UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
Certified Shareholder Report of
Registered Management Investment Companies
Investment Company Act File Number: 811-02444
The Bond Fund of America, Inc.
(Exact name of registrant as specified in charter)
333 South Hope Street
Los Angeles, California 90071
(Address of principal executive offices)
Registrant's telephone number, including area code: (213) 486-9200
Date of fiscal year end: December 31
Date of reporting period: June 30, 2007
Kimberly S. Verdick
Capital Research and Management Company
333 South Hope Street
Los Angeles, California 90071
(Name and address of agent for service)
Copies to:
Michael Glazer
Paul, Hastings, Janofsky & Walker LLP
515 South Flower Street, 25th Floor
Los Angeles, California 90071
(Counsel for the registrant)
ITEM 1 – Reports to Stockholders
[logo - American Funds®]
The right choice for the long term®
The Bond Fund of America
[photo of a womans' hand holding a piece of paper - eyeglasses in the foreground and a keyboard in the background]
Semi-annual report for the six months ended June 30, 2007
The Bond Fund of AmericaSM seeks as high a level of current income as is consistent with preservation of capital through a diversified portfolio of bonds and other fixed-income obligations.
This fund is one of the 30 American Funds. American Funds ranks among the nation’s three largest mutual fund families. For 75 years, Capital Research and Management Company,SM the American Funds adviser, has invested with a long-term focus based on thorough research and attention to risk.
Figures shown are past results for Class A shares and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Share prices and returns will vary, so investors may lose money. Investing for short periods makes losses more likely. Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity. For current information and month-end results, visit americanfunds.com. Fund results shown, unless otherwise indicated, are at net asset value. If a sales charge (maximum 3.75%) had been deducted, the results would have been lower.
Here are the average annual total returns on a $1,000 investment with all distributions reinvested for periods ended June 30, 2007:
Class A shares | 1 year | 5 years | 10 years |
Reflecting 3.75% maximum sales charge | +2.69% | +5.74% | +5.48% |
The total annual fund operating expense ratio for Class A shares as of the most recent fiscal year-end was 0.65%. This figure does not reflect a fee waiver currently in effect; therefore, the actual expense ratio is lower.
The fund’s investment adviser waived 5% of its management fees from September 1, 2004, through March 31, 2005, and increased it to 10% on April 1, 2005. Fund results shown reflect actual expenses, with the waiver applied. Fund results would have been lower without the waiver. Please see the Financial Highlights table on pages 26 to 29 for details.
The fund’s 30-day yield for Class A shares as of July 31, 2007, calculated in accordance with the Securities and Exchange Commission formula, was 5.19% (5.17% without the fee waiver). The fund’s distribution rate for Class A shares as of that date was 4.83%. Both reflect the 3.75% maximum sales charge. The SEC yield reflects the rate at which the fund is earning income on its current portfolio of securities while the distribution rate reflects the fund’s past dividends paid to shareholders. Accordingly, the fund’s SEC yield and distribution rate may differ.
Results for other share classes can be found on page 4.
The return of principal in bond funds is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the fund. High-yield bonds are subject to greater fluctuations in value and risk of loss of income and principal. Investing in non-U.S. bonds is subject to additional risks. They include currency fluctuations, political and social instability, differing securities regulations and accounting standards, higher transaction costs, possible changes in taxation and illiquidity. For more complete information, please read the prospectus.
Fellow shareholders:
[photo of a woman's hand holding a piece of paper - eyeglasses in the foreground and a keyboard in the background]
The bond market saw increasing volatility during the first half of 2007, with prices rising during the first quarter, then falling sharply in the second quarter. As a result, The Bond Fund of America recorded a modest total return of 1.3% for the six months ended June 30, 2007. At the same time, our shareholders continued to receive an attractive stream of income. For the six-month period, the fund paid monthly dividends totaling approximately 30.4 cents a share, providing an income return of about 2.3% (4.6% annualized). [If we had included the portion of the January dividend that was pre-paid in December 2006 amounting to two cents a share, the income return would have been 2.5% (5.0% annualized), with dividends reinvested.] Moreover, the fund increased its monthly dividend to 5.60 cents a share from 5.25 cents effective with the July 26 payment.
Weaker bond prices were reflected in the fund’s market benchmark, the unmanaged Lehman Brothers Aggregate Bond Index, which reported a total return of 1.0% for the same period. The fund’s peer group measure, the Lipper Corporate Debt A-Rated Bond Funds Average, posted a lower return of 0.6%. Results for longer time periods, including cycles of rising and falling interest rates, are shown in the table below.
[Begin Sidebar]
Class A share results at a glance
(for periods ended June 30, 2007, with all distributions reinvested)
Average annual total returns | ||||||||||||||||
1 year | 5 years | 10 years | Lifetime1 | |||||||||||||
The Bond Fund of America | +6.72 | % | +6.54 | % | +5.88 | % | +9.03 | % | ||||||||
Lehman Brothers Aggregate Bond Index2 | +6.12 | +4.48 | +6.02 | +8.55 | ||||||||||||
Lipper Corporate Debt A-Rated Bond Funds Average3 | ||||||||||||||||
+5.65 | +4.52 | +5.40 | +8.50 |
1Since May 28, 1974. |
2The unmanaged Lehman Brothers Aggregate Bond Index began on January 1, 1976. From May 28, 1974, through December 31, 1975, the Lehman Brothers Government/Credit Bond Index was used. |
3Source: Lipper. Lipper averages do not include the effects of sales charges. |
[End Sidebar]
Bond market overview
Bond market yields generally reflect investors’ risk assumptions and expectations associated with economic prospects, inflation trends and interest rates. U.S. Treasuries, because of their perceived safety and universal acceptance, function as a barometer for market sentiment and the basis for other bond yields.
At the start of the fiscal period, yields on short-term Treasuries were notably higher than those on Treasuries with longer maturities. This anomaly in yield relationships — long-term bonds generally have higher yields — is known as an inverted yield curve. The inverted yield relationships that began the year largely reflected investors’ expectations for slower economic growth and lower interest rates in the year ahead. Indeed, first-quarter growth came in at a sluggish 0.6% annual rate, while ongoing weakness in the housing market fanned concerns about the durability of consumer spending — the largest component of economic growth.
As the second quarter unfolded, however, new economic data pointed toward resilience in the broader economy. Unemployment remained low as companies continued to hire and wages continued to increase. Investors gradually began to reevaluate expectations and bond yields headed higher, pushing prices lower. As a result, solid market gains logged during the first quarter gave way to modest declines during the second quarter, and the inverted yield curve assumed a positive, upward slope for maturities of two years and longer.
The late-spring downturn affected every sector of the bond market, some more than others. In general, bonds with shorter maturities held more of their value than did long-maturity debt, which is often the case in a rising yield environment. Among investment-grade bonds, AAA-rated and BBB-rated issues (the highest and lowest rating levels) fared better than other rating categories. Yet, the best returns for the period were posted by high-yield bonds, which had delivered strong gains early in the period, providing a bigger cushion against the selloff.
How the fund responded
The Bond Fund of America is an actively managed portfolio of bonds. The fund’s portfolio counselors invest in a wide range of securities with the objective of maximizing current income while preserving capital. Portfolio counselors freely buy or sell securities in response to changing market conditions. This flexibility has helped the fund weather market downturns and has contributed to the fund’s good relative results both near term and over longer time periods.
During the recent period — and for much of the past year — the fund benefited from strong gains among its lower rated investment-grade and high-yield holdings. As prices rose on many of these securities, however, the fund trimmed its exposure, reducing holdings of BBB-rated debt to 14.7% of portfolio assets from 18.7% at the start of the year. Similarly, the fund lowered its exposure to high-yield debt to 8.2% of assets from 9.1%. At the same time, the fund increased its exposure to U.S. government obligations (to 10.4% of assets from 8.9%) and federal agency issues (to 14.4% from 8.8%).
Looking ahead
Some clouds have a silver lining and the same may be true of the recent downturn. Heading into the year, many market sectors appeared “rich,” offering slim yield advantages over Treasuries; the subsequent rise in yields, however, re-priced many bonds both on an absolute and relative basis, which helps create more appealing investment opportunities for the fund. Additionally, inflation has remained well-contained, making current, higher yields more attractive for bond buyers.
For more than three decades, The Bond Fund of America has delivered a high level of current income to its shareholders and attractive total returns. These accomplishments are due, in part, to our investment approach, which looks beyond the market’s short-term trends to find attractively priced securities that we believe provide enduring value for the fund. Similarly, we encourage our shareholders to maintain a long-term perspective on all their investments.
We take this opportunity to welcome new shareholders to the fund, and we look forward to discussing the fund’s progress again at year-end.
Cordially,
/s/ Paul G. Haaga, Jr. | /s/ Abner D. Goldstine |
Paul G. Haaga, Jr. | Abner D. Goldstine |
Vice Chairman of the Board | President |
August 7, 2007
For current information about the fund, visit americanfunds.com.
Other share class results | unaudited |
Class B, Class C, Class F and Class 529
Figures shown are past results and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Share prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com.
Average annual total returns for periods ended June 30, 2007:
1 year | 5 years | Life of class | ||||||||||
Class B shares — first sold 3/15/00 | ||||||||||||
Reflecting applicable contingent deferred sales charge (CDSC), maximum of 5%, payable only if shares are sold within six years of purchase | +0.94 | % | +5.43 | % | +5.40 | % | ||||||
Not reflecting CDSC | +5.94 | % | +5.75 | % | +5.40 | % | ||||||
Class C shares — first sold 3/15/01 | ||||||||||||
Reflecting CDSC, maximum of 1%, payable only if shares are sold within one year of purchase | +4.87 | % | +5.68 | % | +4.94 | % | ||||||
Not reflecting CDSC | +5.87 | % | +5.68 | % | +4.94 | % | ||||||
Class F shares* — first sold 3/15/01 | ||||||||||||
Not reflecting annual asset-based fee charged by sponsoring firm | +6.74 | % | +6.52 | % | +5.75 | % | ||||||
Class 529-A shares†— first sold 2/15/02 | ||||||||||||
Reflecting 3.75% maximum sales charge | +2.64 | % | +5.70 | % | +5.22 | % | ||||||
Not reflecting maximum sales charge | +6.67 | % | +6.50 | % | +5.97 | % | ||||||
Class 529-B shares†— first sold 2/15/02 | ||||||||||||
Reflecting applicable CDSC, maximum of 5%, payable only if shares are sold within six years of purchase | +0.80 | % | +5.26 | % | +4.91 | % | ||||||
Not reflecting CDSC | +5.80 | % | +5.58 | % | +5.07 | % | ||||||
Class 529-C shares†— first sold 2/19/02 | ||||||||||||
Reflecting CDSC, maximum of 1%, payable only if shares are sold within one year of purchase | +4.81 | % | +5.60 | % | +5.12 | % | ||||||
Not reflecting CDSC | +5.81 | % | +5.60 | % | +5.12 | % | ||||||
Class 529-E shares*†— first sold 3/7/02 | +6.36 | % | +6.14 | % | +5.70 | % | ||||||
Class 529-F shares*†— first sold 9/26/02 | ||||||||||||
Not reflecting annual asset-based fee charged by sponsoring firm | +6.88 | % | — | +6.67 | % | |||||||
*These shares are sold without any initial or contingent deferred sales charge.
†Results shown do not reflect the $10 initial account setup fee and an annual $10 account maintenance fee.
The fund’s investment adviser waived 5% of its management fees from September 1, 2004, through March 31, 2005, and increased it to 10% on April 1, 2005. Fund results shown reflect the waiver, without which they would have been lower. Please see the Financial Highlights table on pages 26 to 29 for details that include expense ratios for all share classes.
For information regarding the differences among the various share classes, please refer to the fund’s prospectus.
Summary investment portfolio June 30, 2007
unaudited
The following summary investment portfolio is designed to streamline the report and help investors better focus on a fund’s principal holdings. For details on how to obtain a complete schedule of portfolio holdings, please see the inside back cover.
[pie chart] | |||
Mortgage-backed obligations | 24.3% | ||
U.S. government & government agency bonds & notes | 13.6 | ||
Non-U.S. government & government agency bonds & notes | 6.7% | ||
Asset-backed obligations | 5.8 | ||
Preferred securities | 3.8 | ||
Municipals | 0.3 | ||
Convertible securities | 0.2 | ||
Common stocks & warrants | 0.4 | ||
Corporate bonds & notes | 39.5 | ||
Short-term securities & other assets less liabilities | 5.4 | ||
[end pie chart] | |||
Principal | Market | Percent | |
amount | value | of net | |
Bonds & notes - 90.32% | (000) | (000) | assets |
Corporate bonds & notes - 39.53% | |||
Financials - 17.15% | |||
Residential Capital Corp.: | |||
6.50% 2013 | $ 94,000 | $ 90,966 | |
6.00%-7.187% 2009-2015 (1) (2) | 137,125 | 135,529 | |
General Motors Acceptance Corp. 5.85%-7.75% 2009-2014 (2) | 225,185 | 223,050 | 1.39% |
Washington Mutual Preferred Funding I Ltd., Series A-1, 6.534% (undated) (1) (2) | 120,500 | 116,704 | |
Washington Mutual Preferred Funding II Ltd. 6.665% (undated) (1) (2) | 74,800 | 71,530 | |
Washington Mutual Preferred Funding III Ltd. 6.895% (undated) (1) (2) | 64,600 | 63,774 | |
Washington Mutual, Inc. 5.00%-6.75% 2012-2036 (2) | 60,000 | 59,385 | |
Washington Mutual Bank 5.78% 2013 (2) | 47,000 | 47,067 | |
Washington Mutual Bank, FA 5.125%-5.65% 2013-2015 | 25,500 | 24,437 | 1.19 |
International Lease Finance Corp. 3.50%-5.875% 2008-2014 | 130,500 | 128,874 | |
American General Finance Corp. 5.40%-5.85% 2011-2015 (2) | 77,500 | 77,139 | |
ILFC E-Capital Trust II 6.25% 2065 (1) (2) | 42,460 | 41,480 | |
AIG SunAmerica Global Financing VII 5.85% 2008 (1) | 24,250 | 24,357 | |
American International Group, Inc., Series A-1, 6.25% 2087 (2) | 23,720 | 22,501 | |
American General Capital I 6.00% 2067 (1) (2) | 10,500 | 10,059 | |
ASIF Global Financing XVIII 3.85% 2007 (1) | 5,785 | 5,751 | |
American International Group, Inc. 5.00% 2023 | £ 400 | 716 | .97 |
J.P. Morgan Chase & Co. 4.00%-6.75% 2008-2015 (2) | $ 100,840 | 99,420 | |
JPMorgan Chase Capital XXI, Series U, 6.305% 2037 (2) | 30,000 | 29,742 | |
JPMorgan Chase Capital XX, Series T, 6.55% 2066 | 27,670 | 26,732 | |
JPMorgan Chase Capital XVIII, Series R, 6.95% 2066 | 17,400 | 17,643 | |
Bank One Corp. 4.90% 2015 | 9,000 | 8,527 | |
BANK ONE, Texas, NA 6.25% 2008 | 7,250 | 7,280 | .59 |
BNP Paribas 7.195% (undated) (1) (2) | 93,100 | 94,446 | .29 |
Other securities | 4,096,599 | 12.72 | |
5,523,708 | 17.15 | ||
Consumer discretionary - 5.36% | |||
Other securities | 1,727,457 | 5.36 | |
Industrials - 3.88% | |||
Other securities | 1,248,523 | 3.88 | |
Telecommunication services - 3.65% | |||
SBC Communications Inc. 4.125%-6.45% 2009-2034 | 136,582 | 134,862 | |
AT&T Wireless Services, Inc.: | |||
7.875% 2011 | 28,855 | 31,049 | |
8.125% 2012 | 87,630 | 96,450 | |
BellSouth Corp. 4.75%-6.55% 2012-2034 | 74,760 | 72,636 | |
AT&T Corp. 7.30% 2011 (2) | 4,734 | 5,044 | |
AT&T Inc. 6.80% 2036 | 3,710 | 3,855 | |
BellSouth Capital Funding Corp. 7.875% 2030 | 1,500 | 1,698 | 1.07 |
Verizon Communications Inc. 5.50% 2017 | 96,265 | 92,950 | .29 |
France Télécom 7.75% 2011 (2) | 85,050 | 90,938 | .28 |
Other securities | 646,604 | 2.01 | |
1,176,086 | 3.65 | ||
Energy - 2.97% | |||
Gaz Capital SA 6.51% 2022 (1) | 99,010 | 97,970 | .30 |
TransCanada PipeLines Ltd. 6.35% 2067 (2) | 84,115 | 81,010 | .25 |
Other securities | 775,698 | 2.42 | |
954,678 | 2.97 | ||
Utilities - 2.21% | |||
Other securities | 710,634 | 2.21 | |
Other corporate bonds & notes - 4.31% | |||
Other securities | 1,388,254 | 4.31 | |
Total corporate bonds & notes | 12,729,340 | 39.53 | |
Mortgage-backed obligations (3) - 24.34% | |||
Fannie Mae: | |||
5.50% 2033 | 136,410 | 132,194 | |
5.50% 2037 | 114,021 | 109,981 | |
0%-12.00% 2009-2042 (2) | 1,918,199 | 1,869,758 | 6.56 |
Freddie Mac: | |||
6.00% 2027 | 241,315 | 240,202 | |
6.00% 2037 | 317,795 | 314,344 | |
0%-11.00% 2007-2037 (2) | 962,232 | 933,155 | 4.62 |
CS First Boston Mortgage Securities Corp. 0%- 8.067% 2018-2041 (1) (2) | 504,482 | 484,278 | 1.50 |
Countrywide Alternative Loan Trust, 4.75%-6.029% 2019-2036 (2) | 356,132 | 351,873 | 1.09 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046 | 91,455 | 89,672 | .28 |
Wells Fargo Mortgage-backed Securities Trust Series 2005-1, Class I-A-1, 4.75% 2020 | 86,868 | 82,609 | .26 |
Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class III-A-1, 6.25% 2037 | 81,750 | 80,990 | .25 |
Other securities | 3,151,252 | 9.78 | |
7,840,308 | 24.34 | ||
U.S. government & government agency bonds & notes - 13.65% | |||
U.S. Treasury: | |||
4.50% 2011 | 365,486 | 359,375 | |
4.875% 2012 | 105,490 | 105,367 | |
3.625% 2013 | 100,000 | 93,469 | |
4.25% 2013 | 895,150 | 864,375 | |
11.25% 2015 | 160,000 | 222,512 | |
4.50% 2016 | 744,930 | 717,867 | |
8.875% 2017 | 80,000 | 103,662 | |
6.875% 2025 | 129,700 | 154,587 | |
4.50% 2036 | 247,383 | 224,035 | |
0%-12.00% 2007-2037 (4) (5) | 532,848 | 492,929 | 10.37 |
Federal Home Loan Bank: | |||
3.375% 2008 | 93,250 | 92,132 | |
4.875% 2008 | 139,750 | 139,331 | |
3.70%-5.625% 2007-2016 (2) | 167,885 | 167,714 | 1.24 |
Fannie Mae: | |||
4.25% 2007 | 198,446 | 198,384 | |
4.125%-5.25% 2007- 2014 | 193,260 | 191,282 | 1.21 |
Freddie Mac: | |||
5.25% 2011 | 90,000 | 89,995 | |
4.00%-4.50% 2007-2014 | 93,315 | 91,382 | .56 |
Other securities | 86,592 | .27 | |
4,394,990 | 13.65 | ||
Non-U.S. government & government agency bonds & notes - 6.67% | |||
Japanese Government 0.90% 2008 | ¥ 17,679,050 | 143,496 | .45 |
Israeli Government 7.50% 2014 | ILS 539,902 | 142,317 | .44 |
South Korean Government 5.25% 2015 | KRW 109,531,970 | 116,662 | .36 |
Hungarian Government 7.25% 2012 | HUF 16,853,240 | 94,256 | .29 |
Singapore (Republic of) 3.125% 2011 | S$ 131,540 | 87,658 | .27 |
Canadian Government 4.25% 2026 (2) (4) | C$ 66,703 | 83,732 | .26 |
German Government 4.50% 2009 | € 59,040 | 79,933 | .25 |
Other securities | 1,398,729 | 4.35 | |
2,146,783 | 6.67 | ||
Asset-backed obligations (3) - 5.81% | |||
Residential Funding Mortgage Securities II, Inc., Series 2007-HSA2, Class A-1F, MBIA insured, 8.47% 2037 (2) | $ 84,430 | 85,591 | .27 |
Other securities | 1,786,710 | 5.54 | |
1,872,301 | 5.81 | ||
Municipals - 0.32% | |||
Other securities | 104,370 | .32 | |
Total bonds & notes (cost: $29,174,835,000) | 29,088,092 | 90.32 | |
Convertible securities - 0.15% | Shares | ||
Financials - 0.03% | |||
Fannie Mae, Series 2004-1, 5.375% convertible preferred | 95 | 9,429 | .03 |
Other - 0.12% | |||
Other securities | 39,514 | .12 | |
Total convertible securities (cost: $37,494,000) | 48,943 | .15 | |
Preferred securities - 3.78% | |||
Financials - 3.76% | |||
Fuji JGB Investment LLC, Series A, 9.87% noncumulative (1) (2) | 121,238,000 | 126,059 | .39 |
Sumitomo Mitsui Banking Corp. 6.078% (1) (2) | 119,258,000 | 115,324 | .36 |
MUFG Capital Finance 1 Ltd. 6.346% noncumulative (2) | 97,323,000 | 95,384 | .30 |
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up (1) (2) | 71,250,000 | 78,730 | .24 |
Fannie Mae: | |||
Series O, 7.495% (1) (2) | 900,000 | 46,884 | |
Series E, 5.10% | 150,000 | 6,528 | .17 |
Freddie Mac: | |||
5.57% | 830,000 | 19,640 | |
Series U, 5.90% | 500,000 | 12,625 | .10 |
Other securities | 710,632 | 2.20 | |
1,211,806 | 3.76 | ||
Other - 0.02% | |||
Other securities | 5,418 | .02 | |
Total preferred securities (cost: $1,160,585,000) | 1,217,224 | 3.78 | |
Common stocks - 0.37% | |||
Other - 0.26% | |||
Other securities | 88,502 | .26 | |
Miscellaneous - 0.11% | |||
Other common stocks in initial period of acquisition | 32,125 | .11 | |
Total common stocks (cost: $81,729,000) | 120,627 | .37 | |
Warrants - 0.00% | |||
Telecommunication services - 0.00% | |||
Other securities | 17 | .00 | |
Total warrants (cost: $143,000) | 17 | .00 | |
Principal | |||
amount | |||
Short-term securities - 5.62% | (000) | ||
CAFCO, LLC 5.25%-5.27% due 7/6-8/17/2007 (1) (5) | $ 206,400 | 205,481 | .64 |
Procter & Gamble International Funding S.C.A. 5.21%-5.24% due 8/6-9/14/2007 (1) (5) | 176,723 | 175,160 | .54 |
Clipper Receivables Co., LLC 5.24%-5.26% due 7/23-8/13/2007 (1) (5) | 159,600 | 158,791 | .49 |
Bank of America Corp. 5.235%-5.245% due 7/27-8/14/2007 (5) | 88,500 | 88,029 | |
Ranger Funding Co. LLC 5.25%-5.27% due 8/8-8/28/2007 (1) (5) | 50,000 | 49,667 | .43 |
Wal-Mart Stores Inc. 5.18%-5.20% due 7/24-9/18/2007 (1) (5) | 138,500 | 137,418 | .43 |
JPMorgan Chase & Co. 5.24% due 8/2/2007 (5) | 50,000 | 49,759 | |
Jupiter Securitization Co., LLC 5.24%-5.35% due 7/2-7/12/2007 (1) | 46,924 | 46,881 | |
Park Avenue Receivables Co., LLC 5.24% due 7/16/2007 (1) | 38,200 | 38,111 | .42 |
Three Pillars Funding, LLC 5.26%-5.37% due 7/2-7/10/2007 (1) | 125,200 | 125,039 | .39 |
Honeywell International Inc. 5.19%-5.22% due 7/23-8/16/2007 (1) (5) | 105,900 | 105,427 | .33 |
Coca-Cola Co. 5.19%-5.22% due 7/18/2007 (1) | 59,400 | 59,249 | |
Atlantic Industries 5.24% due 7/30/2007 (1) | 34,410 | 34,260 | .29 |
Johnson & Johnson 5.19%-5.23% due 8/8-9/24/2007 (1) (5) | 80,000 | 79,260 | .25 |
Federal Home Loan Bank 5.115% due 7/20/2007 | 50,000 | 49,864 | .15 |
International Lease Finance Corp. 5.21% due 7/10/2007 | 30,300 | 30,256 | .09 |
Other securities | 375,269 | 1.17 | |
Total short-term securities (cost: $1,807,801,000) | 1,807,921 | 5.62 | |
Total investment securities (cost: $32,262,587,000) | 32,282,824 | 100.24 | |
Other assets less liabilities | (76,485) | (.24) | |
Net assets | $32,206,339 | 100.00% | |
"Miscellaneous" securities include holdings in their initial period of acquisition that have not previously been publicly disclosed. | |||
"Other securities" includes all issues that are not disclosed separately in the summary investment portfolio. |
Investments in affiliates | ||||||||||||||||||||||||
A company is considered to be an affiliate of the fund under the Investment Company Act of 1940 if the fund's holdings in that company represent 5% or more of the outstanding voting shares of that company. The market value of the fund's holdings in affiliated companies is included in "Other securities" under their respective industry sectors in the preceding summary investment portfolio. Further details on these holdings and related transactions during the six months ended June 30, 2007, appear below. | ||||||||||||||||||||||||
Market value | ||||||||||||||||||||||||
Dividend | of affiliates | |||||||||||||||||||||||
income | at 6/30/07 | |||||||||||||||||||||||
Company | Beginning shares | Purchases | Sales | Ending shares | (000 | ) | (000 | ) | ||||||||||||||||
ZiLOG, Inc. (6) | 879,000 | - | - | 879,000 | - | $ | 4,509 | |||||||||||||||||
Clarent Hospital Corp. (6) (7) | 331,291 | - | - | 331,291 | - | 33 | ||||||||||||||||||
- | $ | 4,542 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item. |
(1) Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public |
may require registration. The total value of all such restricted securities, including those in "Other securities" in the |
summary investment portfolio, was $7,146,317,000, which represented 22.19% of the net assets of the fund. |
(2) Coupon rate may change periodically. |
(3) Principal payments may be made periodically. Therefore, the effective maturity date may be |
earlier than the stated maturity date. |
(4) Index-linked bond whose principal amount moves with a government retail price index. |
(5) This security, or a portion of this security, has been segregated to cover funding requirements |
on investment transactions settling in the future. |
(6) Security did not produce income during the last 12 months. |
(7) Valued under fair value procedures adopted by authority of the board of directors. The total value of all such securities, |
including those in “Miscellaneous” and “Other securities,” was $22,486,000. |
See Notes to Financial Statements |
Financial statements | ||||
Statement of assets and liabilities at June 30, 2007 | unaudited | |||
(dollars and shares in thousands, except per-share amounts) | ||||
Assets: | ||||
Investment securities at market: | ||||
Unaffiliated issuers (cost: $32,246,635) | $32,278,282 | |||
Affiliated issuers (cost: $15,952) | 4,542 | $32,282,824 | ||
Cash | 14,270 | |||
Receivables for: | ||||
Sales of investments | 453,474 | |||
Sales of fund's shares | 124,488 | |||
Open forward currency contracts | 29 | |||
Closed forward currency contracts | 1,148 | |||
Dividends and interest | 370,640 | 949,779 | ||
33,246,873 | ||||
Liabilities: | ||||
Payables for: | ||||
Purchases of investments | 955,735 | |||
Repurchases of fund's shares | 43,525 | |||
Dividends on fund's shares | 22,186 | |||
Open forward currency contracts | 117 | |||
Investment advisory services | 5,804 | |||
Services provided by affiliates | 12,083 | |||
Deferred directors' compensation | 523 | |||
Other | 561 | 1,040,534 | ||
Net assets at June 30, 2007 | $32,206,339 | |||
Net assets consist of: | ||||
Capital paid in on shares of capital stock | $32,588,820 | |||
Undistributed net investment income | 88,490 | |||
Accumulated net realized loss | (491,821) | |||
Net unrealized appreciation | 20,850 | |||
Net assets at June 30, 2007 | $32,206,339 | |||
Total authorized capital stock - 5,000,000 shares, $.001 par value (2,441,747 total shares outstanding) | ||||
Net assets | Shares outstanding | Net asset value per share* | ||
Class A | $23,053,671 | 1,747,831 | $13.19 | |
Class B | 1,499,456 | 113,683 | 13.19 | |
Class C | 2,218,327 | 168,185 | 13.19 | |
Class F | 2,349,010 | 178,092 | 13.19 | |
Class 529-A | 462,555 | 35,069 | 13.19 | |
Class 529-B | 73,640 | 5,583 | 13.19 | |
Class 529-C | 211,392 | 16,027 | 13.19 | |
Class 529-E | 24,710 | 1,873 | 13.19 | |
Class 529-F | 18,785 | 1,424 | 13.19 | |
Class R-1 | 46,391 | 3,516 | 13.19 | |
Class R-2 | 588,587 | 44,624 | 13.19 | |
Class R-3 | 757,697 | 57,445 | 13.19 | |
Class R-4 | 451,024 | 34,195 | 13.19 | |
Class R-5 | 451,094 | 34,200 | 13.19 | |
(*) Maximum offering price and redemption price per share were equal to the net asset value per share for all share classes, except for Class A and 529-A, for which the maximum offering prices per share were $13.70 each. | ||||
See Notes to Financial Statements | ||||
Statement of operations | unaudited | |||
for the six months ended June 30, 2007 | (dollars in thousands) | |||
Investment income: | ||||
Income: | ||||
Interest (net of non-U.S. taxes of $537) | $849,091 | |||
Dividends | 13,173 | $862,264 | ||
Fees and expenses(*): | ||||
Investment advisory services | 36,889 | |||
Distribution services | 53,371 | |||
Transfer agent services | 13,112 | |||
Administrative services | 6,030 | |||
Reports to shareholders | 719 | |||
Registration statement and prospectus | 1,213 | |||
Postage, stationery and supplies | 1,640 | |||
Directors' compensation | 155 | |||
Auditing and legal | 14 | |||
Custodian | 688 | |||
State and local taxes | 206 | |||
Other | 142 | |||
Total fees and expenses before reimbursements/waivers | 114,179 | |||
Less reimbursements/waivers of fees and expenses: | ||||
Investment advisory services | 3,739 | |||
Administrative services | 249 | |||
Total fees and expenses after reimbursements/waivers | 110,191 | |||
Net investment income | 752,073 | |||
Net realized gain and unrealized depreciation on investments | ||||
and non-U.S. currency: | ||||
Net realized gain on: | ||||
Investments | 44,074 | |||
Non-U.S. currency transactions | 4,697 | 48,771 | ||
Net unrealized depreciation on: | ||||
Investments | (443,494) | |||
Non-U.S. currency translations | (835) | (444,329) | ||
Net realized gain and unrealized depreciation | ||||
on investments and non-U.S. currency | (395,558) | |||
Net increase in net assets resulting from operations | $356,515 | |||
(*) Additional information related to class-specific fees and expenses is included in the Notes to Financial Statements. | ||||
See Notes to Financial Statements | ||||
Statements of changes in net assets | (dollars in thousands) | |||
Six months | Year ended | |||
ended June 30, | December 31, | |||
2007* | 2006 | |||
Operations: | ||||
Net investment income | $752,073 | $1,234,916 | ||
Net realized gain (loss) on investments and non-U.S. currency transactions | 48,771 | (87,674) | ||
Net unrealized (depreciation) appreciation on investments and non-U.S. currency translations | (444,329) | 264,345 | ||
Net increase in net assets resulting from operations | 356,515 | 1,411,587 | ||
Dividends paid or accrued to shareholders from net investment income and | ||||
non-U.S. currency gain | (672,665) | (1,214,994) | ||
Net capital share transactions | 4,514,689 | 4,835,584 | ||
Total increase in net assets | 4,198,539 | 5,032,177 | ||
Net assets: | ||||
Beginning of period | 28,007,800 | 22,975,623 | ||
End of period (including undistributed net investment income: | ||||
$88,490 and $9,082, respectively) | $32,206,339 | $28,007,800 | ||
*Unaudited. | ||||
See Notes to Financial Statements |
Notes to financial statements | unaudited |
1. | Organization and significant accounting policies |
Organization– The Bond Fund of America, Inc. (the "fund") is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company. The fund seeks as high a level of current income as is consistent with preservation of capital through a diversified portfolio of bonds and other fixed-income obligations.
The fund offers 14 share classes consisting of four retail share classes, five 529 college savings plan share classes and five retirement plan share classes. The 529 college savings plan share classes (529-A, 529-B, 529-C, 529-E and 529-F) can be utilized to save for college education. The five retirement plan share classes (R-1, R-2, R-3, R-4 and R-5) are sold without any sales charges and do not carry any conversion rights. The fund’s share classes are described below:
Share class | Initial sales charge | Contingent deferred sales charge upon redemption | Conversion feature |
Class A and 529-A | Up to 3.75% | None (except 1% for certain redemptions within one year of purchase without an initial sales charge) | None |
Class B and 529-B | None | Declines from 5% to 0% for redemptions within six years of purchase | Class B and 529-B convert to Class A and 529-A, respectively, after eight years |
Class C | None | 1% for redemptions within one year of purchase | Class C converts to Class F after 10 years |
Class 529-C | None | 1% for redemptions within one year of purchase | None |
Class 529-E | None | None | None |
Class F and 529-F | None | None | None |
Class R-1, R-2, R-3, R-4 and R-5 | None | None | None |
Holders of all share classes have equal pro rata rights to assets, dividends and liquidation proceeds. Each share class has identical voting rights, except for the exclusive right to vote on matters affecting only its class. Share classes have different fees and expenses ("class-specific fees and expenses"), primarily due to different arrangements for distribution, administrative and shareholder services. Differences in class-specific fees and expenses will result in differences in net investment income and, therefore, the payment of different per-share dividends by each class.
Significant accounting policies– The financial statements have been prepared to comply with accounting principles generally accepted in the United States of America. These principles require management to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. The following is a summary of the significant accounting policies followed by the fund:
Security valuation– Equity securities are valued at the official closing price of, or the last reported sale price on, the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price. Prices for each security are taken from the principal exchange or market in which the security trades. Fixed-income securities, including short-term securities purchased with more than 60 days left to maturity, are valued at prices obtained from an independent pricing service when such prices are available. However, where the investment adviser deems it appropriate, such securities will be valued at the mean quoted bid and asked prices (or bid prices, if asked prices are not available) or at prices for securities of comparable maturity, quality and type. Securities with both fixed-income and equity characteristics, or equity securities traded principally among fixed-income dealers, are valued in the manner described above for either equity or fixed-income securities, depending on which method is deemed most appropriate by the investment adviser. Short-term securities purchased within 60 days to maturity are valued at amortized cost, which approximates market value. The value of short-term securities originally purchased with maturities greater than 60 days is determined based on an amortized value to par when they reach 60 days or less remaining to maturity. The ability of the issuers of the debt securities held by the fund to meet their obligations may be affected by economic developments in a specific industry, state or region. Forward currency contracts are valued at the mean of representative quoted bid and asked prices.
Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the investment adviser are fair valued as determined in good faith under procedures adopted by authority of the fund's board of directors. Various factors may be reviewed in order to make a good faith determination of a security’s fair value. These factors include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions.
Security transactions and related investment income– Security transactions are recorded by the fund as of the date the trades are executed with brokers. Realized gains and losses from security transactions are determined based on the specific identified cost of the securities. In the event a security is purchased with a delayed payment date, the fund will segregate liquid assets sufficient to meet its payment obligations. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Market discounts, premiums and original issue discounts on fixed-income securities are amortized daily over the expected life of the security.
Class allocations – Income, fees and expenses (other than class-specific fees and expenses) are allocated daily among the various share classes based on the relative value of their settled shares. Realized and unrealized gains and losses are allocated daily among the various share classes based on their relative net assets. Class-specific fees and expenses, such as distribution, administrative and shareholder services, are charged directly to the respective share class.
Dividends and distributions to shareholders– Dividends paid to shareholders are declared daily from net investment income and are paid to shareholders monthly. Distributions paid to shareholders are recorded on the ex-dividend date.
Non-U.S. currency translation– Assets and liabilities, including investment securities, denominated in non-U.S. currencies are translated into U.S. dollars at the exchange rates in effect on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. In the accompanying financial statements, the effects of changes in non-U.S. exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in non-U.S. currencies are disclosed separately.
Forward currency contracts– The fund may enter into forward currency contracts, which represent agreements to exchange non-U.S. currencies on specific future dates at predetermined rates. The fund enters into these contracts to manage its exposure to changes in non-U.S. exchange rates arising from investments denominated in non-U.S. currencies. Upon entering into these contracts, risks may arise from the potential inability of counterparties to meet the terms of their contracts and from possible movements in non-U.S. exchange rates. Due to these risks, the fund could incur losses up to the entire contract amount, which may exceed the net unrealized value shown on the accompanying financial statements. On a daily basis, the fund values forward currency contracts based on the applicable exchange rates and records unrealized gains or losses. The fund records realized gains or losses at the time the forward contract is closed or offset by another contract with the same broker for the same settlement date and currency.
