Vanguard® Wellesley® Income Fund
Schedule of Investments (unaudited)
As of December 31, 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 (10.1%) | ||||||
U.S. Government Securities (9.6%) | ||||||
United States Treasury Note/Bond | 0.250% | 9/30/23 | 43,000 | 42,698 | ||
1 | United States Treasury Note/Bond | 0.250% | 3/15/24 | 146,720 | 144,978 | |
United States Treasury Note/Bond | 0.375% | 4/15/24 | 65,000 | 64,340 | ||
United States Treasury Note/Bond | 0.250% | 5/15/24 | 107,750 | 106,285 | ||
United States Treasury Note/Bond | 0.250% | 6/15/24 | 485,350 | 478,221 | ||
United States Treasury Note/Bond | 0.375% | 8/15/24 | 325,000 | 320,683 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 83,000 | 81,820 | ||
United States Treasury Note/Bond | 0.625% | 10/15/24 | 501,000 | 496,929 | ||
United States Treasury Note/Bond | 1.000% | 12/15/24 | 68,000 | 68,064 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 431,605 | 419,736 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 523,245 | 507,466 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 154,990 | 150,122 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 601,000 | 580,810 | ||
United States Treasury Note/Bond | 0.375% | 1/31/26 | 719,815 | 696,421 | ||
United States Treasury Note/Bond | 0.750% | 8/31/26 | 36,770 | 35,943 | ||
United States Treasury Note/Bond | 0.875% | 9/30/26 | 163,535 | 160,622 | ||
United States Treasury Note/Bond | 1.125% | 10/31/26 | 39,830 | 39,569 | ||
2 | United States Treasury Note/Bond | 1.125% | 2/15/31 | 680 | 660 | |
United States Treasury Note/Bond | 1.250% | 8/15/31 | 53,675 | 52,450 | ||
United States Treasury Note/Bond | 1.375% | 11/15/31 | 139,275 | 137,447 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 448,590 | 433,941 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 1,124,175 | 1,134,890 | ||
United States Treasury Note/Bond | 1.875% | 2/15/51 | 2,715 | 2,686 | ||
United States Treasury Note/Bond | 2.000% | 8/15/51 | 131,920 | 134,476 | ||
United States Treasury Note/Bond | 1.875% | 11/15/51 | 247,485 | 245,513 | ||
6,536,770 | ||||||
Agency Bonds and Notes (0.0%) | ||||||
Tennessee Valley Authority | 4.625% | 9/15/60 | 19,800 | 29,713 | ||
Conventional Mortgage-Backed Securities (0.1%) | ||||||
3,4 | Fannie Mae Pool | 1.770% | 1/1/36 | 21,492 | 20,915 | |
3,4 | Fannie Mae Pool | 3.070% | 2/1/25 | 11,700 | 12,244 | |
3,4 | Freddie Mac Gold Pool | 4.000% | 7/1/33 | 3 | 3 | |
3 | Ginnie Mae I Pool | 6.000% | 6/15/31–7/15/35 | 17 | 19 | |
3 | Ginnie Mae I Pool | 6.500% | 4/15/32–7/15/38 | 1,516 | 1,697 | |
3,4 | UMBS Pool | 2.500% | 8/1/27–4/1/38 | 30,924 | 31,794 | |
66,672 | ||||||
Nonconventional Mortgage-Backed Securities (0.4%) | ||||||
3,4 | Fannie Mae REMICS | 1.250% | 2/25/28 | 11,439 | 11,441 | |
3,4 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 14,651 | 14,672 | |
3,4 | Fannie Mae REMICS | 1.700% | 6/25/43 | 2,381 | 2,392 | |
3,4 | Fannie Mae REMICS | 2.000% | 6/25/43–6/25/44 | 7,581 | 7,639 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,4 | Fannie Mae REMICS | 3.000% | 2/25/49–9/25/57 | 23,800 | 24,668 | |
3,4 | Fannie Mae REMICS | 3.500% | 4/25/31–11/25/57 | 84,382 | 89,055 | |
3,4 | Fannie Mae REMICS | 4.000% | 5/25/31–7/25/53 | 8,447 | 8,833 | |
3,4 | Freddie Mac REMICS | 1.500% | 10/15/42 | 6,833 | 6,850 | |
3,4 | Freddie Mac REMICS | 1.750% | 3/15/41 | 6,968 | 6,985 | |
3,4 | Freddie Mac REMICS | 2.000% | 7/15/31–9/15/31 | 16,443 | 16,545 | |
3,4 | Freddie Mac REMICS | 2.500% | 9/15/32 | 1,545 | 1,565 | |
3,4 | Freddie Mac REMICS | 3.000% | 5/15/46 | 23,449 | 24,264 | |
3,4 | Freddie Mac REMICS | 3.500% | 3/15/31 | 1,902 | 2,002 | |
3,4 | Freddie Mac REMICS | 4.000% | 12/15/30–4/15/31 | 35,760 | 37,794 | |
3 | Ginnie Mae | 1.700% | 10/20/45 | 3,040 | 3,060 | |
3 | Ginnie Mae | 1.800% | 5/20/41 | 609 | 609 | |
258,374 | ||||||
Total U.S. Government and Agency Obligations (Cost $6,970,087) | 6,891,529 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.8%) | ||||||
3,5 | Aaset Trust Class A Series 2019-1 | 3.844% | 5/15/39 | 11,016 | 9,869 | |
3,5 | Affirm Asset Securitization Trust Class A Series 2021-A | 0.880% | 8/15/25 | 6,845 | 6,845 | |
3,5 | Affirm Asset Securitization Trust Class A Series 2021-B | 1.030% | 8/17/26 | 17,575 | 17,446 | |
3,5 | Affirm Asset Securitization Trust Class A Series 2021-Z1 | 1.070% | 8/15/25 | 14,381 | 14,334 | |
3,5 | Affirm Asset Securitization Trust Class A Series 2021-Z2 | 1.170% | 11/16/26 | 11,675 | 11,655 | |
3,5 | Aligned Data Centers Issuer LLC Class A2 Series 2021-1A | 1.937% | 8/15/46 | 43,730 | 43,062 | |
3,5 | American Tower Trust #1 Class 2A Series 13 | 3.070% | 3/15/48 | 32,900 | 32,854 | |
3,5,6 | Angel Oak Mortgage Trust Class A1 Series 2019-5 | 2.593% | 10/25/49 | 4,306 | 4,295 | |
3,5,6 | Angel Oak Mortgage Trust Class A1 Series 2019-6 | 2.620% | 11/25/59 | 8,560 | 8,568 | |
3,5,6 | Angel Oak Mortgage Trust Class A1 Series 2021-6 | 1.458% | 9/25/66 | 30,045 | 29,769 | |
3,5,6 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-2 | 3.628% | 3/25/49 | 1,321 | 1,323 | |
3,5,6 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-4 | 2.993% | 7/26/49 | 5,256 | 5,282 | |
3,5,6 | Apidos CLO XXXV Class A Series 2021-35A, 3M USD LIBOR + 1.050% | 1.182% | 4/20/34 | 22,200 | 22,138 | |
3,5,6 | Atlas Senior Loan Fund X Ltd. Class A Series 2018-10A, 3M USD LIBOR + 1.090% | 1.216% | 1/15/31 | 7,273 | 7,260 | |
3,5,6 | Atlas Senior Loan Fund X Ltd. Class A1L Series 2018-11A, 3M USD LIBOR + 1.100% | 1.225% | 7/26/31 | 10,000 | 9,997 | |
3,5,6 | Bain Capital Credit CLO Ltd. Class A Series 2021-3A, 3M USD LIBOR + 1.160% | 1.346% | 7/24/34 | 24,495 | 24,495 | |
3,5,6 | Barings CLO Ltd. Class B Series 2020-4A, 3M USD LIBOR + 1.550% | 1.684% | 1/20/32 | 13,000 | 12,945 | |
3,5,6 | Battalion CLO XX Ltd. Class B Series 2021-20A, 3M USD LIBOR + 1.750% | 1.888% | 7/15/34 | 28,350 | 28,350 | |
3,5,6 | BlueMountain CLO XXXI Ltd. Class A1 Series 2021-31A, 3M USD LIBOR + 1.150% | 1.274% | 4/19/34 | 30,000 | 29,940 | |
3,5,6 | BlueMountain CLO XXXI Ltd. Class B Series 2021-31A, 3M USD LIBOR + 1.700% | 1.820% | 4/19/34 | 11,850 | 11,790 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5,6 | Bristol Park CLO LTD Class BR, Series 2016-1A, 3M USD LIBOR + 1.450% | 1.576% | 4/15/29 | 9,000 | 8,965 | |
3,5,6 | BX Commercial Mortgage Trust Class A Series 2021-VOLT, 1M USD LIBOR + 0.700% | 0.810% | 9/15/36 | 28,565 | 28,472 | |
3,5,6 | BX Trust Class A Series 2021-ARIA, 1M USD LIBOR + 0.8991% | 1.009% | 10/15/36 | 14,465 | 14,437 | |
3,5,6 | BXHPP Trust Class A Series 2021-FILM, 1M USD LIBOR + 0.650% | 0.760% | 8/15/36 | 15,215 | 15,090 | |
3,5,6 | BXHPP Trust Class B Series 2021-FILM, 1M USD LIBOR + 0.900% | 1.010% | 8/15/36 | 3,140 | 3,104 | |
3,5 | Castlelake Aircraft Structured Trust Class A Series 2019-1A | 3.967% | 4/15/39 | 21,318 | 21,011 | |
3,5,6 | Cent CLO 21 Ltd. Class A1R3 Series 2014-21A, 3M USD LIBOR + 0.970% | 1.105% | 7/27/30 | 10,000 | 9,990 | |
3,5 | CF Hippolyta LLC Class A1 Series 2021-A1 | 1.530% | 3/15/61 | 25,292 | 24,883 | |
3,5 | Chesapeake Funding II LLC Class A1 Series 2018-3A | 3.390% | 1/15/31 | 8,362 | 8,472 | |
3,5,6 | CIFC Funding 2021-III Ltd. Class B Series 2021-3A, 3M USD LIBOR + 1.700% | 1.824% | 7/15/36 | 6,500 | 6,477 | |
3,5,6 | CIFC Funding Ltd. Class A Series 2018-1A, 3M USD LIBOR + 1.000% | 1.122% | 4/18/31 | 12,000 | 11,990 | |
3,5,6 | Cloud Pass-Through Trust Class CLOU Series 2019-1A | 3.554% | 12/5/22 | 363 | 365 | |
3,5,6 | COLT Mortgage Loan Trust Class A1 Series 2020-1 | 2.488% | 2/25/50 | 4,194 | 4,190 | |
3,5,6,7 | Columbia Cent CLO 27 Ltd. Class AR Series 2018-27A, 3M USD LIBOR + 1.190% | 1.442% | 1/25/35 | 16,365 | 16,365 | |
3,5,6 | Columbia Cent CLO 30 Ltd. Class B Series 2020-30A, 3M USD LIBOR + 1.750% | 1.884% | 1/20/34 | 15,805 | 15,816 | |
3,5,6 | Columbia Cent CLO 31 Ltd. Class A1 Series 2021-31A, 3M USD LIBOR + 1.200% | 1.334% | 4/20/34 | 27,105 | 27,118 | |
3 | COMM Mortgage Trust Class A4 Series 2012-CR2 | 3.147% | 8/15/45 | 16,040 | 16,075 | |
3,5 | DB Master Finance LLC Class A2II Series 2019-1A | 4.021% | 5/20/49 | 13,226 | 13,741 | |
3,5 | Domino's Pizza Master Issuer LLC Class A2I Series 2021-1A | 2.662% | 4/25/51 | 37,865 | 38,024 | |
3,5 | Domino's Pizza Master Issuer LLC Class A2II Series 2021-1A | 3.151% | 4/25/51 | 31,328 | 32,020 | |
3,5,6 | Dryden 87 CLO Ltd. Class A1 Series 2021-87A, 3M USD LIBOR + 1.100% | 1.260% | 5/20/34 | 28,400 | 28,386 | |
3,5 | Enterprise Fleet Financing LLC Class A2 Series 2018-3 | 3.380% | 5/20/24 | 21 | 21 | |
3,5 | Enterprise Fleet Financing LLC Class A2 Series 2019-1 | 2.980% | 10/20/24 | 2,716 | 2,720 | |
3,5 | Enterprise Fleet Financing LLC Class A2 Series 2019-2 | 2.290% | 2/20/25 | 11,052 | 11,031 | |
3,5 | Enterprise Fleet Financing LLC Class A2 Series 2019-3 | 2.060% | 5/20/25 | 8,248 | 8,311 | |
3,4,6 | Fannie Mae Connecticut Avenue Securities Class 2M2 Series 2016-C03, 1M USD LIBOR + 5.900% | 6.003% | 10/25/28 | 5,133 | 5,428 | |
3,4 | FHLMC Multifamily Structured Pass Through Certificates Class A2 Series K-1521 | 2.184% | 8/25/36 | 17,210 | 17,214 | |
3,5 | FirstKey Homes Trust Class A Series 2021-SFR1 | 1.538% | 8/17/38 | 67,440 | 65,879 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K733 | 3.750% | 8/25/25 | 10,785 | 11,581 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A3 Series K-1512 | 3.059% | 4/25/34 | 7,200 | 7,868 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A3 Series K-1513 | 2.797% | 8/25/34 | 7,552 | 8,055 | |
3,5 | Home Partners of America Trust Class A Series 2021-2 | 1.901% | 12/17/26 | 36,315 | 35,904 | |
3,5 | Horizon Aircraft Finance II Ltd. Class A Series 2019-1 | 3.721% | 7/15/39 | 9,746 | 9,548 | |
3,5 | Horizon Aircraft Finance III Ltd. Class A Series 2019-2 | 3.425% | 11/15/39 | 10,034 | 9,823 | |
3,5,6 | LCM XXII Ltd. Class A2R Series 22A, 3M USD LIBOR + 1.450% | 1.584% | 10/20/28 | 12,700 | 12,651 | |
3,5,6 | Life Mortgage Trust Class A Series 2021-BMR, 1M USD LIBOR + 0.700% | 0.810% | 3/15/38 | 9,885 | 9,811 | |
3,5 | MACH 1 Cayman Ltd. Class A Series 2019-1 | 3.474% | 10/15/39 | 10,154 | 9,934 | |
3,5,6 | Madison Park Funding L Ltd. Class A Series 2021-50A, 3M USD LIBOR + 1.140% | 1.264% | 4/19/34 | 18,850 | 18,822 | |
3,5,6 | Madison Park Funding XI Ltd. Class BR2 Series 2013-11A, 3M USD LIBOR + 1.450% | 1.574% | 7/23/29 | 8,000 | 7,987 | |
3,5,6 | Madison Park Funding XIII Ltd. Class AR2 Series 2014-13A, 3M USD LIBOR + 0.950% | 1.074% | 4/19/30 | 33,596 | 33,552 | |
3,5,6 | Madison Park Funding XXX Ltd. Class A Series 2018-30A, 3M USD LIBOR + 0.750% | 0.876% | 4/15/29 | 17,283 | 17,277 | |
3,5,6 | Magnetite VII Ltd. Class A1R2 Series 2012-7A, 3M USD LIBOR + 0.800% | 0.926% | 1/15/28 | 31,110 | 31,073 | |
3,5 | MAPS Ltd. Class A Series 2019-1A | 4.458% | 3/15/44 | 5,119 | 5,030 | |
3,5,6 | Master Credit Card Trust II Class A Series 2018-1A, 1M USD LIBOR + 0.490% | 0.593% | 7/21/24 | 31,965 | 32,065 | |
3,5 | Mercury Financial Credit Card Master Trust Class A Series 2021-1A | 1.540% | 3/20/26 | 36,145 | 36,165 | |
3,5,6 | Milos CLO Ltd. Class AR Series 2017-1A, 3M USD LIBOR + 1.070% | 1.204% | 10/20/30 | 33,000 | 32,992 | |
3,5 | MMAF Equipment Finance LLC Class A3 Series 2019-B | 2.010% | 12/12/24 | 26,615 | 26,882 | |
3,5 | New Economy Assets Phase 1 Sponsor LLC Class A1 Series 2021-1 | 1.910% | 10/20/61 | 98,855 | 96,928 | |
3,5 | New Economy Assets Phase 1 Sponsor LLC Class B1 Series 2021-1 | 2.410% | 10/20/61 | 10,130 | 10,153 | |
3,5,6 | Oaktree CLO Ltd. Class A1 Series 2021-1A, 3M USD LIBOR + 1.160% | 1.284% | 7/15/34 | 17,625 | 17,637 | |
3,5,6 | Octagon 54 Ltd. Class A1 Series 2021-1A, 3M USD LIBOR + 1.120% | 1.253% | 7/15/34 | 20,650 | 20,615 | |
3,5,6 | Octagon Investment Partners 51 Ltd. Class A Series 2021-1A, 3M USD LIBOR + 1.150% | 1.282% | 7/20/34 | 29,500 | 29,500 | |
3,5,6 | OHA Credit Funding 3 Ltd. Class AR Series 2019-3A, 3M USD LIBOR + 1.140% | 1.272% | 7/2/35 | 29,660 | 29,623 | |
3,5 | OneMain Direct Auto Receivables Trust Class A Series 2018-1A | 3.430% | 12/16/24 | 1,114 | 1,114 | |
3,5 | OneMain Direct Auto Receivables Trust Class A Series 2021-1A | 0.870% | 7/14/28 | 29,755 | 29,371 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5 | OneMain Financial Issuance Trust Class A Series 2019-1A | 3.480% | 2/14/31 | 7,063 | 7,094 | |
3,5,6 | Regatta VI Funding Ltd. Class AR2 Series 2016-1A, 3M USD LIBOR + 1.160% | 1.294% | 4/20/34 | 44,300 | 44,256 | |
