UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-01766
Name of Registrant: | Vanguard Wellesley Income Fund |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 | |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: September 30
Date of reporting period: October 1, 2019—September 30, 2020
Item 1: | Reports to Shareholders |
Annual Report | September 30, 2020
Vanguard Wellesley® Income Fund
|
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
|
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
Your Fund’s Performance at a Glance | 1 | |
Advisor’s Report | 2 | |
About Your Fund’s Expenses | 6 | |
Performance Summary | 8 | |
Financial Statements | 11 | |
Trustees Approve Advisory Arrangement | 35 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
• For the 12 months ended September 30, 2020, Vanguard Wellesley Income Fund returned 5.24% for Admiral Shares and 5.19% for Investor Shares. It surpassed the 3.54% result of its benchmark, the Wellesley Income Composite Index, which reflects the fund’s target allocation of 65% bonds and 35% stocks.
• In the bond markets, volatility rose and liquidity fell as the pandemic spread. By the period’s end, however, bond yields had fallen and prices had risen amid unprecedented actions from policymakers and the dimmer economic outlook. Many stock market indexes reached record highs in February, then plummeted as the coronavirus spread. Stocks strongly rebounded—though they faded somewhat in September—as the response from policymakers, news of possible vaccines, and the easing of some coronavirus restrictions buoyed investors.
• The fund’s bond portfolio benefited from security selection—particularly among industrial issuers—as well as an overweight to agency mortgage-backed securities and an underweight to credit risk.
• Holdings in seven of 11 sectors in the stock portfolio outperformed the benchmark, with financials, consumer discretionary, and communication services out front.
• For the decade ended September 30, 2020, the fund’s Admiral Shares returned 7.41% and its Investor Shares returned 7.34%, annualized, ahead of the benchmark’s 6.97% result.
Market Barometer
Average Annual Total Returns | |||
Periods Ended September 30, 2020 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 16.01% | 12.38% | 14.09% |
Russell 2000 Index (Small-caps) | 0.39 | 1.77 | 8.00 |
Russell 3000 Index (Broad U.S. market) | 15.00 | 11.65 | 13.69 |
FTSE All-World ex US Index (International) | 3.55 | 1.50 | 6.49 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 6.98% | 5.24% | 4.18% |
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 4.09 | 4.28 | 3.84 |
FTSE Three-Month U.S. Treasury Bill Index | 1.02 | 1.65 | 1.15 |
CPI | |||
Consumer Price Index | 1.37% | 1.79% | 1.81% |
1
Advisor’s Report
For the 12 months ended September 30, 2020, Vanguard Wellesley Income Fund returned 5.19% for Investor Shares and 5.24% for the lower-cost Admiral Shares. The composite benchmark, which is weighted 65% Bloomberg Barclays U.S. Credit A or Better Bond Index and 35% FTSE High Dividend Yield Index, returned 3.54%.
The investment environment
For the fiscal year, the Standard & Poor’s 500 Index returned 15.15%, the MSCI World Index returned 10.99%, and the MSCI EAFE Index returned 0.49%. In the U.S., growth outperformed value, as the Russell 1000 Growth Index returned 37.53% and the Russell 1000 Value Index returned –5.03%.
During the period, the Bloomberg Barclays U.S. Aggregate Bond Index returned 6.98%. The higher-quality corporate bond market experienced stronger performance, returning 8.06%, as measured by the Bloomberg Barclays U.S. Credit A or Better Bond Index. The yield of the 10-year U.S. Treasury note ended at 0.68%, down from 1.66% in September 2019.
U.S. equities rose during the 12-month period. In the fourth quarter of 2019, stocks benefited from waning recession fears, improved trade sentiment, and accommodative Federal Reserve policies. Trade tensions were volatile during the quarter but eased in December after the U.S. and China reached a phase one trade agreement. U.S. corporate earnings exceeded expectations in the third quarter of 2019, but the blended earnings for companies in the S&P 500 Index fell 2.2% year over year, from third-quarter 2019 to third-quarter 2020—the largest decline since the second quarter of 2016.
U.S. equities ended the first quarter of 2020 sharply lower as the coronavirus caused unprecedented societal and market disruptions. Volatility surged to extreme levels, and the S&P 500 Index experienced its fastest-ever decline into a bear market. With emergency stimulus from the Fed and the U.S. government bolstering the market, U.S. equities ended the second quarter higher after an extraordinary rally drove stocks to their largest quarterly gain since the fourth quarter of 1998.
Momentum continued into the third quarter with substantial monetary support from the Fed, a broadening U.S. economic recovery, better-than-expected corporate earnings, and promising trials for COVID-19 vaccines. The U.S. economy gradually improved during the quarter. However, the path to a sustainable recovery was clouded by concerns about a resurgence in coronavirus infections, an uncertain timeline for vaccines, high unemployment, elevated debt burdens, and uncertainty about additional fiscal stimulus.
During the 12-month period, U.S. fixed income markets generated positive total returns. On an excess-return basis, most spread sectors posted negative returns over the same period. Sovereign yields declined to historic lows in several developed markets.
2
Monetary policy had taken a dovish turn in 2019 because of tepid economic data, trade policy uncertainty, and stubbornly low inflation. But in response to the COVID-19 pandemic, the Fed cut rates to near zero and committed to buying unlimited amounts of Treasury and agency mortgage-backed securities. The Fed increased the size and scope of its asset purchase program to include corporate bonds, agency commercial mortgage-backed securities, and commercial paper, and lent support to the municipal funding market.
Global central banks added extraordinary monetary stimulus to support economies. The European Central Bank expanded its massive asset purchase program, which included nonfinancial commercial paper for the first time, and eased collateral rules. Credit spreads widened as the pandemic led to a flight to safety in U.S. Treasuries.
By the end of the period, the Fed had announced a policy shift toward setting an average inflation target, which offers the Fed more flexibility. It also modified the language on its employment objective to indicate that maximum employment is a “broad-based” and “inclusive” goal and noted that policy would respond to “shortfalls” from maximum employment rather than “deviations.” We interpret this change to suggest that the Fed may adopt an asymmetrical approach to its employment objective and may refrain from taking action even as the unemployment rate remains quite low for a sustained period in the absence of an increase in inflation.
The fund’s successes
The Wellesley Income Fund’s fixed income portfolio outperformed the Bloomberg Barclays U.S. Credit A or Better Bond Index, primarily because of security selection. Our selection in investment-grade corporate bonds, particularly industrials (communications, technology, and consumer noncyclical), drove positive relative outperformance. Security selection in financials, utilities, and sovereign bonds also helped results. Finally, an underweight to industrials and an out-of-benchmark allocation to agency mortgage-backed securities pass-throughs also contributed to performance.
The stock portfolio outperformed its equity benchmark because of security selection. Strong selection in financials, real estate, and energy contributed to relative outperformance. From a sector allocation perspective, our overweight positions in health care and industrials were beneficial. Among individual stocks, our strongest contributors included cell tower operator Crown Castle, auto insurer Progressive, and railroad company Union Pacific, along with not owning benchmark constituent Wells Fargo.
The fund’s shortfalls
In the fixed income portfolio, in investment-grade credit, an overweight to and security selection in taxable municipals detracted
3
from returns. Underweights to financials and local authority bonds hindered performance. A modest out-of-benchmark allocation to structured finance, consisting of asset-backed securities, commercial mortgage-backed securities, and non-agency residential mortgage-backed securities, also detracted from results.
In the equity portfolio, strong selection in the sectors mentioned earlier was partially offset by weaker selection in health care and information technology. Our overweight to real estate and underweight to materials partially detracted from relative results. From an individual-stock perspective, our overweight to Suncor Energy and not holding benchmark constituents Qualcomm and Amgen were the largest detractors.
The fund’s positioning
We continue to maintain a modestly pro-cyclical risk posture. Our base case is for an improving economy and elevated volatility as the COVID-19 pandemic continues to unfold. Significant policy changes after the U.S. elections remain a key risk, along with a potential second wave of the coronavirus outbreak.
We expect the Fed to maintain its current trajectory and U.S. interest rates to remain low and range-bound. We have positioned the fixed income portfolio with close to benchmark-neutral duration. Credit remains the main investment focus of the portfolio and, despite credit spread compression pushing spreads to more normal levels, Fed purchases remain a tailwind and are likely to further support spread levels.
We believe credit fundamentals are likely to remain strained in the medium term; however, liquidity is robust, and spread widening is likely an opportunity for long-term investors. On an industry basis, the fixed income portfolio is currently underweight corporate credit relative to the all-credit benchmark, with a bias toward higher quality and lower volatility.
The fixed income portfolio is overweighted to less cyclical sectors such as communication services. We remain cautious about more cyclical sectors such as energy, while seeking opportunities to move up in credit quality. We are positioned with an overweight to select taxable municipals that offer diversification benefits and still have strong credit quality. The portfolio holds out-of-benchmark allocations to securitized sectors, such as traditional segments of asset-backed securities that remain well-protected from defaults, commercial mortgage-backed securities, and non-agency residential mortgage-backed securities.
In agency mortgage-backed securities, the portfolio holds an allocation to pass-throughs, focusing on low-coupon To-Be-Announced securities to maintain carry and liquidity, as well as collateralized mortgage obligations and delegated underwriting and servicing securities for their stable cash flows. Consistent with
4
our practices, we hold adequate liquidity in the fixed income portion of the fund, notably government bonds, which act as our “all-weather” liquidity buffer.
On the equity side, most of the portfolio’s net buys during the period were in industrials; by contrast, most of the net sales were in energy. The net impact of these portfolio shifts is a modest increase in the defensiveness of the portfolio.
In recent quarters, we have used weakness to upgrade the quality of the portfolio as companies with strong balance sheets and competitively advantaged positions sell off in the short term. We continue to believe the strong get stronger in crises, and we maintain our primary focus on consistently improving the downside protection of the portfolio while favoring companies that have the potential to perform well in strong market environments.
We ended the period most overweight in the industrials, health care, and real estate sectors, and most underweight in materials, energy, and information technology. Notable purchases in the equity portfolio included Johnson & Johnson, Progressive, General Dynamics, and Procter & Gamble. Notable equity eliminations included Roche and Exxon Mobil.
Michael E. Stack, CFA
Senior Managing Director and
Fixed Income Portfolio Manager
Loren L. Moran, CFA
Senior Managing Director and
Fixed Income Portfolio Manager
W. Michael Reckmeyer, III, CFA
Senior Managing Director and
Equity Portfolio Manager
Wellington Management Company llp
October 22, 2020
5
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
6
Six Months Ended September 30, 2020
Beginning | Ending | Expenses | |
Wellesley Income Fund | Account Value | Account Value | Paid During |
3/31/2020 | 9/30/2020 | Period | |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,109.47 | $1.21 |
Admiral™ Shares | 1,000.00 | 1,109.88 | 0.84 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.85 | $1.16 |
Admiral Shares | 1,000.00 | 1,024.20 | 0.81 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.23% for Investor Shares and 0.16% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).
7
Wellesley Income Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 30, 2010, Through September 30, 2020
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended September 30, 2020 | |||||
Final Value | |||||
One | Five | Ten | of a $10,000 | ||
Year | Years | Years | Investment | ||
Wellesley Income Fund Investor Shares | 5.19% | 7.31% | 7.34% | $20,301 | |
Wellesley Income Composite Index | 3.54 | 6.67 | 6.97 | 19,622 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.64 | 14,291 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.77 | 13.60 | 13.43 | 35,263 |
Wellesley Income Composite Index: Weighted 65% bonds and 35% stocks. For bonds: Lehman U.S. Long Credit AA or Better Bond Index through March 31, 2000, and Bloomberg Barclays U.S. Credit A or Better Bond Index thereafter. For stocks: 26% S&P 500/Barra Value Index and 9% S&P Utilities Index through June 30, 1996, when the utilities component was split into the S&P Utilities Index (4.5%) and the S&P Telephone Index (4.5%); as of January 1, 2002, the S&P Telephone Index was replaced by the S&P Integrated Telecommunication Services Index; as of July 1, 2006, the S&P 500/Barra Value Index was replaced by the S&P 500/Citigroup Value Index; as of August 1, 2007, the three stock indexes were replaced by the FTSE High Dividend Yield Index.
See Financial Highlights for dividend and capital gains information.
8
Wellesley Income Fund
Average Annual Total Returns | ||||
Periods Ended September 30, 2020 | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Wellesley Income Fund Admiral Shares | 5.24% | 7.38% | 7.41% | $102,180 |
Wellesley Income Composite Index | 3.54 | 6.67 | 6.97 | 98,110 |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.64 | 71,455 |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.77 | 13.60 | 13.43 | 176,315 |
9
Wellesley Income Fund
Fund Allocation
As of September 30, 2020
Asset-Backed/Commercial Mortgage-Backed Securities | 2.4 | % | ||
Common Stocks | 39.2 | |||
Corporate Bonds—Finance | 16.6 | |||
Corporate Bonds—Industrial | 23.0 | |||
Corporate Bonds—Utilities | 5.8 | |||
Sovereign Bonds | 2.1 | |||
Taxable Municipal Bonds | 3.6 | |||
U.S. Government and Agency Obligations | 7.3 |
The table reflects the fund's investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
10
Wellesley Income Fund
Financial Statements
Schedule of Investments—Investments Summary
As of September 30, 2020
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Face | Market | Percentage | ||||
Maturity | Amount | Value· | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
U.S. Government and Agency Obligations | ||||||
U.S. Government Securities | ||||||
1 | United States Treasury Note/Bond | 0.250% | 5/31/25 | 845,000 | 844,738 | 1.4% |
1 | United States Treasury Note/Bond | 0.250% | 7/31/25 | 541,355 | 540,846 | 0.9% |
United States Treasury Note/Bond | 0.625% | 5/15/30 | 429,620 | 428,078 | 0.7% | |
United States Treasury Note/Bond | 1.500% | 2/15/30 | 335,365 | 361,721 | 0.6% | |
United States Treasury Note/Bond | 1.125% | 8/15/40 | 270,375 | 265,349 | 0.4% | |
1,2 | United States Treasury Note/Bond | 0.125%–3.625% | 12/31/22–8/15/50 | 684,526 | 704,843 | 1.2% |
3,145,575 | 5.2% | |||||
Agency Notes † | 31,124 | 0.1% | ||||
Conventional Mortgage-Backed Securities | ||||||
3,4 | Fannie Mae Pool | 2.500%–3.070% | 2/1/25–11/1/49 | 95,418 | 102,121 | 0.2% |
¤,3,4 | UMBS Pool | 2.000% | 10/1/35 | 254,500 | 264,451 | 0.4% |
¤,3,4 | UMBS Pool | 2.000%–2.500% | 10/1/50–11/1/50 | 64,300 | 66,389 | 0.1% |
Conventional Mortgage-Backed Securities—Other † | 2,309 | 0.0% | ||||
435,270 | 0.7% | |||||
Nonconventional Mortgage-Backed Securities | ||||||
3,4 | Fannie Mae REMICS | 1.250%–4.000% | 2/25/28–6/25/59 | 465,135 | 493,020 | 0.8% |
Nonconventional Mortgage-Backed Securities—Other † | 178,563 | 0.3% | ||||
671,583 | 1.1% | |||||
Total U.S. Government and Agency Obligations (Cost $4,216,240) | 4,283,552 | 7.1% |
11 |
Wellesley Income Fund
Face | Market | Percentage | ||||
Maturity | Amount | Value· | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
5Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,420,367) † | 1,438,010 | 2.4% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
4 | Bank of America Corp. | 2.496%–6.110% | 1/11/23–3/15/49 | 656,288 | 753,604 | 1.3% |
Bank One Corp. | 7.750% | 7/15/25 | 25,000 | 32,369 | 0.1% | |
4 | Goldman Sachs Group Inc. | 2.625%–6.250% | 2/25/21–7/8/44 | 595,045 | 662,377 | 1.1% |
4 | JPMorgan Chase & Co. | 2.950%–5.625% | 5/1/23–4/22/50 | 601,895 | 722,401 | 1.2% |
4 | Morgan Stanley | 2.500%–7.250% | 1/25/21–1/27/45 | 543,865 | 612,356 | 1.0% |
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 18,144 | 0.0% | |
4 | Wells Fargo & Co. | 2.572%–5.606% | 3/8/22–12/7/46 | 638,670 | 711,289 | 1.2% |
5 | Banking—Other † | 4,244,767 | 7.0% | |||
Brokerage † | 76,250 | 0.1% | ||||
5 | Finance Companies † | 3,930 | 0.0% | |||
5 | Insurance † | 1,740,670 | 2.9% | |||
5 | Real Estate Investment Trusts † | 223,684 | 0.4% | |||
9,801,841 | 16.3% | |||||
Industrial | ||||||
5 | Basic Industry † | 93,214 | 0.2% | |||
Capital Goods | ||||||