Mortgage dollar rolls – The fund may enter into mortgage dollar roll transactions in which the fund sells a mortgage-backed security to a counterparty and simultaneously enters into an agreement with the same counterparty to buy back a similar security on a specific future date at a predetermined price. Each mortgage dollar roll is treated as a financing transaction; therefore, any gain or loss is considered unrealized until the roll reaches completion. Risks may arise due to the delayed payment date and the potential inability of counterparties to complete the transaction. Income is generated as consideration for entering into these transactions and is included in interest income on the accompanying financial statements.
Loan transactions– The fund may enter into loan transactions in which the fund acquires a loan either through an agent, by assignment from another holder, or as a participation interest in another holder's portion of a loan. The loan is often administered by a financial institution that acts as agent for the holders of the loan, and the fund may be required to receive approval from the agent and/or borrower prior to the sale of the investment. The loan's interest rate and maturity date may change based on the terms of the loan, including potential early payments of principal. Risks may arise due to the delayed settlement date of the loan transaction and the ability of the agent and/or the borrower to meet the obligations of the loan.
2. | Non-U.S. investments |
Investment risk – The risks of investing in securities of non-U.S. issuers may include, but are not limited to, investment and repatriation restrictions; revaluation of currencies; adverse political, social and economic developments; government involvement in the private sector; limited and less reliable investor information; lack of liquidity; certain local tax law considerations; and limited regulation of the securities markets.
Taxation– Dividend and interest income is recorded net of non-U.S. taxes paid. Realized and unrealized gains on securities in certain countries are subject to non-U.S. taxes. The fund records a liability based on realized and unrealized gains to provide for potential non-U.S. taxes payable on these securities. For the six months ended June 30, 2007, there were no non-U.S. taxes recorded based on realized and unrealized gains.
3. Federal income taxation and distributions
The fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its net taxable income and net capital gains each year. The fund is not subject to income taxes to the extent such distributions are made. Therefore, no federal income tax provision is required.
The fund adopted the provisions of Financial Accounting Standards Board Interpretation No. 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes, on June 29, 2007. The implementation of FIN 48 resulted in no material liability for unrecognized tax benefits and no material change to the beginning net asset value of the fund.
As of and during the period ended June 30, 2007, the fund did not have a liability for any unrecognized tax benefits. The fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the fund did not incur any interest or penalties.
The fund is not subject to examination by U.S. federal tax authorities for tax years before 2003, by state tax authorities for tax years before 2002 and by non-U.S. tax authorities for tax years before 2005.
Distributions– Distributions paid to shareholders are based on net investment income and net realized gains determined on a tax basis, which may differ from net investment income and net realized gains for financial reporting purposes. These differences are due primarily to differing treatment for items such as non-U.S. currency gains and losses; short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase; unrealized appreciation of certain investments in non-U.S. securities; cost of investments sold; and net capital losses. The fiscal year in which amounts are distributed may differ from the year in which the net investment income and net realized gains are recorded by the fund for financial reporting purposes.
The components of distributable earnings on a tax basis are reported as of the fund’s most recent year-end. As of December 31, 2006, the components of distributable earnings on a tax basis were as follows:
(dollars in thousands) | ||||
Undistributed ordinary income | $19,605 | |||
Capital loss carryforwards*: | ||||
Expiring 2010 | $(183,032) | |||
Expiring 2011 | (243,982) | |||
Expiring 2014 | (69,196) | (496,210) | ||
*The capital loss carryforwards will be used to offset any capital gains realized by the fund in the current year or in subsequent years through the expiration dates. The fund will not make distributions from capital gains while capital loss carryforwards remain. |
As of June 30, 2007, the tax basis unrealized appreciation (depreciation) and cost of investments were as follows:
(dollars in thousands) | |||
Gross unrealized appreciation on investment securities | $411,044 | ||
Gross unrealized depreciation on investment securities | (458,929) | ||
Net unrealized depreciation on investment securities | (47,885) | ||
Cost of investment securities | 32,330,709 |
Ordinary income distributions paid or accrued to shareholders from net investment income and non-U.S. currency gain were as follows (dollars in thousands):
Share class | Six months ended June 30, 2007 | Year ended December 31, 2006 | ||||||
Class A | $ | 500,679 | $ | 941,317 | ||||
Class B | 28,441 | 59,893 | ||||||
Class C | 38,464 | 66,720 | ||||||
Class F | 45,532 | 55,145 | ||||||
Class 529-A | 9,650 | 16,173 | ||||||
Class 529-B | 1,328 | 2,569 | ||||||
Class 529-C | 3,570 | 5,889 | ||||||
Class 529-E | 486 | 840 | ||||||
Class 529-F | 393 | 550 | ||||||
Class R-1 | 722 | 943 | ||||||
Class R-2 | 10,401 | 17,973 | ||||||
Class R-3 | 14,405 | 21,268 | ||||||
Class R-4 | 9,004 | 12,290 | ||||||
Class R-5 | 9,590 | 13,424 | ||||||
Total | $ | 672,665 | $ | 1,214,994 |
4. Fees and transactions with related parties
Capital Research and Management Company ("CRMC"), the fund’s investment adviser, is the parent company of American Funds Service Company SM ("AFS"), the fund’s transfer agent, and American Funds Distributors, SM Inc. ("AFD"), the principal underwriter of the fund’s shares.
Investment advisory services– The Investment Advisory and Service Agreement with CRMC provides for monthly fees accrued daily. These fees are based on a declining series of annual rates beginning with 0.30% on the first $60 million of daily net assets and decreasing to 0.12% on such assets in excess of $20 billion. The agreement also provides for monthly fees, accrued daily, based on a declining series of rates beginning with 2.25% on the first $8,333,333 of the fund's monthly gross income and decreasing to 1.75% on such income in excess of $41,666,667. During the six months ended June 30, 2007, CRMC reduced investment advisory service rates to a proposed rate that would continue the series of rates to include an additional annual rate of 0.115% on daily net assets in excess of $28 billion. CRMC is currently waiving 10% of investment advisory services fees. During the six months ended June 30, 2007, total investment advisory services fees waived by CRMC were $3,739,000. As a result, the fee shown on the accompanying financial statements of $36,889,000, which was equivalent to an annualized rate of 0.246%, was reduced to $33,150,000, or 0.221% of average daily net assets.
Class-specific fees and expenses – Expenses that are specific to individual share classes are accrued directly to the respective share class. The principal class-specific fees and expenses are described below:
Distribution services – The fund has adopted plans of distribution for all share classes, except Class R-5. Under the plans, the board of directors approves certain categories of expenses that are used to finance activities primarily intended to sell fund shares and service existing accounts. The plans provide for payments, based on an annualized percentage of average daily net assets, ranging from 0.25% to 1.00% as noted below. In some cases, the board of directors has limited the amounts that may be paid to less than the maximum allowed by the plans. All share classes may use up to 0.25% of average daily net assets to pay service fees, or to compensate AFD for paying service fees, to firms that have entered into agreements with AFD to provide certain shareholder services. The remaining amounts available to be paid under each plan are paid to dealers to compensate them for their sales activities.
For Class A and 529-A, the board of directors has also approved the reimbursement of dealer and wholesaler commissions paid by AFD for certain shares sold without a sales charge. These classes reimburse AFD for amounts billed within the prior 15 months but only to the extent that the overall annual expense limit of 0.25% is not exceeded. As of June 30, 2007, unreimbursed expenses subject to reimbursement totaled $8,862,000 for Class A. There were no unreimbursed expenses subject to reimbursement for Class 529-A.
Share class | Currently approved limits | Plan limits |
Class A | 0.25% | 0.25% |
Class 529-A | 0.25 | 0.50 |
Class B and 529-B | 1.00 | 1.00 |
Class C, 529-C and R-1 | 1.00 | 1.00 |
Class R-2 | 0.75 | 1.00 |
Class 529-E and R-3 | 0.50 | 0.75 |
Class F, 529-F and R-4 | 0.25 | 0.50 |
Transfer agent services– The fund has a transfer agent agreement with AFS for Class A and B. Under this agreement, these share classes compensate AFS for transfer agent services including shareholder recordkeeping, communications and transaction processing. AFS is also compensated for certain transfer agent services provided to all other share classes from the administrative services fees paid to CRMC described on the following page.
Administrative services – The fund has an administrative services agreement with CRMC to provide transfer agent and other related shareholder services for all share classes other than Class A and B. Each relevant share class pays CRMC annual fees up to 0.15% (0.10% for Class R-5) based on its respective average daily net assets. Each relevant share class also pays AFS additional amounts for certain transfer agent services. CRMC and AFS may use these fees to compensate third parties for performing these services. CRMC has agreed to pay AFS on the fund's behalf for a portion of the transfer agent services fees for some of the retirement plan share classes. For the six months ended June 30, 2007, the total administrative services fees paid by CRMC were $1,000 and $248,000 for Class R-1 and R-2, respectively. Administrative services fees are presented gross of any payments made by CRMC. Each 529 share class is subject to an additional annual administrative services fee of 0.10% of its respective average daily net assets; this fee is payable to the Commonwealth of Virginia for the maintenance of the 529 college savings plan. Although these amounts are included with administrative services fees on the accompanying financial statements, the Commonwealth of Virginia is not considered a related party.
Expenses under the agreements described above for the six months ended June 30, 2007, were as follows (dollars in thousands):
Share class | Distribution services | Transfer agent services | Administrative services | ||
CRMC administrative services | Transfer agent services | Commonwealth of Virginia administrative services | |||
Class A | $27,200 | $12,326 | Not applicable | Not applicable | Not applicable |
Class B | 7,363 | 786 | Not applicable | Not applicable | Not applicable |
Class C | 10,124 | Included in administrative services | $1,444 | $195 | Not applicable |
Class F | 2,470 | 893 | 139 | Not applicable | |
Class 529-A | 455 | 219 | 35 | $213 | |
Class 529-B | 355 | 36 | 8 | 36 | |
Class 529-C | 950 | 98 | 20 | 95 | |
Class 529-E | 57 | 12 | 2 | 8 | |
Class 529-F | - | 9 | 2 | 11 | |
Class R-1 | 190 | 23 | 16 | Not applicable | |
Class R-2 | 2,036 | 373 | 973 | Not applicable | |
Class R-3 | 1,682 | 450 | 251 | Not applicable | |
Class R-4 | 489 | 262 | 14 | Not applicable | |
Class R-5 | Not applicable | 187 | 6 | Not applicable | |
Total | $53,371 | $13,112 | $4,006 | $1,661 | $363 |
Deferred directors’ compensation– Since the adoption of the deferred compensation plan in 1993, directors who are unaffiliated with CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the fund, are treated as if invested in shares of the fund or other American Funds. These amounts represent general, unsecured liabilities of the fund and vary according to the total returns of the selected funds. Directors’ compensation of $155,000, shown on the accompanying financial statements, includes $103,000 in current fees (either paid in cash or deferred) and a net increase of $52,000 in the value of the deferred amounts.
Affiliated officers and directors – Officers and certain directors of the fund are or may be considered to be affiliated with CRMC, AFS and AFD. No affiliated officers or directors received any compensation directly from the fund.
5. Capital share transactions
Capital share transactions in the fund were as follows (dollars and shares in thousands):
Share class | Sales* | Reinvestments of dividends | Repurchases* | Net increase | ||||||||||||||||||||||||||||
Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | |||||||||||||||||||||||||
Six months ended June 30, 2007 | ||||||||||||||||||||||||||||||||
Class A | $ | 3,936,078 | 295,053 | $ | 430,355 | 32,280 | $ | (1,757,529 | ) | (131,840 | ) | $ | 2,608,904 | 195,493 | ||||||||||||||||||
Class B | 142,760 | 10,696 | 23,477 | 1,761 | (110,665 | ) | (8,298 | ) | 55,572 | 4,159 | ||||||||||||||||||||||
Class C | 538,363 | 40,354 | 32,165 | 2,413 | (177,365 | ) | (13,302 | ) | 393,163 | 29,465 | ||||||||||||||||||||||
Class F | 942,701 | 70,681 | 36,067 | 2,706 | (216,760 | ) | (16,264 | ) | 762,008 | 57,123 | ||||||||||||||||||||||
Class 529-A | 84,749 | 6,354 | 9,310 | 698 | (14,829 | ) | (1,113 | ) | 79,230 | 5,939 | ||||||||||||||||||||||
Class 529-B | 6,772 | 508 | 1,283 | 96 | (2,291 | ) | (172 | ) | 5,764 | 432 | ||||||||||||||||||||||
Class 529-C | 48,472 | 3,634 | 3,439 | 258 | (8,161 | ) | (612 | ) | 43,750 | 3,280 | ||||||||||||||||||||||
Class 529-E | 4,272 | 320 | 469 | 35 | (787 | ) | (59 | ) | 3,954 | 296 | ||||||||||||||||||||||
Class 529-F | 4,680 | 351 | 378 | 28 | (613 | ) | (46 | ) | 4,445 | 333 | ||||||||||||||||||||||
Class R-1 | 22,353 | 1,676 | 684 | 51 | (5,373 | ) | (403 | ) | 17,664 | 1,324 | ||||||||||||||||||||||
Class R-2 | 165,021 | 12,376 | 9,983 | 749 | (80,184 | ) | (6,018 | ) | 94,820 | 7,107 | ||||||||||||||||||||||
Class R-3 | 285,161 | 21,377 | 13,834 | 1,038 | (103,937 | ) | (7,790 | ) | 195,058 | 14,625 | ||||||||||||||||||||||
Class R-4 | 173,452 | 13,006 | 8,669 | 650 | (51,449 | ) | (3,859 | ) | 130,672 | 9,797 | ||||||||||||||||||||||
Class R-5 | 144,513 | 10,834 | 8,054 | 604 | (32,882 | ) | (2,468 | ) | 119,685 | 8,970 | ||||||||||||||||||||||
Total net increase | ||||||||||||||||||||||||||||||||
(decrease) | $ | 6,499,347 | 487,220 | $ | 578,167 | 43,367 | $ | (2,562,825 | ) | (192,244 | ) | $ | 4,514,689 | 338,343 | ||||||||||||||||||
Year ended December 31, 2006 | ||||||||||||||||||||||||||||||||
Class A | $ | 5,447,659 | 413,075 | $ | 828,398 | 62,824 | $ | (3,488,816 | ) | (264,831 | ) | $ | 2,787,241 | 211,068 | ||||||||||||||||||
Class B | 211,762 | 16,071 | 50,434 | 3,825 | (228,925 | ) | (17,385 | ) | 33,271 | 2,511 | ||||||||||||||||||||||
Class C | 676,419 | 51,255 | 56,789 | 4,305 | (327,868 | ) | (24,894 | ) | 405,340 | 30,666 | ||||||||||||||||||||||
Class F | 981,606 | 74,277 | 44,262 | 3,353 | (228,643 | ) | (17,352 | ) | 797,225 | 60,278 | ||||||||||||||||||||||
Class 529-A | 124,278 | 9,418 | 16,139 | 1,224 | (28,777 | ) | (2,183 | ) | 111,640 | 8,459 | ||||||||||||||||||||||
Class 529-B | 11,920 | 903 | 2,563 | 195 | (4,252 | ) | (323 | ) | 10,231 | 775 | ||||||||||||||||||||||
Class 529-C | 58,933 | 4,463 | 5,874 | 445 | (17,057 | ) | (1,294 | ) | 47,750 | 3,614 | ||||||||||||||||||||||
Class 529-E | 6,627 | 502 | 837 | 64 | (1,969 | ) | (149 | ) | 5,495 | 417 | ||||||||||||||||||||||
Class 529-F | 7,487 | 568 | 549 | 42 | (945 | ) | (72 | ) | 7,091 | 538 | ||||||||||||||||||||||
Class R-1 | 16,185 | 1,224 | 931 | 71 | (5,750 | ) | (436 | ) | 11,366 | 859 | ||||||||||||||||||||||
Class R-2 | 228,880 | 17,369 | 17,884 | 1,355 | (102,796 | ) | (7,797 | ) | 143,968 | 10,927 | ||||||||||||||||||||||
Class R-3 | 295,955 | 22,433 | 21,159 | 1,604 | (112,658 | ) | (8,548 | ) | 204,456 | 15,489 | ||||||||||||||||||||||
Class R-4 | 187,503 | 14,206 | 12,269 | 929 | (58,770 | ) | (4,461 | ) | 141,002 | 10,674 | ||||||||||||||||||||||
Class R-5 | 171,087 | 12,937 | 11,226 | 851 | (52,805 | ) | (3,994 | ) | 129,508 | 9,794 | ||||||||||||||||||||||
Total net increase | ||||||||||||||||||||||||||||||||
(decrease) | $ | 8,426,301 | 638,701 | $ | 1,069,314 | 81,087 | $ | (4,660,031 | ) | (353,719 | ) | $ | 4,835,584 | 366,069 | ||||||||||||||||||
(*) Includes exchanges between share classes of the fund. |
6. Forward currency contracts
As of June 30, 2007, the fund had open forward currency contracts to purchase or sell non-U.S. currencies as follows (amounts in thousands):
Contract amount | U.S. valuations at June 30, 2007 | |||||||||||||||
Unrealized | ||||||||||||||||
appreciation | ||||||||||||||||
Non-U.S.currency contracts | Non-U.S. | U.S. | Amount | (depreciation) | ||||||||||||
Purchases: | ||||||||||||||||
Euros | ||||||||||||||||
expiring 9/25/2007 | € | 2,000 | $ | 2,686 | $ | 2,715 | $ | 29 | ||||||||
Sales: | ||||||||||||||||
Euros | ||||||||||||||||
expiring 8/14 to 9/20/2007 | € | 6,695 | 8,968 | 9,085 | (117 | ) | ||||||||||
Forward currency contracts - net | $ | (88 | ) |
7. Investment transactions
The fund made purchases and sales of investment securities, excluding short-term securities, of $11,418,603,000 and $6,618,116,000, respectively, during the six months ended June 30, 2007.
Financial highlights | (1) | ||||||||||||||||
Income from investment operations(2) | |||||||||||||||||
Net asset value, beginning of period | Net investment income | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Net asset value, end of period | Total return (3)(4) | Net assets, end of period (in millions) | Ratio of expenses to average net assets before reimbursements/ waivers | Ratio of expenses to average net assets after reimbursements/ waivers (4) | Ratio of net income to average net assets (4) | |||||||
Class A: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | $13.32 | $.34 | $(.17) | $.17 | $(.30) | $13.19 | 1.31% | $23,054 | .64% | (6) | .62% | (6) | 5.13% | (6) | ||
Year ended 12/31/2006 | 13.22 | .67 | .09 | .76 | (.66) | 13.32 | 5.88 | 20,670 | .65 | .62 | 5.07 | ||||||
Year ended 12/31/2005 | 13.65 | .62 | (.36) | .26 | (.69) | 13.22 | 1.94 | 17,738 | .65 | .62 | 4.60 | ||||||
Year ended 12/31/2004 | 13.51 | .61 | .16 | .77 | (.63) | 13.65 | 5.85 | 15,822 | .65 | .65 | 4.54 | ||||||
Year ended 12/31/2003 | 12.70 | .68 | .84 | 1.52 | (.71) | 13.51 | 12.22 | 13,991 | .67 | .67 | 5.15 | ||||||
Year ended 12/31/2002 | 12.79 | .82 | (.08) | .74 | (.83) | 12.70 | 6.11 | 12,600 | .71 | .71 | 6.59 | ||||||
Class B: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .29 | (.17) | .12 | (.25) | 13.19 | .94 | 1,499 | 1.39 | (6) | 1.36 | (6) | 4.40 | (6) | ||
Year ended 12/31/2006 | 13.22 | .57 | .09 | .66 | (.56) | 13.32 | 5.09 | 1,458 | 1.40 | 1.37 | 4.33 | ||||||
Year ended 12/31/2005 | 13.65 | .52 | (.36) | .16 | (.59) | 13.22 | 1.19 | 1,415 | 1.38 | 1.36 | 3.87 | ||||||
Year ended 12/31/2004 | 13.51 | .51 | .16 | .67 | (.53) | 13.65 | 5.07 | 1,394 | 1.39 | 1.38 | 3.80 | ||||||
Year ended 12/31/2003 | 12.70 | .58 | .84 | 1.42 | (.61) | 13.51 | 11.38 | 1,274 | 1.41 | 1.41 | 4.37 | ||||||
Year ended 12/31/2002 | 12.79 | .72 | (.08) | .64 | (.73) | 12.70 | 5.28 | 939 | 1.47 | 1.47 | 5.77 | ||||||
Class C: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .29 | (.17) | .12 | (.25) | 13.19 | .91 | 2,218 | 1.44 | (6) | 1.42 | (6) | 4.32 | (6) | ||
Year ended 12/31/2006 | 13.22 | .56 | .09 | .65 | (.55) | 13.32 | 5.04 | 1,847 | 1.45 | 1.42 | 4.27 | ||||||
Year ended 12/31/2005 | 13.65 | .51 | (.36) | .15 | (.58) | 13.22 | 1.12 | 1,429 | 1.44 | 1.42 | 3.81 | ||||||
Year ended 12/31/2004 | 13.51 | .50 | .16 | .66 | (.52) | 13.65 | 4.99 | 1,123 | 1.46 | 1.45 | 3.71 | ||||||
Year ended 12/31/2003 | 12.70 | .57 | .84 | 1.41 | (.60) | 13.51 | 11.29 | 848 | 1.49 | 1.49 | 4.26 | ||||||
Year ended 12/31/2002 | 12.79 | .71 | (.08) | .63 | (.72) | 12.70 | 5.20 | 554 | 1.55 | 1.55 | 5.66 | ||||||
Class F: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .34 | (.17) | .17 | (.30) | 13.19 | 1.31 | 2,349 | .62 | (6) | .60 | (6) | 5.12 | (6) | ||
Year ended 12/31/2006 | 13.22 | .67 | .09 | .76 | (.66) | 13.32 | 5.90 | 1,611 | .63 | .60 | 5.07 | ||||||
Year ended 12/31/2005 | 13.65 | .62 | (.36) | .26 | (.69) | 13.22 | 1.92 | 803 | .65 | .63 | 4.60 | ||||||
Year ended 12/31/2004 | 13.51 | .60 | .16 | .76 | (.62) | 13.65 | 5.80 | 487 | .70 | .69 | 4.46 | ||||||
Year ended 12/31/2003 | 12.70 | .67 | .84 | 1.51 | (.70) | 13.51 | 12.15 | 292 | .72 | .72 | 5.02 | ||||||
Year ended 12/31/2002 | 12.79 | .81 | (.08) | .73 | (.82) | 12.70 | 6.04 | 180 | .77 | .77 | 6.44 | ||||||
Class 529-A: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .34 | (.17) | .17 | (.30) | 13.19 | 1.27 | 462 | .71 | (6) | .69 | (6) | 5.07 | (6) | ||
Year ended 12/31/2006 | 13.22 | .66 | .09 | .75 | (.65) | 13.32 | 5.85 | 388 | .68 | .66 | 5.05 | ||||||
Year ended 12/31/2005 | 13.65 | .61 | (.36) | .25 | (.68) | 13.22 | 1.88 | 273 | .69 | .67 | 4.57 | ||||||
Year ended 12/31/2004 | 13.51 | .60 | .16 | .76 | (.62) | 13.65 | 5.80 | 187 | .70 | .70 | 4.48 | ||||||
Year ended 12/31/2003 | 12.70 | .67 | .84 | 1.51 | (.70) | 13.51 | 12.21 | 110 | .68 | .68 | 5.05 | ||||||
Period from 2/15/2002 to 12/31/2002 | 12.76 | .69 | (.04) | .65 | (.71) | 12.70 | 5.33 | 50 | .75 | (6) | .75 | (6) | 6.46 | (6) | |||
Class 529-B: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .29 | (.17) | .12 | (.25) | 13.19 | .88 | 74 | 1.50 | (6) | 1.48 | (6) | 4.28 | (6) | ||
Year ended 12/31/2006 | 13.22 | .55 | .09 | .64 | (.54) | 13.32 | 4.97 | 69 | 1.53 | 1.50 | 4.20 | ||||||
Year ended 12/31/2005 | 13.65 | .50 | (.36) | .14 | (.57) | 13.22 | 1.02 | 58 | 1.54 | 1.52 | 3.71 | ||||||
Year ended 12/31/2004 | 13.51 | .48 | .16 | .64 | (.50) | 13.65 | 4.86 | 49 | 1.59 | 1.58 | 3.60 | ||||||
Year ended 12/31/2003 | 12.70 | .55 | .84 | 1.39 | (.58) | 13.51 | 11.18 | 35 | 1.61 | 1.61 | 4.13 | ||||||
Period from 2/15/2002 to 12/31/2002 | 12.76 | .60 | (.04) | .56 | (.62) | 12.70 | 4.55 | 17 | 1.64 | (6) | 1.64 | (6) | 5.57 | (6) | |||
Class 529-C: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .29 | (.17) | .12 | (.25) | 13.19 | .88 | 211 | 1.50 | (6) | 1.48 | (6) | 4.28 | (6) | ||
Year ended 12/31/2006 | 13.22 | .55 | .09 | .64 | (.54) | 13.32 | 4.99 | 170 | 1.51 | 1.49 | 4.22 | ||||||
Year ended 12/31/2005 | 13.65 | .50 | (.36) | .14 | (.57) | 13.22 | 1.03 | 121 | 1.53 | 1.51 | 3.74 | ||||||
Year ended 12/31/2004 | 13.51 | .48 | .16 | .64 | (.50) | 13.65 | 4.88 | 86 | 1.57 | 1.57 | 3.61 | ||||||
Year ended 12/31/2003 | 12.70 | .55 | .84 | 1.39 | (.58) | 13.51 | 11.19 | 56 | 1.59 | 1.59 | 4.15 | ||||||
Period from 2/19/2002 to 12/31/2002 | 12.73 | .60 | (.02) | .58 | (.61) | 12.70 | 4.75 | 28 | 1.63 | (6) | 1.63 | (6) | 5.58 | (6) | |||
Class 529-E: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .32 | (.17) | .15 | (.28) | 13.19 | 1.13 | 25 | 1.00 | (6) | .97 | (6) | 4.79 | (6) | ||
Year ended 12/31/2006 | 13.22 | .62 | .09 | .71 | (.61) | 13.32 | 5.53 | 21 | .99 | .97 | 4.74 | ||||||
Year ended 12/31/2005 | 13.65 | .57 | (.36) | .21 | (.64) | 13.22 | 1.56 | 15 | 1.01 | .99 | 4.25 | ||||||
Year ended 12/31/2004 | 13.51 | .55 | .16 | .71 | (.57) | 13.65 | 5.43 | 11 | 1.05 | 1.05 | 4.13 | ||||||
Year ended 12/31/2003 | 12.70 | .62 | .84 | 1.46 | (.65) | 13.51 | 11.77 | 7 | 1.06 | 1.06 | 4.68 | ||||||
Period from 3/7/2002 to 12/31/2002 | 12.70 | .61 | .02 | .63 | (.63) | 12.70 | 5.14 | 3 | 1.13 | (6) | 1.13 | (6) | 6.06 | (6) | |||
Class 529-F: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | $13.32 | $.35 | $(.17) | $.18 | $(.31) | $13.19 | 1.38% | $19 | .50% | (6) | .48% | (6) | 5.29% | (6) | ||
Year ended 12/31/2006 | 13.22 | .69 | .09 | .78 | (.68) | 13.32 | 6.05 | 14 | .49 | .46 | 5.25 | ||||||
Year ended 12/31/2005 | 13.65 | .62 | (.36) | .26 | (.69) | 13.22 | 1.98 | 7 | .58 | .56 | 4.69 | ||||||
Year ended 12/31/2004 | 13.51 | .59 | .16 | .75 | (.61) | 13.65 | 5.69 | 4 | .80 | .80 | 4.36 | ||||||
Year ended 12/31/2003 | 12.70 | .64 | .84 | 1.48 | (.67) | 13.51 | 11.96 | 2 | .82 | .82 | 4.72 | ||||||
Period from 9/26/2002 to 12/31/2002 | 12.31 | .19 | .40 | .59 | (.20) | 12.70 | 4.81 | - | (7) | .30 | .30 | 1.51 | |||||
Class R-1: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .29 | (.17) | .12 | (.25) | 13.19 | .90 | 46 | 1.47 | (6) | 1.44 | (6) | 4.32 | (6) | ||
Year ended 12/31/2006 | 13.22 | .56 | .09 | .65 | (.55) | 13.32 | 5.05 | 29 | 1.49 | 1.42 | 4.28 | ||||||
Year ended 12/31/2005 | 13.65 | .51 | (.36) | .15 | (.58) | 13.22 | 1.11 | 18 | 1.51 | 1.43 | 3.82 | ||||||
Year ended 12/31/2004 | 13.51 | .50 | .16 | .66 | (.52) | 13.65 | 4.98 | 11 | 1.55 | 1.47 | 3.70 | ||||||
Year ended 12/31/2003 | 12.70 | .57 | .84 | 1.41 | (.60) | 13.51 | 11.29 | 5 | 1.65 | 1.49 | 4.13 | ||||||
Period from 6/11/2002 to 12/31/2002 | 12.65 | .38 | .06 | .44 | (.39) | 12.70 | 3.59 | 1 | 2.53 | (6) | 1.52 | (6) | 5.55 | (6) | |||
Class R-2: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .29 | (.17) | .12 | (.25) | 13.19 | .92 | 589 | 1.52 | (6) | 1.40 | (6) | 4.36 | (6) | ||
Year ended 12/31/2006 | 13.22 | .56 | .09 | .65 | (.55) | 13.32 | 5.06 | 500 | 1.67 | 1.41 | 4.30 | ||||||
Year ended 12/31/2005 | 13.65 | .51 | (.36) | .15 | (.58) | 13.22 | 1.14 | 352 | 1.74 | 1.41 | 3.84 | ||||||
Year ended 12/31/2004 | 13.51 | .50 | .16 | .66 | (.52) | 13.65 | 5.02 | 238 | 1.85 | 1.43 | 3.73 | ||||||
Year ended 12/31/2003 | 12.70 | .57 | .84 | 1.41 | (.60) | 13.51 | 11.33 | 111 | 1.94 | 1.46 | 4.20 | ||||||
Period from 5/31/2002 to 12/31/2002 | 12.72 | .40 | (.01) | .39 | (.41) | 12.70 | 3.23 | 21 | 1.67 | (6) | 1.48 | (6) | 5.56 | (6) | |||
Class R-3: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .32 | (.17) | .15 | (.28) | 13.19 | 1.14 | 758 | .98 | (6) | .95 | (6) | 4.81 | (6) | ||
Year ended 12/31/2006 | 13.22 | .62 | .09 | .71 | (.61) | 13.32 | 5.49 | 570 | 1.02 | .99 | 4.71 | ||||||
Year ended 12/31/2005 | 13.65 | .56 | (.36) | .20 | (.63) | 13.22 | 1.53 | 361 | 1.05 | 1.02 | 4.23 | ||||||
Year ended 12/31/2004 | 13.51 | .55 | .16 | .71 | (.57) | 13.65 | 5.42 | 213 | 1.06 | 1.05 | 4.12 | ||||||
Year ended 12/31/2003 | 12.70 | .62 | .84 | 1.46 | (.65) | 13.51 | 11.76 | 95 | 1.12 | 1.07 | 4.59 | ||||||
Period from 6/4/2002 to 12/31/2002 | 12.73 | .42 | (.02) | .40 | (.43) | 12.70 | 3.31 | 18 | 1.20 | (6) | 1.10 | (6) | 5.95 | (6) | |||
Class R-4: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .34 | (.17) | .17 | (.30) | 13.19 | 1.30 | 451 | .66 | (6) | .64 | (6) | 5.12 | (6) | ||
Year ended 12/31/2006 | 13.22 | .66 | .09 | .75 | (.65) | 13.32 | 5.86 | 325 | .67 | .65 | 5.06 | ||||||
Year ended 12/31/2005 | 13.65 | .61 | (.36) | .25 | (.68) | 13.22 | 1.91 | 182 | .67 | .65 | 4.61 | ||||||
Year ended 12/31/2004 | 13.51 | .60 | .16 | .76 | (.62) | 13.65 | 5.81 | 77 | .68 | .68 | 4.48 | ||||||
Year ended 12/31/2003 | 12.70 | .67 | .84 | 1.51 | (.70) | 13.51 | 12.15 | 18 | .72 | .72 | 5.05 | ||||||
Period from 5/20/2002 to 12/31/2002 | 12.67 | .47 | .04 | .51 | (.48) | 12.70 | 4.21 | 11 | .77 | (6) | .74 | (6) | 6.20 | (6) | |||
Class R-5: | |||||||||||||||||
Six months ended 6/30/2007 | (5) | 13.32 | .36 | (.17) | .19 | (.32) | 13.19 | 1.44 | 451 | .37 | (6) | .34 | (6) | 5.41 | (6) | ||
Year ended 12/31/2006 | 13.22 | .70 | .09 | .79 | (.69) | 13.32 | 6.17 | 336 | .37 | .35 | 5.36 | ||||||
Year ended 12/31/2005 | 13.65 | .66 | (.36) | .30 | (.73) | 13.22 | 2.21 | 204 | .37 | .35 | 4.91 | ||||||
Year ended 12/31/2004 | 13.51 | .65 | .16 | .81 | (.67) | 13.65 | 6.14 | 127 | .37 | .37 | 4.81 | ||||||
Year ended 12/31/2003 | 12.70 | .71 | .84 | 1.55 | (.74) | 13.51 | 12.52 | 106 | .40 | .40 | 5.39 | ||||||
Period from 5/15/2002 to 12/31/2002 | 12.66 | .52 | .05 | .57 | (.53) | 12.70 | 4.66 | 78 | .42 | (6) | .42 | (6) | 6.75 | (6) | |||
Six months ended | ||||||
June 30, | Year ended December 31 | |||||
2007(5) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Portfolio turnover rate for all classes of shares | 24% | 53% | 50% | 45% | 60% | 50% |
(1) Based on operations for the periods shown (unless otherwise noted) and, accordingly, may not be representative of a full year. | ||||||
(2) Based on average shares outstanding. | ||||||
(3) Total returns exclude all sales charges, including contingent deferred sales charges. | ||||||
(4) This column reflects the impact, if any, of certain reimbursements/waivers from CRMC. During some of the | ||||||
periods shown, CRMC reduced fees for investment advisory services for all share classes. In addition, during some of | ||||||
the periods shown, CRMC paid a portion of the fund's transfer agent fees for certain retirement plan share classes. | ||||||
(5) Unaudited. | ||||||
(6) Annualized. | ||||||
(7) Amount less than $1 million. | ||||||
See Notes to Financial Statements |
Expense example | unaudited |
As a shareholder of the fund, you incur two types of costs: (1) transaction costs such as initial sales charges on purchase payments and contingent deferred sales charges on redemptions (loads); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund so you can compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2007, through June 30, 2007).
Actual expenses:
The first line of each share class in the table on the next page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes:
The second line of each share class in the table on the next page provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for the share class and an assumed rate of return of 5.00% per year before expenses, which is not the actual return of the share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5.00% hypothetical example with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Notes:
There are some account fees that are charged to certain types of accounts, such as Individual Retirement Accounts and 529 college savings plan accounts (generally, a $10 fee is charged to set up the account and an additional $10 fee is charged to the account annually) that would increase the amount of expenses paid on your account. In addition, retirement plan participants may be subject to certain fees charged by the plan sponsor, and Class F and 529-F shareholders may be subject to fees charged by financial intermediaries, typically ranging from 0.75% to 1.50% of assets annually depending on services offered. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated above. In addition, your ending account value would also be lower by the amount of these fees.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning account value 1/1/2007 | Ending account value 6/30/2007 | Expenses paid during period* | Annualized expense ratio | |||||
Class A -- actual return | $1,000.00 | $1,013.08 | $3.09 | .62% | ||||
Class A -- assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | ||||
Class B -- actual return | 1,000.00 | 1,009.35 | 6.78 | 1.36 | ||||
Class B -- assumed 5% return | 1,000.00 | 1,018.05 | 6.80 | 1.36 | ||||
Class C -- actual return | 1,000.00 | 1,009.06 | 7.07 | 1.42 | ||||
Class C -- assumed 5% return | 1,000.00 | 1,017.75 | 7.10 | 1.42 | ||||
Class F -- actual return | 1,000.00 | 1,013.13 | 2.99 | .60 | ||||
Class F -- assumed 5% return | 1,000.00 | 1,021.82 | 3.01 | .60 | ||||
Class 529-A -- actual return | 1,000.00 | 1,012.71 | 3.44 | .69 | ||||
Class 529-A -- assumed 5% return | 1,000.00 | 1,021.37 | 3.46 | .69 | ||||
Class 529-B -- actual return | 1,000.00 | 1,008.77 | 7.37 | 1.48 | ||||
Class 529-B -- assumed 5% return | 1,000.00 | 1,017.46 | 7.40 | 1.48 | ||||
Class 529-C -- actual return | 1,000.00 | 1,008.78 | 7.37 | 1.48 | ||||
Class 529-C -- assumed 5% return | 1,000.00 | 1,017.46 | 7.40 | 1.48 | ||||
Class 529-E -- actual return | 1,000.00 | 1,011.32 | 4.84 | .97 | ||||
Class 529-E -- assumed 5% return | 1,000.00 | 1,019.98 | 4.86 | .97 | ||||
Class 529-F -- actual return | 1,000.00 | 1,013.78 | 2.40 | .48 | ||||
Class 529-F -- assumed 5% return | 1,000.00 | 1,022.41 | 2.41 | .48 | ||||
Class R-1 -- actual return | 1,000.00 | 1,008.96 | 7.17 | 1.44 | ||||
Class R-1 -- assumed 5% return | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||
Class R-2 -- actual return | 1,000.00 | 1,009.15 | 6.97 | 1.40 | ||||
Class R-2 -- assumed 5% return | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||
Class R-3 -- actual return | 1,000.00 | 1,011.39 | 4.74 | .95 | ||||
Class R-3 -- assumed 5% return | 1,000.00 | 1,020.08 | 4.76 | .95 | ||||
Class R-4 -- actual return | 1,000.00 | 1,012.98 | 3.19 | .64 | ||||
Class R-4 -- assumed 5% return | 1,000.00 | 1,021.62 | 3.21 | .64 | ||||
Class R-5 -- actual return | 1,000.00 | 1,014.44 | 1.70 | .34 | ||||
Class R-5 -- assumed 5% return | 1,000.00 | 1,023.11 | 1.71 | .34 |
*The “expenses paid during period” are equal to the “annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period (181), and divided by 365 (to reflect the one-half year period).
