
    
3,700
      
3,603
  
Christiana Bank Og Kreditkasse 5.548% (undated)1
    
4,000
      
3,575
  
Federal Realty Investment Trust 4.50% 2011
    
3,500
      
3,376
  
Principal Financial Group, Inc. 6.05% 2036
    
3,000
      
2,918
  
Ambac Financial Group, Inc. 6.15% 20871
    
3,000
      
2,697
  
UnumProvident Corp. 5.859% 2009
    
1,000
      
1,003
  
UnumProvident Finance Co. PLC 6.85% 20152
    
1,425
      
1,458
  
FelCor Lodging LP 8.50% 20111
    
2,270
      
2,398
  
Norinchukin Finance (Cayman) Ltd. 5.625% 20161
   £
205
      
398
  
Commerzbank AG 6.625% 2019
    
70
      
144
  
             
5,523,708
  
                 
CONSUMER DISCRETIONARY — 5.36%
                
DaimlerChrysler North America Holding Corp. 4.05% 2008
   $
4,750
      
4,684
  
DaimlerChrysler North America Holding Corp. 4.75% 2008
    
4,800
      
4,784
  
DaimlerChrysler North America Holding Corp., Series E, 5.71% 20091
    
48,000
      
48,109
  
DaimlerChrysler North America Holding Corp. 5.79% 20091
    
30,000
      
30,139
  
DaimlerChrysler North America Holding Corp. 7.20% 2009
    
5,000
      
5,163
  
DaimlerChrysler North America Holding Corp. 4.875% 2010
    
20,000
      
19,632
  
DaimlerChrysler North America Holding Corp. 8.00% 2010
    
56,500
      
60,132
  
DaimlerChrysler North America Holding Corp. 7.75% 2011
    
26,350
      
28,066
  
DaimlerChrysler North America Holding Corp. 6.50% 2013
    
16,610
      
17,177
  
Lenfest Communications, Inc. 7.625% 2008
    
6,750
      
6,829
  
Tele-Communications, Inc. 9.80% 2012
    
17,500
      
20,218
  
Comcast Cable Communications, Inc. 7.125% 2013
    
1,650
      
1,751
  
Tele-Communications, Inc. 7.875% 2013
    
7,500
      
8,228
  
Comcast Corp. 5.85% 2015
    
29,025
      
28,590
  
Comcast Corp. 6.50% 2015
    
5,000
      
5,134
  
Comcast Corp. 5.90% 2016
    
12,800
      
12,594
  
Comcast Corp. 5.65% 2035
    
6,670
      
5,822
  
Comcast Corp. 6.45% 2037
    
40,375
      
39,036
  
Time Warner Inc. 8.18% 2007
    
2,225
      
2,233
  
Time Warner Inc. 5.59% 20091
    
30,000
      
30,045
  
Time Warner Inc. 5.50% 2011
    
1,000
      
990
  
AOL Time Warner Inc. 6.875% 2012
    
17,250
      
18,015
  
Time Warner Inc. 5.875% 2016
    
16,500
      
16,076
  
Time Warner Companies, Inc. 7.25% 2017
    
1,600
      
1,709
  
AOL Time Warner Inc. 7.625% 2031
    
40,510
      
43,524
  
Time Warner Inc. 6.50% 2036
    
1,000
      
952
  
Viacom Inc. 5.75% 2011
    
2,500
      
2,498
  
Viacom Inc. 6.25% 2016
    
34,110
      
33,653
  
Viacom Inc. 6.875% 2036
    
32,600
      
31,592
  
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.00% 20122
    
10,150
      
10,328
  
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013
    
14,150
      
14,468
  
Charter Communications Operating, LLC, Term Loan Facilities B, 7.36% 20141,3
    
22,750
      
22,585
  
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.375% 20142
    
3,200
      
3,272
  
CCH I, LLC and CCH I Capital Corp. 11.00% 2015
    
13,250
      
13,896
  
General Motors Nova Scotia Finance Co. 6.85% 2008
    
300
      
299
  
General Motors Corp. 7.20% 2011
    
20,435
      
19,694
  
General Motors Corp. 7.125% 2013
    
20,295
      
19,103
  
General Motors Corp. 7.25% 2013
  
€700
      
925
  
General Motors Corp. 7.70% 2016
    
5,000
      
4,662
  
General Motors Corp. 8.80% 2021
    
16,400
      
15,580
  
General Motors Corp. 9.40% 2021
    
1,875
      
1,842
  
General Motors Corp. 8.375% 2033
    
1,200
      
1,101
  
D.R. Horton, Inc. 9.75% 2010
    
1,150
      
1,247
  
D.R. Horton, Inc. 7.875% 2011
    
800
      
830
  
D.R. Horton, Inc. 6.875% 2013
    
5,385
      
5,381
  
D.R. Horton, Inc. 5.625% 2014
    
5,750
      
5,312
  
D.R. Horton, Inc. 5.25% 2015
    
20,000
      
17,924
  
D.R. Horton, Inc. 6.50% 2016
    
24,255
      
23,244
  
Harrah’s Operating Co., Inc. 5.50% 2010
    
17,320
      
16,790
  
Harrah’s Operating Co., Inc. 5.625% 2015
    
24,650
      
20,120
  
Harrah’s Operating Co., Inc. 6.50% 2016
    
12,500
      
10,454
  
Centex Corp. 5.80% 2009
    
2,500
      
2,498
  
Centex Corp. 6.50% 2016
    
44,595
      
42,956
  
Federated Retail Holdings, Inc. 5.35% 2012
    
24,155
      
23,755
  
Federated Retail Holdings, Inc. 5.90% 2016
    
17,500
      
17,086
  
Federated Retail Holdings, Inc. 6.375% 2037
    
4,275
      
4,126
  
Chancellor Media Corp. of Los Angeles 8.00% 2008
    
12,500
      
12,825
  
Clear Channel Communications, Inc. 5.75% 2013
    
8,000
      
7,211
  
Clear Channel Communications, Inc. 5.50% 2014
    
2,200
      
1,883
  
Clear Channel Communications, Inc. 6.875% 2018
    
13,000
      
11,437
  
News America Holdings Inc. 8.00% 2016
    
1,000
      
1,128
  
News America Inc. 7.25% 2018
    
2,250
      
2,437
  
News America Holdings Inc. 8.25% 2018
    
10,540
      
12,093
  
News America Inc. 6.40% 2035
    
14,250
      
13,614
  
Toll Brothers, Inc. 4.95% 2014
    
19,250
      
17,583
  
Toll Brothers, Inc. 5.15% 2015
    
12,290
      
11,106
  
Michaels Stores, Inc., Term Loan B, 7.625% 20131,3
    
4,000
      
3,990
  
Michaels Stores, Inc. 10.00% 20142
    
11,975
      
12,334
  
Michaels Stores, Inc. 0%/13.00% 20162,5
    
6,625
      
4,207
  
Michaels Stores, Inc. 11.375% 20162
    
3,475
      
3,649
  
J.C. Penney Co., Inc. 8.00% 2010
    
7,590
      
8,019
  
J.C. Penney Co., Inc. 9.00% 2012
    
995
      
1,127
  
J.C. Penney Corp., Inc. 5.75% 2018
    
11,325
      
10,954
  
J.C. Penney Corp., Inc. 6.375% 2036
    
4,165
      
3,979
  
Carnival Corp. 3.75% 2007
    
5,000
      
4,971
  
Carnival Corp. 6.15% 2008
    
18,623
      
18,680
  
Ryland Group, Inc. 5.375% 2008
    
2,000
      
1,996
  
Ryland Group, Inc. 5.375% 2012
    
22,500
      
21,471
  
American Media Operations, Inc., Series B, 10.25% 2009
    
16,615
      
15,826
  
American Media Operations, Inc. 8.875% 2011
    
7,060
      
6,742
  
Univision Communications Inc., Second Lien Term Loan, 7.82% 20091,3
    
525
      
524
  
Univision Communications Inc., First Lien Term Loan B, 7.605% 20141,3
    
4,455
      
4,377
  
Univision Communications Inc. 9.75% 20152,4
    
17,510
      
17,379
  
K. Hovnanian Enterprises, Inc. 8.875% 2012
    
7,060
      
6,530
  
K. Hovnanian Enterprises, Inc. 7.75% 2013
    
1,425
      
1,254
  
K. Hovnanian Enterprises, Inc. 6.375% 2014
    
1,475
      
1,268
  
K. Hovnanian Enterprises, Inc. 6.25% 2015
    
500
      
427
  
K. Hovnanian Enterprises, Inc. 6.25% 2016
    
725
      
620
  
K. Hovnanian Enterprises, Inc. 7.50% 2016
    
4,050
      
3,706
  
K. Hovnanian Enterprises, Inc. 8.625% 2017
    
5,940
      
5,732
  
Cox Communications, Inc. 5.91% 20071
    
5,000
      
5,011
  
Cox Communications, Inc. 7.875% 2009
    
1,000
      
1,046
  
Cox Communications, Inc. 5.45% 2014
    
12,750
      
12,354
  
Delphi Automotive Systems Corp. 6.55% 20066
    
500
      
597
  
Delphi Automotive Systems Corp. 6.50% 20096
    
6,000
      
7,185
  
Delphi Corp. 6.50% 20136
    
7,020
      
8,161
  
Delphi Automotive Systems Corp. 7.125% 20296
    
1,350
      
1,617
  
Marriott International, Inc., Series I, 6.375% 2017
    
16,750
      
16,823
  
Mohegan Tribal Gaming Authority 6.375% 2009
    
14,410
      
14,338
  
Mohegan Tribal Gaming Authority 7.125% 2014
    
2,000
      
1,990
  
MGM MIRAGE 6.00% 2009
    
1,975
      
1,968
  
MGM MIRAGE 8.50% 2010
    
6,850
      
7,201
  
MGM MIRAGE 6.75% 2012
    
1,050
      
1,008
  
MGM MIRAGE 6.75% 2013
    
3,350
      
3,199
  
MGM MIRAGE 5.875% 2014
    
500
      
455
  
MGM MIRAGE 6.625% 2015
    
2,025
      
1,850
  
CanWest Media Inc., Series B, 8.00% 2012
    
13,286
      
13,253
  
Canwest Mediaworks Inc. 9.25% 20152
    
2,200
      
2,216
  
Ford Capital BV 9.50% 2010
    
6,266
      
6,391
  
Ford Motor Co., Term Loan B, 8.36% 20131,3
    
1,496
      
1,505
  
Ford Motor Co. 6.50% 2018
    
9,135
      
7,445
  
Ford Motor Co. 7.45% 2031
    
105
      
84
  
Visteon Corp. 8.25% 2010
    
15,440
      
15,401
  
Local T.V. Finance LLC 9.25% 20152,4
    
15,315
      
15,238
  
MDC Holdings, Inc. 5.50% 2013
    
6,555
      
6,261
  
MDC Holdings, Inc. 5.375% 2014
    
9,475
      
8,720
  
Bon-Ton Department Stores, Inc. 10.25% 2014
    
14,140
      
14,387
  
Thomson Learning, Term Loan B, 8.10% 20141,3
    
2,050
      
2,019
  
Thomson Learning 0%/13.25% 20152,5
    
1,490
      
1,125
  
Thomson Learning 10.50% 20152
    
5,250
      
5,106
  
Thomson Corp. 5.50% 2035
    
7,000
      
6,054
  
Target Corp. 3.375% 2008
    
8,330
      
8,227
  
Target Corp. 5.375% 2009
    
6,000
      
6,002
  
Beazer Homes USA, Inc. 8.625% 2011
    
4,625
      
4,463
  
Beazer Homes USA, Inc. 6.50% 2013
    
2,230
      
1,929
  
Beazer Homes USA, Inc. 6.875% 2015
    
2,270
      
1,964
  
Beazer Homes USA, Inc. 8.125% 2016
    
5,940
      
5,851
  
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp. 6.625% 2014
    
14,415
      
13,965
  
AMC Entertainment Inc., Series B, 8.625% 2012
    
3,000
      
3,142
  
AMC Entertainment Inc. 8.00% 2014
    
8,125
      
8,003
  
AMC Entertainment Inc., Series B, 11.00% 2016
    
2,500
      
2,775
  
Tenneco Automotive Inc., Series B, 10.25% 2013
    
5,750
      
6,210
  
Tenneco Automotive Inc. 8.625% 2014
    
7,135
      
7,385
  
Seminole Tribe of Florida 5.798% 20132,3
    
13,220
      
13,044
  
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012
    
12,025
      
12,641
  
NTL Cable PLC 8.75% 2014
    
9,200
      
9,522
  
NTL Cable PLC 8.75% 2014
  
€1,000
      
1,418
  
NTL Cable PLC 9.125% 2016
   $
1,550
      
1,631
  
Young Broadcasting Inc. 10.00% 2011
    
12,317
      
12,317
  
Grupo Posadas, SA de CV 8.75% 20112
    
10,585
      
11,167
  
Grupo Posadas, SA de CV 8.75% 2011
    
1,050
      
1,108
  
Boyd Gaming Corp. 7.75% 2012
    
1,800
      
1,854
  
Boyd Gaming Corp. 6.75% 2014
    
6,925
      
6,821
  
Boyd Gaming Corp. 7.125% 2016
    
3,500
      
3,413
  
Cinemark USA, Inc., Term Loan B, 7.09% 20131,3
    
3,399
      
3,410
  
Cinemark, Inc. 0%/9.75% 20145
    
8,750
      
8,006
  
Toys "R" Us, Inc. 7.625% 2011
    
5,670
      
5,301
  
Toys "R" Us-Delaware, Inc., Term Loan B, 9.61% 20121,3
    
6,000
      
6,028
  
Burlington Coat Factory Warehouse Corp. 11.125% 2014
    
11,050
      
10,829
  
Neiman Marcus Group, Inc. 9.00% 20154
    
7,120
      
7,654
  
Neiman Marcus Group, Inc. 10.375% 2015
    
2,750
      
3,039
  
Standard Pacific Corp. 5.125% 2009
    
1,000
      
945
  
Standard Pacific Corp. 6.50% 2010
    
2,175
      
2,034
  
Standard Pacific Corp. 7.75% 2013
    
6,890
      
6,373
  
Standard Pacific Corp. 6.25% 2014
    
165
      
146
  
Standard Pacific Corp. 7.00% 2015
    
715
      
633
  
Technical Olympic USA, Inc. 9.00% 2010
    
2,640
      
2,534
  
Technical Olympic USA, Inc. 9.00% 2010
    
1,050
      
1,003
  
Technical Olympic USA, Inc. 7.50% 2011
    
3,750
      
2,681
  
Technical Olympic USA, Inc. 10.375% 2012
    
3,235
      
2,588
  
Technical Olympic USA, Inc. 7.50% 2015
    
1,850
      
1,240
  
Lowe’s Companies, Inc. 8.25% 2010
    
8,450
      
9,076
  
KB Home 5.875% 2015
    
7,600
      
6,650
  
KB Home 6.25% 2015
    
2,515
      
2,226
  
Idearc Inc. 8.00% 2016
    
8,650
      
8,780
  
Edcon Pty Ltd. 7.395% 20141
  
€6,000
      
7,999
  
Edcon Pty Ltd. 9.645% 20151
    
500
      
665
  
Education Management LLC and Education Management Finance Corp. 10.25% 2016
   $
8,030
      
8,492
  
Claire’s Stores, Inc., Term Loan, 8.11% 20131,3
    
5,975
      
5,930
  
Claire’s Stores, Inc. 9.25% 20152
    
2,375
      
2,268
  
Claire’s Stores, Inc. 10.50% 20172
    
150
      
138
  
Radio One, Inc., Series B, 8.875% 2011
    
4,750
      
4,887
  
Radio One, Inc. 6.375% 2013
    
3,550
      
3,355
  
William Lyon Homes, Inc. 7.625% 2012
    
5,750
      
4,945
  
William Lyon Homes, Inc. 10.75% 2013
    
2,000
      
1,890
  
William Lyon Homes, Inc. 7.50% 2014
    
1,500
      
1,268
  
Kabel Deutschland GmbH 10.625% 2014
    
7,150
      
7,865
  
iesy Repository GmbH 10.375% 20152
    
7,375
      
7,541
  
Johnson Controls, Inc. 5.25% 2011
    
7,550
      
7,478
  
Hanesbrands Inc., Series B, 8.784% 20141
    
6,905
      
7,043
  
Pinnacle Entertainment, Inc. 7.50% 20152
    
7,250
      
7,033
  
Telenet Group Holding NV 0%/11.50% 20142,5
    
7,100
      
6,745
  
CSC Holdings, Inc., Series B, 8.125% 2009
    
3,000
      
3,068
  
Cablevision Systems Corp., Series B, 8.00% 2012
    
3,635
      
3,608
  
Regal Cinemas Corp., Series B, 9.375% 20127
    
6,125
      
6,422
  
Liberty Media Corp. 7.875% 2009
    
2,500
      
2,606
  
Liberty Media Corp. 8.25% 2030
    
3,550
      
3,461
  
RBS-Zero Editora Jornalística SA 11.00% 20102
    
5,492
      
6,041
  
Quebecor Media Inc. 7.75% 2016
    
5,900
      
6,018
  
Goodyear Tire & Rubber Co. 9.135% 20091,2
    
3,175
      
3,199
  
Goodyear Tire & Rubber Co. 8.625% 20112
    
2,564
      
2,711
  
Dollarama Group LP and Dollarama Corp. 8.875% 2012
    
5,550
      
5,717
  
Dex Media West LLC, Dex Media West Finance Co., Series B, 8.50% 2010
    
3,000
      
3,116
  
R.H. Donnelley Corp., Series A-1, 6.875% 2013
    
1,000
      
953
  
Dex Media, Inc., Series B, 8.00% 2013
    
525
      
536
  
R.H. Donnelley Corp., Series A-3, 8.875% 2016
    
850
      
888
  
Morris Publishing Group, LLC and Morris Publishing Finance Co., Series B, 7.00% 2013
    