3,5,6 | Rockland Park CLO Ltd. Class A Series 2021-1A, 3M USD LIBOR + 1.120% | 1.252% | 4/20/34 | 34,600 | 34,582 | |
3,5,6 | Rockland Park CLO Ltd. Class B Series 2021-1A, 3M USD LIBOR + 1.650% | 1.782% | 4/20/34 | 18,725 | 18,751 | |
3,5,6 | RR 16 Ltd. Class A1 Series 2021-14A, 3M USD LIBOR + 1.120% | 1.246% | 4/15/36 | 26,855 | 26,829 | |
3,5,6 | RR 16 Ltd. Class A1 Series 2021-16A, 3M USD LIBOR + 1.110% | 1.234% | 7/15/36 | 26,720 | 26,675 | |
3,5,6 | RR 16 Ltd. Class A2 Series 2021-16A, 3M USD LIBOR + 1.650% | 1.774% | 7/15/36 | 25,000 | 25,078 | |
3,5,6 | RR 18 Ltd. Class A2 Series 2021-18A, 3M USD LIBOR + 1.600% | 1.684% | 10/15/34 | 19,985 | 19,955 | |
3,5 | Santander Retail Auto Lease Trust Class A3 Series 2019-B | 2.300% | 1/20/23 | 2,807 | 2,811 | |
3 | Seasoned Credit Risk Transfer Trust Class MA Series 2019-3 | 3.500% | 10/25/58 | 31,729 | 32,758 | |
3,5,6 | SFAVE Commercial Mortgage Securities Trust Class A2B Series 2015-5AVE | 4.144% | 1/5/43 | 22,000 | 23,222 | |
3,5 | SoFi Consumer Loan Program Trust Class A Series 2020-1 | 2.020% | 1/25/29 | 2,509 | 2,517 | |
3,5 | SoFi Professional Loan Program Trust Class AFX Series 2021-B | 1.140% | 2/15/47 | 19,446 | 19,105 | |
3,5,6 | Sound Point CLO XX Ltd. Class A Series 2018-2A, 3M USD LIBOR + 1.100% | 1.225% | 7/26/31 | 22,430 | 22,385 | |
3,5,6 | Sound Point CLO XXXI Ltd. Class B Series 2021-3A, 3M USD LIBOR + 1.650% | 1.781% | 10/25/34 | 10,935 | 10,861 | |
3,5 | START Ireland Class A Series 2019-1 | 4.089% | 3/15/44 | 11,441 | 11,370 | |
3,5,6 | Symphony CLO XIV Ltd. Class AR Series 2014-14A, 3M USD LIBOR + 0.950% | 1.077% | 7/14/26 | 12,532 | 12,529 | |
3,5 | Taco Bell Funding LLC Class A2I Series 2021-1A | 1.946% | 8/25/51 | 40,120 | 39,328 | |
3,5 | Taco Bell Funding LLC Class A2II Series 2021-1A | 2.294% | 8/25/51 | 36,720 | 36,298 | |
3,5,6 | Towd Point Mortgage Trust Class A1 Series 2016-3 | 2.250% | 4/25/56 | 82 | 82 | |
3,5 | Vantage Data Centers Issuer LLC Class A2 Series 2019-1A | 3.188% | 7/15/44 | 10,211 | 10,405 | |
3,5 | Vantage Data Centers Issuer LLC Class A2 Series 2021-1A | 2.165% | 10/15/46 | 47,695 | 47,062 | |
3,5 | Vantage Data Centers LLC Class A2 Series 2020-1A | 1.645% | 9/15/45 | 32,830 | 31,881 | |
3,5,6 | Venture 43 CLO Ltd. Class A1 Series 2021-43A, 3M USD LIBOR + 1.240% | 1.364% | 4/15/34 | 10,505 | 10,489 | |
3,5,6 | Voya CLO Ltd. Class AAR2 Series 2014-1A, 3M USD LIBOR + 0.990% | 1.112% | 4/18/31 | 16,596 | 16,587 | |
3,5,6 | Wellfleet CLO X LTD Class A2R Series 2019-XA, 3M USD LIBOR + 1.750% | 1.882% | 7/20/32 | 20,700 | 20,639 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,942,871) | 1,933,322 | |||||
Corporate Bonds (41.4%) | ||||||
Communications (3.3%) | ||||||
America Movil SAB de CV | 3.625% | 4/22/29 | 25,600 | 27,692 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 10,010 | 13,849 | ||
AT&T Inc. | 2.750% | 6/1/31 | 61,900 | 63,123 | ||
AT&T Inc. | 4.900% | 6/15/42 | 15,834 | 19,011 | ||
AT&T Inc. | 4.300% | 12/15/42 | 5,945 | 6,705 | ||
AT&T Inc. | 3.650% | 6/1/51 | 6,086 | 6,316 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
AT&T Inc. | 3.500% | 9/15/53 | 33,465 | 33,825 | ||
AT&T Inc. | 3.850% | 6/1/60 | 17,664 | 18,450 | ||
AT&T Inc. | 3.500% | 2/1/61 | 19,205 | 18,957 | ||
5 | British Telecommunications plc | 3.250% | 11/8/29 | 20,435 | 20,901 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.800% | 4/1/31 | 7,635 | 7,570 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.300% | 2/1/32 | 7,635 | 7,255 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.500% | 3/1/42 | 23,930 | 23,219 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.375% | 5/1/47 | 3,820 | 4,562 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.125% | 7/1/49 | 3,208 | 3,715 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.800% | 3/1/50 | 4,171 | 4,676 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.700% | 4/1/51 | 18,670 | 18,047 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.850% | 4/1/61 | 17,885 | 16,872 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.400% | 12/1/61 | 14,925 | 15,437 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,565 | 2,724 | ||
Comcast Corp. | 3.150% | 3/1/26 | 15,280 | 16,297 | ||
Comcast Corp. | 4.250% | 1/15/33 | 15,060 | 17,650 | ||
Comcast Corp. | 4.200% | 8/15/34 | 25,155 | 29,605 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,657 | 38,838 | ||
Comcast Corp. | 3.969% | 11/1/47 | 40,576 | 46,464 | ||
Comcast Corp. | 4.000% | 3/1/48 | 17,415 | 20,022 | ||
Comcast Corp. | 3.999% | 11/1/49 | 26,848 | 31,112 | ||
5 | Comcast Corp. | 2.887% | 11/1/51 | 37,513 | 36,292 | |
Comcast Corp. | 2.450% | 8/15/52 | 47,300 | 42,368 | ||
Comcast Corp. | 4.049% | 11/1/52 | 19,891 | 23,374 | ||
5 | Comcast Corp. | 2.937% | 11/1/56 | 144,696 | 137,830 | |
5 | Comcast Corp. | 2.987% | 11/1/63 | 109,670 | 104,235 | |
5 | Cox Communications Inc. | 2.600% | 6/15/31 | 12,960 | 12,963 | |
5 | Cox Communications Inc. | 4.800% | 2/1/35 | 58,525 | 68,986 | |
5 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,674 | 11,457 | |
5 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,168 | 23,702 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 15,084 | 16,383 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 4,406 | 4,860 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 4,970 | 5,314 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 22,143 | 26,056 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 17,367 | 18,288 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 6,495 | 7,826 | ||
5 | NBN Co. Ltd. | 1.625% | 1/8/27 | 25,935 | 25,454 | |
5 | NBN Co. Ltd. | 2.625% | 5/5/31 | 25,102 | 25,228 | |
5 | NBN Co. Ltd. | 2.500% | 1/8/32 | 68,983 | 68,061 | |
5 | NTT Finance Corp. | 1.162% | 4/3/26 | 76,700 | 75,157 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | NTT Finance Corp. | 2.065% | 4/3/31 | 10,125 | 10,115 | |
5 | Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 45,300 | 45,507 | |
Orange SA | 9.000% | 3/1/31 | 54,566 | 83,585 | ||
5 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 12,220 | 12,636 | |
5 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 45,719 | |
3,5 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | 4.738% | 9/20/29 | 35,697 | 37,339 | |
Telefonica Emisiones SA | 5.213% | 3/8/47 | 23,755 | 29,481 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 18,149 | 23,677 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,215 | 3,493 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 37,480 | 37,278 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 52,680 | 57,646 | ||
T-Mobile USA Inc. | 2.550% | 2/15/31 | 5,105 | 5,081 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 5,105 | 4,953 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 17,030 | 19,416 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 23,440 | 27,463 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 20,490 | 20,004 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 9,670 | 9,633 | ||
TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 3,720 | 4,417 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 22,990 | 26,147 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 50,074 | 62,855 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 23,900 | 29,575 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 39,918 | 37,858 | ||
ViacomCBS Inc. | 3.700% | 6/1/28 | 14,790 | 16,021 | ||
Vodafone Group plc | 5.000% | 5/30/38 | 1,890 | 2,351 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 47,080 | 61,482 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 84,065 | 83,607 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 5,980 | 6,216 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 11,000 | 15,398 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 52,100 | 57,108 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 14,600 | 14,133 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 38,240 | 43,268 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 16,160 | 18,770 | ||
2,218,960 | ||||||
Consumer Discretionary (1.8%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 13,800 | 14,443 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 55,880 | 71,402 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 17,920 | 24,461 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 32,790 | 42,058 | ||
American Honda Finance Corp. | 2.300% | 9/9/26 | 17,135 | 17,698 | ||
American Honda Finance Corp. | 2.000% | 3/24/28 | 34,925 | 35,331 | ||
5 | BMW US Capital LLC | 2.250% | 9/15/23 | 93,000 | 94,942 | |
5 | BMW US Capital LLC | 0.800% | 4/1/24 | 25,960 | 25,786 | |
5 | BMW US Capital LLC | 1.250% | 8/12/26 | 28,890 | 28,449 | |
5 | Daimler Finance North America LLC | 3.250% | 8/1/24 | 3,970 | 4,158 | |
3 | Duke University | 2.832% | 10/1/55 | 9,635 | 9,978 | |
Emory University | 2.143% | 9/1/30 | 39,256 | 39,741 | ||
5 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 745 | 760 | |
5 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 3,775 | 5,569 | |
5 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 31,000 | 42,167 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 58,730 | 61,849 | ||
George Washington University | 3.545% | 9/15/46 | 10,000 | 10,793 | ||
Georgetown University | 4.315% | 4/1/49 | 5,155 | 6,409 | ||
Georgetown University | 2.943% | 4/1/50 | 9,795 | 9,843 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 10,040 | 11,334 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 32,073 | 34,741 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 22,390 | 27,921 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 4,500 | 5,532 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Home Depot Inc. | 4.500% | 12/6/48 | 12,020 | 15,583 | ||
5 | Hyundai Capital America | 0.800% | 4/3/23 | 118,000 | 117,649 | |
5 | Hyundai Capital America | 0.875% | 6/14/24 | 30,300 | 29,820 | |
5 | Hyundai Capital America | 1.650% | 9/17/26 | 36,110 | 35,415 | |
3 | Johns Hopkins University | 4.083% | 7/1/53 | 7,145 | 9,449 | |
3 | Johns Hopkins University | 2.813% | 1/1/60 | 2,920 | 2,972 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 115,000 | 122,733 | ||
Marriott International Inc. | 2.300% | 1/15/22 | 44,000 | 44,019 | ||
McDonald's Corp. | 3.250% | 6/10/24 | 4,400 | 4,626 | ||
McDonald's Corp. | 4.875% | 12/9/45 | 22,775 | 29,329 | ||
McDonald's Corp. | 3.625% | 9/1/49 | 28,770 | 31,815 | ||
3 | Northeastern University | 2.894% | 10/1/50 | 8,570 | 8,550 | |
Starbucks Corp. | 4.500% | 11/15/48 | 49,962 | 61,827 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 7,185 | 7,493 | ||
3 | University of Chicago | 2.761% | 4/1/45 | 9,540 | 9,643 | |
VF Corp. | 2.800% | 4/23/27 | 23,720 | 24,821 | ||
VF Corp. | 2.950% | 4/23/30 | 54,225 | 56,278 | ||
1,237,387 | ||||||
Consumer Staples (1.5%) | ||||||
Altria Group Inc. | 5.800% | 2/14/39 | 18,180 | 21,886 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 5,615 | 5,855 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 22,625 | 21,929 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 15,460 | 18,675 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 73,320 | 92,872 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,080 | 20,744 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 34,425 | 45,298 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 60,340 | 63,339 | ||
5 | BAT International Finance plc | 3.950% | 6/15/25 | 15,000 | 15,976 | |
5 | Cargill Inc. | 2.125% | 4/23/30 | 10,230 | 10,137 | |
5 | Cargill Inc. | 4.760% | 11/23/45 | 57,879 | 76,351 | |
5 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,780 | 24,863 | |
5 | Coca-Cola Europacific Partners plc | 0.800% | 5/3/24 | 53,765 | 52,926 | |
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,685 | 8,454 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 12,255 | 11,775 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 10,375 | 13,118 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 4,690 | 5,133 | ||
5 | Danone SA | 2.589% | 11/2/23 | 10,000 | 10,254 | |
5 | Danone SA | 2.947% | 11/2/26 | 68,785 | 72,349 | |
Diageo Capital plc | 2.625% | 4/29/23 | 42,580 | 43,469 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,420 | 19,832 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,315 | 11,178 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 3,585 | 3,558 | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 17,245 | 17,393 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,280 | 12,573 | ||