Offices of the fund and of the investment adviser
Capital Research and Management Company
333 South Hope Street
Los Angeles, CA 90071-1406
135 South State College Boulevard
Brea, CA 92821-5823
Transfer agent for shareholder accounts
American Funds Service Company
(Please write to the address nearest you.)
P.O. Box 25065
Santa Ana, CA 92799-5065
P.O. Box 659522
San Antonio, TX 78265-9522
P.O. Box 6007
Indianapolis, IN 46206-6007
P.O. Box 2280
Norfolk, VA 23501-2280
Custodian of assets
JPMorgan Chase Bank
270 Park Avenue
New York, NY 10017-2070
Counsel
Paul, Hastings, Janofsky & Walker LLP
515 South Flower Street
Los Angeles, CA 90071-2228
Independent registered public accounting firm
Deloitte & Touche LLP
695 Town Center Drive
Suite 1200
Costa Mesa, CA 92626-7188
Principal underwriter
American Funds Distributors, Inc.
333 South Hope Street
Los Angeles, CA 90071-1406
Investors should carefully consider the investment objectives, risks, charges and expenses of the American Funds. This and other important information is contained in the fund’s prospectus, which can be obtained from your financial adviser and should be read carefully before investing. You may also call American Funds Service Company (AFS) at 800/421-0180 or visit the American Funds website at americanfunds.com.
“American Funds Proxy Voting Guidelines” — which describes how we vote proxies relating to portfolio securities — is available free of charge on the U.S. Securities and Exchange Commission (SEC) website at sec.gov, on the American Funds website or upon request by calling AFS. The fund files its proxy voting record with the SEC for the 12 months ended June 30 by August 31. The report also is available on the SEC and American Funds websites.
A complete June 30, 2007, portfolio of The Bond Fund of America’s investments is available free of charge by calling AFS or visiting the SEC website (where it is part of Form N-CSR).
The Bond Fund of America files a complete list of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This filing is available free of charge on the SEC website. You may also review or, for a fee, copy this filing at the SEC’s Public Reference Room in Washington, D.C. (800/SEC-0330). Additionally, the list of portfolio holdings also is available by calling AFS.
This report is for the information of shareholders of The Bond Fund of America, but it also may be used as sales literature when preceded or accompanied by the current prospectus, which gives details about charges, expenses, investment objectives and operating policies of the fund. If used as sales material after September 30, 2007, this report must be accompanied by an American Funds statistical update for the most recently completed calendar quarter.
[logo - American Funds®]
The right choice for the long term®
What makes American Funds different?
For 75 years, we have followed a consistent philosophy to benefit our investors. Our 30 carefully conceived, broadly diversified funds, in addition to the target date retirement series, offer opportunities that have attracted over 40 million shareholder accounts.
Our unique combination of strengths includes these five factors:
• | A long-term, value-oriented approach |
We seek to buy securities at reasonable prices relative to their prospects and hold them for the long term. |
• | An extensive global research effort |
Our investment professionals travel the world to find the best investment opportunities and gain a comprehensive understanding of companies and markets. |
• | The multiple portfolio counselor system |
Our unique method of portfolio management, developed nearly 50 years ago, blends teamwork with individual accountability and has provided American Funds with a sustainable method of achieving fund objectives. |
• | Experienced investment professionals |
American Funds portfolio counselors have an average of 24 years of investment experience, providing a wealth of knowledge and experience that few organizations have. |
• | A commitment to low operating expenses |
The American Funds provide exceptional value for shareholders, with operating expenses that are among the lowest in the mutual fund industry. |
American Funds span a range of investment objectives
• | Growth funds |
AMCAP Fund®
EuroPacific Growth Fund® |
The Growth Fund of America® |
The New Economy Fund® |
New Perspective Fund® |
New World FundSM |
SMALLCAP World Fund® |
• | Growth-and-income funds |
American Mutual Fund® |
Capital World Growth and Income FundSM |
Fundamental InvestorsSM |
The Investment Company of America® |
Washington Mutual Investors FundSM |
• | Equity-income funds |
Capital Income Builder® |
The Income Fund of America® |
• | Balanced fund |
American Balanced Fund® |
• | Bond funds |
American High-Income TrustSM |
> | The Bond Fund of AmericaSM |
Capital World Bond Fund® |
Intermediate Bond Fund of America® |
Short-Term Bond Fund of AmericaSM
U.S. Government Securities FundSM |
• | Tax-exempt bond funds |
American High-Income Municipal Bond Fund® |
Limited Term Tax-Exempt Bond Fund of AmericaSM |
The Tax-Exempt Bond Fund of America® |
State-specific tax-exempt funds |
The Tax-Exempt Fund of California® |
The Tax-Exempt Fund of Maryland® |
The Tax-Exempt Fund of Virginia® |
• | Money market funds |
The Cash Management Trust of America® |
The Tax-Exempt Money Fund of AmericaSM |
The U.S. Treasury Money Fund of AmericaSM |
• | American Funds Target Date Retirement SeriesSM |
The Capital Group Companies
American Funds Capital Research and Management Capital International Capital Guardian Capital Bank and Trust
Lit. No. MFGESR-908-0807P
Litho in USA BG/CVB/6370-S10058
Printed on recycled paper
ITEM 2 – Code of Ethics
Not applicable for filing of semi-annual reports to shareholders.
ITEM 3 – Audit Committee Financial Expert
Not applicable for filing of semi-annual reports to shareholders.
ITEM 4 – Principal Accountant Fees and Services
Not applicable for filing of semi-annual reports to shareholders.
ITEM 5 – Audit Committee of Listed Registrants
Not applicable to this Registrant, insofar as the Registrant is not a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934.
ITEM 6 – Schedule of Investments
[logo – American Funds®]
Bond Fund of AmericaSM
Investment portfolio
June 30, 2007
unaudited
Bonds & notes — 90.32% | Principal amount (000) | Market value (000) | ||||||
CORPORATE BONDS & NOTES — 39.53% | ||||||||
FINANCIALS — 17.15% | ||||||||
General Motors Acceptance Corp. 5.85% 2009 | $ | 7,790 | $ | 7,680 | ||||
Residential Capital Corp. 6.457% 20091 | 40,000 | 39,950 | ||||||
Residential Capital Corp. 7.187% 20091,2 | 7,595 | 7,564 | ||||||
Residential Capital Corp. 6.375% 2010 | 66,750 | 65,932 | ||||||
General Motors Acceptance Corp. 7.75% 2010 | 4,355 | 4,411 | ||||||
Residential Capital Corp. 6.00% 2011 | 15,000 | 14,526 | ||||||
General Motors Acceptance Corp. 7.25% 2011 | 44,790 | 44,678 | ||||||
General Motors Acceptance Corp. 6.625% 2012 | 3,000 | 2,900 | ||||||
General Motors Acceptance Corp. 6.875% 2012 | 10,000 | 9,784 | ||||||
General Motors Acceptance Corp. 7.00% 2012 | 34,000 | 33,378 | ||||||
Residential Capital Corp. 6.50% 2013 | 94,000 | 90,966 | ||||||
General Motors Acceptance Corp. 6.75% 2014 | 46,250 | 44,355 | ||||||
General Motors Acceptance Corp. 7.56% 20141 | 75,000 | 75,864 | ||||||
Residential Capital Corp. 6.875% 2015 | 7,780 | 7,557 | ||||||
Washington Mutual, Inc. 5.00% 2012 | 14,000 | 13,512 | ||||||
Washington Mutual, Inc. 5.66% 20121 | 41,000 | 40,715 | ||||||
Washington Mutual Bank, FA 5.50% 2013 | 10,155 | 9,936 | ||||||
Washington Mutual Bank 5.78% 20131 | 47,000 | 47,067 | ||||||
Washington Mutual Bank, FA 5.65% 2014 | 345 | 337 | ||||||
Washington Mutual Bank, FA, Series 16, 5.125% 2015 | 15,000 | 14,164 | ||||||
Washington Mutual, Inc. 6.75% 2036 | 5,000 | 5,158 | ||||||
Washington Mutual Preferred Funding I Ltd., Series A-1, 6.534% (undated)1,2 | 120,500 | 116,704 | ||||||
Washington Mutual Preferred Funding II Ltd. 6.665% (undated)1,2 | 74,800 | 71,530 | ||||||
Washington Mutual Preferred Funding III Ltd. 6.895% (undated)1,2 | 64,600 | 63,774 | ||||||
ASIF Global Financing XVIII 3.85% 20072 | 5,785 | 5,751 | ||||||
International Lease Finance Corp. 4.35% 2008 | 20,500 | 20,235 | ||||||
AIG SunAmerica Global Financing VII 5.85% 20082 | 24,250 | 24,357 | ||||||
International Lease Finance Corp. 3.50% 2009 | 10,000 | 9,691 | ||||||
International Lease Finance Corp. 4.75% 2009 | 15,000 | 14,808 | ||||||
International Lease Finance Corp. 5.125% 2010 | 25,000 | 24,721 | ||||||
American General Finance Corp., Series J, 5.64% 20111 | 30,000 | 30,165 | ||||||
International Lease Finance Corp. 5.00% 2012 | 13,500 | 13,075 | ||||||
International Lease Finance Corp., Series R, 5.40% 2012 | 10,000 | 9,903 | ||||||
International Lease Finance Corp., Series R, 5.625% 2013 | 20,000 | 19,981 | ||||||
American General Finance Corp., Series I, 5.85% 2013 | 27,500 | 27,668 | ||||||
International Lease Finance Corp. 5.875% 2013 | 5,000 | 5,040 | ||||||
International Lease Finance Corp., Series R, 5.65% 2014 | 11,500 | 11,420 | ||||||
American General Finance Corp., Series I, 5.40% 2015 | 20,000 | 19,306 | ||||||
American International Group, Inc. 5.00% 2023 | £ | 400 | 716 | |||||
ILFC E-Capital Trust II 6.25% 20651,2 | $ | 42,460 | 41,480 | |||||
American General Capital I 6.00% 20671,2 | 10,500 | 10,059 | ||||||
American International Group, Inc., Series A-1, 6.25% 20871 | 23,720 | 22,501 | ||||||
Ford Motor Credit Co. 7.875% 2010 | 12,000 | 12,005 | ||||||
Ford Motor Credit Co. 9.75% 20101 | 47,500 | 49,633 | ||||||
Ford Motor Credit Co. 7.25% 2011 | 24,000 | 23,119 | ||||||
Ford Motor Credit Co. 7.375% 2011 | 2,150 | 2,102 | ||||||
Ford Motor Credit Co. 10.61% 20111 | 60,275 | 65,164 | ||||||
Ford Motor Credit Co. 8.105% 20121 | 8,000 | 7,987 | ||||||
Ford Motor Credit Co. 8.00% 2016 | 49,350 | 47,346 | ||||||
J.P. Morgan Chase & Co. 4.00% 2008 | 12,500 | 12,396 | ||||||
BANK ONE, Texas, NA 6.25% 2008 | 7,250 | 7,280 | ||||||
J.P. Morgan Chase & Co. 6.75% 2011 | 15,000 | 15,597 | ||||||
J.P. Morgan Chase & Co. 4.875% 2014 | 18,340 | 17,459 | ||||||
J.P. Morgan Chase & Co. 4.891% 20151 | 55,000 | 53,968 | ||||||
Bank One Corp. 4.90% 2015 | 9,000 | 8,527 | ||||||
JPMorgan Chase Capital XXI, Series U, 6.305% 20371 | 30,000 | 29,742 | ||||||
JPMorgan Chase Capital XX, Series T, 6.55% 2066 | 27,670 | 26,732 | ||||||
JPMorgan Chase Capital XVIII, Series R, 6.95% 2066 | 17,400 | 17,643 | ||||||
Westfield Capital Corp. Ltd., WT Finance (Australia) Pty Ltd. and WEA Finance LLC 4.375% 20102 | 57,950 | 55,859 | ||||||
Westfield Group 5.40% 20122 | 50,000 | 49,357 | ||||||
Westfield Capital Corp. Ltd., WT Finance (Australia) Pty Ltd. and WEA Finance LLC 5.125% 20142 | 26,600 | 25,504 | ||||||
Westfield Group 5.70% 20162 | 7,000 | 6,891 | ||||||
WT Finance (Australia) Pty Ltd., Westfield Europe Finance PLC, and WEA Finance LLC 5.50% 2017 | £ | 3,780 | 7,066 | |||||
CIT Group Inc. 4.00% 2008 | $ | 14,000 | 13,833 | |||||
CIT Group Inc. 5.50% 2008 | £ | 165 | 327 | |||||
CIT Group Inc. 6.875% 2009 | $ | 31,000 | 31,836 | |||||
CIT Group Inc. 4.25% 2010 | 30,000 | 29,008 | ||||||
CIT Group Inc. 5.635% 20111 | 30,000 | 29,905 | ||||||
CIT Group Inc. 5.40% 2013 | 15,000 | 14,596 | ||||||
CIT Group Inc. 6.10% 20671 | 26,350 | 24,040 | ||||||
Household Finance Corp. 4.125% 2009 | 25,000 | 24,289 | ||||||
HSBC Finance Corp. 4.625% 2010 | 11,500 | 11,200 | ||||||
Household Finance Corp. 6.75% 2011 | 23,750 | 24,674 | ||||||
HSBC Finance Corp. 5.71% 20121 | 20,000 | 20,041 | ||||||
HSBC Finance Corp. 5.71% 20121 | 15,000 | 15,081 | ||||||
HSBC Finance Corp. 5.00% 2015 | 27,195 | 25,513 | ||||||
Midland Bank 5.625% Eurodollar note (undated)1 | 15,000 | 13,050 | ||||||
PNC Funding Corp. 4.20% 2008 | 6,750 | 6,690 | ||||||
PNC Funding Corp. 5.555% 20141 | 30,000 | 30,028 | ||||||
PNC Funding Corp., Series II, 6.113% (undated)1,2 | 34,300 | 33,488 | ||||||
PNC Funding Corp., Series I, 6.517% (undated)1,2 | 47,000 | 47,593 | ||||||
Santander Issuances, SA Unipersonal 5.72% 20161,2 | 21,500 | 21,626 | ||||||
Santander Issuances, SA Unipersonal 5.805% 20161,2 | 68,700 | 69,059 | ||||||
Abbey National PLC 6.70% (undated)1 | 18,380 | 18,561 | ||||||
Abbey National PLC 7.50% (undated)1 | £ | 3,270 | 6,925 | |||||
TuranAlem Finance BV 7.75% 20132 | $ | 11,000 | 10,602 | |||||
TuranAlem Finance BV 8.00% 2014 | 7,960 | 7,681 | ||||||
TuranAlem Finance BV 8.00% 20142 | 5,000 | 4,825 | ||||||
TuranAlem Finance BV 8.50% 20152 | 20,560 | 20,124 | ||||||
TuranAlem Finance BV 8.50% 2015 | 7,390 | 7,233 | ||||||
TuranAlem Finance BV 8.25% 20372 | 61,795 | 59,478 | ||||||
Simon Property Group, LP 4.875% 2010 | 12,000 | 11,813 | ||||||
Simon Property Group, LP 5.375% 2011 | 12,500 | 12,417 | ||||||
Simon Property Group, LP 5.60% 2011 | 32,060 | 32,075 | ||||||
Simon Property Group, LP 5.00% 2012 | 16,000 | 15,594 | ||||||
Simon Property Group, LP 5.75% 2012 | 4,000 | 4,022 | ||||||
Simon Property Group, LP 5.75% 2015 | 3,250 | 3,221 | ||||||
Simon Property Group, LP 5.25% 2016 | 1,000 | 954 | ||||||
Simon Property Group, LP 6.10% 2016 | 4,750 | 4,816 | ||||||
Simon Property Group, LP 5.875% 2017 | 17,250 | 17,186 | ||||||
PRICOA Global Funding I, Series 2003-2, 3.90% 20082 | 7,500 | 7,333 | ||||||
PRICOA Global Funding I, Series 2004-4, 4.35% 20082 | 2,500 | 2,463 | ||||||
Prudential Financial, Inc., Series D, 5.10% 2011 | 2,000 | 1,963 | ||||||
Prudential Financial, Inc., Series B, 4.75% 2014 | 4,000 | 3,776 | ||||||
Prudential Financial, Inc., Series D, 6.10% 2017 | 12,500 | 12,664 | ||||||
Prudential Holdings, LLC, Series C, 8.695% 20232,3 | 57,035 | 69,055 | ||||||
Kimco Realty Corp., Series C, 3.95% 2008 | 5,000 | 4,903 | ||||||
Kimco Realty Corp., Series C, 4.82% 2011 | 7,500 | 7,261 | ||||||
Kimco Realty Corp. 6.00% 2012 | 17,500 | 17,733 | ||||||
Kimco Realty Corp., Series C, 4.82% 2014 | 12,000 | 11,327 | ||||||
Kimco Realty Corp., Series C, 4.904% 2015 | 3,000 | 2,825 | ||||||
Kimco Realty Corp., Series C, 5.783% 2016 | 19,500 | 19,288 | ||||||
Kimco Realty Corp. 5.70% 2017 | 33,450 | 32,576 | ||||||
BNP Paribas 5.75% 2022 | £ | 415 | 809 | |||||
BNP Paribas 7.195% (undated)1,2 | $ | 93,100 | 94,446 | |||||
Bayerische Hypo- und Vereinsbank AG 6.00% 2014 | €10,370 | 14,754 | ||||||
UniCredito Italiano SpA 5.584% 20171,2 | $ | 54,790 | 54,685 | |||||
HVB Funding Trust I 8.741% 20312 | 9,800 | 11,997 | ||||||
HVB Funding Trust III 9.00% 20312 | 9,417 | 11,740 | ||||||
Bank of America Corp. 3.625% 2008 | €2,120 | 2,855 | ||||||
Bank of America Corp. 4.50% 2010 | $ | 7,270 | 7,105 | |||||
Bank of America Corp. 7.125% 2011 | 1,750 | 1,852 | ||||||
Bank of America Corp. 4.875% 2012 | 2,000 | 1,935 | ||||||
MBNA Corp., Series F, 7.50% 2012 | 1,800 | 1,941 | ||||||
Bank of America Corp. 6.10% 2017 | 30,000 | 30,396 | ||||||
MBNA Capital A, Series A, 8.278% 2026 | 7,500 | 7,828 | ||||||
MBNA Global Capital Funding, Series B, 6.156% 20271 | 33,000 | 32,980 | ||||||
HBOS PLC, Series B, 5.92% (undated)1,2 | 57,600 | 54,107 | ||||||
Bank of Scotland 7.00% (undated)1,2 | 25,800 | 25,942 | ||||||
SocGen Real Estate Co. LLC, Series A, 7.64% (undated)1,2 | 76,915 | 77,293 | ||||||
Fifth Third Capital Trust IV 6.50% 20671 | 74,750 | 72,381 | ||||||
Countrywide Home Loans, Inc. 5.875% 20083 | £ | 95 | 189 | |||||
Countrywide Home Loans, Inc., Series M, 4.125% 20093 | $ | 20,000 | 19,409 | |||||
Countrywide Financial Corp., Series B, 5.78% 20121 | 30,000 | 30,053 | ||||||
Countrywide Financial Corp., Series B, 5.80% 2012 | 20,500 | 20,377 | ||||||
Standard Chartered Bank 5.375% (undated)1 | £ | 150 | 269 | |||||
Standard Chartered Bank 5.50% Eurodollar note (undated)1 | $ | 15,000 | 12,545 | |||||
Standard Chartered Bank 5.588% (undated)1 | 5,000 | 4,200 | ||||||
Standard Chartered PLC 6.409% (undated)1,2 | 52,400 | 50,057 | ||||||
Resona Bank, Ltd. 3.75% 20151 | €9,740 | 12,763 | ||||||
Resona Bank, Ltd. 5.85% (undated)1,2 | $ | 56,660 | 54,265 | |||||
Hartford Financial Services Group, Inc. 4.70% 2007 | 16,250 | 16,230 | ||||||
Hartford Financial Services Group, Inc. 5.25% 2011 | 5,625 | 5,558 | ||||||
Hartford Life Insurance Co. 5.46% 20121 | 2,500 | 2,503 | ||||||
Hartford Financial Services Group, Inc. 4.625% 2013 | 4,000 | 3,787 | ||||||
Glen Meadow Pass Through Trust 6.505% 20671,2 | 35,201 | 34,600 | ||||||
Lehman Brothers Holdings Inc. 5.00% 2010 | £ | 235 | 455 | |||||
Lehman Brothers Holdings Inc., Series I, 5.50% 20101 | $ | 5,000 | 5,000 | |||||
Lehman Brothers Holdings Capital Trust VII 5.857% (undated)1 | 57,500 | 56,384 | ||||||
CNA Financial Corp. 5.85% 2014 | 8,500 | 8,343 | ||||||
CNA Financial Corp. 6.50% 2016 | 24,625 | 24,868 | ||||||
CNA Financial Corp. 7.25% 2023 | 24,145 | 24,905 | ||||||
SLM Corp., Series A, 3.95% 2008 | 17,500 | 17,053 | ||||||
SLM Corp., Series A, 4.50% 2010 | 38,000 | 35,160 | ||||||
SLM Corp., Series A, 5.40% 2011 | 5,000 | 4,584 | ||||||
Hospitality Properties Trust 7.00% 2008 | 1,000 | 1,008 | ||||||
Hospitality Properties Trust 6.75% 2013 | 17,845 | 18,426 | ||||||
Hospitality Properties Trust 5.125% 2015 | 6,850 | 6,437 | ||||||
Hospitality Properties Trust 6.30% 2016 | 24,175 | 24,399 | ||||||
Hospitality Properties Trust 5.625% 2017 | 6,800 | 6,501 | ||||||
XL Capital Finance (Europe) PLC 6.50% 2012 | 6,455 | 6,635 | ||||||
XL Capital Ltd. 6.375% 2024 | 3,000 | 2,944 | ||||||
Mangrove Bay Pass Through Trust 6.102% 20331,2 | 37,380 | 36,275 | ||||||
Twin Reefs Asset Trust (XLFA), Series B, 6.32% (undated)1,2 | 10,200 | 10,233 | ||||||
Sumitomo Mitsui Banking Corp. 5.625% (undated)1,2 | 58,025 | 55,387 | ||||||
STB Finance Cayman Ltd., Series 108, 5.834% (undated)1 | £ | 150 | 292 | |||||
Citigroup Inc. 3.50% 2008 | $ | 20,000 | 19,801 | |||||
Citigroup Inc. 4.125% 2010 | 26,000 | 25,237 | ||||||
Citigroup Inc. 5.125% 2011 | 10,000 | 9,884 | ||||||
Citigroup Inc. 6.50% 2030 | £ | 35 | 76 | |||||
American Express Credit Corp. 3.00% 2008 | $ | 6,810 | 6,675 | |||||
American Express Co. 6.80% 20661 | 46,500 | 48,029 | ||||||
Capital One Financial Corp. 5.64% 20091 | 30,000 | 30,099 | ||||||
Capital One Financial Corp. 5.70% 2011 | 12,000 | 11,952 | ||||||
Capital One Financial Corp. 6.15% 2016 | 10,000 | 9,890 | ||||||
ACE INA Holdings Inc. 5.875% 2014 | 23,775 | 23,673 | ||||||
ACE INA Holdings Inc. 5.70% 2017 | 4,000 | 3,898 | ||||||
ACE Capital Trust II 9.70% 2030 | 12,423 | 16,110 | ||||||
ACE INA Holdings Inc. 6.70% 2036 | 5,980 | 6,091 | ||||||
HSBK (Europe) B.V. 7.75% 2013 | 10,855 | 11,126 | ||||||
HSBK (Europe) B.V. 7.75% 20132 | 305 | 313 | ||||||
HSBK (Europe) B.V. 7.25% 20172 | 39,245 | 38,181 | ||||||
AEGON NV 4.625% 2008 | €7,750 | 10,500 | ||||||
Transamerica Corp. 9.375% 2008 | $ | 7,500 | 7,640 | |||||
Monumental Global Funding II, Series 2004-F, 4.375% 20092 | 2,000 | 1,958 | ||||||
Monumental Global Funding III 5.25% 20142 | 23,000 | 22,703 | ||||||
Monumental Global Funding III 5.556% 20141,2 | 2,710 | 2,710 | ||||||
AEGON NV 6.125% 2031 | £ | 1,730 | 3,603 | |||||
Allstate Financial Global Funding LLC 4.25% 20082 | $ | 7,500 | 7,389 | |||||
Allstate Life Global Funding Trust, Series 2004-1, 4.50% 2009 | 5,000 | 4,934 | ||||||
Allstate Corp., Series B, 6.125% 20671 | 35,500 | 34,263 | ||||||
Kazkommerts International BV 7.00% 20092 | 5,500 | 5,548 | ||||||
Kazkommerts International BV 8.50% 2013 | 6,500 | 6,679 | ||||||
Kazkommerts International BV 7.875% 20142 | 9,200 | 9,143 | ||||||
Kazkommerts International BV 8.00% 20152 | 15,500 | 15,133 | ||||||
Kazkommerts International BV 8.00% 2015 | 600 | 586 | ||||||
Kazkommerts International BV, Series 4, 7.50% 2016 | 10,000 | 9,425 | ||||||
World Savings Bank, FSB, Bank Notes, Series 2008-FXR, 4.125% 2008 | 34,250 | 33,926 | ||||||
Wachovia Corp. 5.30% 2011 | 5,000 | 4,953 | ||||||
Wachovia Corp. 5.625% 2016 | 7,000 | 6,830 | ||||||
Lincoln National Corp. 7.00% 20661 | 43,000 | 44,194 | ||||||
Liberty Mutual Group Inc. 6.50% 20352 | 34,965 | 31,904 | ||||||
Liberty Mutual Group Inc. 7.50% 20362 | 9,000 | 9,155 | ||||||
Liberty Mutual Group Inc., Series A, 7.80% 20872 | 3,000 | 2,832 | ||||||
Developers Diversified Realty Corp. 3.875% 2009 | 19,500 | 19,003 | ||||||
Developers Diversified Realty Corp. 5.375% 2012 | 3,450 | 3,385 | ||||||
Developers Diversified Realty Corp. 5.50% 2015 | 19,500 | 18,833 | ||||||
State Street Capital Trust IV 6.355% 20771 | 40,000 | 40,294 | ||||||
Wells Fargo & Co. 3.50% 2008 | 3,310 | 3,263 | ||||||
Wells Fargo & Co. 4.125% 2008 | 8,000 | 7,924 | ||||||
Wells Fargo Bank, National Assn. 4.75% 2015 | 29,175 | 27,401 | ||||||
AXA SA 6.379% (undated)1,2 | 6,400 | 5,791 | ||||||
AXA SA 6.463% (undated)1,2 | 35,000 | 32,600 | ||||||
Merrill Lynch & Co., Inc. 5.59% 20121 | 5,000 | 4,996 | ||||||
Merrill Lynch & Co., Inc. 5.70% 2017 | 4,000 | 3,859 | ||||||
Merrill Lynch & Co., Inc. 6.11% 2037 | 29,680 | 27,941 | ||||||
ORIX Corp. 5.48% 2011 | 36,175 | 35,696 | ||||||
Brandywine Operating Partnership, LP 5.75% 2012 | 27,110 | 27,112 | ||||||
Brandywine Operating Partnership, LP 5.40% 2014 | 3,000 | 2,901 | ||||||
Brandywine Operating Partnership, LP 5.70% 2017 | 5,000 | 4,851 | ||||||
Development Bank of Singapore Ltd. 7.875% 20092 | 20,000 | 20,929 | ||||||
DBS Bank Ltd. 5.966% 20211,2 | 12,500 | 12,856 | ||||||
Skandinaviska Enskilda Banken AB 4.958% (undated)1,2 | 10,985 | 10,228 | ||||||
Skandinaviska Endkilda Banken AB 5.00% (undated)1 | £ | 265 | 508 | |||||
Skandinaviska Enskilda Banken AB 5.471% (undated)1,2 | $ | 8,415 | 7,999 | |||||
Skandinaviska Enskilda Banken AB 7.50% (undated)1 | 12,500 | 12,961 | ||||||
BBVA International SA Unipersonal 5.919% (undated)1,2 | 33,320 | 31,316 | ||||||
ProLogis 5.25% 2010 | 10,884 | 10,774 | ||||||
PLD International Finance LLC 4.375% 2011 | €4,150 | 5,466 | ||||||
ProLogis 5.625% 2015 | $ | 14,940 | 14,641 | |||||
ERP Operating LP 4.75% 2009 | 2,225 | 2,193 | ||||||
ERP Operating LP 6.625% 2012 | 5,000 | 5,195 | ||||||
ERP Operating LP 5.375% 2016 | 6,000 | 5,764 | ||||||
ERP Operating LP 5.75% 2017 | 18,000 | 17,679 | ||||||
Plum Creek Timberlands, LP 5.875% 2015 | 31,000 | 30,063 | ||||||
North Front Pass Through Trust 5.81% 20241,2 | 19,085 | 18,469 | ||||||
Nationwide Mutual Insurance Co. 7.875% 20332 | 8,000 | 9,248 | ||||||
Nationwide Mutual Insurance Co. 6.60% 20342 | 2,000 | 1,914 | ||||||
Principal Life Global Funding I 2.80% 20082 | 11,625 | 11,294 | ||||||
Principal Life Global Funding I 4.40% 20102 | 16,600 | 16,049 | ||||||
Principal Life Income Fundings Trust, Series 2005-34, 5.20% 2010 | 2,000 | 1,996 | ||||||
Catlin Insurance Ltd. 7.249% (undated)1,2 | 30,000 | 28,593 | ||||||
Lazard Group LLC 7.125% 2015 | 22,605 | 23,353 | ||||||
Lazard Group LLC 6.85% 20172 | 4,950 | 4,962 | ||||||
Metropolitan Life Global Funding I, Series 2003-4, 2.60% 20082 | 20,000 | 19,465 | ||||||
MetLife, Inc. 5.50% 2014 | 5,224 | 5,138 | ||||||
MetLife, Inc. 5.00% 2015 | 2,000 | 1,891 | ||||||
ReliaStar Financial Corp. 6.50% 2008 | 6,016 | 6,071 | ||||||
ING Bank NV 5.50% 2012 | €3,750 | 5,204 | ||||||
ING Groep NV 5.775% (undated)1 | $ | 15,500 | 14,984 | |||||
iStar Financial, Inc. 5.375% 2010 | 10,675 | 10,571 | ||||||
iStar Financial, Inc., Series B, 5.125% 2011 | 1,500 | 1,469 | ||||||
iStar Financial, Inc. 6.05% 2015 | 14,285 | 14,033 | ||||||
Lloyds Bank, Series 2, 5.563% (undated)1 | 8,000 | 6,963 | ||||||
Lloyds TSB Group PLC 6.267% (undated)1,2 | 20,000 | 19,006 | ||||||
Rouse Co. 3.625% 2009 | 5,200 | 5,010 | ||||||
Rouse Co. 7.20% 2012 | 17,700 | 18,255 | ||||||
Rouse Co. 5.375% 2013 | 1,000 | 938 | ||||||
Rouse Co. 6.75% 20132 | 1,400 | 1,406 | ||||||
UnionBanCal Corp. 5.25% 2013 | 2,000 | 1,948 | ||||||
Union Bank of California, NA 5.95% 2016 | 22,000 | 21,901 | ||||||
John Hancock Global Funding II, Series 2002-G, 5.00% 20072 | 5,000 | 4,998 | ||||||
John Hancock Global Funding II, Series 2004-A, 3.50% 20092 | 18,000 | 17,451 | ||||||
ZFS Finance (USA) Trust II 6.45% 20651,2 | 22,500 | 21,860 | ||||||
American Honda Finance Corp. 5.125% 20102 | 21,850 | 21,653 | ||||||
Canadian Imperial Bank of Commerce 5.625% Eurodollar note 20851 | 25,000 | 21,625 | ||||||
Assurant, Inc. 5.625% 2014 | 22,000 | 21,560 | ||||||
United Overseas Bank Ltd. 5.375% 20191,2 | 22,250 | 21,473 | ||||||
Realogy Corp. 7.15% 20111,2 | 750 | 756 | ||||||
Realogy Corp., Term Loan B, 8.35% 20131,3 | 150 | 149 | ||||||
Realogy Corp., Term Loan B, Letter of Credit, 8.35% 20131,3 | 50 | 50 | ||||||
Realogy Corp. 10.50% 20142 | 4,410 | 4,212 | ||||||
Realogy Corp. 11.00% 20142,4 | 6,000 | 5,670 | ||||||
Realogy Corp. 12.375% 20152 | 200 | 183 | ||||||
Realogy Corp. 7.50% 20161,2 | 7,750 | 7,789 | ||||||
Royal Bank of Scotland PLC 9.625% 2015 | £ | 200 | 484 | |||||
Royal Bank of Scotland PLC 5.00% (undated)1 | 200 | 383 | ||||||
National Westminster Bank PLC 7.75% (undated)1 | $ | 17,000 | 17,090 | |||||
Silicon Valley Bank 5.70% 2012 | 18,000 | 17,820 | ||||||
QBE Capital Funding II LP 6.797% (undated)1,2 | 17,800 | 17,412 | ||||||
United Dominion Realty Trust, Inc., Series E, 4.50% 2008 | 17,000 | 16,884 | ||||||
Genworth Global Funding Trust, Series 2007-C, 5.25% 2012 | 11,000 | 10,868 | ||||||
Genworth Global Funding Trust, Series 2007-B, 5.491% 20121 | 1,000 | 1,001 | ||||||
Genworth Financial, Inc. 6.15% 20661 | 5,000 | 4,747 | ||||||
Capmark Financial Group, Inc. 6.007% 20101,2 | 3,000 | 3,007 | ||||||
Capmark Financial Group, Inc. 5.875% 20122 | 10,500 | 10,373 | ||||||
Capmark Financial Group, Inc. 6.30% 20172 | 2,390 | 2,356 | ||||||
Credit Suisse First Boston (USA), Inc. 6.50% 2012 | 15,000 | 15,552 | ||||||
Protective Life Insurance Co., Series 2005-C, 4.85% 2010 | 15,000 | 14,761 | ||||||
E*TRADE Financial Corp. 8.00% 2011 | 3,000 | 3,090 | ||||||
E*TRADE Financial Corp. 7.375% 2013 | 925 | 944 | ||||||
E*TRADE Financial Corp. 7.875% 2015 | 9,720 | 10,170 | ||||||
Downey Financial Corp. 6.50% 2014 | 14,380 | 14,083 | ||||||
Advanta Capital Trust I, Series B, 8.99% 2026 | 12,500 | 12,438 | ||||||
Independence Community Bank Corp. 4.90% 2010 | 12,000 | 11,750 | ||||||
Goldman Sachs Group, Inc. 5.536% 20121 | 2,500 | 2,497 | ||||||
Goldman Sachs Group, Inc. 5.75% 2016 | 4,745 | 4,642 | ||||||
Goldman Sachs Group, Inc. 5.625% 2017 | 4,755 | 4,565 | ||||||
MassMutual Global Funding II, Series 2002-1, 3.50% 20102 | 12,000 | 11,472 | ||||||
AB Spintab 6.00% 2009 | SKr73,000 | 10,951 | ||||||
Banco Santander-Chile 5.375% 20142 | $ | 11,200 | 10,942 | |||||
Assured Guaranty US Holdings Inc., Series A, 6.40% 20661 | 10,625 | 10,426 | ||||||
Berkshire Hathaway Finance Corp. 4.75% 2012 | 10,000 | 9,731 | ||||||
United Energy Distribution Pty Ltd., AMBAC insured, 4.70% 20112 | 10,000 | 9,717 | ||||||
Zions Bancorporation 5.50% 2015 | 9,625 | 9,266 | ||||||
Shinsei Bank, Ltd. 3.75% 20161 | €6,865 | 8,870 | ||||||
Shinsei Bank, Ltd. 5.625% (undated)1 | £ | 195 | 367 | |||||
Post Apartment Homes, LP 7.70% 2010 | $ | 1,400 | 1,488 | |||||
Post Apartment Homes, LP 5.125% 2011 | 7,720 | 7,501 | ||||||
Banco Mercantil del Norte, SA 6.135% 20162 | 8,600 | 8,631 | ||||||
Bank of Nova Scotia 5.625% 20851 | 10,000 | 8,550 | ||||||
Host Marriott, LP, Series M, 7.00% 2012 | 7,130 | 7,175 | ||||||
Host Hotels & Resorts, LP, Series S, 6.875% 2014 | 1,000 | 994 | ||||||
Chohung Bank 4.50% 20141,2 | 8,000 | 7,804 | ||||||
Allied Irish Banks, PLC 5.625% 20301 | £ | 250 | 474 | |||||
