Vanguard® Wellesley® Income Fund
Schedule of Investments (unaudited)
As of June 30, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (11.6%) | ||||||
U.S. Government Securities (10.8%) | ||||||
U.S. Treasury Note/Bond | 0.125% | 3/31/23 | 24,815 | 24,780 | ||
U.S. Treasury Note/Bond | 0.125% | 5/15/23 | 105,440 | 105,226 | ||
U.S. Treasury Note/Bond | 0.250% | 11/15/23 | 80,000 | 79,875 | ||
U.S. Treasury Note/Bond | 0.125% | 1/15/24 | 93,770 | 93,213 | ||
U.S. Treasury Note/Bond | 0.125% | 2/15/24 | 151,210 | 150,241 | ||
U.S. Treasury Note/Bond | 0.250% | 3/15/24 | 455,000 | 453,223 | ||
U.S. Treasury Note/Bond | 0.375% | 4/15/24 | 65,000 | 64,919 | ||
U.S. Treasury Note/Bond | 0.250% | 5/15/24 | 137,840 | 137,108 | ||
U.S. Treasury Note/Bond | 0.250% | 6/15/24 | 506,000 | 502,916 | ||
U.S. Treasury Note/Bond | 0.250% | 5/31/25 | 637,000 | 626,251 | ||
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 | 151,866 | ||
U.S. Treasury Note/Bond | 0.250% | 10/31/25 | 601,000 | 587,571 | ||
U.S. Treasury Note/Bond | 0.375% | 1/31/26 | 883,665 | 865,992 | ||
U.S. Treasury Note/Bond | 0.750% | 5/31/26 | 115,445 | 114,778 | ||
U.S. Treasury Note/Bond | 1.500% | 2/15/30 | 111,855 | 112,956 | ||
U.S. Treasury Note/Bond | 0.625% | 5/15/30 | 88,185 | 82,425 | ||
U.S. Treasury Note/Bond | 0.625% | 8/15/30 | 100,000 | 93,187 | ||
U.S. Treasury Note/Bond | 0.875% | 11/15/30 | 218,495 | 207,809 | ||
U.S. Treasury Note/Bond | 1.125% | 2/15/31 | 252,810 | 245,463 | ||
U.S. Treasury Note/Bond | 2.250% | 5/15/41 | 1,288,680 | 1,341,033 | ||
U.S. Treasury Note/Bond | 3.625% | 2/15/44 | 13,285 | 17,158 | ||
1 | U.S. Treasury Note/Bond | 1.250% | 5/15/50 | 38,135 | 31,134 | |
U.S. Treasury Note/Bond | 1.625% | 11/15/50 | 62,225 | 55,876 | ||
U.S. Treasury Note/Bond | 1.875% | 2/15/51 | 324,110 | 309,170 | ||
U.S. Treasury Note/Bond | 2.375% | 5/15/51 | 201,650 | 215,293 | ||
7,182,734 | ||||||
Agency Bonds and Notes (0.1%) | ||||||
Tennessee Valley Authority | 4.625% | 9/15/60 | 19,800 | 29,129 | ||
Conventional Mortgage-Backed Securities (0.1%) | ||||||
2,3 | Fannie Mae Pool | 1.770% | 1/1/36 | 21,717 | 21,674 | |
2,3 | Fannie Mae Pool | 3.070% | 2/1/25 | 11,700 | 12,546 | |
2,3 | Freddie Mac Gold Pool | 4.000% | 7/1/33 | 3 | 3 | |
2 | Ginnie Mae I Pool | 6.000% | 6/15/31–7/15/35 | 20 | 24 | |
2 | Ginnie Mae I Pool | 6.500% | 4/15/32–7/15/38 | 1,666 | 1,865 | |
2,3 | UMBS Pool | 2.500% | 8/1/27–4/1/38 | 37,711 | 39,297 | |
75,409 | ||||||
Nonconventional Mortgage-Backed Securities (0.6%) | ||||||
2,3 | Fannie Mae REMICS | 1.250% | 2/25/28 | 14,261 | 14,332 | |
2,3 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 17,034 | 17,156 | |
2,3 | Fannie Mae REMICS | 1.700% | 6/25/43 | 2,978 | 3,016 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2,3 | Fannie Mae REMICS | 2.000% | 6/25/43–6/25/44 | 8,860 | 9,070 | |
2,3 | Fannie Mae REMICS | 3.000% | 2/25/49–9/25/57 | 72,323 | 75,319 | |
2,3 | Fannie Mae REMICS | 3.500% | 4/25/31–12/25/58 | 154,125 | 164,856 | |
2,3 | Fannie Mae REMICS | 4.000% | 5/25/31–7/25/53 | 10,629 | 11,349 | |
2,3 | Freddie Mac REMICS | 1.500% | 10/15/42 | 8,120 | 8,128 | |
2,3 | Freddie Mac REMICS | 1.750% | 3/15/41 | 9,400 | 9,560 | |
2,3 | Freddie Mac REMICS | 2.000% | 7/15/31–9/15/31 | 21,121 | 21,499 | |
2,3 | Freddie Mac REMICS | 2.500% | 9/15/32 | 2,180 | 2,226 | |
2,3 | Freddie Mac REMICS | 3.000% | 12/15/39–5/15/46 | 28,297 | 29,812 | |
2,3 | Freddie Mac REMICS | 3.500% | 3/15/31 | 2,168 | 2,324 | |
2,3 | Freddie Mac REMICS | 4.000% | 12/15/30–4/15/31 | 42,855 | 46,047 | |
2 | Ginnie Mae | 1.700% | 10/20/45 | 4,478 | 4,518 | |
2 | Ginnie Mae | 1.800% | 5/20/41 | 3,062 | 3,068 | |
422,280 | ||||||
Total U.S. Government and Agency Obligations (Cost $7,716,801) | 7,709,552 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.3%) | ||||||
2,4 | Aaset Trust Class A Series 2019-1 | 3.844% | 5/15/39 | 12,157 | 11,974 | |
2,4 | Affirm Asset Securitization Trust Class A Series 2021-A | 0.880% | 8/15/25 | 6,845 | 6,844 | |
2,4 | Affirm Asset Securitization Trust Class A Series 2021-Z1 | 1.070% | 8/15/25 | 19,767 | 19,767 | |
2,4 | American Tower Trust #1 Class 2A Series 13 | 3.070% | 3/15/48 | 32,900 | 33,102 | |
2,4,5 | Angel Oak Mortgage Trust Class A1 Series 2019-5 | 2.593% | 10/25/49 | 6,550 | 6,576 | |
2,4,5 | Angel Oak Mortgage Trust Class A1 Series 2019-6 | 2.620% | 11/25/59 | 15,604 | 15,824 | |
2,4,5 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-2 | 3.628% | 3/25/49 | 2,870 | 2,916 | |
2,4,5 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-4 | 2.993% | 7/26/49 | 11,283 | 11,391 | |
2,4,5 | Apidos CLO XXXV Class A Series 2021-35A, 3M USD LIBOR + 1.050% | 1.249% | 4/20/34 | 22,200 | 22,248 | |
2,4,5 | Atlas Senior Loan Fund X Ltd. Class A Series 2018-10A, 3M USD LIBOR + 1.090% | 1.274% | 1/15/31 | 7,273 | 7,271 | |
2,4,5 | Atlas Senior Loan Fund X Ltd. Class A1L Series 2018-11A, 3M USD LIBOR + 1.100% | 1.276% | 7/26/31 | 10,000 | 10,000 | |
2,4,5 | Bain Capital Credit CLO Ltd. Class A Series 2021-3A, 3M USD LIBOR + 1.160% | 1.346% | 7/24/34 | 24,495 | 24,404 | |
2,4,5 | Battalion CLO XX Ltd. Class B Series 2021-20A, 3M USD LIBOR + 1.750% | 1.836% | 7/15/34 | 28,350 | 28,302 | |
2,4,5 | BlueMountain CLO XXXI Ltd. Class A1 Series 2021-31A, 3M USD LIBOR + 1.150% | 1.330% | 4/19/34 | 30,000 | 29,893 | |
2,4,5 | BlueMountain CLO XXXI Ltd. Class B Series 2021-31A, 3M USD LIBOR + 1.700% | 1.820% | 4/19/34 | 11,850 | 11,796 | |
2,4 | Canadian Pacer Auto Receivables Trust Class A3 Series 2018-2A | 3.270% | 12/19/22 | 1,244 | 1,251 | |
2,4 | Castlelake Aircraft Structured Trust Class A Series 2019-1A | 3.967% | 4/15/39 | 23,271 | 23,234 | |
2,4,5 | Cent CLO 21 Ltd. Class A1R3 Series 2014-21A, 3M USD LIBOR + 0.970% | 1.151% | 7/27/30 | 10,000 | 10,000 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2,4 | CF Hippolyta LLC Class A1 Series 2021-A1 | 1.530% | 3/15/61 | 26,300 | 26,476 | |
2,4 | Chesapeake Funding II LLC Class A1 Series 2018-1A | 3.040% | 4/15/30 | 8,837 | 8,856 | |
2,4 | Chesapeake Funding II LLC Class A1 Series 2018-3A | 3.390% | 1/15/31 | 13,258 | 13,467 | |
2,4,5 | CIFC Funding 2021-III Ltd. Class B Series 2021-3A, 3M USD LIBOR + 1.700% | 1.848% | 7/15/36 | 6,500 | 6,506 | |
2,4,5 | CIFC Funding Ltd. Class A Series 2018-1A, 3M USD LIBOR + 1.000% | 1.190% | 4/18/31 | 12,000 | 12,006 | |
2,4,5 | Cloud Pass-Through Trust Class CLOU Series 2019-1A | 3.554% | 12/5/22 | 5,265 | 5,299 | |
2,4,5 | COLT Mortgage Loan Trust Class A1 Series 2020-1 | 2.488% | 2/25/50 | 8,160 | 8,211 | |
2,4,5 | Columbia Cent CLO 27 Ltd. Class A1 Series 2018-27A, 3M USD LIBOR + 1.150% | 1.326% | 10/25/28 | 16,664 | 16,665 | |
2,4,5 | Columbia Cent CLO 30 Ltd. Class B Series 2020-30A, 3M USD LIBOR + 1.750% | 1.974% | 1/20/34 | 15,805 | 15,804 | |
2,4,5 | Columbia Cent CLO 31 Ltd. Class A1 Series 2021-31A, 3M USD LIBOR + 1.200% | 1.347% | 4/20/34 | 27,105 | 27,194 | |
2 | COMM Mortgage Trust Class A4 Series 2012-CR2 | 3.147% | 8/15/45 | 16,040 | 16,365 | |
2,4 | DB Master Finance LLC Class A2I Series 2019-1A | 3.787% | 5/20/49 | 14,880 | 15,074 | |
2,4 | DB Master Finance LLC Class A2II Series 2019-1A | 4.021% | 5/20/49 | 13,293 | 14,025 | |
2,4 | Domino's Pizza Master Issuer LLC Class A2I Series 2021-1A | 2.662% | 4/25/51 | 38,555 | 39,892 | |
2,4 | Domino's Pizza Master Issuer LLC Class A2II Series 2021-1A | 3.151% | 4/25/51 | 31,485 | 32,975 | |
2,4,5,6,7 | Dryden Senior Loan Fund Class A1 Series 2021-87A,3M USD LIBOR + 1.100% | 1.250% | 5/20/34 | 28,400 | 28,400 | |
2,4 | Enterprise Fleet Financing LLC Class A2 Series 2018-3 | 3.380% | 5/20/24 | 3,363 | 3,381 | |
2,4 | Enterprise Fleet Financing LLC Class A2 Series 2019-1 | 2.980% | 10/20/24 | 8,305 | 8,369 | |
2,4 | Enterprise Fleet Financing LLC Class A2 Series 2019-2 | 2.290% | 2/20/25 | 16,568 | 16,795 | |
2,4 | Enterprise Fleet Financing LLC Class A2 Series 2019-3 | 2.060% | 5/20/25 | 12,218 | 12,375 | |
2,4 | Enterprise Fleet Financing LLC Class A3 Series 2018-1 | 3.100% | 10/20/23 | 2,490 | 2,506 | |
2,3,5 | Fannie Mae Connecticut Avenue Securities Class 2M2 Series 2016-C03, 1M USD LIBOR + 5.900% | 5.992% | 10/25/28 | 5,265 | 5,527 | |
2,4,7 | FirstKey Homes Trust Class A Series 2021-SFR1 | 1.538% | 8/17/28 | 67,500 | 67,500 | |
2,3 | Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K733 | 3.750% | 8/25/25 | 10,785 | 11,889 | |
2,3 | Freddie Mac Multifamily Structured Pass Through Certificates Class A3 Series K1512 | 3.059% | 4/25/34 | 7,200 | 8,140 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2,3 | Freddie Mac Multifamily Structured Pass Through Certificates Class A3 Series K1513 | 2.797% | 8/25/34 | 7,552 | 8,331 | |
2,4 | Horizon Aircraft Finance II Ltd. Class A Series 2019-1 | 3.721% | 7/15/39 | 9,894 | 9,725 | |
2,4 | Horizon Aircraft Finance III Ltd. Class A Series 2019-2 | 3.425% | 11/15/39 | 10,153 | 9,978 | |
2,4,5 | LCM XXII Ltd. Class A2R Series 22A, 3M USD LIBOR + 1.450% | 1.638% | 10/20/28 | 12,700 | 12,675 | |
2,4,5 | Life Mortgage Trust Class A Series 2021-BMR, 1M USD LIBOR + 0.700% | 0.773% | 3/15/38 | 9,885 | 9,899 | |
2,4 | MACH 1 Cayman Ltd. Class A Series 2019-1 | 3.474% | 10/15/39 | 10,466 | 10,462 | |
2,4,5 | Madison Park Funding L Ltd. Class A Series 2021-50A, 3M USD LIBOR + 1.140% | 1.336% | 4/19/34 | 18,850 | 18,857 | |
2,4,5 | Madison Park Funding XIII Ltd. Class AR2 Series 2014-13A, 3M USD LIBOR + 0.950% | 1.140% | 4/19/30 | 34,150 | 34,139 | |
2,4,5 | Madison Park Funding XXX Ltd. Class A Series 2018-30A, 3M USD LIBOR + 0.750% | 0.934% | 4/15/29 | 17,375 | 17,366 | |
2,4,5 | Magnetite VII Ltd. Class A1R2 Series 2012-7A, 3M USD LIBOR + 0.800% | 0.984% | 1/15/28 | 31,501 | 31,516 | |
2,4 | MAPS Ltd. Class A Series 2019-1A | 4.458% | 3/15/44 | 5,683 | 5,697 | |
2,4,5 | Master Credit Card Trust II Class A Series 2018-1A, 1M USD LIBOR + 0.490% | 0.583% | 7/21/24 | 36,965 | 37,032 | |
2,4 | Mercury Financial Credit Card Master Trust Class A Series 2021-1A | 1.540% | 3/20/26 | 36,145 | 36,152 | |
2,4,5 | Milos CLO Ltd. Class AR Series 2017-1A, 3M USD LIBOR + 1.070% | 1.258% | 10/20/30 | 33,000 | 33,066 | |
2,4 | MMAF Equipment Finance LLC Class A3 Series 2019-B | 2.010% | 12/12/24 | 26,615 | 27,304 | |
2,4,5,6,7 | Oaktree CLO Ltd. Class A1 Series 2021-1A, 3M USD LIBOR + 1.160% | 1.289% | 7/15/34 | 17,625 | 17,625 | |
2,4,5 | Octagon Investment Partners 51 Ltd. Class A Series 2021-1A, 3M USD LIBOR + 1.150% | 1.323% | 7/20/34 | 29,500 | 29,506 | |
2,4,5,6,7 | Octagon Investment Partners 54 Class A1 Series 2021-1A, 3M USD LIBOR + 1.120% | 1.253% | 7/15/34 | 20,650 | 20,650 | |
2,4,5,6,7 | OHA Credit Funding 3 Ltd. Class AR Series 2019-3A, 3M USD LIBOR + 1.140% | 1.270% | 7/2/35 | 29,660 | 29,660 | |
2,4 | OneMain Direct Auto Receivables Trust Class A Series 2018-1A | 3.430% | 12/16/24 | 10,253 | 10,303 | |
2,4 | OneMain Financial Issuance Trust Class A Series 2019-1A | 3.480% | 2/14/31 | 21,266 | 21,282 | |
2,4,5 | Regatta VI Funding Ltd. Class AR2 Series 2016-1A, 3M USD LIBOR + 1.160% | 1.295% | 4/20/34 | 44,300 | 44,143 | |
2,4,5 | Rockland Park CLO Ltd. Class A Series 2021-1A, 3M USD LIBOR + 1.120% | 1.293% | 4/20/34 | 34,600 | 34,478 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2,4,5 | Rockland Park CLO Ltd. Class B Series 2021-1A, 3M USD LIBOR + 1.650% | 1.673% | 4/20/34 | 18,725 | 18,641 | |
2,4,5 | RR 16 Ltd. Class A1 Series 2021-14A, 3M USD LIBOR + 1.120% | 1.215% | 4/15/36 | 26,855 | 26,855 | |
2,4,5 | RR 16 Ltd. Class A1 Series 2021-16A, 3M USD LIBOR + 1.110% | 1.191% | 7/15/36 | 26,720 | 26,624 | |
2,4,5 | RR 16 Ltd. Class A2 Series 2021-16A, 3M USD LIBOR + 1.650% | 1.731% | 7/15/36 | 25,000 | 24,885 | |
2,4 | Santander Retail Auto Lease Trust Class A3 Series 2019-B | 2.300% | 1/20/23 | 10,532 | 10,626 | |
2,3 | Seasoned Credit Risk Transfer Trust Class MA Series 2019-3 | 3.500% | 10/25/58 | 38,789 | 41,829 | |
2,4 | Securitized Term Auto Receivables Trust Class A3 Series 2018-2A | 3.325% | 8/25/22 | 2,325 | 2,333 | |