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 39,500 | 41,821 | 0.1% | |
Caterpillar Inc. | 2.600%–5.200% | 5/27/21–5/27/41 | 65,455 | 75,818 | 0.1% | |
Lockheed Martin Corp. | 1.850%–4.700% | 11/23/20–9/15/52 | 76,112 | 88,055 | 0.2% | |
5 | Capital Goods—Other † | 734,614 | 1.2% | |||
Communication | ||||||
Comcast Corp. | 2.350%–4.950% | 2/1/24–10/15/58 | 568,411 | 696,613 | 1.2% | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 10,639 | 13,512 | 0.0% | |
5 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 47,943 | 0.1% |
Verizon Communications Inc. | 3.450%–5.012% | 3/15/21–3/15/55 | 204,481 | 268,454 | 0.4% | |
5 | Communication—Other † | 1,105,732 | 1.8% | |||
5 | Consumer Cyclical † | 1,295,210 | 2.1% | |||
Consumer Noncyclical | ||||||
Johnson & Johnson | 2.450%–6.730% | 11/15/23–3/1/26 | 93,000 | 102,881 | 0.2% | |
Medtronic Inc. | 3.150%–3.500% | 3/15/22–3/15/25 | 38,039 | 40,800 | 0.1% | |
Merck & Co. Inc. | 2.750%–4.150% | 2/10/25–5/18/43 | 124,795 | 145,178 | 0.2% | |
Pfizer Inc. | 1.700%–4.100% | 6/15/23–5/28/50 | 191,950 | 220,033 | 0.4% | |
Philip Morris International Inc. | 2.500%–4.875% | 5/17/21–11/10/44 | 114,240 | 127,268 | 0.2% | |
4 | Procter & Gamble - Esop | 9.360% | 1/1/21 | 1,529 | 1,553 | 0.0% |
5 | Upjohn Inc. | 3.850%–4.000% | 6/22/40–6/22/50 | 51,574 | 55,098 | 0.1% |
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 22,293 | 0.0% | |
5 | Consumer Noncyclical—Other † | 3,469,276 | 5.7% | |||
Energy | ||||||
Dominion Energy Gas Holdings LLC | 3.000%–4.800% | 11/1/23–12/15/44 | 54,858 | 63,194 | 0.1% | |
5 | Energy—Other † | 1,227,490 | 2.0% | |||
5 | Other Industrial † | 345,014 | 0.6% | |||
Technology | ||||||
Apple Inc. | 2.450%–4.450% | 2/23/23–8/20/60 | 545,107 | 603,790 | 1.0% | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 17,445 | 0.0% |
12 |
Wellesley Income Fund
Face | Market | Percentage | ||||
Maturity | Amount | Value· | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
5 | Technology—Other † | 2,072,810 | 3.5% | |||
5 | Transportation † | 544,663 | 0.9% | |||
13,519,772 | 22.4% | |||||
Utilities | ||||||
Electric | ||||||
5 | Dominion Energy Inc. | 2.450%–4.900% | 8/15/21–3/15/49 | 148,852 | 162,006 | 0.2% |
Dominion Energy South Carolina Inc. | 4.600%–6.625% | 2/1/32–6/1/65 | 70,885 | 101,939 | 0.2% | |
Virginia Electric & Power Co. | 3.500%–6.000% | 3/15/27–5/15/37 | 50,200 | 59,975 | 0.1% | |
5 | Electric—Other † | 2,643,380 | 4.4% | |||
Natural Gas | ||||||
5 | East Ohio Gas Co. | 2.000%–3.000% | 6/15/30–6/15/50 | 33,015 | 34,273 | 0.1% |
5 | Natural Gas—Other † | 331,631 | 0.5% | |||
Other Utility † | 67,244 | 0.1% | ||||
3,400,448 | 5.6% | |||||
Total Corporate Bonds (Cost $23,977,138) | 26,722,061 | 44.3% | ||||
5Sovereign Bonds (Cost $1,153,393) † | 1,264,428 | 2.1% | ||||
Taxable Municipal Bonds (Cost $1,793,245) † | 2,116,723 | 3.5% |
Shares | ||||||
Common Stocks | ||||||
Communication Services | ||||||
Comcast Corp. Class A | 15,916,673 | 736,305 | 1.2% | |||
Verizon Communications Inc. | 12,181,280 | 724,664 | 1.2% | |||
Communication Services—Other † | 68,234 | 0.1% | ||||
1,529,203 | 2.5% | |||||
Consumer Discretionary | ||||||
McDonald’s Corp. | 2,053,060 | 450,626 | 0.8% | |||
VF Corp. | 3,600,431 | 252,930 | 0.4% | |||
Home Depot Inc. | 888,556 | 246,761 | 0.4% | |||
Consumer Discretionary—Other † | 125,394 | 0.2% | ||||
1,075,711 | 1.8% | |||||
Consumer Staples | ||||||
Procter & Gamble Co. | 5,293,289 | 735,714 | 1.2% | |||
Philip Morris International Inc. | 6,674,304 | 500,506 | 0.8% | |||
Coca-Cola Co. | 9,258,057 | 457,070 | 0.8% | |||
PepsiCo Inc. | 2,552,304 | 353,750 | 0.6% | |||
Archer-Daniels-Midland Co. | 7,517,871 | 349,506 | 0.6% | |||
Mondelez International Inc. Class A | 5,717,754 | 328,485 | 0.5% | |||
Kellogg Co. | 4,323,700 | 279,268 | 0.5% | |||
Unilever NV | 4,087,868 | 246,907 | 0.4% | |||
3,251,206 | 5.4% | |||||
Energy | ||||||
^ | TC Energy Corp. | 5,830,020 | 244,751 | 0.4% | ||
Energy—Other † | 532,191 | 0.9% | ||||
776,942 | 1.3% |
13 |
Wellesley Income Fund
Market | Percentage | |||
Value· | of Net | |||
Shares | ($000) | Assets | ||
Financials | ||||
JPMorgan Chase & Co. | 7,547,908 | 726,637 | 1.2% | |
Bank of America Corp. | 26,036,220 | 627,213 | 1.0% | |
Progressive Corp. | 5,824,090 | 551,367 | 0.9% | |
BlackRock Inc. | 734,719 | 414,051 | 0.7% | |
MetLife Inc. | 10,752,977 | 399,688 | 0.7% | |
Chubb Ltd. | 3,181,420 | 369,427 | 0.6% | |
Truist Financial Corp. | 6,922,562 | 263,403 | 0.4% | |
Financials—Other † | 651,867 | 1.1% | ||
4,003,653 | 6.6% | |||
Health Care | ||||
Johnson & Johnson | 7,649,978 | 1,138,929 | 1.9% | |
Pfizer Inc. | 22,672,342 | 832,075 | 1.4% | |
Medtronic plc | 5,595,648 | 581,500 | 1.0% | |
Merck & Co. Inc. | 5,526,474 | 458,421 | 0.7% | |
CVS Health Corp. | 5,642,974 | 329,549 | 0.5% | |
AstraZeneca plc ADR | 5,410,804 | 296,512 | 0.5% | |
Novartis AG | 2,835,402 | 246,182 | 0.4% | |
Health Care—Other † | 458,760 | 0.8% | ||
4,341,928 | 7.2% | |||
Industrials | ||||
Lockheed Martin Corp. | 1,343,437 | 514,913 | 0.9% | |
Caterpillar Inc. | 3,391,245 | 505,804 | 0.8% | |
Eaton Corp. plc | 4,878,094 | 497,712 | 0.8% | |
Union Pacific Corp. | 2,113,263 | 416,038 | 0.7% | |
General Dynamics Corp. | 2,279,600 | 315,565 | 0.5% | |
Industrials—Other † | 831,423 | 1.4% | ||
3,081,455 | 5.1% | |||
Information Technology | ||||
Cisco Systems Inc. | 19,042,823 | 750,097 | 1.3% | |
Intel Corp. | 9,514,069 | 492,638 | 0.8% | |
Corning Inc. | 12,440,433 | 403,194 | 0.7% | |
Automatic Data Processing Inc. | 1,915,977 | 267,260 | 0.4% | |
Information Technology—Other † | 349,793 | 0.6% | ||
2,262,982 | 3.8% | |||
Materials † | 229,969 | 0.4% | ||
Real Estate | ||||
Crown Castle International Corp. | 3,081,458 | 513,063 | 0.8% | |
Utilities | ||||
Dominion Energy Inc. | 5,746,518 | 453,573 | 0.7% | |
Sempra Energy | 2,508,127 | 296,862 | 0.5% | |
Duke Energy Corp. | 3,304,128 | 292,614 | 0.5% | |
Exelon Corp. | 7,629,894 | 272,845 | 0.5% | |
American Electric Power Co. Inc. | 3,269,237 | 267,195 | 0.4% | |
Utilities—Other † | 464,058 | 0.8% | ||
2,047,147 | 3.4% | |||
Total Common Stocks (Cost $18,133,295) | 23,113,259 | 38.3% |
14 |
Wellesley Income Fund
Market | Percentage | ||||
Value· | of Net | ||||
Coupon | Shares | ($000) | Assets | ||
Temporary Cash Investments | |||||
Money Market Fund | |||||
6,7 Vanguard Market Liquidity Fund | 0.117% | 1,426,044 | 142,605 | 0.3% |
Face | |||||
Maturity | Amount | ||||
Coupon | Date | ($000) | |||
Repurchase Agreements | |||||
Bank of America Securities, LLC (Dated 9/30/20, Repurchase Value $116,700,000, collateralized by Federal Home Loan Mortgage Corp., 2.391%–3.500%, 11/1/45–10/1/50, Federal National Mortgage Assn., 1.932%–4.500%, 9/1/28–10/1/50, with a value of $119,034,000) | 0.080% | 10/1/20 | 116,700 | 116,700 | 0.2% |
Deutsche Bank Securities, Inc. (Dated 9/30/20, Repurchase Value $1,900,000, collateralized by U.S. Treasury Bill, 0.000%, 2/23/21, with a value of $1,938,000) | 0.080% | 10/1/20 | 1,900 | 1,900 | 0.0% |
HSBC Bank USA (Dated 9/30/20, Repurchase Value $220,200,000, collateralized by U.S. Treasury Note/Bond, 0.125%–2.625%, 11/15/20–2/15/46, with a value of $224,604,000) | 0.060% | 10/1/20 | 220,200 | 220,200 | 0.4% |
HSBC Bank USA (Dated 9/30/20, Repurchase Value $111,800,000, collateralized by Federal Home Loan Mortgage Corp., 3.000%–4.000%, 10/1/26–7/1/46, and Federal National Mortgage Assn., 2.000%–5.000%, 7/1/30–7/1/50, with a value of $114,036,000) | 0.080% | 10/1/20 | 111,800 | 111,800 | 0.2% |
JP Morgan Securities LLC (Dated 9/30/20, Repurchase Value $175,000,000, collateralized by U.S. Treasury Note/Bond, 0.250%–2.875%, 8/31/25–8/15/45, with a value of $178,500,000) | 0.060% | 10/1/20 | 175,000 | 175,000 | 0.3% |
15 |
Wellesley Income Fund
Face | Market | Percentage | ||||
Maturity | Amount | Value· | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Natixis (Dated 9/30/20, Repurchase Value $237,600,000, collateralized by Federal Home Loan Mortgage Corp., 0.000%, 3/15/29, U.S. Treasury Bill, 0.000%, 5/20/21, and U.S. Treasury Note/Bond, 0.625%–3.375%, 6/30/22–2/15/50, with a value of $242,352,000) | 0.060% | 10/1/20 | 237,600 | 237,600 | 0.4% | |
Nomura International plc (Dated 9/30/20, Repurchase Value $144,800,000, collateralized by U.S. Treasury Note/Bond, 0.125%–1.750%, 12/31/20–9/15/23, with a value of $147,696,000) | 0.060% | 10/1/20 | 144,800 | 144,800 | 0.2% | |
RBC Capital Markets LLC (Dated 9/30/20, Repurchase Value $63,300,000, collateralized by Federal National Mortgage Assn., 2.000%–5.000%, 9/1/42–9/1/50, with a value of $64,566,000) | 0.070% | 10/1/20 | 63,300 | 63,300 | 0.1% | |
RBS Securities, Inc. (Dated 9/30/20, Repurchase Value $366,301,000, collateralized by U.S. Treasury Note/Bond, 0.125%–3.125%, 8/15/21–2/15/43, with a value of $373,626,000) | 0.060% | 10/1/20 | 366,300 | 366,300 | 0.6% | |
1,437,600 | 2.4% |
16 |
Wellesley Income Fund
Face | Market | Percentage | |||
Maturity | Amount | Value· | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
United States Treasury Bill | 0.143% | 10/15/20 | 200,000 | 199,994 | 0.3% |
8Commercial Paper † | 13,188 | 0.0% | |||
Total Temporary Cash Investments (Cost $1,793,355) | 1,793,387 | 3.0% | |||
Total Investments (Cost $52,487,033) | 60,731,420 | 100.7% | |||
Other Assets and Liabilities—Net | (427,369) | (0.7%) | |||
Net Assets | 60,304,051 | 100.0% |
Cost is in $000.
• | See Note A in Notes to Financial Statements. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $130,142,000. |
¤ | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2020. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
1 | Securities with a value of $5,233,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $63,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
5 | Certain securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the aggregate value of these securities was $7,102,111,000, representing 11.8% of net assets. |
6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
7 | Collateral of $142,600,000 was received for securities on loan. |
8 | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At September 30, 2020, the value of these securities was $13,188,000, representing 0.0% of net assets. |
ADR—American Depositary Receipt. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
17 |
Wellesley Income Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
($000) | |||||
Value and | |||||
Number of | Unrealized | ||||
Long (Short) | Notional | Appreciation | |||
Expiration | Contracts | Amount | (Depreciation) | ||
Long Futures Contracts | |||||
10-Year U.S. Treasury Note | December 2020 | 4,064 | 567,055 | 732 | |
5-Year U.S. Treasury Note | December 2020 | 3,384 | 426,490 | 69 | |
801 |
See accompanying Notes, which are an integral part of the Financial Statements.
18 |
Wellesley Income Fund
Statement of Assets and Liabilities
As of September 30, 2020
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $52,344,429) | 60,588,815 |
Affiliated Issuers (Cost $142,604) | 142,605 |
Total Investments in Securities | 60,731,420 |
Investment in Vanguard | 2,489 |
Foreign Currency, at Value (Cost $531) | 533 |
Cash | 996 |
Receivables for Investment Securities Sold | 164,407 |
Receivables for Accrued Income | 313,943 |
Receivables for Capital Shares Issued | 62,452 |
Total Assets | 61,276,240 |
Liabilities | |
Payables for Investment Securities Purchased | 776,649 |
Collateral for Securities on Loan | 142,600 |
Payables to Investment Advisor | 9,520 |
Payables for Capital Shares Redeemed | 38,964 |
Payables to Vanguard | 3,674 |
Variation Margin Payable—Futures Contracts | 782 |
Total Liabilities | 972,189 |
Net Assets | 60,304,051 |
At September 30, 2020, net assets consisted of: | |
Paid-in Capital | 51,106,477 |
Total Distributable Earnings (Loss) | 9,197,574 |
Net Assets | 60,304,051 |
Investor Shares—Net Assets | |
Applicable to 446,508,097 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,260,063 |
Net Asset Value Per Share—Investor Shares | $27.46 |
Admiral Shares—Net Assets | |
Applicable to 722,369,983 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 48,043,988 |
Net Asset Value Per Share—Admiral Shares | $66.51 |
See accompanying Notes, which are an integral part of the Financial Statements.
19 |
Wellesley Income Fund
Statement of Operations
Year Ended | |
September 30, 2020 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 701,247 |
Interest | 1,113,295 |
Securities Lending—Net | 730 |
Total Income | 1,815,272 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 31,627 |
Performance Adjustment | 5,268 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 20,128 |
Management and Administrative—Admiral Shares | 42,849 |
Marketing and Distribution—Investor Shares | 1,323 |
Marketing and Distribution—Admiral Shares | 2,403 |
Custodian Fees | 304 |
Auditing Fees | 31 |
Shareholders’ Reports—Investor Shares | 244 |
Shareholders’ Reports—Admiral Shares | 282 |
Trustees’ Fees and Expenses | 90 |
Total Expenses | 104,549 |
Net Investment Income | 1,710,723 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 1,128,726 |
Futures Contracts | 57,489 |
Options Purchased | (2,499) |
Forward Currency Contracts | (417) |
Foreign Currencies | (196) |
Realized Net Gain (Loss) | 1,183,103 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (139,133) |
Futures Contracts | 9,856 |
Forward Currency Contracts | (79) |
Foreign Currencies | 900 |
Change in Unrealized Appreciation (Depreciation) | (128,456) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,765,370 |
1 | Dividends are net of foreign withholding taxes of $9,852,000. |
2 | Realized net gain (loss) and change in unrealized appreciation (depreciation) from an affiliated company of the fund were ($3,000), and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
20 |
Wellesley Income Fund
Statement of Changes in Net Assets
Year Ended September 30, | ||
2020 | 2019 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,710,723 | 1,685,970 |
Realized Net Gain (Loss) | 1,183,103 | 612,150 |
Change in Unrealized Appreciation (Depreciation) | (128,456) | 3,156,344 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,765,370 | 5,454,464 |
Distributions1 | ||
Investor Shares | (501,533) | (849,601) |
Admiral Shares | (1,842,363) | (2,889,069) |
Total Distributions | (2,343,896) | (3,738,670) |
Capital Share Transactions | ||
Investor Shares | (702,626) | 91,771 |
Admiral Shares | 2,628,909 | 2,994,747 |
Net Increase (Decrease) from Capital Share Transactions | 1,926,283 | 3,086,518 |
Total Increase (Decrease) | 2,347,757 | 4,802,312 |
Net Assets | ||
Beginning of Period | 57,956,294 | 53,153,982 |
End of Period | 60,304,051 | 57,956,294 |
1 Certain prior-period numbers have been reclassified to conform with the current-period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
21 |
Wellesley Income Fund
Financial Highlights
Investor Shares
For a Share Outstanding | Year Ended September 30, | ||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
Net Asset Value, Beginning of Period | $27.18 | $26.43 | $26.66 | $26.13 | $24.71 |
Investment Operations | |||||
Net Investment Income | .7751 | .8031 | .7791 | .7691 | .761 |
Net Realized and Unrealized Gain (Loss) on Investments | .576 | 1.787 | .086 | .810 | 2.014 |
Total from Investment Operations | 1.351 | 2.590 | .865 | 1.579 | 2.775 |
Distributions | |||||
Dividends from Net Investment Income | (.789) | (.799) | (.786) | (.780) | (.746) |
Distributions from Realized Capital Gains | (.282) | (1.041) | (.309) | (.269) | (.609) |
Total Distributions | (1.071) | (1.840) | (1.095) | (1.049) | (1.355) |
Net Asset Value, End of Period | $27.46 | $27.18 | $26.43 | $26.66 | $26.13 |
Total Return2 | 5.19% | 10.54% | 3.28% | 6.22% | 11.58% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $12,260 | $12,864 | $12,398 | $14,220 | $14,175 |
Ratio of Total Expenses to Average Net Assets3 | 0.23% | 0.23% | 0.23% | 0.22% | 0.22% |
Ratio of Net Investment Income to Average Net Assets | 2.86% | 3.08% | 2.93% | 2.95% | 3.02% |
Portfolio Turnover Rate4 | 53% | 28% | 36% | 22% | 31% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of 0.01%, 0.01%, 0.00%, (0.00%), and 0.00%. |
4 | Includes 7%, 2%, 4%, 1%, and 15% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
22 |
Wellesley Income Fund
Financial Highlights
Admiral Shares
For a Share Outstanding | Year Ended September 30, | ||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
Net Asset Value, Beginning of Period | $65.85 | $64.03 | $64.57 | $63.30 | $59.87 |
Investment Operations | |||||
Net Investment Income | 1.9231 | 1.9901 | 1.9341 | 1.9081 | 1.887 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.379 | 4.331 | .226 | 1.945 | 4.868 |
Total from Investment Operations | 3.302 | 6.321 | 2.160 | 3.853 | 6.755 |
Distributions | |||||
Dividends from Net Investment Income | (1.959) | (1.979) | (1.951) | (1.932) | (1.850) |
Distributions from Realized Capital Gains | (.683) | (2.522) | (.749) | (.651) | (1.475) |
Total Distributions | (2.642) | (4.501) | (2.700) | (2.583) | (3.325) |
Net Asset Value, End of Period | $66.51 | $65.85 | $64.03 | $64.57 | $63.30 |
Total Return2 | 5.24% | 10.62% | 3.38% | 6.27% | 11.64% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $48,044 | $45,092 | $40,756 | $39,974 | $35,678 |
Ratio of Total Expenses to Average Net Assets3 | 0.16% | 0.16% | 0.16% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.93% | 3.15% | 3.00% | 3.02% | 3.09% |
Portfolio Turnover Rate4 | 53% | 28% | 36% | 22% | 31% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of 0.01%, 0.01%, 0.00%, (0.00%), and 0.00%. |
4 | Includes 7%, 2%, 4%, 1%, and 15% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
23 |
Wellesley Income Fund
Notes to Financial Statements
Vanguard Wellesley Income Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market-or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
24 |
Wellesley Income Fund
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended September 30, 2020, the fund’s average investments in long and short futures contracts represented 2% and 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
25 |
Wellesley Income Fund
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the year ended September 30, 2020, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The fund had no open forward currency contracts at September 30, 2020.
5. Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.
The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.
Options on futures contracts are valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended September 30, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period. The fund had no open options contracts at September 30, 2020.
6. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a
26 |
Wellesley Income Fund
counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
7. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
8. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
9. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
27 |
Wellesley Income Fund
10. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
11. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
12. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
28 |
Wellesley Income Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended September 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
13. Other: Dividend income is recorded on the ex-dividend date. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. The basic fee is subject to quarterly adjustments based on the fund’s performance relative to a combined index comprising the Bloomberg Barclays U.S. Credit A or Better Bond Index and the FTSE High Dividend Yield Index for the preceding three years. For the year ended September 30, 2020, the investment advisory fee represented an effective annual basic rate of 0.05% of the fund’s average net assets before an increase of $5,268,000 (0.01%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At September 30, 2020, the fund had contributed to Vanguard capital in the amount of $2,489,000, representing less than 0.01% of the fund’s net assets and 1.00% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
29 |
Wellesley Income Fund
The following table summarizes the market value of the fund’s investments and derivatives as of September 30, 2020, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | Total | |
($000) | ($000) | ($000) | ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 4,283,552 | — | 4,283,552 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,438,010 | — | 1,438,010 |
Corporate Bonds | — | 26,722,061 | — | 26,722,061 |
Sovereign Bonds | — | 1,264,428 | — | 1,264,428 |
Taxable Municipal Bonds | — | 2,116,723 | — | 2,116,723 |
Common Stocks | 22,518,949 | 594,310 | — | 23,113,259 |
Temporary Cash Investments | 142,605 | 1,650,782 | — | 1,793,387 |
Total | 22,661,554 | 38,069,866 | — | 60,731,420 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 782 | — | — | 782 |
1 Represents variation margin on the last day of the reporting period.
E. At September 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Interest Rate | Currency | |||
Contracts | Contracts | Total | ||
Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) | |
Variation Margin Payable—Futures Contracts | 782 | — | 782 | |
Total Liabilities | 782 | — | 782 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended September 30, 2020, were:
Interest Rate | Currency | |||
Contracts | Contracts | Total | ||
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | |
Futures Contracts | 57,489 | — | 57,489 | |
Options Purchased | (2,499) | — | (2,499) | |
Forward Currency Contracts | — | (417) | (417) | |
Realized Net Gain (Loss) on Derivatives | 54,990 | (417) | 54,573 | |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 9,856 | — | 9,856 | |
Forward Currency Contracts | — | (79) | (79) | |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 9,856 | (79) | 9,777 |
30 |
Wellesley Income Fund
F. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and distributions in connection with fund share redemptions were reclassified between the following accounts:
Amount | |
($000) | |
Paid-in Capital | 124,821 |
Total Distributable Earnings (Loss) | (124,821) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the deferral of losses from straddles; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
Amount | |
($000) | |
Undistributed Ordinary Income | 174,208 |
Undistributed Long-Term Gains | 808,205 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 8,215,161 |
The tax character of distributions paid was as follows:
Year Ended September 30, | ||
2020 | 2019 | |
Amount | Amount | |
($000) | ($000) | |
Ordinary Income* | 1,866,829 | 1,670,386 |
Long-Term Capital Gains | 477,067 | 2,068,284 |
Total | 2,343,896 | 3,738,670 |
* Includes short-term capital gains, if any.
31 |
Wellesley Income Fund
As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount | |
($000) | |
Tax Cost | 52,517,074 |
Gross Unrealized Appreciation | 9,022,351 |
Gross Unrealized Depreciation | (808,005) |
Net Unrealized Appreciation (Depreciation) | 8,214,346 |
G. During the year ended September 30, 2020, the fund purchased $16,222,395,000 of investment securities and sold $12,959,075,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $15,370,846,000 and $17,426,408,000, respectively.
H. Capital share transactions for each class of shares were:
Year Ended September 30, | |||||
2020 | 2019 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 2,619,685 | 96,662 | 1,975,289 | 75,854 | |
Issued in Lieu of Cash Distributions | 464,104 | 17,599 | 787,384 | 31,482 | |
Redeemed | (3,786,415) | (141,001) | (2,670,902) | (103,132) | |
Net Increase (Decrease)—Investor Shares | (702,626) | (26,740) | 91,771 | 4,204 | |
Admiral Shares | |||||
Issued | 9,156,581 | 139,203 | 6,194,924 | 98,092 | |
Issued in Lieu of Cash Distributions | 1,608,786 | 25,178 | 2,553,941 | 42,137 | |
Redeemed | (8,136,458) | (126,832) | (5,754,118) | (91,951) | |
Net Increase (Decrease)—Admiral Shares | 2,628,909 | 37,549 | 2,994,747 | 48,278 |
I. Management has determined that no events or transactions occurred subsequent to September 30, 2020, that would require recognition or disclosure in these financial statements.
32 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Vanguard Wellesley Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments—investments summary, of Vanguard Wellesley Income Fund (the “Fund”) as of September 30, 2020, the related statement of operations for the year ended September 30, 2020, the statement of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2020 and the financial highlights for each of the five years in the period ended September 30, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 17, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
33 |
Special 2020 tax information (unaudited) for Vanguard Wellesley Income Fund
This information for the fiscal year ended September 30, 2020, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $578,800,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
The fund distributed $690,582,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 31.1% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
34 |
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Wellesley Income Fund has renewed the fund’s investment advisory arrangement with Wellington Management Company LLP (Wellington Management). The board determined that renewing the fund’s advisory arrangement was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional managers. The fund seeks long-term growth of income, a high and sustainable level of current income, and moderate long-term capital appreciation by investing in high-quality bonds and stocks. Asset allocation changes are made gradually in response to changes in relative valuations between asset classes. For the fixed income portion of the fund, Wellington Management uses fundamental research to invest in investment-grade debt. For the equity portion, the advisor seeks to invest in large-capitalization companies with an attractive dividend yield relative to the market, below-average valuations, and stable or improving businesses. Wellington Management has advised the fund since its inception in 1970.
The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.
35 |
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average.
The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the fund’s advisory fee schedule. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
36 |
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Credit A or Better Bond Index (Index or Bloomberg Barclays Index).
Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Wellesley Income Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Wellesley Income Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Wellesley Income Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Wellesley Income Fund or the owners of the Wellesley Income Fund.
Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Wellesley Income Fund. Investors acquire the Wellesley Income Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Wellesley Income Fund. The Wellesley Income Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Wellesley Income Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Wellesley Income Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Wellesley Income Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Wellesley Income Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Wellesley Income Fund.
The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Wellesley Income Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Wellesley Income Fund, investors or other third parties.
NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE WELLESLEY INCOME FUND.
None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.
© 2020 Bloomberg. Used with Permission.
Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.
37 |
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018– present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory
1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee (retired June 2020). Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: board chair (2020–present), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of the individual life and disability division of Guardian Life. Member of the board of the American Council of Life Insurers and the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and member of the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Deputy assistant to the President of the United States (2015).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
Joseph Brennan | James M. Norris |
Mortimer J. Buckley | Thomas M. Rampulla |
Gregory Davis | Karin A. Risi |
John James | Anne E. Robinson |
John T. Marcante | Michael Rollings |
Chris D. McIsaac | Lauren Valente |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
CFA® is a registered trademark owned by CFA Institute.
© 2020 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q270 112020 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended September 30, 2020: $31,000
Fiscal Year Ended September 30, 2019: $32,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended September 30, 2020: $10,761,407
Fiscal Year Ended September 30, 2019: $9,568,215
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended September 30, 2020: $2,915,863
Fiscal Year Ended September 30, 2019: $3,012,031
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended September 30, 2020: $247,168
Fiscal Year Ended September 30, 2019: $357,238
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended September 30, 2020: $115,000
Fiscal Year Ended September 30, 2019: $0
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended September 30, 2020: $362,168
Fiscal Year Ended September 30, 2019: $357,238
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Vanguard® Wellesley® Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (7.1%) | ||||||
U.S. Government Securities (5.2%) | ||||||
United States Treasury Note/Bond | 2.125% | 12/31/22 | 10,400 | 10,861 | ||
United States Treasury Note/Bond | 0.125% | 5/15/23 | 105,440 | 105,375 | ||
1 | United States Treasury Note/Bond | 0.250% | 5/31/25 | 845,000 | 844,738 | |
1 | United States Treasury Note/Bond | 0.250% | 7/31/25 | 541,355 | 540,846 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 10,230 | 11,082 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 145,000 | 144,842 | ||
2 | United States Treasury Note/Bond | 2.250% | 11/15/27 | 23,580 | 26,509 | |
1 | United States Treasury Note/Bond | 3.125% | 11/15/28 | 8,235 | 9,918 | |
United States Treasury Note/Bond | 2.375% | 5/15/29 | 30,515 | 35,102 | ||
United States Treasury Note/Bond | 1.625% | 8/15/29 | 7,430 | 8,086 | ||
United States Treasury Note/Bond | 1.500% | 2/15/30 | 335,365 | 361,721 | ||
United States Treasury Note/Bond | 0.625% | 5/15/30 | 429,620 | 428,078 | ||
United States Treasury Note/Bond | 0.625% | 8/15/30 | 100,000 | 99,422 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 270,375 | 265,349 | ||
United States Treasury Note/Bond | 3.625% | 2/15/44 | 13,285 | 19,413 | ||
United States Treasury Note/Bond | 2.875% | 5/15/49 | 405 | 542 | ||
United States Treasury Note/Bond | 2.000% | 2/15/50 | 76,461 | 86,473 | ||
1 | United States Treasury Note/Bond | 1.250% | 5/15/50 | 97,755 | 92,623 | |
United States Treasury Note/Bond | 1.375% | 8/15/50 | 55,790 | 54,595 | ||
3,145,575 | ||||||
Agency Notes (0.1%) | ||||||
Tennessee Valley Authority | 4.625% | 9/15/60 | 19,800 | 31,124 | ||
Conventional Mortgage-Backed Securities (0.7%) | ||||||
3,4 | Fannie Mae Pool | 2.500% | 8/1/27–11/1/49 | 55,218 | 58,093 | |
3,4 | Fannie Mae Pool | 2.780% | 6/1/26 | 28,500 | 31,307 | |
3,4 | Fannie Mae Pool | 3.070% | 2/1/25 | 11,700 | 12,721 | |
3,4 | Freddie Mac Gold Pool | 4.000% | 7/1/33 | 3 | 4 | |
3 | Ginnie Mae I Pool | 6.000% | 6/15/31–7/15/35 | 23 | 25 | |
3 | Ginnie Mae I Pool | 6.500% | 4/15/32–9/15/38 | 1,989 | 2,280 | |
¤,3,4 | UMBS Pool | 2.000% | 10/1/35–11/1/50 | 318,800 | 330,840 | |
435,270 | ||||||
Nonconventional Mortgage-Backed Securities (1.1%) | ||||||
3,4 | Fannie Mae REMICS | 1.250% | 2/25/28 | 19,168 | 19,348 | |
3,4 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 22,231 | 22,531 | |
3,4 | Fannie Mae REMICS | 1.700% | 6/25/43 | 4,005 | 4,069 | |
3,4 | Fannie Mae REMICS | 2.000% | 5/25/39–6/25/44 | 13,406 | 13,780 | |
3,4 | Fannie Mae REMICS | 3.000% | 6/25/44–9/25/57 | 104,478 | 108,792 | |
3,4 | Fannie Mae REMICS | 3.500% | 4/25/31–6/25/59 | 287,316 | 308,999 | |
3,4 | Fannie Mae REMICS | 4.000% | 5/25/31–7/25/53 | 14,533 | 15,501 | |
3,4 | Freddie Mac REMICS | 1.500% | 10/15/42 | 10,509 | 10,617 | |
3,4 | Freddie Mac REMICS | 1.750% | 3/15/41 | 14,313 | 14,593 | |
3,4 | Freddie Mac REMICS | 2.000% | 7/15/31–9/15/31 | 32,160 | 32,779 | |
3,4 | Freddie Mac REMICS | 2.500% | 9/15/32 | 3,526 | 3,609 | |
3,4 | Freddie Mac REMICS | 3.000% | 12/15/39–5/15/46 | 36,149 | 38,810 | |
3,4 | Freddie Mac REMICS | 3.500% | 3/15/31 | 2,733 | 2,956 | |
3,4 | Freddie Mac REMICS | 4.000% | 12/15/30–4/15/31 | 53,855 | 59,270 | |
3 | Ginnie Mae REMICS | 1.700% | 10/20/45 | 7,739 | 7,821 | |
3 | Ginnie Mae REMICS | 1.800% | 5/20/41 | 7,980 | 8,108 | |
671,583 | ||||||
Total U.S. Government and Agency Obligations (Cost $4,216,240) | 4,283,552 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.4%) | ||||||
3,5 | Aaset 2019-1 Trust | 3.844% | 5/15/39 | 13,123 | 12,227 | |
5 | American Tower Trust I | 3.070% | 3/15/23 | 32,900 | 33,575 | |
3 | AmeriCredit Automobile Receivables Trust 2016-3 | 2.240% | 4/8/22 | 4,238 | 4,246 | |
3,5 | Angel Oak Mortgage Trust 2019-5 | 2.593% | 10/25/49 | 10,483 | 10,614 | |
3,5 | Angel Oak Mortgage Trust 2019-6 | 2.620% | 11/25/59 | 25,438 | 25,903 | |
3,5 | Angel Oak Mortgage Trust I LLC 2019-2 | 3.628% | 3/25/49 | 5,734 | 5,842 | |
3,5 | Angel Oak Mortgage Trust LLC | 2.993% | 7/26/49 | 20,168 | 20,541 |
1 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5,6 | Ares XXIX CLO Ltd., 3M USD LIBOR + 1.190% | 1.463% | 4/17/26 | 2,083 | 2,082 | |
3,5,6 | Atlas Senior Loan Fund X Ltd., 3M USD LIBOR + 1.090% | 1.365% | 1/15/31 | 7,298 | 7,197 | |
3,5,6 | Avery Point IV CLO Ltd., 3M USD LIBOR + 1.100% | 1.344% | 4/25/26 | 7,176 | 7,173 | |
3,5,6 | Babson CLO Ltd. 2014-I, 3M USD LIBOR + 1.150% | 1.422% | 7/20/25 | 244 | 244 | |
5 | Bank of Montreal | 2.500% | 1/11/22 | 122,300 | 125,575 | |
3,5 | Canadian Pacer Auto Receivable Trust A Series 2018 | 3.270% | 12/19/22 | 4,136 | 4,166 | |
3,5 | Castlelake Aircraft Securitization Trust 2019-1 | 3.967% | 4/15/39 | 24,959 | 23,094 | |
3,5,6 | Cent CLO, 3M USD LIBOR + 1.150% | 1.394% | 10/25/28 | 16,895 | 16,820 | |
3,5 | Chesapeake Funding II LLC | 3.390% | 1/15/31 | 19,575 | 20,144 | |
3,5 | Chesapeake Funding II LLC 2017-2A | 1.990% | 5/15/29 | 1,029 | 1,030 | |
3,5 | Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 18,256 | 18,532 | |
3,5 | Cloud Pass-Through Trust 2019-1 | 3.554% | 12/5/22 | 16,320 | 16,534 | |
3,5 | COLT 2018-4 Mortgage Loan Trust | 4.006% | 12/28/48 | 1,932 | 1,957 | |
3,5 | COLT 2019-2 Mortgage Loan Trust | 3.337% | 5/25/49 | 7,848 | 7,920 | |
3,5 | COLT 2020-1 Mortgage Loan Trust | 2.488% | 2/25/50 | 16,286 | 16,463 | |
3 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 16,040 | 16,533 | |
3,5 | DB Master Finance LLC | 3.787% | 5/20/49 | 14,994 | 15,407 | |
3,5 | DB Master Finance LLC | 4.021% | 5/20/49 | 13,395 | 14,173 | |
3,5 | Deephave Residential Mortgage Trust 2019-2 | 3.558% | 4/25/59 | 8,513 | 8,577 | |
5 | DNB Boligkreditt AS | 2.500% | 3/28/22 | 24,355 | 25,083 | |
3,5 | Enterprise Fleet Financing LLC | 3.100% | 10/20/23 | 3,225 | 3,274 | |
3,5 | Enterprise Fleet Financing LLC | 2.290% | 2/20/25 | 25,950 | 26,406 | |
3,5 | Enterprise Fleet Financing LLC Series 2018-1 | 2.870% | 10/20/23 | 6,892 | 6,922 | |
3,5 | Enterprise Fleet Financing LLC Series 2018-3 | 3.380% | 5/20/24 | 9,383 | 9,575 | |
3,5 | Enterprise Fleet Financing LLC Series 2019-1 | 2.980% | 10/20/24 | 16,002 | 16,264 | |
3,5 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 18,956 | 19,259 | |
3,5 | Evergreen Credit Card Trust 2018-1 | 2.950% | 3/15/23 | 37,350 | 37,753 | |
3,5 | Exeter Automobile Receivables Trust 2019-3 | 2.590% | 9/15/22 | 1,901 | 1,905 | |
3,5 | Exeter Automobile Receivables Trust 2019-4 | 2.180% | 1/17/23 | 4,623 | 4,642 | |
3,4,6 | Fannie Mae Connecticut Avenue Securities, 1M USD LIBOR + 5.900% | 6.048% | 10/25/28 | 5,466 | 5,812 | |
3 | Ford Credit Floorplan Master Owner Trust 2019-A | 2.440% | 9/15/26 | 12,250 | 13,013 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates | 3.750% | 8/25/25 | 10,785 | 12,147 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates | 2.610% | 1/25/26 | 20,480 | 22,210 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates | 2.282% | 7/25/26 | 29,245 | 31,532 | |
3,5 | Hertz Fleet Lease Funding LP 2019-1 | 2.700% | 1/10/33 | 22,247 | 22,546 | |
3,5 | Horizon Aircraft Finance Ltd. | 3.721% | 7/15/39 | 10,514 | 9,815 | |
3,5 | Horizon Aircraft Finance Ltd. | 3.425% | 11/15/39 | 10,527 | 9,650 | |
3,5 | MACH 1 Cayman 2019-1 Ltd. | 3.474% | 10/15/39 | 12,115 | 11,018 | |
3,5,6 | Madison Park Funding XII Ltd., 3M USD LIBOR + 1.260% | 1.532% | 7/20/26 | 5,847 | 5,847 | |
3,5,6 | Madison Park Funding XIII Ltd., 3M USD LIBOR + 0.950% | 1.222% | 4/19/30 | 34,150 | 33,810 | |
3,5 | MAPS Ltd. | 4.458% | 3/15/44 | 5,980 | 5,535 | |
3,5,6 | Master Credit Card Trust II Series 2018-1A, 1M USD LIBOR + 0.490% | 0.646% | 7/21/24 | 36,965 | 36,773 | |
3,5 | MMAF Equipment Finance LLC 2019-B | 2.010% | 12/12/24 | 26,615 | 27,507 | |
5 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 75,600 | 77,395 | |
3,5 | OneMain Direct Auto Receivables Trust | 3.430% | 12/16/24 | 31,492 | 31,903 | |
3,5 | OneMain Financial Issuance Trust 2017-1 | 2.370% | 9/14/32 | 3,955 | 3,963 | |
3,5 | OneMain Financial Issuance Trust 2019-1 | 3.480% | 2/14/31 | 33,750 | 34,624 | |
3,5 | Santander Retail Auto Lease Trust 2019-A | 2.720% | 1/20/22 | 9,517 | 9,573 | |
3,5 | Santander Retail Auto Lease Trust 2019-B | 2.300% | 1/20/23 | 11,435 | 11,691 | |
3,4 | Seasoned Credit Risk Transfer Trust Series 2018-4 | 3.500% | 3/25/58 | 20,973 | 22,484 | |
3,4 | Seasoned Credit Risk Transfer Trust Series 2019-1 | 3.500% | 7/25/58 | 33,904 | 36,480 | |
3,4 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 49,231 | 53,214 | |
3,5 | Securitized Term Auto Receivables Trust 2018-2 | 3.325% | 8/25/22 | 11,639 | 11,753 | |
3,5,6 | Seneca Park CLO Ltd. 2014-1, 3M USD LIBOR + 1.120% | 1.393% | 7/17/26 | 1,897 | 1,896 |
2 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5 | SFAVE Commercial Mortgage Securities Trust 2015-5AVE | 4.144% | 1/5/43 | 22,000 | 21,112 | |
3,5 | SoFi Consumer Loan Program 2018-4 Trust | 3.540% | 11/26/27 | 4,879 | 4,923 | |
3,5 | SoFi Consumer Loan Program 2019-1 Trust | 3.240% | 2/25/28 | 7,499 | 7,587 | |
3,5 | SoFi Consumer Loan Program 2020-1 Trust | 2.020% | 1/25/29 | 14,317 | 14,471 | |
3,5 | Springleaf Funding Trust 2015-B | 3.480% | 5/15/28 | 11,533 | 11,524 | |
3,5 | START Ireland | 4.089% | 3/15/44 | 12,810 | 11,938 | |
3,5,6 | Symphony CLO XIV Ltd., 3M USD LIBOR + 0.950% | 1.218% | 7/14/26 | 30,231 | 30,104 | |
3,5,6 | Thacher Park CLO Ltd., 3M USD LIBOR + 1.160% | 1.432% | 10/20/26 | 4,031 | 4,029 | |
5 | Toronto-Dominion Bank | 2.500% | 1/18/22 | 77,500 | 79,597 | |
3,5 | Towd Point Mortgage Trust 2016-3 | 2.250% | 4/25/56 | 925 | 931 | |
3,5 | Trillium Credit Card Trust II 2019-2A | 3.038% | 1/26/24 | 18,315 | 18,460 | |
3 | Utility Debt Securitization Authority Series 2013T | 3.435% | 12/15/25 | 6,775 | 7,141 | |
3,5 | Vantage Data Centers LLC | 1.645% | 9/15/45 | 32,830 | 32,830 | |
3,5 | Vantage Data Centers LLC 2018-1A | 4.072% | 2/16/43 | 17,696 | 18,332 | |
3,5 | Vantage Data Centers LLC 2019-1A | 3.188% | 7/15/44 | 8,947 | 9,129 | |
3,5 | Verus Securitization Trust 2019-2 | 3.211% | 5/25/59 | 9,853 | 10,075 | |
3,5,6 | Voya CLO 2014-1 Ltd., 3M USD LIBOR + 0.990% | 1.262% | 4/18/31 | 16,596 | 16,348 | |
3,5 | Westlake Automobile Receivables Trust | 2.150% | 2/15/23 | 9,564 | 9,636 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,420,367) | 1,438,010 | |||||
Corporate Bonds (44.3%) | ||||||
Finance (16.3%) | ||||||
Banking (12.9%) | ||||||
American Express Credit Corp. | 2.700% | 3/3/22 | 83,055 | 85,533 | ||
Banco Santander SA | 3.125% | 2/23/23 | 28,600 | 29,954 | ||
Banco Santander SA | 3.848% | 4/12/23 | 17,000 | 18,145 | ||
Bank of America Corp. | 3.300% | 1/11/23 | 18,875 | 20,029 | ||
3 | Bank of America Corp. | 2.816% | 7/21/23 | 60,600 | 62,942 | |
Bank of America Corp. | 4.125% | 1/22/24 | 7,500 | 8,276 | ||
Bank of America Corp. | 4.000% | 1/22/25 | 26,225 | 29,207 | ||
3 | Bank of America Corp. | 3.559% | 4/23/27 | 54,370 | 60,717 | |
3 | Bank of America Corp. | 3.593% | 7/21/28 | 37,995 | 42,500 | |
3 | Bank of America Corp. | 3.419% | 12/20/28 | 48,603 | 54,101 | |
3 | Bank of America Corp. | 4.271% | 7/23/29 | 72,640 | 85,138 | |
3 | Bank of America Corp. | 3.974% | 2/7/30 | 69,430 | 80,378 | |
3 | Bank of America Corp. | 3.194% | 7/23/30 | 33,250 | 36,743 | |
3 | Bank of America Corp. | 2.496% | 2/13/31 | 99,085 | 103,364 | |
Bank of America Corp. | 6.110% | 1/29/37 | 30,000 | 42,223 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 8,770 | 12,856 | ||
Bank of America Corp. | 5.000% | 1/21/44 | 24,180 | 33,439 | ||
3 | Bank of America Corp. | 3.946% | 1/23/49 | 5,290 | 6,435 | |
3 | Bank of America Corp. | 4.330% | 3/15/50 | 59,475 | 75,256 | |
Bank of Montreal | 3.100% | 4/13/21 | 46,940 | 47,645 | ||
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 32,698 | 34,296 | ||
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 22,710 | 24,975 | ||
6 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 1.318% | 10/30/23 | 43,060 | 43,711 | |
Bank of Nova Scotia | 2.450% | 3/22/21 | 39,905 | 40,309 | ||
Bank of Nova Scotia | 2.800% | 7/21/21 | 58,100 | 59,260 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 60,225 | 65,908 | ||
Bank One Corp. | 7.750% | 7/15/25 | 25,000 | 32,369 | ||
5 | Banque Federative du Credit Mutuel SA | 2.750% | 10/15/20 | 37,820 | 37,855 | |
Barclays Bank plc | 5.140% | 10/14/20 | 7,935 | 7,946 | ||
3 | Barclays plc | 3.932% | 5/7/25 | 52,770 | 56,478 | |
6 | Barclays plc, 3M USD LIBOR + 1.380% | 1.660% | 5/16/24 | 36,710 | 36,894 | |
5 | BNP Paribas SA | 2.950% | 5/23/22 | 4,365 | 4,512 | |
BNP Paribas SA | 3.250% | 3/3/23 | 4,190 | 4,462 | ||
5 | BNP Paribas SA | 3.800% | 1/10/24 | 76,490 | 82,683 | |
5 | BNP Paribas SA | 3.375% | 1/9/25 | 61,070 | 66,169 | |
3,5 | BNP Paribas SA | 2.819% | 11/19/25 | 44,480 | 46,912 | |
5 | BNP Paribas SA | 3.500% | 11/16/27 | 74,220 | 82,274 | |
5 | BPCE SA | 5.700% | 10/22/23 | 10,670 | 11,937 |
3 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
BPCE SA | 4.000% | 4/15/24 | 25,885 | 28,661 | ||
5 | BPCE SA | 5.150% | 7/21/24 | 37,185 | 41,543 | |
5 | BPCE SA | 3.500% | 10/23/27 | 64,900 | 71,469 | |
5 | BPCE SA | 2.700% | 10/1/29 | 48,550 | 52,119 | |
6 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 0.957% | 6/16/22 | 57,790 | 58,273 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 36,165 | 37,385 | ||
Capital One Financial Corp. | 3.750% | 4/24/24 | 60,945 | 66,340 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 9,055 | 9,767 | ||
Citigroup Inc. | 4.500% | 1/14/22 | 30,140 | 31,682 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 45,085 | 51,795 | ||
3 | Citigroup Inc. | 3.520% | 10/27/28 | 72,260 | 80,261 | |
Citigroup Inc. | 6.625% | 6/15/32 | 9,000 | 12,496 | ||
3 | Citigroup Inc. | 3.878% | 1/24/39 | 37,225 | 43,864 | |
Citigroup Inc. | 5.875% | 1/30/42 | 7,460 | 10,934 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 12,142 | 16,324 | ||
Comerica Bank | 2.500% | 7/23/24 | 26,085 | 27,737 | ||
5 | Credit Agricole SA | 3.750% | 4/24/23 | 31,690 | 33,979 | |
5 | Credit Agricole SA | 3.250% | 10/4/24 | 79,590 | 85,728 | |
Credit Suisse AG | 3.000% | 10/29/21 | 53,710 | 55,251 | ||
Credit Suisse AG | 3.625% | 9/9/24 | 3,955 | 4,373 | ||
5 | Credit Suisse Group AG | 3.574% | 1/9/23 | 40,835 | 42,207 | |
3,5 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,285 | 13,278 | |
3,5 | Credit Suisse Group AG | 2.593% | 9/11/25 | 33,940 | 35,355 | |
3,5 | Credit Suisse Group AG | 3.869% | 1/12/29 | 11,050 | 12,325 | |
5,6 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 1.489% | 6/12/24 | 24,825 | 25,053 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 25,000 | 25,133 | ||
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 45,685 | 47,563 | ||
Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 57,400 | 63,591 | ||
5 | Danske Bank A/S | 2.000% | 9/8/21 | 41,970 | 42,598 | |
5 | Danske Bank A/S | 5.000% | 1/12/22 | 20,770 | 21,782 | |
5 | Danske Bank A/S | 3.875% | 9/12/23 | 45,515 | 48,867 | |
5 | Danske Bank A/S | 5.375% | 1/12/24 | 27,035 | 30,377 | |
5 | Danske Bank A/S | 1.621% | 9/11/26 | 30,135 | 29,883 | |
Deutsche Bank AG | 4.250% | 10/14/21 | 20,815 | 21,396 | ||
Fifth Third Bancorp | 2.550% | 5/5/27 | 9,850 | 10,559 | ||
Fifth Third Bank | 2.875% | 10/1/21 | 8,780 | 8,988 | ||
Fifth Third Bank | 3.850% | 3/15/26 | 29,295 | 33,426 | ||
Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 25,990 | 26,183 | ||
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 9,270 | 9,374 | ||
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 70,165 | 72,971 | ||
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 67,095 | 71,645 | ||
3 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 65,405 | 66,948 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 7,715 | 8,236 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 16,660 | 18,237 | ||
3 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 44,260 | 47,906 | |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 13,000 | 14,731 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 48,000 | 53,039 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 36,525 | 40,984 | ||
3 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 14,525 | 16,279 | |
3 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 72,755 | 82,822 | |
3 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 54,990 | 64,127 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 28,795 | 42,952 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 19,895 | 25,943 | ||
5 | HSBC Bank plc | 4.750% | 1/19/21 | 42,960 | 43,497 | |
HSBC Holdings plc | 4.000% | 3/30/22 | 10,870 | 11,398 | ||
3 | HSBC Holdings plc | 3.262% | 3/13/23 | 25,625 | 26,495 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 56,130 | 59,890 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 7,915 | 8,744 | ||
3 | HSBC Holdings plc | 4.041% | 3/13/28 | 27,520 | 30,359 | |
3 | HSBC Holdings plc | 4.583% | 6/19/29 | 40,190 | 46,175 | |
3 | HSBC Holdings plc | 2.357% | 8/18/31 | 31,795 | 31,398 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 15,800 | 22,099 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 22,000 | 29,599 |
4 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
HSBC Holdings plc | 6.100% | 1/14/42 | 43,680 | 62,724 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 5,795 | 7,328 | ||
6 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 1.270% | 5/18/24 | 26,495 | 26,496 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 18,355 | 19,700 | ||
ING Groep NV | 3.150% | 3/29/22 | 13,170 | 13,659 | ||
ING Groep NV | 3.950% | 3/29/27 | 33,605 | 38,403 | ||
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 36,370 | 38,539 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 11,200 | 12,357 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 11,560 | 13,033 | ||
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 26,730 | 29,648 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 75,000 | 82,456 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 24,400 | 28,391 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 9,275 | 10,787 | ||
3 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 40,000 | 48,084 | |
3 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 18,940 | 21,723 | |
3 | JPMorgan Chase & Co. | 3.109% | 4/22/41 | 38,075 | 41,557 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 70,000 | 102,098 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 16,235 | 23,247 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 13,500 | 19,417 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 12,000 | 16,153 | ||
3 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 160,000 | 193,898 | |
3 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 38,610 | 41,013 | |
3,5 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 50,725 | 54,365 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 20,085 | 21,964 | ||
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 64,285 | 66,615 | ||
Morgan Stanley | 5.750% | 1/25/21 | 13,900 | 14,126 | ||
Morgan Stanley | 2.500% | 4/21/21 | 30,630 | 30,975 | ||
Morgan Stanley | 2.625% | 11/17/21 | 30,200 | 30,956 | ||
Morgan Stanley | 2.750% | 5/19/22 | 63,830 | 66,139 | ||
Morgan Stanley | 3.750% | 2/25/23 | 23,000 | 24,691 | ||
Morgan Stanley | 3.875% | 4/29/24 | 22,050 | 24,260 | ||
3 | Morgan Stanley | 2.720% | 7/22/25 | 51,520 | 54,809 | |
Morgan Stanley | 4.000% | 7/23/25 | 20,805 | 23,459 | ||
Morgan Stanley | 3.125% | 7/27/26 | 36,950 | 40,787 | ||
Morgan Stanley | 4.350% | 9/8/26 | 15,000 | 17,317 | ||
Morgan Stanley | 3.625% | 1/20/27 | 31,000 | 35,055 | ||
3 | Morgan Stanley | 3.772% | 1/24/29 | 56,830 | 64,685 | |
3 | Morgan Stanley | 2.699% | 1/22/31 | 72,345 | 76,930 | |
Morgan Stanley | 7.250% | 4/1/32 | 51,100 | 76,829 | ||
Morgan Stanley | 4.300% | 1/27/45 | 24,705 | 31,338 | ||
5 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 68,765 | 67,903 | |
3,5 | Nationwide Building Society | 3.622% | 4/26/23 | 22,755 | 23,607 | |
5 | NBK SPC Ltd. | 2.750% | 5/30/22 | 56,875 | 58,233 | |
PNC Bank NA | 3.300% | 10/30/24 | 14,645 | 16,047 | ||
PNC Bank NA | 2.950% | 2/23/25 | 34,775 | 37,991 | ||
PNC Bank NA | 3.100% | 10/25/27 | 42,485 | 47,242 | ||
PNC Bank NA | 3.250% | 1/22/28 | 60,960 | 68,333 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 40,150 | 44,418 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 52,980 | 57,536 | ||
Royal Bank of Canada | 2.500% | 1/19/21 | 24,750 | 24,905 | ||
Royal Bank of Canada | 2.750% | 2/1/22 | 44,630 | 46,077 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 28,405 | 29,399 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 26,105 | 27,309 | ||
5 | Societe Generale SA | 3.250% | 1/12/22 | 38,965 | 40,085 | |
3,5 | Standard Chartered plc | 2.744% | 9/10/22 | 42,655 | 43,255 | |
3 | State Street Corp. | 2.653% | 5/15/23 | 31,280 | 32,377 | |
Svenska Handelsbanken AB | 1.875% | 9/7/21 | 37,750 | 38,293 | ||
Synchrony Bank | 3.650% | 5/24/21 | 46,290 | 46,985 | ||
Toronto-Dominion Bank | 2.500% | 12/14/20 | 97,700 | 98,066 | ||
Truist Bank | 2.625% | 1/15/22 | 61,500 | 63,113 | ||
Truist Bank | 3.300% | 5/15/26 | 11,955 | 13,399 | ||
Truist Financial Corp | 2.900% | 3/3/21 | 34,300 | 34,599 | ||
Truist Financial Corp. | 3.200% | 9/3/21 | 25,210 | 25,807 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 60,000 | 62,315 |
5 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Truist Financial Corp. | 3.700% | 6/5/25 | 48,000 | 54,306 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 33,005 | 33,943 | ||
3,5 | UBS Group AG | 3.126% | 8/13/30 | 18,240 | 20,225 | |
5 | UBS Group Funding Jersey Ltd. | 3.000% | 4/15/21 | 58,970 | 59,799 | |
5 | UBS Group Funding Jersey Ltd. | 2.650% | 2/1/22 | 46,000 | 47,304 | |
US Bancorp | 2.625% | 1/24/22 | 47,510 | 48,874 | ||
US Bancorp | 3.700% | 1/30/24 | 39,005 | 42,930 | ||
US Bancorp | 2.375% | 7/22/26 | 45,000 | 48,964 | ||
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 18,144 | ||
Wells Fargo & Co. | 3.500% | 3/8/22 | 54,840 | 57,238 | ||
Wells Fargo & Co. | 3.069% | 1/24/23 | 10,465 | 10,790 | ||
Wells Fargo & Co. | 3.450% | 2/13/23 | 39,400 | 41,762 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 34,444 | 38,092 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 30,455 | 33,032 | ||
Wells Fargo & Co. | 3.000% | 2/19/25 | 28,660 | 30,916 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 27,170 | 30,188 | ||
Wells Fargo & Co. | 3.000% | 4/22/26 | 36,830 | 40,046 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 45,700 | 51,331 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 6,435 | 7,023 | ||
3 | Wells Fargo & Co. | 3.196% | 6/17/27 | 57,145 | 62,361 | |
3 | Wells Fargo & Co. | 2.879% | 10/30/30 | 28,045 | 29,927 | |
