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—September 30, 2021
Item 1: Reports to Shareholders
Your Fund’s Performance at a Glance | 1 |
Advisor’s Report | 3 |
About Your Fund’s Expenses | 7 |
Performance Summary | 9 |
Financial Statements | 11 |
Trustees Approve Advisory Arrangement | 59 |
• | For the 12 months ended September 30, 2021, Vanguard Wellesley Income Fund returned 11.22% for Investor Shares and 11.29% for Admiral Shares. The fund’s benchmark, the Wellesley Income Composite Index, returned 10.32%. The composite index reflects the fund’s target allocation of 65% bonds and 35% stocks. |
• | For the decade ended September 30, 2021, the fund had annualized returns of 7.97% for Investor Shares and 8.05% for Admiral Shares, ahead of the benchmark’s 7.46%. |
• | The global economy rebounded faster than many had expected after the pandemic-induced contraction in the spring of 2020. Countries that have been more successful in containing the virus have generally fared better economically. Swift and extensive fiscal and monetary support from policymakers has also been key to the rebound. |
• | Bond yields moved higher across much of the developed world during the fiscal year amid concerns about inflation and the prospect of central banks scaling back their bond-buying programs or raising interest rates. Stock returns were excellent for the year, reflecting the recovery following the sharp downturn at the start of the pandemic. |
• | The fixed income portfolio benefited from security selection, particularly among industrial issuers. Asset-backed and commercial mortgage-backed securities also helped performance. |
• | Within the equity portfolio, the industrial and health care sectors contributed most to relative performance. |
Average Annual Total Returns Periods Ended September 30, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 30.96% | 16.43% | 17.11% |
Russell 2000 Index (Small-caps) | 47.68 | 10.54 | 13.45 |
Russell 3000 Index (Broad U.S. market) | 31.88 | 16.00 | 16.85 |
FTSE All-World ex US Index (International) | 24.73 | 8.49 | 9.28 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.90% | 5.36% | 2.94% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.63 | 5.06 | 3.26 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.14 | 1.13 |
CPI | |||
Consumer Price Index | 5.39% | 2.81% | 2.59% |
• | 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. |
• | 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. |
Six Months Ended September 30, 2021 | |||
Beginning Account Value 3/31/2021 | Ending Account Value 9/30/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Wellesley Income Fund | |||
Investor Shares | $1,000.00 | $1,042.40 | $1.18 |
Admiral™ Shares | 1,000.00 | 1,042.80 | 0.82 |
Based on Hypothetical 5% Yearly Return | |||
Wellesley Income Fund | |||
Investor Shares | $1,000.00 | $1,023.92 | $1.17 |
Admiral Shares | 1,000.00 | 1,024.27 | 0.81 |
Average Annual Total Returns Periods Ended September 30, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Wellesley Income Fund Investor Shares | 11.22% | 7.24% | 7.97% | $21,531 | |
Wellesley Income Composite Index | 10.32 | 6.49 | 7.46 | 20,535 | |
Bloomberg U.S. Aggregate Bond Index | -0.90 | 2.94 | 3.01 | 13,455 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 32.13 | 16.82 | 16.56 | 46,280 |
One Year | Five Years | Ten Years | Final Value of a $50,000 Investment | ||
Wellesley Income Fund Admiral Shares | 11.29% | 7.31% | 8.05% | $108,400 | |
Wellesley Income Composite Index | 10.32 | 6.49 | 7.46 | 102,676 | |
Bloomberg U.S. Aggregate Bond Index | -0.90 | 2.94 | 3.01 | 67,274 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 32.13 | 16.82 | 16.56 | 231,402 |
Asset-Backed/Commercial Mortgage-Backed Securities | 2.7% |
Common Stocks | 39.1 |
Corporate Bonds - Communications | 3.5 |
Corporate Bonds - Consumer Discretionary | 1.9 |
Corporate Bonds - Consumer Staples | 1.7 |
Corporate Bonds - Energy | 2.3 |
Corporate Bonds - Financials | 16.4 |
Corporate Bonds - Health Care | 4.9 |
Corporate Bonds - Industrials | 2.1 |
Corporate Bonds - Materials | 0.1 |
Corporate Bonds - Real Estate | 0.7 |
Corporate Bonds - Technology | 3.8 |
Corporate Bonds - Utilities | 5.3 |
Sovereign Bonds | 1.0 |
Taxable Municipal Bonds | 2.9 |
U.S. Government and Agency Obligations | 11.6 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (11.4%) | ||||||
U.S. Government Securities (10.1%) | ||||||
U.S. Treasury Note/Bond | 0.125% | 7/31/23 | 6,280 | 6,266 | ||
U.S. Treasury Note/Bond | 0.125% | 8/31/23 | 39,960 | 39,854 | ||
U.S. Treasury Note/Bond | 0.250% | 11/15/23 | 60,770 | 60,685 | ||
U.S. Treasury Note/Bond | 0.125% | 2/15/24 | 36,210 | 36,006 | ||
U.S. Treasury Note/Bond | 0.250% | 3/15/24 | 311,000 | 309,931 | ||
U.S. Treasury Note/Bond | 0.375% | 4/15/24 | 65,000 | 64,939 | ||
U.S. Treasury Note/Bond | 0.250% | 5/15/24 | 137,840 | 137,172 | ||
U.S. Treasury Note/Bond | 0.250% | 6/15/24 | 485,350 | 482,620 | ||
U.S. Treasury Note/Bond | 0.375% | 8/15/24 | 325,000 | 323,883 | ||
U.S. Treasury Note/Bond | 0.375% | 9/15/24 | 31,000 | 30,864 | ||
U.S. Treasury Note/Bond | 0.250% | 5/31/25 | 431,605 | 424,389 | ||
U.S. Treasury Note/Bond | 0.250% | 7/31/25 | 523,245 | 513,271 | ||
U.S. Treasury Note/Bond | 0.250% | 8/31/25 | 154,990 | 151,842 | ||
U.S. Treasury Note/Bond | 0.250% | 10/31/25 | 601,000 | 587,290 | ||
U.S. Treasury Note/Bond | 0.375% | 1/31/26 | 808,205 | 790,904 | ||
U.S. Treasury Note/Bond | 0.750% | 5/31/26 | 115,445 | 114,471 | ||
U.S. Treasury Note/Bond | 0.750% | 8/31/26 | 90,000 | 89,044 | ||
U.S. Treasury Note/Bond | 1.500% | 2/15/30 | 87,305 | 87,878 | ||
U.S. Treasury Note/Bond | 0.625% | 5/15/30 | 72,155 | 67,363 | ||
U.S. Treasury Note/Bond | 0.625% | 8/15/30 | 100,000 | 93,063 | ||
U.S. Treasury Note/Bond | 0.875% | 11/15/30 | 208,315 | 197,769 | ||
U.S. Treasury Note/Bond | 1.125% | 2/15/31 | 176,260 | 170,752 | ||
1 | U.S. Treasury Note/Bond | 2.250% | 5/15/41 | 1,152,805 | 1,199,097 | |
U.S. Treasury Note/Bond | 1.750% | 8/15/41 | 174,915 | 167,262 | ||
U.S. Treasury Note/Bond | 1.875% | 2/15/51 | 167,460 | 159,767 | ||
2 | U.S. Treasury Note/Bond | 2.375% | 5/15/51 | 135,065 | 144,182 | |
U.S. Treasury Note/Bond | 2.000% | 8/15/51 | 290,175 | 285,233 | ||
6,735,797 | ||||||
Agency Bonds and Notes (0.0%) | ||||||
Tennessee Valley Authority | 4.625% | 9/15/60 | 19,800 | 28,974 | ||
Conventional Mortgage-Backed Securities (0.7%) | ||||||
3,4 | Fannie Mae Pool | 1.770% | 1/1/36 | 21,606 | 21,203 | |
3,4 | Fannie Mae Pool | 3.070% | 2/1/25 | 11,700 | 12,460 | |
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 | 18 | 21 | |
3 | Ginnie Mae I Pool | 6.500% | 4/15/32–7/15/38 | 1,601 | 1,809 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,4,5 | UMBS Pool | 1.500% | 10/19/36–11/16/36 | 300,000 | 302,648 | |
3,4,5 | UMBS Pool | 2.500% | 8/1/27–11/10/51 | 134,210 | 138,604 | |
476,748 | ||||||
Nonconventional Mortgage-Backed Securities (0.6%) | ||||||
3,4 | Fannie Mae REMICS | 1.250% | 2/25/28 | 12,669 | 12,769 | |
3,4 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 15,796 | 15,960 | |
3,4 | Fannie Mae REMICS | 1.700% | 6/25/43 | 2,671 | 2,695 | |
3,4 | Fannie Mae REMICS | 2.000% | 6/25/43–6/25/44 | 8,201 | 8,333 | |
3,4 | Fannie Mae REMICS | 3.000% | 2/25/49–9/25/57 | 66,499 | 69,264 | |
3,4 | Fannie Mae REMICS | 3.500% | 4/25/31–12/25/58 | 142,986 | 152,499 | |
3,4 | Fannie Mae REMICS | 4.000% | 5/25/31–7/25/53 | 9,573 | 10,074 | |
3,4 | Freddie Mac REMICS | 1.500% | 10/15/42 | 7,450 | 7,526 | |
3,4 | Freddie Mac REMICS | 1.750% | 3/15/41 | 8,047 | 8,108 | |
3,4 | Freddie Mac REMICS | 2.000% | 7/15/31–9/15/31 | 18,806 | 19,031 | |
3,4 | Freddie Mac REMICS | 2.500% | 9/15/32 | 1,837 | 1,868 | |
3,4 | Freddie Mac REMICS | 3.000% | 12/15/39–5/15/46 | 25,322 | 26,398 | |
3,4 | Freddie Mac REMICS | 3.500% | 3/15/31 | 2,038 | 2,169 | |
3,4 | Freddie Mac REMICS | 4.000% | 12/15/30–4/15/31 | 39,129 | 41,793 | |
3 | Ginnie Mae | 1.700% | 10/20/45 | 3,770 | 3,808 | |
3 | Ginnie Mae | 1.800% | 5/20/41 | 1,798 | 1,802 | |
384,097 | ||||||
Total U.S. Government and Agency Obligations (Cost $7,646,784) | 7,625,616 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.7%) | ||||||
3,6 | Aaset Trust Class A Series 2019-1 | 3.844% | 5/15/39 | 11,284 | 11,224 | |
3,6 | Affirm Asset Securitization Trust Class A Series 2021-A | 0.880% | 8/15/25 | 6,845 | 6,855 | |
3,6 | Affirm Asset Securitization Trust Class A Series 2021-B | 1.030% | 8/17/26 | 17,575 | 17,597 | |
3,6 | Affirm Asset Securitization Trust Class A Series 2021-Z1 | 1.070% | 8/15/25 | 16,918 | 16,955 | |
3,6 | Aligned Data Centers Issuer LLC Class A2 Series 2021-1A | 1.937% | 8/15/46 | 43,730 | 43,947 | |
3,6 | American Tower Trust #1 Class 2A Series 13 | 3.070% | 3/15/48 | 32,900 | 33,382 | |
3,6,7 | Angel Oak Mortgage Trust Class A1 Series 2019-5 | 2.593% | 10/25/49 | 5,290 | 5,291 | |
3,6,7 | Angel Oak Mortgage Trust Class A1 Series 2019-6 | 2.620% | 11/25/59 | 11,174 | 11,315 | |
3,6,7 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-2 | 3.628% | 3/25/49 | 1,978 | 2,009 | |
3,6,7 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-4 | 2.993% | 7/26/49 | 7,913 | 7,977 | |
3,6,7 | Apidos CLO XXXV Class A Series 2021-35A, 3M USD LIBOR + 1.050% | 1.249% | 4/20/34 | 22,200 | 22,074 | |
3,6,7 | Atlas Senior Loan Fund X Ltd. Class A Series 2018-10A, 3M USD LIBOR + 1.090% | 1.216% | 1/15/31 | 7,273 | 7,271 | |
3,6,7 | Atlas Senior Loan Fund X Ltd. Class A1L Series 2018-11A, 3M USD LIBOR + 1.100% | 1.225% | 7/26/31 | 10,000 | 9,997 | |
3,6,7 | Bain Capital Credit CLO Ltd. Class A Series 2021-3A, 3M USD LIBOR + 1.160% | 1.346% | 7/24/34 | 24,495 | 24,523 | |
3,6,7 | Barings CLO Ltd. Class B Series 2020-4A, 3M USD LIBOR + 1.550% | 1.684% | 1/20/32 | 13,000 | 12,929 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6,7 | Battalion CLO XX Ltd. Class B Series 2021-20A, 3M USD LIBOR + 1.750% | 1.888% | 7/15/34 | 28,350 | 28,375 | |
3,6,7 | BlueMountain CLO XXXI Ltd. Class A1 Series 2021-31A, 3M USD LIBOR + 1.150% | 1.330% | 4/19/34 | 30,000 | 30,014 | |
3,6,7 | BlueMountain CLO XXXI Ltd. Class B Series 2021-31A, 3M USD LIBOR + 1.700% | 1.820% | 4/19/34 | 11,850 | 11,850 | |
3,6,7 | Bristol Park CLO LTD Class BR, Series 2016-1A, 3M USD LIBOR + 1.450% | 1.576% | 4/15/29 | 9,000 | 8,975 | |
3,6,7 | BX Commercial Mortgage Trust Class A Series 2021-VOLT, 1M USD LIBOR + 0.700% | 0.800% | 9/15/36 | 28,565 | 28,579 | |
3,6,7 | BXHPP Trust Class A Series 2021-FILM, 1M USD LIBOR + 0.650% | 0.734% | 8/15/36 | 15,215 | 15,222 | |
3,6,7 | BXHPP Trust Class B Series 2021-FILM, 1M USD LIBOR + 0.900% | 0.984% | 8/15/36 | 3,140 | 3,141 | |
3,6 | Canadian Pacer Auto Receivables Trust Class A3 Series 2018-2A | 3.270% | 12/19/22 | 487 | 489 | |
3,6 | Castlelake Aircraft Structured Trust Class A Series 2019-1A | 3.967% | 4/15/39 | 22,300 | 22,303 | |
3,6,7 | Cent CLO 21 Ltd. Class A1R3 Series 2014-21A, 3M USD LIBOR + 0.970% | 1.099% | 7/27/30 | 10,000 | 10,000 | |
3,6 | CF Hippolyta LLC Class A1 Series 2021-A1 | 1.530% | 3/15/61 | 26,071 | 26,242 | |
3,6 | Chesapeake Funding II LLC Class A1 Series 2018-3A | 3.390% | 1/15/31 | 10,981 | 11,109 | |
3,6,7 | CIFC Funding 2021-III Ltd. Class B Series 2021-3A, 3M USD LIBOR + 1.700% | 1.848% | 7/15/36 | 6,500 | 6,506 | |
3,6,7 | CIFC Funding Ltd. Class A Series 2018-1A, 3M USD LIBOR + 1.000% | 1.134% | 4/18/31 | 12,000 | 12,000 | |
3,6,7 | Cloud Pass-Through Trust Class CLOU Series 2019-1A | 3.554% | 12/5/22 | 2,238 | 2,252 | |
3,6,7 | COLT Mortgage Loan Trust Class A1 Series 2020-1 | 2.488% | 2/25/50 | 5,540 | 5,543 | |
3,6,7 | Columbia Cent CLO 27 Ltd. Class A1 Series 2018-27A, 3M USD LIBOR + 1.150% | 1.275% | 10/25/28 | 16,497 | 16,497 | |
3,6,7 | Columbia Cent CLO 30 Ltd. Class B Series 2020-30A, 3M USD LIBOR + 1.750% | 1.884% | 1/20/34 | 15,805 | 15,803 | |
3,6,7 | Columbia Cent CLO 31 Ltd. Class A1 Series 2021-31A, 3M USD LIBOR + 1.200% | 1.334% | 4/20/34 | 27,105 | 27,190 | |
3 | COMM Mortgage Trust Class A4 Series 2012-CR2 | 3.147% | 8/15/45 | 16,040 | 16,207 | |
3,6 | DB Master Finance LLC Class A2I Series 2019-1A | 3.787% | 5/20/49 | 14,842 | 14,924 | |
3,6 | DB Master Finance LLC Class A2II Series 2019-1A | 4.021% | 5/20/49 | 13,259 | 13,794 | |
3,6 | Domino's Pizza Master Issuer LLC Class A2I Series 2021-1A | 2.662% | 4/25/51 | 38,459 | 39,551 | |
3,6 | Domino's Pizza Master Issuer LLC Class A2II Series 2021-1A | 3.151% | 4/25/51 | 31,406 | 33,132 | |
3,6,7 | Dryden 85 CLO Ltd. Class B Series 2020-85A, 3M USD LIBOR + 1.800% | 1.926% | 10/15/32 | 10,450 | 10,450 | |
3,6,7 | Dryden 87 CLO Ltd. Class A1 Series 2021-87A, 3M USD LIBOR + 1.100% | 1.238% | 5/20/34 | 28,400 | 28,319 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6 | Enterprise Fleet Financing LLC Class A2 Series 2018-3 | 3.380% | 5/20/24 | 1,234 | 1,241 | |
3,6 | Enterprise Fleet Financing LLC Class A2 Series 2019-1 | 2.980% | 10/20/24 | 5,539 | 5,562 | |
3,6 | Enterprise Fleet Financing LLC Class A2 Series 2019-2 | 2.290% | 2/20/25 | 13,758 | 13,938 | |
3,6 | Enterprise Fleet Financing LLC Class A2 Series 2019-3 | 2.060% | 5/20/25 | 10,145 | 10,252 | |
3,4,7 | Fannie Mae Connecticut Avenue Securities Class 2M2 Series 2016-C03, 1M USD LIBOR + 5.900% | 5.986% | 10/25/28 | 5,198 | 5,460 | |
3,6 | FirstKey Homes Trust Class A Series 2021-SFR1 | 1.538% | 8/17/38 | 67,500 | 67,239 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K-1521 | 2.184% | 8/25/36 | 17,210 | 17,294 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K733 | 3.750% | 8/25/25 | 10,785 | 11,759 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A3 Series K-1512 | 3.059% | 4/25/34 | 7,200 | 7,985 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A3 Series K-1513 | 2.797% | 8/25/34 | 7,552 | 8,138 | |
3,6 | Horizon Aircraft Finance II Ltd. Class A Series 2019-1 | 3.721% | 7/15/39 | 9,777 | 9,803 | |
3,6 | Horizon Aircraft Finance III Ltd. Class A Series 2019-2 | 3.425% | 11/15/39 | 10,034 | 10,009 | |
3,6,7 | LCM XXII Ltd. Class A2R Series 22A, 3M USD LIBOR + 1.450% | 1.584% | 10/20/28 | 12,700 | 12,677 | |
3,6,7 | Life Mortgage Trust Class A Series 2021-BMR, 1M USD LIBOR + 0.700% | 0.784% | 3/15/38 | 9,885 | 9,894 | |
3,6 | MACH 1 Cayman Ltd. Class A Series 2019-1 | 3.474% | 10/15/39 | 10,394 | 10,372 | |
3,6,7 | Madison Park Funding L Ltd. Class A Series 2021-50A, 3M USD LIBOR + 1.140% | 1.336% | 4/19/34 | 18,850 | 18,850 | |
3,6,7 | Madison Park Funding XI Ltd. Class BR2 Series 2013-11A, 3M USD LIBOR + 1.450% | 1.588% | 7/23/29 | 8,000 | 7,998 | |
3,6,7 | Madison Park Funding XIII Ltd. Class AR2 Series 2014-13A, 3M USD LIBOR + 0.950% | 1.084% | 4/19/30 | 33,833 | 33,861 | |
3,6,7 | Madison Park Funding XXX Ltd. Class A Series 2018-30A, 3M USD LIBOR + 0.750% | 0.876% | 4/15/29 | 17,325 | 17,322 | |
3,6,7 | Magnetite VII Ltd. Class A1R2 Series 2012-7A, 3M USD LIBOR + 0.800% | 0.926% | 1/15/28 | 31,343 | 31,338 | |
3,6 | MAPS Ltd. Class A Series 2019-1A | 4.458% | 3/15/44 | 5,682 | 5,742 | |
3,6,7 | Master Credit Card Trust II Class A Series 2018-1A, 1M USD LIBOR + 0.490% | 0.574% | 7/21/24 | 36,965 | 37,104 | |
3,6 | Mercury Financial Credit Card Master Trust Class A Series 2021-1A | 1.540% | 3/20/26 | 36,145 | 36,191 | |
3,6,7 | Milos CLO Ltd. Class AR Series 2017-1A, 3M USD LIBOR + 1.070% | 1.204% | 10/20/30 | 33,000 | 33,027 | |
3,6 | MMAF Equipment Finance LLC Class A3 Series 2019-B | 2.010% | 12/12/24 | 26,615 | 27,021 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6,7 | Oaktree CLO Ltd. Class A1 Series 2021-1A, 3M USD LIBOR + 1.160% | 1.289% | 7/15/34 | 17,625 | 17,638 | |
3,6,7 | Octagon 54 Ltd. Class A1 Series 2021-1A, 3M USD LIBOR + 1.120% | 1.253% | 7/15/34 | 20,650 | 20,604 | |
3,6,7 | Octagon Investment Partners 51 Ltd. Class A Series 2021-1A, 3M USD LIBOR + 1.150% | 1.261% | 7/20/34 | 29,500 | 29,483 | |
3,6,7 | OHA Credit Funding 3 Ltd. Class AR Series 2019-3A, 3M USD LIBOR + 1.140% | 1.288% | 7/2/35 | 29,660 | 29,643 | |
3,6 | OneMain Direct Auto Receivables Trust Class A Series 2018-1A | 3.430% | 12/16/24 | 5,261 | 5,271 | |
3,6 | OneMain Financial Issuance Trust Class A Series 2019-1A | 3.480% | 2/14/31 | 13,542 | 13,553 | |
3,6,7 | Regatta VI Funding Ltd. Class AR2 Series 2016-1A, 3M USD LIBOR + 1.160% | 1.294% | 4/20/34 | 44,300 | 44,341 | |
3,6,7 | Rockland Park CLO Ltd. Class A Series 2021-1A, 3M USD LIBOR + 1.120% | 1.293% | 4/20/34 | 34,600 | 34,581 | |
3,6,7 | Rockland Park CLO Ltd. Class B Series 2021-1A, 3M USD LIBOR + 1.650% | 1.673% | 4/20/34 | 18,725 | 18,739 | |
3,6,7 | RR 16 Ltd. Class A1 Series 2021-14A, 3M USD LIBOR + 1.120% | 1.246% | 4/15/36 | 26,855 | 26,855 | |
3,6,7 | RR 16 Ltd. Class A1 Series 2021-16A, 3M USD LIBOR + 1.110% | 1.191% | 7/15/36 | 26,720 | 26,673 | |
3,6,7 | RR 16 Ltd. Class A2 Series 2021-16A, 3M USD LIBOR + 1.650% | 1.731% | 7/15/36 | 25,000 | 25,020 | |
3,6,7 | RR 18 Ltd. Class A2 Series 2021-18A, 3M USD LIBOR + 1.600% | 1.684% | 10/15/34 | 19,985 | 19,954 | |
3,6 | Santander Retail Auto Lease Trust Class A3 Series 2019-B | 2.300% | 1/20/23 | 6,676 | 6,705 | |
3,4 | Seasoned Credit Risk Transfer Trust Class MA Series 2019-3 | 3.500% | 10/25/58 | 35,293 | 36,987 | |
3,6,7 | SFAVE Commercial Mortgage Securities Trust Class A2B Series 2015-5AVE | 4.144% | 1/5/43 | 22,000 | 23,173 | |
3,6 | SoFi Consumer Loan Program Trust Class A Series 2020-1 | 2.020% | 1/25/29 | 4,366 | 4,389 | |
3,6,8 | SoFi Professional Loan Program Trust Class AFX Series 2021-B | 1.140% | 2/15/47 | 20,510 | 20,507 | |
3,6,7 | Sound Point Clo XX Ltd. Class A Series 2018-2A, 3M USD LIBOR + 1.100% | 1.225% | 7/26/31 | 22,430 | 22,415 | |
3,6,7 | Sound Point CLO XXXI Ltd. Class B Series 2021-3A, 3M USD LIBOR + 1.650% | 1.781% | 10/25/34 | 10,935 | 10,918 | |
3,6 | Start III Ltd. Class A Series 2019-2 | 3.536% | 11/15/44 | 458 | 454 | |
3,6 | START Ireland Class A Series 2019-1 | 4.089% | 3/15/44 | 11,741 | 11,798 | |
3,6,7 | Symphony CLO XIV Ltd. Class AR Series 2014-14A, 3M USD LIBOR + 0.950% | 1.083% | 7/14/26 | 17,173 | 17,171 | |
3,6 | Taco Bell Funding LLC Class A2I Series 2021-1A | 1.946% | 8/25/51 | 40,120 | 40,088 | |
3,6 | Taco Bell Funding LLC Class A2II Series 2021-1A | 2.294% | 8/25/51 | 36,720 | 36,569 | |
3,6,7 | Towd Point Mortgage Trust Class A1 Series 2016-3 | 2.250% | 4/25/56 | 210 | 211 | |
3,6 | Vantage Data Centers Issuer LLC Class A2 Series 2019-1A | 3.188% | 7/15/44 | 10,237 | 10,563 | |
3,6 | Vantage Data Centers LLC Class A2 Series 2020-1A | 1.645% | 9/15/45 | 32,830 | 32,731 | |
3,6,7 | Venture 43 CLO Ltd. Class A1 Series 2021-43A, 3M USD LIBOR + 1.240% | 1.381% | 4/15/34 | 10,505 | 10,547 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6,7 | Voya CLO Ltd. Class AAR2 Series 2014-1A, 3M USD LIBOR + 0.990% | 1.124% | �� 4/18/31 | 16,596 | 16,596 | |
3,6,7 | Wellfleet CLO X LTD Class A2R Series 2019-XA, 3M USD LIBOR + 1.750% | 1.924% | 7/20/32 | 20,700 | 20,648 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,751,701) | 1,756,715 | |||||
Corporate Bonds (42.2%) | ||||||
Communications (3.5%) | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 66,820 | 68,226 | ||
America Movil SAB de CV | 3.625% | 4/22/29 | 25,600 | 27,860 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 10,010 | 14,116 | ||
AT&T Inc. | 2.750% | 6/1/31 | 61,900 | 63,570 | ||
AT&T Inc. | 4.900% | 6/15/42 | 15,834 | 19,178 | ||
AT&T Inc. | 3.650% | 6/1/51 | 3,619 | 3,687 | ||
AT&T Inc. | 3.500% | 9/15/53 | 33,465 | 33,136 | ||
AT&T Inc. | 3.850% | 6/1/60 | 13,336 | 13,801 | ||
6 | British Telecommunications plc | 3.250% | 11/8/29 | 31,785 | 33,135 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.800% | 4/1/31 | 7,635 | 7,669 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.300% | 2/1/32 | 7,635 | 7,276 | ||
5 | Charter Communications Operating LLC / Charter Communications Operating Capital | 3.500% | 3/1/42 | 23,930 | 23,362 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.375% | 5/1/47 | 3,820 | 4,576 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.125% | 7/1/49 | 3,208 | 3,766 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.800% | 3/1/50 | 4,171 | 4,698 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.700% | 4/1/51 | 18,670 | 18,075 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.850% | 4/1/61 | 17,885 | 17,048 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.400% | 12/1/61 | 14,925 | 15,573 | ||
Comcast Corp. | 3.600% | 3/1/24 | 60,515 | 64,889 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,565 | 2,761 | ||
Comcast Corp. | 3.150% | 3/1/26 | 15,280 | 16,511 | ||
Comcast Corp. | 4.250% | 1/15/33 | 15,060 | 17,728 | ||
Comcast Corp. | 4.200% | 8/15/34 | 25,155 | 29,435 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,657 | 38,673 | ||
Comcast Corp. | 3.969% | 11/1/47 | 40,576 | 46,259 | ||
Comcast Corp. | 4.000% | 3/1/48 | 17,415 | 19,941 | ||
Comcast Corp. | 3.999% | 11/1/49 | 26,848 | 31,078 | ||
6 | Comcast Corp. | 2.887% | 11/1/51 | 60,183 | 57,707 | |
Comcast Corp. | 2.450% | 8/15/52 | 47,300 | 41,779 | ||
Comcast Corp. | 4.049% | 11/1/52 | 19,891 | 23,092 | ||
6 | Comcast Corp. | 2.937% | 11/1/56 | 144,696 | 137,331 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | Comcast Corp. | 2.987% | 11/1/63 | 109,670 | 102,813 | |
6 | Cox Communications Inc. | 2.600% | 6/15/31 | 12,960 | 13,117 | |
6 | Cox Communications Inc. | 4.800% | 2/1/35 | 58,525 | 70,086 | |
6 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,674 | 11,723 | |
6 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,168 | 24,421 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 15,084 | 16,715 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 4,406 | 4,927 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 4,970 | 5,393 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 22,143 | 25,706 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 17,367 | 18,165 | ||
NBC Universal Media LLC | 4.450% | 1/15/43 | 6,495 | 7,853 | ||
6 | NBN Co. Ltd. | 1.625% | 1/8/27 | 25,935 | 25,864 | |
6 | NBN Co. Ltd. | 2.500% | 1/8/32 | 42,125 | 41,994 | |
6 | NTT Finance Corp. | 1.162% | 4/3/26 | 76,700 | 76,231 | |
6 | NTT Finance Corp. | 2.065% | 4/3/31 | 10,125 | 10,182 | |
6 | Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 45,300 | 46,211 | |
Orange SA | 9.000% | 3/1/31 | 54,566 | 84,841 | ||
6 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 12,220 | �� 12,797 | |
6 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 46,649 | |
3,6 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | 4.738% | 9/20/29 | 40,950 | 43,745 | |
Telefonica Emisiones SA | 5.213% | 3/8/47 | 23,755 | 29,628 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 18,149 | 23,752 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,215 | 3,570 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 37,480 | 37,787 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 52,680 | 58,201 | ||
T-Mobile USA Inc. | 2.550% | 2/15/31 | 5,105 | 5,126 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 5,105 | 5,000 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 17,030 | 19,597 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 23,440 | 27,378 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 20,490 | 19,860 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 9,670 | 9,517 | ||
TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 3,720 | 4,427 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 22,990 | 26,446 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 67,074 | 83,283 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 23,900 | 29,194 | ||
Verizon Communications Inc. | 4.000% | 3/22/50 | 9,540 | 10,768 | ||
Verizon Communications Inc. | 4.672% | 3/15/55 | 6,414 | 8,051 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 39,918 | 37,108 | ||
ViacomCBS Inc. | 3.700% | 6/1/28 | 14,790 | 16,373 | ||
Vodafone Group plc | 5.000% | 5/30/38 | 1,890 | 2,366 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 47,080 | 61,000 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 84,065 | 84,875 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 5,980 | 6,250 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 11,000 | 15,522 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 52,100 | 57,458 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 14,600 | 13,995 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 28,240 | 31,561 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 16,160 | 18,693 | ||
2,342,155 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Consumer Discretionary (1.9%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 13,800 | 14,627 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 55,880 | 71,258 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 17,920 | 24,154 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 32,790 | 41,654 | ||
American Honda Finance Corp. | 2.300% | 9/9/26 | 17,135 | 17,939 | ||
American Honda Finance Corp. | 2.000% | 3/24/28 | 34,925 | 35,513 | ||
6 | BMW U.S. Capital LLC | 2.250% | 9/15/23 | 93,000 | 95,972 | |
6 | BMW U.S. Capital LLC | 0.800% | 4/1/24 | 25,960 | 26,063 | |
6 | BMW U.S. Capital LLC | 1.250% | 8/12/26 | 28,890 | 28,866 | |
6 | Daimler Finance North America LLC | 3.250% | 8/1/24 | 3,970 | 4,231 | |
3 | Duke University | 2.832% | 10/1/55 | 9,635 | 9,771 | |
Emory University | 2.143% | 9/1/30 | 39,256 | 39,956 | ||
6 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 745 | 767 | |
6 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 3,775 | 5,601 | |
6 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 31,000 | 42,411 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 58,730 | 62,761 | ||
George Washington University | 3.545% | 9/15/46 | 10,000 | 10,993 | ||
Georgetown University | 4.315% | 4/1/49 | 5,155 | 6,406 | ||
Georgetown University | 2.943% | 4/1/50 | 9,795 | 9,652 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 10,040 | 11,493 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 32,073 | 34,766 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 22,390 | 27,962 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,020 | 15,441 | ||
6 | Hyundai Capital America | 0.800% | 4/3/23 | 118,000 | 118,168 | |
6 | Hyundai Capital America | 0.875% | 6/14/24 | 30,300 | 30,145 | |
6 | Hyundai Capital America | 1.650% | 9/17/26 | 36,110 | 35,788 | |
3 | Johns Hopkins University | 4.083% | 7/1/53 | 7,145 | 9,121 | |
3 | Johns Hopkins University | 2.813% | 1/1/60 | 12,420 | 12,598 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 115,000 | 124,455 | ||
Marriott International Inc. | 2.300% | 1/15/22 | 44,000 | 44,156 | ||
McDonald's Corp. | 3.250% | 6/10/24 | 4,400 | 4,700 | ||
McDonald's Corp. | 4.875% | 12/9/45 | 22,775 | 29,099 | ||
McDonald's Corp. | 3.625% | 9/1/49 | 28,770 | 31,412 | ||
3 | Northeastern University | 2.894% | 10/1/50 | 8,570 | 8,642 | |
Starbucks Corp. | 4.500% | 11/15/48 | 49,962 | 61,689 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 7,185 | 7,481 | ||
3 | University of Chicago | 2.761% | 4/1/45 | 9,540 | 9,680 | |
VF Corp. | 2.800% | 4/23/27 | 23,720 | 25,187 | ||
VF Corp. | 2.950% | 4/23/30 | 54,225 | 57,046 | ||
1,247,624 | ||||||
Consumer Staples (1.7%) | ||||||
Altria Group Inc. | 5.800% | 2/14/39 | 25,475 | 31,350 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 10,105 | 10,837 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 22,625 | 22,036 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 15,460 | 18,689 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 83,980 | 104,293 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,080 | 20,525 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 34,425 | 44,663 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 60,340 | 65,007 | ||
6 | BAT International Finance plc | 3.950% | 6/15/25 | 15,000 | 16,301 | |
6 | Cargill Inc. | 2.125% | 4/23/30 | 10,230 | 10,304 | |
6 | Cargill Inc. | 4.760% | 11/23/45 | 57,879 | 76,015 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,780 | 24,149 | |
6 | Coca-Cola Europacific Partners plc | 0.800% | 5/3/24 | 53,765 | 53,567 | |
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,685 | 8,637 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 12,255 | 11,940 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 10,375 | 13,186 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 4,690 | 5,097 | ||
6 | Danone SA | 2.589% | 11/2/23 | 10,000 | 10,384 | |
6 | Danone SA | 2.947% | 11/2/26 | 68,785 | 73,325 | |
Diageo Capital plc | 2.625% | 4/29/23 | 42,580 | 43,869 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,420 | 20,011 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,315 | 11,247 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 3,585 | 3,562 | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 17,245 | 17,516 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,280 | 12,746 | ||
Estee Lauder Cos. Inc. | 2.600% | 4/15/30 | 9,875 | 10,349 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 11,685 | 11,740 | ||
6 | Imperial Brands Finance plc | 3.750% | 7/21/22 | 58,995 | 60,158 | |
Kroger Co. | 3.850% | 8/1/23 | 5,055 | 5,327 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 6,060 | 6,200 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 57,600 | 61,586 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 72,545 | 76,922 | ||
PepsiCo Inc. | 4.000% | 3/5/42 | 15,755 | 18,755 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 45,740 | 50,541 | ||
PepsiCo Inc. | 3.875% | 3/19/60 | 17,565 | 21,331 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 11,665 | 13,650 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 22,785 | 24,702 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 5,835 | 7,183 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 15,000 | 17,183 | ||
6 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 21,075 | 23,069 | |
1,137,952 | ||||||
Energy (2.2%) | ||||||
6 | BG Energy Capital plc | 4.000% | 10/15/21 | 17,070 | 17,095 | |
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 16,205 | 15,760 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 17,760 | 16,378 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 32,550 | 30,916 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 44,330 | 42,432 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 15,585 | 15,505 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 8,000 | 8,194 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 13,130 | 14,048 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 38,000 | 40,790 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 41,710 | 45,182 | ||
Chevron Corp. | 3.191% | 6/24/23 | 44,600 | 46,487 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 30,289 | 32,658 | ||
ConocoPhillips | 7.000% | 3/30/29 | 11,500 | 15,103 | ||
ConocoPhillips Co. | 4.950% | 3/15/26 | 12,710 | 14,611 | ||
6 | Eastern Gas Transmission & Storage Inc. | 3.000% | 11/15/29 | 19,580 | 20,590 | |
6 | Eastern Gas Transmission & Storage Inc. | 4.800% | 11/1/43 | 14,190 | 17,416 | |
6 | Eastern Gas Transmission & Storage Inc. | 4.600% | 12/15/44 | 7,003 | 8,347 | |
Energy Transfer LP | 5.350% | 5/15/45 | 3,410 | 3,980 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 5,600 | 6,545 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 20,601 | 24,565 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 5,000 | 6,128 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 23,475 | 26,596 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,445 | 5,715 | ||
Equinor ASA | 2.750% | 11/10/21 | 31,091 | 31,170 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Equinor ASA | 2.450% | 1/17/23 | 10,840 | 11,135 | ||
Equinor ASA | 2.650% | 1/15/24 | 10,105 | 10,569 | ||
Equinor ASA | 3.700% | 3/1/24 | 20,035 | 21,506 | ||
Equinor ASA | 3.250% | 11/10/24 | 17,460 | 18,765 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,965 | 5,272 | ||
Equinor ASA | 3.125% | 4/6/30 | 82,270 | 89,424 | ||
Equinor ASA | 2.375% | 5/22/30 | 15,795 | 16,251 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 10,710 | 11,033 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 7,330 | 7,910 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 35,095 | 36,860 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 24,070 | 25,070 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 36,910 | 38,659 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 10,845 | 12,721 | ||
6 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 50,945 | 50,108 | |
6 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 38,947 | 38,934 | |
6 | Qatar Petroleum | 2.250% | 7/12/31 | 32,240 | 31,893 | |
6 | Qatar Petroleum | 3.125% | 7/12/41 | 23,670 | 23,690 | |
6 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 27,885 | 30,042 | |
6 | Schlumberger Holdings Corp. | 4.000% | 12/21/25 | 21,010 | 23,141 | |
6 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 25,724 | 28,406 | |
6 | Schlumberger Investment SA | 2.400% | 8/1/22 | 20,765 | 21,023 | |
Shell International Finance BV | 3.250% | 5/11/25 | 28,680 | 30,990 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 40,575 | 47,783 | ||
Shell International Finance BV | 5.500% | �� 3/25/40 | 10,795 | 14,899 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 95,725 | 117,588 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 13,000 | 16,928 | ||
Texaco Capital Inc. | 8.625% | 4/1/32 | 25,000 | 38,459 | ||
Total Capital International SA | 2.700% | 1/25/23 | 32,714 | 33,730 | ||
Total Capital International SA | 3.750% | 4/10/24 | 50,000 | 53,879 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 58,060 | 66,289 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 14,595 | 16,563 | ||
1,495,731 | ||||||
Financials (16.2%) | ||||||
6 | AIA Group Ltd. | 3.600% | 4/9/29 | 49,000 | 53,681 | |
6 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,795 | 13,854 | |
American Express Credit Corp. | 2.700% | 3/3/22 | 83,055 | 83,732 | ||
American International Group Inc. | 3.750% | 7/10/25 | 9,640 | 10,497 | ||
American International Group Inc. | 4.250% | 3/15/29 | 33,365 | 38,195 | ||
American International Group Inc. | 4.700% | 7/10/35 | 2,550 | 3,106 | ||
American International Group Inc. | 6.250% | 5/1/36 | 8,338 | 11,618 | ||
American International Group Inc. | 4.500% | 7/16/44 | 12,839 | 15,676 | ||
American International Group Inc. | 4.800% | 7/10/45 | 7,655 | 9,708 | ||
American International Group Inc. | 4.750% | 4/1/48 | 4,455 | 5,692 | ||
American International Group Inc. | 4.375% | 6/30/50 | 10,205 | 12,561 | ||
American International Group Inc. | 4.375% | 1/15/55 | 5,100 | 6,294 | ||
6 | Athene Global Funding | 1.000% | 4/16/24 | 23,855 | 23,938 | |
6 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 23,805 | 23,099 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,600 | 29,612 | ||
Banco Santander SA | 3.848% | 4/12/23 | 17,000 | 17,848 | ||
Banco Santander SA | 1.849% | 3/25/26 | 48,600 | 49,209 | ||
Banco Santander SA | 2.749% | 12/3/30 | 16,800 | 16,687 | ||
Banco Santander SA | 2.958% | 3/25/31 | 9,800 | 10,071 | ||
Bank of America Corp. | 3.300% | 1/11/23 | 18,875 | 19,588 | ||
Bank of America Corp. | 4.125% | 1/22/24 | 7,500 | 8,108 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Bank of America Corp. | 4.000% | 1/22/25 | 26,225 | 28,523 | ||
Bank of America Corp. | 3.559% | 4/23/27 | 54,370 | 59,142 | ||
Bank of America Corp. | 3.593% | 7/21/28 | 37,995 | 41,648 | ||
Bank of America Corp. | 3.419% | 12/20/28 | 48,603 | 52,719 | ||
Bank of America Corp. | 4.271% | 7/23/29 | 72,640 | 82,367 | ||
Bank of America Corp. | 3.974% | 2/7/30 | 69,430 | 77,820 | ||
Bank of America Corp. | 3.194% | 7/23/30 | 33,250 | 35,432 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 99,085 | 100,270 | ||
Bank of America Corp. | 2.687% | 4/22/32 | 65,125 | 66,481 | ||
Bank of America Corp. | 6.110% | 1/29/37 | 30,000 | 40,452 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 8,770 | 12,532 | ||
Bank of America Corp. | 3.311% | 4/22/42 | 30,000 | 31,590 | ||
Bank of America Corp. | 5.000% | 1/21/44 | 24,180 | 31,624 | ||
Bank of America Corp. | 3.946% | 1/23/49 | 5,290 | 6,143 | ||
Bank of America Corp. | 4.330% | 3/15/50 | 59,475 | 72,843 | ||
Bank of America Corp. | 2.972% | 7/21/52 | 29,030 | 28,379 | ||
6 | Bank of Montreal | 2.500% | 1/11/22 | 122,300 | 123,064 | |
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 32,698 | 33,747 | ||
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 22,710 | 24,247 | ||
7 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 1.179% | 10/30/23 | 43,060 | 43,511 | |
Bank of Nova Scotia | 2.700% | 8/3/26 | 60,225 | 63,840 | ||
6 | Banque Federative du Credit Mutuel SA | 1.604% | 10/4/26 | 33,875 | 33,938 | |
Barclays plc | 3.932% | 5/7/25 | 52,770 | 56,618 | ||
Barclays plc | 2.667% | 3/10/32 | 52,470 | 52,567 | ||
7 | Barclays plc, 3M USD LIBOR + 1.380% | 1.505% | 5/16/24 | 36,710 | 37,331 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 23,645 | 25,646 | ||
6 | BNP Paribas SA | 2.950% | 5/23/22 | 4,365 | 4,441 | |
BNP Paribas SA | 3.250% | 3/3/23 | 4,190 | 4,366 | ||
6 | BNP Paribas SA | 3.800% | 1/10/24 | 56,070 | 59,738 | |
6 | BNP Paribas SA | 3.375% | 1/9/25 | 61,070 | 65,120 | |
6 | BNP Paribas SA | 2.819% | 11/19/25 | 44,480 | 46,588 | |
6 | BNP Paribas SA | 1.323% | 1/13/27 | 20,420 | 20,096 | |
6 | BNP Paribas SA | 3.500% | 11/16/27 | 74,220 | 80,670 | |
6 | BNP Paribas SA | 2.159% | 9/15/29 | 30,900 | 30,653 | |
6 | BNP Paribas SA | 2.871% | 4/19/32 | 23,320 | 23,824 | |
6 | BPCE SA | 5.700% | 10/22/23 | 10,670 | 11,699 | |
BPCE SA | 4.000% | 4/15/24 | 25,885 | 28,027 | ||
6 | BPCE SA | 5.150% | 7/21/24 | 37,185 | 41,109 | |
6 | BPCE SA | 3.500% | 10/23/27 | 64,900 | 70,182 | |
6 | BPCE SA | 2.700% | 10/1/29 | 48,550 | 50,362 | |
6 | Brighthouse Financial Global Funding | 1.000% | 4/12/24 | 4,600 | 4,623 | |
6 | Brighthouse Financial Global Funding | 1.550% | 5/24/26 | 37,050 | 37,119 | |
6 | Brighthouse Financial Global Funding | 2.000% | 6/28/28 | 27,235 | 27,087 | |
6 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 35,110 | 35,143 | |
7 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 0.838% | 6/16/22 | 57,790 | 58,066 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 60,945 | 65,376 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 9,055 | 9,670 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 58,465 | 58,741 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,790 | 21,577 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 45,325 | 46,267 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 20,340 | 21,767 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 12,280 | 13,388 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 24,795 | 31,173 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 52,610 | 52,811 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Citigroup Inc. | 1.462% | 6/9/27 | 105,990 | 105,428 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 45,085 | 50,353 | ||
Citigroup Inc. | 3.520% | 10/27/28 | 72,260 | 78,602 | ||
Citigroup Inc. | 6.625% | 6/15/32 | 9,000 | 12,105 | ||
Citigroup Inc. | 3.878% | 1/24/39 | 37,225 | 42,565 | ||
Citigroup Inc. | 5.875% | 1/30/42 | 7,460 | 10,649 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 12,142 | 16,181 | ||
Comerica Bank | 2.500% | 7/23/24 | 26,085 | 27,339 | ||
6 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 79,335 | 79,017 | |
6 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 50,065 | 49,364 | |
6 | Credit Agricole SA | 3.750% | 4/24/23 | 31,690 | 33,304 | |
6 | Credit Agricole SA | 3.250% | 10/4/24 | 79,590 | 84,899 | |
Credit Suisse AG | 3.000% | 10/29/21 | 53,710 | 53,816 | ||
Credit Suisse AG | 3.625% | 9/9/24 | 3,955 | 4,266 | ||
6 | Credit Suisse Group AG | 3.574% | 1/9/23 | 40,835 | 41,169 | |
6 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,285 | 12,974 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 57,400 | 61,919 | ||
6 | Credit Suisse Group AG | 2.593% | 9/11/25 | 33,940 | 35,195 | |
6 | Credit Suisse Group AG | 1.305% | 2/2/27 | 35,345 | 34,579 | |
6 | Credit Suisse Group AG | 3.869% | 1/12/29 | 11,050 | 12,062 | |
6 | Credit Suisse Group AG | 3.091% | 5/14/32 | 32,865 | 33,689 | |
6,7 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 1.354% | 6/12/24 | 24,825 | 25,199 | |
6 | Danske Bank A/S | 5.000% | 1/12/22 | 20,770 | 21,020 | |
6 | Danske Bank A/S | 3.875% | 9/12/23 | 45,515 | 48,155 | |
6 | Danske Bank A/S | 5.375% | 1/12/24 | 57,035 | 62,594 | |
6 | Danske Bank A/S | 1.621% | 9/11/26 | 30,135 | 30,153 | |
6 | Danske Bank A/S | 1.549% | 9/10/27 | 55,390 | 55,044 | |
6 | DNB Bank ASA | 1.535% | 5/25/27 | 51,450 | 51,478 | |
6 | DNB Bank ASA | 1.605% | 3/30/28 | 45,295 | 45,121 | |
6 | DNB Boligkreditt A/S | 2.500% | 3/28/22 | 24,355 | 24,627 | |
6 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 15,285 | 15,365 | |
6 | Equitable Financial Life Global Funding | 1.300% | 7/12/26 | 26,910 | 26,675 | |
6 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 33,510 | 33,073 | |
6 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 30,265 | 30,082 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 9,850 | 10,358 | ||
Fifth Third Bank NA | 3.850% | 3/15/26 | 29,295 | 32,275 | ||
6 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,320 | 5,746 | |
6 | GA Global Funding Trust | 1.000% | 4/8/24 | 36,170 | 36,331 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 67,095 | 68,237 | ||
Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 65,405 | 65,521 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 7,715 | 8,041 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 16,660 | 17,845 | ||
Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 44,260 | 47,268 | ||
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 13,000 | 14,403 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 48,000 | 51,930 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 36,525 | 40,129 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 76,670 | 76,443 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 43,275 | 43,148 | ||
Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 14,525 | 15,980 | ||
Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 72,755 | 80,455 | ||
Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 54,990 | 62,210 | ||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 19,710 | 21,947 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 39,650 | 40,118 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 35,765 | 35,429 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,700 | 30,234 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 19,895 | 25,429 | ||
6 | Guardian Life Global Funding | 1.250% | 5/13/26 | 7,235 | 7,209 | |
HSBC Holdings plc | 3.262% | 3/13/23 | 25,625 | 25,947 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 56,130 | 59,016 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 19,405 | 19,368 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 7,915 | 8,698 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 27,800 | 27,630 | ||
HSBC Holdings plc | 4.041% | 3/13/28 | 27,520 | 30,452 | ||
HSBC Holdings plc | 4.583% | 6/19/29 | 40,190 | 45,698 | ||
HSBC Holdings plc | 2.206% | 8/17/29 | 32,365 | 32,128 | ||
HSBC Holdings plc | 2.357% | 8/18/31 | 62,305 | 61,550 | ||
HSBC Holdings plc | 7.625% | 5/17/32 | 15,800 | 22,135 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 54,790 | 55,538 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 22,000 | 30,322 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 43,680 | 62,689 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 5,795 | 7,533 | ||
7 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 1.125% | 5/18/24 | 26,495 | 26,790 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 18,355 | 19,696 | ||
ING Groep NV | 3.150% | 3/29/22 | 13,170 | 13,359 | ||
ING Groep NV | 3.950% | 3/29/27 | 33,605 | 37,652 | ||
ING Groep NV | 1.726% | 4/1/27 | 33,125 | 33,319 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 6,100 | 5,838 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 19,095 | 18,842 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 27,695 | 26,178 | ||
6 | JAB Holdings BV | 2.200% | 11/23/30 | 10,375 | 10,167 | |
6 | JAB Holdings BV | 3.750% | 5/28/51 | 20,355 | 21,898 | |
6 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 48,955 | 51,811 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 20,345 | 21,276 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 11,200 | 12,041 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 11,560 | 12,633 | ||
JPMorgan Chase & Co. | 7.750% | 7/15/25 | 25,000 | 30,949 | ||
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 26,730 | 28,912 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 75,000 | 80,317 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 24,400 | 27,421 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 9,275 | 10,526 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 14,530 | 14,562 | ||
JPMorgan Chase & Co. | 4.452% | 12/5/29 | 40,000 | 46,016 | ||
JPMorgan Chase & Co. | 3.702% | 5/6/30 | 18,940 | 20,917 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 37,965 | 36,651 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 22,175 | 22,520 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/41 | 38,075 | 39,405 | ||
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 70,000 | 97,129 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 16,235 | 22,300 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 19,440 | 20,189 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 13,500 | 18,690 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 12,000 | 15,700 | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 160,000 | 186,097 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 38,610 | 39,390 | ||
6 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 2,608 | 2,764 | |
6 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 9,217 | 10,713 | |
6 | Liberty Mutual Insurance Co. | 8.500% | 5/15/25 | 21,665 | 26,525 | |
Loews Corp. | 2.625% | 5/15/23 | 14,100 | 14,533 | ||
6 | LSEGA Financing plc | 1.375% | 4/6/26 | 97,795 | 97,410 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | LSEGA Financing plc | 2.000% | 4/6/28 | 63,125 | 63,497 | |
6 | LSEGA Financing plc | 2.500% | 4/6/31 | 38,890 | 39,505 | |
6 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 50,725 | 53,271 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 20,085 | 21,338 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 22,125 | 25,693 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,400 | 14,013 | ||
MetLife Inc. | 3.600% | 4/10/24 | 28,000 | 30,085 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5,300 | 6,295 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,500 | 22,961 | ||
6 | Metropolitan Life Global Funding I | 3.450% | 10/9/21 | 28,465 | 28,478 | |
6 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 14,005 | 14,180 | |
6 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 29,970 | 32,951 | |
6 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 43,250 | 46,517 | |
6 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 25,000 | 30,948 | |
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 64,285 | 65,481 | ||
Morgan Stanley | 3.750% | 2/25/23 | 23,000 | 24,059 | ||
Morgan Stanley | 3.875% | 4/29/24 | 22,050 | 23,790 | ||
Morgan Stanley | 0.790% | 5/30/25 | 51,000 | 50,855 | ||
Morgan Stanley | 2.720% | 7/22/25 | 51,520 | 53,964 | ||
Morgan Stanley | 4.000% | 7/23/25 | 20,805 | 22,929 | ||
Morgan Stanley | 3.125% | �� 7/27/26 | 36,950 | 39,768 | ||
Morgan Stanley | 4.350% | 9/8/26 | 15,000 | 16,915 | ||
Morgan Stanley | 3.625% | 1/20/27 | 31,000 | 34,168 | ||
Morgan Stanley | 3.772% | 1/24/29 | 56,830 | 62,916 | ||
Morgan Stanley | 2.699% | 1/22/31 | 72,345 | 74,795 | ||
Morgan Stanley | 7.250% | 4/1/32 | 51,100 | 74,175 | ||
Morgan Stanley | 2.239% | 7/21/32 | 52,315 | 51,425 | ||
Morgan Stanley | 4.300% | 1/27/45 | 24,705 | 30,125 | ||
6 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 75,600 | 75,884 | |
6 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 83,980 | 81,197 | |
6 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 55,019 | 55,712 | |
6 | Nationwide Building Society | 3.622% | 4/26/23 | 22,755 | 23,158 | |
6 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 47,630 | 54,429 | |
6 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 66,415 | 75,567 | |
NatWest Group plc | 1.642% | 6/14/27 | 30,570 | 30,550 | ||
6 | NatWest Markets plc | 0.800% | 8/12/24 | 23,725 | 23,668 | |
6 | NBK SPC Ltd. | 2.750% | 5/30/22 | 56,875 | 57,585 | |
6 | NBK SPC Ltd. | 1.625% | 9/15/27 | 67,250 | 66,426 | |
6 | New York Life Global Funding | 2.900% | 1/17/24 | 58,670 | 61,753 | |
6 | New York Life Insurance Co. | 5.875% | 5/15/33 | 44,785 | 58,779 | |
6 | New York Life Insurance Co. | 3.750% | 5/15/50 | 17,810 | 19,920 | |
6 | New York Life Insurance Co. | 4.450% | 5/15/69 | 14,535 | 18,275 | |
6 | Nordea Bank Abp | 1.500% | 9/30/26 | 65,000 | 64,855 | |
6 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,098 | 27,353 | |
6 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,060 | 9,861 | |
6 | Pacific Life Global Funding II | 1.375% | 4/14/26 | 51,785 | 51,926 | |
PNC Bank NA | 3.300% | 10/30/24 | 14,645 | 15,770 | ||
PNC Bank NA | 2.950% | 2/23/25 | 34,775 | 36,988 | ||
PNC Bank NA | 3.100% | 10/25/27 | 42,485 | 46,396 | ||
PNC Bank NA | 3.250% | 1/22/28 | 60,960 | 66,785 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 40,150 | 43,268 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 52,980 | 55,102 | ||
6 | Principal Life Global Funding II | 2.500% | 9/16/29 | 45,000 | 47,056 | |
Prudential Financial Inc. | 3.000% | 3/10/40 | 8,200 | 8,413 | ||
Prudential plc | 3.125% | 4/14/30 | 21,325 | 22,993 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Royal Bank of Canada | 2.750% | 2/1/22 | 44,630 | 45,005 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 28,405 | 28,773 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 26,105 | 26,992 | ||
6 | Standard Chartered plc | 1.214% | 3/23/25 | 12,545 | 12,568 | |
State Street Corp. | 2.653% | 5/15/23 | 31,280 | 31,730 | ||
6 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 100,340 | 100,539 | |
6 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 65,775 | 65,520 | |
6 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 21,990 | 28,426 | |
6 | Teachers Insurance & Annuity Assn. of America | 4.270% | 5/15/47 | 42,865 | 51,864 | |
6 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 39,070 | 40,072 | |
6 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,135 | 40,718 | |
6 | Temasek Financial I Ltd. | 2.375% | 8/2/41 | 46,325 | 44,901 | |
6 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 40,775 | 37,851 | |
6 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 23,800 | 21,998 | |
6 | Toronto-Dominion Bank | 2.500% | 1/18/23 | 77,500 | 78,022 | |
Truist Bank | 2.625% | 1/15/22 | 22,740 | 22,849 | ||
Truist Bank | 3.300% | 5/15/26 | 11,955 | 13,029 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 60,000 | 61,558 | ||
Truist Financial Corp. | 3.700% | 6/5/25 | 48,000 | 52,530 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 33,005 | 33,050 | ||
U.S. Bancorp | 2.625% | 1/24/22 | 47,510 | 47,766 | ||
U.S. Bancorp | 3.700% | 1/30/24 | 39,005 | 41,704 | ||
U.S. Bancorp | 2.375% | 7/22/26 | 45,000 | 47,494 | ||
6 | UBS AG | 1.250% | 6/1/26 | 60,465 | 60,104 | |
6 | UBS Group AG | 2.650% | 2/1/22 | 46,000 | 46,358 | |
6 | UBS Group AG | 1.494% | 8/10/27 | 40,025 | 39,591 | |
6 | UBS Group AG | 3.126% | 8/13/30 | 18,240 | 19,382 | |
6 | UBS Group AG | 2.095% | 2/11/32 | 25,345 | 24,668 | |
6 | UniCredit SpA | 1.982% | 6/3/27 | 37,130 | 36,947 | |
6 | UniCredit SpA | 3.127% | 6/3/32 | 40,330 | 40,743 | |
6 | USAA Capital Corp. | 2.125% | 5/1/30 | 3,735 | 3,756 | |
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 17,921 | ||
Wells Fargo & Co. | 3.450% | 2/13/23 | 39,400 | 41,032 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 34,444 | 37,337 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 30,455 | 32,549 | ||
Wells Fargo & Co. | 3.000% | 2/19/25 | 28,660 | 30,387 | ||
Wells Fargo & Co. | 0.805% | 5/19/25 | 24,935 | 25,002 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 27,170 | 29,578 | ||
Wells Fargo & Co. | 3.000% | 4/22/26 | 36,830 | 39,527 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 45,700 | 50,912 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 6,435 | 6,893 | ||
Wells Fargo & Co. | 3.196% | 6/17/27 | 57,145 | 61,362 | ||
Wells Fargo & Co. | 2.879% | 10/30/30 | 28,045 | 29,332 | ||
Wells Fargo & Co. | 2.572% | 2/11/31 | 98,745 | 100,704 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 28,551 | 38,860 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 20,735 | 25,258 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 16,060 | 20,218 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 36,200 | 43,099 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 38,790 | 48,523 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 6,870 | 7,179 | ||
10,826,465 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Health Care (4.8%) | ||||||
AbbVie Inc. | 3.450% | 3/15/22 | 23,785 | 23,999 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 12,825 | 13,932 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 19,895 | 22,854 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 14,075 | 17,671 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 35,585 | 42,796 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 22,440 | 26,569 | ||
Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 17,670 | 17,844 | ||
Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 19,220 | 19,840 | ||
Aetna Inc. | 2.800% | 6/15/23 | 32,080 | 33,222 | ||
6 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,645 | 5,967 | |
6 | Alcon Finance Corp. | 2.600% | 5/27/30 | 7,035 | 7,197 | |
6 | Alcon Finance Corp. | 3.800% | 9/23/49 | 32,825 | 36,419 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 27,355 | 27,395 | ||
Amgen Inc. | 3.625% | 5/22/24 | 38,185 | 40,897 | ||
Amgen Inc. | 2.300% | 2/25/31 | 67,075 | 67,240 | ||
Amgen Inc. | 3.150% | 2/21/40 | 44,355 | 45,214 | ||
Amgen Inc. | 5.150% | 11/15/41 | 6,373 | 8,151 | ||
Amgen Inc. | 2.770% | 9/1/53 | 8,878 | 8,223 | ||
Anthem Inc. | 3.650% | 12/1/27 | 13,150 | 14,595 | ||
Anthem Inc. | 4.101% | 3/1/28 | 42,145 | 47,658 | ||
Anthem Inc. | 2.550% | 3/15/31 | 38,225 | 39,287 | ||
Anthem Inc. | 4.650% | 8/15/44 | 3,181 | 3,922 | ||
Ascension Health | 2.532% | 11/15/29 | 48,025 | 50,337 | ||
3 | Ascension Health | 4.847% | 11/15/53 | 1,950 | 2,772 | |
AstraZeneca plc | 3.375% | 11/16/25 | 27,755 | 30,267 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 33,295 | 38,027 | ||
6 | Bayer U.S. Finance II LLC | 4.250% | 12/15/25 | 23,781 | 26,270 | |
6 | Bayer U.S. Finance II LLC | 5.500% | 7/30/35 | 15,000 | 18,621 | |
6 | Bayer U.S. Finance LLC | 3.000% | 10/8/21 | 38,730 | 38,749 | |
6 | Bayer U.S. Finance LLC | 3.375% | 10/8/24 | 26,960 | 28,725 | |
3 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,675 | 19,305 | |
Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,525 | 11,447 | ||
Boston Scientific Corp. | 4.000% | 3/1/29 | 6,515 | 7,384 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,416 | 4,553 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 7,303 | 7,580 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 29,395 | 32,577 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 16,775 | 20,038 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 7,153 | 9,177 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 48,907 | 60,683 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 17,765 | 16,749 | ||
Children's Hospital Corp. | 2.585% | 2/1/50 | 5,670 | 5,418 | ||
Cigna Corp. | 3.250% | 4/15/25 | 30,765 | 32,889 | ||
Cigna Corp. | 4.375% | 10/15/28 | 18,115 | 20,935 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 33,780 | 34,675 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 11,695 | 12,422 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 28,080 | 29,540 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 40,950 | 44,001 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 16,260 | 16,744 | ||
3 | CommonSpirit Health | 4.350% | 11/1/42 | 22,185 | 25,407 | |
CommonSpirit Health | 4.187% | 10/1/49 | 34,445 | 39,287 | ||
Cottage Health Obligated Group | 3.304% | 11/1/49 | 10,000 | 10,627 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 20,000 | 20,439 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 1,905 | 2,172 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 18,205 | 22,047 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
CVS Health Corp. | 4.125% | 4/1/40 | 18,000 | 20,667 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 25,595 | 32,968 | ||
3,6 | CVS Pass-Through Trust | 5.926% | 1/10/34 | 11,735 | 14,129 | |
Dignity Health | 3.812% | 11/1/24 | 18,560 | 19,924 | ||
6 | EMD Finance LLC | 2.950% | 3/19/22 | 19,640 | 19,795 | |
Gilead Sciences Inc. | 2.500% | 9/1/23 | 26,390 | 27,368 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 21,420 | 22,890 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 28,575 | 30,747 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 26,007 | 31,567 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 20,185 | 19,126 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 25,750 | 26,682 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 16,055 | 21,288 | ||
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 51,595 | 52,398 | ||
Indiana University Health Inc. Obligated Group | 2.852% | 11/1/51 | 12,815 | 13,022 | ||
Johnson & Johnson | 6.730% | 11/15/23 | 15,000 | 16,984 | ||
Johnson & Johnson | 2.450% | 3/1/26 | 78,000 | 82,668 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 15,190 | 16,512 | ||
Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 39,420 | 40,030 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 12,710 | 16,879 | ||
Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 38,650 | 39,475 | ||
Mass General Brigham Inc. | 3.192% | 7/1/49 | ��� 32,645 | 34,354 | ||
Mass General Brigham Inc. | 3.342% | 7/1/60 | 31,285 | 33,394 | ||
Mayo Clinic | 4.128% | 11/15/52 | 11,465 | 14,399 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 9,849 | 10,687 | ||
Memorial Sloan-Kettering Cancer Center | 5.000% | 7/1/42 | 11,505 | 15,483 | ||
Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 20,260 | 20,443 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 7,820 | 9,772 | ||
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 5,940 | 7,532 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 38,000 | 40,220 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 58,390 | 64,655 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 28,405 | 34,546 | ||
Mercy Health | 4.302% | 7/1/28 | 19,830 | 22,693 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 13,425 | 14,396 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,485 | 27,462 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 28,400 | 31,055 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 52,500 | 58,352 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 9,100 | 8,974 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 52,715 | 63,004 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 11,300 | 11,183 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 12,495 | 12,309 | ||
Piedmont Healthcare Inc. | 2.044% | 1/1/32 | 8,750 | 8,594 | ||
Piedmont Healthcare Inc. | 2.719% | 1/1/42 | 8,750 | 8,569 | ||
Piedmont Healthcare Inc. | 2.864% | 1/1/52 | 11,625 | 11,289 | ||
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 14,735 | 15,631 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 25,655 | 26,706 | ||
3 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 12,030 | 14,150 | |
5 | Providence St. Joseph Health Obligated Group | 2.700% | 10/1/51 | 34,000 | 32,490 | |
6 | Roche Holdings Inc. | 2.375% | 1/28/27 | 61,570 | 64,394 | |
Royalty Pharma plc | 3.300% | 9/2/40 | 15,135 | 15,127 | ||
Royalty Pharma plc | 3.550% | 9/2/50 | 48,265 | 47,473 | ||
Rush Obligated Group | 3.922% | 11/15/29 | 12,000 | 13,565 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
SSM Health Care Corp. | 3.823% | 6/1/27 | 41,615 | 46,517 | ||
Sutter Health | 2.294% | 8/15/30 | 19,905 | 20,013 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,825 | 30,352 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,290 | 18,519 | ||
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 8,960 | 8,939 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 19,320 | 18,923 | ||
Toledo Hospital | 5.750% | 11/15/38 | 17,965 | 21,597 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,346 | 2,358 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 12,000 | 12,447 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 14,220 | 15,438 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,260 | 38,794 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 11,275 | 11,309 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,285 | 11,577 | ||
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 20,000 | 29,928 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 12,760 | 12,809 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 36,010 | 45,137 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 31,000 | 37,473 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 12,296 | 16,106 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,345 | 10,082 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 12,545 | 15,414 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,890 | 6,194 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 40,900 | 46,477 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 36,364 | 36,443 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 4,060 | 4,793 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 12,840 | 13,147 | ||
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 21,103 | ||
3,220,665 | ||||||
Industrials (2.0%) | ||||||
6 | Ashtead Capital Inc. | 2.450% | 8/12/31 | 17,920 | 17,604 | |
6 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 26,068 | 28,147 | |
6 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 29,838 | 32,615 | |
6 | BAE Systems plc | 3.400% | 4/15/30 | 9,390 | 10,127 | |
Boeing Co. | 1.433% | 2/4/24 | 34,165 | 34,214 | ||
Boeing Co. | 2.700% | 2/1/27 | 16,380 | 16,969 | ||
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 7,235 | 7,275 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 3,748 | 5,052 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 5,750 | 7,240 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 21,220 | 25,451 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 26,898 | 32,271 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,225 | 3,852 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 16,975 | 17,521 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 25,925 | 23,906 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,103 | 15,615 | ||
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 39,500 | 40,779 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 19,475 | 20,801 | ||
Caterpillar Inc. | 5.200% | 5/27/41 | 19,770 | 27,028 | ||
CSX Corp. | 4.300% | 3/1/48 | 16,635 | 20,111 | ||
CSX Corp. | 3.350% | 9/15/49 | 7,745 | 8,155 | ||
Eaton Corp. | 6.500% | 6/1/25 | 10,000 | 11,671 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 42,775 | 45,518 | ||
John Deere Capital Corp. | 2.800% | 1/27/23 | 8,000 | 8,262 | ||
John Deere Capital Corp. | 3.350% | 6/12/24 | 9,000 | 9,665 | ||
John Deere Capital Corp. | 3.450% | 3/13/25 | 43,560 | 47,308 | ||
Kansas City Southern | 4.950% | 8/15/45 | 13,845 | 17,503 | ||
Lockheed Martin Corp. | 2.900% | 3/1/25 | 26,840 | 28,561 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 2,545 | 2,528 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 6,715 | 8,310 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 7,501 | 8,678 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 12,041 | 15,802 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 10,925 | 10,829 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 4,609 | 5,648 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,155 | 8,371 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 12,690 | 13,282 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,065 | 9,749 | ||
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 14,290 | 17,227 | ||
6 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 15,560 | 16,579 | |
6 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 22,660 | 23,776 | |
6 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 53,520 | 58,024 | |
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 32,800 | 37,340 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,050 | 10,958 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 34,249 | 42,121 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,891 | 6,544 | ||
6 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 60,840 | 61,911 | |
6 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 62,200 | 65,948 | |
6 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 21,840 | 21,811 | |
6 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 38,245 | 38,371 | |
6 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 40,495 | 51,150 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,040 | 31,896 | ||
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 40,240 | 40,906 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 44,340 | 45,384 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 27,750 | 30,965 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 14,765 | 15,503 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 29,538 | 34,092 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 32,310 | 37,079 | ||
Union Pacific Corp. | 2.973% | 9/16/62 | 7,030 | 6,794 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 16,165 | 18,072 | ||
3 | United Airlines Class B Series 2018-1 Pass Through Trust | 4.600% | 9/1/27 | 5,716 | 5,832 | |
1,364,701 | ||||||
Materials (0.1%) | ||||||
6 | Air Liquide Finance SA | 2.250% | 9/27/23 | 21,000 | 21,681 | |
6 | Air Liquide Finance SA | 2.500% | 9/27/26 | 16,815 | 17,773 | |
International Paper Co. | 4.350% | 8/15/48 | 23,159 | 28,341 | ||
67,795 | ||||||
Real Estate (0.8%) | ||||||
American Tower Corp. | 4.700% | 3/15/22 | 2,905 | 2,956 | ||
American Tower Corp. | 5.000% | 2/15/24 | 8,641 | 9,493 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,300 | 8,156 | ||
American Tower Corp. | 3.800% | 8/15/29 | 32,261 | 35,723 | ||
Boston Properties LP | 3.125% | 9/1/23 | 13,520 | 14,097 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,780 | 1,891 | ||
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,385 | 11,403 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,575 | 9,438 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 76,475 | 73,737 | ||
Equinix Inc. | 3.000% | 7/15/50 | 35,915 | 34,345 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 30,600 | 32,263 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 19,405 | 21,053 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | SBA Tower Trust | 3.448% | 3/15/48 | 28,730 | 29,122 | |
6 | SBA Tower Trust | 2.836% | 1/15/50 | 24,160 | 25,055 | |
6 | SBA Tower Trust | 1.884% | 7/15/50 | 9,320 | 9,459 | |
6 | SBA Tower Trust | 1.631% | 5/15/51 | 24,900 | 24,847 | |
6 | Scentre Group Trust 1 / Scentre Group Trust 2 | 4.375% | 5/28/30 | 28,670 | 33,147 | |
Simon Property Group LP | 3.750% | 2/1/24 | 6,645 | 7,078 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 20,470 | 21,906 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 38,350 | 39,155 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 8,845 | 9,558 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 25,855 | 26,169 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 19,565 | 20,321 | ||
500,372 | ||||||
Technology (3.8%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,750 | 23,979 | ||
Apple Inc. | 3.450% | 5/6/24 | 31,140 | 33,432 | ||
Apple Inc. | 2.850% | 5/11/24 | 45,635 | 48,153 | ||
Apple Inc. | 2.750% | 1/13/25 | 21,615 | 22,897 | ||
Apple Inc. | 3.250% | 2/23/26 | 38,220 | 41,591 | ||
Apple Inc. | 2.450% | 8/4/26 | 55,182 | 58,416 | ||
Apple Inc. | 3.350% | 2/9/27 | 56,435 | 62,198 | ||
Apple Inc. | 3.200% | 5/11/27 | 39,750 | 43,592 | ||
Apple Inc. | 2.900% | 9/12/27 | 83,420 | 90,418 | ||
Apple Inc. | 3.850% | 5/4/43 | 15,275 | 17,835 | ||
Apple Inc. | 4.450% | 5/6/44 | 4,035 | 5,119 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,510 | 42,621 | ||
Apple Inc. | 2.650% | 5/11/50 | 26,520 | 25,531 | ||
Apple Inc. | 2.550% | 8/20/60 | 50,285 | 45,866 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 10,955 | �� 12,042 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 3,395 | 3,779 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 38,911 | 43,341 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 4,670 | 5,179 | ||
6 | Broadcom Inc. | 3.500% | 2/15/41 | 26,355 | 26,143 | |
6 | Broadcom Inc. | 3.750% | 2/15/51 | 12,880 | 12,918 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 16,986 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 8,650 | 8,537 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 21,845 | 23,590 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 22,020 | 22,755 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,825 | 31,546 | ||
Intel Corp. | 4.100% | 5/19/46 | 47,755 | 56,043 | ||
Intel Corp. | 3.250% | 11/15/49 | 10,000 | 10,367 | ||
Intel Corp. | 3.050% | 8/12/51 | 60,730 | 60,764 | ||
Intel Corp. | 3.200% | 8/12/61 | 16,360 | 16,540 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 61,300 | 64,636 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 22,800 | 24,403 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 81,400 | 86,363 | ||
International Business Machines Corp. | 7.000% | 10/30/25 | 25,000 | 30,792 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 148,025 | 161,511 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 98,025 | 108,254 | ||
International Business Machines Corp. | 2.850% | 5/15/40 | 22,310 | 22,277 | ||
International Business Machines Corp. | 2.950% | 5/15/50 | 8,825 | 8,699 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 47,230 | 49,676 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 23,890 | 25,316 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Microsoft Corp. | 3.125% | 11/3/25 | 11,865 | 12,857 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 64,501 | 68,533 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 25,692 | 29,444 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 162,183 | 156,614 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 115,380 | 120,034 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 19,051 | 18,510 | ||
Oracle Corp. | 2.500% | 5/15/22 | 38,860 | 39,251 | ||
Oracle Corp. | 2.400% | 9/15/23 | 63,535 | 65,738 | ||
Oracle Corp. | 2.950% | 11/15/24 | 80,105 | 85,014 | ||
Oracle Corp. | 2.950% | 5/15/25 | 11,300 | 11,984 | ||
Oracle Corp. | 1.650% | 3/25/26 | 94,560 | 95,895 | ||
Oracle Corp. | 3.250% | 11/15/27 | 112,120 | 121,588 | ||
Oracle Corp. | 4.000% | 11/15/47 | 16,360 | 17,373 | ||
Oracle Corp. | 3.950% | 3/25/51 | 16,985 | 17,994 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,920 | 19,268 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,611 | 26,992 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 44,450 | 45,138 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,504 | 39,504 | ||
QUALCOMM Inc. | 3.250% | 5/20/50 | 15,990 | 17,111 | ||
2,502,947 | ||||||
Utilities (5.2%) | ||||||
AEP Texas Inc. | 4.150% | 5/1/49 | 4,750 | 5,469 | ||
AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 17,440 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 3,365 | 4,345 | ||
Alabama Power Co. | 4.100% | 1/15/42 | 5,595 | 6,334 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 20,255 | 22,919 | ||
Alabama Power Co. | 4.300% | 7/15/48 | 27,790 | 34,233 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 58,000 | 58,954 | ||
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,365 | 25,028 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,085 | 5,785 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 20,245 | 21,776 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,495 | 1,675 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 29,696 | 35,818 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 885 | 1,051 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 4,430 | 4,756 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 16,830 | 17,615 | ||
Baltimore Gas and Electric Co. | 2.800% | 8/15/22 | 26,250 | 26,642 | ||
Baltimore Gas and Electric Co. | 2.400% | 8/15/26 | 20,945 | 21,939 | ||
Baltimore Gas and Electric Co. | 2.900% | 6/15/50 | 9,820 | 9,724 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 32,052 | 44,370 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 865 | 1,177 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,725 | 13,976 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 32,020 | 38,754 | ||
6 | Boston Gas Co. | 3.150% | 8/1/27 | 8,010 | 8,525 | |
6 | Boston Gas Co. | 3.001% | 8/1/29 | 5,700 | 5,938 | |
6 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 63,125 | 71,821 | |
CenterPoint Energy Houston Electric LLC | 4.250% | 2/1/49 | 6,685 | 8,308 | ||
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 9,123 | 10,188 | ||
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 4,406 | 6,167 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 13,465 | 13,856 | ||
Commonwealth Edison Co. | 2.950% | 8/15/27 | 23,275 | 25,040 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,990 | 14,707 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,420 | 7,208 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,900 | 21,057 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,500 | 12,601 | ||
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 45,000 | 63,169 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 30,855 | 37,165 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,752 | 3,032 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,755 | 2,007 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 24,915 | 30,824 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 22,720 | 27,497 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 9,550 | 10,100 | ||
6 | Dominion Energy Inc. | 2.450% | 1/15/23 | 106,490 | 109,237 | |
Dominion Energy Inc. | 4.900% | 8/1/41 | 13,562 | 16,911 | ||
Dominion Energy Inc. | 4.600% | 3/15/49 | 13,855 | 17,383 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,832 | 6,647 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,446 | 1,858 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 23,085 | 32,463 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 9,627 | 13,120 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 6,830 | 8,457 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 25,065 | 36,062 | ||
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,000 | 6,282 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 13,915 | 18,994 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 5,612 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 6,375 | 7,587 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 5,205 | 5,957 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,220 | 19,184 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 17,480 | 18,453 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 11,420 | 12,376 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 33,075 | 33,811 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 37,600 | 46,533 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 14,740 | 15,737 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 36,945 | 38,125 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 1,625 | 2,324 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 6,221 | 7,290 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 61,923 | 73,500 | ||
6 | East Ohio Gas Co. | 2.000% | 6/15/30 | 13,440 | 13,177 | |
6 | East Ohio Gas Co. | 3.000% | 6/15/50 | 19,575 | 19,489 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 14,085 | 14,825 | ||
6 | Electricite de France SA | 4.875% | 9/21/38 | 69,690 | 85,823 | |
6 | Electricite de France SA | 4.875% | 1/22/44 | 2,910 | 3,650 | |
6 | Electricite de France SA | 4.950% | 10/13/45 | 12,500 | 15,952 | |
Emera U.S. Finance LP | 3.550% | 6/15/26 | 32,320 | 34,958 | ||
Entergy Corp. | 2.950% | 9/1/26 | 7,085 | 7,537 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 10,065 | 10,848 | ||
Evergy Inc. | 2.450% | 9/15/24 | 28,130 | 29,372 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 3,120 | 3,241 | ||
Evergy Metro Inc. | 2.250% | 6/1/30 | 8,520 | 8,594 | ||
Evergy Metro Inc. | 4.200% | 3/15/48 | 3,282 | 3,969 | ||
Eversource Energy | 2.900% | 10/1/24 | 25,155 | 26,569 | ||
Eversource Energy | 3.150% | 1/15/25 | 6,775 | 7,193 | ||
Eversource Energy | 3.300% | 1/15/28 | 14,490 | 15,693 | ||
Florida Power & Light Co. | 6.200% | 6/1/36 | 12,452 | 17,181 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Florida Power & Light Co. | 5.950% | 2/1/38 | 10,000 | 14,207 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,994 | 7,069 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 29,745 | 40,101 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 20,000 | 24,112 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 27,690 | 32,093 | ||
Fortis Inc. | 3.055% | 10/4/26 | 44,365 | 47,616 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 34,725 | 42,321 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 28,162 | 32,980 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 9,335 | 10,029 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,590 | 17,678 | ||
6 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 37,580 | 39,191 | |
6 | KeySpan Gas East Corp. | 5.819% | 4/1/41 | 5,060 | 6,759 | |
6 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,895 | 29,832 | |
6 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,851 | 7,674 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 9,925 | 13,472 | ||
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,110 | 1,371 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 14,675 | 17,971 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,000 | 13,600 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 44,720 | 46,825 | ||
6 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 3,400 | 3,807 | |
6 | Monongahela Power Co. | 4.100% | 4/15/24 | 11,000 | 11,779 | |
6 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,320 | 5,658 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 13,800 | 13,845 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,355 | 16,129 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 32,210 | 34,041 | ||
Nevada Power Co. | 3.125% | 8/1/50 | 17,655 | 18,061 | ||
NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 8,840 | 9,496 | ||
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,950 | 36,159 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 33,830 | 33,925 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 12,880 | 14,107 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 20,155 | 21,096 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 41,505 | 41,804 | ||
6 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,280 | 40,134 | |
6 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 22,255 | 21,350 | |
NiSource Inc. | 5.250% | 2/15/43 | 13,546 | 17,651 | ||
NiSource Inc. | 4.800% | 2/15/44 | 8,500 | 10,603 | ||
3,6 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 35,520 | 44,575 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 5,145 | 6,855 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,835 | 2,112 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 20,029 | 22,315 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 5,781 | 7,192 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,225 | 21,836 | ||
Oklahoma Gas and Electric Co. | 6.500% | 4/15/28 | 10,000 | 12,456 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 13,935 | 14,149 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 31,858 | 33,811 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 11,325 | 15,323 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 3,275 | 4,119 | ||
PacifiCorp | 2.950% | 6/1/23 | 14,835 | 15,369 | ||
PacifiCorp | 3.600% | 4/1/24 | 20,000 | 21,316 | ||
PacifiCorp | 3.350% | 7/1/25 | 15,354 | 16,519 | ||
PacifiCorp | 2.700% | 9/15/30 | 8,500 | 8,860 | ||
PacifiCorp | 5.750% | 4/1/37 | 14,188 | 19,141 | ||
PacifiCorp | 4.125% | 1/15/49 | 2,262 | 2,670 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PacifiCorp | 4.150% | 2/15/50 | 11,330 | 13,489 | ||
PacifiCorp | 3.300% | 3/15/51 | 20,663 | 21,524 | ||
Potomac Electric Power Co. | 3.050% | 4/1/22 | 4,235 | 4,286 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 8,000 | 11,639 | ||
PPL Electric Utilities Corp. | 2.500% | 9/1/22 | 12,830 | 13,012 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 2,675 | 3,864 | ||
Progress Energy Inc. | 3.150% | 4/1/22 | 20,800 | 20,944 | ||
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 19,880 | 23,586 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,620 | 6,307 | ||
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 1,505 | 1,790 | ||
3 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 11,035 | 10,628 | |
SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,915 | 3,901 | ||
SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,545 | 3,398 | ||
Sempra Energy | 2.875% | 10/1/22 | 14,066 | 14,317 | ||
Sempra Energy | 3.800% | 2/1/38 | 20,000 | 22,138 | ||
Sempra Energy | 6.000% | 10/15/39 | 21,184 | 29,316 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 8,027 | 8,475 | ||
Southern California Edison Co. | 2.400% | 2/1/22 | 8,270 | 8,297 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 3,225 | 3,506 | ||
Southern California Edison Co. | 5.750% | 4/1/35 | 5,000 | 6,338 | ||
Southern California Edison Co. | 6.050% | 3/15/39 | 1,995 | 2,655 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 5,150 | 5,835 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 17,788 | 19,046 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 8,782 | 9,235 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 16,770 | 19,341 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 8,160 | 8,229 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 3,675 | 3,931 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 32,029 | 34,917 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 25,325 | 25,941 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 28,885 | 30,538 | ||
Southern Co. | 2.950% | 7/1/23 | 44,985 | 46,718 | ||
Southern Co. | 4.400% | 7/1/46 | 25,160 | 29,692 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 9,465 | 9,379 | ||
Southwestern Electric Power Co. | 2.750% | 10/1/26 | 15,000 | 15,789 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 13,663 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,790 | 4,227 | ||
6 | State Grid Overseas Investment BVI Ltd. | 2.750% | 5/4/22 | 63,500 | 64,268 | |
6 | State Grid Overseas Investment BVI Ltd. | 3.500% | 5/4/27 | 29,070 | 31,910 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 20,205 | 20,496 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,942 | 17,607 | ||
Virginia Electric and Power Co. | 3.500% | 3/15/27 | 40,765 | 44,913 | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 9,435 | 13,043 | ||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 13,825 | 18,616 | ||
Xcel Energy Inc. | 3.350% | 12/1/26 | 33,370 | 36,157 | ||
3,491,029 | ||||||
Total Corporate Bonds (Cost $26,252,608) | 28,197,436 | |||||
Sovereign Bonds (1.0%) | ||||||
6 | Government of Bermuda | 2.375% | 8/20/30 | 18,120 | 17,992 | |
6 | Government of Bermuda | 3.375% | 8/20/50 | 7,115 | 7,137 | |
6 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,320 | 31,230 | |
6 | Kuwait | 2.750% | 3/20/22 | 4,315 | 4,358 | |
Province of Ontario | 2.500% | 4/27/26 | 100,400 | 106,874 | ||
Province of Quebec | 2.500% | 4/20/26 | 134,755 | 143,587 | ||
Republic of Chile | 2.550% | 1/27/32 | 37,535 | 37,267 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Republic of Chile | 2.550% | 7/27/33 | 44,430 | 43,397 | ||
Republic of Chile | 3.500% | 4/15/53 | 27,770 | 27,785 | ||
Republic of Chile | 3.100% | 1/22/61 | 14,340 | 12,986 | ||
Republic of Colombia | 4.000% | 2/26/24 | 29,348 | 30,707 | ||
Republic of Panama | 2.252% | 9/29/32 | 60,260 | 56,725 | ||
3 | Republic of Panama | 3.870% | 7/23/60 | 53,230 | 52,046 | |
6 | State of Qatar | 3.875% | 4/23/23 | 69,280 | 72,884 | |
6 | State of Qatar | 3.375% | 3/14/24 | 3,250 | 3,456 | |
6 | State of Qatar | 4.400% | 4/16/50 | 13,435 | 16,388 | |
Total Sovereign Bonds (Cost $652,972) | 664,819 | |||||
Taxable Municipal Bonds (2.9%) | ||||||
Atlanta GA Water & Wastewater Water Revenue | 2.257% | 11/1/35 | 1,270 | 1,271 | ||
Bay Area Toll Authority Highway Revenue | 2.574% | 4/1/31 | 14,735 | 15,468 | ||
Bay Area Toll Authority Highway Revenue | 6.263% | 4/1/49 | 4,670 | 7,538 | ||
Bay Area Toll Authority Highway Revenue | 7.043% | 4/1/50 | 24,800 | 43,627 | ||
Broward FL Airport System Port, Airport & Marina Revenue | 3.477% | 10/1/43 | 10,070 | 10,593 | ||
California GO | 7.500% | 4/1/34 | 5,845 | 9,000 | ||
California GO | 7.350% | 11/1/39 | 45,195 | 71,866 | ||
California GO | 7.600% | 11/1/40 | 2,215 | 3,819 | ||
California State University College & University Revenue | 2.719% | 11/1/52 | 12,175 | 11,858 | ||
California State University College & University Revenue | 2.939% | 11/1/52 | 15,330 | 14,995 | ||
Chicago O'Hare International Airport Port, Airport & Marina Revenue | 6.395% | 1/1/40 | 4,780 | 7,185 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 61,935 | 87,572 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 31,650 | 44,791 | ||
Chicago Transit Authority Sales Tax Receipts Fund Sales Tax Revenue | 6.200% | 12/1/40 | 2,290 | 3,143 | ||
Commonwealth of Massachusetts GO | 2.514% | 7/1/41 | 10,625 | 10,640 | ||
Dallas-Fort Worth International Airport Port, Airport & Marina Revenue | 3.089% | 11/1/40 | 7,770 | 7,991 | ||
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 6,480 | 8,320 | ||
Duke University College & University Revenue | 5.850% | 4/1/37 | 62,165 | 87,163 | ||
Foothill-Eastern Transportation Corridor Agency Highway Revenue | 4.094% | 1/15/49 | 5,145 | 5,425 | ||
9 | Foothill-Eastern Transportation Corridor Agency Highway Revenue | 3.924% | 1/15/53 | 38,475 | 40,542 | |
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.637% | 4/1/57 | 64,143 | 96,310 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 2.746% | 6/1/34 | 2,375 | 2,405 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 3.293% | 6/1/42 | 4,595 | 4,652 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 3.000% | 6/1/46 | 11,260 | 11,465 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Grand Parkway Transportation Corp. Texas System Highway Revenue | 3.236% | 10/1/52 | 53,710 | 55,508 | ||
Great Lakes Water Authority Sewage Disposal System Sewer Revenue | 3.056% | 7/1/39 | 12,495 | 13,234 | ||
Houston TX GO | 6.290% | 3/1/32 | 14,360 | 18,145 | ||
Illinois GO | 5.100% | 6/1/33 | 32,115 | 37,431 | ||
Illinois State Toll Highway Authority Highway Revenue | 6.184% | 1/1/34 | 16,525 | 22,859 | ||
JobsOhio Beverage System Miscellaneous Revenue | 2.833% | 1/1/38 | 5,335 | 5,525 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.927% | 4/15/45 | 38,405 | 50,723 | ||
10 | Kansas Development Finance Authority Appropriations Revenue | 2.774% | 5/1/51 | 15,160 | 14,865 | |
Louisville and Jefferson County Metropolitan Sewer District Sewer Revenue | 6.250% | 5/15/43 | 11,000 | 16,463 | ||
Maryland State Transportation Authority Transit Revenue | 5.888% | 7/1/43 | 12,005 | 16,588 | ||
Massachusetts School Building Authority Sales Tax Revenue | 1.753% | 8/15/30 | 28,455 | 28,240 | ||
Massachusetts School Building Authority Sales Tax Revenue | 5.715% | 8/15/39 | 15,000 | 20,676 | ||
Massachusetts School Building Authority Sales Tax Revenue | 3.395% | 10/15/40 | 16,565 | 17,414 | ||
Massachusetts School Building Authority Sales Tax Revenue | 2.950% | 5/15/43 | 23,000 | 23,471 | ||
Metropolitan Transportation Authority Fuel Sales Tax Revenue | 6.089% | 11/15/40 | 16,940 | 23,880 | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 2,430 | 3,941 | ||
Metropolitan Transportation Authority Transit Revenue | 6.200% | 11/15/26 | 2,255 | 2,586 | ||
Metropolitan Transportation Authority Transit Revenue | 6.814% | 11/15/40 | 27,855 | 40,659 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 37,785 | 51,569 | ||
Michigan Finance Authority Health, Hospital, Nursing Home Revenue | 3.084% | 12/1/34 | 11,385 | 12,282 | ||
Municipal Electric Authority of Georgia Electric Power & Light Revenue | 4.430% | 1/1/22 | 7,795 | 7,873 | ||
New Jersey Turnpike Authority Highway Revenue | 7.414% | 1/1/40 | 28,975 | 47,301 | ||
New York State Dormitory Authority Income Tax Revenue | 3.110% | 2/15/39 | 21,345 | 22,944 | ||
New York State Dormitory Authority Income Tax Revenue | 3.190% | 2/15/43 | 11,865 | 12,647 | ||
New York State Thruway Authority Highway & Bridge Trust Fund Fuel Sales Tax Revenue | 5.883% | 4/1/30 | 29,670 | 37,127 | ||
New York State Thruway Authority Highway Revenue | 2.900% | 1/1/35 | 16,215 | 17,089 | ||
New York State Thruway Authority Highway Revenue | 3.500% | 1/1/42 | 9,140 | 9,663 | ||
New York State Urban Development Corp. Income Tax Revenue | 2.100% | 3/15/22 | 29,345 | 29,595 | ||
North Texas Tollway Authority Highway Revenue | 3.011% | 1/1/43 | 10,335 | 10,431 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
North Texas Tollway Authority Highway Revenue | 6.718% | 1/1/49 | 15,100 | 25,052 | ||
Oregon Department of Transportation Fuel Sales Tax Revenue | 5.834% | 11/15/34 | 14,510 | 19,874 | ||
11 | Oregon School Boards Assn. GO | 4.759% | 6/30/28 | 13,576 | 15,290 | |
10 | Oregon State University College & University Revenue | 3.424% | 3/1/60 | 31,000 | 31,899 | |
12 | Philadelphia Authority for Industrial Development Miscellaneous Revenue | 6.550% | 10/15/28 | 64,830 | 83,251 | |
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.859% | 12/1/24 | 1,960 | 2,275 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 3.175% | 7/15/60 | 16,940 | 17,060 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.458% | 10/1/62 | 53,000 | 71,364 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.810% | 10/15/65 | 10,910 | 15,281 | ||
Riverside CA General Fund Revenue | 3.857% | 6/1/45 | 12,905 | 13,960 | ||
Riverside County CA Appropriations Revenue | 3.818% | 2/15/38 | 9,875 | 11,028 | ||
Rutgers State University of New Jersey College & University Revenue | 3.270% | 5/1/43 | 11,595 | 12,197 | ||
Sales Tax Securitization Corp. Sales Tax Revenue | 4.787% | 1/1/48 | 24,635 | 31,433 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 2.905% | 2/1/48 | 8,990 | 9,008 | ||
State Board of Administration Finance Corp. Miscellaneous Revenue | 1.705% | 7/1/27 | 33,175 | 33,709 | ||
Texas Transportation Commission GO | 2.562% | 4/1/42 | 8,625 | 8,720 | ||
Texas Transportation Commission State Highway Fund Fuel Sales Tax Revenue | 5.178% | 4/1/30 | 12,275 | 14,971 | ||
Texas Transportation Commission State Highway Fund Miscellaneous Revenue | 4.000% | 10/1/33 | 17,140 | 20,475 | ||
University of California College & University Revenue | 1.316% | 5/15/27 | 13,645 | 13,649 | ||
University of California College & University Revenue | 1.614% | 5/15/30 | 23,375 | 22,646 | ||
University of California College & University Revenue | 4.601% | 5/15/31 | 19,390 | 22,708 | ||
University of California College & University Revenue | 4.765% | 5/15/44 | 4,740 | 5,081 | ||
University of California College & University Revenue | 3.931% | 5/15/45 | 18,275 | 20,889 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.548% | 5/15/48 | 11,720 | 18,097 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.583% | 5/15/49 | 15,790 | 24,093 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.006% | 5/15/50 | 14,850 | 15,186 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.256% | 5/15/60 | 27,700 | 29,762 | ||
Utility Debt Securitization Authority Electric Power & Light Revenue | 3.435% | 12/15/25 | 5,613 | 5,779 | ||
9 | Wisconsin Appropriations Revenue | 5.700% | 5/1/26 | 6,875 | 7,886 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Wisconsin Appropriations Revenue | 3.954% | 5/1/36 | 28,325 | 31,732 | ||
Total Taxable Municipal Bonds (Cost $1,653,666) | 1,932,723 | |||||
Shares | ||||||
Common Stocks (38.6%) | ||||||
Communication Services (1.7%) | ||||||
Comcast Corp. Class A | 13,362,467 | 747,363 | ||||
Verizon Communications Inc. | 7,173,287 | 387,429 | ||||
1,134,792 | ||||||
Consumer Discretionary (1.9%) | ||||||
Home Depot Inc. | 2,428,955 | 797,329 | ||||
McDonald's Corp. | 1,433,867 | 345,719 | ||||
Darden Restaurants Inc. | 720,136 | 109,079 | ||||
1,252,127 | ||||||
Consumer Staples (6.0%) | ||||||
Procter & Gamble Co. | 6,185,224 | 864,694 | ||||
Philip Morris International Inc. | 6,470,028 | 613,294 | ||||
Mondelez International Inc. Class A | 9,726,825 | 565,907 | ||||
PepsiCo Inc. | 2,813,040 | 423,109 | ||||
Kimberly-Clark Corp. | 2,666,212 | 353,113 | ||||
Archer-Daniels-Midland Co. | 5,593,434 | 335,662 | ||||
Unilever plc ADR | 5,453,724 | 295,701 | ||||
Kellogg Co. | 3,859,189 | 246,680 | ||||
Coca-Cola Co. | 4,441,485 | 233,045 | ||||
Nestle SA ADR | 862,500 | 103,681 | ||||
4,034,886 | ||||||
Energy (2.3%) | ||||||
Pioneer Natural Resources Co. | 3,467,510 | 577,375 | ||||
ConocoPhillips | 7,994,092 | 541,760 | ||||
13 | TC Energy Corp. | 6,387,591 | 307,428 | |||
Phillips 66 | 1,304,375 | 91,345 | ||||
1,517,908 | ||||||
Financials (8.5%) | ||||||
JPMorgan Chase & Co. | 7,124,607 | 1,166,227 | ||||
Bank of America Corp. | 21,371,095 | 907,203 | ||||
Morgan Stanley | 6,861,876 | 667,729 | ||||
MetLife Inc. | 9,842,637 | 607,586 | ||||
Chubb Ltd. | 3,342,336 | 579,828 | ||||
PNC Financial Services Group Inc. | 2,443,491 | 478,045 | ||||
BlackRock Inc. | 556,478 | 466,696 | ||||
Truist Financial Corp. | 7,459,749 | 437,514 | ||||
Progressive Corp. | 4,139,641 | 374,182 | ||||
5,685,010 | ||||||
Health Care (6.4%) | ||||||
Johnson & Johnson | 5,994,448 | 968,104 | ||||
Pfizer Inc. | 14,965,051 | 643,647 | ||||
Merck & Co. Inc. | 7,930,005 | 595,623 | ||||
Medtronic plc | 4,463,447 | 559,493 | ||||
Eli Lilly & Co. | 2,240,853 | 517,749 | ||||
AstraZeneca plc ADR | 5,596,591 | 336,131 | ||||
CVS Health Corp. | 3,204,740 | 271,954 | ||||
Koninklijke Philips NV GDR | 4,796,700 | 213,165 |
Shares | Market Value• ($000) | |||||
Novartis AG (Registered) | 2,246,800 | 184,236 | ||||
4,290,102 | ||||||
Industrials (4.8%) | ||||||
Eaton Corp. plc | 3,026,280 | 451,854 | ||||
General Dynamics Corp. | 2,290,409 | 448,989 | ||||
Lockheed Martin Corp. | 1,230,803 | 424,750 | ||||
Raytheon Technologies Corp. | 4,896,508 | 420,904 | ||||
Johnson Controls International plc | 4,784,587 | 325,735 | ||||
Caterpillar Inc. | 1,515,331 | 290,898 | ||||
Union Pacific Corp. | 1,118,368 | 219,211 | ||||
Emerson Electric Co. | 2,098,952 | 197,721 | ||||
Honeywell International Inc. | 807,988 | 171,520 | ||||
Waste Management Inc. | 981,000 | 146,522 | ||||
L3Harris Technologies Inc. | 347,600 | 76,555 | ||||
3,174,659 | ||||||
Information Technology (2.9%) | ||||||
Cisco Systems Inc. | 17,058,539 | 928,496 | ||||
Texas Instruments Inc. | 1,748,409 | 336,062 | ||||
Corning Inc. | 8,884,350 | 324,190 | ||||
Analog Devices Inc. | 1,859,706 | 311,463 | ||||
Automatic Data Processing Inc. | 296,048 | 59,186 | ||||
1,959,397 | ||||||
Materials (0.7%) | ||||||
LyondellBasell Industries NV Class A | 3,301,733 | 309,867 | ||||
13 | Rio Tinto plc ADR | 1,969,541 | 131,605 | |||
441,472 | ||||||
Real Estate (0.6%) | ||||||
Crown Castle International Corp. | 2,255,853 | 390,985 | ||||
Utilities (2.8%) | ||||||
Dominion Energy Inc. | 4,584,209 | 334,739 | ||||
American Electric Power Co. Inc. | 3,956,570 | 321,194 | ||||
Exelon Corp. | 6,620,768 | 320,048 | ||||
Sempra Energy | 2,483,898 | 314,213 | ||||
Duke Energy Corp. | 2,635,525 | 257,201 | ||||
Entergy Corp. | 1,994,209 | 198,045 | ||||
DTE Energy Co. | 1,235,000 | 137,962 | ||||
1,883,402 | ||||||
Total Common Stocks (Cost $16,914,531) | 25,764,740 | |||||
Coupon | ||||||
Temporary Cash Investments (2.0%) | ||||||
Money Market Fund (0.3%) | ||||||
14,15 | Vanguard Market Liquidity Fund | 0.068% | 1,855,356 | 185,535 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Repurchase Agreements (0.9%) | ||||||
Bank of America Securities LLC (Dated 9/30/2021, Repurchase Value $19,700,000, collateralized by U.S. Treasury Note/Bond 0.375%, 3/31/22, with a value of $20,094,000) | 0.050% | 10/1/21 | 19,700 | 19,700 | ||
Deutsche Bank Securities Inc. (Dated 9/30/2021, Repurchase Value $9,200,000, collateralized by Government National Mortgage Assn. 2.500%, 9/20/50, with a value of $9,384,000) | 0.050% | 10/1/21 | 9,200 | 9,200 | ||
HSBC Bank USA (Dated 9/30/2021, Repurchase Value $17,700,000, collateralized by U.S. Treasury Bill 0.000%, 11/4/21–1/13/22, and U.S. Treasury Note/Bond 0.625%–4.250%, 3/31/23–5/15/39, with a value of $18,054,000) | 0.045% | 10/1/21 | 17,700 | 17,700 | ||
HSBC Bank USA (Dated 9/30/2021, Repurchase Value $48,300,000, collateralized by Federal Home Loan Mortgage Corp. 2.000%–3.000%, 12/1/26–9/1/51, Federal National Mortgage Assn. 2.500%–5.000%, 10/1/29–9/1/51, U.S. Treasury Bill 0.000%, 7/14/22, U.S. Treasury Inflation Indexed Note/Bond 0.125%, 7/15/31, and U.S. Treasury Note/Bond 0.250%–2.625%, 2/28/23–9/30/26, with a value of $49,266,000) | 0.050% | 10/1/21 | 48,300 | 48,300 | ||
JP Morgan Securities LLC (Dated 9/30/2021, Repurchase Value $63,300,000, collateralized by U.S. Treasury Bill 0.000%, 12/2/21, and U.S. Treasury Note/Bond 0.750%–2.500%, 10/31/21–8/31/26, with a value of $64,566,000) | 0.050% | 10/1/21 | 63,300 | 63,300 | ||
Natixis SA (Dated 9/30/2021, Repurchase Value $277,700,000, collateralized by U.S. Treasury Bill 0.000%, 10/7/21–2/17/22, U.S. Treasury Inflation Indexed Note/Bond 0.250%–3.375%, 4/15/32–2/15/50, and U.S. Treasury Note/Bond 0.125%–4.750%, 11/15/21–5/15/51, with a value of $283,254,000) | 0.050% | 10/1/21 | 277,700 | 277,700 | ||
Nomura International plc (Dated 9/30/2021, Repurchase Value $6,400,000, collateralized by U.S. Treasury Note/Bond 1.750%, 8/15/41, with a value of $6,528,000) | 0.050% | 10/1/21 | 6,400 | 6,400 | ||
RBC Capital Markets LLC (Dated 9/30/2021, Repurchase Value $7,400,000, collateralized by Federal Home Loan Mortgage Corp. 2.000%–3.500%, 11/1/32–9/1/51, with a value of $7,548,000) | 0.050% | 10/1/21 | 7,400 | 7,400 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
RBS Securities Inc. (Dated 9/30/2021, Repurchase Value $142,700,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.875%, 1/15/29–7/15/31, with a value of $145,554,000) | 0.050% | 10/1/21 | 142,700 | 142,700 | ||
592,400 | ||||||
U.S. Government and Agency Obligations (0.8%) | ||||||
U.S. Cash Management Bill | 0.042% | 1/25/22 | 30,000 | 29,996 | ||
U.S. Treasury Bill | 0.046%–0.047% | 10/19/21 | 300,000 | 299,990 | ||
U.S. Treasury Bill | 0.049% | 10/26/21 | 100,000 | 99,996 | ||
U.S. Treasury Bill | 0.026% | 11/12/21 | 150,000 | 149,991 | ||
579,973 | ||||||
Total Temporary Cash Investments (Cost $1,357,917) | 1,357,908 | |||||
Total Investments (100.8%) (Cost $56,230,179) | 67,299,957 | |||||
Other Assets and Liabilities—Net (-0.8%) | (517,754) | |||||
Net Assets (100%) | 66,782,203 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $2,574,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $1,855,000 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2021. |
6 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2021, the aggregate value was $9,145,547,000, representing 13.7% of net assets. |
7 | 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. |
8 | Security value determined using significant unobservable inputs. |
9 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
10 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
11 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
12 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
13 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $193,847,000. |
14 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
15 | Collateral of $203,334,000 was received for securities on loan, of which $185,535,000 is held in Vanguard Market Liquidity Fund and $17,799,000 is held in cash. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
GDR—Global Depositary Receipt. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | December 2021 | 593 | 72,786 | (52) |
Ultra 10-Year U.S. Treasury Note | December 2021 | 489 | 71,027 | (261) |
(313) | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | December 2021 | (655) | (86,204) | 286 |
(27) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $56,044,643) | 67,114,422 |
Affiliated Issuers (Cost $185,536) | 185,535 |
Total Investments in Securities | 67,299,957 |
Investment in Vanguard | 2,247 |
Cash | 17,799 |
Foreign Currency, at Value (Cost $566) | 561 |
Receivables for Investment Securities Sold | 334,229 |
Receivables for Accrued Income | 325,519 |
Receivables for Capital Shares Issued | 28,218 |
Total Assets | 68,008,530 |
Liabilities | |
Due to Custodian | 3,018 |
Payables for Investment Securities Purchased | 976,568 |
Collateral for Securities on Loan | 203,334 |
Payables to Investment Advisor | 10,634 |
Payables for Capital Shares Redeemed | 29,191 |
Payables to Vanguard | 3,145 |
Variation Margin Payable—Futures Contracts | 437 |
Total Liabilities | 1,226,327 |
Net Assets | 66,782,203 |
At September 30, 2021, net assets consisted of: | |
Paid-in Capital | 53,607,666 |
Total Distributable Earnings (Loss) | 13,174,537 |
Net Assets | 66,782,203 |
Investor Shares—Net Assets | |
Applicable to 430,909,470 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,628,677 |
Net Asset Value Per Share—Investor Shares | $29.31 |
Admiral Shares—Net Assets | |
Applicable to 762,832,123 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 54,153,526 |
Net Asset Value Per Share—Admiral Shares | $70.99 |
Year Ended September 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 742,115 |
Interest | 1,023,703 |
Securities Lending—Net | 422 |
Total Income | 1,766,240 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 34,656 |
Performance Adjustment | 5,924 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 20,725 |
Management and Administrative—Admiral Shares | 49,155 |
Marketing and Distribution—Investor Shares | 914 |
Marketing and Distribution—Admiral Shares | 1,737 |
Custodian Fees | 283 |
Auditing Fees | 31 |
Shareholders’ Reports—Investor Shares | 221 |
Shareholders’ Reports—Admiral Shares | 338 |
Trustees’ Fees and Expenses | 52 |
Total Expenses | 114,036 |
Net Investment Income | 1,652,204 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 2,273,217 |
Futures Contracts | 1,301 |
Forward Currency Contracts | 1,539 |
Foreign Currencies | (938) |
Realized Net Gain (Loss) | 2,275,119 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 2,825,391 |
Futures Contracts | (828) |
Foreign Currencies | (295) |
Change in Unrealized Appreciation (Depreciation) | 2,824,268 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,751,591 |
1 | Dividends are net of foreign withholding taxes of $7,023,000. |
2 | Realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $0, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended September 30, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,652,204 | 1,710,723 |
Realized Net Gain (Loss) | 2,275,119 | 1,183,103 |
Change in Unrealized Appreciation (Depreciation) | 2,824,268 | (128,456) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,751,591 | 2,765,370 |
Distributions | ||
Investor Shares | (524,963) | (501,533) |
Admiral Shares | (2,128,302) | (1,842,363) |
Total Distributions | (2,653,265) | (2,343,896) |
Capital Share Transactions | ||
Investor Shares | (465,746) | (702,626) |
Admiral Shares | 2,845,572 | 2,628,909 |
Net Increase (Decrease) from Capital Share Transactions | 2,379,826 | 1,926,283 |
Total Increase (Decrease) | 6,478,152 | 2,347,757 |
Net Assets | ||
Beginning of Period | 60,304,051 | 57,956,294 |
End of Period | 66,782,203 | 60,304,051 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $27.46 | $27.18 | $26.43 | $26.66 | $26.13 |
Investment Operations | |||||
Net Investment Income1 | .724 | .775 | .803 | .779 | .769 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.306 | .576 | 1.787 | .086 | .810 |
Total from Investment Operations | 3.030 | 1.351 | 2.590 | .865 | 1.579 |
Distributions | |||||
Dividends from Net Investment Income | (.714) | (.789) | (.799) | (.786) | (.780) |
Distributions from Realized Capital Gains | (.466) | (.282) | (1.041) | (.309) | (.269) |
Total Distributions | (1.180) | (1.071) | (1.840) | (1.095) | (1.049) |
Net Asset Value, End of Period | $29.31 | $27.46 | $27.18 | $26.43 | $26.66 |
Total Return2 | 11.22% | 5.19% | 10.54% | 3.28% | 6.22% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $12,629 | $12,260 | $12,864 | $12,398 | $14,220 |
Ratio of Total Expenses to Average Net Assets3 | 0.23% | 0.23% | 0.23% | 0.23% | 0.22% |
Ratio of Net Investment Income to Average Net Assets | 2.51% | 2.86% | 3.08% | 2.93% | 2.95% |
Portfolio Turnover Rate4 | 39% | 53% | 28% | 36% | 22% |
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%, and (0.00%). |
4 | Includes 4%, 7%, 2%, 4%, and 1%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $66.51 | $65.85 | $64.03 | $64.57 | $63.30 |
Investment Operations | |||||
Net Investment Income1 | 1.801 | 1.923 | 1.990 | 1.934 | 1.908 |
Net Realized and Unrealized Gain (Loss) on Investments | 5.585 | 1.379 | 4.331 | .226 | 1.945 |
Total from Investment Operations | 7.386 | 3.302 | 6.321 | 2.160 | 3.853 |
Distributions | |||||
Dividends from Net Investment Income | (1.777) | (1.959) | (1.979) | (1.951) | (1.932) |
Distributions from Realized Capital Gains | (1.129) | (.683) | (2.522) | (.749) | (.651) |
Total Distributions | (2.906) | (2.642) | (4.501) | (2.700) | (2.583) |
Net Asset Value, End of Period | $70.99 | $66.51 | $65.85 | $64.03 | $64.57 |
Total Return2 | 11.29% | 5.24% | 10.62% | 3.38% | 6.27% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $54,153 | $48,044 | $45,092 | $40,756 | $39,974 |
Ratio of Total Expenses to Average Net Assets3 | 0.16% | 0.16% | 0.16% | 0.16% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.57% | 2.93% | 3.15% | 3.00% | 3.02% |
Portfolio Turnover Rate4 | 39% | 53% | 28% | 36% | 22% |
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%, and (0.00%). |
4 | Includes 4%, 7%, 2%, 4%, and 1%, respectively, attributable to mortgage-dollar-roll activity. |
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. |
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 U.S. Credit A or Better Bond Index and the FTSE High Dividend Yield Index for the preceding three years. For the year ended September 30, 2021, the investment advisory fee represented an effective annual basic rate of 0.05% of the fund’s average net assets, before a net increase of $5,924,000 (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. |
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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 7,625,616 | — | 7,625,616 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,736,208 | 20,507 | 1,756,715 |
Corporate Bonds | — | 28,197,436 | — | 28,197,436 |
Sovereign Bonds | — | 664,819 | — | 664,819 |
Taxable Municipal Bonds | — | 1,932,723 | — | 1,932,723 |
Common Stocks | 25,580,504 | 184,236 | — | 25,764,740 |
Temporary Cash Investments | 185,535 | 1,172,373 | — | 1,357,908 |
Total | 25,766,039 | 41,513,411 | 20,507 | 67,299,957 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 286 | — | — | 286 |
Liabilities | ||||
Futures Contracts1 | 313 | — | — | 313 |
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. |
E. | At September 30, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 286 | — | 286 |
Total Assets | 286 | — | 286 |
Unrealized Depreciation—Futures Contracts1 | 313 | — | 313 |
Total Liabilities | 313 | — | 313 |
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) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 1,301 | — | 1,301 |
Forward Currency Contracts | — | 1,539 | 1,539 |
Realized Net Gain (Loss) on Derivatives | 1,301 | 1,539 | 2,840 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (828) | — | (828) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (828) | — | (828) |
F. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and distributions in connection with fund share redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 121,363 |
Total Distributable Earnings (Loss) | (121,363) |
Amount ($000) | |
Undistributed Ordinary Income | 593,728 |
Undistributed Long-Term Gains | 1,542,855 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 11,037,954 |
Year Ended September 30, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 1,799,998 | 1,866,829 |
Long-Term Capital Gains | 853,267 | 477,067 |
Total | 2,653,265 | 2,343,896 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 56,262,523 |
Gross Unrealized Appreciation | 11,342,568 |
Gross Unrealized Depreciation | (305,135) |
Net Unrealized Appreciation (Depreciation) | 11,037,433 |
G. | During the year ended September 30, 2021, the fund purchased $13,112,029,000 of investment securities and sold $15,371,857,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $12,701,219,000 and $9,135,797,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Year Ended September 30, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 2,163,754 | 75,141 | 2,619,685 | 96,662 | |
Issued in Lieu of Cash Distributions | 486,894 | 17,091 | 464,104 | 17,599 | |
Redeemed | (3,116,394) | (107,831) | (3,786,415) | (141,001) | |
Net Increase (Decrease)—Investor Shares | (465,746) | (15,599) | (702,626) | (26,740) | |
Admiral Shares | |||||
Issued | 8,167,154 | 116,710 | 9,156,581 | 139,203 | |
Issued in Lieu of Cash Distributions | 1,867,003 | 27,049 | 1,608,786 | 25,178 | |
Redeemed | (7,188,585) | (103,297) | (8,136,458) | (126,832) | |
Net Increase (Decrease)—Admiral Shares | 2,845,572 | 40,462 | 2,628,909 | 37,549 |
I. | Management has determined that no events or transactions occurred subsequent to September 30, 2021, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
November 19, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. Mclsaac |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) | Audit Fees. |
Audit Fees of the Registrant.
Fiscal Year Ended September 30, 2021: $31,000
Fiscal Year Ended September 30, 2020: $31,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended September 30, 2021: $11,244,694
Fiscal Year Ended September 30, 2020: $10,761,407
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) | Audit-Related Fees. |
Fiscal Year Ended September 30, 2021: $2,955,181
Fiscal Year Ended September 30, 2020: $2,915,863
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) | Tax Fees. |
Fiscal Year Ended September 30, 2021: $2,047,574
Fiscal Year Ended September 30, 2020: $247,168
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) | All Other Fees. |
Fiscal Year Ended September 30, 2021: $280,000
Fiscal Year Ended September 30, 2020: $115,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended September 30, 2021: $2,327,574
Fiscal Year Ended September 30, 2020: $362,168
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
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. In 2020, a third-party service provider began performing certain administrative and accounting services for Vanguard Wellesley Income Fund. There were no other significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Code of Ethics filed herewith. |
(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: November 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: November 19, 2021
VANGUARD WELLESLEY INCOME FUND | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: November 19, 2021
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.