Estee Lauder Cos. Inc. | 2.600% | 4/15/30 | 9,875 | 10,237 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 11,685 | 11,652 | ||
5 | Imperial Brands Finance plc | 3.750% | 7/21/22 | 58,995 | 59,616 | |
Kroger Co. | 3.850% | 8/1/23 | 5,055 | 5,252 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 6,060 | 6,126 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 57,600 | 60,438 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 72,545 | 75,806 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 11,665 | 13,510 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 22,785 | 24,580 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 5,835 | 7,087 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 15,000 | 17,123 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 21,075 | 22,294 | |
1,013,658 | ||||||
Energy (2.1%) | ||||||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 16,205 | 15,611 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 17,760 | 16,717 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 32,550 | 31,445 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 44,330 | 43,458 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 19,795 | 20,431 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 8,000 | 8,134 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 13,130 | 13,822 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 38,000 | 40,101 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 41,710 | 44,439 | ||
Chevron Corp. | 3.191% | 6/24/23 | 44,600 | 46,017 | ||
ConocoPhillips | 7.000% | 3/30/29 | 11,500 | 14,791 | ||
ConocoPhillips Co. | 4.950% | 3/15/26 | 12,710 | 14,367 | ||
5 | Coterra Energy Inc. | 4.375% | 6/1/24 | 30,289 | 32,075 | |
5 | Eastern Gas Transmission & Storage Inc. | 3.000% | 11/15/29 | 19,580 | 20,135 | |
5 | Eastern Gas Transmission & Storage Inc. | 4.800% | 11/1/43 | 14,190 | 17,358 | |
5 | Eastern Gas Transmission & Storage Inc. | 4.600% | 12/15/44 | 7,003 | 8,321 | |
Energy Transfer LP | 5.350% | 5/15/45 | 3,410 | 3,941 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 5,600 | 6,453 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 20,601 | 24,297 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 5,000 | 6,082 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 23,475 | 26,751 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,445 | 5,731 | ||
Enterprise Products Operating LLC | 3.300% | 2/15/53 | 9,250 | 9,221 | ||
Equinor ASA | 2.450% | 1/17/23 | 10,840 | 11,030 | ||
Equinor ASA | 2.650% | 1/15/24 | 10,105 | 10,429 | ||
Equinor ASA | 3.700% | 3/1/24 | 20,035 | 21,173 | ||
Equinor ASA | 3.250% | 11/10/24 | 17,460 | 18,427 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,965 | 5,189 | ||
Equinor ASA | 3.125% | 4/6/30 | 82,270 | 88,387 | ||
Equinor ASA | 2.375% | 5/22/30 | 15,795 | 16,076 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 10,710 | 10,937 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 7,330 | 7,763 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 35,095 | 36,286 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 24,070 | 24,690 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 36,910 | 38,304 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 10,845 | 12,683 | ||
5 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 50,945 | 50,007 | |
5 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 38,947 | 38,788 | |
5 | Qatar Energy | 2.250% | 7/12/31 | 32,240 | 31,942 | |
5 | Qatar Energy | 3.125% | 7/12/41 | 23,670 | 23,937 | |
5 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 27,885 | 29,805 | |
5 | Schlumberger Holdings Corp. | 4.000% | 12/21/25 | 21,010 | 22,665 | |
5 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 25,724 | 27,822 | |
5 | Schlumberger Investment SA | 2.400% | 8/1/22 | 20,765 | 20,898 | |
Shell International Finance BV | 3.250% | 5/11/25 | 28,680 | 30,558 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 40,575 | 47,461 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 10,795 | 14,653 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 95,725 | 116,651 | ||
Shell International Finance BV | 3.000% | 11/26/51 | 51,310 | 52,119 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 13,000 | 16,796 | ||
Total Capital International SA | 2.700% | 1/25/23 | 32,714 | 33,427 | ||
Total Capital International SA | 3.750% | 4/10/24 | 50,000 | 53,076 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 58,060 | 64,773 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 14,595 | 16,291 | ||
1,462,741 | ||||||
Financials (16.2%) | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.000% | 10/29/28 | 14,995 | 15,220 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/30/32 | 11,745 | 11,978 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.400% | 10/29/33 | 5,935 | 6,040 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.850% | 10/29/41 | 7,120 | 7,390 | ||
5 | AIA Group Ltd. | 3.600% | 4/9/29 | 49,000 | 53,583 | |
5 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,795 | 13,831 | |
American Express Credit Corp. | 2.700% | 3/3/22 | 83,055 | 83,202 | ||
American International Group Inc. | 3.750% | 7/10/25 | 9,640 | 10,337 | ||
American International Group Inc. | 4.250% | 3/15/29 | 33,365 | 38,102 | ||
American International Group Inc. | 4.700% | 7/10/35 | 2,550 | 3,047 | ||
American International Group Inc. | 6.250% | 5/1/36 | 8,338 | 11,557 | ||
American International Group Inc. | 4.500% | 7/16/44 | 22,339 | 27,533 | ||
American International Group Inc. | 4.800% | 7/10/45 | 7,655 | 9,711 | ||
American International Group Inc. | 4.750% | 4/1/48 | 16,670 | 21,366 | ||
American International Group Inc. | 4.375% | 6/30/50 | 10,205 | 12,709 | ||
American International Group Inc. | 4.375% | 1/15/55 | 5,100 | 6,276 | ||
5 | Athene Global Funding | 1.000% | 4/16/24 | 23,855 | 23,685 | |
5 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 23,805 | 22,853 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,600 | 29,281 | ||
Banco Santander SA | 3.848% | 4/12/23 | 17,000 | 17,596 | ||
Banco Santander SA | 1.849% | 3/25/26 | 48,600 | 48,325 | ||
Banco Santander SA | 2.749% | 12/3/30 | 16,800 | 16,430 | ||
Banco Santander SA | 2.958% | 3/25/31 | 9,800 | 9,995 | ||
Bank of America Corp. | 4.000% | 1/22/25 | 26,225 | 28,044 | ||
Bank of America Corp. | 3.559% | 4/23/27 | 54,370 | 58,176 | ||
Bank of America Corp. | 3.593% | 7/21/28 | 37,995 | 40,895 | ||
Bank of America Corp. | 3.419% | 12/20/28 | 48,603 | 51,940 | ||
Bank of America Corp. | 4.271% | 7/23/29 | 72,640 | 80,978 | ||
Bank of America Corp. | 3.974% | 2/7/30 | 69,430 | 76,576 | ||
Bank of America Corp. | 3.194% | 7/23/30 | 33,250 | 35,062 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 99,085 | 99,444 | ||
Bank of America Corp. | 2.687% | 4/22/32 | 65,125 | 66,151 | ||
Bank of America Corp. | 2.572% | 10/20/32 | 21,500 | 21,604 | ||
Bank of America Corp. | 6.110% | 1/29/37 | 30,000 | 40,380 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 8,770 | 12,423 | ||
Bank of America Corp. | 3.311% | 4/22/42 | 30,000 | 31,526 | ||
Bank of America Corp. | 5.000% | 1/21/44 | 24,180 | 31,775 | ||
Bank of America Corp. | 3.946% | 1/23/49 | 5,290 | 6,172 | ||
Bank of America Corp. | 4.330% | 3/15/50 | 59,475 | 73,627 | ||
Bank of America Corp. | 2.972% | 7/21/52 | 29,030 | 29,153 | ||
5 | Bank of Montreal | 2.500% | 1/11/22 | 122,300 | 122,354 | |
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 32,698 | 33,413 | ||
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 22,710 | 23,857 | ||
6 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 1.179% | 10/30/23 | 43,060 | 43,364 | |
Bank of Nova Scotia | 2.700% | 8/3/26 | 60,225 | 62,846 | ||
5 | Banque Federative du Credit Mutuel SA | 1.604% | 10/4/26 | 33,875 | 33,458 | |
Barclays plc | 3.932% | 5/7/25 | 52,770 | 55,542 | ||
Barclays plc | 2.667% | 3/10/32 | 52,470 | 52,046 | ||
Barclays plc | 2.894% | 11/24/32 | 42,750 | 42,963 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Barclays plc | 3.330% | 11/24/42 | 16,060 | 16,310 | ||
6 | Barclays plc, 3M USD LIBOR + 1.380% | 1.535% | 5/16/24 | 36,710 | 37,160 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 23,645 | 25,260 | ||
5 | BNP Paribas SA | 2.950% | 5/23/22 | 4,365 | 4,406 | |
BNP Paribas SA | 3.250% | 3/3/23 | 4,190 | 4,314 | ||
5 | BNP Paribas SA | 3.800% | 1/10/24 | 56,070 | 58,868 | |
5 | BNP Paribas SA | 3.375% | 1/9/25 | 61,070 | 64,210 | |
5 | BNP Paribas SA | 2.819% | 11/19/25 | 44,480 | 45,778 | |
5 | BNP Paribas SA | 1.323% | 1/13/27 | 20,420 | 19,868 | |
5 | BNP Paribas SA | 3.500% | 11/16/27 | 74,220 | 79,434 | |
5 | BNP Paribas SA | 2.159% | 9/15/29 | 30,900 | 30,270 | |
5 | BNP Paribas SA | 2.871% | 4/19/32 | 23,320 | 23,626 | |
5 | BPCE SA | 5.700% | 10/22/23 | 10,670 | 11,470 | |
BPCE SA | 4.000% | 4/15/24 | 25,885 | 27,558 | ||
5 | BPCE SA | 5.150% | 7/21/24 | 37,185 | 40,266 | |
5 | BPCE SA | 2.045% | 10/19/27 | 24,910 | 24,697 | |
5 | BPCE SA | 3.500% | 10/23/27 | 64,900 | 68,658 | |
5 | BPCE SA | 2.700% | 10/1/29 | 48,550 | 49,858 | |
5 | Brighthouse Financial Global Funding | 1.000% | 4/12/24 | 4,600 | 4,564 | |
5 | Brighthouse Financial Global Funding | 1.550% | 5/24/26 | 37,050 | 36,560 | |
5 | Brighthouse Financial Global Funding | 2.000% | 6/28/28 | 27,235 | 26,792 | |
5 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 35,110 | 34,663 | |
6 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 0.931% | 6/16/22 | 57,790 | 57,954 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 60,945 | 64,269 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 9,055 | 9,510 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 58,465 | 58,202 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,790 | 21,184 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 45,325 | 45,869 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 20,340 | 21,466 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 12,280 | 13,188 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 24,795 | 30,813 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 52,610 | 52,232 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 105,990 | 104,056 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 45,085 | 49,555 | ||
Citigroup Inc. | 3.520% | 10/27/28 | 72,260 | 77,484 | ||
Citigroup Inc. | 6.625% | 6/15/32 | 9,000 | 11,934 | ||
Citigroup Inc. | 2.520% | 11/3/32 | 25,345 | 25,354 | ||
Citigroup Inc. | 3.878% | 1/24/39 | 37,225 | 42,220 | ||
Citigroup Inc. | 5.875% | 1/30/42 | 7,460 | 10,550 | ||
Citigroup Inc. | 2.904% | 11/3/42 | 19,070 | 18,848 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 12,142 | 15,880 | ||
Comerica Bank | 2.500% | 7/23/24 | 26,085 | 26,946 | ||
5 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 79,335 | 78,036 | |
5 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 50,065 | 48,629 | |
5 | Credit Agricole SA | 3.750% | 4/24/23 | 31,690 | 32,852 | |
5 | Credit Agricole SA | 3.250% | 10/4/24 | 79,590 | 83,581 | |
Credit Suisse AG | 3.625% | 9/9/24 | 3,955 | 4,195 | ||
5 | Credit Suisse Group AG | 3.574% | 1/9/23 | 40,835 | 40,852 | |
5 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,285 | 12,792 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 57,400 | 60,970 | ||
5 | Credit Suisse Group AG | 2.593% | 9/11/25 | 33,940 | 34,644 | |
5 | Credit Suisse Group AG | 1.305% | 2/2/27 | 35,345 | 34,164 | |
5 | Credit Suisse Group AG | 3.869% | 1/12/29 | 11,050 | 11,826 | |
5 | Credit Suisse Group AG | 3.091% | 5/14/32 | 41,460 | 42,148 | |
5,6 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 1.441% | 6/12/24 | 24,825 | 25,107 | |
5 | Danske Bank A/S | 5.000% | 1/12/22 | 20,770 | 20,789 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Danske Bank A/S | 3.875% | 9/12/23 | 45,515 | 47,421 | |
5 | Danske Bank A/S | 5.375% | 1/12/24 | 57,035 | 61,418 | |
5 | Danske Bank A/S | 1.621% | 9/11/26 | 30,135 | 29,746 | |
5 | Danske Bank A/S | 1.549% | 9/10/27 | 55,390 | 54,082 | |
5 | DNB Bank ASA | 1.535% | 5/25/27 | 51,450 | 50,705 | |
5 | DNB Bank ASA | 1.605% | 3/30/28 | 45,295 | 44,270 | |
5 | DNB Boligkreditt A/S | 2.500% | 3/28/22 | 24,355 | 24,478 | |
5 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 15,285 | 15,132 | |
5 | Equitable Financial Life Global Funding | 1.300% | 7/12/26 | 26,910 | 26,296 | |
5 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 33,510 | 32,599 | |
