UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT COMPANY
Investment Company Act file number: | 811-4681 |
Name of Registrant: | Vanguard Bond Index Funds |
Address of Registrant: | P.O. Box 2600 Valley Forge, PA 19482 |
Name and address of agent for service: | R. Gregory Barton, Esquire P.O. Box 876 Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: | December 31 |
Date of reporting period: | January 1, 2004 - December 31, 2004 |
Item 1: | Reports to Shareholders |
Vanguard® Bond Index Funds | |
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December 31, 2004 |
CONTENTS | |
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1 | LETTER FROM THE CHAIRMAN |
6 | FUND PROFILES |
10 | GLOSSARY OF INVESTMENT TERMS |
11 | PERFORMANCE SUMMARIES |
15 | ABOUT YOUR FUND'S EXPENSES |
17 | FINANCIAL STATEMENTS |
SUMMARY | |
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• | The Vanguard Bond Index Funds tracked their indexes closely in 2004. |
• | Short-term rates rose, penalizing the 12-month performance of the Short-Term Fund; long-term rates declined, enhancing the Long-Term Fund's result. |
• | Three of the Bond Index Funds outperformed their peer-group averages. The Short-Term Fund matched the average. |
VANGUARD’S PLEDGE TO CLIENTS | |
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We recognize that your relationship with Vanguard rests on the twin pillars of trust and excellence, each of which is built upon the character of our people. Our Pledge to Clients reflects our ongoing efforts to deserve your trust and to continually improve so that we can offer you excellence in all that we do. We will: | |
• | Put your interests first at all times. |
• | Continually seek to earn your trust by adhering to the highest standards of ethical behavior and fiduciary responsibility. |
• | Strive to be the highest-value provider of investment services, which means outstanding investment performance and service, both at the lowest possible cost. |
• | Communicate candidly not only about the rewards of investing but also about the risks and costs. |
• | Maintain highly effective controls to safeguard your assets and protect your confidential information. |
• | Invest a majority of our personal assets alongside yours. |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the cover of this report. Of course, the risks of investing in your fund are spelled out in the prospectus. | |
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LETTER FROM THE CHAIRMAN
Dear Shareholder,
During 2004, the results of the Vanguard Bond Index Funds reflected the very different interest rate environments among short- and long-term securities. The Short-Term Bond Index Fund produced the lowest total returns, and the Long-Term Bond Index Fund the highest. The Total Bond Market and Intermediate-Term Bond Index Funds produced returns in-between those of the other two funds. All four portfolios closely tracked the returns of their target indexes.
The table on page 2 presents the total returns—capital change plus reinvested distributions—of the Vanguard Bond Index Funds and their comparative standards. On page 4, we display the funds’ yields at the beginning and end of the period. Detailed figures for each fund, including net asset values and distributions, are presented in the table on page 5.
YIELDS ROSE FOR SHORT-TERM BONDS, FELL FOR LONG-TERM ISSUES
At the beginning of 2004, bond investors expected the year to bring higher interest rates across the maturity spectrum. Their expectations were based on increasingly strong economic reports, rising corporate profits, and a belief that the Federal Reserve Board would soon raise the target for short-term interest rates to keep inflation at bay. The actual result, however, was quite different at the short and long ends of the maturity range.
Yields of longer-maturity bonds closed the year slightly below their starting points. A series of disappointments in the labor market, record prices for crude oil, and continuing geopolitical turmoil kept bond market volatility high. At year-end, the 10-year U.S. Treasury note
1
2004 Total Returns | Fiscal Year Ended December 31 | ||
---|---|---|---|
Vanguard Total Bond Market Index Fund | |||
Investor Shares | 4.2 | % | |
Admiral Shares | 4.3 | ||
Institutional Shares | 4.4 | ||
Lehman Aggregate Bond Index | 4.3 | ||
Average Intermediate | |||
Investment Grade Debt Fund* | 3.9 | ||
Vanguard Short-Term Bond Index Fund | |||
Investor Shares | 1.7 | % | |
Admiral Shares | 1.8 | ||
Lehman 1-5 Year | |||
Government/Credit Index | 1.8 | ||
Average 1-5 Year | |||
Investment Grade Debt Fund* | 1.7 | ||
Vanguard Intermediate-Term Bond Index Fund | |||
Investor Shares | 5.2 | % | |
Admiral Shares | 5.3 | ||
Lehman 5-10 Year | |||
Government/Credit Index | 5.3 | ||
Average Intermediate | |||
Investment Grade Debt Fund* | 3.9 | ||
Vanguard Long-Term Bond Index Fund | 8.4 | % | |
Lehman Long Government/Credit Index | 8.6 | ||
Average Corporate A-Rated Debt Fund* | 4.1 | ||
*Derived from data provided by Lipper Inc. |
yielded 4.22%, 3 basis points (0.03 percentage point) below its 4.25% yield at the start of the period. Overall, the taxable investment-grade bond market, as measured by the Lehman Brothers Aggregate Bond Index, returned 4.3%. Across the maturity spectrum, corporate bonds, particularly those from below-investment-grade issuers, generally did better than government securities. The Lehman High Yield Index returned 11.1%.
Yields of shorter-maturity securities, which are generally more closely tied to the Fed’s interest rate moves, rose significantly. As anticipated, the Fed began to tighten monetary policy to avert any significant surge in inflation. Beginning in June, the Fed raised its target for the federal funds rate from 1.00%, a historical low, to 2.25% through five separate quarter-point increases. The yield of the 3-month Treasury bill, a proxy for money market yields, more than doubled during the 12 months, from 0.92% to 2.21%.
STOCK MARKET ENJOYED SOLID GAINS
The U.S. stock market rallied following the presidential election in November to post a second consecutive year of solid returns. The gains in the final two months of 2004 capped a year that began with solid advances in stock indexes but was marked in the middle months by investors’ uncertainty about the sustainability of economic growth. The broad stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, ended the 12 months with a return of 12.6%.
Gains came in many sectors of the market. The strongest performers were energy-related stocks, which were buoyed by higher prices and increased demand for oil. Generally, small-capitalization stocks outpaced large-caps,
2
Admiral™ Shares
A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
Institutional Shares
This class of shares carries even lower expenses and is available for a minimum investment of $10 million.
and value stocks—those with prices considered low relative to company earnings, book value, and other measures—outpaced their growth counterparts.
International stocks, particularly those in emerging markets, posted outstanding returns compared with U.S. stocks. The strong gains abroad were enhanced for investors in the United States by the weakening of the U.S. dollar against most other major currencies. (A weaker dollar means that returns in other currencies translate into more dollars for U.S.-based investors.)
A TALE OF TWO BOND MARKETS
During 2004, the total returns of the Vanguard Bond Index Funds reflected a reduction in the previously large gap between short- and long-term interest rates. Short rates rose sharply as the Fed boosted its target rate. At the start of the year, the Short-Term Bond Index Fund offered a yield of 2.40%. By year-end, it yielded 3.24%. “Rising rates” is another way of saying “declining bond prices,” and the fund experienced a small price decline. For the 12 months, the Short-Term Bond Index Fund’s Investor Shares returned 1.7%.
Market Barometer | Average Annual Total Returns Periods Ended December 31, 2004 | ||||||
---|---|---|---|---|---|---|---|
One Year | Three Years | Five Years | |||||
Bonds | |||||||
Lehman Aggregate Bond Index | 4.3 | % | 6.2 | % | 7.7 | % | |
(Broad taxable market) | |||||||
Lehman Municipal Bond Index | 4.5 | 6.4 | 7.2 | ||||
Citigroup 3-Month Treasury Bill Index | | 1.2 | | 1.3 | | 2.8 | |
Stocks | |||||||
Russell 1000 Index (Large-caps) | 11.4 | % | 4.3 | % | -1.8 | % | |
Russell 2000 Index (Small-caps) | 18.3 | 11.5 | 6.6 | ||||
Dow Jones Wilshire 5000 Index | 12.6 | 5.5 | -1.4 | ||||
(Entire market) | |||||||
MSCI All Country World Index | |||||||
ex USA (International) | | 21.4 | | 13.6 | | 0.0 | |
CPI | |||||||
Consumer Price Index | 3.3 | % | 2.5 | % | 2.5 | % | |
The opposite dynamics were at play among longer-maturity bonds. The Long-Term Bond Index Fund started the year with a yield of 5.41%. By year-end, the yield had fallen to 5.13%. The fund produced a modest capital gain, returning 8.4% for the 12 months. Among intermediate-term bonds—the focus of the Intermediate-Term Bond Index Fund and the dominant influence on the Total Bond Market Index Fund—rates finished roughly where they started. The Total Bond Market Index Fund
3
Yields and Returns | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Yields at Year-End | Components of Total Returns Year Ended December 31, 2004 | ||||||||||||
Index Fund (Investor Shares) | 2003 | 2004 | Capital | Income | Total | ||||||||
Total Bond Market | 4.04 | % | 4.12 | % | -0.2 | % | 4.4 | % | 4.2 | % | |||
Short-Term Bond | 2.40 | 3.24 | -1.3 | 3.0 | 1.7 | ||||||||
Intermediate-Term Bond | 4.39 | 4.36 | 0.4 | 4.8 | 5.2 | ||||||||
Long-Term Bond | 5.41 | 5.13 | 2.8 | 5.6 | 8.4 | ||||||||
returned 4.2%, and the Intermediate-Term Fund returned 5.2%, consisting mostly of interest income.
The four portfolios enjoyed great success in capturing the returns of their benchmarks—theoretical constructs that incur no costs. The funds’ results were within 0.2 percentage point of their benchmark returns, a tribute to the trading and portfolio-construction talents of Vanguard Fixed Income Group, the funds’ advisor. Three of the funds outpaced the average results of competing funds, while the Short-Term Bond Index Fund matched its peer-group average.
AN EXCELLENT RECORD AGAINST INDEXES AND PEERS
A longer-term perspective offers a similarly impressive view. During the past decade, the Bond Index Funds produced returns in line with those of their benchmarks, despite unusual but notable shortfalls relative to their indexes in 2002. (The Long-Term Fund avoided serious missteps at that time.) Each of the funds produced a higher annualized return than its peer-group average during the past ten years. A hypothetical investment of $10,000 in the Total Bond Market Index Fund, for example, would have increased to $20,458. The same investment compounded at the peer group’s average return would be worth just $18,881.
Total Returns | Ten Years Ended December 31, 2004 | ||||||
---|---|---|---|---|---|---|---|
Index Fund (Investor Shares) | Vanguard Fund | Average Comparable Fund | Target Index | ||||
Total Bond Market | 7.4 | % | 6.6 | % | 7.7 | % | |
Short-Term Bond | 6.3 | 5.4 | 6.5 | ||||
Intermediate-Term Bond | 8.2 | 6.6 | 8.5 | ||||
Long-Term Bond | 9.7 | 6.7 | 9.7 | ||||
These strong results reflect the Bond Index Funds’ combination of skilled management, broad diversification, and low operating costs.
4
(For more information about your fund’s costs, see page 15.) Low costs are important in any asset class. In the relatively low-returning fixed income markets, they’re critical.
TUNE OUT THE NOISE
As 2004 began, many market observers were expecting a sharp rise in interest rates and advising fixed income investors to respond defensively. The pundits were half right—short rates rose—but their advice to reduce a portfolio’s interest rate sensitivity turned out to be counterproductive. The best strategy now, just as it would have been then, is to ignore the pundits’ incessant chatter and the financial markets’ daily ups and downs. Instead, establish a balanced portfolio of diversified stock and bond funds in proportions suited to your unique circumstances. Such an approach puts you in the best position to achieve your financial goals.
Thank you for investing your assets with Vanguard.
Sincerely,
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JANUARY 20, 2005
Your Fund's Performance at a Glance | December 31, 2003-December 31, 2004 | ||||
---|---|---|---|---|---|
Distributions Per Share | |||||
Index Fund | Starting Share Price | Ending Share Price | Income Dividends | Capital Gains | SEC Yield |
Total Bond Market | |||||
Investor Shares | $10.31 | $10.27 | $0.446 | $0.021 | 4.12% |
Admiral Shares | 10.31 | 10.27 | 0.455 | 0.021 | 4.21 |
Institutional Shares | 10.31 | 10.27 | 0.458 | 0.021 | 4.22 |
Short-Term Bond | |||||
Investor Shares | $10.28 | $10.14 | $0.303 | $0.009 | 3.24% |
Admiral Shares | 10.28 | 10.14 | 0.310 | 0.009 | 3.30 |
Intermediate-Term Bond | |||||
Investor Shares | $10.69 | $10.68 | $0.506 | $0.048 | 4.36% |
Admiral Shares | 10.69 | 10.68 | 0.514 | 0.048 | 4.42 |
Long-Term Bond | $11.50 | $11.82 | $0.617 | $0.000 | 5.13% |
5
As of 12/31/2004 | FUND PROFILES These Profiles provide snapshots of each fund's characteristics, compared where indicated with the fund's target index and a broad market index. Key terms are defined on page 10. |
TOTAL BOND MARKET INDEX FUND | ||
---|---|---|
Financial Attributes | Fund | Target Index* |
Number of Issues | 2,174 | 5,836 |
Yield | — | |
Investor Shares | 4.1% | |
Admiral Shares | 4.2% | |
Institutional Shares | 4.2% | |
Yield to Maturity | 4.4%** | 4.4% |
Average Coupon | 5.7% | 5.4% |
Average Effective Maturity | 7.2 years | 7.1 years |
Average Quality† | Aa1 | Aa1 |
Average Duration | 4.3 years | 4.3 years |
Expense Ratio | — | |
Investor Shares | 0.20% | |
Admiral Shares | 0.11% | |
Institutional Shares | 0.08% | |
Short-Term Reserves | 0% | — |
Volatility Measures | Fund | Target Index* |
---|---|---|
R-Squared | 0.98 | 1.00 |
Beta | 0.97 | 1.00 |
Sector Diversification††(% of portfolio) | |
---|---|
Asset-Backed/Commercial Mortgage-Backed | 5% |
Finance | 8 |
Foreign | 4 |
Government Mortgage-Backed | 35 |
Industrial | 11 |
Treasury/Agency | 35 |
Utilities | 2 |
Total | 100% |
Distribution by Credit Quality†(% of portfolio) | |
---|---|
Aaa | 77% |
Aa | 3 |
A | 10 |
Baa | 10 |
Total | 100% |
Distribution by Maturity (% of portfolio) | |
Under 1 Year | 2% |
1-5 Years | 42 |
5-10 Years | 42 |
10-20 Years | 8 |
20-30 Years | 6 |
Total | 100% |
Investment Focus
* | Lehman Aggregate Bond Index. |
** | Before expenses. |
† | Moody's Investors Service. |
†† | The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government. |
6
SHORT-TERM BOND INDEX FUND | |||
---|---|---|---|
Financial Attributes | Fund | Target Index* | Broad Index** |
Number of Issues | 646 | 1,622 | 5,836 |
Yield | — | — | |
Investor Shares | 3.2% | ||
Admiral Shares | 3.3% | ||
Yield to Maturity | 3.4%† | 3.4% | 4.4% |
Average Coupon | 4.9% | 4.2% | 5.4% |
Average Effective Maturity | 2.7 years | 2.7 years | 7.1 years |
Average Quality†† | Aa1 | Aa1 | Aa1 |
Average Duration | 2.5 years | 2.5 years | 4.3 years |
Expense Ratio | — | — | |
Investor Shares | 0.18% | ||
Admiral Shares | 0.10% | ||
Short-Term Reserves | 0% | — | — |
Volatility Measures | ||||
---|---|---|---|---|
Fund | Target Index* | Fund | Broad Index** | |
R-Squared | 0.95 | 1.00 | 0.92 | 1.00 |
Beta | 0.93 | 1.00 | 0.57 | 1.00 |
Sector Diversification‡(% of portfolio) | |||
---|---|---|---|
Asset-Backed/Commercial Mortgage-Backed | 0 | % | |
Finance | 12 | ||
Foreign | 8 | ||
Government Mortgage-Backed | 0 | ||
Industrial | 12 | ||
Treasury/Agency | 66 | ||
Utilities | 2 | ||
Total | 100 | % | |
Distribution by Credit Quality†† (% of portfolio) | |||
Aaa | 72 | % | |
Aa | 5 | ||
A | 13 | ||
Baa | 10 | ||
Total | 100 | % | |
Distribution by Maturity (% of portfolio) | |||
Under 1 Year | 2 | % | |
1-3 Years | 59 | ||
3-5 Years | 35 | ||
Over 5 Years | 4 | ||
Total | 100 | % | |
Investment Focus
* | Lehman 1-5 Year Government/Credit Index. | |
** | Lehman Aggregate Bond Index. | |
† | Before expenses. | |
†† | Moody's Investors Service. | |
‡ | The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government. | Visit our website at Vanguard.com for regularly updated fund information. |
7
FUND PROFILES (CONTINUED)
INTERMEDIATE-TERM BOND INDEX FUND | |||
---|---|---|---|
Financial Attributes | Fund | Target Index* | Broad Index** |
Number of Issues | 715 | 1,082 | 5,836 |
Yield | — | — | |
Investor Shares | 4.4% | ||
Admiral Shares | 4.4% | ||
Yield to Maturity | 4.6%† | 4.7% | 4.4% |
Average Coupon | 6.4% | 5.9% | 5.4% |
Average Effective Maturity | 7.5 years | 7.5 years | 7.1 years |
Average Quality†† | Aa3 | Aa3 | Aa1 |
Average Duration | 5.9 years | 5.9 years | 4.3 years |
Expense Ratio | — | — | |
Investor Shares | 0.18% | ||
Admiral Shares | 0.11% | ||
Short-Term Reserves | 0% | — | — |
Volatility Measures | ||||
---|---|---|---|---|
Fund | Target Index* | Fund | Broad Index** | |
R-Squared | 0.99 | 1.00 | 0.96 | 1.00 |
Beta | 0.99 | 1.00 | 1.46 | 1.00 |
Sector Diversification‡(% of portfolio) | |
---|---|
Asset-Backed/Commercial Mortgage-Backed | 0% |
Finance | 19 |
Foreign | 5 |
Government Mortgage-Backed | 0 |
Industrial | 27 |
Treasury/Agency | 45 |
Utilities | 4 |
Total | 100% |
Distribution by Credit Quality†† (% of portfolio) | |
Aaa | 48% |
Aa | 4 |
A | 23 |
Baa | 25 |
Total | 100% |
Distribution by Maturity (% of portfolio) | |
1-5 Years | 2% |
5-10 Years | 89 |
10-20 Years | 9 |
Total | 100% |
Investment Focus
* | Lehman 5-10 Year Government/Credit Index. |
** | Lehman Aggregate Bond Index. |
† | Before expenses. |
†† | Moody's Investors Service. |
‡ | The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government. |
8
LONG-TERM BOND INDEX FUND
Financial Attributes | Fund | Target Index* | Broad Index** |
---|---|---|---|
Number of Issues | 489 | 860 | 5,836 |
Yield | 5.1% | — | — |
Yield to Maturity | 5.2%† | 5.3% | 4.4% |
Average Coupon | 7.3% | 7.3% | 5.4% |
Average Effective Maturity | 19.9 years | 20.4 years | 7.1 years |
Average Quality†† | Aa2 | Aa2 | Aa1 |
Average Duration | 11.0 years | 11.0 years | 4.3 years |
Expense Ratio | 0.18% | — | — |
Short-Term Reserves | 0% | — | — |
Volatility Measures | Fund | Target Index* | Fund | Broad Index** |
---|---|---|---|---|
R-Squared | 1.00 | 1.00 | 0.94 | 1.00 |
Beta | 1.00 | 1.00 | 2.23 | 1.00 |
Sector Diversification‡(% of portfolio) | |
---|---|
Asset-Backed/Commercial Mortgage-Backed | 0% |
Finance | 9 |
Foreign | 7 |
Government Mortgage-Backed | 0 |
Industrial | 24 |
Treasury/Agency | 57 |
Utilities | 3 |
Total | 100% |
Distribution by Credit Quality†† (% of portfolio) | |
Aaa | 58% |
Aa | 4 |
A | 16 |
Baa | 22 |
Total | 100% |
Distribution by Maturity (% of portfolio) | |
5-10 Years | 2% |
10-20 Years | 47 |
20-30 Years | 50 |
Over 30 Years | 1 |
Total | 100% |
Investment Focus
* | Lehman Long Government/Credit Index. | |
** | Lehman Aggregate Bond Index. | |
† | Before expenses. | |
†† | Moody's Investors Service. | |
‡ | The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government. | Visit our website at Vanguard.com for regularly updated fund information. |
9
GLOSSARY OF INVESTMENT TERMS
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund’s beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield. A snapshot of a fund’s interest income. The yield, expressed as a percentage of the fund’s net asset value, is based on income earned over the past 30 days (7 days for money market funds) and is annualized, or projected forward for the coming year.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
10
As of 12/31/2004 | PERFORMANCE SUMMARIES All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (For performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor's shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares. |
TOTAL BOND MARKET INDEX FUND
Cumulative Performance December 31, 1994–December 31, 2004
Average Annual Total Returns Periods Ended December 31, 2004 | Final Value | |||
---|---|---|---|---|
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Total Bond Market Index Fund Investor Shares* | 4.24% | 7.22% | 7.42% | $20,458 |
Lehman Aggregate Bond Index | 4.34 | 7.71 | 7.72 | 21,038 |
Average Intermediate Investment Grade Debt Fund** | 3.85 | 6.80 | 6.56 | 18,881 |
Final Value | ||||
One | Since | of a $250,000 | ||
Year | Inception† | Investment | ||
Total Bond Market Index Fund Admiral Shares | 4.33% | 4.63% | $288,068 | |
Lehman Aggregate Bond Index | 4.34 | 5.21 | 293,288 | |
Final Value of | ||||
One | Five | Since | a $10,000,000 | |
Year | Years | Inception† | Investment | |
Total Bond Market Index Fund Institutional Shares | 4.36% | 7.35% | 6.71% | $18,276,770 |
Lehman Aggregate Bond Index | 4.34 | 7.71 | 6.89 | 18,567,769 |
Fiscal-Year Total Returns (%) December 31, 1994-December 31, 2004 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Total Bond Market Index Fund | Total Bond Market Index Fund | |||||||||
Investor Shares | Lehman†† | Investor Shares | Lehman†† | |||||||
Fiscal | Capital | Income | Total | Total | Fiscal | Capital | Income | Total | Total | |
Year | Return | Return | Return | Return | | Year | Return | Return | Return | Return |
1995 | 10.6% | 7.6% | 18.2% | 18.5% | 2000 | 4.2% | 7.2% | 11.4% | 11.6% | |
1996 | -3.0 | 6.6 | 3.6 | 3.6 | 2001 | 1.9 | 6.5 | 8.4 | 8.4 | |
1997 | 2.5 | 6.9 | 9.4 | 9.7 | 2002 | 2.4 | 5.9 | 8.3 | 10.3 | |
1998 | 2.2 | 6.4 | 8.6 | 8.7 | 2003 | -0.7 | 4.7 | 4.0 | 4.1 | |
1999 | -6.8 | 6.0 | -0.8 | -0.8 | 2004 | -0.2 | 4.4 | 4.2 | 4.3 | |
* | Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
** | Derived from data provided by Lipper Inc.; based on the Average Intermediate U.S. Government Fund through December 31, 2001, and the Average Intermediate Investment Grade Debt Fund thereafter. |
† | Inception dates are November 12, 2001, for the Admiral Shares and September 18, 1995, for the Institutional Shares. |
†† | Lehman Aggregate Bond Index. |
Note: See Financial Highlights tables on pages 100 and 101 for dividend and capital gains information. |
11
PERFORMANCE SUMMARIES (CONTINUED)
SHORT-TERM BOND INDEX FUND
Cumulative Performance December 31, 1994–December 31, 2004
Average Annual Total Returns Periods Ended December 31, 2004 | Final Value | |||
---|---|---|---|---|
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Short-Term Bond Index Fund Investor Shares* | 1.70% | 5.74% | 6.26% | $18,344 |
Lehman Aggregate Bond Index | 4.34 | 7.71 | 7.72 | 21,038 |
Lehman 1-5 Year Government/Credit Index | 1.85 | 6.21 | 6.51 | 18,796 |
Average 1-5 Year Investment Grade Debt Fund** | 1.68 | 5.06 | 5.43 | 16,962 |
Final Value | ||||
One | Since | of a $250,000 | ||
Year | Inception† | Investment | ||
Short-Term Bond Index Fund Admiral Shares | 1.77% | 3.25% | $276,322 | |
Lehman Aggregate Bond Index | 4.34 | 5.21 | 293,288 | |
Lehman 1-5 Year Government/Credit Index | 1.85 | 3.91 | 281,910 | |
Fiscal-Year Total Returns (%) December 31, 1994-December 31, 2004 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Short-Term Bond Index Fund Investor Shares | Lehman†† | Short-Term Bond Index Fund Investor Shares | Lehman†† | |||||||
Fiscal | Capital | Income | Total | Total | Fiscal | Capital | Income | Total | Total | |
Year | Return | Return | Return | Return | | Year | Return | Return | Return | Return |
1995 | 6.0% | 6.9% | 12.9% | 12.9% | 2000 | 2.4% | 6.4% | 8.8% | 8.9% | |
1996 | -1.5 | 6.0 | 4.5 | 4.7 | 2001 | 3.0 | 5.9 | 8.9 | 9.0 | |
1997 | 0.8 | 6.2 | 7.0 | 7.1 | 2002 | 1.5 | 4.6 | 6.1 | 8.1 | |
1998 | 1.7 | 5.9 | 7.6 | 7.6 | 2003 | 0.1 | 3.3 | 3.4 | 3.4 | |
1999 | -3.3 | 5.4 | 2.1 | 2.1 | 2004 | -1.3 | 3.0 | 1.7 | 1.8 | |
* | Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
** | Derived from data provided by Lipper Inc.; based on the Average 1-5 Year U.S. Government Fund through December 31, 2001, and the Average 1-5 Year Investment Grade Debt Fund thereafter. |
† | November 12, 2001. |
†† | Lehman 1-5 Year Government/Credit Index. |
Note: See Financial Highlights tables on page 102 for dividend and capital gains information. |
12
INTERMEDIATE-TERM BOND INDEX FUND
Cumulative Performance December 31, 1994–December 31, 2004
Average Annual Total Returns Periods Ended December 31, 2004 | Final Value | |||
---|---|---|---|---|
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Intermediate-Term Bond Index Fund Investor Shares* | 5.22% | 8.72% | 8.22% | $22,031 |
Lehman Aggregate Bond Index | 4.34 | 7.71 | 7.72 | 21,038 |
Lehman 5-10 Year Government/Credit Index | 5.30 | 9.07 | 8.46 | 22,525 |
Average Intermediate Investment Grade Debt Fund** | 3.85 | 6.80 | 6.56 | 18,881 |
Final Value | ||||
One | Since | of a $250,000 | ||
Year | Inception† | Investment | ||
Intermediate-Term Bond Index Fund Admiral Shares | 5.30% | 6.03% | $300,346 | |
Lehman Aggregate Bond Index | 4.34 | 5.21 | 293,288 | |
Lehman 5-10 Year Government/Credit Index | 5.30 | 6.68 | 306,156 | |
Fiscal-Year Total Returns (%) December 31, 1994-December 31, 2004 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Intermediate-Term Bond Index Fund Investor Shares | Lehman†† | Intermediate-Term Bond Index Fund Investor Shares | Lehman†† | |||||||
Fiscal | Capital | Income | Total | Total | Fiscal | Capital | Income | Total | Total | |
Year | Return | Return | Return | Return | | Year | Return | Return | Return | Return |
1995 | 13.3% | 7.8% | 21.1% | 21.4% | 2000 | 5.4% | 7.4% | 12.8% | 12.4% | |
1996 | -3.9 | 6.5 | 2.6 | 2.7 | 2001 | 2.6 | 6.7 | 9.3 | 8.8 | |
1997 | 2.4 | 7.0 | 9.4 | 9.4 | 2002 | 4.7 | 6.2 | 10.9 | 13.0 | |
1998 | 3.5 | 6.6 | 10.1 | 10.1 | 2003 | 0.6 | 5.0 | 5.6 | 6.0 | |
1999 | -9.0 | 6.0 | -3.0 | -2.9 | 2004 | 0.4 | 4.8 | 5.2 | 5.3 | |
* | Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
** | Derived from data provided by Lipper Inc.; based on the Average Intermediate U.S. Government Fund through December 31, 2001, and the Average Intermediate Investment Grade Debt Fund thereafter. |
† | November 12, 2001. |
†† | Lehman 5-10 Year Government/Credit Index. |
Note: See Financial Highlights tables on page 103 for dividend and capital gains information. |
13
PERFORMANCE SUMMARIES (CONTINUED)
LONG-TERM BOND INDEX FUND
Cumulative Performance December 31, 1994–December 31, 2004
Average Annual Total Returns Periods Ended December 31, 2004 | Final Value | |||
---|---|---|---|---|
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Long-Term Bond Index Fund* | 8.40% | 10.53% | 9.67% | $25,178 |
Lehman Aggregate Bond Index | 4.34 | 7.71 | 7.72 | 21,038 |
Lehman Long Government/Credit Index | 8.56 | 10.46 | 9.72 | 25,295 |
Average Corporate A-Rated Debt Fund** | 4.09 | 7.06 | 6.71 | 19,151 |
Fiscal-Year Total Returns (%) December 31, 1994-December 31, 2004 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Bond Index Fund | Lehman† | Long-Term Bond Index Fund | Lehman† | |||||||
Fiscal | Capital | Income | Total | Total | Fiscal | Capital | Income | Total | Total | |
Year | Return | Return | Return | Return | | Year | Return | Return | Return | Return |
1995 | 21.0% | 8.7% | 29.7% | 29.9% | 2000 | 9.1% | 7.5% | 16.6% | 16.2% | |
1996 | -6.8 | 6.5 | -0.3 | 0.1 | 2001 | 1.6 | 6.6 | 8.2 | 7.3 | |
1997 | 6.9 | 7.4 | 14.3 | 14.5 | 2002 | 7.8 | 6.6 | 14.4 | 14.8 | |
1998 | 5.5 | 6.5 | 12.0 | 11.8 | 2003 | 0.0 | 5.5 | 5.5 | 5.9 | |
1999 | -13.5 | 5.6 | -7.9 | -7.7 | 2004 | 2.8 | 5.6 | 8.4 | 8.6 | |
* | Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
** | Derived from data provided by Lipper Inc.; based on the Average General U.S. Government Fund through December 31, 2001, and the Average Corporate A-Rated Debt Fund thereafter. |
† | Lehman Long Government/Credit Index. |
Note: See Financial Highlights table on page 104 for dividend and capital gains information. |
14
ABOUT YOUR FUND’S EXPENSES
Six Months Ended December 31, 2004 | |||
---|---|---|---|
Index Fund | Beginning Account Value June 30, 2004 | Ending Account Value Dec. 31, 2004 | Expenses Paid During Period* |
Based on Actual Fund Return | |||
Total Bond Market | |||
Investor | $1,000.00 | $1,040.71 | $0.92 |
Admiral | 1,000.00 | 1,041.16 | 0.51 |
Institutional | 1,000.00 | 1,041.28 | 0.36 |
Short-Term Bond | |||
Investor | $1,000.00 | $1,018.70 | $0.86 |
Admiral | 1,000.00 | 1,019.03 | 0.51 |
Intermediate-Term Bond | |||
Investor | $1,000.00 | $1,054.96 | $0.88 |
Admiral | 1,000.00 | 1,055.32 | 0.52 |
Long-Term Bond | $1,000.00 | $1,088.60 | $0.89 |
Based on Hypothetical 5% Yearly Return | |||
Total Bond Market | |||
Investor | $1,000.00 | $1,024.23 | $0.92 |
Admiral | 1,000.00 | 1,024.63 | 0.51 |
Institutional | 1,000.00 | 1,024.75 | 0.36 |
Short-Term Bond | |||
Investor | $1,000.00 | $1,024.28 | $0.86 |
Admiral | 1,000.00 | 1,024.63 | 0.51 |
Intermediate-Term Bond | |||
Investor | $1,000.00 | $1,024.28 | $0.86 |
Admiral | 1,000.00 | 1,024.63 | 0.51 |
Long-Term Bond | $1,000.00 | $1,024.28 | $0.86 |
* | These calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are: for the Total Bond Market Index Fund, 0.18% for Investor Shares, 0.10% for Admiral Shares, 0.07% for Institutional Shares; for the Short-Term Bond Index Fund, 0.17% for Investor Shares, 0.10% for Admiral Shares; for the Intermediate-Term Bond Index Fund, 0.17% for Investor Shares, 0.10% for Admiral Shares; and for the Long-Term Bond Index Fund, 0.17%. The dollar amounts shown as "Expenses Paid" are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. |
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others.
Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The adjacent examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table above illustrates your fund’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
15
Expense Ratios: Your fund compared with its peer group | ||||
---|---|---|---|---|
Index Fund | Investor Shares | Admiral Shares | Institutional Shares | Peer Group* |
Total Bond Market | 0.20% | 0.11% | 0.08% | 0.98% |
Short-Term Bond | 0.18 | 0.10 | — | 0.94 |
Intermediate-Term Bond | 0.18 | 0.11 | — | 0.98 |
Long-Term Bond | 0.18 | — | — | 1.13 |
* | Peer groups are: for the Total Bond Market Index Fund, the Average Intermediate Investment Grade Debt Fund; for the Short-Term Bond Index Fund, the Average 1-5 Year Investment Grade Debt Fund; for the Intermediate-Term Bond Index Fund, the Average Intermediate Investment Grade Debt Fund; and for the Long-Term Bond Index Fund, the Average Corporate A-Rated Debt Fund. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2003. |
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown in the table on page 15 are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. They do not include your fund’s low-balance fee, which is described in the prospectus. If this fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus.
16
As of 12/31/2004 | FINANCIAL STATEMENTS |
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund’s holdings, including each security’s market value on the last day of the reporting period. Securities are grouped and subtotaled by bond type (U.S. government and agency issues, corporate bonds, sovereign bonds, etc.); corporate bonds are further classified by industry sector. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund’s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a table displaying the composition of the fund’s net assets. Undistributed Net Investment Income is minimal because the fund distributes its net income to shareholders as a dividend each day. Any realized gains must be distributed annually, so the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The balance shown for Accumulated Net Realized Gains usually approximates the amount available to distribute to shareholders as capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Each fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
U.S GOVERNMENT AND AGENCY OBLIGATIONS (68.5%) | ||||
U.S. Government Securities (24.8%) | ||||
U.S. Treasury Bond | 12.00% | 5/15/2005 | $ 300 | $ 311 |
U.S. Treasury Bond | 2.375% | 8/31/2006 | 43,225 | 42,779 |
U.S. Treasury Bond | 10.375% | 11/15/2012 | 1,375 | 1,641 |
U.S. Treasury Bond | 12.00% | 8/15/2013 | 122,800 | 158,412 |
U.S. Treasury Bond | 11.25% | 2/15/2015 | 68,175 | 107,194 |
U.S. Treasury Bond | 10.625% | 8/15/2015 | 8,825 | 13,562 |
U.S. Treasury Bond | 9.875% | 11/15/2015 | 71,350 | 105,420 |
U.S. Treasury Bond | 9.25% | 2/15/2016 | 132,225 | 188,751 |
U.S. Treasury Bond | 7.50% | 11/15/2016 | 20,069 | 25,651 |
U.S. Treasury Bond | 8.75% | 5/15/2017 | 42,260 | 59,217 |
U.S. Treasury Bond | 8.875% | 8/15/2017 | 236,415 | 335,007 |
U.S. Treasury Bond | 8.875% | 2/15/2019 | 100,650 | 144,826 |
U.S. Treasury Bond | 8.125% | 8/15/2019 | 144,995 | 198,010 |
U.S. Treasury Bond | 8.50% | 2/15/2020 | 1,375 | 1,940 |
U.S. Treasury Bond | 8.75% | 5/15/2020 | 40,575 | 58,530 |
U.S. Treasury Bond | 8.75% | 8/15/2020 | 6,025 | 8,706 |
U.S. Treasury Bond | 7.875% | 2/15/2021 | 105,012 | 141,881 |
17
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
U.S. Treasury Bond | 8.125% | 8/15/2021 | $193,125 | $ 267,328 |
U.S. Treasury Bond | 8.00% | 11/15/2021 | 89,620 | 122,989 |
U.S. Treasury Bond | 7.625% | 11/15/2022 | 137,830 | 184,175 |
U.S. Treasury Bond | 6.25% | 8/15/2023 | 525 | 615 |
U.S. Treasury Bond | 6.00% | 2/15/2026 | 500 | 573 |
U.S. Treasury Bond | 6.75% | 8/15/2026 | 24,460 | 30,510 |
U.S. Treasury Bond | 6.50% | 11/15/2026 | 775 | 942 |
U.S. Treasury Bond | 6.625% | 2/15/2027 | 17,125 | 21,101 |
U.S. Treasury Bond | 6.375% | 8/15/2027 | 82,150 | 98,644 |
U.S. Treasury Bond | 5.50% | 8/15/2028 | 32,000 | 34,615 |
U.S. Treasury Bond | 5.25% | 11/15/2028 | 8,985 | 9,416 |
U.S. Treasury Bond | 6.25% | 5/15/2030 | 550 | 657 |
U.S. Treasury Note | 1.875% | 12/31/2005 | 148,200 | 146,903 |
U.S. Treasury Note | 1.875% | 1/31/2006 | 84,450 | 83,632 |
U.S. Treasury Note | 1.625% | 2/28/2006 | 95,125 | 93,817 |
U.S. Treasury Note | 2.25% | 4/30/2006 | 87,225 | 86,489 |
U.S. Treasury Note | 4.625% | 5/15/2006 | 700 | 716 |
U.S. Treasury Note | 2.50% | 5/31/2006 | 89,550 | 89,047 |
U.S. Treasury Note | 2.75% | 6/30/2006 | 209,100 | 208,577 |
U.S. Treasury Note | 7.00% | 7/15/2006 | 346,775 | 368,015 |
U.S. Treasury Note | 2.75% | 7/31/2006 | 97,700 | 97,364 |
U.S. Treasury Note | 2.50% | 9/30/2006 | 166,275 | 164,820 |
U.S. Treasury Note | 6.50% | 10/15/2006 | 347,700 | 368,562 |
U.S. Treasury Note | 3.125% | 5/15/2007 | 37,300 | 37,283 |
U.S. Treasury Note | 4.375% | 5/15/2007 | 3,125 | 3,211 |
U.S. Treasury Note | 6.625% | 5/15/2007 | 90,250 | 97,413 |
U.S. Treasury Note | 2.75% | 8/15/2007 | 36,175 | 35,774 |
U.S. Treasury Note | 6.125% | 8/15/2007 | 261,425 | 280,624 |
U.S. Treasury Note | 3.00% | 11/15/2007 | 48,350 | 48,056 |
U.S. Treasury Note | 5.625% | 5/15/2008 | 480,695 | 515,771 |
U.S. Treasury Note | 3.125% | 10/15/2008 | 55,550 | 54,951 |
U.S. Treasury Note | 4.75% | 11/15/2008 | 76,000 | 79,622 |
U.S. Treasury Note | 3.375% | 12/15/2008 | 43,700 | 43,570 |
U.S. Treasury Note | 3.25% | 1/15/2009 | 384,350 | 381,048 |
U.S. Treasury Note | 2.625% | 3/15/2009 | 113,125 | 109,342 |
U.S. Treasury Note | 3.125% | 4/15/2009 | 203,425 | 200,406 |
U.S. Treasury Note | 3.875% | 5/15/2009 | 180,925 | 183,639 |
U.S. Treasury Note | 6.50% | 2/15/2010 | 166,900 | 188,988 |
U.S. Treasury Note | 5.75% | 8/15/2010 | 16,825 | 18,526 |
U.S. Treasury Note | 5.00% | 2/15/2011 | 2,500 | 2,661 |
U.S. Treasury Note | 4.875% | 2/15/2012 | 10,000 | 10,572 |
U.S. Treasury Note | 4.375% | 8/15/2012 | 583,410 | 597,634 |
U.S. Treasury Note | 4.00% | 11/15/2012 | 131,075 | 130,952 |
U.S. Treasury Note | 4.25% | 8/15/2013 | 218,050 | 219,720 |
7,311,108 | ||||
Agency Bonds and Notes (10.1%) | ||||
Federal Farm Credit Bank* | 2.25% | 9/1/2006 | 12,980 | 12,779 |
Federal Farm Credit Bank* | 3.25% | 6/15/2007 | 35,625 | 35,514 |
Federal Farm Credit Bank* | 3.00% | 12/17/2007 | 6,850 | 6,748 |
Federal Farm Credit Bank* | 3.375% | 7/15/2008 | 9,075 | 9,019 |
Federal Home Loan Bank* | 5.375% | 2/15/2006 | 1,000 | 1,025 |
Federal Home Loan Bank* | 5.125% | 3/6/2006 | 77,250 | 79,035 |
18
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Federal Home Loan Bank* | 2.50% | 3/15/2006 | $ 48,850 | $ 48,504 |
Federal Home Loan Bank* | 2.25% | 5/15/2006 | 29,000 | 28,655 |
Federal Home Loan Bank* | 5.375% | 5/15/2006 | 500 | 515 |
Federal Home Loan Bank* | 2.875% | 8/15/2006 | 95,000 | 94,525 |
Federal Home Loan Bank* | 3.50% | 8/15/2006 | 10,550 | 10,600 |
Federal Home Loan Bank* | 6.375% | 8/15/2006 | 500 | 525 |
Federal Home Loan Bank* | 4.875% | 11/15/2006 | 9,775 | 10,056 |
Federal Home Loan Bank* | 6.50% | 8/15/2007 | 38,810 | 41,732 |
Federal Home Loan Bank* | 5.80% | 9/2/2008 | 15,000 | 16,057 |
Federal Home Loan Bank* | 5.865% | 9/2/2008 | 44,070 | 47,272 |
Federal Home Loan Bank* | 3.625% | 11/14/2008 | 7,500 | 7,468 |
Federal Home Loan Bank* | 5.79% | 4/27/2009 | 900 | 969 |
Federal Home Loan Bank* | 7.625% | 5/14/2010 | 73,700 | 86,267 |
Federal Home Loan Bank* | 5.75% | 5/15/2012 | 91,575 | 99,372 |
Federal Home Loan Bank* | 4.50% | 11/15/2012 | 46,100 | 46,328 |
Federal Home Loan Bank* | 5.25% | 6/18/2014 | 10,000 | 10,498 |
Federal Home Loan Mortgage Corp.* | 5.25% | 1/15/2006 | 53,660 | 54,866 |
Federal Home Loan Mortgage Corp.* | 2.375% | 4/15/2006 | 20,000 | 19,818 |
Federal Home Loan Mortgage Corp.* | 6.75% | 5/30/2006 | 1,250 | 1,311 |
Federal Home Loan Mortgage Corp.* | 5.50% | 7/15/2006 | 86,950 | 89,953 |
Federal Home Loan Mortgage Corp.* | 2.75% | 10/15/2006 | 50,000 | 49,575 |
Federal Home Loan Mortgage Corp.* | 2.875% | 12/15/2006 | 20,000 | 19,839 |
Federal Home Loan Mortgage Corp.* | 4.875% | 3/15/2007 | 30,065 | 31,020 |
Federal Home Loan Mortgage Corp.* | 3.50% | 9/15/2007 | 855 | 856 |
