Bond Fund Of America N-CSRS Certified semi-annual shareholder report (management investment company)

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

(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, 2012

Courtney R. Taylor

The Bond Fund of America

333 South Hope Street

Los Angeles, California 90071

(Name and Address of Agent for Service)

Copies to:

Michael Glazer

Bingham McCutchen LLP

355 South Grand Avenue, Suite 4400

Los Angeles, California 90071

(Counsel for the Registrant)

ITEM 1 – Reports to Stockholders

   

The Bond Fund of America®

[photo of two construction workers working on a highway - a highway overpass above them]


Semi-annual report for the six months ended June 30, 2012

The Bond Fund of America 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 more than 40 offered by American Funds, which is one of the nation’s largest mutual fund families. For more than 80 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.

Fund results shown in this report, unless otherwise indicated, are for Class A shares at net asset value. If a sales charge (maximum 3.75%) had been deducted, the results would have been lower. Results are for past periods and are not predictive of results for 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, so they may lose value. For current information and month-end results, visit americanfunds.com.

Here are the average annual total returns on a $1,000 investment with all distributions reinvested for periods ended June 30, 2012:
Class A shares	1 year			5 years			10 years
Reflecting 3.75% maximum sales charge		3.07	%		3.19	%		4.85	%

The total annual fund operating expense ratio was 0.60% for Class A shares as of the prospectus dated March 1, 2012.

Investment results assume all distributions are reinvested and reflect applicable fees and expenses. When applicable, investment results reflect fee waivers, without which results would have been lower. Visit americanfunds.com for more information.

Results for other share classes can be found on page 42.

The return of principal for bond funds and for funds with significant underlying bond holdings is not guaranteed. Fund shares are subject to the same interest rate, inflation and credit risks associated with the underlying bond holdings. Bond ratings, which typically range from Aaa/AAA (highest) to D (lowest), are assigned by credit rating agencies such as Moody’s, Standard & Poor’s and/or Fitch as an indication of an issuer’s creditworthiness. High-yield bonds are subject to greater fluctuations in value and risk of loss of income and principal than investment-grade bonds. Investing in bonds issued outside the U.S. may be 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, illiquidity and price volatility. These risks may be heightened in connection with investments in developing countries. Refer to the fund prospectus and the Risk Factors section of this report for more information on these and other risks associated with investing in the fund.

[photo of a construction worker working on a highway]

Fellow investors:

With fixed-income investments continuing to gain traction around the globe amidst economic and fiscal uncertainty, The Bond Fund of America produced a total return of 3.3% for the first half of the fiscal year ended June 30.

The fund’s results surpassed that of its benchmark, the unmanaged Barclays U.S. Aggregate Index, which returned 2.4% for the period. The fund’s peer group, as measured by the Lipper Intermediate Investment-Grade Debt Funds Average, gained 3.5%.

A significant part of the fund’s total return came from dividends. For the six-month period, the fund paid out monthly dividends totaling just over 17 cents a share. This amounted to an income return of 1.4% (2.8% annualized) for the fund’s investors, whether they reinvested dividends or took income in cash. The fund’s gain in share price also added to the fund’s total return.

[Begin Sidebar]

Results at a glance
For periods ended June 30, 2012, with all distributions reinvested
	Total returns			Average annual total returns
	1 year			3 years			5 years			10 years			Lifetime
													(since
													5/28/74)
The Bond Fund of America
(Class A shares)		7.09	%		8.22	%		3.97	%		5.25	%		8.35	%
Barclays U.S. Aggregate Index*		7.47			6.93			6.79			5.63			8.32
Lipper Intermediate Investment-
Grade Debt Funds Average		6.97			8.34			6.25			5.25			7.78
*The Barclays U.S. Aggregate Index began on January 1, 1976. From May 28, 1974, through December 31, 1975, the Barclays U.S. Government/Credit Index was used. The index is unmanaged and, therefore, has no expenses.

[End Sidebar]

Bond market overview

The first quarter of 2012 saw investors taking on additional risk in fixed-income. Corporate issues, high-yield bonds and emerging-markets securities all rose, while the Treasury market retreated modestly. This was due in part to an improved economic picture in the United States and a sense that Europe had taken steps to resolve its dual banking and credit crises.

Things changed in the second quarter, however. Domestic economic indicators showed a more sluggish growth pattern, while unemployment remained stubbornly high. In Europe, a new wave of problems — from Greek default scenarios to soaring bond yields in Spain and Italy — renewed fears that the entire euro zone could enter into a prolonged recession, one that would threaten the fragile growth in the United States.

These economic worries prompted a number of actions among the world’s central banks. On June 20, the Federal Reserve elected to extend its “Operation Twist” asset repurchase program, in which the Fed sells short-term debt on its balance sheet to purchase longer term debt in order to keep long-term rates low. This was followed on July 5 with rate cuts by both the European Central Bank and China’s central bank, as well as approximately $75 billion for a new asset repurchase program by the Bank of England.

With both domestic and overseas concerns growing, Treasuries regained favor in the second quarter as investors shed risk and moved toward the traditional safe haven. While most asset classes managed gains for the second quarter, these were minimal among issues with poor credit ratings. For the six-month period overall, bond markets produced positive returns.

Inside the portfolio

The Bond Fund of America’s investment professionals analyze both individual bond offerings and global macroeconomic trends when making investment decisions. Thus, as corporate bonds and high-yield offerings showed strong returns for the first quarter, the fund’s portfolio counselors reduced their holdings in these areas, using the resulting profits to increase the fund’s Treasury holdings in anticipation of the worsening economic conditions.

The fund began the six-month period with 31.09% of the portfolio invested in corporate bonds and 23.04% in U.S. government and agency securities; by June 30, corporates fell to 29.84% of the fund, while U.S. government and agency securities rose to 23.61%. The fund’s holdings in mortgage-backed securities increased slightly during the period, while holdings in high-yield and emerging markets were reduced.

Within corporate bonds, the fund reduced its exposure to the financials sector, which suffered a number of credit downgrades during the period. The fund’s holdings in the energy sector increased slightly.

The fund’s corporate holdings, particularly those in the financial sector, were strong contributors to the fund’s return. The fund’s portfolio counselors nonetheless opted to begin reducing the fund’s corporate holdings in favor of Treasuries during the period. We feel that positioning the portfolio in such a manner is better suited to preservation of capital and stronger returns in the long term.

Looking ahead

Recent efforts to combat Europe’s problems have been encouraging, but the fund’s portfolio counselors continue to see numerous risks to global economic growth. Parts of Europe are in recession, and while the euro zone works to resolve member nations’ debt issues without massive economic declines, the path back to prosperity remains uncertain.

In the United States, there are some positives to take into account, such as reduced consumer debt, strong corporate balance sheets and profitability among U.S. companies, and improvement in the housing market. However, the federal government continues to take on a great deal of debt, and political solutions to dealing with that debt are unlikely to occur in the short- to medium-term.

We feel the fund’s current positioning allows for flexibility in this uncertain environment, allowing it to provide a risk-aware flow of current income while preserving as much capital as is possible. We thank you for the opportunity to discuss the fund’s results, and we look forward to reporting to you again at the end of the year.

Cordially,

/s/ John H. Smet

John H. Smet

President

August 9, 2012

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

The fund’s 30-day yield for Class A shares as of July 31, 2012, calculated in accordance with the U.S. Securities and Exchange Commission formula, was 1.82%. The fund’s distribution rate for Class A shares as of that date was 2.88%. 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.

Summary investment portfolioJune 30, 2012

unaudited

The following summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings.  See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.

[begin pie chart]

Portfolio by type of security	(percent of net assets)
Mortgage-backed obligations		36.43
Corporate bonds & notes		29.84
Bonds & notes of U.S. government & government agencies		23.61
Bonds & notes of governments & government agencies outside the U.S.		3.84
Other bonds & notes		1.07
Other securities		0.06
Short-term securities & other assets less liabilities		5.15

[end pie chart]

Portfolio quality summary*	(percent of net assets)
U.S. government obligations†		23.1	%
Federal agencies		33.0
Aaa/AAA		4.6
Aa/AA		4.8
A		10.5
Baa/BBB		13.2
Ba/BB		1.6
B		2.7
Caa/CCC or less		0.8
Unrated		0.5
Short-term securities & other assets less liabilities		5.2
* Bond ratings, which typically range from Aaa/AAA (highest) to D (lowest), are assigned by credit rating agencies such as Moody's, Standard & Poor's and/or Fitch as an indication of an issuer's creditworthiness. If agency ratings differ, the security will be considered to have received the highest of those ratings, consistent with the fund's investment policies. Securities in the "unrated" category (above) have not been rated by a rating agency; however, the investment adviser performs its own credit analysis and assigns comparable ratings that are used for compliance with the fund's investment policies.
† These securities are guaranteed by the full faith and credit of the United States government.

	Principal					Percent
	amount		Value			of net
Bonds & notes - 94.79%	(000)			(000	)	assets
Mortgage-backed obligations - 36.43%
Federal agency mortgage-backed obligations (1) - 32.73%
Fannie Mae:
3.00% 2027	$	843,131	$	883,707
3.50% 2027		309,796		327,416
6.00% 2038		158,140		174,375
6.00% 2038		134,647		148,402
6.00% 2038		114,338		126,018
6.50% 2038		94,939		107,204
4.00% 2041		170,029		181,355
4.00% 2041		162,866		175,852
4.00% 2041		94,813		102,373
5.00% 2041		92,447		102,649
3.50% 2042		598,415		629,271
3.50% 2042		96,500		101,941
4.00% 2042		154,490		164,508
4.50% 2042		279,110		299,520
6.00% 2042		289,158		317,803
6.00% 2042		256,386		281,744
0%-11.379% 2012-2047 (2)		4,502,860		4,868,635			26.76	%
Freddie Mac 0%-7.50% 2016-2047 (2)		1,196,790		1,302,205			3.88
Government National Mortgage Assn.:
4.00% 2040		111,629		122,346
3.50% 2042		264,428		282,731
0%-10.00% 2021-2042		248,627		270,494			2.01
Other securities				28,980			.08
				10,999,529			32.73
Other mortgage-backed securities - 3.70%
Other securities				1,243,757			3.70
Total mortgage-backed obligations				12,243,286			36.43
Corporate bonds & notes - 29.84%
Financials - 7.88%
Other securities				2,647,304			7.88
Energy - 3.99%
Other securities				1,341,225			3.99
Consumer discretionary - 3.04%
Other securities				1,021,965			3.04
Industrials - 2.96%
Other securities				995,243			2.96
Health care - 2.84%
Other securities				954,363			2.84
Utilities - 2.39%
Other securities				801,749			2.39
Telecommunication services - 2.21%
Other securities				741,352			2.21
Consumer staples - 2.09%
Other securities				704,270			2.09
Materials - 1.52%
Other securities				511,323			1.52
Information technology - 0.92%
Other securities				309,084			.92
Total corporate bonds & notes				10,027,878			29.84
Bonds & notes of U.S. government & government agencies - 23.61%
U.S. Treasury:
1.375% 2012		165,780		166,524
1.125% 2013  (3)		216,455		218,256
0.25% 2014		202,700		202,469
1.25% 2014		187,140		189,947
2.125% 2015		165,000		174,243
0.875% 2016		114,185		115,358
1.00% 2016		206,090		209,392
2.375% 2016		100,000		106,805
0.875% 2017		302,100		304,517
1.00% 2017		308,986		313,349
1.125% 2019		416,050		416,911
1.75% 2022		417,001		420,792
2.00% 2022		298,825		309,120
7.125% 2023		85,000		130,053
6.875% 2025		77,500		121,131
4.50% 2036		158,957		213,748
4.375% 2039		103,000		137,376
4.625% 2040		165,695		229,514
3.75% 2041		317,745		383,703
3.00% 2042		105,400		110,609
3.125% 2042		183,287		197,162
0.125%-8.75% 2012-2041 (4)		1,933,903		2,233,072			20.55
Fannie Mae 0.50%-7.125% 2012-2030		272,345		282,461			.84
Federal Home Loan Bank 1.00%-5.50% 2012-2036		265,760		275,522			.82
Freddie Mac 0.50%-5.50% 2012-2022		161,630		172,794			.51
Other securities				298,290			.89
				7,933,118			23.61
Bonds & notes of governments & government agencies outside the U.S. - 3.84%
Other securities				1,291,317			3.84
Other - 1.07%
Other securities				357,177			1.07
Total bonds & notes (cost: $30,379,501,000)				31,852,776			94.79
						Percent
			Value			of net
Convertible securities - 0.04%				(000	)	assets
Information technology - 0.04%
Other securities				11,931			.04
Total convertible securities (cost: $10,246,000)				11,931			.04
						Percent
			Value			of net
Preferred securities - 0.01%				(000	)	assets
U.S. government agency securities - 0.01%
Other securities			$	3,500			.01
Total preferred securities (cost: $5,820,000)				3,500			.01
						Percent
			Value			of net
Common stocks - 0.01%				(000	)	assets
Other - 0.01%
Other securities			$	4,677			.01
Total common stocks (cost: $9,571,000)				4,677			.01
						Percent
			Value			of net
Warrants - 0.00%				(000	)	assets
Energy - 0.00%
Other securities			$	22			.00
Total warrants (cost: $671,000)				22			.00
						Percent
	Principal		Value			of net
Short-term securities - 17.57%	amount (000)			(000	)	assets
U.S. Treasury Bills 0.062%-0.165% due 7/12/2012-4/4/2013	$	1,673,400	$	1,672,917			4.98	%
Freddie Mac 0.07%-0.20% due 8/1/2012-4/23/2013		969,198		968,695			2.88
Fannie Mae 0.07%-0.185% due 7/23/2012-1/8/2013		852,032		851,783			2.53
Federal Home Loan Bank 0.06%-0.21% due 7/13/2012-6/14/2013		704,015		703,626			2.09
Procter & Gamble Co. 0.13%-0.15% due 7/12-8/20/2012 (5)		179,800		179,784			.54
Federal Farm Credit Banks 0.14%-0.22% due 10/18/2012-4/29/2013		170,000		169,806			.50
Coca-Cola Co. 0.13%-0.22% due 8/10-10/9/2012 (5)		150,000		149,954			.45
Pfizer Inc 0.11%-0.12% due 7/11-7/19/2012 (5)		130,700		130,694			.39
Private Export Funding Corp. 0.13%-0.17% due 7/9-9/10/2012 (5)		125,000		124,969			.37
Straight-A Funding LLC 0.16%-0.18% due 7/19-8/14/2012 (5)		119,836		119,813			.36
Bank of New York Mellon Corp. 0.10% due 7/12/2012 (5)		102,900		102,897			.31
Other securities				729,642			2.17
Total short-term securities (cost: $5,904,600,000)				5,904,580			17.57
Total investment securities (cost: $36,310,409,000)				37,777,486			112.42
Other assets less liabilities				(4,173,384	)		(12.42	)
Net assets			$	33,604,102			100.00	%

“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio, including securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $10,273,000, which represented .03% of the net assets of the fund. Some securities (with an aggregate value of $12,253,000, an aggregate cost of $16,626,000, and which represented .03% of the net assets of the fund) were acquired  from 7/17/2009 to 11/17/2010 through private placement transactions exempt from registration under the Securities Act of 1933 which may subject them to legal or contractual restrictions on resale.

Forward currency contracts

The fund has entered into forward currency contracts to sell currencies as shown in the following table. The open forward currency contracts shown are generally indicative of the level of activity over the prior 12-month period.

			Contract amount				Unrealized (depreciation) appreciation at
	Settlement  date	Counterparty	Receive (000)		Deliver (000)		6/30/2012 (000)
Sales:			��
Brazilian reais	7/25/2012	JPMorgan Chase	$	7,837	BRL16,000		$	(84	)
Brazilian reais	7/31/2012	JPMorgan Chase	$	61,221	BRL128,000			(2,064	)
British pounds	8/16/2012	UBS AG	$	18,237	£	11,330		495
Colombian pesos	7/30/2012	JPMorgan Chase	$	22,871	COP41,500,000			(245	)
Euros	7/11/2012	JPMorgan Chase	$	657	€	500		24
Euros	7/12/2012	Barclays Bank PLC	$	11,751	€	8,970		399
Euros	7/12/2012	Citibank	$	8,416	€	6,750		(127	)
Euros	7/27/2012	JPMorgan Chase	$	5,314	€	4,250		(66	)
Euros	8/20/2012	JPMorgan Chase	$	12,627	€	10,000		(34	)
Euros	9/21/2012	UBS AG	$	23,453	€	18,460		72
Euros	9/21/2012	Citibank	$	1,762	€	1,395		(5	)
Japanese yen	7/31/2012	UBS AG	$	44,303	¥	3,605,342		(822	)
New Turkish liras	7/23/2012	Citibank	$	6,158	TRY11,400			(111	)
New Turkish liras	9/4/2012	Citibank	$	32,115	TRY61,000			(1,121	)
Polish zloty	8/7/2012	Citibank	$	22,532	PLN72,000			1,027
Polish zloty	9/26/2012	Citibank	$	3,777	PLN13,000			(83	)
							$	(2,745	)

Interest rate swaps

The fund has entered into interest rate swaps as shown in the following table. The interest rate swaps shown are generally indicative of the volume of activity over the prior six-month period.

Floating rate index	Fixed rate			Expiration  date	Counterparty	Notional amount (000)		Unrealized (depreciation) appreciation at 6/30/2012 (000)
Counterparty receives floating rate:
3-month USD-LIBOR		1.74125	%	6/7/2022	Citibank	$	55,000	$	(127	)
3-month USD-LIBOR		2.61		2/17/2032	JPMorgan Chase		72,000		2,985
Interest rate swaps - net								$	2,858

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) Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.

(2) Coupon rate may change periodically.

(3) A portion of this security was pledged as collateral for net losses on unsettled forward currency contracts and interest rate swaps with certain counterparties. The total value of pledged collateral was $152,000, which represented less than .01% of the net assets of the fund.

(4) Index-linked bond whose principal amount moves with a government price index.

(5) Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in "Other securities," was $4,816,362,000, which represented 14.33% of the net assets of the fund.

Key to abbreviations and symbols

BRL = Brazilian reais

COP = Colombian pesos

€ = Euros

£ = British pounds

¥ = Japanese yen

PLN = Polish zloty

TRY = Turkish lira

See Notes to Financial Statements

Financial statements

Statement of assets and liabilities			unaudited
at June 30, 2012	(dollars in thousands)
Assets:
Investment securities, at value (cost: $36,310,409)			$	37,777,486
Cash				18,162
Unrealized appreciation on open forward currency contracts				2,017
Unrealized appreciation on interest rate swaps				2,985
Receivables for:
Sales of investments	$	2,453,644
Sales of fund's shares		44,830
Closed forward currency contracts		5,379
Interest rate swaps		755
Interest		246,517		2,751,125
				40,551,775
Liabilities:
Unrealized depreciation on open forward currency contracts				4,762
Unrealized depreciation on interest rate swaps				127
Payables for:
Purchases of investments		6,863,394
Repurchases of fund's shares		50,293
Dividends on fund's shares		6,578
Closed forward currency contracts		1,345
Interest rate swaps		57
Investment advisory services		5,325
Services provided by related parties		14,823
Trustees' deferred compensation		516
Other		453		6,942,784
Net assets at June 30, 2012			$	33,604,102
Net assets consist of:
Capital paid in on shares of beneficial interest			$	34,782,661
Distributions in excess of net investment income				(20,289	)
Accumulated net realized loss				(2,625,241	)
Net unrealized appreciation				1,466,971
Net assets at June 30, 2012			$	33,604,102

	(dollars and shares in thousands, except per-share amounts)
Shares of beneficial interest issued and outstanding (no stated par value) -
unlimited shares authorized (2,627,826 total shares outstanding)
		Net assets		Shares outstanding		Net asset value  per share
Class A		$	23,856,941		1,865,603	$	12.79
Class B			517,743		40,487		12.79
Class C			2,451,005		191,668		12.79
Class F-1			1,589,368		124,288		12.79
Class F-2			344,671		26,953		12.79
Class 529-A			1,068,538		83,559		12.79
Class 529-B			46,652		3,648		12.79
Class 529-C			479,964		37,533		12.79
Class 529-E			58,619		4,584		12.79
Class 529-F-1			69,251		5,415		12.79
Class R-1			91,115		7,125		12.79
Class R-2			798,100		62,411		12.79
Class R-3			974,819		76,230		12.79
Class R-4			671,839		52,538		12.79
Class R-5			298,876		23,372		12.79
Class R-6			286,601		22,412		12.79
See Notes to Financial Statements

Statement of operations				unaudited
for the six months ended June 30, 2012	(dollars in thousands)
Investment income:
Income:
Interest (net of non-U.S. taxes of $36)				$	526,749
Fees and expenses*:
Investment advisory services		32,838
Distribution services		55,923
Transfer agent services		24,590
Administrative services		3,449
Reports to shareholders		1,131
Registration statement and prospectus		432
Trustees' compensation		180
Auditing and legal		15
Custodian		194
State and local taxes		149
Other		959			119,860
Net investment income					406,889
Net realized gain and unrealized appreciation
on investments, forward currency contracts, interest rate swaps and currency:
Net realized gain (loss) on:
Investments		446,316
Forward currency contracts		17,454
Interest rate swaps		782
Currency transactions		(2,311	)		462,241
Net unrealized appreciation (depreciation) on:
Investments		201,748
Forward currency contracts		(7,529	)
Interest rate swaps		2,858
Currency translations		652			197,729
Net realized gain and unrealized appreciation
on investments, forward currency contracts, interest rate swaps and currency					659,970
Net increase in net assets resulting
from operations				$	1,066,859
(*) 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 ended June 30, 2012*			Year ended December 31, 2011
Operations:
Net investment income	$	406,889		$	1,051,588
Net realized gain on investments, forward currency contracts, interest rate swaps and currency transactions		462,241			804,549
Net unrealized appreciation on investments, forward currency contracts, interest rate swaps, and currency translations		197,729			214,449
Net increase in net assets resulting from operations		1,066,859			2,070,586
Dividends paid or accrued to shareholders from net investment income		(441,853	)		(1,109,104	)
Net capital share transactions		(313,746	)		(4,289,380	)
Total increase (decrease) in net assets		311,260			(3,327,898	)
Net assets:
Beginning of period		33,292,842			36,620,740
End of period (including distributions in excess of and undistributed
net investment income: $(20,289) and $14,675, respectively)	$	33,604,102		$	33,292,842
*Unaudited.
See Notes to Financial Statements

Notes to financial statements                                                                                         

                  unaudited

1.   Organization

The Bond Fund of America (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 has 16 share classes consisting of five retail share classes (Classes A, B and C, as well as two F share classes, F-1 and F-2), five 529 college savings plan share classes (Classes 529-A, 529-B, 529-C, 529-E and 529-F-1) and six retirement plan share classes (Classes R-1, R-2, R-3, R-4, R-5 and R-6). The 529 college savings plan share classes can be used to save for college education. The retirement plan share classes are generally offered only through eligible employer-sponsored retirement plans. The fund’s share classes are further described below:

Share class	Initial sales charge	Contingent deferred sales charge upon redemption	Conversion feature
Classes 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
Classes B and 529-B*	None	Declines from 5% to 0% for redemptions within six years of purchase	Classes B and 529-B convert to Classes 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-1 after 10 years
Class 529-C	None	1% for redemptions within one year of purchase	None
Class 529-E	None	None	None
Classes F-1, F-2 and 529-F-1	None	None	None
Classes R-1, R-2, R-3, R-4, R-5 and R-6	None	None	None

*Class B and 529-B shares of the fund are not available for purchase.

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.

2.   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 fund follows the significant accounting policies described below, as well as the valuation policies described in the next section on valuation.

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. 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 after the determination of the fund’s net investment income and are paid to shareholders monthly. Distributions paid to shareholders are recorded on the ex-dividend date.

Currency translation – Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors 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. On the accompanying financial statements, the effects of changes in 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 currencies other than U.S. dollars are disclosed separately.

3.   Valuation

Capital Research and Management Company (“CRMC”), the fund’s investment adviser, values the fund’s investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value of each share class of the fund is generally determined as of approximately 4:00 p.m. New York time each day the New York Stock Exchange is open.

Methods and inputs – The fund’s investment adviser uses the following methods and inputs to establish the fair value of the fund’s assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.

Equity securities are generally 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 on which the security trades.

Fixed-income securities, including short-term securities purchased with more than 60 days left to maturity, are generally valued at prices obtained from one or more pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income security.

Fixed-income class	Examples of standard inputs
All	Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
Corporate bonds & notes; convertible securities	Standard inputs and underlying equity of the issuer
Bonds & notes of governments & government agencies	Standard inputs and interest rate volatilities
Mortgage-backed; asset-backed obligations	Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information
Municipal securities	Standard inputs and, for certain distressed securities, cash flows or liquidation values using a net present value calculation based on inputs that include, but are not limited to, financial statements and debt contracts

When the fund’s investment adviser deems it appropriate to do so (such as when vendor prices are unavailable or not deemed to be representative), fixed-income securities will be valued in good faith at the mean quoted bid and ask prices that are reasonably and timely available (or bid prices, if ask 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 generally valued in the manner described above for either equity or fixed-income securities, depending on which method is deemed most appropriate by the fund’s investment adviser.Short-term securities purchased within 60 days to maturity are valued at amortized cost, which approximates fair 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.Forward currency contracts are valued at the mean of representative quoted bid and ask prices, generally based on prices supplied by one or more pricing vendors.Interest rate swaps are generally valued by pricing vendors based on market inputs that include the index and term of index, reset frequency, payer/receiver, currency, and pay frequency.

Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the fund’s investment adviser are fair valued as determined in good faith under fair value guidelines adopted by authority of the fund’s board of trustees as further described below. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission (“SEC”) rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as 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. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

Processes and structure– The fund’s board of trustees has delegated authority to the fund’s investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Fair Valuation Committee”) to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation teams. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees with supplemental information to support the changes.  The fund’s board and audit committee also regularly review reports that describe fair value determinations and methods.

The fund’s investment adviser has also established a Fixed-Income Pricing Review Group to administer and oversee the fixed-income valuation process, including the use of fixed-income pricing vendors. This group regularly reviews pricing vendor information and market data. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews, including an annual control self-evaluation program facilitated by the investment adviser’s compliance group.