5,140
      
4,523
  
LBI Media, Inc. 10.125% 2012
    
4,250
      
4,478
  
Atlantic Broadband Finance, LLC and Atlantic Broadband Finance, Inc. 9.375% 2014
    
4,300
      
4,365
  
Sally Holdings LLC and Sally Capital Inc. 9.25% 20142
    
4,250
      
4,282
  
Walt Disney Co. 5.70% 2011
    
1,500
      
1,515
  
Walt Disney Co. 5.625% 2016
    
2,500
      
2,486
  
Royal Caribbean Cruises Ltd. 7.00% 2007
    
1,400
      
1,411
  
Royal Caribbean Cruises Ltd. 8.75% 2011
    
2,325
      
2,523
  
Seneca Gaming Corp. 7.25% 2012
    
2,500
      
2,547
  
Seneca Gaming Corp., Series B, 7.25% 2012
    
1,000
      
1,019
  
WDAC Intermediate Corp. 8.375% 20142
    
2,600
      
2,743
  
WDAC Intermediate Corp. 8.50% 2014
  
€500
      
709
  
Vidéotron Ltée 6.875% 2014
   $
2,525
      
2,487
  
Vidéotron Ltée 6.375% 2015
    
1,000
      
955
  
Kingfisher PLC 5.625% 2014
   £
1,740
      
3,216
  
Warner Music Group 7.375% 2014
   $
3,300
      
3,086
  
Mediacom Broadband LLC and Mediacom Broadband Corp. 8.50% 2015
    
2,970
      
3,000
  
Gaylord Entertainment Co. 8.00% 2013
    
2,300
      
2,343
  
Gaylord Entertainment Co. 6.75% 2014
    
500
      
494
  
Sealy Mattress Co. 8.25% 2014
    
2,750
      
2,833
  
Linens ‘n Things, Inc. 10.981% 20141
    
3,350
      
2,500
  
Pulte Homes, Inc. 4.875% 2009
    
2,300
      
2,264
  
Gamestop Corp. 8.00% 2012
    
2,000
      
2,100
  
Dillard’s, Inc. 7.13% 2018
    
2,000
      
1,912
  
Meritage Homes Corp. 6.25% 2015
    
1,900
      
1,701
  
Kohl’s Corp. 6.30% 2011
    
600
      
615
  
Kohl’s Corp. 7.375% 2011
    
875
      
933
  
WCI Communities, Inc. 9.125% 2012
    
1,500
      
1,455
  
Riddell Bell Holdings Inc. 8.375% 2012
    
1,430
      
1,416
  
XM Satellite Radio Inc. and XM Satellite Radio Holdings Inc. 9.75% 2014
    
1,145
      
1,128
  
Entercom Radio, LLC 7.625% 2014
    
1,015
      
1,010
  
Warnaco, Inc. 8.875% 2013
    
925
      
981
  
Carmike Cinemas, Inc., Term Loan B, 8.61% 20121,3
    
569
      
573
  
             
1,727,457
  
                 
INDUSTRIALS — 3.88%
                
Calair LLC and Calair Capital Corp. 8.125% 2008
    
825
      
832
  
Continental Airlines, Inc., Series 2001-1, Class A-2, 6.503% 20113
    
14,050
      
14,111
  
Continental Airlines, Inc., Series 1999-2, Class A-2, 7.056% 20113
    
10,000
      
10,131
  
Continental Airlines, Inc. 8.75% 2011
    
5,300
      
5,221
  
Continental Airlines, Inc., Series 2000-2, Class A-2, 7.487% 20123
    
12,500
      
12,898
  
Continental Airlines, Inc., Series 2006-1, Class G, FGIC insured, 5.71% 20151,3
    
1,100
      
1,102
  
Continental Airlines, Inc., Series 1997-1, Class A, 7.461% 20163
    
9,897
      
10,126
  
Continental Airlines, Inc., Series 1996-2, Class D, 11.50% 20163
    
1,468
      
1,479
  
Continental Airlines, Inc., Series 2001-1, Class B, 7.373% 20173
    
189
      
189
  
Continental Airlines, Inc., Series 1998-1, Class B, 6.748% 20183
    
3,108
      
3,052
  
Continental Airlines, Inc., Series 1997-4B, Class B, 6.90% 20183
    
2,142
      
2,112
  
Continental Airlines, Inc., Series 1998-1, Class A, 6.648% 20193
    
23,647
      
23,839
  
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20193
    
40,529
      
41,365
  
Continental Airlines, Inc., Series 2000-2, Class B, 8.307% 20193
    
3,560
      
3,656
  
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20203
    
19,833
      
20,193
  
Continental Airlines, Inc., Series 1999-1, Class B, 6.795% 20203
    
14,109
      
13,765
  
Continental Airlines, Inc., Series 2003-ERJ3, Class A, 7.875% 20203
    
9,806
      
10,033
  
Continental Airlines, Inc., Series 1999-2, Class A-1, 7.256% 20213
    
317
      
330
  
Continental Airlines, Inc., Series 1999-2, Class B, 7.566% 20213
    
5,391
      
5,408
  
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20223
    
16,607
      
16,742
  
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707% 20223
    
12,118
      
12,943
  
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20223
    
9,748
      
10,559
  
Continental Airlines, Inc., Series 2000-1, Class B, 8.388% 20223
    
1,535
      
1,593
  
General Electric Capital Corp., Series A, 3.50% 2008
    
20,000
      
19,711
  
General Electric Co. 5.00% 2013
    
12,750
      
12,376
  
General Electric Capital Corp. 6.25% 2017
   £
400
      
806
  
General Electric Capital Corp., Series A, 5.626% 20181
   $
18,000
      
18,081
  
General Electric Capital Corp., Series A, 5.736% 20261
    
77,000
      
77,308
  
General Electric Capital Corp. 5.625% 2031
   £
85
      
170
  
General Electric Capital Corp., Series A, 5.84% 20361
   $
12,000
      
11,975
  
Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57% 20123
    
400
      
415
  
Delta Air Lines, Inc., Series 2002-1, Class C, 7.779% 20133
    
3,077
      
3,092
  
Delta Air Lines, Inc., Series 2002-1, Class G-2, MBIA insured, 6.417% 20143
    
53,658
      
54,027
  
Delta Air Lines, Inc., Second Lien Term Loan B, 8.605% 20141,3
    
5,000
      
5,038
  
Delta Air Lines, Inc., Series 1992-A2, 9.20% 20143,6
    
6,468
      
6,533
  
Delta Air Lines, Inc., Series 2002-1, Class G-1, MBIA insured, 6.718% 20243
    
44,192
      
45,103
  
American Airlines, Inc., Series 1999-1, Class A-1, 6.855% 20103
    
5,392
      
5,422
  
AMR Corp., Series B, 10.45% 2011
    
150
      
153
  
American Airlines, Inc., Series 2001-1, Class A-2, 6.817% 20123
    
3,750
      
3,743
  
American Airlines, Inc., Series 2001-2, Class A-1, 6.978% 20123
    
21,761
      
22,020
  
American Airlines, Inc., Series 2001-2, Class B, 8.608% 20123
    
18,165
      
18,948
  
AMR Corp. 9.00% 2012
    
5,800
      
5,974
  
American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 20133
    
39,130
      
41,404
  
American Airlines, Inc., Series 1991-C2, 9.73% 20143
    
6,410
      
6,558
  
American Airlines, Inc., Series 2001-1, Class B, 7.377% 20193
    
9,865
      
9,551
  
BAE Systems Holding Inc. 4.75% 20102
    
10,350
      
10,128
  
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 20112,3
    
45,763
      
47,028
  
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 20132,3
    
39,475
      
40,945
  
Hutchison Whampoa International Ltd. 7.00% 20112
    
24,300
      
25,337
  
Hutchison Whampoa International Ltd. 6.50% 20132
    
59,200
      
60,969
  
Northwest Airlines, Inc., Term Loan B, 8.85% 20131,3
    
3,804
      
3,861
  
Northwest Airlines, Inc., Term Loan A, 7.10% 20181,3
    
74,327
      
74,234
  
John Deere Capital Corp., Series D, 4.375% 2008
    
15,000
      
14,894
  
John Deere Capital Corp. 5.40% 2011
    
17,750
      
17,693
  
John Deere Capital Corp., Series D, 5.50% 2017
    
4,750
      
4,637
  
United Air Lines, Inc., Series 2001-1, Class A-2, 6.201% 20103
    
8,947
      
9,043
  
United Air Lines, Inc., Series 2000-2, Class B, 7.811% 20113,6
    
7,335
      
8,366
  
United Air Lines, Inc., Series 2000-2, Class A-2, 7.186% 20123
    
2,409
      
2,465
  
United Air Lines, Inc., Series 2001-1, Class A-1, 6.071% 20143
    
1,510
      
1,519
  
United Air Lines, Inc., Term Loan B, 7.375% 20141,3
    
3,840
      
3,845
  
United Air Lines, Inc., Series 2001-1, Class A-3, 6.602% 20153
    
4,904
      
4,944
  
United Air Lines, Inc., Series 2007-1, Class B, 7.336% 20213
    
570
      
567
  
United Air Lines, Inc., Series 2007-1, Class A, 6.636% 20243
    
5,400
      
5,403
  
Nielsen Finance LLC and Nielsen Finance Co. 10.00% 20142
    
12,350
      
13,122
  
Nielsen Finance LLC and Nielsen Finance Co. 0%/12.50% 20162,5
    
17,435
      
12,379
  
Atlas Copco AB 5.60% 20172
    
22,025
      
21,502
  
NTK Holdings Inc. 0%/10.75% 20145
    
15,118
      
11,036
  
THL Buildco, Inc. 8.50% 2014
    
10,650
      
10,197
  
Hawker Beechcraft 8.50% 20152
    
1,325
      
1,371
  
Hawker Beechcraft 8.875% 20152,4
    
11,125
      
11,487
  
Hawker Beechcraft 9.75% 20172
    
570
      
597
  
Tyco International Group SA 6.125% 2008
    
5,000
      
5,046
  
Tyco International Group SA 6.125% 2009
    
500
      
507
  
Tyco International Group SA 7.00% 2028
    
620
      
724
  
Tyco International Group SA 6.875% 2029
    
6,190
      
7,166
  
Goodman Global Holdings, Inc., Series B, 7.875% 2012
    
12,684
      
12,621
  
Northrop Grumman Systems Corp. 7.125% 2011
    
8,000
      
8,398
  
Northrop Grumman Systems Corp. 7.75% 2031
    
3,000
      
3,579
  
Ashtead Group PLC 8.625% 20152
    
4,375
      
4,484
  
Ashtead Capital, Inc. 9.00% 20162
    
7,050
      
7,420
  
Allied Waste North America, Inc., Series B, 6.50% 2010
    
500
      
493
  
Allied Waste North America, Inc., Series B, 5.75% 2011
    
2,500
      
2,391
  
Allied Waste North America, Inc., Series B, 6.125% 2014
    
3,500
      
3,308
  
Allied Waste North America, Inc., Series B, 7.375% 2014
    
3,750
      
3,722
  
Allied Waste North America, Inc. 6.875% 2017
    
1,000
      
973
  
Embraer Overseas Ltd 6.375% 2017
    
10,825
      
10,636
  
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 1996-B, 6.96% 20093
    
1,046
      
1,058
  
BNSF Funding Trust I 6.613% 20551
    
10,000
      
9,158
  
Standard Aero Holdings, Inc. 8.25% 2014
    
9,375
      
10,031
  
Caterpillar Inc. 4.50% 2009
    
1,190
      
1,172
  
Caterpillar Financial Services Corp. 4.30% 2010
    
2,400
      
2,332
  
Caterpillar Financial Services Corp., Series F, 5.125% 2011
    
500
      
492
  
Caterpillar Financial Services Corp., Series F, 5.50% 2016
    
4,050
      
3,981
  
Caterpillar Inc. 6.05% 2036
    
2,000
      
1,974
  
ARAMARK Corp., Term Loan B, 7.36% 20141,3
    
4,583
      
4,600
  
ARAMARK Corp., Term Loan B, Letter of Credit, 7.475% 20141,3
    
328
      
329
  
ARAMARK Corp. 8.50% 20152
    
4,550
      
4,652
  
ARAMARK Corp. 8.856% 20151,2
    
225
      
229
  
USG Corp. 6.30% 2016
    
9,000
      
8,810
  
Horizon Lines, LLC and Horizon Lines Holding Corp. 9.00% 2012
    
7,971
      
8,469
  
Accuride Corp. 8.50% 2015
    
8,230
      
8,168
  
DRS Technologies, Inc. 6.875% 2013
    
5,035
      
4,909
  
DRS Technologies, Inc. 6.625% 2016
    
475
      
461
  
DRS Technologies, Inc. 7.625% 2018
    
2,725
      
2,766
  
DynCorp International and DIV Capital Corp., Series A, 9.50% 2013
    
7,595
      
8,117
  
ACIH, Inc. 0%/11.50% 20122,5
    
3,340
      
2,689
  
Atrium Companies, Inc., Term Loan B, 8.61% 20121,3
    
5,273
      
5,168
  
Union Pacific Railroad Co. Pass Through Trust, Series 2001-1, 6.63% 20223
    
7,586
      
7,840
  
AIR 2 US, Series A, 8.027% 20202,3
    
6,000
      
6,214
  
United Rentals (North America), Inc., Series B, 6.50% 2012
    
6,250
      
6,172
  
Lockheed Martin Corp. 6.15% 2036
    
6,000
      
6,003
  
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 20232,3
    
6,111
      
5,999
  
Waste Management, Inc. 6.50% 2008
    
5,220
      
5,281
  
Waste Management, Inc. 5.00% 2014
    
765
      
715
  
K&F Industries, Inc. 7.75% 2014
    
5,375
      
5,724
  
TransDigm Inc. 7.75% 2014
    
3,550
      
3,603
  
TransDigm Group Inc. 7.75% 20142
    
1,200
      
1,218
  
TFM, SA de CV 9.375% 2012
    
4,450
      
4,784
  
Kansas City Southern Railway Co. 7.50% 2009
    
4,000
      
3,990
  
Alion Science and Technology Corp. 10.25% 2015
    
3,690
      
3,828
  
Williams Scotsman, Inc. 8.50% 2015
    
2,900
      
3,009
  
RBS Global, Inc. and Rexnord LLC 9.50% 2014
    
2,025
      
2,086
  
RBS Global, Inc. and Rexnord LLC 8.875% 2016
    
850
      
856
  
Hertz Corp. 10.50% 2016
    
2,250
      
2,497
  
FTI Consulting, Inc. 7.625% 2013
    
2,300
      
2,340
  
RSC Equipment Rental, Second Lien Term Loan B, 8.82% 20131,3
    
2,288
      
2,299
  
Mobile Storage Group, Inc. 9.75% 20142
    
1,725
      
1,846
  
Esco Corp. 8.625% 20132
    
1,100
      
1,160
  
AGCO Corp. 6.875% 2014
  
€700
      
985
  
H&E Equipment Services, Inc. 8.375% 2016
   $
900
      
949
  
Esterline Technologies Corp. 6.625% 20172
    
450
      
436
  
             
1,248,523
  
                 
TELECOMMUNICATION SERVICES — 3.65%
                
SBC Communications Inc. 4.125% 2009
    
19,465
      
18,938
  
SBC Communications Inc. 6.25% 2011
    
1,150
      
1,176
  
AT&T Corp. 7.30% 20111
    
4,734
      
5,044
  
AT&T Wireless Services, Inc. 7.875% 2011
    
28,855
      
31,049
  
BellSouth Corp. 4.75% 2012
    
50,000
      
47,840
  
SBC Communications Inc. 5.875% 2012
    
31,047
      
31,317
  
SBC Communications Inc. 5.875% 2012
    
13,000
      
13,124
  
AT&T Wireless Services, Inc. 8.125% 2012
    
87,630
      
96,450
  
SBC Communications Inc. 5.10% 2014
    
10,245
      
9,787
  
SBC Communications Inc. 5.625% 2016
    
50,500
      
49,441
  
BellSouth Capital Funding Corp. 7.875% 2030
    
1,500
      
1,698
  
SBC Communications Inc. 6.45% 2034
    
11,175
      
11,079
  
BellSouth Corp. 6.55% 2034
    
24,760
      
24,796
  
AT&T Inc. 6.80% 2036
    
3,710
      
3,855
  
Verizon Global Funding Corp. 7.375% 2012
    
14,860
      
16,022
  
Verizon Communications Inc. 5.50% 2017
    
96,265
      
92,950
  
Verizon Global Funding Corp. 7.75% 2030
    
11,576
      
13,004
  
Verizon Communications Inc. 6.25% 2037
    
10,000
      
9,674
  
US Unwired Inc., Series B, 10.00% 2012
    
4,400
      
4,766
  
Nextel Communications, Inc., Series E, 6.875% 2013
    
66,935
      
66,496
  
Nextel Communications, Inc. 5.95% 2014
    
18,605
      
17,744
  
Nextel Communications, Inc., Series D, 7.375% 2015
    
34,050
      
34,065
  
Sogerim SA 7.25% 20111
  
€2,650
      
3,848
  
Telecom Italia SpA 6.25% 2012
    
8,990
      
12,658
  
Telecom Italia Capital SA, Series B, 5.25% 2013
   $
16,050
      
15,314
  
Telecom Italia Capital SA 5.25% 2015
    
37,000
      
34,461
  
Telecom Italia Capital SA 7.20% 2036
    
35,900
      
37,021
  
France Télécom 6.75% 20081
  
€3,500
      
4,806
  
France Télécom 7.75% 20111
   $
85,050
      
90,938
  
Vodafone Group PLC 7.75% 2010
    
35,285
      
37,085
  
Windstream Corp. 8.125% 2013
    
18,875
      
19,819
  
Valor Telecommunications Enterprises, LLC and Valor Telecommunications Enterprises Finance Corp. 7.75% 2015
    
6,090
      
6,411
  
Windstream Corp. 8.625% 2016
    
3,300
      
3,506
  
Intelsat, Ltd. 6.50% 2013
    
3,500
      
2,826
  
Intelsat (Bermuda), Ltd. 8.25% 2013
    
5,550
      
5,661
  
Intelsat (Bermuda), Ltd. 0%/9.25% 20155
    
1,775
      
1,469
  
Intelsat (Bermuda), Ltd. 8.625% 2015
    
4,000
      
4,120
  
Intelsat Corp. 9.00% 2016
    
3,550
      
3,736
  
Intelsat (Bermuda), Ltd. 9.25% 2016
    
6,500
      
6,939
  
Intelsat (Bermuda), Ltd. 11.25% 2016
    
2,400
      
2,700
  
Dobson Cellular Systems, Inc., Series B, 8.375% 2011
    
1,000
      
1,050
  
Dobson Cellular Systems, Inc. 8.375% 2011
    
900
      
945
  
Dobson Communications Corp. 9.606% 20121
    
1,650
      
1,691
  
Dobson Cellular Systems, Inc. 9.875% 2012
    
10,300
      
11,150
  
Dobson Communications Corp. 8.875% 2013
    
8,975
      
9,424
  
American Cellular Corp., Term Loan B, 7.36% 20141,3
    
2,993
      
2,993
  
Embarq Corp. 6.738% 2013
    
20,000
      
20,406
  
Singapore Telecommunications Ltd. 6.375% 20112
    
16,250
      
16,776
  
Singapore Telecommunications Ltd. 6.375% 2011
    
3,475
      
3,587
  
PCCW-HKT Capital Ltd. 8.00% 20111,2
    
15,000
      
16,233
  
PCCW-HKT Capital No. 3 Ltd. 5.25% 20152
    
3,600
      
3,347
  
Hawaiian Telcom Communications, Inc. 9.75% 2013
    
7,715
      
8,120
  
Hawaiian Telcom Communications, Inc. 10.86% 20131
    
3,605
      
3,695
  
Hawaiian Telcom Communications, Inc., Term Loan C, 7.61% 20141,3
    
3,750
      
3,741
  
Hawaiian Telcom Communications, Inc., Series B, 12.50% 2015
    
3,050
      
3,477
  
Triton PCS, Inc. 8.50% 2013
    
17,825
      
18,315
  
U S WEST Capital Funding, Inc. 6.375% 2008
    
500
      
502
  
Qwest Capital Funding, Inc. 7.90% 2010
    
950
      
971
  
Qwest Communications International Inc. 7.25% 2011
    
6,000
      
6,075
  
Qwest Capital Funding, Inc. 7.25% 2011
    
4,150
      
4,150
  
Qwest Communications International Inc., Series B, 7.50% 2014
    
2,975
      
3,027
  
Qwest Capital Funding, Inc. 7.625% 2021
    
500
      
480
  
U S WEST Capital Funding, Inc. 6.875% 2028
    
3,250
      
2,856
  
U S WEST Communications, Inc. 6.875% 2033
    
240
      
226
  
American Tower Corp. 7.125% 2012
    
17,525
      
18,007
  
Centennial Cellular Corp. 10.75% 2008
    
117
      
118
  
Centennial Communications Corp. 11.099% 20131
    
7,500
      
7,875
  
Centennial Communications Corp., Centennial Cellular Operating Co. LLC and Centennial Puerto Rico
                
