Filed On 3/22/06 11:00am ET · SEC File 811-07572 · Accession Number 898745-6-34
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3/22/06 Principal Investors Fund Inc N-Q 1/31/06 2:660
Quarterly Schedule of Portfolio Holdings of a Management Investment Company · Form N-Q
Filing Table of Contents
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1: N-Q Pif Form N-Q for 01/31/2006 658± 3,504K
2: EX-99.CERT Pif Certification for 01/31/2006 2 10K
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 811-07572
--------------------------
Principal Investors Fund, Inc.
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(Exact name of registrant as specified in charter)
711 High Street, Des Moines, IA 50392-2080
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(Address of principal executive offices)
Princor Financial Services Corporation, Des Moines, IA 50392-2080
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(Name and address of agent for service)
Registrant's telephone number, including area code: 515-247-6783
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Date of fiscal year end: October 31, 2006
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Date of reporting period: January 31, 2006
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ITEM 1 - SCHEDULE OF INVESTMENTS
· Enlarge/Download Table
Schedule of Investments
January 31, 2006 (unaudited)
Bond & Mortgage Securities Fund
Principal
Amount Value
----------------------------------------------------
BONDS (69.95%)
Advertising Agencies (0.05%)
Interpublic Group of Cos Inc
7.25%, 8/15/2011 $ 500,000 $ 470,000
6.25%, 11/15/2014 400,000 347,000
-------------------
817,000
-------------------
Advertising Services (0.04%)
Advanstar Communications Inc
10.75%, 8/15/2010 500,000 546,875
-------------------
Aerospace & Defense (0.06%)
Lockheed Martin Corp
7.65%, 5/ 1/2016 250,000 293,951
Northrop Grumman Corp
7.00%, 3/ 1/2006 520,000 520,896
7.75%, 2/15/2031 100,000 125,744
-------------------
940,591
-------------------
Aerospace & Defense Equipment (0.08%)
GenCorp Inc
9.50%, 8/15/2013 228,000 246,810
Sequa Corp
9.00%, 8/ 1/2009 600,000 651,000
TransDigm Inc
8.38%, 7/15/2011 350,000 367,500
-------------------
1,265,310
-------------------
Agricultural Operations (0.33%)
Bunge Ltd Finance Corp
4.38%, 12/15/2008 3,614,000 3,541,677
5.88%, 5/15/2013 540,000 548,821
5.10%, 7/15/2015 1,000,000 954,059
-------------------
5,044,557
-------------------
Airlines (0.07%)
Northwest Airlines Corp
7.58%, 9/ 1/2020 227,834 228,437
Southwest Airlines Co
5.10%, 5/ 1/2006 180,943 181,022
5.50%, 11/ 1/2006 650,000 651,663
-------------------
1,061,122
-------------------
Apparel Manufacturers (0.04%)
Phillips-Van Heusen
8.13%, 5/ 1/2013 125,000 131,875
7.75%, 11/15/2023 475,000 497,562
-------------------
629,437
-------------------
Asset Backed Securities (7.26%)
AAA Trust
4.81%, 2/27/2035 (a)(b) 1,500,000 1,502,680
Ameriquest Mortgage Securities Inc
4.83%, 3/25/2035 (a) 1,412,794 1,414,003
4.76%, 7/25/2035 (a) 1,750,000 1,751,480
Asset Backed Funding Certificates
4.71%, 6/25/2035 (a) 5,500,000 5,500,611
4.77%, 7/25/2035 (a) 3,575,000 3,577,524
Bear Stearns Asset Backed Securities Inc
4.80%, 9/25/2035 (a) 8,075,000 8,076,211
Carrington Mortgage Loan Trust
4.79%, 1/25/2035 (a) 1,575,000 1,576,476
4.68%, 9/25/2035 (a) 3,062,812 3,062,962
4.81%, 12/25/2035 (a) 6,172,000 6,177,999
Chase Funding Mortgage Loan Asset-Backed
4.82%, 9/25/2033 (a) 835,414 836,849
5.03%, 9/25/2033 (a) 1,215,000 1,217,249
4.76%, 12/25/2033 (a) 319,036 319,336
Citigroup Mortgage Loan Trust Inc
4.63%, 7/25/2035 (a) 2,261,135 2,261,264
CNH Wholesale Master Note Trust
4.87%, 6/15/2011 (a) 650,000 649,969
Countrywide Asset-Backed Certificates
4.90%, 10/25/2032 (a) 983,431 984,962
4.81%, 9/25/2033 (a) 1,829,968 1,831,509
5.05%, 6/25/2035 (a) 2,800,000 2,813,762
5.19%, 12/25/2035 (a) 2,600,000 2,607,972
Countrywide Home Equity Loan Trust
4.70%, 12/15/2035 (a)(c) 3,829,044 3,829,044
GMAC Mortgage Corp Loan Trust
4.59%, 8/25/2035 (a) 4,800,000 4,801,402
4.71%, 8/25/2035 (a) 2,225,000 2,223,227
