UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
Certified Shareholder Report of
Registered Management Investment Companies
Investment Company Act File Number: 811-02444
The Bond Fund of America, Inc.
(Exact Name of Registrant as specified in charter)
333 South Hope Street
Los Angeles, California 90071
(Address of principal executive offices)
Registrant's telephone number, including area code: (213) 486-9200
Date of fiscal year end: December 31
Date of reporting period: June 30, 2006
Kimberly S. Verdick
Capital Research and Management Company
333 South Hope Street
Los Angeles, California 90071
(name and address of agent for service)
Copies to:
Michael Glazer
Paul, Hastings, Janofsky & Walker LLP
515 South Flower Street
Los Angeles, California 90071
(Counsel for the Registrant)
ITEM 1 - Reports to Stockholders
[logo - American Funds®]
The right choice for the long term®
The Bond Fund of America
[photo of a businessman looking over paperwork - pen in hand]
Semi-annual report for the six months ended June 30, 2006
The Bond Fund of AmericaSMseeks as high a level of current income as is consistent with preservation of capital through a diversified portfolio of bonds and other fixed-income obligations.
This fund is one of the 29 American Funds. The organization ranks among the nation’s three largest mutual fund families. For nearly 75 years, Capital Research and Management Company,SM the American Funds adviser, has invested with a long-term focus based on thorough research and attention to risk.
Figures shown are past results for Class A shares and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Share prices and returns will vary, so investors may lose money. Investing for short periods makes losses more likely. Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity. For current information and month-end results, visit americanfunds.com. Fund results shown, unless otherwise indicated, are at net asset value. If a sales charge (maximum 3.75%) had been deducted, the results would have been lower.
Here are the average annual total returns on a $1,000 investment with all distributions reinvested for periods ended June 30, 2006:
Class A shares | 1 year | 5 years | 10 years | |||||||
Reflecting 3.75% maximum sales charge | -2.69 | % | +5.04 | % | +5.84 | % |
The fund’s investment adviser waived 5% of its management fees from September 1, 2004, through March 31, 2005, and increased the waiver to 10% on April 1, 2005. Fund results shown reflect the waiver, without which they would have been lower. Please see the Financial Highlights table on pages 24-27 for details.
The fund’s 30-day yield for Class A shares as of July 31, 2006, calculated in accordance with the Securities and Exchange Commission formula, was 5.21%, which reflects a fee waiver (5.19% without the fee waiver). The fund’s distribution rate for Class A shares as of that date was 4.66%. Both reflect the 3.75% maximum sales charge. The SEC yield reflects the rate at which the fund is earning income on its current portfolio of securities while the distribution rate reflects the fund’s past dividends paid to shareholders. Accordingly, the fund’s SEC yield and distribution rate may differ.
Results for other share classes can be found on page 4. Please see the inside back cover for important information about other share classes.
The return of principal in bond funds is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the fund. High-yield bonds are subject to greater fluctuations in value and risk of loss of income and principal. Investing in non-U.S. bonds is subject to additional risks. They include currency fluctuations, political and social instability, differing securities regulations and accounting standards, higher transaction costs, possible changes in taxation and illiquidity. For more complete information, please read the prospectus.
[photo of a businessman looking over paperwork - pen in hand]
Fellow shareholders:
A continued rise in interest rates and the resulting decline in bond prices diminished returns for the six months ended June 30, 2006. The Bond Fund of America nonetheless continued to pay monthly dividends totaling 30.6 cents a share. These dividends reflect an income return of 2.3% for the period. (If we had included the portion of the January dividend that was pre-paid in December 2005 amounting to two cents a share, the income return would have been 2.5%, equivalent to 5.0% annualized.)
For the same period, the fund recorded a total return of 0.5%. The fund’s total return is a combination of its income return and any appreciation or depreciation in the fund’s share price. For the period, the fund’s share price slipped 1.8%, or 24 cents a share.
The fund’s total return surpassed that of its benchmark, the unmanaged Lehman Brothers Aggregate Bond Index, which posted a decline of 0.7% for the same period. In comparison, the Lipper Corporate Debt A-Rated Funds Average returned -1.0%.
The table below shows the fund’s returns and those of its primary references over longer, more meaningful time periods, offering a more complete picture of its relative results.
Results at a glance
(for periods ended June 30, 2006, with all distributions reinvested)
Average annual total returns | |||||||||||||
1 year | 5 years | 10 years | Lifetime1 | ||||||||||
The Bond Fund of America | +1.13 | % | +5.84 | % | +6.24 | % | +9.10 | % | |||||
Lehman Brothers Aggregate | |||||||||||||
Bond Index2 | -0.81 | +4.97 | +6.22 | +8.63 | |||||||||
Lipper Corporate Debt A-Rated | |||||||||||||
Funds Average3 | -1.29 | +4.58 | +5.65 | +8.57 |
1 Since May 28, 1974.
2 The unmanaged Lehman Brothers Aggregate Bond Index began on January 1, 1976. From May 28, 1974, through December 31, 1975, the Lehman Brothers Government/Credit Bond Index was used.
3 Source: Lipper. Lipper averages do not include the effects of sales charges.
Bond market overview
During the reporting period, the Federal Reserve continued to raise its target federal funds rate in quarter-point increments, as it has done at each of its meetings for the past two years. By the end of the period, this key short-term rate stood at 5.25%, up from 1.00% in June 2004. The Fed’s rate increases have had a direct effect on short-term bond rates and, more recently, on long-term bond rates, as well.
Over the past six months, the Fed and investors renewed their focus on prospects for inflation. Although inflation measures remain moderate by historical standards, they have inched above the Fed’s comfort level and remain a source of concern for both the stock and bond markets. If inflation measures continue to creep higher in the months ahead, additional rate increases are possible, and bond prices could weaken further.
During the past six months, short-term bonds were generally more stable in price than were long-term bonds. Though all sectors of the bond market suffered some price erosion, a few held up better than others. The high-yield corporate market stood out for its positive total return. Among the higher rated bonds, mortgages and asset-backed securities were more resistant to price declines.
How the fund responded
Since the Federal Reserve began raising rates in 2004, the portfolio counselors of The Bond Fund of America have generally pursued a defensive investment strategy aimed at preserving shareholder principal in the event of weakening bond prices. Part of this strategy involves selecting issues that are less sensitive to rising rates, such as short-term bonds. The fund’s relatively shorter portfolio structure versus the Lehman index, for example, contributed to better relative results for the period.
The fund’s ability to invest in high-yield and structured debt also bolstered results. However, it was not merely the sector allocation that proved helpful; our focus on select issuers and certain bonds also made a difference. Our targeted investments in lower rated automobile and airline issues, for example, helped the fund buck the tide of softer prices.
The number of individual securities held in the portfolio totaled 1,876 at the end of the period. Overall, the fund has maintained a broad exposure to all the major sectors of the bond market as evidenced by the pie chart on page 5, atop the summary portfolio. Since the start of the fiscal year, the fund’s exposure (percentage of net assets) to each of these sectors has changed little, even though net assets have grown about 6%. Portfolio investments in each of these sectors are greatly determined by the fundamental research of the fund’s fixed-income analysts who help portfolio counselors select companies and securities with good prospects for attractive returns. Portfolio counselors also rely on the macroeconomic research of our economists and market analysts who provide insight on larger trends or forces that could impact the value of fund holdings.
Looking ahead
The first half of this fiscal period has proved difficult for stocks and bonds alike, with prospects for continued interest rate increases and higher inflation weighing on the markets. Nonetheless, we believe that the long-term outlook for the fund remains bright. Bonds have historically shown greater resilience than stocks when economic conditions are uncertain, which makes them a valued part of a well-diversified investment portfolio.
Over the past three decades, The Bond Fund of America has established a solid track record, reflected in the results table on page 1. Income has been and remains a significant part of the fund’s total return history. As such, the fund remains committed to seeking as high a level of current income as is consistent with preservation of capital. We believe that this objective has served shareholders well through a wide variety of market conditions.
As always, we appreciate your confidence and support. We look forward to reporting to you again at year-end.
Cordially,
/s/ Paul G. Haaga, Jr.
Paul G. Haaga, Jr.
Vice Chairman of the Board
/s/ Abner D. Goldstine
Abner D. Goldstine
President
August 9, 2006
For current information about the fund, visit americanfunds.com.
Other share class results
unaudited
Class B, Class C, Class F and Class 529
Figures shown are past results and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Share prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com.
Average annual total returns for periods ended June 30, 2006: | ||||||||||
1 year | 5 years | Life of class | ||||||||
Class B shares— first sold 3/15/00 | ||||||||||
Reflecting applicable contingent deferred sales charge | ||||||||||
(CDSC), maximum of 5%, payable only if shares are | ||||||||||
sold within six years of purchase | -4.42 | % | +4.72 | % | +5.32 | % | ||||
Not reflecting CDSC | +0.38 | % | +5.05 | % | +5.32 | % | ||||
Class C shares— first sold 3/15/01 | ||||||||||
Reflecting CDSC, maximum of 1%, payable only if | ||||||||||
shares are sold within one year of purchase | -0.63 | % | +4.97 | % | +4.77 | % | ||||
Not reflecting CDSC | +0.33 | % | +4.97 | % | +4.77 | % | ||||
Class F shares*— first sold 3/15/01 | ||||||||||
Not reflecting annual asset-based fee charged by | ||||||||||
sponsoring firm | +1.15 | % | +5.79 | % | +5.57 | % | ||||
Class 529-A shares†— first sold 2/15/02 | ||||||||||
Reflecting 3.75% maximum sales charge | -2.72 | % | — | +4.89 | % | |||||
Not reflecting maximum sales charge | +1.10 | % | — | +5.82 | % | |||||
Class 529-B shares†— first sold 2/15/02 | ||||||||||
Reflecting applicable CDSC, maximum of 5%, payable | ||||||||||
only if shares are sold within six years of purchase | -4.55 | % | — | +4.50 | % | |||||
Not reflecting CDSC | +0.25 | % | — | +4.90 | % | |||||
Class 529-C shares†— first sold 2/19/02 | ||||||||||
Reflecting CDSC, maximum of 1%, payable only if | ||||||||||
shares are sold within one year of purchase | -0.69 | % | — | +4.96 | % | |||||
Not reflecting CDSC | +0.27 | % | — | +4.96 | % | |||||
Class 529-E shares*†— first sold 3/7/02 | +0.79 | % | — | +5.55 | % | |||||
Class 529-F shares*†— first sold 9/26/02 | ||||||||||
Not reflecting annual asset-based fee charged by | ||||||||||
sponsoring firm | +1.29 | % | — | +6.61 | % |
The fund’s investment adviser waived 5% of its management fees from September 1, 2004, through March 31, 2005, and increased the waiver to 10% on April 1, 2005. Fund results shown reflect the waiver, without which they would have been lower. Please see the Financial Highlights table on pages 24-27 for details.
*These shares are sold without any initial or contingent deferred sales charge.
† Results shown do not reflect the $10 initial account setup fee and an annual $10 account maintenance fee.
Summary investment portfolio, June 30, 2006 unaudited
The following summary investment portfolio is designed to streamline the report and help investors better focus on a fund’s principal holdings. For details on how to obtain a complete schedule of portfolio holdings, please see the inside back cover.
Corporate bonds & notes | 47.1 | % | ||
Mortgage-backed obligations | 20.8 | |||
U.S. government & government agency bonds & notes | 10.1 | |||
Non-U.S. government & government agency bonds & notes | 6.5 | |||
Asset-backed obligations | 5.5 | |||
Short-term securities & other assets less liabilities | 4.6 | |||
Preferred securities | 3.8 | |||
Municipals | 0.8 | |||
Convertible securities | 0.4 | |||
Common stocks & warrants | 0.4 |
Principal | Market | Percent | ||||||||
amount | value | of net | ||||||||
Bonds & notes - 90.85% | (000) | (000) | assets | |||||||
Corporate bonds & notes - 47.13% | ||||||||||
Financials - 19.24% | ||||||||||
General Motors Acceptance Corp.: | ||||||||||
7.25% 2011 | $ | 72,350 | $ | 70,212 | ||||||
7.431% 2014 (2) | 75,000 | 72,789 | ||||||||
4.50%-7.75% 2006-2014 (2) | 136,505 | 132,689 | ||||||||
Residential Capital Corp. 6.00%-6.898% 2009-2015 (1) (2) | 121,280 | 119,409 | 1.62 | % | ||||||
International Lease Finance Corp. 3.125%-5.875% 2007-2013 | 154,920 | 150,349 | ||||||||
ILFC E-Capital Trust I 5.90% 2065 (1) (2) | 67,000 | 65,375 | ||||||||
ILFC E-Capital Trust II 6.25% 2065 (1) (2) | 9,325 | 8,826 | ||||||||
American General Finance Corp. 5.40%-5.85% 2013-2015 | 47,500 | 46,306 | ||||||||
AIG SunAmerica Global Financing VII 5.85% 2008 (1) | 24,250 | 24,348 | ||||||||
ASIF Global Financing XVIII 3.85% 2007 (1) | 5,785 | 5,650 | ||||||||
ASIF Global Financing XXVIII 5.17% 2007 (1) (2) | 2,000 | 2,001 | ||||||||
ASIF Global Financing XIX 4.90% 2013 (1) | 2,000 | 1,898 | ||||||||
American International Group, Inc. 6.25% 2036 (1) | 8,750 | 8,414 | 1.28 | |||||||
Washington Mutual Preferred Funding I Ltd. 6.534% (undated) (1) (2) | 140,400 | 134,982 | ||||||||
Washington Mutual, Inc. 4.375%-7.50% 2006-2017 (2) | 125,735 | 123,934 | ||||||||
Providian Financial Corp., Series A, 9.525% 2027 (1) | 16,750 | 17,790 | 1.13 | |||||||
Household Finance Corp. 4.125%-7.875% 2007-2011 | 109,000 | 109,459 | ||||||||
HSBC Finance Corp. 4.625%-5.679% 2010-2015 (2) | 78,230 | 75,578 | ||||||||
Midland Bank 5.875% Eurodollar note (undated) (2) | 15,000 | 12,825 | ||||||||
HSBC Finance Capital Trust IX 5.911% 2035 (2) | 10,000 | 9,560 | ||||||||
HSBC Bank USA 4.625% 2014 (1) | 4,000 | 3,673 | .87 | |||||||
J.P. Morgan Chase & Co. 4.00%-6.75% 2007-2015 | 149,740 | 146,160 | ||||||||
Chase Capital II, Global Floating Rate Capital Securities, Series B, 5.649% 2027 (2) | 20,000 | 19,283 | ||||||||
Bank One Corp. 4.90% 2015 | 9,000 | 8,309 | ||||||||
BANK ONE, Texas, NA 6.25% 2008 | 7,250 | 7,304 | .74 | |||||||
Sumitomo Mitsui Banking Corp. 5.625% (undated) (1) (2) | 130,795 | 122,196 | .50 | |||||||
Ford Motor Credit Co. 7.875% 2010 | 124,000 | 114,483 | .47 | |||||||
HBOS PLC, Series B, 5.92% (undated) (1) (2) | 108,100 | 99,761 | .41 | |||||||
Resona Bank, Ltd. 5.85% (undated) (1) (2) | 90,585 | 84,431 | .35 | |||||||
SocGen Real Estate Co. LLC, Series A, 7.64% (undated) (1) (2) | 74,250 | 75,846 | .31 | |||||||
Mizuho Capital Investment (USD) 1 Ltd. and Mizuho Capital Investment (EUR) 1 Ltd. 6.686% noncumulative preferred (undated) (1) (2) | 64,010 | 60,848 | .25 | |||||||
Other securities | 2,762,995 | 11.31 | ||||||||
4,697,683 | 19.24 | |||||||||
Consumer discretionary - 6.41% | ||||||||||
General Motors Corp.: | ||||||||||
7.25% 2013 | €700 | 742 | ||||||||
6.375%-9.40% 2008-2033 | $ | 34,765 | 30,027 | |||||||
General Motors Nova Scotia Finance Co. 6.85% 2008 | 7,800 | 7,429 | .15 | |||||||
Other securities | 1,528,094 | 6.26 | ||||||||
1,566,292 | 6.41 | |||||||||
Telecommunication services - 5.57% | ||||||||||
Nextel Communications, Inc.: | ||||||||||
Series E, 6.875% 2013 | 105,480 | 106,215 | ||||||||
Series D, 7.375% 2015 | 104,705 | 106,649 | .87 | |||||||
AT&T Wireless Services, Inc. 8.125% 2012 | 87,630 | 96,544 | .40 | |||||||
France Télécom 7.75% 2011 (2) | 85,050 | 91,450 | .37 | |||||||
Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006 | 70,330 | 70,260 | .29 | |||||||
Other securities | 888,117 | 3.64 | ||||||||
1,359,235 | 5.57 | |||||||||
Industrials - 5.38% | ||||||||||
Other securities | 1,314,873 | 5.38 | ||||||||
Energy - 2.72% | ||||||||||
Other securities | 664,489 | 2.72 | ||||||||
Utilities - 2.58% | ||||||||||
Other securities | 629,575 | 2.58 | ||||||||
Other corporate bonds & notes- 5.23% | ||||||||||
Other securities | 1,276,847 | 5.23 | ||||||||
Mortgage-backed obligations (3) - 20.83% | ||||||||||
Fannie Mae: | ||||||||||
5.50% 2033 | 77,465 | 74,673 | ||||||||
5.50% 2035 | 121,695 | 117,231 | ||||||||
5.50% 2036 | 82,192 | 78,921 | ||||||||
0%-12.009% 2009-2042 (2) | 726,935 | 706,851 | 4.00 | |||||||
Freddie Mac: | ||||||||||
6.00% 2036 | 282,708 | 278,270 | ||||||||
0%-11.00% 2007-2036 (2) | 296,087 | 282,207 | 2.30 | |||||||
Countrywide Alternative Loan Trust: | ||||||||||
Series 2005-46CB, Class A-8, 5.50% 2035 | 96,725 | 95,492 | ||||||||
0%-6.00% 2019-2036 (2) | 377,342 | 369,683 | 1.90 | |||||||
CS First Boston Mortgage Securities Corp. 0%-8.062% 2019-2041 (1) (2) | 340,170 | 334,747 | 1.37 | |||||||
Government National Mortgage Assn.: | ||||||||||
6.00% 2036 | 190,000 | 187,995 | ||||||||
4.00%-10.00% 2007-2036 (2) | 59,975 | 59,190 | 1.01 | |||||||
CHL Mortgage Pass-Through Trust, Series 2005-HYB8, Class 4-A-1, 5.71% 2035 (2) | 78,946 | 77,603 | .32 | |||||||
Other securities | 2,424,002 | 9.93 | ||||||||
5,086,865 | 20.83 | |||||||||
U.S. government & government agency bonds & notes - 10.09% | ||||||||||
U.S. Treasury: | ||||||||||
7.00% 2006 | 100,000 | 100,055 | ||||||||
6.25% 2007 | 131,115 | 131,832 | ||||||||
3.625% 2009 | 192,000 | 183,990 | ||||||||
5.00% 2011 | 84,195 | 83,958 | ||||||||
4.25% 2013 | 166,900 | 158,373 | ||||||||
11.25% 2015 | 70,000 | 99,433 | ||||||||
8.875% 2017 (4) | 70,000 | 91,350 | ||||||||
6.875% 2025 | 129,700 | 153,796 | ||||||||
6.50% 2026 (4) | 66,850 | 76,700 | ||||||||
4.50% 2036 (4) | 336,675 | 301,957 | ||||||||
0%-12.00% 2007-2032 (4) (5) | 511,935 | 495,294 | 7.69 | |||||||
Fannie Mae: | ||||||||||
5.25% 2007 | 103,500 | 103,078 | ||||||||
2.625%-5.25% 2006-2012 | 120,450 | 118,486 | .91 | |||||||
Freddie Mac: | ||||||||||
5.50% 2011 | 74,000 | 74,126 | ||||||||
2.875%-6.25% 2006-2012 | 126,845 | 124,656 | .81 | |||||||
Federal Home Loan Bank 2.875%-5.823% 2006-2016 | 121,190 | 120,767 | .49 | |||||||
Other securities | 45,611 | .19 | ||||||||
2,463,462 | 10.09 | |||||||||
Non-U.S. government & government agency bonds & notes - 6.55% | ||||||||||
Israeli Government 7.50% 2014 | ILS464,132 | 110,391 | .45 | |||||||
United Mexican States Government, Series MI10, 9.50% 2014 | MXP1,112,000 | 101,156 | .41 | |||||||
Canadian Government 4.25% 2026 (5) | C$52,330 | 81,449 | .33 | |||||||
Japanese Government 0.50% 2007 | ¥9,186,900 | 80,330 | .33 | |||||||
Polish Government 5.75% 2010 | PLZ237,410 | 75,387 | .31 | |||||||
Korean Government 4.50% 2008 | KRW71,938,000 | 75,205 | .31 | |||||||
German Government 4.50% 2009 | €55,000 | 71,863 | .29 | |||||||
Other securities | 1,007,830 | 4.12 | ||||||||
1,603,611 | 6.55 | |||||||||
Asset-backed obligations - 5.45% | ||||||||||
Other securities | 1,330,768 | 5.45 | ||||||||
Municipals - 0.80% | ||||||||||
State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A-1, 6.25% 2033 | $ | 64,975 | 70,285 | .29 | ||||||
Other securities | 123,894 | .51 | ||||||||
194,179 | .80 | |||||||||
Total bonds & notes (cost: $22,472,953,000) | 22,187,879 | 90.85 | ||||||||
Market | Percent | |||||||||
value | of net | |||||||||
Convertible securities - 0.39% | (000 | ) | assets | |||||||
Other - 0.34% | ||||||||||
Other securities | $ | 83,191 | .34 | |||||||
Miscellaneous - 0.05% | ||||||||||
Other convertible securities in initial period of acquisition | 12,205 | .05 | ||||||||
Total convertible securities (cost: $83,436,000) | 95,396 | .39 | ||||||||
Market | Percent | |||||||||
value | of net | |||||||||
Preferred securities - 3.82% | Shares | (000 | ) | assets | ||||||
Financials - 3.82% | ||||||||||
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred (1) (2) | 121,238,000 | $ | 129,873 | |||||||
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred (1) (2) | 57,500,000 | 60,450 | .78 | |||||||
HSBC Capital Funding LP: | ||||||||||
Series 1, 9.547% noncumulative step-up perpetual preferred (1) (2) | 85,750,000 | 96,175 | ||||||||
Series 2, 10.176% noncumulative step-up perpetual preferred (1) (2) | 25,000,000 | 34,260 | ||||||||
8.03% noncumulative preferred (2) | 20,000,000 | 30,077 | ||||||||
HSBC Holdings PLC 4.61% (1) (2) | 6,330,000 | 5,703 | .68 | |||||||
Fannie Mae, Series O, 7.065% preferred (1) (2) | 900,000 | 48,544 | .20 | |||||||
Other securities | 527,838 | 2.16 | ||||||||
932,920 | 3.82 | |||||||||
Other - 0.00% | ||||||||||
Other securities | 703 | .00 | ||||||||
Total preferred securities (cost: $884,423,000) | 933,623 | 3.82 | ||||||||
Market | Percent | |||||||||
value | of net | |||||||||
Common stocks - 0.38% | Shares | (000 | ) | assets | ||||||
Other - 0.38% | ||||||||||
Other securities | $ | 91,198 | .38 | |||||||
Miscellaneous - 0.00% | ||||||||||
Other common stock in initial period of acquisition | 282 | .00 | ||||||||
Total common stocks (cost: $55,863,000) | 91,480 | .38 | ||||||||
Market | Percent | |||||||||
value | of net | |||||||||
Warrants - 0.00% | Shares | (000 | ) | assets | ||||||
Telecommunication Services - 0.00% | ||||||||||
Other securities | 22 | .00 | ||||||||
Total warrants (cost: $143,000) | 22 | .00 | ||||||||
Principal | Market | Percent | ||||||||
amount | value | of net | ||||||||
Short-term securities - 5.62% | (000 | ) | (000 | ) | assets | |||||
CAFCO, LLC 5.02%-5.07% due 7/12-7/25/2006 (1) | $ | 166,800 | $ | 166,331 | .68 | |||||
Bank of America Corp. 5.025%-5.165% due 7/10-8/18/2006 (4) | 100,000 | 99,587 | ||||||||
Ranger Funding Co. LLC 5.06%-5.30% due 7/17-8/21/2006 (1) (4) | 65,500 | 65,080 | .68 | |||||||
Federal Home Loan Bank 4.97%-5.07% due 7/26-8/30/2006 (4) | 153,700 | 152,734 | .62 | |||||||
Variable Funding Capital Corp. 5.01%-5.30% due 7/13-8/25/2006 (1) (4) | 129,370 | 129,034 | .53 | |||||||
Clipper Receivables Co., LLC 4.96%-5.15% due 7/14-7/20/2006 (1) | 121,000 | 120,701 | .49 | |||||||
International Lease Finance Corp. 5.00%-5.06% due 7/7-7/19/2006 | 100,000 | 99,817 | .41 | |||||||
Park Avenue Receivables Co., LLC 5.04%-5.21% due 7/6-8/24/2006 (1) (4) | 96,525 | 96,251 | .39 | |||||||
Wal-Mart Stores Inc. 4.96%-5.24% due 7/11-8/22/2006 (1) (4) | 93,810 | 93,339 | .38 | |||||||
HSBC Finance Corp. 5.02% due 7/26/2006 | 43,300 | 43,151 | .18 | |||||||
Freddie Mac 4.956% due 7/27/2006 | 1,470 | 1,464 | .01 | |||||||
Other securities | 305,110 | 1.25 | ||||||||
Total short-term securities (cost: $1,372,577,000) | 1,372,599 | 5.62 | ||||||||
Total investment securities (cost: $24,869,395,000) | 24,680,999 | 101.06 | ||||||||
Other assets less liabilities | (258,791 | ) | (1.06 | ) | ||||||
Net assets | $ | 24,422,208 | 100.00 | % | ||||||
"Other securities" includes all issues that are not disclosed separately in the summary investment portfolio. | ||||||||||
"Miscellaneous" securities include holdings in their initial period of acquisition that have not previously been publicly disclosed. | ||||||||||
Investments in affiliates |
A company is considered to be an affiliate of the fund under the Investment Company Act of 1940 if the fund's holdings in that company represent 5% or more of the outstanding voting shares of that company. The market value of the fund's holdings in affiliated companies is included in "Other securities" under their respective industry sectors in the preceding summary investment portfolio. Further details on these holdings and related transactions during the six months ended June 30, 2006, appear below. |
Market value | |||||||||||||||||||
Dividend | of affiliates | ||||||||||||||||||
Beginning | income | at 6/30/06 | |||||||||||||||||
Company | shares | Purchases | Sales | Ending shares | (000) | (000) | |||||||||||||
ZiLOG, Inc. (6) | 879,000 | - | - | 879,000 | $ | - | $ | 2,971 | |||||||||||
ZiLOG, Inc. - MOD III Inc., units (6) (7) | 1,447 | - | - | 1,447 | - | 215 | |||||||||||||
Clarent Hospital Corp. (6) (7) | 331,291 | - | - | 331,291 | - | 83 | |||||||||||||
- | $ | 3,269 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item. | ||||||||||
(1) Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public may require registration. The total value of all such restricted securities, including those in "Other securities" in the summary investment portfolio, was $5,486,438,000, which represented 22.46% of the net assets of the fund. | ||||||||||
(2) Coupon rate may change periodically. | ||||||||||
(3) Pass-through securities backed by a pool of mortgages or other loans on which principal payments are periodically made. Therefore, the effective maturities are shorter than the stated maturities. | ||||||||||
(4) This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future. | ||||||||||
(5) Index-linked bond whose principal amount moves with a government retail price index. | ||||||||||
(6) Security did not produce income during the last 12 months. | ||||||||||
(7) Valued under fair value procedures adopted by authority of the board of directors. | ||||||||||
See Notes to Financial Statements | ||||||||||
Financial statements
Statement of assets and liabilities | unaudited | |||||||||
at June 30, 2006 | (dollars and shares in thousands, except per-share amounts) | |||||||||
Assets: | ||||||||||
Investment securities at market: | ||||||||||
Unaffiliated issuers (cost: $24,852,243) | $ | 24,677,730 | ||||||||
Affiliated issuers (cost: $17,152) | 3,269 | $ | 24,680,999 | |||||||
Cash | 48,360 | |||||||||
Receivables for: | ||||||||||
Sales of investments | 40,219 | |||||||||
Sales of fund's shares | 63,568 | |||||||||
Open forward currency contracts | 3,818 | |||||||||
Dividends and interest | 276,470 | 384,075 | ||||||||
25,113,434 | ||||||||||
Liabilities: | ||||||||||
Payables for: | ||||||||||
Purchases of investments | 612,252 | |||||||||
Repurchases of fund's shares | 32,752 | |||||||||
Dividends on fund's shares | 20,972 | |||||||||
Open forward currency contracts | 7,665 | |||||||||
Closed forward currency contracts | 2,717 | |||||||||
Investment advisory services | 4,599 | |||||||||
Services provided by affiliates | 9,415 | |||||||||
Deferred directors' compensation | 416 | |||||||||
Other fees and expenses | 438 | 691,226 | ||||||||
Net assets at June 30, 2006 | $ | 24,422,208 | ||||||||
Net assets consist of: | ||||||||||
Capital paid in on shares of capital stock | $ | 25,133,193 | ||||||||
Undistributed net investment income | 46,263 | |||||||||
Accumulated net realized loss | (565,666 | ) | ||||||||
Net unrealized depreciation | (191,582 | ) | ||||||||
Net assets at June 30, 2006 | $ | 24,422,208 | ||||||||
Total authorized capital stock - 2,500,000 shares, $.001 par value (1,881,722 total shares outstanding) | ||||||||||
Net assets | Shares outstanding | Net asset value per share* | ||||||||
Class A | $ | 18,557,737 | 1,429,866 | $ | 12.98 | |||||
Class B | 1,393,212 | 107,347 | 12.98 | |||||||
Class C | 1,545,032 | 119,044 | 12.98 | |||||||
Class F | 1,019,753 | 78,572 | 12.98 | |||||||
Class 529-A | 320,437 | 24,690 | 12.98 | |||||||
Class 529-B | 61,214 | 4,717 | 12.98 | |||||||
Class 529-C | 140,275 | 10,808 | 12.98 | |||||||
Class 529-E | 17,785 | 1,370 | 12.98 | |||||||
Class 529-F | 10,307 | 794 | 12.98 | |||||||
Class R-1 | 21,473 | 1,655 | 12.98 | |||||||
Class R-2 | 419,550 | 32,326 | 12.98 | |||||||
Class R-3 | 446,425 | 34,397 | 12.98 | |||||||
Class R-4 | 229,870 | 17,711 | 12.98 | |||||||
Class R-5 | 239,138 | 18,425 | 12.98 | |||||||
* Maximum offering price and redemption price per share were equal to the net asset value per share for all share classes, except for Class A and 529-A, for which the maximum offering prices per share were $13.49 each. | ||||||||||
See Notes to Financial Statements | ||||||||||
Statement of operations | unaudited | |||||||||
for the six months ended June 30, 2006 | (dollars in thousands | ) | ||||||||
Investment income: | ||||||||||
Income: | ||||||||||
Interest (net of non-U.S. taxes of $425) | $ | 653,853 | ||||||||
Dividends | 7,539 | $ | 661,392 | |||||||
Fees and expenses*: | ||||||||||
Investment advisory services | 29,489 | |||||||||
Distribution services | 42,193 | |||||||||
Transfer agent services | 11,838 | |||||||||
Administrative services | 4,408 | |||||||||
Reports to shareholders | 556 | |||||||||
Registration statement and prospectus | 955 | |||||||||
Postage, stationery and supplies | 1,361 | |||||||||
Directors' compensation | 84 | |||||||||
Auditing and legal | 67 | |||||||||
Custodian | 586 | |||||||||
State and local taxes | 185 | |||||||||
Other | 98 | |||||||||
Total fees and expenses before reimbursements/waivers | 91,820 | |||||||||
Less reimbursements/waivers of fees and expenses: | ||||||||||
Investment advisory services | 2,949 | |||||||||
Administrative services | 525 | |||||||||
Total fees and expenses after reimbursements/waivers | 88,346 | |||||||||
Net investment income | 573,046 | |||||||||
Net realized loss and unrealized | ||||||||||
depreciation on investments | ||||||||||
and non-U.S. currency: | ||||||||||
Net realized loss on: | ||||||||||
Investments | (51,941 | ) | ||||||||
Non-U.S. currency transactions | (36,634 | ) | (88,575 | ) | ||||||
Net unrealized depreciation on: | ||||||||||
Investments | (386,928 | ) | ||||||||
Non-U.S. currency translations | (5,488 | ) | (392,416 | ) | ||||||
Net realized loss and | ||||||||||
unrealized depreciation | ||||||||||
on investments and non-U.S. currency | (480,991 | ) | ||||||||
Net increase in net assets resulting | ||||||||||
from operations | $ | 92,055 | ||||||||
* Additional information related to class-specific fees and expenses is included in the Notes to Financial Statements. | ||||||||||
See Notes to Financial Statements | ||||||||||
Statements of changes in net assets | (dollars in thousands) | |||||||||
Six months | Year ended | |||||||||
ended June 30, | December 31, | |||||||||
2006* | 2005 | |||||||||
Operations: | ||||||||||
Net investment income | $ | 573,046 | $ | 965,151 | ||||||
Net realized (loss) gain on investments and | ||||||||||
non-U.S. currency transactions | (88,575 | ) | 193,485 | |||||||
Net unrealized depreciation | ||||||||||
on investments and non-U.S. currency translations | (392,416 | ) | (753,973 | ) | ||||||
Net increase in net assets | ||||||||||
resulting from operations | 92,055 | 404,663 | ||||||||
Dividends paid or accrued to shareholders from net investment income | (540,133 | ) | (1,081,144 | ) | ||||||
Capital share transactions | 1,894,663 | 3,822,696 | ||||||||
Total increase in net assets | 1,446,585 | 3,146,215 | ||||||||
Net assets: | ||||||||||
Beginning of period | 22,975,623 | 19,829,408 | ||||||||
End of period (including undistributed | ||||||||||
net investment income: $46,263 and $13,350, | ||||||||||
respectively) | $ | 24,422,208 | $ | 22,975,623 | ||||||
*Unaudited. | ||||||||||
See Notes to Financial Statements |
Notes to financial statements unaudited
1. | Organization and significant accounting policies |
Organization - The Bond Fund of America, Inc. (the "fund") is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company. The fund seeks as high a level of current income as is consistent with preservation of capital through a diversified portfolio of bonds and other fixed-income obligations.
The fund offers 14 share classes consisting of four retail share classes, five CollegeAmerica® savings plan share classes and five retirement plan share classes. The CollegeAmerica savings plan share classes (529-A, 529-B, 529-C, 529-E and 529-F) can be utilized to save for college education. The five retirement plan share classes (R-1, R-2, R-3, R-4 and R-5) are sold without any sales charges and do not carry any conversion rights. The fund’s share classes are described below:
Share class | Initial sales charge | Contingent deferred sales charge upon redemption | Conversion feature | |||
Class A and 529-A | Up to 3.75% | None (except 1% for certain redemptions within one year of purchase without an initial sales charge) | None | |||
Class B and 529-B | None | Declines from 5% to 0% for redemptions within six years of purchase | Class B and 529-B convert to Class A and 529-A, respectively, after eight years | |||
Class C | None | 1% for redemptions within one year of purchase | Class C converts to Class F after 10 years | |||
Class 529-C | None | 1% for redemptions within one year of purchase | None | |||
Class 529-E | None | None | None | |||
Class F and 529-F | None | None | None | |||
Class R-1, R-2, R-3, R-4 and R-5 | None | None | None |
Holders of all share classes have equal pro rata rights to assets, dividends and liquidation proceeds. Each share class has identical voting rights, except for the exclusive right to vote on matters affecting only its class. Share classes have different fees and expenses ("class-specific fees and expenses"), primarily due to different arrangements for distribution, administrative and shareholder services. Differences in class-specific fees and expenses will result in differences in net investment income and, therefore, the payment of different per-share dividends by each class.
Significant accounting policies - The financial statements have been prepared to comply with accounting principles generally accepted in the United States of America. These principles require management to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. The following is a summary of the significant accounting policies followed by the fund:
Security valuation - Equity securities are valued at the official closing price of, or the last reported sale price on, the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price. Prices for each security are taken from the principal exchange or market in which the security trades. Fixed-income securities, including short-term securities purchased with more than 60 days left to maturity, are valued at prices obtained from an independent pricing service when such prices are available. However, where the investment adviser deems it appropriate, such securities will be valued at the mean quoted bid and asked prices (or bid prices, if asked prices are not available) or at prices for securities of comparable maturity, quality and type. Securities with both fixed-income and equity characteristics, or equity securities traded principally among fixed-income dealers, are valued in the manner described above for either equity or fixed-income securities, depending on which method is deemed most appropriate by the investment adviser. Short-term securities purchased within 60 days to maturity are valued at amortized cost, which approximates market value. The value of short-term securities originally purchased with maturities greater than 60 days is determined based on an amortized value to par when they reach 60 days or less remaining to maturity. The ability of the issuers of the debt securities held by the fund to meet their obligations may be affected by economic developments in a specific industry, state or region. Forward currency contracts are valued at the mean of representative quoted bid and asked prices. Securities and other assets for which representative market quotations are not readily available or are considered unreliable are fair valued as determined in good faith under procedures adopted by authority of the fund's board of directors. Various factors may be reviewed in order to make a good faith determination of a security’s fair value. These factors include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions.
Security transactions and related investment income - Security transactions are recorded by the fund as of the date the trades are executed with brokers. Realized gains and losses from security transactions are determined based on the specific identified cost of the securities. In the event a security is purchased with a delayed payment date, the fund will segregate liquid assets sufficient to meet its payment obligations. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Market discounts, premiums and original issue discounts on fixed-income securities are amortized daily over the expected life of the security.
Class allocations -Income, fees and expenses (other than class-specific fees and expenses) are allocated daily among the various share classes based on the relative value of their settled shares. Realized and unrealized gains and losses are allocated daily among the various share classes based on their relative net assets. Class-specific fees and expenses, such as distribution, administrative and shareholder services, are charged directly to the respective share class.
Dividends and distributions to shareholders -Dividends paid to shareholders are declared daily from net investment income and are paid to shareholders monthly. Distributions paid to shareholders are recorded on the ex-dividend date.
Non-U.S. currency translation - Assets and liabilities, including investment securities, denominated in non-U.S. currencies are translated into U.S. dollars at the exchange rates in effect on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. In the accompanying financial statements, the effects of changes in non-U.S. exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in non-U.S. currencies are disclosed separately.
Forward currency contracts - The fund may enter into forward currency contracts, which represent agreements to exchange non-U.S. currencies on specific future dates at predetermined rates. The fund enters into these contracts to manage its exposure to changes in non-U.S. exchange rates arising from investments denominated in non-U.S. currencies. Upon entering into these contracts, risks may arise from the potential inability of counterparties to meet the terms of their contracts and from possible movements in non-U.S. exchange rates. Due to these risks, the fund could incur losses up to the entire contract amount, which may exceed the net unrealized value shown on the accompanying financial statements. On a daily basis, the fund values forward currency contracts based on the applicable exchange rates and records unrealized gains or losses. The fund records realized gains or losses at the time the forward contract is closed or offset by another contract with the same broker for the same settlement date and currency.
Mortgage dollar rolls - The fund may enter into mortgage dollar roll transactions in which the fund sells a mortgage-backed security to a counterparty and simultaneously enters into an agreement with the same counterparty to buy back a similar security on a specific future date at a predetermined price. Each mortgage dollar roll is treated as a financing transaction; therefore, any gain or loss is considered unrealized until the roll reaches completion. Risks may arise due to the delayed payment date and the potential inability of counterparties to complete the transaction. Income is generated as consideration for entering into these transactions and is included in interest income on the accompanying financial statements.
2. | Non-U.S. investments |
Investment risk - The risks of investing in securities of non-U.S. issuers may include, but are not limited to, investment and repatriation restrictions; revaluation of currencies; adverse political, social and economic developments; government involvement in the private sector; limited and less reliable investor information; lack of liquidity; certain local tax law considerations; and limited regulation of the securities markets.
Taxation - Dividend and interest income is recorded net of non-U.S. taxes paid. Realized and unrealized gains on securities in certain countries are subject to non-U.S. taxes. The fund records a liability based on realized and unrealized gains to provide for potential non-U.S. taxes payable on these securities. For the six months ended June 30, 2006, non-U.S. taxes paid on unrealized gains were $29,000. As of June 30, 2006, there was no additional liability required for non-U.S. taxes based on realized and unrealized gains.
3. Federal income taxation and distributions
The fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its net taxable income and net capital gains each year. The fund is not subject to income taxes to the extent such distributions are made.
Distributions - Distributions paid to shareholders are based on net investment income and net realized gains determined on a tax basis, which may differ from net investment income and net realized gains for financial reporting purposes. These differences are due primarily to differing treatment for items such as non-U.S. currency gains and losses; short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase; unrealized appreciation of certain investments in non-U.S. securities; deferred expenses; cost of investments sold; paydowns on fixed-income securities; net capital losses; non-U.S. taxes on capital gains; and income on certain investments. 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, 2005, the fund had tax basis undistributed ordinary income of $28,638,000 and capital loss carryforwards of $183,032,000 and $243,982,000 expiring in 2010 and 2011, respectively.
As of June 30, 2006, the tax basis unrealized appreciation (depreciation) and cost of investments were as follows (dollars in thousands):
Gross unrealized appreciation on investment securities | $375,971 |
Gross unrealized depreciation on investment securities | (625,690) |
Net unrealized depreciation on investment securities | (249,719) |
Cost of investment securities | 24,930,718 |
Ordinary income distributions paid or accrued to shareholders from net investment income were as follows (dollars in thousands):
Six months ended | Year ended | ||||||
June 30, | December 31, | ||||||
Share class | 2006 | 2005 | |||||
Class A | $ | 424,021 | $ | 867,764 | |||
Class B | 27,613 | 61,634 | |||||
Class C | 28,959 | 55,743 | |||||
Class F | 21,155 | 33,288 | |||||
Class 529-A | 6,931 | 11,711 | |||||
Class 529-B | 1,144 | 2,278 | |||||
Class 529-C | 2,519 | 4,413 | |||||
Class 529-E | 362 | 618 | |||||
Class 529-F | 211 | 295 | |||||
Class R-1 | 384 | 629 | |||||
Class R-2 | 7,578 | 13,142 | |||||
Class R-3 | 8,790 | 14,060 | |||||
Class R-4 | 4,975 | 7,048 | |||||
Class R-5 | 5,491 | 8,521 | |||||
Total | $ | 540,133 | $ | 1,081,144 |
4. Fees and transactions with related parties
Capital Research and Management Company ("CRMC"), the fund’s investment adviser, is the parent company of American Funds Service Company SM ("AFS"), the fund’s transfer agent, and American Funds Distributors, Inc.SM ("AFD"), the principal underwriter of the fund’s shares.
Investment advisory services -The Investment Advisory and Service Agreement with CRMC provides for monthly fees accrued daily. These fees are based on a declining series of annual rates beginning with 0.30% on the first $60 million of daily net assets and decreasing to 0.12% on such assets in excess of $20 billion. The agreement also provides for monthly fees, accrued daily, based on a declining series of rates beginning with 2.25% on the first $8,333,333 of the fund's monthly gross income and decreasing to 1.75% on such income in excess of $41,666,667. CRMC is currently waiving 10% of investment advisory services fees. During the six months ended June 30, 2006, total investment advisory services fees waived by CRMC were $2,949,000. As a result, the fee shown on the accompanying financial statements of $29,489,000, which was equivalent to an annualized rate of 0.251%, was reduced to $26,540,000, or 0.226% of average daily net assets.
Class-specific fees and expenses - Expenses that are specific to individual share classes are accrued directly to the respective share class. The principal class-specific fees and expenses are described below:
Distribution services - The fund has adopted plans of distribution for all share classes, except Class R-5. Under the plans, the board of directors approves certain categories of expenses that are used to finance activities primarily intended to sell fund shares and service existing accounts. The plans provide for payments, based on an annualized percentage of average daily net assets, ranging from 0.25% to 1.00% as noted below. In some cases, the board of directors has limited the amounts that may be paid to less than the maximum allowed by the plans. All share classes may use up to 0.25% of average daily net assets to pay service fees, or to compensate AFD for paying service fees, to firms that have entered into agreements with AFD to provide certain shareholder services. The remaining amounts available to be paid under each plan are paid to dealers to compensate them for their sales activities.
For Class A and 529-A, the board of directors has also approved the reimbursement of dealer and wholesaler commissions paid by AFD for certain shares sold without a sales charge. These classes reimburse AFD for amounts billed within the prior 15 months but only to the extent that the overall annual expense limit of 0.25% is not exceeded. As of June 30, 2006, unreimbursed expenses subject to reimbursement totaled $7,745,000 for Class A. There were no unreimbursed expenses subject to reimbursement for Class 529-A.
Share class | Currently approved limits | Plan limits |
Class A | 0.25% | 0.25% |
Class 529-A | 0.25 | 0.50 |
Class B and 529-B | 1.00 | 1.00 |
Class C, 529-C and R-1 | 1.00 | 1.00 |
Class R-2 | 0.75 | 1.00 |
Class 529-E and R-3 | 0.50 | 0.75 |
Class F, 529-F and R-4 | 0.25 | 0.50 |
Transfer agent services - The fund has a transfer agent agreement with AFS for Class A and B. Under this agreement, these share classes compensate AFS for transfer agent services including shareholder recordkeeping, communications and transaction processing. AFS is also compensated for certain transfer agent services provided to all other share classes from the administrative services fees paid to CRMC described on the following page.
Administrative services - The fund has an administrative services agreement with CRMC to provide transfer agent and other related shareholder services for all share classes other than Class A and B. Each relevant share class pays CRMC annual fees up to 0.15% (0.10% for Class R-5) based on its respective average daily net assets. Each relevant share class also pays AFS additional amounts for certain transfer agent services. CRMC and AFS may use these fees to compensate third parties for performing these services. CRMC has agreed to pay AFS on the fund's behalf for a portion of the transfer agent services fees for some of the retirement plan share classes. For the six months ended June 30, 2006, the total administrative services fees paid by CRMC were $4,000 and $521,000 for Class R-1 and R-2, respectively. Administrative services fees are presented gross of any payments made by CRMC. Each 529 share class is subject to an additional annual administrative services fee of 0.10% of its respective average daily net assets; this fee is payable to the Commonwealth of Virginia for the maintenance of the CollegeAmerica plan. Although these amounts are included with administrative services fees on the accompanying financial statements, the Commonwealth of Virginia is not considered a related party.
Expenses under the agreements described above for the six months ended June 30, 2006, were as follows (dollars in thousands):
Share class | Distribution services | Transfer agent services | Administrative services | ||
CRMC administrative services | Transfer agent services | Commonwealth of Virginia administrative services | |||
Class A | $22,516 | $11,030 | Not applicable | Not applicable | Not applicable |
Class B | 7,015 | 808 | Not applicable | Not applicable | Not applicable |
Class C | 7,441 | Included in administrative services | $1,002 | $229 | Not applicable |
Class F | 1,115 | 362 | 109 | Not applicable | |
Class 529-A | 289 | 131 | 33 | $148 | |
Class 529-B | 298 | 26 | 16 | 30 | |
Class 529-C | 652 | 57 | 28 | 65 | |
Class 529-E | 42 | 7 | 2 | 8 | |
Class 529-F | - | 4 | 1 | 4 | |
Class R-1 | 97 | 13 | 9 | Not applicable | |
Class R-2 | 1,448 | 284 | 1,033 | Not applicable | |
Class R-3 | 1,016 | 295 | 236 | Not applicable | |
Class R-4 | 264 | 154 | 9 | Not applicable | |
Class R-5 | Not applicable | 109 | 4 | Not applicable | |
Total | $42,193 | $11,838 | $2,444 | $1,709 | $255 |
Deferred directors’ compensation - Since the adoption of the deferred compensation plan in 1993, directors who are unaffiliated with CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the fund, are treated as if invested in shares of the fund or other American Funds. These amounts represent general, unsecured liabilities of the fund and vary according to the total returns of the selected funds. Directors’compensation of $84,000, shown on the accompanying financial statements, includes $57,000 in current fees (either paid in cash or deferred) and a net increase of $27,000 in the value of the deferred amounts.
Affiliated officers and directors - Officers and certain directors of the fund are or may be considered to be affiliated with CRMC, AFS and AFD. No affiliated officers or directors received any compensation directly from the fund.
5. Capital share transactions
Capital share transactions in the fund were as follows (dollars and shares in thousands):
Sales* | Reinvestments of dividends | Repurchases* | Net increase | ||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | |||||||||||||||||
Six months ended June 30, 2006 | |||||||||||||||||||||||||
Class A | $ | 2,609,754 | 198,828 | $ | 357,414 | 27,297 | $ | (1,804,640 | ) | (137,529 | ) | $ | 1,162,528 | 88,596 | |||||||||||
Class B | 106,370 | 8,108 | 22,266 | 1,700 | (124,309 | ) | (9,474 | ) | 4,327 | 334 | |||||||||||||||
Class C | 294,242 | 22,417 | 23,504 | 1,795 | (173,473 | ) | (13,222 | ) | 144,273 | 10,990 | |||||||||||||||
Class F | 337,686 | 25,749 | 16,060 | 1,227 | (119,347 | ) | (9,095 | ) | 234,399 | 17,881 | |||||||||||||||
Class 529-A | 59,921 | 4,563 | 6,633 | 507 | (13,806 | ) | (1,051 | ) | 52,748 | 4,019 | |||||||||||||||
Class 529-B | 5,735 | 437 | 1,098 | 84 | (2,367 | ) | (180 | ) | 4,466 | 341 | |||||||||||||||
Class 529-C | 26,475 | 2,016 | 2,412 | 184 | (6,903 | ) | (525 | ) | 21,984 | 1,675 | |||||||||||||||
Class 529-E | 3,259 | 248 | 346 | 27 | (851 | ) | (65 | ) | 2,754 | 210 | |||||||||||||||
Class 529-F | 3,284 | 250 | 201 | 15 | (318 | ) | (24 | ) | 3,167 | 241 | |||||||||||||||
Class R-1 | 7,123 | 542 | 363 | 28 | (3,260 | ) | (248 | ) | 4,226 | 322 | |||||||||||||||
Class R-2 | 120,152 | 9,152 | 7,230 | 552 | (52,063 | ) | (3,968 | ) | 75,319 | 5,736 | |||||||||||||||
Class R-3 | 139,306 | 10,609 | 8,382 | 640 | (54,911 | ) | (4,183 | ) | 92,777 | 7,066 | |||||||||||||||
Class R-4 | 80,186 | 6,097 | 4,765 | 364 | (32,462 | ) | (2,474 | ) | 52,489 | 3,987 | |||||||||||||||
Class R-5 | 63,908 | 4,864 | 4,304 | 329 | (29,006 | ) | (2,204 | ) | 39,206 | 2,989 | |||||||||||||||
Total net increase | |||||||||||||||||||||||||
(decrease) | $ | 3,857,401 | 293,880 | $ | 454,978 | 34,749 | $ | (2,417,716 | ) | (184,242 | ) | $ | 1,894,663 | 144,387 | |||||||||||
Year ended December 31, 2005 | |||||||||||||||||||||||||
Class A | $ | 4,739,784 | 353,095 | $ | 753,982 | 56,328 | $ | (3,046,419 | ) | (227,453 | ) | $ | 2,447,347 | 181,970 | |||||||||||
Class B | 210,741 | 15,691 | 51,049 | 3,814 | (196,388 | ) | (14,642 | ) | 65,402 | 4,863 | |||||||||||||||
Class C | 539,360 | 40,179 | 46,353 | 3,465 | (239,621 | ) | (17,876 | ) | 346,092 | 25,768 | |||||||||||||||
Class F | 439,809 | 32,789 | 26,293 | 1,966 | (129,966 | ) | (9,713 | ) | 336,136 | 25,042 | |||||||||||||||
Class 529-A | 99,048 | 7,386 | 11,692 | 874 | (17,655 | ) | (1,317 | ) | 93,085 | 6,943 | |||||||||||||||
Class 529-B | 11,021 | 821 | 2,274 | 170 | (3,178 | ) | (237 | ) | 10,117 | 754 | |||||||||||||||
Class 529-C | 43,687 | 3,257 | 4,404 | 330 | (10,279 | ) | (767 | ) | 37,812 | 2,820 | |||||||||||||||
Class 529-E | 5,516 | 411 | 616 | 46 | (1,102 | ) | (82 | ) | 5,030 | 375 | |||||||||||||||
Class 529-F | 3,351 | 250 | 295 | 22 | (383 | ) | (28 | ) | 3,263 | 244 | |||||||||||||||
Class R-1 | 10,761 | 802 | 627 | 46 | (3,762 | ) | (281 | ) | 7,626 | 567 | |||||||||||||||
Class R-2 | 185,712 | 13,833 | 13,048 | 976 | (75,678 | ) | (5,646 | ) | 123,082 | 9,163 | |||||||||||||||
Class R-3 | 211,778 | 15,775 | 14,002 | 1,047 | (68,049 | ) | (5,080 | ) | 157,731 | 11,742 | |||||||||||||||
Class R-4 | 130,864 | 9,741 | 7,037 | 526 | (29,203 | ) | (2,180 | ) | 108,698 | 8,087 | |||||||||||||||
Class R-5 | 121,222 | 9,076 | 5,937 | 444 | (45,884 | ) | (3,422 | ) | 81,275 | 6,098 | |||||||||||||||
Total net increase | |||||||||||||||||||||||||
(decrease) | $ | 6,752,654 | 503,106 | $ | 937,609 | 70,054 | $ | (3,867,567 | ) | (288,724 | ) | $ | 3,822,696 | 284,436 | |||||||||||
* Includes exchanges between share classes of the fund. |
6. Forward currency contracts
As of June 30, 2006, the fund had outstanding forward currency contracts to purchase or sell non-U.S. currencies as follows (amounts in thousands):
Contract amount | U.S. valuations at June 30, 2006 | ||||||||||||
Unrealized | |||||||||||||
appreciation | |||||||||||||
Non-U.S. currency contracts | Non-U.S. | U.S. | Amount | (depreciation) | |||||||||
Purchases: | |||||||||||||
Euros | |||||||||||||
expiring 7/13/2006 | €21,725 | $ | 26,257 | $ | 27,786 | $ | 1,529 | ||||||
Sales: | |||||||||||||
Euros | |||||||||||||
expiring 7/07 to 9/14/2006 | €69,590 | 85,289 | 89,005 | (3,716 | ) | ||||||||
Swedish krona | |||||||||||||
expiring 7/24/2006 | SKr403,644 | 53,992 | 56,158 | (2,166 | ) | ||||||||
British pounds | |||||||||||||
expiring 7/13 to 9/26/2006 | £75,885 | 140,747 | 140,318 | 429 | |||||||||
Danish krone | |||||||||||||
expiring 9/11/2006 | DKr249,912 | 43,098 | 43,021 | 77 | |||||||||
323,126 | 328,502 | (5,376 | ) | ||||||||||
Forward currency contracts - net | $ | (3,847 | ) |
7. Investment transactions
The fund made purchases and sales of investment securities, excluding short-term securities, of $7,487,958,000 and $5,579,722,000, respectively, during the six months ended June 30, 2006.
Financial highlights (1) | ||||||||||||||||||||||||||||||||||||||||||||||
Income from investment operations(2) | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Net asset value, end of period | Total return (3) | Net assets, end of period (in millions) | Ratio of expenses to average net assets before reimbursements/ waivers | Ratio of expenses to average net assets after reimbursements/ waivers (4) | Ratio of net income to average net assets | ||||||||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | $ | 13.22 | $ | .33 | $ | (.26 | ) | $ | .07 | $ | (.31 | ) | $ | 12.98 | .50 | % | $ | 18,558 | .66 | % | (6 | ) | .63 | % | (6 | ) | 4.99 | % | (6 | ) | ||||||||||||||||
Year ended 12/31/2005 | 13.65 | .62 | (.36 | ) | .26 | (.69 | ) | 13.22 | 1.94 | 17,738 | .65 | .62 | 4.60 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .61 | .16 | .77 | �� | (.63 | ) | 13.65 | 5.85 | 15,822 | .65 | .65 | 4.54 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .68 | .84 | 1.52 | (.71 | ) | 13.51 | 12.22 | 13,991 | .67 | .67 | 5.15 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2002 | 12.79 | .82 | (.08 | ) | .74 | (.83 | ) | 12.70 | 6.11 | 12,600 | .71 | .71 | 6.59 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2001 | 12.79 | .93 | (.03 | ) | .90 | (.90 | ) | 12.79 | 7.15 | 11,223 | .71 | .71 | 7.17 | |||||||||||||||||||||||||||||||||
Class B: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .28 | (.26 | ) | .02 | (.26 | ) | 12.98 | .14 | 1,393 | 1.41 | (6 | ) | 1.38 | (6 | ) | 4.24 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .52 | (.36 | ) | .16 | (.59 | ) | 13.22 | 1.19 | 1,415 | 1.38 | 1.36 | 3.87 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .51 | .16 | .67 | (.53 | ) | 13.65 | 5.07 | 1,394 | 1.39 | 1.38 | 3.80 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .58 | .84 | 1.42 | (.61 | ) | 13.51 | 11.38 | 1,274 | 1.41 | 1.41 | 4.37 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2002 | 12.79 | .72 | (.08 | ) | .64 | (.73 | ) | 12.70 | 5.28 | 939 | 1.47 | 1.47 | 5.77 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2001 | 12.79 | .83 | (.03 | ) | .80 | (.80 | ) | 12.79 | 6.37 | 471 | 1.45 | 1.45 | 6.30 | |||||||||||||||||||||||||||||||||
Class C: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .28 | (.26 | ) | .02 | (.26 | ) | 12.98 | .11 | 1,545 | 1.46 | (6 | ) | 1.43 | (6 | ) | 4.19 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .51 | (.36 | ) | .15 | (.58 | ) | 13.22 | 1.12 | 1,429 | 1.44 | 1.42 | 3.81 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .50 | .16 | .66 | (.52 | ) | 13.65 | 4.99 | 1,123 | 1.46 | 1.45 | 3.71 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .57 | .84 | 1.41 | (.60 | ) | 13.51 | 11.29 | 848 | 1.49 | 1.49 | 4.26 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2002 | 12.79 | .71 | (.08 | ) | .63 | (.72 | ) | 12.70 | 5.20 | 554 | 1.55 | 1.55 | 5.66 | |||||||||||||||||||||||||||||||||
Period from 3/15/2001 to 12/31/2001 | 13.05 | .63 | (.27 | ) | .36 | (.62 | ) | 12.79 | 2.83 | 188 | 1.57 | (6 | ) | 1.57 | (6 | ) | 6.25 | (6 | ) | |||||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .33 | (.26 | ) | .07 | (.31 | ) | 12.98 | .52 | 1,020 | .63 | (6 | ) | .61 | (6 | ) | 5.01 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .62 | (.36 | ) | .26 | (.69 | ) | 13.22 | 1.92 | 803 | .65 | .63 | 4.60 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .60 | .16 | .76 | (.62 | ) | 13.65 | 5.80 | 487 | .70 | .69 | 4.46 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .67 | .84 | 1.51 | (.70 | ) | 13.51 | 12.15 | 292 | .72 | .72 | 5.02 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2002 | 12.79 | .81 | (.08 | ) | .73 | (.82 | ) | 12.70 | 6.04 | 180 | .77 | .77 | 6.44 | |||||||||||||||||||||||||||||||||
Period from 3/15/2001 to 12/31/2001 | 13.05 | .70 | (.27 | ) | .43 | (.69 | ) | 12.79 | 3.35 | 76 | .79 | (6 | ) | .79 | (6 | ) | 7.03 | (6 | ) | |||||||||||||||||||||||||||
Class 529-A: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .32 | (.26 | ) | .06 | (.30 | ) | 12.98 | .49 | 320 | .69 | (6 | ) | .67 | (6 | ) | 4.97 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .61 | (.36 | ) | .25 | (.68 | ) | 13.22 | 1.88 | 273 | .69 | .67 | 4.57 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .60 | .16 | .76 | (.62 | ) | 13.65 | 5.80 | 187 | .70 | .70 | 4.48 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .67 | .84 | 1.51 | (.70 | ) | 13.51 | 12.21 | 110 | .68 | .68 | 5.05 | ||||||||||||||||||||||||||||||||||
Period from 2/15/2002 to 12/31/2002 | 12.76 | .69 | (.04 | ) | .65 | (.71 | ) | 12.70 | 5.33 | 50 | .75 | (6 | ) | .75 | (6 | ) | 6.46 | (6 | ) | |||||||||||||||||||||||||||
Class 529-B: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .27 | (.26 | ) | .01 | (.25 | ) | 12.98 | .08 | 61 | 1.54 | (6 | ) | 1.51 | (6 | ) | 4.12 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .50 | (.36 | ) | .14 | (.57 | ) | 13.22 | 1.02 | 58 | 1.54 | 1.52 | 3.71 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .48 | .16 | .64 | (.50 | ) | 13.65 | 4.86 | 49 | 1.59 | 1.58 | 3.60 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .55 | .84 | 1.39 | (.58 | ) | 13.51 | 11.18 | 35 | 1.61 | 1.61 | 4.13 | ||||||||||||||||||||||||||||||||||
Period from 2/15/2002 to 12/31/2002 | 12.76 | .60 | (.04 | ) | .56 | (.62 | ) | 12.70 | 4.55 | 17 | 1.64 | (6 | ) | 1.64 | (6 | ) | 5.57 | (6 | ) | |||||||||||||||||||||||||||
Class 529-C: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .27 | (.26 | ) | .01 | (.25 | ) | 12.98 | .09 | 140 | 1.52 | (6 | ) | 1.50 | (6 | ) | 4.14 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .50 | (.36 | ) | .14 | (.57 | ) | 13.22 | 1.03 | 121 | 1.53 | 1.51 | 3.74 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .48 | .16 | .64 | (.50 | ) | 13.65 | 4.88 | 86 | 1.57 | 1.57 | 3.61 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .55 | .84 | 1.39 | (.58 | ) | 13.51 | 11.19 | 56 | 1.59 | 1.59 | 4.15 | ||||||||||||||||||||||||||||||||||
Period from 2/19/2002 to 12/31/2002 | 12.73 | .60 | (.02 | ) | .58 | (.61 | ) | 12.70 | 4.75 | 28 | 1.63 | (6 | ) | 1.63 | (6 | ) | 5.58 | (6 | ) | |||||||||||||||||||||||||||
Class 529-E: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .30 | (.26 | ) | .04 | (.28 | ) | 12.98 | .34 | 18 | 1.00 | (6 | ) | .97 | (6 | ) | 4.66 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .57 | (.36 | ) | .21 | (.64 | ) | 13.22 | 1.56 | 15 | 1.01 | .99 | 4.25 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .55 | .16 | .71 | (.57 | ) | 13.65 | 5.43 | 11 | 1.05 | 1.05 | 4.13 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .62 | .84 | 1.46 | (.65 | ) | 13.51 | 11.77 | 7 | 1.06 | 1.06 | 4.68 | ||||||||||||||||||||||||||||||||||
Period from 3/7/2002 to 12/31/2002 | 12.70 | .61 | .02 | .63 | (.63 | ) | 12.70 | 5.14 | 3 | 1.13 | (6 | ) | 1.13 | (6 | ) | 6.06 | (6 | ) | ||||||||||||||||||||||||||||
Class 529-F: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 (5) | 13.22 | .34 | (.26 | ) | .08 | (.32 | ) | 12.98 | .59 | 10 | .50 | (6 | ) | .47 | (6 | ) | 5.17 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .62 | (.36 | ) | .26 | (.69 | ) | 13.22 | 1.98 | 7 | .58 | .56 | 4.69 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .59 | .16 | .75 | (.61 | ) | 13.65 | 5.69 | 4 | .80 | .80 | 4.36 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .64 | .84 | 1.48 | (.67 | ) | 13.51 | 11.96 | 2 | .82 | .82 | 4.72 | ||||||||||||||||||||||||||||||||||
Period from 9/26/2002 to 12/31/2002 | 12.31 | .19 | .40 | .59 | (.20 | ) | 12.70 | 4.81 | - | (7 | ) | .30 | .30 | 1.51 | ||||||||||||||||||||||||||||||||
Class R-1: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 | $ | 13.22 | $ | .28 | $ | (.26 | ) | $ | .02 | $ | (.26 | ) | $ | 12.98 | .12 | % | $ | 22 | 1.50 | % | (6 | ) | 1.44 | % | (6 | ) | 4.20 | % | (6 | ) | ||||||||||||||||
Year ended 12/31/2005 | 13.65 | .51 | (.36 | ) | .15 | (.58 | ) | 13.22 | 1.11 | 18 | 1.51 | 1.43 | 3.82 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .50 | .16 | .66 | (.52 | ) | 13.65 | 4.98 | 11 | 1.55 | 1.47 | 3.70 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .57 | .84 | 1.41 | (.60 | ) | 13.51 | 11.29 | 5 | 1.65 | 1.49 | 4.13 | ||||||||||||||||||||||||||||||||||
Period from 6/11/2002 to 12/31/2002 | 12.65 | .38 | .06 | .44 | (.39 | ) | 12.70 | 3.59 | 1 | 2.53 | (6 | ) | 1.52 | (6 | ) | 5.55 | (6 | ) | ||||||||||||||||||||||||||||
Class R-2: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 | 13.22 | .28 | (.26 | ) | .02 | (.26 | ) | 12.98 | .12 | 420 | 1.72 | (6 | ) | 1.42 | (6 | ) | 4.21 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .51 | (.36 | ) | .15 | (.58 | ) | 13.22 | 1.14 | 352 | 1.74 | 1.41 | 3.84 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .50 | .16 | .66 | (.52 | ) | 13.65 | 5.02 | 238 | 1.85 | 1.43 | 3.73 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .57 | .84 | 1.41 | (.60 | ) | 13.51 | 11.33 | 111 | 1.94 | 1.46 | 4.20 | ||||||||||||||||||||||||||||||||||
Period from 5/31/2002 to 12/31/2002 | 12.72 | .40 | (.01 | ) | .39 | (.41 | ) | 12.70 | 3.23 | 21 | 1.67 | (6 | ) | 1.48 | (6 | ) | 5.56 | (6 | ) | |||||||||||||||||||||||||||
Class R-3: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 | 13.22 | .30 | (.26 | ) | .04 | (.28 | ) | 12.98 | .32 | 446 | 1.04 | (6 | ) | 1.02 | (6 | ) | 4.62 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .56 | (.36 | ) | .20 | (.63 | ) | 13.22 | 1.53 | 361 | 1.05 | 1.02 | 4.23 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .55 | .16 | .71 | (.57 | ) | 13.65 | 5.42 | 213 | 1.06 | 1.05 | 4.12 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .62 | .84 | 1.46 | (.65 | ) | 13.51 | 11.76 | 95 | 1.12 | 1.07 | 4.59 | ||||||||||||||||||||||||||||||||||
Period from 6/4/2002 to 12/31/2002 | 12.73 | .42 | (.02 | ) | .40 | (.43 | ) | 12.70 | 3.31 | 18 | 1.20 | (6 | ) | 1.10 | (6 | ) | 5.95 | (6 | ) | |||||||||||||||||||||||||||
Class R-4: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 | 13.22 | .33 | (.26 | ) | .07 | (.31 | ) | 12.98 | .50 | 230 | .68 | (6 | ) | .66 | (6 | ) | 4.98 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .61 | (.36 | ) | .25 | (.68 | ) | 13.22 | 1.91 | 182 | .67 | .65 | 4.61 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .60 | .16 | .76 | (.62 | ) | 13.65 | 5.81 | 77 | .68 | .68 | 4.48 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .67 | .84 | 1.51 | (.70 | ) | 13.51 | 12.15 | 18 | .72 | .72 | 5.05 | ||||||||||||||||||||||||||||||||||
Period from 5/20/2002 to 12/31/2002 | 12.67 | .47 | .04 | .51 | (.48 | ) | 12.70 | 4.21 | 11 | .77 | (6 | ) | .74 | (6 | ) | 6.20 | (6 | ) | ||||||||||||||||||||||||||||
Class R-5: | ||||||||||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/2006 | 13.22 | .34 | (.26 | ) | .08 | (.32 | ) | 12.98 | .64 | 239 | .38 | (6 | ) | .35 | (6 | ) | 5.28 | (6 | ) | |||||||||||||||||||||||||||
Year ended 12/31/2005 | 13.65 | .66 | (.36 | ) | .30 | (.73 | ) | 13.22 | 2.21 | 204 | .37 | .35 | 4.91 | |||||||||||||||||||||||||||||||||
Year ended 12/31/2004 | 13.51 | .65 | .16 | .81 | (.67 | ) | 13.65 | 6.14 | 127 | .37 | .37 | 4.81 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/2003 | 12.70 | .71 | .84 | 1.55 | (.74 | ) | 13.51 | 12.52 | 106 | .40 | .40 | 5.39 | ||||||||||||||||||||||||||||||||||
Period from 5/15/2002 to 12/31/2002 | 12.66 | .52 | .05 | .57 | (.53 | ) | 12.70 | 4.66 | 78 | .42 | (6 | ) | .42 | (6 | ) | 6.75 | (6 | ) |
Six months ended | Year ended December 31 | ||||||||||||||||||
June 30, 2006(5) | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||
Portfolio turnover rate for all classes of shares | 26 | % | 50 | % | 45 | % | 60 | % | 50 | % | 64 | % | |||||||
(1) Based on operations for the periods shown (unless otherwise noted) and, accordingly, may not be representative of a full year. |
(2) Based on average shares outstanding. |
(3) Total returns exclude all sales charges, including contingent deferred sales charges. |
(4) The ratios in this column reflect the impact, if any, of certain reimbursements/waivers from CRMC. During some of the periods shown, CRMC reduced fees for investment advisory services for all share classes. In addition, during the start-up period for the retirement plan share classes (except Class R-5), CRMC agreed to pay a portion of the fees related to transfer agent services. |
(5) Unaudited. |
(6) Annualized. |
(7) Amount less than $1 million. |
See Notes to Financial Statements |
Expense example unaudited
As a shareholder of the fund, you incur two types of costs: (1) transaction costs such as initial sales charges on purchase payments and contingent deferred sales charges on redemptions (loads); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund so you can compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2006, through June 30, 2006).
Actual expenses:
The first line of each share class in the table on the next page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. There are some account fees that are charged to certain types of accounts, such as Individual Retirement Accounts and CollegeAmerica accounts (generally, a $10 fee is charged to set up the account and an additional $10 fee is charged to the account annually) that would increase the amount of expenses paid on your account. In addition, retirement plan participants may be subject to certain fees charged by the plan sponsor, and Class F and Class 529-F shareholders may be subject to fees charged by financial intermediaries, typically ranging from 0.75% to 1.50% of assets annually depending on services offered. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated above. In addition, your ending account value would also be lower by the amount of these fees.
Hypothetical example for comparison purposes:
The second line of each share class in the table on the next page provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for the share class and an assumed rate of return of 5.00% per year before expenses, which is not the actual return of the share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5.00% hypothetical example with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds. There are some account fees that are charged to certain types of accounts, such as Individual Retirement Accounts and CollegeAmerica accounts (generally, a $10 fee is charged to set up the account and an additional $10 fee is charged to the account annually) that would increase the amount of expenses paid on your account. In addition, retirement plan participants may be subject to certain fees charged by the plan sponsor, and Class F and Class 529-F shareholders may be subject to fees charged by financial intermediaries, typically ranging from 0.75% to 1.50% of assets annually depending on services offered. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated on the previous page. In addition, your ending account value would also be lower by the amount of these fees.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning account value 1/1/2006 | Ending account value 6/30/2006 | Expenses paid during period* | Annualized expense ratio | ||||||||||
Class A -- actual return | $ | 1,000.00 | $ | 1,005.05 | $ | 3.13 | .63 | % | |||||
Class A -- assumed 5% return | 1,000.00 | 1,021.67 | 3.16 | .63 | |||||||||
Class B -- actual return | 1,000.00 | 1,001.37 | 6.85 | 1.38 | |||||||||
Class B -- assumed 5% return | 1,000.00 | 1,017.95 | 6.90 | 1.38 | |||||||||
Class C -- actual return | 1,000.00 | 1,001.13 | 7.10 | 1.43 | |||||||||
Class C -- assumed 5% return | 1,000.00 | 1,017.70 | 7.15 | 1.43 | |||||||||
Class F -- actual return | 1,000.00 | 1,005.23 | 3.03 | .61 | |||||||||
Class F -- assumed 5% return | 1,000.00 | 1,021.77 | 3.06 | .61 | |||||||||
Class 529-A -- actual return | 1,000.00 | 1,004.90 | 3.33 | .67 | |||||||||
Class 529-A -- assumed 5% return | 1,000.00 | 1,021.47 | 3.36 | .67 | |||||||||
Class 529-B -- actual return | 1,000.00 | 1,000.82 | 7.49 | 1.51 | |||||||||
Class 529-B -- assumed 5% return | 1,000.00 | 1,017.31 | 7.55 | 1.51 | |||||||||
Class 529-C -- actual return | 1,000.00 | 1,000.90 | 7.44 | 1.50 | |||||||||
Class 529-C -- assumed 5% return | 1,000.00 | 1,017.36 | 7.50 | 1.50 | |||||||||
Class 529-E -- actual return | 1,000.00 | 1,003.42 | 4.82 | .97 | |||||||||
Class 529-E -- assumed 5% return | 1,000.00 | 1,019.98 | 4.86 | .97 | |||||||||
Class 529-F -- actual return | 1,000.00 | 1,005.87 | 2.34 | .47 | |||||||||
Class 529-F -- assumed 5% return | 1,000.00 | 1,022.46 | 2.36 | .47 | |||||||||
Class R-1 -- actual return | 1,000.00 | 1,001.16 | 7.14 | 1.44 | |||||||||
Class R-1 -- assumed 5% return | 1,000.00 | 1,017.65 | 7.20 | 1.44 | |||||||||
Class R-2 -- actual return | 1,000.00 | 1,001.23 | 7.05 | 1.42 | |||||||||
Class R-2 -- assumed 5% return | 1,000.00 | 1,017.75 | 7.10 | 1.42 | |||||||||
Class R-3 -- actual return | 1,000.00 | 1,003.18 | 5.07 | 1.02 | |||||||||
Class R-3 -- assumed 5% return | 1,000.00 | 1,019.74 | 5.11 | 1.02 | |||||||||
Class R-4 -- actual return | 1,000.00 | 1,004.99 | 3.28 | .66 | |||||||||
Class R-4 -- assumed 5% return | 1,000.00 | 1,021.52 | 3.31 | .66 | |||||||||
Class R-5 -- actual return | 1,000.00 | 1,006.45 | 1.74 | .35 | |||||||||
Class R-5 -- assumed 5% return | 1,000.00 | 1,023.06 | 1.76 | .35 | |||||||||
* Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (181), and divided by 365 (to reflect the one-half year period).
Offices of the fund and of the
investment adviser
Capital Research and
Management Company
333 South Hope Street
Los Angeles, CA 90071-1406
135 South State College Boulevard
Brea, CA 92821-5823
Principal underwriter
American Funds Distributors, Inc.
333 South Hope Street
Los Angeles, CA 90071-1406
Transfer agent for shareholder
accounts
American Funds Service Company
(Please write to the address
nearest you.)
P.O. Box 25065
Santa Ana, CA 92799-5065
P.O. Box 659522
San Antonio, TX 78265-9522
P.O. Box 6007
Indianapolis, IN 46206-6007
P.O. Box 2280
Norfolk, VA 23501-2280
Custodian of assets
JPMorgan Chase Bank
270 Park Avenue
New York, NY 10017-2070
Counsel
Paul, Hastings, Janofsky &
Walker LLP
515 South Flower Street
Los Angeles, CA 90071-2228
Independent registered public
accounting firm
Deloitte & Touche LLP
695 Town Center Drive
Suite 1200
Costa Mesa, CA 92626-7188
There are several ways to invest in The Bond Fund of America. Class A shares are subject to a 3.75% maximum up-front sales charge that declines for accounts (and aggregated investments) of $100,000 or more and is eliminated for purchases of $1 million or more. Other share classes, which are generally not available for certain employer-sponsored retirement plans, have no up-front sales charges but are subject to additional annual expenses and fees. Annualized expenses for Class B shares were 0.75 percentage points higher than for Class A shares; Class B shares convert to Class A shares after eight years of ownership. If redeemed within six years, Class B shares may also be subject to a contingent deferred sales charge (“CDSC”) of up to 5% that declines over time. Class C shares were subject to annualized expenses 0.80 percentage points higher than those for Class A shares and a 1% CDSC if redeemed within the first year after purchase. Class C shares convert to Class F shares after 10 years. Class F shares, which are available only through certain fee-based programs offered by broker-dealer firms and registered investment advisers, had lower annualized expenses (by 0.02 percentage points) than did Class A shares, and an annual asset-based fee charged by the sponsoring firm. Expenses are deducted from income earned by the fund. As a result, dividends and investment results will differ for each share class.
Investors should carefully consider the investment objectives, risks, charges and expenses of the American Funds. This and other important information is contained in the fund’s prospectus, which can be obtained from your financial adviser and should be read carefully before investing. You may also call American Funds Service Company (AFS) at 800/421-0180 or visit the American Funds website at americanfunds.com.
“American Funds Proxy Voting Guidelines” — which describes how we vote proxies relating to portfolio securities — is available free of charge on the U.S. Securities and Exchange Commission (SEC) website at sec.gov, on the American Funds website or upon request by calling AFS. The fund files its proxy voting record with the SEC for the 12 months ended June 30 by August 31. The report also is available on the SEC and American Funds websites.
A complete June 30, 2006, portfolio of The Bond Fund of America’s investments is available free of charge by calling AFS or visiting the SEC website (where it is part of Form N-CSR).
The Bond Fund of America files a complete list of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This filing is available free of charge on the SEC website. You may also review or, for a fee, copy this filing at the SEC’s Public Reference Room in Washington, D.C. (800/SEC-0330). Additionally, the list of portfolio holdings also is available by calling AFS.
This report is for the information of shareholders of The Bond Fund of America, but it may also be used as sales literature when preceded or accompanied by the current prospectus, which gives details about charges, expenses, investment objectives and operating policies of the fund. If used as sales material after September 30, 2006, this report must be accompanied by an American Funds statistical update for the most recently completed calendar quarter.
The Capital Group Companies
American Funds Capital Research and Management Capital International Capital Guardian Capital Bank and Trust
Lit. No. MFGESR-908-0806P
Litho in USA BG/CG/6370-S7489
Printed on recycled paper
ITEM 2 - Code of Ethics
Not applicable for filing of semi-annual reports to shareholders.
ITEM 3 - Audit Committee Financial Expert
Not applicable for filing of semi-annual reports to shareholders.
ITEM 4 - Principal Accountant Fees and Services
Not applicable for filing of semi-annual reports to shareholders.
ITEM 5 - Audit Committee of Listed Registrants
Not applicable to this Registrant, insofar as the Registrant is not a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934.
ITEM 6 - Schedule of Investments
[logo - American Funds®]
Bond Fund of America SM
Investment portfolio
June 30, 2006
unaudited | ||
Principal amount | Market value | |
Bonds & notes — 90.85% | (000) | (000) |
CORPORATE BONDS & NOTES — 47.13% | ||
FINANCIALS — 19.24% | ||
General Motors Acceptance Corp. 4.50% 2006 | $ 4,600 | $ 4,598 |
General Motors Acceptance Corp. 6.125% 2006 | 3,880 | 3,874 |
General Motors Acceptance Corp. 5.968% 20072 | 27,000 | 26,924 |
General Motors Acceptance Corp. 6.039% 20072 | 15,000 | 14,900 |
General Motors Acceptance Corp. 6.15% 2007 | 2,750 | 2,734 |
General Motors Acceptance Corp. 5.125% 2008 | 9,855 | 9,445 |
General Motors Acceptance Corp. 5.85% 2009 | 24,040 | 23,058 |
Residential Capital Corp. 6.168% 20092 | 17,500 | 17,468 |
Residential Capital Corp. 6.898% 20091,2 | 6,000 | 6,004 |
Residential Capital Corp. 6.375% 2010 | 40,000 | 39,490 |
General Motors Acceptance Corp. 7.75% 2010 | 5,880 | 5,854 |
Residential Capital Corp. 6.00% 2011 | 30,000 | 29,098 |
General Motors Acceptance Corp. 7.25% 2011 | 72,350 | 70,212 |
General Motors Acceptance Corp. 7.00% 2012 | 41,750 | 39,674 |
Residential Capital Corp. 6.50% 2013 | 25,000 | 24,567 |
General Motors Acceptance Corp. 6.75% 2014 | 1,750 | 1,628 |
General Motors Acceptance Corp. 7.431% 20142 | 75,000 | 72,789 |
Residential Capital Corp. 6.875% 2015 | 2,780 | 2,782 |
International Lease Finance Corp., Series P, 3.125% 2007 | 2,000 | 1,957 |
ASIF Global Financing XVIII 3.85% 20071 | 5,785 | 5,650 |
ASIF Global Financing XXVIII 5.17% 20071,2 | 2,000 | 2,001 |
International Lease Finance Corp. 4.35% 2008 | 21,000 | 20,404 |
International Lease Finance Corp. 4.50% 2008 | 15,500 | 15,179 |
AIG SunAmerica Global Financing VII 5.85% 20081 | 24,250 | 24,348 |
International Lease Finance Corp. 3.50% 2009 | 13,000 | 12,275 |
International Lease Finance Corp., Series O, 4.55% 2009 | 18,355 | 17,699 |
International Lease Finance Corp. 4.75% 2009 | 22,000 | 21,413 |
International Lease Finance Corp. 5.00% 2010 | 4,565 | 4,437 |
International Lease Finance Corp. 5.125% 2010 | 25,000 | 24,410 |
International Lease Finance Corp., Series Q, 5.45% 2011 | 15,000 | 14,735 |
International Lease Finance Corp. 5.00% 2012 | 13,500 | 12,871 |
ASIF Global Financing XIX 4.90% 20131 | 2,000 | 1,898 |
American General Finance Corp., Series I, 5.85% 2013 | 27,500 | 27,300 |
International Lease Finance Corp. 5.875% 2013 | 5,000 | 4,969 |
American General Finance Corp., Series I, 5.40% 2015 | 20,000 | 19,006 |
American International Group, Inc. 6.25% 20361 | 8,750 | 8,414 |
ILFC E-Capital Trust I 5.90% 20651,2 | 67,000 | 65,375 |
ILFC E-Capital Trust II 6.25% 20651,2 | 9,325 | 8,826 |
Washington Mutual, Inc. 7.50% 2006 | 5,000 | 5,011 |
Washington Mutual, Inc. 4.375% 2008 | 11,735 | 11,501 |
Washington Mutual, Inc. 5.55% 2010 | 4,000 | 3,991 |
Washington Mutual, Inc. 5.00% 2012 | 14,000 | 13,325 |
Washington Mutual, Inc. 5.737% 20122 | 41,000 | 40,917 |
Washington Mutual, Inc. 5.796% 20122 | 35,000 | 35,086 |
Washington Mutual, Inc. 5.95% 2013 | 5,000 | 4,949 |
Washington Mutual, Inc. 5.25% 2017 | 10,000 | 9,154 |
Providian Financial Corp., Series A, 9.525% 20271 | 16,750 | 17,790 |
Washington Mutual Preferred Funding I Ltd. 6.534% (undated)1,2 | 140,400 | 134,982 |
Ford Motor Credit Co. 4.875% 2007 | €13,950 | 17,713 |
Ford Motor Credit Co. 7.20% 2007 | $ 3,000 | 2,979 |
Ford Motor Credit Co. 5.80% 2009 | 3,500 | 3,199 |
Ford Motor Credit Co. 7.375% 2009 | 4,000 | 3,701 |
Ford Motor Credit Co. 6.638% 20102 | 35,275 | 32,164 |
Ford Motor Credit Co. 7.875% 2010 | 124,000 | 114,483 |
Ford Motor Credit Co. 9.75% 20101 | 41,000 | 39,983 |
Ford Motor Credit Co. 10.486% 20111,2 | 25,000 | 25,114 |
Household Finance Corp. 5.75% 2007 | 10,000 | 10,010 |
Household Finance Corp. 7.875% 2007 | 32,000 | 32,453 |
Household Finance Corp. 4.125% 2008 | 1,000 | 967 |
Household Finance Corp. 6.40% 2008 | 10,000 | 10,138 |
Household Finance Corp. 4.125% 2009 | 25,000 | 23,812 |
HSBC Finance Corp. 4.625% 2010 | 11,500 | 11,032 |
Household Finance Corp. 6.375% 2011 | 7,250 | 7,417 |
Household Finance Corp. 6.75% 2011 | 23,750 | 24,662 |
HSBC Finance Corp. 5.427% 20122 | 15,000 | 15,102 |
HSBC Finance Corp. 5.679% 20122 | 20,000 | 20,111 |
HSBC Bank USA 4.625% 20141 | 4,000 | 3,673 |
HSBC Finance Corp. 5.00% 2015 | 31,730 | 29,333 |
HSBC Finance Capital Trust IX 5.911% 20352 | 10,000 | 9,560 |
Midland Bank 5.875% Eurodollar note (undated)2 | 15,000 | 12,825 |
J.P. Morgan Chase & Co. 5.35% 2007 | 3,285 | 3,279 |
J.P. Morgan Chase & Co. 4.00% 2008 | 12,500 | 12,195 |
BANK ONE, Texas, NA 6.25% 2008 | 7,250 | 7,304 |
J.P. Morgan Chase & Co. 6.75% 2011 | 15,000 | 15,606 |
J.P. Morgan Chase & Co. 6.625% 2012 | 14,165 | 14,684 |
J.P. Morgan Chase & Co. 5.75% 2013 | 16,000 | 15,859 |
J.P. Morgan Chase & Co. 4.75% 2015 | 7,500 | 6,886 |
J.P. Morgan Chase & Co. 4.891% 2015 | 57,100 | 55,031 |
Bank One Corp. 4.90% 2015 | 9,000 | 8,309 |
J.P. Morgan Chase & Co. 5.15% 2015 | 24,190 | 22,620 |
Chase Capital II, Global Floating Rate Capital Securities, Series B, 5.649% 20272 | 20,000 | 19,283 |
CIT Group Inc. 3.65% 2007 | 25,720 | 25,016 |
CIT Group Inc. 5.75% 2007 | 13,500 | 13,496 |
CIT Group Inc. 4.00% 2008 | 14,000 | 13,596 |
CIT Group Inc. 3.375% 2009 | 5,000 | 4,714 |
CIT Group Inc. 6.875% 2009 | 31,000 | 31,967 |
CIT Group Inc. 4.25% 2010 | 30,000 | 28,593 |
CIT Group Inc. 7.75% 2012 | 26,875 | 29,167 |
CIT Group Inc. 5.40% 2013 | 15,000 | 14,531 |
Santander Issuances, SA Unipersonal 5.774% 20161,2 | 20,000 | 20,023 |
Santander Issuances, SA Unipersonal 5.805% 20161,2 | 62,000 | 61,547 |
Abbey National PLC 6.70% (undated)2 | 18,380 | 18,638 |
Abbey National PLC 7.35% (undated)2 | 30,500 | 30,682 |
Abbey National PLC 7.50% (undated)2 | £2,975 | 6,186 |
HBOS Treasury Services PLC 3.75% 20081 | $ 2,000 | 1,923 |
HBOS PLC, Series B, 5.92% (undated)1,2 | 108,100 | 99,761 |
Bank of Scotland 7.00% (undated)1,2 | 25,000 | 25,321 |
Sumitomo Mitsui Banking Corp. 5.625% (undated)1,2 | 130,795 | 122,196 |
Prudential Financial, Inc. 4.104% 2006 | 10,000 | 9,951 |
Prudential Insurance Co. of America 6.375% 20061 | 4,000 | 4,002 |
PRICOA Global Funding I, Series 2003-2, 3.90% 20081 | 7,500 | 7,194 |
PRICOA Global Funding I, Series 2004-4, 4.35% 20081 | 2,500 | 2,436 |
PRICOA Global Funding I 4.20% 20101 | 17,000 | 16,161 |
Prudential Financial, Inc., Series B, 4.75% 2014 | 4,000 | 3,702 |
Prudential Holdings, LLC, Series C, 8.695% 20231,3 | 57,035 | 67,877 |
USA Education, Inc. 5.625% 2007 | 29,150 | 29,120 |
SLM Corp., Series A, 3.95% 2008 | 17,500 | 16,846 |
SLM Corp., Series A, 4.00% 2010 | 5,500 | 5,198 |
SLM Corp., Series A, 4.50% 2010 | 43,000 | 41,033 |
SLM Corp., Series A, 5.125% 2012 | 5,000 | 4,808 |
SLM Corp., Series A, 5.375% 2013 | 5,450 | 5,273 |
Resona Bank, Ltd. 3.75% 20152 | €9,740 | 12,153 |
Resona Bank, Ltd. 5.85% (undated)1,2 | $90,585 | 84,431 |
Westfield Capital Corp. Ltd. and WT Finance (Australia) Pty Ltd. and WEA | ||
Finance LLC 4.375% 20101 | 57,950 | 54,731 |
Westfield Capital Corp. Ltd. and WT Finance (Australia) Pty Ltd. and WEA | ||
Finance LLC 5.125% 20141 | 26,600 | 24,979 |
WT Finance (Australia) Pty Ltd., Westfield Europe Finance PLC, and WEA | ||
Finance LLC 5.50% 2017 | £3,470 | 6,285 |
SocGen Real Estate Co. LLC, Series A, 7.64% (undated)1,2 | $74,250 | 75,846 |
Bank of America Corp. 3.875% 2008 | 2,000 | 1,951 |
Bank of America Corp. 4.375% 2010 | 13,000 | 12,364 |
Bank of America Corp. 4.50% 2010 | 9,000 | 8,638 |
BankAmerica Corp. 7.125% 2011 | 1,750 | 1,862 |
Bank of America Corp. 4.875% 2012 | 2,000 | 1,908 |
MBNA Corp., Series F, 7.50% 2012 | 1,800 | 1,949 |
Bank of America Corp. 5.25% 2015 | 5,000 | 4,737 |
MBNA Capital A, Series A, 8.278% 2026 | 7,500 | 7,864 |
MBNA Global Capital Funding, Series B, 5.949% 20272 | 33,000 | 32,689 |
Citigroup Inc. 3.50% 2008 | 20,000 | 19,375 |
Citigroup Inc. 4.25% 2009 | 15,000 | 14,443 |
Citigroup Inc. 4.125% 2010 | 26,000 | 24,740 |
Citigroup Inc. 5.125% 2011 | 10,000 | 9,775 |
Citigroup Inc. 5.625% 2012 | 5,675 | 5,614 |
Price REIT, Inc. 7.50% 2006 | 2,760 | 2,774 |
Kimco Realty Corp., Series C, 3.95% 2008 | 9,200 | 8,904 |
Kimco Realty Corp., Series C, 4.82% 2011 | 10,000 | 9,531 |
Kimco Realty Corp. 6.00% 2012 | 18,500 | 18,578 |
Kimco Realty Corp., Series C, 4.82% 2014 | 12,000 | 11,003 |
Kimco Realty Corp., Series C, 4.904% 2015 | 3,000 | 2,770 |
Kimco Realty Corp., Series C, 5.783% 2016 | 18,500 | 17,945 |
Mizuho Capital Investment (USD) 1 Ltd. and Mizuho Capital Investment (EUR) 1 Ltd. 6.686% | ||
noncumulative preferred (undated)1,2 | 64,010 | 60,848 |
Lazard Group LLC 7.125% 2015 | 57,915 | 58,627 |
EOP Operating LP 7.75% 2007 | 2,000 | 2,050 |
EOP Operating LP 6.75% 2008 | 24,500 | 24,851 |
EOP Operating LP 4.65% 2010 | 17,010 | 16,143 |
EOP Operating LP 7.00% 2011 | 2,500 | 2,600 |
EOP Operating LP 6.75% 2012 | 8,250 | 8,522 |
EOP Operating LP 7.50% 2029 | 1,710 | 1,801 |
ReliaStar Financial Corp. 8.00% 2006 | 23,160 | 23,325 |
ING Security Life Institutional Funding 2.70% 20071 | 4,730 | 4,635 |
ReliaStar Financial Corp. 6.50% 2008 | 6,016 | 6,112 |
ING Bank NV 5.50% 2012 | €3,750 | 5,081 |
ING Groep NV 5.775% (undated)2 | 15,500 | 14,734 |
XL Capital Finance (Europe) PLC 6.50% 2012 | 12,455 | 12,654 |
Mangrove Bay Pass Through Trust 6.102% 20331,2 | 31,505 | 30,136 |
Twin Reefs Asset Trust (XLFA), Series B, 6.17% (undated)1,2 | 10,200 | 10,200 |
Developers Diversified Realty Corp. 3.875% 2009 | 19,500 | 18,571 |
Developers Diversified Realty Corp. 5.00% 2010 | 2,500 | 2,425 |
Developers Diversified Realty Corp. 5.375% 2012 | 15,450 | 14,867 |
Developers Diversified Realty Corp. 5.50% 2015 | 17,500 | 16,505 |
TuranAlem Finance BV 7.75% 20131 | 11,000 | 10,739 |
TuranAlem Finance BV 8.00% 2014 | 9,710 | 9,455 |
TuranAlem Finance BV 8.00% 20141 | 5,000 | 4,869 |
TuranAlem Finance BV 8.50% 20151 | 20,560 | 20,277 |
TuranAlem Finance BV 8.50% 2015 | 6,890 | 6,795 |
Skandinaviska Enskilda Banken AB 4.958% (undated)1,2 | 32,805 | 29,289 |
Skandinaviska Enskilda Banken AB 5.471% (undated)1,2 | 8,390 | 7,685 |
Skandinaviska Enskilda Banken AB 7.50% (undated)2 | 12,500 | 13,135 |
Hospitality Properties Trust 7.00% 2008 | 1,000 | 1,016 |
Hospitality Properties Trust 6.75% 2013 | 17,845 | 18,286 |
Hospitality Properties Trust 5.125% 2015 | 6,850 | 6,294 |
Hospitality Properties Trust 6.30% 2016 | 24,175 | 23,855 |
Allstate Financial Global Funding LLC 5.25% 20071 | 26,500 | 26,448 |
Allstate Life Global Funding Trust, Series 2004-2, 5.27% 20072 | 3,000 | 3,002 |
Allstate Financial Global Funding LLC 4.25% 20081 | 7,500 | 7,291 |
Allstate Life Global Funding Trust, Series 2004-1, 4.50% 2009 | 5,000 | 4,851 |
Allstate Financing II 7.83% 2045 | 5,000 | 5,221 |
PLD International Finance LLC 4.375% 2011 | €4,150 | 5,273 |
ProLogis 5.50% 2012 | $17,500 | 17,057 |
ProLogis 5.625% 20151 | 25,000 | 23,914 |
Lincoln National Corp. 7.00% 20662 | 45,770 | 45,495 |
Royal Bank of Scotland Group PLC 8.375% 2007 | £6,500 | 12,215 |
Royal Bank of Scotland Group PLC 5.00% 2014 | $ 6,500 | 6,151 |
Royal Bank of Scotland Group PLC 5.512% noncumulative trust preferred (undated)2 | 8,924 | 8,333 |
National Westminster Bank PLC 7.75% (undated)2 | 17,000 | 17,383 |
Monumental Global Funding Trust II, Series 2002-A, 5.20% 20071 | 17,500 | 17,460 |
AEGON NV 4.625% 2008 | €7,750 | 10,064 |
Transamerica Corp. 9.375% 2008 | $7,500 | 7,865 |
Monumental Global Funding II, Series 2004-F, 4.375% 20091 | 2,000 | 1,928 |
AEGON NV 6.125% 2031 | £1,600 | 3,322 |
Kazkommerts International BV 7.00% 20091 | $ 5,500 | 5,459 |
Kazkommerts International BV 8.50% 2013 | 8,500 | 8,755 |
Kazkommerts International BV 7.875% 20141 | 9,200 | 9,085 |
Kazkommerts International BV 8.00% 20151 | 15,500 | 15,113 |
ZFS Finance (USA) Trust I 6.15% 20651,2 | 32,680 | 31,340 |
ZFS Finance (USA) Trust II 6.45% 20651,2 | 6,000 | 5,499 |
HVB Funding Trust I 8.741% 20311 | 18,339 | 21,656 |
HVB Funding Trust III 9.00% 20311 | 12,530 | 15,181 |
ACE Ltd. 6.00% 2007 | 1,000 | 1,001 |
ACE INA Holdings Inc. 5.875% 2014 | 20,275 | 19,619 |
ACE Capital Trust II 9.70% 2030 | 12,423 | 15,342 |
Development Bank of Singapore Ltd. 7.875% 20091 | 20,000 | 21,070 |
DBS Bank Ltd. 5.98% 20211,2 | 12,500 | 12,500 |
American Honda Finance Corp. 5.125% 20101 | 34,350 | 33,538 |
World Savings Bank, FSB, Bank Notes, Series 2008-FXR, 4.125% 2008 | 34,250 | 33,411 |
Berkshire Hathaway Finance Corp. 4.125% 2010 | 25,000 | 23,804 |
Berkshire Hathaway Finance Corp. 4.75% 2012 | 10,000 | 9,480 |
CNA Financial Corp. 6.75% 2006 | 3,000 | 3,010 |
CNA Financial Corp. 5.85% 2014 | 16,500 | 15,589 |
CNA Financial Corp. 7.25% 2023 | 14,300 | 14,307 |
Liberty Mutual Group Inc. 6.50% 20351 | 37,460 | 32,807 |
Nationwide Life Insurance Co. 5.35% 20071 | 4,250 | 4,243 |
North Front Pass Through Trust 5.81% 20241,2 | 18,500 | 17,617 |
Nationwide Mutual Insurance Co. 7.875% 20331 | 8,000 | 8,897 |
Nationwide Mutual Insurance Co. 6.60% 20341 | 2,000 | 1,885 |
Simon Property Group, LP 4.875% 2010 | 12,000 | 11,584 |
Simon Property Group, LP 5.375% 2011 | 12,500 | 12,198 |
Simon Property Group, LP 5.75% 2012 | 4,000 | 3,945 |
Simon Property Group, LP 6.10% 2016 | 4,000 | 3,976 |
Principal Life Global Funding I 2.80% 20081 | 11,625 | 11,022 |
Principal Life Global Funding I 4.40% 20101 | 16,600 | 15,720 |
Principal Life Income Fundings Trust, Series 2005-34, 5.20% 2010 | 2,000 | 1,959 |
Brandywine Operating Partnership, LP 5.75% 2012 | 26,550 | 26,018 |
iStar Financial, Inc. 5.375% 2010 | 10,675 | 10,431 |
iStar Financial, Inc., Series B, 5.125% 2011 | 1,500 | 1,438 |
iStar Financial, Inc. 6.05% 2015 | 14,285 | 13,994 |
Rouse Co. 3.625% 2009 | 5,200 | 4,858 |
Rouse Co. 7.20% 2012 | 17,700 | 17,839 |
Rouse Co. (TRC) 6.75% 20131 | 2,000 | 1,958 |
UnionBanCal Corp. 5.25% 2013 | 2,000 | 1,913 |
Union Bank of California, NA 5.95% 2016 | 22,000 | 21,895 |
Jackson National Life Global Funding, Series 2002-1, 5.25% 20071 | 23,125 | 23,136 |
Plum Creek Timberlands, LP 5.875% 2015 | 23,500 | 22,488 |
Metropolitan Life Global Funding I, Series 2004-2, 5.411% 20071,2 | 1,500 | 1,501 |
Met Life Global Funding I 2.60% 20081 | 20,000 | 18,839 |
MetLife, Inc. 5.00% 2015 | 2,000 | 1,853 |
John Hancock Global Funding II, Series 2002-G, 5.00% 20071 | 5,000 | 4,954 |
John Hancock Global Funding II, Series 2004-A, 3.50% 20091 | 18,000 | 17,125 |
Assurant, Inc. 5.625% 2014 | 22,000 | 21,135 |
Canadian Imperial Bank of Commerce 5.125% Eurodollar note 20852 | 25,000 | 21,000 |
United Overseas Bank Ltd. 5.375% 20191,2 | 22,250 | 20,844 |
Zions Bancorporation 5.50% 2015 | 21,625 | 20,646 |
Hartford Financial Services Group, Inc. 4.70% 2007 | 16,250 | 16,054 |
Hartford Financial Services Group, Inc. 5.55% 2008 | 875 | 873 |
Hartford Financial Services Group, Inc. 4.625% 2013 | 4,000 | 3,688 |
Countrywide Home Loans, Inc., Series M, 4.125% 2009 | 20,000 | 19,034 |
Bank of Ireland 6.107% (undated)1,2 | 20,300 | 18,938 |
United Dominion Realty Trust, Inc., Series E, 4.50% 2008 | 17,000 | 16,640 |
Standard Chartered Bank 5.588% (undated)2 | 5,000 | 4,175 |
Standard Chartered Bank 5.688% Eurodollar note (undated)2 | 15,000 | 12,450 |
Credit Suisse First Boston (USA), Inc. 6.50% 2012 | 15,000 | 15,496 |
Capital One Bank 4.25% 2008 | 8,000 | 7,742 |
Capital One Financial Corp. 6.25% 2013 | 7,000 | 7,062 |
Protective Life Insurance Co., Series 2005-C, 4.85% 2010 | 15,000 | 14,612 |
Downey Financial Corp. 6.50% 2014 | 14,380 | 14,138 |
Advanta Capital Trust I, Series B, 8.99% 2026 | 12,500 | 12,656 |
Genworth Financial, Inc. 5.479% 20072 | 2,500 | 2,504 |
Genworth Financial, Inc. 4.75% 2009 | 10,345 | 10,108 |
ERP Operating LP 4.75% 2009 | 2,225 | 2,167 |
ERP Operating LP 6.625% 2012 | 5,000 | 5,181 |
ERP Operating LP 5.375% 2016 | 5,000 | 4,702 |
E*TRADE Financial Corp. 8.00% 2011 | 750 | 769 |
E*TRADE Financial Corp. 7.375% 2013 | 925 | 930 |
E*TRADE Financial Corp. 7.875% 2015 | 9,720 | 10,012 |
Independence Community Bank Corp. 4.90% 2010 | 12,000 | 11,520 |
MassMutual Global Funding II, Series 2002-1, 3.50% 20101 | 12,000 | 11,182 |
Comerica, Inc., Imperial Capital Trust I, Imperial Bancorp, Series B, 9.98% 2026 | 10,200 | 11,074 |
Wells Fargo & Co. 3.50% 2008 | 3,310 | 3,193 |
Wells Fargo & Co. 4.125% 2008 | 8,000 | 7,807 |
St. Paul Travelers Companies, Inc. 6.25% 2016 | 11,000 | 10,973 |
AB Spintab 6.00% 2009 | SKr73,000 | 10,734 |
Banco Santander-Chile 5.375% 20141 | $11,200 | 10,671 |
PNC Funding Corp. 4.20% 2008 | 6,750 | 6,585 |
PNC Funding Corp. 5.125% 2010 | 4,000 | 3,906 |
United Energy Distribution Pty Ltd., AMBAC insured, 4.70% 20111 | 10,000 | 9,573 |
Post Apartment Homes, LP 7.70% 2010 | 1,400 | 1,484 |
Post Apartment Homes, LP 5.125% 2011 | 7,720 | 7,338 |
American Express Credit Corp. 3.00% 2008 | 9,060 | 8,648 |
Bank of Nova Scotia 5.125% 20852 | 10,000 | 8,528 |
Shinsei Bank, Ltd. 3.75% 20162 | €6,865 | 8,438 |
Chohung Bank 4.50% 20141,2 | $8,000 | 7,538 |
Host Marriott, LP, Series G, 9.25% 2007 | 625 | 648 |
Host Marriott, LP, Series M, 7.00% 2012 | 6,595 | 6,570 |
Lloyds Bank, Series 2, 5.438% (undated)2 | 8,000 | 7,114 |
BCI U.S. Funding Trust I 8.01% noncumulative preferred (undated)1,2 | 6,500 | 6,749 |
Allied Irish Banks Ltd. 5.626% (undated)2 | 7,000 | 6,384 |
Weingarten Realty Investors, Series A, 4.857% 2014 | 6,080 | 5,631 |
National Australia Bank Ltd. 5.486% (undated)1,2 | 5,925 | 5,470 |
Irvine Apartment Communities, LP 7.00% 2007 | 5,000 | 4,997 |
Wachovia Corp., Series G, 4.375% 2010 | 5,000 | 4,785 |
Industrial Bank of Korea 4.00% 20141,2 | 5,000 | 4,715 |
Bergen Bank 5.125% (undated)2 | 5,000 | 4,200 |
National Bank of Canada 5.125% 20872 | 5,000 | 4,112 |
Christiana Bank Og Kreditkasse 5.466% (undated)2 | 4,000 | 3,582 |
Federal Realty Investment Trust 4.50% 2011 | 3,500 | 3,276 |
FelCor Lodging LP 8.50% 20112 | 2,270 | 2,418 |
Willis North America Inc. 5.625% 20154 | 2,500 | 2,236 |
Deutsche Bank Financial LLC 5.375% 2015 | 2,000 | 1,924 |
Fairfax Financial Holdings Ltd. 7.75% 2012 | 2,000 | 1,750 |
UnumProvident Finance Co. PLC 6.85% 20151 | 1,425 | 1,403 |
Crescent Real Estate LP 7.50% 2007 | 1,190 | 1,208 |
4,697,683 | ||
CONSUMER DISCRETIONARY — 6.41% | ||
DaimlerChrysler North America Holding Corp. 4.05% 2008 | 4,750 | 4,595 |
DaimlerChrysler North America Holding Corp. 4.75% 2008 | 4,800 | 4,723 |
DaimlerChrysler North America Holding Corp. 5.74% 20092 | 30,000 | 30,043 |
DaimlerChrysler North America Holding Corp. 7.20% 2009 | 19,750 | 20,386 |
DaimlerChrysler North America Holding Corp. 4.875% 2010 | 37,750 | 36,117 |
DaimlerChrysler North America Holding Corp. 8.00% 2010 | 56,500 | 60,034 |
DaimlerChrysler North America Holding Corp. 7.75% 2011 | 26,350 | 27,841 |
DaimlerChrysler North America Holding Corp. 6.50% 2013 | 11,610 | 11,620 |
DaimlerChrysler North America Holding Corp. 8.50% 2031 | 1,610 | 1,828 |
Comcast Cable Communications, Inc. 6.20% 2008 | 7,150 | 7,225 |
Lenfest Communications, Inc. 7.625% 2008 | 6,750 | 6,921 |
Comcast Cable Communications, Inc. 6.875% 2009 | 15,194 | 15,644 |
Comcast Cable Communications, Inc. 6.75% 2011 | 15,000 | 15,494 |
Tele-Communications, Inc. 9.80% 2012 | 17,500 | 20,210 |
Comcast Cable Communications, Inc. 7.125% 2013 | 1,650 | 1,731 |
Tele-Communications, Inc. 7.875% 2013 | 7,500 | 8,090 |
Comcast Corp. 5.85% 2015 | 29,025 | 28,002 |
Comcast Corp. 6.50% 2015 | 23,000 | 23,218 |
Comcast Corp. 5.90% 2016 | 6,570 | 6,324 |
Comcast Corp. 5.65% 2035 | 6,670 | 5,679 |
Harrah’s Operating Co., Inc. 5.50% 2010 | 17,320 | 16,912 |
Harrah’s Operating Co., Inc. 5.625% 2015 | 27,650 | 25,618 |
Harrah’s Operating Co., Inc. 6.50% 2016 | 20,000 | 19,523 |
Harrah’s Operating Co., Inc. 5.75% 2017 | 12,000 | 10,954 |
Viacom Inc. 5.75% 20111 | 1,130 | 1,111 |
Viacom Inc. 6.25% 20161 | 34,110 | 33,172 |
Viacom Inc. 6.875% 20361 | 32,600 | 31,558 |
Clear Channel Communications, Inc. 6.625% 2008 | 5,375 | 5,420 |
Chancellor Media Corp. of Los Angeles 8.00% 2008 | 12,500 | 13,003 |
Clear Channel Communications, Inc. 7.65% 2010 | 15,826 | 16,520 |
Clear Channel Communications, Inc. 5.75% 2013 | 10,000 | 9,397 |
Clear Channel Communications, Inc. 5.50% 2014 | 3,000 | 2,720 |
Clear Channel Communications, Inc. 6.875% 2018 | 13,000 | 12,430 |
News America Holdings Inc. 6.625% 2008 | 12,900 | 13,070 |
News America Inc. 5.30% 2014 | 8,000 | 7,604 |
News America Holdings Inc. 8.00% 2016 | 1,000 | 1,123 |
News America Holding Inc. 8.25% 2018 | 8,990 | 10,317 |
News America Inc. 6.40% 2035 | 26,000 | 24,123 |
Royal Caribbean Cruises Ltd. 7.00% 2007 | 1,400 | 1,420 |
Royal Caribbean Cruises Ltd. 8.75% 2011 | 2,325 | 2,511 |
Royal Caribbean Cruises Ltd. 6.875% 2013 | 1,150 | 1,133 |
Royal Caribbean Cruises Ltd. 7.00% 2013 | 29,980 | 29,858 |
Royal Caribbean Cruises Ltd. 7.25% 2016 | 17,000 | 16,920 |
Time Warner Inc. 8.18% 2007 | 2,225 | 2,283 |
AOL Time Warner Inc. 6.875% 2012 | 33,500 | 34,663 |
AOL Time Warner Inc. 7.625% 2031 | 9,825 | 10,609 |
Toll Brothers, Inc. 6.875% 2012 | 9,875 | 9,850 |
Toll Brothers, Inc. 4.95% 2014 | 23,720 | 20,761 |
Toll Brothers, Inc. 5.15% 2015 | 14,000 | 12,239 |
General Motors Corp. 6.375% 2008 | 3,000 | 2,872 |
General Motors Nova Scotia Finance Co. 6.85% 2008 | 7,800 | 7,429 |
General Motors Corp. 7.20% 2011 | 11,700 | 10,413 |
General Motors Corp. 7.125% 2013 | 8,230 | 6,913 |
General Motors Corp. 7.25% 2013 | €700 | 742 |
General Motors Corp. 7.70% 2016 | 8,760 | 7,227 |
General Motors Corp. 9.40% 2021 | 1,875 | 1,636 |
General Motors Corp. 8.375% 2033 | 1,200 | 966 |
Cox Communications, Inc. 5.869% 20072 | 5,000 | 5,026 |
Cox Communications, Inc. 7.875% 2009 | 1,000 | 1,051 |
Cox Communications, Inc. 4.625% 2010 | 5,000 | 4,773 |
Cox Communications, Inc. 7.75% 2010 | 10,000 | 10,600 |
Cox Communications, Inc. 5.45% 2014 | 12,750 | 11,808 |
Target Corp. 3.375% 2008 | 8,330 | 8,042 |
Target Corp. 5.375% 2009 | 24,500 | 24,388 |
Pulte Homes, Inc. 4.875% 2009 | 25,300 | 24,422 |
Pulte Homes, Inc. 7.625% 2017 | 7,500 | 7,846 |
Ryland Group, Inc. 5.375% 2008 | 2,000 | 1,970 |
Ryland Group, Inc. 5.375% 2012 | 30,900 | 28,568 |
Charter Communications Operating, LLC and Charter Communications Operating | ||
Capital Corp. 8.00% 20121 | 9,650 | 9,650 |
Charter Communications, Series B, 7.755% 20132 | 6,425 | 6,449 |
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013 | 10,750 | 10,535 |
Charter Communications Operating, LLC and Charter Communications Operating | ||
Capital Corp. 8.375% 20141 | 2,500 | 2,516 |
Viacom Inc. 5.625% 2007 | 6,600 | 6,594 |
Viacom Inc. 6.625% 2011 | 13,000 | 13,356 |
Viacom Inc. 5.625% 2012 | 8,500 | 8,317 |
Centex Corp. 5.80% 2009 | 2,500 | 2,471 |
Centex Corp. 5.25% 2015 | 6,725 | 6,049 |
Centex Corp. 6.50% 2016 | 20,000 | 19,469 |
Carnival Corp. 3.75% 2007 | 8,500 | 8,261 |
Carnival Corp. 6.15% 2008 | 18,623 | 18,715 |
J.C. Penney Co., Inc. 8.00% 2010 | 7,590 | 8,093 |
J.C. Penney Co., Inc. 9.00% 2012 | 995 | 1,142 |
J.C. Penney Co., Inc. 7.65% 2016 | 3,600 | 3,918 |
J.C. Penney Co., Inc. 7.95% 2017 | 8,000 | 8,954 |
J.C. Penney Co., Inc. 7.625% 2097 | 500 | 498 |
Johnson Controls, Inc. 5.25% 2011 | 7,550 | 7,365 |
Johnson Controls, Inc. 5.50% 2016 | 15,000 | 14,258 |
D.R. Horton, Inc. 9.75% 2010 | 1,150 | 1,268 |
D.R. Horton, Inc. 7.875% 2011 | 800 | 841 |
D.R. Horton, Inc. 6.50% 2016 | 20,060 | 19,322 |
American Media Operations, Inc., Series B, 10.25% 2009 | 15,690 | 14,709 |
American Media Operations, Inc. 8.875% 2011 | 7,060 | 6,283 |
Kohl’s Corp. 6.30% 2011 | 16,000 | 16,311 |
Kohl’s Corp. 7.375% 2011 | 1,500 | 1,590 |
Omnicom Group Inc. 5.90% 2016 | 17,750 | 17,029 |
Visteon Corp. 8.25% 2010 | 16,990 | 15,971 |
Cinemark USA, Inc. 9.00% 2013 | 8,325 | 8,783 |
Cinemark, Inc. 0%/9.75% 20145 | 8,750 | 6,825 |
Mohegan Tribal Gaming Authority 6.375% 2009 | 14,410 | 14,104 |
Mohegan Tribal Gaming Authority 7.125% 2014 | 1,500 | 1,459 |
MGM MIRAGE 6.00% 2009 | 1,975 | 1,931 |
MGM MIRAGE 8.50% 2010 | 6,850 | 7,150 |
MGM MIRAGE 6.75% 2012 | 1,050 | 1,016 |
MGM MIRAGE 6.75% 20131 | 2,500 | 2,397 |
MGM MIRAGE 5.875% 2014 | 500 | 451 |
MGM MIRAGE 6.625% 2015 | 1,525 | 1,430 |
Seminole Tribe of Florida 5.798% 20131 | 14,750 | 14,306 |
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp. 6.625% 2014 | 14,415 | 13,658 |
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012 | 12,025 | 12,762 |
Delphi Automotive Systems Corp. 6.50% 20096 | 6,000 | 5,040 |
Delphi Corp. 6.50% 20136 | 7,020 | 5,511 |
Delphi Automotive Systems Corp. 6.55% 20066 | 500 | 417 |
Delphi Automotive Systems Corp. 7.125% 20296 | 1,350 | 1,060 |
Grupo Posadas, SA de CV 8.75% 20111 | 10,585 | 10,638 |
Grupo Posadas, SA de CV 8.75% 2011 | 1,050 | 1,055 |
Young Broadcasting Inc. 10.00% 2011 | 12,317 | 11,024 |
CanWest Media Inc., Series B, 8.00% 2012 | 10,926 | 10,871 |
Telenet Group Holding NV 0%/11.50% 20141,5 | 12,709 | 10,834 |
NTL Cable PLC 8.75% 2014 | 5,825 | 5,810 |
NTL Cable PLC 8.75% 2014 | €1,000 | 1,305 |
NTL Inc. 10.30% 20162 | $ 3,675 | 3,675 |
Linens n’ Things, Inc. 10.702% 20141,2 | 10,750 | 10,239 |
Bon-Ton Stores, Inc. 10.25% 20141 | 10,500 | 9,791 |
Lowe’s Companies, Inc. 8.25% 2010 | 8,450 | 9,225 |
Neiman Marcus Group, Inc. 9.00% 20151,7 | 8,620 | 9,051 |
AMC Entertainment Inc., Series B, 8.625% 2012 | 3,000 | 3,097 |
AMC Entertainment Inc. 8.00% 2014 | 5,650 | 5,205 |
Iesy Repository GmbH 10.375% 20151 | 8,550 | 8,208 |
William Lyon Homes, Inc. 7.625% 2012 | 5,750 | 4,801 |
William Lyon Homes, Inc. 10.75% 2013 | 2,000 | 1,930 |
William Lyon Homes, Inc. 7.50% 2014 | 1,500 | 1,252 |
Kabel Deutschland GmbH 10.625% 20141 | 7,150 | 7,579 |
Toys "R" Us, Inc. 7.625% 2011 | 2,000 | 1,635 |
Toys "R" Us, Inc. 10.34% 20122 | 5,250 | 5,250 |
Toys "R" Us, Inc. 7.875% 2013 | 450 | 357 |
Technical Olympic USA, Inc. 9.00% 2010 | 2,600 | 2,541 |
Technical Olympic USA, Inc. 9.00% 2010 | 950 | 929 |
Technical Olympic USA, Inc. 7.50% 2011 | 3,750 | 3,337 |
Regal Cinemas Corp., Series B, 9.375% 20124 | 6,125 | 6,498 |
Liberty Media Corp. 7.875% 2009 | 2,500 | 2,601 |
Liberty Media Corp. 8.50% 2029 | 1,250 | 1,222 |
Liberty Media Corp. 8.25% 2030 | 2,750 | 2,646 |
Burlington Coat Factory Holdings, Inc. 11.125% 20141 | 6,600 | 6,435 |
Century Communications Corp. 0% 20036 | 5,000 | 4,525 |
Adelphia Communications Corp. 10.25% 20066 | 3,500 | 1,890 |
Tenneco Automotive Inc., Series B, 10.25% 2013 | 750 | 826 |
Tenneco Automotive Inc. 8.625% 2014 | 5,510 | 5,524 |
PETCO Animal Supplies, Inc. 10.75% 2011 | 5,750 | 6,095 |
Thomson Corp. 5.50% 2035 | 7,000 | 6,070 |
MDC Holdings, Inc. 5.50% 2013 | 6,555 | 5,992 |
Quebecor Media Inc. 7.75% 20161 | 5,900 | 5,811 |
Marriott International, Inc., Series F, 4.625% 2012 | 1,500 | 1,386 |
Marriott International, Inc., Series G, 5.81% 2015 | 4,500 | 4,347 |
RBS-Zero Editora Jornalística SA 11.00% 20101 | 5,492 | 5,684 |
Dollarama Group LP 8.875% 20121 | 5,550 | 5,605 |
Payless ShoeSource, Inc. 8.25% 2013 | 4,850 | 5,038 |
Fisher Communications, Inc. 8.625% 2014 | 4,550 | 4,732 |
WCI Communities, Inc. 9.125% 2012 | 3,115 | 2,936 |
WCI Communities, Inc. 7.875% 2013 | 1,750 | 1,544 |
Emmis Operating Co. 6.875% 2012 | 4,250 | 4,186 |
Radio One, Inc., Series B, 8.875% 2011 | 4,000 | 4,165 |
Atlantic Broadband Finance, LLC and Atlantic Broadband Finance, Inc. 9.375% 2014 | 4,300 | 4,063 |
Six Flags, Inc. 8.875% 2010 | 1,500 | 1,432 |
Six Flags, Inc. 9.75% 2013 | 2,845 | 2,628 |
Cablevision Systems Corp., Series B, 8.00% 2012 | 3,635 | 3,603 |
Sealy Mattress Co. 8.25% 2014 | 3,500 | 3,518 |
Walt Disney Co., Series B, 5.375% 2007 | 3,500 | 3,492 |
Buffets, Inc. 11.25% 2010 | 3,275 | 3,402 |
Morris Publishing Group, LLC and Morris Publishing Finance Co., Series B, 7.00% 2013 | 3,540 | 3,381 |
K. Hovnanian Enterprises, Inc. 6.25% 2015 | 500 | 441 |
K. Hovnanian Enterprises, Inc. 7.50% 2016 | 3,135 | 2,923 |
Vidéotron Ltée 6.875% 2014 | 2,525 | 2,405 |
Vidéotron Ltée 6.375% 2015 | 1,000 | 918 |
Hyatt Equities, LLC 6.875% 20071 | 3,250 | 3,270 |
Stoneridge, Inc. 11.50% 2012 | 3,383 | 3,265 |
Warner Music Group 7.375% 2014 | 3,300 | 3,218 |
WDAC Subsidiary Corp. 8.375% 20141 | 2,600 | 2,568 |
WDAC Subsidiary Corp. 8.50% 2014 | €500 | 636 |
Kingfisher PLC 5.625% 2014 | £1,740 | $ 3,114 |
Starwood Hotels & Resorts Worldwide, Inc. 7.375% 2007 | $ 250 | 253 |
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 2012 | 2,550 | 2,674 |
YUM! Brands, Inc. 7.70% 2012 | 2,500 | 2,692 |
Seneca Gaming Corp. 7.25% 2012 | 2,500 | 2,434 |
Reader’s Digest Assn., Inc. 6.50% 2011 | 2,500 | 2,425 |
LBI Media, Inc. 10.125% 2012 | 2,250 | 2,408 |
Aztar Corp. 7.875% 2014 | 2,250 | 2,391 |
Gaylord Entertainment Co. 8.00% 2013 | 2,300 | 2,309 |
Gamestop Corp 8.865% 20112 | 2,000 | 2,065 |
KB Home 6.25% 2015 | 2,000 | 1,788 |
Cooper-Standard Automotive Inc. 7.00% 2012 | 1,850 | 1,665 |
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc. 8.375% 2013 | 1,493 | 1,571 |
Riddell Bell Holdings Inc. 8.375% 2012 | 1,430 | 1,416 |
Hilton Hotels Corp. 8.25% 2011 | 1,325 | 1,395 |
Lighthouse International Co. SA 8.00% 2014 | €1,000 | 1,353 |
TRW Automotive Acquisition Corp. 9.375% 2013 | $ 1,075 | 1,148 |
Dillard’s, Inc. 7.13% 2018 | 1,000 | 950 |
Warnaco, Inc. 8.875% 2013 | 925 | 944 |
Standard Pacific Corp. 5.125% 2009 | 1,000 | 943 |
Boyd Gaming Corp. 6.75% 2014 | 750 | 715 |
Carmike Cinemas, Inc., Series B, 7.937% 20122 | 575 | 576 |
Dex Media, Inc., Series B, 8.00% 2013 | 525 | 530 |
Boyds Collection, Ltd., Series B, 9.00% 20084,6 | 1,501 | 300 |
Education Management Corp. 10.25% 20161 | 200 | 200 |
1,566,292 | ||
TELECOMMUNICATION SERVICES — 5.57% | ||
Nextel Partners, Inc. 8.125% 2011 | 3,000 | 3,154 |
US Unwired Inc., Series B, 10.00% 2012 | 4,400 | 4,906 |
Nextel Communications, Inc., Series E, 6.875% 2013 | 105,480 | 106,215 |
Nextel Communications, Inc., Series D, 7.375% 2015 | 104,705 | 106,649 |
Sprint Capital Corp. 6.875% 2028 | 15,000 | 15,154 |
AT&T Wireless Services, Inc. 7.875% 2011 | 28,355 | 30,572 |
AT&T Wireless Services, Inc. 8.125% 2012 | 87,630 | 96,544 |
SBC Communications Inc. 5.38% 20082 | 9,460 | 9,486 |
SBC Communications Inc. 4.125% 2009 | 31,345 | 29,801 |
SBC Communications Inc. 6.25% 2011 | 1,150 | 1,163 |
AT&T Corp. 7.30% 20112 | 5,917 | 6,288 |
SBC Communications Inc. 5.10% 2014 | 22,745 | 21,135 |
SBC Communications Inc. 5.625% 2016 | 18,000 | 17,094 |
SBC Communications Inc. 6.15% 2034 | 18,000 | 16,572 |
SBC Communications Inc. 6.45% 2034 | 2,000 | 1,907 |
AT&T Inc. 6.80% 2036 | 3,710 | 3,689 |
Telecom Italia Capital SA, Series A, 4.00% 2008 | 1,270 | 1,219 |
Sogerim SA 7.25% 2011 | € 2,650 | 3,768 |
Telecom Italia SpA 6.25% 2012 | 18,500 | 25,291 |
Telecom Italia Capital SA, Series B, 5.25% 2013 | $ 9,050 | 8,379 |
Telecom Italia Capital SA 4.95% 2014 | 20,000 | 17,934 |
Telecom Italia Capital SA 5.25% 2015 | 47,000 | 42,616 |
France Télécom 6.75% 20082 | €3,500 | 4,679 |
France Télécom 7.75% 20112 | $85,050 | 91,450 |
BellSouth Corp. 4.20% 2009 | 33,250 | 31,722 |
BellSouth Corp. 4.75% 2012 | 27,725 | 25,741 |
BellSouth Corp. 6.55% 2034 | 24,500 | 23,402 |
Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006 | 70,330 | 70,260 |
Telefónica Emisiones, SAU 5.984% 2011 | 20,000 | 19,948 |
Telefónica Emisiones, SAU 6.421% 2016 | 20,000 | 19,995 |
Telefónica Emisiones, SAU 7.045% 2036 | 29,000 | 29,074 |
Vodafone Group PLC 7.75% 2010 | 35,285 | 37,323 |
Koninklijke KPN NV 4.75% 2008 | €6,000 | 7,763 |
Koninklijke KPN NV 8.00% 2010 | $27,575 | 29,274 |
Verizon Global Funding Corp. 6.125% 2007 | 3,625 | 3,639 |
Verizon Global Funding Corp. 7.375% 2012 | 7,360 | 7,833 |
Verizon Global Funding Corp. 7.75% 2030 | 21,500 | 23,255 |
British Telecommunications PLC 8.375% 20102 | 15,000 | 16,483 |
British Telecommunications PLC 7.125% 20112 | €5,500 | 7,871 |
British Telecommunications PLC 8.625% 2020 | £ 900 | 2,013 |
British Telecommunications PLC 5.75% 2028 | 1,800 | 3,157 |
British Telecommunications PLC 8.875% 2030 | $1,600 | 1,972 |
Deutsche Telekom International Finance BV 6.625% 2011 | €1,200 | 1,684 |
Deutsche Telekom International Finance BV 8.125% 20122 | 4,420 | 6,652 |
Deutsche Telekom International Finance BV 8.25% 20302 | $20,000 | 23,156 |
Triton PCS, Inc. 8.75% 2011 | 3,975 | 2,862 |
Triton PCS, Inc. 9.375% 2011 | 10,000 | 7,200 |
Triton PCS, Inc. 8.50% 2013 | 17,825 | 16,444 |
Dobson Cellular Systems, Inc. 8.375% 20111 | 3,600 | 3,717 |
Dobson Communications Corp. 9.318% 20122 | 1,650 | 1,671 |
Dobson Cellular Systems, Inc. 9.875% 2012 | 13,300 | 14,098 |
Dobson Communications Corp. 8.875% 2013 | 5,000 | 4,937 |
Intelsat, Ltd. 7.625% 2012 | 1,000 | 830 |
Intelsat (Bermuda), Ltd. 9.614% 20122 | 4,950 | 5,024 |
Intelsat (Bermuda), Ltd. 8.25% 2013 | 4,675 | 4,663 |
Intelsat (Bermuda), Ltd. 8.625% 2015 | 4,000 | 4,030 |
Intelsat (Bermuda), Ltd. 9.25% 20161 | 6,500 | 6,744 |
Intelsat (Bermuda), Ltd. 11.25% 20161 | 2,400 | 2,472 |
Windstream Corp. 8.125% 20131 | 5,700 | 5,843 |
Windstream Corp. 8.625% 20161 | 15,300 | 15,721 |
Singapore Telecommunications Ltd. 6.375% 20111 | 16,250 | 16,556 |
Singapore Telecommunications Ltd. 6.375% 2011 | 3,475 | 3,541 |
PCCW-HKT Capital Ltd. 8.00% 20111,2 | 15,000 | 16,087 |
PCCW-HKT Capital No.3 Ltd. 5.25% 20151 | 3,600 | 3,192 |
Qwest Capital Funding, Inc. 7.75% 2006 | 3,595 | 3,613 |
U S WEST Capital Funding, Inc. 6.375% 2008 | 3,400 | 3,366 |
Qwest Capital Funding, Inc. 7.90% 2010 | 950 | 950 |
Qwest Capital Funding, Inc. 7.25% 2011 | 4,150 | 4,057 |
Qwest Capital Funding, Inc. 7.625% 2021 | 500 | 466 |
U S WEST Capital Funding, Inc. 6.875% 2028 | 4,725 | 4,099 |
Qwest Capital Funding, Inc. 7.75% 2031 | 2,605 | 2,449 |
American Tower Corp. 7.125% 2012 | 17,275 | 17,318 |
Centennial Cellular Corp. 10.75% 2008 | 379 | 387 |
Centennial Communications Corp. 10.74% 20132 | 7,500 | 7,688 |
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC and | ||
Centennial Puerto Rico Operations Corp. 8.125% 20142 | 9,300 | 8,998 |
Hughes Network Systems, LLC and HNS Finance Corp. 9.50% 20141 | 14,300 | 14,086 |
Hawaiian Telcom Communications, Inc. 9.75% 2013 | 6,790 | 6,943 |
Hawaiian Telcom Communications, Inc. 10.789% 20132 | 3,605 | 3,659 |
Hawaiian Telcom Communications, Inc., Series B, 12.50% 2015 | 3,050 | 3,210 |
Embarq Corp. 6.738% 2013 | 10,000 | 9,983 |
Rogers Wireless Inc. 7.25% 2012 | 1,275 | 1,291 |
Rogers Wireless Inc. 7.50% 2015 | 6,925 | 7,029 |
Rogers Cantel Inc. 9.75% 2016 | 1,250 | 1,447 |
ALLTEL Corp. 4.656% 2007 | 8,675 | 8,613 |
Cincinnati Bell Inc. 7.25% 2013 | 6,800 | 6,732 |
MetroPCS, Inc. 12.00% 20072 | 4,110 | 4,326 |
MetroPCS, Inc. 9.25% 20112 | 2,250 | 2,295 |
Valor Telecommunications Enterprises, LLC and Valor Telecommunications Enterprises | ||
Finance Corp. 7.75% 2015 | 6,090 | 6,318 |
Rural Cellular Corp. 9.75% 2010 | 1,750 | 1,752 |
Rural Cellular Corp. 8.25% 20121 | 750 | 773 |
Rural Cellular Corp. 10.899% 20121,2 | 3,260 | 3,362 |
TELUS Corp. 8.00% 2011 | 5,250 | 5,691 |
SK Telecom Co., Ltd. 4.25% 20111 | 6,000 | 5,565 |
Telekom Austria AG 3.375% 2010 | €4,200 | 5,205 |
NTELOS Inc., Series B, 7.48% 20112 | $ 4,987 | 4,994 |
Millicom International Cellular SA 10.00% 2013 | 3,930 | 4,402 |
Intelsat PanAmSat Opco 9.00% 20161 | 3,550 | 3,621 |
Nordic Telephone Co. Holding ApS 8.875% 20161 | 1,000 | 1,033 |
1,359,235 | ||
INDUSTRIALS — 5.38% | ||
Continental Airlines, Inc., Series 2001-1, Class A-2, 6.503% 2011 | 14,050 | 14,031 |
Continental Airlines, Inc., Series 1999-2, Class A-2, 7.056% 20113 | 10,000 | 10,210 |
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.487% 20123 | 12,500 | 12,819 |
Continental Airlines, Inc., Series 2006-1, Class G, FGIC insured, 5.564% 20152 | 6,500 | 6,500 |
Continental Airlines, Inc., Series 1997-1, Class A, 7.461% 20163 | 10,375 | 10,068 |
Continental Airlines, Inc., Series 1996-2, Class D, 11.50% 20163 | 1,728 | 1,737 |
Continental Airlines, Inc., Series 2001-1, Class B, 7.373% 20173 | 205 | 195 |
Continental Airlines, Inc., Series 1998-1, Class B, 6.748% 20183 | 1,149 | 1,086 |
Continental Airlines, Inc., Series 1997-4B, Class B, 6.90% 20183 | 2,465 | 2,307 |
Continental Airlines, Inc., Series 1998-1, Class A, 6.648% 20193 | 22,363 | 22,251 |
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20193 | 46,345 | 46,558 |
Continental Airlines, Inc., Series 2000-2, Class B, 8.307% 20193 | 2,255 | 2,215 |
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20203 | 12,405 | 12,293 |
Continental Airlines, Inc., Series 1999-1, Class B, 6.795% 20203 | 15,511 | 14,647 |
Continental Airlines, Inc., Series 2003-ERJ3, Class A, 7.875% 20203 | 16,997 | 16,583 |
Continental Airlines, Inc., Series 1999-2, Class A-1, 7.256% 20213 | 343 | 352 |
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20223 | 12,274 | 12,210 |