Classifications – The fund’s investment adviser classifies the fund’s assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.The following tables presentthe fund’s valuation levels as of June 30, 2012 (dollars in thousands):

	Investment securities
	Level 1		Level 2			Level 3		Total
Assets:
Bonds & notes:
Mortgage-backed obligations		-	$	12,243,286			-	$	12,243,286
Corporate bonds & notes		-		10,027,878			-		10,027,878
Bonds & notes of U.S. government & government agencies		-		7,933,118			-		7,933,118
Bonds & notes of governments & government agencies outside the U.S.		-		1,291,317			-		1,291,317
Other		-		357,177			-		357,177
Convertible securities		-		11,931			-		11,931
Preferred securities		-		3,500			-		3,500
Common stocks		-		-			4,677		4,677
Warrants		-		-			22		22
Short-term securities		-		5,904,580			-		5,904,580
Total	$	-	$	37,772,787		$	4,699	$	37,777,486
	Other investments*
	Level 1		Level 2			Level 3		Total
Assets:
Unrealized appreciation on open forward currency contracts	$	-	$	2,017		$	-	$	2,017
Unrealized appreciation on interest rate swaps		-		2,985			-		2,985
Liabilities:
Unrealized depreciation on open forward currency contracts		-		(4,762	)		-		(4,762	)
Unrealized depreciation on interest rate swaps		-		(127	)		-		(127	)
Total	$	-	$	113		$	-	$	113
* Forward currency contracts and interest rate swaps are not included in the investment portfolio.

4.   Risk factors

Investing in the fund may involve certain risks including, but not limited to, those described below.

Market conditions — The prices of, and the income generated by, the securities held by the fund may decline due to market conditions and other factors, including those directly involving the issuers of securities held by the fund.

Investing in bonds — Rising interest rates will generally cause the prices of bonds and other debt securities to fall. Longer maturity debt securities may be subject to greater price fluctuations than shorter maturity debt securities. In addition, falling interest rates may cause an issuer to redeem, call or refinance a security before its stated maturity, which may result in the fund having to reinvest the proceeds in lower yielding securities.

Bonds and other debt securities are subject to credit risk, which is the possibility that the credit strength of an issuer will weaken and/or an issuer of a debt security will fail to make timely payments of principal or interest and the security will go into default. Lower quality debt securities generally have higher rates of interest and may be subject to greater price fluctuations than higher quality debt securities.

Investing in mortgage-backed and asset-backed securities — Many types of bonds and other debt securities, including mortgage-backed securities, are subject to prepayment risk, as well as the risks associated with investing in debt securities in general. If interest rates fall and the loans underlying these securities are prepaid faster than expected, the fund may have to reinvest the prepaid principal in lower yielding securities, thus reducing the fund’s income. Conversely, if interest rates increase and the loans underlying the securities are prepaid more slowly than expected, the expected duration of the securities may be extended. This reduces the potential for the fund to invest the principal in higher yielding securities.

Investing in securities backed by the U.S. government — Securities backed by the U.S. Treasury or the full faith and credit of the U.S. government are guaranteed only as to the timely payment of interest and principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. Securities issued by government-sponsored entities and federal agencies and instrumentalities that are not backed by the full faith and credit of the U.S. government are neither issued nor guaranteed by the U.S. government.

Thinly traded securities — There may be little trading in the secondary market for particular bonds or other debt securities, which may make them more difficult to value, acquire or sell.

Investing outside the U.S. — Securities of issuers domiciled outside the U.S., or with significant operations outside the U.S., may lose value because of political, social, economic or market developments or instability in the countries or regions in which the issuer operates. These securities may also lose value due to changes in foreign currency exchange rates against the U.S. dollar and/or currencies of other countries. Securities markets in certain countries may be more volatile and/or less liquid than those in the U.S. Investments outside the U.S. may also be subject to different settlement and accounting practices and different regulatory, legal and reporting standards, and may be more difficult to value, than those in the U.S. The risks of investing outside the U.S. may be heightened in connection with investments in emerging and developing countries.

Management — The investment adviser to the fund actively manages the fund’s investments. Consequently, the fund is subject to the risk that the methods and analyses employed by the investment adviser in this process may not produce the desired results. This could cause the fund to lose value or its investment results to lag relevant benchmarks or other funds with similar objectives.

5.   Certain investment techniques

Mortgage dollar rolls – The fund has entered 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. Risks may arise due to the delayed payment date and the potential inability of counterparties to complete the transaction. Mortgage dollar rolls are accounted for as purchase and sale transactions, which may increase the fund’s portfolio turnover rate.

Loan transactions – The fund has entered 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.

Unfunded commitments – The fund has participated in transactions that involve unfunded commitments, which may obligate the fund to lend additional sums based upon the terms of the loan agreement. As of June 30, 2012, the fund’s maximum exposure of unfunded loan commitments was $5,705,000, which would represent less than 0.01% of the net assets of the fund should such commitments become due. Unrealized appreciation of $61,000 is included in net unrealized appreciation on investments in the statement of operations.

Forward currency contracts - The fund has entered into forward currency contracts, which represent agreements to exchange currencies on specific future dates at predetermined rates. The fund’s investment adviser uses forward currency contracts to manage the fund’s exposure to changes in exchange rates. 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 exchange rates.

On a daily basis, the fund’s investment adviser values forward currency contracts based on the applicable exchange rates and records unrealized appreciation or depreciation for open forward currency contracts in the fund’s statement of assets and liabilities. Realized gains or losses are recorded at the time the forward currency contract is closed or offset by another contract with the same broker for the same settlement date and currency.

Interest rate swaps - The fund has entered into interest rate swaps, which are agreements to exchange one stream of future interest payments for another based on a specified notional amount. Typically, interest rate swaps exchange a fixed-interest rate for a payment that floats relative to a benchmark or vice versa. The fund’s investment adviser uses interest rate swaps to manage the interest rate sensitivity of the fund by increasing or decreasing the duration of the fund or a portion of the fund’s portfolio. Upon entering into interest rate swaps, risks may arise as a result of the fund’s investment adviser incorrectly anticipating changes in interest rates, increased volatility, reduced liquidity and the potential inability of counterparties to meet the terms of their agreements.

On a daily basis, the fund’s investment adviser records interest accruals related to the exchange of future payments as a receivable and payable in the fund’s statement of assets and liabilities. Unrealized appreciation or depreciation as a result of market fluctuation is recorded as an asset or liability. Interest accruals related to the exchange of future payments are also recorded as realized gains or losses in the fund’s statement of operations. Gains or losses realized upon the early termination or expiration of interest rate swap agreements are also recorded in the fund’s statement of operations.

The following tables present the financial statement impacts resulting from the fund’s use of forward currency contracts and interest rate swaps as of June 30, 2012 (dollars in thousands):

	Asset			Liability
Contract	Location on statement of assets and liabilities	Value		Location on statement of assets and liabilities	Value
Forward currency	Unrealized appreciation on open forward currency contracts	$	2,017	Unrealized depreciation on open forward currency contracts	$	4,762
Forward currency	Receivables for closed forward currency contracts		5,379	Payables for closed forward currency contracts		1,345
Interest rate swaps	Unrealized appreciation on interest rate swaps		2,985	Unrealized depreciation on interest rate swaps		127
Interest rate swaps	Receivables for interest rate swaps		755	Payables for interest rate swaps		57
		$	11,136		$	6,291
	Net realized gain			Net unrealized (depreciation) appreciation
Contract	Location on statement of operations	Value		Location on statement of operations	Value
Forward currency	Net realized gain on forward currency contracts	$	17,454	Net unrealized depreciation on forward currency contracts	$	(7,529	)
Interest rate swaps	Net realized gain on interest rate swaps		782	Net unrealized appreciation on interest rate swaps		2,858
		$	18,236		$	(4,671	)

Collateral - To reduce the risk to counterparties of forward currency contracts and interest rate swaps, the fund has entered into a collateral program with certain counterparties. The program calls for the fund to either receive or pledge collateral based on the net unrealized gain or loss on unsettled forward currency contracts and interest rate swaps by counterparty. The purpose of the collateral is to cover potential losses that could occur in the event that either party cannot meet its contractual obligations.

6.   Taxation and distributions

Federal income taxation – 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.

As of and during the period ended June 30, 2012, 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 2008 and by state tax authorities and tax authorities outside the U.S. for tax years before 2007.

Non-U.S. taxation – Interest income is recorded net of non-U.S. taxes paid.

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 gainsfor financial reporting purposes. These differences are due primarily to different treatment for items such as currency gains and losses; short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase; cost of investments sold; paydowns on fixed-income securities; 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, 2011, the components of distributable earnings on a tax basis were as follows:

	(dollars in thousands)
Undistributed ordinary income				$	29,803
Capital loss carryforward*:
Expiring 2016	$	(108,855	)
Expiring 2017		(2,938,199	)		(3,047,054	)
*The capital loss carryforward 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 a capital loss carryforward remains.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized after December 31, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of June 30, 2012, the tax basis unrealized appreciation (depreciation) and cost of investment securities were as follows:

(dollars in thousands)
Gross unrealized appreciation on investment securities	$	1,617,861
Gross unrealized depreciation on investment securities		(189,104	)
Net unrealized appreciation on investment securities		1,428,757
Cost of investment securities		36,348,729

Tax-basis distributions paid or accruedto shareholders from ordinary income were as follows (dollars in thousands):

Share class	Six months ended June 30, 2012		Year ended December 31, 2011
Class A	$	327,329	$	810,868
Class B		5,568		18,892
Class C		23,975		67,795
Class F-1		21,331		55,627
Class F-2		5,045		12,381
Class 529-A		13,722		30,674
Class 529-B		461		1,543
Class 529-C		4,310		10,857
Class 529-E		680		1,518
Class 529-F-1		939		1,970
Class R-1		895		2,462
Class R-2		7,916		20,870
Class R-3		11,760		30,154
Class R-4		9,214		23,891
Class R-5		4,779		10,844
Class R-6		3,929		8,758
Total	$	441,853	$	1,109,104

7.   Fees and transactions with related parties

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

Investment advisory services – The fund has an investment advisory and service agreement with CRMC that providesfor monthly fees accrued daily. These fees are based on a series of decreasing annual rates beginning with 0.30% on the first $60 million of daily net assets and decreasing to 0.11% on such assets in excess of $36 billion. The agreement also provides for monthly fees, accrued daily, based on a series of decreasing 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. For the six months ended June 30, 2012, the investment advisory services fee was $32,838,000, which was equivalent to an annualized rate of 0.198% of average dailynet 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 plans of distribution for all share classes, except Classes F-2, R-5 and R-6. Under the plans, the board of trustees 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 trustees has limited the amounts that may be paid to less than the maximum allowed by the plans.All share classes with a plan 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 Classes A and 529-A, distribution-related expenses include 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, 2012, there were no unreimbursed expenses subject to reimbursement for Classes A or 529-A.

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

Transfer agent services –The fund has a shareholder services agreement with AFS under which the fund compensates AFS for providing transfer agent services to each of the fund’s share classes. These services include recordkeeping, shareholder communications and transaction processing. In addition, the fund reimburses AFS for amounts paid to third parties for performing transfer agent services on behalf of fund shareholders.

Administrative services – The board of trustees approved an amended administrative services agreement with CRMC effective January 1, 2012. Under this agreement, Class A shares pay an annual fee of 0.01% and Class C, F, R and 529 shares pay an annual fee of 0.05% of their respective average daily net assets to compensate CRMC for providing administrative services. These services include, but are not limited to, coordinating, monitoring, assisting and overseeing third parties that provide services to fund shareholders.

529 plan services – Each 529 share class is subject to service fees to compensate the Commonwealth of Virginia for the maintenance of the 529 college savings plan.The quarterly fee is based on a series of decreasing annual rates beginning with 0.10% on the first $30 billion of the net assets invested in Class 529 shares of the American Funds and decreasing to 0.06% on such assets between $120 billion and $150 billion. The fee for any given calendar quarter is accrued and calculated on the basis of the average net assets of Class 529 shares of the American Funds for the last month of the prior calendar quarter. The fee is included in other expenses on the accompanying financial statements. The Commonwealth of Virginia is not considered a related party.

Class-specific expenses under the agreements described above for the six months ended June 30, 2012, were as follows (dollars in thousands):

Share class	Distribution services		Transfer agent services		Administrative services		529 plan services
Class A	$	28,482	$	17,690	$	1,180	Not applicable
Class B		2,787		417	Not applicable		Not applicable
Class C		12,315		1,761		617	Not applicable
Class F-1		1,924		878		386	Not applicable
Class F-2	Not applicable			146		83	Not applicable
Class 529-A		1,147		563		256	$	509
Class 529-B		247		33		12		25
Class 529-C		2,293		270		115		229
Class 529-E		139		22		14		28
Class 529-F-1		-		35		16		32
Class R-1		449		51		23	Not applicable
Class R-2		2,953		1,466		200	Not applicable
Class R-3		2,367		861		241	Not applicable
Class R-4		820		315		166	Not applicable
Class R-5	Not applicable			80		77	Not applicable
Class R-6	Not applicable			2		63	Not applicable
Total class-specific expenses	$	55,923	$	24,590	$	3,449	$	823

Trustees’ deferred compensation – Trustees who are unaffiliated with CRMCmay 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. Trustees’ compensation of $180,000, shown on the accompanying financial statements, includes $160,000 in current fees (either paid in cash or deferred) and a net increase of $20,000 in the value of the deferred amounts.

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

8.   Capital share transations

Capital share transactions in the fund were as follows (dollars and shares in thousands):

	Sales(*)				Reinvestments of dividends				Repurchases(*)						Net (decrease) increase
Share class	Amount		Shares		Amount		Shares		Amount			Shares			Amount			Shares
Six months ended June 30, 2012
Class A	$	1,779,193		140,194	$	307,401		24,182	$	(2,327,787	)		(183,501	)	$	(241,193	)		(19,125	)
Class B		19,242		1,516		5,284		416		(129,858	)		(10,237	)		(105,332	)		(8,305	)
Class C		201,506		15,880		22,252		1,750		(339,669	)		(26,780	)		(115,911	)		(9,150	)
Class F-1		232,767		18,338		20,658		1,625		(213,427	)		(16,822	)		39,998			3,141
Class F-2		67,485		5,317		4,391		345		(52,934	)		(4,170	)		18,942			1,492
Class 529-A		116,241		9,167		13,471		1,060		(61,133	)		(4,823	)		68,579			5,404
Class 529-B		3,069		242		451		35		(11,490	)		(906	)		(7,970	)		(629	)
Class 529-C		55,085		4,343		4,232		333		(31,818	)		(2,510	)		27,499			2,166
Class 529-E		7,287		575		666		52		(3,967	)		(313	)		3,986			314
Class 529-F-1		11,213		884		921		73		(3,330	)		(263	)		8,804			694
Class R-1		13,522		1,066		877		69		(15,520	)		(1,224	)		(1,121	)		(89	)
Class R-2		129,678		10,221		7,715		607		(160,137	)		(12,623	)		(22,744	)		(1,795	)
Class R-3		166,616		13,135		11,485		903		(184,334	)		(14,532	)		(6,233	)		(494	)
Class R-4		120,722		9,521		9,031		710		(139,337	)		(10,991	)		(9,584	)		(760	)
Class R-5		57,531		4,536		4,626		364		(78,807	)		(6,205	)		(16,650	)		(1,305	)
Class R-6		65,022		5,111		3,860		304		(23,698	)		(1,865	)		45,184			3,550
Total net increase
(decrease)	$	3,046,179		240,046	$	417,321		32,828	$	(3,777,246	)		(297,765	)	$	(313,746	)		(24,891	)
Year ended December 31, 2011
Class A	$	3,467,987		279,545	$	765,805		61,887	$	(6,884,549	)		(558,485	)	$	(2,650,757	)		(217,053	)
Class B		44,459		3,577		18,764		1,517		(362,284	)		(29,378	)		(299,061	)		(24,284	)
Class C		371,536		29,938		62,888		5,082		(919,444	)		(74,624	)		(485,020	)		(39,604	)
Class F-1		412,064		33,336		53,763		4,345		(858,836	)		(69,567	)		(393,009	)		(31,886	)
Class F-2		110,665		8,951		10,052		812		(212,590	)		(17,245	)		(91,873	)		(7,482	)
Class 529-A		190,513		15,376		30,551		2,468		(164,943	)		(13,348	)		56,121			4,496
Class 529-B		5,616		453		1,527		123		(27,875	)		(2,258	)		(20,732	)		(1,682	)
Class 529-C		91,091		7,351		10,807		873		(98,035	)		(7,930	)		3,863			294
Class 529-E		11,587		934		1,513		123		(9,458	)		(766	)		3,642			291
Class 529-F-1		15,958		1,288		1,958		158		(14,111	)		(1,142	)		3,805			304
Class R-1		20,226		1,633		2,444		197		(34,155	)		(2,761	)		(11,485	)		(931	)
Class R-2		251,747		20,313		20,669		1,670		(321,253	)		(26,004	)		(48,837	)		(4,021	)
Class R-3		309,367		24,979		29,876		2,415		(457,900	)		(37,060	)		(118,657	)		(9,666	)
Class R-4		245,207		19,836		23,713		1,917		(388,730	)		(31,455	)		(119,810	)		(9,702	)
Class R-5		164,621		13,238		10,607		857		(242,473	)		(19,722	)		(67,245	)		(5,627	)
Class R-6		64,680		5,233		8,731		706		(123,736	)		(10,058	)		(50,325	)		(4,119	)
Total net increase
(decrease)	$	5,777,324		465,981	$	1,053,668		85,150	$	(11,120,372	)		(901,803	)	$	(4,289,380	)		(350,672	)
* Includes exchanges between share classes of the fund.

9.   Investment distributions

The fund made purchases and sales of investment securities, excluding short-term securities and U.S. government obligations, if any, of $33,482,507,000 and $34,072,348,000, respectively, during the six months ended June 30, 2012.

Financial highlights

				Income (loss) from investment operations(1)
		Net asset value, beginning of period		Net investment income		Net gains (losses) on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Net asset value, end of period		Total return(2)(3)			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(3)			Ratio of net income to average net assets(3)
Class A:	Six months ended 6/30/2012(4)(5)	$	12.55	$	.16	$	.25		$	.41		$	(.17	)	$	12.79		3.32	%	$	23,857		.61	%(6)		.61	%(6)		2.56	%(6)
	Year ended 12/31/2011		12.19		.40		.38			.78			(.42	)		12.55		6.51			23,654		.60			.60			3.23
	Year ended 12/31/2010		11.80		.44		.41			.85			(.46	)		12.19		7.30			25,627		.59			.59			3.61
	Year ended 12/31/2009		10.76		.53		1.03			1.56			(.52	)		11.80		14.91			27,349		.65			.65			4.74
	Year ended 12/31/2008		13.06		.70		(2.25	)		(1.55	)		(.75	)		10.76		(12.24	)		21,987		.65			.63			5.76
	Year ended 12/31/2007		13.32		.69		(.25	)		.44			(.70	)		13.06		3.37			24,898		.63			.61			5.22
Class B:	Six months ended 6/30/2012(4)(5)		12.55		.12		.25			.37			(.13	)		12.79		2.92			518		1.36	(6)		1.36	(6)		1.82	(6)
	Year ended 12/31/2011		12.19		.31		.38			.69			(.33	)		12.55		5.70			612		1.36			1.36			2.49
	Year ended 12/31/2010		11.80		.35		.41			.76			(.37	)		12.19		6.50			891		1.35			1.35			2.88
	Year ended 12/31/2009		10.76		.45		1.03			1.48			(.44	)		11.80		14.06			1,212		1.40			1.40			4.05
	Year ended 12/31/2008		13.06		.61		(2.25	)		(1.64	)		(.66	)		10.76		(12.88	)		1,227		1.40			1.37			5.02
	Year ended 12/31/2007		13.32		.59		(.25	)		.34			(.60	)		13.06		2.61			1,524		1.38			1.35			4.48
Class C:	Six months ended 6/30/2012(4)(5)		12.55		.11		.25			.36			(.12	)		12.79		2.90			2,451		1.40	(6)		1.40	(6)		1.77	(6)
	Year ended 12/31/2011		12.19		.30		.38			.68			(.32	)		12.55		5.66			2,520		1.40			1.40			2.43
	Year ended 12/31/2010		11.80		.35		.41			.76			(.37	)		12.19		6.45			2,931		1.39			1.39			2.81
	Year ended 12/31/2009		10.76		.44		1.03			1.47			(.43	)		11.80		14.00			3,189		1.44			1.44			3.91
	Year ended 12/31/2008		13.06		.60		(2.25	)		(1.65	)		(.65	)		10.76		(12.92	)		2,274		1.44			1.41			4.98
	Year ended 12/31/2007		13.32		.59		(.25	)		.34			(.60	)		13.06		2.56			2,532		1.42			1.40			4.43
Class F-1:	Six months ended 6/30/2012(4)(5)		12.55		.16		.25			.41			(.17	)		12.79		3.32			1,589		.62	(6)		.62	(6)		2.55	(6)
	Year ended 12/31/2011		12.19		.40		.38			.78			(.42	)		12.55		6.48			1,520		.63			.63			3.21
	Year ended 12/31/2010		11.80		.44		.41			.85			(.46	)		12.19		7.27			1,866		.62			.62			3.59
	Year ended 12/31/2009		10.76		.53		1.03			1.56			(.52	)		11.80		14.91			2,329		.65			.65			4.80
	Year ended 12/31/2008		13.06		.70		(2.25	)		(1.55	)		(.75	)		10.76		(12.23	)		2,653		.64			.62			5.78
	Year ended 12/31/2007		13.32		.69		(.25	)		.44			(.70	)		13.06		3.38			2,963		.62			.60			5.22
Class F-2:	Six months ended 6/30/2012(4)(5)		12.55		.18		.25			.43			(.19	)		12.79		3.46			345		.35	(6)		.35	(6)		2.81	(6)
	Year ended 12/31/2011		12.19		.43		.38			.81			(.45	)		12.55		6.76			319		.36			.36			3.48
	Year ended 12/31/2010		11.80		.47		.41			.88			(.49	)		12.19		7.55			402		.36			.36			3.89
	Year ended 12/31/2009		10.76		.56		1.03			1.59			(.55	)		11.80		15.19			737		.39			.39			4.66
	Period from 8/4/2008 to 12/31/2008(4)		12.31		.29		(1.47	)		(1.18	)		(.37	)		10.76		(9.62	)		99		.18			.17			2.69
Class 529-A:	Six months ended 6/30/2012(4)(5)		12.55		.16		.25			.41			(.17	)		12.79		3.28			1,068		.69	(6)		.69	(6)		2.47	(6)
	Year ended 12/31/2011		12.19		.39		.38			.77			(.41	)		12.55		6.42			981		.68			.68			3.13
	Year ended 12/31/2010		11.80		.44		.41			.85			(.46	)		12.19		7.24			898		.65			.65			3.53
	Year ended 12/31/2009		10.76		.53		1.03			1.56			(.52	)		11.80		14.86			758		.70			.70			4.67
	Year ended 12/31/2008		13.06		.69		(2.25	)		(1.56	)		(.74	)		10.76		(12.28	)		547		.69			.67			5.74
	Year ended 12/31/2007		13.32		.68		(.25	)		.43			(.69	)		13.06		3.31			532		.69			.67			5.17
Class 529-B:	Six months ended 6/30/2012(4)(5)		12.55		.11		.25			.36			(.12	)		12.79		2.85			47		1.49	(6)		1.49	(6)		1.68	(6)
	Year ended 12/31/2011		12.19		.29		.38			.67			(.31	)		12.55		5.58			54		1.47			1.47			2.36
	Year ended 12/31/2010		11.80		.34		.41			.75			(.36	)		12.19		6.39			73		1.45			1.45			2.76
	Year ended 12/31/2009		10.76		.44		1.03			1.47			(.43	)		11.80		13.94			86		1.50			1.50			3.89
	Year ended 12/31/2008		13.06		.60		(2.25	)		(1.65	)		(.65	)		10.76		(12.98	)		71		1.51			1.48			4.92
	Year ended 12/31/2007		13.32		.58		(.25	)		.33			(.59	)		13.06		2.49			77		1.50			1.47			4.36
Class 529-C:	Six months ended 6/30/2012(4)(5)		12.55		.11		.25			.36			(.12	)		12.79		2.86			480		1.47	(6)		1.47	(6)		1.69	(6)
	Year ended 12/31/2011		12.19		.29		.38			.67			(.31	)		12.55		5.59			444		1.46			1.46			2.35
	Year ended 12/31/2010		11.80		.34		.41			.75			(.36	)		12.19		6.40			428		1.44			1.44			2.74
	Year ended 12/31/2009		10.76		.44		1.03			1.47			(.43	)		11.80		13.95			370		1.49			1.49			3.87
	Year ended 12/31/2008		13.06		.60		(2.25	)		(1.65	)		(.65	)		10.76		(12.97	)		258		1.50			1.47			4.94
	Year ended 12/31/2007		13.32		.58		(.25	)		.33			(.59	)		13.06		2.50			247		1.49			1.46			4.37
Class 529-E:	Six months ended 6/30/2012(4)(5)	$	12.55	$	.14	$	.25		$	.39		$	(.15	)	$	12.79		3.15	%	$	59		.94	%(6)		.94	%(6)		2.23	%(6)
	Year ended 12/31/2011		12.19		.36		.38			.74			(.38	)		12.55		6.14			54		.94			.94			2.87
	Year ended 12/31/2010		11.80		.40		.41			.81			(.42	)		12.19		6.93			49		.93			.93			3.24
	Year ended 12/31/2009		10.76		.49		1.03			1.52			(.48	)		11.80		14.52			40		.99			.99			4.38
	Year ended 12/31/2008		13.06		.66		(2.25	)		(1.59	)		(.71	)		10.76		(12.53	)		29		.99			.96			5.45
	Year ended 12/31/2007		13.32		.65		(.25	)		.40			(.66	)		13.06		3.02			28		.98			.96			4.88
Class 529-F-1:	Six months ended 6/30/2012(4)(5)		12.55		.17		.25			.42			(.18	)		12.79		3.40			69		.47	(6)		.47	(6)		2.69	(6)
	Year ended 12/31/2011		12.19		.42		.38			.80			(.44	)		12.55		6.65			59		.46			.46			3.36
	Year ended 12/31/2010		11.80		.46		.41			.87			(.48	)		12.19		7.47			54		.44			.44			3.74
	Year ended 12/31/2009		10.76		.55		1.03			1.58			(.54	)		11.80		15.09			44		.49			.49			4.84
	Year ended 12/31/2008		13.06		.72		(2.25	)		(1.53	)		(.77	)		10.76		(12.10	)		26		.49			.46			5.96
	Year ended 12/31/2007		13.32		.71		(.25	)		.46			(.72	)		13.06		3.53			22		.48			.46			5.38
Class R-1:	Six months ended 6/30/2012(4)(5)		12.55		.12		.25			.37			(.13	)		12.79		2.92			91		1.37	(6)		1.37	(6)		1.80	(6)
	Year ended 12/31/2011		12.19		.30		.38			.68			(.32	)		12.55		5.68			91		1.38			1.38			2.45
	Year ended 12/31/2010		11.80		.35		.41			.76			(.37	)		12.19		6.47			99		1.38			1.38			2.82
	Year ended 12/31/2009		10.76		.44		1.03			1.47			(.43	)		11.80		14.02			103		1.43			1.43			3.96
	Year ended 12/31/2008		13.06		.60		(2.25	)		(1.65	)		(.65	)		10.76		(12.92	)		88		1.44			1.42			5.01
	Year ended 12/31/2007		13.32		.58		(.25	)		.33			(.59	)		13.06		2.54			71		1.44			1.42			4.44
Class R-2:	Six months ended 6/30/2012(4)(5)		12.55		.12		.25			.37			(.13	)		12.79		2.92			798		1.37	(6)		1.37	(6)		1.80	(6)
	Year ended 12/31/2011		12.19		.30		.38			.68			(.32	)		12.55		5.67			806		1.39			1.39			2.43
	Year ended 12/31/2010		11.80		.34		.41			.75			(.36	)		12.19		6.44			832		1.39			1.39			2.79
	Year ended 12/31/2009		10.76		.44		1.03			1.47			(.43	)		11.80		13.95			795		1.49			1.49			3.89
	Year ended 12/31/2008		13.06		.59		(2.25	)		(1.66	)		(.64	)		10.76		(12.99	)		616		1.53			1.50			4.90
	Year ended 12/31/2007		13.32		.59		(.25	)		.34			(.60	)		13.06		2.56			648		1.51			1.40			4.44
Class R-3:	Six months ended 6/30/2012(4)(5)		12.55		.14		.25			.39			(.15	)		12.79		3.15			975		.93	(6)		.93	(6)		2.24	(6)
	Year ended 12/31/2011		12.19		.36		.38			.74			(.38	)		12.55		6.15			963		.94			.94			2.89
	Year ended 12/31/2010		11.80		.40		.41			.81			(.42	)		12.19		6.94			1,053		.93			.93			3.26
	Year ended 12/31/2009		10.76		.50		1.03			1.53			(.49	)		11.80		14.54			1,091		.97			.97			4.43
	Year ended 12/31/2008		13.06		.66		(2.25	)		(1.59	)		(.71	)		10.76		(12.52	)		939		.98			.95			5.45
	Year ended 12/31/2007		13.32		.65		(.25	)		.40			(.66	)		13.06		3.02			949		.98			.95			4.89
Class R-4:	Six months ended 6/30/2012(4)(5)		12.55		.17		.25			.42			(.18	)		12.79		3.33			672		.60	(6)		.60	(6)		2.57	(6)
	Year ended 12/31/2011		12.19		.40		.38			.78			(.42	)		12.55		6.48			669		.62			.62			3.21
	Year ended 12/31/2010		11.80		.44		.41			.85			(.46	)		12.19		7.27			768		.62			.62			3.57
	Year ended 12/31/2009		10.76		.53		1.03			1.56			(.52	)		11.80		14.90			788		.66			.66			4.75
	Year ended 12/31/2008		13.06		.70		(2.25	)		(1.55	)		(.75	)		10.76		(12.25	)		707		.67			.64			5.77
	Year ended 12/31/2007		13.32		.69		(.25	)		.44			(.70	)		13.06		3.35			692		.66			.64			5.22
Class R-5:	Six months ended 6/30/2012(4)(5)		12.55		.18		.25			.43			(.19	)		12.79		3.48			299		.31	(6)		.31	(6)		2.86	(6)
	Year ended 12/31/2011		12.19		.43		.38			.81			(.45	)		12.55		6.80			310		.32			.32			3.51
	Year ended 12/31/2010		11.80		.48		.41			.89			(.50	)		12.19		7.59			370		.32			.32			3.88
	Year ended 12/31/2009		10.76		.56		1.03			1.59			(.55	)		11.80		15.24			451		.37			.37			5.20
	Year ended 12/31/2008		13.06		.73		(2.25	)		(1.52	)		(.78	)		10.76		(12.00	)		667		.37			.34			6.06
	Year ended 12/31/2007		13.32		.73		(.25	)		.48			(.74	)		13.06		3.65			635		.36			.34			5.50
Class R-6:	Six months ended 6/30/2012(4)(5)		12.55		.19		.25			.44			(.20	)		12.79		3.51			286		.26	(6)		.26	(6)		2.90	(6)
	Year ended 12/31/2011		12.19		.44		.38			.82			(.46	)		12.55		6.85			237		.27			.27			3.55
	Year ended 12/31/2010		11.80		.48		.41			.89			(.50	)		12.19		7.64			280		.27			.27			3.90
	Period from 5/1/2009 to 12/31/2009(4)		10.78		.35		1.01			1.36			(.34	)		11.80		12.75			252		.31	(6)		.31	(6)		4.59	(6)

