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, 2020—March 31, 2021
Item 1: Reports to Shareholders
Semiannual Report | March 31, 2021 | |
Vanguard Wellesley® Income Fund | |
| |
Contents
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Liquidity Risk Management | 24 |
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.
1
Six Months Ended March 31, 2021
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Wellesley Income Fund | 9/30/2020 | 3/31/2021 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,066.88 | $1.19 |
Admiral™ Shares | 1,000.00 | 1,067.19 | 0.82 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.78 | $1.16 |
Admiral Shares | 1,000.00 | 1,024.13 | 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 (182/365).
2
Wellesley Income Fund
Fund Allocation
As of March 31, 2021
Asset-Backed/Commercial Mortgage-Backed Securities | 2.2 | % |
Common Stocks | 40.3 | |
Corporate Bonds—Finance | 16.6 | |
Corporate Bonds—Industrial | 20.1 | |
Corporate Bonds—Utilities | 5.1 | |
Sovereign Bonds | 2.2 | |
Taxable Municipal Bonds | 2.9 | |
U.S. Government and Agency Obligations | 10.6 |
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.
3
Wellesley Income Fund
Financial Statements (unaudited)
Schedule of Investments—Investments Summary
As of March 31, 2021
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 | 0.375% | 1/31/26 | 951,875 | 928,230 | 1.5% |
1 | United States Treasury Note/Bond | 0.250% | 5/31/25 | 637,000 | 624,757 | 1.0% |
United States Treasury Note/Bond | 0.250% | 10/31/25 | 601,000 | 585,224 | 0.9% | |
United States Treasury Note/Bond | 0.250% | 7/31/25 | 548,245 | 536,167 | 0.8% | |
United States Treasury Note/Bond | 1.875% | 2/15/41 | 446,450 | 415,757 | 0.7% | |
United States Treasury Note/Bond | 1.625% | 11/15/50 | 386,040 | 321,980 | 0.5% | |
United States Treasury Note/Bond | 1.875% | 2/15/51 | 361,355 | 320,703 | 0.5% | |
2 | United States Treasury Note/Bond | 0.125%–3.625% | 5/15/23–5/15/50 | 2,101,680 | 1,971,823 | 3.1% |
5,704,641 | 9.0% | |||||
Agency Notes † | 27,126 | 0.0% | ||||
Conventional Mortgage-Backed Securities † | 360,972 | 0.6% | ||||
Nonconventional Mortgage-Backed Securities † | 506,644 | 0.8% | ||||
Total U.S. Government and Agency Obligations (Cost $6,827,024) | 6,599,383 | 10.4% | ||||
§,3Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,339,338) † | 1,347,660 | 2.1% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
4 | Bank of America Corp. | 2.496%–6.110% | 1/11/23–3/15/50 | 656,288 | 717,865 | 1.1% |
Bank One Corp. | 7.750% | 7/15/25 | 25,000 | 31,436 | 0.1% | |
4 | Goldman Sachs Group Inc. | 1.431%–6.250% | 7/27/21–7/8/44 | 648,070 | 695,796 | 1.1% |
4 | JPMorgan Chase & Co. | 1.953%–5.625% | 5/1/23–4/22/51 | 639,860 | 711,741 | 1.1% |
4 | Morgan Stanley | 2.500%–7.250% | 4/21/21–1/27/45 | 529,965 | 579,786 | 0.9% |
Truist Bank | 2.625%–3.300% | 1/15/22–5/15/26 | 34,695 | 36,068 | 0.1% |
4
Wellesley Income Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Truist Financial Corp. | 1.950%–3.700% | 9/3/21–6/5/30 | 166,215 | 171,884 | 0.3% | |
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 18,030 | 0.0% | |
4 | Wells Fargo & Co. | 2.572%–5.606% | 3/8/22–12/7/46 | 582,516 | 633,624 | 1.0% |
3 | Banking—Other † | 4,406,119 | 6.9% | |||
3 | Brokerage † | 351,364 | 0.6% | |||
3 | Finance Companies † | 39,789 | 0.1% | |||
Insurance | ||||||
MetLife Inc. | 3.600%–4.875% | 4/10/24–11/13/43 | 50,800 | 58,375 | 0.1% | |
3 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 25,000 | 31,294 | 0.0% |
3 | Insurance—Other † | 1,633,425 | 2.6% | |||
3 | Real Estate Investment Trusts † | 220,402 | 0.3% | |||
10,336,998 | 16.3% | |||||
Industrial | ||||||
3 | Basic Industry † | 89,662 | 0.1% | |||
3 | Capital Goods † | 990,540 | 1.6% | |||
Communication | ||||||
Comcast Corp. | 2.450%–4.950% | 2/1/24–10/15/58 | 573,491 | 648,021 | 1.0% | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 10,639 | 12,580 | 0.0% | |
3 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 47,141 | 0.1% |
3 | Verizon Communications Inc. | 2.987%–4.812% | 9/21/28–10/30/56 | 174,666 | 193,443 | 0.3% |
3 | Communication—Other † | 1,264,953 | 2.0% | |||
Consumer Cyclical | ||||||
Home Depot Inc. | 3.300%–4.500% | 12/6/28–12/6/48 | 76,523 | 86,669 | 0.2% | |
3 | Consumer Cyclical—Other † | 1,150,290 | 1.8% | |||
Consumer Noncyclical | ||||||
Johnson & Johnson | 2.450%–6.730% | 11/15/23–3/1/26 | 93,000 | 100,030 | 0.1% | |
Pfizer Inc. | 1.700%–4.100% | 12/15/26–5/28/50 | 166,510 | 179,946 | 0.3% | |
Philip Morris International Inc. | 2.500%–4.875% | 8/22/22–11/10/44 | 98,535 | 106,052 | 0.2% | |
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 20,878 | 0.0% | |
3 | Consumer Noncyclical—Other † | 3,244,557 | 5.1% | |||
3 | Energy † | 1,217,946 | 1.9% | |||
3 | Other Industrial † | 249,526 | 0.4% | |||
Technology | ||||||
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 16,922 | 0.0% | |
3 | Technology—Other † | 2,462,681 | 3.9% | |||
3 | Transportation † | 446,770 | 0.7% | |||
12,528,607 | 19.7% | |||||
Utilities | ||||||
Electric | ||||||
3 | Dominion Energy Inc. | 2.450%–4.900% | 8/15/21–3/15/49 | 148,852 | 157,698 | 0.2% |
Dominion Energy South Carolina Inc. | 4.600%–6.625% | 2/1/32–6/1/65 | 70,885 | 93,599 | 0.1% | |
Virginia Electric & Power Co. | 3.500%–6.000% | 3/15/27–5/15/37 | 50,200 | 57,305 | 0.1% | |
3 | Electric—Other † | 2,512,883 | 4.0% | |||
Natural Gas | ||||||
3 | East Ohio Gas Co. | 2.000%–3.000% | 6/15/30–6/15/50 | 33,015 | 30,920 | 0.1% |
3 | Natural Gas—Other † | 276,929 | 0.4% | |||
Other Utility † | 62,058 | 0.1% | ||||
3,191,392 | 5.0% | |||||
Total Corporate Bonds (Cost $24,501,588) | 26,056,997 | 41.0% |
5
Wellesley Income Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
($000) | Assets | |||
3Sovereign Bonds (Cost $1,307,456) † | 1,359,307 | 2.1% | ||
Taxable Municipal Bonds (Cost $1,608,179) † | 1,827,561 | 2.9% | ||
Shares | ||||
Common Stocks | ||||
Communication Services | ||||
Comcast Corp. Class A | 13,486,773 | 729,769 | 1.1% | |
Verizon Communications Inc. | 7,619,706 | 443,086 | 0.7% | |
1,172,855 | 1.8% | |||
Consumer Discretionary | ||||
Home Depot Inc. | 2,220,756 | 677,886 | 1.1% | |
McDonald’s Corp. | 1,523,160 | 341,401 | 0.5% | |
Consumer Discretionary—Other † | 157,173 | 0.2% | ||
1,176,460 | 1.8% | |||
Consumer Staples | ||||
Procter & Gamble Co. | 6,247,289 | 846,070 | 1.3% | |
Philip Morris International Inc. | 6,872,604 | 609,875 | 1.0% | |
Mondelez International Inc. Class A | 8,824,054 | 516,472 | 0.8% | |
PepsiCo Inc. | 2,988,204 | 422,681 | 0.7% | |
Archer-Daniels-Midland Co. | 5,941,471 | 338,664 | 0.5% | |
Unilever plc ADR | 5,483,068 | 306,120 | 0.5% | |
Consumer Staples—Other † | 757,382 | 1.2% | ||
3,797,264 | 6.0% | |||
Energy | ||||
ConocoPhillips | 8,491,714 | 449,806 | 0.7% | |
Pioneer Natural Resources Co. | 2,225,500 | 353,454 | 0.6% | |
Energy—Other † | 534,097 | 0.8% | ||
1,337,357 | 2.1% | |||
Financials | ||||
JPMorgan Chase & Co. | 6,485,008 | 987,213 | 1.6% | |
Bank of America Corp. | 22,061,220 | 853,549 | 1.3% | |
MetLife Inc. | 9,959,777 | 605,455 | 1.0% | |
Chubb Ltd. | 3,072,020 | 485,287 | 0.8% | |
Morgan Stanley | 6,115,200 | 474,906 | 0.7% | |
Truist Financial Corp. | 7,924,162 | 462,137 | 0.7% | |
BlackRock Inc. | 591,119 | 445,680 | 0.7% | |
Progressive Corp. | 4,397,390 | 420,435 | 0.7% | |
Financials—Other † | 659,103 | 1.0% | ||
5,393,765 | 8.5% | |||
Health Care | ||||
Johnson & Johnson | 6,770,078 | 1,112,662 | 1.8% | |
Pfizer Inc. | 17,589,042 | 637,251 | 1.0% | |
Medtronic plc | 4,741,248 | 560,084 | 0.9% | |
Eli Lilly and Co. | 2,486,253 | 464,482 | 0.7% | |
Merck & Co. Inc. | 5,050,774 | 389,364 | 0.6% | |
CVS Health Corp. | 4,444,374 | 334,350 | 0.5% | |
Health Care—Other † | 464,661 | 0.7% | ||
3,962,854 | 6.2% | |||
Industrials | ||||
Lockheed Martin Corp. | 1,270,937 | 469,611 | 0.8% | |
Eaton Corp. plc | 3,214,741 | 444,534 | 0.7% | |
General Dynamics Corp. | 2,217,600 | 402,628 | 0.6% |
6
Wellesley Income Fund | ||||||
Market | Percentage | |||||
Value• | of Net | |||||
Shares | ($000) | Assets | ||||
Raytheon Technologies Corp. | 5,201,200 | 401,897 | 0.6% | |||
Caterpillar Inc. | 1,609,645 | 373,228 | 0.6% | |||
Union Pacific Corp. | 1,676,863 | 369,597 | 0.6% | |||
Johnson Controls International plc | 5,082,200 | 303,255 | 0.5% | |||
Industrials—Other † | 512,444 | 0.8% | ||||
3,277,194 | 5.2% | |||||
Information Technology | ||||||
Cisco Systems Inc. | 18,120,123 | 936,992 | 1.5% | |||
Corning Inc. | 10,540,933 | 458,636 | 0.7% | |||
Automatic Data Processing Inc. | 1,623,377 | 305,958 | 0.5% | |||
Information Technology—Other † | 392,562 | 0.6% | ||||
2,094,148 | 3.3% | |||||
Materials | ||||||
LyondellBasell Industries NV Class A | 2,939,030 | 305,806 | 0.5% | |||
Materials—Other † | 143,631 | 0.2% | ||||
449,437 | 0.7% | |||||
Real Estate | ||||||
Crown Castle International Corp. | 2,806,858 | 483,145 | 0.8% | |||
Utilities | ||||||
Dominion Energy Inc. | 4,869,418 | 369,881 | 0.6% | |||
Sempra Energy | 2,638,427 | 349,803 | 0.5% | |||
American Electric Power Co. Inc. | 3,583,537 | 303,526 | 0.5% | |||
Exelon Corp. | 6,495,094 | 282,783 | 0.4% | |||
Utilities—Other † | 653,122 | 1.1% | ||||
1,959,115 | 3.1% | |||||
Total Common Stocks (Cost $16,645,195) | 25,103,594 | 39.5% | ||||
Coupon | ||||||
Temporary Cash Investments | ||||||
Money Market Fund | ||||||
5,6 Vanguard Market Liquidity Fund | 0.081% | 1,514,500 | 151,443 | 0.2% | ||
Face | ||||||
Maturity | Amount | |||||
Date | ($000) | |||||
Repurchase Agreements | ||||||
Bank of America Securities, LLC | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $60,500,000, collateralized | ||||||
by Government National | ||||||
Mortgage Assn., 2.500%–3.000%, | ||||||
11/20/50–3/20/51, with a value | ||||||
of $61,710,000) | 0.010% | 4/1/21 | 60,500 | 60,500 | 0.1% | |
Deutsche Bank Securities, Inc. | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $106,100,000, collateralized | ||||||
by U.S. Treasury Note/Bond, | ||||||
0.875%–2.000%, | ||||||
11/15/26–11/15/30, with a | ||||||
value of $108,222,000) | 0.010% | 4/1/21 | 106,100 | 106,100 | 0.2% |
7
Wellesley Income Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
HSBC Bank USA | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $90,400,000, collateralized | ||||||
by Federal Home Loan Mortgage | ||||||
Corp., 2.500%–3.000%, | ||||||
2/1/35–2/1/51, and Federal | ||||||
National Mortgage Assn., | ||||||
2.000%–3.500%, 8/1/30–3/1/51, | ||||||
with a value of $92,208,000) | 0.005% | 4/1/21 | 90,400 | 90,400 | 0.1% | |
HSBC Bank USA | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $26,900,000, collateralized | ||||||
by U.S. Treasury Bill, 0.000%, | ||||||
5/20/21, and U.S. Treasury | ||||||
Note/Bond, 0.069%–5.000%, | ||||||
4/30/21–5/15/37, with a value | ||||||
of $27,438,000) | 0.005% | 4/1/21 | 26,900 | 26,900 | 0.0% | |
JP Morgan Securities LLC | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $41,100,000, collateralized | ||||||
by U.S. Treasury Note/Bond, | ||||||
2.250%, 8/15/46, with a value | ||||||
of $41,922,000) | 0.005% | 4/1/21 | 41,100 | 41,100 | 0.1% | |
Natixis | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $227,500,000, collateralized | ||||||
by Federal Home Loan Mortgage | ||||||
Corp., 0.000%, 12/11/25, U.S. | ||||||
Treasury Bill, 0.000%, | ||||||
7/20/21–11/4/21, and U.S. | ||||||
Treasury Note/Bond, | ||||||
0.125%–4.500%, | ||||||
9/30/21–8/15/50, with a value | ||||||
of $232,050,000) | 0.010% | 4/1/21 | 227,500 | 227,500 | 0.4% | |
Nomura International plc | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $62,400,000, collateralized | ||||||
by U.S. Treasury Bill, 0.000%, | ||||||
4/22/21 and U.S. Treasury | ||||||
Note/Bond, 0.075%–1.875%, | ||||||
9/30/22–1/15/23, with a value | ||||||
of $63,648,000) | 0.010% | 4/1/21 | 62,400 | 62,400 | 0.1% | |
RBC Capital Markets LLC | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $24,300,000, collateralized | ||||||
by Federal Home Loan Mortgage | ||||||
Corp., 2.000%–4.000%, | ||||||
6/1/42–10/1/50, and Federal | ||||||
National Mortgage Assn., | ||||||
3.500%, 2/1/46, with a value | ||||||
of $24,786,000) | 0.005% | 4/1/21 | 24,300 | 24,300 | 0.0% |
8
Wellesley Income Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
RBS Securities, Inc. | ||||||
(Dated 3/31/21, Repurchase | ||||||
Value $11,700,000, collateralized | ||||||
by U.S. Treasury Note/Bond, | ||||||
3.125%, 5/15/48, with a value | ||||||
of $11,934,000) | 0.005% | 4/1/21 | 11,700 | 11,700 | 0.0% | |
650,900 | 1.0% | |||||
U.S. Government and Agency Obligations | ||||||
United States Treasury Bill | 0.015% | 6/24/21 | 500,000 | 499,980 | 0.8% | |
United States Treasury Bill | 0.032%–0.040% | 4/22/21–9/23/21 | 500,000 | 499,960 | 0.8% | |
999,940 | 1.6% | |||||
Total Temporary Cash Investments (Cost $1,802,273) | 1,802,283 | 2.8% | ||||
^Total Investments (Cost $54,031,053) | 64,096,785 | 100.8% | ||||
Other Assets and Liabilities—Net | (536,110) | (0.8%) | ||||
Net Assets | 63,560,675 | 100.0% |
Cost is in $000.