3 | Wells Fargo & Co. | 2.572% | 2/11/31 | 98,745 | 103,094 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 28,551 | 38,736 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 20,735 | 25,209 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 16,060 | 20,287 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 36,200 | 42,877 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 38,790 | 48,380 | ||
Brokerage (0.1%) | ||||||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,790 | 22,167 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 6,100 | 6,069 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 19,095 | 20,020 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 27,695 | 27,994 | ||
Finance Companies (0.0%) | ||||||
5 | USAA Capital Corp. | 2.125% | 5/1/30 | 3,735 | 3,930 | |
Insurance (2.9%) | ||||||
Aetna Inc. | 2.800% | 6/15/23 | 32,080 | 33,713 | ||
5 | AIA Group Ltd. | 3.600% | 4/9/29 | 49,000 | 55,285 | |
5 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,795 | 14,317 | |
5 | AIG Global Funding | 2.700% | 12/15/21 | 41,815 | 42,910 | |
American International Group Inc. | 4.250% | 3/15/29 | 33,365 | 39,144 | ||
American International Group Inc. | 4.500% | 7/16/44 | 6,714 | 7,874 | ||
American International Group Inc. | 4.750% | 4/1/48 | 4,455 | 5,447 | ||
Anthem Inc. | 3.700% | 8/15/21 | 25,635 | 26,138 | ||
Anthem Inc. | 3.300% | 1/15/23 | 20,000 | 21,189 | ||
Anthem Inc. | 3.650% | 12/1/27 | 13,150 | 14,929 | ||
Anthem Inc. | 4.101% | 3/1/28 | 42,145 | 48,908 | ||
Anthem Inc. | 4.650% | 8/15/44 | 3,181 | 3,984 | ||
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 23,645 | 26,334 | ||
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 5,235 | 5,242 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 20,340 | 22,306 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 12,280 | 13,911 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 24,795 | 32,417 | ||
5 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 15,285 | 15,649 | |
5 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 18,950 | 18,985 | |
5 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,320 | 5,904 | |
5 | Guardian Life Global Funding | 2.000% | 4/26/21 | 12,825 | 12,951 | |
5 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 48,955 | 52,569 | |
5 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 2,608 | 2,858 | |
5 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 9,217 | 11,114 | |
5 | Liberty Mutual Insurance Co. | 8.500% | 5/15/25 | 21,665 | 26,983 | |
Loews Corp. | 2.625% | 5/15/23 | 14,100 | 14,792 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 22,125 | 26,694 |
6 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,400 | 14,469 | ||
5 | MassMutual Global Funding II | 2.000% | 4/15/21 | 42,188 | 42,583 | |
MetLife Inc. | 3.600% | 4/10/24 | 28,000 | 30,933 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5,300 | 6,479 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,500 | 23,673 | ||
5 | Metropolitan Life Global Funding I | 3.450% | 10/9/21 | 28,465 | 29,358 | |
5 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 14,005 | 14,514 | |
5 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 29,970 | 34,117 | |
5 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 43,250 | 47,873 | |
5 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 25,000 | 32,495 | |
5 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 47,630 | 48,999 | |
5 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 48,790 | 52,740 | |
5 | New York Life Global Funding | 2.900% | 1/17/24 | 58,670 | 62,948 | |
5 | New York Life Insurance Co. | 5.875% | 5/15/33 | 44,785 | 60,907 | |
5 | New York Life Insurance Co. | 3.750% | 5/15/50 | 17,810 | 19,876 | |
5 | New York Life Insurance Co. | 4.450% | 5/15/69 | 14,535 | 17,423 | |
5 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,098 | 27,071 | |
5 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,060 | 9,870 | |
5 | Principal Financial Global Funding LLC | 2.500% | 9/16/29 | 45,000 | 48,102 | |
Prudential Financial Inc. | 4.500% | 11/15/20 | 24,055 | 24,177 | ||
Prudential Financial Inc. | 3.000% | 3/10/40 | 8,200 | 8,561 | ||
Prudential plc | 3.125% | 4/14/30 | 21,325 | 23,572 | ||
5 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 21,990 | 27,465 | |
5 | Teachers Insurance & Annuity Assn. of America | 4.270% | 5/15/47 | 42,865 | 50,100 | |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 6,786 | 6,792 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,346 | 2,416 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 12,000 | 12,700 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 14,220 | 15,859 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,260 | 40,267 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 11,275 | 11,774 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,285 | 12,146 | ||
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 20,000 | 31,555 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 12,760 | 13,323 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 36,010 | 46,034 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 31,000 | 38,805 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 12,296 | 16,559 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,345 | 10,562 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 12,545 | 15,660 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,890 | 6,410 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 40,900 | 48,794 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 36,364 | 37,811 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 4,060 | 4,957 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 6,870 | 7,394 | ||
Real Estate Investment Trusts (0.4%) | ||||||
Boston Properties LP | 3.125% | 9/1/23 | 13,520 | 14,281 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,780 | 1,927 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 30,600 | 33,011 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 19,405 | 21,387 | ||
5 | Scentre Management Ltd / RE1 Ltd. | 4.375% | 5/28/30 | 28,670 | 32,040 | |
Simon Property Group LP | 3.750% | 2/1/24 | 6,645 | 7,158 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 20,470 | 22,104 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 38,350 | 37,962 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 8,845 | 9,231 | ||
5 | WEA Finance LLC | 4.125% | 9/20/28 | 19,900 | 20,486 | |
5 | WEA Finance LLC | 4.625% | 9/20/48 | 24,835 | 24,097 | |
9,801,841 | ||||||
Industrial (22.4%) | ||||||
Basic Industry (0.2%) | ||||||
5 | Air Liquide Finance SA | 2.250% | 9/27/23 | 21,000 | 21,963 | |
5 | Air Liquide Finance SA | 2.500% | 9/27/26 | 16,815 | 18,317 | |
International Paper Co. | 4.350% | 8/15/48 | 43,570 | 52,934 | ||
Capital Goods (1.6%) | ||||||
5 | BAE Systems Holdings Inc. | 2.850% | 12/15/20 | 5,020 | 5,026 |
7 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 26,068 | 28,859 | |
5 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 29,838 | 33,662 | |
5 | BAE Systems plc | 3.400% | 4/15/30 | 9,390 | 10,513 | |
Boeing Co. | 2.700% | 2/1/27 | 16,380 | 15,964 | ||
Boeing Co. | 3.850% | 11/1/48 | 12,883 | 11,570 | ||
5 | Carrier Global Corp. | 2.722% | 2/15/30 | 15,103 | 15,763 | |
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 39,500 | 41,821 | ||
Caterpillar Inc. | 3.900% | 5/27/21 | 16,635 | 17,029 | ||
Caterpillar Inc. | 2.600% | 6/26/22 | 9,575 | 9,889 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 19,475 | 21,272 | ||
Caterpillar Inc. | 5.200% | 5/27/41 | 19,770 | 27,628 | ||
Eaton Corp. | 6.500% | 6/1/25 | 10,000 | 11,799 | ||
General Dynamics Corp. | 3.875% | 7/15/21 | 9,950 | 10,141 | ||
General Electric Co. | 3.100% | 1/9/23 | 6,094 | 6,394 | ||
Honeywell International Inc. | 4.250% | 3/1/21 | 29,484 | 29,972 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 42,775 | 46,940 | ||
John Deere Capital Corp. | 2.800% | 1/27/23 | 8,000 | 8,433 | ||
John Deere Capital Corp. | 3.350% | 6/12/24 | 9,000 | 9,892 | ||
John Deere Capital Corp. | 3.450% | 3/13/25 | 43,560 | 48,854 | ||
Johnson Controls International plc | 3.750% | 12/1/21 | 596 | 608 | ||
Lockheed Martin Corp. | 2.500% | 11/23/20 | 4,936 | 4,942 | ||
Lockheed Martin Corp. | 2.900% | 3/1/25 | 26,840 | 29,287 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 2,545 | 2,636 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 6,715 | 8,621 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 7,501 | 8,918 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 12,041 | 16,358 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 10,925 | 11,389 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 4,609 | 5,904 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,155 | 8,754 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 16,205 | 17,231 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 29,445 | 32,275 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,065 | 10,149 | ||
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 14,290 | 17,667 | ||
Raytheon Co. | 3.125% | 10/15/20 | 10,000 | 10,010 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 32,800 | 38,810 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,050 | 11,111 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 55,694 | 69,956 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,891 | 6,724 | ||
5 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 60,840 | 63,295 | |
5 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 62,200 | 67,233 | |
5 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 40,495 | 53,229 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,040 | 33,780 | ||
Communication (3.5%) | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 66,820 | 69,572 | ||
America Movil SAB de CV | 3.625% | 4/22/29 | 25,600 | 29,184 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 10,010 | 14,465 | ||
American Tower Corp. | 4.700% | 3/15/22 | 2,905 | 3,079 | ||
American Tower Corp. | 5.000% | 2/15/24 | 8,641 | 9,775 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,300 | 8,361 | ||
American Tower Corp. | 3.800% | 8/15/29 | 32,261 | 36,898 | ||
AT&T Inc. | 2.750% | 6/1/31 | 61,900 | 65,085 | ||
AT&T Inc. | 3.650% | 6/1/51 | 3,619 | 3,630 | ||
AT&T Inc. | 3.850% | 6/1/60 | 13,336 | 13,627 | ||
5 | British Telecommunications plc | 3.250% | 11/8/29 | 31,785 | 34,131 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.700% | 4/1/51 | 13,590 | 13,339 | ||
Comcast Corp. | 3.000% | 2/1/24 | 51,960 | 55,967 | ||
Comcast Corp. | 3.600% | 3/1/24 | 60,515 | 66,558 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,565 | 2,836 | ||
Comcast Corp. | 3.150% | 3/1/26 | 15,280 | 16,986 | ||
Comcast Corp. | 2.350% | 1/15/27 | 19,840 | 21,300 | ||
Comcast Corp. | 4.250% | 1/15/33 | 15,060 | 18,713 | ||
Comcast Corp. | 4.200% | 8/15/34 | 25,155 | 31,285 |
8 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Comcast Corp. | 4.400% | 8/15/35 | 32,657 | 41,218 | ||
Comcast Corp. | 4.600% | 10/15/38 | 46,815 | 59,536 | ||
Comcast Corp. | 4.650% | 7/15/42 | 7,260 | 9,384 | ||
Comcast Corp. | 4.500% | 1/15/43 | 20,000 | 25,362 | ||
Comcast Corp. | 4.750% | 3/1/44 | 28,710 | 37,522 | ||
Comcast Corp. | 4.600% | 8/15/45 | 46,358 | 59,528 | ||
Comcast Corp. | 3.969% | 11/1/47 | 40,576 | 48,176 | ||
Comcast Corp. | 4.000% | 3/1/48 | 17,415 | 21,093 | ||
Comcast Corp. | 4.700% | 10/15/48 | 55,710 | 73,720 | ||
Comcast Corp. | 3.999% | 11/1/49 | 26,848 | 32,538 | ||
Comcast Corp. | 4.049% | 11/1/52 | 21,572 | 26,331 | ||
Comcast Corp. | 4.950% | 10/15/58 | 34,115 | 48,560 | ||
5 | Cox Communications Inc. | 3.250% | 12/15/22 | 26,585 | 28,003 | |
5 | Cox Communications Inc. | 4.800% | 2/1/35 | 58,525 | 73,856 | |
5 | Cox Communications Inc. | 6.450% | 12/1/36 | 1,575 | 2,195 | |
5 | Cox Communications Inc. | 4.600% | 8/15/47 | 3,325 | 4,141 | |
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,385 | 11,611 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,575 | 9,690 | ||
5 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,674 | 11,903 | |
5 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,168 | 25,003 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 10,639 | 13,512 | ||
Orange SA | 9.000% | 3/1/31 | 54,566 | 88,550 | ||
5 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 12,220 | 13,091 | |
5 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 47,943 | |
3,5 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | 4.738% | 3/20/25 | 46,800 | 50,771 | |
5 | T-Mobile USA Inc. | 2.050% | 2/15/28 | 37,480 | 38,351 | |
5 | T-Mobile USA Inc. | 3.875% | 4/15/30 | 25,125 | 28,598 | |
Telefonica Emisiones SAU | 5.213% | 3/8/47 | 34,575 | 40,971 | ||
Telefonica Emisiones SAU | 5.520% | 3/1/49 | 28,174 | 34,776 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,215 | 3,788 | ||
Verizon Communications Inc. | 3.450% | 3/15/21 | 15,585 | 15,799 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 22,990 | 27,907 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 67,074 | 87,860 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 28,730 | 38,321 | ||
Verizon Communications Inc. | 5.012% | 4/15/49 | 54,148 | 77,949 | ||
Verizon Communications Inc. | 4.000% | 3/22/50 | 9,540 | 11,710 | ||
Verizon Communications Inc. | 4.672% | 3/15/55 | 6,414 | 8,908 | ||
ViacomCBS Inc. | 3.700% | 6/1/28 | 14,790 | 16,443 | ||
Vodafone Group plc | 5.000% | 5/30/38 | 1,890 | 2,334 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 47,080 | 60,689 | ||
Walt Disney Co. | 4.500% | 2/15/21 | 4,650 | 4,722 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 84,065 | 86,846 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 5,980 | 6,446 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 11,000 | 16,259 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 52,100 | 58,866 | ||
Walt Disney Co. | 4.125% | 6/1/44 | 3,720 | 4,483 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 14,600 | 14,125 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 28,240 | 31,825 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 31,465 | 36,250 | ||
Consumer Cyclical (2.1%) | ||||||
Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 2,035 | 2,088 | ||
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 45,610 | 50,035 | ||
Alibaba Group Holding Ltd. | 3.400% | 12/6/27 | 65,650 | 73,565 | ||
Amazon.com Inc. | 2.500% | 11/29/22 | 12,850 | 13,396 | ||
Amazon.com Inc. | 2.800% | 8/22/24 | 13,800 | 14,942 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 55,880 | 76,920 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 17,920 | 25,422 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 32,790 | 44,626 | ||
American Honda Finance Corp. | 2.300% | 9/9/26 | 17,135 | 18,231 | ||
AutoZone Inc. | 3.700% | 4/15/22 | 12,752 | 13,288 | ||
5 | BMW US Capital LLC | 2.000% | 4/11/21 | 19,815 | 19,938 | |
5 | BMW US Capital LLC | 2.250% | 9/15/23 | 93,000 | 96,714 |
9 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5 | CVS Pass-Through Trust | 5.926% | 1/10/34 | 12,364 | 14,452 | |
5 | Daimler Finance North America LLC | 2.300% | 2/12/21 | 34,630 | 34,843 | |
5 | Daimler Finance North America LLC | 2.000% | 7/6/21 | 60,000 | 60,671 | |
5 | Daimler Finance North America LLC | 3.875% | 9/15/21 | 3,270 | 3,370 | |
5 | Daimler Finance North America LLC | 3.250% | 8/1/24 | 3,970 | 4,279 | |
General Motors Financial Co. Inc. | 3.550% | 4/9/21 | 16,525 | 16,744 | ||
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 58,730 | 61,993 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 10,040 | 11,979 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 32,073 | 36,378 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 22,390 | 28,905 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,020 | 16,037 | ||
5,6 | Hyundai Capital America, 3M USD LIBOR + 0.940% | 1.217% | 7/8/21 | 50,500 | 50,438 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 115,000 | 128,049 | ||
Lowe's Cos. Inc. | 4.550% | 4/5/49 | 17,360 | 22,237 | ||
Marriott International Inc. | 2.300% | 1/15/22 | 44,000 | 44,433 | ||
McDonald's Corp. | 2.625% | 1/15/22 | 10,175 | 10,455 | ||
McDonald's Corp. | 3.250% | 6/10/24 | 4,400 | 4,813 | ||
McDonald's Corp. | 4.875% | 12/9/45 | 22,775 | 29,478 | ||
McDonald's Corp. | 3.625% | 9/1/49 | 28,770 | 32,043 | ||
Starbucks Corp. | 4.500% | 11/15/48 | 49,962 | 60,363 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 7,185 | 7,376 | ||
VF Corp. | 2.800% | 4/23/27 | 23,720 | 25,661 | ||
VF Corp. | 2.950% | 4/23/30 | 54,225 | 58,931 | ||
Walmart Inc. | 3.550% | 6/26/25 | 56,485 | 63,757 | ||
Walmart Inc. | 3.625% | 12/15/47 | 14,950 | 18,360 | ||
Consumer Noncyclical (6.9%) | ||||||
5 | AbbVie Inc. | 4.875% | 2/15/21 | 3,312 | 3,329 | |
5 | AbbVie Inc. | 5.000% | 12/15/21 | 23,725 | 24,733 | |
5 | AbbVie Inc. | 3.450% | 3/15/22 | 23,785 | 24,693 | |
5 | AbbVie Inc. | 3.800% | 3/15/25 | 12,825 | 14,284 | |
5 | AbbVie Inc. | 4.050% | 11/21/39 | 19,895 | 22,661 | |
5 | AbbVie Inc. | 4.850% | 6/15/44 | 14,075 | 17,315 | |
AbbVie Inc. | 4.450% | 5/14/46 | 35,585 | 42,323 | ||
Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 17,670 | 18,396 | ||
Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 19,220 | 20,380 | ||
5 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,645 | 6,103 | |
5 | Alcon Finance Corp. | 2.600% | 5/27/30 | 7,035 | 7,436 | |