	Six months ended June 30,			Year ended December 31
	2012(4)(5)			2011			2010			2009			2008			2007
Portfolio turnover rate for all share classes		130	%		154	%		99	%		84	%		57	%		58	%

(1)Based on average shares outstanding.

(2)Total returns exclude any applicable sales charges, including contingent deferred sales charges.

(3)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. 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.

(4)Based on operations for the period shown and, accordingly, is not representative of a full year.

(5)Unaudited.

(6)Annualized.

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 six-month period (January 1, 2012, through June 30, 2012).

Actual expenses:

The first line of each share class in the table on page 38 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 page 38 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-1, F-2 and 529-F-1 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 on the previous page. In addition, your ending account value would be lower by the amount of these fees.

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 1/1/2012		Ending account value 6/30/2012		Expenses paid during period*		Annualized expense ratio
Class A -- actual return	$	1,000.00	$	1,033.22	$	3.08		.61	%
Class A -- assumed 5% return		1,000.00		1,021.83		3.07		.61
Class B -- actual return		1,000.00		1,029.23		6.86		1.36
Class B -- assumed 5% return		1,000.00		1,018.10		6.82		1.36
Class C -- actual return		1,000.00		1,028.97		7.06		1.40
Class C -- assumed 5% return		1,000.00		1,017.90		7.02		1.40
Class F-1 -- actual return		1,000.00		1,033.16		3.13		.62
Class F-1 -- assumed 5% return		1,000.00		1,021.78		3.12		.62
Class F-2 -- actual return		1,000.00		1,034.63		1.77		.35
Class F-2 -- assumed 5% return		1,000.00		1,023.12		1.76		.35
Class 529-A -- actual return		1,000.00		1,032.79		3.49		.69
Class 529-A -- assumed 5% return		1,000.00		1,021.43		3.47		.69
Class 529-B -- actual return		1,000.00		1,028.54		7.52		1.49
Class 529-B -- assumed 5% return		1,000.00		1,017.45		7.47		1.49
Class 529-C -- actual return		1,000.00		1,028.63		7.41		1.47
Class 529-C -- assumed 5% return		1,000.00		1,017.55		7.37		1.47
Class 529-E -- actual return		1,000.00		1,031.49		4.75		.94
Class 529-E -- assumed 5% return		1,000.00		1,020.19		4.72		.94
Class 529-F-1 -- actual return		1,000.00		1,033.99		2.38		.47
Class 529-F-1 -- assumed 5% return		1,000.00		1,022.53		2.36		.47
Class R-1 -- actual return		1,000.00		1,029.20		6.91		1.37
Class R-1 -- assumed 5% return		1,000.00		1,018.05		6.87		1.37
Class R-2 -- actual return		1,000.00		1,029.19		6.91		1.37
Class R-2 -- assumed 5% return		1,000.00		1,018.05		6.87		1.37
Class R-3 -- actual return		1,000.00		1,031.51		4.70		.93
Class R-3 -- assumed 5% return		1,000.00		1,020.24		4.67		.93
Class R-4 -- actual return		1,000.00		1,033.26		3.03		.60
Class R-4 -- assumed 5% return		1,000.00		1,021.88		3.02		.60
Class R-5 -- actual return		1,000.00		1,034.81		1.57		.31
Class R-5 -- assumed 5% return		1,000.00		1,023.32		1.56		.31
Class R-6 -- actual return		1,000.00		1,035.08		1.32		.26
Class R-6 -- assumed 5% return		1,000.00		1,023.57		1.31		.26
*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, and divided by 366(to reflect the one-half year period).

Approval of Investment Advisory and Service Agreement

The fund’s board has approved the fund’s Investment Advisory and Service Agreement (the “agreement”) with Capital Research and Management Company (“CRMC”) for an additional one-year term through March 31, 2013. The board approved the agreement following the recommendation of the fund’s Contracts Committee (the “committee”), which is composed of all of the fund’s independent board members. The board and the committee determined that the fund’s advisory fee structure was fair and reasonable in relation to the services provided and that approving the agreement was in the best interests of the fund and its shareholders.

In reaching this decision, the board and the committee took into account information furnished to them throughout the year, as well as information prepared specifically in connection with their review of the agreement and were advised by their independent counsel. They considered the factors discussed below, among others, but did not identify any single issue or particular piece of information that, in isolation, was the controlling factor.

1. Nature, extent and quality of services

The board and the committee considered the depth and quality of CRMC’s investment management process, including its global research capabilities; the experience, capability and integrity of its senior management and other personnel; the low turnover rates of its key personnel; the overall financial strength and stability of its organization; and the ongoing evolution of CRMC’s organizational structure designed to maintain and strengthen these qualities. The board and the committee also considered the nature, extent and quality of administrative, compliance and shareholder services provided by CRMC to the fund under the agreement and other agreements as well as the benefits to fund shareholders from investing in a fund that is part of a large family of funds. The board and the committee concluded that the nature, extent and quality of the services provided by CRMC have benefited and should continue to benefit the fund and its shareholders.

2. Investment results

The board and the committee considered the investment results of the fund in light of its objective of providing as high a level of current income as is consistent with the preservation of capital. They compared the fund’s total returns with those of other relevant funds (including the other funds that are the basis of the Lipper index for the category in which the fund is included) and market data such as relevant market indices, in each case as available at the time of the related board and committee meetings.

This report, including the letter to shareholders and related disclosures, contains certain information about the fund’s investment results. The board and the committee concluded that the fund’s long-term results have been satisfactory and that CRMC’s record in managing the fund indicated that its continued management should benefit the fund and its shareholders.

3. Advisory fees and total expenses

The board and the committee compared the advisory fees and total expense levels of the fund to those of other relevant funds. They observed that the fund’s advisory fees and expenses remain significantly below those of most other relevant funds. The board and the committee also noted the breakpoint discounts in the fund’s advisory fee structure that reduce the level of fees charged by CRMC to the fund as fund assets increase. In addition, they reviewed information regarding the advisory fees paid by clients of an affiliate of CRMC. They noted that, to the extent there were differences between the advisory fees paid by the fund and the advisory fees paid by those clients, the differences appropriately reflected the investment, operational and regulatory differences between advising the fund and the other clients. The board and the committee concluded that the fund’s cost structure was fair and reasonable in relation to the services provided, and that the shareholders receive reasonable value in return for the advisory fees and other amounts paid to CRMC by the fund.

4. Ancillary benefits

The board and the committee considered a variety of other benefits received by CRMC and its affiliates as a result of CRMC’s relationship with the fund and the other American Funds, including fees for administrative services provided to certain share classes; fees paid to CRMC’s affiliated transfer agent; sales charges and distribution fees received and retained by the fund’s principal underwriter, an affiliate of CRMC; and possible ancillary benefits to CRMC’s institutional management affiliates. The board and the committee reviewed CRMC’s portfolio trading practices, noting that while CRMC receives the benefit of research provided by broker-dealers executing portfolio transactions on behalf of the fund, it does not obtain third-party research or other services in return for allocating brokerage to such broker-dealers. The board and the committee took these ancillary benefits into account in evaluating the reasonableness of the advisory fees and other amounts paid to CRMC by the fund.

5. Adviser financial information

The board and the committee reviewed information regarding CRMC’s costs of providing services to the American Funds, including personnel, systems and resources of investment, compliance, trading, accounting and other administrative operations. They considered CRMC’s costs and willingness to invest in technology, infrastructure and staff to maintain and expand services and capabilities, respond to industry and regulatory developments and attract and retain qualified personnel. They noted information regarding the compensation structure for CRMC’s investment professionals. The board and the committee also compared CRMC’s profitability to the reported results of several large, publicly held investment management companies. The board and the committee noted the competitiveness and cyclicality of both the mutual fund industry and the capital markets, and the importance in that environment of CRMC’s long-term profitability for maintaining its independence, company culture and management continuity. They further considered the breakpoint discounts in the fund’s advisory fee structure. The board and the committee concluded that the fund’s advisory fee structure reflected a reasonable sharing of benefits between CRMC and the fund’s shareholders.

Other share class results

unaudited

Classes B, C, F and 529

Fund results shown are for past periods and are not predictive of results for 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, 2012:
							10 years/
	1 year			5 years			Life of class1
Class B shares2
Reflecting applicable contingent deferred sales charge
(CDSC), maximum of 5%, payable only if shares
are sold within six years of purchase		1.29	%		2.85	%		4.63	%
Not reflecting CDSC		6.29			3.20			4.63
Class C shares
Reflecting CDSC, maximum of 1%, payable only
if shares are sold within one year of purchase		5.24			3.15			4.41
Not reflecting CDSC		6.24			3.15			4.41
Class F-1 shares3
Not reflecting annual asset-based fee charged
by sponsoring firm		7.07			3.96			5.23
Class F-2 shares3 — first sold 8/4/08
Not reflecting annual asset-based fee charged
by sponsoring firm		7.36			—			5.59
Class 529-A shares4
Reflecting 3.75% maximum sales charge		2.98			3.13			4.80
Not reflecting maximum sales charge		7.00			3.91			5.20
Class 529-B shares2,4
Reflecting applicable CDSC, maximum of 5%, payable
only if shares are sold within six years of purchase		1.15			2.73			4.49
Not reflecting CDSC		6.15			3.08			4.49
Class 529-C shares4
Reflecting CDSC, maximum of 1%, payable only
if shares are sold within one year of purchase		5.16			3.09			4.34
Not reflecting CDSC		6.16			3.09			4.34
Class 529-E shares3,4		6.73			3.62			4.87
Class 529-F-1 shares3,4 — first sold 9/26/02
Not reflecting annual asset-based fee charged
by sponsoring firm		7.23			4.13			5.36

1Applicable to Class F-2 and 529-F-1 shares only. All other share classes reflect 10-year results.

2These shares are not available for purchase.

3These shares are sold without any initial or contingent deferred sales charge.

4Results shown do not reflect the $10 account setup fee and an annual $10 account maintenance fee.

Investment results assume all distributions are reinvested and reflect applicable fees and expenses. When applicable, investment results reflect fee waivers, without which results would have been lower. Visit americanfunds.com for more information.

For information regarding the differences among the various share classes, refer to the fund prospectus.

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Offices of the fund and of the investment adviser

Capital Research and Management Company

333 South Hope Street

Los Angeles, CA 90071-1406

6455 Irvine Center Drive

Irvine, CA 92618

Transfer agent for shareholder accounts

American Funds Service Company

(Write to the address near you.)

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

Bingham McCutchen LLP

355 South Grand Avenue, Suite 4400

Los Angeles, CA 90071-3106

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 investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at 800/421-4225 or visit the American Funds website at americanfunds.com.

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

A complete June 30, 2012, 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. Additional information regarding the operation of the Public Reference Room may be obtained by calling the SEC’s Office of Investor Education and Advocacy at 800/SEC-0330. Additionally, the list of portfolio holdings 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 or summary prospectus, which gives details about charges, expenses, investment objectives and operating policies of the fund. If used as sales material after September 30, 2012, this report must be accompanied by an American Funds statistical update for the most recently completed calendar quarter.

   

The American Funds difference

Since 1931, American Funds has helped investors pursue long-term investment success. Our consistent approach — in combination with a proven system — has resulted in a superior long-term track record.

Consistent approach

We base our decisions on a long-term perspective because we believe it is the best way to achieve superior long-term investment results. Our portfolio counselors average 25 years of investment experience, including 21 years at our company, reflecting a career commitment to our long-term approach.1

Proven system

Our system combines individual accountability with teamwork. Each fund is divided into portions that are managed by investment professionals with varied backgrounds, ages and investment styles. An extensive global research effort is the backbone of our system.

Superior long-term track record

Our equity funds have beaten their Lipper peer indexes in 91% of 10-year periods and 96% of 20-year periods. Our fixed-income funds have beaten their Lipper indexes in 60% of 10-year periods and 67% of 20-year periods.2 Our fund management fees have been among the lowest in the industry.3

1As of 12/31/11.

2Based on Class A share results for periods through 12/31/11. Periods covered are the shorter of the fund’s lifetime or since the comparable Lipper index inception date.

3Based on management fees for the 20-year period ended 12/31/11 versus comparable Lipper categories, excluding funds of funds.

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 Fund®

SMALLCAP World Fund®

•Growth-and-income funds

American Mutual Fund®

Capital World Growth and Income Fund®

Fundamental InvestorsSM

International Growth and Income FundSM

The Investment Company of America®

Washington Mutual Investors FundSM

•Equity-income funds

Capital Income Builder®

The Income Fund of America®

•Balanced funds

American Balanced Fund®

American Funds Global Balanced FundSM

•Bond funds

American Funds Mortgage Fund®

American High-Income Trust®

The Bond Fund of America®

Capital World Bond Fund®

Intermediate Bond Fund of America®

Short-Term Bond Fund of America®

U.S. Government Securities Fund®

•Tax-exempt bond funds

American Funds Short-Term Tax-Exempt Bond Fund®

American High-Income Municipal Bond Fund®

Limited Term Tax-Exempt Bond Fund of America®

The Tax-Exempt Bond Fund of America®

State-specific tax-exempt funds

American Funds Tax-Exempt Fund of New York®

The Tax-Exempt Fund of California®

The Tax-Exempt Fund of Maryland®

The Tax-Exempt Fund of Virginia®

•Money market fund

American Funds Money Market Fund®

•American Funds Portfolio SeriesSM

American Funds Global Growth PortfolioSM

American Funds Growth PortfolioSM

American Funds Growth and Income PortfolioSM

American Funds Balanced PortfolioSM

American Funds Income PortfolioSM

American Funds Tax-Advantaged Income PortfolioSM

American Funds Preservation PortfolioSM

American Funds Tax-Exempt Preservation PortfolioSM

•American Funds Target Date Retirement Series®

The Capital Group Companies

American FundsCapital Research and ManagementCapital InternationalCapital GuardianCapital Bank and Trust