5 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 30,265 | 29,768 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 9,850 | 10,183 | ||
Fifth Third Bank NA | 3.850% | 3/15/26 | 29,295 | 31,635 | ||
5 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,320 | 5,641 | |
5 | GA Global Funding Trust | 1.000% | 4/8/24 | 36,170 | 35,862 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 67,095 | 67,297 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 7,715 | 7,939 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 16,660 | 17,573 | ||
Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 44,260 | 46,427 | ||
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 13,000 | 14,185 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 48,000 | 51,188 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 36,525 | 39,325 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 76,670 | 75,094 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 43,275 | 42,422 | ||
Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 14,525 | 15,676 | ||
Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 72,755 | 79,188 | ||
Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 54,990 | 61,108 | ||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 19,710 | 21,677 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 39,650 | 39,852 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 35,765 | 35,218 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 24,510 | 24,672 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,700 | 30,067 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 19,895 | 25,381 | ||
5 | Guardian Life Global Funding | 1.250% | 5/13/26 | 7,235 | 7,141 | |
HSBC Holdings plc | 3.262% | 3/13/23 | 25,625 | 25,743 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 56,130 | 58,222 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 19,405 | 19,169 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 7,915 | 8,550 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 27,800 | 27,163 | ||
HSBC Holdings plc | 2.251% | 11/22/27 | 48,835 | 48,990 | ||
HSBC Holdings plc | 4.041% | 3/13/28 | 27,520 | 29,749 | ||
HSBC Holdings plc | 4.583% | 6/19/29 | 40,190 | 45,026 | ||
HSBC Holdings plc | 2.206% | 8/17/29 | 32,365 | 31,747 | ||
HSBC Holdings plc | 2.357% | 8/18/31 | 62,305 | 60,870 | ||
HSBC Holdings plc | 7.625% | 5/17/32 | 15,800 | 21,808 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 54,790 | 55,058 | ||
HSBC Holdings plc | 2.871% | 11/22/32 | 16,015 | 16,161 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 22,000 | 29,924 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 43,680 | 62,558 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 5,795 | 7,549 | ||
6 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 1.160% | 5/18/24 | 26,495 | 26,732 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 18,355 | 19,326 | ||
ING Groep NV | 3.150% | 3/29/22 | 13,170 | 13,255 | ||
ING Groep NV | 3.950% | 3/29/27 | 33,605 | 36,838 | ||
ING Groep NV | 1.726% | 4/1/27 | 33,125 | 32,904 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 6,100 | 5,927 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 30,645 | 30,966 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 27,695 | 27,381 | ||
5 | JAB Holdings BV | 2.200% | 11/23/30 | 10,375 | 10,159 | |
5 | JAB Holdings BV | 3.750% | 5/28/51 | 20,355 | 22,315 | |
5 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 48,955 | 51,014 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 20,345 | 20,996 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 11,200 | 11,856 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 11,560 | 12,508 | ||
JPMorgan Chase & Co. | 7.750% | 7/15/25 | 25,000 | 30,123 | ||
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 26,730 | 28,516 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 75,000 | 79,213 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 24,400 | 26,915 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 9,275 | 10,388 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 14,530 | 14,409 | ||
JPMorgan Chase & Co. | 4.452% | 12/5/29 | 40,000 | 45,394 | ||
JPMorgan Chase & Co. | 3.702% | 5/6/30 | 18,940 | 20,660 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 37,965 | 36,557 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 22,175 | 22,451 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/41 | 38,075 | 39,459 | ||
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 70,000 | 97,153 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 16,235 | 22,081 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 19,440 | 20,242 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 13,500 | 18,775 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 12,000 | 15,666 | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 160,000 | 187,320 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 38,610 | 39,838 | ||
5 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 2,608 | 2,724 | |
5 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 9,217 | 10,613 | |
5 | Liberty Mutual Insurance Co. | 8.500% | 5/15/25 | 21,665 | 25,879 | |
Loews Corp. | 2.625% | 5/15/23 | 14,100 | 14,391 | ||
5 | LSEGA Financing plc | 1.375% | 4/6/26 | 97,795 | 95,781 | |
5 | LSEGA Financing plc | 2.000% | 4/6/28 | 63,125 | 62,271 | |
5 | LSEGA Financing plc | 2.500% | 4/6/31 | 38,890 | 39,098 | |
5 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 50,725 | 52,555 | |
5 | Macquarie Group Ltd. | 1.935% | 4/14/28 | 42,250 | 41,518 | |
5 | Macquarie Group Ltd. | 2.871% | 1/14/33 | 59,070 | 58,873 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 20,085 | 20,989 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 22,125 | 25,269 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,400 | 14,007 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 18,280 | 18,274 | ||
5 | Massachusetts Mutual Life Insurance Co. | 3.200% | 12/1/61 | 19,410 | 19,206 | |
MetLife Inc. | 3.600% | 4/10/24 | 28,000 | 29,617 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5,300 | 6,272 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,500 | 22,808 | ||
5 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 14,005 | 14,091 | |
5 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 29,970 | 32,340 | |
5 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 43,250 | 46,004 | |
5 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 25,000 | 30,318 | |
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 64,285 | 65,011 | ||
Morgan Stanley | 3.750% | 2/25/23 | 23,000 | 23,795 | ||
Morgan Stanley | 3.875% | 4/29/24 | 22,050 | 23,395 | ||
Morgan Stanley | 0.790% | 5/30/25 | 51,000 | 50,327 | ||
Morgan Stanley | 2.720% | 7/22/25 | 51,520 | 53,107 | ||
Morgan Stanley | 4.000% | 7/23/25 | 20,805 | 22,566 | ||
Morgan Stanley | 3.125% | 7/27/26 | 36,950 | 39,172 | ||
Morgan Stanley | 4.350% | 9/8/26 | 15,000 | 16,614 | ||
Morgan Stanley | 3.625% | 1/20/27 | 31,000 | 33,641 | ||
Morgan Stanley | 3.772% | 1/24/29 | 56,830 | 61,879 | ||
Morgan Stanley | 2.699% | 1/22/31 | 72,345 | 74,106 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Morgan Stanley | 7.250% | 4/1/32 | 51,100 | 73,293 | ||
Morgan Stanley | 2.239% | 7/21/32 | 52,315 | 51,255 | ||
Morgan Stanley | 2.511% | 10/20/32 | 74,705 | 74,633 | ||
Morgan Stanley | 2.484% | 9/16/36 | 44,475 | 42,810 | ||
Morgan Stanley | 4.300% | 1/27/45 | 24,705 | 30,369 | ||
Nasdaq Inc. | 3.250% | 4/28/50 | 4,850 | 4,938 | ||
5 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 83,980 | 80,379 | |
5 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 55,019 | 55,187 | |
5 | Nationwide Building Society | 3.622% | 4/26/23 | 22,755 | 22,943 | |
5 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 47,630 | 55,705 | |
5 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 66,415 | 76,358 | |
NatWest Group plc | 1.642% | 6/14/27 | 30,570 | 30,107 | ||
5 | NatWest Markets plc | 0.800% | 8/12/24 | 23,725 | 23,344 | |
5 | NBK SPC Ltd. | 2.750% | 5/30/22 | 56,875 | 57,301 | |
5 | NBK SPC Ltd. | 1.625% | 9/15/27 | 67,250 | 65,576 | |
5 | New York Life Global Funding | 2.900% | 1/17/24 | 58,670 | 60,811 | |
5 | New York Life Insurance Co. | 5.875% | 5/15/33 | 44,785 | 59,153 | |
5 | New York Life Insurance Co. | 3.750% | 5/15/50 | 17,810 | 20,269 | |
5 | New York Life Insurance Co. | 4.450% | 5/15/69 | 14,535 | 18,617 | |
5 | Nordea Bank Abp | 1.500% | 9/30/26 | 65,000 | 63,851 | |
5 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,098 | 27,213 | |
5 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,060 | 9,950 | |
5 | Pacific Life Global Funding II | 1.375% | 4/14/26 | 51,785 | 51,537 | |
PNC Bank NA | 3.300% | 10/30/24 | 14,645 | 15,475 | ||
PNC Bank NA | 2.950% | 2/23/25 | 34,775 | 36,516 | ||
PNC Bank NA | 3.100% | 10/25/27 | 42,485 | 45,483 | ||
PNC Bank NA | 3.250% | 1/22/28 | 60,960 | 65,439 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 40,150 | 42,503 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 52,980 | 54,634 | ||
5 | Principal Life Global Funding II | 2.500% | 9/16/29 | 45,000 | 46,811 | |
Prudential Financial Inc. | 3.000% | 3/10/40 | 8,200 | 8,463 | ||
Prudential plc | 3.125% | 4/14/30 | 21,325 | 22,758 | ||
Royal Bank of Canada | 2.750% | 2/1/22 | 44,630 | 44,715 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 28,405 | 28,519 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 26,105 | 26,681 | ||
5 | Standard Chartered plc | 1.214% | 3/23/25 | 12,545 | 12,440 | |
State Street Corp. | 2.653% | 5/15/23 | 31,280 | 31,498 | ||
5 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 100,340 | 99,400 | |
5 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 65,775 | 64,674 | |
5 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 21,990 | 28,284 | |
5 | Teachers Insurance & Annuity Assn. of America | 4.270% | 5/15/47 | 42,865 | 51,964 | |
5 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 39,070 | 39,686 | |
5 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,135 | 40,449 | |
5 | Temasek Financial I Ltd. | 2.375% | 8/2/41 | 46,325 | 45,296 | |
5 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 40,775 | 38,288 | |
5 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 23,800 | 22,202 | |
5 | Toronto-Dominion Bank | 2.500% | 1/18/23 | 77,500 | 77,572 | |
Truist Bank | 3.300% | 5/15/26 | 11,955 | 12,724 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 60,000 | 60,970 | ||
Truist Financial Corp. | 3.700% | 6/5/25 | 48,000 | 51,591 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 33,005 | 32,596 | ||
5 | UBS AG | 1.250% | 6/1/26 | 60,465 | 59,220 | |
5 | UBS Group AG | 2.650% | 2/1/22 | 46,000 | 46,080 | |
5 | UBS Group AG | 1.494% | 8/10/27 | 40,025 | 39,054 | |
5 | UBS Group AG | 3.126% | 8/13/30 | 18,240 | 19,097 | |
5 | UBS Group AG | 2.095% | 2/11/32 | 25,345 | 24,523 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | UniCredit SpA | 1.982% | 6/3/27 | 37,130 | 36,139 | |
5 | UniCredit SpA | 3.127% | 6/3/32 | 40,330 | 39,823 | |
US Bancorp | 3.700% | 1/30/24 | 39,005 | 41,165 | ||
US Bancorp | 2.375% | 7/22/26 | 45,000 | 46,775 | ||
US Bancorp | 2.491% | 11/3/36 | 63,125 | 62,946 | ||
5 | USAA Capital Corp. | 2.125% | 5/1/30 | 3,735 | 3,732 | |
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 17,484 | ||
Wells Fargo & Co. | 3.450% | 2/13/23 | 39,400 | 40,520 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 34,444 | 36,679 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 30,455 | 31,998 | ||
Wells Fargo & Co. | 3.000% | 2/19/25 | 28,660 | 29,949 | ||
Wells Fargo & Co. | 0.805% | 5/19/25 | 24,935 | 24,656 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 27,170 | 29,011 | ||
Wells Fargo & Co. | 3.000% | 4/22/26 | 36,830 | 38,710 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 45,700 | 49,836 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 6,435 | 6,768 | ||
Wells Fargo & Co. | 3.196% | 6/17/27 | 57,145 | 60,352 | ||
Wells Fargo & Co. | 2.879% | 10/30/30 | 28,045 | 29,157 | ||
Wells Fargo & Co. | 2.572% | 2/11/31 | 98,745 | 100,790 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 28,551 | 38,544 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 20,735 | 25,123 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 16,060 | 20,242 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 36,200 | 42,849 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 38,790 | 48,248 | ||
11,042,006 | ||||||
Health Care (4.8%) | ||||||
AbbVie Inc. | 3.450% | 3/15/22 | 23,785 | 23,812 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 12,825 | 13,681 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 19,895 | 22,806 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 14,075 | 17,644 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 35,585 | 42,998 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 22,440 | 26,941 | ||
AdventHealth Obligated Group | 2.795% | 11/15/51 | 21,620 | 21,364 | ||
Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 17,670 | 17,676 | ||
Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 19,220 | 20,029 | ||
Aetna Inc. | 2.800% | 6/15/23 | 32,080 | 32,870 | ||
5 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,645 | 5,838 | |
5 | Alcon Finance Corp. | 2.600% | 5/27/30 | 7,035 | 7,109 | |
5 | Alcon Finance Corp. | 3.800% | 9/23/49 | 32,825 | 36,721 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 27,355 | 27,288 | ||
Amgen Inc. | 3.625% | 5/22/24 | 38,185 | 40,243 | ||
Amgen Inc. | 2.300% | 2/25/31 | 67,075 | 67,368 | ||
Amgen Inc. | 3.150% | 2/21/40 | 15,955 | 16,328 | ||
Amgen Inc. | 5.150% | 11/15/41 | 6,373 | 8,156 | ||
Amgen Inc. | 2.770% | 9/1/53 | 8,878 | 8,320 | ||
Anthem Inc. | 3.650% | 12/1/27 | 13,150 | 14,433 | ||
Anthem Inc. | 4.101% | 3/1/28 | 42,145 | 46,960 | ||
Anthem Inc. | 2.550% | 3/15/31 | 38,225 | 39,099 | ||
Anthem Inc. | 4.650% | 8/15/44 | 3,181 | 3,984 | ||
Ascension Health | 2.532% | 11/15/29 | 48,025 | 50,031 | ||
3 | Ascension Health | 4.847% | 11/15/53 | 1,950 | 2,773 | |
AstraZeneca plc | 3.375% | 11/16/25 | 27,755 | 29,781 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 33,295 | 37,536 | ||
Banner Health | 2.907% | 1/1/42 | 12,150 | 12,334 | ||
5 | Baxter International Inc. | 2.272% | 12/1/28 | 26,960 | 27,175 | |
5 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 23,781 | 25,802 | |
5 | Bayer US Finance II LLC | 5.500% | 7/30/35 | 15,000 | 18,613 | |
5 | Bayer US Finance LLC | 3.375% | 10/8/24 | 26,960 | 28,195 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 12,965 | 12,866 | ||
3 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,675 | 19,171 | |
Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,525 | 11,292 | ||
Boston Scientific Corp. | 4.000% | 3/1/29 | 6,515 | 7,235 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,416 | 4,510 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 7,303 | 7,499 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 29,395 | 32,152 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 16,775 | 19,842 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 7,153 | 9,143 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 48,907 | 60,495 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 17,765 | 16,848 | ||
Children's Hospital Corp. | 2.585% | 2/1/50 | 5,670 | 5,440 | ||
Cigna Corp. | 3.250% | 4/15/25 | 30,765 | 32,415 | ||
Cigna Corp. | 4.375% | 10/15/28 | 18,115 | 20,593 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 33,780 | 34,362 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 11,695 | 12,238 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 28,080 | 29,000 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 44,950 | 47,784 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 22,715 | 23,293 | ||
3 | CommonSpirit Health | 4.350% | 11/1/42 | 22,185 | 25,376 | |
CommonSpirit Health | 4.187% | 10/1/49 | 53,398 | 62,270 | ||
CommonSpirit Health | 3.910% | 10/1/50 | 3,140 | 3,502 | ||
Cottage Health Obligated Group | 3.304% | 11/1/49 | 10,000 | 10,708 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 20,000 | 20,278 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 1,905 | 2,139 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 18,205 | 22,330 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 18,000 | 20,608 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 25,595 | 33,280 | ||
3,5 | CVS Pass-Through Trust | 5.926% | 1/10/34 | 11,572 | 13,851 | |
Dignity Health | 3.812% | 11/1/24 | 18,560 | 19,640 | ||
5 | EMD Finance LLC | 2.950% | 3/19/22 | 19,640 | 19,640 | |
Gilead Sciences Inc. | 2.500% | 9/1/23 | 26,390 | 27,030 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 21,420 | 22,503 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 28,575 | 30,236 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 30,892 | 37,760 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 14,640 | 17,258 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 20,185 | 19,542 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 25,750 | 26,386 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 16,055 | 21,263 | ||
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 51,595 | 52,039 | ||
Indiana University Health Inc. Obligated Group | 2.852% | 11/1/51 | 12,815 | 12,909 | ||
Johnson & Johnson | 2.450% | 3/1/26 | 78,000 | 81,309 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 15,190 | 16,193 | ||
Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 39,420 | 39,607 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 12,710 | 16,780 | ||
Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 38,650 | 39,846 | ||
Mass General Brigham Inc. | 3.192% | 7/1/49 | 32,645 | 34,501 | ||
Mass General Brigham Inc. | 3.342% | 7/1/60 | 31,285 | 34,157 | ||
Mayo Clinic | 4.128% | 11/15/52 | 6,465 | 8,200 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 9,849 | 10,496 | ||
Memorial Sloan-Kettering Cancer Center | 5.000% | 7/1/42 | 11,505 | 15,377 | ||
Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 20,260 | 20,709 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 7,820 | 9,828 | ||
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 5,940 | 7,611 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 38,000 | 39,779 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 58,390 | 63,664 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 28,405 | 34,490 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Mercy Health | 4.302% | 7/1/28 | 19,830 | 22,290 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 13,425 | 14,166 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,485 | 27,533 | ||
OhioHealth Corp. | 2.297% | 11/15/31 | 12,575 | 12,644 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 28,400 | 30,598 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 52,500 | 57,897 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 9,100 | 8,901 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 52,715 | 62,705 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 11,300 | 11,238 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 12,495 | 12,584 | ||
Piedmont Healthcare Inc. | 2.044% | 1/1/32 | 8,750 | 8,499 | ||
Piedmont Healthcare Inc. | 2.719% | 1/1/42 | 8,750 | 8,525 | ||
Piedmont Healthcare Inc. | 2.864% | 1/1/52 | 11,625 | 11,362 | ||
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 14,735 | 15,448 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 25,655 | 26,479 | ||
3 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 12,030 | 14,177 | |
Providence St. Joseph Health Obligated Group | 2.700% | 10/1/51 | 34,000 | 32,991 | ||
5 | Roche Holdings Inc. | 2.375% | 1/28/27 | 61,570 | 63,964 | |
Royalty Pharma plc | 3.300% | 9/2/40 | 15,135 | 15,089 | ||
Royalty Pharma plc | 3.550% | 9/2/50 | 48,265 | 47,926 | ||
Rush Obligated Group | 3.922% | 11/15/29 | 12,000 | 13,416 | ||
SSM Health Care Corp. | 3.823% | 6/1/27 | 41,615 | 45,680 | ||
Sutter Health | 2.294% | 8/15/30 | 19,905 | 19,902 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,825 | 30,051 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,290 | 18,417 | ||
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 8,960 | 8,903 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 19,320 | 19,045 | ||
Toledo Hospital | 5.750% | 11/15/38 | 17,965 | 20,915 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,346 | 2,350 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 12,000 | 12,319 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 14,220 | 15,201 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,260 | 38,223 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 11,275 | 11,191 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,285 | 11,549 | ||
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 20,000 | 29,741 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 12,760 | 12,872 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 36,010 | 45,206 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 31,000 | 37,575 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 12,296 | 16,090 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,345 | 10,167 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 12,545 | 15,534 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,890 | 6,251 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 40,900 | 47,214 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 36,364 | 37,105 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 8,560 | 10,255 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 12,840 | 13,296 | ||
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 21,108 | ||
3,267,773 | ||||||
Industrials (2.1%) | ||||||
5 | Ashtead Capital Inc. | 2.450% | 8/12/31 | 17,920 | 17,464 | |
5 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 26,068 | 27,706 | |
5 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 29,838 | 32,023 | |
5 | BAE Systems plc | 3.400% | 4/15/30 | 9,390 | 10,014 | |
Boeing Co. | 1.433% | 2/4/24 | 34,165 | 34,128 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Boeing Co. | 2.700% | 2/1/27 | 16,380 | 16,699 | ||
Boeing Co. | 3.625% | 2/1/31 | 24,370 | 26,002 | ||
Boeing Co. | 3.950% | 8/1/59 | 19,290 | 20,049 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 3,748 | 5,032 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 5,750 | 7,231 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 21,220 | 25,445 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 26,898 | 32,515 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,225 | 3,879 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 16,975 | 17,606 | ||
Burlington Northern Santa Fe LLC | 2.875% | 6/15/52 | 13,410 | 13,502 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 25,925 | 24,156 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 8,515 | 8,666 | ||
Canadian Pacific Railway Co. | 3.100% | 12/2/51 | 20,120 | 20,578 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,103 | 15,430 | ||
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 39,500 | 40,381 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 19,475 | 20,476 | ||
Caterpillar Inc. | 5.200% | 5/27/41 | 19,770 | 27,098 | ||
CSX Corp. | 4.300% | 3/1/48 | 16,635 | 20,259 | ||
CSX Corp. | 3.350% | 9/15/49 | 7,745 | 8,239 | ||
Eaton Corp. | 6.500% | 6/1/25 | 10,000 | 11,472 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 42,775 | 44,816 | ||
John Deere Capital Corp. | 2.800% | 1/27/23 | 8,000 | 8,179 | ||
John Deere Capital Corp. | 3.350% | 6/12/24 | 9,000 | 9,513 | ||
John Deere Capital Corp. | 3.450% | 3/13/25 | 43,560 | 46,500 | ||
Kansas City Southern | 4.950% | 8/15/45 | 13,845 | 17,686 | ||
Lockheed Martin Corp. | 2.900% | 3/1/25 | 26,840 | 28,115 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 2,545 | 2,505 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 6,715 | 8,205 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 7,501 | 8,593 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 12,041 | 15,633 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 4,609 | 5,704 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,155 | 8,270 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,065 | 9,601 | ||
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 14,290 | 17,220 | ||
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 15,560 | 16,315 | |
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 22,660 | 23,352 | |
5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 53,520 | 57,066 | |
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 32,800 | 36,705 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,050 | 10,900 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 34,249 | 42,335 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,891 | 6,578 | ||
5 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 60,840 | 61,445 | |