Operations Corp. 8.125% 20141
    
9,300
      
9,556
  
Rural Cellular Corp. 8.25% 2012
    
750
      
771
  
Rural Cellular Corp. 11.106% 20121
    
3,260
      
3,374
  
Rural Cellular Corp. 8.36% 20131,2
    
12,050
      
12,050
  
Deutsche Telekom International Finance BV 6.625% 20111
  
€1,200
      
1,724
  
Deutsche Telekom International Finance BV 8.125% 20121
    
4,420
      
6,764
  
Deutsche Telekom International Finance BV 8.25% 20301
   $
3,000
      
3,606
  
MetroPCS Wireless, Inc. 9.25% 20142
    
11,250
      
11,672
  
Cricket Communications, Inc. 9.375% 2014
    
7,210
      
7,480
  
Cricket Communications, Inc. 9.375% 20142
    
2,500
      
2,594
  
Rogers Wireless Inc. 7.25% 2012
    
1,275
      
1,348
  
Rogers Wireless Inc. 7.50% 2015
    
6,925
      
7,429
  
Cincinnati Bell Inc. 7.25% 2013
    
6,800
      
7,004
  
SK Telecom Co., Ltd. 4.25% 20112
    
6,000
      
5,738
  
Level 3 Financing, Inc. 9.25% 2014
    
5,475
      
5,557
  
Digicel Group Ltd. 8.875% 20152
    
5,400
      
5,305
  
NTELOS Inc., Term Loan B, 7.57% 20111,3
    
4,888
      
4,911
  
Millicom International Cellular SA 10.00% 2013
    
3,930
      
4,274
  
Orascom Telecom 7.875% 20142
    
3,275
      
3,184
  
Koninklijke KPN NV 8.00% 2010
    
2,950
      
3,159
  
América Móvil, SA de CV 8.46% 2036
  
MXP27,000
      
2,551
  
British Telecommunications PLC 9.125% 20301
   $
1,600
      
2,100
  
Nordic Telephone Co. Holding ApS 8.875% 20162
    
1,000
      
1,065
  
             
1,176,086
  
                 
ENERGY — 2.97%
                
Kinder Morgan Energy Partners LP 6.75% 2011
    
2,500
      
2,589
  
Kinder Morgan Energy Partners LP 5.00% 2013
    
14,029
      
13,293
  
Kinder Morgan Energy Partners LP 5.125% 2014
    
32,552
      
30,749
  
Kinder Morgan Energy Partners LP 6.00% 2017
    
41,000
      
40,195
  
Kinder Morgan Energy Partners LP 7.75% 2032
    
7,000
      
7,678
  
Kinder Morgan Energy Partners LP 7.30% 2033
    
5,000
      
5,237
  
Kinder Morgan Energy Partners LP 6.50% 2037
    
5,000
      
4,825
  
Kinder Morgan Energy Partners LP 6.95% 2038
    
5,000
      
5,066
  
Gaz Capital SA 5.875% 2015
  
€5,125
      
6,985
  
Gaz Capital SA 6.51% 20222
   $
99,010
      
97,970
  
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20092,3
    
26,093
      
25,470
  
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20093
    
1,440
      
1,406
  
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20142,3
    
15,570
      
17,115
  
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20143
    
1,000
      
1,099
  
Ras Laffan Liquefied Natural Gas II 5.298% 20202,3
    
45,970
      
43,054
  
Ras Laffan Liquefied Natural Gas III 5.838% 20272,3
    
15,000
      
13,956
  
TransCanada PipeLines Ltd. 6.35% 20671
    
84,115
      
81,010
  
Enterprise Products Operating LP, Series B, 4.625% 2009
    
8,000
      
7,840
  
Enterprise Products Operating LP 4.95% 2010
    
8,000
      
7,861
  
Enterprise Products Operating LP 7.50% 2011
    
4,000
      
4,220
  
Enterprise Products Operating LP, Series B, 6.375% 2013
    
17,000
      
17,473
  
Enterprise Products Partners LP 5.60% 2014
    
2,855
      
2,780
  
Enterprise Products Operating LP, Series B, 5.00% 2015
    
1,645
      
1,538
  
Enterprise Products Operating LP 6.875% 2033
    
2,000
      
2,041
  
Enterprise Products Operating LP 8.375% 20661
    
9,295
      
9,936
  
Enterprise Products Operating LP 7.034% 20681
    
11,305
      
10,918
  
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20142,3
    
59,400
      
58,586
  
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20143
    
6,000
      
5,918
  
Pemex Finance Ltd. 8.875% 20103
    
22,400
      
23,393
  
Pemex Project Funding Master Trust 5.75% 2015
    
10,000
      
9,823
  
Pemex Finance Ltd., Series 1999-2, Class A-3, 10.61% 20173
    
11,700
      
14,801
  
Pemex Project Funding Master Trust 8.625% 2022
    
750
      
926
  
Apache Corp. 6.25% 2012
    
16,000
      
16,419
  
Apache Corp. 5.625% 2017
    
7,200
      
7,044
  
Apache Corp. 6.00% 2037
    
25,550
      
24,445
  
Williams Companies, Inc. 6.375% 20102
    
1,500
      
1,511
  
Williams Companies, Inc. 7.349% 20101,2
    
7,500
      
7,781
  
Williams Companies, Inc. 7.125% 2011
    
500
      
515
  
Williams Partners L.P. and Williams Partners Finance Corp. 7.50% 2011
    
5,725
      
5,911
  
Williams Partners L.P. and Williams Partners Finance Corp. 7.25% 2017
    
3,475
      
3,510
  
Williams Companies, Inc. 7.875% 2021
    
3,025
      
3,267
  
Transcontinental Gas Pipe Line Corp. 7.25% 2026
    
1,750
      
1,840
  
Williams Companies, Inc. 8.75% 2032
    
19,895
      
23,128
  
Qatar Petroleum 5.579% 20112,3
    
34,134
      
34,140
  
Nakilat Inc., Series A, 6.067% 20332,3
    
14,000
      
13,160
  
Enbridge Inc. 5.80% 2014
    
7,500
      
7,449
  
Enbridge Inc. 5.60% 2017
    
34,500
      
33,244
  
Canadian Natural Resources Ltd. 5.70% 2017
    
32,500
      
31,498
  
Canadian Natural Resources Ltd. 6.25% 2038
    
1,795
      
1,704
  
Petroleum Export Ltd., Class A-1, MBIA insured, 4.623% 20102,3
    
23,000
      
22,719
  
Petroleum Export Ltd., Class A-2, XLCA insured, 4.633% 20102,3
    
4,333
      
4,281
  
Gulfstream Natural Gas 5.56% 20152
    
5,000
      
4,854
  
Gulfstream Natural Gas 6.19% 20252
    
12,235
      
12,078
  
Pogo Producing Co. 7.875% 2013
    
6,725
      
6,893
  
Pogo Producing Co. 6.625% 2015
    
300
      
299
  
Pogo Producing Co. 6.875% 2017
    
6,850
      
6,833
  
Sunoco, Inc. 4.875% 2014
    
14,830
      
13,829
  
Southern Natural Gas Co. 5.90% 20172
    
11,190
      
10,879
  
El Paso Natural Gas Co. 5.95% 20172
    
3,000
      
2,921
  
Delek & Avner-Yam Tethys Ltd. 5.326% 20132,3
    
14,026
      
13,632
  
Drummond Co., Inc. 7.375% 20162
    
9,800
      
9,261
  
Energy Transfer Partners, LP 5.95% 2015
    
7,930
      
7,815
  
Newfield Exploration Co. 7.625% 2011
    
1,500
      
1,549
  
Newfield Exploration Co. 6.625% 2014
    
2,000
      
1,940
  
Newfield Exploration Co. 6.625% 2016
    
3,775
      
3,652
  
Petroplus Finance Ltd. 6.75% 20142
    
2,750
      
2,661
  
Petroplus Finance Ltd. 7.00% 20172
    
2,500
      
2,419
  
Forest Oil Corp. 7.25% 20192
    
5,000
      
4,875
  
Devon Financing Corp., ULC 6.875% 2011
    
4,500
      
4,702
  
XTO Energy Inc. 5.65% 2016
    
4,250
      
4,134
  
Encore Acquisition Co. 6.00% 2015
    
3,900
      
3,461
  
Kinder Morgan Inc., Term Loan B, 6.82% 20131,3
    
3,400
      
3,399
  
Teekay Shipping Corp. 8.875% 2011
    
3,075
      
3,275
  
Premcor Refining Group Inc. 9.50% 2013
    
2,750
      
2,928
  
PETRONAS Capital Ltd. 7.00% 20122
    
2,250
      
2,384
  
Sabine Pass LNG, L.P. 7.25% 20132
    
2,000
      
1,990
  
Peabody Energy Corp., Series B, 6.875% 2013
    
1,200
      
1,200
  
OXYMAR 7.50% 20162,3
    
654
      
658
  
Ship Finance International Ltd. 8.50% 2013
    
575
      
595
  
Petrozuata Finance, Inc., Series B, 8.22% 20172,3
    
250
      
245
  
             
954,678
  
                 
UTILITIES — 2.21%
                
Abu Dhabi National Energy Co. PJSC (TAQA) 5.875% 20162
    
56,985
      
55,841
  
Abu Dhabi National Energy Co. PJSC (TAQA) 6.50% 20362
    
14,500
      
14,114
  
Edison Mission Energy 7.50% 2013
    
625
      
622
  
Southern California Edison Co., First and Refunding Mortgage Bonds, Series 2005-A, 5.00% 2016
    
4,000
      
3,784
  
Edison Mission Energy 7.75% 2016
    
7,125
      
7,125
  
Midwest Generation, LLC, Series B, 8.56% 20163
    
15,540
      
16,579
  
Edison Mission Energy 7.00% 20172
    
7,175
      
6,798
  
Edison Mission Energy 7.20% 20192
    
8,575
      
8,103
  
Homer City Funding LLC 8.734% 20263
    
13,827
      
15,279
  
Edison Mission Energy 7.625% 20272
    
1,900
      
1,805
  
Southern California Edison Co., First and Refunding Mortgage Bonds, Series 2006-E, 5.55% 2037
    
3,500
      
3,243
  
PECO Energy Co., First and Refunding Mortgage Bonds, 3.50% 2008
    
5,000
      
4,920
  
Commonwealth Edison Co., First Mortgage Bonds, Series 102, 4.74% 2010
    
12,500
      
12,121
  
Commonwealth Edison Co., First Mortgage Bonds, Series 105, 5.40% 2011
    
9,000
      
8,824
  
Exelon Corp. 6.75% 2011
    
2,200
      
2,269
  
Exelon Generation Co., LLC 6.95% 2011
    
19,475
      
20,236
  
PECO Energy Co., First and Refunding Mortgage Bonds, 4.75% 2012
    
3,900
      
3,750
  
Commonwealth Edison Co., First Mortgage Bonds, Series 103, 5.90% 2036
    
4,000
      
3,710
  
PacifiCorp, First Mortgage Bonds, 4.30% 2008
    
3,060
      
3,020
  
MidAmerican Energy Holdings Co. 5.875% 2012
    
15,000
      
15,146
  
MidAmerican Energy Co. 5.125% 2013
    
7,500
      
7,334
  
PacifiCorp, First Mortgage Bonds, 5.45% 2013
    
2,875
      
2,836
  
MidAmerican Energy Co. 4.65% 2014
    
5,000
      
4,672
  
MidAmerican Energy Co. 5.95% 2017
    
3,000
      
3,009
  
MidAmerican Energy Holdings Co. 6.125% 2036
    
17,750
      
17,205
  
NGG Finance PLC 6.125% 2011
  
€3,480
      
4,910
  
National Grid PLC 6.30% 2016
   $
37,605
      
38,357
  
National Grid Transco PLC 4.375% 2020
  
€6,430
      
7,908
  
National Grid Co. PLC 5.875% 2024
   £
170
      
336
  
Consolidated Edison Co. of New York, Inc., Series 2003-A, 3.625% 2008
   $
6,000
      
5,889
  
Consolidated Edison Co. of New York, Inc., Series B, 3.85% 2013
    
5,000
      
4,561
  
Consolidated Edison Co. of New York, Inc., Series 2006-C, 5.50% 2016
    
30,000
      
29,279
  
Consolidated Edison Co. of New York, Inc., Series 2003-C, 5.10% 2033
    
2,000
      
1,721
  
PSEG Power LLC 3.75% 2009
    
6,825
      
6,627
  
PSEG Power LLC 7.75% 2011
    
18,700
      
19,981
  
PSEG Power LLC 5.00% 2014
    
11,690
      
11,074
  
Cilcorp Inc. 8.70% 2009
    
1,000
      
1,038
  
AmerenEnergy Generating Co., Series D, 8.35% 2010
    
1,500
      
1,607
  
Union Electric Co. 5.25% 2012
    
1,490
      
1,457
  
Union Electric Co. 4.65% 2013
    
11,000
      
10,257
  
Union Electric Co. 5.40% 2016
    
5,750
      
5,488
  
Cilcorp Inc. 9.375% 2029
    
12,265
      
14,074
  
Scottish Power PLC 5.375% 2015
    
31,415
      
30,631
  
Ohio Power Co., Series J, 5.30% 2010
    
8,000
      
7,942
  
Ohio Power Co., Series H, 4.85% 2014
    
5,965
      
5,657
  
Appalachian Power Co., Series I, 4.95% 2015
    
1,000
      
930
  
Ohio Power Co., Series K, 6.00% 2016
    
15,000
      
15,040
  
Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% 2011
    
5,000
      
4,821
  
San Diego Gas & Electric Co., Series CCC, 5.30% 2015
    
10,000
      
9,710
  
San Diego Gas & Electric Co., Series DDD, 6.00% 2026
    
5,000
      
5,018
  
Veolia Environnement 6.125% 2033
  
€13,640
      
19,188
  
Niagara Mohawk Power Corp., Series G, 7.75% 2008
   $
17,460
      
17,908
  
Israel Electric Corp. Ltd. 7.95% 20112
    
10,000
      
10,633
  
Israel Electric Corp. Ltd. 8.10% 20962
    
6,250
      
7,002
  
SP PowerAssets Ltd. 3.80% 20082
    
10,000
      
9,791
  
SP PowerAssets Ltd. 5.00% 20132
    
8,000
      
7,766
  
Progress Energy Florida, Inc., First Mortgage Bonds, 4.80% 2013
    
7,000
      
6,695
  
Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc., First Mortgage Bonds, 5.125% 2013
    
5,000
      
4,849
  
Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc. 5.25% 2015
    
6,000
      
5,786
  
Empresa Nacional de Electricidad SA, Series B, 8.50% 2009
    
4,455
      
4,662
  
Empresa Nacional de Electricidad SA 8.35% 2013
    
5,000
      
5,589
  
Empresa Nacional de Electricidad SA 8.625% 2015
    
3,000
      
3,454
  
AES Corp. 9.50% 2009
    
927
      
973
  
AES Corp. 9.375% 2010
    
4,803
      
5,133
  
AES Corp. 8.75% 20132
    
1,000
      
1,060
  
AES Gener SA 7.50% 2014
    
5,000
      
5,238
  
Old Dominion Electric Cooperative, Series 2003-A, 5.676% 20283
    
12,375
      
12,113
  
Duke Energy Corp., First and Refunding Mortgage Bonds, 4.50% 2010
    
4,500
      
4,390
  
Duke Energy Corp., First and Refunding Mortgage Bonds, 5.30% 2015
    
5,000
      
4,844
  
Florida Power & Light Co. 4.85% 2013
    
5,000
      
4,809
  
FPL Energy National Wind, LLC 5.608% 20242,3
    
4,470
      
4,347
  
Anglian Water Services Financing PLC 4.625% 2013
  
€6,120
      
8,132
  
Anglian Water Services Financing PLC, Class A, 5.25% 2015
   £
395
      
744
  
Kern River Funding Corp. 4.893% 20182,3
   $
8,958
      
8,579
  
Dominion Resources, Inc., Series 2002-C, 5.70% 20121
    
1,000
      
1,002
  
Virginia Electric and Power Co., Series 2003-A, 4.75% 2013
    
6,000
      
5,713
  
Virginia Electric and Power Co., Series A, 6.00% 2037
    
1,250
      
1,198
  
Energy East Corp. 6.75% 2012
    
7,155
      
7,457
  
Constellation Energy Group, Inc. 6.125% 2009
    
3,500
      
3,539
  
Baltimore Gas and Electric Co. 5.20% 2033
    
3,000
      
2,555
  
Pacific Gas and Electric Co., First Mortgage Bonds, 4.20% 2011
    
2,000
      
1,913
  
Pacific Gas and Electric Co., First Mortgage Bonds, 6.05% 2034
    
4,000
      
3,887
  
NRG Energy, Inc. 7.25% 2014
    
1,500
      
1,508
  
NRG Energy, Inc. 7.375% 2016
    
3,700
      
3,719
  
Nevada Power Co., General and Refunding Mortgage Notes, Series I, 6.50% 2012
    
700
      
716
  
Sierra Pacific Resources 8.625% 2014
    
900
      
971
  
Nevada Power Co., General and Refunding Mortgage Notes, Series L, 5.875% 2015
    
2,550
      
2,504
  
Nevada Power Co., General and Refunding Mortgage Notes, Series M, 5.95% 2016
    
1,000
      
983
  
Korea East-West Power Co., Ltd. 4.875% 20112
    
5,000
      
4,885
  
Enersis SA 7.375% 2014
    
3,000
      
3,184
  
Tri-State Generation and Transmission Assn. Inc., Pass Through Trust, Series 2003-A, 6.04% 20182,3
    
3,136
      
3,100
  
Connecticut Light and Power Co., First and Refunding Mortgage Bonds, Series 2007-A, 5.375% 2017
    