Lit. No. MFGESR-908-0812P

Litho in USA BG/RRD/6370-S33504

Printed on paper containing 10% post-consumer waste

Printed with inks containing soy and/or vegetable oil

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

Bond Fund of AmericaSM

Investment portfolio

June 30, 2012

unaudited

Bonds & notes — 94.79%	Principal amount (000)			Value (000)
MORTGAGE-BACKED OBLIGATIONS — 36.43%
FEDERAL AGENCY MORTGAGE-BACKED OBLIGATIONS1 — 32.73%
Fannie Mae, Series 2003-T1, Class B, 4.491% 2012	$	46,225		$	46,736
Fannie Mae 3.308% 20172		4,077			4,404
Fannie Mae, Series 2002-15, Class PG, 6.00% 2017		2,316			2,487
Fannie Mae 4.00% 2019		11,436			12,212
Fannie Mae 5.50% 2019		68			74
Fannie Mae 5.50% 2020		6,072			6,592
Fannie Mae 5.50% 2020		768			837
Fannie Mae 11.134% 20202		64			72
Fannie Mae, Series 2012-M5, Class A1, multifamily 1.787% 2022		3,733			3,809
Fannie Mae, Series 2012-M2, Class A2, multifamily 2.717% 2022		8,400			8,703
Fannie Mae, Series 2012-M3, Class 1-A2, multifamily 3.044% 2022		3,500			3,719
Fannie Mae, Series 2003-48, Class TJ, 4.50% 2022		3,434			3,501
Fannie Mae 5.00% 2023		3,553			3,845
Fannie Mae 5.50% 2023		20,354			22,179
Fannie Mae 5.50% 2023		19,381			21,126
Fannie Mae 6.00% 2023		2,160			2,376
Fannie Mae 4.50% 2024		14,595			15,661
Fannie Mae 6.00% 2024		5,347			6,019
Fannie Mae 3.50% 2025		25,343			26,814
Fannie Mae 3.50% 2025		19,632			20,772
Fannie Mae 3.50% 2025		14,106			14,924
Fannie Mae 3.50% 2025		11,218			11,869
Fannie Mae 3.50% 2025		9,633			10,192
Fannie Mae 3.50% 2025		6,263			6,626
Fannie Mae 4.50% 2025		18,793			20,166
Fannie Mae 4.50% 2025		10,353			11,110
Fannie Mae 4.50% 2025		10,261			11,010
Fannie Mae, Series 2001-4, Class GA, 9.719% 20252		209			243
Fannie Mae, Series 2001-4, Class NA, 11.379% 20252		515			575
Fannie Mae 2.575% 20262		351			368
Fannie Mae 3.50% 2026		90,842			96,116
Fannie Mae 3.50% 2026		10,528			11,140
Fannie Mae 3.50% 2026		9,699			10,262
Fannie Mae 4.00% 2026		15,501			16,509
Fannie Mae 6.00% 2026		13,469			15,179
Fannie Mae 3.00% 2027		843,131			883,707
Fannie Mae 3.00% 2027		57,826			60,885
Fannie Mae 3.50% 2027		309,796			327,416
Fannie Mae 5.50% 2027		6,746			7,367
Fannie Mae 6.00% 2028		3,497			3,854
Fannie Mae 6.00% 2028		2,216			2,436
Fannie Mae, Series 1998-W5, Class B3, 6.50% 2028		1,374			1,096
Fannie Mae, Series 2002-W7, Class A-5, 7.50% 2029		423			510
Fannie Mae, Series 2001-25, Class ZA, 6.50% 2031		2,799			3,141
Fannie Mae, Series 2001-20, Class E, 9.597% 20312		38			43
Fannie Mae 6.50% 2032		130			143
Fannie Mae 4.50% 2034		64,443			69,387
Fannie Mae 6.50% 2034		834			940
Fannie Mae 5.00% 2035		70,356			76,536
Fannie Mae 5.00% 2035		63,376			69,140
Fannie Mae, Series 2005-68, Class PG, 5.50% 2035		3,514			3,959
Fannie Mae, Series 2006-51, Class PO, principal only, 0% 2036		5,401			5,204
Fannie Mae, Series 2006-32, Class OA, principal only, 0% 2036		5,038			4,872
Fannie Mae, Series 2006-96, Class OP, principal only, 0% 2036		1,113			1,061
Fannie Mae 5.00% 2036		39,462			42,830
Fannie Mae 5.00% 2036		13,632			14,795
Fannie Mae, Series 2006-101, Class PC, 5.50% 2036		3,781			4,188
Fannie Mae 5.50% 2036		1,570			1,723
Fannie Mae, Series 2006-106, Class HG, 6.00% 2036		12,446			14,020
Fannie Mae, Series 2006-43, Class PX, 6.00% 2036		10,286			11,422
Fannie Mae 6.00% 2036		9,523			10,497
Fannie Mae 6.00% 2036		4,873			5,375
Fannie Mae 6.00% 2036		4,066			4,481
Fannie Mae 6.00% 2036		2,861			3,160
Fannie Mae 6.50% 2036		9,185			10,329
Fannie Mae 6.50% 2036		5,165			5,832
Fannie Mae 7.00% 2036		866			987
Fannie Mae 7.00% 2036		699			796
Fannie Mae 7.50% 2036		359			409
Fannie Mae 7.50% 2036		112			128
Fannie Mae 8.00% 2036		549			628
Fannie Mae 3.984% 20372		4,014			4,184
Fannie Mae 4.996% 20372		5,961			6,325
Fannie Mae 5.00% 2037		3,383			3,680
Fannie Mae 5.387% 20372		3,626			3,839
Fannie Mae 5.403% 20372		7,522			8,001
Fannie Mae 5.50% 2037		43,265			47,274
Fannie Mae, Series 2007-40, Class PT, 5.50% 2037		17,677			19,628
Fannie Mae 5.50% 2037		11,890			12,977
Fannie Mae 6.00% 2037		47,268			51,925
Fannie Mae 6.00% 2037		44,564			49,117
Fannie Mae 6.00% 2037		27,406			30,206
Fannie Mae 6.00% 2037		13,029			14,360
Fannie Mae 6.00% 2037		12,501			13,778
Fannie Mae 6.00% 2037		7,794			8,561
Fannie Mae 6.00% 2037		7,482			8,247
Fannie Mae 6.00% 2037		5,893			6,495
Fannie Mae 6.00% 2037		5,381			5,864
Fannie Mae 6.00% 2037		4,796			5,286
Fannie Mae 6.00% 2037		3,948			4,342
Fannie Mae 6.00% 2037		2,446			2,666
Fannie Mae 6.00% 2037		1,363			1,504
Fannie Mae 6.00% 2037		1,023			1,127
Fannie Mae 6.00% 2037		1,007			1,110
Fannie Mae 6.50% 2037		10,412			11,699
Fannie Mae 6.50% 2037		8,257			9,278
Fannie Mae 6.50% 2037		6,908			7,716
Fannie Mae 6.50% 2037		5,835			6,556
Fannie Mae 6.50% 2037		1,288			1,446
Fannie Mae 7.00% 2037		3,115			3,492
Fannie Mae 7.00% 2037		2,718			3,047
Fannie Mae 7.00% 2037		1,017			1,159
Fannie Mae 7.00% 2037		515			586
Fannie Mae 7.00% 2037		248			282
Fannie Mae 7.00% 2037		219			249
Fannie Mae 7.50% 2037		709			807
Fannie Mae 7.50% 2037		584			665
Fannie Mae 7.50% 2037		566			645
Fannie Mae 7.50% 2037		550			626
Fannie Mae 7.50% 2037		485			552
Fannie Mae 7.50% 2037		471			536
Fannie Mae 7.50% 2037		468			534
Fannie Mae 7.50% 2037		457			520
Fannie Mae 7.50% 2037		426			485
Fannie Mae 7.50% 2037		408			465
Fannie Mae 7.50% 2037		234			267
Fannie Mae 7.50% 2037		191			219
Fannie Mae 7.50% 2037		128			150
Fannie Mae 7.50% 2037		108			123
Fannie Mae 7.50% 2037		91			104
Fannie Mae 7.50% 2037		68			77
Fannie Mae 7.50% 2037		26			30
Fannie Mae 8.00% 2037		339			393
Fannie Mae 8.00% 2037		178			204
Fannie Mae 8.00% 2037		101			115
Fannie Mae 5.00% 2038		32,485			35,339
Fannie Mae 5.00% 2038		22,990			25,010
Fannie Mae 5.345% 20382		3,104			3,331
Fannie Mae 5.415% 20382		844			911
Fannie Mae 5.428% 20382		7,678			8,240
Fannie Mae 5.50% 2038		22,009			24,020
Fannie Mae 5.50% 2038		158			173
Fannie Mae 6.00% 2038		158,140			174,375
Fannie Mae 6.00% 2038		134,647			148,402
Fannie Mae 6.00% 2038		114,338			126,018
Fannie Mae 6.00% 2038		87,356			96,280
Fannie Mae 6.00% 2038		46,073			51,341
Fannie Mae 6.00% 2038		28,998			32,051
Fannie Mae 6.00% 2038		12,309			13,522
Fannie Mae 6.00% 2038		10,098			11,077
Fannie Mae 6.00% 2038		9,126			10,025
Fannie Mae 6.00% 2038		7,512			8,279
Fannie Mae 6.00% 2038		6,889			7,593
Fannie Mae 6.00% 2038		5,618			6,180
Fannie Mae 6.00% 2038		5,033			5,547
Fannie Mae 6.00% 2038		4,928			5,411
Fannie Mae 6.00% 2038		4,629			5,081
Fannie Mae 6.50% 2038		94,939			107,204
Fannie Mae 6.50% 2038		10,647			12,023
Fannie Mae 3.521% 20392		5,378			5,611
Fannie Mae 3.568% 20392		4,084			4,255
Fannie Mae 3.604% 20392		14,051			14,779
Fannie Mae 3.70% 20392		704			741
Fannie Mae 3.77% 20392		3,433			3,595
Fannie Mae 3.816% 20392		1,450			1,516
Fannie Mae 3.833% 20392		4,827			5,033
Fannie Mae 3.887% 20392		1,655			1,739
Fannie Mae 3.908% 20392		2,087			2,192
Fannie Mae 3.942% 20392		1,536			1,609
Fannie Mae 3.951% 20392		8,255			8,642
Fannie Mae 4.50% 2039		39,110			41,988
Fannie Mae 5.00% 2039		27,909			30,806
Fannie Mae 5.50% 2039		22,652			24,723
Fannie Mae 5.50% 2039		3,334			3,639
Fannie Mae 6.00% 2039		65,157			71,813
Fannie Mae 6.00% 2039		44,517			49,065
Fannie Mae 6.00% 2039		7,728			8,489
Fannie Mae 6.00% 2039		7,351			8,102
Fannie Mae 6.00% 2039		4,704			5,184
Fannie Mae 6.00% 2039		3,842			4,226
Fannie Mae 6.00% 2039		3,688			4,044
Fannie Mae 6.00% 2039		395			434
Fannie Mae 3.205% 20402		37,416			39,253
Fannie Mae 3.605% 20402		6,565			6,871
Fannie Mae 4.00% 2040		53,669			57,244
Fannie Mae 4.00% 2040		20,240			21,854
Fannie Mae 4.00% 2040		12,957			13,820
Fannie Mae 4.50% 2040		80,622			86,808
Fannie Mae 4.50% 2040		8,542			9,197
Fannie Mae 4.50% 2040		7,493			8,067
Fannie Mae 4.50% 2040		5,925			6,360
Fannie Mae 4.50% 2040		4,348			4,681
Fannie Mae 4.50% 2040		1,752			1,929
Fannie Mae 4.50% 2040		479			528
Fannie Mae 4.50% 2040		473			521
Fannie Mae 4.50% 2040		156			172
Fannie Mae 4.50% 2040		107			118
Fannie Mae 5.00% 2040		39,146			42,585
Fannie Mae 5.00% 2040		17,717			19,273
Fannie Mae 5.00% 2040		13,076			14,519
Fannie Mae 5.00% 2040		3,377			3,732
Fannie Mae 5.00% 2040		3,414			3,714
Fannie Mae 5.00% 2040		2,572			2,797
Fannie Mae 5.50% 2040		37,230			40,543
Fannie Mae 5.50% 2040		15,520			17,094
Fannie Mae 5.50% 2040		2,097			2,310
Fannie Mae 6.00% 2040		45,877			50,563
Fannie Mae 6.00% 2040		12,783			14,023
Fannie Mae 6.00% 2040		12,219			13,441
Fannie Mae 2.894% 20412		3,910			4,089
Fannie Mae 3.753% 20412		8,307			8,782
Fannie Mae 4.00% 2041		170,029			181,355
Fannie Mae 4.00% 2041		162,866			175,852
Fannie Mae 4.00% 2041		94,813			102,373
Fannie Mae 4.00% 2041		34,960			37,289
Fannie Mae 4.00% 2041		26,053			28,228
Fannie Mae 4.00% 2041		20,846			22,242
Fannie Mae 4.00% 2041		19,932			21,596
Fannie Mae 4.00% 2041		17,739			18,921
Fannie Mae 4.00% 2041		17,233			18,386
Fannie Mae 4.00% 2041		17,061			18,197
Fannie Mae 4.00% 2041		13,420			14,490
Fannie Mae 4.00% 2041		13,119			13,993
Fannie Mae 4.00% 2041		11,015			11,894
Fannie Mae 4.00% 2041		9,517			10,154
Fannie Mae 4.00% 2041		8,479			9,043
Fannie Mae 4.00% 2041		7,321			7,809
Fannie Mae 4.00% 2041		7,182			7,755
Fannie Mae 4.00% 2041		6,566			6,988
Fannie Mae 4.00% 2041		948			1,012
Fannie Mae 4.00% 2041		453			484
Fannie Mae 4.50% 2041		76,788			82,823
Fannie Mae 4.50% 2041		59,104			63,750
Fannie Mae 4.50% 2041		38,818			42,948
Fannie Mae 4.50% 2041		37,483			41,471
Fannie Mae 4.50% 2041		38,106			41,029
Fannie Mae 4.50% 2041		32,773			36,086
Fannie Mae 4.50% 2041		29,956			32,311
Fannie Mae 4.50% 2041		28,793			31,057
Fannie Mae 4.50% 2041		25,823			27,853
Fannie Mae 4.50% 2041		25,182			27,728
Fannie Mae 4.50% 2041		10,974			12,142
Fannie Mae 4.50% 2041		10,457			11,514
Fannie Mae 4.50% 2041		10,345			11,446
Fannie Mae 4.50% 2041		9,635			10,703
Fannie Mae 4.50% 2041		7,762			8,373
Fannie Mae 4.50% 2041		7,348			7,886
Fannie Mae 4.50% 2041		4,103			4,571
Fannie Mae 4.50% 2041		2,646			2,913
Fannie Mae 4.50% 2041		1,908			2,101
Fannie Mae 4.50% 2041		1,904			2,054
Fannie Mae 4.50% 2041		1,419			1,563
Fannie Mae 4.50% 2041		1,254			1,388
Fannie Mae 4.50% 2041		380			418
Fannie Mae 4.50% 2041		254			279
Fannie Mae 5.00% 2041		92,447			102,649
Fannie Mae 5.00% 2041		46,077			50,793
Fannie Mae 5.00% 2041		37,166			41,267
Fannie Mae 5.00% 2041		34,462			38,265
Fannie Mae 5.00% 2041		25,918			28,778
Fannie Mae 5.00% 2041		23,200			25,760
Fannie Mae 5.00% 2041		22,412			24,885
Fannie Mae 5.00% 2041		18,818			20,953
Fannie Mae 5.00% 2041		18,010			19,998
Fannie Mae 5.00% 2041		17,842			19,867
Fannie Mae 5.00% 2041		15,434			17,137
Fannie Mae 5.00% 2041		14,824			16,506
Fannie Mae 5.00% 2041		14,194			15,805
Fannie Mae 5.00% 2041		13,339			14,852
Fannie Mae 5.00% 2041		12,928			14,395
Fannie Mae 5.00% 2041		12,673			14,071
Fannie Mae 5.00% 2041		11,515			12,786
Fannie Mae 5.00% 2041		11,342			12,594
Fannie Mae 5.00% 2041		11,030			12,248
Fannie Mae 5.00% 2041		9,908			11,125
Fannie Mae 5.00% 2041		9,606			10,666
Fannie Mae 5.00% 2041		9,238			10,258
Fannie Mae 5.00% 2041		8,860			9,879
Fannie Mae 5.00% 2041		7,939			8,815
Fannie Mae 5.00% 2041		7,991			8,702
Fannie Mae 5.00% 2041		7,331			8,140
Fannie Mae 5.00% 2041		7,105			7,889
Fannie Mae 5.00% 2041		6,154			6,862
Fannie Mae 5.00% 2041		4,929			5,473
Fannie Mae 5.00% 2041		3,984			4,442
Fannie Mae 5.00% 2041		3,503			3,890
Fannie Mae 5.00% 2041		2,605			2,905
Fannie Mae 5.00% 2041		2,513			2,802
Fannie Mae 5.00% 2041		2,379			2,641
Fannie Mae 5.00% 2041		2,281			2,533
Fannie Mae 5.00% 2041		1,976			2,203
Fannie Mae 5.00% 2041		1,688			1,874
Fannie Mae 5.00% 2041		1,618			1,796
Fannie Mae 5.00% 2041		1,566			1,739
Fannie Mae 5.00% 2041		1,445			1,605
Fannie Mae 5.00% 2041		1,424			1,581
Fannie Mae 5.50% 2041		28,115			30,721
Fannie Mae 5.50% 2041		13,234			14,444
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041		3,821			4,463
Fannie Mae, Series 2001-50, Class BA, 7.00% 2041		1,055			1,202
Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2041		2,275			2,722
Fannie Mae 3.50% 2042		598,415			629,271
Fannie Mae 3.50% 2042		96,500			101,941
Fannie Mae 3.50% 2042		92,162			97,445
Fannie Mae 3.50% 2042		81,811			86,807
Fannie Mae 3.50% 2042		68,032			71,856
Fannie Mae 3.50% 2042		65,011			68,676
Fannie Mae 3.50% 2042		62,194			65,623
Fannie Mae 3.50% 2042		57,500			60,670
Fannie Mae 3.50% 2042		57,470			60,638
Fannie Mae 3.50% 2042		55,065			58,221
Fannie Mae 3.50% 2042		50,050			52,809
Fannie Mae 3.50% 2042		33,104			34,966
Fannie Mae 3.50% 2042		28,347			29,972
Fannie Mae 3.50% 2042		26,702			28,232
Fannie Mae 3.50% 2042		25,243			26,690
Fannie Mae 3.50% 2042		25,023			26,457
Fannie Mae 3.50% 2042		23,581			24,933
Fannie Mae 3.50% 2042		21,500			22,685
Fannie Mae 3.50% 2042		21,158			22,371
Fannie Mae 3.50% 2042		19,893			21,034
Fannie Mae 3.50% 2042		19,330			20,438
Fannie Mae 3.50% 2042		17,214			18,181
Fannie Mae 3.50% 2042		16,185			17,096
Fannie Mae 3.50% 2042		15,312			16,190
Fannie Mae 3.50% 2042		14,124			14,933
Fannie Mae 3.50% 2042		12,544			13,204
Fannie Mae 3.50% 2042		9,677			10,232
Fannie Mae 3.50% 2042		8,507			8,995
Fannie Mae 3.50% 2042		5,264			5,566
Fannie Mae 3.50% 2042		4,930			5,213
Fannie Mae 3.50% 2042		4,762			5,035
Fannie Mae 3.50% 2042		2,751			2,909
Fannie Mae 3.50% 2042		2,355			2,490
Fannie Mae 3.50% 2042		2,122			2,244
Fannie Mae 3.50% 2042		2,065			2,184
Fannie Mae 3.50% 2042		1,377			1,461
Fannie Mae 3.50% 2042		1,190			1,258
Fannie Mae 3.50% 2042		1,089			1,151
Fannie Mae 3.50% 2042		1,074			1,141
Fannie Mae 4.00% 2042		154,490			164,508
Fannie Mae 4.00% 2042		48,927			53,011
Fannie Mae 4.50% 2042		279,110			299,520
Fannie Mae 5.50% 2042		56,838			62,007
Fannie Mae 6.00% 2042		289,158			317,803
Fannie Mae 6.00% 2042		256,386			281,744
Fannie Mae, Series 2002-W1, Class 2A, 7.059% 20422		2,883			3,401
Fannie Mae 6.00% 2047		446			483
Fannie Mae 6.50% 2047		492			549
Fannie Mae 6.50% 2047		119			133
Fannie Mae 7.00% 2047		1,070			1,193
Fannie Mae 7.00% 2047		76			84
Fannie Mae 7.50% 2047		68			77
Freddie Mac, Series K501, Class A1, multifamily 1.337% 2016		4,114			4,160
Freddie Mac, Series K702, Class A1, multifamily 2.084% 2017		2,273			2,341
Freddie Mac, Series K701, Class A2, multifamily 3.882% 20172		3,300			3,665
Freddie Mac, Series K705, Class A2, multifamily 2.303% 2018		3,092			3,201
Freddie Mac, Series K706, Class A2, multifamily 2.323% 2018		3,225			3,341
Freddie Mac, Series K704, Class A2, multifamily 2.412% 2018		3,100			3,230
Freddie Mac, Series K702, Class A2, multifamily 3.154% 2018		15,455			16,673
Freddie Mac, Series K709, Class A2, multifamily 2.086% 2019		1,870			1,909
Freddie Mac, Series 2890, Class KT, 4.50% 2019		2,500			2,777
Freddie Mac 5.50% 2019		3,218			3,476
Freddie Mac, Series K015, Class A1, multifamily 2.257% 2020		3,546			3,711
Freddie Mac, Series K009, Class A1, multifamily 2.757% 2020		3,775			4,021
Freddie Mac, Series K014, Class A1, multifamily 2.788% 2020		3,911			4,161
Freddie Mac, Series K013, Class A1, multifamily 2.902% 2020		4,024			4,294
Freddie Mac, Series K010, Class A1, multifamily 3.32% 20202		3,551			3,844
Freddie Mac, Series K011, Class A2, multifamily 4.084% 2020		4,150			4,705
Freddie Mac, Series K017, Class A2, multifamily 2.873% 2021		4,200			4,391
Freddie Mac, Series 2626, Class NG, 3.50% 2023		490			503
Freddie Mac, Series 2922, Class EL, 4.50% 2023		4,848			4,906
Freddie Mac 5.00% 2023		4,572			4,892
Freddie Mac 5.00% 2023		174			186
Freddie Mac 5.00% 2023		26			28
Freddie Mac, Series 1617, Class PM, 6.50% 2023		897			1,005
Freddie Mac 5.00% 2024		11,265			12,080
Freddie Mac 6.00% 2026		8,300			9,122
Freddie Mac 6.00% 2026		7,240			7,957
Freddie Mac 5.50% 2027		4,549			4,951
Freddie Mac 6.00% 2027		51,424			56,517
Freddie Mac, Series 2153, Class GG, 6.00% 2029		1,488			1,665
Freddie Mac, Series 2122, Class QM, 6.25% 2029		2,540			2,848
Freddie Mac 2.508% 20352		6,183			6,631
Freddie Mac, Series 3061, Class PN, 5.50% 2035		23,904			26,580
Freddie Mac, Series 3136, Class OP, principal only, 0% 2036		4,581			4,397
Freddie Mac, Series 3149, Class MO, principal only, 0% 2036		3,008			2,924
Freddie Mac, Series 3147, Class OD, principal only, 0% 2036		2,948			2,819
Freddie Mac, Series 3149, Class AO, principal only, 0% 2036		2,637			2,527
Freddie Mac, Series 3156, Class PO, principal only, 0% 2036		59			57
Freddie Mac, Series 3257, Class PA, 5.50% 2036		31,290			34,494
Freddie Mac, Series 3233, Class PA, 6.00% 2036		23,707			26,370
Freddie Mac, Series 3156, Class NG, 6.00% 2036		7,551			8,517
Freddie Mac 2.458% 20372		5,422			5,683
Freddie Mac 3.446% 20372		2,413			2,513
Freddie Mac 4.50% 2037		25,101			26,866
Freddie Mac, Series 3286, Class JN, 5.50% 2037		33,630			36,643
Freddie Mac, Series 3318, Class JT, 5.50% 2037		18,483			20,140
Freddie Mac, Series 3312, Class PA, 5.50% 2037		16,347			17,821
Freddie Mac 5.50% 2037		10,156			11,041
Freddie Mac 5.50% 2037		70			76
Freddie Mac 5.711% 20372		4,608			4,967
Freddie Mac, Series 3271, Class OA, 6.00% 2037		9,534			10,768
Freddie Mac 7.00% 2037		627			710
Freddie Mac 7.00% 2037		354			403
Freddie Mac 7.00% 2037		163			185
Freddie Mac 7.50% 2037		2,106			2,369
Freddie Mac 5.018% 20382		4,962			5,284
Freddie Mac 5.233% 20382		9,154			9,730
Freddie Mac 5.50% 2038		82,561			89,773
Freddie Mac 5.50% 2038		15,624			16,989
Freddie Mac 5.50% 2038		10,765			11,736
Freddie Mac 5.50% 2038		8,793			9,561
Freddie Mac 5.50% 2038		8,341			9,077
Freddie Mac 5.50% 2038		4,058			4,417
Freddie Mac 5.50% 2038		3,592			3,906
Freddie Mac 5.50% 2038		3,487			3,888
Freddie Mac 5.50% 2038		2,565			2,792
Freddie Mac 5.50% 2038		2,379			2,589
Freddie Mac 5.50% 2038		1,716			1,868
Freddie Mac 5.535% 20382		11,104			11,750
Freddie Mac 6.00% 2038		24,661			26,972
Freddie Mac 6.50% 2038		6,668			7,473
Freddie Mac 3.732% 20392		4,157			4,327
Freddie Mac 5.00% 2039		34,000			36,559
Freddie Mac 5.50% 2039		65,459			71,238
Freddie Mac 5.50% 2039		30,441			33,167
Freddie Mac 3.173% 20402		4,423			4,633
Freddie Mac 4.50% 2040		91,049			97,437
Freddie Mac 5.50% 2040		931			1,013
Freddie Mac 5.50% 2040		36			39
Freddie Mac 4.50% 2041		22,606			24,864
Freddie Mac 4.50% 2041		11,823			13,004
Freddie Mac 4.50% 2041		6,951			7,645
Freddie Mac 4.50% 2041		1,677			1,845
Freddie Mac 5.00% 2041		38,222			42,258
Freddie Mac 5.00% 2041		21,421			23,683
Freddie Mac 5.00% 2041		19,184			21,210
Freddie Mac 5.00% 2041		15,523			17,162
Freddie Mac 5.00% 2041		15,633			16,966
Freddie Mac 5.00% 2041		13,620			15,101
Freddie Mac 5.00% 2041		12,626			13,998
Freddie Mac 5.00% 2041		12,181			13,498
Freddie Mac 5.00% 2041		11,946			13,244
Freddie Mac 5.00% 2041		9,748			10,777
Freddie Mac 5.00% 2041		9,668			10,689
Freddie Mac 5.00% 2041		9,544			10,552
Freddie Mac 5.00% 2041		8,663			9,605
Freddie Mac 5.00% 2041		6,397			7,092
Freddie Mac 5.50% 2041		85,971			93,561
Freddie Mac 5.50% 2041		29,318			31,906
Freddie Mac 6.50% 2047		864			955
Freddie Mac 7.00% 2047		279			311
Government National Mortgage Assn. 10.00% 2021		385			423
Government National Mortgage Assn. 3.50% 2025		5,731			6,130
Government National Mortgage Assn. 3.50% 2025		1,777			1,901
Government National Mortgage Assn. 5.00% 2034		1,036			1,128
Government National Mortgage Assn. 5.50% 2034		2,220			2,435
Government National Mortgage Assn. 5.50% 2034		1,603			1,758
Government National Mortgage Assn., Series 2005-58, Class NO, principal only, 0% 2035		2,790			2,763
Government National Mortgage Assn. 5.00% 2035		1,300			1,416
Government National Mortgage Assn. 5.00% 2035		1,120			1,224
Government National Mortgage Assn. 5.50% 2036		1,318			1,445
Government National Mortgage Assn. 5.50% 2037		1,262			1,384
Government National Mortgage Assn. 6.00% 2038		31,817			35,626
Government National Mortgage Assn. 3.50% 2039		10,926			11,710
Government National Mortgage Assn. 3.50% 2039		10,757			11,529
Government National Mortgage Assn. 3.50% 2039		4,823			5,169
Government National Mortgage Assn. 4.50% 2039		4,800			5,194
Government National Mortgage Assn. 4.50% 2039		2,667			2,884
Government National Mortgage Assn. 4.50% 2039		1,568			1,696
Government National Mortgage Assn. 5.00% 2039		3,382			3,685
Government National Mortgage Assn. 5.00% 2039		2,870			3,126
Government National Mortgage Assn. 5.50% 2039		10,914			11,925
Government National Mortgage Assn. 5.50% 2039		2,881			3,159
Government National Mortgage Assn. 5.50% 2039		2,397			2,629
Government National Mortgage Assn. 5.50% 2039		482			527
Government National Mortgage Assn. 3.50% 2040		9,318			9,998
Government National Mortgage Assn. 4.00% 2040		111,629			122,346
Government National Mortgage Assn. 4.50% 2040		17,619			19,066
Government National Mortgage Assn. 4.50% 2040		12,096			13,090
Government National Mortgage Assn. 4.50% 2040		7,390			8,169
Government National Mortgage Assn. 4.50% 2040		4,646			5,028
Government National Mortgage Assn. 4.50% 2040		4,119			4,457
Government National Mortgage Assn. 4.50% 2040		2,230			2,414
Government National Mortgage Assn. 4.50% 2040		981			1,062
Government National Mortgage Assn. 5.00% 2040		6,632			7,218
Government National Mortgage Assn. 3.50% 2041		1,326			1,421
Government National Mortgage Assn. 4.00% 2041		6,000			6,566
Government National Mortgage Assn. 4.50% 2041		2,088			2,260
Government National Mortgage Assn. 4.50% 2041		2,005			2,168
Government National Mortgage Assn. 4.50% 2041		1,917			2,074
Government National Mortgage Assn. 5.00% 2041		2,853			3,113
Government National Mortgage Assn. 5.00% 2041		1,634			1,780
Government National Mortgage Assn. 5.00% 2041		1,627			1,772
Government National Mortgage Assn. 3.50% 2042		264,428			282,731
Government National Mortgage Assn. 3.50% 2042		10,204			10,927
Government National Mortgage Assn. 3.50% 2042		1,641			1,734
Government National Mortgage Assn. 4.00% 2042		41,475			45,311
FDIC Structured Sale Guaranteed Notes, Series 2010-L2A, Class A, 3.00% 20193		17,487			17,858
FDIC Structured Sale Guaranteed Notes, Series 2010-S1, Class 1-A, 0.789% 20482,3		479			480
National Credit Union Administration, Series 2011-M1, Class A1, 0.261% 20132		2,486			2,486
National Credit Union Administration, Series 2011-M1, Class A2, 1.40% 2015		1,368			1,394
National Credit Union Administration, Series 2010-R2, Class 1A, 0.61% 20172		2,235			2,239
National Credit Union Administration, Series 2011-R3, Class 1A, 0.641% 20202		2,161			2,165
National Credit Union Administration, Series 2011-R1, Class 1A, 0.69% 20202		2,351			2,358
					10,999,529
COMMERCIAL MORTGAGE-BACKED SECURITIES1 — 2.84%
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class A-5, 4.654% 2037		2,500			2,577
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC12, Class A-3B, 5.468% 20372		19,017			19,455
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1, Class A-1, 3.972% 2039		729			728
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A-3, 4.545% 2042		3,842			3,845
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-3A1, 4.871% 2042		9,017			9,051
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class A-4A, 4.936% 20422		1,655			1,822
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A-2, 5.198% 2044		7,288			7,318
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A-4, 6.064% 20452		66,235			75,500
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2011-C3A, Class A-2, 3.673% 20463		43,400			46,216
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046		6,336			6,392
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A-4, 5.924% 20492		43,892			49,970
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A-2, 5.117% 2037		5,975			5,981
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A-5, 5.224% 20372		11,000			12,100
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A-4-1, 5.243% 20372		15,000			15,492
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A-4, 6.071% 20382		13,465			15,416
Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A-4, 5.444% 2039		46,043			51,276
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-3, 4.499% 2037		9,576			9,680
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A-AB, 4.614% 2037		11,127			11,535
CS First Boston Mortgage Securities Corp., Series 2004-C1, Class E, 5.015% 20373		8,240			7,773
CS First Boston Mortgage Securities Corp., Series 2002-CKN2, Class A-3, 6.133% 2037		50			50
CS First Boston Mortgage Securities Corp., Series 2005-C5, Class A-AB, 5.10% 20382		7,709			7,985
CS First Boston Mortgage Securities Corp., Series 2004-C4, Class A-4, 4.283% 2039		350			351
CS First Boston Mortgage Securities Corp., Series 2006-C5, Class A-3, 5.311% 2039		25,026			27,888
CS First Boston Mortgage Securities Corp., Series 2006-C1, Class A-3, 5.593% 20392		6,858			6,996
CS First Boston Mortgage Securities Corp., Series 2005-C6, Class A-3, 5.23% 20402		20,141			20,707
American Tower Trust I, Series 2007-1A, Class A-FX, 5.42% 20373		18,500			19,405
American Tower Trust I, Series 2007-1A, Class B, 5.537% 20373		10,000			10,601
American Tower Trust I, Series 2007-1A, Class C, 5.615% 20373		10,000			10,558
American Tower Trust I, Series 2007-1A, Class D, 5.957% 20373		35,515			36,679
American Tower Trust I, Series 2007-1A, Class E, 6.249% 20373		5,250			5,559
American Tower Trust I, Series 2007-1A, Class F, 6.639% 20373		5,000			5,096
Citigroup-Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A-4, 5.394% 20442		17,005			18,975
Citigroup-Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class A-5, 5.617% 2048		45,484			51,751
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP6, Class A-4, 5.475% 20432		42,550			47,753
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP8, Class A-4, 5.399% 2045		14,040			15,980
DBUBS Mortgage Trust, Series 2011-LC1A, Class A1, 3.742% 20463		55,361			59,305
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class A-3, 5.172% (undated)2		41,210			45,870
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20263		36,610			40,422
Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class AM, 5.39% 20372		4,620			4,971
Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A-5, 4.855% 20412		6,805			7,304
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class A-4, 4.747% 20432		8,080			8,769
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class AM, 4.805% 20432		6,300			6,718
Merrill Lynch Mortgage Trust, Series 2006-C2, Class A-4, 5.742% 20432		10,250			11,723
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-3, 4.608% 2035		191			192
Wachovia Bank Commercial Mortgage Trust, Series 2005-C18, Class A-PB, 4.807% 2042		1,655			1,719
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A-7, 5.118% 20422		9,605			10,618
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A-4, 5.441% 20442		15,350			17,099
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A-PB, 5.446% 20442		5,889			6,130
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A-PB, 5.446% 2045		2,534			2,557
Crown Castle Towers LLC, Series 2010-1, Class C, 4.523% 20353		2,000			2,098
Crown Castle Towers LLC, Series 2010-5, Class C, 4.174% 20373		20,000			21,174
Crown Castle Towers LLC, Series 2010-2, Class C, 5.495% 20373		10,000			11,058
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-AB, 4.673% 2041		604			613
Banc of America Commercial Mortgage Inc., Series 2005-3, Class A-2, 4.501% 2043		238			239
Banc of America Commercial Mortgage Inc., Series 2005-5, Class A-4, 5.115% 20452		2,500			2,784
Banc of America Commercial Mortgage Inc., Series 2006-4, Class A-4, 5.634% 2046		15,990			18,105
Banc of America Commercial Mortgage Inc., Series 2007-3, Class A-4, 5.805% (undated)2		3,615			4,104
Commercial Mortgage Trust, Series 2003-LNB1, Class A-2, 4.084% 2038		18,426			18,702
GE Capital Commercial Mortgage Corp., Series 2002-3, Class A-2, 4.996% 2037		1,287			1,294
GE Commercial Mortgage Corp., Series 2006-C1, Class A-4, 5.481% 20442		9,210			10,304
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A-2, 5.174% 2048		744			749
Morgan Stanley Capital I Trust, Series 2005-HQ7, Class A-2, 5.369% 20422		665			665
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A-2, 5.103% 2030		436			437
					954,184
OTHER MORTGAGE-BACKED SECURITIES1 — 0.74%
Nationwide Building Society, Series 2007-2, 5.50% 20123		51,425			51,460
Bank of Montreal 1.30% 20143		4,000			4,057
Bank of Montreal 2.85% 20153		17,000			18,005
Bank of Montreal 2.625% 20163		4,250			4,492
HBOS Treasury Services PLC 5.25% 20173		16,000			17,702
HBOS Treasury Services PLC 5.25% 2017		7,000			7,745
Compagnie de Financement Foncier 2.125% 20133		16,700			16,800
Compagnie de Financement Foncier 2.25% 20143		6,500			6,548
Royal Bank of Canada 3.125% 20153		18,160			19,231
Bank of Nova Scotia 1.25% 20143		4,000			4,053
Bank of Nova Scotia 2.15% 20163		4,650			4,839
Bank of Nova Scotia 1.75% 20173		4,150			4,110
DEPFA ACS Bank 5.125% 20373		16,250			11,574
UBS AG 1.875% 20153		4,200			4,245
UBS AG 2.25% 20173		4,150			4,169
Barclays Bank PLC 2.50% 20153		3,600			3,678
Barclays Bank PLC 2.25% 20173		4,375			4,382
Swedbank Hypotek AB 2.125% 20163		3,400			3,436
Swedbank Hypotek AB 2.95% 20163		3,000			3,128
Toronto-Dominion Bank 1.625% 20163		4,400			4,488
Westpac Banking Corp. 2.45% 20163		4,325			4,455
HSBC Bank PLC 1.625% 20143		4,400			4,438
Credit Suisse Group AG 2.60% 20163		4,300			4,423
Canadian Imperial Bank 2.75% 20163		4,150			4,409
Northern Rock PLC 5.625% 20173		4,000			4,380
National Bank of Canada 2.20% 20163		4,175			4,360
Australia & New Zealand Banking Group Ltd. 2.40% 20163		4,250			4,358
Commonwealth Bank of Australia 2.25% 20173		4,150			4,214
Nordea Eiendomskreditt AS 2.125% 20173		4,000			4,037
Sparebank 1 Boligkreditt AS 2.625% 20163		3,400			3,515
National Australia Bank 2.00% 20173		3,500			3,499
Caisse Centrale Desjardins 1.60% 20173		3,375			3,418
					247,648
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS (PRIVATELY ORIGINATED)1 — 0.12%
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034		19,134			19,383
TBW Mortgage-backed Trust, Series 2007-2, Class A-4-B, 0.665% 20372		17,198			10,851
American General Mortgage Loan Trust, Series 2010-1A, Class A-1, 5.15% 20582,3		9,251			9,463
CS First Boston Mortgage Securities Corp., Series 2002-30, Class I-A-1, 7.50% 2032		224			235
CS First Boston Mortgage Securities Corp., Series 2002-34, Class I-A-1, 7.50% 2032		30			32
CS First Boston Mortgage Securities Corp., Series 2003-21, Class V-A-1, 6.50% 2033		1,834			1,925
CS First Boston Mortgage Securities Corp., Series 2003-29, Class V-A-1, 7.00% 2033		33			36
					41,925
Total mortgage-backed obligations					12,243,286
CORPORATE BONDS & NOTES — 29.84%
FINANCIALS — 7.88%
REAL ESTATE — 2.26%
Prologis, Inc. 7.625% 2014		29,250			32,195
Prologis, Inc. 5.75% 2016		10,000			10,933
Prologis, Inc. 6.125% 2016		5,690			6,385
Prologis, Inc. 6.25% 2017		6,115			6,960
Prologis, Inc. 6.625% 2018		39,285			45,391
Prologis, Inc. 6.625% 2019		1,460			1,706
Prologis, Inc. 7.375% 2019		19,712			23,931
Prologis, Inc. 6.875% 2020		25,250			30,265
Westfield Group 5.40% 20123		18,400			18,584
Westfield Capital Corp. Ltd., WT Finance (Australia) Pty Ltd. and WEA Finance LLC 5.125% 20143		5,000			5,294
Westfield Group 7.50% 20143		16,670			18,198
Westfield Group 5.75% 20153		35,800			38,965
Westfield Group 5.70% 20163		19,445			21,425
Westfield Group 7.125% 20183		12,775			15,158
WEA Finance LLC 4.625% 20213		8,855			9,382
Kimco Realty Corp. 6.00% 2012		12,250			12,449
Pan Pacific Retail Properties, Inc. 6.125% 2013		1,605			1,636
Kimco Realty Corp., Series C, 4.82% 2014		25,780			26,859
Kimco Realty Corp., Series C, 4.904% 2015		1,770			1,869
Kimco Realty Corp., Series C, 5.783% 2016		14,000			15,406
Kimco Realty Corp. 5.70% 2017		28,450			31,555
Kimco Realty Corp. 4.30% 2018		24,420			25,811
Kimco Realty Corp. 6.875% 2019		5,440			6,522
Hospitality Properties Trust 6.75% 2013		12,245			12,323
Hospitality Properties Trust 7.875% 2014		950			1,028
Hospitality Properties Trust 5.125% 2015		6,665			6,865
Hospitality Properties Trust 6.30% 2016		29,368			31,632
Hospitality Properties Trust 5.625% 2017		1,195			1,274
Hospitality Properties Trust 6.70% 2018		30,450			33,382
Realogy Corp., Term Loan B, 4.491% 20161,2,4		19,140			18,133
Realogy Corp., Letter of Credit, 4.77% 20161,2,4		543			514
Realogy Corp., Second Lien Term Loan A, 13.50% 20171,4		20,325			20,899
Realogy Corp. 7.875% 20193		25,156			24,716
Realogy Corp. 9.00% 20203		12,515			12,953
Simon Property Group, LP 6.75% 2014		9,100			9,869
Simon Property Group, LP 4.20% 2015		2,430			2,564
Simon Property Group, LP 5.875% 2017		15,000			17,293
Simon Property Group, LP 6.125% 2018		10,000			11,853
Simon Property Group, LP 10.35% 2019		8,995			12,641
Developers Diversified Realty Corp. 5.375% 2012		3,090			3,094
Developers Diversified Realty Corp. 5.50% 2015		11,643			12,291
Developers Diversified Realty Corp. 9.625% 2016		4,000			4,864
Developers Diversified Realty Corp. 7.50% 2017		9,655			11,093
Developers Diversified Realty Corp. 7.875% 2020		3,720			4,458
ERP Operating LP 6.584% 2015		10,000			11,276
ERP Operating LP 5.125% 2016		4,445			4,906
ERP Operating LP 7.125% 2017		5,000			5,907
ERP Operating LP 4.625% 2021		3,430			3,735
Goodman Funding Pty Ltd. 6.00% 20223		24,785			25,193
UDR, Inc., Series A, 5.25% 2015		13,030			13,987
American Tower Corp. 4.625% 2015		10,000			10,593
American Tower Corp. 5.90% 2021		2,000			2,231
Host Marriott, LP, Series O, 6.375% 2015		2,000			2,035
Host Hotels & Resorts LP 9.00% 2017		1,800			2,002
Host Hotels & Resorts LP 5.875% 2019		4,325			4,693
Brandywine Operating Partnership, LP 5.40% 2014		3,000			3,147
Brandywine Operating Partnership, LP 4.95% 2018		3,640			3,734
Weingarten Realty Investors, Series A, 4.857% 2014		6,080			6,239
					760,296
BANKS — 2.10%
Royal Bank of Scotland PLC 3.40% 2013		12,325			12,457
Royal Bank of Scotland PLC 3.95% 2015		17,000			17,331
Royal Bank of Scotland PLC 4.875% 2015		20,000			20,711
Royal Bank of Scotland Group PLC 4.375% 2016		7,500			7,695
Royal Bank of Scotland Group PLC 4.70% 2018		2,008			1,724
Royal Bank of Scotland PLC 6.125% 2021		8,435			9,393
Standard Chartered PLC 3.85% 20153		21,622			22,636
Standard Chartered PLC 3.20% 20163		31,141			31,873
Standard Chartered Bank 6.40% 20173		10,000			11,005
HSBC Finance Corp. 0.897% 20162		12,304			11,288
HSBC Holdings PLC 4.125% 20203		9,453			9,877
HSBC Holdings PLC 4.875% 2020		20,125			20,751
HSBC Holdings PLC 4.00% 2022		17,060			17,765
BNP Paribas 3.60% 2016		14,000			14,178
BNP Paribas 5.00% 2021		20,130			20,714
BNP Paribas, junior subordinated 7.195% (undated)2,3		24,600			21,279
HBOS PLC 6.75% 20183		31,415			29,688
HBOS PLC 4.375% 20192	€	2,870			2,721
HBOS PLC 6.00% 20333	$	9,050			6,849
Wells Fargo & Co. 3.676% 2016		14,000			14,921
Wells Fargo & Co. 2.10% 2017		6,130			6,154
Wells Fargo & Co., Series I, 3.50% 2022		16,065			16,578
CIT Group Inc., Series C, 4.75% 20153		25,100			25,790
CIT Group Inc. 5.00% 2017		8,000			8,245
Korea Development Bank 5.30% 2013		13,635			13,898
Korea Development Bank 8.00% 2014		11,365			12,401
Korea Development Bank 4.00% 2016		1,500			1,604
Korea Development Bank 3.50% 2017		3,160			3,308
Korea Development Bank 3.875% 2017		640			682
Société Générale 5.20% 20213		30,785			29,491
Sovereign Bancorp, Inc. 8.75% 2018		1,880			2,059
Santander Issuances, SA Unipersonal 6.50% 20192,3		31,100			26,593
UniCredito Italiano SpA 6.00% 20173		19,483			15,976
HVB Funding Trust I, junior subordinated 8.741% 20313		8,264			6,446
HVB Funding Trust III, junior subordinated 9.00% 20313		7,180			5,672
US Bancorp., Series T, 1.65% 2017		27,480			27,725
Barclays Bank PLC 5.125% 2020		23,125			25,150
Intesa Sanpaolo SpA 6.50% 20213		24,536			21,501
Nordea Bank, Series 2, 3.70% 20143		8,000			8,326
Nordea Bank AB 3.125% 20173		12,500			12,572
PNC Funding Corp. 5.40% 2014		10,000			10,802
PNC Preferred Funding Trust I, junior subordinated 2.118% (undated)2,3		12,700			9,571
ANZ National (International) Ltd. 3.125% 20153		16,500			16,956
Westpac Banking Corp. 3.00% 2015		14,400			14,916
Union Bank of California, NA 5.95% 2016		12,455			13,932
Banco del Estado de Chile 4.125% 20203		10,000			10,551
VEB Finance Ltd. 6.902% 20203		9,100			9,880
VEB Finance Ltd. 6.80% 20253		500			526
Development Bank of Kazakhstan 5.50% 20153		8,825			9,233
BBVA Bancomer SA 4.50% 20163		3,225			3,257
BBVA Bancomer SA, junior subordinated 7.25% 20203		2,430			2,509
BBVA Bancomer SA 6.50% 20213		2,355			2,390
Banco de Crédito del Perú 5.375% 20203		7,000			7,297
HSBK (Europe) BV 7.25% 20213		6,710			6,703
Commonwealth Bank of Australia 1.95% 2015		4,525			4,558
Commerzbank AG, Series 774, 7.75% 2021	€	3,300			3,682
Bergen Bank, junior subordinated 0.938% (undated)2	$	5,000			2,650
SunTrust Banks, Inc. 6.00% 2017		2,000			2,280
					706,720
DIVERSIFIED FINANCIALS — 2.03%
Citigroup Inc. 4.587% 2015		25,375			26,570
Citigroup Inc. 4.75% 2015		21,500			22,585
Citigroup Inc. 3.953% 2016		8,300			8,515
Citigroup Inc. 4.45% 2017		13,000			13,647
Citigroup Inc. 6.125% 2017		7,000			7,768
Citigroup Inc. 6.125% 2018		22,031			24,642
Citigroup Inc. 8.50% 2019		21,358			26,428
Bank of America Corp., Series L, 3.625% 2016		17,920			18,024
Bank of America Corp. 3.75% 2016		24,640			24,873
Bank of America Corp. 3.875% 2017		2,000			2,040
Bank of America Corp. 5.75% 2017		1,000			1,069
Bank of America Corp. 5.65% 2018		6,520			6,984
Bank of America Corp. 5.625% 2020		25,325			27,175
Bank of America Corp. 5.00% 2021		11,955			12,365
Bank of America Corp. 5.875% 2021		18,080			19,787
Bank of America Corp. 5.70% 2022		4,000			4,417
Goldman Sachs Group, Inc. 3.625% 2016		27,625			27,660
Murray Street Investment Trust I 4.647% 2017		16,000			16,054
Goldman Sachs Group, Inc. 7.50% 2019		17,600			20,108
Goldman Sachs Group, Inc. 5.25% 2021		11,000			11,202
Goldman Sachs Group, Inc. 5.75% 2022		31,090			32,903
Goldman Sachs Group, Inc. 6.25% 2041		8,370			8,768
UBS AG 2.25% 2014		14,500			14,581
UBS AG 5.75% 2018		18,202			20,199
UBS AG 4.875% 2020		32,609			34,922
UBS AG 7.75% 2026		4,000			4,588
Morgan Stanley, Series F, 2.875% 2014		14,750			14,591
Morgan Stanley 3.80% 2016		8,850			8,584
Morgan Stanley, Series F, 5.625% 2019		39,859			39,529
Morgan Stanley 5.50% 2021		3,000			2,963
Morgan Stanley, Series F, 5.75% 2021		650			642
JPMorgan Chase & Co. 3.40% 2015		17,500			18,165
JPMorgan Chase & Co. 6.30% 2019		2,667			3,123
JPMorgan Chase & Co. 4.35% 2021		4,500			4,762
JPMorgan Chase & Co. 4.625% 2021		6,500			6,973
International Lease Finance Corp. 5.00% 2012		390			394
International Lease Finance Corp. 4.875% 2015		17,960			18,063
Lazard Group LLC 7.125% 2015		16,500			18,032
Export-Import Bank of Korea 5.875% 2015		12,400			13,605
The Export-Import Bank of Korea 4.375% 2021		4,000			4,261
Bank of New York Mellon Corp., Series G, 2.50% 2016		16,000			16,595
Springleaf Finance Corp., Term Loan B, 5.50% 20171.2,4		17,230			16,273
SLM Corp. 6.25% 2016		5,000			5,275
SLM Corp. 6.00% 2017		8,000		��	8,304
Northern Trust Corp. 4.625% 2014		8,475			9,074
Northern Trust Corp. 5.85% 20173		3,750			4,423
Capital One Financial Corp. 6.15% 2016		10,000			11,194
NASDAQ OMX Group, Inc. 5.25% 2018		8,100			8,645
Jefferies Group, Inc. 6.875% 2021		5,000			5,053
iStar Financial Inc. 9.00% 20173		3,885			3,836
Credit Suisse Group AG 2.20% 2014		2,000			2,014
ACE Cash Express, Inc. 11.00% 20193		1,200			1,063
American Express Co. 6.15% 2017		150			178
					683,488
INSURANCE — 1.44%
American International Group, Inc. 4.875% 2016		17,500			18,588
American International Group, Inc. 3.80% 2017		36,250			37,008
American International Group, Inc. 4.875% 2022		4,500			4,617
ACE INA Holdings Inc. 5.875% 2014		17,445			19,027
ACE INA Holdings Inc. 2.60% 2015		19,990			20,811
ACE INA Holdings Inc. 5.80% 2018		1,000			1,204
ACE Capital Trust II 9.70% 2030		5,000			6,892
CNA Financial Corp. 5.85% 2014		4,500			4,831
CNA Financial Corp. 6.50% 2016		10,000			11,267
CNA Financial Corp. 7.35% 2019		4,270			5,062
CNA Financial Corp. 5.875% 2020		1,250			1,378
CNA Financial Corp. 7.25% 2023		17,145			19,946
Monumental Global Funding 5.50% 20133		16,370			16,948
Monumental Global Funding III 5.25% 20143		20,000			21,227
Aegon NV 6.125% 2031	£	1,730			2,685
MetLife Global Funding I 5.125% 20133	$	16,000			16,532
MetLife Global Funding I 2.50% 20153		17,000			17,440
AXA SA 8.60% 2030		5,815			6,240
AXA SA, Series B, junior subordinated 6.379% (undated)2,3		6,065			4,791
AXA SA, junior subordinated 6.463% (undated)2,3		22,700			19,295
PRICOA Global Funding I 5.30% 20133		2,500			2,630
Prudential Financial, Inc. 4.50% 2021		5,000			5,203
Prudential Holdings, LLC, Series C, 8.695% 20231,3		14,150			17,504
New York Life Global Funding 5.25% 20123		15,300			15,492
New York Life Global Funding 4.65% 20133		8,720			8,998
Berkshire Hathaway Inc. 2.20% 2016		14,000			14,585
Berkshire Hathaway Inc. 1.60% 2017		2,500			2,522
Berkshire Hathaway Inc. 4.40% 2042		5,000			5,158
QBE Capital Funding II LP 6.797% (undated)2,3		23,855			21,083
Principal Life Insurance Co. 5.30% 2013		18,150			18,832
Liberty Mutual Group Inc. 6.70% 20163		6,250			6,907
Liberty Mutual Group Inc. 6.50% 20353		10,755			11,080
Assicurazioni Generali SpA. 6.90% 20222	€	14,115			16,291
Allstate Life Global Funding Trust, Series 2008-4, 5.375% 2013	$	15,000			15,609
Aviva PLC, junior subordinated 5.70% (undated)2	€	12,610			12,248
UnumProvident Finance Co. PLC 6.85% 20153	$	2,000			2,236
Unum Group 7.125% 2016		8,000			9,239
RSA Insurance Group PLC 9.375% 20392	£	3,765			6,687
RSA Insurance Group PLC 8.50% (undated)2		2,429			3,899
Jackson National Life Global 5.375% 20133	$	10,000			10,355
Lincoln National Corp. 5.65% 2012		10,000			10,069
Zurich Finance (USA), Inc., Series 6, 5.75% 20232	€	2,815			3,607
XL Capital Ltd., Series E, junior subordinated 6.50% (undated)2	$	3,000			2,452
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft, junior subordinated 5.767% (undated)2	€	1,250			1,424
Loews Corp. 6.00% 2035	$	225			258
					480,157
AUTOMOBILES & COMPONENTS — 0.05%
Toyota Motor Credit Corp. 1.375% 2013		16,500			16,643
ENERGY — 3.99%
Kinder Morgan Energy Partners, LP 5.125% 2014		14,410			15,590
Kinder Morgan Energy Partners, LP 5.625% 2015		12,600			13,873
Kinder Morgan Energy Partners, LP 3.50% 2016		1,700			1,800
Kinder Morgan Energy Partners, LP 6.00% 2017		17,000			19,662
Kinder Morgan Energy Partners, LP 9.00% 2019		4,395			5,688
Kinder Morgan Energy Partners, LP 5.30% 2020		2,750			3,053
Kinder Morgan Energy Partners, LP 6.85% 2020		28,470			34,255
Kinder Morgan Energy Partners, LP 3.95% 2022		9,000			9,144
Kinder Morgan Energy Partners, LP 4.15% 2022		11,000			11,340
Kinder Morgan Energy Partners, LP 6.95% 2038		4,250			5,048
Kinder Morgan Energy Partners, LP 6.55% 2040		3,250			3,724
Kinder Morgan Energy Partners, LP 6.375% 2041		2,750			3,150
Enbridge Energy Partners, LP, Series B, 6.50% 2018		25,120			30,066
Enbridge Energy Partners, LP 9.875% 2019		27,505			36,156
Enbridge Energy Partners, LP 5.20% 2020		1,500			1,704
Enbridge Energy Partners, LP 4.20% 2021		20,000			21,213
Enbridge Energy Partners, LP, Series B, 7.50% 2038		13,950			18,063
Enbridge Energy Partners, LP 5.50% 2040		750			816
Enbridge Energy Partners, LP, junior subordinated 8.05% 20772		1,100			1,193
StatoilHydro ASA 2.90% 2014		15,360			16,120
StatoilHydro ASA 3.875% 2014		2,250			2,377
StatoilHydro ASA 1.80% 2016		1,800			1,845
Statoil ASA 3.125% 2017		26,500			28,588
StatoilHydro ASA 5.25% 2019		2,000			2,399
Statoil ASA 3.15% 2022		41,470			43,405
StatoilHydro ASA 4.25% 2041		500			533
Total Capital SA 3.00% 2015		17,000			18,057
Total Capital SA 3.125% 2015		2,600			2,780
Total Capital International 1.50% 2017		4,000			4,022
Total Capital International 1.55% 2017		13,140			13,193
Total Capital SA 4.45% 2020		2,900			3,321
Total Capital International 2.875% 2022		51,775			52,647
BG Energy Capital PLC 2.50% 20153		7,200			7,471
BG Energy Capital PLC 2.875% 20163		24,450			25,800
BG Energy Capital PLC 4.00% 20213		42,175			45,126
Enterprise Products Operating LLC 5.65% 2013		17,850			18,419
Enterprise Products Operating LLC 5.20% 2020		9,425			10,808
Enterprise Products Operating LLC 5.25% 2020		2,000			2,296
Enterprise Products Operating LLC 4.05% 2022		23,605			25,102
Enterprise Products Operating LLC 4.85% 2042		17,500			17,519
Enterprise Products Operating LLC 5.70% 2042		2,750			3,058
Enterprise Products Operating LLC 7.00% 20672		600			603
Transocean Inc. 5.05% 2016		20,500			22,266
Transocean Inc. 6.375% 2021		38,370			43,998
Transocean Inc. 7.35% 2041		5,205			6,326
Anadarko Petroleum Corp. 5.95% 2016		15,500			17,612
Anadarko Petroleum Corp. 6.375% 2017		21,750			25,305
Anadarko Petroleum Corp. 8.70% 2019		5,000			6,548
Anadarko Petroleum Corp. 6.20% 2040		1,750			1,996
Shell International Finance BV 1.875% 2013		16,500			16,680
Shell International Finance BV 3.10% 2015		10,000			10,678
Shell International Finance BV 4.30% 2019		19,200			22,327
Petrobras International Finance Co. 2.875% 2015		4,945			5,032
Petrobras International Finance Co. 3.50% 2017		2,500			2,574
Petrobras International 5.75% 2020		4,600			5,058
Petrobras International 5.375% 2021		14,720			15,949
Petrobras International 6.875% 2040		14,010			16,826
Petrobras International Finance Co. 6.75% 2041		500			590
Pemex Finance Ltd., Series 1999-2, Class A-3, 10.61% 20171		11,700			14,176
Pemex Project Funding Master Trust 5.75% 2018		3,150			3,575
Pemex Project Funding Master Trust  4.875% 20223		2,600			2,814
Pemex Project Funding Master Trust, Series 13, 6.625% 2035		11,750			14,041
Pemex Project Funding Master Trust 6.50% 20413		4,275			5,013
Petróleos Mexicanos 5.50% 20443		2,750			2,819
Reliance Holdings Ltd. 4.50% 20203		6,350			5,982
Reliance Holdings Ltd. 4.50% 2020		1,750			1,649
Reliance Holdings Ltd. 5.40% 20223		21,075			21,129
Reliance Holdings Ltd. 6.25% 20403		10,750			10,116
Enbridge Inc. 5.80% 2014		9,200			9,995
Enbridge Inc. 4.90% 2015		3,250			3,545
Enbridge Inc. 5.60% 2017		21,450			24,542
Williams Partners L.P. and Williams Partners Finance Corp. 3.80% 2015		17,500			18,424
Williams Partners L.P. and Williams Partners Finance Corp. 7.25% 2017		1,300			1,560
Williams Partners L.P. and Williams Partners Finance Corp. 5.25% 2020		11,625			13,091
El Paso Pipeline Partners Operating Co., LLC 5.00% 2021		29,860			32,479
Woodside Finance Ltd. 4.60% 20213		29,875			32,062
Gazprom OJSC 5.092% 20153		6,125			6,477
Gazprom OJSC 5.999% 20213		3,000			3,231
Gazprom OJSC 6.51% 20223		14,500			16,150
Gazprom OJSC, Series 9, 6.51% 2022		5,000			5,569
QGOG Atlantic/Alaskan Rigs Ltd. 5.25% 20181,3		30,267			31,024
Phillips 66 2.95% 20173		4,130			4,251
Phillips 66 4.30% 20223		6,740			7,110
Phillips 66 5.875% 20423		17,950			19,419
Devon Energy Corp. 1.875% 2017		13,720			13,744
Devon Energy Corp. 3.25% 2022		15,310			15,621
Ras Laffan Liquefied Natural Gas III 5.50% 2014		3,585			3,876
Ras Laffan Liquefied Natural Gas III 5.50% 20143		330			357
Ras Laffan Liquefied Natural Gas III 5.832% 20161		1,422			1,527
Ras Laffan Liquefied Natural Gas II 5.298% 20201,3		15,763			17,339
Ras Laffan Liquefied Natural Gas III 6.332% 20271		2,000			2,297
Southwestern Energy Co. 4.10% 20223		20,020			20,348
Chevron Corp. 4.95% 2019		13,917			16,807
Husky Energy Inc. 6.20% 2017		12,830			15,186
Canadian Natural Resources Ltd. 3.45% 2021		14,185			14,743
TransCanada PipeLines Ltd. 6.50% 2018		7,500			9,341
TransCanada PipeLines Ltd. 7.125% 2019		3,040			3,898
TransCanada PipeLines Ltd., junior subordinated 6.35% 20672		1,000			1,031
Western Gas Partners LP 4.00% 2022		9,250			9,269
Spectra Energy Partners, LP 2.95% 2016		6,375			6,473
Spectra Energy Partners 4.60% 2021		2,185			2,314
Cenovus Energy Inc. 4.50% 2014		3,000			3,205
Cenovus Energy Inc. 6.75% 2039		4,250			5,320
Laredo Petroleum, Inc. 9.50% 2019		7,300			8,176
Korea National Oil Corp. 4.00% 20163		6,850			7,296
Petroplus Finance Ltd. 6.75% 20143,5		15,475			1,934
Petroplus Finance Ltd. 7.00% 20173,5		29,700			3,712
Petroplus Finance Ltd. 9.375% 20193,5		12,650			1,581
Energy Transfer Partners, L.P. 5.20% 2022		4,500			4,832
Energy Transfer Partners, L.P. 6.50% 2042		1,665			1,792
Odebrecht Drilling Norbe VIII/IX Ltd 6.35% 20211,3		5,738			6,039
Arch Coal, Inc. 7.25% 2021		7,000			5,897
Alpha Natural Resources, Inc. 6.00% 2019		2,450			2,101
Alpha Natural Resources, Inc. 6.25% 2021		2,800			2,380
Regency Energy Partners LP and Regency Energy Finance Corp. 6.50% 2021		3,875			4,088
Energy Transfer Partners, LP 7.50% 2020		3,700			4,079
Peabody Energy Corp. 6.00% 20183		4,000			4,000
NGPL PipeCo LLC 7.119% 20173		850			854
NGPL PipeCo LLC 9.625% 20193		1,650			1,774
CONSOL Energy Inc. 8.00% 2017		1,145			1,194
CONSOL Energy Inc. 8.25% 2020		1,130			1,192
Transportadora de Gas Internacional 5.70% 20223		1,250			1,303
Overseas Shipholding Group, Inc. 8.125% 2018		1,650			1,126
PTT Exploration & Production Ltd 6.35% 20423		800			846
Teekay Corp. 8.50% 2020		725			739
Dolphin Energy Ltd. 5.50% 20213		500			559
					1,341,225
CONSUMER DISCRETIONARY — 3.04%
MEDIA — 1.85%
Comcast Corp. 6.30% 2017		13,410			16,149
Comcast Corp. 5.875% 2018		20,570			24,365
Comcast Corp. 5.15% 2020		7,500			8,726
Comcast Corp. 3.125% 2022		3,620			3,648
Comcast Corp. 6.95% 2037		12,020			15,509
Comcast Corp. 6.40% 2040		7,500			9,403
Comcast Corp. 4.65% 2042		21,185			21,311
Time Warner Inc. 5.875% 2016		19,170			22,479
Time Warner Companies, Inc. 7.25% 2017		1,600			1,997
Time Warner Inc. 4.75% 2021		14,840			16,646
Time Warner Inc. 3.40% 2022		2,500			2,528
Time Warner Cable Inc. 4.00% 2022		4,820			5,112
Time Warner Companies, Inc. 7.57% 2024		12,340			15,968
Time Warner Inc. 6.20% 2040		9,450			11,056
Time Warner Cable Inc. 5.375% 2041		2,630			2,813
Time Warner Inc. 6.25% 2041		7,950			9,289
Time Warner Cable Inc. 6.20% 2013		9,700			10,196
Time Warner Cable Inc. 7.50% 2014		15,675			17,387
Time Warner Cable Inc. 6.75% 2018		15,650			19,098
Time Warner Cable Inc. 8.25% 2019		7,215			9,446
Time Warner Cable Inc. 4.00% 2021		10,280			10,832
Time Warner Cable Inc. 6.75% 2039		6,800			8,326
Time Warner Cable Inc. 5.50% 2041		5,000			5,468
NBCUniversal Media, LLC 2.10% 2014		12,000			12,219
NBCUniversal Media, LLC 2.875% 2016		17,000			17,748
NBCUniversal Media, LLC 5.15% 2020		7,000			8,055
NBCUniversal Media, LLC 4.375% 2021		25,175			27,767
NBCUniversal Media, LLC 6.40% 2040		3,600			4,420
News America Holdings Inc. 8.00% 2016		1,000			1,231
News America Inc. 6.90% 2019		12,750			15,708
News America Inc. 4.50% 2021		5,500			6,045
News America Inc. 6.15% 2037		300			342
News America Inc. 6.65% 2037		20,300			23,803
News America Inc. 6.15% 2041		9,685			11,381
Thomson Reuters Corp. 6.50% 2018		29,355			36,283
Cox Communications, Inc. 7.125% 2012		7,000			7,105
Cox Communications, Inc. 5.45% 2014		16,045			17,668
Cox Communications, Inc. 9.375% 20193		7,225			9,690
Walt Disney Co. 0.875% 2014		25,500			25,676
DISH DBS Corp. 4.625% 20173		5,505			5,539
DISH DBS Corp 6.75% 2021		4,075			4,421
DISH DBS Corp. 5.875% 20223		11,000			11,165
Univision Communications Inc., Term Loan B, 4.495% 20171,2,4		18,526			17,576
Univision Communications Inc. 8.50% 20213		2,240			2,268
WPP Finance 2010 4.75% 2021		16,340			17,192
Virgin Media Finance PLC 8.375% 20193		8,050			9,086
Virgin Media Secured Finance PLC 5.25% 2021		2,650			2,943
Virgin Media Secured Finance PLC 5.50% 2021	£	3,000			4,957
Mediacom LLC and Mediacom Capital Corp. 9.125% 2019	$	9,000			9,923
CBS Corp. 1.95% 2017		8,500			8,506
Omnicom Group Inc. 3.625% 2022		8,000			8,152
Nara Cable Funding Ltd. 8.875% 2018	€	6,820			7,574
Clear Channel Worldwide Holdings, Inc., Series B, 9.25% 2017	$	6,500			7,118
Grupo Televisa, SAB 6.625% 2040		5,200			6,393
Warner Music Group 9.50% 20163		2,800			3,066
UPC Germany GmbH 9.625% 2019	€	1,250			1,737
					620,509
CONSUMER SERVICES — 0.48%
MGM Resorts International 6.75% 2012	$	3,510			3,536
MGM Resorts International 6.75% 2013		5,825			5,993
MGM Resorts International 13.00% 2013		2,875			3,292
MGM Resorts International 5.875% 2014		34,190			35,216
MGM Resorts International 6.625% 2015		2,600			2,691
Boyd Gaming Corp. 6.75% 2014		10,830			10,898
Boyd Gaming Corp. 7.125% 2016		10,285			10,079
Boyd Gaming Corp. 9.125% 2018		3,920			4,057
Revel Entertainment, Term Loan B, 9.00% 20171,2,4		18,500			15,833
Seminole Tribe of Florida 5.798% 20131,3		4,375			4,491
Seminole Tribe of Florida 7.804% 20201,3		7,745			7,688
Marriott International, Inc., Series I, 6.375% 2017		9,750			11,479
Mohegan Tribal Gaming Authority 10.50% 20163		6,375			5,610
Mohegan Tribal Gaming Authority 11.00% 20182,3,6		6,750			4,539