• | See Note A in Notes to Financial Statements. |
^ | The total value of securities on loan is $145,710,000. |
§ | Security value determined using significant unobservable inputs. |
† | 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 $1,473,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $4,948,000 have been segregated as initial margin for open futures contracts. |
3 | 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 March 31, 2021, the aggregate value of these securities was $7,427,993,000, representing 11.7% of net assets. |
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 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
6 | Collateral of $151,439,000 was received for securities on loan. |
ADR—American Depositary Receipt.
9
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 | |||||||||
Ultra 10-Year U.S. Treasury Note | June 2021 | 284 | 40,807 | (78) | |||||
Short Futures Contracts | |||||||||
5-Year U.S. Treasury Note | June 2021 | (2,841) | (350,575) | 741 | |||||
10-Year U.S. Treasury Note | June 2021 | (1,624) | (212,643) | 5,504 | |||||
6,245 | |||||||||
6,167 |
Forward Currency Contracts | ||||||||
Contract | Unrealized | Unrealized | ||||||
Settlement | Contract Amount (000) | Appreciation | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ($000) | |||
BNP Paribas | 4/16/21 | USD | 38,550 | CAD | 48,000 | 352 | — | |
Goldman Sachs International | 4/12/21 | USD | 28,505 | CAD | 35,660 | 129 | — | |
J.P. Morgan Securities LLC | 4/19/21 | USD | 26,910 | CAD | 33,627 | 151 | — | |
Bank of America, N.A. | 4/6/21 | USD | 20,070 | CAD | 25,000 | 176 | — | |
Toronto-Dominion Bank | 4/8/21 | USD | 20,030 | CAD | 25,000 | 137 | — | |
UBS AG | 4/9/21 | USD | 20,024 | CAD | 25,000 | 131 | — | |
Toronto-Dominion Bank | 4/7/21 | USD | 20,024 | CAD | 25,000 | 130 | — | |
BNP Paribas | 4/6/21 | USD | 19,985 | CAD | 25,000 | 91 | — | |
BNP Paribas | 4/15/21 | USD | 19,983 | CAD | 25,000 | 89 | — | |
Citibank, N.A. | 4/15/21 | USD | 16,064 | CAD | 20,000 | 149 | — | |
Citibank, N.A. | 4/19/21 | USD | 13,108 | CAD | 16,373 | 79 | — | |
Citibank, N.A. | 4/20/21 | USD | 13,012 | CAD | 16,298 | 42 | — | |
1,656 | — |
CAD—Canadian dollar.
USD—U.S. dollar.
At March 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $984,000 and cash of $430,000 in connection with open forward currency contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
10
Wellesley Income Fund
Statement of Assets and Liabilities
As of March 31, 2021
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $53,879,610) | 63,945,342 |
Affiliated Issuers (Cost $151,443) | 151,443 |
Total Investments in Securities | 64,096,785 |
Investment in Vanguard | 2,338 |
Cash | 245 |
Foreign Currency, at Value (Cost $569) | 566 |
Receivables for Investment Securities Sold | 406,908 |
Receivables for Accrued Income | 317,758 |
Receivables for Capital Shares Issued | 68,520 |
Variation Margin Receivable—Futures Contracts | 794 |
Unrealized Appreciation—Forward Currency Contracts | 1,656 |
Total Assets | 64,895,570 |
Liabilities | |
Payables for Investment Securities Purchased | 1,100,160 |
Collateral for Securities on Loan | 151,439 |
Payables to Investment Advisor | 10,038 |
Payables for Capital Shares Redeemed | 71,668 |
Payables to Vanguard | 1,590 |
Total Liabilities | 1,334,895 |
Net Assets | 63,560,675 |
At March 31, 2021, net assets consisted of: | |
Paid-in Capital | 52,199,511 |
Total Distributable Earnings (Loss) | 11,361,164 |
Net Assets | 63,560,675 |
Investor Shares—Net Assets | |
Applicable to 450,174,330 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,801,434 |
Net Asset Value Per Share—Investor Shares | $28.44 |
Admiral Shares—Net Assets | |
Applicable to 736,912,040 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 50,759,241 |
Net Asset Value Per Share—Admiral Shares | $68.88 |
See accompanying Notes, which are an integral part of the Financial Statements.
11
Wellesley Income Fund
Statement of Operations
Six Months Ended | |
March 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 393,266 |
Interest | 504,970 |
Securities Lending—Net | 115 |
Total Income | 898,351 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 16,837 |
Performance Adjustment | 2,771 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 10,098 |
Management and Administrative—Admiral Shares | 23,713 |
Marketing and Distribution—Investor Shares | 535 |
Marketing and Distribution—Admiral Shares | 922 |
Custodian Fees | 146 |
Shareholders' Reports—Investor Shares | 46 |
Shareholders' Reports—Admiral Shares | 78 |
Trustees' Fees and Expenses | 20 |
Total Expenses | 55,166 |
Net Investment Income | 843,185 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 1,362,182 |
Futures Contracts | 4,965 |
Forward Currency Contracts | (380) |
Foreign Currencies | 593 |
Realized Net Gain (Loss) | 1,367,360 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 1,821,345 |
Futures Contracts | 5,366 |
Forward Currency Contracts | 1,656 |
Foreign Currencies | (408) |
Change in Unrealized Appreciation (Depreciation) | 1,827,959 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,038,504 |
1 | Dividends are net of foreign withholding taxes of $4,178,000. |
2 | Realized net gain (loss) and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $0 and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
Wellesley Income Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | ||
March 31, | September 30, | ||
2021 | 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 843,185 | 1,710,723 | |
Realized Net Gain (Loss) | 1,367,360 | 1,183,103 | |
Change in Unrealized Appreciation (Depreciation) | 1,827,959 | (128,456) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,038,504 | 2,765,370 | |
Distributions | |||
Investor Shares | (375,337) | (501,533) | |
Admiral Shares | (1,499,577) | (1,842,363) | |
Total Distributions | (1,874,914) | (2,343,896) | |
Capital Share Transactions | |||
Investor Shares | 103,223 | (702,626) | |
Admiral Shares | 989,811 | 2,628,909 | |
Net Increase (Decrease) from Capital Share Transactions | 1,093,034 | 1,926,283 | |
Total Increase (Decrease) | 3,256,624 | 2,347,757 | |
Net Assets | |||
Beginning of Period | 60,304,051 | 57,956,294 | |
End of Period | 63,560,675 | 60,304,051 |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Wellesley Income Fund
Financial Highlights
Investor Shares
Six Months | |||||||
Ended | Year Ended September 30, | ||||||
For a Share Outstanding | March 31, | ||||||
Throughout Each Period | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
Net Asset Value, Beginning of Period | $27.46 | $27.18 | $26.43 | $26.66 | $26.13 | $24.71 | |
Investment Operations | |||||||
Net Investment Income | .3721 | .7751 | .8031 | .7791 | .7691 | .761 | |
Net Realized and Unrealized Gain (Loss) on Investments | 1.451 | .576 | 1.787 | .086 | .810 | 2.014 | |
Total from Investment Operations | 1.823 | 1.351 | 2.590 | .865 | 1.579 | 2.775 | |
Distributions | |||||||
Dividends from Net Investment Income | (.377) | (.789) | (.799) | (.786) | (.780) | (.746) | |
Distributions from Realized Capital Gains | (.466) | (.282) | (1.041) | (.309) | (.269) | (.609) | |
Total Distributions | (.843) | (1.071) | (1.840) | (1.095) | (1.049) | (1.355) | |
Net Asset Value, End of Period | $28.44 | $27.46 | $27.18 | $26.43 | $26.66 | $26.13 | |
Total Return2 | 6.69% | 5.19% | 10.54% | 3.28% | 6.22% | 11.58% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $12,801 | $12,260 | $12,864 | $12,398 | $14,220 | $14,175 | |
Ratio of Total Expenses to Average Net Assets3 | 0.23% | 0.23% | 0.23% | 0.23% | 0.22% | 0.22% | |
Ratio of Net Investment Income to Average Net Assets | 2.60% | 2.86% | 3.08% | 2.93% | 2.95% | 3.02% | |
Portfolio Turnover Rate4 | 23% | 53% | 28% | 36% | 22% | 31% |
The expense ratio and net investment income ratio for the current period have been annualized.
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%, 0.01%, 0.00%, (0.00%), and 0.00%. |
4 | Includes 3%, 7%, 2%, 4%, 1%, and 15% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Wellesley Income Fund
Financial Highlights
Admiral Shares
Six Months | |||||||
Ended | Year Ended September 30, | ||||||
For a Share Outstanding | March 31, | ||||||
Throughout Each Period | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
Net Asset Value, Beginning of Period | $66.51 | $65.85 | $64.03 | $64.57 | $63.30 | $59.87 | |
Investment Operations | |||||||
Net Investment Income | .9261 | 1.9231 | 1.9901 | 1.9341 | 1.9081 | 1.887 | |
Net Realized and Unrealized Gain (Loss) on Investments | 3.510 | 1.379 | 4.331 | .226 | 1.945 | 4.868 | |
Total from Investment Operations | 4.436 | 3.302 | 6.321 | 2.160 | 3.853 | 6.755 | |
Distributions | |||||||
Dividends from Net Investment Income | (.937) | (1.959) | (1.979) | (1.951) | (1.932) | (1.850) | |
Distributions from Realized Capital Gains | (1.129) | (.683) | (2.522) | (.749) | (.651) | (1.475) | |
Total Distributions | (2.066) | (2.642) | (4.501) | (2.700) | (2.583) | (3.325) | |
Net Asset Value, End of Period | $68.88 | $66.51 | $65.85 | $64.03 | $64.57 | $63.30 | |
Total Return2 | 6.72% | 5.24% | 10.62% | 3.38% | 6.27% | 11.64% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $50,759 | $48,044 | $45,092 | $40,756 | $39,974 | $35,678 | |
Ratio of Total Expenses to Average Net Assets3 | 0.16% | 0.16% | 0.16% | 0.16% | 0.15% | 0.15% | |
Ratio of Net Investment Income to Average Net Assets | 2.67% | 2.93% | 3.15% | 3.00% | 3.02% | 3.09% | |
Portfolio Turnover Rate4 | 23% | 53% | 28% | 36% | 22% | 31% |
The expense ratio and net investment income ratio for the current period have been annualized.
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%, 0.01%, 0.00%, (0.00%), and 0.00%. |
4 | Includes 3%, 7%, 2%, 4%, 1%, and 15% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
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' ability 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).
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
16
Wellesley Income Fund
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 six months ended March 31, 2021, the fund's average investments in long and short futures contracts each represented less than 1% of net assets, 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.
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 six months ended March 31, 2021, 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.
17
Wellesley Income Fund
5. 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 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.
6. 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.
7. 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 counterparty'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.
18
Wellesley Income Fund
8. 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.
9. 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.
10. 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.
11. 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.
19
Wellesley Income Fund
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 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 six months ended March 31, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
12. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in investment income are recorded at the fair value of the securities received. 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. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Taxes on foreign dividends and capital gains have been provided for in accordance with the fund’s understanding of the applicable countries’ tax rules and rates. Foreign capital gains tax, if any, is accrued daily based upon net unrealized gains. The fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Such tax reclaims received during the year, if any, are included in dividend income. No other amounts for additional tax reclaims are reflected in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.
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 six months ended March 31, 2021, the investment advisory fee represented an effective annual basic rate of 0.05% of the fund's average net assets, before an increase of $2,771,000 (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.
20
Wellesley Income Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At March 31, 2021, the fund had contributed to Vanguard capital in the amount of $2,338,000, representing less than 0.01% of the fund's net assets and 0.94% 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.
The following table summarizes the market value of the fund's investments and derivatives as of March 31, 2021, 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 | — | 6,599,383 | — | 6,599,383 | |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,315,460 | 32,200 | 1,347,660 | |
Corporate Bonds | — | 26,056,997 | — | 26,056,997 | |
Sovereign Bonds | — | 1,359,307 | — | 1,359,307 | |
Taxable Municipal Bonds | — | 1,827,561 | — | 1,827,561 | |
Common Stocks | 24,898,317 | 205,277 | — | 25,103,594 | |
Temporary Cash Investments | 151,443 | 1,650,840 | — | 1,802,283 | |
Total | 25,049,760 | 39,014,825 | 32,200 | 64,096,785 | |
Derivative Financial Instruments | |||||
Assets | |||||
Futures Contracts1 | 6,245 | — | — | 6,245 | |
Forward Currency Contracts | — | 1,656 | — | 1,656 | |
Total | 6,245 | 1,656 | — | 7,901 | |
Liabilities | |||||
Futures Contracts1 | 78 | — | — | 78 | |
Total | 78 | — | — | 78 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
21
Wellesley Income Fund
E. At March 31, 2021, 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) |
Unrealized Appreciation—Futures Contracts1 | 6,245 | — | 6,245 |
Unrealized Appreciation—Forward Currency Contracts | — | 1,656 | 1,656 |
Total Assets | 6,245 | 1,656 | 7,901 |
Unrealized Depreciation—Futures Contracts1 | 78 | — | 78 |
Total Liabilities | 78 | — | 78 |
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended March 31, 2021, were:
Interest Rate | Currency | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | 4,965 | — | 4,965 |
Forward Currency Contracts | — | (380) | (380) |
Realized Net Gain (Loss) on Derivatives | 4,965 | (380) | 4,585 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | 5,366 | — | 5,366 |
Forward Currency Contracts | — | 1,656 | 1,656 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 5,366 | 1,656 | 7,022 |
F. As of March 31, 2021, 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 | 54,060,696 |
Gross Unrealized Appreciation | 10,553,662 |
Gross Unrealized Depreciation | (509,750) |
Net Unrealized Appreciation (Depreciation) | 10,043,912 |
G. During the six months ended March 31, 2021, the fund purchased $6,545,964,000 of investment securities and sold $9,856,545,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $7,357,702,000 and $4,689,993,000, respectively.
22
Wellesley Income Fund
H. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | ||||
March 31, 2021 | September 30, 2020 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 1,195,724 | 42,284 | 2,619,685 | 96,662 | |
Issued in Lieu of Cash Distributions | 348,878 | 12,399 | 464,104 | 17,599 | |
Redeemed | (1,441,379) | (51,017) | (3,786,415) | (141,001) | |
Net Increase (Decrease)—Investor Shares | 103,223 | 3,666 | (702,626) | (26,740) | |
Admiral Shares | |||||
Issued | 3,978,851 | 58,123 | 9,156,581 | 139,203 | |
Issued in Lieu of Cash Distributions | 1,322,808 | 19,410 | 1,608,786 | 25,178 | |
Redeemed | (4,311,848) | (62,991) | (8,136,458) | (126,832) | |
Net Increase (Decrease)—Admiral Shares | 989,811 | 14,542 | 2,628,909 | 37,549 |
I. Management has determined that no events or transactions occurred subsequent to March 31, 2021, that would require recognition or disclosure in these financial statements.
