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
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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 portfolio June 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 present the 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 gains for 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 accrued to 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 provides for 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 daily net assets.
Class-specific fees and expenses – Expenses that are specific to individual share classes are accrued directly to the respective share class. The principal class-specific fees and expenses are described below:
Distribution services – The fund has 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 CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the fund, are treated as if invested in shares of the fund or other American Funds. These amounts represent general, unsecured liabilities of the fund and vary according to the total returns of the selected funds. 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.
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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 Funds Capital Research and Management Capital International Capital Guardian Capital 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
![](https://capedge.com/proxy/N-CSRS/0000051931-12-000580/aflogoletterhead.jpg)
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 |