Federal Home Loan Mortgage Corp.* | 2.75% | 3/15/2008 | 25 | 24 |
Federal Home Loan Mortgage Corp.* | 5.75% | 4/15/2008 | 177,055 | 188,769 |
Federal Home Loan Mortgage Corp.* | 5.25% | 1/15/2009 | 3,700 | 3,901 |
Federal Home Loan Mortgage Corp.* | 3.75% | 5/12/2009 | 3,130 | 3,119 |
Federal Home Loan Mortgage Corp.* | 6.625% | 9/15/2009 | 37,340 | 41,661 |
Federal Home Loan Mortgage Corp.* | 7.00% | 3/15/2010 | 73,925 | 84,036 |
Federal Home Loan Mortgage Corp.* | 6.875% | 9/15/2010 | 70,225 | 80,019 |
Federal Home Loan Mortgage Corp.* | 5.875% | 3/21/2011 | 14,757 | 15,892 |
Federal Home Loan Mortgage Corp.* | 6.00% | 6/15/2011 | 10,000 | 10,993 |
Federal Home Loan Mortgage Corp.* | 6.375% | 8/1/2011 | 3,130 | 3,255 |
Federal Home Loan Mortgage Corp.* | 5.50% | 9/15/2011 | 10,000 | 10,725 |
Federal Home Loan Mortgage Corp.* | 5.75% | 1/15/2012 | 55,750 | 60,560 |
Federal Home Loan Mortgage Corp.* | 5.125% | 7/15/2012 | 41,745 | 43,710 |
Federal Home Loan Mortgage Corp.* | 4.50% | 1/15/2013 | 27,500 | 27,603 |
Federal Home Loan Mortgage Corp.* | 4.00% | 6/12/2013 | 23,775 | 22,403 |
Federal Home Loan Mortgage Corp.* | 4.50% | 7/15/2013 | 15,100 | 15,117 |
Federal Home Loan Mortgage Corp.* | 4.875% | 11/15/2013 | 25 | 26 |
Federal Home Loan Mortgage Corp.* | 4.50% | 1/15/2014 | 10 | 10 |
Federal Home Loan Mortgage Corp.* | 6.75% | 3/15/2031 | 53,350 | 64,691 |
Federal Home Loan Mortgage Corp.* | 6.25% | 7/15/2032 | 95 | 109 |
Federal National Mortgage Assn.* | 6.00% | 12/15/2005 | 25,650 | 26,382 |
Federal National Mortgage Assn.* | 2.00% | 1/15/2006 | 25 | 25 |
Federal National Mortgage Assn.* | 5.50% | 2/15/2006 | 65,000 | 66,709 |
Federal National Mortgage Assn.* | 2.25% | 5/15/2006 | 90,180 | 89,109 |
Federal National Mortgage Assn.* | 2.50% | 6/15/2006 | 4,425 | 4,383 |
Federal National Mortgage Assn.* | 5.25% | 6/15/2006 | 26,970 | 27,761 |
Federal National Mortgage Assn.* | 3.125% | 7/15/2006 | 43,500 | 43,469 |
Federal National Mortgage Assn.* | 2.625% | 11/15/2006 | 70,000 | 69,183 |
19
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Federal National Mortgage Assn.* | 4.75% | 1/2/2007 | $ 305 | $ 312 |
Federal National Mortgage Assn.* | 5.00% | 1/15/2007 | 88,385 | 91,257 |
Federal National Mortgage Assn.* | 7.125% | 3/15/2007 | 20,000 | 21,581 |
Federal National Mortgage Assn.* | 5.25% | 4/15/2007 | 50,000 | 52,054 |
Federal National Mortgage Assn.* | 6.625% | 10/15/2007 | 45,000 | 48,729 |
Federal National Mortgage Assn.* | 3.25% | 11/15/2007 | 20 | 20 |
Federal National Mortgage Assn.* | 3.25% | 1/15/2008 | 75 | 74 |
Federal National Mortgage Assn.* | 6.00% | 5/15/2008 | 26,310 | 28,282 |
Federal National Mortgage Assn.* | 3.25% | 8/15/2008 | 150 | 148 |
Federal National Mortgage Assn.* | 3.25% | 2/15/2009 | 10 | 10 |
Federal National Mortgage Assn.* | 6.375% | 6/15/2009 | 52,587 | 57,936 |
Federal National Mortgage Assn.* | 6.625% | 9/15/2009 | 128,315 | 143,164 |
Federal National Mortgage Assn.* | 7.25% | 1/15/2010 | 85,665 | 98,350 |
Federal National Mortgage Assn.* | 7.125% | 6/15/2010 | 25 | 29 |
Federal National Mortgage Assn.* | 6.625% | 11/15/2010 | 400 | 451 |
Federal National Mortgage Assn.* | 6.25% | 2/1/2011 | 16,840 | 18,425 |
Federal National Mortgage Assn.* | 6.00% | 5/15/2011 | 47,500 | 52,190 |
Federal National Mortgage Assn.* | 5.375% | 11/15/2011 | 100 | 106 |
Federal National Mortgage Assn.* | 6.125% | 3/15/2012 | 62,980 | 69,927 |
Federal National Mortgage Assn.* | 4.375% | 9/15/2012 | 8,550 | 8,545 |
Federal National Mortgage Assn.* | 4.375% | 3/15/2013 | 40 | 40 |
Federal National Mortgage Assn.* | 4.625% | 5/1/2013 | 17,575 | 17,372 |
Federal National Mortgage Assn.* | 4.625% | 10/15/2013 | 34,025 | 34,294 |
Federal National Mortgage Assn.* | 5.125% | 1/2/2014 | 4,175 | 4,235 |
Federal National Mortgage Assn.* | 8.20% | 3/10/2016 | 50 | 64 |
Federal National Mortgage Assn.* | 6.25% | 5/15/2029 | 1,375 | 1,559 |
Federal National Mortgage Assn.* | 7.125% | 1/15/2030 | 805 | 1,012 |
Federal National Mortgage Assn.* | 7.25% | 5/15/2030 | 84,101 | 107,146 |
Federal National Mortgage Assn.* | 6.625% | 11/15/2030 | 8,110 | 9,629 |
Private Export Funding Corp. | ||||
(U.S. Government Guaranteed) | 7.20% | 1/15/2010 | 32,875 | 37,664 |
Resolution Funding Corp. | 8.125% | 10/15/2019 | 550 | 726 |
Resolution Funding Corp. | 8.875% | 7/15/2020 | 280 | 395 |
Resolution Funding Corp. | 8.625% | 1/15/2030 | 110 | 161 |
Small Business Administration Variable Rate | ||||
Interest Only Custodial Receipts | 2.719% | 7/15/2017 | 4,883 | 244 |
State of Israel (U.S. Government Guaranteed) | 5.50% | 9/18/2023 | 5,725 | 6,023 |
State of Israel (U.S. Government Guaranteed) | 5.50% | 12/4/2023 | 4,050 | 4,262 |
State of Israel (U.S. Government Guaranteed) | 5.50% | 4/26/2024 | 3,100 | 3,260 |
Tennessee Valley Auth.* | 5.375% | 11/13/2008 | 32,175 | 34,044 |
Tennessee Valley Auth.* | 7.125% | 5/1/2030 | 34,350 | 43,215 |
2,961,280 | ||||
Mortgage-Backed Securities (33.6%) | |||||
Federal Home Loan Mortgage Corp.* | 4.00% | 3/1/2008-12/1/2019 | (1) | 176,802 | 174,509 |
Federal Home Loan Mortgage Corp.* | 4.50% | 1/1/2008-5/1/2034 | (1) | 587,212 | 584,724 |
Federal Home Loan Mortgage Corp.* | 5.00% | 6/1/2007-12/1/2034 | (1) | 1,048,425 | 1,053,800 |
Federal Home Loan Mortgage Corp.* | 5.50% | 12/1/2005-9/1/2034 | (1) | 899,709 | 918,840 |
Federal Home Loan Mortgage Corp.* | 6.00% | 4/1/2005-8/1/2034 | (1) | 497,476 | 516,296 |
Federal Home Loan Mortgage Corp.* | 6.50% | 1/1/2005-9/1/2034 | (1) | 266,724 | 280,772 |
Federal Home Loan Mortgage Corp.* | 7.00% | 12/1/2006-9/1/2032 | (1) | 112,955 | 119,816 |
Federal Home Loan Mortgage Corp.* | 7.50% | 1/1/2007-2/1/2032 | (1) | 29,789 | 31,852 |
Federal Home Loan Mortgage Corp.* | 8.00% | 7/1/2006-1/1/2032 | (1) | 21,562 | 23,272 |
20
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|---|
Federal Home Loan Mortgage Corp.* | 8.50% | 1/1/2005-7/1/2031 | (1) | $ 3,491 | $ 3,797 |
Federal Home Loan Mortgage Corp.* | 9.00% | 11/1/2005-3/1/2031 | (1) | 2,529 | 2,785 |
Federal Home Loan Mortgage Corp.* | 9.50% | 4/1/2016-6/1/2025 | (1) | 652 | 725 |
Federal Home Loan Mortgage Corp.* | 10.00% | 7/1/2009-4/1/2025 | (1) | 164 | 182 |
Federal Home Loan Mortgage Corp.* | 10.50% | 12/1/2015 | (1) | 1 | 1 |
Federal National Mortgage Assn.* | 4.00% | 9/1/2010-6/1/2019 | (1) | 167,076 | 164,253 |
Federal National Mortgage Assn.* | 4.50% | 2/1/2010-9/1/2034 | (1) | 598,740 | 594,348 |
Federal National Mortgage Assn.* | 5.00% | 3/1/2006-8/1/2034 | (1) | 1,338,913 | 1,342,422 |
Federal National Mortgage Assn.* | 5.50% | 11/1/2008-10/1/2034 | (1) | 1,436,881 | 1,464,795 |
Federal National Mortgage Assn.* | 6.00% | 7/1/2008-11/1/2034 | (1) | 730,369 | 757,649 |
Federal National Mortgage Assn.* | 6.50% | 6/1/2008-9/1/2034 | (1) | 375,944 | 395,295 |
Federal National Mortgage Assn.* | 7.00% | 10/1/2007-7/1/2034 | (1) | 119,067 | 126,315 |
Federal National Mortgage Assn.* | 7.50% | 9/1/2007-12/1/2032 | (1) | 46,416 | 49,637 |
Federal National Mortgage Assn.* | 8.00% | 11/1/2006-9/1/2031 | (1) | 12,643 | 13,670 |
Federal National Mortgage Assn.* | 8.50% | 4/1/2006-5/1/2032 | (1) | 5,020 | 5,433 |
Federal National Mortgage Assn.* | 9.00% | 7/1/2005-8/1/2030 | (1) | 990 | 1,102 |
Federal National Mortgage Assn.* | 9.50% | 12/1/2005-11/1/2025 | (1) | 1,207 | 1,346 |
Federal National Mortgage Assn.* | 10.00% | 10/1/2006-11/1/2019 | (1) | 291 | 323 |
Federal National Mortgage Assn.* | 10.50% | 5/1/2010-8/1/2020 | (1) | 67 | 74 |
Federal National Mortgage Assn.* | 11.00% | 9/1/2019 | (1) | 24 | 28 |
Government National Mortgage Assn | 3.375% | 6/20/2029 | (1) | 2,291 | 2,314 |
Government National Mortgage Assn | 4.00% | 8/15/2018-9/15/2018 | (1) | 3,602 | 3,553 |
Government National Mortgage Assn | 4.50% | 6/15/2018-1/1/2035 | (1) | 40,982 | 40,537 |
Government National Mortgage Assn | 5.00% | 11/15/2017-3/1/2035 | (1) | 221,868 | 223,037 |
Government National Mortgage Assn | 5.50% | 2/15/2017-12/15/2034 | (1) | 393,055 | 401,955 |
Government National Mortgage Assn | 6.00% | 3/15/2009-10/15/2034 | (1) | 273,156 | 283,576 |
Government National Mortgage Assn | 6.50% | 10/15/2007-3/1/2035 | (1) | 155,202 | 163,644 |
Government National Mortgage Assn | 7.00% | 11/15/2007-10/15/2032 | (1) | 75,907 | 80,812 |
Government National Mortgage Assn | 7.25% | 9/15/2025 | (1) | 59 | 63 |
Government National Mortgage Assn | 7.50% | 2/15/2007-6/15/2032 | (1) | 29,982 | 32,208 |
Government National Mortgage Assn | 7.75% | 2/15/2030 | (1) | 13 | 14 |
Government National Mortgage Assn | 7.90% | 2/15/2021 | (1) | 11 | 12 |
Government National Mortgage Assn | 8.00% | 2/15/2007-12/15/2030 | (1) | 17,948 | 19,546 |
Government National Mortgage Assn | 8.50% | 5/15/2010-3/15/2031 | (1) | 4,058 | 4,441 |
Government National Mortgage Assn | 9.00% | 10/15/2008-3/15/2031 | (1) | 8,728 | 9,682 |
Government National Mortgage Assn | 9.50% | 5/15/2016-9/15/2030 | (1) | 1,649 | 1,852 |
Government National Mortgage Assn | 10.00% | 2/15/2018-2/15/2025 | (1) | 678 | 766 |
Government National Mortgage Assn | 10.50% | 7/15/2015-4/15/2025 | (1) | 483 | 549 |
Government National Mortgage Assn | 11.00% | 1/15/2010-6/15/2019 | (1) | 142 | 162 |
Government National Mortgage Assn | 11.50% | 3/15/2010-4/15/2016 | (1) | 71 | 81 |
9,896,865 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||
(Cost $19,836,414) | 20,169,253 | ||||
CORPORATE BONDS (27.0%) | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (6.0%) | |||||
American Express Credit Account Master Trust | 2.543% | 9/15/2008 | (1)(3) | 14,643 | 14,671 |
American Express Credit Account Master Trust | 2.532% | 10/15/2008 | (1)(3) | 22,000 | 22,038 |
American Express Credit Account Master Trust | 2.522% | 12/15/2008 | (1)(3) | 35,100 | 35,157 |
BA Master Credit Card Trust | 2.522% | 6/15/2008 | (1)(3) | 60,700 | 60,798 |
Banc of America Commercial Mortgage, Inc. | 5.787% | 5/11/2035 | (1) | 20,000 | 20,831 |
Banc of America Commercial Mortgage, Inc. | 6.503% | 4/15/2036 | (1) | 9,000 | 9,884 |
21
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|---|
Banc of America Commercial Mortgage, Inc. | 5.118% | 7/11/2043 | (1) | $ 2,690 | $ 2,753 |
Bear Stearns Commercial Mortgage Securities, Inc. | 5.61% | 11/15/2033 | (1) | 9,900 | 10,506 |
Bear Stearns Commercial Mortgage Securities, Inc. | 4.83% | 8/15/2038 | (1) | 20,000 | 20,203 |
Bear Stearns Commercial Mortgage Securities, Inc. | 4.68% | 8/13/2039 | (1) | 10,000 | 9,954 |
Bear Stearns Commercial Mortgage Securities, Inc. | 4.74% | 3/13/2040 | (1) | 9,000 | 8,993 |
California Infrastructure & Economic Development | |||||
Bank Special Purpose Trust PG&E-1 | 6.42% | 9/25/2008 | (1) | 25,777 | 26,550 |
California Infrastructure & Economic Development | |||||
Bank Special Purpose Trust SCE-1 | 6.31% | 9/25/2008 | (1) | 4,464 | 4,600 |
Capital One Master Trust | 2.543% | 1/15/2009 | (1)(3) | 44,000 | 44,072 |
Capital One Multi-Asset Execution Trust | 2.792% | 1/15/2009 | (1)(3) | 10,480 | 10,523 |
Chase Commercial Mortgage Securities Corp. | 6.39% | 11/18/2030 | (1) | 19,325 | 20,804 |
Chase Credit Card Master Trust | 2.572% | 6/15/2007 | (1)(3) | 15,000 | 15,003 |
Chase Credit Card Master Trust | 2.453% | 4/15/2008 | (1)(3) | 17,000 | 17,008 |
Chase Credit Card Master Trust | 2.543% | 6/16/2008 | (1)(3) | 89,000 | 89,148 |
CIT Group Home Equity Loan Trust | 6.20% | 2/25/2030 | (1) | 1,790 | 1,862 |
Citibank Credit Card Issuance Trust | 4.95% | 2/9/2009 | (1) | 43,650 | 44,971 |
Citibank Credit Card Master Trust | 5.875% | 3/10/2011 | (1) | 1,250 | 1,343 |
Citibank Omni-S Master Trust | 2.653% | 9/16/2010 | (1)(3) | 36,500 | 36,646 |
COMED Transitional Funding Trust | 5.63% | 6/25/2009 | (1) | 510 | 526 |
Commercial Mortgage Lease-Backed Certificate | 6.746% | 6/20/2031 | (1) | 19,423 | 21,398 |
Countrywide Home Loans | 4.528% | 9/19/2032 | (1)(3) | 1,738 | 1,731 |
Countrywide Home Loans | 4.109% | 5/25/2033 | (1)(3) | 25,584 | 25,435 |
Credit Suisse First Boston | |||||
Mortgage Securities Corp. | 7.29% | 9/15/2041 | (1) | 20,000 | 22,348 |
DaimlerChrysler Master Owner Trust | 2.463% | 5/15/2007 | (1)(3) | 83,000 | 82,998 |
DaimlerChrysler Master Owner Trust | 2.437% | 11/15/2007 | (1)(3) | 22,500 | 22,504 |
DaimlerChrysler Master Owner Trust | 2.453% | 2/15/2008 | (1)(3) | 49,350 | 49,395 |
DaimlerChrysler Master Owner Trust | 2.428% | 1/15/2009 | (1)(3) | 19,000 | 19,009 |
Detroit Edison Securitization Funding LLC | 5.875% | 3/1/2010 | (1) | 900 | 939 |
Discover Card Master Trust I | 2.473% | 7/15/2007 | (1)(3) | 16,500 | 16,500 |
Discover Card Master Trust I | 6.85% | 7/17/2007 | (1) | 250 | 250 |
Discover Card Master Trust I | 2.582% | 9/18/2007 | (1)(3) | 8,765 | 8,767 |
Discover Card Master Trust I | 2.582% | 11/15/2007 | (1)(3) | 23,000 | 23,014 |
Discover Card Master Trust I | 2.553% | 9/15/2008 | (1)(3) | 22,000 | 22,025 |
DLJ Commercial Mortgage Corp. | 6.41% | 2/18/2031 | (1) | 17,425 | 18,532 |
Federal Housing Administration | 7.43% | 10/1/2020 | (1) | 41 | 45 |
First Union National Bank | |||||
Commercial Mortgage Trust | 6.223% | 12/12/2033 | (1) | 12,550 | 13,665 |
First USA Credit Card Master Trust | 2.56% | 9/19/2008 | (1)(3) | 3,000 | 3,004 |
Ford Credit Auto Owner Trust | 4.01% | 3/15/2006 | (1) | 7,114 | 7,125 |
Ford Credit Auto Owner Trust | 3.13% | 11/15/2006 | (1) | 2,700 | 2,702 |
Ford Credit Floor Plan Master Owner Trust | 2.543% | 7/15/2008 | (1)(3) | 59,455 | 59,512 |
GE Capital Commercial Mortgage Corp. | 6.531% | 5/15/2033 | (1) | 17,000 | 18,766 |
GE Capital Commercial Mortgage Corp. | 6.29% | 8/11/2033 | (1) | 3,000 | 3,282 |
GE Capital Commercial Mortgage Corp. | 6.269% | 12/10/2035 | (1) | 12,200 | 13,368 |
GE Capital Commercial Mortgage Corp. | 5.145% | 7/10/2037 | (1) | 1,340 | 1,375 |
GE Capital Commercial Mortgage Corp. | 4.996% | 12/10/2037 | (1) | 20,000 | 20,340 |
GMAC Commercial Mortgage Securities, Inc. | 6.175% | 5/15/2033 | (1) | 20,000 | 21,410 |
GMAC Commercial Mortgage Securities, Inc. | 7.455% | 8/16/2033 | (1) | 12,000 | 13,683 |
GMAC Commercial Mortgage Securities, Inc. | 6.465% | 4/15/2034 | (1) | 14,085 | 15,539 |
GMAC Commercial Mortgage Securities, Inc. | 6.70% | 4/15/2034 | (1) | 16,500 | 18,394 |
22
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | ||
---|---|---|---|---|---|
GMAC Commercial Mortgage Securities, Inc. | 6.42% | 5/15/2035 | (1) | $ 10,250 | $ 11,008 |
GMAC Mortgage Corp. Loan Trust | 2.527% | 3/25/2035 | (1)(3) | 41,000 | 41,012 |
GS Mortgage Securities Corp. II | 4.608% | 1/10/2040 | (1) | 20,000 | 19,909 |
Harley-Davidson Motorcycle Trust | 4.50% | 1/15/2010 | (1) | 10,374 | 10,505 |
Honda Auto Receivables Owner Trust | 4.22% | 4/16/2007 | (1) | 4,948 | 4,983 |
Honda Auto Receivables Owner Trust | 2.91% | 10/20/2008 | (1) | 17,000 | 16,854 |
Household Automotive Trust | 3.68% | 4/17/2006 | (1) | 8 | 8 |
Household Credit Card Master Note Trust I | 2.532% | 7/15/2008 | (1)(3) | 7,500 | 7,502 |
Household Credit Card Master Note Trust I | 2.543% | 8/15/2008 | (1)(3) | 63,975 | 64,049 |
Household Credit Card Master Note Trust I | 2.563% | 10/15/2008 | (1)(3) | 10,000 | 10,017 |
Household Private Label | |||||
Credit Card Master Trust | 2.672% | 9/15/2009 | (1)(3) | 4,950 | 4,961 |
J.P. Morgan Chase Commercial | |||||
Mortgage Securities | 6.26% | 3/15/2033 | (1) | 20,000 | 21,934 |
J.P. Morgan Chase Commercial | |||||
Mortgage Securities | 5.05% | 12/12/2034 | (1) | 11,000 | 11,332 |
J.P. Morgan Chase Commercial | |||||
Mortgage Securities | 4.985% | 1/12/2037 | (1) | 15,000 | 15,261 |
J.P. Morgan Chase Commercial | |||||
Mortgage Securities | 5.255% | 7/12/2037 | (1) | 1,790 | 1,857 |
J.P. Morgan Chase Commercial | |||||
Mortgage Securities | 5.376% | 7/12/2037 | (1) | 12,180 | 12,691 |
LB Commerical Conduit Mortgage Trust | 6.78% | 6/15/2031 | (1) | 26,237 | 28,760 |
LB-UBS Commercial Mortgage Trust | 7.37% | 8/15/2026 | (1) | 20,000 | 22,766 |
LB-UBS Commercial Mortgage Trust | 6.133% | 12/15/2030 | (1) | 8,190 | 8,893 |
M&I Auto Loan Trust | 3.04% | 10/20/2008 | (1) | 8,100 | 8,066 |
MBNA Credit Card Master Note Trust | 4.95% | 6/15/2009 | (1) | 45,800 | 47,192 |
MBNA Credit Card Master Note Trust | 2.513% | 8/17/2009 | (1)(3) | 27,140 | 27,172 |
MBNA Master Credit Card Trust | 2.662% | 8/15/2008 | (1)(3) | 19,030 | 19,090 |
MBNA Master Credit Card Trust | 2.582% | 12/15/2008 | (1)(3) | 25,000 | 25,073 |
MBNA Master Credit Card Trust | 7.00% | 2/15/2012 | (1) | 17,459 | 19,720 |
Morgan Stanley Capital I | 6.52% | 3/15/2030 | (1) | 4,466 | 4,748 |
Morgan Stanley Dean Witter Capital I | 6.66% | 2/15/2033 | (1) | 5,000 | 5,547 |
Morgan Stanley Dean Witter Capital I | 6.39% | 7/15/2033 | (1) | 5,000 | 5,479 |
Morgan Stanley Dean Witter Capital I | 4.92% | 3/12/2035 | (1) | 20,000 | 20,346 |
Morgan Stanley Dean Witter Capital I | 6.39% | 10/15/2035 | (1) | 5,000 | 5,515 |
Morgan Stanley Dean Witter Capital I | 4.74% | 11/13/2036 | (1) | 1,340 | 1,348 |
Nissan Auto Lease Trust | 2.90% | 8/15/2007 | (1) | 22,500 | 22,322 |
Nissan Auto Receivables Owner Trust | 4.80% | 2/15/2007 | (1) | 520 | 523 |
Nissan Auto Receivables Owner Trust | 3.33% | 1/15/2008 | (1) | 21,100 | 21,143 |
PECO Energy Transition Trust | 5.80% | 3/1/2007 | (1) | 3,771 | 3,789 |
PECO Energy Transition Trust | 6.13% | 3/1/2009 | (1) | 450 | 483 |
PP&L Transition Bond Co. LLC | 6.96% | 12/26/2007 | (1) | 7,500 | 7,681 |
PP&L Transition Bond Co. LLC | 7.15% | 6/25/2009 | (1) | 850 | 937 |
PSEG Transition Funding LLC | 6.89% | 12/15/2017 | (1) | 19,800 | 22,874 |
Public Service New Hampshire Funding LLC | 5.73% | 11/1/2010 | (1) | 764 | 797 |
Residential Asset Securities Corp. | 7.15% | 7/25/2030 | (1) | 795 | 816 |
Residential Asset Securities Corp. | 6.489% | 10/25/2030 | (1) | 820 | 841 |
Salomon Brothers Mortgage Securities VII | 4.128% | 9/25/2033 | (1)(3) | 45,939 | 45,619 |
Toyota Auto Receivables Owner Trust | 2.65% | 11/15/2006 | (1) | 9,364 | 9,365 |
Toyota Auto Receivables Owner Trust | 4.00% | 7/15/2008 | (1) | 8,957 | 9,010 |
USAA Auto Owner Trust | 2.93% | 7/16/2007 | (1) | 3,200 | 3,189 |
23
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|---|
Wachovia Bank Commercial Mortgage Trust | 4.98% | 11/15/2034 | (1) | $ 900 | $ 915 |
Wachovia Bank Commercial Mortgage Trust | 4.867% | 2/15/2035 | (1) | 900 | 906 |
Washington Mutual Mortgage | |||||
Pass-Through Certificates | 5.502% | 4/26/2032 | (1)(3) | 4,107 | 4,148 |
WFS Financial Owner Trust | 4.50% | 2/20/2010 | (1) | 16,500 | 16,716 |
1,751,571 | |||||
Finance (8.2%) | |||||
Banking (3.4%) | |||||
Abbey National PLC | 7.95% | 10/26/2029 | 12,815 | 16,460 | |
ABN AMRO Bank NV | 7.55% | 6/28/2006 | 8,550 | 9,075 | |
Banc One Corp. | 7.625% | 10/15/2026 | 800 | 987 | |
Bank of America Corp. | 7.125% | 9/15/2006 | 3,900 | 4,155 | |
Bank of America Corp. | 5.25% | 2/1/2007 | 19,450 | 20,170 | |
Bank of America Corp. | 3.25% | 8/15/2008 | 19,200 | 18,863 | |
Bank of America Corp. | 3.375% | 2/17/2009 | 3,000 | 2,945 | |
Bank of America Corp. | 4.25% | 10/1/2010 | 5,900 | 5,901 | |
Bank of America Corp. | 4.375% | 12/1/2010 | 1,750 | 1,764 | |
Bank of America Corp. | 7.40% | 1/15/2011 | 11,835 | 13,789 | |
Bank of America Corp. | 6.25% | 4/15/2012 | 1,000 | 1,107 | |
Bank of America Corp. | 4.875% | 1/15/2013 | 1,340 | 1,364 | |
Bank of America Corp. | 4.75% | 8/15/2013 | 1,135 | 1,139 | |
Bank of America Corp. | 5.375% | 6/15/2014 | 1,900 | 1,984 | |
Bank of America Corp. | 5.25% | 12/1/2015 | 5,775 | 5,927 | |
Bank of New York Co., Inc. | 3.75% | 2/15/2008 | 10,345 | 10,372 | |
Bank of Tokyo-Mitsubishi | 8.40% | 4/15/2010 | 5,500 | 6,522 | |
Bank One Corp. | 6.50% | 2/1/2006 | 11,125 | 11,524 | |
Bank One Corp. | 6.875% | 8/1/2006 | 10,735 | 11,322 | |
Bank One Corp. | 6.00% | 8/1/2008 | 900 | 964 | |
Bank One Corp. | 6.00% | 2/17/2009 | 110 | 118 | |
Bank One Corp. | 7.875% | 8/1/2010 | 13,505 | 15,796 | |
Bank One Corp. | 5.90% | 11/15/2011 | 725 | 780 | |
Bank One NA (IL) | 5.50% | 3/26/2007 | 18,290 | 19,151 | |
Bank One NA (IL) | 3.70% | 1/15/2008 | 13,640 | 13,662 | |
Bank One Texas | 6.25% | 2/15/2008 | 2,100 | 2,251 | |
BankAmerica Capital II | 8.00% | 12/15/2026 | 500 | 554 | |
BankAmerica Corp. | 6.625% | 10/15/2007 | 7,500 | 8,040 | |
BankAmerica Corp. | 5.875% | 2/15/2009 | 3,325 | 3,569 | |
BankBoston NA | 6.375% | 4/15/2008 | 4,800 | 5,193 | |
BB&T Corp. | 6.50% | 8/1/2011 | 3,040 | 3,395 | |
BB&T Corp. | 4.75% | 10/1/2012 | 3,050 | 3,075 | |
BB&T Corp. | 5.20% | 12/23/2015 | 5,325 | 5,403 | |
BB&T Corp. | 5.25% | 11/1/2019 | 5,850 | 5,794 | |
BSCH Issuances Ltd. | 7.625% | 9/14/2010 | 12,375 | 14,402 | |
Citicorp Capital II | 8.015% | 2/15/2027 | 1,300 | 1,465 | |
Citicorp Lease Pass-Through Trust | 7.22% | 6/15/2005 | (1)(2) | 3,558 | 3,622 |
Citicorp Lease Pass-Through Trust | 8.04% | 12/15/2019 | (1)(2) | 18,025 | 22,214 |
Citigroup, Inc. | 6.75% | 12/1/2005 | 11,000 | 11,365 | |
Citigroup, Inc. | 5.75% | 5/10/2006 | 3,750 | 3,878 | |
Citigroup, Inc. | 5.50% | 8/9/2006 | 19,500 | 20,171 | |
Citigroup, Inc. | 6.20% | 3/15/2009 | 140 | 153 | |
Citigroup, Inc. | 4.25% | 7/29/2009 | 11,600 | 11,737 | |
Citigroup, Inc. | 6.50% | 1/18/2011 | 1,870 | 2,094 |
24
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | ||
---|---|---|---|---|---|
Citigroup, Inc. | 5.625% | 8/27/2012 | $ 8,240 | $ 8,815 | |
Citigroup, Inc. | 5.00% | 9/15/2014 | (2) | 14,733 | 14,795 |
Citigroup, Inc. | 6.625% | 6/15/2032 | 6,475 | 7,284 | |
Citigroup, Inc. | 5.875% | 2/22/2033 | 5,925 | 6,097 | |
Citigroup, Inc. | 6.00% | 10/31/2033 | 9,800 | 10,132 | |
Citigroup, Inc. | 5.85% | 12/11/2034 | 1,475 | 1,511 | |
CoreStates Capital Corp. | 8.00% | 12/15/2026 | (2) | 5,475 | 6,092 |
Deutsche Bank Financial LLC | 5.375% | 3/2/2015 | 5,600 | 5,777 | |
Fifth Third Bank | 4.50% | 6/1/2018 | 2,250 | 2,100 | |
First Tennessee Bank | 5.05% | 1/15/2015 | 1,875 | 1,871 | |
First Union Corp. | 7.50% | 4/15/2035 | 1,900 | 2,395 | |
First Union Institutional Capital I | 8.04% | 12/1/2026 | 1,900 | 2,123 | |
First Union National Bank | 7.875% | 2/15/2010 | 5,550 | 6,485 | |
First Union National Bank | 7.80% | 8/18/2010 | 8,725 | 10,246 | |
Fleet Boston Financial Corp. | 4.875% | 12/1/2006 | 21,800 | 22,402 | |
Fleet Boston Financial Corp. | 3.85% | 2/15/2008 | 3,550 | 3,568 | |
Fleet Capital Trust II | 7.92% | 12/11/2026 | 2,640 | 2,962 | |
Golden West Financial Corp. | 4.125% | 8/15/2007 | 10,650 | 10,800 | |
Golden West Financial Corp. | 4.75% | 10/1/2012 | 340 | 345 | |
GreenPoint Financial Corp. | 3.20% | 6/6/2008 | 340 | 332 | |
HSBC Bank PLC | 6.95% | 3/15/2011 | 11,500 | 13,125 | |
HSBC Bank USA | 5.875% | 11/1/2034 | 3,100 | 3,134 | |
HSBC Holdings PLC | 7.50% | 7/15/2009 | 3,240 | 3,688 | |
HSBC Holdings PLC | 5.25% | 12/12/2012 | 4,040 | 4,185 | |
J.P. Morgan Chase & Co. | 5.625% | 8/15/2006 | 4,100 | 4,250 | |
J.P. Morgan Chase & Co. | 5.25% | 5/30/2007 | 9,860 | 10,265 | |
J.P. Morgan Chase & Co. | 4.00% | 2/1/2008 | 4,350 | 4,392 | |
J.P. Morgan Chase & Co. | 3.625% | 5/1/2008 | 11,325 | 11,283 | |
J.P. Morgan Chase & Co. | 4.50% | 11/15/2010 | 2,840 | 2,867 | |
J.P. Morgan Chase & Co. | 6.75% | 2/1/2011 | 15 | 17 | |
J.P. Morgan Chase & Co. | 4.50% | 1/15/2012 | 3,000 | 2,964 | |
J.P. Morgan Chase & Co. | 6.625% | 3/15/2012 | 6,750 | 7,568 | |
J.P. Morgan Chase & Co. | 4.875% | 3/15/2014 | 4,050 | 4,032 | |
J.P. Morgan Chase & Co. | 5.125% | 9/15/2014 | 8,975 | 9,064 | |
J.P. Morgan Chase & Co. | 5.25% | 5/1/2015 | 7,050 | 7,126 | |
J.P. Morgan, Inc. | 6.875% | 1/15/2007 | 11,000 | 11,686 | |
J.P. Morgan, Inc. | 6.70% | 11/1/2007 | 600 | 649 | |
JPM Capital Trust II | 7.95% | 2/1/2027 | 1,100 | 1,226 | |
Key Bank NA | 5.00% | 7/17/2007 | 3,831 | 3,962 | |
Manufacturers & Traders Trust Co. | 8.00% | 10/1/2010 | 5,700 | 6,715 | |
Marshall & Ilsley Bank | 4.125% | 9/4/2007 | 11,145 | 11,305 | |
Marshall & Ilsley Corp. | 4.375% | 8/1/2009 | 3,275 | 3,320 | |
Mellon Bank NA | 7.375% | 5/15/2007 | 3,500 | 3,803 | |
Mellon Bank NA | 4.75% | 12/15/2014 | 3,650 | 3,620 | |
Mellon Capital II | 7.995% | 1/15/2027 | 6,150 | 6,939 | |
Mellon Funding Corp. | 4.875% | 6/15/2007 | 900 | 928 | |
Mellon Funding Corp. | 6.40% | 5/14/2011 | 450 | 499 | |
Mellon Funding Corp. | 5.00% | 12/1/2014 | 1,250 | 1,269 | |
National City Bank | 4.625% | 5/1/2013 | 1,000 | 990 | |
National City Corp. | 3.20% | 4/1/2008 | 4,300 | 4,232 | |
National City Corp. | 6.875% | 5/15/2019 | 1,400 | 1,621 | |
National Westminster Bank PLC | 7.375% | 10/1/2009 | 450 | 511 |
25
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
NationsBank Corp. | 6.50% | 3/15/2006 | $ 1,000 | $ 1,040 |
NationsBank Corp. | 7.50% | 9/15/2006 | 1,250 | 1,336 |
NationsBank Corp. | 6.375% | 2/15/2008 | 1,240 | 1,337 |
NationsBank Corp. | 7.25% | 10/15/2025 | 1,125 | 1,342 |
NB Capital Trust II | 7.83% | 12/15/2026 | 5,000 | 5,445 |
NB Capital Trust IV | 8.25% | 4/15/2027 | 3,400 | 3,823 |
PNC Bank NA | 5.25% | 1/15/2017 | 3,100 | 3,146 |
PNC Funding Corp. | 5.75% | 8/1/2006 | 8,150 | 8,449 |
PNC Funding Corp. | 5.25% | 11/15/2015 | 6,150 | 6,224 |
Popular North America, Inc. | 4.25% | 4/1/2008 | 1,000 | 1,010 |
Regions Financial Corp. | 7.00% | 3/1/2011 | 1,500 | 1,706 |
Regions Financial Corp. | 6.375% | 5/15/2012 | 10,500 | 11,629 |
Republic New York Corp. | 7.75% | 5/15/2009 | 4,300 | 4,931 |
Royal Bank of Scotland Group PLC | 5.00% | 11/12/2013 | 5,500 | 5,628 |
Royal Bank of Scotland Group PLC | 5.05% | 1/8/2015 | 5,900 | 5,962 |
Royal Bank of Scotland Group PLC | 7.648% | 8/29/2049 | 16,520 | 19,673 |
Salomon Smith Barney Holdings Inc. | 5.875% | 3/15/2006 | 25,075 | 25,888 |
Salomon Smith Barney Holdings Inc. | 6.50% | 2/15/2008 | 3,750 | 4,058 |
Sanwa Bank Ltd. | 8.35% | 7/15/2009 | 3,900 | 4,553 |
Sanwa Bank Ltd. | 7.40% | 6/15/2011 | 6,050 | 6,922 |
Southtrust Corp. | 5.80% | 6/15/2014 | 3,175 | 3,385 |
Sumitomo Mitsui Banking Corp. | 8.00% | 6/15/2012 | 3,765 | 4,490 |
SunTrust Banks, Inc. | 7.375% | 7/1/2006 | 3,500 | 3,733 |
SunTrust Banks, Inc. | 7.25% | 9/15/2006 | 450 | 479 |
SunTrust Banks, Inc. | 5.05% | 7/1/2007 | 60 | 62 |
SunTrust Banks, Inc. | 6.375% | 4/1/2011 | 6,500 | 7,229 |
SunTrust Banks, Inc. | 6.00% | 2/15/2026 | 4,500 | 4,810 |
SunTrust Capital II | 7.90% | 6/15/2027 | 1,885 | 2,113 |
Swiss Bank Corp. | 7.00% | 10/15/2015 | 3,400 | 4,000 |
Swiss Bank Corp. | 7.375% | 6/15/2017 | 4,250 | 5,144 |
Synovus Financial Corp. | 7.25% | 12/15/2005 | 12,275 | 12,744 |
The Chase Manhattan Corp. | 7.125% | 2/1/2007 | 7,469 | 8,042 |
The Chase Manhattan Corp. | 6.375% | 4/1/2008 | 75 | 81 |
The Chase Manhattan Corp. | 7.875% | 6/15/2010 | 450 | 525 |
UFJ Finance Aruba AEC | 6.75% | 7/15/2013 | 6,100 | 6,792 |
Union Planters Corp. | 7.75% | 3/1/2011 | 8,300 | 9,758 |
UnionBanCal Corp. | 5.25% | 12/16/2013 | 1,525 | 1,548 |
US Bancorp | 5.10% | 7/15/2007 | 695 | 722 |
US Bancorp | 3.125% | 3/15/2008 | 7,650 | 7,530 |
US Bancorp | 8.27% | 12/15/2026 | 3,370 | 3,754 |
US Bank NA | 2.85% | 11/15/2006 | 3,525 | 3,496 |
US Bank NA | 3.70% | 8/1/2007 | 4,225 | 4,245 |
US Bank NA | 6.50% | 2/1/2008 | 3,500 | 3,787 |
US Bank NA | 6.375% | 8/1/2011 | 6,650 | 7,419 |
US Bank NA | 6.30% | 2/4/2014 | 10,700 | 11,933 |
US Bank NA | 4.95% | 10/30/2014 | 3,750 | 3,780 |
Wachovia Bank NA | 4.85% | 7/30/2007 | 450 | 465 |
Wachovia Bank NA | 4.80% | 11/1/2014 | 4,250 | 4,225 |
Wachovia Bank NA | 5.00% | 8/15/2015 | 560 | 562 |
Wachovia Corp. | 4.95% | 11/1/2006 | 5,995 | 6,160 |
Wachovia Corp. | 6.25% | 8/4/2008 | 850 | 917 |
Wachovia Corp. | 5.25% | 8/1/2014 | 10,725 | 11,022 |
26
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Washington Mutual Bank | 6.875% | 6/15/2011 | $19,095 | $ 21,523 |
Washington Mutual Bank | 5.50% | 1/15/2013 | 6,000 | 6,215 |
Washington Mutual Bank | 5.65% | 8/15/2014 | 5,200 | 5,389 |
Washington Mutual Bank | 5.125% | 1/15/2015 | 2,950 | 2,934 |
Washington Mutual Capital I | 8.375% | 6/1/2027 | 1,975 | 2,234 |
Washington Mutual Finance Corp. | 6.25% | 5/15/2006 | 3,375 | 3,512 |
Washington Mutual, Inc. | 7.50% | 8/15/2006 | 900 | 958 |
Wells Fargo & Co. | 6.875% | 4/1/2006 | 5,700 | 5,956 |
Wells Fargo & Co. | 5.90% | 5/21/2006 | 5,000 | 5,188 |
Wells Fargo & Co. | 5.125% | 2/15/2007 | 8,570 | 8,884 |
Wells Fargo & Co. | 3.50% | 4/4/2008 | 5,375 | 5,331 |
Wells Fargo & Co. | 3.125% | 4/1/2009 | 4,400 | 4,269 |
Wells Fargo & Co. | 4.20% | 1/15/2010 | 11,650 | 11,705 |
Wells Fargo & Co. | 6.45% | 2/1/2011 | 8,975 | 9,994 |
Wells Fargo & Co. | 6.375% | 8/1/2011 | 1,000 | 1,115 |
Wells Fargo & Co. | 5.125% | 9/1/2012 | 4,650 | 4,826 |
Wells Fargo & Co. | 4.95% | 10/16/2013 | 15,050 | 15,259 |
Wells Fargo & Co. | 5.125% | 9/15/2016 | 150 | 151 |
World Savings Bank, FSB | 4.125% | 12/15/2009 | 6,150 | 6,153 |
Zions Bancorp | 6.00% | 9/15/2015 | 2,900 | 3,080 |
Brokerage (1.7%) | ||||
Bear Stearns Co., Inc. | 7.80% | 8/15/2007 | 4,700 | 5,188 |
Bear Stearns Co., Inc. | 4.00% | 1/31/2008 | 16,800 | 16,975 |
Bear Stearns Co., Inc. | 2.875% | 7/2/2008 | 1,650 | 1,596 |
Bear Stearns Co., Inc. | 5.70% | 11/15/2014 | 18,440 | 19,472 |
Bear Stearns Co., Inc. | 4.65% | 7/2/2018 | 1,000 | 938 |
Credit Suisse First Boston USA, Inc. | 5.75% | 4/15/2007 | 38,075 | 39,980 |
Credit Suisse First Boston USA, Inc. | 4.625% | 1/15/2008 | 985 | 1,014 |
Credit Suisse First Boston USA, Inc. | 3.875% | 1/15/2009 | 7,750 | 7,730 |
Credit Suisse First Boston USA, Inc. | 4.70% | 6/1/2009 | 1,600 | 1,640 |
Credit Suisse First Boston USA, Inc. | 4.125% | 1/15/2010 | 6,725 | 6,701 |
Credit Suisse First Boston USA, Inc. | 6.125% | 11/15/2011 | 7,550 | 8,284 |
Credit Suisse First Boston USA, Inc. | 6.50% | 1/15/2012 | 2,850 | 3,189 |
Credit Suisse First Boston USA, Inc. | 5.50% | 8/15/2013 | 5,000 | 5,243 |
Credit Suisse First Boston USA, Inc. | 5.125% | 1/15/2014 | 4,800 | 4,898 |
Credit Suisse First Boston USA, Inc. | 4.875% | 1/15/2015 | 6,925 | 6,876 |
Credit Suisse First Boston USA, Inc. | 7.125% | 7/15/2032 | 3,600 | 4,293 |
Dean Witter, Discover & Co. | 6.75% | 10/15/2013 | 800 | 904 |
Fidelity Investments | 7.49% | 6/15/2019(2) | 1,000 | 1,210 |
Goldman Sachs Group, Inc. | 4.125% | 1/15/2008 | 7,815 | 7,944 |
Goldman Sachs Group, Inc. | 3.875% | 1/15/2009 | 13,375 | 13,351 |
Goldman Sachs Group, Inc. | 6.65% | 5/15/2009 | 15,990 | 17,640 |
Goldman Sachs Group, Inc. | 6.60% | 1/15/2012 | 5,840 | 6,518 |
Goldman Sachs Group, Inc. | 5.70% | 9/1/2012 | 8,175 | 8,661 |
Goldman Sachs Group, Inc. | 5.25% | 4/1/2013 | 5,540 | 5,668 |
Goldman Sachs Group, Inc. | 4.75% | 7/15/2013 | 560 | 554 |
Goldman Sachs Group, Inc. | 5.25% | 10/15/2013 | 7,095 | 7,237 |
Goldman Sachs Group, Inc. | 5.15% | 1/15/2014 | 1,550 | 1,570 |
Goldman Sachs Group, Inc. | 5.00% | 10/1/2014 | 3,400 | 3,396 |
Goldman Sachs Group, Inc. | 5.50% | 11/15/2014 | 12,500 | 13,116 |
Goldman Sachs Group, Inc. | 6.125% | 2/15/2033 | 11,925 | 12,429 |
27
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Goldman Sachs Group, Inc. | 6.345% | 2/15/2034 | $13,100 | $ 13,594 |
Lehman Brothers Holdings, Inc. | 6.25% | 5/15/2006 | 34,405 | 35,806 |
Lehman Brothers Holdings, Inc. | 7.625% | 6/1/2006 | 5,000 | 5,298 |
Lehman Brothers Holdings, Inc. | 7.50% | 9/1/2006 | 5,000 | 5,331 |
Lehman Brothers Holdings, Inc. | 4.00% | 1/22/2008 | 2,225 | 2,244 |
Lehman Brothers Holdings, Inc. | 3.50% | 8/7/2008 | 690 | 683 |
Lehman Brothers Holdings, Inc. | 3.95% | 11/10/2009 | 600 | 594 |
Lehman Brothers Holdings, Inc. | 4.375% | 11/30/2010 | 1,900 | 1,904 |
Lehman Brothers Holdings, Inc. | 6.625% | 1/18/2012 | 4,125 | 4,616 |
Lehman Brothers Holdings, Inc. | 4.80% | 3/13/2014 | 9,725 | 9,643 |
Merrill Lynch & Co., Inc. | 6.15% | 1/26/2006 | 150 | 155 |
Merrill Lynch & Co., Inc. | 5.36% | 2/1/2007 | 4,600 | 4,778 |
Merrill Lynch & Co., Inc. | 3.375% | 9/14/2007 | 1,600 | 1,595 |
Merrill Lynch & Co., Inc. | 4.00% | 11/15/2007 | 17,165 | 17,352 |
Merrill Lynch & Co., Inc. | 3.70% | 4/21/2008 | 4,750 | 4,746 |
Merrill Lynch & Co., Inc. | 3.125% | 7/15/2008 | 4,750 | 4,638 |
Merrill Lynch & Co., Inc. | 6.375% | 10/15/2008 | 2,000 | 2,171 |
Merrill Lynch & Co., Inc. | 4.125% | 1/15/2009 | 9,250 | 9,288 |
Merrill Lynch & Co., Inc. | 6.00% | 2/17/2009 | 7,811 | 8,418 |
Merrill Lynch & Co., Inc. | 4.125% | 9/10/2009 | 6,075 | 6,072 |
Merrill Lynch & Co., Inc. | 5.00% | 2/3/2014 | 4,250 | 4,289 |
Merrill Lynch & Co., Inc. | 5.45% | 7/15/2014 | 4,950 | 5,123 |
Merrill Lynch & Co., Inc. | 5.00% | 1/15/2015 | 4,025 | 3,992 |
Merrill Lynch & Co., Inc. | 5.30% | 9/30/2015 | 3,300 | 3,353 |
Merrill Lynch & Co., Inc. | 6.875% | 11/15/2018 | 3,300 | 3,822 |
Morgan Stanley Dean Witter | 6.10% | 4/15/2006 | 13,300 | 13,793 |
Morgan Stanley Dean Witter | 6.875% | 3/1/2007 | 1,700 | 1,820 |
Morgan Stanley Dean Witter | 5.80% | 4/1/2007 | 52,000 | 54,580 |
Morgan Stanley Dean Witter | 3.625% | 4/1/2008 | 1,970 | 1,963 |
Morgan Stanley Dean Witter | 3.875% | 1/15/2009 | 3,225 | 3,211 |
Morgan Stanley Dean Witter | 4.25% | 5/15/2010 | 80 | 80 |
Morgan Stanley Dean Witter | 6.75% | 4/15/2011 | 4,990 | 5,620 |
Morgan Stanley Dean Witter | 6.60% | 4/1/2012 | 7,120 | 7,981 |
Morgan Stanley Dean Witter | 5.30% | 3/1/2013 | 400 | 414 |
Morgan Stanley Dean Witter | 4.75% | 4/1/2014 | 16,250 | 15,946 |
Morgan Stanley Dean Witter | 7.25% | 4/1/2032 | 6,715 | 8,159 |
Finance Companies (1.9%) | ||||
American Express Centurion Bank | 4.375% | 7/30/2009 | 2,950 | 3,001 |
American Express Co. | 3.75% | 11/20/2007 | 9,025 | 9,066 |
American Express Co. | 4.75% | 6/17/2009 | 2,375 | 2,452 |
American Express Co. | 4.875% | 7/15/2013 | 1,500 | 1,522 |
American Express Credit Corp. | 3.00% | 5/16/2008 | 7,950 | 7,778 |
American General Finance Corp. | 5.875% | 7/14/2006 | 2,500 | 2,593 |
American General Finance Corp. | 3.00% | 11/15/2006 | 7,100 | 7,038 |
American General Finance Corp. | 5.75% | 3/15/2007 | 9,000 | 9,394 |
American General Finance Corp. | 3.875% | 10/1/2009 | 4,150 | 4,085 |
American General Finance Corp. | 4.00% | 3/15/2011 | 1,000 | 971 |
American General Finance Corp. | 5.375% | 10/1/2012 | 5,350 | 5,545 |
Capital One Bank | 6.875% | 2/1/2006 | 11,075 | 11,501 |
Capital One Bank | 4.875% | 5/15/2008 | 2,450 | 2,520 |
Capital One Bank | 4.25% | 12/1/2008 | 1,850 | 1,861 |
28
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Capital One Bank | 5.125% | 2/15/2014 | $ 3,000 | $ 3,009 |
CIT Group, Inc. | 6.50% | 2/7/2006 | 25 | 26 |
CIT Group, Inc. | 4.125% | 2/21/2006 | 15,250 | 15,409 |
CIT Group, Inc. | 2.875% | 9/29/2006 | 1,300 | 1,287 |
CIT Group, Inc. | 7.375% | 4/2/2007 | 8,750 | 9,460 |
CIT Group, Inc. | 5.75% | 9/25/2007 | 2,200 | 2,314 |
CIT Group, Inc. | 3.65% | 11/23/2007 | 1,800 | 1,792 |
CIT Group, Inc. | 4.00% | 5/8/2008 | 6,450 | 6,465 |
CIT Group, Inc. | 4.125% | 11/3/2009 | 950 | 940 |
CIT Group, Inc. | 4.75% | 12/15/2010 | 1,200 | 1,219 |
CIT Group, Inc. | 7.75% | 4/2/2012 | 7,200 | 8,518 |
CIT Group, Inc. | 5.00% | 2/13/2014 | 2,525 | 2,517 |
CIT Group, Inc. | 5.125% | 9/30/2014 | 2,200 | 2,203 |
Countrywide Home Loan | 5.50% | 8/1/2006 | 23,590 | 24,329 |
Countrywide Home Loan | 5.50% | 2/1/2007 | 400 | 415 |
Countrywide Home Loan | 2.875% | 2/15/2007 | 2,175 | 2,141 |
Countrywide Home Loan | 5.625% | 5/15/2007 | 1,345 | 1,404 |
Countrywide Home Loan | 3.25% | 5/21/2008 | 3,275 | 3,202 |
Countrywide Home Loan | 6.25% | 4/15/2009 | 1,500 | 1,619 |
Countrywide Home Loan | 5.625% | 7/15/2009 | 340 | 360 |
Countrywide Home Loan | 4.125% | 9/15/2009 | 7,025 | 6,998 |
Countrywide Home Loan | 4.00% | 3/22/2011 | 3,575 | 3,467 |
General Electric Capital Corp. | 2.80% | 1/15/2007 | 10,900 | 10,770 |
General Electric Capital Corp. | 5.375% | 3/15/2007 | 51,650 | 53,694 |
General Electric Capital Corp. | 5.00% | 6/15/2007 | 13,800 | 14,267 |
General Electric Capital Corp. | 4.25% | 1/15/2008 | 6,200 | 6,303 |
General Electric Capital Corp. | 3.50% | 5/1/2008 | 7,770 | 7,712 |
General Electric Capital Corp. | 4.625% | 9/15/2009 | 19,600 | 20,090 |
General Electric Capital Corp. | 8.30% | 9/20/2009 | 275 | 324 |
General Electric Capital Corp. | 7.375% | 1/19/2010 | 800 | 916 |
General Electric Capital Corp. | 6.125% | 2/22/2011 | 11,685 | 12,789 |
General Electric Capital Corp. | 4.375% | 11/21/2011 | 2,425 | 2,413 |
General Electric Capital Corp. | 5.875% | 2/15/2012 | 90 | 97 |
General Electric Capital Corp. | 5.45% | 1/15/2013 | 1,270 | 1,341 |
General Electric Capital Corp. | 4.75% | 9/15/2014 | 12,025 | 11,984 |
General Electric Capital Corp. | 6.75% | 3/15/2032 | 37,410 | 43,686 |
Household Finance Corp. | 6.50% | 1/24/2006 | 26,750 | 27,660 |
Household Finance Corp. | 7.20% | 7/15/2006 | 8,500 | 8,992 |
Household Finance Corp. | 5.75% | 1/30/2007 | 95 | 99 |
Household Finance Corp. | 4.625% | 1/15/2008 | 13,070 | 13,385 |
Household Finance Corp. | 6.40% | 6/17/2008 | 6,250 | 6,755 |
Household Finance Corp. | 4.125% | 12/15/2008 | 1,500 | 1,506 |
Household Finance Corp. | 5.875% | 2/1/2009 | 370 | 395 |
Household Finance Corp. | 4.75% | 5/15/2009 | 1,000 | 1,025 |
Household Finance Corp. | 4.125% | 11/16/2009 | 7,350 | 7,305 |
Household Finance Corp. | 6.375% | 10/15/2011 | 15,000 | 16,530 |
Household Finance Corp. | 7.00% | 5/15/2012 | 13,475 | 15,371 |
Household Finance Corp. | 6.375% | 11/27/2012 | 440 | 487 |
Household Finance Corp. | 7.625% | 5/17/2032 (2) | 1,250 | 1,572 |
Household Finance Corp. | 7.35% | 11/27/2032 (2) | 2,640 | 3,170 |
HSBC Finance Corp. | 6.75% | 5/15/2011 | 6,450 | 7,277 |
International Lease Finance Corp. | 3.125% | 5/3/2007 | 3,750 | 3,704 |
29
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
International Lease Finance Corp. | 5.625% | 6/1/2007 | $21,025 | $ 21,941 |
International Lease Finance Corp. | 4.50% | 5/1/2008 | 1,625 | 1,653 |
International Lease Finance Corp. | 6.375% | 3/15/2009 | 900 | 972 |
International Lease Finance Corp. | 5.875% | 5/1/2013 | 155 | 164 |
MBNA America Bank NA | 5.375% | 1/15/2008 | 4,540 | 4,735 |
MBNA America Bank NA | 4.625% | 8/3/2009 | 3,200 | 3,259 |
MBNA America Bank NA | 6.625% | 6/15/2012 | 15 | 17 |