23
Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Wellesley Income Fund approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Wellesley Income Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2020, through December 31, 2020 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.
24
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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.
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© 2021 Bloomberg. Used with Permission.
Source: Bloomberg Index Services Limited. Copyright 2021, Bloomberg. All rights reserved.
25
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Q272 052021 |
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (10.4%) | ||||||
U.S. Government Securities (9.0%) | ||||||
United States Treasury Note/Bond | 0.125% | 5/15/23 | 105,440 | 105,308 | ||
United States Treasury Note/Bond | 0.250% | 11/15/23 | 80,000 | 79,950 | ||
United States Treasury Note/Bond | 0.125% | 1/15/24 | 93,770 | 93,286 | ||
United States Treasury Note/Bond | 0.125% | 2/15/24 | 151,210 | 150,383 | ||
United States Treasury Note/Bond | 0.250% | 3/15/24 | 100,000 | 99,734 | ||
1 | United States Treasury Note/Bond | 0.250% | 5/31/25 | 637,000 | 624,757 | |
United States Treasury Note/Bond | 0.250% | 7/31/25 | 548,245 | 536,167 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 154,990 | 151,357 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 601,000 | 585,224 | ||
1 | United States Treasury Note/Bond | 0.375% | 1/31/26 | 951,875 | 928,230 | |
United States Treasury Note/Bond | 1.500% | 2/15/30 | 251,855 | 248,825 | ||
United States Treasury Note/Bond | 0.625% | 5/15/30 | 293,880 | 267,522 | ||
United States Treasury Note/Bond | 0.625% | 8/15/30 | 100,000 | 90,625 | ||
United States Treasury Note/Bond | 0.875% | 11/15/30 | 218,495 | 202,108 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 230,245 | 217,545 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 270,375 | 220,018 | ||
United States Treasury Note/Bond | 1.875% | 2/15/41 | 446,450 | 415,757 | ||
United States Treasury Note/Bond | 3.625% | 2/15/44 | 13,285 | 16,340 | ||
2 | United States Treasury Note/Bond | 1.250% | 5/15/50 | 38,135 | 28,822 | |
United States Treasury Note/Bond | 1.625% | 11/15/50 | 386,040 | 321,980 | ||
United States Treasury Note/Bond | 1.875% | 2/15/51 | 361,355 | 320,703 | ||
5,704,641 | ||||||
Agency Notes (0.0%) | ||||||
Tennessee Valley Authority | 4.625% | 9/15/60 | 19,800 | 27,126 | ||
Conventional Mortgage-Backed Securities (0.6%) | ||||||
3,4 | Fannie Mae Pool | 1.770% | 1/1/36 | 21,828 | 20,804 | |
3,4 | Fannie Mae Pool | 2.500% | 8/1/27–4/1/38 | 42,671 | 44,284 | |
3,4 | Fannie Mae Pool | 3.070% | 2/1/25 | 11,700 | 12,576 | |
3,4 | Freddie Mac Gold Pool | 4.000% | 7/1/33 | 3 | 3 | |
3 | Ginnie Mae I Pool | 6.000% | 6/15/31–7/15/35 | 19 | 24 | |
3 | Ginnie Mae I Pool | 6.500% | 4/15/32–9/15/38 | 1,745 | 1,949 | |
¤,3,4 | UMBS Pool | 1.500% | 4/1/36–5/1/36 | 280,390 | 281,332 | |
360,972 | ||||||
Nonconventional Mortgage-Backed Securities (0.8%) | ||||||
3,4 | Fannie Mae REMICS | 1.250% | 2/25/28 | 15,877 | 15,995 | |
3,4 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 18,342 | 18,527 | |
3,4 | Fannie Mae REMICS | 1.700% | 6/25/43 | 3,301 | 3,350 | |
3,4 | Fannie Mae REMICS | 2.000% | 5/25/39–6/25/44 | 10,473 | 10,752 | |
3,4 | Fannie Mae REMICS | 3.000% | 2/25/49–9/25/57 | 78,208 | 80,784 | |
3,4 | Fannie Mae REMICS | 3.500% | 4/25/31–6/25/59 | 205,908 | 219,903 | |
3,4 | Fannie Mae REMICS | 4.000% | 5/25/31–7/25/53 | 12,077 | 12,966 | |
3,4 | Freddie Mac REMICS | 1.500% | 10/15/42 | 8,850 | 8,898 | |
3,4 | Freddie Mac REMICS | 1.750% | 3/15/41 | 11,058 | 11,270 | |
3,4 | Freddie Mac REMICS | 2.000% | 7/15/31–9/15/31 | 24,356 | 24,899 | |
3,4 | Freddie Mac REMICS | 2.500% | 9/15/32 | 2,658 | 2,721 | |
3,4 | Freddie Mac REMICS | 3.000% | 12/15/39–5/15/46 | 31,274 | 32,649 | |
3,4 | Freddie Mac REMICS | 3.500% | 3/15/31 | 2,332 | 2,511 | |
3,4 | Freddie Mac REMICS | 4.000% | 12/15/30–4/15/31 | 47,687 | 51,548 | |
3 | Ginnie Mae REMICS | 1.700% | 10/20/45 | 5,275 | 5,323 | |
3 | Ginnie Mae REMICS | 1.800% | 5/20/41 | 4,535 | 4,548 | |
506,644 | ||||||
Total U.S. Government and Agency Obligations (Cost $6,827,024) | 6,599,383 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.1%) | ||||||
3,5 | Aaset 2019-1 Trust | 3.844% | 5/15/39 | 12,979 | 12,878 | |
3,5 | Affirm Asset Securitization Trust 2021-A | 0.880% | 8/15/25 | 6,845 | 6,850 | |
3,5,6 | ALM Ltd., 3M USD LIBOR + 1.120% | 1.331% | 4/15/36 | 26,855 | 26,822 | |
5 | American Tower Trust I | 3.070% | 3/15/23 | 32,900 | 33,315 | |
3,5 | Angel Oak Mortgage Trust 2019-5 | 2.593% | 10/25/49 | 7,974 | 8,068 | |
3,5 | Angel Oak Mortgage Trust 2019-6 | 2.620% | 11/25/59 | 19,711 | 20,039 |
1
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5 | Angel Oak Mortgage Trust I LLC 2019-2 | 3.628% | 3/25/49 | 3,904 | 3,998 | |
3,5 | Angel Oak Mortgage Trust LLC | 2.993% | 7/26/49 | 15,010 | 15,155 | |
§,3,5,6 | Apidos CLO XXXV, 3M USD LIBOR + 1.050% | 1.270% | 4/20/34 | 22,200 | 22,200 | |
3,5,6 | Atlas Senior Loan Fund X Ltd., 3M USD LIBOR + 1.090% | 1.331% | 1/15/31 | 7,273 | 7,261 | |
3,5,6 | Atlas Senior Loan Fund XI Ltd., 3M USD LIBOR + 1.100% | 1.315% | 7/26/31 | 10,000 | 9,982 | |
3,5,6 | Avery Point IV CLO Ltd., 3M USD LIBOR + 1.100% | 1.318% | 4/25/26 | 391 | 391 | |
5 | Bank of Montreal | 2.500% | 1/11/22 | 122,300 | 124,377 | |
3,5 | Canadian Pacer Auto Receiveable Trust A Series 2018 | 3.270% | 12/19/22 | 2,151 | 2,168 | |
3,5 | Castlelake Aircraft Securitization Trust 2019-1 | 3.967% | 4/15/39 | 23,804 | 23,756 | |
§,3,5,6 | Cent CLO 21 Ltd., 3M USD LIBOR + 0.970% | 1.135% | 7/27/30 | 10,000 | 10,000 | |
3,5,6 | Cent CLO, 3M USD LIBOR + 1.150% | 1.368% | 10/25/28 | 16,823 | 16,823 | |
3,5,6 | Cent CLO, 3M USD LIBOR + 1.200% | 1.347% | 4/20/34 | 27,105 | 27,001 | |
3,5 | CF Hippolyta LLC | 1.530% | 3/15/61 | 26,300 | 26,204 | |
3,5 | Chesapeake Funding II LLC | 3.390% | 1/15/31 | 15,575 | 15,882 | |
3,5 | Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 12,427 | 12,516 | |
3,5 | Cloud Pass-Through Trust 2019-1 | 3.554% | 12/5/22 | 8,330 | 8,415 | |
3,5 | COLT 2020-1 Mortgage Loan Trust | 2.488% | 2/25/50 | 11,605 | 11,713 | |
3 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 16,040 | 16,466 | |
3,5 | DB Master Finance LLC | 3.787% | 5/20/49 | 14,918 | 15,151 | |
3,5 | DB Master Finance LLC | 4.021% | 5/20/49 | 13,327 | 13,984 | |
3,5 | Deephaven Residential Mortgage Trust 2019-2 | 3.558% | 4/25/59 | 5,421 | 5,458 | |
5 | DNB Boligkreditt AS | 2.500% | 3/28/22 | 24,355 | 24,885 | |
3,5 | Enterprise Fleet Financing LLC | 3.100% | 10/20/23 | 3,225 | 3,255 | |
3,5 | Enterprise Fleet Financing LLC | 2.290% | 2/20/25 | 19,773 | 20,055 | |
3,5 | Enterprise Fleet Financing LLC Series 2018-1 | 2.870% | 10/20/23 | 562 | 563 | |
3,5 | Enterprise Fleet Financing LLC Series 2018-3 | 3.380% | 5/20/24 | 5,691 | 5,737 | |
3,5 | Enterprise Fleet Financing LLC Series 2019-1 | 2.980% | 10/20/24 | 10,768 | 10,909 | |
3,5 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 14,495 | 14,680 | |
3,4,6 | Fannie Mae Connecticut Avenue Securities, 1M USD LIBOR + 5.900% | 6.009% | 10/25/28 | 5,333 | 5,604 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates K1513 | 2.797% | 8/25/34 | 7,552 | 7,944 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates | 3.750% | 8/25/25 | 10,785 | 11,906 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates | 3.059% | 4/25/34 | 7,200 | 7,764 | |
3,5 | Hertz Fleet Lease Funding LP 2019-1 | 2.700% | 1/10/33 | 14,695 | 14,821 | |
3,5 | Horizon Aircraft Finance Ltd. | 3.721% | 7/15/39 | 10,339 | 10,328 | |
3,5 | Horizon Aircraft Finance Ltd. | 3.425% | 11/15/39 | 10,374 | 10,242 | |
3,5,6 | Life 2021-BMR Mortgage Trust, 1M USD LIBOR + 0.700% | 0.806% | 3/15/38 | 9,885 | 9,891 | |
3,5 | MACH 1 Cayman 2019-1 Ltd. | 3.474% | 10/15/39 | 10,920 | 10,987 | |
3,5,6 | Madison Park Funding Ltd., 3M USD LIBOR + 1.140% | 0.000% | 4/19/34 | 18,850 | 18,916 | |
3,5,6 | Madison Park Funding XIII Ltd., 3M USD LIBOR + 0.950% | 1.173% | 4/19/30 | 34,150 | 34,134 | |
3,5,6 | Madison Park Funding XXX Ltd., 3M USD LIBOR + 0.750% | 0.991% | 4/15/29 | 17,375 | 17,366 | |
3,5,6 | Magnetite VII Ltd., 3M USD LIBOR + 0.800% | 1.041% | 1/15/28 | 31,727 | 31,715 | |
3,5 | MAPS Ltd. | 4.458% | 3/15/44 | 5,742 | 5,814 | |
3,5,6 | Master Credit Card Trust II Series 2018-1A, 1M USD LIBOR + 0.490% | 0.601% | 7/21/24 | 36,965 | 37,037 | |
3,5 | Mercury Financial Credit Card Master Trust | 1.540% | 3/20/26 | 36,145 | 36,150 | |
3,5,6 | Milos CLO Ltd., 3M USD LIBOR + 1.070% | 1.294% | 10/20/30 | 33,000 | 33,041 | |
3,5 | MMAF Equipment Finance LLC 2019-B | 2.010% | 12/12/24 | 26,615 | 27,342 | |
5 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 75,600 | 76,672 | |
3,5 | OneMain Direct Auto Receivables Trust | 3.430% | 12/16/24 | 16,361 | 16,478 | |
3,5 | OneMain Financial Issuance Trust 2017-1 | 2.370% | 9/14/32 | 1,125 | 1,127 | |
3,5 | OneMain Financial Issuance Trust 2019-1 | 3.480% | 2/14/31 | 29,929 | 29,932 | |
3,5 | Santander Retail Auto Lease Trust 2019-B | 2.300% | 1/20/23 | 11,435 | 11,589 | |
3,4 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 42,605 | 46,105 |
2
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5 | Securitized Term Auto Receivables Trust 2018-2 | 3.325% | 8/25/22 | 5,150 | 5,180 | |
3,5 | SFAVE Commercial Mortgage Securities Trust 2015-5AVE | 4.144% | 1/5/43 | 22,000 | 20,682 | |
3,5 | SoFi Consumer Loan Program 2019-1 Trust | 3.240% | 2/25/28 | 1,948 | 1,954 | |
3,5 | SoFi Consumer Loan Program 2020-1 Trust | 2.020% | 1/25/29 | 9,233 | 9,307 | |
3,5,6 | Sound Point Clo XX Ltd., 3M USD LIBOR + 1.100% | 1.315% | 7/26/31 | 22,430 | 22,387 | |
3,5 | Springleaf Funding Trust 2015-B | 3.480% | 5/15/28 | 5,250 | 5,275 | |
3,5 | Start III Ltd. | 3.536% | 11/15/44 | 952 | 939 | |
3,5 | START Ireland | 4.089% | 3/15/44 | 11,981 | 11,970 | |
3,5,6 | Symphony CLO XIV Ltd., 3M USD LIBOR + 0.950% | 1.184% | 7/14/26 | 23,888 | 23,863 | |
5 | Toronto-Dominion Bank | 2.500% | 1/18/22 | 77,500 | 78,855 | |
3,5 | Towd Point Mortgage Trust 2016-3 | 2.250% | 4/25/56 | 544 | 547 | |
3 | Utility Debt Securitization Authority Series 2013T | 3.435% | 12/15/25 | 6,775 | 7,010 | |
3,5 | Vantage Data Centers LLC | 1.645% | 9/15/45 | 32,830 | 32,166 | |
3,5 | Vantage Data Centers LLC 2019-1A | 3.188% | 7/15/44 | 8,902 | 9,272 | |
3,5 | Verus Securitization Trust 2019-2 | 3.211% | 5/25/59 | 7,228 | 7,245 | |
3,5,6 | Voya CLO 2014-1 Ltd., 3M USD LIBOR + 0.990% | 1.213% | 4/18/31 | 16,596 | 16,596 | |
3,5 | Westlake Automobile Receivables Trust | 2.150% | 2/15/23 | 4,530 | 4,550 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,339,338) | 1,347,660 | |||||
Corporate Bonds (41.0%) | ||||||
Finance (16.3%) | ||||||
Banking (12.6%) | ||||||
American Express Credit Corp. | 2.700% | 3/3/22 | 83,055 | 84,730 | ||
5 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 23,805 | 22,332 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,600 | 29,906 | ||
Banco Santander SA | 3.848% | 4/12/23 | 17,000 | 18,051 | ||
Banco Santander SA | 1.849% | 3/25/26 | 66,600 | 66,284 | ||
Banco Santander SA | 2.749% | 12/3/30 | 16,800 | 15,965 | ||
Bank of America Corp. | 3.300% | 1/11/23 | 18,875 | 19,833 | ||
3 | Bank of America Corp. | 2.816% | 7/21/23 | 60,600 | 62,414 | |
Bank of America Corp. | 4.125% | 1/22/24 | 7,500 | 8,201 | ||
Bank of America Corp. | 4.000% | 1/22/25 | 26,225 | 28,714 | ||
3 | Bank of America Corp. | 3.559% | 4/23/27 | 54,370 | 58,990 | |
3 | Bank of America Corp. | 3.593% | 7/21/28 | 37,995 | 41,283 | |
3 | Bank of America Corp. | 3.419% | 12/20/28 | 48,603 | 52,070 | |
3 | Bank of America Corp. | 4.271% | 7/23/29 | 72,640 | 81,822 | |
3 | Bank of America Corp. | 3.974% | 2/7/30 | 69,430 | 76,601 | |
3 | Bank of America Corp. | 3.194% | 7/23/30 | 33,250 | 34,872 | |
3 | Bank of America Corp. | 2.496% | 2/13/31 | 99,085 | 97,842 | |
Bank of America Corp. | 6.110% | 1/29/37 | 30,000 | 39,295 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 8,770 | 11,900 | ||
Bank of America Corp. | 5.000% | 1/21/44 | 24,180 | 29,638 | ||
3 | Bank of America Corp. | 3.946% | 1/23/49 | 5,290 | 5,798 | |
3 | Bank of America Corp. | 4.330% | 3/15/50 | 59,475 | 68,592 | |
Bank of Montreal | 3.100% | 4/13/21 | 46,940 | 46,971 | ||
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 32,698 | 33,989 | ||
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 22,710 | 24,303 | ||
6 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 1.262% | 10/30/23 | 43,060 | 43,646 | |
7 | Bank of Nova Scotia | 0.000% | 4/5/21 | 50,000 | 39,786 | |
7 | Bank of Nova Scotia | 0.000% | 4/7/21 | 25,000 | 19,893 | |
7 | Bank of Nova Scotia | 0.000% | 4/8/21 | 25,000 | 19,893 | |
7 | Bank of Nova Scotia | 0.000% | 4/9/21 | 25,000 | 19,893 | |
7 | Bank of Nova Scotia | 0.000% | 4/15/21 | 25,000 | 19,892 | |
Bank of Nova Scotia | 2.800% | 7/21/21 | 58,100 | 58,519 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 60,225 | 63,569 | ||
Bank One Corp. | 7.750% | 7/15/25 | 25,000 | 31,436 | ||
3 | Barclays plc | 3.932% | 5/7/25 | 52,770 | 56,813 | |
Barclays plc | 2.667% | 3/10/32 | 52,470 | 50,912 | ||
6 | Barclays plc, 3M USD LIBOR + 1.380% | 1.574% | 5/16/24 | 36,710 | 37,217 | |
5 | BNP Paribas SA | 2.950% | 5/23/22 | 4,365 | 4,487 | |
BNP Paribas SA | 3.250% | 3/3/23 | 4,190 | 4,411 |
3
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | BNP Paribas SA | 3.800% | 1/10/24 | 56,070 | 60,353 | |
5 | BNP Paribas SA | 3.375% | 1/9/25 | 61,070 | 65,467 | |
3,5 | BNP Paribas SA | 2.819% | 11/19/25 | 44,480 | 46,781 | |
5 | BNP Paribas SA | 1.323% | 1/13/27 | 20,420 | 19,977 | |
5 | BNP Paribas SA | 3.500% | 11/16/27 | 74,220 | 80,198 | |
5 | BPCE SA | 5.700% | 10/22/23 | 10,670 | 11,878 | |
BPCE SA | 4.000% | 4/15/24 | 25,885 | 28,330 | ||
5 | BPCE SA | 5.150% | 7/21/24 | 37,185 | 41,468 | |
5 | BPCE SA | 3.500% | 10/23/27 | 64,900 | 70,027 | |
5 | BPCE SA | 2.700% | 10/1/29 | 48,550 | 49,342 | |
6 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 0.910% | 6/16/22 | 57,790 | 58,226 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 36,165 | 36,572 | ||
Capital One Financial Corp. | 3.750% | 4/24/24 | 60,945 | 65,782 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 9,055 | 9,646 | ||
Citigroup Inc. | 4.500% | 1/14/22 | 30,140 | 31,119 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 45,085 | 49,883 | ||
3 | Citigroup Inc. | 3.520% | 10/27/28 | 72,260 | 78,158 | |
Citigroup Inc. | 6.625% | 6/15/32 | 9,000 | 11,831 | ||
3 | Citigroup Inc. | 3.878% | 1/24/39 | 37,225 | 40,306 | |
Citigroup Inc. | 5.875% | 1/30/42 | 7,460 | 10,121 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 12,142 | 15,295 | ||
Comerica Bank | 2.500% | 7/23/24 | 26,085 | 27,543 | ||
5 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 79,335 | 76,987 | |
5 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 50,065 | 48,811 | |
5 | Credit Agricole SA | 3.750% | 4/24/23 | 31,690 | 33,660 | |
5 | Credit Agricole SA | 3.250% | 10/4/24 | 79,590 | 85,408 | |
Credit Suisse AG | 3.000% | 10/29/21 | 53,710 | 54,447 | ||
Credit Suisse AG | 3.625% | 9/9/24 | 3,955 | 4,277 | ||
5 | Credit Suisse Group AG | 3.574% | 1/9/23 | 40,835 | 41,748 | |
3,5 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,285 | 13,114 | |
3,5 | Credit Suisse Group AG | 2.593% | 9/11/25 | 33,940 | 35,174 | |
5 | Credit Suisse Group AG | 1.305% | 2/2/27 | 35,345 | 34,035 | |
3,5 | Credit Suisse Group AG | 3.869% | 1/12/29 | 11,050 | 11,854 | |
5,6 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 1.424% | 6/12/24 | 24,825 | 25,076 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 45,685 | 47,659 | ||
Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 57,400 | 61,728 | ||
5 | Danske Bank A/S | 2.000% | 9/8/21 | 41,970 | 42,269 | |
5 | Danske Bank A/S | 5.000% | 1/12/22 | 20,770 | 21,433 | |
5 | Danske Bank A/S | 3.875% | 9/12/23 | 45,515 | 48,733 | |
5 | Danske Bank A/S | 5.375% | 1/12/24 | 27,035 | 30,073 | |
5 | Danske Bank A/S | 1.621% | 9/11/26 | 30,135 | 29,818 | |
Deutsche Bank AG | 4.250% | 10/14/21 | 20,815 | 21,204 | ||
Fifth Third Bancorp | 2.550% | 5/5/27 | 9,850 | 10,217 | ||
Fifth Third Bank | 3.850% | 3/15/26 | 29,295 | 32,174 | ||
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 70,165 | 71,217 | ||
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 67,095 | 70,016 | ||
3 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 65,405 | 66,278 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 7,715 | 8,140 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 16,660 | 17,973 | ||
3 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 44,260 | 47,418 | |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 13,000 | 14,493 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 48,000 | 52,027 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 36,525 | 40,039 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 76,670 | 76,054 | ||
3 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 14,525 | 15,851 | |
3 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 72,755 | 79,502 | |
3 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 54,990 | 61,325 | |
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 19,710 | 21,723 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,700 | 29,361 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 19,895 | 24,379 | ||
3 | HSBC Holdings plc | 3.262% | 3/13/23 | 25,625 | 26,270 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 56,130 | 59,732 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 7,915 | 8,728 |
4
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
HSBC Holdings plc | 1.589% | 5/24/27 | 27,800 | 27,258 | ||
3 | HSBC Holdings plc | 4.041% | 3/13/28 | 27,520 | 30,076 | |
3 | HSBC Holdings plc | 4.583% | 6/19/29 | 40,190 | 45,082 | |
3 | HSBC Holdings plc | 2.357% | 8/18/31 | 62,305 | 59,620 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 15,800 | 21,838 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 22,000 | 28,846 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 43,680 | 59,855 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 5,795 | 7,065 | ||
6 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 1.189% | 5/18/24 | 26,495 | 26,776 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 18,355 | 19,843 | ||
ING Groep NV | 3.150% | 3/29/22 | 13,170 | 13,533 | ||
ING Groep NV | 3.950% | 3/29/27 | 33,605 | 37,379 | ||
ING Groep NV | 1.726% | 4/1/27 | 33,125 | 33,135 | ||
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 36,370 | 38,507 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 11,200 | 12,207 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 11,560 | 12,729 | ||
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 26,730 | 29,011 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 75,000 | 79,786 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 24,400 | 27,309 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 9,275 | 10,458 | ||
3 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 40,000 | 45,776 | |
3 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 18,940 | 20,592 | |
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 37,965 | 35,865 | ||
3 | JPMorgan Chase & Co. | 3.109% | 4/22/41 | 38,075 | 37,895 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 70,000 | 93,102 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 16,235 | 21,454 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 13,500 | 17,892 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 12,000 | 15,071 | ||
3 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 160,000 | 176,275 | |
3 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 38,610 | 37,812 | |
3,5 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 50,725 | 54,141 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 20,085 | 21,445 | ||
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 64,285 | 66,059 | ||
Morgan Stanley | 2.500% | 4/21/21 | 30,630 | 30,661 | ||
Morgan Stanley | 2.625% | 11/17/21 | 30,200 | 30,653 | ||
Morgan Stanley | 2.750% | 5/19/22 | 63,830 | 65,570 | ||
Morgan Stanley | 3.750% | 2/25/23 | 23,000 | 24,378 | ||
Morgan Stanley | 3.875% | 4/29/24 | 22,050 | 24,007 | ||
3 | Morgan Stanley | 2.720% | 7/22/25 | 51,520 | 54,234 | |
Morgan Stanley | 4.000% | 7/23/25 | 20,805 | 23,129 | ||
Morgan Stanley | 3.125% | 7/27/26 | 36,950 | 39,760 | ||
Morgan Stanley | 4.350% | 9/8/26 | 15,000 | 16,951 | ||
Morgan Stanley | 3.625% | 1/20/27 | 31,000 | 34,029 | ||
3 | Morgan Stanley | 3.772% | 1/24/29 | 56,830 | 61,956 | |
3 | Morgan Stanley | 2.699% | 1/22/31 | 72,345 | 73,694 | |
Morgan Stanley | 7.250% | 4/1/32 | 51,100 | 71,721 | ||
Morgan Stanley | 4.300% | 1/27/45 | 24,705 | 29,043 | ||
5 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 83,980 | 79,587 | |
3,5 | Nationwide Building Society | 3.622% | 4/26/23 | 22,755 | 23,436 | |
5 | NBK SPC Ltd. | 2.750% | 5/30/22 | 56,875 | 58,081 | |
Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 45,300 | 45,185 | ||
PNC Bank NA | 3.300% | 10/30/24 | 14,645 | 15,932 | ||
PNC Bank NA | 2.950% | 2/23/25 | 34,775 | 37,096 | ||
PNC Bank NA | 3.100% | 10/25/27 | 42,485 | 45,857 | ||
PNC Bank NA | 3.250% | 1/22/28 | 60,960 | 65,783 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 40,150 | 43,705 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 52,980 | 53,686 | ||
7 | Royal Bank of Canada | 0.000% | 4/16/21 | 48,000 | 38,193 | |
7 | Royal Bank of Canada | 0.000% | 4/19/21 | 50,000 | 39,784 | |
Royal Bank of Canada | 2.750% | 2/1/22 | 44,630 | 45,523 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 28,405 | 29,160 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 26,105 | 27,223 | ||
5 | Societe Generale SA | 3.250% | 1/12/22 | 38,965 | 39,829 | |
3,5 | Standard Chartered plc | 2.744% | 9/10/22 | 42,655 | 43,035 |
5
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Standard Chartered plc | 1.214% | 3/23/25 | 12,545 | 12,553 | |
3 | State Street Corp. | 2.653% | 5/15/23 | 31,280 | 32,066 | |
5 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 100,340 | 100,251 | |
Svenska Handelsbanken AB | 1.875% | 9/7/21 | 37,750 | 37,983 | ||
Synchrony Bank | 3.650% | 5/24/21 | 46,290 | 46,383 | ||
7 | Toronto-Dominion Bank | 0.000% | 4/20/21 | 16,298 | 12,968 | |
Truist Bank | 2.625% | 1/15/22 | 22,740 | 23,130 | ||
Truist Bank | 3.300% | 5/15/26 | 11,955 | 12,938 | ||
Truist Financial Corp. | 3.200% | 9/3/21 | 25,210 | 25,462 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 60,000 | 61,996 | ||
Truist Financial Corp. | 3.700% | 6/5/25 | 48,000 | 52,513 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 33,005 | 31,913 | ||
3,5 | UBS Group AG | 3.126% | 8/13/30 | 18,240 | 19,075 | |
5 | UBS Group AG | 2.095% | 2/11/32 | 25,345 | 24,037 | |
5 | UBS Group Funding Jersey Ltd. | 3.000% | 4/15/21 | 58,970 | 59,014 | |
5 | UBS Group Funding Jersey Ltd. | 2.650% | 2/1/22 | 46,000 | 46,880 | |
US Bancorp | 2.625% | 1/24/22 | 47,510 | 48,340 | ||
US Bancorp | 3.700% | 1/30/24 | 39,005 | 42,251 | ||
US Bancorp | 2.375% | 7/22/26 | 45,000 | 46,878 | ||
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 18,030 | ||
Wells Fargo & Co. | 3.500% | 3/8/22 | 9,151 | 9,426 | ||
Wells Fargo & Co. | 3.450% | 2/13/23 | 39,400 | 41,511 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 34,444 | 37,928 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 30,455 | 32,939 | ||
Wells Fargo & Co. | 3.000% | 2/19/25 | 28,660 | 30,432 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 27,170 | 29,562 | ||
Wells Fargo & Co. | 3.000% | 4/22/26 | 36,830 | 39,281 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 45,700 | 50,694 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 6,435 | 6,862 | ||
3 | Wells Fargo & Co. | 3.196% | 6/17/27 | 57,145 | 61,086 | |
3 | Wells Fargo & Co. | 2.879% | 10/30/30 | 28,045 | 28,898 | |
3 | Wells Fargo & Co. | 2.572% | 2/11/31 | 98,745 | 99,652 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 28,551 | 36,177 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 20,735 | 23,880 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 16,060 | 19,202 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 36,200 | 40,266 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 38,790 | 45,828 | ||
Brokerage (0.6%) | ||||||
Charles Schwab Corp. | 0.750% | 3/18/24 | 58,465 | 58,755 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,790 | 21,478 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 45,325 | 45,542 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 6,100 | 5,639 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 19,095 | 17,794 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 27,695 | 24,555 | ||
5 | LSEGA Financing plc | 1.375% | 4/6/26 | 77,795 | 76,993 | |
5 | LSEGA Financing plc | 2.000% | 4/6/28 | 63,125 | 62,166 | |
5 | LSEGA Financing plc | 2.500% | 4/6/31 | 38,890 | 38,442 | |
Finance Companies (0.1%) | ||||||
5 | GA Global Funding Trust | 1.000% | 4/8/24 | 36,170 | 36,129 | |
5 | USAA Capital Corp. | 2.125% | 5/1/30 | 3,735 | 3,660 | |
Insurance (2.7%) | ||||||
Aetna Inc. | 2.800% | 6/15/23 | 32,080 | 33,461 | ||
5 | AIA Group Ltd. | 3.600% | 4/9/29 | 49,000 | 52,728 | |
5 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,795 | 13,624 | |
5 | AIG Global Funding | 2.700% | 12/15/21 | 41,815 | 42,441 | |
American International Group Inc. | 4.250% | 3/15/29 | 33,365 | 37,434 | ||
American International Group Inc. | 4.500% | 7/16/44 | 6,714 | 7,640 | ||
American International Group Inc. | 4.750% | 4/1/48 | 4,455 | 5,329 | ||
Anthem Inc. | 3.700% | 8/15/21 | 25,635 | 25,735 | ||
Anthem Inc. | 3.300% | 1/15/23 | 20,000 | 20,988 | ||
Anthem Inc. | 3.650% | 12/1/27 | 13,150 | 14,476 | ||
Anthem Inc. | 4.101% | 3/1/28 | 42,145 | 46,933 | ||
Anthem Inc. | 2.550% | 3/15/31 | 38,225 | 38,082 |
6
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Anthem Inc. | 4.650% | 8/15/44 | 3,181 | 3,693 | ||
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 23,645 | 25,683 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 20,340 | 21,884 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 12,280 | 13,362 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 24,795 | 29,230 | ||
5 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 15,285 | 15,273 | |
5 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 18,950 | 18,291 | |
5 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 30,265 | 29,594 | |
5 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,320 | 5,832 | |
5 | Guardian Life Global Funding | 2.000% | 4/26/21 | 12,825 | 12,838 | |
5 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 48,955 | 52,231 | |
5 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 2,608 | 2,814 | |
5 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 9,217 | 10,628 | |
5 | Liberty Mutual Insurance Co. | 8.500% | 5/15/25 | 21,665 | 26,269 | |
Loews Corp. | 2.625% | 5/15/23 | 14,100 | 14,656 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 22,125 | 25,329 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,400 | 13,208 | ||
5 | MassMutual Global Funding II | 2.000% | 4/15/21 | 42,188 | 42,209 | |
MetLife Inc. | 3.600% | 4/10/24 | 28,000 | 30,402 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5,300 | 5,964 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,500 | 22,009 | ||
5 | Metropolitan Life Global Funding I | 3.450% | 10/9/21 | 28,465 | 28,931 | |
5 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 14,005 | 14,333 | |
5 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 29,970 | 32,909 | |
5 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 43,250 | 46,407 | |
5 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 25,000 | 31,294 | |
5 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 47,630 | 48,253 | |
5 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 56,290 | 59,225 | |
5 | New York Life Global Funding | 2.900% | 1/17/24 | 58,670 | 62,410 | |
5 | New York Life Insurance Co. | 5.875% | 5/15/33 | 44,785 | 57,081 | |
5 | New York Life Insurance Co. | 3.750% | 5/15/50 | 17,810 | 18,780 | |
5 | New York Life Insurance Co. | 4.450% | 5/15/69 | 14,535 | 16,844 | |
5 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,098 | 25,653 | |
5 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,060 | 9,141 | |
5 | Principal Financial Global Funding LLC | 2.500% | 9/16/29 | 45,000 | 45,441 | |
Prudential Financial Inc. | 3.000% | 3/10/40 | 8,200 | 8,006 | ||
Prudential plc | 3.125% | 4/14/30 | 21,325 | 22,475 | ||
5 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 21,990 | 26,927 | |
5 | Teachers Insurance & Annuity Assn. of America | 4.270% | 5/15/47 | 42,865 | 47,780 | |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,346 | 2,389 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 12,000 | 12,563 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 14,220 | 15,395 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,260 | 38,390 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 11,275 | 11,046 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,285 | 11,210 | ||
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 20,000 | 29,392 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 12,760 | 12,515 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 36,010 | 43,494 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 31,000 | 36,414 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 12,296 | 15,426 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,345 | 9,710 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 12,545 | 14,552 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,890 | 5,889 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 40,900 | 43,372 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 36,364 | 35,175 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 4,060 | 4,469 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 12,840 | 12,439 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 6,870 | 7,094 | ||
Real Estate Investment Trusts (0.3%) | ||||||
Boston Properties LP | 3.125% | 9/1/23 | 13,520 | 14,224 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,780 | 1,916 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 30,600 | 31,439 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 19,405 | 20,419 |
7
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Scentre Management Ltd / RE1 Ltd | 4.375% | 5/28/30 | 28,670 | 31,645 | |
Simon Property Group LP | 3.750% | 2/1/24 | 6,645 | 7,151 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 20,470 | 21,983 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 38,350 | 37,974 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 8,845 | 9,344 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 25,855 | 25,367 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 19,565 | 18,940 | ||
10,336,998 | ||||||
Industrial (19.7%) | ||||||
Basic Industry (0.1%) | ||||||
5 | Air Liquide Finance SA | 2.250% | 9/27/23 | 21,000 | 21,761 | |
5 | Air Liquide Finance SA | 2.500% | 9/27/26 | 16,815 | 17,575 | |
International Paper Co. | 4.350% | 8/15/48 | 43,570 | 50,326 | ||
Capital Goods (1.6%) | ||||||
5 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 26,068 | 28,576 | |
5 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 29,838 | 32,748 | |
5 | BAE Systems plc | 3.400% | 4/15/30 | 9,390 | 9,971 | |
Boeing Co. | 1.433% | 2/4/24 | 57,715 | 57,762 | ||
Boeing Co. | 2.700% | 2/1/27 | 16,380 | 16,604 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,103 | 15,226 | ||
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 39,500 | 41,161 | ||
Caterpillar Inc. | 3.900% | 5/27/21 | 16,635 | 16,723 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 19,475 | 21,012 | ||
Caterpillar Inc. | 5.200% | 5/27/41 | 19,770 | 25,573 | ||
Eaton Corp. | 6.500% | 6/1/25 | 10,000 | 11,808 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 42,775 | 46,111 | ||
John Deere Capital Corp. | 2.800% | 1/27/23 | 8,000 | 8,346 | ||
John Deere Capital Corp. | 3.350% | 6/12/24 | 9,000 | 9,748 | ||
John Deere Capital Corp. | 3.450% | 3/13/25 | 43,560 | 47,623 | ||
Johnson Controls International plc | 3.750% | 12/1/21 | 596 | 606 | ||
Lockheed Martin Corp. | 2.900% | 3/1/25 | 26,840 | 28,587 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 2,545 | 2,472 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 6,715 | 8,086 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 7,501 | 8,247 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 12,041 | 15,082 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 10,925 | 10,311 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 4,609 | 5,342 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,155 | 8,209 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 16,205 | 15,986 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 29,445 | 28,814 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,065 | 9,670 | ||
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 14,290 | 16,597 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 32,800 | 36,918 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,050 | 10,489 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 34,249 | 40,014 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,891 | 6,206 | ||
5 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 60,840 | 62,584 | |
5 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 62,200 | 66,478 | |
5 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 21,840 | 21,397 | |
5 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 38,245 | 37,255 | |
5 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 40,495 | 48,130 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,040 | 29,975 | ||
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 40,240 | 40,057 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 44,340 | 44,036 | ||
Communication (3.4%) | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 66,820 | 68,821 | ||
America Movil SAB de CV | 3.625% | 4/22/29 | 25,600 | 27,445 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 10,010 | 13,572 | ||
American Tower Corp. | 4.700% | 3/15/22 | 2,905 | 3,021 | ||
American Tower Corp. | 5.000% | 2/15/24 | 8,641 | 9,617 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,300 | 8,206 | ||
American Tower Corp. | 3.800% | 8/15/29 | 32,261 | 34,840 | ||
AT&T Inc. | 2.750% | 6/1/31 | 61,900 | 61,491 |
8
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
AT&T Inc. | 3.650% | 6/1/51 | 3,619 | 3,493 | ||
5 | AT&T Inc. | 3.500% | 9/15/53 | 33,465 | 30,810 | |
AT&T Inc. | 3.850% | 6/1/60 | 13,336 | 12,751 | ||
5 | British Telecommunications plc | 3.250% | 11/8/29 | 31,785 | 33,248 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.375% | 5/1/47 | 3,820 | 4,435 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.125% | 7/1/49 | 3,208 | 3,574 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.800% | 3/1/50 | 4,171 | 4,421 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.700% | 4/1/51 | 18,670 | 17,486 | ||
Comcast Corp. | 3.000% | 2/1/24 | 37,150 | 39,638 | ||
Comcast Corp. | 3.600% | 3/1/24 | 60,515 | 65,785 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,565 | 2,779 | ||
Comcast Corp. | 3.150% | 3/1/26 | 15,280 | 16,517 | ||
Comcast Corp. | 4.250% | 1/15/33 | 15,060 | 17,478 | ||
Comcast Corp. | 4.200% | 8/15/34 | 25,155 | 28,628 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,657 | 37,839 | ||
Comcast Corp. | 4.600% | 10/15/38 | 46,815 | 56,330 | ||
Comcast Corp. | 4.650% | 7/15/42 | 7,260 | 8,761 | ||
Comcast Corp. | 4.500% | 1/15/43 | 20,000 | 23,475 | ||
Comcast Corp. | 4.750% | 3/1/44 | 28,710 | 35,314 | ||
Comcast Corp. | 4.600% | 8/15/45 | 46,358 | 56,184 | ||
Comcast Corp. | 3.969% | 11/1/47 | 40,576 | 45,239 | ||
Comcast Corp. | 4.000% | 3/1/48 | 17,415 | 19,126 | ||
Comcast Corp. | 4.700% | 10/15/48 | 48,140 | 59,554 | ||
Comcast Corp. | 3.999% | 11/1/49 | 26,848 | 29,588 | ||
Comcast Corp. | 2.450% | 8/15/52 | 47,300 | 39,743 | ||
Comcast Corp. | 4.049% | 11/1/52 | 38,322 | 43,362 | ||
Comcast Corp. | 4.950% | 10/15/58 | 17,365 | 22,681 | ||
5 | Cox Communications Inc. | 3.250% | 12/15/22 | 26,585 | 27,805 | |
5 | Cox Communications Inc. | 4.800% | 2/1/35 | 58,525 | 68,395 | |
5 | Cox Communications Inc. | 6.450% | 12/1/36 | 1,575 | 2,048 | |
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,385 | 11,309 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,575 | 9,337 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 76,475 | 71,995 | ||
5 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,674 | 11,718 | |
5 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,168 | 24,169 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 10,639 | 12,580 | ||
5 | NTT Finance Corp. | 1.162% | 4/3/26 | 36,700 | 36,064 | |
5 | NTT Finance Corp. | 2.065% | 4/3/31 | 10,125 | 9,966 | |
Orange SA | 9.000% | 3/1/31 | 54,566 | 84,113 | ||
5 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 12,220 | 12,969 | |
5 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 47,141 | |
3,5 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | 4.738% | 3/20/25 | 46,800 | 50,559 | |
5 | T-Mobile USA Inc. | 2.050% | 2/15/28 | 37,480 | 36,753 | |
5 | T-Mobile USA Inc. | 3.875% | 4/15/30 | 25,125 | 27,256 | |
5 | T-Mobile USA Inc. | 2.550% | 2/15/31 | 5,105 | 4,987 | |
5 | T-Mobile USA Inc. | 2.250% | 11/15/31 | 5,105 | 4,828 | |
5 | T-Mobile USA Inc. | 4.500% | 4/15/50 | 23,440 | 26,287 | |
5 | T-Mobile USA Inc. | 3.300% | 2/15/51 | 20,490 | 19,068 | |
5 | T-Mobile USA Inc. | 3.600% | 11/15/60 | 9,670 | 9,304 | |
Telefonica Emisiones SAU | 5.213% | 3/8/47 | 34,575 | 40,366 | ||
Telefonica Emisiones SAU | 5.520% | 3/1/49 | 28,174 | 34,384 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,215 | 3,688 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 22,990 | 26,276 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 67,074 | 80,143 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 28,730 | 34,223 | ||
Verizon Communications Inc. | 4.000% | 3/22/50 | 9,540 | 10,232 | ||
Verizon Communications Inc. | 4.672% | 3/15/55 | 6,414 | 7,648 | ||
5 | Verizon Communications Inc. | 2.987% | 10/30/56 | 39,918 | 34,921 | |
ViacomCBS Inc. | 3.700% | 6/1/28 | 14,790 | 15,968 |
9
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Vodafone Group plc | 5.000% | 5/30/38 | 1,890 | 2,270 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 47,080 | 58,849 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 84,065 | 82,304 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 5,980 | 6,070 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 11,000 | 15,034 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 52,100 | 55,000 | ||
Walt Disney Co. | 4.125% | 6/1/44 | 3,720 | 4,168 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 14,600 | 13,203 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 28,240 | 30,054 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 16,160 | 17,434 | ||
Consumer Cyclical (2.0%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 13,800 | 14,769 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 55,880 | 70,221 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 17,920 | 23,132 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 32,790 | 39,229 | ||
American Honda Finance Corp. | 2.300% | 9/9/26 | 17,135 | 17,736 | ||
American Honda Finance Corp. | 2.000% | 3/24/28 | 34,925 | 34,905 | ||
AutoZone Inc. | 3.700% | 4/15/22 | 12,752 | 13,074 | ||
5 | BMW US Capital LLC | 2.000% | 4/11/21 | 19,815 | 19,821 | |
5 | BMW US Capital LLC | 2.250% | 9/15/23 | 93,000 | 96,367 | |
5 | BMW US Capital LLC | 0.800% | 4/1/24 | 25,960 | 25,929 | |
3,5 | CVS Pass-Through Trust | 5.926% | 1/10/34 | 12,054 | 13,795 | |
5 | Daimler Finance North America LLC | 2.000% | 7/6/21 | 60,000 | 60,224 | |
5 | Daimler Finance North America LLC | 3.875% | 9/15/21 | 3,270 | 3,319 | |
5 | Daimler Finance North America LLC | 3.250% | 8/1/24 | 3,970 | 4,247 | |
General Motors Financial Co. Inc. | 3.550% | 4/9/21 | 16,525 | 16,530 | ||
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 58,730 | 63,102 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 10,040 | 11,490 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 32,073 | 33,700 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 22,390 | 26,857 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,020 | 14,622 | ||
5 | Hyundai Capital America | 0.800% | 4/3/23 | 118,000 | 117,756 | |
5,6 | Hyundai Capital America, 3M USD LIBOR + 0.940% | 1.174% | 7/8/21 | 50,500 | 50,536 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 115,000 | 123,477 | ||
Marriott International Inc. | 2.300% | 1/15/22 | 44,000 | 44,400 | ||
McDonald's Corp. | 2.625% | 1/15/22 | 10,175 | 10,358 | ||
McDonald's Corp. | 3.250% | 6/10/24 | 4,400 | 4,731 | ||
McDonald's Corp. | 4.875% | 12/9/45 | 22,775 | 27,641 | ||
McDonald's Corp. | 3.625% | 9/1/49 | 28,770 | 29,997 | ||
Starbucks Corp. | 4.500% | 11/15/48 | 49,962 | 58,435 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 7,185 | 7,026 | ||
VF Corp. | 2.800% | 4/23/27 | 23,720 | 25,033 | ||
VF Corp. | 2.950% | 4/23/30 | 54,225 | 56,084 | ||
Walmart Inc. | 3.550% | 6/26/25 | 56,485 | 62,251 | ||
Walmart Inc. | 3.625% | 12/15/47 | 14,950 | 16,165 | ||
Consumer Noncyclical (5.7%) | ||||||
AbbVie Inc. | 5.000% | 12/15/21 | 23,725 | 24,280 | ||
AbbVie Inc. | 3.450% | 3/15/22 | 23,785 | 24,330 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 12,825 | 13,977 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 19,895 | 21,705 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 14,075 | 16,616 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 35,585 | 41,163 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 22,440 | 25,392 | ||
Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 17,670 | 17,430 | ||
Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 19,220 | 18,564 | ||
5 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,645 | 5,954 | |
5 | Alcon Finance Corp. | 2.600% | 5/27/30 | 7,035 | 7,022 | |
5 | Alcon Finance Corp. | 3.800% | 9/23/49 | 32,825 | 34,285 | |
Altria Group Inc. | 5.800% | 2/14/39 | 25,475 | 31,063 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 10,105 | 10,584 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 22,625 | 21,967 | ||
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 27,355 | 27,398 | ||
Amgen Inc. | 3.625% | 5/22/24 | 38,185 | 41,167 |
10
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Amgen Inc. | 2.300% | 2/25/31 | 67,075 | 65,915 | ||
Amgen Inc. | 3.150% | 2/21/40 | 44,355 | 44,011 | ||
Amgen Inc. | 5.150% | 11/15/41 | 6,373 | 7,984 | ||
5 | Amgen Inc. | 2.770% | 9/1/53 | 8,878 | 7,946 | |
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 94,525 | 112,338 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 15,460 | 18,095 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 5,700 | 6,850 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,080 | 19,670 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 14,500 | 16,595 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 34,425 | 43,666 | ||
Ascension Health | 2.532% | 11/15/29 | 48,025 | 49,259 | ||
3 | Ascension Health | 4.847% | 11/15/53 | 1,950 | 2,583 | |
AstraZeneca plc | 3.375% | 11/16/25 | 27,755 | 30,222 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 33,295 | 37,290 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 60,340 | 64,223 | ||
5 | BAT International Finance plc | 3.950% | 6/15/25 | 15,000 | 16,373 | |
5 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 23,781 | 26,410 | |
5 | Bayer US Finance II LLC | 5.500% | 7/30/35 | 15,000 | 17,833 | |
5 | Bayer US Finance LLC | 3.000% | 10/8/21 | 38,730 | 39,242 | |
5 | Bayer US Finance LLC | 3.375% | 10/8/24 | 26,960 | 28,945 | |
3 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,675 | 19,059 | |
Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,525 | 11,097 | ||
Boston Scientific Corp. | 4.000% | 3/1/29 | 6,515 | 7,217 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,416 | 4,599 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 7,303 | 7,668 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 29,395 | 31,998 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 16,775 | 19,496 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 7,153 | 8,761 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 48,907 | 57,606 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 17,765 | 15,390 | ||
5 | Cargill Inc. | 2.125% | 4/23/30 | 10,230 | 10,044 | |
5 | Cargill Inc. | 4.760% | 11/23/45 | 57,879 | 69,717 | |
Children's Hospital Corp. | 2.585% | 2/1/50 | 5,670 | 5,121 | ||
Cigna Corp. | 3.250% | 4/15/25 | 30,765 | 32,924 | ||
Cigna Corp. | 4.375% | 10/15/28 | 18,115 | 20,676 | ||
Coca-Cola Co. | 4.500% | 9/1/21 | 14,785 | 14,868 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 33,780 | 35,033 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 11,695 | 12,603 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 28,080 | 29,739 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 40,950 | 43,428 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 16,260 | 16,360 | ||
3 | CommonSpirit Health | 4.350% | 11/1/42 | 22,185 | 24,536 | |
CommonSpirit Health | 4.187% | 10/1/49 | 35,180 | 37,956 | ||
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,685 | 8,692 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 12,255 | 11,833 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 10,375 | 12,810 | ||
Constellation Brands Inc. | 2.700% | 5/9/22 | 2,400 | 2,453 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 4,690 | 4,858 | ||
Cottage Health Obligated Group | 3.304% | 11/1/49 | 10,000 | 10,204 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 20,000 | 20,634 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 4,906 | 5,553 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 18,205 | 21,410 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 18,000 | 19,774 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 25,595 | 31,335 | ||
5 | Danone SA | 2.589% | 11/2/23 | 10,000 | 10,436 | |
5 | Danone SA | 2.947% | 11/2/26 | 68,785 | 73,283 | |
Diageo Capital plc | 2.625% | 4/29/23 | 42,580 | 44,333 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,420 | 19,538 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,315 | 11,016 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 3,585 | 3,453 | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 17,245 | 17,741 | ||
Dignity Health | 3.812% | 11/1/24 | 18,560 | 20,048 |
11
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | EMD Finance LLC | 2.950% | 3/19/22 | 19,640 | 20,037 | |
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,280 | 12,419 | ||
Estee Lauder Cos. Inc. | 2.600% | 4/15/30 | 9,875 | 10,133 | ||
Gilead Sciences Inc. | 2.500% | 9/1/23 | 26,390 | 27,517 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 21,420 | 23,069 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 28,575 | 30,924 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 26,007 | 30,387 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 20,185 | 18,041 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 25,750 | 26,924 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 16,055 | 21,085 | ||
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 51,595 | 53,036 | ||
5 | Imperial Tobacco Finance plc | 3.750% | 7/21/22 | 58,995 | 60,978 | |
5 | JAB Holdings BV | 2.200% | 11/23/30 | 10,375 | 9,745 | |
Johnson & Johnson | 6.730% | 11/15/23 | 15,000 | 17,372 | ||
Johnson & Johnson | 2.450% | 3/1/26 | 78,000 | 82,658 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 15,190 | 16,615 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 12,710 | 16,158 | ||
Kroger Co. | 3.850% | 8/1/23 | 5,055 | 5,404 | ||
3 | Mayo Clinic | 4.128% | 11/15/52 | 11,465 | 13,743 | |
McCormick & Co. Inc. | 2.500% | 4/15/30 | 6,060 | 6,063 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 9,849 | 10,790 | ||
Memorial Sloan-Kettering Cancer Center | 5.000% | 7/1/42 | 11,505 | 14,784 | ||
Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 20,260 | 19,316 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 7,820 | 9,158 | ||
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 5,940 | 7,129 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 38,000 | 40,469 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 58,390 | 64,347 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 28,405 | 33,389 | ||
Mercy Health | 4.302% | 7/1/28 | 19,830 | 22,786 | ||
Molson Coors Beverage Co. | 3.500% | 5/1/22 | 14,905 | 15,371 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 57,600 | 61,333 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 13,425 | 14,543 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,485 | 26,105 | ||
Partners Healthcare System Inc. | 3.192% | 7/1/49 | 32,645 | 32,601 | ||
Partners Healthcare System Inc. | 3.342% | 7/1/60 | 31,285 | 31,815 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 72,545 | 76,753 | ||
PepsiCo Inc. | 4.000% | 3/5/42 | 15,755 | 17,820 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 45,740 | 48,400 | ||
PepsiCo Inc. | 3.875% | 3/19/60 | 17,565 | 19,733 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 28,400 | 30,881 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 52,500 | 57,598 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 9,100 | 8,691 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 52,715 | 60,400 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 11,300 | 10,724 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 12,495 | 11,652 | ||
Philip Morris International Inc. | 2.500% | 8/22/22 | 13,250 | 13,648 | ||
Philip Morris International Inc. | 2.625% | 3/6/23 | 23,000 | 23,972 | ||
Philip Morris International Inc. | 3.600% | 11/15/23 | 7,000 | 7,551 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 11,665 | 13,296 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 22,785 | 23,934 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 5,835 | 6,978 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 15,000 | 16,673 | ||
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 14,735 | 15,654 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 25,655 | 26,120 | ||
3 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 12,030 | 13,244 | |
5 | Roche Holdings Inc. | 2.375% | 1/28/27 | 61,570 | 64,636 | |
5 | Royalty Pharma plc | 3.300% | 9/2/40 | 15,135 | 14,628 | |
5 | Royalty Pharma plc | 3.550% | 9/2/50 | 48,265 | 46,390 | |
RUSH Obligated Group | 3.922% | 11/15/29 | 12,000 | 13,398 | ||
5 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 21,075 | 22,786 | |
SSM Health Care Corp. | 3.823% | 6/1/27 | 41,615 | 46,821 | ||
Sutter Health | 2.294% | 8/15/30 | 19,905 | 19,533 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,825 | 29,636 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,290 | 17,652 |
12
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Toledo Hospital | 5.750% | 11/15/38 | 18,425 | 21,492 | ||
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 20,878 | ||
Energy (1.9%) | ||||||
5 | BG Energy Capital plc | 4.000% | 10/15/21 | 17,070 | 17,390 | |
BP Capital Markets America Inc. | 3.245% | 5/6/22 | 10,000 | 10,318 | ||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 16,205 | 15,283 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 17,760 | 15,497 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 32,550 | 28,874 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 8,000 | 8,267 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 13,130 | 14,265 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 38,000 | 41,317 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 41,710 | 45,515 | ||
Chevron Corp. | 2.355% | 12/5/22 | 6,000 | 6,173 | ||
Chevron Corp. | 3.191% | 6/24/23 | 44,600 | 47,042 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 30,289 | 32,939 | ||
ConocoPhillips | 7.000% | 3/30/29 | 11,500 | 14,965 | ||
ConocoPhillips | 4.950% | 3/15/26 | 12,710 | 14,703 | ||
Dominion Energy Gas Holdings LLC | 3.550% | 11/1/23 | 14,085 | 15,000 | ||
Dominion Energy Gas Holdings LLC | 3.000% | 11/15/29 | 19,580 | 20,304 | ||
Dominion Energy Gas Holdings LLC | 4.800% | 11/1/43 | 14,190 | 16,222 | ||
Dominion Energy Gas Holdings LLC | 4.600% | 12/15/44 | 7,003 | 7,831 | ||
Energy Transfer Partners LP | 5.300% | 4/15/47 | 5,600 | 5,824 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 5,000 | 5,782 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 23,475 | 24,895 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,445 | 5,334 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 10,710 | 11,147 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 7,330 | 7,898 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 35,095 | 36,459 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 24,070 | 24,432 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 36,910 | 37,519 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 10,845 | 11,908 | ||
3,5 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 50,945 | 49,305 | |
3,5 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 25,475 | 24,498 | |
Phillips 66 | 4.300% | 4/1/22 | 30,000 | 31,117 | ||
5 | Schlumberger Holdings Corp. | 4.000% | 12/21/25 | 21,010 | 23,241 | |
5 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 25,724 | 27,885 | |
5 | Schlumberger Investment SA | 2.400% | 8/1/22 | 20,765 | 21,181 | |
Shell International Finance BV | 3.250% | 5/11/25 | 28,680 | 31,035 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 40,575 | 45,956 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 10,795 | 14,496 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 95,725 | 111,910 | ||
Suncor Energy Inc. | 3.600% | 12/1/24 | 19,505 | 21,201 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 13,000 | 16,206 | ||
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 3,410 | 3,593 | ||
Sunoco Logistics Partners Operations LP | 5.400% | 10/1/47 | 20,601 | 22,069 | ||
Texaco Capital Inc. | 8.625% | 4/1/32 | 25,000 | 38,000 | ||
Total Capital International SA | 2.700% | 1/25/23 | 32,714 | 34,103 | ||
Total Capital International SA | 3.750% | 4/10/24 | 50,000 | 54,618 | ||
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 21,165 | 21,768 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 58,060 | 66,408 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 14,595 | 16,253 | ||
Other Industrial (0.4%) | ||||||
5 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,780 | 23,076 | |
3 | Duke University | 2.832% | 10/1/55 | 9,635 | 9,467 | |
Emory University | 2.143% | 9/1/30 | 39,256 | 39,083 | ||
George Washington University | 3.545% | 9/15/46 | 10,000 | 10,428 | ||
Georgetown University | 4.315% | 4/1/49 | 5,155 | 6,101 | ||
Georgetown University | 2.943% | 4/1/50 | 9,795 | 9,102 | ||
3 | Johns Hopkins University | 4.083% | 7/1/53 | 7,145 | 8,539 | |
3 | Johns Hopkins University | 2.813% | 1/1/60 | 12,420 | 11,671 | |
3 | Northeastern University | 2.894% | 10/1/50 | 8,570 | 7,940 | |
5 | SBA Tower Trust | 3.168% | 4/11/22 | 49,780 | 49,869 | |
5 | SBA Tower Trust | 3.448% | 3/15/23 | 28,730 | 30,296 |
13
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | SBA Tower Trust | 2.836% | 1/15/25 | 24,160 | 25,352 | |
5 | SBA Tower Trust | 1.884% | 1/15/26 | 9,320 | 9,372 | |
3 | University of Chicago | 2.761% | 4/1/45 | 9,540 | 9,230 | |
Technology (3.9%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,750 | 24,276 | ||
Apple Inc. | 3.450% | 5/6/24 | 31,140 | 33,810 | ||
Apple Inc. | 2.850% | 5/11/24 | 45,635 | 48,605 | ||
Apple Inc. | 2.750% | 1/13/25 | 21,615 | 23,036 | ||
Apple Inc. | 3.250% | 2/23/26 | 38,220 | 41,692 | ||
Apple Inc. | 2.450% | 8/4/26 | 55,182 | 58,119 | ||
Apple Inc. | 3.350% | 2/9/27 | 56,435 | 62,003 | ||
Apple Inc. | 3.200% | 5/11/27 | 39,750 | 43,321 | ||
Apple Inc. | 2.900% | 9/12/27 | 83,420 | 89,596 | ||
Apple Inc. | 3.850% | 5/4/43 | 15,275 | 17,324 | ||
Apple Inc. | 4.450% | 5/6/44 | 4,035 | 4,906 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,510 | 40,559 | ||
Apple Inc. | 2.650% | 5/11/50 | 26,520 | 24,079 | ||
Apple Inc. | 2.550% | 8/20/60 | 50,285 | 42,996 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 10,955 | 11,881 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 3,395 | 3,763 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 38,911 | 42,483 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 4,670 | 5,026 | ||
5 | Broadcom Inc. | 3.500% | 2/15/41 | 26,355 | 25,139 | |
5 | Broadcom Inc. | 3.750% | 2/15/51 | 12,880 | 12,302 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 16,922 | ||
Equinix Inc. | 3.000% | 7/15/50 | 35,915 | 31,289 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 8,650 | 8,451 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 21,845 | 23,570 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 22,020 | 22,413 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,825 | 31,827 | ||
Intel Corp. | 4.100% | 5/19/46 | 47,755 | 53,900 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 61,300 | 65,480 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 22,800 | 24,748 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 81,400 | 87,147 | ||
International Business Machines Corp. | 7.000% | 10/30/25 | 25,000 | 31,366 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 148,025 | 160,921 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 98,025 | 105,826 | ||
International Business Machines Corp. | 2.850% | 5/15/40 | 22,310 | 21,288 | ||
International Business Machines Corp. | 2.950% | 5/15/50 | 8,825 | 8,197 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 47,230 | 50,326 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 23,890 | 25,513 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 11,865 | 12,930 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 64,501 | 68,065 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 25,692 | 28,258 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 162,183 | 148,226 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 115,380 | 113,641 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 19,051 | 17,396 | ||
Oracle Corp. | 1.900% | 9/15/21 | 70,285 | 70,698 | ||
Oracle Corp. | 2.500% | 5/15/22 | 38,860 | 39,629 | ||
Oracle Corp. | 2.400% | 9/15/23 | 63,535 | 66,095 | ||
Oracle Corp. | 2.950% | 11/15/24 | 80,105 | 85,337 | ||
Oracle Corp. | 2.950% | 5/15/25 | 11,300 | 12,027 | ||
Oracle Corp. | 1.650% | 3/25/26 | 94,560 | 95,194 | ||
Oracle Corp. | 3.250% | 11/15/27 | 112,120 | 120,264 | ||
Oracle Corp. | 4.000% | 11/15/47 | 16,360 | 16,847 | ||
Oracle Corp. | 3.950% | 3/25/51 | 16,985 | 17,631 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,920 | 18,578 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,611 | 26,262 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 44,450 | 43,957 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,504 | 38,191 | ||
QUALCOMM Inc. | 3.250% | 5/20/50 | 15,990 | 16,277 | ||
Transportation (0.7%) | ||||||
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 7,235 | 7,378 |
14
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 3,748 | 4,778 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 5,750 | 6,830 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 21,220 | 23,992 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 26,898 | 30,209 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,225 | 3,590 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 16,975 | 16,472 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 25,925 | 22,689 | ||
CSX Corp. | 4.300% | 3/1/48 | 16,635 | 18,935 | ||
CSX Corp. | 3.350% | 9/15/49 | 7,745 | 7,602 | ||
5 | ERAC USA Finance LLC | 4.500% | 8/16/21 | 10,270 | 10,426 | |
5 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 745 | 776 | |
5 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 3,775 | 5,464 | |
5 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 31,000 | 39,704 | |
FedEx Corp. | 2.700% | 4/15/23 | 15,810 | 16,465 | ||
FedEx Corp. | 4.100% | 2/1/45 | 4,320 | 4,601 | ||
FedEx Corp. | 4.550% | 4/1/46 | 5,894 | 6,681 | ||
FedEx Corp. | 4.050% | 2/15/48 | 1,653 | 1,772 | ||
Kansas City Southern | 4.950% | 8/15/45 | 13,845 | 16,378 | ||
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 15,560 | 16,724 | |
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 22,660 | 23,875 | |
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 53,520 | 58,446 | |
Union Pacific Corp. | 3.700% | 3/1/29 | 27,750 | 30,404 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 14,765 | 14,541 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 14,843 | 15,576 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 12,720 | 13,554 | ||
5 | Union Pacific Corp. | 2.973% | 9/16/62 | 7,030 | 6,224 | |
Union Pacific Corp. | 3.750% | 2/5/70 | 16,165 | 16,531 | ||
3 | United Airlines 2018-1 Class B Pass Through Trust | 4.600% | 3/1/26 | 6,090 | 6,153 | |
12,528,607 | ||||||
Utilities (5.0%) | ||||||
Electric (4.4%) | ||||||
AEP Texas Inc. | 4.150% | 5/1/49 | 4,750 | 5,169 | ||
AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 16,406 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 3,365 | 4,135 | ||
Alabama Power Co. | 4.100% | 1/15/42 | 5,595 | 6,049 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 20,255 | 21,698 | ||
Alabama Power Co. | 4.300% | 7/15/48 | 27,790 | 32,268 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 58,000 | 59,536 | ||
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,365 | 24,763 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,085 | 5,402 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 16,830 | 16,507 | ||
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 26,250 | 26,921 | ||
Baltimore Gas & Electric Co. | 2.400% | 8/15/26 | 20,945 | 22,035 | ||
Baltimore Gas & Electric Co. | 2.900% | 6/15/50 | 9,820 | 9,078 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 32,052 | 42,927 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 865 | 1,147 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,725 | 13,329 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 32,020 | 36,838 | ||
CenterPoint Energy Houston Electric LLC | 4.250% | 2/1/49 | 6,685 | 7,774 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 13,465 | 13,583 | ||
Commonwealth Edison Co. | 2.950% | 8/15/27 | 23,275 | 24,935 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,990 | 13,780 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,420 | 6,751 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,900 | 19,878 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,500 | 12,138 | ||
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 45,000 | 60,557 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 30,855 | 35,342 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,752 | 2,877 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,755 | 1,900 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 24,915 | 29,900 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 22,720 | 25,993 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 9,550 | 10,237 | ||
Dominion Energy Inc. | 2.715% | 8/15/21 | 14,945 | 15,072 |
15
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Dominion Energy Inc. | 2.450% | 1/15/23 | 106,490 | 110,071 | |
Dominion Energy Inc. | 4.900% | 8/1/41 | 13,562 | 16,098 | ||
Dominion Energy Inc. | 4.600% | 3/15/49 | 13,855 | 16,457 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,832 | 6,615 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,446 | 1,830 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 23,085 | 31,463 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 9,627 | 12,461 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 6,830 | 8,123 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 25,065 | 33,107 | ||
DTE Energy Co. | 3.800% | 3/15/27 | 19,405 | 21,400 | ||
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,000 | 6,234 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 13,915 | 18,524 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 5,390 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 6,375 | 7,227 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 5,205 | 5,724 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,220 | 18,108 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 17,480 | 18,273 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 11,420 | 12,132 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 37,600 | 42,835 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 14,740 | 14,832 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 1,625 | 2,259 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 6,221 | 6,937 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 61,923 | 69,624 | ||
Emera US Finance LP | 3.550% | 6/15/26 | 32,320 | 35,001 | ||
Entergy Corp. | 2.950% | 9/1/26 | 7,085 | 7,533 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 10,065 | 10,891 | ||
Evergy Inc. | 2.450% | 9/15/24 | 28,130 | 29,458 | ||
Evergy Metro Inc. | 2.250% | 6/1/30 | 8,520 | 8,391 | ||
Eversource Energy | 2.900% | 10/1/24 | 25,155 | 26,789 | ||
Eversource Energy | 3.150% | 1/15/25 | 6,775 | 7,176 | ||
Eversource Energy | 3.300% | 1/15/28 | 14,490 | 15,465 | ||
Florida Power & Light Co. | 6.200% | 6/1/36 | 12,452 | 17,340 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 10,000 | 13,610 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,994 | 6,752 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 29,745 | 38,875 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 20,000 | 22,828 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 27,690 | 30,191 | ||
Fortis Inc. | 3.055% | 10/4/26 | 44,365 | 47,245 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 34,725 | 40,505 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 28,162 | 31,359 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 9,335 | 9,629 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,590 | 16,393 | ||
Kansas City Power & Light Co. | 4.200% | 3/15/48 | 3,282 | 3,701 | ||
5 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,895 | 29,124 | |
5 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,851 | 7,527 | |
5 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 2,540 | 2,746 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 9,925 | 13,162 | ||
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,110 | 1,274 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 14,675 | 16,853 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,000 | 12,890 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 44,720 | 44,159 | ||
5 | Monongahela Power Co. | 4.100% | 4/15/24 | 11,000 | 11,840 | |
5 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,320 | 5,293 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 13,800 | 14,038 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,355 | 16,236 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 32,210 | 34,033 | ||
Nevada Power Co. | 3.125% | 8/1/50 | 17,655 | 16,932 | ||
NextEra Energy Capital Holdings Inc. | 2.403% | 9/1/21 | 42,355 | 42,726 | ||
NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 8,840 | 9,525 | ||
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,950 | 36,160 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 12,880 | 13,808 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 20,155 | 20,690 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 41,505 | 40,443 | ||
5 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,280 | 39,763 |
16
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 22,255 | 20,277 | |
3,5 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 35,520 | 44,958 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 5,145 | 6,378 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,835 | 1,906 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 20,029 | 20,137 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 5,781 | 6,804 | ||
5 | Oglethorpe Power Corp. | 3.750% | 8/1/50 | 8,875 | 8,623 | |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,225 | 20,149 | ||
Oklahoma Gas & Electric Co. | 6.500% | 4/15/28 | 10,000 | 12,574 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 13,935 | 14,392 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 31,858 | 33,845 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 11,325 | 14,856 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 3,275 | 3,876 | ||
PacifiCorp | 2.950% | 6/1/23 | 14,835 | 15,503 | ||
PacifiCorp | 3.600% | 4/1/24 | 20,000 | 21,552 | ||
PacifiCorp | 3.350% | 7/1/25 | 15,354 | 16,490 | ||
PacifiCorp | 2.700% | 9/15/30 | 8,500 | 8,696 | ||
PacifiCorp | 5.750% | 4/1/37 | 14,188 | 18,264 | ||
PacifiCorp | 4.125% | 1/15/49 | 2,262 | 2,505 | ||
PacifiCorp | 4.150% | 2/15/50 | 11,330 | 12,805 | ||
PacifiCorp | 3.300% | 3/15/51 | 20,663 | 20,334 | ||
Potomac Electric Power Co. | 3.050% | 4/1/22 | 4,235 | 4,348 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 8,000 | 11,234 | ||
PPL Electric Utilities Corp. | 2.500% | 9/1/22 | 12,830 | 13,130 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 2,675 | 3,683 | ||
Progress Energy Inc. | 3.150% | 4/1/22 | 20,800 | 21,202 | ||
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 19,880 | 22,732 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,620 | 5,910 | ||
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 1,505 | 1,690 | ||
3 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 11,035 | 10,675 | |
3 | SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,915 | 3,747 | |
3 | SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,545 | 3,380 | |
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 8,027 | 8,465 | ||
Southern California Edison Co. | 3.875% | 6/1/21 | 24,860 | 24,922 | ||
Southern California Edison Co. | 2.400% | 2/1/22 | 8,270 | 8,379 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 3,225 | 3,519 | ||
Southern California Edison Co. | 5.750% | 4/1/35 | 5,000 | 6,335 | ||
Southern California Edison Co. | 6.050% | 3/15/39 | 1,995 | 2,531 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 5,150 | 5,596 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 17,788 | 18,326 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 8,782 | 8,971 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 16,770 | 18,794 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 8,160 | 7,999 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 3,675 | 3,779 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 32,029 | 33,516 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 25,325 | 24,991 | ||
Southern Co. | 2.950% | 7/1/23 | 44,985 | 47,020 | ||
Southern Co. | 4.400% | 7/1/46 | 25,160 | 28,054 | ||
Southwestern Electric Power Co. | 2.750% | 10/1/26 | 15,000 | 15,777 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 12,964 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,790 | 3,950 | ||
Tampa Electric Co. | 2.600% | 9/15/22 | 20,205 | 20,680 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,942 | 16,582 | ||
Virginia Electric & Power Co. | 3.500% | 3/15/27 | 40,765 | 44,643 | ||
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 9,435 | 12,662 | ||
Westar Energy Inc. | 3.250% | 9/1/49 | 3,120 | 3,051 | ||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 13,825 | 18,044 | ||
Xcel Energy Inc. | 3.350% | 12/1/26 | 33,370 | 36,277 | ||
Natural Gas (0.5%) | ||||||
5 | Boston Gas Co. | 3.150% | 8/1/27 | 8,010 | 8,530 | |
5 | Boston Gas Co. | 3.001% | 8/1/29 | 5,700 | 5,884 | |
5 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 63,125 | 70,389 | |
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 9,123 | 9,986 |
17
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 4,406 | 5,858 | ||
5 | East Ohio Gas Co. | 2.000% | 6/15/30 | 13,440 | 12,907 | |
5 | East Ohio Gas Co. | 3.000% | 6/15/50 | 19,575 | 18,013 | |
5 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 37,580 | 39,471 | |
5 | KeySpan Gas East Corp. | 5.819% | 4/1/41 | 5,060 | 6,646 | |
NiSource Finance Corp. | 5.250% | 2/15/43 | 13,546 | 16,703 | ||
NiSource Finance Corp. | 4.800% | 2/15/44 | 8,500 | 9,906 | ||
Sempra Energy | 2.875% | 10/1/22 | 14,066 | 14,452 | ||
Sempra Energy | 3.800% | 2/1/38 | 20,000 | 21,489 | ||
Sempra Energy | 6.000% | 10/15/39 | 21,184 | 28,100 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 28,885 | 30,354 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 9,465 | 9,161 | ||
Other Utility (0.1%) | ||||||
American Water Capital Corp. | 2.950% | 9/1/27 | 20,245 | 21,541 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,495 | 1,574 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 29,696 | 33,474 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 885 | 989 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 4,430 | 4,480 | ||
3,191,392 | ||||||
Total Corporate Bonds (Cost $24,501,588) | 26,056,997 | |||||
Sovereign Bonds (2.1%) | ||||||
3,5 | Bermuda | 2.375% | 8/20/30 | 15,145 | 14,782 | |
3,5 | Bermuda | 3.375% | 8/20/50 | 7,115 | 6,895 | |
5 | Electricite de France SA | 4.875% | 9/21/38 | 69,690 | 81,534 | |
5 | Electricite de France SA | 4.875% | 1/22/44 | 2,910 | 3,425 | |
5 | Electricite de France SA | 4.950% | 10/13/45 | 12,500 | 14,899 | |
Equinor ASA | 2.750% | 11/10/21 | 31,091 | 31,558 | ||
Equinor ASA | 2.450% | 1/17/23 | 10,840 | 11,245 | ||
Equinor ASA | 2.650% | 1/15/24 | 10,105 | 10,658 | ||
Equinor ASA | 3.700% | 3/1/24 | 20,035 | 21,784 | ||
Equinor ASA | 3.250% | 11/10/24 | 17,460 | 18,917 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,965 | 5,291 | ||
Equinor ASA | 3.125% | 4/6/30 | 82,270 | 86,902 | ||
Equinor ASA | 2.375% | 5/22/30 | 15,795 | 15,717 | ||
5 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,320 | 31,505 | |
7 | Nova Scotia Treasury Bill | 0.000% | 4/15/21 | 20,000 | 15,912 | |
7 | Province of Alberta | 0.137% | 4/12/21 | 35,660 | 28,374 | |
Province of Ontario | 2.500% | 4/27/26 | 100,400 | 107,071 | ||
Province of Quebec | 2.500% | 4/20/26 | 134,755 | 143,879 | ||
3 | Republic of Chile | 2.550% | 1/27/32 | 37,535 | 37,824 | |
Republic of Chile | 3.500% | 4/15/53 | 27,770 | 28,109 | ||
3 | Republic of Chile | 3.100% | 1/22/61 | 14,340 | 13,336 | |
3 | Republic of Colombia | 4.000% | 2/26/24 | 29,348 | 31,220 | |
3 | Republic of Panama | 2.252% | 9/29/32 | 60,260 | 57,247 | |
3 | Republic of Panama | 3.870% | 7/23/60 | 53,230 | 52,831 | |
5 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 27,885 | 29,749 | |
5 | Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 38,955 | 41,316 | |
5 | Sinopec Group Overseas Development 2016 Ltd. | 3.500% | 5/3/26 | 28,000 | 30,287 | |
5 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 63,500 | 64,837 | |
5 | State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 29,070 | 31,633 | |
5 | State of Kuwait | 2.750% | 3/20/22 | 4,315 | 4,407 | |
5 | State of Qatar | 2.375% | 6/2/21 | 55,255 | 55,393 | |
5 | State of Qatar | 3.875% | 4/23/23 | 69,280 | 73,778 | |
5 | State of Qatar | 3.375% | 3/14/24 | 3,250 | 3,486 | |
5 | State of Qatar | 4.400% | 4/16/50 | 13,435 | 15,531 | |
5 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 39,070 | 40,340 | |
5 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,135 | 40,162 | |
5 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 40,775 | 36,635 | |
5 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 23,800 | 20,838 | |
Total Sovereign Bonds (Cost $1,307,456) | 1,359,307 |
18
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Taxable Municipal Bonds (2.9%) | ||||||
Atlanta GA Water & Wastewater Revenue | 2.257% | 11/1/35 | 3,315 | 3,308 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 2.574% | 4/1/31 | 14,735 | 15,224 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 4,670 | 7,215 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 24,800 | 40,807 | ||
Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 10,070 | 10,357 | ||
California GO | 7.500% | 4/1/34 | 5,845 | 9,073 | ||
California GO | 7.350% | 11/1/39 | 45,195 | 69,386 | ||
California GO | 7.600% | 11/1/40 | 2,215 | 3,678 | ||
Chicago IL Metropolitan Water Reclamation District GO | 5.720% | 12/1/38 | 4,445 | 5,913 | ||
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 4,780 | 6,873 | ||
Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.200% | 12/1/40 | 2,290 | 3,054 | ||
Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.899% | 12/1/40 | 31,650 | 44,222 | ||
Chicago IL Transit Authority Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 61,935 | 86,537 | ||
City of Riverside CA Pension Obligation Bonds | 3.857% | 6/1/45 | 12,905 | 13,268 | ||
City of San Antonio TX Electric & Gas Systems Revenue | 2.905% | 2/1/48 | 8,990 | 8,834 | ||
Dallas-Fort Worth TX International Airport Revenue | 3.089% | 11/1/40 | 7,770 | 7,683 | ||
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 6,480 | 8,285 | ||
Duke University North Carolina Revenue | 5.850% | 4/1/37 | 62,165 | 82,019 | ||
Florida Board of Administration Finance Corp Revenue | 1.705% | 7/1/27 | 33,175 | 33,297 | ||
Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 5,145 | 5,353 | ||
8 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 38,475 | 40,033 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 66,583 | 95,247 | ||
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 9,809 | 14,138 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 3.236% | 10/1/52 | 53,710 | 54,001 | ||
Great Lakes MI Water Authority Sewage Disposal System Revenue | 3.056% | 7/1/39 | 12,495 | 12,721 | ||
Houston TX GO | 6.290% | 3/1/32 | 14,360 | 17,924 | ||
Illinois GO | 5.100% | 6/1/33 | 32,115 | 36,157 | ||
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 16,525 | 22,263 | ||
JobsOhio Beverage System Statewide Liquor Profits Revenue | 2.833% | 1/1/38 | 5,335 | 5,414 | ||
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 38,405 | 47,791 | ||
Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue | 6.250% | 5/15/43 | 11,000 | 16,184 | ||
Maryland Transportation Authority Facilities Projects Revenue | 5.888% | 7/1/43 | 12,005 | 15,859 | ||
Massachusetts GO | 2.514% | 7/1/41 | 10,625 | 10,523 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 1.753% | 8/15/30 | 28,455 | 28,072 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 2.950% | 5/15/43 | 23,000 | 23,008 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.715% | 8/15/39 | 15,000 | 20,349 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 16,565 | 17,386 | ||
Metropolitan Transportation Authority Revenue | 6.200% | 11/15/26 | 2,255 | 2,585 | ||
Metropolitan Transportation Authority Revenue | 5.175% | 11/15/49 | 37,785 | 46,804 | ||
Michigan Finance Authority Revenue (Trinity Health Credit Group) | 3.084% | 12/1/34 | 11,385 | 11,953 | ||
Municipal Electric Authority of Georgia Revenue | 4.430% | 1/1/22 | 7,795 | 8,007 |
19
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 28,975 | 45,524 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 2,430 | 3,807 | ||
New York Metropolitan Transportation Authority Revenue | 6.814% | 11/15/40 | 27,855 | 38,392 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 16,940 | 23,362 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 21,345 | 21,732 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.190% | 2/15/43 | 11,865 | 12,114 | ||
New York State Thruway Authority Highway & Bridge Trust Fund | 5.883% | 4/1/30 | 29,670 | 36,754 | ||
New York State Thruway Authority Revenue | 2.900% | 1/1/35 | 16,215 | 16,798 | ||
New York State Thruway Authority Revenue | 3.500% | 1/1/42 | 9,140 | 9,379 | ||
New York State Urban Development Corp. Revenue | 2.100% | 3/15/22 | 29,345 | 29,805 | ||
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 15,100 | 23,939 | ||
Oregon Department of Transportation Highway User Tax Revenue | 5.834% | 11/15/34 | 14,510 | 19,581 | ||
9 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 15,000 | 16,903 | |
10 | Oregon State University Revenue | 3.424% | 3/1/60 | 31,000 | 31,112 | |
11 | Philadelphia PA Authority for Industrial Development Lease Revenue | 6.550% | 10/15/28 | 64,830 | 79,580 | |
Port Authority of New York & New Jersey Revenue | 3.175% | 7/15/60 | 16,940 | 16,041 | ||
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 1,960 | 2,328 | ||
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 5,665 | 7,381 | ||
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 53,000 | 65,318 | ||
Port Authority of New York & New Jersey Revenue | 4.810% | 10/15/65 | 10,910 | 14,056 | ||
Regents of the University of California Medical Center Pooled Revenue | 3.006% | 5/15/50 | 14,850 | 14,263 | ||
Regents of the University of California Medical Center Pooled Revenue | 3.256% | 5/15/60 | 27,700 | 27,636 | ||
Riverside County CA Pension Revenue | 3.818% | 2/15/38 | 9,875 | 10,482 | ||
Rutgers State University New Jersey Revenue | 3.270% | 5/1/43 | 11,595 | 12,033 | ||
Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 24,635 | 30,084 | ||
Texas Transportation Commission State Highway Fund | 2.562% | 4/1/42 | 8,625 | 8,424 | ||
Texas Transportation Commission State Highway Fund | 5.178% | 4/1/30 | 12,275 | 14,969 | ||
Texas Transportation Commission State Highway Fund | 4.000% | 10/1/33 | 17,140 | 20,436 | ||
University of California Regents Medical Center Revenue | 6.548% | 5/15/48 | 11,720 | 17,656 | ||
University of California Regents Medical Center Revenue | 6.583% | 5/15/49 | 15,790 | 23,440 | ||
University of California Revenue | 1.316% | 5/15/27 | 13,645 | 13,520 | ||
University of California Revenue | 1.614% | 5/15/30 | 23,375 | 22,301 | ||
University of California Revenue | 4.601% | 5/15/31 | 19,390 | 22,578 | ||
University of California Revenue | 4.765% | 5/15/44 | 4,740 | 5,093 | ||
University of California Revenue | 3.931% | 5/15/45 | 18,275 | 20,002 | ||
Wisconsin Annual Appropriation Revenue | 3.954% | 5/1/36 | 28,325 | 31,380 | ||
8 | Wisconsin GO | 5.700% | 5/1/26 | 7,370 | 8,553 | |
Total Taxable Municipal Bonds (Cost $1,608,179) | 1,827,561 |
Shares | ||||
Common Stocks (39.5%) | ||||
Communication Services (1.8%) | ||||
Comcast Corp. Class A | 13,486,773 | 729,769 | ||
Verizon Communications Inc. | 7,619,706 | 443,086 | ||
1,172,855 |
20
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Shares | Market Value ($000 | ) | |||
Consumer Discretionary (1.8%) | |||||
Home Depot Inc. | 2,220,756 | 677,886 | |||
McDonald's Corp. | 1,523,160 | 341,401 | |||
VF Corp. | 1,966,631 | 157,173 | |||
1,176,460 | |||||
Consumer Staples (6.0%) | |||||
Procter & Gamble Co. | 6,247,289 | 846,070 | |||
Philip Morris International Inc. | 6,872,604 | 609,875 | |||
Mondelez International Inc. Class A | 8,824,054 | 516,472 | |||
PepsiCo Inc. | 2,988,204 | 422,681 | |||
Archer-Daniels-Midland Co. | 5,941,471 | 338,664 | |||
Unilever plc ADR | 5,483,068 | 306,120 | |||
Kimberly-Clark Corp. | 1,990,600 | 276,793 | |||
Coca-Cola Co. | 4,717,957 | 248,683 | |||
Kellogg Co. | 3,663,600 | 231,906 | |||
3,797,264 | |||||
Energy (2.1%) | |||||
ConocoPhillips | 8,491,714 | 449,806 | |||
Pioneer Natural Resources Co. | 2,225,500 | 353,454 | |||
^ | TC Energy Corp. | 5,926,720 | 271,694 | ||
Phillips 66 | 3,218,084 | 262,403 | |||
1,337,357 | |||||
Financials (8.5%) | |||||
JPMorgan Chase & Co. | 6,485,008 | 987,213 | |||
Bank of America Corp. | 22,061,220 | 853,549 | |||
MetLife Inc. | 9,959,777 | 605,455 | |||
Chubb Ltd. | 3,072,020 | 485,287 | |||
Morgan Stanley | 6,115,200 | 474,906 | |||
Truist Financial Corp. | 7,924,162 | 462,137 | |||
BlackRock Inc. | 591,119 | 445,680 | |||
Progressive Corp. | 4,397,390 | 420,435 | |||
Blackstone Group LP Class A | 3,688,900 | 274,934 | |||
PNC Financial Services Group Inc. | 1,515,091 | 265,762 | |||
Travelers Cos. Inc. | 787,283 | 118,407 | |||
5,393,765 | |||||
Health Care (6.2%) | |||||
Johnson & Johnson | 6,770,078 | 1,112,662 | |||
Pfizer Inc. | 17,589,042 | 637,251 | |||
Medtronic plc | 4,741,248 | 560,084 | |||
Eli Lilly and Co. | 2,486,253 | 464,482 | |||
Merck & Co. Inc. | 5,050,774 | 389,364 | |||
CVS Health Corp. | 4,444,374 | 334,350 | |||
^ | AstraZeneca plc ADR | 5,216,904 | 259,384 | ||
Novartis AG | 2,401,440 | 205,277 | |||
3,962,854 | |||||
Industrials (5.2%) | |||||
Lockheed Martin Corp. | 1,270,937 | 469,611 | |||
Eaton Corp. plc | 3,214,741 | 444,534 | |||
General Dynamics Corp. | 2,217,600 | 402,628 | |||
Raytheon Technologies Corp. | 5,201,200 | 401,897 | |||
Caterpillar Inc. | 1,609,645 | 373,228 | |||
Union Pacific Corp. | 1,676,863 | 369,597 | |||
Johnson Controls International plc | 5,082,200 | 303,255 | |||
Emerson Electric Co. | 2,229,612 | 201,156 | |||
Honeywell International Inc. | 858,400 | 186,333 | |||
Waste Management Inc. | 968,494 | 124,955 | |||
3,277,194 | |||||
Information Technology (3.3%) | |||||
Cisco Systems Inc. | 18,120,123 | 936,992 | |||
Corning Inc. | 10,540,933 | 458,636 | |||
Automatic Data Processing Inc. | 1,623,377 | 305,958 | |||
Analog Devices Inc. | 1,649,886 | 255,864 |
21
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Shares | Market Value ($000 | ) | |||
Texas Instruments Inc. | 723,309 | 136,698 | |||
2,094,148 | |||||
Materials (0.7%) | |||||
LyondellBasell Industries NV Class A | 2,939,030 | 305,806 | |||
Rio Tinto plc ADR | 1,849,727 | 143,631 | |||
449,437 | |||||
Real Estate (0.8%) | |||||
Crown Castle International Corp. | 2,806,858 | 483,145 | |||
Utilities (3.1%) | |||||
Dominion Energy Inc. | 4,869,418 | 369,881 | |||
Sempra Energy | 2,638,427 | 349,803 | |||
American Electric Power Co. Inc. | 3,583,537 | 303,526 | |||
Exelon Corp. | 6,465,094 | 282,783 | |||
Duke Energy Corp. | 2,799,528 | 270,238 |
Entergy Corp. | 2,118,300 | 210,707 | |||
DTE Energy Co. | 1,293,200 | 172,177 | |||
1,959,115 | |||||
Total Common Stocks (Cost $16,645,195) | 25,103,594 |
Coupon | ||||||||||
Temporary Cash Investments (2.8%) | ||||||||||
Money Market Fund (0.2%) | ||||||||||
12,13 | Vanguard Market Liquidity Fund | 0.081% | 1,514,500 | 151,443 | ||||||
Face | ||||||||||
Maturity | Amount | |||||||||
Date | ($000) | |||||||||
Repurchase Agreements (1.0%) | ||||||||||
Bank of America Securities, LLC (Dated 3/31/21, Repurchase Value $60,500,000, collateralized by Government National Mortgage Assn. 2.500%-3.000%, 11/20/50-3/20/51, with a value of $61,710,000) | 0.010% | 4/1/21 | 60,500 | 60,500 | ||||||
Deutsche Bank Securities, Inc. (Dated 3/31/21, Repurchase Value $106,100,000, collateralized by U.S. Treasury Note/Bond 0.875%-2.000%, 11/15/26-11/15/30, with a value of $108,222,000) | 0.010% | 4/1/21 | 106,100 | 106,100 | ||||||
HSBC Bank USA (Dated 3/31/21, Repurchase Value $90,400,000, collateralized by Federal Home Loan Mortgage Corp. 2.500%-3.000%, 2/1/35-2/1/51, and Federal National Mortgage Assn. 2.000%-3.500%, 8/1/30-3/1/51, with a value of $92,208,000) | 0.005% | 4/1/21 | 90,400 | 90,400 | ||||||
HSBC Bank USA (Dated 3/31/21, Repurchase Value $26,900,000, collateralized by U.S. Treasury Bill 0.000%, 5/20/21, and U.S. Treasury Note/Bond 0.069%-5.000%, 4/30/21-5/15/37, with a value of $27,438,000) | 0.005% | 4/1/21 | 26,900 | 26,900 | ||||||
JP Morgan Securities LLC (Dated 3/31/21, Repurchase Value $41,100,000, collateralized by U.S. Treasury Note/Bond 2.250%, 8/15/46, with a value of $41,922,000) | 0.005% | 4/1/21 | 41,100 | 41,100 |
22
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
Coupon | Maturity Date | Face Amount ($000 | ) | Market Value ($000 | ) | |||||
Natixis (Dated 3/31/21, Repurchase Value $227,500,000, collateralized by Federal Home Loan Mortgage Corp. 0.000%, 12/11/25, U.S. Treasury Bill 0.000%, 7/20/21-11/4/21, and U.S. Treasury Note/Bond 0.125%-4.500%, 9/30/21-8/15/50, with a value of $232,050,000) | 0.010% | 4/1/21 | 227,500 | 227,500 | ||||||
Nomura International plc (Dated 3/31/21, Repurchase Value $62,400,000, collateralized by U.S. Treasury Bill 0.000%, 4/22/21 and U.S. Treasury Note/Bond 0.075%-1.875%, 9/30/22-1/15/23, with a value of $63,648,000) | 0.010% | 4/1/21 | 62,400 | 62,400 | ||||||
RBC Capital Markets LLC (Dated 3/31/21, Repurchase Value $24,300,000, collateralized by Federal Home Loan Mortgage Corp. 2.000%-4.000%, 6/1/42-10/1/50, and Federal National Mortgage Assn. 3.500%, 2/1/46, with a value of $24,786,000) | 0.005% | 4/1/21 | 24,300 | 24,300 | ||||||
RBS Securities, Inc. (Dated 3/31/21, Repurchase Value $11,700,000, collateralized by U.S. Treasury Note/Bond 3.125%, 5/15/48, with a value of $11,934,000) | 0.005% | 4/1/21 | 11,700 | 11,700 | ||||||
650,900 | ||||||||||
U.S. Government and Agency Obligations (1.6%) | ||||||||||
United States Treasury Bill | 0.032% | 4/22/21 | 250,000 | 249,997 | ||||||
United States Treasury Bill | 0.015% | 6/24/21 | 500,000 | 499,980 | ||||||
United States Treasury Bill | 0.040% | 9/23/21 | 250,000 | 249,963 | ||||||
999,940 | ||||||||||
Total Temporary Cash Investments (Cost $1,802,273) | 1,802,283 | |||||||||
Total Investments (100.8%) (Cost $54,031,053) | 64,096,785 | |||||||||
Other Assets and Liabilities—Net (-0.8%) | (536,110) | |||||||||
Net Assets (100%) | 63,560,675 |
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 March 31, 2021. |
§ | Security value determined using significant unobservable inputs. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $145,710,000. |
1 | Securities with a value of $1,473,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $4,948,000 have been segregated as initial margin for open futures contracts. |
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 March 31, 2021, the aggregate value of these securities was $7,427,993,000, representing 11.7% 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 | Face amount denominated in Canadian dollars. |
8 | Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
9 | Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation). |
10 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
11 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
12 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
13 | Collateral of $151,439,000 was received for securities on loan. |
1M—1-month. | |
3M—3-month. |
23
Vanguard® Wellesley Income Fund
Schedule of Investments
March 31, 2021
ADR—American Depositary Receipt. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
TBA—To Be Announced. | |
UMBS—Uniform Mortgage-Backed Securities. |
24
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© 2021 The Vanguard Group, Inc. |
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 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)(1) | Not applicable. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications field herewith. |
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: May 19, 2021
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: May 19, 2021
VANGUARD WELLESLEY INCOME FUND
BY: | /s/ JOHN BENDL* | |
JOHN BENDL | ||
CHIEF FINANCIAL OFFICER |
Date: May 19, 2021
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on December 18, 2020 (see File Number 33-64845), Incorporated by Reference