UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number : 811-4681
Name of Registrant: Vanguard Bond Index Funds
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Address of Registrant: |
P.O. Box 2600 |
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Valley Forge, PA 19482 |
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Name and address of agent for service: |
Heidi Stam, Esquire |
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P.O. Box 876 |
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Valley Forge, PA 19482 |
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Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2008–June 30, 2008
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Item 1: Reports to Shareholders |
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> |
For the six months ended June 30, 2008, the Vanguard Bond Index Funds posted returns that ranged from –0.3% to 1.9% for Investor Shares. |
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> |
The funds’ returns were in line with, or a bit above, those of their target indexes. All four funds outperformed the average returns of their respective peer groups. |
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> |
U.S. Treasuries outperformed other investment-grade bonds during the fiscal half-year. |
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Contents |
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Your Fund’s Total Returns |
1 |
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Chairman’s Letter |
4 |
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Total Bond Market Index Fund |
10 |
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Short-Term Bond Index Fund |
29 |
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Intermediate-Term Bond Index Fund |
45 |
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Long-Term Bond Index Fund |
62 |
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About Your Fund’s Expenses |
76 |
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Trustees Approve Advisory Arrangement |
79 |
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Glossary |
80 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the cover of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Total Returns
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Six Months Ended June 30, 2008 |
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Ticker |
Total |
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|
Symbol |
Returns |
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Vanguard Total Bond Market Index Fund |
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Investor Shares |
VBMFX |
1.1% |
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Admiral™ Shares 1 |
VBTLX |
1.1 |
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Signal ® Shares 2 |
VBTSX |
1.1 |
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Institutional Shares 3 |
VBTIX |
1.1 |
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ETF Shares 4 |
BND |
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Market Price |
|
0.9 |
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Net Asset Value |
|
1.1 |
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Lehman U.S. Aggregate Bond Index |
|
1.1 |
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Average Intermediate-Term Investment Grade Debt Fund 5 |
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–0.8 |
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Vanguard Short-Term Bond Index Fund |
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Investor Shares |
VBISX |
1.9% |
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Admiral Shares 1 |
VBIRX |
2.0 |
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Signal Shares 2 |
VBSSX |
2.0 |
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ETF Shares 4 |
BSV |
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Market Price |
|
2.1 |
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Net Asset Value |
|
1.9 |
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Lehman 1–5 Year U.S. Government/Credit Index |
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1.8 |
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Average 1–5 Year Investment Grade Debt Fund 5 |
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–0.6 |
1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
3 This class of shares also carries low expenses and is available for a minimum investment of $5 million for the Total Bond Market Index Fund.
4 Vanguard ETF™ Shares are traded on the American Stock Exchange and are available only through brokers. The table shows ETF returns based on both the AMEX market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
5 Derived from data provided by Lipper Inc.
1
Your Fund’s Total Returns
|
Six Months Ended June 30, 2008 |
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Ticker |
Total |
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|
Symbol |
Returns |
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Vanguard Intermediate-Term Bond Index Fund |
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Investor Shares |
VBIIX |
0.9% |
|
Admiral Shares 1 |
VBILX |
1.0 |
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Signal Shares 2 |
VIBSX |
1.0 |
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Institutional Shares 3 |
VBIMX |
1.0 |
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ETF Shares 4 |
BIV |
|
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Market Price |
|
1.1 |
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Net Asset Value |
|
1.0 |
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Lehman 5–10 Year U.S. Government/Credit Index |
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0.8 |
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Average Intermediate-Term Investment Grade Debt Fund 5 |
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–0.8 |
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Vanguard Long-Term Bond Index Fund |
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Investor Shares |
VBLTX |
–0.3% |
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Institutional Shares 3 |
VBLLX |
–0.2 |
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ETF Shares 4 |
BLV |
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Market Price |
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–0.5 |
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Net Asset Value |
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–0.3 |
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Lehman U.S. Long Government/Credit Index |
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–0.7 |
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Average Corporate A-Rated Debt Fund 5 |
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–0.7 |
1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
3 This class of shares also carries low expenses and is available for a minimum investment of $25 million for the Intermediate-Term and Long-Term Bond Index Funds.
4 Vanguard ETF Shares are traded on the American Stock Exchange and are available only through brokers. The table shows ETF returns based on both the AMEX market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
5 Derived from data provided by Lipper Inc.
2
Your Fund’s Performance at a Glance
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December 31, 2007–June 30, 2008 |
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Starting |
Ending |
Distributions Per Share |
30-Day |
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Share |
Share |
Income |
Capital |
SEC |
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Index Fund |
Price |
Price |
Dividends |
Gains |
Yield |
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Total Bond Market |
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Investor Shares |
$10.16 |
$10.03 |
$0.240 |
$0.000 |
4.72% |
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Admiral Shares |
10.16 |
10.03 |
0.244 |
0.000 |
4.81 |
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Signal Shares |
10.16 |
10.03 |
0.244 |
0.000 |
4.81 |
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Institutional Shares |
10.16 |
10.03 |
0.246 |
0.000 |
4.84 |
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ETF Shares |
76.61 |
75.98 |
1.477 |
0.000 |
4.81 |
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Short-Term Bond |
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Investor Shares |
$10.13 |
$10.12 |
$0.205 |
$0.000 |
3.63% |
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Admiral Shares |
10.13 |
10.12 |
0.209 |
0.000 |
3.71 |
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Signal Shares |
10.13 |
10.12 |
0.209 |
0.000 |
3.71 |
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ETF Shares |
76.88 |
77.09 |
1.263 |
0.000 |
3.71 |
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Intermediate-Term Bond |
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Investor Shares |
$10.50 |
$10.35 |
$0.249 |
$0.000 |
4.94% |
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Admiral Shares |
10.50 |
10.35 |
0.254 |
0.000 |
5.02 |
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Signal Shares |
10.50 |
10.35 |
0.254 |
0.000 |
5.02 |
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Institutional Shares |
10.50 |
10.35 |
0.255 |
0.000 |
5.05 |
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ETF Shares |
76.96 |
76.28 |
1.444 |
0.000 |
5.02 |
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Long-Term Bond |
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Investor Shares |
$11.65 |
$11.31 |
$0.307 |
$0.000 |
5.62% |
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Institutional Shares |
11.65 |
11.31 |
0.314 |
0.000 |
5.73 |
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ETF Shares |
76.38 |
74.45 |
1.692 |
0.000 |
5.70 |
3
Chairman’s Letter
Dear Shareholder,
During the first six months of 2008, the corporate bond market remained under pressure as investors’ risk tolerance fluctuated amid the unfolding credit crisis. Intermediate- and long-term bond prices fell during the period, which drove up the bonds’ yields (bond yields and prices move in opposite directions). Short-term bonds produced the best returns, as their yields fell.
For the fiscal half-year, the Investor Shares of the four Vanguard Bond Index Funds posted returns that ranged from –0.3% for the Long-Term Bond Index Fund to 1.9% for the Short-Term Bond Index Fund. Each of the funds matched or outpaced the performance of its target index and reported a return that was higher—sometimes substantially so—than the average return of peer mutual funds.
Bond investors continued to prefer short-term, high-quality issues
Bonds fared better than stocks during the six months, but managed only modest returns. Fixed income investors showed a marked preference for the safety of short-term, high-quality issues, most notably U.S. Treasury securities. The broad taxable bond market returned 1.1%. The tax-exempt bond market experienced unusual turbulence en route to a flat return for the period.
At its June meeting, the Federal Reserve Board voted to leave its target for the federal funds rate unchanged at 2.00%,
4
marking the end of an aggressive rate-cutting campaign that began in September 2007. The central bank’s decision to hold rates steady signaled its growing concern about near-term inflation.
Stocks worldwide struggled in downbeat economic environment
The broad U.S. stock market faltered during the half-year as investors digested a series of dispiriting economic developments. Prices for oil and other commodities soared to new highs, the housing market further deteriorated, consumer confidence wavered, and unresolved problems in the credit markets haunted the financial sector.
Against that backdrop, U.S. stocks grew increasingly volatile, falling in the first three months, then rallying in April and May before falling again (sharply) in June. For the six months ended June 30, the broad U.S. stock market returned –10.9%. Small-capitalization stocks performed better than large-caps, and growth stocks outpaced their value-oriented counterparts.
International stocks traced a similar path, and only a handful of major foreign markets posted positive results for the period.
Short-term bonds posted highest returns
During the fiscal six months, the Federal Reserve slashed its target for the federal funds rate four times to increase liquidity and stimulate the slowing U.S. economy.
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Market Barometer |
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Total Returns |
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Periods Ended June 30, 2008 |
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Six Months |
One Year |
Five Years 1 |
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Bonds |
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Lehman U.S. Aggregate Bond Index (Broad taxable market) |
1.1% |
7.1% |
3.9% |
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Lehman Municipal Bond Index |
0.0 |
3.2 |
3.5 |
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Citigroup 3-Month Treasury Bill Index |
1.1 |
3.3 |
3.1 |
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Stocks |
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Russell 1000 Index (Large-caps) |
–11.2% |
–12.4% |
8.2% |
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Russell 2000 Index (Small-caps) |
–9.4 |
–16.2 |
10.3 |
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Dow Jones Wilshire 5000 Index (Entire market) |
–10.9 |
–12.5 |
8.8 |
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MSCI All Country World Index ex USA (International) |
–9.8 |
–6.2 |
19.4 |
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CPI |
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Consumer Price Index |
4.2% |
5.0% |
3.6% |
1 Annualized.
5
In this volatile market, investors flocked to the most secure investments, such as U.S. Treasuries. This “flight to quality,” which was most pronounced at the beginning and end of the period, proved challenging for higher-yielding and riskier corporate bonds.
Each of the Bond Index Funds invests in a mixture of securities, including U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds. The six-month return of each Bond Index Fund was higher than that of corporate bond indexes with similar maturities, but was below that of comparable Treasury indexes.
In general, shorter-term bonds outperformed longer-term securities. As short-term yields declined, the bonds’ prices rose, enhancing the relative performance of shorter-term securities. In contrast, the yields of long-term securities rose modestly on inflation concerns, pushing down prices and returns.
Despite fluctuations during the six months, the Short-Term Bond Index Fund posted the highest return of the four funds, and its share price sustained the smallest decline. The Long-Term Bond Index, whose share price is more sensitive to declining interest rates, ended the period with a moderately negative result.
Funds met their objectives in a difficult market
Each of the funds succeeded in meeting its objective of closely tracking its target benchmark; in fact, because of some
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Components of Total Returns |
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Six Months Ended June 30, 2008 |
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Index Fund (Investor Shares) |
Capital |
Income |
Total |
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Total Bond Market |
–1.3% |
2.4% |
1.1% |
|
Short-Term Bond |
–0.1 |
2.0 |
1.9 |
|
Intermediate-Term Bond |
–1.4 |
2.3 |
0.9 |
|
Long-Term Bond |
–2.9 |
2.6 |
–0.3 |
6
unusual market circumstances, three of the four funds modestly outperformed their respective indexes for the period. This performance is a testament to the skills of the funds’ managers.
Your funds’ advisor, Vanguard Fixed Income Group, has developed proprietary trading and portfolio-construction methods to seek to capture each fund’s benchmark returns. The funds also benefit from their low operating costs, which are critical as the funds seek to track the returns of indexes that do not incur operating and transaction costs.
A diversified portfolio is best in any market environment
The market’s volatility during the fiscal six months created a challenging environment for bond investors. As seasoned investors realize, no one can accurately predict when the current credit-market turmoil will end. However, an effective response to short-term uncertainty is to hold a diversified mix of stocks, bonds, and short-term reserves that can help shield your portfolio from the worst of the market’s occasional downturns while allowing you to participate in its long-term potential for growth. The Bond Index Funds offer you an opportunity to invest in the broad U.S. taxable bond market or in discrete maturity segments of the market—at very low cost.
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Annualized Expense Ratios 1 |
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Your Fund Compared With Its Peer Group |
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Investor |
Admiral |
Signal |
Institutional |
ETF |
Peer |
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Index Fund |
Shares |
Shares |
Shares |
Shares |
Shares |
Group |
|
Total Bond Market |
0.19% |
0.10% |
0.10% |
0.07% |
0.10% |
0.96% |
|
Short-Term Bond |
0.18 |
0.10 |
0.10 |
— |
0.10 |
0.92 |
|
Intermediate-Term Bond |
0.18 |
0.10 |
0.10 |
0.07 |
0.10 |
0.96 |
|
Long-Term Bond |
0.18 |
— |
— |
0.07 |
0.10 |
1.12 |
1 Fund expense ratios reflect the six months ended June 30, 2008. Peer groups are: for the Total Bond Market Index Fund and Intermediate-Term Bond Index Fund, the Average Intermediate-Term Investment Grade Debt Fund; for the Short-Term Bond Index Fund, the Average 1–5 Year Investment Grade Debt Fund; and for the Long-Term Bond Index Fund, the Average Corporate A-Rated Debt Fund. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2007.
7
As I close this report to you, it’s my pleasure to introduce the funds’ new president, F. William McNabb III. Bill is a man of great character and integrity who is intimately familiar with all aspects of Vanguard—from how we serve our clients to how we invest for our clients.
Bill and I have worked together very closely for more than two decades. I’m thrilled that the funds’ board elected him president, effective March 1, and designated him to succeed me as chief executive officer, a role he will assume later this year, after an orderly transition. Bill and the rest of our team will serve you and our other clients extremely well in the years ahead.
Thank you for investing with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
July 21, 2008
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Total Bond Market ETF |
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Premium/Discount: April 3, 2007 1 –June 30, 2008 |
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Market Price Above or |
Market Price Below |
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Equal to Net Asset Value |
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Net Asset Value |
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Number |
Percentage |
Number |
Percentage |
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Basis Point Differential 2 |
of Days |
of Total Days |
of Days |
of Total Days |
|
0–24.9 |
166 |
52.87% |
4 |
1.27% |
|
25–49.9 |
125 |
39.81 |
0 |
0.00 |
|
50–74.9 |
19 |
6.05 |
0 |
0.00 |
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75–100.0 |
0 |
0.00 |
0 |
0.00 |
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>100.0 |
0 |
0.00 |
0 |
0.00 |
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Total |
310 |
98.73% |
4 |
1.27% |
1 Inception.
2 One basis point equals 1/100 of a percentage point.
8
|
Short-Term Bond ETF |
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Premium/Discount: April 3, 2007 1 –June 30, 2008 |
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Market Price Above or |
Market Price Below |
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Equal to Net Asset Value |
|
Net Asset Value |
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|
Number |
Percentage |
Number |
Percentage |
|
Basis Point Differential 2 |
of Days |
of Total Days |
of Days |
of Total Days |
|
0–24.9 |
222 |
70.70% |
4 |
1.27% |
|
25–49.9 |
75 |
23.89 |
1 |
0.32 |
|
50–74.9 |
11 |
3.50 |
0 |
0.00 |
|
75–100.0 |
0 |
0.00 |
0 |
0.00 |
|
>100.0 |
1 |
0.32 |
0 |
0.00 |
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Total |
309 |
98.41% |
5 |
1.59% |
|
Intermediate-Term Bond ETF |
||||
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Premium/Discount: April 3, 2007 1 –June 30, 2008 |
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Market Price Above or |
Market Price Below |
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Equal to Net Asset Value |
|
Net Asset Value |
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|
Number |
Percentage |
Number |
Percentage |
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Basis Point Differential 2 |
of Days |
of Total Days |
of Days |
of Total Days |
|
0–24.9 |
129 |
41.07% |
2 |
0.64% |
|
25–49.9 |
120 |
38.22 |
0 |
0.00 |
|
50–74.9 |
53 |
16.88 |
0 |
0.00 |
|
75–100.0 |
9 |
2.87 |
0 |
0.00 |
|
>100.0 |
0 |
0.00 |
1 |
0.32 |
|
Total |
311 |
99.04% |
3 |
0.96% |
|
Long-Term Bond ETF |
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Premium/Discount: April 3, 2007 1 –June 30, 2008 |
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|
Market Price Above or |
Market Price Below |
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|
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Equal to Net Asset Value |
|
Net Asset Value |
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|
|
Number |
Percentage |
Number |
Percentage |
|
Basis Point Differential 2 |
of Days |
of Total Days |
of Days |
of Total Days |
|
0–24.9 |
107 |
34.08% |
13 |
4.14% |
|
25–49.9 |
143 |
45.53 |
2 |
0.64 |
|
50–74.9 |
45 |
14.33 |
0 |
0.00 |
|
75–100.0 |
3 |
0.96 |
0 |
0.00 |
|
>100.0 |
0 |
0.00 |
1 |
0.32 |
|
Total |
298 |
94.90% |
16 |
5.10% |
1 Inception.
2 One basis point equals 1/100 of a percentage point.
9
Total Bond Market Index Fund
Fund Profile
As of June 30, 2008
|
Financial Attributes |
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Target |
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|
Fund |
Index 1 |
|
Number of Issues |
3,410 |
9,457 |
|
Yield 2 |
|
5.1% |
|
Investor Shares |
4.7% |
|
|
Admiral Shares |
4.8% |
|
|
Signal Shares |
4.8% |
|
|
Institutional Shares |
4.8% |
|
|
ETF Shares |
4.8% |
|
|
Yield to Maturity |
5.1% 3 |
5.1% |
|
Average Coupon |
5.5% |
5.4% |
|
Average Effective Maturity |
7.5 years |
7.5 years |
|
Average Quality 4 |
Aa1 |
Aa1 |
|
Average Duration |
4.7 years |
4.7 years |
|
Expense Ratio 5 |
|
— |
|
Investor Shares |
0.19% |
|
|
Admiral Shares |
0.10% |
|
|
Signal Shares |
0.10% |
|
|
Institutional Shares |
0.07% |
|
|
ETF Shares |
0.10% |
|
|
Short-Term Reserves |
0.8% |
— |
|
Sector Diversification 6 (% of portfolio) |
|
|
|
|
|
Asset-Backed/Commercial Mortgage-Backed |
5.4% |
|
Finance |
8.5 |
|
Foreign |
3.0 |
|
Government Mortgage-Backed |
39.3 |
|
Industrial |
9.4 |
|
Treasury/Agency |
31.6 |
|
Utilities |
2.0 |
|
Other |
0.8 |
|
Volatility Measures 7 |
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|
|
Fund Versus |
|
|
Target Index 1 |
|
R-Squared |
0.99 |
|
Beta |
1.02 |
|
Distribution by Maturity (% of portfolio) |
|
|
|
|
|
Under 1 Year |
1.6% |
|
1–5 Years |
38.0 |
|
5–10 Years |
46.0 |
|
10–20 Years |
8.1 |
|
20–30 Years |
6.2 |
|
Over 30 Years |
0.1 |
|
Distribution by Credit Quality 4 (% of portfolio) |
|
|
|
|
|
Aaa |
78.5% |
|
Aa |
5.7 |
|
A |
8.4 |
|
Baa |
7.4 |
Investment Focus
1 Lehman U.S. Aggregate Bond Index.
2 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary on pages 80–81.
3 Before expenses.
4 Moody’s Investors Service.
5 Annualized.
6 The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
7 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 80–81.
10
Total Bond Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 1997–June 30, 2008
|
|
Investor Shares |
Lehman 1 |
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|
Fiscal |
Capital |
Income |
Total |
Total |
|
Year |
Return |
Return |
Return |
Return |
|
1998 |
2.2% |
6.4% |
8.6% |
8.7% |
|
1999 |
–6.8 |
6.0 |
–0.8 |
–0.8 |
|
2000 |
4.2 |
7.2 |
11.4 |
11.6 |
|
2001 |
1.9 |
6.5 |
8.4 |
8.4 |
|
2002 |
2.4 |
5.9 |
8.3 |
10.3 |
|
2003 |
–0.7 |
4.7 |
4.0 |
4.1 |
|
2004 |
–0.2 |
4.4 |
4.2 |
4.3 |
|
2005 |
–2.0 |
4.4 |
2.4 |
2.4 |
|
2006 |
–0.7 |
5.0 |
4.3 |
4.3 |
|
2007 |
1.7 |
5.2 |
6.9 |
7.0 |
|
2008 2 |
–1.3 |
2.4 |
1.1 |
1.1 |
|
Average Annual Total Returns: Periods Ended June 30, 2008 |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ten Years |
|
|
Inception Date |
One Year |
Five Years |
Capital |
Income |
Total |
|
Investor Shares 3 |
12/11/1986 |
7.23% |
3.77% |
–0.05% |
5.47% |
5.42% |
|
Admiral Shares |
11/12/2001 |
7.33 |
3.87 |
–0.55 4 |
4.99 4 |
4.44 4 |
|
Signal Shares |
9/1/2006 |
7.33 |
5.64 4 |
— |
— |
— |
|
Institutional Shares |
9/18/1995 |
7.35 |
3.90 |
–0.05 |
5.59 |
5.54 |
|
ETF Shares |
4/3/2007 |
|
|
|
|
|
|
Market Price |
|
7.33 |
5.52 4 |
— |
— |
— |
|
Net Asset Value |
|
7.23 |
5.28 4 |
— |
— |
— |
1 Lehman U.S. Aggregate Bond Index.
2 Six months ended June 30, 2008.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
4 Return since inception.
Note: See Financial Highlights tables on pages 18–22 for dividend and capital gains information.
11
Total Bond Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2008
This Statement summarizes the fund’s holdings by bond type (U.S. government and agency issues, corporate bonds, sovereign bonds, etc.); corporate bonds are further classified by industry sector. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
U.S. Government and Agency Obligations |
|
|
|
|
||
|
U.S. Government Securities |
|
|
|
|
|
|
|
|
U.S. Treasury Bond |
8.750% |
5/15/17 |
472,765 |
636,975 |
1.0% |
|
|
U.S. Treasury Bond |
6.750% |
8/15/26 |
421,980 |
534,003 |
0.8% |
|
|
U.S. Treasury Bond |
9.875% |
11/15/15 |
339,475 |
472,559 |
0.7% |
|
|
U.S. Treasury Bond |
8.750% |
8/15/20 |
294,125 |
414,763 |
0.7% |
|
|
U.S. Treasury Bond |
7.875% |
2/15/21 |
268,357 |
357,921 |
0.6% |
|
|
U.S. Treasury Bond |
8.875% |
2/15/19 |
230,900 |
321,854 |
0.5% |
|
|
U.S. Treasury Bond |
8.125% |
8/15/21 |
192,215 |
262,673 |
0.4% |
|
|
U.S. Treasury Bond |
6.125% |
8/15/29 |
184,640 |
222,810 |
0.4% |
|
|
U.S. Treasury Bond |
8.125% |
8/15/19 |
132,945 |
177,689 |
0.3% |
|
|
U.S. Treasury Bond |
6.000% |
2/15/26 |
145,725 |
170,657 |
0.3% |
|
|
U.S. Treasury Bond |
4.750% |
2/15/37 |
147,800 |
152,765 |
0.3% |
|
|
U.S. Treasury Bond |
5.250% |
2/15/29 |
139,000 |
150,858 |
0.3% |
|
|
U.S. Treasury Bond |
7.500% |
11/15/16 |
112,144 |
140,110 |
0.2% |
|
|
U.S. Treasury Bond |
12.000% |
8/15/13 |
131,800 |
133,324 |
0.2% |
|
|
U.S. Treasury Bond |
11.250% |
2/15/15 |
91,575 |
132,512 |
0.2% |
|
|
U.S. Treasury Bond |
4.250%–13.250% |
5/15/14–2/15/38 |
608,630 |
742,508 |
1.2% |
|
|
U.S. Treasury Note |
3.125% |
11/30/09 |
1,465,825 |
1,480,719 |
2.3% |
|
|
U.S. Treasury Note |
4.625% |
7/31/12 |
916,275 |
965,955 |
1.5% |
|
1 |
U.S. Treasury Note |
6.500% |
2/15/10 |
827,615 |
880,632 |
1.4% |
|
|
U.S. Treasury Note |
4.750% |
5/31/12 |
770,755 |
815,073 |
1.3% |
|
|
U.S. Treasury Note |
3.500% |
12/15/09 |
528,470 |
536,973 |
0.9% |
|
|
U.S. Treasury Note |
4.500% |
11/30/11 |
377,200 |
394,585 |
0.6% |
|
|
U.S. Treasury Note |
4.875% |
6/30/12 |
327,950 |
348,499 |
0.6% |
|
|
U.S. Treasury Note |
4.750% |
2/15/10 |
333,875 |
345,874 |
0.5% |
|
|
U.S. Treasury Note |
5.125% |
5/15/16 |
316,175 |
344,779 |
0.5% |
|
|
U.S. Treasury Note |
4.500% |
9/30/11 |
298,945 |
312,445 |
0.5% |
|
|
U.S. Treasury Note |
3.250% |
12/31/09 |
301,300 |
304,925 |
0.5% |
|
|
U.S. Treasury Note |
4.500% |
4/30/12 |
248,010 |
259,984 |
0.4% |
|
|
U.S. Treasury Note |
4.625% |
10/31/11 |
209,195 |
219,621 |
0.3% |
|
|
U.S. Treasury Note |
4.125% |
5/15/15 |
156,355 |
161,584 |
0.3% |
|
|
U.S. Treasury Note |
4.000% |
8/31/09 |
154,475 |
157,371 |
0.2% |
12
Total Bond Market Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
|
|
U.S. Treasury Note |
3.875% |
10/31/12 |
131,225 |
134,567 |
0.2% |
|
|
|
U.S. Treasury Note |
4.625% |
2/29/12 |
125,145 |
131,617 |
0.2% |
|
|
|
U.S. Treasury Note |
2.500%–6.000% |
9/30/08–2/15/18 |
1,500,431 |
1,537,089 |
2.4% |
|
|
|
|
|
|
|
14,356,273 |
22.7% |
|
|
Agency Bonds and Notes |
|
|
|
|
|
||
|
2 |
Federal Home Loan Bank |
2.750%–7.625% |
4/27/09–7/15/36 |
1,391,125 |
1,426,150 |
2.2% |
|
|
2 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.125% |
7/12/10 |
127,947 |
130,173 |
0.2% |
|
|
2 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
5.250% |
4/18/16 |
125,000 |
129,679 |
0.2% |
|
|
2 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
5.250% |
7/18/11 |
115,000 |
120,183 |
0.2% |
|
|
2 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.875% |
11/15/13 |
114,925 |
118,295 |
0.2% |
|
|
2 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
0.000%–7.000% |
5/12/09–3/15/31 |
1,196,274 |
1,246,954 |
2.0% |
|
|
2 |
Federal National Mortgage Assn. |
6.625% |
9/15/09 |
174,315 |
181,706 |
0.3% |
|
|
2 |
Federal National Mortgage Assn. |
7.250% |
5/15/30 |
105,201 |
133,158 |
0.2% |
|
|
2 |
Federal National |
|
|
|
|
|
|
|
|
Mortgage Assn. |
3.000%–8.200% |
7/13/09–7/15/37 |
1,478,370 |
1,522,416 |
2.4% |
|
|
† |
Other—Agency Bonds and Notes |
|
|
|
341,400 |
0.5% |
|
|
|
|
|
|
|
5,350,114 |
8.4% |
|
|
Mortgage-Backed Securities |
|
|
|
|
|
||
|
|
Conventional Mortgage-Backed Securities |
|
|
|
|
||
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.500% |
1/1/38 |
211,599 |
208,751 |
0.3% |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.500% |
3/1/37 |
178,785 |
176,379 |
0.3% |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.000% |
5/1/37 |
144,928 |
139,066 |
0.2% |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.000% |
7/1/38 |
131,775 |
126,298 |
0.2% |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.500% |
1/1/37 |
120,488 |
118,866 |
0.2% |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.500% |
11/1/37 |
119,846 |
118,233 |
0.2% |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.500% |
7/1/38 |
118,550 |
116,809 |
0.2% |
|
|
2,3 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.000%–10.500% |
7/1/08–1/1/38 |
7,341,362 |
7,265,506 |
11.5% |
|
|
2,3 |
Federal National Mortgage Assn. |
6.000% |
10/1/37 |
153,657 |
155,256 |
0.2% |
|
|
2,3 |
Federal National |
|
|
|
|
|
|
|
|
Mortgage Assn. |
4.000%–11.000% |
7/1/08–7/1/38 |
11,771,066 |
11,681,568 |
18.5% |
|
|
3 |
Government National |
|
|
|
|
|
|
|
|
Mortgage Assn. |
4.000%–11.500% |
7/15/08–7/1/38 |
2,346,184 |
2,351,950 |
3.7% |
|
|
|
|
|
|
|
|
|
|
|
|
Nonconventional Mortgage-Backed Securities |
|
|
|
|||
|
2,3 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.085%–6.522% |
9/1/34–3/1/38 |
761,857 |
773,582 |
1.2% |
|
|
2,3 |
Federal National |
|
|
|
|
|
|
|
|
Mortgage Assn. |
4.008%–6.619% |
11/1/33–3/1/38 |
1,221,518 |
1,236,010 |
2.0% |
|
|
3 |
Government National |
|
|
|
|
|
|
|
|
Mortgage Assn. |
6.375%–7.900% |
2/15/21–6/20/29 |
534 |
540 |
0.0% |
|
|
|
|
|
|
|
24,468,814 |
38.7% |
|
|
Total U.S. Government and Agency Obligations (Cost $43,936,726) |
|
44,175,201 |
69.8% |
||||
|
Corporate Bonds |
|
|
|
|
|
||
|
Asset-Backed/Commercial Mortgage-Backed Securities |
|
|
|
||||
|
3,4 |
American Express Credit |
|
|
|
|
|
|
|
|
Account Master Trust |
2.561% |
3/15/12 |
132,100 |
130,894 |
0.2% |
|
|
3,4 |
Gracechurch Card Funding PLC |
2.481% |
9/15/10 |
143,000 |
142,653 |
0.2% |
|
|
3,4 |
MBNA Credit Card |
|
|
|
|
|
|
|
|
Master Note Trust |
2.471% |
12/15/10 |
186,219 |
186,158 |
0.3% |
|
13
Total Bond Market Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
|
3,4 MBNA Credit Card |
|
|
|
|
|
|
|
Master Note Trust |
2.601% |
2/15/11 |
161,525 |
161,302 |
0.3% |
|
† |
Other—Asset-Backed/Commercial Mortgage-Backed Securities |
|
3,423,730 |
5.4% |
||
|
|
|
|
|
|
4,044,737 |
6.4% |
|
|
Finance |
|
|
|
|
|
|
† |
Banking |
|
|
|
2,342,312 |
3.7% |
|
† |
Brokerage |
|
|
|
1,104,125 |
1.7% |
|
† |
Finance Companies |
|
|
|
1,033,605 |
1.6% |
|
† |
Insurance |
|
|
|
727,973 |
1.2% |
|
† |
Real Estate Investment Trusts |
|
|
|
239,829 |
0.4% |
|
† |
Finance—Other |
|
|
|
15,323 |
0.0% |
|
|
|
|
|
|
5,463,167 |
8.6% |
|
|
Industrial |
|
|
|
|
|
|
† |
Basic Industry |
|
|
|
403,335 |
0.6% |
|
† |
Capital Goods |
|
|
|
593,391 |
0.9% |
|
† |
Communication |
|
|
|
1,360,263 |
2.2% |
|
† |
Consumer Cyclical |
|
|
|
820,494 |
1.3% |
|
† |
Consumer Noncyclical |
|
|
|
1,342,214 |
2.1% |
|
† |
Energy |
|
|
|
616,681 |
1.0% |
|
† |
Technology |
|
|
|
398,361 |
0.6% |
|
† |
Transportation |
|
|
|
251,761 |
0.4% |
|
† |
Industrial—Other |
|
|
|
34,288 |
0.1% |
|
|
|
|
|
|
5,820,788 |
9.2% |
|
|
Utilities |
|
|
|
|
|
|
† |
Electric |
|
|
|
923,396 |
1.5% |
|
† |
Natural Gas |
|
|
|
334,141 |
0.5% |
|
† |
Utilities—Other |
|
|
|
127 |
0.0% |
|
|
|
|
|
|
1,257,664 |
2.0% |
|
|
Total Corporate Bonds (Cost $17,061,430) |
|
|
16,586,356 |
26.2% |
|
|
† |
Sovereign Bonds (U.S. Dollar-Denominated) (Cost $1,783,130) |
1,790,661 |
2.8% |
|||
|
† |
Taxable Municipal Bonds (Cost $102,594) |
|
|
102,487 |
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
Temporary Cash Investments |
|
|
|
|
|
|
5 |
Vanguard Market Liquidity Fund |
2.405% |
|
517,695,185 |
517,695 |
0.8% |
|
5 |
Vanguard Market |
|
|
|
|
|
|
|
Liquidity Fund—Note E |
2.405% |
|
40,081,850 |
40,082 |
0.1% |
|
6 |
Total Temporary Cash Investments (Cost $557,777) |
|
557,777 |
0.9% |
||
|
|
Total Investments (Cost $63,441,657) |
|
|
|
63,212,482 |
99.9% |
|
|
Other Assets and Liabilities |
|
|
|
|
|
|
|
Other Assets—Note B |
|
|
|
1,846,806 |
2.9% |
|
|
Liabilities—Note E |
|
|
|
(1,812,155) |
(2.8%) |
|
|
|
|
|
|
34,651 |
0.1% |
|
|
Net Assets |
|
|
|
63,247,133 |
100.0% |
14
Total Bond Market Index Fund
|
At June 30, 2008, net assets consisted of: 7 |
|
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
63,472,966 |
|
Undistributed Net Investment Income |
7,069 |
|
Accumulated Net Realized Gains |
16,466 |
|
Unrealized Depreciation |
|
|
Investment Securities |
(229,175) |
|
Swap Contracts |
(20,193) |
|
Net Assets |
63,247,133 |
|
|
|
|
Investor Shares—Net Assets |
|
|
Applicable to 3,151,374,019 outstanding $.001 par value shares |
|
|
of beneficial interest (unlimited authorization) |
31,598,816 |
|
Net Asset Value Per Share—Investor Shares |
$10.03 |
|
|
|
|
Admiral Shares—Net Assets |
|
|
Applicable to 1,200,629,297 outstanding $.001 par value shares |
|
|
of beneficial interest (unlimited authorization) |
12,038,714 |
|
Net Asset Value Per Share—Admiral Shares |
$10.03 |
|
|
|
|
Signal Shares—Net Assets |
|
|
Applicable to 660,894,013 outstanding $.001 par value shares |
|
|
of beneficial interest (unlimited authorization) |
6,626,788 |
|
Net Asset Value Per Share—Signal Shares |
$10.03 |
|
|
|
|
Institutional Shares—Net Assets |
|
|
Applicable to 1,113,682,858 outstanding $.001 par value shares |
|
|
of beneficial interest (unlimited authorization) |
11,166,930 |
|
Net Asset Value Per Share—Institutional Shares |
$10.03 |
|
|
|
|
ETF Shares—Net Assets |
|
|
Applicable to 23,900,000 outstanding $.001 par value shares |
|
|
of beneficial interest (unlimited authorization) |
1,815,885 |
|
Net Asset Value Per Share—ETF Shares |
$75.98 |
|
• |
See Note A in Notes to Financial Statements . |
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Securities with a value of $14,269,000 have been segregated as collateral for open swap contracts.
2 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Adjustable-rate note.
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.
6 Certain of the fund’s securities are 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 June 30, 2008, the aggregate value of these securities was $458,306,000, representing 0.7% of net assets.
7 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
15
Total Bond Market Index Fund
Statement of Operations
|
|
Six Months Ended |
|
|
June 30, 2008 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest 1 |
1,474,435 |
|
Security Lending |
238 |
|
Total Income |
1,474,673 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
2,715 |
|
Management and Administrative—Investor Shares |
23,536 |
|
Management and Administrative—Admiral Shares |
3,847 |
|
Management and Administrative—Signal Shares |
2,048 |
|
Management and Administrative—Institutional Shares |
1,770 |
|
Management and Administrative—ETF Shares |
477 |
|
Marketing and Distribution—Investor Shares |
3,887 |
|
Marketing and Distribution—Admiral Shares |
1,180 |
|
Marketing and Distribution—Signal Shares |
595 |
|
Marketing and Distribution—Institutional Shares |
1,286 |
|
Marketing and Distribution—ETF Shares |
163 |
|
Custodian Fees |
168 |
|
Shareholders’ Reports—Investor Shares |
165 |
|
Shareholders’ Reports—Admiral Shares |
9 |
|
Shareholders’ Reports—Signal Shares |
28 |
|
Shareholders’ Reports—Institutional Shares |
27 |
|
Shareholders’ Reports—ETF Shares |
39 |
|
Trustees’ Fees and Expenses |
41 |
|
Total Expenses |
41,981 |
|
Net Investment Income |
1,432,692 |
|
Realized Net Gain (Loss) |
|
|
Investment Securities Sold |
242,088 |
|
Swap Contracts |
(26,787) |
|
Realized Net Gain (Loss) |
215,301 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities |
(1,022,583) |
|
Swap Contracts |
(45,844) |
|
Change in Unrealized Appreciation (Depreciation) |
(1,068,427) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
579,566 |
1 Interest income from an affiliated company of the fund was $12,343,000.
16
Total Bond Market Index Fund
Statement of Changes in Net Assets
|
|
Six Months Ended |
Year Ended |
|
|
June 30, |
December 31, |
|
|
2008 |
2007 |
|
|
($000) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income |
1,432,692 |
2,415,593 |
|
Realized Net Gain (Loss) |
215,301 |
67,955 |
|
Change in Unrealized Appreciation (Depreciation) |
(1,068,427) |
879,638 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
579,566 |
3,363,186 |
|
Distributions |
|
|
|
Net Investment Income |
|
|
|
Investor Shares |
(728,741) |
(1,354,024) |
|
Admiral Shares |
(271,563) |
(497,840) |
|
Signal Shares |
(144,261) |
(109,165) |
|
Institutional Shares |
(251,856) |
(438,102) |
|
ETF Shares |
(29,298) |
(14,984) |
|
Realized Capital Gain |
|
|
|
Investor Shares |
— |
— |
|
Admiral Shares |
— |
— |
|
Signal Shares |
— |
— |
|
Institutional Shares |
— |
— |
|
ETF Shares |
— |
— |
|
Total Distributions |
(1,425,719) |
(2,414,115) |
|
Capital Share Transactions—Note F |
|
|
|
Investor Shares |
2,493,620 |
5,275,869 |
|
Admiral Shares |
1,970,367 |
2,162,803 |
|
Signal Shares |
1,300,750 |
4,673,272 |
|
Institutional Shares |
1,824,166 |
1,067,474 |
|
ETF Shares |
738,391 |
1,079,283 |
|
Net Increase (Decrease) from Capital Share Transactions |
8,327,294 |
14,258,701 |
|
Total Increase (Decrease) |
7,481,141 |
15,207,772 |
|
Net Assets |
|
|
|
Beginning of Period |
55,765,992 |
40,558,220 |
|
End of Period 1 |
63,247,133 |
55,765,992 |
1 Net Assets—End of Period includes undistributed net investment income of $7,069,000 and $0.
17
Total Bond Market Index Fund
Financial Highlights
|
Investor Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$10.16 |
$9.99 |
$10.06 |
$10.27 |
$10.31 |
$10.38 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.240 |
.501 |
.485 |
.446 |
.441 |
.465 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.130) |
.170 |
(.070) |
(.205) |
(.014) |
(.060) |
|
Total from Investment Operations |
.110 |
.671 |
.415 |
.241 |
.427 |
.405 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.240) |
(.501) |
(.485) |
(.449) |
(.446) |
(.475) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
(.002) |
(.021) |
— |
|
Total Distributions |
(.240) |
(.501) |
(.485) |
(.451) |
(.467) |
(.475) |
|
Net Asset Value, End of Period |
$10.03 |
$10.16 |
$9.99 |
$10.06 |
$10.27 |
$10.31 |
|
|
|
|
|
|
|
|
|
Total Return 1 |
1.07% |
6.92% |
4.27% |
2.40% |
4.24% |
3.97% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$31,599 |
$29,532 |
$23,769 |
$21,643 |
$19,479 |
$17,032 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.19%* |
0.19% |
0.20% |
0.20% |
0.20% |
0.22% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
4.73%* |
5.02% |
4.88% |
4.40% |
4.29% |
4.46% |
|
Portfolio Turnover Rate 2 |
52%* |
54% |
63% |
59% |
59% |
89% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
18
Total Bond Market Index Fund
|
Admiral Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$10.16 |
$9.99 |
$10.06 |
$10.27 |
$10.31 |
$10.38 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.244 |
.510 |
.494 |
.455 |
.450 |
.472 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.130) |
.170 |
(.070) |
(.205) |
(.014) |
(.060) |
|
Total from Investment Operations |
.114 |
.680 |
.424 |
.250 |
.436 |
.412 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.244) |
(.510) |
(.494) |
(.458) |
(.455) |
(.482) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
(.002) |
(.021) |
— |
|
Total Distributions |
(.244) |
(.510) |
(.494) |
(.460) |
(.476) |
(.482) |
|
Net Asset Value, End of Period |
$10.03 |
$10.16 |
$9.99 |
$10.06 |
$10.27 |
$10.31 |
|
|
|
|
|
|
|
|
|
Total Return |
1.11% |
7.02% |
4.36% |
2.49% |
4.33% |
4.04% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$12,039 |
$10,232 |
$7,900 |
$4,529 |
$2,502 |
$2,092 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.10%* |
0.10% |
0.11% |
0.11% |
0.11% |
0.15% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
4.82%* |
5.11% |
4.97% |
4.49% |
4.38% |
4.52% |
|
Portfolio Turnover Rate 1 |
52%* |
54% |
63% |
59% |
59% |
89% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
19
Total Bond Market Index Fund
|
Signal Shares |
|
|
|
|
|
Six Months |
Year |
Sept. 1, |
|
|
Ended |
Ended |
2006 1 to |
|
|
June 30, |
Dec. 31, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
2006 |
|
Net Asset Value, Beginning of Period |
$10.16 |
$9.99 |
$9.94 |
|
Investment Operations |
|
|
|
|
Net Investment Income |
.244 |
.510 |
.166 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.130) |
.170 |
.050 |
|
Total from Investment Operations |
.114 |
.680 |
.216 |
|
Distributions |
|
|
|
|
Dividends from Net Investment Income |
(.244) |
(.510) |
(.166) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
|
Total Distributions |
(.244) |
(.510) |
(.166) |
|
Net Asset Value, End of Period |
$10.03 |
$10.16 |
$9.99 |
|
|
|
|
|
|
Total Return |
1.11% |
7.02% |
2.18% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
Net Assets, End of Period (Millions) |
$6,627 |
$5,414 |
$632 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.10% |
0.11%* |
|
Ratio of Net Investment Income to Average Net Assets |
4.82%* |
5.11% |
4.97%* |
|
Portfolio Turnover Rate 2 |
52%* |
54% |
63% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
20
Total Bond Market Index Fund
|
Institutional Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$10.16 |
$9.99 |
$10.06 |
$10.27 |
$10.31 |
$10.38 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.246 |
.513 |
.498 |
.459 |
.453 |
.477 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.130) |
.170 |
(.070) |
(.205) |
(.014) |
(.060) |
|
Total from Investment Operations |
.116 |
.683 |
.428 |
.254 |
.439 |
.417 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.246) |
(.513) |
(.498) |
(.462) |
(.458) |
(.487) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
(.002) |
(.021) |
— |
|
Total Distributions |
(.246) |
(.513) |
(.498) |
(.464) |
(.479) |
(.487) |
|
Net Asset Value, End of Period |
$10.03 |
$10.16 |
$9.99 |
$10.06 |
$10.27 |
$10.31 |
|
|
|
|
|
|
|
|
|
Total Return |
1.13% |
7.05% |
4.40% |
2.53% |
4.36% |
4.10% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$11,167 |
$9,492 |
$8,257 |
$7,325 |
$7,444 |
$6,593 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.07%* |
0.07% |
0.07% |
0.07% |
0.08% |
0.10% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
4.85%* |
5.14% |
5.01% |
4.53% |
4.41% |
4.60% |
|
Portfolio Turnover Rate 1 |
52%* |
54% |
63% |
59% |
59% |
89% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
21
Total Bond Market Index Fund
|
ETF Shares |
|
|
|
|
Six Months |
April 3, |
|
|
Ended |
2007 1 to |
|
|
June 30, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
|
Net Asset Value, Beginning of Period |
$76.61 |
$74.95 |
|
Investment Operations |
|
|
|
Net Investment Income |
1.773 |
2.351 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.926) |
1.660 |
|
Total from Investment Operations |
.847 |
4.011 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
(1.477) |
(2.351) |
|
Distributions from Realized Capital Gains |
— |
— |
|
Total Distributions |
(1.477) |
(2.351) |
|
Net Asset Value, End of Period |
$75.98 |
$76.61 |
|
|
|
|
|
Total Return |
1.09% |
5.45% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
$1,816 |
$1,095 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.11%* |
|
Ratio of Net Investment Income to Average Net Assets |
4.82%* |
5.10%* |
|
Portfolio Turnover Rate 2 |
52%* |
54% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
See accompanying Notes , which are an integral part of the Financial Statements .
22
Total Bond Market Index Fund
Notes to Financial Statements
Vanguard Total Bond Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been 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.
2. Swap Contracts: 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.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The primary risk associated with interest rate swaps and total return swaps is that a counterparty will default on its obligation to pay net amounts due to the fund.
23
Total Bond Market Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2008, the fund had contributed capital of $5,157,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 5.16% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
24
Total Bond Market Index Fund
C. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
During the six months ended June 30, 2008, the fund realized $1,035,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $96,000 on swap contracts have been reclassified from accumulated net realized gains to undistributed net investment income.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2007, the fund had available realized losses of $196,000,000 to offset future net capital gains of $15,516,000 through December 31, 2013, and $180,484,000 through December 31, 2014. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2008, the cost of investment securities for tax purposes was $63,441,657,000. Net unrealized depreciation of investment securities for tax purposes was $229,175,000, consisting of unrealized gains of $649,231,000 on securities that had risen in value since their purchase and $878,406,000 in unrealized losses on securities that had fallen in value since their purchase.
At June 30, 2008, the fund had the following open swap contracts:
|
Interest Rate Swaps |
|||||
|
|
|
|
Fixed |
Floating |
Unrealized |
|
|
|
Notional |
Interest Rate |
Interest Rate |
Appreciation |
|
|
|
Amount |
Received |
Received |
(Depreciation) |
|
Termination Date |
Dealer 1 |
($000) |
(Paid) |
(Paid) 2 |
($000) |
|
6/3/13 |
LEH |
90,725 |
4.183% |
(2.681%) |
(285) |
|
7/2/13 |
LEH |
216,300 |
4.263% |
(2.783%) |
— |
|
|
|
|
|
|
(285) |
1 LEH—Lehman Brothers Special Financing Inc.
2 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
25
Total Bond Market Index Fund
|
Total Return Swaps |
|
|
|
|
|
|
|
|
Floating |
Unrealized |
|
|
|
Notional |
Interest |
Appreciation |
|
|
|
Amount |
Rate |
(Depreciation) |
|
Reference Entity/Termination Date |
Dealer 1 |
($000) |
Paid 2 |
($000) |
|
Commercial Mortgage-Backed Securities Index |
|
|
|
|
|
7/31/08 |
BA |
64,000 |
2.713% |
(912) |
|
7/31/08 |
LEH |
212,000 |
2.671% |
(11,434) |
|
9/30/08 |
BA |
70,000 |
2.813% |
4,319 |
|
9/30/08 |
BA |
100,000 |
3.063% |
834 |
|
9/30/08 |
BA |
100,000 |
3.013% |
846 |
|
10/31/08 |
BA |
100,000 |
2.963% |
(2,327) |
|
10/31/08 |
BA |
50,000 |
3.213% |
(1,183) |
|
10/31/08 |
LEH |
100,000 |
2.821% |
(1,462) |
|
11/30/08 |
LEH |
203,000 |
2.721% |
(7,026) |
|
4/30/09 |
BA |
65,000 |
3.463% |
(1,563) |
|
|
|
|
|
(19,908) |
D. During the six months ended June 30, 2008, the fund purchased $5,467,626,000 of investment securities and sold $1,856,699,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $17,559,612,000 and $13,339,044,000, respectively.
E. The market value of securities on loan to broker-dealers at June 30, 2008, was $39,132,000, for which the fund received cash collateral of $40,082,000.
F. Capital share transactions for each class of shares were:
|
|
Six Months Ended |
Year Ended |
||
|
|
June 30, 2008 |
December 31, 2007 |
||
|
|
Amount |
Shares |
Amount |
Shares |
|
|
($000) |
(000) |
($000) |
(000) |
|
Investor Shares |
|
|
|
|
|
Issued |
6,767,079 |
664,124 |
11,073,088 |
1,108,824 |
|
Issued in Lieu of Cash Distributions |
708,255 |
69,563 |
1,315,967 |
131,724 |
|
Redeemed |
(4,981,714) |
(489,717) |
(7,113,186) |
(712,850) |
|
Net Increase (Decrease)—Investor Shares |
2,493,620 |
243,970 |
5,275,869 |
527,698 |
1 BA—Bank of America, N.A.
LEH—Lehman Brothers Special Financing Inc.
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
26
Total Bond Market Index Fund
|
|
Six Months Ended |
Year Ended |
||
|
|
June 30, 2008 |
December 31, 2007 |
||
|
|
Amount |
Shares |
Amount |
Shares |
|
|
($000) |
(000) |
($000) |
(000) |
|
Admiral Shares |
|
|
|
|
|
Issued |
2,520,348 |
247,395 |
5,695,941 |
571,118 |
|
Issued in Lieu of Cash Distributions |
245,430 |
24,108 |
444,643 |
44,521 |
|
Redeemed |
(795,411) |
(78,212) |
(3,977,781) |
(399,204) |
|
Net Increase (Decrease)—Admiral Shares |
1,970,367 |
193,291 |
2,162,803 |
216,435 |
|
Signal Shares |
|
|
|
|
|
Issued |
1,890,186 |
185,816 |
4,960,950 |
498,330 |
|
Issued in Lieu of Cash Distributions |
133,373 |
13,102 |
104,471 |
10,404 |
|
Redeemed |
(722,809) |
(71,000) |
(392,149) |
(39,082) |
|
Net Increase (Decrease)—Signal Shares |
1,300,750 |
127,918 |
4,673,272 |
469,652 |
|
Institutional Shares |
|
|
|
|
|
Issued |
3,056,546 |
300,146 |
3,954,371 |
396,843 |
|
Issued in Lieu of Cash Distributions |
233,802 |
22,966 |
401,200 |
40,156 |
|
Redeemed |
(1,466,182) |
(143,934) |
(3,288,097) |
(329,110) |
|
Net Increase (Decrease)—Institutional Shares |
1,824,166 |
179,178 |
1,067,474 |
107,889 |
|
ETF Shares |
|
|
|
|
|
Issued |
769,221 |
10,000 |
1,079,283 |
14,300 |
|
Issued in Lieu of Cash Distributions |
— |
— |
— |
— |
|
Redeemed |
(30,830) |
(400) |
— |
— |
|
Net Increase (Decrease)—ETF Shares |
738,391 |
9,600 |
1,079,283 |
14,300 |
G. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”),“Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 —Quoted prices in active markets for identical securities.
Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 —Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
27
Total Bond Market Index Fund
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
|
|
Investments |
Swap |
|
|
in Securities |
Contracts |
|
Valuation Inputs |
($000) |
($000) |
|
Level 1—Quoted prices |
557,777 |
— |
|
Level 2—Other significant observable inputs |
62,653,757 |
(20,193) |
|
Level 3—Significant unobservable inputs |
948 |
— |
|
Total |
63,212,482 |
(20,193) |
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2008.
|
Amount Valued |
Investments in |
|
Based on Level 3 Inputs |
Securities ($000) |
|
Balance as of December 31, 2007 |
— |
|
Transfers in and/or out of Level 3 |
948 |
|
Balance as of June 30, 2008 |
948 |
28
Short-Term Bond Index Fund
Fund Profile
As of June 30, 2008
|
Financial Attributes |
|
|
|
|
|
|
Target |
Broad |
|
|
Fund |
Index 1 |
Index 2 |
|
Number of Issues |
933 |
1,951 |
9,457 |
|
Yield 3 |
|
3.8% |
5.1% |
|
Investor Shares |
3.6% |
|
|
|
Admiral Shares |
3.7% |
|
|
|
Signal Shares |
3.7% |
|
|
|
ETF Shares |
3.7% |
|
|
|
Yield to Maturity |
3.8% 4 |
3.9% |
5.1% |
|
Average Coupon |
4.9% |
4.7% |
5.4% |
|
Average Effective |
|
|
|
|
Maturity |
2.8 years |
2.9 years |
7.5 years |
|
Average Quality 5 |
Aa1 |
Aa1 |
Aa1 |
|
Average Duration |
2.5 years |
2.5 years |
4.7 years |
|
Expense Ratio 6 |
|
— |
— |
|
Investor Shares |
0.18% |
|
|
|
Admiral Shares |
0.10% |
|
|
|
Signal Shares |
0.10% |
|
|
|
ETF Shares |
0.10% |
|
|
|
Short-Term Reserves |
0.1% |
— |
— |
|
Sector Diversification 7 (% of portfolio) |
|
|
|
|
|
Asset-Backed/Commercial Mortgage-Backed |
0.2% |
|
Finance |
13.6 |
|
Foreign |
5.6 |
|
Government Mortgage-Backed |
0.1 |
|
Industrial |
12.4 |
|
Treasury/Agency |
66.0 |
|
Utilities |
2.0 |
|
Other |
0.1 |
|
Volatility Measures 8 |
|
|
|
|
Fund Versus |
Fund Versus |
|
|
Target Index 1 |
Broad Index 2 |
|
R-Squared |
0.99 |
0.75 |
|
Beta |
1.02 |
0.65 |
|
Distribution by Maturity (% of portfolio) |
|
|
|
|
|
Under 1 Year |
2.3% |
|
1–3 Years |
55.7 |
|
3–5 Years |
39.1 |
|
Over 5 Years |
2.9 |
|
Distribution by Credit Quality 5 (% of portfolio) |
|
|
|
|
|
Aaa |
72.0% |
|
Aa |
8.5 |
|
A |
11.3 |
|
Baa |
8.2 |
Investment Focus
1 Lehman 1–5 Year U.S. Government/Credit Index.
2 Lehman U.S. Aggregate Bond Index.
3 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary on pages 80–81.
4 Before expenses.
5 Moody’s Investors Service.
6 Annualized.
7 The agency sector may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
8 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 80–81.
29
Short-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost . The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
|
Fiscal Year Total Returns(%) December 31, 1997–June 30, 2008 |
||||
|
|
Investor Shares |
Lehman 1 |
||
|
Fiscal |
Capital |
Income |
Total |
Total |
|
Year |
Return |
Return |
Return |
Return |
|
1998 |
1.7% |
5.9% |
7.6% |
7.6% |
|
1999 |
–3.3 |
5.4 |
2.1 |
2.1 |
|
2000 |
2.4 |
6.4 |
8.8 |
8.9 |
|
2001 |
3.0 |
5.9 |
8.9 |
9.0 |
|
2002 |
1.5 |
4.6 |
6.1 |
8.1 |
|
2003 |
0.1 |
3.3 |
3.4 |
3.4 |
|
2004 |
–1.3 |
3.0 |
1.7 |
1.8 |
|
2005 |
–2.2 |
3.5 |
1.3 |
1.4 |
|
2006 |
–0.3 |
4.4 |
4.1 |
4.2 |
|
2007 |
2.4 |
4.8 |
7.2 |
7.3 |
|
2008 2 |
–0.1 |
2.0 |
1.9 |
1.8 |
|
Average Annual Total Returns: Periods Ended June 30, 2008 |
||||||
|
|
|
|
|
|
|
Ten Years |
|
|
Inception Date |
One Year |
Five Years |
Capital |
Income |
Total |
|
Investor Shares 3 |
3/1/1994 |
7.25% |
3.31% |
0.35% |
4.60% |
4.95% |
|
Admiral Shares |
11/12/2001 |
7.33 |
3.38 |
–0.24 4 |
4.00 4 |
3.76 4 |
|
Signal Shares |
3/30/2007 |
7.33 |
6.12 4 |
— |
— |
— |
|
ETF Shares |
4/3/2007 |
|
|
|
|
|
|
Market Price |
|
7.35 |
6.40 4 |
— |
— |
— |
|
Net Asset Value |
|
7.26 |
6.14 4 |
— |
— |
— |
1 Lehman 1–5 Year U.S. Government/Credit Index.
2 Six months ended June 30, 2008.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
4 Return since inception.
Note: See Financial Highlights tables on pages 37–40 for dividend and capital gains information.
30
Short-Term Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2008
This Statement summarizes the fund’s holdings by bond type (U.S. government and agency issues, corporate bonds, sovereign bonds, etc.); corporate bonds are further classified by industry sector. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
Face |
Market |
Percentage |
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
U.S. Government and Agency Obligations |
|
|
|
||
|
U.S. Government Securities |
|
|
|
|
|
|
U.S. Treasury Bond |
13.250% |
5/15/14 |
35,000 |
38,205 |
0.5% |
|
U.S. Treasury Note |
3.125% |
11/30/09 |
408,275 |
412,422 |
5.3% |
|
U.S. Treasury Note |
4.750% |
5/31/12 |
179,080 |
189,375 |
2.4% |
|
U.S. Treasury Note |
4.625% |
7/31/12 |
176,450 |
186,017 |
2.4% |
|
U.S. Treasury Note |
4.000% |
4/15/10 |
178,315 |
182,856 |
2.3% |
|
U.S. Treasury Note |
6.500% |
2/15/10 |
165,640 |
176,251 |
2.3% |
|
U.S. Treasury Note |
4.250% |
8/15/13 |
155,125 |
161,815 |
2.1% |
|
U.S. Treasury Note |
4.000% |
3/15/10 |
152,855 |
156,747 |
2.0% |
|
U.S. Treasury Note |
4.125% |
8/15/10 |
111,720 |
115,106 |
1.5% |
|
U.S. Treasury Note |
4.500% |
4/30/12 |
107,090 |
112,260 |
1.5% |
|
U.S. Treasury Note |
4.500% |
11/30/11 |
92,685 |
96,957 |
1.2% |
|
U.S. Treasury Note |
4.500% |
3/31/12 |
90,465 |
94,748 |
1.2% |
|
U.S. Treasury Note |
4.125% |
8/31/12 |
85,760 |
88,748 |
1.1% |
|
U.S. Treasury Note |
3.500% |
2/15/10 |
83,220 |
84,625 |
1.1% |
|
U.S. Treasury Note |
2.750% |
2/28/13 |
79,425 |
77,539 |
1.0% |
|
U.S. Treasury Note |
4.875% |
6/30/12 |
71,300 |
75,768 |
1.0% |
|
U.S. Treasury Note |
4.625% |
7/31/09 |
68,985 |
70,612 |
0.9% |
|
U.S. Treasury Note |
3.250% |
12/31/09 |
68,500 |
69,324 |
0.9% |
|
U.S. Treasury Note |
6.000% |
8/15/09 |
63,615 |
66,090 |
0.8% |
|
U.S. Treasury Note |
4.000% |
9/30/09 |
64,225 |
65,520 |
0.8% |
|
U.S. Treasury Note |
4.750% |
1/31/12 |
60,740 |
64,109 |
0.8% |
|
U.S. Treasury Note |
3.625% |
6/30/13 |
64,000 |
64,080 |
0.8% |
|
U.S. Treasury Note |
4.500% |
5/15/10 |
60,965 |
63,109 |
0.8% |
|
U.S. Treasury Note |
3.625% |
10/31/09 |
60,525 |
61,547 |
0.8% |
|
U.S. Treasury Note |
4.500% |
2/28/11 |
57,450 |
59,901 |
0.8% |
|
U.S. Treasury Note |
3.500% |
12/15/09 |
56,035 |
56,937 |
0.7% |
|
U.S. Treasury Note |
4.875% |
8/15/09 |
52,825 |
54,245 |
0.7% |
|
U.S. Treasury Note |
3.875% |
10/31/12 |
41,100 |
42,147 |
0.5% |
|
U.S. Treasury Note |
5.125% |
6/30/11 |
36,580 |
38,883 |
0.5% |
31
Short-Term Bond Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
|
U.S. Treasury Note |
4.625% |
8/31/11 |
33,975 |
35,626 |
0.5% |
|
|
U.S. Treasury Note |
2.875%–5.750% |
9/15/08–11/15/13 |
254,335 |
260,698 |
3.3% |
|
|
|
|
|
|
3,322,267 |
42.5% |
|
Agency Bonds and Notes |
|
|
|
|
|
|
|
1 |
Federal Home Loan Bank |
4.875% |
11/18/11 |
62,750 |
64,964 |
0.8% |
|
1 |
Federal Home Loan Bank |
5.375% |
7/17/09 |
61,600 |
63,065 |
0.8% |
|
1 |
Federal Home Loan Bank |
3.875% |
1/15/10 |
46,375 |
46,888 |
0.6% |
|
1 |
Federal Home Loan Bank |
2.750% |
6/18/10 |
46,650 |
46,198 |
0.6% |
|
1 |
Federal Home Loan Bank |
5.000% |
9/18/09 |
41,000 |
41,962 |
0.5% |
|
1 |
Federal Home Loan Bank |
4.625% |
10/10/12 |
40,000 |
40,833 |
0.5% |
|
1 |
Federal Home Loan Bank |
4.875% |
5/14/10 |
30,350 |
31,257 |
0.4% |
|
1 |
Federal Home Loan Bank |
2.750%–5.750% |
8/5/09–5/29/13 |
190,825 |
194,175 |
2.5% |
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
Mortgage Corp. |
5.125% |
8/23/10 |
56,600 |
58,704 |
0.8% |
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
Mortgage Corp. |
6.875% |
9/15/10 |
50,000 |
53,722 |
0.7% |
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
Mortgage Corp. |
4.125% |
7/12/10 |
45,600 |
46,393 |
0.6% |
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
Mortgage Corp. |
6.625% |
9/15/09 |
41,250 |
43,039 |
0.6% |
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
Mortgage Corp. |
4.625% |
10/25/12 |
32,900 |
33,631 |
0.4% |
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
Mortgage Corp. |
2.875%–6.000% |
6/11/09–7/15/13 |
334,825 |
342,366 |
4.4% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
7.250% |
1/15/10 |
60,250 |
63,957 |
0.8% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
6.000% |
5/15/11 |
55,700 |
59,232 |
0.8% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
6.625% |
9/15/09 |
56,000 |
58,374 |
0.7% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
2.500% |
4/9/10 |
50,000 |
49,416 |
0.6% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
4.750% |
3/12/10 |
35,575 |
36,506 |
0.5% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
6.625% |
11/15/10 |
33,850 |
36,322 |
0.5% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
3.625% |
2/12/13 |
35,750 |
35,001 |
0.4% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
3.875% |
2/15/10 |
31,975 |
32,392 |
0.4% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
3.000%–6.125% |
7/13/09–7/12/13 |
236,875 |
243,025 |
3.1% |
|
† |
Other—Agency Bonds and Notes |
|
|
71,543 |
0.9% |
|
|
|
|
|
|
|
1,792,965 |
22.9% |
|
Total U.S. Government and Agency Obligations (Cost $5,075,139) |
|
5,115,232 |
65.4% |
|||
|
Corporate Bonds |
|
|
|
|
|
|
|
† Asset-Backed/Commercial Mortgage-Backed Securities |
|
21,391 |
0.3% |
|||
|
|
|
|
|
|
|
|
|
Finance |
|
|
|
|
|
|
|
† |
Banking |
|
|
|
454,753 |
5.8% |
|
† |
Brokerage |
|
|
|
198,157 |
2.5% |
|
|
Finance Companies |
|
|
|
|
|
32
Short-Term Bond Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
|
General Electric |
|
|
|
|
|
|
|
Capital Corp. |
3.250%–6.125% |
6/15/09–5/1/13 |
102,660 |
104,835 |
1.4% |
|
|
Heller Financial, Inc. |
7.375% |
11/1/09 |
3,200 |
3,349 |
0.0% |
|
† |
Other—Finance Companies |
|
|
|
162,254 |
2.1% |
|
† |
Insurance |
|
|
|
100,309 |
1.3% |
|
† |
Real Estate Investment Trusts |
|
|
36,183 |
0.5% |
|
|
|
|
|
|
|
1,059,840 |
13.6% |
|
Industrial |
|
|
|
|
|
|
|
† |
Basic Industry |
|
|
|
55,887 |
0.7% |
|
|
Capital Goods |
|
|
|
|
|
|
|
General Electric Co. |
5.000% |
2/1/13 |
13,500 |
13,560 |
0.2% |
|
† |
Other—Capital Goods |
|
|
|
107,225 |
1.3% |
|
† |
Communication |
|
|
|
239,575 |
3.1% |
|
† |
Consumer Cyclical |
|
|
|
152,371 |
2.0% |
|
† |
Consumer Noncyclical |
|
|
|
190,076 |
2.4% |
|
† |
Energy |
|
|
|
79,382 |
1.0% |
|
† |
Technology |
|
|
|
76,042 |
1.0% |
|
† |
Transportation |
|
|
|
33,405 |
0.4% |
|
† |
Industrial—Other |
|
|
|
3,487 |
0.0% |
|
|
|
|
|
|
951,010 |
12.1% |
|
Utilities |
|
|
|
|
|
|
|
† |
Electric |
|
|
|
114,876 |
1.5% |
|
† |
Natural Gas |
|
|
|
43,050 |
0.5% |
|
|
|
|
|
|
157,926 |
2.0% |
|
Total Corporate Bonds (Cost $2,211,810) |
|
|
2,190,167 |
28.0% |
||
|
Sovereign Bonds (U.S. Dollar-Denominated) |
|
|
|
|
||
|
|
European |
|
|
|
|
|
|
|
Investment Bank |
2.625%–5.250% |
2/8/10–7/15/13 |
90,250 |
91,670 |
1.2% |
|
|
KFW International |
|
|
|
|
|
|
|
Finance Inc. |
4.500%–4.875% |
9/21/09–10/19/09 |
13,975 |
14,229 |
0.2% |
|
|
Kreditanstalt fur |
|
|
|
|
|
|
|
Wiederaufbau |
3.250%–4.750% |
6/15/10–5/16/13 |
74,125 |
74,757 |
0.9% |
|
† |
Other—Sovereign Bonds |
|
|
|
253,943 |
3.2% |
|
Total Sovereign Bonds (Cost $430,225) |
|
|
434,599 |
5.5% |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Temporary Cash Investment |
|
|
|
|
|
|
|
2 |
Vanguard Market |
|
|
|
|
|
|
|
Liquidity Fund (Cost $44,983) |
2.405% |
|
44,983,120 |
44,983 |
0.6% |
|
3 |
Total Investments (Cost $7,762,157) |
|
|
7,784,981 |
99.5% |
|
|
Other Assets and Liabilities |
|
|
|
|
|
|
|
Receivables for Investment Securities Sold |
|
|
213,995 |
2.7% |
||
|
Other Assets—Note B |
|
|
|
145,948 |
1.9% |
|
|
Payables for Investment Securities Purchased |
|
|
(298,834) |
(3.8%) |
||
|
Other Liabilities |
|
|
|
(25,155) |
(0.3%) |
|
|
|
|
|
|
|
35,954 |
0.5% |
|
Net Assets |
|
|
|
7,820,935 |
100.0% |
|
33
Short-Term Bond Index Fund
|
At June 30, 2008, net assets consisted of: 4 |
|
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
7,850,933 |
|
Undistributed Net Investment Income |
2,365 |
|
Accumulated Net Realized Losses |
(55,187) |
|
Unrealized Appreciation |
22,824 |
|
Net Assets |
7,820,935 |
|
|
|
|
Investor Shares—Net Assets |
|
|
Applicable to 314,974,538 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
3,186,252 |
|
Net Asset Value Per Share—Investor Shares |
$10.12 |
|
|
|
|
Admiral Shares—Net Assets |
|
|
Applicable to 156,706,749 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
1,585,234 |
|
Net Asset Value Per Share—Admiral Shares |
$10.12 |
|
|
|
|
Signal Shares—Net Assets |
|
|
Applicable to 224,481,555 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
2,270,840 |
|
Net Asset Value Per Share—Signal Shares |
$10.12 |
|
|
|
|
ETF Shares—Net Assets |
|
|
Applicable to 10,100,000 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
778,609 |
|
Net Asset Value Per Share—ETF Shares |
$77.09 |
|
• |
See Note A in Notes to Financial Statements . |
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Certain of the fund’s securities are 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 June 30, 2008, the aggregate value of these securities was $22,509,000, representing 0.3% of net assets.
4 See Note D in Notes to Financial Statements for the tax-basis components of net assets.
34
Short-Term Bond Index Fund
Statement of Operations
|
|
Six Months Ended |
|
|
June 30, 2008 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest 1 |
151,570 |
|
Security Lending |
3 |
|
Total Income |
151,573 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
326 |
|
Management and Administrative |
|
|
Investor Shares |
2,132 |
|
Admiral Shares |
504 |
|
Signal Shares |
716 |
|
ETF Shares |
189 |
|
Marketing and Distribution |
|
|
Investor Shares |
375 |
|
Admiral Shares |
201 |
|
Signal Shares |
215 |
|
ETF Shares |
62 |
|
Custodian Fees |
32 |
|
Shareholders’ Reports |
|
|
Investor Shares |
27 |
|
Admiral Shares |
1 |
|
Signal Shares |
5 |
|
ETF Shares |
8 |
|
Trustees’ Fees and Expenses |
5 |
|
Total Expenses |
4,798 |
|
Expenses Paid Indirectly—Note C |
(15) |
|
Net Expenses |
4,783 |
|
Net Investment Income |
146,790 |
|
Realized Net Gain (Loss) on Investment Securities Sold |
54,263 |
|
Change in Unrealized Appreciation (Depreciation) of Investment Securities |
(80,897) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
120,156 |
1 Interest income from an affiliated company of the fund was $510,000.
35
Short-Term Bond Index Fund
Statement of Changes in Net Assets
|
|
Six Months Ended |
Year Ended |
|
|
June 30, |
December 31, |
|
|
2008 |
2007 |
|
|
($000) |
($000) |
|
Increase (Decrease) In Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income |
146,790 |
267,962 |
|
Realized Net Gain (Loss) |
54,263 |
4,746 |
|
Change in Unrealized Appreciation (Depreciation) |
(80,897) |
141,069 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
120,156 |
413,777 |
|
Distributions |
|
|
|
Net Investment Income |
|
|
|
Investor Shares |
(60,038) |
(123,681) |
|
Admiral Shares |
(32,027) |
(112,785) |
|
Signal Shares |
(43,016) |
(23,692) |
|
ETF Shares |
(9,344) |
(7,804) |
|
Realized Capital Gain |
|
|
|
Investor Shares |
— |
— |
|
Admiral Shares |
— |
— |
|
Signal Shares |
— |
— |
|
ETF Shares |
— |
— |
|
Total Distributions |
(144,425) |
(267,962) |
|
Capital Share Transactions—Note F |
|
|
|
Investor Shares |
421,961 |
(22,312) |
|
Admiral Shares |
86,290 |
(1,070,477) |
|
Signal Shares |
429,301 |
1,820,749 |
|
ETF Shares |
373,585 |
400,609 |
|
Net Increase (Decrease) from Capital Share Transactions |
1,311,137 |
1,128,569 |
|
Total Increase (Decrease) |
1,286,868 |
1,274,384 |
|
Net Assets |
|
|
|
Beginning of Period |
6,534,067 |
5,259,683 |
|
End of Period 1 |
7,820,935 |
6,534,067 |
1 Net Assets—End of Period includes undistributed net investment income of $2,365,000 and $0.
36
Short-Term Bond Index Fund
Financial Highlights
|
Investor Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$10.13 |
$9.89 |
$9.92 |
$10.14 |
$10.28 |
$10.32 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.205 |
.456 |
.426 |
.350 |
.303 |
.329 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.010) |
.240 |
(.030) |
(.220) |
(.131) |
.015 |
|
Total from Investment Operations |
.195 |
.696 |
.396 |
.130 |
.172 |
.344 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.205) |
(.456) |
(.426) |
(.350) |
(.303) |
(.329) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
— |
(.009) |
(.055) |
|
Total Distributions |
(.205) |
(.456) |
(.426) |
(.350) |
(.312) |
(.384) |
|
Net Asset Value, End of Period |
$10.12 |
$10.13 |
$9.89 |
$9.92 |
$10.14 |
$10.28 |
|
|
|
|
|
|
|
|
|
Total Return 1 |
1.91% |
7.22% |
4.09% |
1.31% |
1.70% |
3.37% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$3,186 |
$2,773 |
$2,731 |
$2,951 |
$3,795 |
$3,041 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.18%* |
0.18% |
0.18% |
0.18% |
0.18% |
0.20% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
4.01%* |
4.58% |
4.32% |
3.50% |
2.97% |
3.17% |
|
Portfolio Turnover Rate 2 |
96%* |
79% |
106% |
106% |
92% |
111% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
37
Short-Term Bond Index Fund
|
Admiral Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$10.13 |
$9.89 |
$9.92 |
$10.14 |
$10.28 |
$10.32 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.209 |
.464 |
.433 |
.357 |
.310 |
.334 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.010) |
.240 |
(.030) |
(.220) |
(.131) |
.015 |
|
Total from Investment Operations |
.199 |
.704 |
.403 |
.137 |
.179 |
.349 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.209) |
(.464) |
(.433) |
(.357) |
(.310) |
(.334) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
— |
(.009) |
(.055) |
|
Total Distributions |
(.209) |
(.464) |
(.433) |
(.357) |
(.319) |
(.389) |
|
Net Asset Value, End of Period |
$10.12 |
$10.13 |
$9.89 |
$9.92 |
$10.14 |
$10.28 |
|
|
|
|
|
|
|
|
|
Total Return |
1.95% |
7.31% |
4.16% |
1.38% |
1.77% |
3.43% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$1,585 |
$1,502 |
$2,528 |
$2,326 |
$1,469 |
$1,177 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.10%* |
0.10% |
0.11% |
0.11% |
0.10% |
0.15% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
4.09%* |
4.66% |
4.39% |
3.57% |
3.05% |
3.21% |
|
Portfolio Turnover Rate 1 |
96%* |
79% |
106% |
106% |
92% |
111% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
38
Short-Term Bond Index Fund
|
Signal Shares |
|
|
|
|
Six Months |
March 30, |
|
|
Ended |
2007 1 to |
|
|
June 30, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
|
Net Asset Value, Beginning of Period |
$10.13 |
$9.93 |
|
Investment Operations |
|
|
|
Net Investment Income |
.209 |
.352 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.010) |
.200 |
|
Total from Investment Operations |
.199 |
.552 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
(.209) |
(.352) |
|
Distributions from Realized Capital Gains |
— |
— |
|
Total Distributions |
(.209) |
(.352) |
|
Net Asset Value, End of Period |
$10.12 |
$10.13 |
|
|
|
|
|
Total Return |
1.95% |
5.67% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
$2,271 |
$1,851 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.10%* |
|
Ratio of Net Investment Income to Average Net Assets |
4.09%* |
4.66%* |
|
Portfolio Turnover Rate 2 |
96%* |
79% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
39
Short-Term Bond Index Fund
|
ETF Shares |
|
|
|
|
Six Months |
April 3, |
|
|
Ended |
2007 1 to |
|
|
June 30, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
|
Net Asset Value, Beginning of Period |
$76.88 |
$74.95 |
|
Investment Operations |
|
|
|
Net Investment Income |
1.497 |
2.249 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.024) |
1.930 |
|
Total from Investment Operations |
1.473 |
4.179 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
(1.263) |
(2.249) |
|
Distributions from Realized Capital Gains |
— |
— |
|
Total Distributions |
(1.263) |
(2.249) |
|
Net Asset Value, End of Period |
$77.09 |
$76.88 |
|
|
|
|
|
Total Return |
1.91% |
5.67% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
$779 |
$407 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.11%* |
|
Ratio of Net Investment Income to Average Net Assets |
4.09%* |
4.65%* |
|
Portfolio Turnover Rate 2 |
96%* |
79% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
See accompanying Notes , which are an integral part of the Financial Statements .
40
Short-Term Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers four classes of shares: Investor Shares, Admiral Shares, Signal Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been 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.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
41
Short-Term Bond Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2008, the fund had contributed capital of $624,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.62% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended June 30, 2008, custodian fee offset arrangements reduced the fund’s expenses by $15,000.
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2007, the fund had available realized losses of $109,115,000 to offset future net capital gains of $36,454,000 through December 31, 2013, and $72,661,000 through December 31, 2014. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2008, the cost of investment securities for tax purposes was $7,762,157,000. Net unrealized appreciation of investment securities for tax purposes was $22,824,000, consisting of unrealized gains of $80,155,000 on securities that had risen in value since their purchase and $57,331,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2008, the fund purchased $1,140,485,000 of investment securities and sold $328,494,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,548,308,000 and $3,064,546,000, respectively.
42
Short-Term Bond Index Fund
F. Capital share transactions for each class of shares were:
|
|
Six Months Ended |
Year Ended |
||
|
|
June 30, 2008 |
December 31, 2007 |
||
|
|
Amount |
Shares |
Amount |
Shares |
|
|
($000) |
(000) |
($000) |
(000) |
|
Investor Shares |
|
|
|
|
|
Issued |
916,750 |
89,541 |
967,475 |
97,217 |
|
Issued in Lieu of Cash Distributions |
55,082 |
5,379 |
109,716 |
11,019 |
|
Redeemed |
(549,871) |
(53,703) |
(1,099,503) |
(110,511) |
|
Net Increase (Decrease)—Investor Shares |
421,961 |
41,217 |
(22,312) |
(2,275) |
|
Admiral Shares |
|
|
|
|
|
Issued |
304,847 |
29,782 |
839,149 |
84,482 |
|
Issued in Lieu of Cash Distributions |
28,458 |
2,778 |
97,753 |
9,833 |
|
Redeemed |
(247,015) |
(24,146) |
(2,007,379) |
(201,569) |
|
Net Increase (Decrease)—Admiral Shares |
86,290 |
8,414 |
(1,070,477) |
(107,254) |
|
Signal Shares |
|
|
|
|
|
Issued |
738,011 |
71,930 |
1,947,326 |
195,338 |
|
Issued in Lieu of Cash Distributions |
39,062 |
3,815 |
21,187 |
2,105 |
|
Redeemed |
(347,772) |
(34,023) |
(147,764) |
(14,683) |
|
Net Increase (Decrease)—Signal Shares |
429,301 |
41,722 |
1,820,749 |
182,760 |
|
ETF Shares |
|
|
|
|
|
Issued |
373,585 |
4,800 |
400,609 |
5,300 |
|
Issued in Lieu of Cash Distributions |
— |
— |
— |
— |
|
Redeemed |
— |
— |
— |
— |
|
Net Increase (Decrease)—ETF Shares |
373,585 |
4,800 |
400,609 |
5,300 |
G. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”),“Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 —Quoted prices in active markets for identical securities.
Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 —Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
43
Short-Term Bond Index Fund
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
|
|
Investments in |
|
Valuation Inputs |
Securities ($000) |
|
Level 1—Quoted prices |
44,983 |
|
Level 2—Other significant observable inputs |
7,739,863 |
|
Level 3—Significant unobservable inputs |
135 |
|
Total |
7,784,981 |
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2008.
|
Amount Valued |
Investments in |
|
Based on Level 3 Inputs |
Securities ($000) |
|
Balance as of December 31, 2007 |
— |
|
Transfers in and/or out of Level 3 |
135 |
|
Balance as of June 30, 2008 |
135 |
44
Intermediate-Term Bond Index Fund
Fund Profile
As of June 30, 2008
|
Financial Attributes |
|
|
|
|
|
|
Target |
Broad |
|
|
Fund |
Index 1 |
Index 2 |
|
Number of Issues |
996 |
1,489 |
9,457 |
|
Yield 3 |
|
5.1% |
5.1% |
|
Investor Shares |
4.9% |
|
|
|
Admiral Shares |
5.0% |
|
|
|
Signal Shares |
5.0% |
|
|
|
Institutional Shares |
5.1% |
|
|
|
ETF Shares |
5.0% |
|
|
|
Yield to Maturity |
5.1% 4 |
5.3% |
5.1% |
|
Average Coupon |
5.9% |
5.5% |
5.4% |
|
Average Effective |
|
|
|
|
Maturity |
7.6 years |
7.7 years |
7.5 years |
|
Average Quality 5 |
Aa2 |
Aa2 |
Aa1 |
|
Average Duration |
6.1 years |
6.1 years |
4.7 years |
|
Expense Ratio 6 |
|
— |
— |
|
Investor Shares |
0.18% |
|
|
|
Admiral Shares |
0.10% |
|
|
|
Signal Shares |
0.10% |
|
|
|
Institutional Shares |
0.07% |
|
|
|
ETF Shares |
0.10% |
|
|
|
Short-Term Reserves |
0.2% |
— |
— |
|
Sector Diversification 7 (% of portfolio) |
|
|
|
|
|
Asset-Backed/Commercial Mortgage-Backed |
0.0% |
|
Finance |
20.9 |
|
Foreign |
6.8 |
|
Government Mortgage-Backed |
0.2 |
|
Industrial |
18.0 |
|
Treasury/Agency |
50.0 |
|
Utilities |
3.9 |
|
Other |
0.2 |
|
Volatility Measures 8 |
|
|
|
|
Fund Versus |
Fund Versus |
|
|
Target Index 1 |
Broad Index 2 |
|
R-Squared |
1.00 |
0.97 |
|
Beta |
1.01 |
1.37 |
|
Distribution by Maturity (% of portfolio) |
|
|
|
|
|
Under 1 Year |
1.4% |
|
1–5 Years |
3.4 |
|
5–10 Years |
94.3 |
|
10–20 Years |
0.9 |
|
Distribution by Credit Quality 5 (% of portfolio) |
|
|
|
|
|
Aaa |
54.4% |
|
Aa |
11.0 |
|
A |
18.1 |
|
Baa |
16.5 |
Investment Focus
1 Lehman 5–10 Year U.S. Government/Credit Index.
2 Lehman U.S. Aggregate Bond Index.
3 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary on pages 80–81.
4 Before expenses.
5 Moody’s Investors Service.
6 Annualized.
7 The agency sector may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
8 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 80–81.
45
Intermediate-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
|
Fiscal-Year Total Returns (%): December 31, 1997–June 30, 2008 |
||||
|
|
|
|
|
|
|
|
Investor Shares |
Lehman 1 |
||
|
Fiscal |
Capital |
Income |
Total |
Total |
|
Year |
Return |
Return |
Return |
Return |
|
1998 |
3.5% |
6.6% |
10.1% |
10.1% |
|
1999 |
–9.0 |
6.0 |
–3.0 |
–2.9 |
|
2000 |
5.4 |
7.4 |
12.8 |
12.4 |
|
2001 |
2.6 |
6.7 |
9.3 |
8.8 |
|
2002 |
4.7 |
6.2 |
10.9 |
13.0 |
|
2003 |
0.6 |
5.0 |
5.6 |
6.0 |
|
2004 |
0.4 |
4.8 |
5.2 |
5.3 |
|
2005 |
–2.9 |
4.7 |
1.8 |
1.8 |
|
2006 |
–1.1 |
5.0 |
3.9 |
3.8 |
|
2007 |
2.4 |
5.2 |
7.6 |
7.6 |
|
2008 2 |
–1.4 |
2.3 |
0.9 |
0.8 |
|
Average Annual Total Returns: Periods Ended June 30, 2008 |
||||||
|
|
|
|
|
|
|
Ten Years |
|
|
Inception Date |
One Year |
Five Years |
Capital |
Income |
Total |
|
Investor Shares 3 |
3/1/1994 |
8.07% |
3.69% |
0.34% |
5.65% |
5.99% |
|
Admiral Shares |
11/12/2001 |
8.16 |
3.77 |
–0.16 4 |
5.17 4 |
5.01 4 |
|
Signal Shares |
6/4/2007 |
8.16 |
7.26 4 |
— |
— |
— |
|
Institutional Shares |
1/26/2006 |
8.20 |
5.37 4 |
— |
— |
— |
|
ETF Shares |
4/3/2007 |
|
|
|
|
|
|
Market Price |
|
8.50 |
6.04 4 |
— |
— |
— |
|
Net Asset Value |
|
8.18 |
5.66 4 |
— |
— |
— |
1 Lehman 5–10 Year U.S. Government/Credit Index.
2 Six months ended June 30, 2008.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
4 Return since inception.
Note: See Financial Highlights tables on pages 53–57 for dividend and capital gains information.
46
Intermediate-Term Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2008
This Statement summarizes the fund’s holdings by bond type (U.S. government and agency issues, corporate bonds, sovereign bonds, etc.); corporate bonds are further classified by industry sector. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
U.S. Government and Agency Obligations |
|
|
|
|
||
|
U.S. Government Securities |
|
|
|
|
|
|
|
|
U.S. Treasury Bond |
8.750% |
5/15/17 |
180,970 |
243,828 |
3.0% |
|
|
U.S. Treasury Bond |
7.500% |
11/15/16 |
164,345 |
205,329 |
2.5% |
|
|
U.S. Treasury Bond |
9.250% |
2/15/16 |
141,870 |
193,077 |
2.4% |
|
|
U.S. Treasury Bond |
9.125% |
5/15/18 |
130,595 |
183,261 |
2.2% |
|
|
U.S. Treasury Bond |
8.875% |
8/15/17 |
116,510 |
158,655 |
2.0% |
|
|
U.S. Treasury Bond |
9.875% |
11/15/15 |
102,200 |
142,265 |
1.7% |
|
|
U.S. Treasury Bond |
10.625% |
8/15/15 |
98,410 |
140,758 |
1.7% |
|
|
U.S. Treasury Bond |
11.250% |
2/15/15 |
83,115 |
120,270 |
1.5% |
|
|
U.S. Treasury Bond |
4.250% |
11/15/17 |
117,045 |
119,532 |
1.5% |
|
|
U.S. Treasury Bond |
7.250% |
5/15/16 |
73,125 |
89,830 |
1.1% |
|
|
U.S. Treasury Bond |
8.875% |
2/15/19 |
22,325 |
31,119 |
0.4% |
|
|
U.S. Treasury Note |
4.250% |
8/15/14 |
171,345 |
178,975 |
2.2% |
|
|
U.S. Treasury Note |
4.625% |
2/15/17 |
157,515 |
165,785 |
2.0% |
|
|
U.S. Treasury Note |
4.750% |
8/15/17 |
115,775 |
122,650 |
1.5% |
|
|
U.S. Treasury Note |
4.250% |
8/15/13 |
113,975 |
118,891 |
1.5% |
|
|
U.S. Treasury Note |
4.250% |
8/15/15 |
102,900 |
106,937 |
1.3% |
|
|
U.S. Treasury Note |
4.875% |
8/15/16 |
87,530 |
93,835 |
1.2% |
|
|
U.S. Treasury Note |
4.625% |
11/15/16 |
65,075 |
68,644 |
0.8% |
|
|
U.S. Treasury Note |
4.500% |
2/15/16 |
53,825 |
56,600 |
0.7% |
|
|
U.S. Treasury Note |
5.125% |
5/15/16 |
49,250 |
53,706 |
0.7% |
|
|
U.S. Treasury Note |
4.000% |
6/15/09 |
48,200 |
48,931 |
0.6% |
|
|
U.S. Treasury Note |
4.750% |
5/15/14 |
42,730 |
45,801 |
0.6% |
|
|
U.S. Treasury Note |
2.750%–4.625% |
4/30/09–2/15/18 |
171,625 |
174,678 |
2.1% |
|
|
|
|
|
|
2,863,357 |
35.2% |
|
Agency Bonds and Notes |
|
|
|
|
|
|
|
1 |
Federal Home Loan Bank |
5.500% |
8/13/14 |
49,925 |
52,983 |
0.7% |
|
1 |
Federal Home Loan Bank |
5.125% |
8/14/13 |
46,250 |
48,205 |
0.6% |
|
1 |
Federal Home Loan Bank |
4.500% |
9/16/13 |
47,400 |
48,039 |
0.6% |
|
1 |
Federal Home Loan Bank |
4.750% |
12/16/16 |
28,100 |
28,273 |
0.3% |
|
1 |
Federal Home Loan Bank |
5.375% |
5/18/16 |
26,450 |
27,718 |
0.3% |
47
Intermediate-Term Bond Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
|
1 |
Federal Home Loan Bank |
4.875% |
5/17/17 |
24,225 |
24,562 |
0.3% |
|
|
1 |
Federal Home Loan Bank |
5.000%–5.625% |
6/18/14–11/17/17 |
17,275 |
17,509 |
0.2% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
5.250% |
4/18/16 |
64,000 |
66,396 |
0.8% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
5.000% |
7/15/14 |
52,700 |
54,536 |
0.7% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.875% |
11/15/13 |
52,250 |
53,782 |
0.7% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.500% |
7/15/13 |
45,675 |
46,337 |
0.6% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
5.500% |
7/18/16 |
42,500 |
44,753 |
0.6% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
5.125% |
11/17/17 |
39,500 |
40,546 |
0.5% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.500% |
1/15/14 |
35,000 |
35,397 |
0.4% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.750% |
1/19/16 |
25,925 |
26,152 |
0.3% |
|
|
1 |
Federal Home Loan |
|
|
|
|
|
|
|
|
Mortgage Corp. |
4.500%–5.125% |
12/19/08–2/16/17 |
68,850 |
69,699 |
0.9% |
|
|
1 |
Federal National Mortgage Assn. |
4.625% |
10/15/13 |
74,550 |
75,902 |
0.9% |
|
|
1 |
Federal National Mortgage Assn. |
4.125% |
4/15/14 |
52,400 |
51,938 |
0.6% |
|
|
1 |
Federal National Mortgage Assn. |
5.250% |
9/15/16 |
32,925 |
34,142 |
0.4% |
|
|
1 |
Federal National Mortgage Assn. |
4.625% |
10/15/14 |
32,225 |
32,639 |
0.4% |
|
|
1 |
Federal National Mortgage Assn. |
5.000% |
2/13/17 |
30,175 |
30,722 |
0.4% |
|
|
1 |
Federal National Mortgage Assn. |
4.875% |
12/15/16 |
29,900 |
30,239 |
0.4% |
|
|
1 |
Federal National Mortgage Assn. |
5.000% |
4/15/15 |
25,000 |
25,741 |
0.3% |
|
|
1 |
Federal National |
|
|
|
|
|
|
|
|
Mortgage Assn. |
3.250%–5.375% |
2/15/09–6/12/17 |
88,550 |
89,740 |
1.1% |
|
|
† |
Other—Agency Bonds and Notes |
|
|
|
65,278 |
0.8% |
|
|
|
|
|
|
|
1,121,228 |
13.8% |
|
|
Total U.S. Government and Agency Obligations (Cost $3,888,774) |
|
3,984,585 |
49.0% |
||||
|
Corporate Bonds |
|
|
|
|
|
||
|
† Asset-Backed/Commercial Mortgage-Backed Securities |
|
2,704 |
0.0% |
||||
|
|
|
|
|
|
|
|
|
|
Finance |
|
|
|
|
|
||
|
|
Banking |
|
|
|
|
|
|
|
|
Bank of America Corp. |
5.125%–6.100% |
6/15/14–5/1/18 |
96,800 |
91,428 |
1.1% |
|
|
2,3 |
Citicorp Lease Pass-Through Trust |
8.040% |
12/15/19 |
2,100 |
2,248 |
0.0% |
|
|
|
Citigroup, Inc. |
5.000% |
9/15/14 |
28,194 |
25,618 |
0.3% |
|
|
|
Citigroup, Inc. |
4.700%–6.125% |
5/5/14–5/15/18 |
67,700 |
64,615 |
0.8% |
|
|
|
MBNA Corp. |
5.000% |
6/15/15 |
1,300 |
1,255 |
0.0% |
|
|
|
NationsBank Corp. |
7.750% |
8/15/15 |
1,000 |
1,100 |
0.0% |
|
|
† |
Other—Banking |
|
|
|
490,189 |
6.1% |
|
|
|
Brokerage |
|
|
|
|
|
|
|
|
Goldman Sachs Group, Inc. |
6.150% |
4/1/18 |
29,425 |
28,603 |
0.3% |
|
|
|
Goldman Sachs Group, Inc. |
4.750%–6.250% |
7/15/13–1/18/18 |
98,400 |
95,603 |
1.2% |
|
|
|
Merrill Lynch & Co., Inc. |
6.875% |
4/25/18 |
30,925 |
29,388 |
0.4% |
|
|
|
Morgan Stanley Dean Witter |
6.625% |
4/1/18 |
26,850 |
25,561 |
0.3% |
|
|
|
Morgan Stanley Dean Witter |
4.750%–6.250% |
4/1/14–12/28/17 |
89,525 |
82,142 |
1.0% |
|
|
† |
Other--Brokerage |
|
|
|
158,720 |
2.0% |
|
|
|
Finance Companies |
|
|
|
|
|
|
|
|
General Electric Capital Corp. |
5.375%–6.375% |
6/4/14–11/15/67 |
85,375 |
84,418 |
1.0% |
|
|
|
HSBC Finance Corp. |
5.000% |
6/30/15 |
27,150 |
26,020 |
0.3% |
|
|
† |
Other—Finance Companies |
|
|
|
159,351 |
2.0% |
|
48
Intermediate-Term Bond Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
† |
Insurance |
|
|
|
233,601 |
2.9% |
|
|
Real Estate Investment Trusts |
|
|
|
|
|
|
|
Arden Realty LP |
5.250% |
3/1/15 |
1,250 |
1,227 |
0.0% |
|
† |
Other—Real Estate Investment Trusts |
|
|
102,040 |
1.3% |
|
|
† |
Financial—Other |
|
|
|
1,592 |
0.0% |
|
|
|
|
|
|
1,704,719 |
21.0% |
|
Industrial |
|
|
|
|
|
|
|
† |
Basic Industry |
|
|
|
138,232 |
1.7% |
|
|
Capital Goods |
|
|
|
|
|
|
|
General Electric Co. |
5.250% |
12/6/17 |
19,825 |
19,165 |
0.2% |
|
† |
Other—Capital Goods |
|
|
|
111,085 |
1.4% |
|
† |
Communication |
|
|
|
313,962 |
3.9% |
|
† |
Consumer Cyclical |
|
|
|
184,708 |
2.3% |
|
† |
Consumer Noncyclical |
|
|
|
367,709 |
4.5% |
|
† |
Energy |
|
|
|
127,898 |
1.6% |
|
† |
Technology |
|
|
|
128,967 |
1.6% |
|
† |
Transportation |
|
|
|
52,345 |
0.6% |
|
† |
Industrial—Other |
|
|
|
11,088 |
0.1% |
|
|
|
|
|
|
1,455,159 |
17.9% |
|
Utilities |
|
|
|
|
|
|
|
† |
Electric |
|
|
|
218,603 |
2.7% |
|
† |
Natural Gas |
|
|
|
101,064 |
1.2% |
|
|
|
|
|
|
319,667 |
3.9% |
|
Total Corporate Bonds (Cost $3,612,939) |
|
|
3,482,249 |
42.8% |
||
|
Sovereign Bonds (U.S. Dollar-Denominated) |
|
|
|
|
||
|
|
Kreditanstalt fur Wiederaufbau |
5.125% |
3/14/16 |
30,975 |
32,281 |
0.4% |
|
|
Republic of Italy |
5.250% |
9/20/16 |
30,800 |
32,388 |
0.4% |
|
† |
Other—Sovereign Bonds |
|
|
|
483,698 |
6.0% |
|
Total Sovereign Bonds (Cost $539,363) |
|
|
548,367 |
6.8% |
||
|
† Taxable Municipal Bonds (Cost $1,347) |
|
|
1,352 |
0.0% |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Temporary Cash Investments |
|
|
|
|
|
|
|
4 |
Vanguard Market Liquidity Fund |
2.405% |
|
90,045,308 |
90,045 |
1.1% |
|
4 |
Vanguard Market |
|
|
|
|
|
|
|
Liquidity Fund—Note E |
2.405% |
|
2,744,000 |
2,744 |
0.1% |
|
Total Temporary Cash Investments (Cost $92,789) |
|
|
92,789 |
1.2% |
||
|
Total Investments (Cost $8,135,212) |
|
|
|
8,109,342 |
99.8% |
|
|
Other Assets and Liabilities |
|
|
|
|
|
|
|
Other Assets—Note B |
|
|
|
201,091 |
2.4% |
|
|
Liabilities—Note E |
|
|
|
(181,332) |
(2.2%) |
|
|
|
|
|
|
|
19,759 |
0.2% |
|
Net Assets |
|
|
|
8,129,101 |
100.0% |
|
49
Intermediate-Term Bond Index Fund
|
At June 30, 2008, net assets consisted of: 5 |
|
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
8,194,472 |
|
Undistributed Net Investment Income |
1,496 |
|
Accumulated Net Realized Losses |
(40,997) |
|
Unrealized Depreciation |
(25,870) |
|
Net Assets |
8,129,101 |
|
|
|
|
Investor Shares—Net Assets |
|
|
Applicable to 310,926,782 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
3,217,822 |
|
Net Asset Value Per Share—Investor Shares |
$10.35 |
|
|
|
|
Admiral Shares—Net Assets |
|
|
Applicable to 237,176,756 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
2,454,573 |
|
Net Asset Value Per Share—Admiral Shares |
$10.35 |
|
|
|
|
Signal Shares—Net Assets |
|
|
Applicable to 153,866,703 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
1,592,385 |
|
Net Asset Value Per Share—Signal Shares |
$10.35 |
|
|
|
|
Institutional Shares—Net Assets |
|
|
Applicable to 46,661,160 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
482,903 |
|
Net Asset Value Per Share—Institutional Shares |
$10.35 |
|
|
|
|
ETF Shares—Net Assets |
|
|
Applicable to 5,000,000 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
381,418 |
|
Net Asset Value Per Share—ETF Shares |
$76.28 |
|
• |
See Note A in Notes to Financial Statements . |
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in to total for any issuer, represent 1% or less of net assets.
1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Certain of the fund’s securities are 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 June 30, 2008, the aggregate value of these securities was $68,281,000, 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.
5 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
50
Intermediate-Term Bond Index Fund
Statement of Operations
|
|
Six Months Ended |
|
|
June 30, 2008 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest 1 |
192,341 |
|
Security Lending |
11 |
|
Total Income |
192,352 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
356 |
|
Management and Administrative |
|
|
Investor Shares |
2,252 |
|
Admiral Shares |
771 |
|
Signal Shares |
553 |
|
Institutional Shares |
75 |
|
ETF Shares |
98 |
|
Marketing and Distribution |
|
|
Investor Shares |
404 |
|
Admiral Shares |
305 |
|
Signal Shares |
148 |
|
Institutional Shares |
37 |
|
ETF Shares |
29 |
|
Custodian Fees |
22 |
|
Shareholders’ Reports |
|
|
Investor Shares |
26 |
|
Admiral Shares |
2 |
|
Signal Shares |
4 |
|
Institutional Shares |
— |
|
ETF Shares |
5 |
|
Trustees’ Fees and Expenses |
5 |
|
Total Expenses |
5,092 |
|
Net Investment Income |
187,260 |
|
Realized Net Gain (Loss) on Investment Securities Sold |
56,377 |
|
Change in Unrealized Appreciation (Depreciation) of Investment Securities |
(184,308) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
59,329 |
1 Interest income from an affiliated company of the fund was $1,421,000.
51
Intermediate-Term Bond Index Fund
Statement of Changes in Net Assets
|
|
Six Months Ended |
Year Ended |
|
|
June 30, |
December 31, |
|
|
2008 |
2007 |
|
|
($000) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income |
187,260 |
325,533 |
|
Realized Net Gain (Loss) |
56,377 |
(11,939) |
|
Change in Unrealized Appreciation (Depreciation) |
(184,308) |
181,051 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
59,329 |
494,645 |
|
Distributions |
|
|
|
Net Investment Income |
|
|
|
Investor Shares |
(75,057) |
(145,450) |
|
Admiral Shares |
(58,203) |
(147,649) |
|
Signal Shares |
(37,951) |
(16,843) |
|
Institutional Shares |
(9,029) |
(12,780) |
|
ETF Shares |
(5,524) |
(2,811) |
|
Realized Capital Gain |
|
|
|
Investor Shares |
— |
— |
|
Admiral Shares |
— |
— |
|
Signal Shares |
— |
— |
|
Institutional Shares |
— |
— |
|
ETF Shares |
— |
— |
|
Total Distributions |
(185,764) |
(325,533) |
|
Capital Share Transactions—Note F |
|
|
|
Investor Shares |
247,364 |
18,303 |
|
Admiral Shares |
183,073 |
(862,632) |
|
Signal Shares |
175,246 |
1,409,058 |
|
Institutional Shares |
220,923 |
83,678 |
|
ETF Shares |
218,105 |
165,478 |
|
Net Increase (Decrease) from Capital Share Transactions |
1,044,711 |
813,885 |
|
Total Increase (Decrease) |
918,276 |
982,997 |
|
Net Assets |
|
|
|
Beginning of Period |
7,210,825 |
6,227,828 |
|
End of Period 1 |
8,129,101 |
7,210,825 |
1 Net Assets—End of Period includes undistributed net investment income of $1,496,000 and $0.
52
Intermediate-Term Bond Index Fund
Financial Highlights
|
Investor Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$10.50 |
$10.25 |
$10.36 |
$10.68 |
$10.69 |
$10.75 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.249 |
.507 |
.499 |
.492 |
.506 |
.532 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.150) |
.250 |
(.110) |
(.309) |
.038 |
.064 |
|
Total from Investment Operations |
.099 |
.757 |
.389 |
.183 |
.544 |
.596 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.249) |
(.507) |
(.499) |
(.492) |
(.506) |
(.532) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
(.011) |
(.048) |
(.124) |
|
Total Distributions |
(.249) |
(.507) |
(.499) |
(.503) |
(.554) |
(.656) |
|
Net Asset Value, End of Period |
$10.35 |
$10.50 |
$10.25 |
$10.36 |
$10.68 |
$10.69 |
|
|
|
|
|
|
|
|
|
Total Return 1 |
0.92% |
7.61% |
3.91% |
1.75% |
5.22% |
5.65% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$3,218 |
$3,020 |
$2,929 |
$3,009 |
$3,501 |
$2,749 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.18%* |
0.18% |
0.18% |
0.18% |
0.18% |
0.20% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
4.74%* |
4.74% |
4.91% |
4.68% |
4.75% |
4.91% |
|
Portfolio Turnover Rate 2 |
90%* |
72% |
86% |
76% |
84% |
98% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
53
Intermediate-Term Bond Index Fund
|
Admiral Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$10.50 |
$10.25 |
$10.36 |
$10.68 |
$10.69 |
$10.75 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.254 |
.515 |
.506 |
.499 |
.514 |
.538 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.150) |
.250 |
(.110) |
(.309) |
.038 |
.064 |
|
Total from Investment Operations |
.104 |
.765 |
.396 |
.190 |
.552 |
.602 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.254) |
(.515) |
(.506) |
(.499) |
(.514) |
(.538) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
(.011) |
(.048) |
(.124) |
|
Total Distributions |
(.254) |
(.515) |
(.506) |
(.510) |
(.562) |
(.662) |
|
Net Asset Value, End of Period |
$10.35 |
$10.50 |
$10.25 |
$10.36 |
$10.68 |
$10.69 |
|
|
|
|
|
|
|
|
|
Total Return |
0.96% |
7.70% |
3.98% |
1.82% |
5.30% |
5.70% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$2,455 |
$2,308 |
$3,118 |
$2,949 |
$1,127 |
$756 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.10%* |
0.10% |
0.11% |
0.11% |
0.11% |
0.15% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
4.82%* |
4.82% |
4.98% |
4.75% |
4.82% |
4.96% |
|
Portfolio Turnover Rate 1 |
90%* |
72% |
86% |
76% |
84% |
98% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
54
Intermediate-Term Bond Index Fund
|
Signal Shares |
|
|
|
|
Six Months |
June 4, |
|
|
Ended |
2007 1 to |
|
|
June 30, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
|
Net Asset Value, Beginning of Period |
$10.50 |
$10.12 |
|
Investment Operations |
|
|
|
Net Investment Income |
.254 |
.297 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.150) |
.380 |
|
Total from Investment Operations |
.104 |
.677 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
(.254) |
(.297) |
|
Distributions from Realized Capital Gains |
— |
— |
|
Total Distributions |
(.254) |
(.297) |
|
Net Asset Value, End of Period |
$10.35 |
$10.50 |
|
|
|
|
|
Total Return |
0.96% |
6.77% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
$1,592 |
$1,443 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.10%* |
|
Ratio of Net Investment Income to Average Net Assets |
4.82%* |
4.82%* |
|
Portfolio Turnover Rate 2 |
90%* |
72% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
55
Intermediate-Term Bond Index Fund
|
Institutional Shares |
|
|
|
|
|
Six Months |
Year |
Jan. 26, |
|
|
Ended |
Ended |
2006 1 to |
|
|
June 30, |
Dec. 31, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
2006 |
|
Net Asset Value, Beginning of Period |
$10.50 |
$10.25 |
$10.29 |
|
Investment Operations |
|
|
|
|
Net Investment Income |
.255 |
.518 |
.473 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.150) |
.250 |
(.040) |
|
Total from Investment Operations |
.105 |
.768 |
.433 |
|
Distributions |
|
|
|
|
Dividends from Net Investment Income |
(.255) |
(.518) |
(.473) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
|
Total Distributions |
(.255) |
(.518) |
(.473) |
|
Net Asset Value, End of Period |
$10.35 |
$10.50 |
$10.25 |
|
|
|
|
|
|
Total Return |
0.97% |
7.73% |
4.36% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
Net Assets, End of Period (Millions) |
$483 |
$271 |
$181 |
|
Ratio of Total Expenses to Average Net Assets |
0.07%* |
0.07% |
0.08%* |
|
Ratio of Net Investment Income to Average Net Assets |
4.85%* |
4.85% |
5.01%* |
|
Portfolio Turnover Rate 2 |
90%* |
72% |
86% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
56
Intermediate-Term Bond Index Fund
|
ETF Shares |
|
|
|
|
Six Months |
April 3, |
|
|
Ended |
2007 1 to |
|
|
June 30, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
|
Net Asset Value, Beginning of Period |
$76.96 |
$74.90 |
|
Investment Operations |
|
|
|
Net Investment Income |
1.743 |
2.389 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.979) |
2.060 |
|
Total from Investment Operations |
.764 |
4.449 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
(1.444) |
(2.389) |
|
Distributions from Realized Capital Gains |
— |
— |
|
Total Distributions |
(1.444) |
(2.389) |
|
Net Asset Value, End of Period |
$76.28 |
$76.96 |
|
|
|
|
|
Total Return |
0.96% |
6.06% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
$381 |
$169 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.11%* |
|
Ratio of Net Investment Income to Average Net Assets |
4.82%* |
4.81%* |
|
Portfolio Turnover Rate 2 |
90%* |
72% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
See accompanying Notes , which are an integral part of the Financial Statements .
57
Intermediate-Term Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $25 million. ETF Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been 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.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
58
Intermediate-Term Bond Index Fund
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2008, the fund had contributed capital of $663,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.66% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2007, the fund had available realized losses of $96,135,000 to offset future net capital gains of $866,000 through December 31, 2013, $80,479,000 through December 31, 2014, $13,822,000 through December 31, 2015, and $968,000 through December 31, 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2008, the cost of investment securities for tax purposes was $8,135,212,000. Net unrealized depreciation of investment securities for tax purposes was $25,870,000, consisting of unrealized gains of $130,401,000 on securities that had risen in value since their purchase and $156,271,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the six months ended June 30, 2008, the fund purchased $1,459,127,000 of investment securities and sold $656,469,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $2,971,936,000 and $2,782,019,000, respectively.
59
Intermediate-Term Bond Index Fund
E. The market value of securities on loan to broker-dealers at June 30, 2008, was $2,738,000, for which the fund received cash collateral of $2,744,000.
F. Capital share transactions for each class of shares were:
|
|
Six Months Ended |
Year Ended |
||
|
|
June 30, 2008 |
December 31, 2007 |
||
|
|
Amount |
Shares |
Amount |
Shares |
|
|
($000) |
(000) |
($000) |
(000) |
|
Investor Shares |
|
|
|
|
|
Issued |
691,256 |
65,101 |
841,805 |
82,113 |
|
Issued in Lieu of Cash Distributions |
66,708 |
6,306 |
128,561 |
12,519 |
|
Redeemed |
(510,600) |
(48,185) |
(952,063) |
(92,763) |
|
Net Increase (Decrease)—Investor Shares |
247,364 |
23,222 |
18,303 |
1,869 |
|
Admiral Shares |
|
|
|
|
|
Issued |
390,034 |
36,802 |
857,674 |
83,767 |
|
Issued in Lieu of Cash Distributions |
50,481 |
4,772 |
120,421 |
11,741 |
|
Redeemed |
(257,442) |
(24,324) |
(1,840,727) |
(179,897) |
|
Net Increase (Decrease)—Admiral Shares |
183,073 |
17,250 |
(862,632) |
(84,389) |
|
Signal Shares |
|
|
|
|
|
Issued |
381,149 |
35,915 |
1,465,314 |
142,845 |
|
Issued in Lieu of Cash Distributions |
27,488 |
2,598 |
11,583 |
1,109 |
|
Redeemed |
(233,391) |
(22,084) |
(67,839) |
(6,517) |
|
Net Increase (Decrease)—Signal Shares |
175,246 |
16,429 |
1,409,058 |
137,437 |
|
Institutional Shares |
|
|
|
|
|
Issued |
234,439 |
22,157 |
163,863 |
15,953 |
|
Issued in Lieu of Cash Distributions |
7,796 |
739 |
10,348 |
1,008 |
|
Redeemed |
(21,312) |
(2,008) |
(90,533) |
(8,826) |
|
Net Increase (Decrease)—Institutional Shares |
220,923 |
20,888 |
83,678 |
8,135 |
|
ETF Shares |
|
|
|
|
|
Issued |
218,105 |
2,800 |
165,478 |
2,200 |
|
Issued in Lieu of Cash Distributions |
— |
— |
— |
— |
|
Redeemed |
— |
— |
— |
— |
|
Net Increase (Decrease)—ETF Shares |
218,105 |
2,800 |
165,478 |
2,200 |
60
Intermediate-Term Bond Index Fund
G. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”),“Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 —Quoted prices in active markets for identical securities.
Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 —Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
|
|
Investments in |
|
Valuation Inputs |
Securities ($000) |
|
Level 1—Quoted prices |
92,789 |
|
Level 2—Other significant observable inputs |
8,016,553 |
|
Level 3—Significant unobservable inputs |
— |
|
Total |
8,109,342 |
61
Long-Term Bond Index Fund
Fund Profile
As of June 30, 2008
|
Financial Attributes |
|
|
|
|
|
|
Target |
Broad |
|
|
Fund |
Index 1 |
Index 2 |
|
Number of Issues |
824 |
1,162 |
9,457 |
|
Yield 3 |
|
5.8% |
5.1% |
|
Investor Shares |
5.6% |
|
|
|
Institutional Shares |
5.7% |
|
|
|
ETF Shares |
5.7% |
|
|
|
Yield to Maturity |
5.7% 4 |
5.8% |
5.1% |
|
Average Coupon |
6.6% |
6.6% |
5.4% |
|
Average Effective |
|
|
|
|
Maturity |
21.0 years |
21.4 years |
7.5 years |
|
Average Quality 5 |
Aa2 |
Aa2 |
Aa1 |
|
Average Duration |
11.1 years |
11.1 years |
4.7 years |
|
Expense Ratio 6 |
|
— |
— |
|
Investor Shares |
0.18% |
|
|
|
Institutional Shares |
0.07% |
|
|
|
ETF Shares |
0.10% |
|
|
|
Short-Term Reserves |
0.3% |
— |
— |
|
Sector Diversification 7 (% of portfolio) |
|
|
|
|
|
Asset-Backed/Commercial Mortgage-Backed |
0.1% |
|
Finance |
12.0 |
|
Foreign |
7.1 |
|
Government Mortgage-Backed |
0.0 |
|
Industrial |
26.7 |
|
Treasury/Agency |
47.1 |
|
Utilities |
6.7 |
|
Other |
0.3 |
|
Volatility Measures 8 |
|
|
|
|
Fund Versus |
Fund Versus |
|
|
Target Index 1 |
Broad Index 2 |
|
R-Squared |
1.00 |
0.87 |
|
Beta |
1.02 |
2.07 |
|
Distribution by Maturity (% of portfolio) |
|
|
|
|
|
Under 1 Year |
0.6% |
|
1–5 Years |
0.4 |
|
5–10 Years |
3.0 |
|
10–20 Years |
41.1 |
|
20–30 Years |
53.6 |
|
Over 30 Years |
1.3 |
|
Distribution by Credit Quality 5 (% of portfolio) |
|
|
|
|
|
Aaa |
49.5% |
|
Aa |
8.2 |
|
A |
21.0 |
|
Baa |
21.3 |
Investment Focus
1 Lehman U.S. Long Government/Credit Index.
2 Lehman U.S. Aggregate Bond Index.
3 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary on pages 80–81.
4 Before expenses.
5 Moody’s Investors Service.
6 Annualized.
7 The agency sector may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
8 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 80–81.
62
Long-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
|
Fiscal-Year Total Returns (%): December 31, 1997–June 30, 2008 |
||||
|
|
|
|
|
|
|
|
Investor Shares |
Lehman 1 |
||
|
Fiscal |
Capital |
Income |
Total |
Total |
|
Year |
Return |
Return |
Return |
Return |
|
1998 |
5.5% |
6.5% |
12.0% |
11.8% |
|
1999 |
–13.5 |
5.6 |
–7.9 |
–7.7 |
|
2000 |
9.1 |
7.5 |
16.6 |
16.2 |
|
2001 |
1.6 |
6.6 |
8.2 |
7.3 |
|
2002 |
7.8 |
6.6 |
14.4 |
14.8 |
|
2003 |
0.0 |
5.5 |
5.5 |
5.9 |
|
2004 |
2.8 |
5.6 |
8.4 |
8.6 |
|
2005 |
0.2 |
5.1 |
5.3 |
5.3 |
|
2006 |
–2.6 |
5.3 |
2.7 |
2.7 |
|
2007 |
1.0 |
5.6 |
6.6 |
6.6 |
|
2008 2 |
–2.9 |
2.6 |
–0.3 |
–0.7 |
|
Average Annual Total Returns: Periods Ended June 30, 2008 |
||||||
|
|
|
|
|
|
|
Ten Years |
|
|
Inception Date |
One Year |
Five Years |
Capital |
Income |
Total |
|
Investor Shares 3 |
3/1/1994 |
7.30% |
3.99% |
0.43% |
5.90% |
6.33% |
|
Institutional Shares |
2/2/2006 |
7.42 |
4.26 4 |
— |
— |
— |
|
ETF Shares |
4/3/2007 |
|
|
|
|
|
|
Market Price |
|
7.54 |
4.60 4 |
— |
— |
— |
|
Net Asset Value |
|
7.35 |
4.34 4 |
— |
— |
— |
1 Lehman U.S. Long Government/Credit Index.
2 Six months ended June 30, 2008.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
4 Return since inception.
Note: See Financial Highlights tables on pages 70–72 for dividend and capital gains information.
63
Long-Term Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2008
This Statement summarizes the fund’s holdings by bond type (U.S. government and agency issues, corporate bonds, sovereign bonds, etc.); corporate bonds are further classified by industry sector. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
Face |
Market |
Percentage |
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
U.S. Government and Agency Obligations |
|
|
|
|
|
|
U.S. Government Securities |
|
|
|
|
|
|
U.S. Treasury Bond |
8.000% |
11/15/21 |
83,020 |
112,674 |
3.9% |
|
U.S. Treasury Bond |
4.500% |
2/15/36 |
95,130 |
94,506 |
3.3% |
|
U.S. Treasury Bond |
8.750% |
8/15/20 |
60,475 |
85,279 |
3.0% |
|
U.S. Treasury Bond |
8.125% |
8/15/21 |
57,610 |
78,728 |
2.7% |
|
U.S. Treasury Bond |
6.750% |
8/15/26 |
55,390 |
70,094 |
2.4% |
|
U.S. Treasury Bond |
5.500% |
8/15/28 |
60,830 |
67,911 |
2.4% |
|
U.S. Treasury Bond |
6.625% |
2/15/27 |
49,530 |
62,090 |
2.1% |
|
U.S. Treasury Bond |
7.875% |
2/15/21 |
39,280 |
52,390 |
1.8% |
|
U.S. Treasury Bond |
6.375% |
8/15/27 |
42,280 |
51,806 |
1.8% |
|
U.S. Treasury Bond |
7.625% |
11/15/22 |
36,745 |
48,923 |
1.7% |
|
U.S. Treasury Bond |
8.750% |
5/15/20 |
28,730 |
40,410 |
1.4% |
|
U.S. Treasury Bond |
7.125% |
2/15/23 |
28,440 |
36,408 |
1.3% |
|
U.S. Treasury Bond |
4.375% |
2/15/38 |
35,575 |
34,675 |
1.2% |
|
U.S. Treasury Bond |
6.875% |
8/15/25 |
25,200 |
32,114 |
1.1% |
|
U.S. Treasury Bond |
6.000% |
2/15/26 |
26,975 |
31,590 |
1.1% |
|
U.S. Treasury Bond |
6.125% |
8/15/29 |
26,055 |
31,441 |
1.1% |
|
U.S. Treasury Bond |
6.250% |
8/15/23 |
24,275 |
28,868 |
1.0% |
|
U.S. Treasury Bond |
4.750% |
2/15/37 |
24,025 |
24,832 |
0.9% |
|
U.S. Treasury Bond |
8.875% |
2/15/19 |
15,840 |
22,080 |
0.8% |
|
U.S. Treasury Bond |
9.000% |
11/15/18 |
14,450 |
20,246 |
0.7% |
|
U.S. Treasury Bond |
7.250% |
8/15/22 |
12,870 |
16,584 |
0.6% |
|
U.S. Treasury Bond |
6.125% |
11/15/27 |
12,250 |
14,654 |
0.5% |
|
U.S. Treasury Bond |
5.375% |
2/15/31 |
8,095 |
9,003 |
0.3% |
|
U.S. Treasury Bond |
5.250%–9.125% |
5/15/17–2/15/30 |
17,420 |
22,767 |
0.8% |
|
U.S. Treasury Note |
3.500% |
2/15/18 |
29,600 |
28,485 |
1.0% |
|
U.S. Treasury Note |
4.500% |
2/15/09 |
7,900 |
8,009 |
0.3% |
|
U.S. Treasury Note |
3.250%-6.500% |
1/15/09-2/15/10 |
9,050 |
9,500 |
0.3% |
|
|
|
|
|
1,136,067 |
39.5% |
64
Long-Term Bond Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
Agency Bonds and Notes |
|
|
|
|
|
|
|
1 |
Federal Home |
|
|
|
|
|
|
|
Loan Mortgage Corp. |
6.750% |
3/15/31 |
10,800 |
13,013 |
0.5% |
|
1 |
Federal Home |
|
|
|
|
|
|
|
Loan Mortgage Corp. |
6.250% |
7/15/32 |
8,175 |
9,344 |
0.3% |
|
1 |
Federal Home |
|
|
|
|
|
|
|
Loan Mortgage Corp. |
6.750% |
9/15/29 |
7,700 |
9,176 |
0.3% |
|
1 |
Federal Home |
|
|
|
|
|
|
|
Loan Mortgage Corp. |
5.000%–5.500% |
8/23/17–2/14/18 |
13,150 |
13,000 |
0.4% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
7.250% |
5/15/30 |
14,435 |
18,271 |
0.6% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
6.625% |
11/15/30 |
15,100 |
17,923 |
0.6% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
7.125% |
1/15/30 |
13,475 |
16,790 |
0.6% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
6.250% |
5/15/29 |
9,450 |
10,690 |
0.4% |
|
1 |
Federal National |
|
|
|
|
|
|
|
Mortgage Assn. |
0.000%–6.210% |
6/12/17–8/6/38 |
14,625 |
11,194 |
0.4% |
|
† |
Other—Agency |
|
|
|
|
|
|
|
Bonds and Notes |
|
|
|
62,055 |
2.2% |
|
|
|
|
|
|
181,456 |
6.3% |
|
Total U.S. Government and Agency Obligations (Cost $1,261,918) |
|
1,317,523 |
45.8% |
|||
|
Corporate Bonds |
|
|
|
|
|
|
|
† Asset-Backed Securities |
|
|
|
2,696 |
0.1% |
|
|
|
|
|
|
|
|
|
|
Finance |
|
|
|
|
|
|
|
|
Banking |
|
|
|
|
|
|
|
Associates Corp. of North America |
6.950% |
11/1/18 |
1,150 |
1,179 |
0.0% |
|
2,3 |
Citicorp Lease Pass-Through Trust |
8.040% |
12/15/19 |
450 |
481 |
0.0% |
|
2 |
Citigroup Capital XXI |
8.300% |
12/21/37 |
8,375 |
7,871 |
0.3% |
|
|
Citigroup, Inc. |
5.850%–6.875% |
6/15/32–3/5/38 |
24,350 |
21,394 |
0.7% |
|
† |
Other—Banking |
|
|
|
120,504 |
4.2% |
|
|
Brokerage |
|
|
|
|
|
|
|
Goldman Sachs Group, Inc. |
6.750% |
10/1/37 |
13,375 |
12,382 |
0.4% |
|
† |
Other—Brokerage |
|
|
|
49,994 |
1.8% |
|
|
Finance Companies |
|
|
|
|
|
|
|
General Electric Capital Corp. |
6.750% |
3/15/32 |
16,175 |
16,364 |
0.6% |
|
|
General Electric Capital Corp. |
5.875% |
1/14/38 |
13,975 |
12,651 |
0.4% |
|
|
General Electric Capital Corp. |
6.150% |
8/7/37 |
4,925 |
4,634 |
0.2% |
|
† |
Other—Finance Companies |
|
|
|
8,359 |
0.3% |
|
|
Insurance |
|
|
|
|
|
|
2,3 |
American International Group, Inc. |
8.175% |
5/15/58 |
9,900 |
9,679 |
0.3% |
|
† |
Other—Insurance |
|
|
|
77,620 |
2.7% |
|
† |
Real Estate Investment Trusts |
|
|
|
1,257 |
0.0% |
|
|
|
|
|
|
344,369 |
11.9% |
|
Industrial |
|
|
|
|
|
|
|
† |
Basic Industry |
|
|
|
51,067 |
1.8% |
|
† |
Capital Goods |
|
|
|
55,418 |
1.9% |
|
|
Communication |
|
|
|
|
|
|
|
Ameritech Capital Funding |
6.550% |
1/15/28 |
1,000 |
981 |
0.0% |
|
|
AT&T Inc. |
6.300%–8.000% |
11/15/31–5/15/38 |
28,200 |
28,485 |
1.0% |
|
|
AT&T Wireless |
8.750% |
3/1/31 |
5,850 |
7,028 |
0.2% |
|
|
BellSouth Capital Funding |
7.875% |
2/15/30 |
4,250 |
4,712 |
0.2% |
|
|
BellSouth Corp. |
6.000%–6.875% |
10/15/31–11/15/34 |
5,230 |
5,145 |
0.2% |
65
Long-Term Bond Index Fund
|
|
|
|
|
Face |
Market |
Percentage |
|
|
|
|
Maturity |
Amount |
Value • |
of Net |
|
|
|
Coupon |
Date |
($000) |
($000) |
Assets |
|
|
BellSouth Telecommunications |
6.375% |
6/1/28 |
4,140 |
4,115 |
0.2% |
|
|
Cingular Wireless LLC |
7.125% |
12/15/31 |
2,425 |
2,508 |
0.1% |
|
|
Deutsche Telekom |
|
|
|
|
|
|
|
International Finance |
8.750% |
6/15/30 |
9,825 |
11,278 |
0.4% |
|
|
France Telecom |
8.500% |
3/1/31 |
7,000 |
8,515 |
0.3% |
|
|
Michigan Bell Telephone Co. |
7.850% |
1/15/22 |
1,522 |
1,616 |
0.1% |
|
|
News America Inc. |
6.200% |
12/15/34 |
9,350 |
8,732 |
0.3% |
|
|
Pacific Bell |
7.125% |
3/15/26 |
550 |
561 |
0.0% |
|
|
Time Warner Cable Inc. |
6.550%–7.300% |
7/1/18–7/1/38 |
12,400 |
12,116 |
0.4% |
|
|
Time Warner Entertainment |
8.375% |
3/15/23–7/15/33 |
4,683 |
5,039 |
0.2% |
|
† |
Other—Communication |
|
|
|
111,019 |
3.8% |
|
|
Consumer Cyclical |
|
|
|
|
|
|
|
Time Warner, Inc. |
6.500%–9.150% |
2/1/23–11/15/36 |
19,855 |
19,682 |
0.7% |
|
† |
Other—Consumer Cyclical |
|
|
|
80,013 |
2.8% |
|
|
Consumer Noncyclical |
|
|
|
|
|
|
|
AstraZeneca PLC |
6.450% |
9/15/37 |
8,000 |
8,149 |
0.3% |
|
† |
Other—Consumer Noncyclical |
|
|
|
153,484 |
5.3% |
|
|
Energy |
|
|
|
|
|
|
|
Tosco Corp. |
8.125% |
2/15/30 |
7,500 |
9,228 |
0.3% |
|
† |
Other—Energy |
|
|
|
105,994 |
3.7% |
|
† |
Technology |
|
|
|
24,536 |
0.8% |
|
† |
Transportation |
|
|
|
49,028 |
1.7% |
|
† |
Industrial—Other |
|
|
|
2,159 |
0.1% |
|
|
|
|
|
|
770,608 |
26.8% |
|
Utilities |
|
|
|
|
|
|
|
|
Electric |
|
|
|
|
|
|
|
Pacific Gas & Electric Co. |
6.050% |
3/1/34 |
8,075 |
7,791 |
0.3% |
|
† |
Other—Electric |
|
|
|
131,224 |
4.5% |
|
† |
Natural Gas |
|
|
|
51,606 |
1.8% |
|
† |
Utilities—Other |
|
|
|
1,782 |
0.1% |
|
|
|
|
|
|
192,403 |
6.7% |
|
Total Corporate Bonds (Cost $1,392,611) |
|
|
1,310,076 |
45.5% |
||
|
Sovereign Bonds (U.S. Dollar-Denominated) |
|
|
|
|
||
|
|
Federative Republic of Brazil |
11.000% |
8/17/40 |
13,000 |
17,192 |
0.6% |
|
|
Federative Republic of Brazil |
10.125% |
5/15/27 |
6,700 |
9,481 |
0.3% |
|
|
Federative Republic of Brazil |
7.125% |
1/20/37 |
7,500 |
8,269 |
0.3% |
|
|
Federative Republic of Brazil |
8.250% |
1/20/34 |
6,500 |
8,001 |
0.3% |
|
|
Federative Republic of Brazil |
8.750%–8.875% |
4/15/24–2/4/25 |
8,200 |
10,239 |
0.3% |
|
|
Republic of Italy |
6.875% |
9/27/23 |
6,600 |
7,885 |
0.3% |
|
|
United Mexican States |
6.750% |
9/27/34 |
16,425 |
17,411 |
0.6% |
|
|
United Mexican States |
6.050%–8.300% |
12/30/19–1/11/40 |
11,725 |
13,348 |
0.5% |
|
† |
Other—Sovereign Bonds |
|
|
|
68,870 |
2.4% |
|
Total Sovereign Bonds (Cost $161,444) |
|
|
160,696 |
5.6% |
||
|
Taxable Municipal Bonds |
|
|
|
|
|
|
|
|
Illinois (Taxable Pension) GO |
5.100% |
6/1/33 |
22,125 |
20,830 |
0.7% |
|
† |
Other—Taxable Municipal Bonds |
|
|
|
18,574 |
0.7% |
|
Total Taxable Municipal Bonds (Cost $39,848) |
|
|
39,404 |
1.4% |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Temporary Cash Investments |
|
|
|
|
|
|
|
4 |
Vanguard Market Liquidity Fund |
|
|
|
|
|
|
|
(Cost $19,689) |
2.405% |
|
19,688,695 |
19,689 |
0.7% |
|
Total Investments (Cost $2,875,510) |
|
|
|
2,847,388 |
99.0% |
|
66
Long-Term Bond Index Fund
|
|
Market |
Percentage |
|
|
Value • |
of Net |
|
|
($000) |
Assets |
|
Other Assets and Liabilities |
|
|
|
Other Assets—Note B |
75,066 |
2.6% |
|
Liabilities |
(45,724) |
–1.6% |
|
|
29,342 |
1.0% |
|
Net Assets |
2,876,730 |
100.0% |
|
|
|
|
|
|
|
|
|
At June 30, 2008, net assets consisted of: 5 |
|
|
|
|
|
Amount |
|
|
|
($000) |
|
Paid-in Capital |
|
2,907,972 |
|
Undistributed Net Investment Income |
|
442 |
|
Accumulated Net Realized Losses |
|
(3,562) |
|
Unrealized Depreciation |
|
(28,122) |
|
Net Assets |
|
2,876,730 |
|
|
|
|
|
Investor Shares—Net Assets |
|
|
|
Applicable to 207,913,365 outstanding $.001 par value shares of |
|
|
|
beneficial interest (unlimited authorization) |
|
2,351,152 |
|
Net Asset Value Per Share—Investor Shares |
|
$11.31 |
|
|
|
|
|
Institutional Shares—Net Assets |
|
|
|
Applicable to 37,917,756 outstanding $.001 par value shares of |
|
|
|
beneficial interest (unlimited authorization) |
|
428,789 |
|
Net Asset Value Per Share—Institutional Shares |
|
$11.31 |
|
|
|
|
|
ETF Shares—Net Assets |
|
|
|
Applicable to 1,300,000 outstanding $.001 par value shares of |
|
|
|
beneficial interest (unlimited authorization) |
|
96,789 |
|
Net Asset Value Per Share—ETF Shares |
|
$74.45 |
|
• |
See Note A in Notes to Financial Statements . |
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Certain of the fund’s securities are 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 buyers. At June 30, 2008, the aggregate value of these securities was $20,805,000, representing 0.7% 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.
5 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
GO—General Obligation Bond.
67
Long-Term Bond Index Fund
Statement of Operations
|
|
Six Months Ended |
|
|
June 30, 2008 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest 1 |
78,281 |
|
Total Income |
78,281 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
131 |
|
Management and Administrative |
|
|
Investor Shares |
1,659 |
|
Institutional Shares |
70 |
|
ETF Shares |
28 |
|
Marketing and Distribution |
|
|
Investor Shares |
260 |
|
Institutional Shares |
53 |
|
ETF Shares |
11 |
|
Custodian Fees |
28 |
|
Shareholders’ Reports |
|
|
Investor Shares |
16 |
|
Institutional Shares |
— |
|
ETF Shares |
2 |
|
Trustees’ Fees and Expenses |
2 |
|
Total Expenses |
2,260 |
|
Net Investment Income |
76,021 |
|
Realized Net Gain (Loss) on Investment Securities Sold |
10,319 |
|
Change in Unrealized Appreciation (Depreciation) of Investment Securities |
(97,511) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
(11,171) |
1 Interest income from an affiliated company of the fund was $362,000.
68
Long-Term Bond Index Fund
Statement of Changes in Net Assets
|
|
Six Months Ended |
Year Ended |
|
|
June 30, |
December 31, |
|
|
2008 |
2007 |
|
|
($000) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income |
76,021 |
129,316 |
|
Realized Net Gain (Loss) |
10,319 |
5,859 |
|
Change in Unrealized Appreciation (Depreciation) |
(97,511) |
31,059 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
(11,171) |
166,234 |
|
Distributions |
|
|
|
Net Investment Income |
|
|
|
Investor Shares |
(61,804) |
(108,892) |
|
Institutional Shares |
(11,677) |
(18,670) |
|
ETF Shares |
(2,098) |
(1,754) |
|
Realized Capital Gain |
|
|
|
Investor Shares |
— |
— |
|
Institutional Shares |
— |
— |
|
ETF Shares |
— |
— |
|
Total Distributions |
(75,579) |
(129,316) |
|
Capital Share Transactions—Note E |
|
|
|
Investor Shares |
145,132 |
350,915 |
|
Institutional Shares |
27,306 |
99,345 |
|
ETF Shares |
15,314 |
81,728 |
|
Net Increase (Decrease) from Capital Share Transactions |
187,752 |
531,988 |
|
Total Increase (Decrease) |
101,002 |
568,906 |
|
Net Assets |
|
|
|
Beginning of Period |
2,775,728 |
2,206,822 |
|
End of Period 1 |
2,876,730 |
2,775,728 |
1 Net Assets—End of Period includes undistributed net investment income of $442,000 and $0.
69
Long-Term Bond Index Fund
Financial Highlights
|
Investor Shares |
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Year Ended December 31, |
||||
|
Throughout Each Period |
2008 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, Beginning of Period |
$11.65 |
$11.53 |
$11.84 |
$11.82 |
$11.50 |
$11.67 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.307 |
.613 |
.603 |
.601 |
.617 |
.627 |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
(.340) |
.120 |
(.310) |
.020 |
.320 |
.004 |
|
Total from Investment Operations |
(.033) |
.733 |
.293 |
.621 |
.937 |
.631 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.307) |
(.613) |
(.603) |
(.601) |
(.617) |
(.627) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
— |
— |
(.174) |
|
Total Distributions |
(.307) |
(.613) |
(.603) |
(.601) |
(.617) |
(.801) |
|
Net Asset Value, End of Period |
$11.31 |
$11.65 |
$11.53 |
$11.84 |
$11.82 |
$11.50 |
|
|
|
|
|
|
|
|
|
Total Return 1 |
–0.30% |
6.59% |
2.67% |
5.32% |
8.40% |
5.50% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$2,351 |
$2,277 |
$1,898 |
$1,893 |
$1,310 |
$951 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.18%* |
0.18% |
0.18% |
0.18% |
0.18% |
0.20% |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
5.38%* |
5.34% |
5.30% |
5.03% |
5.34% |
5.34% |
|
Portfolio Turnover Rate 2 |
73%* |
62% |
55% |
52% |
62% |
76% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
70
Long-Term Bond Index Fund
|
Institutional Shares |
|
|
|
|
|
Six Months |
Year |
Feb. 2, |
|
|
Ended |
Ended |
2006 1 to |
|
|
June 30, |
Dec. 31, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
2006 |
|
Net Asset Value, Beginning of Period |
$11.65 |
$11.53 |
$11.66 |
|
Investment Operations |
|
|
|
|
Net Investment Income |
.314 |
.626 |
.559 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(.340) |
.120 |
(.130) |
|
Total from Investment Operations |
(.026) |
.746 |
.429 |
|
Distributions |
|
|
|
|
Dividends from Net Investment Income |
(.314) |
(.626) |
(.559) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
|
Total Distributions |
(.314) |
(.626) |
(.559) |
|
Net Asset Value, End of Period |
$11.31 |
$11.65 |
$11.53 |
|
|
|
|
|
|
Total Return |
–0.25% |
6.71% |
3.86% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
Net Assets, End of Period (Millions) |
$429 |
$415 |
$309 |
|
Ratio of Total Expenses to Average Net Assets |
0.07%* |
0.07% |
0.08%* |
|
Ratio of Net Investment Income to Average Net Assets |
5.49%* |
5.45% |
5.40%* |
|
Portfolio Turnover Rate 2 |
73%* |
62% |
55% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
71
Long-Term Bond Index Fund
|
ETF Shares |
|
|
|
|
Six Months |
April 3, |
|
|
Ended |
2007 1 to |
|
|
June 30, |
Dec. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 |
|
Net Asset Value, Beginning of Period |
$76.38 |
$74.90 |
|
Investment Operations |
|
|
|
Net Investment Income |
2.032 |
2.740 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(2.270) |
1.480 |
|
Total from Investment Operations |
(.238) |
4.220 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
(1.692) |
(2.740) |
|
Distributions from Realized Capital Gains |
— |
— |
|
Total Distributions |
(1.692) |
(2.740) |
|
Net Asset Value, End of Period |
$74.45 |
$76.38 |
|
|
|
|
|
Total Return |
–0.33% |
5.77% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
$97 |
$84 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.11%* |
|
Ratio of Net Investment Income to Average Net Assets |
5.46%* |
5.41%* |
|
Portfolio Turnover Rate 2 |
73%* |
62% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
|
* |
Annualized. |
See accompanying Notes , which are an integral part of the Financial Statements .
72
Long-Term Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: Investor Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $25 million. ETF Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been 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.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2008, the fund had contributed capital of $234,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
73
Long-Term Bond Index Fund
C. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2007, the fund had available realized losses of $13,775,000 to offset future net capital gains through December 31, 2014. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2008, the cost of investment securities for tax purposes was $2,875,510,000. Net unrealized depreciation of investment securities for tax purposes was $28,122,000, consisting of unrealized gains of $66,956,000 on securities that had risen in value since their purchase and $95,078,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the six months ended June 30, 2008, the fund purchased $415,290,000 of investment securities and sold $211,352,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $788,158,000 and $804,992,000, respectively.
E. Capital share transactions for each class of shares were:
|
|
Six Months Ended |
Year Ended |
||
|
|
June 30, 2008 |
December 31, 2007 |
||
|
|
Amount |
Shares |
Amount |
Shares |
|
|
($000) |
(000) |
($000) |
(000) |
|
Investor Shares |
|
|
|
|
|
Issued |
353,226 |
30,602 |
684,159 |
59,919 |
|
Issued in Lieu of Cash Distributions |
54,502 |
4,727 |
95,877 |
8,381 |
|
Redeemed |
(262,596) |
(22,777) |
(429,121) |
(37,621) |
|
Net Increase (Decrease)—Investor Shares |
145,132 |
12,552 |
350,915 |
30,679 |
|
Institutional Shares |
|
|
|
|
|
Issued |
67,947 |
5,854 |
113,686 |
10,067 |
|
Issued in Lieu of Cash Distributions |
10,973 |
952 |
17,272 |
1,510 |
|
Redeemed |
(51,614) |
(4,489) |
(31,613) |
(2,759) |
|
Net Increase (Decrease)—Institutional Shares |
27,306 |
2,317 |
99,345 |
8,818 |
|
ETF Shares |
|
|
|
|
|
Issued |
15,314 |
200 |
81,728 |
1,100 |
|
Issued in Lieu of Cash Distributions |
— |
— |
— |
— |
|
Redeemed |
— |
— |
— |
— |
|
Net Increase (Decrease)—ETF Shares |
15,314 |
200 |
81,728 |
1,100 |
74
Long-Term Bond Index Fund
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”),“Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 —Quoted prices in active markets for identical securities.
Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 —Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
|
|
Investments in |
|
Valuation Inputs |
Securities ($000) |
|
Level 1—Quoted prices |
19,689 |
|
Level 2—Other significant observable inputs |
2,827,699 |
|
Level 3—Significant unobservable inputs |
— |
|
Total |
2,847,388 |
75
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The tables on pages 77 and 78 illustrate your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
76
|
Six Months Ended June 30, 2008 |
|
|
|
|
|
Beginning |
Ending |
Expenses |
|
|
Account Value |
Account Value |
Paid During |
|
Index Fund |
12/31/2007 |
6/30/2008 |
Period 1 |
|
Based on Actual Fund Return |
|
|
|
|
Total Bond Market |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,010.69 |
$0.95 |
|
Admiral Shares |
1,000.00 |
1,011.14 |
0.50 |
|
Signal Shares |
1,000.00 |
1,011.14 |
0.50 |
|
Institutional Shares |
1,000.00 |
1,011.29 |
0.35 |
|
ETF Shares |
1,000.00 |
1,010.93 |
0.50 |
|
Short-Term Bond |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,019.14 |
$0.90 |
|
Admiral Shares |
1,000.00 |
1,019.55 |
0.50 |
|
Signal Shares |
1,000.00 |
1,019.55 |
0.50 |
|
ETF Shares |
1,000.00 |
1,019.07 |
0.50 |
|
Intermediate-Term Bond |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,009.17 |
$0.90 |
|
Admiral Shares |
1,000.00 |
1,009.57 |
0.50 |
|
Signal Shares |
1,000.00 |
1,009.57 |
0.50 |
|
Institutional Shares |
1,000.00 |
1,009.72 |
0.35 |
|
ETF Shares |
1,000.00 |
1,009.64 |
0.50 |
|
Long-Term Bond |
|
|
|
|
Investor Shares |
$1,000.00 |
$996.98 |
$0.89 |
|
Institutional Shares |
1,000.00 |
997.52 |
0.35 |
|
ETF Shares |
1,000.00 |
996.68 |
0.50 |
1 These calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Total Bond Market Index Fund, 0.19% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.07% for Institutional Shares, 0.10% for ETF Shares; for the Short-Term Bond Index Fund, 0.18% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.10% for ETF Shares; for the Intermediate-Term Bond Index Fund, 0.18% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.07% for Institutional Shares, 0.10% for ETF Shares; and for the Long-Term Bond Index Fund, 0.18% for Investor Shares, 0.07% for Institutional Shares, 0.10% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
77
|
Six Months Ended June 30, 2008 |
|
|
|
|
|
Beginning |
Ending |
Expenses |
|
|
Account Value |
Account Value |
Paid During |
|
Index Fund |
12/31/2007 |
6/30/2008 |
Period 1 |
|
Based on Hypothetical 5% Yearly Return |
|
|
|
|
Total Bond Market |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,023.92 |
$0.96 |
|
Admiral Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Signal Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Institutional Shares |
1,000.00 |
1,024.52 |
0.35 |
|
ETF Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Short-Term Bond |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,023.97 |
$0.91 |
|
Admiral Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Signal Shares |
1,000.00 |
1,024.37 |
0.50 |
|
ETF Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Intermediate-Term Bond |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,023.97 |
$0.91 |
|
Admiral Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Signal Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Institutional Shares |
1,000.00 |
1,024.52 |
0.35 |
|
ETF Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Long-Term Bond |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,023.97 |
$0.91 |
|
Institutional Shares |
1,000.00 |
1,024.52 |
0.35 |
|
ETF Shares |
1,000.00 |
1,024.37 |
0.50 |
1 These calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Total Bond Market Index Fund, 0.19% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.07% for Institutional Shares, 0.10% for ETF Shares; for the Short-Term Bond Index Fund, 0.18% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.10% for ETF Shares; for the Intermediate-Term Bond Index Fund, 0.18% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.07% for Institutional Shares, 0.10% for ETF Shares; and for the Long-Term Bond Index Fund, 0.18% for Investor Shares, 0.07% for Institutional Shares, 0.10% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
78
Trustees Approve Advisory Arrangement
The board of trustees of the Vanguard Short-Term Bond Index Fund, Intermediate-Term Bond Index Fund, Long-Term Bond Index Fund, and Total Bond Market Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Fixed Income Group—serves as the investment advisor for the funds. The board determined that continuing the funds’ internalized management structure was in the best interests of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the funds’ investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than two decades. George U. Sauter, Vanguard managing director and chief investment officer, has been in the investment management business since 1985. Robert F. Auwaerter, head of fixed income portfolio management and principal of Vanguard, has been in the investment management business since 1978. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods of outperformance or underperformance of their target benchmarks and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about the funds’ most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that the funds’ expense ratios were far below the average expense ratios charged by funds in their respective peer groups. The board noted that the funds’ advisory expense ratios were also well below their peer-group averages. Information about the funds’ expense ratios appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
79
Glossary
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
80
Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
81
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
|
Chairman of the Board, Chief Executive Officer, and Trustee |
|
|
|
|
|
John J. Brennan 1 |
|
|
Born 1954 |
Principal Occupation(s) During the Past Five Years: Chairman of the Board, Chief Executive |
|
Trustee Since May 1987; |
Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment |
|
Chairman of the Board and |
companies served by The Vanguard Group; Director of Vanguard Marketing Corporation. |
|
Chief Executive Officer |
|
|
156 Vanguard Funds Overseen |
|
|
|
|
|
Independent Trustees |
|
|
|
|
|
Charles D. Ellis |
|
|
Born 1937 |
Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures |
|
Trustee Since January 2001 |
in education); Senior Advisor to Greenwich Associates (international business strategy |
|
156 Vanguard Funds Overseen |
consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business |
|
|
at New York University; Trustee of the Whitehead Institute for Biomedical Research. |
|
|
|
|
Emerson U. Fullwood |
|
|
Born 1948 |
Principal Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing |
|
Trustee Since January 2008 |
Officer for North America since 2004 and Corporate Vice President of Xerox Corporation |
|
156 Vanguard Funds Overseen |
(photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), |
|
|
of the United Way of Rochester, and of the Boy Scouts of America. |
|
|
|
|
Rajiv L. Gupta |
|
|
Born 1945 |
Principal Occupation(s) During the Past Five Years: Chairman, President, and |
|
Trustee Since December 2001 2 |
Chief Executive Officer of Rohm and Haas Co. (chemicals); Board Member of |
|
156 Vanguard Funds Overseen |
the American Chemistry Council; Director of Tyco International, Ltd. (diversified |
|
|
manufacturing and services) since 2005. |
|
|
|
|
Amy Gutmann |
|
|
Born 1949 |
Principal Occupation(s) During the Past Five Years: President of the University of |
|
Trustee Since June 2006 |
Pennsylvania since 2004; Professor in the School of Arts and Sciences, Annenberg School |
|
156 Vanguard Funds Overseen |
for Communication, and Graduate School of Education of the University of Pennsylvania |
|
|
since 2004; Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics and |
|
|
the University Center for Human Values (1990–2004), Princeton University; Director of |
|
|
Carnegie Corporation of New York since 2005 and of Schuylkill River Development |
|
|
Corporation and Greater Philadelphia Chamber of Commerce since 2004; Trustee of |
|
|
the National Constitution Center since 2007. |
|
JoAnn Heffernan Heisen |
|
|
Born 1950 |
Principal Occupation(s) During the Past Five Years: Corporate Vice President and |
|
Trustee Since July 1998 |
Chief Global Diversity Officer since 2006, Vice President and Chief Information |
|
156 Vanguard Funds Overseen |
Officer (1997–2005), and Member of the Executive Committee of Johnson & |
|
|
Johnson (pharmaceuticals/consumer products); Director of the University Medical |
|
|
Center at Princeton and Women’s Research and Education Institute. |
|
|
|
|
André F. Perold |
|
|
Born 1952 |
Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance |
|
Trustee Since December 2004 |
and Banking, Harvard Business School; Senior Associate Dean and Director of Faculty |
|
156 Vanguard Funds Overseen |
Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities |
|
|
trading firm); Chair of the Investment Committee of HighVista Strategies LLC (private |
|
|
investment firm) since 2005. |
|
|
|
|
Alfred M. Rankin, Jr. |
|
|
Born 1941 |
Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive |
|
Trustee Since January 1993 |
Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director |
|
156 Vanguard Funds Overseen |
of Goodrich Corporation (industrial products/aircraft systems and services). |
|
|
|
|
|
|
|
J. Lawrence Wilson |
|
|
Born 1936 |
Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief Executive |
|
Trustee Since April 1985 |
Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and |
|
156 Vanguard Funds Overseen |
AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University |
|
|
and of Culver Educational Foundation. |
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|
|
|
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|
|
Executive Officers 1 |
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|
Thomas J. Higgins |
|
|
Born 1957 |
Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; |
|
Treasurer Since July 1998 |
Treasurer of each of the investment companies served by The Vanguard Group. |
|
156 Vanguard Funds Overseen |
|
|
|
|
|
|
|
|
F. William McNabb III |
|
|
Born 1957 |
Principal Occupation(s) During the Past Five Years: President of The Vanguard Group, Inc., |
|
President Since March 2008 |
and of each of the investment companies served by The Vanguard Group since 2008; |
|
156 Vanguard Funds Overseen |
Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group |
|
|
(1995–2008). |
|
|
|
|
Heidi Stam |
|
|
Born 1956 |
Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard |
|
Secretary Since July 2005 |
Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of |
|
156 Vanguard Funds Overseen |
The Vanguard Group, and of each of the investment companies served by The Vanguard |
|
|
Group, since 2005; Director and Senior Vice President of Vanguard Marketing Corporation |
|
|
since 2005; Principal of The Vanguard Group (1997–2006). |
|
Vanguard Senior Management Team |
|
|
|
|
|
|
|
|
|
R. Gregory Barton |
Kathleen C. Gubanich |
Michael S. Miller |
Glenn W. Reed |
|
Mortimer J. Buckley |
Paul A. Heller |
Ralph K. Packard |
George U. Sauter |
|
Founder |
|
|
|
John C. Bogle |
|
Chairman and Chief Executive Officer, 1974–1996 |
1 Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
More information about the trustees is in the Statement of Additional Information , available from The Vanguard Group.
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|
P.O. Box 2600 |
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|
Valley Forge, PA 19482-2600 |
Connect with Vanguard ® > www.vanguard.com
|
Fund Information > 800-662-7447 |
Vanguard , Vanguard.com , Vanguard ETF , Vanguard ETFs , |
|
|
Admiral , Signal , Connect with Vanguard , and the ship |
|
Direct Investor Account Services > 800-662-2739 |
logo are trademarks of The Vanguard Group, Inc. |
|
|
|
|
Institutional Investor Services > 800-523-1036 |
All other marks are the exclusive property of their |
|
|
respective owners. |
|
Text Telephone for People |
|
|
With Hearing Impairment > 800-952-3335 |
All comparative mutual fund data are from Lipper Inc. |
|
|
or Morningstar, Inc., unless otherwise noted. |
|
|
|
|
|
|
|
This material may be used in conjunction |
You can obtain a free copy of Vanguard’s proxy voting |
|
with the offering of shares of any Vanguard |
guidelines by visiting our website, www.vanguard.com, |
|
fund only if preceded or accompanied by |
and searching for “proxy voting guidelines,” or by |
|
the fund’s current prospectus. |
calling Vanguard at 800-662-2739. The guidelines are |
|
|
also available from the SEC’s website, www.sec.gov. |
|
|
In addition, you may obtain a free report on how your |
|
Vanguard ETFs™ are not sponsored, endorsed, sold, or |
fund voted the proxies for securities it owned during |
|
promoted by Lehman Brothers. Lehman makes no |
the 12 months ended June 30. To get the report, visit |
|
representation or warranty, express or implied, to the |
either www.vanguard.com or www.sec.gov. |
|
owners of Vanguard ETFs or any member of the public |
|
|
regarding the advisability of investing in securities |
You can review and copy information about your fund |
|
generally or in Vanguard ETFs particularly or the ability |
at the SEC’s Public Reference Room in Washington, D.C. |
|
of the Lehman Index to track general bond market |
To find out more about this public service, call the SEC |
|
performance. Lehman hereby expressly disclaims all |
at 202-551-8090. Information about your fund is also |
|
warranties of merchantability and fitness for a particular |
available on the SEC’s website, and you can receive |
|
purpose with respect to the Lehman Index and any data |
copies of this information, for a fee, by sending a |
|
included therein. Lehman’s only relationship to Vanguard |
request in either of two ways: via e-mail addressed to |
|
and Vanguard ETFs is the licensing of the Lehman Index, |
publicinfo@sec.gov or via regular mail addressed to the |
|
which is determined, composed, and calculated by |
Public Reference Section, Securities and Exchange |
|
Lehman without regard to Vanguard or the Vanguard |
Commission, Washington, DC 20549-0102. |
|
ETFs. Lehman is not responsible for and has not |
|
|
participated in the determination of the timing of, |
|
|
prices of, or quantities of Vanguard ETFs to be issued. |
|
|
|
© 2008 The Vanguard Group, Inc. |
|
|
All rights reserved. |
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|
Vanguard Marketing Corporation, Distributor. |
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Q842 082008 |
|
Vanguard ® Total Bond Market Index Fund |
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|
|
|
|
Schedule of Investments |
|
|
|
|
|
June 30, 2008 |
|
|
|
|
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value |
|
|
Coupon |
Date |
($000) |
($000) |
|
U.S. Government and Agency Obligations (69.8%) |
|
|
|
|
|
U.S. Government Securities (22.7%) |
|
|
|
|
|
U.S. Treasury Bond |
12.000% |
8/15/13 |
131,800 |
133,324 |
|
U.S. Treasury Bond |
13.250% |
5/15/14 |
7,000 |
7,641 |
|
U.S. Treasury Bond |
11.250% |
2/15/15 |
91,575 |
132,512 |
|
U.S. Treasury Bond |
10.625% |
8/15/15 |
7,350 |
10,513 |
|
U.S. Treasury Bond |
9.875% |
11/15/15 |
339,475 |
472,559 |
|
U.S. Treasury Bond |
9.250% |
2/15/16 |
8,525 |
11,602 |
|
U.S. Treasury Bond |
7.250% |
5/15/16 |
74,940 |
92,059 |
|
U.S. Treasury Bond |
7.500% |
11/15/16 |
112,144 |
140,110 |
|
U.S. Treasury Bond |
8.750% |
5/15/17 |
472,765 |
636,975 |
|
U.S. Treasury Bond |
8.875% |
8/15/17 |
30,110 |
41,001 |
|
U.S. Treasury Bond |
4.250% |
11/15/17 |
250 |
255 |
|
U.S. Treasury Bond |
9.125% |
5/15/18 |
5,710 |
8,013 |
|
U.S. Treasury Bond |
8.875% |
2/15/19 |
230,900 |
321,854 |
|
U.S. Treasury Bond |
8.125% |
8/15/19 |
132,945 |
177,689 |
|
U.S. Treasury Bond |
8.500% |
2/15/20 |
2,165 |
2,985 |
|
U.S. Treasury Bond |
8.750% |
8/15/20 |
294,125 |
414,763 |
|
U.S. Treasury Bond |
7.875% |
2/15/21 |
268,357 |
357,921 |
|
U.S. Treasury Bond |
8.125% |
5/15/21 |
15,125 |
20,608 |
|
U.S. Treasury Bond |
8.125% |
8/15/21 |
192,215 |
262,673 |
|
U.S. Treasury Bond |
8.000% |
11/15/21 |
81,920 |
111,181 |
|
U.S. Treasury Bond |
7.625% |
11/15/22 |
76,855 |
102,326 |
|
U.S. Treasury Bond |
7.125% |
2/15/23 |
46,535 |
59,572 |
|
U.S. Treasury Bond |
6.250% |
8/15/23 |
13,300 |
15,817 |
|
U.S. Treasury Bond |
6.875% |
8/15/25 |
7,920 |
10,093 |
|
U.S. Treasury Bond |
6.000% |
2/15/26 |
145,725 |
170,657 |
|
U.S. Treasury Bond |
6.750% |
8/15/26 |
421,980 |
534,003 |
|
U.S. Treasury Bond |
6.500% |
11/15/26 |
775 |
958 |
|
U.S. Treasury Bond |
6.625% |
2/15/27 |
39,585 |
49,623 |
|
U.S. Treasury Bond |
6.375% |
8/15/27 |
31,445 |
38,530 |
|
U.S. Treasury Bond |
6.125% |
11/15/27 |
2,095 |
2,506 |
|
U.S. Treasury Bond |
5.500% |
8/15/28 |
8,145 |
9,093 |
|
U.S. Treasury Bond |
5.250% |
11/15/28 |
5,410 |
5,868 |
|
U.S. Treasury Bond |
5.250% |
2/15/29 |
139,000 |
150,858 |
|
U.S. Treasury Bond |
6.125% |
8/15/29 |
184,640 |
222,810 |
|
U.S. Treasury Bond |
6.250% |
5/15/30 |
2,525 |
3,110 |
|
U.S. Treasury Bond |
4.500% |
2/15/36 |
87,620 |
87,045 |
|
U.S. Treasury Bond |
4.750% |
2/15/37 |
147,800 |
152,765 |
|
U.S. Treasury Bond |
5.000% |
5/15/37 |
1,325 |
1,425 |
|
U.S. Treasury Bond |
4.375% |
2/15/38 |
52,000 |
50,684 |
|
U.S. Treasury Note |
4.625% |
9/30/08 |
29,375 |
29,582 |
|
U.S. Treasury Note |
3.375% |
11/15/08 |
33,935 |
34,099 |
|
U.S. Treasury Note |
4.750% |
11/15/08 |
10,060 |
10,159 |
|
U.S. Treasury Note |
4.750% |
12/31/08 |
410 |
415 |
|
U.S. Treasury Note |
4.875% |
1/31/09 |
7,120 |
7,232 |
|
U.S. Treasury Note |
4.750% |
2/28/09 |
840 |
854 |
|
U.S. Treasury Note |
2.625% |
3/15/09 |
12,730 |
12,764 |
|
U.S. Treasury Note |
4.500% |
3/31/09 |
63,580 |
64,593 |
|
U.S. Treasury Note |
3.125% |
4/15/09 |
78,515 |
78,993 |
|
U.S. Treasury Note |
4.500% |
4/30/09 |
38,700 |
39,389 |
|
U.S. Treasury Note |
4.875% |
5/31/09 |
71,830 |
73,446 |
|
U.S. Treasury Note |
4.000% |
6/15/09 |
5,970 |
6,061 |
|
U.S. Treasury Note |
4.625% |
7/31/09 |
520 |
532 |
|
U.S. Treasury Note |
3.500% |
8/15/09 |
6,150 |
6,229 |
|
|
U.S. Treasury Note |
4.875% |
8/15/09 |
86,050 |
88,363 |
|
|
U.S. Treasury Note |
6.000% |
8/15/09 |
82,650 |
85,866 |
|
|
U.S. Treasury Note |
4.000% |
8/31/09 |
154,475 |
157,371 |
|
|
U.S. Treasury Note |
4.000% |
9/30/09 |
84,300 |
85,999 |
|
|
U.S. Treasury Note |
3.625% |
10/31/09 |
71,575 |
72,783 |
|
|
U.S. Treasury Note |
4.625% |
11/15/09 |
49,585 |
51,111 |
|
|
U.S. Treasury Note |
3.125% |
11/30/09 |
1,465,825 |
1,480,719 |
|
|
U.S. Treasury Note |
3.500% |
12/15/09 |
528,470 |
536,973 |
|
|
U.S. Treasury Note |
3.250% |
12/31/09 |
301,300 |
304,925 |
|
|
U.S. Treasury Note |
3.500% |
2/15/10 |
29,270 |
29,764 |
|
|
U.S. Treasury Note |
4.750% |
2/15/10 |
333,875 |
345,874 |
|
1 |
U.S. Treasury Note |
6.500% |
2/15/10 |
827,615 |
880,632 |
|
|
U.S. Treasury Note |
4.000% |
3/15/10 |
23,080 |
23,668 |
|
|
U.S. Treasury Note |
4.000% |
4/15/10 |
9,125 |
9,357 |
|
|
U.S. Treasury Note |
3.875% |
5/15/10 |
2,200 |
2,254 |
|
|
U.S. Treasury Note |
4.500% |
5/15/10 |
23,300 |
24,119 |
|
|
U.S. Treasury Note |
3.625% |
6/15/10 |
25,625 |
26,142 |
|
|
U.S. Treasury Note |
3.875% |
7/15/10 |
71,350 |
73,145 |
|
|
U.S. Treasury Note |
4.125% |
8/15/10 |
4,606 |
4,746 |
|
|
U.S. Treasury Note |
5.750% |
8/15/10 |
1,300 |
1,383 |
|
|
U.S. Treasury Note |
4.500% |
11/15/10 |
500 |
521 |
|
|
U.S. Treasury Note |
4.500% |
2/28/11 |
3,190 |
3,326 |
|
|
U.S. Treasury Note |
4.875% |
4/30/11 |
1,950 |
2,056 |
|
|
U.S. Treasury Note |
4.875% |
7/31/11 |
18,850 |
19,916 |
|
|
U.S. Treasury Note |
4.625% |
8/31/11 |
111,250 |
116,656 |
|
|
U.S. Treasury Note |
4.500% |
9/30/11 |
298,945 |
312,445 |
|
|
U.S. Treasury Note |
4.625% |
10/31/11 |
209,195 |
219,621 |
|
|
U.S. Treasury Note |
4.500% |
11/30/11 |
377,200 |
394,585 |
|
|
U.S. Treasury Note |
4.625% |
12/31/11 |
200 |
210 |
|
|
U.S. Treasury Note |
4.625% |
2/29/12 |
125,145 |
131,617 |
|
|
U.S. Treasury Note |
4.500% |
3/31/12 |
29,050 |
30,425 |
|
|
U.S. Treasury Note |
4.500% |
4/30/12 |
248,010 |
259,984 |
|
|
U.S. Treasury Note |
4.750% |
5/31/12 |
770,755 |
815,073 |
|
|
U.S. Treasury Note |
4.875% |
6/30/12 |
327,950 |
348,499 |
|
|
U.S. Treasury Note |
4.625% |
7/31/12 |
916,275 |
965,955 |
|
|
U.S. Treasury Note |
4.125% |
8/31/12 |
54,615 |
56,518 |
|
|
U.S. Treasury Note |
4.250% |
9/30/12 |
50,110 |
52,162 |
|
|
U.S. Treasury Note |
3.875% |
10/31/12 |
131,225 |
134,567 |
|
|
U.S. Treasury Note |
3.375% |
11/30/12 |
2,700 |
2,712 |
|
|
U.S. Treasury Note |
2.875% |
1/31/13 |
60,750 |
59,706 |
|
|
U.S. Treasury Note |
3.875% |
2/15/13 |
480 |
492 |
|
|
U.S. Treasury Note |
2.750% |
2/28/13 |
62,995 |
61,499 |
|
|
U.S. Treasury Note |
2.500% |
3/31/13 |
24,520 |
23,654 |
|
|
U.S. Treasury Note |
3.125% |
4/30/13 |
150 |
149 |
|
|
U.S. Treasury Note |
3.625% |
5/15/13 |
9,120 |
9,251 |
|
|
U.S. Treasury Note |
4.250% |
8/15/13 |
23,850 |
24,879 |
|
|
U.S. Treasury Note |
4.250% |
11/15/13 |
14,720 |
15,362 |
|
|
U.S. Treasury Note |
4.000% |
2/15/14 |
11,900 |
12,274 |
|
|
U.S. Treasury Note |
4.750% |
5/15/14 |
74,450 |
79,801 |
|
|
U.S. Treasury Note |
4.250% |
8/15/14 |
3,200 |
3,342 |
|
|
U.S. Treasury Note |
4.250% |
11/15/14 |
3,875 |
4,045 |
|
|
U.S. Treasury Note |
4.125% |
5/15/15 |
156,355 |
161,584 |
|
|
U.S. Treasury Note |
4.500% |
11/15/15 |
825 |
869 |
|
|
U.S. Treasury Note |
4.500% |
2/15/16 |
1,925 |
2,024 |
|
|
U.S. Treasury Note |
5.125% |
5/15/16 |
316,175 |
344,779 |
|
|
U.S. Treasury Note |
4.875% |
8/15/16 |
6,880 |
7,376 |
|
|
U.S. Treasury Note |
4.625% |
11/15/16 |
1,150 |
1,213 |
|
|
U.S. Treasury Note |
4.625% |
2/15/17 |
2,875 |
3,026 |
|
|
U.S. Treasury Note |
3.500% |
2/15/18 |
600 |
577 |
|
|
|
|
|
|
14,356,273 |
|
Agency Bonds and Notes (8.4%) |
|
|
|
|
|
|
|
Agency for International Development— |
|
|
|
|
|
|
Egypt (U.S. Government Guaranteed) |
4.450% |
9/15/15 |
15,150 |
15,315 |
|
2 |
Federal Farm Credit Bank |
5.250% |
8/3/09 |
13,225 |
13,529 |
|
2 |
Federal Farm Credit Bank |
5.000% |
10/23/09 |
5,000 |
5,119 |
|
2 |
Federal Farm Credit Bank |
5.250% |
9/13/10 |
5,200 |
5,403 |
|
2 |
Federal Farm Credit Bank |
3.750% |
12/6/10 |
14,625 |
14,715 |
|
2 |
Federal Farm Credit Bank |
4.875% |
2/18/11 |
30,000 |
30,995 |
|
2 |
Federal Farm Credit Bank |
2.625% |
4/21/11 |
14,750 |
14,345 |
|
2 |
Federal Farm Credit Bank |
5.375% |
7/18/11 |
28,750 |
30,106 |
|
2 |
Federal Farm Credit Bank |
3.875% |
8/25/11 |
15,200 |
15,269 |
|
2 |
Federal Farm Credit Bank |
4.500% |
10/17/12 |
14,100 |
14,326 |
|
2 |
Federal Farm Credit Bank |
4.875% |
12/16/15 |
1,575 |
1,596 |
|
2 |
Federal Farm Credit Bank |
5.125% |
8/25/16 |
10,325 |
10,562 |
|
2 |
Federal Farm Credit Bank |
4.875% |
1/17/17 |
9,500 |
9,536 |
|
2 |
Federal Farm Credit Bank |
5.150% |
11/15/19 |
20,000 |
20,395 |
|
2 |
Federal Home Loan Bank |
5.790% |
4/27/09 |
900 |
923 |
|
2 |
Federal Home Loan Bank |
5.375% |
7/17/09 |
30,900 |
31,635 |
|
2 |
Federal Home Loan Bank |
5.250% |
8/5/09 |
5,025 |
5,140 |
|
2 |
Federal Home Loan Bank |
5.250% |
9/11/09 |
28,900 |
29,618 |
|
2 |
Federal Home Loan Bank |
5.000% |
9/18/09 |
12,200 |
12,486 |
|
2 |
Federal Home Loan Bank |
4.500% |
10/9/09 |
95,000 |
96,711 |
|
2 |
Federal Home Loan Bank |
5.000% |
12/11/09 |
19,600 |
20,113 |
|
2 |
Federal Home Loan Bank |
3.750% |
1/8/10 |
1,650 |
1,665 |
|
2 |
Federal Home Loan Bank |
3.875% |
1/15/10 |
86,500 |
87,457 |
|
2 |
Federal Home Loan Bank |
2.750% |
3/12/10 |
15,100 |
14,978 |
|
2 |
Federal Home Loan Bank |
4.375% |
3/17/10 |
95,000 |
96,884 |
|
2 |
Federal Home Loan Bank |
4.875% |
5/14/10 |
4,600 |
4,737 |
|
2 |
Federal Home Loan Bank |
7.625% |
5/14/10 |
71,925 |
77,526 |
|
2 |
Federal Home Loan Bank |
3.000% |
6/11/10 |
16,200 |
16,098 |
|
2 |
Federal Home Loan Bank |
2.750% |
6/18/10 |
14,850 |
14,706 |
|
2 |
Federal Home Loan Bank |
3.500% |
7/16/10 |
55,475 |
55,690 |
|
2 |
Federal Home Loan Bank |
4.750% |
12/10/10 |
5,300 |
5,456 |
|
2 |
Federal Home Loan Bank |
3.625% |
12/17/10 |
10,800 |
10,854 |
|
2 |
Federal Home Loan Bank |
3.125% |
6/10/11 |
9,875 |
9,719 |
|
2 |
Federal Home Loan Bank |
3.375% |
6/24/11 |
75,000 |
74,438 |
|
2 |
Federal Home Loan Bank |
5.375% |
8/19/11 |
81,550 |
85,694 |
|
2 |
Federal Home Loan Bank |
4.875% |
11/18/11 |
25,750 |
26,659 |
|
2 |
Federal Home Loan Bank |
4.625% |
10/10/12 |
41,875 |
42,747 |
|
2 |
Federal Home Loan Bank |
3.375% |
2/27/13 |
12,500 |
12,120 |
|
2 |
Federal Home Loan Bank |
3.625% |
5/29/13 |
11,050 |
10,805 |
|
2 |
Federal Home Loan Bank |
3.875% |
6/14/13 |
30,625 |
30,254 |
|
2 |
Federal Home Loan Bank |
5.375% |
6/14/13 |
15,000 |
15,748 |
|
2 |
Federal Home Loan Bank |
5.125% |
8/14/13 |
82,100 |
85,571 |
|
2 |
Federal Home Loan Bank |
5.250% |
9/13/13 |
2,500 |
2,606 |
|
2 |
Federal Home Loan Bank |
4.500% |
9/16/13 |
82,350 |
83,461 |
|
2 |
Federal Home Loan Bank |
5.500% |
8/13/14 |
96,925 |
102,863 |
|
2 |
Federal Home Loan Bank |
5.375% |
5/18/16 |
93,850 |
98,350 |
|
2 |
Federal Home Loan Bank |
5.625% |
6/13/16 |
2,950 |
2,921 |
|
2 |
Federal Home Loan Bank |
5.125% |
10/19/16 |
12,600 |
12,893 |
|
2 |
Federal Home Loan Bank |
4.750% |
12/16/16 |
86,575 |
87,109 |
|
2 |
Federal Home Loan Bank |
4.875% |
5/17/17 |
29,600 |
30,012 |
|
2 |
Federal Home Loan Bank |
5.250% |
12/11/20 |
16,150 |
16,610 |
|
2 |
Federal Home Loan Bank |
5.625% |
6/11/21 |
1,375 |
1,460 |
|
2 |
Federal Home Loan Bank |
5.500% |
7/15/36 |
11,000 |
11,433 |
|
2 |
Federal Home Loan Mortgage Corp. |
3.750% |
5/12/09 |
3,130 |
3,158 |
|
2 |
Federal Home Loan Mortgage Corp. |
6.625% |
9/15/09 |
36,065 |
37,629 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.750% |
11/3/09 |
35,000 |
35,805 |
|
2 |
Federal Home Loan Mortgage Corp. |
7.000% |
3/15/10 |
81,425 |
86,526 |
|
2 |
Federal Home Loan Mortgage Corp. |
2.875% |
4/30/10 |
22,200 |
22,074 |
|
2 |
Federal Home Loan Mortgage Corp. |
2.875% |
6/28/10 |
23,400 |
23,239 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.125% |
7/12/10 |
127,947 |
130,173 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.125% |
8/23/10 |
75,000 |
77,789 |
|
2 |
Federal Home Loan Mortgage Corp. |
6.875% |
9/15/10 |
38,683 |
41,563 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.750% |
1/18/11 |
40,900 |
42,193 |
|
2 |
Federal Home Loan Mortgage Corp. |
3.250% |
2/25/11 |
18,500 |
18,386 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.625% |
3/15/11 |
50,000 |
52,688 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.125% |
4/18/11 |
60,000 |
62,456 |
|
2 |
Federal Home Loan Mortgage Corp. |
6.000% |
6/15/11 |
33,800 |
36,032 |
|
2 |
Federal Home Loan Mortgage Corp. |
3.875% |
6/29/11 |
11,225 |
11,298 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.250% |
7/18/11 |
115,000 |
120,183 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.750% |
1/15/12 |
82,000 |
86,974 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.500% |
8/20/12 |
50,000 |
52,796 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.625% |
10/25/12 |
38,850 |
39,713 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.125% |
12/21/12 |
17,950 |
17,962 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.500% |
1/15/13 |
81,325 |
82,633 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.500% |
7/15/13 |
8,850 |
8,978 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.875% |
11/15/13 |
114,925 |
118,295 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.000% |
7/15/14 |
90,650 |
93,808 |
|
2 |
Federal Home Loan Mortgage Corp. |
0.000% |
11/24/14 |
9,500 |
7,370 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.750% |
1/19/16 |
73,500 |
74,145 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.250% |
4/18/16 |
125,000 |
129,679 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.000% |
2/16/17 |
30,000 |
30,544 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.000% |
4/18/17 |
10,000 |
10,177 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.500% |
8/23/17 |
40,000 |
42,139 |
|
2 |
Federal Home Loan Mortgage Corp. |
4.875% |
6/13/18 |
24,050 |
24,189 |
|
2 |
Federal Home Loan Mortgage Corp. |
5.000% |
12/14/18 |
29,521 |
27,577 |
|
2 |
Federal Home Loan Mortgage Corp. |
6.750% |
9/15/29 |
14,000 |
16,684 |
|
2 |
Federal Home Loan Mortgage Corp. |
6.750% |
3/15/31 |
66,750 |
80,429 |
|
2 |
Federal National Mortgage Assn. |
5.125% |
7/13/09 |
97,000 |
99,039 |
|
2 |
Federal National Mortgage Assn. |
6.625% |
9/15/09 |
174,315 |
181,706 |
|
2 |
Federal National Mortgage Assn. |
7.250% |
1/15/10 |
89,090 |
94,572 |
|
2 |
Federal National Mortgage Assn. |
3.250% |
2/10/10 |
21,800 |
21,846 |
|
2 |
Federal National Mortgage Assn. |
3.875% |
2/15/10 |
38,500 |
39,002 |
|
2 |
Federal National Mortgage Assn. |
4.750% |
3/12/10 |
34,350 |
35,249 |
|
2 |
Federal National Mortgage Assn. |
4.125% |
5/15/10 |
20,000 |
20,343 |
|
2 |
Federal National Mortgage Assn. |
7.125% |
6/15/10 |
25 |
27 |
|
2 |
Federal National Mortgage Assn. |
3.000% |
7/12/10 |
61,000 |
60,688 |
|
2 |
Federal National Mortgage Assn. |
4.750% |
12/15/10 |
16,100 |
16,611 |
|
2 |
Federal National Mortgage Assn. |
6.250% |
2/1/11 |
16,665 |
17,479 |
|
2 |
Federal National Mortgage Assn. |
5.125% |
4/15/11 |
37,900 |
39,406 |
|
2 |
Federal National Mortgage Assn. |
6.000% |
5/15/11 |
44,580 |
47,407 |
|
2 |
Federal National Mortgage Assn. |
3.375% |
5/19/11 |
50,000 |
49,702 |
|
2 |
Federal National Mortgage Assn. |
5.000% |
10/15/11 |
86,925 |
90,246 |
|
2 |
Federal National Mortgage Assn. |
6.125% |
3/15/12 |
87,705 |
94,254 |
|
2 |
Federal National Mortgage Assn. |
4.875% |
5/18/12 |
18,425 |
19,027 |
|
2 |
Federal National Mortgage Assn. |
4.375% |
9/15/12 |
35,225 |
35,774 |
|
2 |
Federal National Mortgage Assn. |
3.625% |
2/12/13 |
22,225 |
21,759 |
|
2 |
Federal National Mortgage Assn. |
4.750% |
2/21/13 |
5,000 |
5,119 |
|
2 |
Federal National Mortgage Assn. |
4.375% |
3/15/13 |
90,240 |
91,181 |
|
2 |
Federal National Mortgage Assn. |
4.625% |
5/1/13 |
15,850 |
15,505 |
|
2 |
Federal National Mortgage Assn. |
4.625% |
10/15/13 |
90,625 |
92,268 |
|
2 |
Federal National Mortgage Assn. |
5.125% |
1/2/14 |
3,925 |
3,919 |
|
2 |
Federal National Mortgage Assn. |
4.125% |
4/15/14 |
75,000 |
74,339 |
|
2 |
Federal National Mortgage Assn. |
4.625% |
10/15/14 |
50,000 |
50,643 |
|
2 |
Federal National Mortgage Assn. |
5.000% |
4/15/15 |
20,000 |
20,593 |
|
2 |
Federal National Mortgage Assn. |
4.375% |
10/15/15 |
70,000 |
69,382 |
|
2 |
Federal National Mortgage Assn. |
8.200% |
3/10/16 |
50 |
61 |
|
2 |
Federal National Mortgage Assn. |
5.375% |
7/15/16 |
20,000 |
20,907 |
|
2 |
Federal National Mortgage Assn. |
5.250% |
9/15/16 |
54,975 |
57,007 |
|
2 |
Federal National Mortgage Assn. |
4.875% |
12/15/16 |
6,475 |
6,548 |
|
2 |
Federal National Mortgage Assn. |
5.000% |
2/13/17 |
93,425 |
95,118 |
|
|
2 |
Federal National Mortgage Assn. |
5.000% |
5/11/17 |
50,000 |
50,890 |
|
|
2 |
Federal National Mortgage Assn. |
6.250% |
5/15/29 |
1,375 |
1,555 |
|
|
2 |
Federal National Mortgage Assn. |
7.125% |
1/15/30 |
30,805 |
38,383 |
|
|
2 |
Federal National Mortgage Assn. |
7.250% |
5/15/30 |
105,201 |
133,158 |
|
|
2 |
Federal National Mortgage Assn. |
6.625% |
11/15/30 |
17,460 |
20,724 |
|
|
2 |
Federal National Mortgage Assn. |
5.625% |
7/15/37 |
5,650 |
5,843 |
|
|
|
Financing Corp. |
9.800% |
4/6/18 |
1,650 |
2,271 |
|
|
|
Private Export Funding Corp. |
7.200% |
1/15/10 |
31,825 |
33,718 |
|
|
|
Resolution Funding Corp. (U.S. Government Guaranteed) |
8.125% |
10/15/19 |
550 |
701 |
|
|
|
Resolution Funding Corp. (U.S. Government Guaranteed) |
8.875% |
7/15/20 |
280 |
379 |
|
|
|
Resolution Funding Corp. (U.S. Government Guaranteed) |
8.625% |
1/15/30 |
110 |
157 |
|
|
|
Small Business Administration Variable Rate Interest Only |
|
|
|
|
|
|
|
Custodial Receipts (U.S. Guaranteed) |
2.719% |
7/15/17 |
4,449 |
222 |
|
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
9/18/23 |
5,525 |
5,981 |
|
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
12/4/23 |
3,900 |
4,225 |
|
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
4/26/24 |
3,000 |
3,248 |
|
|
2 |
Tennessee Valley Auth. |
5.625% |
1/18/11 |
275 |
289 |
|
|
2 |
Tennessee Valley Auth. |
5.500% |
7/18/17 |
19,800 |
20,747 |
|
|
2 |
Tennessee Valley Auth. |
4.500% |
4/1/18 |
5,850 |
5,678 |
|
|
2 |
Tennessee Valley Auth. |
7.125% |
5/1/30 |
32,625 |
40,315 |
|
|
2 |
Tennessee Valley Auth. |
4.650% |
6/15/35 |
4,400 |
3,997 |
|
|
2 |
Tennessee Valley Auth. |
5.500% |
6/15/38 |
3,025 |
3,101 |
|
|
2 |
Tennessee Valley Auth. |
4.875% |
1/15/48 |
8,600 |
7,956 |
|
|
2 |
Tennessee Valley Auth. |
5.375% |
4/1/56 |
7,150 |
7,204 |
|
|
|
|
|
|
|
5,350,114 |
|
|
Mortgage-Backed Securities (38.7%) |
|
|
|
|
||
|
|
Conventional Mortgage-Backed Securities (35.5%) |
|
|
|
||
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.000% |
7/1/08–2/1/21 |
164,775 |
157,764 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.500% |
8/1/08–9/1/35 |
597,399 |
575,532 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.000% |
7/1/09–7/1/38 |
2,212,495 |
2,138,096 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.500% |
11/1/08–7/1/38 |
3,049,831 |
3,014,413 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.000% |
7/1/08–7/1/38 |
1,934,954 |
1,960,325 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.500% |
7/1/08–12/1/37 |
335,763 |
347,258 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
7.000% |
9/1/08–1/1/37 |
50,611 |
53,454 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
7.500% |
8/1/08–2/1/32 |
10,877 |
11,582 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
8.000% |
11/1/09–1/1/32 |
8,055 |
8,679 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
8.500% |
4/1/10–7/1/31 |
1,376 |
1,499 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
9.000% |
7/1/16–3/1/31 |
921 |
1,008 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
9.500% |
4/1/16–6/1/25 |
209 |
226 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
10.000% |
7/1/09–4/1/25 |
66 |
71 |
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
10.500% |
12/1/15 |
1 |
1 |
|
|
2,3 |
Federal National Mortgage Assn. |
4.000% |
9/1/10–6/1/19 |
92,433 |
88,548 |
|
|
2,3 |
Federal National Mortgage Assn. |
4.500% |
2/1/10–4/1/37 |
891,819 |
859,799 |
|
|
2,3 |
Federal National Mortgage Assn. |
5.000% |
9/1/09–7/1/38 |
3,155,397 |
3,055,170 |
|
|
2,3 |
Federal National Mortgage Assn. |
5.500% |
11/1/08–7/1/38 |
3,743,185 |
3,707,340 |
|
|
2,3 |
Federal National Mortgage Assn. |
6.000% |
7/1/08–6/1/38 |
2,662,445 |
2,696,277 |
|
|
2,3 |
Federal National Mortgage Assn. |
6.500% |
7/1/08–7/1/38 |
1,044,397 |
1,077,313 |
|
|
2,3 |
Federal National Mortgage Assn. |
7.000% |
8/1/08–1/1/38 |
312,987 |
328,758 |
|
|
2,3 |
Federal National Mortgage Assn. |
7.500% |
5/1/10–12/1/32 |
14,898 |
15,885 |
|
|
2,3 |
Federal National Mortgage Assn. |
8.000% |
1/1/10–9/1/31 |
4,416 |
4,751 |
|
|
2,3 |
Federal National Mortgage Assn. |
8.500% |
7/1/10–5/1/32 |
1,709 |
1,851 |
|
|
2,3 |
Federal National Mortgage Assn. |
9.000% |
2/1/17–8/1/30 |
391 |
429 |
|
|
2,3 |
Federal National Mortgage Assn. |
9.500% |
7/1/10–11/1/25 |
514 |
562 |
|
|
2,3 |
Federal National Mortgage Assn. |
10.000% |
10/1/14–11/1/19 |
117 |
125 |
|
|
2,3 |
Federal National Mortgage Assn. |
10.500% |
3/1/11–8/1/20 |
8 |
8 |
|
|
2,3 |
Federal National Mortgage Assn. |
11.000% |
9/1/19 |
7 |
8 |
|
|
3 |
Government National Mortgage Assn. |
4.000% |
8/15/18–9/15/18 |
1,799 |
1,727 |
|
3 |
Government National Mortgage Assn. |
4.500% |
6/15/18–3/15/36 |
33,470 |
31,811 |
|
3 |
Government National Mortgage Assn. |
5.000% |
11/15/17–7/1/38 |
427,226 |
414,659 |
|
3 |
Government National Mortgage Assn. |
5.500% |
3/15/15–7/1/38 |
833,264 |
829,542 |
|
3 |
Government National Mortgage Assn. |
6.000% |
3/15/09–7/1/38 |
711,579 |
722,207 |
|
3 |
Government National Mortgage Assn. |
6.500% |
8/15/08–12//37 |
287,931 |
297,568 |
|
3 |
Government National Mortgage Assn. |
7.000% |
7/15/08–9/15/36 |
27,783 |
29,517 |
|
3 |
Government National Mortgage Assn. |
7.250% |
9/15/25 |
51 |
55 |
|
3 |
Government National Mortgage Assn. |
7.500% |
7/15/08–6/15/32 |
10,168 |
10,901 |
|
3 |
Government National Mortgage Assn. |
7.750% |
2/15/30 |
6 |
6 |
|
3 |
Government National Mortgage Assn. |
8.000% |
7/15/09–12/15/30 |
6,857 |
7,400 |
|
3 |
Government National Mortgage Assn. |
8.500% |
5/15/10–3/15/31 |
1,483 |
1,608 |
|
3 |
Government National Mortgage Assn. |
9.000% |
10/15/08–2/15/31 |
3,243 |
3,499 |
|
3 |
Government National Mortgage Assn. |
9.500% |
5/15/16–9/15/25 |
735 |
799 |
|
3 |
Government National Mortgage Assn. |
10.000% |
2/15/18–2/15/25 |
298 |
330 |
|
3 |
Government National Mortgage Assn. |
10.500% |
7/15/15–4/15/25 |
228 |
251 |
|
3 |
Government National Mortgage Assn. |
11.000% |
1/15/10–11/15/15 |
29 |
32 |
|
3 |
Government National Mortgage Assn. |
11.500% |
3/15/10–4/15/16 |
34 |
38 |
|
|
|
|
|
|
|
|
|
Nonconventional Mortgage-Backed Securities (3.2%) |
|
|
|
|
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.085% |
4/1/35 |
1,081 |
1,079 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.305% |
4/1/36 |
19,696 |
19,680 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.390% |
12/1/34 |
22,528 |
22,634 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.572% |
9/1/34 |
11,230 |
11,293 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.590% |
11/1/34 |
16,445 |
16,531 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.606% |
4/1/35 |
11,505 |
11,561 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.634% |
12/1/35 |
15,417 |
15,498 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.656% |
7/1/35 |
14,484 |
14,560 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.681% |
12/1/34 |
7,367 |
7,411 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.793% |
7/1/35 |
27,651 |
27,849 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.812% |
3/1/36 |
25,606 |
25,792 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
4.981% |
5/1/35 |
18,780 |
18,998 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.255% |
3/1/37 |
13,190 |
13,355 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.262% |
3/1/36 |
20,087 |
20,378 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.288% |
12/1/36 |
12,311 |
12,468 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.293% |
3/1/38 |
19,804 |
19,668 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.327% |
12/1/35 |
12,120 |
12,258 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.424% |
3/1/37 |
12,627 |
12,813 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.437% |
4/1/37 |
23,437 |
23,789 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.481% |
1/1/37 |
10,473 |
10,629 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.488% |
2/1/36 |
16,511 |
16,722 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.547% |
7/1/36 |
14,527 |
14,805 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.577% |
5/1/36 |
23,615 |
24,117 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.580% |
6/1/37 |
9,569 |
9,718 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.606% |
4/1/37 |
17,562 |
17,971 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.684% |
12/1/36 |
24,231 |
24,714 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.699% |
3/1/37 |
33,522 |
34,186 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.709% |
9/1/36 |
36,975 |
37,652 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.767% |
5/1/36 |
19,994 |
20,491 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.801% |
3/1/37 |
7,514 |
7,663 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.824% |
10/1/37 |
31,092 |
31,726 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.829% |
6/1/37 |
12,865 |
13,129 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.845% |
4/1/37 |
186 |
190 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.846% |
4/1/37 |
45,475 |
46,477 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.873% |
5/1/37 |
27,674 |
28,108 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.877% |
12/1/36 |
9,420 |
9,624 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.899% |
6/1/37 |
19,213 |
19,639 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
5.968% |
10/1/37 |
4,972 |
5,090 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.067% |
3/1/37 |
1,050 |
1,076 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.072% |
3/1/37 |
1,385 |
1,418 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.114% |
12/1/36 |
19,759 |
20,181 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.126% |
8/1/37 |
8,084 |
8,248 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.135% |
8/1/37 |
24,766 |
25,363 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.405% |
6/1/37 |
20,447 |
20,989 |
|
2,3 |
Federal Home Loan Mortgage Corp. |
6.522% |
2/1/37 |
15,610 |
16,041 |
|
2,3 |
Federal National Mortgage Assn. |
4.008% |
7/1/35 |
11,324 |
11,172 |
|
2,3 |
Federal National Mortgage Assn. |
4.138% |
5/1/34 |
10,854 |
10,817 |
|
2,3 |
Federal National Mortgage Assn. |
4.418% |
8/1/35 |
31,918 |
31,979 |
|
2,3 |
Federal National Mortgage Assn. |
4.438% |
7/1/35 |
11,376 |
11,405 |
|
2,3 |
Federal National Mortgage Assn. |
4.543% |
4/1/36 |
14,842 |
14,933 |
|
2,3 |
Federal National Mortgage Assn. |
4.571% |
1/1/35 |
12,977 |
13,062 |
|
2,3 |
Federal National Mortgage Assn. |
4.576% |
12/1/34 |
17,678 |
17,701 |
|
2,3 |
Federal National Mortgage Assn. |
4.585% |
11/1/34 |
28,365 |
28,127 |
|
2,3 |
Federal National Mortgage Assn. |
4.586% |
10/1/36 |
9,799 |
9,852 |
|
2,3 |
Federal National Mortgage Assn. |
4.629% |
9/1/34 |
7,812 |
7,861 |
|
2,3 |
Federal National Mortgage Assn. |
4.633% |
8/1/35 |
18,779 |
18,748 |
|
2,3 |
Federal National Mortgage Assn. |
4.636% |
11/1/33 |
10,389 |
10,443 |
|
2,3 |
Federal National Mortgage Assn. |
4.681% |
10/1/34 |
12,837 |
12,873 |
|
2,3 |
Federal National Mortgage Assn. |
4.692% |
11/1/34 |
16,394 |
16,485 |
|
2,3 |
Federal National Mortgage Assn. |
4.728% |
8/1/35 |
10,510 |
10,555 |
|
2,3 |
Federal National Mortgage Assn. |
4.744% |
9/1/34 |
5,603 |
5,651 |
|
2,3 |
Federal National Mortgage Assn. |
4.750% |
6/1/34 |
9,973 |
10,039 |
|
2,3 |
Federal National Mortgage Assn. |
4.750% |
9/1/35 |
12,628 |
12,714 |
|
2,3 |
Federal National Mortgage Assn. |
4.754% |
5/1/35 |
6,516 |
6,560 |
|
2,3 |
Federal National Mortgage Assn. |
4.755% |
10/1/34 |
18,145 |
18,268 |
|
2,3 |
Federal National Mortgage Assn. |
4.774% |
4/1/36 |
32,913 |
33,136 |
|
2,3 |
Federal National Mortgage Assn. |
4.827% |
4/1/37 |
14,326 |
14,435 |
|
2,3 |
Federal National Mortgage Assn. |
4.850% |
11/1/35 |
37,507 |
37,808 |
|
2,3 |
Federal National Mortgage Assn. |
4.869% |
12/1/35 |
25,185 |
25,435 |
|
2,3 |
Federal National Mortgage Assn. |
4.872% |
7/1/35 |
16,854 |
16,995 |
|
2,3 |
Federal National Mortgage Assn. |
4.944% |
7/1/35 |
7,543 |
7,610 |
|
2,3 |
Federal National Mortgage Assn. |
4.950% |
5/1/37 |
26,968 |
27,079 |
|
2,3 |
Federal National Mortgage Assn. |
4.968% |
10/1/35 |
25,637 |
25,891 |
|
2,3 |
Federal National Mortgage Assn. |
4.968% |
11/1/34 |
5,601 |
5,648 |
|
2,3 |
Federal National Mortgage Assn. |
4.969% |
11/1/33 |
4,959 |
4,964 |
|
2,3 |
Federal National Mortgage Assn. |
5.008% |
12/1/33 |
6,713 |
6,724 |
|
2,3 |
Federal National Mortgage Assn. |
5.034% |
8/1/37 |
43,806 |
44,143 |
|
2,3 |
Federal National Mortgage Assn. |
5.059% |
11/1/35 |
25,884 |
26,178 |
|
2,3 |
Federal National Mortgage Assn. |
5.068% |
2/1/36 |
12,037 |
12,174 |
|
2,3 |
Federal National Mortgage Assn. |
5.075% |
12/1/35 |
30,710 |
31,069 |
|
2,3 |
Federal National Mortgage Assn. |
5.105% |
1/1/36 |
15,462 |
15,646 |
|
2,3 |
Federal National Mortgage Assn. |
5.128% |
12/1/35 |
32,587 |
32,992 |
|
2,3 |
Federal National Mortgage Assn. |
5.194% |
3/1/38 |
19,728 |
19,535 |
|
2,3 |
Federal National Mortgage Assn. |
5.278% |
3/1/37 |
18,251 |
18,439 |
|
2,3 |
Federal National Mortgage Assn. |
5.380% |
2/1/36 |
18,313 |
18,606 |
|
2,3 |
Federal National Mortgage Assn. |
5.443% |
5/1/37 |
7,385 |
7,495 |
|
2,3 |
Federal National Mortgage Assn. |
5.462% |
2/1/36 |
20,302 |
20,652 |
|
2,3 |
Federal National Mortgage Assn. |
5.597% |
1/1/37 |
16,458 |
16,766 |
|
2,3 |
Federal National Mortgage Assn. |
5.602% |
7/1/36 |
13,634 |
13,937 |
|
2,3 |
Federal National Mortgage Assn. |
5.641% |
3/1/37 |
15,160 |
15,444 |
|
2,3 |
Federal National Mortgage Assn. |
5.662% |
6/1/36 |
17,987 |
18,338 |
|
2,3 |
Federal National Mortgage Assn. |
5.672% |
6/1/37 |
10,955 |
11,229 |
|
2,3 |
Federal National Mortgage Assn. |
5.680% |
3/1/37 |
41,702 |
42,499 |
|
2,3 |
Federal National Mortgage Assn. |
5.691% |
2/1/37 |
32,308 |
32,946 |
|
2,3 |
Federal National Mortgage Assn. |
5.700% |
2/1/37 |
19,046 |
19,516 |
|
2,3 |
Federal National Mortgage Assn. |
5.711% |
9/1/36 |
13,642 |
13,927 |
|
2,3 |
Federal National Mortgage Assn. |
5.739% |
12/1/36 |
45,733 |
46,672 |
|
2,3 |
Federal National Mortgage Assn. |
5.739% |
3/1/37 |
31,328 |
31,956 |
|
2,3 |
Federal National Mortgage Assn. |
5.759% |
4/1/36 |
14,634 |
14,928 |
|
2,3 |
Federal National Mortgage Assn. |
5.771% |
12/1/37 |
35,665 |
36,063 |
|
2,3 |
Federal National Mortgage Assn. |
5.787% |
4/1/37 |
21,527 |
21,824 |
|
2,3 |
Federal National Mortgage Assn. |
5.790% |
4/1/37 |
12,810 |
13,076 |
|
2,3 |
Federal National Mortgage Assn. |
5.798% |
1/1/36 |
9,029 |
9,200 |
|
2,3 |
Federal National Mortgage Assn. |
5.815% |
6/1/37 |
31,430 |
32,066 |
|
2,3 |
Federal National Mortgage Assn. |
5.890% |
9/1/36 |
16,003 |
16,363 |
|
2,3 |
Federal National Mortgage Assn. |
5.962% |
11/1/36 |
15,055 |
15,405 |
|
2,3 |
Federal National Mortgage Assn. |
6.018% |
10/1/37 |
24,683 |
25,151 |
|
2,3 |
Federal National Mortgage Assn. |
6.085% |
8/1/37 |
21,032 |
21,552 |
|
2,3 |
Federal National Mortgage Assn. |
6.095% |
6/1/36 |
4,217 |
4,320 |
|
2,3 |
Federal National Mortgage Assn. |
6.619% |
9/1/37 |
30,090 |
30,933 |
|
3 |
Government National Mortgage Assn. |
6.375% |
6/20/29 |
528 |
533 |
|
3 |
Government National Mortgage Assn. |
7.900% |
2/15/21 |
6 |
7 |
|
|
|
|
|
|
24,468,814 |
|
Total U.S. Government and Agency Obligations (Cost $43,936,726) |
|
44,175,201 |
|||
|
Corporate Bonds (26.2%) |
|
|
|
|
|
|
Asset-Backed/Commercial Mortgage-Backed Securities (6.4%) |
|
|
|||
|
3,4,5 |
American Express Credit Account Master Trust |
2.461% |
8/15/11 |
17,350 |
17,274 |
|
3,4 |
American Express Credit Account Master Trust |
2.471% |
3/15/11 |
1,500 |
1,498 |
|
3,4 |
American Express Credit Account Master Trust |
2.551% |
9/15/11 |
40,000 |
39,821 |
|
3,4 |
American Express Credit Account Master Trust |
2.561% |
3/15/12 |
132,100 |
130,894 |
|
5 |
BA Covered Bond Issuer |
5.500% |
6/14/12 |
47,250 |
48,614 |
|
3,4,5 |
BMW Floorplan Master Owner Trust |
2.482% |
9/17/11 |
28,000 |
27,005 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
5.787% |
5/11/35 |
18,474 |
18,901 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
6.503% |
4/15/36 |
7,630 |
7,498 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
4.050% |
11/10/38 |
5,500 |
5,426 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
4.153% |
11/10/38 |
5,000 |
4,825 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
4.877% |
7/10/42 |
33,100 |
31,179 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
5.118% |
7/11/43 |
2,690 |
2,609 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
5.115% |
10/10/45 |
16,200 |
15,280 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
5.634% |
7/10/46 |
13,725 |
13,217 |
|
3 |
Banc of America Commercial Mortgage, Inc. |
5.414% |
9/10/47 |
9,700 |
9,217 |
|
3,4 |
Banc of America Commercial Mortgage, Inc. |
6.158% |
2/10/51 |
32,900 |
32,315 |
|
3,4 |
Bank of America Credit Card Trust |
2.691% |
4/16/12 |
23,886 |
23,681 |
|
3,4 |
Bank One Issuance Trust |
2.581% |
6/15/11 |
12,300 |
12,275 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.610% |
11/15/33 |
9,900 |
9,412 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.630% |
4/12/38 |
20,000 |
19,295 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
4.830% |
8/15/38 |
20,000 |
19,706 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.623% |
3/11/39 |
42,000 |
40,407 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
4.680% |
8/13/39 |
10,000 |
9,486 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
4.740% |
3/13/40 |
9,000 |
8,595 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.849% |
6/11/40 |
32,425 |
32,098 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
4.521% |
11/11/41 |
4,950 |
4,766 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.742% |
9/11/42 |
16,125 |
15,292 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.613% |
6/11/50 |
11,750 |
11,515 |
|
3 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.694% |
6/11/50 |
50,000 |
47,280 |
|
3 |
CIT Group Home Equity Loan Trust |
6.200% |
2/25/30 |
1,433 |
1,334 |
|
3,4 |
CWCapital Cobalt |
6.015% |
5/15/46 |
31,125 |
29,863 |
|
3 |
Capital Auto Receivables Asset Trust |
4.680% |
10/15/12 |
21,400 |
21,454 |
|
3,4 |
Capital One Master Trust |
2.661% |
6/15/11 |
14,000 |
13,987 |
|
3 |
Capital One Multi-Asset Execution Trust |
3.650% |
7/15/11 |
45,247 |
45,238 |
|
3,4 |
Capital One Multi-Asset Execution Trust |
2.651% |
9/15/11 |
75,630 |
75,452 |
|
3,4 |
Capital One Multi-Asset Execution Trust |
2.561% |
1/17/12 |
50,000 |
49,780 |
|
3 |
Capital One Multi-Asset Execution Trust |
5.300% |
2/18/14 |
5,525 |
5,605 |
|
3 |
Capital One Multi-Asset Execution Trust |
5.050% |
12/17/18 |
43,450 |
41,988 |
|
3,4 |
Capital One Prime Auto Receivables Trust |
2.491% |
4/15/11 |
25,651 |
25,477 |
|
3 |
Chase Commercial Mortgage Securities Corp. |
6.390% |
11/18/30 |
8,216 |
8,252 |
|
3,4 |
Chase Credit Card Master Trust |
2.591% |
1/17/11 |
48,350 |
48,282 |
|
3,4 |
Chase Credit Card Master Trust |
2.581% |
2/15/11 |
11,875 |
11,851 |
|
3,4 |
Chase Credit Card Master Trust |
2.641% |
9/15/11 |
7,000 |
6,961 |
|
3,4 |
Chase Issuance Trust |
2.481% |
2/15/11 |
30,500 |
30,369 |
|
3,4 |
Chase Issuance Trust |
2.491% |
11/15/11 |
30,820 |
30,531 |
|
3,4 |
Chase Issuance Trust |
2.491% |
2/15/12 |
23,678 |
23,500 |
|
3,4 |
Chase Issuance Trust |
2.471% |
7/16/12 |
4,955 |
4,880 |
|
3 |
Chase Issuance Trust |
4.650% |
12/17/12 |
39,225 |
39,547 |
|
3 |
Chase Issuance Trust |
4.650% |
3/15/15 |
38,500 |
38,025 |
|
3 |
Citibank Credit Card Issuance Trust |
3.500% |
8/16/10 |
5,000 |
5,000 |
|
3,4 |
Citibank Credit Card Issuance Trust |
2.481% |
12/15/10 |
21,820 |
21,741 |
|
3 |
Citibank Credit Card Issuance Trust |
4.850% |
2/10/11 |
775 |
778 |
|
3,4 |
Citibank Credit Card Issuance Trust |
2.638% |
11/7/11 |
71,900 |
71,167 |
|
3 |
Citibank Credit Card Master Trust |
5.875% |
3/10/11 |
1,250 |
1,262 |
|
3 |
Citigroup Commercial Mortgage Trust |
4.623% |
10/15/41 |
4,100 |
3,895 |
|
3,4 |
Citigroup Commercial Mortgage Trust |
5.915% |
3/15/49 |
31,175 |
30,420 |
|
3,4 |
Citigroup Commercial Mortgage Trust |
5.889% |
12/10/49 |
11,675 |
11,130 |
|
3,4 |
Citigroup/Deutsche Bank Commercial Mortgage Trust |
5.400% |
7/15/44 |
6,400 |
5,951 |
|
3 |
Citigroup/Deutsche Bank Commercial Mortgage Trust |
5.886% |
11/15/44 |
22,750 |
21,788 |
|
3 |
Citigroup/Deutsche Bank Commercial Mortgage Trust |
5.205% |
12/11/49 |
40,075 |
39,132 |
|
3 |
Citigroup/Deutsche Bank Commercial Mortgage Trust |
5.322% |
12/11/49 |
35,925 |
33,314 |
|
3,5 |
Commercial Mortgage Lease-Backed Certificate |
6.746% |
6/20/31 |
11,882 |
11,479 |
|
3 |
Commercial Mortgage Pass-Through Certificates |
5.248% |
12/10/46 |
3,425 |
3,375 |
|
3,4 |
Commercial Mortgage Pass-Through Certificates |
6.010% |
12/10/49 |
25,175 |
24,173 |
|
3 |
Countrywide Home Loans |
4.802% |
5/25/33 |
6,627 |
6,427 |
|
3 |
Credit Suisse First Boston Mortgage Securities Corp. |
3.936% |
5/15/38 |
9,130 |
8,411 |
|
3 |
Credit Suisse First Boston Mortgage Securities Corp. |
5.100% |
8/15/38 |
36,000 |
33,962 |
|
3 |
Credit Suisse First Boston Mortgage Securities Corp. |
7.290% |
9/15/41 |
14,108 |
14,453 |
|
3 |
Credit Suisse Mortgage Capital Certificates |
6.021% |
6/15/38 |
24,375 |
23,903 |
|
3 |
Credit Suisse Mortgage Capital Certificates |
5.609% |
2/15/39 |
55,100 |
53,053 |
|
3,4 |
Credit Suisse Mortgage Capital Certificates |
5.913% |
6/15/39 |
25,275 |
24,107 |
|
3 |
Credit Suisse Mortgage Capital Certificates |
5.311% |
12/15/39 |
34,410 |
32,332 |
|
3 |
DaimlerChrysler Auto Trust |
4.200% |
7/8/10 |
7,344 |
7,349 |
|
3 |
DaimlerChrysler Auto Trust |
5.330% |
8/8/10 |
15,821 |
15,890 |
|
3 |
DaimlerChrysler Auto Trust |
3.700% |
6/8/12 |
9,500 |
9,371 |
|
3,4 |
DaimlerChrysler Master Owner Trust |
2.496% |
12/15/10 |
57,000 |
56,720 |
|
3,4 |
Discover Card Master Trust |
5.650% |
12/15/15 |
27,800 |
27,921 |
|
3,4 |
Discover Card Master Trust I |
2.491% |
5/15/11 |
96,400 |
96,116 |
|
3,4 |
Discover Card Master Trust I |
2.581% |
5/15/11 |
13,650 |
13,614 |
|
3 |
Federal Housing Administration |
7.430% |
10/1/20 |
4 |
5 |
|
3 |
Fifth Third Auto Trust |
4.070% |
1/17/12 |
24,000 |
23,751 |
|
3 |
First Union National Bank Commercial Mortgage Trust |
6.223% |
12/12/33 |
12,550 |
12,124 |
|
3 |
Ford Credit Auto Owner Trust |
4.300% |
8/15/09 |
534 |
534 |
|
3 |
Ford Credit Auto Owner Trust |
4.370% |
10/15/12 |
18,800 |
18,445 |
|
3 |
GE Capital Commercial Mortgage Corp. |
6.531% |
5/15/33 |
17,000 |
17,361 |
|
3 |
GE Capital Commercial Mortgage Corp. |
6.290% |
8/11/33 |
3,000 |
2,918 |
|
3 |
GE Capital Commercial Mortgage Corp. |
5.994% |
12/10/35 |
1,908 |
1,888 |
|
3 |
GE Capital Commercial Mortgage Corp. |
6.269% |
12/10/35 |
12,200 |
12,266 |
|
3 |
GE Capital Commercial Mortgage Corp. |
5.145% |
7/10/37 |
1,340 |
1,298 |
|
3 |
GE Capital Commercial Mortgage Corp. |
4.996% |
12/10/37 |
20,000 |
18,126 |
|
3,4 |
GE Capital Commercial Mortgage Corp. |
5.518% |
3/10/44 |
36,300 |
34,629 |
|
3 |
GE Capital Credit Card Master Note Trust |
5.080% |
9/15/12 |
43,350 |
43,662 |
|
3 |
GMAC Commercial Mortgage Securities, Inc. |
6.175% |
5/15/33 |
11,829 |
11,899 |
|
3 |
GMAC Commercial Mortgage Securities, Inc. |
7.455% |
8/16/33 |
10,540 |
10,577 |
|
3 |
GMAC Commercial Mortgage Securities, Inc. |
6.465% |
4/15/34 |
13,918 |
13,628 |
|
3 |
GMAC Commercial Mortgage Securities, Inc. |
6.700% |
4/15/34 |
16,500 |
16,918 |
|
3 |
GMAC Commercial Mortgage Securities, Inc. |
6.420% |
5/15/35 |
1,515 |
1,512 |
|
3 |
GMAC Commercial Mortgage Securities, Inc. |
4.908% |
3/10/38 |
2,000 |
1,893 |
|
3 |
GMAC Commercial Mortgage Securities, Inc. |
4.646% |
4/10/40 |
4,100 |
4,027 |
|
3 |
GS Mortgage Securities Corp. II |
4.608% |
1/10/40 |
20,000 |
19,067 |
|
3 |
GS Mortgage Securities Corp. II |
5.993% |
8/10/45 |
19,545 |
18,774 |
|
3,4 |
Gracechurch Card Funding PLC |
2.481% |
9/15/10 |
143,000 |
142,653 |
|
3,4 |
Gracechurch Card Funding PLC |
2.481% |
11/15/10 |
16,700 |
16,613 |
|
3 |
Greenwich Capital Commercial Funding Corp. |
4.948% |
1/11/35 |
8,250 |
8,118 |
|
3 |
Greenwich Capital Commercial Funding Corp. |
5.317% |
6/10/36 |
15,995 |
15,552 |
|
3 |
Greenwich Capital Commercial Funding Corp. |
5.117% |
4/10/37 |
6,375 |
6,405 |
|
3 |
Greenwich Capital Commercial Funding Corp. |
5.224% |
4/10/37 |
28,200 |
26,780 |
|
3 |
Honda Auto Receivables Owner Trust |
4.610% |
8/17/09 |
4,348 |
4,349 |
|
3 |
Honda Auto Receivables Owner Trust |
5.300% |
7/21/10 |
7,265 |
7,308 |
|
3 |
Honda Auto Receivables Owner Trust |
5.120% |
10/15/10 |
37,145 |
37,224 |
|
3 |
Honda Auto Receivables Owner Trust |
4.880% |
9/18/14 |
9,375 |
9,432 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
6.260% |
3/15/33 |
18,859 |
19,457 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
5.050% |
12/12/34 |
11,000 |
9,958 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
4.985% |
1/12/37 |
15,000 |
14,519 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
5.255% |
7/12/37 |
1,790 |
1,739 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
5.376% |
7/12/37 |
12,180 |
12,370 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
5.160% |
4/15/43 |
32,873 |
33,048 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
6.065% |
4/15/45 |
28,900 |
28,442 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
5.992% |
6/15/49 |
43,450 |
43,184 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
6.007% |
6/15/49 |
32,575 |
31,259 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
5.794% |
2/12/51 |
40,860 |
38,894 |
|
3 |
JPMorgan Chase Commercial Mortgage Securities |
5.855% |
2/12/51 |
10,650 |
10,523 |
|
3,4 |
JPMorgan Chase Commercial Mortgage Securities |
5.882% |
2/15/51 |
26,620 |
25,500 |
|
3 |
LB Commerical Conduit Mortgage Trust |
6.780% |
6/15/31 |
23,026 |
23,329 |
|
3 |
LB-UBS Commercial Mortgage Trust |
7.370% |
8/15/26 |
17,560 |
17,635 |
|
3 |
LB-UBS Commercial Mortgage Trust |
4.742% |
2/15/30 |
6,350 |
5,889 |
|
3 |
LB-UBS Commercial Mortgage Trust |
4.553% |
7/15/30 |
1,625 |
1,621 |
|
3 |
LB-UBS Commercial Mortgage Trust |
5.197% |
11/15/30 |
20,925 |
19,887 |
|
3 |
LB-UBS Commercial Mortgage Trust |
6.133% |
12/15/30 |
8,190 |
7,884 |
|
3 |
LB-UBS Commercial Mortgage Trust |
4.853% |
9/15/31 |
18,700 |
18,476 |
|
3,4 |
LB-UBS Commercial Mortgage Trust |
5.661% |
3/15/39 |
8,700 |
8,430 |
|
3 |
LB-UBS Commercial Mortgage Trust |
5.430% |
2/15/40 |
17,500 |
16,323 |
|
3,4 |
LB-UBS Commercial Mortgage Trust |
6.317% |
4/15/41 |
29,400 |
28,783 |
|
3 |
LB-UBS Commercial Mortgage Trust |
5.866% |
9/15/45 |
40,150 |
38,431 |
|
3,4 |
MBNA Credit Card Master Note Trust |
2.471% |
12/15/10 |
186,219 |
186,158 |
|
3,4 |
MBNA Credit Card Master Note Trust |
2.601% |
2/15/11 |
161,525 |
161,302 |
|
3 |
MBNA Credit Card Master Note Trust |
4.300% |
2/15/11 |
28,262 |
28,307 |
|
3,4 |
MBNA Credit Card Master Note Trust |
2.863% |
12/15/11 |
4,500 |
4,462 |
|
3,4 |
MBNA Credit Card Master Note Trust |
2.491% |
2/15/12 |
72,000 |
71,495 |
|
3,4 |
MBNA Credit Card Master Note Trust |
2.551% |
3/15/12 |
100,000 |
99,073 |
|
3 |
MBNA Master Credit Card Trust |
7.000% |
2/15/12 |
62,654 |
64,654 |
|
3 |
Merrill Lynch Mortgage Trust |
5.236% |
11/12/35 |
7,125 |
6,892 |
|
3 |
Merrill Lynch Mortgage Trust |
5.841% |
5/12/39 |
11,050 |
10,749 |
|
3,4 |
Merrill Lynch Mortgage Trust |
6.023% |
6/12/50 |
20,683 |
19,889 |
|
3 |
Merrill Lynch Mortgage Trust |
5.425% |
2/12/51 |
4,200 |
4,086 |
|
3 |
Merrill Lynch Mortgage Trust |
5.690% |
2/12/51 |
14,000 |
13,179 |
|
3 |
Merrill Lynch/Countrywide Commercial Mortgage Trust |
6.104% |
6/12/46 |
41,100 |
40,506 |
|
3 |
Merrill Lynch/Countrywide Commercial Mortgage Trust |
5.378% |
8/12/48 |
22,600 |
21,006 |
|
3 |
Merrill Lynch/Countrywide Commercial Mortgage Trust |
5.590% |
9/12/49 |
12,350 |
12,132 |
|
3 |
Merrill Lynch/Countrywide Commercial Mortgage Trust |
5.700% |
9/12/49 |
33,800 |
31,974 |
|
3 |
Morgan Stanley Capital I |
6.480% |
11/15/30 |
277 |
277 |
|
3 |
Morgan Stanley Capital I |
4.970% |
12/15/41 |
4,400 |
4,198 |
|
3 |
Morgan Stanley Capital I |
5.168% |
1/14/42 |
4,600 |
4,366 |
|
3 |
Morgan Stanley Capital I |
5.230% |
9/15/42 |
21,650 |
20,590 |
|
3 |
Morgan Stanley Capital I |
5.943% |
10/15/42 |
4,150 |
4,055 |
|
3 |
Morgan Stanley Capital I |
6.457% |
1/11/43 |
20,150 |
19,881 |
|
3 |
Morgan Stanley Capital I |
5.809% |
12/12/49 |
18,800 |
17,908 |
|
3 |
Morgan Stanley Capital I |
5.090% |
10/12/52 |
9,300 |
9,226 |
|
3 |
Morgan Stanley Dean Witter Capital I |
6.660% |
2/15/33 |
4,742 |
4,679 |
|
3 |
Morgan Stanley Dean Witter Capital I |
6.390% |
7/15/33 |
4,811 |
4,977 |
|
3 |
Morgan Stanley Dean Witter Capital I |
4.920% |
3/12/35 |
20,000 |
19,259 |
|
3 |
Morgan Stanley Dean Witter Capital I |
6.390% |
10/15/35 |
5,000 |
4,849 |
|
3 |
Morgan Stanley Dean Witter Capital I |
4.740% |
11/13/36 |
1,340 |
1,287 |
|
3 |
Nissan Auto Receivables Owner Trust |
4.190% |
7/15/09 |
2,048 |
2,049 |
|
3 |
Nissan Auto Receivables Owner Trust |
5.050% |
11/17/14 |
7,875 |
7,899 |
|
3 |
Oncor Electric Delivery Transition Bond Co. |
4.030% |
2/15/12 |
1,732 |
1,728 |
|
3 |
PECO Energy Transition Trust |
6.130% |
3/1/09 |
141 |
141 |
|
3 |
PG&E Energy Recovery Funding LLC |
4.140% |
9/25/12 |
8,625 |
8,627 |
|
3 |
PG&E Energy Recovery Funding LLC |
5.030% |
3/25/14 |
13,650 |
13,753 |
|
3 |
PP&L Transition Bond Co. LLC |
7.150% |
6/25/09 |
272 |
275 |
|
3 |
PSE&G Transition Funding LLC |
6.890% |
12/15/17 |
19,800 |
21,355 |
|
3 |
Prudential Securities Secured Financing |
7.193% |
6/16/31 |
3,406 |
3,448 |
|
3 |
Public Service New Hampshire Funding LLC |
5.730% |
11/1/10 |
106 |
106 |
|
3 |
Residential Asset Securities Corp. |
6.489% |
10/25/30 |
427 |
384 |
|
3 |
Salomon Brothers Mortgage Securities VII |
4.112% |
9/25/33 |
23,142 |
22,251 |
|
3 |
USAA Auto Owner Trust |
4.550% |
2/16/10 |
5,732 |
5,736 |
|
3 |
USAA Auto Owner Trust |
5.360% |
2/15/11 |
13,385 |
13,464 |
|
3 |
Volkswagen Auto Loan Enhanced Trust |
4.800% |
7/20/09 |
1,711 |
1,712 |
|
3 |
Wachovia Bank Commercial Mortgage Trust |
4.440% |
11/15/34 |
2,048 |
1,959 |
|
3 |
Wachovia Bank Commercial Mortgage Trust |
4.980% |
11/15/34 |
900 |
813 |
|
3 |
Wachovia Bank Commercial Mortgage Trust |
4.867% |
2/15/35 |
900 |
866 |
|
3 |
Wachovia Bank Commercial Mortgage Trust |
4.719% |
1/15/41 |
4,100 |
4,080 |
|
3 |
Wachovia Bank Commercial Mortgage Trust |
5.001% |
7/15/41 |
4,275 |
4,290 |
|
3 |
Wachovia Bank Commercial Mortgage Trust |
5.118% |
7/15/42 |
2,825 |
2,667 |
|
3,4 |
Wachovia Bank Commercial Mortgage Trust |
5.928% |
5/15/43 |
14,800 |
14,446 |
|
3 |
Wachovia Bank Commercial Mortgage Trust |
4.699% |
5/15/44 |
17,104 |
15,776 |
|
3,4 |
Wachovia Bank Commercial Mortgage Trust |
5.384% |
10/15/44 |
16,866 |
16,155 |
|
3,4 |
Wachovia Bank Commercial Mortgage Trust |
5.440% |
12/15/44 |
36,750 |
35,069 |
|
3 |
World Omni Auto Receivables Trust |
3.940% |
10/15/12 |
19,200 |
18,964 |
|
|
|
|
|
|
4,044,737 |
|
Finance (8.6%) |
|
|
|
|
|
|
|
Banking (3.7%) |
|
|
|
|
|
|
Abbey National PLC |
7.950% |
10/26/29 |
11,965 |
12,175 |
|
|
AmSouth Bank NA |
5.200% |
4/1/15 |
6,200 |
5,461 |
|
|
Associates Corp. of North America |
6.950% |
11/1/18 |
350 |
359 |
|
|
BAC Capital Trust XI |
6.625% |
5/23/36 |
6,325 |
5,941 |
|
3 |
BB&T Capital Trust IV |
6.820% |
6/12/57 |
4,825 |
4,270 |
|
|
BB&T Corp. |
6.500% |
8/1/11 |
2,990 |
3,056 |
|
|
BB&T Corp. |
4.750% |
10/1/12 |
7,025 |
6,776 |
|
|
BB&T Corp. |
5.200% |
12/23/15 |
5,550 |
5,012 |
|
|
BB&T Corp. |
5.625% |
9/15/16 |
6,950 |
6,368 |
|
|
BB&T Corp. |
4.900% |
6/30/17 |
625 |
538 |
|
|
BB&T Corp. |
5.250% |
11/1/19 |
4,275 |
3,687 |
|
|
BB&T Corp. |
6.750% |
6/7/36 |
9,475 |
8,468 |
|
|
Banc One Corp. |
7.625% |
10/15/26 |
1,475 |
1,541 |
|
5 |
Banco Bilbao Vizcaya ARG |
5.750% |
7/20/17 |
23,425 |
24,783 |
|
|
Bank One Corp. |
7.875% |
8/1/10 |
21,180 |
22,395 |
|
|
Bank One Corp. |
5.250% |
1/30/13 |
4,725 |
4,689 |
|
|
Bank One Corp. |
4.900% |
4/30/15 |
2,475 |
2,340 |
|
3 |
Bank of America Capital Trust XIV |
5.630% |
12/31/49 |
7,880 |
6,187 |
|
|
Bank of America Corp. |
4.500% |
8/1/10 |
9,850 |
9,874 |
|
|
Bank of America Corp. |
4.250% |
10/1/10 |
9,625 |
9,579 |
|
|
Bank of America Corp. |
4.375% |
12/1/10 |
2,500 |
2,494 |
|
|
Bank of America Corp. |
5.375% |
8/15/11 |
4,900 |
4,955 |
|
|
Bank of America Corp. |
6.250% |
4/15/12 |
5,925 |
6,150 |
|
|
Bank of America Corp. |
4.875% |
9/15/12 |
4,525 |
4,480 |
|
|
Bank of America Corp. |
4.875% |
1/15/13 |
1,940 |
1,884 |
|
|
Bank of America Corp. |
4.900% |
5/1/13 |
29,550 |
29,200 |
|
|
Bank of America Corp. |
5.375% |
6/15/14 |
3,750 |
3,641 |
|
|
Bank of America Corp. |
5.125% |
11/15/14 |
27,725 |
27,273 |
|
|
Bank of America Corp. |
5.250% |
12/1/15 |
4,900 |
4,739 |
|
|
Bank of America Corp. |
5.750% |
8/15/16 |
13,925 |
13,598 |
|
|
Bank of America Corp. |
5.625% |
10/14/16 |
15,300 |
14,545 |
|
|
Bank of America Corp. |
5.300% |
3/15/17 |
30,650 |
28,851 |
|
|
Bank of America Corp. |
5.420% |
3/15/17 |
24,275 |
22,293 |
|
|
Bank of America Corp. |
6.100% |
6/15/17 |
6,650 |
6,449 |
|
|
Bank of America Corp. |
6.000% |
9/1/17 |
1,225 |
1,173 |
|
|
Bank of America Corp. |
5.750% |
12/1/17 |
5,100 |
4,823 |
|
|
Bank of America Corp. |
5.650% |
5/1/18 |
20,000 |
18,680 |
|
|
Bank of America Corp. |
5.625% |
3/8/35 |
7,700 |
6,326 |
|
|
Bank of America Corp. |
6.000% |
10/15/36 |
17,150 |
15,981 |
|
|
Bank of America Corp. |
6.500% |
9/15/37 |
2,950 |
2,774 |
|
|
Bank of New York Mellon |
4.950% |
1/14/11 |
2,550 |
2,575 |
|
|
Bank of New York Mellon |
6.375% |
4/1/12 |
400 |
420 |
|
|
Bank of New York Mellon |
4.950% |
11/1/12 |
23,400 |
23,444 |
|
|
Bank of New York Mellon |
4.500% |
4/1/13 |
2,650 |
2,596 |
|
|
Bank of New York Mellon |
4.950% |
3/15/15 |
7,400 |
7,141 |
|
|
Bank of Tokyo-Mitsubishi |
8.400% |
4/15/10 |
8,525 |
9,060 |
|
|
BankAmerica Capital II |
8.000% |
12/15/26 |
100 |
101 |
|
|
Barclays Bank PLC |
5.450% |
9/12/12 |
6,100 |
6,179 |
|
3 |
Barclays Bank PLC |
6.278% |
12/29/49 |
3,295 |
2,693 |
|
|
Charter One Bank N.A. |
5.500% |
4/26/11 |
13,150 |
13,326 |
|
3,5 |
Citicorp Lease Pass-Through Trust |
8.040% |
12/15/19 |
18,025 |
19,292 |
|
3 |
Citigroup Capital XXI |
8.300% |
12/21/57 |
19,325 |
18,162 |
|
|
Citigroup, Inc. |
4.250% |
7/29/09 |
11,105 |
11,150 |
|
|
Citigroup, Inc. |
4.125% |
2/22/10 |
4,175 |
4,136 |
|
|
Citigroup, Inc. |
4.625% |
8/3/10 |
7,900 |
7,817 |
|
|
Citigroup, Inc. |
6.500% |
1/18/11 |
16,870 |
17,511 |
|
|
Citigroup, Inc. |
5.125% |
2/14/11 |
3,500 |
3,491 |
|
|
Citigroup, Inc. |
5.100% |
9/29/11 |
41,120 |
40,839 |
|
|
Citigroup, Inc. |
6.000% |
2/21/12 |
7,450 |
7,378 |
|
|
Citigroup, Inc. |
5.250% |
2/27/12 |
11,850 |
11,756 |
|
|
Citigroup, Inc. |
5.500% |
8/27/12 |
2,925 |
2,883 |
|
|
Citigroup, Inc. |
5.625% |
8/27/12 |
8,090 |
8,011 |
|
|
Citigroup, Inc. |
5.300% |
10/17/12 |
27,950 |
27,331 |
|
|
Citigroup, Inc. |
5.500% |
4/11/13 |
26,575 |
25,665 |
|
|
Citigroup, Inc. |
5.125% |
5/5/14 |
1,675 |
1,577 |
|
|
Citigroup, Inc. |
5.000% |
9/15/14 |
20,293 |
18,439 |
|
|
Citigroup, Inc. |
4.875% |
5/7/15 |
1,075 |
981 |
|
|
Citigroup, Inc. |
4.700% |
5/29/15 |
4,075 |
3,742 |
|
|
Citigroup, Inc. |
5.300% |
1/7/16 |
24,600 |
23,173 |
|
|
Citigroup, Inc. |
5.500% |
2/15/17 |
4,000 |
3,635 |
|
|
Citigroup, Inc. |
6.000% |
8/15/17 |
18,300 |
17,724 |
|
|
Citigroup, Inc. |
6.125% |
11/21/17 |
10,550 |
10,260 |
|
|
Citigroup, Inc. |
6.125% |
5/15/18 |
7,725 |
7,472 |
|
|
Citigroup, Inc. |
6.625% |
6/15/32 |
1,525 |
1,390 |
|
|
Citigroup, Inc. |
5.875% |
2/22/33 |
13,800 |
11,455 |
|
|
Citigroup, Inc. |
6.000% |
10/31/33 |
2,575 |
2,170 |
|
|
Citigroup, Inc. |
5.850% |
12/11/34 |
2,000 |
1,697 |
|
|
Citigroup, Inc. |
6.125% |
8/25/36 |
9,475 |
8,071 |
|
|
Citigroup, Inc. |
5.875% |
5/29/37 |
3,875 |
3,324 |
|
|
Citigroup, Inc. |
6.875% |
3/5/38 |
22,925 |
22,202 |
|
|
Colonial Bank NA |
6.375% |
12/1/15 |
1,425 |
1,200 |
|
|
Comerica Bank |
5.750% |
11/21/16 |
12,700 |
11,458 |
|
|
Comerica Bank |
5.200% |
8/22/17 |
5,450 |
4,573 |
|
3 |
Comerica Capital Trust II |
6.576% |
2/20/37 |
4,350 |
3,029 |
|
|
Compass Bank |
6.400% |
10/1/17 |
2,700 |
2,621 |
|
|
Compass Bank |
5.900% |
4/1/26 |
2,400 |
2,022 |
|
|
Credit Suisse First Boston USA, Inc. |
4.700% |
6/1/09 |
1,900 |
1,914 |
|
|
Credit Suisse First Boston USA, Inc. |
4.125% |
1/15/10 |
6,975 |
6,990 |
|
|
Credit Suisse First Boston USA, Inc. |
4.875% |
8/15/10 |
24,600 |
24,881 |
|
|
Credit Suisse First Boston USA, Inc. |
5.250% |
3/2/11 |
9,275 |
9,415 |
|
|
Credit Suisse First Boston USA, Inc. |
5.500% |
8/16/11 |
10,125 |
10,384 |
|
|
Credit Suisse First Boston USA, Inc. |
6.125% |
11/15/11 |
11,750 |
12,030 |
|
|
Credit Suisse First Boston USA, Inc. |
6.500% |
1/15/12 |
3,950 |
4,096 |
|
|
Credit Suisse First Boston USA, Inc. |
5.500% |
8/15/13 |
5,110 |
5,112 |
|
|
Credit Suisse First Boston USA, Inc. |
4.875% |
1/15/15 |
19,700 |
18,587 |
|
|
Credit Suisse First Boston USA, Inc. |
5.125% |
8/15/15 |
14,815 |
13,683 |
|
|
Credit Suisse First Boston USA, Inc. |
5.375% |
3/2/16 |
1,175 |
1,132 |
|
|
Credit Suisse First Boston USA, Inc. |
7.125% |
7/15/32 |
2,825 |
3,082 |
|
3 |
Credit Suisse First Boston USA, Inc. |
5.860% |
5/15/49 |
9,250 |
7,815 |
|
|
Credit Suisse New York |
5.000% |
5/15/13 |
17,325 |
17,074 |
|
|
Credit Suisse New York |
6.000% |
2/15/18 |
5,200 |
5,023 |
|
|
Deutsche Bank AG London |
5.375% |
10/12/12 |
15,875 |
16,094 |
|
|
Deutsche Bank AG London |
6.000% |
9/1/17 |
26,925 |
27,376 |
|
|
Deutsche Bank Financial |
4.875% |
5/20/13 |
13,200 |
13,022 |
|
|
Deutsche Bank Financial LLC |
5.375% |
3/2/15 |
5,400 |
5,251 |
|
|
Fifth Third Bank |
4.200% |
2/23/10 |
4,275 |
4,108 |
|
|
Fifth Third Bank |
6.250% |
5/1/13 |
5,950 |
5,463 |
|
|
Fifth Third Bank |
4.750% |
2/1/15 |
10,950 |
9,216 |
|
|
Fifth Third Bank |
4.500% |
6/1/18 |
1,550 |
1,194 |
|
|
Fifth Third Bank |
8.250% |
3/1/38 |
5,450 |
4,411 |
|
3 |
Fifth Third Cap Trust IV |
6.500% |
4/15/67 |
4,350 |
2,813 |
|
|
First Tennessee Bank |
5.050% |
1/15/15 |
1,825 |
1,565 |
|
|
First Union Institutional Capital I |
8.040% |
12/1/26 |
1,825 |
1,764 |
|
|
FirstStar Bank |
7.125% |
12/1/09 |
2,685 |
2,800 |
|
|
Fleet Capital Trust II |
7.920% |
12/11/26 |
2,315 |
2,381 |
|
|
Golden West Financial Corp. |
4.750% |
10/1/12 |
3,315 |
3,211 |
|
5 |
HBOS Treasury Services PLC |
5.250% |
2/21/17 |
21,125 |
20,792 |
|
5 |
HBOS Treasury Services PLC |
6.750% |
5/21/18 |
7,250 |
6,788 |
|
|
HSBC Bank PLC |
6.950% |
3/15/11 |
11,350 |
11,817 |
|
|
HSBC Bank USA |
3.875% |
9/15/09 |
925 |
923 |
|
|
HSBC Bank USA |
4.625% |
4/1/14 |
4,125 |
3,963 |
|
|
HSBC Bank USA |
5.875% |
11/1/34 |
2,475 |
2,215 |
|
|
HSBC Bank USA |
5.625% |
8/15/35 |
4,825 |
4,121 |
|
|
HSBC Holdings PLC |
7.500% |
7/15/09 |
2,040 |
2,090 |
|
|
HSBC Holdings PLC |
7.625% |
5/17/32 |
1,250 |
1,311 |
|
|
HSBC Holdings PLC |
7.350% |
11/27/32 |
2,515 |
2,514 |
|
|
HSBC Holdings PLC |
6.500% |
5/2/36 |
22,475 |
21,023 |
|
|
HSBC Holdings PLC |
6.500% |
9/15/37 |
16,575 |
15,411 |
|
|
HSBC Holdings PLC |
6.800% |
6/1/38 |
7,200 |
6,821 |
|
5 |
ICICI Bank Ltd. |
6.625% |
10/3/12 |
6,425 |
6,316 |
|
|
JPM Capital Trust |
6.550% |
9/29/36 |
8,725 |
7,639 |
|
|
JPMorgan Capital Trust |
5.875% |
3/15/35 |
4,225 |
3,488 |
|
|
JPMorgan Chase & Co. |
6.750% |
2/1/11 |
14,862 |
15,476 |
|
|
JPMorgan Chase & Co. |
5.600% |
6/1/11 |
37,400 |
38,376 |
|
|
JPMorgan Chase & Co. |
4.850% |
6/16/11 |
13,925 |
14,014 |
|
|
JPMorgan Chase & Co. |
4.500% |
1/15/12 |
9,400 |
9,315 |
|
|
JPMorgan Chase & Co. |
6.625% |
3/15/12 |
12,575 |
13,157 |
|
|
JPMorgan Chase & Co. |
5.375% |
10/1/12 |
26,725 |
27,000 |
|
|
JPMorgan Chase & Co. |
5.750% |
1/2/13 |
7,150 |
7,215 |
|
|
JPMorgan Chase & Co. |
4.750% |
5/1/13 |
8,575 |
8,256 |
|
|
JPMorgan Chase & Co. |
5.375% |
1/15/14 |
2,575 |
2,600 |
|
|
JPMorgan Chase & Co. |
4.875% |
3/15/14 |
19,540 |
19,286 |
|
|
JPMorgan Chase & Co. |
5.125% |
9/15/14 |
12,960 |
12,174 |
|
|
JPMorgan Chase & Co. |
4.750% |
3/1/15 |
2,800 |
2,658 |
|
|
JPMorgan Chase & Co. |
5.250% |
5/1/15 |
9,250 |
9,108 |
|
|
JPMorgan Chase & Co. |
5.150% |
10/1/15 |
3,860 |
3,695 |
|
|
JPMorgan Chase & Co. |
5.875% |
6/13/16 |
5,075 |
4,985 |
|
|
JPMorgan Chase & Co. |
6.125% |
6/27/17 |
14,975 |
14,726 |
|
|
JPMorgan Chase & Co. |
6.000% |
10/1/17 |
2,950 |
2,913 |
|
|
JPMorgan Chase & Co. |
6.000% |
1/15/18 |
4,275 |
4,154 |
|
|
JPMorgan Chase & Co. |
5.850% |
8/1/35 |
825 |
666 |
|
|
JPMorgan Chase & Co. |
6.400% |
5/15/38 |
13,575 |
12,751 |
|
|
JPMorgan Chase Capital XXII |
6.450% |
2/2/37 |
12,275 |
10,525 |
|
|
JPMorgan Chase Capital XXV |
6.800% |
10/1/37 |
9,650 |
8,575 |
|
|
Key Bank NA |
7.000% |
2/1/11 |
725 |
727 |
|
|
Key Bank NA |
5.500% |
9/17/12 |
6,800 |
6,182 |
|
|
Key Bank NA |
5.800% |
7/1/14 |
1,175 |
1,057 |
|
|
Key Bank NA |
4.950% |
9/15/15 |
7,175 |
6,088 |
|
|
Key Bank NA |
5.450% |
3/3/16 |
7,175 |
6,002 |
|
|
KeyCorp |
6.500% |
5/14/13 |
6,750 |
5,951 |
|
|
MBNA America Bank NA |
4.625% |
8/3/09 |
3,450 |
3,468 |
|
|
MBNA America Bank NA |
6.625% |
6/15/12 |
3,465 |
3,666 |
|
|
MBNA Corp. |
7.500% |
3/15/12 |
3,245 |
3,490 |
|
|
MBNA Corp. |
6.125% |
3/1/13 |
4,900 |
5,069 |
|
|
MBNA Corp. |
5.000% |
6/15/15 |
4,375 |
4,223 |
|
|
Manufacturers & Traders Trust Co. |
6.625% |
12/4/17 |
8,350 |
8,091 |
|
3 |
Manufacturers & Traders Trust Co. |
5.585% |
12/28/20 |
550 |
476 |
|
|
Marshall & Ilsley Bank |
5.250% |
9/4/12 |
1,150 |
1,083 |
|
|
Marshall & Ilsley Bank |
4.850% |
6/16/15 |
700 |
569 |
|
|
Marshall & Ilsley Bank |
5.000% |
1/17/17 |
250 |
219 |
|
|
Marshall & Ilsley Corp. |
4.375% |
8/1/09 |
2,675 |
2,600 |
|
|
Mellon Bank NA |
4.750% |
12/15/14 |
3,650 |
3,507 |
|
3 |
Mellon Capital IV |
6.244% |
6/29/49 |
200 |
167 |
|
|
Mellon Funding Corp. |
6.400% |
5/14/11 |
450 |
463 |
|
|
Mellon Funding Corp. |
5.000% |
12/1/14 |
1,100 |
1,065 |
|
|
NB Capital Trust II |
7.830% |
12/15/26 |
5,000 |
4,952 |
|
|
NB Capital Trust IV |
8.250% |
4/15/27 |
3,400 |
3,413 |
|
|
National City Bank |
4.150% |
8/1/09 |
6,675 |
6,409 |
|
|
National City Bank |
4.500% |
3/15/10 |
7,525 |
6,849 |
|
|
National City Bank |
6.250% |
3/15/11 |
575 |
510 |
|
|
National City Bank |
4.625% |
5/1/13 |
3,225 |
2,614 |
|
|
National City Corp. |
4.900% |
1/15/15 |
1,700 |
1,301 |
|
|
National City Corp. |
6.875% |
5/15/19 |
850 |
636 |
|
3 |
National City Preferred Capital Trust I |
12.000% |
12/31/49 |
7,025 |
6,314 |
|
|
National Westminster Bank PLC |
7.375% |
10/1/09 |
450 |
464 |
|
|
NationsBank Corp. |
6.800% |
3/15/28 |
725 |
729 |
|
5 |
Nationwide Building Society |
5.500% |
7/18/12 |
24,775 |
25,141 |
|
|
North Fork Bancorp., Inc. |
5.875% |
8/15/12 |
250 |
239 |
|
5 |
Northern Rock PLC |
5.625% |
6/22/17 |
46,200 |
46,504 |
|
|
|
PNC Bank NA |
4.875% |
9/21/17 |
9,750 |
8,613 |
|
|
|
PNC Bank NA |
6.000% |
12/7/17 |
1,425 |
1,363 |
|
|
|
PNC Bank NA |
6.875% |
4/1/18 |
175 |
176 |
|
|
|
PNC Funding Corp. |
4.500% |
3/10/10 |
500 |
499 |
|
|
|
PNC Funding Corp. |
5.125% |
12/14/10 |
5,750 |
5,762 |
|
|
|
PNC Funding Corp. |
5.250% |
11/15/15 |
10,250 |
9,559 |
|
|
|
PNC Funding Corp. |
5.625% |
2/1/17 |
1,075 |
1,002 |
|
|
|
Regions Bank |
7.500% |
5/15/18 |
5,275 |
5,191 |
|
|
|
Regions Financial Corp. |
4.375% |
12/1/10 |
1,000 |
981 |
|
|
|
Regions Financial Corp. |
7.000% |
3/1/11 |
4,275 |
4,364 |
|
|
|
Regions Financial Corp. |
6.375% |
5/15/12 |
13,100 |
12,938 |
|
|
|
Regions Financial Corp. |
7.375% |
12/10/37 |
4,950 |
4,243 |
|
|
3 |
Regions Financial Corp. |
6.625% |
5/15/47 |
5,075 |
3,511 |
|
|
|
Royal Bank of Canada |
4.125% |
1/26/10 |
13,450 |
13,548 |
|
|
|
Royal Bank of Scotland Group PLC |
6.375% |
2/1/11 |
1,675 |
1,717 |
|
|
|
Royal Bank of Scotland Group PLC |
5.000% |
11/12/13 |
13,125 |
12,829 |
|
|
|
Royal Bank of Scotland Group PLC |
5.050% |
1/8/15 |
9,925 |
9,484 |
|
|
3 |
Royal Bank of Scotland Group PLC |
7.640% |
3/31/49 |
4,975 |
4,534 |
|
|
3 |
Royal Bank of Scotland Group PLC |
7.648% |
8/29/49 |
22,895 |
22,208 |
|
|
3 |
Royal Bank of Scotland Group PLC |
5.512% |
9/29/49 |
6,774 |
5,793 |
|
|
|
Santander Central Hispano Issuances |
7.625% |
9/14/10 |
12,500 |
13,223 |
|
|
|
Santander Finance Issuances |
6.375% |
2/15/11 |
1,400 |
1,443 |
|
|
|
Sanwa Bank Ltd. |
8.350% |
7/15/09 |
5,600 |
5,813 |
|
|
|
Sanwa Bank Ltd. |
7.400% |
6/15/11 |
12,800 |
13,597 |
|
|
|
Southtrust Corp. |
5.800% |
6/15/14 |
3,075 |
3,025 |
|
|
|
Sovereign Bancorp, Inc. |
4.800% |
9/1/10 |
8,275 |
7,298 |
|
|
|
Sovereign Bancorp, Inc. |
8.750% |
5/30/18 |
1,650 |
1,663 |
|
|
|
Sovereign Bank |
5.125% |
3/15/13 |
2,900 |
2,260 |
|
|
3,5 |
Standard Chartered PLC |
6.409% |
12/31/49 |
7,100 |
5,838 |
|
|
|
State Street Capital Trust |
5.300% |
1/15/16 |
3,425 |
3,245 |
|
|
|
Sumitomo Bank International Finance NV |
8.500% |
6/15/09 |
6,475 |
6,724 |
|
|
|
Sumitomo Mitsui Banking Corp. |
8.000% |
6/15/12 |
16,075 |
17,460 |
|
|
|
SunTrust Banks, Inc. |
6.375% |
4/1/11 |
8,455 |
8,784 |
|
|
|
SunTrust Banks, Inc. |
5.250% |
11/5/12 |
8,150 |
8,013 |
|
|
|
SunTrust Banks, Inc. |
5.000% |
9/1/15 |
350 |
320 |
|
|
|
SunTrust Banks, Inc. |
6.000% |
9/11/17 |
7,075 |
6,818 |
|
|
|
SunTrust Banks, Inc. |
5.450% |
12/1/17 |
500 |
449 |
|
|
|
SunTrust Banks, Inc. |
7.250% |
3/15/18 |
1,100 |
1,098 |
|
|
|
SunTrust Banks, Inc. |
6.000% |
2/15/26 |
3,925 |
3,313 |
|
|
3 |
SunTrust Banks, Inc. |
5.853% |
12/31/49 |
2,875 |
2,137 |
|
|
3 |
SunTrust Capital VIII |
6.100% |
12/1/66 |
3,635 |
2,940 |
|
|
|
Swiss Bank Corp. |
7.000% |
10/15/15 |
2,825 |
2,976 |
|
|
|
Swiss Bank Corp. |
7.375% |
6/15/17 |
4,175 |
4,499 |
|
|
|
Synovus Financial Corp. |
5.125% |
6/15/17 |
4,925 |
4,163 |
|
|
|
The Chase Manhattan Corp. |
7.875% |
6/15/10 |
450 |
476 |
|
|
|
UBS AG |
5.875% |
7/15/16 |
2,800 |
2,764 |
|
|
|
UBS AG |
5.875% |
12/20/17 |
32,534 |
32,057 |
|
|
|
UBS AG |
5.750% |
4/25/18 |
9,475 |
9,245 |
|
|
|
UFJ Finance Aruba AEC |
6.750% |
7/15/13 |
18,250 |
18,885 |
|
|
|
US Bank NA |
6.375% |
8/1/11 |
6,975 |
7,330 |
|
|
|
US Bank NA |
6.300% |
2/4/14 |
9,150 |
9,560 |
|
|
|
US Bank NA |
4.950% |
10/30/14 |
6,575 |
6,456 |
|
|
3 |
USB Capital IX |
6.189% |
4/15/49 |
10,040 |
7,513 |
|
|
|
Union Bank of California NA |
5.950% |
5/11/16 |
4,700 |
4,478 |
|
|
|
Union Planters Corp. |
7.750% |
3/1/11 |
7,525 |
7,819 |
|
|
|
UnionBanCal Corp. |
5.250% |
12/16/13 |
1,475 |
1,418 |
|
|
|
Wachovia Bank NA |
4.800% |
11/1/14 |
4,250 |
4,019 |
|
|
|
Wachovia Bank NA |
4.875% |
2/1/15 |
17,300 |
15,787 |
|
|
|
Wachovia Bank NA |
5.000% |
8/15/15 |
1,110 |
1,003 |
|
|
|
Wachovia Bank NA |
5.600% |
3/15/16 |
2,175 |
2,074 |
|
|
|
Wachovia Bank NA |
6.000% |
11/15/17 |
9,825 |
9,331 |
|
|
|
Wachovia Bank NA |
5.850% |
2/1/37 |
18,225 |
14,829 |
|
|
|
Wachovia Bank NA |
6.600% |
1/15/38 |
14,625 |
13,036 |
|
|
3 |
Wachovia Capital Trust III |
5.800% |
3/15/42 |
12,925 |
8,918 |
|
|
|
Wachovia Corp. |
7.875% |
2/15/10 |
3,700 |
3,879 |
|
|
|
Wachovia Corp. |
4.375% |
6/1/10 |
6,875 |
6,796 |
|
|
|
Wachovia Corp. |
7.800% |
8/18/10 |
12,905 |
13,615 |
|
|
|
Wachovia Corp. |
5.300% |
10/15/11 |
17,775 |
17,490 |
|
|
|
Wachovia Corp. |
5.500% |
5/1/13 |
14,975 |
14,499 |
|
|
|
Wachovia Corp. |
4.875% |
2/15/14 |
6,150 |
5,562 |
|
|
|
Wachovia Corp. |
5.250% |
8/1/14 |
1,120 |
1,044 |
|
|
|
Wachovia Corp. |
5.625% |
10/15/16 |
4,900 |
4,545 |
|
|
|
Wachovia Corp. |
5.750% |
6/15/17 |
29,200 |
26,966 |
|
|
|
Wachovia Corp. |
5.750% |
2/1/18 |
2,200 |
2,026 |
|
|
|
Wachovia Corp. |
6.605% |
10/1/25 |
275 |
248 |
|
|
5 |
Wachovia Corp. |
8.000% |
12/15/26 |
5,125 |
5,286 |
|
|
|
Wachovia Corp. |
7.500% |
4/15/35 |
1,100 |
1,102 |
|
|
|
Wachovia Corp. |
5.500% |
8/1/35 |
3,600 |
2,777 |
|
|
|
Wachovia Corp. |
6.550% |
10/15/35 |
775 |
682 |
|
|
|
Washington Mutual Bank |
6.875% |
6/15/11 |
19,345 |
16,632 |
|
|
|
Washington Mutual Bank |
5.500% |
1/15/13 |
7,075 |
5,858 |
|
|
|
Washington Mutual Bank |
5.650% |
8/15/14 |
6,800 |
5,594 |
|
|
|
Washington Mutual Bank |
5.125% |
1/15/15 |
6,050 |
4,582 |
|
|
|
Washington Mutual Bank |
6.750% |
5/20/36 |
575 |
420 |
|
|
|
Washington Mutual, Inc. |
4.200% |
1/15/10 |
1,900 |
1,731 |
|
|
|
Washington Mutual, Inc. |
5.500% |
8/24/11 |
750 |
664 |
|
|
|
Washington Mutual, Inc. |
5.000% |
3/22/12 |
4,000 |
3,353 |
|
|
|
Washington Mutual, Inc. |
5.250% |
9/15/17 |
2,900 |
2,261 |
|
|
|
Wells Fargo & Co. |
4.200% |
1/15/10 |
29,379 |
29,477 |
|
|
|
Wells Fargo & Co. |
4.875% |
1/12/11 |
15,575 |
15,787 |
|
|
|
Wells Fargo & Co. |
6.375% |
8/1/11 |
2,000 |
2,098 |
|
|
|
Wells Fargo & Co. |
5.300% |
8/26/11 |
4,800 |
4,838 |
|
|
|
Wells Fargo & Co. |
5.125% |
9/1/12 |
4,000 |
3,967 |
|
|
|
Wells Fargo & Co. |
5.250% |
10/23/12 |
19,850 |
19,705 |
|
|
|
Wells Fargo & Co. |
4.375% |
1/31/13 |
9,175 |
8,753 |
|
|
|
Wells Fargo & Co. |
4.950% |
10/16/13 |
10,350 |
10,064 |
|
|
|
Wells Fargo & Co. |
4.625% |
4/15/14 |
275 |
269 |
|
|
|
Wells Fargo & Co. |
5.625% |
12/11/17 |
22,850 |
21,967 |
|
|
|
Wells Fargo & Co. |
5.375% |
2/7/35 |
5,625 |
4,680 |
|
|
|
Wells Fargo Bank NA |
6.450% |
2/1/11 |
15,800 |
16,565 |
|
|
|
Wells Fargo Bank NA |
4.750% |
2/9/15 |
12,875 |
12,366 |
|
|
|
Wells Fargo Bank NA |
5.750% |
5/16/16 |
7,925 |
8,059 |
|
|
|
Wells Fargo Bank NA |
5.950% |
8/26/36 |
10,275 |
9,828 |
|
|
|
Wells Fargo Capital X |
5.950% |
12/15/36 |
3,075 |
2,752 |
|
|
3 |
Wells Fargo Capital XIII |
7.700% |
12/29/49 |
8,050 |
8,121 |
|
|
|
Wells Fargo Financial |
5.500% |
8/1/12 |
3,975 |
4,036 |
|
|
|
World Savings Bank, FSB |
4.125% |
12/15/09 |
3,500 |
3,470 |
|
|
|
Zions Bancorp. |
5.500% |
11/16/15 |
6,950 |
5,524 |
|
|
|
Brokerage (1.7%) |
|
|
|
|
|
|
|
Ameriprise Financial Inc. |
5.350% |
11/15/10 |
5,900 |
5,808 |
|
|
|
Ameriprise Financial Inc. |
5.650% |
11/15/15 |
4,925 |
4,674 |
|
|
3 |
Ameriprise Financial Inc. |
7.518% |
6/1/66 |
1,250 |
1,072 |
|
|
|
Bear Stearns Co., Inc. |
4.550% |
6/23/10 |
7,850 |
7,781 |
|
|
|
Bear Stearns Co., Inc. |
4.500% |
10/28/10 |
3,100 |
3,065 |
|
|
|
Bear Stearns Co., Inc. |
5.500% |
8/15/11 |
350 |
347 |
|
|
|
Bear Stearns Co., Inc. |
5.350% |
2/1/12 |
28,625 |
28,386 |
|
|
|
Bear Stearns Co., Inc. |
6.950% |
8/10/12 |
10,000 |
10,410 |
|
|
|
Bear Stearns Co., Inc. |
5.700% |
11/15/14 |
18,240 |
17,560 |
|
|
|
Bear Stearns Co., Inc. |
5.300% |
10/30/15 |
7,715 |
7,147 |
|
|
|
Bear Stearns Co., Inc. |
5.550% |
1/22/17 |
5,150 |
4,759 |
|
|
|
Bear Stearns Co., Inc. |
6.400% |
10/2/17 |
4,975 |
4,930 |
|
|
|
Bear Stearns Co., Inc. |
7.250% |
2/1/18 |
13,450 |
14,062 |
|
|
|
Bear Stearns Co., Inc. |
4.650% |
7/2/18 |
500 |
417 |
|
|
|
BlackRock, Inc. |
6.250% |
9/15/17 |
4,000 |
4,033 |
|
|
|
Dean Witter, Discover & Co. |
6.750% |
10/15/13 |
800 |
807 |
|
|
5 |
Fidelity Investments |
7.490% |
6/15/19 |
1,000 |
1,107 |
|
|
3 |
Goldman Sachs Capital II |
5.793% |
6/1/49 |
8,625 |
6,100 |
|
|
|
Goldman Sachs Group, Inc. |
4.500% |
6/15/10 |
5,945 |
5,951 |
|
|
|
Goldman Sachs Group, Inc. |
6.875% |
1/15/11 |
7,750 |
8,065 |
|
|
|
Goldman Sachs Group, Inc. |
6.600% |
1/15/12 |
33,600 |
35,056 |
|
|
|
Goldman Sachs Group, Inc. |
5.450% |
11/1/12 |
15,800 |
15,896 |
|
|
|
Goldman Sachs Group, Inc. |
5.250% |
4/1/13 |
12,415 |
12,322 |
|
|
|
Goldman Sachs Group, Inc. |
4.750% |
7/15/13 |
1,950 |
1,886 |
|
|
|
Goldman Sachs Group, Inc. |
5.250% |
10/15/13 |
13,675 |
13,556 |
|
|
|
Goldman Sachs Group, Inc. |
5.150% |
1/15/14 |
3,015 |
3,016 |
|
|
|
Goldman Sachs Group, Inc. |
5.000% |
10/1/14 |
15,550 |
15,328 |
|
|
|
Goldman Sachs Group, Inc. |
5.125% |
1/15/15 |
14,735 |
14,223 |
|
|
|
Goldman Sachs Group, Inc. |
5.350% |
1/15/16 |
17,250 |
16,679 |
|
|
|
Goldman Sachs Group, Inc. |
5.750% |
10/1/16 |
5,475 |
5,362 |
|
|
|
Goldman Sachs Group, Inc. |
5.625% |
1/15/17 |
14,750 |
13,722 |
|
|
|
Goldman Sachs Group, Inc. |
6.250% |
9/1/17 |
30,500 |
30,328 |
|
|
|
Goldman Sachs Group, Inc. |
5.950% |
1/18/18 |
22,500 |
21,582 |
|
|
|
Goldman Sachs Group, Inc. |
6.150% |
4/1/18 |
18,725 |
18,202 |
|
|
|
Goldman Sachs Group, Inc. |
5.950% |
1/15/27 |
11,250 |
9,689 |
|
|
|
Goldman Sachs Group, Inc. |
6.125% |
2/15/33 |
11,825 |
10,330 |
|
|
|
Goldman Sachs Group, Inc. |
6.345% |
2/15/34 |
19,225 |
16,387 |
|
|
|
Goldman Sachs Group, Inc. |
6.450% |
5/1/36 |
3,200 |
2,867 |
|
|
|
Goldman Sachs Group, Inc. |
6.750% |
10/1/37 |
46,175 |
42,747 |
|
|
|
Janus Capital Group |
5.875% |
9/15/11 |
3,375 |
3,264 |
|
|
|
Janus Capital Group |
6.700% |
6/15/17 |
2,575 |
2,387 |
|
|
|
Jefferies Group Inc. |
6.450% |
6/8/27 |
14,325 |
11,214 |
|
|
|
Jefferies Group Inc. |
6.250% |
1/15/36 |
7,700 |
5,603 |
|
|
|
Lazard Group |
6.850% |
6/15/17 |
7,775 |
6,818 |
|
|
3 |
Lehman Brothers Capital Trust VII |
5.857% |
11/29/49 |
6,575 |
4,208 |
|
|
|
Lehman Brothers Holdings, Inc. |
3.950% |
11/10/09 |
6,925 |
6,737 |
|
|
|
Lehman Brothers Holdings, Inc. |
4.250% |
1/27/10 |
5,875 |
5,695 |
|
|
|
Lehman Brothers Holdings, Inc. |
4.500% |
7/26/10 |
6,275 |
6,032 |
|
|
|
Lehman Brothers Holdings, Inc. |
7.875% |
8/15/10 |
7,000 |
7,116 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.000% |
1/14/11 |
8,400 |
8,131 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.750% |
7/18/11 |
2,200 |
2,166 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.625% |
1/18/12 |
11,325 |
11,246 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.250% |
2/6/12 |
9,625 |
9,165 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.000% |
7/19/12 |
8,800 |
8,512 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.625% |
1/24/13 |
13,500 |
12,816 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.750% |
5/17/13 |
16,575 |
15,855 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.200% |
9/26/14 |
3,445 |
3,212 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.500% |
4/4/16 |
18,925 |
17,161 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.750% |
1/3/17 |
700 |
619 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.500% |
7/19/17 |
19,975 |
18,592 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.875% |
11/15/17 |
575 |
516 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.750% |
12/28/17 |
19,650 |
18,534 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.875% |
5/2/18 |
13,175 |
12,802 |
|
|
|
Lehman Brothers Holdings, Inc. |
7.000% |
9/27/27 |
11,475 |
10,738 |
|
|
3 |
Lehman Brothers Holdings, Inc. |
6.000% |
5/3/32 |
7,200 |
5,950 |
|
|
|
Lehman Brothers Holdings, Inc. |
7.500% |
5/11/38 |
11,575 |
10,710 |
|
|
|
Merrill Lynch & Co., Inc. |
4.125% |
9/10/09 |
7,775 |
7,765 |
|
|
|
Merrill Lynch & Co., Inc. |
4.250% |
2/8/10 |
10,955 |
10,797 |
|
|
|
Merrill Lynch & Co., Inc. |
4.790% |
8/4/10 |
1,775 |
1,754 |
|
|
Merrill Lynch & Co., Inc. |
5.770% |
7/25/11 |
4,325 |
4,345 |
|
|
Merrill Lynch & Co., Inc. |
6.050% |
8/15/12 |
10,650 |
10,285 |
|
|
Merrill Lynch & Co., Inc. |
5.450% |
2/5/13 |
18,500 |
17,362 |
|
|
Merrill Lynch & Co., Inc. |
6.150% |
4/25/13 |
28,000 |
27,305 |
|
|
Merrill Lynch & Co., Inc. |
5.000% |
2/3/14 |
6,675 |
6,107 |
|
|
Merrill Lynch & Co., Inc. |
5.450% |
7/15/14 |
3,750 |
3,567 |
|
|
Merrill Lynch & Co., Inc. |
5.000% |
1/15/15 |
18,775 |
16,579 |
|
|
Merrill Lynch & Co., Inc. |
6.050% |
5/16/16 |
3,550 |
3,260 |
|
|
Merrill Lynch & Co., Inc. |
5.700% |
5/2/17 |
20,600 |
18,270 |
|
|
Merrill Lynch & Co., Inc. |
6.400% |
8/28/17 |
13,750 |
12,742 |
|
|
Merrill Lynch & Co., Inc. |
6.875% |
4/25/18 |
15,075 |
14,326 |
|
|
Merrill Lynch & Co., Inc. |
6.500% |
7/15/18 |
425 |
393 |
|
|
Merrill Lynch & Co., Inc. |
6.875% |
11/15/18 |
19 |
18 |
|
|
Merrill Lynch & Co., Inc. |
6.220% |
9/15/26 |
19,050 |
16,561 |
|
|
Merrill Lynch & Co., Inc. |
6.110% |
1/29/37 |
5,625 |
4,580 |
|
|
Merrill Lynch & Co., Inc. |
7.750% |
5/14/38 |
13,275 |
12,781 |
|
|
Morgan Stanley Dean Witter |
4.000% |
1/15/10 |
19,250 |
19,108 |
|
|
Morgan Stanley Dean Witter |
4.250% |
5/15/10 |
25,980 |
25,351 |
|
|
Morgan Stanley Dean Witter |
6.750% |
4/15/11 |
17,110 |
17,635 |
|
|
Morgan Stanley Dean Witter |
5.625% |
1/9/12 |
6,525 |
6,499 |
|
|
Morgan Stanley Dean Witter |
6.600% |
4/1/12 |
12,995 |
13,273 |
|
|
Morgan Stanley Dean Witter |
5.750% |
8/31/12 |
9,400 |
9,334 |
|
|
Morgan Stanley Dean Witter |
5.300% |
3/1/13 |
17,950 |
17,345 |
|
|
Morgan Stanley Dean Witter |
4.750% |
4/1/14 |
26,250 |
23,677 |
|
|
Morgan Stanley Dean Witter |
6.000% |
4/28/15 |
15,575 |
15,000 |
|
|
Morgan Stanley Dean Witter |
5.375% |
10/15/15 |
7,100 |
6,533 |
|
|
Morgan Stanley Dean Witter |
5.750% |
10/18/16 |
17,025 |
15,570 |
|
|
Morgan Stanley Dean Witter |
5.450% |
1/9/17 |
11,125 |
9,953 |
|
|
Morgan Stanley Dean Witter |
5.550% |
4/27/17 |
3,575 |
3,199 |
|
|
Morgan Stanley Dean Witter |
5.950% |
12/28/17 |
22,050 |
20,135 |
|
|
Morgan Stanley Dean Witter |
6.625% |
4/1/18 |
24,575 |
23,395 |
|
|
Morgan Stanley Dean Witter |
6.250% |
8/9/26 |
18,525 |
16,366 |
|
|
Morgan Stanley Dean Witter |
7.250% |
4/1/32 |
9,415 |
9,552 |
|
3 |
Schwab Capital Trust I |
7.500% |
11/15/37 |
2,150 |
1,945 |
|
|
Finance Companies (1.6%) |
|
|
|
|
|
|
Allied Capital Corp. |
6.000% |
4/1/12 |
3,125 |
2,917 |
|
|
American Exoress Co. |
7.000% |
3/19/18 |
12,775 |
12,943 |
|
|
American Express Bank, FSB |
5.550% |
10/17/12 |
4,225 |
4,157 |
|
|
American Express Bank, FSB |
5.500% |
4/16/13 |
10,000 |
9,941 |
|
|
American Express Bank, FSB |
6.000% |
9/13/17 |
5,200 |
4,942 |
|
|
American Express Centurion Bank |
4.375% |
7/30/09 |
2,300 |
2,313 |
|
|
American Express Centurion Bank |
5.200% |
11/26/10 |
1,975 |
1,993 |
|
|
American Express Centurion Bank |
5.550% |
10/17/12 |
3,100 |
3,095 |
|
|
American Express Centurion Bank |
6.000% |
9/13/17 |
4,650 |
4,640 |
|
|
American Express Co. |
4.750% |
6/17/09 |
2,150 |
2,164 |
|
|
American Express Co. |
4.875% |
7/15/13 |
1,500 |
1,438 |
|
|
American Express Co. |
5.500% |
9/12/16 |
3,600 |
3,356 |
|
|
American Express Co. |
6.150% |
8/28/17 |
8,525 |
8,140 |
|
|
American Express Co. |
8.150% |
3/19/38 |
2,500 |
2,721 |
|
3 |
American Express Co. |
6.800% |
9/1/66 |
7,565 |
7,174 |
|
|
American Express Credit Corp. |
5.000% |
12/2/10 |
6,075 |
6,174 |
|
|
American Express Credit Corp. |
5.875% |
5/2/13 |
15,450 |
15,383 |
|
5 |
American Express Travel |
5.250% |
11/21/11 |
7,750 |
7,705 |
|
|
American General Finance Corp. |
3.875% |
10/1/09 |
4,000 |
3,904 |
|
|
American General Finance Corp. |
4.875% |
5/15/10 |
5,100 |
4,961 |
|
|
American General Finance Corp. |
5.625% |
8/17/11 |
7,625 |
7,378 |
|
|
American General Finance Corp. |
4.875% |
7/15/12 |
1,650 |
1,529 |
|
|
American General Finance Corp. |
5.850% |
6/1/13 |
17,870 |
16,614 |
|
|
American General Finance Corp. |
5.750% |
9/15/16 |
4,925 |
4,286 |
|
|
American General Finance Corp. |
6.900% |
12/15/17 |
20,725 |
18,438 |
|
|
Block Financial LLC |
7.875% |
1/15/13 |
2,000 |
2,144 |
|
|
CIT Group Co. of Canada |
4.650% |
7/1/10 |
7,550 |
6,484 |
|
|
CIT Group Co. of Canada |
5.600% |
11/2/11 |
5,300 |
4,240 |
|
|
CIT Group Co. of Canada |
5.200% |
6/1/15 |
8,575 |
6,003 |
|
|
CIT Group, Inc. |
4.250% |
2/1/10 |
3,475 |
3,054 |
|
|
CIT Group, Inc. |
5.200% |
11/3/10 |
3,525 |
2,992 |
|
|
CIT Group, Inc. |
4.750% |
12/15/10 |
3,525 |
3,005 |
|
|
CIT Group, Inc. |
5.600% |
4/27/11 |
6,375 |
5,220 |
|
|
CIT Group, Inc. |
5.800% |
7/28/11 |
5,325 |
4,380 |
|
|
CIT Group, Inc. |
7.625% |
11/30/12 |
7,325 |
6,373 |
|
|
CIT Group, Inc. |
5.400% |
3/7/13 |
7,450 |
5,988 |
|
|
CIT Group, Inc. |
5.000% |
2/13/14 |
125 |
97 |
|
|
CIT Group, Inc. |
5.125% |
9/30/14 |
5,625 |
4,043 |
|
|
CIT Group, Inc. |
5.000% |
2/1/15 |
4,175 |
3,084 |
|
|
CIT Group, Inc. |
5.400% |
1/30/16 |
2,750 |
2,032 |
|
|
CIT Group, Inc. |
5.850% |
9/15/16 |
6,450 |
4,813 |
|
|
CIT Group, Inc. |
5.650% |
2/13/17 |
8,825 |
6,431 |
|
|
CIT Group, Inc. |
6.000% |
4/1/36 |
2,150 |
1,610 |
|
3 |
CIT Group, Inc. |
6.100% |
3/15/67 |
225 |
111 |
|
|
Capital One Bank |
5.000% |
6/15/09 |
4,075 |
4,017 |
|
|
Capital One Bank |
5.750% |
9/15/10 |
1,975 |
1,960 |
|
|
Capital One Bank |
6.500% |
6/13/13 |
1,725 |
1,708 |
|
|
Capital One Capital III |
7.686% |
8/15/36 |
7,650 |
6,335 |
|
|
Capital One Capital IV |
6.745% |
2/17/37 |
3,100 |
2,341 |
|
|
Capital One Financial |
5.700% |
9/15/11 |
4,025 |
3,787 |
|
|
Capital One Financial |
4.800% |
2/21/12 |
2,125 |
1,971 |
|
|
Capital One Financial |
5.500% |
6/1/15 |
6,075 |
5,443 |
|
|
Capital One Financial |
6.150% |
9/1/16 |
6,525 |
5,676 |
|
|
Capital One Financial |
5.250% |
2/21/17 |
1,775 |
1,562 |
|
|
Capital One Financial |
6.750% |
9/15/17 |
7,225 |
7,190 |
|
|
Capmark Financial Group |
5.875% |
5/10/12 |
1,775 |
1,243 |
|
|
Capmark Financial Group |
6.300% |
5/10/17 |
3,625 |
2,320 |
|
|
Countrywide Financial Corp. |
5.800% |
6/7/12 |
8,175 |
7,685 |
|
|
Countrywide Home Loan |
5.625% |
7/15/09 |
340 |
332 |
|
|
Countrywide Home Loan |
4.125% |
9/15/09 |
15,535 |
14,836 |
|
|
Countrywide Home Loan |
4.000% |
3/22/11 |
4,900 |
4,453 |
|
|
Discover Financial Services |
6.450% |
6/12/17 |
1,250 |
1,038 |
|
|
General Electric Capital Corp. |
3.250% |
6/15/09 |
4,225 |
4,231 |
|
|
General Electric Capital Corp. |
4.625% |
9/15/09 |
5,525 |
5,627 |
|
|
General Electric Capital Corp. |
8.300% |
9/20/09 |
275 |
290 |
|
|
General Electric Capital Corp. |
5.250% |
10/27/09 |
9,725 |
9,962 |
|
|
General Electric Capital Corp. |
4.250% |
9/13/10 |
5,250 |
5,314 |
|
|
General Electric Capital Corp. |
4.875% |
10/21/10 |
11,450 |
11,662 |
|
|
General Electric Capital Corp. |
5.000% |
12/1/10 |
2,650 |
2,708 |
|
|
General Electric Capital Corp. |
6.125% |
2/22/11 |
13,705 |
14,360 |
|
|
General Electric Capital Corp. |
5.500% |
4/28/11 |
15,300 |
15,769 |
|
|
General Electric Capital Corp. |
5.875% |
2/15/12 |
35,040 |
36,228 |
|
|
General Electric Capital Corp. |
4.375% |
3/3/12 |
11,200 |
11,063 |
|
|
General Electric Capital Corp. |
5.000% |
4/10/12 |
250 |
253 |
|
|
General Electric Capital Corp. |
6.000% |
6/15/12 |
18,175 |
18,792 |
|
|
General Electric Capital Corp. |
5.250% |
10/19/12 |
48,375 |
48,611 |
|
|
General Electric Capital Corp. |
5.450% |
1/15/13 |
7,675 |
7,724 |
|
|
General Electric Capital Corp. |
4.800% |
5/1/13 |
16,600 |
16,277 |
|
|
General Electric Capital Corp. |
5.500% |
6/4/14 |
15,725 |
16,147 |
|
|
General Electric Capital Corp. |
5.650% |
6/9/14 |
13,750 |
14,075 |
|
|
General Electric Capital Corp. |
5.375% |
10/20/16 |
4,450 |
4,410 |
|
|
General Electric Capital Corp. |
5.400% |
2/15/17 |
24,400 |
24,002 |
|
|
General Electric Capital Corp. |
5.625% |
9/15/17 |
9,650 |
9,557 |
|
|
General Electric Capital Corp. |
5.625% |
5/1/18 |
31,550 |
30,951 |
|
|
General Electric Capital Corp. |
6.750% |
3/15/32 |
38,585 |
39,037 |
|
|
General Electric Capital Corp. |
6.150% |
8/7/37 |
11,775 |
11,080 |
|
|
General Electric Capital Corp. |
5.875% |
1/14/38 |
63,375 |
57,370 |
|
|
3 |
General Electric Capital Corp. |
6.375% |
11/15/67 |
12,800 |
12,272 |
|
|
3 |
HSBC Finance Capital Trust IX |
5.911% |
11/30/35 |
2,700 |
2,183 |
|
|
|
HSBC Finance Corp. |
4.125% |
11/16/09 |
6,300 |
6,282 |
|
|
|
HSBC Finance Corp. |
4.625% |
9/15/10 |
16,600 |
16,645 |
|
|
|
HSBC Finance Corp. |
5.250% |
1/14/11 |
21,850 |
21,988 |
|
|
|
HSBC Finance Corp. |
5.700% |
6/1/11 |
12,300 |
12,440 |
|
|
|
HSBC Finance Corp. |
6.375% |
10/15/11 |
15,900 |
16,340 |
|
|
|
HSBC Finance Corp. |
7.000% |
5/15/12 |
10,375 |
10,803 |
|
|
|
HSBC Finance Corp. |
5.900% |
6/19/12 |
5,500 |
5,569 |
|
|
|
HSBC Finance Corp. |
6.375% |
11/27/12 |
12,190 |
12,486 |
|
|
|
HSBC Finance Corp. |
4.750% |
7/15/13 |
1,750 |
1,712 |
|
|
|
HSBC Finance Corp. |
5.250% |
1/15/14 |
5,600 |
5,552 |
|
|
|
HSBC Finance Corp. |
5.000% |
6/30/15 |
33,225 |
31,842 |
|
|
|
HSBC Finance Corp. |
5.500% |
1/19/16 |
1,850 |
1,786 |
|
|
|
Heller Financial, Inc. |
7.375% |
11/1/09 |
4,500 |
4,710 |
|
|
|
International Lease Finance Corp. |
4.875% |
9/1/10 |
1,625 |
1,538 |
|
|
|
International Lease Finance Corp. |
5.125% |
11/1/10 |
2,850 |
2,702 |
|
|
|
International Lease Finance Corp. |
4.950% |
2/1/11 |
13,350 |
12,465 |
|
|
|
International Lease Finance Corp. |
5.450% |
3/24/11 |
6,250 |
5,867 |
|
|
|
International Lease Finance Corp. |
5.750% |
6/15/11 |
21,325 |
20,064 |
|
|
|
International Lease Finance Corp. |
5.300% |
5/1/12 |
6,075 |
5,480 |
|
|
|
International Lease Finance Corp. |
5.000% |
9/15/12 |
9,350 |
8,261 |
|
|
|
International Lease Finance Corp. |
6.375% |
3/25/13 |
10,225 |
9,433 |
|
|
|
International Lease Finance Corp. |
5.625% |
9/20/13 |
8,465 |
7,492 |
|
|
|
International Lease Finance Corp. |
5.650% |
6/1/14 |
11,525 |
10,056 |
|
|
|
iStar Financial Inc. |
5.800% |
3/15/11 |
5,000 |
4,250 |
|
|
|
iStar Financial Inc. |
5.650% |
9/15/11 |
5,750 |
4,844 |
|
|
|
iStar Financial Inc. |
5.150% |
3/1/12 |
5,775 |
4,678 |
|
|
|
iStar Financial Inc. |
8.625% |
6/1/13 |
5,000 |
4,550 |
|
|
|
iStar Financial Inc. |
5.950% |
10/15/13 |
4,550 |
3,595 |
|
|
|
iStar Financial Inc. |
5.875% |
3/15/16 |
3,725 |
2,906 |
|
|
|
iStar Financial Inc. |
5.850% |
3/15/17 |
600 |
462 |
|
|
|
SLM Corp. |
4.500% |
7/26/10 |
3,175 |
2,908 |
|
|
|
SLM Corp. |
5.400% |
10/25/11 |
21,550 |
19,204 |
|
|
|
SLM Corp. |
5.375% |
1/15/13 |
5,325 |
4,448 |
|
|
|
SLM Corp. |
5.000% |
10/1/13 |
2,800 |
2,325 |
|
|
|
SLM Corp. |
5.050% |
11/14/14 |
2,400 |
1,980 |
|
|
|
SLM Corp. |
8.450% |
6/15/18 |
7,350 |
7,015 |
|
|
|
SLM Corp. |
5.625% |
8/1/33 |
6,200 |
4,665 |
|
|
|
Insurance (1.2%) |
|
|
|
|
|
|
|
ACE Capital Trust II |
9.700% |
4/1/30 |
2,200 |
2,406 |
|
|
|
ACE INA Holdings, Inc. |
5.600% |
5/15/15 |
7,375 |
7,283 |
|
|
|
ACE INA Holdings, Inc. |
5.700% |
2/15/17 |
3,150 |
3,050 |
|
|
|
ACE INA Holdings, Inc. |
5.800% |
3/15/18 |
2,125 |
2,059 |
|
|
|
AEGON Funding Corp. |
5.750% |
12/15/20 |
1,350 |
1,267 |
|
|
|
AEGON NV |
4.750% |
6/1/13 |
2,225 |
2,124 |
|
|
|
AXA Financial, Inc. |
7.750% |
8/1/10 |
1,075 |
1,126 |
|
|
|
AXA SA |
8.600% |
12/15/30 |
10,550 |
11,172 |
|
|
|
Aetna, Inc. |
7.875% |
3/1/11 |
1,700 |
1,803 |
|
|
|
Aetna, Inc. |
5.750% |
6/15/11 |
1,400 |
1,435 |
|
|
|
Aetna, Inc. |
6.000% |
6/15/16 |
11,150 |
11,093 |
|
|
|
Aetna, Inc. |
6.625% |
6/15/36 |
9,350 |
8,945 |
|
|
|
Aetna, Inc. |
6.750% |
12/15/37 |
225 |
213 |
|
|
|
Allied World Assurance |
7.500% |
8/1/16 |
6,100 |
5,772 |
|
|
|
Allstate Corp. |
7.200% |
12/1/09 |
8,740 |
9,142 |
|
|
|
Allstate Corp. |
6.125% |
2/15/12 |
2,950 |
3,025 |
|
|
|
Allstate Corp. |
5.000% |
8/15/14 |
2,475 |
2,477 |
|
|
|
Allstate Corp. |
6.125% |
12/15/32 |
2,850 |
2,710 |
|
|
|
Allstate Corp. |
5.350% |
6/1/33 |
1,120 |
952 |
|
|
|
Allstate Corp. |
5.550% |
5/9/35 |
1,625 |
1,388 |
||
|
3 |
Allstate Corp. |
6.125% |
5/15/37 |
2,700 |
2,493 |
||
|
3 |
Allstate Corp. |
6.500% |
5/15/57 |
6,525 |
5,808 |
||
|
|
Allstate Life Global Funding |
5.375% |
4/30/13 |
4,550 |
4,528 |
||
|
|
Ambac, Inc. |
5.950% |
12/5/35 |
9,000 |
3,195 |
||
|
|
Ambac, Inc. |
6.150% |
2/7/87 |
925 |
143 |
||
|
|
American General Capital II |
8.500% |
7/1/30 |
8,590 |
8,959 |
||
|
|
American International Group, Inc. |
4.700% |
10/1/10 |
1,450 |
1,425 |
||
|
|
American International Group, Inc. |
5.375% |
10/18/11 |
4,200 |
4,160 |
||
|
|
American International Group, Inc. |
4.950% |
3/20/12 |
13,125 |
12,696 |
||
|
|
American International Group, Inc. |
5.050% |
10/1/15 |
2,800 |
2,548 |
||
|
|
American International Group, Inc. |
5.600% |
10/18/16 |
1,875 |
1,747 |
||
|
|
American International Group, Inc. |
5.450% |
5/18/17 |
9,475 |
8,644 |
||
|
|
American International Group, Inc. |
5.850% |
1/16/18 |
19,000 |
17,521 |
||
|
|
American International Group, Inc. |
6.250% |
5/1/36 |
10,775 |
9,459 |
||
|
|
American International Group, Inc. |
6.250% |
3/15/37 |
935 |
736 |
||
|
3,5 |
American International Group, Inc. |
8.175% |
5/15/58 |
24,500 |
23,953 |
||
|
|
Aon Capital Trust |
8.205% |
1/1/27 |
1,200 |
1,197 |
||
|
|
Arch Capital Group Ltd. |
7.350% |
5/1/34 |
3,250 |
3,373 |
||
|
|
Aspen Insurance Holdings Ltd. |
6.000% |
8/15/14 |
3,300 |
3,117 |
||
|
|
Assurant, Inc. |
5.625% |
2/15/14 |
1,450 |
1,369 |
||
|
|
Assurant, Inc. |
6.750% |
2/15/34 |
4,100 |
3,805 |
||
|
|
Axis Capital Holdings |
5.750% |
12/1/14 |
2,700 |
2,617 |
||
|
|
Berkshire Hathaway Finance Corp. |
4.125% |
1/15/10 |
7,900 |
7,992 |
||
|
|
Berkshire Hathaway Finance Corp. |
4.200% |
12/15/10 |
4,150 |
4,224 |
||
|
|
Berkshire Hathaway Finance Corp. |
4.750% |
5/15/12 |
3,500 |
3,563 |
||
|
5 |
Berkshire Hathaway Finance Corp. |
4.600% |
5/15/13 |
8,375 |
8,271 |
||
|
|
Berkshire Hathaway Finance Corp. |
4.625% |
10/15/13 |
4,475 |
4,461 |
||
|
|
Berkshire Hathaway Finance Corp. |
5.100% |
7/15/14 |
550 |
556 |
||
|
|
Berkshire Hathaway Finance Corp. |
4.850% |
1/15/15 |
13,400 |
13,318 |
||
|
5 |
Berkshire Hathaway Finance Corp. |
5.400% |
5/15/18 |
6,325 |
6,310 |
||
|
|
CIGNA Corp. |
6.350% |
3/15/18 |
1,450 |
1,465 |
||
|
|
CIGNA Corp. |
7.875% |
5/15/27 |
1,300 |
1,342 |
||
|
|
CIGNA Corp. |
6.150% |
11/15/36 |
7,100 |
6,258 |
||
|
|
CNA Financial Corp. |
6.000% |
8/15/11 |
3,225 |
3,217 |
||
|
|
CNA Financial Corp. |
5.850% |
12/15/14 |
4,225 |
3,991 |
||
|
|
CNA Financial Corp. |
6.500% |
8/15/16 |
6,950 |
6,766 |
||
|
|
Chubb Corp. |
5.750% |
5/15/18 |
2,450 |
2,373 |
||
|
|
Chubb Corp. |
6.000% |
5/11/37 |
8,600 |
7,857 |
||
|
|
Chubb Corp. |
6.500% |
5/15/38 |
2,625 |
2,548 |
||
|
3 |
Chubb Corp. |
6.375% |
3/29/67 |
7,000 |
6,465 |
||
|
|
Cincinnati Financial Corp. |
6.920% |
5/15/28 |
550 |
555 |
||
|
|
Cincinnati Financial Corp. |
6.125% |
11/1/34 |
4,300 |
3,932 |
||
|
|
Commerce Group, Inc. |
5.950% |
12/9/13 |
1,750 |
1,690 |
||
|
|
Coventry Health Care Inc. |
6.300% |
8/15/14 |
4,725 |
4,463 |
||
|
3 |
Everest Reinsurance Holdings, Inc. |
6.600% |
5/15/37 |
2,775 |
1,996 |
||
|
|
Fidelity National Financial, Inc. |
7.300% |
8/15/11 |
4,850 |
4,844 |
||
|
|
Fund American Cos., Inc. |
5.875% |
5/15/13 |
1,925 |
1,868 |
||
|
|
GE Global Insurance Holdings Corp. |
6.450% |
3/1/19 |
1,425 |
1,376 |
||
|
|
GE Global Insurance Holdings Corp. |
7.000% |
2/15/26 |
4,200 |
4,113 |
||
|
|
GE Global Insurance Holdings Corp. |
7.750% |
6/15/30 |
1,650 |
1,698 |
||
|
|
Genworth Financial, Inc. |
4.750% |
6/15/09 |
1,600 |
1,596 |
||
|
|
Genworth Financial, Inc. |
5.125% |
3/15/11 |
750 |
738 |
||
|
|
Genworth Financial, Inc. |
5.650% |
6/15/12 |
5,000 |
4,847 |
||
|
|
Genworth Financial, Inc. |
5.750% |
6/15/14 |
1,025 |
988 |
||
|
|
Genworth Financial, Inc. |
4.950% |
10/1/15 |
1,225 |
1,085 |
||
|
|
Genworth Financial, Inc. |
6.500% |
6/15/34 |
3,975 |
3,595 |
||
|
3 |
Genworth Financial, Inc. |
6.150% |
11/15/66 |
3,505 |
2,755 |
||
|
|
Hartford Financial Services Group, Inc. |
5.250% |
10/15/11 |
4,675 |
4,628 |
||
|
|
Hartford Financial Services Group, Inc. |
4.625% |
7/15/13 |
1,800 |
1,713 |
||
|
|
Hartford Financial Services Group, Inc. |
5.500% |
10/15/16 |
3,250 |
3,068 |
||
|
|
Hartford Financial Services Group, Inc. |
5.375% |
3/15/17 |
3,200 |
2,977 |
||
|
|
Hartford Financial Services Group, Inc. |
6.300% |
3/15/18 |
350 |
345 |
||
|
|
Hartford Financial Services Group, Inc. |
6.000% |
1/15/19 |
1,550 |
1,488 |
||
|
|
Hartford Financial Services Group, Inc. |
5.950% |
10/15/36 |
3,600 |
3,106 |
||
|
3 |
Hartford Financial Services Group, Inc. |
8.125% |
6/15/38 |
2,200 |
2,154 |
||
|
|
Hartford Financial Services Group, Inc. |
6.100% |
10/1/41 |
4,075 |
3,619 |
||
|
|
Humana Inc. |
6.450% |
6/1/16 |
6,025 |
5,868 |
||
|
|
Humana Inc. |
7.200% |
6/15/18 |
7,850 |
7,794 |
||
|
|
Humana Inc. |
6.300% |
8/1/18 |
250 |
233 |
||
|
|
Humana Inc. |
8.150% |
6/15/38 |
9,650 |
9,836 |
||
|
3 |
ING Capital Funding Trust III |
5.775% |
12/8/49 |
12,700 |
10,744 |
||
|
|
ING Capital Funding Trust III |
8.439% |
12/31/10 |
600 |
603 |
||
|
|
ING USA Global |
4.500% |
10/1/10 |
13,000 |
13,106 |
||
|
|
Lincoln National Corp. |
6.200% |
12/15/11 |
1,225 |
1,248 |
||
|
|
Lincoln National Corp. |
5.650% |
8/27/12 |
3,975 |
3,969 |
||
|
|
Lincoln National Corp. |
6.150% |
4/7/36 |
7,250 |
6,873 |
||
|
3 |
Lincoln National Corp. |
7.000% |
5/17/66 |
650 |
587 |
||
|
3 |
Lincoln National Corp. |
6.050% |
4/20/67 |
7,150 |
5,989 |
||
|
|
Loews Corp. |
5.250% |
3/15/16 |
3,650 |
3,520 |
||
|
|
Loews Corp. |
6.000% |
2/1/35 |
650 |
574 |
||
|
|
Marsh & McLennan Cos., Inc. |
5.150% |
9/15/10 |
3,075 |
3,041 |
||
|
|
Marsh & McLennan Cos., Inc. |
6.250% |
3/15/12 |
6,225 |
6,339 |
||
|
|
Marsh & McLennan Cos., Inc. |
5.375% |
7/15/14 |
550 |
531 |
||
|
|
Marsh & McLennan Cos., Inc. |
5.750% |
9/15/15 |
8,850 |
8,605 |
||
|
|
Marsh & McLennan Cos., Inc. |
5.875% |
8/1/33 |
1,400 |
1,188 |
||
|
|
MetLife, Inc. |
6.125% |
12/1/11 |
850 |
876 |
||
|
|
MetLife, Inc. |
5.375% |
12/15/12 |
7,475 |
7,500 |
||
|
|
MetLife, Inc. |
5.000% |
11/24/13 |
4,900 |
4,778 |
||
|
|
MetLife, Inc. |
5.500% |
6/15/14 |
650 |
652 |
||
|
|
MetLife, Inc. |
5.000% |
6/15/15 |
2,725 |
2,590 |
||
|
|
MetLife, Inc. |
6.500% |
12/15/32 |
3,450 |
3,459 |
||
|
|
MetLife, Inc. |
6.375% |
6/15/34 |
2,150 |
2,070 |
||
|
|
MetLife, Inc. |
5.700% |
6/15/35 |
975 |
856 |
||
|
|
MetLife, Inc. |
6.400% |
12/15/36 |
7,960 |
6,861 |
||
|
|
Nationwide Financial Services |
6.750% |
5/15/37 |
750 |
611 |
||
|
|
Principal Financial Group, Inc. |
6.050% |
10/15/36 |
3,000 |
2,621 |
||
|
|
Principal Life Income Funding |
5.125% |
3/1/11 |
4,675 |
4,696 |
||
|
|
Principal Life Income Funding |
5.300% |
12/14/12 |
6,675 |
6,677 |
||
|
|
Principal Life Income Funding |
5.300% |
4/24/13 |
6,750 |
6,752 |
||
|
|
Principal Life Income Funding |
5.100% |
4/15/14 |
4,825 |
4,644 |
||
|
|
Progressive Corp. |
6.375% |
1/15/12 |
1,950 |
1,992 |
||
|
|
Progressive Corp. |
6.625% |
3/1/29 |
5,175 |
5,225 |
||
|
|
Progressive Corp. |
6.250% |
12/1/32 |
325 |
294 |
||
|
3 |
Progressive Corp. |
6.700% |
6/15/37 |
8,500 |
7,296 |
||
|
|
Protective Life Secured Trust |
4.850% |
8/16/10 |
2,225 |
2,241 |
||
|
|
Prudential Financial, Inc. |
5.100% |
12/14/11 |
450 |
448 |
||
|
|
Prudential Financial, Inc. |
5.800% |
6/15/12 |
2,400 |
2,451 |
||
|
|
Prudential Financial, Inc. |
5.150% |
1/15/13 |
2,325 |
2,285 |
||
|
|
Prudential Financial, Inc. |
4.500% |
7/15/13 |
3,325 |
3,140 |
||
|
|
Prudential Financial, Inc. |
4.750% |
4/1/14 |
2,125 |
1,991 |
||
|
|
Prudential Financial, Inc. |
5.100% |
9/20/14 |
5,650 |
5,324 |
||
|
|
Prudential Financial, Inc. |
5.500% |
3/15/16 |
725 |
682 |
||
|
|
Prudential Financial, Inc. |
6.100% |
6/15/17 |
4,225 |
4,245 |
||
|
|
Prudential Financial, Inc. |
6.000% |
12/1/17 |
4,350 |
4,219 |
||
|
|
Prudential Financial, Inc. |
5.750% |
7/15/33 |
1,800 |
1,578 |
||
|
|
Prudential Financial, Inc. |
5.400% |
6/13/35 |
2,300 |
1,898 |
||
|
|
Prudential Financial, Inc. |
5.900% |
3/17/36 |
4,400 |
3,894 |
||
|
|
Prudential Financial, Inc. |
5.700% |
12/14/36 |
23,950 |
19,556 |
|
|
St. Paul Travelers Cos., Inc. |
5.500% |
12/1/15 |
1,700 |
1,692 |
|
|
St. Paul Travelers Cos., Inc. |
6.250% |
6/20/16 |
2,875 |
2,951 |
|
|
Torchmark Corp. |
6.375% |
6/15/16 |
4,225 |
4,302 |
|
|
Travelers Cos. Inc. |
5.375% |
6/15/12 |
300 |
298 |
|
|
Travelers Cos. Inc. |
5.750% |
12/15/17 |
4,450 |
4,377 |
|
|
Travelers Cos. Inc. |
5.800% |
5/15/18 |
250 |
243 |
|
3 |
Travelers Cos. Inc. |
6.250% |
3/15/37 |
2,975 |
2,531 |
|
|
Travelers Cos. Inc. |
6.250% |
6/15/37 |
16,350 |
15,066 |
|
|
Travelers Property Casualty Corp. |
6.375% |
3/15/33 |
475 |
448 |
|
|
UnitedHealth Group, Inc. |
4.125% |
8/15/09 |
6,775 |
6,739 |
|
|
UnitedHealth Group, Inc. |
5.250% |
3/15/11 |
225 |
225 |
|
|
UnitedHealth Group, Inc. |
5.500% |
11/15/12 |
11,375 |
11,224 |
|
|
UnitedHealth Group, Inc. |
4.875% |
2/15/13 |
2,700 |
2,619 |
|
|
UnitedHealth Group, Inc. |
4.875% |
4/1/13 |
2,725 |
2,627 |
|
|
UnitedHealth Group, Inc. |
5.000% |
8/15/14 |
4,925 |
4,659 |
|
|
UnitedHealth Group, Inc. |
4.875% |
3/15/15 |
2,500 |
2,324 |
|
|
UnitedHealth Group, Inc. |
6.000% |
6/15/17 |
1,300 |
1,265 |
|
|
UnitedHealth Group, Inc. |
6.000% |
11/15/17 |
1,250 |
1,227 |
|
|
UnitedHealth Group, Inc. |
6.000% |
2/15/18 |
12,050 |
11,598 |
|
|
UnitedHealth Group, Inc. |
5.800% |
3/15/36 |
1,500 |
1,253 |
|
|
UnitedHealth Group, Inc. |
6.500% |
6/15/37 |
2,125 |
1,945 |
|
|
UnitedHealth Group, Inc. |
6.625% |
11/15/37 |
4,725 |
4,405 |
|
|
UnitedHealth Group, Inc. |
6.875% |
2/15/38 |
5,525 |
5,286 |
|
|
WellPoint Inc. |
4.250% |
12/15/09 |
1,750 |
1,733 |
|
|
WellPoint Inc. |
5.000% |
1/15/11 |
5,700 |
5,655 |
|
|
WellPoint Inc. |
6.375% |
1/15/12 |
3,815 |
3,879 |
|
|
WellPoint Inc. |
6.800% |
8/1/12 |
2,710 |
2,803 |
|
|
WellPoint Inc. |
5.000% |
12/15/14 |
5,400 |
5,134 |
|
|
WellPoint Inc. |
5.250% |
1/15/16 |
750 |
700 |
|
|
WellPoint Inc. |
5.875% |
6/15/17 |
5,200 |
5,054 |
|
|
WellPoint Inc. |
5.950% |
12/15/34 |
7,250 |
6,316 |
|
|
WellPoint Inc. |
5.850% |
1/15/36 |
4,400 |
3,767 |
|
|
WellPoint Inc. |
6.375% |
6/15/37 |
7,450 |
6,699 |
|
|
Willis North America Inc. |
5.125% |
7/15/10 |
1,100 |
1,080 |
|
|
Willis North America Inc. |
5.625% |
7/15/15 |
4,550 |
4,284 |
|
|
Willis North America Inc. |
6.200% |
3/28/17 |
2,500 |
2,209 |
|
|
XL Capital Ltd. |
5.250% |
9/15/14 |
4,950 |
4,117 |
|
|
XL Capital Ltd. |
6.375% |
11/15/24 |
575 |
485 |
|
|
XL Capital Ltd. |
6.250% |
5/15/27 |
8,625 |
7,074 |
|
3 |
XL Capital Ltd. |
6.500% |
12/15/49 |
5,150 |
3,481 |
|
|
Real Estate Investment Trusts (0.4%) |
|
|
|
|
|
|
AMB Property LP |
6.300% |
6/1/13 |
2,450 |
2,453 |
|
|
Arden Realty LP |
5.250% |
3/1/15 |
1,075 |
1,055 |
|
|
AvalonBay Communities, Inc. |
5.500% |
1/15/12 |
2,450 |
2,408 |
|
|
AvalonBay Communities, Inc. |
6.125% |
11/1/12 |
1,000 |
1,003 |
|
|
AvalonBay Communities, Inc. |
5.750% |
9/15/16 |
975 |
930 |
|
|
Boston Properties, Inc. |
6.250% |
1/15/13 |
4,890 |
4,938 |
|
|
Boston Properties, Inc. |
5.625% |
4/15/15 |
5,250 |
5,006 |
|
|
Brandywine Operating Partnership |
4.500% |
11/1/09 |
4,475 |
4,328 |
|
|
Brandywine Operating Partnership |
5.625% |
12/15/10 |
2,925 |
2,848 |
|
|
Brandywine Operating Partnership |
5.750% |
4/1/12 |
4,875 |
4,594 |
|
|
Brandywine Operating Partnership |
5.400% |
11/1/14 |
1,175 |
1,040 |
|
|
Camden Property Trust |
5.700% |
5/15/17 |
7,700 |
7,055 |
|
|
Colonial Realty LP |
5.500% |
10/1/15 |
5,465 |
4,756 |
|
|
Developers Diversified Realty Corp. |
5.250% |
4/15/11 |
500 |
478 |
|
|
Developers Diversified Realty Corp. |
5.375% |
10/15/12 |
4,675 |
4,375 |
|
|
Duke Realty LP |
5.625% |
8/15/11 |
2,000 |
1,954 |
|
|
Duke Realty LP |
5.950% |
2/15/17 |
5,250 |
4,852 |
|
|
ERP Operating LP |
6.625% |
3/15/12 |
5,020 |
5,124 |
|
|
ERP Operating LP |
5.500% |
10/1/12 |
3,500 |
3,430 |
|
|
ERP Operating LP |
5.250% |
9/15/14 |
725 |
671 |
|
|
ERP Operating LP |
5.125% |
3/15/16 |
3,200 |
2,877 |
|
|
ERP Operating LP |
5.375% |
8/1/16 |
3,725 |
3,447 |
|
|
ERP Operating LP |
5.750% |
6/15/17 |
1,375 |
1,272 |
|
|
HCP Inc. |
6.700% |
1/30/18 |
6,650 |
5,976 |
|
|
HRPT Properties Trust |
6.250% |
8/15/16 |
1,750 |
1,592 |
|
|
HRPT Properties Trust |
6.250% |
6/15/17 |
6,175 |
5,685 |
|
|
Health Care Property Investors, Inc. |
6.450% |
6/25/12 |
4,800 |
4,599 |
|
|
Health Care Property Investors, Inc. |
5.650% |
12/15/13 |
9,750 |
8,857 |
|
|
Health Care Property Investors, Inc. |
6.300% |
9/15/16 |
3,200 |
2,889 |
|
|
Health Care Property Investors, Inc. |
6.000% |
1/30/17 |
2,125 |
1,820 |
|
|
Health Care Property Investors, Inc. |
5.625% |
5/1/17 |
100 |
81 |
|
|
Health Care REIT, Inc. |
6.000% |
11/15/13 |
250 |
233 |
|
|
Health Care REIT, Inc. |
6.200% |
6/1/16 |
10,675 |
9,662 |
|
|
Hospitality Properties |
5.125% |
2/15/15 |
6,245 |
5,063 |
|
|
Kimco Realty Corp. |
5.783% |
3/15/16 |
1,350 |
1,251 |
|
|
Liberty Property LP |
5.125% |
3/2/15 |
9,625 |
8,639 |
|
|
Liberty Property LP |
5.500% |
12/15/16 |
2,425 |
2,149 |
|
|
National Retail Properties |
6.875% |
10/15/17 |
11,275 |
10,397 |
|
|
Nationwide Health Properties, Inc. |
6.250% |
2/1/13 |
4,900 |
4,797 |
|
|
ProLogis |
5.250% |
11/15/10 |
2,475 |
2,446 |
|
|
ProLogis |
5.500% |
3/1/13 |
2,575 |
2,509 |
|
|
ProLogis |
5.625% |
11/15/15 |
3,525 |
3,253 |
|
|
ProLogis |
5.750% |
4/1/16 |
3,225 |
2,999 |
|
|
ProLogis |
5.625% |
11/15/16 |
3,925 |
3,592 |
|
|
Realty Income Corp. |
6.750% |
8/15/19 |
6,925 |
6,448 |
|
|
Regency Centers LP |
6.750% |
1/15/12 |
7,225 |
7,223 |
|
|
Regency Centers LP |
5.250% |
8/1/15 |
2,800 |
2,539 |
|
|
Simon Property Group Inc. |
4.875% |
8/15/10 |
7,850 |
7,800 |
|
|
Simon Property Group Inc. |
5.600% |
9/1/11 |
3,250 |
3,218 |
|
|
Simon Property Group Inc. |
5.000% |
3/1/12 |
3,975 |
3,860 |
|
|
Simon Property Group Inc. |
6.350% |
8/28/12 |
55 |
56 |
|
|
Simon Property Group Inc. |
5.300% |
5/30/13 |
2,725 |
2,645 |
|
|
Simon Property Group Inc. |
5.625% |
8/15/14 |
150 |
144 |
|
|
Simon Property Group Inc. |
5.750% |
12/1/15 |
16,025 |
15,343 |
|
|
Simon Property Group Inc. |
5.250% |
12/1/16 |
16,200 |
14,775 |
|
|
Simon Property Group Inc. |
5.875% |
3/1/17 |
3,675 |
3,510 |
|
|
Simon Property Group Inc. |
6.125% |
5/30/18 |
5,250 |
5,040 |
|
|
Tanger Factory Outlet Centers, Inc. |
6.150% |
11/15/15 |
4,250 |
3,911 |
|
|
Vornado Realty |
5.600% |
2/15/11 |
4,000 |
3,934 |
|
|
Other (0.0%) |
|
|
|
|
|
|
XTRA Finance Corp. |
5.150% |
4/1/17 |
15,400 |
15,323 |
|
|
|
|
|
|
5,463,167 |
|
Industrial (9.2%) |
|
|
|
|
|
|
|
Basic Industry (0.6%) |
|
|
|
|
|
|
Alcan, Inc. |
6.450% |
3/15/11 |
950 |
986 |
|
|
Alcan, Inc. |
4.875% |
9/15/12 |
1,050 |
1,016 |
|
|
Alcan, Inc. |
4.500% |
5/15/13 |
7,225 |
6,959 |
|
|
Alcan, Inc. |
5.200% |
1/15/14 |
875 |
857 |
|
|
Alcan, Inc. |
5.000% |
6/1/15 |
1,050 |
999 |
|
|
Alcan, Inc. |
6.125% |
12/15/33 |
8,000 |
7,253 |
|
|
Alcoa, Inc. |
6.000% |
1/15/12 |
4,225 |
4,244 |
|
|
Alcoa, Inc. |
5.375% |
1/15/13 |
5,150 |
5,042 |
|
|
Alcoa, Inc. |
5.720% |
2/23/19 |
5,773 |
5,397 |
|
|
Alcoa, Inc. |
5.870% |
2/23/22 |
1,577 |
1,437 |
|
|
Alcoa, Inc. |
5.900% |
2/1/27 |
3,200 |
2,862 |
|
|
Aluminum Co. of America |
6.750% |
1/15/28 |
750 |
740 |
|
5 |
ArcelorMittal |
5.375% |
6/1/13 |
13,650 |
13,467 |
|
5 |
ArcelorMittal |
6.125% |
6/1/18 |
11,600 |
11,301 |
|
|
BHP Billiton Finance |
4.800% |
4/15/13 |
9,090 |
8,817 |
|
|
BHP Billiton Finance |
5.250% |
12/15/15 |
5,150 |
4,959 |
|
|
BHP Finance USA Ltd. |
5.125% |
3/29/12 |
4,300 |
4,267 |
|
|
BHP Finance USA Ltd. |
5.400% |
3/29/17 |
940 |
888 |
|
|
Barrick Gold Finance Inc. |
4.875% |
11/15/14 |
3,325 |
3,124 |
|
|
Celulosa Arauco Constitution SA |
8.625% |
8/15/10 |
7,825 |
8,392 |
|
|
Celulosa Arauco Constitution SA |
5.625% |
4/20/15 |
2,625 |
2,550 |
|
|
Commercial Metals Co. |
6.500% |
7/15/17 |
2,750 |
2,802 |
|
|
Dow Chemical Co. |
6.125% |
2/1/11 |
12,500 |
12,890 |
|
|
Dow Chemical Co. |
6.000% |
10/1/12 |
2,025 |
2,080 |
|
|
Dow Chemical Co. |
5.700% |
5/15/18 |
1,225 |
1,200 |
|
|
Dow Chemical Co. |
7.375% |
11/1/29 |
3,900 |
4,160 |
|
|
E.I. du Pont de Nemours & Co. |
6.875% |
10/15/09 |
6,200 |
6,465 |
|
|
E.I. du Pont de Nemours & Co. |
4.125% |
4/30/10 |
5,350 |
5,405 |
|
|
E.I. du Pont de Nemours & Co. |
4.750% |
11/15/12 |
3,745 |
3,770 |
|
|
E.I. du Pont de Nemours & Co. |
5.000% |
1/15/13 |
2,225 |
2,244 |
|
|
E.I. du Pont de Nemours & Co. |
4.125% |
3/6/13 |
350 |
341 |
|
|
E.I. du Pont de Nemours & Co. |
5.250% |
12/15/16 |
800 |
806 |
|
|
E.I. du Pont de Nemours & Co. |
6.500% |
1/15/28 |
2,050 |
2,136 |
|
|
Eastman Chemical Co. |
7.250% |
1/15/24 |
675 |
658 |
|
|
Eastman Chemical Co. |
7.600% |
2/1/27 |
2,563 |
2,713 |
|
|
Falconbridge Ltd. |
7.350% |
6/5/12 |
1,275 |
1,346 |
|
|
Falconbridge Ltd. |
5.375% |
6/1/15 |
450 |
423 |
|
|
Freeport-McMoRan Copper & Gold Inc. |
8.250% |
4/1/15 |
11,375 |
11,745 |
|
|
Freeport-McMoRan Copper & Gold Inc. |
8.375% |
4/1/17 |
14,750 |
15,598 |
|
|
ICI Wilmington |
5.625% |
12/1/13 |
900 |
906 |
|
|
Inco Ltd. |
7.750% |
5/15/12 |
60 |
64 |
|
|
Inco Ltd. |
5.700% |
10/15/15 |
4,300 |
4,168 |
|
|
Inco Ltd. |
7.200% |
9/15/32 |
1,500 |
1,547 |
|
|
International Paper Co. |
4.000% |
4/1/10 |
500 |
487 |
|
|
International Paper Co. |
5.850% |
10/30/12 |
2,893 |
2,792 |
|
|
International Paper Co. |
5.300% |
4/1/15 |
5,650 |
5,017 |
|
|
International Paper Co. |
7.950% |
6/15/18 |
8,650 |
8,613 |
|
|
Lubrizol Corp. |
5.500% |
10/1/14 |
9,650 |
9,217 |
|
|
Lubrizol Corp. |
6.500% |
10/1/34 |
4,835 |
4,530 |
|
|
Monsanto Co. |
7.375% |
8/15/12 |
1,025 |
1,119 |
|
|
Monsanto Co. |
5.125% |
4/15/18 |
3,950 |
3,862 |
|
|
Newmont Mining |
5.875% |
4/1/35 |
3,125 |
2,669 |
|
|
Noranda, Inc. |
7.250% |
7/15/12 |
3,750 |
3,895 |
|
|
Noranda, Inc. |
6.000% |
10/15/15 |
1,450 |
1,415 |
|
|
Noranda, Inc. |
5.500% |
6/15/17 |
6,650 |
6,255 |
|
|
Nucor Corp. |
5.000% |
12/1/12 |
1,000 |
1,005 |
|
|
Nucor Corp. |
5.000% |
6/1/13 |
2,325 |
2,332 |
|
|
Nucor Corp. |
5.750% |
12/1/17 |
1,325 |
1,323 |
|
|
Nucor Corp. |
5.850% |
6/1/18 |
5,250 |
5,289 |
|
|
Nucor Corp. |
6.400% |
12/1/37 |
4,300 |
4,352 |
|
|
PPG Industries, Inc. |
5.750% |
3/15/13 |
4,900 |
4,964 |
|
|
PPG Industries, Inc. |
6.650% |
3/15/18 |
4,350 |
4,421 |
|
|
Placer Dome, Inc. |
6.450% |
10/15/35 |
2,275 |
2,196 |
|
|
Plum Creek Timber Co. |
5.875% |
11/15/15 |
4,275 |
3,780 |
|
|
Potash Corp. of Saskatchewan |
7.750% |
5/31/11 |
10,425 |
11,230 |
|
|
Potash Corp. of Saskatchewan |
4.875% |
3/1/13 |
5,000 |
4,974 |
|
|
Potash Corp. of Saskatchewan |
5.875% |
12/1/36 |
975 |
919 |
|
|
Praxair, Inc. |
6.375% |
4/1/12 |
2,250 |
2,392 |
|
|
Praxair, Inc. |
3.950% |
6/1/13 |
600 |
575 |
|
|
Praxair, Inc. |
5.250% |
11/15/14 |
7,200 |
7,203 |
|
|
Praxair, Inc. |
4.625% |
3/30/15 |
425 |
408 |
|
|
Praxair, Inc. |
5.200% |
3/15/17 |
1,400 |
1,359 |
|
|
Reliance Steel & Aluminum |
6.200% |
11/15/16 |
350 |
338 |
|
|
Reliance Steel & Aluminum |
6.850% |
11/15/36 |
650 |
601 |
|
|
Rio Tinto Finance USA Ltd. |
5.875% |
7/15/13 |
12,375 |
12,441 |
|
|
Rio Tinto Finance USA Ltd. |
6.500% |
7/15/18 |
11,150 |
11,165 |
|
|
Rio Tinto Finance USA Ltd. |
7.125% |
7/15/28 |
5,425 |
5,510 |
|
|
Rohm & Haas Co. |
5.600% |
3/15/13 |
150 |
149 |
|
|
Rohm & Haas Co. |
6.000% |
9/15/17 |
4,900 |
4,774 |
|
3 |
Rohm & Haas Co. |
9.800% |
4/15/20 |
2,381 |
2,778 |
|
|
Rohm & Haas Co. |
7.850% |
7/15/29 |
2,425 |
2,611 |
|
|
Southern Copper Corp. |
7.500% |
7/27/35 |
9,050 |
8,767 |
|
|
Teck Cominco Ltd. |
6.125% |
10/1/35 |
6,525 |
5,777 |
|
|
US Steel Corp. |
6.050% |
6/1/17 |
4,775 |
4,465 |
|
|
US Steel Corp. |
7.000% |
2/1/18 |
2,900 |
2,884 |
|
|
US Steel Corp. |
6.650% |
6/1/37 |
275 |
247 |
|
|
Vale Overseas Ltd. |
6.250% |
1/11/16 |
2,525 |
2,468 |
|
|
Vale Overseas Ltd. |
6.250% |
1/23/17 |
5,500 |
5,349 |
|
|
Vale Overseas Ltd. |
8.250% |
1/17/34 |
2,925 |
3,151 |
|
|
Vale Overseas Ltd. |
6.875% |
11/21/36 |
16,237 |
15,263 |
|
|
Westvaco Corp. |
8.200% |
1/15/30 |
1,050 |
1,011 |
|
|
Weyerhaeuser Co. |
6.750% |
3/15/12 |
16,710 |
17,180 |
|
|
Weyerhaeuser Co. |
7.375% |
3/15/32 |
8,755 |
8,789 |
|
|
Capital Goods (0.9%) |
|
|
|
|
|
3,5 |
BAE Systems Asset Trust |
7.156% |
12/15/11 |
2,046 |
2,131 |
|
5 |
BAE Systems Holdings Inc. |
5.200% |
8/15/15 |
700 |
671 |
|
|
Bemis Co. Inc. |
4.875% |
4/1/12 |
1,500 |
1,475 |
|
|
Boeing Capital Corp. |
7.375% |
9/27/10 |
3,250 |
3,497 |
|
|
Boeing Capital Corp. |
6.500% |
2/15/12 |
15,175 |
16,083 |
|
|
Boeing Capital Corp. |
5.800% |
1/15/13 |
6,540 |
6,899 |
|
|
Boeing Co. |
8.750% |
8/15/21 |
1,450 |
1,802 |
|
|
Boeing Co. |
7.250% |
6/15/25 |
2,275 |
2,567 |
|
|
Boeing Co. |
8.750% |
9/15/31 |
975 |
1,312 |
|
|
Boeing Co. |
6.125% |
2/15/33 |
950 |
973 |
|
|
Boeing Co. |
6.625% |
2/15/38 |
5,045 |
5,356 |
|
|
CRH America Inc. |
5.625% |
9/30/11 |
4,375 |
4,284 |
|
|
CRH America Inc. |
6.950% |
3/15/12 |
6,210 |
6,191 |
|
|
CRH America Inc. |
5.300% |
10/15/13 |
875 |
813 |
|
|
CRH America Inc. |
6.000% |
9/30/16 |
15,375 |
14,231 |
|
|
CRH America Inc. |
6.400% |
10/15/33 |
2,670 |
2,227 |
|
|
Caterpillar Financial Services Corp. |
4.150% |
1/15/10 |
10,000 |
10,090 |
|
|
Caterpillar Financial Services Corp. |
4.300% |
6/1/10 |
7,625 |
7,737 |
|
|
Caterpillar Financial Services Corp. |
5.125% |
10/12/11 |
700 |
718 |
|
|
Caterpillar Financial Services Corp. |
4.850% |
12/7/12 |
400 |
402 |
|
|
Caterpillar Financial Services Corp. |
4.250% |
2/8/13 |
4,725 |
4,611 |
|
|
Caterpillar Financial Services Corp. |
4.750% |
2/17/15 |
5,775 |
5,656 |
|
|
Caterpillar Financial Services Corp. |
4.625% |
6/1/15 |
3,125 |
3,029 |
|
|
Caterpillar, Inc. |
6.625% |
7/15/28 |
850 |
905 |
|
Caterpillar, Inc. |
7.300% |
5/1/31 |
700 |
801 |
|
Caterpillar, Inc. |
6.050% |
8/15/36 |
27,725 |
27,543 |
|
Caterpillar, Inc. |
6.950% |
5/1/42 |
1,275 |
1,394 |
|
Caterpillar, Inc. |
7.375% |
3/1/97 |
6,150 |
6,802 |
|
Deere & Co. |
6.950% |
4/25/14 |
6,595 |
7,260 |
|
Deere & Co. |
8.100% |
5/15/30 |
3,755 |
4,603 |
|
Deere & Co. |
7.125% |
3/3/31 |
725 |
813 |
|
Dover Corp. |
4.875% |
10/15/15 |
2,050 |
1,992 |
|
Dover Corp. |
5.450% |
3/15/18 |
8,100 |
7,950 |
|
Dover Corp. |
5.375% |
10/15/35 |
650 |
579 |
|
Dover Corp. |
6.600% |
3/15/38 |
3,275 |
3,388 |
|
Embraer Overseas Ltd. |
6.375% |
1/24/17 |
5,775 |
5,660 |
|
Emerson Electric Co. |
7.125% |
8/15/10 |
3,600 |
3,846 |
|
Emerson Electric Co. |
4.625% |
10/15/12 |
8,850 |
8,916 |
|
Emerson Electric Co. |
4.500% |
5/1/13 |
4,900 |
4,868 |
|
Emerson Electric Co. |
5.250% |
10/15/18 |
7,925 |
7,819 |
|
General Dynamics Corp. |
4.500% |
8/15/10 |
25 |
25 |
|
General Dynamics Corp. |
4.250% |
5/15/13 |
8,615 |
8,507 |
|
General Electric Co. |
5.000% |
2/1/13 |
40,815 |
40,996 |
|
General Electric Co. |
5.250% |
12/6/17 |
8,125 |
7,855 |
|
Hanson PLC |
7.875% |
9/27/10 |
1,425 |
1,508 |
|
Hanson PLC |
5.250% |
3/15/13 |
2,250 |
2,197 |
|
Hanson PLC |
6.125% |
8/15/16 |
2,250 |
2,196 |
|
Harsco Corp. |
5.750% |
5/15/18 |
6,125 |
6,115 |
|
Honeywell International, Inc. |
7.500% |
3/1/10 |
1,500 |
1,589 |
|
Honeywell International, Inc. |
6.125% |
11/1/11 |
3,125 |
3,304 |
|
Honeywell International, Inc. |
5.625% |
8/1/12 |
4,200 |
4,361 |
|
Honeywell International, Inc. |
4.250% |
3/1/13 |
1,400 |
1,382 |
|
Honeywell International, Inc. |
5.400% |
3/15/16 |
2,400 |
2,440 |
|
Honeywell International, Inc. |
5.300% |
3/15/17 |
6,475 |
6,470 |
|
Honeywell International, Inc. |
5.300% |
3/1/18 |
700 |
689 |
|
Honeywell International, Inc. |
5.700% |
3/15/36 |
2,775 |
2,649 |
|
John Deere Capital Corp |
4.950% |
12/17/12 |
3,525 |
3,546 |
|
John Deere Capital Corp. |
5.400% |
10/17/11 |
5,675 |
5,784 |
|
John Deere Capital Corp. |
5.350% |
1/17/12 |
4,400 |
4,505 |
|
John Deere Capital Corp. |
7.000% |
3/15/12 |
14,070 |
15,161 |
|
Joy Global, Inc. |
6.000% |
11/15/16 |
2,175 |
2,164 |
|
Lafarge SA |
6.150% |
7/15/11 |
675 |
678 |
|
Lafarge SA |
6.500% |
7/15/16 |
7,925 |
7,694 |
|
Lafarge SA |
7.125% |
7/15/36 |
14,925 |
13,834 |
|
Lockheed Martin Corp. |
4.121% |
3/14/13 |
2,875 |
2,770 |
|
Lockheed Martin Corp. |
7.650% |
5/1/16 |
5,325 |
6,023 |
|
Lockheed Martin Corp. |
7.750% |
5/1/26 |
600 |
676 |
|
Lockheed Martin Corp. |
6.150% |
9/1/36 |
12,225 |
12,097 |
|
Martin Marietta Material |
6.600% |
4/15/18 |
6,450 |
6,417 |
|
Masco Corp. |
5.875% |
7/15/12 |
3,185 |
3,042 |
|
Masco Corp. |
4.800% |
6/15/15 |
7,650 |
6,618 |
|
Masco Corp. |
6.125% |
10/3/16 |
100 |
90 |
|
Masco Corp. |
7.750% |
8/1/29 |
450 |
423 |
|
Masco Corp. |
6.500% |
8/15/32 |
2,450 |
1,993 |
|
Minnesota Mining & Manufacturing Corp. |
5.125% |
11/6/09 |
1,650 |
1,698 |
|
Minnesota Mining & Manufacturing Corp. |
6.375% |
2/15/28 |
4,325 |
4,743 |
|
Minnesota Mining & Manufacturing Corp. |
5.700% |
3/15/37 |
4,050 |
4,091 |
|
Mohawk Industries Inc. |
5.750% |
1/15/11 |
7,275 |
7,239 |
|
Mohawk Industries Inc. |
6.125% |
1/15/16 |
13,975 |
13,315 |
|
Northrop Grumman Corp. |
7.125% |
2/15/11 |
10,850 |
11,506 |
|
Northrop Grumman Corp. |
7.750% |
3/1/16 |
700 |
797 |
|
Northrop Grumman Corp. |
7.875% |
3/1/26 |
2,600 |
3,076 |
|
|
Northrop Grumman Corp. |
7.750% |
2/15/31 |
3,365 |
3,949 |
|
|
Raytheon Co. |
4.850% |
1/15/11 |
250 |
252 |
|
|
Raytheon Co. |
5.500% |
11/15/12 |
2,600 |
2,661 |
|
|
Raytheon Co. |
5.375% |
4/1/13 |
2,940 |
2,992 |
|
|
Raytheon Co. |
6.400% |
12/15/18 |
500 |
528 |
|
|
Raytheon Co. |
7.200% |
8/15/27 |
4,550 |
4,948 |
|
|
Republic Services, Inc. |
6.750% |
8/15/11 |
1,875 |
1,917 |
|
|
Republic Services, Inc. |
6.086% |
3/15/35 |
2,850 |
2,691 |
|
|
TRW, Inc. |
7.750% |
6/1/29 |
5,850 |
6,875 |
|
|
Textron Financial Corp. |
4.600% |
5/3/10 |
4,200 |
4,186 |
|
|
Textron Financial Corp. |
5.125% |
11/1/10 |
12,925 |
12,990 |
|
|
Textron Financial Corp. |
5.400% |
4/28/13 |
5,925 |
5,868 |
|
|
Textron, Inc. |
6.500% |
6/1/12 |
8,125 |
8,506 |
|
|
Textron, Inc. |
5.600% |
12/1/17 |
1,300 |
1,296 |
|
|
Tyco International Group SA |
6.125% |
11/1/08 |
1,100 |
1,103 |
|
|
Tyco International Group SA |
6.750% |
2/15/11 |
9,875 |
10,205 |
|
|
Tyco International Group SA |
6.375% |
10/15/11 |
12,725 |
13,147 |
|
|
Tyco International Group SA |
6.000% |
11/15/13 |
5,850 |
5,644 |
|
5 |
Tyco International Group SA |
7.000% |
12/15/19 |
2,350 |
2,419 |
|
|
United Technologies Corp. |
4.375% |
5/1/10 |
1,275 |
1,297 |
|
|
United Technologies Corp. |
7.125% |
11/15/10 |
250 |
269 |
|
|
United Technologies Corp. |
6.350% |
3/1/11 |
8,175 |
8,653 |
|
|
United Technologies Corp. |
4.875% |
5/1/15 |
5,975 |
5,938 |
|
|
United Technologies Corp. |
5.375% |
12/15/17 |
15,150 |
15,066 |
|
|
United Technologies Corp. |
8.875% |
11/15/19 |
3,150 |
4,045 |
|
|
United Technologies Corp. |
6.700% |
8/1/28 |
1,642 |
1,738 |
|
|
United Technologies Corp. |
7.500% |
9/15/29 |
2,800 |
3,234 |
|
|
United Technologies Corp. |
5.400% |
5/1/35 |
3,450 |
3,189 |
|
|
United Technologies Corp. |
6.050% |
6/1/36 |
11,175 |
11,132 |
|
|
United Technologies Corp. |
6.125% |
7/15/38 |
3,450 |
3,452 |
|
|
Vulcan Materials Co. |
6.300% |
6/15/13 |
3,200 |
3,230 |
|
|
Vulcan Materials Co. |
7.000% |
6/15/18 |
5,550 |
5,641 |
|
|
WMX Technologies Inc. |
7.100% |
8/1/26 |
1,375 |
1,389 |
|
|
Waste Management, Inc. |
7.375% |
8/1/10 |
875 |
912 |
|
|
Waste Management, Inc. |
6.375% |
11/15/12 |
800 |
816 |
|
|
Waste Management, Inc. |
5.000% |
3/15/14 |
500 |
480 |
|
|
Waste Management, Inc. |
7.750% |
5/15/32 |
525 |
576 |
|
|
Communication (2.2%) |
|
|
|
|
|
|
AT&T Inc. |
4.125% |
9/15/09 |
10,725 |
10,735 |
|
|
AT&T Inc. |
5.300% |
11/15/10 |
4,550 |
4,678 |
|
|
AT&T Inc. |
6.250% |
3/15/11 |
14,890 |
15,433 |
|
|
AT&T Inc. |
7.300% |
11/15/11 |
10,300 |
10,914 |
|
|
AT&T Inc. |
5.875% |
2/1/12 |
7,230 |
7,444 |
|
|
AT&T Inc. |
5.875% |
8/15/12 |
4,995 |
5,156 |
|
|
AT&T Inc. |
4.950% |
1/15/13 |
6,025 |
6,003 |
|
|
AT&T Inc. |
5.100% |
9/15/14 |
11,425 |
11,269 |
|
|
AT&T Inc. |
5.625% |
6/15/16 |
38,400 |
38,028 |
|
|
AT&T Inc. |
5.500% |
2/1/18 |
9,025 |
8,744 |
|
|
AT&T Inc. |
5.600% |
5/15/18 |
6,375 |
6,228 |
|
|
AT&T Inc. |
8.000% |
11/15/31 |
23,755 |
27,131 |
|
|
AT&T Inc. |
6.450% |
6/15/34 |
6,675 |
6,659 |
|
|
AT&T Inc. |
6.800% |
5/15/36 |
1,675 |
1,690 |
|
|
AT&T Inc. |
6.500% |
9/1/37 |
19,925 |
19,344 |
|
|
AT&T Inc. |
6.300% |
1/15/38 |
19,875 |
18,787 |
|
|
AT&T Inc. |
6.400% |
5/15/38 |
150 |
144 |
|
|
AT&T Wireless |
7.875% |
3/1/11 |
24,830 |
26,433 |
|
|
AT&T Wireless |
8.125% |
5/1/12 |
17,305 |
18,952 |
|
|
AT&T Wireless |
8.750% |
3/1/31 |
5,030 |
6,043 |
|
|
America Movil SA de C.V. |
5.500% |
3/1/14 |
2,575 |
2,533 |
|
America Movil SA de C.V. |
5.750% |
1/15/15 |
2,625 |
2,605 |
|
America Movil SA de C.V. |
6.375% |
3/1/35 |
10,125 |
9,720 |
|
America Movil SA de C.V. |
6.125% |
11/15/37 |
5,125 |
4,766 |
|
BellSouth Capital Funding |
7.875% |
2/15/30 |
12,950 |
14,358 |
|
BellSouth Corp. |
4.200% |
9/15/09 |
2,425 |
2,440 |
|
BellSouth Corp. |
4.750% |
11/15/12 |
4,845 |
4,800 |
|
BellSouth Corp. |
6.875% |
10/15/31 |
6,275 |
6,456 |
|
BellSouth Corp. |
6.550% |
6/15/34 |
6,800 |
6,734 |
|
BellSouth Corp. |
6.000% |
11/15/34 |
3,835 |
3,581 |
|
BellSouth Telecommunications |
6.375% |
6/1/28 |
8,365 |
8,314 |
|
Belo Corp. |
7.250% |
9/15/27 |
340 |
296 |
|
British Sky Broadcasting Corp. |
8.200% |
7/15/09 |
1,675 |
1,729 |
|
British Telecommunications PLC |
8.625% |
12/15/10 |
8,735 |
9,389 |
|
British Telecommunications PLC |
5.150% |
1/15/13 |
2,000 |
1,952 |
|
British Telecommunications PLC |
5.950% |
1/15/18 |
7,100 |
6,786 |
|
British Telecommunications PLC |
9.125% |
12/15/30 |
13,135 |
16,015 |
|
CBS Corp. |
7.875% |
7/30/30 |
575 |
549 |
|
CenturyTel Enterprises |
6.875% |
1/15/28 |
925 |
790 |
|
CenturyTel, Inc. |
7.875% |
8/15/12 |
2,375 |
2,488 |
|
CenturyTel, Inc. |
6.000% |
4/1/17 |
425 |
383 |
|
Cingular Wireless LLC |
6.500% |
12/15/11 |
2,850 |
2,962 |
|
Cingular Wireless LLC |
7.125% |
12/15/31 |
12,370 |
12,795 |
|
Comcast Cable Communications Holdings Inc. |
8.375% |
3/15/13 |
6,900 |
7,636 |
|
Comcast Cable Communications Holdings Inc. |
9.455% |
11/15/22 |
8,861 |
10,765 |
|
Comcast Cable Communications, Inc. |
6.875% |
6/15/09 |
1,400 |
1,429 |
|
Comcast Cable Communications, Inc. |
6.750% |
1/30/11 |
15,865 |
16,473 |
|
Comcast Cable Communications, Inc. |
8.875% |
5/1/17 |
2,825 |
3,274 |
|
Comcast Corp. |
5.850% |
1/15/10 |
1,925 |
1,955 |
|
Comcast Corp. |
5.500% |
3/15/11 |
1,925 |
1,935 |
|
Comcast Corp. |
5.300% |
1/15/14 |
7,825 |
7,635 |
|
Comcast Corp. |
6.500% |
1/15/15 |
5,640 |
5,754 |
|
Comcast Corp. |
5.850% |
11/15/15 |
1,000 |
983 |
|
Comcast Corp. |
5.900% |
3/15/16 |
17,625 |
17,324 |
|
Comcast Corp. |
6.300% |
11/15/17 |
16,225 |
16,246 |
|
Comcast Corp. |
5.875% |
2/15/18 |
26,925 |
26,181 |
|
Comcast Corp. |
7.050% |
3/15/33 |
1,690 |
1,714 |
|
Comcast Corp. |
6.500% |
11/15/35 |
10,400 |
9,978 |
|
Comcast Corp. |
6.450% |
3/15/37 |
1,875 |
1,750 |
|
Comcast Corp. |
6.950% |
8/15/37 |
10,900 |
10,820 |
|
Comcast Corp. |
6.400% |
5/15/38 |
150 |
139 |
|
Cox Communications, Inc. |
4.625% |
1/15/10 |
1,300 |
1,286 |
|
Cox Communications, Inc. |
6.750% |
3/15/11 |
20,400 |
21,086 |
|
Cox Communications, Inc. |
7.125% |
10/1/12 |
5,800 |
6,087 |
|
Cox Communications, Inc. |
5.450% |
12/15/14 |
11,825 |
11,389 |
|
Cox Communications, Inc. |
5.500% |
10/1/15 |
725 |
696 |
|
Deutsche Telekom International Finance |
8.500% |
6/15/10 |
24,335 |
25,721 |
|
Deutsche Telekom International Finance |
5.250% |
7/22/13 |
8,075 |
7,869 |
|
Deutsche Telekom International Finance |
5.750% |
3/23/16 |
9,225 |
9,150 |
|
Deutsche Telekom International Finance |
8.750% |
6/15/30 |
21,580 |
24,772 |
|
Embarq Corp. |
6.738% |
6/1/13 |
650 |
628 |
|
Embarq Corp. |
7.082% |
6/1/16 |
20,625 |
19,667 |
|
Embarq Corp. |
7.995% |
6/1/36 |
3,725 |
3,610 |
|
France Telecom |
7.750% |
3/1/11 |
15,475 |
16,462 |
|
France Telecom |
8.500% |
3/1/31 |
24,575 |
29,893 |
|
GTE Corp. |
8.750% |
11/1/21 |
3,760 |
4,331 |
|
GTE Corp. |
6.940% |
4/15/28 |
4,620 |
4,625 |
|
Gannett Co., Inc. |
6.375% |
4/1/12 |
5,025 |
4,876 |
|
Grupo Televisa SA |
6.625% |
3/18/25 |
4,125 |
4,063 |
|
Grupo Televisa SA |
8.500% |
3/11/32 |
750 |
868 |
|
Koninklijke KPN NV |
8.000% |
10/1/10 |
780 |
828 |
|
Koninklijke KPN NV |
8.375% |
10/1/30 |
5,615 |
6,709 |
|
McGraw-Hill Cos. Inc. |
5.375% |
11/15/12 |
1,550 |
1,547 |
|
McGraw-Hill Cos. Inc. |
5.900% |
11/15/17 |
5,975 |
5,860 |
|
McGraw-Hill Cos. Inc. |
6.550% |
11/15/37 |
7,125 |
6,762 |
|
New England Telephone & Telegraph Co. |
7.875% |
11/15/29 |
775 |
861 |
|
News America Holdings, Inc. |
9.250% |
2/1/13 |
2,841 |
3,250 |
|
News America Holdings, Inc. |
8.000% |
10/17/16 |
4,425 |
4,940 |
|
News America Holdings, Inc. |
7.700% |
10/30/25 |
900 |
988 |
|
News America Holdings, Inc. |
8.150% |
10/17/36 |
2,625 |
2,966 |
|
News America Holdings, Inc. |
7.750% |
12/1/45 |
1,775 |
1,918 |
|
News America Inc. |
5.300% |
12/15/14 |
5,925 |
5,814 |
|
News America Inc. |
7.250% |
5/18/18 |
150 |
161 |
|
News America Inc. |
6.550% |
3/15/33 |
275 |
268 |
|
News America Inc. |
6.200% |
12/15/34 |
16,765 |
15,656 |
|
News America Inc. |
6.400% |
12/15/35 |
16,110 |
15,258 |
|
News America Inc. |
6.650% |
11/15/37 |
1,225 |
1,199 |
|
Omnicom Group Inc. |
5.900% |
4/15/16 |
925 |
903 |
|
Pacific Bell |
7.125% |
3/15/26 |
1,700 |
1,734 |
|
Qwest Communications International Inc. |
7.875% |
9/1/11 |
5,250 |
5,250 |
|
Qwest Communications International Inc. |
8.875% |
3/15/12 |
5,800 |
5,931 |
|
Qwest Communications International Inc. |
7.500% |
10/1/14 |
10,425 |
10,217 |
|
Qwest Communications International Inc. |
6.500% |
6/1/17 |
3,875 |
3,468 |
|
R.R. Donnelley & Sons Co. |
4.950% |
5/15/10 |
3,400 |
3,329 |
|
R.R. Donnelley & Sons Co. |
5.625% |
1/15/12 |
1,850 |
1,814 |
|
R.R. Donnelley & Sons Co. |
4.950% |
4/1/14 |
1,275 |
1,169 |
|
R.R. Donnelley & Sons Co. |
5.500% |
5/15/15 |
1,585 |
1,503 |
|
R.R. Donnelley & Sons Co. |
6.125% |
1/15/17 |
225 |
216 |
|
Reed Elsevier Capital |
4.625% |
6/15/12 |
1,375 |
1,325 |
|
Rogers Cable Inc. |
5.500% |
3/15/14 |
750 |
722 |
|
Rogers Communications Inc. |
7.250% |
12/15/12 |
3,940 |
4,147 |
|
Rogers Wireless Inc. |
6.375% |
3/1/14 |
11,700 |
11,656 |
|
TCI Communications, Inc. |
8.750% |
8/1/15 |
16,995 |
19,002 |
|
TCI Communications, Inc. |
7.875% |
2/15/26 |
425 |
470 |
|
Tele-Communications, Inc. |
7.875% |
8/1/13 |
14,425 |
15,599 |
|
Telecom Italia Capital |
4.000% |
1/15/10 |
4,300 |
4,238 |
|
Telecom Italia Capital |
4.875% |
10/1/10 |
3,400 |
3,373 |
|
Telecom Italia Capital |
6.200% |
7/18/11 |
9,600 |
9,826 |
|
Telecom Italia Capital |
5.250% |
11/15/13 |
7,660 |
7,133 |
|
Telecom Italia Capital |
4.950% |
9/30/14 |
4,000 |
3,641 |
|
Telecom Italia Capital |
5.250% |
10/1/15 |
8,425 |
7,768 |
|
Telecom Italia Capital |
6.999% |
6/4/18 |
350 |
353 |
|
Telecom Italia Capital |
6.375% |
11/15/33 |
5,920 |
5,267 |
|
Telecom Italia Capital |
7.200% |
7/18/36 |
3,285 |
3,178 |
|
Telecom Italia Capital |
7.721% |
6/4/38 |
2,525 |
2,613 |
|
Telefonica Emisiones SAU |
5.984% |
6/20/11 |
9,825 |
10,038 |
|
Telefonica Emisiones SAU |
5.855% |
2/4/13 |
2,500 |
2,556 |
|
Telefonica Emisiones SAU |
6.421% |
6/20/16 |
16,350 |
16,635 |
|
Telefonica Emisiones SAU |
7.045% |
6/20/36 |
15,100 |
15,995 |
|
Telefonica Europe BV |
7.750% |
9/15/10 |
12,775 |
13,450 |
|
Telefonica Europe BV |
8.250% |
9/15/30 |
5,775 |
6,794 |
|
Telefonos de Mexico SA |
4.750% |
1/27/10 |
2,850 |
2,854 |
|
Telefonos de Mexico SA |
5.500% |
1/27/15 |
18,725 |
18,233 |
|
Telus Corp. |
8.000% |
6/1/11 |
10,000 |
10,739 |
|
Thomson Corp. |
6.200% |
1/5/12 |
5,725 |
5,835 |
|
Thomson Corp. |
5.950% |
7/15/13 |
2,325 |
2,335 |
|
Thomson Corp. |
5.700% |
10/1/14 |
10,025 |
9,874 |
|
Thomson Corp. |
6.500% |
7/15/18 |
100 |
100 |
|
|
Thomson Corp. |
5.500% |
8/15/35 |
1,150 |
944 |
|
|
|
Time Warner Cable Inc. |
5.400% |
7/2/12 |
7,050 |
6,965 |
|
|
|
Time Warner Cable Inc. |
6.200% |
7/1/13 |
5,250 |
5,328 |
|
|
|
Time Warner Cable Inc. |
5.850% |
5/1/17 |
23,095 |
21,902 |
|
|
|
Time Warner Cable Inc. |
6.750% |
7/1/18 |
12,800 |
12,863 |
|
|
|
Time Warner Cable Inc. |
6.550% |
5/1/37 |
3,700 |
3,460 |
|
|
|
Time Warner Cable Inc. |
7.300% |
7/1/38 |
13,250 |
13,139 |
|
|
|
Time Warner Entertainment |
10.150% |
5/1/12 |
1,075 |
1,214 |
|
|
|
Time Warner Entertainment |
8.875% |
10/1/12 |
850 |
937 |
|
|
|
Time Warner Entertainment |
8.375% |
3/15/23 |
2,815 |
3,050 |
|
|
|
Time Warner Entertainment |
8.375% |
7/15/33 |
8,735 |
9,305 |
|
|
|
US Cellular |
6.700% |
12/15/33 |
3,800 |
3,457 |
|
|
|
US West Communications Group |
7.500% |
6/15/23 |
4,575 |
4,049 |
|
|
|
US West Communications Group |
6.875% |
9/15/33 |
6,325 |
5,123 |
|
|
|
Verizon Communications Corp. |
5.350% |
2/15/11 |
7,950 |
8,164 |
|
|
|
Verizon Communications Corp. |
4.350% |
2/15/13 |
50 |
48 |
|
|
|
Verizon Communications Corp. |
5.250% |
4/15/13 |
6,025 |
5,989 |
|
|
|
Verizon Communications Corp. |
5.550% |
2/15/16 |
11,325 |
11,063 |
|
|
|
Verizon Communications Corp. |
5.500% |
2/15/18 |
12,750 |
12,127 |
|
|
|
Verizon Communications Corp. |
6.100% |
4/15/18 |
16,200 |
16,091 |
|
|
|
Verizon Communications Corp. |
6.250% |
4/1/37 |
2,575 |
2,428 |
|
|
|
Verizon Communications Corp. |
6.400% |
2/15/38 |
6,325 |
5,906 |
|
|
|
Verizon Communications Corp. |
6.900% |
4/15/38 |
6,875 |
6,840 |
|
|
|
Verizon Global Funding Corp. |
7.250% |
12/1/10 |
8,050 |
8,535 |
|
|
|
Verizon Global Funding Corp. |
6.875% |
6/15/12 |
17,400 |
18,594 |
|
|
|
Verizon Global Funding Corp. |
7.375% |
9/1/12 |
7,975 |
8,604 |
|
|
|
Verizon Global Funding Corp. |
4.375% |
6/1/13 |
560 |
539 |
|
|
|
Verizon Global Funding Corp. |
7.750% |
12/1/30 |
2,890 |
3,072 |
|
|
|
Verizon Global Funding Corp. |
5.850% |
9/15/35 |
17,300 |
15,511 |
|
|
|
Verizon Maryland, Inc. |
6.125% |
3/1/12 |
500 |
509 |
|
|
|
Verizon Maryland, Inc. |
5.125% |
6/15/33 |
450 |
359 |
|
|
|
Verizon New England, Inc. |
6.500% |
9/15/11 |
4,670 |
4,810 |
|
|
|
Verizon New Jersey, Inc. |
5.875% |
1/17/12 |
7,815 |
7,981 |
|
|
|
Verizon New York, Inc. |
6.875% |
4/1/12 |
3,350 |
3,511 |
|
|
|
Verizon New York, Inc. |
7.375% |
4/1/32 |
2,625 |
2,729 |
|
|
|
Verizon Pennsylvania, Inc. |
5.650% |
11/15/11 |
11,125 |
11,212 |
|
|
|
Verizon Virginia, Inc. |
4.625% |
3/15/13 |
7,325 |
7,124 |
|
|
|
Viacom Inc. |
7.700% |
7/30/10 |
5,375 |
5,603 |
|
|
|
Viacom Inc. |
6.625% |
5/15/11 |
2,760 |
2,816 |
|
|
|
Viacom Inc. |
5.625% |
8/15/12 |
3,700 |
3,671 |
|
|
|
Viacom Inc. |
4.625% |
5/15/18 |
500 |
425 |
|
|
|
Viacom Inc. |
5.500% |
5/15/33 |
675 |
554 |
|
|
|
Vodafone AirTouch PLC |
7.750% |
2/15/10 |
1,955 |
2,050 |
|
|
|
Vodafone AirTouch PLC |
7.875% |
2/15/30 |
4,900 |
5,445 |
|
|
|
Vodafone Group PLC |
5.350% |
2/27/12 |
1,575 |
1,593 |
|
|
|
Vodafone Group PLC |
5.000% |
12/16/13 |
575 |
557 |
|
|
|
Vodafone Group PLC |
5.375% |
1/30/15 |
5,775 |
5,572 |
|
|
|
Vodafone Group PLC |
5.000% |
9/15/15 |
2,025 |
1,904 |
|
|
|
Vodafone Group PLC |
5.750% |
3/15/16 |
7,025 |
6,947 |
|
|
|
Vodafone Group PLC |
5.625% |
2/27/17 |
16,275 |
15,675 |
|
|
|
Vodafone Group PLC |
6.250% |
11/30/32 |
9,225 |
8,751 |
|
|
|
Vodafone Group PLC |
6.150% |
2/27/37 |
4,175 |
3,899 |
|
|
|
WPP Finance USA Corp. |
5.875% |
6/15/14 |
3,875 |
3,725 |
|
|
|
Consumer Cyclical (1.3%) |
|
|
|
|
|
|
|
Best Buy Co. |
6.750% |
7/15/13 |
12,100 |
12,181 |
|
|
|
Brinker International |
5.750% |
6/1/14 |
1,925 |
1,725 |
|
|
|
CVS Caremark Corp. |
4.000% |
9/15/09 |
1,075 |
1,069 |
|
|
|
CVS Caremark Corp. |
5.750% |
8/15/11 |
2,025 |
2,066 |
|
|
3 |
CVS Caremark Corp. |
6.302% |
6/1/37 |
5,325 |
4,608 |
|
|
|
CVS Corp. |
4.875% |
9/15/14 |
2,750 |
2,642 |
|
|
|
CVS Corp. |
5.750% |
6/1/17 |
1,950 |
1,914 |
|
|
|
CVS Corp. |
6.250% |
6/1/27 |
20,975 |
20,589 |
|
|
|
Costco Wholesale Corp. |
5.300% |
3/15/12 |
3,625 |
3,738 |
|
|
|
Costco Wholesale Corp. |
5.500% |
3/15/17 |
11,200 |
11,299 |
|
|
DaimlerChrysler North America Holding Corp. |
7.200% |
9/1/09 |
75 |
77 |
|
|
DaimlerChrysler North America Holding Corp. |
4.875% |
6/15/10 |
1,700 |
1,706 |
|
|
DaimlerChrysler North America Holding Corp. |
8.000% |
6/15/10 |
1,300 |
1,367 |
|
|
DaimlerChrysler North America Holding Corp. |
5.875% |
3/15/11 |
25,535 |
25,776 |
|
|
DaimlerChrysler North America Holding Corp. |
5.750% |
9/8/11 |
29,450 |
29,728 |
|
|
DaimlerChrysler North America Holding Corp. |
7.300% |
1/15/12 |
27,370 |
28,780 |
|
|
DaimlerChrysler North America Holding Corp. |
6.500% |
11/15/13 |
7,600 |
7,831 |
|
|
DaimlerChrysler North America Holding Corp. |
8.500% |
1/18/31 |
9,005 |
10,324 |
|
|
Darden Restaurants Inc. |
5.625% |
10/15/12 |
5,700 |
5,518 |
|
|
Darden Restaurants Inc. |
6.200% |
10/15/17 |
8,350 |
7,855 |
|
|
Darden Restaurants Inc. |
6.800% |
10/15/37 |
3,300 |
2,812 |
|
|
Federated Retail Holding |
5.350% |
3/15/12 |
3,850 |
3,576 |
|
|
Federated Retail Holding |
5.900% |
12/1/16 |
12,875 |
11,255 |
|
|
Federated Retail Holding |
6.375% |
3/15/37 |
2,650 |
2,064 |
|
|
Home Depot Inc. |
3.750% |
9/15/09 |
6,150 |
6,094 |
|
|
Home Depot Inc. |
4.625% |
8/15/10 |
9,800 |
9,728 |
|
|
Home Depot Inc. |
5.200% |
3/1/11 |
1,675 |
1,671 |
|
|
Home Depot Inc. |
5.250% |
12/16/13 |
10,700 |
10,360 |
|
|
Home Depot Inc. |
5.400% |
3/1/16 |
3,950 |
3,595 |
|
|
Home Depot Inc. |
5.875% |
12/16/36 |
9,325 |
7,619 |
|
|
ITT Corp. |
7.375% |
11/15/15 |
12,800 |
12,616 |
|
|
J.C. Penney Co., Inc. |
8.000% |
3/1/10 |
6,625 |
6,821 |
|
|
J.C. Penney Co., Inc. |
7.950% |
4/1/17 |
4,950 |
5,093 |
|
|
J.C. Penney Co., Inc. |
5.750% |
2/15/18 |
700 |
633 |
|
|
J.C. Penney Co., Inc. |
6.375% |
10/15/36 |
7,850 |
6,643 |
|
|
J.C. Penney Co., Inc. |
7.400% |
4/1/37 |
3,275 |
2,961 |
|
|
Johnson Controls, Inc. |
5.250% |
1/15/11 |
3,875 |
3,922 |
|
|
Johnson Controls, Inc. |
6.000% |
1/15/36 |
325 |
296 |
|
|
Kohl’s Corp. |
6.250% |
12/15/17 |
2,775 |
2,636 |
|
|
Kohl’s Corp. |
6.000% |
1/15/33 |
825 |
657 |
|
|
Kohl’s Corp. |
6.875% |
12/15/37 |
2,450 |
2,219 |
|
|
Limited Brands Inc. |
6.125% |
12/1/12 |
3,525 |
3,365 |
|
|
Limited Brands Inc. |
6.900% |
7/15/17 |
7,350 |
6,670 |
|
|
Limited Brands Inc. |
7.600% |
7/15/37 |
3,850 |
3,434 |
|
|
Lowe’s Cos., Inc. |
8.250% |
6/1/10 |
1,000 |
1,078 |
|
|
Lowe’s Cos., Inc. |
5.600% |
9/15/12 |
3,500 |
3,597 |
|
|
Lowe’s Cos., Inc. |
5.000% |
10/15/15 |
3,800 |
3,749 |
|
|
Lowe’s Cos., Inc. |
5.400% |
10/15/16 |
14,325 |
13,950 |
|
|
Lowe’s Cos., Inc. |
6.100% |
9/15/17 |
2,675 |
2,714 |
|
|
Lowe’s Cos., Inc. |
6.875% |
2/15/28 |
460 |
468 |
|
|
Lowe’s Cos., Inc. |
6.500% |
3/15/29 |
4,726 |
4,600 |
|
|
Lowe’s Cos., Inc. |
5.500% |
10/15/35 |
200 |
169 |
|
|
Lowe’s Cos., Inc. |
5.800% |
10/15/36 |
6,100 |
5,522 |
|
|
Lowe’s Cos., Inc. |
6.650% |
9/15/37 |
1,725 |
1,682 |
|
|
MDC Holdings Inc. |
5.500% |
5/15/13 |
3,625 |
3,437 |
|
|
Macy’s Retail Holdings Inc. |
5.750% |
7/15/14 |
4,325 |
3,928 |
|
|
Macy’s Retail Holdings Inc. |
6.650% |
7/15/24 |
2,600 |
2,104 |
|
|
Macy’s Retail Holdings Inc. |
6.790% |
7/15/27 |
2,805 |
2,341 |
|
|
Macy’s Retail Holdings Inc. |
7.000% |
2/15/28 |
1,625 |
1,370 |
|
|
Macy’s Retail Holdings Inc. |
6.625% |
4/1/11 |
3,225 |
3,182 |
|
|
Macy’s Retail Holdings Inc. |
6.900% |
4/1/29 |
7,200 |
6,061 |
|
|
Marriott International |
4.625% |
6/15/12 |
3,925 |
3,631 |
|
|
Marriott International |
5.625% |
2/15/13 |
2,825 |
2,657 |
|
|
Marriott International |
6.200% |
6/15/16 |
1,650 |
1,545 |
|
|
Marriott International |
6.375% |
6/15/17 |
2,000 |
1,890 |
|
McDonald’s Corp. |
6.000% |
4/15/11 |
3,385 |
3,535 |
|
|
McDonald’s Corp. |
5.300% |
3/15/17 |
1,000 |
981 |
|
|
McDonald’s Corp. |
5.800% |
10/15/17 |
6,725 |
6,830 |
|
|
McDonald’s Corp. |
5.350% |
3/1/18 |
6,275 |
6,145 |
|
|
McDonald’s Corp. |
6.300% |
10/15/37 |
2,475 |
2,465 |
|
|
McDonald’s Corp. |
6.300% |
3/1/38 |
850 |
838 |
|
|
Nordstrom, Inc. |
6.250% |
1/15/18 |
1,825 |
1,778 |
|
|
Nordstrom, Inc. |
6.950% |
3/15/28 |
1,325 |
1,247 |
|
|
Nordstrom, Inc. |
7.000% |
1/15/38 |
1,250 |
1,192 |
|
|
Starwood Hotel Resorts |
7.875% |
5/1/12 |
3,875 |
3,851 |
|
|
Starwood Hotel Resorts |
6.250% |
2/15/13 |
4,300 |
4,148 |
|
|
Target Corp. |
7.500% |
8/15/10 |
1,700 |
1,817 |
|
|
Target Corp. |
6.350% |
1/15/11 |
2,645 |
2,774 |
|
|
Target Corp. |
5.875% |
3/1/12 |
6,200 |
6,434 |
|
|
Target Corp. |
5.125% |
1/15/13 |
1,600 |
1,621 |
|
|
Target Corp. |
4.000% |
6/15/13 |
200 |
193 |
|
|
Target Corp. |
5.875% |
7/15/16 |
23,050 |
23,409 |
|
|
Target Corp. |
5.375% |
5/1/17 |
4,950 |
4,809 |
|
|
Target Corp. |
6.000% |
1/15/18 |
7,000 |
7,010 |
|
|
Target Corp. |
7.000% |
7/15/31 |
3,035 |
3,178 |
|
|
Target Corp. |
6.350% |
11/1/32 |
7,425 |
7,344 |
|
|
Target Corp. |
6.500% |
10/15/37 |
7,700 |
7,380 |
|
|
Target Corp. |
7.000% |
1/15/38 |
5,475 |
5,572 |
|
|
The Walt Disney Co. |
5.700% |
7/15/11 |
17,375 |
18,115 |
|
|
The Walt Disney Co. |
6.375% |
3/1/12 |
1,250 |
1,325 |
|
|
The Walt Disney Co. |
4.700% |
12/1/12 |
675 |
681 |
|
|
The Walt Disney Co. |
5.625% |
9/15/16 |
7,500 |
7,669 |
|
|
The Walt Disney Co. |
5.875% |
12/15/17 |
6,325 |
6,573 |
|
|
Time Warner, Inc. |
6.750% |
4/15/11 |
9,100 |
9,365 |
|
|
Time Warner, Inc. |
5.500% |
11/15/11 |
6,825 |
6,765 |
|
|
Time Warner, Inc. |
6.875% |
5/1/12 |
6,975 |
7,142 |
|
|
Time Warner, Inc. |
9.125% |
1/15/13 |
825 |
919 |
|
|
Time Warner, Inc. |
5.875% |
11/15/16 |
11,125 |
10,522 |
|
|
Time Warner, Inc. |
9.150% |
2/1/23 |
11,825 |
13,503 |
|
|
Time Warner, Inc. |
7.570% |
2/1/24 |
1,500 |
1,514 |
|
|
Time Warner, Inc. |
6.625% |
5/15/29 |
9,400 |
8,908 |
|
|
Time Warner, Inc. |
7.625% |
4/15/31 |
14,175 |
14,828 |
|
|
Time Warner, Inc. |
7.700% |
5/1/32 |
4,745 |
4,903 |
|
|
Time Warner, Inc. |
6.500% |
11/15/36 |
9,275 |
8,311 |
|
|
Toll Brothers, Inc. |
6.875% |
11/15/12 |
750 |
731 |
|
|
Toll Brothers, Inc. |
5.150% |
5/15/15 |
3,900 |
3,409 |
|
|
Toyota Motor Credit Corp. |
4.250% |
3/15/10 |
16,875 |
17,172 |
|
|
Toyota Motor Credit Corp. |
4.350% |
12/15/10 |
5,475 |
5,591 |
|
|
Toyota Motor Credit Corp. |
5.450% |
5/18/11 |
3,675 |
3,813 |
|
|
VF Corp. |
5.950% |
11/1/17 |
3,125 |
3,072 |
|
|
VF Corp. |
6.450% |
11/1/37 |
2,850 |
2,700 |
|
|
Viacom Inc. |
5.750% |
4/30/11 |
2,175 |
2,173 |
|
|
Viacom Inc. |
6.250% |
4/30/16 |
7,275 |
7,021 |
|
|
Viacom Inc. |
6.125% |
10/5/17 |
2,300 |
2,228 |
|
|
Viacom Inc. |
6.875% |
4/30/36 |
7,600 |
7,124 |
|
|
Wal-Mart Stores, Inc. |
6.875% |
8/10/09 |
1,295 |
1,344 |
|
|
Wal-Mart Stores, Inc. |
4.000% |
1/15/10 |
7,050 |
7,115 |
|
|
Wal-Mart Stores, Inc. |
4.125% |
7/1/10 |
18,700 |
18,948 |
|
|
Wal-Mart Stores, Inc. |
4.125% |
2/15/11 |
35,475 |
35,626 |
|
|
Wal-Mart Stores, Inc. |
4.250% |
4/15/13 |
1,950 |
1,937 |
|
|
Wal-Mart Stores, Inc. |
4.550% |
5/1/13 |
1,700 |
1,707 |
|
|
Wal-Mart Stores, Inc. |
7.250% |
6/1/13 |
800 |
897 |
|
|
Wal-Mart Stores, Inc. |
4.500% |
7/1/15 |
1,050 |
1,033 |
|
|
Wal-Mart Stores, Inc. |
5.375% |
4/5/17 |
2,450 |
2,480 |
|
|
Wal-Mart Stores, Inc. |
5.800% |
2/15/18 |
3,775 |
3,918 |
|
|
Wal-Mart Stores, Inc. |
5.875% |
4/5/27 |
21,675 |
21,136 |
|
Wal-Mart Stores, Inc. |
7.550% |
2/15/30 |
14,420 |
16,422 |
|
Wal-Mart Stores, Inc. |
5.250% |
9/1/35 |
2,900 |
2,513 |
|
Wal-Mart Stores, Inc. |
6.500% |
8/15/37 |
14,125 |
14,444 |
|
Wal-Mart Stores, Inc. |
6.200% |
4/15/38 |
5,400 |
5,321 |
|
Western Union Co. |
5.400% |
11/17/11 |
4,925 |
4,898 |
|
Western Union Co. |
5.930% |
10/1/16 |
5,750 |
5,625 |
|
Western Union Co. |
6.200% |
11/17/36 |
3,375 |
3,087 |
|
Yum! Brands, Inc. |
6.875% |
11/15/37 |
10,075 |
9,355 |
|
Yum! Brands, Inc. |
8.875% |
4/15/11 |
3,475 |
3,756 |
|
Yum! Brands, Inc. |
7.700% |
7/1/12 |
3,050 |
3,276 |
|
Yum! Brands, Inc. |
6.250% |
4/15/16 |
4,525 |
4,524 |
|
Yum! Brands, Inc. |
6.250% |
3/15/18 |
3,400 |
3,296 |
|
Consumer Noncyclical (2.1%) |
|
|
|
|
|
Abbott Laboratories |
3.750% |
3/15/11 |
6,450 |
6,419 |
|
Abbott Laboratories |
5.600% |
5/15/11 |
9,000 |
9,388 |
|
Abbott Laboratories |
5.150% |
11/30/12 |
8,075 |
8,253 |
|
Abbott Laboratories |
4.350% |
3/15/14 |
925 |
904 |
|
Abbott Laboratories |
5.875% |
5/15/16 |
19,650 |
20,341 |
|
Abbott Laboratories |
5.600% |
11/30/17 |
4,500 |
4,529 |
|
Abbott Laboratories |
6.150% |
11/30/37 |
4,400 |
4,424 |
|
Allergan Inc. |
5.750% |
4/1/16 |
1,375 |
1,371 |
|
AmerisourceBergen Corp. |
5.625% |
9/15/12 |
1,275 |
1,265 |
|
AmerisourceBergen Corp. |
5.875% |
9/15/15 |
7,300 |
7,048 |
|
Amgen Inc. |
4.000% |
11/18/09 |
6,800 |
6,832 |
|
Amgen Inc. |
4.850% |
11/18/14 |
5,975 |
5,709 |
|
Amgen Inc. |
5.850% |
6/1/17 |
10,800 |
10,666 |
|
Amgen Inc. |
6.375% |
6/1/37 |
4,500 |
4,320 |
|
Amgen Inc. |
6.900% |
6/1/38 |
425 |
435 |
|
Anheuser-Busch Cos., Inc. |
6.000% |
4/15/11 |
1,500 |
1,518 |
|
Anheuser-Busch Cos., Inc. |
4.375% |
1/15/13 |
5,325 |
5,100 |
|
Anheuser-Busch Cos., Inc. |
5.600% |
3/1/17 |
6,375 |
6,067 |
|
Anheuser-Busch Cos., Inc. |
5.500% |
1/15/18 |
9,825 |
9,167 |
|
Anheuser-Busch Cos., Inc. |
6.800% |
8/20/32 |
2,600 |
2,576 |
|
Anheuser-Busch Cos., Inc. |
5.750% |
4/1/36 |
5,475 |
4,690 |
|
Anheuser-Busch Cos., Inc. |
6.450% |
9/1/37 |
11,625 |
11,070 |
|
Archer-Daniels-Midland Co. |
8.375% |
4/15/17 |
625 |
730 |
|
Archer-Daniels-Midland Co. |
5.450% |
3/15/18 |
10,725 |
10,348 |
|
Archer-Daniels-Midland Co. |
7.000% |
2/1/31 |
3,900 |
4,173 |
|
Archer-Daniels-Midland Co. |
5.935% |
10/1/32 |
4,725 |
4,564 |
|
Archer-Daniels-Midland Co. |
5.375% |
9/15/35 |
7,775 |
6,800 |
|
Archer-Daniels-Midland Co. |
6.450% |
1/15/38 |
1,950 |
1,917 |
|
AstraZeneca PLC |
5.400% |
9/15/12 |
17,875 |
18,277 |
|
AstraZeneca PLC |
5.400% |
6/1/14 |
3,750 |
3,839 |
|
AstraZeneca PLC |
5.900% |
9/15/17 |
15,350 |
15,731 |
|
AstraZeneca PLC |
6.450% |
9/15/37 |
20,925 |
21,315 |
|
Baxter Finco, BV |
4.750% |
10/15/10 |
6,875 |
6,986 |
|
Baxter International, Inc. |
5.900% |
9/1/16 |
2,575 |
2,633 |
|
Baxter International, Inc. |
6.250% |
12/1/37 |
4,375 |
4,387 |
|
Biogen Idec Inc. |
6.000% |
3/1/13 |
9,775 |
9,719 |
|
Biogen Idec Inc. |
6.875% |
3/1/18 |
14,050 |
14,141 |
|
Bottling Group LLC |
4.625% |
11/15/12 |
17,010 |
17,234 |
|
Bottling Group LLC |
5.000% |
11/15/13 |
2,525 |
2,539 |
|
Bottling Group LLC |
5.500% |
4/1/16 |
7,325 |
7,361 |
|
Bristol-Myers Squibb Co. |
5.450% |
5/1/18 |
2,725 |
2,668 |
|
Bristol-Myers Squibb Co. |
7.150% |
6/15/23 |
750 |
840 |
|
Bristol-Myers Squibb Co. |
5.875% |
11/15/36 |
17,450 |
16,455 |
|
Bristol-Myers Squibb Co. |
6.125% |
5/1/38 |
2,925 |
2,819 |
|
|
Bristol-Myers Squibb Co. |
6.875% |
8/1/97 |
1,125 |
1,129 |
|
|
Bunge Ltd. Finance Corp. |
5.100% |
7/15/15 |
1,950 |
1,774 |
|
|
C.R. Bard, Inc. |
6.700% |
12/1/26 |
6,300 |
6,380 |
|
|
Campbell Soup Co. |
6.750% |
2/15/11 |
6,600 |
6,959 |
|
|
Cardinal Health, Inc. |
5.650% |
6/15/12 |
900 |
900 |
|
|
Cardinal Health, Inc. |
4.000% |
6/15/15 |
650 |
588 |
|
|
Cardinal Health, Inc. |
5.800% |
10/15/16 |
2,150 |
2,125 |
|
|
Cardinal Health, Inc. |
5.850% |
12/15/17 |
1,730 |
1,693 |
|
|
Cia. Brasil de Bebidas AmBev |
10.500% |
12/15/11 |
4,055 |
4,684 |
|
|
Cia. Brasil de Bebidas AmBev |
8.750% |
9/15/13 |
3,675 |
4,190 |
|
|
Clorox Co. |
4.200% |
1/15/10 |
10,600 |
10,502 |
|
|
Clorox Co. |
5.000% |
1/15/15 |
2,675 |
2,542 |
|
|
Coca-Cola Co. |
5.350% |
11/15/17 |
13,175 |
13,231 |
|
|
Coca-Cola Enterprises Inc. |
4.375% |
9/15/09 |
5,100 |
5,164 |
|
|
Coca-Cola Enterprises Inc. |
4.250% |
9/15/10 |
340 |
342 |
|
|
Coca-Cola Enterprises Inc. |
6.125% |
8/15/11 |
4,400 |
4,626 |
|
|
Coca-Cola Enterprises Inc. |
8.500% |
2/1/22 |
3,675 |
4,500 |
|
|
Coca-Cola Enterprises Inc. |
8.000% |
9/15/22 |
1,550 |
1,791 |
|
|
Coca-Cola Enterprises Inc. |
7.000% |
10/1/26 |
600 |
664 |
|
|
Coca-Cola Enterprises Inc. |
6.950% |
11/15/26 |
4,920 |
5,466 |
|
|
Coca-Cola HBC Finance |
5.125% |
9/17/13 |
670 |
669 |
|
|
ConAgra Foods, Inc. |
7.875% |
9/15/10 |
5,950 |
6,299 |
|
|
ConAgra Foods, Inc. |
6.750% |
9/15/11 |
895 |
936 |
|
|
ConAgra Foods, Inc. |
5.819% |
6/15/17 |
1,176 |
1,155 |
|
|
ConAgra Foods, Inc. |
9.750% |
3/1/21 |
129 |
165 |
|
|
ConAgra Foods, Inc. |
7.125% |
10/1/26 |
1,000 |
1,045 |
|
|
ConAgra Foods, Inc. |
7.000% |
10/1/28 |
875 |
908 |
|
|
ConAgra Foods, Inc. |
8.250% |
9/15/30 |
1,420 |
1,640 |
|
|
Covidien International |
5.450% |
10/15/12 |
7,800 |
7,832 |
|
|
Covidien International |
6.000% |
10/15/17 |
8,025 |
8,120 |
|
|
Covidien International |
6.550% |
10/15/37 |
5,125 |
5,145 |
|
|
Delhaize America Inc. |
9.000% |
4/15/31 |
2,800 |
3,389 |
|
|
Diageo Capital PLC |
7.250% |
11/1/09 |
450 |
474 |
|
|
Diageo Capital PLC |
4.375% |
5/3/10 |
1,500 |
1,508 |
|
|
Diageo Capital PLC |
5.200% |
1/30/13 |
10,350 |
10,416 |
|
|
Diageo Capital PLC |
5.500% |
9/30/16 |
1,700 |
1,680 |
|
|
Diageo Capital PLC |
5.750% |
10/23/17 |
8,525 |
8,415 |
|
|
Diageo Capital PLC |
5.875% |
9/30/36 |
1,075 |
1,025 |
|
|
Diageo Finance BV |
5.300% |
10/28/15 |
7,975 |
7,860 |
|
5 |
Dr. Pepper Snapple Group |
6.120% |
5/1/13 |
2,100 |
2,112 |
|
5 |
Dr. Pepper Snapple Group |
6.820% |
5/1/18 |
5,850 |
5,924 |
|
5 |
Dr. Pepper Snapple Group |
7.450% |
5/1/38 |
1,225 |
1,279 |
|
|
Eli Lilly & Co. |
6.000% |
3/15/12 |
3,825 |
4,060 |
|
|
Eli Lilly & Co. |
5.200% |
3/15/17 |
11,900 |
11,841 |
|
|
Eli Lilly & Co. |
5.500% |
3/15/27 |
6,725 |
6,504 |
|
|
Eli Lilly & Co. |
5.550% |
3/15/37 |
1,050 |
986 |
|
|
Estee Lauder Ace Trust I |
6.000% |
5/15/37 |
925 |
859 |
|
|
Fortune Brands Inc. |
5.125% |
1/15/11 |
3,225 |
3,182 |
|
|
Fortune Brands Inc. |
5.375% |
1/15/16 |
8,350 |
7,806 |
|
|
Fortune Brands Inc. |
5.875% |
1/15/36 |
3,625 |
3,005 |
|
|
Genentech Inc. |
4.400% |
7/15/10 |
1,350 |
1,371 |
|
|
Genentech Inc. |
4.750% |
7/15/15 |
1,225 |
1,210 |
|
|
Genentech Inc. |
5.250% |
7/15/35 |
4,100 |
3,717 |
|
|
General Mills, Inc. |
6.000% |
2/15/12 |
10,907 |
11,198 |
|
|
General Mills, Inc. |
5.650% |
9/10/12 |
2,975 |
3,038 |
|
|
General Mills, Inc. |
5.200% |
3/17/15 |
900 |
889 |
|
|
General Mills, Inc. |
5.700% |
2/15/17 |
16,250 |
16,107 |
|
Gillette Co. |
3.800% |
9/15/09 |
1,400 |
1,410 |
|
GlaxoSmithKline Capital Inc. |
4.850% |
5/15/13 |
22,550 |
22,462 |
|
GlaxoSmithKline Capital Inc. |
4.375% |
4/15/14 |
3,750 |
3,648 |
|
GlaxoSmithKline Capital Inc. |
5.650% |
5/15/18 |
22,550 |
22,312 |
|
GlaxoSmithKline Capital Inc. |
5.375% |
4/15/34 |
4,450 |
3,863 |
|
GlaxoSmithKline Capital Inc. |
6.375% |
5/15/38 |
19,425 |
19,311 |
|
Grand Metropolitan Investment Corp. |
9.000% |
8/15/11 |
500 |
558 |
|
Grand Metropolitan Investment Corp. |
7.450% |
4/15/35 |
1,075 |
1,201 |
|
H.J. Heinz Co. |
6.625% |
7/15/11 |
7,200 |
7,513 |
|
H.J. Heinz Co. |
6.750% |
3/15/32 |
3,800 |
3,678 |
|
Hasbro Inc. |
6.300% |
9/15/17 |
7,025 |
6,947 |
|
Hershey Foods Corp. |
5.450% |
9/1/16 |
1,550 |
1,551 |
|
Hospira, Inc. |
4.950% |
6/15/09 |
1,075 |
1,071 |
|
Hospira, Inc. |
5.900% |
6/15/14 |
1,925 |
1,893 |
|
Hospira, Inc. |
6.050% |
3/30/17 |
250 |
241 |
|
Johnson & Johnson |
5.150% |
8/15/12 |
10,250 |
10,713 |
|
Johnson & Johnson |
3.800% |
5/15/13 |
5,040 |
4,993 |
|
Johnson & Johnson |
5.550% |
8/15/17 |
4,225 |
4,414 |
|
Johnson & Johnson |
5.150% |
7/15/18 |
2,000 |
2,025 |
|
Johnson & Johnson |
6.950% |
9/1/29 |
1,625 |
1,900 |
|
Johnson & Johnson |
4.950% |
5/15/33 |
1,850 |
1,711 |
|
Johnson & Johnson |
5.950% |
8/15/37 |
6,500 |
6,740 |
|
Johnson & Johnson |
5.850% |
7/15/38 |
5,650 |
5,764 |
|
Kellogg Co. |
6.600% |
4/1/11 |
13,775 |
14,411 |
|
Kellogg Co. |
5.125% |
12/3/12 |
6,900 |
6,977 |
|
Kellogg Co. |
4.250% |
3/6/13 |
5,200 |
5,062 |
|
Kellogg Co. |
7.450% |
4/1/31 |
7,065 |
7,948 |
|
Kimberly-Clark Corp. |
5.625% |
2/15/12 |
4,950 |
5,130 |
|
Kimberly-Clark Corp. |
4.875% |
8/15/15 |
6,250 |
6,086 |
|
Kimberly-Clark Corp. |
6.125% |
8/1/17 |
10,450 |
10,813 |
|
Kimberly-Clark Corp. |
6.250% |
7/15/18 |
175 |
185 |
|
Kimberly-Clark Corp. |
6.625% |
8/1/37 |
1,300 |
1,378 |
|
Kraft Foods, Inc. |
4.125% |
11/12/09 |
6,400 |
6,382 |
|
Kraft Foods, Inc. |
5.625% |
11/1/11 |
32,325 |
32,797 |
|
Kraft Foods, Inc. |
6.250% |
6/1/12 |
5,540 |
5,670 |
|
Kraft Foods, Inc. |
5.250% |
10/1/13 |
25 |
24 |
|
Kraft Foods, Inc. |
6.500% |
8/11/17 |
15,600 |
15,620 |
|
Kraft Foods, Inc. |
6.125% |
2/1/18 |
400 |
389 |
|
Kraft Foods, Inc. |
6.125% |
8/23/18 |
8,475 |
8,195 |
|
Kraft Foods, Inc. |
6.500% |
11/1/31 |
9,575 |
9,050 |
|
Kraft Foods, Inc. |
7.000% |
8/11/37 |
13,700 |
13,838 |
|
Kraft Foods, Inc. |
6.875% |
1/26/39 |
3,225 |
3,154 |
|
Kroger Co. |
7.250% |
6/1/09 |
4,225 |
4,334 |
|
Kroger Co. |
6.800% |
4/1/11 |
2,600 |
2,718 |
|
Kroger Co. |
6.750% |
4/15/12 |
10,575 |
11,068 |
|
Kroger Co. |
6.200% |
6/15/12 |
3,500 |
3,622 |
|
Kroger Co. |
5.500% |
2/1/13 |
2,825 |
2,841 |
|
Kroger Co. |
5.000% |
4/15/13 |
4,000 |
3,921 |
|
Kroger Co. |
4.950% |
1/15/15 |
3,675 |
3,482 |
|
Kroger Co. |
6.400% |
8/15/17 |
4,925 |
5,079 |
|
Kroger Co. |
6.800% |
12/15/18 |
4,025 |
4,218 |
|
Kroger Co. |
6.150% |
1/15/20 |
4,400 |
4,389 |
|
Kroger Co. |
7.700% |
6/1/29 |
9,200 |
10,195 |
|
Kroger Co. |
8.000% |
9/15/29 |
1,250 |
1,410 |
|
Kroger Co. |
7.500% |
4/1/31 |
3,020 |
3,148 |
|
Kroger Co. |
6.900% |
4/15/38 |
3,225 |
3,325 |
|
Laboratory Corp. of America |
5.500% |
2/1/13 |
340 |
330 |
|
Laboratory Corp. of America |
5.625% |
12/15/15 |
2,975 |
2,744 |
|
McKesson Corp. |
7.750% |
2/1/12 |
750 |
800 |
|
Mckesson Corp. |
5.250% |
3/1/13 |
12,200 |
11,890 |
|
Medco Health Solutions |
6.125% |
3/15/13 |
550 |
552 |
|
|
Medco Health Solutions |
7.125% |
3/15/18 |
10,325 |
10,722 |
||
|
|
Medtronic Inc. |
4.375% |
9/15/10 |
2,775 |
2,809 |
||
|
|
Medtronic Inc. |
4.750% |
9/15/15 |
4,750 |
4,518 |
||
|
|
Merck & Co. |
5.125% |
11/15/11 |
3,150 |
3,252 |
||
|
|
Merck & Co. |
4.375% |
2/15/13 |
4,725 |
4,743 |
||
|
|
Merck & Co. |
4.750% |
3/1/15 |
11,925 |
11,790 |
||
|
|
Merck & Co. |
6.400% |
3/1/28 |
4,005 |
4,198 |
||
|
|
Merck & Co. |
5.950% |
12/1/28 |
2,675 |
2,632 |
||
|
|
Merck & Co. |
5.750% |
11/15/36 |
1,300 |
1,248 |
||
|
|
Molson Coors Capital Finance |
4.850% |
9/22/10 |
1,975 |
1,976 |
||
|
|
Newell Rubbermaid, Inc. |
4.000% |
5/1/10 |
3,225 |
3,160 |
||
|
|
Pepsi Bottling Group, Inc. |
7.000% |
3/1/29 |
2,200 |
2,459 |
||
|
|
PepsiAmericas Inc. |
5.750% |
7/31/12 |
3,225 |
3,291 |
||
|
|
PepsiAmericas Inc. |
4.875% |
1/15/15 |
375 |
363 |
||
|
|
PepsiAmericas Inc. |
5.000% |
5/15/17 |
4,600 |
4,290 |
||
|
|
Pepsico, Inc. |
5.150% |
5/15/12 |
2,650 |
2,743 |
||
|
|
Pepsico, Inc. |
4.650% |
2/15/13 |
6,450 |
6,538 |
||
|
|
Pepsico, Inc. |
5.000% |
6/1/18 |
11,525 |
11,225 |
||
|
|
Pfizer, Inc. |
4.500% |
2/15/14 |
9,350 |
9,290 |
||
|
|
Pharmacia Corp. |
6.500% |
12/1/18 |
750 |
820 |
||
|
|
Pharmacia Corp. |
6.600% |
12/1/28 |
775 |
822 |
||
|
|
Philip Morris International Inc |
5.650% |
5/16/18 |
16,400 |
15,975 |
||
|
|
Philip Morris International Inc. |
4.875% |
5/16/13 |
10,625 |
10,433 |
||
|
|
Philip Morris International Inc. |
6.375% |
5/16/38 |
9,150 |
8,907 |
||
|
|
Philips Electronics NV |
4.625% |
3/11/13 |
4,750 |
4,705 |
||
|
|
Philips Electronics NV |
5.750% |
3/11/18 |
12,275 |
12,033 |
||
|
|
Philips Electronics NV |
6.875% |
3/11/38 |
5,900 |
6,087 |
||
|
|
Procter & Gamble Co. |
6.875% |
9/15/09 |
19,200 |
20,032 |
||
|
|
Procter & Gamble Co. |
4.950% |
8/15/14 |
1,600 |
1,641 |
||
|
|
Procter & Gamble Co. |
6.450% |
1/15/26 |
1,825 |
1,948 |
||
|
|
Procter & Gamble Co. |
5.800% |
8/15/34 |
3,375 |
3,384 |
||
|
|
Procter & Gamble Co. |
5.550% |
3/5/37 |
13,500 |
12,942 |
||
|
3 |
Procter & Gamble Co. ESOP |
9.360% |
1/1/21 |
13,050 |
16,295 |
||
|
|
Quest Diagnostic, Inc. |
5.450% |
11/1/15 |
8,175 |
7,753 |
||
|
|
Quest Diagnostic, Inc. |
6.400% |
7/1/17 |
675 |
668 |
||
|
|
Quest Diagnostic, Inc. |
6.950% |
7/1/37 |
3,300 |
3,232 |
||
|
|
Reynolds American Inc. |
6.500% |
7/15/10 |
2,525 |
2,576 |
||
|
|
Reynolds American Inc. |
7.250% |
6/1/12 |
2,525 |
2,604 |
||
|
|
Reynolds American Inc. |
7.250% |
6/1/13 |
8,250 |
8,487 |
||
|
|
Reynolds American Inc. |
7.625% |
6/1/16 |
4,000 |
4,165 |
||
|
|
Reynolds American Inc. |
6.750% |
6/15/17 |
5,800 |
5,778 |
||
|
|
Reynolds American Inc. |
7.250% |
6/15/37 |
4,700 |
4,612 |
||
|
|
Safeway, Inc. |
4.950% |
8/16/10 |
3,125 |
3,142 |
||
|
|
Safeway, Inc. |
6.500% |
3/1/11 |
7,575 |
7,775 |
||
|
|
Safeway, Inc. |
5.800% |
8/15/12 |
3,650 |
3,729 |
||
|
|
Safeway, Inc. |
6.350% |
8/15/17 |
800 |
815 |
||
|
|
Safeway, Inc. |
7.250% |
2/1/31 |
5,700 |
6,083 |
||
|
|
Sara Lee Corp. |
6.125% |
11/1/32 |
375 |
339 |
||
|
|
Schering-Plough Corp. |
5.550% |
12/1/13 |
14,575 |
14,683 |
||
|
|
Schering-Plough Corp. |
6.000% |
9/15/17 |
900 |
889 |
||
|
|
Schering-Plough Corp. |
6.750% |
12/1/33 |
9,075 |
9,254 |
||
|
|
Schering-Plough Corp. |
6.550% |
9/15/37 |
1,750 |
1,699 |
||
|
|
Sysco Corp. |
4.200% |
2/12/13 |
2,225 |
2,180 |
||
|
|
Sysco Corp. |
5.250% |
2/12/18 |
1,800 |
1,796 |
||
|
|
Sysco Corp. |
5.375% |
9/21/35 |
4,725 |
4,308 |
||
|
|
Teva Pharmaceutical Finance LLC |
5.550% |
2/1/16 |
550 |
537 |
||
|
|
Teva Pharmaceutical Finance LLC |
6.150% |
2/1/36 |
11,475 |
11,007 |
||
|
|
UST, Inc. |
6.625% |
7/15/12 |
800 |
836 |
||
|
|
UST, Inc. |
5.750% |
3/1/18 |
3,200 |
3,181 |
||
|
|
Unilever Capital Corp. |
7.125% |
11/1/10 |
10,950 |
11,695 |
||
|
|
Unilever Capital Corp. |
5.900% |
11/15/32 |
3,725 |
3,595 |
||
|
|
Whirlpool Corp. |
5.500% |
3/1/13 |
14,250 |
14,071 |
||
|
|
Wm. Wrigley Jr. Co. |
4.300% |
7/15/10 |
5,725 |
5,730 |
||
|
|
Wm. Wrigley Jr. Co. |
4.650% |
7/15/15 |
5,550 |
5,378 |
||
|
|
Wyeth |
6.950% |
3/15/11 |
2,450 |
2,593 |
||
|
|
Wyeth |
5.500% |
3/15/13 |
20,150 |
20,566 |
||
|
|
Wyeth |
5.500% |
2/1/14 |
7,425 |
7,285 |
||
|
|
Wyeth |
5.500% |
2/15/16 |
5,750 |
5,753 |
||
|
|
Wyeth |
5.450% |
4/1/17 |
3,875 |
3,827 |
||
|
|
Wyeth |
6.450% |
2/1/24 |
1,850 |
1,902 |
||
|
|
Wyeth |
6.500% |
2/1/34 |
1,975 |
2,038 |
||
|
|
Wyeth |
6.000% |
2/15/36 |
6,125 |
5,941 |
||
|
|
Wyeth |
5.950% |
4/1/37 |
23,670 |
22,760 |
||
|
|
Energy (1.0%) |
|
|
|
|
||
|
|
Alberta Energy Co. Ltd. |
7.375% |
11/1/31 |
975 |
1,047 |
||
|
|
Amerada Hess Corp. |
6.650% |
8/15/11 |
7,450 |
7,789 |
||
|
|
Amerada Hess Corp. |
7.875% |
10/1/29 |
6,250 |
7,169 |
||
|
|
Amerada Hess Corp. |
7.125% |
3/15/33 |
6,475 |
7,123 |
||
|
|
Anadarko Finance Co. |
6.750% |
5/1/11 |
3,675 |
3,804 |
||
|
|
Anadarko Finance Co. |
7.500% |
5/1/31 |
985 |
1,056 |
||
|
|
Anadarko Petroleum Corp. |
5.950% |
9/15/16 |
10,325 |
10,337 |
||
|
|
Anadarko Petroleum Corp. |
6.450% |
9/15/36 |
17,520 |
17,431 |
||
|
|
Apache Corp. |
6.250% |
4/15/12 |
1,700 |
1,775 |
||
|
|
Apache Corp. |
5.250% |
4/15/13 |
1,000 |
1,010 |
||
|
|
Apache Corp. |
5.625% |
1/15/17 |
1,050 |
1,065 |
||
|
|
Apache Corp. |
6.000% |
1/15/37 |
6,500 |
6,431 |
||
|
|
Apache Finance Canada |
7.750% |
12/15/29 |
1,350 |
1,606 |
||
|
|
BJ Services Co. |
6.000% |
6/1/18 |
3,525 |
3,517 |
||
|
|
Baker Hughes, Inc. |
6.875% |
1/15/29 |
825 |
888 |
||
|
|
Burlington Resources, Inc. |
6.680% |
2/15/11 |
4,300 |
4,539 |
||
|
|
Burlington Resources, Inc. |
6.500% |
12/1/11 |
3,975 |
4,237 |
||
|
|
Burlington Resources, Inc. |
7.200% |
8/15/31 |
850 |
967 |
||
|
|
Burlington Resources, Inc. |
7.400% |
12/1/31 |
4,575 |
5,324 |
||
|
|
Cameron International Corp. |
6.375% |
7/15/18 |
4,250 |
4,257 |
||
|
|
Cameron International Corp. |
7.000% |
7/15/38 |
5,100 |
5,075 |
||
|
|
Canadian Natural Resources |
5.450% |
10/1/12 |
5,425 |
5,455 |
||
|
|
Canadian Natural Resources |
5.150% |
2/1/13 |
1,875 |
1,880 |
||
|
|
Canadian Natural Resources |
4.900% |
12/1/14 |
5,575 |
5,390 |
||
|
|
Canadian Natural Resources |
6.000% |
8/15/16 |
5,375 |
5,412 |
||
|
|
Canadian Natural Resources |
5.700% |
5/15/17 |
6,825 |
6,671 |
||
|
|
Canadian Natural Resources |
5.900% |
2/1/18 |
5,175 |
5,126 |
||
|
|
Canadian Natural Resources |
7.200% |
1/15/32 |
5,375 |
5,799 |
||
|
|
Canadian Natural Resources |
6.450% |
6/30/33 |
6,915 |
6,815 |
||
|
|
Canadian Natural Resources |
6.500% |
2/15/37 |
9,175 |
9,070 |
||
|
|
Canadian Natural Resources |
6.250% |
3/15/38 |
5,625 |
5,342 |
||
|
|
Canadian Natural Resources |
6.750% |
2/1/39 |
1,125 |
1,132 |
||
|
|
Conoco Funding Co. |
6.350% |
10/15/11 |
24,885 |
26,359 |
||
|
|
Conoco Funding Co. |
7.250% |
10/15/31 |
350 |
401 |
||
|
|
Conoco, Inc. |
6.950% |
4/15/29 |
1,230 |
1,355 |
||
|
|
ConocoPhillips |
8.750% |
5/25/10 |
1,250 |
1,360 |
||
|
|
ConocoPhillips |
5.900% |
10/15/32 |
1,950 |
1,928 |
||
|
|
ConocoPhillips Canada |
5.300% |
4/15/12 |
5,025 |
5,174 |
||
|
|
ConocoPhillips Canada |
5.625% |
10/15/16 |
21,100 |
21,580 |
||
|
|
ConocoPhillips Canada |
5.950% |
10/15/36 |
3,475 |
3,490 |
||
|
|
Devon Energy Corp. |
7.950% |
4/15/32 |
5,975 |
7,074 |
||
|
|
Devon Financing Corp. |
6.875% |
9/30/11 |
10,185 |
10,783 |
||
|
|
Devon Financing Corp. |
7.875% |
9/30/31 |
8,725 |
10,236 |
||
|
|
Diamond Offshore Drilling |
4.875% |
7/1/15 |
775 |
739 |
||
|
|
EOG Resources Inc. |
5.875% |
9/15/17 |
9,250 |
9,311 |
||
|
|
Encana Corp. |
4.600% |
8/15/09 |
1,225 |
1,227 |
||
|
|
Encana Corp. |
5.900% |
12/1/17 |
9,850 |
9,828 |
||
|
|
Encana Corp. |
6.500% |
8/15/34 |
9,025 |
8,761 |
||
|
|
Encana Corp. |
6.625% |
8/15/37 |
11,900 |
12,001 |
||
|
|
Encana Corp. |
6.500% |
2/1/38 |
1,125 |
1,109 |
||
|
|
Encana Holdings Finance Corp. |
5.800% |
5/1/14 |
2,100 |
2,127 |
||
|
|
Halliburton Co. |
5.500% |
10/15/10 |
4,100 |
4,238 |
||
|
|
Husky Energy Inc. |
6.250% |
6/15/12 |
2,875 |
2,956 |
||
|
|
Husky Energy Inc. |
6.150% |
6/15/19 |
1,000 |
995 |
||
|
|
Husky Energy Inc. |
6.800% |
9/15/37 |
2,400 |
2,379 |
||
|
|
Kerr McGee Corp. |
6.875% |
9/15/11 |
6,850 |
7,171 |
||
|
|
Kerr McGee Corp. |
6.950% |
7/1/24 |
11,770 |
12,270 |
||
|
|
Kerr McGee Corp. |
7.875% |
9/15/31 |
1,700 |
2,010 |
||
|
|
Lasmo Inc. |
7.300% |
11/15/27 |
400 |
448 |
||
|
|
Marathon Oil Corp. |
6.125% |
3/15/12 |
9,470 |
9,716 |
||
|
|
Marathon Oil Corp. |
6.000% |
7/1/12 |
3,400 |
3,493 |
||
|
|
Marathon Oil Corp. |
6.000% |
10/1/17 |
14,500 |
14,467 |
||
|
|
Marathon Oil Corp. |
5.900% |
3/15/18 |
1,750 |
1,727 |
||
|
|
Marathon Oil Corp. |
6.600% |
10/1/37 |
12,525 |
12,366 |
||
|
5 |
Nabors Industries Inc. |
6.150% |
2/15/18 |
2,350 |
2,363 |
||
|
|
Nexen, Inc. |
5.050% |
11/20/13 |
3,700 |
3,648 |
||
|
|
Nexen, Inc. |
5.650% |
5/15/17 |
2,325 |
2,234 |
||
|
|
Nexen, Inc. |
7.875% |
3/15/32 |
1,100 |
1,234 |
||
|
|
Nexen, Inc. |
5.875% |
3/10/35 |
400 |
358 |
||
|
|
Nexen, Inc. |
6.400% |
5/15/37 |
12,975 |
12,449 |
||
|
|
Noble Energy Inc. |
8.000% |
4/1/27 |
175 |
189 |
||
|
|
Norsk Hydro |
7.250% |
9/23/27 |
6,325 |
7,220 |
||
|
|
Norsk Hydro |
7.150% |
1/15/29 |
3,475 |
3,944 |
||
|
|
Occidental Petroleum |
6.750% |
1/15/12 |
6,725 |
7,212 |
||
|
|
PanCanadian Energy Corp. |
7.200% |
11/1/31 |
7,050 |
7,429 |
||
|
|
Petro-Canada |
4.000% |
7/15/13 |
1,675 |
1,571 |
||
|
|
Petro-Canada |
7.875% |
6/15/26 |
1,675 |
1,825 |
||
|
|
Petro-Canada |
7.000% |
11/15/28 |
1,375 |
1,354 |
||
|
|
Petro-Canada |
5.350% |
7/15/33 |
5,975 |
5,028 |
||
|
|
Petro-Canada |
5.950% |
5/15/35 |
8,475 |
7,554 |
||
|
|
Petro-Canada |
6.800% |
5/15/38 |
2,400 |
2,343 |
||
|
|
Petro-Canada Financial Partnership |
5.000% |
11/15/14 |
1,600 |
1,516 |
||
|
|
Petro-Canada Financial Partnership |
6.050% |
5/15/18 |
2,400 |
2,356 |
||
|
|
Questar Market Resources |
6.050% |
9/1/16 |
3,575 |
3,467 |
||
|
|
Shell International Finance |
5.625% |
6/27/11 |
1,000 |
1,048 |
||
|
|
Shell International Finance |
4.950% |
3/22/12 |
3,450 |
3,548 |
||
|
|
Shell International Finance |
5.200% |
3/22/17 |
3,525 |
3,622 |
||
|
|
Suncor Energy, Inc. |
6.100% |
6/1/18 |
3,800 |
3,839 |
||
|
|
Suncor Energy, Inc. |
7.150% |
2/1/32 |
1,700 |
1,784 |
||
|
|
Suncor Energy, Inc. |
5.950% |
12/1/34 |
150 |
138 |
||
|
|
Suncor Energy, Inc. |
6.500% |
6/15/38 |
9,575 |
9,294 |
||
|
|
Suncor Energy, Inc. |
6.850% |
6/1/39 |
2,800 |
2,844 |
||
|
|
Sunoco, Inc. |
4.875% |
10/15/14 |
1,700 |
1,608 |
||
|
|
Sunoco, Inc. |
5.750% |
1/15/17 |
2,300 |
2,171 |
||
|
|
Talisman Energy, Inc. |
5.125% |
5/15/15 |
1,400 |
1,345 |
||
|
|
Talisman Energy, Inc. |
7.250% |
10/15/27 |
1,050 |
1,073 |
||
|
|
Talisman Energy, Inc. |
5.850% |
2/1/37 |
5,500 |
4,705 |
||
|
|
Tosco Corp. |
8.125% |
2/15/30 |
18,775 |
23,100 |
||
|
|
Transocean Inc. |
5.250% |
3/15/13 |
4,200 |
4,201 |
||
|
|
Transocean Inc. |
6.000% |
3/15/18 |
6,325 |
6,333 |
||
|
|
Transocean Inc. |
7.500% |
4/15/31 |
2,650 |
2,903 |
||
|
|
Transocean Inc. |
6.800% |
3/15/38 |
6,050 |
6,183 |
||
|
|
Valero Energy Corp. |
6.875% |
4/15/12 |
17,725 |
18,399 |
||
|
|
Valero Energy Corp. |
4.750% |
6/15/13 |
340 |
324 |
||
|
|
Valero Energy Corp. |
6.125% |
6/15/17 |
2,000 |
1,946 |
||
|
|
Valero Energy Corp. |
7.500% |
4/15/32 |
5,265 |
5,365 |
|
|
|
Valero Energy Corp. |
6.625% |
6/15/37 |
5,350 |
4,900 |
|
|
|
Weatherford International Inc. |
5.950% |
6/15/12 |
750 |
771 |
|
|
|
Weatherford International Inc. |
5.150% |
3/15/13 |
1,550 |
1,530 |
|
|
|
Weatherford International Inc. |
6.350% |
6/15/17 |
5,350 |
5,437 |
|
|
|
Weatherford International Inc. |
6.000% |
3/15/18 |
2,250 |
2,227 |
|
|
|
Weatherford International Inc. |
6.500% |
8/1/36 |
11,125 |
10,737 |
|
|
|
Weatherford International Inc. |
6.800% |
6/15/37 |
1,875 |
1,906 |
|
|
|
Weatherford International Inc. |
7.000% |
3/15/38 |
1,750 |
1,795 |
|
|
|
XTO Energy, Inc. |
5.900% |
8/1/12 |
6,025 |
6,136 |
|
|
|
XTO Energy, Inc. |
6.250% |
4/15/13 |
8,575 |
8,845 |
|
|
|
XTO Energy, Inc. |
4.900% |
2/1/14 |
525 |
511 |
|
|
|
XTO Energy, Inc. |
5.000% |
1/31/15 |
1,725 |
1,658 |
|
|
|
XTO Energy, Inc. |
5.300% |
6/30/15 |
1,475 |
1,430 |
|
|
|
XTO Energy, Inc. |
6.250% |
8/1/17 |
9,800 |
9,914 |
|
|
|
XTO Energy, Inc. |
6.100% |
4/1/36 |
1,300 |
1,234 |
|
|
|
XTO Energy, Inc. |
6.750% |
8/1/37 |
10,875 |
10,904 |
|
|
|
XTO Energy, Inc. |
6.375% |
6/15/38 |
2,125 |
2,061 |
|
|
|
Technology (0.6%) |
|
|
|
|
|
|
|
Agilent Technologies Inc. |
6.500% |
11/1/17 |
9,300 |
9,089 |
|
|
|
BMC Software Inc. |
7.250% |
6/1/18 |
2,775 |
2,822 |
|
|
|
Cisco Systems Inc. |
5.250% |
2/22/11 |
36,425 |
37,441 |
|
|
|
Cisco Systems Inc. |
5.500% |
2/22/16 |
18,250 |
18,452 |
|
|
|
Computer Sciences Corp. |
5.000% |
2/15/13 |
4,575 |
4,427 |
|
|
5 |
Computer Sciences Corp. |
5.500% |
3/15/13 |
2,075 |
2,012 |
|
|
5 |
Computer Sciences Corp. |
6.500% |
3/15/18 |
400 |
400 |
|
|
|
Corning Inc. |
7.250% |
8/15/36 |
400 |
403 |
|
|
5 |
Dell Inc. |
4.700% |
4/15/13 |
7,100 |
6,898 |
|
|
5 |
Dell Inc. |
5.650% |
4/15/18 |
3,875 |
3,750 |
|
|
5 |
Dell Inc. |
6.500% |
4/15/38 |
3,800 |
3,712 |
|
|
|
Dun & Bradstreet Corp. |
6.000% |
4/1/13 |
6,000 |
5,977 |
|
|
|
Electronic Data Systems |
7.125% |
10/15/09 |
575 |
593 |
|
|
|
Electronic Data Systems |
6.500% |
8/1/13 |
4,650 |
4,771 |
|
|
|
Equifax Inc. |
6.300% |
7/1/17 |
1,300 |
1,250 |
|
|
|
Equifax Inc. |
7.000% |
7/1/37 |
1,900 |
1,751 |
|
|
|
Fiserv, Inc. |
6.125% |
11/20/12 |
11,075 |
11,026 |
|
|
|
Fiserv, Inc. |
6.800% |
11/20/17 |
7,075 |
7,132 |
|
|
|
Harris Corp. |
5.000% |
10/1/15 |
4,400 |
4,196 |
|
|
|
Harris Corp. |
5.950% |
12/1/17 |
225 |
225 |
|
|
|
Hewlett-Packard Co. |
5.250% |
3/1/12 |
1,800 |
1,842 |
|
|
|
Hewlett-Packard Co. |
6.500% |
7/1/12 |
1,835 |
1,956 |
|
|
|
Hewlett-Packard Co. |
4.500% |
3/1/13 |
14,025 |
13,845 |
|
|
|
Hewlett-Packard Co. |
5.400% |
3/1/17 |
2,025 |
1,981 |
|
|
|
Hewlett-Packard Co. |
5.500% |
3/1/18 |
4,275 |
4,177 |
|
|
|
IBM International Group Capital |
5.050% |
10/22/12 |
22,950 |
23,437 |
|
|
|
International Business Machines Corp. |
4.950% |
3/22/11 |
5,800 |
5,949 |
|
|
|
International Business Machines Corp. |
7.500% |
6/15/13 |
3,575 |
4,021 |
|
|
|
International Business Machines Corp. |
5.700% |
9/14/17 |
40,625 |
41,200 |
|
|
|
International Business Machines Corp. |
7.000% |
10/30/25 |
720 |
783 |
|
|
|
International Business Machines Corp. |
6.220% |
8/1/27 |
6,250 |
6,264 |
|
|
|
International Business Machines Corp. |
6.500% |
1/15/28 |
700 |
719 |
|
|
|
International Business Machines Corp. |
5.875% |
11/29/32 |
500 |
486 |
|
|
|
International Business Machines Corp. |
7.125% |
12/1/96 |
6,735 |
7,281 |
|
|
|
Intuit Inc. |
5.400% |
3/15/12 |
2,475 |
2,423 |
|
|
|
Intuit Inc. |
5.750% |
3/15/17 |
2,925 |
2,745 |
|
|
|
Lexmark International Inc. |
5.900% |
6/1/13 |
3,450 |
3,362 |
|
|
|
Lexmark International Inc. |
6.650% |
6/1/18 |
5,575 |
5,444 |
|
|
|
Motorola, Inc. |
7.625% |
11/15/10 |
619 |
641 |
|
|
|
Motorola, Inc. |
8.000% |
11/1/11 |
725 |
740 |
|
|
|
Motorola, Inc. |
5.375% |
11/15/12 |
5,825 |
5,332 |
|
|
Motorola, Inc. |
6.000% |
11/15/17 |
1,675 |
1,482 |
|
|
Motorola, Inc. |
7.500% |
5/15/25 |
1,000 |
932 |
|
|
Motorola, Inc. |
6.500% |
9/1/25 |
1,550 |
1,157 |
|
|
Motorola, Inc. |
6.500% |
11/15/28 |
500 |
383 |
|
|
Motorola, Inc. |
6.625% |
11/15/37 |
2,450 |
1,918 |
|
|
National Semiconductor |
6.150% |
6/15/12 |
750 |
756 |
|
|
National Semiconductor |
6.600% |
6/15/17 |
7,400 |
7,414 |
|
|
Oracle Corp. |
5.000% |
1/15/11 |
6,150 |
6,271 |
|
|
Oracle Corp. |
4.950% |
4/15/13 |
6,350 |
6,406 |
|
|
Oracle Corp. |
5.250% |
1/15/16 |
9,850 |
9,717 |
|
|
Oracle Corp. |
5.750% |
4/15/18 |
16,350 |
16,215 |
|
|
Oracle Corp. |
6.500% |
4/15/38 |
7,100 |
7,128 |
|
|
Pitney Bowes, Inc. |
4.625% |
10/1/12 |
4,050 |
4,003 |
|
|
Pitney Bowes, Inc. |
3.875% |
6/15/13 |
3,550 |
3,410 |
|
|
Pitney Bowes, Inc. |
4.875% |
8/15/14 |
350 |
343 |
|
|
Pitney Bowes, Inc. |
4.750% |
1/15/16 |
13,750 |
12,854 |
|
|
Pitney Bowes, Inc. |
5.750% |
9/15/17 |
4,450 |
4,418 |
|
|
Pitney Bowes, Inc. |
4.750% |
5/15/18 |
375 |
347 |
|
|
Pitney Bowes, Inc. |
5.250% |
1/15/37 |
550 |
540 |
|
|
Science Applications International Corp. |
6.250% |
7/1/12 |
1,275 |
1,323 |
|
|
Science Applications International Corp. |
5.500% |
7/1/33 |
1,775 |
1,496 |
|
|
Tyco Electronics Group |
6.000% |
10/1/12 |
2,450 |
2,442 |
|
|
Tyco Electronics Group |
6.550% |
10/1/17 |
9,325 |
9,472 |
|
|
Tyco Electronics Group |
7.125% |
10/1/37 |
750 |
782 |
|
|
Xerox Capital Trust I |
8.000% |
2/1/27 |
5,750 |
5,578 |
|
|
Xerox Corp. |
7.125% |
6/15/10 |
4,000 |
4,135 |
|
|
Xerox Corp. |
6.875% |
8/15/11 |
2,425 |
2,506 |
|
|
Xerox Corp. |
5.500% |
5/15/12 |
3,200 |
3,172 |
|
|
Xerox Corp. |
7.625% |
6/15/13 |
2,400 |
2,491 |
|
|
Xerox Corp. |
6.400% |
3/15/16 |
5,125 |
5,127 |
|
|
Xerox Corp. |
6.750% |
2/1/17 |
3,700 |
3,738 |
|
|
Xerox Corp. |
6.350% |
5/15/18 |
9,625 |
9,450 |
|
|
Transportation (0.4%) |
|
|
|
|
|
3 |
American Airlines, Inc. |
6.855% |
4/15/09 |
1,197 |
1,173 |
|
|
American Airlines, Inc. |
7.024% |
10/15/09 |
8,250 |
7,961 |
|
|
American Airlines, Inc. |
7.858% |
10/1/11 |
1,675 |
1,554 |
|
|
Burlington Northern Santa Fe Corp. |
7.125% |
12/15/10 |
500 |
529 |
|
|
Burlington Northern Santa Fe Corp. |
6.750% |
7/15/11 |
3,720 |
3,894 |
|
|
Burlington Northern Santa Fe Corp. |
5.900% |
7/1/12 |
3,375 |
3,473 |
|
|
Burlington Northern Santa Fe Corp. |
5.650% |
5/1/17 |
2,925 |
2,879 |
|
|
Burlington Northern Santa Fe Corp. |
5.750% |
3/15/18 |
4,100 |
4,022 |
|
|
Burlington Northern Santa Fe Corp. |
7.000% |
12/15/25 |
6,400 |
6,643 |
|
|
Burlington Northern Santa Fe Corp. |
6.200% |
8/15/36 |
7,275 |
7,041 |
|
|
Burlington Northern Santa Fe Corp. |
6.150% |
5/1/37 |
5,400 |
5,076 |
|
|
CNF, Inc. |
6.700% |
5/1/34 |
4,150 |
3,696 |
|
|
CSX Corp. |
6.750% |
3/15/11 |
2,450 |
2,537 |
|
|
CSX Corp. |
6.300% |
3/15/12 |
1,775 |
1,813 |
|
|
CSX Corp. |
5.750% |
3/15/13 |
125 |
124 |
|
|
CSX Corp. |
6.250% |
4/1/15 |
2,750 |
2,707 |
|
|
CSX Corp. |
5.600% |
5/1/17 |
1,875 |
1,747 |
|
|
CSX Corp. |
6.250% |
3/15/18 |
300 |
290 |
|
|
CSX Corp. |
7.950% |
5/1/27 |
325 |
335 |
|
|
CSX Corp. |
6.000% |
10/1/36 |
7,550 |
6,132 |
|
|
CSX Corp. |
6.150% |
5/1/37 |
2,750 |
2,292 |
|
|
CSX Corp. |
7.450% |
4/1/38 |
2,350 |
2,300 |
|
|
Canadian National Railway Co. |
6.375% |
10/15/11 |
1,075 |
1,122 |
|
|
Canadian National Railway Co. |
4.400% |
3/15/13 |
3,175 |
3,100 |
|
|
Canadian National Railway Co. |
4.950% |
1/15/14 |
700 |
699 |
|
|
Canadian National Railway Co. |
5.800% |
6/1/16 |
950 |
960 |
|
|
Canadian National Railway Co. |
5.850% |
11/15/17 |
1,425 |
1,449 |
|
|
Canadian National Railway Co. |
6.800% |
7/15/18 |
10,750 |
11,660 |
|
|
Canadian National Railway Co. |
6.900% |
7/15/28 |
700 |
752 |
|
|
Canadian National Railway Co. |
6.250% |
8/1/34 |
1,925 |
1,940 |
|
|
Canadian National Railway Co. |
6.200% |
6/1/36 |
3,025 |
3,029 |
|
|
Canadian Pacific Rail |
6.250% |
10/15/11 |
10,950 |
11,147 |
|
|
Canadian Pacific Rail |
7.125% |
10/15/31 |
550 |
540 |
|
|
Canadian Pacific Rail |
5.950% |
5/15/37 |
1,200 |
1,028 |
|
|
Continental Airlines, Inc. |
6.563% |
2/15/12 |
2,450 |
2,205 |
|
3 |
Continental Airlines, Inc. |
6.648% |
9/15/17 |
8,535 |
7,724 |
|
3 |
Continental Airlines, Inc. |
6.900% |
1/2/18 |
3,513 |
3,161 |
|
3 |
Continental Airlines, Inc. |
6.545% |
2/2/19 |
522 |
470 |
|
3 |
Continental Airlines, Inc. |
5.983% |
4/19/22 |
750 |
602 |
|
|
Delta Air Lines Enhanced Equipment Trust Certificates |
6.417% |
7/2/12 |
4,100 |
3,670 |
|
3 |
Delta Air Lines Enhanced Equipment Trust Certificates |
6.718% |
1/2/23 |
3,814 |
3,127 |
|
|
Delta Air Lines, Inc. |
7.111% |
9/18/11 |
4,100 |
3,752 |
|
3 |
Delta Air Lines, Inc. |
6.821% |
8/10/22 |
5,837 |
4,932 |
|
|
FedEx Corp. |
5.500% |
8/15/09 |
4,075 |
4,132 |
|
|
Norfolk Southern Corp. |
6.750% |
2/15/11 |
6,000 |
6,285 |
|
|
Norfolk Southern Corp. |
5.257% |
9/17/14 |
45 |
44 |
|
|
Norfolk Southern Corp. |
7.700% |
5/15/17 |
6,375 |
7,143 |
|
5 |
Norfolk Southern Corp. |
5.750% |
4/1/18 |
1,750 |
1,748 |
|
|
Norfolk Southern Corp. |
9.750% |
6/15/20 |
1,696 |
2,128 |
|
|
Norfolk Southern Corp. |
5.590% |
5/17/25 |
634 |
576 |
|
|
Norfolk Southern Corp. |
7.800% |
5/15/27 |
2,495 |
2,842 |
|
|
Norfolk Southern Corp. |
5.640% |
5/17/29 |
2,205 |
2,028 |
|
|
Norfolk Southern Corp. |
7.050% |
5/1/37 |
13,325 |
14,330 |
|
|
Norfolk Southern Corp. |
7.900% |
5/15/97 |
2,075 |
2,335 |
|
|
Ryder System Inc. |
5.950% |
5/2/11 |
3,375 |
3,407 |
|
|
Ryder System Inc. |
5.850% |
3/1/14 |
2,000 |
1,972 |
|
|
Ryder System Inc. |
5.850% |
11/1/16 |
1,950 |
1,856 |
|
|
Southwest Airlines Co. |
6.500% |
3/1/12 |
7,950 |
7,738 |
|
|
Southwest Airlines Co. |
5.250% |
10/1/14 |
275 |
250 |
|
|
Southwest Airlines Co. |
5.750% |
12/15/16 |
3,950 |
3,527 |
|
|
Southwest Airlines Co. |
5.125% |
3/1/17 |
850 |
719 |
|
3 |
Southwest Airlines Co. |
6.150% |
8/1/22 |
2,064 |
1,955 |
|
|
Union Pacific Corp. |
3.625% |
6/1/10 |
2,040 |
2,008 |
|
|
Union Pacific Corp. |
6.650% |
1/15/11 |
6,005 |
6,264 |
|
|
Union Pacific Corp. |
6.125% |
1/15/12 |
200 |
206 |
|
|
Union Pacific Corp. |
6.500% |
4/15/12 |
2,383 |
2,496 |
|
|
Union Pacific Corp. |
5.450% |
1/31/13 |
2,750 |
2,757 |
|
|
Union Pacific Corp. |
7.000% |
2/1/16 |
450 |
478 |
|
|
Union Pacific Corp. |
5.650% |
5/1/17 |
5,200 |
5,100 |
|
|
Union Pacific Corp. |
5.750% |
11/15/17 |
10,325 |
10,192 |
|
|
Union Pacific Corp. |
5.700% |
8/15/18 |
5,050 |
4,913 |
|
|
Union Pacific Corp. |
6.625% |
2/1/29 |
1,450 |
1,475 |
|
3 |
Union Pacific Railroad Co. |
6.176% |
1/2/31 |
1,562 |
1,515 |
|
3 |
United Air Lines Inc. |
6.636% |
7/2/22 |
2,602 |
2,148 |
|
|
United Parcel Service of America |
4.500% |
1/15/13 |
2,750 |
2,748 |
|
|
United Parcel Service of America |
5.500% |
1/15/18 |
4,175 |
4,237 |
|
|
United Parcel Service of America |
6.200% |
1/15/38 |
4,875 |
4,922 |
|
|
Other (0.1%) |
|
|
|
|
|
|
Black & Decker Corp. |
7.125% |
6/1/11 |
500 |
520 |
|
|
Black & Decker Corp. |
5.750% |
11/15/16 |
2,950 |
2,812 |
|
|
Cintas Corp. |
6.125% |
12/1/17 |
2,925 |
2,970 |
|
|
Cooper Industries, Inc. |
5.250% |
11/15/12 |
4,425 |
4,428 |
|
|
Cooper Industries, Inc. |
5.450% |
4/1/15 |
2,450 |
2,453 |
|
|
Danaher Corp. |
5.625% |
1/15/18 |
2,850 |
2,847 |
|
|
Eaton Corp. |
4.900% |
5/15/13 |
3,850 |
3,830 |
|
|
Eaton Corp. |
5.600% |
5/15/18 |
2,700 |
2,674 |
|
|
Parker-Hannifin Corp. |
5.500% |
5/15/18 |
1,600 |
1,599 |
|
|
Parker-Hannifin Corp. |
6.250% |
5/15/38 |
1,950 |
1,979 |
|
|
Rockwell Automation |
5.650% |
12/1/17 |
2,100 |
2,103 |
|
|
Rockwell Automation |
6.700% |
1/15/28 |
1,275 |
1,366 |
|
|
Rockwell Automation |
6.250% |
12/1/37 |
4,700 |
4,707 |
|
|
|
|
|
|
5,820,788 |
|
Utilities (2.0%) |
|
|
|
|
|
|
|
Electric (1.5%) |
|
|
|
|
|
|
AEP Texas Central Co. |
6.650% |
2/15/33 |
2,775 |
2,716 |
|
|
Alabama Power Co. |
4.850% |
12/15/12 |
2,400 |
2,410 |
|
|
Alabama Power Co. |
5.500% |
10/15/17 |
3,975 |
4,009 |
|
|
American Electric Power Co., Inc. |
5.375% |
3/15/10 |
925 |
934 |
|
|
American Electric Power Co., Inc. |
5.250% |
6/1/15 |
875 |
843 |
|
|
American Water Capital Corp. |
6.085% |
10/15/17 |
8,800 |
8,470 |
|
|
American Water Capital Corp. |
6.593% |
10/15/37 |
6,300 |
5,765 |
|
|
Appalachian Power Co. |
7.000% |
4/1/38 |
6,900 |
6,832 |
|
|
Arizona Public Service Co. |
6.375% |
10/15/11 |
800 |
823 |
|
|
Arizona Public Service Co. |
5.800% |
6/30/14 |
725 |
692 |
|
|
Arizona Public Service Co. |
4.650% |
5/15/15 |
925 |
818 |
|
|
Arizona Public Service Co. |
5.500% |
9/1/35 |
700 |
537 |
|
|
Baltimore Gas & Electric Co. |
5.900% |
10/1/16 |
4,250 |
4,094 |
|
|
Baltimore Gas & Electric Co. |
6.350% |
10/1/36 |
625 |
570 |
|
|
Carolina Power & Light Co. |
6.500% |
7/15/12 |
1,250 |
1,318 |
|
|
Carolina Power & Light Co. |
5.125% |
9/15/13 |
405 |
410 |
|
|
Carolina Power & Light Co. |
6.300% |
4/1/38 |
2,750 |
2,776 |
|
|
CenterPoint Energy Houston |
5.700% |
3/15/13 |
16,935 |
17,156 |
|
|
CenterPoint Energy Houston |
5.750% |
1/15/14 |
500 |
506 |
|
|
CenterPoint Energy Houston |
6.950% |
3/15/33 |
400 |
408 |
|
|
Cincinnati Gas & Electric Co. |
5.700% |
9/15/12 |
4,925 |
5,026 |
|
|
Cleveland Electric Illumination Co. |
7.880% |
11/1/17 |
1,375 |
1,513 |
|
|
Columbus Southern Power |
5.850% |
10/1/35 |
8,300 |
7,254 |
|
|
Commonwealth Edison Co. |
6.150% |
3/15/12 |
2,025 |
2,079 |
|
|
Commonwealth Edison Co. |
5.950% |
8/15/16 |
14,530 |
14,409 |
|
|
Commonwealth Edison Co. |
6.150% |
9/15/17 |
15,025 |
15,096 |
|
|
Commonwealth Edison Co. |
5.875% |
2/1/33 |
590 |
550 |
|
|
Commonwealth Edison Co. |
5.900% |
3/15/36 |
800 |
733 |
|
|
Commonwealth Edison Co. |
6.450% |
1/15/38 |
3,875 |
3,810 |
|
|
Connecticut Light & Power Co. |
6.350% |
6/1/36 |
6,975 |
6,644 |
|
|
Consolidated Edison Co. of New York |
4.875% |
2/1/13 |
3,715 |
3,675 |
|
|
Consolidated Edison Co. of New York |
5.375% |
12/15/15 |
1,600 |
1,609 |
|
|
Consolidated Edison Co. of New York |
5.500% |
9/15/16 |
6,200 |
6,211 |
|
|
Consolidated Edison Co. of New York |
5.300% |
3/1/35 |
2,450 |
2,091 |
|
|
Consolidated Edison Co. of New York |
5.850% |
3/15/36 |
2,325 |
2,143 |
|
|
Consolidated Edison Co. of New York |
6.200% |
6/15/36 |
3,575 |
3,456 |
|
|
Consolidated Edison Co. of New York |
6.300% |
8/15/37 |
7,000 |
6,854 |
|
|
Consolidated Edison Co. of New York |
6.750% |
4/1/38 |
2,700 |
2,803 |
|
|
Constellation Energy Group, Inc. |
6.125% |
9/1/09 |
875 |
887 |
|
|
Constellation Energy Group, Inc. |
7.000% |
4/1/12 |
1,275 |
1,333 |
|
|
Constellation Energy Group, Inc. |
4.550% |
6/15/15 |
18,050 |
16,115 |
|
|
Constellation Energy Group, Inc. |
7.600% |
4/1/32 |
2,390 |
2,465 |
|
|
Consumers Energy Co. |
5.000% |
2/15/12 |
2,500 |
2,456 |
|
|
Consumers Energy Co. |
5.375% |
4/15/13 |
5,175 |
5,204 |
|
|
Consumers Energy Co. |
5.500% |
8/15/16 |
1,925 |
1,884 |
|
|
Consumers Energy Co. |
5.650% |
4/15/20 |
1,000 |
956 |
|
|
DTE Energy Co. |
7.050% |
6/1/11 |
1,150 |
1,202 |
|
|
DTE Energy Co. |
6.375% |
4/15/33 |
275 |
259 |
|
|
Detroit Edison Co. |
6.125% |
10/1/10 |
2,730 |
2,857 |
|
|
Detroit Edison Co. |
5.700% |
10/1/37 |
1,000 |
929 |
|
|
|
Dominion Resources, Inc. |
4.750% |
12/15/10 |
2,225 |
2,241 |
|
|
|
Dominion Resources, Inc. |
6.250% |
6/30/12 |
2,790 |
2,879 |
|
|
|
Dominion Resources, Inc. |
5.700% |
9/17/12 |
850 |
871 |
|
|
|
Dominion Resources, Inc. |
5.150% |
7/15/15 |
19,050 |
18,470 |
|
|
|
Dominion Resources, Inc. |
6.000% |
11/30/17 |
4,475 |
4,399 |
|
|
|
Dominion Resources, Inc. |
6.400% |
6/15/18 |
825 |
833 |
|
|
|
Dominion Resources, Inc. |
6.300% |
3/15/33 |
1,675 |
1,595 |
|
|
|
Dominion Resources, Inc. |
5.250% |
8/1/33 |
3,225 |
3,163 |
|
|
|
Dominion Resources, Inc. |
5.950% |
6/15/35 |
9,150 |
8,332 |
|
|
|
Dominion Resources, Inc. |
7.000% |
6/15/38 |
550 |
560 |
|
|
3 |
Dominion Resources, Inc. |
7.500% |
6/30/66 |
4,325 |
4,044 |
|
|
3 |
Dominion Resources, Inc. |
6.300% |
9/30/66 |
2,750 |
2,505 |
|
|
|
Duke Energy Carolinas LLC |
6.100% |
6/1/37 |
10,725 |
10,237 |
|
|
|
Duke Energy Carolinas LLC |
6.000% |
1/15/38 |
625 |
606 |
|
|
|
Duke Energy Carolinas LLC |
6.050% |
4/15/38 |
3,275 |
3,222 |
|
|
|
Duke Energy Corp. |
6.250% |
1/15/12 |
10,107 |
10,528 |
|
|
|
Duke Energy Corp. |
6.000% |
12/1/28 |
1,900 |
1,859 |
|
|
|
Duke Energy Corp. |
6.450% |
10/15/32 |
1,500 |
1,541 |
|
|
|
El Paso Electric Co. |
6.000% |
5/15/35 |
2,200 |
1,881 |
|
|
|
Empresa Nacional Electric |
8.350% |
8/1/13 |
775 |
856 |
|
|
|
Energy East Corp. |
6.750% |
6/15/12 |
6,050 |
6,296 |
|
|
|
Energy East Corp. |
6.750% |
7/15/36 |
4,275 |
4,100 |
|
|
5 |
Entergy Gulf States, Inc. |
6.000% |
5/1/18 |
10,525 |
10,424 |
|
|
|
Exelon Corp. |
6.750% |
5/1/11 |
500 |
511 |
|
|
|
Exelon Corp. |
4.900% |
6/15/15 |
5,200 |
4,773 |
|
|
|
Exelon Corp. |
5.625% |
6/15/35 |
935 |
828 |
|
|
|
FPL Group Capital, Inc. |
7.375% |
6/1/09 |
2,675 |
2,760 |
|
|
|
FPL Group Capital, Inc. |
5.625% |
9/1/11 |
3,975 |
4,100 |
|
|
|
FPL Group Capital, Inc. |
5.350% |
6/15/13 |
5,625 |
5,713 |
|
|
3 |
FPL Group Capital, Inc. |
6.350% |
10/1/66 |
2,600 |
2,290 |
|
|
3 |
FPL Group Capital, Inc. |
6.650% |
6/15/67 |
3,200 |
2,884 |
|
|
|
FirstEnergy Corp. |
6.450% |
11/15/11 |
41,855 |
42,685 |
|
|
|
FirstEnergy Corp. |
7.375% |
11/15/31 |
11,540 |
12,411 |
|
|
|
Florida Power & Light Co. |
4.850% |
2/1/13 |
3,000 |
3,013 |
|
|
|
Florida Power & Light Co. |
5.550% |
11/1/17 |
2,275 |
2,319 |
|
|
|
Florida Power & Light Co. |
5.950% |
10/1/33 |
50 |
50 |
|
|
|
Florida Power & Light Co. |
5.625% |
4/1/34 |
4,450 |
4,261 |
|
|
|
Florida Power & Light Co. |
4.950% |
6/1/35 |
4,425 |
3,846 |
|
|
|
Florida Power & Light Co. |
5.400% |
9/1/35 |
2,400 |
2,230 |
|
|
|
Florida Power & Light Co. |
6.200% |
6/1/36 |
4,700 |
4,873 |
|
|
|
Florida Power & Light Co. |
5.650% |
2/1/37 |
4,725 |
4,452 |
|
|
|
Florida Power & Light Co. |
5.850% |
5/1/37 |
2,450 |
2,423 |
|
|
|
Florida Power & Light Co. |
5.950% |
2/1/38 |
4,075 |
4,059 |
|
|
|
Florida Power Corp. |
4.500% |
6/1/10 |
3,825 |
3,864 |
|
|
|
Florida Power Corp. |
4.800% |
3/1/13 |
12,175 |
12,079 |
|
|
|
Florida Power Corp. |
5.650% |
6/15/18 |
3,725 |
3,773 |
|
|
|
Florida Power Corp. |
6.350% |
9/15/37 |
5,300 |
5,393 |
|
|
|
Florida Power Corp. |
6.400% |
6/15/38 |
4,200 |
4,251 |
|
|
|
Georgia Power Co. |
5.700% |
6/1/17 |
1,575 |
1,589 |
|
|
|
Georgia Power Co. |
5.650% |
3/1/37 |
425 |
400 |
|
|
|
Illinois Power |
6.125% |
11/15/17 |
1,475 |
1,418 |
|
|
|
Illinois Power |
6.250% |
4/1/18 |
5,700 |
5,526 |
|
|
|
Indiana Michigan Power Co. |
6.050% |
3/15/37 |
7,475 |
6,618 |
|
|
3 |
Integrys Energy Group |
6.110% |
12/1/66 |
5,150 |
4,324 |
|
|
|
Jersey Central Power & Light |
5.625% |
5/1/16 |
3,575 |
3,400 |
|
|
|
Jersey Central Power & Light |
5.650% |
6/1/17 |
2,250 |
2,151 |
|
|
|
Kansas City Power & Light |
6.050% |
11/15/35 |
2,075 |
1,830 |
|
|
|
MidAmerican Energy Co. |
5.650% |
7/15/12 |
3,200 |
3,288 |
|
|
|
MidAmerican Energy Co. |
5.125% |
1/15/13 |
7,875 |
7,933 |
|
|
|
MidAmerican Energy Co. |
5.950% |
7/15/17 |
1,675 |
1,724 |
|
|
MidAmerican Energy Co. |
5.300% |
3/15/18 |
550 |
533 |
|
|
MidAmerican Energy Co. |
6.750% |
12/30/31 |
5,475 |
5,721 |
|
|
MidAmerican Energy Co. |
5.750% |
11/1/35 |
1,700 |
1,587 |
|
|
MidAmerican Energy Holdings Co. |
5.875% |
10/1/12 |
7,020 |
7,268 |
|
|
MidAmerican Energy Holdings Co. |
5.000% |
2/15/14 |
1,425 |
1,393 |
|
5 |
MidAmerican Energy Holdings Co. |
5.750% |
4/1/18 |
3,750 |
3,722 |
|
|
MidAmerican Energy Holdings Co. |
8.480% |
9/15/28 |
700 |
800 |
|
|
MidAmerican Energy Holdings Co. |
6.125% |
4/1/36 |
20,850 |
20,033 |
|
|
MidAmerican Energy Holdings Co. |
5.950% |
5/15/37 |
7,025 |
6,568 |
|
|
MidAmerican Energy Holdings Co. |
6.500% |
9/15/37 |
5,075 |
5,122 |
|
|
NStar Electric Co. |
4.875% |
4/15/14 |
2,200 |
2,177 |
|
|
NStar Electric Co. |
5.625% |
11/15/17 |
5,650 |
5,750 |
|
|
National Rural Utilities Cooperative Finance Corp. |
7.250% |
3/1/12 |
18,810 |
19,989 |
|
|
National Rural Utilities Cooperative Finance Corp. |
5.500% |
7/1/13 |
4,400 |
4,450 |
|
|
National Rural Utilities Cooperative Finance Corp. |
4.750% |
3/1/14 |
2,125 |
2,056 |
|
|
National Rural Utilities Cooperative Finance Corp. |
5.450% |
4/10/17 |
2,725 |
2,673 |
|
|
National Rural Utilities Cooperative Finance Corp. |
5.450% |
2/1/18 |
5,460 |
5,324 |
|
|
National Rural Utilities Cooperative Finance Corp. |
8.000% |
3/1/32 |
4,000 |
4,677 |
|
|
Nevada Power Co. |
6.750% |
7/1/37 |
1,500 |
1,485 |
|
|
NiSource Finance Corp. |
7.875% |
11/15/10 |
6,660 |
6,978 |
|
|
NiSource Finance Corp. |
5.400% |
7/15/14 |
1,350 |
1,278 |
|
|
NiSource Finance Corp. |
5.250% |
9/15/17 |
1,525 |
1,367 |
|
|
NiSource Finance Corp. |
6.400% |
3/15/18 |
850 |
818 |
|
|
NiSource Finance Corp. |
6.800% |
1/15/19 |
150 |
146 |
|
|
NiSource Finance Corp. |
5.450% |
9/15/20 |
1,675 |
1,450 |
|
|
Northern States Power Co. |
5.250% |
3/1/18 |
2,325 |
2,294 |
|
|
Northern States Power Co. |
5.250% |
7/15/35 |
425 |
383 |
|
|
Northern States Power Co. |
6.250% |
6/1/36 |
2,275 |
2,358 |
|
|
Northern States Power Co. |
6.200% |
7/1/37 |
3,600 |
3,699 |
|
|
Ohio Edison |
6.400% |
7/15/16 |
4,650 |
4,699 |
|
|
Ohio Power Co. |
6.000% |
6/1/16 |
3,975 |
3,906 |
|
|
Oncor Electric Delivery Co. |
6.375% |
5/1/12 |
3,650 |
3,698 |
|
|
Oncor Electric Delivery Co. |
6.375% |
1/15/15 |
7,175 |
7,079 |
|
|
Oncor Electric Delivery Co. |
7.000% |
9/1/22 |
600 |
585 |
|
|
Oncor Electric Delivery Co. |
7.000% |
5/1/32 |
2,125 |
2,070 |
|
|
Oncor Electric Delivery Co. |
7.250% |
1/15/33 |
4,475 |
4,486 |
|
|
PECO Energy Co. |
5.350% |
3/1/18 |
2,000 |
1,951 |
|
|
PPL Energy Supply LLC |
6.400% |
11/1/11 |
12,350 |
12,649 |
|
|
PPL Energy Supply LLC |
5.400% |
8/15/14 |
1,000 |
956 |
|
|
PPL Energy Supply LLC |
6.200% |
5/15/16 |
3,825 |
3,691 |
|
|
PPL Energy Supply LLC |
6.500% |
5/1/18 |
2,550 |
2,482 |
|
|
PPL Energy Supply LLC |
6.000% |
12/15/36 |
2,050 |
1,806 |
|
|
PSE&G Power LLC |
7.750% |
4/15/11 |
1,075 |
1,145 |
|
|
PSE&G Power LLC |
6.950% |
6/1/12 |
17,025 |
17,797 |
|
|
PSE&G Power LLC |
5.500% |
12/1/15 |
5,500 |
5,264 |
|
|
PSE&G Power LLC |
8.625% |
4/15/31 |
400 |
493 |
|
|
PSI Energy Inc. |
5.000% |
9/15/13 |
200 |
198 |
|
|
PSI Energy Inc. |
6.050% |
6/15/16 |
425 |
432 |
|
|
PSI Energy Inc. |
6.120% |
10/15/35 |
1,400 |
1,319 |
|
|
PacifiCorp |
6.900% |
11/15/11 |
7,600 |
8,154 |
|
|
PacifiCorp |
7.700% |
11/15/31 |
1,250 |
1,449 |
|
|
PacifiCorp |
5.250% |
6/15/35 |
50 |
43 |
|
|
PacifiCorp |
6.250% |
10/15/37 |
800 |
786 |
|
|
Pacific Gas & Electric Co. |
4.200% |
3/1/11 |
20,575 |
20,401 |
|
|
Pacific Gas & Electric Co. |
4.800% |
3/1/14 |
5,125 |
4,976 |
|
|
Pacific Gas & Electric Co. |
5.625% |
11/30/17 |
4,150 |
4,118 |
|
|
Pacific Gas & Electric Co. |
6.050% |
3/1/34 |
15,055 |
14,525 |
|
|
Pacific Gas & Electric Co. |
5.800% |
3/1/37 |
8,300 |
7,826 |
|
|
Pennsylvania Electric Co. |
6.050% |
9/1/17 |
2,775 |
2,684 |
|
|
Pepco Holdings, Inc. |
6.450% |
8/15/12 |
8,075 |
8,193 |
|
|
Pepco Holdings, Inc. |
7.450% |
8/15/32 |
1,475 |
1,575 |
|
|
Potomac Electric Power |
6.500% |
11/15/37 |
1,000 |
996 |
|
|
Progress Energy, Inc. |
7.100% |
3/1/11 |
6,686 |
7,033 |
|
|
Progress Energy, Inc. |
6.850% |
4/15/12 |
2,200 |
2,323 |
|
|
Progress Energy, Inc. |
5.625% |
1/15/16 |
1,375 |
1,373 |
|
|
Progress Energy, Inc. |
7.750% |
3/1/31 |
1,800 |
2,070 |
|
|
Progress Energy, Inc. |
7.000% |
10/30/31 |
5,650 |
5,987 |
|
|
Public Service Co. of Colorado |
7.875% |
10/1/12 |
9,800 |
10,928 |
|
|
Public Service Co. of Colorado |
5.500% |
4/1/14 |
65 |
67 |
|
|
Public Service Co. of Colorado |
6.250% |
9/1/37 |
1,850 |
1,919 |
|
|
Public Service Co. of Oklahoma |
6.625% |
11/15/37 |
5,550 |
5,373 |
|
|
Public Service Electric & Gas |
5.250% |
7/1/35 |
325 |
289 |
|
|
Public Service Electric & Gas |
5.800% |
5/1/37 |
7,825 |
7,633 |
|
|
Puget Sound Energy Inc. |
5.483% |
6/1/35 |
950 |
799 |
|
|
Puget Sound Energy Inc. |
6.274% |
3/15/37 |
5,275 |
4,940 |
|
|
SCANA Corp. |
6.875% |
5/15/11 |
7,825 |
8,178 |
|
|
Sierra Pacific Power Co. |
6.000% |
5/15/16 |
2,925 |
2,901 |
|
|
Sierra Pacific Power Co. |
6.750% |
7/1/37 |
5,000 |
4,889 |
|
|
South Carolina Electric & Gas Co. |
6.625% |
2/1/32 |
2,750 |
2,926 |
|
|
South Carolina Electric & Gas Co. |
5.300% |
5/15/33 |
220 |
199 |
|
|
South Carolina Electric & Gas Co. |
6.050% |
1/15/38 |
1,475 |
1,430 |
|
|
Southern California Edison Co. |
5.000% |
1/15/14 |
3,450 |
3,422 |
|
|
Southern California Edison Co. |
4.650% |
4/1/15 |
1,500 |
1,453 |
|
|
Southern California Edison Co. |
5.000% |
1/15/16 |
2,025 |
2,001 |
|
|
Southern California Edison Co. |
6.000% |
1/15/34 |
1,400 |
1,413 |
|
|
Southern California Edison Co. |
5.750% |
4/1/35 |
1,025 |
1,000 |
|
|
Southern California Edison Co. |
5.350% |
7/15/35 |
5,450 |
4,987 |
|
|
Southern California Edison Co. |
5.625% |
2/1/36 |
8,175 |
7,734 |
|
|
Southern California Edison Co. |
5.550% |
1/15/37 |
9,875 |
9,235 |
|
|
Southern Co. |
5.300% |
1/15/12 |
2,075 |
2,109 |
|
|
Southern Power Co. |
6.250% |
7/15/12 |
4,155 |
4,329 |
|
|
Southern Power Co. |
4.875% |
7/15/15 |
7,925 |
7,475 |
|
|
Southwestern Electric Power |
5.550% |
1/15/17 |
500 |
470 |
|
|
Southwestern Electric Power |
6.450% |
1/15/19 |
4,575 |
4,536 |
|
|
Tampa Electric Co. |
6.550% |
5/15/36 |
3,675 |
3,592 |
|
|
Toledo Edison Co. |
6.150% |
5/15/37 |
400 |
354 |
|
|
Transalta Corp. |
6.650% |
5/15/18 |
1,550 |
1,528 |
|
|
Union Electric Co. |
5.400% |
2/1/16 |
3,950 |
3,754 |
|
|
Virginia Electric & Power Co. |
5.100% |
11/30/12 |
675 |
674 |
|
|
Virginia Electric & Power Co. |
5.400% |
1/15/16 |
1,100 |
1,081 |
|
|
Virginia Electric & Power Co. |
6.000% |
1/15/36 |
8,325 |
7,867 |
|
|
Virginia Electric & Power Co. |
6.000% |
5/15/37 |
3,125 |
2,931 |
|
|
Virginia Electric & Power Co. |
6.350% |
11/30/37 |
2,275 |
2,237 |
|
|
Wisconsin Electric Power Co. |
5.625% |
5/15/33 |
1,175 |
1,082 |
|
|
Wisconsin Electric Power Co. |
5.700% |
12/1/36 |
1,025 |
979 |
|
|
Wisconsin Energy Corp. |
6.500% |
4/1/11 |
10,750 |
11,231 |
|
3 |
Wisconsin Energy Corp. |
6.250% |
5/15/67 |
16,950 |
14,720 |
|
|
Wisconsin Power & Light Co. |
6.375% |
8/15/37 |
5,050 |
5,081 |
|
|
Xcel Energy, Inc. |
5.613% |
4/1/17 |
736 |
718 |
|
|
Xcel Energy, Inc. |
6.500% |
7/1/36 |
3,600 |
3,541 |
|
|
Natural Gas (0.5%) |
|
|
|
|
|
|
AGL Capital Corp. |
7.125% |
1/14/11 |
2,350 |
2,448 |
|
|
AGL Capital Corp. |
6.000% |
10/1/34 |
150 |
131 |
|
|
Atmos Energy Corp. |
4.000% |
10/15/09 |
5,175 |
5,128 |
|
|
Atmos Energy Corp. |
4.950% |
10/15/14 |
2,630 |
2,490 |
|
|
Boardwalk Pipelines LLC |
5.500% |
2/1/17 |
4,025 |
3,758 |
|
|
British Transco Finance |
6.625% |
6/1/18 |
1,650 |
1,655 |
|
|
Buckeye Partners LP |
6.050% |
1/15/18 |
450 |
443 |
|
|
CenterPoint Energy Resources |
7.875% |
4/1/13 |
4,030 |
4,317 |
|
|
CenterPoint Energy Resources |
6.150% |
5/1/16 |
1,375 |
1,364 |
|
|
Consolidated Natural Gas |
6.250% |
11/1/11 |
8,800 |
9,135 |
|
|
Consolidated Natural Gas |
5.000% |
12/1/14 |
5,650 |
5,472 |
|
|
Duke Capital Corp. |
7.500% |
10/1/09 |
500 |
517 |
|
|
Duke Capital Corp. |
6.250% |
2/15/13 |
1,375 |
1,408 |
|
|
Duke Capital Corp. |
5.500% |
3/1/14 |
3,825 |
3,729 |
|
|
Duke Capital Corp. |
5.668% |
8/15/14 |
250 |
245 |
|
|
Duke Capital Corp. |
6.750% |
2/15/32 |
2,800 |
2,695 |
|
|
Duke Energy Field Services |
7.875% |
8/16/10 |
4,600 |
4,837 |
|
|
Duke Energy Field Services |
8.125% |
8/16/30 |
225 |
246 |
|
|
El Paso Natural Gas Co. |
5.950% |
4/15/17 |
2,625 |
2,516 |
|
5 |
Enbridge Energy Partners |
6.500% |
4/15/18 |
2,850 |
2,847 |
|
5 |
Enbridge Energy Partners |
7.500% |
4/15/38 |
6,625 |
6,926 |
|
|
Enbridge Inc. |
5.600% |
4/1/17 |
375 |
361 |
|
|
Energy Transfer Partners LP |
5.650% |
8/1/12 |
5,475 |
5,516 |
|
|
Energy Transfer Partners LP |
5.950% |
2/1/15 |
8,200 |
8,090 |
|
|
Energy Transfer Partners LP |
6.125% |
2/15/17 |
1,425 |
1,379 |
|
|
Energy Transfer Partners LP |
6.625% |
10/15/36 |
1,750 |
1,676 |
|
|
Energy Transfer Partners LP |
7.500% |
7/1/38 |
725 |
745 |
|
* |
Enron Corp. |
7.625% |
9/10/04 |
2,000 |
60 |
|
* |
Enron Corp. |
6.625% |
11/15/05 |
1,375 |
41 |
|
* |
Enron Corp. |
7.125% |
5/15/07 |
8,646 |
259 |
|
* |
Enron Corp. |
6.875% |
10/15/07 |
8,500 |
255 |
|
* |
Enron Corp. |
6.750% |
8/1/09 |
6,445 |
193 |
|
|
Enterprise Products Operating LP |
4.625% |
10/15/09 |
500 |
499 |
|
|
Enterprise Products Operating LP |
4.950% |
6/1/10 |
4,475 |
4,488 |
|
|
Enterprise Products Operating LP |
5.650% |
4/1/13 |
4,425 |
4,417 |
|
|
Enterprise Products Operating LP |
5.600% |
10/15/14 |
4,600 |
4,485 |
|
|
Enterprise Products Operating LP |
6.300% |
9/15/17 |
11,150 |
11,148 |
|
|
Enterprise Products Operating LP |
6.500% |
1/31/19 |
3,525 |
3,538 |
|
|
Enterprise Products Operating LP |
6.875% |
3/1/33 |
1,775 |
1,727 |
|
|
Enterprise Products Operating LP |
6.650% |
10/15/34 |
150 |
145 |
|
|
Equitable Resources Inc. |
6.500% |
4/1/18 |
14,650 |
14,564 |
|
* |
HNG Internorth |
9.625% |
3/15/06 |
4,680 |
140 |
|
|
KeySpan Corp. |
7.625% |
11/15/10 |
1,400 |
1,497 |
|
|
Kinder Morgan Energy Partners LP |
6.750% |
3/15/11 |
975 |
1,005 |
|
|
Kinder Morgan Energy Partners LP |
7.125% |
3/15/12 |
6,885 |
7,233 |
|
|
Kinder Morgan Energy Partners LP |
5.850% |
9/15/12 |
7,375 |
7,432 |
|
|
Kinder Morgan Energy Partners LP |
5.000% |
12/15/13 |
4,575 |
4,408 |
|
|
Kinder Morgan Energy Partners LP |
5.125% |
11/15/14 |
2,050 |
1,948 |
|
|
Kinder Morgan Energy Partners LP |
6.000% |
2/1/17 |
40 |
39 |
|
|
Kinder Morgan Energy Partners LP |
5.950% |
2/15/18 |
2,325 |
2,267 |
|
|
Kinder Morgan Energy Partners LP |
7.300% |
8/15/33 |
250 |
261 |
|
|
Kinder Morgan Energy Partners LP |
6.500% |
2/1/37 |
650 |
613 |
|
|
Kinder Morgan Energy Partners LP |
6.950% |
1/15/38 |
7,945 |
7,966 |
|
|
Magellan Midstream Partners, LP |
5.650% |
10/15/16 |
1,025 |
973 |
|
|
National Grid PLC |
6.300% |
8/1/16 |
9,800 |
9,720 |
|
|
NuStar Energy LP |
7.650% |
4/15/18 |
5,775 |
5,849 |
|
|
ONEOK Inc. |
5.200% |
6/15/15 |
3,500 |
3,318 |
|
|
ONEOK Inc. |
6.000% |
6/15/35 |
2,800 |
2,484 |
|
|
ONEOK Partners, LP |
5.900% |
4/1/12 |
3,325 |
3,353 |
|
|
ONEOK Partners, LP |
6.150% |
10/1/16 |
5,350 |
5,305 |
|
|
ONEOK Partners, LP |
6.650% |
10/1/36 |
14,700 |
14,019 |
|
|
ONEOK Partners, LP |
6.850% |
10/15/37 |
5,900 |
5,783 |
|
|
Panhandle Eastern Pipeline |
6.200% |
11/1/17 |
9,525 |
8,989 |
|
|
Panhandle Eastern Pipeline |
7.000% |
6/15/18 |
1,375 |
1,372 |
|
|
Plains All American Pipeline LP |
6.650% |
1/15/37 |
1,325 |
1,227 |
|
|
Reliant Energy Resources |
7.750% |
2/15/11 |
1,000 |
1,057 |
|
|
San Diego Gas & Electric |
5.300% |
11/15/15 |
2,525 |
2,528 |
|
|
San Diego Gas & Electric |
5.350% |
5/15/35 |
950 |
869 |
|
|
San Diego Gas & Electric |
6.125% |
9/15/37 |
325 |
325 |
|
|
Sempra Energy |
7.950% |
3/1/10 |
1,075 |
1,134 |
|
|
Sempra Energy |
6.000% |
2/1/13 |
900 |
920 |
|
|
Sempra Energy |
6.150% |
6/15/18 |
100 |
100 |
|
|
Southern California Gas Co. |
5.750% |
11/15/35 |
1,000 |
969 |
|
5 |
Southern Natural Gas |
5.900% |
4/1/17 |
16,785 |
16,303 |
|
|
Southern Union Co. |
7.600% |
2/1/24 |
1,000 |
1,011 |
|
|
Spectra Energy Corp. |
6.200% |
4/15/18 |
1,250 |
1,219 |
|
|
Teppco Partners, LP |
5.900% |
4/15/13 |
2,800 |
2,810 |
|
|
Teppco Partners, LP |
6.650% |
4/15/18 |
2,825 |
2,849 |
|
|
Teppco Partners, LP |
7.550% |
4/15/38 |
1,800 |
1,870 |
|
|
Texas Eastern Transmission |
7.000% |
7/15/32 |
300 |
301 |
|
|
Texas Gas Transmission |
4.600% |
6/1/15 |
3,175 |
2,888 |
|
|
Trans-Canada Pipelines |
4.000% |
6/15/13 |
3,725 |
3,504 |
|
|
Trans-Canada Pipelines |
5.600% |
3/31/34 |
3,230 |
2,891 |
|
|
Trans-Canada Pipelines |
5.850% |
3/15/36 |
10,250 |
9,089 |
|
|
Trans-Canada Pipelines |
6.200% |
10/15/37 |
4,225 |
3,870 |
|
3 |
Trans-Canada Pipelines |
6.350% |
5/15/67 |
13,805 |
12,113 |
|
|
Transcontinental Gas Pipe Line Corp. |
7.000% |
8/15/11 |
4,375 |
4,574 |
|
|
Williams Cos., Inc. |
7.125% |
9/1/11 |
7,650 |
7,966 |
|
|
Williams Cos., Inc. |
8.125% |
3/15/12 |
2,600 |
2,756 |
|
|
Williams Cos., Inc. |
7.625% |
7/15/19 |
11,650 |
12,305 |
|
|
Williams Cos., Inc. |
7.500% |
1/15/31 |
11,575 |
11,807 |
|
|
Williams Cos., Inc. |
7.750% |
6/15/31 |
2,825 |
3,019 |
|
|
Other (0.0%) |
|
|
|
|
|
|
Veolia Enviroment |
6.750% |
6/1/38 |
125 |
127 |
|
|
|
|
|
|
1,257,664 |
|
Total Corporate Bonds (Cost $17,061,430) |
|
|
|
16,586,356 |
|
|
Sovereign Bonds (U.S. Dollar-Denominated) (2.8%) |
|
|
|
||
|
|
Asian Development Bank |
4.125% |
9/15/10 |
500 |
511 |
|
|
Asian Development Bank |
4.500% |
9/4/12 |
1,375 |
1,412 |
|
|
Asian Development Bank |
5.250% |
6/12/17 |
700 |
744 |
|
|
Asian Development Bank |
5.593% |
7/16/18 |
2,100 |
2,275 |
|
|
Canadian Mortgage & Housing |
4.800% |
10/1/10 |
1,375 |
1,419 |
|
|
China Development Bank |
4.750% |
10/8/14 |
4,425 |
4,272 |
|
|
China Development Bank |
5.000% |
10/15/15 |
1,800 |
1,759 |
|
|
Corp. Andina de Fomento |
5.200% |
5/21/13 |
4,575 |
4,528 |
|
|
Corp. Andina de Fomento |
5.750% |
1/12/17 |
14,650 |
14,427 |
|
|
Development Bank of Japan |
4.250% |
6/9/15 |
2,500 |
2,466 |
|
|
Eksportfinans |
5.500% |
5/25/16 |
10,395 |
10,937 |
|
|
Eksportfinans |
5.500% |
6/26/17 |
7,975 |
8,462 |
|
|
European Investment Bank |
5.000% |
2/8/10 |
3,350 |
3,451 |
|
|
European Investment Bank |
4.000% |
3/3/10 |
25,925 |
26,324 |
|
|
European Investment Bank |
4.125% |
9/15/10 |
400 |
404 |
|
|
European Investment Bank |
4.625% |
9/15/10 |
10,975 |
11,341 |
|
|
European Investment Bank |
3.250% |
2/15/11 |
12,375 |
12,350 |
|
|
European Investment Bank |
2.625% |
5/16/11 |
6,000 |
5,866 |
|
|
European Investment Bank |
5.250% |
6/15/11 |
14,425 |
15,069 |
|
|
European Investment Bank |
3.125% |
7/15/11 |
4,225 |
4,182 |
|
|
European Investment Bank |
4.625% |
3/21/12 |
35,000 |
36,064 |
|
|
European Investment Bank |
2.875% |
3/15/13 |
17,350 |
16,723 |
|
|
European Investment Bank |
3.250% |
5/15/13 |
24,550 |
23,912 |
|
|
European Investment Bank |
4.250% |
7/15/13 |
31,825 |
32,229 |
|
|
European Investment Bank |
4.625% |
5/15/14 |
42,900 |
43,769 |
|
|
European Investment Bank |
4.875% |
2/16/16 |
625 |
646 |
|
|
European Investment Bank |
5.125% |
9/13/16 |
2,550 |
2,688 |
|
|
European Investment Bank |
4.875% |
1/17/17 |
18,625 |
19,248 |
|
|
|
European Investment Bank |
5.125% |
5/30/17 |
26,350 |
27,684 |
|
|
|
European Investment Bank |
4.875% |
2/15/36 |
400 |
392 |
|
|
|
Export Development Canada |
3.750% |
7/15/11 |
750 |
753 |
|
|
|
Export-Import Bank of Korea |
4.500% |
8/12/09 |
3,900 |
3,905 |
|
|
|
Export-Import Bank of Korea |
4.625% |
3/16/10 |
2,450 |
2,460 |
|
|
|
Export-Import Bank of Korea |
5.125% |
2/14/11 |
11,900 |
11,915 |
|
|
|
Export-Import Bank of Korea |
5.500% |
10/17/12 |
9,325 |
9,395 |
|
|
|
Export-Import Bank of Korea |
5.125% |
3/16/15 |
1,075 |
1,025 |
|
|
|
Federation of Malaysia |
8.750% |
6/1/09 |
6,500 |
6,755 |
|
|
|
Federation of Malaysia |
7.500% |
7/15/11 |
11,100 |
11,946 |
|
|
|
Federative Republic of Brazil |
9.250% |
10/22/10 |
4,700 |
5,208 |
|
|
|
Federative Republic of Brazil |
11.000% |
1/11/12 |
4,950 |
5,935 |
|
|
|
Federative Republic of Brazil |
7.875% |
3/7/15 |
8,100 |
9,072 |
|
|
|
Federative Republic of Brazil |
6.000% |
1/17/17 |
18,150 |
18,468 |
|
|
3 |
Federative Republic of Brazil |
8.000% |
1/15/18 |
26,650 |
29,595 |
|
|
|
Federative Republic of Brazil |
8.875% |
4/15/24 |
5,475 |
6,967 |
|
|
|
|
Federative Republic of Brazil |
8.750% |
2/4/25 |
13,100 |
16,179 |
|
|
|
Federative Republic of Brazil |
10.125% |
5/15/27 |
14,700 |
20,801 |
|
|
|
Federative Republic of Brazil |
8.250% |
1/20/34 |
16,950 |
20,865 |
|
|
|
Federative Republic of Brazil |
7.125% |
1/20/37 |
9,825 |
10,832 |
|
|
|
Federative Republic of Brazil |
11.000% |
8/17/40 |
29,200 |
38,617 |
|
|
|
Financement Quebec |
5.000% |
10/25/12 |
4,450 |
4,603 |
|
|
|
Inter-American Development Bank |
8.500% |
3/15/11 |
2,240 |
2,501 |
|
|
|
Inter-American Development Bank |
4.750% |
10/19/12 |
4,900 |
5,094 |
|
|
|
Inter-American Development Bank |
3.500% |
3/15/13 |
12,000 |
11,755 |
|
|
|
Inter-American Development Bank |
4.250% |
9/14/15 |
1,900 |
1,894 |
|
|
|
Inter-American Development Bank |
5.125% |
9/13/16 |
300 |
317 |
|
|
|
Inter-American Development Bank |
7.000% |
6/15/25 |
3,175 |
3,925 |
|
|
|
International Bank for Reconstruction & Development |
4.125% |
6/24/09 |
1,725 |
1,735 |
|
|
|
International Bank for Reconstruction & Development |
4.125% |
8/12/09 |
600 |
603 |
|
|
|
International Bank for Reconstruction & Development |
5.000% |
4/1/16 |
18,625 |
19,337 |
|
|
|
International Bank for Reconstruction & Development |
7.625% |
1/19/23 |
4,200 |
5,390 |
|
|
|
International Bank for Reconstruction & Development |
8.875% |
3/1/26 |
1,050 |
1,508 |
|
|
|
International Bank for Reconstruction & Development |
4.750% |
2/15/35 |
775 |
755 |
|
|
|
Japan Bank International |
4.750% |
5/25/11 |
2,275 |
2,343 |
|
|
|
Japan Bank International |
4.375% |
11/26/12 |
6,400 |
6,458 |
|
|
|
Japan Bank International |
4.250% |
6/18/13 |
28,575 |
28,778 |
|
|
|
Japan Finance Corp. |
5.875% |
3/14/11 |
425 |
449 |
|
|
|
Japan Finance Corp. |
4.625% |
4/21/15 |
8,400 |
8,445 |
|
|
|
Japan Finance Corp. |
5.000% |
5/16/17 |
5,000 |
5,162 |
|
|
|
KFW International Finance Inc. |
4.500% |
9/21/09 |
20,225 |
20,552 |
|
|
|
KFW International Finance Inc. |
4.875% |
10/19/09 |
11,000 |
11,262 |
|
|
|
Korea Development Bank |
4.750% |
7/20/09 |
17,225 |
17,310 |
|
|
|
Korea Development Bank |
4.625% |
9/16/10 |
2,675 |
2,703 |
|
|
|
Korea Development Bank |
5.300% |
1/17/13 |
2,675 |
2,671 |
|
|
|
Korea Development Bank |
5.750% |
9/10/13 |
9,015 |
9,058 |
|
|
|
Korea Electric Power |
7.750% |
4/1/13 |
6,950 |
7,649 |
|
|
|
Kreditanstalt fur Wiederaufbau |
5.000% |
6/1/10 |
11,750 |
12,200 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.250% |
6/15/10 |
13,350 |
13,487 |
|
|
|
Kreditanstalt fur Wiederaufbau |
3.250% |
2/15/11 |
25,925 |
25,930 |
|
|
|
Kreditanstalt fur Wiederaufbau |
3.750% |
6/27/11 |
26,450 |
26,620 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.750% |
5/15/12 |
16,000 |
16,547 |
|
|
^ |
Kreditanstalt fur Wiederaufbau |
3.250% |
3/15/13 |
70,350 |
68,697 |
|
|
|
Kreditanstalt fur Wiederaufbau |
3.500% |
5/16/13 |
14,625 |
14,329 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.125% |
10/15/14 |
1,725 |
1,701 |
|
|
|
Kreditanstalt fur Wiederaufbau |
5.125% |
3/14/16 |
26,635 |
27,758 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.375% |
3/15/18 |
2,650 |
2,605 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.500% |
7/16/18 |
17,400 |
17,356 |
|
|
|
Landeskreditbank Baden-Wuerttemberg—Foerderbank |
4.250% |
9/15/10 |
1,925 |
1,950 |
|
|
|
Landeskreditbank Baden-Wuerttemberg—Foerderbank |
4.875% |
1/13/12 |
12,000 |
12,454 |
|
|
|
Landwirtschaftliche Rentenbank |
3.625% |
10/20/09 |
1,475 |
1,474 |
|
|
|
Landwirtschaftliche Rentenbank |
3.875% |
3/15/10 |
750 |
761 |
|
|
|
Landwirtschaftliche Rentenbank |
5.250% |
7/2/12 |
5,225 |
5,504 |
|
|
|
Landwirtschaftliche Rentenbank |
3.250% |
3/15/13 |
25,050 |
24,418 |
|
|
|
Landwirtschaftliche Rentenbank |
4.875% |
11/16/15 |
3,925 |
4,071 |
|
|
|
Landwirtschaftliche Rentenbank |
5.125% |
2/1/17 |
4,975 |
5,183 |
|
|
|
Mass Transit Railway Corp. |
7.500% |
11/8/10 |
425 |
455 |
|
|
|
Nordic Investment Bank |
2.875% |
6/15/09 |
300 |
300 |
|
|
|
Nordic Investment Bank |
3.875% |
6/15/10 |
750 |
752 |
|
|
|
Nordic Investment Bank |
4.500% |
9/13/10 |
4,000 |
4,125 |
|
|
|
Nordic Investment Bank |
4.875% |
3/15/11 |
500 |
518 |
|
|
|
Nordic Investment Bank |
5.000% |
2/1/17 |
5,350 |
5,527 |
|
|
|
Oesterreichische Kontrollbank |
4.250% |
10/6/10 |
400 |
412 |
|
|
|
Oesterreichische Kontrollbank |
2.875% |
3/15/11 |
12,000 |
11,935 |
|
|
|
Oesterreichische Kontrollbank |
4.750% |
11/8/11 |
3,250 |
3,349 |
|
|
|
Oesterreichische Kontrollbank |
4.750% |
10/16/12 |
5,275 |
5,476 |
|
|
|
Oesterreichische Kontrollbank |
5.000% |
4/25/17 |
13,675 |
14,275 |
|
|
|
Ontario Hydro Electric |
7.450% |
3/31/13 |
4,700 |
5,363 |
|
|
|
Pemex Project Funding Master Trust |
9.125% |
10/13/10 |
395 |
432 |
|
5 |
|
Pemex Project Funding Master Trust |
5.750% |
3/1/18 |
32,675 |
32,675 |
|
5 |
|
Pemex Project Funding Master Trust |
6.625% |
6/15/35 |
5,475 |
5,393 |
|
|
|
Pemex Project Funding Master Trust |
6.625% |
6/15/35 |
8,524 |
8,396 |
|
5 |
Pemex Project Funding Master Trust |
6.625% |
6/15/38 |
7,200 |
7,371 |
|
|
|
People’s Republic of China |
4.750% |
10/29/13 |
2,125 |
2,136 |
|
|
|
Petrobras International Finance |
6.125% |
10/6/16 |
16,325 |
16,307 |
|
|
|
Petrobras International Finance |
5.875% |
3/1/18 |
6,550 |
6,304 |
|
|
|
Petrobras International Finance |
8.375% |
12/10/18 |
4,000 |
4,590 |
|
|
|
Province of Manitoba |
7.500% |
2/22/10 |
5,075 |
5,365 |
|
|
|
Province of Nova Scotia |
5.750% |
2/27/12 |
1,975 |
2,102 |
|
|
|
Province of Ontario |
3.625% |
10/21/09 |
2,000 |
1,996 |
|
|
|
Province of Ontario |
2.750% |
2/22/11 |
3,000 |
2,940 |
|
|
|
Province of Ontario |
5.000% |
10/18/11 |
19,825 |
20,541 |
|
|
|
Province of Ontario |
3.500% |
7/15/13 |
9,800 |
9,526 |
|
|
|
Province of Ontario |
4.750% |
1/19/16 |
2,200 |
2,228 |
|
|
|
Province of Ontario |
5.450% |
4/27/16 |
37,500 |
39,695 |
|
|
|
Province of Quebec |
5.000% |
7/17/09 |
23,145 |
23,550 |
|
|
|
Province of Quebec |
6.125% |
1/22/11 |
8,135 |
8,627 |
|
|
|
Province of Quebec |
4.875% |
5/5/14 |
750 |
769 |
|
|
|
Province of Quebec |
4.600% |
5/26/15 |
3,575 |
3,548 |
|
|
|
Province of Quebec |
5.125% |
11/14/16 |
26,875 |
27,598 |
|
|
|
Province of Quebec |
4.625% |
5/14/18 |
7,450 |
7,302 |
|
|
|
Province of Quebec |
7.125% |
2/9/24 |
1,230 |
1,482 |
|
|
|
Province of Quebec |
7.500% |
9/15/29 |
7,280 |
9,405 |
|
|
|
Province of Saskatchewan |
7.375% |
7/15/13 |
1,600 |
1,853 |
|
|
|
Quebec Hydro Electric |
6.300% |
5/11/11 |
16,350 |
17,464 |
|
|
|
Quebec Hydro Electric |
8.000% |
2/1/13 |
7,700 |
9,034 |
|
|
|
Quebec Hydro Electric |
7.500% |
4/1/16 |
1,825 |
2,162 |
|
|
|
Quebec Hydro Electric |
8.400% |
1/15/22 |
950 |
1,250 |
|
|
|
Quebec Hydro Electric |
8.050% |
7/7/24 |
3,000 |
3,926 |
|
|
|
Quebec Hydro Electric |
8.500% |
12/1/29 |
500 |
708 |
|
|
|
Region of Lombardy, Italy |
5.804% |
10/25/32 |
2,750 |
2,986 |
|
||||
|
|
Republic of Chile |
7.125% |
1/11/12 |
4,075 |
4,396 |
|
||||
|
|
Republic of Chile |
5.500% |
1/15/13 |
2,990 |
3,068 |
|
||||
|
|
Republic of Hungary |
4.750% |
2/3/15 |
10,525 |
10,245 |
|
||||
|
|
Republic of Italy |
6.000% |
2/22/11 |
12,325 |
12,979 |
|
||||
|
|
Republic of Italy |
3.500% |
7/15/11 |
8,850 |
8,812 |
|
||||
|
|
Republic of Italy |
5.625% |
6/15/12 |
19,125 |
20,328 |
|
||||
|
|
Republic of Italy |
4.500% |
1/21/15 |
18,350 |
18,258 |
|
||||
|
|
Republic of Italy |
4.750% |
1/25/16 |
26,075 |
26,521 |
|
||||
|
|
Republic of Italy |
5.250% |
9/20/16 |
14,025 |
14,748 |
|
||||
|
|
Republic of Italy |
6.875% |
9/27/23 |
12,950 |
15,472 |
|
||||
|
|
Republic of Italy |
5.375% |
6/15/33 |
19,525 |
19,919 |
|
||||
|
|
Republic of Korea |
4.250% |
6/1/13 |
21,775 |
21,219 |
|
||||
|
|
Republic of Korea |
5.625% |
11/3/25 |
1,750 |
1,721 |
|
||||
|
|
Republic of Poland |
6.250% |
7/3/12 |
7,725 |
8,185 |
|
||||
|
|
Republic of Poland |
5.250% |
1/15/14 |
770 |
778 |
|
||||
|
|
Republic of Poland |
5.000% |
10/19/15 |
3,625 |
3,626 |
|
||||
|
|
Republic of South Africa |
7.375% |
4/25/12 |
17,350 |
18,315 |
|
||||
|
|
Republic of South Africa |
6.500% |
6/2/14 |
1,025 |
1,051 |
|
||||
|
|
Republic of South Africa |
5.875% |
5/30/22 |
4,100 |
3,813 |
|
||||
|
|
State of Israel |
4.625% |
6/15/13 |
1,700 |
1,694 |
|
||||
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
11/9/16 |
8,875 |
9,052 |
|
||||
|
|
Swedish Export Credit Corp. |
4.875% |
1/19/10 |
2,500 |
2,560 |
|
||||
|
|
Swedish Export Credit Corp. |
4.000% |
6/15/10 |
2,775 |
2,779 |
|
||||
|
|
Swedish Export Credit Corp. |
4.500% |
9/27/10 |
18,725 |
19,305 |
|
||||
|
|
United Mexican States |
9.875% |
2/1/10 |
3,055 |
3,325 |
|
||||
|
|
United Mexican States |
8.375% |
1/14/11 |
11,617 |
12,633 |
|
||||
|
|
United Mexican States |
7.500% |
1/14/12 |
5,597 |
6,059 |
|
||||
|
|
United Mexican States |
6.375% |
1/16/13 |
5,605 |
5,899 |
|
||||
|
|
United Mexican States |
5.875% |
1/15/14 |
8,075 |
8,358 |
|
||||
|
|
United Mexican States |
6.625% |
3/3/15 |
2,711 |
2,908 |
|
||||
|
|
United Mexican States |
11.375% |
9/15/16 |
6,000 |
8,325 |
|
||||
|
|
United Mexican States |
5.625% |
1/15/17 |
46,125 |
46,609 |
|
||||
|
|
United Mexican States |
8.300% |
8/15/31 |
11,375 |
14,190 |
|
||||
|
|
United Mexican States |
6.750% |
9/27/34 |
50,813 |
53,862 |
|
||||
|
|
United Mexican States |
6.050% |
1/11/40 |
6,200 |
5,952 |
|
||||
|
|
|
|
|
|
|
|
||||
|
Total Sovereign Bonds (Cost $1,783,130) |
|
|
|
1,790,661 |
|
|||||
|
Taxable Municipal Bonds (0.2%) |
|
|
|
|
||||||
|
|
Connecticut GO |
5.850% |
3/15/32 |
9,900 |
10,213 |
|||||
|
|
Illinois (Taxable Pension) GO |
4.950% |
6/1/23 |
15,300 |
14,694 |
|||||
|
|
Illinois (Taxable Pension) GO |
5.100% |
6/1/33 |
45,850 |
43,166 |
|||||
|
|
Kansas Dev. Finance Auth. Rev. |
|
|
|
|
|||||
|
|
(Public Employee Retirement System) |
5.501% |
5/1/34 |
5,500 |
5,500 |
|||||
|
|
New Jersey Econ. Dev. Auth. State Pension Rev. |
7.425% |
2/15/29 |
4,150 |
5,009 |
|||||
|
|
New Jersey Turnpike Auth. Rev. |
4.252% |
1/1/16 |
190 |
187 |
|||||
|
|
New Jersey Turnpike Auth. Rev. |
4.252% |
1/1/16 |
3,485 |
3,305 |
|||||
|
|
Oregon (Taxable Pension) GO |
5.762% |
6/1/23 |
2,375 |
2,399 |
|||||
|
|
Oregon (Taxable Pension) GO |
5.892% |
6/1/27 |
3,250 |
3,290 |
|||||
|
|
Oregon School Board Assn. |
4.759% |
6/30/28 |
2,475 |
2,209 |
|||||
|
|
Oregon School Board Assn. |
5.528% |
6/30/28 |
1,475 |
1,466 |
|||||
|
|
Tobacco Settlement Finance Auth. Rev. |
7.467% |
6/1/47 |
5,050 |
4,622 |
|||||
|
|
Wisconsin Public Service Rev. |
4.800% |
5/1/13 |
3,025 |
3,030 |
|||||
|
|
Wisconsin Public Service Rev. |
5.700% |
5/1/26 |
3,425 |
3,397 |
|||||
|
Total Taxable Municipal Bonds (Cost $102,594) |
|
|
|
102,487 |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Temporary Cash Investments (0.9%) |
|
|
|
|
|
|
6 |
Vanguard Market Liquidity Fund |
2.405% |
|
517,695,185 |
517,695 |
|
6 |
Vanguard Market Liquidity Fund |
2.405% |
|
40,081,850 |
40,082 |
|
Total Temporary Cash Investments (Cost $557,777) |
|
|
557,777 |
||
|
Total Investments (99.9%) (Cost $63,441,657) |
|
|
|
63,212,482 |
|
|
Other Assets and Liabilities—Net (0.1%) |
|
|
|
34,651 |
|
|
Net Assets (100%) |
|
|
|
63,247,133 |
|
|
* |
Non-income-producing security—security in default. |
|
^ |
Part of security position is on loan to broker-dealers. |
|
1 |
Securities with a value of $14,269,000 have been segregated as collateral for open swap contracts. |
|
2 |
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. |
|
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 |
Adjustable-rate note. |
|
5 |
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 June 30, 2008, the aggregate value of these securities was $458,306,000, representing 0.7% of net assets. |
|
6 |
Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
GO—General Obligation Bond.
|
Vanguard ® Short-Term Bond Index Fund |
|
|
|
|
|
Schedule of Investments |
|
|
|
|
|
June 30, 2008 |
|
|
|
|
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value |
|
|
Coupon |
Date |
($000) |
($000) |
|
U.S. Government and Agency Obligations (65.4%) |
|
|
|
|
|
U.S. Government Securities (42.5%) |
|
|
|
|
|
U.S. Treasury Bond |
13.250% |
5/15/14 |
35,000 |
38,205 |
|
U.S. Treasury Note |
3.125% |
9/15/08 |
3,455 |
3,464 |
|
U.S. Treasury Note |
3.375% |
11/15/08 |
9,635 |
9,682 |
|
U.S. Treasury Note |
3.375% |
12/15/08 |
10,925 |
10,993 |
|
U.S. Treasury Note |
3.250% |
1/15/09 |
4,100 |
4,128 |
|
U.S. Treasury Note |
4.750% |
2/28/09 |
10,165 |
10,332 |
|
U.S. Treasury Note |
4.500% |
4/30/09 |
22,130 |
22,524 |
|
U.S. Treasury Note |
4.875% |
5/15/09 |
6,910 |
7,058 |
|
U.S. Treasury Note |
4.000% |
6/15/09 |
7,070 |
7,177 |
|
U.S. Treasury Note |
4.625% |
7/31/09 |
68,985 |
70,612 |
|
U.S. Treasury Note |
3.500% |
8/15/09 |
6,230 |
6,310 |
|
U.S. Treasury Note |
4.875% |
8/15/09 |
52,825 |
54,245 |
|
U.S. Treasury Note |
6.000% |
8/15/09 |
63,615 |
66,090 |
|
U.S. Treasury Note |
3.375% |
9/15/09 |
13,500 |
13,673 |
|
U.S. Treasury Note |
4.000% |
9/30/09 |
64,225 |
65,520 |
|
U.S. Treasury Note |
3.625% |
10/31/09 |
60,525 |
61,547 |
|
U.S. Treasury Note |
3.500% |
11/15/09 |
7,690 |
7,811 |
|
U.S. Treasury Note |
3.125% |
11/30/09 |
408,275 |
412,422 |
|
U.S. Treasury Note |
3.500% |
12/15/09 |
56,035 |
56,937 |
|
U.S. Treasury Note |
3.250% |
12/31/09 |
68,500 |
69,324 |
|
U.S. Treasury Note |
3.500% |
2/15/10 |
83,220 |
84,625 |
|
U.S. Treasury Note |
4.750% |
2/15/10 |
29,225 |
30,275 |
|
U.S. Treasury Note |
6.500% |
2/15/10 |
165,640 |
176,251 |
|
U.S. Treasury Note |
4.000% |
3/15/10 |
152,855 |
156,747 |
|
U.S. Treasury Note |
4.000% |
4/15/10 |
178,315 |
182,856 |
|
U.S. Treasury Note |
3.875% |
5/15/10 |
285 |
292 |
|
U.S. Treasury Note |
4.500% |
5/15/10 |
60,965 |
63,109 |
|
U.S. Treasury Note |
3.625% |
6/15/10 |
755 |
770 |
|
U.S. Treasury Note |
3.875% |
7/15/10 |
9,500 |
9,739 |
|
U.S. Treasury Note |
4.125% |
8/15/10 |
111,720 |
115,106 |
|
U.S. Treasury Note |
5.750% |
8/15/10 |
3,350 |
3,564 |
|
U.S. Treasury Note |
4.500% |
11/15/10 |
300 |
312 |
|
U.S. Treasury Note |
4.375% |
12/15/10 |
6,200 |
6,442 |
|
U.S. Treasury Note |
4.500% |
2/28/11 |
57,450 |
59,901 |
|
U.S. Treasury Note |
4.750% |
3/31/11 |
21,635 |
22,707 |
|
U.S. Treasury Note |
4.875% |
4/30/11 |
4,215 |
4,444 |
|
U.S. Treasury Note |
5.125% |
6/30/11 |
36,580 |
38,883 |
|
U.S. Treasury Note |
4.875% |
7/31/11 |
20,350 |
21,501 |
|
U.S. Treasury Note |
4.625% |
8/31/11 |
33,975 |
35,626 |
|
U.S. Treasury Note |
4.500% |
9/30/11 |
7,255 |
7,583 |
|
U.S. Treasury Note |
4.625% |
10/31/11 |
630 |
661 |
|
U.S. Treasury Note |
4.500% |
11/30/11 |
92,685 |
96,957 |
|
U.S. Treasury Note |
4.625% |
12/31/11 |
125 |
131 |
|
U.S. Treasury Note |
4.750% |
1/31/12 |
60,740 |
64,109 |
|
U.S. Treasury Note |
4.625% |
2/29/12 |
11,935 |
12,552 |
|
U.S. Treasury Note |
4.500% |
3/31/12 |
90,465 |
94,748 |
|
U.S. Treasury Note |
4.500% |
4/30/12 |
107,090 |
112,260 |
|
U.S. Treasury Note |
4.750% |
5/31/12 |
179,080 |
189,375 |
|
U.S. Treasury Note |
4.875% |
6/30/12 |
71,300 |
75,768 |
|
U.S. Treasury Note |
4.625% |
7/31/12 |
176,450 |
186,017 |
|
U.S. Treasury Note |
4.375% |
8/15/12 |
25 |
26 |
|
U.S. Treasury Note |
4.125% |
8/31/12 |
85,760 |
88,748 |
|
|
U.S. Treasury Note |
3.875% |
10/31/12 |
41,100 |
42,147 |
|
|
U.S. Treasury Note |
3.375% |
11/30/12 |
2,400 |
2,411 |
|
|
U.S. Treasury Note |
2.875% |
1/31/13 |
24,175 |
23,759 |
|
|
U.S. Treasury Note |
3.875% |
2/15/13 |
4,770 |
4,889 |
|
|
U.S. Treasury Note |
2.750% |
2/28/13 |
79,425 |
77,539 |
|
|
U.S. Treasury Note |
3.625% |
5/15/13 |
4,870 |
4,940 |
|
|
U.S. Treasury Note |
3.375% |
6/30/13 |
64,000 |
64,080 |
|
|
U.S. Treasury Note |
4.250% |
8/15/13 |
155,125 |
161,815 |
|
|
U.S. Treasury Note |
4.250% |
11/15/13 |
525 |
548 |
|
|
|
|
|
|
3,322,267 |
|
Agency Bonds and Notes (22.9%) |
|
|
|
|
|
|
1 |
Federal Farm Credit Bank |
5.250% |
8/3/09 |
14,775 |
15,115 |
|
1 |
Federal Farm Credit Bank |
5.000% |
10/23/09 |
3,000 |
3,071 |
|
1 |
Federal Farm Credit Bank |
5.250% |
9/13/10 |
2,325 |
2,416 |
|
1 |
Federal Farm Credit Bank |
3.750% |
12/6/10 |
24,200 |
24,349 |
|
1 |
Federal Farm Credit Bank |
4.875% |
2/18/11 |
7,000 |
7,232 |
|
1 |
Federal Farm Credit Bank |
2.625% |
4/21/11 |
6,750 |
6,565 |
|
1 |
Federal Farm Credit Bank |
5.375% |
7/18/11 |
2,100 |
2,199 |
|
1 |
Federal Farm Credit Bank |
3.875% |
8/25/11 |
6,300 |
6,329 |
|
1 |
Federal Farm Credit Bank |
4.500% |
10/17/12 |
4,200 |
4,267 |
|
1 |
Federal Home Loan Bank |
5.375% |
7/17/09 |
61,600 |
63,065 |
|
1 |
Federal Home Loan Bank |
5.250% |
8/5/09 |
12,775 |
13,066 |
|
1 |
Federal Home Loan Bank |
5.250% |
9/11/09 |
12,400 |
12,708 |
|
1 |
Federal Home Loan Bank |
5.000% |
9/18/09 |
41,000 |
41,962 |
|
1 |
Federal Home Loan Bank |
5.000% |
12/11/09 |
11,225 |
11,519 |
|
1 |
Federal Home Loan Bank |
3.750% |
1/8/10 |
625 |
631 |
|
1 |
Federal Home Loan Bank |
3.875% |
1/15/10 |
46,375 |
46,888 |
|
1 |
Federal Home Loan Bank |
2.750% |
3/12/10 |
6,575 |
6,522 |
|
1 |
Federal Home Loan Bank |
4.375% |
3/17/10 |
22,025 |
22,462 |
|
1 |
Federal Home Loan Bank |
4.875% |
5/14/10 |
30,350 |
31,257 |
|
1 |
Federal Home Loan Bank |
5.250% |
6/11/10 |
5,450 |
5,645 |
|
1 |
Federal Home Loan Bank |
2.750% |
6/18/10 |
46,650 |
46,198 |
|
1 |
Federal Home Loan Bank |
4.500% |
6/22/10 |
10,000 |
10,221 |
|
1 |
Federal Home Loan Bank |
3.500% |
7/16/10 |
13,000 |
13,050 |
|
1 |
Federal Home Loan Bank |
4.750% |
12/10/10 |
2,325 |
2,393 |
|
1 |
Federal Home Loan Bank |
3.625% |
12/17/10 |
4,700 |
4,723 |
|
1 |
Federal Home Loan Bank |
3.250% |
3/11/11 |
5,000 |
4,952 |
|
1 |
Federal Home Loan Bank |
3.125% |
6/10/11 |
900 |
886 |
|
1 |
Federal Home Loan Bank |
3.375% |
6/24/11 |
30,000 |
29,775 |
|
1 |
Federal Home Loan Bank |
5.375% |
8/19/11 |
7,350 |
7,724 |
|
1 |
Federal Home Loan Bank |
4.875% |
11/18/11 |
62,750 |
64,964 |
|
1 |
Federal Home Loan Bank |
5.750% |
5/15/12 |
14,000 |
14,892 |
|
1 |
Federal Home Loan Bank |
4.625% |
10/10/12 |
40,000 |
40,833 |
|
1 |
Federal Home Loan Bank |
4.500% |
11/15/12 |
30,000 |
30,586 |
|
1 |
Federal Home Loan Bank |
3.625% |
5/29/13 |
2,475 |
2,420 |
|
1 |
Federal Home Loan Mortgage Corp. |
5.000% |
6/11/09 |
30,000 |
30,636 |
|
1 |
Federal Home Loan Mortgage Corp. |
6.625% |
9/15/09 |
41,250 |
43,039 |
|
1 |
Federal Home Loan Mortgage Corp. |
4.750% |
11/3/09 |
25,000 |
25,575 |
|
1 |
Federal Home Loan Mortgage Corp. |
2.875% |
4/30/10 |
31,000 |
30,824 |
|
1 |
Federal Home Loan Mortgage Corp. |
2.875% |
6/28/10 |
30,000 |
29,793 |
|
1 |
Federal Home Loan Mortgage Corp. |
4.125% |
7/12/10 |
45,600 |
46,393 |
|
1 |
Federal Home Loan Mortgage Corp. |
5.125% |
8/23/10 |
56,600 |
58,704 |
|
1 |
Federal Home Loan Mortgage Corp. |
6.875% |
9/15/10 |
50,000 |
53,722 |
|
1 |
Federal Home Loan Mortgage Corp. |
4.750% |
1/18/11 |
12,000 |
12,379 |
|
1 |
Federal Home Loan Mortgage Corp. |
3.250% |
2/25/11 |
28,500 |
28,325 |
|
1 |
Federal Home Loan Mortgage Corp. |
5.625% |
3/15/11 |
20,000 |
21,075 |
|
1 |
Federal Home Loan Mortgage Corp. |
5.125% |
4/18/11 |
26,000 |
27,064 |
|
1 |
Federal Home Loan Mortgage Corp. |
6.000% |
6/15/11 |
12,500 |
13,326 |
|
1 |
Federal Home Loan Mortgage Corp. |
3.875% |
6/29/11 |
4,475 |
4,504 |
|
1 |
Federal Home Loan Mortgage Corp. |
5.250% |
7/18/11 |
22,500 |
23,514 |
|
1 |
Federal Home Loan Mortgage Corp. |
4.750% |
3/5/12 |
25,000 |
25,714 |
|
1 |
Federal Home Loan Mortgage Corp. |
5.125% |
7/15/12 |
10,000 |
10,435 |
|
1 |
Federal Home Loan Mortgage Corp. |
5.500% |
8/20/12 |
20,000 |
21,118 |
|
1 |
Federal Home Loan Mortgage Corp. |
4.625% |
10/25/12 |
32,900 |
33,631 |
|
1 |
Federal Home Loan Mortgage Corp. |
4.125% |
12/21/12 |
22,850 |
22,866 |
|
1 |
Federal Home Loan Mortgage Corp. |
4.500% |
7/15/13 |
15,000 |
15,218 |
|
1 |
Federal National Mortgage Assn. |
5.125% |
7/13/09 |
12,000 |
12,252 |
|
1 |
Federal National Mortgage Assn. |
6.625% |
9/15/09 |
56,000 |
58,374 |
|
1 |
Federal National Mortgage Assn. |
7.250% |
1/15/10 |
60,250 |
63,957 |
|
1 |
Federal National Mortgage Assn. |
3.250% |
2/10/10 |
9,275 |
9,295 |
|
1 |
Federal National Mortgage Assn. |
3.875% |
2/15/10 |
31,975 |
32,392 |
|
1 |
Federal National Mortgage Assn. |
4.750% |
3/12/10 |
35,575 |
36,506 |
|
1 |
Federal National Mortgage Assn. |
2.500% |
4/9/10 |
50,000 |
49,416 |
|
1 |
Federal National Mortgage Assn. |
3.000% |
7/12/10 |
6,675 |
6,641 |
|
1 |
Federal National Mortgage Assn. |
4.375% |
9/13/10 |
25,000 |
25,564 |
|
1 |
Federal National Mortgage Assn. |
6.625% |
11/15/10 |
33,850 |
36,322 |
|
1 |
Federal National Mortgage Assn. |
4.750% |
12/15/10 |
10,750 |
11,091 |
|
1 |
Federal National Mortgage Assn. |
4.500% |
2/15/11 |
14,300 |
14,665 |
|
1 |
Federal National Mortgage Assn. |
5.500% |
3/15/11 |
5,000 |
5,250 |
|
1 |
Federal National Mortgage Assn. |
5.125% |
4/15/11 |
25,250 |
26,253 |
|
1 |
Federal National Mortgage Assn. |
6.000% |
5/15/11 |
55,700 |
59,232 |
|
1 |
Federal National Mortgage Assn. |
3.375% |
5/19/11 |
20,000 |
19,881 |
|
1 |
Federal National Mortgage Assn. |
5.000% |
10/15/11 |
25,000 |
25,955 |
|
1 |
Federal National Mortgage Assn. |
6.125% |
3/15/12 |
25,100 |
26,974 |
|
1 |
Federal National Mortgage Assn. |
4.875% |
5/18/12 |
19,200 |
19,827 |
|
1 |
Federal National Mortgage Assn. |
4.750% |
11/19/12 |
15,000 |
15,394 |
|
1 |
Federal National Mortgage Assn. |
3.625% |
2/12/13 |
35,750 |
35,001 |
|
1 |
Federal National Mortgage Assn. |
3.875% |
7/12/13 |
24,325 |
23,983 |
|
|
|
|
|
|
1,792,965 |
|
Total U.S. Government and Agency Obligations (Cost $5,075,139) |
|
5,115,232 |
|||
|
Corporate Bonds (28.0%) |
|
|
|
|
|
|
Asset-Backed/Commercial Mortgage-Backed Securities (0.3%) |
|
|
|||
|
3 |
BA Covered Bond Issuer |
5.500% |
6/14/12 |
5,400 |
5,556 |
|
2 |
Countrywide Home Loans |
4.802% |
5/25/33 |
366 |
355 |
|
2 |
DaimlerChrysler Auto Trust |
5.330% |
8/8/10 |
2,637 |
2,648 |
|
2 |
Honda Auto Receivables Owner Trust |
5.300% |
7/21/10 |
4,694 |
4,721 |
|
2 |
Salomon Brothers Mortgage Securities VII |
4.112% |
9/25/33 |
3,091 |
2,971 |
|
2 |
USAA Auto Owner Trust |
5.360% |
2/15/11 |
4,722 |
4,750 |
|
2 |
Wachovia Auto Owner Trust |
4.790% |
4/20/10 |
390 |
390 |
|
|
|
|
|
|
21,391 |
|
Finance (13.6%) |
|
|
|
|
|
|
|
Banking (5.8%) |
|
|
|
|
|
|
BB&T Corp. |
6.500% |
8/1/11 |
4,050 |
4,139 |
|
|
BB&T Corp. |
4.750% |
10/1/12 |
1,500 |
1,447 |
|
|
Bank One Corp. |
5.900% |
11/15/11 |
1,500 |
1,514 |
|
2 |
Bank of America Capital Trust XIV |
5.630% |
12/31/49 |
2,150 |
1,688 |
|
|
Bank of America Corp. |
4.500% |
8/1/10 |
7,600 |
7,619 |
|
|
Bank of America Corp. |
4.250% |
10/1/10 |
9,725 |
9,679 |
|
|
Bank of America Corp. |
4.375% |
12/1/10 |
3,075 |
3,068 |
|
|
Bank of America Corp. |
5.375% |
8/15/11 |
5,975 |
6,042 |
|
|
Bank of America Corp. |
6.250% |
4/15/12 |
2,875 |
2,984 |
|
|
Bank of America Corp. |
4.875% |
9/15/12 |
3,000 |
2,970 |
|
|
Bank of America Corp. |
4.875% |
1/15/13 |
3,500 |
3,400 |
|
|
Bank of America Corp. |
4.900% |
5/1/13 |
4,850 |
4,792 |
|
|
Bank of New York Mellon |
4.950% |
1/14/11 |
2,825 |
2,853 |
|
|
Bank of New York Mellon |
6.375% |
4/1/12 |
1,000 |
1,050 |
|
|
Bank of New York Mellon |
4.950% |
11/1/12 |
5,075 |
5,084 |
|
|
Bank of New York Mellon |
4.500% |
4/1/13 |
2,200 |
2,155 |
|
|
Bank of Tokyo-Mitsubishi |
8.400% |
4/15/10 |
5,250 |
5,580 |
|
|
|
Barclays Bank PLC |
5.450% |
9/12/12 |
5,375 |
5,445 |
|
|
|
Charter One Bank N.A. |
5.500% |
4/26/11 |
1,850 |
1,875 |
|
|
|
Citigroup, Inc. |
4.250% |
7/29/09 |
6,245 |
6,270 |
|
|
|
Citigroup, Inc. |
4.125% |
2/22/10 |
7,550 |
7,479 |
|
|
|
Citigroup, Inc. |
4.625% |
8/3/10 |
7,275 |
7,198 |
|
|
|
Citigroup, Inc. |
6.500% |
1/18/11 |
9,000 |
9,342 |
|
|
|
Citigroup, Inc. |
5.125% |
2/14/11 |
2,075 |
2,070 |
|
|
|
Citigroup, Inc. |
5.100% |
9/29/11 |
5,405 |
5,368 |
|
|
|
Citigroup, Inc. |
5.250% |
2/27/12 |
5,800 |
5,754 |
|
|
|
Citigroup, Inc. |
5.625% |
8/27/12 |
3,500 |
3,466 |
|
|
|
Citigroup, Inc. |
5.300% |
10/17/12 |
6,675 |
6,527 |
|
|
|
Citigroup, Inc. |
5.500% |
4/11/13 |
11,625 |
11,227 |
|
|
|
Credit Suisse First Boston USA, Inc. |
4.700% |
6/1/09 |
3,000 |
3,022 |
|
|
|
Credit Suisse First Boston USA, Inc. |
4.125% |
1/15/10 |
2,025 |
2,029 |
|
|
|
Credit Suisse First Boston USA, Inc. |
4.875% |
8/15/10 |
925 |
936 |
|
|
|
Credit Suisse First Boston USA, Inc. |
5.250% |
3/2/11 |
4,150 |
4,212 |
|
|
|
Credit Suisse First Boston USA, Inc. |
6.125% |
11/15/11 |
8,400 |
8,600 |
|
|
|
Credit Suisse First Boston USA, Inc. |
6.500% |
1/15/12 |
16,700 |
17,316 |
|
|
|
Credit Suisse New York |
5.000% |
5/15/13 |
2,600 |
2,562 |
|
|
|
Deutsche Bank AG London |
5.375% |
10/12/12 |
10,675 |
10,823 |
|
|
|
Deutsche Bank Financial |
4.875% |
5/20/13 |
7,875 |
7,769 |
|
|
|
Fifth Third Bank |
4.200% |
2/23/10 |
1,000 |
961 |
|
|
|
Fifth Third Bank |
6.250% |
5/1/13 |
1,925 |
1,767 |
|
|
|
FirstStar Bank |
7.125% |
12/1/09 |
2,000 |
2,085 |
|
|
|
Golden West Financial Corp. |
4.750% |
10/1/12 |
3,575 |
3,463 |
|
|
|
HSBC Bank USA |
3.875% |
9/15/09 |
7,875 |
7,856 |
|
|
3 |
ICICI Bank Ltd. |
6.625% |
10/3/12 |
4,775 |
4,694 |
|
|
|
JPMorgan Chase & Co. |
4.500% |
11/15/10 |
2,100 |
2,106 |
|
|
|
JPMorgan Chase & Co. |
6.750% |
2/1/11 |
8,850 |
9,216 |
|
|
|
JPMorgan Chase & Co. |
5.600% |
6/1/11 |
12,300 |
12,621 |
|
|
|
JPMorgan Chase & Co. |
4.850% |
6/16/11 |
2,300 |
2,315 |
|
|
|
JPMorgan Chase & Co. |
6.625% |
3/15/12 |
3,725 |
3,897 |
|
|
|
JPMorgan Chase & Co. |
5.375% |
10/1/12 |
13,325 |
13,462 |
|
|
|
JPMorgan Chase & Co. |
5.750% |
1/2/13 |
1,900 |
1,917 |
|
|
|
JPMorgan Chase & Co. |
4.750% |
5/1/13 |
5,325 |
5,127 |
|
|
|
Key Bank NA |
7.000% |
2/1/11 |
975 |
977 |
|
|
|
Key Bank NA |
5.500% |
9/17/12 |
225 |
205 |
|
|
|
KeyCorp |
6.500% |
5/14/13 |
2,975 |
2,623 |
|
|
|
MBNA America Bank NA |
4.625% |
8/3/09 |
2,250 |
2,262 |
|
|
|
MBNA America Bank NA |
6.625% |
6/15/12 |
1,000 |
1,058 |
|
|
|
MBNA Corp. |
7.500% |
3/15/12 |
2,400 |
2,581 |
|
|
|
MBNA Corp. |
6.125% |
3/1/13 |
675 |
698 |
|
|
|
Marshall & Ilsley Bank |
5.250% |
9/4/12 |
1,850 |
1,741 |
|
|
|
Marshall & Ilsley Corp. |
4.375% |
8/1/09 |
4,350 |
4,228 |
|
|
2 |
Mellon Capital IV |
6.244% |
6/29/49 |
1,750 |
1,461 |
|
|
|
Mellon Financial Co. |
6.375% |
2/15/10 |
1,000 |
1,036 |
|
|
|
National Australia Bank |
8.600% |
5/19/10 |
2,000 |
2,139 |
|
|
|
National City Bank |
4.150% |
8/1/09 |
2,550 |
2,448 |
|
|
|
National City Bank |
4.500% |
3/15/10 |
600 |
546 |
|
|
|
National City Bank |
6.250% |
3/15/11 |
1,500 |
1,331 |
|
|
|
National City Bank |
4.625% |
5/1/13 |
1,525 |
1,236 |
|
|
2 |
National City Preferred Capital Trust I |
12.000% |
12/31/49 |
2,225 |
2,000 |
|
|
|
National Westminster Bank PLC |
7.375% |
10/1/09 |
4,000 |
4,121 |
|
|
3 |
Nationwide Building Society |
5.500% |
7/18/12 |
2,700 |
2,740 |
|
|
|
PNC Funding Corp. |
7.500% |
11/1/09 |
1,875 |
1,948 |
|
|
|
PNC Funding Corp. |
5.125% |
12/14/10 |
2,950 |
2,956 |
|
|
|
Regions Financial Corp. |
4.375% |
12/1/10 |
500 |
490 |
|
|
|
Regions Financial Corp. |
7.000% |
3/1/11 |
1,500 |
1,531 |
|
|
|
Regions Financial Corp. |
6.375% |
5/15/12 |
5,050 |
4,988 |
|
|
|
Royal Bank of Canada |
4.125% |
1/26/10 |
5,400 |
5,439 |
|
|
|
Royal Bank of Scotland Group PLC |
6.375% |
2/1/11 |
1,500 |
1,538 |
|
|
|
Santander Central Hispano Issuances |
7.625% |
11/3/09 |
5,000 |
5,181 |
|
|
|
Santander Central Hispano Issuances |
7.625% |
9/14/10 |
1,650 |
1,745 |
|
|
|
Sanwa Bank Ltd. |
8.350% |
7/15/09 |
3,000 |
3,114 |
|
|
|
Sanwa Bank Ltd. |
7.400% |
6/15/11 |
3,825 |
4,063 |
|
|
|
Sovereign Bancorp, Inc. |
4.800% |
9/1/10 |
2,600 |
2,293 |
|
|
|
Sovereign Bank |
5.125% |
3/15/13 |
1,600 |
1,247 |
|
|
|
Sumitomo Bank International Finance NV |
8.500% |
6/15/09 |
6,025 |
6,257 |
|
|
|
SunTrust Banks, Inc. |
6.375% |
4/1/11 |
4,500 |
4,675 |
|
|
|
SunTrust Banks, Inc. |
5.250% |
11/5/12 |
1,575 |
1,549 |
|
|
2 |
SunTrust Banks, Inc. |
5.853% |
12/31/49 |
2,125 |
1,579 |
|
|
|
US Bank NA |
6.375% |
8/1/11 |
7,200 |
7,567 |
|
|
2 |
USB Capital IX |
6.189% |
4/15/49 |
2,050 |
1,534 |
|
|
2,3 |
Unicredit Luxembourg Finance |
5.584% |
1/13/12 |
500 |
479 |
|
|
2 |
Wachovia Capital Trust III |
5.800% |
3/15/42 |
5,950 |
4,106 |
|
|
|
Wachovia Corp. |
4.375% |
6/1/10 |
6,225 |
6,154 |
|
|
|
Wachovia Corp. |
7.800% |
8/18/10 |
2,000 |
2,110 |
|
|
|
Wachovia Corp. |
5.300% |
10/15/11 |
8,975 |
8,831 |
|
|
|
Wachovia Corp. |
5.500% |
5/1/13 |
5,325 |
5,156 |
|
|
|
Washington Mutual Bank |
6.875% |
6/15/11 |
1,975 |
1,698 |
|
|
|
Washington Mutual Bank |
5.500% |
1/15/13 |
1,500 |
1,242 |
|
|
|
Washington Mutual, Inc. |
4.200% |
1/15/10 |
1,400 |
1,276 |
|
|
|
Washington Mutual, Inc. |
8.250% |
4/1/10 |
1,500 |
1,366 |
|
|
|
Washington Mutual, Inc. |
5.500% |
8/24/11 |
5,000 |
4,425 |
|
|
|
Wells Fargo & Co. |
4.200% |
1/15/10 |
19,050 |
19,114 |
|
|
|
Wells Fargo & Co. |
4.875% |
1/12/11 |
4,325 |
4,384 |
|
|
|
Wells Fargo & Co. |
6.375% |
8/1/11 |
1,500 |
1,574 |
|
|
|
Wells Fargo & Co. |
5.300% |
8/26/11 |
5,125 |
5,166 |
|
|
|
Wells Fargo & Co. |
5.250% |
10/23/12 |
10,075 |
10,002 |
|
|
|
Wells Fargo & Co. |
4.375% |
1/31/13 |
9,000 |
8,586 |
|
|
2 |
Wells Fargo Capital XIII |
7.700% |
12/29/49 |
5,925 |
5,978 |
|
|
|
World Savings Bank, FSB |
4.125% |
12/15/09 |
1,150 |
1,140 |
|
|
|
Brokerage (2.5%) |
|
|
|
|
|
|
|
Ameriprise Financial Inc. |
5.350% |
11/15/10 |
2,150 |
2,116 |
|
|
|
Amvescap PLC |
5.375% |
2/27/13 |
975 |
908 |
|
|
|
Bear Stearns Co., Inc. |
7.625% |
12/7/09 |
1,000 |
1,037 |
|
|
|
Bear Stearns Co., Inc. |
4.550% |
6/23/10 |
4,800 |
4,758 |
|
|
|
Bear Stearns Co., Inc. |
4.500% |
10/28/10 |
6,900 |
6,822 |
|
|
|
Bear Stearns Co., Inc. |
5.500% |
8/15/11 |
1,425 |
1,411 |
|
|
|
Bear Stearns Co., Inc. |
5.350% |
2/1/12 |
7,325 |
7,264 |
|
|
|
Bear Stearns Co., Inc. |
6.950% |
8/10/12 |
1,500 |
1,562 |
|
|
2 |
Goldman Sachs Capital II |
5.793% |
6/1/12 |
6,250 |
4,421 |
|
|
|
Goldman Sachs Group, Inc. |
7.350% |
10/1/09 |
1,500 |
1,566 |
|
|
|
Goldman Sachs Group, Inc. |
4.500% |
6/15/10 |
5,915 |
5,921 |
|
|
|
Goldman Sachs Group, Inc. |
6.875% |
1/15/11 |
5,325 |
5,542 |
|
|
|
Goldman Sachs Group, Inc. |
6.600% |
1/15/12 |
15,925 |
16,615 |
|
|
|
Goldman Sachs Group, Inc. |
5.300% |
2/14/12 |
5,500 |
5,491 |
|
|
|
Goldman Sachs Group, Inc. |
5.450% |
11/1/12 |
3,900 |
3,924 |
|
|
|
Goldman Sachs Group, Inc. |
5.250% |
4/1/13 |
1,575 |
1,563 |
|
|
|
Goldman Sachs Group, Inc. |
5.250% |
10/15/13 |
3,050 |
3,023 |
|
|
|
Janus Capital Group |
5.875% |
9/15/11 |
850 |
822 |
|
|
2 |
Lehman Brothers Capital Trust VII |
5.857% |
11/29/49 |
4,000 |
2,560 |
|
|
|
Lehman Brothers Holdings, Inc. |
3.950% |
11/10/09 |
5,700 |
5,545 |
|
|
|
Lehman Brothers Holdings, Inc. |
4.250% |
1/27/10 |
725 |
703 |
|
|
|
Lehman Brothers Holdings, Inc. |
4.500% |
7/26/10 |
2,850 |
2,740 |
|
|
|
Lehman Brothers Holdings, Inc. |
7.875% |
8/15/10 |
2,000 |
2,033 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.000% |
1/14/11 |
3,150 |
3,049 |
|
|
Lehman Brothers Holdings, Inc. |
5.750% |
7/18/11 |
2,800 |
2,757 |
|
|
Lehman Brothers Holdings, Inc. |
6.625% |
1/18/12 |
7,375 |
7,323 |
|
|
Lehman Brothers Holdings, Inc. |
5.250% |
2/6/12 |
3,250 |
3,095 |
|
|
Lehman Brothers Holdings, Inc. |
6.000% |
7/19/12 |
2,225 |
2,152 |
|
|
Lehman Brothers Holdings, Inc. |
5.625% |
1/24/13 |
8,700 |
8,259 |
|
|
Lehman Brothers Holdings, Inc. |
5.750% |
5/17/13 |
2,300 |
2,200 |
|
|
Merrill Lynch & Co., Inc. |
4.125% |
9/10/09 |
2,750 |
2,746 |
|
|
Merrill Lynch & Co., Inc. |
4.250% |
2/8/10 |
4,825 |
4,755 |
|
|
Merrill Lynch & Co., Inc. |
4.790% |
8/4/10 |
1,780 |
1,759 |
|
|
Merrill Lynch & Co., Inc. |
4.500% |
11/4/10 |
3,500 |
3,409 |
|
|
Merrill Lynch & Co., Inc. |
5.770% |
7/25/11 |
1,175 |
1,181 |
|
|
Merrill Lynch & Co., Inc. |
6.050% |
8/15/12 |
7,725 |
7,460 |
|
|
Merrill Lynch & Co., Inc. |
5.450% |
2/5/13 |
2,375 |
2,229 |
|
|
Merrill Lynch & Co., Inc. |
6.150% |
4/25/13 |
5,800 |
5,656 |
|
|
Morgan Stanley Dean Witter |
4.000% |
1/15/10 |
1,850 |
1,836 |
|
|
Morgan Stanley Dean Witter |
4.250% |
5/15/10 |
12,925 |
12,612 |
|
|
Morgan Stanley Dean Witter |
6.750% |
4/15/11 |
5,450 |
5,617 |
|
|
Morgan Stanley Dean Witter |
5.625% |
1/9/12 |
4,950 |
4,931 |
|
|
Morgan Stanley Dean Witter |
6.600% |
4/1/12 |
6,415 |
6,552 |
|
|
Morgan Stanley Dean Witter |
5.750% |
8/31/12 |
5,800 |
5,759 |
|
|
Morgan Stanley Dean Witter |
5.250% |
11/2/12 |
7,125 |
6,936 |
|
|
Morgan Stanley Dean Witter |
5.300% |
3/1/13 |
7,800 |
7,537 |
|
|
Finance Companies (3.5%) |
|
|
|
|
|
|
Allied Capital Corp. |
6.000% |
4/1/12 |
1,150 |
1,074 |
|
|
American Express Bank, FSB |
5.550% |
10/17/12 |
7,175 |
7,059 |
|
|
American Express Bank, FSB |
5.500% |
4/16/13 |
2,000 |
1,988 |
|
|
American Express Centurion Bank |
4.375% |
7/30/09 |
1,625 |
1,634 |
|
|
American Express Centurion Bank |
5.200% |
11/26/10 |
2,150 |
2,170 |
|
|
American Express Centurion Bank |
5.550% |
10/17/12 |
550 |
549 |
|
|
American Express Co. |
4.750% |
6/17/09 |
1,525 |
1,535 |
|
|
American Express Credit Corp. |
5.875% |
5/2/13 |
4,600 |
4,580 |
|
3 |
American Express Travel |
5.250% |
11/21/11 |
2,325 |
2,311 |
|
|
American General Finance Corp. |
3.875% |
10/1/09 |
6,450 |
6,296 |
|
|
American General Finance Corp. |
4.625% |
9/1/10 |
1,000 |
964 |
|
|
American General Finance Corp. |
5.625% |
8/17/11 |
2,100 |
2,032 |
|
|
American General Finance Corp. |
4.875% |
7/15/12 |
1,125 |
1,043 |
|
|
American General Finance Corp. |
5.375% |
10/1/12 |
375 |
351 |
|
|
American General Finance Corp. |
5.850% |
6/1/13 |
4,575 |
4,253 |
|
|
Block Financial LLC |
7.875% |
1/15/13 |
800 |
857 |
|
|
CIT Group Co. of Canada |
4.650% |
7/1/10 |
2,350 |
2,018 |
|
|
CIT Group Co. of Canada |
5.600% |
11/2/11 |
375 |
300 |
|
|
CIT Group, Inc. |
4.250% |
2/1/10 |
4,325 |
3,801 |
|
|
CIT Group, Inc. |
5.200% |
11/3/10 |
4,025 |
3,416 |
|
|
CIT Group, Inc. |
4.750% |
12/15/10 |
5,275 |
4,497 |
|
|
CIT Group, Inc. |
5.600% |
4/27/11 |
2,825 |
2,313 |
|
|
CIT Group, Inc. |
5.800% |
7/28/11 |
750 |
617 |
|
|
CIT Group, Inc. |
7.625% |
11/30/12 |
3,025 |
2,632 |
|
|
Capital One Bank |
5.000% |
6/15/09 |
925 |
912 |
|
|
Capital One Bank |
5.750% |
9/15/10 |
1,975 |
1,960 |
|
|
Capital One Financial |
5.700% |
9/15/11 |
4,750 |
4,469 |
|
|
Capital One Financial |
4.800% |
2/21/12 |
50 |
46 |
|
|
Capmark Financial Group |
5.875% |
5/10/12 |
1,800 |
1,260 |
|
|
Countrywide Financial Corp. |
5.800% |
6/7/12 |
3,850 |
3,619 |
|
|
Countrywide Home Loan |
4.125% |
9/15/09 |
9,925 |
9,478 |
|
|
Countrywide Home Loan |
4.000% |
3/22/11 |
1,600 |
1,454 |
|
|
General Electric Capital Corp. |
3.250% |
6/15/09 |
3,350 |
3,355 |
|
|
General Electric Capital Corp. |
5.250% |
10/27/09 |
2,625 |
2,689 |
|
|
General Electric Capital Corp. |
4.250% |
9/13/10 |
4,575 |
4,631 |
|
|
General Electric Capital Corp. |
4.875% |
10/21/10 |
6,900 |
7,028 |
|
|
General Electric Capital Corp. |
5.000% |
12/1/10 |
2,275 |
2,325 |
|
|
General Electric Capital Corp. |
6.125% |
2/22/11 |
19,875 |
20,824 |
|
|
General Electric Capital Corp. |
5.500% |
4/28/11 |
1,550 |
1,598 |
|
|
General Electric Capital Corp. |
5.875% |
2/15/12 |
20,510 |
21,205 |
|
|
General Electric Capital Corp. |
4.375% |
3/3/12 |
2,325 |
2,297 |
|
|
General Electric Capital Corp. |
6.000% |
6/15/12 |
9,600 |
9,926 |
|
|
General Electric Capital Corp. |
5.250% |
10/19/12 |
12,575 |
12,636 |
|
|
General Electric Capital Corp. |
5.450% |
1/15/13 |
5,500 |
5,535 |
|
|
General Electric Capital Corp. |
4.800% |
5/1/13 |
11,000 |
10,786 |
|
|
HSBC Finance Corp. |
4.125% |
11/16/09 |
9,075 |
9,049 |
|
|
HSBC Finance Corp. |
4.625% |
9/15/10 |
4,675 |
4,688 |
|
|
HSBC Finance Corp. |
5.250% |
1/14/11 |
7,675 |
7,723 |
|
|
HSBC Finance Corp. |
5.700% |
6/1/11 |
7,175 |
7,257 |
|
|
HSBC Finance Corp. |
6.375% |
10/15/11 |
3,000 |
3,083 |
|
|
HSBC Finance Corp. |
7.000% |
5/15/12 |
4,400 |
4,582 |
|
|
HSBC Finance Corp. |
5.900% |
6/19/12 |
1,400 |
1,418 |
|
|
HSBC Finance Corp. |
6.375% |
11/27/12 |
3,650 |
3,739 |
|
|
Heller Financial, Inc. |
7.375% |
11/1/09 |
3,200 |
3,349 |
|
|
International Lease Finance Corp. |
4.875% |
9/1/10 |
1,200 |
1,136 |
|
|
International Lease Finance Corp. |
5.125% |
11/1/10 |
2,100 |
1,991 |
|
|
International Lease Finance Corp. |
4.950% |
2/1/11 |
2,300 |
2,147 |
|
|
International Lease Finance Corp. |
5.450% |
3/24/11 |
975 |
915 |
|
|
International Lease Finance Corp. |
5.750% |
6/15/11 |
7,475 |
7,033 |
|
|
International Lease Finance Corp. |
5.300% |
5/1/12 |
5,375 |
4,848 |
|
|
International Lease Finance Corp. |
5.000% |
9/15/12 |
2,900 |
2,562 |
|
|
International Lease Finance Corp. |
6.375% |
3/25/13 |
4,075 |
3,759 |
|
|
iStar Financial Inc. |
6.000% |
12/15/10 |
1,500 |
1,279 |
|
|
iStar Financial Inc. |
5.800% |
3/15/11 |
2,100 |
1,785 |
|
|
iStar Financial Inc. |
5.650% |
9/15/11 |
2,175 |
1,832 |
|
|
SLM Corp. |
4.500% |
7/26/10 |
3,550 |
3,251 |
|
|
SLM Corp. |
5.400% |
10/25/11 |
3,700 |
3,297 |
|
|
SLM Corp. |
5.125% |
8/27/12 |
2,500 |
2,139 |
|
|
SLM Corp. |
5.375% |
1/15/13 |
1,500 |
1,253 |
|
|
Insurance (1.3%) |
|
|
|
|
|
|
AXA Financial, Inc. |
7.750% |
8/1/10 |
2,276 |
2,384 |
|
|
Aetna, Inc. |
7.875% |
3/1/11 |
1,675 |
1,777 |
|
|
Aetna, Inc. |
5.750% |
6/15/11 |
1,575 |
1,614 |
|
|
Allstate Corp. |
7.200% |
12/1/09 |
2,500 |
2,615 |
|
|
Allstate Corp. |
6.125% |
2/15/12 |
1,450 |
1,487 |
|
|
Allstate Life Global Funding |
5.375% |
4/30/13 |
4,175 |
4,155 |
|
|
American International Group, Inc. |
4.700% |
10/1/10 |
2,100 |
2,063 |
|
|
American International Group, Inc. |
5.375% |
10/18/11 |
800 |
792 |
|
|
American International Group, Inc. |
4.950% |
3/20/12 |
2,675 |
2,588 |
|
|
American International Group, Inc. |
4.250% |
5/15/13 |
3,050 |
2,798 |
|
|
Berkshire Hathaway Finance Corp. |
4.125% |
1/15/10 |
12,300 |
12,443 |
|
|
Berkshire Hathaway Finance Corp. |
4.200% |
12/15/10 |
1,000 |
1,018 |
|
|
Berkshire Hathaway Finance Corp. |
4.750% |
5/15/12 |
2,350 |
2,392 |
|
3 |
Berkshire Hathaway Finance Corp. |
4.600% |
5/15/13 |
700 |
691 |
|
|
CNA Financial Corp. |
6.000% |
8/15/11 |
2,150 |
2,144 |
|
|
Genworth Financial, Inc. |
4.750% |
6/15/09 |
1,625 |
1,621 |
|
|
Genworth Financial, Inc. |
5.125% |
3/15/11 |
1,600 |
1,574 |
|
|
Genworth Financial, Inc. |
5.650% |
6/15/12 |
2,500 |
2,424 |
|
|
Hartford Financial Services Group, Inc. |
5.250% |
10/15/11 |
4,025 |
3,984 |
|
|
ING Capital Funding Trust III |
8.439% |
12/31/10 |
4,000 |
4,022 |
|
|
ING USA Global |
4.500% |
10/1/10 |
3,600 |
3,629 |
|
|
Lincoln National Corp. |
6.200% |
12/15/11 |
1,000 |
1,019 |
|
|
Lincoln National Corp. |
5.650% |
8/27/12 |
225 |
225 |
|
|
Marsh & McLennan Cos., Inc. |
5.150% |
9/15/10 |
50 |
49 |
|
|
Marsh & McLennan Cos., Inc. |
6.250% |
3/15/12 |
1,900 |
1,935 |
|
|
MetLife, Inc. |
5.375% |
12/15/12 |
2,850 |
2,859 |
|
|
Principal Life Income Funding |
5.125% |
3/1/11 |
775 |
778 |
|
|
Principal Life Income Funding |
5.300% |
12/14/12 |
1,900 |
1,901 |
|
|
Principal Life Income Funding |
5.300% |
4/24/13 |
2,100 |
2,101 |
|
|
Progressive Corp. |
6.375% |
1/15/12 |
500 |
511 |
|
|
Protective Life Secured Trust |
4.850% |
8/16/10 |
1,700 |
1,712 |
|
|
Prudential Financial, Inc. |
5.100% |
12/14/11 |
1,200 |
1,195 |
|
|
Prudential Financial, Inc. |
5.800% |
6/15/12 |
1,275 |
1,302 |
|
|
Prudential Financial, Inc. |
5.150% |
1/15/13 |
2,150 |
2,113 |
|
|
Safeco Corp. |
4.875% |
2/1/10 |
2,500 |
2,477 |
|
|
Travelers Cos. Inc. |
5.375% |
6/15/12 |
700 |
695 |
|
|
Travelers Property Casualty Corp. |
5.000% |
3/15/13 |
2,500 |
2,470 |
|
|
UnitedHealth Group, Inc. |
4.125% |
8/15/09 |
1,425 |
1,417 |
|
|
UnitedHealth Group, Inc. |
5.250% |
3/15/11 |
4,525 |
4,517 |
|
|
UnitedHealth Group, Inc. |
5.500% |
11/15/12 |
575 |
567 |
|
|
UnitedHealth Group, Inc. |
4.875% |
2/15/13 |
1,625 |
1,576 |
|
|
UnitedHealth Group, Inc. |
4.875% |
4/1/13 |
1,625 |
1,567 |
|
|
WellPoint Inc. |
4.250% |
12/15/09 |
900 |
891 |
|
|
WellPoint Inc. |
5.000% |
1/15/11 |
1,950 |
1,934 |
|
|
WellPoint Inc. |
6.375% |
1/15/12 |
1,650 |
1,678 |
|
|
WellPoint Inc. |
6.800% |
8/1/12 |
1,150 |
1,189 |
|
|
Willis North America Inc. |
5.125% |
7/15/10 |
900 |
884 |
|
|
XL Capital Ltd. |
6.500% |
1/15/12 |
2,575 |
2,532 |
|
|
Real Estate Investment Trusts (0.5%) |
|
|
|
|
|
|
AMB Property LP |
6.300% |
6/1/13 |
475 |
476 |
|
|
AvalonBay Communities, Inc. |
5.500% |
1/15/12 |
2,000 |
1,966 |
|
|
Boston Properties, Inc. |
6.250% |
1/15/13 |
2,100 |
2,121 |
|
|
Brandywine Operating Partnership |
4.500% |
11/1/09 |
1,500 |
1,451 |
|
|
Brandywine Operating Partnership |
5.750% |
4/1/12 |
2,750 |
2,592 |
|
|
Developers Diversified Realty Corp. |
5.250% |
4/15/11 |
1,500 |
1,433 |
|
|
Duke Realty LP |
5.625% |
8/15/11 |
575 |
562 |
|
|
ERP Operating LP |
6.625% |
3/15/12 |
1,350 |
1,378 |
|
|
ERP Operating LP |
5.500% |
10/1/12 |
2,000 |
1,960 |
|
|
Health Care Property Investors, Inc. |
5.950% |
9/15/11 |
625 |
596 |
|
|
Health Care Property Investors, Inc. |
6.450% |
6/25/12 |
750 |
719 |
|
|
Nationwide Health Properties, Inc. |
6.250% |
2/1/13 |
1,850 |
1,811 |
|
|
ProLogis |
5.250% |
11/15/10 |
4,475 |
4,422 |
|
|
Regency Centers LP |
6.750% |
1/15/12 |
1,650 |
1,649 |
|
|
Simon Property Group Inc. |
4.600% |
6/15/10 |
175 |
174 |
|
|
Simon Property Group Inc. |
4.875% |
8/15/10 |
2,975 |
2,956 |
|
|
Simon Property Group Inc. |
5.600% |
9/1/11 |
1,250 |
1,238 |
|
|
Simon Property Group Inc. |
5.000% |
3/1/12 |
5,900 |
5,729 |
|
|
Simon Property Group Inc. |
5.300% |
5/30/13 |
1,925 |
1,868 |
|
|
Vornado Realty |
5.600% |
2/15/11 |
1,100 |
1,082 |
|
|
|
|
|
|
1,059,840 |
|
Industrial (12.1%) |
|
|
|
|
|
|
|
Basic Industry (0.7%) |
|
|
|
|
|
|
Alcan, Inc. |
6.450% |
3/15/11 |
3,150 |
3,268 |
|
|
Alcan, Inc. |
4.500% |
5/15/13 |
775 |
746 |
|
|
Alcoa, Inc. |
6.000% |
1/15/12 |
4,275 |
4,294 |
|
|
Alcoa, Inc. |
5.375% |
1/15/13 |
650 |
636 |
|
3 |
ArcelorMittal |
5.375% |
6/1/13 |
3,550 |
3,502 |
|
|
BHP Billiton Finance |
5.000% |
12/15/10 |
1,000 |
1,010 |
|
|
BHP Billiton Finance |
4.800% |
4/15/13 |
3,000 |
2,910 |
|
|
BHP Finance USA Ltd. |
5.125% |
3/29/12 |
475 |
471 |
|
|
Celulosa Arauco Constitution SA |
8.625% |
8/15/10 |
3,500 |
3,754 |
|
Dow Chemical Co. |
6.125% |
2/1/11 |
2,725 |
2,810 |
|
Dow Chemical Co. |
6.000% |
10/1/12 |
3,000 |
3,081 |
|
E.I. du Pont de Nemours & Co. |
6.875% |
10/15/09 |
3,500 |
3,649 |
|
E.I. du Pont de Nemours & Co. |
4.125% |
4/30/10 |
1,175 |
1,187 |
|
E.I. du Pont de Nemours & Co. |
5.000% |
1/15/13 |
1,600 |
1,614 |
|
E.I. du Pont de Nemours & Co. |
4.125% |
3/6/13 |
1,000 |
975 |
|
Falconbridge Ltd. |
7.350% |
6/5/12 |
1,000 |
1,055 |
|
International Paper Co. |
4.000% |
4/1/10 |
2,000 |
1,948 |
|
Monsanto Co. |
7.375% |
8/15/12 |
1,200 |
1,310 |
|
Noranda, Inc. |
7.250% |
7/15/12 |
1,500 |
1,558 |
|
Nucor Corp. |
5.000% |
12/1/12 |
925 |
930 |
|
Nucor Corp. |
5.000% |
6/1/13 |
425 |
426 |
|
PPG Industries, Inc. |
5.750% |
3/15/13 |
1,875 |
1,899 |
|
Potash Corp. of Saskatchewan |
7.750% |
5/31/11 |
2,400 |
2,585 |
|
Praxair, Inc. |
6.375% |
4/1/12 |
1,250 |
1,329 |
|
Rio Tinto Finance USA Ltd. |
5.875% |
7/15/13 |
2,450 |
2,463 |
|
Weyerhaeuser Co. |
6.750% |
3/15/12 |
6,300 |
6,477 |
|
Capital Goods (1.5%) |
|
|
|
|
|
Bemis Co. Inc. |
4.875% |
4/1/12 |
1,600 |
1,573 |
|
Boeing Capital Corp. |
6.100% |
3/1/11 |
4,850 |
5,077 |
|
Boeing Capital Corp. |
6.500% |
2/15/12 |
2,200 |
2,332 |
|
Boeing Capital Corp. |
5.800% |
1/15/13 |
2,750 |
2,901 |
|
CRH America Inc. |
5.625% |
9/30/11 |
2,500 |
2,448 |
|
CRH America Inc. |
6.950% |
3/15/12 |
2,000 |
1,994 |
|
Caterpillar Financial Services Corp. |
4.150% |
1/15/10 |
2,900 |
2,926 |
|
Caterpillar Financial Services Corp. |
4.300% |
6/1/10 |
8,975 |
9,106 |
|
Caterpillar Financial Services Corp. |
4.250% |
2/8/13 |
700 |
683 |
|
Emerson Electric Co. |
7.125% |
8/15/10 |
500 |
534 |
|
Emerson Electric Co. |
4.625% |
10/15/12 |
3,200 |
3,224 |
|
General Dynamics Corp. |
4.500% |
8/15/10 |
875 |
891 |
|
General Dynamics Corp. |
4.250% |
5/15/13 |
3,800 |
3,752 |
|
General Electric Co. |
5.000% |
2/1/13 |
13,500 |
13,560 |
|
Hanson PLC |
7.875% |
9/27/10 |
2,000 |
2,116 |
|
Hanson PLC |
5.250% |
3/15/13 |
2,900 |
2,831 |
|
Honeywell International, Inc. |
7.500% |
3/1/10 |
1,000 |
1,059 |
|
Honeywell International, Inc. |
6.125% |
11/1/11 |
2,000 |
2,114 |
|
Honeywell International, Inc. |
5.625% |
8/1/12 |
775 |
805 |
|
Honeywell International, Inc. |
4.250% |
3/1/13 |
2,050 |
2,023 |
|
John Deere Capital Corp |
4.400% |
7/15/09 |
2,500 |
2,532 |
|
John Deere Capital Corp |
4.950% |
12/17/12 |
1,475 |
1,484 |
|
John Deere Capital Corp. |
5.400% |
10/17/11 |
1,325 |
1,350 |
|
John Deere Capital Corp. |
7.000% |
3/15/12 |
8,400 |
9,051 |
|
Lafarge SA |
6.150% |
7/15/11 |
3,175 |
3,188 |
|
Lockheed Martin Corp. |
4.121% |
3/14/13 |
2,000 |
1,927 |
|
Masco Corp. |
5.875% |
7/15/12 |
2,500 |
2,387 |
|
Minnesota Mining & Manufacturing Corp. |
5.125% |
11/6/09 |
575 |
592 |
|
Mohawk Industries Inc. |
5.750% |
1/15/11 |
3,000 |
2,985 |
|
Northrop Grumman Corp. |
7.125% |
2/15/11 |
4,250 |
4,507 |
|
Raytheon Co. |
4.850% |
1/15/11 |
2,000 |
2,013 |
|
Raytheon Co. |
5.375% |
4/1/13 |
725 |
738 |
|
Republic Services, Inc. |
6.750% |
8/15/11 |
1,000 |
1,023 |
|
Textron Financial Corp. |
6.000% |
11/20/09 |
800 |
817 |
|
Textron Financial Corp. |
4.600% |
5/3/10 |
2,300 |
2,292 |
|
Textron Financial Corp. |
5.125% |
11/1/10 |
2,275 |
2,286 |
|
Textron Financial Corp. |
5.400% |
4/28/13 |
1,350 |
1,337 |
|
Textron, Inc. |
6.500% |
6/1/12 |
2,100 |
2,198 |
|
Tyco International Group SA |
6.125% |
11/1/08 |
1,100 |
1,103 |
|
Tyco International Group SA |
6.125% |
1/15/09 |
2,500 |
2,506 |
|
Tyco International Group SA |
6.750% |
2/15/11 |
1,950 |
2,015 |
|
Tyco International Group SA |
6.375% |
10/15/11 |
2,000 |
2,066 |
|
United Technologies Corp. |
4.375% |
5/1/10 |
2,625 |
2,670 |
|
United Technologies Corp. |
7.125% |
11/15/10 |
2,000 |
2,152 |
|
United Technologies Corp. |
6.350% |
3/1/11 |
1,225 |
1,297 |
|
United Technologies Corp. |
6.100% |
5/15/12 |
1,000 |
1,058 |
|
Vulcan Materials Co. |
6.300% |
6/15/13 |
1,250 |
1,262 |
|
Communication (3.1%) |
|
|
|
|
|
AT&T Inc. |
4.125% |
9/15/09 |
5,150 |
5,155 |
|
AT&T Inc. |
5.300% |
11/15/10 |
2,400 |
2,468 |
|
AT&T Inc. |
6.250% |
3/15/11 |
9,200 |
9,536 |
|
AT&T Inc. |
7.300% |
11/15/11 |
8,925 |
9,457 |
|
AT&T Inc. |
5.875% |
2/1/12 |
5,100 |
5,251 |
|
AT&T Inc. |
5.875% |
8/15/12 |
1,450 |
1,497 |
|
AT&T Inc. |
4.950% |
1/15/13 |
5,000 |
4,982 |
|
AT&T Wireless |
7.875% |
3/1/11 |
12,250 |
13,041 |
|
AT&T Wireless |
8.125% |
5/1/12 |
3,900 |
4,271 |
|
BellSouth Corp. |
4.200% |
9/15/09 |
3,900 |
3,924 |
|
British Sky Broadcasting Corp. |
8.200% |
7/15/09 |
2,750 |
2,839 |
|
British Telecommunications PLC |
8.625% |
12/15/10 |
7,325 |
7,873 |
|
British Telecommunications PLC |
5.150% |
1/15/13 |
2,000 |
1,952 |
|
CenturyTel, Inc. |
7.875% |
8/15/12 |
1,000 |
1,047 |
|
Cingular Wireless LLC |
6.500% |
12/15/11 |
1,000 |
1,039 |
|
Comcast Cable Communications Holdings Inc. |
8.375% |
3/15/13 |
5,800 |
6,419 |
|
Comcast Cable Communications, Inc. |
6.875% |
6/15/09 |
1,000 |
1,021 |
|
Comcast Cable Communications, Inc. |
6.750% |
1/30/11 |
11,875 |
12,330 |
|
Comcast Corp. |
5.850% |
1/15/10 |
75 |
76 |
|
Comcast Corp. |
5.500% |
3/15/11 |
2,275 |
2,287 |
|
Cox Communications, Inc. |
7.875% |
8/15/09 |
1,500 |
1,546 |
|
Cox Communications, Inc. |
4.625% |
1/15/10 |
4,850 |
4,799 |
|
Cox Communications, Inc. |
6.750% |
3/15/11 |
2,175 |
2,248 |
|
Cox Communications, Inc. |
7.125% |
10/1/12 |
2,950 |
3,096 |
|
Deutsche Telekom International Finance |
8.500% |
6/15/10 |
9,375 |
9,909 |
|
France Telecom |
7.750% |
3/1/11 |
10,025 |
10,664 |
|
Gannett Co., Inc. |
6.375% |
4/1/12 |
1,175 |
1,140 |
|
Koninklijke KPN NV |
8.000% |
10/1/10 |
2,000 |
2,123 |
|
McGraw-Hill Cos. Inc. |
5.375% |
11/15/12 |
2,075 |
2,071 |
|
Qwest Communications International Inc. |
7.875% |
9/1/11 |
2,375 |
2,375 |
|
Qwest Communications International Inc. |
8.875% |
3/15/12 |
3,875 |
3,962 |
|
R.R. Donnelley & Sons Co. |
4.950% |
5/15/10 |
900 |
881 |
|
R.R. Donnelley & Sons Co. |
5.625% |
1/15/12 |
600 |
588 |
|
Rogers Communications Inc. |
7.250% |
12/15/12 |
3,500 |
3,684 |
|
Telecom Italia Capital |
4.000% |
1/15/10 |
3,605 |
3,553 |
|
Telecom Italia Capital |
4.875% |
10/1/10 |
1,000 |
992 |
|
Telecom Italia Capital |
6.200% |
7/18/11 |
700 |
716 |
|
Telefonica Emisiones SAU |
5.984% |
6/20/11 |
5,300 |
5,415 |
|
Telefonica Emisiones SAU |
5.855% |
2/4/13 |
3,000 |
3,067 |
|
Telefonica Europe BV |
7.750% |
9/15/10 |
5,000 |
5,264 |
|
Telefonos de Mexico SA |
4.750% |
1/27/10 |
4,650 |
4,656 |
|
Telus Corp. |
8.000% |
6/1/11 |
5,000 |
5,370 |
|
Thomson Corp. |
6.200% |
1/5/12 |
1,500 |
1,529 |
|
Thomson Corp. |
5.950% |
7/15/13 |
750 |
753 |
|
Time Warner Cable Inc. |
5.400% |
7/2/12 |
5,300 |
5,236 |
|
Time Warner Cable Inc. |
6.200% |
7/1/13 |
1,850 |
1,878 |
|
|
Time Warner Entertainment |
8.875% |
10/1/12 |
1,000 |
1,102 |
|
|
Verizon Communications Corp. |
5.350% |
2/15/11 |
3,800 |
3,902 |
|
|
Verizon Communications Corp. |
4.350% |
2/15/13 |
2,950 |
2,832 |
|
|
Verizon Communications Corp. |
5.250% |
4/15/13 |
3,125 |
3,106 |
|
|
Verizon Florida, Inc. |
6.125% |
1/15/13 |
1,500 |
1,514 |
|
|
Verizon Global Funding Corp. |
7.250% |
12/1/10 |
6,400 |
6,786 |
|
|
Verizon Global Funding Corp. |
6.875% |
6/15/12 |
2,500 |
2,672 |
|
|
Verizon Global Funding Corp. |
7.375% |
9/1/12 |
1,000 |
1,079 |
|
|
Verizon New England, Inc. |
6.500% |
9/15/11 |
2,500 |
2,575 |
|
|
Verizon New Jersey, Inc. |
5.875% |
1/17/12 |
2,000 |
2,042 |
|
|
Verizon New York, Inc. |
6.875% |
4/1/12 |
2,000 |
2,096 |
|
|
Verizon Pennsylvania, Inc. |
5.650% |
11/15/11 |
2,000 |
2,016 |
|
|
Verizon Virginia, Inc. |
4.625% |
3/15/13 |
3,600 |
3,501 |
|
|
Viacom Inc. |
7.700% |
7/30/10 |
2,475 |
2,580 |
|
|
Viacom Inc. |
6.625% |
5/15/11 |
2,000 |
2,041 |
|
|
Viacom Inc. |
5.625% |
8/15/12 |
2,225 |
2,208 |
|
|
Vodafone AirTouch PLC |
7.750% |
2/15/10 |
6,235 |
6,538 |
|
|
Vodafone Group PLC |
5.500% |
6/15/11 |
850 |
862 |
|
|
Vodafone Group PLC |
5.350% |
2/27/12 |
6,075 |
6,143 |
|
|
Consumer Cyclical (2.0%) |
|
|
|
|
|
|
Best Buy Co. |
6.750% |
7/15/13 |
1,750 |
1,762 |
|
|
CVS Caremark Corp. |
4.000% |
9/15/09 |
1,750 |
1,741 |
|
|
CVS Caremark Corp. |
5.750% |
8/15/11 |
1,800 |
1,836 |
|
2 |
CVS Caremark Corp. |
6.302% |
6/1/12 |
2,500 |
2,164 |
|
|
Costco Wholesale Corp. |
5.300% |
3/15/12 |
4,200 |
4,330 |
|
|
DaimlerChrysler North America Holding Corp. |
7.200% |
9/1/09 |
6,100 |
6,281 |
|
|
DaimlerChrysler North America Holding Corp. |
4.875% |
6/15/10 |
2,200 |
2,207 |
|
|
DaimlerChrysler North America Holding Corp. |
8.000% |
6/15/10 |
1,175 |
1,236 |
|
|
DaimlerChrysler North America Holding Corp. |
5.875% |
3/15/11 |
6,350 |
6,410 |
|
|
DaimlerChrysler North America Holding Corp. |
5.750% |
9/8/11 |
10,300 |
10,397 |
|
|
DaimlerChrysler North America Holding Corp. |
7.300% |
1/15/12 |
3,475 |
3,654 |
|
|
Darden Restaurants Inc. |
5.625% |
10/15/12 |
1,300 |
1,258 |
|
|
Federated Retail Holding |
5.350% |
3/15/12 |
6,100 |
5,666 |
|
|
Home Depot Inc. |
3.750% |
9/15/09 |
1,125 |
1,115 |
|
|
Home Depot Inc. |
4.625% |
8/15/10 |
3,425 |
3,400 |
|
|
Home Depot Inc. |
5.200% |
3/1/11 |
1,325 |
1,322 |
|
|
J.C. Penney Co., Inc. |
8.000% |
3/1/10 |
3,000 |
3,089 |
|
|
Johnson Controls, Inc. |
5.250% |
1/15/11 |
1,975 |
1,999 |
|
|
Limited Brands Inc. |
6.125% |
12/1/12 |
800 |
764 |
|
|
Lowe’s Cos., Inc. |
8.250% |
6/1/10 |
2,000 |
2,156 |
|
|
Lowe’s Cos., Inc. |
5.600% |
9/15/12 |
1,200 |
1,233 |
|
|
Macy’s Retail Holdings Inc. |
4.800% |
7/15/09 |
1,500 |
1,482 |
|
|
Marriott International |
4.625% |
6/15/12 |
1,175 |
1,087 |
|
|
Marriott International |
5.625% |
2/15/13 |
1,425 |
1,340 |
|
|
McDonald’s Corp. |
5.750% |
3/1/12 |
1,800 |
1,880 |
|
|
Starwood Hotel Resorts |
7.875% |
5/1/12 |
2,500 |
2,485 |
|
|
Starwood Hotel Resorts |
6.250% |
2/15/13 |
1,900 |
1,833 |
|
|
Target Corp. |
7.500% |
8/15/10 |
3,000 |
3,206 |
|
|
Target Corp. |
6.350% |
1/15/11 |
4,900 |
5,140 |
|
|
Target Corp. |
5.125% |
1/15/13 |
1,075 |
1,089 |
|
|
The Walt Disney Co. |
5.700% |
7/15/11 |
2,900 |
3,023 |
|
|
The Walt Disney Co. |
6.375% |
3/1/12 |
1,500 |
1,590 |
|
|
The Walt Disney Co. |
4.700% |
12/1/12 |
7,200 |
7,260 |
|
|
Time Warner, Inc. |
6.750% |
4/15/11 |
1,750 |
1,801 |
|
|
Time Warner, Inc. |
5.500% |
11/15/11 |
7,150 |
7,087 |
|
|
Time Warner, Inc. |
6.875% |
5/1/12 |
3,075 |
3,149 |
|
|
Toll Brothers, Inc. |
6.875% |
11/15/12 |
750 |
731 |
|
|
Toyota Motor Credit Corp. |
4.250% |
3/15/10 |
1,750 |
1,781 |
|
|
Toyota Motor Credit Corp. |
4.350% |
12/15/10 |
2,300 |
2,349 |
|
|
Toyota Motor Credit Corp. |
5.450% |
5/18/11 |
3,000 |
3,113 |
|
|
Viacom Inc. |
5.750% |
4/30/11 |
2,925 |
2,922 |
|
|
Wal-Mart Stores, Inc. |
6.875% |
8/10/09 |
6,050 |
6,278 |
|
|
Wal-Mart Stores, Inc. |
4.000% |
1/15/10 |
1,600 |
1,615 |
|
|
Wal-Mart Stores, Inc. |
4.125% |
7/1/10 |
8,150 |
8,258 |
|
|
Wal-Mart Stores, Inc. |
4.125% |
2/15/11 |
6,475 |
6,503 |
|
|
Wal-Mart Stores, Inc. |
4.250% |
4/15/13 |
2,400 |
2,383 |
|
|
Wal-Mart Stores, Inc. |
4.550% |
5/1/13 |
3,050 |
3,063 |
|
|
Western Union Co. |
5.400% |
11/17/11 |
1,925 |
1,914 |
|
|
Yum! Brands, Inc. |
8.875% |
4/15/11 |
2,100 |
2,270 |
|
|
Yum! Brands, Inc. |
7.700% |
7/1/12 |
1,600 |
1,719 |
|
|
Consumer Noncyclical (2.4%) |
|
|
|
|
|
|
Abbott Laboratories |
3.750% |
3/15/11 |
2,275 |
2,264 |
|
|
Abbott Laboratories |
5.600% |
5/15/11 |
6,825 |
7,120 |
|
|
Abbott Laboratories |
5.150% |
11/30/12 |
3,325 |
3,398 |
|
|
AmerisourceBergen Corp. |
5.625% |
9/15/12 |
1,225 |
1,215 |
|
|
Amgen Inc. |
4.000% |
11/18/09 |
3,150 |
3,165 |
|
|
Anheuser Busch Cos., Inc. |
4.700% |
4/15/12 |
1,500 |
1,443 |
|
|
Anheuser-Busch Cos., Inc. |
6.000% |
4/15/11 |
800 |
810 |
|
|
Anheuser-Busch Cos., Inc. |
4.375% |
1/15/13 |
1,500 |
1,437 |
|
|
AstraZeneca PLC |
5.400% |
9/15/12 |
8,875 |
9,075 |
|
|
Baxter Finco, BV |
4.750% |
10/15/10 |
500 |
508 |
|
|
Biogen Idec Inc. |
6.000% |
3/1/13 |
2,700 |
2,685 |
|
|
Bottling Group LLC |
4.625% |
11/15/12 |
4,500 |
4,559 |
|
|
Campbell Soup Co. |
6.750% |
2/15/11 |
1,000 |
1,054 |
|
|
Cardinal Health, Inc. |
6.750% |
2/15/11 |
425 |
440 |
|
|
Cardinal Health, Inc. |
5.650% |
6/15/12 |
375 |
375 |
|
|
Cia. Brasil de Bebidas AmBev |
10.500% |
12/15/11 |
1,300 |
1,502 |
|
|
Clorox Co. |
4.200% |
1/15/10 |
2,650 |
2,626 |
|
|
Coca-Cola Enterprises Inc. |
4.375% |
9/15/09 |
1,550 |
1,570 |
|
|
Colgate-Palmolive Co. |
5.980% |
4/25/12 |
1,250 |
1,317 |
|
|
ConAgra Foods, Inc. |
7.875% |
9/15/10 |
1,000 |
1,059 |
|
|
ConAgra Foods, Inc. |
6.750% |
9/15/11 |
387 |
405 |
|
|
Covidien International |
5.450% |
10/15/12 |
2,425 |
2,435 |
|
|
Diageo Capital PLC |
4.375% |
5/3/10 |
500 |
503 |
|
|
Diageo Capital PLC |
5.200% |
1/30/13 |
5,036 |
5,068 |
|
|
Diageo Finance BV |
3.875% |
4/1/11 |
3,500 |
3,423 |
|
3 |
Dr. Pepper Snapple Group |
6.120% |
5/1/13 |
325 |
327 |
|
|
Eli Lilly & Co. |
6.000% |
3/15/12 |
1,000 |
1,061 |
|
|
Fortune Brands Inc. |
5.125% |
1/15/11 |
3,150 |
3,108 |
|
|
Genentech Inc. |
4.400% |
7/15/10 |
850 |
863 |
|
|
General Mills, Inc. |
6.000% |
2/15/12 |
4,675 |
4,800 |
|
|
General Mills, Inc. |
5.650% |
9/10/12 |
3,050 |
3,115 |
|
|
Gillette Co. |
3.800% |
9/15/09 |
2,000 |
2,015 |
|
|
GlaxoSmithKline Capital Inc. |
4.850% |
5/15/13 |
7,750 |
7,720 |
|
|
H.J. Heinz Co. |
6.625% |
7/15/11 |
2,500 |
2,609 |
|
|
H.J. Heinz Co. |
6.000% |
3/15/12 |
1,500 |
1,545 |
|
|
Hospira, Inc. |
4.950% |
6/15/09 |
575 |
573 |
|
|
Johnson & Johnson |
5.150% |
8/15/12 |
2,075 |
2,169 |
|
|
Johnson & Johnson |
3.800% |
5/15/13 |
1,525 |
1,511 |
|
|
Kellogg Co. |
6.600% |
4/1/11 |
5,850 |
6,120 |
|
|
Kellogg Co. |
4.250% |
3/6/13 |
4,175 |
4,064 |
|
|
Kimberly-Clark Corp. |
5.625% |
2/15/12 |
2,075 |
2,151 |
|
|
Kraft Foods, Inc. |
4.125% |
11/12/09 |
3,200 |
3,191 |
|
|
Kraft Foods, Inc. |
5.625% |
11/1/11 |
4,750 |
4,819 |
|
|
Kraft Foods, Inc. |
6.250% |
6/1/12 |
5,750 |
5,885 |
|
|
Kroger Co. |
7.250% |
6/1/09 |
1,500 |
1,539 |
|
|
Kroger Co. |
8.050% |
2/1/10 |
1,700 |
1,787 |
|
|
Kroger Co. |
6.800% |
4/1/11 |
1,000 |
1,045 |
|
|
Kroger Co. |
6.750% |
4/15/12 |
3,050 |
3,192 |
|
|
Kroger Co. |
5.500% |
2/1/13 |
2,175 |
2,187 |
|
|
|
Kroger Co. |
5.000% |
4/15/13 |
800 |
784 |
|
|
|
McKesson Corp. |
7.750% |
2/1/12 |
1,475 |
1,573 |
|
|
|
Mckesson Corp. |
5.250% |
3/1/13 |
1,500 |
1,462 |
|
|
|
Medco Health Solutions |
6.125% |
3/15/13 |
1,450 |
1,455 |
|
|
|
Medtronic Inc. |
4.375% |
9/15/10 |
1,625 |
1,645 |
|
|
|
Merck & Co. |
5.125% |
11/15/11 |
1,850 |
1,910 |
|
|
|
Merck & Co. |
4.375% |
2/15/13 |
700 |
703 |
|
|
|
Molson Coors Capital Finance |
4.850% |
9/22/10 |
300 |
300 |
|
|
|
Newell Rubbermaid, Inc. |
4.000% |
5/1/10 |
1,000 |
980 |
|
|
|
PepsiAmericas Inc. |
5.750% |
7/31/12 |
800 |
816 |
|
|
|
Pepsico, Inc. |
5.150% |
5/15/12 |
3,250 |
3,364 |
|
|
|
Pepsico, Inc. |
4.650% |
2/15/13 |
1,500 |
1,520 |
|
|
|
Philip Morris International Inc. |
4.875% |
5/16/13 |
5,525 |
5,425 |
|
|
|
Philips Electronics NV |
4.625% |
3/11/13 |
1,450 |
1,436 |
|
|
|
Procter & Gamble Co. |
6.875% |
9/15/09 |
4,825 |
5,034 |
|
|
|
Quest Diagnostic, Inc. |
5.125% |
11/1/10 |
3,500 |
3,502 |
|
|
|
Reynolds American Inc. |
6.500% |
7/15/10 |
1,350 |
1,377 |
|
|
|
Reynolds American Inc. |
7.250% |
6/1/12 |
1,350 |
1,392 |
|
|
|
Reynolds American Inc. |
7.250% |
6/1/13 |
1,500 |
1,543 |
|
|
|
Safeway, Inc. |
4.950% |
8/16/10 |
875 |
880 |
|
|
|
Safeway, Inc. |
6.500% |
3/1/11 |
1,625 |
1,668 |
|
|
|
Safeway, Inc. |
5.800% |
8/15/12 |
3,050 |
3,116 |
|
|
|
Sysco Corp. |
4.200% |
2/12/13 |
600 |
588 |
|
|
|
Unilever Capital Corp. |
7.125% |
11/1/10 |
4,000 |
4,272 |
|
|
|
UST, Inc. |
6.625% |
7/15/12 |
1,000 |
1,045 |
|
|
|
Whirlpool Corp. |
5.500% |
3/1/13 |
3,575 |
3,530 |
|
|
|
Wm. Wrigley Jr. Co. |
4.300% |
7/15/10 |
2,425 |
2,427 |
|
|
|
Wyeth |
6.950% |
3/15/11 |
5,000 |
5,292 |
|
|
|
Wyeth |
5.500% |
3/15/13 |
4,100 |
4,185 |
|
|
|
Energy (1.0%) |
|
|
|
|
|
|
|
Amerada Hess Corp. |
6.650% |
8/15/11 |
2,500 |
2,614 |
|
|
|
Anadarko Finance Co. |
6.750% |
5/1/11 |
3,375 |
3,494 |
|
|
|
Apache Corp. |
6.250% |
4/15/12 |
1,000 |
1,044 |
|
|
|
Apache Corp. |
5.250% |
4/15/13 |
1,500 |
1,514 |
|
|
|
BP Capital Markets PLC |
4.875% |
3/15/10 |
2,000 |
2,056 |
|
|
|
Burlington Resources, Inc. |
6.680% |
2/15/11 |
2,000 |
2,111 |
|
|
|
Burlington Resources, Inc. |
6.500% |
12/1/11 |
500 |
533 |
|
|
|
Canadian Natural Resources |
6.700% |
7/15/11 |
2,500 |
2,605 |
|
|
|
Canadian Natural Resources |
5.450% |
10/1/12 |
2,850 |
2,866 |
|
|
|
Canadian Natural Resources |
5.150% |
2/1/13 |
500 |
501 |
|
|
|
Conoco Funding Co. |
6.350% |
10/15/11 |
8,875 |
9,401 |
|
|
|
ConocoPhillips |
8.750% |
5/25/10 |
3,800 |
4,134 |
|
|
|
ConocoPhillips Canada |
5.300% |
4/15/12 |
500 |
515 |
|
|
|
Devon Financing Corp. |
6.875% |
9/30/11 |
9,800 |
10,376 |
|
|
|
Encana Corp. |
4.600% |
8/15/09 |
1,250 |
1,252 |
|
|
|
Halliburton Co. |
5.500% |
10/15/10 |
1,500 |
1,551 |
|
|
|
Husky Energy Inc. |
6.250% |
6/15/12 |
1,000 |
1,028 |
|
|
|
Kerr McGee Corp. |
6.875% |
9/15/11 |
3,475 |
3,638 |
|
|
|
Marathon Oil Corp. |
6.125% |
3/15/12 |
2,000 |
2,052 |
|
|
|
Marathon Oil Corp. |
6.000% |
7/1/12 |
3,100 |
3,185 |
|
|
|
Occidental Petroleum |
4.250% |
3/15/10 |
2,560 |
2,581 |
|
|
|
PanCanadian Energy Corp. |
6.300% |
11/1/11 |
1,500 |
1,551 |
|
|
|
Shell International Finance |
5.625% |
6/27/11 |
1,950 |
2,044 |
|
|
|
Shell International Finance |
4.950% |
3/22/12 |
700 |
720 |
|
|
|
Transocean Inc. |
5.250% |
3/15/13 |
3,400 |
3,401 |
|
|
|
Valero Energy Corp. |
6.875% |
4/15/12 |
3,000 |
3,114 |
|
|
|
Weatherford International Inc. |
5.950% |
6/15/12 |
2,250 |
2,313 |
|
|
|
Weatherford International Inc. |
5.150% |
3/15/13 |
2,175 |
2,147 |
|
|
|
XTO Energy, Inc. |
5.900% |
8/1/12 |
4,950 |
5,041 |
|
|
|
Technology (1.0%) |
|
|
|
|
|
|
Cisco Systems Inc. |
5.250% |
2/22/11 |
10,000 |
10,279 |
|
|
Computer Sciences Corp. |
5.000% |
2/15/13 |
1,775 |
1,717 |
|
3 |
Computer Sciences Corp. |
5.500% |
3/15/13 |
725 |
703 |
|
3 |
Dell Inc. |
4.700% |
4/15/13 |
1,550 |
1,506 |
|
|
Dun & Bradstreet Corp. |
6.000% |
4/1/13 |
1,700 |
1,694 |
|
|
Electronic Data Systems |
7.125% |
10/15/09 |
825 |
850 |
|
|
Fiserv, Inc. |
6.125% |
11/20/12 |
3,000 |
2,987 |
|
|
Hewlett-Packard Co. |
5.250% |
3/1/12 |
1,750 |
1,791 |
|
|
Hewlett-Packard Co. |
6.500% |
7/1/12 |
1,025 |
1,093 |
|
|
Hewlett-Packard Co. |
4.500% |
3/1/13 |
5,525 |
5,454 |
|
|
IBM International Group Capital |
5.050% |
10/22/12 |
11,825 |
12,076 |
|
|
International Business Machines Corp. |
4.375% |
6/1/09 |
300 |
303 |
|
|
International Business Machines Corp. |
4.950% |
3/22/11 |
4,200 |
4,308 |
|
|
Intuit Inc. |
5.400% |
3/15/12 |
950 |
930 |
|
|
Lexmark International Inc. |
5.900% |
6/1/13 |
1,050 |
1,023 |
|
|
Motorola, Inc. |
7.625% |
11/15/10 |
390 |
404 |
|
|
Motorola, Inc. |
8.000% |
11/1/11 |
925 |
944 |
|
|
Motorola, Inc. |
5.375% |
11/15/12 |
1,800 |
1,648 |
|
|
National Semiconductor |
6.150% |
6/15/12 |
1,250 |
1,260 |
|
|
Oracle Corp. |
5.000% |
1/15/11 |
6,150 |
6,271 |
|
|
Oracle Corp. |
4.950% |
4/15/13 |
3,400 |
3,430 |
|
|
Pitney Bowes, Inc. |
4.625% |
10/1/12 |
2,000 |
1,977 |
|
|
Tyco Electronics Group |
6.000% |
10/1/12 |
2,550 |
2,542 |
|
|
Xerox Corp. |
7.125% |
6/15/10 |
1,825 |
1,887 |
|
|
Xerox Corp. |
6.875% |
8/15/11 |
1,025 |
1,059 |
|
|
Xerox Corp. |
5.500% |
5/15/12 |
7,975 |
7,906 |
|
|
Transportation (0.4%) |
|
|
|
|
|
|
American Airlines, Inc. |
7.024% |
10/15/09 |
3,775 |
3,643 |
|
|
Burlington Northern Santa Fe Corp. |
6.750% |
7/15/11 |
2,500 |
2,617 |
|
|
Burlington Northern Santa Fe Corp. |
5.900% |
7/1/12 |
1,050 |
1,080 |
|
|
CSX Corp. |
6.300% |
3/15/12 |
2,000 |
2,043 |
|
|
Canadian National Railway Co. |
4.250% |
8/1/09 |
2,700 |
2,704 |
|
|
Canadian Pacific Rail |
6.250% |
10/15/11 |
1,550 |
1,578 |
|
|
Delta Air Lines Enhanced Equipment Trust Certificates |
6.417% |
7/2/12 |
2,000 |
1,790 |
|
|
Delta Air Lines, Inc. |
7.111% |
9/18/11 |
2,000 |
1,830 |
|
|
Norfolk Southern Corp. |
6.750% |
2/15/11 |
1,925 |
2,017 |
|
|
Ryder System Inc. |
5.950% |
5/2/11 |
850 |
858 |
|
|
Ryder System Inc. |
6.000% |
3/1/13 |
1,500 |
1,488 |
|
|
Southwest Airlines Co. |
6.500% |
3/1/12 |
2,000 |
1,947 |
|
|
Union Pacific Corp. |
6.650% |
1/15/11 |
2,000 |
2,086 |
|
|
Union Pacific Corp. |
6.500% |
4/15/12 |
4,750 |
4,976 |
|
|
United Parcel Service of America |
4.500% |
1/15/13 |
2,750 |
2,748 |
|
|
Other (0.0%) |
|
|
|
|
|
|
Black & Decker Corp. |
7.125% |
6/1/11 |
1,000 |
1,041 |
|
|
Cooper Industries, Inc. |
5.250% |
11/15/12 |
1,400 |
1,401 |
|
|
Eaton Corp. |
4.900% |
5/15/13 |
1,050 |
1,045 |
|
|
|
|
|
|
951,010 |
|
Utilities (2.0%) |
|
|
|
|
|
|
|
Electric (1.5%) |
|
|
|
|
|
|
American Electric Power Co., Inc. |
5.375% |
3/15/10 |
2,700 |
2,728 |
|
|
Carolina Power & Light Co. |
6.500% |
7/15/12 |
1,000 |
1,055 |
|
|
CenterPoint Energy Houston |
5.700% |
3/15/13 |
700 |
709 |
|
|
Cincinnati Gas & Electric Co. |
5.700% |
9/15/12 |
2,400 |
2,449 |
|
|
Commonwealth Edison Co. |
6.150% |
3/15/12 |
3,275 |
3,363 |
|
|
Consolidated Edison Co. of New York |
4.875% |
2/1/13 |
4,000 |
3,957 |
|
|
Constellation Energy Group, Inc. |
6.125% |
9/1/09 |
875 |
887 |
|
|
Constellation Energy Group, Inc. |
7.000% |
4/1/12 |
2,300 |
2,404 |
|
|
Consumers Energy Co. |
5.000% |
2/15/12 |
1,250 |
1,228 |
|
|
Consumers Energy Co. |
5.375% |
4/15/13 |
750 |
754 |
|
|
DTE Energy Co. |
7.050% |
6/1/11 |
1,000 |
1,046 |
|
|
Detroit Edison Co. |
6.125% |
10/1/10 |
1,000 |
1,046 |
|
|
Dominion Resources, Inc. |
4.750% |
12/15/10 |
2,125 |
2,141 |
|
2 |
Dominion Resources, Inc. |
6.300% |
9/30/11 |
3,400 |
3,097 |
|
|
Dominion Resources, Inc. |
5.000% |
3/15/13 |
1,500 |
1,488 |
|
|
Duke Energy Corp. |
6.250% |
1/15/12 |
3,500 |
3,646 |
|
|
Energy East Corp. |
6.750% |
6/15/12 |
1,750 |
1,821 |
|
|
Exelon Corp. |
6.750% |
5/1/11 |
1,000 |
1,023 |
|
|
Exelon Generation Co. LLC |
6.950% |
6/15/11 |
1,500 |
1,553 |
|
|
FPL Group Capital, Inc. |
7.375% |
6/1/09 |
2,075 |
2,141 |
|
|
FPL Group Capital, Inc. |
5.625% |
9/1/11 |
3,350 |
3,456 |
|
|
FPL Group Capital, Inc. |
5.350% |
6/15/13 |
400 |
406 |
|
|
FirstEnergy Corp. |
6.450% |
11/15/11 |
6,875 |
7,011 |
|
|
Florida Power Corp. |
4.500% |
6/1/10 |
1,150 |
1,162 |
|
|
Illinois Power |
7.500% |
6/15/09 |
1,000 |
1,017 |
|
|
MidAmerican Energy Co. |
5.650% |
7/15/12 |
1,150 |
1,182 |
|
|
MidAmerican Energy Co. |
5.125% |
1/15/13 |
2,000 |
2,015 |
|
|
NStar Electric Co. |
4.875% |
10/15/12 |
1,925 |
1,924 |
|
|
National Rural Utilities Cooperative Finance Corp. |
4.375% |
10/1/10 |
3,350 |
3,368 |
|
|
National Rural Utilities Cooperative Finance Corp. |
7.250% |
3/1/12 |
5,000 |
5,313 |
|
|
National Rural Utilities Cooperative Finance Corp. |
5.500% |
7/1/13 |
1,050 |
1,062 |
|
|
NiSource Finance Corp. |
7.875% |
11/15/10 |
2,800 |
2,934 |
|
|
Oncor Electric Delivery Co. |
6.375% |
5/1/12 |
1,950 |
1,976 |
|
|
PPL Electric Utilities Corp. |
6.250% |
8/15/09 |
2,000 |
2,043 |
|
|
PPL Energy Supply LLC |
6.400% |
11/1/11 |
1,000 |
1,024 |
|
|
PSE&G Power LLC |
7.750% |
4/15/11 |
1,950 |
2,077 |
|
|
PSE&G Power LLC |
6.950% |
6/1/12 |
4,775 |
4,992 |
|
|
PacifiCorp |
6.900% |
11/15/11 |
3,650 |
3,916 |
|
|
Pacific Gas & Electric Co. |
4.200% |
3/1/11 |
1,100 |
1,091 |
|
|
Pepco Holdings, Inc. |
6.450% |
8/15/12 |
2,000 |
2,029 |
|
|
Progress Energy, Inc. |
7.100% |
3/1/11 |
5,418 |
5,699 |
|
|
Progress Energy, Inc. |
6.850% |
4/15/12 |
775 |
818 |
|
|
Public Service Co. of Colorado |
7.875% |
10/1/12 |
4,625 |
5,157 |
|
|
SCANA Corp. |
6.875% |
5/15/11 |
1,500 |
1,568 |
|
|
Southern Co. |
5.300% |
1/15/12 |
2,550 |
2,592 |
|
|
Southern Power Co. |
6.250% |
7/15/12 |
1,000 |
1,042 |
|
|
Tampa Electric Co. |
6.875% |
6/15/12 |
1,000 |
1,047 |
|
|
Virginia Electric & Power Co. |
5.100% |
11/30/12 |
3,625 |
3,619 |
|
|
Wisconsin Energy Corp. |
6.500% |
4/1/11 |
4,595 |
4,800 |
|
|
Natural Gas (0.5%) |
|
|
|
|
|
|
AGL Capital Corp. |
7.125% |
1/14/11 |
500 |
521 |
|
|
Atmos Energy Corp. |
4.000% |
10/15/09 |
1,300 |
1,288 |
|
|
CenterPoint Energy Resources |
7.875% |
4/1/13 |
1,500 |
1,607 |
|
|
Consolidated Natural Gas |
6.250% |
11/1/11 |
1,000 |
1,038 |
|
|
Duke Capital Corp. |
6.250% |
2/15/13 |
3,325 |
3,405 |
|
|
Duke Energy Field Services |
7.875% |
8/16/10 |
1,750 |
1,840 |
|
|
Energy Transfer Partners LP |
5.650% |
8/1/12 |
1,250 |
1,259 |
|
* |
Enron Corp. |
9.125% |
4/1/03 |
2,000 |
60 |
|
* |
Enron Corp. |
7.625% |
9/10/04 |
1,000 |
30 |
|
|
Enterprise Products Operating LP |
4.625% |
10/15/09 |
400 |
399 |
|
|
Enterprise Products Operating LP |
4.950% |
6/1/10 |
2,700 |
2,708 |
|
|
Enterprise Products Operating LP |
5.650% |
4/1/13 |
2,200 |
2,196 |
|
* |
HNG Internorth |
9.625% |
3/15/06 |
1,500 |
45 |
|
|
KeySpan Corp. |
7.625% |
11/15/10 |
1,500 |
1,604 |
|
|
Kinder Morgan Energy Partners LP |
6.750% |
3/15/11 |
1,225 |
1,263 |
|
|
Kinder Morgan Energy Partners LP |
7.125% |
3/15/12 |
550 |
578 |
|
|
Kinder Morgan Energy Partners LP |
5.850% |
9/15/12 |
6,650 |
6,701 |
|
|
ONEOK Partners, LP |
5.900% |
4/1/12 |
3,400 |
3,429 |
|
|
Reliant Energy Resources |
7.750% |
2/15/11 |
2,500 |
2,642 |
|
|
Sempra Energy |
7.950% |
3/1/10 |
1,500 |
1,583 |
|
|
Sempra Energy |
6.000% |
2/1/13 |
2,525 |
2,581 |
|
|
Teppco Partners, LP |
5.900% |
4/15/13 |
1,150 |
1,154 |
|
|
Transcontinental Gas Pipe Line Corp. |
7.000% |
8/15/11 |
650 |
680 |
|
|
Williams Cos., Inc. |
7.125% |
9/1/11 |
2,125 |
2,213 |
|
|
Williams Cos., Inc. |
8.125% |
3/15/12 |
2,100 |
2,226 |
|
|
|
|
|
|
157,926 |
|
Total Corporate Bonds (Cost $2,211,810) |
|
|
|
2,190,167 |
|
|
Sovereign Bonds (U.S. Dollar-Denominated) (5.5%) |
|
|
|
|
|
|
|
Asian Development Bank |
4.500% |
9/4/12 |
5,000 |
5,134 |
|
|
Canadian Mortgage & Housing |
4.800% |
10/1/10 |
1,500 |
1,549 |
|
|
Corp. Andina de Fomento |
6.875% |
3/15/12 |
2,300 |
2,378 |
|
|
Eksportfinans |
5.125% |
10/26/11 |
6,000 |
6,213 |
|
|
European Investment Bank |
5.000% |
2/8/10 |
3,350 |
3,451 |
|
|
European Investment Bank |
4.000% |
3/3/10 |
2,925 |
2,970 |
|
|
European Investment Bank |
4.125% |
9/15/10 |
3,600 |
3,638 |
|
|
European Investment Bank |
4.625% |
9/15/10 |
19,750 |
20,409 |
|
|
European Investment Bank |
3.250% |
2/15/11 |
15,425 |
15,394 |
|
|
European Investment Bank |
2.625% |
5/16/11 |
3,800 |
3,715 |
|
|
European Investment Bank |
5.250% |
6/15/11 |
12,975 |
13,554 |
|
|
European Investment Bank |
3.125% |
7/15/11 |
16,425 |
16,259 |
|
|
European Investment Bank |
4.625% |
3/21/12 |
7,200 |
7,419 |
|
|
European Investment Bank |
4.250% |
7/15/13 |
4,800 |
4,861 |
|
|
Export Development Canada |
3.750% |
7/15/11 |
2,575 |
2,584 |
|
|
Export Development Canada |
4.500% |
10/25/12 |
7,500 |
7,713 |
|
|
Export-Import Bank of Korea |
4.500% |
8/12/09 |
3,500 |
3,504 |
|
|
Export-Import Bank of Korea |
4.625% |
3/16/10 |
500 |
502 |
|
|
Export-Import Bank of Korea |
5.125% |
2/14/11 |
600 |
601 |
|
|
Export-Import Bank of Korea |
5.500% |
10/17/12 |
2,800 |
2,821 |
|
|
Federation of Malaysia |
8.750% |
6/1/09 |
4,350 |
4,521 |
|
|
Federation of Malaysia |
7.500% |
7/15/11 |
2,875 |
3,094 |
|
|
Federative Republic of Brazil |
9.250% |
10/22/10 |
4,225 |
4,681 |
|
|
Federative Republic of Brazil |
11.000% |
1/11/12 |
3,875 |
4,646 |
|
|
Financement Quebec |
5.000% |
10/25/12 |
2,000 |
2,069 |
|
|
Inter-American Development Bank |
7.375% |
1/15/10 |
2,800 |
2,950 |
|
|
Inter-American Development Bank |
5.000% |
4/5/11 |
5,000 |
5,157 |
|
|
Inter-American Development Bank |
4.750% |
10/19/12 |
5,000 |
5,198 |
|
|
Inter-American Development Bank |
3.500% |
3/15/13 |
3,000 |
2,939 |
|
|
International Bank for Reconstruction & Development |
4.125% |
6/24/09 |
1,000 |
1,006 |
|
|
International Bank for Reconstruction & Development |
4.125% |
8/12/09 |
975 |
980 |
|
|
International Finance Corp. |
4.000% |
6/15/10 |
1,250 |
1,272 |
|
|
International Finance Corp. |
5.125% |
5/2/11 |
7,100 |
7,369 |
|
|
Japan Bank International |
4.750% |
5/25/11 |
2,150 |
2,215 |
|
|
Japan Bank International |
4.375% |
11/26/12 |
2,200 |
2,220 |
|
|
Japan Bank International |
4.250% |
6/18/13 |
6,150 |
6,194 |
|
|
Japan Finance Corp. |
5.875% |
3/14/11 |
2,000 |
2,114 |
|
|
KFW International Finance Inc. |
4.500% |
9/21/09 |
10,325 |
10,492 |
|
|
KFW International Finance Inc. |
4.875% |
10/19/09 |
3,650 |
3,737 |
|
|
Korea Development Bank |
4.750% |
7/20/09 |
4,725 |
4,748 |
|
|
Korea Development Bank |
5.300% |
1/17/13 |
4,650 |
4,643 |
|
|
Kreditanstalt fur Wiederaufbau |
4.250% |
6/15/10 |
17,875 |
18,058 |
|
|
Kreditanstalt fur Wiederaufbau |
3.250% |
2/15/11 |
9,000 |
9,002 |
|
|
Kreditanstalt fur Wiederaufbau |
3.750% |
6/27/11 |
8,825 |
8,882 |
|
|
Kreditanstalt fur Wiederaufbau |
4.750% |
5/15/12 |
21,700 |
22,442 |
|
|
Kreditanstalt fur Wiederaufbau |
3.250% |
3/15/13 |
4,350 |
4,248 |
|
|
Kreditanstalt fur Wiederaufbau |
3.500% |
5/16/13 |
12,375 |
12,125 |
|
|
Landeskreditbank Baden-Wuerttemberg—Foerderbank |
4.250% |
9/15/10 |
3,500 |
3,545 |
|
|
Landeskreditbank Baden-Wuerttemberg—Foerderbank |
4.875% |
1/13/12 |
1,500 |
1,557 |
|
|
Landwirtschaftliche Rentenbank |
3.625% |
10/20/09 |
7,225 |
7,218 |
|
|
Landwirtschaftliche Rentenbank |
3.875% |
3/15/10 |
3,500 |
3,551 |
|
|
Landwirtschaftliche Rentenbank |
4.875% |
2/14/11 |
1,500 |
1,542 |
|
|
Landwirtschaftliche Rentenbank |
5.250% |
7/15/11 |
3,500 |
3,649 |
|
|
Landwirtschaftliche Rentenbank |
5.250% |
7/2/12 |
4,500 |
4,740 |
|
|
Landwirtschaftliche Rentenbank |
3.250% |
3/15/13 |
2,100 |
2,047 |
|
|
Mass Transit Railway Corp. |
7.500% |
11/8/10 |
1,500 |
1,607 |
|
|
Nordic Investment Bank |
3.875% |
6/15/10 |
3,750 |
3,759 |
|
|
Nordic Investment Bank |
4.500% |
9/13/10 |
5,000 |
5,157 |
|
|
Nordic Investment Bank |
3.125% |
2/15/11 |
6,000 |
5,999 |
|
|
Oesterreichische Kontrollbank |
4.250% |
10/6/10 |
3,375 |
3,480 |
|
|
Oesterreichische Kontrollbank |
2.875% |
3/15/11 |
1,000 |
995 |
|
|
Oesterreichische Kontrollbank |
4.750% |
11/8/11 |
5,000 |
5,153 |
|
|
Oesterreichische Kontrollbank |
4.750% |
10/16/12 |
4,725 |
4,905 |
|
|
Ontario Hydro Electric |
7.450% |
3/31/13 |
1,000 |
1,141 |
|
|
Pemex Project Funding Master Trust |
9.125% |
10/13/10 |
2,500 |
2,731 |
|
|
Province of Ontario |
3.625% |
10/21/09 |
2,025 |
2,020 |
|
|
Province of Ontario |
2.750% |
2/22/11 |
3,900 |
3,822 |
|
|
Province of Ontario |
5.000% |
10/18/11 |
7,450 |
7,719 |
|
|
Province of Ontario |
3.500% |
7/15/13 |
4,675 |
4,544 |
|
|
Province of Quebec |
5.000% |
7/17/09 |
1,500 |
1,526 |
|
|
Province of Quebec |
6.125% |
1/22/11 |
4,200 |
4,454 |
|
|
Quebec Hydro Electric |
6.300% |
5/11/11 |
2,500 |
2,670 |
|
|
Quebec Hydro Electric |
8.000% |
2/1/13 |
2,000 |
2,347 |
|
|
Republic of Chile |
7.125% |
1/11/12 |
3,000 |
3,236 |
|
|
Republic of Chile |
5.500% |
1/15/13 |
3,200 |
3,284 |
|
|
Republic of Italy |
6.000% |
2/22/11 |
5,775 |
6,081 |
|
|
Republic of Italy |
3.500% |
7/15/11 |
425 |
423 |
|
|
Republic of Italy |
5.625% |
6/15/12 |
7,675 |
8,158 |
|
|
Republic of Korea |
4.250% |
6/1/13 |
3,225 |
3,143 |
|
|
Republic of Poland |
6.250% |
7/3/12 |
2,600 |
2,755 |
|
|
Republic of South Africa |
7.375% |
4/25/12 |
2,500 |
2,639 |
|
|
Swedish Export Credit Corp. |
4.875% |
1/19/10 |
2,500 |
2,560 |
|
|
Swedish Export Credit Corp. |
4.000% |
6/15/10 |
2,175 |
2,178 |
|
|
Swedish Export Credit Corp. |
4.500% |
9/27/10 |
8,350 |
8,609 |
|
|
United Mexican States |
9.875% |
2/1/10 |
475 |
517 |
|
|
United Mexican States |
8.375% |
1/14/11 |
11,600 |
12,615 |
|
|
United Mexican States |
7.500% |
1/14/12 |
2,100 |
2,273 |
|
|
United Mexican States |
6.375% |
1/16/13 |
2,450 |
2,579 |
|
Total Sovereign Bonds (Cost $430,225) |
|
|
|
434,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Temporary Cash Investment (0.6%) |
|
|
|
|
|
|
4 |
Vanguard Market Liquidity Fund (Cost $44,983) |
2.405% |
|
44,983,120 |
44,983 |
|
Total Investments (99.5%) (Cost $7,762,157) |
|
|
|
7,784,981 |
|
|
Other Assets and Liabilities—Net (0.5%) |
|
|
|
35,954 |
|
|
Net Assets (100%) |
|
|
|
7,820,935 |
|
|
* |
Non-income-producing security--security in default. |
|
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 June 30, 2008, the aggregate value of these securities was $22,509,000, representing 0.3% 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. |
|
Vanguard ® Intermediate-Term Bond Index Fund |
|
|
|
|
|
|
Schedule of Investments |
|
|
|
|
|
|
June 30, 2008 |
|
|
|
|
|
|
|
|
|
|
Face |
Market |
|
|
|
|
Maturity |
Amount |
Value |
|
|
|
Coupon |
Date |
($000) |
($000) |
|
U.S. Government and Agency Obligations (49.0%) |
|
|
|
||
|
U.S. Government Securities (35.2%) |
|
|
|
|
|
|
|
U.S. Treasury Bond |
11.250% |
2/15/15 |
83,115 |
120,270 |
|
|
U.S. Treasury Bond |
10.625% |
8/15/15 |
98,410 |
140,758 |
|
|
U.S. Treasury Bond |
9.875% |
11/15/15 |
102,200 |
142,265 |
|
|
U.S. Treasury Bond |
9.250% |
2/15/16 |
141,870 |
193,077 |
|
|
U.S. Treasury Bond |
7.250% |
5/15/16 |
73,125 |
89,830 |
|
|
U.S. Treasury Bond |
7.500% |
11/15/16 |
164,345 |
205,329 |
|
|
U.S. Treasury Bond |
8.750% |
5/15/17 |
180,970 |
243,828 |
|
|
U.S. Treasury Bond |
8.875% |
8/15/17 |
116,510 |
158,655 |
|
|
U.S. Treasury Bond |
4.250% |
11/15/17 |
117,045 |
119,532 |
|
|
U.S. Treasury Bond |
9.125% |
5/15/18 |
130,595 |
183,261 |
|
|
U.S. Treasury Bond |
8.875% |
2/15/19 |
22,325 |
31,119 |
|
|
U.S. Treasury Note |
4.500% |
4/30/09 |
10,000 |
10,178 |
|
|
U.S. Treasury Note |
3.875% |
5/15/09 |
15,000 |
15,197 |
|
|
U.S. Treasury Note |
4.000% |
6/15/09 |
48,200 |
48,931 |
|
|
U.S. Treasury Note |
4.625% |
7/31/09 |
23,000 |
23,543 |
|
|
U.S. Treasury Note |
3.125% |
11/30/09 |
12,325 |
12,450 |
|
|
U.S. Treasury Note |
3.875% |
10/31/12 |
3,900 |
3,999 |
|
|
U.S. Treasury Note |
3.875% |
2/15/13 |
23,620 |
24,211 |
|
|
U.S. Treasury Note |
2.750% |
2/28/13 |
20,000 |
19,525 |
|
|
U.S. Treasury Note |
3.625% |
5/15/13 |
22,570 |
22,895 |
|
|
U.S. Treasury Note |
4.250% |
8/15/13 |
113,975 |
118,891 |
|
|
U.S. Treasury Note |
4.250% |
11/15/13 |
6,380 |
6,658 |
|
|
U.S. Treasury Note |
4.000% |
2/15/14 |
5,710 |
5,889 |
|
|
U.S. Treasury Note |
4.750% |
5/15/14 |
42,730 |
45,801 |
|
|
U.S. Treasury Note |
4.250% |
8/15/14 |
171,345 |
178,975 |
|
|
U.S. Treasury Note |
4.250% |
11/15/14 |
920 |
960 |
|
|
U.S. Treasury Note |
4.000% |
2/15/15 |
2,775 |
2,852 |
|
|
U.S. Treasury Note |
4.125% |
5/15/15 |
22,095 |
22,834 |
|
|
U.S. Treasury Note |
4.250% |
8/15/15 |
102,900 |
106,937 |
|
|
U.S. Treasury Note |
4.500% |
11/15/15 |
2,360 |
2,485 |
|
|
U.S. Treasury Note |
4.500% |
2/15/16 |
53,825 |
56,600 |
|
|
U.S. Treasury Note |
5.125% |
5/15/16 |
49,250 |
53,706 |
|
|
U.S. Treasury Note |
4.875% |
8/15/16 |
87,530 |
93,835 |
|
|
U.S. Treasury Note |
4.625% |
11/15/16 |
65,075 |
68,644 |
|
|
U.S. Treasury Note |
4.625% |
2/15/17 |
157,515 |
165,785 |
|
|
U.S. Treasury Note |
4.500% |
5/15/17 |
870 |
906 |
|
|
U.S. Treasury Note |
4.750% |
8/15/17 |
115,775 |
122,650 |
|
|
U.S. Treasury Note |
3.500% |
2/15/18 |
100 |
96 |
|
|
|
|
|
|
2,863,357 |
|
Agency Bonds and Notes (13.8%) |
|
|
|
|
|
|
|
Agency for International Development— |
|
|
|
|
|
|
Egypt (U.S. Government Guaranteed) |
4.450% |
9/15/15 |
6,825 |
6,899 |
|
1 |
Federal Farm Credit Bank |
4.875% |
12/16/15 |
2,450 |
2,483 |
|
1 |
Federal Farm Credit Bank |
5.125% |
8/25/16 |
11,300 |
11,559 |
|
1 |
Federal Farm Credit Bank |
4.875% |
1/17/17 |
5,750 |
5,772 |
|
1 |
Federal Home Loan Bank |
5.125% |
8/14/13 |
46,250 |
48,205 |
|
1 |
Federal Home Loan Bank |
4.500% |
9/16/13 |
47,400 |
48,039 |
|
1 |
Federal Home Loan Bank |
5.250% |
6/18/14 |
150 |
157 |
|
1 |
Federal Home Loan Bank |
5.500% |
8/13/14 |
49,925 |
52,983 |
|
1 |
Federal Home Loan Bank |
5.375% |
5/18/16 |
26,450 |
27,718 |
|
1 |
Federal Home Loan Bank |
5.625% |
6/13/16 |
4,325 |
4,282 |
|
1 |
Federal Home Loan Bank |
5.125% |
10/19/16 |
3,800 |
3,889 |
|
1 |
Federal Home Loan Bank |
4.750% |
12/16/16 |
28,100 |
28,273 |
|
|
1 |
Federal Home Loan Bank |
4.875% |
5/17/17 |
24,225 |
24,562 |
|
|
1 |
Federal Home Loan Bank |
5.000% |
11/17/17 |
9,000 |
9,181 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
4.625% |
12/19/08 |
10,000 |
10,096 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
4.500% |
7/15/13 |
45,675 |
46,337 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
4.875% |
11/15/13 |
52,250 |
53,782 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
4.500% |
1/15/14 |
35,000 |
35,397 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.000% |
7/15/14 |
52,700 |
54,536 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
4.500% |
1/15/15 |
23,050 |
23,104 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.050% |
1/26/15 |
4,700 |
4,838 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
4.750% |
1/19/16 |
25,925 |
26,152 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.250% |
4/18/16 |
64,000 |
66,396 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.500% |
7/18/16 |
42,500 |
44,753 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.125% |
10/18/16 |
12,100 |
12,440 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.000% |
2/16/17 |
9,000 |
9,163 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.125% |
11/17/17 |
39,500 |
40,546 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
4.875% |
6/13/18 |
10,000 |
10,058 |
|
|
1 |
Federal National Mortgage Assn. |
3.250% |
2/15/09 |
10,000 |
10,043 |
|
|
1 |
Federal National Mortgage Assn. |
4.625% |
10/15/13 |
74,550 |
75,902 |
|
|
1 |
Federal National Mortgage Assn. |
5.125% |
1/2/14 |
9,550 |
9,535 |
|
|
1 |
Federal National Mortgage Assn. |
4.125% |
4/15/14 |
52,400 |
51,938 |
|
|
1 |
Federal National Mortgage Assn. |
4.625% |
10/15/14 |
32,225 |
32,639 |
|
|
1 |
Federal National Mortgage Assn. |
5.000% |
4/15/15 |
25,000 |
25,741 |
|
|
1 |
Federal National Mortgage Assn. |
4.375% |
10/15/15 |
20,000 |
19,823 |
|
|
1 |
Federal National Mortgage Assn. |
5.000% |
3/15/16 |
15,000 |
15,325 |
|
|
1 |
Federal National Mortgage Assn. |
5.250% |
9/15/16 |
32,925 |
34,142 |
|
|
1 |
Federal National Mortgage Assn. |
4.875% |
12/15/16 |
29,900 |
30,239 |
|
|
1 |
Federal National Mortgage Assn. |
5.000% |
2/13/17 |
30,175 |
30,722 |
|
|
1 |
Federal National Mortgage Assn. |
5.000% |
5/11/17 |
19,000 |
19,338 |
|
|
1 |
Federal National Mortgage Assn. |
5.375% |
6/12/17 |
15,000 |
15,676 |
|
|
|
Financing Corp. |
10.350% |
8/3/18 |
1,700 |
2,433 |
|
|
|
Private Export Funding Corp. |
7.200% |
1/15/10 |
6,500 |
6,887 |
|
|
1 |
Tennessee Valley Auth. |
6.000% |
3/15/13 |
6,000 |
6,492 |
|
|
1 |
Tennessee Valley Auth. |
4.750% |
8/1/13 |
4,000 |
4,115 |
|
|
1 |
Tennessee Valley Auth. |
4.375% |
6/15/15 |
7,000 |
6,953 |
|
|
1 |
Tennessee Valley Auth. |
5.500% |
7/18/17 |
6,200 |
6,496 |
|
|
1 |
Tennessee Valley Auth. |
6.250% |
12/15/17 |
2,600 |
2,884 |
|
|
1 |
Tennessee Valley Auth. |
4.500% |
4/1/18 |
2,375 |
2,305 |
|
|
|
|
|
|
|
1,121,228 |
|
|
Total U.S. Government and Agency Obligations (Cost $3,888,774) |
|
3,984,585 |
||||
|
Corporate Bonds (42.8%) |
|
|
|
|
||
|
Asset-Backed/Commercial Mortgage-Backed Securities (0.0%) |
|
|
||||
|
2 |
Bear Stearns Commercial Mortgage Securities, Inc. |
5.610% |
11/15/33 |
2,500 |
2,377 |
|
|
2,3 |
Commercial Mortgage Lease-Backed Certificate |
6.746% |
6/20/31 |
339 |
327 |
|
|
|
|
|
|
|
2,704 |
|
|
Finance (21.0%) |
|
|
|
|
||
|
|
Banking (8.3%) |
|
|
|
|
|
|
|
AmSouth Bank NA |
4.850% |
4/1/13 |
1,500 |
1,401 |
|
|
|
AmSouth Bank NA |
5.200% |
4/1/15 |
2,000 |
1,762 |
|
|
|
BB&T Corp. |
5.200% |
12/23/15 |
10,175 |
9,189 |
|
|
|
BB&T Corp. |
5.625% |
9/15/16 |
50 |
46 |
|
|
3 |
Banco Bilbao Vizcaya ARG |
5.750% |
7/20/17 |
3,125 |
3,306 |
|
|
|
Banco Bradesco SA |
8.750% |
10/24/13 |
1,500 |
1,725 |
|
|
|
Bank One Corp. |
4.900% |
4/30/15 |
6,150 |
5,814 |
|
|
|
Bank of America Corp. |
5.375% |
6/15/14 |
3,425 |
3,326 |
|
|
|
Bank of America Corp. |
5.125% |
11/15/14 |
4,550 |
4,476 |
|
|
|
Bank of America Corp. |
5.250% |
12/1/15 |
1,900 |
1,838 |
|
|
|
Bank of America Corp. |
5.750% |
8/15/16 |
3,900 |
3,808 |
|
|
|
Bank of America Corp. |
5.625% |
10/14/16 |
15,250 |
14,498 |
|
|
|
Bank of America Corp. |
5.300% |
3/15/17 |
20,050 |
18,873 |
|
|
Bank of America Corp. |
5.420% |
3/15/17 |
14,950 |
13,729 |
|
|
Bank of America Corp. |
6.100% |
6/15/17 |
2,100 |
2,037 |
|
|
Bank of America Corp. |
6.000% |
9/1/17 |
4,150 |
3,975 |
|
|
Bank of America Corp. |
5.750% |
12/1/17 |
7,975 |
7,542 |
|
|
Bank of America Corp. |
5.650% |
5/1/18 |
18,550 |
17,326 |
|
|
Bank of New York Mellon |
4.950% |
3/15/15 |
6,125 |
5,911 |
|
2,3 |
Citicorp Lease Pass-Through Trust |
8.040% |
12/15/19 |
2,100 |
2,248 |
|
|
Citigroup, Inc. |
5.125% |
5/5/14 |
3,125 |
2,942 |
|
|
Citigroup, Inc. |
5.000% |
9/15/14 |
28,194 |
25,618 |
|
|
Citigroup, Inc. |
4.875% |
5/7/15 |
1,200 |
1,095 |
|
|
Citigroup, Inc. |
4.700% |
5/29/15 |
2,600 |
2,387 |
|
|
Citigroup, Inc. |
5.300% |
1/7/16 |
10,825 |
10,197 |
|
|
Citigroup, Inc. |
5.500% |
2/15/17 |
7,650 |
6,953 |
|
|
Citigroup, Inc. |
6.000% |
8/15/17 |
9,250 |
8,959 |
|
|
Citigroup, Inc. |
6.125% |
11/21/17 |
22,050 |
21,443 |
|
|
Citigroup, Inc. |
6.125% |
5/15/18 |
11,000 |
10,639 |
|
|
Colonial Bank NA |
6.375% |
12/1/15 |
1,250 |
1,052 |
|
|
Comerica Bank |
5.750% |
11/21/16 |
4,275 |
3,857 |
|
|
Comerica Bank |
5.200% |
8/22/17 |
3,025 |
2,538 |
|
|
Comerica Inc. |
4.800% |
5/1/15 |
1,500 |
1,325 |
|
|
Compass Bank |
6.400% |
10/1/17 |
1,600 |
1,553 |
|
|
Credit Suisse First Boston USA, Inc. |
5.500% |
8/15/13 |
14,975 |
14,981 |
|
|
Credit Suisse First Boston USA, Inc. |
4.875% |
1/15/15 |
5,550 |
5,236 |
|
|
Credit Suisse First Boston USA, Inc. |
5.125% |
8/15/15 |
10,675 |
9,860 |
|
|
Credit Suisse First Boston USA, Inc. |
5.375% |
3/2/16 |
1,125 |
1,083 |
|
|
Credit Suisse First Boston USA, Inc. |
5.850% |
8/16/16 |
3,250 |
3,223 |
|
2 |
Credit Suisse First Boston USA, Inc. |
5.860% |
5/15/49 |
6,200 |
5,238 |
|
|
Credit Suisse New York |
6.000% |
2/15/18 |
8,250 |
7,969 |
|
|
Deutsche Bank AG London |
6.000% |
9/1/17 |
15,400 |
15,658 |
|
|
Deutsche Bank Financial LLC |
5.375% |
3/2/15 |
4,050 |
3,938 |
|
|
Fifth Third Bank |
4.750% |
2/1/15 |
2,800 |
2,357 |
|
|
Fifth Third Bank |
5.450% |
1/15/17 |
3,000 |
2,497 |
|
2 |
Fifth Third Cap Trust IV |
6.500% |
4/15/67 |
2,750 |
1,778 |
|
|
First Tennessee Bank |
5.050% |
1/15/15 |
2,800 |
2,401 |
|
3 |
HBOS Treasury Services PLC |
5.250% |
2/21/17 |
3,225 |
3,174 |
|
3 |
HBOS Treasury Services PLC |
6.750% |
5/21/18 |
925 |
866 |
|
|
HSBC Bank USA |
4.625% |
4/1/14 |
8,000 |
7,685 |
|
|
JPMorgan Chase & Co. |
5.375% |
1/15/14 |
3,050 |
3,080 |
|
|
JPMorgan Chase & Co. |
4.875% |
3/15/14 |
7,100 |
7,008 |
|
|
JPMorgan Chase & Co. |
5.125% |
9/15/14 |
12,015 |
11,287 |
|
|
JPMorgan Chase & Co. |
4.750% |
3/1/15 |
8,925 |
8,474 |
|
|
JPMorgan Chase & Co. |
5.250% |
5/1/15 |
2,975 |
2,929 |
|
|
JPMorgan Chase & Co. |
5.150% |
10/1/15 |
9,100 |
8,712 |
|
|
JPMorgan Chase & Co. |
5.875% |
6/13/16 |
5,475 |
5,378 |
|
|
JPMorgan Chase & Co. |
6.125% |
6/27/17 |
4,325 |
4,253 |
|
|
JPMorgan Chase & Co. |
6.000% |
10/1/17 |
14,275 |
14,094 |
|
|
JPMorgan Chase & Co. |
6.000% |
1/15/18 |
9,850 |
9,571 |
|
|
Key Bank NA |
5.800% |
7/1/14 |
3,800 |
3,420 |
|
|
Key Bank NA |
4.950% |
9/15/15 |
1,000 |
849 |
|
|
Key Bank NA |
5.450% |
3/3/16 |
3,025 |
2,531 |
|
|
MBNA Corp. |
5.000% |
6/15/15 |
1,300 |
1,255 |
|
|
Manufacturers & Traders Trust Co. |
6.625% |
12/4/17 |
5,425 |
5,257 |
|
2 |
Manufacturers & Traders Trust Co. |
5.585% |
12/28/20 |
2,400 |
2,077 |
|
|
Marshall & Ilsley Bank |
4.850% |
6/16/15 |
700 |
569 |
|
|
Marshall & Ilsley Bank |
5.000% |
1/17/17 |
1,200 |
1,052 |
|
|
Mellon Bank NA |
4.750% |
12/15/14 |
3,800 |
3,651 |
|
|
National City Bank |
5.800% |
6/7/17 |
3,000 |
2,391 |
|
|
National City Corp. |
4.900% |
1/15/15 |
1,800 |
1,377 |
|
|
NationsBank Corp. |
7.750% |
8/15/15 |
1,000 |
1,100 |
|
3 |
Northern Rock PLC |
5.625% |
6/22/17 |
6,325 |
6,367 |
|
|
PNC Bank NA |
4.875% |
9/21/17 |
700 |
618 |
|
|
PNC Bank NA |
6.000% |
12/7/17 |
1,125 |
1,076 |
|
|
PNC Bank NA |
6.875% |
4/1/18 |
1,500 |
1,510 |
|
|
PNC Funding Corp. |
5.250% |
11/15/15 |
3,575 |
3,334 |
|
|
PNC Funding Corp. |
5.625% |
2/1/17 |
7,625 |
7,105 |
|
|
PaineWebber |
7.625% |
12/1/09 |
3,000 |
3,142 |
|
|
Paribas NY |
6.950% |
7/22/13 |
2,000 |
2,158 |
|
|
Regions Bank |
7.500% |
5/15/18 |
4,400 |
4,330 |
|
|
Royal Bank of Scotland Group PLC |
5.000% |
11/12/13 |
1,700 |
1,662 |
|
|
Royal Bank of Scotland Group PLC |
5.050% |
1/8/15 |
13,400 |
12,805 |
|
2 |
Royal Bank of Scotland Group PLC |
7.640% |
3/31/49 |
8,175 |
7,450 |
|
2 |
Royal Bank of Scotland Group PLC |
5.512% |
9/29/49 |
6,550 |
5,602 |
|
|
Southtrust Corp. |
5.800% |
6/15/14 |
1,350 |
1,328 |
|
|
Sovereign Bancorp, Inc. |
8.750% |
5/30/18 |
2,825 |
2,848 |
|
2,3 |
Standard Chartered PLC |
6.409% |
12/31/49 |
1,500 |
1,233 |
|
|
State Street Capital Trust |
5.300% |
1/15/16 |
1,000 |
948 |
|
|
State Street Corp. |
5.375% |
4/30/17 |
825 |
805 |
|
|
SunTrust Banks, Inc. |
5.000% |
9/1/15 |
3,550 |
3,245 |
|
|
SunTrust Banks, Inc. |
5.200% |
1/17/17 |
150 |
135 |
|
|
SunTrust Banks, Inc. |
6.000% |
9/11/17 |
4,100 |
3,951 |
|
|
SunTrust Banks, Inc. |
5.450% |
12/1/17 |
2,350 |
2,111 |
|
|
SunTrust Banks, Inc. |
7.250% |
3/15/18 |
2,375 |
2,370 |
|
|
Synovus Financial Corp. |
4.875% |
2/15/13 |
2,000 |
1,884 |
|
|
Synovus Financial Corp. |
5.125% |
6/15/17 |
750 |
634 |
|
|
UBS AG |
5.875% |
7/15/16 |
4,800 |
4,738 |
|
|
UBS AG |
5.875% |
12/20/17 |
16,875 |
16,627 |
|
|
UBS AG |
5.750% |
4/25/18 |
10,625 |
10,367 |
|
|
UFJ Finance Aruba AEC |
6.750% |
7/15/13 |
15,350 |
15,884 |
|
|
US Bank NA |
6.300% |
2/4/14 |
2,600 |
2,717 |
|
|
US Bank NA |
4.950% |
10/30/14 |
12,225 |
12,003 |
|
|
US Bank NA |
4.800% |
4/15/15 |
1,000 |
962 |
|
|
Union Bank of California NA |
5.950% |
5/11/16 |
4,100 |
3,907 |
|
|
UnionBanCal Corp. |
5.250% |
12/16/13 |
1,200 |
1,154 |
|
|
Wachovia Bank NA |
4.800% |
11/1/14 |
2,750 |
2,600 |
|
|
Wachovia Bank NA |
4.875% |
2/1/15 |
4,475 |
4,084 |
|
|
Wachovia Bank NA |
5.600% |
3/15/16 |
1,400 |
1,335 |
|
|
Wachovia Bank NA |
6.000% |
11/15/17 |
5,275 |
5,010 |
|
|
Wachovia Corp. |
4.875% |
2/15/14 |
13,800 |
12,480 |
|
|
Wachovia Corp. |
5.625% |
10/15/16 |
10,900 |
10,110 |
|
|
Wachovia Corp. |
5.750% |
6/15/17 |
11,475 |
10,597 |
|
|
Wachovia Corp. |
5.750% |
2/1/18 |
11,200 |
10,314 |
|
|
Washington Mutual Bank |
5.650% |
8/15/14 |
3,375 |
2,777 |
|
|
Washington Mutual Bank |
5.125% |
1/15/15 |
9,350 |
7,082 |
|
|
Washington Mutual, Inc. |
4.625% |
4/1/14 |
2,000 |
1,351 |
|
|
Washington Mutual, Inc. |
5.250% |
9/15/17 |
3,025 |
2,358 |
|
|
Washington Mutual, Inc. |
7.250% |
11/1/17 |
2,500 |
2,091 |
|
|
Wells Fargo & Co. |
4.950% |
10/16/13 |
3,975 |
3,865 |
|
|
Wells Fargo & Co. |
4.625% |
4/15/14 |
6,650 |
6,503 |
|
|
Wells Fargo & Co. |
5.625% |
12/11/17 |
13,875 |
13,339 |
|
|
Wells Fargo Bank NA |
4.750% |
2/9/15 |
10,450 |
10,037 |
|
|
Wells Fargo Bank NA |
5.750% |
5/16/16 |
5,300 |
5,390 |
|
|
Zions Bancorp. |
5.650% |
5/15/14 |
1,200 |
1,028 |
|
|
Zions Bancorp. |
5.500% |
11/16/15 |
6,850 |
5,445 |
|
|
Brokerage (5.2%) |
|
|
|
|
|
|
Ameriprise Financial Inc. |
5.650% |
11/15/15 |
3,450 |
3,274 |
|
2 |
Ameriprise Financial Inc. |
7.518% |
6/1/66 |
2,000 |
1,715 |
|
|
Bear Stearns Co., Inc. |
5.700% |
11/15/14 |
8,150 |
7,846 |
|
|
Bear Stearns Co., Inc. |
5.300% |
10/30/15 |
1,100 |
1,019 |
|
|
Bear Stearns Co., Inc. |
5.550% |
1/22/17 |
12,300 |
11,367 |
|
|
Bear Stearns Co., Inc. |
6.400% |
10/2/17 |
13,700 |
13,575 |
|
|
|
Bear Stearns Co., Inc. |
7.250% |
2/1/18 |
8,050 |
8,416 |
|
|
|
BlackRock, Inc. |
6.250% |
9/15/17 |
2,950 |
2,974 |
|
|
|
Goldman Sachs Group, Inc. |
4.750% |
7/15/13 |
15,675 |
15,164 |
|
|
|
Goldman Sachs Group, Inc. |
5.150% |
1/15/14 |
10,725 |
10,730 |
|
|
|
Goldman Sachs Group, Inc. |
5.000% |
10/1/14 |
14,075 |
13,874 |
|
|
|
Goldman Sachs Group, Inc. |
5.125% |
1/15/15 |
9,650 |
9,315 |
|
|
|
Goldman Sachs Group, Inc. |
5.350% |
1/15/16 |
10,600 |
10,249 |
|
|
|
Goldman Sachs Group, Inc. |
5.750% |
10/1/16 |
3,850 |
3,770 |
|
|
|
Goldman Sachs Group, Inc. |
5.625% |
1/15/17 |
11,725 |
10,908 |
|
|
|
Goldman Sachs Group, Inc. |
6.250% |
9/1/17 |
11,225 |
11,162 |
|
|
|
Goldman Sachs Group, Inc. |
5.950% |
1/18/18 |
10,875 |
10,431 |
|
|
|
Goldman Sachs Group, Inc. |
6.150% |
4/1/18 |
29,425 |
28,603 |
|
|
|
Janus Capital Group |
6.700% |
6/15/17 |
1,700 |
1,576 |
|
|
|
Jefferies Group Inc. |
5.500% |
3/15/16 |
4,500 |
3,797 |
|
|
|
Lazard Group |
6.850% |
6/15/17 |
5,525 |
4,845 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.200% |
9/26/14 |
10,425 |
9,719 |
|
|
|
Lehman Brothers Holdings, Inc. |
8.800% |
3/1/15 |
1,000 |
1,070 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.500% |
4/4/16 |
5,350 |
4,851 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.750% |
1/3/17 |
11,375 |
10,055 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.500% |
7/19/17 |
8,875 |
8,260 |
|
|
|
Lehman Brothers Holdings, Inc. |
5.875% |
11/15/17 |
1,425 |
1,280 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.750% |
12/28/17 |
10,500 |
9,904 |
|
|
|
Lehman Brothers Holdings, Inc. |
6.875% |
5/2/18 |
10,425 |
10,130 |
|
|
|
Merrill Lynch & Co., Inc. |
5.000% |
2/3/14 |
8,650 |
7,914 |
|
|
|
Merrill Lynch & Co., Inc. |
5.450% |
7/15/14 |
5,150 |
4,898 |
|
|
|
Merrill Lynch & Co., Inc. |
5.000% |
1/15/15 |
14,775 |
13,047 |
|
|
|
Merrill Lynch & Co., Inc. |
6.050% |
5/16/16 |
4,725 |
4,338 |
|
|
|
Merrill Lynch & Co., Inc. |
5.700% |
5/2/17 |
5,550 |
4,922 |
|
|
|
Merrill Lynch & Co., Inc. |
6.400% |
8/28/17 |
6,750 |
6,255 |
|
|
|
Merrill Lynch & Co., Inc. |
6.875% |
4/25/18 |
30,925 |
29,388 |
|
|
|
Morgan Stanley Dean Witter |
4.750% |
4/1/14 |
14,500 |
13,079 |
|
|
|
Morgan Stanley Dean Witter |
6.000% |
4/28/15 |
10,800 |
10,401 |
|
|
|
Morgan Stanley Dean Witter |
5.375% |
10/15/15 |
7,050 |
6,487 |
|
|
|
Morgan Stanley Dean Witter |
5.750% |
10/18/16 |
6,400 |
5,853 |
|
|
|
Morgan Stanley Dean Witter |
5.450% |
1/9/17 |
13,025 |
11,653 |
|
|
|
Morgan Stanley Dean Witter |
5.550% |
4/27/17 |
5,675 |
5,077 |
|
|
|
Morgan Stanley Dean Witter |
6.250% |
8/28/17 |
12,000 |
11,260 |
|
|
|
Morgan Stanley Dean Witter |
5.950% |
12/28/17 |
20,075 |
18,332 |
|
|
|
Morgan Stanley Dean Witter |
6.625% |
4/1/18 |
26,850 |
25,561 |
|
|
2 |
Schwab Capital Trust I |
7.500% |
11/15/37 |
1,850 |
1,673 |
|
|
|
Finance Companies (3.3%) |
|
|
|
|
|
|
|
American Exoress Co. |
7.000% |
3/19/18 |
9,350 |
9,473 |
|
|
|
American Express Bank, FSB |
6.000% |
9/13/17 |
3,325 |
3,160 |
|
|
|
American Express Centurion Bank |
6.000% |
9/13/17 |
4,125 |
4,116 |
|
|
|
American Express Co. |
4.875% |
7/15/13 |
5,800 |
5,559 |
|
|
|
American Express Co. |
5.500% |
9/12/16 |
1,400 |
1,305 |
|
|
|
American Express Co. |
6.150% |
8/28/17 |
11,425 |
10,909 |
|
|
2 |
American Express Co. |
6.800% |
9/1/66 |
3,525 |
3,343 |
|
|
|
American Express Credit Corp. |
5.300% |
12/2/15 |
2,000 |
1,937 |
|
|
|
American General Finance Corp. |
5.850% |
6/1/13 |
3,950 |
3,672 |
|
|
|
American General Finance Corp. |
5.750% |
9/15/16 |
5,725 |
4,982 |
|
|
|
American General Finance Corp. |
6.900% |
12/15/17 |
15,700 |
13,968 |
|
|
|
CIT Group Co. of Canada |
5.200% |
6/1/15 |
5,775 |
4,043 |
|
|
|
CIT Group, Inc. |
5.400% |
3/7/13 |
2,150 |
1,728 |
|
|
|
CIT Group, Inc. |
5.000% |
2/13/14 |
875 |
681 |
|
|
|
CIT Group, Inc. |
5.125% |
9/30/14 |
4,525 |
3,252 |
|
|
|
CIT Group, Inc. |
5.000% |
2/1/15 |
3,400 |
2,512 |
|
|
|
CIT Group, Inc. |
5.400% |
1/30/16 |
2,250 |
1,662 |
|
|
|
CIT Group, Inc. |
5.850% |
9/15/16 |
2,750 |
2,052 |
|
|
CIT Group, Inc. |
5.650% |
2/13/17 |
3,150 |
2,296 |
|
2 |
CIT Group, Inc. |
6.100% |
3/15/67 |
3,200 |
1,580 |
|
|
Capital One Bank |
6.500% |
6/13/13 |
3,775 |
3,737 |
|
|
Capital One Financial |
5.500% |
6/1/15 |
3,750 |
3,360 |
|
|
Capital One Financial |
6.150% |
9/1/16 |
6,325 |
5,502 |
|
|
Capital One Financial |
6.750% |
9/15/17 |
6,775 |
6,742 |
|
|
Capmark Financial Group |
6.300% |
5/10/17 |
1,625 |
1,040 |
|
|
Discover Financial Services |
6.450% |
6/12/17 |
1,500 |
1,246 |
|
|
General Electric Capital Corp. |
5.500% |
6/4/14 |
5,350 |
5,493 |
|
|
General Electric Capital Corp. |
5.650% |
6/9/14 |
13,275 |
13,589 |
|
|
General Electric Capital Corp. |
5.375% |
10/20/16 |
925 |
917 |
|
|
General Electric Capital Corp. |
5.400% |
2/15/17 |
18,750 |
18,444 |
|
|
General Electric Capital Corp. |
5.625% |
9/15/17 |
12,900 |
12,775 |
|
|
General Electric Capital Corp. |
5.625% |
5/1/18 |
19,500 |
19,130 |
|
2 |
General Electric Capital Corp. |
6.375% |
11/15/67 |
14,675 |
14,070 |
|
2 |
HSBC Finance Capital Trust IX |
5.911% |
11/30/35 |
3,925 |
3,173 |
|
|
HSBC Finance Corp. |
4.750% |
7/15/13 |
8,575 |
8,387 |
|
|
HSBC Finance Corp. |
5.250% |
1/15/14 |
2,550 |
2,528 |
|
|
HSBC Finance Corp. |
5.000% |
6/30/15 |
27,150 |
26,020 |
|
|
International Lease Finance Corp. |
5.625% |
9/20/13 |
1,130 |
1,000 |
|
|
International Lease Finance Corp. |
5.650% |
6/1/14 |
11,150 |
9,729 |
|
|
iStar Financial Inc. |
5.950% |
10/15/13 |
3,175 |
2,508 |
|
|
iStar Financial Inc. |
5.875% |
3/15/16 |
5,475 |
4,271 |
|
|
iStar Financial Inc. |
5.850% |
3/15/17 |
1,100 |
847 |
|
|
PHH Corp. |
7.125% |
3/1/13 |
2,050 |
1,869 |
|
|
SLM Corp. |
5.000% |
10/1/13 |
6,900 |
5,730 |
|
|
SLM Corp. |
5.375% |
5/15/14 |
4,750 |
4,014 |
|
|
SLM Corp. |
5.050% |
11/14/14 |
1,400 |
1,155 |
|
|
SLM Corp. |
8.450% |
6/15/18 |
10,775 |
10,283 |
|
|
Insurance (2.9%) |
|
|
|
|
|
|
ACE INA Holdings, Inc. |
5.875% |
6/15/14 |
2,000 |
1,999 |
|
|
ACE INA Holdings, Inc. |
5.600% |
5/15/15 |
2,050 |
2,024 |
|
|
ACE INA Holdings, Inc. |
5.700% |
2/15/17 |
1,950 |
1,888 |
|
|
ACE INA Holdings, Inc. |
5.800% |
3/15/18 |
1,850 |
1,792 |
|
|
AEGON NV |
4.750% |
6/1/13 |
3,475 |
3,318 |
|
|
Aetna, Inc. |
6.000% |
6/15/16 |
5,250 |
5,223 |
|
|
Allied World Assurance |
7.500% |
8/1/16 |
3,275 |
3,099 |
|
|
Allstate Corp. |
5.000% |
8/15/14 |
4,725 |
4,729 |
|
2 |
Allstate Corp. |
6.125% |
5/15/37 |
2,575 |
2,378 |
|
|
American International Group, Inc. |
5.050% |
10/1/15 |
9,675 |
8,805 |
|
|
American International Group, Inc. |
5.600% |
10/18/16 |
875 |
815 |
|
|
American International Group, Inc. |
5.450% |
5/18/17 |
6,425 |
5,861 |
|
|
American International Group, Inc. |
5.850% |
1/16/18 |
9,675 |
8,922 |
|
|
Aspen Insurance Holdings Ltd. |
6.000% |
8/15/14 |
1,100 |
1,039 |
|
|
Assurant, Inc. |
5.625% |
2/15/14 |
2,825 |
2,668 |
|
|
Axis Capital Holdings |
5.750% |
12/1/14 |
1,800 |
1,745 |
|
|
Berkshire Hathaway Finance Corp. |
4.625% |
10/15/13 |
4,450 |
4,436 |
|
|
Berkshire Hathaway Finance Corp. |
5.100% |
7/15/14 |
1,850 |
1,871 |
|
|
Berkshire Hathaway Finance Corp. |
4.850% |
1/15/15 |
5,325 |
5,292 |
|
3 |
Berkshire Hathaway Finance Corp. |
5.400% |
5/15/18 |
2,650 |
2,644 |
|
|
CIGNA Corp. |
6.350% |
3/15/18 |
4,050 |
4,093 |
|
|
CNA Financial Corp. |
5.850% |
12/15/14 |
2,100 |
1,983 |
|
|
CNA Financial Corp. |
6.500% |
8/15/16 |
3,400 |
3,310 |
|
2 |
Chubb Corp. |
6.375% |
3/29/67 |
5,225 |
4,825 |
|
|
Chubb Corp. |
5.750% |
5/15/18 |
1,900 |
1,840 |
|
|
Commerce Group, Inc. |
5.950% |
12/9/13 |
900 |
869 |
|
|
Coventry Health Care Inc. |
6.300% |
8/15/14 |
1,000 |
945 |
|
|
Coventry Health Care Inc. |
5.950% |
3/15/17 |
3,000 |
2,701 |
|
2 |
Everest Reinsurance Holdings, Inc. |
6.600% |
5/15/37 |
1,450 |
1,043 |
|
|
Fund American Cos., Inc. |
5.875% |
5/15/13 |
2,100 |
2,038 |
|
|
|
Genworth Financial, Inc. |
5.750% |
6/15/14 |
4,250 |
4,099 |
|
|
|
Genworth Financial, Inc. |
4.950% |
10/1/15 |
1,450 |
1,285 |
|
|
2 |
Genworth Financial, Inc. |
6.150% |
11/15/66 |
3,025 |
2,377 |
|
|
|
Hartford Financial Services Group, Inc. |
4.625% |
7/15/13 |
1,200 |
1,142 |
|
|
|
Hartford Financial Services Group, Inc. |
5.500% |
10/15/16 |
1,975 |
1,864 |
|
|
|
Hartford Financial Services Group, Inc. |
5.375% |
3/15/17 |
2,200 |
2,047 |
|
|
|
Hartford Financial Services Group, Inc. |
6.300% |
3/15/18 |
2,200 |
2,171 |
|
|
2 |
Hartford Financial Services Group, Inc. |
8.125% |
6/15/38 |
2,250 |
2,202 |
|
|
|
Humana Inc. |
6.450% |
6/1/16 |
2,625 |
2,557 |
|
|
|
Humana Inc. |
7.200% |
6/15/18 |
3,975 |
3,947 |
|
|
2 |
ING Capital Funding Trust III |
5.775% |
12/8/49 |
4,325 |
3,659 |
|
|
|
Jefferson Pilot Corp. |
4.750% |
1/30/14 |
4,000 |
3,724 |
|
|
2 |
Lincoln National Corp. |
7.000% |
5/17/66 |
1,780 |
1,607 |
|
|
2 |
Lincoln National Corp. |
6.050% |
4/20/67 |
4,375 |
3,664 |
|
|
|
Loews Corp. |
5.250% |
3/15/16 |
1,850 |
1,784 |
|
|
|
Marsh & McLennan Cos., Inc. |
5.375% |
7/15/14 |
1,500 |
1,447 |
|
|
|
Marsh & McLennan Cos., Inc. |
5.750% |
9/15/15 |
5,550 |
5,397 |
|
|
|
MetLife, Inc. |
5.000% |
11/24/13 |
2,325 |
2,267 |
|
|
|
MetLife, Inc. |
5.500% |
6/15/14 |
1,075 |
1,079 |
|
|
|
MetLife, Inc. |
5.000% |
6/15/15 |
3,875 |
3,682 |
|
|
|
Principal Life Income Funding |
5.100% |
4/15/14 |
4,250 |
4,091 |
|
|
2 |
Progressive Corp. |
6.700% |
6/15/37 |
5,975 |
5,129 |
|
|
|
Prudential Financial, Inc. |
4.500% |
7/15/13 |
4,500 |
4,250 |
|
|
|
Prudential Financial, Inc. |
4.750% |
4/1/14 |
1,750 |
1,640 |
|
|
|
Prudential Financial, Inc. |
5.100% |
9/20/14 |
6,200 |
5,843 |
|
|
|
Prudential Financial, Inc. |
5.500% |
3/15/16 |
575 |
541 |
|
|
|
Prudential Financial, Inc. |
6.100% |
6/15/17 |
1,750 |
1,758 |
|
|
|
Prudential Financial, Inc. |
6.000% |
12/1/17 |
4,600 |
4,461 |
|
|
|
St. Paul Travelers Cos., Inc. |
5.500% |
12/1/15 |
1,350 |
1,343 |
|
|
|
St. Paul Travelers Cos., Inc. |
6.250% |
6/20/16 |
2,025 |
2,078 |
|
|
|
Torchmark Corp. |
6.375% |
6/15/16 |
1,750 |
1,782 |
|
|
|
Transatlantic Holdings |
5.750% |
12/14/15 |
4,000 |
3,818 |
|
|
|
Travelers Cos. Inc. |
5.750% |
12/15/17 |
3,550 |
3,491 |
|
|
|
Travelers Cos. Inc. |
5.800% |
5/15/18 |
1,975 |
1,920 |
|
|
2 |
Travelers Cos. Inc. |
6.250% |
3/15/37 |
3,950 |
3,361 |
|
|
|
UnitedHealth Group, Inc. |
5.000% |
8/15/14 |
5,400 |
5,108 |
|
|
|
UnitedHealth Group, Inc. |
4.875% |
3/15/15 |
3,825 |
3,556 |
|
|
|
UnitedHealth Group, Inc. |
6.000% |
6/15/17 |
2,100 |
2,043 |
|
|
|
UnitedHealth Group, Inc. |
6.000% |
11/15/17 |
2,400 |
2,356 |
|
|
|
UnitedHealth Group, Inc. |
6.000% |
2/15/18 |
8,725 |
8,398 |
|
|
|
WellPoint Inc. |
5.000% |
12/15/14 |
4,550 |
4,326 |
|
|
|
WellPoint Inc. |
5.250% |
1/15/16 |
3,900 |
3,639 |
|
|
|
WellPoint Inc. |
5.875% |
6/15/17 |
2,500 |
2,430 |
|
|
|
Willis North America Inc. |
5.625% |
7/15/15 |
2,750 |
2,589 |
|
|
|
Willis North America Inc. |
6.200% |
3/28/17 |
1,625 |
1,436 |
|
|
|
XL Capital Ltd. |
5.250% |
9/15/14 |
4,025 |
3,348 |
|
|
2 |
XL Capital Ltd. |
6.500% |
12/15/49 |
3,950 |
2,670 |
|
|
|
Real Estate Investment Trusts (1.3%) |
|
|
|
|
|
|
|
AMB Property LP |
6.300% |
6/1/13 |
1,475 |
1,477 |
|
|
|
Arden Realty LP |
5.250% |
3/1/15 |
1,250 |
1,227 |
|
|
|
AvalonBay Communities, Inc. |
5.750% |
9/15/16 |
1,750 |
1,669 |
|
|
|
Boston Properties, Inc. |
5.625% |
4/15/15 |
1,700 |
1,621 |
|
|
|
Brandywine Operating Partnership |
5.400% |
11/1/14 |
2,250 |
1,991 |
|
|
|
Camden Property Trust |
5.700% |
5/15/17 |
3,300 |
3,024 |
|
|
|
Colonial Realty LP |
5.500% |
10/1/15 |
4,200 |
3,655 |
|
|
|
Duke Realty LP |
5.950% |
2/15/17 |
4,975 |
4,598 |
|
|
|
ERP Operating LP |
5.200% |
4/1/13 |
1,000 |
966 |
|
|
|
ERP Operating LP |
5.250% |
9/15/14 |
4,025 |
3,727 |
|
|
|
ERP Operating LP |
5.125% |
3/15/16 |
5,000 |
4,495 |
|
|
|
ERP Operating LP |
5.375% |
8/1/16 |
475 |
440 |
|
|
ERP Operating LP |
5.750% |
6/15/17 |
1,675 |
1,550 |
|
|
HCP Inc. |
6.700% |
1/30/18 |
4,500 |
4,044 |
|
|
HRPT Properties Trust |
6.250% |
8/15/16 |
5,150 |
4,684 |
|
|
HRPT Properties Trust |
6.250% |
6/15/17 |
3,200 |
2,946 |
|
|
Health Care Property Investors, Inc. |
5.650% |
12/15/13 |
2,250 |
2,044 |
|
|
Health Care Property Investors, Inc. |
6.300% |
9/15/16 |
275 |
248 |
|
|
Health Care Property Investors, Inc. |
6.000% |
1/30/17 |
3,750 |
3,211 |
|
|
Health Care REIT, Inc. |
6.000% |
11/15/13 |
4,725 |
4,408 |
|
|
Health Care REIT, Inc. |
6.200% |
6/1/16 |
925 |
837 |
|
|
HealthCare Realty Trust |
5.125% |
4/1/14 |
2,925 |
2,596 |
|
|
Hospitality Properties |
5.125% |
2/15/15 |
4,150 |
3,364 |
|
|
Hospitality Properties |
5.625% |
3/15/17 |
2,500 |
2,001 |
|
|
Kimco Realty Corp. |
5.783% |
3/15/16 |
1,350 |
1,251 |
|
|
Liberty Property LP |
5.125% |
3/2/15 |
4,450 |
3,994 |
|
|
National Retail Properties |
6.875% |
10/15/17 |
3,000 |
2,766 |
|
|
ProLogis |
5.500% |
3/1/13 |
2,000 |
1,949 |
|
|
ProLogis |
5.625% |
11/15/15 |
2,800 |
2,584 |
|
|
ProLogis |
5.750% |
4/1/16 |
3,000 |
2,790 |
|
|
ProLogis |
5.625% |
11/15/16 |
1,925 |
1,762 |
|
|
Realty Income Corp. |
5.950% |
9/15/16 |
1,000 |
904 |
|
|
Regency Centers LP |
5.250% |
8/1/15 |
1,000 |
907 |
|
|
Regency Centers LP |
5.875% |
6/15/17 |
3,000 |
2,767 |
|
|
Simon Property Group Inc. |
5.625% |
8/15/14 |
2,350 |
2,255 |
|
|
Simon Property Group Inc. |
5.100% |
6/15/15 |
1,800 |
1,663 |
|
|
Simon Property Group Inc. |
5.750% |
12/1/15 |
4,600 |
4,404 |
|
|
Simon Property Group Inc. |
6.100% |
5/1/16 |
1,800 |
1,769 |
|
|
Simon Property Group Inc. |
5.250% |
12/1/16 |
6,575 |
5,996 |
|
|
Simon Property Group Inc. |
6.125% |
5/30/18 |
3,225 |
3,096 |
|
|
Tanger Factory Outlet Centers, Inc. |
6.150% |
11/15/15 |
1,725 |
1,587 |
|
|
Financial Other (0.0%) |
|
|
|
|
|
|
XTRA Finance Corp. |
5.150% |
4/1/17 |
1,600 |
1,592 |
|
|
|
|
|
|
1,704,719 |
|
Industrial (17.9%) |
|
|
|
|
|
|
|
Basic Industry (1.7%) |
|
|
|
|
|
|
Alcan, Inc. |
5.200% |
1/15/14 |
1,500 |
1,470 |
|
|
Alcan, Inc. |
5.000% |
6/1/15 |
1,575 |
1,498 |
|
|
Alcoa, Inc. |
5.550% |
2/1/17 |
1,900 |
1,774 |
|
3 |
ArcelorMittal |
6.125% |
6/1/18 |
6,775 |
6,600 |
|
|
Arcelormittal USA |
6.500% |
4/15/14 |
5,000 |
4,957 |
|
|
BHP Billiton Finance |
5.250% |
12/15/15 |
2,725 |
2,624 |
|
|
BHP Finance USA Ltd. |
5.400% |
3/29/17 |
2,300 |
2,173 |
|
|
Barrick Gold Finance Inc. |
4.875% |
11/15/14 |
2,050 |
1,926 |
|
|
Celulosa Arauco Constitution SA |
5.125% |
7/9/13 |
1,500 |
1,472 |
|
|
Celulosa Arauco Constitution SA |
5.625% |
4/20/15 |
5,150 |
5,002 |
|
|
Commercial Metals Co. |
6.500% |
7/15/17 |
1,650 |
1,681 |
|
|
Dow Chemical Co. |
5.700% |
5/15/18 |
3,300 |
3,233 |
|
|
E.I. du Pont de Nemours & Co. |
5.250% |
12/15/16 |
3,925 |
3,957 |
|
|
Freeport-McMoRan Copper & Gold Inc. |
8.250% |
4/1/15 |
8,000 |
8,260 |
|
|
Freeport-McMoRan Copper & Gold Inc. |
8.375% |
4/1/17 |
15,950 |
16,867 |
|
|
ICI Wilmington |
5.625% |
12/1/13 |
1,600 |
1,610 |
|
|
Inco Ltd. |
5.700% |
10/15/15 |
1,675 |
1,623 |
|
|
International Paper Co. |
7.400% |
6/15/14 |
6,500 |
6,502 |
|
|
International Paper Co. |
5.300% |
4/1/15 |
175 |
155 |
|
|
International Paper Co. |
5.250% |
4/1/16 |
2,950 |
2,521 |
|
|
Lubrizol Corp. |
5.500% |
10/1/14 |
2,575 |
2,459 |
|
|
Monsanto Co. |
5.125% |
4/15/18 |
925 |
904 |
|
|
Noranda, Inc. |
6.000% |
10/15/15 |
2,025 |
1,976 |
|
|
Nucor Corp. |
5.000% |
6/1/13 |
1,275 |
1,279 |
|
|
Nucor Corp. |
5.750% |
12/1/17 |
825 |
824 |
|
|
Nucor Corp. |
5.850% |
6/1/18 |
2,475 |
2,493 |
|
|
PPG Industries, Inc. |
6.650% |
3/15/18 |
3,425 |
3,481 |
|
|
Plum Creek Timber Co. |
5.875% |
11/15/15 |
1,650 |
1,459 |
|
|
Praxair, Inc. |
3.950% |
6/1/13 |
2,500 |
2,394 |
|
|
Praxair, Inc. |
5.250% |
11/15/14 |
1,850 |
1,851 |
|
|
Praxair, Inc. |
4.625% |
3/30/15 |
2,575 |
2,471 |
|
|
Praxair, Inc. |
5.375% |
11/1/16 |
700 |
698 |
|
|
Praxair, Inc. |
5.200% |
3/15/17 |
1,500 |
1,456 |
|
|
Reliance Steel & Aluminum |
6.200% |
11/15/16 |
650 |
627 |
|
|
Rio Tinto Finance USA Ltd. |
5.875% |
7/15/13 |
8,500 |
8,545 |
|
|
Rio Tinto Finance USA Ltd. |
6.500% |
7/15/18 |
8,200 |
8,211 |
|
|
Rohm & Haas Co. |
6.000% |
9/15/17 |
6,300 |
6,139 |
|
|
US Steel Corp. |
5.650% |
6/1/13 |
900 |
873 |
|
|
US Steel Corp. |
6.050% |
6/1/17 |
3,325 |
3,109 |
|
|
US Steel Corp. |
7.000% |
2/1/18 |
1,300 |
1,293 |
|
|
Vale Overseas Ltd. |
6.250% |
1/11/16 |
5,825 |
5,694 |
|
|
Vale Overseas Ltd. |
6.250% |
1/23/17 |
2,575 |
2,504 |
|
|
WMC Finance USA |
5.125% |
5/15/13 |
1,600 |
1,587 |
|
|
Capital Goods (1.6%) |
|
|
|
|
|
2,3 |
BAE Systems Asset Trust |
7.156% |
12/15/11 |
402 |
418 |
|
|
Brascan Corp. |
7.125% |
6/15/12 |
1,000 |
1,007 |
|
|
CRH America Inc. |
5.300% |
10/15/13 |
2,075 |
1,929 |
|
|
CRH America Inc. |
6.000% |
9/30/16 |
8,375 |
7,752 |
|
|
Caterpillar Financial Services Corp. |
4.750% |
2/17/15 |
7,625 |
7,468 |
|
|
Caterpillar Financial Services Corp. |
4.625% |
6/1/15 |
1,200 |
1,163 |
|
|
Caterpillar Financial Services Corp. |
5.450% |
4/15/18 |
3,900 |
3,870 |
|
|
Deere & Co. |
6.950% |
4/25/14 |
6,230 |
6,858 |
|
|
Dover Corp. |
4.875% |
10/15/15 |
2,400 |
2,332 |
|
|
Dover Corp. |
5.450% |
3/15/18 |
900 |
883 |
|
|
Embraer Overseas Ltd. |
6.375% |
1/24/17 |
700 |
686 |
|
|
Emerson Electric Co. |
5.125% |
12/1/16 |
2,500 |
2,462 |
|
|
Emerson Electric Co. |
5.375% |
10/15/17 |
5,000 |
5,016 |
|
|
General Electric Co. |
5.250% |
12/6/17 |
19,825 |
19,165 |
|
|
Hanson PLC |
6.125% |
8/15/16 |
3,250 |
3,172 |
|
|
Harsco Corp. |
5.750% |
5/15/18 |
2,550 |
2,546 |
|
|
Honeywell International, Inc. |
5.400% |
3/15/16 |
1,825 |
1,856 |
|
|
Honeywell International, Inc. |
5.300% |
3/15/17 |
1,000 |
999 |
|
|
Honeywell International, Inc. |
5.300% |
3/1/18 |
4,025 |
3,962 |
|
|
John Deere Capital Corp. |
5.500% |
4/13/17 |
2,300 |
2,289 |
|
|
Joy Global, Inc. |
6.000% |
11/15/16 |
1,275 |
1,269 |
|
|
Lafarge SA |
6.500% |
7/15/16 |
5,800 |
5,631 |
|
|
Lockheed Martin Corp. |
7.650% |
5/1/16 |
3,000 |
3,393 |
|
|
Martin Marietta Material |
6.600% |
4/15/18 |
2,050 |
2,039 |
|
|
Masco Corp. |
4.800% |
6/15/15 |
4,875 |
4,217 |
|
|
Masco Corp. |
6.125% |
10/3/16 |
4,275 |
3,861 |
|
|
Mohawk Industries Inc. |
6.125% |
1/15/16 |
6,275 |
5,978 |
|
Northrop Grumman Corp. |
7.750% |
3/1/16 |
2,900 |
3,303 |
|
Textron, Inc. |
5.600% |
12/1/17 |
3,700 |
3,689 |
|
Tyco International Group SA |
6.000% |
11/15/13 |
4,800 |
4,631 |
|
United Technologies Corp. |
4.875% |
5/1/15 |
6,425 |
6,386 |
|
United Technologies Corp. |
5.375% |
12/15/17 |
5,100 |
5,072 |
|
Vulcan Materials Co. |
7.000% |
6/15/18 |
3,275 |
3,329 |
|
Waste Management, Inc. |
6.375% |
11/15/12 |
1,000 |
1,020 |
|
Waste Management, Inc. |
5.000% |
3/15/14 |
625 |
599 |
|
Communication (3.9%) |
|
|
|
|
|
AT&T Inc. |
5.100% |
9/15/14 |
20,850 |
20,565 |
|
AT&T Inc. |
5.625% |
6/15/16 |
6,000 |
5,942 |
|
AT&T Inc. |
5.500% |
2/1/18 |
15,900 |
15,404 |
|
AT&T Inc. |
5.600% |
5/15/18 |
2,475 |
2,418 |
|
America Movil SA de C.V. |
5.500% |
3/1/14 |
5,650 |
5,558 |
|
America Movil SA de C.V. |
5.750% |
1/15/15 |
1,525 |
1,514 |
|
BellSouth Corp. |
5.200% |
9/15/14 |
200 |
197 |
|
British Telecommunications PLC |
5.950% |
1/15/18 |
2,375 |
2,270 |
|
CenturyTel, Inc. |
5.000% |
2/15/15 |
1,000 |
877 |
|
CenturyTel, Inc. |
6.000% |
4/1/17 |
2,475 |
2,228 |
|
Comcast Cable Communications, Inc. |
8.875% |
5/1/17 |
1,700 |
1,970 |
|
Comcast Corp. |
5.300% |
1/15/14 |
11,765 |
11,479 |
|
Comcast Corp. |
6.500% |
1/15/15 |
3,825 |
3,902 |
|
Comcast Corp. |
5.850% |
11/15/15 |
2,300 |
2,262 |
|
Comcast Corp. |
5.900% |
3/15/16 |
8,650 |
8,502 |
|
Comcast Corp. |
4.950% |
6/15/16 |
2,175 |
2,006 |
|
Comcast Corp. |
6.500% |
1/15/17 |
1,575 |
1,603 |
|
Comcast Corp. |
6.300% |
11/15/17 |
5,625 |
5,632 |
|
Comcast Corp. |
5.875% |
2/15/18 |
5,375 |
5,226 |
|
Cox Communications, Inc. |
4.625% |
6/1/13 |
4,000 |
3,706 |
|
Cox Communications, Inc. |
5.450% |
12/15/14 |
6,725 |
6,477 |
|
Cox Communications, Inc. |
5.500% |
10/1/15 |
1,250 |
1,199 |
|
Deutsche Telekom International Finance |
5.250% |
7/22/13 |
8,300 |
8,088 |
|
Deutsche Telekom International Finance |
5.750% |
3/23/16 |
2,725 |
2,703 |
|
Embarq Corp. |
7.082% |
6/1/16 |
14,275 |
13,612 |
|
GTE Corp. |
6.840% |
4/15/18 |
1,000 |
1,047 |
|
McGraw-Hill Cos. Inc. |
5.900% |
11/15/17 |
2,500 |
2,452 |
|
News America Holdings, Inc. |
9.250% |
2/1/13 |
1,325 |
1,516 |
|
News America Inc. |
5.300% |
12/15/14 |
8,350 |
8,193 |
|
Omnicom Group Inc. |
5.900% |
4/15/16 |
6,400 |
6,251 |
|
Qwest Communications International Inc. |
7.500% |
10/1/14 |
3,475 |
3,406 |
|
Qwest Communications International Inc. |
6.500% |
6/1/17 |
4,000 |
3,580 |
|
R.R. Donnelley & Sons Co. |
4.950% |
4/1/14 |
2,550 |
2,339 |
|
R.R. Donnelley & Sons Co. |
5.500% |
5/15/15 |
2,365 |
2,243 |
|
R.R. Donnelley & Sons Co. |
6.125% |
1/15/17 |
1,750 |
1,678 |
|
Rogers Cable Inc. |
5.500% |
3/15/14 |
5,000 |
4,813 |
|
Rogers Wireless Inc. |
6.375% |
3/1/14 |
8,000 |
7,970 |
|
TCI Communications, Inc. |
8.750% |
8/1/15 |
3,895 |
4,355 |
|
Tele-Communications, Inc. |
7.875% |
8/1/13 |
5,401 |
5,841 |
|
Telecom Italia Capital |
5.250% |
11/15/13 |
2,875 |
2,677 |
|
Telecom Italia Capital |
4.950% |
9/30/14 |
13,225 |
12,039 |
|
Telecom Italia Capital |
5.250% |
10/1/15 |
3,600 |
3,319 |
|
Telecom Italia Capital |
6.999% |
6/4/18 |
2,400 |
2,420 |
|
Telefonica Emisiones SAU |
6.421% |
6/20/16 |
11,075 |
11,268 |
|
Telefonos de Mexico SA |
5.500% |
1/27/15 |
6,050 |
5,891 |
|
Thomson Corp. |
5.950% |
7/15/13 |
1,675 |
1,682 |
|
Thomson Corp. |
5.700% |
10/1/14 |
5,550 |
5,467 |
|
Thomson Corp. |
6.500% |
7/15/18 |
2,350 |
2,341 |
|
Time Warner Cable Inc. |
6.200% |
7/1/13 |
5,525 |
5,607 |
|
Time Warner Cable Inc. |
5.850% |
5/1/17 |
9,575 |
9,080 |
|
Time Warner Cable Inc. |
6.750% |
7/1/18 |
7,400 |
7,436 |
|
Verizon Communications Corp. |
5.550% |
2/15/16 |
12,150 |
11,869 |
|
Verizon Communications Corp. |
5.500% |
2/15/18 |
11,500 |
10,938 |
|
Verizon Communications Corp. |
6.100% |
4/15/18 |
4,300 |
4,271 |
|
Verizon Global Funding Corp. |
4.900% |
9/15/15 |
2,000 |
1,900 |
|
Vodafone Group PLC |
5.000% |
12/16/13 |
900 |
872 |
|
Vodafone Group PLC |
5.375% |
1/30/15 |
8,475 |
8,177 |
|
Vodafone Group PLC |
5.000% |
9/15/15 |
1,250 |
1,176 |
|
Vodafone Group PLC |
5.750% |
3/15/16 |
5,350 |
5,290 |
|
Vodafone Group PLC |
5.625% |
2/27/17 |
7,425 |
7,151 |
|
WPP Finance USA Corp. |
5.875% |
6/15/14 |
2,150 |
2,067 |
|
Consumer Cyclical (2.3%) |
|
|
|
|
|
Best Buy Co. |
6.750% |
7/15/13 |
3,525 |
3,549 |
|
Brinker International |
5.750% |
6/1/14 |
1,700 |
1,523 |
|
CVS Corp. |
4.875% |
9/15/14 |
1,675 |
1,609 |
|
CVS Corp. |
6.125% |
8/15/16 |
2,600 |
2,609 |
|
CVS Corp. |
5.750% |
6/1/17 |
7,575 |
7,435 |
|
Costco Wholesale Corp. |
5.500% |
3/15/17 |
8,975 |
9,054 |
|
DaimlerChrysler North America Holding Corp. |
6.500% |
11/15/13 |
13,925 |
14,349 |
|
Darden Restaurants Inc. |
6.200% |
10/15/17 |
3,700 |
3,481 |
|
Federated Retail Holding |
5.900% |
12/1/16 |
8,800 |
7,693 |
|
Home Depot Inc. |
5.250% |
12/16/13 |
4,450 |
4,309 |
|
Home Depot Inc. |
5.400% |
3/1/16 |
13,050 |
11,877 |
|
ITT Corp. |
7.375% |
11/15/15 |
3,600 |
3,548 |
|
J.C. Penney Co., Inc. |
7.950% |
4/1/17 |
1,650 |
1,698 |
|
J.C. Penney Co., Inc. |
5.750% |
2/15/18 |
2,650 |
2,395 |
|
Johnson Controls, Inc. |
4.875% |
9/15/13 |
1,000 |
990 |
|
Johnson Controls, Inc. |
5.500% |
1/15/16 |
3,000 |
2,870 |
|
Kohl’s Corp. |
6.250% |
12/15/17 |
1,500 |
1,425 |
|
Limited Brands Inc. |
5.250% |
11/1/14 |
3,100 |
2,617 |
|
Limited Brands Inc. |
6.900% |
7/15/17 |
2,875 |
2,609 |
|
Lowe’s Cos., Inc. |
5.000% |
10/15/15 |
4,275 |
4,218 |
|
Lowe’s Cos., Inc. |
5.400% |
10/15/16 |
3,525 |
3,433 |
|
Lowe’s Cos., Inc. |
6.100% |
9/15/17 |
600 |
609 |
|
Macy’s Retail Holdings Inc. |
5.750% |
7/15/14 |
3,600 |
3,269 |
|
Marriott International |
6.200% |
6/15/16 |
2,600 |
2,434 |
|
Marriott International |
6.375% |
6/15/17 |
2,450 |
2,315 |
|
McDonald’s Corp. |
5.300% |
3/15/17 |
750 |
736 |
|
McDonald’s Corp. |
5.800% |
10/15/17 |
3,950 |
4,012 |
|
McDonald’s Corp. |
5.350% |
3/1/18 |
4,775 |
4,676 |
|
Nordstrom, Inc. |
6.250% |
1/15/18 |
1,800 |
1,753 |
|
Target Corp. |
4.000% |
6/15/13 |
2,570 |
2,476 |
|
Target Corp. |
5.875% |
7/15/16 |
6,600 |
6,703 |
|
Target Corp. |
5.375% |
5/1/17 |
550 |
534 |
|
Target Corp. |
6.000% |
1/15/18 |
3,600 |
3,605 |
|
The Walt Disney Co. |
5.625% |
9/15/16 |
7,700 |
7,874 |
|
The Walt Disney Co. |
5.875% |
12/15/17 |
2,025 |
2,104 |
|
Time Warner, Inc. |
5.875% |
11/15/16 |
8,100 |
7,661 |
|
Toll Brothers, Inc. |
5.950% |
9/15/13 |
1,000 |
926 |
|
Toll Brothers, Inc. |
5.150% |
5/15/15 |
2,150 |
1,879 |
|
VF Corp. |
5.950% |
11/1/17 |
1,125 |
1,106 |
|
Viacom Inc. |
6.250% |
4/30/16 |
6,800 |
6,563 |
|
Viacom Inc. |
6.125% |
10/5/17 |
50 |
48 |
|
Wal-Mart Stores, Inc. |
7.250% |
6/1/13 |
2,300 |
2,578 |
|
Wal-Mart Stores, Inc. |
4.500% |
7/1/15 |
7,025 |
6,909 |
|
Wal-Mart Stores, Inc. |
5.375% |
4/5/17 |
2,575 |
2,606 |
|
Wal-Mart Stores, Inc. |
5.800% |
2/15/18 |
7,525 |
7,810 |
|
Western Union Co. |
5.930% |
10/1/16 |
3,800 |
3,717 |
|
Wyndham Worldwide |
6.000% |
12/1/16 |
1,900 |
1,662 |
|
Yum! Brands, Inc. |
6.250% |
4/15/16 |
2,525 |
2,525 |
|
Yum! Brands, Inc. |
6.250% |
3/15/18 |
2,400 |
2,327 |
|
Consumer Noncyclical (4.5%) |
|
|
|
|
|
Abbott Laboratories |
4.350% |
3/15/14 |
4,350 |
4,253 |
|
|
Abbott Laboratories |
5.875% |
5/15/16 |
8,500 |
8,799 |
||
|
|
Abbott Laboratories |
5.600% |
11/30/17 |
5,000 |
5,032 |
||
|
|
Allergan Inc. |
5.750% |
4/1/16 |
3,300 |
3,289 |
||
|
|
AmerisourceBergen Corp. |
5.875% |
9/15/15 |
4,425 |
4,272 |
||
|
|
Amgen Inc. |
4.850% |
11/18/14 |
4,125 |
3,941 |
||
|
|
Amgen Inc. |
5.850% |
6/1/17 |
7,975 |
7,876 |
||
|
|
Anheuser-Busch Cos., Inc. |
5.600% |
3/1/17 |
4,100 |
3,902 |
||
|
|
Anheuser-Busch Cos., Inc. |
5.500% |
1/15/18 |
3,900 |
3,639 |
||
|
|
Archer-Daniels-Midland Co. |
8.375% |
4/15/17 |
1,375 |
1,606 |
||
|
|
Archer-Daniels-Midland Co. |
5.450% |
3/15/18 |
4,050 |
3,907 |
||
|
|
AstraZeneca PLC |
5.400% |
6/1/14 |
3,050 |
3,122 |
||
|
|
AstraZeneca PLC |
5.900% |
9/15/17 |
10,625 |
10,889 |
||
|
|
Baxter International, Inc. |
4.625% |
3/15/15 |
3,150 |
2,988 |
||
|
|
Baxter International, Inc. |
5.900% |
9/1/16 |
2,600 |
2,659 |
||
|
|
Biogen Idec Inc. |
6.875% |
3/1/18 |
4,950 |
4,982 |
||
|
|
Bottling Group LLC |
5.000% |
11/15/13 |
1,500 |
1,508 |
||
|
|
Bottling Group LLC |
5.500% |
4/1/16 |
6,050 |
6,079 |
||
|
|
Bristol-Myers Squibb Co. |
5.250% |
8/15/13 |
2,775 |
2,820 |
||
|
|
Bristol-Myers Squibb Co. |
5.450% |
5/1/18 |
3,125 |
3,060 |
||
|
|
Bunge Ltd. Finance Corp. |
5.350% |
4/15/14 |
2,900 |
2,710 |
||
|
|
Bunge Ltd. Finance Corp. |
5.100% |
7/15/15 |
1,925 |
1,751 |
||
|
|
Cardinal Health, Inc. |
4.000% |
6/15/15 |
2,200 |
1,989 |
||
|
|
Cardinal Health, Inc. |
5.800% |
10/15/16 |
1,250 |
1,235 |
||
|
|
Cardinal Health, Inc. |
6.000% |
6/15/17 |
900 |
888 |
||
|
|
Cardinal Health, Inc. |
5.850% |
12/15/17 |
1,900 |
1,859 |
||
|
|
Cia. Brasil de Bebidas AmBev |
8.750% |
9/15/13 |
2,800 |
3,192 |
||
|
|
Clorox Co. |
5.000% |
1/15/15 |
3,700 |
3,516 |
||
|
|
Coca-Cola Co. |
5.350% |
11/15/17 |
8,200 |
8,235 |
||
|
|
Coca-Cola HBC Finance |
5.125% |
9/17/13 |
2,400 |
2,398 |
||
|
|
ConAgra Foods, Inc. |
5.819% |
6/15/17 |
1,500 |
1,473 |
||
|
|
Covidien International |
6.000% |
10/15/17 |
5,625 |
5,692 |
||
|
|
Delhaize America Inc. |
6.500% |
6/15/17 |
2,800 |
2,843 |
||
|
|
Diageo Capital PLC |
5.500% |
9/30/16 |
6,300 |
6,225 |
||
|
|
Diageo Capital PLC |
5.750% |
10/23/17 |
4,800 |
4,738 |
||
|
|
Diageo Finance BV |
5.300% |
10/28/15 |
2,675 |
2,636 |
||
|
3 |
Dr. Pepper Snapple Group |
6.820% |
5/1/18 |
3,325 |
3,367 |
||
|
|
Eli Lilly & Co. |
5.200% |
3/15/17 |
4,925 |
4,901 |
||
|
|
Fisher Scientific International Inc. |
6.125% |
7/1/15 |
4,000 |
3,976 |
||
|
|
Fortune Brands Inc. |
5.375% |
1/15/16 |
9,775 |
9,138 |
||
|
|
Genentech Inc. |
4.750% |
7/15/15 |
2,900 |
2,864 |
||
|
|
General Mills, Inc. |
5.200% |
3/17/15 |
1,100 |
1,086 |
||
|
|
General Mills, Inc. |
5.700% |
2/15/17 |
7,850 |
7,781 |
||
|
|
GlaxoSmithKline Capital Inc. |
4.375% |
4/15/14 |
8,075 |
7,855 |
||
|
|
GlaxoSmithKline Capital Inc. |
5.650% |
5/15/18 |
13,250 |
13,110 |
||
|
|
Hasbro Inc. |
6.300% |
9/15/17 |
2,175 |
2,151 |
||
|
|
Hershey Foods Corp. |
5.450% |
9/1/16 |
2,100 |
2,101 |
||
|
|
Hospira, Inc. |
5.900% |
6/15/14 |
675 |
664 |
||
|
|
Hospira, Inc. |
6.050% |
3/30/17 |
2,000 |
1,930 |
||
|
|
Johnson & Johnson |
5.550% |
8/15/17 |
4,600 |
4,806 |
||
|
|
Johnson & Johnson |
5.150% |
7/15/18 |
2,725 |
2,759 |
||
|
|
Kimberly-Clark Corp. |
4.875% |
8/15/15 |
1,025 |
998 |
||
|
|
Kimberly-Clark Corp. |
6.125% |
8/1/17 |
7,000 |
7,243 |
||
|
|
Kraft Foods, Inc. |
5.250% |
10/1/13 |
7,250 |
7,097 |
||
|
|
Kraft Foods, Inc. |
6.500% |
8/11/17 |
11,825 |
11,840 |
||
|
|
Kraft Foods, Inc. |
6.125% |
2/1/18 |
5,750 |
5,597 |
||
|
|
Kroger Co. |
4.950% |
1/15/15 |
6,825 |
6,467 |
||
|
|
Kroger Co. |
6.400% |
8/15/17 |
1,950 |
2,011 |
||
|
|
Laboratory Corp. of America |
5.500% |
2/1/13 |
2,500 |
2,428 |
||
|
|
Laboratory Corp. of America |
5.625% |
12/15/15 |
1,250 |
1,153 |
||
|
|
Mckesson Corp. |
5.700% |
3/1/17 |
1,000 |
971 |
|
|
|
Medco Health Solutions |
7.250% |
8/15/13 |
3,500 |
3,714 |
|
|
|
Medco Health Solutions |
7.125% |
3/15/18 |
4,100 |
4,258 |
|
|
|
Medtronic Inc. |
4.750% |
9/15/15 |
3,200 |
3,044 |
|
|
|
Merck & Co. |
4.750% |
3/1/15 |
5,425 |
5,364 |
|
|
|
PepsiAmericas Inc. |
4.875% |
1/15/15 |
2,875 |
2,783 |
|
|
|
PepsiAmericas Inc. |
5.000% |
5/15/17 |
750 |
699 |
|
|
|
Pepsico, Inc. |
5.000% |
6/1/18 |
6,700 |
6,526 |
|
|
|
Pfizer, Inc. |
4.500% |
2/15/14 |
3,375 |
3,353 |
|
|
|
Philip Morris International Inc |
5.650% |
5/16/18 |
11,975 |
11,665 |
|
|
|
Philips Electronics NV |
5.750% |
3/11/18 |
7,100 |
6,960 |
|
|
|
Procter & Gamble Co. |
4.950% |
8/15/14 |
10,025 |
10,279 |
|
|
|
Quest Diagnostic, Inc. |
5.450% |
11/1/15 |
3,200 |
3,035 |
|
|
|
Quest Diagnostic, Inc. |
6.400% |
7/1/17 |
1,325 |
1,312 |
|
|
|
Reynolds American Inc. |
7.625% |
6/1/16 |
1,000 |
1,041 |
|
|
|
Reynolds American Inc. |
6.750% |
6/15/17 |
5,000 |
4,981 |
|
|
|
Safeway, Inc. |
6.350% |
8/15/17 |
1,875 |
1,910 |
|
|
|
Schering-Plough Corp. |
5.550% |
12/1/13 |
5,750 |
5,792 |
|
|
|
Schering-Plough Corp. |
6.000% |
9/15/17 |
7,450 |
7,356 |
|
|
|
Sysco Corp. |
5.250% |
2/12/18 |
2,500 |
2,494 |
|
|
|
Teva Pharmaceutical Finance LLC |
5.550% |
2/1/16 |
2,675 |
2,612 |
|
|
|
Tyson Foods, Inc. |
6.850% |
4/1/16 |
2,950 |
2,690 |
|
|
|
UST, Inc. |
5.750% |
3/1/18 |
975 |
969 |
|
|
|
Wm. Wrigley Jr. Co. |
4.650% |
7/15/15 |
3,350 |
3,246 |
|
|
|
Wyeth |
5.500% |
2/1/14 |
7,175 |
7,040 |
|
|
|
Wyeth |
5.500% |
2/15/16 |
9,050 |
9,055 |
|
|
|
Wyeth |
5.450% |
4/1/17 |
1,250 |
1,234 |
|
|
|
Energy (1.6%) |
|
|
|
|
|
|
|
Anadarko Petroleum Corp. |
5.950% |
9/15/16 |
13,200 |
13,215 |
|
|
|
Apache Corp. |
5.625% |
1/15/17 |
3,625 |
3,677 |
|
|
|
BJ Services Co. |
6.000% |
6/1/18 |
575 |
574 |
|
|
|
Cameron International Corp. |
6.375% |
7/15/18 |
1,600 |
1,603 |
|
|
|
Canadian Natural Resources |
4.900% |
12/1/14 |
2,950 |
2,852 |
|
|
|
Canadian Natural Resources |
6.000% |
8/15/16 |
3,350 |
3,373 |
|
|
|
Canadian Natural Resources |
5.700% |
5/15/17 |
5,500 |
5,376 |
|
|
|
ConocoPhillips Canada |
5.625% |
10/15/16 |
9,825 |
10,049 |
|
|
|
Diamond Offshore Drilling |
4.875% |
7/1/15 |
2,050 |
1,955 |
|
|
|
EOG Resources Inc. |
5.875% |
9/15/17 |
3,300 |
3,322 |
|
|
|
Encana Corp. |
4.750% |
10/15/13 |
1,125 |
1,102 |
|
|
|
Encana Corp. |
5.900% |
12/1/17 |
4,225 |
4,215 |
|
|
|
Encana Holdings Finance Corp. |
5.800% |
5/1/14 |
7,750 |
7,848 |
|
|
|
Marathon Oil Corp. |
6.000% |
10/1/17 |
5,875 |
5,862 |
|
|
|
Marathon Oil Corp. |
5.900% |
3/15/18 |
4,175 |
4,120 |
|
|
3 |
Nabors Industries Inc. |
6.150% |
2/15/18 |
2,200 |
2,212 |
|
|
|
Nexen, Inc. |
5.050% |
11/20/13 |
3,000 |
2,958 |
|
|
|
Nexen, Inc. |
5.650% |
5/15/17 |
1,850 |
1,777 |
|
|
|
Petro-Canada |
4.000% |
7/15/13 |
1,800 |
1,689 |
|
|
|
Petro-Canada Financial Partnership |
5.000% |
11/15/14 |
3,375 |
3,198 |
|
|
|
Petro-Canada Financial Partnership |
6.050% |
5/15/18 |
2,225 |
2,184 |
|
|
|
Questar Market Resources |
6.050% |
9/1/16 |
600 |
582 |
|
|
|
Questar Market Resources |
6.800% |
4/1/18 |
2,000 |
2,038 |
|
|
|
Shell International Finance |
5.200% |
3/22/17 |
2,775 |
2,851 |
|
|
|
Suncor Energy, Inc. |
6.100% |
6/1/18 |
5,200 |
5,253 |
|
|
|
Sunoco, Inc. |
4.875% |
10/15/14 |
950 |
898 |
|
|
|
Sunoco, Inc. |
5.750% |
1/15/17 |
2,075 |
1,959 |
|
|
|
Talisman Energy, Inc. |
5.125% |
5/15/15 |
2,150 |
2,065 |
|
|
|
Transocean Inc. |
6.000% |
3/15/18 |
2,250 |
2,253 |
|
|
|
Valero Energy Corp. |
4.750% |
6/15/13 |
4,500 |
4,294 |
|
|
|
Valero Energy Corp. |
6.125% |
6/15/17 |
4,000 |
3,891 |
|
|
|
Weatherford International Inc. |
5.500% |
2/15/16 |
3,000 |
2,936 |
|
|
|
Weatherford International Inc. |
6.350% |
6/15/17 |
2,300 |
2,337 |
|
|
Weatherford International Inc. |
6.000% |
3/15/18 |
2,575 |
2,549 |
|
|
XTO Energy, Inc. |
4.900% |
2/1/14 |
2,750 |
2,675 |
|
|
XTO Energy, Inc. |
5.000% |
1/31/15 |
400 |
385 |
|
|
XTO Energy, Inc. |
5.300% |
6/30/15 |
1,625 |
1,575 |
|
|
XTO Energy, Inc. |
6.250% |
8/1/17 |
6,125 |
6,196 |
|
|
Technology (1.6%) |
|
|
|
|
|
|
Agilent Technologies Inc. |
6.500% |
11/1/17 |
3,325 |
3,250 |
|
|
Arrow Electronics, Inc. |
6.875% |
7/1/13 |
1,000 |
1,038 |
|
|
Avnet Inc. |
6.625% |
9/15/16 |
3,000 |
3,021 |
|
|
BMC Software Inc. |
7.250% |
6/1/18 |
1,550 |
1,576 |
|
|
Cisco Systems Inc. |
5.500% |
2/22/16 |
15,875 |
16,051 |
|
3 |
Computer Sciences Corp. |
6.500% |
3/15/18 |
3,300 |
3,304 |
|
3 |
Dell Inc. |
5.650% |
4/15/18 |
2,500 |
2,419 |
|
|
Electronic Data Systems |
6.500% |
8/1/13 |
4,075 |
4,181 |
|
|
Equifax Inc. |
6.300% |
7/1/17 |
650 |
625 |
|
|
Fiserv, Inc. |
6.800% |
11/20/17 |
3,150 |
3,176 |
|
|
Harris Corp. |
5.000% |
10/1/15 |
1,425 |
1,359 |
|
|
Harris Corp. |
5.950% |
12/1/17 |
775 |
774 |
|
|
Hewlett-Packard Co. |
5.400% |
3/1/17 |
2,750 |
2,690 |
|
|
Hewlett-Packard Co. |
5.500% |
3/1/18 |
5,375 |
5,252 |
|
|
International Business Machines Corp. |
7.500% |
6/15/13 |
6,600 |
7,423 |
|
|
International Business Machines Corp. |
5.700% |
9/14/17 |
11,575 |
11,739 |
|
|
Intuit Inc. |
5.750% |
3/15/17 |
2,025 |
1,901 |
|
|
Lexmark International Inc. |
6.650% |
6/1/18 |
2,975 |
2,905 |
|
|
Motorola, Inc. |
6.000% |
11/15/17 |
725 |
641 |
|
|
National Semiconductor |
6.600% |
6/15/17 |
2,325 |
2,329 |
|
|
Oracle Corp. |
5.250% |
1/15/16 |
12,975 |
12,800 |
|
|
Oracle Corp. |
5.750% |
4/15/18 |
8,000 |
7,934 |
|
|
Pitney Bowes, Inc. |
3.875% |
6/15/13 |
1,500 |
1,441 |
|
|
Pitney Bowes, Inc. |
4.875% |
8/15/14 |
2,025 |
1,984 |
|
|
Pitney Bowes, Inc. |
4.750% |
1/15/16 |
6,175 |
5,773 |
|
|
Pitney Bowes, Inc. |
5.750% |
9/15/17 |
2,400 |
2,383 |
|
|
Pitney Bowes, Inc. |
4.750% |
5/15/18 |
1,625 |
1,503 |
|
|
Tyco Electronics Group |
6.550% |
10/1/17 |
4,025 |
4,088 |
|
|
Xerox Corp. |
7.625% |
6/15/13 |
2,275 |
2,361 |
|
|
Xerox Corp. |
6.400% |
3/15/16 |
5,700 |
5,703 |
|
|
Xerox Corp. |
6.750% |
2/1/17 |
1,850 |
1,869 |
|
|
Xerox Corp. |
6.350% |
5/15/18 |
5,575 |
5,474 |
|
|
Transportation (0.6%) |
|
|
|
|
|
|
Burlington Northern Santa Fe Corp. |
5.650% |
5/1/17 |
9,050 |
8,907 |
|
|
Burlington Northern Santa Fe Corp. |
5.750% |
3/15/18 |
900 |
883 |
|
|
CSX Corp. |
6.250% |
4/1/15 |
4,000 |
3,937 |
|
|
CSX Corp. |
5.600% |
5/1/17 |
3,850 |
3,588 |
|
|
Canadian National Railway Co. |
4.950% |
1/15/14 |
1,300 |
1,298 |
|
|
Canadian National Railway Co. |
5.800% |
6/1/16 |
1,950 |
1,971 |
|
|
Canadian National Railway Co. |
5.850% |
11/15/17 |
500 |
509 |
|
|
Canadian National Railway Co. |
5.550% |
5/15/18 |
900 |
888 |
|
|
Continental Airlines, Inc. |
6.563% |
2/15/12 |
500 |
450 |
|
2 |
Continental Airlines, Inc. |
6.648% |
9/15/17 |
1,013 |
917 |
|
2 |
Continental Airlines, Inc. |
6.900% |
1/2/18 |
1,579 |
1,421 |
|
|
Norfolk Southern Corp. |
5.257% |
9/17/14 |
3,095 |
3,052 |
|
|
Norfolk Southern Corp. |
7.700% |
5/15/17 |
2,400 |
2,689 |
|
3 |
Norfolk Southern Corp. |
5.750% |
4/1/18 |
3,000 |
2,997 |
|
|
Ryder System Inc. |
5.850% |
3/1/14 |
1,350 |
1,331 |
|
|
Ryder System Inc. |
5.850% |
11/1/16 |
1,000 |
952 |
|
|
Southwest Airlines Co. |
5.250% |
10/1/14 |
2,000 |
1,818 |
|
|
Southwest Airlines Co. |
5.750% |
12/15/16 |
1,300 |
1,161 |
|
|
Southwest Airlines Co. |
5.125% |
3/1/17 |
650 |
550 |
|
|
Union Pacific Corp. |
5.375% |
5/1/14 |
2,000 |
1,987 |
|
|
Union Pacific Corp. |
7.000% |
2/1/16 |
550 |
584 |
|
|
|
Union Pacific Corp. |
5.650% |
5/1/17 |
3,300 |
3,237 |
|
|
|
Union Pacific Corp. |
5.750% |
11/15/17 |
4,000 |
3,948 |
|
|
2 |
United Air Lines Inc. |
6.636% |
7/2/22 |
1,994 |
1,646 |
|
|
|
United Parcel Service of America |
5.500% |
1/15/18 |
1,600 |
1,624 |
|
|
|
Other (0.1%) |
|
|
|
|
|
|
|
Black & Decker Corp. |
5.750% |
11/15/16 |
1,925 |
1,835 |
|
|
|
Cintas Corp. |
6.125% |
12/1/17 |
1,300 |
1,320 |
|
|
|
Cooper Industries, Inc. |
5.450% |
4/1/15 |
1,375 |
1,377 |
|
|
|
Danaher Corp. |
5.625% |
1/15/18 |
1,200 |
1,199 |
|
|
|
Eaton Corp. |
5.600% |
5/15/18 |
1,825 |
1,807 |
|
|
|
Parker-Hannifin Corp. |
5.500% |
5/15/18 |
2,000 |
1,998 |
|
|
|
Rockwell Automation |
5.650% |
12/1/17 |
1,550 |
1,552 |
|
|
|
|
|
|
|
1,455,159 |
|
|
Utilities (3.9%) |
|
|
|
|
||
|
|
Electric (2.7%) |
|
|
|
|
|
|
|
Alabama Power Co. |
5.500% |
10/15/17 |
2,100 |
2,118 |
|
|
|
American Electric Power Co., Inc. |
5.250% |
6/1/15 |
1,850 |
1,781 |
|
|
|
American Water Capital Corp. |
6.085% |
10/15/17 |
3,025 |
2,912 |
|
|
|
Arizona Public Service Co. |
5.800% |
6/30/14 |
500 |
477 |
|
|
|
Arizona Public Service Co. |
4.650% |
5/15/15 |
3,825 |
3,383 |
|
|
|
Baltimore Gas & Electric Co. |
5.900% |
10/1/16 |
2,250 |
2,167 |
|
|
|
Carolina Power & Light Co. |
5.125% |
9/15/13 |
6,920 |
7,009 |
|
|
|
Carolina Power & Light Co. |
5.250% |
12/15/15 |
3,000 |
3,003 |
|
|
|
CenterPoint Energy Houston |
5.750% |
1/15/14 |
500 |
506 |
|
|
|
CenterPoint Energy Inc. |
6.500% |
5/1/18 |
2,000 |
1,980 |
|
|
|
Cleveland Electric Illumination Co. |
5.650% |
12/15/13 |
500 |
494 |
|
|
|
Cleveland Electric Illumination Co. |
7.880% |
11/1/17 |
250 |
275 |
|
|
|
Commonwealth Edison Co. |
4.700% |
4/15/15 |
700 |
652 |
|
|
|
Commonwealth Edison Co. |
5.950% |
8/15/16 |
2,625 |
2,603 |
|
|
|
Commonwealth Edison Co. |
6.150% |
9/15/17 |
4,250 |
4,270 |
|
|
|
Consolidated Edison Co. of New York |
5.500% |
9/15/16 |
1,850 |
1,853 |
|
|
|
Consolidated Edison Co. of New York |
5.850% |
4/1/18 |
5,000 |
5,036 |
|
|
|
Constellation Energy Group, Inc. |
4.550% |
6/15/15 |
3,750 |
3,348 |
|
|
|
Consumers Energy Co. |
5.500% |
8/15/16 |
3,425 |
3,352 |
|
|
|
Dayton Power & Light |
5.125% |
10/1/13 |
1,875 |
1,890 |
|
|
|
Dominion Resources, Inc. |
5.150% |
7/15/15 |
7,925 |
7,684 |
|
|
|
Dominion Resources, Inc. |
6.000% |
11/30/17 |
1,575 |
1,548 |
|
|
|
Dominion Resources, Inc. |
6.400% |
6/15/18 |
3,175 |
3,207 |
|
|
2 |
Dominion Resources, Inc. |
7.500% |
6/30/66 |
500 |
467 |
|
|
|
Duke Energy Carolinas LLC |
5.250% |
1/15/18 |
3,000 |
2,964 |
|
|
|
Duke Energy Carolinas LLC |
5.100% |
4/15/18 |
1,750 |
1,709 |
|
|
|
Empresa Nacional Electric |
8.350% |
8/1/13 |
2,125 |
2,348 |
|
|
|
Enersis SA |
7.375% |
1/15/14 |
3,500 |
3,714 |
|
|
3 |
Entergy Gulf States, Inc. |
6.000% |
5/1/18 |
2,600 |
2,575 |
|
|
|
Exelon Corp. |
4.900% |
6/15/15 |
3,425 |
3,144 |
|
|
|
Exelon Generation Co. LLC |
5.350% |
1/15/14 |
1,000 |
964 |
|
|
|
Exelon Generation Co. LLC |
6.200% |
10/1/17 |
3,500 |
3,411 |
|
|
2 |
FPL Group Capital, Inc. |
6.350% |
10/1/66 |
1,825 |
1,607 |
|
|
2 |
FPL Group Capital, Inc. |
6.650% |
6/15/67 |
1,700 |
1,532 |
|
|
2 |
FPL Group Capital, Inc. |
7.300% |
9/1/67 |
1,000 |
973 |
|
|
|
Florida Power & Light Co. |
5.550% |
11/1/17 |
3,700 |
3,772 |
|
|
|
Florida Power Corp. |
5.650% |
6/15/18 |
600 |
608 |
|
|
|
Georgia Power Co. |
5.700% |
6/1/17 |
5,000 |
5,045 |
|
|
|
Illinois Power |
6.125% |
11/15/17 |
3,100 |
2,981 |
|
|
|
Illinois Power |
6.250% |
4/1/18 |
2,000 |
1,939 |
|
|
2 |
Integrys Energy Group |
6.110% |
12/1/66 |
1,500 |
1,260 |
|
|
|
Jersey Central Power & Light |
5.625% |
5/1/16 |
5,675 |
5,397 |
|
|
|
Jersey Central Power & Light |
5.650% |
6/1/17 |
5,475 |
5,235 |
|
|
|
Metropolitan Edison |
4.875% |
4/1/14 |
1,000 |
948 |
|
|
|
MidAmerican Energy Co. |
5.950% |
7/15/17 |
925 |
952 |
|
|
|
MidAmerican Energy Co. |
5.300% |
3/15/18 |
4,900 |
4,744 |
|
|
|
MidAmerican Energy Holdings Co. |
5.000% |
2/15/14 |
600 |
586 |
|
|
3 |
MidAmerican Energy Holdings Co. |
5.750% |
4/1/18 |
1,525 |
1,514 |
|
|
|
National Rural Utilities Cooperative Finance Corp. |
5.500% |
7/1/13 |
3,325 |
3,363 |
|
|
|
National Rural Utilities Cooperative Finance Corp. |
4.750% |
3/1/14 |
2,000 |
1,935 |
|
|
|
National Rural Utilities Cooperative Finance Corp. |
5.450% |
4/10/17 |
6,375 |
6,252 |
|
|
|
National Rural Utilities Cooperative Finance Corp. |
5.450% |
2/1/18 |
1,500 |
1,463 |
|
|
|
NiSource Finance Corp. |
6.150% |
3/1/13 |
2,500 |
2,474 |
|
|
|
NiSource Finance Corp. |
5.400% |
7/15/14 |
1,025 |
970 |
|
|
|
NiSource Finance Corp. |
6.400% |
3/15/18 |
5,350 |
5,151 |
|
|
|
Northern States Power Co. |
5.250% |
3/1/18 |
5,350 |
5,278 |
|
|
|
NStar Electric Co. |
4.875% |
4/15/14 |
2,350 |
2,326 |
|
|
|
NStar Electric Co. |
5.625% |
11/15/17 |
625 |
636 |
|
|
|
Ohio Edison |
6.400% |
7/15/16 |
1,200 |
1,213 |
|
|
|
Ohio Power Co. |
6.000% |
6/1/16 |
2,425 |
2,383 |
|
|
|
Oncor Electric Delivery Co. |
6.375% |
1/15/15 |
3,025 |
2,984 |
|
|
|
PECO Energy Co. |
5.350% |
3/1/18 |
2,475 |
2,415 |
|
|
|
PPL Energy Supply LLC |
6.200% |
5/15/16 |
7,900 |
7,623 |
|
|
|
PPL Energy Supply LLC |
6.500% |
5/1/18 |
750 |
730 |
|
|
|
PSE&G Power LLC |
5.500% |
12/1/15 |
5,250 |
5,025 |
|
|
|
PSI Energy Inc. |
5.000% |
9/15/13 |
1,125 |
1,114 |
|
|
|
PSI Energy Inc. |
6.050% |
6/15/16 |
1,500 |
1,525 |
|
|
|
Pacific Gas & Electric Co. |
4.800% |
3/1/14 |
9,100 |
8,836 |
|
|
|
Pacific Gas & Electric Co. |
5.625% |
11/30/17 |
3,250 |
3,225 |
|
|
|
Pennsylvania Electric Co. |
6.050% |
9/1/17 |
800 |
774 |
|
|
|
Progress Energy, Inc. |
5.625% |
1/15/16 |
1,425 |
1,423 |
|
|
|
Public Service Co. of Colorado |
5.500% |
4/1/14 |
1,000 |
1,033 |
|
|
|
Public Service Electric & Gas |
5.375% |
9/1/13 |
2,000 |
2,043 |
|
|
|
Sierra Pacific Power Co. |
6.000% |
5/15/16 |
2,400 |
2,380 |
|
|
|
Southern California Edison Co. |
5.000% |
1/15/14 |
2,000 |
1,984 |
|
|
|
Southern California Edison Co. |
4.650% |
4/1/15 |
2,625 |
2,542 |
|
|
|
Southern California Edison Co. |
5.000% |
1/15/16 |
925 |
914 |
|
|
|
Southern Power Co. |
4.875% |
7/15/15 |
1,125 |
1,061 |
|
|
|
Southwestern Electric Power |
5.550% |
1/15/17 |
1,500 |
1,410 |
|
|
|
Southwestern Electric Power |
6.450% |
1/15/19 |
1,900 |
1,884 |
|
|
|
Transalta Corp. |
6.750% |
7/15/12 |
125 |
125 |
|
|
|
Transalta Corp. |
6.650% |
5/15/18 |
2,975 |
2,932 |
|
|
|
Union Electric Co. |
5.400% |
2/1/16 |
300 |
285 |
|
|
|
Virginia Electric & Power Co. |
5.400% |
1/15/16 |
4,450 |
4,374 |
|
|
2 |
Wisconsin Energy Corp. |
6.250% |
5/15/67 |
5,275 |
4,581 |
|
|
|
Natural Gas (1.2%) |
|
|
|
|
|
|
|
Atmos Energy Corp. |
4.950% |
10/15/14 |
3,400 |
3,218 |
|
|
|
Boardwalk Pipelines LLC |
5.500% |
2/1/17 |
3,725 |
3,478 |
|
|
|
Buckeye Partners LP |
6.050% |
1/15/18 |
4,550 |
4,479 |
|
|
|
CenterPoint Energy Resources |
6.150% |
5/1/16 |
1,350 |
1,339 |
|
|
|
Consolidated Natural Gas |
5.000% |
12/1/14 |
3,125 |
3,027 |
|
|
|
Duke Capital Corp. |
5.500% |
3/1/14 |
1,000 |
975 |
|
|
|
Duke Capital Corp. |
5.668% |
8/15/14 |
1,000 |
982 |
|
|
|
El Paso Natural Gas Co. |
5.950% |
4/15/17 |
1,700 |
1,629 |
|
|
3 |
Enbridge Energy Partners |
6.500% |
4/15/18 |
3,075 |
3,072 |
|
|
|
Enbridge Inc. |
5.600% |
4/1/17 |
4,050 |
3,900 |
|
|
|
Energy Transfer Partners LP |
5.950% |
2/1/15 |
5,250 |
5,179 |
|
|
|
Energy Transfer Partners LP |
6.125% |
2/15/17 |
850 |
823 |
|
|
|
Enterprise Products Operating LP |
5.600% |
10/15/14 |
4,750 |
4,632 |
|
|
|
Enterprise Products Operating LP |
6.300% |
9/15/17 |
2,525 |
2,525 |
|
|
|
Equitable Resources Inc. |
6.500% |
4/1/18 |
3,800 |
3,778 |
|
|
|
Kinder Morgan Energy Partners LP |
5.000% |
12/15/13 |
2,200 |
2,120 |
|
|
|
Kinder Morgan Energy Partners LP |
5.125% |
11/15/14 |
7,150 |
6,793 |
|
|
|
Kinder Morgan Energy Partners LP |
6.000% |
2/1/17 |
1,000 |
987 |
|
|
|
Kinder Morgan Energy Partners LP |
5.950% |
2/15/18 |
250 |
244 |
|
|
|
Magellan Midstream Partners, LP |
5.650% |
10/15/16 |
650 |
617 |
|
|
|
National Grid PLC |
6.300% |
8/1/16 |
4,275 |
4,240 |
|
|
|
NuStar Energy LP |
7.650% |
4/15/18 |
2,900 |
2,937 |
|
|
|
ONEOK Inc. |
5.200% |
6/15/15 |
3,100 |
2,939 |
|
|
|
ONEOK Partners, LP |
6.150% |
10/1/16 |
5,125 |
5,082 |
|
|
|
Panhandle Eastern Pipeline |
6.200% |
11/1/17 |
2,000 |
1,888 |
|
|
|
Panhandle Eastern Pipeline |
7.000% |
6/15/18 |
2,525 |
2,519 |
|
|
|
Plains All American Pipeline LP |
6.125% |
1/15/17 |
2,500 |
2,449 |
|
|
|
Plains All American Pipeline LP |
6.500% |
5/1/18 |
2,675 |
2,652 |
|
|
|
San Diego Gas & Electric |
5.300% |
11/15/15 |
300 |
300 |
|
|
|
Sempra Energy |
6.150% |
6/15/18 |
2,800 |
2,802 |
|
|
3 |
Southern Natural Gas |
5.900% |
4/1/17 |
6,525 |
6,338 |
|
|
|
Spectra Energy Corp. |
6.200% |
4/15/18 |
1,700 |
1,657 |
|
|
|
Teppco Partners, LP |
6.650% |
4/15/18 |
550 |
555 |
|
|
|
Texas Gas Transmission |
4.600% |
6/1/15 |
500 |
455 |
|
|
|
Trans-Canada Pipelines |
4.000% |
6/15/13 |
3,000 |
2,822 |
|
|
2 |
Trans-Canada Pipelines |
6.350% |
5/15/67 |
6,475 |
5,681 |
|
|
|
Valero Logistics |
6.050% |
3/15/13 |
2,000 |
1,951 |
|
|
|
|
|
|
|
319,667 |
|
|
Total Corporate Bonds (Cost $3,612,939) |
|
|
|
3,482,249 |
||
|
Sovereign Bonds (U.S. Dollar-Denominated) (6.8%) |
|
|
|
|||
|
|
Asian Development Bank |
6.640% |
5/27/14 |
521 |
569 |
|
|
|
Asian Development Bank |
5.500% |
6/27/16 |
6,900 |
7,420 |
|
|
|
Asian Development Bank |
5.250% |
6/12/17 |
2,300 |
2,443 |
|
|
|
China Development Bank |
4.750% |
10/8/14 |
2,700 |
2,607 |
|
|
|
China Development Bank |
5.000% |
10/15/15 |
3,450 |
3,371 |
|
|
|
Corp. Andina de Fomento |
5.200% |
5/21/13 |
3,500 |
3,464 |
|
|
|
Corp. Andina de Fomento |
5.750% |
1/12/17 |
3,950 |
3,890 |
|
|
|
Development Bank of Japan |
4.250% |
6/9/15 |
2,325 |
2,293 |
|
|
|
Development Bank of Japan |
5.125% |
2/1/17 |
1,700 |
1,775 |
|
|
|
Eksportfinans |
5.500% |
5/25/16 |
3,125 |
3,288 |
|
|
|
Eksportfinans |
5.500% |
6/26/17 |
4,600 |
4,881 |
|
|
|
European Bank for Reconstruction & Development |
5.000% |
5/19/14 |
3,400 |
3,562 |
|
|
|
European Investment Bank |
4.250% |
7/15/13 |
6,200 |
6,279 |
|
|
|
European Investment Bank |
4.625% |
5/15/14 |
12,350 |
12,600 |
|
|
|
European Investment Bank |
4.875% |
2/16/16 |
9,250 |
9,555 |
|
|
|
European Investment Bank |
5.125% |
9/13/16 |
14,550 |
15,339 |
|
|
|
European Investment Bank |
4.875% |
1/17/17 |
20,975 |
21,676 |
|
|
|
European Investment Bank |
5.125% |
5/30/17 |
12,600 |
13,238 |
|
|
|
Export-Import Bank of Korea |
5.125% |
3/16/15 |
4,800 |
4,575 |
|
|
|
Federative Republic of Brazil |
7.875% |
3/7/15 |
10,000 |
11,200 |
|
|
|
Federative Republic of Brazil |
6.000% |
1/17/17 |
18,000 |
18,315 |
|
|
2 |
Federative Republic of Brazil |
8.000% |
1/15/18 |
16,000 |
17,768 |
|
|
|
Inter-American Development Bank |
4.500% |
9/15/14 |
3,000 |
3,047 |
|
|
|
Inter-American Development Bank |
4.250% |
9/14/15 |
9,420 |
9,390 |
|
|
|
Inter-American Development Bank |
5.125% |
9/13/16 |
6,700 |
7,073 |
|
|
|
International Bank for Reconstruction & Development |
3.625% |
5/21/13 |
2,500 |
2,504 |
|
|
|
International Bank for Reconstruction & Development |
5.000% |
4/1/16 |
9,375 |
9,734 |
|
|
|
Japan Finance Corp. |
4.625% |
4/21/15 |
5,600 |
5,630 |
|
|
|
Japan Finance Corp. |
5.000% |
5/16/17 |
3,800 |
3,923 |
|
|
|
Korea Development Bank |
5.750% |
9/10/13 |
6,675 |
6,707 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.125% |
10/15/14 |
6,475 |
6,385 |
|
|
|
Kreditanstalt fur Wiederaufbau |
5.125% |
3/14/16 |
30,975 |
32,281 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.375% |
3/15/18 |
7,700 |
7,571 |
|
|
|
Kreditanstalt fur Wiederaufbau |
4.500% |
7/16/18 |
6,100 |
6,085 |
|
|
|
Landwirtschaftliche Rentenbank |
4.875% |
11/16/15 |
6,525 |
6,768 |
|
|
Landwirtschaftliche Rentenbank |
5.125% |
2/1/17 |
12,775 |
13,309 |
|
|
Nordic Investment Bank |
5.000% |
2/1/17 |
7,650 |
7,903 |
|
|
Oesterreichische Kontrollbank |
4.500% |
3/9/15 |
2,600 |
2,646 |
|
|
Oesterreichische Kontrollbank |
4.875% |
2/16/16 |
5,000 |
5,119 |
|
|
Oesterreichische Kontrollbank |
5.000% |
4/25/17 |
9,425 |
9,839 |
|
|
Pemex Project Funding Master Trust |
7.375% |
12/15/14 |
2,500 |
2,706 |
|
3 |
Pemex Project Funding Master Trust |
5.750% |
3/1/18 |
13,300 |
13,300 |
|
|
People’s Republic of China |
4.750% |
10/29/13 |
5,000 |
5,025 |
|
|
Petrobras International Finance |
6.125% |
10/6/16 |
8,475 |
8,466 |
|
|
Petrobras International Finance |
5.875% |
3/1/18 |
6,325 |
6,088 |
|
|
Province of Manitoba |
7.500% |
2/22/10 |
1,000 |
1,057 |
|
|
Province of Manitoba |
4.900% |
12/6/16 |
500 |
514 |
|
|
Province of Ontario |
3.500% |
7/15/13 |
1,325 |
1,288 |
|
|
Province of Ontario |
4.750% |
1/19/16 |
16,725 |
16,936 |
|
|
Province of Ontario |
5.450% |
4/27/16 |
7,100 |
7,516 |
|
|
Province of Quebec |
4.875% |
5/5/14 |
5,500 |
5,642 |
|
|
Province of Quebec |
4.600% |
5/26/15 |
4,800 |
4,763 |
|
|
Province of Quebec |
5.000% |
3/1/16 |
2,000 |
2,018 |
|
|
Province of Quebec |
5.125% |
11/14/16 |
10,975 |
11,270 |
|
|
Province of Quebec |
4.625% |
5/14/18 |
4,650 |
4,558 |
|
|
Province of Saskatchewan |
7.375% |
7/15/13 |
1,000 |
1,158 |
|
|
Quebec Hydro Electric |
7.500% |
4/1/16 |
2,500 |
2,962 |
|
|
Republic of Hungary |
4.750% |
2/3/15 |
7,350 |
7,154 |
|
|
Republic of Italy |
4.500% |
1/21/15 |
5,650 |
5,622 |
|
|
Republic of Italy |
4.750% |
1/25/16 |
13,275 |
13,502 |
|
|
Republic of Italy |
5.250% |
9/20/16 |
30,800 |
32,388 |
|
|
Republic of Italy |
5.375% |
6/12/17 |
7,925 |
8,442 |
|
|
Republic of Korea |
4.875% |
9/22/14 |
250 |
249 |
|
|
Republic of Poland |
5.250% |
1/15/14 |
4,700 |
4,747 |
|
|
Republic of Poland |
5.000% |
10/19/15 |
4,500 |
4,501 |
|
|
Republic of South Africa |
6.500% |
6/2/14 |
5,725 |
5,873 |
|
|
State of Israel |
4.625% |
6/15/13 |
3,550 |
3,538 |
|
|
State of Israel |
5.125% |
3/1/14 |
2,000 |
2,027 |
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
11/9/16 |
4,025 |
4,105 |
|
|
Swedish Export Credit Corp. |
5.125% |
3/1/17 |
3,000 |
3,105 |
|
|
United Mexican States |
5.875% |
1/15/14 |
9,325 |
9,651 |
|
|
United Mexican States |
6.625% |
3/3/15 |
14,200 |
15,230 |
|
|
United Mexican States |
11.375% |
9/15/16 |
1,725 |
2,393 |
|
|
United Mexican States |
5.625% |
1/15/17 |
14,400 |
14,551 |
|
Total Sovereign Bonds (Cost $539,363) |
|
|
|
548,367 |
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
Value |
|
|
|
Coupon |
|
Shares |
($000) |
|
Taxable Municipal Bonds (0.0%) |
|
|
|
|
|
|
|
Wisconsin Public Service Rev. (Cost $1,347) |
4.800% |
5/1/13 |
1,350 |
1,352 |
|
Temporary Cash Investments (1.2%) |
|
|
|
|
|
|
4 |
Vanguard Market Liquidity Fund |
2.405% |
|
90,045,308 |
90,045 |
|
4 |
Vanguard Market Liquidity Fund |
2.405% |
|
2,744,000 |
2,744 |
|
Total Temporary Cash Investments (Cost $92,789) |
|
|
|
92,789 |
|
|
Total Investments (99.8%) (Cost $8,135,212) |
|
|
|
8,109,342 |
|
|
Other Assets and Liabilities—Net (0.2%) |
|
|
|
19,759 |
|
|
Net Assets (100%) |
|
|
|
8,129,101 |
|
|
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 June 30, 2008, the aggregate value of these securities was $68,281,000, 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. |
|
Vanguard ® Long-Term Bond Index Fund |
|
|
|
|
||
|
Schedule of Investments |
|
|
|
|
||
|
June 30, 2008 |
|
|
|
|
||
|
|
|
|
|
Face |
Market |
|
|
|
|
|
Maturity |
Amount |
Value |
|
|
|
|
Coupon |
Date |
($000) |
($000) |
|
|
U.S. Government and Agency Obligations (45.8%) |
|
|
|
|||
|
U.S. Government Securities (39.5%) |
|
|
|
|
||
|
|
U.S. Treasury Bond |
8.750% |
5/15/17 |
1,240 |
1,671 |
|
|
|
U.S. Treasury Bond |
8.875% |
8/15/17 |
4,620 |
6,291 |
|
|
|
U.S. Treasury Bond |
9.125% |
5/15/18 |
1,185 |
1,663 |
|
|
|
U.S. Treasury Bond |
9.000% |
11/15/18 |
14,450 |
20,246 |
|
|
|
U.S. Treasury Bond |
8.875% |
2/15/19 |
15,840 |
22,080 |
|
|
|
U.S. Treasury Bond |
8.125% |
8/15/19 |
2,475 |
3,308 |
|
|
|
U.S. Treasury Bond |
8.500% |
2/15/20 |
10 |
14 |
|
|
|
U.S. Treasury Bond |
8.750% |
5/15/20 |
28,730 |
40,410 |
|
|
|
U.S. Treasury Bond |
8.750% |
8/15/20 |
60,475 |
85,279 |
|
|
|
U.S. Treasury Bond |
7.875% |
2/15/21 |
39,280 |
52,390 |
|
|
|
U.S. Treasury Bond |
8.125% |
5/15/21 |
15 |
20 |
|
|
|
U.S. Treasury Bond |
8.125% |
8/15/21 |
57,610 |
78,728 |
|
|
|
U.S. Treasury Bond |
8.000% |
11/15/21 |
83,020 |
112,674 |
|
|
|
U.S. Treasury Bond |
7.250% |
8/15/22 |
12,870 |
16,584 |
|
|
|
U.S. Treasury Bond |
7.625% |
11/15/22 |
36,745 |
48,923 |
|
|
|
U.S. Treasury Bond |
7.125% |
2/15/23 |
28,440 |
36,408 |
|
|
|
U.S. Treasury Bond |
6.250% |
8/15/23 |
24,275 |
28,868 |
|
|
|
U.S. Treasury Bond |
7.500% |
11/15/24 |
50 |
67 |
|
|
|
U.S. Treasury Bond |
7.625% |
2/15/25 |
3,825 |
5,208 |
|
|
|
U.S. Treasury Bond |
6.875% |
8/15/25 |
25,200 |
32,114 |
|
|
|
U.S. Treasury Bond |
6.000% |
2/15/26 |
26,975 |
31,590 |
|
|
|
U.S. Treasury Bond |
6.750% |
8/15/26 |
55,390 |
70,094 |
|
|
|
U.S. Treasury Bond |
6.500% |
11/15/26 |
800 |
989 |
|
|
|
U.S. Treasury Bond |
6.625% |
2/15/27 |
49,530 |
62,090 |
|
|
|
U.S. Treasury Bond |
6.375% |
8/15/27 |
42,280 |
51,806 |
|
|
|
U.S. Treasury Bond |
6.125% |
11/15/27 |
12,250 |
14,654 |
|
|
|
U.S. Treasury Bond |
5.500% |
8/15/28 |
60,830 |
67,911 |
|
|
|
U.S. Treasury Bond |
5.250% |
11/15/28 |
670 |
727 |
|
|
|
U.S. Treasury Bond |
5.250% |
2/15/29 |
2,100 |
2,279 |
|
|
|
U.S. Treasury Bond |
6.125% |
8/15/29 |
26,055 |
31,441 |
|
|
|
U.S. Treasury Bond |
6.250% |
5/15/30 |
430 |
530 |
|
|
|
U.S. Treasury Bond |
5.375% |
2/15/31 |
8,095 |
9,003 |
|
|
|
U.S. Treasury Bond |
4.500% |
2/15/36 |
95,130 |
94,506 |
|
|
|
U.S. Treasury Bond |
4.750% |
2/15/37 |
24,025 |
24,832 |
|
|
|
U.S. Treasury Bond |
4.375% |
2/15/38 |
35,575 |
34,675 |
|
|
|
U.S. Treasury Note |
3.250% |
1/15/09 |
800 |
805 |
|
|
|
U.S. Treasury Note |
4.500% |
2/15/09 |
7,900 |
8,009 |
|
|
|
U.S. Treasury Note |
4.750% |
2/28/09 |
1,425 |
1,448 |
|
|
|
U.S. Treasury Note |
4.750% |
2/15/10 |
550 |
570 |
|
|
|
U.S. Treasury Note |
6.500% |
2/15/10 |
6,275 |
6,677 |
|
|
|
U.S. Treasury Note |
3.500% |
2/15/18 |
29,600 |
28,485 |
|
|
|
|
|
|
|
1,136,067 |
|
|
Agency Bonds and Notes (6.3%) |
|
|
|
|
||
|
1 |
Federal Farm Credit Bank |
5.150% |
11/15/19 |
1,000 |
1,020 |
|
|
1 |
Federal Home Loan Bank |
5.375% |
5/15/19 |
5,250 |
5,449 |
|
|
1 |
Federal Home Loan Bank |
5.125% |
8/15/19 |
5,220 |
5,310 |
|
|
1 |
Federal Home Loan Bank |
5.250% |
12/11/20 |
6,000 |
6,171 |
|
|
1 |
Federal Home Loan Bank |
5.625% |
6/11/21 |
2,500 |
2,655 |
|
|
1 |
Federal Home Loan Bank |
5.625% |
3/14/36 |
1,000 |
1,045 |
|
|
1 |
Federal Home Loan Bank |
5.500% |
7/15/36 |
6,300 |
6,548 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.500% |
8/23/17 |
6,000 |
6,321 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
5.000% |
12/14/18 |
7,150 |
6,679 |
|
|
1 |
Federal Home Loan Mortgage Corp. |
6.750% |
9/15/29 |
7,700 |
9,176 |
||
|
1 |
Federal Home Loan Mortgage Corp. |
6.750% |
3/15/31 |
10,800 |
13,013 |
||
|
1 |
Federal Home Loan Mortgage Corp. |
6.250% |
7/15/32 |
8,175 |
9,344 |
||
|
1 |
Federal National Mortgage Assn. |
5.000% |
4/15/15 |
1,000 |
1,030 |
||
|
1 |
Federal National Mortgage Assn. |
5.375% |
6/12/17 |
2,000 |
2,090 |
||
|
1 |
Federal National Mortgage Assn. |
0.000% |
10/9/19 |
8,300 |
4,552 |
||
|
1 |
Federal National Mortgage Assn. |
6.250% |
5/15/29 |
9,450 |
10,690 |
||
|
1 |
Federal National Mortgage Assn. |
7.125% |
1/15/30 |
13,475 |
16,790 |
||
|
1 |
Federal National Mortgage Assn. |
7.250% |
5/15/30 |
14,435 |
18,271 |
||
|
1 |
Federal National Mortgage Assn. |
6.625% |
11/15/30 |
15,100 |
17,923 |
||
|
1 |
Federal National Mortgage Assn. |
5.625% |
7/15/37 |
2,325 |
2,404 |
||
|
1 |
Federal National Mortgage Assn. |
6.210% |
8/6/38 |
1,000 |
1,118 |
||
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
9/18/23 |
1,375 |
1,489 |
||
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
12/4/23 |
5,325 |
5,769 |
||
|
|
State of Israel (U.S. Government Guaranteed) |
5.500% |
4/26/24 |
2,900 |
3,139 |
||
|
1 |
Tennessee Valley Auth. |
4.500% |
4/1/18 |
2,475 |
2,402 |
||
|
1 |
Tennessee Valley Auth. |
6.750% |
11/1/25 |
4,500 |
5,273 |
||
|
1 |
Tennessee Valley Auth. |
7.125% |
5/1/30 |
3,250 |
4,016 |
||
|
1 |
Tennessee Valley Auth. |
4.650% |
6/15/35 |
2,825 |
2,567 |
||
|
1 |
Tennessee Valley Auth. |
5.880% |
4/1/36 |
1,000 |
1,085 |
||
|
1 |
Tennessee Valley Auth. |
6.150% |
1/15/38 |
2,450 |
2,735 |
||
|
1 |
Tennessee Valley Auth. |
5.500% |
6/15/38 |
1,175 |
1,205 |
||
|
1 |
Tennessee Valley Auth. |
4.875% |
1/15/48 |
2,500 |
2,313 |
||
|
1 |
Tennessee Valley Auth. |
5.375% |
4/1/56 |
1,850 |
1,864 |
||
|
|
|
|
|
|
181,456 |
||
|
Total U.S. Government and Agency Obligations (Cost $1,261,918) |
|
1,317,523 |
|||||
|
Corporate Bonds (45.5%) |
|
|
|
|
|||
|
Asset-Backed Securities (0.1%) |
|
|
|
|
|||
|
2 |
PSE&G Transition Funding LLC |
6.890% |
12/15/17 |
2,500 |
2,696 |
||
|
|
|
|
|
|
|
||
|
Finance (11.9%) |
|
|
|
|
|||
|
|
Banking (5.2%) |
|
|
|
|
||
|
|
ABN AMRO Bank NV |
4.650% |
6/4/18 |
2,250 |
1,950 |
||
|
|
Abbey National PLC |
7.950% |
10/26/29 |
3,925 |
3,994 |
||
|
|
Associates Corp. of North America |
6.950% |
11/1/18 |
1,150 |
1,179 |
||
|
|
BAC Capital Trust XI |
6.625% |
5/23/36 |
825 |
775 |
||
|
2 |
BB&T Capital Trust IV |
6.820% |
6/12/57 |
650 |
575 |
||
|
|
BB&T Corp. |
5.250% |
11/1/19 |
1,000 |
862 |
||
|
|
BB&T Corp. |
6.750% |
6/7/36 |
4,225 |
3,776 |
||
|
|
Banc One Corp. |
7.750% |
7/15/25 |
2,000 |
2,198 |
||
|
|
Banc One Corp. |
7.625% |
10/15/26 |
4,350 |
4,544 |
||
|
|
Bank of America Corp. |
4.500% |
8/1/10 |
150 |
150 |
||
|
|
Bank of America Corp. |
4.250% |
10/1/10 |
450 |
448 |
||
|
|
Bank of America Corp. |
4.375% |
12/1/10 |
300 |
299 |
||
|
|
Bank of America Corp. |
5.375% |
8/15/11 |
1,800 |
1,820 |
||
|
|
Bank of America Corp. |
6.250% |
4/15/12 |
425 |
441 |
||
|
|
Bank of America Corp. |
5.375% |
6/15/14 |
400 |
388 |
||
|
|
Bank of America Corp. |
5.125% |
11/15/14 |
775 |
762 |
||
|
|
Bank of America Corp. |
5.625% |
3/8/35 |
4,975 |
4,087 |
||
|
|
Bank of America Corp. |
6.000% |
10/15/36 |
5,625 |
5,241 |
||
|
|
Bank of America Corp. |
6.500% |
9/15/37 |
1,600 |
1,504 |
||
|
2 |
Barclays Bank PLC |
6.278% |
12/29/49 |
750 |
613 |
||
|
2,3 |
Citicorp Lease Pass-Through Trust |
8.040% |
12/15/19 |
450 |
481 |
||
|
2 |
Citigroup Capital XXI |
8.300% |
12/21/37 |
8,375 |
7,871 |
||
|
|
Citigroup, Inc. |
6.625% |
6/15/32 |
2,750 |
2,506 |
||
|
|
Citigroup, Inc. |
5.875% |
2/22/33 |
4,250 |
3,528 |
||
|
|
Citigroup, Inc. |
6.000% |
10/31/33 |
1,700 |
1,432 |
||
|
|
Citigroup, Inc. |
5.850% |
12/11/34 |
2,300 |
1,951 |
||
|
|
Citigroup, Inc. |
6.125% |
8/25/36 |
6,625 |
5,644 |
||
|
|
Citigroup, Inc. |
5.875% |
5/29/37 |
1,625 |
1,394 |
|
|
Citigroup, Inc. |
6.875% |
3/5/38 |
5,100 |
4,939 |
|
2 |
Comerica Capital Trust II |
6.576% |
2/20/37 |
1,500 |
1,044 |
|
|
Compass Bank |
5.900% |
4/1/26 |
1,075 |
906 |
|
|
Credit Suisse First Boston USA, Inc. |
7.125% |
7/15/32 |
2,100 |
2,291 |
|
|
Fifth Third Bank |
4.500% |
6/1/18 |
1,550 |
1,194 |
|
|
Fifth Third Bank |
8.250% |
3/1/38 |
2,825 |
2,286 |
|
|
First Union Institutional Capital I |
8.040% |
12/1/26 |
500 |
483 |
|
|
Fleet Capital Trust II |
7.920% |
12/11/26 |
1,150 |
1,183 |
|
|
Fleet Financial Group, Inc. |
6.875% |
1/15/28 |
400 |
406 |
|
|
HSBC Bank USA |
5.875% |
11/1/34 |
4,100 |
3,670 |
|
|
HSBC Bank USA |
5.625% |
8/15/35 |
5,300 |
4,527 |
|
|
HSBC Holdings PLC |
7.625% |
5/17/32 |
1,050 |
1,102 |
|
|
HSBC Holdings PLC |
7.350% |
11/27/32 |
200 |
200 |
|
|
HSBC Holdings PLC |
6.500% |
5/2/36 |
3,425 |
3,204 |
|
|
HSBC Holdings PLC |
6.500% |
9/15/37 |
5,000 |
4,649 |
|
|
HSBC Holdings PLC |
6.800% |
6/1/38 |
2,450 |
2,321 |
|
|
JPM Capital Trust |
6.550% |
9/29/36 |
3,375 |
2,955 |
|
|
JPMorgan Capital Trust |
5.875% |
3/15/35 |
2,350 |
1,940 |
|
|
JPMorgan Chase & Co. |
5.850% |
8/1/35 |
425 |
343 |
|
|
JPMorgan Chase & Co. |
6.400% |
5/15/38 |
5,350 |
5,025 |
|
|
JPMorgan Chase Capital XXII |
6.450% |
2/2/37 |
3,075 |
2,637 |
|
|
JPMorgan Chase Capital XXV |
6.800% |
10/1/37 |
3,650 |
3,243 |
|
|
Key Bank NA |
6.950% |
2/1/28 |
2,768 |
2,487 |
|
|
NB Capital Trust IV |
8.250% |
4/15/27 |
400 |
401 |
|
|
National City Corp. |
6.875% |
5/15/19 |
1,700 |
1,272 |
|
|
NationsBank Corp. |
6.800% |
3/15/28 |
375 |
377 |
|
|
Regions Bank |
6.450% |
6/26/37 |
2,000 |
1,505 |
|
2 |
Regions Financial Corp. |
6.625% |
5/15/47 |
1,800 |
1,245 |
|
|
Regions Financial Corp. |
7.375% |
12/10/37 |
800 |
686 |
|
2 |
Royal Bank of Scotland Group PLC |
7.648% |
8/29/49 |
5,975 |
5,796 |
|
|
State Street Capital Trust |
5.250% |
10/15/18 |
1,000 |
941 |
|
2 |
SunTrust Capital VIII |
6.100% |
12/1/66 |
3,050 |
2,467 |
|
|
Swiss Bank Corp. |
7.000% |
10/15/15 |
1,000 |
1,053 |
|
|
Swiss Bank Corp. |
7.375% |
6/15/17 |
550 |
593 |
|
|
Wachovia Bank NA |
5.850% |
2/1/37 |
4,175 |
3,397 |
|
|
Wachovia Bank NA |
6.600% |
1/15/38 |
5,925 |
5,281 |
|
|
Wachovia Corp. |
6.605% |
10/1/25 |
725 |
654 |
|
3 |
Wachovia Corp. |
8.000% |
12/15/26 |
2,300 |
2,372 |
|
|
Wachovia Corp. |
7.500% |
4/15/35 |
150 |
150 |
|
|
Wachovia Corp. |
5.500% |
8/1/35 |
4,000 |
3,086 |
|
|
Wachovia Corp. |
6.550% |
10/15/35 |
125 |
110 |
|
|
Washington Mutual Bank |
6.750% |
5/20/36 |
975 |
712 |
|
|
Wells Fargo & Co. |
5.375% |
2/7/35 |
2,450 |
2,039 |
|
|
Wells Fargo Bank NA |
5.950% |
8/26/36 |
2,475 |
2,367 |
|
|
Wells Fargo Capital X |
5.950% |
12/15/36 |
1,650 |
1,477 |
|
|
Brokerage (2.2%) |
|
|
|
|
|
|
Bear Stearns Co., Inc. |
4.650% |
7/2/18 |
1,575 |
1,315 |
|
|
Goldman Sachs Group, Inc. |
5.950% |
1/15/27 |
5,950 |
5,124 |
|
|
Goldman Sachs Group, Inc. |
6.125% |
2/15/33 |
5,450 |
4,761 |
|
|
Goldman Sachs Group, Inc. |
6.345% |
2/15/34 |
7,350 |
6,265 |
|
|
Goldman Sachs Group, Inc. |
6.750% |
10/1/37 |
13,375 |
12,382 |
|
|
Jefferies Group Inc. |
6.450% |
6/8/27 |
1,500 |
1,174 |
|
|
Jefferies Group Inc. |
6.250% |
1/15/36 |
1,400 |
1,019 |
|
2 |
Lehman Brothers Holdings, Inc. |
6.000% |
5/3/32 |
1,550 |
1,281 |
|
|
Lehman Brothers Holdings, Inc. |
7.000% |
9/27/27 |
3,125 |
2,924 |
|
|
Lehman Brothers Holdings, Inc. |
6.875% |
7/17/37 |
3,600 |
3,099 |
|
|
Lehman Brothers Holdings, Inc. |
7.500% |
5/11/38 |
4,775 |
4,418 |
|
|
Merrill Lynch & Co., Inc. |
6.500% |
7/15/18 |
625 |
578 |
|
|
Merrill Lynch & Co., Inc. |
6.875% |
11/15/18 |
4,075 |
3,862 |
|
|
Merrill Lynch & Co., Inc. |
6.220% |
9/15/26 |
4,775 |
4,151 |
|
|
Merrill Lynch & Co., Inc. |
6.110% |
1/29/37 |
3,500 |
2,850 |
|
|
Merrill Lynch & Co., Inc. |
7.750% |
5/14/38 |
3,000 |
2,888 |
|
|
Morgan Stanley Dean Witter |
6.250% |
8/9/26 |
2,525 |
2,231 |
|
|
Morgan Stanley Dean Witter |
7.250% |
4/1/32 |
2,025 |
2,054 |
|
|
Finance Companies (1.5%) |
|
|
|
|
|
|
American Express Co. |
8.150% |
3/19/38 |
2,350 |
2,558 |
|
|
CIT Group, Inc. |
6.000% |
4/1/36 |
2,800 |
2,096 |
|
|
Capital One Capital III |
7.686% |
8/15/36 |
1,700 |
1,408 |
|
|
Capital One Capital IV |
6.745% |
2/17/37 |
1,100 |
830 |
|
|
General Electric Capital Corp. |
6.750% |
3/15/32 |
16,175 |
16,364 |
|
|
General Electric Capital Corp. |
6.150% |
8/7/37 |
4,925 |
4,634 |
|
|
General Electric Capital Corp. |
5.875% |
1/14/38 |
13,975 |
12,651 |
|
|
SLM Corp. |
5.625% |
8/1/33 |
1,950 |
1,467 |
|
|
Insurance (3.0%) |
|
|
|
|
|
|
ACE Capital Trust II |
9.700% |
4/1/30 |
850 |
930 |
|
|
AEGON Funding Corp. |
5.750% |
12/15/20 |
1,000 |
938 |
|
|
AXA SA |
8.600% |
12/15/30 |
3,700 |
3,918 |
|
|
Aetna, Inc. |
6.625% |
6/15/36 |
2,700 |
2,583 |
|
|
Aetna, Inc. |
6.750% |
12/15/37 |
1,350 |
1,279 |
|
|
Allstate Corp. |
6.125% |
12/15/32 |
1,250 |
1,189 |
|
|
Allstate Corp. |
5.350% |
6/1/33 |
1,950 |
1,658 |
|
|
Allstate Corp. |
5.550% |
5/9/35 |
1,700 |
1,452 |
|
|
Allstate Corp. |
5.950% |
4/1/36 |
925 |
814 |
|
2 |
Allstate Corp. |
6.500% |
5/15/57 |
1,500 |
1,335 |
|
|
Ambac, Inc. |
5.950% |
12/5/35 |
1,050 |
373 |
|
|
Ambac, Inc. |
6.150% |
2/7/87 |
800 |
124 |
|
|
American General Capital II |
8.500% |
7/1/30 |
850 |
887 |
|
|
American International Group, Inc. |
6.250% |
5/1/36 |
875 |
768 |
|
|
American International Group, Inc. |
6.250% |
3/15/37 |
2,425 |
1,910 |
|
2,3 |
American International Group, Inc. |
8.175% |
5/15/58 |
9,900 |
9,679 |
|
|
Aon Capital Trust |
8.205% |
1/1/27 |
1,075 |
1,073 |
|
|
Arch Capital Group Ltd. |
7.350% |
5/1/34 |
625 |
649 |
|
|
Assurant, Inc. |
6.750% |
2/15/34 |
1,200 |
1,114 |
|
|
CIGNA Corp. |
7.875% |
5/15/27 |
500 |
516 |
|
|
CIGNA Corp. |
6.150% |
11/15/36 |
2,000 |
1,763 |
|
|
Chubb Corp. |
6.000% |
5/11/37 |
1,725 |
1,576 |
|
|
Chubb Corp. |
6.500% |
5/15/38 |
1,625 |
1,577 |
|
|
Cincinnati Financial Corp. |
6.920% |
5/15/28 |
1,000 |
1,010 |
|
|
Cincinnati Financial Corp. |
6.125% |
11/1/34 |
850 |
777 |
|
|
Endurance Specialty Holdings |
7.000% |
7/15/34 |
700 |
622 |
|
|
GE Global Insurance Holdings Corp. |
6.450% |
3/1/19 |
400 |
386 |
|
|
GE Global Insurance Holdings Corp. |
7.000% |
2/15/26 |
1,850 |
1,812 |
|
|
GE Global Insurance Holdings Corp. |
7.750% |
6/15/30 |
400 |
412 |
|
|
Genworth Financial, Inc. |
6.500% |
6/15/34 |
825 |
746 |
|
|
Hartford Financial Services Group, Inc. |
6.000% |
1/15/19 |
1,125 |
1,080 |
|
|
Hartford Financial Services Group, Inc. |
5.950% |
10/15/36 |
650 |
561 |
|
|
Hartford Financial Services Group, Inc. |
6.100% |
10/1/41 |
1,200 |
1,066 |
|
|
Humana Inc. |
6.300% |
8/1/18 |
750 |
698 |
|
|
Humana Inc. |
8.150% |
6/15/38 |
1,150 |
1,172 |
|
|
Lincoln National Corp. |
6.150% |
4/7/36 |
1,475 |
1,398 |
|
|
Loews Corp. |
6.000% |
2/1/35 |
800 |
706 |
|
|
MBIA, Inc. |
5.700% |
12/1/34 |
1,000 |
400 |
|
|
Marsh & McLennan Cos., Inc. |
5.875% |
8/1/33 |
1,500 |
1,272 |
|
|
MetLife, Inc. |
6.500% |
12/15/32 |
3,000 |
3,008 |
|
|
MetLife, Inc. |
6.375% |
6/15/34 |
2,725 |
2,624 |
|
|
MetLife, Inc. |
6.400% |
12/15/36 |
2,700 |
2,327 |
|
|
Nationwide Financial Services |
6.750% |
5/15/37 |
1,000 |
815 |
|
|
Principal Financial Group, Inc. |
6.050% |
10/15/36 |
1,700 |
1,485 |
|
|
Progressive Corp. |
6.625% |
3/1/29 |
1,625 |
1,641 |
|
|
Prudential Financial, Inc. |
5.750% |
7/15/33 |
1,000 |
877 |
|
|
Prudential Financial, Inc. |
5.400% |
6/13/35 |
1,000 |
825 |
|
|
Prudential Financial, Inc. |
5.900% |
3/17/36 |
1,500 |
1,328 |
|
|
Prudential Financial, Inc. |
5.700% |
12/14/36 |
3,375 |
2,756 |
|
|
St. Paul Travelers Cos., Inc. |
6.750% |
6/20/36 |
1,000 |
984 |
|
|
Travelers Cos. Inc. |
6.250% |
6/15/37 |
2,400 |
2,212 |
|
|
Travelers Property Casualty Corp. |
6.375% |
3/15/33 |
1,500 |
1,416 |
|
|
UnitedHealth Group, Inc. |
5.800% |
3/15/36 |
1,300 |
1,086 |
|
|
UnitedHealth Group, Inc. |
6.500% |
6/15/37 |
1,200 |
1,099 |
|
|
UnitedHealth Group, Inc. |
6.625% |
11/15/37 |
1,075 |
1,002 |
|
|
UnitedHealth Group, Inc. |
6.875% |
2/15/38 |
3,325 |
3,181 |
|
|
WellPoint Inc. |
5.950% |
12/15/34 |
1,300 |
1,133 |
|
|
WellPoint Inc. |
5.850% |
1/15/36 |
2,575 |
2,205 |
|
|
WellPoint Inc. |
6.375% |
6/15/37 |
1,700 |
1,529 |
|
|
XL Capital Ltd. |
6.375% |
11/15/24 |
1,150 |
969 |
|
|
XL Capital Ltd. |
6.250% |
5/15/27 |
700 |
574 |
|
|
Real Estate Investment Trusts (0.0%) |
|
|
|
|
|
|
Realty Income Corp. |
6.750% |
8/15/19 |
1,350 |
1,257 |
|
|
|
|
|
|
344,369 |
|
Industrial (26.8%) |
|
|
|
|
|
|
|
Basic Industry (1.8%) |
|
|
|
|
|
|
Alcan, Inc. |
7.250% |
3/15/31 |
1,250 |
1,343 |
|
|
Alcan, Inc. |
6.125% |
12/15/33 |
3,050 |
2,765 |
|
|
Alcoa, Inc. |
5.870% |
2/23/22 |
1,250 |
1,139 |
|
|
Alcoa, Inc. |
5.900% |
2/1/27 |
4,775 |
4,270 |
|
|
Aluminum Co. of America |
6.750% |
1/15/28 |
850 |
839 |
|
|
BHP Finance USA Ltd. |
6.420% |
3/1/26 |
500 |
484 |
|
|
Dow Chemical Co. |
7.375% |
11/1/29 |
2,525 |
2,693 |
|
|
E.I. du Pont de Nemours & Co. |
6.500% |
1/15/28 |
1,175 |
1,224 |
|
|
Eastman Chemical Co. |
7.250% |
1/15/24 |
1,300 |
1,267 |
|
|
Eastman Chemical Co. |
7.600% |
2/1/27 |
300 |
318 |
|
|
Inco Ltd. |
7.200% |
9/15/32 |
1,050 |
1,083 |
|
|
Lubrizol Corp. |
6.500% |
10/1/34 |
900 |
843 |
|
|
Monsanto Co. |
5.500% |
8/15/25 |
1,350 |
1,263 |
|
|
Newmont Mining |
5.875% |
4/1/35 |
1,100 |
940 |
|
|
Nucor Corp. |
5.850% |
6/1/18 |
1,300 |
1,310 |
|
|
Nucor Corp. |
6.400% |
12/1/37 |
1,800 |
1,822 |
|
|
Placer Dome, Inc. |
6.450% |
10/15/35 |
700 |
676 |
|
|
Potash Corp. of Saskatchewan |
5.875% |
12/1/36 |
1,750 |
1,650 |
|
|
Reliance Steel & Aluminum |
6.850% |
11/15/36 |
350 |
324 |
|
|
Rio Tinto Finance USA Ltd. |
6.500% |
7/15/18 |
2,975 |
2,979 |
|
|
Rio Tinto Finance USA Ltd. |
7.125% |
7/15/28 |
1,775 |
1,803 |
|
2 |
Rohm & Haas Co. |
9.800% |
4/15/20 |
330 |
385 |
|
|
Rohm & Haas Co. |
7.850% |
7/15/29 |
1,950 |
2,100 |
|
|
Southern Copper Corp. |
7.500% |
7/27/35 |
2,500 |
2,422 |
|
|
Teck Cominco Ltd. |
6.125% |
10/1/35 |
1,800 |
1,594 |
|
|
US Steel Corp. |
6.650% |
6/1/37 |
725 |
651 |
|
|
Vale Overseas Ltd. |
8.250% |
1/17/34 |
1,225 |
1,320 |
|
|
Vale Overseas Ltd. |
6.875% |
11/21/36 |
6,475 |
6,087 |
|
|
Westvaco Corp. |
8.200% |
1/15/30 |
575 |
554 |
|
|
Westvaco Corp. |
7.950% |
2/15/31 |
400 |
374 |
|
|
Weyerhaeuser Co. |
8.500% |
1/15/25 |
600 |
655 |
|
|
Weyerhaeuser Co. |
7.375% |
3/15/32 |
3,875 |
3,890 |
|
|
Capital Goods (1.9%) |
|
|
|
|
|
|
Boeing Co. |
8.750% |
8/15/21 |
300 |
373 |
|
|
Boeing Co. |
8.750% |
9/15/31 |
850 |
1,143 |
|
|
Boeing Co. |
6.125% |
2/15/33 |
925 |
947 |
|
|
Boeing Co. |
6.625% |
2/15/38 |
1,050 |
1,115 |
|
|
CRH America Inc. |
6.400% |
10/15/33 |
1,500 |
1,251 |
|
|
Caterpillar, Inc. |
6.625% |
7/15/28 |
1,575 |
1,678 |
|
|
Caterpillar, Inc. |
7.300% |
5/1/31 |
1,200 |
1,373 |
|
|
Caterpillar, Inc. |
6.050% |
8/15/36 |
2,125 |
2,111 |
|
|
Caterpillar, Inc. |
6.950% |
5/1/42 |
1,425 |
1,558 |
|
|
Deere & Co. |
8.100% |
5/15/30 |
1,000 |
1,226 |
|
|
Deere & Co. |
7.125% |
3/3/31 |
700 |
785 |
|
|
Dover Corp. |
5.375% |
10/15/35 |
350 |
312 |
|
|
Dover Corp. |
6.600% |
3/15/38 |
1,200 |
1,242 |
|
|
Emerson Electric Co. |
5.250% |
10/15/18 |
850 |
839 |
|
|
Emerson Electric Co. |
6.000% |
8/15/32 |
400 |
396 |
|
|
Goodrich Corp. |
6.800% |
7/1/36 |
1,000 |
1,013 |
|
|
Honeywell International, Inc. |
5.700% |
3/15/36 |
1,600 |
1,527 |
|
|
Honeywell International, Inc. |
5.700% |
3/15/37 |
1,000 |
951 |
|
|
Lafarge SA |
7.125% |
7/15/36 |
2,225 |
2,062 |
|
|
Lockheed Martin Corp. |
7.750% |
5/1/26 |
150 |
169 |
|
|
Lockheed Martin Corp. |
6.150% |
9/1/36 |
5,200 |
5,146 |
|
|
Masco Corp. |
7.750% |
8/1/29 |
150 |
141 |
|
|
Masco Corp. |
6.500% |
8/15/32 |
1,275 |
1,037 |
|
|
Minnesota Mining & Manufacturing Corp. |
6.375% |
2/15/28 |
500 |
548 |
|
|
Minnesota Mining & Manufacturing Corp. |
5.700% |
3/15/37 |
1,975 |
1,995 |
|
|
Northrop Grumman Corp. |
7.750% |
2/15/31 |
4,300 |
5,047 |
|
|
PACTIV Corp. |
7.950% |
12/15/25 |
1,000 |
1,022 |
|
|
Raytheon Co. |
6.400% |
12/15/18 |
500 |
528 |
|
|
Raytheon Co. |
7.200% |
8/15/27 |
400 |
435 |
|
|
Raytheon Co. |
7.000% |
11/1/28 |
1,000 |
1,069 |
|
|
Republic Services, Inc. |
6.086% |
3/15/35 |
225 |
212 |
|
|
TRW, Inc. |
7.750% |
6/1/29 |
250 |
294 |
|
3 |
Tyco International Group SA |
7.000% |
12/15/19 |
2,675 |
2,753 |
|
|
USA Waste Services, Inc. |
7.000% |
7/15/28 |
2,000 |
2,017 |
|
|
United Technologies Corp. |
8.875% |
11/15/19 |
545 |
700 |
|
|
United Technologies Corp. |
6.700% |
8/1/28 |
250 |
265 |
|
|
United Technologies Corp. |
7.500% |
9/15/29 |
1,875 |
2,165 |
|
|
United Technologies Corp. |
5.400% |
5/1/35 |
2,100 |
1,941 |
|
|
United Technologies Corp. |
6.050% |
6/1/36 |
2,725 |
2,714 |
|
|
United Technologies Corp. |
6.125% |
7/15/38 |
1,550 |
1,551 |
|
|
WMX Technologies Inc. |
7.100% |
8/1/26 |
800 |
808 |
|
|
Waste Management, Inc. |
7.750% |
5/15/32 |
875 |
959 |
|
|
Communication (7.4%) |
|
|
|
|
|
|
AT&T Inc. |
8.000% |
11/15/31 |
6,000 |
6,853 |
|
|
AT&T Inc. |
6.450% |
6/15/34 |
7,750 |
7,732 |
|
|
AT&T Inc. |
6.800% |
5/15/36 |
1,175 |
1,185 |
|
|
AT&T Inc. |
6.500% |
9/1/37 |
5,100 |
4,951 |
|
|
AT&T Inc. |
6.300% |
1/15/38 |
5,325 |
5,034 |
|
|
AT&T Inc. |
6.400% |
5/15/38 |
2,850 |
2,730 |
|
|
AT&T Wireless |
8.750% |
3/1/31 |
5,850 |
7,028 |
|
|
America Movil SA de C.V. |
6.375% |
3/1/35 |
1,975 |
1,896 |
|
|
America Movil SA de C.V. |
6.125% |
11/15/37 |
1,200 |
1,116 |
|
|
Ameritech Capital Funding |
6.550% |
1/15/28 |
1,000 |
981 |
|
|
BellSouth Capital Funding |
7.875% |
2/15/30 |
4,250 |
4,712 |
|
|
BellSouth Corp. |
6.875% |
10/15/31 |
1,275 |
1,312 |
|
|
BellSouth Corp. |
6.550% |
6/15/34 |
2,475 |
2,451 |
|
|
BellSouth Corp. |
6.000% |
11/15/34 |
1,480 |
1,382 |
|
|
BellSouth Telecommunications |
6.375% |
6/1/28 |
4,140 |
4,115 |
|
|
British Telecommunications PLC |
9.125% |
12/15/30 |
5,975 |
7,285 |
|
|
CBS Corp. |
7.875% |
7/30/30 |
2,815 |
2,689 |
|
|
CenturyTel Enterprises |
6.875% |
1/15/28 |
550 |
470 |
|
|
Cingular Wireless LLC |
7.125% |
12/15/31 |
2,425 |
2,508 |
|
Comcast Cable Communications Holdings Inc. |
9.455% |
11/15/22 |
3,198 |
3,885 |
|
Comcast Corp. |
7.050% |
3/15/33 |
1,375 |
1,394 |
|
Comcast Corp. |
5.650% |
6/15/35 |
1,000 |
866 |
|
Comcast Corp. |
6.500% |
11/15/35 |
4,800 |
4,605 |
|
Comcast Corp. |
6.450% |
3/15/37 |
3,525 |
3,291 |
|
Comcast Corp. |
6.950% |
8/15/37 |
4,800 |
4,765 |
|
Comcast Corp. |
6.400% |
5/15/38 |
1,850 |
1,714 |
|
Deutsche Telekom International Finance |
8.750% |
6/15/30 |
9,825 |
11,278 |
|
Embarq Corp. |
7.995% |
6/1/36 |
3,000 |
2,908 |
|
France Telecom |
8.500% |
3/1/31 |
7,000 |
8,515 |
|
GTE Corp. |
8.750% |
11/1/21 |
900 |
1,037 |
|
GTE Corp. |
6.940% |
4/15/28 |
2,275 |
2,277 |
|
Grupo Televisa SA |
6.625% |
3/18/25 |
1,600 |
1,576 |
|
Grupo Televisa SA |
8.500% |
3/11/32 |
250 |
289 |
|
Koninklijke KPN NV |
8.375% |
10/1/30 |
1,825 |
2,181 |
|
McGraw-Hill Cos. Inc. |
6.550% |
11/15/37 |
1,150 |
1,091 |
|
Michigan Bell Telephone Co. |
7.850% |
1/15/22 |
1,522 |
1,616 |
|
New England Telephone & Telegraph Co. |
7.875% |
11/15/29 |
400 |
444 |
|
News America Holdings, Inc. |
8.150% |
10/17/36 |
1,225 |
1,384 |
|
News America Holdings, Inc. |
7.750% |
12/1/45 |
1,225 |
1,324 |
|
News America Inc. |
6.550% |
3/15/33 |
225 |
219 |
|
News America Inc. |
6.200% |
12/15/34 |
9,350 |
8,732 |
|
News America Inc. |
6.400% |
12/15/35 |
2,475 |
2,344 |
|
News America Inc. |
6.650% |
11/15/37 |
825 |
807 |
|
Pacific Bell |
7.125% |
3/15/26 |
550 |
561 |
|
TCI Communications, Inc. |
7.875% |
2/15/26 |
2,200 |
2,434 |
|
Telecom Italia Capital |
6.999% |
6/4/18 |
2,150 |
2,168 |
|
Telecom Italia Capital |
6.375% |
11/15/33 |
4,525 |
4,026 |
|
Telecom Italia Capital |
6.000% |
9/30/34 |
500 |
437 |
|
Telecom Italia Capital |
7.200% |
7/18/36 |
1,625 |
1,572 |
|
Telecom Italia Capital |
7.721% |
6/4/38 |
2,275 |
2,354 |
|
Telefonica Emisiones SAU |
7.045% |
6/20/36 |
5,725 |
6,064 |
|
Telefonica Europe BV |
8.250% |
9/15/30 |
2,500 |
2,941 |
|
Thomson Corp. |
6.500% |
7/15/18 |
2,275 |
2,266 |
|
Thomson Corp. |
5.500% |
8/15/35 |
650 |
534 |
|
Time Warner Cable Inc. |
6.750% |
7/1/18 |
3,400 |
3,417 |
|
Time Warner Cable Inc. |
6.550% |
5/1/37 |
4,000 |
3,741 |
|
Time Warner Cable Inc. |
7.300% |
7/1/38 |
5,000 |
4,958 |
|
Time Warner Entertainment |
8.375% |
3/15/23 |
2,733 |
2,962 |
|
Time Warner Entertainment |
8.375% |
7/15/33 |
1,950 |
2,077 |
|
US Cellular |
6.700% |
12/15/33 |
950 |
864 |
|
US West Communications Group |
7.500% |
6/15/23 |
2,300 |
2,036 |
|
US West Communications Group |
6.875% |
9/15/33 |
4,200 |
3,402 |
|
Verizon Communications Corp. |
6.250% |
4/1/37 |
2,425 |
2,287 |
|
Verizon Communications Corp. |
6.400% |
2/15/38 |
3,900 |
3,642 |
|
Verizon Communications Corp. |
6.900% |
4/15/38 |
2,700 |
2,686 |
|
Verizon Global Funding Corp. |
7.750% |
12/1/30 |
6,550 |
6,963 |
|
Verizon Global Funding Corp. |
5.850% |
9/15/35 |
2,775 |
2,488 |
|
Verizon Maryland, Inc. |
5.125% |
6/15/33 |
500 |
399 |
|
Verizon New York, Inc. |
7.375% |
4/1/32 |
650 |
676 |
|
Viacom Inc. |
5.500% |
5/15/33 |
1,025 |
842 |
|
Vodafone AirTouch PLC |
7.875% |
2/15/30 |
1,000 |
1,111 |
|
Vodafone Group PLC |
4.625% |
7/15/18 |
2,375 |
2,133 |
|
Vodafone Group PLC |
6.250% |
11/30/32 |
200 |
190 |
|
Vodafone Group PLC |
6.150% |
2/27/37 |
4,975 |
4,647 |
|
Consumer Cyclical (3.5%) |
|
|
|
|
|
CVS Corp. |
6.250% |
6/1/27 |
2,050 |
2,012 |
|
DaimlerChrysler North America Holding Corp. |
8.500% |
1/18/31 |
4,575 |
5,245 |
|
Darden Restaurants Inc. |
6.800% |
10/15/37 |
850 |
724 |
|
Federated Retail Holding |
6.375% |
3/15/37 |
2,050 |
1,597 |
|
|
Home Depot Inc. |
5.875% |
12/16/36 |
6,325 |
5,168 |
|
|
J.C. Penney Co., Inc. |
7.125% |
11/15/23 |
1,000 |
972 |
|
|
J.C. Penney Co., Inc. |
6.375% |
10/15/36 |
2,850 |
2,412 |
|
|
J.C. Penney Co., Inc. |
7.400% |
4/1/37 |
750 |
678 |
|
|
Johnson Controls, Inc. |
6.000% |
1/15/36 |
425 |
387 |
|
|
Kohl’s Corp. |
6.000% |
1/15/33 |
400 |
319 |
|
|
Kohl’s Corp. |
6.875% |
12/15/37 |
1,000 |
906 |
|
|
Limited Brands Inc. |
6.950% |
3/1/33 |
250 |
207 |
|
|
Limited Brands Inc. |
7.600% |
7/15/37 |
1,400 |
1,249 |
|
|
Lowe’s Cos., Inc. |
6.875% |
2/15/28 |
550 |
559 |
|
|
Lowe’s Cos., Inc. |
6.500% |
3/15/29 |
1,800 |
1,752 |
|
|
Lowe’s Cos., Inc. |
5.500% |
10/15/35 |
800 |
676 |
|
|
Lowe’s Cos., Inc. |
5.800% |
10/15/36 |
1,300 |
1,177 |
|
|
Lowe’s Cos., Inc. |
6.650% |
9/15/37 |
950 |
926 |
|
|
Macy’s Retail Holdings Inc. |
6.650% |
7/15/24 |
1,450 |
1,173 |
|
|
Macy’s Retail Holdings Inc. |
6.790% |
7/15/27 |
800 |
668 |
|
|
Macy’s Retail Holdings Inc. |
7.000% |
2/15/28 |
1,100 |
927 |
|
|
Macys Retail Holdings Inc. |
6.900% |
4/1/29 |
150 |
126 |
|
|
McDonald’s Corp. |
6.300% |
10/15/37 |
1,750 |
1,743 |
|
|
McDonald’s Corp. |
6.300% |
3/1/38 |
3,150 |
3,104 |
|
|
Nordstrom, Inc. |
6.950% |
3/15/28 |
300 |
282 |
|
|
Nordstrom, Inc. |
7.000% |
1/15/38 |
1,200 |
1,144 |
|
|
Target Corp. |
7.000% |
7/15/31 |
550 |
576 |
|
|
Target Corp. |
6.350% |
11/1/32 |
3,000 |
2,967 |
|
|
Target Corp. |
6.500% |
10/15/37 |
3,300 |
3,163 |
|
|
Target Corp. |
7.000% |
1/15/38 |
4,700 |
4,784 |
|
|
The Walt Disney Co. |
7.000% |
3/1/32 |
2,500 |
2,842 |
|
|
Time Warner, Inc. |
9.150% |
2/1/23 |
1,980 |
2,261 |
|
|
Time Warner, Inc. |
7.570% |
2/1/24 |
500 |
505 |
|
|
Time Warner, Inc. |
6.950% |
1/15/28 |
1,000 |
962 |
|
|
Time Warner, Inc. |
6.625% |
5/15/29 |
6,975 |
6,610 |
|
|
Time Warner, Inc. |
7.625% |
4/15/31 |
5,185 |
5,424 |
|
|
Time Warner, Inc. |
7.700% |
5/1/32 |
1,040 |
1,075 |
|
|
Time Warner, Inc. |
6.500% |
11/15/36 |
3,175 |
2,845 |
|
|
VF Corp. |
6.450% |
11/1/37 |
1,500 |
1,421 |
|
|
Viacom Inc. |
6.875% |
4/30/36 |
4,225 |
3,960 |
|
|
Wal-Mart Stores, Inc. |
5.875% |
4/5/27 |
4,025 |
3,925 |
|
|
Wal-Mart Stores, Inc. |
7.550% |
2/15/30 |
3,525 |
4,014 |
|
|
Wal-Mart Stores, Inc. |
5.250% |
9/1/35 |
2,850 |
2,470 |
|
|
Wal-Mart Stores, Inc. |
6.500% |
8/15/37 |
6,525 |
6,672 |
|
|
Wal-Mart Stores, Inc. |
6.200% |
4/15/38 |
4,100 |
4,040 |
|
|
Western Union Co. |
6.200% |
11/17/36 |
1,350 |
1,235 |
|
|
Yum! Brands, Inc. |
6.875% |
11/15/37 |
1,950 |
1,811 |
|
|
Consumer Noncyclical (5.6%) |
|
|
|
|
|
|
Abbott Laboratories |
6.150% |
11/30/37 |
2,375 |
2,388 |
|
|
Amgen Inc. |
6.375% |
6/1/37 |
2,125 |
2,040 |
|
|
Amgen Inc. |
6.900% |
6/1/38 |
2,575 |
2,635 |
|
|
Anheuser-Busch Cos., Inc. |
6.800% |
8/20/32 |
3,125 |
3,096 |
|
|
Anheuser-Busch Cos., Inc. |
5.950% |
1/15/33 |
650 |
572 |
|
|
Anheuser-Busch Cos., Inc. |
5.750% |
4/1/36 |
975 |
835 |
|
|
Anheuser-Busch Cos., Inc. |
6.450% |
9/1/37 |
1,825 |
1,738 |
|
|
Archer-Daniels-Midland Co. |
6.625% |
5/1/29 |
250 |
256 |
|
|
Archer-Daniels-Midland Co. |
7.000% |
2/1/31 |
2,975 |
3,183 |
|
|
Archer-Daniels-Midland Co. |
5.935% |
10/1/32 |
255 |
246 |
|
|
Archer-Daniels-Midland Co. |
5.375% |
9/15/35 |
2,750 |
2,405 |
|
|
Archer-Daniels-Midland Co. |
6.450% |
1/15/38 |
675 |
664 |
|
|
AstraZeneca PLC |
6.450% |
9/15/37 |
8,000 |
8,149 |
|
|
Baxter International, Inc. |
6.250% |
12/1/37 |
1,800 |
1,805 |
|
|
Bristol-Myers Squibb Co. |
7.150% |
6/15/23 |
1,950 |
2,184 |
|
|
Bristol-Myers Squibb Co. |
6.800% |
11/15/26 |
239 |
253 |
|
|
Bristol-Myers Squibb Co. |
5.875% |
11/15/36 |
2,700 |
2,546 |
||
|
|
Bristol-Myers Squibb Co. |
6.125% |
5/1/38 |
2,275 |
2,192 |
||
|
|
Bristol-Myers Squibb Co. |
6.875% |
8/1/97 |
200 |
201 |
||
|
|
C.R. Bard, Inc. |
6.700% |
12/1/26 |
500 |
506 |
||
|
|
Coca-Cola Enterprises Inc. |
8.500% |
2/1/22 |
2,000 |
2,449 |
||
|
|
Coca-Cola Enterprises Inc. |
8.000% |
9/15/22 |
500 |
578 |
||
|
|
Coca-Cola Enterprises Inc. |
7.000% |
10/1/26 |
675 |
747 |
||
|
|
Coca-Cola Enterprises Inc. |
6.950% |
11/15/26 |
5,150 |
5,721 |
||
|
|
ConAgra Foods, Inc. |
9.750% |
3/1/21 |
129 |
165 |
||
|
|
ConAgra Foods, Inc. |
7.125% |
10/1/26 |
1,150 |
1,202 |
||
|
|
ConAgra Foods, Inc. |
7.000% |
10/1/28 |
175 |
181 |
||
|
|
ConAgra Foods, Inc. |
8.250% |
9/15/30 |
950 |
1,097 |
||
|
|
Covidien International |
6.550% |
10/15/37 |
2,325 |
2,334 |
||
|
|
Delhaize America Inc. |
9.000% |
4/15/31 |
2,000 |
2,421 |
||
|
|
Diageo Capital PLC |
5.875% |
9/30/36 |
500 |
477 |
||
|
3 |
Dr. Pepper Snapple Group |
7.450% |
5/1/38 |
600 |
627 |
||
|
|
Eli Lilly & Co. |
7.125% |
6/1/25 |
1,000 |
1,120 |
||
|
|
Eli Lilly & Co. |
5.500% |
3/15/27 |
4,300 |
4,159 |
||
|
|
Estee Lauder Ace Trust I |
6.000% |
5/15/37 |
1,025 |
952 |
||
|
|
Fortune Brands Inc. |
5.875% |
1/15/36 |
925 |
767 |
||
|
|
Genentech Inc. |
5.250% |
7/15/35 |
1,025 |
929 |
||
|
|
GlaxoSmithKline Capital Inc. |
5.375% |
4/15/34 |
1,850 |
1,606 |
||
|
|
GlaxoSmithKline Capital Inc. |
6.375% |
5/15/38 |
6,475 |
6,437 |
||
|
|
Grand Metropolitan Investment Corp. |
7.450% |
4/15/35 |
1,750 |
1,955 |
||
|
|
H.J. Heinz Co. |
6.750% |
3/15/32 |
1,625 |
1,573 |
||
|
|
Johnson & Johnson |
5.150% |
7/15/18 |
1,700 |
1,721 |
||
|
|
Johnson & Johnson |
6.950% |
9/1/29 |
1,125 |
1,315 |
||
|
|
Johnson & Johnson |
4.950% |
5/15/33 |
1,325 |
1,225 |
||
|
|
Johnson & Johnson |
5.950% |
8/15/37 |
1,975 |
2,048 |
||
|
|
Johnson & Johnson |
5.850% |
7/15/38 |
2,600 |
2,652 |
||
|
|
Kellogg Co. |
7.450% |
4/1/31 |
2,600 |
2,925 |
||
|
|
Kimberly-Clark Corp. |
6.250% |
7/15/18 |
675 |
715 |
||
|
|
Kimberly-Clark Corp. |
6.625% |
8/1/37 |
2,150 |
2,279 |
||
|
|
Kraft Foods, Inc. |
6.125% |
8/23/18 |
1,850 |
1,789 |
||
|
|
Kraft Foods, Inc. |
6.500% |
11/1/31 |
2,150 |
2,032 |
||
|
|
Kraft Foods, Inc. |
7.000% |
8/11/37 |
2,050 |
2,071 |
||
|
|
Kraft Foods, Inc. |
6.875% |
2/1/38 |
2,750 |
2,718 |
||
|
|
Kraft Foods, Inc. |
6.875% |
1/26/39 |
1,850 |
1,809 |
||
|
|
Kroger Co. |
6.150% |
1/15/20 |
1,725 |
1,721 |
||
|
|
Kroger Co. |
7.700% |
6/1/29 |
375 |
416 |
||
|
|
Kroger Co. |
8.000% |
9/15/29 |
1,925 |
2,171 |
||
|
|
Kroger Co. |
7.500% |
4/1/31 |
1,250 |
1,303 |
||
|
|
Kroger Co. |
6.900% |
4/15/38 |
1,700 |
1,753 |
||
|
|
Merck & Co. |
6.300% |
1/1/26 |
500 |
522 |
||
|
|
Merck & Co. |
6.400% |
3/1/28 |
2,200 |
2,306 |
||
|
|
Merck & Co. |
5.950% |
12/1/28 |
1,050 |
1,033 |
||
|
|
Merck & Co. |
5.750% |
11/15/36 |
300 |
288 |
||
|
|
Pepsi Bottling Group, Inc. |
7.000% |
3/1/29 |
2,925 |
3,269 |
||
|
|
Pharmacia Corp. |
6.600% |
12/1/28 |
1,925 |
2,041 |
||
|
|
Philip Morris International Inc. |
6.375% |
5/16/38 |
3,600 |
3,504 |
||
|
|
Philips Electronics NV |
6.875% |
3/11/38 |
3,125 |
3,224 |
||
|
|
Procter & Gamble Co. |
6.450% |
1/15/26 |
1,600 |
1,708 |
||
|
|
Procter & Gamble Co. |
5.800% |
8/15/34 |
600 |
602 |
||
|
|
Procter & Gamble Co. |
5.550% |
3/5/37 |
4,650 |
4,458 |
||
|
2 |
Procter & Gamble Co. ESOP |
9.360% |
1/1/21 |
2,223 |
2,775 |
||
|
|
Quest Diagnostic, Inc. |
6.950% |
7/1/37 |
1,350 |
1,322 |
||
|
|
Reynolds American Inc. |
7.250% |
6/15/37 |
2,100 |
2,061 |
||
|
|
Safeway, Inc. |
7.250% |
2/1/31 |
1,756 |
1,874 |
||
|
|
Sara Lee Corp. |
6.125% |
11/1/32 |
625 |
565 |
||
|
|
Schering-Plough Corp. |
6.750% |
12/1/33 |
2,825 |
2,881 |
||
|
|
Schering-Plough Corp. |
6.550% |
9/15/37 |
1,675 |
1,626 |
||
|
|
Sysco Corp. |
5.375% |
9/21/35 |
1,000 |
912 |
||
|
|
Teva Pharmaceutical Finance LLC |
6.150% |
2/1/36 |
2,400 |
2,302 |
||
|
|
Unilever Capital Corp. |
5.900% |
11/15/32 |
3,925 |
3,788 |
||
|
|
Wyeth |
6.450% |
2/1/24 |
2,225 |
2,287 |
||
|
|
Wyeth |
6.500% |
2/1/34 |
1,125 |
1,161 |
||
|
|
Wyeth |
6.000% |
2/15/36 |
3,075 |
2,983 |
||
|
|
Wyeth |
5.950% |
4/1/37 |
4,250 |
4,087 |
||
|
|
Energy (4.0%) |
|
|
|
|
||
|
|
Alberta Energy Co. Ltd. |
7.375% |
11/1/31 |
1,000 |
1,074 |
||
|
|
Amerada Hess Corp. |
7.875% |
10/1/29 |
3,850 |
4,416 |
||
|
|
Amerada Hess Corp. |
7.125% |
3/15/33 |
925 |
1,017 |
||
|
|
Anadarko Finance Co. |
7.500% |
5/1/31 |
1,500 |
1,608 |
||
|
|
Anadarko Petroleum Corp. |
6.450% |
9/15/36 |
6,525 |
6,492 |
||
|
|
Apache Corp. |
6.000% |
1/15/37 |
1,950 |
1,929 |
||
|
|
Apache Finance Canada |
7.750% |
12/15/29 |
650 |
773 |
||
|
|
BJ Services Co. |
6.000% |
6/1/18 |
650 |
648 |
||
|
|
Baker Hughes, Inc. |
6.875% |
1/15/29 |
1,000 |
1,077 |
||
|
|
Burlington Resources, Inc. |
7.200% |
8/15/31 |
1,050 |
1,195 |
||
|
|
Burlington Resources, Inc. |
7.400% |
12/1/31 |
1,675 |
1,949 |
||
|
|
Cameron International Corp. |
7.000% |
7/15/38 |
1,975 |
1,965 |
||
|
|
Canadian Natural Resources |
7.200% |
1/15/32 |
1,400 |
1,510 |
||
|
|
Canadian Natural Resources |
6.450% |
6/30/33 |
1,175 |
1,158 |
||
|
|
Canadian Natural Resources |
6.500% |
2/15/37 |
1,975 |
1,952 |
||
|
|
Canadian Natural Resources |
6.250% |
3/15/38 |
2,750 |
2,612 |
||
|
|
Canadian Natural Resources |
6.750% |
2/1/39 |
800 |
805 |
||
|
|
Conoco Funding Co. |
7.250% |
10/15/31 |
400 |
458 |
||
|
|
Conoco, Inc. |
6.950% |
4/15/29 |
450 |
496 |
||
|
|
ConocoPhillips |
5.900% |
10/15/32 |
1,050 |
1,038 |
||
|
|
ConocoPhillips Canada |
5.950% |
10/15/36 |
1,950 |
1,958 |
||
|
|
Devon Energy Corp. |
7.950% |
4/15/32 |
860 |
1,018 |
||
|
|
Devon Financing Corp. |
7.875% |
9/30/31 |
4,400 |
5,162 |
||
|
|
Encana Corp. |
6.500% |
8/15/34 |
3,800 |
3,689 |
||
|
|
Encana Corp. |
6.625% |
8/15/37 |
1,400 |
1,412 |
||
|
|
Encana Corp. |
6.500% |
2/1/38 |
2,025 |
1,996 |
||
|
|
Global Marine, Inc. |
7.000% |
6/1/28 |
800 |
829 |
||
|
|
Husky Energy Inc. |
6.150% |
6/15/19 |
510 |
508 |
||
|
|
Husky Energy Inc. |
6.800% |
9/15/37 |
1,225 |
1,214 |
||
|
|
Kerr McGee Corp. |
6.950% |
7/1/24 |
2,000 |
2,085 |
||
|
|
Kerr McGee Corp. |
7.875% |
9/15/31 |
500 |
591 |
||
|
|
Lasmo Inc. |
7.300% |
11/15/27 |
600 |
672 |
||
|
|
Marathon Oil Corp. |
6.600% |
10/1/37 |
3,900 |
3,850 |
||
|
|
Nexen, Inc. |
7.875% |
3/15/32 |
550 |
617 |
||
|
|
Nexen, Inc. |
5.875% |
3/10/35 |
1,850 |
1,657 |
||
|
|
Nexen, Inc. |
6.400% |
5/15/37 |
3,300 |
3,166 |
||
|
|
Noble Energy Inc. |
8.000% |
4/1/27 |
775 |
838 |
||
|
|
Norsk Hydro |
7.250% |
9/23/27 |
3,150 |
3,596 |
||
|
|
Norsk Hydro |
7.150% |
1/15/29 |
1,000 |
1,135 |
||
|
|
Petro-Canada |
7.875% |
6/15/26 |
150 |
163 |
||
|
|
Petro-Canada |
7.000% |
11/15/28 |
250 |
246 |
||
|
|
Petro-Canada |
5.350% |
7/15/33 |
1,650 |
1,389 |
||
|
|
Petro-Canada |
5.950% |
5/15/35 |
2,500 |
2,228 |
||
|
|
Petro-Canada |
6.800% |
5/15/38 |
2,275 |
2,221 |
||
|
|
Suncor Energy, Inc. |
7.150% |
2/1/32 |
800 |
839 |
||
|
|
Suncor Energy, Inc. |
5.950% |
12/1/34 |
875 |
805 |
||
|
|
Suncor Energy, Inc. |
6.500% |
6/15/38 |
3,300 |
3,203 |
||
|
|
Suncor Energy, Inc. |
6.850% |
6/1/39 |
1,525 |
1,549 |
||
|
|
Talisman Energy, Inc. |
7.250% |
10/15/27 |
450 |
460 |
||
|
|
Talisman Energy, Inc. |
5.850% |
2/1/37 |
2,700 |
2,310 |
||
|
|
Tosco Corp. |
8.125% |
2/15/30 |
7,500 |
9,228 |
||
|
|
Transocean Inc. |
7.500% |
4/15/31 |
1,525 |
1,670 |
|
|
Transocean Inc. |
6.800% |
3/15/38 |
2,300 |
2,351 |
|
|
Valero Energy Corp. |
7.500% |
4/15/32 |
2,450 |
2,497 |
|
|
Valero Energy Corp. |
6.625% |
6/15/37 |
3,625 |
3,320 |
|
|
Weatherford International Inc. |
6.500% |
8/1/36 |
1,500 |
1,448 |
|
|
Weatherford International Inc. |
6.800% |
6/15/37 |
700 |
712 |
|
|
Weatherford International Inc. |
7.000% |
3/15/38 |
1,100 |
1,128 |
|
|
XTO Energy, Inc. |
6.100% |
4/1/36 |
1,125 |
1,068 |
|
|
XTO Energy, Inc. |
6.750% |
8/1/37 |
3,425 |
3,434 |
|
|
XTO Energy, Inc. |
6.375% |
6/15/38 |
2,875 |
2,788 |
|
|
Technology (0.8%) |
|
|
|
|
|
|
Corning Inc. |
7.250% |
8/15/36 |
600 |
605 |
|
|
Dell Inc. |
7.100% |
4/15/28 |
500 |
514 |
|
3 |
Dell Inc. |
6.500% |
4/15/38 |
1,400 |
1,368 |
|
|
Electronic Data Systems |
7.450% |
10/15/29 |
375 |
392 |
|
|
Equifax Inc. |
6.300% |
7/1/17 |
650 |
625 |
|
|
Equifax Inc. |
7.000% |
7/1/37 |
600 |
553 |
|
|
International Business Machines Corp. |
7.000% |
10/30/25 |
1,050 |
1,142 |
|
|
International Business Machines Corp. |
6.220% |
8/1/27 |
4,600 |
4,611 |
|
|
International Business Machines Corp. |
6.500% |
1/15/28 |
3,725 |
3,825 |
|
|
International Business Machines Corp. |
5.875% |
11/29/32 |
950 |
924 |
|
|
International Business Machines Corp. |
7.125% |
12/1/96 |
400 |
432 |
|
|
Motorola, Inc. |
7.500% |
5/15/25 |
225 |
210 |
|
|
Motorola, Inc. |
6.500% |
9/1/25 |
1,300 |
970 |
|
|
Motorola, Inc. |
6.500% |
11/15/28 |
975 |
747 |
|
|
Motorola, Inc. |
6.625% |
11/15/37 |
2,425 |
1,898 |
|
|
Oracle Corp. |
6.500% |
4/15/38 |
2,525 |
2,535 |
|
|
Pitney Bowes, Inc. |
5.250% |
1/15/37 |
450 |
442 |
|
|
Science Applications International Corp. |
5.500% |
7/1/33 |
500 |
421 |
|
|
Tyco Electronics Group |
7.125% |
10/1/37 |
1,250 |
1,303 |
|
|
Xerox Capital Trust I |
8.000% |
2/1/27 |
1,050 |
1,019 |
|
|
Transportation (1.7%) |
|
|
|
|
|
|
Burlington Northern Santa Fe Corp. |
7.000% |
12/15/25 |
700 |
727 |
|
|
Burlington Northern Santa Fe Corp. |
7.950% |
8/15/30 |
1,300 |
1,511 |
|
|
Burlington Northern Santa Fe Corp. |
6.200% |
8/15/36 |
1,425 |
1,379 |
|
|
Burlington Northern Santa Fe Corp. |
6.150% |
5/1/37 |
2,425 |
2,279 |
|
|
CNF, Inc. |
6.700% |
5/1/34 |
1,825 |
1,625 |
|
|
CSX Corp. |
7.950% |
5/1/27 |
675 |
696 |
|
|
CSX Corp. |
6.000% |
10/1/36 |
1,175 |
954 |
|
|
CSX Corp. |
6.150% |
5/1/37 |
2,025 |
1,688 |
|
|
CSX Corp. |
7.450% |
4/1/38 |
1,600 |
1,566 |
|
|
Canadian National Railway Co. |
6.800% |
7/15/18 |
1,025 |
1,112 |
|
|
Canadian National Railway Co. |
6.250% |
8/1/34 |
2,450 |
2,469 |
|
|
Canadian National Railway Co. |
6.200% |
6/1/36 |
1,325 |
1,327 |
|
|
Canadian Pacific Rail |
7.125% |
10/15/31 |
2,075 |
2,037 |
|
|
Canadian Pacific Rail |
5.950% |
5/15/37 |
1,000 |
856 |
|
2 |
Continental Airlines, Inc. |
6.900% |
1/2/18 |
1,200 |
1,080 |
|
2 |
Continental Airlines, Inc. |
6.545% |
2/2/19 |
961 |
865 |
|
2 |
Continental Airlines, Inc. |
5.983% |
4/19/22 |
3,500 |
2,809 |
|
2 |
Delta Air Lines Enhanced Equipment Trust Certificates |
6.718% |
1/2/23 |
901 |
739 |
|
2 |
Delta Air Lines, Inc. |
6.821% |
8/10/22 |
2,140 |
1,809 |
|
|
Federal Express Corp. |
7.600% |
7/1/97 |
1,000 |
1,113 |
|
|
Norfolk Southern Corp. |
9.750% |
6/15/20 |
411 |
516 |
|
|
Norfolk Southern Corp. |
5.590% |
5/17/25 |
716 |
651 |
|
|
Norfolk Southern Corp. |
7.800% |
5/15/27 |
2,802 |
3,192 |
|
|
Norfolk Southern Corp. |
5.640% |
5/17/29 |
1,898 |
1,746 |
|
|
Norfolk Southern Corp. |
7.050% |
5/1/37 |
1,575 |
1,694 |
|
|
Norfolk Southern Corp. |
7.900% |
5/15/97 |
450 |
506 |
|
2 |
Southwest Airlines Co. |
6.150% |
8/1/22 |
835 |
791 |
|
|
Union Pacific Corp. |
5.700% |
8/15/18 |
1,500 |
1,459 |
|
|
Union Pacific Corp. |
7.125% |
2/1/28 |
600 |
641 |
|
|
Union Pacific Corp. |
6.625% |
2/1/29 |
1,125 |
1,145 |
|
|
Union Pacific Corp. |
6.150% |
5/1/37 |
1,000 |
964 |
|
2 |
Union Pacific Railroad Co. |
6.176% |
1/2/31 |
942 |
914 |
|
2 |
United Air Lines Inc. |
6.636% |
7/2/22 |
1,557 |
1,285 |
|
|
United Parcel Service of America |
8.375% |
4/1/30 |
500 |
623 |
|
|
United Parcel Service of America |
8.375% |
4/1/20 |
500 |
625 |
|
|
United Parcel Service of America |
6.200% |
1/15/38 |
3,600 |
3,635 |
|
|
Other (0.1%) |
|
|
|
|
|
|
Parker-Hannifin Corp. |
6.250% |
5/15/38 |
725 |
736 |
|
|
Rockwell Automation |
6.700% |
1/15/28 |
300 |
321 |
|
|
Rockwell Automation |
6.250% |
12/1/37 |
1,100 |
1,102 |
|
|
|
|
|
|
770,608 |
|
Utilities (6.7%) |
|
|
|
|
|
|
|
Electric (4.8%) |
|
|
|
|
|
|
AEP Texas Central Co. |
6.650% |
2/15/33 |
1,950 |
1,908 |
|
|
AmerenEnergy Generating |
7.950% |
6/1/32 |
1,750 |
1,792 |
|
|
American Water Capital Corp. |
6.593% |
10/15/37 |
2,025 |
1,853 |
|
|
Appalachian Power Co. |
5.800% |
10/1/35 |
350 |
300 |
|
|
Appalachian Power Co. |
7.000% |
4/1/38 |
850 |
842 |
|
|
Baltimore Gas & Electric Co. |
6.350% |
10/1/36 |
1,075 |
980 |
|
|
Carolina Power & Light Co. |
6.300% |
4/1/38 |
250 |
252 |
|
|
CenterPoint Energy Houston |
6.950% |
3/15/33 |
925 |
944 |
|
|
Cleveland Electric Illumination Co. |
5.950% |
12/15/36 |
1,000 |
852 |
|
|
Columbus Southern Power |
5.850% |
10/1/35 |
800 |
699 |
|
|
Commonwealth Edison Co. |
5.875% |
2/1/33 |
250 |
233 |
|
|
Commonwealth Edison Co. |
5.900% |
3/15/36 |
1,500 |
1,374 |
|
|
Commonwealth Edison Co. |
6.450% |
1/15/38 |
1,900 |
1,868 |
|
|
Connecticut Light & Power Co. |
6.350% |
6/1/36 |
750 |
714 |
|
|
Consolidated Edison Co. of New York |
5.300% |
3/1/35 |
1,125 |
960 |
|
|
Consolidated Edison Co. of New York |
5.850% |
3/15/36 |
1,875 |
1,728 |
|
|
Consolidated Edison Co. of New York |
6.200% |
6/15/36 |
550 |
532 |
|
|
Consolidated Edison Co. of New York |
6.300% |
8/15/37 |
1,450 |
1,420 |
|
|
Consolidated Edison Co. of New York |
6.750% |
4/1/38 |
1,000 |
1,038 |
|
|
Constellation Energy Group, Inc. |
7.600% |
4/1/32 |
1,800 |
1,856 |
|
|
Consumers Energy Co. |
5.650% |
4/15/20 |
1,250 |
1,195 |
|
|
DTE Energy Co. |
6.375% |
4/15/33 |
800 |
752 |
|
|
Detroit Edison Co. |
5.700% |
10/1/37 |
500 |
465 |
|
|
Dominion Resources, Inc. |
6.300% |
3/15/33 |
2,150 |
2,047 |
|
|
Dominion Resources, Inc. |
5.950% |
6/15/35 |
1,150 |
1,047 |
|
|
Dominion Resources, Inc. |
7.000% |
6/15/38 |
2,325 |
2,366 |
|
|
Duke Energy Carolinas LLC |
6.100% |
6/1/37 |
825 |
787 |
|
|
Duke Energy Carolinas LLC |
6.000% |
1/15/38 |
1,150 |
1,115 |
|
|
Duke Energy Carolinas LLC |
6.050% |
4/15/38 |
1,725 |
1,697 |
|
|
Duke Energy Corp. |
6.000% |
12/1/28 |
1,000 |
978 |
|
|
Duke Energy Corp. |
6.450% |
10/15/32 |
1,050 |
1,079 |
|
|
El Paso Electric Co. |
6.000% |
5/15/35 |
1,400 |
1,197 |
|
|
Energy East Corp. |
6.750% |
7/15/36 |
1,425 |
1,367 |
|
|
Exelon Corp. |
5.625% |
6/15/35 |
1,975 |
1,750 |
|
|
FirstEnergy Corp. |
7.375% |
11/15/31 |
5,850 |
6,292 |
|
|
Florida Power & Light Co. |
5.950% |
10/1/33 |
950 |
953 |
|
|
Florida Power & Light Co. |
5.625% |
4/1/34 |
1,174 |
1,124 |
|
|
Florida Power & Light Co. |
4.950% |
6/1/35 |
775 |
674 |
|
|
Florida Power & Light Co. |
5.400% |
9/1/35 |
1,875 |
1,742 |
|
|
Florida Power & Light Co. |
6.200% |
6/1/36 |
150 |
156 |
|
|
Florida Power & Light Co. |
5.650% |
2/1/37 |
2,150 |
2,026 |
|
|
Florida Power & Light Co. |
5.850% |
5/1/37 |
625 |
618 |
|
|
Florida Power & Light Co. |
5.950% |
2/1/38 |
350 |
349 |
|
|
Florida Power Corp. |
6.350% |
9/15/37 |
1,625 |
1,653 |
|
|
Florida Power Corp. |
6.400% |
6/15/38 |
2,575 |
2,606 |
|
|
Georgia Power Co. |
5.650% |
3/1/37 |
2,075 |
1,955 |
|
|
Indiana Michigan Power Co. |
6.050% |
3/15/37 |
3,075 |
2,723 |
|
|
Kansas City Power & Light |
6.050% |
11/15/35 |
500 |
441 |
|
|
MidAmerican Energy Co. |
6.750% |
12/30/31 |
1,800 |
1,881 |
|
|
MidAmerican Energy Co. |
5.750% |
11/1/35 |
850 |
794 |
|
|
MidAmerican Energy Co. |
5.800% |
10/15/36 |
875 |
804 |
|
|
MidAmerican Energy Holdings Co. |
8.480% |
9/15/28 |
300 |
343 |
|
|
MidAmerican Energy Holdings Co. |
6.125% |
4/1/36 |
5,300 |
5,092 |
|
|
MidAmerican Energy Holdings Co. |
5.950% |
5/15/37 |
3,150 |
2,945 |
|
|
MidAmerican Energy Holdings Co. |
6.500% |
9/15/37 |
2,400 |
2,422 |
|
|
National Rural Utilities Cooperative Finance Corp. |
8.000% |
3/1/32 |
2,400 |
2,806 |
|
|
Nevada Power Co. |
6.750% |
7/1/37 |
3,500 |
3,465 |
|
|
NiSource Finance Corp. |
6.800% |
1/15/19 |
850 |
829 |
|
|
NiSource Finance Corp. |
5.450% |
9/15/20 |
725 |
628 |
|
|
Northern States Power Co. |
5.250% |
7/15/35 |
1,175 |
1,058 |
|
|
Northern States Power Co. |
6.250% |
6/1/36 |
525 |
544 |
|
|
Northern States Power Co. |
6.200% |
7/1/37 |
1,050 |
1,079 |
|
|
Ohio Power Co. |
6.600% |
2/15/33 |
400 |
389 |
|
|
Oncor Electric Delivery Co. |
7.000% |
9/1/22 |
1,675 |
1,634 |
|
|
Oncor Electric Delivery Co. |
7.000% |
5/1/32 |
2,025 |
1,972 |
|
|
Oncor Electric Delivery Co. |
7.250% |
1/15/33 |
325 |
326 |
|
|
PPL Energy Supply LLC |
6.000% |
12/15/36 |
1,350 |
1,189 |
|
|
PSE&G Power LLC |
8.625% |
4/15/31 |
400 |
493 |
|
|
PSI Energy Inc. |
6.120% |
10/15/35 |
600 |
565 |
|
|
PacifiCorp |
7.700% |
11/15/31 |
400 |
464 |
|
|
PacifiCorp |
5.250% |
6/15/35 |
1,150 |
984 |
|
|
PacifiCorp |
5.750% |
4/1/37 |
1,000 |
924 |
|
|
PacifiCorp |
6.250% |
10/15/37 |
1,200 |
1,180 |
|
|
Pacific Gas & Electric Co. |
6.050% |
3/1/34 |
8,075 |
7,791 |
|
|
Pacific Gas & Electric Co. |
5.800% |
3/1/37 |
2,075 |
1,957 |
|
|
Pepco Holdings, Inc. |
7.450% |
8/15/32 |
300 |
320 |
|
|
Potomac Electric Power |
6.500% |
11/15/37 |
1,500 |
1,494 |
|
|
Progress Energy, Inc. |
7.750% |
3/1/31 |
1,725 |
1,983 |
|
|
Progress Energy, Inc. |
7.000% |
10/30/31 |
925 |
980 |
|
|
Public Service Co. of Colorado |
6.250% |
9/1/37 |
1,025 |
1,063 |
|
|
Public Service Co. of Oklahoma |
6.625% |
11/15/37 |
300 |
290 |
|
|
Public Service Electric & Gas |
5.250% |
7/1/35 |
675 |
601 |
|
|
Public Service Electric & Gas |
5.800% |
5/1/37 |
2,325 |
2,268 |
|
|
Puget Sound Energy Inc. |
5.483% |
6/1/35 |
825 |
693 |
|
|
Puget Sound Energy Inc. |
6.274% |
3/15/37 |
1,425 |
1,334 |
|
|
South Carolina Electric & Gas Co. |
6.625% |
2/1/32 |
500 |
532 |
|
|
South Carolina Electric & Gas Co. |
5.300% |
5/15/33 |
1,850 |
1,677 |
|
|
South Carolina Electric & Gas Co. |
6.050% |
1/15/38 |
1,225 |
1,188 |
|
|
Southern California Edison Co. |
6.650% |
4/1/29 |
700 |
737 |
|
|
Southern California Edison Co. |
6.000% |
1/15/34 |
800 |
807 |
|
|
Southern California Edison Co. |
5.750% |
4/1/35 |
400 |
390 |
|
|
Southern California Edison Co. |
5.350% |
7/15/35 |
3,175 |
2,905 |
|
|
Southern California Edison Co. |
5.625% |
2/1/36 |
1,100 |
1,041 |
|
|
Southern California Edison Co. |
5.550% |
1/15/37 |
600 |
561 |
|
|
Southern California Edison Co. |
5.950% |
2/1/38 |
875 |
874 |
|
|
Southwestern Electric Power |
6.450% |
1/15/19 |
175 |
174 |
|
|
Tampa Electric Co. |
6.550% |
5/15/36 |
450 |
440 |
|
|
Toledo Edison Co. |
6.150% |
5/15/37 |
600 |
530 |
|
|
United Utilities PLC |
5.375% |
2/1/19 |
1,000 |
910 |
|
|
United Utilities PLC |
6.875% |
8/15/28 |
375 |
370 |
|
|
Virginia Electric & Power Co. |
6.000% |
1/15/36 |
1,725 |
1,630 |
|
|
Virginia Electric & Power Co. |
6.000% |
5/15/37 |
825 |
774 |
|
|
Virginia Electric & Power Co. |
6.350% |
11/30/37 |
1,000 |
983 |
|
|
|
Wisconsin Electric Power Co. |
5.625% |
5/15/33 |
450 |
414 |
|
|
|
Wisconsin Electric Power Co. |
5.700% |
12/1/36 |
1,675 |
1,600 |
|
|
|
Wisconsin Power & Light Co. |
6.375% |
8/15/37 |
950 |
956 |
|
|
|
Xcel Energy, Inc. |
6.500% |
7/1/36 |
650 |
639 |
|
|
|
Natural Gas (1.8%) |
|
|
|
|
|
|
|
AGL Capital Corp. |
6.000% |
10/1/34 |
850 |
741 |
|
|
|
Duke Capital Corp. |
8.000% |
10/1/19 |
425 |
474 |
|
|
|
Duke Capital Corp. |
6.750% |
2/15/32 |
1,705 |
1,641 |
|
|
|
Duke Energy Field Services |
8.125% |
8/16/30 |
500 |
546 |
|
|
|
El Paso Natural Gas Co. |
8.375% |
6/15/32 |
1,350 |
1,525 |
|
|
3 |
Enbridge Energy Partners |
7.500% |
4/15/38 |
2,025 |
2,117 |
|
|
|
Energy Transfer Partners LP |
6.625% |
10/15/36 |
1,125 |
1,077 |
|
|
|
Energy Transfer Partners LP |
7.500% |
7/1/38 |
2,275 |
2,339 |
|
|
|
Enterprise Products Operating LP |
6.500% |
1/31/19 |
2,300 |
2,309 |
|
|
|
Enterprise Products Operating LP |
6.875% |
3/1/33 |
875 |
851 |
|
|
|
Enterprise Products Operating LP |
6.650% |
10/15/34 |
900 |
870 |
|
|
|
KeySpan Corp. |
8.000% |
11/15/30 |
1,175 |
1,296 |
|
|
|
Kinder Morgan Energy Partners LP |
7.750% |
3/15/32 |
500 |
547 |
|
|
|
Kinder Morgan Energy Partners LP |
7.300% |
8/15/33 |
1,000 |
1,044 |
|
|
|
Kinder Morgan Energy Partners LP |
5.800% |
3/15/35 |
1,675 |
1,470 |
|
|
|
Kinder Morgan Energy Partners LP |
6.500% |
2/1/37 |
1,350 |
1,274 |
|
|
|
Kinder Morgan Energy Partners LP |
6.950% |
1/15/38 |
2,775 |
2,782 |
|
|
|
ONEOK Inc. |
6.000% |
6/15/35 |
975 |
865 |
|
|
|
ONEOK Partners, LP |
6.650% |
10/1/36 |
2,550 |
2,432 |
|
|
|
ONEOK Partners, LP |
6.850% |
10/15/37 |
1,200 |
1,176 |
|
|
|
Plains All American Pipeline LP |
6.650% |
1/15/37 |
1,175 |
1,088 |
|
|
|
San Diego Gas & Electric |
5.350% |
5/15/35 |
1,775 |
1,624 |
|
|
|
San Diego Gas & Electric |
6.125% |
9/15/37 |
625 |
625 |
|
|
|
Southern California Gas Co. |
5.750% |
11/15/35 |
75 |
73 |
|
|
|
Southern Union Co. |
7.600% |
2/1/24 |
500 |
505 |
|
|
|
Southern Union Co. |
8.250% |
11/15/29 |
1,000 |
1,082 |
|
|
|
Tennessee Gas Pipeline |
7.000% |
10/15/28 |
2,650 |
2,591 |
|
|
|
Teppco Partners, LP |
7.550% |
4/15/38 |
1,125 |
1,169 |
|
|
|
Texas Eastern Transmission |
7.000% |
7/15/32 |
700 |
702 |
|
|
|
Trans-Canada Pipelines |
5.600% |
3/31/34 |
1,725 |
1,544 |
|
|
|
Trans-Canada Pipelines |
5.850% |
3/15/36 |
2,575 |
2,283 |
|
|
|
Trans-Canada Pipelines |
6.200% |
10/15/37 |
2,225 |
2,038 |
|
|
|
Williams Cos., Inc. |
7.500% |
1/15/31 |
5,850 |
5,967 |
|
|
|
Williams Cos., Inc. |
7.750% |
6/15/31 |
2,750 |
2,939 |
|
|
|
Other (0.1%) |
|
|
|
|
|
|
|
Veolia Enviroment |
6.750% |
6/1/38 |
1,750 |
1,782 |
|
|
|
|
|
|
|
192,403 |
|
|
Total Corporate Bonds (Cost $1,392,611) |
|
|
|
1,310,076 |
||
|
Sovereign Bonds (U.S. Dollar-Denominated) (5.6%) |
|
|
|
|
||
|
|
Asian Development Bank |
5.593% |
7/16/18 |
3,400 |
3,683 |
|
|
|
European Investment Bank |
4.875% |
2/15/36 |
2,400 |
2,352 |
|
|
|
Federative Republic of Brazil |
8.875% |
4/15/24 |
3,000 |
3,817 |
|
|
|
Federative Republic of Brazil |
8.750% |
2/4/25 |
5,200 |
6,422 |
|
|
|
Federative Republic of Brazil |
10.125% |
5/15/27 |
6,700 |
9,481 |
|
|
|
Federative Republic of Brazil |
8.250% |
1/20/34 |
6,500 |
8,001 |
|
|
|
Federative Republic of Brazil |
7.125% |
1/20/37 |
7,500 |
8,269 |
|
|
|
Federative Republic of Brazil |
11.000% |
8/17/40 |
13,000 |
17,192 |
|
|
|
Inter-American Development Bank |
7.000% |
6/15/25 |
750 |
927 |
|
|
|
International Bank for Reconstruction & Development |
7.625% |
1/19/23 |
1,807 |
2,319 |
|
|
|
International Bank for Reconstruction & Development |
8.875% |
3/1/26 |
1,000 |
1,436 |
|
|
|
International Bank for Reconstruction & Development |
4.750% |
2/15/35 |
2,225 |
2,166 |
|
|
|
Korea Electric Power |
7.000% |
2/1/27 |
750 |
767 |
||
|
|
Kreditanstalt fur Wiederaufbau |
4.500% |
7/16/18 |
4,800 |
4,788 |
||
|
|
Kreditanstalt fur Wiederaufbau |
0.000% |
4/18/36 |
6,200 |
1,477 |
||
|
|
Kreditanstalt fur Wiederaufbau |
0.000% |
6/29/37 |
6,275 |
1,425 |
||
|
|
Pemex Project Funding Master Trust |
6.625% |
6/15/35 |
4,900 |
4,827 |
||
|
3 |
Pemex Project Funding Master Trust |
6.625% |
6/15/38 |
1,375 |
1,408 |
||
|
|
Petrobras International Finance |
8.375% |
12/10/18 |
1,500 |
1,721 |
||
|
|
Province of British Columbia |
6.500% |
1/15/26 |
1,500 |
1,744 |
||
|
|
Province of Manitoba |
9.250% |
4/1/20 |
1,500 |
2,114 |
||
|
|
Province of Nova Scotia |
9.125% |
5/1/21 |
1,280 |
1,812 |
||
|
|
Province of Quebec |
4.875% |
5/5/14 |
500 |
513 |
||
|
|
Province of Quebec |
7.500% |
7/15/23 |
600 |
744 |
||
|
|
Province of Quebec |
7.125% |
2/9/24 |
3,800 |
4,580 |
||
|
|
Province of Quebec |
7.500% |
9/15/29 |
3,625 |
4,683 |
||
|
|
Province of Saskatchewan |
7.375% |
7/15/13 |
600 |
695 |
||
|
|
Quebec Hydro Electric |
9.400% |
2/1/21 |
1,480 |
2,060 |
||
|
|
Quebec Hydro Electric |
8.400% |
1/15/22 |
775 |
1,020 |
||
|
|
Quebec Hydro Electric |
8.050% |
7/7/24 |
5,000 |
6,543 |
||
|
|
Quebec Hydro Electric |
8.500% |
12/1/29 |
500 |
708 |
||
|
|
Region of Lombardy, Italy |
5.804% |
10/25/32 |
2,375 |
2,579 |
||
|
|
Republic of Finland |
6.950% |
2/15/26 |
195 |
238 |
||
|
|
Republic of Italy |
6.875% |
9/27/23 |
6,600 |
7,885 |
||
|
|
Republic of Italy |
5.375% |
6/15/33 |
5,750 |
5,866 |
||
|
|
Republic of Korea |
5.625% |
11/3/25 |
900 |
885 |
||
|
|
Republic of South Africa |
5.875% |
5/30/22 |
3,000 |
2,790 |
||
|
|
United Mexican States |
8.125% |
12/30/19 |
5,750 |
6,958 |
||
|
|
United Mexican States |
8.300% |
8/15/31 |
2,275 |
2,838 |
||
|
|
United Mexican States |
6.750% |
9/27/34 |
16,425 |
17,411 |
||
|
|
United Mexican States |
6.050% |
1/11/40 |
3,700 |
3,552 |
||
|
Total Sovereign Bonds (Cost $161,444) |
|
|
|
160,696 |
|||
|
Taxable Municipal Bonds (1.4%) |
|
|
|
|
|||
|
|
Connecticut GO |
5.850% |
3/15/32 |
4,200 |
4,333 |
||
|
|
Illinois (Taxable Pension) GO |
4.950% |
6/1/23 |
1,700 |
1,633 |
||
|
|
Illinois (Taxable Pension) GO |
5.100% |
6/1/33 |
22,125 |
20,830 |
||
|
|
Kansas Dev. Finance Auth. Rev. |
|
|
|
|
||
|
|
(Public Employee Retirement System) |
5.501% |
5/1/34 |
500 |
500 |
||
|
|
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 |
30 |
||
|
|
New Jersey Turnpike Auth. Rev. |
4.252% |
1/1/16 |
570 |
541 |
||
|
|
Oregon (Taxable Pension) GO |
5.762% |
6/1/23 |
600 |
606 |
||
|
|
Oregon (Taxable Pension) GO |
5.892% |
6/1/27 |
1,850 |
1,873 |
||
|
|
Oregon School Board Assn. |
4.759% |
6/30/28 |
1,850 |
1,651 |
||
|
|
Oregon School Board Assn. |
5.528% |
6/30/28 |
1,500 |
1,491 |
||
|
|
Tobacco Settlement Finance Auth. Rev. |
7.467% |
6/1/47 |
3,840 |
3,514 |
||
|
|
Wisconsin Public Service Rev. |
5.700% |
5/1/26 |
900 |
893 |
||
|
Total Taxable Municipal Bonds (Cost $39,848) |
|
|
|
39,404 |
|||
|
|
|
|
|
Shares |
|
||
|
Temporary Cash Investments (0.7%) |
|
|
|
|
|||
|
4 |
Vanguard Market Liquidity Fund (Cost $19,689) |
2.405% |
|
19,688,695 |
19,689 |
||
|
Total Investments (99.0%) (Cost $2,875,510) |
|
|
|
2,847,388 |
|||
|
Other Assets and Liabilities—Net (1.0%) |
|
|
|
29,342 |
|||
|
Net Assets (100%) |
|
|
|
2,876,730 |
|||
|
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 June 30, 2008, the aggregate value of these securities was $20,805,000, representing 0.7% 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.
|
|
© 2008 Vanguard Group. Inc. |
|
|
All rights reserved. |
|
|
Vanguard Marketing Corporation, Distributor. |
|
|
|
|
|
SNA842—082008 |
|
> |
Vanguard Inflation-Protected Securities Fund returned 5.2% for the six months ended June 30, 2008. |
|
> |
The fund outperformed both the return of its benchmark and the average return of competing funds. |
|
> |
Interest rates declined during the period as the Federal Reserve Board reduced its target for the federal funds rate four times. |
|
Contents |
|
|
|
|
|
Your Fund’s Total Returns |
1 |
|
Chairman’s Letter |
2 |
|
Advisor’s Report |
7 |
|
Fund Profile |
9 |
|
Performance Summary |
10 |
|
Financial Statements |
11 |
|
About Your Fund’s Expenses |
22 |
|
Trustees Approve Advisory Arrangement |
24 |
|
Glossary |
25 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the cover of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Total Returns
|
Six Months Ended June 30, 2008 |
|
|
|
|
Ticker |
Total |
|
|
Symbol |
Returns |
|
Vanguard Inflation-Protected Securities Fund |
|
|
|
Investor Shares |
VIPSX |
5.2% |
|
Admiral™ Shares 1 |
VAIPX |
5.2 |
|
Institutional Shares 2 |
VIPIX |
5.2 |
|
Lehman U.S. Treasury Inflation Notes Index |
|
4.9 |
|
Average Treasury Inflation Protected Securities Fund 3 |
|
4.1 |
|
Your Fund’s Performance at a Glance |
|
|
|
|
|
Six Months Ended June 30, 2008 |
|
|
|
|
|
|
|
|
Distributions Per Share |
|
|
|
Starting |
Ending |
Income |
Capital |
|
|
Share Price |
Share Price |
Dividends |
Gains |
|
Vanguard Inflation-Protected Securities Fund |
|
|
|
|
|
Investor Shares |
$12.45 |
$12.69 |
$0.400 |
$0.000 |
|
Admiral Shares |
24.45 |
24.91 |
0.795 |
0.000 |
|
Institutional Shares |
9.96 |
10.15 |
0.324 |
0.000 |
1 A lower-cost class of shares available to many longtime shareholders and those with significant investments in the fund.
2 This class of shares also carries low expenses and is available for a minimum of $5 million.
3 Derived from data provided by Lipper Inc.
1
Chairman’s Letter
Dear Shareholder,
For the fiscal half-year ended June 30, 2008, all share classes of the Inflated-Protected Securities Fund returned 5.2%, surpassing both the return of its benchmark and the average return of its peer funds.
The Federal Reserve Board aggressively cut its target for the federal funds rate four times during the period in an effort to increase liquidity and stimulate an ailing U.S. economy. In this volatile market, investors flocked to more secure investments, such as inflation-indexed U.S. Treasury securities. Demand was particularly strong at the beginning and end of the period, when concern about inflation was more pronounced.
Bond investors continued to prefer short-term, high-quality issues
Bonds fared better than stocks during the six months but managed only modest returns. Fixed income investors showed a marked preference for the safety of short-term, high-quality issues, most notably U.S. Treasury securities. The broad taxable bond market returned 1.1%. The tax-exempt bond market experienced unusual turbulence en route to a flat return for the period.
2
At its June meeting, the Fed voted to leave its target for the federal funds rate unchanged at 2.00%, marking the end of an aggressive rate-cutting campaign that began in September 2007. The central bank’s decision to hold rates steady signaled its growing concern about near-term inflation.
Stocks worldwide struggled in downbeat economic environment
The broad U.S. stock market faltered during the half-year as investors digested a series of dispiriting economic developments. Prices for oil and other commodities soared to new highs, the housing market further deteriorated, consumer confidence wavered, and unresolved problems in the credit markets haunted the financials sector.
Against that backdrop, U.S. stocks grew increasingly volatile, falling in the first three months, then rallying in April and May before falling again (sharply) in June. For the six months ended June 30, the broad U.S. stock market returned –10.9%. Small-capitalization stocks performed better than large-caps, and growth stocks outpaced their value-oriented counterparts.
International stocks traced a similar path, and only a handful of major foreign markets posted positive results for the period.
Credit quality, inflation protection helped performance
As the credit crunch stretched into 2008, fixed income investors sought out less-risky bonds, which outperformed
|
Market Barometer |
|
|
|
|
|
|
|
Total Returns |
|
|
|
Periods Ended June 30, 2008 |
|
|
|
Six Months |
One Year |
Five Years 1 |
|
Bonds |
|
|
|
|
Lehman U.S. Aggregate Bond Index (Broad taxable market) |
1.1% |
7.1% |
3.9% |
|
Lehman Municipal Bond Index |
0.0 |
3.2 |
3.5 |
|
Citigroup 3-Month Treasury Bill Index |
1.1 |
3.3 |
3.1 |
|
|
|
|
|
|
Stocks |
|
|
|
|
Russell 1000 Index (Large-caps) |
–11.2% |
–12.4% |
8.2% |
|
Russell 2000 Index (Small-caps) |
–9.4 |
–16.2 |
10.3 |
|
Dow Jones Wilshire 5000 Index (Entire market) |
–10.9 |
–12.5 |
8.8 |
|
MSCI All Country World Index ex USA (International) |
–9.8 |
–6.2 |
19.4 |
|
|
|
|
|
|
CPI |
|
|
|
|
Consumer Price Index |
4.2% |
5.0% |
3.6% |
1 Annualized.
3
corporate securities for the six-month period. The Inflation-Protected Securities Fund benefited from investors’ “flight to quality” and from the uptick in inflation, most readily seen in commodity prices. The Consumer Price Index jumped 4.2% for the six months, compared with 3.2% for the same period a year ago.
In the first quarter, most of the fund’s return was a result of sharp price appreciation in inflation-indexed securities. Amid increased demand, prices rose and yields declined (bond prices and yields move in opposite directions), as investors were willing to accept lower yields in return for inflation protection.
By the beginning of the second quarter, however, the Fed’s steps to rescue the troubled financials sector, including its willingness to bail out investment banking giant Bear Stearns, seemed to restore investor confidence. Investors briefly turned away from Treasuries and began investing in riskier bonds in search of higher returns. Prices of inflation-protected securities pulled back and their yields rose.
Further news of write-downs in the industry and increased fears about inflation led to yet another change in investment sentiment, creating renewed demand for Treasuries. The fund generated a total return of 5.2% for the six-month period, consisting of an income return of approximately 3.3% and capital change of 1.9%.
The fund’s low cost has kept it competitive
Vanguard Fixed Income Group, the fund’s advisor, has helped the fund outpace the average return of its competitors since its inception in June 2000. The fund has also closely mirrored the return of its
|
Annualized Expense Ratios 1 |
|
|
|
|
|
Your Fund Compared With Its Peer Group |
|
|
|
|
|
|
|
|
|
Average Treasury |
|
|
Investor |
Admiral |
Institutional |
Inflation Protected |
|
|
Shares |
Shares |
Shares |
Securities Fund |
|
Inflation-Protected Securities Fund |
0.19% |
0.10% |
0.08% |
0.90% |
1 Fund expense ratios reflect the six months ended June 30, 2008. Peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2007.
4
benchmark index even though the index does not have to contend with the management and administrative expenses of the fund.
The fund’s results are a testament to the skills of the fund’s managers and their commitment to keeping the fund’s costs low. A low-cost fund has several benefits. Low costs allow a greater proportion of the fund’s returns to be channeled to shareholders and also make it possible for the fund’s managers to maintain a disciplined, risk-controlled approach through all market environments. Without the need to make up for high expense ratios, the managers stand a better chance of generating highly competitive returns while adhering to a strict risk-management standard.
A conservative strategy positions you for the long term
Market volatility during the past six months created a challenging environment for investors. Despite the incessant chatter from market pundits and participants, no one really knows when the credit market turmoil will end. Nor can anyone accurately predict the direction of financial markets in the near term.
An effective response to short-term uncertainty is to hold a diversified mix of stocks, bonds, and short-term reserves that can help shield your portfolio from the worst of the markets’ occasional downturns while allowing you to participate in long-term growth potential.
|
Yields and Returns |
|||||
|
|
|
Components of Total Returns |
|||
|
|
30-Day SEC |
Six Months Ended June 30, 2008 |
|||
|
|
Yields on June 30, |
Capital |
Income |
Total |
|
|
Inflation-Protected Securities Fund |
2007 |
2008 |
Return |
Return |
Return |
|
Investor Shares |
2.57% |
1.16% |
1.93% |
3.23% |
5.16% |
|
Admiral Shares |
2.66 |
1.25 |
1.88 |
3.27 |
5.15 |
|
Institutional Shares |
2.69 |
1.27 |
1.91 |
3.27 |
5.18 |
5
A low-cost holding, such as the Inflation-Protected Securities Fund, which offers high-quality bonds and built-in inflation protection, can play an important role in your portfolio.
As I close this report to you, it’s my pleasure to introduce the fund’s new president, F. William McNabb III. Bill is a man of great character and integrity who is intimately familiar with all aspects of Vanguard—from how we serve our clients to how we invest for our clients.
Bill and I have worked together very closely for more than two decades. I’m thrilled that the fund’s board elected him president, effective March 1, and designated him to succeed me as chief executive officer, a role he will assume later this year, after an orderly transition. Bill and the rest of our team will serve you and our other clients extremely well in the years ahead.
Thank you for investing with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
July 18, 2008
6
Advisor’s Report
For the six months ended June 30, the Vanguard Inflation-Protected Securities Fund returned 5.2%, a bit more than the return of its benchmark index and 1.1 percentage points ahead of the average return of its peer group.
The investment environment
The investment environment turned treacherous during the period, as economic growth decelerated, the subprime-mortgage crisis continued to reverberate through the credit markets, and inflation accelerated. The Federal Reserve Board responded to the credit market turmoil and economic weaknesses with four interest rate cuts, bringing its target for the federal funds rate from 4.25% at the start of the period to 2.00% at the close.
Inflation-indexed U.S. Treasury securities were among the fixed income market’s best performers in this unsettled environment. The Lehman U.S. Treasury Inflation Notes Index returned 4.9%, compared with the 2.2% return of the Lehman Treasury Index. Both inflation-indexed and conventional Treasury securities outpaced their corporate counterparts.
Compared with conventional Treasuries, the strong performance of inflation-indexed securities reflected higher-than-expected inflation readings. For example, in the first half of 2008, the inflation adjustment to TIPS based on the consumer price index (CPI) was 3.1%. Based on the difference between the yields of Treasury Inflation Protected Securities (TIPS) and conventional
|
Yields of U.S. Treasury Bonds |
|
|
|
|
December 31, |
June 30, |
|
Maturity |
2007 |
2008 |
|
2 years |
3.05% |
2.62% |
|
3 years |
3.03 |
2.91 |
|
5 years |
3.44 |
3.33 |
|
10 years |
4.03 |
3.97 |
|
30 years |
4.45 |
4.53 |
|
Source: Vanguard. |
|
|
7
Treasuries, investors had been expecting an increase closer to 1.2%. The difference enhanced the relative return of TIPS.
Although the prices of highly visible commodities such as oil and gasoline have risen sharply during the past six months (oil is up 49%, gasoline 34%), the difference between the yield of 10-year TIPS and conventional Treasuries remains modest. The breakeven inflation rate (the rate at which TIPS and Treasury returns would be equal) started the year at 2.32%. By the end of June, it had risen to 2.44%, suggesting that the market doesn’t expect a long-lasting increase in the inflation rate.
Management of the fund
During the past six months, we maintained our customary focus on inflation-indexed securities issued by the U.S. Treasury. We made modest changes to the fund’s duration to take advantage of changing interest rates, and implemented strategies to capitalize on changes in the relative values of TIPS and conventional Treasuries. Both strategies enhanced the fund’s relative performance through the first six months of 2008. As always, our efforts to produce competitive returns were enhanced by the portfolio’s very low operating costs.
Investment outlook
During the past six months, the return advantage of TIPS versus conventional Treasuries has reflected the higher-than-expected increase in the CPI, though there is no guarantee that this tailwind will persist. Indeed, the modest difference between the real yields of longer-term TIPS and the nominal yields of conventional Treasuries suggests that the market respects the Fed’s inflation-fighting credibility. If the fast-rising prices of energy, food, and other consumer goods level off or decline, inflation’s enhancement to total return will disappear and possibly reverse.
John W. Hollyer, CFA, Principal
Kenneth E. Volpert, CFA, Principal
Vanguard Fixed Income Group
July 18, 2008
8
Fund Profile
As of June 30, 2008
|
Financial Attributes |
|
|
|
|
|
|
Comparative |
Broad |
|
|
Fund |
Index 1 |
Index 2 |
|
Number of Issues |
26 |
25 |
9,457 |
|
Yield 3 |
|
5.1% |
5.1% |
|
Investor Shares |
1.2% |
|
|
|
Admiral Shares |
1.3% |
|
|
|
Institutional Shares |
1.3% |
|
|
|
Average Coupon |
2.3% |
2.3% |
5.4% |
|
Average Effective |
|
|
|
|
Maturity |
9.0 years |
9.2 years |
7.5 years |
|
Average Quality 4 |
Aaa |
Aaa |
Aa1 |
|
Average Duration |
7.6 years |
7.8 years |
4.7 years |
|
Expense Ratio 5 |
|
— |
— |
|
Investor Shares |
0.19% |
|
|
|
Admiral Shares |
0.10% |
|
|
|
Institutional Shares |
0.08% |
|
|
|
Short-Term Reserves |
0.1% |
— |
— |
|
Volatility Measures 6 |
|
|
|
|
Fund Versus |
Fund Versus |
|
|
Comparative Index 1 |
Broad Index 2 |
|
R-Squared |
0.99 |
0.67 |
|
Beta |
0.98 |
1.48 |
|
Sector Diversification (% of portfolio) |
|
|
|
|
|
Treasury |
100.0% |
|
Distribution by Maturity (% of portfolio) |
|
|
|
|
|
Under 1 Year |
0.1% |
|
1–5 Years |
24.4 |
|
5–10 Years |
48.4 |
|
10–20 Years |
23.6 |
|
20–30 Years |
3.5 |
|
Distribution by Credit Quality 4 (% of portfolio) |
|
|
|
|
|
Aaa |
100.0% |
Investment Focus
1 Lehman U.S. Treasury Inflation Notes Index.
2 Lehman U.S. Aggregate Bond Index.
3 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. Yields of inflation-protected securities tend to be lower than those of bonds, because the former do not incorporate market expectations about inflation. The principal amounts—and thus the interest payments—of inflation-protected securities are adjusted over time to reflect inflation. See the Glossary on pages 25–26.
4 Moody’s Investors Service.
5 Annualized.
6 For an explanantion of R-squared , beta , and other terms used here, see the Glossary on pages 25–26.
9
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
|
Fiscal-Year Total Returns (%): June 29, 2000–June 30, 2008 |
||||
|
|
|
|
|
|
|
|
Investor Shares |
Lehman 1 |
||
|
Fiscal |
Capital |
Income |
Total |
Total |
|
Year |
Return |
Return |
Return |
Return |
|
2001 |
5.3% |
2.8% |
8.1% |
8.3% |
|
2002 |
1.9 |
4.3 |
6.2 |
6.3 |
|
2003 |
12.1 |
4.5 |
16.6 |
16.8 |
|
2004 |
4.8 |
3.9 |
8.7 |
8.8 |
|
2005 |
2.2 |
4.8 |
7.0 |
7.2 |
|
2006 |
–2.7 |
5.5 |
2.8 |
2.8 |
|
2007 |
5.5 |
5.9 |
11.4 |
11.5 |
|
2008 2 |
1.9 |
3.3 |
5.2 |
4.9 |
|
Average Annual Total Returns: Periods Ended June 30, 2008 |
||||||
|
|
|
|
|
|
Since Inception |
|
|
|
Inception Date |
One Year |
Five Years |
Capital |
Income |
Total |
|
Investor Shares 3 |
6/29/2000 |
15.41% |
5.90% |
3.41% |
4.81% |
8.22% |
|
Admiral Shares |
6/10/2005 |
15.46 |
5.89 4 |
— |
— |
— |
|
Institutional Shares |
12/12/2003 |
15.56 |
6.13 4 |
— |
— |
— |
1 Lehman U.S. Treasury Inflation Notes Index.
2 Six months ended June 30, 2008.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
4 Return since inception.
Note: See Financial Highlights tables on pages 15–17 for dividend and capital gains information.
10
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2008
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
Face |
Market |
|
|
|
|
Maturity |
Amount |
Value • |
|
|
|
Coupon |
Date |
($000) |
($000) |
|
|
U.S. Government Securities (98.5%) |
|
|
|
|
|
|
U.S. Treasury Inflation-Indexed Bond |
2.375% |
1/15/25 |
1,180,345 |
1,410,985 |
|
|
U.S. Treasury Inflation-Indexed Bond |
2.000% |
1/15/26 |
655,950 |
703,644 |
|
|
U.S. Treasury Inflation-Indexed Bond |
2.375% |
1/15/27 |
645,700 |
720,504 |
|
|
1 U.S. Treasury Inflation-Indexed Bond |
3.625% |
4/15/28 |
420,450 |
695,869 |
|
|
U.S. Treasury Inflation-Indexed Bond |
3.875% |
4/15/29 |
279,150 |
473,305 |
|
|
U.S. Treasury Inflation-Indexed Bond |
3.375% |
4/15/32 |
73,925 |
112,354 |
|
|
U.S. Treasury Inflation-Indexed Note |
4.250% |
1/15/10 |
413,575 |
566,522 |
|
|
U.S. Treasury Inflation-Indexed Note |
0.875% |
4/15/10 |
580,200 |
669,542 |
|
|
1 U.S. Treasury Inflation-Indexed Note |
3.500% |
1/15/11 |
178,950 |
240,583 |
|
|
U.S. Treasury Inflation-Indexed Note |
2.375% |
4/15/11 |
737,050 |
845,572 |
|
|
U.S. Treasury Inflation-Indexed Note |
3.375% |
1/15/12 |
291,390 |
389,439 |
|
|
U.S. Treasury Inflation-Indexed Note |
3.000% |
7/15/12 |
970,375 |
1,274,244 |
|
|
U.S. Treasury Inflation-Indexed Note |
1.875% |
7/15/13 |
1,072,875 |
1,327,822 |
|
|
U.S. Treasury Inflation-Indexed Note |
2.000% |
1/15/14 |
867,725 |
1,072,361 |
|
|
U.S. Treasury Inflation-Indexed Note |
2.000% |
7/15/14 |
759,795 |
920,702 |
|
|
U.S. Treasury Inflation-Indexed Note |
1.625% |
1/15/15 |
941,615 |
1,094,789 |
|
|
U.S. Treasury Inflation-Indexed Note |
1.875% |
7/15/15 |
526,900 |
609,839 |
|
|
U.S. Treasury Inflation-Indexed Note |
2.000% |
1/15/16 |
672,200 |
767,346 |
|
|
U.S. Treasury Inflation-Indexed Note |
2.500% |
7/15/16 |
473,825 |
551,516 |
|
|
U.S. Treasury Inflation-Indexed Note |
2.375% |
1/15/17 |
751,425 |
867,494 |
|
|
U.S. Treasury Inflation-Indexed Note |
2.625% |
7/15/17 |
469,950 |
538,405 |
|
|
U.S. Treasury Inflation-Indexed Note |
1.625% |
1/15/18 |
299,000 |
311,920 |
|
|
U.S. Treasury Inflation-Indexed Note |
1.750% |
1/15/28 |
425,075 |
414,499 |
|
|
Total U.S. Government Securities (Cost $15,880,943) |
|
|
|
16,579,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Temporary Cash Investment (0.1%) |
|
|
|
|
|
|
2 Vanguard Market Liquidity Fund (Cost $19,587) |
2.405% |
|
19,586,783 |
19,587 |
|
|
Total Investments (98.6%) (Cost $15,900,530) |
|
|
|
16,598,843 |
|
|
Other Assets and Liabilities (1.4%) |
|
|
|
|
|
|
Other Assets—Note B |
|
|
|
274,320 |
|
|
Liabilities |
|
|
|
(46,945) |
|
|
|
|
|
|
227,375 |
|
|
Net Assets (100%) |
|
|
|
16,826,218 |
|
11
|
At June 30, 2008, net assets consisted of: 3 |
|
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
16,273,658 |
|
Undistributed Net Investment Income |
16,016 |
|
Accumulated Net Realized Losses |
(158,678) |
|
Unrealized Appreciation (Depreciation) |
|
|
Investment Securities |
698,313 |
|
Futures Contracts |
(3,091) |
|
Net Assets |
16,826,218 |
|
|
|
|
Investor Shares—Net Assets |
|
|
Applicable to 717,251,971 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
9,098,814 |
|
Net Asset Value Per Share—Investor Shares |
$12.69 |
|
|
|
|
Admiral Shares—Net Assets |
|
|
Applicable to 187,046,067 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
4,659,773 |
|
Net Asset Value Per Share—Admiral Shares |
$24.91 |
|
|
|
|
Institutional Shares—Net Assets |
|
|
Applicable to 302,338,892 outstanding $.001 par value shares of |
|
|
beneficial interest (unlimited authorization) |
3,067,631 |
|
Net Asset Value Per Share—Institutional Shares |
$10.15 |
|
• |
See Note A in Notes to Financial Statements . |
1 Securities with a value of $19,727,000 have been segregated as initial margin for open futures contracts.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
12
Statement of Operations
|
|
Six Months Ended |
|
|
June 30, 2008 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest 1 |
541,121 |
|
Total Income |
541,121 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
655 |
|
Management and Administrative |
|
|
Investor Shares |
6,256 |
|
Admiral Shares |
1,461 |
|
Institutional Shares |
614 |
|
Marketing and Distribution |
|
|
Investor Shares |
964 |
|
Admiral Shares |
444 |
|
Institutional Shares |
323 |
|
Custodian Fees |
36 |
|
Shareholders’ Reports |
|
|
Investor Shares |
120 |
|
Admiral Shares |
8 |
|
Institutional Shares |
5 |
|
Trustees’ Fees and Expenses |
10 |
|
Total Expenses |
10,896 |
|
Net Investment Income |
530,225 |
|
Realized Net Gain (Loss) |
|
|
Investment Securities Sold |
16,215 |
|
Futures Contracts |
25,293 |
|
Swap Contracts |
(5,535) |
|
Realized Net Gain (Loss) |
35,973 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities |
124,082 |
|
Futures Contracts |
(2,672) |
|
Swap Contracts |
(3,749) |
|
Change in Unrealized Appreciation (Depreciation) |
117,661 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
683,859 |
1 Interest income from an affiliated company of the fund was $1,064,000.
13
Statement of Changes in Net Assets
|
|
|
Feb. 1, |
|
|
|
|
Six Months Ended |
2007, to |
Year Ended |
|
|
|
June 30, |
Dec. 31, |
Jan. 31, |
|
|
|
2008 |
2007 1 |
2007 |
|
|
|
($000) |
($000) |
($000) |
|
|
Increase (Decrease) In Net Assets |
|
|
|
|
|
Operations |
|
|
|
|
|
Net Investment Income |
530,225 |
578,022 |
376,583 |
|
|
Realized Net Gain (Loss) |
35,973 |
(11,178) |
(178,430) |
|
|
Change in Unrealized Appreciation (Depreciation) |
117,661 |
616,178 |
(163,843) |
|
|
Net Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting from Operations |
683,859 |
1,183,022 |
34,310 |
|
|
Distributions |
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
Investor Shares |
(270,216) |
(305,572) |
(190,729) |
|
|
Admiral Shares |
(141,632) |
(156,178) |
(87,252) |
|
|
Institutional Shares |
(91,693) |
(116,134) |
(47,934) |
|
|
Realized Capital Gain |
|
|
|
|
|
Investor Shares |
— |
— |
— |
|
|
Admiral Shares |
— |
— |
— |
|
|
Institutional Shares |
— |
— |
— |
|
|
Return of Capital |
|
|
|
|
|
Investor Shares |
— |
— |
(8,964) |
|
|
Admiral Shares |
— |
— |
(4,014) |
|
|
Institutional Shares |
— |
— |
(2,186) |
|
|
Total Distributions |
(503,541) |
(577,884) |
(341,079) |
|
|
Capital Share Transactions—Note E |
|
|
|
|
|
Investor Shares |
2,340,897 |
980,196 |
(680,333) |
|
|
Admiral Shares |
1,121,350 |
799,608 |
128,107 |
|
|
Institutional Shares |
786,176 |
456,102 |
476,857 |
|
|
Net Increase (Decrease) from Capital Share Transactions |
4,248,423 |
2,235,906 |
(75,369) |
|
|
Total Increase (Decrease) |
4,428,741 |
2,841,044 |
(382,138) |
|
|
Net Assets |
|
|
|
|
|
Beginning of Period |
12,397,477 |
9,556,433 |
9,938,571 |
|
|
End of Period 2 |
16,826,218 |
12,397,477 |
9,556,433 |
|
1 The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $16,016,000, ($10,668,000), and ($10,806,000).
14
Financial Highlights
|
Investor Shares |
|
|
|
|
|
|
|
|
|
Six Months |
Feb. 1, |
|
|
|
|
|
|
|
Ended |
2007, to |
|
|
|
|
|
|
For a Share Outstanding |
June 30, |
Dec. 31, |
Year Ended January 31, |
||||
|
Throughout Each Period |
2008 |
2007 1 |
2007 |
2006 |
2005 |
2004 |
2003 |
|
Net Asset Value, |
|
|
|
|
|
|
|
|
Beginning of Period |
$12.45 |
$11.80 |
$12.18 |
$12.57 |
$12.36 |
$11.91 |
$10.68 |
|
Investment Operations |
|
|
|
|
|
|
|
|
Net Investment Income |
.42 |
.651 |
.483 |
.573 |
.596 |
.41 |
.47 |
|
Net Realized and |
|
|
|
|
|
|
|
|
Unrealized Gain (Loss) |
|
|
|
|
|
|
|
|
on Investments |
.22 |
.646 |
(.437) |
(.230) |
.244 |
.61 |
1.28 |
|
Total from |
|
|
|
|
|
|
|
|
Investment Operations |
.64 |
1.297 |
.046 |
.343 |
.840 |
1.02 |
1.75 |
|
Distributions |
|
|
|
|
|
|
|
|
Dividends from |
|
|
|
|
|
|
|
|
Net Investment Income |
(.40) |
(.647) |
(.407) |
(.681) |
(.565) |
(.45) |
(.46) |
|
Distributions from |
|
|
|
|
|
|
|
|
Realized Capital Gains |
— |
— |
— |
(.052) |
(.065) |
(.12) |
(.06) |
|
Return of Capital |
— |
— |
(.019) |
— |
— |
— |
— |
|
Total Distributions |
(.40) |
(.647) |
(.426) |
(.733) |
(.630) |
(.57) |
(.52) |
|
Net Asset Value, |
|
|
|
|
|
|
|
|
End of Period |
$12.69 |
$12.45 |
$11.80 |
$12.18 |
$12.57 |
$12.36 |
$11.91 |
|
|
|
|
|
|
|
|
|
|
Total Return 2 |
5.16% |
11.40% |
0.43% |
2.76% |
6.96% |
8.69% |
16.64% |
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
Net Assets, |
|
|
|
|
|
|
|
|
End of Period (Millions) |
$9,099 |
$6,662 |
$5,361 |
$6,227 |
$7,530 |
$5,164 |
$3,143 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
|
Average Net Assets |
0.19%* |
0.20%* |
0.20% |
0.20% |
0.17% |
0.18% |
0.22% |
|
Ratio of Net Investment |
|
|
|
|
|
|
|
|
Income to Average |
|
|
|
|
|
|
|
|
Net Assets |
7.03%* |
5.92%* |
3.87% |
4.83% |
4.83% |
3.46% |
4.55% |
|
Portfolio Turnover Rate |
30%* |
21% |
53% |
47% |
73% |
63% |
108% |
1 The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.
2 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
|
* |
Annualized. |
15
|
Admiral Shares |
|
|
|
|
|
|
Six Months |
Feb. 1, |
Year |
June 10, |
|
|
Ended |
2007, to |
Ended |
2005 2 to |
|
|
June 30, |
Dec. 31, |
Jan. 31, |
Jan. 31, |
|
For a Share Outstanding Throughout Each Period |
2008 |
2007 1 |
2007 |
2006 |
|
Net Asset Value, Beginning of Period |
$24.45 |
$23.17 |
$23.91 |
$25.00 |
|
Investment Operations |
|
|
|
|
|
Net Investment Income |
.839 |
1.299 |
.971 |
.683 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
.416 |
1.278 |
(.858) |
(.432) |
|
Total from Investment Operations |
1.255 |
2.577 |
.113 |
.251 |
|
Distributions |
|
|
|
|
|
Dividends from Net Investment Income |
(.795) |
(1.297) |
(.815) |
(1.315) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
(.026) |
|
Return of Capital |
— |
— |
(.038) |
— |
|
Total Distributions |
(.795) |
(1.297) |
(.853) |
(1.341) |
|
Net Asset Value, End of Period |
$24.91 |
$24.45 |
$23.17 |
$23.91 |
|
|
|
|
|
|
|
Total Return |
5.15% |
11.54% |
0.53% |
1.02% |
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) |
$4,660 |
$3,487 |
$2,523 |
$2,474 |
|
Ratio of Total Expenses to Average Net Assets |
0.10%* |
0.11%* |
0.11% |
0.11%* |
|
Ratio of Net Investment Income to Average Net Assets |
7.12%* |
6.01%* |
3.96% |
4.92%* |
|
Portfolio Turnover Rate |
30%* |
21% |
53% |
47% |
1 The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.
2 Inception.
|
* |
Annualized. |
16
|
Institutional Shares |
|
|
|
|
|
|
|
|
Six Months |
Feb. 1, |
|
|
|
Dec. 12, |
|
|
Ended |
2007, to |
|
|
|
2003 2 to |
|
For a Share Outstanding |
June 30, |
Dec. 31, |
Year Ended January 31, |
Jan. 31, |
||
|
Throughout Each Period |
2008 |
2007 1 |
2007 |
2006 |
2005 |
2004 |
|
Net Asset Value, Beginning of Period |
$9.96 |
$9.44 |
$9.74 |
$10.06 |
$9.88 |
$10.00 |
|
Investment Operations |
|
|
|
|
|
|
|
Net Investment Income |
.343 |
.532 |
.398 |
.471 |
.483 |
— |
|
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
on Investments |
.171 |
.521 |
(.348) |
(.194) |
.207 |
.080 |
|
Total from Investment Operations |
.514 |
1.053 |
.050 |
.277 |
.690 |
.080 |
|
Distributions |
|
|
|
|
|
|
|
Dividends from Net Investment Income |
(.324) |
(.533) |
(.335) |
(.556) |
(.458) |
(.104) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
(.041) |
(.052) |
(.096) |
|
Return of Capital |
— |
— |
(.015) |
— |
— |
— |
|
Total Distributions |
(.324) |
(.533) |
(.350) |
(.597) |
(.510) |
(.200) |
|
Net Asset Value, End of Period |
$10.15 |
$9.96 |
$9.44 |
$9.74 |
$10.06 |
$9.88 |
|
|
|
|
|
|
|
|
|
Total Return |
5.18% |
11.58% |
0.57% |
2.79% |
7.15% |
0.83% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$3,068 |
$2,248 |
$1,673 |
$1,238 |
$601 |
$204 |
|
Ratio of Total Expenses to |
|
|
|
|
|
|
|
Average Net Assets |
0.08%* |
0.08%* |
0.08% |
0.08% |
0.11% |
0.12%* |
|
Ratio of Net Investment Income to |
|
|
|
|
|
|
|
Average Net Assets |
7.14%* |
6.04%* |
3.99% |
4.95% |
4.93% |
— 3 |
|
Portfolio Turnover Rate |
30%* |
21% |
53% |
47% |
73% |
63% |
1 The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.
2 Inception.
3 Negative inflation adjustments and premium amortization completely offset coupon income for the period from December 12, 2003, to January 31, 2004.
|
* |
Annualized. |
See accompanying Notes , which are an integral part of the Financial Statements .
17
Notes to Financial Statements
Vanguard Inflation-Protected Securities Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund files reports with the SEC under the company name Vanguard Bond Index Funds. The fund offers three classes of shares, Investor Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets . Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Swap Contracts: The fund has 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.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets . Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The primary risk for total return swaps is that a counterparty will default on its obligation to pay net amounts due to the fund.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended January 31, 2005–December 31, 2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
18
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund, and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2008, the fund had contributed capital of $1,319,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.32% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2007, the fund had available realized losses of $190,106,000 to offset future net capital gains of $152,319,000 through December 31, 2014, $32,494,000 through December 31, 2015, and $5,293,000 through December 31, 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carry-forward balances above.
At June 30, 2008, the cost of investment securities for tax purposes was $15,905,494,000. Net unrealized appreciation of investment securities for tax purposes was $693,349,000, consisting of unrealized gains of $710,927,000 on securities that had risen in value since their purchase and $17,578,000 in unrealized losses on securities that had fallen in value since their purchase.
19
At June 30, 2008, the aggregate settlement value of open futures contracts expiring in September 2008 and the related unrealized appreciation (depreciation) were:
|
|
|
|
($000) |
|
|
Number of |
Aggregate |
Unrealized |
|
|
Long (Short) |
Settlement |
Appreciation |
|
Futures Contracts |
Contracts |
Value |
(Depreciation) |
|
5-Year Treasury Note |
(5,314) |
587,488 |
(3,091) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the six months ended June 30, 2008, the fund purchased $6,054,994,000 of investment securities and sold $2,233,352,000 of investment securities other than temporary cash investments.
E. Capital share transactions for each class of shares were:
|
|
Six Months Ended |
February 1, 2007 to |
Year Ended |
|||
|
|
June 30, 2008 |
December 31, 2007 1 |
January 31, 2007 |
|||
|
|
Amount |
Shares |
Amount |
Shares |
Amount |
Shares |
|
|
($000) |
(000) |
($000) |
(000) |
($000) |
(000) |
|
Investor Shares |
|
|
|
|
|
|
|
Issued |
3,438,506 |
266,069 |
2,064,322 |
170,885 |
1,640,062 |
137,575 |
|
Issued in Lieu of |
|
|
|
|
|
|
|
Cash Distributions |
243,091 |
19,148 |
271,905 |
23,023 |
179,084 |
15,273 |
|
Redeemed |
(1,340,700) |
(104,597) |
(1,356,031) |
(113,268) |
(2,499,479) |
(209,791) |
|
Net Increase (Decrease)— |
|
|
|
|
|
|
|
Investor Shares |
2,340,897 |
180,620 |
980,196 |
80,640 |
(680,333) |
(56,943) |
|
Admiral Shares |
|
|
|
|
|
|
|
Issued |
1,711,607 |
67,830 |
1,214,928 |
51,341 |
917,013 |
39,152 |
|
Issued in Lieu of |
|
|
|
|
|
|
|
Cash Distributions |
127,485 |
5,113 |
139,882 |
6,026 |
82,079 |
3,563 |
|
Redeemed |
(717,742) |
(28,530) |
(555,202) |
(23,608) |
(870,985) |
(37,289) |
|
Net Increase (Decrease)— |
|
|
|
|
|
|
|
Admiral Shares |
1,121,350 |
44,413 |
799,608 |
33,759 |
128,107 |
5,426 |
|
Institutional Shares |
|
|
|
|
|
|
|
Issued |
1,100,801 |
107,214 |
937,351 |
97,767 |
640,836 |
67,333 |
|
Issued in Lieu of |
|
|
|
|
|
|
|
Cash Distributions |
86,760 |
8,549 |
105,793 |
11,206 |
44,112 |
4,702 |
|
Redeemed |
(401,385) |
(39,203) |
(587,042) |
(60,426) |
(208,091) |
(21,927) |
|
Net Increase (Decrease)— |
|
|
|
|
|
|
|
Institutional Shares |
786,176 |
76,560 |
456,102 |
48,547 |
476,857 |
50,108 |
1 The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.
20
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 —Quoted prices in active markets for identical securities.
Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 —Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
|
|
Investments |
Futures |
|
|
in Securities |
Contracts |
|
Valuation Inputs |
($000) |
($000) |
|
Level 1—Quoted prices |
19,587 |
(3,091) |
|
Level 2—Other significant observable inputs |
16,579,256 |
— |
|
Level 3—Significant unobservable inputs |
— |
— |
|
Total |
16,598,843 |
(3,091) |
21
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table below illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
|
Six Months Ended June 30, 2008 |
|
|
|
|
|
Beginning |
Ending |
Expenses |
|
|
Account Value |
Account Value |
Paid During |
|
Inflation-Protected Securities Fund |
12/31/2007 |
6/30/2008 |
Period 1 |
|
Based on Actual Fund Return |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,051.62 |
$0.97 |
|
Admiral Shares |
1,000.00 |
1,051.54 |
0.51 |
|
Institutional Shares |
1,000.00 |
1,051.84 |
0.41 |
|
Based on Hypothetical 5% Yearly Return |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,023.92 |
$0.96 |
|
Admiral Shares |
1,000.00 |
1,024.37 |
0.50 |
|
Institutional Shares |
1,000.00 |
1,024.47 |
0.40 |
1 The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are: 0.19% for Investor Shares, 0.10% for Admiral Shares, and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
22
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
23
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Inflation-Protected Securities Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Fixed Income Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than two decades. George U. Sauter, Vanguard managing director and chief investment officer, has been in the investment management business since 1985. Robert F. Auwaerter, head of Fixed Income Portfolio Management and principal of Vanguard, has been in the investment management business since 1978. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of a relevant benchmark and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was far below the average expense ratio charged by funds in its peer group. The board noted that the fund’s advisory expense ratio was also well below its peer-group average. Information about the fund’s expense ratio appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
24
Glossary
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Distribution by Coupon. A breakdown of the securities in a fund according to coupon rate—the interest rate that an issuer promises to pay, expressed as an annual percentage of face value. Securities with unusually high coupon rates may be subject to call risk, the possibility that they will be redeemed (or “called”) early by the issuer.
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
25
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
26
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
|
Chairman of the Board, Chief Executive Officer, and Trustee |
|
|
|
|
|
John J. Brennan 1 |
|
|
Born 1954 |
Principal Occupation(s) During the Past Five Years: Chairman of the Board, Chief Executive |
|
Trustee Since May 1987; |
Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment |
|
Chairman of the Board and |
companies served by The Vanguard Group; Director of Vanguard Marketing Corporation. |
|
Chief Executive Officer |
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156 Vanguard Funds Overseen |
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Independent Trustees |
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Charles D. Ellis |
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Born 1937 |
Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures |
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Trustee Since January 2001 |
in education); Senior Advisor to Greenwich Associates (international business strategy |
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156 Vanguard Funds Overseen |
consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business |
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at New York University; Trustee of the Whitehead Institute for Biomedical Research. |
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Emerson U. Fullwood |
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Born 1948 |
Principal Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing |
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Trustee Since January 2008 |
Officer for North America since 2004 and Corporate Vice President of Xerox Corporation |
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156 Vanguard Funds Overseen |
(photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), |
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of the United Way of Rochester, and of the Boy Scouts of America. |
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Rajiv L. Gupta |
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Born 1945 |
Principal Occupation(s) During the Past Five Years: Chairman, President, and |
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Trustee Since December 2001 2 |
Chief Executive Officer of Rohm and Haas Co. (chemicals); Board Member of |
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156 Vanguard Funds Overseen |
the American Chemistry Council; Director of Tyco International, Ltd. (diversified |
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manufacturing and services) since 2005. |
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Amy Gutmann |
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Born 1949 |
Principal Occupation(s) During the Past Five Years: President of the University of |
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Trustee Since June 2006 |
Pennsylvania since 2004; Professor in the School of Arts and Sciences, Annenberg School |
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156 Vanguard Funds Overseen |
for Communication, and Graduate School of Education of the University of Pennsylvania |
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since 2004; Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics and |
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the University Center for Human Values (1990–2004), Princeton University; Director of |
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Carnegie Corporation of New York since 2005 and of Schuylkill River Development |
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Corporation and Greater Philadelphia Chamber of Commerce since 2004; Trustee of |
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the National Constitution Center since 2007. |
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JoAnn Heffernan Heisen |
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Born 1950 |
Principal Occupation(s) During the Past Five Years: Corporate Vice President and |
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Trustee Since July 1998 |
Chief Global Diversity Officer since 2006, Vice President and Chief Information |
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156 Vanguard Funds Overseen |
Officer (1997–2005), and Member of the Executive Committee of Johnson & |
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Johnson (pharmaceuticals/consumer products); Director of the University Medical |
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Center at Princeton and Women’s Research and Education Institute. |
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André F. Perold |
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Born 1952 |
Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance |
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Trustee Since December 2004 |
and Banking, Harvard Business School; Senior Associate Dean and Director of Faculty |
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156 Vanguard Funds Overseen |
Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities |
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trading firm); Chair of the Investment Committee of HighVista Strategies LLC (private |
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investment firm) since 2005. |
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Alfred M. Rankin, Jr. |
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Born 1941 |
Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive |
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Trustee Since January 1993 |
Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director |
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156 Vanguard Funds Overseen |
of Goodrich Corporation (industrial products/aircraft systems and services). |
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J. Lawrence Wilson |
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Born 1936 |
Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief Executive |
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Trustee Since April 1985 |
Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and |
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156 Vanguard Funds Overseen |
AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University |
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and of Culver Educational Foundation. |
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Executive Officers 1 |
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Thomas J. Higgins |
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Born 1957 |
Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; |
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Treasurer Since July 1998 |
Treasurer of each of the investment companies served by The Vanguard Group. |
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156 Vanguard Funds Overseen |
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F. William McNabb III |
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Born 1957 |
Principal Occupation(s) During the Past Five Years: President of The Vanguard Group, Inc., |
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President Since March 2008 |
and of each of the investment companies served by The Vanguard Group since 2008; |
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156 Vanguard Funds Overseen |
Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group |
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(1995–2008). |
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Heidi Stam |
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Born 1956 |
Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard |
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Secretary Since July 2005 |
Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of |
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156 Vanguard Funds Overseen |
The Vanguard Group, and of each of the investment companies served by The Vanguard |
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Group, since 2005; Director and Senior Vice President of Vanguard Marketing Corporation |
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since 2005; Principal of The Vanguard Group (1997–2006). |
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Vanguard Senior Management Team |
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R. Gregory Barton |
Kathleen C. Gubanich |
Michael S. Miller |
Glenn W. Reed |
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Mortimer J. Buckley |
Paul A. Heller |
Ralph K. Packard |
George U. Sauter |
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Founder |
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John C. Bogle |
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Chairman and Chief Executive Officer, 1974–1996 |
1 Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
More information about the trustees is in the Statement of Additional Information , available from The Vanguard Group.
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P.O. Box 2600 |
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Valley Forge, PA 19482-2600 |
Connect with Vanguard ® > www.vanguard.com
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Fund Information > 800-662-7447 |
Vanguard , Admiral , Connect with Vanguard , CFA , and the |
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ship logo are trademarks of The Vanguard Group, Inc. |
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Direct Investor Account Services > 800-662-2739 |
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CFA ® is a trademark owned by CFA Institute. |
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Institutional Investor Services > 800-523-1036 |
All other marks are the exclusive property of their |
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respective owners. |
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Text Telephone for People |
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With Hearing Impairment > 800-952-3335 |
All comparative mutual fund data are from Lipper Inc. |
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or Morningstar, Inc., unless otherwise noted. |
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This material may be used in conjunction |
You can obtain a free copy of Vanguard’s proxy voting |
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with the offering of shares of any Vanguard |
guidelines by visiting our website, www.vanguard.com, |
|
fund only if preceded or accompanied by |
and searching for “proxy voting guidelines,” or by |
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the fund’s current prospectus. |
calling Vanguard at 800-662-2739. The guidelines are |
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also available from the SEC’s website, www.sec.gov. |
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In addition, you may obtain a free report on how your |
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fund voted the proxies for securities it owned during |
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the 12 months ended June 30. To get the report, visit |
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either www.vanguard.com or www.sec.gov. |
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You can review and copy information about your fund |
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at the SEC’s Public Reference Room in Washington, D.C. |
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To find out more about this public service, call the SEC |
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|
at 202-551-8090. Information about your fund is also |
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|
available on the SEC’s website, and you can receive |
|
|
copies of this information, for a fee, by sending a |
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|
request in either of two ways: via e-mail addressed to |
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publicinfo@sec.gov or via regular mail addressed to the |
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Public Reference Section, Securities and Exchange |
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Commission, Washington, DC 20549-0102. |
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© 2008 The Vanguard Group, Inc. |
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All rights reserved. |
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Vanguard Marketing Corporation, Distributor. |
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Q1192 082008 |
Item 2 : Not Applicable.
Item 3 : Not Applicable.
Item 4 : Not Applicable.
Item 5 : Not Applicable.
Item 6 : Not Applicable.
Item 7 : Not applicable.
Item 8 : Not Applicable.
Item 9 : Not Applicable.
Item 10 : Not Applicable.
Item 11 : 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. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12 : Exhibits.
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(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.
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VANGUARD BOND INDEX FUNDS |
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By: |
(signature) |
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(HEIDI STAM) |
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JOHN J. BRENNAN* |
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CHIEF EXECUTIVE OFFICER |
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Date: August 19, 2008 |
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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.
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VANGUARD BOND INDEX FUNDS |
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By: |
(signature) |
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(HEIDI STAM) |
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JOHN J. BRENNAN* |
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CHIEF EXECUTIVE OFFICER |
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Date: August 19, 2008 |
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VANGUARD BOND INDEX FUNDS |
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By: |
(signature) |
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(HEIDI STAM) |
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THOMAS J. HIGGINS* |
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TREASURER |
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Date: August 19, 2008 |
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*By Power of Attorney. Filed on January 18, 2008, see File Number 2-29601. Incorporated by Reference.