NCL Corp. Ltd. 11.75% 2016		3,000			3,458
NCL Corp. Ltd. 9.50% 2018		3,375			3,679
Burger King Corp 0%/11.00% 20193,7		8,075			6,389
Royal Caribbean Cruises Ltd. 11.875% 2015		5,150			6,257
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 20125		7,525			5,982
CityCenter Holdings, LLC and CityCenter Finance Corp. 7.625% 2016		3,000			3,180
Seneca Gaming Corp. 8.25% 20183		2,775			2,858
Marina District Finance Co., Inc. 9.50% 2015		2,000			1,950
Education Management LLC and Education Management Finance Corp. 8.75% 2014		2,025			1,812
Choice Hotels International Inc. 5.75% 2022		800			839
					161,806
RETAILING — 0.42%
Macy’s Retail Holdings, Inc. 7.875% 20152		21,050			24,649
Federated Department Stores, Inc. 6.90% 2029		3,288			3,902
Macy’s Retail Holdings, Inc. 5.125% 2042		4,000			4,233
Staples, Inc. 9.75% 2014		23,470			26,244
Nordstrom, Inc. 6.75% 2014		18,975			21,050
Neiman Marcus Group, Inc. 10.375% 2015		2,000			2,080
Neiman Marcus Group, Inc., Term Loan B, 4.75% 20181,2,4		12,335			12,220
Toys “R” Us-Delaware, Inc., Term Loan B, 6.00% 20161,2,4		4,274			4,034
Toys “R” Us Property Co. II, LLC 8.50% 2017		8,275			8,658
Toys “R” Us Property Co. I, LLC 10.75% 2017		650			713
Home Depot, Inc. 4.40% 2021		7,500			8,679
Marks and Spencer Group PLC 6.25% 20173		885			975
Marks and Spencer Group PLC 7.125% 20373		5,856			6,215
Michaels Stores, Inc. 13.00% 2016		4,245			4,558
Bon-Ton Department Stores, Inc. 10.25% 2014		5,240			4,454
J.C. Penney Co., Inc. 5.75% 2018		1,000			911
J.C. Penney Co., Inc. 5.65% 2020		3,000			2,595
PETCO Animal Supplies, Inc. 9.25% 20183		2,050			2,250
Target Corp. 0.636% 20142		2,000			2,007
Lowe’s Companies, Inc. 3.12% 2022		1,500			1,539
					141,966
AUTOMOBILES & COMPONENTS — 0.27%
DaimlerChrysler North America Holding Corp. 6.50% 2013		16,775			17,989
Daimler Finance NA LLC 2.625% 20163		21,550			22,206
Daimler Finance NA LLC 3.00% 20163		2,000			2,080
DaimlerChrysler North America Holding Corp. 8.50% 2031		9,000			13,821
Volkswagen International Finance NV 1.078% 20142,3		13,000			12,980
Volkswagen International Finance NV 2.875% 20163		3,000			3,123
Volkswagen International Finance NV 4.00% 20203		11,650			12,697
Dynacast International Ltd. 9.25% 20193		2,325			2,424
Tower Automotive Holdings 10.625% 20173		1,797			1,914
					89,234
CONSUMER DURABLES & APPAREL — 0.02%
Mattel, Inc. 2.50% 2016		5,000			5,143
Jarden Corp. 8.00% 2016		3,020			3,307
					8,450
INDUSTRIALS — 2.96%
CAPITAL GOODS — 1.67%
General Electric Capital Corp., Series A, 2.25% 2015		19,500			19,915
General Electric Capital Corp. 2.95% 2016		2,790			2,883
General Electric Capital Corp. 3.35% 2016		21,500			22,680
General Electric Capital Corp. 2.30% 2017		17,920			18,070
General Electric Corp. 5.25% 2017		6,235			7,293
General Electric Capital Corp., Series A, 5.625% 2018		4,000			4,606
General Electric Capital Corp., Series A, 6.00% 2019		26,050			30,543
General Electric Capital Corp. 4.65% 2021		16,500			18,373
United Technologies Corp. 1.20% 2015		2,795			2,830
United Technologies Corp. 1.80% 2017		5,770			5,902
United Technologies Corp. 4.50% 2020		8,430			9,793
United Technologies Corp. 3.10% 2022		24,565			25,818
United Technologies Corp. 4.50% 2042		16,195			17,892
Volvo Treasury AB 5.95% 20153		56,693			61,902
Hawker Beechcraft Acquisition Co., LLC, Debtor in Possession Delayed Draw, 9.75% 20121,2,4		7,718			7,861
Hawker Beechcraft Acquisition Co., LLC, Letter of Credit, 2.361% 20141,2,4		2,382			1,358
Hawker Beechcraft Acquisition Co., LLC, Term Loan B, 4.25% 20141,2,4		47,542			27,099
Hawker Beechcraft Acquisition Co., LLC, Term Loan B, 10.75% 20141,2,4		2,344			1,363
Hawker Beechcraft Acquisition Co., LLC 8.875% 20155,6		1,568			267
Hawker Beechcraft Acquisition Co., LLC 9.75% 20175		2,185			22
Ply Gem Industries, Inc. 13.125% 2014		7,055			7,178
Ply Gem Industries, Inc. 8.25% 2018		24,595			24,226
JELD-WEN Escrow Corp. 12.25% 20173		25,000			28,250
Northrop Grumman Corp. 3.70% 2014		9,500			9,993
Northrop Grumman Corp. 5.05% 2019		14,180			16,396
Associated Materials, LLC and AMH New Finance, Inc. 9.125% 2017		27,305			24,506
US Investigations Services, Inc., Term Loan B, 2.994% 20151,2,4		521			496
US Investigations Services, Inc., Term Loan D, 7.75% 20151,2,4		4,929			4,913
US Investigations Services, Inc. 10.50% 20153		7,200			6,588
US Investigations Services, Inc. 11.75% 20163		6,610			5,850
Nortek Inc. 10.00% 2018		8,000			8,440
Nortek Inc. 8.50% 2021		9,220			9,059
ABB Finance (USA) Inc. 1.625% 2017		9,245			9,305
ABB Finance (USA) Inc. 2.875% 2022		6,750			6,848
DAE Aviation Holdings, Inc. and Standard Aero Ltd., Term Loan B1, 5.47% 20141,2,4		813			806
DAE Aviation Holdings, Inc. and Standard Aero Ltd., Term Loan B2, 5.47% 20141,2,4		773			766
DAE Aviation Holdings, Inc. 11.25% 20153		13,605			14,081
BAE Systems Holdings Inc. 4.95% 20143		13,505			14,218
Raytheon Co. 6.75% 2018		4,030			4,951
Raytheon Co. 4.40% 2020		7,895			8,984
Euramax International, Inc. 9.50% 2016		13,010			11,546
Honeywell International Inc. 5.00% 2019		8,725			10,399
Hutchison Whampoa International Ltd. 6.50% 20133		7,200			7,431
Esterline Technologies Corp. 6.625% 2017		2,495			2,592
Esterline Technologies Corp. 7.00% 2020		3,475			3,840
Danaher Corp. 2.30% 2016		1,065			1,113
Danaher Corp. 3.90% 2021		4,000			4,468
Atlas Copco AB 5.60% 20173		4,525			5,243
Ashtead Capital, Inc. 9.00% 20163		4,950			5,154
John Deere Capital Corp., Series D, 4.50% 2013		2,000			2,061
Deere & Co. 2.60% 2022		2,600			2,603
Odebrecht Finance Ltd 7.00% 2020		2,350			2,585
Odebrecht Finance Ltd 5.125% 20223		1,000			993
Odebrecht Finance Ltd 6.00% 20233		500			529
BE Aerospace, Inc. 5.25% 2022		2,940			3,036
Eaton Corp. 0.798% 20142		2,000			2,007
H&E Equipment Services, Inc. 8.375% 2016		1,850			1,917
RBS Global, Inc. and Rexnord LLC 8.50% 2018		1,650			1,799
					561,640
TRANSPORTATION — 1.23%
Continental Airlines, Inc., Series 1997-1, Class A, 7.461% 20161		4,937			5,057
Continental Airlines, Inc., Series 2001-1, Class B, 7.373% 20171		60			61
Continental Airlines, Inc., Series 1998-1, Class B, 6.748% 20181		726			729
Continental Airlines, Inc., Series 1997-4B, Class B, 6.90% 20181		102			103
Continental Airlines, Inc., Series 1998-1, Class A, 6.648% 20191		12,533			13,249
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20191		17,369			18,498
Continental Airlines, Inc., Series 2000-2, Class B, 8.307% 20191		307			315
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20201		11,313			12,310
Continental Airlines, Inc., Series 1999-1, Class B, 6.795% 20201		6,072			6,132
Continental Airlines, Inc., Series 1999-2, Class A-1, 7.256% 20211		262			287
United Air Lines, Inc., Series 2007-1, Class B, 7.336% 20211,3		799			783
Continental Airlines, Inc., Series 1999-2, Class B, 7.566% 20211		1,427			1,461
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20221		10,892			11,845
Continental Airlines, Inc., Series 2007-1, Class B, 6.903% 20221		3,816			3,921
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707% 20221		12,581			13,887
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20221		10,133			11,311
Continental Airlines, Inc., Series 2000-1, Class B, 8.388% 20221		901			923
Union Pacific Corp. 5.125% 2014		8,430			9,001
Union Pacific Corp. 5.75% 2017		12,250			14,590
Union Pacific Corp. 4.00% 2021		14,000			15,435
Union Pacific Corp. 4.163% 2022		7,437			8,309
Union Pacific Railroad Co. Pass Through Trust, Series 2001-1, 6.63% 20221		6,078			7,018
Union Pacific Corp. 6.15% 2037		10,930			14,089
Northwest Airlines, Inc., Term Loan B, 3.97% 20131,2,4		1,365			1,368
Delta Air Lines, Inc., Series 2002-1, Class G-2, MBIA insured, 6.417% 20141		5,040			5,040
Northwest Airlines, Inc., Term Loan A, 2.22% 20181,2,4		53,164			50,771
Delta Air Lines, Inc., Series 2002-1, Class G-1, MBIA insured, 6.718% 20241		87			94
Norfolk Southern Corp. 5.75% 2016		5,740			6,612
Norfolk Southern Corp. 5.75% 2018		5,000			5,941
Norfolk Southern Corp. 5.90% 2019		9,250			11,319
Norfolk Southern Corp. 3.25% 2021		2,000			2,073
Norfolk Southern Corp. 3.00% 2022		15,250			15,471
Norfolk Southern Corp. 4.837% 2041		1,118			1,241
Burlington Northern Santa Fe LLC 7.00% 2014		1,875			2,057
Burlington Northern Santa Fe LLC 5.65% 2017		12,500			14,678
Burlington Northern Santa Fe LLC 5.75% 2018		9,035			10,761
Burlington Northern Santa Fe, LLC 3.60% 2020		7,500			7,960
Burlington Northern Santa Fe LLC 3.45% 2021		2,800			2,937
Burlington Northern Santa Fe LLC 6.15% 2037		2,500			3,081
Burlington Northern Santa Fe, LLC 5.05% 2041		500			553
CEVA Group PLC 11.625% 20163		5,715			5,986
CEVA Group PLC 8.375% 20173		5,925			5,777
CEVA Group PLC 11.50% 20183		5,305			4,881
CEVA Group PLC 12.75% 20203		27,200			24,820
Canadian National Railway Co. 1.45% 2016		6,090			6,133
Canadian National Railway Co. 5.55% 2018		2,250			2,692
Canadian National Railway Co. 2.85% 2021		10,000			10,374
CSX Corp. 5.75% 2013		8,385			8,667
CSX Corp. 7.375% 2019		7,500			9,585
AMR Corp. 9.00% 20125		1,300			774
American Airlines, Inc., Series 2001-1, Class B, 7.377% 20191		235			102
American Airlines, Inc., Series 2011-2, Class A, 8.625% 20231		10,190			10,840
Navios Maritime Acquisition Corporation and Navios Acquisition Finance (US) Inc. 8.625% 2017		7,850			7,340
Navios Maritime Holdings Inc. and Navios Maritime Finance II (US) Inc. 8.125% 2019		2,925			2,516
Navios Logistics Finance (US) Inc., 9.25% 2019		375			347
CMA CGM 8.50% 20173		2,025			1,124
					413,229
COMMERCIAL & PROFESSIONAL SERVICES — 0.06%
Republic Services, Inc. 3.80% 2018		2,000			2,143
Republic Services, Inc. 5.00% 2020		5,000			5,670
Republic Services, Inc. 3.55% 2022		500			507
Republic Services, Inc. 5.70% 2041		2,000			2,306
Waste Management, Inc. 2.60% 2016		3,330			3,422
Waste Management, Inc. 4.60% 2021		5,455			6,083
Nielsen Finance LLC and Nielsen Finance Co. 11.625% 2014		211			243
					20,374
HEALTH CARE — 2.84%
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.71%
GlaxoSmithKline Capital Inc. 4.85% 2013		20,000			20,767
GlaxoSmithKline Capital PLC 1.50% 2017		19,750			19,818
GlaxoSmithKline Capital Inc. 5.65% 2018		15,000			18,165
GlaxoSmithKline Capital PLC 2.85% 2022		18,500			18,875
GlaxoSmithKline Capital Inc. 6.375% 2038		7,100			9,811
Roche Holdings Inc. 5.00% 20143		6,685			7,137
Roche Holdings Inc. 6.00% 20193		46,020			57,375
Roche Holdings Inc. 7.00% 20393		13,310			19,506
Gilead Sciences, Inc. 2.40% 2014		7,215			7,441
Gilead Sciences, Inc. 3.05% 2016		15,695			16,593
Gilead Sciences, Inc. 4.40% 2021		36,310			40,185
Gilead Sciences, Inc. 5.65% 2041		13,805			16,176
Amgen Inc. 2.50% 2016		27,200			28,302
Amgen Inc. 2.125% 2017		22,567			22,869
Amgen Inc. 3.875% 2021		1,000			1,059
Amgen Inc. 3.625% 2022		7,560			7,840
Amgen Inc. 5.15% 2041		7,250			7,608
Amgen Inc. 5.375% 2043		1,060			1,153
Novartis Capital Corp. 1.90% 2013		15,000			15,190
Novartis Capital Corp. 4.125% 2014		11,025			11,644
Novartis Securities Investment Ltd. 5.125% 2019		27,530			32,888
Biogen Idec Inc. 6.00% 2013		30,050			31,036
Biogen Idec Inc. 6.875% 2018		17,000			20,782
Pfizer Inc 5.35% 2015		125			140
Pfizer Inc 6.20% 2019		18,140			22,781
inVentiv Health Inc. 10.00% 20183		19,040			16,470
inVentiv Health Inc. 10.00% 20183		7,370			6,338
Schering-Plough Corp. 5.30% 20132		6,000			6,397
Schering-Plough Corp. 5.375% 2014	€	6,395			8,878
Schering-Plough Corp. 6.00% 2017	$	5,300			6,491
Quintiles, Term Loan B, 5.00% 20181,2,4		15,370			15,245
Alkermes, Inc., Term Loan B, 6.75% 20171,2,4		8,676			8,730
Alkermes, Inc., Term Loan B, 9.50% 20181,2,4		3,555			3,635
AstraZeneca PLC 5.40% 2012		12,000			12,118
Sanofi 0.771% 20142		10,000			10,042
Elan Finance PLC and Elan Finance Corp. 8.75% 2016		4,600			5,020
Elan Finance PLC and Elan Finance Corp. 8.75% 2016		1,750			1,916
Patheon Inc. 8.625% 20173		6,507			6,377
Grifols Inc. 8.25% 2018		5,065			5,457
Johnson & Johnson 0.557% 20142		5,000			5,027
					573,282
HEALTH CARE EQUIPMENT & SERVICES — 1.13%
Express Scripts Inc. 2.75% 20143		16,000			16,354
Express Scripts Inc. 6.25% 2014		27,133			29,683
Medco Health Solutions, Inc. 2.75% 2015		10,310			10,611
Express Scripts Inc. 3.125% 2016		18,427			19,210
Express Scripts Inc. 3.50% 20163		3,000			3,163
Express Scripts Inc. 2.65% 20173		15,000			15,284
Express Scripts Inc. 4.75% 20213		13,500			14,979
Express Scripts Inc. 3.90% 20223		12,000			12,473
Express Scripts Inc. 6.125% 20413		5,500			6,718
Cardinal Health, Inc. 5.50% 2013		4,035			4,201
Cardinal Health, Inc. 4.00% 2015		6,490			6,970
Cardinal Health, Inc. 1.90% 2017		3,550			3,582
Cardinal Health, Inc. 4.625% 2020		6,020			6,762
Cardinal Health, Inc. 3.20% 2022		675			686
Allegiance Corp. 7.00% 2026		9,635			12,580
UnitedHealth Group Inc. 6.00% 2017		21,892			26,400
UnitedHealth Group Inc. 5.70% 2040		1,250			1,548
UnitedHealth Group Inc. 4.625% 2041		5,000			5,403
PTS Acquisition Corp. 9.50% 20156		18,558			19,092
PTS Acquisition Corp. 9.75% 2017	€	8,775			11,216
Kinetic Concepts, Inc. 10.50% 20183	$	19,650			20,731
Kinetic Concepts, Inc. 12.50% 20193		9,000			8,235
VWR Funding, Inc., Series B, 10.25% 20156		21,784			22,546
Tenet Healthcare Corp. 7.375% 2013		3,195			3,291
Tenet Healthcare Corp. 9.25% 2015		11,600			12,963
Boston Scientific Corp. 6.00% 2020		10,900			13,028
Coventry Health Care, Inc. 6.30% 2014		11,395			12,394
DENTSPLY International Inc. 1.967% 20132		5,000			5,029
DENTSPLY International Inc. 2.75% 2016		5,620			5,722
Symbion Inc. 8.00% 2016		10,050			10,050
Multiplan Inc. 9.875% 20183		7,880			8,668
Rotech Healthcare Inc. 10.50% 2018		12,400			6,324
Merge Healthcare Inc 11.75% 2015		5,250			5,447
Surgical Care Affiliates, Inc. 8.875% 20152,3,6		3,927			3,986
Surgical Care Affiliates, Inc. 10.00% 20173		925			932
Bausch & Lomb Inc. 9.875% 2015		4,625			4,856
Centene Corp. 5.75% 2017		3,760			3,798
WellPoint, Inc. 3.125% 2022		1,000			1,011
WellPoint, Inc. 4.625% 2042		2,000			2,073
McKesson Corp. 3.25% 2016		1,580			1,698
McKesson Corp. 6.00% 2041		1,045			1,384
					381,081
UTILITIES — 2.39%
Consumers Energy Co., First Mortgage Bonds, 5.15% 2017		11,574			13,318
Consumers Energy Co. 5.65% 2018		6,925			8,397
Consumers Energy Co., First Mortgage Bonds, 6.125% 2019		36,427			44,961
Consumers Energy Co., First Mortgage Bonds, 6.70% 2019		4,278			5,511
Consumers Energy Co. 5.65% 2020		2,090			2,557
Consumers Energy Co. 2.85% 2022		19,000			19,385
MidAmerican Energy Holdings Co. 5.875% 2012		15,000			15,189
MidAmerican Energy Co. 4.65% 2014		5,000			5,405
MidAmerican Energy Holdings Co., Series D, 5.00% 2014		225			240
MidAmerican Energy Co. 5.95% 2017		3,000			3,590	��
MidAmerican Energy Co. 5.30% 2018		5,000			5,888
MidAmerican Energy Holdings Co. 5.75% 2018		37,700			44,797
PacifiCorp., First Mortgage Bonds, 2.95% 2022		10,000			10,299
National Rural Utilities Cooperative Finance Corp. 5.50% 2013		21,750			22,829
National Rural Utilities Cooperative Finance Corp. 10.375% 2018		41,425			60,130
Niagara Mohawk Power 3.553% 20143		14,850			15,658
National Grid PLC 6.30% 2016		37,605			43,442
National Grid Co. PLC 5.875% 2024	£	170			323
Northern States Power Co., First Mortgage Bonds, 5.25% 2018	$	6,500			7,752
Public Service Co. of Colorado 5.80% 2018		9,728			11,934
Public Service Co. of Colorado 5.125% 2019		4,950			5,917
Public Service Co. of Colorado 3.20% 2020		14,945			16,051
Xcel Energy Inc. 4.70% 2020		2,500			2,895
Northern States Power Co., First Mortgage Bonds, 7.125% 2025		6,842			9,673
CenterPoint Energy Houston Electric, LLC, General Mortgage Bonds, Series U, 7.00% 2014		1,700			1,873
CenterPoint Energy Resources Corp. 4.50% 2021		41,336			45,238
Teco Finance, Inc. 6.75% 2015		15,546			17,666
Teco Finance, Inc. 4.00% 2016		3,303			3,539
Teco Finance, Inc. 6.572% 2017		4,163			5,029
Teco Finance, Inc. 5.15% 2020		8,429			9,656
Tampa Electric Co. 4.10% 2042		5,060			5,127
Iberdrola Finance Ireland 3.80% 20143		17,515			17,054
Scottish Power PLC 5.375% 2015		15,000			15,512
Ohio Edison Co. 6.40% 2016		6,260			7,206
Cleveland Electric Illuminating Co. 8.875% 2018		12,864			17,223
Toledo Edison Co. 7.25% 2020		5,025			6,453
Sierra Pacific Power Co., General and Refunding Mortgage Notes, Series Q, 5.45% 2013		4,275			4,486
Nevada Power Co., General and Refunding Mortgage Notes, Series L, 5.875% 2015		4,550			5,069
Nevada Power Co., General and Refunding Mortgage Notes, Series M, 5.95% 2016		1,000			1,146
Nevada Power Co., General and Refunding Mortgage Notes, Series S, 6.50% 2018		13,455			16,659
Nevada Power Co., General and Refunding Mortgage Notes, Series O, 6.50% 2018		460			567
Nevada Power Co., General and Refunding Mortgage Notes, Series V, 7.125% 2019		306			391
TXU, Term Loan, 4.741% 20171,2,4		32,068			19,260
Texas Competitive Electric Holdings Co. LLC, 11.50% 20203		12,560			8,635
Abu Dhabi National Energy Co. PJSC (TAQA) 6.165% 20173		12,000			13,740
Abu Dhabi National Energy Co. PJSC (TAQA) 6.165% 2017		2,700			3,091
Abu Dhabi National Energy Co. PJSC (TAQA) 5.875% 20213		3,055			3,395
Abu Dhabi National Energy Co. PJSC (TAQA) 6.50% 20363		2,000			2,235
Abu Dhabi National Energy Co. PJSC (TAQA) 6.50% 2036		1,500			1,676
E.ON International Finance BV 5.80% 20183		20,500			24,053
Virginia Electric and Power Co., Series B, 5.95% 2017		10,000			12,167
Virginia Electric and Power Co. 2.95% 2022		8,000			8,266
AES Corp. 7.75% 2015		6,575			7,413
AES Corp. 8.00% 2020		8,350			9,623
Entergy Corp. 4.70% 2017		14,900			15,651
Veolia Environnement 6.00% 2018		11,445			12,691
Veolia Environnement 6.125% 2033	€	1,075			1,555
Ohio Power Co., Series H, 4.85% 2014	$	5,965			6,284
Ohio Power Co., Series M, 5.375% 2021		2,950			3,492
Midwest Generation, LLC, Series B, 8.56% 20161		9,316			8,944
Empresa Nacional de Electricidad SA 8.35% 2013		5,000			5,325
Empresa Nacional de Electricidad SA 8.625% 2015		3,000			3,530
CEZ, a s 4.25% 20223		8,480			8,731
Progress Energy, Inc. 6.05% 2014		2,100			2,275
Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc. 2.80% 2022		6,000			6,117
SP PowerAssets Ltd. 5.00% 20133		8,000			8,367
PG&E Corp. 5.75% 2014		2,000			2,153
Pacific Gas and Electric Co. 8.25% 2018		4,000			5,401
Consolidated Edison Company of New York, Inc., Series 2012 A,  4.20% 2042		6,470			6,936
Colbun SA 6.00% 20203		5,400			5,837
PSEG Power LLC 2.75% 2016		3,140			3,198
Public Service Electric and Gas Co., Series E, 5.30% 2018		2,190			2,607
Israel Electric Corp. Ltd. 8.10% 20963		6,250			5,803
Old Dominion Electric Cooperative, Series 2003-A, 5.676% 20281		4,958			5,762
Enel Finance International SA 3.875% 20143		3,235			3,183
Electricité de France SA 5.50% 20143		3,000			3,178
Wisconsin Electric Power Co. 2.95% 2021		3,000			3,129
Tri-State Generation and Transmission Assn. Inc., Pass Through Trust, Series 2003-A, 6.04% 20181,3		1,858			2,011
					801,749
TELECOMMUNICATION SERVICES — 2.21%
ALLTEL Corp. 7.00% 2012		10,375			10,375
Verizon Communications Inc. 3.00% 2016		24,000			25,542
Verizon Communications Inc. 8.50% 2018		8,000			10,967
Verizon Communications Inc. 8.75% 2018		26,000			35,803
Verizon Communications Inc. 4.75% 2041		7,250			8,019
AT&T Inc. 0.875% 2015		10,000			10,000
SBC Communications Inc. 5.625% 2016		22,575			26,170
AT&T Inc. 1.70% 2017		12,480			12,559
AT&T Inc. 3.875% 2021		8,000			8,738
AT&T Inc. 5.35% 2040		13,425			15,488
AT&T Inc. 5.55% 2041		13,220			15,842
Telecom Italia Capital SA 5.25% 2015		25,674			25,481
Telecom Italia Capital SA 6.999% 2018		28,176			28,176
Telecom Italia Capital SA 7.175% 2019		19,186			19,186
Telecom Italia Capital SA 6.375% 2033		2,455			1,939
Telecom Italia Capital SA 7.20% 2036		5,895			5,025
Telecom Italia Capital SA 7.721% 2038		5,757			5,066
Nextel Communications, Inc., Series E, 6.875% 2013		272			274
Nextel Communications, Inc., Series F, 5.95% 2014		29,570			29,755
Nextel Communications, Inc., Series D, 7.375% 2015		19,100			19,219
Sprint Nextel Corp. 8.375% 2017		2,500			2,575
Sprint Nextel Corp. 9.125% 20173		9,250			9,736
Sprint Nextel Corp. 11.50% 20213		9,550			10,672
Deutsche Telekom International Finance BV 4.875% 2014		16,250			17,286
Deutsche Telekom International Finance BV 3.125% 20163		12,175			12,608
Deutsche Telekom International Finance BV 2.25% 20173		5,500			5,443
Deutsche Telekom International Finance BV 9.25% 2032		14,444			21,424
Deutsche Telekom International Finance BV 4.875% 20423		4,000			3,820
Clearwire Communications and Clearwire Finance, Inc., Series A, 12.00% 20153		26,195			23,968
Clearwire Communications and Clearwire Finance, Inc., Series B, 12.00% 20153		24,450			22,372
Clearwire Communications and Clearwire Finance, Inc. 14.75% 20163		1,925			1,896
Clearwire Communications and Clearwire Finance, Inc. 12.00% 20173		2,735			2,243
Koninklijke KPN NV 8.375% 2030		30,670			39,389
Cricket Communications, Inc. 10.00% 2015		27,685			28,654
Cricket Communications, Inc. 7.75% 2016		9,175			9,783
Cricket Communications, Inc. 7.75% 2020		250			240
France Télécom 4.375% 2014		11,440			12,024
France Télécom 2.125% 2015		19,155			19,280
France Télécom 4.125% 2021		3,000			3,147
Telefónica Emisiones, SAU 3.992% 2016		22,600			20,227
Telefónica Emisiones, SAU 5.134% 2020		3,604			3,111
Telefónica Emisiones, SAU 5.462% 2021		7,927			6,919
Telefónica Europe BV 8.25% 2030		1,675			1,625
Telefónica Emisiones, SAU 7.045% 2036		84			74
Digicel Group Ltd. 12.00% 20143		5,000			5,550
Digicel Group Ltd. 8.875% 20153		25,040			25,416
Wind Acquisition SA 11.75% 20173		26,912			21,866
Wind Acquisition SA 7.25% 20183		9,275			8,162
Vodafone Group PLC, Term Loan B, 6.875% 20151,4,6		5,095			5,171
Vodafone Group PLC, Term Loan B, 6.25% 20161,4,6,8		5,491			5,574
Vodafone Group PLC 5.45% 2019		12,500			15,031
Frontier Communications Corp. 8.25% 2017		14,620			15,790
Frontier Communications Corp. 8.125% 2018		1,500			1,601
Frontier Communications Corp. 8.50% 2020		2,950			3,142
Frontier Communications Corp. 9.25% 2021		2,450			2,646
Frontier Communications Corp. 8.75% 2022		1,275			1,345
América Móvil, SAB de CV 2.375% 2016		3,000			3,094
América Móvil, SAB de CV 5.00% 2020		6,700			7,647
América Móvil, SAB de CV 8.46% 2036	MXN27,000				2,128
LightSquared, Term Loan B, 12.00% 20141,4,5,6	$	18,669			12,718
Trilogy International Partners, LLC, 10.25% 20163		8,600			7,052
Crown Castle International Corp. 9.00% 2015		2,550			2,792
Crown Castle International Corp. 7.75% 20173		300			327
Level 3 Communications, Inc. 11.875% 2019		1,000			1,111
Syniverse Holdings, Inc. 9.125% 2019		500			545
SBA Telecommunications, Inc. 8.00% 2016		471			504
					741,352
CONSUMER STAPLES — 2.09%
FOOD, BEVERAGE & TOBACCO — 1.49%
Anheuser-Busch InBev NV 2.50% 2013		3,000			3,042
Anheuser-Busch InBev NV 0.827% 20142		8,710			8,764
Anheuser-Busch InBev NV 3.625% 2015		25,250			27,058
Anheuser-Busch InBev NV 4.125% 2015		34,375			37,073
Anheuser-Busch InBev NV 8.625% 2017	€	2,500			4,156
Anheuser-Busch InBev NV 6.875% 2019	$	6,740			8,714
Anheuser-Busch InBev NV 7.75% 2019		16,250			21,503
Anheuser-Busch InBev NV 5.375% 2020		3,000			3,583
Anheuser-Busch InBev NV 6.375% 2040		2,500			3,437
SABMiller Holdings Inc. 1.85% 20153		3,000			3,045
SABMiller Holdings Inc. 2.45% 20173		47,360			48,889
SABMiller Holdings Inc. 3.75% 20223		11,000			11,731
SABMiller Holdings Inc. 4.95% 20423		5,000			5,565
Kraft Foods Inc. 2.625% 2013		3,830			3,888
Kraft Foods Inc. 1.625% 20153		9,120			9,224
Kraft Foods Inc. 2.25% 20173		8,050			8,256
Kraft Foods Inc. 6.125% 2018		7,250			8,702
Kraft Foods Inc. 5.375% 2020		6,500			7,709
Kraft Foods Inc. 3.50% 20223		21,180			21,798
Kraft Foods Inc. 6.50% 2040		5,000			6,455
Kraft Foods Inc. 5.00% 20423		3,000			3,192
Coca-Cola Co. 1.50% 2015		21,970			22,469
Coca-Cola Co. 1.80% 2016		22,815			23,399
Coca-Cola Co. 3.15% 2020		9,190			9,871
Altria Group, Inc. 9.25% 2019		13,000			18,096
Altria Group, Inc. 4.75% 2021		6,000			6,822
Altria Group, Inc. 9.95% 2038		6,350			10,139
Altria Group, Inc. 10.20% 2039		4,000			6,534
British American Tobacco International Finance PLC 2.125% 20173		23,125			23,132
British American Tobacco International Finance PLC 9.50% 20183		13,000			17,730
Pernod Ricard SA 2.95% 20173		16,500			16,727
Pernod Ricard SA 4.45% 20223		16,500			17,143
Pernod Ricard SA 5.50% 20423		4,000			4,117
PepsiCo, Inc. 3.10% 2015		17,000			17,918
PepsiCo, Inc. 2.50% 2016		7,500			7,884
PepsiCo, Inc. 4.00% 2042		1,500			1,577
Philip Morris International Inc. 1.625% 2017		4,500			4,555
Philip Morris International Inc. 2.90% 2021		11,200			11,567
Philip Morris International Inc. 4.375% 2041		4,000			4,150
Fortune Brands, Inc. 6.375% 2014		6,467			7,088
Del Monte Corp. 7.625% 2019		4,000			4,055
BFF International Ltd. 7.25% 20203		2,500			2,844
CEDC Finance Corp. 9.125% 20163		3,500			2,231
Smithfield Foods, Inc., Series B, 7.75% 2013		81			85
Smithfield Foods, Inc. 10.00% 2014		1,321			1,514
Constellation Brands, Inc. 8.375% 2014		550			627
Constellation Brands, Inc. 7.25% 2017		750			861
TreeHouse Foods, Inc. 7.75% 2018		1,200			1,303
Cott Beverages Inc. 8.375% 2017		1,000			1,092
Tyson Foods, Inc. 6.85% 20162		500			574
					501,888
FOOD & STAPLES RETAILING — 0.59%
Kroger Co. 5.00% 2013		18,000			18,551
Kroger Co. 7.50% 2014		6,500			7,129
Kroger Co. 3.90% 2015		10,000			10,797
Kroger Co. 6.40% 2017		29,450			35,262
Kroger Co. 3.40% 2022		2,500			2,505
Wal-Mart Stores, Inc. 2.875% 2015		11,550			12,255
Wal-Mart Stores, Inc. 2.80% 2016		11,500			12,329
Wal-Mart Stores, Inc. 5.80% 2018		11,095			13,696
Rite Aid Corp. 9.75% 2016		23,550			26,082
Rite Aid Corp. 10.25% 2019		40			45
Rite Aid Corp. 8.00% 2020		3,075			3,498
Delhaize Group 5.875% 2014		2,850			3,002
Delhaize Group 6.50% 2017		16,205			18,032
Delhaize Group 5.70% 2040		2,465			2,080
Safeway Inc. 5.00% 2019		16,000			16,585
Safeway Inc. 3.95% 2020		3,292			3,184
Tesco PLC 5.50% 20173		12,459			14,489
					199,521
HOUSEHOLD & PERSONAL PRODUCTS — 0.01%
Procter & Gamble Co. 3.50% 2015		150			161
Procter & Gamble Co. 1.45% 2016		2,645			2,700
					2,861
MATERIALS — 1.52%
ArcelorMittal 5.375% 2013		6,500			6,686
ArcelorMittal 3.75% 2015		24,000			24,154
ArcelorMittal 4.50% 2017		25,865			25,506
ArcelorMittal 9.85% 2019		4,000			4,769
ArcelorMittal 5.50% 2021		20,315			19,274
ArcelorMittal 6.25% 2022		4,875			4,787
ArcelorMittal 7.00% 2039		1,000			975
ArcelorMittal 6.75% 2041		9,500			8,904
Rio Tinto Finance (USA) Ltd. 8.95% 2014		5,000			5,712
Rio Tinto Finance (USA) Ltd. 2.25% 2016		10,500			10,870
Rio Tinto Finance (USA) Ltd. 2.50% 2016		14,650			15,245
Rio Tinto Finance (USA) Ltd. 9.00% 2019		12,670			17,356
Rio Tinto Finance (USA) PLC 3.50% 2022		2,000			2,114
International Paper Co. 7.40% 2014		24,650			27,333
International Paper Co. 7.95% 2018		8,300			10,477
International Paper Co. 4.75% 2022		1,500			1,642
Xstrata Canada Financial Corp. 2.85% 20143		7,000			7,138
Xstrata Canada Financial Corp. 3.60% 20173		13,000			13,408
Xstrata Canada Financial Corp. 4.95% 20213		15,750			16,316
Dow Chemical Co. 7.60% 2014		20,250			22,554
Dow Chemical Co. 5.70% 2018		3,500			4,104
Dow Chemical Co. 4.25% 2020		3,000			3,268
Dow Chemical Co. 4.125% 2021		5,000			5,377
Reynolds Group 8.75% 20163		11,710			12,383
Reynolds Group 9.25% 20183		390			384
Reynolds Group 7.875% 20193		2,605			2,833
Reynolds Group 9.875% 20193		6,600			6,856
Reynolds Group 9.875% 20193		5,560			5,775
Newcrest Finance Pty Ltd. 4.45% 20213		23,285			23,958
Newcrest Finance Pty Ltd. 5.75% 20413		4,000			4,221
Teck Resources Ltd. 3.15% 2017		2,055			2,123
Teck Resources Ltd. 4.75% 2022		13,360			14,394
Teck Resources Ltd. 6.25% 2041		6,750			7,594
Cliffs Natural Resources Inc. 4.875% 2021		19,870			19,563
Cliffs Natural Resources Inc. 6.25% 2040		3,625			3,576
BHP Billiton Finance (USA) Ltd. 5.50% 2014		8,795			9,532
BHP Billiton Finance (USA) Ltd. 1.00% 2015		5,000			5,012
BHP Billiton Finance (USA) Ltd. 1.625% 2017		8,000			8,068
Georgia Gulf Corp. 9.00% 20173		15,825			17,724
POSCO 4.25% 20203		15,000			15,403
CEMEX Finance LLC 9.50% 2016		5,925			5,807
CEMEX Finance LLC 9.50% 20163		5,200			5,096
CEMEX SA 9.25% 20203		1,126			959
Ecolab Inc. 3.00% 2016		7,820			8,256
Ecolab Inc. 4.35% 2021		1,000			1,111
Ecolab Inc. 5.50% 2041		1,250			1,508
Inmet Mining Corp. 8.75% 20203		10,925			10,870
Newpage Corp. 11.375% 20145		11,460			7,506
MacDermid 9.50% 20173		5,870			6,163
JMC Steel Group Inc. 8.25% 20183		5,000			4,987
Ball Corp. 7.125% 2016		1,270			1,389
Ball Corp. 5.75% 2021		1,850			1,998
Ball Corp. 5.00% 2022		1,405			1,463
Taminco Global Chemical Corp. 9.75% 20203		4,500			4,646
Smurfit Capital Funding PLC 7.50% 2025		3,345			3,362
Georgia-Pacific Corp. 5.40% 20203		2,775			3,228
Barrick Gold Corp. 3.85% 2022		3,000			3,115
FMG Resources 7.00% 20153		3,000			3,075
Yara International ASA 7.875% 20193		2,175			2,730
Arbermarle Corp. 5.10% 2015		2,156			2,346
Airgas, Inc. 7.125% 2018		2,000			2,164
ICI Wilmington, Inc. 5.625% 2013		2,000			2,106
Graphic Packaging International, Inc. 9.50% 2017		1,195			1,320
Graphic Packaging International, Inc. 7.875% 2018		700			773
E.I. du Pont de Nemours and Co. 0.888% 20142		1,000			1,009
E.I. du Pont de Nemours and Co. 5.25% 2016		500			591
Potash Corp. of Saskatchewan Inc. 5.875% 2036		1,250			1,545
Packaging Dynamics Corp. 8.75% 20163		1,430			1,509
Anglogold Ashanti Holdings Ltd. 5.375% 2020		1,380			1,421
Ardagh Packaging Finance 11.125% 20182,3,6		1,230			1,138
Praxair, Inc. 4.375% 2014		200			213
Praxair, Inc. 4.625% 2015		500			551
					511,323
INFORMATION TECHNOLOGY — 0.92%
SOFTWARE & SERVICES — 0.58%
International Business Machines Corp. 0.75% 2015		18,510			18,497
International Business Machines Corp. 1.95% 2016		15,905			16,384
International Business Machines Corp. 2.00% 2016		28,500			29,462
International Business Machines Corp. 1.875% 2019		12,000			12,155
International Business Machines Corp. 5.60% 2039		151			198
International Business Machines Corp. 4.00% 2042		3,002			3,157
First Data Corp. 9.875% 2015		3,372			3,414
First Data Corp. 9.875% 2015		874			889
First Data Corp. 10.55% 20156		4,371			4,491
First Data Corp. 11.25% 2016		46,385			43,950
First Data Corp., Term Loan D, 5.245% 20171,2,4		3,022			2,888
First Data Corp. 8.25% 20213		2,843			2,857
First Data Corp. 12.625% 2021		6,795			6,837
First Data Corp. 8.75% 20222,3,6		13,827			14,000
SRA International, Inc., Term Loan B, 6.50% 20181,2,4		12,108			11,763
SRA International, Inc. 11.00% 2019		12,080			12,201
Blackboard Inc., Term Loan B, 7.50% 20181,2,4		9,900			9,628
SunGard Data Systems Inc. 7.375% 2018		765			824
SunGard Data Systems Inc. 7.625% 2020		636			681
					194,276
TECHNOLOGY HARDWARE & EQUIPMENT — 0.21%
Cisco Systems, Inc. 0.718% 20142		14,000			14,079
Cisco Systems, Inc. 2.90% 2014		10,125			10,655
Cisco Systems, Inc. 4.45% 2020		5,000			5,786
Xerox Corp. 6.40% 2016		768			879
Xerox Corp. 2.95% 2017		19,035			19,280
Xerox Corp. 6.75% 2017		360			419
Hewlett-Packard Co. 0.867% 20142		7,000			6,943
Hewlett-Packard Co. 2.625% 2014		4,000			4,100
Jabil Circuit, Inc. 8.25% 2018		5,850			6,888
Hughes Satellite Systems Corp. 7.625% 2021		575			628
					69,657
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.13%
Freescale Semiconductor, Inc. 9.25% 20183		8,500			9,138
Freescale Semiconductor, Inc. 10.125% 20183		155			170
Freescale Semiconductor, Inc., Term Loan B, 6.00% 20191,2,4		11,721			11,572
Samsung Electronics America, Inc., 1.75% 20173		8,900			8,891
NXP BV and NXP Funding LLC 3.217% 20132		398			398
NXP BV and NXP Funding LLC 10.00% 20139		6,882			7,554
National Semiconductor Corp. 6.60% 2017		6,000			7,428
					45,151
Total corporate bonds & notes					10,027,878
BONDS & NOTES OF U.S. GOVERNMENT & GOVERNMENT AGENCIES — 23.61%
U.S. Treasury 1.375% 2012		165,780			166,524
U.S. Treasury 3.00% 201210		31,694			31,714
U.S. Treasury 1.125% 201311		216,455			218,256
U.S. Treasury 1.875% 201310		31,316			32,096
U.S. Treasury 3.375% 2013		16,275			16,779
U.S. Treasury 3.50% 2013		50,000			51,482
U.S. Treasury 3.875% 2013		25,000			25,572
U.S. Treasury 0.25% 2014		202,700			202,469
U.S. Treasury 0.25% 2014		11,750			11,740
U.S. Treasury 1.25% 2014		187,140			189,947
U.S. Treasury 1.875% 2014		81,530			83,629
U.S. Treasury 2.375% 2014		41,500			43,402
U.S. Treasury 2.625% 2014		79,340			83,078
U.S. Treasury 1.25% 2015		15,000			15,375
U.S. Treasury 1.875% 2015		40,055			41,768
U.S. Treasury 2.125% 2015		165,000			174,243
U.S. Treasury 4.25% 2015		50,000			55,867
U.S. Treasury 0.125% 201610		26,057			27,154
U.S. Treasury 0.875% 2016		114,185			115,358
U.S. Treasury 0.875% 2016		11,245			11,350
U.S. Treasury 1.00% 2016		206,090			209,392
U.S. Treasury 1.00% 2016		94,165			95,688
U.S. Treasury 1.50% 2016		26,170			27,124
U.S. Treasury 1.75% 2016		86,870			90,870
U.S. Treasury 2.00% 2016		95,000			100,236
U.S. Treasury 2.375% 2016		100,000			106,805
U.S. Treasury 2.625% 2016		43,790			47,146
U.S. Treasury 3.00% 2016		3,560			3,910
U.S. Treasury 5.125% 2016		36,000			42,282
U.S. Treasury 7.50% 2016		58,000			75,069
U.S. Treasury 0.625% 2017		5,000			4,979
U.S. Treasury 0.75% 2017		50,290			50,363
U.S. Treasury 0.875% 2017		302,100			304,517
U.S. Treasury 0.875% 2017		13,680			13,803
U.S. Treasury 1.00% 2017		308,986			313,349
U.S. Treasury 3.00% 2017		39,750			43,953
U.S. Treasury 3.25% 2017		33,850			37,853
U.S. Treasury 4.625% 2017		50,000			58,932
U.S. Treasury 8.75% 2017		25,000			34,606
U.S. Treasury 2.375% 2018		20,000			21,684
U.S. Treasury 3.50% 2018		58,625			67,116
U.S. Treasury 1.125% 2019		416,050			416,911
U.S. Treasury 3.125% 2019		74,450			84,675
U.S. Treasury 8.125% 2019		25,000			37,114
U.S. Treasury 3.50% 2020		6,825			7,980
U.S. Treasury 8.75% 2020		34,450			54,373
U.S. Treasury 2.00% 2021		50,000			51,877
U.S. Treasury 2.125% 2021		71,750			75,475
U.S. Treasury 3.625% 2021		400			473
U.S. Treasury 8.00% 2021		40,000			62,844
U.S. Treasury 8.125% 2021		22,790			35,824
U.S. Treasury 0.125% 202210		76,235			80,802
U.S. Treasury 1.75% 2022		417,001			420,792
U.S. Treasury 2.00% 2022		298,825			309,120
U.S. Treasury 7.125% 2023		85,000			130,053
U.S. Treasury 6.875% 2025		77,500			121,131
U.S. Treasury 7.625% 2025		1,550			2,539
U.S. Treasury 6.00% 2026		69,050			101,283
U.S. Treasury 6.50% 2026		28,910			44,589
U.S. Treasury 6.375% 2027		11,375			17,526
U.S. Treasury 5.25% 2028		50,000			70,422
U.S. Treasury 6.25% 2030		27,755			43,851
U.S. Treasury 4.50% 2036		158,957			213,748
U.S. Treasury 3.50% 2039		35,000			40,551
U.S. Treasury 4.25% 2039		8,165			10,678
U.S. Treasury 4.375% 2039		103,000			137,376
U.S. Treasury 3.875% 2040		29,776			36,708
U.S. Treasury 4.25% 2040		9,800			12,838
U.S. Treasury 4.625% 2040		165,695			229,514
U.S. Treasury 2.125% 204110		315			452
U.S. Treasury 3.75% 2041		317,745			383,703
U.S. Treasury 4.375% 2041		3,575			4,781
U.S. Treasury 4.75% 2041		6,220			8,797
U.S. Treasury 3.00% 2042		105,400			110,609
U.S. Treasury 3.125% 2042		183,287			197,162
Fannie Mae 0.625% 2012		83,000			83,088
Fannie Mae 0.75% 2013		99,300			99,788
Fannie Mae 4.625% 2013		36,700			38,753
Fannie Mae 2.50% 2014		7,250			7,546
Fannie Mae 3.00% 2014		9,500			10,036
Fannie Mae 0.50% 2015		17,500			17,478
Fannie Mae 5.375% 2016		10,420			12,352
Fannie Mae 6.25% 2029		400			576
Fannie Mae 6.625% 2030		2,875			4,359
Fannie Mae: 7.125% 2030		5,400			8,485
Federal Home Loan Bank 1.75% 2012		69,000			69,164
Federal Home Loan Bank, Series 363, 4.50% 2012		36,500			37,088
Federal Home Loan Bank 1.625% 2013		22,100			22,328
Federal Home Loan Bank 3.625% 2013		75,000			78,238
Federal Home Loan Bank 2.50% 2014		25,000			26,038
Federal Home Loan Bank 5.50% 2014		8,000			8,832
Federal Home Loan Bank, Series 2816, 1.00% 2017		13,035			13,102
Federal Home Loan Bank 4.125% 2020		14,525			17,201
Federal Home Loan Bank 5.50% 2036		2,600			3,531
Freddie Mac 2.125% 2012		20,000			20,089
Freddie Mac 0.50% 2014		12,400			12,428
Freddie Mac 2.50% 2014		12,000			12,460
Freddie Mac 4.50% 2014		7,400			7,875
Freddie Mac 5.00% 2014		25,000			27,324
Freddie Mac 1.75% 2015		37,350			38,794
Freddie Mac 2.50% 2016		3,500			3,748
Freddie Mac 5.50% 2016		17,980			21,402
Freddie Mac 5.00% 2017		11,500			13,695
Freddie Mac 2.375% 2022		14,500			14,979
United States Government Agency-Guaranteed (FDIC insured), Citigroup Inc. 0.467% 20122		50,000			50,061
United States Government Agency-Guaranteed (FDIC insured), Citigroup Inc. 0.468% 20122		11,020			11,025
United States Government Agency-Guaranteed (FDIC insured), Citigroup Inc. 1.875% 2012		20,000			20,102
United States Government Agency-Guaranteed (FDIC insured), Citigroup Inc. 2.125% 2012		11,000			11,005
Federal Farm Credit Banks, Consolidated Systemwide Designated Bonds, 1.875% 2012		13,500			13,599
Federal Farm Credit Banks, Consolidated Systemwide Designated Bonds, 1.625% 2014		33,700			34,685
Federal Farm Credit Banks, Consolidated Systemwide Designated Bonds, 2.625% 2014		5,000			5,202
Federal Farm Credit Banks, Consolidated Systemwide Designated Bonds, 3.00% 2014		10,000			10,567
CoBank ACB 7.875% 20183		23,615			29,032
CoBank ACB 1.068% 20222,3		34,865			27,889
Tennessee Valley Authority, Series A, 5.50% 2017		1,500			1,836
Tennessee Valley Authority, Series A, 3.875% 2021		4,125			4,775
Tennessee Valley Authority, 4.65% 2035		4,000			4,738
Tennessee Valley Authority 5.25% 2039		21,250			27,748
Tennessee Valley Authority, Series 2008, Class A, 4.875% 2048		3,200			3,992
Tennessee Valley Authority, Series A, 4.625% 2060		1,100			1,332
United States Government Agency-Guaranteed (FDIC insured), General Electric Capital Corp., Series G, 2.125% 2012		25,000			25,223
Federal Agricultural Mortgage Corp. 5.125% 20173		5,000			5,922
United States Agency for International Development, Republic of Egypt 4.45% 2015		5,000			5,563
Private Export Funding Corp., Series W, 5.00% 2016		3,400			3,994
					7,933,118
BONDS & NOTES OF GOVERNMENTS & GOVERNMENT AGENCIES OUTSIDE THE U.S. — 3.84%
Turkey (Republic of) 10.00% 2013	TRY13,350				7,470
Turkey (Republic of) 16.00% 2013		21,045			12,517
Turkey (Republic of) 10.00% 2015		13,000			7,469
Turkey (Republic of) 9.00% 2016		4,900			2,757
Turkey (Republic of) 7.50% 2017	$	5,725			6,691
Turkey (Republic of) 6.75% 2018		17,250			19,751
Turkey (Republic of) 4.00% 202010	TRY16,177				9,607
Turkey (Republic of) 10.50% 2020		4,500			2,741
Turkey (Republic of) 5.625% 2021	$	8,000			8,770
Turkey (Republic of) 8.00% 2034		1,250			1,649
Turkey (Republic of) 6.75% 2040		9,300			10,869
Brazil (Federal Republic of) 6.00% 201510	BRL 8,587				4,581
Brazil (Federal Republic of) Global 12.50% 2016		30,400			18,485
Brazil (Federal Republic of) 10.00% 2017		28,515			14,571
Brazil (Federal Republic of) 6.00% 201710		72,854			39,568
Brazil (Federal Republic of) Global 8.00% 20181	$	1,110			1,296
Brazil (Federal Republic of) Global 4.875% 2021		5,250			6,098
Brazil (Federal Republic of) Global 12.25% 2030		425			841
Brazil (Federal Republic of) Global 7.125% 2037		750			1,086
Polish Government, Series 0414, 5.75% 2014	PLN25,196				7,717
Polish Government 3.875% 2015	$	7,805			8,270
Polish Government, Series 1017, 5.25% 2017	PLN63,195				19,393
Polish Government 6.375% 2019	$	36,085			42,638
Polish Government 5.00% 2022		2,700			2,961
United Mexican States Government, Series M10, 8.00% 2015	MXN115,000				9,498
United Mexican States Government 3.50% 201710		184,639			15,738
United Mexican States Government Global 5.95% 2019	$	5,170			6,328
United Mexican States Government, Series M, 6.50% 2021	MXN292,500				23,825
United Mexican States Government Global, Series A, 3.625% 2022	$	2,750			2,926
United Mexican States Government Global, Series A, 6.75% 2034		2,495			3,418
United Mexican States Government, Series M30, 10.00% 2036	MXN 55,500				5,791
United Mexican States Government 4.00% 204010		140,136			12,485
Australia Government Agency-Guaranteed, National Australia Bank 0.969% 20142,3	$	25,000			25,097
Australia Government Agency-Guaranteed, National Australia Bank 3.375% 20143		50,550			52,772
Russian Federation 7.85% 2018	RUB240,000				7,829
Russian Federation 7.85% 2018		135,000			4,404
Russian Federation 5.00% 2020	$	23,900			26,051
Russian Federation 7.50% 20301		29,632			35,650
Russian Federation 7.50% 20301,3		117			140
Colombia (Republic of) Global 12.00% 2015	COP39,750,000				27,727
Colombia (Republic of) Global 7.75% 2021		7,505,000			5,255
Colombia (Republic of) Global 9.85% 2027		12,551,000			10,682
Colombia (Republic of) Global 7.375% 2037	$	13,600			20,189
Australia Government Agency-Guaranteed, Commonwealth Bank of Australia 2.50% 20123		7,250			7,319
Australia Government Agency-Guaranteed, Commonwealth Bank of Australia 2.90% 20143		23,005			24,018
Australia Government Agency-Guaranteed, Commonwealth Bank of Australia 3.625% 20143		20,000			21,081
South Korean Government 5.75% 2014		21,100			22,750
South Korean Government 5.25% 2015	KRW21,600,000				19,931
South Korean Government 5.50% 2017		10,100,000			9,679
Japanese Government, Series 296, 1.50% 2018	¥	2,468,700			33,036
Japanese Government, Series 29, 2.40% 2038		1,342,250			18,727
France Government Agency-Guaranteed, Société Finance 2.875% 20143	$	33,200			34,374
France Government Agency-Guaranteed, Société Finance 3.375% 20143		10,000			10,401
Denmark Government Agency-Guaranteed, Danish Finance Co. 2.45% 20123		42,220			42,289
Indonesia (Republic of) 5.875% 2020		6,800			7,871
Indonesia (Republic of) 5.875% 20203		6,200			7,176
Indonesia (Republic of) 7.75% 2038		18,400			25,438
Venezuela (Republic of) 8.50% 2014		245			244
Venezuela (Republic of) 7.65% 2025		985			685
Venezuela (Republic of) 9.25% 2027		38,045			31,007
Venezuela (Republic of) 9.25% 2028		11,160			8,537
Sweden Government Agency-Guaranteed, Swedbank AB 2.90% 20133		35,000			35,445
New Zealand Government Agency-Guaranteed, Westpac Securities Co. 3.45% 20143		33,320			34,994
Uruguay (Republic of) 5.00% 201810	UYU385,912				20,131
Uruguay (Republic of) 4.375% 202810		220,923			11,215
Uruguay (Republic of) 7.625% 20361	$	1,250			1,812
Peru (Republic of) 8.75% 2033		8,226			13,532
Peru (Republic of) 6.55% 20371		14,200			19,397
Philippines (Republic of) 6.375% 2034		15,500			19,879
Philippines (Republic of) 6.25% 2036	PHP326,000				8,245
Iraq (Republic of) 5.80% 20281	$	25,300			20,809
Argentina (Republic of) 0.098% 20121,2		24,755			3,052
Argentina (Republic of) 8.28% 20331,6		25,998			17,159
Netherlands Government 1.00% 2017		18,300			18,321
Chilean Government 3.875% 2020		3,000			3,345
Chilean Government 5.50% 2020	CLP1,790,000				3,829
Chilean Government 3.25% 2021	$	9,950			10,597
Province of Ontario, Series 1, 1.875% 2012		17,375			17,470
Bahrain Government 5.50% 2020		10,440			10,453
Bahrain Government 5.50% 20203		510			511
Croatian Government 6.75% 2019		7,985			8,026
Croatian Government 6.75% 20193		2,865			2,880
Bermudan Government 5.603% 20203		5,110			5,855
Bermudan Government 5.603% 2020		3,940			4,515
State of Qatar 3.125% 20173		3,750			3,928
State of Qatar 5.25% 2020		5,000			5,790
State of Qatar 4.50% 20223		500			554
Dominican Republic 9.04% 20181,3		4,481			5,019
Dominican Republic 7.50% 20211,3		3,500			3,754
Dominican Republic 7.50% 20211		950			1,019
Hungarian Government, Series 17/B, 6.75% 2017	HUF738,000				3,162
Hungarian Government 6.25% 2020	$	6,700			6,563
European Investment Bank 1.00% 2015		9,100			9,125
Aries Vermögensverwaltungs GmbH, Series C, 9.60% 2014		7,000			8,486
KfW 1.00% 2015		8,400			8,481
United Kingdom Government Agency-Guaranteed, Network Rail Infrastructure Ltd 1.50% 20143		8,000			8,110
Netherlands Government Agency-Guaranteed, ING Bank NV 3.90% 20143		7,000			7,330
German Government 3.25% 2042	€	4,570			6,924
Gabonese Republic 8.20% 2017	$	5,300			6,174
South Africa (Republic of) 5.50% 2020		5,000			5,787
Ireland Government Agency-Guaranteed, Irish Life & Permanent 3.60% 20133		5,600			5,425
El Salvador (Republic of) 7.375% 2019		4,800			5,321
Panama (Republic of) Global 7.25% 2015		1,138			1,303
Panama (Republic of) Global 7.125% 2026		300			406
Panama (Republic of) Global 8.875% 2027		250			389
Panama (Republic of) Global 9.375% 2029		340			558
Panama (Republic of) Global 6.70% 20361		1,504			2,038
Caisse d’Amortissement de la Dette Sociale 1.625% 20153		4,000			4,003
Lithuania (Republic of) 6.625% 20223		3,400			3,906
Sri Lanka (Republic of) 6.25% 20213		3,400			3,437
Kommunalbanken 1.00% 20143		2,924			2,936
Province of Buenos Aires 10.875% 20211,3		1,500			832
Israeli Government 5.125% 2019		500			569
LCR Finance PLC 5.10% 2051	£	165			352
					1,291,317
ASSET-BACKED OBLIGATIONS1 — 0.75%
Aesop Funding II LLC, Series 2010-2A, Class A, 3.63% 20143	$	12,400			12,633
Aesop Funding II LLC, Series 2010-5A, Class A, 3.15% 20173		20,000			21,010
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2009-2A, Class A-1, 4.26% 20143		9,000			9,163
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2009-2A, Class A-2, 5.29% 20163		17,500			19,223
Vega ContainerVessel PLC, Series 2006-1, Class A, XLCA insured, 5.562% 20213		25,952			23,656
Chase Issuance Trust, Series 2008-4, Class A, 4.65% 2015		18,000			18,516
AEP Texas Central Transitioning Funding II LLC, Secured Transition Bonds, Series A, Class A-3, 5.09% 2017		16,720			18,086
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class A-4, 6.57% 2024		4,243			4,446
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-4, 7.905% 2026		226			228
Vanderbilt Mortgage and Finance, Inc., Series 2000-D, Class A-4, 7.715% 2027		269			274
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-5, 8.195% 2030		6,889			7,102
Vanderbilt Mortgage and Finance, Inc., Series 2001-C, Class M-1, 6.76% 2032		553			563
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class M-1, 7.82% 2032		1,460			1,485
CWHEQ Revolving Home Equity Loan Trust, Series 2007-B, Class A, FSA insured, 0.392% 20372		18,599			13,769
RAMP Trust, Series 2004-RS10, Class A-I-6, 4.55% 2034		10,958			10,783
MBNA Credit Card Master Note Trust, Series 2006-1, Class C, 0.662% 20152		10,000			9,984
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class B-1, 7.30% 2021		1,088			1,093
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-4, 6.57% 2027		5,391			5,668
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-5, 7.12% 2032		3,000			3,210
Flagstar Home Equity Loan Trust, Series 2006-2A, Class A, 0.405% 20192,3		11,531			9,705
CPS Auto Receivables Trust, Series 2007-B, Class A-4, FSA insured, 5.60% 20143		3,557			3,593
CPS Auto Receivables Trust, Series 2007-C, Class A-4, FSA insured, 5.92% 20143		5,554			5,559
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class A, 0.692% 20332		3,045			2,915
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-3, 4.35% 2040		1,399			1,423
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-4, 5.27% 2040		717			734
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-5, 5.873% 2040		2,355			2,457
IndyMac Home Equity Mortgage Loan Asset-backed Trust, Series 2007-H1, Class A-1, FSA insured, 0.405% 20372		9,509			7,011
First Horizon ABS Trust, Series 2006-HE2, Class A, FSA insured, 0.375% 20262		420			318
First Horizon ABS Trust, Series 2007-HE1, Class A, FSA insured, 0.375% 20292		7,321			5,552
Home Equity Asset Trust, Series 2004-7, Class M-1, 1.175% 20352		6,500			4,914
Conseco Finance Securitizations Corp., Series 2002-2, Class A-2, 6.03% 2033		4,282			4,469
Green Tree Financial Corp., Series 1996-10, Class A-6, 7.30% 2028		222			225
Green Tree Financial Corp., Series 1997-6, Class A-7, 7.14% 2029		2,483			2,696
Conseco Finance Home Equity Loan Trust, Series 2002-B, Class M-1, 1.992% 20332		808			640
UCFC Manufactured Housing Contract, Series 1996-2, Class A, MBIA insured, 7.135% 2028		3,446			3,328
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-1, 5.73% 2035		1,579			1,665
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-2, 6.51% 2035		1,264			1,286
Hyundai Auto Receivables Trust, Series 2011-A, Class A3, 1.16% 2015		2,500			2,514
Ally Master Owner Trust, Series 2011-1, Class A2, 2.15% 2016		2,450			2,495
World Omni Auto Receivables Trust, Series 2010-A, Class A-4, 2.21% 2015		2,350			2,384
SLM Student Loan Trust, Series 2003-10, Class A-4, 5.15% 20393	£	1,160			1,483
Consumers Funding LLC, Series 2001-1, Class A-5, 5.43% 2015	$	1,300			1,335
Residential Funding Mortgage Securities II, Inc., Series 2006-HSA3, Class A, FSA insured, 0.375% 20362		1,188			896
AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A-2, 0.84% 2014		517			517
					251,006
MUNICIPALS — 0.32%
State of California, Various Purpose General Obligation Bonds (Federally Taxable), 7.60% 2040		18,730			24,277
State of California, Various Purpose General Obligation Bonds (Federally Taxable), 7.625% 2040		2,410			3,125
State of Illinois, General Obligation Bonds, Taxable Build America Bonds, Series 2010-3, 5.727% 2020		17,000			18,702
State of New York, Long Island Power Authority, Electric System General Revenue Refunding Bonds,
Series 2009-A, 5.75% 2039		14,330			16,482
State of Illinois, Regional Transportation Authority of Cook, DuPage, Kane, Lake, McHenry and Will Counties,
General Obligation Revenue Refunding Bonds, Series 2003-A, FGIC-National insured, 6.00% 2033		12,120			15,634
State of South Dakota, Educational Enhancement Funding Corp., Tobacco Settlement Asset-backed Bonds,
Series 2002-A, 6.72% 2025		11,926			11,865
State of New York, Metropolitan Transportation Authority, Dedicated Tax Fund Bonds (Federally Taxable-Issuer Subsidy-Build
America Bonds), Series 2009-C, 7.336% 2039		5,500			8,078
State of Texas, SA Energy Acquisition Public Facility Corp., Gas Supply Revenue Bonds, Series 2007, 5.50% 2023		6,000			6,589
State of Illinois, City of Chicago, O’Hare International Airport, General Airport Revenue Bonds (Build America Bonds-Direct
Payment), Taxable Series 2010-B, 6.395% 2040		1,000			1,286
State of Maryland, Howard Hughes Medical Institute, Taxable Bonds, 3.45% 2014		125			133
					106,171
Total bonds & notes (cost: $30,379,501,000)					31,852,776
Convertible securities — 0.04%
INFORMATION TECHNOLOGY — 0.04%
Linear Technology Corp., Series A, 3.00% convertible notes 2027		11,500			11,931
Total convertible securities (cost: $10,246,000)				$	11,931
Preferred securities — 0.01%	Shares
U.S. GOVERNMENT AGENCY SECURITIES — 0.01%
CoBank, ACB, Class E, noncumulative3		6,250			3,500
Total preferred securities (cost: $5,820,000)					3,500
Common stocks — 0.01%
CONSUMER DISCRETIONARY — 0.01%
American Media, Inc.8,9,12		453,779			4,574
ENERGY — 0.00%
General Maritime Corp.8,9,12		1,716			63
INDUSTRIALS — 0.00%
Atrium Corp.8,9,12		985			40
Total common stocks (cost: $9,571,000)					4,677
Warrants — 0.00%
ENERGY — 0.00%
General Maritime Corp., warrants, expire 20178,9,12		2,654			22
Total warrants (cost: $671,000)					22
	Principal amount
Short-term securities — 17.57%		(000	)
U.S. Treasury Bills 0.062%–0.165% due 7/12/2012–4/4/2013	$	1,673,400			1,672,917
Freddie Mac 0.07%–0.20% due 8/1/2012–4/23/2013		969,198			968,695
Fannie Mae 0.07%–0.185% due 7/23/2012–1/8/2013		852,032			851,783
Federal Home Loan Bank 0.06%–0.21% due 7/13/2012–6/14/2013		704,015			703,626
Procter & Gamble Co. 0.13%–0.15% due 7/12–8/20/20123		179,800			179,784
Federal Farm Credit Banks 0.14%–0.22% due 10/18/2012–4/29/2013		170,000			169,806
Coca-Cola Co. 0.13%–0.22% due 8/10–10/9/20123		150,000			149,954
Pfizer Inc 0.11%–0.12% due 7/11–7/19/20123		130,700			130,694
Private Export Funding Corp. 0.13%–0.17% due 7/9–9/10/20123		125,000			124,969
Straight-A Funding LLC 0.16%–0.18% due 7/19–8/14/20123		119,836			119,813
Bank of New York Mellon Corp. 0.10% due 7/12/20123		102,900			102,897
Abbott Laboratories 0.14% due 7/2–8/21/20123		98,376			98,366
Wal-Mart Stores, Inc. 0.12%–0.13% due 7/16–7/27/20123		96,600			96,592
Jupiter Securitization Co., LLC 0.17%–0.18% due 7/17–7/18/20123		90,000			89,992
Merck & Co. Inc. 0.13% due 7/10–8/24/20123		84,500			84,488
NetJets Inc. 0.13%–0.14% due 7/5–8/14/20123		71,500			71,487
Johnson & Johnson 0.10%–0.17% due 7/2–11/1/20123		70,300			70,270
Wells Fargo & Co. 0.18% due 9/18/2012		50,000			49,957
Google Inc. 0.11%–0.14% due 7/9–8/8/20123		45,800			45,796
Chevron Corp. 0.09% due 7/12/20123		30,000			29,999
General Electric Capital Corp. 0.10% due 7/12/2012		30,000			29,999
Estée Lauder Companies Inc. 0.13% due 7/10/20123		25,000			24,999
Paccar Financial Corp. 0.14% due 7/25/2012		17,500			17,498
U.S. Bank, N.A. 0.14% due 7/2/2012		13,500			13,500
Becton, Dickinson and Co. 0.11% due 7/30/2012		6,700			6,699
Total short-term securities (cost: $5,904,600,000)					5,904,580
Total investment securities (cost: $36,310,409,000)					37,777,486
Other assets less liabilities					(4,173,384	)
Net assets				$	33,604,102