MBNA Corp. | 7.50% | 3/15/2012 | 3,970 | 4,603 |
MBNA Corp. | 5.00% | 6/15/2015 | 800 | 784 |
SLM Corp. | 3.625% | 3/17/2008 | 4,545 | 4,515 |
SLM Corp. | 4.00% | 1/15/2009 | 1,590 | 1,585 |
SLM Corp. | 5.00% | 10/1/2013 | 500 | 504 |
SLM Corp. | 5.05% | 11/14/2014 | 2,700 | 2,718 |
SLM Corp. | 5.625% | 8/1/2033 | 6,950 | 6,870 |
USA Education, Inc. | 5.625% | 4/10/2007 | 30,150 | 31,415 |
Wells Fargo Financial | 5.50% | 8/1/2012 | 4,275 | 4,531 |
Insurance (0.7%) | ||||
ACE Capital Trust II | 9.70% | 4/1/2030 | 1,100 | 1,463 |
ACE Ltd. | 6.00% | 4/1/2007 | 6,125 | 6,395 |
AEGON NV | 4.75% | 6/1/2013 | 3,000 | 2,970 |
Aetna, Inc. | 6.97% | 8/15/2036 | 900 | 1,025 |
Allstate Corp. | 5.375% | 12/1/2006 | 5,100 | 5,283 |
Allstate Corp. | 7.20% | 12/1/2009 | 13,665 | 15,488 |
Allstate Corp. | 5.00% | 8/15/2014 | 950 | 955 |
Allstate Corp. | 6.125% | 12/15/2032 | 3,400 | 3,578 |
Allstate Corp. | 5.35% | 6/1/2033 | 220 | 207 |
American General Capital II | 8.50% | 7/1/2030 | 8,090 | 10,929 |
American International Group, Inc. | 2.85% | 12/1/2005 | 1,700 | 1,695 |
American International Group, Inc. | 2.875% | 5/15/2008 (3) | 3,450 | 3,343 |
Aon Capital Trust | 8.205% | 1/1/2027 | 1,050 | 1,114 |
Arch Capital Group Ltd. | 7.35% | 5/1/2034 | 3,900 | 4,105 |
Aspen Insurance Holdings Ltd. | 6.00% | 8/15/2014 (2) | 3,400 | 3,431 |
Assurant, Inc. | 5.625% | 2/15/2014 | 1,900 | 1,960 |
Assurant, Inc. | 6.75% | 2/15/2034 | 3,200 | 3,469 |
AXA Financial, Inc. | 7.75% | 8/1/2010 | 1,400 | 1,619 |
AXA SA | 8.60% | 12/15/2030 | 7,525 | 9,891 |
Axis Capital Holdings | 5.75% | 12/1/2014 | 2,775 | 2,759 |
Cincinnati Financial Corp. | 6.125% | 11/1/2034 (2) | 3,450 | 3,467 |
CNA Financial Corp. | 5.85% | 12/15/2014 | 4,625 | 4,589 |
Commerce Group, Inc. | 5.95% | 12/9/2013 | 1,800 | 1,834 |
Equitable Cos., Inc. | 6.50% | 4/1/2008 | 115 | 124 |
Fidelity National Financial, Inc. | 7.30% | 8/15/2011 | 9,175 | 10,040 |
Fund American Cos., Inc. | 5.875% | 5/15/2013 | 2,175 | 2,212 |
GE Global Insurance Holdings Corp. | 6.45% | 3/1/2019 | 2,000 | 2,121 |
GE Global Insurance Holdings Corp. | 7.00% | 2/15/2026 | 4,000 | 4,311 |
GE Global Insurance Holdings Corp. | 7.75% | 6/15/2030 | 1,800 | 2,109 |
Genworth Financial, Inc. | 4.75% | 6/15/2009 | 2,900 | 2,974 |
Genworth Financial, Inc. | 5.75% | 6/15/2014 | 2,375 | 2,492 |
Genworth Financial, Inc. | 6.50% | 6/15/2034 | 3,900 | 4,285 |
Hartford Financial Services Group, Inc. | 4.625% | 7/15/2013 | 2,400 | 2,328 |
30
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Hartford Life, Inc. | 7.375% | 3/1/2031 | $ 5,100 | $ 6,075 |
Lincoln National Corp. | 5.25% | 6/15/2007 | 340 | 353 |
Lincoln National Corp. | 6.20% | 12/15/2011 | 575 | 625 |
Loews Corp. | 5.25% | 3/15/2016 | 1,500 | 1,468 |
Marsh & McLennan Cos., Inc. | 5.375% | 3/15/2007 | 900 | 917 |
Marsh & McLennan Cos., Inc. | 6.25% | 3/15/2012 | 6,850 | 7,162 |
MetLife, Inc. | 5.25% | 12/1/2006 | 6,225 | 6,432 |
MetLife, Inc. | 5.375% | 12/15/2012 | 2,800 | 2,897 |
MetLife, Inc. | 5.00% | 11/24/2013 | 5,000 | 5,027 |
MetLife, Inc. | 5.50% | 6/15/2014 | 850 | 880 |
MetLife, Inc. | 6.50% | 12/15/2032 | 1,500 | 1,638 |
MetLife, Inc. | 6.375% | 6/15/2034 | 3,375 | 3,634 |
Monumental Global Funding II | 6.05% | 1/19/2006 (2) | 7,225 | 7,444 |
Nationwide Life Global Funding | 5.35% | 2/15/2007 (2) | 8,025 | 8,285 |
Principal Life Inc. Funding | 5.10% | 4/15/2014 | 4,975 | 5,039 |
Progressive Corp. | 6.625% | 3/1/2029 | 4,800 | 5,326 |
Protective Life Secured Trust | 3.70% | 11/24/2008 | 7,550 | 7,473 |
Prudential Financial, Inc. | 4.50% | 7/15/2013 | 3,325 | 3,214 |
Prudential Financial, Inc. | 4.75% | 4/1/2014 | 2,500 | 2,441 |
Prudential Financial, Inc. | 5.10% | 9/20/2014 | 2,975 | 2,981 |
Prudential Financial, Inc. | 5.75% | 7/15/2033 | 2,125 | 2,114 |
St. Paul Cos., Inc. | 5.75% | 3/15/2007 | 4,450 | 4,643 |
Travelers Property Casualty Corp. | 3.75% | 3/15/2008 | 3,925 | 3,893 |
XL Capital Ltd. | 5.25% | 9/15/2014 | 6,025 | 5,991 |
XL Capital Ltd. | 6.375% | 11/15/2024 | 3,850 | 3,949 |
Real Estate Investment Trusts (0.4%) | ||||
Boston Properties, Inc. | 6.25% | 1/15/2013 | 1,590 | 1,728 |
Boston Properties, Inc. | 5.625% | 4/15/2015 | 3,950 | 4,090 |
Brandywine Realty Trust | 4.50% | 11/1/2009 | 4,300 | 4,269 |
Brandywine Realty Trust | 5.40% | 11/1/2014 | 2,675 | 2,680 |
EOP Operating LP | 8.375% | 3/15/2006 | 3,059 | 3,238 |
EOP Operating LP | 7.75% | 11/15/2007 | 5,450 | 6,020 |
EOP Operating LP | 6.75% | 2/15/2008 | 2,100 | 2,259 |
EOP Operating LP | 8.10% | 8/1/2010 | 1,000 | 1,171 |
EOP Operating LP | 4.65% | 10/1/2010 | 6,825 | 6,853 |
EOP Operating LP | 7.00% | 7/15/2011 | 1,250 | 1,409 |
EOP Operating LP | 6.75% | 2/15/2012 | 6,935 | 7,717 |
EOP Operating LP | 5.875% | 1/15/2013 | 1,690 | 1,790 |
EOP Operating LP | 4.75% | 3/15/2014 | 2,650 | 2,565 |
EOP Operating LP | 7.875% | 7/15/2031 | 1,300 | 1,567 |
ERP Operating LP | 6.625% | 3/15/2012 | 8,400 | 9,337 |
Health Care Property Investment, Inc. | 6.45% | 6/25/2012 | 10,625 | 11,594 |
HRPT Properties Trust | 6.25% | 8/15/2016 | 1,700 | 1,788 |
ProLogis | 5.50% | 3/1/2013 | 2,650 | 2,730 |
Regency Centers LP | 6.75% | 1/15/2012 | 7,875 | 8,706 |
Simon Property Group Inc. | 6.375% | 11/15/2007 | 18,700 | 19,980 |
Simon Property Group Inc. | 4.875% | 8/15/2010 (2) | 1,425 | 1,450 |
Simon Property Group Inc. | 6.35% | 8/28/2012 | 55 | 60 |
Vornado Realty | 5.625% | 6/15/2007 | 3,550 | 3,694 |
31
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Other (0.1%) | ||||
Berkshire Hathaway Finance Corp. | 3.40% | 7/2/2007 (2) | $ 1,925 | $ 1,924 |
Berkshire Hathaway Finance Corp. | 3.375% | 10/15/2008 | 3,065 | 3,038 |
Berkshire Hathaway Finance Corp. | 4.20% | 12/15/2010 | 4,300 | 4,330 |
Berkshire Hathaway Finance Corp. | 4.625% | 10/15/2013 | 2,175 | 2,177 |
Berkshire Hathaway Finance Corp. | 5.10% | 7/15/2014 (2) | 575 | 588 |
J. Paul Getty Trust | 5.875% | 10/1/2033 | 2,800 | 2,910 |
2,409,034 | ||||
Industrial (11.1%) | ||||
Basic Industry (0.7%) | ||||
Alcan, Inc. | 4.50% | 5/15/2013 | 5,400 | 5,299 |
Alcan, Inc. | 5.20% | 1/15/2014 | 875 | 894 |
Alcan, Inc. | 6.125% | 12/15/2033 | 1,500 | 1,586 |
Alcoa, Inc. | 4.25% | 8/15/2007 | 30,625 | 31,159 |
Aluminum Co. of America | 6.75% | 1/15/2028 | 500 | 578 |
Barrick Gold Finance Inc. | 4.875% | 11/15/2014 | 3,425 | 3,412 |
BHP Billington Finance BV | 4.80% | 4/15/2013 | 10,490 | 10,615 |
Celulosa Arauco Constitution SA | 8.625% | 8/15/2010 | 7,550 | 8,920 |
Chevron Philips Chemical Co. | 5.375% | 6/15/2007 | 2,000 | 2,068 |
Domtar, Inc. | 7.875% | 10/15/2011 | 1,750 | 2,012 |
Dow Chemical Co. | 6.125% | 2/1/2011 | 9,725 | 10,604 |
Dow Chemical Co. | 7.375% | 11/1/2029 | 5,900 | 7,179 |
E.I. du Pont de Nemours & Co. | 3.375% | 11/15/2007 | 220 | 219 |
E.I. du Pont de Nemours & Co. | 6.875% | 10/15/2009 | 7,300 | 8,199 |
E.I. du Pont de Nemours & Co. | 4.125% | 4/30/2010 | 3,550 | 3,574 |
E.I. du Pont de Nemours & Co. | 4.75% | 11/15/2012 | 670 | 684 |
E.I. du Pont de Nemours & Co. | 4.875% | 4/30/2014 | 2,875 | 2,935 |
E.I. du Pont de Nemours & Co. | 6.50% | 1/15/2028 | 1,500 | 1,727 |
Eastman Chemical Co. | 7.25% | 1/15/2024 | 600 | 678 |
Eastman Chemical Co. | 7.60% | 2/1/2027 | 2,838 | 3,359 |
Falconbridge Ltd. | 7.35% | 6/5/2012 | 900 | 1,019 |
Falconbridge Ltd. | 5.375% | 6/1/2015 | 450 | 452 |
ICI Wilmington | 4.375% | 12/1/2008 | 4,125 | 4,141 |
ICI Wilmington | 5.625% | 12/1/2013 | 900 | 932 |
Inco Ltd. | 7.75% | 5/15/2012 | 10 | 12 |
Inco Ltd. | 5.70% | 10/15/2015 | 750 | 779 |
Inco Ltd. | 7.20% | 9/15/2032 | 1,500 | 1,770 |
International Paper Co. | 4.25% | 1/15/2009 | 3,525 | 3,540 |
International Paper Co. | 6.75% | 9/1/2011 | 500 | 560 |
International Paper Co. | 5.85% | 10/30/2012 (3) | 6,795 | 7,231 |
International Paper Co. | 5.30% | 4/1/2015 | 2,200 | 2,222 |
MeadWestvaco Corp. | 6.85% | 4/1/2012 | 40 | 45 |
Noranda, Inc. | 7.25% | 7/15/2012 | 2,725 | 3,101 |
Placer Dome, Inc. | 6.45% | 10/15/2035 | 2,650 | 2,825 |
Potash Corp. of Saskatchewan | 7.75% | 5/31/2011 | 11,600 | 13,701 |
Potash Corp. of Saskatchewan | 4.875% | 3/1/2013 | 1,500 | 1,500 |
Praxair, Inc. | 6.90% | 11/1/2006 | 14,525 | 15,427 |
Praxair, Inc. | 2.75% | 6/15/2008 | 1,700 | 1,638 |
Praxair, Inc. | 3.95% | 6/1/2013 | 1,200 | 1,146 |
Rio Tinto Finance USA Ltd. | 2.625% | 9/30/2008 | 4,000 | 3,832 |
Rohm & Haas Co. | 7.40% | 7/15/2009 | 495 | 561 |
Rohm & Haas Co. | 9.80% | 4/15/2020 (1) | 3,236 | 4,203 |
32
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Rohm & Haas Co. | 7.85% | 7/15/2029 | $ 2,900 | $ 3,756 |
Westvaco Corp. | 8.20% | 1/15/2030 | 1,050 | 1,305 |
Weyerhaeuser Co. | 6.00% | 8/1/2006 | 450 | 468 |
Weyerhaeuser Co. | 6.125% | 3/15/2007 | 4,408 | 4,650 |
Weyerhaeuser Co. | 6.75% | 3/15/2012 | 7,295 | 8,211 |
Weyerhaeuser Co. | 7.375% | 3/15/2032 | 9,455 | 11,176 |
Capital Goods (1.2%) | ||||
BAE Systems | 7.156% | 12/15/2011 (1)(2) | 3,604 | 3,928 |
Boeing Capital Corp. | 5.75% | 2/15/2007 | 2,545 | 2,660 |
Boeing Capital Corp. | 6.50% | 2/15/2012 | 13,025 | 14,600 |
Boeing Capital Corp. | 5.80% | 1/15/2013 | 4,090 | 4,409 |
Caterpillar Financial Services Corp. | 5.95% | 5/1/2006 | 3,000 | 3,108 |
Caterpillar Financial Services Corp. | 2.70% | 7/15/2008 | 1,850 | 1,785 |
Caterpillar, Inc. | 7.30% | 5/1/2031 | 1,250 | 1,574 |
Caterpillar, Inc. | 6.95% | 5/1/2042 | 1,275 | 1,548 |
Caterpillar, Inc. | 7.375% | 3/1/2097 | 6,675 | 8,229 |
CRH America Inc. | 6.95% | 3/15/2012 | 6,810 | 7,770 |
CRH America Inc. | 6.40% | 10/15/2033 | 2,820 | 3,056 |
Deere & Co. | 6.95% | 4/25/2014 | 7,550 | 8,791 |
Deere & Co. | 8.10% | 5/15/2030 | 4,930 | 6,649 |
Emerson Electric Co. | 7.125% | 8/15/2010 | 4,350 | 4,978 |
Emerson Electric Co. | 4.625% | 10/15/2012 | 5,700 | 5,733 |
Emerson Electric Co. | 5.00% | 12/15/2014 | 5,300 | 5,381 |
General Dynamics Corp. | 2.125% | 5/15/2006 | 3,500 | 3,453 |
General Dynamics Corp. | 3.00% | 5/15/2008 | 6,450 | 6,298 |
General Dynamics Corp. | 4.50% | 8/15/2010 | 25 | 25 |
General Dynamics Corp. | 4.25% | 5/15/2013 | 4,290 | 4,200 |
General Dynamics Corp. | 5.375% | 8/15/2015 | 1,250 | 1,315 |
General Electric Co. | 5.00% | 2/1/2013 | 18,940 | 19,427 |
Goodrich Corp. | 7.625% | 12/15/2012 | 25 | 30 |
Hanson PLC | 7.875% | 9/27/2010 | 1,000 | 1,167 |
Hanson PLC | 5.25% | 3/15/2013 | 4,700 | 4,739 |
Honeywell International, Inc. | 5.125% | 11/1/2006 | 1,500 | 1,546 |
Honeywell International, Inc. | 7.50% | 3/1/2010 | 500 | 577 |
Honeywell International, Inc. | 6.125% | 11/1/2011 | 2,500 | 2,740 |
Ingersoll-Rand Co. | 6.25% | 5/15/2006 | 9,575 | 9,944 |
John Deere Capital Corp. | 3.90% | 1/15/2008 | 2,750 | 2,769 |
John Deere Capital Corp. | 7.00% | 3/15/2012 | 10,400 | 12,007 |
Lockheed Martin Corp. | 7.65% | 5/1/2016 | 4,575 | 5,580 |
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 600 | 737 |
Lockheed Martin Corp. | 8.50% | 12/1/2029 | 12,075 | 16,427 |
Masco Corp. | 6.75% | 3/15/2006 | 14,000 | 14,571 |
Masco Corp. | 4.625% | 8/15/2007 | 670 | 686 |
Masco Corp. | 5.875% | 7/15/2012 | 60 | 65 |
Masco Corp. | 7.75% | 8/1/2029 | 450 | 561 |
Masco Corp. | 6.50% | 8/15/2032 | 1,300 | 1,415 |
Northrop Grumman Corp. | 7.125% | 2/15/2011 | 5,000 | 5,708 |
Northrop Grumman Corp. | 7.875% | 3/1/2026 | 2,600 | 3,261 |
Northrop Grumman Corp. | 7.75% | 2/15/2031 | 3,265 | 4,128 |
Raytheon Co. | 4.50% | 11/15/2007 | 1,064 | 1,086 |
Raytheon Co. | 6.15% | 11/1/2008 | 1,186 | 1,274 |
33
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Raytheon Co. | 8.30% | 3/1/2010 | $ 4,585 | $ 5,431 |
Raytheon Co. | 5.50% | 11/15/2012 | 3,000 | 3,163 |
Raytheon Co. | 5.375% | 4/1/2013 | 6,740 | 7,027 |
Raytheon Co. | 7.20% | 8/15/2027 | 5,500 | 6,426 |
Republic Services, Inc. | 7.125% | 5/15/2009 | 2,225 | 2,481 |
Republic Services, Inc. | 6.75% | 8/15/2011 | 1,000 | 1,126 |
Textron Financial Corp. | 5.875% | 6/1/2007 | 2,200 | 2,316 |
Textron, Inc. | 6.50% | 6/1/2012 | 8,925 | 9,829 |
The Boeing Co. | 8.75% | 8/15/2021 | 1,700 | 2,293 |
The Boeing Co. | 8.75% | 9/15/2031 | 1,050 | 1,468 |
The Boeing Co. | 6.625% | 2/15/2038 | 5,045 | 5,608 |
TRW, Inc. | 7.75% | 6/1/2029 | 2,800 | 3,421 |
Tyco International Group SA | 6.375% | 2/15/2006 | 3,560 | 3,675 |
Tyco International Group SA | 5.80% | 8/1/2006 | 1,600 | 1,659 |
Tyco International Group SA | 6.75% | 2/15/2011 | 9,450 | 10,594 |
Tyco International Group SA | 6.375% | 10/15/2011 | 7,525 | 8,302 |
Tyco International Group SA | 6.00% | 11/15/2013 | 1,825 | 1,978 |
Tyco International Group SA | 7.00% | 6/15/2028 | 5,475 | 6,336 |
Tyco International Group SA | 6.875% | 1/15/2029 | 2,125 | 2,432 |
United Technologies Corp. | 4.875% | 11/1/2006 | 8,560 | 8,788 |
United Technologies Corp. | 6.35% | 3/1/2011 | 1,000 | 1,112 |
United Technologies Corp. | 8.875% | 11/15/2019 | 4,000 | 5,420 |
United Technologies Corp. | 6.70% | 8/1/2028 | 1,642 | 1,887 |
United Technologies Corp. | 7.50% | 9/15/2029 | 2,875 | 3,629 |
USA Waste Services, Inc. | 7.125% | 10/1/2007 | 250 | 271 |
USA Waste Services, Inc. | 7.00% | 7/15/2028 | 1,525 | 1,714 |
Waste Management, Inc. | 6.50% | 11/15/2008 | 12,225 | 13,266 |
Waste Management, Inc. | 6.875% | 5/15/2009 | 2,370 | 2,607 |
Waste Management, Inc. | 7.375% | 8/1/2010 | 2,250 | 2,566 |
Waste Management, Inc. | 5.00% | 3/15/2014 | 1,700 | 1,703 |
Waste Management, Inc. | 7.75% | 5/15/2032 | 4,900 | 6,032 |
WMX Technologies Inc. | 7.10% | 8/1/2026 | 1,375 | 1,557 |
Communication (2.8%) | ||||
360 Communications Co. | 7.50% | 3/1/2006 | 450 | 472 |
America Movil SA de C.V | 4.125% | 3/1/2009 | 5,550 | 5,456 |
America Movil SA de C.V | 5.50% | 3/1/2014 | 2,675 | 2,630 |
America Movil SA de C.V | 5.75% | 1/15/2015 (2) | 4,025 | 3,993 |
AT&T Wireless Services, Inc. | 7.35% | 3/1/2006 | 1,250 | 1,308 |
AT&T Wireless Services, Inc. | 7.875% | 3/1/2011 | 14,830 | 17,455 |
AT&T Wireless Services, Inc. | 8.125% | 5/1/2012 | 12,255 | 14,792 |
AT&T Wireless Services, Inc. | 8.75% | 3/1/2031 | 7,430 | 10,002 |
BellSouth Capital Funding | 7.875% | 2/15/2030 | 16,900 | 20,965 |
BellSouth Corp. | 5.00% | 10/15/2006 | 3,884 | 3,990 |
BellSouth Corp. | 4.20% | 9/15/2009 | 4,875 | 4,892 |
BellSouth Corp. | 6.00% | 10/15/2011 | 120 | 131 |
BellSouth Corp. | 4.75% | 11/15/2012 | 5,925 | 5,974 |
BellSouth Corp. | 5.20% | 9/15/2014 | 4,150 | 4,224 |
BellSouth Corp. | 6.875% | 10/15/2031 | 3,820 | 4,331 |
BellSouth Corp. | 6.55% | 6/15/2034 | 4,550 | 4,976 |
BellSouth Corp. | 6.00% | 11/15/2034 | 5,300 | 5,383 |
Belo Corp. | 7.25% | 9/15/2027 | 340 | 374 |
34
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
British Sky Broadcasting Corp. | 7.30% | 10/15/2006 | $ 1,725 | $ 1,831 |
British Sky Broadcasting Corp. | 6.875% | 2/23/2009 | 1,725 | 1,894 |
British Sky Broadcasting Corp. | 8.20% | 7/15/2009 | 1,725 | 1,992 |
British Telecommunications PLC | 7.875% | 12/15/2005 (3) | 25,200 | 26,278 |
British Telecommunications PLC | 8.375% | 12/15/2010 (3) | 785 | 939 |
British Telecommunications PLC | 8.875% | 12/15/2030 (3) | 7,510 | 10,016 |
Century Tel Enterprises | 6.875% | 1/15/2028 | 1,000 | 1,060 |
CnturyTel, Inc. | 7.875% | 8/15/2012 | 2,600 | 3,055 |
Cingular Wireless | 5.625% | 12/15/2006 | 5,000 | 5,197 |
Cingular Wireless | 7.125% | 12/15/2031 | 1,820 | 2,071 |
Clear Channel Communications, Inc. | 4.625% | 1/15/2008 | 3,200 | 3,251 |
Clear Channel Communications, Inc. | 7.65% | 9/15/2010 | 1,245 | 1,417 |
Clear Channel Communications, Inc. | 5.00% | 3/15/2012 | 17,350 | 17,169 |
Clear Channel Communications, Inc. | 5.75% | 1/15/2013 | 3,200 | 3,303 |
Clear Channel Communications, Inc. | 5.50% | 9/15/2014 | 2,850 | 2,862 |
Clear Channel Communications, Inc. | 7.25% | 10/15/2027 | 1,300 | 1,466 |
Comcast Cable Communications Holdings Inc. | 8.375% | 3/15/2013 | 915 | 1,129 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/2022 | 3,661 | 5,072 |
Comcast Cable Communications, Inc. | 6.375% | 1/30/2006 | 14,450 | 14,914 |
Comcast Cable Communications, Inc. | 8.375% | 5/1/2007 | 3,000 | 3,318 |
Comcast Cable Communications, Inc. | 6.75% | 1/30/2011 | 4,115 | 4,613 |
Comcast Cable Communications, Inc. | 8.875% | 5/1/2017 | 2,600 | 3,379 |
Comcast Corp. | 5.30% | 1/15/2014 | 3,100 | 3,184 |
Comcast Corp. | 6.50% | 1/15/2015 | 3,990 | 4,423 |
Comcast Corp. | 7.05% | 3/15/2033 | 1,240 | 1,420 |
Cox Communications, Inc. | 3.875% | 10/1/2008 | 1,250 | 1,233 |
Cox Communications, Inc. | 4.625% | 1/15/2010 (2) | 6,100 | 6,081 |
Cox Communications, Inc. | 7.75% | 11/1/2010 | 6,650 | 7,604 |
Cox Communications, Inc. | 7.125% | 10/1/2012 | 6,000 | 6,714 |
Cox Communications, Inc. | 5.45% | 12/15/2014 (2) | 7,050 | 7,053 |
Deutsche Telekom International Finance | 3.875% | 7/22/2008 | 4,025 | 4,020 |
Deutsche Telekom International Finance | 8.50% | 6/15/2010 (3) | 14,435 | 17,184 |
Deutsche Telekom International Finance | 5.25% | 7/22/2013 | 950 | 975 |
Deutsche Telekom International Finance | 8.75% | 6/15/2030 (3) | 20,280 | 26,674 |
France Telecom | 7.95% | 3/1/2006 (3) | 11,500 | 12,083 |
France Telecom | 8.50% | 3/1/2011 (3) | 500 | 596 |
France Telecom | 9.25% | 3/1/2031 (3) | 18,525 | 25,074 |
Gannett Co., Inc. | 6.375% | 4/1/2012 | 2,900 | 3,228 |
Grupo Televisa SA | 8.50% | 3/11/2032 | 750 | 863 |
GTE Corp. | 6.36% | 4/15/2006 | 1,045 | 1,084 |
GTE Corp. | 8.75% | 11/1/2021 | 3,835 | 4,834 |
GTE Corp. | 6.94% | 4/15/2028 | 220 | 245 |
GTE South, Inc. | 6.125% | 6/15/2007 | 6,900 | 7,223 |
Koninklijke KPN NV | 8.00% | 10/1/2010 | 4,365 | 5,143 |
Koninklijke KPN NV | 8.375% | 10/1/2030 | 4,115 | 5,336 |
New England Telephone & Telegraph Co. | 6.875% | 10/1/2023 | 2,815 | 2,891 |
New England Telephone & Telegraph Co. | 7.875% | 11/15/2029 | 2,350 | 2,812 |
News America Holdings, Inc. | 9.25% | 2/1/2013 | 5,841 | 7,498 |
News America Holdings, Inc. | 8.00% | 10/17/2016 | 9,075 | 11,028 |
News America Holdings, Inc. | 7.70% | 10/30/2025 | 900 | 1,060 |
News America Holdings, Inc. | 8.15% | 10/17/2036 | 2,700 | 3,392 |
News America Holdings, Inc. | 7.75% | 12/1/2045 | 1,775 | 2,128 |
35
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
News America Inc. | 5.30% | 12/15/2014 (2) | $ 2,600 | $ 2,619 |
News America Inc. | 6.20% | 12/15/2034 (2) | 7,475 | 7,528 |
Pacific Bell | 7.125% | 3/15/2026 | 1,700 | 1,926 |
R.R. Donnelley & Sons Co. | 3.75% | 4/1/2009 | 2,275 | 2,228 |
R.R. Donnelley & Sons Co. | 4.95% | 4/1/2014 | 2,375 | 2,362 |
SBC Communications, Inc. | 5.75% | 5/2/2006 | 570 | 588 |
SBC Communications, Inc. | 4.125% | 9/15/2009 | 8,850 | 8,832 |
SBC Communications, Inc. | 6.25% | 3/15/2011 | 10,390 | 11,378 |
SBC Communications, Inc. | 5.875% | 2/1/2012 | 2,000 | 2,149 |
SBC Communications, Inc. | 5.875% | 8/15/2012 | 10,250 | 11,051 |
SBC Communications, Inc. | 5.10% | 9/15/2014 | 12,500 | 12,620 |
SBC Communications, Inc. | 5.625% | 6/15/2016 | 3,675 | 3,801 |
SBC Communications, Inc. | 6.45% | 6/15/2034 | 3,950 | 4,236 |
SBC Communications, Inc. | 6.15% | 9/15/2034 | 1,425 | 1,469 |
Sprint Capital Corp. | 6.00% | 1/15/2007 | 15,290 | 15,979 |
Sprint Capital Corp. | 6.125% | 11/15/2008 | 7,450 | 7,988 |
Sprint Capital Corp. | 7.625% | 1/30/2011 | 3,150 | 3,652 |
Sprint Capital Corp. | 8.375% | 3/15/2012 | 590 | 720 |
Sprint Capital Corp. | 6.875% | 11/15/2028 | 6,225 | 6,804 |
Sprint Capital Corp. | 8.75% | 3/15/2032 | 25,225 | 33,719 |
TCI Communications, Inc. | 8.75% | 8/1/2015 | 17,295 | 21,957 |
TCI Communications, Inc. | 7.875% | 2/15/2026 | 500 | 605 |
Telecom Italia Capital | 4.00% | 11/15/2008 | 8,625 | 8,587 |
Telecom Italia Capital | 4.00% | 1/15/2010 (2) | 4,250 | 4,160 |
Telecom Italia Capital | 5.25% | 11/15/2013 | 10,035 | 10,124 |
Telecom Italia Capital | 4.95% | 9/30/2014 (2) | 3,900 | 3,810 |
Telecom Italia Capital | 6.375% | 11/15/2033 | 3,775 | 3,875 |
Telecom Italia Capital | 6.00% | 9/30/2034 (2) | 3,450 | 3,367 |
Tele-Communications, Inc. | 7.875% | 8/1/2013 | 14,550 | 17,410 |
Telecomunicaciones de Puerto Rico | 6.65% | 5/15/2006 | 2,175 | 2,256 |
Telecomunicaciones de Puerto Rico | 6.80% | 5/15/2009 | 4,600 | 4,929 |
Telefonica Europe BV | 7.75% | 9/15/2010 | 5,000 | 5,818 |
Telefonica Europe BV | 8.25% | 9/15/2030 | 4,875 | 6,462 |
Telefonos de Mexico SA | 8.25% | 1/26/2006 | 10,075 | 10,578 |
Telus Corp. | 7.50% | 6/1/2007 | 3,875 | 4,209 |
Telus Corp. | 8.00% | 6/1/2011 | 6,025 | 7,130 |
Thomson Corp. | 5.75% | 2/1/2008 | 8,600 | 8,962 |
Time Warner Entertainment | 7.25% | 9/1/2008 | 1,275 | 1,415 |
Time Warner Entertainment | 10.15% | 5/1/2012 | 1,400 | 1,822 |
Time Warner Entertainment | 8.375% | 3/15/2023 | 9,690 | 12,058 |
Time Warner Entertainment | 8.375% | 7/15/2033 | 3,435 | 4,414 |
Univision Communications, Inc. | 2.875% | 10/15/2006 | 2,625 | 2,595 |
US Cellular | 6.70% | 12/15/2033 | 3,950 | 4,171 |
USA Interactive | 7.00% | 1/15/2013 | 4,325 | 4,764 |
Verizon Global Funding Corp. | 6.75% | 12/1/2005 | 2,075 | 2,143 |
Verizon Global Funding Corp. | 6.875% | 6/15/2012 | 16,325 | 18,672 |
Verizon Global Funding Corp. | 7.375% | 9/1/2012 | 11,500 | 13,519 |
Verizon Global Funding Corp. | 4.375% | 6/1/2013 | 560 | 545 |
Verizon Global Funding Corp. | 7.75% | 12/1/2030 | 1,965 | 2,436 |
Verizon Maryland, Inc. | 5.125% | 6/15/2033 | 450 | 396 |
Verizon New England Telephone Co. | 6.50% | 9/15/2011 | 1,145 | 1,257 |
Verizon New Jersey, Inc. | 5.875% | 1/17/2012 | 11,990 | 12,719 |
36
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Verizon New York, Inc. | 6.875% | 4/1/2012 | $ 2,700 | $ 3,043 |
Verizon New York, Inc. | 7.375% | 4/1/2032 | 2,850 | 3,284 |
Verizon Pennsylvania, Inc. | 5.65% | 11/15/2011 | 11,500 | 12,117 |
Verizon Wireless Capital | 5.375% | 12/15/2006 | 14,470 | 14,979 |
Vodafone AirTouch PLC | 7.75% | 2/15/2010 | 2,225 | 2,586 |
Vodafone AirTouch PLC | 7.875% | 2/15/2030 | 4,575 | 5,868 |
Vodafone Group PLC | 3.95% | 1/30/2008 | 4,400 | 4,437 |
Vodafone Group PLC | 5.00% | 12/16/2013 | 3,650 | 3,712 |
Vodafone Group PLC | 6.25% | 11/30/2032 | 1,800 | 1,962 |
WPP Finance USA Corp. | 5.875% | 6/15/2014 (2) | 4,200 | 4,402 |
Consumer Cyclical (2.6%) | ||||
Brinker International | 5.75% | 6/1/2014 | 1,975 | 2,060 |
Cendant Corp. | 6.875% | 8/15/2006 | 12,760 | 13,427 |
Cendant Corp. | 6.25% | 1/15/2008 | 7,000 | 7,469 |
Cendant Corp. | 7.375% | 1/15/2013 | 4,450 | 5,156 |
Cendant Corp. | 7.125% | 3/15/2015 | 250 | 287 |
Centex Corp. | 4.75% | 1/15/2008 | 340 | 347 |
Centex Corp. | 7.875% | 2/1/2011 | 40 | 47 |
Centex Corp. | 5.125% | 10/1/2013 | 3,740 | 3,740 |
Chrysler Corp. | 7.45% | 3/1/2027 | 3,800 | 4,207 |
Cooper Tire & Rubber Co. | 7.75% | 12/15/2009 | 1,175 | 1,326 |
Costco Wholesale Corp. | 5.50% | 3/15/2007 | 8,600 | 8,959 |
CVS Corp. | 4.00% | 9/15/2009 | 3,675 | 3,660 |
CVS Corp. | 4.875% | 9/15/2014 | 2,850 | 2,839 |
DaimlerChrysler North America Holding Corp. | 7.375% | 9/15/2006 | 2,775 | 2,955 |
DaimlerChrysler North America Holding Corp. | 4.75% | 1/15/2008 | 22,400 | 22,859 |
DaimlerChrysler North America Holding Corp. | 4.05% | 6/4/2008 | 13,500 | 13,464 |
DaimlerChrysler North America Holding Corp. | 7.75% | 1/18/2011 | 7,835 | 9,050 |
DaimlerChrysler North America Holding Corp. | 7.30% | 1/15/2012 | 10,020 | 11,382 |
DaimlerChrysler North America Holding Corp. | 8.50% | 1/18/2031 | 8,430 | 10,499 |
Delphi Corp. | 6.55% | 6/15/2006 | 1,700 | 1,750 |
Delphi Corp. | 6.50% | 8/15/2013 | 4,900 | 4,854 |
Federated Department Stores, Inc. | 6.625% | 4/1/2011 | 1,800 | 2,013 |
Federated Department Stores, Inc. | 6.79% | 7/15/2027 | 2,880 | 3,160 |
Federated Department Stores, Inc. | 7.00% | 2/15/2028 | 25 | 28 |
Federated Department Stores, Inc. | 6.90% | 4/1/2029 | 2,250 | 2,517 |
Ford Capital BV | 9.50% | 6/1/2010 | 600 | 686 |
Ford Motor Co. | 6.625% | 10/1/2028 | 5,685 | 5,286 |
Ford Motor Co. | 6.375% | 2/1/2029 | 10,400 | 9,373 |
Ford Motor Co. | 7.45% | 7/16/2031 | 19,235 | 19,285 |
Ford Motor Co. | 8.90% | 1/15/2032 | 900 | 1,019 |
Ford Motor Co. | 9.98% | 2/15/2047 | 4,375 | 5,406 |
Ford Motor Credit Co. | 6.875% | 2/1/2006 | 14,125 | 14,558 |
Ford Motor Credit Co. | 6.50% | 1/25/2007 | 65,005 | 67,586 |
Ford Motor Credit Co. | 7.75% | 2/15/2007 | 11,425 | 12,154 |
Ford Motor Credit Co. | 5.625% | 10/1/2008 | 560 | 572 |
Ford Motor Credit Co. | 5.80% | 1/12/2009 | 5,000 | 5,101 |
Ford Motor Credit Co. | 7.375% | 10/28/2009 | 5,500 | 5,929 |
Ford Motor Credit Co. | 5.70% | 1/15/2010 | 3,500 | 3,528 |
Ford Motor Credit Co. | 7.875% | 6/15/2010 | 2,500 | 2,748 |
Ford Motor Credit Co. | 7.375% | 2/1/2011 | 7,000 | 7,548 |
37
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Ford Motor Credit Co. | 7.25% | 10/25/2011 | $18,500 | $ 19,855 |
Ford Motor Credit Co. | 7.00% | 10/1/2013 | 3,335 | 3,525 |
General Motors Acceptance Corp. | 6.625% | 10/15/2005 | 900 | 919 |
General Motors Acceptance Corp. | 6.75% | 1/15/2006 | 2,010 | 2,062 |
General Motors Acceptance Corp. | 4.50% | 7/15/2006 | 4,625 | 4,633 |
General Motors Acceptance Corp. | 6.125% | 9/15/2006 | 23,500 | 24,101 |
General Motors Acceptance Corp. | 6.125% | 2/1/2007 | 7,300 | 7,505 |
General Motors Acceptance Corp. | 6.15% | 4/5/2007 | 4,500 | 4,626 |
General Motors Acceptance Corp. | 6.125% | 8/28/2007 | 3,900 | 4,019 |
General Motors Acceptance Corp. | 5.625% | 5/15/2009 | 2,875 | 2,872 |
General Motors Acceptance Corp. | 7.75% | 1/19/2010 | 7,680 | 8,242 |
General Motors Acceptance Corp. | 7.25% | 3/2/2011 | 1,500 | 1,571 |
General Motors Acceptance Corp. | 6.875% | 9/15/2011 | 37,320 | 38,179 |
General Motors Acceptance Corp. | 7.00% | 2/1/2012 | 20,280 | 20,830 |
General Motors Acceptance Corp. | 6.875% | 8/28/2012 | 6,050 | 6,161 |
General Motors Acceptance Corp. | 6.75% | 12/1/2014 | 4,775 | 4,773 |
General Motors Acceptance Corp. | 8.00% | 11/1/2031 | 11,710 | 11,974 |
General Motors Corp. | 7.20% | 1/15/2011 | 4,525 | 4,630 |
General Motors Corp. | 8.80% | 3/1/2021 | 1,925 | 2,100 |
General Motors Corp. | 8.25% | 7/15/2023 | 8,500 | 8,831 |
General Motors Corp. | 8.375% | 7/15/2033 | 20,100 | 20,763 |
Harrah's Operating Co., Inc. | 7.125% | 6/1/2007 | 8,825 | 9,446 |
Harrah's Operating Co., Inc. | 7.50% | 1/15/2009 | 2,335 | 2,591 |
Harrah's Operating Co., Inc. | 8.00% | 2/1/2011 | 296 | 343 |
Harrah's Operating Co., Inc. | 5.375% | 12/15/2013 | 2,800 | 2,818 |
Hilton Hotels Corp. | 7.625% | 12/1/2012 | 2,300 | 2,680 |
Home Depot Inc. | 3.75% | 9/15/2009 (2) | 9,775 | 9,677 |
Kohl's Corp. | 6.00% | 1/15/2033 | 5,675 | 5,922 |
Lear Corp. | 5.75% | 8/1/2014 (2) | 1,450 | 1,474 |
Lennar Corp. | 5.95% | 3/1/2013 | 610 | 639 |
Liberty Media Corp. | 3.50% | 9/25/2006 | 2,010 | 2,000 |
Liberty Media Corp. | 7.875% | 7/15/2009 | 2,800 | 3,127 |
Liberty Media Corp. | 8.25% | 2/1/2030 | 9,675 | 11,022 |
Lowe's Cos., Inc. | 6.875% | 2/15/2028 | 260 | 305 |
Lowe's Cos., Inc. | 6.50% | 3/15/2029 | 4,726 | 5,335 |
May Department Stores Co. | 3.95% | 7/15/2007 | 925 | 929 |
May Department Stores Co. | 5.75% | 7/15/2014 | 2,825 | 2,901 |
May Department Stores Co. | 9.75% | 2/15/2021 (1) | 1,056 | 1,333 |
May Department Stores Co. | 6.65% | 7/15/2024 | 2,500 | 2,613 |
May Department Stores Co. | 6.70% | 7/15/2034 | 1,900 | 1,997 |
McDonald's Corp. | 6.00% | 4/15/2011 | 3,560 | 3,859 |
Nordstrom, Inc. | 6.95% | 3/15/2028 | 1,400 | 1,554 |
Pulte Homes, Inc. | 4.875% | 7/15/2009 | 2,675 | 2,706 |
Pulte Homes, Inc. | 6.25% | 2/15/2013 | 450 | 480 |
Pulte Homes, Inc. | 5.25% | 1/15/2014 | 500 | 497 |
Pulte Homes, Inc. | 7.875% | 6/15/2032 | 7,800 | 9,247 |
Target Corp. | 3.375% | 3/1/2008 | 13,500 | 13,352 |
Target Corp. | 5.40% | 10/1/2008 | 315 | 332 |
Target Corp. | 6.35% | 1/15/2011 | 195 | 216 |
Target Corp. | 4.00% | 6/15/2013 | 670 | 644 |
Target Corp. | 7.00% | 7/15/2031 | 11,260 | 13,680 |
Target Corp. | 6.35% | 11/1/2032 | 1,000 | 1,130 |
38
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
The Walt Disney Co. | 5.50% | 12/29/2006 | $ 3,375 | $ 3,501 |
The Walt Disney Co. | 5.375% | 6/1/2007 | 13,296 | 13,833 |
The Walt Disney Co. | 6.375% | 3/1/2012 | 2,775 | 3,084 |
Time Warner, Inc. | 6.125% | 4/15/2006 | 2,900 | 3,000 |
Time Warner, Inc. | 6.15% | 5/1/2007 | 17,775 | 18,790 |
Time Warner, Inc. | 8.18% | 8/15/2007 | 2,350 | 2,601 |
Time Warner, Inc. | 6.75% | 4/15/2011 | 1,650 | 1,851 |
Time Warner, Inc. | 6.875% | 5/1/2012 | 5,475 | 6,222 |
Time Warner, Inc. | 9.125% | 1/15/2013 | 1,500 | 1,891 |
Time Warner, Inc. | 9.15% | 2/1/2023 | 5,100 | 6,804 |
Time Warner, Inc. | 7.57% | 2/1/2024 | 1,500 | 1,760 |
Time Warner, Inc. | 6.625% | 5/15/2029 | 5,150 | 5,561 |
Time Warner, Inc. | 7.625% | 4/15/2031 | 3,355 | 4,042 |
Time Warner, Inc. | 7.70% | 5/1/2032 | 9,890 | 12,046 |
Toyota Motor Credit Corp. | 2.875% | 8/1/2008 | 560 | 545 |
Toyota Motor Credit Corp. | 4.35% | 12/15/2010 | 4,100 | 4,161 |
Viacom International Inc. | 7.70% | 7/30/2010 | 5,475 | 6,398 |
Viacom International Inc. | 6.625% | 5/15/2011 | 5,975 | 6,704 |
Viacom International Inc. | 5.625% | 8/15/2012 | 6,500 | 6,935 |
Viacom International Inc. | 7.875% | 7/30/2030 | 5,335 | 6,803 |
Viacom International Inc. | 5.50% | 5/15/2033 | 2,750 | 2,663 |
Wal-Mart Stores, Inc. | 6.875% | 8/10/2009 | 4,595 | 5,158 |
Wal-Mart Stores, Inc. | 4.125% | 2/15/2011 | 3,925 | 3,938 |
Wal-Mart Stores, Inc. | 4.55% | 5/1/2013 | 2,500 | 2,523 |
Wal-Mart Stores, Inc. | 7.55% | 2/15/2030 | 15,545 | 20,168 |
Wal-Mart Stores, Inc. Canada | 5.58% | 5/1/2006 (2) | 6,850 | 7,058 |
Yum! Brands, Inc. | 8.875% | 4/15/2011 | 2,400 | 2,956 |
Yum! Brands, Inc. | 7.70% | 7/1/2012 | 1,500 | 1,777 |
Consumer Noncyclical (2.0%) | ||||
Abbott Laboratories | 5.625% | 7/1/2006 | 14,086 | 14,578 |
Abbott Laboratories | 3.50% | 2/17/2009 | 1,650 | 1,634 |
Albertson's, Inc. | 7.50% | 2/15/2011 | 8,060 | 9,351 |
Albertson's, Inc. | 7.45% | 8/1/2029 | 3,050 | 3,576 |
Albertson's, Inc. | 8.00% | 5/1/2031 | 1,700 | 2,119 |
Altria Group, Inc. | 5.625% | 11/4/2008 | 5,600 | 5,792 |
Amgen Inc. | 4.00% | 11/18/2009 (2) | 7,625 | 7,587 |
Amgen Inc. | 4.85% | 11/18/2014 (2) | 5,000 | 4,983 |
Anheuser-Busch Cos., Inc. | 6.00% | 4/15/2011 | 1,500 | 1,644 |
Anheuser-Busch Cos., Inc. | 4.375% | 1/15/2013 | 450 | 446 |
Anheuser-Busch Cos., Inc. | 7.125% | 7/1/2017 | 3,375 | 3,704 |
Anheuser-Busch Cos., Inc. | 6.80% | 8/20/2032 | 1,825 | 2,184 |
Anthem, Inc. | 6.80% | 8/1/2012 | 60 | 68 |
Archer-Daniels-Midland Co. | 8.125% | 6/1/2012 | 4,200 | 5,151 |
Archer-Daniels-Midland Co. | 7.50% | 3/15/2027 | 1,450 | 1,800 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/2032 | 2,600 | 2,745 |
AstraZeneca PLC | 5.40% | 6/1/2014 | 3,875 | 4,072 |
Baxter International, Inc. | 5.25% | 5/1/2007 | 1,750 | 1,810 |
Boston Scientific | 5.45% | 6/15/2014 | 3,350 | 3,469 |
Bottling Group LLC | 4.625% | 11/15/2012 | 17,285 | 17,513 |
Bristol-Myers Squibb Co. | 4.00% | 8/15/2008 | 3,250 | 3,265 |
Bristol-Myers Squibb Co. | 5.75% | 10/1/2011 | 17,550 | 18,786 |
39
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Bristol-Myers Squibb Co. | 6.875% | 8/1/2097 | $ 1,300 | $ 1,482 |
Bunge Ltd. Finance Corp. | 4.375% | 12/15/2008 | 3,500 | 3,528 |
Bunge Ltd. Finance Corp. | 5.35% | 4/15/2014 | 2,575 | 2,629 |
C.R. Bard, Inc. | 6.70% | 12/1/2026 | 7,050 | 7,431 |
Campbell Soup Co. | 5.50% | 3/15/2007 | 1,400 | 1,458 |
Campbell Soup Co. | 6.75% | 2/15/2011 | 3,500 | 3,944 |
Cardinal Health, Inc. | 4.00% | 6/15/2015 | 650 | 578 |
Cia. Brasil de Bebidas AmBev | 10.50% | 12/15/2011 | 2,630 | 3,301 |
Cia. Brasil de Bebidas AmBev | 8.75% | 9/15/2013 | 3,500 | 4,078 |
CIGNA Corp. | 7.875% | 5/15/2027 | 750 | 887 |
Clorox Co. | 4.20% | 1/15/2010 (2) | 7,700 | 7,733 |
Clorox Co. | 5.00% | 1/15/2015 (2) | 3,275 | 3,330 |
Coca-Cola Enterprises Inc. | 4.25% | 9/15/2010 | 340 | 341 |
Coca-Cola Enterprises Inc. | 6.125% | 8/15/2011 | 15,700 | 17,263 |
Coca-Cola Enterprises Inc. | 8.50% | 2/1/2022 | 4,100 | 5,463 |
Coca-Cola Enterprises Inc. | 8.00% | 9/15/2022 | 1,550 | 1,989 |
Coca-Cola Enterprises Inc. | 6.95% | 11/15/2026 | 170 | 200 |
Coca-Cola HBC Finance | 5.125% | 9/17/2013 | 670 | 686 |
Conagra Foods Inc. | 7.125% | 10/1/2026 | 1,100 | 1,316 |
Conagra, Inc. | 7.875% | 9/15/2010 | 8,400 | 9,875 |
Conagra, Inc. | 9.75% | 3/1/2021 | 750 | 1,052 |
Conagra, Inc. | 8.25% | 9/15/2030 | 1,670 | 2,222 |
Coors Brewing Co. | 6.375% | 5/15/2012 | 900 | 987 |
Diageo Capital PLC | 3.50% | 11/19/2007 | 7,550 | 7,535 |
Diageo Capital PLC | 3.375% | 3/20/2008 | 14,150 | 14,010 |
Diageo Capital PLC | 7.25% | 11/1/2009 | 450 | 512 |
Eli Lilly & Co. | 6.00% | 3/15/2012 | 2,575 | 2,821 |
General Mills, Inc. | 2.625% | 10/24/2006 | 8,750 | 8,621 |
General Mills, Inc. | 5.125% | 2/15/2007 | 11,575 | 11,932 |
General Mills, Inc. | 6.00% | 2/15/2012 | 2,665 | 2,885 |
Gillette Co. | 3.80% | 9/15/2009 | 1,400 | 1,394 |
GlaxoSmithKline Capital Inc. | 2.375% | 4/16/2007 | 7,675 | 7,539 |
GlaxoSmithKline Capital Inc. | 4.375% | 4/15/2014 | 3,125 | 3,037 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/2034 | 3,750 | 3,721 |
Grand Metropolitan Investment Corp. | 9.00% | 8/15/2011 | 1,550 | 1,957 |
Grand Metropolitan Investment Corp. | 7.45% | 4/15/2035 | 500 | 627 |
H.J. Heinz Co. | 6.625% | 7/15/2011 (3) | 3,000 | 3,377 |
H.J. Heinz Co. | 6.375% | 7/15/2028 | 3,525 | 3,941 |
H.J. Heinz Co. | 6.75% | 3/15/2032 (3) | 500 | 582 |
Hospira, Inc. | 4.95% | 6/15/2009 | 3,175 | 3,235 |
Hospira, Inc. | 5.90% | 6/15/2014 | 1,975 | 2,054 |
Imperial Tobacco | 7.125% | 4/1/2009 | 1,000 | 1,101 |
International Flavors & Fragrances | 6.45% | 5/15/2006 | 3,800 | 3,952 |
Johnson & Johnson | 3.80% | 5/15/2013 | 4,115 | 3,923 |
Johnson & Johnson | 6.95% | 9/1/2029 | 450 | 547 |
Johnson & Johnson | 4.95% | 5/15/2033 | 3,300 | 3,119 |
Kellogg Co. | 6.00% | 4/1/2006 | 13,800 | 14,261 |
Kellogg Co. | 2.875% | 6/1/2008 | 2,725 | 2,650 |
Kellogg Co. | 6.60% | 4/1/2011 | 450 | 505 |
Kellogg Co. | 7.45% | 4/1/2031 | 6,140 | 7,734 |
Kimberly-Clark Corp. | 7.10% | 8/1/2007 | 1,340 | 1,459 |
Kimberly-Clark Corp. | 5.625% | 2/15/2012 | 1,900 | 2,035 |
40
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Kraft Foods, Inc. | 4.625% | 11/1/2006 | $17,475 | $ 17,829 |
Kraft Foods, Inc. | 4.125% | 11/12/2009 | 4,250 | 4,226 |
Kraft Foods, Inc. | 5.625% | 11/1/2011 | 4,775 | 5,052 |
Kraft Foods, Inc. | 6.25% | 6/1/2012 | 950 | 1,040 |
Kraft Foods, Inc. | 5.25% | 10/1/2013 | 340 | 350 |
Kraft Foods, Inc. | 6.50% | 11/1/2031 | 11,400 | 12,549 |
Kroger Co. | 7.25% | 6/1/2009 | 4,225 | 4,728 |
Kroger Co. | 6.80% | 4/1/2011 | 600 | 675 |
Kroger Co. | 7.70% | 6/1/2029 | 10,625 | 12,772 |
Kroger Co. | 8.00% | 9/15/2029 | 1,450 | 1,800 |
Kroger Co. | 7.50% | 4/1/2031 | 420 | 501 |
Laboratory Corp. of America | 5.50% | 2/1/2013 | 340 | 352 |
Merck & Co. | 5.25% | 7/1/2006 | 670 | 689 |
Merck & Co. | 6.40% | 3/1/2028 | 1,730 | 1,876 |
Newell Rubbermaid, Inc. | 6.00% | 3/15/2007 | 900 | 942 |
Newell Rubbermaid, Inc. | 4.00% | 5/1/2010 | 3,500 | 3,382 |
Pepsi Bottling Group, Inc. | 7.00% | 3/1/2029 | 2,000 | 2,411 |
Pfizer, Inc. | 4.50% | 2/15/2014 | 5,400 | 5,342 |
Pharmacia Corp. | 5.75% | 12/1/2005 (3) | 11,990 | 12,274 |
Pharmacia Corp. | 6.60% | 12/1/2028 (3) | 1,500 | 1,719 |
Philip Morris Cos., Inc. | 7.65% | 7/1/2008 | 3,325 | 3,630 |
Philip Morris Cos., Inc. | 7.75% | 1/15/2027 | 3,145 | 3,531 |
Procter & Gamble Co. | 6.875% | 9/15/2009 | 450 | 506 |
Procter & Gamble Co. | 4.95% | 8/15/2014 | 1,400 | 1,427 |
Procter & Gamble Co. | 5.50% | 2/1/2034 | 6,000 | 6,046 |
Procter & Gamble Co. | 5.80% | 8/15/2034 | 3,225 | 3,391 |
Procter & Gamble Co. ESOP | 9.36% | 1/1/2021 (1) | 16,000 | 21,515 |
Quest Diagnostic, Inc. | 6.75% | 7/12/2006 | 9,255 | 9,705 |
Safeway, Inc. | 6.15% | 3/1/2006 | 1,000 | 1,031 |
Safeway, Inc. | 4.95% | 8/16/2010 | 3,775 | 3,827 |
Safeway, Inc. | 6.50% | 3/1/2011 | 3,450 | 3,768 |
Safeway, Inc. | 5.80% | 8/15/2012 | 875 | 921 |
Safeway, Inc. | 7.25% | 2/1/2031 | 1,850 | 2,111 |
Sara Lee Corp. | 2.75% | 6/15/2008 | 9,525 | 9,156 |
Sara Lee Corp. | 6.25% | 9/15/2011 | 350 | 388 |
Sara Lee Corp. | 3.875% | 6/15/2013 | 2,500 | 2,370 |
Sara Lee Corp. | 6.125% | 11/1/2032 | 4,325 | 4,645 |
Schering-Plough Corp. | 5.55% | 12/1/2013 | 5,375 | 5,623 |
Schering-Plough Corp. | 6.75% | 12/1/2033 | 4,300 | 4,851 |
Tyson Foods, Inc. | 7.25% | 10/1/2006 | 3,500 | 3,708 |
Tyson Foods, Inc. | 8.25% | 10/1/2011 | 4,500 | 5,349 |
Unilever Capital Corp. | 6.875% | 11/1/2005 | 1,759 | 1,812 |
Unilever Capital Corp. | 7.125% | 11/1/2010 | 9,300 | 10,672 |
Unilever Capital Corp. | 5.90% | 11/15/2032 | 3,350 | 3,551 |
UnitedHealth Group, Inc. | 5.20% | 1/17/2007 | 4,050 | 4,186 |
UnitedHealth Group, Inc. | 3.375% | 8/15/2007 | 3,950 | 3,933 |
UnitedHealth Group, Inc. | 4.125% | 8/15/2009 | 3,375 | 3,376 |
UnitedHealth Group, Inc. | 4.875% | 4/1/2013 | 1,000 | 1,005 |
UnitedHealth Group, Inc. | 5.00% | 8/15/2014 | 3,725 | 3,746 |
Wellpoint Health Networks Inc. | 6.375% | 1/15/2012 | 3,790 | 4,163 |
Wellpoint Inc. | 3.75% | 12/14/2007 (2) | 2,400 | 2,392 |
Wellpoint Inc. | 4.25% | 12/15/2009 (2) | 1,800 | 1,794 |
41
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Wellpoint Inc. | 5.00% | 12/15/2014 (2) | $ 1,025 | $ 1,017 |
Wellpoint Inc. | 5.95% | 12/15/2034 (2) | 3,650 | 3,672 |
Wyeth | 4.375% | 3/1/2008 | 9,395 | 9,513 |
Wyeth | 6.95% | 3/15/2011 | 1,500 | 1,681 |
Wyeth | 5.50% | 3/15/2013 | 8,375 | 8,691 |
Wyeth | 5.50% | 2/1/2014 | 750 | 774 |
Wyeth | 6.45% | 2/1/2024 | 1,925 | 2,044 |
Wyeth | 6.50% | 2/1/2034 | 3,175 | 3,371 |
Energy (0.8%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/2031 | 1,150 | 1,408 |
Anadarko Finance Co. | 6.75% | 5/1/2011 | 525 | 593 |
Anadarko Finance Co. | 7.50% | 5/1/2031 | 8,225 | 10,168 |
Anadarko Petroleum Corp. | 3.25% | 5/1/2008 | 2,000 | 1,966 |
Apache Corp. | 6.25% | 4/15/2012 | 1,200 | 1,333 |
Apache Finance Canada | 7.75% | 12/15/2029 | 1,400 | 1,818 |
Atlantic Richfield Co. | 5.90% | 4/15/2009 | 4,009 | 4,323 |
Baker Hughes, Inc. | 6.25% | 1/15/2009 | 200 | 217 |
Baker Hughes, Inc. | 6.875% | 1/15/2029 | 1,000 | 1,174 |
BP Capital Markets PLC | 2.35% | 6/15/2006 | 750 | 745 |
BP Capital Markets PLC | 2.75% | 12/29/2006 | 1,175 | 1,163 |
BP Capital Markets PLC | 2.625% | 3/15/2007 | 2,225 | 2,196 |