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707% 20223 | 12,689 | 13,264 |
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20223 | 10,249 | 10,819 |
Continental Airlines, Inc., Series 2000-1, Class B, 8.388% 20223 | 1,590 | 1,550 |
Delta Air Lines, Inc. 8.00% 20071,6 | 4,000 | 1,120 |
Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.619% 20113 | 7,799 | 7,835 |
Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57% 2012 | 3,500 | 3,515 |
Delta Air Lines, Inc., Series 2001-1, Class A-2, 7.111% 20133 | 10,000 | 10,063 |
Delta Air Lines, Inc., Series 2002-1, Class C, 7.779% 20133 | 3,603 | 3,344 |
Delta Air Lines, Inc., Series 2002-1, Class G-2, MBIA insured, 6.417% 20143 | 53,658 | 54,250 |
Delta Air Lines, Inc., Series 1992-A2, 9.20% 20143,6 | 7,500 | 6,080 |
Delta Air Lines, Inc. 10.375% 20226 | 2,577 | 728 |
Delta Air Lines, Inc., Series 2002-1, Class G-1, MBIA insured, 6.718% 20243 | 47,690 | 48,505 |
General Electric Capital Corp., Series A, 5.00% 2007 | 21,500 | 21,383 |
General Electric Capital Corp., Series A, 5.375% 2007 | 13,250 | 13,236 |
General Electric Capital Corp., Series A, 7.25% 2007 | £1,030 | 1,947 |
General Electric Capital Corp., Series A, 3.50% 2008 | $20,000 | 19,286 |
General Electric Capital Corp., Series A, 6.00% 2012 | 15,000 | 15,191 |
General Electric Co. 5.00% 2013 | 12,750 | 12,229 |
General Electric Capital Corp., Series A, 5.00% 2016 | 5,000 | 4,702 |
General Electric Capital Corp., Series A, 5.223% 20162 | 18,000 | 18,023 |
General Electric Capital Corp., Series A, 5.53% 20262 | 25,000 | 25,080 |
American Airlines, Inc., Series 1999-1, Class A-1, 6.855% 20103 | 8,088 | 8,175 |
AMR Corp., Series B, 10.45% 2011 | 150 | 142 |
American Airlines, Inc., Series 2001-2, Class A-1, 6.978% 20123 | 27,116 | 27,647 |
American Airlines, Inc., Series 2001-2, Class B, 8.608% 2012 | 17,915 | 18,630 |
AMR Corp. 9.00% 2012 | 5,500 | 5,459 |
American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 20133 | 36,430 | 38,639 |
American Airlines, Inc., Series 1991-C2, 9.73% 20143 | 6,410 | 5,965 |
AMR Corp. 9.00% 2016 | 300 | 294 |
American Airlines, Inc., Series 2001-1, Class B, 7.377% 20193 | 10,291 | 9,422 |
BAE Systems Holding Inc. 4.75% 20101 | 10,350 | 9,926 |
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 20111,3 | 44,910 | 46,054 |
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 20131,3 | 42,863 | 44,163 |
Hutchison Whampoa International Ltd. 7.00% 20111 | 24,300 | 25,264 |
Hutchison Whampoa International Ltd. 6.50% 20131 | 59,200 | 60,021 |
Cendant Corp. 6.875% 2006 | 2,000 | 2,002 |
Cendant Corp. 6.25% 2008 | 29,000 | 29,271 |
Cendant Corp. 7.375% 2013 | 32,500 | 35,605 |
Cendant Corp. 7.125% 2015 | 5,710 | 6,296 |
Qantas Airways Ltd. 6.05% 20161 | 55,580 | 53,921 |
Tyco International Group SA 6.125% 2008 | 13,000 | 13,085 |
Tyco International Group SA 6.125% 2009 | 500 | 504 |
Tyco International Group SA 6.375% 2011 | 16,000 | 16,344 |
Tyco International Group SA 6.00% 2013 | 7,200 | 7,144 |
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 1996-B, 6.96% 20093 | 1,574 | 1,603 |
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 2002-2, 5.14% 20213 | 12,380 | 11,742 |
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 2002-1, 5.943% 20223 | 6,399 | 6,417 |
BNSF Funding Trust I 6.613% 20552 | 13,600 | 12,810 |
Caterpillar Financial Services Corp., Series F, 2.35% 2006 | 5,000 | 4,969 |
Caterpillar Financial Services Corp. 2.70% 2008 | 845 | 797 |
Caterpillar Inc. 4.50% 2009 | 9,690 | 9,404 |
Caterpillar Financial Services Corp. 4.30% 2010 | 9,400 | 8,948 |
Caterpillar Inc. 5.30% 2035 | 1,300 | 1,163 |
Southwest Airlines Co., Series 2001-1, Class B, 6.126% 20063 | 7,500 | 7,514 |
Southwest Airlines Co., Series 2001-1, Class A-2, 5.496% 20083 | 5,000 | 5,005 |
Southwest Airlines Co. 5.25% 2014 | 12,500 | 11,786 |
Union Pacific Railroad Co. Pass Through Trust, Series 2001-1, 6.63% 20223 | 7,816 | 8,174 |
Union Pacific Railroad Co. Pass Through Trust, Series 2002-1, 6.061% 20233 | 11,347 | 11,572 |
Union Pacific Railroad Co. Pass Through Trust, Series 2003-1, 4.698% 20243 | 2,954 | 2,711 |
United Air Lines, Inc., Series 2001-1, Class A-2, 6.201% 20103 | 3,233 | 3,235 |
United Air Lines, Inc., Series 2000-2, Class B, 7.811% 20113 | 4,418 | 4,608 |
United Air Lines, Inc., Series B, 8.986% 20122 | 9,200 | 9,327 |
United Air Lines, Inc., Series 2001-1, Class A-1, 6.071% 20143 | 2,472 | 2,468 |
United Air Lines, Inc., Series 2001-1, Class A-3, 6.602% 20153 | 2,773 | 2,784 |
NTK Holdings Inc. 0%/10.75% 20145 | 15,118 | 11,017 |
THL Buildco, Inc. 8.50% 2014 | 10,650 | 10,357 |
Bombardier Inc. 6.30% 20141 | 19,800 | 17,325 |
Allied Waste North America, Inc. 8.50% 2008 | 7,500 | 7,800 |
Allied Waste North America, Inc., Series B, 6.50% 2010 | 500 | 485 |
Allied Waste North America, Inc., Series B, 5.75% 2011 | 2,500 | 2,344 |
Allied Waste North America, Inc., Series B, 6.125% 2014 | 3,000 | 2,715 |
Allied Waste North America, Inc., Series B, 7.375% 2014 | 3,750 | 3,581 |
Northwest Airlines, Inc. 9.875% 20076 | 6,000 | 3,060 |
Northwest Airlines, Inc. 10.00% 20096 | 4,000 | 1,950 |
Northwest Airlines, Inc., Series 2001-1, Class A-2, 6.841% 2012 | 9,955 | 9,911 |
Northwest Airlines, Inc., Series 2001-1, Class A-1, 7.041% 20233 | 1,871 | 1,867 |
John Deere Capital Corp., Series D, 4.375% 2008 | 15,000 | 14,695 |
Holcim Finance (Luxembourg) SA 4.375% 2014 | €8,860 | 11,007 |
Northrop Grumman Corp. 4.079% 2006 | $2,000 | 1,989 |
Northrop Grumman Systems Corp. 7.125% 2011 | 8,000 | 8,427 |
Raytheon Co. 6.55% 2010 | 6,000 | 6,145 |
Raytheon Co. 8.30% 2010 | 3,000 | 3,242 |
Goodman Global Holdings, Inc., Series B, 7.875% 2012 | 8,795 | 8,443 |
DynCorp International and DIV Capital Corp., Series A, 9.50% 2013 | 7,530 | 7,869 |
United Rentals (North America), Inc., Series B, 6.50% 2012 | 7,150 | 6,793 |
United Rentals (North America), Inc. 7.75% 2013 | 900 | 860 |
Lockheed Martin Corp. 8.50% 2029 | 6,000 | 7,573 |
Horizon Lines, LLC and Horizon Lines Holding Corp. 9.00% 2012 | 7,071 | 7,212 |
TFM, SA de CV 9.375% 2012 | 4,450 | 4,762 |
TFM, SA de CV 12.50% 2012 | 2,145 | 2,376 |
AIR 2 US, Series A, 8.027% 20201,3 | 6,879 | 6,900 |
Accuride Corp. 8.50% 2015 | 6,525 | 6,297 |
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 20231,3 | 6,446 | 6,285 |
Jacuzzi Brands, Inc. 9.625% 2010 | 5,765 | 6,118 |
Waste Management, Inc. 6.50% 2008 | 5,220 | 5,304 |
Waste Management, Inc. 5.00% 2014 | 765 | 716 |
Standard Aero Holdings, Inc. 8.25% 2014 | 6,550 | 5,862 |
General Dynamics Corp. 4.50% 2010 | 5,000 | 4,803 |
K&F Industries, Inc. 7.75% 2014 | 4,275 | 4,232 |
CCMG Acquisition Corp. 8.875% 20141 | 1,250 | 1,288 |
CCMG Acquisition Corp. 10.50% 20161 | 2,250 | 2,396 |
American Standard Inc. 7.625% 2010 | 3,500 | 3,657 |
Ashtead Group PLC 8.625% 20151 | 3,525 | 3,578 |
Quebecor World Inc. 8.75% 20161 | 3,755 | 3,445 |
Williams Scotsman, Inc. 8.50% 2015 | 2,900 | 2,878 |
ACIH, Inc. 0%/11.50% 20121,5 | 3,390 | 2,712 |
DRS Technologies, Inc. 6.875% 2013 | 625 | 605 |
DRS Technologies, Inc. 7.625% 2018 | 2,000 | 2,000 |
FTI Consulting, Inc. 7.625% 2013 | 2,300 | 2,340 |
Terex Corp. 9.25% 2011 | 375 | 400 |
Terex Corp., Class B, 10.375% 2011 | 1,817 | 1,931 |
Argo-Tech Corp. 9.25% 2011 | 1,795 | 1,858 |
Kansas City Southern Railway Co. 9.50% 2008 | 1,500 | 1,579 |
UCAR Finance Inc. 10.25% 2012 | 1,385 | 1,468 |
Ahern Rentals, Inc. 9.25% 2013 | 950 | 964 |
Gol Finance 8.75% (undated)1 | 1,100 | 963 |
AGCO Corp. 6.875% 2014 | €700 | 917 |
TransDign Inc., 7.75% 20141 | $ 350 | 350 |
Jet Equipment Trust, Series 1994-A, 11.79% 20131,6 | 4,000 | — |
Jet Equipment Trust, Series 1995-B, 10.91% 20141,6 | 5,000 | — |
Jet Equipment Trust, Series 1995-D, 11.44% 20141,6 | 2,500 | — |
1,314,873 | ||
ENERGY — 2.72% | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20091,3 | 35,769 | 34,363 |
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20093 | 1,974 | 1,896 |
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20141,3 | 15,570 | 17,119 |
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20143 | 1,000 | 1,099 |
Ras Laffan Liquefied Natural Gas II 5.298% 20201,3 | 45,970 | 42,939 |
Ras Laffan Liquefied Natural Gas III 5.838% 20271,3 | 15,000 | 14,007 |
Energy Transfer Partners, LP 5.65% 2012 | 21,770 | 21,036 |
Energy Transfer Partners, LP 5.95% 2015 | 61,670 | 59,484 |
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20141,3 | 59,400 | 57,692 |
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20143 | 6,000 | 5,828 |
Enterprise Products Operating LP, Series B, 4.625% 2009 | 8,000 | 7,670 |
Enterprise Products Operating LP 4.95% 2010 | 8,000 | 7,674 |
Enterprise Products Operating LP 7.50% 2011 | 8,000 | 8,403 |
Enterprise Products Operating LP, Series B, 6.375% 2013 | 17,000 | 17,006 |
Enterprise Products Partners LP, Series B, 5.60% 2014 | 4,355 | 4,129 |
Enterprise Products Operating LP, Series B, 5.00% 2015 | 8,645 | 7,820 |
Pemex Finance Ltd. 8.875% 20103 | 24,000 | 26,063 |
Pemex Project Funding Master Trust 5.75% 20151 | 10,000 | 9,223 |
Pemex Finance Ltd., Series 1999-2, Class A-3, 10.61% 20173 | 11,700 | 14,693 |
Pemex Project Funding Master Trust 8.625% 2022 | 750 | 840 |
Qatar Petroleum 5.579% 20111 | 38,400 | 38,223 |
Petroleum Export Ltd., Class A-1, MBIA insured, 4.623% 20101,3 | 30,667 | 30,005 |
Petroleum Export Ltd., Class A-2, XLCA insured, 4.633% 20101,3 | 5,778 | 5,653 |
Apache Corp. 6.25% 2012 | 28,000 | 28,708 |
Williams Companies, Inc. 6.375% 20101 | 1,500 | 1,470 |
Williams Companies, Inc. 6.99% 20101,2 | 2,500 | 2,544 |
Williams Companies, Inc. 7.125% 2011 | 500 | 503 |
Williams Partners LP 7.50% 20111 | 5,725 | 5,768 |
Williams Companies, Inc. 7.875% 2021 | 2,000 | 2,040 |
Williams Companies, Inc. 8.75% 2032 | 5,080 | 5,550 |
Delek & Avner-Yam Tethys Ltd. 5.326% 20131,3 | 17,206 | 16,723 |
Kinder Morgan Energy Partners LP 6.75% 2011 | 2,500 | 2,556 |
Kinder Mogan Energy Partners LP 5.00% 2013 | 2,708 | 2,486 |
Kinder Morgan Energy Partners LP 5.125% 2014 | 12,292 | 11,240 |
Gulfstream Natural Gas System LLC 5.56% 20151 | 5,000 | 4,815 |
Gulfstream Natural Gas System LLC 6.19% 20251 | 11,610 | 11,248 |
Premcor Refining Group Inc. 9.25% 2010 | 3,250 | 3,460 |
Premcor Refining Group Inc. 6.125% 2011 | 5,000 | 5,023 |
Premcor Refining Group Inc. 6.75% 2011 | 1,000 | 1,026 |
Premcor Refining Group Inc. 9.50% 2013 | 2,750 | 3,008 |
Premcor Refining Group Inc. 6.75% 2014 | 3,000 | 3,034 |
Sunoco, Inc. 4.875% 2014 | 14,830 | 13,630 |
El Paso Corp. 6.375% 20091 | 200 | 198 |
El Paso Energy Corp. 7.75% 20101 | 500 | 510 |
Sonat Inc. 7.625% 2011 | 400 | 406 |
El Paso Energy Corp. 7.375% 2012 | 4,310 | 4,299 |
El Paso Corp. 7.875% 2012 | 1,625 | 1,662 |
El Paso Natural Gas Co. 7.50% 2026 | 250 | 246 |
Southern Natural Gas Co. 7.35% 2031 | 1,450 | 1,399 |
El Paso Corp. 7.75% 2032 | 4,000 | 3,915 |
Southern Natural Gas Co. 8.00% 2032 | 830 | 862 |
Pogo Producing Co. 7.875% 20131 | 6,725 | 6,775 |
Pogo Producing Co. 6.625% 2015 | 300 | 279 |
Pogo Producing Co. 6.875% 2017 | 6,850 | 6,379 |
Reliance Industries Ltd. 10.25% 20971 | 8,750 | 11,616 |
Devon Financing Corp., ULC 6.875% 2011 | 8,500 | 8,847 |
Open Joint Stock Co. Gazprom 9.125% 2007 | 2,000 | 2,050 |
Gaz Capital SA 5.875% 2015 | €5,125 | 6,659 |
Newfield Exploration Co. 7.625% 2011 | $3,000 | 3,053 |
Newfield Exploration Co. 6.625% 2014 | 2,000 | 1,915 |
Newfield Exploration Co. 6.625% 2016 | 3,775 | 3,577 |
Drummond Co., Inc. 7.375% 20161 | 7,375 | 6,877 |
OXYMAR 7.50% 20161,3 | 5,500 | 5,763 |
Teekay Shipping Corp. 8.875% 2011 | 5,175 | 5,447 |
Ultrapetrol (Bahamas) Ltd., First Preferred Ship Mortgage Notes, 9.00% 2014 | 5,225 | 4,742 |
American Commercial Lines LLC and ACL Finance Corp. 9.50% 2015 | 3,928 | 4,321 |
XTO Energy Inc. 5.65% 2016 | 4,250 | 4,037 |
Encore Acquisition Co. 6.00% 2015 | 4,450 | 4,027 |
PETRONAS Capital Ltd. 7.00% 20121 | 2,250 | 2,362 |
Overseas Shipholding Group, Inc. 8.25% 2013 | 1,575 | 1,642 |
International Coal Group, Inc. 10.25% 20141 | 1,500 | 1,506 |
Peabody Energy Corp., Series B, 6.875% 2013 | 1,200 | 1,185 |
Petrozuata Finance, Inc., Series B, 8.22% 20171,3 | 250 | 236 |
664,489 | ||
UTILITIES — 2.58% | ||
PECO Energy Co., First and Refunding Mortgage Bonds, 3.50% 2008 | 5,000 | 4,812 |
Commonwealth Edison Co., Series 99, 3.70% 2008 | 7,125 | 6,904 |
Commonwealth Edison Co., First Mortgage Bonds, Series 102, 4.74% 2010 | 12,500 | 12,019 |
Exelon Corp. 6.75% 2011 | 2,200 | 2,276 |
Exelon Generation Co., LLC 6.95% 2011 | 22,975 | 23,980 |
PECO Energy Co., First and Refunding Mortgage Bonds, 4.75% 2012 | 3,900 | 3,672 |
Commonwealth Edison Co., First Mortgage Bonds, Series 103, 5.90% 2036 | 4,000 | 3,698 |
Edison Mission Energy 7.73% 2009 | 10,125 | 10,277 |
Southern California Edison Co., First and Refunding Mortgage Bonds, Series 2005-A, 5.00% 2016 | 4,000 | 3,728 |
Edison Mission Energy 7.75% 20161 | 6,025 | 5,950 |
Midwest Generation, LLC, Series B, 8.56% 20163 | 7,120 | 7,480 |
Homer City Funding LLC 8.734% 20263 | 11,014 | 12,281 |
Midwest Generation, LLC and Midwest Finance Corp. 8.75% 2034 | 7,600 | 8,094 |
PSEG Power LLC 3.75% 2009 | 6,825 | 6,471 |
PSEG Power LLC 7.75% 2011 | 18,700 | 20,035 |
PSEG Power LLC 5.00% 2014 | 11,690 | 10,800 |
MidAmerican Energy Co. 5.125% 2013 | 7,500 | 7,215 |
MidAmerican Energy Co. 4.65% 2014 | 5,000 | 4,577 |
MidAmerican Energy Holdings Co., Series D, 5.00% 2014 | 8,500 | 7,955 |
MidAmerican Energy Holdings Co. 6.125% 20361 | 17,750 | 16,647 |
Ameren Corp. 4.263% 2007 | 2,500 | 2,467 |
Cilcorp Inc. 8.70% 2009 | 1,000 | 1,079 |
Union Electric Co. 5.25% 2012 | 1,490 | 1,443 |
Union Electric Co. 4.65% 2013 | 11,000 | 10,190 |
Union Electric Co. 5.40% 2016 | 5,750 | 5,476 |
Cilcorp Inc. 9.375% 2029 | 12,265 | 15,544 |
Dominion Resources, Inc., Series A, 3.66% 2006 | 3,000 | 2,978 |
Virginia Electric and Power Co., Series 2002-A, 5.375% 2007 | 14,140 | 14,104 |
Dominion Resources, Inc., Series 2002-C, 5.70% 20122 | 1,000 | 980 |
Dominion Resources, Inc., Series 2002-B, 6.25% 2012 | 10,000 | 10,082 |
Virginia Electric and Power Co., Series 2003-A, 4.75% 2013 | 6,000 | 5,573 |
Israel Electric Corp. Ltd. 7.95% 20111 | 10,000 | 10,753 |
Israel Electric Corp. Ltd. 7.70% 20181 | 8,500 | 9,075 |
Israel Electric Corp. Ltd. 8.10% 20961 | 12,000 | 12,664 |
Ohio Power Co., Series J, 5.30% 2010 | 8,000 | 7,832 |
Ohio Power Co., Series H, 4.85% 2014 | 5,965 | 5,543 |
Appalachian Power Co., Series I, 4.95% 2015 | 1,000 | 917 |
Ohio Power Co., Series K, 6.00% 2016 | 15,000 | 14,819 |
Constellation Energy Group, Inc. 6.125% 2009 | 10,500 | 10,577 |
Constellation Energy Group, Inc. 7.00% 2012 | 15,000 | 15,654 |
Baltimore Gas and Electric Co. 5.20% 2033 | 3,000 | 2,516 |
PacifiCorp, First Mortgage Bonds, 4.30% 2008 | 3,060 | 2,978 |
PacifiCorp, First Mortgage Bonds, 5.45% 2013 | 2,875 | 2,806 |
Scottish Power PLC 5.375% 2015 | 21,415 | 20,358 |
Duke Energy Corp., First and Refunding Mortgage Bonds, 4.50% 2010 | 4,500 | 4,317 |
Duke Capital Corp. 6.25% 2013 | 9,000 | 9,099 |
Duke Capital Corp. 5.50% 2014 | 10,000 | 9,636 |
Duke Capital LLC 5.668% 2014 | 2,000 | 1,936 |
Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% 2011 | 5,000 | 4,742 |
San Diego Gas & Electric Co., Series CCC, 5.30% 2015 | 10,000 | 9,583 |
San Diego Gas & Electric Co., Series DDD, 6.00% 2026 | 5,000 | 4,929 |
Niagara Mohawk Power Corp., Series G, 7.75% 2008 | 17,460 | 18,178 |
SP PowerAssets Ltd. 3.80% 20081 | 10,000 | 9,581 |
SP PowerAssets Ltd. 5.00% 20131 | 8,000 | 7,542 |
AES Corp. 9.50% 2009 | 4,677 | 4,981 |
AES Corp. 9.375% 2010 | 4,803 | 5,163 |
AES Corp. 8.75% 20131 | 1,000 | 1,075 |
AES Gener SA 7.50% 2014 | 5,000 | 5,026 |
Veolia Environnement 4.875% 2013 | €10,860 | 14,051 |
Empresa Nacional de Electricidad SA, Series B, 8.50% 2009 | $ 4,455 | 4,706 |
Empresa Nacional de Electricidad SA 8.35% 2013 | 5,000 | 5,391 |
Empresa Nacional de Electricidad SA 8.625% 2015 | 3,000 | 3,308 |
Old Dominion Electric Cooperative, Series 2003-A, 5.676% 20283 | 12,937 | 12,529 |
Consolidated Edison Co. of New York, Inc., Series 2003-A, 3.625% 2008 | 6,000 | 5,767 |
Consolidated Edison Co. of New York, Inc., Series B, 3.85% 2013 | 5,000 | 4,445 |
Consolidated Edison Co. of New York, Inc., Series 2003-C, 5.10% 2033 | 2,000 | 1,678 |
Progress Energy Florida, Inc., First Mortgage Bonds, 4.80% 2013 | 7,000 | 6,587 |
Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc., First Mortgage Bonds, 5.125% 2013 | 5,000 | 4,777 |
Oncor Electric Delivery Co. 6.375% 2012 | 10,700 | 10,813 |
Pacific Gas and Electric Co., First Mortgage Bonds, 4.20% 2011 | 7,000 | 6,553 |
Pacific Gas and Electric Co., First Mortgage Bonds, 6.05% 2034 | 4,000 | 3,788 |
Reliant Energy Resources Corp. 7.75% 2011 | 7,000 | 7,491 |
Centerpoint Energy Resources Corp., Series B, 7.875% 2013 | 2,000 | 2,177 |
Kern River Funding Corp. 4.893% 20181,3 | 9,460 | 8,921 |
Nevada Power Co., General and Refunding Mortgage Notes, Series I, 6.50% 2012 | 700 | 700 |
Nevada Power Co., General and Refunding Mortgage Notes, Series G, 9.00% 2013 | 2,811 | 3,056 |
Sierra Pacific Resources 8.625% 2014 | 900 | 958 |
Nevada Power Co., General and Refunding Mortgage Notes, Series L, 5.875% 2015 | 2,550 | 2,431 |
Nevada Power Co., Series M, 5.95% 20161 | 1,000 | 953 |
Anglian Water Services Financing PLC 4.625% 2013 | €6,120 | 7,876 |
Energy East Corp. 6.75% 2012 | $7,155 | 7,404 |
NiSource Finance Corp. 6.15% 2013 | 5,600 | 5,626 |
NGG Finance PLC 6.125% 2011 | €3,480 | 4,795 |
Korea East-West Power Co., Ltd. 4.875% 20111 | $ 5,000 | 4,774 |
Florida Power & Light Co. 4.85% 2013 | 5,000 | 4,753 |
Alabama Power Co., Series R, 4.70% 2010 | 2,250 | 2,163 |
Southern Power Co., Series B, 6.25% 2012 | 2,500 | 2,523 |
FPL Energy National Wind, LLC 5.608% 20241,3 | 4,752 | 4,562 |
Tri-State Generation and Transmission Assn. Inc., Pass Through Trust, Series 2003-A, 6.04% 20181,3 | 3,500 | 3,435 |
Enersis SA 7.375% 2014 | 3,000 | 3,042 |
Equitable Resources, Inc. 5.15% 2018 | 2,500 | 2,307 |
Wisconsin Gas Co. 5.20% 2015 | 2,025 | 1,901 |
Mirant Americas Generation, Inc. 8.30% 2011 | 1,300 | 1,290 |
NRG Energy, Inc. 7.375% 2016 | 1,000 | 977 |
629,575 | ||
MATERIALS — 1.93% | ||
Norske Skogindustrier ASA 7.625% 20111 | 47,135 | 47,657 |
Norske Skogindustrier ASA 6.125% 20151 | 4,000 | 3,584 |
Norske Skogindustrier ASA 7.125% 20331 | 4,100 | 3,534 |
International Paper Co. 5.375% 2006 | €4,500 | 5,761 |
International Paper Co. 4.00% 2010 | 6,545 | 6,129 |
International Paper Co. 6.75% 2011 | 4,000 | 4,137 |
International Paper Co. 5.85% 2012 | 34,815 | 34,322 |
Stora Enso Oyj 5.125% 2014 | €4,250 | 5,427 |
Stora Enso Oyj 6.404% 20161 | $28,040 | 27,226 |
Stora Enso Oyj 7.25% 20361 | 17,650 | 17,281 |
UPM-Kymmene Corp. 5.625% 20141 | 39,320 | 37,204 |
Weyerhaeuser Co. 5.95% 2008 | 3,000 | 3,004 |
Weyerhaeuser Co. 6.75% 2012 | 9,330 | 9,543 |
Weyerhaeuser Co. 7.375% 2032 | 14,750 | 14,976 |
Equistar Chemicals, LP 10.125% 2008 | 6,100 | 6,451 |
Equistar Chemicals, LP and Equistar Funding Corp. 8.75% 2009 | 12,800 | 13,280 |
Scotia Pacific Co. LLC, Series B, Class A-2, 7.11% 20283 | 21,160 | 17,055 |
JSG Funding PLC 7.75% 2015 | €2,000 | 2,396 |
JSG Funding PLC 7.75% 2015 | $2,200 | 2,002 |
JSG Holdings PLC 11.50% 20157 | €9,760 | 12,417 |
Stone Container Corp. 9.75% 2011 | $ 2,793 | 2,884 |
Jefferson Smurfit Corp. (U.S.) 8.25% 2012 | 10,775 | 10,155 |
Stone Container Corp. 8.375% 2012 | 1,675 | 1,591 |
Jefferson Smurfit Corp. (U.S.) 7.50% 2013 | 250 | 225 |
Dow Chemical Co. 5.75% 2008 | 11,100 | 11,133 |
Dow Chemical Co. 6.00% 2012 | 2,400 | 2,421 |
Cytec Industries Inc. 6.00% 2015 | 12,885 | 12,257 |
Owens-Illinois, Inc. 8.10% 2007 | 3,130 | 3,161 |
Owens-Illinois, Inc. 7.35% 2008 | 5,250 | 5,316 |
Owens-Brockway Glass Container Inc. 8.875% 2009 | 1,500 | 1,553 |
Owens-Illinois, Inc. 7.50% 2010 | 2,250 | 2,211 |
Associated Materials Inc. 9.75% 2012 | 9,765 | 9,765 |
AMH Holdings, Inc. 0%/11.25% 20145 | 3,000 | 1,822 |
BHP Finance (USA) Ltd. 8.50% 2012 | 10,000 | 11,418 |
Abitibi-Consolidated Co. of Canada 8.375% 2015 | 12,225 | 11,216 |
Building Materials Corp. of America, Series B, 8.00% 2007 | 1,000 | 1,010 |
Building Materials Corp. of America 8.00% 2008 | 1,975 | 2,000 |
Building Materials Corp. of America 7.75% 2014 | 8,250 | 7,920 |
Georgia-Pacific Corp. 7.449% 20122 | 2,985 | 2,989 |
Georgia-Pacific Corp. 8.30% 20132 | 7,000 | 7,070 |
Graphic Packaging International, Inc. 8.50% 2011 | 3,325 | 3,333 |
Graphic Packaging International, Inc. 9.50% 2013 | 6,495 | 6,463 |
Rhodia 7.625% 2010 | 250 | 249 |
Rhodia SA 8.00% 2010 | €2,100 | 2,797 |
Rhodia 10.25% 2010 | $ 97 | 104 |
Rhodia 8.875% 2011 | 1,931 | 1,933 |
Rhodia SA 9.25% 2011 | €2,511 | 3,352 |
Alcan Inc. 5.20% 2014 | $8,000 | 7,591 |
Plastipak Holdings, Inc. 8.50% 20151 | 6,690 | 6,723 |
Boise Cascade, LLC and Boise Cascade Finance Corp. 7.125% 2014 | 6,800 | 6,052 |
Nalco Co. 7.75% 2011 | 775 | 777 |
Nalco Co. 8.875% 2013 | 3,200 | 3,240 |
Nalco Finance Holdings LLC and Nalco Finance Holdings Inc. 0%/9.00% 20145 | 1,254 | 947 |
Praxair, Inc. 2.75% 2008 | 5,000 | 4,730 |
Teck Cominco Ltd. 5.375% 2015 | 5,000 | 4,665 |
Domtar Inc. 7.125% 2015 | 4,475 | 3,916 |
Earle M. Jorgensen Co. 9.75% 2012 | 3,600 | 3,852 |
Ainsworth Lumber Co. Ltd. 7.25% 2012 | 700 | 577 |
Ainsworth Lumber Co. Ltd. 6.75% 2014 | 1,750 | 1,339 |
Ainsworth Lumber Co. Ltd. 6.75% 2014 | 1,750 | 1,339 |
Arbermarle Corp. 5.10% 2015 | 3,156 | 2,905 |
Crompton Corp. 9.875% 2012 | 500 | 565 |
Chemtura Corp. 6.875% 2016 | 2,400 | 2,331 |
Neenah Paper, Inc. 7.375% 2014 | 2,640 | 2,442 |
ICI Wilmington, Inc. 4.375% 2008 | 200 | 193 |
ICI Wilmington, Inc. 5.625% 2013 | 2,000 | 1,921 |
Crystal US Holdings 3 LLC and Crystal US Sub 3 Corp., Series B, 0%/10.50% 20145 | 1,928 | 1,518 |
BCP Caylux Holdings Luxembourg SCA 9.625% 2014 | 535 | 583 |
AEP Industries Inc. 7.875% 2013 | 1,875 | 1,889 |
Rockwood Specialties Group, Inc. 10.625% 2011 | 218 | 234 |
Rockwood Specialties Group, Inc. 7.50% 2014 | 1,675 | 1,650 |
Covalence Specialty Materials Corp. 10.25% 20161 | 1,750 | 1,689 |
Packaging Corp. of America 4.375% 2008 | 1,500 | 1,457 |
Freeport-McMoRan Copper & Gold Inc. 6.875% 2014 | 1,500 | 1,451 |
E.I. du Pont de Nemours and Co. 4.125% 2010 | 1,500 | 1,423 |
Huntsman LLC 12.318% 20112 | 275 | 287 |
Huntsman LLC 11.50% 2012 | 712 | 799 |
AK Steel Corp. 7.75% 2012 | 1,000 | 985 |
Foundation PA Coal Co. 7.25% 2014 | 975 | 955 |
Koppers Inc. 9.875% 2013 | 495 | 533 |
Airgas, Inc. 6.25% 2014 | 550 | 517 |
Ispat Inland ULC 9.75% 2014 | 206 | 227 |
472,036 | ||
HEALTH CARE — 1.44% | ||
Humana Inc. 7.25% 2006 | 5,000 | 5,003 |
Humana Inc. 6.45% 2016 | 25,375 | 25,163 |
Humana Inc. 6.30% 2018 | 17,000 | 16,600 |
Wyeth 4.375% 20082 | 6,375 | 6,248 |
Wyeth 5.50% 2016 | 36,165 | 34,590 |
UnitedHealth Group Inc. 5.20% 2007 | 8,000 | 7,981 |
UnitedHealth Group Inc. 3.30% 2008 | 4,000 | 3,853 |
UnitedHealth Group Inc. 4.125% 2009 | 8,000 | 7,651 |
UnitedHealth Group Inc. 5.375% 2016 | 19,500 | 18,481 |
Cardinal Health, Inc. 6.25% 2008 | 3,000 | 3,022 |
Cardinal Health, Inc. 6.75% 2011 | 12,625 | 12,957 |
Cardinal Health, Inc. 5.85% 2017 | 12,000 | 11,465 |
Allegiance Corp. 7.00% 2026 | 9,260 | 9,456 |
Aetna Inc. 5.75% 2011 | 24,000 | 23,857 |
Amgen Inc. 4.00% 2009 | 24,000 | 22,831 |
Tenet Healthcare Corp. 7.375% 2013 | 3,050 | 2,798 |
Tenet Healthcare Corp. 9.875% 2014 | 12,450 | 12,512 |
Tenet Healthcare Corp. 9.25% 20151 | 6,475 | 6,378 |
Boston Scientific Corp. 6.00% 2011 | 1,700 | 1,679 |
Boston Scientific Corp. 6.40% 2016 | 15,000 | 14,639 |
Columbia/HCA Healthcare Corp. 8.85% 2007 | 2,000 | 2,032 |
Columbia/HCA Healthcare Corp. 8.70% 2010 | 1,750 | 1,840 |
HCA Inc. 6.95% 2012 | 2,000 | 1,962 |
HCA Inc. 6.25% 2013 | 2,500 | 2,347 |
Columbia/HCA Healthcare Corp. 7.69% 2025 | 5,750 | 5,462 |
WellPoint, Inc. 5.00% 2011 | 6,500 | 6,267 |
WellPoint, Inc. 5.25% 2016 | 6,455 | 6,061 |
Warner Chilcott Corp. 8.75% 2015 | 11,815 | 12,229 |
Hospira, Inc. 4.95% 2009 | 7,391 | 7,221 |
Hospira, Inc. 5.90% 2014 | 4,100 | 4,025 |
HealthSouth Corp. 11.418% 20141,2 | 3,650 | 3,659 |
HealthSouth Corp. 10.75% 20161 | 7,500 | 7,387 |
Universal Health Services, Inc. 7.125% 2016 | 9,890 | 9,953 |
Accellent Inc. 10.50% 2013 | 9,525 | 9,787 |
Bristol-Myers Squibb Co. 4.00% 2008 | 10,000 | 9,680 |
Concentra Operating Corp. 9.50% 2010 | 3,020 | 3,141 |
Concentra Operating Corp. 9.125% 2012 | 3,835 | 3,988 |
AMR HoldCo, Inc. and EmCare HoldCo, Inc. 10.00% 2015 | 2,000 | 2,105 |
Mylan Laboratories Inc. 5.75% 2010 | 2,025 | 1,939 |
Team Finance LLC and Health Finance Corp. 11.25% 2013 | 1,575 | 1,654 |
MedCath Holdings Corp. 9.875% 2012 | 1,000 | 1,037 |
350,940 | ||
INFORMATION TECHNOLOGY — 0.98% | ||
Electronic Data Systems Corp. 6.334% 2006 | 18,000 | 18,012 |
Electronic Data Systems Corp., Series B, 6.50% 20132 | 55,575 | 54,902 |
Electronic Data Systems Corp. 7.45% 2029 | 17,790 | 18,378 |
Cisco Systems, Inc. 5.25% 2011 | 45,750 | 44,947 |
Sabre Holdings Corp. 6.35% 2016 | 18,085 | 16,945 |
Motorola, Inc. 8.00% 2011 | 4,750 | 5,214 |
Motorola, Inc. 5.22% 2097 | 14,250 | 10,749 |
Celestica Inc. 7.875% 2011 | 11,130 | 10,991 |
Celestica Inc. 7.625% 2013 | 4,170 | 4,066 |
Sanmina-SCI Corp. 6.75% 2013 | 12,750 | 11,953 |
SunGard Data Systems Inc. 9.125% 20131 | 8,175 | 8,522 |
SunGard Data Systems Inc. 10.25% 20151 | 2,000 | 2,077 |
Hyundai Semiconductor America, Inc. 8.625% 20071 | 10,150 | 10,257 |
Nortel Networks Ltd. 9.758% 20111,2 | 2,500 | 2,556 |
Nortel Networks Ltd. 10.125% 20131 | 2,225 | 2,275 |
Nortel Networks Lts. 10.75% 20161 | 1,150 | 1,176 |
Sensata Technologies BV 8.00% 20141 | 5,100 | 4,947 |
Jabil Circuit, Inc. 5.875% 2010 | 4,750 | 4,715 |
Solectron Global Finance Ltd 8.00% 20161 | 4,000 | 3,960 |
Iron Mountain Inc. 7.75% 2015 | 2,010 | 1,930 |
Flextronics International Ltd. 6.50% 2013 | 925 | 883 |
Freescale Semiconductor, Inc. 6.875% 2011 | 750 | 758 |
Serena Software, Inc. 10.375% 20161 | 180 | 181 |
Exodus Communications, Inc. 11.625% 20104,6 | 1,132 | — |
240,394 | ||
CONSUMER STAPLES — 0.88% | ||
CVS Corp. 6.117% 20131,3 | 25,984 | 25,811 |
CVS Corp. 5.789% 20261,3 | 9,870 | 9,299 |
Tyson Foods, Inc. 6.60% 2016 | 32,265 | 31,594 |
Rite Aid Corp. 6.125% 20081 | 2,750 | 2,674 |
Rite Aid Corp. 9.50% 2011 | 4,500 | 4,691 |
Rite Aid Corp. 6.875% 2013 | 5,485 | 4,772 |
Rite Aid Corp. 9.25% 2013 | 2,575 | 2,485 |
Rite Aid Corp. 7.50% 2015 | 1,000 | 965 |
H.J. Heinz Co. 6.428% 20201 | 14,320 | 14,557 |
Wal-Mart Stores, Inc. 5.45% 2006 | 10,000 | 9,999 |
Diageo Capital PLC 3.50% 2007 | 5,000 | 4,853 |
Diageo Capital PLC 4.375% 2010 | 2,395 | 2,279 |
Grand Metropolitan Investment Corp. 7.45% 2035 | 2,290 | 2,613 |
Nabisco, Inc. 7.05% 2007 | 6,500 | 6,552 |
Kraft Foods Inc. 6.50% 2031 | 2,600 | 2,604 |
Vitamin Shoppe Industries, Inc. 12.67% 20121,2 | 7,740 | 7,953 |
Jean Coutu Group (PJC) Inc. 7.625% 2012 | 800 | 780 |
Jean Coutu Group (PJC) Inc. 8.50% 2014 | 7,400 | 6,845 |
Dole Food Co., Inc. 7.25% 2010 | 1,350 | 1,215 |
Dole Food Co., Inc. 8.875% 2011 | 6,685 | 6,301 |
Gold Kist Inc. 10.25% 2014 | 6,783 | 7,105 |
SUPERVALU INC. 7.50% 2012 | 3,390 | 3,357 |
Albertson’s, Inc. 7.45% 2029 | 3,000 | 2,592 |
Albertson’s, Inc. 8.00% 2031 | 1,000 | 906 |
Petro Stopping Centers, LP and Petro Financial Corp. 9.00% 2012 | 6,560 | 6,544 |
Stater Bros. Holdings Inc. 8.829% 20102 | 475 | 483 |
Stater Bros. Holdings Inc. 8.125% 2012 | 5,360 | 5,320 |
Cadbury Schweppes Investments PLC, Series 41, 4.25% 2009 | €4,250 | 5,447 |
Pathmark Stores, Inc. 8.75% 2012 | $ 5,565 | 5,315 |
Molson Coors Capital Finance ULC 4.85% 2010 | 5,000 | 4,818 |
Ahold Lease Pass Through Trust, Series 2001-A-1, 7.82% 20203 | 524 | 534 |
Ahold Lease Pass Through Trust, Series 2001-A-2, 8.62% 20253 | 4,070 | 4,042 |
Delhaize America, Inc. 8.125% 2011 | 3,500 | 3,698 |
Winn-Dixie Stores, Inc. 8.875% 20086 | 2,300 | 2,001 |
Winn-Dixie Pass Through Trust, Series 1999-1, Class A-1, 6.30% 20171,3,6 | 1,345 | 1,090 |
Spectrum Brands, Inc. 7.375% 2015 | 3,500 | 2,861 |
Kellogg Co. 7.45% 2031 | 2,310 | 2,629 |
Playtex Products, Inc. 9.375% 2011 | 2,375 | 2,485 |
Elizabeth Arden, Inc. 7.75% 2014 | 1,780 | 1,758 |
WH Holdings (Cayman Islands) Ltd. and WH Capital Corp. 9.50% 2011 | 1,500 | 1,650 |
213,477 | ||
MORTGAGE-BACKED OBLIGATIONS3— 20.83% | ||
Fannie Mae 7.00% 2009 | 69 | 69 |
Fannie Mae 7.50% 2009 | 121 | 122 |
Fannie Mae 7.50% 2009 | 113 | 115 |
Fannie Mae 7.50% 2009 | 28 | 28 |
Fannie Mae 7.50% 2009 | 24 | 24 |
Fannie Mae 7.50% 2009 | 19 | 19 |
Fannie Mae 7.50% 2009 | 19 | 19 |
Fannie Mae 8.50% 2009 | 61 | 62 |
Fannie Mae 9.50% 2009 | 25 | 26 |
Fannie Mae 7.00% 2010 | 59 | 60 |
Fannie Mae, Series 2000-T5B, 7.30% 2010 | 57,100 | 60,672 |
Fannie Mae, Series 2001-T6B, 6.088% 2011 | 48,000 | 48,958 |
Fannie Mae, Series 2003-T1, Class B, 4.491% 2012 | 46,225 | 43,545 |
Fannie Mae 4.89% 2012 | 25,000 | 23,942 |
Fannie Mae 4.00% 2015 | 31,982 | 29,771 |
Fannie Mae 7.00% 2016 | 287 | 292 |
Fannie Mae 11.50% 2016 | 631 | 704 |
Fannie Mae 5.00% 2018 | 24,900 | 24,076 |
Fannie Mae 5.00% 2018 | 17,372 | 16,797 |
Fannie Mae 5.00% 2018 | 9,573 | 9,256 |
Fannie Mae 5.50% 2018 | 3,167 | 3,114 |
Fannie Mae 9.00% 2018 | 43 | 46 |
Fannie Mae 10.00% 2018 | 459 | 505 |
Fannie Mae 5.50% 2019 | 32,962 | 32,410 |
Fannie Mae 5.50% 2019 | 12,725 | 12,498 |
Fannie Mae 12.00% 2019 | 565 | 639 |
Fannie Mae 4.50% 2020 | 7,268 | 6,872 |
Fannie Mae, Series 90-93, Class G, 5.50% 2020 | 44 | 43 |
Fannie Mae 11.00% 2020 | 192 | 213 |
Fannie Mae 11.265% 20202 | 548 | 617 |
Fannie Mae 6.00% 2021 | 11,205 | 11,242 |
Fannie Mae 9.00% 2022 | 186 | 196 |
Fannie Mae 7.50% 2023 | 131 | 137 |
Fannie Mae, Series 2001-4, Class GA, 10.269% 20252 | 926 | 1,021 |
Fannie Mae, Series 2001-4, Class NA, 11.90% 20252 | 4,684 | 5,181 |
Fannie Mae 5.758% 20262 | 907 | 920 |
Fannie Mae 7.00% 2026 | 1,606 | 1,658 |
Fannie Mae 8.50% 2027 | 17 | 19 |
Fannie Mae, Series 1998-W5, Class B3, 6.50% 2028 | 2,835 | 2,720 |
Fannie Mae 7.00% 2028 | 957 | 982 |
Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2028 | 6,496 | 6,671 |
Fannie Mae 6.50% 2029 | 313 | 312 |
Fannie Mae, Series 2002-W7, Class A-5, 7.50% 2029 | 988 | 1,016 |
Fannie Mae 7.50% 2029 | 78 | 81 |
Fannie Mae 7.50% 2029 | 77 | 80 |
Fannie Mae 7.00% 2030 | 223 | 228 |
Fannie Mae 7.50% 2030 | 255 | 265 |
Fannie Mae 7.00% 2031 | 387 | 397 |
Fannie Mae 7.50% 2031 | 627 | 649 |
Fannie Mae 7.50% 2031 | 72 | 74 |
Fannie Mae, Series 2001-20, Class E, 9.615% 20312 | 164 | 180 |
Fannie Mae, Series 2001-20, Class C, 12.009% 20312 | 207 | 231 |
Fannie Mae 6.00% 2032 | 1,207 | 1,194 |
Fannie Mae 7.00% 2032 | 295 | 302 |
Fannie Mae 3.75% 20332 | 3,651 | 3,552 |
Fannie Mae 5.50% 2033 | 77,465 | 74,673 |
Fannie Mae 6.00% 2034 | 3,104 | 3,062 |
Fannie Mae 6.00% 2034 | 2,631 | 2,595 |
Fannie Mae 6.00% 2034 | 2,073 | 2,045 |
Fannie Mae 6.00% 2034 | 1,994 | 1,967 |
Fannie Mae 6.00% 2034 | 604 | 596 |
Fannie Mae 6.00% 2034 | 398 | 392 |
Fannie Mae 4.484% 20352 | 4,312 | 4,185 |
Fannie Mae 4.581% 20352 | 21,242 | 20,649 |
Fannie Mae 5.00% 2035 | 37,556 | 35,106 |
Fannie Mae 5.00% 2035 | 9,523 | 8,902 |
Fannie Mae 5.50% 2035 | 121,695 | 117,231 |
Fannie Mae 5.50% 2035 | 9,191 | 8,837 |
Fannie Mae, Series 2005-68, Class PG, 5.50% 2035 | 6,859 | 6,656 |
Fannie Mae 6.00% 2035 | 15,605 | 15,396 |
Fannie Mae 6.00% 2035 | 2,702 | 2,661 |
Fannie Mae 6.00% 2035 | 2,338 | 2,303 |
Fannie Mae 6.00% 2035 | 791 | 780 |
Fannie Mae 6.00% 2035 | 704 | 693 |
Fannie Mae, Series 2006-51, Class PO, principal only, 0% 2036 | 11,490 | 8,120 |
Fannie Mae 5.50% 2036 | 82,192 | 78,921 |
Fannie Mae 5.50% 2036 | 69,197 | 66,443 |
Fannie Mae 5.50% 2036 | 67,735 | 65,039 |
Fannie Mae 5.50% 2036 | 540 | 519 |
Fannie Mae 5.50% 2036 | 47 | 45 |
Fannie Mae, Series 2006-43, Class PX, 6.00% 2036 | 25,000 | 24,957 |
Fannie Mae 6.00% 2036 | 24,698 | 24,302 |
Fannie Mae 6.50% 2036 | 18,135 | 18,234 |
Fannie Mae, Series 2006-32, Class OA, principal only, 0% 2036 | 9,957 | 6,671 |
Fannie Mae, Series 2003-W10, Class 1A-2B, 3.112% 2037 | 210 | 209 |
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041 | 9,938 | 10,124 |
Fannie Mae, Series 2001-50, Class BA, 7.00% 2041 | 3,099 | 3,169 |
Fannie Mae, Series 2002-W1, Class 2A, 7.50% 2042 | 7,187 | 7,372 |
Freddie Mac 8.25% 2007 | 33 | 33 |
Freddie Mac 8.25% 2007 | 8 | 8 |
Freddie Mac 8.50% 2007 | 5 | 5 |
Freddie Mac 8.00% 2008 | 4 | 4 |
Freddie Mac 8.50% 2008 | 18 | 18 |
Freddie Mac 8.50% 2008 | 17 | 17 |
Freddie Mac 8.50% 2008 | 5 | 5 |
Freddie Mac 8.50% 2008 | 3 | 3 |
Freddie Mac 8.75% 2008 | 56 | 56 |
Freddie Mac 8.75% 2008 | 18 | 18 |
Freddie Mac 8.75% 2008 | 8 | 8 |
Freddie Mac 8.75% 2008 | 7 | 7 |
Freddie Mac 8.00% 2009 | 6 | 6 |
Freddie Mac 8.50% 2009 | 103 | 106 |
Freddie Mac 8.50% 2010 | 108 | 110 |
Freddie Mac 8.50% 2010 | 47 | 47 |
Freddie Mac 4.00% 2015 | 43,684 | 40,495 |
Freddie Mac 6.00% 2017 | 727 | 730 |
Freddie Mac, Series 2310, Class A, 10.602% 20172 | 1,004 | 1,081 |
Freddie Mac 5.00% 2018 | 23,945 | 23,126 |
Freddie Mac 11.00% 2018 | 134 | 147 |
Freddie Mac 8.50% 2020 | 234 | 248 |
Freddie Mac 8.50% 2020 | 76 | 80 |
Freddie Mac, Series 41, Class F, 10.00% 2020 | 183 | 182 |
Freddie Mac, Series 178, Class Z, 9.25% 2021 | 127 | 132 |
Freddie Mac 8.00% 2026 | 138 | 147 |
Freddie Mac 8.50% 2027 | 33 | 35 |
Freddie Mac 4.649% 20352 | 25,698 | 24,921 |
Freddie Mac 4.789% 20352 | 13,380 | 13,024 |
Freddie Mac 5.00% 2035 | 47,132 | 44,014 |
Freddie Mac, Series 3061, Class PN, 5.50% 2035 | 61,868 | 60,811 |
Freddie Mac 5.50% 2035 | 23,371 | 22,444 |
Freddie Mac 5.50% 2035 | 23,352 | 22,426 |
Freddie Mac 6.00% 2036 | 282,708 | 278,270 |
Freddie Mac, Series 3156, Class NG, 6.00% 2036 | 17,867 | 17,906 |
Freddie Mac 6.50% 2036 | 2,735 | 2,751 |
Freddie Mac, Series 3136, Class OP, principal only, 0% 2036 | 9,953 | 7,056 |
Countrywide Alternative Loan Trust, Series 2004-5CB, Class 2-A-1, 5.00% 2019 | 11,031 | 10,549 |
Countrywide Alternative Loan Trust, Series 2006-J3, Class 2-A-1, 4.75% 2020 | 13,917 | 13,147 |
Countrywide Alternative Loan Trust, Series 2005-J8, Class 2-A-1, 5.00% 2020 | 18,697 | 17,837 |
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 7-A-1, 5.00% 2020 | 4,640 | 4,444 |
Countrywide Alternative Loan Trust, Series 2005-9CB, Class 2-A-1, 6.00% 2020 | 8,425 | 8,331 |
Countrywide Alternative Loan Trust, Series 2005-J11, Class PO-A, principal only, 0% 2035 | 100 | 62 |
Countrywide Alternative Loan Trust, Series 2005-62, Class 2-A-1, 5.011% 20352 | 32,802 | 32,832 |
Countrywide Alternative Loan Trust, Series 2005-46CB, Class A-8, 5.50% 2035 | 96,725 | 95,492 |
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 1-A-7, 5.50% 2035 | 59,304 | 58,710 |
Countrywide Alternative Loan Trust, Series 2005-49CB, Class A-1, 5.50% 2035 | 38,196 | 37,509 |
Countrywide Alternative Loan Trust, Series 2005-40CB, Class A-1, 5.50% 2035 | 36,530 | 34,886 |
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-9, 5.50% 2035 | 15,864 | 15,666 |
Countrywide Alternative Loan Trust, Series 2005-30CB, Class 2-A-1, 5.50% 2035 | 6,151 | 5,856 |
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5-A-1, 5.75% 2035 | 3,161 | 3,048 |
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-17, 6.00% 2035 | 35,804 | 35,269 |
Countrywide Alternative Loan Trust, Series 2004-36CB, Class 1-A-1, 6.00% 2035 | 18,703 | 18,610 |
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 6-A-1, 6.00% 2035 | 1,327 | 1,295 |
Countrywide Alternative Loan Trust, Series 2005-73CB, Class 1-A-11, 5.50% 2036 | 9,573 | 8,873 |
Countrywide Alternative Loan Trust, Series 2006-16CB, Class A-2, 6.00% 2036 | 35,117 | 34,755 |
Countrywide Alternative Loan Trust, Series 2006-24CB, Class 2-A-1, 6.00% 2036 | 28,000 | 28,004 |
CS First Boston Mortgage Acceptance Corp., Series 2004-7, Class IV-A-1, 4.50% 2019 | 7,146 | 6,681 |
CS First Boston Mortgage Securities Corp., Series 2006-4, Class C-P, principal only, 0% 2021 | 272 | 191 |
CS First Boston Mortgage Securities Corp., Series 2002-30, Class I-A-1, 7.50% 2032 | 1,566 | 1,574 |
CS First Boston Mortgage Securities Corp., Series 2002-34, Class I-A-1, 7.50% 2032 | 170 | 172 |
CS First Boston Mortgage Securities Corp., Series 2003-AR12, Class II-A-2, 4.312% 20332 | 989 | 971 |
CS First Boston Mortgage Securities Corp., Series 2003-21, Class V-A-1, 6.50% 2033 | 8,928 | 8,889 |
CS First Boston Mortgage Securities Corp., Series 2003-29, Class V-A-1, 7.00% 2033 | 2,290 | 2,299 |
CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class VII-A-2, 4.607% 20342 | 20,108 | 19,632 |
CS First Boston Mortgage Securities Corp., Series 2004-5, Class IV-A-1, 6.00% 2034 | 12,076 | 11,788 |
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-3, 6.238% 2034 | 7,105 | 7,137 |
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-4, 6.505% 2034 | 460 | 471 |
CS First Boston Mortgage Acceptance Corp., Series 2005-11, Class A-P, principal only, 0% 2035 | 672 | 400 |
CS First Boston Mortgage Securities Corp., Series 2005-8, Class A-P, principal only, 0% 2035 | 537 | 340 |
CS First Boston Mortgage Securities Corp., Series 2002-CP5, Class A-1, 4.106% 2035 | 1,654 | 1,591 |
CS First Boston Mortgage Securities Corp., Series 2005-6, Class VI-A-1, 6.00% 2035 | 22,513 | 22,219 |
CS First Boston Mortgage Securities Corp., Series 2005-5, Class IV-A-1, 6.25% 2035 | 11,380 | 11,304 |
CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A-3, 6.38% 2035 | 67,122 | 68,411 |
CS First Boston Mortgage Securities Corp., Series 2002-CKP1, Class F, 7.067% 20351 | 1,500 | 1,579 |
CS First Boston Mortgage Securities Corp., Series 2006-2, Class A-P, principal only, 0% 2036 | 410 | 268 |
CS First Boston Mortgage Securities Corp., Series 2006-4, Class D-P, principal only, 0% 2036 | 325 | 202 |
CS First Boston Mortgage Securities Corp., Series 2006-1, Class A-P, principal only, 0% 2036 | 257 | 161 |
CS First Boston Mortgage Securities Corp., Series 2006-3, Class A-P, principal only, 0% 2036 | 37 | 23 |
CS First Boston Mortgage Securities Corp., Series 2006-2, Class 5-A-6, 6.00% 2036 | 33,750 | 33,191 |
CS First Boston Mortgage Securities Corp., Series 2002-CKS4, Class G, 6.006% 20361 | 500 | 495 |
CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-3, 6.387% 2036 | 26,650 | 27,311 |
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-1A, 3.883% 2037 | 8,597 | 8,355 |
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A-AB, 4.614% 2037 | 20,000 | 18,729 |
CS First Boston Mortgage Securities Corp., Series 2002-CKN2, Class A-1, 4.637% 2037 | 831 | 827 |
CS First Boston Mortgage Securities Corp., Series 2004-C4, Class A-4, 4.283% 2039 | 20,600 | 19,245 |
CS First Boston Mortgage Securities Corp., Series 2006-C1, Class A-3, 5.711% 2039 | 14,000 | 13,815 |
CS First Boston Mortgage Securities Corp., Series 2005-C6, Class A-3, 5.23% 2040 | 42,000 | 40,386 |
CS First Boston Mortgage Securities Corp., Series 1999-C1, Class D, 8.062% 20412 | 5,725 | 6,090 |
Government National Mortgage Assn. 7.50% 2007 | 6 | 6 |
Government National Mortgage Assn. 6.50% 2008 | 122 | 124 |
Government National Mortgage Assn. 6.50% 2008 | 37 | 38 |
Government National Mortgage Assn. 7.50% 2008 | 32 | 33 |
Government National Mortgage Assn. 7.50% 2008 | 26 | 26 |
Government National Mortgage Assn. 7.50% 2008 | 19 | 19 |
Government National Mortgage Assn. 7.50% 2008 | 19 | 19 |
Government National Mortgage Assn. 7.50% 2008 | 9 | 9 |
Government National Mortgage Assn. 6.50% 2009 | 41 | 42 |
Government National Mortgage Assn. 7.50% 2009 | 41 | 42 |
Government National Mortgage Assn. 7.50% 2009 | 40 | 40 |
Government National Mortgage Assn. 7.50% 2009 | 39 | 39 |
Government National Mortgage Assn. 7.50% 2009 | 35 | 36 |
Government National Mortgage Assn. 7.50% 2009 | 34 | 35 |
Government National Mortgage Assn. 7.50% 2009 | 25 | 25 |
Government National Mortgage Assn. 7.50% 2009 | 22 | 22 |
Government National Mortgage Assn. 9.00% 2009 | 432 | 441 |
Government National Mortgage Assn. 9.50% 2009 | 491 | 508 |
Government National Mortgage Assn. 9.50% 2009 | 36 | 37 |
Government National Mortgage Assn. 9.00% 2016 | 116 | 124 |
Government National Mortgage Assn. 9.00% 2017 | 35 | 38 |
Government National Mortgage Assn. 9.50% 2019 | 283 | 312 |
Government National Mortgage Assn. 8.50% 2020 | 50 | 53 |
Government National Mortgage Assn. 8.50% 2020 | 30 | 32 |
Government National Mortgage Assn. 9.50% 2020 | 98 | 109 |
Government National Mortgage Assn. 10.00% 2020 | 778 | 870 |
Government National Mortgage Assn. 8.50% 2021 | 266 | 283 |
Government National Mortgage Assn. 8.50% 2021 | 160 | 171 |
Government National Mortgage Assn. 8.50% 2021 | 91 | 96 |
Government National Mortgage Assn. 8.50% 2021 | 42 | 45 |
Government National Mortgage Assn. 10.00% 2021 | 1,732 | 1,913 |
Government National Mortgage Assn. 9.00% 2022 | 28 | 30 |
Government National Mortgage Assn. 8.50% 2023 | 32 | 34 |
Government National Mortgage Assn. 8.50% 2024 | 30 | 32 |
Government National Mortgage Assn. 8.50% 2024 | 26 | 28 |
Government National Mortgage Assn. 8.50% 2027 | 30 | 32 |
Government National Mortgage Assn. 8.50% 2028 | 25 | 26 |
Government National Mortgage Assn. 8.50% 2029 | 28 | 30 |
Government National Mortgage Assn. 6.50% 2034 | 389 | 392 |
Government National Mortgage Assn. 4.00% 20352 | 15,309 | 14,915 |
Government National Mortgage Assn. 4.00% 20352 | 6,790 | 6,593 |
Government National Mortgage Assn. 4.00% 20352 | 3,213 | 3,120 |
Government National Mortgage Assn. 5.50% 2036 | 8,918 | 8,605 |
Government National Mortgage Assn. 6.00% 2036 | 190,000 | 187,996 |
Government National Mortgage Assn. 6.00% 2036 | 19,970 | 19,766 |
Bear Stearns Commercial Mortgage Securities Inc., Series 1998-C1, Class A-1, 6.34% 2030 | 1,920 | 1,927 |
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-WF2, | ||
Class X, interest only, 0.407% 20312 | 226,705 | 2,820 |
Bear Stearns Commercial Mortgage Securities Inc., Series 1999-C1, | ||
Class X, interest only, 1.243% 20311,2 | 147,475 | 4,422 |
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF2, Class A-2, 7.32% 2032 | 16,480 | 17,355 |
Bear Stearns Commercial Mortgage Securities Inc., Series 2002-PBW1, Class A-1, 3.97% 2035 | 22,167 | 21,377 |
Bear Stearns Commercial Mortgage Securities Inc., Series 2001-TOP2, Class D, 6.94% 20351 | 3,000 | 3,122 |
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-1, 3.688% 2041 | 3,368 | 3,286 |
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-4, 4.521% 2041 | 10,000 | 9,398 |
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-2, 4.735% 2042 | 64,000 | 61,723 |
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-3, 4.868% 2042 | 38,825 | 36,587 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S6, II-A-3, 4.75% 2018 | 1,473 | 1,391 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-CB2, Class VII-A, 5.50% 2019 | 1,787 | 1,763 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A-7, 3.842% 20332 | 30,605 | 29,839 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A, 4.03% 20332 | 6,651 | 6,492 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A-7, 4.208% 20332 | 5,928 | 5,776 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR6, Class A-1, 4.339% 20332 | 15,248 | 14,896 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A, 4.572% 20342 | 34,863 | 33,883 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR2, Class 2-A1, 5.844% 20372 | 29,202 | 28,635 |
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR15, Class A-1-A, 5.583% 20452 | 22,322 | 22,395 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class F, 5.98% 20341 | 2,500 | 2,471 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC12, | ||
Class A-3B, 5.511% 20372 | 45,000 | 44,036 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class E, 6.135% 20371 | 400 | 403 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1, | ||
Class A-1, 3.972% 2039 | 15,819 | 15,128 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, | ||
Class A-3, 4.545% 2042 | $10,000 | $ 9,425 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, | ||
Class A-2, 4.79% 2042 | 10,508 | 10,137 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, | ||
Class A-3A1, 4.871% 2042 | 25,000 | 23,940 |
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, | ||
Class A-2, 4.625% 2046 | 31,455 | 30,398 |
Residential Accredit Loans, Inc., Series 2004-QS6, Class A-1, 5.00% 2019 | 6,816 | 6,502 |
Residential Accredit Loans, Inc., Series 2004-QS16, Class 1-A-1, 5.50% 2034 | 13,852 | 13,656 |
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034 | 44,617 | 43,840 |
Residential Accredit Loans, Inc., Series 2004-QS12, Class M-1, 6.00% 2034 | 2,440 | 2,327 |
Residential Accredit Loans, Inc., Series 2005-QS4, Class A-3, 5.50% 2035 | 41,813 | 40,584 |
Residential Accredit Loans, Inc., Series 2005-QS9, Class A-6, 5.50% 2035 | 5,000 | 4,644 |
Residential Accredit Loans, Inc., Series 2005-QS5, Class A-5, 5.75% 2035 | 5,000 | 4,757 |
Residential Accredit Loans, Inc., Series 2005-QS14, Class 2-A-1, 6.00% 2035 | 5,690 | 5,548 |
Residential Accredit Loans, Inc., Series 2006-QS1, Class A-3, 5.75% 2036 | 9,316 | 9,260 |
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22, Class 5-A1, 6.038% 20352 | 29,926 | 29,621 |
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 5-A-1, 5.991% 20362 | 53,994 | 53,319 |
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 4-A-1, 5.995% 20362 | 18,232 | 17,986 |
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-2, Class 5-A-1, 6.00% 20362 | 9,518 | 9,432 |
CHL Mortgage Pass-Through Trust, Series 2003-HYB3, Class 4-A-1, 3.462% 20332 | 4,135 | 4,015 |
CHL Mortgage Pass-Through Trust, Series 2003-27, Class A-1, 3.704% 20332 | 9,372 | 8,911 |
CHL Mortgage Pass-Through Trust, Series 2004-22, Class A-2, 4.641% 20342 | 10,980 | 10,705 |
CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A-3, 5.149% 20342 | 4,691 | 4,626 |
CHL Mortgage Pass-Through Trust, Series 2005-J4, Class PO, principal only, 0% 2035 | 175 | 125 |
CHL Mortgage Pass-Through Trust, Series 2005-HYB8, Class 4-A-1, 5.71% 20352 | 78,946 | 77,603 |
Bear Stearns ARM Trust, Series 2003-6, Class I-A-2, 3.984% 20332 | 27,949 | 27,198 |
Bear Stearns ARM Trust, Series 2003-3, Class II-A-2, 4.054% 20332 | 5,926 | 5,791 |
Bear Stearns ARM Trust, Series 2003-3, Class III-A-1, 5.118% 20332 | 5,939 | 5,814 |
Bear Stearns ARM Trust, Series 2004-3, Class II-A, 4.251% 20342 | 15,568 | 14,982 |
Bear Stearns ARM Trust, Series 2003-9, Class III-A-2, 4.98% 20342 | 2,541 | 2,485 |
Bear Stearns ARM Trust, Series 2005-10, Class A-3, 4.65% 20352 | 51,800 | 49,373 |
Crown Castle Towers LLC, Series 2005-1, Class A-FX, 4.643% 20351 | 36,000 | 34,494 |
Crown Castle Towers LLC, Series 2005-1, Class C, 5.074% 20351 | 43,000 | 41,375 |
Chase Commercial Mortgage Securities Corp., Series 1998-2, Class A-2, 6.39% 2030 | 42,016 | 42,527 |
Chase Commercial Mortgage Securities Corp., Series 1998-1, Class A-2, 6.56% 2030 | 11,816 | 11,945 |
Chase Commercial Mortgage Securities Corp., Series 2000-2, Class A-1, 7.543% 2032 | 10,274 | 10,449 |
Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-2, 7.757% 2032 | 7,053 | 7,404 |
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036 | 54,375 | 55,848 |
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-3, 4.561% 2041 | 9,975 | 9,429 |
Bear Stearns ALT-A Trust, Series 2005-9, Class II-6A-1, 5.845% 20352 | 31,728 | 31,365 |
Bear Stearns ALT-A Trust, Series 2006-2, Class II-4-A-1, 5.982% 20362 | 33,596 | 33,410 |
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-2, 3.958% 2035 | 4,200 | 4,031 |
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A-3, 4.608% 2035 | 1,979 | 1,884 |
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-2, 4.782% 2042 | 24,000 | 23,271 |
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-4, 5.083% 2042 | 35,000 | 33,011 |
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class A-3, 6.869% 2029 | 8,969 | 9,046 |
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class D, 6.997% 2029 | 8,300 | 8,404 |
GMAC Commercial Mortgage Securities, Inc., Series 2001-C1, Class A-2, 6.465% 2034 | 30,250 | 30,975 |
GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class C, 6.50% 2035 | 9,000 | 9,144 |
Residential Asset Mortgage Products Trust, Series 2004-RS9, Class A-I-4, | ||
AMBAC insured, 4.767% 2032 | 10,000 | 9,812 |
Residential Asset Mortgage Products Trust, Series 2003-RZ4, Class A-7, 4.79% 20332 | 10,000 | 9,506 |
Residential Asset Mortgage Products Trust, Series 2003-RS11, Class A-I-7, 4.828% 2033 | 9,000 | 8,591 |
Residential Asset Mortgage Products Trust, Series 2004-RS10, Class A-I-6, 4.55% 2034 | 26,100 | 24,628 |
Nykredit 4.00% 2035 | DKr308,893 | 47,954 |
IndyMac INDX Mortgage Loan Trust, Series 2006-AR5, Class 2-A-1, 5.884% 20362 | $51,952 | 51,256 |
Banc of America Funding Corp., Series 2005-H, Class 9-A-1, 5.969% 20352 | 49,994 | 49,557 |
Tower Ventures, LLC, Series 2006-1, Class A-2, 5.45% 20361 | 22,500 | 22,012 |
Tower Ventures, LLC, Series 2006-1, Class C, 5.707% 20361 | 3,670 | 3,602 |
Tower Ventures, LLC, Series 2006-1, Class D, 6.052% 20361 | 10,000 | 9,914 |
Tower Ventures, LLC, Series 2006-1, Class E, 6.495% 20361 | 4,000 | 3,966 |
Tower Ventures, LLC, Series 2006-1, Class F, 7.036% 20361 | 8,730 | 8,611 |
HarborView Mortgage Loan Trust, Series 2005-15, Class 2-A1A2, 6.067% 20452 | 44,574 | 45,019 |
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20261 | 41,310 | 43,293 |
SBA CMBS Trust, Series 2005-1, Class A, 5.369% 20351 | 33,000 | 32,349 |
SBA CMBS Trust, Series 2005-1, Class B, 5.565% 20351 | 3,300 | 3,245 |
SBA CMBS Trust, Series 2005-1, Class E, 6.706% 20351 | 7,460 | 7,442 |
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-1, 6.341% 20331 | 2,959 | 2,972 |
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-2, 6.592% 2033 | 17,250 | 17,724 |
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-2, 6.226% 2035 | 5,462 | 5,479 |
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035 | 16,420 | 16,799 |
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class II-A, 4.61% 20332 | 15,078 | 14,851 |
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class II-A-1, 4.595% 20342 | 26,112 | 25,520 |
Deutsche Genossenschafts-Hypothekenbank AG 5.25% 2009 | €29,447 | 39,141 |
Bear Stearns Asset-backed Securities I Trust, Series 2005-AC8, Class A-4, 5.50% 2035 | $16,325 | 16,056 |
Bear Stearns Asset-backed Securities I Trust, Series 2006-AC-2, Class II-1A-1, 6.00% 2036 | 23,265 | 23,084 |
GMAC Mortgage Loan Trust, Series 2006-AR1, Class 2-A-1, 5.659% 20362 | 39,446 | 38,850 |
Banc of America Mortgage Securities Trust, Series 2003-F, Class 2-A-1, 3.734% 20332 | 22,802 | 22,100 |
Banc of America Mortgage Securities Trust, Series 2003-G, Class 2-A-1, 4.088% 20332 | 6,487 | 6,240 |
Banc of America Mortgage Securities Trust, Series 2003-I, Class 3-A-1, 4.532% 20332 | 9,633 | 9,396 |
GS Mortgage Securities Corp. II, Series 1998-C1, Class E, 7.42% 20302 | 31,076 | 32,009 |
GS Mortgage Securities Corp. II, Series 1998-C1, Class D, 7.42% 20302 | 3,750 | 3,864 |
Residential Asset Securitization Trust, Series 2005-A13, Class PO, principal only, 0% 2035 | 286 | 183 |
Residential Asset Securitization Trust, Series 2005-A8CB, Class A-11, 6.00% 2035 | 21,750 | 21,234 |
Residential Asset Securitization Trust, Series 2005-A6CB, Class A-7, 6.00% 2035 | 14,244 | 14,091 |
Banc of America Alternative Loan Trust, Series 2005-4, Class 2-A-1, 5.00% 2020 | 17,099 | 16,312 |
Banc of America Alternative Loan Trust, Series 2005-6, Class 2-CB-2, 6.00% 2035 | 16,587 | 16,378 |
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4-A, 5.693% 20342 | 27,230 | 26,038 |
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 3-A, 6.00% 2034 | 3,223 | 3,146 |
Adjustable Rate Mortgage Trust, Series 2006-1, Class 3-A-3, 5.978% 20362 | 29,446 | 29,135 |
MASTR Alternative Loan Trust, Series 2003-2, Class 6-A-1, 6.00% 2033 | 801 | 793 |
MASTR Alternative Loan Trust, Series 2004-2, Class 2-A-1, 6.00% 2034 | 1,496 | 1,460 |
MASTR Alternative Loan Trust, Series 2005-1, Class 1-A-1, 5.50% 2035 | 17,315 | 16,478 |
MASTR Alternative Loan Trust, Series 2005-3, Class 1-A-1, 5.50% 2035 | 4,284 | 4,070 |
MASTR Alternative Loan Trust, Series 2005-3, Class 2-A-1, 6.00% 2035 | 5,555 | 5,472 |
MASTR Alternative Loan Trust, Series 2005-3, Class 3-A-1, 6.50% 2035 | 634 | 631 |
Commercial Mortgage Trust, Series 2004-LB3A, Class A-4, 5.234% 2037 | 10,956 | 10,670 |
Commercial Mortgage Trust, Series 2003-LNB1, Class A-2, 4.084% 2038 | 20,000 | 18,057 |
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, | ||
Series 1999-1, Class A-2, 7.439% 2031 | 5,000 | 5,227 |
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, | ||
Series 1999-1, Class B, 7.619% 2031 | 17,125 | 18,046 |
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, | ||
Series 1999-1, Class C, 7.625% 2031 | 5,000 | 5,272 |
Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035 | 17,468 | 17,682 |
Morgan Stanley Dean Witter Capital I Trust, Series 2003-TOP9, Class A-1, 3.98% 2036 | 8,174 | 7,779 |
Morgan Stanley Dean Witter Capital I Trust, Series 2002-IQ3, Class A-1, 3.48% 2037 | 1,067 | 1,051 |
Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030 | 14,425 | 14,606 |
Morgan Stanley Capital I, Inc., Series 1999-FNV1, Class A-2, 6.53% 2031 | 9,934 | 10,084 |
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-1, 6.079% 2033 | 230 | 231 |
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-2, 6.531% 2033 | 17,590 | 18,097 |
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-1, 5.56% 2038 | 3,120 | 3,114 |
GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-2, 6.07% 2038 | 2,500 | 2,538 |
LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2025 | 14,500 | 15,499 |
LB-UBS Commercial Mortgage Trust, Series 2002-C1, Class A-3, 6.226% 2026 | 8,300 | 8,416 |
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.526% 20271,2 | 7,026 | 7,076 |
Structured Asset Securities Corp., Series 1998-RF1, Class A, 8.734% 20271,2 | 2,572 | 2,589 |
Structured Asset Securities Corp., Series 1999-RF1, Class A, 7.853% 20281,2 | 1,697 | 1,728 |
Structured Asset Securities Corp., Series 2003-17A, Class 3-A1, 4.01% 20332 | 2,194 | 2,166 |
Structured Asset Securities Corp., Series 2005-6, Class 5-A-4, 5.00% 2035 | 6,871 | 6,278 |
Structured Asset Securities Corp., Series 2005-6, Class 5-A-9, 5.00% 2035 | 2,766 | 2,655 |
Prudential Securities Secured Financing Corp., Series 1999-NRF1, Class C, 6.746% 2031 | 18,000 | 18,453 |
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A-3-1, 4.55% 20342 | 5,201 | 5,099 |
Citigroup Mortgage Loan Trust, Inc., Series 2005-8, Class 3-A-1, 5.50% 2035 | 10,950 | 10,425 |
GGP Mall Properties Trust, Series 2001-GGP1, Class A-2, 5.007% 20111 | 15,026 | 15,005 |
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class I-A-14, 5.50% 2035 | 14,414 | 14,210 |
GSR Mortgage Loan Trust, Series 2005-AR1, Class 2-A-1, 4.946% 20352 | 13,807 | 13,530 |
Dexia Municipal Agency 3.50% 2009 | €10,076 | 12,741 |
Bank of America, NA and First Union National Bank Commercial Mortgage Trust, | ||
Series 2001-3, Class A-1, 4.89% 2037 | $10,905 | 10,783 |
Washington Mutual Securities Corp., Series 2005-AR1, Class A-1-A, 5.583% 20352 | 8,863 | 8,881 |
Washington Mutual Securities Corp., WMALT Series 2005-1, Class 6-A-1, 6.50% 2035 | 1,698 | 1,698 |
Residential Funding Mortgage Securities I, Inc., Series 2004-SA1, Class A-II, 4.328% 20342 | 10,893 | 10,526 |
DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032 | 10,000 | 10,178 |
DLJ Mortgage Acceptance Corp., Series 1998-CF1, Class A-1B, 6.41% 2031 | 8,888 | 8,961 |
American General Mortgage Loan Trust, Series 2006-1, Class A-5, 5.75% 20351 | 8,500 | 8,197 |
Hypothekenbank in Essen AG 5.25% 2008 | €6,000 | 7,853 |
J.P. Morgan Mortgage Trust, Series 2005-A1, Class 4-A-1, 4.78% 20352 | $8,230 | 7,789 |
Morgan Stanley Capital I Trust, Series 2005-HQ7, Class A-2, 5.375% 20422 | 7,875 | 7,650 |
First Union National Bank Commercial Mortgage Trust, Series 2000-C1, Class A-1, 7.739% 2032 | 4,383 | 4,452 |
First Union National Bank Commercial Mortgage Trust, Series 2001-C4, Class A-1, 5.673% 2033 | 2,840 | 2,840 |
Rheinische Hypothekenbank Eurobond 4.25% 2008 | €5,000 | 6,462 |
Banc of America Mortgage Securities, Inc., Series 2003-10, Class 3-A-1, 5.00% 2019 | $ 5,898 | 5,625 |
Hilton Hotel Pool Trust, Series 2000-HLTA, Class F, 7.75% 20151 | 5,000 | 5,085 |
RAAC Mortgage Loan Asset-backed Trust, Series 2004-SP3, Class A-I-5, 4.89% 2032 | 5,000 | 4,620 |
SACO I Trust, Series 2005-2, Class A, interest only, 6.00% 20071 | 24,546 | 1,284 |
SACO I Trust, Series 2005-1, Class A, interest only, 6.00% 20071 | 16,489 | 708 |
SACO I Trust, Series 2005-3, Class A, interest only, 6.00% 20351 | 29,359 | 1,673 |
Wells Fargo Mortgage-backed Securities Trust, Series 2004-7, Class I-A-1, 4.50% 2019 | 2,255 | 2,109 |
Wells Fargo Mortgage-backed Securities Trust, Series 2006-1, Class A-PO, principal only, 0% 2021 | 260 | 158 |
Wells Fargo Mortgage-backed Securities Trust, Series 2006-2, Class 1-A-5, principal only, 0% 2036 | 1,739 | 1,265 |
Specialty Underwriting and Residential Finance Trust, Series 2004-AA1, Class I-A-1, 5.00% 2034 | 3,336 | 3,229 |
Ocwen Residential MBS Corp., Series 1998-R1, Class AWAC, 5.36% 20401,2 | 2,369 | 2,291 |
Bank of America Large Loan, Inc., Series 2005-BOCA, Class E, 5.619% 20161,2 | 1,750 | 1,751 |
TBW Mortgage-backed Trust, Series 2006-1, Class D-P, principal only, 0% 2036 | 588 | 363 |
TBW Mortgage-backed Trust, Series 2006-2, Class A-P, principal only, 0% 2036 | 293 | 209 |
TBW Mortgage-backed Trust, Series 2006-1, Class A-P, principal only, 0% 2036 | 296 | 185 |
TBW Mortgage-backed Trust, Series 2006-2, Class C-P, principal only, 0% 2036 | 65 | 46 |
GS Mortgage Securities Corp., Series 1998-2, Class M, 7.75% 20271 | 639 | 656 |
Nomura Asset Securities Corp., Series 1998-D6, Class A-1A, 6.28% 2030 | 488 | 488 |
Financial Asset Securitization, Inc., Series 1997-NAM1, Class B-1, 7.75% 2027 | 452 | 451 |
Citicorp Mortgage Securities Trust, Series 2006-1, Class A-PO2, principal only, 0% 2021 | 49 | 31 |
Citicorp Mortgage Securities Trust, Series 2006-1, Class A-PO1, principal only, 0% 2036 | 363 | 250 |
First Boston Mortgage Securities Corp., Series D, interest only, 10.965% 2017 | 123 | 31 |
First Boston Mortgage Securities Corp., Series D, principal only, 0% 2017 | 123 | 98 |
5,086,865 | ||
U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 10.09% | ||
U.S. Treasury 7.00% 2006 | 100,000 | 100,055 |
U.S. Treasury 3.125% 2007 | 9,275 | 9,105 |
U.S. Treasury 3.375% 20078 | 63,573 | 63,740 |
U.S. Treasury 6.25% 2007 | 131,115 | 131,832 |
U.S. Treasury 3.375% 2008 | 10,500 | 10,089 |
U.S. Treasury 3.625% 20088 | 6,683 | 6,796 |
U.S. Treasury 3.625% 2009 | 192,000 | 183,990 |
U.S. Treasury 5.50% 2009 | 5,510 | 5,565 |
U.S. Treasury Principal Strip 0% 2009 | 8,250 | 7,048 |
U.S. Treasury 0.875% 20108 | 13,265 | 12,511 |
U.S. Treasury 6.50% 2010 | 30,000 | 31,352 |
U.S. Treasury 3.50% 20118 | 57,871 | 60,500 |
U.S. Treasury 4.25% 2011 | 15,000 | 14,484 |
U.S. Treasury 4.50% 2011 | 8,400 | 8,191 |
U.S. Treasury 5.00% 2011 | 84,195 | 83,958 |
U.S. Treasury 5.00% 2011 | 25,000 | 24,939 |
U.S. Treasury 3.00% 20128 | 499 | 513 |
U.S. Treasury 10.375% 2012 | 24,500 | 26,165 |
U.S. Treasury 3.625% 2013 | 75,000 | 68,625 |
U.S. Treasury 4.25% 2013 | 166,900 | 158,373 |
U.S. Treasury 12.00% 2013 | 10,000 | 11,369 |
U.S. Treasury 2.00% 20148 | 42,055 | 40,589 |
U.S. Treasury 4.25% 2014 | 20,000 | 18,838 |
U.S. Treasury 11.25% 2015 | 70,000 | 99,433 |
U.S. Treasury Principal Strip 0% 2015 | 20,020 | 12,518 |
U.S. Treasury 9.25% 2016 | 30,000 | 39,164 |
U.S. Treasury 8.875% 20179 | 70,000 | 91,350 |
U.S. Treasury Principal Strip 0% 20189 | 31,220 | 16,750 |
U.S. Treasury 6.875% 2025 | 129,700 | 153,796 |
U.S. Treasury 6.50% 20269 | 66,850 | 76,700 |
U.S. Treasury 3.875% 20298 | 3,186 | 3,935 |
U.S. Treasury 3.375% 20328,9 | 2,128 | 2,508 |
U.S. Treasury 4.50% 20369 | 336,675 | 301,957 |
Fannie Mae 2.625% 2006 | 70,450 | 69,700 |
Fannie Mae 5.25% 2007 | 103,500 | 103,078 |
Fannie Mae 5.25% 2012 | 50,000 | 48,786 |
Freddie Mac 2.875% 2006 | 16,675 | 16,476 |
Freddie Mac 3.75% 2006 | 56,920 | 56,548 |
Freddie Mac 4.125% 2009 | 25,000 | 24,000 |
Freddie Mac 4.125% 2010 | 13,250 | 12,605 |
Freddie Mac 5.50% 2011 | 74,000 | 74,126 |
Freddie Mac 6.25% 2012 | 15,000 | 15,027 |
Federal Home Loan Bank 2.875% 2006 | 37,500 | 37,305 |
Federal Home Loan Bank 3.70% 2007 | 20,000 | 19,596 |
Federal Home Loan Bank 5.823% 2009 | 46,690 | 47,060 |
Federal Home Loan Bank 5.625% 2016 | 17,000 | 16,806 |
Federal Agricultural Mortgage Corp. 4.25% 2008 | 17,000 | 16,577 |
Federal Agricultural Mortgage Corp. 4.875% 20111 | 15,000 | 14,596 |
United States Government-Guaranteed Certificates of Participation, Overseas Private | ||
Investment Corp.,Series 2000-044-A, 3.74% 20153 | 10,450 | 9,801 |
United States Agency for International Development, Republic of Egypt 4.45% 2015 | 5,000 | 4,637 |
2,463,462 | ||
NON-U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 6.55% | ||
Japanese Government 0.50% 2007 | ¥9,186,900 | 80,330 |
Japanese Government 0.90% 2008 | 7,187,550 | 62,831 |
Japanese Government 1.80% 2010 | 487,350 | 4,357 |
Japanese Government 1.30% 2011 | 1,160,250 | 10,087 |
Japanese Government 1.50% 2014 | 1,760,950 | 15,042 |
Japanese Government 2.30% 2035 | ¥3,957,000 | $ 33,040 |
United Mexican States Government Global 10.375% 2009 | $ 14,500 | 16,102 |
United Mexican States Government, Series MI10, 9.50% 2014 | MXP1,112,000 | 101,156 |
United Mexican States Government Global 11.375% 2016 | $ 8,312 | 11,346 |
United Mexican States Government Global 5.625% 2017 | 13,800 | 12,868 |
United Mexican States Government, Series M20, 8.00% 2023 | MXP153,800 | 11,956 |
United Mexican States Government, Series M20, 10.00% 2024 | 311,500 | 28,925 |
United Mexican States Government Global 8.30% 2031 | $8,220 | 9,515 |
United Mexican States Government Global 7.50% 2033 | 6,705 | 7,141 |
German Government 4.50% 2006 | €52,750 | 67,510 |
German Government 4.50% 2009 | 55,000 | 71,863 |
German Government 6.25% 2030 | 28,240 | 46,138 |
Korean Government 4.50% 2008 | KRW71,938,000 | 75,205 |
Korean Government 4.50% 2009 | 18,516,000 | 19,321 |
Korean Government 4.00% 2010 | 8,515,000 | 8,666 |
Korean Government 5.00% 2011 | 27,550,000 | 28,974 |
Korean Government 4.25% 2014 | 44,725,000 | 44,747 |
Polish Government 5.75% 2010 | PLZ237,410 | 75,387 |
Polish Government 6.00% 2010 | 157,250 | 50,414 |
United Kingdom 7.50% 2006 | £13,070 | 24,431 |
United Kingdom 5.00% 2008 | 1,380 | 2,560 |
United Kingdom 4.75% 2010 | 11,890 | 21,925 |
United Kingdom 4.75% 2015 | 14,550 | 26,925 |
United Kingdom 4.75% 2038 | 23,305 | 46,308 |
Israeli Government 7.50% 2014 | ILS464,132 | 110,391 |
Canadian Government 4.25% 20268 | C$52,330 | 81,449 |
Swedish Government 5.00% 2009 | SKr105,000 | 15,111 |
Swedish Government 5.25% 2011 | 311,885 | 45,967 |
French Government O.A.T. Eurobond Strip Principal 0% 2019 | €14,000 | 10,314 |
French Government O.A.T. Eurobond 5.50% 2029 | 7,610 | 11,359 |
French Government O.A.T. Eurobond 4.75% 2035 | 26,150 | 35,603 |
Russian Federation 8.25% 2010 | $ 3,556 | 3,702 |
Russian Federation 5.00%/7.50% 20305 | 45,695 | 48,722 |
Russian Federation 5.00%/7.50% 20301,5 | 145 | 155 |
Thai Government 4.125% 2009 | THB1,325,000 | 33,350 |
Thai Government 5.00% 2014 | 735,810 | 18,553 |
Aries Vermögensverwaltungs GmbH, Series C, 9.60% 2014 | $23,000 | 28,635 |
Export-Import Bank of China 4.875% 20151 | 20,000 | 18,567 |
State of Qatar 9.75% 2030 | 12,220 | 17,047 |
Italian Government BTPS Eurobond 6.00% 2007 | €10,354 | 13,662 |
Singapore (Republic of) 3.125% 2011 | S$10,770 | 6,740 |
Singapore (Republic of) 3.75% 2016 | 10,500 | 6,727 |
Argentina (Republic of) 4.278% 20122 | $4,850 | 3,941 |
Argentina (Republic of) 7.255% 20337,8 | ARS15,903 | 5,547 |
Argentina (Republic of) GDP-Linked 2035 | 53,811 | 1,388 |
Argentina (Republic of) 0.764% 20388 | 10,050 | 1,446 |
Spanish Government 4.25% 2007 | €8,250 | 10,650 |
Banque Centrale de Tunisie 4.75% 2011 | 3,000 | 3,846 |
Banque Centrale de Tunisie 7.375% 2012 | $4,500 | 4,703 |
Brazilian Treasury Bill 5.903% 20108 | BRL850 | 539 |
Brazil (Federal Republic of) Global 7.875% 2015 | $1,250 | 1,312 |
Brazil (Federal Republic of) Global 8.00% 2018 | 644 | 681 |
Brazil (Federal Republic of) Global 8.875% 2024 | 1,375 | 1,530 |
Brazil (Federal Republic of) Global 12.25% 2030 | 425 | 625 |
Brazil (Federal Republic of) Global 11.00% 2040 | 3,110 | 3,860 |
El Salvador (Republic of) 7.65% 20351 | 8,750 | 8,444 |
Corporación Andina de Fomento 6.875% 2012 | 5,895 | 6,175 |
Corporación Andina de Fomento 5.125% 2015 | 2,000 | 1,870 |
Panama (Republic of) Global 7.125% 2026 | 690 | 669 |
Panama (Republic of) Global 8.875% 2027 | 250 | 284 |
Panama (Republic of) Global 9.375% 2029 | 675 | 800 |
Panama (Republic of) Global 6.70% 2036 | 5,313 | 4,888 |
Columbia (Republic of) Global 8.25% 2014 | 2,500 | 2,638 |
Colombia (Republic of) Global 12.00% 2015 | COP2,330,000 | 1,017 |
Turkey (Republic of) 12.375% 2009 | $500 | 559 |
Turkey (Republic of) 15.00% 2010 | TRY5,250 | 2,980 |
Peru (Republic of) 9.125% 2012 | $ 432 | 480 |
Peru (Republic of) 8.375% 2016 | 2,500 | 2,713 |
Peru (Republic of) Past Due Interest Eurobond 5.00% 20172 | 344 | 335 |
New Zealand Government 4.50% 20168 | NZ$3,000 | 2,479 |
Dominican Republic 9.50% 20111,7 | $2,290 | 2,427 |
Egypt (Arab Republic of) Treasury Bill 0% 2007 | EGP6,175 | 1,023 |
Egypt (Arab Republic of) Treasury Bill 0% 2007 | 1,825 | 302 |
Venezuela (Republic of) Global 8.50% 2014 | $ 245 | 260 |
Venezuela (Republic of) 9.25% 2027 | 780 | 922 |
Guatemala (Republic of) 10.25% 20111 | 1,000 | 1,154 |
1,603,611 | ||
ASSET-BACKED OBLIGATIONS3— 5.45% | ||
Drive Auto Receivables Trust, Series 2005-2, Class A-2, MBIA insured, 4.12% 20101 | 7,828 | 7,748 |
Drive Auto Receivables Trust, Series 2005-1, Class A-4, MBIA insured, 4.01% 2012 | 28,125 | 27,331 |
Drive Auto Receivables Trust, Series 2005-2, Class A-3, MBIA insured, 4.26% 20121 | 60,520 | 58,400 |
Drive Auto Receivables Trust, Series 2005-3, Class A-4, FSA insured, 5.09% 20131 | 17,500 | 17,295 |
Drive Auto Receivables Trust, Series 2006-1, Class A-4, FSA insured, 5.54% 20131 | 60,000 | 59,701 |
ARG Funding Corp., Series 2005-1, Class A-1, MBIA insured, 4.02% 20091 | 21,000 | 20,474 |
ARG Funding Corp., Series 2005-2, Class A-1, AMBAC insured, 4.54% 20091 | 51,820 | 50,929 |
ARG Funding Corp., Series 2005-1, Class A-3, MBIA insured, 4.29% 20111 | 32,000 | 30,549 |
ARG Funding Corp., Series 2005-2, Class A-4, AMBAC insured, 4.84% 20111 | 30,000 | 29,180 |
CPS Auto Receivables Trust, Series 2003-A, Class A-2, XLCA insured, 2.89% 20091 | 2,589 | 2,540 |
CPS Auto Receivables Trust, Series 2002-B, Class A-2, XLCA insured, 3.50% 20091 | 585 | 579 |
CPS Auto Receivables Trust, Series 2002-C, Class A-2, XLCA insured, 3.52% 20091 | 354 | 350 |
CPS Auto Receivables Trust, Series 2004-A, Class A-2, FSA insured, 3.87% 20101 | 7,141 | 7,004 |
CPS Auto Receivables Trust, Series 2004-D, Class A-2, XLCA insured, 3.86% 20111 | 17,465 | 17,156 |
CPS Auto Receivables Trust, Series 2005-B, Class A-2, FSA insured, 4.36% 20121 | 12,000 | 11,683 |
CPS Auto Receivables Trust, Series 2005-D, Class A-2, FSA insured, 5.06% 20121 | 7,600 | 7,513 |
CPS Auto Receivables Trust, Series 2006-A, Class 1-A-4, FSA insured, 5.33% 20121 | 10,000 | 9,812 |
CPS Auto Receivables Trust, Series 2006-B, Class A-4, MBIA insured, 5.81% 20161 | 23,000 | 23,000 |
MBNA Credit Card Master Note Trust, Series 2002-1, Class B, 5.15% 2009 | 17,000 | 16,952 |
MBNA Master Credit Card Trust II, Series 1999-B, Class A, 5.90% 2011 | 3,000 | 3,033 |
MBNA Master Credit Card Trust II, Series 1999-B, Class B, 6.20% 2011 | 3,750 | 3,814 |
MBNA Credit Card Master Note Trust, Series 2005-6, Class A, 4.50% 2013 | 42,500 | 40,973 |
WFS Financial Owner Trust, Series 2003-1, Class A-4, 2.74% 2010 | 2,840 | 2,784 |
WFS Financial Owner Trust, Series 2002-3, Class A-4, 3.50% 2010 | 5,959 | 5,958 |
WFS Financial Owner Trust, Series 2004-1, Class C, 2.49% 2011 | 1,985 | 1,940 |
WFS Financial Owner Trust, Series 2004-1, Class A-4, 2.81% 2011 | 14,600 | 14,203 |
WFS Financial Owner Trust, Series 2005-1, Class A-4, 3.87% 2012 | 35,250 | 34,159 |
CWABS, Inc., Series 2004-15, Class AF-2, 3.775% 2024 | 808 | 806 |
CWABS, Inc., Series 2004-12, Class 2-AV-2, 5.603% 20332 | 9,718 | 9,729 |
CWABS, Inc., Series 2004-15, Class 2-AV-2, 5.593% 20342 | 14,819 | 14,841 |
CWABS, Inc., Series 2005-11, Class AF-2, 4.657% 2036 | 22,666 | 22,245 |
Vanderbilt Mortgage and Finance, Inc., Series 2002-B, Class A-3, 4.70% 2018 | 5,100 | 5,035 |
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class A-4, 6.57% 2024 | 7,660 | 7,724 |
Vanderbilt Mortgage and Finance, Inc., Series 1999-B, Class I-A-6, 6.925% 2024 | 10,250 | 10,468 |
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-4, 7.905% 2026 | 3,700 | 3,861 |
Vanderbilt Mortgage and Finance, Inc., Series 1997-C, Class II-A-1, 5.34% 20272 | 1,102 | 1,103 |
Vanderbilt Mortgage and Finance, Inc., Series 2000-D, Class A-4, 7.715% 2027 | 4,253 | 4,402 |
Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-5, 8.195% 2030 | 6,889 | 7,203 |
Vanderbilt Mortgage and Finance, Inc., Series 2001-C, Class M-1, 6.76% 2032 | 1,500 | 1,510 |
Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class M-1, 7.82% 2032 | 3,000 | 3,152 |
Vega ContainerVessel PLC, Series 2006-1, Class A, XLCA insured, 5.562% 20211 | 45,000 | 43,657 |
Residential Asset Securities Corp. Trust, Series 2001-KS3, Class A-I-6, 5.96% 2031 | 18,774 | 18,657 |
Residential Asset Securities Corp. Trust, Series 2004-KS12, Class A-1-2, 5.553% 20352 | 16,562 | 16,594 |
UPFC Auto Receivables Trust, Series 2005-A, Class A-3, AMBAC insured, 4.34% 2010 | 14,000 | 13,799 |
UPFC Auto Receivables Trust, Series 2005-B, Class A-3, XLCA insured, 4.98% 2011 | 20,000 | 19,828 |
Residential Funding Mortgage Securities II, Inc., Series 2005-HS1, Class A-1-2, | ||
FGIC insured, 4.66% 2020 | 12,500 | 12,020 |
Residential Funding Mortgage Securities II, Inc., Series 2005-HI1, Class A-4, | ||
FGIC insured, 4.70% 2034 | 19,594 | 19,193 |
Bear Stearns Asset-backed Securities I Trust, Series 2004-HE11, Class I-A-2, 5.623% 20332 | 3,877 | 3,883 |
Bear Stearns Asset-backed Securities I Trust, Series 2005-CL1, Class A-1, 5.823% 20342 | 24,306 | 24,359 |
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-2, Class A-6, | ||
AMBAC insured, 5.08% 20111 | 14,500 | 14,118 |
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-1, Class A-5, | ||
MBIA insured, 5.08% 20111 | 13,000 | 12,657 |
Spirit Master Funding LLC, Net-Lease Mortgage Notes, Series 2005-1, Class A-1, | ||
AMBAC insured, 5.05% 20231 | 28,822 | 26,702 |
Prestige Auto Receivables Trust, Series 2005-1A, Class A-2, FSA insured, 4.37% 20121 | 10,000 | 9,850 |
Prestige Auto Receivables Trust, Series 2006-1A, Class A-2, FSA insured, 5.25% 20131 | 15,000 | 14,902 |
Capital Auto Receivables Asset Trust, Series 2004-2, Class A-4, 3.75% 2009 | 21,750 | 21,077 |
Capital Auto Receivables Asset Trust, Series 2005-SN1, Class B-2, 5.949% 20092 | 2,485 | 2,510 |
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class B-1, 7.30% 2021 | 10,148 | 10,068 |
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-4, 6.57% 2027 | 8,290 | 8,448 |
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-5, 7.12% 2032 | 3,000 | 3,107 |
Green Tree Financial Corp., Series 1995-3, Class B-2, 8.10% 20256 | 3,991 | 1,117 |
Green Tree Financial Corp., Series 1996-10, Class A-6, 7.30% 2028 | 3,800 | 3,867 |
Green Tree Financial Corp., Series 1997-6, Class A-7, 7.14% 2029 | 8,309 | 8,452 |
Green Tree Recreational, Equipment & Consumer Trust, Series 1997-D, 7.25% 2029 | 4,818 | 4,332 |
Green Tree Financial Corp., Series 1997-6, Class B-2, 7.75% 20296 | 3,051 | — |
Green Tree Financial Corp., Series 1998-4, Class B-2, 8.11% 20306 | 8,028 | 1 |
Conseco Finance Home Equity Loan Trust, Series 2002-B, Class M-1, 6.949% 20332 | 3,476 | 3,504 |
Long Beach Acceptance Auto Receivables Trust, Series 2005-B, Class A-4, | ||
FSA insured, 4.522% 2012 | 17,000 | 16,552 |
Long Beach Acceptance Auto Receivables Trust, Series 2006-A, Class A-4, | ||
FSA insured, 5.50% 2013 | 4,000 | 3,976 |
Morgan Stanley ABS Capital I, Inc., Series 2004-NC3, Class M-1, 5.853% 20342 | 20,000 | 20,083 |
Triad Automobile Receivables Trust, Series 2005-A, Class A-4, | ||
AMBAC insured, 4.22% 2012 | 20,000 | 19,376 |
Cendant Timeshare Receivables Funding, LLC, Series 2005-1, Class A-1, | ||
FGIC insured, 4.67% 20171 | 19,594 | 19,125 |
Consumer Credit Reference Index Securities Program Trust, Series 2002-1A, | ||
Class A, 7.437% 20071,2 | 10,158 | 10,310 |
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, | ||
Class FX, 10.421% 20071 | 8,250 | 8,383 |
Providian Gateway Master Trust, Series 2004-DA, Class A, 3.35% 20111 | 15,000 | 14,613 |
Providian Gateway Master Trust, Series 2004-AA, Class C, 6.099% 20111,2 | 4,000 | 4,024 |
First Investors Auto Owner Trust, Series 2003-A, Class A, MBIA insured, 2.58% 20111 | 8,285 | 8,087 |
First Investors Auto Owner Trust, Series 2005-A, Class A-2, MBIA insured, 4.23% 20121 | 9,079 | 8,963 |
Providian Master Note Trust, Series 2005-A1A, Class A, 5.259% 20121,2 | 10,000 | 10,011 |
Providian Master Note Trust, Series 2005-B1A, Class B, 5.499% 20121,2 | 3,000 | 3,012 |
Providian Master Note Trust, Series 2006-B1, Class B-1, 5.35% 20131 | 4,000 | 3,981 |
Chase Issuance Trust, Series 2005-7, Class A, 4.55% 2013 | 17,500 | 16,844 |
AmeriCredit Automobile Receivables Trust, Series 2003-A-M, Class A-4-A, | ||
MBIA insured, 3.10% 2009 | 1,168 | 1,144 |
AmeriCredit Automobile Receivables Trust, Series 2002-C, Class A-4, | ||
FSA insured, 3.55% 2009 | 2,246 | 2,224 |
AmeriCredit Automobile Receivables Trust, Series 2003-C-F, Class A-4, | ||
FSA insured, 3.48% 2010 | 13,208 | 13,070 |
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A, interest only, | ||
FGIC insured, 4.00% 2027 | 81,236 | 879 |
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A-5, FGIC insured, 5.753% 2027 | 15,750 | 15,487 |
PECO Energy Transition Trust, Series 1999-A, Class A-7, 6.13% 2009 | 14,250 | 14,356 |
New Century Home Equity Loan Trust, Series 2001-NC2, Class M-1, 6.497% 20312 | 3,523 | 3,527 |
New Century Home Equity Loan Trust, Series 2004-A, Class A-II-5, FGIC insured, 5.25% 2034 | 11,000 | 10,801 |
CNL Funding, Series 2000-AA, Class A-2, MBIA insured, 8.044% 20171 | 13,800 | 14,225 |
Capital One Multi-asset Execution Trust, Series 2006-1, Class C, 5.489% 20142 | 7,500 | 7,501 |
Capital One Multi-asset Execution Trust, Series 2005-7, Class A, 4.70% 2015 | 4,750 | 4,542 |
MASTR Asset-backed Securities Trust, Series 2006-AB1, Class A-4, 5.719% 2036 | 11,500 | 11,135 |
PP&L Transition Bond Co. LLC, Series 1999-1, Class A-7, 7.05% 2009 | 9,483 | 9,571 |
Drivetime Auto Owner Trust, Series 2004-C, Class A-3, XLCA insured, 3.493% 20101 | 5,584 | 5,505 |
Drivetime Auto Owner Trust, Series 2006-A, Class A-3, XLCA insured, 5.565% 20111 | 4,000 | 3,999 |
Citibank Credit Card Issuance Trust, Class 2005-B1, 4.40% 2010 | 9,000 | 8,781 |
PG&E Energy Recovery Funding LLC, Series 2005-1, Class A-2, 3.87% 2011 | 8,825 | 8,604 |
Nordstrom Credit Card Master Note Trust, Series 2002-1, Class B, 5.899% 20101,2 | 8,000 | 8,038 |
Specialty Underwriting and Residential Finance Trust, Series 2004-BC4, | ||
Class A-2B, 5.633% 20352 | 7,450 | 7,472 |
Discover Card Master Trust I, Series 1996-4, Class B, 5.749% 20132 | 7,000 | 7,128 |
American Express Credit Account Master Trust, Series 2005-3, Class B, 5.339% 20112 | 7,000 | 7,008 |
Capital One Auto Finance Trust, Series 2004-B, Class A-3, MBIA insured, 2.96% 2009 | 6,928 | 6,885 |
First USA Credit Card Master Trust, Series 1997-4, Class C, 6.252% 20101,2 | 6,630 | 6,652 |
Home Equity Asset Trust, Series 2004-7, Class M-1, 5.943% 20352 | 6,500 | 6,568 |
ACLC Business Loan Receivables Trust, Series 2002-1, Class A-2, 7.462% 20221 | 6,262 | 6,340 |
PCR Auto Receivables Trust, Series 2004-1, Class A-2, XLCA insured, 3.995% 20101 | 6,357 | 6,331 |
GreenPoint Credit Manufactured Housing Contract Trust, Series 2000-7, Class A-1, | ||
MBIA insured, 5.542% 20222 | 5,832 | 5,857 |
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-3, 4.35% 2014 | 3,642 | 3,425 |
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A-4, 5.27% 2018 | 1,867 | 1,814 |
Origen Manufactured Housing Contract Trust, Series 2004-B, Class A-1, 2.87% 2013 | 915 | 910 |
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-1, 5.73% 2035 | 2,500 | 2,351 |
Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-2, 6.51% 2035 | 2,000 | 1,957 |
Chase Credit Card Owner Trust, Series 2003-6, Class B, 5.549% 20112 | 5,000 | 5,030 |
West Penn Funding LLC, Series 1999-A, Class A-4, 6.98% 2008 | 4,500 | 4,577 |
Advanta Business Card Master Trust, Series 2005-C1, Class C, 5.777% 20112 | 2,000 | 2,005 |
Advanta Business Card Master Trust, Series 2005-A2, Class A-2, 5.397% 20132 | 2,000 | 1,998 |
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB4, | ||
Class AF-4, 5.028% 20352 | 3,490 | 3,308 |
Countryplace Manufactured Housing Contract, Series 2005-1, Class A-2, | ||
AMBAC insured, 4.42% 20351 | 3,400 | 3,307 |
IndyMac Home Equity Mortgage Loan Asset-backed Trust, Series SPMD 2001-A, | ||
Class AF-6, 6.537% 2030 | 2,349 | 2,287 |
SLM Student Loan Trust, Series 2003-10, Class A-4, 5.15% 20391 | £1,160 | 2,135 |
MMCA Auto Owner Trust, Series 2002-4, Class B, 3.82% 2009 | $ 650 | 646 |
MMCA Auto Owner Trust, Series 2002-2, Class A-4, 4.30% 2010 | 1,415 | 1,415 |
Advanta Mortgage Loan Trust, Series 1999-2, Class A-6, AMBAC insured, 6.82% 2029 | 1,617 | 1,613 |
Park Place Securities, Inc., Series 2005-WHQ3, Class A-2-A, 5.403% 20352 | 1,176 | 1,176 |
Capital One Master Trust, Series 2002-1A, Class B, 5.799% 20112 | 1,000 | 1,012 |
New South Motor Vehicle Trust, Series 2002-A, Class A-3, AMBAC insured, 3.03% 2010 | 885 | 873 |
Harley-Davidson Motorcycle Trust, Series 2002-2, Class B, 2.84% 2010 | 808 | 788 |
Financial Pacific Funding II, LLC, Series 2003-A, Class A, FSA insured, 2.29% 20091 | 710 | 703 |
NPF XII, Inc., Series 1999-3, Class B, 2.389% 20031,2,6 | 3,000 | |
NPF XII, Inc., Series 2001-1A, Class A, 1.989% 20041,2,6 | 7,000 | 192 |
NPF XII, Inc., Series 2001-3, Class A, 5.52% 20071,6 | 16,000 | 440 |
Option One Mortgage Loan Trust, Series 2002-1, Class M-1, 6.448% 20322 | 581 | 581 |
California Infrastructure and Economic Development Bank, Special Purpose Trust, PG&E-1, | ||
Series 1997-1, Class A-7, 6.42% 2008 | 560 | 562 |
California Infrastructure and Economic Development Bank, Special Purpose Trust, SCE-1, | ||
Series 1997-1, Class A-6, 6.38% 2008 | 332 | 333 |
SeaWest Securitization, LLC, Series 2002-A, Class A-3, XLCA insured, 3.58% 20081 | 166 | 165 |
SeaWest Securitization, LLC, Series 2003-A, Class A-2, XLCA insured, 2.84% 20091 | 86 | 85 |
Continental Auto Receivables Owner Trust, Series 2000-B, Class CTFS, MBIA insured, 7.11% 20071 | 242 | 242 |
Ameriquest Mortgage Securities Inc., Series 2004-R4, Class A-4, 5.803% 20342 | 27 | 27 |
1,330,768 | ||
MUNICIPALS — 0.80% | ||
State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement | ||
Asset- backed Bonds, Series 2003-A-1, 6.25% 2033 | $ 64,975 | $ 70,285 |
State of Wisconsin, Badger Tobacco Asset Securitization Corp., Tobacco Settlement | ||
Asset- backed Bonds, 6.125% 2027 | 36,935 | 39,185 |
State of South Dakota, Educational Enhancement Funding Corp., Tobacco Settlement | ||
Asset- backed Bonds, Series 2002-A, Class A, 6.72% 2025 | 27,291 | 26,608 |
State of Louisiana, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, | ||
Series 2001-A, Class A, 6.36% 2025 | 18,067 | 17,956 |
State of Louisiana, Tobacco Settlement Authority, Asset-backed Bonds, | ||
Series 2001-B, 5.50% 2030 | 10,000 | 10,264 |
State of California, Los Angeles County Metropolitan Transportation Authority, General Revenue | ||
Refunding Bonds (Workers’ Compensation Funding Program), Series 2003, AMBAC insured, 3.83% 2008 | 5,000 | 4,840 |
State of California, Los Angeles County Metropolitan Transportation Authority, General Revenue | ||
Refunding Bonds (Workers’ Compensation Funding Program), Series 2003, | ||
AMBAC insured, 4.56% 2010 | 5,000 | 4,812 |
California Maritime Infrastructure Authority, Taxable Lease Revenue Bonds (San Diego Unified | ||
Port Dist.-South Bay Plant Acquisition), Series 1999, 6.63% 20091 | 8,861 | 8,922 |
State of Washington, Tobacco Settlement Authority, Asset-backed Bonds, | ||
Series 2002, 6.50% 2026 | 6,625 | 7,206 |
State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds | ||
(Economic Development and Housing), Series B, 2.88% 2007 | 2,000 | 1,963 |
State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds | ||
(Economic Development and Housing), Series B, 3.09% 2007 | 2,200 | 2,138 |
194,179 | ||
Total bonds & notes (cost: $22,472,953,000) | 22,187,879 | |
Shares or | ||
Convertible securities — 0.39% | principal amount | |
INFORMATION TECHNOLOGY — 0.11% | ||
Conexant Systems, Inc. 4.00% convertible notes 2007 | $14,700,000 | 14,535 |
SCI Systems, Inc. 3.00% convertible debentures 2007 | $12,000,000 | 11,670 |
26,205 | ||
TELECOMMUNICATION SERVICES — 0.09% | ||
American Tower Corp. 5.00% convertible debentures 2010 | $21,000,000 | 20,974 |
UTILITIES — 0.07% | ||
AES Trust VII 6.00% convertible preferred 2008 | 351,450 | 16,957 |
CONSUMER DISCRETIONARY — 0.06% | ||
Amazon.com, Inc. 6.875% PEACS convertible notes 2010 | € 9,005,000 | 11,706 |
Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032 | 128,100 | 3,561 |
15,267 | ||
FINANCIALS — 0.01% | ||
Equity Office Properties Trust, Series B, 5.25% convertible preferred 2008 | 70,400 | 3,788 |
MISCELLANEOUS — 0.05% | ||
Other convertible securities in initial period of acquisition | 12,205 | |
Total convertible securities (cost: $83,436,000) | 95,396 | |
unaudited | ||
Market value | ||
Preferred securities — 3.82% | Shares | (000) |
FINANCIALS — 3.82% | ||
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred1,2 | 121,238,000 | $129,873 |
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred1,2 | 57,500,000 | 60,450 |
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up perpetual preferred1,2 | 85,750,000 | 96,175 |
HSBC Capital Funding LP, Series 2, 10.176% noncumulative step-up perpetual preferred1,2 | 25,000,000 | 34,260 |
HSBC Capital Funding LP 8.03% noncumulative preferred2 | 20,000,000 | 30,077 |
HSBC Holdings PLC 4.61%1,2 | 6,330,000 | 5,703 |
BNP Paribas 5.186% noncumulative1,2 | 53,610,000 | 48,690 |
BNP U.S. Funding LLC, Series A, 7.738% noncumulative preferred1,2 | 21,750,000 | 22,287 |
BNP Paribas Capital Trust 9.003% noncumulative trust preferred1,2 | 15,000,000 | 16,710 |
Shinsei Finance II (Cayman) Ltd. 7.16% noncumulative preferred1,2 | 67,475,000 | 64,420 |
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities1 | 1,670,000 | 47,125 |
Swire Pacific Offshore Financing Ltd. 9.33% cumulative guaranteed perpetual preferred capital securities1 | 230,000 | 5,793 |
Fannie Mae, Series O, 7.065% preferred1,2 | 900,000 | 48,544 |
Wachovia Capital Trust III 5.80% | 45,000,000 | 43,712 |
RBS Capital Trust I 4.709% noncumulative trust preferred2 | 33,585,000 | 30,401 |
Royal Bank of Scotland Group PLC 6.625%2 | 4,700,000 | 6,452 |
ING Capital Funding Trust III 8.439% noncumulative preferred2 | 32,020,000 | 35,070 |
National Bank of Canada, Series A, 8.35% exchangeable preferred depositary shares | 1,200,000 | 31,524 |
Tokai Preferred Capital Co. LLC, Series A, 9.98% noncumulative preferred1,2 | 12,000,000 | 12,878 |
MUFG Capital Finance 1 Ltd. 6.346% noncumulative preferred2 | 9,375,000 | 9,032 |
MUFG Capital Finance 2 Ltd. 4.85% noncumulative preferred2 | 4,650,000 | 5,663 |
Chuo Mitsui Trust and Banking Co., Ltd. 5.506%1,2 | 24,970,000 | 22,809 |
SB Treasury Co. LLC, Series A, 9.40% noncumulative preferred1,2 | 17,638,000 | 18,744 |
Société Générale 7.85%1,2 | 17,705,000 | 18,003 |
Weingarten Realty Investors, Series D, 6.75% preferred 2008 | 400,000 | 10,000 |
Weingarten Realty Investors, Series E, 6.95% cumulative redeemable preferred depositary shares | 250,000 | 6,200 |
Standard Chartered Capital Trust I 8.16%2 | 10,000,000 | 14,388 |
DBS Capital Funding Corp., Series A, 7.657% noncumulative guaranteed preference shares1,2 | 11,250,000 | 11,996 |
HVB Funding Trust VIII 7.055%2 | 7,400,000 | 10,534 |
Deutsche Bank Capital Funding Trust VII 5.628% noncumulative trust preferred1,2 | 10,000,000 | 9,278 |
HBOS Capital Funding LP, Series A, 6.461% noncumulative preferred2 | 3,000,000 | 5,833 |
ACE Ltd., Series C, 7.80% preferred depositary shares | 217,355 | 5,619 |
New Plan Excel Realty Trust, Inc., Series D, 7.80% preferred cumulative step-up premium rate | 112,500 | 5,576 |
Nationwide Health Properties, Inc., Series A, 7.677% preferred cumulative step-up premium rate | 50,000 | 5,055 |
Westpac Capital Trust IV 5.256%1,2 | 4,500,000 | 4,046 |
932,920 | ||
CONSUMER STAPLES — 0.00% | ||
Great Atlantic & Pacific Tea Co., Inc. 9.375% QUIBS preferred 2039 | 18,500 | 463 |
INFORMATION TECHNOLOGY — 0.00% | ||
ZiLOG, Inc. - MOD III Inc., units4,10,11 | 1,447 | 215 |
CONSUMER DISCRETIONARY — 0.00% | ||
Adelphia Communications Corp., Series B, 13.00% preferred 200910 | 50,565 | 25 |
TELECOMMUNICATION SERVICES — 0.00% | ||
XO Holdings, Inc. 14.00% preferred 20094,7,10 | 24 | 0 |
Total preferred securities (cost: $884,423,000) | 933,623 | |
unaudited | ||
Market value | ||
Common stocks — 0.38% | Shares | (000) |
UTILITIES — 0.28% | ||
Drax Group PLC10 | 4,430,290 | $67,262 |
FINANCIALS — 0.04% | ||
Beverly Hills Bancorp Inc. | 883,800 | 8,502 |
TELECOMMUNICATION SERVICES — 0.03% | ||
Dobson Communications Corp., Class A1,10 | 1,051,359 | 8,127 |
XO Holdings, Inc.10 | 7,614 | 34 |
8,161 | ||
INDUSTRIALS — 0.02% | ||
DigitalGlobe Inc.1,4,10 | 3,984,039 | 3,984 |
Delta Air Lines, Inc.1,10 | 312,961 | 235 |
4,219 | ||
INFORMATION TECHNOLOGY — 0.01% | ||
ZiLOG, Inc.10,11 | 879,000 | 2,971 |
HEALTH CARE — 0.00% | ||
Clarent Hospital Corp.4,10,11 | 331,291 | 83 |
MISCELLANEOUS — 0.00% | ||
Other common stocks in initial period of acquisition | 282 | |
Total common stocks (cost: $55,863,000) | 91,480 | |
Warrants — 0.00% | ||
TELECOMMUNICATION SERVICES — 0.00% | ||
XO Holdings, Inc., Series A, warrants, expire 201010 | 15,233 | 13 |
XO Holdings, Inc., Series B, warrants, expire 201010 | 11,424 | 5 |
XO Holdings, Inc., Series C, warrants, expire 201010 | 11,424 | 4 |
GT Group Telecom Inc., warrants, expire 20101,4,10 | 2,750 | 0 |
Total warrants (cost: $143,000) | 22 | |
unaudited | ||
Principal amount | Market value | |
Short-term securities — 5.62% | (000) | (000) |
CAFCO, LLC 5.02%-5.07% due 7/12-7/25/20061 | $166,800 | $ 166,331 |
Bank of America Corp. 5.025% due 7/10/2006 | 50,000 | 49,930 |
Bank of America Corp. 5.165% due 8/18/20069 | 50,000 | 49,657 |
Ranger Funding Co. LLC 5.06% due 7/17/20061,9 | 50,000 | 49,617 |
Ranger Funding Co. LLC 5.30% due 8/21/20061 | 15,500 | 15,463 |
Federal Home Loan Bank 5.02%-5.07% due 8/11-8/30/20069 | 133,100 | 132,208 |
Federal Home Loan Bank 4.97% due 7/26/06 | 20,600 | 20,526 |
Variable Funding Capital Corp. 5.01%-5.12% due 7/13-7/27/20061 | 122,200 | 121,923 |
Variable Funding Capital Corp. 5.30% due 8/25/20061,9 | 7,170 | 7,111 |
Clipper Receivables Co., LLC 4.96%-5.15% due 7/14-7/20/20061 | 121,000 | 120,701 |
International Lease Finance Corp. 5.00%-5.06% due 7/7-7/19/2006 | 100,000 | 99,817 |
Park Avenue Receivables Co., LLC 5.04%-5.05% due 7/6-7/12/20061 | 71,255 | 71,178 |
Park Avenue Receivables Co., LLC 5.21% due 8/24/20061,9 | 25,270 | 25,073 |
Wal-Mart Stores Inc. 5.24% due 8/22/20061,9 | 50,000 | 49,614 |
Wal-Mart Stores Inc. 4.96%-5.05% due 7/11-7/18/20061 | 43,810 | 43,725 |
Wells Fargo Bank, N.A. 5.02% due 7/5/2006 | 50,000 | 50,000 |
Hershey Co. 4.99%-5.00% due 7/11-7/24/20061 | 50,000 | 49,888 |
BellSouth Corp. 5.25% due 8/3/20061,9 | 45,000 | 44,777 |
HSBC Finance Corp. 5.02% due 7/26/2006 | 43,300 | 43,151 |
Anheuser-Busch Companies, Inc. 5.16% due 8/16/20061,9 | 39,200 | 38,943 |
UnionBanCal Commercial Funding Corp. 5.34% due 8/28/20069 | 31,250 | 31,247 |
Gannett Co. 5.00% due 7/7/20061 | 28,200 | 28,173 |
General Dynamics Corp. 5.13% due 8/10/20061,9 | 25,000 | 24,854 |
Triple-A One Funding Corp. 5.13% due 7/10/20061 | 13,163 | 13,144 |
Concentrate Manufacturing Co. of Ireland 4.96% due 7/5/20061 | 11,000 | 10,992 |
Three Pillars Funding, LLC 5.28% due 7/3/20061 | 8,300 | 8,296 |
Coca-Cola Co. 4.93% due 7/6/2006 | 4,800 | 4,796 |
Freddie Mac 4.956% due 7/27/2006 | 1,470 | 1,464 |
Total short-term securities (cost: $1,372,577,000) | 1,372,599 | |
Total investment securities (cost: $24,869,395,000) | $24,680,999 | |
Other assets less liabilities | (258,791) | |
Net assets | $24,422,208 |
“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.
1 Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public may require
registration. The total value of all such restricted securities was $5,486,438,000, which represented 22.46% of the net assets of the fund.
2 Coupon rate may change periodically.
3 Pass-through securities backed by a pool of mortgages or other loans on which principal payments are periodically made.
Therefore, the effective maturities are shorter than the stated maturities.
4 Valued under fair value procedures adopted by authority of the board of directors.
5 Step bond; coupon rate will increase at a later date.
6 Scheduled interest and/or principal payment was not received.
7 Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
8 Index-linked bond whose principal amount moves with a government retail price index.
9 This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.
10Security did not produce income during the last 12 months.
11Represents an affiliated company as defined under the Investment Company Act of 1940.
MFGEFP-908-0806-S6920
ITEM 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 8 - Portfolio Managers of Closed-End Management Investment Companies
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 9 - Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 10 - Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors since the Registrant last submitted a proxy statement to its shareholders. The procedures are as follows. The Registrant has a Nominating and Governance Committee comprised solely of persons who are not considered ‘‘interested persons’’ of the Registrant within the meaning of the Investment Company Act of 1940, as amended. The committee periodically reviews such issues as the Board’s composition, responsibilities, committees, compensation and other relevant issues, and recommends any appropriate changes to the full Board of Directors. While the committee normally is able to identify from its own resources an ample number of qualified candidates, it will consider shareholder suggestions of persons to be considered as nominees to fill future vacancies on the Board. Such suggestions must be sent in writing to the Nominating and Governance Committee of the Registrant, c/o the Registrant’s Secretary, and must be accompanied by complete biographical and occupational data on the prospective nominee, along with a written consent of the prospective nominee for consideration of his or her name by the Nominating and Governance Committee.
ITEM 11 - Controls and Procedures
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as such term is defined in Rule 30a-3 under the Investment Company Act of 1940), that such controls and procedures are adequate and reasonably designed to achieve the purposes described in paragraph (c) of such rule. |
(b) | There were no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
ITEM 12 - Exhibits
(a)(1) | Not applicable for filing of semi-annual reports to shareholders. |
(a)(2) | The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, and Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
THE BOND FUND OF AMERICA, INC. | |
By /s/ Abner D. Goldstine | |
Abner D. Goldstine, President and PEO | |
Date: September 7, 2006 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By /s/ Abner D. Goldstine |
Abner D. Goldstine, President and PEO |
Date: September 7, 2006 |
By /s/ Susi M. Silverman |
Susi M. Silverman, Treasurer and PFO |
Date: September 7, 2006 |