Allied Irish Banks Ltd. 5.855% (undated)1 | $ | 7,000 | 6,364 | |||||
BCI U.S. Funding Trust I 8.01% noncumulative preferred (undated)1,2 | 6,500 | 6,646 | ||||||
Weingarten Realty Investors, Series A, 4.857% 2014 | 6,080 | 5,761 | ||||||
National Australia Bank Ltd. 5.486% (undated)1,2 | 5,925 | 5,624 | ||||||
Barclays Bank PLC 5.926% (undated)1,2 | 4,750 | 4,599 | ||||||
Barclays Bank PLC 6.375% (undated)1 | £ | 240 | 477 | |||||
Irvine Apartment Communities, LP 7.00% 2007 | 5,000 | 4,997 | ||||||
Industrial Bank of Korea 4.00% 20141,2 | 5,000 | 4,864 | ||||||
Bergen Bank 5.50% (undated)1 | 5,000 | 4,275 | ||||||
National Bank of Canada 5.563% 20871 | 5,000 | 4,092 | ||||||
Financial Security Assurance Holdings Ltd. 6.40% 20661,2 | 4,000 | 3,731 | ||||||
Credit Agricole SA 6.637% 20221,2 | 3,700 | 3,603 | ||||||
Christiana Bank Og Kreditkasse 5.548% (undated)1 | 4,000 | 3,575 | ||||||
Federal Realty Investment Trust 4.50% 2011 | 3,500 | 3,376 | ||||||
Principal Financial Group, Inc. 6.05% 2036 | 3,000 | 2,918 | ||||||
Ambac Financial Group, Inc. 6.15% 20871 | 3,000 | 2,697 | ||||||
UnumProvident Corp. 5.859% 2009 | 1,000 | 1,003 | ||||||
UnumProvident Finance Co. PLC 6.85% 20152 | 1,425 | 1,458 | ||||||
FelCor Lodging LP 8.50% 20111 | 2,270 | 2,398 | ||||||
Norinchukin Finance (Cayman) Ltd. 5.625% 20161 | £ | 205 | 398 | |||||
Commerzbank AG 6.625% 2019 | 70 | 144 | ||||||
5,523,708 | ||||||||
CONSUMER DISCRETIONARY — 5.36% | ||||||||
DaimlerChrysler North America Holding Corp. 4.05% 2008 | $ | 4,750 | 4,684 | |||||
DaimlerChrysler North America Holding Corp. 4.75% 2008 | 4,800 | 4,784 | ||||||
DaimlerChrysler North America Holding Corp., Series E, 5.71% 20091 | 48,000 | 48,109 | ||||||
DaimlerChrysler North America Holding Corp. 5.79% 20091 | 30,000 | 30,139 | ||||||
DaimlerChrysler North America Holding Corp. 7.20% 2009 | 5,000 | 5,163 | ||||||
DaimlerChrysler North America Holding Corp. 4.875% 2010 | 20,000 | 19,632 | ||||||
DaimlerChrysler North America Holding Corp. 8.00% 2010 | 56,500 | 60,132 | ||||||
DaimlerChrysler North America Holding Corp. 7.75% 2011 | 26,350 | 28,066 | ||||||
DaimlerChrysler North America Holding Corp. 6.50% 2013 | 16,610 | 17,177 | ||||||
Lenfest Communications, Inc. 7.625% 2008 | 6,750 | 6,829 | ||||||
Tele-Communications, Inc. 9.80% 2012 | 17,500 | 20,218 | ||||||
Comcast Cable Communications, Inc. 7.125% 2013 | 1,650 | 1,751 | ||||||
Tele-Communications, Inc. 7.875% 2013 | 7,500 | 8,228 | ||||||
Comcast Corp. 5.85% 2015 | 29,025 | 28,590 | ||||||
Comcast Corp. 6.50% 2015 | 5,000 | 5,134 | ||||||
Comcast Corp. 5.90% 2016 | 12,800 | 12,594 | ||||||
Comcast Corp. 5.65% 2035 | 6,670 | 5,822 | ||||||
Comcast Corp. 6.45% 2037 | 40,375 | 39,036 | ||||||
Time Warner Inc. 8.18% 2007 | 2,225 | 2,233 | ||||||
Time Warner Inc. 5.59% 20091 | 30,000 | 30,045 | ||||||
Time Warner Inc. 5.50% 2011 | 1,000 | 990 | ||||||
AOL Time Warner Inc. 6.875% 2012 | 17,250 | 18,015 | ||||||
Time Warner Inc. 5.875% 2016 | 16,500 | 16,076 | ||||||
Time Warner Companies, Inc. 7.25% 2017 | 1,600 | 1,709 | ||||||
AOL Time Warner Inc. 7.625% 2031 | 40,510 | 43,524 | ||||||
Time Warner Inc. 6.50% 2036 | 1,000 | 952 | ||||||
Viacom Inc. 5.75% 2011 | 2,500 | 2,498 | ||||||
Viacom Inc. 6.25% 2016 | 34,110 | 33,653 | ||||||
Viacom Inc. 6.875% 2036 | 32,600 | 31,592 | ||||||
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.00% 20122 | 10,150 | 10,328 | ||||||
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013 | 14,150 | 14,468 | ||||||
Charter Communications Operating, LLC, Term Loan Facilities B, 7.36% 20141,3 | 22,750 | 22,585 | ||||||
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.375% 20142 | 3,200 | 3,272 | ||||||
CCH I, LLC and CCH I Capital Corp. 11.00% 2015 | 13,250 | 13,896 | ||||||
General Motors Nova Scotia Finance Co. 6.85% 2008 | 300 | 299 | ||||||
General Motors Corp. 7.20% 2011 | 20,435 | 19,694 | ||||||
General Motors Corp. 7.125% 2013 | 20,295 | 19,103 | ||||||
General Motors Corp. 7.25% 2013 | €700 | 925 | ||||||
General Motors Corp. 7.70% 2016 | 5,000 | 4,662 | ||||||
General Motors Corp. 8.80% 2021 | 16,400 | 15,580 | ||||||
General Motors Corp. 9.40% 2021 | 1,875 | 1,842 | ||||||
General Motors Corp. 8.375% 2033 | 1,200 | 1,101 | ||||||
D.R. Horton, Inc. 9.75% 2010 | 1,150 | 1,247 | ||||||
D.R. Horton, Inc. 7.875% 2011 | 800 | 830 | ||||||
D.R. Horton, Inc. 6.875% 2013 | 5,385 | 5,381 | ||||||
D.R. Horton, Inc. 5.625% 2014 | 5,750 | 5,312 | ||||||
D.R. Horton, Inc. 5.25% 2015 | 20,000 | 17,924 | ||||||
D.R. Horton, Inc. 6.50% 2016 | 24,255 | 23,244 | ||||||
Harrah’s Operating Co., Inc. 5.50% 2010 | 17,320 | 16,790 | ||||||
Harrah’s Operating Co., Inc. 5.625% 2015 | 24,650 | 20,120 | ||||||
Harrah’s Operating Co., Inc. 6.50% 2016 | 12,500 | 10,454 | ||||||
Centex Corp. 5.80% 2009 | 2,500 | 2,498 | ||||||
Centex Corp. 6.50% 2016 | 44,595 | 42,956 | ||||||
Federated Retail Holdings, Inc. 5.35% 2012 | 24,155 | 23,755 | ||||||
Federated Retail Holdings, Inc. 5.90% 2016 | 17,500 | 17,086 | ||||||
Federated Retail Holdings, Inc. 6.375% 2037 | 4,275 | 4,126 | ||||||
Chancellor Media Corp. of Los Angeles 8.00% 2008 | 12,500 | 12,825 | ||||||
Clear Channel Communications, Inc. 5.75% 2013 | 8,000 | 7,211 | ||||||
Clear Channel Communications, Inc. 5.50% 2014 | 2,200 | 1,883 | ||||||
Clear Channel Communications, Inc. 6.875% 2018 | 13,000 | 11,437 | ||||||
News America Holdings Inc. 8.00% 2016 | 1,000 | 1,128 | ||||||
News America Inc. 7.25% 2018 | 2,250 | 2,437 | ||||||
News America Holdings Inc. 8.25% 2018 | 10,540 | 12,093 | ||||||
News America Inc. 6.40% 2035 | 14,250 | 13,614 | ||||||
Toll Brothers, Inc. 4.95% 2014 | 19,250 | 17,583 | ||||||
Toll Brothers, Inc. 5.15% 2015 | 12,290 | 11,106 | ||||||
Michaels Stores, Inc., Term Loan B, 7.625% 20131,3 | 4,000 | 3,990 | ||||||
Michaels Stores, Inc. 10.00% 20142 | 11,975 | 12,334 | ||||||
Michaels Stores, Inc. 0%/13.00% 20162,5 | 6,625 | 4,207 | ||||||
Michaels Stores, Inc. 11.375% 20162 | 3,475 | 3,649 | ||||||
J.C. Penney Co., Inc. 8.00% 2010 | 7,590 | 8,019 | ||||||
J.C. Penney Co., Inc. 9.00% 2012 | 995 | 1,127 | ||||||
J.C. Penney Corp., Inc. 5.75% 2018 | 11,325 | 10,954 | ||||||
J.C. Penney Corp., Inc. 6.375% 2036 | 4,165 | 3,979 | ||||||
Carnival Corp. 3.75% 2007 | 5,000 | 4,971 | ||||||
Carnival Corp. 6.15% 2008 | 18,623 | 18,680 | ||||||
Ryland Group, Inc. 5.375% 2008 | 2,000 | 1,996 | ||||||
Ryland Group, Inc. 5.375% 2012 | 22,500 | 21,471 | ||||||
American Media Operations, Inc., Series B, 10.25% 2009 | 16,615 | 15,826 | ||||||
American Media Operations, Inc. 8.875% 2011 | 7,060 | 6,742 | ||||||
Univision Communications Inc., Second Lien Term Loan, 7.82% 20091,3 | 525 | 524 | ||||||
Univision Communications Inc., First Lien Term Loan B, 7.605% 20141,3 | 4,455 | 4,377 | ||||||
Univision Communications Inc. 9.75% 20152,4 | 17,510 | 17,379 | ||||||
K. Hovnanian Enterprises, Inc. 8.875% 2012 | 7,060 | 6,530 | ||||||
K. Hovnanian Enterprises, Inc. 7.75% 2013 | 1,425 | 1,254 | ||||||
K. Hovnanian Enterprises, Inc. 6.375% 2014 | 1,475 | 1,268 | ||||||
K. Hovnanian Enterprises, Inc. 6.25% 2015 | 500 | 427 | ||||||
K. Hovnanian Enterprises, Inc. 6.25% 2016 | 725 | 620 | ||||||
K. Hovnanian Enterprises, Inc. 7.50% 2016 | 4,050 | 3,706 | ||||||
K. Hovnanian Enterprises, Inc. 8.625% 2017 | 5,940 | 5,732 | ||||||
Cox Communications, Inc. 5.91% 20071 | 5,000 | 5,011 | ||||||
Cox Communications, Inc. 7.875% 2009 | 1,000 | 1,046 | ||||||
Cox Communications, Inc. 5.45% 2014 | 12,750 | 12,354 | ||||||
Delphi Automotive Systems Corp. 6.55% 20066 | 500 | 597 | ||||||
Delphi Automotive Systems Corp. 6.50% 20096 | 6,000 | 7,185 | ||||||
Delphi Corp. 6.50% 20136 | 7,020 | 8,161 | ||||||
Delphi Automotive Systems Corp. 7.125% 20296 | 1,350 | 1,617 | ||||||
Marriott International, Inc., Series I, 6.375% 2017 | 16,750 | 16,823 | ||||||
Mohegan Tribal Gaming Authority 6.375% 2009 | 14,410 | 14,338 | ||||||
Mohegan Tribal Gaming Authority 7.125% 2014 | 2,000 | 1,990 | ||||||
MGM MIRAGE 6.00% 2009 | 1,975 | 1,968 | ||||||
MGM MIRAGE 8.50% 2010 | 6,850 | 7,201 | ||||||
MGM MIRAGE 6.75% 2012 | 1,050 | 1,008 | ||||||
MGM MIRAGE 6.75% 2013 | 3,350 | 3,199 | ||||||
MGM MIRAGE 5.875% 2014 | 500 | 455 | ||||||
MGM MIRAGE 6.625% 2015 | 2,025 | 1,850 | ||||||
CanWest Media Inc., Series B, 8.00% 2012 | 13,286 | 13,253 | ||||||
Canwest Mediaworks Inc. 9.25% 20152 | 2,200 | 2,216 | ||||||
Ford Capital BV 9.50% 2010 | 6,266 | 6,391 | ||||||
Ford Motor Co., Term Loan B, 8.36% 20131,3 | 1,496 | 1,505 | ||||||
Ford Motor Co. 6.50% 2018 | 9,135 | 7,445 | ||||||
Ford Motor Co. 7.45% 2031 | 105 | 84 | ||||||
Visteon Corp. 8.25% 2010 | 15,440 | 15,401 | ||||||
Local T.V. Finance LLC 9.25% 20152,4 | 15,315 | 15,238 | ||||||
MDC Holdings, Inc. 5.50% 2013 | 6,555 | 6,261 | ||||||
MDC Holdings, Inc. 5.375% 2014 | 9,475 | 8,720 | ||||||
Bon-Ton Department Stores, Inc. 10.25% 2014 | 14,140 | 14,387 | ||||||
Thomson Learning, Term Loan B, 8.10% 20141,3 | 2,050 | 2,019 | ||||||
Thomson Learning 0%/13.25% 20152,5 | 1,490 | 1,125 | ||||||
Thomson Learning 10.50% 20152 | 5,250 | 5,106 | ||||||
Thomson Corp. 5.50% 2035 | 7,000 | 6,054 | ||||||
Target Corp. 3.375% 2008 | 8,330 | 8,227 | ||||||
Target Corp. 5.375% 2009 | 6,000 | 6,002 | ||||||
Beazer Homes USA, Inc. 8.625% 2011 | 4,625 | 4,463 | ||||||
Beazer Homes USA, Inc. 6.50% 2013 | 2,230 | 1,929 | ||||||
Beazer Homes USA, Inc. 6.875% 2015 | 2,270 | 1,964 | ||||||
Beazer Homes USA, Inc. 8.125% 2016 | 5,940 | 5,851 | ||||||
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp. 6.625% 2014 | 14,415 | 13,965 | ||||||
AMC Entertainment Inc., Series B, 8.625% 2012 | 3,000 | 3,142 | ||||||
AMC Entertainment Inc. 8.00% 2014 | 8,125 | 8,003 | ||||||
AMC Entertainment Inc., Series B, 11.00% 2016 | 2,500 | 2,775 | ||||||
Tenneco Automotive Inc., Series B, 10.25% 2013 | 5,750 | 6,210 | ||||||
Tenneco Automotive Inc. 8.625% 2014 | 7,135 | 7,385 | ||||||
Seminole Tribe of Florida 5.798% 20132,3 | 13,220 | 13,044 | ||||||
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012 | 12,025 | 12,641 | ||||||
NTL Cable PLC 8.75% 2014 | 9,200 | 9,522 | ||||||
NTL Cable PLC 8.75% 2014 | €1,000 | 1,418 | ||||||
NTL Cable PLC 9.125% 2016 | $ | 1,550 | 1,631 | |||||
Young Broadcasting Inc. 10.00% 2011 | 12,317 | 12,317 | ||||||
Grupo Posadas, SA de CV 8.75% 20112 | 10,585 | 11,167 | ||||||
Grupo Posadas, SA de CV 8.75% 2011 | 1,050 | 1,108 | ||||||
Boyd Gaming Corp. 7.75% 2012 | 1,800 | 1,854 | ||||||
Boyd Gaming Corp. 6.75% 2014 | 6,925 | 6,821 | ||||||
Boyd Gaming Corp. 7.125% 2016 | 3,500 | 3,413 | ||||||
Cinemark USA, Inc., Term Loan B, 7.09% 20131,3 | 3,399 | 3,410 | ||||||
Cinemark, Inc. 0%/9.75% 20145 | 8,750 | 8,006 | ||||||
Toys "R" Us, Inc. 7.625% 2011 | 5,670 | 5,301 | ||||||
Toys "R" Us-Delaware, Inc., Term Loan B, 9.61% 20121,3 | 6,000 | 6,028 | ||||||
Burlington Coat Factory Warehouse Corp. 11.125% 2014 | 11,050 | 10,829 | ||||||
Neiman Marcus Group, Inc. 9.00% 20154 | 7,120 | 7,654 | ||||||
Neiman Marcus Group, Inc. 10.375% 2015 | 2,750 | 3,039 | ||||||
Standard Pacific Corp. 5.125% 2009 | 1,000 | 945 | ||||||
Standard Pacific Corp. 6.50% 2010 | 2,175 | 2,034 | ||||||
Standard Pacific Corp. 7.75% 2013 | 6,890 | 6,373 | ||||||
Standard Pacific Corp. 6.25% 2014 | 165 | 146 | ||||||
Standard Pacific Corp. 7.00% 2015 | 715 | 633 | ||||||
Technical Olympic USA, Inc. 9.00% 2010 | 2,640 | 2,534 | ||||||
Technical Olympic USA, Inc. 9.00% 2010 | 1,050 | 1,003 | ||||||
Technical Olympic USA, Inc. 7.50% 2011 | 3,750 | 2,681 | ||||||
Technical Olympic USA, Inc. 10.375% 2012 | 3,235 | 2,588 | ||||||
Technical Olympic USA, Inc. 7.50% 2015 | 1,850 | 1,240 | ||||||
Lowe’s Companies, Inc. 8.25% 2010 | 8,450 | 9,076 | ||||||
KB Home 5.875% 2015 | 7,600 | 6,650 | ||||||
KB Home 6.25% 2015 | 2,515 | 2,226 | ||||||
Idearc Inc. 8.00% 2016 | 8,650 | 8,780 | ||||||
Edcon Pty Ltd. 7.395% 20141 | €6,000 | 7,999 | ||||||
Edcon Pty Ltd. 9.645% 20151 | 500 | 665 | ||||||
Education Management LLC and Education Management Finance Corp. 10.25% 2016 | $ | 8,030 | 8,492 | |||||
Claire’s Stores, Inc., Term Loan, 8.11% 20131,3 | 5,975 | 5,930 | ||||||
Claire’s Stores, Inc. 9.25% 20152 | 2,375 | 2,268 | ||||||
Claire’s Stores, Inc. 10.50% 20172 | 150 | 138 | ||||||
Radio One, Inc., Series B, 8.875% 2011 | 4,750 | 4,887 | ||||||
Radio One, Inc. 6.375% 2013 | 3,550 | 3,355 | ||||||
William Lyon Homes, Inc. 7.625% 2012 | 5,750 | 4,945 | ||||||
William Lyon Homes, Inc. 10.75% 2013 | 2,000 | 1,890 | ||||||
William Lyon Homes, Inc. 7.50% 2014 | 1,500 | 1,268 | ||||||
Kabel Deutschland GmbH 10.625% 2014 | 7,150 | 7,865 | ||||||
iesy Repository GmbH 10.375% 20152 | 7,375 | 7,541 | ||||||
Johnson Controls, Inc. 5.25% 2011 | 7,550 | 7,478 | ||||||
Hanesbrands Inc., Series B, 8.784% 20141 | 6,905 | 7,043 | ||||||
Pinnacle Entertainment, Inc. 7.50% 20152 | 7,250 | 7,033 | ||||||
Telenet Group Holding NV 0%/11.50% 20142,5 | 7,100 | 6,745 | ||||||
CSC Holdings, Inc., Series B, 8.125% 2009 | 3,000 | 3,068 | ||||||
Cablevision Systems Corp., Series B, 8.00% 2012 | 3,635 | 3,608 | ||||||
Regal Cinemas Corp., Series B, 9.375% 20127 | 6,125 | 6,422 | ||||||
Liberty Media Corp. 7.875% 2009 | 2,500 | 2,606 | ||||||
Liberty Media Corp. 8.25% 2030 | 3,550 | 3,461 | ||||||
RBS-Zero Editora Jornalística SA 11.00% 20102 | 5,492 | 6,041 | ||||||
Quebecor Media Inc. 7.75% 2016 | 5,900 | 6,018 | ||||||
Goodyear Tire & Rubber Co. 9.135% 20091,2 | 3,175 | 3,199 | ||||||
Goodyear Tire & Rubber Co. 8.625% 20112 | 2,564 | 2,711 | ||||||
Dollarama Group LP and Dollarama Corp. 8.875% 2012 | 5,550 | 5,717 | ||||||
Dex Media West LLC, Dex Media West Finance Co., Series B, 8.50% 2010 | 3,000 | 3,116 | ||||||
R.H. Donnelley Corp., Series A-1, 6.875% 2013 | 1,000 | 953 | ||||||
Dex Media, Inc., Series B, 8.00% 2013 | 525 | 536 | ||||||
R.H. Donnelley Corp., Series A-3, 8.875% 2016 | 850 | 888 | ||||||
Morris Publishing Group, LLC and Morris Publishing Finance Co., Series B, 7.00% 2013 | 5,140 | 4,523 | ||||||
LBI Media, Inc. 10.125% 2012 | 4,250 | 4,478 | ||||||
Atlantic Broadband Finance, LLC and Atlantic Broadband Finance, Inc. 9.375% 2014 | 4,300 | 4,365 | ||||||
Sally Holdings LLC and Sally Capital Inc. 9.25% 20142 | 4,250 | 4,282 | ||||||
Walt Disney Co. 5.70% 2011 | 1,500 | 1,515 | ||||||
Walt Disney Co. 5.625% 2016 | 2,500 | 2,486 | ||||||
Royal Caribbean Cruises Ltd. 7.00% 2007 | 1,400 | 1,411 | ||||||
Royal Caribbean Cruises Ltd. 8.75% 2011 | 2,325 | 2,523 | ||||||
Seneca Gaming Corp. 7.25% 2012 | 2,500 | 2,547 | ||||||
Seneca Gaming Corp., Series B, 7.25% 2012 | 1,000 | 1,019 | ||||||
WDAC Intermediate Corp. 8.375% 20142 | 2,600 | 2,743 | ||||||
WDAC Intermediate Corp. 8.50% 2014 | €500 | 709 | ||||||
Vidéotron Ltée 6.875% 2014 | $ | 2,525 | 2,487 | |||||
Vidéotron Ltée 6.375% 2015 | 1,000 | 955 | ||||||
Kingfisher PLC 5.625% 2014 | £ | 1,740 | 3,216 | |||||
Warner Music Group 7.375% 2014 | $ | 3,300 | 3,086 | |||||
Mediacom Broadband LLC and Mediacom Broadband Corp. 8.50% 2015 | 2,970 | 3,000 | ||||||
Gaylord Entertainment Co. 8.00% 2013 | 2,300 | 2,343 | ||||||
Gaylord Entertainment Co. 6.75% 2014 | 500 | 494 | ||||||
Sealy Mattress Co. 8.25% 2014 | 2,750 | 2,833 | ||||||
Linens ‘n Things, Inc. 10.981% 20141 | 3,350 | 2,500 | ||||||
Pulte Homes, Inc. 4.875% 2009 | 2,300 | 2,264 | ||||||
Gamestop Corp. 8.00% 2012 | 2,000 | 2,100 | ||||||
Dillard’s, Inc. 7.13% 2018 | 2,000 | 1,912 | ||||||
Meritage Homes Corp. 6.25% 2015 | 1,900 | 1,701 | ||||||
Kohl’s Corp. 6.30% 2011 | 600 | 615 | ||||||
Kohl’s Corp. 7.375% 2011 | 875 | 933 | ||||||
WCI Communities, Inc. 9.125% 2012 | 1,500 | 1,455 | ||||||
Riddell Bell Holdings Inc. 8.375% 2012 | 1,430 | 1,416 | ||||||
XM Satellite Radio Inc. and XM Satellite Radio Holdings Inc. 9.75% 2014 | 1,145 | 1,128 | ||||||
Entercom Radio, LLC 7.625% 2014 | 1,015 | 1,010 | ||||||
Warnaco, Inc. 8.875% 2013 | 925 | 981 | ||||||
Carmike Cinemas, Inc., Term Loan B, 8.61% 20121,3 | 569 | 573 | ||||||
1,727,457 | ||||||||
INDUSTRIALS — 3.88% | ||||||||
Calair LLC and Calair Capital Corp. 8.125% 2008 | 825 | 832 | ||||||
Continental Airlines, Inc., Series 2001-1, Class A-2, 6.503% 20113 | 14,050 | 14,111 | ||||||
Continental Airlines, Inc., Series 1999-2, Class A-2, 7.056% 20113 | 10,000 | 10,131 | ||||||
Continental Airlines, Inc. 8.75% 2011 | 5,300 | 5,221 | ||||||
Continental Airlines, Inc., Series 2000-2, Class A-2, 7.487% 20123 | 12,500 | 12,898 | ||||||
Continental Airlines, Inc., Series 2006-1, Class G, FGIC insured, 5.71% 20151,3 | 1,100 | 1,102 | ||||||
Continental Airlines, Inc., Series 1997-1, Class A, 7.461% 20163 | 9,897 | 10,126 | ||||||
Continental Airlines, Inc., Series 1996-2, Class D, 11.50% 20163 | 1,468 | 1,479 | ||||||
Continental Airlines, Inc., Series 2001-1, Class B, 7.373% 20173 | 189 | 189 | ||||||
Continental Airlines, Inc., Series 1998-1, Class B, 6.748% 20183 | 3,108 | 3,052 | ||||||
Continental Airlines, Inc., Series 1997-4B, Class B, 6.90% 20183 | 2,142 | 2,112 | ||||||
Continental Airlines, Inc., Series 1998-1, Class A, 6.648% 20193 | 23,647 | 23,839 | ||||||
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20193 | 40,529 | 41,365 | ||||||
Continental Airlines, Inc., Series 2000-2, Class B, 8.307% 20193 | 3,560 | 3,656 | ||||||
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20203 | 19,833 | 20,193 | ||||||
Continental Airlines, Inc., Series 1999-1, Class B, 6.795% 20203 | 14,109 | 13,765 | ||||||
Continental Airlines, Inc., Series 2003-ERJ3, Class A, 7.875% 20203 | 9,806 | 10,033 | ||||||
Continental Airlines, Inc., Series 1999-2, Class A-1, 7.256% 20213 | 317 | 330 | ||||||
Continental Airlines, Inc., Series 1999-2, Class B, 7.566% 20213 | 5,391 | 5,408 | ||||||
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20223 | 16,607 | 16,742 | ||||||
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707% 20223 | 12,118 | 12,943 | ||||||
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20223 | 9,748 | 10,559 | ||||||
Continental Airlines, Inc., Series 2000-1, Class B, 8.388% 20223 | 1,535 | 1,593 | ||||||
General Electric Capital Corp., Series A, 3.50% 2008 | 20,000 | 19,711 | ||||||
General Electric Co. 5.00% 2013 | 12,750 | 12,376 | ||||||
General Electric Capital Corp. 6.25% 2017 | £ | 400 | 806 | |||||
General Electric Capital Corp., Series A, 5.626% 20181 | $ | 18,000 | 18,081 | |||||
General Electric Capital Corp., Series A, 5.736% 20261 | 77,000 | 77,308 | ||||||
General Electric Capital Corp. 5.625% 2031 | £ | 85 | 170 | |||||
General Electric Capital Corp., Series A, 5.84% 20361 | $ | 12,000 | 11,975 | |||||
Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57% 20123 | 400 | 415 | ||||||
Delta Air Lines, Inc., Series 2002-1, Class C, 7.779% 20133 | 3,077 | 3,092 | ||||||
Delta Air Lines, Inc., Series 2002-1, Class G-2, MBIA insured, 6.417% 20143 | 53,658 | 54,027 | ||||||
Delta Air Lines, Inc., Second Lien Term Loan B, 8.605% 20141,3 | 5,000 | 5,038 | ||||||
Delta Air Lines, Inc., Series 1992-A2, 9.20% 20143,6 | 6,468 | 6,533 | ||||||
Delta Air Lines, Inc., Series 2002-1, Class G-1, MBIA insured, 6.718% 20243 | 44,192 | 45,103 | ||||||
American Airlines, Inc., Series 1999-1, Class A-1, 6.855% 20103 | 5,392 | 5,422 | ||||||
AMR Corp., Series B, 10.45% 2011 | 150 | 153 | ||||||
American Airlines, Inc., Series 2001-1, Class A-2, 6.817% 20123 | 3,750 | 3,743 | ||||||
American Airlines, Inc., Series 2001-2, Class A-1, 6.978% 20123 | 21,761 | 22,020 | ||||||
American Airlines, Inc., Series 2001-2, Class B, 8.608% 20123 | 18,165 | 18,948 | ||||||
AMR Corp. 9.00% 2012 | 5,800 | 5,974 | ||||||
American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 20133 | 39,130 | 41,404 | ||||||
American Airlines, Inc., Series 1991-C2, 9.73% 20143 | 6,410 | 6,558 | ||||||
American Airlines, Inc., Series 2001-1, Class B, 7.377% 20193 | 9,865 | 9,551 | ||||||
BAE Systems Holding Inc. 4.75% 20102 | 10,350 | 10,128 | ||||||
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 20112,3 | 45,763 | 47,028 | ||||||
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 20132,3 | 39,475 | 40,945 | ||||||
Hutchison Whampoa International Ltd. 7.00% 20112 | 24,300 | 25,337 | ||||||
Hutchison Whampoa International Ltd. 6.50% 20132 | 59,200 | 60,969 | ||||||
Northwest Airlines, Inc., Term Loan B, 8.85% 20131,3 | 3,804 | 3,861 | ||||||
Northwest Airlines, Inc., Term Loan A, 7.10% 20181,3 | 74,327 | 74,234 | ||||||
John Deere Capital Corp., Series D, 4.375% 2008 | 15,000 | 14,894 | ||||||
John Deere Capital Corp. 5.40% 2011 | 17,750 | 17,693 | ||||||
John Deere Capital Corp., Series D, 5.50% 2017 | 4,750 | 4,637 | ||||||
United Air Lines, Inc., Series 2001-1, Class A-2, 6.201% 20103 | 8,947 | 9,043 | ||||||
United Air Lines, Inc., Series 2000-2, Class B, 7.811% 20113,6 | 7,335 | 8,366 | ||||||
United Air Lines, Inc., Series 2000-2, Class A-2, 7.186% 20123 | 2,409 | 2,465 | ||||||
United Air Lines, Inc., Series 2001-1, Class A-1, 6.071% 20143 | 1,510 | 1,519 | ||||||
United Air Lines, Inc., Term Loan B, 7.375% 20141,3 | 3,840 | 3,845 | ||||||
United Air Lines, Inc., Series 2001-1, Class A-3, 6.602% 20153 | 4,904 | 4,944 | ||||||
United Air Lines, Inc., Series 2007-1, Class B, 7.336% 20213 | 570 | 567 | ||||||
United Air Lines, Inc., Series 2007-1, Class A, 6.636% 20243 | 5,400 | 5,403 | ||||||
Nielsen Finance LLC and Nielsen Finance Co. 10.00% 20142 | 12,350 | 13,122 | ||||||
Nielsen Finance LLC and Nielsen Finance Co. 0%/12.50% 20162,5 | 17,435 | 12,379 | ||||||
Atlas Copco AB 5.60% 20172 | 22,025 | 21,502 | ||||||
NTK Holdings Inc. 0%/10.75% 20145 | 15,118 | 11,036 | ||||||
THL Buildco, Inc. 8.50% 2014 | 10,650 | 10,197 | ||||||
Hawker Beechcraft 8.50% 20152 | 1,325 | 1,371 | ||||||
Hawker Beechcraft 8.875% 20152,4 | 11,125 | 11,487 | ||||||
Hawker Beechcraft 9.75% 20172 | 570 | 597 | ||||||
Tyco International Group SA 6.125% 2008 | 5,000 | 5,046 | ||||||
Tyco International Group SA 6.125% 2009 | 500 | 507 | ||||||
Tyco International Group SA 7.00% 2028 | 620 | 724 | ||||||
Tyco International Group SA 6.875% 2029 | 6,190 | 7,166 | ||||||
Goodman Global Holdings, Inc., Series B, 7.875% 2012 | 12,684 | 12,621 | ||||||
Northrop Grumman Systems Corp. 7.125% 2011 | 8,000 | 8,398 | ||||||
Northrop Grumman Systems Corp. 7.75% 2031 | 3,000 | 3,579 | ||||||
Ashtead Group PLC 8.625% 20152 | 4,375 | 4,484 | ||||||
Ashtead Capital, Inc. 9.00% 20162 | 7,050 | 7,420 | ||||||
Allied Waste North America, Inc., Series B, 6.50% 2010 | 500 | 493 | ||||||
Allied Waste North America, Inc., Series B, 5.75% 2011 | 2,500 | 2,391 | ||||||
Allied Waste North America, Inc., Series B, 6.125% 2014 | 3,500 | 3,308 | ||||||
Allied Waste North America, Inc., Series B, 7.375% 2014 | 3,750 | 3,722 | ||||||
Allied Waste North America, Inc. 6.875% 2017 | 1,000 | 973 | ||||||
Embraer Overseas Ltd 6.375% 2017 | 10,825 | 10,636 | ||||||
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 1996-B, 6.96% 20093 | 1,046 | 1,058 | ||||||
BNSF Funding Trust I 6.613% 20551 | 10,000 | 9,158 | ||||||
Standard Aero Holdings, Inc. 8.25% 2014 | 9,375 | 10,031 | ||||||
Caterpillar Inc. 4.50% 2009 | 1,190 | 1,172 | ||||||
Caterpillar Financial Services Corp. 4.30% 2010 | 2,400 | 2,332 | ||||||
Caterpillar Financial Services Corp., Series F, 5.125% 2011 | 500 | 492 | ||||||
Caterpillar Financial Services Corp., Series F, 5.50% 2016 | 4,050 | 3,981 | ||||||
Caterpillar Inc. 6.05% 2036 | 2,000 | 1,974 | ||||||
ARAMARK Corp., Term Loan B, 7.36% 20141,3 | 4,583 | 4,600 | ||||||
ARAMARK Corp., Term Loan B, Letter of Credit, 7.475% 20141,3 | 328 | 329 | ||||||
ARAMARK Corp. 8.50% 20152 | 4,550 | 4,652 | ||||||
ARAMARK Corp. 8.856% 20151,2 | 225 | 229 | ||||||
USG Corp. 6.30% 2016 | 9,000 | 8,810 | ||||||
Horizon Lines, LLC and Horizon Lines Holding Corp. 9.00% 2012 | 7,971 | 8,469 | ||||||
Accuride Corp. 8.50% 2015 | 8,230 | 8,168 | ||||||
DRS Technologies, Inc. 6.875% 2013 | 5,035 | 4,909 | ||||||
DRS Technologies, Inc. 6.625% 2016 | 475 | 461 | ||||||
DRS Technologies, Inc. 7.625% 2018 | 2,725 | 2,766 | ||||||
DynCorp International and DIV Capital Corp., Series A, 9.50% 2013 | 7,595 | 8,117 | ||||||
ACIH, Inc. 0%/11.50% 20122,5 | 3,340 | 2,689 | ||||||
Atrium Companies, Inc., Term Loan B, 8.61% 20121,3 | 5,273 | 5,168 | ||||||
Union Pacific Railroad Co. Pass Through Trust, Series 2001-1, 6.63% 20223 | 7,586 | 7,840 | ||||||
AIR 2 US, Series A, 8.027% 20202,3 | 6,000 | 6,214 | ||||||
United Rentals (North America), Inc., Series B, 6.50% 2012 | 6,250 | 6,172 | ||||||
Lockheed Martin Corp. 6.15% 2036 | 6,000 | 6,003 | ||||||
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 20232,3 | 6,111 | 5,999 | ||||||
Waste Management, Inc. 6.50% 2008 | 5,220 | 5,281 | ||||||
Waste Management, Inc. 5.00% 2014 | 765 | 715 | ||||||
K&F Industries, Inc. 7.75% 2014 | 5,375 | 5,724 | ||||||
TransDigm Inc. 7.75% 2014 | 3,550 | 3,603 | ||||||
TransDigm Group Inc. 7.75% 20142 | 1,200 | 1,218 | ||||||
TFM, SA de CV 9.375% 2012 | 4,450 | 4,784 | ||||||
Kansas City Southern Railway Co. 7.50% 2009 | 4,000 | 3,990 | ||||||
Alion Science and Technology Corp. 10.25% 2015 | 3,690 | 3,828 | ||||||
Williams Scotsman, Inc. 8.50% 2015 | 2,900 | 3,009 | ||||||
RBS Global, Inc. and Rexnord LLC 9.50% 2014 | 2,025 | 2,086 | ||||||
RBS Global, Inc. and Rexnord LLC 8.875% 2016 | 850 | 856 | ||||||
Hertz Corp. 10.50% 2016 | 2,250 | 2,497 | ||||||
FTI Consulting, Inc. 7.625% 2013 | 2,300 | 2,340 | ||||||
RSC Equipment Rental, Second Lien Term Loan B, 8.82% 20131,3 | 2,288 | 2,299 | ||||||
Mobile Storage Group, Inc. 9.75% 20142 | 1,725 | 1,846 | ||||||
Esco Corp. 8.625% 20132 | 1,100 | 1,160 | ||||||
AGCO Corp. 6.875% 2014 | €700 | 985 | ||||||
H&E Equipment Services, Inc. 8.375% 2016 | $ | 900 | 949 | |||||
Esterline Technologies Corp. 6.625% 20172 | 450 | 436 | ||||||
1,248,523 | ||||||||
TELECOMMUNICATION SERVICES — 3.65% | ||||||||
SBC Communications Inc. 4.125% 2009 | 19,465 | 18,938 | ||||||
SBC Communications Inc. 6.25% 2011 | 1,150 | 1,176 | ||||||
AT&T Corp. 7.30% 20111 | 4,734 | 5,044 | ||||||
AT&T Wireless Services, Inc. 7.875% 2011 | 28,855 | 31,049 | ||||||
BellSouth Corp. 4.75% 2012 | 50,000 | 47,840 | ||||||
SBC Communications Inc. 5.875% 2012 | 31,047 | 31,317 | ||||||
SBC Communications Inc. 5.875% 2012 | 13,000 | 13,124 | ||||||
AT&T Wireless Services, Inc. 8.125% 2012 | 87,630 | 96,450 | ||||||
SBC Communications Inc. 5.10% 2014 | 10,245 | 9,787 | ||||||
SBC Communications Inc. 5.625% 2016 | 50,500 | 49,441 | ||||||
BellSouth Capital Funding Corp. 7.875% 2030 | 1,500 | 1,698 | ||||||
SBC Communications Inc. 6.45% 2034 | 11,175 | 11,079 | ||||||
BellSouth Corp. 6.55% 2034 | 24,760 | 24,796 | ||||||
AT&T Inc. 6.80% 2036 | 3,710 | 3,855 | ||||||
Verizon Global Funding Corp. 7.375% 2012 | 14,860 | 16,022 | ||||||
Verizon Communications Inc. 5.50% 2017 | 96,265 | 92,950 | ||||||
Verizon Global Funding Corp. 7.75% 2030 | 11,576 | 13,004 | ||||||
Verizon Communications Inc. 6.25% 2037 | 10,000 | 9,674 | ||||||
US Unwired Inc., Series B, 10.00% 2012 | 4,400 | 4,766 | ||||||
Nextel Communications, Inc., Series E, 6.875% 2013 | 66,935 | 66,496 | ||||||
Nextel Communications, Inc. 5.95% 2014 | 18,605 | 17,744 | ||||||
Nextel Communications, Inc., Series D, 7.375% 2015 | 34,050 | 34,065 | ||||||
Sogerim SA 7.25% 20111 | €2,650 | 3,848 | ||||||
Telecom Italia SpA 6.25% 2012 | 8,990 | 12,658 | ||||||
Telecom Italia Capital SA, Series B, 5.25% 2013 | $ | 16,050 | 15,314 | |||||
Telecom Italia Capital SA 5.25% 2015 | 37,000 | 34,461 | ||||||
Telecom Italia Capital SA 7.20% 2036 | 35,900 | 37,021 | ||||||
France Télécom 6.75% 20081 | €3,500 | 4,806 | ||||||
France Télécom 7.75% 20111 | $ | 85,050 | 90,938 | |||||
Vodafone Group PLC 7.75% 2010 | 35,285 | 37,085 | ||||||
Windstream Corp. 8.125% 2013 | 18,875 | 19,819 | ||||||
Valor Telecommunications Enterprises, LLC and Valor Telecommunications Enterprises Finance Corp. 7.75% 2015 | 6,090 | 6,411 | ||||||
Windstream Corp. 8.625% 2016 | 3,300 | 3,506 | ||||||
Intelsat, Ltd. 6.50% 2013 | 3,500 | 2,826 | ||||||
Intelsat (Bermuda), Ltd. 8.25% 2013 | 5,550 | 5,661 | ||||||
Intelsat (Bermuda), Ltd. 0%/9.25% 20155 | 1,775 | 1,469 | ||||||
Intelsat (Bermuda), Ltd. 8.625% 2015 | 4,000 | 4,120 | ||||||
Intelsat Corp. 9.00% 2016 | 3,550 | 3,736 | ||||||
Intelsat (Bermuda), Ltd. 9.25% 2016 | 6,500 | 6,939 | ||||||
Intelsat (Bermuda), Ltd. 11.25% 2016 | 2,400 | 2,700 | ||||||
Dobson Cellular Systems, Inc., Series B, 8.375% 2011 | 1,000 | 1,050 | ||||||
Dobson Cellular Systems, Inc. 8.375% 2011 | 900 | 945 | ||||||
Dobson Communications Corp. 9.606% 20121 | 1,650 | 1,691 | ||||||
Dobson Cellular Systems, Inc. 9.875% 2012 | 10,300 | 11,150 | ||||||
Dobson Communications Corp. 8.875% 2013 | 8,975 | 9,424 | ||||||
American Cellular Corp., Term Loan B, 7.36% 20141,3 | 2,993 | 2,993 | ||||||
Embarq Corp. 6.738% 2013 | 20,000 | 20,406 | ||||||
Singapore Telecommunications Ltd. 6.375% 20112 | 16,250 | 16,776 | ||||||
Singapore Telecommunications Ltd. 6.375% 2011 | 3,475 | 3,587 | ||||||
PCCW-HKT Capital Ltd. 8.00% 20111,2 | 15,000 | 16,233 | ||||||
PCCW-HKT Capital No. 3 Ltd. 5.25% 20152 | 3,600 | 3,347 | ||||||
Hawaiian Telcom Communications, Inc. 9.75% 2013 | 7,715 | 8,120 | ||||||
Hawaiian Telcom Communications, Inc. 10.86% 20131 | 3,605 | 3,695 | ||||||
Hawaiian Telcom Communications, Inc., Term Loan C, 7.61% 20141,3 | 3,750 | 3,741 | ||||||
Hawaiian Telcom Communications, Inc., Series B, 12.50% 2015 | 3,050 | 3,477 | ||||||
Triton PCS, Inc. 8.50% 2013 | 17,825 | 18,315 | ||||||
U S WEST Capital Funding, Inc. 6.375% 2008 | 500 | 502 | ||||||
Qwest Capital Funding, Inc. 7.90% 2010 | 950 | 971 | ||||||
Qwest Communications International Inc. 7.25% 2011 | 6,000 | 6,075 | ||||||
Qwest Capital Funding, Inc. 7.25% 2011 | 4,150 | 4,150 | ||||||
Qwest Communications International Inc., Series B, 7.50% 2014 | 2,975 | 3,027 | ||||||
Qwest Capital Funding, Inc. 7.625% 2021 | 500 | 480 | ||||||
U S WEST Capital Funding, Inc. 6.875% 2028 | 3,250 | 2,856 | ||||||
U S WEST Communications, Inc. 6.875% 2033 | 240 | 226 | ||||||
American Tower Corp. 7.125% 2012 | 17,525 | 18,007 | ||||||
Centennial Cellular Corp. 10.75% 2008 | 117 | 118 | ||||||
Centennial Communications Corp. 11.099% 20131 | 7,500 | 7,875 | ||||||
Centennial Communications Corp., Centennial Cellular Operating Co. LLC and Centennial Puerto Rico | ||||||||
Operations Corp. 8.125% 20141 | 9,300 | 9,556 | ||||||
Rural Cellular Corp. 8.25% 2012 | 750 | 771 | ||||||
Rural Cellular Corp. 11.106% 20121 | 3,260 | 3,374 | ||||||
Rural Cellular Corp. 8.36% 20131,2 | 12,050 | 12,050 | ||||||
Deutsche Telekom International Finance BV 6.625% 20111 | €1,200 | 1,724 | ||||||
Deutsche Telekom International Finance BV 8.125% 20121 | 4,420 | 6,764 | ||||||
Deutsche Telekom International Finance BV 8.25% 20301 | $ | 3,000 | 3,606 | |||||
MetroPCS Wireless, Inc. 9.25% 20142 | 11,250 | 11,672 | ||||||
Cricket Communications, Inc. 9.375% 2014 | 7,210 | 7,480 | ||||||
Cricket Communications, Inc. 9.375% 20142 | 2,500 | 2,594 | ||||||
Rogers Wireless Inc. 7.25% 2012 | 1,275 | 1,348 | ||||||
Rogers Wireless Inc. 7.50% 2015 | 6,925 | 7,429 | ||||||
Cincinnati Bell Inc. 7.25% 2013 | 6,800 | 7,004 | ||||||
SK Telecom Co., Ltd. 4.25% 20112 | 6,000 | 5,738 | ||||||
Level 3 Financing, Inc. 9.25% 2014 | 5,475 | 5,557 | ||||||
Digicel Group Ltd. 8.875% 20152 | 5,400 | 5,305 | ||||||
NTELOS Inc., Term Loan B, 7.57% 20111,3 | 4,888 | 4,911 | ||||||
Millicom International Cellular SA 10.00% 2013 | 3,930 | 4,274 | ||||||
Orascom Telecom 7.875% 20142 | 3,275 | 3,184 | ||||||
Koninklijke KPN NV 8.00% 2010 | 2,950 | 3,159 | ||||||
América Móvil, SA de CV 8.46% 2036 | MXP27,000 | 2,551 | ||||||
British Telecommunications PLC 9.125% 20301 | $ | 1,600 | 2,100 | |||||
Nordic Telephone Co. Holding ApS 8.875% 20162 | 1,000 | 1,065 | ||||||
1,176,086 | ||||||||
ENERGY — 2.97% | ||||||||
Kinder Morgan Energy Partners LP 6.75% 2011 | 2,500 | 2,589 | ||||||
Kinder Morgan Energy Partners LP 5.00% 2013 | 14,029 | 13,293 | ||||||
Kinder Morgan Energy Partners LP 5.125% 2014 | 32,552 | 30,749 | ||||||
Kinder Morgan Energy Partners LP 6.00% 2017 | 41,000 | 40,195 | ||||||
Kinder Morgan Energy Partners LP 7.75% 2032 | 7,000 | 7,678 | ||||||
Kinder Morgan Energy Partners LP 7.30% 2033 | 5,000 | 5,237 | ||||||
Kinder Morgan Energy Partners LP 6.50% 2037 | 5,000 | 4,825 | ||||||
Kinder Morgan Energy Partners LP 6.95% 2038 | 5,000 | 5,066 | ||||||
Gaz Capital SA 5.875% 2015 | €5,125 | 6,985 | ||||||
Gaz Capital SA 6.51% 20222 | $ | 99,010 | 97,970 | |||||
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20092,3 | 26,093 | 25,470 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20093 | 1,440 | 1,406 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20142,3 | 15,570 | 17,115 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20143 | 1,000 | 1,099 | ||||||
Ras Laffan Liquefied Natural Gas II 5.298% 20202,3 | 45,970 | 43,054 | ||||||
Ras Laffan Liquefied Natural Gas III 5.838% 20272,3 | 15,000 | 13,956 | ||||||
TransCanada PipeLines Ltd. 6.35% 20671 | 84,115 | 81,010 | ||||||
Enterprise Products Operating LP, Series B, 4.625% 2009 | 8,000 | 7,840 | ||||||
Enterprise Products Operating LP 4.95% 2010 | 8,000 | 7,861 | ||||||
Enterprise Products Operating LP 7.50% 2011 | 4,000 | 4,220 | ||||||
Enterprise Products Operating LP, Series B, 6.375% 2013 | 17,000 | 17,473 | ||||||
Enterprise Products Partners LP 5.60% 2014 | 2,855 | 2,780 | ||||||
Enterprise Products Operating LP, Series B, 5.00% 2015 | 1,645 | 1,538 | ||||||
Enterprise Products Operating LP 6.875% 2033 | 2,000 | 2,041 | ||||||
Enterprise Products Operating LP 8.375% 20661 | 9,295 | 9,936 | ||||||
Enterprise Products Operating LP 7.034% 20681 | 11,305 | 10,918 | ||||||
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20142,3 | 59,400 | 58,586 | ||||||
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20143 | 6,000 | 5,918 | ||||||
Pemex Finance Ltd. 8.875% 20103 | 22,400 | 23,393 | ||||||
Pemex Project Funding Master Trust 5.75% 2015 | 10,000 | 9,823 | ||||||
Pemex Finance Ltd., Series 1999-2, Class A-3, 10.61% 20173 | 11,700 | 14,801 | ||||||
Pemex Project Funding Master Trust 8.625% 2022 | 750 | 926 | ||||||
Apache Corp. 6.25% 2012 | 16,000 | 16,419 | ||||||
Apache Corp. 5.625% 2017 | 7,200 | 7,044 | ||||||
Apache Corp. 6.00% 2037 | 25,550 | 24,445 | ||||||
Williams Companies, Inc. 6.375% 20102 | 1,500 | 1,511 | ||||||
Williams Companies, Inc. 7.349% 20101,2 | 7,500 | 7,781 | ||||||
Williams Companies, Inc. 7.125% 2011 | 500 | 515 | ||||||
Williams Partners L.P. and Williams Partners Finance Corp. 7.50% 2011 | 5,725 | 5,911 | ||||||
Williams Partners L.P. and Williams Partners Finance Corp. 7.25% 2017 | 3,475 | 3,510 | ||||||
Williams Companies, Inc. 7.875% 2021 | 3,025 | 3,267 | ||||||
Transcontinental Gas Pipe Line Corp. 7.25% 2026 | 1,750 | 1,840 | ||||||
Williams Companies, Inc. 8.75% 2032 | 19,895 | 23,128 | ||||||
Qatar Petroleum 5.579% 20112,3 | 34,134 | 34,140 | ||||||
Nakilat Inc., Series A, 6.067% 20332,3 | 14,000 | 13,160 | ||||||
Enbridge Inc. 5.80% 2014 | 7,500 | 7,449 | ||||||
Enbridge Inc. 5.60% 2017 | 34,500 | 33,244 | ||||||
Canadian Natural Resources Ltd. 5.70% 2017 | 32,500 | 31,498 | ||||||
Canadian Natural Resources Ltd. 6.25% 2038 | 1,795 | 1,704 | ||||||
Petroleum Export Ltd., Class A-1, MBIA insured, 4.623% 20102,3 | 23,000 | 22,719 | ||||||
Petroleum Export Ltd., Class A-2, XLCA insured, 4.633% 20102,3 | 4,333 | 4,281 | ||||||
Gulfstream Natural Gas 5.56% 20152 | 5,000 | 4,854 | ||||||
Gulfstream Natural Gas 6.19% 20252 | 12,235 | 12,078 | ||||||
Pogo Producing Co. 7.875% 2013 | 6,725 | 6,893 | ||||||
Pogo Producing Co. 6.625% 2015 | 300 | 299 | ||||||
Pogo Producing Co. 6.875% 2017 | 6,850 | 6,833 | ||||||
Sunoco, Inc. 4.875% 2014 | 14,830 | 13,829 | ||||||
Southern Natural Gas Co. 5.90% 20172 | 11,190 | 10,879 | ||||||
El Paso Natural Gas Co. 5.95% 20172 | 3,000 | 2,921 | ||||||
Delek & Avner-Yam Tethys Ltd. 5.326% 20132,3 | 14,026 | 13,632 | ||||||
Drummond Co., Inc. 7.375% 20162 | 9,800 | 9,261 | ||||||
Energy Transfer Partners, LP 5.95% 2015 | 7,930 | 7,815 | ||||||
Newfield Exploration Co. 7.625% 2011 | 1,500 | 1,549 | ||||||
Newfield Exploration Co. 6.625% 2014 | 2,000 | 1,940 | ||||||
Newfield Exploration Co. 6.625% 2016 | 3,775 | 3,652 | ||||||
Petroplus Finance Ltd. 6.75% 20142 | 2,750 | 2,661 | ||||||
Petroplus Finance Ltd. 7.00% 20172 | 2,500 | 2,419 | ||||||
Forest Oil Corp. 7.25% 20192 | 5,000 | 4,875 | ||||||
Devon Financing Corp., ULC 6.875% 2011 | 4,500 | 4,702 | ||||||
XTO Energy Inc. 5.65% 2016 | 4,250 | 4,134 | ||||||
Encore Acquisition Co. 6.00% 2015 | 3,900 | 3,461 | ||||||
Kinder Morgan Inc., Term Loan B, 6.82% 20131,3 | 3,400 | 3,399 | ||||||
Teekay Shipping Corp. 8.875% 2011 | 3,075 | 3,275 | ||||||
Premcor Refining Group Inc. 9.50% 2013 | 2,750 | 2,928 | ||||||
PETRONAS Capital Ltd. 7.00% 20122 | 2,250 | 2,384 | ||||||
Sabine Pass LNG, L.P. 7.25% 20132 | 2,000 | 1,990 | ||||||
Peabody Energy Corp., Series B, 6.875% 2013 | 1,200 | 1,200 | ||||||
OXYMAR 7.50% 20162,3 | 654 | 658 | ||||||
Ship Finance International Ltd. 8.50% 2013 | 575 | 595 | ||||||
Petrozuata Finance, Inc., Series B, 8.22% 20172,3 | 250 | 245 | ||||||
954,678 | ||||||||
UTILITIES — 2.21% | ||||||||
Abu Dhabi National Energy Co. PJSC (TAQA) 5.875% 20162 | 56,985 | 55,841 | ||||||
Abu Dhabi National Energy Co. PJSC (TAQA) 6.50% 20362 | 14,500 | 14,114 | ||||||
Edison Mission Energy 7.50% 2013 | 625 | 622 | ||||||
Southern California Edison Co., First and Refunding Mortgage Bonds, Series 2005-A, 5.00% 2016 | 4,000 | 3,784 | ||||||
Edison Mission Energy 7.75% 2016 | 7,125 | 7,125 | ||||||
Midwest Generation, LLC, Series B, 8.56% 20163 | 15,540 | 16,579 | ||||||
Edison Mission Energy 7.00% 20172 | 7,175 | 6,798 | ||||||
Edison Mission Energy 7.20% 20192 | 8,575 | 8,103 | ||||||
Homer City Funding LLC 8.734% 20263 | 13,827 | 15,279 | ||||||
Edison Mission Energy 7.625% 20272 | 1,900 | 1,805 | ||||||
Southern California Edison Co., First and Refunding Mortgage Bonds, Series 2006-E, 5.55% 2037 | 3,500 | 3,243 | ||||||
PECO Energy Co., First and Refunding Mortgage Bonds, 3.50% 2008 | 5,000 | 4,920 | ||||||
Commonwealth Edison Co., First Mortgage Bonds, Series 102, 4.74% 2010 | 12,500 | 12,121 | ||||||
Commonwealth Edison Co., First Mortgage Bonds, Series 105, 5.40% 2011 | 9,000 | 8,824 | ||||||
Exelon Corp. 6.75% 2011 | 2,200 | 2,269 | ||||||
Exelon Generation Co., LLC 6.95% 2011 | 19,475 | 20,236 | ||||||
PECO Energy Co., First and Refunding Mortgage Bonds, 4.75% 2012 | 3,900 | 3,750 | ||||||
Commonwealth Edison Co., First Mortgage Bonds, Series 103, 5.90% 2036 | 4,000 | 3,710 | ||||||
PacifiCorp, First Mortgage Bonds, 4.30% 2008 | 3,060 | 3,020 | ||||||
MidAmerican Energy Holdings Co. 5.875% 2012 | 15,000 | 15,146 | ||||||
MidAmerican Energy Co. 5.125% 2013 | 7,500 | 7,334 | ||||||
PacifiCorp, First Mortgage Bonds, 5.45% 2013 | 2,875 | 2,836 | ||||||
MidAmerican Energy Co. 4.65% 2014 | 5,000 | 4,672 | ||||||
MidAmerican Energy Co. 5.95% 2017 | 3,000 | 3,009 | ||||||
MidAmerican Energy Holdings Co. 6.125% 2036 | 17,750 | 17,205 | ||||||
NGG Finance PLC 6.125% 2011 | €3,480 | 4,910 | ||||||
National Grid PLC 6.30% 2016 | $ | 37,605 | 38,357 | |||||
National Grid Transco PLC 4.375% 2020 | €6,430 | 7,908 | ||||||
National Grid Co. PLC 5.875% 2024 | £ | 170 | 336 | |||||
Consolidated Edison Co. of New York, Inc., Series 2003-A, 3.625% 2008 | $ | 6,000 | 5,889 | |||||
Consolidated Edison Co. of New York, Inc., Series B, 3.85% 2013 | 5,000 | 4,561 | ||||||
Consolidated Edison Co. of New York, Inc., Series 2006-C, 5.50% 2016 | 30,000 | 29,279 | ||||||
Consolidated Edison Co. of New York, Inc., Series 2003-C, 5.10% 2033 | 2,000 | 1,721 | ||||||
PSEG Power LLC 3.75% 2009 | 6,825 | 6,627 | ||||||
PSEG Power LLC 7.75% 2011 | 18,700 | 19,981 | ||||||
PSEG Power LLC 5.00% 2014 | 11,690 | 11,074 | ||||||
Cilcorp Inc. 8.70% 2009 | 1,000 | 1,038 | ||||||
AmerenEnergy Generating Co., Series D, 8.35% 2010 | 1,500 | 1,607 | ||||||
Union Electric Co. 5.25% 2012 | 1,490 | 1,457 | ||||||
Union Electric Co. 4.65% 2013 | 11,000 | 10,257 | ||||||
Union Electric Co. 5.40% 2016 | 5,750 | 5,488 | ||||||
Cilcorp Inc. 9.375% 2029 | 12,265 | 14,074 | ||||||
Scottish Power PLC 5.375% 2015 | 31,415 | 30,631 | ||||||
Ohio Power Co., Series J, 5.30% 2010 | 8,000 | 7,942 | ||||||
Ohio Power Co., Series H, 4.85% 2014 | 5,965 | 5,657 | ||||||
Appalachian Power Co., Series I, 4.95% 2015 | 1,000 | 930 | ||||||
Ohio Power Co., Series K, 6.00% 2016 | 15,000 | 15,040 | ||||||
Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% 2011 | 5,000 | 4,821 | ||||||
San Diego Gas & Electric Co., Series CCC, 5.30% 2015 | 10,000 | 9,710 | ||||||
San Diego Gas & Electric Co., Series DDD, 6.00% 2026 | 5,000 | 5,018 | ||||||
Veolia Environnement 6.125% 2033 | €13,640 | 19,188 | ||||||
Niagara Mohawk Power Corp., Series G, 7.75% 2008 | $ | 17,460 | 17,908 | |||||
Israel Electric Corp. Ltd. 7.95% 20112 | 10,000 | 10,633 | ||||||
Israel Electric Corp. Ltd. 8.10% 20962 | 6,250 | 7,002 | ||||||
SP PowerAssets Ltd. 3.80% 20082 | 10,000 | 9,791 | ||||||
SP PowerAssets Ltd. 5.00% 20132 | 8,000 | 7,766 | ||||||
Progress Energy Florida, Inc., First Mortgage Bonds, 4.80% 2013 | 7,000 | 6,695 | ||||||
Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc., First Mortgage Bonds, 5.125% 2013 | 5,000 | 4,849 | ||||||
Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc. 5.25% 2015 | 6,000 | 5,786 | ||||||
Empresa Nacional de Electricidad SA, Series B, 8.50% 2009 | 4,455 | 4,662 | ||||||
Empresa Nacional de Electricidad SA 8.35% 2013 | 5,000 | 5,589 | ||||||
Empresa Nacional de Electricidad SA 8.625% 2015 | 3,000 | 3,454 | ||||||
AES Corp. 9.50% 2009 | 927 | 973 | ||||||
AES Corp. 9.375% 2010 | 4,803 | 5,133 | ||||||
AES Corp. 8.75% 20132 | 1,000 | 1,060 | ||||||
AES Gener SA 7.50% 2014 | 5,000 | 5,238 | ||||||
Old Dominion Electric Cooperative, Series 2003-A, 5.676% 20283 | 12,375 | 12,113 | ||||||
Duke Energy Corp., First and Refunding Mortgage Bonds, 4.50% 2010 | 4,500 | 4,390 | ||||||
Duke Energy Corp., First and Refunding Mortgage Bonds, 5.30% 2015 | 5,000 | 4,844 | ||||||
Florida Power & Light Co. 4.85% 2013 | 5,000 | 4,809 | ||||||
FPL Energy National Wind, LLC 5.608% 20242,3 | 4,470 | 4,347 | ||||||
Anglian Water Services Financing PLC 4.625% 2013 | €6,120 | 8,132 | ||||||
Anglian Water Services Financing PLC, Class A, 5.25% 2015 | £ | 395 | 744 | |||||
Kern River Funding Corp. 4.893% 20182,3 | $ | 8,958 | 8,579 | |||||
Dominion Resources, Inc., Series 2002-C, 5.70% 20121 | 1,000 | 1,002 | ||||||
Virginia Electric and Power Co., Series 2003-A, 4.75% 2013 | 6,000 | 5,713 | ||||||
Virginia Electric and Power Co., Series A, 6.00% 2037 | 1,250 | 1,198 | ||||||
Energy East Corp. 6.75% 2012 | 7,155 | 7,457 | ||||||
Constellation Energy Group, Inc. 6.125% 2009 | 3,500 | 3,539 | ||||||
Baltimore Gas and Electric Co. 5.20% 2033 | 3,000 | 2,555 | ||||||
Pacific Gas and Electric Co., First Mortgage Bonds, 4.20% 2011 | 2,000 | 1,913 | ||||||
Pacific Gas and Electric Co., First Mortgage Bonds, 6.05% 2034 | 4,000 | 3,887 | ||||||
NRG Energy, Inc. 7.25% 2014 | 1,500 | 1,508 | ||||||
NRG Energy, Inc. 7.375% 2016 | 3,700 | 3,719 | ||||||
Nevada Power Co., General and Refunding Mortgage Notes, Series I, 6.50% 2012 | 700 | 716 | ||||||
Sierra Pacific Resources 8.625% 2014 | 900 | 971 | ||||||
Nevada Power Co., General and Refunding Mortgage Notes, Series L, 5.875% 2015 | 2,550 | 2,504 | ||||||
Nevada Power Co., General and Refunding Mortgage Notes, Series M, 5.95% 2016 | 1,000 | 983 | ||||||
Korea East-West Power Co., Ltd. 4.875% 20112 | 5,000 | 4,885 | ||||||
Enersis SA 7.375% 2014 | 3,000 | 3,184 | ||||||
Tri-State Generation and Transmission Assn. Inc., Pass Through Trust, Series 2003-A, 6.04% 20182,3 | 3,136 | 3,100 | ||||||
Connecticut Light and Power Co., First and Refunding Mortgage Bonds, Series 2007-A, 5.375% 2017 | 2,500 | 2,413 | ||||||
Alabama Power Co., Series R, 4.70% 2010 | 2,250 | 2,196 | ||||||
Centerpoint Energy Resources Corp., Series B, 7.875% 2013 | 2,000 | 2,186 | ||||||
Wisconsin Gas Co. 5.20% 2015 | 2,025 | 1,944 | ||||||
Mirant Americas Generation, Inc. 8.30% 2011 | 1,700 | 1,764 | ||||||
RWE Aktiengesellschaft and RWE Finance BV 6.375% 2013 | £ | 290 | 582 | |||||
Kelda Group PLC 6.625% 2031 | 165 | 372 | ||||||
710,634 | ||||||||
HEALTH CARE — 1.61% | ||||||||
Hospira, Inc. 4.95% 2009 | $ | 7,391 | 7,321 | |||||
Hospira, Inc. 5.83% 20101 | 24,000 | 24,075 | ||||||
Hospira, Inc. 5.90% 2014 | 4,510 | 4,424 | ||||||
Hospira, Inc. 6.05% 2017 | 37,995 | 37,483 | ||||||
UnitedHealth Group Inc. 3.30% 2008 | 4,000 | 3,949 | ||||||
UnitedHealth Group Inc. 5.25% 2011 | 3,165 | 3,134 | ||||||
UnitedHealth Group Inc. 5.375% 2016 | 24,500 | 23,641 | ||||||
UnitedHealth Group Inc. 6.00% 20172 | 32,750 | 32,689 | ||||||
Cardinal Health, Inc. 6.25% 2008 | 3,000 | 3,019 | ||||||
Cardinal Health, Inc. 5.619% 20091,2 | 3,500 | 3,504 | ||||||
Cardinal Health, Inc. 6.75% 2011 | 12,625 | 13,082 | ||||||
Cardinal Health, Inc. 5.80% 20162 | 10,000 | 9,703 | ||||||
Cardinal Health, Inc. 5.85% 2017 | 12,000 | 11,676 | ||||||
Allegiance Corp. 7.00% 2026 | 9,260 | 9,501 | ||||||
Humana Inc. 6.45% 2016 | 25,375 | 25,587 | ||||||
Humana Inc. 6.30% 2018 | 17,000 | 16,832 | ||||||
WellPoint, Inc. 5.00% 2011 | 6,500 | 6,361 | ||||||
WellPoint, Inc. 5.25% 2016 | 6,455 | 6,133 | ||||||
WellPoint, Inc. 5.875% 2017 | 8,300 | 8,213 | ||||||
WellPoint, Inc. 6.375% 2037 | 7,500 | 7,430 | ||||||
HealthSouth Corp. 11.409% 20141 | 12,600 | 13,671 | ||||||
HealthSouth Corp. 10.75% 2016 | 13,105 | 14,284 | ||||||
Wyeth 4.375% 20081 | 7,195 | 7,139 | ||||||
Wyeth 5.50% 2016 | 21,165 | 20,647 | ||||||
Aetna Inc. 5.75% 2011 | 24,000 | 24,162 | ||||||
Amgen Inc. 4.00% 2009 | 24,000 | 23,239 | ||||||
HCA Inc., Term Loan B, 7.60% 20131,3 | 19,228 | 19,371 | ||||||
HCA Inc. 9.125% 20142 | 295 | 311 | ||||||
HCA Inc. 9.25% 20162 | 530 | 566 | ||||||
HCA Inc. 9.625% 20162,4 | 2,280 | 2,457 | ||||||
Tenet Healthcare Corp. 6.375% 2011 | 5 | 5 | ||||||
Tenet Healthcare Corp. 7.375% 2013 | 4,465 | 4,058 | ||||||
Tenet Healthcare Corp. 9.875% 2014 | 10,485 | 10,433 | ||||||
Tenet Healthcare Corp. 9.25% 2015 | 6,805 | 6,499 | ||||||
Boston Scientific Corp. 6.00% 2011 | 1,700 | 1,694 | ||||||
Boston Scientific Corp. 6.40% 2016 | 17,675 | 17,200 | ||||||
Elan Finance PLC and Elan Finance Corp. 8.875% 2013 | 10,350 | 10,868 | ||||||
Elan Finance PLC and Elan Finance Corp. 9.485% 20131 | 2,500 | 2,559 | ||||||
PTS Acquisition Corp. 9.50% 20152,4 | 12,005 | 11,855 | ||||||
VWR International, Inc. 10.25% 20152,4 | 10,100 | 10,125 | ||||||
Bristol-Myers Squibb Co. 4.00% 2008 | 10,000 | 9,843 | ||||||
Warner Chilcott Corp. 8.75% 2015 | 9,455 | 9,762 | ||||||
Universal Health Services, Inc. 7.125% 2016 | 7,440 | 7,714 | ||||||
Coventry Health Care, Inc. 5.95% 2017 | 7,250 | 7,085 | ||||||
Universal Hospital Services, Inc. 8.50% 20152,4 | 1,610 | 1,602 | ||||||
Universal Hospital Services, Inc. 8.759% 20151,2 | 3,880 | 3,899 | ||||||
Surgical Care Affiliates, Inc. 8.875% 20152,4 | 2,600 | 2,600 | ||||||
Surgical Care Affiliates, Inc. 10.00% 20172 | 1,700 | 1,700 | ||||||
Team Finance LLC and Health Finance Corp. 11.25% 2013 | 3,525 | 3,833 | ||||||
Viant Holdings Inc. 10.125% 20172 | 3,004 | 3,034 | ||||||
AMR HoldCo, Inc. and EmCare HoldCo, Inc. 10.00% 2015 | 1,910 | 2,072 | ||||||
Mylan Laboratories Inc. 5.75% 2010 | 2,025 | 2,025 | ||||||
Accellent Inc. 10.50% 2013 | 1,900 | 1,895 | ||||||
Community Health Systems Inc. 8.875% 20152 | 1,375 | 1,401 | ||||||
517,365 | ||||||||
MATERIALS — 1.33% | ||||||||
C5 Capital (SPV) Ltd. 6.196% (undated)1,2 | 15,000 | 14,920 | ||||||
C8 Capital (SPV) Ltd. 6.64% (undated)1,2 | 45,475 | 44,818 | ||||||
C10 Capital (SPV) Ltd. 6.722% (undated)1,2 | 18,695 | 18,250 | ||||||
Stora Enso Oyj 5.125% 2014 | €4,250 | 5,613 | ||||||
Stora Enso Oyj 6.404% 20162 | $ | 36,100 | 35,962 | |||||
Stora Enso Oyj 7.25% 20362 | 35,790 | 35,750 | ||||||
UPM-Kymmene Corp. 5.625% 20142 | 41,790 | 40,067 | ||||||
UPM-Kymmene Corp. 6.625% 2017 | £ | 235 | 462 | |||||
Freeport-McMoRan Copper & Gold Inc. 6.875% 2014 | $ | 6,225 | 6,326 | |||||
Freeport-McMoRan Copper & Gold Inc. 8.25% 2015 | 8,070 | 8,534 | ||||||
Freeport-McMoRan Copper & Gold Inc. 8.546% 20151 | 2,500 | 2,625 | ||||||
Freeport-McMoRan Copper & Gold Inc. 8.375% 2017 | 2,380 | 2,547 | ||||||
Jefferson Smurfit Corp. (U.S.) 8.25% 2012 | 10,775 | 10,748 | ||||||
Stone Container Corp. 8.375% 2012 | 1,675 | 1,685 | ||||||
Jefferson Smurfit Corp. (U.S.) 7.50% 2013 | 1,250 | 1,219 | ||||||
Smurfit-Stone Container Enterprises, Inc. 8.00% 2017 | 5,965 | 5,816 | ||||||
Alcoa Inc. 5.55% 2017 | 20,000 | 19,106 | ||||||
Georgia Gulf Corp. 9.50% 2014 | 11,165 | 11,165 | ||||||
Georgia Gulf Corp. 10.75% 2016 | 2,785 | 2,785 | ||||||
Norske Skogindustrier ASA 7.625% 20112 | 425 | 440 | ||||||
Norske Skogindustrier ASA 7.125% 20332 | 13,335 | 11,721 | ||||||
Building Materials Corp. of America 7.75% 2014 | 11,650 | 11,359 | ||||||
BHP Finance (USA) Ltd. 8.50% 2012 | 10,000 | 11,276 | ||||||
Abitibi-Consolidated Co. of Canada 6.00% 2013 | 1,510 | 1,257 | ||||||
Abitibi-Consolidated Co. of Canada 8.375% 2015 | 9,665 | 8,505 | ||||||
Nalco Co. 7.75% 2011 | 4,760 | 4,820 | ||||||
Nalco Co. 8.875% 2013 | 2,500 | 2,606 | ||||||
Nalco Finance Holdings LLC and Nalco Finance Holdings Inc. 0%/9.00% 20145 | 2,254 | 2,062 | ||||||
Owens-Illinois, Inc. 7.35% 2008 | 5,250 | 5,289 | ||||||
Owens-Brockway Glass Container Inc. 8.875% 2009 | 1,319 | 1,349 | ||||||
Owens-Illinois, Inc. 7.50% 2010 | 2,250 | 2,281 | ||||||
Boise Cascade, LLC and Boise Cascade Finance Corp. 7.125% 2014 | 8,750 | 8,356 | ||||||
Plastipak Holdings, Inc. 8.50% 20152 | 7,690 | 7,998 | ||||||
Domtar Inc. 5.375% 2013 | 725 | 654 | ||||||
Domtar Corp., Term Loan B, 6.735% 20141,3 | 675 | 671 | ||||||
Domtar Inc. 7.125% 2015 | 5,100 | 4,966 | ||||||
International Paper Co. 5.85% 2012 | 5,798 | 5,790 | ||||||
Georgia-Pacific Corp. 8.125% 2011 | 1,375 | 1,411 | ||||||
Georgia-Pacific Corp., First Lien Term Loan B, 7.11% 20121,3 | 3,526 | 3,537 | ||||||
Praxair, Inc. 2.75% 2008 | 5,000 | 4,876 | ||||||
Equistar Chemicals, LP 10.125% 2008 | 3,482 | 3,639 | ||||||
Lyondell Chemical Co. 10.50% 2013 | 535 | 580 | ||||||
Associated Materials Inc. 9.75% 2012 | 3,450 | 3,622 | ||||||
AMH Holdings, Inc. 0%/11.25% 20145 | 750 | 562 | ||||||
AEP Industries Inc. 7.875% 2013 | 4,075 | 4,095 | ||||||
Ainsworth Lumber Co. Ltd. 7.25% 2012 | 700 | 542 | ||||||
Ainsworth Lumber Co. Ltd. 6.75% 2014 | 2,750 | 2,059 | ||||||
Ainsworth Lumber Co. Ltd. 6.75% 2014 | 1,750 | 1,304 | ||||||
E.I. du Pont de Nemours and Co. 4.125% 2010 | 2,000 | 1,934 | ||||||
E.I. du Pont de Nemours and Co. 5.25% 2016 | 2,000 | 1,902 | ||||||
Algoma Steel Inc. 9.875% 20152 | 3,575 | 3,575 | ||||||
Arbermarle Corp. 5.10% 2015 | 3,656 | 3,432 | ||||||
Graphic Packaging International, Inc. 8.50% 2011 | 2,575 | 2,646 | ||||||
Graphic Packaging International, Inc. 9.50% 2013 | 725 | 757 | ||||||
Metals USA Holdings Corp. 11.36% 20121,2,4 | 3,600 | 3,312 | ||||||
Rockwood Specialties Group, Inc. 7.50% 2014 | 2,320 | 2,343 | ||||||
Rockwood Specialties Group, Inc. 7.625% 2014 | €500 | 709 | ||||||
Weyerhaeuser Co. 5.95% 2008 | $ | 3,000 | 3,023 | |||||
FMG Finance Pty Ltd. 10.625% 20162 | 2,500 | 2,988 | ||||||
Mosaic Co. 7.375% 20142 | 2,675 | 2,715 | ||||||
ICI Wilmington, Inc. 4.375% 2008 | 200 | 197 | ||||||
ICI Wilmington, Inc. 5.625% 2013 | 2,000 | 1,968 | ||||||
Momentive Performance Materials Inc. 9.75% 20142 | 2,000 | 2,030 | ||||||
Berry Plastics Holding Corp. 10.25% 2016 | 1,750 | 1,759 | ||||||
NewPage Corp., Series A, 12.00% 2013 | 1,540 | 1,690 | ||||||
Potash Corp. of Saskatchewan Inc. 5.875% 2036 | 1,600 | 1,502 | ||||||
Vale Overseas Ltd. 6.25% 2017 | 1,500 | 1,495 | ||||||
Packaging Corp. of America 4.375% 2008 | 1,500 | 1,478 | ||||||
Neenah Paper, Inc. 7.375% 2014 | 1,380 | 1,373 | ||||||
Airgas, Inc. 6.25% 2014 | 550 | 531 | ||||||
Ispat Inland ULC 9.75% 2014 | 206 | 228 | ||||||
JSG Funding PLC 9.625% 2012 | 51 | 54 | ||||||
429,666 | ||||||||
INFORMATION TECHNOLOGY — 0.69% | ||||||||
Electronic Data Systems Corp., Series B, 6.50% 20131 | 31,625 | 31,295 | ||||||
Electronic Data Systems Corp. 7.45% 2029 | 13,190 | 13,470 | ||||||
National Semiconductor Corp. 6.15% 2012 | 3,700 | 3,746 | ||||||
National Semiconductor Corp. 6.60% 2017 | 23,000 | 23,461 | ||||||
Cisco Systems, Inc. 5.25% 2011 | 25,000 | 24,870 | ||||||
NXP BV and NXP Funding LLC 8.106% 20131 | 500 | 503 | ||||||
NXP BV and NXP Funding LLC 7.875% 2014 | 3,750 | 3,713 | ||||||
NXP BV and NXP Funding LLC 9.50% 2015 | 16,565 | 16,399 | ||||||
Sanmina-SCI Corp. 8.11% 20101,2 | 1,750 | 1,763 | ||||||
Sanmina-SCI Corp. 8.11% 20141,2 | 3,750 | 3,769 | ||||||
Sanmina-SCI Corp. 8.125% 2016 | 14,150 | 13,230 | ||||||
Hughes Communications, Inc. 9.50% 2014 | 15,425 | 16,196 | ||||||
Celestica Inc. 7.875% 2011 | 11,730 | 11,437 | ||||||
Celestica Inc. 7.625% 2013 | 4,170 | 3,920 | ||||||
SunGard Data Systems Inc. 9.125% 2013 | 12,975 | 13,348 | ||||||
Freescale Semiconductor, Inc., Term Loan B, 7.11% 20131,3 | 11,393 | 11,207 | ||||||
Sensata Technologies BV 8.00% 20141 | 8,575 | 8,318 | ||||||
Serena Software, Inc. 10.375% 2016 | 5,247 | 5,680 | ||||||
Jabil Circuit, Inc. 5.875% 2010 | 4,750 | 4,709 | ||||||
Solectron Global Finance, LTD 8.00% 2016 | 4,000 | 4,300 | ||||||
Nortel Networks Ltd. 9.606% 20111,2 | 2,500 | 2,672 | ||||||
Iron Mountain Inc. 7.75% 2015 | 2,010 | 1,970 | ||||||
MagnaChip Semiconductor SA and MagnaChip Semiconductor Finance Co. 8.00% 2014 | 1,570 | 1,154 | ||||||
Exodus Communications, Inc. 11.625% 20106,7 | 1,132 | 0 | ||||||
221,130 | ||||||||
CONSUMER STAPLES — 0.68% | ||||||||
Tyson Foods, Inc. 6.85% 20161 | 52,630 | 54,300 | ||||||
CVS Corp. 7.77% 20122,3 | 777 | 831 | ||||||
CVS Corp. 5.298% 20272,3 | 14,869 | 13,799 | ||||||
CVS Corp. 6.036% 20282,3 | 26,277 | 25,579 | ||||||
SUPERVALU INC., Term Loan B, 6.86% 20121,3 | 6,203 | 6,234 | ||||||
SUPERVALU INC. 7.50% 2012 | 365 | 382 | ||||||
Albertson’s, Inc. 7.25% 2013 | 3,525 | 3,610 | ||||||
Albertson’s, Inc. 8.00% 2031 | 4,475 | 4,596 | ||||||
Stater Bros. Holdings Inc. 8.125% 2012 | 9,160 | 9,274 | ||||||
Stater Bros. Holdings Inc. 7.75% 20152 | 5,400 | 5,440 | ||||||
Dole Food Co., Inc. 8.625% 2009 | 500 | 501 | ||||||
Dole Food Co., Inc. 7.25% 2010 | 2,675 | 2,595 | ||||||
Dole Food Co., Inc. 8.875% 2011 | 8,835 | 8,747 | ||||||
Delhaize Group 6.50% 20172 | 5,850 | 5,884 | ||||||
Delhaize America, Inc. 9.00% 2031 | 3,625 | 4,398 | ||||||
Petro Stopping Centers, LP and Petro Financial Corp. 9.00% 2012 | 7,810 | 8,259 | ||||||
Yankee Candle Co., Inc., Series B, 8.50% 2015 | 3,875 | 3,778 | ||||||