Burlington Resources, Inc. | 6.68% | 2/15/2011 | 4,225 | 4,733 |
Burlington Resources, Inc. | 7.20% | 8/15/2031 | 900 | 1,073 |
Burlington Resources, Inc. | 7.40% | 12/1/2031 | 6,025 | 7,351 |
Canadian Natural Resources | 7.20% | 1/15/2032 | 700 | 825 |
Canadian Natural Resources | 5.85% | 2/1/2035 | 2,450 | 2,440 |
ChevronTexaco Capital Co. | 3.50% | 9/17/2007 | 6,050 | 6,062 |
Conoco Funding Co. | 6.35% | 10/15/2011 | 6,310 | 7,034 |
Conoco, Inc. | 6.95% | 4/15/2029 | 2,080 | 2,448 |
Devon Energy Corp. | 2.75% | 8/1/2006 | 670 | 664 |
Devon Energy Corp. | 7.95% | 4/15/2032 | 2,250 | 2,872 |
Devon Financing Corp. | 6.875% | 9/30/2011 | 2,010 | 2,272 |
Devon Financing Corp. | 7.875% | 9/30/2031 | 7,775 | 9,793 |
Encana Corp. | 4.60% | 8/15/2009 | 1,225 | 1,248 |
Encana Corp. | 6.50% | 8/15/2034 | 1,050 | 1,157 |
Encana Holdings Finance Corp. | 5.80% | 5/1/2014 | 2,750 | 2,922 |
Halliburton Co. | 5.50% | 10/15/2010 | 3,050 | 3,215 |
Halliburton Co. | 8.75% | 2/15/2021 | 2,250 | 2,948 |
Husky Energy Inc. | 6.15% | 6/15/2019 | 1,000 | 1,044 |
Kerr McGee Corp. | 6.95% | 7/1/2024 | 3,425 | 3,776 |
Marathon Oil Corp. | 5.375% | 6/1/2007 | 8,075 | 8,398 |
Marathon Oil Corp. | 6.125% | 3/15/2012 | 1,970 | 2,142 |
Marathon Oil Corp. | 6.80% | 3/15/2032 | 725 | 811 |
Nexen, Inc. | 5.05% | 11/20/2013 | 3,850 | 3,803 |
Nexen, Inc. | 7.875% | 3/15/2032 | 1,050 | 1,308 |
Norsk Hydro | 6.36% | 1/15/2009 | 3,000 | 3,253 |
Norsk Hydro | 7.50% | 10/1/2016 | 1,600 | 1,940 |
Norsk Hydro | 7.25% | 9/23/2027 | 3,900 | 4,705 |
Norsk Hydro | 7.15% | 1/15/2029 | 3,450 | 4,137 |
Occidental Petroleum | 7.65% | 2/15/2006 | 220 | 231 |
Occidental Petroleum | 6.75% | 1/15/2012 | 3,125 | 3,540 |
42
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Occidental Petroleum | 7.20% | 4/1/2028 | $ 5,350 | $ 6,370 |
PanCanadian Energy Corp. | 7.20% | 11/1/2031 | 7,150 | 8,528 |
Petro-Canada | 4.00% | 7/15/2013 | 2,000 | 1,873 |
Petro-Canada | 5.00% | 11/15/2014 | 2,500 | 2,495 |
Petro-Canada | 7.875% | 6/15/2026 | 1,975 | 2,452 |
Petro-Canada | 7.00% | 11/15/2028 | 1,650 | 1,886 |
Petro-Canada | 5.35% | 7/15/2033 | 6,100 | 5,658 |
PF Export Receivables Master Trust | 6.60% | 12/1/2011 (1)(2) | 17,250 | 18,411 |
Phillips Petroleum Co. | 8.75% | 5/25/2010 | 1,250 | 1,516 |
Pioneer Natural Resources Co. | 5.875% | 7/15/2016 | 4,150 | 4,334 |
Pioneer Natural Resources Co. | 7.20% | 1/15/2028 | 2,150 | 2,465 |
Suncor Energy, Inc. | 7.15% | 2/1/2032 | 1,700 | 2,023 |
Sunoco, Inc. | 4.875% | 10/15/2014 | 1,750 | 1,729 |
Texaco Capital, Inc. | 5.50% | 1/15/2009 | 2,620 | 2,789 |
Tosco Corp. | 7.80% | 1/1/2027 | 1,650 | 2,077 |
Tosco Corp. | 8.125% | 2/15/2030 | 22,500 | 29,710 |
Transocean Sedco Forex, Inc. | 6.625% | 4/15/2011 | 2,500 | 2,792 |
Transocean Sedco Forex, Inc. | 7.50% | 4/15/2031 | 750 | 918 |
Union Oil Co. of California | 5.05% | 10/1/2012 | 1,550 | 1,582 |
Valero Energy Corp. | 6.125% | 4/15/2007 | 8,900 | 9,362 |
Valero Energy Corp. | 6.875% | 4/15/2012 | 2,075 | 2,348 |
Valero Energy Corp. | 4.75% | 6/15/2013 | 340 | 336 |
Valero Energy Corp. | 7.50% | 4/15/2032 | 340 | 409 |
XTO Energy, Inc. | 6.25% | 4/15/2013 | 1,150 | 1,254 |
XTO Energy, Inc. | 5.00% | 1/31/2015 (2) | 1,775 | 1,763 |
Technology (0.4%) | ||||
Computer Sciences Corp. | 6.75% | 6/15/2006 | 6,775 | 7,102 |
Computer Sciences Corp. | 3.50% | 4/15/2008 | 1,000 | 989 |
Computer Sciences Corp. | 5.00% | 2/15/2013 | 1,900 | 1,903 |
Deluxe Corp. | 3.50% | 10/1/2007 (2) | 1,950 | 1,926 |
Eastman Kodak Co. | 3.625% | 5/15/2008 | 1,750 | 1,703 |
Equifax, Inc. | 4.95% | 11/1/2007 | 340 | 349 |
First Data Corp. | 3.375% | 8/1/2008 | 3,700 | 3,646 |
First Data Corp. | 5.625% | 11/1/2011 | 15,900 | 17,032 |
Hewlett-Packard Co. | 5.75% | 12/15/2006 | 5,575 | 5,812 |
Hewlett-Packard Co. | 3.625% | 3/15/2008 | 13,100 | 13,072 |
Hewlett-Packard Co. | 6.50% | 7/1/2012 | 560 | 625 |
International Business Machines Corp. | 4.875% | 10/1/2006 | 4,500 | 4,625 |
International Business Machines Corp. | 6.45% | 8/1/2007 | 2,900 | 3,106 |
International Business Machines Corp. | 4.75% | 11/29/2012 | 585 | 596 |
International Business Machines Corp. | 7.50% | 6/15/2013 | 4,000 | 4,784 |
International Business Machines Corp. | 7.00% | 10/30/2025 | 920 | 1,086 |
International Business Machines Corp. | 6.22% | 8/1/2027 | 5,725 | 6,233 |
International Business Machines Corp. | 6.50% | 1/15/2028 | 700 | 790 |
International Business Machines Corp. | 7.125% | 12/1/2096 | 14,085 | 16,777 |
Motorola, Inc. | 7.625% | 11/15/2010 | 11,200 | 12,993 |
Motorola, Inc. | 8.00% | 11/1/2011 | 1,750 | 2,087 |
Motorola, Inc. | 7.50% | 5/15/2025 | 5,000 | 5,779 |
Motorola, Inc. | 6.50% | 11/15/2028 | 2,000 | 2,095 |
Science Applications International Corp. | 6.25% | 7/1/2012 | 1,325 | 1,439 |
Science Applications International Corp. | 5.50% | 7/1/2033 | 1,825 | 1,728 |
43
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
SunGard Data Systems, Inc. | 3.75% | 1/15/2009 | $ 1,000 | $ 972 |
SunGard Data Systems, Inc. | 4.875% | 1/15/2014 | 850 | 823 |
Texas Instruments, Inc. | 6.125% | 2/1/2006 | 6,200 | 6,390 |
Transportation (0.6%) | ||||
American Airlines, Inc. | ||||
Pass-Through Certificates | 6.855% | 4/15/2009 (1) | 5,649 | 5,734 |
American Airlines, Inc. | ||||
Pass-Through Certificates | 7.024% | 10/15/2009 | 5,825 | 6,000 |
Burlington Northern Santa Fe Corp. | 9.25% | 10/1/2006 | 2,750 | 3,006 |
Burlington Northern Santa Fe Corp. | 7.875% | 4/15/2007 | 2,650 | 2,894 |
Burlington Northern Santa Fe Corp. | 6.75% | 7/15/2011 | 3,070 | 3,469 |
Burlington Northern Santa Fe Corp. | 7.00% | 12/15/2025 | 6,950 | 7,929 |
Canadian National Railway Co. | 4.40% | 3/15/2013 | 1,450 | 1,423 |
Canadian National Railway Co. | 6.80% | 7/15/2018 | 11,575 | 13,451 |
Canadian National Railway Co. | 6.25% | 8/1/2034 | 1,750 | 1,885 |
Canadian Pacific Rail | 6.25% | 10/15/2011 | 12,350 | 13,598 |
Canadian Pacific Rail | 7.125% | 10/15/2031 | 375 | 447 |
CNF, Inc. | 6.70% | 5/1/2034 | 3,725 | 3,883 |
Continental Airlines Enhanced | ||||
Equipment Trust Certificates | 6.563% | 2/15/2012 | 3,000 | 3,210 |
Continental Airlines Enhanced | ||||
Equipment Trust Certificates | 6.648% | 9/15/2017 (1) | 9,063 | 8,814 |
CSX Corp. | 6.75% | 3/15/2011 | 3,450 | 3,824 |
CSX Corp. | 6.30% | 3/15/2012 | 5,525 | 6,033 |
CSX Corp. | 7.95% | 5/1/2027 | 550 | 677 |
CSX Transportation Inc. | 9.75% | 6/15/2020 | 1,029 | 1,430 |
CSX Transportation Inc. | 7.875% | 5/15/2043 | 420 | 529 |
ERAC USA Finance Co. | 7.35% | 6/15/2008 (2) | 5,275 | 5,843 |
FedEx Corp. | 2.65% | 4/1/2007 | 3,650 | 3,580 |
FedEx Corp. | 3.50% | 4/1/2009 | 1,950 | 1,910 |
Hertz Corp. | 6.35% | 6/15/2010 | 2,650 | 2,735 |
Hertz Corp. | 7.40% | 3/1/2011 | 14,975 | 16,085 |
Hertz Corp. | 7.625% | 6/1/2012 | 1,215 | 1,318 |
Norfolk Southern Corp. | 7.35% | 5/15/2007 | 9 | 10 |
Norfolk Southern Corp. | 5.257% | 9/17/2014 | 45 | 46 |
Norfolk Southern Corp. | 7.70% | 5/15/2017 | 6,650 | 8,156 |
Norfolk Southern Corp. | 9.75% | 6/15/2020 | 2,171 | 3,022 |
Norfolk Southern Corp. | 7.80% | 5/15/2027 | 1,200 | 1,490 |
Norfolk Southern Corp. | 7.25% | 2/15/2031 | 675 | 803 |
Norfolk Southern Corp. | 7.05% | 5/1/2037 | 5,300 | 6,177 |
Norfolk Southern Corp. | 7.875% | 5/15/2043 | 580 | 731 |
Norfolk Southern Corp. | 7.90% | 5/15/2097 | 1,425 | 1,795 |
Northwest Airlines, Inc. | ||||
Pass-Through Certificates | 6.841% | 4/1/2011 | 8,425 | 8,530 |
Southwest Airlines Co. | 6.50% | 3/1/2012 | 8,800 | 9,683 |
Union Pacific Corp. | 7.25% | 11/1/2008 | 2,200 | 2,443 |
Union Pacific Corp. | 3.625% | 6/1/2010 | 3,040 | 2,929 |
Union Pacific Corp. | 6.65% | 1/15/2011 | 6,150 | 6,861 |
Union Pacific Corp. | 6.50% | 4/15/2012 | 2,400 | 2,672 |
Union Pacific Corp. | 7.00% | 2/1/2016 | 1,150 | 1,324 |
44
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Union Pacific Corp. | 7.125% | 2/1/2028 | $ 1,000 | $ 1,168 |
Union Pacific Corp. | 6.625% | 2/1/2029 | 4,450 | 4,956 |
Other | ||||
Black & Decker Corp. | 7.125% | 6/1/2011 | 500 | 568 |
Black & Decker Corp. | 4.75% | 11/1/2014 (2) | 3,850 | 3,786 |
Cooper Industries, Inc. | 5.25% | 7/1/2007 | 505 | 523 |
Rockwell International Corp. | 6.70% | 1/15/2028 | 1,350 | 1,536 |
3,280,668 | ||||
Utilities (1.7%) | ||||
Electric (1.4%) | ||||
AEP Texas Central Co. | 5.50% | 2/15/2013 | 2,725 | 2,829 |
AEP Texas Central Co. | 6.65% | 2/15/2033 | 2,850 | 3,130 |
Alabama Power Co. | 3.50% | 11/15/2007 | 4,150 | 4,136 |
Alabama Power Co. | 5.50% | 10/15/2017 | 11,600 | 12,004 |
American Electric Power Co., Inc. | 6.125% | 5/15/2006 | 4,075 | 4,223 |
Arizona Public Service Co. | 5.80% | 6/30/2014 | 4,225 | 4,486 |
Arizona Public Service Co. | 4.65% | 5/15/2015 | 4,450 | 4,282 |
Boston Edison Co. | 4.875% | 4/15/2014 | 2,275 | 2,300 |
Carolina Power & Light Co. | 5.125% | 9/15/2013 | 405 | 415 |
Centerpoint Energy Houston | 5.75% | 1/15/2014 | 500 | 528 |
Cincinnati Gas & Electric Co. | 5.70% | 9/15/2012 | 3,300 | 3,505 |
Cleveland Electric Illumination Co. | 7.88% | 11/1/2017 | 1,450 | 1,746 |
Commonwealth Edison Co. | 3.70% | 2/1/2008 | 1,150 | 1,149 |
Commonwealth Edison Co. | 6.15% | 3/15/2012 | 7,200 | 7,875 |
Commonwealth Edison Co. | 4.70% | 4/15/2015 | 2,750 | 2,722 |
Commonwealth Edison Co. | 5.875% | 2/1/2033 | 340 | 359 |
Consolidated Edison, Inc. | 6.625% | 12/15/2005 | 10,875 | 11,216 |
Consolidated Edison, Inc. | 4.875% | 2/1/2013 | 340 | 343 |
Constellation Energy Group, Inc. | 6.125% | 9/1/2009 | 6,700 | 7,221 |
Constellation Energy Group, Inc. | 7.00% | 4/1/2012 | 2,075 | 2,368 |
Constellation Energy Group, Inc. | 7.60% | 4/1/2032 | 8,140 | 9,905 |
Consumers Energy Co. | 4.25% | 4/15/2008 | 4,210 | 4,241 |
Consumers Energy Co. | 4.80% | 2/17/2009 | 6,100 | 6,243 |
Consumers Energy Co. | 5.00% | 2/15/2012 (2) | 900 | 914 |
Consumers Energy Co. | 5.375% | 4/15/2013 | 3,650 | 3,781 |
Detroit Edison Co. | 6.125% | 10/1/2010 | 2,080 | 2,267 |
Dominion Resources, Inc. | 4.125% | 2/15/2008 | 450 | 453 |
Dominion Resources, Inc. | 6.25% | 6/30/2012 | 5,000 | 5,476 |
Dominion Resources, Inc. | 6.30% | 3/15/2033 | 4,600 | 4,788 |
Dominion Resources, Inc. PUT | 5.25% | 8/1/2015 | 3,300 | 3,307 |
DTE Energy Co. | 7.05% | 6/1/2011 | 1,050 | 1,187 |
Duke Capital Corp. | 6.75% | 2/15/2032 | 2,875 | 3,102 |
Duke Energy Corp. | 3.75% | 3/5/2008 | 2,500 | 2,497 |
Duke Energy Corp. | 6.25% | 1/15/2012 | 2,100 | 2,283 |
Duke Energy Corp. | 6.00% | 12/1/2028 | 500 | 505 |
Duke Energy Corp. | 6.45% | 10/15/2032 | 3,450 | 3,694 |
Energy East Corp. | 6.75% | 6/15/2012 | 6,300 | 6,989 |
Entergy Gulf States | 3.60% | 6/1/2008 | 3,250 | 3,198 |
Florida Power & Light Co. | 6.875% | 12/1/2005 | 7,000 | 7,239 |
Florida Power & Light Co. | 5.625% | 4/1/2034 | 1,500 | 1,543 |
45
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
FPL Group Capital, Inc. | 3.25% | 4/11/2006 | $ 2,470 | $ 2,473 |
FPL Group Capital, Inc. | 7.625% | 9/15/2006 | 5,450 | 5,827 |
HQI Transelec Chile SA | 7.875% | 4/15/2011 | 11,225 | 12,941 |
Jersey Central Power & Light | 5.625% | 5/1/2016 | 3,700 | 3,874 |
MidAmerican Energy Co. | 5.125% | 1/15/2013 | 6,025 | 6,225 |
MidAmerican Energy Co. | 6.75% | 12/30/2031 | 9,600 | 11,087 |
MidAmerican Energy Holdings | 5.875% | 10/1/2012 | 4,420 | 4,673 |
MidAmerican Energy Holdings | 5.00% | 2/15/2014 | 1,500 | 1,476 |
MidAmerican Energy Holdings | 8.48% | 9/15/2028 | 700 | 904 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 6.50% | 3/1/2007 | 4,075 | 4,324 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 7.25% | 3/1/2012 | 8,100 | 9,345 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 4.75% | 3/1/2014 | 2,125 | 2,129 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 8.00% | 3/1/2032 | 3,400 | 4,458 |
NiSource Finance Corp. | 3.20% | 11/1/2006 | 1,000 | 994 |
NiSource Finance Corp. | 7.875% | 11/15/2010 | 4,060 | 4,739 |
NiSource Finance Corp. | 5.40% | 7/15/2014 | 1,400 | 1,439 |
Oncor Electric Delivery Co. | 6.375% | 5/1/2012 | 2,400 | 2,643 |
Oncor Electric Delivery Co. | 6.375% | 1/15/2015 | 5,075 | 5,589 |
Oncor Electric Delivery Co. | 7.00% | 5/1/2032 | 2,300 | 2,649 |
Oncor Electric Delivery Co. | 7.25% | 1/15/2033 | 7,525 | 8,995 |
Pacific Gas & Electric Co. | 3.60% | 3/1/2009 | 1,500 | 1,479 |
Pacific Gas & Electric Co. | 4.20% | 3/1/2011 | 2,475 | 2,436 |
Pacific Gas & Electric Co. | 4.80% | 3/1/2014 | 1,750 | 1,738 |
Pacific Gas & Electric Co. | 6.05% | 3/1/2034 | 15,875 | 16,481 |
PacifiCorp | 6.90% | 11/15/2011 | 7,825 | 8,932 |
PacifiCorp | 7.70% | 11/15/2031 | 1,500 | 1,928 |
Pepco Holdings, Inc. | 6.45% | 8/15/2012 | 7,325 | 8,076 |
Pepco Holdings, Inc. | 7.45% | 8/15/2032 | 1,550 | 1,821 |
PPL Energy Supply LLC | 6.40% | 11/1/2011 | 5,975 | 6,516 |
PPL Energy Supply LLC | 5.40% | 8/15/2014 | 1,000 | 1,017 |
Progress Energy, Inc. | 6.05% | 4/15/2007 | 1,770 | 1,852 |
Progress Energy, Inc. | 5.85% | 10/30/2008 | 1,000 | 1,055 |
Progress Energy, Inc. | 7.10% | 3/1/2011 | 7,540 | 8,487 |
Progress Energy, Inc. | 7.75% | 3/1/2031 | 2,150 | 2,573 |
Progress Energy, Inc. | 7.00% | 10/30/2031 | 1,700 | 1,882 |
PSEG Power Corp. | 6.875% | 4/15/2006 | 9,225 | 9,618 |
PSEG Power Corp. | 6.95% | 6/1/2012 | 4,525 | 5,100 |
PSEG Power Corp. | 8.625% | 4/15/2031 | 4,425 | 5,895 |
Public Service Co. of Colorado | 4.375% | 10/1/2008 | 8,875 | 9,022 |
Public Service Co. of Colorado | 5.50% | 4/1/2014 | 340 | 358 |
SCANA Corp. | 6.25% | 2/1/2012 | 7,600 | 8,314 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/2032 | 2,750 | 3,171 |
South Carolina Electric & Gas Co. | 5.30% | 5/15/2033 | 1,270 | 1,229 |
Southern California Edison Co. | 8.00% | 2/15/2007 | 1,250 | 1,363 |
Southern California Edison Co. | 5.00% | 1/15/2014 | 2,950 | 2,988 |
Southern California Edison Co. | 4.65% | 4/1/2015 | 1,500 | 1,479 |
Southern California Edison Co. | 6.00% | 1/15/2034 | 8,675 | 9,212 |
Southern California Edison Co. | 5.75% | 4/1/2035 | 1,125 | 1,155 |
46
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
TXU Energy Co. | 7.00% | 3/15/2013 | $ 1,900 | $ 2,122 |
United Utilities PLC | 5.375% | 2/1/2019 | 7,775 | 7,662 |
Virginia Electric & Power Co. | 5.75% | 3/31/2006 | 1,650 | 1,699 |
Virginia Electric & Power Co. | 5.375% | 2/1/2007 | 9,400 | 9,735 |
Wisconsin Electric Power Co. | 5.625% | 5/15/2033 | 1,250 | 1,258 |
Natural Gas (0.3%) | ||||
Atmos Energy Corp. | 4.00% | 10/15/2009 | 5,350 | 5,285 |
Atmos Energy Corp. | 4.95% | 10/15/2014 | 2,450 | 2,425 |
Columbia Energy Group | 7.62% | 11/28/2025 | 4,451 | 4,687 |
Consolidated Natural Gas | 5.375% | 11/1/2006 | 4,075 | 4,210 |
Consolidated Natural Gas | 6.25% | 11/1/2011 | 6,300 | 6,893 |
Consolidated Natural Gas | 5.00% | 12/1/2014 | 3,700 | 3,707 |
Duke Energy Field Services | 7.875% | 8/16/2010 | 4,825 | 5,615 |
Duke Energy Field Services | 8.125% | 8/16/2030 | 350 | 449 |
Enron Corp. | 7.625% | 9/10/2004** | 2,000 | 620 |
Enron Corp. | 6.625% | 11/15/2005** | 1,375 | 426 |
Enron Corp. | 7.125% | 5/15/2007** | 8,646 | 2,680 |
Enron Corp. | 6.875% | 10/15/2007** | 8,500 | 2,635 |
Enron Corp. | 6.75% | 8/1/2009** | 6,445 | 1,998 |
HNG Internorth | 9.625% | 3/15/2006** | 4,680 | 1,451 |
KeySpan Corp. | 6.15% | 6/1/2006 | 560 | 583 |
Kinder Morgan Energy Partners LP | 5.125% | 11/15/2014 | 2,175 | 2,167 |
Kinder Morgan Energy Partners LP | 7.30% | 8/15/2033 | 450 | 517 |
Kinder Morgan, Inc. | 6.50% | 9/1/2012 | 8,200 | 9,004 |
KN Energy, Inc. | 7.25% | 3/1/2028 | 800 | 910 |
Panhandle Eastern Pipeline | 4.80% | 8/15/2008 | 450 | 456 |
Sempra Energy | 6.95% | 12/1/2005 | 14,875 | 15,361 |
Southern Union Co. | 7.60% | 2/1/2024 | 800 | 912 |
Texas Eastern Transmission | 5.25% | 7/15/2007 | 900 | 932 |
Texas Gas Transmission | 4.60% | 6/1/2015 | 4,000 | 3,832 |
Trans-Canada Pipelines | 4.00% | 6/15/2013 | 4,025 | 3,784 |
Trans-Canada Pipelines | 5.60% | 3/31/2034 | 2,350 | 2,291 |
Yosemite Security Trust | 8.25% | 11/15/2004** | 31,685 | 13,149 |
491,865 | ||||
TOTAL CORPORATE BONDS | ||||
(Cost $7,704,731) | 7,933,138 | |||
SOVEREIGN BONDS (U.S. Dollar-Denominated) (3.7%) | ||||
African Development Bank | 3.25% | 8/1/2008 | 7,600 | 7,556 |
Asian Development Bank | 4.875% | 2/5/2007 | 33,575 | 34,716 |
Asian Development Bank | 5.593% | 7/16/2018 | 3,300 | 3,516 |
Bayerische Landesbank | 2.875% | 10/15/2008 | 5,300 | 5,110 |
Canadian Government | 6.75% | 8/28/2006 | 12,520 | 13,247 |
Canadian Government | 5.25% | 11/5/2008 | 2,450 | 2,597 |
Canadian Mortgage & Housing | 2.95% | 6/2/2008 | 1,000 | 980 |
China Development Bank | 4.75% | 10/8/2014 | 4,800 | 4,721 |
Corporacion Andina de Fomento | 5.20% | 5/21/2013 | 1,050 | 1,059 |
Eksportfinans | 3.375% | 1/15/2008 | 6,000 | 5,968 |
Eksportfinans | 4.375% | 7/15/2009 | 6,075 | 6,190 |
European Investment Bank | 5.625% | 1/24/2006 | 29,500 | 30,309 |
European Investment Bank | 3.00% | 8/15/2006 | 3,400 | 3,390 |
47
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
European Investment Bank | 4.875% | 9/6/2006 | $11,650 | $ 11,986 |
European Investment Bank | 7.125% | 9/18/2006 | 3,800 | 4,047 |
European Investment Bank | 4.625% | 3/1/2007 | 30,650 | 31,546 |
European Investment Bank | 2.375% | 6/15/2007 | 3,750 | 3,674 |
European Investment Bank | 3.125% | 10/15/2007 | 9,700 | 9,649 |
European Investment Bank | 3.375% | 3/16/2009 | 10,025 | 9,924 |
European Investment Bank | 4.625% | 5/15/2014 | 5,925 | 6,047 |
Export Development Canada | 4.00% | 8/1/2007 | 5,050 | 5,102 |
Export-Import Bank of Korea | 7.10% | 3/15/2007 | 3,250 | 3,475 |
Export-Import Bank of Korea | 4.50% | 8/12/2009 | 3,975 | 4,000 |
Federation of Malaysia | 8.75% | 6/1/2009 | 7,000 | 8,295 |
Federation of Malaysia | 7.50% | 7/15/2011 | 4,025 | 4,695 |
Financement Quebec | 5.00% | 10/25/2012 | 4,800 | 4,942 |
Hellenic Republic | 6.95% | 3/4/2008 | 6,025 | 6,603 |
Instituto de Credito Oficial | 6.00% | 5/19/2008 | 5,400 | 5,811 |
Inter-American Development Bank | 5.375% | 1/18/2006 | 4,615 | 4,732 |
Inter-American Development Bank | 6.125% | 3/8/2006 | 10,220 | 10,593 |
Inter-American Development Bank | 6.375% | 10/22/2007 | 2,400 | 2,589 |
Inter-American Development Bank | 5.75% | 2/26/2008 | 11,250 | 12,006 |
Inter-American Development Bank | 5.625% | 4/16/2009 | 20,550 | 22,106 |
Inter-American Development Bank | 8.50% | 3/15/2011 | 2,490 | 3,051 |
Inter-American Development Bank | 4.375% | 9/20/2012 | 5,825 | 5,867 |
Inter-American Development Bank | 7.00% | 6/15/2025 | 3,750 | 4,552 |
International Bank for | ||||
Reconstruction & Development | 5.00% | 3/28/2006 | 15,100 | 15,472 |
International Bank for | ||||
Reconstruction & Development | 6.625% | 8/21/2006 | 6,205 | 6,550 |
International Bank for | ||||
Reconstruction & Development | 4.375% | 9/28/2006 | 20,425 | 20,868 |
International Bank for | ||||
Reconstruction & Development | 4.125% | 6/24/2009 | 2,000 | 2,034 |
International Bank for | ||||
Reconstruction & Development | 7.625% | 1/19/2023 | 4,200 | 5,484 |
International Bank for | ||||
Reconstruction & Development | 8.875% | 3/1/2026 | 1,250 | 1,840 |
International Finance Corp. | 3.00% | 4/15/2008 | 10,400 | 10,290 |
KFW International Finance, Inc. | 2.50% | 10/17/2005 | 22,775 | 22,720 |
KFW International Finance, Inc. | 5.25% | 6/28/2006 | 3,900 | 4,019 |
KFW International Finance, Inc. | 4.75% | 1/24/2007 | 21,000 | 21,636 |
Korea Development Bank | 5.25% | 11/16/2006 | 2,540 | 2,610 |
Korea Development Bank | 3.875% | 3/2/2009 | 2,225 | 2,192 |
Korea Development Bank | 4.75% | 7/20/2009 | 9,575 | 9,745 |
Korea Development Bank | 5.75% | 9/10/2013 | 3,240 | 3,418 |
Korea Electric Power | 7.75% | 4/1/2013 | 5,400 | 6,399 |
Kredit Fuer Wiederaufbau | 2.375% | 9/25/2006 | 10,800 | 10,683 |
Kredit Fuer Wiederaufbau | 3.25% | 7/16/2007 | 13,725 | 13,684 |
Landwirtschaft Rentenbank | 3.375% | 11/15/2007 | 16,600 | 16,578 |
Landwirtschaft Rentenbank | 3.25% | 6/16/2008 | 5,400 | 5,351 |
Landwirtschaft Rentenbank | 3.875% | 9/4/2008 | 8,250 | 8,382 |
Nordic Investment Bank | 3.125% | 4/24/2008 | 5,850 | 5,792 |
Oesterreich Kontrollbank | 5.50% | 1/20/2006 | 8,091 | 8,305 |
48
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Oesterreich Kontrollbank | 5.125% | 3/20/2007 | $ 7,500 | $ 7,798 |
Ontario Hydro Electric | 6.10% | 1/30/2008 | 800 | 857 |
Ontario Hydro Electric | 7.45% | 3/31/2013 | 3,400 | 4,090 |
Pemex Project Funding Master Trust | 8.50% | 2/15/2008 | 4,200 | 4,725 |
Pemex Project Funding Master Trust | 7.875% | 2/1/2009 (3) | 17,730 | 19,875 |
Pemex Project Funding Master Trust | 9.125% | 10/13/2010 | 1,920 | 2,299 |
Pemex Project Funding Master Trust | 8.00% | 11/15/2011 (3) | 2,400 | 2,764 |
Pemex Project Funding Master Trust | 7.375% | 12/15/2014 | 10,100 | 11,186 |
Pemex Project Funding Master Trust | 8.625% | 2/1/2022 (3) | 8,105 | 9,402 |
People's Republic of China | 7.30% | 12/15/2008 | 2,400 | 2,704 |
People's Republic of China | 4.75% | 10/29/2013 | 2,400 | 2,411 |
Province of British Columbia | 4.625% | 10/3/2006 | 6,000 | 6,150 |
Province of British Columbia | 5.375% | 10/29/2008 | 6,600 | 7,004 |
Province of British Columbia | 4.30% | 5/30/2013 | 2,250 | 2,234 |
Province of Manitoba | 4.25% | 11/20/2006 | 4,500 | 4,584 |
Province of Manitoba | 7.50% | 2/22/2010 | 5,200 | 6,061 |
Province of New Brunswick | 3.50% | 10/23/2007 | 15,150 | 15,116 |
Province of Nova Scotia | 5.75% | 2/27/2012 | 2,075 | 2,255 |
Province of Ontario | 3.35% | 7/16/2007 | 6,625 | 6,605 |
Province of Ontario | 5.50% | 10/1/2008 | 31,400 | 33,350 |
Province of Ontario | 3.625% | 10/21/2009 | 2,275 | 2,247 |
Province of Ontario | 5.125% | 7/17/2012 | 7,950 | 8,356 |
Province of Quebec | 7.00% | 1/30/2007 | 3,000 | 3,217 |
Province of Quebec | 5.75% | 2/15/2009 | 250 | 268 |
Province of Quebec | 5.00% | 7/17/2009 | 19,370 | 20,211 |
Province of Quebec | 6.125% | 1/22/2011 | 5,185 | 5,712 |
Province of Quebec | 7.125% | 2/9/2024 | 1,030 | 1,264 |
Province of Quebec | 7.50% | 9/15/2029 | 6,680 | 8,716 |
Province of Saskatchewan | 7.375% | 7/15/2013 | 1,550 | 1,857 |
Quebec Hydro Electric | 6.30% | 5/11/2011 | 12,500 | 13,946 |
Quebec Hydro Electric | 8.00% | 2/1/2013 | 5,000 | 6,203 |
Quebec Hydro Electric | 7.50% | 4/1/2016 | 500 | 615 |
Quebec Hydro Electric | 8.40% | 1/15/2022 | 950 | 1,294 |
Region of Lombardy | 5.804% | 10/25/2032 | 3,250 | 3,449 |
Republic of Chile | 5.625% | 7/23/2007 | 10,545 | 11,010 |
Republic of Chile | 7.125% | 1/11/2012 | 3,500 | 3,970 |
Republic of Chile | 5.50% | 1/15/2013 | 1,140 | 1,182 |
Republic of Finland | 5.875% | 2/27/2006 | 2,825 | 2,920 |
Republic of Finland | 4.75% | 3/6/2007 | 2,900 | 2,988 |
Republic of Italy | 4.375% | 10/25/2006 | 32,900 | 33,549 |
Republic of Italy | 2.75% | 12/15/2006 | 4,975 | 4,928 |
Republic of Italy | 3.625% | 9/14/2007 | 25,250 | 25,356 |
Republic of Italy | 3.75% | 12/14/2007 | 7,750 | 7,823 |
Republic of Italy | 3.25% | 5/15/2009 | 1,400 | 1,369 |
Republic of Italy | 6.00% | 2/22/2011 | 9,000 | 9,906 |
Republic of Italy | 5.625% | 6/15/2012 | 28,425 | 30,797 |
Republic of Italy | 6.875% | 9/27/2023 | 3,350 | 4,027 |
Republic of Italy | 5.375% | 6/15/2033 | 12,500 | 12,625 |
Republic of Korea | 8.875% | 4/15/2008 | 4,200 | 4,861 |
Republic of Korea | 4.25% | 6/1/2013 | 4,150 | 3,954 |
Republic of Korea | 4.875% | 9/22/2014 | 4,225 | 4,167 |
49
Total Bond Market Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Republic of Poland | 6.25% | 7/3/2012 | $ 5,475 | $ 6,035 |
Republic of Poland | 5.25% | 1/15/2014 | 670 | 691 |
Republic of South Africa | 7.375% | 4/25/2012 | 15,450 | 17,590 |
Republic of South Africa | 6.50% | 6/2/2014 | 1,175 | 1,279 |
Republic of South Africa | 8.50% | 6/23/2017 | 1,075 | 1,342 |
State of Israel | 4.625% | 6/15/2013 | 1,800 | 1,731 |
Swedish Export Credit Corp. | 2.875% | 1/26/2007 | 4,700 | 4,663 |
Tenaga Nasional | 7.50% | 1/15/2096 (2) | 5,000 | 5,015 |
United Mexican States | 9.875% | 1/15/2007 | 7,050 | 7,935 |
United Mexican States | 8.625% | 3/12/2008 | 8,200 | 9,303 |
United Mexican States | 4.625% | 10/8/2008 | 7,825 | 7,962 |
United Mexican States | 10.375% | 2/17/2009 | 18,225 | 22,289 |
United Mexican States | 9.875% | 2/1/2010 | 3,730 | 4,580 |
United Mexican States | 8.375% | 1/14/2011 | 10,267 | 12,064 |
United Mexican States | 7.50% | 1/14/2012 | 9,800 | 11,113 |
United Mexican States | 6.375% | 1/16/2013 | 9,065 | 9,618 |
United Mexican States | 5.875% | 1/15/2014 | 4,500 | 4,613 |
United Mexican States | 6.625% | 3/3/2015 | 6,200 | 6,640 |
United Mexican States | 11.375% | 9/15/2016 | 6,050 | 8,894 |
United Mexican States | 8.125% | 12/30/2019 | 7,300 | 8,552 |
United Mexican States | 8.30% | 8/15/2031 | 19,280 | 22,461 |
United Mexican States | 7.50% | 4/8/2033 | 3,500 | 3,754 |
United Mexican States | 6.75% | 9/27/2034 | 3,900 | 3,838 |
TOTAL SOVEREIGN BONDS | ||||
(Cost $1,066,074) | 1,084,922 | |||
TAXABLE MUNICIPAL BONDS (0.2%) | ||||
Illinois (Taxable Pension) GO | 4.95% | 6/1/2023 | 4,775 | 4,632 |
Illinois (Taxable Pension) GO | 5.10% | 6/1/2033 | 33,750 | 32,585 |
Kansas Dev. Finance Auth. Rev | ||||
(Public Employee Retirement System) | 5.501% | 5/1/2034 | 5,925 | 6,045 |
New Jersey Econ. Dev. Auth. State Pension Rev | 7.425% | 2/15/2029 | 4,475 | 5,650 |
New Jersey Turnpike Auth. Rev | 4.252% | 1/1/2016 | 3,800 | 3,665 |
Oregon (Taxable Pension) GO | 5.762% | 6/1/2023 | 2,475 | 2,630 |
Oregon (Taxable Pension) GO | 5.892% | 6/1/2027 | 3,575 | 3,856 |
Oregon School Board Assn | 5.528% | 6/30/2028 | 1,525 | 1,565 |
Wisconsin Public Service Rev | 4.80% | 5/1/2013 | 3,150 | 3,191 |
Wisconsin Public Service Rev | 5.70% | 5/1/2026 | 3,550 | 3,735 |
TOTAL TAXABLE MUNICIPAL BONDS | ||||
(Cost $64,300) | 67,554 | |||
Shares | ||||
TEMPORARY CASH INVESTMENTS (1.8%) | ||||
Vanguard Market Liquidity Fund, 2.26%† | 490,163,315 | 490,163 | ||
Vanguard Market Liquidity Fund, 2.26%†—Note E | 31,824,050 | 31,824 | ||
TOTAL TEMPORARY CASH INVESTMENTS | ||||
(Cost $521,987) | 521,987 | |||
TOTAL INVESTMENTS (101.2%) | ||||
(Cost $29,193,506) | 29,776,854 | |||
50
Market Value^ (000) | |
---|---|
OTHER ASSETS AND LIABILITIES (-1.2%) | |
Other Assets—Note B | $ 635,440 |
Payables for Investment Securities Purchased | (813,473) |
Other Liabilities—Note E | (173,740) |
(351,773) | |
NET ASSETS (100%) | $ 29,425,081 |
^ | See Note A in Notes to Financial Statements. |
* | The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action. |
** | Non-income-producing security—security in default. |
† | Money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
(1) | The average maturity is shorter than the final maturity shown due to scheduled interim principal payments and prepayments. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2004, the aggregate value of these securities |
(3) | Adjustable-rate note. |
GO—General Obligation Bond. |
AT DECEMBER 31, 2004, NET ASSETS CONSISTED OF: | |
---|---|
Amount | |
(000) | |
Paid-in Capital | $28,833,590 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 3,520 |
Unrealized Appreciation | |
Investment Securities | 583,348 |
Swap Contracts | 4,623 |
NET ASSETS | $29,425,081 |
Investor Shares—Net Assets | |
Applicable to 1,896,132,005 outstanding $.001 par value shares | |
of beneficial interest (unlimited authorization) | $19,478,836 |
NET ASSET VALUE PER SHARE—INVESTOR SHARES | $10.27 |
Admiral Shares—Net Assets | |
Applicable to 243,587,620 outstanding $.001 par value shares | |
of beneficial interest (unlimited authorization) | $2,502,359 |
NET ASSET VALUE PER SHARE—ADMIRAL SHARES | $10.27 |
Institutional Shares—Net Assets | |
Applicable to 724,611,621 outstanding $.001 par value shares | |
of beneficial interest (unlimited authorization) | $7,443,886 |
NET ASSET VALUE PER SHARE—INSTITUTIONAL SHARES | $10.27 |
See Note C in Notes to Financial Statements for the tax-basis components of net assets
51
Short-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (65.7%) | ||||
U.S. Government Securities (41.8%) | ||||
U.S. Treasury Bond | 13.25% | 5/15/2014 | $ 35,000 | $ 48,710 |
U.S. Treasury Note | 1.625% | 2/28/2006 | 137,550 | 135,659 |
U.S. Treasury Note | 2.25% | 4/30/2006 | 4,500 | 4,462 |
U.S. Treasury Note | 2.50% | 5/31/2006 | 232,575 | 231,268 |
U.S. Treasury Note | 2.75% | 6/30/2006 | 142,550 | 142,194 |
U.S. Treasury Note | 7.00% | 7/15/2006 | 211,085 | 224,014 |
U.S. Treasury Note | 2.50% | 9/30/2006 | 82,525 | 81,803 |
U.S. Treasury Note | 6.50% | 10/15/2006 | 109,885 | 116,478 |
U.S. Treasury Note | 3.125% | 5/15/2007 | 20,475 | 20,465 |
U.S. Treasury Note | 4.375% | 5/15/2007 | 8,025 | 8,247 |
U.S. Treasury Note | 6.625% | 5/15/2007 | 116,825 | 126,097 |
U.S. Treasury Note | 2.75% | 8/15/2007 | 11,150 | 11,026 |
U.S. Treasury Note | 3.25% | 8/15/2007 | 6,300 | 6,308 |
U.S. Treasury Note | 6.125% | 8/15/2007 | 160,025 | 171,777 |
U.S. Treasury Note | 5.50% | 2/15/2008 | 19,775 | 21,070 |
U.S. Treasury Note | 5.625% | 5/15/2008 | 170,425 | 182,861 |
U.S. Treasury Note | 3.125% | 10/15/2008 | 63,400 | 62,716 |
U.S. Treasury Note | 4.75% | 11/15/2008 | 13,200 | 13,829 |
U.S. Treasury Note | 3.375% | 12/15/2008 | 26,325 | 26,247 |
U.S. Treasury Note | 3.25% | 1/15/2009 | 144,725 | 143,482 |
U.S. Treasury Note | 2.625% | 3/15/2009 | 32,225 | 31,147 |
U.S. Treasury Note | 3.125% | 4/15/2009 | 48,850 | 48,125 |
U.S. Treasury Note | 3.875% | 5/15/2009 | 84,225 | 85,488 |
U.S. Treasury Note | 4.00% | 6/15/2009 | 3,650 | 3,721 |
U.S. Treasury Note | 3.625% | 7/15/2009 | 3,575 | 3,587 |
U.S. Treasury Note | 3.50% | 8/15/2009 | 75 | 75 |
U.S. Treasury Note | 6.00% | 8/15/2009 | 79,675 | 87,891 |
U.S. Treasury Note | 3.375% | 9/15/2009 | 3,650 | 3,616 |
U.S. Treasury Note | 3.375% | 10/15/2009 | 2,700 | 2,673 |
U.S. Treasury Note | 6.50% | 2/15/2010 | 135,700 | 153,658 |
2,198,694 | ||||
Agency Bonds and Notes (23.9%) | ||||
Federal Farm Credit Bank* | 2.50% | 11/15/2005 | 10,000 | 9,964 |
Federal Farm Credit Bank* | 2.50% | 3/15/2006 | 10,000 | 9,929 |
Federal Farm Credit Bank* | 3.25% | 6/15/2007 | 7,525 | 7,501 |
Federal Farm Credit Bank* | 3.00% | 12/17/2007 | 3,825 | 3,768 |
Federal Farm Credit Bank* | 3.375% | 7/15/2008 | 4,475 | 4,447 |
Federal Home Loan Bank* | 2.50% | 12/15/2005 | 6,000 | 5,976 |
Federal Home Loan Bank* | 5.125% | 3/6/2006 | 50,575 | 51,744 |
Federal Home Loan Bank* | 2.50% | 3/15/2006 | 42,500 | 42,199 |
Federal Home Loan Bank* | 2.25% | 5/15/2006 | 12,500 | 12,352 |
Federal Home Loan Bank* | 1.875% | 6/15/2006 | 17,500 | 17,183 |
Federal Home Loan Bank* | 2.875% | 8/15/2006 | 34,500 | 34,327 |
Federal Home Loan Bank* | 3.50% | 8/15/2006 | 24,625 | 24,742 |
Federal Home Loan Bank* | 2.625% | 10/16/2006 | 17,500 | 17,313 |
Federal Home Loan Bank* | 4.875% | 11/15/2006 | 22,775 | 23,430 |
Federal Home Loan Bank* | 3.375% | 9/14/2007 | 20,000 | 19,954 |
Federal Home Loan Bank* | 3.375% | 2/15/2008 | 7,500 | 7,456 |
Federal Home Loan Bank* | 2.75% | 3/14/2008 | 17,500 | 17,057 |
52
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Federal Home Loan Bank* | 2.625% | 7/15/2008 | $ 16,000 | $ 15,454 |
Federal Home Loan Bank* | 5.80% | 9/2/2008 | 6,000 | 6,423 |
Federal Home Loan Bank* | 3.625% | 11/14/2008 | 30,000 | 29,872 |
Federal Home Loan Bank* | 3.75% | 8/18/2009 | 30,000 | 29,855 |
Federal Home Loan Mortgage Corp.* | 5.25% | 1/15/2006 | 46,000 | 47,034 |
Federal Home Loan Mortgage Corp.* | 1.875% | 2/15/2006 | 18,000 | 17,763 |
Federal Home Loan Mortgage Corp.* | 2.375% | 4/15/2006 | 10,000 | 9,909 |
Federal Home Loan Mortgage Corp.* | 5.50% | 7/15/2006 | 46,800 | 48,416 |
Federal Home Loan Mortgage Corp.* | 2.75% | 10/15/2006 | 15,000 | 14,872 |
Federal Home Loan Mortgage Corp.* | 2.875% | 12/15/2006 | 30,000 | 29,759 |
Federal Home Loan Mortgage Corp.* | 2.375% | 2/15/2007 | 10,000 | 9,804 |
Federal Home Loan Mortgage Corp.* | 4.875% | 3/15/2007 | 26,000 | 26,825 |
Federal Home Loan Mortgage Corp.* | 3.50% | 9/15/2007 | 23,000 | 23,021 |
Federal Home Loan Mortgage Corp.* | 5.75% | 4/15/2008 | 25,500 | 27,187 |
Federal Home Loan Mortgage Corp.* | 3.625% | 9/15/2008 | 25,000 | 24,915 |
Federal Home Loan Mortgage Corp.* | 5.125% | 10/15/2008 | 32,500 | 34,080 |
Federal Home Loan Mortgage Corp.* | 5.25% | 1/15/2009 | 23,500 | 24,777 |
Federal Home Loan Mortgage Corp.* | 5.75% | 3/15/2009 | 32,500 | 34,918 |
Federal Home Loan Mortgage Corp.* | 6.625% | 9/15/2009 | 15,000 | 16,736 |
Federal National Mortgage Assn.* | 6.00% | 12/15/2005 | 9,000 | 9,257 |
Federal National Mortgage Assn.* | 5.50% | 2/15/2006 | 37,000 | 37,973 |
Federal National Mortgage Assn.* | 2.125% | 4/15/2006 | 10,000 | 9,878 |
Federal National Mortgage Assn.* | 5.50% | 5/2/2006 | 3,000 | 3,083 |
Federal National Mortgage Assn.* | 2.25% | 5/15/2006 | 9,000 | 8,893 |
Federal National Mortgage Assn.* | 2.50% | 6/15/2006 | 14,575 | 14,438 |
Federal National Mortgage Assn.* | 5.25% | 6/15/2006 | 20,000 | 20,587 |
Federal National Mortgage Assn.* | 3.125% | 7/15/2006 | 30,000 | 29,978 |
Federal National Mortgage Assn.* | 2.625% | 11/15/2006 | 40,000 | 39,533 |
Federal National Mortgage Assn.* | 4.75% | 1/2/2007 | 4,000 | 4,092 |
Federal National Mortgage Assn.* | 5.00% | 1/15/2007 | 36,750 | 37,944 |
Federal National Mortgage Assn.* | 7.125% | 3/15/2007 | 25,150 | 27,138 |
Federal National Mortgage Assn.* | 5.25% | 4/15/2007 | 25,000 | 26,027 |
Federal National Mortgage Assn.* | 4.25% | 7/15/2007 | 15,000 | 15,287 |
Federal National Mortgage Assn.* | 3.00% | 8/15/2007 | 15,000 | 14,827 |
Federal National Mortgage Assn.* | 6.625% | 10/15/2007 | 32,500 | 35,193 |
Federal National Mortgage Assn.* | 3.25% | 1/15/2008 | 5,000 | 4,957 |
Federal National Mortgage Assn.* | 5.75% | 2/15/2008 | 36,500 | 38,822 |
Federal National Mortgage Assn.* | 6.00% | 5/15/2008 | 33,075 | 35,554 |
Federal National Mortgage Assn.* | 3.25% | 2/15/2009 | 17,500 | 17,139 |
Federal National Mortgage Assn.* | 6.375% | 6/15/2009 | 28,500 | 31,399 |
Federal National Mortgage Assn.* | 6.625% | 9/15/2009 | 5,000 | 5,579 |
Tennessee Valley Auth.* | 5.375% | 11/13/2008 | 11,003 | 11,642 |
1,260,182 | ||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | ||||
(Cost $3,477,758) | 3,458,876 | |||
CORPORATE BONDS (25.4%) | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%) | ||||
California Infrastructure & Economic Development Bank | ||||
Special Purpose Trust SCE-1 | 6.31% | 9/25/2008 (1) | 576 | 594 |
Countrywide Home Loans | 4.528% | 9/19/2032 (1)(3) | 183 | 183 |
53
Short-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Countrywide Home Loans | 4.109% | 5/25/2033 (1)(3) | $ 1,412 | $ 1,404 |
M&I Auto Loan Trust | 3.04% | 10/20/2008 (1) | 1,000 | 996 |
PECO Energy Transition Trust | 5.80% | 3/1/2007 (1) | 906 | 910 |
PP&L Transition Bond Co. LLC | 6.96% | 12/26/2007 (1) | 1,000 | 1,024 |
Salomon Brothers Mortgage Securities VII | 4.128% | 9/25/2033 (1)(3) | 6,135 | 6,092 |
USAA Auto Owner Trust | 2.93% | 7/16/2007 (1) | 400 | 399 |
Washington Mutual Mortgage | ||||
Pass-Through Certificates | 5.502% | 4/26/2032 (1)(3) | 400 | 404 |
12,006 | ||||
Finance (12.1%) | ||||
Banking (5.2%) | ||||
Abbey National PLC | 6.69% | 10/17/2005 | 2,000 | 2,054 |
ABN AMRO Bank NV | 7.55% | 6/28/2006 | 1,010 | 1,072 |
ABN AMRO Bank NV | 7.125% | 6/18/2007 | 4,000 | 4,311 |
Associates Corp. of North America | 6.25% | 11/1/2008 | 8,000 | 8,666 |
Banc One Corp. | 7.60% | 5/1/2007 | 2,000 | 2,191 |
Bank of America Corp. | 7.125% | 9/15/2006 | 5,000 | 5,327 |
Bank of America Corp. | 5.25% | 2/1/2007 | 2,000 | 2,074 |
Bank of America Corp. | 3.375% | 2/17/2009 | 4,000 | 3,926 |
Bank of New York Co., Inc. | 3.75% | 2/15/2008 | 3,250 | 3,258 |
Bank One Corp. | 6.875% | 8/1/2006 | 600 | 633 |
Bank One Corp. | 4.125% | 9/1/2007 | 4,500 | 4,577 |
Bank One Corp. | 2.625% | 6/30/2008 | 3,600 | 3,463 |
Bank One Corp. | 6.00% | 8/1/2008 | 1,500 | 1,606 |
Bank One Corp. | 6.00% | 2/17/2009 | 5,000 | 5,367 |
Bank One NA (IL) | 5.50% | 3/26/2007 | 2,500 | 2,618 |
Bank One NA (IL) | 3.70% | 1/15/2008 | 1,000 | 1,002 |
BankAmerica Corp. | 6.625% | 8/1/2007 | 4,210 | 4,516 |
BankAmerica Corp. | 5.875% | 2/15/2009 | 3,500 | 3,757 |
BankBoston NA | 6.375% | 3/25/2008 | 2,500 | 2,702 |
Citicorp | 6.375% | 11/15/2008 | 2,000 | 2,178 |
Citigroup, Inc. | 6.75% | 12/1/2005 | 3,000 | 3,099 |
Citigroup, Inc. | 5.75% | 5/10/2006 | 6,500 | 6,721 |
Citigroup, Inc. | 5.50% | 8/9/2006 | 3,500 | 3,620 |
Citigroup, Inc. | 5.00% | 3/6/2007 | 2,500 | 2,593 |
Citigroup, Inc. | 3.625% | 2/9/2009 | 2,500 | 2,482 |
Citigroup, Inc. | 4.25% | 7/29/2009 | 4,925 | 4,983 |
Depfa Bank | 3.625% | 10/29/2008 | 2,000 | 1,989 |
Deutsche Bank Financial, Inc. | 6.70% | 12/13/2006 | 675 | 715 |
Deutsche Bank Financial, Inc. | 7.50% | 4/25/2009 | 1,500 | 1,702 |
Fifth Third Bank | 3.375% | 8/15/2008 | 3,100 | 3,058 |
Fleet Boston Financial Corp. | 4.875% | 12/1/2006 | 5,025 | 5,164 |
Fleet Boston Financial Corp. | 3.85% | 2/15/2008 | 3,700 | 3,719 |
Golden West Financial Corp. | 4.125% | 8/15/2007 | 3,250 | 3,296 |
HSBC Bank PLC | 7.625% | 6/15/2006 | 2,000 | 2,119 |
HSBC Bank USA | 3.875% | 9/15/2009 | 2,000 | 1,982 |
HSBC Holdings PLC | 7.50% | 7/15/2009 | 1,500 | 1,708 |
HSBC USA, Inc. | 7.00% | 11/1/2006 | 2,500 | 2,654 |
J.P. Morgan Chase & Co. | 5.625% | 8/15/2006 | 1,900 | 1,969 |
J.P. Morgan Chase & Co. | 5.35% | 3/1/2007 | 1,642 | 1,708 |
J.P. Morgan Chase & Co. | 5.25% | 5/30/2007 | 8,075 | 8,406 |
54
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
J.P. Morgan Chase & Co. | 4.00% | 2/1/2008 | $ 3,500 | $ 3,534 |
J.P. Morgan Chase & Co. | 3.625% | 5/1/2008 | 2,000 | 1,993 |
J.P. Morgan Chase & Co. | 3.50% | 3/15/2009 | 2,500 | 2,459 |
J.P. Morgan Chase & Co. | 3.80% | 10/2/2009 | 6,150 | 6,072 |
Key Bank NA | 5.00% | 7/17/2007 | 1,000 | 1,034 |
KeyCorp | 4.70% | 5/21/2009 | 2,000 | 2,049 |
Marshall & Ilsley Bank | 4.125% | 9/4/2007 | 2,500 | 2,536 |
Marshall & Ilsley Corp. | 4.375% | 8/1/2009 | 1,350 | 1,368 |
Mellon Financial Co. | 6.70% | 3/1/2008 | 1,000 | 1,088 |
National City Bank | 4.15% | 8/1/2009 | 2,000 | 2,006 |
National City Bank of Indiana | 4.875% | 7/20/2007 | 2,200 | 2,270 |