Long Beach Mortgage Loan Trust
5.06%, 6/25/2034 (a) 450,000 450,936
5.03%, 2/25/2035 (a) 3,000,000 3,016,146
4.71%, 4/25/2035 (a) 4,300,000 4,301,320
4.64%, 7/25/2035 (a) 2,835,771 2,836,236
Merrill Lynch Mortgage Investors Inc
5.09%, 1/25/2035 (a) 1,800,000 1,805,801
4.71%, 4/25/2036 (a) 3,500,000 3,500,613
4.76%, 7/25/2036 (a) 4,700,962 4,700,807
Morgan Stanley ABS Capital I
4.79%, 7/25/2035 (a) 1,800,000 1,802,198
MSDWCC Heloc Trust
4.72%, 7/25/2017 (a) 1,847,584 1,847,720
Nomura Asset Acceptance Corp
4.76%, 6/25/2035 (a) 1,680,566 1,680,657
Ownit Mortgage Loan Asset Backed Certificates
4.83%, 8/25/2036 (a) 3,747,054 3,746,930
Popular ABS Mortgage Pass-Through Trust
4.79%, 11/25/2035 (a) 3,355,000 3,356,775
Residential Asset Mortgage Products Inc
4.76%, 12/25/2034 (a) 1,525,000 1,526,606
4.80%, 7/25/2035 (a) 3,000,000 3,004,002
Residential Asset Securities Corp
3.28%, 8/25/2029 477,903 474,960
SACO I Inc
4.80%, 4/25/2035 (a) 2,288,885 2,288,985
Saxon Asset Securities Trust
4.87%, 12/26/2034 (a) 4,600,000 4,607,838
4.75%, 3/25/2035 (a) 2,825,000 2,826,989
5.05%, 3/25/2035 (a) 2,500,000 2,500,568
Securitized Asset Backed Receivables LLC
4.76%, 3/25/2035 (a) 2,135,000 2,135,726
-------------------
109,428,304
-------------------
Auto - Car & Light Trucks (0.47%)
DaimlerChrysler NA Holding Corp
5.30%, 8/ 8/2006 (a) 1,900,000 1,907,448
4.70%, 3/ 7/2007 (a) 2,000,000 2,000,516
4.96%, 9/10/2007 (a) 1,200,000 1,203,390
4.75%, 1/15/2008 75,000 74,196
4.88%, 6/15/2010 2,000,000 1,948,150
-------------------
7,133,700
-------------------
Auto - Medium & Heavy Duty Trucks (0.16%)
Navistar International Corp
9.38%, 6/ 1/2006 1,925,000 1,944,250
7.50%, 6/15/2011 150,000 148,500
6.25%, 3/ 1/2012 400,000 374,000
-------------------
2,466,750
-------------------
Auto/Truck Parts & Equipment - Original (0.14%)
ArvinMeritor Inc
8.75%, 3/ 1/2012 375,000 371,250
Stanadyne Corp
10.00%, 8/15/2014 375,000 360,000
Tenneco Inc
10.25%, 7/15/2013 500,000 560,000
TRW Automotive Inc
9.38%, 2/15/2013 300,000 326,250
United Components Inc
9.38%, 6/15/2013 500,000 498,750
-------------------
2,116,250
-------------------
Automobile Sequential (0.32%)
Capital Auto Receivables Asset Trust
3.92%, 11/16/2009 2,000,000 1,951,908
4.84%, 6/15/2010 (a) 1,070,000 1,075,464
M&I Auto Loan Trust
3.04%, 10/20/2008 148,446 147,601
WFS Financial Owner Trust
4.50%, 5/17/2013 1,600,000 1,571,872
-------------------
4,746,845
-------------------
Beverages - Non-alcoholic (0.05%)
Bottling Group LLC
4.63%, 11/15/2012 110,000 107,189
Coca-Cola HBC Finance BV
5.13%, 9/17/2013 345,000 342,298
Cott Beverages USA Inc
8.00%, 12/15/2011 350,000 357,875
-------------------
807,362
-------------------
Beverages - Wine & Spirits (0.12%)
Diageo Capital PLC
4.69%, 4/20/2007 (a) 1,800,000 1,801,159
-------------------
Brewery (0.34%)
Cia Brasileira de Bebidas
10.50%, 12/15/2011 1,175,000 1,445,250
8.75%, 9/15/2013 685,000 798,025
Coors Brewing Co
6.38%, 5/15/2012 650,000 683,021
FBG Finance Ltd
5.13%, 6/15/2015 (b) 2,250,000 2,164,995
-------------------
5,091,291
-------------------
Broadcasting Services & Programming (0.02%)
Grupo Televisa SA
8.50%, 3/11/2032 260,000 311,803
-------------------
Building - Residential & Commercial (0.08%)
Beazer Homes USA Inc
8.38%, 4/15/2012 800,000 836,000
KB Home
7.75%, 2/ 1/2010 340,000 353,228
-------------------
1,189,228
-------------------
Building & Construction - Miscellaneous (0.03%)
Dycom Industries Inc
8.13%, 10/15/2015 (b) 400,000 414,000
-------------------
Building & Construction Products - Miscellaneous (0.46%)
CRH America Inc
6.95%, 3/15/2012 1,525,000 1,643,041
5.30%, 10/15/2013 135,000 133,229
6.40%, 10/15/2033 345,000 364,939
Interline Brands Inc
11.50%, 5/15/2011 600,000 666,000
Macmillan Bloedel Ltd
6.75%, 2/15/2006 2,735,000 2,736,425
Masco Corp
4.71%, 3/ 9/2007 (a)(b) 1,400,000 1,403,339
-------------------
6,946,973
-------------------
Building Products - Air & Heating (0.02%)
York International Corp
6.63%, 8/15/2006 235,000 236,526
-------------------
Building Products - Wood (0.03%)
Ainsworth Lumber Co Ltd