Yankee Candle Co., Inc., Series B, 9.75% 2017 | 4,225 | 4,109 | ||||||
Vitamin Shoppe Industries Inc. 12.86% 20121 | 7,490 | 7,827 | ||||||
Duane Reade Inc. 9.75% 2011 | 7,695 | 7,560 | ||||||
Diageo Capital PLC 3.50% 2007 | 5,000 | 4,963 | ||||||
Diageo Capital PLC 4.375% 2010 | 2,395 | 2,328 | ||||||
Rite Aid Corp. 6.125% 20082 | 2,750 | 2,709 | ||||||
Rite Aid Corp. 7.50% 2015 | 1,000 | 992 | ||||||
Rite Aid Corp. 7.50% 2017 | 3,000 | 2,910 | ||||||
Nabisco, Inc. 7.05% 2007 | 6,500 | 6,502 | ||||||
Smithfield Foods, Inc., Series B, 8.00% 2009 | 1,000 | 1,035 | ||||||
Smithfield Foods, Inc., Series B, 7.75% 2013 | 250 | 255 | ||||||
Smithfield Foods, Inc. 7.75% 2017 | 3,950 | 3,970 | ||||||
Constellation Brands, Inc. 7.25% 20172 | 5,220 | 5,116 | ||||||
Spectrum Brands, Inc., Term Loan B, Letter of Credit, 5.17% 20131,3 | 25 | 25 | ||||||
Spectrum Brands, Inc., Term Loan B2, 9.32% 20131,3 | 75 | 75 | ||||||
Spectrum Brands, Inc., Term Loan B, 9.357% 20131,3 | 400 | 402 | ||||||
Spectrum Brands, Inc. 7.375% 2015 | 3,500 | 2,831 | ||||||
Elizabeth Arden, Inc. 7.75% 2014 | 3,105 | 3,144 | ||||||
Costco Wholesale Corp. 5.30% 2012 | 3,000 | 2,981 | ||||||
Cervecería Nacional Dominicana, C. por A. 8.00% 20142 | 1,500 | 1,549 | ||||||
Tesco PLC 5.50% 2033 | £ | 265 | 508 | |||||
Winn-Dixie Pass Through Trust, Series 1999-1, Class A-1, 7.803% 20172,3,6,7 | $ | 108 | 95 | |||||
220,093 | ||||||||
Total corporate bonds & notes | 12,729,340 | |||||||
MORTGAGE-BACKED OBLIGATIONS3— 24.34% | ||||||||
Fannie Mae 7.00% 2009 | 27 | 27 | ||||||
Fannie Mae 7.50% 2009 | 82 | 83 | ||||||
Fannie Mae 7.50% 2009 | 50 | 51 | ||||||
Fannie Mae 7.50% 2009 | 19 | 19 | ||||||
Fannie Mae 7.50% 2009 | 11 | 11 | ||||||
Fannie Mae 7.50% 2009 | 6 | 6 | ||||||
Fannie Mae 7.50% 2009 | 4 | 4 | ||||||
Fannie Mae 8.50% 2009 | 29 | 29 | ||||||
Fannie Mae 9.50% 2009 | 15 | 16 | ||||||
Fannie Mae 7.00% 2010 | 30 | 30 | ||||||
Fannie Mae, Series 2000-T5, Class B, 7.30% 2010 | 57,100 | 59,789 | ||||||
Fannie Mae, Series 2001-T6B, 6.088% 2011 | 48,000 | 49,187 | ||||||
Fannie Mae, Series 2003-T1, Class B, 4.491% 2012 | 46,225 | 44,042 | ||||||
Fannie Mae 4.89% 2012 | 25,000 | 24,238 | ||||||
Fannie Mae 4.00% 2015 | 25,821 | 24,676 | ||||||
Fannie Mae 7.00% 2016 | 225 | 231 | ||||||
Fannie Mae 11.50% 2016 | 449 | 499 | ||||||
Fannie Mae, Series 2002-15, Class PG, 6.00% 2017 | 11,026 | 11,074 | ||||||
Fannie Mae 4.50% 2018 | 10,561 | 10,068 | ||||||
Fannie Mae 5.00% 2018 | 20,932 | 20,314 | ||||||
Fannie Mae 5.00% 2018 | 14,941 | 14,495 | ||||||
Fannie Mae 5.00% 2018 | 8,144 | 7,902 | ||||||
Fannie Mae 5.50% 2018 | 2,585 | 2,559 | ||||||
Fannie Mae 9.00% 2018 | 33 | 35 | ||||||
Fannie Mae 10.00% 2018 | 343 | 379 | ||||||
Fannie Mae 4.50% 2019 | 24,564 | 23,385 | ||||||
Fannie Mae 4.50% 2019 | 24,452 | 23,278 | ||||||
Fannie Mae 4.50% 2019 | 13,405 | 12,761 | ||||||
Fannie Mae 5.50% 2019 | 26,925 | 26,652 | ||||||
Fannie Mae 5.50% 2019 | 10,662 | 10,531 | ||||||
Fannie Mae 12.00% 2019 | 424 | 477 | ||||||
Fannie Mae 4.50% 2020 | 40,840 | 38,841 | ||||||
Fannie Mae 4.50% 2020 | 6,453 | 6,128 | ||||||
Fannie Mae 4.50% 2020 | 4,576 | 4,357 | ||||||
Fannie Mae 5.00% 2020 | 45,849 | 44,483 | ||||||
Fannie Mae 5.00% 2020 | 11,348 | 10,989 | ||||||
Fannie Mae 5.50% 2020 | 21,424 | 21,180 | ||||||
Fannie Mae 5.50% 2020 | 2,368 | 2,339 | ||||||
Fannie Mae 11.00% 2020 | 163 | 180 | ||||||
Fannie Mae 11.251% 20201 | 405 | 457 | ||||||
Fannie Mae 5.00% 2021 | 52,589 | 50,907 | ||||||
Fannie Mae 6.00% 2021 | 9,685 | 9,729 | ||||||
Fannie Mae, Series 2003-48, Class TJ, 4.50% 2022 | 33,386 | 32,043 | ||||||
Fannie Mae 9.00% 2022 | 87 | 92 | ||||||
Fannie Mae 7.50% 2023 | 122 | 127 | ||||||
Fannie Mae 6.00% 2024 | 16,689 | 16,605 | ||||||
Fannie Mae, Series 2001-4, Class GA, 10.258% 20251 | 714 | 783 | ||||||
Fannie Mae, Series 2001-4, Class NA, 11.891% 20251 | 3,564 | 3,931 | ||||||
Fannie Mae 6.00% 2026 | 37,808 | 37,616 | ||||||
Fannie Mae 6.845% 20261 | 579 | 584 | ||||||
Fannie Mae 5.50% 2027 | 30,650 | 29,791 | ||||||
Fannie Mae 6.00% 2027 | 21,378 | 21,269 | ||||||
Fannie Mae 8.50% 2027 | 17 | 18 | ||||||
Fannie Mae, Series 1998-W5, Class B3, 6.50% 2028 | 2,413 | 2,331 | ||||||
Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2028 | 4,914 | 5,061 | ||||||
Fannie Mae 6.50% 2029 | 253 | 254 | ||||||
Fannie Mae, Series 2002-W7, Class A-5, 7.50% 2029 | 828 | 857 | ||||||
Fannie Mae 7.50% 2029 | 71 | 74 | ||||||
Fannie Mae 7.50% 2029 | 61 | 63 | ||||||
Fannie Mae 7.50% 2030 | 183 | 192 | ||||||
Fannie Mae, Series 2001-25, Class ZA, 6.50% 2031 | 6,973 | 7,097 | ||||||
Fannie Mae 7.50% 2031 | 491 | 515 | ||||||
Fannie Mae 7.50% 2031 | 55 | 57 | ||||||
Fannie Mae, Series 2001-20, Class E, 9.617% 20311 | 121 | 131 | ||||||
Fannie Mae, Series 2001-20, Class C, 11.977% 20311 | 150 | 166 | ||||||
Fannie Mae 4.50% 2033 | 13,666 | 12,473 | ||||||
Fannie Mae 4.50% 2033 | 8,987 | 8,202 | ||||||
Fannie Mae 5.50% 2033 | 136,410 | 132,194 | ||||||
Fannie Mae 5.50% 2033 | 67,026 | 64,923 | ||||||
Fannie Mae 5.50% 2033 | 497 | 482 | ||||||
Fannie Mae 4.50% 2034 | 1,500 | 1,363 | ||||||
Fannie Mae 4.50% 2035 | 6,564 | 5,972 | ||||||
Fannie Mae 4.559% 20351 | 17,455 | 17,148 | ||||||
Fannie Mae 5.50% 2035 | 74,075 | 71,636 | ||||||
Fannie Mae 5.50% 2035 | 53,336 | 51,663 | ||||||
Fannie Mae 5.50% 2035 | 8,014 | 7,745 | ||||||
Fannie Mae, Series 2005-68, Class PG, 5.50% 2035 | 6,859 | 6,770 | ||||||
Fannie Mae 6.50% 2035 | 13,563 | 13,795 | ||||||
Fannie Mae, Series 2006-51, Class PO, principal only, 0% 2036 | 10,797 | 7,891 | ||||||
Fannie Mae, Series 2006-32, Class OA, principal only, 0% 2036 | 9,503 | 6,576 | ||||||
Fannie Mae, Series 2006-96, Class OP, principal only, 0% 2036 | 2,213 | 1,628 | ||||||
Fannie Mae 4.50% 2036 | 61,946 | 56,459 | ||||||
Fannie Mae 5.50% 2036 | 63,398 | 61,261 | ||||||
Fannie Mae 5.50% 2036 | 42,384 | 40,909 | ||||||
Fannie Mae 5.50% 2036 | 31,327 | 30,237 | ||||||
Fannie Mae, Series 2006-101, Class PC, 5.50% 2036 | 10,000 | 9,800 | ||||||
Fannie Mae 5.50% 2036 | 43 | 42 | ||||||
Fannie Mae 6.00% 2036 | 48,422 | 47,923 | ||||||
Fannie Mae 6.00% 2036 | 37,658 | 37,270 | ||||||
Fannie Mae, Series 2006-106, Class HG, 6.00% 2036 | 25,764 | 25,759 | ||||||
Fannie Mae, Series 2006-43, Class PX, 6.00% 2036 | 23,144 | 23,129 | ||||||
Fannie Mae 6.00% 2036 | 14,791 | 14,650 | ||||||
Fannie Mae 6.00% 2036 | 3,881 | 3,845 | ||||||
Fannie Mae 6.50% 2036 | 11,977 | 12,197 | ||||||
Fannie Mae 6.50% 2036 | 6,600 | 6,643 | ||||||
Fannie Mae 6.50% 2036 | 1,746 | 1,762 | ||||||
Fannie Mae 7.00% 2036 | 1,411 | 1,442 | ||||||
Fannie Mae 8.00% 2036 | 5,021 | 5,159 | ||||||
Fannie Mae 5.00% 2037 | 44,293 | 41,504 | ||||||
Fannie Mae 5.50% 2037 | 114,021 | 109,981 | ||||||
Fannie Mae 5.50% 2037 | 37,146 | 35,830 | ||||||
Fannie Mae, Series 2007-40, Class PT, 5.50% 2037 | 34,411 | 33,816 | ||||||
Fannie Mae 5.50% 2037 | 32,251 | 30,902 | ||||||
Fannie Mae 5.50% 2037 | 25,467 | 24,565 | ||||||
Fannie Mae 5.50% 2037 | 22,911 | 22,099 | ||||||
Fannie Mae 5.50% 2037 | 19,706 | 19,007 | ||||||
Fannie Mae 5.50% 2037 | 19,782 | 18,954 | ||||||
Fannie Mae 5.50% 2037 | 10,697 | 10,269 | ||||||
Fannie Mae 5.50% 2037 | 5,994 | 5,782 | ||||||
Fannie Mae 5.50% 2037 | 4,291 | 4,120 | ||||||
Fannie Mae 5.50% 2037 | 3,905 | 3,767 | ||||||
Fannie Mae 5.50% 2037 | 245 | 235 | ||||||
Fannie Mae 6.00% 2037 | 15,426 | 15,199 | ||||||
Fannie Mae 6.00% 2037 | 9,870 | 9,725 | ||||||
Fannie Mae 6.00% 2037 | 5,527 | 5,442 | ||||||
Fannie Mae, Series 2007-24, Class P, 6.00% 2037 | 4,939 | 4,943 | ||||||
Fannie Mae 6.00% 2037 | 4,876 | 4,825 | ||||||
Fannie Mae 6.50% 2037 | 57,040 | 57,302 | ||||||
Fannie Mae 6.50% 2037 | 33,994 | 34,150 | ||||||
Fannie Mae 6.50% 2037 | 19,384 | 19,509 | ||||||
Fannie Mae 6.50% 2037 | 13,401 | 13,488 | ||||||
Fannie Mae 6.50% 2037 | 11,678 | 11,732 | ||||||
Fannie Mae 7.00% 2037 | 20,000 | 20,416 | ||||||
Fannie Mae 7.00% 2037 | 15,733 | 16,071 | ||||||
Fannie Mae 7.50% 2037 | 6,442 | 6,640 | ||||||
Fannie Mae 7.50% 2037 | 3,507 | 3,610 | ||||||
Fannie Mae 7.50% 2037 | 2,663 | 2,743 | ||||||
Fannie Mae 7.50% 2037 | 2,356 | 2,425 | ||||||
Fannie Mae 7.50% 2037 | 1,994 | 2,052 | ||||||
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041 | 7,672 | 7,840 | ||||||
Fannie Mae, Series 2001-50, Class BA, 7.00% 2041 | 2,421 | 2,467 | ||||||
Fannie Mae, Series 2002-W1, Class 2A, 7.50% 2042 | 5,312 | 5,480 | ||||||
Freddie Mac 8.25% 2007 | 3 | 3 | ||||||
Freddie Mac 8.25% 2007 | — | — | ||||||
Freddie Mac 8.50% 2007 | — | — | ||||||
Freddie Mac 8.50% 2008 | 2 | 2 | ||||||
Freddie Mac 8.50% 2008 | 1 | 1 | ||||||
Freddie Mac 8.50% 2008 | — | — | ||||||
Freddie Mac 8.50% 2008 | — | — | ||||||
Freddie Mac 8.75% 2008 | 15 | 15 | ||||||
Freddie Mac 8.75% 2008 | 3 | 3 | ||||||
Freddie Mac 8.75% 2008 | 3 | 3 | ||||||
Freddie Mac 8.75% 2008 | 1 | 1 | ||||||
Freddie Mac 8.00% 2009 | 2 | 2 | ||||||
Freddie Mac 8.50% 2009 | 46 | 47 | ||||||
Freddie Mac 8.50% 2010 | 46 | 47 | ||||||
Freddie Mac 8.50% 2010 | 6 | 6 | ||||||
Freddie Mac 4.00% 2015 | 35,438 | 33,022 | ||||||
Freddie Mac 6.00% 2017 | 576 | 580 | ||||||
Freddie Mac, Series 2310, Class A, 10.516% 20171 | 692 | 744 | ||||||
Freddie Mac 5.00% 2018 | 19,950 | 19,355 | ||||||
Freddie Mac 11.00% 2018 | 87 | 95 | ||||||
Freddie Mac 5.50% 2019 | 12,341 | 12,197 | ||||||
Freddie Mac 8.50% 2020 | 197 | 209 | ||||||
Freddie Mac 8.50% 2020 | 64 | 68 | ||||||
Freddie Mac, Series 41, Class F, 10.00% 2020 | 126 | 126 | ||||||
Freddie Mac, Series 178, Class Z, 9.25% 2021 | 93 | 96 | ||||||
Freddie Mac 5.00% 2022 | 24,065 | 23,243 | ||||||
Freddie Mac, Series 2626, Class NG, 3.50% 2023 | 2,177 | 1,954 | ||||||
Freddie Mac, Series 2922, Class EL, 4.50% 2023 | 50,358 | 48,372 | ||||||
Freddie Mac, Series 1617, Class PM, 6.50% 2023 | 2,678 | 2,737 | ||||||
Freddie Mac 6.00% 2026 | 43,796 | 43,594 | ||||||
Freddie Mac 6.00% 2026 | 4,828 | 4,806 | ||||||
Freddie Mac 8.00% 2026 | 115 | 121 | ||||||
Freddie Mac 5.50% 2027 | 19,718 | 19,175 | ||||||
Freddie Mac 6.00% 2027 | 241,315 | 240,202 | ||||||
Freddie Mac 8.50% 2027 | 25 | 27 | ||||||
Freddie Mac, Series 2153, Class GG, 6.00% 2029 | 4,563 | 4,581 | ||||||
Freddie Mac, Series 2122, Class QM, 6.25% 2029 | 8,244 | 8,288 | ||||||
Freddie Mac 4.50% 2035 | 26,752 | 24,340 | ||||||
Freddie Mac 4.648% 20351 | 18,815 | 18,446 | ||||||
Freddie Mac 5.00% 2035 | 44,192 | 41,490 | ||||||
Freddie Mac, Series 3061, Class PN, 5.50% 2035 | 56,312 | 55,898 | ||||||
Freddie Mac 5.50% 2035 | 21,297 | 20,587 | ||||||
Freddie Mac 5.50% 2035 | 21,274 | 20,565 | ||||||
Freddie Mac, Series 3136, Class OP, principal only, 0% 2036 | 9,455 | 6,847 | ||||||
Freddie Mac, Series 3147, Class OD, principal only, 0% 2036 | 6,309 | 4,740 | ||||||
Freddie Mac, Series 3149, Class AO, principal only, 0% 2036 | 6,089 | 4,664 | ||||||
Freddie Mac, Series 3149, Class MO, principal only, 0% 2036 | 6,309 | 4,616 | ||||||
Freddie Mac, Series 3257, Class PA, 5.50% 2036 | 56,354 | 55,314 | ||||||
Freddie Mac 5.50% 2036 | 36,572 | 35,325 | ||||||
Freddie Mac, Series 3233, Class PA, 6.00% 2036 | 47,793 | 47,867 | ||||||
Freddie Mac, Series 3156, Class NG, 6.00% 2036 | 15,956 | 16,064 | ||||||
Freddie Mac, Series 3286, Class JN, 5.50% 2037 | 72,102 | 70,333 | ||||||
Freddie Mac 5.50% 2037 | 49,546 | 47,810 | ||||||
Freddie Mac, Series 3318, Class JT, 5.50% 2037 | 39,662 | 38,669 | ||||||
Freddie Mac 5.50% 2037 | 35,000 | 33,774 | ||||||
Freddie Mac, Series 3312, Class PA, 5.50% 2037 | 30,505 | 29,755 | ||||||
Freddie Mac 6.00% 2037 | 317,795 | 314,344 | ||||||
Freddie Mac, Series 3271, Class OA, 6.00% 2037 | 19,733 | 19,886 | ||||||
Freddie Mac 6.027% 20371 | 39,466 | 39,563 | ||||||
Freddie Mac 6.253% 20371 | 26,327 | 26,500 | ||||||
Freddie Mac 6.405% 20371 | 46,153 | 46,582 | ||||||
CS First Boston Mortgage Securities Corp., Series 2003-23, Class II-A-8, 4.50% 2018 | 13,468 | 12,684 | ||||||
CS First Boston Mortgage Securities Corp., Series 2003-27, Class VI-A-1, 5.00% 2018 | 10,230 | 9,813 | ||||||
CS First Boston Mortgage Securities Corp., Series 2003-23, Class VII-A-1, 5.00% 2018 | 5,056 | 4,849 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-6, Class II-A-1, 4.75% 2019 | 20,242 | 19,248 | ||||||
CS First Boston Mortgage Securities Corp., Series 2002-30, Class I-A-1, 7.50% 2032 | 886 | 889 | ||||||
CS First Boston Mortgage Securities Corp., Series 2002-34, Class I-A-1, 7.50% 2032 | 88 | 88 | ||||||
CS First Boston Mortgage Securities Corp., Series 2003-AR12, Class II-A-2, 4.323% 20331 | 731 | 728 | ||||||
CS First Boston Mortgage Securities Corp., Series 2003-21, Class V-A-1, 6.50% 2033 | 5,151 | 5,163 | ||||||
CS First Boston Mortgage Securities Corp., Series 2003-29, Class V-A-1, 7.00% 2033 | 1,359 | 1,386 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class VII-A-2, 4.604% 20341 | 18,146 | 17,879 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-5, Class IV-A-1, 6.00% 2034 | 9,420 | 9,260 | ||||||
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-3, 6.238% 2034 | 5,456 | 5,459 | ||||||
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-4, 6.505% 2034 | 460 | 471 | ||||||
CS First Boston Mortgage Securities Corp., Series 2002-CP5, Class A-1, 4.106% 2035 | 1,053 | 1,022 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-6, Class VI-A-1, 6.00% 2035 | 16,256 | 16,211 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-5, Class IV-A-1, 6.25% 2035 | 6,345 | 6,323 | ||||||
CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A-3, 6.38% 2035 | 49,122 | 50,077 | ||||||
CS First Boston Mortgage Securities Corp., Series 2002-CKP1, Class F, 7.067% 20352 | 1,500 | 1,567 | ||||||
CS First Boston Mortgage Securities Corp., Series 2006-2R, Class A-PO, principal only, 0% 20362 | 31,371 | 20,460 | ||||||
CS First Boston Mortgage Securities Corp., Series 2006-7, Class 6-A-3, 5.50% 2036 | 30,654 | 30,121 | ||||||
CS First Boston Mortgage Securities Corp., Series 2006-2, Class 5-A-6, 6.00% 2036 | 30,967 | 30,833 | ||||||
CS First Boston Mortgage Securities Corp., Series 2002-CKS4, Class G, 6.006% 20361,2 | 500 | 491 | ||||||
CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-3, 6.387% 2036 | 26,650 | 27,312 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-1A, 3.883% 2037 | 3,035 | 3,006 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-2, 4.183% 2037 | 16,000 | 15,504 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-3, 4.499% 2037 | 12,900 | 12,326 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A-2, 4.512% 2037 | 1,690 | 1,640 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A-AB, 4.614% 2037 | 20,000 | 19,035 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C2, Class A-MFX, 4.877% 2037 | 10,000 | 9,387 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-C1, Class E, 5.015% 20371,2 | 8,240 | 7,678 | ||||||
CS First Boston Mortgage Securities Corp., Series 2007-2, Class 3-A-4, 5.50% 2037 | 6,500 | 6,130 | ||||||
CS First Boston Mortgage Securities Corp., Series 2007-3, Class 1-A-1A, 5.837% 20371 | 18,221 | 18,129 | ||||||
CS First Boston Mortgage Securities Corp., Series 2003-C3, Class F, 4.518% 20382 | 2,000 | 1,831 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C1, Class A-3, 4.813% 2038 | 20,710 | 19,975 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C4, Class A-2, 5.017% 2038 | 10,000 | 9,826 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C5, Class A-AB, 5.10% 20381 | 12,000 | 11,618 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-C4, Class A-4, 4.283% 2039 | 20,600 | 19,562 | ||||||
CS First Boston Mortgage Securities Corp., Series 2006-C1, Class A-3, 5.711% 20391 | 14,750 | 14,692 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C6, Class A-3, 5.23% 20401 | 42,000 | 40,841 | ||||||
CS First Boston Mortgage Securities Corp., Series 1999-C1, Class D, 8.067% 20411 | 725 | 764 | ||||||
Countrywide Alternative Loan Trust, Series 2004-5CB, Class 2-A-1, 5.00% 2019 | 9,075 | 8,749 | ||||||
Countrywide Alternative Loan Trust, Series 2006-J3, Class 2-A-1, 4.75% 2020 | 12,601 | 11,963 | ||||||
Countrywide Alternative Loan Trust, Series 2005-J8, Class 2-A-1, 5.00% 2020 | 15,977 | 15,324 | ||||||
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 7-A-1, 5.00% 2020 | 3,853 | 3,721 | ||||||
Countrywide Alternative Loan Trust, Series 2005-9CB, Class 2-A-1, 6.00% 2020 | 6,681 | 6,671 | ||||||
Countrywide Alternative Loan Trust, Series 2005-46CB, Class A-8, 5.50% 2035 | 79,091 | 78,535 | ||||||
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 1-A-7, 5.50% 2035 | 48,658 | 48,415 | ||||||
Countrywide Alternative Loan Trust, Series 2005-49CB, Class A-1, 5.50% 2035 | 30,586 | 30,373 | ||||||
Countrywide Alternative Loan Trust, Series 2005-40CB, Class A-1, 5.50% 2035 | 19,450 | 18,651 | ||||||
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-9, 5.50% 2035 | 12,716 | 12,622 | ||||||
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5-A-1, 5.75% 2035 | 2,658 | 2,580 | ||||||
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-17, 6.00% 2035 | 30,224 | 29,863 | ||||||
Countrywide Alternative Loan Trust, Series 2004-36CB, Class 1-A-1, 6.00% 2035 | 14,181 | 14,165 | ||||||
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 6-A-1, 6.00% 2035 | 1,134 | 1,115 | ||||||
Countrywide Alternative Loan Trust, Series 2005-62, Class 2-A-1, 6.029% 20351 | 17,990 | 18,035 | ||||||
Countrywide Alternative Loan Trust, Series 2006-16CB, Class A-2, 6.00% 2036 | 28,464 | 28,376 | ||||||
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A-1, 6.00% 2036 | 22,793 | 22,715 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class F, 6.191% 20341,2 | 2,500 | 2,506 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C3, Class A-1, 4.20% 2035 | 1,120 | 1,092 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC11, Class A-2, 5.016% 2037 | 11,232 | 11,066 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC12, Class A-3B, 5.51% 20371 | 61,300 | 60,490 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class E, 6.135% 20372 | 400 | 401 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1, Class A-1, 3.972% 2039 | 14,300 | 13,910 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A-3, 4.545% 2042 | 21,000 | 20,089 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class A-2, 4.575% 2042 | 20,058 | 19,486 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-2, 4.79% 2042 | 10,508 | 10,304 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-3A1, 4.871% 2042 | 25,000 | 24,286 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class A-4A, 4.936% 20421 | 805 | 758 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A-2, 5.198% 2044 | 10,080 | 9,972 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CIBC14, Class A-4, 5.481% 20441 | 4,500 | 4,390 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046 | 91,455 | 89,672 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2003-16, Class II-A-1, 4.50% 2018 | 17,277 | 16,276 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2003-11, Class II-A-1, 4.75% 2018 | 11,230 | 10,677 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2004-7, Class II-A-1, 4.50% 2019 | 21,116 | 19,894 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2004-7, Class I-A-1, 4.50% 2019 | 3,738 | 3,522 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2004-2, Class A-1, 5.00% 2019 | 6,346 | 6,090 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2005-1, Class I-A-1, 4.75% 2020 | 86,868 | 82,609 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2005-13, Class A-1, 5.00% 2020 | 36,828 | 35,348 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2003-3, Class II-A-1, 5.25% 2033 | 19,763 | 19,363 | ||||||
Wells Fargo Mortgage-backed Securities Trust, Series 2006-AR15, Class A-1, 5.663% 20361 | 58,112 | 57,498 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S12, Class 1-A-1, 4.50% 2018 | 9,684 | 9,123 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S6, Class II-A-3, 4.75% 2018 | 1,268 | 1,206 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S12, Class A-3, 5.00% 2018 | 20,796 | 19,953 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-CB2, Class VII-A, 5.50% 2019 | 1,557 | 1,549 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A-7, 3.842% 20331 | 25,816 | 25,278 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A, 4.03% 20331 | 5,794 | 5,772 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A-7, 4.208% 20331 | 5,015 | 4,949 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR6, Class A-1, 4.333% 20331 | 13,023 | 12,991 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A, 4.549% 20341 | 30,032 | 29,631 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 3-A1, 5.828% 20371 | 49,941 | 49,393 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR15, Class A-1-A, 5.58% 20451 | 13,104 | 13,155 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 1998-C1, Class A-1, 6.34% 2030 | 534 | 534 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-WF2, Class X, interest only, 0.389% 20311 | 213,226 | 2,230 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-C1, Class X, interest only, 1.239% 20311,2 | 141,359 | 3,055 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF2, Class A-2, 7.32% 2032 | 16,480 | 17,240 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 2002-PBW1, Class A-1, 3.97% 2035 | 17,903 | 17,529 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 2001-TOP2, Class D, 6.94% 20352 | 3,000 | 3,096 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-1, 3.688% 2041 | 2,088 | 2,060 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-4, 4.521% 2041 | 10,000 | 9,544 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-2, 4.735% 2042 | 64,000 | 62,692 | ||||||
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-3, 4.868% 2042 | 38,825 | 37,326 | ||||||
Residential Accredit Loans, Inc., Series 2003-QS16, Class A-1, 5.00% 2018 | 16,943 | 16,267 | ||||||
Residential Accredit Loans, Inc., Series 2004-QS6, Class A-1, 5.00% 2019 | 5,559 | 5,334 | ||||||
Residential Accredit Loans, Inc., Series 2004-QS16, Class 1-A-1, 5.50% 2034 | 10,544 | 10,422 | ||||||
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034 | 36,362 | 35,879 | ||||||
Residential Accredit Loans, Inc., Series 2004-QS12, Class M-1, 6.00% 2034 | 2,402 | 2,305 | ||||||
Residential Accredit Loans, Inc., Series 2005-QS4, Class A-3, 5.50% 2035 | 33,567 | 33,220 | ||||||
Residential Accredit Loans, Inc., Series 2005-QS9, Class A-6, 5.50% 2035 | 1,000 | 952 | ||||||
Residential Accredit Loans, Inc., Series 2005-QS5, Class A-5, 5.75% 2035 | 3,000 | 2,897 | ||||||
Residential Accredit Loans, Inc., Series 2006-QS10, Class I-A, 6.00% 2035 | 10,142 | 10,085 | ||||||
Residential Accredit Loans, Inc., Series 2006-QS1, Class A-3, 5.75% 2036 | 7,518 | 7,496 | ||||||
Residential Accredit Loans, Inc., Series 2007-QS7, Class II-A-1, 6.75% 2037 | 14,397 | 14,521 | ||||||
Crown Castle Towers LLC, Series 2005-1, Class A-FX, 4.643% 20352 | 36,000 | 35,071 | ||||||
Crown Castle Towers LLC, Series 2005-1, Class C, 5.074% 20352 | 43,000 | 42,180 | ||||||
Crown Castle Towers LLC, Series 2006-1, Class E, 6.065% 20362 | 28,000 | 27,497 | ||||||
Crown Castle Towers LLC, Series 2006-1, Class F, 6.650% 20362 | 10,350 | 10,216 | ||||||
Crown Castle Towers LLC, Series 2006-1, Class G, 6.795% 20362 | 1,400 | 1,380 | ||||||
SBA CMBS Trust, Series 2005-1, Class A, 5.369% 20352 | 33,000 | 32,735 | ||||||
SBA CMBS Trust, Series 2005-1, Class B, 5.565% 20352 | 3,300 | 3,285 | ||||||
SBA CMBS Trust, Series 2005-1, Class E, 6.706% 20352 | 7,460 | 7,516 | ||||||
SBA CMBS Trust, Series 2006-1A, Class A, 5.314% 20362 | 48,500 | 47,812 | ||||||
SBA CMBS Trust, Series 2006-1A, Class B, 5.451% 20362 | 7,680 | 7,583 | ||||||
SBA CMBS Trust, Series 2006-1A, Class D, 5.852% 20362 | 3,485 | 3,439 | ||||||
SBA CMBS Trust, Series 2006-1A, Class F, 6.709% 20362 | 375 | 371 | ||||||
SBA CMBS Trust, Series 2006-1A, Class G, 6.904% 20362 | 3,375 | 3,340 | ||||||
SBA CMBS Trust, Series 2006-1A, Class H, 7.389% 20362 | 3,375 | 3,320 | ||||||
SBA CMBS Trust, Series 2006-1A, Class J, 7.825% 20362 | 2,375 | 2,350 | ||||||
Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class III-A-1, 6.25% 2037 | 81,750 | 80,990 | ||||||
Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class IV-A-1, 6.50% 2037 | 28,750 | 28,773 | ||||||
American Tower Trust I, Series 2007-1A, Class A-FX, 5.42% 20372 | 33,100 | 32,475 | ||||||
American Tower Trust I, Series 2007-1A, Class B, 5.537% 20372 | 10,000 | 9,769 | ||||||
American Tower Trust I, Series 2007-1A, Class C, 5.615% 20372 | 10,000 | 9,705 | ||||||
American Tower Trust I, Series 2007-1A, Class D, 5.957% 20372 | 34,000 | 32,585 | ||||||
American Tower Trust I, Series 2007-1A, Class E, 6.249% 20372 | 11,375 | 11,024 | ||||||
American Tower Trust I, Series 2007-1A, Class F, 6.639% 20372 | 13,470 | 12,991 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-2, 3.958% 2035 | 4,200 | 4,107 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-3, 4.608% 2035 | 1,979 | 1,912 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2004-C14, Class A-2, 4.368% 2041 | 1,530 | 1,487 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-2, 4.782% 2042 | 24,000 | 23,628 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C18, Class A-PB, 4.807% 2042 | 3,000 | 2,872 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-4, 5.083% 20421 | 35,000 | 33,383 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A-7, 5.118% 20421 | 4,650 | 4,431 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A-PB, 5.446% 20441 | 8,038 | 7,845 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A-PB, 5.446% 2045 | 16,750 | 16,471 | ||||||
Bear Stearns ARM Trust, Series 2003-6, Class I-A-2, 3.975% 20331 | 22,082 | 21,795 | ||||||
Bear Stearns ARM Trust, Series 2003-3, Class II-A-2, 4.023% 20331 | 4,425 | 4,403 | ||||||
Bear Stearns ARM Trust, Series 2003-3, Class III-A-1, 5.113% 20331 | 4,876 | 4,819 | ||||||
Bear Stearns ARM Trust, Series 2004-3, Class II-A, 4.213% 20341 | 12,554 | 12,313 | ||||||
Bear Stearns ARM Trust, Series 2003-9, Class III-A-2, 4.963% 20341 | 2,197 | 2,159 | ||||||
Bear Stearns ARM Trust, Series 2005-10, Class A-3, 4.65% 20351 | 51,800 | 50,317 | ||||||
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036 | 52,663 | 54,044 | ||||||
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-3, 4.561% 2041 | 9,975 | 9,565 | ||||||
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-AB, 4.673% 2041 | 2,000 | 1,921 | ||||||
Banc of America Commercial Mortgage Inc., Series 2005-1, Class A-4, 5.024% 20421 | 14,200 | 13,893 | ||||||
Banc of America Commercial Mortgage Inc., Series 2005-3, Class A-2, 4.501% 2043 | 1,260 | 1,223 | ||||||
Lehman Mortgage Trust, Series 2005-1, Class 6-A1, 5.00% 2020 | 36,151 | 34,689 | ||||||
Lehman Mortgage Trust, Series 2007-6, Class 2-A1, 6.911% 20371 | 44,580 | 45,320 | ||||||
CHL Mortgage Pass-Through Trust, Series 2004-J6, Class 3-A-1, 5.00% 2019 | 21,965 | 21,077 | ||||||
CHL Mortgage Pass-Through Trust, Series 2003-HYB3, Class 4-A-1, 3.458% 20331 | 3,221 | 3,203 | ||||||
CHL Mortgage Pass-Through Trust, Series 2003-27, Class A-1, 3.688% 20331 | 6,968 | 6,950 | ||||||
CHL Mortgage Pass-Through Trust, Series 2004-22, Class A-2, 4.633% 20341 | 8,703 | 8,560 | ||||||
CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A-3, 5.109% 20341 | 3,647 | 3,642 | ||||||
CHL Mortgage Pass-Through Trust, Series 2005-HYB8, Class 4-A-1, 5.643% 20351 | 28,615 | 28,396 | ||||||
GSR Mortgage Loan Trust, Series 2004-2F, Class XIIIA-1, 5.00% 2019 | 15,914 | 15,494 | ||||||
GSR Mortgage Loan Trust, Series 2004-15F, Class 5A-1, 5.50% 2020 | 40,190 | 39,298 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 2-A-1, 4.936% 20351 | 11,984 | 11,831 | ||||||
Chase Commercial Mortgage Securities Corp., Series 1998-2, Class A-2, 6.39% 2030 | 39,890 | 40,226 | ||||||
Chase Commercial Mortgage Securities Corp., Series 1998-1, Class A-2, 6.56% 2030 | 10,002 | 10,040 | ||||||
Chase Commercial Mortgage Securities Corp., Series 2000-2, Class A-1, 7.543% 2032 | 8,014 | 8,124 | ||||||
Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-2, 7.757% 2032 | 6,038 | 6,288 | ||||||
MASTR Alternative Loan Trust, Series 2004-5, Class 5-A-1, 4.75% 2019 | 7,783 | 7,398 | ||||||
MASTR Alternative Loan Trust, Series 2004-5, Class 4-A-1, 5.50% 2019 | 21,026 | 20,557 | ||||||
MASTR Alternative Loan Trust, Series 2004-10, Class 2-A-1, 5.50% 2019 | 5,300 | 5,184 | ||||||
MASTR Alternative Loan Trust, Series 2003-2, Class 6-A-1, 6.00% 2033 | 678 | 665 | ||||||
MASTR Alternative Loan Trust, Series 2004-2, Class 2-A-1, 6.00% 2034 | 1,274 | 1,252 | ||||||
MASTR Alternative Loan Trust, Series 2005-1, Class 1-A-1, 5.50% 2035 | 15,442 | 14,790 | ||||||
MASTR Alternative Loan Trust, Series 2005-3, Class 1-A-1, 5.50% 2035 | 3,757 | 3,584 | ||||||
MASTR Alternative Loan Trust, Series 2005-3, Class 2-A-1, 6.00% 2035 | 4,917 | 4,893 | ||||||
MASTR Alternative Loan Trust, Series 2005-3, Class 3-A-1, 6.50% 2035 | 498 | 502 | ||||||
Banc of America Mortgage Securities Trust, Series 2004-7, Class 6-A-1, 4.50% 2019 | 10,120 | 9,519 | ||||||
Banc of America Mortgage Securities Trust, Series 2004-5, Class 3-A-2, 4.75% 2019 | 17,960 | 17,078 | ||||||
Banc of America Mortgage Securities Trust, Series 2003-10, Class 3-A-1, 5.00% 2019 | 4,984 | 4,782 | ||||||
Banc of America Mortgage Securities Trust, Series 2003-F, Class 2-A-1, 3.734% 20331 | 18,760 | 18,526 | ||||||
Banc of America Mortgage Securities Trust, Series 2003-I, Class 3-A-1, 4.538% 20331 | 8,624 | 8,436 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class D, 6.997% 2029 | 8,300 | 8,304 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class F, 7.222% 2029 | 1,800 | 1,863 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2001-C1, Class A-2, 6.465% 2034 | 30,250 | 30,984 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class C, 6.50% 2035 | 9,000 | 9,086 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2003-C1, Class F, 4.718% 20361,2 | 1,000 | 926 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2003-C1, Class G, 4.817% 20361,2 | 1,000 | 931 | ||||||
Chase Mortgage Finance Trust, Series 2003-S9, Class A-1, 5.00% 2018 | 51,488 | 49,405 | ||||||
Tower Ventures, LLC, Series 2006-1, Class A-2, 5.45% 20362 | 22,500 | 22,282 | ||||||
Tower Ventures, LLC, Series 2006-1, Class C, 5.707% 20362 | 3,670 | 3,650 | ||||||
Tower Ventures, LLC, Series 2006-1, Class D, 6.052% 20362 | 10,000 | 9,954 | ||||||
Tower Ventures, LLC, Series 2006-1, Class E, 6.495% 20362 | 4,730 | 4,729 | ||||||
Tower Ventures, LLC, Series 2006-1, Class F, 7.036% 20362 | 8,730 | 8,714 | ||||||
Nykredit 4.00% 2035 | DKr302,833 | 48,662 | ||||||
Residential Asset Securitization Trust, Series 2004-A6, Class A-1, 5.00% 2019 | $ | 19,554 | 18,812 | |||||
Residential Asset Securitization Trust, Series 2005-A8CB, Class A-11, 6.00% 2035 | 17,865 | 17,540 | ||||||
Residential Asset Securitization Trust, Series 2005-A6CB, Class A-7, 6.00% 2035 | 11,843 | 11,767 | ||||||
J.P. Morgan Alternative Loan Trust, Series 2006-S3, Class A-6, 6.12% 20361 | 44,563 | 44,361 | ||||||
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20262 | 39,928 | 42,791 | ||||||
Banc of America Funding Trust, Series 2004-3, Class 2-A-2, 5.00% 2019 | 14,850 | 14,250 | ||||||
Banc of America Funding Trust, Series 2005-H, Class 9-A-1, 5.942% 20351 | 27,062 | 26,937 | ||||||
Deutsche Genossenschaftsbank-Hypothekenbank AG 5.25% 2009 | €29,447 | 40,395 | ||||||
Commercial Mortgage Trust, Series 2004-LB3A, Class A-4, 5.234% 2037 | $ | 10,956 | 10,772 | |||||
Commercial Mortgage Trust, Series 2003-LNB1, Class A-2, 4.084% 2038 | 20,000 | 18,426 | ||||||
Commercial Mortgage Trust, Series 2004-LNB2, Class A-3, 4.221% 2039 | 9,955 | 9,569 | ||||||
Structured Asset Securities Corp., Series 2003-20, Class 2-A-4, 4.50% 2018 | 5,504 | 5,185 | ||||||
Structured Asset Securities Corp., Series 2003-29, Class 1-A-1, 4.75% 2018 | 13,125 | 12,479 | ||||||
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.515% 20271,2 | 5,709 | 5,701 | ||||||
Structured Asset Securities Corp., Series 1998-RF1, Class A, 8.738% 20271,2 | 2,090 | 2,087 | ||||||
Structured Asset Securities Corp., Series 1999-RF1, Class A, 7.837% 20281,2 | 1,362 | 1,375 | ||||||
Structured Asset Securities Corp., Series 2003-17A, Class 3-A-1, 4.01% 20331 | 1,663 | 1,658 | ||||||
Structured Asset Securities Corp., Series 2005-6, Class 5-A-4, 5.00% 2035 | 6,754 | 6,178 | ||||||
Structured Asset Securities Corp., Series 2005-6, Class 5-A-9, 5.00% 2035 | 2,540 | 2,478 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2025 | 14,547 | 15,297 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2002-C1, Class A-3, 6.226% 2026 | 8,300 | 8,401 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A-2, 5.103% 2030 | 3,468 | 3,414 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A-M, 5.017% 20401 | 10,000 | 9,443 | ||||||
GS Mortgage Securities Corp. II, Series 1998-C1, Class E, 7.322% 20301 | 31,076 | 31,630 | ||||||
GS Mortgage Securities Corp. II, Series 1998-C1, Class D, 7.322% 20301 | 3,750 | 3,818 | ||||||
GMAC Mortgage Loan Trust, Series 2006-AR1, Class 2-A-1, 5.649% 20361 | 35,748 | 35,380 | ||||||
Residential Asset Mortgage Products, Trust, Series 2004-RS9, Class A-I-4, AMBAC insured, 4.767% 2032 | 10,000 | 9,883 | ||||||
Residential Asset Mortgage Products, Trust, Series 2004-RS10, Class A-I-6, 4.55% 2034 | 26,100 | 24,583 | ||||||
Bear Stearns Asset-backed Securities I Trust, Series 2005-AC8, Class A-4, 5.50% 2035 | 13,776 | 13,647 | ||||||
Bear Stearns Asset-backed Securities I Trust, Series 2006-AC2, Class II-1A-1, 6.00% 2036 | 18,784 | 18,756 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class II-A, 4.61% 20331 | 9,468 | 9,512 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class II-A-1, 4.568% 20341 | 21,072 | 20,956 | ||||||
Banc of America Alternative Loan Trust, Series 2005-4, Class 2-A-1, 5.00% 2020 | 15,169 | 14,555 | ||||||
Banc of America Alternative Loan Trust, Series 2005-6, Class 2-CB-2, 6.00% 2035 | 14,482 | 14,310 | ||||||
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-1, 6.341% 2033 | 1,057 | 1,060 | ||||||
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-2, 6.592% 2033 | 17,250 | 17,704 | ||||||
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-2, 6.226% 2035 | 1,462 | 1,462 | ||||||
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035 | 7,920 | 8,117 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR5, Class 2-A-1, 5.859% 20361 | 28,564 | 28,251 | ||||||
Bear Stearns ALT-A Trust, Series 2006-2, Class II-4-A-1, 5.929% 20361 | 28,336 | 28,215 | ||||||
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class A-2, 7.439% 2031 | 4,867 | 5,028 | ||||||
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class B, 7.619% 2031 | 17,125 | 17,814 | ||||||
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class C, 7.625% 2031 | 5,000 | 5,207 | ||||||
GE Commercial Mortgage Corp., Series 2004-C3, Class B, 5.278% 20391 | 8,000 | 7,701 | ||||||
GE Commercial Mortgage Corp., Series 2004-C2, Class B, 4.983% 2040 | 19,193 | 18,148 | ||||||
GE Commercial Mortgage Corp., Series 2006-C1, Class A-4, 5.518% 20441 | 1,200 | 1,164 | ||||||
Washington Mutual Mortgage, WMALT Series 2005-4, Class 3-CB, 5.50% 2020 | 9,100 | 8,900 | ||||||
Washington Mutual Mortgage, WMALT Series 2005-AR1, Class A-1-A, 5.58% 20351 | 6,305 | 6,310 | ||||||
Washington Mutual Mortgage, WMALT Series 2005-1, Class 6-A-1, 6.50% 2035 | 1,301 | 1,312 | ||||||
Washington Mutual Mortgage, WMALT Series 2006-1, Class 4-CB, 6.50% 2036 | 10,247 | 10,287 | ||||||
CSAB Mortgage-backed Trust, Series 2006-2, Class A-6-A, 5.72% 20361 | 25,000 | 24,509 | ||||||
Adjustable Rate Mortgage Trust, Series 2006-1, Class 3-A-3, 5.93% 20361 | 23,824 | 23,774 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4-A, 5.684% 20341 | 21,556 | 20,872 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 3-A, 6.00% 2034 | 2,744 | 2,697 | ||||||
HarborView Mortgage Loan Trust, Series 2005-15, Class 2-A1A2, 6.12% 20451 | 22,943 | 23,157 | ||||||
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-1, 6.079% 2033 | 148 | 149 | ||||||
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-2, 6.531% 2033 | 18,090 | 18,638 | ||||||
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-1, 5.56% 2038 | 1,698 | 1,700 | ||||||
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-2, 6.07% 2038 | 2,500 | 2,540 | ||||||
Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035 | 17,468 | 17,664 | ||||||
Morgan Stanley Dean Witter Capital I Trust, Series 2003-TOP9, Class A-1, 3.98% 2036 | 5,235 | 5,085 | ||||||
Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030 | 11,922 | 11,994 | ||||||
Morgan Stanley Capital I, Inc., Series 1999-FNV1, Class A-2, 6.53% 2031 | 9,491 | 9,592 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2003-UST1, Class A-3, 5.00% 2018 | 15,320 | 14,619 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A-3-1, 4.55% 20341 | 3,777 | 3,751 | ||||||
Prudential Securities Secured Financing Corp., Series 1999-NRF1, Class C, 6.746% 2031 | 18,000 | 18,317 | ||||||
Banc of America Mortgage Securities, Inc., Series 2004-7, Class 7-A-1, 5.00% 2019 | 13,407 | 12,844 | ||||||
Banc of America Mortgage Securities, Inc., Series 2003-G, Class 2-A-1, 4.088% 20331 | 5,464 | 5,427 | ||||||
SunTrust Alternative Loan Trust, Series 2005-1F, Class 3-A-1, 6.50% 2035 | 16,933 | 16,990 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A-4-1, 5.243% 20371 | 15,000 | 14,713 | ||||||
Dexia Municipal Agency 3.50% 2009 | €10,076 | 13,319 | ||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class I-A-14, 5.50% 2035 | $ | 12,279 | 12,193 | |||||
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class A-3-A, 4.949% 20381 | 8,500 | 8,208 | ||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class A-3, 5.843% 20391 | 3,050 | 3,049 | ||||||
First Horizon Mortgage Pass-Through Trust, Series 2003-5, Class II-A-2, 5.00% 2018 | 10,799 | 10,558 | ||||||
DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032 | 9,467 | 9,585 | ||||||
Residential Funding Mortgage Securities I, Inc., Series 2004-SA1, Class A-II, 4.298% 20341 | 9,245 | 9,061 | ||||||
Government National Mortgage Assn. 6.50% 2008 | 50 | 51 | ||||||
Government National Mortgage Assn. 6.50% 2008 | 15 | 16 | ||||||
Government National Mortgage Assn. 7.50% 2008 | 12 | 12 | ||||||
Government National Mortgage Assn. 7.50% 2008 | 11 | 11 | ||||||
Government National Mortgage Assn. 7.50% 2008 | 10 | 10 | ||||||
Government National Mortgage Assn. 7.50% 2008 | 5 | 5 | ||||||
Government National Mortgage Assn. 7.50% 2008 | 2 | 2 | ||||||
Government National Mortgage Assn. 6.50% 2009 | 23 | 23 | ||||||
Government National Mortgage Assn. 7.50% 2009 | 25 | 25 | ||||||
Government National Mortgage Assn. 7.50% 2009 | 21 | 22 | ||||||
Government National Mortgage Assn. 7.50% 2009 | 18 | 18 | ||||||
Government National Mortgage Assn. 7.50% 2009 | 14 | 14 | ||||||
Government National Mortgage Assn. 7.50% 2009 | 12 | 12 | ||||||
Government National Mortgage Assn. 7.50% 2009 | 12 | 12 | ||||||
Government National Mortgage Assn. 7.50% 2009 | 8 | 9 | ||||||
Government National Mortgage Assn. 9.00% 2009 | 204 | 207 | ||||||
Government National Mortgage Assn. 9.50% 2009 | 277 | 284 | ||||||
Government National Mortgage Assn. 9.50% 2009 | 21 | 21 | ||||||
Government National Mortgage Assn. 9.00% 2016 | 108 | 117 | ||||||
Government National Mortgage Assn. 9.00% 2017 | 28 | 30 | ||||||
Government National Mortgage Assn. 9.50% 2019 | 215 | 238 | ||||||
Government National Mortgage Assn. 8.50% 2020 | 47 | 50 | ||||||
Government National Mortgage Assn. 8.50% 2020 | 29 | 31 | ||||||
Government National Mortgage Assn. 9.50% 2020 | 86 | 95 | ||||||
Government National Mortgage Assn. 10.00% 2020 | 643 | 719 | ||||||
Government National Mortgage Assn. 8.50% 2021 | 215 | 231 | ||||||
Government National Mortgage Assn. 8.50% 2021 | 144 | 155 | ||||||
Government National Mortgage Assn. 8.50% 2021 | 62 | 66 | ||||||
Government National Mortgage Assn. 8.50% 2021 | 37 | 40 | ||||||
Government National Mortgage Assn. 10.00% 2021 | 1,362 | 1,505 | ||||||
Government National Mortgage Assn. 9.00% 2022 | 26 | 28 | ||||||
Government National Mortgage Assn. 8.50% 2023 | 29 | 31 | ||||||
Government National Mortgage Assn. 8.50% 2024 | 25 | 27 | ||||||
Government National Mortgage Assn. 8.50% 2024 | 23 | 25 | ||||||
Government National Mortgage Assn. 8.50% 2027 | 30 | 32 | ||||||
Government National Mortgage Assn. 8.50% 2028 | 24 | 26 | ||||||
Government National Mortgage Assn. 8.50% 2029 | 28 | 30 | ||||||
Government National Mortgage Assn., Series 2005-58, Class NO, principal only, 0% 2035 | 5,555 | 4,080 | ||||||
American General Mortgage Loan Trust, Series 2006-1, Class A-5, 5.75% 20351,2 | 8,500 | 8,257 | ||||||
Hypothekenbank in Essen AG 5.25% 2008 | €6,000 | 8,155 | ||||||
Specialty Underwriting and Residential Finance Trust, Series 2004-AA1, Class I-A1, 5.00% 2034 | $ | 8,254 | 8,048 | |||||
Morgan Stanley Capital I Trust, Series 2005-HQ7, Class A-2, 5.373% 20421 | 7,875 | 7,733 | ||||||
Rheinische Hypothekenbank Eurobond 4.25% 2008 | €5,000 | 6,750 | ||||||
CS First Boston Mortgage Acceptance Corp., Series 2004-7, Class IV-A-1, 4.50% 2019 | $ | 6,287 | 5,922 | |||||
Citicorp Mortgage Securities, Inc., Series 2004-5, Class II-A-5, 5.00% 2034 | 6,087 | 5,899 | ||||||
Bank of America, NA and First Union National Bank Commercial Mortgage Trust, Series 2001-3, Class A-1, 4.89% 2037 | 5,820 | 5,773 | ||||||
Hilton Hotel Pool Trust, Series 2000-HLTA, Class F, 7.75% 20152 | 5,000 | 5,100 | ||||||
DLJ Mortgage Acceptance Corp., Series 1998-CF1, Class A-1B, 6.41% 2031 | 4,825 | 4,836 | ||||||
RAAC Mortgage Loan Asset-backed Trust, Series 2004-SP3, Class A-I-5, 4.89% 2032 | 5,000 | 4,727 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22, Class 5-A-1, 6.002% 20351 | 3,773 | 3,748 | ||||||
First Union National Bank Commercial Mortgage Trust, Series 2000-C1, Class A-1, 7.739% 2032 | 1,905 | 1,918 | ||||||
First Union National Bank Commercial Mortgage Trust, Series 2001-C4, Class A-1, 5.673% 2033 | 1,782 | 1,786 | ||||||
Ocwen Residential MBS Corp., Series 1998-R1, Class AWAC, 5.657% 20401,2 | 1,863 | 1,853 | ||||||
SACO I Trust, Series 2005-2, Class A, interest only, 3.50% 20071,2 | 24,546 | 209 | ||||||
SACO I Trust, Series 2005-1, Class A, interest only, 3.50% 20071,2 | 16,489 | 46 | ||||||
SACO I Trust, Series 2005-3, Class A, interest only, 3.50% 20351,2 | 29,359 | 333 | ||||||
GS Mortgage Securities Corp., Series 1998-2, Class M, 7.75% 20272 | 519 | 536 | ||||||
Financial Asset Securitization, Inc., Series 1997-NAM1, Class B-1, 7.75% 2027 | 382 | 381 | ||||||
7,840,308 | ||||||||
U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 13.65% | ||||||||
U.S. Treasury 3.00% 2007 | 11,875 | 11,792 | ||||||
U.S. Treasury 3.625% 20088 | 1,963 | 1,964 | ||||||
U.S. Treasury 4.75% 2008 | 11,650 | 11,615 | ||||||
U.S. Treasury 5.50% 2009 | 5,510 | 5,569 | ||||||
U.S. Treasury 6.50% 2010 | 20,000 | 20,770 | ||||||
U.S. Treasury 2.375% 20118 | 10,747 | 10,633 | ||||||
U.S. Treasury 3.50% 20118 | 23,741 | 24,442 | ||||||
U.S. Treasury 4.25% 2011 | 40,000 | 39,162 | ||||||
U.S. Treasury 4.50% 2011 | 365,486 | 359,375 | ||||||
U.S. Treasury 4.50% 2011 | 275 | 271 | ||||||
U.S. Treasury 4.625% 20119 | 70,000 | 69,147 | ||||||
U.S. Treasury 4.875% 2011 | 66,860 | 66,761 | ||||||
U.S. Treasury 5.00% 2011 | 25,000 | 25,113 | ||||||
U.S. Treasury 4.875% 2012 | 105,490 | 105,367 | ||||||
U.S. Treasury 10.375% 2012 | 24,500 | 25,003 | ||||||
U.S. Treasury 3.625% 2013 | 100,000 | 93,469 | ||||||
U.S. Treasury 4.25% 2013 | 895,150 | 864,375 | ||||||
U.S. Treasury 12.00% 2013 | 10,000 | 10,771 | ||||||
U.S. Treasury 2.00% 20148 | 33,543 | 32,233 | ||||||
U.S. Treasury 4.00% 2014 | 275 | 260 | ||||||
U.S. Treasury 4.25% 2014 | 80,000 | 76,513 | ||||||
U.S. Treasury 11.25% 2015 | 160,000 | 222,512 | ||||||
U.S. Treasury 4.50% 2016 | 744,930 | 717,867 | ||||||
U.S. Treasury 2.375% 20178 | 2,100 | 2,051 | ||||||
U.S. Treasury 8.875% 2017 | 80,000 | 103,662 | ||||||
U.S. Treasury Principal Strip 0% 2018 | 31,220 | 17,878 | ||||||
U.S. Treasury 8.00% 2021 | 200 | 256 | ||||||
U.S. Treasury 7.125% 2023 | 20,000 | 24,022 | ||||||
U.S. Treasury 2.375% 20258 | 3,672 | 3,529 | ||||||
U.S. Treasury 6.875% 2025 | 129,700 | 154,587 | ||||||
U.S. Treasury 3.875% 20298 | 2,671 | 3,222 | ||||||
U.S. Treasury 3.375% 20328 | 1,746 | 2,010 | ||||||
U.S. Treasury 4.50% 2036 | 247,383 | 224,035 | ||||||
U.S. Treasury Principal Strip 0% 2037 | 35,300 | 7,942 | ||||||
Federal Home Loan Bank 3.70% 2007 | 15,280 | 15,253 | ||||||
Federal Home Loan Bank 3.375% 2008 | 93,250 | 92,132 | ||||||
Federal Home Loan Bank 4.875% 2008 | 139,750 | 139,331 | ||||||
Federal Home Loan Bank 5.125% 2008 | 57,060 | 56,994 | ||||||
Federal Home Loan Bank 5.125% 2008 | 10,125 | 10,112 | ||||||
Federal Home Loan Bank 5.25% 2008 | 38,420 | 38,393 | ||||||
Federal Home Loan Bank 5.26% 20081 | 30,000 | 30,003 | ||||||
Federal Home Loan Bank 5.625% 2016 | 17,000 | 16,959 | ||||||
Fannie Mae 4.25% 2007 | 198,446 | 198,384 | ||||||
Fannie Mae 4.75% 2007 | 61,010 | 60,987 | ||||||
Fannie Mae 5.25% 2007 | 62,250 | 62,249 | ||||||
Fannie Mae 5.25% 2012 | 50,000 | 49,449 | ||||||
Fannie Mae 4.125% 2014 | 20,000 | 18,597 | ||||||
Freddie Mac 4.00% 2007 | 35,065 | 35,015 | ||||||
Freddie Mac 4.125% 2009 | 25,000 | 24,447 | ||||||
Freddie Mac 4.125% 2010 | 13,250 | 12,856 | ||||||
Freddie Mac 5.25% 2011 | 90,000 | 89,995 | ||||||
Freddie Mac 4.50% 2014 | 20,000 | 19,064 | ||||||
Federal Agricultural Mortgage Corp. 4.25% 2008 | 17,000 | 16,815 | ||||||
Federal Agricultural Mortgage Corp. 4.875% 20112 | 15,000 | 14,815 | ||||||
Federal Agricultural Mortgage Corp. 5.50% 20112 | 10,000 | 10,020 | ||||||
CoBank ACB 5.96% 20221,2 | 31,500 | 31,562 | ||||||
United States Government-Guaranteed Certificates of Participation, Overseas Private Investment Corp., Series 2000-044-A, 3.74% 20153 | 9,130 | 8,684 | ||||||
United States Agency for International Development, Republic of Egypt 4.45% 2015 | 5,000 | 4,696 | ||||||
4,394,990 | ||||||||
NON-U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 6.67% | ||||||||
Japanese Government 0.90% 2008 | ¥ | 17,679,050 | 143,496 | |||||
Japanese Government 1.80% 2010 | 487,350 | 4,027 | ||||||
Japanese Government 1.30% 2011 | 1,160,250 | 9,415 | ||||||
Japanese Government 1.50% 2014 | 3,150,950 | 25,275 | ||||||
Japanese Government 1.70% 2016 | 3,754,600 | 30,199 | ||||||
Japanese Government 2.30% 2035 | 5,212,000 | 41,109 | ||||||
Israeli Government 7.50% 2014 | ILS539,902 | 142,317 | ||||||
Israeli Government 6.50% 2016 | 257,595 | 65,133 | ||||||
German Government 5.25% 2008 | €8,685 | 11,811 | ||||||
German Government 4.50% 2009 | 59,040 | 79,933 | ||||||
German Government 4.00% 2016 | 57,240 | 74,369 | ||||||
German Government 6.25% 2030 | 11,120 | 18,167 | ||||||
Singapore (Republic of) 3.125% 2011 | S$131,540 | 87,658 | ||||||
Singapore (Republic of) 3.625% 2011 | 11,395 | 7,744 | ||||||
Singapore (Republic of) 3.75% 2016 | 107,625 | 75,745 | ||||||
South Korean Government 5.00% 2011 | KRW 32,882,520 | 35,179 | ||||||
South Korean Government 4.25% 2014 | 15,528,880 | 15,587 | ||||||
South Korean Government 5.25% 2015 | 109,531,970 | 116,662 | ||||||
United Mexican States Government Global 10.375% 2009 | $ | 9,700 | 10,427 | |||||
United Mexican States Government Global 6.375% 2013 | 5,150 | 5,338 | ||||||
United Mexican States Government, Series MI10, 9.50% 2014 | MXP632,900 | 64,651 | ||||||
United Mexican States Government, Series M20, 10.00% 2024 | 508,800 | 57,563 | ||||||
United Mexican States Government Global 6.75% 2034 | $ | 5,030 | 5,377 | |||||
Canadian Government 3.75% 2008 | C$57,970 | 54,206 | ||||||
Canadian Government 4.25% 20268 | 66,703 | 83,732 | ||||||
United Kingdom 5.00% 2008 | £ | 7,025 | 14,036 | |||||
United Kingdom 4.75% 2010 | 11,890 | 23,187 | ||||||
United Kingdom 4.75% 2015 | 21,303 | 40,543 | ||||||
United Kingdom 4.75% 2038 | 23,305 | 46,523 | ||||||
Hungarian Government 6.00% 2011 | HUF 4,863,220 | 25,920 | ||||||
Hungarian Government 7.25% 2012 | 16,853,240 | 94,256 | ||||||
Swedish Government 5.00% 2009 | SKr422,380 | 62,477 | ||||||
Swedish Government 5.25% 2011 | 311,885 | 46,780 | ||||||
Swedish Government 6.75% 2014 | 41,500 | 6,864 | ||||||
Polish Government 5.75% 2010 | PLN123,970 | 45,069 | ||||||
Polish Government 6.00% 2010 | 157,250 | 57,567 | ||||||
Spanish Government 4.25% 2007 | €56,225 | 76,092 | ||||||
Malaysia 3.869% 2010 | MYR89,980 | 26,470 | ||||||
Malaysia 3.718% 2012 | 60,000 | 17,671 | ||||||
Malaysia 4.262% 2016 | 41,970 | 12,869 | ||||||
French Government O.A.T. Eurobond 4.00% 2009 | €20,000 | 26,842 | ||||||
French Government O.A.T. Eurobond Strip Principal 0% 2019 | 14,000 | 10,849 | ||||||
French Government O.A.T. Eurobond 4.75% 2035 | 11,150 | 15,098 | ||||||
Russian Federation 7.50% 20303 | $ | 39,397 | 43,337 | |||||
Russian Federation 7.50% 20302,3 | 144 | 159 | ||||||
Aries Vermögensverwaltungs GmbH, Series C, 9.60% 2014 | 23,000 | 28,462 | ||||||
Netherlands Government Eurobond 5.25% 2008 | €6,000 | 8,187 | ||||||
Netherlands Government Eurobond 5.00% 2012 | 9,560 | 13,190 | ||||||
Export-Import Bank of China 4.875% 20152 | $ | 20,000 | 18,984 | |||||
Brazilian Treasury Bill 6.00% 20108 | R$8,985 | 4,527 | ||||||
Brazil (Federal Republic of) Global 7.875% 2015 | $ | 1,250 | 1,386 | |||||
Brazil (Federal Republic of) Global 8.00% 20183 | 644 | 709 | ||||||
Brazil (Federal Republic of) Global 8.875% 2024 | 1,375 | 1,715 | ||||||
Brazil (Federal Republic of) Global 10.25% 2028 | R$4,550 | 2,653 | ||||||
Brazil (Federal Republic of) Global 12.25% 2030 | $ | 425 | 719 | |||||
Brazil (Federal Republic of) Global 7.125% 2037 | 1,500 | 1,624 | ||||||
Brazil (Federal Republic of) Global 11.00% 2040 | 3,110 | 4,083 | ||||||
Argentina (Republic of) 4.106% 20121,3 | 4,265 | 3,046 | ||||||
Argentina (Republic of) 5.83% 20333,4,8 | ARS35,817 | 10,598 | ||||||
Argentina (Republic of) GDP-Linked 2035 | 32,811 | 1,295 | ||||||
Argentina (Republic of) 0.63% 20383,8 | 12,961 | 1,639 | ||||||
Italian Government BTPS Eurobond 6.00% 2007 | €10,354 | 14,092 | ||||||
Banque Centrale de Tunisie 4.75% 2011 | 3,000 | 4,036 | ||||||
Banque Centrale de Tunisie 7.375% 2012 | $ | 4,500 | 4,823 | |||||
Corporación Andina de Fomento 6.875% 2012 | 5,895 | 6,180 | ||||||
Corporación Andina de Fomento 5.125% 2015 | 2,000 | 1,903 | ||||||
State of Qatar 9.75% 2030 | 5,220 | 7,504 | ||||||
Panama (Republic of) Global 7.125% 2026 | 690 | 738 | ||||||
Panama (Republic of) Global 8.875% 2027 | 250 | 316 | ||||||
Panama (Republic of) Global 9.375% 2029 | 340 | 452 | ||||||
Panama (Republic of) Global 6.70% 20363 | 5,748 | 5,892 | ||||||
Egypt (Arab Republic of) Treasury Bill 0% 2007 | EGP18,425 | 3,154 | ||||||
Egypt (Arab Republic of) Treasury Bill 0% 2007 | 4,175 | 717 | ||||||
Egypt (Arab Republic of) Treasury Bill 0% 2008 | 6,725 | 1,137 | ||||||
Egypt (Arab Republic of) Treasury Bill 0% 2008 | 5,675 | 945 | ||||||
Egypt (Arab Republic of) Treasury Bill 0% 2008 | 2,950 | 501 | ||||||
Egypt (Arab Republic of) Treasury Bill 0% 2008 | 2,000 | 338 | ||||||
Columbia (Republic of) Global 8.25% 2014 | $ | 2,500 | 2,809 | |||||
Colombia (Republic of) Global 12.00% 2015 | COP4,600,000 | 2,707 | ||||||
Columbia (Republic of) Global 7.375% 2037 | $ | 1,000 | 1,112 | |||||
Turkey (Republic of) 12.375% 2009 | 500 | 563 | ||||||
Turkey (Republic of) 15.00% 2010 | TRY5,250 | 3,807 | ||||||
Turkey (Republic of) 8.00% 2034 | $ | 1,250 | 1,352 | |||||
El Salvador (Republic of) 7.65% 20352 | 4,450 | 5,095 | ||||||
Peru (Republic of) 8.375% 2016 | 2,920 | 3,409 | ||||||
Peru (Republic of) 6.55% 2037 | 316 | 318 | ||||||
Indonesia (Republic of) 11.00% 2020 | IDR10,000,000 | 1,238 | ||||||
Indonesia (Republic of) 12.80% 2021 | 11,890,000 | 1,648 | ||||||
Indonesia (Republic of) 12.90% 2022 | 2,562,000 | 357 | ||||||
European Investment Bank 4.75% 2012 | £ | 790 | 1,496 | |||||
European Investment Bank 5.00% 2039 | 395 | 786 | ||||||
Dominican Republic 9.50% 20112,3 | $ | 2,110 | 2,257 | |||||
Uruguay (Republic of) 7.625% 20363 | 1,250 | 1,375 | ||||||
Guatemala (Republic of) 10.25% 20112 | 1,000 | 1,162 | ||||||
Venezuela (Republic of) Global 8.50% 2014 | 245 | 249 | ||||||
Venezuela (Republic of) 7.65% 2025 | 525 | 482 | ||||||
Venezuela (Republic of) Global 9.25% 2027 | 380 | 397 | ||||||
KfW International Finance Inc. 5.50% 2015 | £ | 275 | 537 | |||||
LCR Finance PLC 5.10% 2051 | 165 | 353 | ||||||
2,146,783 | ||||||||
ASSET-BACKED OBLIGATIONS3— 5.81% | ||||||||
Drive Auto Receivables Trust, Series 2005-2, Class A-2, MBIA insured, 4.12% 20102 | $ | 2,686 | 2,675 | |||||
Drive Auto Receivables Trust, Series 2006-2, Class A-2, MBIA insured, 5.30% 20112 | 2,150 | 2,149 | ||||||
Drive Auto Receivables Trust, Series 2005-1, Class A-4, MBIA insured, 4.01% 2012 | 27,029 | 26,755 | ||||||
Drive Auto Receivables Trust, Series 2005-2, Class A-3, MBIA insured, 4.26% 20122 | 60,520 | 59,899 | ||||||
Drive Auto Receivables Trust, Series 2005-3, Class A-4, FSA insured, 5.09% 20132 | 17,500 | 17,434 | ||||||
Drive Auto Receivables Trust, Series 2006-1, Class A-4, FSA insured, 5.54% 20132 | 67,000 | 67,314 | ||||||
Drive Auto Receivables Trust, Series 2006-2, Class A-3, MBIA insured, 5.33% 20142 | 20,000 | 20,006 | ||||||
ARG Funding Corp., Series 2005-1, Class A-1, MBIA insured, 4.02% 20092 | 21,000 | 20,833 | ||||||
ARG Funding Corp., Series 2005-2, Class A-1, AMBAC insured, 4.54% 20092 | 51,820 | 51,546 | ||||||
ARG Funding Corp., Series 2005-1, Class A-3, MBIA insured, 4.29% 20112 | 55,200 | 53,686 | ||||||
ARG Funding Corp., Series 2005-2, Class A-4, AMBAC insured, 4.84% 20112 | 30,000 | 29,586 | ||||||
CPS Auto Receivables Trust, Series 2004-A, Class A-2, FSA insured, 3.87% 20102 | 4,493 | 4,446 | ||||||
CPS Auto Receivables Trust, Series 2004-D, Class A-2, XLCA insured, 3.86% 20112 | 9,773 | 9,637 | ||||||
CPS Auto Receivables Trust, Series 2006-C, Class A-3, XLCA insured, 5.14% 20112 | 16,300 | 16,273 | ||||||
CPS Auto Receivables Trust, Series 2005-B, Class A-2, FSA insured, 4.36% 20122 | 17,605 | 17,392 | ||||||
CPS Auto Receivables Trust, Series 2005-D, Class A-2, FSA insured, 5.06% 20122 | 7,600 | 7,577 | ||||||
CPS Auto Receivables Trust, Series 2006-A, Class 1-A-4, FSA insured, 5.33% 20122 | 10,000 | 10,003 | ||||||
CPS Auto Receivables Trust, Series 2006-B, Class A-4, MBIA insured, 5.81% 20122 | 23,000 | 23,237 | ||||||
CPS Auto Receivables Trust, Series 2007-A, Class A-4, MBIA insured, 5.05% 20132 | 15,100 | 14,885 | ||||||
CPS Auto Receivables Trust, Series 2006-C, Class A-4, XLCA insured, 5.14% 20132 | 26,200 | 26,066 | ||||||
CPS Auto Receivables Trust, Series 2007-TFC, Class A-2, XLCA insured, 5.25% 20132 | 390 | 390 | ||||||
CPS Auto Receivables Trust, Series 2007-B, Class A-4, FSA insured, 5.60% 20142 | 20,000 | 19,992 | ||||||
Residential Funding Mortgage Securities II, Inc., Series 2005-HI1, Class A-4, FGIC insured, 4.70% 2034 | 19,594 | 19,367 | ||||||
Residential Funding Mortgage Securities II, Inc., Series 2005-HS1, Class A-1-2, FGIC insured, 4.66% 20351 | 12,500 | 12,182 | ||||||
Residential Funding Mortgage Securities II, Inc., Series 2007-HSA2, Class A-1F, MBIA insured, 8.47% 20371 | 84,430 | 85,591 | ||||||
GMAC Mortgage Loan Trust, Series 2006-HE3, Class A-5, FGIC insured, 5.809% 20361 | 5,000 | 4,934 | ||||||
GMAC Mortgage Loan Trust, Series 2007-HE2, Class A-2, FGIC insured, 6.054% 20371 | 17,500 | 17,497 | ||||||
GMAC Mortgage Loan Trust, Series 2007-HE2, Class A-3, FGIC insured, 6.193% 20371 | 35,000 | 34,983 | ||||||
GMAC Mortgage Loan Trust, Series 2007-HE2, Class A-6, FGIC insured, 6.249% 20371 | 7,500 | 7,494 | ||||||
Long Beach Acceptance Auto Receivables Trust, Series 2005-B, Class A-4, FSA insured, 4.522% 2012 | 17,000 | 16,785 | ||||||
Long Beach Acceptance Auto Receivables Trust, Series 2006-B, Class A-4, FSA insured, 5.18% 2013 | 27,800 | 27,626 | ||||||
Long Beach Acceptance Auto Receivables Trust, Series 2007-A, Class A-4, FSA insured, 5.025% 2014 | 15,500 | 15,343 | ||||||
MBNA Credit Card Master Note Trust, Series 2003-1, Class C, 7.02% 20121 | 5,540 | 5,741 | ||||||
MBNA Credit Card Master Note Trust, Series 2005-6, Class A, 4.50% 2013 | 42,500 | 41,484 | ||||||
MBNA Credit Card Master Note Trust, Series 2006-1, Class C, 5.74% 20151 | 10,000 | 10,075 | ||||||
Triad Automobile Receivables Trust, Series 2006-C, Class A-3, AMBAC insured, 5.26% 2011 | 26,000 | 25,943 | ||||||
Triad Automobile Receivables Trust, Series 2005-A, Class A-4, AMBAC insured, 4.22% 2012 | 20,000 | 19,679 | ||||||
Triad Automobile Receivables Trust, Series 2006-C, Class A-4, AMBAC insured, 5.31% 2013 | 10,000 | 9,964 | ||||||
PECO Energy Transition Trust, Series 1999-A, Class A-7, 6.13% 2009 | 13,000 | 13,060 | ||||||
PECO Energy Transition Trust, Series 2001-A, Class A-1, 6.52% 2010 | 20,000 | 20,598 | ||||||
PECO Energy Transition Trust, Series 2000-A, Class A-4, 7.65% 2010 | 17,994 | 18,821 | ||||||
Drivetime Auto Owner Trust, Series 2004-C, Class A-3, XLCA insured, 3.493% 20102 | 2,096 | 2,086 | ||||||
Drivetime Auto Owner Trust, Series 2006-A, Class A-3, XLCA insured, 5.501% 20111,2 | 25,460 | 25,512 | ||||||
Drivetime Auto Owner Trust, Series 2007-A, XLCA insured, 5.603% 20132 | 20,000 | 20,018 | ||||||
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A-5, FGIC insured, 5.753% 2027 | 15,750 | 15,445 | ||||||
CWHEQ Home Equity Loan Trust, Series 2006-S4, Class A-6, AMBAC insured, 5.834% 20341 | 9,650 | 9,451 | ||||||
CWHEQ Home Equity Loan Trust, Series 2007-S1, Class A-6, MBIA insured, 5.693% 20361 | 20,000 | 19,397 | ||||||
Vega ContainerVessel PLC, Series 2006-1, Class A, XLCA insured, 5.562% 20212 | 44,905 | 43,684 | ||||||
WFS Financial Owner Trust, Series 2004-1, Class C, 2.49% 2011 | 1,004 | 994 | ||||||
WFS Financial Owner Trust, Series 2004-1, Class A-4, 2.81% 2011 | 8,001 | 7,922 | ||||||
WFS Financial Owner Trust, Series 2005-1, Class A-4, 3.87% 2012 | 35,250 | 34,446 | ||||||
UPFC Auto Receivables Trust, Series 2006-B, Class A-2, AMBAC insured, 5.15% 2009 | 714 | 714 | ||||||
UPFC Auto Receivables Trust, Series 2005-A, Class A-3, AMBAC insured, 4.34% 2010 | 8,227 | 8,178 | ||||||
UPFC Auto Receivables Trust, Series 2005-B, Class A-3, XLCA insured, 4.98% 2011 | 19,863 | 19,801 | ||||||
UPFC Auto Receivables Trust, Series 2007-A, Class A-3, MBIA insured, 5.53% 2013 | 13,275 | 13,335 | ||||||
GS Auto Loan Trust, Series 2006-1, Class A-4, 5.38% 2014 | 20,000 | 20,019 | ||||||
GS Auto Loan Trust, Series 2006-1, Class A-4, 5.60% 2014 | 21,592 | 21,615 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2005-C-F, Class A-4, FSA insured, 4.63% 2012 | 16,950 | 16,730 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2006-B-G, Class A-4, FGIC insured, 5.21% 2013 | 23,680 | 23,565 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 2002-B, Class A-3, 4.70% 2018 | 2,341 | 2,331 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class A-4, 6.57% 2024 | 7,660 | 7,823 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 1999-B, Class I-A-6, 6.925% 2024 | 10,250 | 10,446 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-4, 7.905% 2026 | 2,864 | 2,977 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 1997-C, Class II-A-1, 5.53% 20271 | 856 | 857 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 2000-D, Class A-4, 7.715% 2027 | 3,287 | 3,413 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-5, 8.195% 2030 | 6,889 | 7,195 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 2001-C, Class M-1, 6.76% 2032 | 1,326 | 1,341 | ||||||
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class M-1, 7.82% 2032 | 3,000 | 3,145 | ||||||
Susquehanna Auto Lease Trust, Series 2007-1, Class A-3, 5.25% 20102 | 35,000 | 34,936 | ||||||
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-1, Class A-5, MBIA insured, 5.08% 20112 | 18,000 | 17,761 | ||||||
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-2, Class A-6, AMBAC insured, 5.08% 20112 | 14,500 | 14,308 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB4, Class AF-4, 5.028% 20351 | 3,490 | 3,348 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class A-3, 5.825% 20361,2 | 8,387 | 8,308 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class M-3, 6.282% 20361,2 | 3,935 | 3,878 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class M-5, 6.831% 20361,2 | 4,725 | 4,629 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1, Class M-6, 7.00% 20361,2 | 1,816 | 1,742 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class M-2, 5.69% 20371 | 2,054 | 2,053 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A-2B, 5.723% 20371 | 3,061 | 3,032 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class B-2, 7.32% 20371 | 1,194 | 1,184 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class B-3, 7.82% 20371 | 1,000 | 922 | ||||||
Capital Auto Receivables Asset Trust, Series 2004-2, Class A-4, 3.75% 2009 | 21,750 | 21,451 | ||||||
Capital Auto Receivables Asset Trust, Series 2005-SN1, Class B-2, 6.07% 20091 | 2,485 | 2,496 | ||||||
Capital Auto Receivables Asset Trust, Series 2006-SN1, Class C, 5.77% 20102 | 3,700 | 3,708 | ||||||
Capital One Master Trust, Series 2002-1A, Class B, 5.92% 20111 | 1,000 | 1,007 | ||||||
Capital One Multi-asset Execution Trust, Series 2006-10, Class A, 5.15% 2014 | 25,830 | 25,600 | ||||||
Spirit Master Funding LLC, Net-Lease Mortgage Notes, Series 2005-1, Class A-1, AMBAC insured, 5.05% 20232 | 27,461 | 25,643 | ||||||
Chase Issuance Trust, Series 2005-7, Class A, 4.55% 2013 | 17,500 | 17,043 | ||||||
Chase Issuance Trust, Series 2006-4, Class C, 5.61% 20141 | 8,000 | 8,009 | ||||||
CWABS, Inc., Series 2004-15, Class 2-AV-2, 5.59% 20341 | 1,839 | 1,841 | ||||||
CWABS, Inc., Series 2005-11, Class AF-2, 4.657% 2036 | 22,666 | 22,482 | ||||||
Honda Auto Receivables Owner Trust, Series 2006-2, Class A-4, 5.28% 2012 | 24,250 | 24,204 | ||||||
Prestige Auto Receivables Trust, Series 2005-1A, Class A-2, FSA insured, 4.37% 20122 | 8,614 | 8,548 | ||||||
Prestige Auto Receivables Trust, Series 2006-1A, Class A-2, FSA insured, 5.25% 20132 | 15,000 | 14,981 | ||||||
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class B-1, 7.30% 2021 | 10,148 | 10,304 | ||||||
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-4, 6.57% 2027 | 8,290 | 8,521 | ||||||
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-5, 7.12% 2032 | 3,000 | 3,103 | ||||||
Advanta Business Card Master Trust, Series 2006-A5, Class A, 5.10% 2012 | 20,000 | 19,909 | ||||||
Advanta Business Card Master Trust, Series 2005-A2, Class A-2, 5.45% 20131 | 2,000 | 2,007 | ||||||
Morgan Stanley ABS Capital I Inc., Series 2004-NC3, Class M-1, 5.85% 20341 | 18,822 | 18,837 | ||||||
Bear Stearns Asset-backed Securities I Trust, Series 2005-CL1, Class A-1, 5.82% 20341 | 17,968 | 17,988 | ||||||
AEP Texas Central Transitioning Funding II LLC, Senior Secured Transition Bonds, Series A, Class A-3, 5.09% 2015 | 16,720 | 16,247 | ||||||
Green Tree Financial Corp., Series 1995-3, Class B-2, 8.10% 20256 | 3,991 | 1,371 | ||||||
Green Tree Financial Corp., Series 1996-10, Class A-6, 7.30% 2028 | 2,892 | 2,969 | ||||||
Green Tree Financial Corp., Series 1997-6, Class A-7, 7.14% 2029 | 6,825 | 7,016 | ||||||
Green Tree Recreational, Equipment & Consumer Trust, Series 1997-D, 7.25% 2029 | 3,241 | 2,965 | ||||||
Green Tree Financial Corp., Series 1997-6, Class B-2, 7.75% 20296 | 3,051 | — | ||||||
Green Tree Financial Corp., Series 1998-4, Class B-2, 8.11% 20306 | 8,028 | 80 | ||||||
Conseco Finance Home Equity Loan Trust, Series 2002-B, Class M-1, 7.07% 20331 | 1,791 | 1,801 | ||||||
Residential Asset Securities Corp. Trust, Series 2001-KS3, Class A-I-6, 5.96% 2031 | 15,396 | 15,359 | ||||||
Residential Asset Securities Corp. Trust, Series 2004-KS12, Class A-1-2, 5.55% 20351 | 779 | 779 | ||||||
Providian Gateway Master Trust, Series 2004-DA, Class A, 3.35% 20112 | 15,000 | 14,941 | ||||||
Wachovia Auto Loan Owner Trust, Series 2006-1, Class A-4, 5.08% 20122 | 10,000 | 9,959 | ||||||
Wachovia Auto Loan Owner Trust, Series 2006-1, Class B, 5.15% 20122 | 5,000 | 4,971 | ||||||
CNL Funding, Series 2000-AA, Class A-2, MBIA insured, 8.044% 20172 | 13,800 | 13,974 | ||||||
American Express Credit Account Master Trust, Series 2005-3, Class B, 5.46% 20111 | 7,000 | 7,005 | ||||||
American Express Credit Account Master Trust, Series 2006-3, Class C, 5.60% 20141,2 | 6,000 | 6,016 | ||||||
Franklin Auto Trust, Series 2006-1, Class A-4, 5.03% 2014 | 10,000 | 9,950 | ||||||
Franklin Auto Trust, Series 2006-1, Class B, 5.14% 2014 | 2,000 | 1,983 | ||||||
Conseco Finance Securitizations Corp., Series 2002-2, Class A-2, 6.03% 2033 | 12,016 | 11,932 | ||||||
MASTR Asset-backed Securities Trust, Series 2006-AB1, Class A-4, 5.719% 20361 | 11,500 | 11,157 | ||||||
New Century Home Equity Loan Trust, Series 2001-NC2, Class M-1, 6.55% 20311 | 381 | 381 | ||||||
New Century Home Equity Loan Trust, Series 2004-A, Class A-II-5, FGIC insured, 5.25% 2034 | 11,000 | 10,682 | ||||||
Cendant Timeshare Receivables Funding, LLC, Series 2005-1, Class A-1, FGIC insured, 4.67% 20172 | 10,896 | 10,724 | ||||||
Providian Master Note Trust, Series 2005-A1, Class A, 5.38% 20121,2 | 10,000 | 10,008 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-3, 4.35% 2014 | 3,044 | 2,864 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-4, 5.27% 2018 | 1,561 | 1,516 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-5, 5.873% 2022 | 5,125 | 5,080 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL3, Class M-6, 6.00% 20451 | 4,175 | 4,170 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL3, Class M-7, 6.52% 20451 | 3,887 | 3,882 | ||||||
Ford Credit Auto Owner Trust, Series 2006-B, Class B, 5.43% 2012 | 7,333 | 7,304 | ||||||
Discover Card Master Trust I, Series 1996-4, Class B, 5.87% 20131 | 7,000 | 7,108 | ||||||
MBNA Master Credit Card Trust II, Series 1999-B, Class A, 5.90% 2011 | 3,000 | 3,033 | ||||||
MBNA Master Credit Card Trust II, Series 1999-B, Class B, 6.20% 2011 | 3,750 | 3,799 | ||||||
Home Equity Asset Trust, Series 2004-7, Class M-1, 5.94% 20351 | 6,500 | 6,544 | ||||||
PG&E Energy Recovery Funding LLC, Series 2005-1, Class A-2, 3.87% 2011 | 6,093 | 6,007 | ||||||
ACLC Business Loan Receivables Trust, Series 2002-1, Class A-2, 7.462% 20222 | 5,052 | 5,153 | ||||||
Chase Credit Card Owner Trust, Series 2003-6, Class B, 5.67% 20111 | 5,000 | 5,020 | ||||||
First Investors Auto Owner Trust, Series 2005-A, Class A-2, MBIA insured, 4.23% 20122 | 5,071 | 5,016 | ||||||
Santander Drive Auto Receivables Trust, Series 2007-1, Class A-2, FGIC insured, 5.20% 2010 | 5,000 | 4,994 | ||||||
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-1, 5.73% 2035 | 2,500 | 2,384 | ||||||
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-2, 6.51% 2035 | 2,000 | 1,974 | ||||||
Washington Mutual Master Note Trust, Series 2007-B1, Class B-1, 4.95% 20142 | 4,000 | 3,956 | ||||||
Countryplace Manufactured Housing Contract, Series 2005-1, Class A-2, AMBAC insured, 4.42% 20352 | 3,400 | 3,366 | ||||||
West Penn Funding LLC, Series 1999-A, Class A-4, 6.98% 2008 | 2,400 | 2,424 | ||||||
SLM Student Loan Trust, Series 2003-10, Class A-4, 5.15% 20392 | £ | 1,160 | 2,188 | |||||
Irwin Home Equity, Series 2006-2, Class 2-A3, FGIC insured, 6.40% 20361,2 | $ | 2,000 | 2,000 | |||||
GreenPoint Credit Manufactured Housing Contract Trust, Series 2000-7, Class A-1, MBIA insured, 5.61% 20221 | 1,501 | 1,504 | ||||||
Chase Auto Owner Trust, Series 2006-B, Class B, 5.24% 2014 | 1,500 | 1,494 | ||||||
IndyMac Home Equity Mortgage Loan Asset-backed Trust, Series SPMD 2001-A, Class AF-6, 6.537% 2030 | 1,194 | 1,191 | ||||||
Option One Mortgage Loan Trust, Series 2002-1, Class M-1, 6.445% 20321 | 581 | 581 | ||||||
Specialty Underwriting and Residential Finance Trust, Series 2004-BC4, Class A-2B, 5.63% 20351 | 308 | 308 | ||||||
1,872,301 | ||||||||
MUNICIPALS — 0.32% | ||||||||
State of Wisconsin, Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds, 6.125% 2027 | 25,515 | 26,918 | ||||||
State of South Dakota, Educational Enhancement Funding Corp., Tobacco Settlement Asset-backed Bonds, Series 2002-A, Class A, 6.72% 2025 | 26,109 | 25,933 | ||||||
State of Louisiana, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, | ||||||||
Series 2001-A, Class A, 6.36% 2025 | 14,684 | 14,681 | ||||||
State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A-1, 6.25% 2033 (preref. 2013) | 10,000 | 10,887 | ||||||
State of California, Los Angeles County Metropolitan Transportation Authority, General Revenue Refunding Bonds | ||||||||
(Workers’ Compensation Funding Program), Series 2003, AMBAC insured, 3.83% 2008 | 5,000 | 4,933 | ||||||
State of California, Los Angeles County Metropolitan Transportation Authority, General Revenue Refunding Bonds | ||||||||
(Workers’ Compensation Funding Program), Series 2003, AMBAC insured, 4.56% 2010 | 5,000 | 4,892 | ||||||
State of Washington, Tobacco Settlement Authority, Asset-backed Bonds, Series 2002, 6.50% 2026 | 6,435 | 7,054 | ||||||
California Maritime Infrastructure Authority, Taxable Lease Revenue Bonds (San Diego Unified Port District-South Bay Plant Acquisition), Series 1999, 6.63% 20092 | 6,855 | 6,881 | ||||||
State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds | ||||||||
(Economic Development and Housing), Series B, 3.09% 2007 | 2,200 | 2,191 | ||||||
104,370 | ||||||||
Total bonds & notes (cost: $29,174,835,000) | 29,088,092 | |||||||
Shares or | Market value | |||||||
Convertible securities — 0.15% | principal amount | (000 | ) | |||||
CONSUMER DISCRETIONARY — 0.07% | ||||||||
Amazon.com, Inc. 6.875% PEACS convertible notes 2010 | €9,005,000 | $ | 12,402 | |||||
Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032 | 228,100 | 8,795 | ||||||
21,197 | ||||||||
UTILITIES — 0.05% | ||||||||
AES Trust VII 6.00% convertible preferred 2008 | 351,450 | 17,572 | ||||||
FINANCIALS — 0.03% | ||||||||
Fannie Mae, Series 2004-1, 5.375% convertible preferred | 95 | 9,429 | ||||||
INFORMATION TECHNOLOGY — 0.00% | ||||||||
Advanced Micro Devices, Inc. 6.00% convertible debentures 20152 | $ | 770,000 | 745 | |||||
Total convertible securities (cost: $37,494,000) | 48,943 | |||||||
Preferred securities — 3.78% | Shares | |||||||
FINANCIALS — 3.76% | ||||||||
Fuji JGB Investment LLC, Series A, 9.87% noncumulative1,2 | 121,238,000 | 126,059 | ||||||
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative1,2 | 52,000,000 | 53,537 | ||||||
Mizuho Capital Investment (EUR) 1 Ltd. 5.02%1 | 4,650,000 | 6,219 | ||||||
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up1,2 | 71,250,000 | 78,730 | ||||||
HSBC Capital Funding LP, Series 2, 10.176% noncumulative step-up1,2 | 25,000,000 | 35,088 | ||||||
HSBC Capital Funding LP 8.03% noncumulative1 | 20,000,000 | 30,443 | ||||||
HSBC Bank Capital Funding (Sterling 1) LP 5.844% noncumulative1 | 185,000 | 352 | ||||||
Sumitomo Mitsui Banking Corp. 6.078%1,2 | 119,258,000 | 115,324 | ||||||
SB Treasury Co. LLC, Series A, 9.40% noncumulative1,2 | 17,638,000 | 18,254 | ||||||
MUFG Capital Finance 1 Ltd. 6.346% noncumulative1 | 97,323,000 | 95,384 | ||||||
Tokai Preferred Capital Co. LLC, Series A, 9.98% noncumulative1,2 | 12,000,000 | 12,484 | ||||||
MUFG Capital Finance 2 Ltd. 4.85% noncumulative1 | 4,650,000 | 5,907 | ||||||
Banco Santander Central Hispano, SA 6.80%2 | 1,600,000 | 39,320 | ||||||
Banco Santander Central Hispano, SA 6.50%2 | 910,000 | 22,323 | ||||||
Royal Bank of Scotland Group PLC 5.512% noncumulative trust1 | 38,300,000 | 36,864 | ||||||
RBS Capital Trust I 4.709% noncumulative trust1 | 16,000,000 | 14,912 | ||||||
Royal Bank of Scotland Group PLC 6.625%1 | 4,700,000 | 6,599 | ||||||
Fannie Mae, Series O, 7.495%1,2 | 900,000 | 46,884 | ||||||
Fannie Mae, Series E, 5.10% | 150,000 | 6,528 | ||||||
BNP U.S. Funding LLC, Series A, 7.738% noncumulative1,2 | 22,125,000 | 22,319 | ||||||
BNP Paribas Capital Trust 9.003% noncumulative trust1,2 | 15,000,000 | 16,447 | ||||||
BNP Paribas 5.186% noncumulative1,2 | 12,000,000 | 11,207 | ||||||
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities2 | 1,670,000 | 46,864 | ||||||
Resona Preferred Global Securities (Cayman) Ltd. 7.191%1,2 | 33,925,000 | 34,741 | ||||||
Freddie Mac 5.57% | 830,000 | 19,640 | ||||||
Freddie Mac, Series U, 5.90% | 500,000 | 12,625 | ||||||
National Bank of Canada, Series A, 8.35% exchangeable depositary shares | 1,200,000 | 31,356 | ||||||
Shinsei Finance II (Cayman) Ltd. 7.16% noncumulative1,2 | 30,645,000 | 30,616 | ||||||
Wachovia Capital Trust III 5.80%1 | 30,000,000 | 29,894 | ||||||
ING Capital Funding Trust III 8.439% noncumulative1 | 24,750,000 | 26,886 | ||||||
Chuo Mitsui Trust and Banking Co., Ltd. 5.506%1,2 | 24,970,000 | 23,606 | ||||||
Barclays Bank PLC 4.75%1 | 20,520,000 | 23,361 | ||||||
Commerzbank Capital Funding Trust I, Class B, 5.012% noncumulative1 | 15,500,000 | 19,936 | ||||||
Commerzbank Capital Funding Trust II, Class B, 5.905% noncumulative1 | 300,000 | 554 | ||||||
Standard Chartered Capital Trust I 8.16%1 | 10,000,000 | 14,593 | ||||||
Standard Chartered PLC 7.014% noncumulative redeemable preference shares1,2 | 4,200,000 | 4,041 | ||||||
Weingarten Realty Investors, Series D, 6.75% 2008 | 495,420 | 12,291 | ||||||
Weingarten Realty Investors, Series E, 6.95% cumulative redeemable depositary shares | 250,000 | 6,192 | ||||||
CBG Florida REIT Corp., Series A, Class A, 7.114%1,2 | 18,000,000 | 17,791 | ||||||
DBS Capital Funding Corp., Series A, 7.657% noncumulative guaranteed preference shares1,2 | 11,250,000 | 12,000 | ||||||
Zions Bancorporation, Series A, depositary shares | 400,000 | 10,500 | ||||||
Aspen Insurance Holdings Ltd. 7.401% noncumulative1 | 397,000 | 9,999 | ||||||
IndyMac Bancorp, Inc., Series A, 8.50% noncumulative2,10 | 272,000 | 6,732 | ||||||
HBOS Capital Funding LP, Series A, 6.461% noncumulative1 | 3,200,000 | 6,325 | ||||||
Nationwide Health Properties, Inc., Series A, 7.677% cumulative step-up premium rate | 50,000 | 5,092 | ||||||
Westpac Capital Trust IV 5.256%1,2 | 4,500,000 | 4,183 | ||||||
BOI Capital Funding (No. 4) LP 6.43%1 | 240,000 | 455 | ||||||
UniCredito Italiano Capital Trust IV 5.396%1 | 190,000 | 349 | ||||||
1,211,806 | ||||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.02% | ||||||||
US AgBank 6.11%1,2 | 5,000,000 | 4,942 | ||||||
CONSUMER STAPLES — 0.00% | ||||||||
Great Atlantic & Pacific Tea Co., Inc. 9.375% QUIBS 2039 | 18,500 | 476 | ||||||
Total preferred securities (cost: $1,160,585,000) | 1,217,224 | |||||||
Common stocks — 0.37% | ||||||||
UTILITIES — 0.17% | ||||||||
Drax Group PLC | 3,835,176 | 55,904 | ||||||
INDUSTRIALS — 0.05% | ||||||||
DigitalGlobe Inc.2,7,10 | 3,984,039 | 15,936 | ||||||
UAL Corp.10 | 10,006 | 406 | ||||||
16,342 | ||||||||
TELECOMMUNICATION SERVICES — 0.03% | ||||||||
Dobson Communications Corp., Class A10 | 1,051,359 | 11,680 | ||||||
XO Holdings, Inc.10 | 7,614 | 347 | ||||||
11,714 | ||||||||
INFORMATION TECHNOLOGY — 0.01% | ||||||||
ZiLOG, Inc.10,11 | 879,000 | 4,509 | ||||||
HEALTH CARE — 0.00% | ||||||||
Clarent Hospital Corp.7,10,11 | 331,291 | 33 | ||||||
MISCELLANEOUS — 0.11% | ||||||||
Other common stocks in initial period of acquisition | $ | 32,125 | ||||||
Total common stocks (cost: $81,729,000) | 120,627 | |||||||
Warrants — 0.00% | ||||||||
TELECOMMUNICATION SERVICES — 0.00% | ||||||||
XO Holdings, Inc., Series A, warrants, expire 201010 | 15,233 | 11 | ||||||
XO Holdings, Inc., Series B, warrants, expire 201010 | 11,424 | 4 | ||||||
XO Holdings, Inc., Series C, warrants, expire 201010 | 11,424 | 2 | ||||||
GT Group Telecom Inc., warrants, expire 20102,7,10 | 2,750 | 0 | ||||||
Total warrants (cost: $143,000) | 17 | |||||||
Principal amount | ||||||||
Short-term securities — 5.62% | (000 | ) | ||||||
CAFCO, LLC 5.25%–5.27% due 7/6–8/17/20072,9 | $ | 206,400 | 205,481 | |||||
Procter & Gamble International Funding S.C.A. 5.21%–5.24% due 8/6–9/14/20072,9 | 176,723 | 175,160 | ||||||
Clipper Receivables Co., LLC 5.24%–5.26% due 7/23–8/13/20072,9 | 159,600 | 158,791 | ||||||
Bank of America Corp. 5.235%–5.245% due 7/27–8/14/20079 | 88,500 | 88,029 | ||||||
Ranger Funding Co. LLC 5.25%–5.27% due 8/8–8/28/20072,9 | 50,000 | 49,667 | ||||||
Wal-Mart Stores, Inc. 5.18%–5.20% due 7/24–9/18/20072,9 | 138,500 | 137,418 | ||||||
JPMorgan Chase & Co. 5.24% due 8/2/20079 | 50,000 | 49,759 | ||||||
Jupiter Securitization Co., LLC 5.24%–5.35% due 7/2–7/12/20072 | 38,200 | 38,111 | ||||||
Park Avenue Receivables Co., LLC 5.24% due 7/16/20072 | 46,924 | 46,881 | ||||||
Three Pillars Funding, LLC 5.26%–5.37% due 7/2–7/10/20072 | 125,200 | 125,039 | ||||||
Honeywell International Inc. 5.19%–5.22% due 7/23–8/16/20072,9 | 105,900 | 105,427 | ||||||
Coca-Cola Co. 5.19%–5.22% due 7/18/20072 | 59,400 | 59,249 | ||||||
Atlantic Industries 5.24% due 7/30/20072 | 34,410 | 34,260 | ||||||
Johnson & Johnson 5.19%–5.23% due 8/8–9/24/20072,9 | 80,000 | 79,260 | ||||||
Variable Funding Capital Corp. 5.24%–5.25% due 7/25–8/17/20072,9 | 71,400 | 70,972 | ||||||
IBM Capital Inc. 5.22% due 9/18/20072,9 | 65,300 | 64,554 | ||||||
Hewlett-Packard Co. 5.26% due 7/11/20072 | 50,000 | 49,919 | ||||||
Federal Home Loan Bank 5.115% due 7/20/2007 | 50,000 | 49,864 | ||||||
E.I. duPont de Nemours and Co. 5.22% due 7/26/20072 | 50,000 | 49,811 | ||||||
Merck & Co. Inc. 5.20% due 8/21/20079 | 50,000 | 49,624 | ||||||
International Lease Finance Corp. 5.21% due 7/10/2007 | 30,300 | 30,256 | ||||||
Edison Asset Securitization LLC 5.23% due 7/16/20072 | 25,000 | 24,942 | ||||||
Home Depot Inc. 5.19% due 7/24/20072 | 25,000 | 24,913 | ||||||
Prudential Funding, LLC 5.25% due 8/3/20079 | 19,000 | 18,906 | ||||||
Concentrate Manufacturing Co. of Ireland 5.24% due 7/11/20072 | 15,691 | 15,666 | ||||||
USAA Capital Corp. 5.19% due 8/15/20079 | 6,000 | 5,962 | ||||||
Total short-term securities (cost: $1,807,801,000) | 1,807,921 | |||||||
Total investment securities (cost: $32,262,587,000) | $ | 32,282,824 | ||||||
Other assets less liabilities | (76,485 | ) | ||||||
Net assets | $ | 32,206,339 |
“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.
1 Coupon rate may change periodically.
2 Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public may require registration. The total value of all such restricted securities was $7,146,317,000, which represented 22.19% of the net assets of the fund.
3 Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.
4 Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
5 Step bond; coupon rate will increase at a later date.
6 Scheduled interest and/or principal payment was not received.
7 Valued under fair value procedures adopted by authority of the board of directors. The total value of all such securities, including those in “Miscellaneous,” was $22,486,000.
8 Index-linked bond whose principal amount moves with a government retail price index.
9 This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.
10Security did not produce income during the last 12 months.
11Represents an affiliated company as defined under the Investment Company Act of 1940.
Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so you may lose money.
Investors should carefully consider the investment objectives, risks, charges and expenses of the American Funds. This and other important information is contained in each fund’s prospectus, which can be obtained from a financial adviser and should be read carefully before investing.
MFGEFP-908-0807-S10934
ITEM 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 8 – Portfolio Managers of Closed-End Management Investment Companies
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 10 – Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors since the Registrant last submitted a proxy statement to its shareholders. The procedures are as follows. The Registrant has a nominating and governance committee comprised solely of persons who are not considered ‘‘interested persons’’ of the Registrant within the meaning of the Investment Company Act of 1940, as amended. The committee periodically reviews such issues as the board’s composition, responsibilities, committees, compensation and other relevant issues, and recommends any appropriate changes to the full board of directors. While the committee normally is able to identify from its own resources an ample number of qualified candidates, it will consider shareholder suggestions of persons to be considered as nominees to fill future vacancies on the board. Such suggestions must be sent in writing to the nominating and governance committee of the Registrant, c/o the Registrant’s Secretary, and must be accompanied by complete biographical and occupational data on the prospective nominee, along with a written consent of the prospective nominee for consideration of his or her name by the nominating and governance committee.
ITEM 11 – Controls and Procedures
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as such term is defined in Rule 30a-3 under the Investment Company Act of 1940), that such controls and procedures are adequate and reasonably designed to achieve the purposes described in paragraph (c) of such rule. |
(b) | There were no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
ITEM 12 – Exhibits
(a)(1) | Not applicable for filing of semi-annual reports to shareholders. |
(a)(2) | The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, and Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
THE BOND FUND OF AMERICA, INC. | |
By /s/ Abner D. Goldstine | |
Abner D. Goldstine, President and Principal Executive Officer | |
Date: September 7, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By /s/ Abner D. Goldstine |
Abner D. Goldstine, President and Principal Executive Officer |
Date: September 7, 2007 |
By /s/ Ari M. Vinocor |
Ari M. Vinocor, Treasurer and Principal Financial Officer |
Date: September 7, 2007 |