National City Corp. | 3.20% | 4/1/2008 | 500 | 492 |
National Westminster Bank PLC | 7.375% | 10/1/2009 | 4,000 | 4,545 |
NationsBank Corp. | 7.50% | 9/15/2006 | 1,000 | 1,069 |
NationsBank Corp. | 6.375% | 2/15/2008 | 3,300 | 3,557 |
PNC Funding Corp. | 5.75% | 8/1/2006 | 4,800 | 4,976 |
Popular North America, Inc. | 6.125% | 10/15/2006 | 3,000 | 3,135 |
Popular North America, Inc. | 4.25% | 4/1/2008 | 2,000 | 2,020 |
Salomon Smith Barney Holdings Inc. | 5.875% | 3/15/2006 | 6,000 | 6,194 |
Salomon Smith Barney Holdings Inc. | 6.50% | 2/15/2008 | 6,300 | 6,817 |
Sanwa Bank Ltd. | 8.35% | 7/15/2009 | 3,000 | 3,502 |
Societe Generale | 7.40% | 6/1/2006 | 2,000 | 2,111 |
Sumitomo Bank International Finance NV | 8.50% | 6/15/2009 | 2,500 | 2,917 |
SunTrust Banks, Inc. | 7.375% | 7/1/2006 | 3,000 | 3,199 |
SunTrust Banks, Inc. | 7.25% | 9/15/2006 | 1,000 | 1,064 |
Synovus Financial Corp. | 7.25% | 12/15/2005 | 1,700 | 1,765 |
The Chase Manhattan Corp. | 7.125% | 2/1/2007 | 2,150 | 2,315 |
The Chase Manhattan Corp. | 6.375% | 4/1/2008 | 1,950 | 2,100 |
Union Planters Bank NA | 5.125% | 6/15/2007 | 1,630 | 1,691 |
US Bancorp | 5.10% | 7/15/2007 | 4,000 | 4,155 |
US Bancorp | 3.95% | 8/23/2007 | 3,000 | 3,031 |
US Bancorp | 3.125% | 3/15/2008 | 3,000 | 2,953 |
US Bank NA | 2.85% | 11/15/2006 | 3,000 | 2,975 |
US Bank NA | 3.70% | 8/1/2007 | 1,775 | 1,783 |
Wachovia Corp. | 4.95% | 11/1/2006 | 10,500 | 10,789 |
Wachovia Corp. | 3.50% | 8/15/2008 | 2,000 | 1,983 |
Wachovia Corp. | 3.625% | 2/17/2009 | 3,500 | 3,458 |
Washington Mutual Finance Corp. | 6.25% | 5/15/2006 | 8,775 | 9,130 |
Washington Mutual, Inc. | 4.00% | 1/15/2009 | 1,500 | 1,495 |
Wells Fargo & Co. | 6.875% | 4/1/2006 | 1,100 | 1,149 |
Wells Fargo & Co. | 5.90% | 5/21/2006 | 1,900 | 1,972 |
Wells Fargo & Co. | 5.125% | 2/15/2007 | 3,550 | 3,680 |
Wells Fargo & Co. | 5.25% | 12/1/2007 | 2,000 | 2,091 |
Wells Fargo & Co. | 3.50% | 4/4/2008 | 6,500 | 6,447 |
Wells Fargo & Co. | 3.125% | 4/1/2009 | 3,000 | 2,910 |
World Savings Bank, FSB | 4.125% | 12/15/2009 | 2,000 | 2,001 |
Brokerage (2.4%) | ||||
Bear Stearns Co., Inc. | 5.70% | 1/15/2007 | 775 | 807 |
Bear Stearns Co., Inc. | 7.00% | 3/1/2007 | 5,300 | 5,689 |
Bear Stearns Co., Inc. | 7.80% | 8/15/2007 | 1,800 | 1,987 |
55
Short-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Bear Stearns Co., Inc. | 4.00% | 1/31/2008 | $ 3,000 | $ 3,031 |
Bear Stearns Co., Inc. | 2.875% | 7/2/2008 | 4,500 | 4,353 |
Credit Suisse First Boston USA, Inc. | 5.75% | 4/15/2007 | 5,075 | 5,329 |
Credit Suisse First Boston USA, Inc. | 4.625% | 1/15/2008 | 4,500 | 4,630 |
Credit Suisse First Boston USA, Inc. | 3.875% | 1/15/2009 | 3,500 | 3,491 |
Credit Suisse First Boston USA, Inc. | 4.70% | 6/1/2009 | 5,500 | 5,637 |
Credit Suisse First Boston USA, Inc. | 4.125% | 1/15/2010 | 650 | 648 |
Goldman Sachs Group, Inc. | 4.125% | 1/15/2008 | 3,000 | 3,050 |
Goldman Sachs Group, Inc. | 3.875% | 1/15/2009 | 4,675 | 4,666 |
Goldman Sachs Group, Inc. | 6.65% | 5/15/2009 | 5,300 | 5,847 |
Goldman Sachs Group, Inc. | 7.35% | 10/1/2009 | 1,500 | 1,708 |
Lehman Brothers Holdings, Inc. | 6.625% | 2/5/2006 | 5,260 | 5,458 |
Lehman Brothers Holdings, Inc. | 6.25% | 5/15/2006 | 3,000 | 3,122 |
Lehman Brothers Holdings, Inc. | 7.375% | 1/15/2007 | 2,500 | 2,684 |
Lehman Brothers Holdings, Inc. | 4.00% | 1/22/2008 | 2,500 | 2,521 |
Lehman Brothers Holdings, Inc. | 7.00% | 2/1/2008 | 2,500 | 2,735 |
Lehman Brothers Holdings, Inc. | 3.50% | 8/7/2008 | 3,000 | 2,971 |
Lehman Brothers Holdings, Inc. | 3.60% | 3/13/2009 | 2,200 | 2,168 |
Lehman Brothers Holdings, Inc. | 3.95% | 11/10/2009 | 3,200 | 3,169 |
Merrill Lynch & Co., Inc. | 6.15% | 1/26/2006 | 1,500 | 1,548 |
Merrill Lynch & Co., Inc. | 7.00% | 1/15/2007 | 1,042 | 1,115 |
Merrill Lynch & Co., Inc. | 3.375% | 9/14/2007 | 3,000 | 2,990 |
Merrill Lynch & Co., Inc. | 4.00% | 11/15/2007 | 10,350 | 10,463 |
Merrill Lynch & Co., Inc. | 4.125% | 1/15/2009 | 1,650 | 1,657 |
Merrill Lynch & Co., Inc. | 6.00% | 2/17/2009 | 5,500 | 5,928 |
Merrill Lynch & Co., Inc. | 4.125% | 9/10/2009 | 2,500 | 2,499 |
Morgan Stanley Dean Witter | 6.875% | 3/1/2007 | 2,250 | 2,409 |
Morgan Stanley Dean Witter | 5.80% | 4/1/2007 | 12,625 | 13,251 |
Morgan Stanley Dean Witter | 3.625% | 4/1/2008 | 2,200 | 2,192 |
Morgan Stanley Dean Witter | 3.875% | 1/15/2009 | 6,525 | 6,496 |
Finance Companies (3.5%) | ||||
American Express Centurion Bank | 4.375% | 7/30/2009 | 1,625 | 1,653 |
American Express Co. | 5.50% | 9/12/2006 | 1,500 | 1,555 |
American Express Co. | 3.75% | 11/20/2007 | 2,250 | 2,260 |
American Express Co. | 4.75% | 6/17/2009 | 1,525 | 1,575 |
American Express Credit Corp. | 3.00% | 5/16/2008 | 3,000 | 2,935 |
American General Finance Corp. | 5.875% | 7/14/2006 | 1,000 | 1,037 |
American General Finance Corp. | 3.00% | 11/15/2006 | 2,900 | 2,875 |
American General Finance Corp. | 5.75% | 3/15/2007 | 4,200 | 4,384 |
American General Finance Corp. | 3.875% | 10/1/2009 | 2,550 | 2,510 |
Capital One Bank | 6.875% | 2/1/2006 | 3,000 | 3,115 |
Capital One Bank | 4.875% | 5/15/2008 | 1,750 | 1,800 |
Capital One Bank | 4.25% | 12/1/2008 | 2,500 | 2,515 |
CIT Group, Inc. | 6.50% | 2/7/2006 | 5,300 | 5,489 |
CIT Group, Inc. | 4.125% | 2/21/2006 | 1,500 | 1,516 |
CIT Group, Inc. | 2.875% | 9/29/2006 | 3,000 | 2,971 |
CIT Group, Inc. | 7.375% | 4/2/2007 | 1,000 | 1,081 |
CIT Group, Inc. | 5.75% | 9/25/2007 | 2,500 | 2,630 |
CIT Group, Inc. | 3.65% | 11/23/2007 | 2,000 | 1,991 |
CIT Group, Inc. | 4.00% | 5/8/2008 | 1,000 | 1,002 |
CIT Group, Inc. | 4.125% | 11/3/2009 | 1,800 | 1,781 |
56
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Countrywide Home Loan | 5.50% | 2/1/2007 | $ 2,000 | $ 2,073 |
Countrywide Home Loan | 2.875% | 2/15/2007 | 2,000 | 1,969 |
Countrywide Home Loan | 5.625% | 5/15/2007 | 6,000 | 6,265 |
Countrywide Home Loan | 3.25% | 5/21/2008 | 4,500 | 4,399 |
Countrywide Home Loan | 6.25% | 4/15/2009 | 3,500 | 3,777 |
Countrywide Home Loan | 4.125% | 9/15/2009 | 1,925 | 1,918 |
General Electric Capital Corp. | 2.80% | 1/15/2007 | 2,750 | 2,717 |
General Electric Capital Corp. | 5.375% | 3/15/2007 | 9,400 | 9,772 |
General Electric Capital Corp. | 8.75% | 5/21/2007 | 2,500 | 2,794 |
General Electric Capital Corp. | 5.00% | 6/15/2007 | 8,150 | 8,425 |
General Electric Capital Corp. | 4.25% | 1/15/2008 | 5,750 | 5,846 |
General Electric Capital Corp. | 3.50% | 5/1/2008 | 11,000 | 10,918 |
General Electric Capital Corp. | 7.375% | 1/19/2010 | 5,025 | 5,752 |
Heller Financial, Inc. | 7.375% | 11/1/2009 | 3,200 | 3,649 |
Household Finance Corp. | 6.50% | 1/24/2006 | 6,000 | 6,204 |
Household Finance Corp. | 7.20% | 7/15/2006 | 1,250 | 1,322 |
Household Finance Corp. | 5.75% | 1/30/2007 | 11,025 | 11,510 |
Household Finance Corp. | 7.875% | 3/1/2007 | 2,000 | 2,179 |
Household Finance Corp. | 4.625% | 1/15/2008 | 2,500 | 2,560 |
Household Finance Corp. | 6.40% | 6/17/2008 | 3,600 | 3,891 |
Household Finance Corp. | 4.125% | 12/15/2008 | 3,400 | 3,413 |
Household Finance Corp. | 5.875% | 2/1/2009 | 2,000 | 2,135 |
Household Finance Corp. | 4.75% | 5/15/2009 | 1,500 | 1,537 |
Household Finance Corp. | 4.125% | 11/16/2009 | 1,850 | 1,839 |
International Lease Finance Corp. | 4.00% | 1/17/2006 | 5,000 | 5,043 |
International Lease Finance Corp. | 3.125% | 5/3/2007 | 1,050 | 1,037 |
International Lease Finance Corp. | 5.625% | 6/1/2007 | 2,625 | 2,739 |
International Lease Finance Corp. | 4.50% | 5/1/2008 | 3,000 | 3,051 |
International Lease Finance Corp. | 6.375% | 3/15/2009 | 2,500 | 2,701 |
MBNA America Bank NA | 5.375% | 1/15/2008 | 3,750 | 3,911 |
MBNA America Bank NA | 4.625% | 8/3/2009 | 2,250 | 2,292 |
SLM Corp. | 3.625% | 3/17/2008 | 3,000 | 2,980 |
SLM Corp. | 4.00% | 1/15/2009 | 2,500 | 2,492 |
USA Education, Inc. | 5.625% | 4/10/2007 | 5,775 | 6,017 |
Insurance (0.6%) | ||||
ACE Ltd. | 6.00% | 4/1/2007 | 1,900 | 1,984 |
Allstate Corp. | 5.375% | 12/1/2006 | 4,500 | 4,661 |
American International Group, Inc. | 2.85% | 12/1/2005 | 3,000 | 2,991 |
American International Group, Inc. | 2.875% | 5/15/2008 (3) | 1,000 | 969 |
Equitable Cos., Inc. | 6.50% | 4/1/2008 | 2,000 | 2,151 |
Genworth Financial, Inc. | 4.75% | 6/15/2009 | 1,625 | 1,667 |
Hartford Financial Services Group, Inc. | 4.70% | 9/1/2007 | 1,800 | 1,835 |
Marsh & McLennan Cos., Inc. | 3.625% | 2/15/2008 | 3,000 | 2,899 |
MetLife, Inc. | 5.25% | 12/1/2006 | 2,000 | 2,066 |
Monumental Global Funding II | 6.05% | 1/19/2006 (2) | 2,000 | 2,061 |
Nationwide Life Global Funding | 5.35% | 2/15/2007 (2) | 1,000 | 1,032 |
Principal Life Inc. Funding | 3.20% | 4/1/2009 | 1,500 | 1,447 |
Protective Life Secured Trust | 3.70% | 11/24/2008 | 1,275 | 1,262 |
Prudential Financial, Inc. | 3.75% | 5/1/2008 | 1,000 | 995 |
Travelers Property Casualty Corp. | 3.75% | 3/15/2008 | 2,525 | 2,504 |
57
Short-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Real Estate Investment Trusts (0.3%) | ||||
Archstone-Smith Trust | 3.00% | 6/15/2008 | $ 2,000 | $ 1,935 |
Brandywine Realty Trust | 4.50% | 11/1/2009 | 1,500 | 1,489 |
EOP Operating LP | 8.375% | 3/15/2006 | 2,300 | 2,434 |
EOP Operating LP | 7.75% | 11/15/2007 | 3,300 | 3,645 |
iStar Financial Inc. | 4.875% | 1/15/2009 | 1,000 | 1,017 |
Simon Property Group Inc. | 6.375% | 11/15/2007 | 3,000 | 3,205 |
Simon Property Group Inc. | 3.75% | 1/30/2009 | 2,300 | 2,259 |
Vornado Realty | 5.625% | 6/15/2007 | 1,500 | 1,561 |
Other (0.1%) | ||||
Berkshire Hathaway Finance Corp. | 3.40% | 7/2/2007 (2) | 275 | 275 |
Berkshire Hathaway Finance Corp. | 3.375% | 10/15/2008 | 3,000 | 2,973 |
634,233 | ||||
Industrial (11.5%) | ||||
Basic Industry (0.5%) | ||||
Alcoa, Inc. | 4.25% | 8/15/2007 | 2,500 | 2,544 |
Chevron Philips Chemical Co. | 5.375% | 6/15/2007 | 2,500 | 2,586 |
Dow Chemical Co. | 5.00% | 11/15/2007 | 1,500 | 1,551 |
E.I. du Pont de Nemours & Co. | 6.75% | 9/1/2007 | 1,575 | 1,706 |
E.I. du Pont de Nemours & Co. | 6.875% | 10/15/2009 | 5,000 | 5,616 |
ICI Wilmington | 4.375% | 12/1/2008 | 2,200 | 2,209 |
International Paper Co. | 4.25% | 1/15/2009 | 1,000 | 1,004 |
Monsanto Co. | 4.00% | 5/15/2008 | 2,000 | 2,003 |
Praxair, Inc. | 2.75% | 6/15/2008 | 3,000 | 2,891 |
Rio Tinto Finance USA Ltd. | 2.625% | 9/30/2008 | 2,000 | 1,916 |
Rohm & Haas Co. | 7.40% | 7/15/2009 | 1,500 | 1,701 |
Weyerhaeuser Co. | 6.125% | 3/15/2007 | 1,102 | 1,163 |
Weyerhaeuser Co. | 5.95% | 11/1/2008 | 1,332 | 1,427 |
Capital Goods (1.1%) | ||||
Boeing Capital Corp. | 5.75% | 2/15/2007 | 4,500 | 4,704 |
Caterpillar Financial Services Corp. | 5.95% | 5/1/2006 | 5,000 | 5,180 |
Caterpillar Financial Services Corp. | 2.70% | 7/15/2008 | 1,500 | 1,447 |
General Dynamics Corp. | 2.125% | 5/15/2006 | 1,025 | 1,011 |
General Dynamics Corp. | 3.00% | 5/15/2008 | 2,525 | 2,465 |
Honeywell International, Inc. | 5.125% | 11/1/2006 | 3,000 | 3,092 |
John Deere Capital Corp. | 4.50% | 8/22/2007 | 2,000 | 2,047 |
John Deere Capital Corp. | 3.90% | 1/15/2008 | 5,000 | 5,035 |
Masco Corp. | 6.75% | 3/15/2006 | 3,000 | 3,122 |
McDonnell Douglas Corp. | 6.875% | 11/1/2006 | 1,500 | 1,591 |
Northrop Grumman Corp. | 7.00% | 3/1/2006 | 2,157 | 2,247 |
Raytheon Co. | 6.75% | 8/15/2007 | 2,337 | 2,514 |
Raytheon Co. | 4.50% | 11/15/2007 | 958 | 978 |
Republic Services, Inc. | 7.125% | 5/15/2009 | 1,500 | 1,673 |
Textron Financial Corp. | 5.875% | 6/1/2007 | 3,300 | 3,474 |
Tyco International Group SA | 6.375% | 2/15/2006 | 2,000 | 2,065 |
Tyco International Group SA | 5.80% | 8/1/2006 | 4,100 | 4,250 |
United Technologies Corp. | 4.875% | 11/1/2006 | 3,000 | 3,080 |
USA Waste Services, Inc. | 7.125% | 10/1/2007 | 2,000 | 2,172 |
Waste Management, Inc. | 6.50% | 11/15/2008 | 1,025 | 1,112 |
Waste Management, Inc. | 6.875% | 5/15/2009 | 2,000 | 2,200 |
58
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Communication (2.2%) | ||||
America Movil SA de C.V. | 4.125% | 3/1/2009 | $ 1,550 | $ 1,524 |
Ameritech Capital Funding | 6.15% | 1/15/2008 | 3,000 | 3,192 |
AT&T Wireless Services, Inc. | 7.35% | 3/1/2006 | 750 | 785 |
AT&T Wireless Services, Inc. | 7.50% | 5/1/2007 | 4,200 | 4,562 |
BellSouth Corp. | 5.00% | 10/15/2006 | 3,150 | 3,236 |
BellSouth Corp. | 4.20% | 9/15/2009 | 3,450 | 3,462 |
British Sky Broadcasting Corp. | 7.30% | 10/15/2006 | 1,815 | 1,927 |
British Sky Broadcasting Corp. | 8.20% | 7/15/2009 | 2,750 | 3,175 |
British Telecommunications PLC | 7.875% | 12/15/2005 (3) | 6,250 | 6,517 |
Clear Channel Communications, Inc. | 6.00% | 11/1/2006 | 2,000 | 2,079 |
Clear Channel Communications, Inc. | 4.625% | 1/15/2008 | 3,000 | 3,048 |
Clear Channel Communications, Inc. | 4.25% | 5/15/2009 | 2,000 | 1,978 |
Comcast Cable Communications, Inc. | 6.375% | 1/30/2006 | 7,050 | 7,276 |
Comcast Cable Communications, Inc. | 8.375% | 5/1/2007 | 150 | 166 |
Comcast Cable Communications, Inc. | 6.875% | 6/15/2009 | 3,300 | 3,662 |
Cox Communications, Inc. | 3.875% | 10/1/2008 | 1,000 | 986 |
Cox Communications, Inc. | 7.875% | 8/15/2009 | 1,500 | 1,704 |
Cox Communications, Inc. | 4.625% | 1/15/2010 (2) | 1,450 | 1,445 |
Deutsche Telekom International Finance | 3.875% | 7/22/2008 | 3,075 | 3,071 |
France Telecom | 7.95% | 3/1/2006 (3) | 4,600 | 4,833 |
Gannett Co., Inc. | 5.50% | 4/1/2007 | 1,500 | 1,563 |
Gannett Co., Inc. | 6.375% | 4/1/2012 | 200 | 223 |
GTE South, Inc. | 6.125% | 6/15/2007 | 300 | 314 |
News America, Inc. | 6.625% | 1/9/2008 | 1,500 | 1,616 |
R.R. Donnelley & Sons Co. | 3.75% | 4/1/2009 | 1,350 | 1,322 |
SBC Communications, Inc. | 5.75% | 5/2/2006 | 3,000 | 3,096 |
SBC Communications, Inc. | 4.125% | 9/15/2009 | 4,750 | 4,740 |
Sprint Capital Corp. | 6.00% | 1/15/2007 | 2,350 | 2,456 |
Sprint Capital Corp. | 6.125% | 11/15/2008 | 5,500 | 5,897 |
Sprint Capital Corp. | 6.375% | 5/1/2009 | 3,000 | 3,260 |
Telecom Italia Capital | 4.00% | 11/15/2008 | 3,000 | 2,987 |
Telecomunicaciones de Puerto Rico | 6.65% | 5/15/2006 | 2,400 | 2,490 |
Telefonos de Mexico SA | 8.25% | 1/26/2006 | 2,750 | 2,887 |
Telefonos de Mexico SA | 4.50% | 11/19/2008 | 1,600 | 1,610 |
Telus Corp. | 7.50% | 6/1/2007 | 3,000 | 3,258 |
Thomson Corp. | 5.75% | 2/1/2008 | 250 | 261 |
Time Warner Entertainment | 7.25% | 9/1/2008 | 1,500 | 1,664 |
Univision Communications, Inc. | 2.875% | 10/15/2006 | 1,000 | 989 |
Verizon Global Funding Corp. | 6.75% | 12/1/2005 | 7,500 | 7,746 |
Verizon Global Funding Corp. | 6.125% | 6/15/2007 | 2,500 | 2,647 |
Verizon Global Funding Corp. | 4.00% | 1/15/2008 | 1,400 | 1,413 |
Verizon Wireless Capital | 5.375% | 12/15/2006 | 4,950 | 5,124 |
Vodafone Group PLC | 3.95% | 1/30/2008 | 1,000 | 1,008 |
Consumer Cyclical (3.6%) | ||||
Cendant Corp. | 6.875% | 8/15/2006 | 2,350 | 2,473 |
Cendant Corp. | 6.25% | 1/15/2008 | 2,225 | 2,374 |
Centex Corp. | 4.75% | 1/15/2008 | 1,000 | 1,020 |
Costco Wholesale Corp. | 5.50% | 3/15/2007 | 1,250 | 1,302 |
CVS Corp. | 4.00% | 9/15/2009 | 2,750 | 2,739 |
59
Short-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
DaimlerChrysler North America | ||||
Holding Corp. | 7.25% | 1/18/2006 | $ 1,800 | $ 1,872 |
DaimlerChrysler North America | ||||
Holding Corp. | 6.40% | 5/15/2006 | 4,775 | 4,969 |
DaimlerChrysler North America | ||||
Holding Corp. | 4.75% | 1/15/2008 | 5,700 | 5,817 |
DaimlerChrysler North America | ||||
Holding Corp. | 4.05% | 6/4/2008 | 5,000 | 4,986 |
DaimlerChrysler North America | ||||
Holding Corp. | 7.20% | 9/1/2009 | 4,000 | 4,448 |
Delphi Corp. | 6.55% | 6/15/2006 | 1,000 | 1,029 |
Federated Department Stores, Inc. | 6.625% | 9/1/2008 | 1,000 | 1,086 |
Ford Motor Co. | 7.25% | 10/1/2008 | 1,000 | 1,071 |
Ford Motor Credit Co. | 6.875% | 2/1/2006 | 7,400 | 7,627 |
Ford Motor Credit Co. | 6.50% | 1/25/2007 | 17,550 | 18,247 |
Ford Motor Credit Co. | 7.75% | 2/15/2007 | 2,850 | 3,032 |
Ford Motor Credit Co. | 5.625% | 10/1/2008 | 2,750 | 2,807 |
Ford Motor Credit Co. | 5.80% | 1/12/2009 | 6,000 | 6,122 |
Ford Motor Credit Co. | 7.375% | 10/28/2009 | 11,000 | 11,859 |
Ford Motor Credit Co. | 5.70% | 1/15/2010 | 1,000 | 1,008 |
General Motors Acceptance Corp. | 6.75% | 1/15/2006 | 9,850 | 10,105 |
General Motors Acceptance Corp. | 4.50% | 7/15/2006 | 4,500 | 4,507 |
General Motors Acceptance Corp. | 6.125% | 9/15/2006 | 6,500 | 6,666 |
General Motors Acceptance Corp. | 6.125% | 2/1/2007 | 4,000 | 4,112 |
General Motors Acceptance Corp. | 6.15% | 4/5/2007 | 1,500 | 1,542 |
General Motors Acceptance Corp. | 6.125% | 8/28/2007 | 5,250 | 5,410 |
General Motors Acceptance Corp. | 5.125% | 5/9/2008 | 1,000 | 1,001 |
General Motors Acceptance Corp. | 5.625% | 5/15/2009 | 3,675 | 3,671 |
General Motors Corp. | 7.10% | 3/15/2006 | 1,000 | 1,033 |
General Motors Corp. | 6.375% | 5/1/2008 | 1,000 | 1,035 |
Harrah's Operating Co., Inc. | 7.125% | 6/1/2007 | 400 | 428 |
Harrah's Operating Co., Inc. | 7.50% | 1/15/2009 | 2,000 | 2,219 |
Hilton Hotels Corp. | 7.625% | 5/15/2008 | 1,500 | 1,665 |
Home Depot Inc. | 3.75% | 9/15/2009 (2) | 3,625 | 3,589 |
Lear Corp. | 8.11% | 5/15/2009 | 1,400 | 1,591 |
Liberty Media Corp. | 3.50% | 9/25/2006 | 2,000 | 1,990 |
Liberty Media Corp. | 7.875% | 7/15/2009 | 1,600 | 1,787 |
Lowe's Cos., Inc. | 7.50% | 12/15/2005 | 1,825 | 1,900 |
May Department Stores Co. | 3.95% | 7/15/2007 | 1,500 | 1,506 |
May Department Stores Co. | 4.80% | 7/15/2009 | 1,500 | 1,521 |
Pulte Homes, Inc. | 4.875% | 7/15/2009 | 1,450 | 1,467 |
Target Corp. | 3.375% | 3/1/2008 | 6,000 | 5,934 |
Target Corp. | 5.40% | 10/1/2008 | 1,500 | 1,583 |
The Walt Disney Co. | 5.375% | 6/1/2007 | 4,200 | 4,370 |
Time Warner, Inc. | 6.125% | 4/15/2006 | 1,000 | 1,035 |
Time Warner, Inc. | 6.15% | 5/1/2007 | 4,325 | 4,572 |
Time Warner, Inc. | 8.18% | 8/15/2007 | 2,000 | 2,213 |
Toyota Motor Credit Corp. | 2.875% | 8/1/2008 | 2,500 | 2,434 |
Toyota Motor Credit Corp. | 5.50% | 12/15/2008 | 2,500 | 2,662 |
Viacom International Inc. | 6.40% | 1/30/2006 | 2,800 | 2,894 |
Viacom International Inc. | 5.625% | 5/1/2007 | 1,000 | 1,050 |
Wal-Mart Stores, Inc. | 5.45% | 8/1/2006 | 4,400 | 4,549 |
60
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Wal-Mart Stores, Inc. | 4.375% | 7/12/2007 | $ 3,400 | $ 3,478 |
Wal-Mart Stores, Inc. | 6.875% | 8/10/2009 | 8,500 | 9,541 |
Consumer Noncyclical (2.2%) | ||||
Abbott Laboratories | 5.625% | 7/1/2006 | 4,200 | 4,347 |
Abbott Laboratories | 3.50% | 2/17/2009 | 2,000 | 1,981 |
Altria Group, Inc. | 5.625% | 11/4/2008 | 1,000 | 1,034 |
Amgen Inc. | 4.00% | 11/18/2009(2) | 3,150 | 3,134 |
Baxter International, Inc. | 5.25% | 5/1/2007 | 2,000 | 2,069 |
Bristol-Myers Squibb Co. | 4.75% | 10/1/2006 | 5,750 | 5,879 |
Bristol-Myers Squibb Co. | 4.00% | 8/15/2008 | 1,000 | 1,005 |
Bunge Ltd. Finance Corp. | 4.375% | 12/15/2008 | 850 | 857 |
Campbell Soup Co. | 5.50% | 3/15/2007 | 2,000 | 2,084 |
CIGNA Corp. | 7.40% | 5/15/2007 | 1,000 | 1,079 |
Clorox Co. | 4.20% | 1/15/2010 (2) | 2,425 | 2,435 |
Coca-Cola Enterprises Inc. | 5.25% | 5/15/2007 | 1,982 | 2,059 |
Coca-Cola Enterprises Inc. | 5.75% | 11/1/2008 | 1,350 | 1,442 |
Coca-Cola Enterprises Inc. | 4.375% | 9/15/2009 | 1,500 | 1,521 |
Diageo Capital PLC | 3.50% | 11/19/2007 | 1,900 | 1,896 |
Diageo Capital PLC | 3.375% | 3/20/2008 | 5,400 | 5,346 |
Fred Meyer, Inc. | 7.45% | 3/1/2008 | 2,000 | 2,205 |
General Mills, Inc. | 2.625% | 10/24/2006 | 3,500 | 3,448 |
General Mills, Inc. | 5.125% | 2/15/2007 | 2,000 | 2,062 |
Gillette Co. | 4.125% | 8/30/2007 | 1,500 | 1,523 |
Gillette Co. | 3.80% | 9/15/2009 | 2,000 | 1,992 |
GlaxoSmithKline Capital Inc. | 2.375% | 4/16/2007 | 1,950 | 1,915 |
Hospira, Inc. | 4.95% | 6/15/2009 | 1,325 | 1,350 |
Imperial Tobacco | 7.125% | 4/1/2009 | 1,775 | 1,955 |
International Flavors & Fragrances | 6.45% | 5/15/2006 | 525 | 546 |
Kellogg Co. | 6.00% | 4/1/2006 | 2,750 | 2,842 |
Kellogg Co. | 2.875% | 6/1/2008 | 1,500 | 1,459 |
Kraft Foods, Inc. | 4.625% | 11/1/2006 | 5,000 | 5,101 |
Kraft Foods, Inc. | 5.25% | 6/1/2007 | 1,000 | 1,036 |
Kraft Foods, Inc. | 4.00% | 10/1/2008 | 1,000 | 1,000 |
Kraft Foods, Inc. | 4.125% | 11/12/2009 | 2,350 | 2,337 |
Kroger Co. | 7.25% | 6/1/2009 | 1,500 | 1,679 |
Merck & Co. | 5.25% | 7/1/2006 | 2,000 | 2,056 |
Pepsico, Inc. | 3.20% | 5/15/2007 | 1,500 | 1,500 |
Pharmacia Corp. | 5.75% | 12/1/2005 (3) | 6,000 | 6,142 |
Philip Morris Cos., Inc. | 6.95% | 6/1/2006 | 3,000 | 3,119 |
Philip Morris Cos., Inc. | 7.65% | 7/1/2008 | 175 | 191 |
Procter & Gamble Co. | 4.75% | 6/15/2007 | 5,025 | 5,179 |
Procter & Gamble Co. | 6.875% | 9/15/2009 | 3,000 | 3,374 |
Quest Diagnostic, Inc. | 6.75% | 7/12/2006 | 2,675 | 2,805 |
Safeway, Inc. | 6.15% | 3/1/2006 | 1,000 | 1,031 |
Safeway, Inc. | 6.50% | 11/15/2008 | 3,800 | 4,102 |
Tyson Foods, Inc. | 7.25% | 10/1/2006 | 2,000 | 2,119 |
Unilever Capital Corp. | 6.875% | 11/1/2005 | 2,500 | 2,575 |
UnitedHealth Group, Inc. | 5.20% | 1/17/2007 | 3,075 | 3,178 |
UnitedHealth Group, Inc. | 3.375% | 8/15/2007 | 900 | 896 |
UnitedHealth Group, Inc. | 4.125% | 8/15/2009 | 1,225 | 1,225 |
Wellpoint Inc. | 3.75% | 12/14/2007 (2) | 2,050 | 2,043 |
61
Short-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Wellpoint Inc. | 4.25% | 12/15/2009 (2) | $ 900 | $ 897 |
Wyeth | 4.375% | 3/1/2008 | 1,500 | 1,519 |
Energy (0.8%) | ||||
Anadarko Petroleum Corp. | 3.25% | 5/1/2008 | 3,000 | 2,948 |
BP Canada Finance | 3.375% | 10/31/2007 | 2,000 | 1,987 |
BP Capital Markets PLC | 2.35% | 6/15/2006 | 1,500 | 1,490 |
BP Capital Markets PLC | 2.75% | 12/29/2006 | 700 | 693 |
BP Capital Markets PLC | 2.625% | 3/15/2007 | 3,300 | 3,257 |
Burlington Resources, Inc. | 5.60% | 12/1/2006 | 1,300 | 1,349 |
ChevronTexaco Capital Co. | 3.50% | 9/17/2007 | 8,000 | 8,015 |
Conoco Funding Co. | 5.45% | 10/15/2006 | 3,250 | 3,366 |
Conoco, Inc. | 6.35% | 4/15/2009 | 2,775 | 3,033 |
Devon Energy Corp. | 2.75% | 8/1/2006 | 1,500 | 1,486 |
Encana Corp. | 4.60% | 8/15/2009 | 1,250 | 1,274 |
Marathon Oil Corp. | 5.375% | 6/1/2007 | 1,750 | 1,820 |
Norsk Hydro | 6.36% | 1/15/2009 | 1,500 | 1,627 |
Occidental Petroleum | 5.875% | 1/15/2007 | 5,000 | 5,225 |
Petrobras International Finance | 9.875% | 5/9/2008 | 2,000 | 2,325 |
Phillips Petroleum Co. | 6.375% | 3/30/2009 | 1,000 | 1,092 |
Pioneer Natural Resources Co. | 6.50% | 1/15/2008 | 1,000 | 1,071 |
Valero Energy Corp. | 6.125% | 4/15/2007 | 1,500 | 1,578 |
Technology (0.6%) | ||||
Computer Sciences Corp. | 3.50% | 4/15/2008 | 3,500 | 3,460 |
Deluxe Corp. | 3.50% | 10/1/2007 (2) | 750 | 741 |
Eastman Kodak Co. | 3.625% | 5/15/2008 | 2,500 | 2,433 |
First Data Corp. | 4.70% | 11/1/2006 | 3,250 | 3,327 |
First Data Corp. | 3.375% | 8/1/2008 | 1,000 | 985 |
Hewlett-Packard Co. | 5.75% | 12/15/2006 | 5,500 | 5,734 |
Hewlett-Packard Co. | 3.625% | 3/15/2008 | 400 | 399 |
International Business Machines Corp. | 4.875% | 10/1/2006 | 5,000 | 5,139 |
International Business Machines Corp. | 5.375% | 2/1/2009 | 1,500 | 1,585 |
International Business Machines Corp. | 4.375% | 6/1/2009 | 3,100 | 3,160 |
SunGard Data Systems, Inc. | 3.75% | 1/15/2009 | 850 | 826 |
Texas Instruments, Inc. | 6.125% | 2/1/2006 | 3,100 | 3,195 |
Transportation (0.5%) | ||||
Burlington Northern Santa Fe Corp. | 7.875% | 4/15/2007 | 2,200 | 2,403 |
Canadian National Railway Co. | 4.25% | 8/1/2009 | 2,700 | 2,726 |
CSX Corp. | 7.45% | 5/1/2007 | 2,000 | 2,160 |
CSX Corp. | 6.25% | 10/15/2008 | 1,500 | 1,604 |
ERAC USA Finance Co. | 7.35% | 6/15/2008 (2) | 1,600 | 1,772 |
FedEx Corp. | 2.65% | 4/1/2007 | 800 | 785 |
FedEx Corp. | 3.50% | 4/1/2009 | 2,075 | 2,032 |
Hertz Corp. | 4.70% | 10/2/2006 | 2,500 | 2,523 |
Mass Transit Railway Corp. | 7.50% | 2/4/2009 | 1,500 | 1,697 |
Norfolk Southern Corp. | 7.35% | 5/15/2007 | 305 | 330 |
Norfolk Southern Corp. | 6.20% | 4/15/2009 | 2,250 | 2,422 |
Union Pacific Corp. | 6.40% | 2/1/2006 | 3,965 | 4,092 |
Union Pacific Corp. | 3.875% | 2/15/2009 | 1,000 | 992 |
606,650 | ||||
62
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Utilities (1.6%) | ||||
Electric (1.4%) | ||||
Alabama Power Co. | 7.125% | 10/1/2007 | $ 5,000 | $ 5,452 |
American Electric Power Co., Inc. | 6.125% | 5/15/2006 | 2,450 | 2,539 |
CalEnergy Co., Inc. | 7.63% | 10/15/2007 | 2,175 | 2,379 |
Commonwealth Edison Co. | 3.70% | 2/1/2008 | 1,500 | 1,499 |
Consolidated Edison, Inc. | 6.625% | 12/15/2005 | 2,500 | 2,578 |
Constellation Energy Group, Inc. | 6.35% | 4/1/2007 | 3,300 | 3,491 |
Consumers Energy Co. | 4.25% | 4/15/2008 | 2,000 | 2,015 |
Consumers Energy Co. | 4.80% | 2/17/2009 | 1,000 | 1,023 |
DTE Energy Co. | 6.45% | 6/1/2006 | 1,750 | 1,823 |
Duke Energy Corp. | 3.75% | 3/5/2008 | 3,000 | 2,996 |
Entergy Gulf States | 3.60% | 6/1/2008 | 1,250 | 1,230 |
Florida Power & Light Co. | 6.875% | 12/1/2005 | 2,150 | 2,223 |
FPL Group Capital, Inc. | 3.25% | 4/11/2006 | 1,500 | 1,502 |
FPL Group Capital, Inc. | 7.625% | 9/15/2006 | 1,570 | 1,679 |
Illinois Power | 7.50% | 6/15/2009 | 1,000 | 1,136 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 6.00% | 5/15/2006 | 1,000 | 1,036 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 6.50% | 3/1/2007 | 7,100 | 7,535 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 3.875% | 2/15/2008 | 700 | 702 |
Niagara Mohawk Power Corp. | 7.75% | 10/1/2008 | 1,000 | 1,125 |
NiSource Finance Corp. | 3.20% | 11/1/2006 | 3,000 | 2,982 |
Pacific Gas & Electric Co. | 3.60% | 3/1/2009 | 1,750 | 1,726 |
Pepco Holdings, Inc. | 5.50% | 8/15/2007 | 3,275 | 3,398 |
PPL Electric Utilities Corp. | 6.25% | 8/15/2009 | 2,000 | 2,172 |
Progress Energy, Inc. | 6.75% | 3/1/2006 | 1,500 | 1,556 |
Progress Energy, Inc. | 6.05% | 4/15/2007 | 2,500 | 2,616 |
PSEG Power Corp. | 6.875% | 4/15/2006 | 1,375 | 1,434 |
Public Service Co. of Colorado | 4.375% | 10/1/2008 | 1,600 | 1,626 |
Public Service Co. of New Mexico | 4.40% | 9/15/2008 | 1,250 | 1,260 |
Public Service Electric & Gas | 4.00% | 11/1/2008 | 2,000 | 2,006 |
Southern California Edison Co. | 8.00% | 2/15/2007 | 3,000 | 3,271 |
TXU Energy Co. | 6.125% | 3/15/2008 | 1,000 | 1,060 |
Virginia Electric & Power Co. | 5.75% | 3/31/2006 | 1,000 | 1,029 |
Virginia Electric & Power Co. | 5.375% | 2/1/2007 | 1,850 | 1,916 |
Natural Gas (0.2%) | ||||
Atmos Energy Corp. | 4.00% | 10/15/2009 | 1,300 | 1,284 |
Consolidated Natural Gas | 5.375% | 11/1/2006 | 3,600 | 3,719 |
Enron Corp. | 9.125% | 4/1/2003 ** | 2,000 | 620 |
Enron Corp. | 7.625% | 9/10/2004 ** | 1,000 | 310 |
HNG Internorth | 9.625% | 3/15/2006 ** | 1,500 | 465 |
KN Energy, Inc. | 6.80% | 3/1/2008 | 1,500 | 1,620 |
Sempra Energy | 6.95% | 12/1/2005 | 2,000 | 2,065 |
Yosemite Security Trust | 8.25% | 11/15/2004 ** | 3,225 | 1,338 |
83,436 | ||||
TOTAL CORPORATE BONDS | ||||
(Cost $1,333,893) | 1,336,325 | |||
63
Short-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
SOVEREIGN BONDS (U.S. Dollar-Denominated) (7.6%) | ||||
African Development Bank | 3.25% | 8/1/2008 | $ 1,500 | $ 1,491 |
Asian Development Bank | 4.875% | 2/5/2007 | 11,000 | 11,374 |
Bayerische Landesbank | 6.625% | 6/25/2007 | 2,500 | 2,685 |
Bayerische Landesbank | 2.875% | 10/15/2008 | 1,800 | 1,735 |
Canadian Government | 6.375% | 7/21/2005 | 3,000 | 3,060 |
Canadian Government | 6.75% | 8/28/2006 | 700 | 741 |
Canadian Government | 5.25% | 11/5/2008 | 3,000 | 3,181 |
Canadian Mortgage & Housing | 2.95% | 6/2/2008 | 2,000 | 1,960 |
Eksportfinans | 3.375% | 1/15/2008 | 3,025 | 3,009 |
Eksportfinans | 4.375% | 7/15/2009 | 3,000 | 3,057 |
European Bank for | ||||
Reconstruction & Development | 5.375% | 6/15/2006 | 2,000 | 2,066 |
European Investment Bank | 3.00% | 8/15/2006 | 5,000 | 4,985 |
European Investment Bank | 4.875% | 9/6/2006 | 17,500 | 18,004 |
European Investment Bank | 7.125% | 9/18/2006 | 2,000 | 2,130 |
European Investment Bank | 4.625% | 3/1/2007 | 14,500 | 14,924 |
European Investment Bank | 2.375% | 6/15/2007 | 10,000 | 9,797 |
European Investment Bank | 3.125% | 10/15/2007 | 6,600 | 6,565 |
European Investment Bank | 3.375% | 3/16/2009 | 6,925 | 6,855 |
Export Development Canada | 4.00% | 8/1/2007 | 3,250 | 3,284 |
Export-Import Bank of Korea | 7.10% | 3/15/2007 | 500 | 535 |
Export-Import Bank of Korea | 4.50% | 8/12/2009 | 3,500 | 3,522 |
Federation of Malaysia | 8.75% | 6/1/2009 | 4,350 | 5,155 |
Hellenic Republic | 6.95% | 3/4/2008 | 3,075 | 3,370 |
Instituto de Credito Oficial | 6.00% | 5/19/2008 | 5,000 | 5,380 |
Inter-American Development Bank | 5.375% | 1/18/2006 | 4,000 | 4,101 |
Inter-American Development Bank | 6.125% | 3/8/2006 | 3,225 | 3,343 |
Inter-American Development Bank | 6.625% | 3/7/2007 | 2,375 | 2,539 |
Inter-American Development Bank | 6.375% | 10/22/2007 | 4,325 | 4,665 |
Inter-American Development Bank | 5.75% | 2/26/2008 | 5,500 | 5,869 |
Inter-American Development Bank | 5.625% | 4/16/2009 | 3,500 | 3,765 |
International Bank for | ||||
Reconstruction & Development | 5.00% | 3/28/2006 | 5,000 | 5,123 |
International Bank for | ||||
Reconstruction & Development | 6.625% | 8/21/2006 | 3,000 | 3,167 |
International Bank for | ||||
Reconstruction & Development | 4.375% | 9/28/2006 | 11,250 | 11,494 |
International Bank for | ||||
Reconstruction & Development | 4.125% | 6/24/2009 | 2,000 | 2,034 |
International Finance Corp. | 5.25% | 5/2/2006 | 5,000 | 5,149 |
International Finance Corp. | 3.00% | 4/15/2008 | 1,650 | 1,633 |
International Finance Corp. | 3.75% | 6/30/2009 | 1,500 | 1,502 |
KFW International Finance, Inc. | 4.75% | 1/24/2007 | 21,000 | 21,636 |
Korea Development Bank | 6.75% | 12/1/2005 | 2,035 | 2,107 |
Korea Development Bank | 5.25% | 11/16/2006 | 2,630 | 2,703 |
Korea Development Bank | 3.875% | 3/2/2009 | 2,375 | 2,340 |
Korea Development Bank | 4.75% | 7/20/2009 | 2,575 | 2,621 |
Kredit Fuer Wiederaufbau | 2.375% | 9/25/2006 | 2,900 | 2,869 |
Kredit Fuer Wiederaufbau | 3.25% | 7/16/2007 | 15,300 | 15,254 |
Landwirtschaft Rentenbank | 3.375% | 11/15/2007 | 6,200 | 6,192 |
64
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Landwirtschaft Rentenbank | 3.25% | 6/16/2008 | $ 1,700 | $ 1,684 |
Landwirtschaft Rentenbank | 3.875% | 9/4/2008 | 3,500 | 3,556 |
Landwirtschaft Rentenbank | 3.625% | 10/20/2009 | 7,225 | 7,150 |
Nordic Investment Bank | 3.125% | 4/24/2008 | 3,350 | 3,317 |
Oesterreich Kontrollbank | 5.50% | 1/20/2006 | 6,370 | 6,539 |
Oesterreich Kontrollbank | 5.125% | 3/20/2007 | 2,500 | 2,599 |
Ontario Hydro Electric | 6.10% | 1/30/2008 | 2,000 | 2,143 |
Pemex Project Funding Master Trust | 8.50% | 2/15/2008 | 4,950 | 5,569 |
Pemex Project Funding Master Trust | 7.875% | 2/1/2009 (3) | 4,750 | 5,325 |
People's Republic of China | 7.30% | 12/15/2008 | 2,000 | 2,253 |
Province of British Columbia | 4.625% | 10/3/2006 | 1,085 | 1,112 |
Province of British Columbia | 5.375% | 10/29/2008 | 2,000 | 2,123 |
Province of Manitoba | 4.25% | 11/20/2006 | 2,500 | 2,547 |
Province of New Brunswick | 3.50% | 10/23/2007 | 3,500 | 3,492 |
Province of Ontario | 6.00% | 2/21/2006 | 5,000 | 5,166 |
Province of Ontario | 3.35% | 7/16/2007 | 4,175 | 4,163 |
Province of Ontario | 3.50% | 9/17/2007 | 5,500 | 5,503 |
Province of Ontario | 5.50% | 10/1/2008 | 6,000 | 6,373 |
Province of Ontario | 3.625% | 10/21/2009 | 2,025 | 2,000 |
Province of Quebec | 7.00% | 1/30/2007 | 978 | 1,049 |
Province of Quebec | 5.75% | 2/15/2009 | 6,200 | 6,647 |
Republic of Chile | 5.625% | 7/23/2007 | 3,000 | 3,132 |
Republic of Finland | 5.875% | 2/27/2006 | 1,750 | 1,809 |
Republic of Finland | 4.75% | 3/6/2007 | 2,675 | 2,756 |
Republic of Italy | 2.50% | 3/31/2006 | 4,000 | 3,976 |
Republic of Italy | 4.375% | 10/25/2006 | 10,000 | 10,197 |
Republic of Italy | 2.75% | 12/15/2006 | 8,350 | 8,270 |
Republic of Italy | 3.625% | 9/14/2007 | 13,425 | 13,482 |
Republic of Italy | 3.75% | 12/14/2007 | 6,200 | 6,258 |
Republic of Italy | 3.25% | 5/15/2009 | 7,500 | 7,332 |
Republic of Korea | 8.875% | 4/15/2008 | 6,500 | 7,524 |
Republic of South Africa | 8.375% | 10/17/2006 | 2,650 | 2,865 |
Republic of South Africa | 9.125% | 5/19/2009 | 3,000 | 3,542 |
Swedish Export Credit Corp. | 2.875% | 1/26/2007 | 2,050 | 2,034 |
United Mexican States | 9.875% | 1/15/2007 | 8,850 | 9,961 |
United Mexican States | 8.625% | 3/12/2008 | 1,500 | 1,702 |
United Mexican States | 4.625% | 10/8/2008 | 2,100 | 2,137 |
United Mexican States | 10.375% | 2/17/2009 | 1,000 | 1,223 |
United Mexican States | 9.875% | 2/1/2010 | 3,500 | 4,298 |
TOTAL SOVEREIGN BONDS | ||||
(Cost $402,142) | 401,779 | |||
Shares | ||||
TEMPORARY CASH INVESTMENTS (0.6%) | ||||
Vanguard Market Liquidity Fund, 2.26%† | 23,205,694 | 23,206 | ||
Vanguard Market Liquidity Fund, 2.26%†—Note E | 5,927,650 | 5,928 | ||
TOTAL TEMPORARY CASH INVESTMENTS | ||||
(Cost $29,134) | 29,134 | |||
TOTAL INVESTMENTS (99.3%) | ||||
(Cost $5,242,927) | 5,226,114 | |||
65
Short-Term Bond Index Fund | Market Value^ (000) |
---|---|
OTHER ASSETS AND LIABILITIES (0.7%) | |
Other Assets—Note B | $ 157,324 |
Liabilities—Note E | (119,175) |
38,149 | |
NET ASSETS (100%) | $ 5,264,263 |
^ | See Note A in Notes to Financial Statements. |
* | The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action. |
** | Non-income-producing security—security in default. |
† | Money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
(1) | The average maturity is shorter than the final maturity shown due to scheduled interim principal payments and prepayments. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2004, the aggregate value of these securities |
(3) | Adjustable-rate note. |
AT DECEMBER 31, 2004, NET ASSETS CONSISTED OF: | ||
---|---|---|
Amount | ||
(000) | ||
Paid-in Capital | $5,283,230 | |
Undistributed Net Investment Income | — | |
Accumulated Net Realized Losses | (2,154) | |
Unrealized Depreciation | (16,813) | |
NET ASSETS | $5,264,263 | |
Investor Shares—Net Assets | ||
Applicable to 374,216,572 outstanding $.001 | ||
par value shares of beneficial interest (unlimited authorization) | $3,795,345 | |
NET ASSET VALUE PER SHARE—INVESTOR SHARES | $10.14 | |
Admiral Shares—Net Assets | ||
Applicable to 144,833,660 outstanding $.001 | ||
par value shares of beneficial interest (unlimited authorization) | $1,468,918 | |
NET ASSET VALUE PER SHARE—ADMIRAL SHARES | $10.14 | |
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
66
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
U.S GOVERNMENT AND AGENCY OBLIGATIONS (43.9%) | ||||
U.S. Government Securities (27.9%) | ||||
U.S. Treasury Bond | 12.75% | 11/15/2010 | $ 13,350 | $ 14,476 |
U.S. Treasury Bond | 13.875% | 5/15/2011 | 15,750 | 18,058 |
U.S. Treasury Bond | 14.00% | 11/15/2011 | 13,150 | 15,772 |
U.S. Treasury Bond | 10.375% | 11/15/2012 | 12,075 | 14,411 |
U.S. Treasury Bond | 13.25% | 5/15/2014 | 24,025 | 33,436 |
U.S. Treasury Bond | 12.50% | 8/15/2014 | 10,200 | 14,042 |
U.S. Treasury Bond | 11.25% | 2/15/2015 | 90,125 | 141,707 |
U.S. Treasury Bond | 10.625% | 8/15/2015 | 55,300 | 84,981 |
U.S. Treasury Bond | 9.875% | 11/15/2015 | 65,525 | 96,813 |
U.S. Treasury Bond | 9.25% | 2/15/2016 | 23,650 | 33,760 |
U.S. Treasury Note | 2.25% | 4/30/2006 | 475 | 471 |
U.S. Treasury Note | 6.50% | 2/15/2010 | 56,950 | 64,487 |
U.S. Treasury Note | 5.75% | 8/15/2010 | 85,125 | 93,730 |
U.S. Treasury Note | 5.00% | 2/15/2011 | 1,375 | 1,463 |
U.S. Treasury Note | 5.00% | 8/15/2011 | 8,650 | 9,210 |
U.S. Treasury Note | 4.875% | 2/15/2012 | 1,265 | 1,337 |
U.S. Treasury Note | 4.375% | 8/15/2012 | 333,350 | 341,477 |
U.S. Treasury Note | 4.00% | 11/15/2012 | 1,225 | 1,224 |
U.S. Treasury Note | 3.875% | 2/15/2013 | 1,375 | 1,357 |
U.S. Treasury Note | 4.25% | 8/15/2013 | 301,450 | 303,759 |
U.S. Treasury Note | 4.25% | 11/15/2013 | 6,700 | 6,740 |
1,292,711 | ||||
Agency Bonds and Notes (16.0%) | ||||
Federal Home Loan Bank* | 7.625% | 5/14/2010 | 15,250 | 17,850 |
Federal Home Loan Bank* | 5.75% | 5/15/2012 | 21,000 | 22,788 |
Federal Home Loan Bank* | 4.50% | 11/15/2012 | 24,750 | 24,872 |
Federal Home Loan Bank* | 3.875% | 6/14/2013 | 6,500 | 6,228 |
Federal Home Loan Bank* | 4.50% | 9/16/2013 | 11,500 | 11,554 |
Federal Home Loan Bank* | 5.25% | 6/18/2014 | 12,500 | 13,123 |
Federal Home Loan Mortgage Corp.* | 7.00% | 3/15/2010 | 35,000 | 39,787 |
Federal Home Loan Mortgage Corp.* | 6.875% | 9/15/2010 | 39,000 | 44,439 |
Federal Home Loan Mortgage Corp.* | 5.625% | 3/15/2011 | 17,500 | 18,863 |
Federal Home Loan Mortgage Corp.* | 5.875% | 3/21/2011 | 16,750 | 18,038 |
Federal Home Loan Mortgage Corp.* | 6.00% | 6/15/2011 | 26,500 | 29,132 |
Federal Home Loan Mortgage Corp.* | 5.50% | 9/15/2011 | 24,500 | 26,276 |
Federal Home Loan Mortgage Corp.* | 5.75% | 1/15/2012 | 32,575 | 35,386 |
Federal Home Loan Mortgage Corp.* | 5.125% | 7/15/2012 | 29,000 | 30,365 |
Federal Home Loan Mortgage Corp.* | 4.50% | 1/15/2013 | 23,000 | 23,086 |
Federal Home Loan Mortgage Corp.* | 4.00% | 6/12/2013 | 8,375 | 7,892 |
Federal Home Loan Mortgage Corp.* | 4.50% | 7/15/2013 | 9,000 | 9,010 |
Federal Home Loan Mortgage Corp.* | 4.875% | 11/15/2013 | 18,000 | 18,417 |
Federal Home Loan Mortgage Corp.* | 4.50% | 1/15/2014 | 2,500 | 2,499 |
Federal Home Loan Mortgage Corp.* | 5.00% | 7/15/2014 | 11,000 | 11,341 |
Federal National Mortgage Assn.* | 7.25% | 1/15/2010 | 44,800 | 51,434 |
Federal National Mortgage Assn.* | 7.125% | 6/15/2010 | 25,000 | 28,719 |
Federal National Mortgage Assn.* | 6.625% | 11/15/2010 | 12,500 | 14,106 |
Federal National Mortgage Assn.* | 6.25% | 2/1/2011 | 3,350 | 3,665 |
Federal National Mortgage Assn.* | 5.50% | 3/15/2011 | 3,000 | 3,213 |
Federal National Mortgage Assn.* | 6.00% | 5/15/2011 | 37,675 | 41,395 |
67
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Federal National Mortgage Assn.* | 6.125% | 3/15/2012 | $ 40,410 | $ 44,868 |
Federal National Mortgage Assn.* | 5.25% | 8/1/2012 | 3,500 | 3,627 |
Federal National Mortgage Assn.* | 4.375% | 9/15/2012 | 15,000 | 14,990 |
Federal National Mortgage Assn.* | 4.375% | 3/15/2013 | 15,500 | 15,426 |
Federal National Mortgage Assn.* | 4.625% | 5/1/2013 | 6,600 | 6,524 |
Federal National Mortgage Assn.* | 4.625% | 10/15/2013 | 46,000 | 46,364 |
Federal National Mortgage Assn.* | 5.125% | 1/2/2014 | 9,550 | 9,688 |
Federal National Mortgage Assn.* | 4.625% | 10/15/2014 | 20,625 | 20,625 |