7.25%, 10/ 1/2012 300,000 273,000
6.75%, 3/15/2014 175,000 151,812
-------------------
424,812
-------------------
Cable TV (0.51%)
Cablevision Systems Corp
8.72%, 4/ 1/2009 (a) 200,000 204,250
Charter Communications Operating LLC/Charter
Communication
8.38%, 4/30/2014 (b) 650,000 649,188
Comcast Cable Communications
8.38%, 5/ 1/2007 500,000 519,696
Comcast Corp
7.05%, 3/15/2033 500,000 530,413
COX Communications Inc
4.63%, 1/15/2010 805,000 777,409
6.75%, 3/15/2011 305,000 317,034
7.13%, 10/ 1/2012 450,000 478,935
5.50%, 10/ 1/2015 165,000 159,237
CSC Holdings Inc
7.25%, 7/15/2008 350,000 350,875
10.50%, 5/15/2016 1,325,000 1,409,469
Echostar DBS Corp
9.13%, 1/15/2009 504,000 527,310
6.63%, 10/ 1/2014 1,050,000 1,018,500
Kabel Deutschland GmbH
10.63%, 7/ 1/2014 (b) 650,000 682,500
-------------------
7,624,816
-------------------
Casino Hotels (0.37%)
Harrah's Operating Co Inc
5.50%, 7/ 1/2010 1,060,000 1,059,533
5.63%, 6/ 1/2015 860,000 840,732
5.75%, 10/ 1/2017 1,290,000 1,247,369
Mandalay Resort Group
6.45%, 2/ 1/2006 1,525,000 1,525,000
MGM Mirage
6.63%, 7/15/2015 500,000 502,500
Turning Stone Casino Resort Enterprise
9.13%, 12/15/2010 (b) 400,000 416,000
-------------------
5,591,134
-------------------
Cellular Telecommunications (0.77%)
America Movil SA de CV
5.26%, 4/27/2007 (a) 1,700,000 1,703,400
5.50%, 3/ 1/2014 1,520,000 1,483,199
6.38%, 3/ 1/2035 1,025,000 986,324
Dobson Cellular Systems
9.00%, 11/ 1/2011 (a) 400,000 416,000
New Cingular Wireless Services Inc
8.13%, 5/ 1/2012 1,545,000 1,776,135
8.75%, 3/ 1/2031 525,000 687,969
Nextel Communications Inc
5.95%, 3/15/2014 2,875,000 2,895,401
Rural Cellular Corp
8.25%, 3/15/2012 275,000 289,781
Verizon Wireless Capital LLC
5.38%, 12/15/2006 1,395,000 1,398,965
-------------------
11,637,174
-------------------
Chemicals - Diversified (0.32%)
Chevron Phillips Chemical Co LLC
5.38%, 6/15/2007 240,000 240,142
7.00%, 3/15/2011 920,000 983,081
Equistar Chemicals LP/Equistar Funding
10.63%, 5/ 1/2011 750,000 825,000
ICI Wilmington Inc
5.63%, 12/ 1/2013 875,000 863,775
Lyondell Chemical Co
9.50%, 12/15/2008 451,000 472,986
Nova Chemicals Corp
7.56%, 11/15/2013 (a)(b) 275,000 278,437
Westlake Chemical Corp
8.75%, 7/15/2011 452,000 493,810
6.63%, 1/15/2016 700,000 700,875
-------------------
4,858,106
-------------------
Chemicals - Specialty (0.11%)
Hercules Inc
6.75%, 10/15/2029 400,000 385,000
Nalco Co
8.88%, 11/15/2013 425,000 444,125
OM Group Inc
9.25%, 12/15/2011 400,000 400,000
Rhodia SA
7.63%, 6/ 1/2010 475,000 477,375
-------------------
1,706,500
-------------------
Coal (0.08%)
Alpha Natural Resources LLC/Alpha Natural Resources
Capital
10.00%, 6/ 1/2012 710,000 781,000
Massey Energy Co
6.88%, 12/15/2013 (b) 450,000 453,937
-------------------
1,234,937
-------------------
Coatings & Paint (0.06%)
Resolution Performance Products LLC/RPP
8.00%, 12/15/2009 400,000 408,500
Valspar Corp
6.00%, 5/ 1/2007 465,000 467,918
-------------------
876,418
-------------------
Commercial Banks (0.72%)
American Express Centurion Bank
4.57%, 7/19/2007 (a) 2,000,000 2,002,682
BOI Capital Funding No 2 LP
5.57%, 8/ 1/2099 (a)(b) 1,345,000 1,335,780
HSBC Holdings PLC
5.25%, 12/12/2012 100,000 100,009
KeyBank NA
4.32%, 8/ 8/2007 (a) 750,000 750,481
4.41%, 11/ 3/2009 (a) 2,000,000 2,003,230
Royal Bank of Scotland Group PLC
5.00%, 10/ 1/2014 220,000 216,297
Union Planters Bank NA
5.13%, 6/15/2007 310,000 309,689
United Overseas Bank Ltd
4.50%, 7/ 2/2013 (b) 325,000 306,758
US Bank NA
6.38%, 8/ 1/2011 275,000 291,022
VTB Capital SA for Vneshtorgbank
5.25%, 9/21/2007 (a)(b) 1,410,000 1,412,115
Wachovia Bank NA
4.88%, 2/ 1/2015 1,805,000 1,741,910
Wachovia Bank NA/Charlotte
7.80%, 8/18/2010 385,000 426,613
-------------------
10,896,586
-------------------
Commercial Services (0.19%)
Coinmach Corp
9.00%, 2/ 1/2010 1,000,000 1,045,000
Iron Mountain Inc
8.25%, 7/ 1/2011 1,175,000 1,192,625
6.63%, 1/ 1/2016 325,000 305,500
Quintiles Transnational Corp
10.00%, 10/ 1/2013 250,000 277,500
-------------------
2,820,625
-------------------
Commercial Services - Finance (0.04%)
Cardtronics Inc
9.25%, 8/15/2013 (b) 600,000 601,500
-------------------
Computer Services (0.03%)
Sungard Data Systems Inc
9.13%, 8/15/2013 (b) 425,000 442,000
-------------------
Computers - Integrated Systems (0.01%)
NCR Corp
7.13%, 6/15/2009 100,000 104,193
-------------------
Consumer Products - Miscellaneous (0.15%)
Fortune Brands Inc
5.13%, 1/15/2011 630,000 626,310
Fortune Brands Inc (continued)
5.38%, 1/15/2016 1,450,000 1,424,222
5.88%, 1/15/2036 175,000 169,370
-------------------
2,219,902
-------------------
Containers - Metal & Glass (0.17%)
Crown Americas LLC and Crown Americas Capital Corp
7.63%, 11/15/2013 (b) 250,000 258,750
Owens Brockway Glass Container Inc
8.88%, 2/15/2009 1,500,000 1,565,625
8.75%, 11/15/2012 750,000 806,250
-------------------
2,630,625
-------------------
Containers - Paper & Plastic (0.08%)
Intertape Polymer US Inc
8.50%, 8/ 1/2014 500,000 492,500
Jefferson Smurfit Corp US
7.50%, 6/ 1/2013 400,000 363,000
Plastipak Holdings Inc
8.50%, 12/15/2015 (b) 375,000 384,375
-------------------
1,239,875
-------------------
Credit Card Asset Backed Securities (2.35%)
American Express Credit Account Master
4.72%, 9/15/2011 (a) 600,000 602,150
Bank One Issuance Trust
3.59%, 5/17/2010 1,000,000 979,381
4.79%, 3/15/2012 (a) 3,550,000 3,568,130
Capital One Multi-Asset Execution Trust
4.69%, 12/15/2009 (a) 1,690,000 1,691,835
Chase Credit Card Master Trust
4.67%, 5/15/2009 (a) 2,250,000 2,249,899
4.82%, 10/15/2010 (a) 1,550,000 1,557,558
4.80%, 1/17/2011 (a) 3,100,000 3,114,992
4.82%, 2/15/2011 (a) 2,500,000 2,516,452
Citibank Credit Card Issuance Trust
4.85%, 6/25/2009 (a) 3,250,000 3,258,434
4.71%, 5/20/2011 (a) 2,300,000 2,304,855
Citibank Credit Card Master Trust I
4.77%, 3/10/2011 (a) 1,875,000 1,883,822
Discover Card Master Trust I
5.75%, 12/15/2008 1,000,000 1,002,977
First USA Credit Card Master Trust
4.84%, 4/18/2011 (a) 3,650,000 3,672,875
GE Capital Credit Card Master Note Trust
4.77%, 6/15/2010 (a) 2,000,000 2,004,452
MBNA Credit Card Master Note Trust
4.85%, 10/15/2009 (a) 1,600,000 1,605,176
Providian Master Note Trust
5.10%, 11/15/2012 (b) 3,350,000 3,347,644
-------------------
35,360,632
-------------------
Cruise Lines (0.23%)
Royal Caribbean Cruises Ltd
7.00%, 10/15/2007 1,500,000 1,538,861
8.75%, 2/ 2/2011 1,672,000 1,885,733
-------------------
3,424,594
-------------------
Data Processing & Management (0.02%)
Certegy Inc
4.75%, 9/15/2008 325,000 324,279
-------------------
Dialysis Centers (0.03%)
DaVita Inc
7.25%, 3/15/2015 400,000 402,500
-------------------
Diversified Financial Services (0.08%)
General Electric Capital Corp
4.63%, 9/15/2009 285,000 281,273
4.25%, 12/ 1/2010 735,000 709,895
6.75%, 3/15/2032 125,000 145,164
-------------------
1,136,332
-------------------
Diversified Manufacturing Operations (0.30%)
General Electric Co
5.00%, 2/ 1/2013 840,000 833,187
Invensys PLC
9.88%, 3/15/2011 (b) 500,000 512,500
Jacuzzi Brands Inc
9.63%, 7/ 1/2010 400,000 425,000
JB Poindexter & Co Inc
8.75%, 3/15/2014 400,000 331,000
Tyco International Group SA
6.38%, 2/15/2006 665,000 665,299
6.38%, 10/15/2011 1,140,000 1,193,336
6.88%, 1/15/2029 500,000 549,476
-------------------
4,509,798
-------------------
Diversified Minerals (0.13%)
Vale Overseas Ltd
6.25%, 1/11/2016 2,000,000 2,000,000
-------------------
Diversified Operations (0.08%)
Noble Group Ltd
6.63%, 3/17/2015 (b) 1,285,000 1,182,957
-------------------
Diversified Operations & Commercial Services (0.02%)
Chemed Corp
8.75%, 2/24/2011 350,000 372,313
-------------------
E-Commerce - Products (0.02%)
FTD Inc
7.75%, 2/15/2014 225,000 224,437
-------------------
Electric - Distribution (0.08%)
Detroit Edison Co
5.70%, 10/ 1/2037 1,300,000 1,258,107
-------------------
Electric - Generation (0.12%)
CE Casecnan Water & Energy
11.95%, 11/15/2010 460,650 497,502
Korea East-West Power Co Ltd
4.88%, 4/21/2011 (b) 280,000 273,632
Tenaska Oklahoma
6.53%, 12/30/2014 (b) 475,076 466,050
Tenaska Virginia Partners LP
6.12%, 3/30/2024 (b) 503,576 509,870
-------------------
1,747,054
-------------------
Electric - Integrated (3.70%)
Alabama Power Co
4.58%, 8/25/2009 (a) 1,000,000 1,002,332
AmerenUE
5.40%, 2/ 1/2016 1,605,000 1,601,440
5.10%, 10/ 1/2019 1,560,000 1,484,805
Appalachian Power Co
4.85%, 6/29/2007 (a) 2,500,000 2,507,300
Arizona Public Service Co
6.50%, 3/ 1/2012 2,640,000 2,758,203
5.80%, 6/30/2014 555,000 560,885
Carolina Power & Light Co
6.65%, 4/ 1/2008 200,000 205,517
6.50%, 7/15/2012 200,000 212,076
5.25%, 12/15/2015 935,000 924,387
Centerpoint Energy Inc
5.88%, 6/ 1/2008 355,000 359,330
Cincinnati Gas & Electric
5.40%, 6/15/2033 145,000 132,712
Consumers Energy Co
4.25%, 4/15/2008 140,000 137,123
Dayton Power & Light Co/The
5.12%, 10/ 1/2013 (a) 600,000 593,080
Dominion Resources Inc/VA
4.64%, 5/15/2006 (a) 2,345,000 2,346,848
4.82%, 9/28/2007 (a) 1,440,000 1,440,570
8.13%, 6/15/2010 725,000 800,752
Duquesne Light Holdings Inc
5.50%, 8/15/2015 1,500,000 1,464,256
Entergy Gulf States Inc
3.60%, 6/ 1/2008 345,000 331,637
5.21%, 12/ 8/2008 (a)(b) 1,465,000 1,464,953
Entergy Louisiana Inc
5.83%, 11/ 1/2010 350,000 349,817
Exelon Corp
4.45%, 6/15/2010 575,000 556,266
6.75%, 5/ 1/2011 355,000 376,365
FirstEnergy Corp
5.50%, 11/15/2006 400,000 401,094
6.45%, 11/15/2011 1,705,000 1,792,397
Florida Power & Light Co
5.40%, 9/ 1/2035 1,370,000 1,314,146
FPL Group Capital Inc
3.25%, 4/11/2006 560,000 558,295
Georgia Power Co
4.53%, 2/17/2009 (a) 2,650,000 2,656,225
Indianapolis Power & Light
7.38%, 8/ 1/2007 620,000 637,103
Midamerican Energy Holdings Co
4.63%, 10/ 1/2007 380,000 376,374
3.50%, 5/15/2008 975,000 938,515
Nisource Finance Corp
3.20%, 11/ 1/2006 565,000 557,226
Northeast Utilities
3.30%, 6/ 1/2008 460,000 440,203
Northern States Power-Minnesota
5.25%, 7/15/2035 770,000 725,397
Ohio Power Co
4.85%, 1/15/2014 510,000 490,169
Pepco Holdings Inc
3.75%, 2/15/2006 1,070,000 1,069,550
Pinnacle West Capital Corp
6.40%, 4/ 1/2006 2,375,000 2,382,139
Power Contract Financing LLC
5.20%, 2/ 1/2006 (b) 89,434 89,434
PPL Energy Supply LLC
6.40%, 11/ 1/2011 50,000 52,527
5.40%, 8/15/2014 735,000 724,678
Progress Energy Inc
6.75%, 3/ 1/2006 534,000 534,781
PSEG Power LLC
6.88%, 4/15/2006 900,000 903,380
3.75%, 4/ 1/2009 2,750,000 2,632,132
6.95%, 6/ 1/2012 1,685,000 1,815,867
PSI Energy Inc
5.00%, 9/15/2013 325,000 316,377
6.12%, 10/15/2035 1,200,000 1,203,798
Puget Energy Inc
3.36%, 6/ 1/2008 350,000 336,600
Southern California Edison Co
5.00%, 1/15/2014 500,000 491,341
5.00%, 1/15/2016 980,000 956,798
5.35%, 7/15/2035 1,680,000 1,592,830
TXU Electric Delivery Co
6.38%, 5/ 1/2012 3,175,000 3,318,281
7.25%, 1/15/2033 115,000 132,787
TXU Energy Co LLC
6.13%, 3/15/2008 2,805,000 2,843,395
Virginia Electric and Power Co
5.75%, 3/31/2006 225,000 225,238
4.50%, 12/15/2010 325,000 314,442
-------------------
55,821,502
-------------------
Electronic Components - Miscellaneous (0.10%)
Celestica Inc
7.88%, 7/ 1/2011 350,000 352,625
7.63%, 7/ 1/2013 100,000 97,750
Communications & Power Industries Inc
8.00%, 2/ 1/2012 500,000 510,000
Flextronics International Ltd
6.25%, 11/15/2014 500,000 487,500
-------------------
1,447,875
-------------------
Electronic Components - Semiconductors (0.06%)
Amkor Technology Inc
9.25%, 2/15/2008 350,000 343,000
Avago Technologies Finance Pte/Avago Technologies
US/Avago
10.13%, 12/ 1/2013 (b) 150,000 153,749
STATS ChipPAC Ltd
6.75%, 11/15/2011 375,000 366,563
-------------------
863,312
-------------------
Electronic Connectors (0.09%)
Thomas & Betts Corp
6.63%, 5/ 7/2008 1,330,000 1,360,009
-------------------
Electronics - Military (0.03%)
L-3 Communications Corp
5.88%, 1/15/2015 400,000 386,000
-------------------
Export & Import Bank (0.05%)
Export-Import Bank Of Korea
4.50%, 8/12/2009 740,000 726,437
-------------------
Federal & Federally Sponsored Credit (0.01%)
Federal Farm Credit Bank
7.25%, 6/12/2007 180,000 185,665
-------------------
Filtration & Separation Products (0.02%)
Polypore Inc
8.75%, 5/15/2012 250,000 227,500
-------------------
Finance - Auto Loans (0.42%)
American Honda Finance Corp
4.58%, 3/ 8/2007 (a)(b) 3,000,000 3,004,368
Ford Motor Credit Co
6.88%, 2/ 1/2006 160,000 160,000
6.50%, 1/25/2007 905,000 895,265
6.63%, 6/16/2008 175,000 164,672
5.63%, 10/ 1/2008 175,000 159,100
General Motors Acceptance Corp
6.88%, 9/15/2011 800,000 763,785
Nissan Motor Acceptance Corp
4.63%, 3/ 8/2010 (b) 1,150,000 1,119,300
-------------------
6,266,490
-------------------
Finance - Commercial (0.58%)
Caterpillar Financial Services Corp
4.65%, 7/27/2007 (a) 3,000,000 3,002,292
5.05%, 12/ 1/2010 1,375,000 1,374,137
CIT Group Inc
4.54%, 2/15/2007 (a) 875,000 876,780
Textron Financial Corp
4.55%, 8/29/2006 (a) 1,500,000 1,501,321
4.89%, 10/ 6/2006 (a) 2,000,000 2,005,100
-------------------
8,759,630
-------------------
Finance - Consumer Loans (0.90%)
HSBC Finance Capital Trust IX
5.91%, 11/30/2035 650,000 651,472
HSBC Finance Corp
5.75%, 1/30/2007 700,000 704,695
4.63%, 1/15/2008 100,000 99,312
4.13%, 12/15/2008 900,000 876,912
4.13%, 11/16/2009 1,750,000 1,685,451
4.62%, 11/16/2009 (a) 3,275,000 3,283,188
6.38%, 10/15/2011 110,000 115,836
7.00%, 5/15/2012 2,095,000 2,273,029
4.75%, 7/15/2013 430,000 411,813
SLM Corp
4.76%, 7/27/2009 (a) 3,500,000 3,491,674
-------------------
13,593,382
-------------------
Finance - Credit Card (0.77%)
Capital One Bank
6.88%, 2/ 1/2006 2,935,000 2,935,000
5.00%, 6/15/2009 2,165,000 2,148,308
5.13%, 2/15/2014 425,000 415,753
Capital One Financial Corp
4.80%, 2/21/2012 735,000 710,388
MBNA Corp
4.72%, 5/ 5/2008 (a) 1,875,000 1,889,914
MBNA Europe Funding Plc
4.55%, 9/ 7/2007 (a)(b) 3,500,000 3,501,246
-------------------
11,600,609
-------------------
-------------------
Finance - Investment Banker & Broker (3.22%)
Bear Stearns Cos Inc/The
3.00%, 3/30/2006 780,000 777,827
5.30%, 10/30/2015 790,000 782,390
Citigroup Inc
4.52%, 5/18/2010 (a) 5,550,000 5,556,549
5.00%, 9/15/2014 415,000 405,483
5.30%, 1/ 7/2016 1,400,000 1,398,314
6.63%, 6/15/2032 470,000 524,747
5.88%, 2/22/2033 230,000 234,230
Credit Suisse First Boston USA Inc
4.84%, 1/15/2010 (a) 1,500,000 1,504,110
E*Trade Financial Corp
8.00%, 6/15/2011 500,000 520,000
Goldman Sachs Group Inc
3.88%, 1/15/2009 790,000 764,578
6.65%, 5/15/2009 75,000 78,450
4.94%, 7/23/2009 (a) 2,000,000 2,011,870
4.62%, 3/ 2/2010 (a) 1,500,000 1,500,105
6.60%, 1/15/2012 1,275,000 1,359,567
5.25%, 4/ 1/2013 735,000 728,246
5.25%, 10/15/2013 175,000 173,169
5.15%, 1/15/2014 305,000 299,846
5.13%, 1/15/2015 2,540,000 2,484,054
Jefferies Group Inc
6.25%, 1/15/2036 1,120,000 1,100,668
JPMorgan Chase & Co
4.64%, 3/ 9/2009 (a) 2,000,000 2,005,642
4.75%, 3/ 1/2015 2,135,000 2,054,017
5.25%, 5/ 1/2015 3,665,000 3,608,742
Lehman Brothers Holdings E-Capital Trust I
5.15%, 8/19/2065 (a)(b) 305,000 305,821
Lehman Brothers Holdings Inc
4.56%, 11/10/2009 (a) 3,000,000 3,012,819
5.00%, 1/14/2011 1,680,000 1,669,834
Merrill Lynch & Co Inc
4.54%, 2/ 6/2009 (a) 2,275,000 2,281,850
4.51%, 2/ 5/2010 (a) 1,500,000 1,501,572
5.45%, 7/15/2014 450,000 452,709
Morgan Stanley
4.71%, 1/12/2007 (a) 1,100,000 1,101,120
4.88%, 1/15/2010 (a) 3,925,000 3,937,211
6.75%, 4/15/2011 640,000 685,431
5.30%, 3/ 1/2013 455,000 453,495
4.75%, 4/ 1/2014 3,465,000 3,297,214
-------------------
48,571,680
-------------------
Finance - Leasing Company (0.15%)
Boeing Capital Corp
5.65%, 5/15/2006 200,000 200,678
International Lease Finance Corp
5.00%, 1/15/2010 (a) 2,000,000 2,010,466
-------------------
2,211,144
-------------------
Finance - Mortgage Loan/Banker (4.04%)
Countrywide Financial Corp
4.77%, 12/19/2008 (a) 1,665,000 1,664,690
Countrywide Home Loans Inc
4.90%, 6/ 2/2006 (a) 775,000 775,968
5.50%, 2/ 1/2007 255,000 255,855
4.59%, 11/16/2007 (a) 750,000 751,454
Countrywide Home Loans Inc (continued)
4.25%, 12/19/2007 240,000 236,313
Fannie Mae
2.30%, 3/28/2006 675,000 672,489
3.70%, 11/ 1/2007 1,870,000 1,835,914
2.88%, 5/19/2008 825,000 791,187
3.88%, 11/17/2008 1,275,000 1,241,697
5.25%, 1/15/2009 350,000 354,564
7.25%, 1/15/2010 250,000 271,438
6.00%, 5/15/2011 75,000 79,077
4.75%, 2/21/2013 1,350,000 1,329,935
4.83%, 2/25/2018 (a) 1,431,641 1,435,389
4.78%, 11/25/2022 (a) 1,697,404 1,702,805
4.73%, 1/25/2023 (a) 2,159,707 2,163,366
6.25%, 5/15/2029 1,000,000 1,164,446
7.25%, 5/15/2030 4,400,000 5,723,296
4.83%, 2/25/2032 (a) 3,485,113 3,490,383
4.78%, 3/25/2035 (a) 1,407,551 1,406,331
Fannie Mae Whole Loan
4.73%, 5/25/2035 (a) 3,034,260 3,048,855
Freddie Mac
2.65%, 5/30/2008 2,025,000 1,930,718
4.75%, 5/ 6/2013 1,150,000 1,108,455
4.63%, 5/28/2013 925,000 885,245
4.50%, 7/15/2013 7,500,000 7,330,575
4.77%, 6/15/2018 (a) 1,736,836 1,741,606
4.92%, 6/15/2023 (a) 2,010,764 2,028,853
4.82%, 2/15/2030 (a) 1,398,441 1,403,223
4.82%, 5/15/2030 (a) 1,118,978 1,120,042
6.75%, 3/15/2031 1,303,000 1,618,387
6.25%, 7/15/2032 7,550,000 8,851,975
Residential Capital Corp
5.90%, 6/29/2007 (a) 2,025,000 2,038,887
Thornburg Mortgage Inc
8.00%, 5/15/2013 475,000 467,875
-------------------
60,921,293
-------------------
Finance - Other Services (0.16%)
American Real Estate Partners LP/American Real Estate
Financ
7.13%, 2/15/2013 250,000 253,125
Athena Neurosciences Finance LLC
7.25%, 2/21/2008 425,000 418,625
PCCW HKT Capital Ltd
5.25%, 7/20/2015 (b) 1,750,000 1,667,263
-------------------
2,339,013
-------------------
Food - Miscellaneous/Diversified (0.17%)
Corn Products International Inc
8.45%, 8/15/2009 470,000 515,270
HJ Heinz Co
6.43%, 12/ 1/2008 (a)(b) 500,000 514,585
Kraft Foods Inc
4.63%, 11/ 1/2006 1,525,000 1,520,982
-------------------
2,550,837
-------------------
Food - Retail (0.16%)
Delhaize America Inc
7.38%, 4/15/2006 685,000 687,701
Safeway Inc
7.00%, 9/15/2007 440,000 451,286
Safeway Inc (continued)
5.80%, 8/15/2012 1,200,000 1,198,039
-------------------
2,337,026
-------------------
Food - Wholesale & Distribution (0.01%)
Sysco International Co
6.10%, 6/ 1/2012 100,000 104,554
-------------------
Gas - Distribution (0.04%)
Sempra Energy
4.75%, 5/15/2009 675,000 665,150
-------------------
Home Equity - Other (8.35%)
ACE Securities Corp
4.76%, 3/25/2035 (a) 1,050,000 1,050,894
4.74%, 5/25/2035 (a) 1,115,000 1,116,393
4.64%, 7/25/2035 (a) 4,140,533 4,140,715
4.74%, 8/25/2035 (a) 6,050,000 6,049,794
4.74%, 9/25/2035 (a) 4,875,000 4,874,834
4.73%, 10/25/2035 (a) 5,100,000 5,099,827
Asset Backed Funding Certificates
4.79%, 2/25/2035 (a) 1,418,539 1,418,884
Bear Stearns Asset Backed Securities Inc
5.13%, 3/25/2034 (a) 1,515,000 1,514,944
4.77%, 2/25/2035 (a) 3,125,000 3,126,784
CDC Mortgage Capital Trust
5.10%, 6/25/2034 (a) 700,000 703,072
Countrywide Asset-Backed Certificates
4.85%, 8/25/2032 (a) 3,572,701 3,575,941
First NLC Trust
4.76%, 5/25/2035 (a) 6,347,803 6,347,587
4.86%, 5/25/2035 (a) 1,622,442 1,619,684
4.76%, 12/25/2035 (a) 6,600,000 6,599,776
First-Citizens Home Equity Loan LLC
4.68%, 9/15/2022 (a)(b) 2,311,531 2,317,941
Indymac Residential Asset Backed Trust
4.77%, 8/25/2035 (a) 3,500,000 3,503,640
IXIS Real Estate Capital Trust
4.77%, 12/25/2035 (a) 2,375,000 2,376,681
JP Morgan Mortgage Acquisition Corp
4.79%, 7/25/2035 (a) 6,200,000 6,208,934
Master Asset Backed Securities Trust
4.76%, 12/25/2034 (a) 2,691,952 2,693,907
Merrill Lynch Mortgage Investors Inc
4.73%, 2/25/2036 (a) 2,700,000 2,700,829
Morgan Stanley ABS Capital I
4.75%, 12/25/2034 (a) 5,262,506 5,267,558
5.40%, 12/25/2034 (a) 1,500,000 1,499,460
4.63%, 7/25/2035 (a) 1,986,651 1,986,755
4.78%, 9/25/2035 (a) 5,500,000 5,504,235
Morgan Stanley Home Equity Loans
4.64%, 8/25/2035 (a) 4,162,530 4,162,755
New Century Home Equity Loan Trust
5.25%, 1/25/2034 (a) 1,500,000 1,512,342
4.82%, 3/25/2035 (a) 2,206,586 2,208,300
Nomura Home Equity Loan Inc
4.65%, 5/25/2035 (a) 3,654,741 3,655,406
4.75%, 5/25/2035 (a) 2,000,000 2,002,998
Option One Mortgage Loan Trust
5.06%, 5/25/2034 (a) 1,250,000 1,254,964
Option One Mortgage Loan Trust (continued)
5.58%, 5/25/2034 (a) 1,250,000 1,249,954
4.83%, 11/25/2034 (a) 396,744 397,141
4.77%, 2/25/2035 (a) 2,237,905 2,240,071
5.53%, 2/25/2035 (a) 600,000 603,629
4.75%, 5/25/2035 (a) 3,000,000 3,002,328
Residential Asset Securities Corp
6.33%, 4/25/2032 (a) 208,360 208,539
4.97%, 10/25/2033 (a) 1,095,802 1,098,014
5.12%, 12/25/2033 (a) 2,000,000 2,010,868
5.68%, 3/25/2035 (a) 1,050,000 1,046,919
4.73%, 5/25/2035 (a) 2,475,000 2,475,849
4.73%, 6/25/2035 (a) 3,750,000 3,756,375
4.69%, 7/25/2035 (a) 5,928,000 5,928,889
Saxon Asset Securities Trust
5.66%, 3/25/2035 (a) 1,800,000 1,812,118
Structured Asset Securities Corp
4.75%, 3/25/2035 (a) 2,725,000 2,725,940
Wells Fargo Home Equity Trust
5.03%, 4/25/2034 (a) 1,140,000 1,139,976
-------------------
125,792,444
-------------------
Home Equity - Sequential (0.16%)
Ameriquest Mortgage Securities Inc
4.37%, 10/25/2033 913,287 909,991
Residential Asset Securities Corp
4.70%, 10/25/2031 1,500,000 1,493,997
-------------------
2,403,988
-------------------
Hotels & Motels (0.08%)
HMH Properties Inc
7.88%, 8/ 1/2008 1,140,000 1,151,400
-------------------
Independent Power Producer (0.08%)
NRG Energy Inc
7.25%, 2/ 1/2014 (d) 775,000 785,656
Reliant Energy Inc
9.50%, 7/15/2013 250,000 247,500
6.75%, 12/15/2014 200,000 172,000
-------------------
1,205,156
-------------------
Industrial Automation & Robots (0.03%)
Intermec Inc
7.00%, 3/15/2008 450,000 454,500
-------------------
Industrial Gases (0.02%)
Praxair Inc
6.50%, 3/ 1/2008 235,000 242,000
-------------------
Insurance Brokers (0.08%)
Marsh & McLennan Cos Inc
4.72%, 7/13/2007 (a) 1,275,000 1,272,959
-------------------
Investment Companies (0.11%)
Canadian Oil Sands Ltd
4.80%, 8/10/2009 (b) 1,700,000 1,669,597
-------------------
Investment Management & Advisory Services (0.12%)
Ameriprise Financial Inc
5.35%, 11/15/2010 1,860,000 1,868,973
-------------------
Life & Health Insurance (0.64%)
Hartford Life Global Funding Trusts
4.66%, 9/15/2009 (a) 3,475,000 3,481,655
Pacific Life Global Funding
4.73%, 6/22/2011 (a)(b) 2,500,000 2,500,342
Sun Life Financial Global Funding LP
4.78%, 7/ 6/2010 (a)(b) 1,750,000 1,752,154
Torchmark Corp
6.25%, 12/15/2006 500,000 503,137
UnumProvident Finance Co PLC
6.85%, 11/15/2015 (b) 1,300,000 1,356,381
-------------------
9,593,669
-------------------
Linen Supply & Related Items (0.01%)
Cintas Corp No. 2
5.13%, 6/ 1/2007 175,000 174,994
-------------------
Machinery - Construction & Mining (0.04%)
Terex Corp
9.25%, 7/15/2011 600,000 640,500
-------------------
Machinery - Farm (0.03%)
Case New Holland Inc
9.25%, 8/ 1/2011 475,000 508,250
-------------------
Machinery - Material Handling (0.03%)
Columbus McKinnon Corp/NY
10.00%, 8/ 1/2010 347,000 383,435
-------------------
Machinery Tools & Related Products (0.11%)
Kennametal Inc
7.20%, 6/15/2012 1,525,000 1,648,848
-------------------
Medical - Outpatient & Home Medical Care (0.02%)
Select Medical Corp
7.63%, 2/ 1/2015 350,000 311,500
-------------------
Medical - Drugs (0.11%)
Biovail Corp
7.88%, 4/ 1/2010 500,000 516,875
Teva Pharmaceutical Finance LLC
5.55%, 2/ 1/2016 375,000 374,174
6.15%, 2/ 1/2036 750,000 753,481
-------------------
1,644,530
-------------------
Medical - HMO (0.38%)
Coventry Health Care Inc
5.88%, 1/15/2012 2,892,000 2,906,460
WellPoint Inc
5.00%, 1/15/2011 350,000 347,415
5.25%, 1/15/2016 1,450,000 1,431,163
5.85%, 1/15/2036 1,100,000 1,095,312
-------------------
5,780,350
-------------------
Medical - Hospitals (0.26%)
HCA Inc
7.13%, 6/ 1/2006 435,000 437,566
5.25%, 11/ 6/2008 1,190,000 1,179,771
6.95%, 5/ 1/2012 1,340,000 1,378,725
9.00%, 12/15/2014 200,000 229,934
8.36%, 4/15/2024 150,000 162,106
United Surgical Partners International
10.00%, 12/15/2011 550,000 589,875
-------------------
3,977,977
-------------------
Medical - Wholesale Drug Distribution (0.13%)
AmerisourceBergen Corp
5.63%, 9/15/2012 (b) 1,950,000 1,954,875
-------------------
Medical Instruments (0.18%)
Boston Scientific Corp
5.50%, 11/15/2015 750,000 761,846
Medtronic Inc
4.75%, 9/15/2015 (b) 2,065,000 1,987,699
-------------------
2,749,545
-------------------
Medical Laboratory & Testing Service (0.08%)
Quest Diagnostics Inc
5.45%, 11/ 1/2015 (b) 1,200,000 1,196,304
-------------------
Metal - Diversified (0.14%)
Earle M Jorgensen Co
9.75%, 6/ 1/2012 450,000 488,250
Falconbridge Ltd
7.35%, 6/ 5/2012 500,000 542,522
5.38%, 6/ 1/2015 640,000 614,817
Freeport-McMoRan Copper & Gold Inc
6.88%, 2/ 1/2014 500,000 506,875
-------------------
2,152,464
-------------------
Metal Processors & Fabrication (0.02%)
Trimas Corp
9