2,500
      
2,413
  
Alabama Power Co., Series R, 4.70% 2010
    
2,250
      
2,196
  
Centerpoint Energy Resources Corp., Series B, 7.875% 2013
    
2,000
      
2,186
  
Wisconsin Gas Co. 5.20% 2015
    
2,025
      
1,944
  
Mirant Americas Generation, Inc. 8.30% 2011
    
1,700
      
1,764
  
RWE Aktiengesellschaft and RWE Finance BV 6.375% 2013
   £
290
      
582
  
Kelda Group PLC 6.625% 2031
    
165
      
372
  
             
710,634
  
                 
HEALTH CARE — 1.61%
                
Hospira, Inc. 4.95% 2009
   $
7,391
      
7,321
  
Hospira, Inc. 5.83% 20101
    
24,000
      
24,075
  
Hospira, Inc. 5.90% 2014
    
4,510
      
4,424
  
Hospira, Inc. 6.05% 2017
    
37,995
      
37,483
  
UnitedHealth Group Inc. 3.30% 2008
    
4,000
      
3,949
  
UnitedHealth Group Inc. 5.25% 2011
    
3,165
      
3,134
  
UnitedHealth Group Inc. 5.375% 2016
    
24,500
      
23,641
  
UnitedHealth Group Inc. 6.00% 20172
    
32,750
      
32,689
  
Cardinal Health, Inc. 6.25% 2008
    
3,000
      
3,019
  
Cardinal Health, Inc. 5.619% 20091,2
    
3,500
      
3,504
  
Cardinal Health, Inc. 6.75% 2011
    
12,625
      
13,082
  
Cardinal Health, Inc. 5.80% 20162
    
10,000
      
9,703
  
Cardinal Health, Inc. 5.85% 2017
    
12,000
      
11,676
  
Allegiance Corp. 7.00% 2026
    
9,260
      
9,501
  
Humana Inc. 6.45% 2016
    
25,375
      
25,587
  
Humana Inc. 6.30% 2018
    
17,000
      
16,832
  
WellPoint, Inc. 5.00% 2011
    
6,500
      
6,361
  
WellPoint, Inc. 5.25% 2016
    
6,455
      
6,133
  
WellPoint, Inc. 5.875% 2017
    
8,300
      
8,213
  
WellPoint, Inc. 6.375% 2037
    
7,500
      
7,430
  
HealthSouth Corp. 11.409% 20141
    
12,600
      
13,671
  
HealthSouth Corp. 10.75% 2016
    
13,105
      
14,284
  
Wyeth 4.375% 20081
    
7,195
      
7,139
  
Wyeth 5.50% 2016
    
21,165
      
20,647
  
Aetna Inc. 5.75% 2011
    
24,000
      
24,162
  
Amgen Inc. 4.00% 2009
    
24,000
      
23,239
  
HCA Inc., Term Loan B, 7.60% 20131,3
    
19,228
      
19,371
  
HCA Inc. 9.125% 20142
    
295
      
311
  
HCA Inc. 9.25% 20162
    
530
      
566
  
HCA Inc. 9.625% 20162,4
    
2,280
      
2,457
  
Tenet Healthcare Corp. 6.375% 2011
    
5
      
5
  
Tenet Healthcare Corp. 7.375% 2013
    
4,465
      
4,058
  
Tenet Healthcare Corp. 9.875% 2014
    
10,485
      
10,433
  
Tenet Healthcare Corp. 9.25% 2015
    
6,805
      
6,499
  
Boston Scientific Corp. 6.00% 2011
    
1,700
      
1,694
  
Boston Scientific Corp. 6.40% 2016
    
17,675
      
17,200
  
Elan Finance PLC and Elan Finance Corp. 8.875% 2013
    
10,350
      
10,868
  
Elan Finance PLC and Elan Finance Corp. 9.485% 20131
    
2,500
      
2,559
  
PTS Acquisition Corp. 9.50% 20152,4
    
12,005
      
11,855
  
VWR International, Inc. 10.25% 20152,4
    
10,100
      
10,125
  
Bristol-Myers Squibb Co. 4.00% 2008
    
10,000
      
9,843
  
Warner Chilcott Corp. 8.75% 2015
    
9,455
      
9,762
  
Universal Health Services, Inc. 7.125% 2016
    
7,440
      
7,714
  
Coventry Health Care, Inc. 5.95% 2017
    
7,250
      
7,085
  
Universal Hospital Services, Inc. 8.50% 20152,4
    
1,610
      
1,602
  
Universal Hospital Services, Inc. 8.759% 20151,2
    
3,880
      
3,899
  
Surgical Care Affiliates, Inc. 8.875% 20152,4
    
2,600
      
2,600
  
Surgical Care Affiliates, Inc. 10.00% 20172
    
1,700
      
1,700
  
Team Finance LLC and Health Finance Corp. 11.25% 2013
    
3,525
      
3,833
  
Viant Holdings Inc. 10.125% 20172
    
3,004
      
3,034
  
AMR HoldCo, Inc. and EmCare HoldCo, Inc. 10.00% 2015
    
1,910
      
2,072
  
Mylan Laboratories Inc. 5.75% 2010
    
2,025
      
2,025
  
Accellent Inc. 10.50% 2013
    
1,900
      
1,895
  
Community Health Systems Inc. 8.875% 20152
    
1,375
      
1,401
  
             
517,365
  
                 
MATERIALS — 1.33%
                
C5 Capital (SPV) Ltd. 6.196% (undated)1,2
    
15,000
      
14,920
  
C8 Capital (SPV) Ltd. 6.64% (undated)1,2
    
45,475
      
44,818
  
C10 Capital (SPV) Ltd. 6.722% (undated)1,2
    
18,695
      
18,250
  
Stora Enso Oyj 5.125% 2014
  
€4,250
      
5,613
  
Stora Enso Oyj 6.404% 20162
   $
36,100
      
35,962
  
Stora Enso Oyj 7.25% 20362
    
35,790
      
35,750
  
UPM-Kymmene Corp. 5.625% 20142
    
41,790
      
40,067
  
UPM-Kymmene Corp. 6.625% 2017
   £
235
      
462
  
Freeport-McMoRan Copper & Gold Inc. 6.875% 2014
   $
6,225
      
6,326
  
Freeport-McMoRan Copper & Gold Inc. 8.25% 2015
    
8,070
      
8,534
  
Freeport-McMoRan Copper & Gold Inc. 8.546% 20151
    
2,500
      
2,625
  
Freeport-McMoRan Copper & Gold Inc. 8.375% 2017
    
2,380
      
2,547
  
Jefferson Smurfit Corp. (U.S.) 8.25% 2012
    
10,775
      
10,748
  
Stone Container Corp. 8.375% 2012
    
1,675
      
1,685
  
Jefferson Smurfit Corp. (U.S.) 7.50% 2013
    
1,250
      
1,219
  
Smurfit-Stone Container Enterprises, Inc. 8.00% 2017
    
5,965
      
5,816
  
Alcoa Inc. 5.55% 2017
    
20,000
      
19,106
  
Georgia Gulf Corp. 9.50% 2014
    
11,165
      
11,165
  
Georgia Gulf Corp. 10.75% 2016
    
2,785
      
2,785
  
Norske Skogindustrier ASA 7.625% 20112
    
425
      
440
  
Norske Skogindustrier ASA 7.125% 20332
    
13,335
      
11,721
  
Building Materials Corp. of America 7.75% 2014
    
11,650
      
11,359
  
BHP Finance (USA) Ltd. 8.50% 2012
    
10,000
      
11,276
  
Abitibi-Consolidated Co. of Canada 6.00% 2013
    
1,510
      
1,257
  
Abitibi-Consolidated Co. of Canada 8.375% 2015
    
9,665
      
8,505
  
Nalco Co. 7.75% 2011
    
4,760
      
4,820
  
Nalco Co. 8.875% 2013
    
2,500
      
2,606
  
Nalco Finance Holdings LLC and Nalco Finance Holdings Inc. 0%/9.00% 20145
    
2,254
      
2,062
  
Owens-Illinois, Inc. 7.35% 2008
    
5,250
      
5,289
  
Owens-Brockway Glass Container Inc. 8.875% 2009
    
1,319
      
1,349
  
Owens-Illinois, Inc. 7.50% 2010
    
2,250
      
2,281
  
Boise Cascade, LLC and Boise Cascade Finance Corp. 7.125% 2014
    
8,750
      
8,356
  
Plastipak Holdings, Inc. 8.50% 20152
    
7,690
      
7,998
  
Domtar Inc. 5.375% 2013
    
725
      
654
  
Domtar Corp., Term Loan B, 6.735% 20141,3
    
675
      
671
  
Domtar Inc. 7.125% 2015
    
5,100
      
4,966
  
International Paper Co. 5.85% 2012
    
5,798
      
5,790
  
Georgia-Pacific Corp. 8.125% 2011
    
1,375
      
1,411
  
Georgia-Pacific Corp., First Lien Term Loan B, 7.11% 20121,3
    
3,526
      
3,537
  
Praxair, Inc. 2.75% 2008
    
5,000
      
4,876
  
Equistar Chemicals, LP 10.125% 2008
    
3,482
      
3,639
  
Lyondell Chemical Co. 10.50% 2013
    
535
      
580
  
Associated Materials Inc. 9.75% 2012
    
3,450
      
3,622
  
AMH Holdings, Inc. 0%/11.25% 20145
    
750
      
562
  
AEP Industries Inc. 7.875% 2013
    
4,075
      
4,095
  
Ainsworth Lumber Co. Ltd. 7.25% 2012
    
700
      
542
  
Ainsworth Lumber Co. Ltd. 6.75% 2014
    
2,750
      
2,059
  
Ainsworth Lumber Co. Ltd. 6.75% 2014
    
1,750
      
1,304
  
E.I. du Pont de Nemours and Co. 4.125% 2010
    
2,000
      
1,934
  
E.I. du Pont de Nemours and Co. 5.25% 2016
    
2,000
      
1,902
  
Algoma Steel Inc. 9.875% 20152
    
3,575
      
3,575
  
Arbermarle Corp. 5.10% 2015
    
3,656
      
3,432
  
Graphic Packaging International, Inc. 8.50% 2011
    
2,575
      
2,646
  
Graphic Packaging International, Inc. 9.50% 2013
    
725
      
757
  
Metals USA Holdings Corp. 11.36% 20121,2,4
    
3,600
      
3,312
  
Rockwood Specialties Group, Inc. 7.50% 2014
    
2,320
      
2,343
  
Rockwood Specialties Group, Inc. 7.625% 2014
  
€500
      
709
  
Weyerhaeuser Co. 5.95% 2008
   $
3,000
      
3,023
  
FMG Finance Pty Ltd. 10.625% 20162
    
2,500
      
2,988
  
Mosaic Co. 7.375% 20142
    
2,675
      
2,715
  
ICI Wilmington, Inc. 4.375% 2008
    
200
      
197
  
ICI Wilmington, Inc. 5.625% 2013
    
2,000
      
1,968
  
Momentive Performance Materials Inc. 9.75% 20142
    
2,000
      
2,030
  
Berry Plastics Holding Corp. 10.25% 2016
    
1,750
      
1,759
  
NewPage Corp., Series A, 12.00% 2013
    
1,540
      
1,690
  
Potash Corp. of Saskatchewan Inc. 5.875% 2036
    
1,600
      
1,502
  
Vale Overseas Ltd. 6.25% 2017
    
1,500
      
1,495
  
Packaging Corp. of America 4.375% 2008
    
1,500
      
1,478
  
Neenah Paper, Inc. 7.375% 2014
    
1,380
      
1,373
  
Airgas, Inc. 6.25% 2014
    
550
      
531
  
Ispat Inland ULC 9.75% 2014
    
206
      
228
  
JSG Funding PLC 9.625% 2012
    
51
      
54
  
             
429,666
  
                 
INFORMATION TECHNOLOGY — 0.69%
                
Electronic Data Systems Corp., Series B, 6.50% 20131
    
31,625
      
31,295
  
Electronic Data Systems Corp. 7.45% 2029
    
13,190
      
13,470
  
National Semiconductor Corp. 6.15% 2012
    
3,700
      
3,746
  
National Semiconductor Corp. 6.60% 2017
    
23,000
      
23,461
  
Cisco Systems, Inc. 5.25% 2011
    
25,000
      
24,870
  
NXP BV and NXP Funding LLC 8.106% 20131
    
500
      
503
  
NXP BV and NXP Funding LLC 7.875% 2014
    
3,750
      
3,713
  
NXP BV and NXP Funding LLC 9.50% 2015
    
16,565
      
16,399
  
Sanmina-SCI Corp. 8.11% 20101,2
    
1,750
      
1,763
  
Sanmina-SCI Corp. 8.11% 20141,2
    
3,750
      
3,769
  
Sanmina-SCI Corp. 8.125% 2016
    
14,150
      
13,230
  
Hughes Communications, Inc. 9.50% 2014
    
15,425
      
16,196
  
Celestica Inc. 7.875% 2011
    
11,730
      
11,437
  
Celestica Inc. 7.625% 2013
    
4,170
      
3,920
  
SunGard Data Systems Inc. 9.125% 2013
    
12,975
      
13,348
  
Freescale Semiconductor, Inc., Term Loan B, 7.11% 20131,3
    
11,393
      
11,207
  
Sensata Technologies BV 8.00% 20141
    
8,575
      
8,318
  
Serena Software, Inc. 10.375% 2016
    
5,247
      
5,680
  
Jabil Circuit, Inc. 5.875% 2010
    
4,750
      
4,709
  
Solectron Global Finance, LTD 8.00% 2016
    
4,000
      
4,300
  
Nortel Networks Ltd. 9.606% 20111,2
    
2,500
      
2,672
  
Iron Mountain Inc. 7.75% 2015
    
2,010
      
1,970
  
MagnaChip Semiconductor SA and MagnaChip Semiconductor Finance Co. 8.00% 2014
    
1,570
      
1,154
  
Exodus Communications, Inc. 11.625% 20106,7
    
1,132
      
0
  
             
221,130
  
                 
CONSUMER STAPLES — 0.68%
                
Tyson Foods, Inc. 6.85% 20161
    
52,630
      
54,300
  
CVS Corp. 7.77% 20122,3
    
777
      
831
  
CVS Corp. 5.298% 20272,3
    
14,869
      
13,799
  
CVS Corp. 6.036% 20282,3
    
26,277
      
25,579
  
SUPERVALU INC., Term Loan B, 6.86% 20121,3
    
6,203
      
6,234
  
SUPERVALU INC. 7.50% 2012
    
365
      
382
  
Albertson’s, Inc. 7.25% 2013
    
3,525
      
3,610
  
Albertson’s, Inc. 8.00% 2031
    
4,475
      
4,596
  
Stater Bros. Holdings Inc. 8.125% 2012
    
9,160
      
9,274
  
Stater Bros. Holdings Inc. 7.75% 20152
    
5,400
      
5,440
  
Dole Food Co., Inc. 8.625% 2009
    
500
      
501
  
Dole Food Co., Inc. 7.25% 2010
    
2,675
      
2,595
  
Dole Food Co., Inc. 8.875% 2011
    
8,835
      
8,747
  
Delhaize Group 6.50% 20172
    
5,850
      
5,884
  
Delhaize America, Inc. 9.00% 2031
    
3,625
      
4,398
  
Petro Stopping Centers, LP and Petro Financial Corp. 9.00% 2012
    
7,810
      
8,259
  
Yankee Candle Co., Inc., Series B, 8.50% 2015
    
3,875
      
3,778
  
Yankee Candle Co., Inc., Series B, 9.75% 2017
    
4,225
      
4,109
  
Vitamin Shoppe Industries Inc. 12.86% 20121
    
7,490
      
7,827
  
Duane Reade Inc. 9.75% 2011
    
7,695
      
7,560
  
Diageo Capital PLC 3.50% 2007
    
5,000
      
4,963
  
Diageo Capital PLC 4.375% 2010
    
2,395
      
2,328
  
Rite Aid Corp. 6.125% 20082
    
2,750
      
2,709
  
Rite Aid Corp. 7.50% 2015
    
1,000
      
992
  
Rite Aid Corp. 7.50% 2017
    
3,000
      
2,910
  
Nabisco, Inc. 7.05% 2007
    
6,500
      
6,502
  
Smithfield Foods, Inc., Series B, 8.00% 2009
    
1,000
      
1,035
  
Smithfield Foods, Inc., Series B, 7.75% 2013
    
250
      
255
  
Smithfield Foods, Inc. 7.75% 2017
    
3,950
      
3,970
  
Constellation Brands, Inc. 7.25% 20172
    
5,220
      
5,116
  
Spectrum Brands, Inc., Term Loan B, Letter of Credit, 5.17% 20131,3
    
25
      
25
  
Spectrum Brands, Inc., Term Loan B2, 9.32% 20131,3
    
75
      
75
  
Spectrum Brands, Inc., Term Loan B, 9.357% 20131,3
    
400
      
402
  
Spectrum Brands, Inc. 7.375% 2015
    
3,500
      
2,831
  
Elizabeth Arden, Inc. 7.75% 2014
    
3,105
      
3,144
  
Costco Wholesale Corp. 5.30% 2012
    
3,000
      
2,981
  
Cervecería Nacional Dominicana, C. por A. 8.00% 20142
    
1,500
      
1,549
  
Tesco PLC 5.50% 2033
   £
265
      
508
  
Winn-Dixie Pass Through Trust, Series 1999-1, Class A-1, 7.803% 20172,3,6,7
   $
108
      
95
  
             
220,093
  
                 
                 
Total corporate bonds & notes
            
12,729,340
  
                 
                 