Private Export Funding Corp. | ||||
(U.S. Government Guaranteed) | 7.20% | 1/15/2010 | 6,500 | 7,447 |
Tennessee Valley Auth.* | 5.625% | 1/18/2011 | 4,000 | 4,307 |
Tennessee Valley Auth.* | 6.00% | 3/15/2013 | 6,000 | 6,635 |
Tennessee Valley Auth.* | 4.75% | 8/1/2013 | 4,000 | 4,072 |
738,051 | ||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | ||||
(Cost $2,011,087) | 2,030,762 | |||
CORPORATE BONDS (49.4%) | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%) | ||||
Bear Stearns Commercial Mortgage Securities, Inc. | 5.61% | 11/15/2033 (1) | 2,500 | 2,653 |
Commercial Mortgage Lease-Backed Certificate | 6.746% | 6/20/2031 (1) | 554 | 610 |
3,263 | ||||
Finance (18.5%) | ||||
Banking (7.4%) | ||||
Amsouth Bank of Alabama | 4.85% | 4/1/2013 | 1,500 | 1,508 |
Banco Bradesco SA | 8.75% | 10/24/2013 | 1,500 | 1,612 |
Bank of America Corp. | 7.80% | 2/15/2010 | 4,400 | 5,128 |
Bank of America Corp. | 4.25% | 10/1/2010 | 1,500 | 1,500 |
Bank of America Corp. | 4.375% | 12/1/2010 | 350 | 353 |
Bank of America Corp. | 7.40% | 1/15/2011 | 10,650 | 12,409 |
Bank of America Corp. | 6.25% | 4/15/2012 | 16,150 | 17,871 |
Bank of America Corp. | 4.875% | 9/15/2012 | 4,000 | 4,108 |
Bank of America Corp. | 4.75% | 8/15/2013 | 3,000 | 3,010 |
Bank of America Corp. | 5.375% | 6/15/2014 | 1,725 | 1,802 |
Bank of New York Co., Inc. | 6.375% | 4/1/2012 | 1,500 | 1,662 |
Bank of Tokyo-Mitsubishi | 8.40% | 4/15/2010 | 6,250 | 7,411 |
Bank One Corp. | 7.875% | 8/1/2010 | 9,150 | 10,702 |
Bank One Corp. | 5.90% | 11/15/2011 | 2,500 | 2,689 |
BankBoston NA | 6.375% | 3/25/2008 | 2,500 | 2,702 |
BB&T Corp. | 6.50% | 8/1/2011 | 1,250 | 1,396 |
BB&T Corp. | 4.75% | 10/1/2012 | 4,500 | 4,536 |
BSCH Issuances Ltd. | 7.625% | 11/3/2009 | 5,000 | 5,761 |
BSCH Issuances Ltd. | 7.625% | 9/14/2010 | 2,400 | 2,793 |
Citicorp Lease Pass-Through Trust | 8.04% | 12/15/2019 (1)(2) | 2,100 | 2,588 |
Citigroup, Inc. | 6.50% | 1/18/2011 | 9,150 | 10,244 |
Citigroup, Inc. | 5.625% | 8/27/2012 | 9,550 | 10,216 |
Citigroup, Inc. | 5.125% | 5/5/2014 | 3,050 | 3,125 |
Citigroup, Inc. | 5.00% | 9/15/2014 (2) | 18,644 | 18,722 |
Deutsche Bank Financial LLC | 5.375% | 3/2/2015 | 2,250 | 2,321 |
First Tennessee Bank | 5.05% | 1/15/2015 | 2,300 | 2,295 |
First Union National Bank | 7.80% | 8/18/2010 | 7,255 | 8,519 |
68
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
FirstStar Bank | 7.125% | 12/1/2009 | $ 5,960 | $ 6,738 |
Golden West Financial Corp. | 4.75% | 10/1/2012 | 2,500 | 2,533 |
HSBC Holdings PLC | 5.25% | 12/12/2012 | 5,750 | 5,956 |
J.P. Morgan Chase & Co. | 4.50% | 11/15/2010 | 1,100 | 1,110 |
J.P. Morgan Chase & Co. | 6.75% | 2/1/2011 | 13,597 | 15,280 |
J.P. Morgan Chase & Co. | 4.50% | 1/15/2012 | 875 | 864 |
J.P. Morgan Chase & Co. | 5.75% | 1/2/2013 | 9,400 | 9,952 |
J.P. Morgan Chase & Co. | 5.125% | 9/15/2014 | 3,775 | 3,812 |
Key Bank NA | 7.00% | 2/1/2011 | 2,000 | 2,273 |
Key Bank NA | 5.80% | 7/1/2014 | 1,000 | 1,061 |
Manufacturers & Traders Trust Co. | 8.00% | 10/1/2010 | 2,000 | 2,356 |
Marshall & Ilsley Bank | 5.25% | 9/4/2012 | 3,000 | 3,151 |
Mellon Bank NA | 4.75% | 12/15/2014 | 3,800 | 3,769 |
Mellon Financial Co. | 6.375% | 2/15/2010 | 1,000 | 1,099 |
Mellon Funding Corp. | 6.40% | 5/14/2011 | 1,000 | 1,109 |
National Australia Bank | 8.60% | 5/19/2010 | 2,000 | 2,407 |
National City Bank | 6.25% | 3/15/2011 | 1,500 | 1,644 |
National City Bank | 4.625% | 5/1/2013 | 4,000 | 3,959 |
North Fork Bancorp | 5.875% | 8/15/2012 | 2,000 | 2,136 |
PaineWebber | 7.625% | 12/1/2009 | 3,000 | 3,471 |
Paribas NY | 6.95% | 7/22/2013 | 2,000 | 2,318 |
PNC Funding Corp. | 7.50% | 11/1/2009 | 1,250 | 1,423 |
Regions Financial Corp. | 7.00% | 3/1/2011 | 4,250 | 4,834 |
Republic New York Corp. | 7.75% | 5/15/2009 | 2,400 | 2,752 |
Royal Bank of Scotland Group PLC | 6.375% | 2/1/2011 | 3,500 | 3,878 |
Royal Bank of Scotland Group PLC | 5.00% | 11/12/2013 | 8,500 | 8,698 |
Royal Bank of Scotland Group PLC | 5.05% | 1/8/2015 | 2,200 | 2,223 |
Sanwa Bank Ltd. | 8.35% | 7/15/2009 | 600 | 700 |
Sanwa Bank Ltd. | 7.40% | 6/15/2011 | 5,200 | 5,950 |
Southtrust Corp. | 5.80% | 6/15/2014 | 1,350 | 1,439 |
Sumitomo Mitsui Banking Corp. | 8.00% | 6/15/2012 | 1,710 | 2,039 |
SunTrust Banks, Inc. | 6.25% | 6/1/2008 | 2,000 | 2,163 |
SunTrust Banks, Inc. | 6.375% | 4/1/2011 | 2,080 | 2,313 |
UFJ Finance Aruba AEC | 6.75% | 7/15/2013 | 5,750 | 6,402 |
Union Planters Corp. | 4.375% | 12/1/2010 | 1,000 | 998 |
Union Planters Corp. | 7.75% | 3/1/2011 | 2,500 | 2,939 |
UnionBanCal Corp. | 5.25% | 12/16/2013 | 1,200 | 1,218 |
US Bank NA | 5.70% | 12/15/2008 | 2,000 | 2,132 |
US Bank NA | 6.375% | 8/1/2011 | 2,000 | 2,231 |
US Bank NA | 6.30% | 2/4/2014 | 2,600 | 2,900 |
US Bank NA | 4.95% | 10/30/2014 | 800 | 806 |
Wachovia Bank NA | 4.80% | 11/1/2014 | 2,750 | 2,734 |
Wachovia Corp. | 4.875% | 2/15/2014 | 2,500 | 2,506 |
Wachovia Corp. | 5.25% | 8/1/2014 | 2,600 | 2,672 |
Washington Mutual Bank | 6.875% | 6/15/2011 | 6,300 | 7,101 |
Washington Mutual Bank | 5.50% | 1/15/2013 | 4,200 | 4,350 |
Washington Mutual Bank | 5.65% | 8/15/2014 | 2,750 | 2,850 |
Washington Mutual, Inc. | 8.25% | 4/1/2010 | 1,500 | 1,763 |
Washington Mutual, Inc. | 4.625% | 4/1/2014 | 2,000 | 1,920 |
Wells Fargo & Co. | 4.20% | 1/15/2010 | 11,500 | 11,554 |
Wells Fargo & Co. | 7.55% | 6/21/2010 | 5,000 | 5,811 |
69
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Wells Fargo & Co. | 6.45% | 2/1/2011 | $ 9,500 | $ 10,579 |
Wells Fargo & Co. | 6.375% | 8/1/2011 | 2,500 | 2,788 |
Wells Fargo & Co. | 5.125% | 9/1/2012 | 350 | 363 |
Wells Fargo & Co. | 4.95% | 10/16/2013 | 3,500 | 3,549 |
Zions Bancorp | 5.65% | 5/15/2014 | 1,200 | 1,241 |
Brokerage (4.2%) | ||||
Bear Stearns Co., Inc. | 7.625% | 12/7/2009 | 1,000 | 1,151 |
Bear Stearns Co., Inc. | 5.70% | 11/15/2014 | 10,000 | 10,560 |
Credit Suisse First Boston USA, Inc. | 4.125% | 1/15/2010 | 3,850 | 3,836 |
Credit Suisse First Boston USA, Inc. | 6.125% | 11/15/2011 | 7,750 | 8,503 |
Credit Suisse First Boston USA, Inc. | 6.50% | 1/15/2012 | 9,940 | 11,124 |
Credit Suisse First Boston USA, Inc. | 5.50% | 8/15/2013 | 4,400 | 4,614 |
Credit Suisse First Boston USA, Inc. | 5.125% | 1/15/2014 | 4,500 | 4,591 |
Credit Suisse First Boston USA, Inc. | 4.875% | 1/15/2015 | 1,825 | 1,812 |
Goldman Sachs Group, Inc. | 6.60% | 1/15/2012 | 17,000 | 18,974 |
Goldman Sachs Group, Inc. | 5.70% | 9/1/2012 | 9,625 | 10,196 |
Goldman Sachs Group, Inc. | 5.25% | 4/1/2013 | 10,550 | 10,794 |
Goldman Sachs Group, Inc. | 4.75% | 7/15/2013 | 3,000 | 2,968 |
Goldman Sachs Group, Inc. | 5.25% | 10/15/2013 | 5,725 | 5,840 |
Goldman Sachs Group, Inc. | 5.15% | 1/15/2014 | 4,900 | 4,962 |
Goldman Sachs Group, Inc. | 5.00% | 10/1/2014 | 3,300 | 3,296 |
Goldman Sachs Group, Inc. | 5.50% | 11/15/2014 | 2,525 | 2,649 |
Lehman Brothers Holdings, Inc. | 7.875% | 8/15/2010 | 2,000 | 2,349 |
Lehman Brothers Holdings, Inc. | 4.375% | 11/30/2010 | 3,000 | 3,006 |
Lehman Brothers Holdings, Inc. | 6.625% | 1/18/2012 | 6,000 | 6,714 |
Lehman Brothers Holdings, Inc. | 4.80% | 3/13/2014 | 4,825 | 4,784 |
Merrill Lynch & Co., Inc. | 4.50% | 11/4/2010 | 1,500 | 1,512 |
Merrill Lynch & Co., Inc. | 5.00% | 2/3/2014 | 4,900 | 4,945 |
Merrill Lynch & Co., Inc. | 5.45% | 7/15/2014 | 4,350 | 4,502 |
Morgan Stanley Dean Witter | 4.25% | 5/15/2010 | 7,500 | 7,512 |
Morgan Stanley Dean Witter | 6.75% | 4/15/2011 | 7,320 | 8,244 |
Morgan Stanley Dean Witter | 6.60% | 4/1/2012 | 12,840 | 14,393 |
Morgan Stanley Dean Witter | 5.30% | 3/1/2013 | 17,000 | 17,585 |
Morgan Stanley Dean Witter | 4.75% | 4/1/2014 | 12,925 | 12,683 |
Finance Companies (3.9%) | ||||
American Express Co. | 4.875% | 7/15/2013 | 3,500 | 3,551 |
American General Finance Corp. | 4.00% | 3/15/2011 | 3,000 | 2,913 |
American General Finance Corp. | 5.375% | 10/1/2012 | 6,000 | 6,219 |
Capital One Bank | 4.875% | 5/15/2008 | 1,000 | 1,029 |
Capital One Bank | 5.75% | 9/15/2010 | 2,000 | 2,098 |
Capital One Bank | 6.50% | 6/13/2013 | 2,750 | 3,006 |
Capital One Bank | 5.125% | 2/15/2014 | 1,500 | 1,504 |
CIT Group, Inc. | 4.75% | 12/15/2010 | 3,200 | 3,252 |
CIT Group, Inc. | 7.75% | 4/2/2012 | 5,250 | 6,211 |
CIT Group, Inc. | 5.00% | 2/13/2014 | 2,000 | 1,994 |
CIT Group, Inc. | 5.125% | 9/30/2014 | 2,500 | 2,504 |
Countrywide Home Loan | 6.25% | 4/15/2009 | 100 | 108 |
Countrywide Home Loan | 4.00% | 3/22/2011 | 5,500 | 5,334 |
General Electric Capital Corp. | 7.375% | 1/19/2010 | 6,000 | 6,868 |
70
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
General Electric Capital Corp. | 6.125% | 2/22/2011 | $ 9,140 | $ 10,003 |
General Electric Capital Corp. | 4.375% | 11/21/2011 | 2,325 | 2,313 |
General Electric Capital Corp. | 5.875% | 2/15/2012 | 22,400 | 24,235 |
General Electric Capital Corp. | 8.125% | 5/15/2012 | 5,638 | 6,834 |
General Electric Capital Corp. | 6.00% | 6/15/2012 | 6,750 | 7,351 |
General Electric Capital Corp. | 5.45% | 1/15/2013 | 4,000 | 4,225 |
General Electric Capital Corp. | 4.75% | 9/15/2014 | 6,500 | 6,478 |
Household Finance Corp. | 6.375% | 10/15/2011 | 4,825 | 5,317 |
Household Finance Corp. | 7.00% | 5/15/2012 | 11,250 | 12,833 |
Household Finance Corp. | 6.375% | 11/27/2012 | 5,000 | 5,535 |
HSBC Finance Corp. | 6.75% | 5/15/2011 | 12,675 | 14,301 |
International Lease Finance Corp. | 5.875% | 5/1/2013 | 4,000 | 4,229 |
MBNA America Bank NA | 4.625% | 8/3/2009 | 2,000 | 2,037 |
MBNA America Bank NA | 6.625% | 6/15/2012 | 3,300 | 3,655 |
MBNA Corp. | 7.50% | 3/15/2012 | 2,400 | 2,782 |
PHH Corp. | 7.125% | 3/1/2013 | 1,800 | 2,043 |
SLM Corp. | 4.00% | 1/15/2009 | 500 | 498 |
SLM Corp. | 5.125% | 8/27/2012 | 6,500 | 6,594 |
SLM Corp. | 5.375% | 1/15/2013 | 4,000 | 4,172 |
SLM Corp. | 5.00% | 10/1/2013 | 4,500 | 4,540 |
SLM Corp. | 5.375% | 5/15/2014 | 1,250 | 1,298 |
Wells Fargo Financial | 5.50% | 8/1/2012 | 350 | 371 |
Insurance (1.7%) | ||||
ACE INA Holdings, Inc. | 5.875% | 6/15/2014 | 2,000 | 2,054 |
AEGON NV | 4.75% | 6/1/2013 | 3,000 | 2,970 |
Allstate Corp. | 7.20% | 12/1/2009 | 6,200 | 7,027 |
Allstate Corp. | 5.00% | 8/15/2014 | 1,050 | 1,055 |
American International Group, Inc. | 4.25% | 5/15/2013 (3) | 5,000 | 4,854 |
Aspen Insurance Holdings Ltd. | 6.00% | 8/15/2014 (2) | 1,100 | 1,110 |
Assurant, Inc. | 5.625% | 2/15/2014 | 2,825 | 2,914 |
AXA Financial, Inc. | 7.75% | 8/1/2010 | 1,500 | 1,735 |
Axis Capital Holdings | 5.75% | 12/1/2014 | 1,800 | 1,790 |
Chubb Corp. | 6.00% | 11/15/2011 | 1,500 | 1,611 |
CNA Financial Corp. | 5.85% | 12/15/2014 | 1,350 | 1,340 |
Commerce Group, Inc. | 5.95% | 12/9/2013 | 900 | 917 |
Fidelity National Financial, Inc. | 7.30% | 8/15/2011 | 2,400 | 2,626 |
Fund American Cos., Inc. | 5.875% | 5/15/2013 | 2,100 | 2,136 |
GE Global Insurance Holdings Corp. | 7.50% | 6/15/2010 | 2,000 | 2,279 |
GE Global Insurance Holdings Corp. | 7.75% | 6/15/2030 | 250 | 293 |
Genworth Financial, Inc. | 5.75% | 6/15/2014 | 2,250 | 2,361 |
Hartford Financial Services Group, Inc. | 7.90% | 6/15/2010 | 1,000 | 1,161 |
Hartford Financial Services Group, Inc. | 4.625% | 7/15/2013 | 1,200 | 1,164 |
Lincoln National Corp. | 6.20% | 12/15/2011 | 1,650 | 1,793 |
Marsh & McLennan Cos., Inc. | 6.25% | 3/15/2012 | 1,900 | 1,987 |
Marsh & McLennan Cos., Inc. | 4.85% | 2/15/2013 | 2,000 | 1,888 |
MetLife, Inc. | 5.375% | 12/15/2012 | 3,000 | 3,104 |
MetLife, Inc. | 5.00% | 11/24/2013 | 2,325 | 2,337 |
MetLife, Inc. | 5.50% | 6/15/2014 | 1,575 | 1,631 |
Nationwide Financial Services | 5.90% | 7/1/2012 | 2,475 | 2,633 |
Principal Life Inc. Funding | 5.10% | 4/15/2014 | 4,250 | 4,305 |
71
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Protective Life Secured Trust | 4.00% | 4/1/2011 | $ 2,500 | $ 2,432 |
Prudential Financial, Inc. | 4.50% | 7/15/2013 | 4,500 | 4,350 |
Prudential Financial, Inc. | 5.10% | 9/20/2014 | 2,675 | 2,680 |
Safeco Corp. | 4.875% | 2/1/2010 | 2,500 | 2,560 |
Travelers Property Casualty Corp. | 5.00% | 3/15/2013 | 2,500 | 2,476 |
XL Capital Ltd. | 5.25% | 9/15/2014 | 5,025 | 4,997 |
Real Estate Investment Trusts (1.2%) | ||||
Avalonbay Communities | 6.125% | 11/1/2012 | 1,000 | 1,079 |
Boston Properties, Inc. | 6.25% | 1/15/2013 | 4,000 | 4,348 |
Brandywine Realty Trust | 5.40% | 11/1/2014 | 2,250 | 2,254 |
Developers Diversified Realty | 5.25% | 4/15/2011 | 2,000 | 2,041 |
EOP Operating LP | 8.10% | 8/1/2010 | 500 | 585 |
EOP Operating LP | 4.65% | 10/1/2010 | 1,700 | 1,707 |
EOP Operating LP | 7.00% | 7/15/2011 | 8,750 | 9,863 |
EOP Operating LP | 6.75% | 2/15/2012 | 2,200 | 2,448 |
EOP Operating LP | 4.75% | 3/15/2014 | 1,775 | 1,718 |
ERP Operating LP | 6.95% | 3/2/2011 | 4,000 | 4,482 |
ERP Operating LP | 6.625% | 3/15/2012 | 1,000 | 1,112 |
ERP Operating LP | 5.20% | 4/1/2013 | 1,000 | 1,022 |
Health Care Property Investment, Inc. | 6.45% | 6/25/2012 | 3,025 | 3,301 |
Health Care REIT, Inc. | 6.00% | 11/15/2013 | 2,950 | 3,041 |
HRPT Properties Trust | 6.25% | 8/15/2016 | 1,400 | 1,473 |
iStar Financial Inc. | 6.00% | 12/15/2010 | 2,000 | 2,108 |
ProLogis | 5.50% | 3/1/2013 | 2,000 | 2,060 |
Regency Centers LP | 6.75% | 1/15/2012 | 2,600 | 2,874 |
Simon Property Group Inc. | 4.875% | 8/15/2010 (2) | 3,500 | 3,562 |
Simon Property Group Inc. | 6.35% | 8/28/2012 | 2,500 | 2,711 |
Other (0.1%) | ||||
Berkshire Hathaway Finance Corp. | 4.20% | 12/15/2010 | 1,000 | 1,007 |
Berkshire Hathaway Finance Corp. | 4.625% | 10/15/2013 | 2,500 | 2,502 |
Berkshire Hathaway Finance Corp. | 5.10% | 7/15/2014 (2) | 1,850 | 1,891 |
855,893 | ||||
Industrial (26.5%) | ||||
Basic Industry (2.1%) | ||||
Alcan, Inc. | 4.50% | 5/15/2013 | 4,100 | 4,023 |
Alcan, Inc. | 5.20% | 1/15/2014 | 1,500 | 1,533 |
Alcoa, Inc. | 6.50% | 6/1/2011 | 1,000 | 1,118 |
Alcoa, Inc. | 6.00% | 1/15/2012 | 1,000 | 1,091 |
Alcoa, Inc. | 5.375% | 1/15/2013 | 11,000 | 11,564 |
Barrick Gold Finance Inc. | 4.875% | 11/15/2014 | 1,050 | 1,046 |
BHP Billington Finance BV | 4.80% | 4/15/2013 | 5,500 | 5,566 |
Celulosa Arauco Constitution SA | 8.625% | 8/15/2010 | 2,050 | 2,422 |
Celulosa Arauco Constitution SA | 5.125% | 7/9/2013 | 1,500 | 1,485 |
Domtar, Inc. | 7.875% | 10/15/2011 | 1,250 | 1,437 |
Dow Chemical Co. | 6.125% | 2/1/2011 | 7,500 | 8,177 |
E.I. du Pont de Nemours & Co. | 4.125% | 4/30/2010 | 5,050 | 5,084 |
E.I. du Pont de Nemours & Co. | 4.75% | 11/15/2012 | 2,000 | 2,041 |
E.I. du Pont de Nemours & Co. | 4.875% | 4/30/2014 | 1,125 | 1,149 |
Eastman Chemical Co. | 7.00% | 4/15/2012 | 1,000 | 1,140 |
72
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Falconbridge Ltd. | 7.35% | 6/5/2012 | $ 1,500 | $ 1,699 |
ICI Wilmington | 5.625% | 12/1/2013 | 1,600 | 1,657 |
Inco Ltd. | 7.75% | 5/15/2012 | 1,500 | 1,759 |
International Paper Co. | 4.00% | 4/1/2010 | 2,000 | 1,963 |
International Paper Co. | 6.75% | 9/1/2011 | 3,300 | 3,696 |
International Paper Co. | 5.85% | 10/30/2012 (3) | 4,900 | 5,214 |
MeadWestvaco Corp. | 6.85% | 4/1/2012 | 2,500 | 2,822 |
Monsanto Co. | 7.375% | 8/15/2012 | 2,000 | 2,329 |
Noranda, Inc. | 7.25% | 7/15/2012 | 2,325 | 2,646 |
Phelps Dodge Corp. | 8.75% | 6/1/2011 | 2,500 | 3,028 |
Potash Corp. of Saskatchewan | 7.75% | 5/31/2011 | 2,500 | 2,953 |
Potash Corp. of Saskatchewan | 4.875% | 3/1/2013 | 1,500 | 1,500 |
Praxair, Inc. | 6.375% | 4/1/2012 | 2,000 | 2,233 |
Praxair, Inc. | 3.95% | 6/1/2013 | 2,500 | 2,387 |
Stora Enso Oyj | 7.375% | 5/15/2011 | 1,000 | 1,140 |
Weyerhaeuser Co. | 6.75% | 3/15/2012 | 7,500 | 8,441 |
WMC Finance USA | 5.125% | 5/15/2013 | 2,000 | 2,007 |
Capital Goods (2.8%) | ||||
BAE Systems | 7.156% | 12/15/2011 (1)(2) | 707 | 771 |
Boeing Capital Corp. | 6.50% | 2/15/2012 | 2,400 | 2,690 |
Boeing Capital Corp. | 5.80% | 1/15/2013 | 6,500 | 7,008 |
Brascan Corp. | 7.125% | 6/15/2012 | 1,000 | 1,126 |
Caterpillar, Inc. | 6.55% | 5/1/2011 | 1,000 | 1,122 |
CRH America Inc. | 6.95% | 3/15/2012 | 5,275 | 6,018 |
Deere & Co. | 7.85% | 5/15/2010 | 1,000 | 1,174 |
Deere & Co. | 6.95% | 4/25/2014 | 3,350 | 3,900 |
Emerson Electric Co. | 7.125% | 8/15/2010 | 500 | 572 |
Emerson Electric Co. | 4.625% | 10/15/2012 | 7,000 | 7,041 |
General Dynamics Corp. | 4.50% | 8/15/2010 | 1,000 | 1,019 |
General Dynamics Corp. | 4.25% | 5/15/2013 | 6,000 | 5,874 |
General Electric Co. | 5.00% | 2/1/2013 | 16,700 | 17,130 |
Goodrich Corp. | 7.625% | 12/15/2012 | 3,000 | 3,556 |
Hanson PLC | 7.875% | 9/27/2010 | 2,500 | 2,917 |
Hanson PLC | 5.25% | 3/15/2013 | 3,775 | 3,806 |
Honeywell International, Inc. | 7.50% | 3/1/2010 | 4,000 | 4,618 |
John Deere Capital Corp. | 7.00% | 3/15/2012 | 7,220 | 8,335 |
Masco Corp. | 5.875% | 7/15/2012 | 4,100 | 4,417 |
Northrop Grumman Corp. | 7.125% | 2/15/2011 | 4,400 | 5,023 |
Raytheon Co. | 8.30% | 3/1/2010 | 2,000 | 2,369 |
Raytheon Co. | 6.00% | 12/15/2010 | 506 | 547 |
Raytheon Co. | 4.85% | 1/15/2011 | 1,000 | 1,020 |
Raytheon Co. | 5.50% | 11/15/2012 | 1,250 | 1,318 |
Raytheon Co. | 5.375% | 4/1/2013 | 1,700 | 1,772 |
Republic Services, Inc. | 6.75% | 8/15/2011 | 2,225 | 2,505 |
Textron Financial Corp. | 6.00% | 11/20/2009 | 1,500 | 1,622 |
Textron, Inc. | 6.50% | 6/1/2012 | 2,450 | 2,698 |
The Boeing Co. | 5.125% | 2/15/2013 | 3,000 | 3,103 |
Tyco International Group SA | 6.75% | 2/15/2011 | 4,750 | 5,325 |
Tyco International Group SA | 6.375% | 10/15/2011 | 6,875 | 7,585 |
Tyco International Group SA | 6.00% | 11/15/2013 | 1,900 | 2,059 |
73
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
United Technologies Corp. | 7.125% | 11/15/2010 | $ 2,500 | $ 2,864 |
United Technologies Corp. | 6.35% | 3/1/2011 | 1,000 | 1,112 |
United Technologies Corp. | 6.10% | 5/15/2012 | 1,500 | 1,646 |
Waste Management, Inc. | 6.50% | 11/15/2008 | 1,250 | 1,356 |
Waste Management, Inc. | 7.375% | 8/1/2010 | 500 | 570 |
Waste Management, Inc. | 5.00% | 3/15/2014 | 3,325 | 3,331 |
Communication (6.7%) | ||||
Alltel Corp. | 7.00% | 7/1/2012 | 2,000 | 2,298 |
America Movil SA de C.V. | 5.50% | 3/1/2014 | 4,400 | 4,325 |
AT&T Wireless Services, Inc. | 7.875% | 3/1/2011 | 16,700 | 19,656 |
AT&T Wireless Services, Inc. | 8.125% | 5/1/2012 | 3,000 | 3,621 |
BellSouth Corp. | 6.00% | 10/15/2011 | 6,500 | 7,074 |
BellSouth Corp. | 4.75% | 11/15/2012 | 3,150 | 3,176 |
BellSouth Corp. | 5.20% | 9/15/2014 | 5,200 | 5,293 |
British Telecommunications PLC | 8.375% | 12/15/2010 (3) | 9,900 | 11,844 |
CenturyTel, Inc. | 7.875% | 8/15/2012 | 2,400 | 2,820 |
Cingular Wireless | 6.50% | 12/15/2011 | 1,500 | 1,667 |
Clear Channel Communications, Inc. | 7.65% | 9/15/2010 | 3,725 | 4,241 |
Clear Channel Communications, Inc. | 5.00% | 3/15/2012 | 4,950 | 4,898 |
Clear Channel Communications, Inc. | 5.50% | 9/15/2014 | 1,600 | 1,607 |
Comcast Cable Communications | ||||
Holdings Inc. | 8.375% | 3/15/2013 | 6,500 | 8,022 |
Comcast Cable Communications, Inc. | 6.75% | 1/30/2011 | 8,500 | 9,528 |
Comcast Cable Communications, Inc. | 7.125% | 6/15/2013 | 1,600 | 1,850 |
Comcast Corp. | 5.30% | 1/15/2014 | 2,950 | 3,030 |
Comcast Corp. | 6.50% | 1/15/2015 | 1,725 | 1,912 |
Cox Communications, Inc. | 4.625% | 1/15/2010 (2) | 4,200 | 4,187 |
Cox Communications, Inc. | 7.75% | 11/1/2010 | 1,550 | 1,772 |
Cox Communications, Inc. | 6.75% | 3/15/2011 | 6,000 | 6,558 |
Cox Communications, Inc. | 7.125% | 10/1/2012 | 2,000 | 2,238 |
Cox Communications, Inc. | 5.45% | 12/15/2014 (2) | 4,775 | 4,777 |
Deutsche Telekom International Finance | 8.50% | 6/15/2010 (3) | 10,700 | 12,738 |
Deutsche Telekom International Finance | 5.25% | 7/22/2013 | 5,000 | 5,130 |
France Telecom | 8.50% | 3/1/2011 (3) | 12,150 | 14,482 |
Gannett Co., Inc. | 6.375% | 4/1/2012 | 1,500 | 1,670 |
Grupo Televisa SA | 8.00% | 9/13/2011 | 1,000 | 1,158 |
Knight Ridder, Inc. | 7.125% | 6/1/2011 | 2,000 | 2,289 |
Koninklijke KPN NV | 8.00% | 10/1/2010 | 4,800 | 5,656 |
News America Holdings, Inc. | 9.25% | 2/1/2013 | 2,550 | 3,273 |
News America Inc. | 5.30% | 12/15/2014 (2) | 2,800 | 2,820 |
Quebecor World Capital Corp. | 6.125% | 11/15/2013 | 1,000 | 1,035 |
R.R. Donnelley & Sons Co. | 4.95% | 4/1/2014 | 2,250 | 2,238 |
Reed Elsevier Capital | 6.75% | 8/1/2011 | 1,000 | 1,125 |
SBC Communications, Inc. | 6.25% | 3/15/2011 | 3,700 | 4,052 |
SBC Communications, Inc. | 5.875% | 2/1/2012 | 3,000 | 3,224 |
SBC Communications, Inc. | 5.875% | 8/15/2012 | 2,500 | 2,695 |
SBC Communications, Inc. | 5.10% | 9/15/2014 | 10,500 | 10,601 |
Sprint Capital Corp. | 7.625% | 1/30/2011 | 6,975 | 8,087 |
Sprint Capital Corp. | 8.375% | 3/15/2012 | 6,250 | 7,627 |
TCI Communications, Inc. | 8.75% | 8/1/2015 | 3,095 | 3,929 |
74
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Telecom Italia Capital | 4.00% | 1/15/2010 (2) | $ 4,825 | $ 4,723 |
Telecom Italia Capital | 5.25% | 11/15/2013 | 7,000 | 7,062 |
Telecom Italia Capital | 4.95% | 9/30/2014 (2) | 4,475 | 4,372 |
Tele-Communications, Inc. | 9.80% | 2/1/2012 | 1,000 | 1,285 |
Tele-Communications, Inc. | 7.875% | 8/1/2013 | 2,701 | 3,232 |
Telefonica Europe BV | 7.75% | 9/15/2010 | 8,200 | 9,541 |
Telus Corp. | 8.00% | 6/1/2011 | 6,000 | 7,101 |
Thomson Corp. | 6.20% | 1/5/2012 | 2,000 | 2,197 |
Time Warner Entertainment | 10.15% | 5/1/2012 | 400 | 521 |
Time Warner Entertainment | 8.875% | 10/1/2012 | 1,000 | 1,233 |
Univision Communications, Inc. | 7.85% | 7/15/2011 | 3,000 | 3,491 |
USA Interactive | 7.00% | 1/15/2013 | 2,175 | 2,396 |
Verizon Global Funding Corp. | 7.25% | 12/1/2010 | 3,000 | 3,438 |
Verizon Global Funding Corp. | 6.875% | 6/15/2012 | 5,500 | 6,291 |
Verizon Global Funding Corp. | 7.375% | 9/1/2012 | 5,650 | 6,642 |
Verizon New England Telephone Co. | 6.50% | 9/15/2011 | 4,500 | 4,940 |
Verizon New Jersey, Inc. | 5.875% | 1/17/2012 | 5,875 | 6,232 |
Verizon New York, Inc. | 6.875% | 4/1/2012 | 3,300 | 3,720 |
Verizon Pennsylvania, Inc. | 5.65% | 11/15/2011 | 5,525 | 5,821 |
Verizon Virginia Inc. | 4.625% | 3/15/2013 | 1,400 | 1,367 |
Vodafone AirTouch PLC | 7.75% | 2/15/2010 | 7,860 | 9,135 |
Vodafone Group PLC | 5.00% | 12/16/2013 | 2,750 | 2,797 |
WPP Finance USA Corp. | 5.875% | 6/15/2014 (2) | 2,150 | 2,253 |
Consumer Cyclical (6.0%) | ||||
Brinker International | 5.75% | 6/1/2014 | 1,700 | 1,773 |
Cendant Corp. | 7.375% | 1/15/2013 | 6,000 | 6,952 |
Centex Corp. | 7.875% | 2/1/2011 | 1,000 | 1,169 |
Centex Corp. | 7.50% | 1/15/2012 | 2,000 | 2,297 |
Centex Corp. | 5.125% | 10/1/2013 | 2,500 | 2,500 |
Centex Corp. | 5.70% | 5/15/2014 | 1,000 | 1,035 |
Cooper Tire & Rubber Co. | 7.75% | 12/15/2009 | 1,000 | 1,129 |
CVS Corp. | 4.875% | 9/15/2014 | 1,675 | 1,669 |
DaimlerChrysler North America | ||||
Holding Corp. | 8.00% | 6/15/2010 | 1,000 | 1,157 |
DaimlerChrysler North America | ||||
Holding Corp. | 7.75% | 1/18/2011 | 7,000 | 8,085 |
DaimlerChrysler North America | ||||
Holding Corp. | 7.30% | 1/15/2012 | 7,475 | 8,491 |
DaimlerChrysler North America | ||||
Holding Corp. | 6.50% | 11/15/2013 | 4,350 | 4,717 |
Delphi Corp. | 6.50% | 8/15/2013 | 2,600 | 2,576 |
Federated Department Stores, Inc. | 6.625% | 4/1/2011 | 3,000 | 3,355 |
Ford Capital BV | 9.50% | 6/1/2010 | 180 | 206 |
Ford Motor Credit Co. | 5.70% | 1/15/2010 | 150 | 151 |
Ford Motor Credit Co. | 7.875% | 6/15/2010 | 6,250 | 6,871 |
Ford Motor Credit Co. | 7.375% | 2/1/2011 | 8,550 | 9,220 |
Ford Motor Credit Co. | 7.25% | 10/25/2011 | 29,750 | 31,929 |
Ford Motor Credit Co. | 7.00% | 10/1/2013 | 2,150 | 2,273 |
General Motors Acceptance Corp. | 7.75% | 1/19/2010 | 9,200 | 9,873 |
General Motors Acceptance Corp. | 7.25% | 3/2/2011 | 7,650 | 8,014 |
75
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
General Motors Acceptance Corp. | 6.875% | 9/15/2011 | $ 12,500 | $ 12,788 |
General Motors Acceptance Corp. | 7.00% | 2/1/2012 | 14,500 | 14,893 |
General Motors Acceptance Corp. | 6.875% | 8/28/2012 | 5,300 | 5,397 |
General Motors Acceptance Corp. | 6.75% | 12/1/2014 | 1,725 | 1,724 |
General Motors Corp. | 7.20% | 1/15/2011 | 9,000 | 9,209 |
Harrah's Operating Co., Inc. | 8.00% | 2/1/2011 | 4,700 | 5,454 |
Harrah's Operating Co., Inc. | 5.375% | 12/15/2013 | 1,700 | 1,711 |
Hilton Hotels Corp. | 7.625% | 12/1/2012 | 2,000 | 2,330 |
Johnson Controls, Inc. | 4.875% | 9/15/2013 | 1,000 | 1,013 |
Kohl's Corp. | 6.30% | 3/1/2011 | 1,000 | 1,100 |
Lear Corp. | 5.75% | 8/1/2014 (2) | 1,325 | 1,347 |
Lennar Corp. | 5.95% | 3/1/2013 | 3,100 | 3,248 |
Lennar Corp. | 5.50% | 9/1/2014 (2) | 1,000 | 1,010 |
Liberty Media Corp. | 5.70% | 5/15/2013 | 2,450 | 2,425 |
Limited Brands Inc. | 5.25% | 11/1/2014 | 1,750 | 1,731 |
Lowe's Cos., Inc. | 8.25% | 6/1/2010 | 3,000 | 3,576 |
May Department Stores Co. | 5.75% | 7/15/2014 | 2,700 | 2,773 |
McDonald's Corp. | 5.75% | 3/1/2012 | 3,300 | 3,524 |
MDC Corp. | 5.50% | 5/15/2013 | 1,000 | 1,012 |
Office Depot, Inc. | 6.25% | 8/15/2013 | 2,000 | 2,135 |
Pulte Homes, Inc. | 7.875% | 8/1/2011 | 1,000 | 1,162 |
Pulte Homes, Inc. | 6.25% | 2/15/2013 | 3,000 | 3,201 |
Pulte Homes, Inc. | 5.25% | 1/15/2014 | 1,675 | 1,666 |
Staples Inc. | 7.375% | 10/1/2012 | 2,000 | 2,311 |
Target Corp. | 7.50% | 8/15/2010 | 3,000 | 3,489 |
Target Corp. | 6.35% | 1/15/2011 | 3,000 | 3,323 |
Target Corp. | 5.875% | 3/1/2012 | 4,000 | 4,360 |
The Walt Disney Co. | 6.375% | 3/1/2012 | 5,714 | 6,350 |
Time Warner, Inc. | 6.75% | 4/15/2011 | 12,100 | 13,572 |
Time Warner, Inc. | 6.875% | 5/1/2012 | 3,000 | 3,409 |
Time Warner, Inc. | 9.125% | 1/15/2013 | 1,500 | 1,891 |
Toll Brothers, Inc. | 6.875% | 11/15/2012 | 1,500 | 1,672 |
Toll Brothers, Inc. | 5.95% | 9/15/2013 | 1,000 | 1,054 |
Toyota Motor Credit Corp. | 4.35% | 12/15/2010 | 2,200 | 2,233 |
Viacom International Inc. | 6.625% | 5/15/2011 | 3,150 | 3,534 |
Viacom International Inc. | 5.625% | 8/15/2012 | 9,000 | 9,602 |
Wal-Mart Stores, Inc. | 4.125% | 2/15/2011 | 9,300 | 9,331 |
Wal-Mart Stores, Inc. | 4.55% | 5/1/2013 | 3,800 | 3,835 |
Westinghouse Electric | 8.625% | 8/1/2012 | 1,000 | 1,247 |
Yum! Brands, Inc. | 8.875% | 4/15/2011 | 2,600 | 3,203 |
Yum! Brands, Inc. | 7.70% | 7/1/2012 | 1,100 | 1,303 |
Consumer Noncyclical (4.9%) | ||||
Abbott Laboratories | 3.75% | 3/15/2011 | 4,000 | 3,911 |
Aetna, Inc. | 7.875% | 3/1/2011 | 2,900 | 3,393 |
Albertson's, Inc. | 7.50% | 2/15/2011 | 4,300 | 4,989 |
Altria Group, Inc. | 7.00% | 11/4/2013 | 4,000 | 4,321 |
Amgen Inc. | 4.85% | 11/18/2014 (2) | 4,200 | 4,185 |
Anheuser Busch Cos., Inc. | 4.70% | 4/15/2012 | 1,500 | 1,530 |
Anheuser-Busch Cos., Inc. | 6.00% | 4/15/2011 | 1,500 | 1,644 |
Anheuser-Busch Cos., Inc. | 4.375% | 1/15/2013 | 1,500 | 1,488 |
76
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Anthem, Inc. | 6.80% | 8/1/2012 | $ 3,500 | $ 3,946 |
Archer-Daniels-Midland Co. | 8.875% | 4/15/2011 | 80 | 99 |
Archer-Daniels-Midland Co. | 8.125% | 6/1/2012 | 2,000 | 2,453 |
AstraZeneca PLC | 5.40% | 6/1/2014 | 3,050 | 3,205 |
Boston Scientific | 5.45% | 6/15/2014 | 2,825 | 2,925 |
Bottling Group LLC | 4.625% | 11/15/2012 | 6,000 | 6,079 |
Bristol-Myers Squibb Co. | 5.75% | 10/1/2011 | 10,000 | 10,704 |
Bunge Ltd. Finance Corp. | 5.875% | 5/15/2013 | 2,000 | 2,122 |
Bunge Ltd. Finance Corp. | 5.35% | 4/15/2014 | 850 | 868 |
Campbell Soup Co. | 6.75% | 2/15/2011 | 5,000 | 5,634 |
Cardinal Health, Inc. | 6.75% | 2/15/2011 | 1,000 | 1,103 |
Cia. Brasil de Bebidas AmBev | 10.50% | 12/15/2011 | 900 | 1,130 |
Cia. Brasil de Bebidas AmBev | 8.75% | 9/15/2013 | 2,000 | 2,330 |
Clorox Co. | 4.20% | 1/15/2010 (2) | 3,650 | 3,665 |
Clorox Co. | 5.00% | 1/15/2015 (2) | 225 | 229 |
Coca-Cola Enterprises Inc. | 6.125% | 8/15/2011 | 5,000 | 5,498 |
Coca-Cola HBC Finance | 5.125% | 9/17/2013 | 1,400 | 1,433 |
Conagra, Inc. | 7.875% | 9/15/2010 | 5,300 | 6,231 |
Conagra, Inc. | 6.75% | 9/15/2011 | 1,000 | 1,128 |
Coors Brewing Co. | 6.375% | 5/15/2012 | 2,000 | 2,194 |
Eli Lilly & Co. | 6.00% | 3/15/2012 | 3,000 | 3,286 |
General Mills, Inc. | 6.00% | 2/15/2012 | 8,000 | 8,660 |
GlaxoSmithKline Capital Inc. | 4.375% | 4/15/2014 | 6,225 | 6,049 |
Grand Metropolitan Investment Corp. | 9.00% | 8/15/2011 | 3,075 | 3,882 |
H.J. Heinz Co. | 6.625% | 7/15/2011 (3) | 2,000 | 2,251 |
H.J. Heinz Co. | 6.00% | 3/15/2012 | 2,000 | 2,185 |
Hospira, Inc. | 5.90% | 6/15/2014 | 1,725 | 1,794 |
Johnson & Johnson | 3.80% | 5/15/2013 | 3,000 | 2,860 |
Kellogg Co. | 6.60% | 4/1/2011 | 6,250 | 7,009 |
Kimberly-Clark Corp. | 5.625% | 2/15/2012 | 2,750 | 2,946 |
Kraft Foods, Inc. | 5.625% | 11/1/2011 | 11,950 | 12,642 |
Kraft Foods, Inc. | 6.25% | 6/1/2012 | 3,500 | 3,830 |
Kroger Co. | 8.05% | 2/1/2010 | 1,700 | 1,983 |
Kroger Co. | 6.80% | 4/1/2011 | 3,000 | 3,376 |
Kroger Co. | 6.75% | 4/15/2012 | 3,700 | 4,157 |
McKesson Corp. | 7.75% | 2/1/2012 | 2,000 | 2,308 |
Merck & Co. | 4.375% | 2/15/2013 | 1,500 | 1,463 |
Newell Rubbermaid, Inc. | 4.00% | 5/1/2010 | 1,000 | 966 |
Panamerican Beverages, Inc. | 7.25% | 7/1/2009 | 1,000 | 1,108 |
Pfizer, Inc. | 4.50% | 2/15/2014 | 3,125 | 3,092 |
Procter & Gamble Co. | 4.95% | 8/15/2014 | 3,425 | 3,492 |
Safeway, Inc. | 4.95% | 8/16/2010 | 875 | 887 |
Safeway, Inc. | 5.80% | 8/15/2012 | 6,500 | 6,845 |
Sara Lee Corp. | 6.25% | 9/15/2011 | 3,000 | 3,322 |
Sara Lee Corp. | 3.875% | 6/15/2013 | 2,500 | 2,370 |
Schering-Plough Corp. | 5.55% | 12/1/2013 | 3,750 | 3,923 |
SUPERVALU Inc. | 7.50% | 5/15/2012 | 1,000 | 1,149 |
Tyson Foods, Inc. | 8.25% | 10/1/2011 | 5,500 | 6,538 |
Unilever Capital Corp. | 7.125% | 11/1/2010 | 6,500 | 7,459 |
UnitedHealth Group, Inc. | 4.875% | 4/1/2013 | 4,000 | 4,022 |
UnitedHealth Group, Inc. | 5.00% | 8/15/2014 | 725 | 729 |
77
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
UST, Inc. | 6.625% | 7/15/2012 | $ 1,000 | $ 1,110 |
Wellpoint Health Networks Inc. | 6.375% | 1/15/2012 | 800 | 879 |
Wellpoint Inc. | 5.00% | 12/15/2014 (2) | 2,775 | 2,755 |
Wyeth | 6.95% | 3/15/2011 | 3,000 | 3,362 |
Wyeth | 5.50% | 3/15/2013 | 9,000 | 9,339 |
Wyeth | 5.50% | 2/1/2014 | 3,675 | 3,790 |
Energy (2.0%) | ||||
Anadarko Finance Co. | 6.75% | 5/1/2011 | 4,500 | 5,079 |
Apache Corp. | 6.25% | 4/15/2012 | 2,300 | 2,556 |
Baker Hughes, Inc. | 6.25% | 1/15/2009 | 2,300 | 2,494 |
BP Amoco PLC | 8.50% | 4/1/2012 | 1,700 | 2,111 |
Burlington Resources, Inc. | 6.68% | 2/15/2011 | 2,000 | 2,241 |
Burlington Resources, Inc. | 6.50% | 12/1/2011 | 2,000 | 2,229 |
Canadian Natural Resources | 6.70% | 7/15/2011 | 2,500 | 2,796 |
Canadian Natural Resources | 5.45% | 10/1/2012 | 750 | 787 |
Conoco Funding Co. | 6.35% | 10/15/2011 | 11,175 | 12,457 |
Devon Financing Corp. | 6.875% | 9/30/2011 | 8,500 | 9,606 |
Encana Holdings Finance Corp. | 5.80% | 5/1/2014 | 2,000 | 2,125 |
Halliburton Co. | 5.50% | 10/15/2010 | 3,000 | 3,162 |
Kerr McGee Corp. | 7.00% | 11/1/2011 | 1,230 | 1,232 |
Marathon Oil Corp. | 6.125% | 3/15/2012 | 3,050 | 3,316 |
Nexen, Inc. | 5.05% | 11/20/2013 | 2,000 | 1,975 |
Occidental Petroleum | 6.75% | 1/15/2012 | 4,750 | 5,380 |
PanCanadian Energy Corp. | 6.30% | 11/1/2011 | 4,000 | 4,388 |
Petro-Canada | 4.00% | 7/15/2013 | 1,800 | 1,685 |
Petro-Canada | 5.00% | 11/15/2014 | 1,500 | 1,497 |
PF Export Receivables Master Trust | 6.60% | 12/1/2011 (1)(2) | 5,000 | 5,336 |
Phillips Petroleum Co. | 8.75% | 5/25/2010 | 3,700 | 4,489 |
Sunoco, Inc. | 4.875% | 10/15/2014 | 950 | 938 |
Transocean Sedco Forex, Inc. | 6.625% | 4/15/2011 | 2,500 | 2,792 |
Union Oil Co. of California | 5.05% | 10/1/2012 | 3,150 | 3,216 |
Valero Energy Corp. | 6.875% | 4/15/2012 | 2,500 | 2,829 |
XTO Energy, Inc. | 7.50% | 4/15/2012 | 1,000 | 1,167 |
XTO Energy, Inc. | 6.25% | 4/15/2013 | 3,000 | 3,272 |
XTO Energy, Inc. | 4.90% | 2/1/2014 | 1,500 | 1,496 |
Technology (0.8%) | ||||
Arrow Electronics, Inc. | 6.875% | 7/1/2013 | 1,000 | 1,092 |
Computer Sciences Corp. | 5.00% | 2/15/2013 | 3,100 | 3,105 |
Deluxe Corp. | 5.125% | 10/1/2014 (2) | 1,750 | 1,676 |
Eastmak Kodak Co. | 7.25% | 11/15/2013 | 2,250 | 2,429 |
First Data Corp. | 5.625% | 11/1/2011 | 4,500 | 4,820 |
Hewlett-Packard Co. | 6.50% | 7/1/2012 | 2,500 | 2,792 |
International Business Machines Corp. | 4.75% | 11/29/2012 | 4,500 | 4,588 |
International Business Machines Corp. | 7.50% | 6/15/2013 | 4,000 | 4,784 |
Motorola, Inc. | 7.625% | 11/15/2010 | 5,750 | 6,670 |
Motorola, Inc. | 8.00% | 11/1/2011 | 1,500 | 1,789 |
Pitney Bowes, Inc. | 4.625% | 10/1/2012 | 1,500 | 1,503 |
Pitney Bowes, Inc. | 4.875% | 8/15/2014 | 1,800 | 1,810 |
Science Applications International Corp. | 6.25% | 7/1/2012 | 1,000 | 1,086 |
SunGard Data Systems, Inc. | 4.875% | 1/15/2014 | 975 | 944 |
78
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Transportation (1.1%) | ||||
American Airlines, Inc. | ||||
Pass-Through Certificates | 7.024% | 10/15/2009 | $ 6,050 | $ 6,232 |
Burlington Northern Santa Fe Corp. | 6.75% | 7/15/2011 | 1,590 | 1,797 |
Burlington Northern Santa Fe Corp. | 5.90% | 7/1/2012 | 3,000 | 3,220 |
Canadian National Railway Co. | 6.375% | 10/15/2011 | 1,600 | 1,795 |
Canadian National Railway Co. | 4.40% | 3/15/2013 | 2,000 | 1,963 |
Canadian Pacific Rail | 6.25% | 10/15/2011 | 1,900 | 2,092 |
Continental Airlines Enhanced | ||||
Equipment Trust Certificates | 6.563% | 2/15/2012 | 2,500 | 2,675 |
CSX Corp. | 6.30% | 3/15/2012 | 4,500 | 4,914 |
ERAC USA Finance Co. | 7.35% | 6/15/2008 (2) | 325 | 360 |
Hertz Corp. | 6.35% | 6/15/2010 | 1,950 | 2,012 |
Hertz Corp. | 7.40% | 3/1/2011 | 1,000 | 1,074 |
Hertz Corp. | 7.625% | 6/1/2012 | 3,975 | 4,311 |
Kowloon-Canton Railway | 8.00% | 3/15/2010 | 2,000 | 2,335 |
Mass Transit Railway Corp. | 7.50% | 11/8/2010 | 2,500 | 2,904 |
Norfolk Southern Corp. | 6.75% | 2/15/2011 | 2,000 | 2,245 |
Norfolk Southern Corp. | 5.257% | 9/17/2014 | 1,595 | 1,639 |
Northwest Airlines, Inc. | ||||
Pass-Through Certificates | 6.841% | 4/1/2011 | 2,000 | 2,025 |
Southwest Airlines Co. | 6.50% | 3/1/2012 | 2,400 | 2,641 |
Union Pacific Corp. | 7.25% | 11/1/2008 | 3,500 | 3,886 |
Union Pacific Corp. | 3.625% | 6/1/2010 | 500 | 482 |
Union Pacific Corp. | 6.65% | 1/15/2011 | 355 | 396 |
Union Pacific Corp. | 6.50% | 4/15/2012 | 1,500 | 1,670 |
Other (0.1%) | ||||
Black & Decker Corp. | 7.125% | 6/1/2011 | 1,500 | 1,703 |
Black & Decker Corp. | 4.75% | 11/1/2014 (2) | 1,000 | 983 |
1,226,220 | ||||
Utilities (4.3%) | ||||
Electric (3.4%) | ||||
AEP Texas Central Co. | 5.50% | 2/15/2013 | 1,500 | 1,557 |
Alliant Energy Resources | 9.75% | 1/15/2013 | 1,000 | 1,301 |
American Electric Power Co., Inc. | 5.375% | 3/15/2010 | 2,250 | 2,352 |
Arizona Public Service Co. | 6.375% | 10/15/2011 | 1,500 | 1,647 |
Arizona Public Service Co. | 5.80% | 6/30/2014 | 500 | 531 |
Arizona Public Service Co. | 4.65% | 5/15/2015 | 1,500 | 1,443 |
Boston Edison Co. | 4.875% | 4/15/2014 | 2,350 | 2,376 |
Centerpoint Energy Houston | 5.70% | 3/15/2013 | 4,000 | 4,248 |
Cincinnati Gas & Electric Co. | 5.70% | 9/15/2012 | 3,900 | 4,143 |
Commonwealth Edison Co. | 6.15% | 3/15/2012 | 3,500 | 3,828 |
Consolidated Edison, Inc. | 4.875% | 2/1/2013 | 5,000 | 5,050 |
Constellation Energy Group, Inc. | 6.125% | 9/1/2009 | 2,000 | 2,156 |
Constellation Energy Group, Inc. | 7.00% | 4/1/2012 | 2,100 | 2,397 |
Consumers Energy Co. | 5.00% | 2/15/2012 (2) | 3,175 | 3,225 |
Consumers Energy Co. | 5.375% | 4/15/2013 | 1,000 | 1,036 |
Detroit Edison Co. | 6.125% | 10/1/2010 | 5,000 | 5,450 |
Dominion Resources, Inc. | 6.25% | 6/30/2012 | 1,000 | 1,095 |
Dominion Resources, Inc. | 5.70% | 9/17/2012 | 3,000 | 3,187 |
Duke Capital Corp. | 6.25% | 2/15/2013 | 1,000 | 1,081 |
79
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Duke Capital Corp. | 5.50% | 3/1/2014 | $ 1,000 | $ 1,020 |
Duke Capital Corp. | 5.668% | 8/15/2014 | 1,000 | 1,026 |
Duke Energy Corp. | 6.25% | 1/15/2012 | 3,300 | 3,588 |
Duke Energy Corp. | 5.625% | 11/30/2012 | 2,000 | 2,104 |
Energy East Corp. | 6.75% | 6/15/2012 | 1,750 | 1,941 |
Exelon Generation Co. LLC | 6.95% | 6/15/2011 | 3,000 | 3,385 |
Florida Power & Light Co. | 4.85% | 2/1/2013 | 1,000 | 1,022 |
HQI Transelec Chile SA | 7.875% | 4/15/2011 | 3,550 | 4,093 |
Metropolitan Edison | 4.875% | 4/1/2014 | 1,000 | 989 |
MidAmerican Energy Co. | 5.125% | 1/15/2013 | 4,000 | 4,133 |
MidAmerican Energy Holdings | 5.875% | 10/1/2012 | 1,500 | 1,586 |
MidAmerican Energy Holdings | 5.00% | 2/15/2014 | 600 | 590 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 5.75% | 8/28/2009 | 3,500 | 3,737 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 7.25% | 3/1/2012 | 1,660 | 1,915 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 4.75% | 3/1/2014 | 2,000 | 2,004 |
NiSource Finance Corp. | 7.875% | 11/15/2010 | 5,000 | 5,836 |
NiSource Finance Corp. | 6.15% | 3/1/2013 | 1,000 | 1,088 |
NiSource Finance Corp. | 5.40% | 7/15/2014 | 1,425 | 1,465 |
Northern States Power Co. | 8.00% | 8/28/2012 | 2,500 | 3,029 |
Ohio Power Co. | 5.50% | 2/15/2013 | 2,000 | 2,083 |
Oncor Electric Delivery Co. | 6.375% | 5/1/2012 | 1,750 | 1,927 |
Oncor Electric Delivery Co. | 6.375% | 1/15/2015 | 1,450 | 1,597 |
Pacific Gas & Electric Co. | 4.20% | 3/1/2011 | 3,125 | 3,076 |
Pacific Gas & Electric Co. | 4.80% | 3/1/2014 | 3,000 | 2,979 |
PacifiCorp | 6.90% | 11/15/2011 | 3,400 | 3,881 |
Pepco Holdings, Inc. | 6.45% | 8/15/2012 | 3,425 | 3,776 |
PPL Energy Supply LLC | 6.40% | 11/1/2011 | 5,000 | 5,453 |
Progress Energy, Inc. | 7.10% | 3/1/2011 | 9,850 | 11,086 |
PSEG Power Corp. | 7.75% | 4/15/2011 | 1,000 | 1,166 |
PSEG Power Corp. | 6.95% | 6/1/2012 | 5,700 | 6,424 |
Public Service Co. of Colorado | 7.875% | 10/1/2012 | 1,500 | 1,814 |
Public Service Co. of Colorado | 5.50% | 4/1/2014 | 1,000 | 1,054 |
Public Service Electric & Gas | 5.375% | 9/1/2013 | 2,000 | 2,091 |
SCANA Corp. | 6.25% | 2/1/2012 | 1,320 | 1,444 |
Southern California Edison Co. | 5.00% | 1/15/2014 | 2,525 | 2,557 |
Southern Power Co. | 6.25% | 7/15/2012 | 3,055 | 3,327 |
Tampa Electric | 6.875% | 6/15/2012 | 1,000 | 1,120 |
TXU Energy Co. | 7.00% | 3/15/2013 | 3,500 | 3,910 |
Wisconsin Energy Corp. | 6.50% | 4/1/2011 | 1,200 | 1,324 |
Xcel Energy, Inc. | 7.00% | 12/1/2010 | 2,500 | 2,823 |
Natural Gas (0.9%) | ||||
Atmos Energy Corp. | 5.125% | 1/15/2013 | 2,000 | 2,020 |
Atmos Energy Corp. | 4.95% | 10/15/2014 | 2,150 | 2,128 |
Consolidated Natural Gas | 6.25% | 11/1/2011 | 10,500 | 11,488 |
Duke Energy Field Services | 7.875% | 8/16/2010 | 2,400 | 2,793 |
KeySpan Corp. | 7.625% | 11/15/2010 | 3,000 | 3,539 |
Kinder Morgan Energy Partners LP | 7.125% | 3/15/2012 | 1,000 | 1,135 |
80
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Kinder Morgan Energy Partners LP | 5.125% | 11/15/2014 | $ 2,150 | $ 2,142 |
Kinder Morgan, Inc. | 6.50% | 9/1/2012 | 7,000 | 7,687 |
Plains All American Pipeline LP | 5.625% | 12/15/2013 | 1,500 | 1,541 |
Sempra Energy | 7.95% | 3/1/2010 | 2,500 | 2,894 |
Sempra Energy | 6.00% | 2/1/2013 | 2,000 | 2,135 |
Teppco Partners, L.P. | 7.625% | 2/15/2012 | 2,000 | 2,286 |
Trans-Canada Pipelines | 4.00% | 6/15/2013 | 3,000 | 2,820 |
202,174 | ||||
TOTAL CORPORATE BONDS | ||||
(Cost $2,200,152) | 2,287,550 | |||
SOVEREIGN BONDS (U.S. Dollar-Denominated) (4.8%) | ||||
Asian Development Bank | 4.50% | 9/4/2012 | 6,500 | 6,612 |
China Development Bank | 4.75% | 10/8/2014 | 1,950 | 1,918 |
Corporacion Andina de Fomento | 6.875% | 3/15/2012 | 1,500 | 1,671 |
Corporacion Andina de Fomento | 5.20% | 5/21/2013 | 2,500 | 2,521 |
European Bank for | ||||
Reconstruction & Development | 5.00% | 5/19/2014 | 2,500 | 2,607 |
European Investment Bank | 4.625% | 5/15/2014 | 8,975 | 9,160 |
Federation of Malaysia | 7.50% | 7/15/2011 | 6,350 | 7,408 |
Financement Quebec | 5.00% | 10/25/2012 | 2,000 | 2,059 |
Inter-American Development Bank | 5.625% | 4/16/2009 | 3,500 | 3,765 |
Inter-American Development Bank | 7.375% | 1/15/2010 | 10,500 | 12,170 |
Inter-American Development Bank | 4.375% | 9/20/2012 | 6,000 | 6,043 |
International Bank for | ||||
Reconstruction & Development | 4.125% | 6/24/2009 | 2,500 | 2,542 |
Korea Development Bank | 5.75% | 9/10/2013 | 3,350 | 3,534 |
Korea Electric Power | 7.75% | 4/1/2013 | 1,500 | 1,777 |
Kredit Fuer Wiederaufbau | 3.25% | 7/16/2007 | 7,500 | 7,478 |
Ontario Hydro Electric | 7.45% | 3/31/2013 | 3,000 | 3,609 |
Pemex Finance Ltd. | 9.69% | 8/15/2009 (1) | 4,750 | 5,320 |
Pemex Project Funding Master Trust | 9.125% | 10/13/2010 | 400 | 479 |
Pemex Project Funding Master Trust | 8.00% | 11/15/2011 (3) | 5,125 | 5,901 |
Pemex Project Funding Master Trust | 7.375% | 12/15/2014 | 850 | 941 |
People's Republic of China | 4.75% | 10/29/2013 | 5,000 | 5,023 |
Province of British Columbia | 4.30% | 5/30/2013 | 1,750 | 1,737 |
Province of Manitoba | 5.50% | 10/1/2008 | 2,500 | 2,654 |
Province of Manitoba | 7.50% | 2/22/2010 | 1,000 | 1,166 |
Province of Nova Scotia | 5.75% | 2/27/2012 | 2,500 | 2,717 |
Province of Ontario | 5.50% | 10/1/2008 | 3,000 | 3,186 |
Province of Ontario | 5.125% | 7/17/2012 | 2,250 | 2,365 |
Province of Quebec | 5.00% | 7/17/2009 | 3,100 | 3,235 |
Province of Quebec | 4.875% | 5/5/2014 | 5,500 | 5,591 |
Province of Saskatchewan | 7.375% | 7/15/2013 | 1,000 | 1,198 |
Quebec Hydro Electric | 6.30% | 5/11/2011 | 6,000 | 6,694 |
Republic of Chile | 7.125% | 1/11/2012 | 4,000 | 4,537 |
Republic of Chile | 5.50% | 1/15/2013 | 3,000 | 3,109 |
Republic of Italy | 6.00% | 2/22/2011 | 5,050 | 5,558 |
Republic of Italy | 5.625% | 6/15/2012 | 17,800 | 19,285 |
Republic of Korea | 4.25% | 6/1/2013 | 3,000 | 2,858 |
Republic of Korea | 4.875% | 9/22/2014 | 2,475 | 2,441 |
81
Intermediate-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Republic of Poland | 6.25% | 7/3/2012 | $ 5,500 | $ 6,063 |
Republic of Poland | 5.25% | 1/15/2014 | 3,500 | 3,611 |
Republic of South Africa | 7.375% | 4/25/2012 | 6,150 | 7,002 |
Republic of South Africa | 6.50% | 6/2/2014 | 2,000 | 2,177 |
State of Israel | 4.625% | 6/15/2013 | 2,800 | 2,692 |
State of Israel | 5.125% | 3/1/2014 | 2,000 | 1,990 |
United Mexican States | 9.875% | 2/1/2010 | 11,500 | 14,122 |
United Mexican States | 8.375% | 1/14/2011 | 6,500 | 7,638 |
United Mexican States | 7.50% | 1/14/2012 | 4,000 | 4,536 |
United Mexican States | 6.375% | 1/16/2013 | 8,600 | 9,125 |
United Mexican States | 5.875% | 1/15/2014 | 1,500 | 1,538 |
United Mexican States | 6.625% | 3/3/2015 | 1,500 | 1,607 |
TOTAL SOVEREIGN BONDS | ||||
(Cost $216,238) | 222,970 | |||
TAXABLE MUNICIPAL BOND | ||||
Wisconsin Public Service Rev | ||||
(Cost $1,346) | 4.80% | 5/1/2013 | 1,350 | 1,367 |
Shares | ||||
TEMPORARY CASH INVESTMENTS (2.0%) | ||||
Vanguard Market Liquidity Fund, 2.26%** | 68,979,771 | 68,980 | ||
Vanguard Market Liquidity Fund, 2.26%**—Note E | 21,933,900 | 21,934 | ||
TOTAL TEMPORARY CASH INVESTMENTS | ||||
(Cost $90,914) | 90,914 | |||
TOTAL INVESTMENTS (100.1%) | ||||
(Cost $4,519,737) | 4,633,563 | |||
OTHER ASSETS AND LIABILITIES (-0.1%) | ||||
Other Assets—Note B | 87,752 | |||
Liabilities—Note E | (93,348) | |||
(5,596) | ||||
NET ASSETS (100%) | $4,627,967 | |||
^ | See Note A in Notes to Financial Statements. |
* | The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action. |
** | Money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
(1) | The average maturity is shorter than the final maturity shown due to scheduled interim principal payments and prepayments. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2004, the aggregate value of these securities |
(3) | Adjustable-rate note. |
82
Amount | |
(000) | |
AT DECEMBER 31, 2004, NET ASSETS CONSISTED OF: | |
Paid-in Capital | $4,510,933 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 3,208 |
Unrealized Appreciation | 113,826 |
NET ASSETS | $4,627,967 |
Investor Shares—Net Assets | |
Applicable to 327,921,761 outstanding $.001 | |
par value shares of beneficial interest (unlimited authorization) | $3,501,025 |
NET ASSET VALUE PER SHARE—INVESTOR SHARES | $10.68 |
Admiral Shares—Net Assets | |
Applicable to 105,554,531 outstanding $.001 | |
par value shares of beneficial interest (unlimited authorization) | $1,126,942 |
NET ASSET VALUE PER SHARE—ADMIRAL SHARES | $10.68 |
See Note C in Notes to Financial Statements for the tax-basis components of net assets |
83
Long-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
U.S GOVERNMENT AND AGENCY OBLIGATIONS (55.6%) | ||||
U.S. Government Securities (50.1%) | ||||
U.S. Treasury Bond | 11.25% | 2/15/2015 | $ 4,615 | $ 7,256 |
U.S. Treasury Bond | 10.625% | 8/15/2015 | 425 | 653 |
U.S. Treasury Bond | 9.875% | 11/15/2015 | 575 | 850 |
U.S. Treasury Bond | 9.25% | 2/15/2016 | 11,100 | 15,845 |
U.S. Treasury Bond | 7.50% | 11/15/2016 | 12,020 | 15,363 |
U.S. Treasury Bond | 8.75% | 5/15/2017 | 37,490 | 52,533 |
U.S. Treasury Bond | 8.875% | 8/15/2017 | 34,550 | 48,958 |
U.S. Treasury Bond | 9.125% | 5/15/2018 | 2,000 | 2,909 |
U.S. Treasury Bond | 9.00% | 11/15/2018 | 11,425 | 16,554 |
U.S. Treasury Bond | 8.875% | 2/15/2019 | 31,575 | 45,434 |
U.S. Treasury Bond | 8.125% | 8/15/2019 | 19,220 | 26,247 |
U.S. Treasury Bond | 8.50% | 2/15/2020 | 8,800 | 12,416 |
U.S. Treasury Bond | 8.75% | 5/15/2020 | 2,525 | 3,642 |
U.S. Treasury Bond | 8.75% | 8/15/2020 | 5,325 | 7,695 |
U.S. Treasury Bond | 7.875% | 2/15/2021 | 23,830 | 32,196 |
U.S. Treasury Bond | 8.125% | 5/15/2021 | 400 | 553 |
U.S. Treasury Bond | 8.125% | 8/15/2021 | 23,585 | 32,647 |
U.S. Treasury Bond | 8.00% | 11/15/2021 | 28,595 | 39,242 |
U.S. Treasury Bond | 7.25% | 8/15/2022 | 29,825 | 38,442 |
U.S. Treasury Bond | 7.625% | 11/15/2022 | 23,620 | 31,562 |
U.S. Treasury Bond | 7.125% | 2/15/2023 | 11,800 | 15,063 |
U.S. Treasury Bond | 6.25% | 8/15/2023 | 200 | 234 |
U.S. Treasury Bond | 6.875% | 8/15/2025 | 11,325 | 14,269 |
U.S. Treasury Bond | 6.75% | 8/15/2026 | 32,175 | 40,133 |
U.S. Treasury Bond | 6.50% | 11/15/2026 | 4,025 | 4,890 |
U.S. Treasury Bond | 6.625% | 2/15/2027 | 33,615 | 41,420 |
U.S. Treasury Bond | 6.375% | 8/15/2027 | 19,480 | 23,391 |
U.S. Treasury Bond | 6.125% | 11/15/2027 | 14,275 | 16,664 |
U.S. Treasury Bond | 5.50% | 8/15/2028 | 33,150 | 35,859 |
U.S. Treasury Bond | 5.25% | 11/15/2028 | 17,420 | 18,256 |
U.S. Treasury Bond | 6.125% | 8/15/2029 | 6,650 | 7,805 |
U.S. Treasury Bond | 6.25% | 5/15/2030 | 2,325 | 2,779 |
U.S. Treasury Note | 7.00% | 7/15/2006 | 4,275 | 4,537 |
U.S. Treasury Note | 4.875% | 2/15/2012 | 650 | 687 |
656,984 | ||||
Agency Bonds and Notes (5.5%) | ||||
Federal Home Loan Bank* | 5.125% | 3/6/2006 | 1,000 | 1,023 |
Federal Home Loan Bank* | 5.375% | 5/15/2019 | 2,250 | 2,325 |
Federal Home Loan Bank* | 5.125% | 8/15/2019 | 500 | 504 |
Federal Home Loan Mortgage Corp.* | 6.75% | 9/15/2029 | 4,950 | 5,965 |
Federal Home Loan Mortgage Corp.* | 6.75% | 3/15/2031 | 5,500 | 6,669 |
Federal Home Loan Mortgage Corp.* | 6.25% | 7/15/2032 | 6,100 | 6,976 |
Federal National Mortgage Assn.* | 0.00% | 6/1/2017 | 6,325 | 3,323 |
Federal National Mortgage Assn.* | 0.00% | 10/9/2019 | 8,300 | 3,714 |
Federal National Mortgage Assn.* | 6.25% | 5/15/2029 | 2,800 | 3,175 |
Federal National Mortgage Assn.* | 7.125% | 1/15/2030 | 5,975 | 7,509 |
Federal National Mortgage Assn.* | 7.25% | 5/15/2030 | 4,935 | 6,287 |
Federal National Mortgage Assn.* | 6.625% | 11/15/2030 | 6,200 | 7,362 |
Federal National Mortgage Assn.* | 6.21% | 8/6/2038 | 1,000 | 1,137 |
84
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
State of Israel (U.S. Government Guaranteed) | 5.50% | 9/18/2023 | $ 1,375 | $ 1,447 |
State of Israel (U.S. Government Guaranteed) | 5.50% | 12/4/2023 | 325 | 342 |
State of Israel (U.S. Government Guaranteed) | 5.50% | 4/26/2024 | 1,400 | 1,472 |
Tennessee Valley Auth.* | 6.25% | 12/15/2017 | 2,600 | 2,922 |
Tennessee Valley Auth.* | 6.75% | 11/1/2025 | 4,500 | 5,415 |
Tennessee Valley Auth.* | 7.125% | 5/1/2030 | 3,250 | 4,089 |
71,656 | ||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | ||||
(Cost $687,801) | 728,640 | |||
CORPORATE BONDS (36.4%) | ||||
Asset-Backed Securities (0.2%) | ||||
PSEG Transition Funding LLC | 6.89% | 12/15/2017 (1) | 2,500 | 2,888 |
Finance (9.0%) | ||||
Banking (4.6%) | ||||
Abbey National PLC | 7.95% | 10/26/2029 | 2,550 | 3,275 |
ABN AMRO Bank NV | 4.65% | 6/4/2018 | 1,000 | 934 |
Banc One Corp. | 7.75% | 7/15/2025 | 2,000 | 2,462 |
Banc One Corp. | 7.625% | 10/15/2026 | 600 | 741 |
Banc One Corp. | 8.00% | 4/29/2027 | 1,000 | 1,280 |
Bank of America Corp. | 5.375% | 6/15/2014 | 1,000 | 1,044 |
Bank of America Corp. | 5.125% | 11/15/2014 | 1,000 | 1,025 |
Bank of America Corp. | 5.25% | 12/1/2015 | 1,125 | 1,155 |
BB&T Corp. | 5.20% | 12/23/2015 | 825 | 837 |
BB&T Corp. | 5.25% | 11/1/2019 | 1,000 | 990 |
Citicorp Capital II | 8.015% | 2/15/2027 | 450 | 507 |
Citicorp Lease Pass-Through Trust | 7.22% | 6/15/2005 (1)(2) | 84 | 86 |
Citicorp Lease Pass-Through Trust | 8.04% | 12/15/2019 (1)(2) | 450 | 555 |
Citigroup Inc. | 5.85% | 12/11/2034 | 1,475 | 1,511 |
Citigroup, Inc. | 4.875% | 5/7/2015 | 600 | 595 |
Citigroup, Inc. | 6.625% | 6/15/2032 | 2,000 | 2,250 |
Citigroup, Inc. | 5.875% | 2/22/2033 | 2,150 | 2,212 |
Citigroup, Inc. | 6.00% | 10/31/2033 | 2,200 | 2,274 |
CoreStates Capital Corp. | 8.00% | 12/15/2026 (2) | 2,300 | 2,559 |
Deutsche Bank Financial LLC | 5.375% | 3/2/2015 | 1,050 | 1,083 |
Fifth Third Bank | 4.50% | 6/1/2018 | 750 | 700 |
First Tennessee Bank | 5.05% | 1/15/2015 | 500 | 499 |
First Union Corp. | 7.50% | 4/15/2035 | 250 | 315 |
First Union Institutional Capital I | 8.04% | 12/1/2026 | 500 | 559 |
Fleet Capital Trust II | 7.92% | 12/11/2026 | 1,150 | 1,290 |
Fleet Financial Group, Inc. | 6.875% | 1/15/2028 | 400 | 461 |
HSBC Bank USA | 5.875% | 11/1/2034 | 1,350 | 1,365 |
HSBC Holdings PLC | 5.25% | 12/12/2012 | 500 | 518 |
J.P. Morgan Chase & Co. | 5.25% | 5/1/2015 | 2,200 | 2,224 |
JPM Capital Trust II | 7.95% | 2/1/2027 | 500 | 557 |
Key Bank NA | 6.95% | 2/1/2028 | 1,193 | 1,347 |
Mellon Capital II | 7.995% | 1/15/2027 | 2,100 | 2,369 |
National City Corp. | 6.875% | 5/15/2019 | 1,200 | 1,389 |
NationsBank Corp. | 7.75% | 8/15/2015 | 1,000 | 1,221 |
NationsBank Corp. | 7.25% | 10/15/2025 | 375 | 447 |
85
Long-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
NB Capital Trust IV | 8.25% | 4/15/2027 | $ 400 | $ 450 |
PNC Bank NA | 5.25% | 1/15/2017 | 1,050 | 1,065 |
PNC Funding Corp. | 5.25% | 11/15/2015 | 500 | 506 |
Royal Bank of Scotland Group PLC | 5.05% | 1/8/2015 | 500 | 505 |
Royal Bank of Scotland Group PLC | 7.648% | 8/29/2049 | 3,325 | 3,960 |
SunTrust Banks, Inc. | 5.45% | 12/1/2017 | 700 | 714 |
SunTrust Capital II | 7.90% | 6/15/2027 | 750 | 841 |
Swiss Bank Corp. | 7.00% | 10/15/2015 | 1,000 | 1,177 |
Swiss Bank Corp. | 7.375% | 6/15/2017 | 550 | 666 |
US Bancorp | 8.27% | 12/15/2026 | 750 | 835 |
US Bank NA | 4.80% | 4/15/2015 | 1,000 | 993 |
Wachovia Corp. | 5.25% | 8/1/2014 | 1,000 | 1,028 |
Washington Mutual Bank | 5.125% | 1/15/2015 | 1,000 | 994 |
Washington Mutual Capital I | 8.375% | 6/1/2027 | 1,000 | 1,131 |
Wells Fargo & Co. | 5.125% | 9/15/2016 | 1,750 | 1,761 |
Zions Bancorp. | 6.00% | 9/15/2015 | 750 | 797 |
Brokerage (1.6%) | ||||
Bear Stearns Co., Inc. | 4.65% | 7/2/2018 | 500 | 469 |
Credit Suisse First Boston USA, Inc. | 4.875% | 1/15/2015 | 2,600 | 2,582 |
Credit Suisse First Boston USA, Inc. | 7.125% | 7/15/2032 | 1,600 | 1,908 |
Dean Witter, Discover & Co. | 6.75% | 10/15/2013 | 200 | 226 |
Goldman Sachs Group, Inc. | 6.125% | 2/15/2033 | 3,050 | 3,179 |
Goldman Sachs Group, Inc. | 6.345% | 2/15/2034 | 3,100 | 3,217 |
Lehman Brothers Holdings, Inc. | 8.80% | 3/1/2015 | 1,000 | 1,286 |
Merrill Lynch & Co., Inc. | 5.00% | 1/15/2015 | 2,275 | 2,257 |
Merrill Lynch & Co., Inc. | 5.30% | 9/30/2015 | 1,950 | 1,981 |
Merrill Lynch & Co., Inc. | 6.50% | 7/15/2018 | 250 | 279 |
Merrill Lynch & Co., Inc. | 6.875% | 11/15/2018 | 1,250 | 1,448 |
Morgan Stanley Dean Witter | 7.25% | 4/1/2032 | 1,500 | 1,822 |
Finance Companies (1.0%) | ||||
General Electric Capital Corp. | 6.75% | 3/15/2032 | 7,225 | 8,437 |
Household Finance Corp. | 7.625% | 5/17/2032 (2) | 1,050 | 1,320 |
Household Finance Corp. | 7.35% | 11/27/2032 (2) | 200 | 240 |
MBNA Corp. | 5.00% | 6/15/2015 | 500 | 490 |
SLM Corp. | 5.05% | 11/14/2014 | 1,400 | 1,409 |
SLM Corp. | 5.625% | 8/1/2033 | 950 | 939 |
Insurance (1.5%) | ||||
ACE Capital Trust II | 9.70% | 4/1/2030 | 350 | 465 |
Aetna, Inc. | 6.97% | 8/15/2036 | 1,000 | 1,139 |
Allstate Corp. | 6.125% | 12/15/2032 | 1,250 | 1,315 |
American General Capital II | 8.50% | 7/1/2030 | 400 | 540 |
Aon Capital Trust | 8.205% | 1/1/2027 | 700 | 743 |
Arch Capital Group Ltd. | 7.35% | 5/1/2034 | 500 | 526 |
Assurant, Inc. | 6.75% | 2/15/2034 | 850 | 921 |
AXA SA | 8.60% | 12/15/2030 | 1,850 | 2,432 |
Cincinnati Financial Corp. | 6.125% | 11/1/2034 (2) | 1,000 | 1,005 |
CNA Financial Corp. | 5.85% | 12/15/2014 | 800 | 794 |
Endurance Specialty Holdings | 7.00% | 7/15/2034 | 700 | 724 |
86
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
GE Global Insurance Holdings Corp. | 6.45% | 3/1/2019 | $ 400 | $ 424 |
GE Global Insurance Holdings Corp. | 7.00% | 2/15/2026 | 1,200 | 1,293 |
GE Global Insurance Holdings Corp. | 7.75% | 6/15/2030 | 400 | 469 |
Genworth Financial, Inc. | 6.50% | 6/15/2034 | 525 | 577 |
Hartford Life, Inc. | 7.375% | 3/1/2031 | 800 | 953 |
Loews Corp. | 5.25% | 3/15/2016 | 500 | 489 |
Marsh & McLennan Cos., Inc. | 5.875% | 8/1/2033 | 400 | 371 |
MBIA, Inc. | 5.70% | 12/1/2034 | 1,000 | 989 |
MetLife, Inc. | 6.50% | 12/15/2032 | 500 | 546 |
MetLife, Inc. | 6.375% | 6/15/2034 | 1,200 | 1,292 |
Progressive Corp. | 6.625% | 3/1/2029 | 1,000 | 1,110 |
Prudential Financial, Inc. | 5.75% | 7/15/2033 | 1,000 | 995 |
XL Capital Ltd. | 6.375% | 11/15/2024 | 575 | 590 |
Real Estate Investment Trusts (0.2%) | ||||
Boston Properties, Inc. | 5.625% | 4/15/2015 | 500 | 518 |
EOP Operating LP | 7.875% | 7/15/2031 | 700 | 844 |
ERP Operating LP | 5.20% | 4/1/2013 | 500 | 511 |
Health Care REIT, Inc. | 6.00% | 11/15/2013 | 300 | 309 |
HRPT Properties Trust | 6.25% | 8/15/2016 | 750 | 789 |
Other (0.1%) | ||||
J. Paul Getty Trust | 5.875% | 10/1/2033 | 750 | 780 |
118,001 | ||||
Industrial (23.9%) | ||||
Basic Industry (1.2%) | ||||
Alcan, Inc. | 7.25% | 3/15/2031 | 750 | 902 |
Alcan, Inc. | 6.125% | 12/15/2033 | 500 | 529 |
Aluminum Co. of America | 6.75% | 1/15/2028 | 750 | 866 |
BHP Finance USA Ltd. | 6.42% | 3/1/2026 | 1,000 | 1,104 |
Dow Chemical Co. | 7.375% | 11/1/2029 | 1,000 | 1,217 |
E.I. du Pont de Nemours & Co. | 6.50% | 1/15/2028 | 300 | 345 |
Eastman Chemical Co. | 7.25% | 1/15/2024 | 400 | 452 |
Eastman Chemical Co. | 7.60% | 2/1/2027 | 300 | 355 |
Inco Ltd. | 5.70% | 10/15/2015 | 700 | 727 |
Inco Ltd. | 7.20% | 9/15/2032 | 400 | 472 |
International Paper Co. | 5.30% | 4/1/2015 | 1,600 | 1,616 |
Placer Dome, Inc. | 6.45% | 10/15/2035 | 700 | 746 |
Rohm & Haas Co. | 9.80% | 4/15/2020 (1) | 426 | 554 |
Rohm & Haas Co. | 7.85% | 7/15/2029 | 800 | 1,036 |
Westvaco Corp. | 8.20% | 1/15/2030 | 850 | 1,056 |
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 600 | 769 |
Weyerhaeuser Co. | 7.375% | 3/15/2032 | 1,900 | 2,246 |
Willamette Ind. | 7.85% | 7/1/2026 | 1,000 | 1,218 |
Capital Goods (2.1%) | ||||
Caterpillar, Inc. | 7.30% | 5/1/2031 | 250 | 315 |
Caterpillar, Inc. | 6.95% | 5/1/2042 | 1,425 | 1,731 |
CRH America Inc. | 6.40% | 10/15/2033 | 750 | 813 |
Deere & Co. | 8.10% | 5/15/2030 | 1,000 | 1,349 |
Emerson Electric Co. | 5.00% | 12/15/2014 | 600 | 609 |
87
Long-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
General Dynamics Corp. | 5.375% | 8/15/2015 | $ 500 | $ 526 |
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 150 | 184 |
Lockheed Martin Corp. | 8.50% | 12/1/2029 | 3,050 | 4,149 |
Masco Corp. | 7.75% | 8/1/2029 | 550 | 686 |
Masco Corp. | 6.50% | 8/15/2032 | 500 | 544 |
Northrop Grumman Corp. | 7.75% | 2/15/2031 | 2,600 | 3,287 |
PACTIV Corp. | 7.95% | 12/15/2025 | 500 | 618 |
Raytheon Co. | 7.20% | 8/15/2027 | 1,250 | 1,460 |
Raytheon Co. | 7.00% | 11/1/2028 | 1,000 | 1,143 |
The Boeing Co. | 8.75% | 8/15/2021 | 300 | 405 |
The Boeing Co. | 8.75% | 9/15/2031 | 850 | 1,189 |
The Boeing Co. | 6.625% | 2/15/2038 | 900 | 1,000 |
TRW, Inc. | 7.75% | 6/1/2029 | 250 | 305 |
Tyco International Group SA | 7.00% | 6/15/2028 | 1,575 | 1,823 |
Tyco International Group SA | 6.875% | 1/15/2029 | 475 | 544 |
United Technologies Corp. | 8.875% | 11/15/2019 | 545 | 739 |
United Technologies Corp. | 6.70% | 8/1/2028 | 250 | 287 |
United Technologies Corp. | 7.50% | 9/15/2029 | 775 | 978 |
USA Waste Services, Inc. | 7.00% | 7/15/2028 | 1,575 | 1,771 |
Waste Management, Inc. | 7.75% | 5/15/2032 | 675 | 831 |
WMX Technologies Inc. | 7.10% | 8/1/2026 | 125 | 142 |
Communication (6.5%) | ||||
Alltel Corp. | 7.875% | 7/1/2032 | 1,000 | 1,251 |
America Movil SA de C.V. | 5.75% | 1/15/2015 (2) | 775 | 769 |
Ameritech Capital Funding | 6.55% | 1/15/2028 | 1,000 | 1,052 |
AT&T Wireless Services, Inc. | 8.75% | 3/1/2031 | 3,450 | 4,644 |
BellSouth Capital Funding | 7.875% | 2/15/2030 | 3,000 | 3,721 |
BellSouth Corp. | 6.875% | 10/15/2031 | 1,800 | 2,041 |
BellSouth Corp. | 6.55% | 6/15/2034 | 1,575 | 1,722 |
BellSouth Corp. | 6.00% | 11/15/2034 | 1,325 | 1,346 |
BellSouth Telecommunications | 6.375% | 6/1/2028 | 500 | 528 |
British Telecommunications PLC | 8.875% | 12/15/2030 (3) | 3,075 | 4,101 |
Century Tel Enterprises | 6.875% | 1/15/2028 | 250 | 265 |
Cingular Wireless | 7.125% | 12/15/2031 | 700 | 797 |
Clear Channel Communications, Inc. | 7.25% | 10/15/2027 | 700 | 789 |
Comcast Cable | ||||
Communications Holdings Inc. | 9.455% | 11/15/2022 | 1,973 | 2,733 |
Comcast Cable Communications, Inc. | 8.875% | 5/1/2017 | 1,000 | 1,300 |
Comcast Corp. | 6.50% | 1/15/2015 | 1,000 | 1,108 |
Comcast Corp. | 7.05% | 3/15/2033 | 900 | 1,031 |
Cox Communications, Inc. | 5.50% | 10/1/2015 | 500 | 498 |
Deutsche Telekom International Finance | 8.75% | 6/15/2030 (3) | 5,200 | 6,839 |
France Telecom | 9.25% | 3/1/2031 (3) | 3,325 | 4,500 |
Grupo Televisa SA | 8.50% | 3/11/2032 | 250 | 288 |
GTE Corp. | 8.75% | 11/1/2021 | 900 | 1,135 |
GTE Corp. | 6.94% | 4/15/2028 | 1,675 | 1,865 |
Koninklijke KPN NV | 8.375% | 10/1/2030 | 1,000 | 1,297 |
Michigan Bell Telephone Co. | 7.85% | 1/15/2022 | 1,522 | 1,833 |
New England Telephone & Telegraph Co. | 6.875% | 10/1/2023 | 110 | 113 |
New England Telephone & Telegraph Co. | 7.875% | 11/15/2029 | 400 | 479 |
88
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
News America Holdings, Inc. | 9.25% | 2/1/2013 | $ 500 | $ 642 |
News America Holdings, Inc. | 8.00% | 10/17/2016 | 750 | 911 |
News America Holdings, Inc. | 8.15% | 10/17/2036 | 975 | 1,225 |
News America Holdings, Inc. | 7.75% | 12/1/2045 | 1,225 | 1,468 |
News America Inc. | 6.20% | 12/15/2034 (2) | 1,325 | 1,334 |
Pacific Bell | 7.125% | 3/15/2026 | 550 | 623 |
SBC Communications, Inc. | 5.625% | 6/15/2016 | 750 | 776 |
SBC Communications, Inc. | 6.45% | 6/15/2034 | 650 | 697 |
SBC Communications, Inc. | 6.15% | 9/15/2034 | 1,375 | 1,418 |
Sprint Capital Corp. | 7.625% | 1/30/2011 | 25 | 29 |
Sprint Capital Corp. | 6.875% | 11/15/2028 | 2,300 | 2,514 |
Sprint Capital Corp. | 8.75% | 3/15/2032 | 5,050 | 6,750 |
TCI Communications, Inc. | 8.75% | 8/1/2015 | 800 | 1,016 |
TCI Communications, Inc. | 7.875% | 2/15/2026 | 400 | 484 |
Telecom Italia Capital | 6.375% | 11/15/2033 | 1,500 | 1,540 |
Telecom Italia Capital | 6.00% | 9/30/2034 (2) | 1,300 | 1,269 |
Tele-Communications, Inc. | 7.875% | 8/1/2013 | 250 | 299 |
Telefonica Europe BV | 8.25% | 9/15/2030 | 1,400 | 1,856 |
Time Warner Entertainment | 8.375% | 3/15/2023 | 2,450 | 3,049 |
Time Warner Entertainment | 8.375% | 7/15/2033 | 600 | 771 |
US Cellular | 6.70% | 12/15/2033 | 950 | 1,003 |
Verizon Global Funding Corp. | 7.75% | 12/1/2030 | 3,500 | 4,339 |
Verizon New York, Inc. | 7.375% | 4/1/2032 | 650 | 749 |
Vodafone AirTouch PLC | 7.875% | 2/15/2030 | 1,000 | 1,282 |
Vodafone Group PLC | 4.625% | 7/15/2018 | 1,500 | 1,414 |
Vodafone Group PLC | 6.25% | 11/30/2032 | 200 | 218 |
Consumer Cyclical (5.1%) | ||||
Cendant Corp. | 7.125% | 3/15/2015 | 550 | 631 |
Chrysler Corp. | 7.45% | 3/1/2027 | 1,000 | 1,107 |
DaimlerChrysler North America | ||||
Holding Corp. | 8.50% | 1/18/2031 | 2,725 | 3,394 |
Delphi Corp. | 6.50% | 8/15/2013 | 700 | 693 |
Federated Department Stores, Inc. | 6.79% | 7/15/2027 | 800 | 878 |
Federated Department Stores, Inc. | 7.00% | 2/15/2028 | 600 | 675 |
Federated Department Stores, Inc. | 6.90% | 4/1/2029 | 250 | 280 |
Ford Motor Co. | 6.625% | 10/1/2028 | 2,125 | 1,976 |
Ford Motor Co. | 6.375% | 2/1/2029 | 1,700 | 1,532 |
Ford Motor Co. | 7.45% | 7/16/2031 | 8,950 | 8,973 |
Ford Motor Co. | 8.90% | 1/15/2032 | 1,750 | 1,981 |
General Motors Acceptance Corp. | 6.75% | 12/1/2014 | 2,050 | 2,049 |
General Motors Acceptance Corp. | 8.00% | 11/1/2031 | 5,920 | 6,053 |
General Motors Corp. | 8.80% | 3/1/2021 | 2,425 | 2,646 |
General Motors Corp. | 8.25% | 7/15/2023 | 1,325 | 1,377 |
General Motors Corp. | 8.375% | 7/15/2033 | 5,425 | 5,604 |
Kohl's Corp. | 6.00% | 1/15/2033 | 400 | 417 |
Liberty Media Corp. | 8.25% | 2/1/2030 | 1,575 | 1,794 |
Limited Brands Inc. | 5.25% | 11/1/2014 | 250 | 247 |
Lowe's Cos., Inc. | 6.875% | 2/15/2028 | 550 | 644 |
Lowe's Cos., Inc. | 6.50% | 3/15/2029 | 300 | 339 |
May Department Stores Co. | 9.75% | 2/15/2021 (1) | 33 | 42 |
89
Long-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
May Department Stores Co. | 6.65% | 7/15/2024 | $ 1,450 | $ 1,515 |
May Department Stores Co. | 6.70% | 7/15/2034 | 300 | 315 |
Nordstrom, Inc. | 6.95% | 3/15/2028 | 300 | 333 |
Pulte Homes, Inc. | 7.875% | 6/15/2032 | 1,000 | 1,186 |
Target Corp. | 7.00% | 7/15/2031 | 950 | 1,154 |
Target Corp. | 6.35% | 11/1/2032 | 700 | 791 |
The Walt Disney Co. | 7.00% | 3/1/2032 | 1,000 | 1,170 |
Time Warner, Inc. | 9.15% | 2/1/2023 | 1,500 | 2,001 |
Time Warner, Inc. | 7.57% | 2/1/2024 | 500 | 587 |
Time Warner, Inc. | 6.625% | 5/15/2029 | 1,000 | 1,080 |
Time Warner, Inc. | 7.625% | 4/15/2031 | 5,000 | 6,024 |
Time Warner, Inc. | 7.70% | 5/1/2032 | 950 | 1,157 |
Viacom International Inc. | 7.875% | 7/30/2030 | 2,415 | 3,080 |
Viacom International Inc. | 5.50% | 5/15/2033 | 500 | 484 |
Wal-Mart Stores, Inc. | 7.55% | 2/15/2030 | 1,700 | 2,206 |
Consumer Noncyclical (4.0%) | ||||
Albertson's, Inc. | 7.45% | 8/1/2029 | 600 | 704 |
Albertson's, Inc. | 8.00% | 5/1/2031 | 1,300 | 1,620 |
Altria Group, Inc. | 7.00% | 11/4/2013 | 200 | 216 |
Anheuser-Busch Cos., Inc. | 7.125% | 7/1/2017 | 600 | 659 |
Anheuser-Busch Cos., Inc. | 6.80% | 8/20/2032 | 2,625 | 3,142 |
Archer-Daniels-Midland Co. | 8.375% | 4/15/2017 | 1,000 | 1,278 |
Archer-Daniels-Midland Co. | 7.50% | 3/15/2027 | 350 | 435 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/2032 | 1,250 | 1,320 |
Baxter International, Inc. | 4.625% | 3/15/2015 | 750 | 719 |
Bristol-Myers Squibb Co. | 7.15% | 6/15/2023 | 700 | 833 |
Bristol-Myers Squibb Co. | 6.80% | 11/15/2026 | 239 | 276 |
Bristol-Myers Squibb Co. | 6.875% | 8/1/2097 | 200 | 228 |
C.R. Bard, Inc. | 6.70% | 12/1/2026 | 500 | 527 |
Cardinal Health, Inc. | 4.00% | 6/15/2015 | 200 | 178 |
CIGNA Corp. | 7.875% | 5/15/2027 | 250 | 296 |
Clorox Co. | 5.00% | 1/15/2015 (2) | 975 | 991 |
Coca-Cola Enterprises Inc. | 8.50% | 2/1/2022 | 1,650 | 2,198 |
Coca-Cola Enterprises Inc. | 8.00% | 9/15/2022 | 500 | 642 |
Coca-Cola Enterprises Inc. | 6.95% | 11/15/2026 | 1,250 | 1,474 |
Coca-Cola Enterprises Inc. | 6.75% | 9/15/2028 | 1,250 | 1,445 |
Conagra Foods Inc. | 7.125% | 10/1/2026 | 300 | 359 |
Conagra, Inc. | 9.75% | 3/1/2021 | 750 | 1,052 |
Conagra, Inc. | 7.00% | 10/1/2028 | 500 | 583 |
Conagra, Inc. | 8.25% | 9/15/2030 | 750 | 998 |
Eli Lilly & Co. | 7.125% | 6/1/2025 | 1,000 | 1,216 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/2034 | 950 | 943 |
Grand Metropolitan Investment Corp. | 7.45% | 4/15/2035 | 500 | 627 |
H.J. Heinz Co. | 6.375% | 7/15/2028 | 675 | 755 |
H.J. Heinz Co. | 6.75% | 3/15/2032 (3) | 250 | 291 |
Johnson & Johnson | 4.95% | 5/15/2033 | 1,750 | 1,654 |
Kellogg Co. | 7.45% | 4/1/2031 | 1,575 | 1,984 |
Kraft Foods, Inc. | 6.50% | 11/1/2031 | 1,750 | 1,926 |
Kroger Co. | 7.70% | 6/1/2029 | 375 | 451 |
Kroger Co. | 8.00% | 9/15/2029 | 1,425 | 1,769 |
90
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Merck & Co. | 6.30% | 1/1/2026 | $ 500 | $ 535 |
Merck & Co. | 6.40% | 3/1/2028 | 725 | 786 |
Pepsi Bottling Group, Inc. | 7.00% | 3/1/2029 | 1,500 | 1,808 |
Pharmacia Corp. | 6.60% | 12/1/2028 (3) | 1,500 | 1,718 |
Philip Morris Cos., Inc. | 7.75% | 1/15/2027 | 850 | 954 |
Procter & Gamble Co. | 5.50% | 2/1/2034 | 700 | 705 |
Procter & Gamble Co. | 5.80% | 8/15/2034 | 800 | 841 |
Procter & Gamble Co. ESOP | 9.36% | 1/1/2021 (1) | 2,505 | 3,368 |
Safeway, Inc. | 7.25% | 2/1/2031 | 481 | 549 |
Sara Lee Corp. | 6.125% | 11/1/2032 | 500 | 537 |
Schering-Plough Corp. | 6.75% | 12/1/2033 | 1,175 | 1,326 |
Unilever Capital Corp. | 5.90% | 11/15/2032 | 1,800 | 1,908 |
Wellpoint Inc. | 5.95% | 12/15/2034 (2) | 800 | 805 |
Wyeth | 6.45% | 2/1/2024 | 1,225 | 1,300 |
Wyeth | 6.50% | 2/1/2034 | 875 | 929 |
Energy (2.6%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/2031 | 1,250 | 1,530 |
Anadarko Finance Co. | 7.50% | 5/1/2031 | 1,400 | 1,731 |
Apache Finance Canada | 7.75% | 12/15/2029 | 300 | 390 |
Baker Hughes, Inc. | 6.875% | 1/15/2029 | 500 | 587 |
Burlington Resources, Inc. | 7.20% | 8/15/2031 | 300 | 358 |
Burlington Resources, Inc. | 7.40% | 12/1/2031 | 1,450 | 1,769 |
Canadian Natural Resources | 7.20% | 1/15/2032 | 600 | 707 |
Canadian Natural Resources | 5.85% | 2/1/2035 | 1,050 | 1,046 |
Conoco Funding Co. | 7.25% | 10/15/2031 | 1,650 | 2,002 |
Conoco, Inc. | 6.95% | 4/15/2029 | 1,400 | 1,647 |
Devon Energy Corp. | 7.95% | 4/15/2032 | 650 | 830 |
Devon Financing Corp. | 7.875% | 9/30/2031 | 2,050 | 2,582 |
Encana Corp. | 6.50% | 8/15/2034 | 950 | 1,047 |
Halliburton Co. | 8.75% | 2/15/2021 | 400 | 524 |
Husky Energy Inc. | 6.15% | 6/15/2019 | 510 | 533 |
Kerr McGee Corp. | 6.95% | 7/1/2024 | 1,050 | 1,158 |
Marathon Oil Corp. | 6.80% | 3/15/2032 | 550 | 615 |
Nexen, Inc. | 7.875% | 3/15/2032 | 300 | 374 |
Norsk Hydro | 7.50% | 10/1/2016 | 250 | 303 |
Norsk Hydro | 7.25% | 9/23/2027 | 950 | 1,146 |
Norsk Hydro | 7.15% | 1/15/2029 | 1,000 | 1,199 |
Occidental Petroleum | 7.20% | 4/1/2028 | 1,400 | 1,667 |
Petro-Canada | 7.875% | 6/15/2026 | 150 | 186 |
Petro-Canada | 7.00% | 11/15/2028 | 250 | 286 |
Petro-Canada | 5.35% | 7/15/2033 | 1,650 | 1,530 |
Pioneer Natural Resources Co. | 5.875% | 7/15/2016 | 950 | 992 |
Pioneer Natural Resources Co. | 7.20% | 1/15/2028 | 250 | 287 |
Suncor Energy, Inc. | 7.15% | 2/1/2032 | 800 | 952 |
Tosco Corp. | 7.80% | 1/1/2027 | 350 | 441 |
Tosco Corp. | 8.125% | 2/15/2030 | 2,500 | 3,301 |
Transocean Sedco Forex, Inc. | 7.50% | 4/15/2031 | 750 | 918 |
Valero Energy Corp. | 7.50% | 4/15/2032 | 1,000 | 1,202 |
XTO Energy, Inc. | 5.00% | 1/31/2015 (2) | 400 | 397 |
91
Long-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
Technology (0.7%) | ||||
International Business Machines Corp. | 7.00% | 10/30/2025 | $ 750 | $ 886 |
International Business Machines Corp. | 6.22% | 8/1/2027 | 2,475 | 2,694 |
International Business Machines Corp. | 6.50% | 1/15/2028 | 1,800 | 2,032 |
International Business Machines Corp. | 7.125% | 12/1/2096 | 400 | 476 |
Motorola, Inc. | 7.50% | 5/15/2025 | 900 | 1,040 |
Motorola, Inc. | 6.50% | 9/1/2025 | 400 | 432 |
Motorola, Inc. | 6.50% | 11/15/2028 | 1,000 | 1,048 |
Science Applications International Corp. | 5.50% | 7/1/2033 | 500 | 473 |
Transportation (1.7%) | ||||
Burlington Northern Santa Fe Corp. | 7.00% | 12/15/2025 | 200 | 228 |
Burlington Northern Santa Fe Corp. | 7.95% | 8/15/2030 | 1,300 | 1,673 |
Canadian National Railway Co. | 6.80% | 7/15/2018 | 1,025 | 1,191 |
Canadian National Railway Co. | 6.25% | 8/1/2034 | 400 | 431 |
Canadian Pacific Rail | 7.125% | 10/15/2031 | 1,325 | 1,579 |
CNF, Inc. | 6.70% | 5/1/2034 | 700 | 730 |
Continental Airlines Enhanced | ||||
Equipment Trust Certificates | 6.648% | 9/15/2017 (1) | 2,724 | 2,649 |
CSX Corp. | 7.95% | 5/1/2027 | 1,200 | 1,478 |
CSX Transportation Inc. | 9.75% | 6/15/2020 | 189 | 263 |
CSX Transportation Inc. | 7.875% | 5/15/2043 | 105 | 132 |
Federal Express Corp. | 7.60% | 7/1/2097 | 1,000 | 1,182 |
Norfolk Southern Corp. | 7.70% | 5/15/2017 | 2,400 | 2,943 |
Norfolk Southern Corp. | 9.75% | 6/15/2020 | 411 | 572 |
Norfolk Southern Corp. | 7.80% | 5/15/2027 | 300 | 373 |
Norfolk Southern Corp. | 7.25% | 2/15/2031 | 625 | 743 |
Norfolk Southern Corp. | 7.05% | 5/1/2037 | 700 | 816 |
Norfolk Southern Corp. | 7.875% | 5/15/2043 | 145 | 183 |
Norfolk Southern Corp. | 7.90% | 5/15/2097 | 100 | 126 |
Northwest Airlines, Inc. | ||||
Pass-Through Certificates | 6.841% | 4/1/2011 | 975 | 987 |
Union Pacific Corp. | 7.00% | 2/1/2016 | 550 | 633 |
Union Pacific Corp. | 7.125% | 2/1/2028 | 1,000 | 1,168 |
Union Pacific Corp. | 6.625% | 2/1/2029 | 900 | 1,002 |
United Parcel Service of America | 8.375% | 4/1/2030 | 500 | 691 |
Other | ||||
Rockwell International Corp. | 6.70% | 1/15/2028 | 300 | 341 |
313,064 | ||||
Utilities (3.3%) | ||||
Electric (2.8%) | ||||
AEP Texas Central Co. | 6.65% | 2/15/2033 | 1,300 | 1,428 |
Alabama Power Co. | 5.50% | 10/15/2017 | 2,000 | 2,070 |
American Electric Power Co., Inc. | 5.25% | 6/1/2015 | 500 | 503 |
Arizona Public Service Co. | 4.65% | 5/15/2015 | 775 | 746 |
Centerpoint Energy Houston | 5.75% | 1/15/2014 | 500 | 528 |
Cleveland Electric Illumination Co. | 7.88% | 11/1/2017 | 250 | 301 |
Commonwealth Edison Co. | 4.70% | 4/15/2015 | 700 | 693 |
Constellation Energy Group, Inc. | 4.55% | 6/15/2015 | 500 | 479 |
Constellation Energy Group, Inc. | 7.60% | 4/1/2032 | 1,150 | 1,399 |
92
Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) | |
---|---|---|---|---|
Consumers Energy Co. | 5.50% | 8/15/2016 (2) | $ 825 | $ 848 |
Dominion Resources, Inc. | 6.75% | 12/15/2032 | 1,000 | 1,101 |
Dominion Resources, Inc. | 6.30% | 3/15/2033 | 1,150 | 1,197 |
Dominion Resources, Inc. PUT | 5.25% | 8/1/2015 | 250 | 251 |
DTE Energy Co. | 6.375% | 4/15/2033 | 500 | 518 |
Duke Capital Corp. | 6.75% | 2/15/2032 | 575 | 620 |
Duke Energy Corp. | 5.30% | 10/1/2015 | 700 | 719 |
Duke Energy Corp. | 6.00% | 12/1/2028 | 400 | 404 |
Duke Energy Corp. | 6.45% | 10/15/2032 | 1,200 | 1,285 |
Florida Power & Light Co. | 5.95% | 10/1/2033 | 350 | 376 |
Florida Power & Light Co. | 5.625% | 4/1/2034 | 799 | 822 |
Jersey Central Power & Light | 5.625% | 5/1/2016 | 675 | 707 |
MidAmerican Energy Co. | 6.75% | 12/30/2031 | 1,550 | 1,790 |
MidAmerican Energy Holdings | 8.48% | 9/15/2028 | 300 | 388 |
National Rural Utilities | ||||
Cooperative Finance Corp. | 8.00% | 3/1/2032 | 1,000 | 1,311 |
Oncor Electric Delivery Co. | 6.375% | 1/15/2015 | 225 | 248 |
Oncor Electric Delivery Co. | 7.00% | 9/1/2022 | 1,350 | 1,531 |
Oncor Electric Delivery Co. | 7.00% | 5/1/2032 | 600 | 691 |
Oncor Electric Delivery Co. | 7.25% | 1/15/2033 | 525 | 628 |
Pacific Gas & Electric Co. | 6.05% | 3/1/2034 | 4,150 | 4,308 |
PacifiCorp | 7.70% | 11/15/2031 | 400 | 514 |
Pepco Holdings, Inc. | 7.45% | 8/15/2032 | 300 | 353 |
Progress Energy, Inc. | 7.75% | 3/1/2031 | 650 | 778 |
Progress Energy, Inc. | 7.00% | 10/30/2031 | 800 | 886 |
PSEG Power Corp. | 8.625% | 4/15/2031 | 1,100 | 1,465 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/2032 | 800 | 923 |
Southern California Edison Co. | 4.65% | 4/1/2015 | 500 | 493 |
Southern California Edison Co. | 6.00% | 1/15/2034 | 1,125 | 1,195 |
Southern California Edison Co. | 5.75% | 4/1/2035 | 400 | 411 |
United Utilities PLC | 5.375% | 2/1/2019 | 1,000 | 986 |
Wisconsin Electric Power Co. | 5.625% | 5/15/2033 | 450 | 453 |
Natural Gas (0.5%) | ||||
Columbia Energy Group | 7.62% | 11/28/2025 | 400 | 421 |
Consolidated Natural Gas | 5.00% | 12/1/2014 | 425 | 426 |
Duke Energy Field Services | 8.125% | 8/16/2030 | 500 | 641 |
KeySpan Corp. | 8.00% | 11/15/2030 | 1,000 | 1,313 |
Kinder Morgan Energy Partners LP | 7.75% | 3/15/2032 | 500 | 603 |
Kinder Morgan Energy Partners LP | 7.30% | 8/15/2033 | 1,000 | 1,150 |
KN Energy, Inc. | 7.25% | 3/1/2028 | 100 | 114 |
Southern Union Co. | 7.60% | 2/1/2024 | 500 | 570 |
Texas Gas Transmission | 4.60% | 6/1/2015 | 500 | 479 |
Trans-Canada Pipelines | 4.00% | 6/15/2013 | 800 | 752 |
Trans-Canada Pipelines | 5.60% | 3/31/2034 | 500 | 487 |
43,303 | ||||
TOTAL CORPORATE BONDS | ||||
(Cost $445,774) | 477,256 | |||
93
Long-Term Bond Index Fund | Coupon | Maturity Date | Face Amount (000) | Market Value^ (000) |
---|---|---|---|---|
SOVEREIGN BONDS (U.S. Dollar-Denominated) (4.8%) | ||||
Asian Development Bank | 5.593% | 7/16/2018 | $ 2,200 | $ 2,344 |
Inter-American Development Bank | 7.00% | 6/15/2025 | 750 | 910 |
International Bank for | ||||
Reconstruction & Development | 7.625% | 1/19/2023 | 1,807 | 2,359 |
International Bank for | ||||
Reconstruction & Development | 8.875% | 3/1/2026 | 1,000 | 1,472 |
Pemex Project Funding Master Trust | 7.375% | 12/15/2014 | 2,900 | 3,212 |
Pemex Project Funding Master Trust | 8.625% | 2/1/2022 (3) | 1,950 | 2,262 |
Province of British Columbia | 6.50% | 1/15/2026 | 1,500 | 1,731 |
Province of Manitoba | 9.25% | 4/1/2020 | 1,500 | 2,138 |
Province of Nova Scotia | 9.125% | 5/1/2021 | 1,280 | 1,823 |
Province of Quebec | 4.875% | 5/5/2014 | 500 | 508 |
Province of Quebec | 7.50% | 7/15/2023 | 600 | 765 |
Province of Quebec | 7.125% | 2/9/2024 | 2,000 | 2,455 |
Province of Quebec | 7.50% | 9/15/2029 | 1,500 | 1,957 |
Province of Saskatchewan | 7.375% | 7/15/2013 | 600 | 719 |
Quebec Hydro Electric | 7.50% | 4/1/2016 | 4,000 | 4,920 |
Quebec Hydro Electric | 9.40% | 2/1/2021 | 480 | 699 |
Quebec Hydro Electric | 8.40% | 1/15/2022 | 275 | 374 |
Region of Lombardy | 5.804% | 10/25/2032 | 1,000 | 1,061 |
Republic of Italy | 6.875% | 9/27/2023 | 3,425 | 4,117 |
Republic of Italy | 5.375% | 6/15/2033 | 3,100 | 3,131 |
Republic of South Africa | 8.50% | 6/23/2017 | 900 | 1,123 |
United Mexican States | 6.625% | 3/3/2015 | 1,800 | 1,928 |
United Mexican States | 11.375% | 9/15/2016 | 1,250 | 1,837 |
United Mexican States | 8.125% | 12/30/2019 | 3,400 | 3,983 |
United Mexican States | 8.00% | 9/24/2022 | 4,000 | 4,586 |
United Mexican States | 8.30% | 8/15/2031 | 6,400 | 7,456 |
United Mexican States | 7.50% | 4/8/2033 | 1,000 | 1,073 |
United Mexican States | 6.75% | 9/27/2034 | 1,925 | 1,894 |
TOTAL SOVEREIGN BONDS | ||||
(Cost $58,838) | 62,837 | |||
TAXABLE MUNICIPAL BONDS (1.5%) | ||||
Illinois (Taxable Pension) GO | 4.95% | 6/1/2023 | 1,225 | 1,188 |
Illinois (Taxable Pension) GO | 5.10% | 6/1/2033 | 10,850 | 10,475 |
Kansas Dev. Finance Auth. Rev. | ||||
(Public Employee Retirement System) | 5.501% | 5/1/2034 | 500 | 510 |
New Jersey Econ. Dev. Auth. State Pension Rev. | 7.425% | 2/15/2029 | 1,250 | 1,578 |
New Jersey Turnpike Auth. Rev. | 4.252% | 1/1/2016 | 600 | 579 |
Oregon (Taxable Pension) GO | 5.762% | 6/1/2023 | 600 | 638 |
Oregon (Taxable Pension) GO | 5.892% | 6/1/2027 | 1,850 | 1,995 |
Oregon School Board Assn. | 5.528% | 6/30/2028 | 1,500 | 1,539 |
Wisconsin Public Service Rev. | 5.70% | 5/1/2026 | 900 | 947 |
TOTAL TAXABLE MUNICIPAL BONDS | ||||
(Cost $18,488) | 19,449 | |||
94
Shares | Market Value^ (000) | |||
---|---|---|---|---|
TEMPORARY CASH INVESTMENTS (1.3%) | ||||
Vanguard Market Liquidity Fund, 2.26%** | 12,880,471 | $ 12,880 | ||
Vanguard Market Liquidity Fund, 2.26%**—Note E | 3,953,500 | 3,954 | ||
TOTAL TEMPORARY CASH INVESTMENTS | ||||
(Cost $16,834) | 16,834 | |||
TOTAL INVESTMENTS (99.6%) | ||||
(Cost $1,227,735) | 1,305,016 | |||
OTHER ASSETS AND LIABILITIES (0.4%) | ||||
Other Assets—Note B | 25,963 | |||
Liabilities—Note E | (21,246) | |||
4,717 | ||||
NET ASSETS (100%) | ||||
Applicable to 110,834,699 outstanding $.001 par value shares | ||||
of beneficial interest (unlimited authorization) | $1,309,733 | |||
NET ASSET VALUE PER SHARE | $11.82 | |||
^ | See Note A in Notes to Financial Statements. |
* | The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action. |
** | Money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
(1) | The average maturity is shorter than the final maturity shown due to scheduled interim principal payments and prepayments. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2004, the aggregate value of these securities |
(3) | Adjustable-rate note. |
GO—General Obligation Bond. |
AT DECEMBER 31, 2004, NET ASSETS CONSISTED OF: | ||
Amount | Per | |
(000) | Share | |
Paid-in Capital | $1,235,904 | $11.15 |
Undistributed Net Investment Income | — | — |
Accumulated Net Realized Losses | (3,452) | (.03) |
Unrealized Appreciation | 77,281 | .70 |
NET ASSETS | $1,309,733 | $11.82 |
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
95
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period.
Total Bond Market Index Fund | Short-Term Bond Index Fund | Intermediate- Term Bond Index Fund | Long-Term Bond Index Fund | |
---|---|---|---|---|
Year Ended December 31, 2004 | ||||
(000) | (000) | (000) | (000) | |
INVESTMENT INCOME | ||||
Income | ||||
Interest | $1,219,547 | $148,443 | $197,052 | $60,723 |
Security Lending | 3,180 | 1,155 | 459 | 90 |
Total Income | 1,222,727 | 149,598 | 197,511 | 60,813 |
Expenses | ||||
The Vanguard Group—Note B | ||||
Investment Advisory Services | 3,296 | 567 | 475 | 130 |
Management and Administrative | ||||
Investor Shares | 29,536 | 4,968 | 4,652 | 1,644 |
Admiral Shares | 1,736 | 988 | 716 | — |
Institutional Shares | 3,276 | — | — | — |
Marketing and Distribution | ||||
Investor Shares | 3,092 | 638 | 497 | 166 |
Admiral Shares | 376 | 242 | 158 | — |
Institutional Shares | 1,332 | — | — | — |
Custodian Fees | 370 | 18 | 2 | 7 |
Auditing Fees | 24 | 20 | 19 | 18 |
Shareholders' Reports | ||||
Investor Shares | 565 | 60 | 67 | 35 |
Admiral Shares | 3 | 1 | 1 | — |
Institutional Shares | 24 | — | — | — |
Trustees' Fees and Expenses | 28 | 5 | 4 | 1 |
Total Expenses | 43,658 | 7,507 | 6,591 | 2,001 |
NET INVESTMENT INCOME | 1,179,069 | 142,091 | 190,920 | 58,812 |
REALIZED NET GAIN (LOSS) | ||||
Investment Securities Sold | 34,049 | 519 | 22,101 | (3,452) |
Swap Contracts | 14,402 | — | — | — |
REALIZED NET GAIN (LOSS) | 48,451 | 519 | 22,101 | (3,452) |
CHANGE IN UNREALIZED APPRECIATION | ||||
(DEPRECIATION) | ||||
Investment Securities | (93,553) | (62,719) | (13,666) | 34,205 |
Swap Contracts | 1,871 | — | — | — |
CHANGE IN UNREALIZED APPRECIATION | ||||
(DEPRECIATION) | (91,682) | (62,719) | (13,666) | 34,205 |
NET INCREASE (DECREASE) IN NET ASSETS | ||||
RESULTING FROM OPERATIONS | $1,135,838 | $79,891 | $199,355 | $89,565 |
96
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund’s total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. Because the fund distributes its income to shareholders each day, the amounts of Distributions—Net Investment Income approximate the net income earned as shown under the Operations section. The amounts of Distributions—Realized Capital Gain may not match the capital gains shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
Total Bond Market Index Fund | ||
---|---|---|
Year Ended December 31, | ||
2004 | 2003 | |
(000) | (000) | |
INCREASE (DECREASE) IN NET ASSETS | ||
Operations | ||
Net Investment Income | $ 1,179,069 | $ 1,137,871 |
Realized Net Gain (Loss) | 48,451 | 350,471 |
Change in Unrealized Appreciation (Depreciation) | (91,682) | (501,267) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 1,135,838 | 987,075 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (781,632) | (782,870) |
Admiral Shares | (99,647) | (91,033) |
Institutional Shares | (312,425) | (293,236) |
Realized Capital Gain | ||
Investor Shares | (36,917) | — |
Admiral Shares | (4,640) | — |
Institutional Shares | (14,562) | — |
Total Distributions | (1,249,823) | (1,167,139) |
Capital Share Transactions—Note F | ||
Investor Shares | 2,520,058 | 480,086 |
Admiral Shares | 419,307 | 300,562 |
Institutional Shares | 883,242 | 109,434 |
Net Increase (Decrease) from | ||
Capital Share Transactions | 3,822,607 | 890,082 |
Total Increase (Decrease) | 3,708,622 | 710,018 |
Net Assets | ||
Beginning of Period | 25,716,459 | 25,006,441 |
End of Period | $ 29,425,081 | $ 25,716,459 |
97
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
Short-Term Bond Index Fund | Intermediate-Term Bond Index Fund | ||||
---|---|---|---|---|---|
Year Ended December 31, | |||||
2004 | 2003 | 2004 | 2003 | ||
(000) | (000) | (000) | (000) | ||
INCREASE (DECREASE) IN NET ASSETS | |||||
Operations | |||||
Net Investment Income | $ 142,091 | $ 120,032 | $ 190,920 | $ 162,907 | |
Realized Net Gain (Loss) | 519 | 40,215 | 22,101 | 73,270 | |
Change in Unrealized Appreciation (Depreciation) | (62,719) | (39,678) | (13,666) | (57,262) | |
Net Increase (Decrease) in Net Assets | |||||
Resulting from Operations | 79,891 | 120,569 | 199,355 | 178,915 | |
Distributions | |||||
Net Investment Income | |||||
Investor Shares | (101,329) | (89,312) | (146,254) | (127,648) | |
Admiral Shares | (40,762) | (30,720) | (44,666) | (35,259) | |
Institutional Shares | — | — | — | — | |
Realized Capital Gain* | |||||
Investor Shares | (2,976) | (16,156) | (14,887) | (31,403) | |
Admiral Shares | (1,165) | (6,264) | (4,644) | (8,800) | |
Institutional Shares | — | — | — | — | |
Total Distributions | (146,232) | (142,452) | (210,451) | (203,110) | |
Capital Share Transactions—Note F | |||||
Investor Shares | 801,937 | 503,899 | 759,606 | 353,619 | |
Admiral Shares | 311,142 | 409,011 | 374,958 | 98,402 | |
Institutional Shares | — | — | — | — | |
Net Increase (Decrease) from | |||||
Capital Share Transactions | 1,113,079 | 912,910 | 1,134,564 | 452,021 | |
Total Increase (Decrease) | 1,046,738 | 891,027 | 1,123,468 | 427,826 | |
Net Assets | |||||
Beginning of Period | 4,217,525 | 3,326,498 | 3,504,499 | 3,076,673 | |
End of Period | $ 5,264,263 | $ 4,217,525 | $ 4,627,967 | $ 3,504,499 | |
* | Includes fiscal 2004 and 2003 short-term gain distributions by the Short-Term Bond Index Fund totaling $0 and $5,299,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. |
98
Long-Term Bond Index Fund | ||
---|---|---|
Year Ended December 31, | ||
2004 | 2003 | |
(000) | (000) | |
INCREASE (DECREASE) IN NET ASSETS | ||
Operations | ||
Net Investment Income | $ 58,812 | $ 47,690 |
Realized Net Gain (Loss) | (3,452) | 20,945 |
Change in Unrealized Appreciation (Depreciation) | 34,205 | (23,711) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 89,565 | 44,924 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (58,812) | (47,690) |
Admiral Shares | — | — |
Institutional Shares | — | — |
Realized Capital Gain* | ||
Investor Shares | — | (14,154) |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (58,812) | (61,844) |
Capital Share Transactions—Note F | ||
Investor Shares | 327,574 | 174,393 |
Admiral Shares | — | — |
Institutional Shares | — | — |
Net Increase (Decrease) from | ||
Capital Share Transactions | 327,574 | 174,393 |
Total Increase (Decrease) | 358,327 | 157,473 |
Net Assets | ||
Beginning of Period | 951,406 | 793,933 |
End of Period | $ 1,309,733 | $ 951,406 |
* | Includes fiscal 2003 short-term gain distributions by the Long-Term Bond Index Fund totaling $6,345,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. |
99
FINANCIAL HIGHLIGHTS
This table summarizes each fund’s investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund’s net income and total returns from year to year; the relative contributions of net income and capital gains to the fund’s total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
Total Bond Market Index Fund Investor Shares | |||||
---|---|---|---|---|---|
Year Ended December 31, | |||||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 | 2000 |
Net Asset Value, Beginning of Period | $10.31 | $10.38 | $10.15 | $9.96 | $9.56 |
Investment Operations | |||||
Net Investment Income | .441 | .465 | .572 | .632 | .648 |
Net Realized and Unrealized Gain (Loss) on Investments | (.014) | (.060) | .239 | .190 | .400 |
Total from Investment Operations | .427 | .405 | .811 | .822 | 1.048 |
Distributions | |||||
Dividends from Net Investment Income | (.446) | (.475) | (.570) | (.632) | (.648) |
Distributions from Realized Capital Gains | (.021) | — | (.011) | — | — |
Total Distributions | (.467) | (.475) | (.581) | (.632) | (.648) |
Net Asset Value, End of Period | $10.27 | $10.31 | $10.38 | $10.15 | $9.96 |
Total Return* | 4.24% | 3.97% | 8.26% | 8.43% | 11.39% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $19,479 | $17,032 | $16,676 | $14,116 | $11,180 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.22% | 0.22% | 0.22% | 0.22% |
Ratio of Net Investment Income to Average Net Assets | 4.29% | 4.46% | 5.63% | 6.21% | 6.72% |
Portfolio Turnover Rate** | 44% | 66% | 75% | 67% | 53% |
* | Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
** | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares. |
100
Total Bond Market Index Fund Admiral Shares | ||||
---|---|---|---|---|
Year Ended December 31, | Nov.12* to Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 |
Net Asset Value, Beginning of Period | $10.31 | $10.38 | $10.15 | $10.44 |
Investment Operations | ||||
Net Investment Income | .450 | .472 | .578 | .082 |
Net Realized and Unrealized Gain (Loss) on Investments | (.014) | (.060) | .239 | (.290) |
Total from Investment Operations | .436 | .412 | .817 | (.208) |
Distributions | ||||
Dividends from Net Investment Income | (.455) | (.482) | (.576) | (.082) |
Distributions from Realized Capital Gains | (.021) | — | (.011) | — |
Total Distributions | (.476) | (.482) | (.587) | (.082) |
Net Asset Value, End of Period | $10.27 | $10.31 | $10.38 | $10.15 |
Total Return | 4.33% | 4.04% | 8.32% | -2.00% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $2,502 | $2,092 | $1,805 | $866 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.15% | 0.17% | 0.17%** |
Ratio of Net Investment Income to Average Net Assets | 4.38% | 4.52% | 5.66% | 5.97%** |
Portfolio Turnover Rate† | 44% | 66% | 75% | 67% |
* | Inception. |
** | Annualized. |
† | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares. |
Total Bond Market Index Fund Institutional Shares | |||||
---|---|---|---|---|---|
Year Ended December 31, | |||||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 | 2000 |
Net Asset Value, Beginning of Period | $10.31 | $10.38 | $10.15 | $9.96 | $9.56 |
Investment Operations | |||||
Net Investment Income | .453 | .477 | .585 | .644 | .659 |
Net Realized and Unrealized Gain (Loss) on Investments | (.014) | (.060) | .239 | .190 | .400 |
Total from Investment Operations | .439 | .417 | .824 | .834 | 1.059 |
Distributions | |||||
Dividends from Net Investment Income | (.458) | (.487) | (.583) | (.644) | (.659) |
Distributions from Realized Capital Gains | (.021) | — | (.011) | — | — |
Total Distributions | (.479) | (.487) | (.594) | (.644) | (.659) |
Net Asset Value, End of Period | $10.27 | $10.31 | $10.38 | $10.15 | $9.96 |
Total Return | 4.36% | 4.10% | 8.39% | 8.56% | 11.52% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $7,444 | $6,593 | $6,525 | $6,778 | $4,570 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.10% | 0.10%0.10% | 0.10% | |
Ratio of Net Investment Income to Average Net Assets | 4.41% | 4.60% | 5.77%6.32% | 6.84% | |
Portfolio Turnover Rate* | 44% | 66% | 75% | 67% | 53% |
* | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares. |
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FINANCIAL HIGHLIGHTS (CONTINUED)
Short-Term Bond Index Fund Investor Shares | |||||
---|---|---|---|---|---|
Year Ended December 31, | |||||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 | 2000 |
Net Asset Value, Beginning of Period | $10.28 | $10.32 | $10.19 | $9.96 | $9.73 |
Investment Operations | |||||
Net Investment Income | .303 | .329 | .452 | .568 | .601 |
Net Realized and Unrealized Gain (Loss) on Investments | (.131) | .015 | .152 | .299 | .230 |
Total from Investment Operations | .172 | .344 | .604 | .867 | .831 |
Distributions | |||||
Dividends from Net Investment Income | (.303) | (.329) | (.452) | (.568) | (.601) |
Distributions from Realized Capital Gains | (.009) | (.055) | (.022) | (.069) | — |
Total Distributions | (.312) | (.384) | (.474) | (.637) | (.601) |
Net Asset Value, End of Period | $10.14 | $10.28 | $10.32 | $10.19 | $9.96 |
Total Return* | 1.70% | 3.37% | 6.10% | 8.88% | 8.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,795 | $3,041 | $2,553 | $1,680 | $1,287 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.20% | 0.21 | 0.21% | 0.21% |
Ratio of Net Investment Income to Average Net Assets | 2.97% | 3.17% | 4.37 | 5.45% | 6.16% |
Portfolio Turnover Rate | 92% | 111% | 139% | 156% | 74% |
* | Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
Short-Term Bond Index Fund Admiral Shares | ||||
---|---|---|---|---|
Year Ended December 31, | Nov.12*to Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 |
Net Asset Value, Beginning of Period | $10.28 | $10.32 | $10.19 | $10.44 |
Investment Operations | ||||
Net Investment Income | .310 | .334 | .457 | .069 |
Net Realized and Unrealized Gain (Loss) on Investments | (.131) | .015 | .152 | (.181) |
Total from Investment Operations | .179 | .349 | .609 | (.112) |
Distributions | ||||
Dividends from Net Investment Income | (.310) | (.334) | (.457) | (.069) |
Distributions from Realized Capital Gains | (.009) | (.055) | (.022) | (.069) |
Total Distributions | (.319) | (.389) | (.479) | (.138) |
Net Asset Value, End of Period | $10.14 | $10.28 | $10.32 | $10.19 |
Total Return | 1.77% | 3.43% | 6.15% | -1.08% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $1,469 | $1,177 | $773 | $273 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.15% | 0.16% | 0.17%** |
Ratio of Net Investment Income to Average Net Assets | 3.05% | 3.21% | 4.37% | 5.01%** |
Portfolio Turnover Rate | 92% | 111% | 139% | 156% |
* | Inception. |
** | Annualized. |
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Intermediate-Term Bond Index Fund Investor Shares | |||||
---|---|---|---|---|---|
Year Ended December 31, | |||||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 | 2000 |
Net Asset Value, Beginning of Period | $10.69 | $10.75 | $10.28 | $10.02 | $9.51 |
Investment Operations | |||||
Net Investment Income | .506 | .532 | .597 | .651 | .654 |
Net Realized and Unrealized Gain (Loss) on Investments | .038 | .064 | .478 | .260 | .510 |
Total from Investment Operations | .544 | .596 | 1.075 | .911 | 1.164 |
Distributions | |||||
Dividends from Net Investment Income | (.506) | (.532) | (.597) | (.651) | (.654) |
Distributions from Realized Capital Gains | (.048) | (.124) | (.008)— | — | |
Total Distributions | (.554) | (.656) | (.605) | (.651) | (.654) |
Net Asset Value, End of Period | $10.68 | $10.69 | $10.75 | $10.28 | $10.02 |
Total Return* | 5.22% | 5.65% | 10.85% | 9.28% | 12.78% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,501 | $2,749 | $2,415 | $2,096 | $1,642 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.20% | 0.21% | 0.21% | 0.21% |
Ratio of Net Investment Income to Average Net Assets | 4.75% | 4.91% | 5.75% | 6.33% | 6.83% |
Portfolio Turnover Rate | 84% | 98% | 141% | 135% | 81% |
* | Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
Intermediate-Term Bond Index Fund Admiral Shares | ||||
---|---|---|---|---|
Year Ended December 31, | Nov.12* to Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 |
Net Asset Value, Beginning of Period | $10.69 | $10.75 | $10.28 | $10.65 |
Investment Operations | ||||
Net Investment Income | .514 | .538 | .602 | .085 |
Net Realized and Unrealized Gain (Loss) on Investments | .038 | .064 | .478 | (.370) |
Total from Investment Operations | .552 | .602 | 1.080 | |
Distributions | ||||
Dividends from Net Investment Income | (.514) | (.538) | (.602) | (.085) |
Distributions from Realized Capital Gains | (.048) | (.124) | (.008)— | |
Total Distributions | (.562) | (.662) | (.610) | (.085) |
Net Asset Value, End of Period | $10.68 | $10.69 | $10.75 | $10.28 |
Total Return | 5.30% | 5.70% | 10.91% | -2.68% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $1,127 | $756 | $662 | $348 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.15% | 0.16% | 0.17%** |
Ratio of Net Investment Income to Average Net Assets | 4.82% | 4.96% | 5.78% | 6.17%** |
Portfolio Turnover Rate | 84% | 98% | 141% | 135% |
* | Inception. |
** | Annualized. |
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FINANCIAL HIGHLIGHTS (CONTINUED)
Long-Term Bond Index Fund | |||||
---|---|---|---|---|---|
Year Ended December 31, | |||||
For a Share Outstanding Throughout Each Period | 2004 | 2003 | 2002 | 2001 | 2000 |
Net Asset Value, Beginning of Period | $11.50 | $11.67 | $10.83 | $10.66 | $9.77 |
Investment Operations | |||||
Net Investment Income | .617 | .627 | .658 | .683 | .679 |
Net Realized and Unrealized Gain (Loss) on Investments | .320 | .004 | .840 | .170 | .890 |
Total from Investment Operations | .937 | .631 | 1.498 | .853 | 1.569 |
Distributions | |||||
Dividends from Net Investment Income | (.617) | (.627) | (.658) | (.683) | (.679) |
Distributions from Realized Capital Gains | — | (.174) | — | — | — |
Total Distributions | (.617) | (.801) | (.658) | (.683) | (.679) |
Net Asset Value, End of Period | $11.82 | $11.50 | $11.67 | $10.83 | $10.66 |
Total Return* | 8.40% | 5.50% | 14.35% | 8.17% | 16.64% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,310 | $951 | $794 | $542 | $417 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.20% | 0.21% | 0.21% | 0.21% |
Ratio of Net Investment Income to Average Net Assets | 5.34% | 5.34% | 5.92% | 6.30% | 6.71% |
Portfolio Turnover Rate | 62% | 76% | 141% | 107% | 56% |
* | Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. |
NOTES TO FINANCIAL STATEMENTS
Vanguard Bond Index Funds comprise the Total Bond Market Index, Short-Term Bond Index, Intermediate-Term Bond Index, and Long-Term Bond Index Funds, each of which is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the funds’ investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries.
The Total Bond Market Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Short-Term Bond Index and Intermediate-Term Bond Index Funds each offer two classes of shares, Investor Shares and Admiral Shares. The Long-Term Bond Index Fund offers only Investor Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements.
1. | Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds’ pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. |
104
2. | Mortgage-Dollar-Rolls: The Total Bond Market Index Fund has entered into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities, and is compensated by interest earned on the proceeds of the initial sale and by a lower price on the securities to be repurchased. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage-dollar-rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased on the Statement of Net Assets. The primary risk associated with mortgage-dollar-rolls is that a counterparty will default on its obligations to deliver purchased securities. |
3. | Swap Contracts: The Total Bond Market Index Fund has entered into swap transactions to earn the total return on a specified security or index of fixed income securities. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on a reference security or index applied to a notional principal amount. In return, the fund agrees to pay the counter-party a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities. The notional amounts of swap contracts are not recorded in the financial statements. Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time realized gain (loss) is recorded. The primary risk associated with total return swaps is that a counterparty will default on its obligation to pay net amounts due to the fund. |
4. | Repurchase Agreements: Each fund, along with other members of The Vanguard Group, may transfer uninvested cash balances into a pooled cash account, which is invested in repurchase agreements secured by U.S. government and agency securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. |
5. | Federal Income Taxes: Each fund intends to continue to qualify as a regulated investment company and distribute all of its income. Accordingly, no provision for federal income taxes is required in the financial statements. |
6. | Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. |
7. | Security Lending: The funds may lend their securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral (cash or U.S. government agency securities) at least equal to the market value of securities loaned. The funds invest cash collateral received in Vanguard Market Liquidity Fund, and record a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, and/or fees received from borrowers, less expenses associated with the loan. |
105
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
8. | Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets. |
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2004, the funds had contributed capital to Vanguard (included in Other Assets) of:
Index Fund | Capital Contribution to Vanguard (000) | Percentage of Fund Net Assets | Percentage of Vanguard’s Capitalization |
---|---|---|---|
Total Bond Market | $3,870 | 0.01% | 3.87% |
Short-Term Bond | 701 | 0.01 | 0.70 |
Intermediate-Term Bond | 603 | 0.01 | 0.60 |
Long-Term Bond | 167 | 0.01 | 0.17 |
The funds’ trustees and officers are also directors and officers of Vanguard.
C. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
During the year ended December 31, 2004, the Total Bond Market Index Fund realized $3,727,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
The Total Bond Market Index, Short-Term Bond Index, and Intermediate-Term Bond Index Funds used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the Total Bond Market Index, Short-Term Bond Index, and Intermediate-Term Bond Index Funds have reclassified $8,720,000, $1,319,000, and $2,731,000, respectively, from accumulated net realized gains to paid-in capital.
106
Realized and unrealized gains (losses) on certain of the Total Bond Market Index Fund’s total return swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains on swap contracts of $13,736,000 have been reclassified from accumulated net realized gains to undistributed net investment income. Taxable income on swap contracts is accumulated monthly and included in income dividends paid to shareholders in the following month. At December 31, 2004, the fund had $3,737,000 of net swap gains available to distribute to shareholders as ordinary income dividends.
At December 31, 2004, the funds had the following tax-basis amounts available for distribution, and capital losses available to offset future net capital gains:
Capital Gains Available for Distribution | Capital Losses | ||||
---|---|---|---|---|---|
Index Fund | Short-Term (000) | Long-Term (000) | Amount (000) | Expiration: Fiscal Year Ending December 31, | |
Total Bond Market | $997 | $4,102 | — | — | |
Short-Term Bond | — | — | $1,712 | 2013 | |
Intermediate-Term Bond | 1,980 | 3,088 | — | — | |
Long-Term Bond | — | — | 3,199 | 2012 | |
Short-term gain distributions are treated as ordinary income dividends for tax purposes. Short-Term Bond Index Fund capital gains required to be distributed in December 2004 included net gains realized through October 31, 2004. Subsequently, the fund realized capital losses of $1,712,000, which are available to offset future net capital gains.
At December 31, 2004, net unrealized appreciation (depreciation) of investment securities for tax purposes was:
(000) | |||
---|---|---|---|
Index Fund | Appreciated Securities | Depreciated Securities | Net Unrealized Appreciation (Depreciation) |
Total Bond Market | $712,475 | ($129,127) | $583,348 |
Short-Term Bond | 18,831 | (35,644) | (16,813) |
Intermediate-Term Bond | 122,501 | (8,675) | 113,826 |
Long-Term Bond | 79,294 | (2,013) | 77,281 |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At December 31, 2004, the Total Bond Market Index Fund had the following open swap contracts:
Referenced Entity/Termination Date | Dealer* | National Amount (000) | Floating Interest Rate Paid** | Unrealized Appreciation (Depreciation) (000) |
---|---|---|---|---|
Commercial Mortgage-Backed Securities Index | ||||
1/1/2005 | UBS | $ 70,000 | 2.13% | $ 442 |
1/31/2005 | LEH | 70,000 | 2.28 | (286) |
2/28/2005 | UBS | 70,000 | 2.28 | 144 |
3/31/2005 | UBS | 70,000 | 2.13 | 442 |
5/31/2005 | UBS | 70,000 | 2.28 | 144 |
Federal Home Loan Mortgage Corp., 5.00% 30-Year | ||||
3/31/2005 | UBS | 51,000 | 2.09 | — |
Federal Home Loan Mortgage Corp., 5.50% 30-Year | ||||
3/31/2005 | UBS | 93,000 | 2.14 | — |
Federal National Mortgage Assn., 4.50% 15-Year | ||||
1/1/2005 | UBS | 70,000 | 2.24 | 1,497 |
Federal National Mortgage Assn., 5.00% 15-Year | ||||
1/1/2005 | UBS | 50,000 | 2.19 | 789 |
Federal National Mortgage Assn., 5.00% 30-Year | ||||
1/31/2005 | UBS | 60,000 | 2.29 | 1,129 |
Federal National Mortgage Assn., 5.50% 30-Year | ||||
1/31/2005 | UBS | 80,000 | 2.24 | (190) |
2/28/2005 | UBS | 125,000 | 2.20 | 610 |
Federal National Mortgage Assn., 6.00% 30-Year | ||||
1/1/2005 | UBS | 70,000 | 1.49 | (22) |
1/31/2005 | UBS | 50,000 | 1.65 | (76) |
$ 4,623 | ||||
* | LEH—Lehman Brothers Special Financing Inc. |
UBS—UBS Warburg. | |
** | Based on one-month London InterBank Offered Rate (LIBOR). |
D. During the year ended December 31, 2004, purchases and sales of investment securities other than temporary cash investments were:
U.S. Government Securities (000) | Other Investment Securities (000) | ||||
---|---|---|---|---|---|
Index Fund | Purchases | Sales | Purchases | Sales | |
Total Bond Market | $16,453,675 | $9,847,067 | $2,582,180 | $2,239,745 | |
Short-Term Bond | 4,934,840 | 3,744,014 | 872,009 | 561,955 | |
Intermediate-Term Bond | 3,198,193 | 2,772,331 | 1,217,207 | 535,969 | |
Long-Term Bond | 751,761 | 545,457 | 241,484 | 132,183 | |
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E. The market value of securities on loan to broker/dealers at December 31, 2004, and collateral received with respect to such loans, were:
(000) | ||
---|---|---|
Index Fund | Market Value of Loaned Securities | Cash Collateral Received |
Total Bond Market | $31,045 | $31,824 |
Short-Term Bond | 5,816 | 5,928 |
Intermediate-Term Bond | 21,492 | 21,934 |
Long-Term Bond | 3,848 | 3,954 |
F. Capital share transactions for each class of shares were:
Year Ended December 31, | |||||
---|---|---|---|---|---|
2004 | 2003 | ||||
Index Fund | Amount (000) | Shares (000) | Amount (000) | Shares (000) | |
Total Bond Market | |||||
Investor Shares | |||||
Issued | $5,035,391 | 489,881 | $4,786,619 | 462,256 | |
Issued in Lieu of Cash Distributions | 774,737 | 75,461 | 731,638 | 70,607 | |
Redeemed | (3,290,070) | (320,600) | (5,038,171) | (488,069) | |
Net Increase (Decrease)—Investor Shares | 2,520,058 | 244,742 | 480,086 | 44,794 | |
Admiral Shares | |||||
Issued | 1,011,765 | 98,344 | 996,181 | 96,273 | |
Issued in Lieu of Cash Distributions | 84,316 | 8,212 | 72,894 | 7,036 | |
Redeemed | (676,774) | (65,807) | (768,513) | (74,404) | |
Net Increase (Decrease)—Admiral Shares | 419,307 | 40,749 | 300,562 | 28,905 | |
Institutional Shares | |||||
Issued | 2,449,185 | 238,122 | 2,575,989 | 248,753 | |
Issued in Lieu of Cash Distributions | 300,025 | 29,225 | 264,763 | 25,552 | |
Redeemed | (1,865,968) | (181,973) | (2,731,318) | (263,720) | |
Net Increase (Decrease)—Institutional Shares | 883,242 | 85,374 | 109,434 | 10,585 | |
Short-Term Bond | |||||
Investor Shares | |||||
Issued | $1,927,359 | 188,453 | $1,682,030 | 162,602 | |
Issued in Lieu of Cash Distributions | 91,239 | 8,938 | 90,783 | 8,788 | |
Redeemed | (1,216,661) | (119,111) | (1,268,914) | (122,787) | |
Net Increase (Decrease)—Investor Shares | 801,937 | 78,280 | 503,899 | 48,603 | |
Admiral Shares | |||||
Issued | 834,222 | 81,607 | 694,054 | 67,158 | |
Issued in Lieu of Cash Distributions | 33,822 | 3,313 | 31,894 | 3,088 | |
Redeemed | (556,902) | (54,592) | (316,937) | (30,655) | |
Net Increase (Decrease)—Admiral Shares | 311,142 | 30,328 | 409,011 | 39,591 | |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Year Ended December 31, | |||||
---|---|---|---|---|---|
2004 | 2003 | ||||
Index Fund | Amount (000) | Shares (000) | Amount (000) | Shares (000) | |
Intermediate-Term Bond | |||||
Investor Shares | |||||
Issued | $1,413,164 | 132,300 | $1,223,547 | 112,866 | |
Issued in Lieu of Cash Distributions | 139,902 | 13,117 | 136,726 | 12,665 | |
Redeemed | (793,460) | (74,545) | (1,006,654) | (93,144) | |
Net Increase (Decrease)—Investor Shares | 759,606 | 70,872 | 353,619 | 32,387 | |
Admiral Shares | |||||
Issued | 594,599 | 55,562 | 409,003 | 37,890 | |
Issued in Lieu of Cash Distributions | 35,612 | 3,339 | 31,575 | 2,926 | |
Redeemed | (255,253) | (24,039) | (342,176) | (31,724) | |
Net Increase (Decrease)—Admiral Shares | 374,958 | 34,862 | 98,402 | 9,092 | |
Long-Term Bond | |||||
Issued | $565,781 | 48,839 | $493,636 | 41,982 | |
Issued in Lieu of Cash Distributions | 51,013 | 4,411 | 53,848 | 4,613 | |
Redeemed | (289,220) | (25,162) | (373,091) | (31,880) | |
Net Increase (Decrease) | 327,574 | 28,088 | 174,393 | 14,715 | |
110
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Trustees of Vanguard Bond Index Funds:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Total Bond Market Index Fund, Short-Term Bond Index Fund, Intermediate-Term Bond Index Fund, and Long-Term Bond Index Fund (constituting Vanguard Bond Index Funds, hereafter referred to as the “Funds”) at December 31, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these fin-ancial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2004 by correspondence with the custodian and brokers and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 8, 2005
SPECIAL 2004 TAX INFORMATION
(UNAUDITED) FOR VANGUARD BOND INDEX FUNDS
This information for the fiscal year ended December 31, 2004, is included pursuant to provisions of the Internal Revenue Code.
The Total Bond Market Index, Short-Term Bond Index, and Intermediate-Term Bond Index Funds distributed $64,244,000, $5,586,000, and $21,987,000, respectively, as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
111
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members' responsibilities are
Name (Year of Birth) Trustee/Officer Since | Position(s) Held with Fund (Number of Vanguard Funds Overseen by Trustee/Officer) | Principal Occupation(s) During the Past Five Years |
---|---|---|
John J. Brennan* (1954) May 1987 | Chairman of the Board, Chief Executive Officer, and Trustee (132) | Chairman of the Board,Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group. |
INDEPENDENT TRUSTEES | ||
Charles D. Ellis (1937) January 2001 | Trustee (132) | The Partners of `63 (pro bono ventures in education); Senior Advisor to Greenwich Associates (international business strategy consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. |
Rajiv L. Gupta (1945) December 2001** | Trustee (132) | Chairman and Chief Executive Officer (since October 1999), Vice Chairman (January-September 1999), and Vice President (prior to September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (commu- nications components); Board Member of the American Chemistry Council; Trustee of Drexel University. |
JoAnn Heffernan Heisen (1950) July 1998 | Trustee (132) | Vice President, Chief Information Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/ consumer products); Director of the University Medical Center at Princeton and Women's Research and Education Institute. |
Burton G. Malkiel (1932) May 1977 | Trustee (129) | Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Vanguard Investment Series plc (Irish invest- ment fund) (since November 2001), Vanguard Group (Ireland) Limited (investment management) (since November 2001), Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc. (software company). |
André F. Perold (1952) December 2004 | Trustee (132) | George Gund Professor of Finance and Banking, Harvard Business School (since 2000); Senior Associate Dean, Director of Faculty Recruiting, and Chair of Finance Faculty, Harvard Business School; Director and Chairman of Unx, Inc. (equities trading firm) (since 2003); Director of registered investment companies advised by Merrill Lynch Investment Managers and affiliates (1985–2004), Genbel Securities Limited (South African financial services firm) (1999–2003), Gensec Bank (1999–2003), Sanlam Investment Management (1999–2001), Sanlam, Ltd. (South African insurance company) (2001–2003), Stockback, Inc. (credit card firm) (2000–2002), and Bulldogresearch.com (investment research) (1999–2001); and Trustee of Commonfund (investment management) (1989–2001). |
selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Name (Year of Birth) Trustee/Officer Since | Position(s) Held with Fund (Number of Vanguard Funds Overseen by Trustee/Officer) | Principal Occupation(s) During the Past Five Years |
---|---|---|
Alfred M. Rankin, Jr. (1941) January 1993 | Trustee (132) | Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. |
J. Lawrence Wilson (1936) April 1985 | Trustee (132) | Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. |
EXECUTIVE OFFICERS* | ||
R. Gregory Barton (1951) June 2001 | Secretary (132) | Managing Director and General Counsel of The Vanguard Group, Inc.; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group. |
Thomas J. Higgins (1957) July 1998 | Treasurer (132) | Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group. |
*Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940. | ||
**December 2002 for Vanguard® Equity Income Fund, Vanguard® Growth Equity Fund, the Vanguard® Municipal Bond Funds, and the Vanguard® State Tax-Exempt Funds. |
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
VANGUARD SENIOR MANAGEMENT TEAM | |
Mortimer J. Buckley, Information Technology. James H. Gately, Investment Programs and Services. Kathleen C. Gubanich, Human Resources. F. William McNabb, III, Client Relationship Group. | Michael S. Miller, Planning and Development. Ralph K. Packard, Finance. George U. Sauter, Chief Investment Officer. |
John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996. | |
Post Office Box 2600 Valley Forge, PA 19482-2600 |
Vanguard, The Vanguard Group, Vanguard.com, Admiral, and the ship logo are trademarks of The Vanguard Group, Inc. All other marks are the exclusive property of their respective owners. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. For More Information This report is intended for the funds' shareholders. It may not be distributed to prospec tive investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online. You can obtain a free copy of Vanguard's proxy voting guidelines by visiting our website, www.vanguard.com, and searching for "proxy voting guidelines," or by calling Vanguard at 1-800-662-2739. They are also available from the SEC's website, www.sec.gov. In addition, you may obtain a free report on how the fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either www.vanguard.com or www.sec.gov. You can review and copy information about your fund at the SEC's Public Reference Room in Washington, D.C. To find out more about this public service, call the SEC at 1-202-942-8090. Information about your fund is also available on the SEC's website, and you can receive copies of this information, for a fee, by sending a request in either of two ways: via e-mail addressed to publicinfo@sec.gov or via regular mail addressed to the Public Reference Section, Securities and Exchange Commission, Washington, DC 20549-0102. | World Wide Web www.vanguard.com Fund Information 1-800-662-7447 Direct Investor Account Services 1-800-662-2739 Institutional Investor Services 1-800-523-1036 Text Telephone 1-800-952-3335 © 2005 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q840 022005 |
Item 2: Code of Ethics. The Board of Trustees has adopted a code of ethics that applies to the principal executive officer, principal financial officer, principal accounting officer or controller of the Registrant and The Vanguard Group, Inc., and to persons performing similar functions.
Item 3: Audit Committee Financial Expert. All of the members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts. The members of the Audit Committee are: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, Burton G. Malkiel, Alfred M. Rankin, Jr., and J. Lawrence Wilson. All Audit Committee members are independent under applicable rules.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2004: $81,000
Fiscal Year Ended December 31, 2003: $68,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group
Fiscal Year Ended December 31, 2004: $1,685,500
Fiscal Year Ended December 31, 2003: $1,620,200
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2004: $257,800
Fiscal Year Ended December 31, 2003: $324,460
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended December 31, 2004: $76,400
Fiscal Year Ended December 31, 2003: $409,900
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended December 31, 2004: $0
Fiscal Year Ended December 31, 2003: $31,000
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, members of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2004: $76,400
Fiscal Year Ended December 31, 2003: $440,900
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Not applicable.
Item 6: Not applicable.
Item 7: Not applicable.
Item 8: Not applicable.
Item 9: Not applicable.
Item 10: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s internal control over financial reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 11: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD BOND INDEX FUNDS | |
BY: | (signature) |
(HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER |
Date: | February 16, 2005 |
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.
VANGUARD BOND INDEX FUNDS | |
BY: | (signature) |
(HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER |
Date: | February 16, 2005 |
VANGUARD BOND INDEX FUNDS | |
BY: | (signature) |
(HEIDI STAM) THOMAS J. HIGGINS* TREASURER |
Date: | February 16, 2005 |
*By Power of Attorney. Filed on December 20, 2004, see File Number 002-14336. Incorporated by Reference.