5 | Alcon Finance Corp. | 3.800% | 9/23/49 | 32,825 | 36,701 | |
Altria Group Inc. | 2.850% | 8/9/22 | 11,835 | 12,314 | ||
Altria Group Inc. | 5.800% | 2/14/39 | 25,475 | 32,371 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 10,105 | 11,243 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 22,625 | 23,135 | ||
Amgen Inc. | 3.625% | 5/22/24 | 38,185 | 41,894 | ||
Amgen Inc. | 2.300% | 2/25/31 | 67,075 | 69,763 | ||
Amgen Inc. | 3.150% | 2/21/40 | 44,355 | 46,575 | ||
Amgen Inc. | 5.150% | 11/15/41 | 6,373 | 8,434 | ||
5 | Amgen Inc. | 2.770% | 9/1/53 | 8,878 | 8,557 | |
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 94,525 | 117,172 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 15,460 | 18,560 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 5,700 | 7,012 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,080 | 20,267 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 14,500 | 17,451 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 34,425 | 48,133 | ||
Ascension Health | 2.532% | 11/15/29 | 48,025 | 51,945 | ||
3 | Ascension Health | 4.847% | 11/15/53 | 2,165 | 3,129 | |
AstraZeneca plc | 2.375% | 11/16/20 | 37,225 | 37,318 | ||
AstraZeneca plc | 3.375% | 11/16/25 | 27,755 | 31,129 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 33,295 | 39,455 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 60,340 | 65,202 | ||
5 | BAT International Finance PLC | 3.250% | 6/7/22 | 50,880 | 52,971 | |
5 | BAT International Finance plc | 3.500% | 6/15/22 | 7,440 | 7,793 |
10 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | BAT International Finance plc | 3.950% | 6/15/25 | 15,000 | 16,592 | |
5 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 23,781 | 27,182 | |
5 | Bayer US Finance II LLC | 5.500% | 7/30/35 | 15,000 | 18,633 | |
5 | Bayer US Finance LLC | 3.000% | 10/8/21 | 38,730 | 39,690 | |
5 | Bayer US Finance LLC | 3.375% | 10/8/24 | 26,960 | 29,330 | |
3 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,675 | 19,940 | |
Boston Scientific Corp. | 4.000% | 3/1/29 | 6,515 | 7,561 | ||
Bristol-Myers Squibb Co. | 3.550% | 8/15/22 | 21,144 | 22,366 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,416 | 4,650 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 7,590 | 8,095 | ||
Bristol-Myers Squibb Co. | 4.000% | 8/15/23 | 1,455 | 1,598 | ||
Bristol-Myers Squibb Co. | 3.625% | 5/15/24 | 11,980 | 13,226 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 29,395 | 34,313 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 16,775 | 21,207 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 7,153 | 9,661 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 48,907 | 64,121 | ||
5 | Cargill Inc. | 2.125% | 4/23/30 | 10,230 | 10,699 | |
5 | Cargill Inc. | 4.760% | 11/23/45 | 57,879 | 77,454 | |
Children's Hospital Corp. | 2.585% | 2/1/50 | 5,670 | 5,670 | ||
Cigna Corp. | 3.250% | 4/15/25 | 30,765 | 33,830 | ||
Cigna Corp. | 4.375% | 10/15/28 | 18,115 | 21,433 | ||
Cigna Corp. | 4.800% | 8/15/38 | 25,725 | 31,896 | ||
Cigna Corp. | 3.200% | 3/15/40 | 5,325 | 5,591 | ||
Coca-Cola Co. | 4.500% | 9/1/21 | 14,785 | 15,106 | ||
Colgate-Palmolive Co. | 2.950% | 11/1/20 | 25,000 | 25,056 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 36,807 | 38,448 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 11,695 | 12,616 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 28,080 | 29,360 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 40,950 | 43,350 | ||
3 | CommonSpirit Health | 4.350% | 11/1/42 | 22,185 | 24,064 | |
CommonSpirit Health | 4.187% | 10/1/49 | 36,600 | 38,834 | ||
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,685 | 8,928 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 10,375 | 13,363 | ||
Constellation Brands Inc. | 2.700% | 5/9/22 | 2,400 | 2,478 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 4,690 | 5,227 | ||
Cottage Health Obligated Group | 3.304% | 11/1/49 | 15,670 | 17,349 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 20,000 | 20,827 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 8,698 | 10,194 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 18,205 | 23,006 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 18,000 | 20,493 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 25,595 | 32,128 | ||
5 | Danone SA | 2.589% | 11/2/23 | 10,000 | 10,550 | |
5 | Danone SA | 2.947% | 11/2/26 | 68,785 | 75,831 | |
Diageo Capital plc | 2.625% | 4/29/23 | 42,580 | 44,648 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,420 | 20,682 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,315 | 11,648 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 3,585 | 3,717 | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 17,245 | 17,912 | ||
Dignity Health | 3.812% | 11/1/24 | 18,560 | 19,349 | ||
Eli Lilly & Co. | 4.150% | 3/15/59 | 2,760 | 3,584 | ||
5 | EMD Finance LLC | 2.950% | 3/19/22 | 19,640 | 20,222 | |
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,280 | 13,205 | ||
Estee Lauder Cos. Inc. | 2.600% | 4/15/30 | 9,875 | 10,776 | ||
Gilead Sciences Inc. | 2.500% | 9/1/23 | 26,390 | 27,762 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 21,420 | 23,455 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 28,575 | 31,580 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 57,147 | 71,343 | ||
Gilead Sciences Inc. | 4.750% | 3/1/46 | 18,095 | 23,394 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 25,750 | 27,206 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 16,055 | 22,814 | ||
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 51,595 | 53,644 | ||
HCA Inc. | 5.125% | 6/15/39 | 4,880 | 5,880 | ||
5 | Imperial Tobacco Finance plc | 3.750% | 7/21/22 | 58,995 | 61,575 | |
Johnson & Johnson | 6.730% | 11/15/23 | 15,000 | 17,742 |
11 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Johnson & Johnson | 2.450% | 3/1/26 | 78,000 | 85,139 | ||
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 10,115 | 10,572 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 15,190 | 17,017 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 12,710 | 17,376 | ||
Kroger Co. | 3.300% | 1/15/21 | 13,605 | 13,687 | ||
Kroger Co. | 3.850% | 8/1/23 | 5,055 | 5,477 | ||
3 | Mayo Clinic | 4.128% | 11/15/52 | 11,465 | 14,919 | |
McCormick & Co. Inc. | 2.500% | 4/15/30 | 6,060 | 6,473 | ||
Medtronic Inc. | 3.150% | 3/15/22 | 23,969 | 24,949 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 14,070 | 15,851 | ||
Memorial Sloan-Kettering Cancer Center | 5.000% | 7/1/42 | 11,505 | 15,756 | ||
Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 20,260 | 21,591 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 7,820 | 10,095 | ||
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 5,940 | 7,934 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 38,000 | 41,259 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 58,390 | 67,923 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 28,405 | 35,996 | ||
Mercy Health | 4.302% | 7/1/28 | 19,830 | 22,619 | ||
Molson Coors Beverage Co. | 3.500% | 5/1/22 | 14,905 | 15,531 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 57,600 | 61,447 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 13,425 | 14,806 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,485 | 28,831 | ||
Partners Healthcare System Inc. | 3.192% | 7/1/49 | 32,645 | 35,176 | ||
Partners Healthcare System Inc. | 3.342% | 7/1/60 | 31,285 | 34,505 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 72,545 | 78,877 | ||
PepsiCo Inc. | 4.000% | 3/5/42 | 15,755 | 19,756 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 45,740 | 52,906 | ||
PepsiCo Inc. | 3.875% | 3/19/60 | 17,565 | 22,128 | ||
Pfizer Inc. | 3.000% | 6/15/23 | 25,440 | 27,145 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 28,400 | 32,000 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 52,500 | 61,386 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 9,100 | 9,361 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 52,715 | 65,469 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 11,300 | 11,688 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 12,495 | 12,984 | ||
Philip Morris International Inc. | 4.125% | 5/17/21 | 15,705 | 16,074 | ||
Philip Morris International Inc. | 2.500% | 8/22/22 | 13,250 | 13,763 | ||
Philip Morris International Inc. | 2.625% | 3/6/23 | 23,000 | 24,155 | ||
Philip Morris International Inc. | 3.600% | 11/15/23 | 7,000 | 7,638 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 11,665 | 14,405 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 22,785 | 25,693 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 5,835 | 7,473 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 15,000 | 18,067 | ||
3 | Procter & Gamble - Esop | 9.360% | 1/1/21 | 1,529 | 1,553 | |
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 14,735 | 15,982 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 25,655 | 27,301 | ||
3 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 12,030 | 14,446 | |
5 | Roche Holdings Inc. | 2.375% | 1/28/27 | 61,570 | 66,323 | |
5 | Royalty Pharma plc | 3.300% | 9/2/40 | 15,135 | 14,829 | |
5 | Royalty Pharma plc | 3.550% | 9/2/50 | 17,330 | 16,560 | |
RUSH Obligated Group | 3.922% | 11/15/29 | 12,000 | 13,942 | ||
Sanofi | 4.000% | 3/29/21 | 36,275 | 36,946 | ||
5 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 21,075 | 22,393 | |
SSM Health Care Corp. | 3.823% | 6/1/27 | 41,615 | 45,670 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,825 | 31,207 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,290 | 18,972 | ||
Toledo Hospital | 5.750% | 11/15/38 | 18,425 | 21,495 | ||
Unilever Capital Corp. | 4.250% | 2/10/21 | 78,185 | 79,212 | ||
5 | Upjohn Inc. | 3.850% | 6/22/40 | 22,000 | 23,775 | |
5 | Upjohn Inc. | 4.000% | 6/22/50 | 29,574 | 31,323 | |
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 22,293 | ||
Energy (2.1%) | ||||||
5 | BG Energy Capital plc | 4.000% | 10/15/21 | 17,070 | 17,666 |
12 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
BP Capital Markets America Inc. | 4.500% | 10/1/20 | 28,000 | 28,003 | ||
BP Capital Markets America Inc. | 4.742% | 3/11/21 | 10,000 | 10,190 | ||
BP Capital Markets America Inc. | 3.245% | 5/6/22 | 10,000 | 10,439 | ||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 16,205 | 16,139 | ||
BP Capital Markets plc | 3.062% | 3/17/22 | 35,770 | 37,109 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 8,000 | 8,315 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 13,130 | 14,410 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 38,000 | 41,693 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 41,710 | 46,391 | ||
Chevron Corp. | 2.355% | 12/5/22 | 6,000 | 6,217 | ||
Chevron Corp. | 3.191% | 6/24/23 | 69,750 | 74,596 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 30,289 | 32,409 | ||
ConocoPhillips | 7.000% | 3/30/29 | 11,500 | 15,115 | ||
ConocoPhillips Co. | 4.950% | 3/15/26 | 12,710 | 15,172 | ||
Dominion Energy Gas Holdings LLC | 3.550% | 11/1/23 | 14,085 | 15,165 | ||
Dominion Energy Gas Holdings LLC | 3.000% | 11/15/29 | 19,580 | 21,546 | ||
Dominion Energy Gas Holdings LLC | 4.800% | 11/1/43 | 14,190 | 17,758 | ||
Dominion Energy Gas Holdings LLC | 4.600% | 12/15/44 | 7,003 | 8,725 | ||
Energy Transfer Operating LP | 5.000% | 5/15/50 | 14,075 | 12,949 | ||
Energy Transfer Partners LP | 5.300% | 4/15/47 | 5,600 | 5,201 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 5,000 | 5,635 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 23,475 | 24,664 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,445 | 5,359 | ||
Exxon Mobil Corp. | 2.222% | 3/1/21 | 12,735 | 12,819 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 10,710 | 11,262 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 7,330 | 8,086 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 35,095 | 37,529 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 24,070 | 25,815 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 36,910 | 39,694 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 10,845 | 12,769 | ||
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 8,341 | 7,632 | ||
Phillips 66 | 4.300% | 4/1/22 | 30,000 | 31,641 | ||
5 | Schlumberger Holdings Corp. | 4.000% | 12/21/25 | 21,010 | 23,438 | |
5 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 25,724 | 27,411 | |
5 | Schlumberger Investment SA | 2.400% | 8/1/22 | 20,765 | 21,310 | |
Shell International Finance BV | 3.250% | 5/11/25 | 28,680 | 31,692 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 40,575 | 48,581 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 10,795 | 14,990 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 95,725 | 116,737 | ||
Suncor Energy Inc. | 3.600% | 12/1/24 | 19,505 | 21,235 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 13,000 | 16,088 | ||
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 3,410 | 3,176 | ||
Sunoco Logistics Partners Operations LP | 5.400% | 10/1/47 | 20,601 | 19,416 | ||
Texaco Capital Inc. | 8.625% | 4/1/32 | 25,000 | 41,191 | ||
Total Capital International SA | 2.700% | 1/25/23 | 32,714 | 34,390 | ||
Total Capital International SA | 3.750% | 4/10/24 | 50,000 | 55,208 | ||
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 30,875 | 30,875 | ||
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 21,165 | 21,822 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 58,060 | 68,186 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 14,595 | 16,825 | ||
Other Industrial (0.6%) | ||||||
5 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,780 | 25,337 | |
3 | Duke University | 2.682% | 10/1/44 | 8,750 | 9,149 | |
3 | Duke University | 2.832% | 10/1/55 | 9,635 | 10,482 | |
Emory University | 2.143% | 9/1/30 | 39,375 | 41,616 | ||
George Washington University | 3.545% | 9/15/46 | 10,000 | 11,028 | ||
Georgetown University | 4.315% | 4/1/49 | 5,155 | 6,606 | ||
Georgetown University | 2.943% | 4/1/50 | 9,795 | 9,813 | ||
3 | Johns Hopkins University | 4.083% | 7/1/53 | 15,260 | 20,246 | |
3 | Johns Hopkins University | 2.813% | 1/1/60 | 12,420 | 13,195 | |
Leland Stanford Junior University | 2.413% | 6/1/50 | 9,891 | 10,252 | ||
3 | Northeastern University | 2.894% | 10/1/50 | 8,570 | 8,956 | |
President & Fellows of Harvard College | 2.517% | 10/15/50 | 18,840 | 19,458 |
13 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | SBA Tower Trust | 3.168% | 4/11/22 | 49,780 | 50,307 | |
5 | SBA Tower Trust | 3.448% | 3/15/23 | 28,730 | 30,261 | |
5 | SBA Tower Trust | 2.836% | 1/15/25 | 24,160 | 25,412 | |
5 | SBA Tower Trust | 1.884% | 1/15/26 | 9,320 | 9,433 | |
3 | University of Chicago | 2.761% | 4/1/45 | 9,540 | 9,792 | |
Yale University | 1.482% | 4/15/30 | 16,149 | 16,389 | ||
Yale University | 2.402% | 4/15/50 | 16,820 | 17,282 | ||
Technology (4.5%) | ||||||
Apple Inc. | 2.850% | 2/23/23 | 18,335 | 19,342 | ||
Apple Inc. | 3.000% | 2/9/24 | 22,750 | 24,496 | ||
Apple Inc. | 3.450% | 5/6/24 | 31,140 | 34,315 | ||
Apple Inc. | 2.850% | 5/11/24 | 45,635 | 49,147 | ||
Apple Inc. | 2.750% | 1/13/25 | 21,615 | 23,435 | ||
Apple Inc. | 3.250% | 2/23/26 | 38,220 | 42,973 | ||
Apple Inc. | 2.450% | 8/4/26 | 55,182 | 60,118 | ||
Apple Inc. | 3.350% | 2/9/27 | 56,435 | 64,350 | ||
Apple Inc. | 3.200% | 5/11/27 | 39,750 | 45,116 | ||
Apple Inc. | 2.900% | 9/12/27 | 83,420 | 93,611 | ||
Apple Inc. | 3.850% | 5/4/43 | 15,275 | 19,019 | ||
Apple Inc. | 4.450% | 5/6/44 | 4,035 | 5,418 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,510 | 45,239 | ||
Apple Inc. | 2.650% | 5/11/50 | 26,520 | 27,532 | ||
Apple Inc. | 2.550% | 8/20/60 | 50,285 | 49,679 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 10,955 | 12,141 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 3,395 | 3,840 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 38,911 | 43,518 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 4,670 | 5,240 | ||
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 17,445 | ||
Equinix Inc. | 3.000% | 7/15/50 | 35,915 | 35,593 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 21,845 | 24,263 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 22,020 | 23,535 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,825 | 32,206 | ||
Intel Corp. | 4.100% | 5/19/46 | 47,755 | 59,576 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 61,300 | 66,287 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 22,800 | 24,999 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 81,400 | 88,176 | ||
International Business Machines Corp. | 7.000% | 10/30/25 | 25,000 | 32,526 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 148,025 | 166,774 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 98,025 | 113,315 | ||
International Business Machines Corp. | 2.850% | 5/15/40 | 22,310 | 23,679 | ||
International Business Machines Corp. | 2.950% | 5/15/50 | 8,825 | 9,067 | ||
Microsoft Corp. | 2.375% | 2/12/22 | 19,865 | 20,391 | ||
Microsoft Corp. | 3.625% | 12/15/23 | 13,500 | 14,792 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 47,230 | 50,784 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 23,890 | 25,919 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 11,865 | 13,263 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 64,501 | 70,249 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 53,965 | 65,246 | ||
Microsoft Corp. | 4.100% | 2/6/37 | 28,522 | 36,997 | ||
Microsoft Corp. | 3.700% | 8/8/46 | 58,585 | 73,242 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 162,183 | 169,003 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 19,051 | 19,937 | ||
Oracle Corp. | 1.900% | 9/15/21 | 70,285 | 71,286 | ||
Oracle Corp. | 2.500% | 5/15/22 | 38,860 | 40,051 | ||
Oracle Corp. | 2.400% | 9/15/23 | 63,535 | 66,832 | ||
Oracle Corp. | 2.950% | 11/15/24 | 80,105 | 86,968 | ||
Oracle Corp. | 2.950% | 5/15/25 | 11,300 | 12,300 | ||
Oracle Corp. | 3.250% | 11/15/27 | 112,120 | 126,633 | ||
Oracle Corp. | 4.000% | 11/15/47 | 32,260 | 38,160 | ||
Oracle Corp. | 3.600% | 4/1/50 | 41,145 | 45,964 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,920 | 22,155 | ||
5 | QUALCOMM Inc. | 1.300% | 5/20/28 | 27,611 | 27,440 | |
QUALCOMM Inc. | 2.150% | 5/20/30 | 44,450 | 46,399 |
14 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | QUALCOMM Inc. | 1.650% | 5/20/32 | 41,504 | 41,088 | |
QUALCOMM Inc. | 3.250% | 5/20/50 | 15,990 | 17,797 | ||
5 | Tencent Holdings Ltd. | 3.575% | 4/11/26 | 6,255 | 6,943 | |
5 | Tencent Holdings Ltd. | 3.595% | 1/19/28 | 57,625 | 63,319 | |
5 | Tencent Holdings Ltd. | 3.975% | 4/11/29 | 30,760 | 34,917 | |
Transportation (0.9%) | ||||||
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 7,235 | 7,461 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 3,748 | 5,090 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 5,750 | 7,474 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 21,220 | 26,566 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 26,898 | 33,925 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,225 | 4,035 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 16,975 | 18,420 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 25,925 | 26,123 | ||
CSX Corp. | 4.300% | 3/1/48 | 16,635 | 20,712 | ||
CSX Corp. | 3.350% | 9/15/49 | 7,745 | 8,548 | ||
5 | ERAC USA Finance LLC | 4.500% | 8/16/21 | 10,270 | 10,613 | |
5 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 745 | 778 | |
5 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 3,775 | 5,335 | |
5 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 31,000 | 39,367 | |
FedEx Corp. | 2.700% | 4/15/23 | 15,810 | 16,601 | ||
FedEx Corp. | 4.100% | 2/1/45 | 4,320 | 4,894 | ||
FedEx Corp. | 4.750% | 11/15/45 | 11,802 | 14,581 | ||
FedEx Corp. | 4.550% | 4/1/46 | 5,894 | 7,136 | ||
FedEx Corp. | 4.050% | 2/15/48 | 1,653 | 1,891 | ||
FedEx Corp. | 4.950% | 10/17/48 | 11,131 | 14,153 | ||
Kansas City Southern | 4.950% | 8/15/45 | 13,845 | 15,457 | ||
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 15,560 | 16,872 | |
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 22,660 | 24,071 | |
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 53,520 | 59,337 | |
Union Pacific Corp. | 3.700% | 3/1/29 | 27,750 | 32,188 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 38,905 | 42,750 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 14,843 | 17,540 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 12,720 | 14,674 | ||
5 | Union Pacific Corp. | 2.973% | 9/16/62 | 7,030 | 6,875 | |
Union Pacific Corp. | 3.750% | 2/5/70 | 16,165 | 18,224 | ||
3 | United Airlines 2018-1 Class B Pass Through Trust | 4.600% | 3/1/26 | 6,464 | 5,120 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 17,095 | 17,852 | ||
13,519,772 | ||||||
Utilities (5.6%) | ||||||
Electric (4.9%) | ||||||
AEP Texas Inc. | 4.150% | 5/1/49 | 4,750 | 5,697 | ||
AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 18,310 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 3,365 | 4,423 | ||
Alabama Power Co. | 4.100% | 1/15/42 | 5,595 | 6,525 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 20,255 | 23,813 | ||
Alabama Power Co. | 4.300% | 7/15/48 | 27,790 | 35,518 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 58,000 | 59,873 | ||
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,365 | 26,063 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,085 | 6,077 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 16,830 | 18,492 | ||
Baltimore Gas and Electric Co. | 2.800% | 8/15/22 | 26,250 | 27,197 | ||
Baltimore Gas and Electric Co. | 2.400% | 8/15/26 | 20,945 | 22,453 | ||
Baltimore Gas and Electric Co. | 2.900% | 6/15/50 | 9,820 | 10,010 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 32,052 | 45,817 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 865 | 1,233 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,725 | 14,548 | ||
5 | Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 4,020 | 5,034 | |
CenterPoint Energy Houston Electric LLC | 4.250% | 2/1/49 | 6,685 | 8,668 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 13,465 | 13,694 | ||
Commonwealth Edison Co. | 2.950% | 8/15/27 | 23,275 | 25,927 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,990 | 15,342 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,420 | 7,580 |
15 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,900 | 22,005 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,500 | 12,894 | ||
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 45,000 | 65,192 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 30,855 | 39,027 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,752 | 3,221 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,755 | 2,125 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 24,915 | 32,799 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 22,720 | 29,793 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 9,550 | 10,362 | ||
Dominion Energy Inc. | 2.715% | 8/15/21 | 14,945 | 15,217 | ||
5 | Dominion Energy Inc. | 2.450% | 1/15/23 | 106,490 | 110,915 | |
Dominion Energy Inc. | 4.900% | 8/1/41 | 13,562 | 17,621 | ||
Dominion Energy Inc. | 4.600% | 3/15/49 | 13,855 | 18,253 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,832 | 6,944 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,446 | 1,929 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 23,085 | 33,550 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 9,627 | 13,338 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 6,830 | 8,903 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 25,065 | 37,275 | ||
DTE Energy Co. | 3.800% | 3/15/27 | 19,405 | 21,740 | ||
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,000 | 6,532 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 13,915 | 20,434 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 6,011 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 6,375 | 7,942 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 5,205 | 6,377 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,220 | 20,591 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 17,480 | 18,905 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 11,420 | 12,857 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 37,600 | 47,848 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 14,740 | 16,774 | ||
Duke Energy Progress LLC | 2.800% | 5/15/22 | 20,140 | 20,819 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 1,625 | 2,453 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 6,221 | 7,640 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 61,923 | 77,413 | ||
Emera US Finance LP | 3.550% | 6/15/26 | 32,320 | 36,046 | ||
Entergy Corp. | 2.950% | 9/1/26 | 7,085 | 7,821 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 10,065 | 11,200 | ||
Evergy Inc. | 2.450% | 9/15/24 | 28,130 | 29,731 | ||
Evergy Inc. | 2.900% | 9/15/29 | 30,000 | 32,183 | ||
Evergy Metro Inc. | 2.250% | 6/1/30 | 8,520 | 9,017 | ||
Eversource Energy | 2.900% | 10/1/24 | 25,155 | 27,200 | ||
Eversource Energy | 3.150% | 1/15/25 | 6,775 | 7,391 | ||
Eversource Energy | 3.300% | 1/15/28 | 14,490 | 16,183 | ||
Florida Power & Light Co. | 6.200% | 6/1/36 | 12,452 | 18,101 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 10,000 | 14,803 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,994 | 7,380 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 29,745 | 41,947 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 20,000 | 25,015 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 27,690 | 33,654 | ||
Fortis Inc. | 3.055% | 10/4/26 | 44,365 | 48,428 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 34,725 | 42,238 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 28,162 | 33,489 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 9,335 | 10,447 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,590 | 18,185 | ||
Kansas City Power & Light Co. | 4.200% | 3/15/48 | 3,282 | 4,059 | ||
5 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,895 | 31,443 | |
5 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 5,006 | 5,916 | |
5 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 2,540 | 2,876 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 9,925 | 14,513 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 14,675 | 18,531 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,000 | 14,245 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 44,720 | 49,476 | ||
5 | Monongahela Power Co. | 4.100% | 4/15/24 | 11,000 | 12,070 | |
5 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,320 | 5,987 |
16 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 13,800 | 14,194 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,355 | 16,443 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 32,210 | 35,062 | ||
Nevada Power Co. | 3.125% | 8/1/50 | 12,525 | 13,493 | ||
NextEra Energy Capital Holdings Inc. | 2.403% | 9/1/21 | 42,355 | 43,158 | ||
NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 8,840 | 9,898 | ||
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,950 | 37,367 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 12,880 | 14,714 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 20,155 | 21,758 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 41,505 | 42,946 | ||
5 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,280 | 42,468 | |
5 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 22,255 | 23,489 | |
3,5 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 35,520 | 42,477 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 5,145 | 6,552 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,835 | 1,999 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 20,029 | 21,277 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 5,781 | 6,820 | ||
5 | Oglethorpe Power Corp. | 3.750% | 8/1/50 | 8,875 | 8,822 | |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,225 | 20,475 | ||
Oklahoma Gas & Electric Co. | 6.500% | 4/15/28 | 10,000 | 12,974 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 13,935 | 14,641 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 31,858 | 34,745 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 11,325 | 15,522 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 3,275 | 4,183 | ||
PacifiCorp | 2.950% | 6/1/23 | 14,835 | 15,751 | ||
PacifiCorp | 3.600% | 4/1/24 | 20,000 | 22,016 | ||
PacifiCorp | 3.350% | 7/1/25 | 15,354 | 17,062 | ||
PacifiCorp | 2.700% | 9/15/30 | 8,500 | 9,369 | ||
PacifiCorp | 5.750% | 4/1/37 | 14,188 | 19,452 | ||
PacifiCorp | 4.150% | 2/15/50 | 11,330 | 14,163 | ||
PacifiCorp | 3.300% | 3/15/51 | 14,790 | 16,579 | ||
Potomac Electric Power Co. | 3.050% | 4/1/22 | 4,235 | 4,397 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 8,000 | 11,804 | ||
PPL Electric Utilities Corp. | 2.500% | 9/1/22 | 12,830 | 13,265 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 2,675 | 3,926 | ||
Progress Energy Inc. | 3.150% | 4/1/22 | 20,800 | 21,476 | ||
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 19,880 | 23,816 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,620 | 6,436 | ||
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 1,505 | 1,834 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 8,027 | 8,746 | ||
Southern California Edison Co. | 3.875% | 6/1/21 | 24,860 | 25,228 | ||
Southern California Edison Co. | 2.400% | 2/1/22 | 8,270 | 8,450 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 3,225 | 3,586 | ||
Southern California Edison Co. | 5.750% | 4/1/35 | 5,000 | 6,631 | ||
Southern California Edison Co. | 6.050% | 3/15/39 | 1,995 | 2,589 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 5,150 | 5,764 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 17,788 | 18,983 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 8,782 | 9,153 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 16,770 | 19,412 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 8,160 | 8,315 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 3,675 | 3,934 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 32,029 | 34,905 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 25,325 | 25,998 | ||
Southern Co. | 2.950% | 7/1/23 | 44,985 | 47,681 | ||
Southern Co. | 4.400% | 7/1/46 | 25,160 | 29,771 | ||
Southwestern Electric Power Co. | 2.750% | 10/1/26 | 15,000 | 16,156 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 13,436 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,790 | 4,373 | ||
Tampa Electric Co. | 2.600% | 9/15/22 | 20,205 | 20,784 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,942 | 18,468 | ||
Virginia Electric & Power Co. | 3.500% | 3/15/27 | 40,765 | 46,462 | ||
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 9,435 | 13,513 | ||
Westar Energy Inc. | 3.250% | 9/1/49 | 3,120 | 3,435 | ||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 13,825 | 19,646 |
17 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Xcel Energy Inc. | 3.350% | 12/1/26 | 33,370 | 37,490 | ||
Natural Gas (0.6%) | ||||||
5 | Boston Gas Co. | 3.150% | 8/1/27 | 8,010 | 8,856 | |
5 | Boston Gas Co. | 3.001% | 8/1/29 | 5,700 | 6,278 | |
5 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 63,125 | 78,663 | |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 3,800 | 3,806 | ||
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 9,123 | 10,316 | ||
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 4,406 | 6,326 | ||
5 | East Ohio Gas Co. | 2.000% | 6/15/30 | 13,440 | 13,927 | |
5 | East Ohio Gas Co. | 3.000% | 6/15/50 | 19,575 | 20,346 | |
5 | Infraestructura Energetica Nova SAB de CV | 4.875% | 1/14/48 | 16,735 | 16,086 | |
5 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 37,580 | 41,368 | |
5 | KeySpan Gas East Corp. | 5.819% | 4/1/41 | 5,060 | 6,908 | |
NiSource Finance Corp. | 5.250% | 2/15/43 | 13,546 | 17,780 | ||
NiSource Finance Corp. | 4.800% | 2/15/44 | 8,500 | 10,656 | ||
ONE Gas Inc. | 2.000% | 5/15/30 | 5,315 | 5,501 | ||
Sempra Energy | 2.850% | 11/15/20 | 11,900 | 11,905 | ||
Sempra Energy | 2.875% | 10/1/22 | 14,066 | 14,593 | ||
Sempra Energy | 3.800% | 2/1/38 | 20,000 | 22,344 | ||
Sempra Energy | 6.000% | 10/15/39 | 21,184 | 29,201 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 28,885 | 31,162 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 9,465 | 9,882 | ||
Other Utility (0.1%) | ||||||
American Water Capital Corp. | 2.950% | 9/1/27 | 20,245 | 22,341 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,495 | 1,754 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 29,696 | 37,061 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 885 | 1,105 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 4,430 | 4,983 | ||
3,400,448 | ||||||
Total Corporate Bonds (Cost $23,977,138) | 26,722,061 | |||||
Sovereign Bonds (2.1%) | ||||||
3,5,7 | Bermuda | 2.375% | 8/20/30 | 7,005 | 7,116 | |
3,5,7 | Bermuda | 3.375% | 8/20/50 | 7,115 | 7,184 | |
5 | Electricite de France SA | 4.875% | 9/21/38 | 69,690 | 88,330 | |
5 | Electricite de France SA | 4.875% | 1/22/44 | 2,910 | 3,517 | |
5 | Electricite de France SA | 4.950% | 10/13/45 | 12,500 | 15,255 | |
Equinor ASA | 2.900% | 11/8/20 | 22,450 | 22,506 | ||
Equinor ASA | 2.750% | 11/10/21 | 31,091 | 31,867 | ||
Equinor ASA | 2.450% | 1/17/23 | 10,840 | 11,328 | ||
Equinor ASA | 2.650% | 1/15/24 | 10,105 | 10,764 | ||
Equinor ASA | 3.700% | 3/1/24 | 20,035 | 22,085 | ||
Equinor ASA | 3.250% | 11/10/24 | 17,460 | 19,217 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,965 | 5,391 | ||
Equinor ASA | 3.125% | 4/6/30 | 82,270 | 91,946 | ||
Equinor ASA | 2.375% | 5/22/30 | 15,795 | 16,688 | ||
5,8 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,320 | 31,632 | |
9 | Province of Ontario | 2.500% | 4/27/26 | 100,400 | 109,934 | |
10 | Province of Quebec | 2.500% | 4/20/26 | 134,755 | 147,739 | |
3,11 | Republic of Columbia | 4.000% | 2/26/24 | 29,348 | 31,294 | |
5 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 27,885 | 30,586 | |
5 | Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 51,685 | 55,862 | |
5 | Sinopec Group Overseas Development 2016 Ltd. | 3.500% | 5/3/26 | 28,000 | 31,028 | |
5 | Sinopec Group Overseas Development 2017 Ltd. | 3.000% | 4/12/22 | 31,520 | 32,421 | |
5 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 63,500 | 65,218 | |
5 | State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 29,070 | 32,403 | |
5,12 | State of Kuwait | 2.750% | 3/20/22 | 4,315 | 4,426 | |
5,13 | State of Qatar | 2.375% | 6/2/21 | 55,255 | 55,804 | |
5,13 | State of Qatar | 3.875% | 4/23/23 | 69,280 | 74,247 | |
5,13 | State of Qatar | 3.375% | 3/14/24 | 3,250 | 3,498 | |
5,13 | State of Qatar | 5.103% | 4/23/48 | 30,000 | 41,260 | |
5,13 | State of Qatar | 4.400% | 4/16/50 | 13,435 | 17,153 |
18 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 39,070 | 40,693 | |
5 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,135 | 42,770 | |
5 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 40,775 | 39,955 | |
5 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 23,800 | 23,311 | |
Total Sovereign Bonds (Cost $1,153,393) | 1,264,428 | |||||
Taxable Municipal Bonds (3.5%) | ||||||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 2.574% | 4/1/31 | 14,735 | 15,985 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 4,670 | 7,956 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 24,800 | 44,484 | ||
Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 10,070 | 10,260 | ||
California GO | 7.500% | 4/1/34 | 5,845 | 9,714 | ||
California GO | 7.350% | 11/1/39 | 45,195 | 74,681 | ||
California GO | 7.600% | 11/1/40 | 11,370 | 20,481 | ||
Chicago IL Metropolitan Water Reclamation District GO | 5.720% | 12/1/38 | 4,445 | 6,400 | ||
Chicago IL O'Hare International Airport Revenue | 6.845% | 1/1/38 | 14,590 | 14,648 | ||
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 4,780 | 7,118 | ||
Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.200% | 12/1/40 | 2,290 | 3,138 | ||
Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.899% | 12/1/40 | 31,650 | 45,147 | ||
Chicago IL Transit Authority Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 61,935 | 88,347 | ||
City of Riverside CA | 3.857% | 6/1/45 | 12,905 | 13,912 | ||
Dallas Fort Worth TX International Airport | 3.089% | 11/1/40 | 7,770 | 7,864 | ||
Dallas Fort Worth TX International Airport | 2.919% | 11/1/50 | 7,405 | 7,367 | ||
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 6,480 | 8,849 | ||
Duke University North Carolina Revenue | 5.850% | 4/1/37 | 62,165 | 90,423 | ||
14 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 38,475 | 41,148 | |
Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 5,145 | 5,463 | ||
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 67,314 | 100,236 | ||
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 9,916 | 15,007 | ||
Grand Parkway Texas Transportation Corp. | 3.236% | 10/1/52 | 53,710 | 55,840 | ||
Great Lakes MI Water Authority Sewage Disposal System Revenue | 3.056% | 7/1/39 | 12,495 | 13,383 | ||
Houston TX GO | 6.290% | 3/1/32 | 15,240 | 19,285 | ||
Illinois GO | 5.100% | 6/1/33 | 32,115 | 32,455 | ||
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 16,525 | 23,831 | ||
JobsOhio Beverage System Statewide Liquor Profits Revenue | 2.833% | 1/1/38 | 5,335 | 5,751 | ||
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 38,405 | 53,086 | ||
Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue | 6.250% | 5/15/43 | 11,000 | 17,009 | ||
Maryland Transportation Authority Facilities Projects Revenue | 5.888% | 7/1/43 | 12,005 | 17,815 | ||
Massachusetts GO | 2.514% | 7/1/41 | 10,625 | 10,662 | ||
Massachusetts School Building Authority | 1.753% | 8/15/30 | 42,620 | 43,618 | ||
Massachusetts School Building Authority | 2.950% | 5/15/43 | 23,000 | 23,167 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.715% | 8/15/39 | 15,000 | 22,236 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 16,565 | 17,815 | ||
Michigan Finance Authority Revenue (Trinity Health Credit Group) | 3.084% | 12/1/34 | 11,385 | 12,250 | ||
Municipal Electric Authority of Georgia | 4.430% | 1/1/22 | 7,795 | 8,065 | ||
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 28,975 | 49,149 | ||
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 1,395 | 2,291 |
19 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
New York Metropolitan Transportation Authority Revenue | 6.200% | 11/15/26 | 2,255 | 2,517 | ||
New York Metropolitan Transportation Authority Revenue | 6.814% | 11/15/40 | 32,755 | 41,579 | ||
New York Metropolitan Transportation Authority Revenue | 5.175% | 11/15/49 | 37,785 | 41,254 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 2,430 | 3,898 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 16,940 | 23,875 | ||
New York State Dormitory Authority Revenue | 3.190% | 2/15/43 | 11,865 | 12,917 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 21,345 | 23,671 | ||
New York State Thruway Authority | 2.900% | 1/1/35 | 16,215 | 17,604 | ||
New York State Thruway Authority | 3.500% | 1/1/42 | 9,140 | 9,536 | ||
New York State Thruway Authority Highway & Bridge Trust Fund | 5.883% | 4/1/30 | 29,670 | 38,213 | ||
New York State Urban Development Corp. Revenue | 2.100% | 3/15/22 | 58,090 | 58,885 | ||
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 30,550 | 52,620 | ||
Oregon Department of Transportation Highway User Tax Revenue | 5.834% | 11/15/34 | 14,510 | 20,978 | ||
15 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 15,000 | 17,276 | |
Pennsylvania State University Revenue | 2.790% | 9/1/43 | 30,480 | 31,693 | ||
Pennsylvania State University Revenue | 2.840% | 9/1/50 | 12,515 | 12,902 | ||
16 | Philadelphia Authority for Industrial Development | 6.550% | 10/15/28 | 64,830 | 83,951 | |
Port Authority of New York & New Jersey Revenue | 1.086% | 7/1/23 | 21,440 | 21,747 | ||
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 1,960 | 2,366 | ||
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 5,665 | 7,784 | ||
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 53,000 | 67,795 | ||
Port Authority of New York & New Jersey Revenue | 4.810% | 10/15/65 | 10,910 | 14,589 | ||
Princeton University New Jersey | 5.700% | 3/1/39 | 13,020 | 20,118 | ||
Regents of the University of California Medical Center Pooled Revenue | 3.006% | 5/15/50 | 14,850 | 16,049 | ||
Regents of the University of California Medical Center Pooled Revenue | 3.256% | 5/15/60 | 29,200 | 31,849 | ||
Regents of the University of California Revenue | 3.063% | 7/1/25 | 7,015 | 7,752 | ||
Riverside County CA Pension Revenue | 3.818% | 2/15/38 | 9,875 | 11,324 | ||
Rutgers The State University of New Jersey | 3.270% | 5/1/43 | 11,595 | 12,837 | ||
Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 19,910 | 25,229 | ||
State Board of Administration Finance Corp | 1.705% | 7/1/27 | 36,875 | 37,414 | ||
Texas Transportation Commission Revenue | 2.562% | 4/1/42 | 8,625 | 8,915 | ||
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 12,275 | 15,751 | ||
Texas Transportation Commission State Highway Fund | 4.000% | 10/1/33 | 22,595 | 28,450 | ||
University of California | 1.316% | 5/15/27 | 13,645 | 13,790 | ||
University of California | 1.614% | 5/15/30 | 23,375 | 23,425 | ||
University of California | 3.931% | 5/15/45 | 18,275 | 21,538 | ||
University of California Regents Medical Center Revenue | 6.548% | 5/15/48 | 11,820 | 19,238 | ||
University of California Regents Medical Center Revenue | 6.583% | 5/15/49 | 15,870 | 25,697 | ||
University of California Revenue | 4.601% | 5/15/31 | 19,390 | 23,462 | ||
University of California Revenue | 4.765% | 5/15/44 | 4,740 | 5,258 | ||
University of Michigan | 2.437% | 4/1/40 | 17,525 | 17,983 | ||
University of Michigan | 2.562% | 4/1/50 | 15,280 | 16,003 | ||
University of Virginia | 2.256% | 9/1/50 | 20,305 | 20,032 | ||
Wisconsin Annual Appropriation Revenue | 3.954% | 5/1/36 | 28,325 | 31,906 | ||
14 | Wisconsin GO | 5.700% | 5/1/26 | 7,370 | 8,717 | |
Total Taxable Municipal Bonds (Cost $1,793,245) | 2,116,723 |
20 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Shares | Market Value ($000) | ||||
Common Stocks (38.3%) | |||||
Communication Services (2.5%) | |||||
Comcast Corp. Class A | 15,916,673 | 736,305 | |||
Verizon Communications Inc. | 12,181,280 | 724,664 | |||
BCE Inc. | 1,645,354 | 68,234 | |||
1,529,203 | |||||
Consumer Discretionary (1.8%) | |||||
McDonald's Corp. | 2,053,060 | 450,626 | |||
VF Corp. | 3,600,431 | 252,930 | |||
Home Depot Inc. | 888,556 | 246,761 | |||
Cie Generale des Etablissements Michelin SCA | 1,168,107 | 125,394 | |||
1,075,711 | |||||
Consumer Staples (5.4%) | |||||
Procter & Gamble Co. | 5,293,289 | 735,714 | |||
Philip Morris International Inc. | 6,674,304 | 500,506 | |||
Coca-Cola Co. | 9,258,057 | 457,070 | |||
PepsiCo Inc. | 2,552,304 | 353,750 | |||
Archer-Daniels-Midland Co. | 7,517,871 | 349,506 | |||
Mondelez International Inc. Class A | 5,717,754 | 328,485 | |||
Kellogg Co. | 4,323,700 | 279,268 | |||
Unilever NV | 4,087,868 | 246,907 | |||
3,251,206 | |||||
Energy (1.3%) | |||||
^ | TC Energy Corp. | 5,830,020 | 244,751 | ||
Phillips 66 | 3,797,884 | 196,882 | |||
ConocoPhillips | 5,439,300 | 178,627 | |||
Kinder Morgan Inc. | 9,567,072 | 117,962 | |||
Chevron Corp. | 537,786 | 38,720 | |||
776,942 | |||||
Financials (6.6%) | |||||
JPMorgan Chase & Co. | 7,547,908 | 726,637 | |||
Bank of America Corp. | 26,036,220 | 627,213 | |||
Progressive Corp. | 5,824,090 | 551,367 | |||
BlackRock Inc. | 734,719 | 414,051 | |||
MetLife Inc. | 10,752,977 | 399,688 | |||
Chubb Ltd. | 3,181,420 | 369,427 | |||
Truist Financial Corp. | 6,922,562 | 263,403 | |||
Blackstone Group LP Class A | 4,180,417 | 218,218 | |||
PNC Financial Services Group Inc. | 1,745,191 | 191,814 | |||
Travelers Cos. Inc. | 1,200,383 | 129,869 | |||
M&T Bank Corp. | 769,877 | 70,898 | |||
Morgan Stanley | 849,400 | 41,068 | |||
4,003,653 | |||||
Health Care (7.2%) | |||||
Johnson & Johnson | 7,649,978 | 1,138,929 | |||
Pfizer Inc. | 22,672,342 | 832,075 | |||
Medtronic plc | 5,595,648 | 581,500 | |||
Merck & Co. Inc. | 5,526,474 | 458,421 | |||
CVS Health Corp. | 5,642,974 | 329,549 | |||
AstraZeneca plc ADR | 5,410,804 | 296,512 | |||
Novartis AG | 2,835,402 | 246,182 | |||
Eli Lilly and Co. | 1,594,553 | 236,026 | |||
Sanofi | 2,222,625 | 222,734 | |||
4,341,928 | |||||
Industrials (5.1%) | |||||
Lockheed Martin Corp. | 1,343,437 | 514,913 | |||
Caterpillar Inc. | 3,391,245 | 505,804 | |||
Eaton Corp. plc | 4,878,094 | 497,712 | |||
Union Pacific Corp. | 2,113,263 | 416,038 | |||
General Dynamics Corp. | 2,279,600 | 315,565 | |||
Emerson Electric Co. | 3,592,912 | 235,587 | |||
Honeywell International Inc. | 1,421,300 | 233,960 | |||
Raytheon Technologies Corp. | 3,583,200 | 206,177 |
21 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Shares | Market Value ($000) | |||||
3M Co. | 972,025 | 155,699 | ||||
3,081,455 | ||||||
Information Technology (3.8%) | ||||||
Cisco Systems Inc. | 19,042,823 | 750,097 | ||||
Intel Corp. | 9,514,069 | 492,638 | ||||
Corning Inc. | 12,440,433 | 403,194 | ||||
Automatic Data Processing Inc. | 1,915,977 | 267,260 | ||||
Texas Instruments Inc. | 1,498,309 | 213,944 | ||||
Analog Devices Inc. | 1,163,686 | 135,849 | ||||
2,262,982 | ||||||
Materials (0.4%) | ||||||
LyondellBasell Industries NV Class A | 3,262,430 | 229,969 | ||||
Real Estate (0.8%) | ||||||
Crown Castle International Corp. | 3,081,458 | 513,063 | ||||
Utilities (3.4%) | ||||||
Dominion Energy Inc. | 5,746,518 | 453,573 | ||||
Sempra Energy | 2,508,127 | 296,862 | ||||
Duke Energy Corp. | 3,304,128 | 292,614 | ||||
Exelon Corp. | 7,629,894 | 272,845 | ||||
American Electric Power Co. Inc. | 3,269,237 | 267,195 | ||||
Entergy Corp. | 2,477,900 | 244,147 | ||||
Eversource Energy | 1,767,010 | 147,634 | ||||
FirstEnergy Corp. | 2,517,500 | 72,277 | ||||
2,047,147 | ||||||
Total Common Stocks (Cost $18,133,295) | 23,113,259 | |||||
Coupon | ||||||
Temporary Cash Investments (3.0%) | ||||||
Money Market Fund (0.3%) | ||||||
17,18 | Vanguard Market Liquidity Fund | 0.117% | 1,426,044 | 142,605 | ||
Coupon | Maturity Date | Face Amount ($000) | ||||
Repurchase Agreements (2.4%) | ||||||
Bank of America Securities, LLC (Dated 9/30/20, Repurchase Value $116,700,000, collateralized by Federal Home Loan Mortgage Corp., 2.391%-3.500%,11/1/45-10/1/50, Federal National Mortgage Assn., 1.932%-4.500%, 9/1/28-10/1/50, with a value of $119,034,000) | 0.080% | 10/1/20 | 116,700 | 116,700 | ||
Deutsche Bank Securities, Inc. (Dated 9/30/20, Repurchase Value $1,900,000, collateralized by U.S. Treasury Bill, 0.000%, 2/23/21, with a value of $1,938,000) | 0.080% | 10/1/20 | 1,900 | 1,900 | ||
HSBC Bank USA (Dated 9/30/20, Repurchase Value $220,200,000, collateralized by U.S. Treasury Note/Bond, 0.125%-2.625%, 11/15/20-2/15/46, with a value of $224,604,000) | 0.060% | 10/1/20 | 220,200 | 220,200 | ||
HSBC Bank USA (Dated 9/30/20, Repurchase Value $111,800,000, collateralized by Federal Home Loan Mortgage Corp., 3.000%-4.000%, 10/1/26-7/1/46, and Federal National Mortgage Assn., 2.000%-5.000%, 7/1/30-7/1/50, with a value of $114,036,000) | 0.080% | 10/1/20 | 111,800 | 111,800 |
22 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
JP Morgan Securities LLC (Dated 9/30/20, Repurchase Value $175,000,000, collateralized by U.S. Treasury Note/Bond, 0.250%-2.875%, 8/31/25-8/15/45, with a value of $178,500,000) | 0.060% | 10/1/20 | 175,000 | 175,000 | ||
Natixis (Dated 9/30/20, Repurchase Value $237,600,000, collateralized by Federal Home Loan Mortgage Corp., 0.000%, 3/15/29, U.S. Treasury Bill, 0.000%, 5/20/21, and U.S. Treasury Note/Bond, 0.625%-3.375%, 6/30/22-2/15/50, with a value of $242,352,000) | 0.060% | 10/1/20 | 237,600 | 237,600 | ||
Nomura International plc (Dated 9/30/20, Repurchase Value $144,800,000, collateralized by U.S. Treasury Note/Bond, 0.125%-1.750%, 12/31/20-9/15/23, with a value of $147,696,000) | 0.060% | 10/1/20 | 144,800 | 144,800 | ||
RBC Capital Markets LLC (Dated 9/30/20, Repurchase Value $63,300,000, collateralized by Federal National Mortgage Assn., 2.000%-5.000%, 9/1/42-9/1/50, with a value of $64,566,000) | 0.070% | 10/1/20 | 63,300 | 63,300 | ||
RBS Securities, Inc. (Dated 9/30/20, Repurchase Value $366,301,000, collateralized by U.S. Treasury Note/Bond, 0.125%-3.125%, 8/15/21-2/15/43, with a value of $373,626,000) | 0.060% | 10/1/20 | 366,300 | 366,300 | ||
1,437,600 | ||||||
U.S. Government and Agency Obligations (0.3%) | ||||||
United States Treasury Bill | 0.143% | 10/15/20 | 200,000 | 199,994 | ||
Shares | ||||||
Commericial Paper (0.0%) | ||||||
19 | Boeing Co. | 2.185% | 13,200 | 13,188 | ||
Total Temporary Cash Investments (Cost $1,793,355) | 1,793,387 | |||||
Total Investments (100.7%) (Cost $52,487,033) | 60,731,420 | |||||
Other Assets and Liabilities—Net (-0.7%) | (427,369) | |||||
Net Assets (100%) | 60,304,051 |
Cost is in $000. | |
¤ | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2020. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $130,142,000. |
1 | Securities with a value of $5,233,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $63,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the aggregate value of these securities was $7,102,111,000, representing 11.8% of net assets. |
6 | Variable rate security; rate shown is effective rate at period end. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
7 | Guaranteed by the Government of Bermuda. |
8 | Guaranteed by the Kingdom of Saudi Arabia. |
9 | Guaranteed by the Province of Ontario. |
10 | Guaranteed by Province of Quebec. |
11 | Guaranteed by the Republic of Colombia. |
12 | Guaranteed by the State of Kuwait. |
23 |
Vanguard® Wellesley Income Fund
Schedule of Investments
September 30, 2020
13 | Guaranteed by the State of Qatar. |
14 | Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
15 | Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation). |
16 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
17 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
18 | Collateral of $142,600,000 was received for securities on loan. |
19 | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other "accredited investors." At September 30, 2020, the value of these securities was $13,188,000, representing 0.0% of net assets. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
24 |
This page intentionally left blank.
© 2020 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
SNA270 112020 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Vanguard Wellesley Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments—investments summary, of Vanguard Wellesley Income Fund (the “Fund”) as of September 30, 2020, the related statement of operations for the year ended September 30, 2020, the statement of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2020 (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) as of September 30, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2020 and the financial highlights for each of the five years in the period ended September 30, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
November 17, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a) | Code of Ethics. |
(b) | Certifications. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD WELLESLEY INCOME FUND | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: November 17, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD WELLESLEY INCOME FUND | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: November 17, 2020
VANGUARD WELLESLEY INCOME FUND | ||
BY: | /s/ JOHN BENDL* | |
JOHN BENDL | ||
CHIEF FINANCIAL OFFICER |
Date: November 17, 2020
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on October 23, 2020 (see File Number 2-52698), Incorporated by Reference.