5 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 62,200 | 64,841 | |
5 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 21,840 | 21,626 | |
5 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 38,245 | 38,123 | |
5 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 40,495 | 51,221 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,040 | 32,146 | ||
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 40,240 | 40,391 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 44,340 | 45,064 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 27,750 | 30,743 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 14,765 | 15,857 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 29,538 | 34,579 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 32,310 | 37,990 | ||
Union Pacific Corp. | 2.973% | 9/16/62 | 7,030 | 6,944 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 16,165 | 18,492 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3 | United Airlines Class B Series 2018-1 Pass Through Trust | 4.600% | 9/1/27 | 5,716 | 5,718 | |
1,415,021 | ||||||
Materials (0.1%) | ||||||
5 | Air Liquide Finance SA | 2.250% | 9/27/23 | 21,000 | 21,438 | |
5 | Air Liquide Finance SA | 2.500% | 9/27/26 | 16,815 | 17,425 | |
5 | Corp. Nacional del Cobre de Chile | 3.700% | 1/30/50 | 20,390 | 20,848 | |
International Paper Co. | 4.350% | 8/15/48 | 23,159 | 28,463 | ||
88,174 | ||||||
Real Estate (0.9%) | ||||||
American Tower Corp. | 5.000% | 2/15/24 | 8,641 | 9,302 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,300 | 7,982 | ||
American Tower Corp. | 3.800% | 8/15/29 | 32,261 | 35,125 | ||
Boston Properties LP | 3.125% | 9/1/23 | 13,520 | 13,923 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,780 | 1,862 | ||
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,385 | 11,181 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,575 | 9,321 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 76,475 | 73,372 | ||
CubeSmart LP | 2.250% | 12/15/28 | 11,790 | 11,828 | ||
Equinix Inc. | 3.000% | 7/15/50 | 35,915 | 34,358 | ||
Healthpeak Properties Inc. | 2.125% | 12/1/28 | 29,850 | 29,918 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 30,600 | 32,093 | ||
Realty Income Corp. | 3.400% | 1/15/28 | 8,845 | 9,547 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 25,855 | 26,116 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 19,405 | 20,850 | ||
Realty Income Corp. | 2.850% | 12/15/32 | 19,565 | 20,350 | ||
5 | SBA Tower Trust | 1.840% | 4/15/27 | 53,140 | 52,756 | |
5 | SBA Tower Trust | 2.593% | 10/15/31 | 50,750 | 51,388 | |
5 | SBA Tower Trust | 3.448% | 3/15/48 | 28,730 | 28,841 | |
5 | SBA Tower Trust | 2.836% | 1/15/50 | 24,160 | 24,855 | |
5 | SBA Tower Trust | 1.884% | 7/15/50 | 9,320 | 9,335 | |
5 | SBA Tower Trust | 1.631% | 5/15/51 | 24,900 | 24,466 | |
5 | Scentre Group Trust 1 / Scentre Group Trust 2 | 4.375% | 5/28/30 | 28,670 | 32,790 | |
Simon Property Group LP | 3.750% | 2/1/24 | 6,645 | 6,963 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 20,470 | 21,537 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 38,350 | 38,898 | ||
638,957 | ||||||
Technology (3.5%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,750 | 23,702 | ||
Apple Inc. | 3.450% | 5/6/24 | 31,140 | 32,937 | ||
Apple Inc. | 2.850% | 5/11/24 | 45,635 | 47,562 | ||
Apple Inc. | 2.750% | 1/13/25 | 21,615 | 22,598 | ||
Apple Inc. | 3.250% | 2/23/26 | 38,220 | 40,894 | ||
Apple Inc. | 2.450% | 8/4/26 | 55,182 | 57,642 | ||
Apple Inc. | 3.350% | 2/9/27 | 56,435 | 61,333 | ||
Apple Inc. | 3.200% | 5/11/27 | 39,750 | 42,884 | ||
Apple Inc. | 2.900% | 9/12/27 | 83,420 | 88,914 | ||
Apple Inc. | 3.850% | 5/4/43 | 15,275 | 18,045 | ||
Apple Inc. | 4.450% | 5/6/44 | 4,035 | 5,150 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,510 | 43,253 | ||
Apple Inc. | 2.650% | 5/11/50 | 26,520 | 26,050 | ||
Apple Inc. | 2.550% | 8/20/60 | 50,285 | 47,340 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 10,955 | 11,878 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 3,395 | 3,712 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 38,911 | 42,696 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Broadcom Inc. | 4.150% | 11/15/30 | 4,670 | 5,179 | ||
5 | Broadcom Inc. | 2.600% | 2/15/33 | 4,300 | 4,171 | |
5 | Broadcom Inc. | 3.419% | 4/15/33 | 10,360 | 10,816 | |
5 | Broadcom Inc. | 3.500% | 2/15/41 | 26,355 | 26,837 | |
5 | Broadcom Inc. | 3.750% | 2/15/51 | 12,880 | 13,456 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 16,756 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 8,650 | 8,375 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 21,845 | 23,123 | ||
Global Payments Inc. | 2.150% | 1/15/27 | 20,500 | 20,597 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 22,020 | 22,424 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,825 | 31,044 | ||
Intel Corp. | 4.100% | 5/19/46 | 47,755 | 56,616 | ||
Intel Corp. | 3.250% | 11/15/49 | 10,000 | 10,566 | ||
Intel Corp. | 3.050% | 8/12/51 | 60,730 | 62,288 | ||
Intel Corp. | 3.200% | 8/12/61 | 16,360 | 16,742 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 61,300 | 63,728 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 22,800 | 24,027 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 81,400 | 85,021 | ||
International Business Machines Corp. | 7.000% | 10/30/25 | 25,000 | 30,138 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 148,025 | 158,440 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 98,025 | 106,489 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 47,230 | 49,139 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 23,890 | 24,986 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 11,865 | 12,649 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 64,501 | 67,504 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 25,692 | 29,468 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 162,183 | 159,163 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 115,380 | 122,178 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 19,051 | 18,970 | ||
Oracle Corp. | 2.500% | 5/15/22 | 38,860 | 39,013 | ||
Oracle Corp. | 2.400% | 9/15/23 | 63,535 | 64,793 | ||
Oracle Corp. | 2.950% | 11/15/24 | 80,105 | 83,326 | ||
Oracle Corp. | 1.650% | 3/25/26 | 51,805 | 51,374 | ||
Oracle Corp. | 3.250% | 11/15/27 | 96,975 | 102,373 | ||
Oracle Corp. | 4.000% | 11/15/47 | 16,360 | 16,967 | ||
Oracle Corp. | 3.950% | 3/25/51 | 16,985 | 17,674 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,920 | 18,722 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,611 | 26,756 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 44,450 | 44,823 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,504 | 39,382 | ||
QUALCOMM Inc. | 3.250% | 5/20/50 | 15,990 | 17,565 | ||
2,420,248 | ||||||
Utilities (5.1%) | ||||||
AEP Texas Inc. | 4.150% | 5/1/49 | 4,750 | 5,383 | ||
AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 17,195 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 3,365 | 4,293 | ||
Alabama Power Co. | 4.100% | 1/15/42 | 5,595 | 6,289 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 20,255 | 22,427 | ||
Alabama Power Co. | 4.300% | 7/15/48 | 27,790 | 33,681 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 58,000 | 58,496 | ||
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,365 | 24,680 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,085 | 5,809 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 20,245 | 21,394 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,495 | 1,674 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 29,696 | 35,682 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 885 | 1,046 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 4,430 | 4,756 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 16,830 | 17,216 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Baltimore Gas and Electric Co. | 2.800% | 8/15/22 | 26,250 | 26,459 | ||
Baltimore Gas and Electric Co. | 2.400% | 8/15/26 | 20,945 | 21,528 | ||
Baltimore Gas and Electric Co. | 2.900% | 6/15/50 | 9,820 | 9,797 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 32,052 | 43,742 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 865 | 1,166 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,725 | 13,812 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 32,020 | 39,097 | ||
5 | Boston Gas Co. | 3.150% | 8/1/27 | 8,010 | 8,347 | |
5 | Boston Gas Co. | 3.001% | 8/1/29 | 5,700 | 5,845 | |
5 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 63,125 | 71,841 | |
CenterPoint Energy Houston Electric LLC | 4.250% | 2/1/49 | 6,685 | 8,324 | ||
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 9,123 | 10,008 | ||
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 4,406 | 5,992 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 13,465 | 13,756 | ||
Commonwealth Edison Co. | 2.950% | 8/15/27 | 23,275 | 24,652 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,990 | 14,491 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,420 | 7,159 | ||
Commonwealth Edison Co. | 3.750% | 8/15/47 | 5,000 | 5,680 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,900 | 21,072 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,500 | 12,474 | ||
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 45,000 | 62,875 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 30,855 | 36,396 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,752 | 2,986 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,755 | 2,016 | ||
Consolidated Edison Co. of New York Inc. | 3.200% | 12/1/51 | 14,330 | 14,441 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 24,915 | 31,015 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 22,720 | 27,937 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 9,550 | 9,946 | ||
5 | Dominion Energy Inc. | 2.450% | 1/15/23 | 106,490 | 108,281 | |
Dominion Energy Inc. | 4.900% | 8/1/41 | 13,562 | 16,734 | ||
Dominion Energy Inc. | 4.600% | 3/15/49 | 13,855 | 17,389 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,832 | 6,572 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,446 | 1,847 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 23,085 | 32,507 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 9,627 | 13,020 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 6,830 | 8,353 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 25,065 | 36,068 | ||
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,000 | 6,171 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 13,915 | 18,948 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 5,542 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 6,375 | 7,506 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 5,205 | 5,982 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,220 | 19,218 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 17,480 | 18,143 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 11,420 | 12,156 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 33,075 | 33,656 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 37,600 | 46,303 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 14,740 | 15,793 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 36,945 | 38,405 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 1,625 | 2,303 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 6,221 | 7,206 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 61,923 | 74,096 | ||
3 | Duke Energy Progress NC Storm Funding LLC | 2.387% | 7/1/39 | 34,240 | 34,396 | |
5 | East Ohio Gas Co. | 2.000% | 6/15/30 | 13,440 | 13,029 | |
5 | East Ohio Gas Co. | 3.000% | 6/15/50 | 19,575 | 19,378 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 14,085 | 14,666 | ||
5 | Electricite de France SA | 4.875% | 9/21/38 | 69,690 | 84,692 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Electricite de France SA | 4.875% | 1/22/44 | 2,910 | 3,595 | |
5 | Electricite de France SA | 4.950% | 10/13/45 | 12,500 | 15,708 | |
Emera US Finance LP | 3.550% | 6/15/26 | 32,320 | 34,379 | ||
Entergy Corp. | 2.950% | 9/1/26 | 7,085 | 7,411 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 10,065 | 10,628 | ||
Evergy Inc. | 2.450% | 9/15/24 | 28,130 | 28,841 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 3,120 | 3,247 | ||
Evergy Metro Inc. | 2.250% | 6/1/30 | 8,520 | 8,500 | ||
Evergy Metro Inc. | 4.200% | 3/15/48 | 3,282 | 3,926 | ||
Eversource Energy | 2.900% | 10/1/24 | 25,155 | 26,091 | ||
Eversource Energy | 3.150% | 1/15/25 | 6,775 | 7,076 | ||
Eversource Energy | 3.300% | 1/15/28 | 14,490 | 15,423 | ||
Florida Power & Light Co. | 6.200% | 6/1/36 | 12,452 | 17,406 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 10,000 | 13,978 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,994 | 7,077 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 29,745 | 39,504 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 20,000 | 23,892 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 27,690 | 31,779 | ||
Fortis Inc. | 3.055% | 10/4/26 | 44,365 | 46,297 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 34,725 | 41,021 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 28,162 | 32,238 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 9,335 | 9,972 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,590 | 17,328 | ||
5 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 37,580 | 38,423 | |
5 | KeySpan Gas East Corp. | 5.819% | 4/1/41 | 5,060 | 6,653 | |
5 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,895 | 29,129 | |
5 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,851 | 7,658 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 9,925 | 13,217 | ||
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,110 | 1,363 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 14,675 | 17,938 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,000 | 13,593 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 44,720 | 46,959 | ||
5 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 3,400 | 3,735 | |
5 | Monongahela Power Co. | 4.100% | 4/15/24 | 11,000 | 11,582 | |
5 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,320 | 5,587 | |
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,355 | 15,909 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 32,210 | 33,630 | ||
Nevada Power Co. | 3.125% | 8/1/50 | 17,655 | 17,931 | ||
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,950 | 35,758 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 33,830 | 33,575 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 12,880 | 13,874 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 20,155 | 20,786 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 41,505 | 41,400 | ||
5 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,280 | 38,979 | |
5 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 22,255 | 21,279 | |
NiSource Inc. | 5.250% | 2/15/43 | 13,546 | 17,433 | ||
NiSource Inc. | 4.800% | 2/15/44 | 8,500 | 10,401 | ||
3,5 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 35,520 | 43,203 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 5,145 | 6,868 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,835 | 2,084 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 20,029 | 21,555 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 5,781 | 7,288 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,225 | 22,144 | ||
Oklahoma Gas and Electric Co. | 6.500% | 4/15/28 | 10,000 | 12,489 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 13,935 | 14,014 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 31,858 | 33,283 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 11,325 | 15,038 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 3,275 | 4,059 | ||
5 | Oncor Electric Delivery Co. LLC | 2.700% | 11/15/51 | 13,765 | 13,402 | |
PacifiCorp | 2.950% | 6/1/23 | 14,835 | 15,193 | ||
PacifiCorp | 3.600% | 4/1/24 | 20,000 | 20,971 | ||
PacifiCorp | 3.350% | 7/1/25 | 15,354 | 16,204 | ||
PacifiCorp | 2.700% | 9/15/30 | 8,500 | 8,776 | ||
PacifiCorp | 5.750% | 4/1/37 | 14,188 | 18,692 | ||
PacifiCorp | 4.125% | 1/15/49 | 2,262 | 2,612 | ||
PacifiCorp | 4.150% | 2/15/50 | 11,330 | 13,435 | ||
PacifiCorp | 3.300% | 3/15/51 | 20,663 | 21,619 | ||
3 | PG&E Energy Recovery Funding LLC | 2.280% | 1/15/38 | 3,573 | 3,544 | |
3 | PG&E Energy Recovery Funding LLC | 2.822% | 7/15/48 | 16,435 | 16,324 | |
Potomac Electric Power Co. | 3.050% | 4/1/22 | 4,235 | 4,258 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 8,000 | 11,619 | ||
PPL Electric Utilities Corp. | 2.500% | 9/1/22 | 12,830 | 12,926 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 2,675 | 3,843 | ||
Progress Energy Inc. | 3.150% | 4/1/22 | 20,800 | 20,840 | ||
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 19,880 | 23,587 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,620 | 6,259 | ||
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 1,505 | 1,798 | ||
3 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 10,618 | 10,111 | |
SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,915 | 3,762 | ||
SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,545 | 3,489 | ||
Sempra Energy | 3.800% | 2/1/38 | 20,000 | 21,999 | ||
Sempra Energy | 6.000% | 10/15/39 | 21,184 | 29,181 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 8,027 | 8,352 | ||
Southern California Edison Co. | 2.400% | 2/1/22 | 8,270 | 8,281 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 3,225 | 3,444 | ||
Southern California Edison Co. | 5.750% | 4/1/35 | 5,000 | 6,384 | ||
Southern California Edison Co. | 6.050% | 3/15/39 | 1,995 | 2,626 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 5,150 | 5,862 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 17,788 | 19,253 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 8,782 | 9,350 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 16,770 | 19,722 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 8,160 | 8,323 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 3,675 | 4,058 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 32,029 | 35,996 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 25,325 | 27,065 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 28,885 | 30,061 | ||
Southern Co. | 2.950% | 7/1/23 | 44,985 | 46,102 | ||
Southern Co. | 4.400% | 7/1/46 | 25,160 | 29,717 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 9,465 | 9,307 | ||
Southwestern Electric Power Co. | 2.750% | 10/1/26 | 15,000 | 15,531 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 13,724 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,790 | 4,238 | ||
5 | State Grid Overseas Investment BVI Ltd. | 2.750% | 5/4/22 | 63,500 | 63,851 | |
5 | State Grid Overseas Investment BVI Ltd. | 3.500% | 5/4/27 | 29,070 | 31,359 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 20,205 | 20,331 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,942 | 17,669 | ||
Virginia Electric and Power Co. | 3.500% | 3/15/27 | 40,765 | 44,072 | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 9,435 | 12,954 | ||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 13,825 | 18,385 | ||
Xcel Energy Inc. | 3.350% | 12/1/26 | 33,370 | 35,572 | ||
3,511,402 | ||||||
Total Corporate Bonds (Cost $26,629,658) | 28,316,327 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Sovereign Bonds (0.9%) | ||||||
5 | Government of Bermuda | 2.375% | 8/20/30 | 18,120 | 18,075 | |
5 | Government of Bermuda | 3.375% | 8/20/50 | 7,115 | 7,118 | |
5 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,320 | 31,030 | |
5 | Kuwait | 2.750% | 3/20/22 | 4,315 | 4,337 | |
Province of Ontario | 2.500% | 4/27/26 | 100,400 | 105,014 | ||
Province of Quebec | 2.500% | 4/20/26 | 134,755 | 141,205 | ||
Republic of Chile | 2.550% | 1/27/32 | 37,535 | 37,412 | ||
Republic of Chile | 2.550% | 7/27/33 | 44,430 | 43,241 | ||
Republic of Chile | 3.500% | 4/15/53 | 22,895 | 23,685 | ||
Republic of Chile | 3.100% | 1/22/61 | 14,340 | 13,333 | ||
Republic of Colombia | 4.000% | 2/26/24 | 29,348 | 30,289 | ||
Republic of Panama | 2.252% | 9/29/32 | 55,795 | 53,056 | ||
3 | Republic of Panama | 3.870% | 7/23/60 | 23,230 | 23,233 | |
5 | State of Qatar | 3.875% | 4/23/23 | 69,280 | 72,050 | |
5 | State of Qatar | 3.375% | 3/14/24 | 3,250 | 3,404 | |
5 | State of Qatar | 4.400% | 4/16/50 | 13,435 | 16,746 | |
Total Sovereign Bonds (Cost $611,209) | 623,228 | |||||
Taxable Municipal Bonds (3.0%) | ||||||
Alabama Federal Aid Highway Finance Authority Government Fund/Grant Revenue | 2.650% | 9/1/37 | 4,905 | 4,955 | ||
Bay Area Toll Authority Highway Revenue | 2.574% | 4/1/31 | 14,735 | 15,181 | ||
Bay Area Toll Authority Highway Revenue | 6.263% | 4/1/49 | 4,670 | 7,463 | ||
Bay Area Toll Authority Highway Revenue | 7.043% | 4/1/50 | 24,800 | 43,380 | ||
Broward FL Airport System Port, Airport & Marina Revenue | 3.477% | 10/1/43 | 10,070 | 10,334 | ||
California GO | 7.500% | 4/1/34 | 5,845 | 8,945 | ||
California GO | 7.350% | 11/1/39 | 45,195 | 71,330 | ||
California GO | 7.600% | 11/1/40 | 2,215 | 3,818 | ||
California State University College & University Revenue | 2.719% | 11/1/52 | 12,175 | 12,281 | ||
California State University College & University Revenue | 2.939% | 11/1/52 | 15,330 | 15,364 | ||
Chicago O'Hare International Airport Port, Airport & Marina Revenue | 6.395% | 1/1/40 | 4,780 | 7,196 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 61,935 | 87,230 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 31,650 | 44,576 | ||
Chicago Transit Authority Sales Tax Receipts Fund Sales Tax Revenue | 6.200% | 12/1/40 | 2,290 | 3,131 | ||
Commonwealth of Massachusetts GO | 2.514% | 7/1/41 | 10,625 | 10,467 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 2.843% | 11/1/46 | 10,280 | 10,334 | ||
Dallas-Fort Worth International Airport Port, Airport & Marina Revenue | 3.089% | 11/1/40 | 7,770 | 7,963 | ||
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 6,480 | 8,148 | ||
Duke University College & University Revenue | 5.850% | 4/1/37 | 62,165 | 88,859 | ||
Foothill-Eastern Transportation Corridor Agency Highway Revenue | 4.094% | 1/15/49 | 5,145 | 5,530 | ||
8 | Foothill-Eastern Transportation Corridor Agency Highway Revenue | 3.924% | 1/15/53 | 38,475 | 41,130 | |
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.637% | 4/1/57 | 64,143 | 97,654 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 2.746% | 6/1/34 | 2,375 | 2,389 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 3.293% | 6/1/42 | 4,595 | 4,675 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 3.000% | 6/1/46 | 11,260 | 11,534 | ||
Grand Parkway Transportation Corp. Texas System Highway Revenue | 3.236% | 10/1/52 | 53,710 | 54,343 | ||
Great Lakes Water Authority Sewage Disposal System Sewer Revenue | 3.056% | 7/1/39 | 12,495 | 13,184 | ||
Houston TX GO | 6.290% | 3/1/32 | 14,360 | 18,114 | ||
Illinois GO | 5.100% | 6/1/33 | 126,805 | 146,572 | ||
Illinois State Toll Highway Authority Highway Revenue | 6.184% | 1/1/34 | 16,525 | 22,534 | ||
JobsOhio Beverage System Miscellaneous Revenue | 2.833% | 1/1/38 | 5,335 | 5,500 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.927% | 4/15/45 | 38,405 | 50,000 | ||
9 | Kansas Development Finance Authority Appropriations Revenue | 2.774% | 5/1/51 | 15,160 | 15,049 | |
Louisville and Jefferson County Metropolitan Sewer District Sewer Revenue | 6.250% | 5/15/43 | 11,000 | 16,131 | ||
Maryland State Transportation Authority Transit Revenue | 5.888% | 7/1/43 | 12,005 | 17,083 | ||
Massachusetts School Building Authority Sales Tax Revenue | 1.753% | 8/15/30 | 28,455 | 28,139 | ||
Massachusetts School Building Authority Sales Tax Revenue | 5.715% | 8/15/39 | 15,000 | 20,732 | ||
Massachusetts School Building Authority Sales Tax Revenue | 3.395% | 10/15/40 | 16,565 | 17,335 | ||
Massachusetts School Building Authority Sales Tax Revenue | 2.950% | 5/15/43 | 23,000 | 23,379 | ||
Massachusetts Water Resources Authority Water Revenue | 2.823% | 8/1/41 | 12,650 | 12,785 | ||
Metropolitan Transportation Authority Fuel Sales Tax Revenue | 6.089% | 11/15/40 | 16,940 | 23,569 | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 2,430 | 3,891 | ||
Metropolitan Transportation Authority Transit Revenue | 6.200% | 11/15/26 | 2,255 | 2,549 | ||
Metropolitan Transportation Authority Transit Revenue | 6.814% | 11/15/40 | 27,855 | 39,636 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 37,785 | 51,725 | ||
Michigan Finance Authority Health, Hospital, Nursing Home Revenue | 3.084% | 12/1/34 | 11,385 | 12,181 | ||
Municipal Electric Authority of Georgia Electric Power & Light Revenue | 4.430% | 1/1/22 | 7,795 | 7,795 | ||
New Jersey Turnpike Authority Highway Revenue | 7.414% | 1/1/40 | 28,975 | 46,642 | ||
New York State Dormitory Authority Income Tax Revenue | 3.110% | 2/15/39 | 21,345 | 22,664 | ||
New York State Dormitory Authority Income Tax Revenue | 3.190% | 2/15/43 | 11,865 | 12,516 | ||
New York State Thruway Authority Highway & Bridge Trust Fund Fuel Sales Tax Revenue | 5.883% | 4/1/30 | 29,670 | 36,782 | ||
New York State Thruway Authority Highway Revenue | 2.900% | 1/1/35 | 16,215 | 16,924 | ||
New York State Thruway Authority Highway Revenue | 3.500% | 1/1/42 | 9,140 | 9,510 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
New York State Urban Development Corp. Income Tax Revenue | 2.100% | 3/15/22 | 29,345 | 29,455 | ||
North Texas Tollway Authority Highway Revenue | 3.011% | 1/1/43 | 10,335 | 10,572 | ||
North Texas Tollway Authority Highway Revenue | 6.718% | 1/1/49 | 15,100 | 25,514 | ||
Oregon Department of Transportation Fuel Sales Tax Revenue | 5.834% | 11/15/34 | 14,510 | 19,775 | ||
10 | Oregon School Boards Assn. GO | 4.759% | 6/30/28 | 13,576 | 15,007 | |
9 | Oregon State University College & University Revenue | 3.424% | 3/1/60 | 31,000 | 32,235 | |
11 | Philadelphia Authority for Industrial Development Miscellaneous Revenue | 6.550% | 10/15/28 | 64,830 | 81,468 | |
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.859% | 12/1/24 | 1,960 | 2,217 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 3.175% | 7/15/60 | 16,940 | 16,802 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.458% | 10/1/62 | 53,000 | 70,250 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.810% | 10/15/65 | 10,910 | 14,969 | ||
Riverside CA General Fund Revenue | 3.857% | 6/1/45 | 12,905 | 14,047 | ||
Riverside County CA Appropriations Revenue | 3.818% | 2/15/38 | 9,875 | 11,070 | ||
Rutgers State University of New Jersey College & University Revenue | 3.270% | 5/1/43 | 11,595 | 12,248 | ||
Sales Tax Securitization Corp. Intergovernmental Agreement Revenue | 3.238% | 1/1/42 | 20,635 | 20,741 | ||
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 | 9,044 | ||
State Board of Administration Finance Corp. Miscellaneous Revenue | 1.705% | 7/1/27 | 33,175 | 33,092 | ||
Texas Transportation Commission GO | 2.562% | 4/1/42 | 8,625 | 8,553 | ||
Texas Transportation Commission State Highway Fund Fuel Sales Tax Revenue | 5.178% | 4/1/30 | 12,275 | 14,736 | ||
Texas Transportation Commission State Highway Fund Miscellaneous Revenue | 4.000% | 10/1/33 | 17,140 | 20,487 | ||
University of California College & University Revenue | 1.316% | 5/15/27 | 13,645 | 13,398 | ||
University of California College & University Revenue | 1.614% | 5/15/30 | 23,375 | 22,679 | ||
University of California College & University Revenue | 4.601% | 5/15/31 | 19,390 | 22,574 | ||
University of California College & University Revenue | 4.765% | 5/15/44 | 4,740 | 5,059 | ||
University of California College & University Revenue | 3.931% | 5/15/45 | 18,275 | 21,049 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.548% | 5/15/48 | 10,665 | 16,503 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.583% | 5/15/49 | 15,790 | 24,319 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.006% | 5/15/50 | 14,850 | 15,279 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.256% | 5/15/60 | 27,700 | 29,806 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Utility Debt Securitization Authority Electric Power & Light Revenue | 3.435% | 12/15/25 | 4,254 | 4,365 | ||
8 | Wisconsin Appropriations Revenue | 5.700% | 5/1/26 | 6,875 | 7,732 | |
Wisconsin Appropriations Revenue | 3.954% | 5/1/36 | 28,325 | 31,344 | ||
Total Taxable Municipal Bonds (Cost $1,806,366) | 2,078,904 | |||||
Shares | ||||||
Common Stocks (39.9%) | ||||||
Communication Services (1.5%) | ||||||
Comcast Corp. Class A | 13,532,367 | 681,084 | ||||
Verizon Communications Inc. | 6,865,487 | 356,731 | ||||
1,037,815 | ||||||
Consumer Discretionary (2.2%) | ||||||
Home Depot Inc. | 2,324,755 | 964,797 | ||||
McDonald's Corp. | 1,372,367 | 367,890 | ||||
Darden Restaurants Inc. | 901,736 | 135,837 | ||||
1,468,524 | ||||||
Consumer Staples (6.5%) | ||||||
Procter & Gamble Co. | 6,096,924 | 997,335 | ||||
Mondelez International Inc. Class A | 9,731,325 | 645,284 | ||||
Philip Morris International Inc. | 6,192,528 | 588,290 | ||||
PepsiCo Inc. | 2,692,440 | 467,704 | ||||
Kimberly-Clark Corp. | 2,551,812 | 364,705 | ||||
Archer-Daniels-Midland Co. | 5,353,434 | 361,838 | ||||
Unilever plc ADR | 5,219,924 | 280,780 | ||||
Coca-Cola Co. | 4,250,985 | 251,701 | ||||
Kellogg Co. | 3,693,589 | 237,941 | ||||
Nestle SA ADR | 825,500 | 115,875 | ||||
Sysco Corp. | 1,276,800 | 100,293 | ||||
4,411,746 | ||||||
Energy (2.5%) | ||||||
Pioneer Natural Resources Co. | 3,318,810 | 603,625 | ||||
ConocoPhillips | 7,745,092 | 559,041 | ||||
12 | TC Energy Corp. | 6,113,691 | 284,334 | |||
EOG Resources Inc. | 2,234,755 | 198,513 | ||||
Phillips 66 | 1,248,475 | 90,465 | ||||
1,735,978 | ||||||
Financials (8.4%) | ||||||
JPMorgan Chase & Co. | 6,819,007 | 1,079,790 | ||||
Bank of America Corp. | 19,360,795 | 861,362 | ||||
Morgan Stanley | 7,118,576 | 698,759 | ||||
Chubb Ltd. | 3,376,936 | 652,796 | ||||
MetLife Inc. | 10,418,337 | 651,042 | ||||
BlackRock Inc. | 532,578 | 487,607 | ||||
PNC Financial Services Group Inc. | 2,338,691 | 468,954 | ||||
Truist Financial Corp. | 7,552,249 | 442,184 | ||||
Progressive Corp. | 3,962,141 | 406,714 | ||||
5,749,208 | ||||||
Health Care (6.4%) | ||||||
Johnson & Johnson | 5,737,348 | 981,488 | ||||
Pfizer Inc. | 15,279,151 | 902,234 | ||||
Eli Lilly & Co. | 2,144,753 | 592,424 | ||||
Merck & Co. Inc. | 7,589,805 | 581,683 | ||||
Medtronic plc | 4,271,947 | 441,933 | ||||
CVS Health Corp. | 4,140,240 | 427,107 |
Shares | Market Value ($000) | |||||
AstraZeneca plc ADR | 4,535,091 | 264,169 | ||||
Koninklijke Philips NV GDR | 4,591,000 | 169,178 | ||||
4,360,216 | ||||||
Industrials (4.6%) | ||||||
General Dynamics Corp. | 2,481,609 | 517,341 | ||||
Eaton Corp. plc | 2,896,380 | 500,553 | ||||
Raytheon Technologies Corp. | 4,686,408 | 403,312 | ||||
Johnson Controls International plc | 4,579,387 | 372,350 | ||||
Lockheed Martin Corp. | 1,024,003 | 363,941 | ||||
Caterpillar Inc. | 1,450,231 | 299,821 | ||||
L3Harris Technologies Inc. | 1,335,300 | 284,739 | ||||
Union Pacific Corp. | 1,070,368 | 269,658 | ||||
Honeywell International Inc. | 773,388 | 161,259 | ||||
3,172,974 | ||||||
Information Technology (3.2%) | ||||||
Cisco Systems Inc. | 16,326,639 | 1,034,619 | ||||
Texas Instruments Inc. | 2,637,609 | 497,110 | ||||
Corning Inc. | 8,503,250 | 316,576 | ||||
Analog Devices Inc. | 1,779,906 | 312,854 | ||||
2,161,159 | ||||||
Materials (0.7%) | ||||||
LyondellBasell Industries NV Class A | 4,297,833 | 396,389 | ||||
12 | Rio Tinto plc ADR | 1,670,841 | 111,846 | |||
508,235 | ||||||
Real Estate (0.7%) | ||||||
Crown Castle International Corp. | 2,159,153 | 450,701 | ||||
Utilities (3.2%) | ||||||
Exelon Corp. | 6,878,668 | 397,312 | ||||
American Electric Power Co. Inc. | 4,446,670 | 395,620 | ||||
Dominion Energy Inc. | 4,781,709 | 375,651 | ||||
Sempra Energy (XNYS) | 2,622,398 | 346,891 | ||||
Duke Energy Corp. | 3,042,625 | 319,172 | ||||
Entergy Corp. | 1,908,709 | 215,016 | ||||
DTE Energy Co. | 1,181,900 | 141,284 | ||||
2,190,946 | ||||||
Total Common Stocks (Cost $16,929,385) | 27,247,502 | |||||
Coupon | ||||||
Temporary Cash Investments (1.6%) | ||||||
Money Market Fund (0.1%) | ||||||
13,14 | Vanguard Market Liquidity Fund | 0.090% | 846,421 | 84,634 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (0.3%) | ||||||
Bank of America Securities LLC (Dated 12/31/21, Repurchase Value $31,300,000, collateralized by U.S. Treasury Note/Bond 0.750%, 5/31/26, with a value of $31,926,000) | 0.050% | 1/3/22 | 31,300 | 31,300 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Deutsche Bank Securities, Inc. (Dated 12/31/21, Repurchase Value $23,200,000, collateralized by U.S. Treasury Bill 0.000%, 1/25/22, with a value of $23,664,000) | 0.040% | 1/3/22 | 23,200 | 23,200 | ||
HSBC Bank USA (Dated 12/31/21, Repurchase Value $9,800,000, collateralized by Fannie Mae 3.000%–4.500%, 3/1/31–12/1/51, and Freddie Mac 2.500%, 6/1/50, with a value of $9,996,000) | 0.050% | 1/3/22 | 9,800 | 9,800 | ||
HSBC Bank USA (Dated 12/31/21, Repurchase Value $16,800,000, collateralized by U.S. Treasury Note/Bond 4.375%, 11/15/39, with a value of $17,136,000) | 0.045% | 1/3/22 | 16,800 | 16,800 | ||
JP Morgan Securities LLC (Dated 12/31/21, Repurchase Value $27,800,000, collateralized by U.S. Treasury Bill 0.000%, 2/3/22–12/29/22, and U.S. Treasury Note/Bond 0.125%–6.000%, 2/28/22–2/15/26, with a value of $28,356,000) | 0.050% | 1/3/22 | 27,800 | 27,800 | ||
Natixis SA (Dated 12/31/21, Repurchase Value $5,400,000, collateralized by U.S. Treasury Note/Bond 0.125%–4.750, 7/31/22–2/15/37, with a value of $5,508,000) | 0.050% | 1/3/22 | 5,400 | 5,400 | ||
Nomura International plc (Dated 12/31/21, Repurchase Value $50,500,000, collateralized by U.S. Treasury Note/Bond 1.750%–3.125%, 6/30/24–5/15/51, with a value of $51,510,000) | 0.050% | 1/3/22 | 50,500 | 50,500 | ||
RBC Capital Markets LLC (Dated 12/31/21, Repurchase Value $400,000, collateralized by Fannie Mae 3.000%, 12/1/50, and Freddie Mac 2.000%–4.000%, 8/1/30–12/1/51, with a value of $408,000) | 0.050% | 1/3/22 | 400 | 400 | ||
RBS Securities Inc. (Dated 12/31/21, Repurchase Value $32,100,000, collateralized by U.S. Treasury Note/Bond 1.875%–2.875%, 5/15/43–2/15/51, with a value of $32,742,000) | 0.050% | 1/3/22 | 32,100 | 32,100 | ||
197,300 | ||||||
U.S. Government and Agency Obligations (1.2%) | ||||||
United States Treasury Bill | 0.000% | 1/6/22–12/1/22 | 363,000 | 362,532 | ||
United States Treasury Bill | 0.041% | 1/11/22 | 300,000 | 299,998 | ||
United States Treasury Bill | 0.042% | 1/25/22 | 30,000 | 29,999 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
United States Treasury Bill | 0.160% | 11/3/22 | 112,000 | 111,740 | ||
804,269 | ||||||
Total Temporary Cash Investments (Cost $1,086,391) | 1,086,203 | |||||
Total Investments (99.7%) (Cost $55,975,967) | 68,177,015 | |||||
Other Assets and Liabilities—Net (0.3%) | 189,336 | |||||
Net Assets (100%) | 68,366,351 | |||||
Cost is in $000. |
1 | Securities with a value of $15,025,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $269,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the aggregate value was $9,476,419,000, representing 13.9% of net assets. |
6 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
7 | Security value determined using significant unobservable inputs. |
8 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
9 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
10 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
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 $80,761,000. |
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 $84,732,000 was received for securities on loan, of which $84,634,000 is held in Vanguard Market Liquidity Fund and $98,000 is held in cash. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
GDR—Global Depositary Receipt. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | March 2022 | 964 | 125,772 | (270) |
2-Year U.S. Treasury Note | March 2022 | 3,766 | 821,635 | (419) |
5-Year U.S. Treasury Note | March 2022 | 1,576 | 190,659 | 283 |
Ultra 10-Year U.S. Treasury Note | March 2022 | 4,121 | 603,469 | 3,034 |
2,628 |
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, as furnished by independent pricing services.
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. 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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
E. 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 also enters 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.
F. 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.
G. 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 December 31, 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 | — | 6,891,529 | — | 6,891,529 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,916,957 | 16,365 | 1,933,322 |
Corporate Bonds | — | 28,316,327 | — | 28,316,327 |
Sovereign Bonds | — | 623,228 | — | 623,228 |
Taxable Municipal Bonds | — | 2,078,904 | — | 2,078,904 |
Common Stocks | 27,247,502 | — | — | 27,247,502 |
Temporary Cash Investments | 84,634 | 1,001,569 | — | 1,086,203 |
Total | 27,332,136 | 40,828,514 | 16,365 | 68,177,015 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3,317 | — | — | 3,317 |
Liabilities | ||||
Futures Contracts1 | 689 | — | — | 689 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |