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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY


Investment Company Act file number: 811-4681

Name of Registrant: Vanguard Bond Index Funds

Address of Registrant: P.O. Box 2600
Valley Forge, PA 19482

Name and address of agent for service: Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482

Registrant’s telephone number, including area code: (610) 669-1000


Date of fiscal year end: September 30

Date of reporting period: October 1, 2006 - September 30, 3007

Item 1: Schedule of Investments

Vanguard Short-Term Bond Index Fund
Schedule of Investments
September 30, 2007

Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
    U.S. Government and Agency Obligations (68.6%)        
    U.S. Government Securities (45.3%)
    U.S. Treasury Bond 3.625% 5/15/13  325  315 
    U.S. Treasury Bond 13.250% 5/15/14  35,000  39,927 
    U.S. Treasury Note 3.750% 5/15/08  1,875  1,870 
    U.S. Treasury Note 5.125% 6/30/08  83,245  83,818 
    U.S. Treasury Note 4.125% 8/15/08  62,300  62,290 
    U.S. Treasury Note 4.875% 8/31/08  52,005  52,330 
    U.S. Treasury Note 3.125% 9/15/08  3,475  3,444 
    U.S. Treasury Note 4.625% 9/30/08  32,355  32,522 
    U.S. Treasury Note 3.125% 10/15/08  35,275  34,950 
    U.S. Treasury Note 4.875% 10/31/08  128,450  129,534 
    U.S. Treasury Note 3.375% 11/15/08  22,750  22,594 
    U.S. Treasury Note 4.375% 11/15/08  1,425  1,430 
    U.S. Treasury Note 4.750% 12/31/08  125,175  126,250 
    U.S. Treasury Note 3.250% 1/15/09  8,500  8,424 
    U.S. Treasury Note 4.875% 1/31/09  68,600  69,361 
    U.S. Treasury Note 4.500% 2/15/09  121,125  121,920 
    U.S. Treasury Note 4.750% 2/28/09  3,425  3,460 
    U.S. Treasury Note 4.500% 3/31/09  30,200  30,422 
    U.S. Treasury Note 3.125% 4/15/09  46,515  45,934 
    U.S. Treasury Note 3.875% 5/15/09  63,128  63,030 
    U.S. Treasury Note 4.875% 5/15/09  25,060  25,416 
    U.S. Treasury Note 4.875% 5/31/09  50,000  50,719 
    U.S. Treasury Note 4.000% 6/15/09  7,070  7,072 
    U.S. Treasury Note 4.875% 6/30/09  24,425  24,787 
    U.S. Treasury Note 3.625% 7/15/09  81,535  81,051 
    U.S. Treasury Note 3.500% 8/15/09  6,230  6,176 
    U.S. Treasury Note 4.875% 8/15/09  2,825  2,870 
    U.S. Treasury Note 6.000% 8/15/09  9,140  9,470 
    U.S. Treasury Note 3.375% 10/15/09  56,640  55,976 
    U.S. Treasury Note 3.500% 11/15/09  1,325  1,312 
    U.S. Treasury Note 3.500% 12/15/09  58,875  58,268 
    U.S. Treasury Note 3.500% 2/15/10  17,300  17,097 
    U.S. Treasury Note 6.500% 2/15/10  62,250  65,732 
    U.S. Treasury Note 4.000% 3/15/10  169,425  169,452 
    U.S. Treasury Note 4.000% 4/15/10  94,840  94,825 
    U.S. Treasury Note 3.875% 5/15/10  285  284 
    U.S. Treasury Note 4.500% 5/15/10  1,075  1,088 
    U.S. Treasury Note 3.625% 6/15/10  755  748 
    U.S. Treasury Note 4.125% 8/15/10  71,385  71,597 
    U.S. Treasury Note 3.875% 9/15/10  7,550  7,518 
    U.S. Treasury Note 4.250% 10/15/10  76,425  76,879 
    U.S. Treasury Note 4.500% 11/15/10  300  304 
    U.S. Treasury Note 4.500% 2/28/11  48,675  49,336 
    U.S. Treasury Note 4.750% 3/31/11  2,400  2,452 
    U.S. Treasury Note 4.875% 4/30/11  186,380  191,185 
    U.S. Treasury Note 4.875% 5/31/11  7,050  7,234 
    U.S. Treasury Note 5.125% 6/30/11  46,015  47,611 
    U.S. Treasury Note 4.875% 7/31/11  700  718 
    U.S. Treasury Note 4.500% 9/30/11  78,370  79,386 
    U.S. Treasury Note 4.625% 10/31/11  91,075  92,654 
    U.S. Treasury Note 4.500% 11/30/11  26,625  26,958 
    U.S. Treasury Note 4.625% 12/31/11  500  508 
    U.S. Treasury Note 4.750% 1/31/12  119,330  122,034 
    U.S. Treasury Note 4.625% 2/29/12  38,560  39,235 
    U.S. Treasury Note 4.500% 3/31/12  74,625  75,511 
    U.S. Treasury Note 4.500% 4/30/12  95,495  96,644 
    U.S. Treasury Note 4.750% 5/31/12  50,050  51,168 
    U.S. Treasury Note 4.875% 6/30/12  11,675  11,996 
    U.S. Treasury Note 4.625% 7/31/12  97,750  99,400 
    U.S. Treasury Note 4.125% 8/31/12  15,090  15,022 
    U.S. Treasury Note 3.875% 2/15/13  225  221 
    U.S. Treasury Note 4.250% 8/15/13  10,900  10,885 
    U.S. Treasury Note 4.250% 11/15/13  150  150 
       
        2,782,774
       
    Agency Bonds and Notes (23.3%)
  1 Federal Farm Credit Bank 4.125% 4/15/09  16,625  16,542 
  1 Federal Farm Credit Bank 5.250% 8/3/09  14,775  14,966 
  1 Federal Farm Credit Bank 5.000% 10/23/09  3,000  3,042 
  1 Federal Farm Credit Bank 5.250% 9/13/10  2,325  2,382 
  1 Federal Farm Credit Bank 5.375% 7/18/11  2,100  2,172 
  1 Federal Farm Credit Bank 4.500% 10/17/12  1,200  1,194 
  1 Federal Home Loan Bank 3.625% 11/14/08  40,000  39,622 
  1 Federal Home Loan Bank 4.625% 11/21/08  30,000  30,041 
  1 Federal Home Loan Bank 5.000% 2/20/09  59,300  59,695 
  1 Federal Home Loan Bank 3.000% 4/15/09  36,100  35,366 
  1 Federal Home Loan Bank 4.750% 4/24/09  45,000  45,244 
  1 Federal Home Loan Bank 5.375% 7/17/09  53,600  54,511 
  1 Federal Home Loan Bank 5.250% 8/5/09  12,775  12,961 
  1 Federal Home Loan Bank 5.000% 9/18/09  35,000  35,407 
  1 Federal Home Loan Bank 5.000% 12/11/09  4,625  4,673 
  1 Federal Home Loan Bank 3.875% 1/15/10  48,375  47,830 
  1 Federal Home Loan Bank 4.375% 3/17/10  22,025  22,025 
  1 Federal Home Loan Bank 4.875% 5/14/10  4,600  4,655 
  1 Federal Home Loan Bank 5.250% 6/11/10  5,450  5,554 
  1 Federal Home Loan Bank 4.500% 6/22/10  10,000  10,003 
  1 Federal Home Loan Bank 5.375% 8/19/11  8,250  8,514 
  1 Federal Home Loan Bank 4.875% 11/18/11  37,100  37,382 
  1 Federal Home Loan Mortgage Corp. 5.125% 10/15/08  37,450  37,686 
  1 Federal Home Loan Mortgage Corp. 4.625% 12/19/08  12,400  12,418 
  1 Federal Home Loan Mortgage Corp. 4.875% 2/17/09  50,800  51,106 
  1 Federal Home Loan Mortgage Corp. 5.750% 3/15/09  10,000  10,186 
  1 Federal Home Loan Mortgage Corp. 5.250% 5/21/09  50,900  51,570 
  1 Federal Home Loan Mortgage Corp. 5.000% 6/11/09  60,000  60,513 
  1 Federal Home Loan Mortgage Corp. 6.625% 9/15/09  41,250  42,954 
  1 Federal Home Loan Mortgage Corp. 4.125% 7/12/10  44,100  43,808 
  1 Federal Home Loan Mortgage Corp. 5.125% 8/23/10  20,000  20,356 
  1 Federal Home Loan Mortgage Corp. 4.750% 1/18/11  12,000  12,117 
  1 Federal Home Loan Mortgage Corp. 5.625% 3/15/11  5,000  5,190 
  1 Federal Home Loan Mortgage Corp. 5.125% 4/18/11  26,000  26,588 
  1 Federal Home Loan Mortgage Corp. 6.000% 6/15/11  12,500  13,155 
  1 Federal Home Loan Mortgage Corp. 5.250% 7/18/11  22,500  23,123 
  1 Federal Home Loan Mortgage Corp. 4.750% 3/5/12  15,000  15,077 
  1 Federal Home Loan Mortgage Corp. 5.500% 8/20/12  20,000  20,758 
  1 Federal National Mortgage Assn. 4.500% 10/15/08  33,725  33,726 
  1 Federal National Mortgage Assn. 3.375% 12/15/08  26,325  25,981 
  1 Federal National Mortgage Assn. 5.250% 1/15/09  25,375  25,642 
  1 Federal National Mortgage Assn. 3.250% 2/15/09  7,500  7,387 
  1 Federal National Mortgage Assn. 4.875% 4/15/09  3,000  3,022 
  1 Federal National Mortgage Assn. 4.250% 5/15/09  25,000  24,951 
  1 Federal National Mortgage Assn. 6.375% 6/15/09  28,500  29,429 
  1 Federal National Mortgage Assn. 5.125% 7/13/09  12,000  12,127 
  1 Federal National Mortgage Assn. 6.625% 9/15/09  56,000  58,325 
  1 Federal National Mortgage Assn. 7.250% 1/15/10  60,250  63,937 
  1 Federal National Mortgage Assn. 3.875% 2/15/10  55,250  54,619 
  1 Federal National Mortgage Assn. 4.375% 9/13/10  25,000  24,934 
  1 Federal National Mortgage Assn. 6.625% 11/15/10  33,850  36,005 
  1 Federal National Mortgage Assn. 4.500% 2/15/11  13,550  13,571 
  1 Federal National Mortgage Assn. 5.125% 4/15/11  16,000  16,351 
  1 Federal National Mortgage Assn. 6.000% 5/15/11  42,500  44,653 
  1 Federal National Mortgage Assn. 6.125% 3/15/12  100  106 
  1 Federal National Mortgage Assn. 4.875% 5/18/12  4,300  4,345 
  1 Tennessee Valley Auth. 5.375% 11/13/08  11,003  11,107 
       
        1,430,604
       
    Total U.S. Government and Agency Obligations
    (Cost $4,171,693)       4,213,378
    Corporate Bonds (25.2%)
    Asset-Backed/Commercial Mortgage-Backed Securities (0.6%)
  2 BA Covered Bond Issuer 5.500% 6/14/12  5,400  5,530 
  3 Countrywide Home Loans 4.050% 5/25/33  566  556 
  3 DaimlerChrysler Auto Trust 5.330% 8/8/10  5,242  5,236 
  3 Honda Auto Receivables Owner Trust 5.300% 7/21/10  7,850  7,839 
  3 Salomon Brothers Mortgage Securities VII 4.116% 9/25/33  3,906  3,856 
  3 USAA Auto Owner Trust 5.360% 2/15/11  7,850  7,853 
  3 Wachovia Auto Owner Trust 4.790% 4/20/10  3,854  3,842 
       
        34,712
       
    Finance (12.1%)
    Banking (5.1%)
    Associates Corp. of North America 6.250% 11/1/08  5,500  5,587 
    Bank of America Corp. 3.375% 2/17/09  750  734 
    Bank of America Corp. 4.500% 8/1/10  9,650  9,587 
    Bank of America Corp. 4.250% 10/1/10  3,350  3,291 
    Bank of America Corp. 4.375% 12/1/10  5,975  5,889 
    Bank of America Corp. 5.375% 8/15/11  7,350  7,405 
    Bank of America Corp. 6.250% 4/15/12  1,500  1,565 
    Bank of New York Co., Inc. 4.950% 1/14/11  2,825  2,794 
    Bank of New York Co., Inc. 6.375% 4/1/12  1,000  1,036 
    Bank of Tokyo-Mitsubishi 8.400% 4/15/10  5,250  5,602 
    Bank One Corp. 6.000% 2/17/09  5,000  5,067 
    Bank One Corp. 5.900% 11/15/11  1,500  1,528 
    Barclays Bank PLC 5.450% 9/12/12  3,925  3,949 
    BB&T Corp. 6.500% 8/1/11  2,750  2,861 
    Charter One Bank N.A. 5.500% 4/26/11  1,850  1,866 
    Citicorp 6.375% 11/15/08  4,475  4,545 
    Citigroup, Inc. 3.625% 2/9/09  1,825  1,796 
    Citigroup, Inc. 4.250% 7/29/09  6,245  6,169 
    Citigroup, Inc. 4.625% 8/3/10  6,275  6,235 
    Citigroup, Inc. 6.500% 1/18/11  9,000  9,399 
    Citigroup, Inc. 5.100% 9/29/11  5,405  5,392 
    Citigroup, Inc. 5.250% 2/27/12  1,600  1,601 
    Citigroup, Inc. 5.500% 8/27/12  3,500  3,553 
    Citigroup, Inc. 5.625% 8/27/12  3,500  3,544 
    Credit Suisse First Boston USA, Inc. 3.875% 1/15/09  3,500  3,456 
    Credit Suisse First Boston USA, Inc. 4.700% 6/1/09  3,000  2,991 
    Credit Suisse First Boston USA, Inc. 4.875% 8/15/10  925  925 
    Credit Suisse First Boston USA, Inc. 5.250% 3/2/11  4,150  4,153 
    Credit Suisse First Boston USA, Inc. 6.125% 11/15/11  4,500  4,644 
    Credit Suisse First Boston USA, Inc. 6.500% 1/15/12  9,500  9,965 
    Depfa Bank 3.625% 10/29/08  2,000  1,977 
    Deutsche Bank Financial, Inc. 7.500% 4/25/09  1,500  1,561 
    Fifth Third Bank 4.200% 2/23/10  1,000  983 
    FirstStar Bank 7.125% 12/1/09  2,000  2,080 
    HSBC Bank USA 3.875% 9/15/09  6,000  5,890 
    J.P. Morgan, Inc. 6.000% 1/15/09  1,625  1,643 
    JPMorgan Chase & Co. 3.500% 3/15/09  5,600  5,492 
    JPMorgan Chase&Co. 6.750% 2/1/11  8,850  9,228 
    JPMorgan Chase&Co. 5.600% 6/1/11  8,800  8,925 
    JPMorgan Chase&Co. 6.625% 3/15/12  2,500  2,617 
    Key Bank NA 7.000% 2/1/11  975  1,017 
    Key Bank NA 5.500% 9/17/12  225  224 
    KeyCorp 4.700% 5/21/09  2,000  1,993 
    Marshall&Ilsley Corp. 4.375% 8/1/09  4,350  4,303 
    MBNA America Bank NA 4.625% 8/3/09  2,250  2,238 
    MBNA America Bank NA 6.625% 6/15/12  1,000  1,053 
    MBNA Corp. 7.500% 3/15/12  2,400  2,607 
    Mellon Financial Co. 6.375% 2/15/10  1,000  1,031 
    Mellon Funding Corp. 3.250% 4/1/09  3,000  2,928 
    National Australia Bank 8.600% 5/19/10  2,000  2,173 
    National City Bank 4.150% 8/1/09  2,550  2,504 
    National City Bank 4.500% 3/15/10  600  592 
    National City Bank 6.250% 3/15/11  1,500  1,537 
    National Westminster Bank PLC 7.375% 10/1/09  4,000  4,178 
  2 Nationwide Building Society 5.500% 7/18/12  2,700  2,774 
    PNC Funding Corp. 7.500% 11/1/09  1,875  1,957 
    PNC Funding Corp. 5.125% 12/14/10  1,025  1,021 
    Regions Financial Corp. 4.375% 12/1/10  500  486 
    Regions Financial Corp. 7.000% 3/1/11  1,500  1,582 
    Regions Financial Corp. 6.375% 5/15/12  1,550  1,596 
    Republic New York Corp. 7.750% 5/15/09  2,400  2,497 
    Royal Bank of Canada 3.875% 5/4/09  250  246 
    Royal Bank of Canada 4.125% 1/26/10  5,400  5,284 
    Royal Bank of Scotland Group PLC 6.375% 2/1/11  1,500  1,543 
    Santander Central Hispano Issuances 7.625% 11/3/09  5,000  5,284 
    Santander Central Hispano Issuances 7.625% 9/14/10  1,650  1,760 
    Sanwa Bank Ltd. 8.350% 7/15/09  3,000  3,186 
    Sanwa Bank Ltd. 7.400% 6/15/11  3,825  4,137 
    Sovereign Bancorp, Inc. 4.800% 9/1/10  2,600  2,603 
    Sumitomo Bank International Finance NV 8.500% 6/15/09  6,025  6,394 
    SunTrust Banks, Inc. 6.375% 4/1/11  4,500  4,660 
2,3 Unicredit Luxembourg Finance 5.584% 1/13/17  500  526 
    US Bank NA 6.375% 8/1/11  7,200  7,495 
    Wachovia Corp. 3.625% 2/17/09  11,025  10,842 
    Wachovia Corp. 4.375% 6/1/10  1,775  1,754 
    Wachovia Corp. 7.800% 8/18/10  2,000  2,137 
    Wachovia Corp. 5.300% 10/15/11  4,475  4,501 
    Washington Mutual Bank 6.875% 6/15/11  1,975  2,043 
    Washington Mutual, Inc. 4.000% 1/15/09  6,000  5,875 
    Washington Mutual, Inc. 4.200% 1/15/10  400  385 
    Washington Mutual, Inc. 8.250% 4/1/10  1,500  1,561 
    Wells Fargo&Co. 3.125% 4/1/09  8,720  8,481 
    Wells Fargo&Co. 4.200% 1/15/10  13,180  12,983 
    Wells Fargo&Co. 4.875% 1/12/11  4,325  4,296 
    Wells Fargo&Co. 6.375% 8/1/11  1,500  1,559 
    Wells Fargo&Co. 5.300% 8/26/11  2,625  2,639 
    World Savings Bank, FSB 4.125% 12/15/09  1,150  1,132 
    Brokerage (2.3%)
    Ameriprise Financial Inc. 5.350% 11/15/10  2,150  2,160 
    Bear Stearns Co., Inc. 7.625% 12/7/09  1,000  1,040 
    Bear Stearns Co., Inc. 4.550% 6/23/10  3,975  3,882 
    Bear Stearns Co., Inc. 4.500% 10/28/10  6,900  6,727 
    Bear Stearns Co., Inc. 5.500% 8/15/11  3,500  3,468 
    Bear Stearns Co., Inc. 5.350% 2/1/12  4,050  3,968 
    Goldman Sachs Group, Inc. 3.875% 1/15/09  3,325  3,280 
    Goldman Sachs Group, Inc. 6.650% 5/15/09  5,300  5,439 
    Goldman Sachs Group, Inc. 7.350% 10/1/09  1,500  1,571 
    Goldman Sachs Group, Inc. 4.500% 6/15/10  8,165  8,077 
    Goldman Sachs Group, Inc. 5.000% 1/15/11  800  795 
    Goldman Sachs Group, Inc. 6.875% 1/15/11  875  916 
    Goldman Sachs Group, Inc. 6.600% 1/15/12  8,300  8,718 
    Goldman Sachs Group, Inc. 5.250% 10/15/13  2,425  2,369 
    Janus Capital Group 5.875% 9/15/11  850  854 
    Lehman Brothers Holdings, Inc. 3.600% 3/13/09  2,200  2,149 
    Lehman Brothers Holdings, Inc. 3.950% 11/10/09  5,700  5,547 
    Lehman Brothers Holdings, Inc. 4.250% 1/27/10  725  708 
    Lehman Brothers Holdings, Inc. 4.500% 7/26/10  2,850  2,786 
    Lehman Brothers Holdings, Inc. 7.875% 8/15/10  2,000  2,132 
    Lehman Brothers Holdings, Inc. 5.000% 1/14/11  3,150  3,100 
    Lehman Brothers Holdings, Inc. 6.625% 1/18/12  3,650  3,788 
    Lehman Brothers Holdings, Inc. 5.250% 2/6/12  1,025  1,008 
    Lehman Brothers Holdings, Inc. 6.000% 7/19/12  2,225  2,261 
    Merrill Lynch&Co., Inc. 4.831% 10/27/08  1,000  992 
    Merrill Lynch&Co., Inc. 4.125% 1/15/09  2,875  2,842 
    Merrill Lynch&Co., Inc. 6.000% 2/17/09  3,650  3,689 
    Merrill Lynch&Co., Inc. 4.250% 2/8/10  3,950  3,877 
    Merrill Lynch&Co., Inc. 4.790% 8/4/10  2,105  2,089 
    Merrill Lynch&Co., Inc. 4.500% 11/4/10  5,500  5,415 
    Merrill Lynch&Co., Inc. 5.770% 7/25/11  3,375  3,436 
    Merrill Lynch&Co., Inc. 6.050% 8/15/12  6,000  6,157 
    Morgan Stanley Dean Witter 3.875% 1/15/09  5,025  4,957 
    Morgan Stanley Dean Witter 4.000% 1/15/10  2,250  2,200 
    Morgan Stanley Dean Witter 4.250% 5/15/10  6,975  6,840 
    Morgan Stanley Dean Witter 6.750% 4/15/11  5,450  5,713 
    Morgan Stanley Dean Witter 5.625% 1/9/12  4,950  5,007 
    Morgan Stanley Dean Witter 6.600% 4/1/12  6,115  6,412 
    Morgan Stanley Dean Witter 5.750% 8/31/12  5,800  5,879 
    Finance Companies (3.3%)
    Allied Capital Corp. 6.000% 4/1/12  1,150  1,152 
    American Express Centurion Bank 4.375% 7/30/09  1,625  1,603 
    American Express Co. 4.750% 6/17/09  1,525  1,521 
    American General Finance Corp. 3.875% 10/1/09  6,450  6,284 
    American General Finance Corp. 4.625% 9/1/10  1,000  981 
    American General Finance Corp. 5.625% 8/17/11  2,100  2,074 
    American General Finance Corp. 4.875% 7/15/12  1,125  1,083 
    American General Finance Corp. 5.850% 6/1/13  2,325  2,311 
    Capital One Bank 4.250% 12/1/08  2,500  2,474 
    Capital One Bank 5.000% 6/15/09  925  922 
    Capital One Bank 5.750% 9/15/10  1,975  1,999 
    Capital One Financial 5.700% 9/15/11  3,750  3,748 
    Capital One Financial 4.800% 2/21/12  50  48 
  2 Capmark Financial Group 5.875% 5/10/12  1,800  1,660 
    CIT Group Co. of Canada 4.650% 7/1/10  2,350  2,230 
    CIT Group Co. of Canada 5.600% 11/2/11  375  363 
    CIT Group, Inc. 5.000% 11/24/08  1,775  1,752 
    CIT Group, Inc. 4.250% 2/1/10  4,325  4,095 
    CIT Group, Inc. 5.200% 11/3/10  4,025  3,903 
    CIT Group, Inc. 4.750% 12/15/10  4,475  4,240 
    CIT Group, Inc. 5.600% 4/27/11  1,150  1,118 
    CIT Group, Inc. 5.800% 7/28/11  750  717 
    Countrywide Financial Corp. 5.800% 6/7/12  3,850  3,619 
    Countrywide Home Loan 6.250% 4/15/09  3,500  3,290 
    Countrywide Home Loan 4.125% 9/15/09  1,925  1,776 
    Countrywide Home Loan 4.000% 3/22/11  1,600  1,432 
    General Electric Capital Corp. 3.600% 10/15/08  2,050  2,024 
    General Electric Capital Corp. 3.125% 4/1/09  4,400  4,299 
    General Electric Capital Corp. 3.250% 6/15/09  1,075  1,049 
    General Electric Capital Corp. 5.250% 10/27/09  2,625  2,645 
    General Electric Capital Corp. 7.375% 1/19/10  10,700  11,268 
    General Electric Capital Corp. 4.250% 9/13/10  6,850  6,739 
    General Electric Capital Corp. 4.875% 10/21/10  650  651 
    General Electric Capital Corp. 6.125% 2/22/11  8,700  8,967 
    General Electric Capital Corp. 5.500% 4/28/11  1,550  1,567 
    General Electric Capital Corp. 4.375% 11/21/11  2,325  2,263 
    General Electric Capital Corp. 5.875% 2/15/12  16,550  17,004 
    General Electric Capital Corp. 4.250% 6/15/12  4,950  4,767 
    General Electric Capital Corp. 6.000% 6/15/12  6,500  6,724 
    Heller Financial, Inc. 7.375% 11/1/09  3,200  3,359 
    HSBC Finance Corp. 4.125% 12/15/08  1,800  1,778 
    HSBC Finance Corp. 4.750% 5/15/09  7,075  7,029 
    HSBC Finance Corp. 4.125% 11/16/09  4,950  4,852 
    HSBC Finance Corp. 4.625% 9/15/10  4,675  4,597 
    HSBC Finance Corp. 5.250% 1/14/11  7,250  7,218 
    HSBC Finance Corp. 5.700% 6/1/11  6,575  6,635 
    HSBC Finance Corp. 6.375% 10/15/11  3,000  3,092 
    HSBC Finance Corp. 7.000% 5/15/12  4,400  4,660 
    HSBC Finance Corp. 5.900% 6/19/12  1,400  1,422 
    International Lease Finance Corp. 6.375% 3/15/09  500  508 
    International Lease Finance Corp. 3.500% 4/1/09  2,025  1,981 
    International Lease Finance Corp. 4.875% 9/1/10  1,200  1,189 
    International Lease Finance Corp. 5.125% 11/1/10  2,100  2,094 
    International Lease Finance Corp. 5.450% 3/24/11  975  983 
    International Lease Finance Corp. 5.750% 6/15/11  7,475  7,542 
    International Lease Finance Corp. 5.300% 5/1/12  4,375  4,352 
    iStar Financial Inc. 4.875% 1/15/09  1,000  978 
    iStar Financial Inc. 6.000% 12/15/10  1,500  1,463 
    iStar Financial Inc. 5.800% 3/15/11  2,100  2,010 
    iStar Financial Inc. 5.650% 9/15/11  2,175  2,066 
    SLM Corp. 4.000% 1/15/09  2,500  2,411 
    SLM Corp. 4.500% 7/26/10  1,050  981 
    SLM Corp. 5.400% 10/25/11  3,700  3,438 
    Insurance (1.1%)
    Aetna, Inc. 7.875% 3/1/11  1,675  1,806 
    Aetna, Inc. 5.750% 6/15/11  1,575  1,597 
    Allstate Corp. 7.200% 12/1/09  2,500  2,616 
    Allstate Life Global Funding 4.500% 5/29/09  100  99 
    American International Group, Inc. 4.700% 10/1/10  2,100  2,075 
    American International Group, Inc. 5.375% 10/18/11  800  804 
    American International Group, Inc. 4.950% 3/20/12  2,825  2,772 
    AXA Financial, Inc. 7.750% 8/1/10  2,276  2,422 
    Berkshire Hathaway Finance Corp. 3.375% 10/15/08  3,000  2,955 
    Berkshire Hathaway Finance Corp. 4.125% 1/15/10  6,100  6,009 
    Berkshire Hathaway Finance Corp. 4.200% 12/15/10  1,000  981 
    Berkshire Hathaway Finance Corp. 4.750% 5/15/12  1,100  1,082 
    CNA Financial Corp. 6.000% 8/15/11  2,150  2,177 
    Genworth Financial, Inc. 4.750% 6/15/09  1,625  1,615 
    Genworth Financial, Inc. 5.125% 3/15/11  1,600  1,594 
    Hartford Financial Services Group, Inc. 5.250% 10/15/11  4,025  4,028 
    ING USA Global 4.500% 10/1/10  3,600  3,537 
    John Hancock Financial Services 5.625% 12/1/08  850  857 
    Lincoln National Corp. 6.200% 12/15/11  1,000  1,028 
    Lincoln National Corp. 5.650% 8/27/12  225  227 
    Marsh&McLennan Cos., Inc. 5.150% 9/15/10  50  50 
    Marsh&McLennan Cos., Inc. 6.250% 3/15/12  1,900  1,949 
    Principal Life Income Funding 3.200% 4/1/09  1,500  1,461 
    Principal Life Income Funding 5.125% 3/1/11  775  776 
    Progressive Corp. 6.375% 1/15/12  500  518 
    Protective Life Secured Trust 3.700% 11/24/08  1,275  1,256 
    Protective Life Secured Trust 4.850% 8/16/10  1,700  1,680 
    Prudential Financial, Inc. 5.100% 12/14/11  1,200  1,196 
    Prudential Financial, Inc. 5.800% 6/15/12  1,275  1,301 
    Safeco Corp. 4.875% 2/1/10  2,500  2,482 
    Travelers Cos. Inc. 5.375% 6/15/12  700  714 
    UnitedHealth Group, Inc. 4.125% 8/15/09  1,425  1,401 
    UnitedHealth Group, Inc. 5.250% 3/15/11  2,250  2,259 
    WellPoint Inc. 4.250% 12/15/09  900  883 
    WellPoint Inc. 5.000% 1/15/11  1,950  1,931 
    WellPoint Inc. 6.375% 1/15/12  1,650  1,713 
    WellPoint Inc. 6.800% 8/1/12  1,150  1,224 
    Willis North America Inc. 5.125% 7/15/10  900  884 
    XL Capital Ltd. 6.500% 1/15/12  2,575  2,654 
    Real Estate Investment Trusts (0.3%)
    AvalonBay Communities, Inc. 5.500% 1/15/12  2,000  1,992 
    Brandywine Operating Partnership 4.500% 11/1/09  1,500  1,468 
    Developers Diversified Realty Corp. 5.250% 4/15/11  1,500  1,483 
    Duke Realty LP 5.625% 8/15/11  575  573 
    ERP Operating LP 6.625% 3/15/12  1,350  1,402 
    Health Care Property Investors, Inc. 5.950% 9/15/11  625  623 
    ProLogis 5.250% 11/15/10  2,475  2,467 
    Regency Centers LP 6.750% 1/15/12  1,650  1,716 
    Simon Property Group Inc. 3.750% 1/30/09  2,300  2,244 
    Simon Property Group Inc. 4.600% 6/15/10  175  170 
    Simon Property Group Inc. 4.875% 8/15/10  2,975  2,926 
    Simon Property Group Inc. 5.600% 9/1/11  1,250  1,249 
    Simon Property Group Inc. 5.000% 3/1/12  400  390 
    Vornado Realty 5.600% 2/15/11  1,100  1,082 
       
        742,768
       
    Industrial (10.7%)
    Basic Industry (0.5%)
    Alcan, Inc. 6.450% 3/15/11  2,000  2,076 
    Alcoa, Inc. 6.000% 1/15/12  1,700  1,733 
    BHP Billiton Finance 5.000% 12/15/10  1,000  1,003 
    BHP Finance USA Ltd. 5.125% 3/29/12  475  471 
    Celulosa Arauco Constitution SA 8.625% 8/15/10  3,500  3,784 
    Dow Chemical Co. 6.125% 2/1/11  2,725  2,796 
    E.I. du Pont de Nemours&Co. 6.875% 10/15/09  3,500  3,633 
    Falconbridge Ltd. 7.350% 6/5/12  1,000  1,059 
    ICI Wilmington 4.375% 12/1/08  2,200  2,177 
    International Paper Co. 4.000% 4/1/10  2,000  1,928 
    Monsanto Co. 7.375% 8/15/12  1,200  1,297 
    Noranda, Inc. 7.250% 7/15/12  1,500  1,585 
    Potash Corp. of Saskatchewan 7.750% 5/31/11  2,400  2,584 
    Weyerhaeuser Co. 6.750% 3/15/12  3,500  3,639 
    Capital Goods (1.3%)
    3M Co. 5.125% 11/6/09  575  581 
    Bemis Co. Inc. 4.875% 4/1/12  1,600  1,574 
    Boeing Capital Corp. 6.100% 3/1/11  4,850  5,002 
    Boeing Capital Corp. 6.500% 2/15/12  2,200  2,320 
    Caterpillar Financial Services Corp. 4.150% 1/15/10  2,900  2,852 
    Caterpillar Financial Services Corp. 4.300% 6/1/10  6,875  6,750 
    CRH America Inc. 5.625% 9/30/11  2,500  2,487 
    CRH America Inc. 6.950% 3/15/12  2,000  2,083 
    Emerson Electric Co. 7.125% 8/15/10  500  529 
    General Dynamics Corp. 4.500% 8/15/10  875  862 
    Hanson PLC 7.875% 9/27/10  2,000  2,115 
    Honeywell International, Inc. 7.500% 3/1/10  3,000  3,177 
    Honeywell International, Inc. 6.125% 11/1/11  2,000  2,064 
    Honeywell International, Inc. 5.625% 8/1/12  775  794 
    John Deere Capital Corp 4.400% 7/15/09  2,500  2,474 
    John Deere Capital Corp. 4.875% 3/16/09  5,525  5,520 
    John Deere Capital Corp. 5.400% 10/17/11  1,325  1,336 
    John Deere Capital Corp. 7.000% 3/15/12  3,825  4,096 
    Lafarge SA 6.150% 7/15/11  3,175  3,236 
    Mohawk Industries Inc. 5.750% 1/15/11  3,000  3,040 
    Northrop Grumman Corp. 7.125% 2/15/11  3,550  3,756 
    Raytheon Co. 4.850% 1/15/11  2,000  1,997 
    Republic Services, Inc. 6.750% 8/15/11  1,000  1,042 
    Textron Financial Corp. 6.000% 11/20/09  800  810 
    Textron Financial Corp. 4.600% 5/3/10  2,300  2,270 
    Textron, Inc. 6.500% 6/1/12  2,100  2,189 
    Tyco International Group SA 6.125% 11/1/08  1,100  1,119 
    Tyco International Group SA 6.125% 1/15/09  2,500  2,531 
    Tyco International Group SA 6.750% 2/15/11  1,950  2,009 
    Tyco International Group SA 6.375% 10/15/11  2,000  2,044 
    United Technologies Corp. 4.375% 5/1/10  2,125  2,104 
    United Technologies Corp. 7.125% 11/15/10  2,000  2,127 
    United Technologies Corp. 6.350% 3/1/11  500  521 
    United Technologies Corp. 6.100% 5/15/12  1,000  1,034 
    Waste Management, Inc. 6.875% 5/15/09  2,000  2,064 
    Communication (3.0%)
    America Movil SA de C.V. 4.125% 3/1/09  1,550  1,531 
    AT&T Corp. 6.000% 3/15/09  1,800  1,820 
    AT&T Corp. 7.300% 11/15/11  5,650  6,057 
    AT&T Inc. 4.125% 9/15/09  2,750  2,707 
    AT&T Inc. 5.300% 11/15/10  2,400  2,425 
    AT&T Inc. 6.250% 3/15/11  2,275  2,344 
    AT&T Inc. 5.875% 2/1/12  5,100  5,206 
    AT&T Inc. 5.875% 8/15/12  1,450  1,483 
    BellSouth Corp. 4.200% 9/15/09  6,300  6,205 
    British Sky Broadcasting Corp. 6.875% 2/23/09  775  793 
    British Sky Broadcasting Corp. 8.200% 7/15/09  2,750  2,891 
    British Telecommunications PLC 8.625% 12/15/10  5,825  6,409 
    CBS Corp. 7.700% 7/30/10  2,475  2,625 
    CBS Corp. 6.625% 5/15/11  2,000  2,064 
    CBS Corp. 5.625% 8/15/12  650  647 
    Cingular Wireless LLC 6.500% 12/15/11  1,000  1,044 
    Comcast Cable Communications, Inc. 6.200% 11/15/08  5,000  5,053 
    Comcast Cable Communications, Inc. 6.875% 6/15/09  3,300  3,391 
    Comcast Cable Communications, Inc. 6.750% 1/30/11  3,400  3,541 
    Comcast Corp. 5.850% 1/15/10  75  76 
    Comcast Corp. 5.500% 3/15/11  2,275  2,289 
    Cox Communications, Inc. 7.875% 8/15/09  1,500  1,571 
    Cox Communications, Inc. 4.625% 1/15/10  4,225  4,163 
    Cox Communications, Inc. 6.750% 3/15/11  2,175  2,254 
    Deutsche Telekom International Finance 8.000% 6/15/10  7,500  8,032 
    France Telecom 7.750% 3/1/11  8,100  8,749 
    Gannett Co., Inc. 6.375% 4/1/12  1,175  1,205 
    Koninklijke KPN NV 8.000% 10/1/10  2,000  2,152 
    New Cingular Wireless Services 7.875% 3/1/11  10,150  10,966 
    New Cingular Wireless Services 8.125% 5/1/12  3,900  4,333 
    Qwest Communications International Inc. 7.875% 9/1/11  2,375  2,500 
    Qwest Communications International Inc. 8.875% 3/15/12  2,375  2,595 
    R.R. Donnelley&Sons Co. 3.750% 4/1/09  850  833 
    R.R. Donnelley&Sons Co. 4.950% 5/15/10  900  893 
    R.R. Donnelley&Sons Co. 5.625% 1/15/12  600  602 
    Sprint Capital Corp. 6.125% 11/15/08  5,350  5,401 
    Sprint Capital Corp. 6.375% 5/1/09  2,975  3,026 
    Sprint Capital Corp. 7.625% 1/30/11  475  504 
    Sprint Capital Corp. 8.375% 3/15/12  4,050  4,449 
    Telecom Italia Capital 4.000% 11/15/08  2,045  2,015 
    Telecom Italia Capital 4.000% 1/15/10  3,605  3,517 
    Telecom Italia Capital 4.875% 10/1/10  1,000  990 
    Telecom Italia Capital 6.200% 7/18/11  700  717 
    Telefonica Emisiones SAU 5.984% 6/20/11  5,300  5,414 
    Telefonica Europe BV 7.750% 9/15/10  5,000  5,348 
    Telefonos de Mexico SA 4.500% 11/19/08  1,600  1,584 
    Telefonos de Mexico SA 4.750% 1/27/10  3,150  3,111 
    Telus Corp. 8.000% 6/1/11  5,000  5,403 
    Thomson Corp. 6.200% 1/5/12  1,500  1,557 
  2 Time Warner, Inc. 5.400% 7/2/12  3,800  3,764 
    Verizon Communications Corp. 5.350% 2/15/11  3,800  3,833 
    Verizon Global Funding Corp. 7.250% 12/1/10  6,400  6,801 
    Verizon New England, Inc. 6.500% 9/15/11  2,500  2,593 
    Verizon New Jersey, Inc. 5.875% 1/17/12  2,000  2,034 
    Verizon New York, Inc. 6.875% 4/1/12  2,000  2,101 
    Verizon Pennsylvania, Inc. 5.650% 11/15/11  2,000  2,016 
    Vodafone AirTouch PLC 7.750% 2/15/10  6,235  6,582 
    Vodafone Group PLC 5.500% 6/15/11  850  852 
    Vodafone Group PLC 5.350% 2/27/12  750  748 
    Consumer Cyclical (2.1%)
    Centex Corp. 7.500% 1/15/12  1,500  1,464 
    Centex Corp. 5.450% 8/15/12  1,500  1,341 
    Costco Wholesale Corp. 5.300% 3/15/12  2,200  2,219 
    CVS Caremark Corp. 4.000% 9/15/09  1,750  1,712 
    CVS Caremark Corp. 5.750% 8/15/11  1,225  1,242 
  3 CVS Caremark Corp. 6.302% 6/1/37  1,000  970 
    D.R. Horton, Inc. 4.875% 1/15/10  1,175  1,094 
    D.R. Horton, Inc. 6.000% 4/15/11  2,750  2,538 
    DaimlerChrysler North America Holding Corp. 7.200% 9/1/09  6,100  6,315 
    DaimlerChrysler North America Holding Corp. 4.875% 6/15/10  2,200  2,175 
    DaimlerChrysler North America Holding Corp. 8.000% 6/15/10  1,175  1,250 
    DaimlerChrysler North America Holding Corp. 5.875% 3/15/11  6,350  6,435 
    DaimlerChrysler North America Holding Corp. 5.750% 9/8/11  5,950  6,005 
    DaimlerChrysler North America Holding Corp. 7.300% 1/15/12  2,500  2,666 
    Federated Department Stores, Inc. 6.625% 9/1/08  1,000  1,010 
    Federated Department Stores, Inc. 6.300% 4/1/09  2,500  2,530 
    Federated Retail Holding 5.350% 3/15/12  2,650  2,598 
    Home Depot Inc. 3.750% 9/15/09  1,125  1,091 
    Home Depot Inc. 4.625% 8/15/10  2,075  2,025 
    Home Depot Inc. 5.200% 3/1/11  1,325  1,304 
    J.C. Penney Co., Inc. 8.000% 3/1/10  3,000  3,185 
    Johnson Controls, Inc. 5.250% 1/15/11  875  876 
    Lennar Corp. 5.125% 10/1/10  1,700  1,568 
    Lennar Corp. 5.950% 10/17/11  1,575  1,445 
    Lowe's Cos., Inc. 8.250% 6/1/10  2,000  2,152 
    Lowe's Cos., Inc. 5.600% 9/15/12  1,200  1,211 
    Marriott International 4.625% 6/15/12  1,175  1,132 
    May Department Stores Co. 4.800% 7/15/09  1,500  1,483 
    McDonald's Corp. 5.750% 3/1/12  1,800  1,832 
    Pulte Homes, Inc. 4.875% 7/15/09  450  419 
    Pulte Homes, Inc. 7.875% 8/1/11  1,000  960 
    Starwood Hotel Resorts 7.875% 5/1/12  2,500  2,669 
    Target Corp. 5.400% 10/1/08  1,500  1,506 
    Target Corp. 7.500% 8/15/10  3,000  3,192 
    Target Corp. 6.350% 1/15/11  4,900  5,072 
    The Walt Disney Co. 5.700% 7/15/11  2,900  2,954 
    The Walt Disney Co. 6.375% 3/1/12  1,500  1,574 
    Time Warner, Inc. 6.750% 4/15/11  50  52 
    Time Warner, Inc. 5.500% 11/15/11  7,150  7,129 
    Time Warner, Inc. 6.875% 5/1/12  4,525  4,750 
    Toyota Motor Credit Corp. 5.500% 12/15/08  2,500  2,524 
    Toyota Motor Credit Corp. 4.250% 3/15/10  1,750  1,736 
    Toyota Motor Credit Corp. 4.350% 12/15/10  2,300  2,308 
    Toyota Motor Credit Corp. 5.450% 5/18/11  500  511 
    Viacom Inc. 5.750% 4/30/11  2,925  2,939 
    Wal-Mart Stores, Inc. 3.375% 10/1/08  675  665 
    Wal-Mart Stores, Inc. 6.875% 8/10/09  10,100  10,479 
    Wal-Mart Stores, Inc. 4.000% 1/15/10  2,500  2,458 
    Wal-Mart Stores, Inc. 4.125% 7/1/10  5,200  5,115 
    Wal-Mart Stores, Inc. 4.125% 2/15/11  3,975  3,865 
    Western Union Co. 5.400% 11/17/11  1,925  1,920 
    Yum! Brands, Inc. 8.875% 4/15/11  1,750  1,930 
    Yum! Brands, Inc. 7.700% 7/1/12  1,100  1,191 
    Consumer Noncyclical (1.9%)
    Abbott Laboratories 3.500% 2/17/09  2,350  2,307 
    Abbott Laboratories 3.750% 3/15/11  1,250  1,200 
    Abbott Laboratories 5.600% 5/15/11  3,325  3,380 
    Altria Group, Inc. 5.625% 11/4/08  1,000  1,003 
    Amgen Inc. 4.000% 11/18/09  3,150  3,090 
    Anheuser Busch Cos., Inc. 4.700% 4/15/12  1,500  1,467 
    Anheuser-Busch Cos., Inc. 6.000% 4/15/11  800  821 
    AstraZeneca PLC 5.400% 9/15/12  5,400  5,454 
    Baxter Finco, BV 4.750% 10/15/10  500  498 
    Bunge Ltd. Finance Corp. 4.375% 12/15/08  450  445 
    Campbell Soup Co. 6.750% 2/15/11  1,000  1,045 
    Cardinal Health, Inc. 6.750% 2/15/11  425  442 
  2 Cardinal Health, Inc. 5.650% 6/15/12  375  376 
    Cia. Brasil de Bebidas AmBev 10.500% 12/15/11  1,300  1,532 
    Clorox Co. 4.200% 1/15/10  2,650  2,588 
    Coca-Cola Enterprises Inc. 5.750% 11/1/08  1,350  1,360 
    Coca-Cola Enterprises Inc. 4.375% 9/15/09  1,550  1,536 
    Colgate-Palmolive Co. 5.980% 4/25/12  1,250  1,295 
    ConAgra Foods, Inc. 7.875% 9/15/10  1,000  1,071 
    ConAgra Foods, Inc. 6.750% 9/15/11  387  404 
    Coors Brewing Co. 6.375% 5/15/12  82  86 
    Diageo Capital PLC 4.375% 5/3/10  500  491 
    Diageo Finance BV 3.875% 4/1/11  3,500  3,320 
    Eli Lilly&Co. 6.000% 3/15/12  1,000  1,040 
    Fortune Brands Inc. 5.125% 1/15/11  1,650  1,630 
    Genentech Inc. 4.400% 7/15/10  850  841 
    General Mills, Inc. 6.000% 2/15/12  3,700  3,781 
    General Mills, Inc. 5.650% 9/10/12  325  328 
    Gillette Co. 3.800% 9/15/09  2,000  1,962 
    H.J. Heinz Co. 6.625% 7/15/11  2,500  2,604 
    H.J. Heinz Co. 6.000% 3/15/12  1,500  1,529 
    Hershey Foods Corp. 5.300% 9/1/11  550  550 
    Hospira, Inc. 4.950% 6/15/09  575  572 
    Imperial Tobacco 7.125% 4/1/09  1,775  1,831 
    Johnson&Johnson 5.150% 8/15/12  2,075  2,113 
    Kellogg Co. 6.600% 4/1/11  5,700  5,919 
    Kimberly-Clark Corp. 5.625% 2/15/12  2,075  2,117 
    Kraft Foods, Inc. 4.000% 10/1/08  1,000  988 
    Kraft Foods, Inc. 4.125% 11/12/09  3,200  3,144 
    Kraft Foods, Inc. 5.625% 11/1/11  4,750  4,787 
    Kraft Foods, Inc. 6.250% 6/1/12  2,625  2,714 
    Kroger Co. 7.250% 6/1/09  1,500  1,549 
    Kroger Co. 8.050% 2/1/10  1,700  1,800 
    Kroger Co. 6.800% 4/1/11  1,000  1,046 
    Kroger Co. 6.750% 4/15/12  2,000  2,105 
    McKesson Corp. 7.750% 2/1/12  1,475  1,594 
    Medtronic Inc. 4.375% 9/15/10  1,625  1,593 
    Molson Coors Capital Finance 4.850% 9/22/10  300  298 
    Newell Rubbermaid, Inc. 4.000% 5/1/10  1,000  963 
    PepsiAmericas Inc. 5.750% 7/31/12  800  816 
    Pepsico, Inc. 5.150% 5/15/12  3,250  3,293 
    Procter&Gamble Co. 6.875% 9/15/09  4,825  5,025 
    Quest Diagnostic, Inc. 5.125% 11/1/10  2,000  1,996 
    Reynolds American Inc. 6.500% 7/15/10  1,350  1,394 
    Reynolds American Inc. 7.250% 6/1/12  1,350  1,431 
    Safeway, Inc. 6.500% 11/15/08  3,800  3,848 
    Safeway, Inc. 4.950% 8/16/10  875  872 
    Safeway, Inc. 5.800% 8/15/12  1,200  1,217 
    Unilever Capital Corp. 7.125% 11/1/10  4,000  4,244 
    UST, Inc. 6.625% 7/15/12  1,000  1,055 
    Wm. Wrigley Jr. Co. 4.300% 7/15/10  2,425  2,378 
    Wyeth 6.950% 3/15/11  5,000  5,275 
    Energy (0.9%)
    Amerada Hess Corp. 6.650% 8/15/11  1,500  1,566 
    Anadarko Finance Co. 6.750% 5/1/11  2,000  2,078 
    Apache Corp. 6.250% 4/15/12  1,000  1,036 
    BP Capital Markets PLC 4.875% 3/15/10  2,000  2,013 
    Burlington Resources, Inc. 6.680% 2/15/11  2,000  2,103 
    Burlington Resources, Inc. 6.500% 12/1/11  500  522 
    Canadian Natural Resources 6.700% 7/15/11  2,500  2,623 
    Conoco Funding Co. 6.350% 10/15/11  7,275  7,595 
    Devon Financing Corp. 6.875% 9/30/11  3,500  3,692 
    Encana Corp. 4.600% 8/15/09  1,250  1,244 
    Halliburton Co. 5.500% 10/15/10  1,500  1,518 
    Husky Energy Inc. 6.250% 6/15/12  1,000  1,025 
    Kerr McGee Corp. 6.875% 9/15/11  3,475  3,637 
    Marathon Oil Corp. 6.125% 3/15/12  2,000  2,060 
    Marathon Oil Corp. 6.000% 7/1/12  1,600  1,606 
    Norsk Hydro 6.360% 1/15/09  1,500  1,529 
    Occidental Petroleum 4.250% 3/15/10  2,560  2,543 
    Phillips Petroleum Co. 8.750% 5/25/10  3,800  4,158 
    Shell International Finance 5.625% 6/27/11  1,950  2,008 
    Shell International Finance 4.950% 3/22/12  700  700 
    Valero Energy Corp. 6.875% 4/15/12  3,000  3,175 
  2 Weatherford International Inc. 5.950% 6/15/12  2,250  2,298 
    XTO Energy, Inc. 5.900% 8/1/12  2,125  2,166 
    Technology (0.5%)
    Cisco Systems Inc. 5.250% 2/22/11  9,250  9,333 
    Electronic Data Systems 7.125% 10/15/09  825  841 
    Hewlett-Packard Co. 5.250% 3/1/12  1,750  1,761 
    Hewlett-Packard Co. 6.500% 7/1/12  1,025  1,084 
    International Business Machines Corp. 5.375% 2/1/09  2,000  2,013 
    International Business Machines Corp. 4.375% 6/1/09  300  298 
    International Business Machines Corp. 4.950% 3/22/11  700  701 
    Intuit Inc. 5.400% 3/15/12  950  942 
    Motorola, Inc. 7.625% 11/15/10  390  414 
    Motorola, Inc. 8.000% 11/1/11  925  1,007 
    National Semiconductor 6.150% 6/15/12  1,250  1,264 
    Oracle Corp. 5.000% 1/15/11  4,650  4,649 
    Pitney Bowes, Inc. 4.625% 10/1/12  2,000  1,962 
    Xerox Corp. 9.750% 1/15/09  1,125  1,182 
    Xerox Corp. 7.125% 6/15/10  1,825  1,902 
    Xerox Corp. 6.875% 8/15/11  1,025  1,063 
    Xerox Corp. 5.500% 5/15/12  1,800  1,787 
    Transportation (0.5%)
    American Airlines, Inc. 7.024% 10/15/09  3,775  3,827 
    Burlington Northern Santa Fe Corp. 6.750% 7/15/11  2,500  2,615 
    Burlington Northern Santa Fe Corp. 5.900% 7/1/12  1,050  1,071 
    Canadian National Railway Co. 4.250% 8/1/09  2,700  2,670 
    Canadian Pacific Rail 6.250% 10/15/11  1,550  1,596 
    CSX Corp. 6.250% 10/15/08  650  656 
    CSX Corp. 6.300% 3/15/12  2,000  2,044 
    FedEx Corp. 3.500% 4/1/09  2,075  2,028 
    Norfolk Southern Corp. 6.200% 4/15/09  2,250  2,285 
    Norfolk Southern Corp. 6.750% 2/15/11  1,425  1,494 
    Ryder System Inc. 5.950% 5/2/11  850  861 
    Southwest Airlines Co. 6.500% 3/1/12  2,000  2,063 
    Union Pacific Corp. 7.250% 11/1/08  1,000  1,026 
    Union Pacific Corp. 3.875% 2/15/09  1,000  982 
    Union Pacific Corp. 6.500% 4/15/12  3,250  3,363 
    Other (0.0%)
    Black&Decker Corp. 7.125% 6/1/11  1,000  1,055 
       
        659,056
       
    Utilities (1.8%)
    Electric (1.4%)
    American Electric Power Co., Inc. 5.375% 3/15/10  2,700  2,711 
    Carolina Power&Light Co. 6.500% 7/15/12  1,000  1,049 
    Commonwealth Edison Co. 6.150% 3/15/12  3,275  3,332 
    Constellation Energy Group, Inc. 6.125% 9/1/09  875  889 
    Constellation Energy Group, Inc. 7.000% 4/1/12  2,300  2,429 
    Consumers Energy Co. 4.800% 2/17/09  1,000  999 
    Consumers Energy Co. 5.000% 2/15/12  1,250  1,233 
    Detroit Edison Co. 6.125% 10/1/10  1,000  1,035 
    Dominion Resources, Inc. 4.750% 12/15/10  2,125  2,088 
  3 Dominion Resources, Inc. 6.300% 9/30/66  3,400  3,379 
    Duke Energy Corp. 6.250% 1/15/12  2,000  2,070 
    Energy East Corp. 6.750% 6/15/12  1,750  1,837 
    Exelon Generation Co. LLC 6.950% 6/15/11  1,500  1,572 
    FirstEnergy Corp. 6.450% 11/15/11  6,250  6,483 
    Florida Power Corp. 4.500% 6/1/10  1,150  1,140 
    FPL Group Capital, Inc. 7.375% 6/1/09  2,075  2,150 
    FPL Group Capital, Inc. 5.625% 9/1/11  3,350  3,386 
    Illinois Power 7.500% 6/15/09  1,000  1,027 
    MidAmerican Energy Co. 5.650% 7/15/12  1,150  1,174 
    National Rural Utilities Cooperative Finance Corp. 4.375% 10/1/10  3,350  3,290 
    National Rural Utilities Cooperative Finance Corp. 7.250% 3/1/12  3,500  3,724 
    Niagara Mohawk Power Corp. 7.750% 10/1/08  1,000  1,023 
    NiSource Finance Corp. 7.875% 11/15/10  2,800  3,005 
    Oncor Electric Delivery Co. 6.375% 5/1/12  1,950  1,980 
    Pacific Gas&Electric Co. 3.600% 3/1/09  2,450  2,398 
    Pacific Gas&Electric Co. 4.200% 3/1/11  1,100  1,065 
    PacifiCorp 6.900% 11/15/11  3,650  3,853 
    PPL Electric Utilities Corp. 6.250% 8/15/09  2,000  2,051 
    PPL Energy Supply LLC 6.400% 11/1/11  1,000  1,033 
    Progress Energy, Inc. 7.100% 3/1/11  3,418  3,588 
    Progress Energy, Inc. 6.850% 4/15/12  775  812 
    PSE&G Power LLC 7.750% 4/15/11  1,950  2,095 
    PSE&G Power LLC 6.950% 6/1/12  2,075  2,182 
    Public Service Co. of Colorado 4.375% 10/1/08  1,600  1,584 
    Public Service Electric&Gas 4.000% 11/1/08  1,000  990 
    SCANA Corp. 6.875% 5/15/11  1,500  1,571 
    Southern Co. 5.300% 1/15/12  2,550  2,557 
    Southern Power Co. 6.250% 7/15/12  1,000  1,030 
    Tampa Electric Co. 6.875% 6/15/12  1,000  1,056 
    Wisconsin Energy Corp. 6.500% 4/1/11  4,595  4,760 
    Natural Gas (0.4%)
    AGL Capital Corp. 7.125% 1/14/11  500  532 
    Atmos Energy Corp. 4.000% 10/15/09  1,300  1,273 
    Consolidated Natural Gas 6.250% 11/1/11  1,000  1,026 
    Duke Energy Field Services 7.875% 8/16/10  1,750  1,865 
    Energy Transfer Partners LP 5.650% 8/1/12  1,250  1,236 
  * Enron Corp. 9.125% 4/1/03  2,000  490 
  * Enron Corp. 7.625% 9/10/04  1,000  245 
    Enterprise Products Operating LP 4.625% 10/15/09  400  395 
    Enterprise Products Operating LP 4.950% 6/1/10  2,450  2,441 
  * HNG Internorth 9.625% 3/15/06  1,500  368 
    KeySpan Corp. 7.625% 11/15/10  1,500  1,590 
    Kinder Morgan Energy Partners LP 6.750% 3/15/11  1,900  1,975 
    Kinder Morgan Energy Partners LP 5.850% 9/15/12  1,350  1,363 
    ONEOK Partners, LP 5.900% 4/1/12  3,400  3,443 
    Reliant Energy Resources 7.750% 2/15/11  2,500  2,660 
    Sempra Energy 7.950% 3/1/10  1,500  1,590 
       
        108,122
       
    Total Corporate Bonds
    (Cost $1,551,972)       1,544,658
    Sovereign Bonds (U.S. Dollar-Denominated) (4.5%)
    Bayerische Landesbank 2.875% 10/15/08  1,800  1,771 
    Canadian Government 5.250% 11/5/08  4,200  4,247 
    Canadian Mortgage&Housing 4.800% 10/1/10  1,500  1,508 
    Corp. Andina de Fomento 6.875% 3/15/12  2,300  2,447 
    Eksportfinans 4.750% 12/15/08  6,025  6,002 
    Eksportfinans 5.125% 10/26/11  2,000  2,033 
    European Investment Bank 4.500% 2/17/09  3,825  3,825 
    European Investment Bank 5.000% 2/8/10  3,350  3,370 
    European Investment Bank 4.000% 3/3/10  2,925  2,877 
    European Investment Bank 4.125% 9/15/10  9,750  9,603 
    European Investment Bank 4.625% 9/15/10  4,000  4,010 
    European Investment Bank 5.250% 6/15/11  18,900  19,263 
    European Investment Bank 4.625% 3/21/12  2,450  2,440 
    Export-Import Bank of Korea 4.500% 8/12/09  3,500  3,480 
    Export-Import Bank of Korea 4.625% 3/16/10  500  495 
    Federation of Malaysia 8.750% 6/1/09  4,350  4,611 
    Federation of Malaysia 7.500% 7/15/11  2,875  3,052 
    Inter-American Development Bank 5.375% 11/18/08  1,250  1,267 
    Inter-American Development Bank 5.625% 4/16/09  4,275  4,358 
    Inter-American Development Bank 7.375% 1/15/10  2,800  2,957 
    Inter-American Development Bank 5.000% 4/5/11  5,000  5,031 
    International Bank for Reconstruction&Development 4.125% 6/24/09  1,000  993 
    International Bank for Reconstruction&Development 4.125% 8/12/09  975  968 
    International Finance Corp. 4.000% 6/15/10  1,250  1,222 
    International Finance Corp. 5.125% 5/2/11  7,100  7,220 
    Japan Bank International 4.750% 5/25/11  2,150  2,168 
    Japan Finance Corp. 5.875% 3/14/11  2,000  2,072 
    KFW International Finance Inc. 4.500% 9/21/09  3,325  3,323 
    KFW International Finance Inc. 4.875% 10/19/09  3,650  3,679 
    Korea Development Bank 3.875% 3/2/09  2,375  2,347 
    Korea Development Bank 4.750% 7/20/09  4,575  4,571 
    Kreditanstalt fur Wiederaufbau 4.625% 11/17/08  2,475  2,479 
    Kreditanstalt fur Wiederaufbau 5.250% 5/19/09  15,475  15,662 
    Kreditanstalt fur Wiederaufbau 4.250% 6/15/10  14,875  14,711 
    Kreditanstalt fur Wiederaufbau 4.750% 5/15/12  12,000  12,030 
  ^ Landeskreditbank Baden-Wuerttemberg - Foerderbank 4.250% 9/15/10  3,500  3,472 
    Landwirtschaftliche Rentenbank 3.625% 10/20/09  7,225  7,103 
    Landwirtschaftliche Rentenbank 3.875% 3/15/10  3,500  3,454 
    Mass Transit Railway Corp. 7.500% 2/4/09  1,500  1,547 
    Mass Transit Railway Corp. 7.500% 11/8/10  1,500  1,605 
    Nordic Investment Bank 3.875% 6/15/10  3,750  3,686 
    Oesterreichische Kontrollbank 4.250% 10/6/10  3,375  3,354 
    Oesterreichische Kontrollbank 4.750% 11/8/11  250  252 
    Pemex Project Funding Master Trust 7.875% 2/1/09  4,725  4,862 
    Pemex Project Funding Master Trust 8.000% 11/15/11  3,400  3,723 
    People's Republic of China 7.300% 12/15/08  2,000  2,057 
    Province of British Columbia 5.375% 10/29/08  2,375  2,392 
    Province of Ontario 5.500% 10/1/08  6,500  6,567 
    Province of Ontario 3.625% 10/21/09  2,025  1,983 
    Province of Ontario 5.000% 10/18/11  3,450  3,484 
    Province of Quebec 5.750% 2/15/09  6,200  6,282 
    Province of Quebec 5.000% 7/17/09  1,500  1,506 
    Quebec Hydro Electric 6.300% 5/11/11  2,500  2,621 
    Republic of Chile 7.125% 1/11/12  3,000  3,234 
    Republic of Italy 6.000% 2/22/11  5,775  5,993 
    Republic of Italy 5.625% 6/15/12  10,725  11,089 
    Republic of Poland 6.250% 7/3/12  2,600  2,745 
    Republic of South Africa 7.375% 4/25/12  2,500  2,692 
    Swedish Export Credit Corp. 4.125% 10/15/08  4,925  4,899 
    Swedish Export Credit Corp. 4.875% 1/19/10  2,500  2,522 
    Swedish Export Credit Corp. 4.000% 6/15/10  2,175  2,143 
    Swedish Export Credit Corp. 4.500% 9/27/10  4,350  4,345 
    United Mexican States 9.875% 2/1/10  475  529 
    United Mexican States 8.375% 1/14/11  11,600  12,795 
    United Mexican States 7.500% 1/14/12  2,100  2,293 
    Total Sovereign Bonds
    (Cost $276,450)       277,321
          Shares    
  Temporary Cash Investments (1.9%)
4 Vanguard Market Liquidity Fund
  (Cost $118,764) 5.153%    118,763,660  118,764 
  Total Investments (100.2%)
  (Cost $6,118,879)       6,154,121 
  Other Assets and Liabilities—Net (-0.2%)       (12,153)
  Net Assets (100%)       6,141,968 

* Non-income-producing security--security in default.
^ Part of security position is on loan to broker-dealers.
1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2007, the aggregate value of these securities was $16,928,000, representing 0.3% of net assets.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

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

At September 30, 2007, the cost of investment securities for tax purposes was $6,118,879,000. Net unrealized appreciation of investment securities for tax purposes was $35,242,000, consisting of unrealized gains of $56,066,000 on securities that had risen in value since their purchase and $20,824,000 in unrealized losses on securities that had fallen in value since their purchase.

Vanguard Intermediate-Term Bond Index Fund
Schedule of Investments
September 30, 2007

Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  U.S. Government and Agency Obligations (52.3%)        
  U.S. Government Securities (37.0%)
  U.S. Treasury Bond 10.375% 11/15/2012  12,075  12,160 
  U.S. Treasury Bond 3.625% 5/15/2013  49,240  47,693 
  U.S. Treasury Bond 4.000% 2/15/2015  31,900  31,038 
  U.S. Treasury Bond 11.250% 2/15/2015  111,740  159,124 
  U.S. Treasury Bond 10.625% 8/15/2015  150,910  211,958 
  U.S. Treasury Bond 9.875% 11/15/2015  121,645  165,836 
  U.S. Treasury Bond 9.250% 2/15/2016  146,650  194,770 
  U.S. Treasury Bond 7.250% 5/15/2016  171,680  204,486 
  U.S. Treasury Bond 7.500% 11/15/2016  178,425  216,786 
  U.S. Treasury Bond 8.750% 5/15/2017  152,330  200,766 
  U.S. Treasury Bond 8.875% 8/15/2017  139,535  185,996 
  U.S. Treasury Bond 8.875% 2/15/2019  50,875  69,190 
  U.S. Treasury Note 4.250% 10/31/2007  1,625  1,626 
  U.S. Treasury Note 4.375% 12/31/2007  35,500  35,533 
  U.S. Treasury Note 4.375% 1/31/2008  8,525  8,534 
  U.S. Treasury Note 5.125% 6/30/2008  32,425  32,648 
  U.S. Treasury Note 4.625% 9/30/2008  22,425  22,541 
  U.S. Treasury Note 4.875% 10/31/2008  25,250  25,463 
  U.S. Treasury Note 4.750% 11/15/2008  9,525  9,602 
  U.S. Treasury Note 3.875% 5/15/2009  5,000  4,992 
  U.S. Treasury Note 4.500% 3/31/2012  7,625  7,716 
  U.S. Treasury Note 4.750% 5/31/2012  3,275  3,348 
  U.S. Treasury Note 4.875% 6/30/2012  4,740  4,870 
  U.S. Treasury Note 3.875% 2/15/2013  97,615  95,968 
  U.S. Treasury Note 4.250% 8/15/2013  11,070  11,054 
  U.S. Treasury Note 4.250% 11/15/2013  63,275  63,097 
  U.S. Treasury Note 4.000% 2/15/2014  46,685  45,817 
  U.S. Treasury Note 4.750% 5/15/2014  110,625  113,132 
  U.S. Treasury Note 4.250% 8/15/2014  53,220  52,821 
  U.S. Treasury Note 4.250% 11/15/2014  110,995  109,937 
  U.S. Treasury Note 4.125% 5/15/2015  28,750  28,144 
  U.S. Treasury Note 4.250% 8/15/2015  31,065  30,614 
  U.S. Treasury Note 4.500% 11/15/2015  22,200  22,228 
  U.S. Treasury Note 5.125% 5/15/2016  62,050  64,639 
  U.S. Treasury Note 4.875% 8/15/2016  180  184 
  U.S. Treasury Note 4.625% 11/15/2016  550  553 
  U.S. Treasury Note 4.500% 5/15/2017  100  99 
  U.S. Treasury Note 4.750% 8/15/2017  100  101 
        2,495,064
  Agency Bonds and Notes (15.3%)
  Agency for International Development - Egypt (U.S. Government Guaranteed) 4.450% 9/15/2015  6,825  6,634 
  1 Federal Farm Credit Bank 4.500% 10/17/2012  3,000  2,984 
  1 Federal Farm Credit Bank 4.875% 12/16/2015  2,450  2,435 
  1 Federal Farm Credit Bank 5.125% 8/25/2016  11,300  11,345 
  1 Federal Farm Credit Bank 4.875% 1/17/2017  5,750  5,672 
  1 Federal Home Loan Bank 3.875% 6/14/2013  31,075  29,866 
  1 Federal Home Loan Bank 5.375% 6/14/2013  5,000  5,152 
  1 Federal Home Loan Bank 5.125% 8/14/2013  44,900  45,731 
  1 Federal Home Loan Bank 4.500% 9/16/2013  45,900  45,453 
  1 Federal Home Loan Bank 5.250% 6/18/2014  150  154 
  1 Federal Home Loan Bank 5.500% 8/13/2014  44,375  46,147 
  1 Federal Home Loan Bank 5.375% 5/18/2016  23,950  24,676 
  1 Federal Home Loan Bank 5.625% 6/13/2016  4,325  4,489 
  1 Federal Home Loan Bank 4.750% 12/16/2016  19,650  19,348 
  1 Federal Home Loan Bank 4.875% 5/17/2017  4,225  4,192 
  1 Federal Home Loan Mortgage Corp. 4.500% 1/15/2013  50,850  50,448 
  1 Federal Home Loan Mortgage Corp. 4.500% 7/15/2013  45,675  45,171 
  1 Federal Home Loan Mortgage Corp. 4.875% 11/15/2013  80,250  80,947 
  1 Federal Home Loan Mortgage Corp. 4.500% 1/15/2014  35,000  34,491 
  1 Federal Home Loan Mortgage Corp. 5.000% 7/15/2014  51,700  52,442 
  1 Federal Home Loan Mortgage Corp. 4.500% 1/15/2015  21,350  20,921 
  1 Federal Home Loan Mortgage Corp. 4.750% 1/19/2016  25,000  24,731 
  1 Federal Home Loan Mortgage Corp. 5.250% 4/18/2016  31,500  32,198 
  1 Federal Home Loan Mortgage Corp. 5.500% 7/18/2016  40,000  41,554 
  1 Federal Home Loan Mortgage Corp. 5.125% 10/18/2016  7,700  7,787 
  1 Federal National Mortgage Assn. 4.375% 3/15/2013  54,625  53,936 
  1 Federal National Mortgage Assn. 4.625% 5/1/2013  6,600  6,541 
  1 Federal National Mortgage Assn. 4.625% 10/15/2013  56,800  56,404 
  1 Federal National Mortgage Assn. 5.125% 1/2/2014  9,550  9,685 
  1 Federal National Mortgage Assn. 4.125% 4/15/2014  50,000  48,209 
  1 Federal National Mortgage Assn. 4.625% 10/15/2014  32,225  31,855 
  1 Federal National Mortgage Assn. 4.375% 10/15/2015  20,000  19,323 
  1 Federal National Mortgage Assn. 5.250% 9/15/2016  32,925  33,659 
  1 Federal National Mortgage Assn. 4.875% 12/15/2016  29,900  29,715 
  1 Federal National Mortgage Assn. 5.000% 2/13/2017  22,375  22,459 
  1 Federal National Mortgage Assn. 5.000% 5/11/2017  25,000  25,058 
  1 Federal National Mortgage Assn. 5.375% 6/12/2017  15,000  15,428 
  Private Export Funding Corp. 7.200% 1/15/2010  6,500  6,881 
  1 Tennessee Valley Auth. 6.000% 3/15/2013  6,000  6,404 
  1 Tennessee Valley Auth. 4.750% 8/1/2013  4,000  4,030 
  1 Tennessee Valley Auth. 4.375% 6/15/2015  7,000  6,745 
  1 Tennessee Valley Auth. 5.500% 7/18/2017  6,200  6,414 
        1,027,714
  Total U.S. Government and Agency Obligations
  (Cost $3,464,966)       3,522,778
  Corporate Bonds (39.7%)
  Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)
  2 Bear Stearns Commercial Mortgage Securities, Inc. 5.610% 11/15/2033  2,500  2,540 
2,3 Citicorp Lease Pass-Through Trust 8.040% 12/15/2019  2,100  2,439 
2,3 Commercial Mortgage Lease-Backed Certificate 6.746% 6/20/2031  362  384 
        5,363
  Finance (18.8%)
  Banking (7.1%)
  AmSouth Bank NA 4.850% 4/1/2013  1,500  1,426 
  AmSouth Bank NA 5.200% 4/1/2015  2,000  1,904 
  3 Banco Bilbao Vizcaya ARG 5.750% 7/20/2017  3,125  3,242 
  Banco Bradesco SA 8.750% 10/24/2013  1,500  1,691 
  Bank of America Corp. 4.875% 9/15/2012  3,000  2,965 
  Bank of America Corp. 4.875% 1/15/2013  2,600  2,550 
  Bank of America Corp. 5.375% 6/15/2014  2,725  2,706 
  Bank of America Corp. 5.125% 11/15/2014  3,650  3,577 
  Bank of America Corp. 5.250% 12/1/2015  5,000  4,877 
  Bank of America Corp. 5.750% 8/15/2016  3,900  3,900 
  Bank of America Corp. 5.625% 10/14/2016  12,875  12,899 
  Bank of America Corp. 5.300% 3/15/2017  7,100  6,885 
  Bank of America Corp. 5.420% 3/15/2017  16,000  15,480 
  Bank of America Corp. 6.100% 6/15/2017  2,100  2,162 
  Bank of America Corp. 6.000% 9/1/2017  3,925  4,004 
  Bank of New York Co., Inc. 4.950% 3/15/2015  2,300  2,155 
  Bank One Corp. 5.250% 1/30/2013  925  912 
  Bank One Corp. 4.900% 4/30/2015  6,150  5,757 
  BB&T Corp. 4.750% 10/1/2012  5,500  5,381 
  BB&T Corp. 5.200% 12/23/2015  5,625  5,417 
  BB&T Corp. 5.625% 9/15/2016  50  49 
  Citigroup, Inc. 5.125% 5/5/2014  3,125  3,049 
  Citigroup, Inc. 5.000% 9/15/2014  25,794  24,958 
  Citigroup, Inc. 4.875% 5/7/2015  3,600  3,436 
  Citigroup, Inc. 4.700% 5/29/2015  2,600  2,428 
  Citigroup, Inc. 5.300% 1/7/2016  4,425  4,347 
  Citigroup, Inc. 5.850% 8/2/2016  6,400  6,497 
  Citigroup, Inc. 5.500% 2/15/2017  4,400  4,334 
  Citigroup, Inc. 6.000% 8/15/2017  6,500  6,646 
  Colonial Bank NA 6.375% 12/1/2015  1,250  1,271 
  Comerica Bank 5.750% 11/21/2016  4,275  4,239 
  Comerica Inc. 4.800% 5/1/2015  1,500  1,379 
  Compass Bank 6.400% 10/1/2017  1,600  1,614 
  Credit Suisse First Boston USA, Inc. 5.500% 8/15/2013  14,975  15,012 
  Credit Suisse First Boston USA, Inc. 4.875% 1/15/2015  5,550  5,302 
  Credit Suisse First Boston USA, Inc. 5.125% 8/15/2015  8,425  8,132 
  Credit Suisse First Boston USA, Inc. 5.375% 3/2/2016  1,750  1,712 
  ^ Credit Suisse First Boston USA, Inc. 5.850% 8/16/2016  3,250  3,277 
  2 Credit Suisse First Boston USA, Inc. 5.860% 5/15/2049  2,900  2,743 
  Deutsche Bank Financial LLC 5.375% 3/2/2015  4,050  3,957 
  Deutsche Bank Financial, Inc. 6.000% 9/1/2017  3,175  3,218 
  Fifth Third Bank 4.750% 2/1/2015  2,800  2,636 
  Fifth Third Bank 5.450% 1/15/2017  3,000  2,910 
  2 Fifth Third Cap Trust IV 6.500% 4/15/2067  1,250  1,200 
  First Tennessee Bank 5.050% 1/15/2015  2,800  2,621 
  Golden West Financial Corp. 4.750% 10/1/2012  2,500  2,429 
  3 HBOS Treasury Services PLC 5.250% 2/21/2017  3,225  3,263 
  HSBC Bank USA 4.625% 4/1/2014  13,500  12,597 
  JPMorgan Chase&Co. 5.375% 10/1/2012  2,325  2,328 
  JPMorgan Chase&Co. 5.750% 1/2/2013  8,375  8,427 
  JPMorgan Chase&Co. 5.375% 1/15/2014  3,050  3,032 
  JPMorgan Chase & Co. 4.875% 3/15/2014  7,100  6,810 
  JPMorgan Chase&Co. 5.125% 9/15/2014  7,790  7,558 
  JPMorgan Chase&Co. 4.750% 3/1/2015  2,500  2,342 
  JPMorgan Chase&Co. 5.250% 5/1/2015  150  145 
  JPMorgan Chase&Co. 5.150% 10/1/2015  9,100  8,760 
  JPMorgan Chase&Co. 5.875% 6/13/2016  1,475  1,489 
  JPMorgan Chase&Co. 6.125% 6/27/2017  4,325  4,416 
  Key Bank NA 5.800% 7/1/2014  3,800  3,794 
  Key Bank NA 4.950% 9/15/2015  1,000  943 
  Key Bank NA 5.450% 3/3/2016  3,025  2,932 
  Marshall&Ilsley Bank 5.250% 9/4/2012  3,000  2,985 
  Marshall&Ilsley Bank 4.850% 6/16/2015  700  658 
  MBNA Corp. 6.125% 3/1/2013  3,375  3,501 
  Mellon Bank NA 4.750% 12/15/2014  3,800  3,576 
  National City Bank 4.625% 5/1/2013  4,500  4,233 
  NationsBank Corp. 7.750% 8/15/2015  1,000  1,100 
  3 Northern Rock PLC 5.625% 6/22/2017  6,325  6,299 
  PaineWebber 7.625% 12/1/2009  3,000  3,176 
  Paribas NY 6.950% 7/22/2013  2,000  2,209 
  PNC Funding Corp. 5.250% 11/15/2015  3,575  3,436 
  PNC Funding Corp. 5.625% 2/1/2017  6,325  6,255 
  Royal Bank of Scotland Group PLC 5.000% 11/12/2013  7,625  7,419 
  Royal Bank of Scotland Group PLC 5.000% 10/1/2014  3,500  3,357 
  Royal Bank of Scotland Group PLC 5.050% 1/8/2015  8,050  7,637 
  2 Royal Bank of Scotland Group PLC 5.512% 9/29/2049  50  47 
  Southtrust Corp. 5.800% 6/15/2014  1,350  1,357 
  Sovereign Bank 5.125% 3/15/2013  3,600  3,508 
  State Street Capital Trust 5.300% 1/15/2016  1,000  967 
  State Street Corp. 5.375% 4/30/2017  825  805 
  SunTrust Banks, Inc. 5.000% 9/1/2015  3,550  3,391 
  SunTrust Banks, Inc. 5.200% 1/17/2017  150  140 
  SunTrust Banks, Inc. 6.000% 9/11/2017  1,700  1,722 
  Synovus Financial Corp. 4.875% 2/15/2013  2,000  1,909 
  Synovus Financial Corp. 5.125% 6/15/2017  750  716 
  UBS AG 5.875% 7/15/2016  4,800  5,016 
  UFJ Finance Aruba AEC 6.750% 7/15/2013  15,350  15,808 
  Union Bank of California NA 5.950% 5/11/2016  4,100  4,065 
  UnionBanCal Corp. 5.250% 12/16/2013  1,200  1,183 
  US Bank NA 6.300% 2/4/2014  2,600  2,699 
  US Bank NA 4.950% 10/30/2014  8,625  8,253 
  US Bank NA 4.800% 4/15/2015  1,000  954 
  Wachovia Bank NA 4.800% 11/1/2014  2,750  2,592 
  Wachovia Bank NA 4.875% 2/1/2015  4,475  4,231 
  Wachovia Corp. 4.875% 2/15/2014  18,800  18,049 
  Wachovia Corp. 5.625% 10/15/2016  10,525  10,434 
  Wachovia Corp. 5.750% 6/15/2017  2,700  2,716 
  Washington Mutual Bank 5.500% 1/15/2013  4,200  4,031 
  Washington Mutual Bank 5.650% 8/15/2014  3,375  3,254 
  Washington Mutual Bank 5.125% 1/15/2015  7,350  6,847 
  Washington Mutual, Inc. 4.625% 4/1/2014  2,000  1,827 
  Wells Fargo&Co. 4.950% 10/16/2013  3,975  3,888 
  Wells Fargo&Co. 4.625% 4/15/2014  6,650  6,349 
  Wells Fargo&Co. 5.000% 11/15/2014  8,475  8,199 
  Wells Fargo Bank NA 4.750% 2/9/2015  4,975  4,663 
  Wells Fargo Bank NA 5.750% 5/16/2016  4,600  4,616 
  Zions Bancorp. 5.650% 5/15/2014  1,200  1,182 
  Zions Bancorp. 5.500% 11/16/2015  6,850  6,650 
  Brokerage (4.1%)
  Ameriprise Financial Inc. 5.650% 11/15/2015  3,450  3,378 
  Amvescap PLC 5.375% 2/27/2013  975  945 
  Bear Stearns Co., Inc. 5.700% 11/15/2014  11,150  10,783 
  Bear Stearns Co., Inc. 5.300% 10/30/2015  1,100  1,027 
  Bear Stearns Co., Inc. 5.550% 1/22/2017  2,525  2,390 
  Bear Stearns Co., Inc. 6.400% 10/2/2017  3,100  3,071 
  Goldman Sachs Group, Inc. 5.250% 4/1/2013  14,875  14,421 
  Goldman Sachs Group, Inc. 4.750% 7/15/2013  13,975  13,315 
  Goldman Sachs Group, Inc. 5.150% 1/15/2014  10,725  10,433 
  Goldman Sachs Group, Inc. 5.000% 10/1/2014  14,075  13,351 
  Goldman Sachs Group, Inc. 5.125% 1/15/2015  9,650  9,340 
  Goldman Sachs Group, Inc. 5.350% 1/15/2016  10,600  10,310 
  Goldman Sachs Group, Inc. 5.625% 1/15/2017  7,225  7,029 
  Goldman Sachs Group, Inc. 6.250% 9/1/2017  10,650  10,879 
  Janus Capital Group 6.700% 6/15/2017  1,700  1,708 
  Jefferies Group Inc. 5.500% 3/15/2016  2,000  1,877 
  Lazard Group 6.850% 6/15/2017  4,525  4,437 
  Lehman Brothers Holdings, Inc. 5.750% 5/17/2013  4,350  4,321 
  Lehman Brothers Holdings, Inc. 6.200% 9/26/2014  9,225  9,304 
  Lehman Brothers Holdings, Inc. 8.800% 3/1/2015  1,000  1,139 
  Lehman Brothers Holdings, Inc. 5.500% 4/4/2016  3,425  3,313 
  Lehman Brothers Holdings, Inc. 5.750% 1/3/2017  11,375  10,934 
  Lehman Brothers Holdings, Inc. 6.500% 7/19/2017  7,625  7,691 
  Merrill Lynch&Co., Inc. 5.000% 2/3/2014  8,650  8,408 
  Merrill Lynch&Co., Inc. 5.450% 7/15/2014  1,950  1,933 
  Merrill Lynch&Co., Inc. 5.000% 1/15/2015  14,325  13,808 
  Merrill Lynch&Co., Inc. 5.300% 9/30/2015  2,775  2,691 
  Merrill Lynch&Co., Inc. 6.050% 5/16/2016  6,450  6,459 
  Merrill Lynch&Co., Inc. 5.700% 5/2/2017  4,650  4,573 
  Merrill Lynch&Co., Inc. 6.400% 8/28/2017  10,250  10,569 
  Morgan Stanley Dean Witter 5.300% 3/1/2013  25,500  25,217 
  Morgan Stanley Dean Witter 4.750% 4/1/2014  13,700  12,932 
  Morgan Stanley Dean Witter 5.375% 10/15/2015  7,050  6,913 
  Morgan Stanley Dean Witter 5.750% 10/18/2016  6,400  6,334 
  Morgan Stanley Dean Witter 5.450% 1/9/2017  9,500  9,185 
  Morgan Stanley Dean Witter 5.550% 4/27/2017  7,550  7,338 
  Morgan Stanley Dean Witter 6.250% 8/28/2017  3,300  3,322 
  Finance Companies (3.4%)
  American Express Bank, FSB 6.000% 9/13/2017  3,325  3,257 
  American Express Centurion Bank 6.000% 9/13/2017  4,125  4,116 
  American Express Co. 4.875% 7/15/2013  5,800  5,628 
  American Express Co. 5.500% 9/12/2016  1,400  1,352 
  American Express Co. 6.150% 8/28/2017  9,325  9,429 
  2 American Express Co. 6.800% 9/1/2066  2,025  2,082 
  American Express Credit Corp. 5.300% 12/2/2015  2,000  1,943 
  American General Finance Corp. 5.850% 6/1/2013  7,450  7,404 
  American General Finance Corp. 5.750% 9/15/2016  5,725  5,482 
  BlackRock, Inc. 6.250% 9/15/2017  2,950  2,952 
  Capital One Bank 6.500% 6/13/2013  3,775  3,850 
  Capital One Bank 5.125% 2/15/2014  1,375  1,305 
  Capital One Financial 5.500% 6/1/2015  3,750  3,596 
  Capital One Financial 6.150% 9/1/2016  4,325  4,151 
  Capital One Financial 6.750% 9/15/2017  900  921 
  3 Capmark Financial Group 6.300% 5/10/2017  1,625  1,420 
  CIT Group Co. of Canada 5.200% 6/1/2015  5,775  5,266 
  CIT Group, Inc. 5.400% 3/7/2013  2,150  2,022 
  CIT Group, Inc. 5.000% 2/13/2014  875  796 
  CIT Group, Inc. 5.125% 9/30/2014  4,525  4,125 
  CIT Group, Inc. 5.000% 2/1/2015  3,400  3,055 
  CIT Group, Inc. 5.400% 1/30/2016  2,250  2,048 
  CIT Group, Inc. 5.850% 9/15/2016  2,750  2,598 
  CIT Group, Inc. 5.650% 2/13/2017  3,150  2,927 
  2 CIT Group, Inc. 6.100% 3/15/2067  3,200  2,657 
  Countrywide Financial Corp. 6.250% 5/15/2016  4,875  4,351 
  General Electric Capital Corp. 5.450% 1/15/2013  4,000  4,043 
  General Electric Capital Corp. 5.650% 6/9/2014  10,875  10,983 
  General Electric Capital Corp. 4.875% 3/4/2015  5,000  4,821 
  General Electric Capital Corp. 5.000% 1/8/2016  5,000  4,826 
  General Electric Capital Corp. 5.375% 10/20/2016  925  914 
  General Electric Capital Corp. 5.400% 2/15/2017  18,750  18,520 
  General Electric Capital Corp. 5.625% 9/15/2017  12,900  12,906 
  2 HSBC Finance Capital Trust IX 5.911% 11/30/2035  2,425  2,324 
  HSBC Finance Corp. 6.375% 11/27/2012  7,150  7,402 
  HSBC Finance Corp. 4.750% 7/15/2013  8,575  8,167 
  HSBC Finance Corp. 5.250% 1/15/2014  2,550  2,481 
  HSBC Finance Corp. 5.250% 4/15/2015  4,425  4,252 
  HSBC Finance Corp. 5.000% 6/30/2015  14,725  13,893 
  HSBC Finance Corp. 5.500% 1/19/2016  3,500  3,405 
  International Lease Finance Corp. 5.000% 9/15/2012  8,725  8,509 
  International Lease Finance Corp. 5.625% 9/20/2013  1,400  1,386 
  International Lease Finance Corp. 5.650% 6/1/2014  5,100  5,022 
  iStar Financial Inc. 5.950% 10/15/2013  3,175  2,979 
  iStar Financial Inc. 5.875% 3/15/2016  5,475  4,869 
  iStar Financial Inc. 5.850% 3/15/2017  1,100  977 
  PHH Corp. 7.125% 3/1/2013  2,050  2,110 
  SLM Corp. 5.375% 1/15/2013  7,725  7,003 
  SLM Corp. 5.000% 10/1/2013  4,500  3,965 
  SLM Corp. 5.375% 5/15/2014  4,750  4,179 
  SLM Corp. 5.050% 11/14/2014  1,400  1,204 
  Insurance (2.8%)
  ACE INA Holdings, Inc. 5.875% 6/15/2014  2,000  2,005 
  ACE INA Holdings, Inc. 5.700% 2/15/2017  1,950  1,925 
  AEGON NV 4.750% 6/1/2013  3,475  3,320 
  Aetna, Inc. 6.000% 6/15/2016  3,850  3,876 
  Allied World Assurance 7.500% 8/1/2016  3,275  3,419 
  Allstate Corp. 5.000% 8/15/2014  1,675  1,600 
  2 Allstate Corp. 6.125% 5/15/2037  2,125  2,084 
  American International Group, Inc. 4.250% 5/15/2013  5,000  4,720 
  American International Group, Inc. 5.050% 10/1/2015  8,275  7,944 
  American International Group, Inc. 5.600% 10/18/2016  875  858 
  American International Group, Inc. 5.450% 5/18/2017  4,200  4,108 
  Aspen Insurance Holdings Ltd. 6.000% 8/15/2014  1,100  1,095 
  Assurant, Inc. 5.625% 2/15/2014  2,825  2,736 
  Axis Capital Holdings 5.750% 12/1/2014  1,800  1,822 
  Berkshire Hathaway Finance Corp. 4.625% 10/15/2013  4,450  4,314 
  Berkshire Hathaway Finance Corp. 5.100% 7/15/2014  1,850  1,812 
  Berkshire Hathaway Finance Corp. 4.850% 1/15/2015  6,800  6,557 
  2 Chubb Corp. 6.375% 3/29/2037  3,725  3,703 
  CNA Financial Corp. 5.850% 12/15/2014  2,100  2,072 
  CNA Financial Corp. 6.500% 8/15/2016  3,400  3,450 
  Commerce Group, Inc. 5.950% 12/9/2013  900  889 
  Coventry Health Care Inc. 6.300% 8/15/2014  1,000  1,000 
  Coventry Health Care Inc. 5.950% 3/15/2017  3,000  2,906 
  2 Everest Reinsurance Holdings, Inc. 6.600% 5/15/2067  1,450  1,363 
  Fund American Cos., Inc. 5.875% 5/15/2013  2,100  2,079 
  Genworth Financial, Inc. 5.750% 6/15/2014  4,250  4,255 
  Genworth Financial, Inc. 4.950% 10/1/2015  1,450  1,365 
  2 Genworth Financial, Inc. 6.150% 11/15/2066  1,700  1,595 
  Hartford Financial Services Group, Inc. 4.625% 7/15/2013  1,200  1,153 
  Hartford Financial Services Group, Inc. 5.500% 10/15/2016  1,975  1,937 
  Hartford Financial Services Group, Inc. 5.375% 3/15/2017  2,200  2,120 
  Humana Inc. 6.450% 6/1/2016  2,625  2,663 
  2 ING Capital Funding Trust III 5.775% 12/8/2049  3,800  3,597 
  Jefferson Pilot Corp. 4.750% 1/30/2014  4,000  3,744 
  2 Lincoln National Corp. 6.050% 4/20/2067  2,925  2,816 
  Loews Corp. 5.250% 3/15/2016  500  477 
  Marsh&McLennan Cos., Inc. 4.850% 2/15/2013  2,000  1,923 
  Marsh&McLennan Cos., Inc. 5.375% 7/15/2014  1,500  1,454 
  Marsh&McLennan Cos., Inc. 5.750% 9/15/2015  5,550  5,457 
  MetLife, Inc. 5.375% 12/15/2012  3,000  3,016 
  MetLife, Inc. 5.000% 11/24/2013  2,325  2,250 
  MetLife, Inc. 5.500% 6/15/2014  1,075  1,069 
  MetLife, Inc. 5.000% 6/15/2015  3,125  2,981 
  Principal Life Income Funding 5.100% 4/15/2014  4,250  4,128 
  2 Progressive Corp. 6.700% 6/15/2037  4,225  4,142 
  Prudential Financial, Inc. 4.500% 7/15/2013  4,500  4,282 
  Prudential Financial, Inc. 4.750% 4/1/2014  1,750  1,667 
  Prudential Financial, Inc. 5.100% 9/20/2014  5,675  5,488 
  Prudential Financial, Inc. 5.500% 3/15/2016  575  559 
  Prudential Financial, Inc. 6.100% 6/15/2017  1,750  1,779 
  St. Paul Travelers Cos., Inc. 5.500% 12/1/2015  1,350  1,321 
  St. Paul Travelers Cos., Inc. 6.250% 6/20/2016  2,025  2,069 
  Torchmark Corp. 6.375% 6/15/2016  1,750  1,784 
  Transatlantic Holdings 5.750% 12/14/2015  4,000  3,926 
  2 Travelers Cos. Inc. 6.250% 3/15/2037  3,950  3,806 
  Travelers Property Casualty Corp. 5.000% 3/15/2013  2,500  2,450 
  UnitedHealth Group, Inc. 5.000% 8/15/2014  5,400  5,164 
  UnitedHealth Group, Inc. 4.875% 3/15/2015  3,825  3,622 
  3 UnitedHealth Group, Inc. 6.000% 6/15/2017  2,100  2,122 
  WellPoint Inc. 5.000% 12/15/2014  4,550  4,341 
  WellPoint Inc. 5.250% 1/15/2016  3,900  3,728 
  WellPoint Inc. 5.875% 6/15/2017  2,500  2,472 
  Willis North America Inc. 5.625% 7/15/2015  2,750  2,640 
  Willis North America Inc. 6.200% 3/28/2017  1,625  1,610 
  XL Capital Ltd. 5.250% 9/15/2014  4,025  3,887 
  2 XL Capital Ltd. 6.500% 12/15/2049  2,950  2,639 
  Real Estate Investment Trusts (1.4%)
  Archstone-Smith Operating Trust 5.625% 8/15/2014  1,500  1,483 
  Archstone-Smith Operating Trust 5.250% 5/1/2015  4,925  4,752 
  Arden Realty LP 5.250% 3/1/2015  1,250  1,210 
  AvalonBay Communities, Inc. 6.125% 11/1/2012  1,000  1,023 
  AvalonBay Communities, Inc. 5.750% 9/15/2016  1,750  1,702 
  Boston Properties, Inc. 6.250% 1/15/2013  5,225  5,371 
  Boston Properties, Inc. 5.625% 4/15/2015  1,700  1,659 
  Brandywine Operating Partnership 5.400% 11/1/2014  2,250  2,141 
  Camden Property Trust 5.700% 5/15/2017  2,300  2,237 
  Colonial Realty LP 5.500% 10/1/2015  1,800  1,715 
  Developers Diversified Realty Corp. 5.375% 10/15/2012  1,875  1,830 
  Duke Realty LP 5.950% 2/15/2017  750  722 
  ERP Operating LP 5.500% 10/1/2012  750  737 
  ERP Operating LP 5.200% 4/1/2013  1,000  966 
  ERP Operating LP 5.250% 9/15/2014  4,025  3,784 
  ERP Operating LP 5.125% 3/15/2016  5,000  4,626 
  ERP Operating LP 5.375% 8/1/2016  475  443 
  ERP Operating LP 5.750% 6/15/2017  1,675  1,602 
  Health Care Property Investors, Inc. 5.650% 12/15/2013  2,250  2,156 
  Health Care Property Investors, Inc. 6.300% 9/15/2016  275  269 
  Health Care Property Investors, Inc. 6.000% 1/30/2017  3,750  3,588 
  Health Care REIT, Inc. 6.000% 11/15/2013  4,725  4,706 
  Health Care REIT, Inc. 6.200% 6/1/2016  925  890 
  HealthCare Realty Trust 5.125% 4/1/2014  2,925  2,692 
  Hospitality Properties 5.125% 2/15/2015  2,200  2,009 
  Hospitality Properties 5.625% 3/15/2017  2,500  2,309 
  HRPT Properties Trust 6.250% 8/15/2016  5,150  5,037 
  Kimco Realty Corp. 5.783% 3/15/2016  1,350  1,307 
  Liberty Property LP 5.125% 3/2/2015  4,450  4,112 
  National Retail Properties 6.875% 10/15/2017  1,875  1,863 
  ProLogis 5.500% 3/1/2013  2,000  1,965 
  ProLogis 5.625% 11/15/2015  2,800  2,705 
  ProLogis 5.750% 4/1/2016  3,000  2,926 
  ProLogis 5.625% 11/15/2016  1,925  1,858 
  Regency Centers LP 5.250% 8/1/2015  1,000  931 
  Simon Property Group Inc. 5.625% 8/15/2014  2,350  2,287 
  Simon Property Group Inc. 5.100% 6/15/2015  1,800  1,688 
  Simon Property Group Inc. 5.750% 12/1/2015  4,600  4,475 
  Simon Property Group Inc. 6.100% 5/1/2016  1,800  1,796 
  Simon Property Group Inc. 5.250% 12/1/2016  5,950  5,571 
  Tanger Factory Outlet Centers, Inc. 6.150% 11/15/2015  1,725  1,690 
  Other (0.0%)
  XTRA Finance Corp. 5.150% 4/1/2017  1,600  1,576 
        1,264,546
  Industrial (17.2%)
  Basic Industry (1.3%)
  Alcan, Inc. 4.875% 9/15/2012  1,000  980 
  Alcan, Inc. 4.500% 5/15/2013  2,825  2,685 
  Alcan, Inc. 5.200% 1/15/2014  1,500  1,462 
  Alcan, Inc. 5.000% 6/1/2015  1,575  1,495 
  Alcoa, Inc. 5.375% 1/15/2013  2,000  1,969 
  Alcoa, Inc. 5.550% 2/1/2017  1,900  1,834 
  Barrick Gold Finance Inc. 4.875% 11/15/2014  2,050  1,951 
  BHP Billiton Finance 4.800% 4/15/2013  6,775  6,543 
  BHP Billiton Finance 5.250% 12/15/2015  2,725  2,644 
  BHP Finance USA Ltd. 5.400% 3/29/2017  2,300  2,245 
  Celulosa Arauco Constitution SA 5.125% 7/9/2013  1,500  1,455 
  Celulosa Arauco Constitution SA 5.625% 4/20/2015  5,150  5,008 
  Commercial Metals Co. 6.500% 7/15/2017  1,650  1,705 
  Dow Chemical Co. 6.000% 10/1/2012  3,575  3,676 
  E.I. du Pont de Nemours&Co. 4.750% 11/15/2012  2,500  2,443 
  E.I. du Pont de Nemours&Co. 4.125% 3/6/2013  1,500  1,415 
  E.I. du Pont de Nemours&Co. 5.250% 12/15/2016  2,175  2,104 
  ICI Wilmington 5.625% 12/1/2013  1,600  1,614 
  Inco Ltd. 5.700% 10/15/2015  1,675  1,635 
  International Paper Co. 5.850% 10/30/2012  888  896 
  International Paper Co. 5.300% 4/1/2015  175  169 
  International Paper Co. 5.250% 4/1/2016  2,950  2,771 
  International Steel Group, Inc. 6.500% 4/15/2014  5,000  4,988 
  Lubrizol Corp. 5.500% 10/1/2014  2,575  2,484 
  Noranda, Inc. 6.000% 10/15/2015  2,025  2,020 
  Plum Creek Timber Co. 5.875% 11/15/2015  1,650  1,609 
  Potash Corp. of Saskatchewan 4.875% 3/1/2013  2,975  2,878 
  Praxair, Inc. 3.950% 6/1/2013  2,500  2,321 
  Praxair, Inc. 5.375% 11/1/2016  700  685 
  Praxair, Inc. 5.200% 3/15/2017  1,500  1,445 
  Reliance Steel&Aluminum 6.200% 11/15/2016  650  642 
  Rohm&Haas Co. 5.600% 3/15/2013  800  801 
  Rohm&Haas Co. 6.000% 9/15/2017  2,050  2,053 
  Temple Inland Inc. 6.625% 1/15/2016  1,500  1,470 
  US Steel Corp. 5.650% 6/1/2013  900  879 
  US Steel Corp. 6.050% 6/1/2017  1,500  1,418 
  Vale Overseas Ltd. 6.250% 1/11/2016  5,825  5,883 
  Vale Overseas Ltd. 6.250% 1/23/2017  2,575  2,610 
  WMC Finance USA 5.125% 5/15/2013  1,600  1,577 
  Capital Goods (1.8%)
2,3 BAE Systems Asset Trust 7.156% 12/15/2011  468  490 
  Boeing Capital Corp. 5.800% 1/15/2013  2,250  2,302 
  Boeing Co. 5.125% 2/15/2013  4,575  4,542 
  Brascan Corp. 7.125% 6/15/2012  1,000  1,067 
  Caterpillar Financial Services Corp. 4.750% 2/17/2015  7,625  7,247 
  Caterpillar Financial Services Corp. 4.625% 6/1/2015  1,200  1,130 
  CRH America Inc. 5.300% 10/15/2013  2,075  1,994 
  CRH America Inc. 6.000% 9/30/2016  6,125  5,948 
  Deere&Co. 6.950% 4/25/2014  6,230  6,776 
  Embraer Overseas Ltd. 6.375% 1/24/2017  700  681 
  Emerson Electric Co. 4.625% 10/15/2012  7,000  6,830 
  General Dynamics Corp. 4.250% 5/15/2013  6,850  6,451 
  General Electric Co. 5.000% 2/1/2013  23,650  23,477 
  Hanson PLC 5.250% 3/15/2013  3,775  3,640 
  Hanson PLC 6.125% 8/15/2016  1,000  973 
  Honeywell International, Inc. 5.400% 3/15/2016  1,825  1,812 
  Honeywell International, Inc. 5.300% 3/15/2017  1,000  975 
  John Deere Capital Corp. 5.500% 4/13/2017  2,300  2,283 
  Joy Global, Inc. 6.000% 11/15/2016  1,275  1,269 
  Lafarge SA 6.500% 7/15/2016  5,800  5,885 
  Lockheed Martin Corp. 7.650% 5/1/2016  3,000  3,362 
  Masco Corp. 4.800% 6/15/2015  4,875  4,409 
  Masco Corp. 6.125% 10/3/2016  3,675  3,609 
  Mohawk Industries Inc. 6.125% 1/15/2016  6,275  6,273 
  Northrop Grumman Corp. 7.750% 3/1/2016  2,900  3,295 
  Owens Corning, Inc. 6.500% 12/1/2016  2,600  2,515 
  Raytheon Co. 5.500% 11/15/2012  1,250  1,258 
  Raytheon Co. 5.375% 4/1/2013  725  716 
  Tyco International Group SA 6.000% 11/15/2013  4,800  4,876 
  United Technologies Corp. 4.875% 5/1/2015  6,425  6,171 
  Waste Management, Inc. 6.375% 11/15/2012  1,000  1,035 
  Waste Management, Inc. 5.000% 3/15/2014  625  596 
  Communication (4.4%)
  America Movil SA de C.V. 5.500% 3/1/2014  5,650  5,565 
  America Movil SA de C.V. 5.750% 1/15/2015  1,525  1,521 
  AT&T Inc. 5.100% 9/15/2014  20,475  19,859 
  AT&T Inc. 5.625% 6/15/2016  5,650  5,617 
  BellSouth Corp. 4.750% 11/15/2012  5,450  5,313 
  BellSouth Corp. 5.200% 9/15/2014  200  193 
  BellSouth Corp. 5.200% 12/15/2016  350  338 
  CenturyTel, Inc. 5.000% 2/15/2015  1,000  934 
  CenturyTel, Inc. 6.000% 4/1/2017  2,475  2,444 
  Comcast Cable Communications Holdings Inc. 8.375% 3/15/2013  8,485  9,524 
  Comcast Cable Communications, Inc. 8.875% 5/1/2017  1,700  2,017 
  Comcast Corp. 5.300% 1/15/2014  11,765  11,435 
  Comcast Corp. 6.500% 1/15/2015  3,825  3,943 
  Comcast Corp. 5.850% 11/15/2015  2,300  2,290 
  Comcast Corp. 5.900% 3/15/2016  5,900  5,866 
  Comcast Corp. 4.950% 6/15/2016  2,175  2,018 
  Comcast Corp. 6.500% 1/15/2017  1,575  1,628 
  Cox Communications, Inc. 7.125% 10/1/2012  2,000  2,118 
  Cox Communications, Inc. 4.625% 6/1/2013  4,000  3,769 
  Cox Communications, Inc. 5.450% 12/15/2014  10,225  9,912 
  Cox Communications, Inc. 5.500% 10/1/2015  1,250  1,209 
  Deutsche Telekom International Finance 5.250% 7/22/2013  7,600  7,485 
  Deutsche Telekom International Finance 5.750% 3/23/2016  2,725  2,698 
  Embarq Corp. 7.082% 6/1/2016  12,675  13,132 
  IAC/InteractiveCorp 7.000% 1/15/2013  2,175  2,248 
  News America Holdings, Inc. 9.250% 2/1/2013  1,325  1,534 
  News America Inc. 5.300% 12/15/2014  8,350  8,165 
  Nextel Communications 6.875% 10/31/2013  6,000  6,045 
  Nextel Communications 5.950% 3/15/2014  6,300  6,018 
  Nextel Communications 7.375% 8/1/2015  9,400  9,558 
  Omnicom Group Inc. 5.900% 4/15/2016  6,400  6,346 
  Qwest Communications International Inc. 7.500% 10/1/2014  3,125  3,254 
  3 Qwest Communications International Inc. 6.500% 6/1/2017  3,125  3,063 
  R.R. Donnelley&Sons Co. 4.950% 4/1/2014  2,550  2,399 
  R.R. Donnelley&Sons Co. 5.500% 5/15/2015  2,365  2,282 
  R.R. Donnelley&Sons Co. 6.125% 1/15/2017  1,750  1,742 
  Rogers Cable Inc. 5.500% 3/15/2014  5,000  4,794 
  Rogers Wireless Inc. 6.375% 3/1/2014  8,000  8,060 
  Sprint Nextel Corp. 6.000% 12/1/2016  6,500  6,248 
  TCI Communications, Inc. 8.750% 8/1/2015  3,895  4,483 
  Telecom Italia Capital 5.250% 11/15/2013  2,875  2,805 
  Telecom Italia Capital 4.950% 9/30/2014  13,225  12,486 
  Telecom Italia Capital 5.250% 10/1/2015  2,850  2,706 
  Tele-Communications, Inc. 7.875% 8/1/2013  5,401  5,926 
  Telefonica Emisiones SAU 5.855% 2/4/2013  2,100  2,132 
  Telefonica Emisiones SAU 6.421% 6/20/2016  7,300  7,511 
  Telefonica Emisiones SAU 6.221% 7/3/2017  2,950  3,004 
  Telefonos de Mexico SA 5.500% 1/27/2015  4,500  4,382 
  Time Warner Entertainment 8.875% 10/1/2012  2,500  2,849 
  3 Time Warner, Inc. 5.850% 5/1/2017  9,400  9,152 
  Verizon Communications Corp. 5.550% 2/15/2016  12,150  12,014 
  Verizon Florida, Inc. 6.125% 1/15/2013  1,500  1,517 
  Verizon Global Funding Corp. 7.375% 9/1/2012  2,800  3,047 
  Verizon Global Funding Corp. 4.900% 9/15/2015  2,000  1,898 
  Verizon Virginia, Inc. 4.625% 3/15/2013  4,300  4,094 
  Vodafone Group PLC 5.000% 12/16/2013  900  868 
  Vodafone Group PLC 5.375% 1/30/2015  8,475  8,248 
  Vodafone Group PLC 5.000% 9/15/2015  2,900  2,749 
  Vodafone Group PLC 5.750% 3/15/2016  3,700  3,644 
  Vodafone Group PLC 5.625% 2/27/2017  3,000  2,918 
  WPP Finance USA Corp. 5.875% 6/15/2014  2,150  2,187 
  Consumer Cyclical (2.6%)
  Brinker International 5.750% 6/1/2014  1,700  1,628 
  Centex Corp. 5.450% 8/15/2012  1,125  1,006 
  Centex Corp. 5.125% 10/1/2013  3,300  2,858 
  Centex Corp. 5.700% 5/15/2014  1,000  871 
  Centex Corp. 6.500% 5/1/2016  2,900  2,620 
  Costco Wholesale Corp. 5.500% 3/15/2017  5,950  5,818 
  CVS Corp. 4.875% 9/15/2014  1,675  1,581 
  CVS Corp. 6.125% 8/15/2016  2,600  2,599 
  CVS Corp. 5.750% 6/1/2017  6,075  5,943 
  D.R. Horton, Inc. 5.625% 9/15/2014  1,000  841 
  D.R. Horton, Inc. 5.250% 2/15/2015  4,000  3,246 
  D.R. Horton, Inc. 5.625% 1/15/2016  750  617 
  D.R. Horton, Inc. 6.500% 4/15/2016  2,925  2,546 
  DaimlerChrysler North America Holding Corp. 6.500% 11/15/2013  10,575  10,987 
  Federated Retail Holding 5.900% 12/1/2016  4,275  4,091 
  Home Depot Inc. 5.250% 12/16/2013  4,450  4,255 
  Home Depot Inc. 5.400% 3/1/2016  12,300  11,525 
  ITT Corp. 7.375% 11/15/2015  3,150  3,260 
  J.C. Penney Co., Inc. 7.950% 4/1/2017  1,650  1,796 
  Johnson Controls, Inc. 4.875% 9/15/2013  1,000  980 
  Johnson Controls, Inc. 5.500% 1/15/2016  3,000  2,932 
  Lennar Corp. 5.950% 3/1/2013  3,100  2,766 
  Lennar Corp. 5.600% 5/31/2015  3,375  2,861 
  Limited Brands Inc. 5.250% 11/1/2014  3,100  2,857 
  Limited Brands Inc. 6.900% 7/15/2017  2,000  2,003 
  Lowe's Cos., Inc. 5.000% 10/15/2015  4,275  4,024 
  Lowe's Cos., Inc. 5.400% 10/15/2016  2,000  1,932 
  Lowe's Cos., Inc. 6.100% 9/15/2017  600  605 
  Marriott International 6.200% 6/15/2016  2,600  2,598 
  Marriott International 6.375% 6/15/2017  2,450  2,461 
  May Department Stores Co. 5.750% 7/15/2014  3,600  3,477 
  McDonald's Corp. 5.300% 3/15/2017  750  728 
  MDC Holdings Inc. 5.500% 5/15/2013  3,625  3,439 
  Pulte Homes, Inc. 6.250% 2/15/2013  1,000  886 
  Pulte Homes, Inc. 5.250% 1/15/2014  2,750  2,277 
  Pulte Homes, Inc. 5.200% 2/15/2015  550  451 
  Starwood Hotel Resorts 6.250% 2/15/2013  1,900  1,895 
  Target Corp. 4.000% 6/15/2013  6,020  5,575 
  Target Corp. 5.875% 7/15/2016  5,175  5,194 
  The Walt Disney Co. 5.625% 9/15/2016  5,375  5,366 
  The Walt Disney Co. 6.000% 7/17/2017  2,025  2,078 
  Time Warner, Inc. 9.125% 1/15/2013  3,700  4,244 
  Time Warner, Inc. 5.875% 11/15/2016  7,850  7,664 
  Toll Brothers, Inc. 6.875% 11/15/2012  1,500  1,452 
  Toll Brothers, Inc. 5.950% 9/15/2013  1,000  919 
  Toll Brothers, Inc. 5.150% 5/15/2015  2,150  1,863 
  Viacom Inc. 6.250% 4/30/2016  6,800  6,814 
  Wal-Mart Stores, Inc. 4.550% 5/1/2013  3,750  3,642 
  Wal-Mart Stores, Inc. 7.250% 6/1/2013  2,300  2,473 
  Wal-Mart Stores, Inc. 4.500% 7/1/2015  7,025  6,532 
  Wal-Mart Stores, Inc. 5.375% 4/5/2017  4,900  4,809 
  Western Union Co. 5.930% 10/1/2016  3,800  3,736 
  Wyndham Worldwide 6.000% 12/1/2016  1,900  1,838 
  Yum! Brands, Inc. 6.250% 4/15/2016  2,525  2,524 
  Consumer Noncyclical (3.9%)
  Abbott Laboratories 4.350% 3/15/2014  4,350  4,053 
  Abbott Laboratories 5.875% 5/15/2016  7,300  7,426 
  Allergan Inc. 5.750% 4/1/2016  3,300  3,292 
  Altria Group, Inc. 7.000% 11/4/2013  5,250  5,715 
  AmerisourceBergen Corp. 5.625% 9/15/2012  1,475  1,464 
  AmerisourceBergen Corp. 5.875% 9/15/2015  4,425  4,344 
  Amgen Inc. 4.850% 11/18/2014  4,125  3,885 
  3 Amgen Inc. 5.850% 6/1/2017  3,775  3,726 
  Anheuser-Busch Cos., Inc. 4.375% 1/15/2013  3,275  3,113 
  Anheuser-Busch Cos., Inc. 5.600% 3/1/2017  1,725  1,703 
  AstraZeneca PLC 5.400% 6/1/2014  3,050  3,030 
  AstraZeneca PLC 5.900% 9/15/2017  9,625  9,814 
  Baxter International, Inc. 4.625% 3/15/2015  3,150  2,940 
  Baxter International, Inc. 5.900% 9/1/2016  2,600  2,620 
  Bottling Group LLC 4.625% 11/15/2012  6,000  5,884 
  Bottling Group LLC 5.000% 11/15/2013  1,500  1,462 
  Bottling Group LLC 5.500% 4/1/2016  4,525  4,501 
  Bunge Ltd. Finance Corp. 5.350% 4/15/2014  2,900  2,780 
  Bunge Ltd. Finance Corp. 5.100% 7/15/2015  1,925  1,792 
  Cardinal Health, Inc. 4.000% 6/15/2015  2,200  1,949 
  3 Cardinal Health, Inc. 6.300% 10/15/2016  1,250  1,239 
  3 Cardinal Health, Inc. 6.000% 6/15/2017  900  901 
  Cia. Brasil de Bebidas AmBev 8.750% 9/15/2013  2,800  3,210 
  Clorox Co. 5.000% 1/15/2015  3,700  3,526 
  Coca-Cola HBC Finance 5.125% 9/17/2013  2,400  2,337 
  Diageo Capital PLC 5.500% 9/30/2016  6,300  6,093 
  Diageo Finance BV 5.300% 10/28/2015  2,675  2,593 
  Eli Lilly&Co. 5.200% 3/15/2017  4,925  4,789 
  Fisher Scientific International Inc. 6.125% 7/1/2015  4,000  3,870 
  Fortune Brands Inc. 5.375% 1/15/2016  5,550  5,264 
  Genentech Inc. 4.750% 7/15/2015  2,900  2,741 
  General Mills, Inc. 5.650% 9/10/2012  2,200  2,219 
  General Mills, Inc. 5.700% 2/15/2017  5,975  5,898 
  GlaxoSmithKline Capital Inc. 4.375% 4/15/2014  8,075  7,574 
  Hasbro Inc. 6.300% 9/15/2017  2,175  2,170 
  Hershey Foods Corp. 5.450% 9/1/2016  2,100  2,038 
  Hospira, Inc. 5.900% 6/15/2014  675  669 
  Hospira, Inc. 6.050% 3/30/2017  2,000  1,965 
  Johnson&Johnson 3.800% 5/15/2013  3,000  2,816 
  Johnson&Johnson 5.550% 8/15/2017  3,625  3,689 
  Kimberly-Clark Corp. 4.875% 8/15/2015  1,025  980 
  Kimberly-Clark Corp. 6.125% 8/1/2017  7,000  7,232 
  Kraft Foods, Inc. 5.250% 10/1/2013  7,250  7,163 
  Kraft Foods, Inc. 6.500% 8/11/2017  8,250  8,541 
  Kroger Co. 5.500% 2/1/2013  275  275 
  Kroger Co. 4.950% 1/15/2015  6,825  6,407 
  Kroger Co. 6.400% 8/15/2017  375  382 
  Laboratory Corp. of America 5.500% 2/1/2013  2,500  2,389 
  Laboratory Corp. of America 5.625% 12/15/2015  1,250  1,202 
  Mckesson Corp. 5.250% 3/1/2013  3,825  3,781 
  Mckesson Corp. 5.700% 3/1/2017  1,000  977 
  Medco Health Solutions 7.250% 8/15/2013  3,500  3,698 
  Medtronic Inc. 4.750% 9/15/2015  3,200  3,012 
  Merck&Co. 4.375% 2/15/2013  2,975  2,840 
  Merck&Co. 4.750% 3/1/2015  3,475  3,322 
  PepsiAmericas Inc. 4.875% 1/15/2015  2,875  2,717 
  PepsiAmericas Inc. 5.000% 5/15/2017  750  707 
  Pfizer, Inc. 4.500% 2/15/2014  3,375  3,234 
  Procter&Gamble Co. 4.950% 8/15/2014  9,125  8,974 
  Quest Diagnostic, Inc. 5.450% 11/1/2015  3,200  3,067 
  Quest Diagnostic, Inc. 6.400% 7/1/2017  1,325  1,342 
  Reynolds American Inc. 7.250% 6/1/2013  5,000  5,281 
  Reynolds American Inc. 6.750% 6/15/2017  5,000  5,125 
  Safeway, Inc. 6.350% 8/15/2017  1,875  1,912 
  Schering-Plough Corp. 5.550% 12/1/2013  5,750  5,712 
  Schering-Plough Corp. 6.000% 9/15/2017  3,350  3,363 
  Teva Pharmaceutical Finance LLC 5.550% 2/1/2016  2,225  2,160 
  Tyson Foods, Inc. 6.850% 4/1/2016  2,950  3,021 
  Wm. Wrigley Jr. Co. 4.650% 7/15/2015  3,350  3,186 
  Wyeth 5.500% 3/15/2013  13,950  14,194 
  Wyeth 5.500% 2/1/2014  7,175  7,137 
  Wyeth 5.450% 4/1/2017  1,250  1,216 
  Energy (1.5%)
  Anadarko Petroleum Corp. 5.950% 9/15/2016  10,825  10,730 
  Apache Corp. 5.250% 4/15/2013  1,825  1,825 
  Apache Corp. 5.625% 1/15/2017  3,250  3,210 
  Canadian Natural Resources 4.900% 12/1/2014  2,950  2,801 
  Canadian Natural Resources 6.000% 8/15/2016  3,350  3,332 
  Canadian Natural Resources 5.700% 5/15/2017  4,450  4,334 
  ConocoPhillips Canada 5.625% 10/15/2016  14,325  14,321 
  Diamond Offshore Drilling 4.875% 7/1/2015  2,050  1,912 
  Encana Corp. 4.750% 10/15/2013  1,125  1,071 
  Encana Holdings Finance Corp. 5.800% 5/1/2014  5,575  5,593 
  EOG Resources Inc. 5.875% 9/15/2017  3,300  3,309 
  Global Santa Fe 5.000% 2/15/2013  1,000  965 
  Marathon Oil Corp. 6.000% 10/1/2017  3,900  3,921 
  Nexen, Inc. 5.050% 11/20/2013  3,000  2,918 
  Nexen, Inc. 5.650% 5/15/2017  1,850  1,791 
  Petro-Canada 4.000% 7/15/2013  1,800  1,659 
  Petro-Canada Financial Partnership 5.000% 11/15/2014  3,375  3,223 
  Questar Market Resources 6.050% 9/1/2016  600  602 
  Shell International Finance 5.200% 3/22/2017  2,775  2,710 
  Sunoco, Inc. 4.875% 10/15/2014  950  895 
  Sunoco, Inc. 5.750% 1/15/2017  2,075  2,033 
  Talisman Energy, Inc. 5.125% 5/15/2015  2,150  2,059 
  Valero Energy Corp. 4.750% 6/15/2013  4,500  4,288 
  Valero Energy Corp. 6.125% 6/15/2017  4,000  4,019 
  Weatherford International Inc. 5.500% 2/15/2016  3,000  2,885 
  3 Weatherford International Inc. 6.350% 6/15/2017  2,300  2,337 
  XTO Energy, Inc. 6.250% 4/15/2013  3,775  3,922 
  XTO Energy, Inc. 4.900% 2/1/2014  2,750  2,615 
  XTO Energy, Inc. 5.000% 1/31/2015  400  379 
  XTO Energy, Inc. 5.300% 6/30/2015  1,625  1,562 
  XTO Energy, Inc. 6.250% 8/1/2017  2,825  2,862 
  Technology (1.1%)
  Arrow Electronics, Inc. 6.875% 7/1/2013  1,000  1,045 
  Avnet Inc. 6.625% 9/15/2016  3,000  3,072 
  Cisco Systems Inc. 5.500% 2/22/2016  15,875  15,770 
  Computer Sciences Corp. 5.000% 2/15/2013  600  575 
  Electronic Data Systems 6.500% 8/1/2013  4,075  4,097 
  Equifax Inc. 6.300% 7/1/2017  650  656 
  Harris Corp. 5.000% 10/1/2015  1,425  1,327 
  Hewlett-Packard Co. 5.400% 3/1/2017  2,750  2,714 
  International Business Machines Corp. 4.750% 11/29/2012  975  961 
  International Business Machines Corp. 7.500% 6/15/2013  6,600  7,317 
  International Business Machines Corp. 5.700% 9/14/2017  5,000  5,034 
  Intuit Inc. 5.750% 3/15/2017  2,025  1,936 
  National Semiconductor 6.600% 6/15/2017  2,325  2,370 
  Oracle Corp. 5.250% 1/15/2016  8,625  8,422 
  Pitney Bowes, Inc. 4.625% 10/1/2012  250  245 
  Pitney Bowes, Inc. 3.875% 6/15/2013  1,500  1,400 
  Pitney Bowes, Inc. 4.875% 8/15/2014  2,025  1,939 
  Pitney Bowes, Inc. 5.000% 3/15/2015  3,825  3,636 
  Pitney Bowes, Inc. 4.750% 1/15/2016  2,550  2,368 
  Pitney Bowes, Inc. 5.750% 9/15/2017  1,000  1,002 
  Xerox Corp. 7.625% 6/15/2013  2,275  2,366 
  Xerox Corp. 6.400% 3/15/2016  5,700  5,774 
  Xerox Corp. 6.750% 2/1/2017  1,850  1,939 
  Transportation (0.5%)
  Burlington Northern Santa Fe Corp. 5.650% 5/1/2017  6,350  6,217 
  Canadian National Railway Co. 4.400% 3/15/2013  2,000  1,890 
  Canadian National Railway Co. 5.800% 6/1/2016  1,950  1,953 
  Canadian National Railway Co. 5.850% 11/15/2017  500  501 
  Continental Airlines, Inc. 6.563% 2/15/2012  500  518 
  CSX Corp. 5.750% 3/15/2013  525  524 
  CSX Corp. 5.600% 5/1/2017  2,500  2,396 
  Norfolk Southern Corp. 5.257% 9/17/2014  3,095  2,986 
  Norfolk Southern Corp. 7.700% 5/15/2017  2,400  2,691 
  Ryder System Inc. 5.850% 3/1/2014  1,350  1,368 
  Ryder System Inc. 5.850% 11/1/2016  1,000  981 
  Southwest Airlines Co. 5.250% 10/1/2014  2,000  1,920 
  Southwest Airlines Co. 5.750% 12/15/2016  1,300  1,259 
  Southwest Airlines Co. 5.125% 3/1/2017  650  598 
  Union Pacific Corp. 5.450% 1/31/2013  50  50 
  Union Pacific Corp. 4.875% 1/15/2015  2,000  1,897 
  Union Pacific Corp. 7.000% 2/1/2016  550  584 
  Union Pacific Corp. 5.650% 5/1/2017  3,300  3,208 
  2 United Air Lines Inc. 6.636% 7/2/2022  2,050  2,009 
  Other (0.1%)
  Black&Decker Corp. 5.750% 11/15/2016  1,925  1,855 
  Cooper Industries, Inc. 5.250% 11/15/2012  1,400  1,394 
  Dover Corp. 4.875% 10/15/2015  2,400  2,272 
        1,156,298
  Utilities (3.6%)
  Electric (2.5%)
  American Electric Power Co., Inc. 5.250% 6/1/2015  1,850  1,781 
  Arizona Public Service Co. 5.800% 6/30/2014  500  495 
  Arizona Public Service Co. 4.650% 5/15/2015  3,825  3,513 
  Baltimore Gas&Electric Co. 5.900% 10/1/2016  2,250  2,246 
  Carolina Power&Light Co. 5.125% 9/15/2013  6,920  6,763 
  Carolina Power&Light Co. 5.250% 12/15/2015  3,000  2,936 
  CenterPoint Energy Houston 5.700% 3/15/2013  4,000  4,070 
  CenterPoint Energy Houston 5.750% 1/15/2014  500  501 
  Cincinnati Gas&Electric Co. 5.700% 9/15/2012  3,900  3,954 
  Cleveland Electric Illumination Co. 5.650% 12/15/2013  500  492 
  Commonwealth Edison Co. 4.700% 4/15/2015  700  646 
  Commonwealth Edison Co. 5.950% 8/15/2016  2,000  1,993 
  Commonwealth Edison Co. 6.150% 9/15/2017  1,000  1,013 
  Consolidated Edison Co. of New York 4.875% 2/1/2013  5,000  4,860 
  Consolidated Edison Co. of New York 5.500% 9/15/2016  1,850  1,827 
  Constellation Energy Group, Inc. 4.550% 6/15/2015  3,750  3,401 
  Consumers Energy Co. 5.375% 4/15/2013  2,500  2,490 
  Consumers Energy Co. 5.500% 8/15/2016  3,425  3,355 
  Dayton Power&Light 5.125% 10/1/2013  1,875  1,844 
  Dominion Resources, Inc. 5.000% 3/15/2013  1,500  1,456 
  Dominion Resources, Inc. 5.150% 7/15/2015  7,925  7,544 
  Duke Energy Corp. 5.625% 11/30/2012  2,000  2,026 
  Empresa Nacional Electric 8.350% 8/1/2013  2,125  2,380 
  Exelon Corp. 4.900% 6/15/2015  3,425  3,169 
  Exelon Generation Co. LLC 5.350% 1/15/2014  1,000  973 
  Florida Power&Light Co. 4.850% 2/1/2013  3,000  2,949 
  Florida Power Corp. 4.800% 3/1/2013  3,000  2,899 
  2 FPL Group Capital, Inc. 6.350% 10/1/2066  1,825  1,739 
  2 FPL Group Capital, Inc. 6.650% 6/15/2067  1,700  1,632 
  2 FPL Group Capital, Inc. 7.300% 9/1/2067  1,000  1,034 
  Georgia Power Co. 5.700% 6/1/2017  5,000  5,000 
  Jersey Central Power&Light 5.625% 5/1/2016  5,675  5,516 
  3 Jersey Central Power&Light 5.650% 6/1/2017  2,550  2,476 
  Metropolitan Edison 4.875% 4/1/2014  1,000  944 
  MidAmerican Energy Co. 5.125% 1/15/2013  4,000  3,999 
  MidAmerican Energy Co. 5.950% 7/15/2017  925  946 
  MidAmerican Energy Holdings Co. 5.875% 10/1/2012  3,000  3,044 
  MidAmerican Energy Holdings Co. 5.000% 2/15/2014  600  578 
  National Rural Utilities Cooperative Finance Corp. 4.750% 3/1/2014  2,000  1,907 
  National Rural Utilities Cooperative Finance Corp. 5.450% 4/10/2017  2,450  2,374 
  NiSource Finance Corp. 6.150% 3/1/2013  2,500  2,533 
  NiSource Finance Corp. 5.400% 7/15/2014  1,025  977 
  NStar Electric Co. 4.875% 10/15/2012  1,925  1,903 
  NStar Electric Co. 4.875% 4/15/2014  2,350  2,254 
  Ohio Edison 6.400% 7/15/2016  1,200  1,221 
  Ohio Power Co. 5.500% 2/15/2013  2,000  1,997 
  Ohio Power Co. 6.000% 6/1/2016  2,425  2,404 
  Oncor Electric Delivery Co. 6.375% 1/15/2015  2,175  2,181 
  Pacific Gas&Electric Co. 4.800% 3/1/2014  7,100  6,695 
  3 Pennsylvania Electric Co. 6.050% 9/1/2017  450  449 
  Pepco Holdings, Inc. 6.450% 8/15/2012  3,425  3,537 
  PPL Energy Supply LLC 6.200% 5/15/2016  5,500  5,489 
  PSE&G Power LLC 5.500% 12/1/2015  5,250  5,106 
  PSI Energy Inc. 5.000% 9/15/2013  1,125  1,080 
  PSI Energy Inc. 6.050% 6/15/2016  1,500  1,524 
  Public Service Co. of Colorado 7.875% 10/1/2012  4,775  5,280 
  Public Service Co. of Colorado 5.500% 4/1/2014  1,000  1,001 
  Public Service Electric&Gas 5.375% 9/1/2013  2,000  1,982 
  Southern California Edison Co. 5.000% 1/15/2014  2,000  1,955 
  Southern California Edison Co. 4.650% 4/1/2015  2,625  2,485 
  Southern California Edison Co. 5.000% 1/15/2016  925  879 
  Southern Power Co. 4.875% 7/15/2015  1,125  1,055 
  Southwestern Electric Power 5.550% 1/15/2017  1,500  1,470 
  Transalta Corp. 6.750% 7/15/2012  125  130 
  TXU Energy Co. 7.000% 3/15/2013  4,250  4,666 
  Union Electric Co. 5.400% 2/1/2016  300  292 
  Virginia Electric&Power Co. 5.400% 1/15/2016  4,450  4,337 
  2 Wisconsin Energy Corp. 6.250% 5/15/2067  1,700  1,586 
  Natural Gas (1.1%)
  Atmos Energy Corp. 5.125% 1/15/2013  2,000  1,950 
  Atmos Energy Corp. 4.950% 10/15/2014  3,400  3,196 
  Boardwalk Pipelines LLC 5.500% 2/1/2017  3,725  3,583 
  CenterPoint Energy Resources 7.875% 4/1/2013  4,250  4,667 
  CenterPoint Energy Resources 6.150% 5/1/2016  1,350  1,343 
  Consolidated Natural Gas 5.000% 12/1/2014  3,125  2,950 
  Duke Capital Corp. 6.250% 2/15/2013  2,150  2,227 
  Duke Capital Corp. 5.500% 3/1/2014  1,000  977 
  Duke Capital Corp. 5.668% 8/15/2014  1,000  982 
  3 El Paso Natural Gas Co. 5.950% 4/15/2017  1,700  1,660 
  Enbridge Inc. 5.600% 4/1/2017  4,050  3,912 
  Energy Transfer Partners LP 5.950% 2/1/2015  3,275  3,182 
  Energy Transfer Partners LP 6.125% 2/15/2017  850  820 
  Enterprise Products Operating LP 5.600% 10/15/2014  4,750  4,640 
  Enterprise Products Operating LP 6.300% 9/15/2017  1,025  1,029 
  Kinder Morgan Energy Partners LP 5.000% 12/15/2013  2,200  2,102 
  Kinder Morgan Energy Partners LP 5.125% 11/15/2014  3,450  3,273 
  Kinder Morgan Energy Partners LP 6.000% 2/1/2017  1,000  984 
  Magellan Midstream Partners, LP 5.650% 10/15/2016  650  632 
  National Grid PLC 6.300% 8/1/2016  4,275  4,353 
  ONEOK Inc. 5.200% 6/15/2015  3,100  2,956 
  ONEOK Partners, LP 6.150% 10/1/2016  5,125  5,098 
  Plains All American Pipeline LP 6.125% 1/15/2017  2,500  2,499 
  San Diego Gas&Electric 5.300% 11/15/2015  300  294 
  Sempra Energy 6.000% 2/1/2013  1,925  1,951 
  3 Southern Natural Gas 5.900% 4/1/2017  6,525  6,314 
  Texas Gas Transmission 4.600% 6/1/2015  500  465 
  Trans-Canada Pipelines 4.000% 6/15/2013  3,000  2,824 
  2 Trans-Canada Pipelines 6.350% 5/15/2067  4,150  3,969 
  Valero Logistics 6.050% 3/15/2013  2,000  2,009 
        246,074
  Total Corporate Bonds
  (Cost $2,723,435)       2,672,281
  Sovereign Bonds (U.S. Dollar-Denominated) (6.7%)
  Asian Development Bank 4.500% 9/4/2012  6,500  6,447 
  Asian Development Bank 6.640% 5/27/2014  521  565 
  Asian Development Bank 5.500% 6/27/2016  2,900  3,003 
  Asian Development Bank 5.250% 6/12/2017  2,300  2,340 
  China Development Bank 4.750% 10/8/2014  2,700  2,600 
  China Development Bank 5.000% 10/15/2015  3,450  3,344 
  Corp. Andina de Fomento 5.200% 5/21/2013  3,500  3,462 
  Corp. Andina de Fomento 5.750% 1/12/2017  950  938 
  Development Bank of Japan 4.250% 6/9/2015  2,325  2,211 
  Development Bank of Japan 5.125% 2/1/2017  1,700  1,706 
  Eksportfinans 5.500% 5/25/2016  3,125  3,181 
  Eksportfinans 5.500% 6/26/2017  4,600  4,747 
  European Bank for Reconstruction&Development 5.000% 5/19/2014  3,400  3,418 
  European Investment Bank 4.625% 5/15/2014  12,350  12,110 
  European Investment Bank 4.875% 2/16/2016  9,250  9,170 
  European Investment Bank 5.125% 9/13/2016  12,050  12,138 
  European Investment Bank 4.875% 1/17/2017  16,975  16,790 
  European Investment Bank 5.125% 5/30/2017  7,900  7,931 
  Export-Import Bank of Korea 5.125% 3/16/2015  4,800  4,723 
  Financement Quebec 5.000% 10/25/2012  2,000  2,015 
  Inter-American Development Bank 4.375% 9/20/2012  6,500  6,414 
  Inter-American Development Bank 4.500% 9/15/2014  3,000  2,942 
  Inter-American Development Bank 4.250% 9/14/2015  9,420  9,007 
  Inter-American Development Bank 5.125% 9/13/2016  6,700  6,792 
  International Bank for Reconstruction&Development 3.625% 5/21/2013  2,500  2,392 
  International Bank for Reconstruction&Development 5.000% 4/1/2016  7,375  7,359 
  Japan Finance Corp. 4.625% 4/21/2015  5,600  5,442 
  Japan Finance Corp. 5.000% 5/16/2017  3,800  3,749 
  Korea Development Bank 5.750% 9/10/2013  6,675  6,899 
  Korea Electric Power 7.750% 4/1/2013  2,300  2,574 
  Kreditanstalt fur Wiederaufbau 4.125% 10/15/2014  6,475  6,125 
  Kreditanstalt fur Wiederaufbau 5.125% 3/14/2016  24,975  25,104 
  Landwirtschaftliche Rentenbank 4.875% 11/16/2015  6,525  6,506 
  Landwirtschaftliche Rentenbank 5.125% 2/1/2017  7,500  7,603 
  ^ Nordic Investment Bank 5.000% 2/1/2017  3,000  3,022 
  Oesterreichische Kontrollbank 4.500% 3/9/2015  2,600  2,536 
  Oesterreichische Kontrollbank 4.875% 2/16/2016  5,000  4,971 
  Oesterreichische Kontrollbank 5.000% 4/25/2017  2,750  2,738 
  Ontario Hydro Electric 7.450% 3/31/2013  3,000  3,350 
  Pemex Project Funding Master Trust 7.375% 12/15/2014  4,825  5,305 
  Pemex Project Funding Master Trust 5.750% 12/15/2015  11,515  11,515 
  People's Republic of China 4.750% 10/29/2013  5,000  4,915 
  Petrobras International Finance 6.125% 10/6/2016  6,975  7,040 
  Province of Manitoba 7.500% 2/22/2010  1,000  1,061 
  Province of Manitoba 4.900% 12/6/2016  500  493 
  Province of Ontario 4.750% 1/19/2016  16,725  16,356 
  Province of Ontario 5.450% 4/27/2016  7,100  7,281 
  Province of Quebec 4.875% 5/5/2014  5,500  5,490 
  Province of Quebec 4.600% 5/26/2015  4,800  4,606 
  Province of Quebec 5.000% 3/1/2016  2,000  1,966 
  Province of Quebec 5.125% 11/14/2016  9,675  9,589 
  Province of Saskatchewan 7.375% 7/15/2013  1,000  1,112 
  Quebec Hydro Electric 8.000% 2/1/2013  4,500  5,102 
  Quebec Hydro Electric 7.500% 4/1/2016  2,500  2,860 
  Republic of Chile 5.500% 1/15/2013  4,450  4,527 
  Republic of Hungary 4.750% 2/3/2015  7,350  7,046 
  Republic of Italy 4.750% 1/25/2016  17,575  17,211 
  Republic of Italy 5.250% 9/20/2016  26,500  26,842 
  Republic of Italy 5.375% 6/12/2017  7,000  7,168 
  Republic of Korea 4.250% 6/1/2013  10,725  10,277 
  Republic of Korea 4.875% 9/22/2014  250  246 
  Republic of Poland 5.250% 1/15/2014  4,700  4,590 
  Republic of Poland 5.000% 10/19/2015  4,500  4,433 
  Republic of South Africa 6.500% 6/2/2014  5,725  6,038 
  State of Israel 4.625% 6/15/2013  3,550  3,525 
  State of Israel 5.125% 3/1/2014  2,000  1,980 
  State of Israel 5.500% 11/9/2016  4,025  4,061 
  Swedish Export Credit Corp. 5.125% 3/1/2017  3,000  3,028 
  United Mexican States 6.375% 1/16/2013  6,574  6,909 
  United Mexican States 5.875% 1/15/2014  9,325  9,600 
  United Mexican States 6.625% 3/3/2015  14,200  15,208 
  United Mexican States 11.375% 9/15/2016  1,725  2,441 
  United Mexican States 5.625% 1/15/2017  12,525  12,544 
  Total Sovereign Bonds
  (Cost $449,847)       450,729
  Taxable Municipal Bond (0.0%)
  Wisconsin Public Service Rev.
  (Cost $1,347) 4.800% 5/1/2013  1,350  1,320 
Shares
  Temporary Cash Investment (1.0%)        
4 Vanguard Market Liquidity Fund
  (Cost $70,625) 5.153% 70,624,780 70,625
  Total Investments (99.7%)
  (Cost $6,710,220)          6,717,733 
  Other Assets and Liabilities—Net (0.3%)          18,725 
  Net Assets (100%)          6,736,458 

^ Part of security position is on loan to broker-dealers.
1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2007, the aggregate value of these securities was $50,976,000, representing 0.8% of net assets.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

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

At September 30, 2007, the cost of investment securities for tax purposes was $6,710,220,000. Net unrealized appreciation of investment securities for tax purposes was $7,513,000, consisting of unrealized gains of $73,293,000 on securities that had risen in value since their purchase and $65,780,000 in unrealized losses on securities that had fallen in value since their purchase.

Vanguard Long-Term Bond Index Fund
Schedule of Investments
September 30, 2007

Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  U.S. Government and Agency Obligations (49.1%)        
  U.S. Government Securities (42.4%)
  U.S. Treasury Bond 8.750% 5/15/17  3,865  5,094 
  U.S. Treasury Bond 8.875% 8/15/17  21,280  28,366 
  U.S. Treasury Bond 8.875% 2/15/19  6,215  8,452 
  U.S. Treasury Bond 8.125% 8/15/19  7,735  10,069 
  U.S. Treasury Bond 8.500% 2/15/20  26,025  34,963 
  U.S. Treasury Bond 8.750% 5/15/20  51,575  70,722 
  U.S. Treasury Bond 8.750% 8/15/20  68,900  94,716 
  U.S. Treasury Bond 7.875% 2/15/21  39,280  50,941 
  U.S. Treasury Bond 8.125% 5/15/21  2,165  2,868 
  U.S. Treasury Bond 8.125% 8/15/21  57,900  76,889 
  U.S. Treasury Bond 8.000% 11/15/21  53,995  71,197 
  U.S. Treasury Bond 7.250% 8/15/22  2,795  3,493 
  U.S. Treasury Bond 7.625% 11/15/22  33,775  43,670 
  U.S. Treasury Bond 7.125% 2/15/23  68,500  85,004 
  U.S. Treasury Bond 6.250% 8/15/23  50  57 
  U.S. Treasury Bond 7.500% 11/15/24  300  390 
  U.S. Treasury Bond 7.625% 2/15/25  46,950  61,828 
  U.S. Treasury Bond 6.875% 8/15/25  23,475  28,948 
  U.S. Treasury Bond 6.000% 2/15/26  375  425 
  U.S. Treasury Bond 6.750% 8/15/26  50,040  61,346 
  U.S. Treasury Bond 6.500% 11/15/26  800  958 
  U.S. Treasury Bond 6.625% 2/15/27  33,730  40,971 
  U.S. Treasury Bond 6.375% 8/15/27  47,265  56,083 
  U.S. Treasury Bond 6.125% 11/15/27  250  289 
  U.S. Treasury Bond 5.500% 8/15/28  6,100  6,584 
  U.S. Treasury Bond 5.250% 11/15/28  670  702 
  U.S. Treasury Bond 5.250% 2/15/29  800  839 
  U.S. Treasury Bond 6.125% 8/15/29  3,930  4,585 
  U.S. Treasury Bond 6.250% 5/15/30  14,030  16,678 
  U.S. Treasury Bond 5.375% 2/15/31  116,430  124,635 
  U.S. Treasury Bond 4.500% 2/15/36  57,655  54,619 
  U.S. Treasury Bond 4.750% 2/15/37  9,040  8,911 
  U.S. Treasury Note 4.500% 2/15/09  400  403 
  U.S. Treasury Note 4.750% 2/28/09  8,850  8,940 
        1,064,635
  Agency Bonds and Notes (6.7%)
  1 Federal Home Loan Bank 5.375% 5/15/19  7,250  7,398 
  1 Federal Home Loan Bank 5.125% 8/15/19  500  499 
  1 Federal Home Loan Bank 5.250% 12/11/20  6,000  6,034 
  1 Federal Home Loan Bank 5.625% 6/11/21  2,500  2,593 
  1 Federal Home Loan Bank 5.625% 3/14/36  1,000  1,036 
  1 Federal Home Loan Bank 5.500% 7/15/36  3,700  3,816 
  1 Federal Home Loan Mortgage Corp. 5.000% 12/14/18  7,150  7,018 
  1 Federal Home Loan Mortgage Corp. 6.750% 9/15/29  7,700  9,165 
  1 Federal Home Loan Mortgage Corp. 6.750% 3/15/31  12,900  15,441 
  1 Federal Home Loan Mortgage Corp. 6.250% 7/15/32  12,175  13,822 
  1 Federal National Mortgage Assn. 0.000% 10/9/19  8,300  4,478 
  1 Federal National Mortgage Assn. 6.250% 5/15/29  8,250  9,278 
  1 Federal National Mortgage Assn. 7.125% 1/15/30  13,475  16,717 
  1 Federal National Mortgage Assn. 7.250% 5/15/30  15,435  19,431 
  1 Federal National Mortgage Assn. 6.625% 11/15/30  15,100  17,824 
  1 Federal National Mortgage Assn. 5.625% 7/15/37  2,325  2,414 
  1 Federal National Mortgage Assn. 6.210% 8/6/38  1,000  1,120 
  State of Israel (U.S. Government Guaranteed) 5.500% 9/18/23  1,375  1,418 
  State of Israel (U.S. Government Guaranteed) 5.500% 12/4/23  5,325  5,459 
  State of Israel (U.S. Government Guaranteed) 5.500% 4/26/24  2,900  2,968 
  1 Tennessee Valley Auth. 6.250% 12/15/17  2,600  2,847 
  1 Tennessee Valley Auth. 6.750% 11/1/25  4,500  5,242 
  1 Tennessee Valley Auth. 7.125% 5/1/30  3,250  4,052 
  1 Tennessee Valley Auth. 4.650% 6/15/35  2,825  2,573 
  1 Tennessee Valley Auth. 5.880% 4/1/36  1,000  1,089 
  1 Tennessee Valley Auth. 6.150% 1/15/38  2,450  2,724 
  1 Tennessee Valley Auth. 5.375% 4/1/56  1,850  1,843 
        168,299
  Total U.S. Government and Agency Obligations
  (Cost $1,196,548)       1,232,934
  Corporate Bonds (44.4%)
  Asset-Backed Securities (0.1%)
2,3 Citicorp Lease Pass-Through Trust 8.040% 12/15/19  450  523 
  2 PSE&G Transition Funding LLC 6.890% 12/15/17  2,500  2,787 
        3,310
  Finance (12.3%)
  Banking (5.5%)
  ABN AMRO Bank NV 4.650% 6/4/18  2,250  2,016 
  Abbey National PLC 7.950% 10/26/29  3,925  4,777 
  Associates Corp. of North America 6.950% 11/1/18  1,150  1,247 
  BAC Capital Trust XI 6.625% 5/23/36  2,075  2,097 
  BB&T Corp. 5.250% 11/1/19  1,000  935 
  BB&T Corp. 6.750% 6/7/36  4,225  4,256 
  Banc One Corp. 7.750% 7/15/25  2,000  2,291 
  Banc One Corp. 7.625% 10/15/26  4,350  4,947 
  Bank of America Corp. 4.375% 12/1/10  900  887 
  Bank of America Corp. 5.375% 8/15/11  2,225  2,242 
  Bank of America Corp. 5.375% 6/15/14  600  596 
  Bank of America Corp. 5.125% 11/15/14  575  563 
  Bank of America Corp. 6.000% 9/1/17  1,900  1,938 
  Bank of America Corp. 5.625% 3/8/35  4,975  4,397 
  Bank of America Corp. 6.000% 10/15/36  4,675  4,586 
  Bank of America Corp. 6.500% 9/15/37  1,600  1,593 
  2 Barclays Bank PLC 6.278% 12/29/49  750  653 
  Citigroup, Inc. 3.500% 2/1/08  1,000  997 
  Citigroup, Inc. 6.625% 6/15/32  2,750  2,882 
  Citigroup, Inc. 5.875% 2/22/33  3,750  3,608 
  Citigroup, Inc. 6.000% 10/31/33  2,200  2,146 
  Citigroup, Inc. 5.850% 12/11/34  2,300  2,206 
  Citigroup, Inc. 6.125% 8/25/36  5,425  5,413 
  Citigroup, Inc. 5.875% 5/29/37  1,375  1,332 
  Compass Bank 5.900% 4/1/26  1,075  972 
  Credit Suisse First Boston USA, Inc. 7.125% 7/15/32  2,100  2,327 
  Deutsche Bank Financial, Inc. 6.000% 9/1/17  7,300  7,399 
  Fifth Third Bank 4.500% 6/1/18  1,550  1,367 
  First Union Institutional Capital I 8.040% 12/1/26  500  520 
  Fleet Capital Trust II 7.920% 12/11/26  1,150  1,196 
  Fleet Financial Group, Inc. 6.875% 1/15/28  400  423 
  HSBC Bank USA 5.875% 11/1/34  4,100  3,895 
  HSBC Bank USA 5.625% 8/15/35  5,300  4,819 
  HSBC Holdings PLC 7.625% 5/17/32  1,050  1,158 
  HSBC Holdings PLC 7.350% 11/27/32  200  214 
  HSBC Holdings PLC 6.500% 5/2/36  1,575  1,593 
  HSBC Holdings PLC 6.500% 9/15/37  1,250  1,250 
  JP Morgan Chase Capital XXII 6.450% 2/2/37  2,650  2,456 
  JPM Capital Trust 6.550% 9/29/36  3,375  3,171 
  JPMorgan Capital Trust 5.875% 3/15/35  2,350  2,097 
  JPMorgan Chase & Co. 3.625% 5/1/08  500  497 
  JPMorgan Chase&Co. 5.850% 8/1/35  425  378 
  JPMorgan Chase&Co. 6.800% 10/1/37  3,150  3,142 
  Key Bank NA 6.950% 2/1/28  2,768  2,810 
  NB Capital Trust IV 8.250% 4/15/27  400  416 
  National City Corp. 6.875% 5/15/19  1,700  1,796 
  NationsBank Corp. 6.800% 3/15/28  375  396 
  PNC Bank NA 4.875% 9/21/17  1,500  1,388 
  Regions Bank 6.450% 6/26/37  2,000  2,062 
  2 Regions Financial Corp. 6.625% 5/15/47  1,550  1,472 
  2 Royal Bank of Scotland Group PLC 7.648% 8/29/49  5,375  5,549 
  State Street Capital Trust 5.250% 10/15/18  1,000  957 
  SunTrust Banks, Inc. 5.450% 12/1/17  2,350  2,284 
  2 Suntrust Capital 6.100% 12/1/66  1,650  1,471 
  Swiss Bank Corp. 7.000% 10/15/15  1,000  1,091 
  Swiss Bank Corp. 7.375% 6/15/17  550  622 
  Wachovia Bank NA 5.850% 2/1/37  3,600  3,411 
  Wachovia Corp. 6.605% 10/1/25  725  731 
  3 Wachovia Corp. 8.000% 12/15/26  2,300  2,392 
  Wachovia Corp. 7.500% 4/15/35  150  167 
  Wachovia Corp. 5.500% 8/1/35  4,000  3,655 
  Wachovia Corp. 6.550% 10/15/35  125  130 
  Washington Mutual Bank 6.750% 5/20/36  100  91 
  Washington Mutual, Inc. 5.250% 9/15/17  3,025  2,780 
  Wells Fargo&Co. 5.375% 2/7/35  2,450  2,233 
  Wells Fargo Bank NA 5.950% 8/26/36  1,850  1,802 
  Wells Fargo Capital X 5.950% 12/15/36  1,650  1,530 
  Brokerage (2.5%)
  Bear Stearns Co., Inc. 6.400% 10/2/17  4,300  4,260 
  Bear Stearns Co., Inc. 4.650% 7/2/18  1,575  1,343 
  Goldman Sachs Group, Inc. 6.250% 9/1/17  5,400  5,516 
  Goldman Sachs Group, Inc. 5.950% 1/15/27  4,600  4,381 
  Goldman Sachs Group, Inc. 6.125% 2/15/33  5,450  5,363 
  Goldman Sachs Group, Inc. 6.345% 2/15/34  7,225  6,707 
  Goldman Sachs Group, Inc. 6.750% 10/1/37  5,600  5,628 
  Jefferies Group Inc. 6.450% 6/8/27  1,500  1,403 
  Jefferies Group Inc. 6.250% 1/15/36  1,400  1,251 
  Lehman Brothers Holdings, Inc. 5.875% 11/15/17  1,425  1,346 
  Lehman Brothers Holdings, Inc. 7.000% 9/27/27  2,050  2,096 
  2 Lehman Brothers Holdings, Inc. 6.000% 5/3/32  1,550  1,423 
  Lehman Brothers Holdings, Inc. 6.875% 7/17/37  3,600  3,592 
  Merrill Lynch&Co., Inc. 6.500% 7/15/18  625  649 
  Merrill Lynch&Co., Inc. 6.875% 11/15/18  4,075  4,341 
  Merrill Lynch&Co., Inc. 6.220% 9/15/26  4,775  4,706 
  Merrill Lynch&Co., Inc. 6.110% 1/29/37  3,500  3,274 
  Morgan Stanley Dean Witter 6.250% 8/9/26  2,525  2,494 
  Morgan Stanley Dean Witter 7.250% 4/1/32  2,025  2,285 
  Finance Companies (1.2%)
  CIT Group, Inc. 6.000% 4/1/36  2,800  2,369 
  Capital One Capital III 7.686% 8/15/36  1,700  1,651 
  Capital One Capital IV 6.745% 2/17/37  1,100  992 
  Capital One Financial 6.750% 9/15/17  2,375  2,430 
  General Electric Capital Corp. 6.750% 3/15/32  15,450  17,115 
  General Electric Capital Corp. 6.150% 8/7/37  4,925  5,040 
  SLM Corp. 5.625% 8/1/33  1,950  1,470 
  Insurance (3.0%)
  ACE Capital Trust II 9.700% 4/1/30  850  1,058 
  AEGON Funding Corp. 5.750% 12/15/20  1,000  972 
  AXA SA 8.600% 12/15/30  3,700  4,426 
  Aetna, Inc. 6.625% 6/15/36  2,350  2,390 
  Allstate Corp. 6.125% 12/15/32  1,250  1,209 
  Allstate Corp. 5.350% 6/1/33  1,950  1,709 
  Allstate Corp. 5.550% 5/9/35  1,700  1,536 
  Allstate Corp. 5.950% 4/1/36  925  878 
  2 Allstate Corp. 6.500% 5/15/57  1,050  1,011 
  Ambac, Inc. 5.950% 12/5/35  1,050  928 
  Ambac, Inc. 6.150% 2/15/37  800  690 
  American General Capital II 8.500% 7/1/30  850  1,034 
  American International Group, Inc. 6.250% 5/1/36  3,075  3,120 
  American International Group, Inc. 6.250% 3/15/37  2,425  2,288 
  Aon Capital Trust 8.205% 1/1/27  1,075  1,170 
  Arch Capital Group Ltd. 7.350% 5/1/34  625  644 
  Assurant, Inc. 6.750% 2/15/34  1,200  1,209 
  CIGNA Corp. 7.875% 5/15/27  500  558 
  CIGNA Corp. 6.150% 11/15/36  2,000  1,899 
  Chubb Corp. 6.000% 5/11/37  1,625  1,562 
  Cincinnati Financial Corp. 6.920% 5/15/28  1,000  1,073 
  Cincinnati Financial Corp. 6.125% 11/1/34  850  831 
  Endurance Specialty Holdings 7.000% 7/15/34  700  692 
  GE Global Insurance Holdings Corp. 6.450% 3/1/19  400  416 
  GE Global Insurance Holdings Corp. 7.000% 2/15/26  1,850  1,985 
  GE Global Insurance Holdings Corp. 7.750% 6/15/30  400  465 
  Genworth Financial, Inc. 6.500% 6/15/34  825  810 
  Hartford Financial Services Group, Inc. 5.950% 10/15/36  650  612 
  Hartford Financial Services Group, Inc. 6.100% 10/1/41  1,200  1,176 
  Humana Inc. 6.300% 8/1/18  750  745 
  Lincoln National Corp. 6.150% 4/7/36  1,475  1,414 
  Loews Corp. 6.000% 2/1/35  800  736 
  MBIA, Inc. 5.700% 12/1/34  1,000  823 
  Marsh&McLennan Cos., Inc. 5.875% 8/1/33  1,500  1,325 
  MetLife, Inc. 6.500% 12/15/32  3,000  3,059 
  MetLife, Inc. 6.375% 6/15/34  2,625  2,636 
  MetLife, Inc. 6.400% 12/15/36  1,950  1,849 
  Nationwide Financial Services 6.750% 5/15/37  1,000  958 
  Principal Financial Group, Inc. 6.050% 10/15/36  1,700  1,635 
  Progressive Corp. 6.625% 3/1/29  1,625  1,679 
  Prudential Financial, Inc. 5.750% 7/15/33  1,000  923 
  Prudential Financial, Inc. 5.400% 6/13/35  1,000  884 
  Prudential Financial, Inc. 5.900% 3/17/36  1,500  1,395 
  Prudential Financial, Inc. 5.700% 12/14/36  950  854 
  St. Paul Travelers Cos., Inc. 6.750% 6/20/36  1,000  1,033 
  Travelers Cos. Inc. 6.250% 6/15/37  2,400  2,324 
  Travelers Property Casualty Corp. 6.375% 3/15/33  1,500  1,488 
  UnitedHealth Group, Inc. 5.800% 3/15/36  1,300  1,219 
  3 UnitedHealth Group, Inc. 6.500% 6/15/37  1,200  1,224 
  WellPoint Inc. 5.950% 12/15/34  1,300  1,203 
  WellPoint Inc. 5.850% 1/15/36  1,975  1,812 
  WellPoint Inc. 6.375% 6/15/37  1,700  1,663 
  XL Capital Ltd. 6.375% 11/15/24  1,150  1,125 
  XL Capital Ltd. 6.250% 5/15/27  1,450  1,372 
  Real Estate Investment Trusts (0.1%)
  National Retail Properties 6.875% 10/15/17  1,125  1,118 
  Realy Income Corp. 6.750% 8/15/19  1,350  1,358 
  Other (0.0%)
  J. Paul Getty Trust 5.875% 10/1/33  750  748 
        308,793
  Industrial (26.1%)
  Basic Industry (1.7%)
  Alcan, Inc. 7.250% 3/15/31  1,250  1,352 
  Alcan, Inc. 6.125% 12/15/33  2,575  2,488 
  Alcoa, Inc. 5.870% 2/23/22  1,250  1,186 
  Alcoa, Inc. 5.900% 2/1/27  4,625  4,331 
  Aluminum Co. of America 6.750% 1/15/28  850  874 
  BHP Finance USA Ltd. 6.420% 3/1/26  500  495 
  Dow Chemical Co. 7.375% 11/1/29  2,525  2,785 
  E.I. du Pont de Nemours&Co. 6.500% 1/15/28  1,175  1,203 
  Eastman Chemical Co. 7.250% 1/15/24  1,300  1,345 
  Eastman Chemical Co. 7.600% 2/1/27  300  321 
  Inco Ltd. 7.200% 9/15/32  1,050  1,095 
  Lubrizol Corp. 6.500% 10/1/34  900  869 
  Monsanto Co. 5.500% 8/15/25  1,350  1,224 
  Newmont Mining 5.875% 4/1/35  1,100  963 
  Placer Dome, Inc. 6.450% 10/15/35  700  696 
  Potash Corp. of Saskatchewan 5.875% 12/1/36  1,750  1,597 
  Reliance Steel&Aluminum 6.850% 11/15/36  350  342 
  2 Rohm&Haas Co. 9.800% 4/15/20  358  438 
  Rohm&Haas Co. 7.850% 7/15/29  1,950  2,190 
  Southern Copper Corp. 7.500% 7/27/35  2,500  2,716 
  Teck Cominco Ltd. 6.125% 10/1/35  1,800  1,683 
  US Steel Corp. 6.650% 6/1/37  725  670 
  Vale Overseas Ltd. 8.250% 1/17/34  1,225  1,458 
  Vale Overseas Ltd. 6.875% 11/21/36  5,975  6,184 
  Westvaco Corp. 8.200% 1/15/30  575  607 
  Westvaco Corp. 7.950% 2/15/31  400  409 
  Weyerhaeuser Co. 6.950% 8/1/17  280  288 
  Weyerhaeuser Co. 8.500% 1/15/25  600  667 
  Weyerhaeuser Co. 7.375% 3/15/32  3,875  3,890 
  Capital Goods (2.1%)
  Boeing Co. 8.750% 8/15/21  300  374 
  Boeing Co. 8.750% 9/15/31  850  1,140 
  Boeing Co. 6.125% 2/15/33  925  935 
  Boeing Co. 6.625% 2/15/38  1,050  1,135 
  CRH America Inc. 6.400% 10/15/33  1,500  1,386 
  Caterpillar, Inc. 6.625% 7/15/28  1,575  1,683 
  Caterpillar, Inc. 7.300% 5/1/31  1,200  1,372 
  Caterpillar, Inc. 6.050% 8/15/36  1,000  997 
  Caterpillar, Inc. 6.950% 5/1/42  1,425  1,567 
  Deere&Co. 8.100% 5/15/30  1,000  1,239 
  Deere&Co. 7.125% 3/3/31  700  796 
  Emerson Electric Co. 4.500% 5/1/13  600  577 
  Emerson Electric Co. 6.000% 8/15/32  400  399 
  Goodrich Corp. 6.800% 7/1/36  1,000  1,078 
  Honeywell International, Inc. 5.700% 3/15/36  2,100  1,937 
  Honeywell International, Inc. 5.700% 3/15/37  1,000  955 
  Lafarge SA 7.125% 7/15/36  2,225  2,315 
  Lockheed Martin Corp. 7.750% 5/1/26  150  177 
  Lockheed Martin Corp. 6.150% 9/1/36  5,200  5,263 
  Masco Corp. 7.750% 8/1/29  150  160 
  Masco Corp. 6.500% 8/15/32  1,275  1,202 
  Minnesota Mining&Manufacturing Corp. 6.375% 2/15/28  500  530 
  Minnesota Mining&Manufacturing Corp. 5.700% 3/15/37  1,975  1,925 
  Northrop Grumman Corp. 7.750% 2/15/31  4,300  5,062 
  Owens Corning, Inc. 7.000% 12/1/36  900  864 
  PACTIV Corp. 7.950% 12/15/25  1,000  1,098 
  Raytheon Co. 6.400% 12/15/18  500  521 
  Raytheon Co. 7.200% 8/15/27  400  446 
  Raytheon Co. 7.000% 11/1/28  1,000  1,094 
  Republic Services, Inc. 6.086% 3/15/35  225  201 
  TRW, Inc. 7.750% 6/1/29  250  293 
  Tyco International Group SA 7.000% 6/15/28  2,675  2,876 
  USA Waste Services, Inc. 7.000% 7/15/28  2,000  2,078 
  United Technologies Corp. 8.875% 11/15/19  545  685 
  United Technologies Corp. 6.700% 8/1/28  250  271 
  United Technologies Corp. 7.500% 9/15/29  1,875  2,215 
  United Technologies Corp. 5.400% 5/1/35  2,100  1,955 
  United Technologies Corp. 6.050% 6/1/36  2,175  2,195 
  WMX Technologies Inc. 7.100% 8/1/26  800  832 
  Waste Management, Inc. 7.750% 5/15/32  875  984 
  Communication (7.9%)
  AT&T Corp. 8.000% 11/15/31  6,000  7,246 
  AT&T Inc. 6.450% 6/15/34  3,975  4,045 
  AT&T Inc. 6.150% 9/15/34  3,300  3,274 
  AT&T Inc. 6.800% 5/15/36  600  642 
  AT&T Inc. 6.500% 9/1/37  4,900  5,057 
  America Movil SA de C.V. 6.375% 3/1/35  2,975  2,901 
  Ameritech Capital Funding 6.550% 1/15/28  1,000  1,001 
  BellSouth Capital Funding 7.875% 2/15/30  4,250  4,927 
  BellSouth Corp. 6.875% 10/15/31  1,275  1,329 
  BellSouth Corp. 6.550% 6/15/34  2,475  2,525 
  BellSouth Corp. 6.000% 11/15/34  1,480  1,417 
  BellSouth Telecommunications 6.375% 6/1/28  4,140  4,156 
  British Telecommunications PLC 9.125% 12/15/30  5,975  7,963 
  CBS Corp. 4.625% 5/15/18  150  130 
  CBS Corp. 7.875% 7/30/30  2,815  3,029 
  CBS Corp. 5.500% 5/15/33  1,025  836 
  CenturyTel Enterprises 6.875% 1/15/28  550  538 
  Cingular Wireless LLC 7.125% 12/15/31  2,425  2,636 
  Comcast Cable Communications Holdings Inc. 9.455% 11/15/22  3,198  4,066 
  Comcast Corp. 6.300% 11/15/17  2,875  2,920 
  Comcast Corp. 5.875% 2/15/18  4,625  4,553 
  Comcast Corp. 7.050% 3/15/33  1,375  1,442 
  Comcast Corp. 5.650% 6/15/35  1,000  891 
  Comcast Corp. 6.500% 11/15/35  3,525  3,471 
  Comcast Corp. 6.450% 3/15/37  1,800  1,772 
  Comcast Corp. 6.950% 8/15/37  4,200  4,413 
  Deutsche Telekom International Finance 8.250% 6/15/30  9,825  12,092 
  Embarq Corp. 7.995% 6/1/36  3,000  3,207 
  France Telecom 8.500% 3/1/31  6,400  8,252 
  GTE Corp. 6.840% 4/15/18  1,000  1,064 
  GTE Corp. 8.750% 11/1/21  900  1,096 
  GTE Corp. 6.940% 4/15/28  2,275  2,377 
  Grupo Televisa SA 6.625% 3/18/25  1,600  1,614 
  Grupo Televisa SA 8.500% 3/11/32  250  302 
  Koninklijke KPN NV 8.375% 10/1/30  1,825  2,112 
  Michigan Bell Telephone Co. 7.850% 1/15/22  1,522  1,740 
  New Cingular Wireless Services 8.750% 3/1/31  5,850  7,412 
  New England Telephone&Telegraph Co. 7.875% 11/15/29  400  444 
  News America Holdings, Inc. 8.150% 10/17/36  1,225  1,435 
  News America Holdings, Inc. 7.750% 12/1/45  1,225  1,368 
  News America Inc. 7.250% 5/18/18  350  378 
  News America Inc. 6.550% 3/15/33  225  222 
  News America Inc. 6.200% 12/15/34  7,400  6,956 
  News America Inc. 6.400% 12/15/35  2,500  2,417 
  Pacific Bell 7.125% 3/15/26  550  579 
  Sprint Capital Corp. 6.900% 5/1/19  2,925  2,946 
  Sprint Capital Corp. 6.875% 11/15/28  7,550  7,348 
  Sprint Capital Corp. 8.750% 3/15/32  3,225  3,701 
  TCI Communications, Inc. 7.875% 2/15/26  2,200  2,416 
  Telecom Italia Capital 6.375% 11/15/33  4,200  3,963 
  Telecom Italia Capital 6.000% 9/30/34  500  463 
  Telecom Italia Capital 7.200% 7/18/36  1,625  1,719 
  Telefonica Emisiones SAU 7.045% 6/20/36  5,150  5,519 
  Telefonica Europe BV 8.250% 9/15/30  2,500  2,954 
  Thomson Corp. 5.500% 8/15/35  650  584 
  3 Time Warner Cable Inc. 6.550% 5/1/37  4,000  3,917 
  Time Warner Entertainment 8.375% 3/15/23  2,733  3,189 
  Time Warner Entertainment 8.375% 7/15/33  1,950  2,281 
  US Cellular 6.700% 12/15/33  950  868 
  US West Communications Group 7.500% 6/15/23  2,300  2,274 
  US West Communications Group 6.875% 9/15/33  2,350  2,186 
  Verizon Communications Corp. 6.250% 4/1/37  2,100  2,117 
  Verizon Global Funding Corp. 7.750% 12/1/30  6,550  7,574 
  Verizon Global Funding Corp. 5.850% 9/15/35  2,775  2,643 
  Verizon Maryland, Inc. 5.125% 6/15/33  500  407 
  Verizon New York, Inc. 7.375% 4/1/32  650  679 
  Vodafone AirTouch PLC 7.875% 2/15/30  1,000  1,153 
  Vodafone Group PLC 4.625% 7/15/18  2,375  2,101 
  Vodafone Group PLC 6.250% 11/30/32  200  195 
  Vodafone Group PLC 6.150% 2/27/37  2,800  2,689 
  Consumer Cyclical (3.3%)
  CVS Corp. 6.250% 6/1/27  1,800  1,750 
  DaimlerChrysler North America Holding Corp. 8.500% 1/18/31  3,975  4,910 
  Federated Department Stores, Inc. 6.900% 4/1/29  150  139 
  Federated Retail Holding 6.375% 3/15/37  1,650  1,524 
  Home Depot Inc. 5.875% 12/16/36  6,325  5,381 
  J.C. Penney Co., Inc. 5.750% 2/15/18  1,025  989 
  J.C. Penney Co., Inc. 7.125% 11/15/23  1,000  1,047 
  J.C. Penney Co., Inc. 6.375% 10/15/36  2,650  2,442 
  J.C. Penney Co., Inc. 7.400% 4/1/37  750  798 
  Johnson Controls, Inc. 6.000% 1/15/36  425  409 
  Kohl's Corp. 6.250% 12/15/17  1,500  1,499 
  Kohl's Corp. 6.000% 1/15/33  400  362 
  Kohl's Corp. 6.875% 12/15/37  1,000  1,003 
  Limited Brands Inc. 6.950% 3/1/33  250  233 
  Limited Brands Inc. 7.600% 7/15/37  750  753 
  Lowe's Cos., Inc. 6.875% 2/15/28  550  573 
  Lowe's Cos., Inc. 6.500% 3/15/29  1,800  1,798 
  Lowe's Cos., Inc. 5.500% 10/15/35  800  705 
  Lowe's Cos., Inc. 5.800% 10/15/36  1,300  1,186 
  Lowe's Cos., Inc. 6.650% 9/15/37  950  970 
  Macy's Retail Holdings Inc. 6.790% 7/15/27  800  723 
  Macy's Retail Holdings Inc. 7.000% 2/15/28  1,100  1,029 
  May Department Stores Co. 6.650% 7/15/24  1,450  1,353 
  Nordstrom, Inc. 6.950% 3/15/28  300  314 
  Pulte Homes, Inc. 7.875% 6/15/32  1,000  899 
  Pulte Homes, Inc. 6.375% 5/15/33  500  372 
  Pulte Homes, Inc. 6.000% 2/15/35  150  105 
  Target Corp. 7.000% 7/15/31  550  593 
  Target Corp. 6.350% 11/1/32  3,000  2,988 
  The Walt Disney Co. 7.000% 3/1/32  2,500  2,814 
  Time Warner, Inc. 9.150% 2/1/23  1,980  2,412 
  Time Warner, Inc. 7.570% 2/1/24  500  542 
  Time Warner, Inc. 6.625% 5/15/29  6,975  6,891 
  Time Warner, Inc. 7.625% 4/15/31  6,435  7,013 
  Time Warner, Inc. 7.700% 5/1/32  2,040  2,257 
  Time Warner, Inc. 6.500% 11/15/36  2,100  2,036 
  Viacom Inc. 6.875% 4/30/36  3,075  3,073 
  Wal-Mart Stores, Inc. 5.875% 4/5/27  5,000  4,872 
  Wal-Mart Stores, Inc. 7.550% 2/15/30  3,525  4,077 
  Wal-Mart Stores, Inc. 5.250% 9/1/35  2,850  2,496 
  Wal-Mart Stores, Inc. 6.500% 8/15/37  5,500  5,699 
  Western Union Co. 6.200% 11/17/36  1,350  1,299 
  Consumer Noncyclical (4.9%)
  3 Amgen Inc. 6.375% 6/1/37  2,125  2,065 
  Anheuser-Busch Cos., Inc. 6.800% 8/20/32  3,125  3,377 
  Anheuser-Busch Cos., Inc. 5.950% 1/15/33  650  636 
  Anheuser-Busch Cos., Inc. 5.750% 4/1/36  975  933 
  Anheuser-Busch Cos., Inc. 6.450% 9/1/37  1,275  1,325 
  Archer-Daniels-Midland Co. 7.500% 3/15/27  350  406 
  Archer-Daniels-Midland Co. 6.625% 5/1/29  250  266 
  Archer-Daniels-Midland Co. 7.000% 2/1/31  2,625  2,930 
  Archer-Daniels-Midland Co. 5.935% 10/1/32  255  250 
  Archer-Daniels-Midland Co. 5.375% 9/15/35  2,750  2,532 
  AstraZeneca PLC 6.450% 9/15/37  7,700  8,013 
  Bristol-Myers Squibb Co. 7.150% 6/15/23  1,950  2,146 
  Bristol-Myers Squibb Co. 6.800% 11/15/26  239  258 
  Bristol-Myers Squibb Co. 5.875% 11/15/36  2,700  2,585 
  Bristol-Myers Squibb Co. 6.875% 8/1/97  200  205 
  C.R. Bard, Inc. 6.700% 12/1/26  500  503 
  Cardinal Health, Inc. 5.850% 12/15/17  725  719 
  Coca-Cola Enterprises Inc. 8.500% 2/1/22  2,000  2,474 
  Coca-Cola Enterprises Inc. 8.000% 9/15/22  500  597 
  Coca-Cola Enterprises Inc. 7.000% 10/1/26  1,550  1,698 
  Coca-Cola Enterprises Inc. 6.950% 11/15/26  4,275  4,661 
  ConAgra Foods, Inc. 9.750% 3/1/21  129  166 
  ConAgra Foods, Inc. 7.125% 10/1/26  1,150  1,213 
  ConAgra Foods, Inc. 7.000% 10/1/28  175  183 
  ConAgra Foods, Inc. 8.250% 9/15/30  950  1,122 
  Diageo Capital PLC 5.875% 9/30/36  500  476 
  Eli Lilly&Co. 7.125% 6/1/25  1,000  1,099 
  Eli Lilly&Co. 5.500% 3/15/27  3,700  3,497 
  Eli Lilly&Co. 5.550% 3/15/37  850  794 
  Estee Lauder Ace Trust I 6.000% 5/15/37  1,025  989 
  Fortune Brands Inc. 5.875% 1/15/36  925  835 
  Genentech Inc. 5.250% 7/15/35  1,025  923 
  GlaxoSmithKline Capital Inc. 5.375% 4/15/34  1,850  1,679 
  Grand Metropolitan Investment Corp. 7.450% 4/15/35  1,750  1,904 
  H.J. Heinz Co. 6.750% 3/15/32  1,100  1,110 
  H.J. Heinz Co. 6.375% 7/15/28  525  512 
  Johnson&Johnson 6.950% 9/1/29  1,125  1,278 
  Johnson&Johnson 4.950% 5/15/33  1,325  1,169 
  Johnson&Johnson 5.950% 8/15/37  1,975  2,014 
  Kellogg Co. 7.450% 4/1/31  2,600  2,971 
  Kimberly-Clark Corp. 6.250% 7/15/18  675  692 
  Kimberly-Clark Corp. 6.625% 8/1/37  2,150  2,291 
  Kraft Foods, Inc. 6.500% 11/1/31  2,150  2,106 
  Kraft Foods, Inc. 7.000% 8/11/37  1,725  1,807 
  Kroger Co. 7.700% 6/1/29  375  403 
  Kroger Co. 8.000% 9/15/29  1,925  2,116 
  Kroger Co. 7.500% 4/1/31  1,250  1,369 
  Merck&Co. 6.300% 1/1/26  500  503 
  Merck&Co. 6.400% 3/1/28  2,200  2,237 
  Merck&Co. 5.950% 12/1/28  1,050  1,019 
  Merck&Co. 5.750% 11/15/36  250  234 
  Pepsi Bottling Group, Inc. 7.000% 3/1/29  2,925  3,222 
  Pharmacia Corp. 6.500% 12/1/18  750  807 
  Pharmacia Corp. 6.600% 12/1/28  2,000  2,175 
  Philip Morris Cos., Inc. 7.750% 1/15/27  1,800  2,213 
  Procter&Gamble Co. 6.450% 1/15/26  1,600  1,701 
  Procter&Gamble Co. 5.800% 8/15/34  600  594 
  Procter&Gamble Co. 5.550% 3/5/37  4,650  4,442 
  2 Procter&Gamble Co. ESOP 9.360% 1/1/21  2,265  2,814 
  Quest Diagnostic, Inc. 6.950% 7/1/37  1,350  1,396 
  Reynolds American Inc. 7.250% 6/15/37  2,100  2,195 
  Safeway, Inc. 7.250% 2/1/31  1,756  1,873 
  Schering-Plough Corp. 6.750% 12/1/33  2,825  2,979 
  Schering-Plough Corp. 6.550% 9/15/37  1,900  1,945 
  Sysco Corp. 5.375% 9/21/35  1,000  889 
  Teva Pharmaceutical Finance LLC 6.150% 2/1/36  2,400  2,274 
  Unilever Capital Corp. 5.900% 11/15/32  3,925  3,844 
  Wyeth 6.450% 2/1/24  2,225  2,258 
  Wyeth 6.500% 2/1/34  1,125  1,152 
  Wyeth 6.000% 2/15/36  3,075  2,957 
  Wyeth 5.950% 4/1/37  3,650  3,517 
  Energy (3.9%)
  Alberta Energy Co. Ltd. 7.375% 11/1/31  1,000  1,087 
  Amerada Hess Corp. 7.875% 10/1/29  3,850  4,420 
  Amerada Hess Corp. 7.125% 3/15/33  925  998 
  Anadarko Finance Co. 7.500% 5/1/31  1,500  1,606 
  Anadarko Petroleum Corp. 6.450% 9/15/36  6,125  6,084 
  Apache Corp. 6.000% 1/15/37  1,950  1,910 
  Apache Finance Canada 7.750% 12/15/29  650  765 
  Baker Hughes, Inc. 6.875% 1/15/29  1,000  1,080 
  Burlington Resources, Inc. 7.200% 8/15/31  1,050  1,191 
  Burlington Resources, Inc. 7.400% 12/1/31  1,675  1,931 
  Canadian Natural Resources 7.200% 1/15/32  1,400  1,483 
  Canadian Natural Resources 6.450% 6/30/33  850  845 
  Canadian Natural Resources 6.500% 2/15/37  1,975  1,954 
  Canadian Natural Resources 6.250% 3/15/38  2,750  2,659 
  Conoco Funding Co. 7.250% 10/15/31  400  450 
  ConocoPhillips 5.900% 10/15/32  1,050  1,019 
  ConocoPhillips Canada 5.950% 10/15/36  1,750  1,703 
  Devon Energy Corp. 7.950% 4/15/32  250  300 
  Devon Financing Corp. 7.875% 9/30/31  4,400  5,184 
  Encana Corp. 6.500% 8/15/34  3,800  3,862 
  Encana Corp. 6.625% 8/15/37  900  916 
  Global Marine, Inc. 7.000% 6/1/28  800  827 
  Husky Energy Inc. 6.150% 6/15/19  510  505 
  Kerr McGee Corp. 6.950% 7/1/24  2,000  2,025 
  Kerr McGee Corp. 7.875% 9/15/31  500  568 
  Lasmo Inc. 7.300% 11/15/27  600  704 
  Marathon Oil Corp. 6.000% 10/1/17  1,425  1,433 
  Marathon Oil Corp. 6.800% 3/15/32  1,850  1,950 
  Marathon Oil Corp. 6.600% 10/1/37  1,650  1,694 
  Nexen, Inc. 7.875% 3/15/32  550  643 
  Nexen, Inc. 5.875% 3/10/35  1,850  1,696 
  Nexen, Inc. 6.400% 5/15/37  3,300  3,206 
  Noble Energy Inc. 8.000% 4/1/27  775  885 
  Norsk Hydro 7.250% 9/23/27  3,150  3,600 
  Norsk Hydro 7.150% 1/15/29  1,000  1,132 
  Petro-Canada 7.875% 6/15/26  150  172 
  Petro-Canada 7.000% 11/15/28  250  266 
  Petro-Canada 5.350% 7/15/33  1,650  1,425 
  Petro-Canada 5.950% 5/15/35  2,500  2,358 
  Suncor Energy, Inc. 7.150% 2/1/32  800  896 
  Suncor Energy, Inc. 5.950% 12/1/34  875  852 
  Suncor Energy, Inc. 6.500% 6/15/38  2,250  2,298 
  Talisman Energy, Inc. 7.250% 10/15/27  450  475 
  Talisman Energy, Inc. 5.850% 2/1/37  2,700  2,442 
  Tosco Corp. 8.125% 2/15/30  7,500  9,077 
  Transocean Sedco Forex, Inc. 7.500% 4/15/31  1,525  1,692 
  Valero Energy Corp. 7.500% 4/15/32  2,450  2,703 
  Valero Energy Corp. 6.625% 6/15/37  3,225  3,268 
  Weatherford International Inc. 6.500% 8/1/36  1,500  1,479 
  3 Weatherford International Inc. 6.800% 6/15/37  700  734 
  XTO Energy, Inc. 6.100% 4/1/36  1,125  1,077 
  XTO Energy, Inc. 6.750% 8/1/37  3,525  3,658 
  Technology (0.7%)
  Corning Inc. 7.250% 8/15/36  600  635 
  Dell Inc. 7.100% 4/15/28  500  528 
  Electronic Data Systems 7.450% 10/15/29  375  379 
  Equifax Inc. 6.300% 7/1/17  650  656 
  Equifax Inc. 7.000% 7/1/37  600  601 
  International Business Machines Corp. 7.000% 10/30/25  1,050  1,161 
  International Business Machines Corp. 6.220% 8/1/27  4,600  4,641 
  International Business Machines Corp. 6.500% 1/15/28  2,800  2,915 
  International Business Machines Corp. 5.875% 11/29/32  500  494 
  International Business Machines Corp. 7.125% 12/1/96  400  438 
  Motorola, Inc. 7.500% 5/15/25  225  234 
  Motorola, Inc. 6.500% 9/1/25  1,300  1,249 
  Motorola, Inc. 6.500% 11/15/28  975  929 
  Pitney Bowes, Inc. 4.750% 5/15/18  2,000  1,810 
  Pitney Bowes, Inc. 5.250% 1/15/37  450  423 
  Science Applications International Corp. 5.500% 7/1/33  500  416 
  Transportation (1.6%)
  Burlington Northern Santa Fe Corp. 7.000% 12/15/25  700  738 
  Burlington Northern Santa Fe Corp. 7.950% 8/15/30  1,300  1,524 
  Burlington Northern Santa Fe Corp. 6.200% 8/15/36  1,425  1,385 
  Burlington Northern Santa Fe Corp. 6.150% 5/1/37  1,950  1,895 
  CNF, Inc. 6.700% 5/1/34  700  645 
  CSX Corp. 6.250% 3/15/18  600  601 
  CSX Corp. 7.950% 5/1/27  675  771 
  CSX Corp. 6.000% 10/1/36  1,175  1,090 
  CSX Corp. 6.150% 5/1/37  1,000  958 
  Canadian National Railway Co. 6.800% 7/15/18  1,025  1,108 
  Canadian National Railway Co. 6.250% 8/1/34  1,850  1,823 
  Canadian National Railway Co. 6.200% 6/1/36  1,325  1,334 
  Canadian National Railway Co. 6.375% 11/15/37  600  608 
  Canadian Pacific Rail 7.125% 10/15/31  2,075  2,151 
  Canadian Pacific Rail 5.950% 5/15/37  1,000  922 
  2 Continental Airlines, Inc. 6.648% 9/15/17  2,387  2,387 
  2 Continental Airlines, Inc. 6.900% 1/2/18  1,286  1,312 
  2 Continental Airlines, Inc. 6.545% 2/2/19  990  995 
  2 Continental Airlines, Inc. 5.983% 4/19/22  1,500  1,455 
  Federal Express Corp. 7.600% 7/1/97  1,000  1,087 
  Norfolk Southern Corp. 9.750% 6/15/20  411  535 
  Norfolk Southern Corp. 5.590% 5/17/25  716  653 
  Norfolk Southern Corp. 7.800% 5/15/27  2,802  3,219 
  Norfolk Southern Corp. 5.640% 5/17/29  698  635 
  Norfolk Southern Corp. 7.250% 2/15/31  1,009  1,113 
  Norfolk Southern Corp. 7.050% 5/1/37  1,575  1,690 
  Norfolk Southern Corp. 7.900% 5/15/97  450  533 
  2 Southwest Airlines Co. 6.150% 8/1/22  850  850 
  Union Pacific Corp. 7.125% 2/1/28  600  650 
  Union Pacific Corp. 6.625% 2/1/29  1,125  1,140 
  Union Pacific Corp. 6.150% 5/1/37  1,000  962 
  Union Pacific Railroad Co. 6.176% 1/2/31  950  961 
  2 United Air Lines Inc. 6.636% 7/2/22  1,600  1,568 
  United Parcel Service of America 8.375% 4/1/30  500  643 
  United Parcel Service of America 8.375% 4/1/20  500  627 
  Other (0.0%)
  Dover Corp. 5.375% 10/15/35  350  317 
  Rockwell International Corp. 6.700% 1/15/28  300  327 
        656,084
  Utilities (5.9%)
  Electric (4.5%)
  AEP Texas Central Co. 6.650% 2/15/33  1,950  1,940 
  Alabama Power Co. 5.500% 10/15/17  2,425  2,392 
  AmerenEnergy Generating 7.950% 6/1/32  1,750  2,002 
  Appalachian Power Co. 5.800% 10/1/35  350  321 
  Baltimore Gas&Electric Co. 6.350% 10/1/36  1,075  1,066 
  Bruce Mansfield Unit 6.850% 6/1/34  2,450  2,490 
  CenterPoint Energy Houston 6.950% 3/15/33  925  989 
  Cleveland Electric Illumination Co. 7.880% 11/1/17  250  283 
  Cleveland Electric Illumination Co. 5.950% 12/15/36  1,000  929 
  Columbus Southern Power 5.850% 10/1/35  800  757 
  Commonwealth Edison Co. 5.875% 2/1/33  250  233 
  Commonwealth Edison Co. 5.900% 3/15/36  1,500  1,396 
  Connecticut Light&Power Co. 6.350% 6/1/36  750  733 
  Consolidated Edison Co. of New York 5.300% 3/1/35  1,125  976 
  Consolidated Edison Co. of New York 5.850% 3/15/36  1,875  1,759 
  Consolidated Edison Co. of New York 6.200% 6/15/36  550  551 
  Consolidated Edison Co. of New York 6.300% 8/15/37  850  857 
  Constellation Energy Group, Inc. 7.600% 4/1/32  1,800  1,984 
  Consumers Energy Co. 5.650% 4/15/20  1,250  1,219 
  DTE Energy Co. 6.375% 4/15/33  800  783 
  Detroit Edison Co. 5.700% 10/1/37  500  473 
  Dominion Resources, Inc. 6.300% 3/15/33  2,150  2,112 
  Dominion Resources, Inc. 5.950% 6/15/35  1,150  1,073 
  Duke Energy Carolinas 6.100% 6/1/37  825  807 
  Duke Energy Corp. 6.000% 12/1/28  1,000  973 
  Duke Energy Corp. 6.450% 10/15/32  1,050  1,075 
  El Paso Electric Co. 6.000% 5/15/35  1,400  1,312 
  Energy East Corp. 6.750% 7/15/36  1,425  1,473 
  Exelon Corp. 5.625% 6/15/35  475  428 
  FirstEnergy Corp. 7.375% 11/15/31  5,850  6,422 
  Florida Power&Light Co. 5.950% 10/1/33  950  929 
  Florida Power&Light Co. 5.625% 4/1/34  1,174  1,098 
  Florida Power&Light Co. 4.950% 6/1/35  775  655 
  Florida Power&Light Co. 5.400% 9/1/35  1,875  1,695 
  Florida Power&Light Co. 6.200% 6/1/36  150  153 
  Florida Power&Light Co. 5.650% 2/1/37  500  468 
  Florida Power&Light Co. 5.850% 5/1/37  625  602 
  Florida Power Corp. 6.350% 9/15/37  475  487 
  Georgia Power Co. 5.650% 3/1/37  575  529 
  Indiana Michigan Power Co. 6.050% 3/15/37  1,925  1,831 
  Kansas City Power&Light 6.050% 11/15/35  500  475 
  MidAmerican Energy Co. 6.750% 12/30/31  1,800  1,904 
  MidAmerican Energy Co. 5.750% 11/1/35  850  795 
  MidAmerican Energy Co. 5.800% 10/15/36  875  833 
  MidAmerican Energy Holdings Co. 8.480% 9/15/28  300  366 
  MidAmerican Energy Holdings Co. 6.125% 4/1/36  6,050  5,887 
  MidAmerican Energy Holdings Co. 5.950% 5/15/37  1,600  1,513 
  3 MidAmerican Energy Holdings Co. 6.500% 9/15/37  2,500  2,486 
  National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/32  2,400  2,857 
  NiSource Finance Corp. 5.250% 9/15/17  1,025  949 
  NiSource Finance Corp. 6.400% 3/15/18  1,450  1,464 
  NiSource Finance Corp. 5.450% 9/15/20  725  657 
  Northern States Power Co. 5.250% 7/15/35  1,175  1,065 
  Northern States Power Co. 6.250% 6/1/36  725  756 
  Northern States Power Co. 6.200% 7/1/37  1,050  1,083 
  Ohio Power Co. 6.600% 2/15/33  400  408 
  Oncor Electric Delivery Co. 7.000% 9/1/22  1,675  1,717 
  Oncor Electric Delivery Co. 7.000% 5/1/32  2,025  2,051 
  Oncor Electric Delivery Co. 7.250% 1/15/33  325  337 
  PPL Energy Supply LLC 6.000% 12/15/36  1,350  1,192 
  PSE&G Power LLC 8.625% 4/15/31  400  492 
  PSI Energy Inc. 6.120% 10/15/35  600  576 
  PacifiCorp 7.700% 11/15/31  400  472 
  PacifiCorp 5.250% 6/15/35  1,150  1,001 
  PacifiCorp 5.750% 4/1/37  1,000  934 
  Pacific Gas&Electric Co. 6.050% 3/1/34  7,350  7,197 
  Pacific Gas&Electric Co. 5.800% 3/1/37  1,825  1,726 
  3 Pennsylvania Electric Co. 6.050% 9/1/17  350  349 
  Pepco Holdings, Inc. 7.450% 8/15/32  300  337 
  Progress Energy, Inc. 7.750% 3/1/31  1,725  1,991 
  Progress Energy, Inc. 7.000% 10/30/31  925  982 
  Public Service Co. of Colorado 6.250% 9/1/37  825  837 
  Public Service Electric&Gas 5.250% 7/1/35  675  595 
  Public Service Electric&Gas 5.800% 5/1/37  2,325  2,173 
  Puget Sound Energy Inc. 5.483% 6/1/35  825  730 
  Puget Sound Energy Inc. 6.274% 3/15/37  1,425  1,407 
  South Carolina Electric&Gas Co. 6.625% 2/1/32  500  532 
  South Carolina Electric&Gas Co. 5.300% 5/15/33  1,850  1,655 
  Southern California Edison Co. 6.650% 4/1/29  700  738 
  Southern California Edison Co. 6.000% 1/15/34  1,125  1,107 
  Southern California Edison Co. 5.750% 4/1/35  400  380 
  Southern California Edison Co. 5.350% 7/15/35  2,250  2,019 
  Southern California Edison Co. 5.625% 2/1/36  1,100  1,035 
  Southern California Edison Co. 5.550% 1/15/37  600  554 
  Tampa Electric Co. 6.550% 5/15/36  450  465 
  Toledo Edison Co. 6.150% 5/15/37  600  561 
  United Utilities PLC 5.375% 2/1/19  1,000  958 
  United Utilities PLC 6.875% 8/15/28  375  398 
  Virginia Electric&Power Co. 6.000% 1/15/36  900  871 
  Virginia Electric&Power Co. 6.000% 5/15/37  1,650  1,597 
  Wisconsin Electric Power Co. 5.625% 5/15/33  450  417 
  Wisconsin Electric Power Co. 5.700% 12/1/36  1,675  1,564 
  Xcel Energy, Inc. 6.500% 7/1/36  650  634 
  Natural Gas (1.4%)
  AGL Capital Corp. 6.000% 10/1/34  850  796 
  Duke Capital Corp. 8.000% 10/1/19  425  476 
  Duke Capital Corp. 6.750% 2/15/32  1,705  1,681 
  Duke Energy Field Services 8.125% 8/16/30  500  567 
  El Paso Natural Gas Co. 8.375% 6/15/32  1,350  1,582 
  Energy Transfer Partners LP 6.625% 10/15/36  1,125  1,070 
  Enterprise Products Operating LP 6.300% 9/15/17  1,600  1,606 
  Enterprise Products Operating LP 6.875% 3/1/33  875  890 
  Enterprise Products Operating LP 6.650% 10/15/34  900  899 
  KeySpan Corp. 8.000% 11/15/30  1,175  1,410 
  Kinder Morgan Energy Partners LP 7.750% 3/15/32  500  544 
  Kinder Morgan Energy Partners LP 7.300% 8/15/33  1,000  1,037 
  Kinder Morgan Energy Partners LP 5.800% 3/15/35  1,675  1,483 
  Kinder Morgan Energy Partners LP 6.500% 2/1/37  1,350  1,295 
  Kinder Morgan Energy Partners LP 6.950% 1/15/38  1,000  1,014 
  ONEOK Inc. 6.000% 6/15/35  975  895 
  ONEOK Partners, LP 6.650% 10/1/36  2,550  2,553 
  ONEOK Partners, LP 6.850% 10/15/37  1,200  1,209 
  Plains All American Pipeline LP 6.650% 1/15/37  1,175  1,166 
  San Diego Gas&Electric 5.350% 5/15/35  1,775  1,589 
  Southern California Gas Co. 5.750% 11/15/35  75  72 
  Southern Natural Gas 7.350% 2/15/31  1,350  1,421 
  Southern Union Co. 7.600% 2/1/24  500  532 
  Southern Union Co. 8.250% 11/15/29  1,000  1,122 
  Tennessee Gas Pipeline 7.000% 10/15/28  2,650  2,697 
  Texas Eastern Transmission 7.000% 7/15/32  700  754 
  Trans-Canada Pipelines 5.600% 3/31/34  1,725  1,647 
  Trans-Canada Pipelines 5.850% 3/15/36  2,575  2,481 
        148,822
  Total Corporate Bonds
  (Cost $1,143,174)       1,117,009
  Sovereign Bonds (U.S. Dollar-Denominated) (3.9%)
  Asian Development Bank 5.593% 7/16/18  3,400  3,517 
  European Investment Bank 4.875% 2/15/36  1,400  1,305 
  Inter-American Development Bank 7.000% 6/15/25  750  886 
  International Bank for Reconstruction&Development 7.625% 1/19/23  1,807  2,245 
  International Bank for Reconstruction&Development 8.875% 3/1/26  1,000  1,400 
  International Bank for Reconstruction&Development 4.750% 2/15/35  2,225  2,051 
  Korea Electric Power 7.000% 2/1/27  750  831 
  Kreditanstalt fur Wiederaufbau 0.000% 4/18/36  6,200  1,303 
  Kreditanstalt fur Wiederaufbau 0.000% 6/29/37  6,275  1,294 
  Pemex Project Funding Master Trust 8.625% 2/1/22  3,075  3,790 
  Pemex Project Funding Master Trust 6.625% 6/15/35  4,900  5,059 
  Petrobras International Finance 8.375% 12/10/18  1,500  1,755 
  Province of British Columbia 6.500% 1/15/26  1,500  1,692 
  Province of Manitoba 9.250% 4/1/20  1,500  2,020 
  Province of Nova Scotia 9.125% 5/1/21  1,280  1,744 
  Province of Quebec 4.875% 5/5/14  500  499 
  Province of Quebec 7.500% 7/15/23  600  725 
  Province of Quebec 7.125% 2/9/24  3,800  4,392 
  Province of Quebec 7.500% 9/15/29  2,950  3,614 
  Province of Saskatchewan 7.375% 7/15/13  600  667 
  Quebec Hydro Electric 9.400% 2/1/21  1,480  2,025 
  Quebec Hydro Electric 8.400% 1/15/22  775  1,002 
  Quebec Hydro Electric 8.050% 7/7/24  5,000  6,326 
  Quebec Hydro Electric 8.500% 12/1/29  500  673 
  Region of Lombardy, Italy 5.804% 10/25/32  2,375  2,443 
  Republic of Finland 6.950% 2/15/26  195  231 
  Republic of Italy 6.875% 9/27/23  6,600  7,526 
  Republic of Italy 5.375% 6/15/33  5,750  5,620 
  Republic of Korea 5.625% 11/3/25  900  889 
  Republic of South Africa 5.875% 5/30/22  3,000  2,941 
  United Mexican States 8.125% 12/30/19  6,750  8,191 
  United Mexican States 8.300% 8/15/31  1,425  1,831 
  United Mexican States 6.750% 9/27/34  16,325  17,811 
  Total Sovereign Bonds
  (Cost $97,800)       98,298
  Taxable Municipal Bonds (1.3%)
  Illinois (Taxable Pension) GO 4.950% 6/1/23  1,700  1,598 
  Illinois (Taxable Pension) GO 5.100% 6/1/33  20,850  19,530 
  Kansas Dev. Finance Auth. Rev. (Public Employee Retirement System) 5.501% 5/1/34  500  492 
  New Jersey Econ. Dev. Auth. State Pension Rev. 7.425% 2/15/29  1,250  1,509 
  New Jersey Turnpike Auth. Rev. 4.252% 1/1/16  30  28 
  New Jersey Turnpike Auth. Rev. 4.252% 1/1/16  570  536 
  Oregon (Taxable Pension) GO 5.762% 6/1/23  600  602 
  Oregon (Taxable Pension) GO 5.892% 6/1/27  1,850  1,911 
  Oregon School Board Assn. 4.759% 6/30/28  1,850  1,661 
  Oregon School Board Assn. 5.528% 6/30/28  1,500  1,488 
  Tobbacco Settlement Finance Auth. Rev. 7.467% 6/1/47  3,900  3,799 
  Wisconsin Public Service Rev. 5.700% 5/1/26  900  899 
  Total Taxable Municipal Bonds
  (Cost $34,292)       34,053
           Shares   
  Temporary Cash Investment (0.7%)
  4 Vanguard Market Liquidity Fund
  (Cost $17,129)   5.153% 17,128,845 17,129
  Total Investments (99.4%)
  (Cost $2,488,943)       2,499,423
  Other Assets and Liabilities - Net (0.6%)       14,100
  Net Assets (100%)       2,513,523

1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2007, the aggregate value of these securities was $13,690,000, representing 0.5% of net assets.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO - General Obligation Bond.

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

At September 30, 2007, the cost of investment securities for tax purposes was $2,488,943,000. Net unrealized appreciation of investment securities for tax purposes was $10,480,000, consisting of unrealized gains of $51,808,000 on securities that had risen in value since their purchase and $41,328,000 in unrealized losses on securities that had fallen in value since their purchase.

Vanguard Total Bond Market Index Fund
Schedule of Investments
September 30, 2007

Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  U.S. Government and Agency Obligations (71.1%)        
  U.S. Government Securities (25.1%)
  U.S. Treasury Bond 10.375% 11/15/2012  4,375  4,406 
  U.S. Treasury Bond 3.625% 5/15/2013  82,725  80,127 
  U.S. Treasury Bond 12.000% 8/15/2013  131,800  140,388 
  U.S. Treasury Bond 13.250% 5/15/2014  7,000  7,985 
  U.S. Treasury Bond 4.000% 2/15/2015  381,975  371,650 
  U.S. Treasury Bond 11.250% 2/15/2015  122,275  174,127 
  U.S. Treasury Bond 10.625% 8/15/2015  43,925  61,694 
  U.S. Treasury Bond 9.875% 11/15/2015  47,375  64,585 
  U.S. Treasury Bond 9.250% 2/15/2016  8,525  11,322 
  U.S. Treasury Bond 7.250% 5/15/2016  116,875  139,209 
  U.S. Treasury Bond 7.500% 11/15/2016  257,469  312,825 
  U.S. Treasury Bond 8.750% 5/15/2017  305,390  402,495 
  U.S. Treasury Bond 8.875% 8/15/2017  236,010  314,594 
  U.S. Treasury Bond 9.125% 5/15/2018  1,000  1,369 
  U.S. Treasury Bond 8.875% 2/15/2019  700  952 
  U.S. Treasury Bond 8.125% 8/15/2019  108,895  141,751 
  U.S. Treasury Bond 8.500% 2/15/2020  46,715  62,759 
  U.S. Treasury Bond 8.750% 5/15/2020  40,575  55,638 
  U.S. Treasury Bond 8.750% 8/15/2020  294,125  404,331 
  U.S. Treasury Bond 7.875% 2/15/2021  45,357  58,823 
  U.S. Treasury Bond 8.125% 5/15/2021  4,525  5,994 
  U.S. Treasury Bond 8.125% 8/15/2021  164,625  218,617 
  U.S. Treasury Bond 8.000% 11/15/2021  86,120  113,557 
  U.S. Treasury Bond 7.625% 11/15/2022  92,130  119,121 
  U.S. Treasury Bond 7.125% 2/15/2023  60,150  74,643 
  U.S. Treasury Bond 7.625% 2/15/2025  82,125  108,149 
  U.S. Treasury Bond 6.875% 8/15/2025  127,200  156,854 
  U.S. Treasury Bond 6.000% 2/15/2026  82,750  93,701 
  U.S. Treasury Bond 6.750% 8/15/2026  349,355  428,288 
  U.S. Treasury Bond 6.500% 11/15/2026  775  928 
  U.S. Treasury Bond 6.625% 2/15/2027  22,710  27,586 
  U.S. Treasury Bond 6.375% 8/15/2027  8,525  10,115 
  U.S. Treasury Bond 6.125% 11/15/2027  2,000  2,313 
  U.S. Treasury Bond 5.250% 11/15/2028  3,710  3,889 
  U.S. Treasury Bond 5.250% 2/15/2029  30,825  32,309 
  U.S. Treasury Bond 6.125% 8/15/2029  54,590  63,683 
  U.S. Treasury Bond 6.250% 5/15/2030  41,525  49,363 
  U.S. Treasury Bond 5.375% 2/15/2031  191,220  204,695 
  U.S. Treasury Bond 4.500% 2/15/2036  5,905  5,594 
  U.S. Treasury Bond 4.750% 2/15/2037  23,985  23,644 
  U.S. Treasury Note 4.375% 1/31/2008  21,826  21,850 
  U.S. Treasury Note 4.875% 4/30/2008  34,145  34,278 
  U.S. Treasury Note 2.625% 5/15/2008  74,435  73,738 
  U.S. Treasury Note 3.750% 5/15/2008  46,325  46,202 
  U.S. Treasury Note 5.625% 5/15/2008  78,420  79,106 
  U.S. Treasury Note 5.125% 6/30/2008  11,000  11,076 
  U.S. Treasury Note 5.000% 7/31/2008  71,420  71,900 
  U.S. Treasury Note 4.625% 9/30/2008  140,875  141,602 
  U.S. Treasury Note 3.125% 10/15/2008  259,075  256,686 
  U.S. Treasury Note 4.875% 10/31/2008  336,550  339,390 
  U.S. Treasury Note 3.375% 11/15/2008  32,725  32,500 
  U.S. Treasury Note 4.375% 11/15/2008  57,650  57,866 
  U.S. Treasury Note 4.750% 11/15/2008  5,300  5,343 
  U.S. Treasury Note 4.750% 12/31/2008  106,125  107,037 
  U.S. Treasury Note 3.250% 1/15/2009  51,150  50,694 
  U.S. Treasury Note 4.875% 1/31/2009  83,540  84,466 
  U.S. Treasury Note 4.500% 2/15/2009  149,460  150,440 
  U.S. Treasury Note 2.625% 3/15/2009  9,150  8,976 
  U.S. Treasury Note 4.500% 3/31/2009  157,800  158,958 
  U.S. Treasury Note 3.125% 4/15/2009  174,295  172,116 
  U.S. Treasury Note 4.500% 4/30/2009  403,575  406,856 
  U.S. Treasury Note 3.875% 5/15/2009  87,865  87,728 
  U.S. Treasury Note 4.875% 5/15/2009  106,350  107,862 
  U.S. Treasury Note 4.875% 5/31/2009  257,475  261,177 
  U.S. Treasury Note 4.000% 6/15/2009  92,545  92,574 
  U.S. Treasury Note 4.875% 6/30/2009  147,500  149,689 
  U.S. Treasury Note 3.625% 7/15/2009  172,805  171,779 
  U.S. Treasury Note 3.500% 8/15/2009  101,350  100,479 
  U.S. Treasury Note 4.875% 8/15/2009  112,900  114,682 
  U.S. Treasury Note 6.000% 8/15/2009  33,325  34,528 
  U.S. Treasury Note 3.375% 10/15/2009  126,870  125,383 
  U.S. Treasury Note 4.625% 11/15/2009  67,975  68,846 
  U.S. Treasury Note 3.500% 12/15/2009  93,575  92,610 
  U.S. Treasury Note 3.500% 2/15/2010  158,175  156,321 
  U.S. Treasury Note 6.500% 2/15/2010  697,025  736,017 
  U.S. Treasury Note 4.000% 3/15/2010  83,450  83,463 
  U.S. Treasury Note 4.000% 4/15/2010  27,975  27,970 
  U.S. Treasury Note 3.875% 5/15/2010  2,200  2,193 
  U.S. Treasury Note 3.625% 6/15/2010  10,750  10,653 
  U.S. Treasury Note 4.125% 8/15/2010  4,346  4,359 
  U.S. Treasury Note 3.875% 9/15/2010  18,975  18,895 
  U.S. Treasury Note 4.250% 10/15/2010  2,675  2,691 
  U.S. Treasury Note 4.500% 11/15/2010  4,400  4,459 
  U.S. Treasury Note 4.500% 2/28/2011  77,590  78,644 
  U.S. Treasury Note 4.750% 3/31/2011  4,400  4,496 
  U.S. Treasury Note 4.875% 4/30/2011  173,200  177,665 
  U.S. Treasury Note 4.875% 5/31/2011  142,250  145,961 
  U.S. Treasury Note 5.125% 6/30/2011  14,075  14,563 
  U.S. Treasury Note 4.875% 7/31/2011  307,675  315,751 
  U.S. Treasury Note 4.500% 9/30/2011  572,395  579,819 
  U.S. Treasury Note 4.625% 10/31/2011  428,145  435,569 
  U.S. Treasury Note 4.500% 11/30/2011  263,175  266,465 
  U.S. Treasury Note 4.625% 12/31/2011  200  203 
  U.S. Treasury Note 4.750% 1/31/2012  35  36 
  U.S. Treasury Note 4.625% 2/29/2012  145,570  148,117 
  U.S. Treasury Note 4.500% 3/31/2012  60,325  61,042 
  U.S. Treasury Note 4.500% 4/30/2012  55,510  56,178 
  U.S. Treasury Note 4.750% 5/31/2012  298,005  304,662 
  U.S. Treasury Note 4.125% 8/31/2012  54,605  54,358 
  U.S. Treasury Note 3.875% 2/15/2013  480  472 
  U.S. Treasury Note 4.250% 8/15/2013  57,600  57,519 
  U.S. Treasury Note 4.250% 11/15/2013  116,725  116,397 
  U.S. Treasury Note 4.000% 2/15/2014  78,400  76,943 
  U.S. Treasury Note 4.750% 5/15/2014  171,000  174,875 
  U.S. Treasury Note 4.250% 8/15/2014  341,450  338,889 
  U.S. Treasury Note 4.250% 11/15/2014  168,175  166,572 
  U.S. Treasury Note 4.250% 8/15/2015  1,375  1,355 
  U.S. Treasury Note 4.500% 11/15/2015  825  826 
  U.S. Treasury Note 5.125% 5/15/2016  1,425  1,484 
  U.S. Treasury Note 4.875% 8/15/2016  725  742 
  U.S. Treasury Note 4.750% 8/15/2017  3,305  3,349 
        12,902,463
  Agency Bonds and Notes (8.9%)
  Agency for International Development - Egypt (U.S. Government Guaranteed) 4.450% 9/15/2015  15,150  14,725 
  1 Federal Farm Credit Bank 3.750% 1/15/2009  9,775  9,690 
  1 Federal Farm Credit Bank 4.125% 4/15/2009  9,150  9,104 
  1 Federal Farm Credit Bank 5.250% 8/3/2009  15,225  15,422 
  1 Federal Farm Credit Bank 5.000% 10/23/2009  5,000  5,071 
  1 Federal Farm Credit Bank 5.250% 9/13/2010  5,200  5,328 
  1 Federal Farm Credit Bank 5.375% 7/18/2011  28,750  29,741 
  1 Federal Farm Credit Bank 4.500% 10/17/2012  4,100  4,078 
  1 Federal Farm Credit Bank 4.875% 12/16/2015  1,575  1,565 
  1 Federal Farm Credit Bank 5.125% 8/25/2016  10,325  10,366 
  1 Federal Farm Credit Bank 4.875% 1/17/2017  9,500  9,371 
  1 Federal Home Loan Bank 5.000% 2/20/2009  75,000  75,500 
  1 Federal Home Loan Bank 4.750% 4/24/2009  75,000  75,407 
  1 Federal Home Loan Bank 5.790% 4/27/2009  900  917 
  1 Federal Home Loan Bank 5.375% 7/17/2009  19,700  20,035 
  1 Federal Home Loan Bank 5.250% 8/5/2009  5,025  5,098 
  1 Federal Home Loan Bank 5.000% 9/18/2009  5,000  5,058 
  1 Federal Home Loan Bank 4.500% 10/9/2009  100,000  100,205 
  1 Federal Home Loan Bank 5.000% 12/11/2009  4,200  4,244 
  1 Federal Home Loan Bank 3.875% 1/15/2010  112,200  110,937 
  1 Federal Home Loan Bank 4.375% 3/17/2010  20,000  20,000 
  1 Federal Home Loan Bank 4.875% 5/14/2010  4,600  4,655 
  1 Federal Home Loan Bank 7.625% 5/14/2010  71,925  77,438 
  1 Federal Home Loan Bank 5.375% 8/19/2011  41,425  42,749 
  1 Federal Home Loan Bank 4.875% 11/18/2011  5,750  5,794 
  1 Federal Home Loan Bank 5.750% 5/15/2012  25,400  26,636 
  1 Federal Home Loan Bank 3.875% 6/14/2013  30,625  29,433 
  1 Federal Home Loan Bank 5.375% 6/14/2013  15,000  15,456 
  1 Federal Home Loan Bank 5.125% 8/14/2013  82,200  83,721 
  1 Federal Home Loan Bank 5.250% 9/13/2013  2,500  2,563 
  1 Federal Home Loan Bank 4.500% 9/16/2013  83,300  82,489 
  1 Federal Home Loan Bank 5.500% 8/13/2014  89,425  92,997 
  1 Federal Home Loan Bank 5.375% 5/18/2016  23,850  24,573 
  1 Federal Home Loan Bank 5.625% 6/13/2016  2,950  3,062 
  1 Federal Home Loan Bank 4.750% 12/16/2016  99,175  97,653 
  1 Federal Home Loan Bank 4.875% 5/17/2017  29,600  29,366 
  1 Federal Home Loan Bank 5.250% 12/11/2020  9,225  9,278 
  1 Federal Home Loan Bank 5.500% 7/15/2036  11,000  11,345 
  1 Federal Home Loan Mortgage Corp. 2.750% 3/15/2008  25  25 
  1 Federal Home Loan Mortgage Corp. 5.125% 10/15/2008  7,050  7,094 
  1 Federal Home Loan Mortgage Corp. 4.875% 2/17/2009  75,000  75,452 
  1 Federal Home Loan Mortgage Corp. 5.750% 3/15/2009  50,000  50,930 
  1 Federal Home Loan Mortgage Corp. 3.375% 4/15/2009  100,000  98,482 
  1 Federal Home Loan Mortgage Corp. 3.750% 5/12/2009  3,130  3,094 
  1 Federal Home Loan Mortgage Corp. 5.250% 5/21/2009  58,400  59,169 
  1 Federal Home Loan Mortgage Corp. 5.000% 6/11/2009  215,675  217,519 
  1 Federal Home Loan Mortgage Corp. 6.625% 9/15/2009  36,065  37,555 
  1 Federal Home Loan Mortgage Corp. 7.000% 3/15/2010  81,425  86,289 
  1 Federal Home Loan Mortgage Corp. 4.125% 7/12/2010  127,947  127,101 
  1 Federal Home Loan Mortgage Corp. 6.875% 9/15/2010  38,683  41,322 
  1 Federal Home Loan Mortgage Corp. 4.750% 1/18/2011  12,050  12,167 
  1 Federal Home Loan Mortgage Corp. 6.000% 6/15/2011  33,800  35,571 
  1 Federal Home Loan Mortgage Corp. 5.250% 7/18/2011  15,000  15,415 
  1 Federal Home Loan Mortgage Corp. 5.750% 1/15/2012  85,000  88,762 
  1 Federal Home Loan Mortgage Corp. 5.125% 7/15/2012  40,145  41,006 
  1 Federal Home Loan Mortgage Corp. 5.500% 8/20/2012  50,000  51,896 
  1 Federal Home Loan Mortgage Corp. 4.500% 1/15/2013  81,325  80,683 
  1 Federal Home Loan Mortgage Corp. 4.500% 7/15/2013  11,800  11,670 
  1 Federal Home Loan Mortgage Corp. 4.875% 11/15/2013  114,925  115,924 
  1 Federal Home Loan Mortgage Corp. 5.000% 7/15/2014  90,650  91,951 
  1 Federal Home Loan Mortgage Corp. 0.000% 11/24/2014  9,500  6,675 
  1 Federal Home Loan Mortgage Corp. 4.750% 1/19/2016  52,200  51,637 
  1 Federal Home Loan Mortgage Corp. 5.250% 4/18/2016  75,000  76,663 
  1 Federal Home Loan Mortgage Corp. 5.000% 4/18/2017  10,000  10,008 
  1 Federal Home Loan Mortgage Corp. 5.000% 12/14/2018  29,521  28,976 
  1 Federal Home Loan Mortgage Corp. 6.750% 9/15/2029  14,000  16,664 
  1 Federal Home Loan Mortgage Corp. 6.750% 3/15/2031  68,750  82,293 
  1 Federal National Mortgage Assn. 3.250% 11/15/2007  20  20 
  1 Federal National Mortgage Assn. 4.500% 10/15/2008  15,525  15,525 
  1 Federal National Mortgage Assn. 3.375% 12/15/2008  36,550  36,073 
  1 Federal National Mortgage Assn. 5.250% 1/15/2009  45,050  45,524 
  1 Federal National Mortgage Assn. 3.250% 2/15/2009  10  10 
  1 Federal National Mortgage Assn. 4.875% 4/15/2009  7,000  7,050 
  1 Federal National Mortgage Assn. 4.250% 5/15/2009  31,450  31,388 
  1 Federal National Mortgage Assn. 6.375% 6/15/2009  49,412  51,023 
  1 Federal National Mortgage Assn. 5.125% 7/13/2009  100,000  101,061 
  1 Federal National Mortgage Assn. 6.625% 9/15/2009  174,315  181,551 
  1 Federal National Mortgage Assn. 7.250% 1/15/2010  89,090  94,542 
  1 Federal National Mortgage Assn. 3.875% 2/15/2010  52,700  52,098 
  1 Federal National Mortgage Assn. 4.125% 5/15/2010  20,000  19,822 
  1 Federal National Mortgage Assn. 7.125% 6/15/2010  25  27 
  1 Federal National Mortgage Assn. 6.250% 2/1/2011  16,665  17,527 
  1 Federal National Mortgage Assn. 5.125% 4/15/2011  24,000  24,526 
  1 Federal National Mortgage Assn. 6.000% 5/15/2011  42,500  44,653 
  1 Federal National Mortgage Assn. 5.000% 10/15/2011  86,925  88,419 
  1 Federal National Mortgage Assn. 6.125% 3/15/2012  87,705  93,148 
  1 Federal National Mortgage Assn. 4.875% 5/18/2012  18,425  18,619 
  1 Federal National Mortgage Assn. 4.375% 9/15/2012  23,425  23,205 
  1 Federal National Mortgage Assn. 4.750% 2/21/2013  5,000  5,012 
  1 Federal National Mortgage Assn. 4.375% 3/15/2013  36,815  36,351 
  1 Federal National Mortgage Assn. 4.625% 5/1/2013  15,850  15,708 
  1 Federal National Mortgage Assn. 4.625% 10/15/2013  90,625  89,992 
  1 Federal National Mortgage Assn. 5.125% 1/2/2014  3,925  3,980 
  1 Federal National Mortgage Assn. 4.125% 4/15/2014  75,000  72,313 
  1 Federal National Mortgage Assn. 4.625% 10/15/2014  50,000  49,426 
  1 Federal National Mortgage Assn. 5.000% 4/15/2015  20,000  20,189 
  1 Federal National Mortgage Assn. 4.375% 10/15/2015  50,000  48,309 
  1 Federal National Mortgage Assn. 8.200% 3/10/2016  50  61 
  1 Federal National Mortgage Assn. 5.250% 9/15/2016  58,975  60,290 
  1 Federal National Mortgage Assn. 4.875% 12/15/2016  6,475  6,435 
  1 Federal National Mortgage Assn. 5.000% 2/13/2017  53,425  53,625 
  1 Federal National Mortgage Assn. 5.000% 5/11/2017  50,000  50,116 
  1 Federal National Mortgage Assn. 6.250% 5/15/2029  1,375  1,546 
  1 Federal National Mortgage Assn. 7.125% 1/15/2030  805  999 
  1 Federal National Mortgage Assn. 7.250% 5/15/2030  92,001  115,817 
  1 Federal National Mortgage Assn. 6.625% 11/15/2030  17,460  20,610 
  1 Federal National Mortgage Assn. 5.625% 7/15/2037  5,650  5,866 
  Private Export Funding Corp. 7.200% 1/15/2010  31,825  33,691 
  Resolution Funding Corp. (U.S. Government Guaranteed) 8.125% 10/15/2019  550  698 
  Resolution Funding Corp. (U.S. Government Guaranteed) 8.875% 7/15/2020  280  376 
  Resolution Funding Corp. (U.S. Government Guaranteed) 8.625% 1/15/2030  110  158 
  Small Business Administration Variable Rate Interest Only Custodial Receipts (U.S. Government Guaranteed) 2.719% 7/15/2017  4,449  222 
  State of Israel (U.S. Government Guaranteed) 5.500% 9/18/2023  5,525  5,699 
  State of Israel (U.S. Government Guaranteed) 5.500% 12/4/2023  3,900  3,998 
  State of Israel (U.S. Government Guaranteed) 5.500% 4/26/2024  3,000  3,070 
  1 Tennessee Valley Auth. 5.375% 11/13/2008  31,425  31,721 
  1 Tennessee Valley Auth. 5.500% 7/18/2017  20,800  21,517 
  1 Tennessee Valley Auth. 7.125% 5/1/2030  32,625  40,680 
  1 Tennessee Valley Auth. 4.650% 6/15/2035  4,400  4,007 
  1 Tennessee Valley Auth. 5.375% 4/1/2056  7,150  7,124 
        4,548,480
  Mortgage-Backed Securities (37.1%)
  Conventional Mortgage-Backed Securities (34.0%)
  1,2 Federal Home Loan Mortgage Corp. 4.000% 3/1/2008-2/1/2021  187,484  178,863 
  1,2 Federal Home Loan Mortgage Corp. 4.500% 1/1/2008-9/1/2035  538,057  516,815 
  1,2 Federal Home Loan Mortgage Corp. 5.000% 11/1/2007-10/1/2037  1,782,162  1,714,746 
  1,2 Federal Home Loan Mortgage Corp. 5.500% 11/1/2008-10/1/2037  2,812,068  2,759,971 
  1,2 Federal Home Loan Mortgage Corp. 6.000% 7/1/2008-10/1/2037  1,185,624  1,189,700 
  1,2 Federal Home Loan Mortgage Corp. 6.500% 12/1/2007-2/1/2037  227,808  232,957 
  1,2 Federal Home Loan Mortgage Corp. 7.000% 10/1/2007-1/1/2037  59,411  61,551 
  1,2 Federal Home Loan Mortgage Corp. 7.500% 1/1/2008-2/1/2032  12,857  13,383 
  1,2 Federal Home Loan Mortgage Corp. 8.000% 4/1/2008-1/1/2032  9,407  9,940 
  1,2 Federal Home Loan Mortgage Corp. 8.500% 4/1/2010-7/1/2031  1,619  1,719 
  1,2 Federal Home Loan Mortgage Corp. 9.000% 7/1/2016-3/1/2031  1,077  1,154 
  1,2 Federal Home Loan Mortgage Corp. 9.500% 4/1/2016-6/1/2025  261  276 
  1,2 Federal Home Loan Mortgage Corp. 10.000% 7/1/2009-4/1/2025  78  83 
  1,2 Federal Home Loan Mortgage Corp. 10.500% 12/1/2015  1  1 
  1,2 Federal National Mortgage Assn. 4.000% 9/1/2010-6/1/2019  103,942  99,565 
  1,2 Federal National Mortgage Assn. 4.500% 2/1/2010-4/1/2037  866,115  831,720 
  1,2 Federal National Mortgage Assn. 5.000% 9/1/2009-7/1/2037  2,541,656  2,448,132 
  1,2 Federal National Mortgage Assn. 5.500% 11/1/2008-8/1/2037  2,569,103  2,528,063 
  1,2 Federal National Mortgage Assn. 6.000% 7/1/2008-10/1/2037  2,126,645  2,134,087 
  1,2 Federal National Mortgage Assn. 6.500% 3/1/2008-9/1/2037  661,177  674,723 
  1,2 Federal National Mortgage Assn. 7.000% 10/1/2007-10/1/2037  228,103  235,744 
  1,2 Federal National Mortgage Assn. 7.500% 1/1/2008-12/1/2032  17,373  18,108 
  1,2 Federal National Mortgage Assn. 8.000% 10/1/2007-9/1/2031  5,201  5,499 
  1,2 Federal National Mortgage Assn. 8.500% 10/1/2009-5/1/2032  1,946  2,062 
  1,2 Federal National Mortgage Assn. 9.000% 5/1/2008-8/1/2030  468  500 
  1,2 Federal National Mortgage Assn. 9.500% 7/1/2010-11/1/2025  581  625 
  1,2 Federal National Mortgage Assn. 10.000% 10/1/2014-11/1/2019  142  150 
  1,2 Federal National Mortgage Assn. 10.500% 5/1/2010-8/1/2020  13  14 
  1,2 Federal National Mortgage Assn. 11.000% 9/1/2019  8  9 
  2 Government National Mortgage Assn. 4.000% 8/15/2018-9/15/2018  1,998  1,895 
  2 Government National Mortgage Assn. 4.500% 6/15/2018-3/15/2036  36,638  34,832 
  2 Government National Mortgage Assn. 5.000% 11/15/2017-6/20/2037  346,483  335,847 
  2 Government National Mortgage Assn. 5.500% 3/15/2015-9/20/2037  616,760  608,183 
  2 Government National Mortgage Assn. 6.000% 3/15/2009-10/1/2037  536,726  539,935 
  2 Government National Mortgage Assn. 6.500% 12/15/2007-8/20/2037  197,926  202,481 
  2 Government National Mortgage Assn. 7.000% 1/15/2008-9/15/2036  32,271  33,522 
  2 Government National Mortgage Assn. 7.250% 9/15/2025  53  56 
  2 Government National Mortgage Assn. 7.500% 12/15/2007-6/15/2032  11,688  12,251 
  2 Government National Mortgage Assn. 7.750% 2/15/2030  8  8 
  2 Government National Mortgage Assn. 8.000% 12/15/2007-12/15/2030  7,940  8,404 
  2 Government National Mortgage Assn. 8.500% 5/15/2010-3/15/2031  1,717  1,827 
  2 Government National Mortgage Assn. 9.000% 10/15/2008-2/15/2031  3,797  4,026 
  2 Government National Mortgage Assn. 9.500% 5/15/2016-9/15/2025  835  896 
  2 Government National Mortgage Assn. 10.000% 2/15/2018-2/15/2025  337  365 
  2 Government National Mortgage Assn. 10.500% 7/15/2015-4/15/2025  243  263 
  2 Government National Mortgage Assn. 11.000% 1/15/2010-11/15/2015  37  39 
  2 Government National Mortgage Assn. 11.500% 3/15/2010-4/15/2016  41  44 
  Nonconventional Mortgage-Backed Securities (3.1%)
  1,2 Federal Home Loan Mortgage Corp. 4.090% 4/1/2035  1,132  1,113 
  1,2 Federal Home Loan Mortgage Corp. 4.276% 4/1/2036  24,040  23,916 
  1,2 Federal Home Loan Mortgage Corp. 4.336% 11/1/2033  11,719  11,695 
  1,2 Federal Home Loan Mortgage Corp. 4.597% 11/1/2034  18,740  18,510 
  1,2 Federal Home Loan Mortgage Corp. 4.622% 4/1/2035  13,024  12,978 
  1,2 Federal Home Loan Mortgage Corp. 4.656% 7/1/2035  16,061  15,800 
  1,2 Federal Home Loan Mortgage Corp. 4.659% 12/1/2035  18,754  18,689 
  1,2 Federal Home Loan Mortgage Corp. 4.704% 12/1/2034  8,011  8,005 
  1,2 Federal Home Loan Mortgage Corp. 4.793% 7/1/2035  31,185  30,874 
  1,2 Federal Home Loan Mortgage Corp. 4.983% 5/1/2035  21,502  21,352 
  1,2 Federal Home Loan Mortgage Corp. 5.268% 3/1/2036  22,642  22,626 
  1,2 Federal Home Loan Mortgage Corp. 5.301% 3/1/2037  17,532  17,561 
  1,2 Federal Home Loan Mortgage Corp. 5.308% 12/1/2036  16,683  16,739 
  1,2 Federal Home Loan Mortgage Corp. 5.426% 3/1/2037  16,056  16,091 
  1,2 Federal Home Loan Mortgage Corp. 5.429% 1/1/2037  12,003  12,056 
  1,2 Federal Home Loan Mortgage Corp. 5.458% 4/1/2037  25,993  26,059 
  1,2 Federal Home Loan Mortgage Corp. 5.490% 2/1/2036  18,750  18,743 
  1,2 Federal Home Loan Mortgage Corp. 5.581% 5/1/2036  27,114  27,481 
  1,2 Federal Home Loan Mortgage Corp. 5.589% 6/1/2037  10,774  10,852 
  1,2 Federal Home Loan Mortgage Corp. 5.616% 4/1/2037  18,905  19,042 
  1,2 Federal Home Loan Mortgage Corp. 5.710% 12/1/2036  28,490  28,796 
  1,2 Federal Home Loan Mortgage Corp. 5.712% 3/1/2037  37,630  38,017 
  1,2 Federal Home Loan Mortgage Corp. 5.773% 5/1/2036  22,575  22,851 
  1,2 Federal Home Loan Mortgage Corp. 5.828% 6/1/2037  13,490  13,559 
  1,2 Federal Home Loan Mortgage Corp. 5.854% 4/1/2037  52,942  53,344 
  1,2 Federal Home Loan Mortgage Corp. 5.874% 5/1/2037  28,132  28,110 
  1,2 Federal Home Loan Mortgage Corp. 5.892% 6/1/2037  19,701  19,822 
  1,2 Federal National Mortgage Assn. 4.000% 7/1/2035  12,235  11,845 
  1,2 Federal National Mortgage Assn. 4.135% 5/1/2034  12,460  12,240 
  1,2 Federal National Mortgage Assn. 4.423% 8/1/2035  36,518  36,079 
  1,2 Federal National Mortgage Assn. 4.426% 4/1/2036  19,433  19,466 
  1,2 Federal National Mortgage Assn. 4.573% 1/1/2035  14,985  14,908 
  1,2 Federal National Mortgage Assn. 4.589% 11/1/2034  30,713  30,075 
  1,2 Federal National Mortgage Assn. 4.599% 12/1/2034  19,662  19,442 
  1,2 Federal National Mortgage Assn. 4.605% 10/1/2036  12,229  12,310 
  1,2 Federal National Mortgage Assn. 4.641% 11/1/2033  11,333  11,219 
  1,2 Federal National Mortgage Assn. 4.653% 9/1/2034  8,759  8,636 
  1,2 Federal National Mortgage Assn. 4.657% 8/1/2035  23,338  23,044 
  1,2 Federal National Mortgage Assn. 4.700% 10/1/2034  14,632  14,497 
  1,2 Federal National Mortgage Assn. 4.729% 9/1/2035  13,969  13,826 
  1,2 Federal National Mortgage Assn. 4.733% 8/1/2035  11,325  11,246 
  1,2 Federal National Mortgage Assn. 4.742% 5/1/2035  7,470  7,452 
  1,2 Federal National Mortgage Assn. 4.753% 9/1/2034  6,767  6,761 
  1,2 Federal National Mortgage Assn. 4.759% 6/1/2034  10,903  10,873 
  1,2 Federal National Mortgage Assn. 4.780% 4/1/2036  37,128  37,339 
  1,2 Federal National Mortgage Assn. 4.781% 10/1/2034  20,865  20,805 
  1,2 Federal National Mortgage Assn. 4.827% 4/1/2037  15,833  15,852 
  1,2 Federal National Mortgage Assn. 4.863% 12/1/2035  28,987  28,836 
  1,2 Federal National Mortgage Assn. 4.886% 7/1/2035  18,675  18,561 
  1,2 Federal National Mortgage Assn. 4.955% 7/1/2035  8,662  8,708 
  1,2 Federal National Mortgage Assn. 4.970% 10/1/2035  28,266  28,384 
  1,2 Federal National Mortgage Assn. 4.978% 11/1/2034  6,317  6,329 
  1,2 Federal National Mortgage Assn. 5.054% 11/1/2035  28,583  28,441 
  1,2 Federal National Mortgage Assn. 5.081% 12/1/2035  33,164  33,010 
  1,2 Federal National Mortgage Assn. 5.090% 2/1/2036  13,393  13,364 
  1,2 Federal National Mortgage Assn. 5.110% 1/1/2036  18,055  18,105 
  1,2 Federal National Mortgage Assn. 5.138% 12/1/2035  36,035  36,059 
  1,2 Federal National Mortgage Assn. 5.289% 3/1/2037  20,173  20,257 
  1,2 Federal National Mortgage Assn. 5.465% 2/1/2036  22,776  22,823 
  1,2 Federal National Mortgage Assn. 5.480% 5/1/2037  8,180  8,240 
  1,2 Federal National Mortgage Assn. 5.620% 7/1/2036  15,134  15,325 
  1,2 Federal National Mortgage Assn. 5.627% 1/1/2037  18,021  18,216 
  1,2 Federal National Mortgage Assn. 5.654% 3/1/2037  18,232  18,470 
  1,2 Federal National Mortgage Assn. 5.673% 6/1/2036  21,555  21,701 
  1,2 Federal National Mortgage Assn. 5.690% 3/1/2037  49,413  50,007 
  1,2 Federal National Mortgage Assn. 5.695% 2/1/2037  22,158  22,450 
  1,2 Federal National Mortgage Assn. 5.698% 2/1/2037  36,249  36,710 
  1,2 Federal National Mortgage Assn. 5.740% 3/1/2037  36,269  36,727 
  1,2 Federal National Mortgage Assn. 5.743% 12/1/2036  51,122  51,791 
  1,2 Federal National Mortgage Assn. 5.761% 4/1/2036  16,184  16,338 
  1,2 Federal National Mortgage Assn. 5.785% 4/1/2037  13,878  13,995 
  1,2 Federal National Mortgage Assn. 5.800% 4/1/2037  23,723  23,764 
  1,2 Federal National Mortgage Assn. 5.817% 1/1/2036  10,342  10,364 
  1,2 Federal National Mortgage Assn. 5.826% 6/1/2037  33,515  33,956 
  1,2 Federal National Mortgage Assn. 5.881% 9/1/2036  18,624  18,984 
  1,2 Federal National Mortgage Assn. 6.014% 11/1/2036  16,957  17,188 
  1,2 Federal National Mortgage Assn. 6.097% 6/1/2036  5,214  5,281 
  2 Government National Mortgage Assn. 6.375% 6/20/2029  690  702 
  2 Government National Mortgage Assn. 7.900% 2/15/2021  8  8 
        19,020,724
  Total U.S. Government and Agency Obligations
  (Cost $36,353,435)       36,471,667
  Corporate Bonds (25.4%)
  Asset-Backed/Commercial Mortgage-Backed Securities (7.4%)
  2,3 American Express Credit Account Master Trust 5.862% 10/15/2010  66,200  66,178 
  2,3 American Express Credit Account Master Trust 5.933% 11/15/2010  3,000  3,000 
  2,3 American Express Credit Account Master Trust 5.753% 3/15/2011  1,500  1,498 
2,3,4 American Express Credit Account Master Trust 5.743% 8/15/2011  17,350  17,303 
  2,3 American Express Credit Account Master Trust 5.833% 9/15/2011  40,000  39,920 
  4 BA Covered Bond Issuer 5.500% 6/14/2012  47,250  48,388 
  2 Banc of America Commercial Mortgage, Inc. 5.787% 5/11/2035  19,158  19,633 
  2 Banc of America Commercial Mortgage, Inc. 6.503% 4/15/2036  8,288  8,570 
  2 Banc of America Commercial Mortgage, Inc. 5.118% 7/11/2043  2,690  2,697 
  2,3 Bank One Issuance Trust 5.873% 6/15/2010  126,950  126,970 
  2,3 Bank One Issuance Trust 5.862% 12/15/2010  23,450  23,443 
  2,3 Bank One Issuance Trust 5.862% 2/15/2011  200,000  199,918 
  2,3 Bank One Issuance Trust 5.862% 6/15/2011  12,300  12,293 
  2 Bear Stearns Commercial Mortgage Securities, Inc. 5.610% 11/15/2033  9,900  10,057 
  2 Bear Stearns Commercial Mortgage Securities, Inc. 5.631% 4/12/2038  20,000  19,889 
  2 Bear Stearns Commercial Mortgage Securities, Inc. 4.830% 8/15/2038  20,000  19,530 
  2 Bear Stearns Commercial Mortgage Securities, Inc. 5.624% 3/11/2039  42,000  41,646 
  2 Bear Stearns Commercial Mortgage Securities, Inc. 4.680% 8/13/2039  10,000  9,659 
  2 Bear Stearns Commercial Mortgage Securities, Inc. 4.740% 3/13/2040  9,000  8,763 
  2 Bear Stearns Commercial Mortgage Securities, Inc. 5.694% 6/11/2050  50,000  49,892 
2,3,4 BMW Floorplan Master Owner Trust 5.753% 9/17/2011  28,000  27,841 
  2,3 Capital One Master Trust 5.952% 12/15/2010  23,000  23,006 
  2,3 Capital One Master Trust 5.942% 6/15/2011  14,000  14,002 
  2 Capital One Multi-Asset Execution Trust 3.650% 7/15/2011  45,247  44,585 
  2,3 Capital One Multi-Asset Execution Trust 5.933% 9/15/2011  75,630  75,644 
  2,3 Capital One Multi-Asset Execution Trust 5.843% 1/17/2012  50,000  49,927 
  2 Capital One Multi-Asset Execution Trust 5.050% 12/17/2018  43,450  42,223 
  2 Chase Commercial Mortgage Securities Corp. 6.390% 11/18/2030  17,162  17,319 
  2,3 Chase Credit Card Master Trust 5.873% 2/15/2010  53,510  53,519 
  2,3 Chase Credit Card Master Trust 5.862% 7/15/2010  1,400  1,400 
  2,3 Chase Credit Card Master Trust 5.862% 10/15/2010  1,411  1,410 
  2,3 Chase Credit Card Master Trust 5.873% 1/17/2011  48,350  48,331 
  2,3 Chase Credit Card Master Trust 5.862% 2/15/2011  11,875  11,863 
  2,3 Chase Issuance Trust 5.762% 12/15/2010  244,486  244,283 
  2,3 Chase Issuance Trust 5.762% 2/15/2011  30,500  30,531 
  2,3 Chase Issuance Trust 5.772% 11/15/2011  12,570  12,515 
  2,3 Chase Issuance Trust 5.772% 2/15/2012  23,678  23,582 
  2 Chase Issuance Trust 4.650% 12/17/2012  39,225  38,967 
  2 CIT Group Home Equity Loan Trust 6.200% 2/25/2030  1,546  1,555 
  2 Citibank Credit Card Issuance Trust 6.875% 11/16/2009  750  751 
  2 Citibank Credit Card Issuance Trust 2.900% 5/17/2010  42,000  41,383 
  2 Citibank Credit Card Issuance Trust 3.500% 8/16/2010  5,000  4,927 
  2,3 Citibank Credit Card Issuance Trust 5.762% 12/15/2010  21,820  21,769 
  2 Citibank Credit Card Issuance Trust 4.850% 2/10/2011  775  774 
  2 Citibank Credit Card Master Trust 5.875% 3/10/2011  1,250  1,264 
  2,4 Citicorp Lease Pass-Through Trust 8.040% 12/15/2019  18,025  20,935 
  2,4 Commercial Mortgage Lease-Backed Certificate 6.746% 6/20/2031  12,713  13,474 
  2 Countrywide Home Loans 4.050% 5/25/2033  10,245  10,066 
  2 Credit Suisse First Boston Mortgage Securities Corp. 5.100% 8/15/2038  36,000  35,362 
  2 Credit Suisse First Boston Mortgage Securities Corp. 7.290% 9/15/2041  16,738  17,249 
  2 Credit Suisse Mortgage Capital Certificates 5.609% 2/15/2039  35,100  34,837 
  2 DaimlerChrysler Auto Trust 4.200% 7/8/2010  7,535  7,459 
  2 DaimlerChrysler Auto Trust 5.330% 8/8/2010  31,449  31,419 
  2,3 DaimlerChrysler Master Owner Trust 5.777% 12/15/2010  57,000  56,712 
  2 Detroit Edison Securitization Funding LLC 5.875% 3/1/2010  170  170 
  2,3 Discover Card Master Trust I 5.783% 4/16/2010  29,450  29,454 
  2,3 Discover Card Master Trust I 5.772% 5/15/2010  146,000  145,988 
  2,3 Discover Card Master Trust I 5.883% 8/15/2010  105,000  105,002 
  2,3 Discover Card Master Trust I 5.762% 9/16/2010  28,230  28,208 
  2,3 Discover Card Master Trust I 5.772% 5/15/2011  93,400  93,232 
  2,3 Discover Card Master Trust I 5.862% 5/15/2011  13,650  13,636 
  2 DLJ Commercial Mortgage Corp. 6.410% 2/18/2031  2,184  2,185 
  2 Federal Housing Administration 7.430% 10/1/2020  13  14 
  2 First Union National Bank Commercial Mortgage Trust 6.223% 12/12/2033  12,550  13,045 
  2,3 Fleet Credit Card Master Trust II 5.893% 4/15/2010  12,500  12,502 
  2 Ford Credit Auto Owner Trust 4.300% 8/15/2009  7,610  7,576 
  2 GE Capital Commercial Mortgage Corp. 6.531% 5/15/2033  17,000  17,635 
  2 GE Capital Commercial Mortgage Corp. 6.290% 8/11/2033  3,000  3,101 
  2 GE Capital Commercial Mortgage Corp. 5.994% 12/10/2035  2,157  2,186 
  2 GE Capital Commercial Mortgage Corp. 6.269% 12/10/2035  12,200  12,683 
  2 GE Capital Commercial Mortgage Corp. 5.145% 7/10/2037  1,340  1,325 
  2 GE Capital Commercial Mortgage Corp. 4.996% 12/10/2037  20,000  19,940 
  2,3 GE Capital Credit Card Master Note Trust 5.762% 6/15/2011  44,000  43,951 
  2 GE Capital Credit Card Master Note Trust 5.080% 9/15/2012  43,350  43,539 
  2 GMAC Commercial Mortgage Securities, Inc. 6.175% 5/15/2033  17,990  18,150 
  2 GMAC Commercial Mortgage Securities, Inc. 7.455% 8/16/2033  11,050  11,611 
  2 GMAC Commercial Mortgage Securities, Inc. 6.465% 4/15/2034  14,085  14,658 
  2 GMAC Commercial Mortgage Securities, Inc. 6.700% 4/15/2034  16,500  17,175 
  2 GMAC Commercial Mortgage Securities, Inc. 6.420% 5/15/2035  8,668  8,728 
  2,3 Gracechurch Card Funding PLC 5.873% 10/15/2009  46,000  46,007 
  2,3 Gracechurch Card Funding PLC 5.772% 11/16/2009  101,300  101,292 
  2,3 Gracechurch Card Funding PLC 5.862% 3/15/2010  20,500  20,493 
  2,3 Gracechurch Card Funding PLC 5.762% 6/15/2010  110,700  110,577 
  2,3 Gracechurch Card Funding PLC 5.762% 9/15/2010  143,000  142,704 
  2,3 Gracechurch Card Funding PLC 5.762% 11/15/2010  16,700  16,664 
  2 GS Mortgage Securities Corp. II 4.608% 1/10/2040  20,000  19,572 
  2 Honda Auto Receivables Owner Trust 2.910% 10/20/2008  1,252  1,249 
  2 Honda Auto Receivables Owner Trust 4.610% 8/17/2009  24,092  24,004 
  2 Honda Auto Receivables Owner Trust 5.300% 7/21/2010  12,150  12,132 
  2 Honda Auto Receivables Owner Trust 5.120% 10/15/2010  43,365  43,244 
  2 JPMorgan Chase Commercial Mortgage Securities 6.260% 3/15/2033  19,474  20,052 
  2 JPMorgan Chase Commercial Mortgage Securities 5.050% 12/12/2034  11,000  10,952 
  2 JPMorgan Chase Commercial Mortgage Securities 4.985% 1/12/2037  15,000  14,800 
  2 JPMorgan Chase Commercial Mortgage Securities 5.255% 7/12/2037  1,790  1,777 
  2 JPMorgan Chase Commercial Mortgage Securities 5.376% 7/12/2037  12,180  12,234 
  2 JPMorgan Chase Commercial Mortgage Securities 5.794% 2/12/2051  16,225  16,295 
  2 LB Commerical Conduit Mortgage Trust 6.780% 6/15/2031  25,142  25,624 
  2 LB-UBS Commercial Mortgage Trust 7.370% 8/15/2026  18,038  18,970 
  2 LB-UBS Commercial Mortgage Trust 5.197% 11/15/2030  20,925  20,712 
  2 LB-UBS Commercial Mortgage Trust 6.133% 12/15/2030  8,190  8,512 
  2,3 MBNA Credit Card Master Note Trust 5.753% 12/15/2010  175,044  174,802 
  2 MBNA Credit Card Master Note Trust 4.300% 2/15/2011  28,262  28,036 
  2,3 MBNA Credit Card Master Note Trust 5.883% 2/15/2011  161,525  161,477 
  2,3 MBNA Credit Card Master Note Trust 5.510% 12/15/2011  4,500  4,493 
  2 MBNA Master Credit Card Trust 7.000% 2/15/2012  62,654  65,181 
  2 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.378% 1/12/2017  15,700  15,504 
  2 Morgan Stanley Capital I 6.480% 11/15/2030  2,043  2,052 
  2 Morgan Stanley Capital I 5.230% 9/15/2042  21,650  21,446 
  2 Morgan Stanley Dean Witter Capital I 6.660% 2/15/2033  5,000  5,185 
  2 Morgan Stanley Dean Witter Capital I 6.390% 7/15/2033  5,000  5,174 
  2 Morgan Stanley Dean Witter Capital I 4.920% 3/12/2035  20,000  19,728 
  2 Morgan Stanley Dean Witter Capital I 6.390% 10/15/2035  5,000  5,190 
  2 Morgan Stanley Dean Witter Capital I 4.740% 11/13/2036  1,340  1,312 
  2 Nissan Auto Receivables Owner Trust 4.190% 7/15/2009  11,391  11,327 
  2 Oncor Electric Delivery Transition Bond Co. 4.030% 2/15/2012  2,277  2,256 
  2 PECO Energy Transition Trust 6.130% 3/1/2009  289  290 
  2 PG&E Energy Recovery Funding LLC 4.140% 9/25/2012  8,625  8,473 
  2 PG&E Energy Recovery Funding LLC 5.030% 3/25/2014  13,650  13,820 
  2 PP&L Transition Bond Co. LLC 7.150% 6/25/2009  705  715 
  2 Prudential Securities Secured Financing 7.193% 6/16/2031  4,149  4,238 
  2 PSE&G Transition Funding LLC 6.890% 12/15/2017  19,800  22,070 
  2 Public Service New Hampshire Funding LLC 5.730% 11/1/2010  260  262 
  2 Residential Asset Securities Corp. 6.489% 10/25/2030  515  513 
  2 Salomon Brothers Mortgage Securities VII 4.116% 9/25/2033  29,246  28,873 
  2 USAA Auto Owner Trust 4.550% 2/16/2010  22,328  22,226 
  2 USAA Auto Owner Trust 5.360% 2/15/2011  22,250  22,260 
  2 Volkswagen Auto Loan Enhanced Trust 4.800% 7/20/2009  19,330  19,286 
  2 Wachovia Bank Commercial Mortgage Trust 4.440% 11/15/2034  2,904  2,849 
  2 Wachovia Bank Commercial Mortgage Trust 4.980% 11/15/2034  900  886 
  2 Wachovia Bank Commercial Mortgage Trust 4.867% 2/15/2035  900  881 
  2 World Omni Auto Receivables Trust 3.540% 11/14/2011  6,166  6,155 
        3,820,651
  Finance (7.8%)
  Banking (3.2%)
  Abbey National PLC 7.950% 10/26/2029  11,965  14,561 
  AmSouth Bank NA 5.200% 4/1/2015  6,200  5,901 
  Associates Corp. of North America 6.950% 11/1/2018  350  380 
  BAC Capital Trust XI 6.625% 5/23/2036  6,325  6,393 
  Banc One Corp. 7.625% 10/15/2026  1,475  1,677 
  4 Banco Bilbao Vizcaya ARG 5.750% 7/20/2017  23,425  24,300 
  Bank of America Corp. 3.375% 2/17/2009  12,800  12,535 
  Bank of America Corp. 4.500% 8/1/2010  3,575  3,552 
  Bank of America Corp. 4.250% 10/1/2010  3,450  3,389 
  Bank of America Corp. 4.375% 12/1/2010  1,525  1,503 
  Bank of America Corp. 5.375% 8/15/2011  6,050  6,095 
  Bank of America Corp. 6.250% 4/15/2012  4,775  4,981 
  Bank of America Corp. 5.375% 9/11/2012  5,300  5,281 
  Bank of America Corp. 4.875% 1/15/2013  1,340  1,314 
  Bank of America Corp. 5.375% 6/15/2014  5,375  5,338 
  Bank of America Corp. 5.125% 11/15/2014  26,100  25,575 
  Bank of America Corp. 5.250% 12/1/2015  12,950  12,632 
  Bank of America Corp. 5.750% 8/15/2016  13,925  13,925 
  Bank of America Corp. 5.625% 10/14/2016  15,300  15,328 
  Bank of America Corp. 5.300% 3/15/2017  13,200  12,800 
  Bank of America Corp. 5.420% 3/15/2017  19,900  19,254 
  Bank of America Corp. 6.100% 6/15/2017  6,650  6,846 
  Bank of America Corp. 6.000% 9/1/2017  1,900  1,938 
  Bank of America Corp. 5.625% 3/8/2035  7,700  6,806 
  Bank of America Corp. 6.000% 10/15/2036  11,200  10,987 
  Bank of America Corp. 6.500% 9/15/2037  2,950  2,938 
  Bank of New York Co., Inc. 4.950% 1/14/2011  3,275  3,239 
  Bank of New York Co., Inc. 6.375% 4/1/2012  400  414 
  Bank of New York Co., Inc. 4.950% 3/15/2015  7,225  6,771 
  Bank of Tokyo-Mitsubishi 8.400% 4/15/2010  8,525  9,096 
  Bank One Corp. 6.000% 2/17/2009  110  111 
  Bank One Corp. 7.875% 8/1/2010  21,180  22,646 
  Bank One Corp. 5.250% 1/30/2013  4,725  4,656 
  Bank One Corp. 4.900% 4/30/2015  2,475  2,317 
  BankAmerica Capital II 8.000% 12/15/2026  100  104 
  Barclays Bank PLC 5.450% 9/12/2012  1,200  1,207 
  2 Barclays Bank PLC 6.278% 12/29/2049  3,295  2,869 
  BB&T Corp. 6.500% 8/1/2011  2,990  3,111 
  BB&T Corp. 4.750% 10/1/2012  3,900  3,816 
  BB&T Corp. 5.200% 12/23/2015  5,275  5,080 
  BB&T Corp. 5.625% 9/15/2016  6,950  6,862 
  BB&T Corp. 4.900% 6/30/2017  625  583 
  BB&T Corp. 5.250% 11/1/2019  4,275  3,999 
  BB&T Corp. 6.750% 6/7/2036  9,475  9,545 
  Charter One Bank N.A. 5.500% 4/26/2011  13,150  13,265 
  Citicorp 6.375% 11/15/2008  100  102 
  Citigroup, Inc. 3.625% 2/9/2009  2,375  2,338 
  Citigroup, Inc. 6.200% 3/15/2009  140  142 
  Citigroup, Inc. 4.250% 7/29/2009  11,105  10,970 
  Citigroup, Inc. 4.125% 2/22/2010  225  221 
  Citigroup, Inc. 4.625% 8/3/2010  14,450  14,358 
  Citigroup, Inc. 6.500% 1/18/2011  17,870  18,663 
  Citigroup, Inc. 5.100% 9/29/2011  39,620  39,525 
  Citigroup, Inc. 6.000% 2/21/2012  7,450  7,669 
  Citigroup, Inc. 5.250% 2/27/2012  4,375  4,379 
  Citigroup, Inc. 5.625% 8/27/2012  8,090  8,192 
  Citigroup, Inc. 5.125% 5/5/2014  3,750  3,659 
  Citigroup, Inc. 5.000% 9/15/2014  18,418  17,821 
  Citigroup, Inc. 4.875% 5/7/2015  3,300  3,150 
  Citigroup, Inc. 4.700% 5/29/2015  4,075  3,806 
  Citigroup, Inc. 5.300% 1/7/2016  19,150  18,811 
  Citigroup, Inc. 5.850% 8/2/2016  5,450  5,533 
  Citigroup, Inc. 5.500% 2/15/2017  3,750  3,694 
  Citigroup, Inc. 6.000% 8/15/2017  3,500  3,578 
  Citigroup, Inc. 6.625% 6/15/2032  1,525  1,598 
  Citigroup, Inc. 5.875% 2/22/2033  13,075  12,581 
  Citigroup, Inc. 6.000% 10/31/2033  3,300  3,219 
  Citigroup, Inc. 5.850% 12/11/2034  2,000  1,918 
  Citigroup, Inc. 6.125% 8/25/2036  9,275  9,254 
  Citigroup, Inc. 5.875% 5/29/2037  3,575  3,465 
  Colonial Bank NA 6.375% 12/1/2015  1,425  1,449 
  Comerica Bank 5.750% 11/21/2016  12,700  12,594 
  Comerica Bank 5.200% 8/22/2017  4,475  4,179 
  Compass Bank 6.400% 10/1/2017  2,700  2,724 
  Compass Bank 5.900% 4/1/2026  2,400  2,170 
  Credit Suisse First Boston USA, Inc. 3.875% 1/15/2009  7,750  7,653 
  Credit Suisse First Boston USA, Inc. 4.700% 6/1/2009  1,900  1,894 
  Credit Suisse First Boston USA, Inc. 4.875% 8/15/2010  24,600  24,590 
  Credit Suisse First Boston USA, Inc. 5.250% 3/2/2011  9,275  9,281 
  Credit Suisse First Boston USA, Inc. 5.500% 8/16/2011  10,125  10,231 
  Credit Suisse First Boston USA, Inc. 6.125% 11/15/2011  10,650  10,991 
  Credit Suisse First Boston USA, Inc. 6.500% 1/15/2012  3,950  4,143 
  Credit Suisse First Boston USA, Inc. 5.500% 8/15/2013  5,110  5,123 
  Credit Suisse First Boston USA, Inc. 4.875% 1/15/2015  19,350  18,487 
  Credit Suisse First Boston USA, Inc. 5.125% 8/15/2015  12,490  12,055 
  Credit Suisse First Boston USA, Inc. 7.125% 7/15/2032  4,025  4,459 
  2 Credit Suisse First Boston USA, Inc. 5.860% 5/15/2049  3,075  2,909 
  Deutsche Bank Financial LLC 5.375% 3/2/2015  5,400  5,276 
  Deutsche Bank Financial, Inc. 6.000% 9/1/2017  16,925  17,154 
  Fifth Third Bank 4.200% 2/23/2010  4,475  4,399 
  Fifth Third Bank 4.750% 2/1/2015  10,950  10,309 
  Fifth Third Bank 4.500% 6/1/2018  1,550  1,367 
  First Tennessee Bank 5.050% 1/15/2015  1,825  1,709 
  First Union Institutional Capital I 8.040% 12/1/2026  1,825  1,898 
  FirstStar Bank 7.125% 12/1/2009  2,685  2,792 
  Fleet Capital Trust II 7.920% 12/11/2026  2,315  2,408 
  Golden West Financial Corp. 4.750% 10/1/2012  340  330 
  4 HBOS Treasury Services PLC 5.250% 2/21/2017  21,125  21,376 
  HSBC Bank PLC 6.950% 3/15/2011  11,350  12,033 
  HSBC Bank USA 3.875% 9/15/2009  800  785 
  HSBC Bank USA 4.625% 4/1/2014  4,125  3,849 
  HSBC Bank USA 5.875% 11/1/2034  2,475  2,351 
  HSBC Bank USA 5.625% 8/15/2035  4,825  4,387 
  HSBC Holdings PLC 7.500% 7/15/2009  2,040  2,121 
  HSBC Holdings PLC 7.625% 5/17/2032  1,250  1,379 
  HSBC Holdings PLC 7.350% 11/27/2032  2,515  2,686 
  HSBC Holdings PLC 6.500% 5/2/2036  17,350  17,550 
  HSBC Holdings PLC 6.500% 9/15/2037  12,050  12,048 
  J.P. Morgan, Inc. 6.000% 1/15/2009  2,475  2,502 
  JP Morgan Chase Capital XXII 6.450% 2/2/2037  5,375  4,983 
  JPM Capital Trust 6.550% 9/29/2036  8,725  8,198 
  JPMorgan Capital Trust 5.875% 3/15/2035  4,225  3,770 
  JPMorgan Chase & Co. 3.500% 3/15/2009  4,625  4,536 
  JPMorgan Chase&Co. 6.750% 2/1/2011  14,362  14,976 
  JPMorgan Chase&Co. 5.600% 6/1/2011  37,400  37,931 
  JPMorgan Chase&Co. 4.500% 1/15/2012  9,400  9,126 
  JPMorgan Chase&Co. 6.625% 3/15/2012  3,800  3,978 
  JPMorgan Chase&Co. 5.375% 10/1/2012  2,800  2,803 
  JPMorgan Chase&Co. 5.750% 1/2/2013  3,575  3,597 
  JPMorgan Chase&Co. 5.375% 1/15/2014  2,575  2,559 
  JPMorgan Chase&Co. 4.875% 3/15/2014  19,540  18,742 
  JPMorgan Chase&Co. 5.125% 9/15/2014  12,650  12,273 
  JPMorgan Chase&Co. 4.750% 3/1/2015  2,725  2,553 
  JPMorgan Chase&Co. 5.250% 5/1/2015  2,150  2,075 
  JPMorgan Chase&Co. 5.150% 10/1/2015  3,700  3,562 
  JPMorgan Chase&Co. 5.875% 6/13/2016  4,075  4,115 
  JPMorgan Chase&Co. 6.125% 6/27/2017  14,975  15,288 
  JPMorgan Chase&Co. 5.850% 8/1/2035  825  733 
  JPMorgan Chase&Co. 6.800% 10/1/2037  5,450  5,435 
  Key Bank NA 7.000% 2/1/2011  725  757 
  Key Bank NA 5.500% 9/17/2012  5,450  5,432 
  Key Bank NA 5.800% 7/1/2014  1,175  1,173 
  Key Bank NA 4.950% 9/15/2015  7,175  6,765 
  Key Bank NA 5.450% 3/3/2016  7,175  6,954 
  Marshall&Ilsley Bank 4.850% 6/16/2015  700  658 
  Marshall&Ilsley Bank 5.000% 1/17/2017  250  232 
  Marshall&Ilsley Corp. 4.375% 8/1/2009  2,675  2,646 
  MBNA America Bank NA 4.625% 8/3/2009  3,450  3,432 
  MBNA America Bank NA 6.625% 6/15/2012  3,465  3,649 
  MBNA Corp. 7.500% 3/15/2012  3,245  3,525 
  MBNA Corp. 6.125% 3/1/2013  2,200  2,282 
  MBNA Corp. 5.000% 6/15/2015  950  900 
  Mellon Bank NA 4.750% 12/15/2014  3,650  3,435 
  Mellon Funding Corp. 3.250% 4/1/2009  2,775  2,708 
  Mellon Funding Corp. 6.400% 5/14/2011  450  467 
  Mellon Funding Corp. 5.000% 12/1/2014  1,100  1,059 
  National City Bank 4.150% 8/1/2009  6,675  6,554 
  National City Bank 4.500% 3/15/2010  7,525  7,419 
  National City Bank 6.250% 3/15/2011  575  589 
  National City Bank 4.625% 5/1/2013  1,000  941 
  National City Corp. 4.900% 1/15/2015  500  465 
  National City Corp. 6.875% 5/15/2019  850  898 
  National Westminster Bank PLC 7.375% 10/1/2009  450  470 
  NationsBank Corp. 6.800% 3/15/2028  725  765 
   ^4 Nationwide Building Society 5.500% 7/18/2012  24,775  25,457 
  NB Capital Trust II 7.830% 12/15/2026  5,000  5,201 
  NB Capital Trust IV 8.250% 4/15/2027  3,400  3,534 
  North Fork Bancorp., Inc. 5.875% 8/15/2012  250  244 
  4 Northern Rock PLC 5.625% 6/22/2017  46,200  46,012 
  PNC Bank NA 4.875% 9/21/2017  9,750  9,019 
  PNC Funding Corp. 4.500% 3/10/2010  500  493 
  PNC Funding Corp. 5.125% 12/14/2010  2,675  2,665 
  PNC Funding Corp. 5.250% 11/15/2015  10,250  9,851 
  PNC Funding Corp. 5.625% 2/1/2017  1,075  1,063 
  Regions Financial Corp. 4.375% 12/1/2010  1,000  973 
  Regions Financial Corp. 7.000% 3/1/2011  4,275  4,509 
  Regions Financial Corp. 7.750% 3/1/2011  7,525  8,028 
  Regions Financial Corp. 6.375% 5/15/2012  11,600  11,947 
  2 Regions Financial Corp. 6.625% 5/15/2047  3,525  3,348 
  Republic New York Corp. 7.750% 5/15/2009  4,300  4,474 
  Royal Bank of Canada 4.125% 1/26/2010  14,075  13,773 
  Royal Bank of Scotland Group PLC 6.375% 2/1/2011  1,675  1,723 
  Royal Bank of Scotland Group PLC 5.000% 11/12/2013  12,275  11,943 
  Royal Bank of Scotland Group PLC 5.050% 1/8/2015  6,675  6,332 
  2 Royal Bank of Scotland Group PLC 7.648% 8/29/2049  14,245  14,707 
  Santander Central Hispano Issuances 7.625% 9/14/2010  12,500  13,336 
  Santander Finance Issuances 6.375% 2/15/2011  1,400  1,446 
  Sanwa Bank Ltd. 8.350% 7/15/2009  5,600  5,947 
  Sanwa Bank Ltd. 7.400% 6/15/2011  12,800  13,844 
  Southtrust Corp. 5.800% 6/15/2014  3,075  3,092 
  Sovereign Bancorp, Inc. 4.800% 9/1/2010  8,275  8,284 
  Sovereign Bank 5.125% 3/15/2013  900  877 
  State Street Capital Trust 5.300% 1/15/2016  3,425  3,311 
  Sumitomo Bank International Finance NV 8.500% 6/15/2009  6,475  6,872 
  Sumitomo Mitsui Banking Corp. 8.000% 6/15/2012  16,075  17,945 
  SunTrust Banks, Inc. 6.375% 4/1/2011  8,455  8,756 
  SunTrust Banks, Inc. 5.000% 9/1/2015  350  334 
  SunTrust Banks, Inc. 6.000% 9/11/2017  7,075  7,165 
  SunTrust Banks, Inc. 5.450% 12/1/2017  500  486 
  SunTrust Banks, Inc. 6.000% 2/15/2026  3,925  3,716 
  2 Suntrust Capital 6.100% 12/1/2066  1,875  1,671 
  Swiss Bank Corp. 7.000% 10/15/2015  2,825  3,082 
  Swiss Bank Corp. 7.375% 6/15/2017  4,175  4,720 
  Synovus Financial Corp. 5.125% 6/15/2017  4,925  4,702 
  The Chase Manhattan Corp. 7.875% 6/15/2010  450  481 
  UBS AG 5.875% 7/15/2016  2,800  2,926 
  UFJ Finance Aruba AEC 6.750% 7/15/2013  18,250  18,794 
  Union Bank of California NA 5.950% 5/11/2016  4,700  4,660 
  UnionBanCal Corp. 5.250% 12/16/2013  1,475  1,454 
  US Bank NA 6.375% 8/1/2011  6,975  7,261 
  US Bank NA 6.300% 2/4/2014  9,150  9,498 
  US Bank NA 4.950% 10/30/2014  6,575  6,291 
  Wachovia Bank NA 4.800% 11/1/2014  4,250  4,006 
  Wachovia Bank NA 4.875% 2/1/2015  17,300  16,356 
  Wachovia Bank NA 5.000% 8/15/2015  1,110  1,055 
  Wachovia Bank NA 5.850% 2/1/2037  16,700  15,825 
  Wachovia Corp. 3.625% 2/17/2009  12,675  12,464 
  Wachovia Corp. 7.875% 2/15/2010  3,700  3,935 
  Wachovia Corp. 4.375% 6/1/2010  6,875  6,793 
  Wachovia Corp. 7.800% 8/18/2010  13,130  14,031 
  Wachovia Corp. 5.300% 10/15/2011  17,275  17,376 
  Wachovia Corp. 4.875% 2/15/2014  6,150  5,904 
  Wachovia Corp. 5.625% 10/15/2016  4,900  4,858 
  Wachovia Corp. 5.750% 6/15/2017  7,825  7,871 
  Wachovia Corp. 6.605% 10/1/2025  275  277 
  4 Wachovia Corp. 8.000% 12/15/2026  5,125  5,329 
  Wachovia Corp. 7.500% 4/15/2035  1,100  1,222 
  Wachovia Corp. 5.500% 8/1/2035  3,600  3,289 
  Wachovia Corp. 6.550% 10/15/2035  775  808 
  Washington Mutual Bank 6.875% 6/15/2011  19,345  20,009 
  Washington Mutual Bank 5.500% 1/15/2013  4,375  4,199 
  Washington Mutual Bank 5.650% 8/15/2014  6,800  6,557 
  Washington Mutual Bank 5.125% 1/15/2015  6,050  5,636 
  Washington Mutual, Inc. 4.000% 1/15/2009  2,500  2,448 
  Washington Mutual, Inc. 4.200% 1/15/2010  1,900  1,828 
  Washington Mutual, Inc. 5.500% 8/24/2011  750  737 
  Washington Mutual, Inc. 5.000% 3/22/2012  4,000  3,856 
  Washington Mutual, Inc. 5.250% 9/15/2017  2,300  2,114 
  Wells Fargo&Co. 3.125% 4/1/2009  6,225  6,054 
  Wells Fargo&Co. 4.200% 1/15/2010  27,575  27,162 
  Wells Fargo&Co. 4.875% 1/12/2011  15,075  14,974 
  Wells Fargo&Co. 6.375% 8/1/2011  2,000  2,078 
  Wells Fargo&Co. 5.300% 8/26/2011  4,800  4,825 
  Wells Fargo&Co. 5.125% 9/1/2012  4,000  3,972 
  Wells Fargo&Co. 4.950% 10/16/2013  14,800  14,477 
  Wells Fargo&Co. 4.625% 4/15/2014  275  263 
  Wells Fargo&Co. 5.000% 11/15/2014  675  653 
  Wells Fargo&Co. 5.375% 2/7/2035  4,425  4,033 
  Wells Fargo Bank NA 6.450% 2/1/2011  15,800  16,445 
  Wells Fargo Bank NA 4.750% 2/9/2015  4,575  4,288 
  Wells Fargo Bank NA 5.750% 5/16/2016  2,500  2,508 
  Wells Fargo Bank NA 5.950% 8/26/2036  5,600  5,456 
  Wells Fargo Capital X 5.950% 12/15/2036  2,875  2,665 
  Wells Fargo Financial 5.500% 8/1/2012  3,975  4,026 
  World Savings Bank, FSB 4.125% 12/15/2009  3,500  3,445 
  Zions Bancorp. 5.500% 11/16/2015  6,950  6,747 
  Brokerage (1.6%)
  Ameriprise Financial Inc. 5.350% 11/15/2010  5,900  5,929 
  Ameriprise Financial Inc. 5.650% 11/15/2015  4,925  4,822 
  Bear Stearns Co., Inc. 3.250% 3/25/2009  600  579 
  Bear Stearns Co., Inc. 4.550% 6/23/2010  1,675  1,636 
  Bear Stearns Co., Inc. 5.500% 8/15/2011  900  892 
  Bear Stearns Co., Inc. 5.350% 2/1/2012  22,000  21,552 
  Bear Stearns Co., Inc. 5.700% 11/15/2014  18,240  17,640 
  Bear Stearns Co., Inc. 5.300% 10/30/2015  7,715  7,205 
  Bear Stearns Co., Inc. 5.550% 1/22/2017  4,925  4,661 
  Bear Stearns Co., Inc. 6.400% 10/2/2017  3,725  3,690 
  Bear Stearns Co., Inc. 4.650% 7/2/2018  500  426 
  Dean Witter, Discover&Co. 6.750% 10/15/2013  800  837 
  4 Fidelity Investments 7.490% 6/15/2019  1,000  1,146 
  Goldman Sachs Group, Inc. 3.875% 1/15/2009  16,670  16,446 
  Goldman Sachs Group, Inc. 6.650% 5/15/2009  18,290  18,768 
  Goldman Sachs Group, Inc. 4.500% 6/15/2010  10,950  10,832 
  Goldman Sachs Group, Inc. 5.000% 1/15/2011  200  199 
  Goldman Sachs Group, Inc. 6.875% 1/15/2011  2,150  2,251 
  Goldman Sachs Group, Inc. 6.600% 1/15/2012  14,550  15,283 
  Goldman Sachs Group, Inc. 5.700% 9/1/2012  4,000  4,067 
  Goldman Sachs Group, Inc. 5.250% 4/1/2013  8,540  8,279 
  Goldman Sachs Group, Inc. 4.750% 7/15/2013  2,225  2,120 
  Goldman Sachs Group, Inc. 5.250% 10/15/2013  8,750  8,547 
  Goldman Sachs Group, Inc. 5.150% 1/15/2014  3,015  2,933 
  Goldman Sachs Group, Inc. 5.000% 10/1/2014  15,550  14,750 
  Goldman Sachs Group, Inc. 5.125% 1/15/2015  14,735  14,261 
  Goldman Sachs Group, Inc. 5.350% 1/15/2016  17,250  16,778 
  Goldman Sachs Group, Inc. 5.625% 1/15/2017  14,750  14,350 
  Goldman Sachs Group, Inc. 6.250% 9/1/2017  23,475  23,980 
  Goldman Sachs Group, Inc. 5.950% 1/15/2027  11,250  10,715 
  Goldman Sachs Group, Inc. 6.125% 2/15/2033  11,825  11,636 
  Goldman Sachs Group, Inc. 6.345% 2/15/2034  19,225  17,846 
  Goldman Sachs Group, Inc. 6.450% 5/1/2036  3,200  3,118 
  Goldman Sachs Group, Inc. 6.750% 10/1/2037  25,725  25,854 
  Janus Capital Group 5.875% 9/15/2011  3,375  3,392 
  Janus Capital Group 6.700% 6/15/2017  2,575  2,588 
  Jefferies Group Inc. 6.450% 6/8/2027  14,325  13,400 
  Jefferies Group Inc. 6.250% 1/15/2036  7,700  6,879 
  Lazard Group 6.850% 6/15/2017  4,975  4,878 
  Lehman Brothers Holdings, Inc. 3.950% 11/10/2009  6,925  6,739 
  Lehman Brothers Holdings, Inc. 4.250% 1/27/2010  1,475  1,440 
  Lehman Brothers Holdings, Inc. 4.500% 7/26/2010  6,275  6,134 
  Lehman Brothers Holdings, Inc. 7.875% 8/15/2010  7,000  7,462 
  Lehman Brothers Holdings, Inc. 4.375% 11/30/2010  4,400  4,272 
  Lehman Brothers Holdings, Inc. 5.000% 1/14/2011  8,400  8,266 
  Lehman Brothers Holdings, Inc. 6.625% 1/18/2012  9,500  9,860 
  Lehman Brothers Holdings, Inc. 5.250% 2/6/2012  7,625  7,501 
  Lehman Brothers Holdings, Inc. 6.000% 7/19/2012  8,800  8,943 
  Lehman Brothers Holdings, Inc. 5.750% 5/17/2013  14,525  14,430 
  Lehman Brothers Holdings, Inc. 6.200% 9/26/2014  3,275  3,303 
  Lehman Brothers Holdings, Inc. 5.500% 4/4/2016  13,850  13,395 
  Lehman Brothers Holdings, Inc. 5.750% 1/3/2017  200  192 
  Lehman Brothers Holdings, Inc. 6.500% 7/19/2017  9,550  9,632 
  Lehman Brothers Holdings, Inc. 5.875% 11/15/2017  575  543 
  Lehman Brothers Holdings, Inc. 7.000% 9/27/2027  7,000  7,159 
  2 Lehman Brothers Holdings, Inc. 6.000% 5/3/2032  7,200  6,608 
  Lehman Brothers Holdings, Inc. 6.875% 7/17/2037  8,275  8,257 
  Merrill Lynch&Co., Inc. 6.375% 10/15/2008  2,000  2,020 
  Merrill Lynch&Co., Inc. 4.125% 1/15/2009  11,425  11,296 
  Merrill Lynch&Co., Inc. 6.000% 2/17/2009  8,761  8,855 
  Merrill Lynch&Co., Inc. 4.250% 2/8/2010  8,905  8,739 
  Merrill Lynch&Co., Inc. 4.790% 8/4/2010  7,375  7,319 
  Merrill Lynch&Co., Inc. 5.770% 7/25/2011  12,900  13,133 
  Merrill Lynch&Co., Inc. 5.000% 2/3/2014  6,675  6,488 
  Merrill Lynch&Co., Inc. 5.450% 7/15/2014  3,750  3,716 
  Merrill Lynch&Co., Inc. 5.000% 1/15/2015  18,875  18,194 
  Merrill Lynch&Co., Inc. 6.050% 5/16/2016  7,675  7,685 
  Merrill Lynch&Co., Inc. 5.700% 5/2/2017  19,500  19,176 
  Merrill Lynch&Co., Inc. 6.400% 8/28/2017  21,775  22,452 
  Merrill Lynch&Co., Inc. 6.500% 7/15/2018  425  441 
  Merrill Lynch&Co., Inc. 6.875% 11/15/2018  19  20 
  Merrill Lynch&Co., Inc. 6.220% 9/15/2026  19,050  18,777 
  Merrill Lynch&Co., Inc. 6.110% 1/29/2037  7,325  6,852 
  Morgan Stanley Dean Witter 3.875% 1/15/2009  9,475  9,346 
  Morgan Stanley Dean Witter 4.000% 1/15/2010  23,625  23,101 
  Morgan Stanley Dean Witter 4.250% 5/15/2010  22,105  21,677 
  Morgan Stanley Dean Witter 6.750% 4/15/2011  10,035  10,519 
  Morgan Stanley Dean Witter 5.625% 1/9/2012  6,525  6,600 
  Morgan Stanley Dean Witter 6.600% 4/1/2012  7,420  7,781 
  Morgan Stanley Dean Witter 5.750% 8/31/2012  9,400  9,529 
  Morgan Stanley Dean Witter 5.300% 3/1/2013  400  396 
  Morgan Stanley Dean Witter 4.750% 4/1/2014  26,250  24,778 
  Morgan Stanley Dean Witter 5.375% 10/15/2015  7,100  6,962 
  Morgan Stanley Dean Witter 5.750% 10/18/2016  17,025  16,849 
  Morgan Stanley Dean Witter 5.450% 1/9/2017  7,900  7,638 
  Morgan Stanley Dean Witter 5.550% 4/27/2017  11,800  11,468 
  Morgan Stanley Dean Witter 6.250% 8/9/2026  18,525  18,299 
  Morgan Stanley Dean Witter 7.250% 4/1/2032  9,415  10,625 
  Finance Companies (1.5%)
  Allied Capital Corp. 6.000% 4/1/2012  3,125  3,130 
  American Express Bank, FSB 6.000% 9/13/2017  5,200  5,094 
  American Express Centurion Bank 4.375% 7/30/2009  2,300  2,269 
  American Express Centurion Bank 6.000% 9/13/2017  4,650  4,640 
  American Express Co. 4.750% 6/17/2009  3,100  3,091 
  American Express Co. 5.250% 9/12/2011  4,000  4,010 
  American Express Co. 4.875% 7/15/2013  1,500  1,456 
  American Express Co. 5.500% 9/12/2016  3,600  3,477 
  American Express Co. 6.150% 8/28/2017  9,050  9,151 
  2 American Express Co. 6.800% 9/1/2066  3,475  3,573 
  American Express Credit Corp. 5.000% 12/2/2010  6,075  6,075 
  4 American Express Travel 5.250% 11/21/2011  1,150  1,156 
  American General Finance Corp. 3.875% 10/1/2009  4,000  3,897 
  American General Finance Corp. 4.875% 5/15/2010  5,100  5,051 
  American General Finance Corp. 5.625% 8/17/2011  7,625  7,530 
  American General Finance Corp. 4.875% 7/15/2012  1,650  1,589 
  American General Finance Corp. 5.850% 6/1/2013  17,870  17,760 
  American General Finance Corp. 5.750% 9/15/2016  5,750  5,506 
  BlackRock, Inc. 6.250% 9/15/2017  4,000  4,003 
  Capital One Bank 4.250% 12/1/2008  1,850  1,831 
  Capital One Bank 5.000% 6/15/2009  4,075  4,060 
  Capital One Bank 5.750% 9/15/2010  1,975  1,999 
  Capital One Bank 6.500% 6/13/2013  1,725  1,759 
  Capital One Bank 5.125% 2/15/2014  2,450  2,324 
  Capital One Capital III 7.686% 8/15/2036  7,650  7,429 
  Capital One Capital IV 6.745% 2/17/2037  3,100  2,795 
  Capital One Financial 5.700% 9/15/2011  4,025  4,022 
  Capital One Financial 4.800% 2/21/2012  2,125  2,051 
  Capital One Financial 5.500% 6/1/2015  6,075  5,826 
  Capital One Financial 6.150% 9/1/2016  6,525  6,262 
  Capital One Financial 5.250% 2/21/2017  1,775  1,623 
  Capital One Financial 6.750% 9/15/2017  6,475  6,626 
  4 Capmark Financial Group 5.875% 5/10/2012  1,775  1,637 
  4 Capmark Financial Group 6.300% 5/10/2017  2,550  2,228 
  CIT Group Co. of Canada 4.650% 7/1/2010  7,550  7,163 
  CIT Group Co. of Canada 5.600% 11/2/2011  5,300  5,126 
  CIT Group Co. of Canada 5.200% 6/1/2015  8,575  7,820 
  CIT Group, Inc. 5.000% 11/24/2008  7,725  7,626 
  CIT Group, Inc. 4.250% 2/1/2010  3,475  3,291 
  CIT Group, Inc. 5.200% 11/3/2010  3,525  3,418 
  CIT Group, Inc. 4.750% 12/15/2010  3,525  3,340 
  CIT Group, Inc. 5.600% 4/27/2011  5,050  4,911 
  CIT Group, Inc. 5.800% 7/28/2011  5,325  5,092 
  CIT Group, Inc. 5.400% 3/7/2013  7,450  7,006 
  CIT Group, Inc. 5.000% 2/13/2014  125  114 
  CIT Group, Inc. 5.125% 9/30/2014  6,875  6,268 
  CIT Group, Inc. 5.000% 2/1/2015  4,175  3,751 
  CIT Group, Inc. 5.400% 1/30/2016  2,750  2,503 
  CIT Group, Inc. 5.850% 9/15/2016  6,450  6,094 
  CIT Group, Inc. 5.650% 2/13/2017  8,825  8,200 
  CIT Group, Inc. 6.000% 4/1/2036  2,150  1,819 
  2 CIT Group, Inc. 6.100% 3/15/2067  225  187 
  Countrywide Financial Corp. 5.800% 6/7/2012  7,875  7,403 
  Countrywide Financial Corp. 6.250% 5/15/2016  3,925  3,503 
  Countrywide Home Loan 6.250% 4/15/2009  1,500  1,410 
  Countrywide Home Loan 5.625% 7/15/2009  340  320 
  Countrywide Home Loan 4.125% 9/15/2009  13,525  12,477 
  Countrywide Home Loan 4.000% 3/22/2011  4,900  4,385 
  ^ General Electric Capital Corp. 3.600% 10/15/2008  11,840  11,689 
  General Electric Capital Corp. 3.125% 4/1/2009  2,475  2,418 
  General Electric Capital Corp. 3.250% 6/15/2009  3,325  3,245 
  General Electric Capital Corp. 4.625% 9/15/2009  5,525  5,505 
  General Electric Capital Corp. 8.300% 9/20/2009  275  292 
  General Electric Capital Corp. 5.250% 10/27/2009  9,725  9,799 
  General Electric Capital Corp. 4.250% 9/13/2010  7,900  7,772 
  General Electric Capital Corp. 4.875% 10/21/2010  10,700  10,714 
  General Electric Capital Corp. 6.125% 2/22/2011  20,425  21,052 
  General Electric Capital Corp. 5.500% 4/28/2011  15,300  15,470 
  General Electric Capital Corp. 5.875% 2/15/2012  21,540  22,130 
  General Electric Capital Corp. 4.375% 3/3/2012  11,200  10,876 
  General Electric Capital Corp. 5.000% 4/10/2012  250  249 
  General Electric Capital Corp. 4.250% 6/15/2012  8,975  8,643 
  General Electric Capital Corp. 6.000% 6/15/2012  7,550  7,810 
  General Electric Capital Corp. 5.450% 1/15/2013  1,020  1,031 
  General Electric Capital Corp. 5.500% 6/4/2014  14,725  14,749 
  General Electric Capital Corp. 5.650% 6/9/2014  13,750  13,887 
  General Electric Capital Corp. 4.875% 3/4/2015  900  868 
  General Electric Capital Corp. 5.000% 1/8/2016  13,000  12,548 
  General Electric Capital Corp. 5.375% 10/20/2016  4,450  4,395 
  General Electric Capital Corp. 5.400% 2/15/2017  24,400  24,101 
  General Electric Capital Corp. 5.625% 9/15/2017  9,650  9,655 
  General Electric Capital Corp. 6.750% 3/15/2032  38,585  42,743 
  General Electric Capital Corp. 6.150% 8/7/2037  11,275  11,538 
  Heller Financial, Inc. 7.375% 11/1/2009  4,500  4,724 
  2 HSBC Finance Capital Trust IX 5.911% 11/30/2035  2,700  2,587 
  HSBC Finance Corp. 4.125% 12/15/2008  4,900  4,841 
  HSBC Finance Corp. 4.750% 5/15/2009  19,825  19,696 
  HSBC Finance Corp. 4.125% 11/16/2009  3,650  3,578 
  HSBC Finance Corp. 4.625% 9/15/2010  16,600  16,325 
  HSBC Finance Corp. 5.250% 1/14/2011  21,400  21,304 
  HSBC Finance Corp. 5.700% 6/1/2011  12,300  12,413 
  HSBC Finance Corp. 6.375% 10/15/2011  15,900  16,387 
  HSBC Finance Corp. 7.000% 5/15/2012  10,375  10,989 
  HSBC Finance Corp. 5.900% 6/19/2012  5,500  5,587 
  HSBC Finance Corp. 6.375% 11/27/2012  2,590  2,681 
  HSBC Finance Corp. 4.750% 7/15/2013  1,750  1,667 
  HSBC Finance Corp. 5.250% 1/15/2014  5,600  5,448 
  HSBC Finance Corp. 5.250% 4/15/2015  2,525  2,426 
  HSBC Finance Corp. 5.000% 6/30/2015  14,675  13,846 
  HSBC Finance Corp. 5.500% 1/19/2016  1,950  1,897 
  International Lease Finance Corp. 6.375% 3/15/2009  700  711 
  International Lease Finance Corp. 4.875% 9/1/2010  1,625  1,610 
  International Lease Finance Corp. 5.125% 11/1/2010  2,850  2,842 
  International Lease Finance Corp. 5.450% 3/24/2011  3,050  3,074 
  International Lease Finance Corp. 5.750% 6/15/2011  21,325  21,515 
  International Lease Finance Corp. 5.400% 2/15/2012  2,250  2,245 
  International Lease Finance Corp. 5.300% 5/1/2012  2,075  2,064 
  International Lease Finance Corp. 5.000% 9/15/2012  5,250  5,120 
  International Lease Finance Corp. 5.625% 9/20/2013  10,500  10,394 
  International Lease Finance Corp. 5.650% 6/1/2014  7,650  7,533 
  iStar Financial Inc. 5.800% 3/15/2011  5,000  4,785 
  iStar Financial Inc. 5.650% 9/15/2011  5,750  5,462 
  iStar Financial Inc. 5.150% 3/1/2012  5,775  5,374 
  iStar Financial Inc. 5.950% 10/15/2013  4,550  4,270 
  iStar Financial Inc. 5.875% 3/15/2016  3,725  3,313 
  iStar Financial Inc. 5.850% 3/15/2017  600  533 
  SLM Corp. 4.000% 1/15/2009  1,590  1,533 
  SLM Corp. 4.500% 7/26/2010  3,175  2,966 
  SLM Corp. 5.400% 10/25/2011  21,550  20,026 
  SLM Corp. 5.000% 10/1/2013  500  441 
  SLM Corp. 5.050% 11/14/2014  2,400  2,065 
  SLM Corp. 5.625% 8/1/2033  6,200  4,674 
  Insurance (1.1%)
  ACE Capital Trust II 9.700% 4/1/2030  2,200  2,739 
  ACE INA Holdings, Inc. 5.700% 2/15/2017  3,700  3,653 
  AEGON Funding Corp. 5.750% 12/15/2020  1,350  1,312 
  AEGON NV 4.750% 6/1/2013  2,225  2,126 
  Aetna, Inc. 7.875% 3/1/2011  1,700  1,833 
  Aetna, Inc. 5.750% 6/15/2011  1,400  1,419 
  Aetna, Inc. 6.000% 6/15/2016  8,750  8,809 
  Aetna, Inc. 6.625% 6/15/2036  5,750  5,849 
  Allied World Assurance 7.500% 8/1/2016  6,100  6,367 
  Allstate Corp. 7.200% 12/1/2009  8,740  9,147 
  Allstate Corp. 5.000% 8/15/2014  2,475  2,364 
  Allstate Corp. 6.125% 12/15/2032  2,850  2,755 
  Allstate Corp. 5.350% 6/1/2033  1,120  981 
  Allstate Corp. 5.550% 5/9/2035  1,625  1,468 
  2 Allstate Corp. 6.125% 5/15/2037  2,175  2,132 
  2 Allstate Corp. 6.500% 5/15/2057  2,250  2,167 
  Allstate Life Global Funding 4.500% 5/29/2009  1,350  1,340 
  Ambac, Inc. 5.950% 12/5/2035  9,000  7,952 
  Ambac, Inc. 6.150% 2/15/2037  925  798 
  American General Capital II 8.500% 7/1/2030  8,590  10,449 
  American International Group, Inc. 4.700% 10/1/2010  1,450  1,433 
  American International Group, Inc. 5.375% 10/18/2011  4,200  4,221 
  American International Group, Inc. 4.950% 3/20/2012  13,725  13,468 
  American International Group, Inc. 5.050% 10/1/2015  6,250  6,000 
  American International Group, Inc. 5.600% 10/18/2016  1,875  1,839 
  American International Group, Inc. 5.450% 5/18/2017  6,725  6,578 
  American International Group, Inc. 6.250% 5/1/2036  11,075  11,236 
  American International Group, Inc. 6.250% 3/15/2037  2,750  2,595 
  Aon Capital Trust 8.205% 1/1/2027  1,200  1,306 
  Arch Capital Group Ltd. 7.350% 5/1/2034  3,775  3,891 
  Aspen Insurance Holdings Ltd. 6.000% 8/15/2014  3,300  3,285 
  Assurant, Inc. 5.625% 2/15/2014  1,450  1,404 
  Assurant, Inc. 6.750% 2/15/2034  4,100  4,129 
  AXA Financial, Inc. 7.750% 8/1/2010  1,075  1,144 
  AXA SA 8.600% 12/15/2030  10,550  12,621 
  Axis Capital Holdings 5.750% 12/1/2014  2,700  2,733 
  Berkshire Hathaway Finance Corp. 3.375% 10/15/2008  2,965  2,921 
  Berkshire Hathaway Finance Corp. 4.125% 1/15/2010  7,900  7,783 
  Berkshire Hathaway Finance Corp. 4.200% 12/15/2010  4,150  4,070 
  Berkshire Hathaway Finance Corp. 4.625% 10/15/2013  4,475  4,338 
  Berkshire Hathaway Finance Corp. 5.100% 7/15/2014  550  539 
  Berkshire Hathaway Finance Corp. 4.850% 1/15/2015  10,400  10,029 
  2 Chubb Corp. 6.375% 3/29/2037  2,500  2,485 
  Chubb Corp. 6.000% 5/11/2037  8,150  7,833 
  CIGNA Corp. 7.875% 5/15/2027  1,300  1,451 
  CIGNA Corp. 6.150% 11/15/2036  7,100  6,740 
  Cincinnati Financial Corp. 6.920% 5/15/2028  550  590 
  Cincinnati Financial Corp. 6.125% 11/1/2034  4,300  4,202 
  CNA Financial Corp. 6.000% 8/15/2011  3,225  3,266 
  CNA Financial Corp. 5.850% 12/15/2014  4,225  4,169 
  CNA Financial Corp. 6.500% 8/15/2016  6,950  7,053 
  Commerce Group, Inc. 5.950% 12/9/2013  1,750  1,729 
  Coventry Health Care Inc. 6.300% 8/15/2014  4,725  4,723 
  2 Everest Reinsurance Holdings, Inc. 6.600% 5/15/2067  2,775  2,608 
  Fidelity National Financial, Inc. 7.300% 8/15/2011  4,850  5,094 
  Fund American Cos., Inc. 5.875% 5/15/2013  1,925  1,906 
  GE Global Insurance Holdings Corp. 6.450% 3/1/2019  2,000  2,082 
  GE Global Insurance Holdings Corp. 7.000% 2/15/2026  4,200  4,507 
  GE Global Insurance Holdings Corp. 7.750% 6/15/2030  1,650  1,917 
  Genworth Financial, Inc. 4.750% 6/15/2009  1,600  1,591 
  Genworth Financial, Inc. 5.125% 3/15/2011  1,400  1,395 
  Genworth Financial, Inc. 5.750% 6/15/2014  1,025  1,026 
  Genworth Financial, Inc. 4.950% 10/1/2015  1,225  1,153 
  Genworth Financial, Inc. 6.500% 6/15/2034  3,975  3,905 
  2 Genworth Financial, Inc. 6.150% 11/15/2066  1,800  1,689 
  Hartford Financial Services Group, Inc. 5.250% 10/15/2011  4,675  4,679 
  Hartford Financial Services Group, Inc. 4.625% 7/15/2013  1,800  1,729 
  Hartford Financial Services Group, Inc. 5.500% 10/15/2016  3,250  3,187 
  Hartford Financial Services Group, Inc. 5.375% 3/15/2017  3,200  3,084 
  Hartford Financial Services Group, Inc. 5.950% 10/15/2036  3,500  3,297 
  Hartford Financial Services Group, Inc. 6.100% 10/1/2041  4,075  3,994 
  Humana Inc. 6.450% 6/1/2016  6,025  6,113 
  Humana Inc. 6.300% 8/1/2018  250  248 
  2 ING Capital Funding Trust III 5.775% 12/8/2049  4,775  4,520 
  ING USA Global 4.500% 10/1/2010  13,000  12,773 
  John Hancock Financial Services 5.625% 12/1/2008  500  504 
  Lincoln National Corp. 6.200% 12/15/2011  1,225  1,260 
  Lincoln National Corp. 5.650% 8/27/2012  3,975  4,002 
  Lincoln National Corp. 6.150% 4/7/2036  7,250  6,949 
  2 Lincoln National Corp. 6.050% 4/20/2067  1,600  1,541 
  Loews Corp. 5.250% 3/15/2016  1,500  1,430 
  Loews Corp. 6.000% 2/1/2035  650  598 
  Marsh&McLennan Cos., Inc. 5.150% 9/15/2010  3,075  3,064 
  Marsh&McLennan Cos., Inc. 6.250% 3/15/2012  6,225  6,385 
  Marsh&McLennan Cos., Inc. 5.375% 7/15/2014  550  533 
  Marsh&McLennan Cos., Inc. 5.750% 9/15/2015  9,475  9,316 
  Marsh&McLennan Cos., Inc. 5.875% 8/1/2033  1,400  1,237 
  MetLife, Inc. 6.125% 12/1/2011  850  878 
  MetLife, Inc. 5.375% 12/15/2012  2,450  2,463 
  MetLife, Inc. 5.000% 11/24/2013  4,900  4,742 
  MetLife, Inc. 5.500% 6/15/2014  650  646 
  MetLife, Inc. 5.000% 6/15/2015  2,725  2,599 
  MetLife, Inc. 6.500% 12/15/2032  3,450  3,518 
  MetLife, Inc. 6.375% 6/15/2034  2,900  2,912 
  MetLife, Inc. 5.700% 6/15/2035  975  900 
  Principal Financial Group, Inc. 6.050% 10/15/2036  3,000  2,885 
  Principal Life Income Funding 5.125% 3/1/2011  4,675  4,679 
  Principal Life Income Funding 5.100% 4/15/2014  4,825  4,687 
  Progressive Corp. 6.375% 1/15/2012  1,950  2,019 
  Progressive Corp. 6.625% 3/1/2029  5,175  5,346 
  Progressive Corp. 6.250% 12/1/2032  325  329 
  2 Progressive Corp. 6.700% 6/15/2037  5,350  5,246 
  Protective Life Secured Trust 3.700% 11/24/2008  7,025  6,919 
  Protective Life Secured Trust 4.850% 8/16/2010  2,225  2,199 
  Prudential Financial, Inc. 5.100% 12/14/2011  450  449 
  Prudential Financial, Inc. 5.800% 6/15/2012  2,400  2,449 
  Prudential Financial, Inc. 4.500% 7/15/2013  3,325  3,164 
  Prudential Financial, Inc. 4.750% 4/1/2014  2,125  2,025 
  Prudential Financial, Inc. 5.100% 9/20/2014  5,650  5,464 
  Prudential Financial, Inc. 5.500% 3/15/2016  725  705 
  Prudential Financial, Inc. 6.100% 6/15/2017  4,225  4,296 
  Prudential Financial, Inc. 5.750% 7/15/2033  1,800  1,661 
  Prudential Financial, Inc. 5.400% 6/13/2035  2,300  2,033 
  Prudential Financial, Inc. 5.900% 3/17/2036  4,400  4,091 
  Prudential Financial, Inc. 5.700% 12/14/2036  12,325  11,084 
  St. Paul Travelers Cos., Inc. 5.500% 12/1/2015  1,700  1,664 
  St. Paul Travelers Cos., Inc. 6.250% 6/20/2016  2,875  2,937 
  Torchmark Corp. 6.375% 6/15/2016  4,225  4,308 
  Travelers Cos. Inc. 5.375% 6/15/2012  300  306 
  2 Travelers Cos. Inc. 6.250% 3/15/2037  2,375  2,288 
  Travelers Cos. Inc. 6.250% 6/15/2037  15,700  15,202 
  Travelers Property Casualty Corp. 6.375% 3/15/2033  475  471 
  UnitedHealth Group, Inc. 4.125% 8/15/2009  6,775  6,662 
  UnitedHealth Group, Inc. 5.000% 8/15/2014  4,925  4,710 
  UnitedHealth Group, Inc. 4.875% 3/15/2015  2,500  2,368 
  4 UnitedHealth Group, Inc. 6.000% 6/15/2017  1,300  1,313 
  UnitedHealth Group, Inc. 5.800% 3/15/2036  1,500  1,407 
  4 UnitedHealth Group, Inc. 6.500% 6/15/2037  2,125  2,167 
  WellPoint Inc. 4.250% 12/15/2009  1,750  1,718 
  WellPoint Inc. 5.000% 1/15/2011  5,700  5,644 
  WellPoint Inc. 6.375% 1/15/2012  3,815  3,961 
  WellPoint Inc. 6.800% 8/1/2012  2,710  2,884 
  WellPoint Inc. 5.000% 12/15/2014  5,400  5,152 
  WellPoint Inc. 5.250% 1/15/2016  750  717 
  WellPoint Inc. 5.875% 6/15/2017  5,200  5,141 
  WellPoint Inc. 5.950% 12/15/2034  7,250  6,708 
  WellPoint Inc. 5.850% 1/15/2036  2,050  1,881 
  WellPoint Inc. 6.375% 6/15/2037  7,450  7,288 
  Willis North America Inc. 5.125% 7/15/2010  1,100  1,081 
  Willis North America Inc. 5.625% 7/15/2015  4,550  4,369 
  Willis North America Inc. 6.200% 3/28/2017  2,500  2,477 
  XL Capital Ltd. 5.250% 9/15/2014  4,950  4,780 
  XL Capital Ltd. 6.375% 11/15/2024  575  562 
  XL Capital Ltd. 6.250% 5/15/2027  10,500  9,932 
  2 XL Capital Ltd. 6.500% 12/15/2049  5,150  4,607 
  Real Estate Investment Trusts (0.4%)
  Archstone-Smith Operating Trust 5.250% 5/1/2015  4,275  4,125 
  Arden Realty LP 5.250% 3/1/2015  1,075  1,040 
  AvalonBay Communities, Inc. 5.500% 1/15/2012  2,450  2,440 
  AvalonBay Communities, Inc. 5.750% 9/15/2016  975  949 
  Boston Properties, Inc. 6.250% 1/15/2013  1,765  1,814 
  Boston Properties, Inc. 5.625% 4/15/2015  5,250  5,123 
  Brandywine Operating Partnership 4.500% 11/1/2009  4,475  4,380 
  Brandywine Operating Partnership 5.625% 12/15/2010  2,925  2,929 
  Brandywine Operating Partnership 5.400% 11/1/2014  1,175  1,118 
  Camden Property Trust 5.700% 5/15/2017  3,700  3,599 
  Colonial Realty LP 5.500% 10/1/2015  2,675  2,549 
  Developers Diversified Realty Corp. 5.250% 4/15/2011  500  494 
  Developers Diversified Realty Corp. 5.375% 10/15/2012  4,675  4,564 
  Duke Realty LP 5.625% 8/15/2011  2,000  1,992 
  Duke Realty LP 5.950% 2/15/2017  1,750  1,686 
  ERP Operating LP 6.625% 3/15/2012  4,295  4,461 
  ERP Operating LP 5.500% 10/1/2012  3,500  3,442 
  ERP Operating LP 5.250% 9/15/2014  725  682 
  ERP Operating LP 5.125% 3/15/2016  3,200  2,961 
  ERP Operating LP 5.375% 8/1/2016  3,725  3,475 
  ERP Operating LP 5.750% 6/15/2017  1,375  1,315 
  Health Care Property Investors, Inc. 6.450% 6/25/2012  725  734 
  Health Care Property Investors, Inc. 6.300% 9/15/2016  3,200  3,130 
  Health Care Property Investors, Inc. 6.000% 1/30/2017  2,125  2,033 
  Health Care Property Investors, Inc. 5.625% 5/1/2017  100  93 
  Health Care REIT, Inc. 6.000% 11/15/2013  250  249 
  Health Care REIT, Inc. 6.200% 6/1/2016  6,525  6,280 
  Hospitality Properties 5.125% 2/15/2015  2,200  2,009 
  HRPT Properties Trust 6.250% 8/15/2016  1,750  1,712 
  HRPT Properties Trust 6.250% 6/15/2017  4,375  4,227 
  Kimco Realty Corp. 5.783% 3/15/2016  1,350  1,307 
  Liberty Property LP 5.125% 3/2/2015  10,350  9,564 
  Liberty Property LP 5.500% 12/15/2016  2,425  2,254 
  National Retail Properties 6.875% 10/15/2017  11,275  11,205 
  ProLogis 5.250% 11/15/2010  2,475  2,467 
  ProLogis 5.500% 3/1/2013  2,575  2,530 
  ProLogis 5.625% 11/15/2015  3,525  3,406 
  ProLogis 5.750% 4/1/2016  3,225  3,145 
  ProLogis 5.625% 11/15/2016  2,425  2,340 
  Realy Income Corp. 6.750% 8/15/2019  6,925  6,965 
  Regency Centers LP 6.750% 1/15/2012  7,225  7,512 
  Regency Centers LP 5.250% 8/1/2015  2,800  2,607 
  Simon Property Group Inc. 4.875% 8/15/2010  7,850  7,721 
  Simon Property Group Inc. 5.600% 9/1/2011  3,250  3,248 
  Simon Property Group Inc. 5.000% 3/1/2012  3,975  3,871 
  Simon Property Group Inc. 6.350% 8/28/2012  55  57 
  Simon Property Group Inc. 5.625% 8/15/2014  150  146 
  Simon Property Group Inc. 5.750% 12/1/2015  6,025  5,861 
  Simon Property Group Inc. 5.250% 12/1/2016  16,200  15,169 
  Simon Property Group Inc. 5.875% 3/1/2017  3,675  3,601 
  Tanger Factory Outlet Centers, Inc. 6.150% 11/15/2015  4,250  4,163 
  Vornado Realty 5.600% 2/15/2011  4,525  4,452 
  Other (0.0%)
  J. Paul Getty Trust 5.875% 10/1/2033  2,700  2,694 
  XTRA Finance Corp. 5.150% 4/1/2017  15,400  15,172 
        3,993,965
  Industrial (8.5%)
  Basic Industry (0.5%)
  Alcan, Inc. 6.450% 3/15/2011  700  727 
  Alcan, Inc. 4.875% 9/15/2012  1,050  1,029 
  Alcan, Inc. 4.500% 5/15/2013  5,175  4,919 
  Alcan, Inc. 5.200% 1/15/2014  875  853 
  Alcan, Inc. 5.000% 6/1/2015  1,050  997 
  Alcan, Inc. 6.125% 12/15/2033  7,475  7,223 
  Alcoa, Inc. 6.000% 1/15/2012  300  306 
  Alcoa, Inc. 5.375% 1/15/2013  3,800  3,741 
  Alcoa, Inc. 5.720% 2/23/2019  5,773  5,531 
  Alcoa, Inc. 5.870% 2/23/2022  1,577  1,496 
  Alcoa, Inc. 5.900% 2/1/2027  2,500  2,341 
  Aluminum Co. of America 6.750% 1/15/2028  750  772 
  Barrick Gold Finance Inc. 4.875% 11/15/2014  3,325  3,165 
  BHP Billiton Finance 4.800% 4/15/2013  6,240  6,026 
  BHP Billiton Finance 5.250% 12/15/2015  5,150  4,997 
  BHP Finance USA Ltd. 5.125% 3/29/2012  4,300  4,264 
  BHP Finance USA Ltd. 5.400% 3/29/2017  940  918 
  Celulosa Arauco Constitution SA 8.625% 8/15/2010  7,825  8,461 
  Celulosa Arauco Constitution SA 5.625% 4/20/2015  2,625  2,553 
  Commercial Metals Co. 6.500% 7/15/2017  2,750  2,842 
  Dow Chemical Co. 6.125% 2/1/2011  12,500  12,826 
  Dow Chemical Co. 6.000% 10/1/2012  1,450  1,491 
  Dow Chemical Co. 7.375% 11/1/2029  4,275  4,715 
  E.I. du Pont de Nemours&Co. 6.875% 10/15/2009  6,200  6,435 
  E.I. du Pont de Nemours&Co. 4.125% 4/30/2010  1,525  1,493 
  E.I. du Pont de Nemours&Co. 4.750% 11/15/2012  1,745  1,705 
  E.I. du Pont de Nemours&Co. 5.250% 12/15/2016  800  774 
  E.I. du Pont de Nemours&Co. 6.500% 1/15/2028  2,050  2,099 
  Eastman Chemical Co. 7.250% 1/15/2024  1,200  1,242 
  Eastman Chemical Co. 7.600% 2/1/2027  2,563  2,741 
  Falconbridge Ltd. 7.350% 6/5/2012  1,275  1,351 
  Falconbridge Ltd. 5.375% 6/1/2015  450  432 
  ICI Wilmington 4.375% 12/1/2008  3,750  3,711 
  ICI Wilmington 5.625% 12/1/2013  900  908 
  Inco Ltd. 7.750% 5/15/2012  60  65 
  Inco Ltd. 5.700% 10/15/2015  4,300  4,198 
  Inco Ltd. 7.200% 9/15/2032  1,500  1,564 
  International Paper Co. 4.250% 1/15/2009  2,825  2,791 
  International Paper Co. 4.000% 4/1/2010  500  482 
  International Paper Co. 5.850% 10/30/2012  2,005  2,023 
  International Paper Co. 5.300% 4/1/2015  5,650  5,454 
  Lubrizol Corp. 5.500% 10/1/2014  9,650  9,309 
  Lubrizol Corp. 6.500% 10/1/2034  4,985  4,813 
  MeadWestvaco Corp. 6.850% 4/1/2012  1,515  1,572 
  Monsanto Co. 7.375% 8/15/2012  1,025  1,107 
  Newmont Mining 5.875% 4/1/2035  3,125  2,736 
  Noranda, Inc. 7.250% 7/15/2012  3,750  3,961 
  Noranda, Inc. 6.000% 10/15/2015  1,450  1,446 
  Noranda, Inc. 5.500% 6/15/2017  6,650  6,310 
  Placer Dome, Inc. 6.450% 10/15/2035  2,875  2,860 
  Plum Creek Timber Co. 5.875% 11/15/2015  4,275  4,169 
  Potash Corp. of Saskatchewan 7.750% 5/31/2011  10,425  11,223 
  Potash Corp. of Saskatchewan 4.875% 3/1/2013  2,025  1,959 
  Potash Corp. of Saskatchewan 5.875% 12/1/2036  975  890 
  Praxair, Inc. 6.375% 4/1/2012  2,000  2,097 
  Praxair, Inc. 3.950% 6/1/2013  600  557 
  Praxair, Inc. 5.200% 3/15/2017  1,400  1,348 
  Reliance Steel&Aluminum 6.200% 11/15/2016  350  346 
  Reliance Steel&Aluminum 6.850% 11/15/2036  650  635 
  Rohm&Haas Co. 5.600% 3/15/2013  150  150 
  Rohm&Haas Co. 6.000% 9/15/2017  900  901 
  2 Rohm&Haas Co. 9.800% 4/15/2020  2,579  3,158 
  Rohm&Haas Co. 7.850% 7/15/2029  2,950  3,313 
  Southern Copper Corp. 7.500% 7/27/2035  9,050  9,831 
  Teck Cominco Ltd. 6.125% 10/1/2035  6,525  6,099 
  Temple Inland Inc. 7.875% 5/1/2012  900  964 
  US Steel Corp. 6.650% 6/1/2037  275  254 
  Vale Overseas Ltd. 6.250% 1/11/2016  2,525  2,550 
  Vale Overseas Ltd. 6.250% 1/23/2017  5,500  5,576 
  Vale Overseas Ltd. 8.250% 1/17/2034  2,925  3,481 
  Vale Overseas Ltd. 6.875% 11/21/2036  15,375  15,913 
  Westvaco Corp. 8.200% 1/15/2030  1,050  1,108 
  Weyerhaeuser Co. 6.750% 3/15/2012  16,695  17,357 
  Weyerhaeuser Co. 7.375% 3/15/2032  8,755  8,788 
  Capital Goods (0.9%)
  3M Co. 5.125% 11/6/2009  1,650  1,667 
  2,4 BAE Systems Asset Trust 7.156% 12/15/2011  2,384  2,495 
  Bemis Co. Inc. 4.875% 4/1/2012  1,500  1,476 
  Boeing Capital Corp. 7.375% 9/27/2010  3,250  3,469 
  Boeing Capital Corp. 6.500% 2/15/2012  15,175  16,006 
  Boeing Capital Corp. 5.800% 1/15/2013  2,465  2,522 
  Boeing Co. 5.125% 2/15/2013  200  199 
  Boeing Co. 8.750% 8/15/2021  1,450  1,809 
  Boeing Co. 7.250% 6/15/2025  2,275  2,579 
  Boeing Co. 8.750% 9/15/2031  975  1,307 
  Boeing Co. 6.125% 2/15/2033  200  202 
  Boeing Co. 6.625% 2/15/2038  5,045  5,452 
  Caterpillar Financial Services Corp. 4.150% 1/15/2010  10,000  9,833 
  Caterpillar Financial Services Corp. 4.300% 6/1/2010  7,625  7,486 
  Caterpillar Financial Services Corp. 4.750% 2/17/2015  5,775  5,489 
  Caterpillar Financial Services Corp. 4.625% 6/1/2015  3,125  2,943 
  Caterpillar, Inc. 6.625% 7/15/2028  850  908 
  Caterpillar, Inc. 7.300% 5/1/2031  700  800 
  Caterpillar, Inc. 6.050% 8/15/2036  9,775  9,747 
  Caterpillar, Inc. 6.950% 5/1/2042  1,275  1,402 
  Caterpillar, Inc. 7.375% 3/1/2097  6,150  6,984 
  CRH America Inc. 5.625% 9/30/2011  4,375  4,351 
  CRH America Inc. 6.950% 3/15/2012  6,210  6,467 
  CRH America Inc. 5.300% 10/15/2013  875  841 
  CRH America Inc. 6.000% 9/30/2016  3,700  3,593 
  CRH America Inc. 6.400% 10/15/2033  2,670  2,467 
  Deere&Co. 6.950% 4/25/2014  6,595  7,173 
  Deere&Co. 8.100% 5/15/2030  3,755  4,653 
  Deere&Co. 7.125% 3/3/2031  725  825 
  Embraer Overseas Ltd. 6.375% 1/24/2017  5,775  5,615 
  Emerson Electric Co. 7.125% 8/15/2010  4,275  4,523 
  Emerson Electric Co. 4.625% 10/15/2012  5,050  4,928 
  Emerson Electric Co. 4.500% 5/1/2013  4,900  4,713 
  General Dynamics Corp. 4.500% 8/15/2010  25  25 
  General Dynamics Corp. 4.250% 5/15/2013  6,290  5,924 
  General Electric Co. 5.000% 2/1/2013  34,165  33,915 
  Hanson PLC 7.875% 9/27/2010  1,425  1,507 
  Hanson PLC 5.250% 3/15/2013  1,525  1,471 
  Honeywell International, Inc. 7.500% 3/1/2010  1,500  1,589 
  Honeywell International, Inc. 6.125% 11/1/2011  2,350  2,425 
  Honeywell International, Inc. 5.625% 8/1/2012  4,200  4,302 
  Honeywell International, Inc. 5.400% 3/15/2016  2,400  2,383 
  Honeywell International, Inc. 5.300% 3/15/2017  6,475  6,316 
  Honeywell International, Inc. 5.700% 3/15/2036  2,775  2,559 
  John Deere Capital Corp. 4.875% 3/16/2009  11,525  11,515 
  John Deere Capital Corp. 5.400% 10/17/2011  6,350  6,402 
  John Deere Capital Corp. 5.350% 1/17/2012  4,400  4,433 
  John Deere Capital Corp. 7.000% 3/15/2012  14,070  15,068 
  Joy Global, Inc. 6.000% 11/15/2016  2,175  2,164 
  Lafarge SA 6.150% 7/15/2011  675  688 
  Lafarge SA 6.500% 7/15/2016  7,925  8,041 
  Lafarge SA 7.125% 7/15/2036  14,925  15,530 
  Lockheed Martin Corp. 7.650% 5/1/2016  5,325  5,968 
  Lockheed Martin Corp. 7.750% 5/1/2026  600  710 
  Lockheed Martin Corp. 6.150% 9/1/2036  12,975  13,131 
  Masco Corp. 5.875% 7/15/2012  1,135  1,132 
  Masco Corp. 4.800% 6/15/2015  7,650  6,919 
  Masco Corp. 6.125% 10/3/2016  100  98 
  Masco Corp. 7.750% 8/1/2029  450  479 
  Masco Corp. 6.500% 8/15/2032  2,450  2,309 
  Minnesota Mining&Manufacturing Corp. 6.375% 2/15/2028  4,325  4,587 
  Minnesota Mining&Manufacturing Corp. 5.700% 3/15/2037  4,050  3,948 
  Mohawk Industries Inc. 5.750% 1/15/2011  7,275  7,372 
  Mohawk Industries Inc. 6.125% 1/15/2016  13,975  13,970 
  Northrop Grumman Corp. 7.125% 2/15/2011  10,850  11,481 
  Northrop Grumman Corp. 7.750% 3/1/2016  700  795 
  Northrop Grumman Corp. 7.875% 3/1/2026  2,600  3,083 
  Northrop Grumman Corp. 7.750% 2/15/2031  3,365  3,962 
  Owens Corning, Inc. 6.500% 12/1/2016  1,100  1,064 
  Owens Corning, Inc. 7.000% 12/1/2036  2,425  2,329 
  Raytheon Co. 4.850% 1/15/2011  250  250 
  Raytheon Co. 5.500% 11/15/2012  1,350  1,359 
  Raytheon Co. 5.375% 4/1/2013  3,665  3,618 
  Raytheon Co. 6.400% 12/15/2018  500  521 
  Raytheon Co. 7.200% 8/15/2027  1,150  1,283 
  Republic Services, Inc. 6.750% 8/15/2011  1,875  1,954 
  Republic Services, Inc. 6.086% 3/15/2035  2,850  2,550 
  Textron Financial Corp. 4.600% 5/3/2010  4,200  4,146 
  Textron, Inc. 6.500% 6/1/2012  8,125  8,469 
  TRW, Inc. 7.750% 6/1/2029  5,850  6,851 
  Tyco International Group SA 6.125% 11/1/2008  1,100  1,119 
  Tyco International Group SA 6.750% 2/15/2011  9,875  10,176 
  Tyco International Group SA 6.375% 10/15/2011  12,725  13,006 
  Tyco International Group SA 6.000% 11/15/2013  5,850  5,943 
  Tyco International Group SA 7.000% 6/15/2028  2,350  2,527 
  United Technologies Corp. 4.375% 5/1/2010  1,525  1,510 
  United Technologies Corp. 7.125% 11/15/2010  250  266 
  United Technologies Corp. 6.350% 3/1/2011  7,650  7,965 
  United Technologies Corp. 4.875% 5/1/2015  5,975  5,739 
  United Technologies Corp. 8.875% 11/15/2019  3,150  3,956 
  United Technologies Corp. 6.700% 8/1/2028  1,642  1,779 
  United Technologies Corp. 7.500% 9/15/2029  2,800  3,308 
  United Technologies Corp. 5.400% 5/1/2035  3,450  3,211 
  United Technologies Corp. 6.050% 6/1/2036  6,050  6,106 
  Waste Management, Inc. 6.875% 5/15/2009  3,570  3,684 
  Waste Management, Inc. 7.375% 8/1/2010  875  923 
  Waste Management, Inc. 5.000% 3/15/2014  500  477 
  Waste Management, Inc. 7.750% 5/15/2032  525  590 
  WMX Technologies Inc. 7.100% 8/1/2026  1,375  1,430 
  Communication (2.3%)
  America Movil SA de C.V. 4.125% 3/1/2009  5,350  5,283 
  America Movil SA de C.V. 5.500% 3/1/2014  2,575  2,536 
  America Movil SA de C.V. 5.750% 1/15/2015  2,625  2,618 
  America Movil SA de C.V. 6.375% 3/1/2035  10,125  9,872 
  AT&T Corp. 6.000% 3/15/2009  10,875  10,994 
  AT&T Corp. 7.300% 11/15/2011  6,575  7,048 
  AT&T Corp. 8.000% 11/15/2031  23,755  28,690 
  AT&T Inc. 4.125% 9/15/2009  9,225  9,081 
  AT&T Inc. 5.300% 11/15/2010  4,550  4,598 
  AT&T Inc. 6.250% 3/15/2011  14,890  15,341 
  AT&T Inc. 5.875% 2/1/2012  7,230  7,381 
  AT&T Inc. 5.875% 8/15/2012  4,995  5,108 
  AT&T Inc. 5.100% 9/15/2014  11,425  11,081 
  AT&T Inc. 5.625% 6/15/2016  23,075  22,942 
  AT&T Inc. 6.450% 6/15/2034  3,900  3,969 
  AT&T Inc. 6.150% 9/15/2034  2,750  2,728 
  AT&T Inc. 6.800% 5/15/2036  400  428 
  AT&T Inc. 6.500% 9/1/2037  11,925  12,308 
  BellSouth Capital Funding 7.875% 2/15/2030  12,950  15,014 
  BellSouth Corp. 4.200% 9/15/2009  3,925  3,866 
  BellSouth Corp. 4.750% 11/15/2012  4,845  4,723 
  BellSouth Corp. 5.200% 12/15/2016  1,125  1,085 
  BellSouth Corp. 6.875% 10/15/2031  400  417 
  BellSouth Corp. 6.550% 6/15/2034  6,800  6,937 
  BellSouth Corp. 6.000% 11/15/2034  3,835  3,671 
  BellSouth Telecommunications 6.375% 6/1/2028  8,365  8,397 
  Belo Corp. 7.250% 9/15/2027  340  318 
  British Sky Broadcasting Corp. 6.875% 2/23/2009  5,050  5,164 
  British Sky Broadcasting Corp. 8.200% 7/15/2009  1,675  1,761 
  British Telecommunications PLC 8.625% 12/15/2010  8,735  9,611 
  British Telecommunications PLC 9.125% 12/15/2030  13,135  17,505 
  CBS Corp. 7.700% 7/30/2010  5,375  5,700 
  CBS Corp. 6.625% 5/15/2011  2,760  2,849 
  CBS Corp. 5.625% 8/15/2012  3,275  3,261 
  CBS Corp. 4.625% 5/15/2018  500  435 
  CBS Corp. 7.875% 7/30/2030  575  619 
  CBS Corp. 5.500% 5/15/2033  675  550 
  CenturyTel Enterprises 6.875% 1/15/2028  925  905 
  CenturyTel, Inc. 7.875% 8/15/2012  2,375  2,607 
  CenturyTel, Inc. 6.000% 4/1/2017  425  420 
  Cingular Wireless LLC 6.500% 12/15/2011  2,850  2,974 
  Cingular Wireless LLC 7.125% 12/15/2031  12,370  13,447 
  Comcast Cable Communications Holdings Inc. 8.375% 3/15/2013  4,365  4,899 
  Comcast Cable Communications Holdings Inc. 9.455% 11/15/2022  8,861  11,266 
  Comcast Cable Communications, Inc. 6.200% 11/15/2008  4,000  4,042 
  Comcast Cable Communications, Inc. 6.875% 6/15/2009  1,400  1,439 
  Comcast Cable Communications, Inc. 6.750% 1/30/2011  10,890  11,342 
  Comcast Cable Communications, Inc. 8.875% 5/1/2017  2,825  3,351 
  Comcast Corp. 5.850% 1/15/2010  1,925  1,956 
  Comcast Corp. 5.500% 3/15/2011  1,925  1,937 
  Comcast Corp. 5.300% 1/15/2014  7,825  7,605 
  Comcast Corp. 6.500% 1/15/2015  5,640  5,814 
  Comcast Corp. 5.850% 11/15/2015  1,000  996 
  Comcast Corp. 5.900% 3/15/2016  17,625  17,522 
  Comcast Corp. 6.300% 11/15/2017  8,975  9,117 
  Comcast Corp. 5.875% 2/15/2018  18,000  17,720 
  Comcast Corp. 7.050% 3/15/2033  1,690  1,772 
  Comcast Corp. 6.500% 11/15/2035  7,475  7,360 
  Comcast Corp. 6.450% 3/15/2037  4,300  4,232 
  Comcast Corp. 6.950% 8/15/2037  10,000  10,506 
  Cox Communications, Inc. 4.625% 1/15/2010  1,300  1,281 
  Cox Communications, Inc. 6.750% 3/15/2011  20,400  21,141 
  Cox Communications, Inc. 7.125% 10/1/2012  5,550  5,878 
  Cox Communications, Inc. 5.450% 12/15/2014  11,825  11,462 
  Cox Communications, Inc. 5.500% 10/1/2015  725  701 
  Deutsche Telekom International Finance 8.000% 6/15/2010  24,210  25,927 
  Deutsche Telekom International Finance 5.250% 7/22/2013  1,025  1,009 
  Deutsche Telekom International Finance 5.750% 3/23/2016  900  891 
  Deutsche Telekom International Finance 8.250% 6/15/2030  21,580  26,559 
  Embarq Corp. 6.738% 6/1/2013  650  680 
  Embarq Corp. 7.082% 6/1/2016  8,625  8,936 
  Embarq Corp. 7.995% 6/1/2036  2,875  3,073 
  France Telecom 7.750% 3/1/2011  10,900  11,773 
  France Telecom 8.500% 3/1/2031  24,575  31,686 
  Gannett Co., Inc. 6.375% 4/1/2012  5,025  5,152 
  Grupo Televisa SA 6.625% 3/18/2025  4,125  4,161 
  Grupo Televisa SA 8.500% 3/11/2032  750  905 
  GTE Corp. 8.750% 11/1/2021  3,760  4,580 
  GTE Corp. 6.940% 4/15/2028  4,620  4,827 
  IAC/InteractiveCorp 7.000% 1/15/2013  3,850  3,980 
  Koninklijke KPN NV 8.000% 10/1/2010  715  769 
  Koninklijke KPN NV 8.375% 10/1/2030  5,615  6,497 
  New Cingular Wireless Services 7.875% 3/1/2011  23,830  25,745 
  New Cingular Wireless Services 8.125% 5/1/2012  17,305  19,225 
  New Cingular Wireless Services 8.750% 3/1/2031  5,030  6,373 
  New England Telephone&Telegraph Co. 7.875% 11/15/2029  775  860 
  News America Holdings, Inc. 9.250% 2/1/2013  2,841  3,290 
  News America Holdings, Inc. 8.000% 10/17/2016  4,425  5,046 
  News America Holdings, Inc. 7.700% 10/30/2025  900  990 
  News America Holdings, Inc. 8.150% 10/17/2036  2,625  3,075 
  News America Holdings, Inc. 7.750% 12/1/2045  1,775  1,982 
  News America Inc. 5.300% 12/15/2014  5,925  5,793 
  News America Inc. 7.250% 5/18/2018  150  162 
  News America Inc. 6.550% 3/15/2033  275  271 
  News America Inc. 6.200% 12/15/2034  7,825  7,355 
  News America Inc. 6.400% 12/15/2035  12,585  12,168 
  Nextel Communications 6.875% 10/31/2013  7,100  7,153 
  Nextel Communications 5.950% 3/15/2014  5,730  5,473 
  Nextel Communications 7.375% 8/1/2015  7,845  7,977 
  Omnicom Group Inc. 5.900% 4/15/2016  925  917 
  Pacific Bell 7.125% 3/15/2026  1,700  1,790 
  Qwest Communications International Inc. 7.875% 9/1/2011  5,250  5,526 
  Qwest Communications International Inc. 8.875% 3/15/2012  5,300  5,790 
  Qwest Communications International Inc. 7.500% 10/1/2014  3,525  3,670 
  4 Qwest Communications International Inc. 6.500% 6/1/2017  3,750  3,675 
  R.R. Donnelley&Sons Co. 3.750% 4/1/2009  2,200  2,156 
  R.R. Donnelley&Sons Co. 4.950% 5/15/2010  3,400  3,375 
  R.R. Donnelley&Sons Co. 5.625% 1/15/2012  1,850  1,857 
  R.R. Donnelley&Sons Co. 4.950% 4/1/2014  1,275  1,199 
  R.R. Donnelley&Sons Co. 5.500% 5/15/2015  1,585  1,530 
  R.R. Donnelley&Sons Co. 6.125% 1/15/2017  225  224 
  Reed Elsevier Capital 4.625% 6/15/2012  1,375  1,326 
  Rogers Cable Inc. 5.500% 3/15/2014  750  719 
  Rogers Wireless Inc. 6.375% 3/1/2014  6,975  7,027 
  Sprint Capital Corp. 6.125% 11/15/2008  14,700  14,841 
  Sprint Capital Corp. 6.375% 5/1/2009  12,275  12,486 
  Sprint Capital Corp. 7.625% 1/30/2011  7,725  8,191 
  Sprint Capital Corp. 8.375% 3/15/2012  1,365  1,500 
  Sprint Capital Corp. 6.900% 5/1/2019  775  781 
  Sprint Capital Corp. 6.875% 11/15/2028  7,800  7,591 
  Sprint Capital Corp. 8.750% 3/15/2032  13,725  15,751 
  Sprint Nextel Corp. 6.000% 12/1/2016  4,475  4,301 
  TCI Communications, Inc. 8.750% 8/1/2015  16,995  19,559 
  TCI Communications, Inc. 7.875% 2/15/2026  425  467 
  Telecom Italia Capital 4.000% 11/15/2008  5,140  5,064 
  Telecom Italia Capital 4.000% 1/15/2010  4,300  4,196 
  Telecom Italia Capital 4.875% 10/1/2010  3,400  3,366 
  Telecom Italia Capital 6.200% 7/18/2011  9,600  9,837 
  Telecom Italia Capital 5.250% 11/15/2013  3,585  3,497 
  Telecom Italia Capital 4.950% 9/30/2014  4,000  3,776 
  Telecom Italia Capital 5.250% 10/1/2015  7,725  7,334 
  Telecom Italia Capital 6.375% 11/15/2033  4,495  4,241 
  Telecom Italia Capital 7.200% 7/18/2036  3,285  3,475 
  Tele-Communications, Inc. 7.875% 8/1/2013  14,425  15,828 
  Telefonica Emisiones SAU 5.984% 6/20/2011  9,825  10,035 
  Telefonica Emisiones SAU 5.855% 2/4/2013  1,900  1,929 
  Telefonica Emisiones SAU 6.421% 6/20/2016  8,550  8,797 
  Telefonica Emisiones SAU 6.221% 7/3/2017  1,275  1,298 
  Telefonica Emisiones SAU 7.045% 6/20/2036  11,675  12,511 
  Telefonica Europe BV 7.750% 9/15/2010  12,775  13,663 
  Telefonica Europe BV 8.250% 9/15/2030  5,775  6,823 
  Telefonos de Mexico SA 4.750% 1/27/2010  2,850  2,814 
  Telefonos de Mexico SA 5.500% 1/27/2015  19,425  18,915 
  Telus Corp. 8.000% 6/1/2011  9,250  9,996 
  Thomson Corp. 6.200% 1/5/2012  5,725  5,943 
  Thomson Corp. 5.500% 8/15/2035  1,150  1,034 
  4 Time Warner Cable Inc. 6.550% 5/1/2037  3,700  3,624 
  Time Warner Entertainment 10.150% 5/1/2012  1,075  1,263 
  Time Warner Entertainment 8.375% 3/15/2023  2,815  3,285 
  Time Warner Entertainment 8.375% 7/15/2033  8,735  10,216 
  4 Time Warner, Inc. 5.400% 7/2/2012  7,050  6,983 
  4 Time Warner, Inc. 5.850% 5/1/2017  23,370  22,753 
  US Cellular 6.700% 12/15/2033  3,800  3,473 
  US West Communications Group 7.500% 6/15/2023  4,575  4,523 
  US West Communications Group 6.875% 9/15/2033  4,475  4,162 
  Verizon Communications Corp. 5.350% 2/15/2011  7,950  8,018 
  Verizon Communications Corp. 5.550% 2/15/2016  11,325  11,199 
  Verizon Communications Corp. 6.250% 4/1/2037  900  907 
  Verizon Global Funding Corp. 7.250% 12/1/2010  8,050  8,554 
  Verizon Global Funding Corp. 6.875% 6/15/2012  17,400  18,549 
  Verizon Global Funding Corp. 7.375% 9/1/2012  7,975  8,679 
  Verizon Global Funding Corp. 4.375% 6/1/2013  560  532 
  Verizon Global Funding Corp. 7.750% 12/1/2030  2,890  3,342 
  Verizon Global Funding Corp. 5.850% 9/15/2035  5,725  5,452 
  Verizon Maryland, Inc. 6.125% 3/1/2012  500  517 
  Verizon Maryland, Inc. 5.125% 6/15/2033  450  366 
  Verizon New England, Inc. 6.500% 9/15/2011  4,670  4,844 
  Verizon New Jersey, Inc. 5.875% 1/17/2012  7,815  7,947 
  Verizon New York, Inc. 6.875% 4/1/2012  3,350  3,519 
  Verizon New York, Inc. 7.375% 4/1/2032  2,625  2,742 
  Verizon Pennsylvania, Inc. 5.650% 11/15/2011  11,125  11,215 
  Verizon Virginia, Inc. 4.625% 3/15/2013  6,625  6,308 
  Vodafone AirTouch PLC 7.750% 2/15/2010  1,955  2,064 
  Vodafone AirTouch PLC 7.875% 2/15/2030  4,900  5,649 
  Vodafone Group PLC 5.350% 2/27/2012  2,200  2,195 
  Vodafone Group PLC 5.000% 12/16/2013  575  555 
  Vodafone Group PLC 5.375% 1/30/2015  5,775  5,620 
  Vodafone Group PLC 5.000% 9/15/2015  4,700  4,455 
  Vodafone Group PLC 5.750% 3/15/2016  4,350  4,285 
  Vodafone Group PLC 5.625% 2/27/2017  9,100  8,851 
  Vodafone Group PLC 6.250% 11/30/2032  9,225  8,995 
  Vodafone Group PLC 6.150% 2/27/2037  3,750  3,602 
  WPP Finance USA Corp. 5.875% 6/15/2014  3,875  3,942 
  Consumer Cyclical (1.4%)
  Brinker International 5.750% 6/1/2014  1,925  1,844 
  Centex Corp. 4.550% 11/1/2010  700  637 
  Centex Corp. 7.875% 2/1/2011  290  284 
  Centex Corp. 5.450% 8/15/2012  2,100  1,877 
  Centex Corp. 5.125% 10/1/2013  3,690  3,196 
  Centex Corp. 6.500% 5/1/2016  2,875  2,598 
  Costco Wholesale Corp. 5.300% 3/15/2012  3,625  3,657 
  Costco Wholesale Corp. 5.500% 3/15/2017  11,200  10,951 
  CVS Caremark Corp. 4.000% 9/15/2009  1,075  1,052 
  CVS Caremark Corp. 5.750% 8/15/2011  2,275  2,307 
  2 CVS Caremark Corp. 6.302% 6/1/2037  5,325  5,167 
  CVS Corp. 4.875% 9/15/2014  2,750  2,596 
  CVS Corp. 5.750% 6/1/2017  1,950  1,908 
  CVS Corp. 6.250% 6/1/2027  20,475  19,907 
  D.R. Horton, Inc. 4.875% 1/15/2010  2,775  2,583 
  D.R. Horton, Inc. 6.000% 4/15/2011  6,575  6,067 
  D.R. Horton, Inc. 5.375% 6/15/2012  500  435 
  D.R. Horton, Inc. 5.250% 2/15/2015  5,050  4,098 
  D.R. Horton, Inc. 5.625% 1/15/2016  250  205 
  D.R. Horton, Inc. 6.500% 4/15/2016  6,000  5,223 
  DaimlerChrysler North America Holding Corp. 7.200% 9/1/2009  75  78 
  DaimlerChrysler North America Holding Corp. 4.875% 6/15/2010  1,700  1,680 
  DaimlerChrysler North America Holding Corp. 5.875% 3/15/2011  25,225  25,562 
  DaimlerChrysler North America Holding Corp. 5.750% 9/8/2011  15,250  15,391 
  DaimlerChrysler North America Holding Corp. 7.300% 1/15/2012  20,970  22,363 
  DaimlerChrysler North America Holding Corp. 6.500% 11/15/2013  7,100  7,377 
  DaimlerChrysler North America Holding Corp. 8.500% 1/18/2031  9,005  11,123 
  Federated Department Stores, Inc. 6.300% 4/1/2009  4,743  4,801 
  Federated Department Stores, Inc. 6.625% 4/1/2011  3,225  3,316 
  Federated Department Stores, Inc. 6.900% 4/1/2029  2,175  2,010 
  Federated Retail Holding 5.350% 3/15/2012  2,550  2,500 
  Federated Retail Holding 5.900% 12/1/2016  3,200  3,063 
  Federated Retail Holding 6.375% 3/15/2037  2,750  2,540 
  Home Depot Inc. 3.750% 9/15/2009  6,150  5,964 
  Home Depot Inc. 4.625% 8/15/2010  6,150  6,001 
  Home Depot Inc. 5.200% 3/1/2011  1,675  1,648 
  Home Depot Inc. 5.250% 12/16/2013  4,475  4,279 
  Home Depot Inc. 5.400% 3/1/2016  3,950  3,701 
  Home Depot Inc. 5.875% 12/16/2036  9,325  7,934 
  ITT Corp. 7.375% 11/15/2015  11,250  11,641 
  J.C. Penney Co., Inc. 8.000% 3/1/2010  6,625  7,032 
  J.C. Penney Co., Inc. 7.950% 4/1/2017  4,950  5,387 
  J.C. Penney Co., Inc. 5.750% 2/15/2018  325  314 
  J.C. Penney Co., Inc. 6.375% 10/15/2036  7,850  7,234 
  J.C. Penney Co., Inc. 7.400% 4/1/2037  3,275  3,484 
  Johnson Controls, Inc. 5.250% 1/15/2011  3,475  3,479 
  Johnson Controls, Inc. 6.000% 1/15/2036  325  313 
  Kohl's Corp. 6.250% 12/15/2017  2,775  2,772 
  Kohl's Corp. 6.000% 1/15/2033  825  747 
  Kohl's Corp. 6.875% 12/15/2037  2,450  2,457 
  Lennar Corp. 5.125% 10/1/2010  1,050  968 
  Lennar Corp. 5.950% 10/17/2011  10,350  9,493 
  Lennar Corp. 5.950% 3/1/2013  610  544 
  Lennar Corp. 5.600% 5/31/2015  8,950  7,586 
  Limited Brands Inc. 7.600% 7/15/2037  250  251 
  Lowe's Cos., Inc. 8.250% 6/1/2010  1,000  1,076 
  Lowe's Cos., Inc. 5.600% 9/15/2012  3,500  3,532 
  Lowe's Cos., Inc. 5.000% 10/15/2015  3,800  3,577 
  Lowe's Cos., Inc. 5.400% 10/15/2016  8,850  8,550 
  Lowe's Cos., Inc. 6.100% 9/15/2017  2,675  2,697 
  Lowe's Cos., Inc. 6.875% 2/15/2028  460  479 
  Lowe's Cos., Inc. 6.500% 3/15/2029  4,726  4,720 
  Lowe's Cos., Inc. 5.500% 10/15/2035  200  176 
  Lowe's Cos., Inc. 5.800% 10/15/2036  6,100  5,567 
  Lowe's Cos., Inc. 6.650% 9/15/2037  1,725  1,761 
  Macy's Retail Holdings Inc. 6.790% 7/15/2027  2,805  2,537 
  Macy's Retail Holdings Inc. 7.000% 2/15/2028  1,625  1,520 
  Marriott International 4.625% 6/15/2012  3,925  3,780 
  Marriott International 6.200% 6/15/2016  1,650  1,649 
  Marriott International 6.375% 6/15/2017  2,000  2,009 
  May Department Stores Co. 5.750% 7/15/2014  4,325  4,177 
  May Department Stores Co. 6.650% 7/15/2024  2,600  2,426 
  May Department Stores Co. 6.700% 7/15/2034  4,700  4,267 
  McDonald's Corp. 6.000% 4/15/2011  3,385  3,461 
  McDonald's Corp. 5.300% 3/15/2017  1,000  971 
  Nordstrom, Inc. 6.950% 3/15/2028  1,325  1,386 
  Pulte Homes, Inc. 4.875% 7/15/2009  2,375  2,210 
  Pulte Homes, Inc. 6.250% 2/15/2013  950  841 
  Pulte Homes, Inc. 5.250% 1/15/2014  1,650  1,366 
  Pulte Homes, Inc. 5.200% 2/15/2015  1,000  819 
  Pulte Homes, Inc. 7.875% 6/15/2032  2,200  1,977 
  Pulte Homes, Inc. 6.000% 2/15/2035  1,350  941 
  Starwood Hotel Resorts 7.875% 5/1/2012  3,875  4,137 
  Starwood Hotel Resorts 6.250% 2/15/2013  4,300  4,289 
  Target Corp. 7.500% 8/15/2010  1,700  1,809 
  Target Corp. 6.350% 1/15/2011  2,645  2,738 
  Target Corp. 4.000% 6/15/2013  475  440 
  Target Corp. 5.875% 7/15/2016  23,050  23,136 
  Target Corp. 7.000% 7/15/2031  3,035  3,271 
  Target Corp. 6.350% 11/1/2032  7,425  7,396 
  The Walt Disney Co. 5.700% 7/15/2011  17,375  17,700 
  The Walt Disney Co. 6.375% 3/1/2012  1,250  1,311 
  The Walt Disney Co. 5.625% 9/15/2016  5,100  5,091 
  The Walt Disney Co. 6.000% 7/17/2017  6,325  6,490 
  Time Warner, Inc. 6.750% 4/15/2011  4,400  4,572 
  Time Warner, Inc. 5.500% 11/15/2011  6,825  6,805 
  Time Warner, Inc. 6.875% 5/1/2012  13,325  13,987 
  Time Warner, Inc. 9.125% 1/15/2013  825  946 
  Time Warner, Inc. 5.875% 11/15/2016  11,375  11,105 
  Time Warner, Inc. 9.150% 2/1/2023  11,825  14,404 
  Time Warner, Inc. 7.570% 2/1/2024  1,500  1,625 
  Time Warner, Inc. 6.625% 5/15/2029  10,900  10,768 
  Time Warner, Inc. 7.625% 4/15/2031  14,175  15,448 
  Time Warner, Inc. 7.700% 5/1/2032  4,745  5,251 
  Time Warner, Inc. 6.500% 11/15/2036  6,600  6,398 
  Toll Brothers, Inc. 5.150% 5/15/2015  3,900  3,379 
  Toyota Motor Credit Corp. 4.250% 3/15/2010  16,875  16,740 
  Toyota Motor Credit Corp. 4.350% 12/15/2010  5,475  5,493 
  Toyota Motor Credit Corp. 5.450% 5/18/2011  3,675  3,755 
  Viacom Inc. 5.750% 4/30/2011  2,175  2,186 
  Viacom Inc. 6.250% 4/30/2016  7,275  7,290 
  Viacom Inc. 6.875% 4/30/2036  6,750  6,745 
  Wal-Mart Stores, Inc. 3.375% 10/1/2008  13,725  13,524 
  Wal-Mart Stores, Inc. 6.875% 8/10/2009  13,395  13,897 
  Wal-Mart Stores, Inc. 4.000% 1/15/2010  10,950  10,765 
  Wal-Mart Stores, Inc. 4.125% 7/1/2010  12,100  11,901 
  Wal-Mart Stores, Inc. 4.125% 2/15/2011  15,025  14,609 
  Wal-Mart Stores, Inc. 4.550% 5/1/2013  1,700  1,651 
  Wal-Mart Stores, Inc. 7.250% 6/1/2013  800  860 
  Wal-Mart Stores, Inc. 4.500% 7/1/2015  1,050  976 
  Wal-Mart Stores, Inc. 5.375% 4/5/2017  4,675  4,589 
  Wal-Mart Stores, Inc. 5.875% 4/5/2027  10,250  9,988 
  Wal-Mart Stores, Inc. 7.550% 2/15/2030  14,420  16,678 
  Wal-Mart Stores, Inc. 5.250% 9/1/2035  2,900  2,539 
  Wal-Mart Stores, Inc. 6.500% 8/15/2037  6,500  6,735 
  Western Union Co. 5.400% 11/17/2011  4,925  4,913 
  Western Union Co. 5.930% 10/1/2016  5,750  5,652 
  Western Union Co. 6.200% 11/17/2036  3,375  3,247 
  Yum! Brands, Inc. 8.875% 4/15/2011  4,350  4,797 
  Yum! Brands, Inc. 7.700% 7/1/2012  2,175  2,355 
  Yum! Brands, Inc. 6.250% 4/15/2016  4,525  4,522 
  Consumer Noncyclical (1.7%)
  Abbott Laboratories 3.500% 2/17/2009  7,725  7,584 
  Abbott Laboratories 3.750% 3/15/2011  2,975  2,857 
  Abbott Laboratories 5.600% 5/15/2011  10,000  10,167 
  Abbott Laboratories 4.350% 3/15/2014  925  862 
  Abbott Laboratories 5.875% 5/15/2016  11,125  11,317 
  Allergan Inc. 5.750% 4/1/2016  1,375  1,371 
  Altria Group, Inc. 5.625% 11/4/2008  5,375  5,392 
  Altria Group, Inc. 7.000% 11/4/2013  1,225  1,334 
  AmerisourceBergen Corp. 5.625% 9/15/2012  1,025  1,017 
  AmerisourceBergen Corp. 5.875% 9/15/2015  7,300  7,167 
  Amgen Inc. 4.000% 11/18/2009  6,800  6,671 
  Amgen Inc. 4.850% 11/18/2014  5,975  5,628 
  4 Amgen Inc. 5.850% 6/1/2017  6,700  6,613 
  4 Amgen Inc. 6.375% 6/1/2037  4,500  4,374 
  Anheuser-Busch Cos., Inc. 6.000% 4/15/2011  1,500  1,539 
  Anheuser-Busch Cos., Inc. 4.375% 1/15/2013  3,675  3,493 
  Anheuser-Busch Cos., Inc. 5.600% 3/1/2017  2,250  2,221 
  Anheuser-Busch Cos., Inc. 6.800% 8/20/2032  2,600  2,810 
  Anheuser-Busch Cos., Inc. 5.750% 4/1/2036  5,475  5,238 
  Anheuser-Busch Cos., Inc. 6.450% 9/1/2037  4,225  4,391 
  Archer-Daniels-Midland Co. 7.500% 3/15/2027  1,450  1,681 
  Archer-Daniels-Midland Co. 7.000% 2/1/2031  2,450  2,735 
  Archer-Daniels-Midland Co. 5.935% 10/1/2032  4,725  4,631 
  Archer-Daniels-Midland Co. 5.375% 9/15/2035  7,775  7,159 
  AstraZeneca PLC 5.400% 9/15/2012  16,350  16,514 
  AstraZeneca PLC 5.400% 6/1/2014  3,750  3,725 
  AstraZeneca PLC 5.900% 9/15/2017  16,100  16,416 
  AstraZeneca PLC 6.450% 9/15/2037  20,925  21,776 
  Baxter Finco, BV 4.750% 10/15/2010  6,875  6,848 
  Baxter International, Inc. 5.900% 9/1/2016  2,575  2,595 
  Bottling Group LLC 4.625% 11/15/2012  15,510  15,210 
  Bottling Group LLC 5.000% 11/15/2013  2,525  2,462 
  Bottling Group LLC 5.500% 4/1/2016  5,900  5,869 
  Bristol-Myers Squibb Co. 7.150% 6/15/2023  750  825 
  Bristol-Myers Squibb Co. 5.875% 11/15/2036  18,400  17,619 
  Bristol-Myers Squibb Co. 6.875% 8/1/2097  1,125  1,156 
  Bunge Ltd. Finance Corp. 4.375% 12/15/2008  1,325  1,311 
  Bunge Ltd. Finance Corp. 5.100% 7/15/2015  1,950  1,816 
  C.R. Bard, Inc. 6.700% 12/1/2026  6,300  6,339 
  Campbell Soup Co. 6.750% 2/15/2011  6,600  6,896 
  4 Cardinal Health, Inc. 5.650% 6/15/2012  900  903 
  Cardinal Health, Inc. 4.000% 6/15/2015  650  576 
  4 Cardinal Health, Inc. 6.300% 10/15/2016  2,150  2,131 
  Cardinal Health, Inc. 5.850% 12/15/2017  1,050  1,042 
  Cia. Brasil de Bebidas AmBev 10.500% 12/15/2011  4,055  4,780 
  Cia. Brasil de Bebidas AmBev 8.750% 9/15/2013  3,675  4,212 
  Clorox Co. 4.200% 1/15/2010  10,600  10,352 
  Clorox Co. 5.000% 1/15/2015  2,675  2,549 
  Coca-Cola Enterprises Inc. 5.750% 11/1/2008  1,925  1,939 
  Coca-Cola Enterprises Inc. 4.375% 9/15/2009  5,100  5,054 
  Coca-Cola Enterprises Inc. 4.250% 9/15/2010  340  335 
  Coca-Cola Enterprises Inc. 6.125% 8/15/2011  4,400  4,546 
  Coca-Cola Enterprises Inc. 8.500% 2/1/2022  3,675  4,546 
  Coca-Cola Enterprises Inc. 8.000% 9/15/2022  1,550  1,850 
  Coca-Cola Enterprises Inc. 7.000% 10/1/2026  1,450  1,589 
  Coca-Cola Enterprises Inc. 6.950% 11/15/2026  2,395  2,611 
  Coca-Cola HBC Finance 5.125% 9/17/2013  670  652 
  ConAgra Foods, Inc. 7.875% 9/15/2010  5,950  6,372 
  ConAgra Foods, Inc. 6.750% 9/15/2011  895  935 
  ConAgra Foods, Inc. 5.819% 6/15/2017  1,176  1,159 
  ConAgra Foods, Inc. 9.750% 3/1/2021  129  166 
  ConAgra Foods, Inc. 7.125% 10/1/2026  1,000  1,055 
  ConAgra Foods, Inc. 7.000% 10/1/2028  875  917 
  ConAgra Foods, Inc. 8.250% 9/15/2030  1,420  1,678 
  Coors Brewing Co. 6.375% 5/15/2012  74  78 
  Diageo Capital PLC 7.250% 11/1/2009  450  471 
  Diageo Capital PLC 4.375% 5/3/2010  1,500  1,473 
  Diageo Capital PLC 5.500% 9/30/2016  1,700  1,644 
  Diageo Capital PLC 5.875% 9/30/2036  475  452 
  Diageo Finance BV 5.300% 10/28/2015  7,975  7,731 
  Eli Lilly&Co. 6.000% 3/15/2012  4,450  4,626 
  Eli Lilly&Co. 5.200% 3/15/2017  11,900  11,572 
  Eli Lilly&Co. 5.500% 3/15/2027  6,725  6,356 
  Eli Lilly&Co. 5.550% 3/15/2037  200  187 
  Estee Lauder Ace Trust I 6.000% 5/15/2037  925  893 
  Fortune Brands Inc. 5.125% 1/15/2011  3,225  3,185 
  Fortune Brands Inc. 5.375% 1/15/2016  4,925  4,671 
  Fortune Brands Inc. 5.875% 1/15/2036  3,625  3,272 
  Genentech Inc. 4.400% 7/15/2010  1,350  1,336 
  Genentech Inc. 4.750% 7/15/2015  1,225  1,158 
  Genentech Inc. 5.250% 7/15/2035  3,550  3,196 
  General Mills, Inc. 6.000% 2/15/2012  11,507  11,759 
  General Mills, Inc. 5.650% 9/10/2012  2,000  2,017 
  General Mills, Inc. 5.700% 2/15/2017  6,125  6,047 
  Gillette Co. 3.800% 9/15/2009  1,400  1,374 
  GlaxoSmithKline Capital Inc. 4.375% 4/15/2014  3,750  3,517 
  GlaxoSmithKline Capital Inc. 5.375% 4/15/2034  4,450  4,039 
  Grand Metropolitan Investment Corp. 9.000% 8/15/2011  500  563 
  Grand Metropolitan Investment Corp. 7.450% 4/15/2035  1,075  1,170 
  H.J. Heinz Co. 6.625% 7/15/2011  7,200  7,499 
  H.J. Heinz Co. 6.375% 7/15/2028  475  463 
  H.J. Heinz Co. 6.750% 3/15/2032  3,850  3,886 
  Hasbro Inc. 6.300% 9/15/2017  7,025  7,010 
  Hershey Foods Corp. 5.300% 9/1/2011  2,500  2,502 
  Hershey Foods Corp. 5.450% 9/1/2016  1,550  1,504 
  Hospira, Inc. 4.950% 6/15/2009  1,075  1,069 
  Hospira, Inc. 5.900% 6/15/2014  1,925  1,909 
  Hospira, Inc. 6.050% 3/30/2017  250  246 
  Imperial Tobacco 7.125% 4/1/2009  1,000  1,032 
  ^ Johnson&Johnson 5.150% 8/15/2012  10,250  10,436 
  Johnson&Johnson 3.800% 5/15/2013  3,940  3,698 
  Johnson&Johnson 5.550% 8/15/2017  1,375  1,399 
  Johnson&Johnson 6.950% 9/1/2029  1,625  1,846 
  Johnson&Johnson 4.950% 5/15/2033  1,850  1,632 
  Johnson&Johnson 5.950% 8/15/2037  6,025  6,143 
  Kellogg Co. 6.600% 4/1/2011  14,925  15,499 
  Kellogg Co. 7.450% 4/1/2031  7,065  8,072 
  Kimberly-Clark Corp. 5.625% 2/15/2012  5,650  5,765 
  Kimberly-Clark Corp. 4.875% 8/15/2015  6,250  5,976 
  Kimberly-Clark Corp. 6.125% 8/1/2017  5,000  5,166 
  Kimberly-Clark Corp. 6.250% 7/15/2018  175  179 
  Kimberly-Clark Corp. 6.625% 8/1/2037  600  639 
  Kraft Foods, Inc. 4.125% 11/12/2009  6,400  6,289 
  Kraft Foods, Inc. 5.625% 11/1/2011  17,525  17,662 
  Kraft Foods, Inc. 6.250% 6/1/2012  5,540  5,727 
  Kraft Foods, Inc. 5.250% 10/1/2013  25  25 
  Kraft Foods, Inc. 6.500% 8/11/2017  7,075  7,325 
  Kraft Foods, Inc. 6.500% 11/1/2031  9,575  9,380 
  Kraft Foods, Inc. 7.000% 8/11/2037  3,700  3,876 
  Kroger Co. 7.250% 6/1/2009  4,225  4,363 
  Kroger Co. 6.800% 4/1/2011  2,600  2,720 
  Kroger Co. 6.750% 4/15/2012  7,100  7,473 
  Kroger Co. 6.200% 6/15/2012  3,500  3,605 
  Kroger Co. 5.500% 2/1/2013  1,725  1,723 
  Kroger Co. 4.950% 1/15/2015  3,675  3,450 
  Kroger Co. 6.400% 8/15/2017  1,350  1,376 
  Kroger Co. 6.800% 12/15/2018  4,025  4,175 
  Kroger Co. 7.700% 6/1/2029  9,200  9,878 
  Kroger Co. 8.000% 9/15/2029  1,250  1,374 
  Kroger Co. 7.500% 4/1/2031  3,020  3,307 
  Laboratory Corp. of America 5.500% 2/1/2013  340  325 
  Laboratory Corp. of America 5.625% 12/15/2015  2,975  2,861 
  McKesson Corp. 7.750% 2/1/2012  750  811 
  Mckesson Corp. 5.250% 3/1/2013  10,500  10,379 
  Medtronic Inc. 4.375% 9/15/2010  2,775  2,721 
  Medtronic Inc. 4.750% 9/15/2015  5,375  5,059 
  Merck&Co. 4.375% 2/15/2013  2,450  2,339 
  Merck&Co. 4.750% 3/1/2015  7,375  7,051 
  Merck&Co. 6.400% 3/1/2028  4,605  4,683 
  Merck&Co. 5.950% 12/1/2028  2,675  2,596 
  Merck&Co. 5.750% 11/15/2036  500  468 
  Molson Coors Capital Finance 4.850% 9/22/2010  1,975  1,963 
  Newell Rubbermaid, Inc. 4.000% 5/1/2010  3,225  3,106 
  Pepsi Bottling Group, Inc. 7.000% 3/1/2029  2,200  2,423 
  PepsiAmericas Inc. 5.750% 7/31/2012  3,225  3,291 
  PepsiAmericas Inc. 4.875% 1/15/2015  375  354 
  PepsiAmericas Inc. 5.000% 5/15/2017  4,600  4,335 
  Pepsico, Inc. 5.150% 5/15/2012  5,500  5,572 
  Pfizer, Inc. 4.500% 2/15/2014  9,350  8,960 
  Pharmacia Corp. 6.600% 12/1/2028  1,500  1,631 
  Philip Morris Cos., Inc. 7.750% 1/15/2027  3,645  4,482 
  Procter&Gamble Co. 6.875% 9/15/2009  11,100  11,561 
  Procter&Gamble Co. 4.950% 8/15/2014  1,600  1,574 
  Procter&Gamble Co. 6.450% 1/15/2026  3,675  3,907 
  Procter&Gamble Co. 5.800% 8/15/2034  3,375  3,343 
  Procter&Gamble Co. 5.550% 3/5/2037  13,500  12,896 
  2 Procter&Gamble Co. ESOP 9.360% 1/1/2021  14,060  17,468 
  Quest Diagnostic, Inc. 5.450% 11/1/2015  8,175  7,835 
  Quest Diagnostic, Inc. 6.400% 7/1/2017  675  684 
  Quest Diagnostic, Inc. 6.950% 7/1/2037  3,300  3,414 
  Reynolds American Inc. 6.500% 7/15/2010  2,525  2,607 
  Reynolds American Inc. 7.250% 6/1/2012  2,525  2,676 
  Reynolds American Inc. 7.250% 6/1/2013  4,750  5,017 
  Reynolds American Inc. 6.750% 6/15/2017  5,800  5,945 
  Reynolds American Inc. 7.250% 6/15/2037  4,700  4,911 
  Safeway, Inc. 4.950% 8/16/2010  3,775  3,760 
  Safeway, Inc. 6.500% 3/1/2011  4,200  4,329 
  Safeway, Inc. 5.800% 8/15/2012  3,500  3,549 
  Safeway, Inc. 6.350% 8/15/2017  800  816 
  Safeway, Inc. 7.250% 2/1/2031  5,600  5,973 
  Schering-Plough Corp. 5.550% 12/1/2013  8,450  8,393 
  Schering-Plough Corp. 6.000% 9/15/2017  900  903 
  Schering-Plough Corp. 6.750% 12/1/2033  9,075  9,569 
  Schering-Plough Corp. 6.550% 9/15/2037  1,025  1,049 
  Sysco Corp. 5.375% 9/21/2035  4,725  4,198 
  Teva Pharmaceutical Finance LLC 6.150% 2/1/2036  11,475  10,870 
  Unilever Capital Corp. 7.125% 11/1/2010  10,950  11,619 
  Unilever Capital Corp. 5.900% 11/15/2032  3,725  3,648 
  UST, Inc. 6.625% 7/15/2012  800  844 
  Wm. Wrigley Jr. Co. 4.300% 7/15/2010  5,725  5,613 
  Wm. Wrigley Jr. Co. 4.650% 7/15/2015  5,550  5,278 
  Wyeth 6.950% 3/15/2011  2,450  2,585 
  Wyeth 5.500% 3/15/2013  10,300  10,480 
  Wyeth 5.500% 2/1/2014  7,425  7,386 
  Wyeth 5.500% 2/15/2016  400  395 
  Wyeth 5.450% 4/1/2017  3,175  3,088 
  Wyeth 6.450% 2/1/2024  1,850  1,878 
  Wyeth 6.500% 2/1/2034  1,975  2,022 
  Wyeth 6.000% 2/15/2036  6,125  5,890 
  Wyeth 5.950% 4/1/2037  21,750  20,958 
  Energy (0.9%)
  Alberta Energy Co. Ltd. 7.375% 11/1/2031  975  1,060 
  Amerada Hess Corp. 6.650% 8/15/2011  7,450  7,779 
  Amerada Hess Corp. 7.875% 10/1/2029  6,775  7,778 
  Amerada Hess Corp. 7.125% 3/15/2033  6,475  6,983 
  Anadarko Finance Co. 6.750% 5/1/2011  3,550  3,689 
  Anadarko Petroleum Corp. 5.950% 9/15/2016  10,325  10,234 
  Anadarko Petroleum Corp. 6.450% 9/15/2036  15,825  15,720 
  Apache Corp. 6.250% 4/15/2012  2,325  2,409 
  Apache Corp. 5.250% 4/15/2013  675  675 
  Apache Corp. 5.625% 1/15/2017  1,050  1,037 
  Apache Corp. 6.000% 1/15/2037  6,500  6,367 
  Apache Finance Canada 7.750% 12/15/2029  1,350  1,589 
  Atlantic Richfield Co. 5.900% 4/15/2009  3,484  3,545 
  Baker Hughes, Inc. 6.250% 1/15/2009  500  507 
  Baker Hughes, Inc. 6.875% 1/15/2029  825  891 
  Burlington Resources, Inc. 6.680% 2/15/2011  4,300  4,521 
  Burlington Resources, Inc. 6.500% 12/1/2011  2,975  3,103 
  Burlington Resources, Inc. 7.200% 8/15/2031  850  964 
  Burlington Resources, Inc. 7.400% 12/1/2031  5,525  6,371 
  Canadian Natural Resources 5.450% 10/1/2012  1,275  1,277 
  Canadian Natural Resources 4.900% 12/1/2014  5,575  5,294 
  Canadian Natural Resources 6.000% 8/15/2016  5,375  5,346 
  Canadian Natural Resources 5.700% 5/15/2017  5,625  5,479 
  Canadian Natural Resources 7.200% 1/15/2032  5,375  5,694 
  Canadian Natural Resources 6.450% 6/30/2033  5,065  5,039 
  Canadian Natural Resources 6.500% 2/15/2037  9,175  9,078 
  Canadian Natural Resources 6.250% 3/15/2038  6,625  6,405 
  Conoco Funding Co. 6.350% 10/15/2011  18,385  19,194 
  Conoco Funding Co. 7.250% 10/15/2031  350  394 
  ConocoPhillips 5.900% 10/15/2032  1,950  1,893 
  ConocoPhillips Canada 5.300% 4/15/2012  5,025  5,044 
  ConocoPhillips Canada 5.625% 10/15/2016  19,975  19,969 
  ConocoPhillips Canada 5.950% 10/15/2036  3,475  3,381 
  Devon Financing Corp. 6.875% 9/30/2011  10,735  11,325 
  Devon Financing Corp. 7.875% 9/30/2031  3,725  4,388 
  Diamond Offshore Drilling 4.875% 7/1/2015  775  723 
  Encana Corp. 4.600% 8/15/2009  1,225  1,220 
  Encana Corp. 6.500% 8/15/2034  9,025  9,173 
  Encana Corp. 6.625% 8/15/2037  3,550  3,612 
  Encana Holdings Finance Corp. 5.800% 5/1/2014  2,100  2,107 
  EOG Resources Inc. 5.875% 9/15/2017  9,250  9,275 
  Halliburton Co. 5.500% 10/15/2010  4,100  4,149 
  Husky Energy Inc. 6.250% 6/15/2012  2,875  2,948 
  Husky Energy Inc. 6.150% 6/15/2019  1,000  989 
  Kerr McGee Corp. 6.875% 9/15/2011  6,850  7,168 
  Kerr McGee Corp. 6.950% 7/1/2024  11,250  11,392 
  Kerr McGee Corp. 7.875% 9/15/2031  1,700  1,932 
  Lasmo Inc. 7.300% 11/15/2027  400  469 
  Marathon Oil Corp. 6.125% 3/15/2012  9,470  9,754 
  Marathon Oil Corp. 6.000% 7/1/2012  3,400  3,413 
  Marathon Oil Corp. 6.000% 10/1/2017  4,675  4,700 
  Marathon Oil Corp. 6.800% 3/15/2032  2,925  3,083 
  Marathon Oil Corp. 6.600% 10/1/2037  1,350  1,386 
  Nexen, Inc. 5.050% 11/20/2013  3,700  3,599 
  Nexen, Inc. 5.650% 5/15/2017  2,325  2,251 
  Nexen, Inc. 7.875% 3/15/2032  1,100  1,285 
  Nexen, Inc. 5.875% 3/10/2035  400  367 
  Nexen, Inc. 6.400% 5/15/2037  12,975  12,604 
  Noble Energy Inc. 8.000% 4/1/2027  175  200 
  Norsk Hydro 6.360% 1/15/2009  2,725  2,777 
  Norsk Hydro 7.250% 9/23/2027  6,325  7,229 
  Norsk Hydro 7.150% 1/15/2029  3,475  3,933 
  Occidental Petroleum 6.750% 1/15/2012  6,725  7,123 
  PanCanadian Energy Corp. 7.200% 11/1/2031  7,050  7,700 
  Petro-Canada 4.000% 7/15/2013  1,675  1,543 
  Petro-Canada 7.875% 6/15/2026  1,675  1,924 
  Petro-Canada 7.000% 11/15/2028  1,375  1,463 
  Petro-Canada 5.350% 7/15/2033  5,975  5,160 
  Petro-Canada 5.950% 5/15/2035  8,475  7,993 
  Petro-Canada Financial Partnership 5.000% 11/15/2014  1,600  1,528 
  Phillips Petroleum Co. 8.750% 5/25/2010  1,250  1,368 
  Questar Market Resources 6.050% 9/1/2016  3,575  3,585 
  Shell International Finance 5.625% 6/27/2011  1,550  1,596 
  Shell International Finance 4.950% 3/22/2012  3,450  3,452 
  Shell International Finance 5.200% 3/22/2017  3,525  3,443 
  Suncor Energy, Inc. 7.150% 2/1/2032  1,700  1,903 
  Suncor Energy, Inc. 5.950% 12/1/2034  150  146 
  Suncor Energy, Inc. 6.500% 6/15/2038  6,550  6,690 
  Sunoco, Inc. 4.875% 10/15/2014  1,700  1,601 
  Sunoco, Inc. 5.750% 1/15/2017  2,300  2,253 
  Talisman Energy, Inc. 5.125% 5/15/2015  1,400  1,341 
  Talisman Energy, Inc. 7.250% 10/15/2027  1,050  1,108 
  Talisman Energy, Inc. 5.850% 2/1/2037  6,100  5,516 
  Tosco Corp. 8.125% 2/15/2030  18,775  22,722 
  Transocean Sedco Forex, Inc. 7.500% 4/15/2031  2,650  2,939 
  Valero Energy Corp. 6.875% 4/15/2012  18,325  19,393 
  Valero Energy Corp. 4.750% 6/15/2013  340  324 
  Valero Energy Corp. 6.125% 6/15/2017  2,000  2,009 
  Valero Energy Corp. 7.500% 4/15/2032  5,265  5,809 
  Valero Energy Corp. 6.625% 6/15/2037  5,350  5,422 
  4 Weatherford International Inc. 5.950% 6/15/2012  750  766 
  4 Weatherford International Inc. 6.350% 6/15/2017  5,350  5,435 
  Weatherford International Inc. 6.500% 8/1/2036  11,125  10,966 
  4 Weatherford International Inc. 6.800% 6/15/2037  1,875  1,966 
  XTO Energy, Inc. 5.900% 8/1/2012  2,775  2,829 
  XTO Energy, Inc. 6.250% 4/15/2013  4,800  4,986 
  XTO Energy, Inc. 4.900% 2/1/2014  525  499 
  XTO Energy, Inc. 5.000% 1/31/2015  1,725  1,636 
  XTO Energy, Inc. 5.300% 6/30/2015  1,475  1,418 
  XTO Energy, Inc. 6.250% 8/1/2017  10,450  10,587 
  XTO Energy, Inc. 6.100% 4/1/2036  1,300  1,244 
  XTO Energy, Inc. 6.750% 8/1/2037  5,125  5,319 
  Technology (0.4%)
  Cisco Systems Inc. 5.250% 2/22/2011  22,200  22,399 
  Cisco Systems Inc. 5.500% 2/22/2016  18,250  18,130 
  Computer Sciences Corp. 5.000% 2/15/2013  1,900  1,820 
  Corning Inc. 7.250% 8/15/2036  400  423 
  Electronic Data Systems 7.125% 10/15/2009  575  586 
  Electronic Data Systems 6.500% 8/1/2013  4,650  4,675 
  Equifax Inc. 6.300% 7/1/2017  1,300  1,311 
  Equifax Inc. 7.000% 7/1/2037  1,900  1,904 
  Harris Corp. 5.000% 10/1/2015  4,400  4,098 
  Hewlett-Packard Co. 5.250% 3/1/2012  1,100  1,107 
  Hewlett-Packard Co. 6.500% 7/1/2012  1,835  1,940 
  Hewlett-Packard Co. 5.400% 3/1/2017  2,025  1,999 
  International Business Machines Corp. 5.375% 2/1/2009  3,975  4,001 
  International Business Machines Corp. 4.950% 3/22/2011  5,800  5,809 
  International Business Machines Corp. 4.750% 11/29/2012  335  330 
  International Business Machines Corp. 7.500% 6/15/2013  3,575  3,963 
  International Business Machines Corp. 5.700% 9/14/2017  12,500  12,586 
  International Business Machines Corp. 7.000% 10/30/2025  720  796 
  International Business Machines Corp. 6.220% 8/1/2027  6,250  6,306 
  International Business Machines Corp. 6.500% 1/15/2028  700  729 
  International Business Machines Corp. 5.875% 11/29/2032  500  494 
  International Business Machines Corp. 7.125% 12/1/2096  6,735  7,379 
  Intuit Inc. 5.400% 3/15/2012  2,475  2,454 
  Intuit Inc. 5.750% 3/15/2017  2,925  2,796 
  Motorola, Inc. 7.625% 11/15/2010  619  657 
  Motorola, Inc. 8.000% 11/1/2011  725  789 
  Motorola, Inc. 7.500% 5/15/2025  1,000  1,040 
  Motorola, Inc. 6.500% 9/1/2025  1,550  1,490 
  Motorola, Inc. 6.500% 11/15/2028  500  476 
  National Semiconductor 6.150% 6/15/2012  750  758 
  National Semiconductor 6.600% 6/15/2017  7,400  7,543 
  Oracle Corp. 5.000% 1/15/2011  6,950  6,948 
  Oracle Corp. 5.250% 1/15/2016  9,850  9,618 
  Pitney Bowes, Inc. 4.625% 10/1/2012  8,000  7,849 
  Pitney Bowes, Inc. 4.875% 8/15/2014  350  335 
  Pitney Bowes, Inc. 5.000% 3/15/2015  650  618 
  Pitney Bowes, Inc. 4.750% 1/15/2016  14,125  13,116 
  Pitney Bowes, Inc. 5.750% 9/15/2017  850  851 
  Pitney Bowes, Inc. 5.250% 1/15/2037  550  518 
  Science Applications International Corp. 6.250% 7/1/2012  1,275  1,312 
  Science Applications International Corp. 5.500% 7/1/2033  1,775  1,477 
  Xerox Corp. 9.750% 1/15/2009  2,725  2,864 
  Xerox Corp. 7.125% 6/15/2010  4,000  4,168 
  Xerox Corp. 6.875% 8/15/2011  2,425  2,515 
  Xerox Corp. 5.500% 5/15/2012  2,550  2,532 
  Xerox Corp. 7.625% 6/15/2013  2,400  2,496 
  Xerox Corp. 6.400% 3/15/2016  5,125  5,192 
  Xerox Corp. 6.750% 2/1/2017  3,700  3,877 
  Transportation (0.4%)
  2 American Airlines, Inc. 6.855% 4/15/2009  2,393  2,372 
  American Airlines, Inc. 7.024% 10/15/2009  8,250  8,363 
  American Airlines, Inc. 7.858% 10/1/2011  1,675  1,765 
  Burlington Northern Santa Fe Corp. 7.125% 12/15/2010  500  530 
  Burlington Northern Santa Fe Corp. 6.750% 7/15/2011  3,720  3,891 
  Burlington Northern Santa Fe Corp. 5.900% 7/1/2012  3,375  3,443 
  Burlington Northern Santa Fe Corp. 5.650% 5/1/2017  2,925  2,864 
  Burlington Northern Santa Fe Corp. 7.000% 12/15/2025  6,400  6,744 
  Burlington Northern Santa Fe Corp. 6.200% 8/15/2036  7,275  7,074 
  Burlington Northern Santa Fe Corp. 6.150% 5/1/2037  5,400  5,249 
  Canadian National Railway Co. 6.375% 10/15/2011  1,075  1,120 
  Canadian National Railway Co. 4.400% 3/15/2013  1,175  1,111 
  Canadian National Railway Co. 5.800% 6/1/2016  950  951 
  Canadian National Railway Co. 5.850% 11/15/2017  1,425  1,429 
  Canadian National Railway Co. 6.800% 7/15/2018  10,750  11,621 
  Canadian National Railway Co. 6.900% 7/15/2028  700  741 
  Canadian National Railway Co. 6.250% 8/1/2034  1,525  1,503 
  Canadian National Railway Co. 6.200% 6/1/2036  3,025  3,045 
  Canadian National Railway Co. 6.375% 11/15/2037  400  406 
  Canadian Pacific Rail 6.250% 10/15/2011  10,950  11,275 
  Canadian Pacific Rail 7.125% 10/15/2031  550  570 
  Canadian Pacific Rail 5.950% 5/15/2037  1,200  1,106 
  CNF, Inc. 6.700% 5/1/2034  3,600  3,316 
  Continental Airlines, Inc. 6.563% 2/15/2012  2,450  2,536 
  2 Continental Airlines, Inc. 6.648% 9/15/2017  9,579  9,579 
  2 Continental Airlines, Inc. 6.900% 1/2/2018  3,766  3,841 
  2 Continental Airlines, Inc. 6.545% 2/2/2019  538  541 
  2 Continental Airlines, Inc. 5.983% 4/19/2022  750  727 
  CSX Corp. 6.750% 3/15/2011  2,450  2,549 
  CSX Corp. 6.300% 3/15/2012  1,775  1,814 
  CSX Corp. 5.750% 3/15/2013  125  125 
  CSX Corp. 5.600% 5/1/2017  1,875  1,797 
  CSX Corp. 6.250% 3/15/2018  300  300 
  CSX Corp. 7.950% 5/1/2027  325  371 
  CSX Corp. 6.000% 10/1/2036  6,850  6,354 
  CSX Corp. 6.150% 5/1/2037  2,500  2,395 
  FedEx Corp. 3.500% 4/1/2009  1,900  1,857 
  FedEx Corp. 5.500% 8/15/2009  4,075  4,113 
  Norfolk Southern Corp. 6.200% 4/15/2009  3,200  3,250 
  Norfolk Southern Corp. 6.750% 2/15/2011  6,000  6,289 
  Norfolk Southern Corp. 5.257% 9/17/2014  45  43 
  Norfolk Southern Corp. 7.700% 5/15/2017  6,375  7,148 
  Norfolk Southern Corp. 9.750% 6/15/2020  1,696  2,206 
  Norfolk Southern Corp. 5.590% 5/17/2025  634  578 
  Norfolk Southern Corp. 7.800% 5/15/2027  2,495  2,866 
  Norfolk Southern Corp. 5.640% 5/17/2029  1,405  1,279 
  Norfolk Southern Corp. 7.250% 2/15/2031  691  762 
  Norfolk Southern Corp. 7.050% 5/1/2037  13,325  14,298 
  Norfolk Southern Corp. 7.900% 5/15/2097  2,075  2,460 
  Ryder System Inc. 5.950% 5/2/2011  3,375  3,421 
  Ryder System Inc. 5.850% 3/1/2014  2,000  2,027 
  Ryder System Inc. 5.850% 11/1/2016  1,950  1,914 
  Southwest Airlines Co. 6.500% 3/1/2012  8,575  8,846 
  Southwest Airlines Co. 5.250% 10/1/2014  275  264 
  Southwest Airlines Co. 5.750% 12/15/2016  3,950  3,827 
  Southwest Airlines Co. 5.125% 3/1/2017  850  782 
  2 Southwest Airlines Co. 6.150% 8/1/2022  2,100  2,101 
  Union Pacific Corp. 7.250% 11/1/2008  3,875  3,975 
  Union Pacific Corp. 3.625% 6/1/2010  2,040  1,963 
  Union Pacific Corp. 6.650% 1/15/2011  3,005  3,135 
  Union Pacific Corp. 6.125% 1/15/2012  200  204 
  Union Pacific Corp. 6.500% 4/15/2012  2,383  2,466 
  Union Pacific Corp. 5.450% 1/31/2013  2,750  2,730 
  Union Pacific Corp. 7.000% 2/1/2016  450  478 
  Union Pacific Corp. 5.650% 5/1/2017  5,200  5,054 
  Union Pacific Corp. 6.625% 2/1/2029  1,450  1,469 
  Union Pacific Railroad Co. 6.176% 1/2/2031  1,575  1,594 
  2 United Air Lines Inc. 6.636% 7/2/2022  2,675  2,621 
  Other (0.0%)
  Black&Decker Corp. 7.125% 6/1/2011  500  527 
  Black&Decker Corp. 5.750% 11/15/2016  2,950  2,843 
  Cooper Industries, Inc. 5.250% 11/15/2012  4,425  4,408 
  Dover Corp. 4.875% 10/15/2015  2,050  1,941 
  Dover Corp. 5.375% 10/15/2035  650  588 
  Rockwell International Corp. 6.700% 1/15/2028  1,275  1,388 
        4,333,482
  Utilities (1.7%)
  Electric (1.3%)
  AEP Texas Central Co. 6.650% 2/15/2033  2,775  2,761 
  Alabama Power Co. 5.500% 10/15/2017  3,775  3,724 
  American Electric Power Co., Inc. 5.375% 3/15/2010  925  929 
  American Electric Power Co., Inc. 5.250% 6/1/2015  875  842 
  Arizona Public Service Co. 6.375% 10/15/2011  800  823 
  Arizona Public Service Co. 5.800% 6/30/2014  725  718 
  Arizona Public Service Co. 4.650% 5/15/2015  925  850 
  Arizona Public Service Co. 5.500% 9/1/2035  700  613 
  Baltimore Gas&Electric Co. 5.900% 10/1/2016  4,250  4,242 
  Baltimore Gas&Electric Co. 6.350% 10/1/2036  625  620 
  Bruce Mansfield Unit 6.850% 6/1/2034  12,600  12,804 
  Carolina Power&Light Co. 6.500% 7/15/2012  1,250  1,311 
  Carolina Power&Light Co. 5.125% 9/15/2013  405  396 
  CenterPoint Energy Houston 5.700% 3/15/2013  13,635  13,872 
  CenterPoint Energy Houston 5.750% 1/15/2014  500  500 
  CenterPoint Energy Houston 6.950% 3/15/2033  400  428 
  Cincinnati Gas&Electric Co. 5.700% 9/15/2012  3,425  3,472 
  Cleveland Electric Illumination Co. 7.880% 11/1/2017  1,375  1,560 
  Columbus Southern Power 5.850% 10/1/2035  8,300  7,852 
  Commonwealth Edison Co. 6.150% 3/15/2012  2,025  2,060 
  Commonwealth Edison Co. 5.950% 8/15/2016  2,400  2,392 
  Commonwealth Edison Co. 6.150% 9/15/2017  2,900  2,939 
  Commonwealth Edison Co. 5.875% 2/1/2033  590  549 
  Commonwealth Edison Co. 5.900% 3/15/2036  800  745 
  Connecticut Light&Power Co. 6.350% 6/1/2036  7,500  7,334 
  Consolidated Edison Co. of New York 5.625% 7/1/2012  375  377 
  Consolidated Edison Co. of New York 4.875% 2/1/2013  340  330 
  Consolidated Edison Co. of New York 5.375% 12/15/2015  1,600  1,568 
  Consolidated Edison Co. of New York 5.500% 9/15/2016  6,200  6,123 
  Consolidated Edison Co. of New York 5.300% 3/1/2035  2,450  2,126 
  Consolidated Edison Co. of New York 5.850% 3/15/2036  2,325  2,181 
  Consolidated Edison Co. of New York 6.200% 6/15/2036  3,575  3,579 
  Consolidated Edison Co. of New York 6.300% 8/15/2037  5,100  5,140 
  Constellation Energy Group, Inc. 6.125% 9/1/2009  875  889 
  Constellation Energy Group, Inc. 7.000% 4/1/2012  1,275  1,346 
  Constellation Energy Group, Inc. 4.550% 6/15/2015  18,050  16,372 
  Constellation Energy Group, Inc. 7.600% 4/1/2032  2,390  2,635 
  Consumers Energy Co. 4.800% 2/17/2009  5,650  5,644 
  Consumers Energy Co. 5.000% 2/15/2012  2,500  2,465 
  Consumers Energy Co. 5.375% 4/15/2013  3,575  3,561 
  Consumers Energy Co. 5.500% 8/15/2016  1,925  1,885 
  Consumers Energy Co. 5.650% 4/15/2020  1,000  976 
  Detroit Edison Co. 6.125% 10/1/2010  2,730  2,826 
  Detroit Edison Co. 5.700% 10/1/2037  1,000  946 
  Dominion Resources, Inc. 4.750% 12/15/2010  2,225  2,186 
  Dominion Resources, Inc. 6.250% 6/30/2012  2,790  2,865 
  Dominion Resources, Inc. 5.150% 7/15/2015  19,050  18,134 
  Dominion Resources, Inc. 6.300% 3/15/2033  1,675  1,646 
  Dominion Resources, Inc. 5.250% 8/1/2033  3,225  3,089 
  Dominion Resources, Inc. 5.950% 6/15/2035  9,925  9,262 
  2 Dominion Resources, Inc. 6.300% 9/30/2066  2,750  2,733 
  DTE Energy Co. 7.050% 6/1/2011  1,150  1,213 
  DTE Energy Co. 6.375% 4/15/2033  275  269 
  Duke Energy Carolinas 6.100% 6/1/2037  10,725  10,493 
  Duke Energy Corp. 6.250% 1/15/2012  9,000  9,313 
  Duke Energy Corp. 6.000% 12/1/2028  1,900  1,849 
  Duke Energy Corp. 6.450% 10/15/2032  1,500  1,536 
  El Paso Electric Co. 6.000% 5/15/2035  2,200  2,062 
  Empresa Nacional Electric 8.350% 8/1/2013  775  868 
  Energy East Corp. 6.750% 6/15/2012  6,050  6,352 
  Energy East Corp. 6.750% 7/15/2036  4,275  4,418 
  Exelon Corp. 6.750% 5/1/2011  500  520 
  Exelon Corp. 4.900% 6/15/2015  5,200  4,812 
  Exelon Corp. 5.625% 6/15/2035  300  270 
  FirstEnergy Corp. 6.450% 11/15/2011  16,950  17,581 
  FirstEnergy Corp. 7.375% 11/15/2031  9,825  10,786 
  Florida Power&Light Co. 5.950% 10/1/2033  50  49 
  Florida Power&Light Co. 5.625% 4/1/2034  4,450  4,162 
  Florida Power&Light Co. 4.950% 6/1/2035  4,425  3,738 
  Florida Power&Light Co. 5.400% 9/1/2035  2,400  2,170 
  Florida Power&Light Co. 6.200% 6/1/2036  5,300  5,399 
  Florida Power&Light Co. 5.650% 2/1/2037  1,375  1,287 
  Florida Power&Light Co. 5.850% 5/1/2037  2,450  2,360 
  Florida Power Corp. 4.500% 6/1/2010  3,825  3,793 
  Florida Power Corp. 4.800% 3/1/2013  9,175  8,866 
  Florida Power Corp. 6.350% 9/15/2037  2,450  2,513 
  FPL Group Capital, Inc. 7.375% 6/1/2009  2,675  2,772 
  FPL Group Capital, Inc. 5.625% 9/1/2011  3,975  4,017 
  2 FPL Group Capital, Inc. 6.350% 10/1/2066  2,600  2,477 
  2 FPL Group Capital, Inc. 6.650% 6/15/2067  3,200  3,072 
  Georgia Power Co. 5.700% 6/1/2017  825  825 
  Georgia Power Co. 5.650% 3/1/2037  425  391 
  Indiana Michigan Power Co. 6.050% 3/15/2037  4,775  4,542 
  Jersey Central Power&Light 5.625% 5/1/2016  3,575  3,475 
  4 Jersey Central Power&Light 5.650% 6/1/2017  1,525  1,481 
  Kansas City Power&Light 6.050% 11/15/2035  2,075  1,970 
  MidAmerican Energy Co. 5.650% 7/15/2012  3,200  3,267 
  MidAmerican Energy Co. 5.125% 1/15/2013  6,025  6,024 
  MidAmerican Energy Co. 5.950% 7/15/2017  2,375  2,428 
  MidAmerican Energy Co. 6.750% 12/30/2031  4,750  5,025 
  MidAmerican Energy Co. 5.750% 11/1/2035  1,700  1,590 
  MidAmerican Energy Holdings Co. 5.875% 10/1/2012  4,020  4,080 
  MidAmerican Energy Holdings Co. 5.000% 2/15/2014  1,425  1,374 
  MidAmerican Energy Holdings Co. 8.480% 9/15/2028  700  854 
  MidAmerican Energy Holdings Co. 6.125% 4/1/2036  27,475  26,733 
  MidAmerican Energy Holdings Co. 5.950% 5/15/2037  3,725  3,522 
  4 MidAmerican Energy Holdings Co. 6.500% 9/15/2037  1,750  1,740 
  National Rural Utilities Cooperative Finance Corp. 7.250% 3/1/2012  18,810  20,016 
  National Rural Utilities Cooperative Finance Corp. 4.750% 3/1/2014  2,125  2,027 
  National Rural Utilities Cooperative Finance Corp. 5.450% 4/10/2017  100  97 
  National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/2032  4,000  4,762 
  Niagara Mohawk Power Corp. 7.750% 10/1/2008  2,700  2,763 
  NiSource Finance Corp. 7.875% 11/15/2010  6,660  7,149 
  NiSource Finance Corp. 5.400% 7/15/2014  1,350  1,287 
  NiSource Finance Corp. 5.250% 9/15/2017  1,525  1,411 
  NiSource Finance Corp. 5.450% 9/15/2020  1,675  1,519 
  Northern States Power Co. 5.250% 7/15/2035  425  385 
  Northern States Power Co. 6.250% 6/1/2036  3,075  3,205 
  Northern States Power Co. 6.200% 7/1/2037  3,600  3,714 
  NStar Electric Co. 4.875% 4/15/2014  2,200  2,110 
  Ohio Edison 6.400% 7/15/2016  4,650  4,731 
  Ohio Power Co. 6.000% 6/1/2016  3,975  3,941 
  Oncor Electric Delivery Co. 6.375% 5/1/2012  3,650  3,706 
  Oncor Electric Delivery Co. 6.375% 1/15/2015  3,425  3,434 
  Oncor Electric Delivery Co. 7.000% 9/1/2022  600  615 
  Oncor Electric Delivery Co. 7.000% 5/1/2032  3,125  3,165 
  Oncor Electric Delivery Co. 7.250% 1/15/2033  4,475  4,638 
  Pacific Gas&Electric Co. 3.600% 3/1/2009  4,800  4,698 
  Pacific Gas&Electric Co. 4.200% 3/1/2011  5,125  4,962 
  Pacific Gas&Electric Co. 4.800% 3/1/2014  5,900  5,564 
  Pacific Gas&Electric Co. 6.050% 3/1/2034  14,600  14,296 
  Pacific Gas&Electric Co. 5.800% 3/1/2037  7,800  7,379 
  PacifiCorp 6.900% 11/15/2011  7,600  8,022 
  PacifiCorp 7.700% 11/15/2031  1,250  1,476 
  PacifiCorp 5.250% 6/15/2035  50  43 
  4 Pennsylvania Electric Co. 6.050% 9/1/2017  2,775  2,771 
  Pepco Holdings, Inc. 6.450% 8/15/2012  6,800  7,023 
  Pepco Holdings, Inc. 7.450% 8/15/2032  1,475  1,656 
  PPL Energy Supply LLC 6.400% 11/1/2011  12,350  12,761 
  PPL Energy Supply LLC 5.400% 8/15/2014  1,000  970 
  PPL Energy Supply LLC 6.200% 5/15/2016  3,225  3,219 
  PPL Energy Supply LLC 6.000% 12/15/2036  2,050  1,810 
  Progress Energy, Inc. 7.100% 3/1/2011  6,686  7,019 
  Progress Energy, Inc. 6.850% 4/15/2012  2,200  2,306 
  Progress Energy, Inc. 5.625% 1/15/2016  800  779 
  Progress Energy, Inc. 7.750% 3/1/2031  1,800  2,078 
  Progress Energy, Inc. 7.000% 10/30/2031  5,650  5,998 
  PSE&G Power LLC 7.750% 4/15/2011  1,075  1,155 
  PSE&G Power LLC 6.950% 6/1/2012  17,025  17,900 
  PSE&G Power LLC 5.500% 12/1/2015  5,500  5,349 
  PSE&G Power LLC 8.625% 4/15/2031  400  492 
  PSI Energy Inc. 5.000% 9/15/2013  200  192 
  PSI Energy Inc. 6.050% 6/15/2016  425  432 
  PSI Energy Inc. 6.120% 10/15/2035  1,400  1,344 
  Public Service Co. of Colorado 4.375% 10/1/2008  3,900  3,862 
  Public Service Co. of Colorado 7.875% 10/1/2012  7,650  8,460 
  Public Service Co. of Colorado 5.500% 4/1/2014  65  65 
  Public Service Co. of Colorado 6.250% 9/1/2037  1,050  1,065 
  Public Service Electric&Gas 5.250% 7/1/2035  325  287 
  Public Service Electric&Gas 5.800% 5/1/2037  7,825  7,312 
  Puget Sound Energy Inc. 5.483% 6/1/2035  950  841 
  Puget Sound Energy Inc. 6.274% 3/15/2037  5,275  5,207 
  SCANA Corp. 6.875% 5/15/2011  7,825  8,197 
  South Carolina Electric&Gas Co. 6.625% 2/1/2032  2,750  2,924 
  South Carolina Electric&Gas Co. 5.300% 5/15/2033  220  197 
  Southern California Edison Co. 5.000% 1/15/2014  3,450  3,372 
  Southern California Edison Co. 4.650% 4/1/2015  1,500  1,420 
  Southern California Edison Co. 5.000% 1/15/2016  2,025  1,925 
  Southern California Edison Co. 6.000% 1/15/2034  3,025  2,977 
  Southern California Edison Co. 5.750% 4/1/2035  1,025  975 
  Southern California Edison Co. 5.350% 7/15/2035  3,825  3,433 
  Southern California Edison Co. 5.625% 2/1/2036  8,175  7,695 
  Southern California Edison Co. 5.550% 1/15/2037  9,875  9,111 
  Southern Co. 5.300% 1/15/2012  2,925  2,933 
  Southern Power Co. 6.250% 7/15/2012  4,155  4,279 
  Southern Power Co. 4.875% 7/15/2015  7,925  7,433 
  Southwestern Electric Power 5.550% 1/15/2017  500  490 
  Tampa Electric Co. 6.550% 5/15/2036  3,675  3,800 
  Toledo Edison Co. 6.150% 5/15/2037  400  374 
  TXU Energy Co. 7.000% 3/15/2013  1,900  2,086 
  Union Electric Co. 5.400% 2/1/2016  3,950  3,839 
  Virginia Electric&Power Co. 5.400% 1/15/2016  1,100  1,072 
  Virginia Electric&Power Co. 6.000% 1/15/2036  5,175  5,010 
  Virginia Electric&Power Co. 6.000% 5/15/2037  6,275  6,072 
  Wisconsin Electric Power Co. 5.625% 5/15/2033  1,175  1,090 
  Wisconsin Electric Power Co. 5.700% 12/1/2036  1,025  957 
  Wisconsin Energy Corp. 6.500% 4/1/2011  4,750  4,921 
  2 Wisconsin Energy Corp. 6.250% 5/15/2067  1,725  1,609 
  4 Xcel Energy, Inc. 5.613% 4/1/2017  736  717 
  Xcel Energy, Inc. 6.500% 7/1/2036  3,600  3,512 
  Natural Gas (0.4%)
  AGL Capital Corp. 7.125% 1/14/2011  2,350  2,499 
  AGL Capital Corp. 6.000% 10/1/2034  150  140 
  Atmos Energy Corp. 4.000% 10/15/2009  5,175  5,069 
  Atmos Energy Corp. 4.950% 10/15/2014  2,630  2,472 
  Boardwalk Pipelines LLC 5.500% 2/1/2017  4,025  3,872 
  CenterPoint Energy Resources 7.875% 4/1/2013  1,000  1,098 
  CenterPoint Energy Resources 6.150% 5/1/2016  1,375  1,368 
  Consolidated Natural Gas 6.250% 11/1/2011  8,800  9,029 
  Consolidated Natural Gas 5.000% 12/1/2014  5,650  5,334 
  Duke Capital Corp. 7.500% 10/1/2009  500  522 
  Duke Capital Corp. 6.250% 2/15/2013  50  52 
  Duke Capital Corp. 5.500% 3/1/2014  4,450  4,349 
  Duke Capital Corp. 5.668% 8/15/2014  250  245 
  Duke Capital Corp. 6.750% 2/15/2032  2,800  2,760 
  Duke Energy Field Services 7.875% 8/16/2010  4,600  4,901 
  Duke Energy Field Services 8.125% 8/16/2030  225  255 
  4 El Paso Natural Gas Co. 5.950% 4/15/2017  2,625  2,564 
  Enbridge Inc. 5.600% 4/1/2017  375  362 
  Energy Transfer Partners LP 5.650% 8/1/2012  5,475  5,412 
  Energy Transfer Partners LP 5.950% 2/1/2015  3,175  3,085 
  Energy Transfer Partners LP 6.125% 2/15/2017  1,425  1,375 
  Energy Transfer Partners LP 6.625% 10/15/2036  1,750  1,665 
  * Enron Corp. 7.625% 9/10/2004  2,000  490 
  * Enron Corp. 6.625% 11/15/2005  1,375  337 
  * Enron Corp. 7.125% 5/15/2007  8,646  2,118 
  * Enron Corp. 6.875% 10/15/2007  8,500  2,083 
  * Enron Corp. 6.750% 8/1/2009  6,445  1,579 
  Enterprise Products Operating LP 4.625% 10/15/2009  500  494 
  Enterprise Products Operating LP 4.950% 6/1/2010  4,475  4,458 
  Enterprise Products Operating LP 5.600% 10/15/2014  4,600  4,493 
  Enterprise Products Operating LP 6.300% 9/15/2017  6,150  6,173 
  Enterprise Products Operating LP 6.875% 3/1/2033  1,775  1,806 
  Enterprise Products Operating LP 6.650% 10/15/2034  150  150 
  * HNG Internorth 9.625% 3/15/2006  4,680  1,147 
  KeySpan Corp. 7.625% 11/15/2010  1,400  1,484 
  Kinder Morgan Energy Partners LP 6.750% 3/15/2011  1,500  1,559 
  Kinder Morgan Energy Partners LP 7.125% 3/15/2012  5,925  6,187 
  Kinder Morgan Energy Partners LP 5.850% 9/15/2012  7,375  7,447 
  Kinder Morgan Energy Partners LP 5.000% 12/15/2013  4,450  4,251 
  Kinder Morgan Energy Partners LP 5.125% 11/15/2014  2,050  1,945 
  Kinder Morgan Energy Partners LP 7.300% 8/15/2033  250  259 
  Kinder Morgan Energy Partners LP 6.500% 2/1/2037  650  624 
  Kinder Morgan Energy Partners LP 6.950% 1/15/2038  850  862 
  Magellan Midstream Partners, LP 5.650% 10/15/2016  1,025  996 
  National Grid PLC 6.300% 8/1/2016  9,800  9,979 
  ONEOK Inc. 5.200% 6/15/2015  3,500  3,338 
  ONEOK Inc. 6.000% 6/15/2035  2,800  2,570 
  ONEOK Partners, LP 5.900% 4/1/2012  4,675  4,734 
  ONEOK Partners, LP 6.150% 10/1/2016  5,350  5,321 
  ONEOK Partners, LP 6.650% 10/1/2036  14,700  14,717 
  ONEOK Partners, LP 6.850% 10/15/2037  5,900  5,944 
  Plains All American Pipeline LP 6.650% 1/15/2037  1,325  1,315 
  Reliant Energy Resources 7.750% 2/15/2011  1,000  1,064 
  San Diego Gas&Electric 5.300% 11/15/2015  2,525  2,471 
  San Diego Gas&Electric 5.350% 5/15/2035  950  851 
  Sempra Energy 7.950% 3/1/2010  1,075  1,139 
  Southern California Gas Co. 5.750% 11/15/2035  1,000  954 
  4 Southern Natural Gas 5.900% 4/1/2017  16,775  16,233 
  Southern Union Co. 7.600% 2/1/2024  1,000  1,064 
  Texas Eastern Transmission 7.000% 7/15/2032  300  323 
  Texas Gas Transmission 4.600% 6/1/2015  3,175  2,955 
  Trans-Canada Pipelines 4.000% 6/15/2013  3,725  3,507 
  Trans-Canada Pipelines 5.600% 3/31/2034  3,230  3,083 
  Trans-Canada Pipelines 5.850% 3/15/2036  10,250  9,878 
  2 Trans-Canada Pipelines 6.350% 5/15/2067  4,625  4,423 
        884,679
  Total Corporate Bonds
  (Cost $13,155,416)       13,032,777
  Sovereign Bonds (U.S. Dollar-Denominated) (2.1%)
  Asian Development Bank 4.125% 9/15/2010  500  495 
  Asian Development Bank 5.250% 6/12/2017  700  712 
  Asian Development Bank 5.593% 7/16/2018  2,100  2,172 
  Bayerische Landesbank 2.875% 10/15/2008  5,100  5,019 
  Canadian Government 5.250% 11/5/2008  2,175  2,199 
  Canadian Mortgage&Housing 4.800% 10/1/2010  1,375  1,382 
  China Development Bank 4.750% 10/8/2014  4,425  4,261 
  China Development Bank 5.000% 10/15/2015  1,800  1,745 
  Corp. Andina de Fomento 5.200% 5/21/2013  4,575  4,525 
  Corp. Andina de Fomento 5.750% 1/12/2017  9,000  8,890 
  Development Bank of Japan 4.250% 6/9/2015  2,500  2,377 
  Eksportfinans 4.750% 12/15/2008  12,875  12,827 
  Eksportfinans 5.500% 5/25/2016  9,775  9,950 
  Eksportfinans 5.500% 6/26/2017  7,975  8,230 
  European Investment Bank 5.000% 2/8/2010  3,350  3,370 
  European Investment Bank 4.000% 3/3/2010  25,925  25,498 
  European Investment Bank 4.125% 9/15/2010  2,350  2,315 
  European Investment Bank 4.625% 9/15/2010  7,625  7,645 
  European Investment Bank 5.250% 6/15/2011  23,600  24,053 
  European Investment Bank 4.625% 5/15/2014  42,900  42,066 
  European Investment Bank 4.875% 2/16/2016  625  620 
  European Investment Bank 5.125% 9/13/2016  2,550  2,569 
  European Investment Bank 4.875% 1/17/2017  13,125  12,982 
  ^ European Investment Bank 5.125% 5/30/2017  20,350  20,430 
  European Investment Bank 4.875% 2/15/2036  400  373 
  Export-Import Bank of Korea 4.500% 8/12/2009  3,900  3,877 
  Export-Import Bank of Korea 4.625% 3/16/2010  2,450  2,427 
  Export-Import Bank of Korea 5.125% 2/14/2011  1,000  1,002 
  Export-Import Bank of Korea 5.125% 3/16/2015  1,075  1,058 
  Federation of Malaysia 8.750% 6/1/2009  6,500  6,890 
  Federation of Malaysia 7.500% 7/15/2011  11,100  11,785 
  Financement Quebec 5.000% 10/25/2012  4,450  4,484 
  Inter-American Development Bank 5.375% 11/18/2008  5,800  5,880 
  Inter-American Development Bank 5.625% 4/16/2009  19,100  19,473 
  Inter-American Development Bank 8.500% 3/15/2011  2,240  2,500 
  Inter-American Development Bank 4.375% 9/20/2012  3,840  3,789 
  Inter-American Development Bank 4.250% 9/14/2015  1,900  1,817 
  Inter-American Development Bank 5.125% 9/13/2016  300  304 
  Inter-American Development Bank 7.000% 6/15/2025  3,175  3,752 
  International Bank for Reconstruction&Development 4.125% 6/24/2009  1,725  1,713 
  International Bank for Reconstruction&Development 4.125% 8/12/2009  600  596 
  International Bank for Reconstruction&Development 5.000% 4/1/2016  625  624 
  International Bank for Reconstruction&Development 7.625% 1/19/2023  4,200  5,218 
  International Bank for Reconstruction&Development 8.875% 3/1/2026  1,050  1,470 
  International Bank for Reconstruction&Development 4.750% 2/15/2035  775  714 
  Japan Bank International 4.750% 5/25/2011  2,275  2,294 
  Japan Finance Corp. 5.875% 3/14/2011  1,025  1,062 
  Japan Finance Corp. 4.625% 4/21/2015  8,400  8,163 
  Japan Finance Corp. 5.000% 5/16/2017  5,000  4,933 
  KFW International Finance Inc. 4.500% 9/21/2009  20,225  20,212 
  KFW International Finance Inc. 4.875% 10/19/2009  11,000  11,086 
  Korea Development Bank 3.875% 3/2/2009  2,475  2,446 
  Korea Development Bank 4.750% 7/20/2009  9,375  9,368 
  Korea Development Bank 4.625% 9/16/2010  2,675  2,635 
  Korea Development Bank 5.750% 9/10/2013  9,015  9,317 
  Korea Electric Power 7.750% 4/1/2013  6,950  7,778 
  Kreditanstalt fur Wiederaufbau 4.625% 11/17/2008  25,600  25,642 
  Kreditanstalt fur Wiederaufbau 5.250% 5/19/2009  25,500  25,809 
  Kreditanstalt fur Wiederaufbau 5.000% 6/1/2010  11,750  11,922 
  Kreditanstalt fur Wiederaufbau 4.250% 6/15/2010  9,850  9,741 
  Kreditanstalt fur Wiederaufbau 4.750% 5/15/2012  9,375  9,399 
  Kreditanstalt fur Wiederaufbau 4.125% 10/15/2014  1,725  1,632 
  Kreditanstalt fur Wiederaufbau 5.125% 3/14/2016  11,985  12,047 
  Landeskreditbank Baden-Wuerttemberg - Foerderbank 4.250% 9/15/2010  1,925  1,909 
  Landwirtschaftliche Rentenbank 3.625% 10/20/2009  1,475  1,450 
  Landwirtschaftliche Rentenbank 3.875% 3/15/2010  750  740 
  Landwirtschaftliche Rentenbank 5.250% 7/2/2012  3,650  3,750 
  Landwirtschaftliche Rentenbank 4.875% 11/16/2015  3,925  3,913 
  Mass Transit Railway Corp. 7.500% 11/8/2010  425  455 
  Nordic Investment Bank 2.875% 6/15/2009  850  830 
  Nordic Investment Bank 3.875% 6/15/2010  500  492 
  Nordic Investment Bank 4.875% 3/15/2011  500  505 
  Oesterreichische Kontrollbank 4.250% 10/6/2010  400  398 
  Ontario Hydro Electric 7.450% 3/31/2013  3,175  3,546 
  Pemex Project Funding Master Trust 7.875% 2/1/2009  19,780  20,354 
  Pemex Project Funding Master Trust 9.125% 10/13/2010  1,845  2,030 
  Pemex Project Funding Master Trust 8.000% 11/15/2011  11,125  12,182 
  Pemex Project Funding Master Trust 7.375% 12/15/2014  385  423 
  Pemex Project Funding Master Trust 5.750% 12/15/2015  7,925  7,925 
  Pemex Project Funding Master Trust 8.625% 2/1/2022  7,655  9,435 
  Pemex Project Funding Master Trust 6.625% 6/15/2035  7,650  7,899 
  People's Republic of China 7.300% 12/15/2008  2,325  2,392 
  People's Republic of China 4.750% 10/29/2013  2,125  2,089 
  Petrobras International Finance 6.125% 10/6/2016  14,325  14,459 
  Petrobras International Finance 8.375% 12/10/2018  4,000  4,680 
  Province of British Columbia 5.375% 10/29/2008  5,900  5,942 
  Province of Manitoba 7.500% 2/22/2010  5,075  5,384 
  Province of Nova Scotia 5.750% 2/27/2012  1,975  2,023 
  Province of Ontario 5.500% 10/1/2008  30,575  30,891 
  Province of Ontario 3.625% 10/21/2009  2,000  1,958 
  Province of Ontario 5.000% 10/18/2011  12,900  13,028 
  Province of Ontario 4.750% 1/19/2016  2,200  2,151 
  Province of Ontario 5.450% 4/27/2016  4,300  4,410 
  Province of Quebec 5.000% 7/17/2009  23,945  24,034 
  Province of Quebec 6.125% 1/22/2011  7,335  7,633 
  Province of Quebec 4.875% 5/5/2014  750  749 
  Province of Quebec 4.600% 5/26/2015  3,575  3,430 
  Province of Quebec 5.125% 11/14/2016  20,050  19,871 
  Province of Quebec 7.125% 2/9/2024  1,230  1,422 
  Province of Quebec 7.500% 9/15/2029  5,955  7,295 
  Province of Saskatchewan 7.375% 7/15/2013  1,600  1,779 
  Quebec Hydro Electric 6.300% 5/11/2011  16,350  17,143 
  Quebec Hydro Electric 8.000% 2/1/2013  5,200  5,896 
  Quebec Hydro Electric 7.500% 4/1/2016  1,825  2,088 
  Quebec Hydro Electric 8.400% 1/15/2022  950  1,228 
  Quebec Hydro Electric 8.050% 7/7/2024  3,000  3,795 
  Quebec Hydro Electric 8.500% 12/1/2029  500  673 
  Region of Lombardy, Italy 5.804% 10/25/2032  3,275  3,368 
  Republic of Chile 7.125% 1/11/2012  4,075  4,393 
  Republic of Chile 5.500% 1/15/2013  1,865  1,897 
  Republic of Hungary 4.750% 2/3/2015  10,525  10,090 
  Republic of Italy 3.250% 5/15/2009  6,625  6,485 
  Republic of Italy 6.000% 2/22/2011  12,325  12,790 
  Republic of Italy 5.625% 6/15/2012  19,125  19,775 
  Republic of Italy 4.750% 1/25/2016  34,550  33,833 
  Republic of Italy 5.250% 9/20/2016  5,550  5,622 
  Republic of Italy 6.875% 9/27/2023  12,950  14,766 
  Republic of Italy 5.375% 6/15/2033  19,525  19,083 
  Republic of Korea 4.250% 6/1/2013  14,275  13,679 
  Republic of Korea 5.625% 11/3/2025  1,750  1,729 
  Republic of Poland 6.250% 7/3/2012  7,725  8,156 
  Republic of Poland 5.250% 1/15/2014  770  752 
  Republic of Poland 5.000% 10/19/2015  3,625  3,571 
  Republic of South Africa 7.375% 4/25/2012  17,350  18,679 
  Republic of South Africa 6.500% 6/2/2014  1,025  1,081 
  Republic of South Africa 5.875% 5/30/2022  4,100  4,020 
  State of Israel 4.625% 6/15/2013  1,700  1,688 
  State of Israel 5.500% 11/9/2016  8,875  8,955 
  Swedish Export Credit Corp. 4.125% 10/15/2008  7,700  7,660 
  Swedish Export Credit Corp. 4.875% 1/19/2010  2,500  2,522 
  Swedish Export Credit Corp. 4.000% 6/15/2010  2,775  2,734 
  Swedish Export Credit Corp. 4.500% 9/27/2010  3,975  3,970 
  United Mexican States 10.375% 2/17/2009  8,315  8,934 
  United Mexican States 9.875% 2/1/2010  3,055  3,402 
  United Mexican States 8.375% 1/14/2011  10,142  11,187 
  United Mexican States 7.500% 1/14/2012  5,597  6,112 
  United Mexican States 6.375% 1/16/2013  1,481  1,557 
  United Mexican States 5.875% 1/15/2014  8,075  8,313 
  United Mexican States 6.625% 3/3/2015  2,711  2,903 
  United Mexican States 11.375% 9/15/2016  6,000  8,490 
  United Mexican States 5.625% 1/15/2017  43,000  43,064 
  United Mexican States 8.300% 8/15/2031  11,375  14,617 
  United Mexican States 6.750% 9/27/2034  46,920  51,190 
  Total Sovereign Bonds
  (Cost $1,093,215)       1,097,310
  Taxable Municipal Bonds (0.2%)
  Illinois (Taxable Pension) GO 4.950% 6/1/2023  15,875  14,925 
  Illinois (Taxable Pension) GO 5.100% 6/1/2033  41,375  38,756 
  Kansas Dev. Finance Auth. Rev. (Public Employee Retirement System) 5.501% 5/1/2034  5,500  5,408 
  New Jersey Econ. Dev. Auth. State Pension Rev. 7.425% 2/15/2029  4,150  5,011 
  New Jersey Turnpike Auth. Rev. 4.252% 1/1/2016  190  178 
  New Jersey Turnpike Auth. Rev. 4.252% 1/1/2016  3,485  3,279 
  Oregon (Taxable Pension) GO 5.762% 6/1/2023  2,375  2,384 
  Oregon (Taxable Pension) GO 5.892% 6/1/2027  3,250  3,357 
  Oregon School Board Assn. 4.759% 6/30/2028  2,475  2,222 
  Oregon School Board Assn. 5.528% 6/30/2028  1,475  1,463 
  Tobbacco Settlement Finance Auth. Rev. 7.467% 6/1/2047  5,125  4,992 
  Wisconsin Public Service Rev. 4.800% 5/1/2013  3,025  2,958 
  Wisconsin Public Service Rev. 5.700% 5/1/2026  3,425  3,421 
  Total Taxable Municipal Bonds
  (Cost $88,483)       88,354
Shares
  Temporary Cash Investment (1.6%)        
5 Vanguard Market Liquidity Fund
  (Cost $813,078)   5.153% 813,077,859 813,078
  Total Investments (100.4%)
  (Cost $51,503,627)       51,503,186 
  Other Assets and Liabilities—Net (-0.4%)       (195,840)
  Net Assets (100%)       51,307,346 

* Non-income-producing security--security in default.
^ Part of security position is on loan to broker-dealers.
1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Adjustable-rate note.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2007, the aggregate value of these securities was $347,286,000, representing 0.7% of net assets.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO - General Obligation Bond.

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

At September 30, 2007, the cost of investment securities for tax purposes was $51,503,627,000. Net unrealized depreciation of investment securities for tax purposes was $441,000, consisting of unrealized gains of $488,264,000 on securities that had risen in value since their purchase and $488,705,000 in unrealized losses on securities that had fallen in value since their purchase.

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

The fund has also entered into swap transactions to earn the total return on a specified security or index of fixed income securities. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on a reference security or index, applied to a notional principal amount. In return, the fund agrees to pay the counterparty a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities.

Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time realized gain (loss) is recorded.

At September 30, 2007, the fund had the following open swap contracts:

Interest Rate Swaps
Termination Date Dealer (1) Notional
Amount
($000) 		Fixed
Interest Rate
Received
(Paid) 		Floating
Interest Rate
Received
(Paid)(2) 		Unrealized
Appreciation
(Depreciation)
($000)
9/11/2009 WB  52,000  4.632% (5.725%) (87)
9/11/2012 LEH  148,000  4.700% (5.725%) (1,283)
9/11/2017 LEH  136,775  5.003% (5.725%) (2,321)
          (3,691)
Total Return Swaps
Reference Entity/Termination Date Dealer (1) Notional
Amount
($000) 		Floating
Interest
Rate
Paid(3) 		Unrealized
Appreciation
(Depreciation)
($000)
Commercial Mortgage-Backed Securities Index        
10/31/2007 BA  25,000  5.074% (145)
10/31/2007 BA  50,000  5.114% (690)
10/31/2007 UBS  75,000  5.078% (432)
10/31/2007 LEH  50,000  5.128% 504 
11/30/2007 BA  18,000  5.114% (249)
11/30/2007 LEH  85,000  5.143% (1,186)
11/30/2007 LEH  100,000  5.078% (603)
12/31/2007 WB  150,000  5.078% (486)
12/31/2007 LEH  50,000  5.078% (302)
1/31/2008 LEH  150,000  5.096% (504)
1/31/2008 LEH  50,000  5.078% (302)
2/29/2008 BA  150,000  5.094% (2,157)
2/29/2008 LEH  50,000  5.128% 504 
3/31/2008 WB  150,000  4.968% (1,299)
3/31/2008 LEH  50,000  5.128% 504 
4/30/2008 BA  100,000  5.114% 993 
4/30/2008 BA  75,000  5.154% 1,450 
5/31/2008 BA  75,000  5.154% 1,450 
6/30/2008 LEH  200,000  4.928% 3,910 
Federal Home Loan Mortgage Corp., 6.000% 30-Year
1/31/2008 UBS  134,500  5.125% 1,275 
Hybrid ARM Index
3/31/2008 LEH  40,000  5.128% (68)
4/30/2008 LEH  40,000  5.118% (68)
        2,099

1 BA-Bank of America, N.A.
   LEH-Lehman Brothers Special Financing Inc.
   UBS-UBS AG
   WB-Wachovia Bank, N.A.
2 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

Item 2: Controls and Procedures.

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

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

Item 3:

Exhibits.
(a) Certifications.

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.

VANGUARD BOND INDEX FUNDS

BY: (signature)
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER

Date: November 14, 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.

VANGUARD BOND INDEX FUNDS

BY: (signature)
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER

Date: November 14, 2007

VANGUARD BOND INDEX FUNDS

BY: (signature)
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER

Date: November 14, 2007

*By Power of Attorney, Filed on August 22, 2007, See File Number 333-145624. Incorporated by Reference.

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