2,4,5 | SFAVE Commercial Mortgage Securities Trust Class A2B Series 2015-5AVE | 4.144% | 1/5/43 | 22,000 | 23,407 | |
2,4 | SoFi Consumer Loan Program Trust Class A Series 2020-1 | 2.020% | 1/25/29 | 6,699 | 6,755 | |
2,4,5 | Sound Point Clo XX Ltd. Class A Series 2018-2A, 3M USD LIBOR + 1.100% | 1.276% | 7/26/31 | 22,430 | 22,391 | |
2,4 | Springleaf Funding Trust Class A Series 2015-BA | 3.480% | 5/15/28 | 2,759 | 2,760 | |
2,4 | Start III Ltd. Class A Series 2019-2 | 3.536% | 11/15/44 | 933 | 938 | |
2,4 | START Ireland Class A Series 2019-1 | 4.089% | 3/15/44 | 11,742 | 11,752 | |
2,4,5 | Symphony CLO XIV Ltd. Class AR Series 2014-14A, 3M USD LIBOR + 0.950% | 1.136% | 7/14/26 | 20,197 | 20,180 | |
2,4,5 | Towd Point Mortgage Trust Class A1 Series 2016-3 | 2.250% | 4/25/56 | 344 | 345 | |
2,4 | Vantage Data Centers Issuer LLC Class A2 Series 2019-1A | 3.188% | 7/15/44 | 10,263 | 10,620 | |
2,4 | Vantage Data Centers LLC Class A2 Series 2020-1A | 1.645% | 9/15/45 | 32,830 | 32,949 | |
2,4,5 | Venture 43 CLO Ltd. Class A1 Series 2021-43A, 3M USD LIBOR + 1.240% | 1.434% | 4/15/34 | 10,505 | 10,526 | |
2,4,5 | Voya CLO Ltd. Class AAR2 Series 2014-1A, 3M USD LIBOR + 0.990% | 1.180% | 4/18/31 | 16,596 | 16,597 | |
2,4,5 | Wellfleet CLO X LTD Class A2R Series 2019-XA, 3M USD LIBOR + 1.750% | 1.924% | 7/20/32 | 20,700 | 20,619 | |
2,4 | Westlake Automobile Receivables Trust Class A2 Series 2019-3A | 2.150% | 2/15/23 | 1,872 | 1,876 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,536,258) | 1,543,844 | |||||
Corporate Bonds (42.5%) | ||||||
Communications (3.4%) | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 66,820 | 68,637 | ||
America Movil SAB de CV | 3.625% | 4/22/29 | 25,600 | 28,262 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 10,010 | 14,190 | ||
AT&T Inc. | 2.750% | 6/1/31 | 61,900 | 64,351 | ||
AT&T Inc. | 3.650% | 6/1/51 | 3,619 | 3,782 | ||
4 | AT&T Inc. | 3.500% | 9/15/53 | 33,465 | 33,563 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
AT&T Inc. | 3.850% | 6/1/60 | 13,336 | 14,067 | ||
4 | British Telecommunications plc | 3.250% | 11/8/29 | 31,785 | 33,800 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.800% | 4/1/31 | 7,635 | 7,811 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.300% | 2/1/32 | 7,635 | 7,354 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.375% | 5/1/47 | 3,820 | 4,684 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.125% | 7/1/49 | 3,208 | 3,832 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.800% | 3/1/50 | 4,171 | 4,805 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.700% | 4/1/51 | 18,670 | 18,580 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.400% | 12/1/61 | 14,925 | 16,053 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | 3.850% | 4/1/61 | 17,885 | 17,581 | ||
Comcast Corp. | 3.600% | 3/1/24 | 60,515 | 65,347 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,565 | 2,784 | ||
Comcast Corp. | 3.150% | 3/1/26 | 15,280 | 16,627 | ||
Comcast Corp. | 4.250% | 1/15/33 | 15,060 | 17,931 | ||
Comcast Corp. | 4.200% | 8/15/34 | 25,155 | 29,733 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,657 | 39,331 | ||
Comcast Corp. | 4.600% | 10/15/38 | 46,815 | 58,029 | ||
Comcast Corp. | 4.650% | 7/15/42 | 7,260 | 9,174 | ||
Comcast Corp. | 4.500% | 1/15/43 | 20,000 | 24,788 | ||
Comcast Corp. | 4.750% | 3/1/44 | 28,710 | 36,759 | ||
Comcast Corp. | 4.600% | 8/15/45 | 46,358 | 58,249 | ||
Comcast Corp. | 3.969% | 11/1/47 | 40,576 | 47,336 | ||
Comcast Corp. | 4.000% | 3/1/48 | 17,415 | 20,382 | ||
Comcast Corp. | 4.700% | 10/15/48 | 48,140 | 62,412 | ||
Comcast Corp. | 3.999% | 11/1/49 | 26,848 | 31,619 | ||
Comcast Corp. | 2.450% | 8/15/52 | 47,300 | 42,702 | ||
Comcast Corp. | 4.049% | 11/1/52 | 38,322 | 45,602 | ||
Comcast Corp. | 4.950% | 10/15/58 | 17,365 | 24,025 | ||
4 | Cox Communications Inc. | 2.600% | 6/15/31 | 12,960 | 13,158 | |
4 | Cox Communications Inc. | 4.800% | 2/1/35 | 58,525 | 70,866 | |
4 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,674 | 11,743 | |
4 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,168 | 24,605 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 15,084 | 16,794 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 4,406 | 4,948 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 4,970 | 5,426 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Discovery Communications LLC | 4.650% | 5/15/50 | 4,983 | 5,832 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 17,367 | 18,367 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 10,639 | 13,058 | ||
4 | NTT Finance Corp. | 1.162% | 4/3/26 | 76,700 | 76,476 | |
4 | NTT Finance Corp. | 2.065% | 4/3/31 | 10,125 | 10,266 | |
4 | Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 45,300 | 45,843 | |
Orange SA | 9.000% | 3/1/31 | 54,566 | 85,960 | ||
4 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 12,220 | 12,873 | |
4 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 46,897 | |
2,4 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | 4.738% | 9/20/29 | 43,875 | 47,001 | |
Telefonica Emisiones SA | 5.213% | 3/8/47 | 23,755 | 29,739 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 18,149 | 23,586 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,215 | 3,633 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 37,480 | 37,979 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 40,125 | 44,787 | ||
T-Mobile USA Inc. | 2.550% | 2/15/31 | 5,105 | 5,163 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 5,105 | 5,028 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 17,030 | 19,961 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 23,440 | 27,884 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 20,490 | 20,417 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 9,670 | 9,873 | ||
TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 3,720 | 4,481 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 22,990 | 26,721 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 67,074 | 85,049 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 23,900 | 30,373 | ||
Verizon Communications Inc. | 4.000% | 3/22/50 | 9,540 | 10,979 | ||
Verizon Communications Inc. | 4.672% | 3/15/55 | 6,414 | 8,287 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 39,918 | 37,532 | ||
ViacomCBS Inc. | 3.700% | 6/1/28 | 14,790 | 16,460 | ||
Vodafone Group plc | 5.000% | 5/30/38 | 1,890 | 2,381 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 47,080 | 61,715 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 84,065 | 84,889 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 5,980 | 6,280 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 11,000 | 15,499 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 52,100 | 58,050 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 14,600 | 14,378 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 28,240 | 32,007 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 16,160 | 18,996 | ||
2,226,422 | ||||||
Consumer Discretionary (2.0%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 13,800 | 14,687 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 55,880 | 71,980 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 17,920 | 24,327 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 32,790 | 41,955 | ||
American Honda Finance Corp. | 2.300% | 9/9/26 | 17,135 | 18,055 | ||
American Honda Finance Corp. | 2.000% | 3/24/28 | 34,925 | 35,834 | ||
4 | BMW U.S. Capital LLC | 2.250% | 9/15/23 | 93,000 | 96,311 | |
4 | BMW U.S. Capital LLC | 0.800% | 4/1/24 | 25,960 | 26,097 | |
4 | Daimler Finance North America LLC | 2.000% | 7/6/21 | 60,000 | 60,000 | |
4 | Daimler Finance North America LLC | 3.875% | 9/15/21 | 3,270 | 3,294 | |
4 | Daimler Finance North America LLC | 3.250% | 8/1/24 | 3,970 | 4,244 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2 | Duke University | 2.832% | 10/1/55 | 9,635 | 10,042 | |
Emory University | 2.143% | 9/1/30 | 39,256 | 40,122 | ||
4 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 745 | 772 | |
4 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 3,775 | 5,637 | |
4 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 31,000 | 42,282 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 58,730 | 63,276 | ||
George Washington University | 3.545% | 9/15/46 | 10,000 | 11,086 | ||
Georgetown University | 4.315% | 4/1/49 | 5,155 | 6,469 | ||
Georgetown University | 2.943% | 4/1/50 | 9,795 | 9,947 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 10,040 | 11,669 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 32,073 | 35,164 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 22,390 | 28,392 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,020 | 15,624 | ||
4 | Hyundai Capital America | 0.800% | 4/3/23 | 118,000 | 118,077 | |
4 | Hyundai Capital America | 0.875% | 6/14/24 | 30,300 | 30,164 | |
4,5 | Hyundai Capital America, 3M USD LIBOR + 0.940% | 1.137% | 7/8/21 | 50,500 | 50,506 | |
2 | Johns Hopkins University | 4.083% | 7/1/53 | 7,145 | 9,225 | |
2 | Johns Hopkins University | 2.813% | 1/1/60 | 12,420 | 12,363 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 115,000 | 125,497 | ||
Marriott International Inc. | 2.300% | 1/15/22 | 44,000 | 44,298 | ||
McDonald's Corp. | 3.250% | 6/10/24 | 4,400 | 4,726 | ||
McDonald's Corp. | 4.875% | 12/9/45 | 22,775 | 29,320 | ||
McDonald's Corp. | 3.625% | 9/1/49 | 28,770 | 31,875 | ||
2 | Northeastern University | 2.894% | 10/1/50 | 8,570 | 8,720 | |
Starbucks Corp. | 4.500% | 11/15/48 | 49,962 | 62,257 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 7,185 | 7,505 | ||
2 | University of Chicago | 2.761% | 4/1/45 | 9,540 | 9,667 | |
VF Corp. | 2.800% | 4/23/27 | 23,720 | 25,333 | ||
VF Corp. | 2.950% | 4/23/30 | 54,225 | 57,387 | ||
1,304,186 | ||||||
Consumer Staples (1.9%) | ||||||
Altria Group Inc. | 5.800% | 2/14/39 | 25,475 | 31,408 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 10,105 | 10,909 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 22,625 | 22,433 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 15,460 | 18,961 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 94,525 | 119,566 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 5,700 | 7,189 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,080 | 20,786 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 14,500 | 17,727 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 34,425 | 45,867 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 60,340 | 64,567 | ||
4 | BAT International Finance plc | 3.950% | 6/15/25 | 15,000 | 16,374 | |
4 | Cargill Inc. | 2.125% | 4/23/30 | 10,230 | 10,368 | |
4 | Cargill Inc. | 4.760% | 11/23/45 | 57,879 | 75,658 | |
4 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,780 | 24,541 | |
4 | Coca-Cola Europacific Partners plc | 0.800% | 5/3/24 | 53,765 | 53,614 | |
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,685 | 8,735 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 12,255 | 11,960 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 10,375 | 13,196 | ||
Constellation Brands Inc. | 2.700% | 5/9/22 | 2,400 | 2,444 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 4,690 | 5,171 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Danone SA | 2.589% | 11/2/23 | 10,000 | 10,424 | |
4 | Danone SA | 2.947% | 11/2/26 | 68,785 | 73,684 | |
Diageo Capital plc | 2.625% | 4/29/23 | 42,580 | 44,122 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,420 | 20,124 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,315 | 11,335 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 3,585 | 3,604 | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 17,245 | 17,630 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,280 | 12,829 | ||
Estee Lauder Cos. Inc. | 2.600% | 4/15/30 | 9,875 | 10,439 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 11,685 | 11,749 | ||
4 | Imperial Brands Finance plc | 3.750% | 7/21/22 | 58,995 | 60,549 | |
Kroger Co. | 3.850% | 8/1/23 | 5,055 | 5,365 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 6,060 | 6,225 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 57,600 | 61,775 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 72,545 | 77,271 | ||
PepsiCo Inc. | 4.000% | 3/5/42 | 15,755 | 19,145 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 45,740 | 51,342 | ||
PepsiCo Inc. | 3.875% | 3/19/60 | 17,565 | 21,667 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 11,665 | 13,824 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 22,785 | 25,196 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 5,835 | 7,302 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 15,000 | 17,519 | ||
4 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 21,075 | 22,922 | |
Walmart Inc. | 3.550% | 6/26/25 | 56,485 | 62,295 | ||
Walmart Inc. | 3.625% | 12/15/47 | 14,950 | 17,537 | ||
1,267,348 | ||||||
Energy (2.2%) | ||||||
4 | BG Energy Capital plc | 4.000% | 10/15/21 | 17,070 | 17,248 | |
BP Capital Markets America Inc. | 3.245% | 5/6/22 | 10,000 | 10,242 | ||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 16,205 | 15,820 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 17,760 | 16,527 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 32,550 | 31,216 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 8,000 | 8,230 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 13,130 | 14,154 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 38,000 | 41,112 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 41,710 | 45,651 | ||
Chevron Corp. | 3.191% | 6/24/23 | 44,600 | 46,813 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 30,289 | 32,968 | ||
ConocoPhillips | 7.000% | 3/30/29 | 11,500 | 15,218 | ||
ConocoPhillips Co. | 4.950% | 3/15/26 | 12,710 | 14,756 | ||
Energy Transfer Operating LP | 5.300% | 4/15/47 | 5,600 | 6,535 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 5,000 | 6,187 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 23,475 | 27,002 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,445 | 5,851 | ||
Equinor ASA | 2.750% | 11/10/21 | 31,091 | 31,370 | ||
Equinor ASA | 2.450% | 1/17/23 | 10,840 | 11,187 | ||
Equinor ASA | 2.650% | 1/15/24 | 10,105 | 10,624 | ||
Equinor ASA | 3.700% | 3/1/24 | 20,035 | 21,658 | ||
Equinor ASA | 3.250% | 11/10/24 | 17,460 | 18,889 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,965 | 5,305 | ||
Equinor ASA | 3.125% | 4/6/30 | 82,270 | 89,608 | ||
Equinor ASA | 2.375% | 5/22/30 | 15,795 | 16,289 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 10,710 | 11,090 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 7,330 | 7,956 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 35,095 | 37,020 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 24,070 | 25,181 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 36,910 | 38,932 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 10,845 | 12,819 | ||
4 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 50,945 | 50,089 | |
4 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 25,475 | 25,226 | |
4 | Qatar Petroleum | 2.250% | 7/12/31 | 24,825 | 24,561 | |
4 | Qatar Petroleum | 3.125% | 7/12/41 | 23,670 | 23,583 | |
4 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 27,885 | 30,186 | |
4 | Schlumberger Holdings Corp. | 4.000% | 12/21/25 | 21,010 | 23,348 | |
4 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 25,724 | 28,723 | |
4 | Schlumberger Investment SA | 2.400% | 8/1/22 | 20,765 | 21,099 | |
Shell International Finance BV | 3.250% | 5/11/25 | 28,680 | 31,141 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 40,575 | 48,191 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 10,795 | 15,029 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 95,725 | 117,389 | ||
4 | Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 38,955 | 41,659 | |
4 | Sinopec Group Overseas Development 2016 Ltd. | 3.500% | 5/3/26 | 28,000 | 30,597 | |
Suncor Energy Inc. | 3.600% | 12/1/24 | 19,505 | 21,071 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 13,000 | 17,190 | ||
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 3,410 | 3,946 | ||
Sunoco Logistics Partners Operations LP | 5.400% | 10/1/47 | 20,601 | 24,384 | ||
Texaco Capital Inc. | 8.625% | 4/1/32 | 25,000 | 39,320 | ||
Total Capital International SA | 2.700% | 1/25/23 | 32,714 | 33,911 | ||
Total Capital International SA | 3.750% | 4/10/24 | 50,000 | 54,308 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 58,060 | 66,739 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 14,595 | 16,754 | ||
1,481,902 | ||||||
Financials (16.0%) | ||||||
4 | AIA Group Ltd. | 3.600% | 4/9/29 | 49,000 | 54,345 | |
4 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,795 | 14,034 | |
American Express Credit Corp. | 2.700% | 3/3/22 | 83,055 | 84,245 | ||
American International Group Inc. | 3.750% | 7/10/25 | 9,640 | 10,616 | ||
American International Group Inc. | 4.250% | 3/15/29 | 33,365 | 38,509 | ||
American International Group Inc. | 4.700% | 7/10/35 | 2,550 | 3,088 | ||
American International Group Inc. | 6.250% | 5/1/36 | 8,338 | 11,637 | ||
American International Group Inc. | 4.500% | 7/16/44 | 12,839 | 15,584 | ||
American International Group Inc. | 4.800% | 7/10/45 | 7,655 | 9,594 | ||
American International Group Inc. | 4.750% | 4/1/48 | 4,455 | 5,659 | ||
American International Group Inc. | 4.375% | 6/30/50 | 10,205 | 12,428 | ||
American International Group Inc. | 4.375% | 1/15/55 | 5,100 | 6,198 | ||
4 | Athene Global Funding | 1.000% | 4/16/24 | 23,855 | 23,936 | |
4 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 23,805 | 23,123 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,600 | 29,776 | ||
Banco Santander SA | 3.848% | 4/12/23 | 17,000 | 17,970 | ||
Banco Santander SA | 1.849% | 3/25/26 | 66,600 | 67,366 | ||
Banco Santander SA | 2.749% | 12/3/30 | 16,800 | 16,650 | ||
Bank of America Corp. | 3.300% | 1/11/23 | 18,875 | 19,698 | ||
Bank of America Corp. | 2.816% | 7/21/23 | 60,600 | 62,107 | ||
Bank of America Corp. | 4.125% | 1/22/24 | 7,500 | 8,166 | ||
Bank of America Corp. | 4.000% | 1/22/25 | 26,225 | 28,766 | ||
Bank of America Corp. | 3.559% | 4/23/27 | 54,370 | 59,527 | ||
Bank of America Corp. | 3.593% | 7/21/28 | 37,995 | 41,794 | ||
Bank of America Corp. | 3.419% | 12/20/28 | 48,603 | 52,993 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Bank of America Corp. | 4.271% | 7/23/29 | 72,640 | 83,481 | ||
Bank of America Corp. | 3.974% | 2/7/30 | 69,430 | 78,725 | ||
Bank of America Corp. | 3.194% | 7/23/30 | 33,250 | 35,796 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 99,085 | 101,308 | ||
Bank of America Corp. | 2.687% | 4/22/32 | 65,125 | 67,084 | ||
Bank of America Corp. | 6.110% | 1/29/37 | 30,000 | 41,171 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 8,770 | 12,609 | ||
Bank of America Corp. | 5.000% | 1/21/44 | 24,180 | 32,203 | ||
Bank of America Corp. | 3.946% | 1/23/49 | 5,290 | 6,120 | ||
Bank of America Corp. | 4.330% | 3/15/50 | 59,475 | 73,325 | ||
4 | Bank of Montreal | 2.500% | 1/11/22 | 122,300 | 123,722 | |
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 32,698 | 33,875 | ||
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 22,710 | 24,416 | ||
5 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 1.236% | 10/30/23 | 43,060 | 43,577 | |
Bank of Nova Scotia | 2.800% | 7/21/21 | 58,100 | 58,182 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 60,225 | 64,322 | ||
Barclays plc | 3.932% | 5/7/25 | 52,770 | 56,936 | ||
Barclays plc | 2.667% | 3/10/32 | 52,470 | 52,825 | ||
5 | Barclays plc, 3M USD LIBOR + 1.380% | 1.536% | 5/16/24 | 36,710 | 37,388 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 23,645 | 25,849 | ||
4 | BNP Paribas SA | 2.950% | 5/23/22 | 4,365 | 4,466 | |
BNP Paribas SA | 3.250% | 3/3/23 | 4,190 | 4,389 | ||
4 | BNP Paribas SA | 3.800% | 1/10/24 | 56,070 | 60,165 | |
4 | BNP Paribas SA | 3.375% | 1/9/25 | 61,070 | 65,603 | |
4 | BNP Paribas SA | 2.819% | 11/19/25 | 44,480 | 46,788 | |
4 | BNP Paribas SA | 1.323% | 1/13/27 | 20,420 | 20,167 | |
4 | BNP Paribas SA | 3.500% | 11/16/27 | 74,220 | 80,792 | |
4 | BNP Paribas SA | 2.871% | 4/19/32 | 23,320 | 23,925 | |
4 | BPCE SA | 5.700% | 10/22/23 | 10,670 | 11,825 | |
BPCE SA | 4.000% | 4/15/24 | 25,885 | 28,228 | ||
4 | BPCE SA | 5.150% | 7/21/24 | 37,185 | 41,467 | |
4 | BPCE SA | 3.500% | 10/23/27 | 64,900 | 70,514 | |
4 | BPCE SA | 2.700% | 10/1/29 | 48,550 | 50,716 | |
4 | Brighthouse Financial Global Funding | 1.000% | 4/12/24 | 4,600 | 4,608 | |
4 | Brighthouse Financial Global Funding | 1.550% | 5/24/26 | 37,050 | 37,367 | |
4 | Brighthouse Financial Global Funding | 2.000% | 6/28/28 | 27,235 | 27,262 | |
5 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 0.838% | 6/16/22 | 57,790 | 58,159 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 36,165 | 36,224 | ||
Capital One Financial Corp. | 3.750% | 4/24/24 | 60,945 | 65,914 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 9,055 | 9,732 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 58,465 | 58,791 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,790 | 21,663 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 45,325 | 46,530 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 20,340 | 21,931 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 12,280 | 13,499 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 24,795 | 31,352 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 52,610 | 52,741 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 105,990 | 105,534 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 45,085 | 50,841 | ||
Citigroup Inc. | 3.520% | 10/27/28 | 72,260 | 79,132 | ||
Citigroup Inc. | 6.625% | 6/15/32 | 9,000 | 12,247 | ||
Citigroup Inc. | 3.878% | 1/24/39 | 37,225 | 42,723 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Citigroup Inc. | 5.875% | 1/30/42 | 7,460 | 10,741 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 12,142 | 16,291 | ||
Comerica Bank | 2.500% | 7/23/24 | 26,085 | 27,471 | ||
4 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 79,335 | 79,176 | |
4 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 50,065 | 49,359 | |
4 | Credit Agricole SA | 3.750% | 4/24/23 | 31,690 | 33,549 | |
4 | Credit Agricole SA | 3.250% | 10/4/24 | 79,590 | 85,299 | |
Credit Suisse AG | 3.000% | 10/29/21 | 53,710 | 54,192 | ||
Credit Suisse AG | 3.625% | 9/9/24 | 3,955 | 4,295 | ||
4 | Credit Suisse Group AG | 3.574% | 1/9/23 | 40,835 | 41,478 | |
4 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,285 | 13,082 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 57,400 | 62,256 | ||
4 | Credit Suisse Group AG | 2.593% | 9/11/25 | 33,940 | 35,321 | |
4 | Credit Suisse Group AG | 1.305% | 2/2/27 | 35,345 | 34,623 | |
4 | Credit Suisse Group AG | 3.869% | 1/12/29 | 11,050 | 12,160 | |
4 | Credit Suisse Group AG | 3.091% | 5/14/32 | 32,865 | 33,863 | |
4,5 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 1.359% | 6/12/24 | 24,825 | 25,165 | |
4 | Danske Bank A/S | 2.000% | 9/8/21 | 41,970 | 42,090 | |
4 | Danske Bank A/S | 5.000% | 1/12/22 | 20,770 | 21,241 | |
4 | Danske Bank A/S | 3.875% | 9/12/23 | 45,515 | 48,457 | |
4 | Danske Bank A/S | 5.375% | 1/12/24 | 57,035 | 63,264 | |
4 | Danske Bank A/S | 1.621% | 9/11/26 | 30,135 | 30,135 | |
4 | DNB Bank ASA | 1.535% | 5/25/27 | 51,450 | 51,504 | |
4 | DNB Boligkreditt AS | 2.500% | 3/28/22 | 24,355 | 24,762 | |
4 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 15,285 | 15,436 | |
4 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 33,510 | 32,968 | |
4 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 30,265 | 30,043 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 9,850 | 10,415 | ||
Fifth Third Bank NA | 3.850% | 3/15/26 | 29,295 | 32,517 | ||
4 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,320 | 5,796 | |
4 | GA Global Funding Trust | 1.000% | 4/8/24 | 36,170 | 36,253 | |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 70,165 | 70,411 | ||
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 67,095 | 69,170 | ||
Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 65,405 | 65,915 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 7,715 | 8,095 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 16,660 | 18,011 | ||
Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 44,260 | 47,340 | ||
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 13,000 | 14,545 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 48,000 | 52,187 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 36,525 | 40,281 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 76,670 | 76,445 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 43,275 | 43,142 | ||
Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 14,525 | 16,042 | ||
Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 72,755 | 81,357 | ||
Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 54,990 | 62,780 | ||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 19,710 | 22,176 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 39,650 | 40,550 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,700 | 30,658 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 19,895 | 25,968 | ||
4 | Guardian Life Global Funding | 1.250% | 5/13/26 | 7,235 | 7,220 | |
HSBC Holdings plc | 3.262% | 3/13/23 | 25,625 | 26,142 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 56,130 | 59,427 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 19,405 | 19,395 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 7,915 | 8,797 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
HSBC Holdings plc | 1.589% | 5/24/27 | 27,800 | 27,837 | ||
HSBC Holdings plc | 4.041% | 3/13/28 | 27,520 | 30,524 | ||
HSBC Holdings plc | 4.583% | 6/19/29 | 40,190 | 46,454 | ||
HSBC Holdings plc | 2.357% | 8/18/31 | 62,305 | 62,340 | ||
HSBC Holdings plc | 7.625% | 5/17/32 | 15,800 | 22,206 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 54,790 | 56,242 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 22,000 | 30,307 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 43,680 | 63,559 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 5,795 | 7,515 | ||
5 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 1.155% | 5/18/24 | 26,495 | 26,840 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 18,355 | 19,882 | ||
ING Groep NV | 3.150% | 3/29/22 | 13,170 | 13,442 | ||
ING Groep NV | 3.950% | 3/29/27 | 33,605 | 37,734 | ||
ING Groep NV | 1.726% | 4/1/27 | 33,125 | 33,417 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 6,100 | 5,846 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 19,095 | 18,798 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 27,695 | 26,695 | ||
4 | JAB Holdings BV | 2.200% | 11/23/30 | 10,375 | 10,108 | |
4 | JAB Holdings BV | 3.750% | 5/28/51 | 20,355 | 21,745 | |
4 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 48,955 | 52,143 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 36,370 | 38,287 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 11,200 | 12,139 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 11,560 | 12,784 | ||
JPMorgan Chase & Co. | 7.750% | 7/15/25 | 25,000 | 31,442 | ||
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 26,730 | 29,232 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 75,000 | 80,810 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 24,400 | 27,614 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 9,275 | 10,576 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 14,530 | 14,642 | ||
JPMorgan Chase & Co. | 4.452% | 12/5/29 | 40,000 | 46,755 | ||
JPMorgan Chase & Co. | 3.702% | 5/6/30 | 18,940 | 21,183 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 37,965 | 36,918 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 22,175 | 22,782 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/41 | 38,075 | 39,455 | ||
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 70,000 | 98,077 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 16,235 | 22,314 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 13,500 | 19,065 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 12,000 | 15,892 | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 160,000 | 187,475 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 38,610 | 40,024 | ||
4 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 2,608 | 2,789 | |
4 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 9,217 | 10,773 | |
4 | Liberty Mutual Insurance Co. | 8.500% | 5/15/25 | 21,665 | 26,647 | |
Loews Corp. | 2.625% | 5/15/23 | 14,100 | 14,607 | ||
4 | LSEGA Financing plc | 1.375% | 4/6/26 | 97,795 | 97,963 | |
4 | LSEGA Financing plc | 2.000% | 4/6/28 | 63,125 | 63,828 | |
4 | LSEGA Financing plc | 2.500% | 4/6/31 | 38,890 | 39,803 | |
4 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 50,725 | 53,705 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 20,085 | 21,485 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 22,125 | 25,952 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,400 | 14,211 | ||
MetLife Inc. | 3.600% | 4/10/24 | 28,000 | 30,285 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5,300 | 6,336 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,500 | 23,070 | ||
4 | Metropolitan Life Global Funding I | 3.450% | 10/9/21 | 28,465 | 28,714 | |
4 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 14,005 | 14,266 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 29,970 | 33,228 | |
4 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 43,250 | 46,900 | |
4 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 25,000 | 31,086 | |
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 64,285 | 65,826 | ||
Morgan Stanley | 3.750% | 2/25/23 | 23,000 | 24,240 | ||
Morgan Stanley | 3.875% | 4/29/24 | 22,050 | 23,972 | ||
Morgan Stanley | 0.790% | 5/30/25 | 51,000 | 50,799 | ||
Morgan Stanley | 2.720% | 7/22/25 | 51,520 | 54,240 | ||
Morgan Stanley | 4.000% | 7/23/25 | 20,805 | 23,165 | ||
Morgan Stanley | 3.125% | 7/27/26 | 36,950 | 40,002 | ||
Morgan Stanley | 4.350% | 9/8/26 | 15,000 | 16,999 | ||
Morgan Stanley | 3.625% | 1/20/27 | 31,000 | 34,404 | ||
Morgan Stanley | 3.772% | 1/24/29 | 56,830 | 63,818 | ||
Morgan Stanley | 2.699% | 1/22/31 | 72,345 | 75,781 | ||
Morgan Stanley | 7.250% | 4/1/32 | 51,100 | 74,357 | ||
Morgan Stanley | 4.300% | 1/27/45 | 24,705 | 30,640 | ||
4 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 75,600 | 76,295 | |
4 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 83,980 | 81,519 | |
4 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 47,110 | 47,835 | |
4 | Nationwide Building Society | 3.622% | 4/26/23 | 22,755 | 23,332 | |
4 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 47,630 | 52,558 | |
4 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 66,415 | 74,319 | |
Natwest Group plc | 1.642% | 6/14/27 | 30,570 | 30,568 | ||
4 | NatWest Markets plc | 0.800% | 8/12/24 | 23,725 | 23,627 | |
4 | NBK SPC Ltd. | 2.750% | 5/30/22 | 56,875 | 57,900 | |
4 | New York Life Global Funding | 2.900% | 1/17/24 | 58,670 | 62,109 | |
4 | New York Life Insurance Co. | 5.875% | 5/15/33 | 44,785 | 58,698 | |
4 | New York Life Insurance Co. | 3.750% | 5/15/50 | 17,810 | 20,011 | |
4 | New York Life Insurance Co. | 4.450% | 5/15/69 | 14,535 | 18,085 | |
4 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,098 | 27,520 | |
4 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,060 | 9,888 | |
4 | Pacific Life Global Funding II | 1.375% | 4/14/26 | 51,785 | 51,937 | |
PNC Bank NA | 3.300% | 10/30/24 | 14,645 | 15,892 | ||
PNC Bank NA | 2.950% | 2/23/25 | 34,775 | 37,318 | ||
PNC Bank NA | 3.100% | 10/25/27 | 42,485 | 46,522 | ||
PNC Bank NA | 3.250% | 1/22/28 | 60,960 | 67,300 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 40,150 | 43,629 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 52,980 | 55,782 | ||
4 | Principal Life Global Funding II | 2.500% | 9/16/29 | 45,000 | 46,898 | |
Prudential Financial Inc. | 3.000% | 3/10/40 | 8,200 | 8,406 | ||
Prudential plc | 3.125% | 4/14/30 | 21,325 | 22,970 | ||
Royal Bank of Canada | 2.750% | 2/1/22 | 44,630 | 45,291 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 28,405 | 28,997 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 26,105 | 27,167 | ||
4 | Standard Chartered plc | 2.744% | 9/10/22 | 42,655 | 42,828 | |
4 | Standard Chartered plc | 1.214% | 3/23/25 | 12,545 | 12,607 | |
State Street Corp. | 2.653% | 5/15/23 | 31,280 | 31,908 | ||
4 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 100,340 | 100,558 | |
Svenska Handelsbanken AB | 1.875% | 9/7/21 | 37,750 | 37,868 | ||
4 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 65,775 | 65,578 | |
4 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 21,990 | 28,356 | |
4 | Teachers Insurance & Annuity Association of America | 4.270% | 5/15/47 | 42,865 | 51,209 | |
4 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 39,070 | 40,239 | |
4 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,135 | 40,952 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 40,775 | 39,286 | |
4 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 23,800 | 23,080 | |
4 | Toronto-Dominion Bank | 2.500% | 1/18/23 | 77,500 | 78,444 | |
Truist Bank | 2.625% | 1/15/22 | 22,740 | 22,996 | ||
Truist Bank | 3.300% | 5/15/26 | 11,955 | 13,108 | ||
Truist Financial Corp. | 3.200% | 9/3/21 | 25,210 | 25,276 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 60,000 | 61,769 | ||
Truist Financial Corp. | 3.700% | 6/5/25 | 48,000 | 52,890 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 33,005 | 33,050 | ||
U.S. Bancorp | 2.625% | 1/24/22 | 47,510 | 48,061 | ||
U.S. Bancorp | 3.700% | 1/30/24 | 39,005 | 42,032 | ||
U.S. Bancorp | 2.375% | 7/22/26 | 45,000 | 47,580 | ||
4 | UBS AG | 1.250% | 6/1/26 | 60,465 | 60,334 | |
4 | UBS Group AG | 2.650% | 2/1/22 | 46,000 | 46,634 | |
4 | UBS Group AG | 3.126% | 8/13/30 | 18,240 | 19,548 | |
4 | UBS Group AG | 2.095% | 2/11/32 | 25,345 | 24,801 | |
4 | UniCredit SPA | 1.982% | 6/3/27 | 37,130 | 36,971 | |
4 | UniCredit SPA | 3.127% | 6/3/32 | 40,330 | 40,536 | |
4 | USAA Capital Corp. | 2.125% | 5/1/30 | 3,735 | 3,776 | |
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 18,185 | ||
Wells Fargo & Co. | 3.450% | 2/13/23 | 39,400 | 41,295 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 34,444 | 37,704 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 30,455 | 32,754 | ||
Wells Fargo & Co. | 3.000% | 2/19/25 | 28,660 | 30,674 | ||
Wells Fargo & Co. | 0.805% | 5/19/25 | 24,935 | 24,890 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 27,170 | 29,875 | ||
Wells Fargo & Co. | 3.000% | 4/22/26 | 36,830 | 39,611 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 45,700 | 51,324 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 6,435 | 6,938 | ||
Wells Fargo & Co. | 3.196% | 6/17/27 | 57,145 | 61,728 | ||
Wells Fargo & Co. | 2.879% | 10/30/30 | 28,045 | 29,706 | ||
Wells Fargo & Co. | 2.572% | 2/11/31 | 98,745 | 102,218 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 28,551 | 39,051 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 20,735 | 25,551 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 16,060 | 20,557 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 36,200 | 43,716 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 38,790 | 49,026 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 6,870 | 7,226 | ||
10,636,942 | ||||||
Health Care (4.8%) | ||||||
AbbVie Inc. | 5.000% | 12/15/21 | 23,725 | 23,950 | ||
AbbVie Inc. | 3.450% | 3/15/22 | 23,785 | 24,187 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 12,825 | 14,026 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 19,895 | 23,095 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 14,075 | 17,887 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 35,585 | 43,103 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 22,440 | 26,905 | ||
Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 17,670 | 17,908 | ||
Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 19,220 | 19,819 | ||
Aetna Inc. | 2.800% | 6/15/23 | 32,080 | 33,390 | ||
4 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,645 | 5,976 | |
4 | Alcon Finance Corp. | 2.600% | 5/27/30 | 7,035 | 7,190 | |
4 | Alcon Finance Corp. | 3.800% | 9/23/49 | 32,825 | 36,493 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 27,355 | 27,409 | ||
Amgen Inc. | 3.625% | 5/22/24 | 38,185 | 41,113 | ||
Amgen Inc. | 2.300% | 2/25/31 | 67,075 | 67,928 | ||
Amgen Inc. | 3.150% | 2/21/40 | 44,355 | 46,129 | ||
Amgen Inc. | 5.150% | 11/15/41 | 6,373 | 8,372 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Amgen Inc. | 2.770% | 9/1/53 | 8,878 | 8,438 | ||
Anthem Inc. | 3.650% | 12/1/27 | 13,150 | 14,712 | ||
Anthem Inc. | 4.101% | 3/1/28 | 42,145 | 48,228 | ||
Anthem Inc. | 2.550% | 3/15/31 | 38,225 | 39,428 | ||
Anthem Inc. | 4.650% | 8/15/44 | 3,181 | 3,984 | ||
Ascension Health | 2.532% | 11/15/29 | 48,025 | 50,652 | ||
2 | Ascension Health | 4.847% | 11/15/53 | 1,950 | 2,739 | |
AstraZeneca plc | 3.375% | 11/16/25 | 27,755 | 30,394 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 33,295 | 38,271 | ||
4 | Bayer U.S. Finance II LLC | 4.250% | 12/15/25 | 23,781 | 26,513 | |
4 | Bayer U.S. Finance II LLC | 5.500% | 7/30/35 | 15,000 | 18,560 | |
4 | Bayer U.S. Finance LLC | 3.000% | 10/8/21 | 38,730 | 39,000 | |
4 | Bayer U.S. Finance LLC | 3.375% | 10/8/24 | 26,960 | 28,953 | |
2 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,675 | 19,449 | |
Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,525 | 11,445 | ||
Boston Scientific Corp. | 4.000% | 3/1/29 | 6,515 | 7,414 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,416 | 4,577 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 7,303 | 7,630 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 29,395 | 32,928 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 16,775 | 20,281 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 7,153 | 9,336 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 48,907 | 61,771 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 17,765 | 17,013 | ||
Children's Hospital Corp. | 2.585% | 2/1/50 | 5,670 | 5,386 | ||
Cigna Corp. | 3.250% | 4/15/25 | 30,765 | 33,158 | ||
Cigna Corp. | 4.375% | 10/15/28 | 18,115 | 21,085 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 33,780 | 34,866 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 11,695 | 12,521 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 28,080 | 29,558 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 40,950 | 44,377 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 16,260 | 16,920 | ||
2 | CommonSpirit Health | 4.350% | 11/1/42 | 22,185 | 25,927 | |
CommonSpirit Health | 4.187% | 10/1/49 | 34,445 | 39,558 | ||
Cottage Health Obligated Group | 3.304% | 11/1/49 | 10,000 | 10,840 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 20,000 | 20,556 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 4,906 | 5,636 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 18,205 | 22,196 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 18,000 | 20,866 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 25,595 | 33,221 | ||
2,4 | CVS Pass-Through Trust | 5.926% | 1/10/34 | 11,896 | 14,364 | |
Dignity Health | 3.812% | 11/1/24 | 18,560 | 20,291 | ||
4 | EMD Finance LLC | 2.950% | 3/19/22 | 19,640 | 19,925 | |
Gilead Sciences Inc. | 2.500% | 9/1/23 | 26,390 | 27,452 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 21,420 | 23,018 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 28,575 | 30,963 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 26,007 | 31,760 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 20,185 | 19,391 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 25,750 | 26,815 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 16,055 | 21,643 | ||
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 51,595 | 52,737 | ||
Indiana University Health Inc. Obligated Group | 2.852% | 11/1/51 | 12,815 | 12,878 | ||
Johnson & Johnson | 6.730% | 11/15/23 | 15,000 | 17,272 | ||
Johnson & Johnson | 2.450% | 3/1/26 | 78,000 | 83,072 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 15,190 | 16,635 | ||
Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 39,420 | 40,276 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 12,710 | 17,105 | ||
Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 38,650 | 39,868 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Mass General Brigham Inc. | 3.192% | 7/1/49 | 32,645 | 34,453 | ||
Mass General Brigham Inc. | 3.342% | 7/1/60 | 31,285 | 34,408 | ||
Mayo Clinic | 4.128% | 11/15/52 | 11,465 | 14,427 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 9,849 | 10,811 | ||
Memorial Sloan-Kettering Cancer Center | 5.000% | 7/1/42 | 11,505 | 15,655 | ||
Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 20,260 | 20,716 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 7,820 | 9,881 | ||
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 5,940 | 7,579 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 38,000 | 40,488 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 58,390 | 65,440 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 28,405 | 35,059 | ||
Mercy Health | 4.302% | 7/1/28 | 19,830 | 23,307 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 13,425 | 14,481 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,485 | 27,534 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 28,400 | 31,182 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 52,500 | 59,062 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 9,100 | 9,051 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 52,715 | 64,102 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 11,300 | 11,334 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 12,495 | 12,458 | ||
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 14,735 | 15,721 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 25,655 | 26,893 | ||
2 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 12,030 | 13,961 | |
4 | Roche Holdings Inc. | 2.375% | 1/28/27 | 61,570 | 64,869 | |
4 | Royalty Pharma plc | 3.300% | 9/2/40 | 15,135 | 15,216 | |
4 | Royalty Pharma plc | 3.550% | 9/2/50 | 48,265 | 48,188 | |
Rush Obligated Group | 3.922% | 11/15/29 | 12,000 | 13,705 | ||
SSM Health Care Corp. | 3.823% | 6/1/27 | 41,615 | 46,497 | ||
Sutter Health | 2.294% | 8/15/30 | 19,905 | 20,092 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,825 | 30,559 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,290 | 18,483 | ||
Toledo Hospital | 5.750% | 11/15/38 | 18,425 | 22,235 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,346 | 2,374 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 12,000 | 12,517 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 14,220 | 15,505 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,260 | 39,360 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 11,275 | 11,369 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,285 | 11,756 | ||
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 20,000 | 30,444 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 12,760 | 12,913 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 36,010 | 45,861 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 31,000 | 38,001 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 12,296 | 16,120 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,345 | 10,199 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 12,545 | 15,527 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,890 | 6,258 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 40,900 | 46,922 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 36,364 | 36,671 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 4,060 | 4,809 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 12,840 | 13,234 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 21,523 | ||
3,187,942 | ||||||
Industrials (2.1%) | ||||||
4 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 26,068 | 28,378 | |
4 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 29,838 | 32,922 | |
4 | BAE Systems plc | 3.400% | 4/15/30 | 9,390 | 10,204 | |
Boeing Co. | 1.433% | 2/4/24 | 34,165 | 34,253 | ||
Boeing Co. | 2.700% | 2/1/27 | 16,380 | 16,926 | ||
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 7,235 | 7,326 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 3,748 | 5,110 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 5,750 | 7,329 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 21,220 | 25,709 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 26,898 | 32,692 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,225 | 3,897 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 16,975 | 17,693 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 25,925 | 23,461 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,103 | 15,658 | ||
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 39,500 | 41,020 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 19,475 | 20,916 | ||
Caterpillar Inc. | 5.200% | 5/27/41 | 19,770 | 27,325 | ||
CSX Corp. | 4.300% | 3/1/48 | 16,635 | 20,197 | ||
CSX Corp. | 3.350% | 9/15/49 | 7,745 | 8,205 | ||
Eaton Corp. | 6.500% | 6/1/25 | 10,000 | 11,883 | ||
FedEx Corp. | 4.100% | 2/1/45 | 4,320 | 4,938 | ||
FedEx Corp. | 4.550% | 4/1/46 | 5,894 | 7,135 | ||
FedEx Corp. | 4.050% | 2/15/48 | 1,653 | 1,899 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 42,775 | 45,816 | ||
John Deere Capital Corp. | 2.800% | 1/27/23 | 8,000 | 8,313 | ||
John Deere Capital Corp. | 3.350% | 6/12/24 | 9,000 | 9,727 | ||
John Deere Capital Corp. | 3.450% | 3/13/25 | 43,560 | 47,762 | ||
Johnson Controls International plc | 3.750% | 12/1/21 | 596 | 599 | ||
Kansas City Southern | 4.950% | 8/15/45 | 13,845 | 17,689 | ||
Lockheed Martin Corp. | 2.900% | 3/1/25 | 26,840 | 28,777 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 2,545 | 2,554 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 6,715 | 8,441 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 7,501 | 8,747 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 12,041 | 15,933 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 10,925 | 10,956 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 4,609 | 5,761 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,155 | 8,451 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 16,205 | 16,755 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 29,445 | 31,010 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,065 | 9,916 | ||
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 14,290 | 17,667 | ||
4 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 15,560 | 16,690 | |
4 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 22,660 | 23,852 | |
4 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 53,520 | 58,552 | |
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 32,800 | 37,778 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,050 | 10,953 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 34,249 | 42,629 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,891 | 6,644 | ||
4 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 60,840 | 62,304 | |
4 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 62,200 | 66,372 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 21,840 | 21,954 | |
4 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 38,245 | 38,653 | |
4 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 40,495 | 51,835 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,040 | 32,410 | ||
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 40,240 | 41,000 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 44,340 | 45,584 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 27,750 | 31,241 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 14,765 | 15,554 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 14,843 | 16,963 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 12,720 | 14,439 | ||
Union Pacific Corp. | 2.973% | 9/16/62 | 7,030 | 6,751 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 16,165 | 17,781 | ||
2 | United Airlines Class B Series 2018-1 Pass Through Trust | 4.600% | 9/1/27 | 6,090 | 6,237 | |
1,366,126 | ||||||
Materials (0.1%) | ||||||
4 | Air Liquide Finance SA | 2.250% | 9/27/23 | 21,000 | 21,780 | |
4 | Air Liquide Finance SA | 2.500% | 9/27/26 | 16,815 | 17,849 | |
International Paper Co. | 4.350% | 8/15/48 | 23,159 | 28,831 | ||
68,460 | ||||||
Real Estate (0.8%) | ||||||
American Tower Corp. | 4.700% | 3/15/22 | 2,905 | 2,992 | ||
American Tower Corp. | 5.000% | 2/15/24 | 8,641 | 9,582 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,300 | 8,244 | ||
American Tower Corp. | 3.800% | 8/15/29 | 32,261 | 35,982 | ||
Boston Properties LP | 3.125% | 9/1/23 | 13,520 | 14,175 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,780 | 1,905 | ||
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,385 | 11,450 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,575 | 9,528 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 76,475 | 74,587 | ||
Equinix Inc. | 3.000% | 7/15/50 | 35,915 | 34,438 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 30,600 | 32,458 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 19,405 | 21,176 | ||
4 | SBA Tower Trust | 1.631% | 11/15/26 | 24,900 | 24,878 | |
4 | SBA Tower Trust | 3.448% | 3/15/48 | 28,730 | 29,292 | |
4 | SBA Tower Trust | 2.836% | 1/15/50 | 24,160 | 25,191 | |
4 | SBA Tower Trust | 1.884% | 7/15/50 | 9,320 | 9,393 | |
4 | Scentre Group Trust 1 / Scentre Group Trust 2 | 4.375% | 5/28/30 | 28,670 | 33,307 | |
Simon Property Group LP | 3.750% | 2/1/24 | 6,645 | 7,124 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 20,470 | 22,036 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 38,350 | 39,455 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 8,845 | 9,643 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 25,855 | 26,294 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 19,565 | 20,461 | ||
503,591 | ||||||
Technology (3.8%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,750 | 24,139 | ||
Apple Inc. | 3.450% | 5/6/24 | 31,140 | 33,708 | ||
Apple Inc. | 2.850% | 5/11/24 | 45,635 | 48,447 | ||
Apple Inc. | 2.750% | 1/13/25 | 21,615 | 23,110 | ||
Apple Inc. | 3.250% | 2/23/26 | 38,220 | 41,970 | ||
Apple Inc. | 2.450% | 8/4/26 | 55,182 | 58,697 | ||
Apple Inc. | 3.350% | 2/9/27 | 56,435 | 62,645 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Apple Inc. | 3.200% | 5/11/27 | 39,750 | 43,909 | ||
Apple Inc. | 2.900% | 9/12/27 | 83,420 | 90,936 | ||
Apple Inc. | 3.850% | 5/4/43 | 15,275 | 18,181 | ||
Apple Inc. | 4.450% | 5/6/44 | 4,035 | 5,201 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,510 | 43,366 | ||
Apple Inc. | 2.650% | 5/11/50 | 26,520 | 25,993 | ||
Apple Inc. | 2.550% | 8/20/60 | 50,285 | 46,894 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 10,955 | 12,108 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 3,395 | 3,807 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 38,911 | 43,745 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 4,670 | 5,241 | ||
4 | Broadcom Inc. | 3.500% | 2/15/41 | 26,355 | 27,046 | |
4 | Broadcom Inc. | 3.750% | 2/15/51 | 12,880 | 13,460 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 17,082 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 8,650 | 8,598 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 21,845 | 23,665 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 22,020 | 22,927 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,825 | 31,710 | ||
Intel Corp. | 4.100% | 5/19/46 | 47,755 | 57,373 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 61,300 | 65,075 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 22,800 | 24,555 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 81,400 | 86,747 | ||
International Business Machines Corp. | 7.000% | 10/30/25 | 25,000 | 31,318 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 148,025 | 162,786 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 98,025 | 109,741 | ||
International Business Machines Corp. | 2.850% | 5/15/40 | 22,310 | 22,557 | ||
International Business Machines Corp. | 2.950% | 5/15/50 | 8,825 | 8,852 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 47,230 | 49,977 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 23,890 | 25,583 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 11,865 | 12,947 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 64,501 | 68,736 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 25,692 | 29,692 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 162,183 | 159,372 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 115,380 | 122,388 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 19,051 | 18,968 | ||
Oracle Corp. | 1.900% | 9/15/21 | 70,285 | 70,425 | ||
Oracle Corp. | 2.500% | 5/15/22 | 38,860 | 39,457 | ||
Oracle Corp. | 2.400% | 9/15/23 | 63,535 | 65,909 | ||
Oracle Corp. | 2.950% | 11/15/24 | 80,105 | 85,345 | ||
Oracle Corp. | 2.950% | 5/15/25 | 11,300 | 12,034 | ||
Oracle Corp. | 1.650% | 3/25/26 | 94,560 | 95,871 | ||
Oracle Corp. | 3.250% | 11/15/27 | 112,120 | 121,773 | ||
Oracle Corp. | 4.000% | 11/15/47 | 16,360 | 17,835 | ||
Oracle Corp. | 3.950% | 3/25/51 | 16,985 | 18,560 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,920 | 20,033 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,611 | 27,025 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 44,450 | 45,493 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,504 | 39,686 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
QUALCOMM Inc. | 3.250% | 5/20/50 | 15,990 | 17,241 | ||
2,509,939 | ||||||
Utilities (5.4%) | ||||||
AEP Texas Inc. | 4.150% | 5/1/49 | 4,750 | 5,548 | ||
AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 17,434 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 3,365 | 4,406 | ||
Alabama Power Co. | 4.100% | 1/15/42 | 5,595 | 6,434 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 20,255 | 23,100 | ||
Alabama Power Co. | 4.300% | 7/15/48 | 27,790 | 34,400 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 58,000 | 59,261 | ||
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,365 | 25,303 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,085 | 5,817 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 20,245 | 21,866 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,495 | 1,688 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 29,696 | 36,087 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 885 | 1,069 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 4,430 | 4,790 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 16,830 | 17,967 | ||
Baltimore Gas and Electric Co. | 2.800% | 8/15/22 | 26,250 | 26,789 | ||
Baltimore Gas and Electric Co. | 2.400% | 8/15/26 | 20,945 | 22,055 | ||
Baltimore Gas and Electric Co. | 2.900% | 6/15/50 | 9,820 | 9,811 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 32,052 | 45,165 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 865 | 1,192 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,725 | 14,169 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 32,020 | 39,293 | ||
4 | Boston Gas Co. | 3.150% | 8/1/27 | 8,010 | 8,587 | |
4 | Boston Gas Co. | 3.001% | 8/1/29 | 5,700 | 6,003 | |
4 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 63,125 | 72,037 | |
CenterPoint Energy Houston Electric LLC | 4.250% | 2/1/49 | 6,685 | 8,345 | ||
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 9,123 | 10,266 | ||
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 4,406 | 6,117 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 13,465 | 13,937 | ||
Commonwealth Edison Co. | 2.950% | 8/15/27 | 23,275 | 25,137 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,990 | 14,892 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,420 | 7,276 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,900 | 21,457 | ||
Consolidated Edison Co of New York Inc. | 6.300% | 8/15/37 | 45,000 | 63,155 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,500 | 12,697 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 30,855 | 37,328 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,752 | 3,054 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,755 | 1,996 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 24,915 | 31,329 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 22,720 | 27,571 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 9,550 | 10,173 | ||
Dominion Energy Inc. | 2.715% | 8/15/21 | 14,945 | 14,988 | ||
4 | Dominion Energy Inc. | 2.450% | 1/15/23 | 106,490 | 109,646 | |
Dominion Energy Inc. | 4.900% | 8/1/41 | 13,562 | 17,164 | ||
Dominion Energy Inc. | 4.600% | 3/15/49 | 13,855 | 17,422 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,832 | 6,748 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,446 | 1,889 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 23,085 | 32,751 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 9,627 | 13,193 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 6,830 | 8,768 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 25,065 | 36,331 | ||
DTE Energy Co. | 3.800% | 3/15/27 | 19,405 | 21,581 | ||
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,000 | 6,390 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 13,915 | 19,381 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 5,684 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 6,375 | 7,721 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 5,205 | 6,129 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,220 | 19,403 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 17,480 | 18,489 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 11,420 | 12,512 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 33,075 | 33,856 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 37,600 | 46,091 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 14,740 | 15,716 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 36,945 | 38,198 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 1,625 | 2,361 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 6,221 | 7,405 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 61,923 | 74,646 | ||
4 | East Ohio Gas Co. | 2.000% | 6/15/30 | 13,440 | 13,308 | |
4 | East Ohio Gas Co. | 3.000% | 6/15/50 | 19,575 | 19,541 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 14,085 | 14,914 | ||
4 | Eastern Gas Transmission & Storage Inc. | 3.000% | 11/15/29 | 19,580 | 20,627 | |
4 | Eastern Gas Transmission & Storage Inc. | 4.800% | 11/1/43 | 14,190 | 16,733 | |
4 | Eastern Gas Transmission & Storage Inc. | 4.600% | 12/15/44 | 7,003 | 8,070 | |
4 | Electricite de France SA | 4.875% | 9/21/38 | 69,690 | 85,846 | |
4 | Electricite de France SA | 4.875% | 1/22/44 | 2,910 | 3,666 | |
4 | Electricite de France SA | 4.950% | 10/13/45 | 12,500 | 16,049 | |
Emera U.S. Finance LP | 3.550% | 6/15/26 | 32,320 | 35,345 | ||
Entergy Corp. | 2.950% | 9/1/26 | 7,085 | 7,569 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 10,065 | 10,983 | ||
Evergy Inc. | 2.450% | 9/15/24 | 28,130 | 29,461 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 3,120 | 3,290 | ||
Evergy Metro Inc. | 2.250% | 6/1/30 | 8,520 | 8,674 | ||
Evergy Metro Inc. | 4.200% | 3/15/48 | 3,282 | 3,993 | ||
Eversource Energy | 2.900% | 10/1/24 | 25,155 | 26,645 | ||
Eversource Energy | 3.150% | 1/15/25 | 6,775 | 7,235 | ||
Eversource Energy | 3.300% | 1/15/28 | 14,490 | 15,822 | ||
Florida Power & Light Co. | 6.200% | 6/1/36 | 12,452 | 17,579 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 10,000 | 14,422 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,994 | 7,129 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 29,745 | 40,757 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 20,000 | 24,373 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 27,690 | 32,565 | ||
Fortis Inc. | 3.055% | 10/4/26 | 44,365 | 47,700 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 34,725 | 42,897 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 28,162 | 33,361 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Georgia Power Co. | 3.700% | 1/30/50 | 9,335 | 10,162 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,590 | 17,756 | ||
4 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 37,580 | 39,437 | |
4 | KeySpan Gas East Corp. | 5.819% | 4/1/41 | 5,060 | 6,917 | |
4 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,895 | 30,380 | |
4 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,851 | 7,665 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 9,925 | 13,657 | ||
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,110 | 1,375 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 14,675 | 18,135 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,000 | 13,818 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 44,720 | 47,803 | ||
4 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 3,400 | 3,823 | |
4 | Monongahela Power Co. | 4.100% | 4/15/24 | 11,000 | 11,853 | |
4 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,320 | 5,653 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 13,800 | 13,944 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,355 | 16,209 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 32,210 | 34,247 | ||
Nevada Power Co. | 3.125% | 8/1/50 | 17,655 | 18,246 | ||
NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 8,840 | 9,587 | ||
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,950 | 36,449 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 33,830 | 34,213 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 12,880 | 14,252 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 20,155 | 21,297 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 41,505 | 41,891 | ||
4 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,280 | 40,374 | |
4 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 22,255 | 21,779 | |
NiSource Inc. | 5.250% | 2/15/43 | 13,546 | 17,648 | ||
NiSource Inc. | 4.800% | 2/15/44 | 8,500 | 10,540 | ||
2,4 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 35,520 | 44,694 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 5,145 | 6,866 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,835 | 2,092 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 20,029 | 22,183 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 5,781 | 7,269 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,225 | 21,687 | ||
Oklahoma Gas and Electric Co. | 6.500% | 4/15/28 | 10,000 | 12,596 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 13,935 | 14,279 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 31,858 | 34,039 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 11,325 | 15,348 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 3,275 | 4,167 | ||
PacifiCorp | 2.950% | 6/1/23 | 14,835 | 15,444 | ||
PacifiCorp | 3.600% | 4/1/24 | 20,000 | 21,468 | ||
PacifiCorp | 3.350% | 7/1/25 | 15,354 | 16,630 | ||
PacifiCorp | 2.700% | 9/15/30 | 8,500 | 8,928 | ||
PacifiCorp | 5.750% | 4/1/37 | 14,188 | 19,443 | ||
PacifiCorp | 4.125% | 1/15/49 | 2,262 | 2,713 | ||
PacifiCorp | 4.150% | 2/15/50 | 11,330 | 13,757 | ||
PacifiCorp | 3.300% | 3/15/51 | 20,663 | 22,012 | ||
Potomac Electric Power Co. | 3.050% | 4/1/22 | 4,235 | 4,321 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 8,000 | 11,739 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
PPL Electric Utilities Corp. | 2.500% | 9/1/22 | 12,830 | 13,069 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 2,675 | 3,888 | ||
Progress Energy Inc. | 3.150% | 4/1/22 | 20,800 | 21,098 | ||
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 19,880 | 23,920 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,620 | 6,423 | ||
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 1,505 | 1,823 | ||
2 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 11,035 | 10,757 | |
SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,915 | 3,792 | ||
SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,545 | 3,396 | ||
Sempra Energy | 2.875% | 10/1/22 | 14,066 | 14,399 | ||
Sempra Energy | 3.800% | 2/1/38 | 20,000 | 22,310 | ||
Sempra Energy | 6.000% | 10/15/39 | 21,184 | 29,474 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 8,027 | 8,531 | ||
Southern California Edison Co. | 2.400% | 2/1/22 | 8,270 | 8,340 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 3,225 | 3,515 | ||
Southern California Edison Co. | 5.750% | 4/1/35 | 5,000 | 6,442 | ||
Southern California Edison Co. | 6.050% | 3/15/39 | 1,995 | 2,658 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 5,150 | 5,923 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 17,788 | 19,162 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 8,782 | 9,209 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 16,770 | 19,284 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 8,160 | 8,185 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 3,675 | 3,870 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 32,029 | 34,260 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 25,325 | 25,389 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 28,885 | 30,719 | ||
Southern Co. | 2.950% | 7/1/23 | 44,985 | 46,975 | ||
Southern Co. | 4.400% | 7/1/46 | 25,160 | 29,518 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 9,465 | 9,468 | ||
Southwestern Electric Power Co. | 2.750% | 10/1/26 | 15,000 | 15,909 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 13,702 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,790 | 4,269 | ||
4 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 63,500 | 64,570 | |
4 | State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 29,070 | 31,994 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 20,205 | 20,601 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,942 | 17,727 | ||
Virginia Electric and Power Co. | 3.500% | 3/15/27 | 40,765 | 45,220 | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 9,435 | 13,126 | ||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 13,825 | 18,851 | ||
Xcel Energy Inc. | 3.350% | 12/1/26 | 33,370 | 36,366 | ||
3,596,935 | ||||||
Total Corporate Bonds (Cost $25,890,607) | 28,149,793 | |||||
Sovereign Bonds (1.0%) | ||||||
4 | Government of Bermuda | 2.375% | 8/20/30 | 15,145 | 15,147 | |
4 | Government of Bermuda | 3.375% | 8/20/50 | 7,115 | 7,251 | |
4 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,320 | 31,458 | |
4 | Kuwait | 2.750% | 3/20/22 | 4,315 | 4,390 | |
Province of Ontario | 2.500% | 4/27/26 | 100,400 | 107,384 | ||
Province of Quebec | 2.500% | 4/20/26 | 134,755 | 144,315 | ||
Republic of Chile | 2.550% | 1/27/32 | 37,535 | 38,357 | ||
Republic of Chile | 3.500% | 4/15/53 | 27,770 | 29,235 | ||
Republic of Chile | 3.100% | 1/22/61 | 14,340 | 13,727 | ||
Republic of Colombia | 4.000% | 2/26/24 | 29,348 | 31,088 | ||
Republic of Panama | 2.252% | 9/29/32 | 60,260 | 57,839 | ||
2 | Republic of Panama | 3.870% | 7/23/60 | 53,230 | 54,374 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | State of Qatar | 3.875% | 4/23/23 | 69,280 | 73,608 | |
4 | State of Qatar | 3.375% | 3/14/24 | 3,250 | 3,486 | |
4 | State of Qatar | 4.400% | 4/16/50 | 13,435 | 16,357 | |
Total Sovereign Bonds (Cost $605,794) | 628,016 | |||||
Taxable Municipal Bonds (2.8%) | ||||||
Atlanta GA Water & Wastewater Water Revenue | 2.257% | 11/1/35 | 1,270 | 1,292 | ||
Bay Area Toll Authority Highway Revenue | 2.574% | 4/1/31 | 14,735 | 15,542 | ||
Bay Area Toll Authority Highway Revenue | 6.263% | 4/1/49 | 4,670 | 7,576 | ||
Bay Area Toll Authority Highway Revenue | 7.043% | 4/1/50 | 24,800 | 43,045 | ||
Broward FL Airport System Port, Airport & Marina Revenue | 3.477% | 10/1/43 | 10,070 | 10,522 | ||
California GO | 7.500% | 4/1/34 | 5,845 | 9,211 | ||
California GO | 7.350% | 11/1/39 | 45,195 | 72,770 | ||
California GO | 7.600% | 11/1/40 | 2,215 | 3,868 | ||
Chicago O'Hare International Airport Port, Airport & Marina Revenue | 6.395% | 1/1/40 | 4,780 | 7,187 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 61,935 | 88,100 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 31,650 | 44,980 | ||
Chicago Transit Authority Sales Tax Receipts Fund Sales Tax Revenue | 6.200% | 12/1/40 | 2,290 | 3,169 | ||
Commonwealth of Massachusetts GO | 2.514% | 7/1/41 | 10,625 | 10,717 | ||
Dallas-Fort Worth International Airport Port, Airport & Marina Revenue | 3.089% | 11/1/40 | 7,770 | 8,022 | ||
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 6,480 | 8,380 | ||
Duke University College & University Revenue | 5.850% | 4/1/37 | 62,165 | 87,645 | ||
Foothill-Eastern Transportation Corridor Agency Highway Revenue | 4.094% | 1/15/49 | 5,145 | 5,447 | ||
8 | Foothill-Eastern Transportation Corridor Agency Highway Revenue | 3.924% | 1/15/53 | 38,475 | 40,712 | |
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.637% | 4/1/57 | 64,143 | 97,195 | ||
Grand Parkway Transportation Corp. Texas System Highway Revenue | 3.236% | 10/1/52 | 53,710 | 54,918 | ||
Great Lakes Water Authority Sewage Disposal System Sewer Revenue | 3.056% | 7/1/39 | 12,495 | 13,351 | ||
Houston TX GO | 6.290% | 3/1/32 | 14,360 | 18,100 | ||
Illinois GO | 5.100% | 6/1/33 | 32,115 | 37,762 | ||
Illinois State Toll Highway Authority Highway Revenue | 6.184% | 1/1/34 | 16,525 | 22,992 | ||
JobsOhio Beverage System Miscellaneous Revenue | 2.833% | 1/1/38 | 5,335 | 5,660 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Kansas Development Finance Authority Appropriations Revenue | 4.927% | 4/15/45 | 38,405 | 49,957 | ||
Louisville and Jefferson County Metropolitan Sewer District Sewer Revenue | 6.250% | 5/15/43 | 11,000 | 16,855 | ||
Maryland State Transportation Authority Transit Revenue | 5.888% | 7/1/43 | 12,005 | 16,379 | ||
Massachusetts School Building Authority Sales Tax Revenue | 1.753% | 8/15/30 | 28,455 | 28,452 | ||
Massachusetts School Building Authority Sales Tax Revenue | 5.715% | 8/15/39 | 15,000 | 21,208 | ||
Massachusetts School Building Authority Sales Tax Revenue | 3.395% | 10/15/40 | 16,565 | 17,794 | ||
Massachusetts School Building Authority Sales Tax Revenue | 2.950% | 5/15/43 | 23,000 | 23,680 | ||
Metropolitan Transportation Authority Fuel Sales Tax Revenue | 6.089% | 11/15/40 | 16,940 | 24,052 | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 2,430 | 3,950 | ||
Metropolitan Transportation Authority Transit Revenue | 6.200% | 11/15/26 | 2,255 | 2,603 | ||
Metropolitan Transportation Authority Transit Revenue | 6.814% | 11/15/40 | 27,855 | 40,828 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 37,785 | 51,008 | ||
Michigan Finance Authority Health, Hospital, Nursing Home Revenue | 3.084% | 12/1/34 | 11,385 | 12,313 | ||
Municipal Electric Authority of Georgia Electric Power & Light Revenue | 4.430% | 1/1/22 | 7,795 | 7,950 | ||
New Jersey Turnpike Authority Highway Revenue | 7.414% | 1/1/40 | 28,975 | 47,576 | ||
New York State Dormitory Authority Income Tax Revenue | 3.110% | 2/15/39 | 21,345 | 23,463 | ||
New York State Dormitory Authority Income Tax Revenue | 3.190% | 2/15/43 | 11,865 | 12,978 | ||
New York State Thruway Authority Highway & Bridge Trust Fund Fuel Sales Tax Revenue | 5.883% | 4/1/30 | 29,670 | 37,153 | ||
New York State Thruway Authority Highway Revenue | 2.900% | 1/1/35 | 16,215 | 17,370 | ||
New York State Thruway Authority Highway Revenue | 3.500% | 1/1/42 | 9,140 | 9,655 | ||
New York State Urban Development Corp. Income Tax Revenue | 2.100% | 3/15/22 | 29,345 | 29,720 | ||
North Texas Tollway Authority Highway Revenue | 3.011% | 1/1/43 | 10,335 | 10,510 | ||
North Texas Tollway Authority Highway Revenue | 6.718% | 1/1/49 | 15,100 | 24,936 | ||
Oregon Department of Transportation Fuel Sales Tax Revenue | 5.834% | 11/15/34 | 14,510 | 20,242 | ||
9 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 15,000 | 17,113 | |
10 | Oregon State University College & University Revenue | 3.424% | 3/1/60 | 31,000 | 31,895 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
11 | Philadelphia Authority for Industrial Development Miscellaneous Revenue | 6.550% | 10/15/28 | 64,830 | 84,258 | |
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.859% | 12/1/24 | 1,960 | 2,281 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 3.175% | 7/15/60 | 16,940 | 17,017 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.458% | 10/1/62 | 53,000 | 69,532 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.810% | 10/15/65 | 10,910 | 14,922 | ||
Riverside CA General Fund Revenue | 3.857% | 6/1/45 | 12,905 | 13,993 | ||
Riverside County CA Appropriations Revenue | 3.818% | 2/15/38 | 9,875 | 11,064 | ||
Rutgers State University of New Jersey College & University Revenue | 3.270% | 5/1/43 | 11,595 | 12,371 | ||
Sales Tax Securitization Corp. Sales Tax Revenue | 4.787% | 1/1/48 | 24,635 | 31,384 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 2.905% | 2/1/48 | 8,990 | 8,907 | ||
State Board of Administration Finance Corp. Miscellaneous Revenue | 1.705% | 7/1/27 | 33,175 | 33,712 | ||
Texas Transportation Commission GO | 2.562% | 4/1/42 | 8,625 | 8,742 | ||
Texas Transportation Commission State Highway Fund Fuel Sales Tax Revenue | 5.178% | 4/1/30 | 12,275 | 15,149 | ||
Texas Transportation Commission State Highway Fund Miscellaneous Revenue | 4.000% | 10/1/33 | 17,140 | 21,077 | ||
University of California College & University Revenue | 1.316% | 5/15/27 | 13,645 | 13,687 | ||
University of California College & University Revenue | 1.614% | 5/15/30 | 23,375 | 23,155 | ||
University of California College & University Revenue | 4.601% | 5/15/31 | 19,390 | 23,001 | ||
University of California College & University Revenue | 4.765% | 5/15/44 | 4,740 | 5,114 | ||
University of California College & University Revenue | 3.931% | 5/15/45 | 18,275 | 20,741 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.548% | 5/15/48 | 11,720 | 18,296 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.583% | 5/15/49 | 15,790 | 24,686 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.006% | 5/15/50 | 14,850 | 15,283 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.256% | 5/15/60 | 27,700 | 29,426 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Utility Debt Securitization Authority Electric Power & Light Revenue | 3.435% | 12/15/25 | 5,613 | 5,817 | ||
8 | Wisconsin Appropriations Revenue | 5.700% | 5/1/26 | 6,875 | 8,002 | |
Wisconsin Appropriations Revenue | 3.954% | 5/1/36 | 28,325 | 31,824 | ||
Total Taxable Municipal Bonds (Cost $1,595,319) | 1,881,244 | |||||
Shares | ||||||
Common Stocks (38.4%) | ||||||
Communication Services (1.7%) | ||||||
Comcast Corp. Class A | 12,696,767 | 723,970 | ||||
Verizon Communications Inc. | 7,173,287 | 401,919 | ||||
1,125,889 | ||||||
Consumer Discretionary (1.6%) | ||||||
Home Depot Inc. | 2,261,655 | 721,219 | ||||
McDonald's Corp. | 1,433,867 | 331,209 | ||||
1,052,428 | ||||||
Consumer Staples (6.0%) | ||||||
Procter & Gamble Co. | 6,095,524 | 822,469 | ||||
Philip Morris International Inc. | 6,470,028 | 641,244 | ||||
Mondelez International Inc. Class A | 9,513,625 | 594,031 | ||||
PepsiCo Inc. | 2,813,040 | 416,808 | ||||
Archer-Daniels-Midland Co. | 5,593,434 | 338,962 | ||||
Unilever plc ADR | 5,453,724 | 319,043 | ||||
Kimberly-Clark Corp. | 1,873,912 | 250,692 | ||||
Coca-Cola Co. | 4,441,485 | 240,329 | ||||
Kellogg Co. | 3,448,805 | 221,862 | ||||
Nestle SA ADR | 862,500 | 107,588 | ||||
3,953,028 | ||||||
Energy (2.2%) | ||||||
ConocoPhillips | 7,994,092 | 486,840 | ||||
Pioneer Natural Resources Co. | 2,686,610 | 436,628 | ||||
12 | TC Energy Corp. | 5,579,491 | 276,094 | |||
Phillips 66 | 3,029,475 | 259,990 | ||||
1,459,552 | ||||||
Financials (8.5%) | ||||||
JPMorgan Chase & Co. | 6,731,807 | 1,047,065 | ||||
Bank of America Corp. | 21,371,095 | 881,130 | ||||
Morgan Stanley | 6,650,491 | 609,784 | ||||
MetLife Inc. | 8,984,937 | 537,749 | ||||
Chubb Ltd. | 3,342,336 | 531,231 | ||||
BlackRock Inc. | 556,478 | 486,902 | ||||
PNC Financial Services Group Inc. | 2,443,491 | 466,120 | ||||
Truist Financial Corp. | 7,459,749 | 414,016 | ||||
Progressive Corp. | 4,139,641 | 406,554 | ||||
Blackstone Group Inc. | 2,514,414 | 244,250 | ||||
5,624,801 | ||||||
Health Care (6.5%) | ||||||
Johnson & Johnson | 6,373,448 | 1,049,962 | ||||
Pfizer Inc. | 16,558,651 | 648,437 | ||||
Merck & Co. Inc. | 7,930,005 | 616,716 | ||||
Eli Lilly & Co. | 2,639,753 | 605,876 | ||||
Medtronic plc | 4,463,447 | 554,048 |
Coupon | Maturity Date | Shares | Market Value ($000) | |||
12 | AstraZeneca plc ADR | 4,911,291 | 294,186 | |||
CVS Health Corp. | 3,204,740 | 267,404 | ||||
Novartis AG (Registered) | 2,246,800 | 204,968 | ||||
Koninklijke Philips NV GDR | 1,838,500 | 91,373 | ||||
4,332,970 | ||||||
Industrials (4.8%) | ||||||
Lockheed Martin Corp. | 1,196,403 | 452,659 | ||||
Eaton Corp. plc | 3,026,280 | 448,434 | ||||
Raytheon Technologies Corp. | 4,896,508 | 417,721 | ||||
General Dynamics Corp. | 2,087,609 | 393,013 | ||||
Caterpillar Inc. | 1,515,331 | 329,782 | ||||
Johnson Controls International plc | 4,784,587 | 328,366 | ||||
Union Pacific Corp. | 1,316,003 | 289,429 | ||||
Emerson Electric Co. | 2,098,952 | 202,003 | ||||
Honeywell International Inc. | 807,988 | 177,232 | ||||
Waste Management Inc. | 981,000 | 137,448 | ||||
3,176,087 | ||||||
Information Technology (2.9%) | ||||||
Cisco Systems Inc. | 17,058,539 | 904,102 | ||||
Corning Inc. | 8,884,350 | 363,370 | ||||
Analog Devices Inc. | 1,553,106 | 267,383 | ||||
Automatic Data Processing Inc. | 1,325,034 | 263,178 | ||||
Texas Instruments Inc. | 690,809 | 132,843 | ||||
1,930,876 | ||||||
Materials (0.6%) | ||||||
LyondellBasell Industries NV Class A | 2,328,233 | 239,506 | ||||
12 | Rio Tinto plc ADR | 2,355,241 | 197,581 | |||
437,087 | ||||||
Real Estate (0.8%) | ||||||
Crown Castle International Corp. | 2,620,351 | 511,230 | ||||
Utilities (2.8%) | ||||||
Dominion Energy Inc. | 4,584,209 | 337,260 | ||||
Sempra Energy | 2,483,898 | 329,067 | ||||
American Electric Power Co. Inc. | 3,373,670 | 285,379 | ||||
Exelon Corp. | 6,086,368 | 269,687 | ||||
Duke Energy Corp. | 2,635,525 | 260,179 | ||||
Entergy Corp. | 1,994,209 | 198,822 | ||||
DTE Energy Co. | 1,235,000 | 160,056 | ||||
1,840,450 | ||||||
Total Common Stocks (Cost $16,216,405) | 25,444,398 | |||||
Temporary Cash Investments (1.7%) | ||||||
Money Market Fund (0.4%) | ||||||
13,14 | Vanguard Market Liquidity Fund | 0.056% | 2,844,338 | 284,434 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Repurchase Agreements (0.5%) | ||||||
Bank of America Securities LLC (Dated 6/30/21, Repurchase Value $6,800,000, collateralized by Government National Mortgage Association 1.834%–5.256%, 6/20/61–4/20/71, with a value of $6,936,000) | 0.050% | 7/1/21 | 6,800 | 6,800 | ||
Deutsche Bank Securities Inc. (Dated 6/30/21, Repurchase Value $9,800,000, collateralized by Federal Home Loan Bank 0.550%, 2/12/26, with a value of $9,999,000) | 0.050% | 7/1/21 | 9,800 | 9,800 | ||
HSBC Bank USA (Dated 6/30/21, Repurchase Value $11,800,000, collateralized by U.S. Treasury Bill 0.000%, 7/15/21–6/16/22, U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.500%, 1/15/22–1/15/29, and U.S. Treasury Note/Bond 0.125%–6.125%, 9/30/21–2/15/43, with a value of $12,036,000) | 0.045% | 7/1/21 | 11,800 | 11,800 | ||
HSBC Bank USA (Dated 6/30/21, Repurchase Value $30,400,000, collateralized by Federal National Mortgage Association 2.000%–4.690%, 11/1/26–11/1/50, and Federal Home Loan Mortgage Corp. 2.000%–4.500%, 4/1/36–3/1/47, with a value of $31,008,000) | 0.050% | 7/1/21 | 30,400 | 30,400 | ||
JP Morgan Securities LLC (Dated 6/30/21, Repurchase Value $76,700,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.625%, 1/15/24, and U.S. Treasury Note/Bond 0.125%–1.750%, 8/31/21–8/15/50, with a value of $78,234,000) | 0.050% | 7/1/21 | 76,700 | 76,700 | ||
Natixis SA (Dated 6/30/21, Repurchase Value $39,700,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.250%, 7/15/29, and U.S. Treasury Note/Bond 0.125%–3.125%, 11/30/22–5/15/51, with a value of $40,494,000) | 0.040% | 7/1/21 | 39,700 | 39,700 | ||
Nomura International plc (Dated 6/30/21, Repurchase Value $96,800,000, collateralized by U.S. Treasury Note/Bond 0.625%, 5/15/30, with a value of $98,736,000) | 0.050% | 7/1/21 | 96,800 | 96,800 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
RBC Capital Markets LLC (Dated 6/30/21, Repurchase Value $800,000, collateralized by Federal Home Loan Mortgage Corp. 2.000%–3.000%, 10/1/50–6/1/51, with a value of $816,000) | 0.050% | 7/1/21 | 800 | 800 | ||
RBS Securities Inc. (Dated 6/30/21, Repurchase Value $35,500,000, collateralized by U.S. Treasury Note/Bond 2.000%–3.125%, 2/15/22–11/15/28, with a value of $36,210,000) | 0.050% | 7/1/21 | 35,500 | 35,500 | ||
308,300 | ||||||
U.S. Government and Agency Obligations (0.8%) | ||||||
U.S. Cash Management Bill | 0.046%–0.048% | 10/19/21 | 300,000 | 299,959 | ||
U.S. Treasury Bill | 0.010% | 10/7/21 | 50,000 | 49,993 | ||
U.S. Treasury Bill | 0.026% | 11/12/21 | 150,000 | 149,975 | ||
499,927 | ||||||
Total Temporary Cash Investments (Cost $1,092,675) | 1,092,661 | |||||
Total Investments (100.3%) (Cost $54,653,859) | 66,449,508 | |||||
Other Assets and Liabilities—Net (-0.3%) | (191,869) | |||||
Net Assets (100%) | 66,257,639 | |||||
Cost is in $000. |
1 | Securities with a value of $9,904,000 have been segregated as initial margin for open futures contracts. |
2 | 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. |
3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
4 | 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 June 30, 2021, the aggregate value was $8,419,834,000, representing 12.7% of net assets. |
5 | 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. |
6 | Security value determined using significant unobservable inputs. |
7 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2021. |
8 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
9 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
10 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
11 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
12 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $273,295,000. |
13 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
14 | Collateral of $284,429,000 was received for securities on loan. |
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. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (1,360) | (180,200) | 195 |
Ultra 10-Year U.S. Treasury Note | September 2021 | (2,443) | (359,617) | (1,544) |
(1,349) |
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing
brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
The fund had no open forward currency contracts at June 30, 2021.
E. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
F. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income
securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.
G. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
H. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of June 30, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 7,709,552 | — | 7,709,552 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,447,509 | 96,335 | 1,543,844 |
Corporate Bonds | — | 28,149,793 | — | 28,149,793 |
Sovereign Bonds | — | 628,016 | — | 628,016 |
Taxable Municipal Bonds | — | 1,881,244 | — | 1,881,244 |
Common Stocks | 25,239,430 | 204,968 | — | 25,444,398 |
Temporary Cash Investments | 284,434 | 808,227 | — | 1,092,661 |
Total | 25,523,864 | 40,829,309 | 96,335 | 66,449,508 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 195 | — | — | 195 |
Liabilities | ||||
Futures Contracts1 | 1,544 | — | — | 1,544 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |