UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

**FORM N-Q**

**QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANY**

**_______________________________**

Investment Company Act file number  811-06071

DWS Institutional Funds

(Exact name of registrant as specified in charter)

 

345 Park Avenue

New York, NY  10154

(Address of principal executive offices)             (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY  10154-0004

(Name and address of agent for service)

Registrant's telephone number, including area code:  (212) 454-7190

Date of fiscal year end:  12/31

Date of reporting period: 3/31/09

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of March 31, 2009  (Unaudited)** |
|----------------------|---------------------------------------|

 

 

**DWS U.S. Bond Index Fund**

 

 

|   | **Principal****Amount ($)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | **Value ($)** |
|--------|-----------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 17.7%**   |  
**Consumer Discretionary 1.1%**

 
CBS Corp., 7.7%, 7/30/2010 (a)

 

 

100,000 

 

100,120 

Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013 

 

 

90,000 

 

96,249 

Comcast Corp.:

 
 

5.7%, 5/15/2018 (a)

 

 

125,000 

 

117,244 

 

5.85%, 11/15/2015  

 

 

50,000 

 

47,970 

 

6.95%, 8/15/2037  

 

 

150,000 

 

139,682 

Cox Communications, Inc., 7.125%, 10/1/2012 

 

 

100,000 

 

99,548 

Home Depot, Inc.:

 
 

4.625%, 8/15/2010  

 

 

100,000 

 

100,203 

 

5.4%, 3/1/2016  

 

 

100,000 

 

89,890 

 

 

 

Lowe's Companies, Inc., 5.0%, 10/15/2015 (a)

 

 

125,000 

 

127,031 

Macy's Retail Holdings, Inc., 7.45%, 7/15/2017 

 

 

150,000 

 

94,970 

McDonald's Corp., Series I, 6.3%, 10/15/2037 

 

 

75,000 

 

76,809 

McGraw-Hill Companies, Inc., 5.9%, 11/15/2017 

 

 

50,000 

 

43,721 

News America Holdings, Inc., 9.25%, 2/1/2013 

 

 

100,000 

 

106,094 

News America, Inc., 6.4%, 12/15/2035 

 

 

50,000 

 

37,042 

R.R. Donnelley & Sons Co., 5.5%, 5/15/2015 (a)

 

 

25,000 

 

16,717 

Target Corp.:

 
 

5.875%, 3/1/2012  

 

 

100,000 

 

106,840 

 

7.0%, 1/15/2038  

 

 

75,000 

 

70,255 

TCI Communications, Inc., 7.125%, 2/15/2028 

 

 

100,000 

 

87,936 

Time Warner Cable, Inc., 5.85%, 5/1/2017 

 

 

300,000 

 

268,949 

Time Warner, Inc.:

 
 

5.875%, 11/15/2016  

 

 

50,000 

 

47,321 

 

6.625%, 5/15/2029  

 

 

10,000 

 

8,442 

 

6.75%, 4/15/2011  

 

 

150,000 

 

152,239 

 

6.95%, 1/15/2028  

 

 

30,000 

 

26,510 

 

7.7%, 5/1/2032  

 

 

25,000 

 

22,481 

VF Corp., 6.45%, 11/1/2037 

 

 

20,000 

 

17,269 

Viacom, Inc.:

 
 

6.25%, 4/30/2016  

 

 

25,000 

 

21,948 

 

6.875%, 4/30/2036  

 

 

100,000 

 

72,961 

Walt Disney Co.:

 
 

Series B, 5.875%, 12/15/2017 (a)

 

 

50,000 

 

52,933 

 

6.2%, 6/20/2014  

 

 

75,000 

 

82,617 

 

Series B, 6.375%, 3/1/2012 (a)

 

 

25,000 

 

27,019 

Yum! Brands, Inc., 6.25%, 4/15/2016 (a)

 

 

50,000 

 

47,188 

 

**2,406,198**

**Consumer Staples 1.5%**

 
Altria Group, Inc.:

 
 

9.25%, 8/6/2019  

 

 

125,000 

 

133,649 

 

10.2%, 2/6/2039  

 

 

100,000 

 

102,154 

Anheuser-Busch Companies, Inc.:

 
 

4.95%, 1/15/2014 (a)

 

 

100,000 

 

96,971 

 

5.5%, 1/15/2018 (a)

 

 

25,000 

 

22,812 

 

5.95%, 1/15/2033  

 

 

50,000 

 

38,643 

Bottling Group LLC:

 
 

5.0%, 11/15/2013 (a)

 

 

50,000 

 

52,560 

 

5.5%, 4/1/2016  

 

 

50,000 

 

53,122 

Coca-Cola Co., 5.75%, 3/15/2011 (a)

 

 

25,000 

 

26,713 

Coca-Cola Enterprises, Inc.:

 
 

6.75%, 9/15/2028  

 

 

50,000 

 

50,923 

 

8.5%, 2/1/2022  

 

 

75,000 

 

87,620 

ConAgra Foods, Inc., 7.125%, 10/1/2026 

 

 

100,000 

 

98,869 

Costco Wholesale Corp., 5.5%, 3/15/2017 

 

 

125,000 

 

131,789 

CVS Caremark Corp.:

 
 

5.75%, 6/1/2017  

 

 

50,000 

 

48,758 

 

6.25%, 6/1/2027  

 

 

50,000 

 

46,076 

Diageo Capital PLC:

 
 

5.125%, 1/30/2012  

 

 

25,000 

 

25,586 

 

5.75%, 10/23/2017  

 

 

150,000 

 

152,910 

Fortune Brands, Inc., 4.875%, 12/1/2013 

 

 

50,000 

 

45,313 

General Mills, Inc.:

 
 

5.2%, 3/17/2015  

 

 

25,000 

 

25,483 

 

5.65%, 9/10/2012  

 

 

25,000 

 

26,409 

 

5.7%, 2/15/2017  

 

 

50,000 

 

51,414 

 

 

 

 

6.0%, 2/15/2012  

 

 

48,000 

 

50,595 

Kellogg Co.:

 
 

5.125%, 12/3/2012  

 

 

50,000 

 

52,832 

 

Series B, 6.6%, 4/1/2011  

 

 

50,000 

 

53,489 

 

Series B, 7.45%, 4/1/2031  

 

 

50,000 

 

58,996 

Kimberly-Clark Corp.:

 
 

5.625%, 2/15/2012  

 

 

50,000 

 

53,303 

 

6.625%, 8/1/2037  

 

 

50,000 

 

54,444 

Kraft Foods, Inc.:

 
 

5.625%, 11/1/2011  

 

 

50,000 

 

52,053 

 

6.125%, 2/1/2018  

 

 

100,000 

 

100,226 

 

6.25%, 6/1/2012  

 

 

40,000 

 

42,205 

 

6.5%, 8/11/2017  

 

 

100,000 

 

102,974 

Kroger Co.:

 
 

5.5%, 2/1/2013  

 

 

75,000 

 

76,890 

 

8.0%, 9/15/2029  

 

 

50,000 

 

53,740 

Pepsi Bottling Group, Inc., Series B, 7.0%, 3/1/2029 

 

 

25,000 

 

27,480 

PepsiCo, Inc.:

 
 

4.65%, 2/15/2013  

 

 

100,000 

 

106,157 

 

5.0%, 6/1/2018  

 

 

100,000 

 

103,461 

Philip Morris International, Inc., 5.65%, 5/16/2018 

 

 

100,000 

 

99,361 

Reynolds American, Inc., 7.625%, 6/1/2016 

 

 

75,000 

 

66,402 

Safeway, Inc., 6.5%, 3/1/2011 

 

 

80,000 

 

83,897 

Sara Lee Corp., 3.875%, 6/15/2013 

 

 

100,000 

 

96,063 

Unilever Capital Corp., 7.125%, 11/1/2010 

 

 

50,000 

 

53,750 

Wal-Mart Stores, Inc.:

 
 

4.25%, 4/15/2013 (a)

 

 

50,000 

 

52,586 

 

5.25%, 9/1/2035  

 

 

300,000 

 

269,622 

 

5.875%, 4/5/2027 (a)

 

 

50,000 

 

49,807 

 

**3,078,107**

**Energy 1.4%**

 
Alabama Power Co., 5.7%, 2/15/2033 (a)

 

 

50,000 

 

47,080 

Alberta Energy Co., Ltd.:

 
 

7.375%, 11/1/2031  

 

 

50,000 

 

44,524 

 

7.65%, 9/15/2010  

 

 

10,000 

 

10,268 

Anadarko Finance Co., Series B, 6.75%, 5/1/2011 

 

 

25,000 

 

25,226 

Anadarko Petroleum Corp., 5.95%, 9/15/2016 

 

 

100,000 

 

86,128 

Apache Corp., 6.0%, 1/15/2037 

 

 

100,000 

 

96,457 

Buckeye Partners LP, 6.05%, 1/15/2018 

 

 

50,000 

 

43,525 

Burlington Resources, Inc., 7.375%, 3/1/2029 (a)

 

 

50,000 

 

51,775 

Canadian Natural Resources Ltd.:

 
 

5.45%, 10/1/2012  

 

 

25,000 

 

23,908 

 

5.7%, 5/15/2017  

 

 

100,000 

 

89,160 

 

6.25%, 3/15/2038  

 

 

25,000 

 

19,256 

Conoco Funding Co., 6.35%, 10/15/2011 

 

 

100,000 

 

108,200 

Conoco, Inc., 6.95%, 4/15/2029 

 

 

150,000 

 

149,353 

ConocoPhillips Canada Funding Co. I, 5.625%, 10/15/2016 

 

 

100,000 

 

103,559 

DCP Midstream LLC, 8.125%, 8/16/2030 

 

 

25,000 

 

19,852 

Devon Energy Corp., 6.3%, 1/15/2019 

 

 

50,000 

 

48,784 

Devon Financing Corp., ULC, 6.875%, 9/30/2011 

 

 

100,000 

 

104,579 

El Paso Natural Gas Co., 5.95%, 4/15/2017 

 

 

100,000 

 

87,823 

EnCana Corp.:

 
 

4.75%, 10/15/2013  

 

 

50,000 

 

47,859 

 

5.9%, 12/1/2017  

 

 

50,000 

 

47,191 

Energy Transfer Partners LP:

 
 

6.125%, 2/15/2017  

 

 

25,000 

 

22,305 

 

 

 

 

6.625%, 10/15/2036  

 

 

25,000 

 

18,590 

Enterprise Products Operating LLP:

 
 

Series B, 5.6%, 10/15/2014  

 

 

50,000 

 

46,233 

 

6.3%, 9/15/2017  

 

 

50,000 

 

46,086 

 

Series B, 6.875%, 3/1/2033  

 

 

25,000 

 

20,609 

Exelon Generation Co., LLC, 6.95%, 6/15/2011 

 

 

25,000 

 

25,527 

Halliburton Co., 5.9%, 9/15/2018 

 

 

75,000 

 

77,241 

Hess Corp., 7.125%, 3/15/2033 

 

 

25,000 

 

21,460 

Kinder Morgan Energy Partners LP, 6.75%, 3/15/2011 

 

 

60,000 

 

61,185 

Marathon Global Funding Corp., 6.0%, 7/1/2012 

 

 

150,000 

 

152,404 

Nexen, Inc., 7.875%, 3/15/2032 

 

 

50,000 

 

42,016 

ONEOK, Inc., 5.2%, 6/15/2015 

 

 

50,000 

 

44,521 

ONEOK Partners LP, 6.15%, 10/1/2016 

 

 

75,000 

 

66,763 

Pemex Project Funding Master Trust, Series 2, 9.125%, 10/13/2010 

 

 

80,000 

 

85,400 

Petro-Canada:

 
 

5.95%, 5/15/2035  

 

 

100,000 

 

68,251 

 

6.8%, 5/15/2038  

 

 

50,000 

 

37,544 

PPL Energy Supply LLC, 6.4%, 11/1/2011 

 

 

25,000 

 

25,052 

Suncor Energy, Inc., 5.95%, 12/1/2034 

 

 

50,000 

 

33,836 

TransCanada PipeLines Ltd.:

 
 

5.85%, 3/15/2036  

 

 

50,000 

 

40,219 

 

6.2%, 10/15/2037  

 

 

50,000 

 

42,341 

 

6.35%, 5/15/2067  

 

 

25,000 

 

14,250 

Transcontinental Gas Pipe Line Corp.:

 
 

Series B, 7.0%, 8/15/2011  

 

 

50,000 

 

50,613 

 

Series B, 8.875%, 7/15/2012  

 

 

25,000 

 

25,459 

Transocean, Inc.:

 
 

6.0%, 3/15/2018  

 

 

50,000 

 

47,106 

 

6.8%, 3/15/2038  

 

 

25,000 

 

21,963 

Union Pacific Resources Group, Inc., 7.5%, 10/15/2026 

 

 

60,000 

 

49,017 

Valero Energy Corp.:

 
 

6.625%, 6/15/2037  

 

 

35,000 

 

24,741 

 

6.875%, 4/15/2012  

 

 

50,000 

 

50,463 

 

7.5%, 4/15/2032  

 

 

25,000 

 

19,611 

Weatherford International Ltd., 5.5%, 2/15/2016 

 

 

50,000 

 

42,312 

Williams Companies, Inc., 8.75%, 3/15/2032 

 

 

50,000 

 

45,375 

XTO Energy, Inc.:

 
 

5.3%, 6/30/2015  

 

 

50,000 

 

47,666 

 

6.25%, 4/15/2013  

 

 

25,000 

 

25,824 

 

6.25%, 8/1/2017  

 

 

100,000 

 

97,524 

 

**2,794,014**

**Financials 8.0%**

 
ACE INA Holdings, Inc., 6.7%, 5/15/2036 

 

 

50,000 

 

42,740 

Allstate Corp., 5.35%, 6/1/2033 

 

 

50,000 

 

33,893 

 

 
American Express Co.:

 
 

5.25%, 9/12/2011  

 

 

250,000 

 

235,028 

 

6.15%, 8/28/2017  

 

 

25,000 

 

20,718 

American General Finance Corp.:

 
 

Series H, 5.375%, 10/1/2012  

 

 

75,000 

 

30,140 

 

Series J, 6.9%, 12/15/2017  

 

 

75,000 

 

26,287 

American International Group, Inc.:

 
 

4.25%, 5/15/2013  

 

 

100,000 

 

40,431 

 

5.05%, 10/1/2015  

 

 

100,000 

 

44,451 

 

Series G, 5.85%, 1/16/2018  

 

 

50,000 

 

19,575 

 

144A, 8.175%, 5/15/2058  

 

 

50,000 

 

4,260 

 

 

 

Apache Finance Canada, 7.75%, 12/15/2029 

 

 

25,000 

 

27,349 

Assurant, Inc., 5.625%, 2/15/2014 

 

 

25,000 

 

20,959 

AvalonBay Communities, Inc., 6.125%, 11/1/2012 (a)

 

 

30,000 

 

28,426 

AXA Financial, Inc., 7.75%, 8/1/2010 

 

 

100,000 

 

98,969 

AXA SA, 8.6%, 12/15/2030 

 

 

50,000 

 

35,259 

Bank of America Corp.:

 
 

4.75%, 8/1/2015  

 

 

100,000 

 

83,506 

 

5.125%, 11/15/2014 (a)

 

 

100,000 

 

85,435 

 

5.75%, 8/15/2016  

 

 

100,000 

 

65,605 

 

5.75%, 12/1/2017  

 

 

125,000 

 

104,973 

 

6.0%, 10/15/2036  

 

 

100,000 

 

66,153 

 

6.25%, 4/15/2012  

 

 

150,000 

 

141,216 

Bank of New York Mellon Corp.:

 
 

Series G, 4.95%, 11/1/2012  

 

 

25,000 

 

25,517 

 

5.5%, 12/1/2017 (a)

 

 

50,000 

 

47,762 

Bank of Tokyo-Mitsubishi UFJ Ltd., 7.4%, 6/15/2011 (a)

 

 

10,000 

 

9,825 

Bank One Corp.:

 
 

7.625%, 10/15/2026  

 

 

50,000 

 

43,595 

 

7.875%, 8/1/2010  

 

 

50,000 

 

51,347 

Barclays Bank PLC, 5.45%, 9/12/2012 

 

 

100,000 

 

101,244 

BB&T Capital Trust II, 6.75%, 6/7/2036 

 

 

25,000 

 

13,795 

BB&T Corp., 5.2%, 12/23/2015 

 

 

150,000 

 

134,495 

Bear Stearns Companies LLC:

 
 

4.5%, 10/28/2010 (a)

 

 

175,000 

 

173,242 

 

7.25%, 2/1/2018  

 

 

150,000 

 

154,907 

Berkshire Hathaway Finance Corp., 4.625%, 10/15/2013 (a)

 

 

150,000 

 

152,130 

BHP Billiton Finance Ltd., 5.4%, 3/29/2017 (a)

 

 

150,000 

 

143,556 

Boeing Capital Corp., 6.1%, 3/1/2011 

 

 

110,000 

 

115,628 

Boston Properties LP, 6.25%, 1/15/2013 

 

 

50,000 

 

41,970 

British Transco Finance, Inc., 6.625%, 6/1/2018 

 

 

100,000 

 

97,246 

Bunge Ltd. Finance Corp., 5.35%, 4/15/2014 

 

 

50,000 

 

41,730 

Capital One Bank USA NA, 5.75%, 9/15/2010 (a)

 

 

100,000 

 

99,805 

Caterpillar Financial Services Corp.:

 
 

Series F, 4.75%, 2/17/2015  

 

 

50,000 

 

44,283 

 

5.45%, 4/15/2018  

 

 

100,000 

 

85,795 

Charter One Bank NA, 6.375%, 5/15/2012 (a)

 

 

10,000 

 

8,089 

China Development Bank, 5.0%, 10/15/2015 (a)

 

 

50,000 

 

51,692 

Chubb Corp.:

 
 

6.0%, 11/15/2011  

 

 

10,000 

 

10,203 

 

6.0%, 5/11/2037  

 

 

75,000 

 

67,777 

 

Series 1, 6.5%, 5/15/2038  

 

 

25,000 

 

23,991 

CIT Group, Inc.:

 
 

5.65%, 2/13/2017  

 

 

100,000 

 

57,913 

 

6.0%, 4/1/2036  

 

 

150,000 

 

70,719 

Citigroup, Inc.:

 
 

5.125%, 5/5/2014  

 

 

100,000 

 

85,217 

 

5.25%, 2/27/2012  

 

 

50,000 

 

44,556 

 

5.3%, 1/7/2016  

 

 

100,000 

 

77,282 

 

5.5%, 4/11/2013  

 

 

100,000 

 

87,857 

 

5.5%, 2/15/2017  

 

 

100,000 

 

62,819 

 

5.875%, 2/22/2033  

 

 

100,000 

 

52,244 

 

6.0%, 8/15/2017  

 

 

50,000 

 

43,152 

 

6.0%, 10/31/2033  

 

 

100,000 

 

53,538 

 

6.5%, 1/18/2011  

 

 

150,000 

 

143,410 

 

6.625%, 6/15/2032  

 

 

75,000 

 

41,730 

 

7.25%, 10/1/2010  

 

 

50,000 

 

45,109 

Corp. Andina de Fomento:

 
 

 

 

 

5.2%, 5/21/2013  

 

 

75,000 

 

69,414 

 

6.875%, 3/15/2012  

 

 

10,000 

 

9,853 

Countrywide Home Loans, Inc., Series L, 4.0%, 3/22/2011 

 

 

100,000 

 

88,990 

Credit Suisse (USA), Inc.:

 
 

4.875%, 1/15/2015  

 

 

50,000 

 

46,908 

 

5.125%, 8/15/2015  

 

 

25,000 

 

23,199 

 

5.375%, 3/2/2016 (a)

 

 

50,000 

 

46,847 

 

6.125%, 11/15/2011  

 

 

100,000 

 

101,849 

 

6.5%, 1/15/2012  

 

 

150,000 

 

153,255 

 

7.125%, 7/15/2032 (a)

 

 

50,000 

 

49,891 

Daimler Finance NA LLC:

 
 

6.5%, 11/15/2013  

 

 

75,000 

 

67,954 

 

8.0%, 6/15/2010 (a)

 

 

150,000 

 

149,275 

Deutsche Telekom International Finance BV:

 
 

5.75%, 3/23/2016  

 

 

100,000 

 

98,112 

 

5.875%, 8/20/2013  

 

 

100,000 

 

101,715 

 

8.5%, 6/15/2010  

 

 

50,000 

 

52,229 

Diageo Finance BV, 5.5%, 4/1/2013 

 

 

50,000 

 

51,680 

Dow Capital BV, 9.2%, 6/1/2010 

 

 

50,000 

 

49,961 

Eksportfinans ASA, 5.0%, 2/14/2012 

 

 

100,000 

 

104,000 

ERP Operating LP, 6.625%, 3/15/2012 

 

 

125,000 

 

105,998 

European Investment Bank:

 
 

4.625%, 5/15/2014  

 

 

450,000 

 

483,814 

 

4.875%, 2/15/2036  

 

 

200,000 

 

197,188 

 

5.125%, 5/30/2017 (a)

 

 

50,000 

 

54,293 

Fifth Third Bancorp.:

 
 

4.5%, 6/1/2018  

 

 

50,000 

 

29,301 

 

5.45%, 1/15/2017  

 

 

25,000 

 

18,618 

FleetBoston Financial Corp., 6.875%, 1/15/2028 

 

 

45,000 

 

27,983 

General Electric Capital Corp.:

 
 

Series A, 4.875%, 3/4/2015 (a)

 

 

125,000 

 

110,952 

 

Series A, 5.0%, 1/8/2016 (a)

 

 

150,000 

 

130,151 

 

5.45%, 1/15/2013 (a)

 

 

450,000 

 

433,354 

 

Series A, 5.875%, 2/15/2012  

 

 

200,000 

 

198,535 

 

Series A, 6.15%, 8/7/2037  

 

 

125,000 

 

92,440 

 

Series A, 6.75%, 3/15/2032  

 

 

100,000 

 

81,090 

 

6.875%, 11/15/2010  

 

 

50,000 

 

50,727 

Genworth Financial, Inc.:

 
 

5.75%, 6/15/2014  

 

 

25,000 

 

9,002 

 

6.15%, 11/15/2066  

 

 

75,000 

 

9,780 

H.J. Heinz Finance Co.:

 
 

6.0%, 3/15/2012  

 

 

25,000 

 

26,113 

 

6.625%, 7/15/2011  

 

 

25,000 

 

26,590 

 

6.75%, 3/15/2032  

 

 

50,000 

 

47,382 

Hartford Financial Services Group, Inc.:

 
 

4.625%, 7/15/2013 (a)

 

 

50,000 

 

33,050 

 

5.95%, 10/15/2036  

 

 

25,000 

 

12,521 

HCP, Inc., (REIT), 6.0%, 1/30/2017 

 

 

50,000 

 

33,646 

HSBC Bank USA, 4.625%, 4/1/2014 (a)

 

 

50,000 

 

46,864 

HSBC Finance Corp.:

 
 

4.75%, 7/15/2013  

 

 

50,000 

 

36,857 

 

5.0%, 6/30/2015  

 

 

50,000 

 

37,050 

 

5.5%, 1/19/2016  

 

 

100,000 

 

74,997 

 

6.375%, 10/15/2011  

 

 

50,000 

 

43,226 

 

6.375%, 11/27/2012  

 

 

50,000 

 

40,373 

 

7.0%, 5/15/2012  

 

 

100,000 

 

80,270 

HSBC Holdings PLC, 6.5%, 5/2/2036 

 

 

200,000 

 

165,077 

 

 

 

ING Groep NV, 5.775%, 12/29/2049 

 

 

75,000 

 

20,625 

International Finance Corp.:

 
 

4.75%, 4/25/2012 (a)

 

 

50,000 

 

51,599 

 

5.125%, 5/2/2011  

 

 

50,000 

 

51,846 

International Lease Finance Corp.:

 
 

Series R, 5.55%, 9/5/2012  

 

 

100,000 

 

55,440 

 

Series R, 5.65%, 6/1/2014  

 

 

50,000 

 

26,052 

 

5.875%, 5/1/2013  

 

 

100,000 

 

53,621 

John Deere Capital Corp.:

 
 

4.9%, 9/9/2013  

 

 

100,000 

 

99,460 

 

7.0%, 3/15/2012 (a)

 

 

100,000 

 

106,481 

JPMorgan Chase & Co.:

 
 

5.125%, 9/15/2014  

 

 

50,000 

 

44,234 

 

6.0%, 1/15/2018  

 

 

100,000 

 

101,008 

 

6.125%, 6/27/2017 (a)

 

 

50,000 

 

45,999 

 

6.75%, 2/1/2011  

 

 

100,000 

 

101,939 

JPMorgan Chase Bank NA, 5.875%, 6/13/2016 

 

 

250,000 

 

233,893 

JPMorgan Chase Capital XV, 5.875%, 3/15/2035 

 

 

225,000 

 

131,945 

KeyBank NA, 5.45%, 3/3/2016 

 

 

25,000 

 

20,981 

Korea Development Bank, 4.625%, 9/16/2010 

 

 

100,000 

 

98,372 

Kreditanstalt fuer Wiederaufbau:

 
 

Zero Coupon, 6/29/2037  

 

 

500,000 

 

127,080 

 

3.25%, 3/15/2013 (a)

 

 

350,000 

 

356,268 

 

4.125%, 10/15/2014 (a)

 

 

150,000 

 

158,455 

 

4.25%, 6/15/2010  

 

 

110,000 

 

112,553 

 

7.0%, 3/1/2013  

 

 

275,000 

 

311,809 

Landwirtschaftliche Rentenbank, 5.125%, 2/1/2017 

 

 

100,000 

 

107,938 

M&T Bank Corp., 5.375%, 5/24/2012 

 

 

25,000 

 

23,519 

Marsh & McLennan Companies, Inc., 5.375%, 7/15/2014 

 

 

50,000 

 

44,089 

Mellon Funding Corp., 5.0%, 12/1/2014 

 

 

50,000 

 

47,917 

Merrill Lynch & Co., Inc.:

 
 

Series C, 4.79%, 8/4/2010  

 

 

50,000 

 

45,460 

 

5.0%, 2/3/2014  

 

 

25,000 

 

19,274 

 

Series C, 5.0%, 1/15/2015  

 

 

25,000 

 

19,197 

 

Series C, 5.45%, 2/5/2013  

 

 

100,000 

 

81,976 

 

Series C, 6.05%, 8/15/2012  

 

 

200,000 

 

171,611 

 

6.22%, 9/15/2026  

 

 

50,000 

 

24,681 

 

Series C, 6.4%, 8/28/2017  

 

 

50,000 

 

35,870 

 

6.5%, 7/15/2018  

 

 

50,000 

 

37,447 

MetLife, Inc.:

 
 

5.0%, 6/15/2015  

 

 

100,000 

 

82,277 

 

6.125%, 12/1/2011  

 

 

25,000 

 

24,780 

 

6.4%, 12/15/2036  

 

 

25,000 

 

10,500 

Morgan Stanley:

 
 

4.75%, 4/1/2014  

 

 

500,000 

 

408,788 

 

5.3%, 3/1/2013 (a)

 

 

100,000 

 

96,156 

 

5.45%, 1/9/2017  

 

 

100,000 

 

87,500 

 

Series F, 6.0%, 4/28/2015  

 

 

50,000 

 

47,206 

 

6.6%, 4/1/2012  

 

 

100,000 

 

100,450 

National Australia Bank Ltd., Series A, 8.6%, 5/19/2010 

 

 

50,000 

 

51,305 

National City Corp., 4.9%, 1/15/2015 (a)

 

 

100,000 

 

91,997 

National Rural Utilities Cooperative Finance Corp., Series C, 8.0%, 3/1/2032 

 

 

100,000 

 

92,436 

Nationwide Financial Services, 5.9%, 7/1/2012 

 

 

25,000 

 

22,777 

NiSource Finance Corp.:

 
 

5.25%, 9/15/2017  

 

 

75,000 

 

55,907 

 

5.45%, 9/15/2020  

 

 

75,000 

 

54,955 

Nordic Investment Bank, 5.0%, 2/1/2017 

 

 

150,000 

 

169,824 

 

 

 

Novartis Securities Investment Ltd., 5.125%, 2/10/2019 

 

 

100,000 

 

101,532 

Oesterreichische Kontrollbank AG:

 
 

4.5%, 3/9/2015  

 

 

150,000 

 

160,627 

 

4.75%, 10/16/2012  

 

 

100,000 

 

107,470 

OneBeacon US Holdings, Inc., 5.875%, 5/15/2013 

 

 

50,000 

 

38,387 

Ontario Electricity Financial Corp., 7.45%, 3/31/2013 

 

 

50,000 

 

57,342 

Principal Life Income Funding Trust, 5.1%, 4/15/2014 

 

 

25,000 

 

23,271 

ProLogis (REIT):

 
 

5.5%, 3/1/2013 (a)

 

 

20,000 

 

11,841 

 

5.75%, 4/1/2016 (a)

 

 

25,000 

 

13,739 

Protective Life Secured Trust, Series 2004-A, 4.0%, 4/1/2011 (a)

 

 

25,000 

 

23,207 

Prudential Financial, Inc.:

 
 

Series B, 5.1%, 9/20/2014 (a)

 

 

100,000 

 

74,877 

 

Series B, 5.75%, 7/15/2033 (a)

 

 

25,000 

 

12,383 

 

Series D, 6.625%, 12/1/2037  

 

 

50,000 

 

27,060 

Regions Financial Corp., 6.375%, 5/15/2012 

 

 

50,000 

 

45,878 

Royal Bank of Canada, 5.65%, 7/20/2011 

 

 

50,000 

 

53,276 

Royal Bank of Scotland Group PLC, 5.05%, 1/8/2015 

 

 

100,000 

 

65,651 

Santander Central Hispano Issuances Ltd., 7.625%, 9/14/2010 

 

 

50,000 

 

48,865 

Shell International Finance BV, 6.375%, 12/15/2038 

 

 

100,000 

 

105,302 

Simon Property Group LP (REIT):

 
 

5.1%, 6/15/2015  

 

 

50,000 

 

38,188 

 

5.25%, 12/1/2016  

 

 

100,000 

 

74,486 

 

6.35%, 8/28/2012  

 

 

100,000 

 

85,674 

SLM Corp., Series A, 5.0%, 10/1/2013 

 

 

25,000 

 

13,294 

Svensk Exportkredit AB:

 
 

Series C, 4.0%, 6/15/2010  

 

 

100,000 

 

102,348 

 

Series D, 4.875%, 9/29/2011  

 

 

100,000 

 

105,231 

Swiss Re Insurance Solutions Holding Corp., 6.45%, 3/1/2019 

 

 

50,000 

 

43,900 

The Goldman Sachs Group, Inc.:

 
 

5.125%, 1/15/2015  

 

 

125,000 

 

112,641 

 

5.15%, 1/15/2014  

 

 

100,000 

 

91,266 

 

5.625%, 1/15/2017  

 

 

25,000 

 

19,474 

 

6.125%, 2/15/2033 (a)

 

 

50,000 

 

41,641 

 

6.15%, 4/1/2018  

 

 

50,000 

 

45,671 

 

6.25%, 9/1/2017  

 

 

200,000 

 

185,336 

 

6.6%, 1/15/2012  

 

 

100,000 

 

99,866 

 

6.75%, 10/1/2037  

 

 

400,000 

 

270,536 

 

6.875%, 1/15/2011  

 

 

50,000 

 

50,527 

The International Bank for Reconstruction & Development:

 
 

4.75%, 2/15/2035  

 

 

25,000 

 

24,637 

 

5.0%, 4/1/2016  

 

 

50,000 

 

54,395 

 

8.625%, 10/15/2016  

 

 

100,000 

 

137,209 

The Travelers Companies, Inc.:

 
 

6.25%, 6/15/2037  

 

 

50,000 

 

45,748 

 

6.75%, 6/20/2036  

 

 

50,000 

 

48,279 

UBS AG Stamford Branch:

 
 

Series 10, 5.875%, 7/15/2016  

 

 

50,000 

 

38,942 

 

5.875%, 12/20/2017  

 

 

125,000 

 

107,511 

UFJ Finance Aruba AEC, 6.75%, 7/15/2013 

 

 

150,000 

 

154,330 

US Bank NA, 6.375%, 8/1/2011 

 

 

100,000 

 

105,023 

Verizon Global Funding Corp.:

 
 

7.75%, 12/1/2030  

 

 

100,000 

 

101,886 

 

7.75%, 6/15/2032  

 

 

100,000 

 

101,388 

Verizon Wireless Capital LLC, 144A, 8.5%, 11/15/2018 

 

 

200,000 

 

228,464 

Wachovia Bank NA:

 
 

4.875%, 2/1/2015  

 

 

75,000 

 

61,622 

 

 

 

 

5.0%, 8/15/2015  

 

 

200,000 

 

170,436 

Wachovia Corp.:

 
 

4.875%, 2/15/2014  

 

 

50,000 

 

41,983 

 

5.25%, 8/1/2014  

 

 

50,000 

 

41,515 

 

5.625%, 10/15/2016  

 

 

100,000 

 

77,092 

 

5.75%, 6/15/2017  

 

 

50,000 

 

44,620 

Wells Fargo & Co.:

 
 

4.625%, 4/15/2014  

 

 

100,000 

 

86,278 

 

4.95%, 10/16/2013  

 

 

50,000 

 

44,277 

 

5.0%, 11/15/2014  

 

 

50,000 

 

41,660 

 

5.125%, 9/15/2016  

 

 

50,000 

 

41,182 

 

5.375%, 2/7/2035  

 

 

150,000 

 

110,891 

Wells Fargo Bank NA:

 
 

6.45%, 2/1/2011  

 

 

75,000 

 

73,487 

 

7.55%, 6/21/2010 (a)

 

 

200,000 

 

201,463 

Wells Fargo Financial, Inc., 5.5%, 8/1/2012 (a)

 

 

25,000 

 

24,219 

Western Union Co.:

 
 

5.93%, 10/1/2016 (a)

 

 

50,000 

 

46,353 

 

6.2%, 11/17/2036  

 

 

25,000 

 

19,970 

 

**16,854,061**

**Health Care 1.0%**

 
Abbott Laboratories:

 
 

5.15%, 11/30/2012  

 

 

150,000 

 

162,942 

 

6.15%, 11/30/2037  

 

 

50,000 

 

51,084 

Aetna, Inc., 6.625%, 6/15/2036 

 

 

50,000 

 

41,253 

Amgen, Inc.:

 
 

4.85%, 11/18/2014 (a)

 

 

25,000 

 

25,624 

 

5.85%, 6/1/2017  

 

 

125,000 

 

128,000 

AstraZeneca PLC, 5.9%, 9/15/2017 

 

 

150,000 

 

158,825 

Baxter International, Inc., 4.625%, 3/15/2015 

 

 

25,000 

 

25,420 

Bristol-Myers Squibb Co.:

 
 

5.25%, 8/15/2013 (a)

 

 

50,000 

 

52,972 

 

5.875%, 11/15/2036  

 

 

50,000 

 

47,733 

Cardinal Health, Inc., 6.0%, 6/15/2017 

 

 

75,000 

 

69,097 

Covidien International Finance SA:

 
 

6.0%, 10/15/2017  

 

 

75,000 

 

76,067 

 

6.55%, 10/15/2037  

 

 

25,000 

 

24,619 

Genentech, Inc., 4.75%, 7/15/2015 

 

 

50,000 

 

49,974 

GlaxoSmithKline Capital, Inc.:

 
 

4.85%, 5/15/2013  

 

 

100,000 

 

104,040 

 

6.375%, 5/15/2038  

 

 

100,000 

 

100,986 

Johnson & Johnson:

 
 

5.55%, 8/15/2017  

 

 

100,000 

 

111,376 

 

6.95%, 9/1/2029  

 

 

50,000 

 

59,930 

McKesson Corp., 5.7%, 3/1/2017 

 

 

75,000 

 

70,976 

Medco Health Solutions, Inc., 7.125%, 3/15/2018 

 

 

25,000 

 

24,812 

Medtronic, Inc., Series B, 4.75%, 9/15/2015 

 

 

25,000 

 

24,892 

Pfizer, Inc., 6.2%, 3/15/2019 

 

 

100,000 

 

106,572 

Pharmacia Corp., 6.6%, 12/1/2028 

 

 

75,000 

 

77,336 

Quest Diagnostics, Inc., 6.95%, 7/1/2037 

 

 

25,000 

 

21,530 

Schering-Plough Corp.:

 
 

5.55%, 12/1/2013  

 

 

50,000 

 

52,551 

 

6.75%, 12/1/2033  

 

 

25,000 

 

26,012 

UnitedHealth Group, Inc.:

 
 

4.875%, 4/1/2013  

 

 

25,000 

 

24,290 

 

5.0%, 8/15/2014  

 

 

150,000 

 

145,278 

 

 

 

WellPoint, Inc., 6.375%, 1/15/2012 (a)

 

 

100,000 

 

102,553 

Wyeth:

 
 

5.5%, 2/15/2016  

 

 

50,000 

 

50,854 

 

5.95%, 4/1/2037  

 

 

150,000 

 

141,260 

 

**2,158,858**

**Industrials 1.2%**

 
3M Co., 5.7%, 3/15/2037 (a)

 

 

25,000 

 

25,423 

Archer-Daniels-Midland Co., 5.935%, 10/1/2032 

 

 

75,000 

 

70,187 

Boeing Co., 5.125%, 2/15/2013 (a)

 

 

50,000 

 

51,486 

Burlington Northern Santa Fe Corp., 5.9%, 7/1/2012 

 

 

100,000 

 

104,417 

Canadian National Railway Co.:

 
 

4.4%, 3/15/2013  

 

 

100,000 

 

100,762 

 

6.375%, 11/15/2037  

 

 

50,000 

 

52,758 

Caterpillar, Inc., 7.3%, 5/1/2031 

 

 

120,000 

 

116,414 

CRH America, Inc., 5.3%, 10/15/2013 

 

 

100,000 

 

76,125 

CSX Corp.:

 
 

6.0%, 10/1/2036  

 

 

100,000 

 

70,235 

 

6.15%, 5/1/2037  

 

 

50,000 

 

35,346 

Danaher Corp., 5.625%, 1/15/2018 

 

 

50,000 

 

51,337 

Federal Express Corp., 9.65%, 6/15/2012 

 

 

50,000 

 

54,604 

General Dynamics Corp., 5.375%, 8/15/2015 (a)

 

 

100,000 

 

104,999 

General Electric Co., 5.0%, 2/1/2013 

 

 

200,000 

 

200,022 

Honeywell International, Inc.:

 
 

5.3%, 3/15/2017  

 

 

50,000 

 

50,895 

 

5.7%, 3/15/2036 (a)

 

 

50,000 

 

48,526 

 

5.7%, 3/15/2037  

 

 

25,000 

 

24,252 

Lockheed Martin Corp., Series B, 6.15%, 9/1/2036 

 

 

75,000 

 

75,792 

M.D.C. Holdings, Inc., 5.375%, 7/1/2015 

 

 

25,000 

 

21,149 

Norfolk Southern Corp.:

 
 

5.64%, 5/17/2029  

 

 

96,000 

 

83,773 

 

7.8%, 5/15/2027  

 

 

4,000 

 

4,190 

Norfolk Southern Railway Co., 9.75%, 6/15/2020 

 

 

40,000 

 

46,281 

Northrop Grumman Systems Corp.:

 
 

7.125%, 2/15/2011  

 

 

100,000 

 

106,703 

 

7.75%, 2/15/2031  

 

 

50,000 

 

60,435 

Raytheon Co., 7.2%, 8/15/2027 

 

 

75,000 

 

82,526 

Tyco International Ltd., 6.875%, 1/15/2021 

 

 

50,000 

 

41,809 

Union Pacific Corp.:

 
 

5.75%, 11/15/2017  

 

 

25,000 

 

23,867 

 

6.65%, 1/15/2011  

 

 

50,000 

 

52,117 

 

7.0%, 2/1/2016  

 

 

50,000 

 

52,257 

United Parcel Service of America, Inc., 8.375%, 4/1/2020 

 

 

50,000 

 

61,555 

United Technologies Corp.:

 
 

4.875%, 5/1/2015  

 

 

50,000 

 

52,393 

 

6.1%, 5/15/2012 (a)

 

 

50,000 

 

53,612 

 

6.35%, 3/1/2011  

 

 

25,000 

 

26,644 

 

7.125%, 11/15/2010  

 

 

50,000 

 

53,602 

Waste Management, Inc.:

 
 

7.0%, 7/15/2028  

 

 

50,000 

 

44,360 

 

7.1%, 8/1/2026  

 

 

100,000 

 

90,157 

Xerox Corp.:

 
 

5.5%, 5/15/2012  

 

 

50,000 

 

43,304 

 

6.75%, 2/1/2017  

 

 

100,000 

 

76,375 

 

**2,390,689**

 

 

 

**Information Technology 0.5%**

 
Cisco Systems, Inc., 5.5%, 2/22/2016 

 

 

150,000 

 

158,720 

Fiserv, Inc., 6.125%, 11/20/2012 

 

 

75,000 

 

74,201 

 

 

 

 

 

 

Hewlett-Packard Co.:

 
 

4.5%, 3/1/2013  

 

 

50,000 

 

51,419 

 

4.75%, 6/2/2014  

 

 

100,000 

 

101,093 

 

6.5%, 7/1/2012 (a)

 

 

50,000 

 

54,031 

International Business Machines Corp.:

 
 

4.75%, 11/29/2012  

 

 

100,000 

 

105,991 

 

5.7%, 9/14/2017  

 

 

50,000 

 

51,794 

 

6.5%, 1/15/2028  

 

 

125,000 

 

128,132 

Motorola, Inc., 7.625%, 11/15/2010 

 

 

8,000 

 

7,602 

Oracle Corp.:

 
 

4.95%, 4/15/2013  

 

 

75,000 

 

79,259 

 

5.25%, 1/15/2016 (a)

 

 

100,000 

 

101,963 

 

6.5%, 4/15/2038  

 

 

50,000 

 

49,869 

Pitney Bowes, Inc., 3.875%, 6/15/2013 

 

 

100,000 

 

97,515 

 

**1,061,589**

**Materials 0.4%**

 
Alcoa, Inc.:

 
 

5.9%, 2/1/2027  

 

 

25,000 

 

14,007 

 

5.95%, 2/1/2037  

 

 

75,000 

 

43,565 

 

6.0%, 1/15/2012 (a)

 

 

25,000 

 

21,791 

 

7.375%, 8/1/2010 (a)

 

 

100,000 

 

100,054 

Dow Chemical Co., 6.0%, 10/1/2012 

 

 

100,000 

 

85,878 

E.I. du Pont de Nemours & Co., 6.0%, 7/15/2018 

 

 

175,000 

 

175,722 

Monsanto Co., 5.5%, 8/15/2025 

 

 

25,000 

 

23,459 

Praxair, Inc., 3.95%, 6/1/2013 

 

 

50,000 

 

50,049 

Rio Tinto Alcan, Inc.:

 
 

4.5%, 5/15/2013  

 

 

100,000 

 

84,547 

 

4.875%, 9/15/2012  

 

 

10,000 

 

8,906 

 

5.2%, 1/15/2014  

 

 

25,000 

 

21,076 

 

6.125%, 12/15/2033  

 

 

50,000 

 

33,542 

United States Steel Corp., 6.65%, 6/1/2037 

 

 

25,000 

 

14,122 

Vale Overseas Ltd.:

 
 

6.25%, 1/23/2017 (a)

 

 

50,000 

 

49,280 

 

6.875%, 11/21/2036  

 

 

100,000 

 

86,354 

Weyerhaeuser Co., 6.75%, 3/15/2012 

 

 

150,000 

 

144,284 

 

**956,636**

**Telecommunication Services 1.2%**

 
America Movil SAB de CV, 6.125%, 11/15/2037 (a)

 

 

100,000 

 

77,000 

Ameritech Capital Funding Corp., 6.55%, 1/15/2028 

 

 

100,000 

 

87,522 

AT&T Mobility LLC, 6.5%, 12/15/2011 

 

 

75,000 

 

79,044 

AT&T, Inc.:

 
 

5.1%, 9/15/2014  

 

 

25,000 

 

25,084 

 

5.6%, 5/15/2018 (a)

 

 

200,000 

 

194,621 

 

5.8%, 2/15/2019  

 

 

100,000 

 

97,893 

 

5.875%, 8/15/2012  

 

 

150,000 

 

158,150 

 

6.8%, 5/15/2036  

 

 

50,000 

 

47,228 

 

8.0%, 11/15/2031  

 

 

20,000 

 

21,724 

BellSouth Corp.:

 
 

5.2%, 9/15/2014  

 

 

100,000 

 

100,572 

 

6.0%, 11/15/2034  

 

 

100,000 

 

89,572 

British Telecommunications PLC:

 
 

5.95%, 1/15/2018  

 

 

50,000 

 

40,694 

 

8.625%, 12/15/2010  

 

 

50,000 

 

52,036 

 

 

 

 

9.125%, 12/15/2030  

 

 

70,000 

 

63,624 

Embarq Corp.:

 
 

7.082%, 6/1/2016  

 

 

75,000 

 

67,500 

 

7.995%, 6/1/2036  

 

 

25,000 

 

18,750 

 

 

 

 

 

 

 

France Telecom SA:

 
 

7.75%, 3/1/2011  

 

 

75,000 

 

80,324 

 

8.5%, 3/1/2031  

 

 

75,000 

 

94,560 

Koninklijke (Royal) KPN NV:

 
 

8.0%, 10/1/2010  

 

 

25,000 

 

25,864 

 

8.375%, 10/1/2030  

 

 

50,000 

 

51,804 

Motorola, Inc., 7.5%, 5/15/2025 

 

 

50,000 

 

32,650 

New Cingular Wireless Services, Inc., 7.875%, 3/1/2011 

 

 

100,000 

 

106,851 

Telecom Italia Capital SA:

 
 

5.25%, 10/1/2015  

 

 

175,000 

 

147,552 

 

6.375%, 11/15/2033  

 

 

75,000 

 

54,646 

Telefonica Emisiones SAU, 6.421%, 6/20/2016 

 

 

125,000 

 

129,242 

Telefonica Europe BV, 7.75%, 9/15/2010 

 

 

125,000 

 

130,533 

Verizon Communications, Inc., 5.55%, 2/15/2016 

 

 

100,000 

 

98,393 

Verizon New York, Inc., Series A, 6.875%, 4/1/2012 

 

 

25,000 

 

25,606 

Verizon Virginia, Inc., Series A, 4.625%, 3/15/2013 

 

 

100,000 

 

97,004 

Vodafone Group PLC:

 
 

5.0%, 9/15/2015  

 

 

50,000 

 

48,693 

 

6.15%, 2/27/2037  

 

 

125,000 

 

117,860 

 

**2,462,596**

**Utilities 1.4%**

 
American Electric Power Co., Inc., 5.25%, 6/1/2015 

 

 

100,000 

 

93,554 

Arizona Public Service Co., 6.5%, 3/1/2012 

 

 

75,000 

 

74,842 

Atmos Energy Corp., 4.95%, 10/15/2014 

 

 

25,000 

 

22,230 

CenterPoint Energy Houston Electric LLC, Series J2, 5.7%, 3/15/2013 (a)

 

 

100,000 

 

101,840 

Cleveland Electric Illuminating Co.:

 
 

5.7%, 4/1/2017  

 

 

100,000 

 

88,847 

 

Series D, 7.88%, 11/1/2017  

 

 

75,000 

 

78,040 

Commonwealth Edison Co., Series 106, 6.15%, 9/15/2017 

 

 

100,000 

 

95,032 

Consolidated Edison Co. of New York:

 
 

4.875%, 2/1/2013  

 

 

50,000 

 

50,165 

 

6.2%, 6/15/2036 (a)

 

 

125,000 

 

114,022 

Constellation Energy Group, 4.55%, 6/15/2015 

 

 

30,000 

 

24,647 

Detroit Edison Co., 5.7%, 10/1/2037 

 

 

50,000 

 

43,003 

Dominion Resources, Inc., Series C, 5.15%, 7/15/2015 

 

 

50,000 

 

47,959 

DTE Energy Co., 7.05%, 6/1/2011 

 

 

50,000 

 

50,482 

Duke Energy Carolinas LLC, 5.3%, 10/1/2015 

 

 

75,000 

 

77,510 

Duke Energy Indiana, Inc., 5.0%, 9/15/2013 

 

 

100,000 

 

99,887 

Emerson Electric Co., 4.75%, 10/15/2015 (a)

 

 

75,000 

 

76,340 

Exelon Corp.:

 
 

5.625%, 6/15/2035  

 

 

25,000 

 

16,700 

 

6.75%, 5/1/2011  

 

 

50,000 

 

50,663 

Florida Power & Light Co.:

 
 

4.95%, 6/1/2035  

 

 

50,000 

 

43,885 

 

5.65%, 2/1/2037  

 

 

50,000 

 

48,697 

Hydro-Quebec:

 
 

Series JL, 6.3%, 5/11/2011  

 

 

50,000 

 

53,757 

 

Series HY, 8.4%, 1/15/2022  

 

 

100,000 

 

138,541 

KeySpan Corp., 8.0%, 11/15/2030 (a)

 

 

50,000 

 

47,209 

MidAmerican Energy Co., 5.3%, 3/15/2018 

 

 

100,000 

 

97,318 

MidAmerican Energy Holdings Co.:

 
 

 

 

 

5.875%, 10/1/2012  

 

 

25,000 

 

25,954 

 

6.125%, 4/1/2036  

 

 

50,000 

 

44,341 

 

6.5%, 9/15/2037  

 

 

100,000 

 

92,477 

Nevada Power Co., Series N, 6.65%, 4/1/2036 

 

 

25,000 

 

20,884 

NSTAR Electric Co., 4.875%, 4/15/2014 

 

 

25,000 

 

26,071 

Pacific Gas & Electric Co., 6.05%, 3/1/2034 

 

 

150,000 

 

146,782 

PPL Energy Supply LLC, 5.4%, 8/15/2014 

 

 

100,000 

 

94,306 

Progress Energy, Inc.:

 
 

6.85%, 4/15/2012  

 

 

35,000 

 

36,317 

 

7.1%, 3/1/2011  

 

 

42,000 

 

43,541 

PSE&G Power LLC, 5.5%, 12/1/2015 

 

 

50,000 

 

45,966 

Public Service Co. of Colorado, 4.875%, 3/1/2013 (a)

 

 

75,000 

 

77,138 

Puget Sound Energy, Inc., 5.483%, 6/1/2035 

 

 

25,000 

 

18,530 

SCANA Corp.:

 
 

6.25%, 2/1/2012  

 

 

60,000 

 

59,951 

 

6.875%, 5/15/2011  

 

 

25,000 

 

25,722 

Scottish Power PLC, 5.375%, 3/15/2015 

 

 

150,000 

 

135,344 

Sempra Energy, 6.0%, 2/1/2013 

 

 

25,000 

 

25,400 

Sierra Pacific Power Co., 5.45%, 9/1/2013 (a)

 

 

50,000 

 

48,798 

Southern California Edison Co.:

 
 

6.0%, 1/15/2034  

 

 

50,000 

 

49,867 

 

6.65%, 4/1/2029  

 

 

100,000 

 

103,140 

Southern California Gas Co., 5.75%, 11/15/2035 (a)

 

 

50,000 

 

49,193 

Southern Power Co., Series B, 6.25%, 7/15/2012 

 

 

25,000 

 

25,874 

Southern Union Co., 8.25%, 11/15/2029 

 

 

50,000 

 

39,467 

United Utilities PLC, 5.375%, 2/1/2019 (a)

 

 

30,000 

 

26,602 

Wisconsin Energy Corp., 6.5%, 4/1/2011 

 

 

50,000 

 

52,073 

Xcel Energy, Inc., 6.5%, 7/1/2036 (a)

 

 

75,000 

 

66,570 

 

**3,015,478**

**Total Corporate Bonds** (Cost $40,616,548)

 

**37,178,226**

 

**Asset-Backed 0.7%**

 
**Automobile Receivables 0.2%**

 
Chase Manhattan Auto Owner Trust, "A4", Series 2006-B, 5.11%, 4/15/2014 

 

 

100,000 

 

102,151 

Daimler Chrysler Auto Trust, "A4", Series 2006-C, 4.98%, 11/8/2011 

 

 

100,000 

 

99,481 

USAA Auto Owner Trust, "A4", Series 2007-1, 5.55%, 2/15/2013 

 

 

250,000 

 

257,753 

 

**459,385**

**Credit Card Receivables 0.4%**

 
Capital One Multi-Asset Execution Trust, "A7", Series 2005-A7, 4.7%, 6/15/2015 

 

 

100,000 

 

94,166 

Chase Issuance Trust:

 
 

"A4", Series 2005-A4, 4.23%, 1/15/2013  

 

 

50,000 

 

50,170 

 

"A", Series 2007-A15, 4.96%, 9/17/2012  

 

 

100,000 

 

101,270 

Citibank Credit Card Issuance Trust:

 
 

"A7", Series 2005-A7, 4.75%, 10/22/2012  

 

 

100,000 

 

100,757 

 

"A10", Series 2003-A10, 4.75%, 12/10/2015  

 

 

100,000 

 

96,456 

 

"A8", Series 2004-A8, 4.9%, 12/12/2016  

 

 

100,000 

 

95,180 

 

"A8", Series 2007-A8, 5.65%, 9/20/2019  

 

 

200,000 

 

190,192 

 

**728,191**

**Home Equity Loans 0.0%**

 
Chase Funding Mortgage Loan Asset-Backed Certificates, "1A4", Series 2004-2, 5.323%, 2/25/2035 

 

 

69,203 

 

51,883 

Countrywide Asset-Backed Certificates, "AF3", Series 2005-1, 4.575%, 7/25/2035 

 

 

9,298 

 

8,710 

 

**60,593**

 

 

 

**Miscellaneous 0.1%**

 
CenterPoint Energy Transition Bond Co., LLC, "A4", Series 2005-A, 5.17%, 8/1/2019 

 

 

100,000 

 

104,553 

Oncor Electric Delivery Transition Bond Co., "A3", Series 2003-1, 4.95%, 2/15/2015 

 

 

100,000 

 

104,827 

 

**209,380**

**Total Asset-Backed** (Cost $1,494,597)

 

**1,457,549**

 

**Government & Agency Obligations 36.1%**

 
**Sovereign Bonds 1.1%**

 
Federal Republic of Brazil:

 
 

8.875%, 10/14/2019  

 

 

100,000 

 

117,500 

 

8.875%, 4/15/2024  

 

 

100,000 

 

115,250 

 

11.0%, 8/17/2040  

 

 

300,000 

 

381,000 

Province of Nova Scotia, 5.75%, 2/27/2012 

 

 

50,000 

 

53,822 

Province of Ontario:

 
 

4.375%, 2/15/2013  

 

 

100,000 

 

105,251 

 

4.5%, 2/3/2015  

 

 

150,000 

 

155,552 

 

4.95%, 11/28/2016  

 

 

25,000 

 

26,745 

Province of Quebec:

 
 

4.625%, 5/14/2018 (a)

 

 

50,000 

 

49,700 

 

5.125%, 11/14/2016  

 

 

50,000 

 

51,687 

 

Series NN, 7.125%, 2/9/2024  

 

 

100,000 

 

119,506 

 

Series PD, 7.5%, 9/15/2029  

 

 

100,000 

 

128,895 

Republic of Italy:

 
 

4.5%, 1/21/2015  

 

 

250,000 

 

250,669 

 

5.375%, 6/12/2017  

 

 

50,000 

 

50,620 

 

5.375%, 6/15/2033  

 

 

100,000 

 

93,883 

 

6.875%, 9/27/2023  

 

 

200,000 

 

228,073 

Republic of Korea, 5.125%, 12/7/2016 

 

 

100,000 

 

92,717 

United Mexican States:

 
 

6.375%, 1/16/2013  

 

 

350,000 

 

369,250 

 

Series A, 6.75%, 9/27/2034  

 

 

41,000 

 

38,614 

 

**2,428,734**

**US Government Sponsored Agencies 9.2%**

 
Federal Home Loan Bank:

 
 

3.875%, 6/14/2013 (a)

 

 

1,000,000 

 

1,061,897 

 

4.5%, 11/15/2012 (a)

 

 

1,000,000 

 

1,081,697 

 

4.875%, 5/14/2010  

 

 

5,000,000 

 

5,213,520 

 

5.375%, 8/19/2011  

 

 

1,000,000 

 

1,082,583 

Federal Home Loan Mortgage Corp.:

 
 

4.125%, 7/12/2010  

 

 

1,000,000 

 

1,041,039 

 

4.5%, 1/15/2013  

 

 

500,000 

 

543,088 

 

6.75%, 9/15/2029  

 

 

3,000 

 

3,966 

Federal National Mortgage Association:

 
 

4.875%, 5/18/2012  

 

 

1,300,000 

 

1,416,531 

 

5.0%, 5/11/2017 (a)

 

 

1,000,000 

 

1,109,631 

 

6.25%, 5/15/2029 (a)

 

 

1,350,000 

 

1,689,177 

 

7.125%, 1/15/2030  

 

 

50,000 

 

68,702 

 

7.25%, 5/15/2030 (a)

 

 

650,000 

 

907,416 

JPMorgan Chase & Co., FDIC Guaranteed, 1.65%, 2/23/2011 

 

 

2,000,000 

 

2,008,384 

The Goldman Sachs Group, Inc., FDIC Guaranteed, 1.625%, 7/15/2011 

 

 

2,000,000 

 

2,001,462 

 

**19,229,093**

**US Treasury Obligations 25.8%**

 
US Treasury Bonds:

 
 

4.375%, 2/15/2038 (a)

 

 

565,000 

 

641,805 

 

4.5%, 2/15/2036 (a)

 

 

50,000 

 

57,609 

 

 

 

 

4.5%, 5/15/2038 (a)

 

 

2,450,000 

 

2,860,375 

 

6.0%, 2/15/2026 (a)

 

 

385,000 

 

507,238 

 

7.25%, 8/15/2022 (a)

 

 

415,000 

 

586,188 

 

7.625%, 11/15/2022 (a)

 

 

90,000 

 

131,400 

 

7.875%, 2/15/2021 (a)

 

 

300,000 

 

435,047 

 

8.0%, 11/15/2021 (a)

 

 

565,000 

 

836,024 

 

8.75%, 5/15/2020 (a)

 

 

300,000 

 

456,844 

 

8.75%, 8/15/2020 (a)

 

 

450,000 

 

686,531 

US Treasury Notes:

 
 

1.125%, 12/15/2011  

 

 

3,000,000 

 

3,007,734 

 

1.125%, 1/15/2012  

 

 

4,000,000 

 

4,002,500 

 

1.375%, 2/15/2012 (a)

 

 

2,000,000 

 

2,016,250 

 

1.5%, 12/31/2013 (a)

 

 

1,000,000 

 

997,500 

 

1.75%, 11/15/2011 (a)

 

 

1,000,000 

 

1,019,380 

 

1.875%, 2/28/2014 (a)

 

 

4,000,000 

 

4,043,760 

 

2.625%, 2/29/2016 (a)

 

 

1,750,000 

 

1,794,707 

 

2.75%, 2/28/2013 (a)

 

 

500,000 

 

526,875 

 

2.75%, 2/15/2019 (a)

 

 

1,750,000 

 

1,759,572 

 

3.125%, 9/30/2013 (a)

 

 

2,500,000 

 

2,677,345 

 

3.5%, 2/15/2018 (a)

 

 

2,500,000 

 

2,682,812 

 

3.625%, 12/31/2012  

 

 

500,000 

 

541,914 

 

3.75%, 11/15/2018 (a)

 

 

1,175,000 

 

1,280,844 

 

3.875%, 9/15/2010  

 

 

1,500,000 

 

1,571,309 

 

4.0%, 8/15/2018  

 

 

600,000 

 

666,750 

 

4.25%, 1/15/2011 (a)

 

 

2,700,000 

 

2,872,546 

 

4.25%, 9/30/2012 (a)

 

 

400,000 

 

440,281 

 

4.25%, 11/15/2013  

 

 

2,950,000 

 

3,308,148 

 

4.5%, 11/15/2010  

 

 

1,000,000 

 

1,062,734 

 

4.5%, 4/30/2012 (a)

 

 

250,000 

 

274,844 

 

4.5%, 11/15/2015 (a)

 

 

1,480,000 

 

1,716,338 

 

4.5%, 2/15/2016 (a)

 

 

660,000 

 

761,475 

 

4.5%, 5/15/2017  

 

 

1,140,000 

 

1,312,514 

 

4.625%, 2/29/2012 (a)

 

 

500,000 

 

550,469 

 

4.625%, 2/15/2017 (a)

 

 

1,250,000 

 

1,452,344 

 

4.875%, 6/30/2012 (a)

 

 

1,500,000 

 

1,673,437 

 

4.875%, 8/15/2016 (a)

 

 

2,425,000 

 

2,853,354 

 

**54,066,797**

**Total Government & Agency Obligations** (Cost $71,686,788)

 

**75,724,624**

 

**Mortgage-Backed Securities Pass-Throughs 38.5%**

 
Federal Home Loan Mortgage Corp.:

 
 

4.0%, 1/1/2020  

 

 

665,934 

 

680,788 

 

4.286% *, 3/1/2035  

 

 

98,895 

 

100,438 

 

4.416% *, 12/1/2033  

 

 

76,835 

 

77,938 

 

4.5%, with various maturities from 1/1/2020 until 3/1/2037 (b) 

 

 

2,694,332 

 

2,770,573 

 

4.528% *, 3/1/2035  

 

 

28,841 

 

29,346 

 

4.634% *, 7/1/2035  

 

 

186,235 

 

190,756 

 

4.695% *, 4/1/2035  

 

 

103,680 

 

105,480 

 

4.833% *, 9/1/2035  

 

 

247,778 

 

254,773 

 

4.865% *, 11/1/2035  

 

 

101,736 

 

104,403 

 

4.885% *, 12/1/2034  

 

 

91,108 

 

94,015 

 

5.0%, with various maturities from 12/1/2017 until 6/1/2036 (b) 

 

 

4,933,302 

 

5,106,182 

 

5.125% *, 6/1/2035  

 

 

133,127 

 

138,041 

 

5.218% *, 9/1/2035  

 

 

59,464 

 

60,921 

 

5.241% *, 12/1/2035  

 

 

283,248 

 

290,833 

 

 

 

 

5.246% *, 4/1/2037  

 

 

251,923 

 

256,986 

 

5.406% *, 11/1/2035  

 

 

149,420 

 

153,209 

 

5.5%, with various maturities from 11/1/2013 until 1/1/2038 (b) 

 

 

8,092,074 

 

8,416,650 

 

5.509% *, 1/1/2037  

 

 

77,890 

 

80,708 

 

5.523% *, 5/1/2037  

 

 

74,241 

 

76,466 

 

5.649% *, 4/1/2036  

 

 

72,910 

 

75,745 

 

5.703% *, 4/1/2037  

 

 

177,798 

 

183,879 

 

5.712% *, 5/1/2037  

 

 

96,626 

 

100,284 

 

5.72% *, 4/1/2036  

 

 

183,373 

 

188,848 

 

5.838% *, 4/1/2037  

 

 

81,629 

 

84,289 

 

5.868% *, 2/1/2037  

 

 

159,438 

 

165,863 

 

5.871% *, 2/1/2038  

 

 

270,674 

 

280,299 

 

5.874% *, 12/1/2036  

 

 

78,755 

 

81,742 

 

6.0%, with various maturities from 9/1/2021 until 2/1/2038 

 

 

5,515,749 

 

5,783,703 

 

6.092% *, 9/1/2037  

 

 

328,145 

 

339,480 

 

6.335% *, 8/1/2036  

 

 

57,670 

 

59,603 

 

6.5%, with various maturities from 12/1/2014 until 8/1/2036 

 

 

1,218,176 

 

1,288,686 

 

7.0%, with various maturities from 12/1/2024 until 12/1/2026 

 

 

48,242 

 

51,691 

 

7.5%, with various maturities from 5/1/2024 until 6/1/2027 

 

 

8,829 

 

9,515 

Federal National Mortgage Association:

 
 

4.0%, 12/1/2020  

 

 

412,623 

 

421,568 

 

4.359% *, 3/1/2035  

 

 

221,143 

 

225,046 

 

4.423% *, 4/1/2034  

 

 

55,337 

 

56,994 

 

4.454% *, 3/1/2035  

 

 

168,776 

 

170,977 

 

4.5%, with various maturities from 2/1/2020 until 7/1/2035 

 

 

2,186,836 

 

2,255,581 

 

4.648% *, 4/1/2035  

 

 

209,011 

 

214,096 

 

4.72% *, 11/1/2034  

 

 

81,902 

 

82,922 

 

4.784% *, 1/1/2035  

 

 

107,125 

 

108,710 

 

4.896% *, 8/1/2036  

 

 

60,965 

 

63,217 

 

4.946% *, 6/1/2035  

 

 

204,514 

 

208,751 

 

4.952% *, with various maturities from 10/1/2034 until 8/1/2035 

 

 

271,656 

 

279,001 

 

4.958% *, 6/1/2035  

 

 

83,352 

 

85,128 

 

5.0%, with various maturities from 11/1/2020 until 4/1/2036 (b) 

 

 

10,326,827 

 

10,695,021 

 

5.102% *, 7/1/2035  

 

 

73,692 

 

76,543 

 

5.15% *, 1/1/2036  

 

 

177,531 

 

182,607 

 

5.264% *, 1/1/2037  

 

 

74,858 

 

76,631 

 

5.466% *, 1/1/2036  

 

 

204,303 

 

212,968 

 

5.498% *, 10/1/2036  

 

 

103,416 

 

107,091 

 

5.5%, with various maturities from 8/1/2019 until 12/1/2038 (b) 

 

 

12,788,463 

 

13,304,596 

 

5.606% *, 1/1/2037  

 

 

77,101 

 

79,944 

 

5.741% *, 1/1/2037  

 

 

74,214 

 

77,065 

 

5.753% *, 3/1/2037  

 

 

87,119 

 

90,263 

 

5.815% *, 11/1/2036  

 

 

161,415 

 

167,233 

 

5.859% *, 6/1/2036  

 

 

335,321 

 

346,887 

 

5.905% *, 9/1/2036  

 

 

119,638 

 

124,910 

 

6.0%, with various maturities from 10/1/2009 until 11/1/2037 (b) 

 

 

8,444,498 

 

8,847,439 

 

6.5%, with various maturities from 1/1/2018 until 12/1/2036 (b) 

 

 

2,708,247 

 

2,857,348 

 

7.0%, with various maturities from 6/1/2012 until 7/1/2034 (b) 

 

 

1,345,036 

 

1,430,002 

 

7.5%, with various maturities from 1/1/2024 until 4/1/2028 

 

 

25,913 

 

27,850 

 

8.0%, with various maturities from 12/1/2021 until 11/1/2031 

 

 

46,938 

 

50,156 

 

8.5%, with various maturities from 12/1/2025 until 8/1/2031 

 

 

17,487 

 

18,902 

Government National Mortgage Association:

 
 

5.0%, with various maturities from 10/20/2035 until 8/1/2036 (b) 

 

 

1,732,550 

 

1,792,676 

 

5.5%, with various maturities from 9/15/2033 until 6/1/2036 (b) 

 

 

3,135,610 

 

3,271,357 

 

6.0%, with various maturities from 2/15/2029 until 1/20/2039 

 

 

2,772,968 

 

2,906,306 

 

 

 

 

6.5%, with various maturities from 11/15/2023 until 10/20/2037 (b) 

 

 

1,715,353 

 

1,801,649 

 

7.5%, with various maturities from 8/15/2029 until 6/15/2032 

 

 

48,045 

 

51,206 

 

8.0%, with various maturities from 7/15/2022 until 3/15/2032 

 

 

89,388 

 

101,521 

 

8.5%, 11/15/2029  

 

 

21,626 

 

23,830 

 

9.0%, 1/15/2023  

 

 

26,353 

 

29,350 

**Total Mortgage-Backed Securities Pass-Throughs** (Cost $77,439,382)

 

**80,605,475**

 

**Commercial Mortgage-Backed Securities 3.3%**

 
Banc of America Commercial Mortgage, Inc.:

 
 

"A4", Series 2004-1, 4.76%, 11/10/2039  

 

 

200,000 

 

159,595 

 

"A3", Series 2003-2, 4.873%, 3/11/2041  

 

 

300,000 

 

269,783 

 

"A4", Series 2007-1, 5.451%, 1/15/2049  

 

 

100,000 

 

73,601 

Bear Stearns Commercial Mortgage Securities, Inc.:

 
 

"AJ", Series 2005-PW10, 5.618% *, 12/11/2040  

 

 

250,000 

 

110,339 

 

"A2", Series 1999-WF2, 7.08%, 7/15/2031  

 

 

150,383 

 

150,378 

 

"A2", Series 2000-WF1, 7.78%, 2/15/2032  

 

 

126,348 

 

127,438 

Citigroup Commercial Mortgage Trust, "A4", Series 2004-C1, 5.375% *, 4/15/2040 

 

 

100,000 

 

83,836 

Commercial Mortgage Pass-Through Certificate, "A2", Series 2004-LB4A, 4.049%, 10/15/2037 

 

 

176,331 

 

174,857 

Credit Suisse Mortgage Capital Certificates, "A4", Series 2006-C1, 5.552% *, 2/15/2039 

 

 

380,000 

 

308,089 

CS First Boston Mortgage Securities Corp., "A4", Series 2001-CP4, 6.18%, 12/15/2035 

 

 

435,000 

 

430,134 

CW Capital Cobalt Ltd., "AM", Series 2007-C3, 5.82% *, 5/15/2046 

 

 

250,000 

 

111,581 

First Union National Bank Commercial Mortgage, "A2", Series 2001-C4, 6.223%, 12/12/2033 

 

 

150,000 

 

147,966 

GE Capital Commercial Mortgage Corp., "A4", Series 2003-C2, 5.145%, 7/10/2037 

 

 

337,000 

 

301,416 

GMAC Commercial Mortgage Securities, Inc., "A4", Series 2003-C3, 5.023%, 4/10/2040 

 

 

200,000 

 

169,049 

Greenwich Capital Commercial Funding Corp., "A7", Series 2004-GG1, 5.317% *, 6/10/2036 

 

 

200,000 

 

171,017 

GS Mortgage Securities Corp. II:

 
 

"A4A", Series 2005-GG4, 4.751%, 7/10/2039  

 

 

100,000 

 

73,972 

 

"A4", Series 2007-GG10, 5.993% *, 8/10/2045  

 

 

416,000 

 

283,896 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 
 

"A2", Series 2004-C1, 4.302%, 1/15/2038  

 

 

300,000 

 

257,706 

 

"A2", Series 2002-CIB5, 5.161%, 10/12/2037  

 

 

200,000 

 

188,674 

 

"A4", Series 2007-CB18, 5.44%, 6/12/2047  

 

 

100,000 

 

64,540 

 

"AJ", Series 2006-CB17, 5.489%, 12/12/2043  

 

 

250,000 

 

63,373 

 

"A4", Series 2006-CB15, 5.814% *, 6/12/2043  

 

 

250,000 

 

176,834 

 

"A4", Series 2006-LDP7, 6.065% *, 4/15/2045  

 

 

100,000 

 

75,441 

LB-UBS Commercial Mortgage Trust:

 
 

"A4", Series 2003-C3, 4.166%, 5/15/2032  

 

 

250,000 

 

216,683 

 

"A3", Series 2006-C7, 5.347%, 11/15/2038  

 

 

500,000 

 

357,068 

 

"A4", Series 2002-C1, 6.462%, 3/15/2031  

 

 

200,000 

 

199,774 

 

"A2", Series 2001-C2, 6.653%, 11/15/2027  

 

 

525,000 

 

528,780 

Merrill Lynch Mortgage Trust:

 
 

"A2", Series 2004-BPC1, 4.071%, 10/12/2041  

 

 

139,746 

 

135,571 

 

"A4", Series 2005-MCP1, 4.747% *, 6/12/2043  

 

 

200,000 

 

145,005 

 

"A6", Series 2005-CKI1, 5.415% *, 11/12/2037  

 

 

100,000 

 

77,394 

Merrill Lynch/Countrywide Commercial Mortgage Trust:

 
 

"A4", Series 2007-6, 5.485%, 3/12/2051  

 

 

200,000 

 

114,639 

 

"A4", Series 2006-1, 5.6% *, 2/12/2039  

 

 

200,000 

 

141,780 

Morgan Stanley Capital I:

 
 

"A4", Series 2005-HQ5, 5.168%, 1/14/2042  

 

 

250,000 

 

197,509 

 

"A4", Series 2006-HQ9, 5.731%, 7/12/2044  

 

 

500,000 

 

386,804 

 

"A2", Series 1999-LIFE, 7.11%, 4/15/2033  

 

 

65,349 

 

65,407 

Wachovia Bank Commercial Mortgage Trust:

 
 

 

 

 

"A3", Series 2003-C9, 4.608%, 12/15/2035  

 

 

89,289 

 

87,213 

 

"A4", Series 2004-C15, 4.803%, 10/15/2041  

 

 

200,000 

 

159,967 

 

"A4", Series 2006-C23, 5.418% *, 1/15/2045  

 

 

200,000 

 

155,916 

**Total Commercial Mortgage-Backed Securities** (Cost $8,637,163)

 

**6,943,025**

 

**Municipal Bonds and Notes 0.1%**

 
Illinois, State General Obligation, Taxable Pension, 5.1%, 6/1/2033 

 

 

275,000 

 

240,009 

Oregon, State General Obligation, Taxable Pension, 5.892%, 6/1/2027 

 

 

25,000 

 

24,078 

**Total Municipal Bonds and Notes** (Cost $287,141)

 

**264,087**

 

**Preferred Securities 0.1%**

 
**Financials**

 
Goldman Sachs Capital II, 5.793%, 6/1/2012 (c)

 

 

50,000 

 

20,817 

Lincoln National Corp., 6.05%, 4/20/2067 

 

 

75,000 

 

15,750 

MUFG Capital Finance 1 Ltd., 6.346%, 7/25/2016 (c)

 

 

100,000 

 

67,000 

USB Capital IX, 6.189%, 4/15/2011 (c)

 

 

50,000 

 

19,750 

Wachovia Capital Trust III, 5.8%, 3/15/2011 (c)

 

 

50,000 

 

18,000 

XL Capital Ltd., Series E, 6.5%, 4/15/2017 (c)

 

 

50,000 

 

9,500 

**Total Preferred Securities** (Cost $347,433)

 

**150,817**

 

**Shares**

 

**Value ($)**

 

**Securities Lending Collateral 21.8%**

 
Daily Assets Fund Institutional, 0.78% (d) (e)(Cost $45,687,345)

 

 

45,687,345

 

**45,687,345**

 

**Cash Equivalents 9.3%**

 
Cash Management QP Trust, 0.53% (d)(Cost $19,417,983)

 

 

19,417,983

 

**19,417,983**

 

**% of****Net Assets**

 

**Value ($)**

**Total Investment Portfolio** (Cost $265,614,380) †

127.6

 

**267,429,131**

**Other Assets and Liabilities, Net**(a)

(27.6)

 

**(57,764,936)**

**Net Assets**

100.0

 

**209,664,195**

*For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.*

***

*Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.  These securities are shown at their current rate as of March 31, 2009.*

*†*

*The cost for federal income tax purposes was $265,565,606.  At March 31, 2009, net unrealized appreciation for all securities based on tax cost was $1,863,525.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $7,826,951 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $5,963,426.*

*(a)*

*All or a portion of these securities were on loan amounting to $44,467,950. In addition, included in other assets and liabilities, net is a pending sale, amounting to $26,903 that is also on loan. The value of all securities loaned at March 31, 2009 amounted to $44,494,853 which is 21.2% of net assets.*

*(b)*

*When-issued or delayed delivery security included.*

*(c)*

*Date shown is call date; not a maturity date for the perpetual preferred securities.*

*(d)*

*Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.*

*(e)*

*Represents collateral held in connection with securities lending.  Income earned by the Fund is net of borrower rebates.*

*144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.*

 

 

 

*FDIC: Federal Deposit Insurance Corp.*

*REIT: Real Estate Investment Trust*

*Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Federal Home Loan Mortgage Corp., Federal National Mortgage Association and Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.*

 

 

***Fair Value Measurements***

 

*Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements,” establishes a three-tier hierarchy for measuring fair value and requires additional disclosure about the classification of fair value measurements.*

*Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.*

*The following is a summary of the inputs used as of March 31, 2009 in valuing the Fund's investments.*

 

**Valuation Inputs**

**Investments in  Securities**

Level 1 

$                45,687,345   

Level 2 

221,741,786 

Level 3 

-   

**Total**

**$               267,429,131**

 

 

**ITEM 2.**

**CONTROLS AND PROCEDURES**

 

 

 

(a)          The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

 

 

(b)         There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.

 

 

**ITEM 3.**

**EXHIBITS**

 

 

 

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

 

**SIGNATURES**

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: 

DWS U.S. Bond Index Fund, a series of DWS Institutional Funds

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

May 20, 2009

 

 

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.

 

Registrant: 

DWS U.S. Bond Index Fund, a series of DWS Institutional Funds

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

May 20, 2009

 

 

By:

/s/Paul Schubert

 

Paul Schubert

Chief Financial Officer and Treasurer

 

Date:                                        May 20, 2009

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