MORTGAGE-BACKED OBLIGATIONS3— 24.34%
                
Fannie Mae 7.00% 2009
    
27
      
27
  
Fannie Mae 7.50% 2009
    
82
      
83
  
Fannie Mae 7.50% 2009
    
50
      
51
  
Fannie Mae 7.50% 2009
    
19
      
19
  
Fannie Mae 7.50% 2009
    
11
      
11
  
Fannie Mae 7.50% 2009
    
6
      
6
  
Fannie Mae 7.50% 2009
    
4
      
4
  
Fannie Mae 8.50% 2009
    
29
      
29
  
Fannie Mae 9.50% 2009
    
15
      
16
  
Fannie Mae 7.00% 2010
    
30
      
30
  
Fannie Mae, Series 2000-T5, Class B, 7.30% 2010
    
57,100
      
59,789
  
Fannie Mae, Series 2001-T6B, 6.088% 2011
    
48,000
      
49,187
  
Fannie Mae, Series 2003-T1, Class B, 4.491% 2012
    
46,225
      
44,042
  
Fannie Mae 4.89% 2012
    
25,000
      
24,238
  
Fannie Mae 4.00% 2015
    
25,821
      
24,676
  
Fannie Mae 7.00% 2016
    
225
      
231
  
Fannie Mae 11.50% 2016
    
449
      
499
  
Fannie Mae, Series 2002-15, Class PG, 6.00% 2017
    
11,026
      
11,074
  
Fannie Mae 4.50% 2018
    
10,561
      
10,068
  
Fannie Mae 5.00% 2018
    
20,932
      
20,314
  
Fannie Mae 5.00% 2018
    
14,941
      
14,495
  
Fannie Mae 5.00% 2018
    
8,144
      
7,902
  
Fannie Mae 5.50% 2018
    
2,585
      
2,559
  
Fannie Mae 9.00% 2018
    
33
      
35
  
Fannie Mae 10.00% 2018
    
343
      
379
  
Fannie Mae 4.50% 2019
    
24,564
      
23,385
  
Fannie Mae 4.50% 2019
    
24,452
      
23,278
  
Fannie Mae 4.50% 2019
    
13,405
      
12,761
  
Fannie Mae 5.50% 2019
    
26,925
      
26,652
  
Fannie Mae 5.50% 2019
    
10,662
      
10,531
  
Fannie Mae 12.00% 2019
    
424
      
477
  
Fannie Mae 4.50% 2020
    
40,840
      
38,841
  
Fannie Mae 4.50% 2020
    
6,453
      
6,128
  
Fannie Mae 4.50% 2020
    
4,576
      
4,357
  
Fannie Mae 5.00% 2020
    
45,849
      
44,483
  
Fannie Mae 5.00% 2020
    
11,348
      
10,989
  
Fannie Mae 5.50% 2020
    
21,424
      
21,180
  
Fannie Mae 5.50% 2020
    
2,368
      
2,339
  
Fannie Mae 11.00% 2020
    
163
      
180
  
Fannie Mae 11.251% 20201
    
405
      
457
  
Fannie Mae 5.00% 2021
    
52,589
      
50,907
  
Fannie Mae 6.00% 2021
    
9,685
      
9,729
  
Fannie Mae, Series 2003-48, Class TJ, 4.50% 2022
    
33,386
      
32,043
  
Fannie Mae 9.00% 2022
    
87
      
92
  
Fannie Mae 7.50% 2023
    
122
      
127
  
Fannie Mae 6.00% 2024
    
16,689
      
16,605
  
Fannie Mae, Series 2001-4, Class GA, 10.258% 20251
    
714
      
783
  
Fannie Mae, Series 2001-4, Class NA, 11.891% 20251
    
3,564
      
3,931
  
Fannie Mae 6.00% 2026
    
37,808
      
37,616
  
Fannie Mae 6.845% 20261
    
579
      
584
  
Fannie Mae 5.50% 2027
    
30,650
      
29,791
  
Fannie Mae 6.00% 2027
    
21,378
      
21,269
  
Fannie Mae 8.50% 2027
    
17
      
18
  
Fannie Mae, Series 1998-W5, Class B3, 6.50% 2028
    
2,413
      
2,331
  
Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2028
    
4,914
      
5,061
  
Fannie Mae 6.50% 2029
    
253
      
254
  
Fannie Mae, Series 2002-W7, Class A-5, 7.50% 2029
    
828
      
857
  
Fannie Mae 7.50% 2029
    
71
      
74
  
Fannie Mae 7.50% 2029
    
61
      
63
  
Fannie Mae 7.50% 2030
    
183
      
192
  
Fannie Mae, Series 2001-25, Class ZA, 6.50% 2031
    
6,973
      
7,097
  
Fannie Mae 7.50% 2031
    
491
      
515
  
Fannie Mae 7.50% 2031
    
55
      
57
  
Fannie Mae, Series 2001-20, Class E, 9.617% 20311
    
121
      
131
  
Fannie Mae, Series 2001-20, Class C, 11.977% 20311
    
150
      
166
  
Fannie Mae 4.50% 2033
    
13,666
      
12,473
  
Fannie Mae 4.50% 2033
    
8,987
      
8,202
  
Fannie Mae 5.50% 2033
    
136,410
      
132,194
  
Fannie Mae 5.50% 2033
    
67,026
      
64,923
  
Fannie Mae 5.50% 2033
    
497
      
482
  
Fannie Mae 4.50% 2034
    
1,500
      
1,363
  
Fannie Mae 4.50% 2035
    
6,564
      
5,972
  
Fannie Mae 4.559% 20351
    
17,455
      
17,148
  
Fannie Mae 5.50% 2035
    
74,075
      
71,636
  
Fannie Mae 5.50% 2035
    
53,336
      
51,663
  
Fannie Mae 5.50% 2035
    
8,014
      
7,745
  
Fannie Mae, Series 2005-68, Class PG, 5.50% 2035
    
6,859
      
6,770
  
Fannie Mae 6.50% 2035
    
13,563
      
13,795
  
Fannie Mae, Series 2006-51, Class PO, principal only, 0% 2036
    
10,797
      
7,891
  
Fannie Mae, Series 2006-32, Class OA, principal only, 0% 2036
    
9,503
      
6,576
  
Fannie Mae, Series 2006-96, Class OP, principal only, 0% 2036
    
2,213
      
1,628
  
Fannie Mae 4.50% 2036
    
61,946
      
56,459
  
Fannie Mae 5.50% 2036
    
63,398
      
61,261
  
Fannie Mae 5.50% 2036
    
42,384
      
40,909
  
Fannie Mae 5.50% 2036
    
31,327
      
30,237
  
Fannie Mae, Series 2006-101, Class PC, 5.50% 2036
    
10,000
      
9,800
  
Fannie Mae 5.50% 2036
    
43
      
42
  
Fannie Mae 6.00% 2036
    
48,422
      
47,923
  
Fannie Mae 6.00% 2036
    
37,658
      
37,270
  
Fannie Mae, Series 2006-106, Class HG, 6.00% 2036
    
25,764
      
25,759
  
Fannie Mae, Series 2006-43, Class PX, 6.00% 2036
    
23,144
      
23,129
  
Fannie Mae 6.00% 2036
    
14,791
      
14,650
  
Fannie Mae 6.00% 2036
    
3,881
      
3,845
  
Fannie Mae 6.50% 2036
    
11,977
      
12,197
  
Fannie Mae 6.50% 2036
    
6,600
      
6,643
  
Fannie Mae 6.50% 2036
    
1,746
      
1,762
  
Fannie Mae 7.00% 2036
    
1,411
      
1,442
  
Fannie Mae 8.00% 2036
    
5,021
      
5,159
  
Fannie Mae 5.00% 2037
    
44,293
      
41,504
  
Fannie Mae 5.50% 2037
    
114,021
      
109,981
  
Fannie Mae 5.50% 2037
    
37,146
      
35,830
  
Fannie Mae, Series 2007-40, Class PT, 5.50% 2037
    
34,411
      
33,816
  
Fannie Mae 5.50% 2037
    
32,251
      
30,902
  
Fannie Mae 5.50% 2037
    
25,467
      
24,565
  
Fannie Mae 5.50% 2037
    
22,911
      
22,099
  
Fannie Mae 5.50% 2037
    
19,706
      
19,007
  
Fannie Mae 5.50% 2037
    
19,782
      
18,954
  
Fannie Mae 5.50% 2037
    
10,697
      
10,269
  
Fannie Mae 5.50% 2037
    
5,994
      
5,782
  
Fannie Mae 5.50% 2037
    
4,291
      
4,120
  
Fannie Mae 5.50% 2037
    
3,905
      
3,767
  
Fannie Mae 5.50% 2037
    
245
      
235
  
Fannie Mae 6.00% 2037
    
15,426
      
15,199
  
Fannie Mae 6.00% 2037
    
9,870
      
9,725
  
Fannie Mae 6.00% 2037
    
5,527
      
5,442
  
Fannie Mae, Series 2007-24, Class P, 6.00% 2037
    
4,939
      
4,943
  
Fannie Mae 6.00% 2037
    
4,876
      
4,825
  
Fannie Mae 6.50% 2037
    
57,040
      
57,302
  
Fannie Mae 6.50% 2037
    
33,994
      
34,150
  
Fannie Mae 6.50% 2037
    
19,384
      
19,509
  
Fannie Mae 6.50% 2037
    
13,401
      
13,488
  
Fannie Mae 6.50% 2037
    
11,678
      
11,732
  
Fannie Mae 7.00% 2037
    
20,000
      
20,416
  
Fannie Mae 7.00% 2037
    
15,733
      
16,071
  
Fannie Mae 7.50% 2037
    
6,442
      
6,640
  
Fannie Mae 7.50% 2037
    
3,507
      
3,610
  
Fannie Mae 7.50% 2037
    
2,663
      
2,743
  
Fannie Mae 7.50% 2037
    
2,356
      
2,425
  
Fannie Mae 7.50% 2037
    
1,994
      
2,052
  
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041
    
7,672
      
7,840
  
Fannie Mae, Series 2001-50, Class BA, 7.00% 2041
    
2,421
      
2,467
  
Fannie Mae, Series 2002-W1, Class 2A, 7.50% 2042
    
5,312
      
5,480
  
Freddie Mac 8.25% 2007
    
3
      
3
  
Freddie Mac 8.25% 2007
    
—
      
—
  
Freddie Mac 8.50% 2007
    
—
      
—
  
Freddie Mac 8.50% 2008
    
2
      
2
  
Freddie Mac 8.50% 2008
    
1
      
1
  
Freddie Mac 8.50% 2008
    
—
      
—
  
Freddie Mac 8.50% 2008
    
—
      
—
  
Freddie Mac 8.75% 2008
    
15
      
15
  
Freddie Mac 8.75% 2008
    
3
      
3
  
Freddie Mac 8.75% 2008
    
3
      
3
  
Freddie Mac 8.75% 2008
    
1
      
1
  
Freddie Mac 8.00% 2009
    
2
      
2
  
Freddie Mac 8.50% 2009
    
46
      
47
  
Freddie Mac 8.50% 2010
    
46
      
47
  
Freddie Mac 8.50% 2010
    
6
      
6
  
Freddie Mac 4.00% 2015
    
35,438
      
33,022
  
Freddie Mac 6.00% 2017
    
576
      
580
  
Freddie Mac, Series 2310, Class A, 10.516% 20171
    
692
      
744
  
Freddie Mac 5.00% 2018
    
19,950
      
19,355
  
Freddie Mac 11.00% 2018
    
87
      
95
  
Freddie Mac 5.50% 2019
    
12,341
      
12,197
  
Freddie Mac 8.50% 2020
    
197
      
209
  
Freddie Mac 8.50% 2020
    
64
      
68
  
Freddie Mac, Series 41, Class F, 10.00% 2020
    
126
      
126
  
Freddie Mac, Series 178, Class Z, 9.25% 2021
    
93
      
96
  
Freddie Mac 5.00% 2022
    
24,065
      
23,243
  
Freddie Mac, Series 2626, Class NG, 3.50% 2023
    
2,177
      
1,954
  
Freddie Mac, Series 2922, Class EL, 4.50% 2023
    
50,358
      
48,372
  
Freddie Mac, Series 1617, Class PM, 6.50% 2023
    
2,678
      
2,737
  
Freddie Mac 6.00% 2026
    
43,796
      
43,594
  
Freddie Mac 6.00% 2026
    
4,828
      
4,806
  
Freddie Mac 8.00% 2026
    
115
      
121
  
Freddie Mac 5.50% 2027
    
19,718
      
19,175
  
Freddie Mac 6.00% 2027
    
241,315
      
240,202
  
Freddie Mac 8.50% 2027
    
25
      
27
  
Freddie Mac, Series 2153, Class GG, 6.00% 2029
    
4,563
      
4,581
  
Freddie Mac, Series 2122, Class QM, 6.25% 2029
    
8,244
      
8,288
  
Freddie Mac 4.50% 2035
    
26,752
      
24,340
  
Freddie Mac 4.648% 20351
    
18,815
      
18,446
  
Freddie Mac 5.00% 2035
    
44,192
      
41,490
  
Freddie Mac, Series 3061, Class PN, 5.50% 2035
    
56,312
      
55,898
  
Freddie Mac 5.50% 2035
    
21,297
      
20,587
  
Freddie Mac 5.50% 2035
    
21,274
      
20,565
  
Freddie Mac, Series 3136, Class OP, principal only, 0% 2036
    
9,455
      
6,847
  
Freddie Mac, Series 3147, Class OD, principal only, 0% 2036
    
6,309
      
4,740
  
Freddie Mac, Series 3149, Class AO, principal only, 0% 2036
    
6,089
      
4,664
  
Freddie Mac, Series 3149, Class MO, principal only, 0% 2036
    
6,309
      
4,616
  
Freddie Mac, Series 3257, Class PA, 5.50% 2036
    
56,354
      
55,314
  
Freddie Mac 5.50% 2036
    
36,572
      
35,325
  
Freddie Mac, Series 3233, Class PA, 6.00% 2036
    
47,793
      
47,867
  
Freddie Mac, Series 3156, Class NG, 6.00% 2036
    
15,956
      
16,064
  
Freddie Mac, Series 3286, Class JN, 5.50% 2037
    
72,102
      
70,333
  
Freddie Mac 5.50% 2037
    
49,546
      
47,810
  
Freddie Mac, Series 3318, Class JT, 5.50% 2037
    
39,662
      
38,669
  
Freddie Mac 5.50% 2037
    
35,000
      
33,774
  
Freddie Mac, Series 3312, Class PA, 5.50% 2037
    
30,505
      
29,755
  
Freddie Mac 6.00% 2037
    
317,795
      
314,344
  
Freddie Mac, Series 3271, Class OA, 6.00% 2037
    
19,733
      
19,886
  
Freddie Mac 6.027% 20371
    
39,466
      
39,563
  
Freddie Mac 6.253% 20371
    
26,327
      
26,500
  
Freddie Mac 6.405% 20371
    
46,153
      
46,582
  
CS First Boston Mortgage Securities Corp., Series 2003-23, Class II-A-8, 4.50% 2018
    
13,468
      
12,684
  
CS First Boston Mortgage Securities Corp., Series 2003-27, Class VI-A-1, 5.00% 2018
    
10,230
      
9,813
  
CS First Boston Mortgage Securities Corp., Series 2003-23, Class VII-A-1, 5.00% 2018
    
5,056
      
4,849
  
CS First Boston Mortgage Securities Corp., Series 2004-6, Class II-A-1, 4.75% 2019
    
20,242
      
19,248
  
CS First Boston Mortgage Securities Corp., Series 2002-30, Class I-A-1, 7.50% 2032
    
886
      
889
  
CS First Boston Mortgage Securities Corp., Series 2002-34, Class I-A-1, 7.50% 2032
    
88
      
88
  
CS First Boston Mortgage Securities Corp., Series 2003-AR12, Class II-A-2, 4.323% 20331
    
731
      
728
  
CS First Boston Mortgage Securities Corp., Series 2003-21, Class V-A-1, 6.50% 2033
    
5,151
      
5,163
  
CS First Boston Mortgage Securities Corp., Series 2003-29, Class V-A-1, 7.00% 2033
    
1,359
      
1,386
  
CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class VII-A-2, 4.604% 20341
    
18,146
      
17,879
  
CS First Boston Mortgage Securities Corp., Series 2004-5, Class IV-A-1, 6.00% 2034
    
9,420
      
9,260
  
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-3, 6.238% 2034
    
5,456
      
5,459
  
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-4, 6.505% 2034
    
460
      
471
  
CS First Boston Mortgage Securities Corp., Series 2002-CP5, Class A-1, 4.106% 2035
    
1,053
      
1,022
  
CS First Boston Mortgage Securities Corp., Series 2005-6, Class VI-A-1, 6.00% 2035
    
16,256
      
16,211
  
CS First Boston Mortgage Securities Corp., Series 2005-5, Class IV-A-1, 6.25% 2035
    
6,345
      
6,323
  
CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A-3, 6.38% 2035
    
49,122
      
50,077
  
CS First Boston Mortgage Securities Corp., Series 2002-CKP1, Class F, 7.067% 20352
    
1,500
      
1,567
  
CS First Boston Mortgage Securities Corp., Series 2006-2R, Class A-PO, principal only, 0% 20362
    
31,371
      
20,460
  
CS First Boston Mortgage Securities Corp., Series 2006-7, Class 6-A-3, 5.50% 2036
    
30,654
      
30,121
  
CS First Boston Mortgage Securities Corp., Series 2006-2, Class 5-A-6, 6.00% 2036
    
30,967
      
30,833
  
CS First Boston Mortgage Securities Corp., Series 2002-CKS4, Class G, 6.006% 20361,2
    
500
      
491
  
CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-3, 6.387% 2036
    
26,650
      
27,312
  
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-1A, 3.883% 2037
    
3,035
      
3,006
  
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-2, 4.183% 2037
    
16,000
      
15,504
  
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-3, 4.499% 2037
    
12,900
      
12,326
  
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A-2, 4.512% 2037
    
1,690
      
1,640
  
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A-AB, 4.614% 2037
    
20,000
      
19,035
  
CS First Boston Mortgage Securities Corp., Series 2005-C2, Class A-MFX, 4.877% 2037
    
10,000
      
9,387
  
CS First Boston Mortgage Securities Corp., Series 2004-C1, Class E, 5.015% 20371,2
    
8,240
      
7,678
  
CS First Boston Mortgage Securities Corp., Series 2007-2, Class 3-A-4, 5.50% 2037
    
6,500
      
6,130
  
CS First Boston Mortgage Securities Corp., Series 2007-3, Class 1-A-1A, 5.837% 20371
    
18,221
      
18,129
  
CS First Boston Mortgage Securities Corp., Series 2003-C3, Class F, 4.518% 20382
    
2,000
      
1,831
  
CS First Boston Mortgage Securities Corp., Series 2005-C1, Class A-3, 4.813% 2038
    
20,710
      
19,975
  
CS First Boston Mortgage Securities Corp., Series 2005-C4, Class A-2, 5.017% 2038
    
10,000
      
9,826
  
CS First Boston Mortgage Securities Corp., Series 2005-C5, Class A-AB, 5.10% 20381
    
12,000
      
11,618
  
CS First Boston Mortgage Securities Corp., Series 2004-C4, Class A-4, 4.283% 2039
    
20,600
      
19,562
  
CS First Boston Mortgage Securities Corp., Series 2006-C1, Class A-3, 5.711% 20391
    
14,750
      
14,692
  
CS First Boston Mortgage Securities Corp., Series 2005-C6, Class A-3, 5.23% 20401
    
42,000
      
40,841
  
CS First Boston Mortgage Securities Corp., Series 1999-C1, Class D, 8.067% 20411
    
725
      
764
  
Countrywide Alternative Loan Trust, Series 2004-5CB, Class 2-A-1, 5.00% 2019
    
9,075
      
8,749
  
Countrywide Alternative Loan Trust, Series 2006-J3, Class 2-A-1, 4.75% 2020
    
12,601
      
11,963
  
Countrywide Alternative Loan Trust, Series 2005-J8, Class 2-A-1, 5.00% 2020
    
15,977
      
15,324
  
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 7-A-1, 5.00% 2020
    
3,853
      
3,721
  
Countrywide Alternative Loan Trust, Series 2005-9CB, Class 2-A-1, 6.00% 2020
    
6,681
      
6,671
  
Countrywide Alternative Loan Trust, Series 2005-46CB, Class A-8, 5.50% 2035
    
79,091
      
78,535
  
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 1-A-7, 5.50% 2035
    
48,658
      
48,415
  
Countrywide Alternative Loan Trust, Series 2005-49CB, Class A-1, 5.50% 2035
    
30,586
      
30,373
  
Countrywide Alternative Loan Trust, Series 2005-40CB, Class A-1, 5.50% 2035
    
19,450
      
18,651
  
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-9, 5.50% 2035
    
12,716
      
12,622
  
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5-A-1, 5.75% 2035
    
2,658
      
2,580
  
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-17, 6.00% 2035
    
30,224
      
29,863
  
Countrywide Alternative Loan Trust, Series 2004-36CB, Class 1-A-1, 6.00% 2035
    
14,181
      
14,165
  
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 6-A-1, 6.00% 2035
    
1,134
      
1,115
  
Countrywide Alternative Loan Trust, Series 2005-62, Class 2-A-1, 6.029% 20351
    
17,990
      
18,035
  
Countrywide Alternative Loan Trust, Series 2006-16CB, Class A-2, 6.00% 2036
    
28,464
      
28,376
  
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A-1, 6.00% 2036
    
22,793
      
22,715
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class F, 6.191% 20341,2
    
2,500
      
2,506
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C3, Class A-1, 4.20% 2035
    
1,120
      
1,092
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC11, Class A-2, 5.016% 2037
    
11,232
      
11,066
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC12, Class A-3B, 5.51% 20371
    
61,300
      
60,490
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class E, 6.135% 20372
    
400
      
401
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1, Class A-1, 3.972% 2039
    
14,300
      
13,910
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A-3, 4.545% 2042
    
21,000
      
20,089
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class A-2, 4.575% 2042
    
20,058
      
19,486
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-2, 4.79% 2042
    
10,508
      
10,304
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-3A1, 4.871% 2042
    
25,000
      
24,286
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class A-4A, 4.936% 20421
    
805
      
758
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A-2, 5.198% 2044
    
10,080
      
9,972
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CIBC14, Class A-4, 5.481% 20441
    
4,500
      
4,390
  
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046
    
91,455
      
89,672
  
Wells Fargo Mortgage-backed Securities Trust, Series 2003-16, Class II-A-1, 4.50% 2018
    
17,277
      
16,276
  
Wells Fargo Mortgage-backed Securities Trust, Series 2003-11, Class II-A-1, 4.75% 2018
    
11,230
      
10,677
  
Wells Fargo Mortgage-backed Securities Trust, Series 2004-7, Class II-A-1, 4.50% 2019
    
21,116
      
19,894
  
Wells Fargo Mortgage-backed Securities Trust, Series 2004-7, Class I-A-1, 4.50% 2019
    
3,738
      
3,522
  
Wells Fargo Mortgage-backed Securities Trust, Series 2004-2, Class A-1, 5.00% 2019
    
6,346
      
6,090
  
Wells Fargo Mortgage-backed Securities Trust, Series 2005-1, Class I-A-1, 4.75% 2020
    
86,868
      
82,609
  
Wells Fargo Mortgage-backed Securities Trust, Series 2005-13, Class A-1, 5.00% 2020
    
36,828
      
35,348
  
Wells Fargo Mortgage-backed Securities Trust, Series 2003-3, Class II-A-1, 5.25% 2033
    
19,763
      
19,363
  
Wells Fargo Mortgage-backed Securities Trust, Series 2006-AR15, Class A-1, 5.663% 20361
    
58,112
      
57,498
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S12, Class 1-A-1, 4.50% 2018
    
9,684
      
9,123
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S6, Class II-A-3, 4.75% 2018
    
1,268
      
1,206
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S12, Class A-3, 5.00% 2018
    
20,796
      
19,953
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-CB2, Class VII-A, 5.50% 2019
    
1,557
      
1,549
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A-7, 3.842% 20331
    
25,816
      
25,278
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A, 4.03% 20331
    
5,794
      
5,772
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A-7, 4.208% 20331
    
5,015
      
4,949
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR6, Class A-1, 4.333% 20331
    
13,023
      
12,991
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A, 4.549% 20341
    
30,032
      
29,631
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 3-A1, 5.828% 20371
    
49,941
      
49,393
  
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR15, Class A-1-A, 5.58% 20451
    
13,104
      
13,155
  
Bear Stearns Commercial Mortgage Securities Inc., Series 1998-C1, Class A-1, 6.34% 2030
    
534
      
534
  
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-WF2, Class X, interest only, 0.389% 20311
    
213,226
      
2,230
  
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-C1, Class X, interest only, 1.239% 20311,2
    
141,359
      
3,055
  
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF2, Class A-2, 7.32% 2032
    
16,480
      
17,240
  
Bear Stearns Commercial Mortgage Securities Inc., Series 2002-PBW1, Class A-1, 3.97% 2035
    
17,903
      
17,529
  
Bear Stearns Commercial Mortgage Securities Inc., Series 2001-TOP2, Class D, 6.94% 20352
    
3,000
      
3,096
  
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-1, 3.688% 2041
    
2,088
      
2,060
  
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-4, 4.521% 2041
    
10,000
      
9,544
  
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-2, 4.735% 2042
    
64,000
      
62,692
  
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-3, 4.868% 2042
    
38,825
      
37,326
  
Residential Accredit Loans, Inc., Series 2003-QS16, Class A-1, 5.00% 2018
    
16,943
      
16,267
  
Residential Accredit Loans, Inc., Series 2004-QS6, Class A-1, 5.00% 2019
    
5,559
      
5,334
  
Residential Accredit Loans, Inc., Series 2004-QS16, Class 1-A-1, 5.50% 2034
    
10,544
      
10,422
  
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034
    
36,362
      
35,879
  
Residential Accredit Loans, Inc., Series 2004-QS12, Class M-1, 6.00% 2034
    
2,402
      
2,305
  
Residential Accredit Loans, Inc., Series 2005-QS4, Class A-3, 5.50% 2035
    
33,567
      
33,220
  
Residential Accredit Loans, Inc., Series 2005-QS9, Class A-6, 5.50% 2035
    
1,000
      
952
  
Residential Accredit Loans, Inc., Series 2005-QS5, Class A-5, 5.75% 2035
    
3,000
      
2,897
  
Residential Accredit Loans, Inc., Series 2006-QS10, Class I-A, 6.00% 2035
    
10,142
      
10,085
  
Residential Accredit Loans, Inc., Series 2006-QS1, Class A-3, 5.75% 2036
    
7,518
      
7,496
  
Residential Accredit Loans, Inc., Series 2007-QS7, Class II-A-1, 6.75% 2037
    
14,397
      
14,521
  
Crown Castle Towers LLC, Series 2005-1, Class A-FX, 4.643% 20352
    
36,000
      
35,071
  
Crown Castle Towers LLC, Series 2005-1, Class C, 5.074% 20352
    
43,000
      
42,180
  
Crown Castle Towers LLC, Series 2006-1, Class E, 6.065% 20362
    
28,000
      
27,497
  
Crown Castle Towers LLC, Series 2006-1, Class F, 6.650% 20362
    
10,350
      
10,216
  
Crown Castle Towers LLC, Series 2006-1, Class G, 6.795% 20362
    
1,400
      
1,380
  
SBA CMBS Trust, Series 2005-1, Class A, 5.369% 20352
    
33,000
      
32,735
  
SBA CMBS Trust, Series 2005-1, Class B, 5.565% 20352
    
3,300
      
3,285
  
SBA CMBS Trust, Series 2005-1, Class E, 6.706% 20352
    
7,460
      
7,516
  
SBA CMBS Trust, Series 2006-1A, Class A, 5.314% 20362
    
48,500
      
47,812
  
SBA CMBS Trust, Series 2006-1A, Class B, 5.451% 20362
    
7,680
      
7,583
  
SBA CMBS Trust, Series 2006-1A, Class D, 5.852% 20362
    
3,485
      
3,439
  
SBA CMBS Trust, Series 2006-1A, Class F, 6.709% 20362
    
375
      
371
  
SBA CMBS Trust, Series 2006-1A, Class G, 6.904% 20362
    
3,375
      
3,340
  
SBA CMBS Trust, Series 2006-1A, Class H, 7.389% 20362
    
3,375
      
3,320
  
SBA CMBS Trust, Series 2006-1A, Class J, 7.825% 20362
    
2,375
      
2,350
  
Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class III-A-1, 6.25% 2037
    
81,750
      
80,990
  
Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class IV-A-1, 6.50% 2037
    
28,750
      
28,773
  
American Tower Trust I, Series 2007-1A, Class A-FX, 5.42% 20372
    
33,100
      
32,475
  
American Tower Trust I, Series 2007-1A, Class B, 5.537% 20372
    
10,000
      
9,769
  
American Tower Trust I, Series 2007-1A, Class C, 5.615% 20372
    
10,000
      
9,705
  
American Tower Trust I, Series 2007-1A, Class D, 5.957% 20372
    
34,000
      
32,585
  
American Tower Trust I, Series 2007-1A, Class E, 6.249% 20372
    
11,375
      
11,024
  
American Tower Trust I, Series 2007-1A, Class F, 6.639% 20372
    
13,470
      
12,991
  
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-2, 3.958% 2035
    
4,200
      
4,107
  
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-3, 4.608% 2035
    
1,979
      
1,912
  
Wachovia Bank Commercial Mortgage Trust, Series 2004-C14, Class A-2, 4.368% 2041
    
1,530
      
1,487
  
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-2, 4.782% 2042
    
24,000
      
23,628
  
Wachovia Bank Commercial Mortgage Trust, Series 2005-C18, Class A-PB, 4.807% 2042
    
3,000
      
2,872
  
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-4, 5.083% 20421
    
35,000
      
33,383
  
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A-7, 5.118% 20421
    
4,650
      
4,431
  
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A-PB, 5.446% 20441
    
8,038
      
7,845
  
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A-PB, 5.446% 2045
    
16,750
      
16,471
  
Bear Stearns ARM Trust, Series 2003-6, Class I-A-2, 3.975% 20331
    
22,082
      
21,795
  
Bear Stearns ARM Trust, Series 2003-3, Class II-A-2, 4.023% 20331
    
4,425
      
4,403
  
Bear Stearns ARM Trust, Series 2003-3, Class III-A-1, 5.113% 20331
    
4,876
      
4,819
  
Bear Stearns ARM Trust, Series 2004-3, Class II-A, 4.213% 20341
    
12,554
      
12,313
  
Bear Stearns ARM Trust, Series 2003-9, Class III-A-2, 4.963% 20341
    
2,197
      
2,159
  
Bear Stearns ARM Trust, Series 2005-10, Class A-3, 4.65% 20351
    
51,800
      
50,317
  
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036
    
52,663
      
54,044
  
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-3, 4.561% 2041
    
9,975
      
9,565
  
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-AB, 4.673% 2041
    
2,000
      
1,921
  
Banc of America Commercial Mortgage Inc., Series 2005-1, Class A-4, 5.024% 20421
    
14,200
      
13,893
  
Banc of America Commercial Mortgage Inc., Series 2005-3, Class A-2, 4.501% 2043
    
1,260
      
1,223
  
Lehman Mortgage Trust, Series 2005-1, Class 6-A1, 5.00% 2020
    
36,151
      
34,689
  
Lehman Mortgage Trust, Series 2007-6, Class 2-A1, 6.911% 20371
    
44,580
      
45,320
  
CHL Mortgage Pass-Through Trust, Series 2004-J6, Class 3-A-1, 5.00% 2019
    
21,965
      
21,077
  
CHL Mortgage Pass-Through Trust, Series 2003-HYB3, Class 4-A-1, 3.458% 20331
    
3,221
      
3,203
  
CHL Mortgage Pass-Through Trust, Series 2003-27, Class A-1, 3.688% 20331
    
6,968
      
6,950
  
CHL Mortgage Pass-Through Trust, Series 2004-22, Class A-2, 4.633% 20341
    
8,703
      
8,560
  
CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A-3, 5.109% 20341
    
3,647
      
3,642
  
CHL Mortgage Pass-Through Trust, Series 2005-HYB8, Class 4-A-1, 5.643% 20351
    
28,615
      
28,396
  
GSR Mortgage Loan Trust, Series 2004-2F, Class XIIIA-1, 5.00% 2019
    
15,914
      
15,494
  
GSR Mortgage Loan Trust, Series 2004-15F, Class 5A-1, 5.50% 2020
    
40,190
      
39,298
  
GSR Mortgage Loan Trust, Series 2005-AR1, Class 2-A-1, 4.936% 20351
    
11,984
      
11,831
  
Chase Commercial Mortgage Securities Corp., Series 1998-2, Class A-2, 6.39% 2030
    
39,890
      
40,226
  
Chase Commercial Mortgage Securities Corp., Series 1998-1, Class A-2, 6.56% 2030
    
10,002
      
10,040
  
Chase Commercial Mortgage Securities Corp., Series 2000-2, Class A-1, 7.543% 2032
    
8,014
      
8,124
  
Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-2, 7.757% 2032
    
6,038
      
6,288
  
MASTR Alternative Loan Trust, Series 2004-5, Class 5-A-1, 4.75% 2019
    
7,783
      
7,398
  
MASTR Alternative Loan Trust, Series 2004-5, Class 4-A-1, 5.50% 2019
    
21,026
      
20,557
  
MASTR Alternative Loan Trust, Series 2004-10, Class 2-A-1, 5.50% 2019
    
5,300
      
5,184
  
MASTR Alternative Loan Trust, Series 2003-2, Class 6-A-1, 6.00% 2033
    
678
      
665
  
MASTR Alternative Loan Trust, Series 2004-2, Class 2-A-1, 6.00% 2034
    
1,274
      
1,252
  
MASTR Alternative Loan Trust, Series 2005-1, Class 1-A-1, 5.50% 2035
    
15,442
      
14,790
  
MASTR Alternative Loan Trust, Series 2005-3, Class 1-A-1, 5.50% 2035
    
3,757
      
3,584
  
MASTR Alternative Loan Trust, Series 2005-3, Class 2-A-1, 6.00% 2035
    
4,917
      
4,893
  
MASTR Alternative Loan Trust, Series 2005-3, Class 3-A-1, 6.50% 2035
    
498
      
502
  
Banc of America Mortgage Securities Trust, Series 2004-7, Class 6-A-1, 4.50% 2019
    
10,120
      
9,519
  
Banc of America Mortgage Securities Trust, Series 2004-5, Class 3-A-2, 4.75% 2019
    
17,960
      
17,078
  
Banc of America Mortgage Securities Trust, Series 2003-10, Class 3-A-1, 5.00% 2019
    
4,984
      
4,782
  
Banc of America Mortgage Securities Trust, Series 2003-F, Class 2-A-1, 3.734% 20331
    
18,760
      
18,526
  
Banc of America Mortgage Securities Trust, Series 2003-I, Class 3-A-1, 4.538% 20331
    
8,624
      
8,436
  
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class D, 6.997% 2029
    
8,300
      
8,304
  
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class F, 7.222% 2029
    
1,800
      
1,863
  
GMAC Commercial Mortgage Securities, Inc., Series 2001-C1, Class A-2, 6.465% 2034
    
30,250
      
30,984
  
GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class C, 6.50% 2035
    
9,000
      
9,086
  
GMAC Commercial Mortgage Securities, Inc., Series 2003-C1, Class F, 4.718% 20361,2
    
1,000
      
926
  
GMAC Commercial Mortgage Securities, Inc., Series 2003-C1, Class G, 4.817% 20361,2
    
1,000
      
931
  
Chase Mortgage Finance Trust, Series 2003-S9, Class A-1, 5.00% 2018
    
51,488
      
49,405
  
Tower Ventures, LLC, Series 2006-1, Class A-2, 5.45% 20362
    
22,500
      
22,282
  
Tower Ventures, LLC, Series 2006-1, Class C, 5.707% 20362
    
3,670
      
3,650
  
Tower Ventures, LLC, Series 2006-1, Class D, 6.052% 20362
    
10,000
      
9,954
  
Tower Ventures, LLC, Series 2006-1, Class E, 6.495% 20362
    
4,730
      
4,729
  
Tower Ventures, LLC, Series 2006-1, Class F, 7.036% 20362
    
8,730
      
8,714
  
Nykredit 4.00% 2035
  
DKr302,833
      
48,662
  
Residential Asset Securitization Trust, Series 2004-A6, Class A-1, 5.00% 2019
   $
19,554
      
18,812
  
Residential Asset Securitization Trust, Series 2005-A8CB, Class A-11, 6.00% 2035
    
17,865
      
17,540
  
Residential Asset Securitization Trust, Series 2005-A6CB, Class A-7, 6.00% 2035
    
11,843
      
11,767
  
J.P. Morgan Alternative Loan Trust, Series 2006-S3, Class A-6, 6.12% 20361
    
44,563
      
44,361
  
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20262
    
39,928
      
42,791
  
Banc of America Funding Trust, Series 2004-3, Class 2-A-2, 5.00% 2019
    
14,850
      
14,250
  
Banc of America Funding Trust, Series 2005-H, Class 9-A-1, 5.942% 20351
    
27,062
      
26,937
  
Deutsche Genossenschaftsbank-Hypothekenbank AG 5.25% 2009
  
€29,447
      
40,395
  
Commercial Mortgage Trust, Series 2004-LB3A, Class A-4, 5.234% 2037
   $
10,956
      
10,772
  
Commercial Mortgage Trust, Series 2003-LNB1, Class A-2, 4.084% 2038
    
20,000
      
18,426
  
Commercial Mortgage Trust, Series 2004-LNB2, Class A-3, 4.221% 2039
    
9,955
      
9,569
  
Structured Asset Securities Corp., Series 2003-20, Class 2-A-4, 4.50% 2018
    
5,504
      
5,185
  
Structured Asset Securities Corp., Series 2003-29, Class 1-A-1, 4.75% 2018
    
13,125
      
12,479
  
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.515% 20271,2
    
5,709
      
5,701
  
Structured Asset Securities Corp., Series 1998-RF1, Class A, 8.738% 20271,2
    
2,090
      
2,087
  
Structured Asset Securities Corp., Series 1999-RF1, Class A, 7.837% 20281,2
    
1,362
      
1,375
  
Structured Asset Securities Corp., Series 2003-17A, Class 3-A-1, 4.01% 20331
    
1,663
      
1,658
  
Structured Asset Securities Corp., Series 2005-6, Class 5-A-4, 5.00% 2035
    
6,754
      
6,178
  
Structured Asset Securities Corp., Series 2005-6, Class 5-A-9, 5.00% 2035
    
2,540
      
2,478
  
LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2025
    
14,547
      
15,297
  
LB-UBS Commercial Mortgage Trust, Series 2002-C1, Class A-3, 6.226% 2026
    
8,300
      
8,401
  
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A-2, 5.103% 2030
    
3,468
      
3,414
  
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A-M, 5.017% 20401
    
10,000
      
9,443
  
GS Mortgage Securities Corp. II, Series 1998-C1, Class E, 7.322% 20301
    
31,076
      
31,630
  
GS Mortgage Securities Corp. II, Series 1998-C1, Class D, 7.322% 20301
    
3,750
      
3,818
  
GMAC Mortgage Loan Trust, Series 2006-AR1, Class 2-A-1, 5.649% 20361
    
35,748
      
35,380
  
Residential Asset Mortgage Products, Trust, Series 2004-RS9, Class A-I-4, AMBAC insured, 4.767% 2032
    
10,000
      
9,883
  
Residential Asset Mortgage Products, Trust, Series 2004-RS10, Class A-I-6, 4.55% 2034
    
26,100
      
24,583
  
Bear Stearns Asset-backed Securities I Trust, Series 2005-AC8, Class A-4, 5.50% 2035
    
13,776
      
13,647
  
Bear Stearns Asset-backed Securities I Trust, Series 2006-AC2, Class II-1A-1, 6.00% 2036
    
18,784
      
18,756
  
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class II-A, 4.61% 20331
    
9,468
      
9,512
  
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class II-A-1, 4.568% 20341
    
21,072
      
20,956
  
Banc of America Alternative Loan Trust, Series 2005-4, Class 2-A-1, 5.00% 2020
    
15,169
      
14,555
  
Banc of America Alternative Loan Trust, Series 2005-6, Class 2-CB-2, 6.00% 2035
    
14,482
      
14,310
  
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-1, 6.341% 2033
    
1,057
      
1,060
  
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-2, 6.592% 2033
    
17,250
      
17,704
  
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-2, 6.226% 2035
    
1,462
      
1,462
  
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035
    
7,920
      
8,117
  
IndyMac INDX Mortgage Loan Trust, Series 2006-AR5, Class 2-A-1, 5.859% 20361
    
28,564
      
28,251
  
Bear Stearns ALT-A Trust, Series 2006-2, Class II-4-A-1, 5.929% 20361
    
28,336
      
28,215
  
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class A-2, 7.439% 2031
    
4,867
      
5,028
  
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class B, 7.619% 2031
    
17,125
      
17,814
  
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class C, 7.625% 2031
    
5,000
      
5,207
  
GE Commercial Mortgage Corp., Series 2004-C3, Class B, 5.278% 20391
    
8,000
      
7,701
  
GE Commercial Mortgage Corp., Series 2004-C2, Class B, 4.983% 2040
    
19,193
      
18,148
  
GE Commercial Mortgage Corp., Series 2006-C1, Class A-4, 5.518% 20441
    
1,200
      
1,164
  
Washington Mutual Mortgage, WMALT Series 2005-4, Class 3-CB, 5.50% 2020
    
9,100
      
8,900
  
Washington Mutual Mortgage, WMALT Series 2005-AR1, Class A-1-A, 5.58% 20351
    
6,305
      
6,310
  
Washington Mutual Mortgage, WMALT Series 2005-1, Class 6-A-1, 6.50% 2035
    
1,301
      
1,312
  
Washington Mutual Mortgage, WMALT Series 2006-1, Class 4-CB, 6.50% 2036
    
10,247
      
10,287
  
CSAB Mortgage-backed Trust, Series 2006-2, Class A-6-A, 5.72% 20361
    
25,000
      
24,509
  
Adjustable Rate Mortgage Trust, Series 2006-1, Class 3-A-3, 5.93% 20361
    
23,824
      
23,774
  
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4-A, 5.684% 20341
    
21,556
      
20,872
  
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 3-A, 6.00% 2034
    
2,744
      
2,697
  
HarborView Mortgage Loan Trust, Series 2005-15, Class 2-A1A2, 6.12% 20451
    
22,943
      
23,157
  
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-1, 6.079% 2033
    
148
      
149
  
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-2, 6.531% 2033
    
18,090
      
18,638
  
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-1, 5.56% 2038
    
1,698
      
1,700
  
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-2, 6.07% 2038
    
2,500
      
2,540
  
Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035
    
17,468
      
17,664
  
Morgan Stanley Dean Witter Capital I Trust, Series 2003-TOP9, Class A-1, 3.98% 2036
    
5,235
      
5,085
  
Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030
    
11,922
      
11,994
  
Morgan Stanley Capital I, Inc., Series 1999-FNV1, Class A-2, 6.53% 2031
    
9,491
      
9,592
  
Citigroup Mortgage Loan Trust, Inc., Series 2003-UST1, Class A-3, 5.00% 2018
    
15,320
      
14,619
  
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A-3-1, 4.55% 20341
    
3,777
      
3,751
  
Prudential Securities Secured Financing Corp., Series 1999-NRF1, Class C, 6.746% 2031
    
18,000
      
18,317
  
Banc of America Mortgage Securities, Inc., Series 2004-7, Class 7-A-1, 5.00% 2019
    
13,407
      
12,844
  
Banc of America Mortgage Securities, Inc., Series 2003-G, Class 2-A-1, 4.088% 20331
    
5,464
      
5,427
  
SunTrust Alternative Loan Trust, Series 2005-1F, Class 3-A-1, 6.50% 2035
    
16,933
      
16,990
  
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A-4-1, 5.243% 20371
    
15,000
      
14,713
  
Dexia Municipal Agency 3.50% 2009
  
€10,076
      
13,319
  
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class I-A-14, 5.50% 2035
   $
12,279
      
12,193
  
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class A-3-A, 4.949% 20381
    
8,500
      
8,208
  
Merrill Lynch Mortgage Trust, Series 2006-C1, Class A-3, 5.843% 20391
    
3,050
      
3,049
  
First Horizon Mortgage Pass-Through Trust, Series 2003-5, Class II-A-2, 5.00% 2018
    
10,799
      
10,558
  
DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032
    
9,467
      
9,585
  
Residential Funding Mortgage Securities I, Inc., Series 2004-SA1, Class A-II, 4.298% 20341
    
9,245
      
9,061
  
Government National Mortgage Assn. 6.50% 2008
    
50
      
51
  
Government National Mortgage Assn. 6.50% 2008
    
15
      
16
  
Government National Mortgage Assn. 7.50% 2008
    
12
      
12
  
Government National Mortgage Assn. 7.50% 2008
    
11
      
11
  
Government National Mortgage Assn. 7.50% 2008
    
10
      
10
  
Government National Mortgage Assn. 7.50% 2008
    
5
      
5
  
Government National Mortgage Assn. 7.50% 2008
    
2
      
2
  
Government National Mortgage Assn. 6.50% 2009
    
23
      
23
  
Government National Mortgage Assn. 7.50% 2009
    
25
      
25
  
Government National Mortgage Assn. 7.50% 2009
    
21
      
22
  
Government National Mortgage Assn. 7.50% 2009
    
18
      
18
  
Government National Mortgage Assn. 7.50% 2009
    
14
      
14
  
Government National Mortgage Assn. 7.50% 2009
    
12
      
12
  
Government National Mortgage Assn. 7.50% 2009
    
12
      
12
  
Government National Mortgage Assn. 7.50% 2009
    
8
      
9
  
Government National Mortgage Assn. 9.00% 2009
    
204
      
207
  
Government National Mortgage Assn. 9.50% 2009
    
277
      
284
  
Government National Mortgage Assn. 9.50% 2009
    
21
      
21
  
Government National Mortgage Assn. 9.00% 2016
    
108
      
117
  
Government National Mortgage Assn. 9.00% 2017
    
28
      
30
  
Government National Mortgage Assn. 9.50% 2019
    
215
      
238
  
Government National Mortgage Assn. 8.50% 2020
    
47
      
50
  
Government National Mortgage Assn. 8.50% 2020
    
29
      
31
  
Government National Mortgage Assn. 9.50% 2020
    
86
      
95
  
Government National Mortgage Assn. 10.00% 2020
    
643
      
719
  
Government National Mortgage Assn. 8.50% 2021
    
215
      
231
  
Government National Mortgage Assn. 8.50% 2021
    
144
      
155
  
Government National Mortgage Assn. 8.50% 2021
    
62
      
66
  
Government National Mortgage Assn. 8.50% 2021
    
37
      
40
  
Government National Mortgage Assn. 10.00% 2021
    
1,362
      
1,505
  
Government National Mortgage Assn. 9.00% 2022
    
26
      
28
  
Government National Mortgage Assn. 8.50% 2023
    
29
      
31
  
Government National Mortgage Assn. 8.50% 2024
    
25
      
27
  
Government National Mortgage Assn. 8.50% 2024
    
23
      
25
  
Government National Mortgage Assn. 8.50% 2027
    
30
      
32
  
Government National Mortgage Assn. 8.50% 2028
    
24
      
26
  
Government National Mortgage Assn. 8.50% 2029
    
28
      
30
  
Government National Mortgage Assn., Series 2005-58, Class NO, principal only, 0% 2035
    
5,555
      
4,080
  
American General Mortgage Loan Trust, Series 2006-1, Class A-5, 5.75% 20351,2
    
8,500
      
8,257
  
Hypothekenbank in Essen AG 5.25% 2008
  
€6,000
      
8,155
  
Specialty Underwriting and Residential Finance Trust, Series 2004-AA1, Class I-A1, 5.00% 2034
   $
8,254
      
8,048
  
Morgan Stanley Capital I Trust, Series 2005-HQ7, Class A-2, 5.373% 20421
    
7,875
      
7,733
  
Rheinische Hypothekenbank Eurobond 4.25% 2008
  
€5,000
      
6,750
  
CS First Boston Mortgage Acceptance Corp., Series 2004-7, Class IV-A-1, 4.50% 2019
   $
6,287
      
5,922
  
Citicorp Mortgage Securities, Inc., Series 2004-5, Class II-A-5, 5.00% 2034
    
6,087
      
5,899
  
Bank of America, NA and First Union National Bank Commercial Mortgage Trust, Series 2001-3, Class A-1, 4.89% 2037
    
5,820
      
5,773
  
Hilton Hotel Pool Trust, Series 2000-HLTA, Class F, 7.75% 20152
    
5,000
      
5,100
  
DLJ Mortgage Acceptance Corp., Series 1998-CF1, Class A-1B, 6.41% 2031
    
4,825
      
4,836
  
RAAC Mortgage Loan Asset-backed Trust, Series 2004-SP3, Class A-I-5, 4.89% 2032
    
5,000
      
4,727
  
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22, Class 5-A-1, 6.002% 20351
    
3,773
      
3,748
  
First Union National Bank Commercial Mortgage Trust, Series 2000-C1, Class A-1, 7.739% 2032
    
1,905
      
1,918
  
First Union National Bank Commercial Mortgage Trust, Series 2001-C4, Class A-1, 5.673% 2033
    
1,782
      
1,786
  
Ocwen Residential MBS Corp., Series 1998-R1, Class AWAC, 5.657% 20401,2
    
1,863
      
1,853
  
SACO I Trust, Series 2005-2, Class A, interest only, 3.50% 20071,2
    
24,546
      
209
  
SACO I Trust, Series 2005-1, Class A, interest only, 3.50% 20071,2
    
16,489
      
46
  
SACO I Trust, Series 2005-3, Class A, interest only, 3.50% 20351,2
    
29,359
      
333
  
GS Mortgage Securities Corp., Series 1998-2, Class M, 7.75% 20272
    
519
      
536
  
Financial Asset Securitization, Inc., Series 1997-NAM1, Class B-1, 7.75% 2027
    
382
      
381
  
             
7,840,308
  
                 
U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 13.65%
                
U.S. Treasury 3.00% 2007
    
11,875
      
11,792
  
U.S. Treasury 3.625% 20088
    
1,963
      
1,964
  
U.S. Treasury 4.75% 2008
    
11,650
      
11,615
  
U.S. Treasury 5.50% 2009
    
5,510
      
5,569
  
U.S. Treasury 6.50% 2010
    
20,000
      
20,770
  
U.S. Treasury 2.375% 20118
    
10,747
      
10,633
  
U.S. Treasury 3.50% 20118
    
23,741
      
24,442
  
U.S. Treasury 4.25% 2011
    
40,000
      
39,162
  
U.S. Treasury 4.50% 2011
    
365,486
      
359,375
  
U.S. Treasury 4.50% 2011
    
275
      
271
  
U.S. Treasury 4.625% 20119
    
70,000
      
69,147
  
U.S. Treasury 4.875% 2011
    
66,860
      
66,761
  
U.S. Treasury 5.00% 2011
    
25,000
      
25,113
  
U.S. Treasury 4.875% 2012
    
105,490
      
105,367
  
U.S. Treasury 10.375% 2012
    
24,500
      
25,003
  
U.S. Treasury 3.625% 2013
    
100,000
      
93,469
  
U.S. Treasury 4.25% 2013
    
895,150
      
864,375
  
U.S. Treasury 12.00% 2013
    
10,000
      
10,771
  
U.S. Treasury 2.00% 20148
    
33,543
      
32,233
  
U.S. Treasury 4.00% 2014
    
275
      
260
  
U.S. Treasury 4.25% 2014
    
80,000
      
76,513
  
U.S. Treasury 11.25% 2015
    
160,000
      
222,512
  
U.S. Treasury 4.50% 2016
    
744,930
      
717,867
  
U.S. Treasury 2.375% 20178
    
2,100
      
2,051
  
U.S. Treasury 8.875% 2017
    
80,000
      
103,662
  
U.S. Treasury Principal Strip 0% 2018
    
31,220
      
17,878
  
U.S. Treasury 8.00% 2021
    
200
      
256
  
U.S. Treasury 7.125% 2023
    
20,000
      
24,022
  
U.S. Treasury 2.375% 20258
    
3,672
      
3,529
  
U.S. Treasury 6.875% 2025
    
129,700
      
154,587
  
U.S. Treasury 3.875% 20298
    
2,671
      
3,222
  
U.S. Treasury 3.375% 20328
    
1,746
      
2,010
  
U.S. Treasury 4.50% 2036
    
247,383
      
224,035
  
U.S. Treasury Principal Strip 0% 2037
    
35,300
      
7,942
  
Federal Home Loan Bank 3.70% 2007
    
15,280
      
15,253
  
Federal Home Loan Bank 3.375% 2008
    
93,250
      
92,132
  
Federal Home Loan Bank 4.875% 2008
    
139,750
      
139,331
  
Federal Home Loan Bank 5.125% 2008
    
57,060
      
56,994
  
Federal Home Loan Bank 5.125% 2008
    
10,125
      
10,112
  
Federal Home Loan Bank 5.25% 2008
    
38,420
      
38,393
  
Federal Home Loan Bank 5.26% 20081
    
30,000
      
30,003
  
Federal Home Loan Bank 5.625% 2016
    
17,000
      
16,959
  
Fannie Mae 4.25% 2007
    
198,446
      
198,384
  
Fannie Mae 4.75% 2007
    
61,010
      
60,987
  
Fannie Mae 5.25% 2007
    
62,250
      
62,249
  
Fannie Mae 5.25% 2012
    
50,000
      
49,449
  
Fannie Mae 4.125% 2014
    
20,000
      
18,597
  
Freddie Mac 4.00% 2007
    
35,065
      
35,015
  
Freddie Mac 4.125% 2009
    
25,000
      
24,447
  
Freddie Mac 4.125% 2010
    
13,250
      
12,856
  
Freddie Mac 5.25% 2011
    
90,000
      
89,995
  
Freddie Mac 4.50% 2014
    
20,000
      
19,064
  
Federal Agricultural Mortgage Corp. 4.25% 2008
    
17,000
      
16,815
  
Federal Agricultural Mortgage Corp. 4.875% 20112
    
15,000
      
14,815
  
Federal Agricultural Mortgage Corp. 5.50% 20112
    
10,000
      
10,020
  
CoBank ACB 5.96% 20221,2
    
31,500
      
31,562
  
United States Government-Guaranteed Certificates of Participation, Overseas Private Investment Corp., Series 2000-044-A, 3.74% 20153
    
9,130
      
8,684
  
United States Agency for International Development, Republic of Egypt 4.45% 2015
    
5,000
      
4,696
  
             
4,394,990
  
                 
NON-U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 6.67%
                
Japanese Government 0.90% 2008
   ¥
17,679,050
      
143,496
  
Japanese Government 1.80% 2010
    
487,350
      
4,027
  
Japanese Government 1.30% 2011
    
1,160,250
      
9,415
  
Japanese Government 1.50% 2014
    
3,150,950
      
25,275
  
Japanese Government 1.70% 2016
    
3,754,600
      
30,199
  
Japanese Government 2.30% 2035
    
5,212,000
      
41,109
  
Israeli Government 7.50% 2014
  
ILS539,902
      
142,317
  
Israeli Government 6.50% 2016
    
257,595
      
65,133
  
German Government 5.25% 2008
  
€8,685
      
11,811
  
German Government 4.50% 2009
    
59,040
      
79,933
  
German Government 4.00% 2016
    
57,240
      
74,369
  
German Government 6.25% 2030
    
11,120
      
18,167
  
Singapore (Republic of) 3.125% 2011
  
S$131,540
      
87,658
  
Singapore (Republic of) 3.625% 2011
    
11,395
      
7,744
  
Singapore (Republic of) 3.75% 2016
    
107,625
      
75,745
  
South Korean Government 5.00% 2011
  
KRW 32,882,520
      
35,179
  
South Korean Government 4.25% 2014
    
15,528,880
      
15,587
  
South Korean Government 5.25% 2015
    
109,531,970
      
116,662
  
United Mexican States Government Global 10.375% 2009
   $
9,700
      
10,427
  
United Mexican States Government Global 6.375% 2013
    
5,150
      
5,338
  
United Mexican States Government, Series MI10, 9.50% 2014
  
MXP632,900
      
64,651
  
United Mexican States Government, Series M20, 10.00% 2024
    
508,800
      
57,563
  
United Mexican States Government Global 6.75% 2034
   $
5,030
      
5,377
  
Canadian Government 3.75% 2008
  
C$57,970
      
54,206
  
Canadian Government 4.25% 20268
    
66,703
      
83,732
  
United Kingdom 5.00% 2008
   £
7,025
      
14,036
  
United Kingdom 4.75% 2010
    
11,890
      
23,187
  
United Kingdom 4.75% 2015
    
21,303
      
40,543
  
United Kingdom 4.75% 2038
    
23,305
      
46,523
  
Hungarian Government 6.00% 2011
  
HUF 4,863,220
      
25,920
  
Hungarian Government 7.25% 2012
    
16,853,240
      
94,256
  
Swedish Government 5.00% 2009
  
SKr422,380
      
62,477
  
Swedish Government 5.25% 2011
    
311,885
      
46,780
  
Swedish Government 6.75% 2014
    
41,500
      
6,864
  
Polish Government 5.75% 2010
  
PLN123,970
      
45,069
  
Polish Government 6.00% 2010
    
157,250
      
57,567
  
Spanish Government 4.25% 2007
  
€56,225
      
76,092
  
Malaysia 3.869% 2010
  
MYR89,980
      
26,470
  
Malaysia 3.718% 2012
    
60,000
      
17,671
  
Malaysia 4.262% 2016
    
41,970
      
12,869
  
French Government O.A.T. Eurobond 4.00% 2009
  
€20,000
      
26,842
  
French Government O.A.T. Eurobond Strip Principal 0% 2019
    
14,000
      
10,849
  
French Government O.A.T. Eurobond 4.75% 2035
    
11,150
      
15,098
  
Russian Federation 7.50% 20303
   $
39,397
      
43,337
  
Russian Federation 7.50% 20302,3
    
144
      
159
  
Aries Vermögensverwaltungs GmbH, Series C, 9.60% 2014
    
23,000
      
28,462
  
Netherlands Government Eurobond 5.25% 2008
  
€6,000
      
8,187
  
Netherlands Government Eurobond 5.00% 2012
    
9,560
      
13,190
  
Export-Import Bank of China 4.875% 20152
   $
20,000
      
18,984
  
Brazilian Treasury Bill 6.00% 20108
  
R$8,985
      
4,527
  
Brazil (Federal Republic of) Global 7.875% 2015
   $
1,250
      
1,386
  
Brazil (Federal Republic of) Global 8.00% 20183
    
644
      
709
  
Brazil (Federal Republic of) Global 8.875% 2024
    
1,375
      
1,715
  
Brazil (Federal Republic of) Global 10.25% 2028
  
R$4,550
      
2,653
  
Brazil (Federal Republic of) Global 12.25% 2030
   $
425
      
719
  
Brazil (Federal Republic of) Global 7.125% 2037
    
1,500
      
1,624
  
Brazil (Federal Republic of) Global 11.00% 2040
    
3,110
      
4,083
  
Argentina (Republic of) 4.106% 20121,3
    
4,265
      
3,046
  
Argentina (Republic of) 5.83% 20333,4,8
  
ARS35,817
      
10,598
  
Argentina (Republic of) GDP-Linked 2035
    
32,811
      
1,295
  
Argentina (Republic of) 0.63% 20383,8
    
12,961
      
1,639
  
Italian Government BTPS Eurobond 6.00% 2007
  
€10,354
      
14,092
  
Banque Centrale de Tunisie 4.75% 2011
    
3,000
      
4,036
  
Banque Centrale de Tunisie 7.375% 2012
   $
4,500
      
4,823
  
Corporación Andina de Fomento 6.875% 2012
    
5,895
      
6,180
  
Corporación Andina de Fomento 5.125% 2015
    
2,000
      
1,903
  
State of Qatar 9.75% 2030
    
5,220
      
7,504
  
Panama (Republic of) Global 7.125% 2026
    
690
      
738
  
Panama (Republic of) Global 8.875% 2027
    
250
      
316
  
Panama (Republic of) Global 9.375% 2029
    
340
      
452
  
Panama (Republic of) Global 6.70% 20363
    
5,748
      
5,892
  
Egypt (Arab Republic of) Treasury Bill 0% 2007
  
EGP18,425
      
3,154
  
Egypt (Arab Republic of) Treasury Bill 0% 2007
    
4,175
      
717
  
Egypt (Arab Republic of) Treasury Bill 0% 2008
    
6,725
      
1,137
  
Egypt (Arab Republic of) Treasury Bill 0% 2008
    
5,675
      
945
  
Egypt (Arab Republic of) Treasury Bill 0% 2008
    
2,950
      
501
  
Egypt (Arab Republic of) Treasury Bill 0% 2008
    
2,000
      
338
  
Columbia (Republic of) Global 8.25% 2014
   $
2,500
      
2,809
  
Colombia (Republic of) Global 12.00% 2015
  
COP4,600,000
      
2,707
  
Columbia (Republic of) Global 7.375% 2037
   $
1,000
      
1,112
  
Turkey (Republic of) 12.375% 2009
    
500
      
563
  
Turkey (Republic of) 15.00% 2010
  
TRY5,250
      
3,807
  
Turkey (Republic of) 8.00% 2034
   $
1,250
      
1,352
  
El Salvador (Republic of) 7.65% 20352
    
4,450
      
5,095
  
Peru (Republic of) 8.375% 2016
    
2,920
      
3,409
  
Peru (Republic of) 6.55% 2037
    
316
      
318
  
Indonesia (Republic of) 11.00% 2020
  
IDR10,000,000
      
1,238
  
Indonesia (Republic of) 12.80% 2021
    
11,890,000
      
1,648
  
Indonesia (Republic of) 12.90% 2022
    
2,562,000
      
357
  
European Investment Bank 4.75% 2012
   £
790
      
1,496
  
European Investment Bank 5.00% 2039
    
395
      
786
  
Dominican Republic 9.50% 20112,3
   $
2,110
      
2,257
  
Uruguay (Republic of) 7.625% 20363
    
1,250
      
1,375
  
Guatemala (Republic of) 10.25% 20112
    
1,000
      
1,162
  
Venezuela (Republic of) Global 8.50% 2014
    
245
      
249
  
Venezuela (Republic of) 7.65% 2025
    
525
      
482
  
Venezuela (Republic of) Global 9.25% 2027
    
380
      
397
  
KfW International Finance Inc. 5.50% 2015
   £
275
      
537
  
LCR Finance PLC 5.10% 2051
    
165
      
353
  
             
2,146,783
  
                 
ASSET-BACKED OBLIGATIONS3— 5.81%
                
Drive Auto Receivables Trust, Series 2005-2, Class A-2, MBIA insured, 4.12% 20102
   $
2,686
      
2,675
  
Drive Auto Receivables Trust, Series 2006-2, Class A-2, MBIA insured, 5.30% 20112
    
2,150
      
2,149
  
Drive Auto Receivables Trust, Series 2005-1, Class A-4, MBIA insured, 4.01% 2012
    
27,029
      
26,755
  
Drive Auto Receivables Trust, Series 2005-2, Class A-3, MBIA insured, 4.26% 20122
    
60,520
      
59,899
  
Drive Auto Receivables Trust, Series 2005-3, Class A-4, FSA insured, 5.09% 20132
    
17,500
      
17,434
  
Drive Auto Receivables Trust, Series 2006-1, Class A-4, FSA insured, 5.54% 20132
    
67,000
      
67,314
  
Drive Auto Receivables Trust, Series 2006-2, Class A-3, MBIA insured, 5.33% 20142
    
20,000
      
20,006
  
ARG Funding Corp., Series 2005-1, Class A-1, MBIA insured, 4.02% 20092
    
21,000
      
20,833
  
ARG Funding Corp., Series 2005-2, Class A-1, AMBAC insured, 4.54% 20092
    
51,820
      
51,546
  
ARG Funding Corp., Series 2005-1, Class A-3, MBIA insured, 4.29% 20112
    
55,200
      
53,686
  
ARG Funding Corp., Series 2005-2, Class A-4, AMBAC insured, 4.84% 20112
    
30,000
      
29,586
  
CPS Auto Receivables Trust, Series 2004-A, Class A-2, FSA insured, 3.87% 20102
    
4,493
      
4,446
  
CPS Auto Receivables Trust, Series 2004-D, Class A-2, XLCA insured, 3.86% 20112
    
9,773
      
9,637
  
CPS Auto Receivables Trust, Series 2006-C, Class A-3, XLCA insured, 5.14% 20112
    
16,300
      
16,273
  
CPS Auto Receivables Trust, Series 2005-B, Class A-2, FSA insured, 4.36% 20122
    
17,605
      
17,392
  
CPS Auto Receivables Trust, Series 2005-D, Class A-2, FSA insured, 5.06% 20122
    
7,600
      
7,577
  
CPS Auto Receivables Trust, Series 2006-A, Class 1-A-4, FSA insured, 5.33% 20122
    
10,000
      
10,003
  
CPS Auto Receivables Trust, Series 2006-B, Class A-4, MBIA insured, 5.81% 20122
    
23,000
      
23,237
  
CPS Auto Receivables Trust, Series 2007-A, Class A-4, MBIA insured, 5.05% 20132
    
15,100
      
14,885
  
CPS Auto Receivables Trust, Series 2006-C, Class A-4, XLCA insured, 5.14% 20132
    
26,200
      
26,066
  
CPS Auto Receivables Trust, Series 2007-TFC, Class A-2, XLCA insured, 5.25% 20132
    
390
      
390
  
CPS Auto Receivables Trust, Series 2007-B, Class A-4, FSA insured, 5.60% 20142
    
20,000
      
19,992
  
Residential Funding Mortgage Securities II, Inc., Series 2005-HI1, Class A-4, FGIC insured, 4.70% 2034
    
19,594
      
19,367
  
Residential Funding Mortgage Securities II, Inc., Series 2005-HS1, Class A-1-2, FGIC insured, 4.66% 20351
    
12,500
      
12,182
  
Residential Funding Mortgage Securities II, Inc., Series 2007-HSA2, Class A-1F, MBIA insured, 8.47% 20371
    
84,430
      
85,591
  
GMAC Mortgage Loan Trust, Series 2006-HE3, Class A-5, FGIC insured, 5.809% 20361
    
5,000
      
4,934
  
GMAC Mortgage Loan Trust, Series 2007-HE2, Class A-2, FGIC insured, 6.054% 20371
    
17,500
      
17,497
  
GMAC Mortgage Loan Trust, Series 2007-HE2, Class A-3, FGIC insured, 6.193% 20371
    
35,000
      
34,983
  
GMAC Mortgage Loan Trust, Series 2007-HE2, Class A-6, FGIC insured, 6.249% 20371
    
7,500
      
7,494
  
Long Beach Acceptance Auto Receivables Trust, Series 2005-B, Class A-4, FSA insured, 4.522% 2012
    
17,000
      
16,785
  
Long Beach Acceptance Auto Receivables Trust, Series 2006-B, Class A-4, FSA insured, 5.18% 2013
    
27,800
      
27,626
  
Long Beach Acceptance Auto Receivables Trust, Series 2007-A, Class A-4, FSA insured, 5.025% 2014
    
15,500
      
15,343
  
MBNA Credit Card Master Note Trust, Series 2003-1, Class C, 7.02% 20121
    
5,540
      
5,741
  
MBNA Credit Card Master Note Trust, Series 2005-6, Class A, 4.50% 2013
    
42,500
      
41,484
  
MBNA Credit Card Master Note Trust, Series 2006-1, Class C, 5.74% 20151
    
10,000
      
10,075
  
Triad Automobile Receivables Trust, Series 2006-C, Class A-3, AMBAC insured, 5.26% 2011
    
26,000
      
25,943
  
Triad Automobile Receivables Trust, Series 2005-A, Class A-4, AMBAC insured, 4.22% 2012
    
20,000
      
19,679
  
Triad Automobile Receivables Trust, Series 2006-C, Class A-4, AMBAC insured, 5.31% 2013
    
10,000
      
9,964
  
PECO Energy Transition Trust, Series 1999-A, Class A-7, 6.13% 2009
    
13,000
      
13,060
  
PECO Energy Transition Trust, Series 2001-A, Class A-1, 6.52% 2010
    
20,000
      
20,598
  
PECO Energy Transition Trust, Series 2000-A, Class A-4, 7.65% 2010
    
17,994
      
18,821
  
Drivetime Auto Owner Trust, Series 2004-C, Class A-3, XLCA insured, 3.493% 20102
    
2,096
      
2,086
  
Drivetime Auto Owner Trust, Series 2006-A, Class A-3, XLCA insured, 5.501% 20111,2
    
25,460
      
25,512
  
Drivetime Auto Owner Trust, Series 2007-A, XLCA insured, 5.603% 20132
    
20,000
      
20,018
  
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A-5, FGIC insured, 5.753% 2027
    
15,750
      
15,445
  
CWHEQ Home Equity Loan Trust, Series 2006-S4, Class A-6, AMBAC insured, 5.834% 20341
    
9,650
      
9,451
  
CWHEQ Home Equity Loan Trust, Series 2007-S1, Class A-6, MBIA insured, 5.693% 20361
    
20,000
      
19,397
  
Vega ContainerVessel PLC, Series 2006-1, Class A, XLCA insured, 5.562% 20212
    
44,905
      
43,684
  
WFS Financial Owner Trust, Series 2004-1, Class C, 2.49% 2011
    
1,004
      
994
  
WFS Financial Owner Trust, Series 2004-1, Class A-4, 2.81% 2011
    
8,001
      
7,922
  
WFS Financial Owner Trust, Series 2005-1, Class A-4, 3.87% 2012
    
35,250
      
34,446
  
UPFC Auto Receivables Trust, Series 2006-B, Class A-2, AMBAC insured, 5.15% 2009
    
714
      
714
  
UPFC Auto Receivables Trust, Series 2005-A, Class A-3, AMBAC insured, 4.34% 2010
    
8,227
      
8,178
  
UPFC Auto Receivables Trust, Series 2005-B, Class A-3, XLCA insured, 4.98% 2011
    
19,863
      
19,801
  
UPFC Auto Receivables Trust, Series 2007-A, Class A-3, MBIA insured, 5.53% 2013
    
13,275
      
13,335
  
GS Auto Loan Trust, Series 2006-1, Class A-4, 5.38% 2014
    
20,000
      
20,019
  
GS Auto Loan Trust, Series 2006-1, Class A-4, 5.60% 2014
    
21,592
      
21,615
  
AmeriCredit Automobile Receivables Trust, Series 2005-C-F, Class A-4, FSA insured, 4.63% 2012
    
16,950
      
16,730
  
AmeriCredit Automobile Receivables Trust, Series 2006-B-G, Class A-4, FGIC insured, 5.21% 2013
    
23,680
      
23,565
  
Vanderbilt Mortgage and Finance, Inc., Series 2002-B, Class A-3, 4.70% 2018
    
2,341
      
2,331
  
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class A-4, 6.57% 2024
    
7,660
      
7,823
  
Vanderbilt Mortgage and Finance, Inc., Series 1999-B, Class I-A-6, 6.925% 2024
    
10,250
      
10,446
  
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-4, 7.905% 2026
    
2,864
      
2,977
  
Vanderbilt Mortgage and Finance, Inc., Series 1997-C, Class II-A-1, 5.53% 20271
    
856
      
857
  
Vanderbilt Mortgage and Finance, Inc., Series 2000-D, Class A-4, 7.715% 2027
    
3,287
      
3,413
  
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-5, 8.195% 2030
    
6,889
      
7,195
  
Vanderbilt Mortgage and Finance, Inc., Series 2001-C, Class M-1, 6.76% 2032
    
1,326
      
1,341
  
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class M-1, 7.82% 2032
    
3,000
      
3,145
  
Susquehanna Auto Lease Trust, Series 2007-1, Class A-3, 5.25% 20102
    
35,000
      
34,936
  
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-1, Class A-5, MBIA insured, 5.08% 20112
    
18,000
      
17,761
  
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-2, Class A-6, AMBAC insured, 5.08% 20112
    
14,500
      
14,308
  
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB4, Class AF-4, 5.028% 20351
    
3,490
      
3,348
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class A-3, 5.825% 20361,2
    
8,387
      
8,308
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class M-3, 6.282% 20361,2
    
3,935
      
3,878
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class M-5, 6.831% 20361,2
    
4,725
      
4,629
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class M-6, 7.00% 20361,2
    
1,816
      
1,742
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class M-2, 5.69% 20371
    
2,054
      
2,053
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A-2B, 5.723% 20371
    
3,061
      
3,032
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class B-2, 7.32% 20371
    
1,194
      
1,184
  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class B-3, 7.82% 20371
    
1,000
      
922
  
Capital Auto Receivables Asset Trust, Series 2004-2, Class A-4, 3.75% 2009
    
21,750
      
21,451
  
Capital Auto Receivables Asset Trust, Series 2005-SN1, Class B-2, 6.07% 20091
    
2,485
      
2,496
  
Capital Auto Receivables Asset Trust, Series 2006-SN1, Class C, 5.77% 20102
    
3,700
      
3,708
  
Capital One Master Trust, Series 2002-1A, Class B, 5.92% 20111
    
1,000
      
1,007
  
Capital One Multi-asset Execution Trust, Series 2006-10, Class A, 5.15% 2014
    
25,830
      
25,600
  
Spirit Master Funding LLC, Net-Lease Mortgage Notes, Series 2005-1, Class A-1, AMBAC insured, 5.05% 20232
    
27,461
      
25,643
  
Chase Issuance Trust, Series 2005-7, Class A, 4.55% 2013
    
17,500
      
17,043
  
Chase Issuance Trust, Series 2006-4, Class C, 5.61% 20141
    
8,000
      
8,009
  
CWABS, Inc., Series 2004-15, Class 2-AV-2, 5.59% 20341
    
1,839
      
1,841
  
CWABS, Inc., Series 2005-11, Class AF-2, 4.657% 2036
    
22,666
      
22,482
  
Honda Auto Receivables Owner Trust, Series 2006-2, Class A-4, 5.28% 2012
    
24,250
      
24,204
  
Prestige Auto Receivables Trust, Series 2005-1A, Class A-2, FSA insured, 4.37% 20122
    
8,614
      
8,548
  
Prestige Auto Receivables Trust, Series 2006-1A, Class A-2, FSA insured, 5.25% 20132
    
15,000
      
14,981
  
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class B-1, 7.30% 2021
    
10,148
      
10,304
  
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-4, 6.57% 2027
    
8,290
      
8,521
  
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-5, 7.12% 2032
    
3,000
      
3,103
  
Advanta Business Card Master Trust, Series 2006-A5, Class A, 5.10% 2012
    
20,000
      
19,909
  
Advanta Business Card Master Trust, Series 2005-A2, Class A-2, 5.45% 20131
    
2,000
      
2,007
  
Morgan Stanley ABS Capital I Inc., Series 2004-NC3, Class M-1, 5.85% 20341
    
18,822
      
18,837
  
Bear Stearns Asset-backed Securities I Trust, Series 2005-CL1, Class A-1, 5.82% 20341
    
17,968
      
17,988
  
AEP Texas Central Transitioning Funding II LLC, Senior Secured Transition Bonds, Series A, Class A-3, 5.09% 2015
    
16,720
      
16,247
  
Green Tree Financial Corp., Series 1995-3, Class B-2, 8.10% 20256
    
3,991
      
1,371
  
Green Tree Financial Corp., Series 1996-10, Class A-6, 7.30% 2028
    
2,892
      
2,969
  
Green Tree Financial Corp., Series 1997-6, Class A-7, 7.14% 2029
    
6,825
      
7,016
  
Green Tree Recreational, Equipment & Consumer Trust, Series 1997-D, 7.25% 2029
    
3,241
      
2,965
  
Green Tree Financial Corp., Series 1997-6, Class B-2, 7.75% 20296
    
3,051
      
—
  
Green Tree Financial Corp., Series 1998-4, Class B-2, 8.11% 20306
    
8,028
      
80
  
Conseco Finance Home Equity Loan Trust, Series 2002-B, Class M-1, 7.07% 20331
    
1,791
      
1,801
  
Residential Asset Securities Corp. Trust, Series 2001-KS3, Class A-I-6, 5.96% 2031
    
15,396
      
15,359
  
Residential Asset Securities Corp. Trust, Series 2004-KS12, Class A-1-2, 5.55% 20351
    
779
      
779
  
Providian Gateway Master Trust, Series 2004-DA, Class A, 3.35% 20112
    
15,000
      
14,941
  
Wachovia Auto Loan Owner Trust, Series 2006-1, Class A-4, 5.08% 20122
    
10,000
      
9,959
  
Wachovia Auto Loan Owner Trust, Series 2006-1, Class B, 5.15% 20122
    
5,000
      
4,971
  
CNL Funding, Series 2000-AA, Class A-2, MBIA insured, 8.044% 20172
    
13,800
      
13,974
  
American Express Credit Account Master Trust, Series 2005-3, Class B, 5.46% 20111
    
7,000
      
7,005
  
American Express Credit Account Master Trust, Series 2006-3, Class C, 5.60% 20141,2
    
6,000
      
6,016
  
Franklin Auto Trust, Series 2006-1, Class A-4, 5.03% 2014
    
10,000
      
9,950
  
Franklin Auto Trust, Series 2006-1, Class B, 5.14% 2014
    
2,000
      
1,983
  
Conseco Finance Securitizations Corp., Series 2002-2, Class A-2, 6.03% 2033
    
12,016
      
11,932
  
MASTR Asset-backed Securities Trust, Series 2006-AB1, Class A-4, 5.719% 20361
    
11,500
      
11,157
  
New Century Home Equity Loan Trust, Series 2001-NC2, Class M-1, 6.55% 20311
    
381
      
381
  
New Century Home Equity Loan Trust, Series 2004-A, Class A-II-5, FGIC insured, 5.25% 2034
    
11,000
      
10,682
  
Cendant Timeshare Receivables Funding, LLC, Series 2005-1, Class A-1, FGIC insured, 4.67% 20172
    
10,896
      
10,724
  
Providian Master Note Trust, Series 2005-A1, Class A, 5.38% 20121,2
    
10,000
      
10,008
  
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-3, 4.35% 2014
    
3,044
      
2,864
  
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-4, 5.27% 2018
    
1,561
      
1,516
  
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-5, 5.873% 2022
    
5,125
      
5,080
  
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL3, Class M-6, 6.00% 20451
    
4,175
      
4,170
  
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL3, Class M-7, 6.52% 20451
    
3,887
      
3,882
  
Ford Credit Auto Owner Trust, Series 2006-B, Class B, 5.43% 2012
    
7,333
      
7,304
  
Discover Card Master Trust I, Series 1996-4, Class B, 5.87% 20131
    
7,000
      
7,108
  
MBNA Master Credit Card Trust II, Series 1999-B, Class A, 5.90% 2011
    
3,000
      
3,033
  
MBNA Master Credit Card Trust II, Series 1999-B, Class B, 6.20% 2011
    
3,750
      
3,799
  
Home Equity Asset Trust, Series 2004-7, Class M-1, 5.94% 20351
    
6,500
      
6,544
  
PG&E Energy Recovery Funding LLC, Series 2005-1, Class A-2, 3.87% 2011
    
6,093
      
6,007
  
ACLC Business Loan Receivables Trust, Series 2002-1, Class A-2, 7.462% 20222
    
5,052
      
5,153
  
Chase Credit Card Owner Trust, Series 2003-6, Class B, 5.67% 20111
    
5,000
      
5,020
  
First Investors Auto Owner Trust, Series 2005-A, Class A-2, MBIA insured, 4.23% 20122
    
5,071
      
5,016
  
Santander Drive Auto Receivables Trust, Series 2007-1, Class A-2, FGIC insured, 5.20% 2010
    
5,000
      
4,994
  
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-1, 5.73% 2035
    
2,500
      
2,384
  
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-2, 6.51% 2035
    
2,000
      
1,974
  
Washington Mutual Master Note Trust, Series 2007-B1, Class B-1, 4.95% 20142
    
4,000
      
3,956
  
Countryplace Manufactured Housing Contract, Series 2005-1, Class A-2, AMBAC insured, 4.42% 20352
    
3,400
      
3,366
  
West Penn Funding LLC, Series 1999-A, Class A-4, 6.98% 2008
    
2,400
      
2,424
  
SLM Student Loan Trust, Series 2003-10, Class A-4, 5.15% 20392
   £
1,160
      
2,188
  
Irwin Home Equity, Series 2006-2, Class 2-A3, FGIC insured, 6.40% 20361,2
   $
2,000
      
2,000
  
GreenPoint Credit Manufactured Housing Contract Trust, Series 2000-7, Class A-1, MBIA insured, 5.61% 20221
    
1,501
      
1,504
  
Chase Auto Owner Trust, Series 2006-B, Class B, 5.24% 2014
    
1,500
      
1,494
  
IndyMac Home Equity Mortgage Loan Asset-backed Trust, Series SPMD 2001-A, Class AF-6, 6.537% 2030
    
1,194
      
1,191
  
Option One Mortgage Loan Trust, Series 2002-1, Class M-1, 6.445% 20321
    
581
      
581
  
Specialty Underwriting and Residential Finance Trust, Series 2004-BC4, Class A-2B, 5.63% 20351
    
308
      
308
  
             
1,872,301
  
                 
MUNICIPALS — 0.32%
                
State of Wisconsin, Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds, 6.125% 2027
    
25,515
      
26,918
  
State of South Dakota, Educational Enhancement Funding Corp., Tobacco Settlement Asset-backed Bonds, Series 2002-A, Class A, 6.72% 2025
    
26,109
      
25,933
  
State of Louisiana, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds,
                
Series 2001-A, Class A, 6.36% 2025
    
14,684
      
14,681
  
State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A-1, 6.25% 2033 (preref. 2013)
    
10,000
      
10,887
  
State of California, Los Angeles County Metropolitan Transportation Authority, General Revenue Refunding Bonds
                
(Workers’ Compensation Funding Program), Series 2003, AMBAC insured, 3.83% 2008
    
5,000
      
4,933
  
State of California, Los Angeles County Metropolitan Transportation Authority, General Revenue Refunding Bonds
                
(Workers’ Compensation Funding Program), Series 2003, AMBAC insured, 4.56% 2010
    
5,000
      
4,892
  
State of Washington, Tobacco Settlement Authority, Asset-backed Bonds, Series 2002, 6.50% 2026
    
6,435
      
7,054
  
California Maritime Infrastructure Authority, Taxable Lease Revenue Bonds (San Diego Unified Port District-South Bay Plant Acquisition), Series 1999, 6.63% 20092
    
6,855
      
6,881
  
State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds
                
(Economic Development and Housing), Series B, 3.09% 2007
    
2,200
      
2,191
  
             
104,370
  
                 
                 
Total bonds & notes (cost: $29,174,835,000)
            
29,088,092
  
                 
                 
                 
   
Shares or
    
Market value
  
Convertible securities — 0.15%
  
principal amount
       (000 )
                 
CONSUMER DISCRETIONARY — 0.07%
                
Amazon.com, Inc. 6.875% PEACS convertible notes 2010
  
€9,005,000
     $
12,402
  
Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032
    
228,100
      
8,795
  
             
21,197
  
                 
UTILITIES — 0.05%
                
AES Trust VII 6.00% convertible preferred 2008
    
351,450
      
17,572
  
                 
                 
FINANCIALS — 0.03%
                
Fannie Mae, Series 2004-1, 5.375% convertible preferred
    
95
      
9,429
  
                 
                 
INFORMATION TECHNOLOGY — 0.00%
                
Advanced Micro Devices, Inc. 6.00% convertible debentures 20152
   $
770,000
      
745
  
                 
                 
Total convertible securities (cost: $37,494,000)
            
48,943
  
                 
                 
                 
Preferred securities — 3.78%
  
Shares
          
                 
FINANCIALS — 3.76%
                
Fuji JGB Investment LLC, Series A, 9.87% noncumulative1,2
    
121,238,000
      
126,059
  
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative1,2
    
52,000,000
      
53,537
  
Mizuho Capital Investment (EUR) 1 Ltd. 5.02%1
    
4,650,000
      
6,219
  
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up1,2
    
71,250,000
      
78,730
  
HSBC Capital Funding LP, Series 2, 10.176% noncumulative step-up1,2
    
25,000,000
      
35,088
  
HSBC Capital Funding LP 8.03% noncumulative1
    
20,000,000
      
30,443
  
HSBC Bank Capital Funding (Sterling 1) LP 5.844% noncumulative1
    
185,000
      
352
  
Sumitomo Mitsui Banking Corp. 6.078%1,2
    
119,258,000
      
115,324
  
SB Treasury Co. LLC, Series A, 9.40% noncumulative1,2
    
17,638,000
      
18,254
  
MUFG Capital Finance 1 Ltd. 6.346% noncumulative1
    
97,323,000
      
95,384
  
Tokai Preferred Capital Co. LLC, Series A, 9.98% noncumulative1,2
    
12,000,000
      
12,484
  
MUFG Capital Finance 2 Ltd. 4.85% noncumulative1
    
4,650,000
      
5,907
  
Banco Santander Central Hispano, SA 6.80%2
    
1,600,000
      
39,320
  
Banco Santander Central Hispano, SA 6.50%2
    
910,000
      
22,323
  
Royal Bank of Scotland Group PLC 5.512% noncumulative trust1
    
38,300,000
      
36,864
  
RBS Capital Trust I 4.709% noncumulative trust1
    
16,000,000
      
14,912
  
Royal Bank of Scotland Group PLC 6.625%1
    
4,700,000
      
6,599
  
Fannie Mae, Series O, 7.495%1,2
    
900,000
      
46,884
  
Fannie Mae, Series E, 5.10%
    
150,000
      
6,528
  
BNP U.S. Funding LLC, Series A, 7.738% noncumulative1,2
    
22,125,000
      
22,319
  
BNP Paribas Capital Trust 9.003% noncumulative trust1,2
    
15,000,000
      
16,447
  
BNP Paribas 5.186% noncumulative1,2
    
12,000,000
      
11,207
  
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities2
    
1,670,000
      
46,864
  
Resona Preferred Global Securities (Cayman) Ltd. 7.191%1,2
    
33,925,000
      
34,741
  
Freddie Mac 5.57%
    
830,000
      
19,640
  
Freddie Mac, Series U, 5.90%
    
500,000
      
12,625
  
National Bank of Canada, Series A, 8.35% exchangeable depositary shares
    
1,200,000
      
31,356
  
Shinsei Finance II (Cayman) Ltd. 7.16% noncumulative1,2
    
30,645,000
      
30,616
  
Wachovia Capital Trust III 5.80%1
    
30,000,000
      
29,894
  
ING Capital Funding Trust III 8.439% noncumulative1
    
24,750,000
      
26,886
  
Chuo Mitsui Trust and Banking Co., Ltd. 5.506%1,2
    
24,970,000
      
23,606
  
Barclays Bank PLC 4.75%1
    
20,520,000
      
23,361
  
Commerzbank Capital Funding Trust I, Class B, 5.012% noncumulative1
    
15,500,000
      
19,936
  
Commerzbank Capital Funding Trust II, Class B, 5.905% noncumulative1
    
300,000
      
554
  
Standard Chartered Capital Trust I 8.16%1
    
10,000,000
      
14,593
  
Standard Chartered PLC 7.014% noncumulative redeemable preference shares1,2
    
4,200,000
      
4,041
  
Weingarten Realty Investors, Series D, 6.75% 2008
    
495,420
      
12,291
  
Weingarten Realty Investors, Series E, 6.95% cumulative redeemable depositary shares
    
250,000
      
6,192
  
CBG Florida REIT Corp., Series A, Class A, 7.114%1,2
    
18,000,000
      
17,791
  
DBS Capital Funding Corp., Series A, 7.657% noncumulative guaranteed preference shares1,2
    
11,250,000
      
12,000
  
Zions Bancorporation, Series A, depositary shares
    
400,000
      
10,500
  
Aspen Insurance Holdings Ltd. 7.401% noncumulative1
    
397,000
      
9,999
  
IndyMac Bancorp, Inc., Series A, 8.50% noncumulative2,10
    
272,000
      
6,732
  
HBOS Capital Funding LP, Series A, 6.461% noncumulative1
    
3,200,000
      
6,325
  
Nationwide Health Properties, Inc., Series A, 7.677% cumulative step-up premium rate
    
50,000
      
5,092
  
Westpac Capital Trust IV 5.256%1,2
    
4,500,000
      
4,183
  
BOI Capital Funding (No. 4) LP 6.43%1
    
240,000
      
455
  
UniCredito Italiano Capital Trust IV 5.396%1
    
190,000
      
349
  
             
1,211,806
  
                 
U.S. GOVERNMENT AGENCY SECURITIES — 0.02%
                
US AgBank 6.11%1,2
    
5,000,000
      
4,942
  
                 
                 
CONSUMER STAPLES — 0.00%
                
Great Atlantic & Pacific Tea Co., Inc. 9.375% QUIBS 2039
    
18,500
      
476
  
                 
                 
Total preferred securities (cost: $1,160,585,000)
            
1,217,224
  
                 
                 
                 
Common stocks — 0.37%
                
                 
UTILITIES — 0.17%
                
Drax Group PLC
    
3,835,176
      
55,904
  
                 
                 
INDUSTRIALS — 0.05%
                
DigitalGlobe Inc.2,7,10
    
3,984,039
      
15,936
  
UAL Corp.10
    
10,006
      
406
  
             
16,342
  
                 
TELECOMMUNICATION SERVICES — 0.03%
                
Dobson Communications Corp., Class A10
    
1,051,359
      
11,680
  
XO Holdings, Inc.10
    
7,614
      
347
  
             
11,714
  
                 
INFORMATION TECHNOLOGY — 0.01%
                
ZiLOG, Inc.10,11
    
879,000
      
4,509
  
                 
                 
HEALTH CARE — 0.00%
                
Clarent Hospital Corp.7,10,11
    
331,291
      
33
  
                 
                 
MISCELLANEOUS — 0.11%
                
Other common stocks in initial period of acquisition
           $
32,125
  
                 
                 
Total common stocks (cost: $81,729,000)
            
120,627
  
                 
                 
                 
Warrants — 0.00%
                
                 
TELECOMMUNICATION SERVICES — 0.00%
                
XO Holdings, Inc., Series A, warrants, expire 201010
    
15,233
      
11
  
XO Holdings, Inc., Series B, warrants, expire 201010
    
11,424
      
4
  
XO Holdings, Inc., Series C, warrants, expire 201010
    
11,424
      
2
  
GT Group Telecom Inc., warrants, expire 20102,7,10
    
2,750
      
0
  
                 
                 
Total warrants (cost: $143,000)
            
17
  
                 
                 
                 
   
Principal amount
          
Short-term securities — 5.62%
     (000 )        
                 
CAFCO, LLC 5.25%–5.27% due 7/6–8/17/20072,9
   $
206,400
      
205,481
  
Procter & Gamble International Funding S.C.A. 5.21%–5.24% due 8/6–9/14/20072,9
    
176,723
      
175,160
  
Clipper Receivables Co., LLC 5.24%–5.26% due 7/23–8/13/20072,9
    
159,600
      
158,791
  
Bank of America Corp. 5.235%–5.245% due 7/27–8/14/20079
    
88,500
      
88,029
  
Ranger Funding Co. LLC 5.25%–5.27% due 8/8–8/28/20072,9
    
50,000
      
49,667
  
Wal-Mart Stores, Inc. 5.18%–5.20% due 7/24–9/18/20072,9
    
138,500
      
137,418
  
JPMorgan Chase & Co. 5.24% due 8/2/20079
    
50,000
      
49,759
  
Jupiter Securitization Co., LLC 5.24%–5.35% due 7/2–7/12/20072
    
38,200
      
38,111
  
Park Avenue Receivables Co., LLC 5.24% due 7/16/20072
    
46,924
      
46,881
  
Three Pillars Funding, LLC 5.26%–5.37% due 7/2–7/10/20072
    
125,200
      
125,039
  
Honeywell International Inc. 5.19%­–5.22% due 7/23–8/16/20072,9
    
105,900
      
105,427
  
Coca-Cola Co. 5.19%–5.22% due 7/18/20072
    
59,400
      
59,249
  
Atlantic Industries 5.24% due 7/30/20072
    
34,410
      
34,260
  
Johnson & Johnson 5.19%–5.23% due 8/8–9/24/20072,9
    
80,000
      
79,260
  
Variable Funding Capital Corp. 5.24%–5.25% due 7/25–8/17/20072,9
    
71,400
      
70,972
  
IBM Capital Inc. 5.22% due 9/18/20072,9
    
65,300
      
64,554
  
Hewlett-Packard Co. 5.26% due 7/11/20072
    
50,000
      
49,919
  
Federal Home Loan Bank 5.115% due 7/20/2007
    
50,000
      
49,864
  
E.I. duPont de Nemours and Co. 5.22% due 7/26/20072
    
50,000
      
49,811
  
Merck & Co. Inc. 5.20% due 8/21/20079
    
50,000
      
49,624
  
International Lease Finance Corp. 5.21% due 7/10/2007
    
30,300
      
30,256
  
Edison Asset Securitization LLC 5.23% due 7/16/20072
    
25,000
      
24,942
  
Home Depot Inc. 5.19% due 7/24/20072
    
25,000
      
24,913
  
Prudential Funding, LLC 5.25% due 8/3/20079
    
19,000
      
18,906
  
Concentrate Manufacturing Co. of Ireland 5.24% due 7/11/20072
    
15,691
      
15,666
  
USAA Capital Corp. 5.19% due 8/15/20079
    
6,000
      
5,962
  
                 
                 
Total short-term securities (cost: $1,807,801,000)
            
1,807,921
  
                 
                 
Total investment securities (cost: $32,262,587,000)
           $
32,282,824
  
Other assets less liabilities
             (76,485 )
                 
Net assets
           $
32,206,339
  

 “Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.
 
1  Coupon rate may change periodically.
2 Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public may require registration.   The total value of all such restricted securities was $7,146,317,000, which represented 22.19% of the net assets of the fund.
3 Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.
4 Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
5 Step bond; coupon rate will increase at a later date.
6 Scheduled interest and/or principal payment was not received.
7 Valued under fair value procedures adopted by authority of the board of directors. The total value of all such securities, including those in “Miscellaneous,” was $22,486,000.
8 Index-linked bond whose principal amount moves with a government retail price index.
9 This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.
10Security did not produce income during the last 12 months.
11Represents an affiliated company as defined under the Investment Company Act of 1940.




Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so you may lose money.
 
Investors should carefully consider the investment objectives, risks, charges and expenses of the American Funds. This and other important information is contained in each fund’s prospectus, which can be obtained from a financial adviser and should be read carefully before investing.
 
 

 

MFGEFP-908-0807-S10934

ITEM 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.


ITEM 8 – Portfolio Managers of Closed-End Management Investment Companies

Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.


ITEM 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.


ITEM 10 – Submission of Matters to a Vote of Security Holders

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors since the Registrant last submitted a proxy statement to its shareholders.  The procedures are as follows.  The Registrant has a nominating and governance committee comprised solely of persons who are not considered ‘‘interested persons’’ of the Registrant within the meaning of the Investment Company Act of 1940, as amended. The committee periodically reviews such issues as the board’s composition, responsibilities, committees, compensation and other relevant issues, and recommends any appropriate changes to the full board of directors. While the committee normally is able to identify from its own resources an ample number of qualified candidates, it will consider shareholder suggestions of persons to be considered as nominees to fill future vacancies on the board. Such suggestions must be sent in writing to the nominating and governance committee of the Registrant, c/o the Registrant’s Secretary, and must be accompanied by complete biographical and occupational data on the prospective nominee, along with a written consent of the prospective nominee for consideration of his or her name by the nominating and governance committee.


ITEM 11 – Controls and Procedures

(a)
The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as such term is defined in Rule 30a-3 under the Investment Company Act of 1940), that such controls and procedures are adequate and reasonably designed to achieve the purposes described in paragraph (c) of such rule.
   
(b)
There were no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.


ITEM 12 – Exhibits

(a)(1)
Not applicable for filing of semi-annual reports to shareholders.
   
(a)(2)
The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, and Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.



SIGNATURES

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

 
THE BOND FUND OF AMERICA, INC.
   
 
By /s/ Abner D. Goldstine
 
Abner D. Goldstine, President and
Principal Executive Officer
   
 
Date: September 7, 2007



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


By /s/ Abner D. Goldstine
Abner D. Goldstine, President and
Principal Executive Officer
 
Date: September 7, 2007



By /s/ Ari M. Vinocor
Ari M. Vinocor, Treasurer and
Principal Financial Officer
 
Date: September 7, 2007