  1Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.

  2Coupon rate may change periodically.

  3Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $4,816,362,000, which represented 14.33% of the net assets of the fund.

 4Loan participations and assignments; may be subject to legal or contractual restrictions on resale. The total value of all such loans was $308,467,000, which represented .92% of the net assets of the fund.

  5Scheduled interest and/or principal payment was not received.

  6Payment in kind; the issuer has the option of paying additional securities in lieu of cash.

  7Step bond; coupon rate will increase at a later date.

  8Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $10,273,000, which represented .03% of the net assets of the fund.

  9Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on these holdings appear below.

	Acquisition	Cost			Value			Percent of
	date		(000	)		(000	)	net assets
NXP BV and NXP Funding LLC 10.00% 2013	7/17/2009	$	6,384		$	7,554			.02	%
American Media, Inc.	11/17/2010		7,602			4,574			.01
General Maritime Corp.	11/6/2009		1,880			63			.00
General Maritime Corp., warrants, expire 2017	11/6/2009		671			22			.00
Atrium Corp.	4/30/2010		89			40			.00
Total restricted securities		$	16,626		$	12,253			.03	%

10Index-linked bond whose principal amount moves with a government price index.

11A portion of this security was pledged as collateral for net losses on unsettled forward currency contracts and interest rate swaps with certain counterparties. The total value of pledged collateral was $152,000, which represented less than .01% of the net assets of the fund.

12Security did not produce income during the last 12 months.

Key to abbreviations and symbols
BRL = Brazilian reais	£ = British pounds	MXN = Mexican pesos	TRY = Turkish lira
CLP = Chilean pesos	HUF = Hungarian forints	PHP = Philippine pesos	UYU = Uruguayan pesos
COP = Colombian pesos	¥ = Japanese yen	PLN = Polish zloty
€ = Euros	KRW = South Korean won	RUB = Russian rubles

Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.

Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at 800/421-4225 or visit the American Funds website at americanfunds.com.

MFGEFP-908-0812O-S32875

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 trustees 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 trustees. 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 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

By /s/ John H. Smet

John H. Smet, President and

Principal Executive Officer

Date: August 31, 2012

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/ John H. Smet

John H. Smet, President and

Principal Executive Officer

Date: August 31, 2012

By /s/ Brian C. Janssen

Brian C. Janssen, Treasurer and

Principal Financial Officer

Date: August 31, 2012