Vanguard® Wellesley® Income Fund
Schedule of Investments (unaudited)
As of June 30, 2022
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 (13.8%) | ||||||
U.S. Government Securities (11.3%) | ||||||
United States Treasury Note/Bond | 0.250% | 9/30/23 | 6,385 | 6,174 | ||
United States Treasury Note/Bond | 2.250% | 3/31/24 | 268,000 | 264,608 | ||
United States Treasury Note/Bond | 2.500% | 4/30/24 | 84,740 | 83,999 | ||
1 | United States Treasury Note/Bond | 0.250% | 6/15/24 | 477,350 | 452,587 | |
United States Treasury Note/Bond | 0.375% | 8/15/24 | 325,000 | 307,379 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 83,000 | 78,305 | ||
United States Treasury Note/Bond | 0.625% | 10/15/24 | 501,000 | 474,619 | ||
United States Treasury Note/Bond | 1.000% | 12/15/24 | 68,000 | 64,749 | ||
United States Treasury Note/Bond | 1.125% | 1/15/25 | 271,270 | 258,639 | ||
2 | United States Treasury Note/Bond | 1.750% | 3/15/25 | 605,000 | 584,770 | |
United States Treasury Note/Bond | 2.625% | 4/15/25 | 165,050 | 163,271 | ||
United States Treasury Note/Bond | 2.750% | 5/15/25 | 50,000 | 49,617 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 390,605 | 360,394 | ||
2 | United States Treasury Note/Bond | 0.250% | 7/31/25 | 523,245 | 480,241 | |
United States Treasury Note/Bond | 0.250% | 8/31/25 | 154,990 | 141,889 | ||
2,3 | United States Treasury Note/Bond | 0.375% | 1/31/26 | 610,370 | 554,865 | |
United States Treasury Note/Bond | 1.125% | 10/31/26 | 38,950 | 35,895 | ||
United States Treasury Note/Bond | 1.250% | 12/31/26 | 439,835 | 406,435 | ||
United States Treasury Note/Bond | 1.500% | 1/31/27 | 7,590 | 7,085 | ||
United States Treasury Note/Bond | 1.875% | 2/28/27 | 155,760 | 147,850 | ||
United States Treasury Note/Bond | 2.500% | 3/31/27 | 36,240 | 35,357 | ||
United States Treasury Note/Bond | 2.750% | 4/30/27 | 162,505 | 160,296 | ||
United States Treasury Note/Bond | 3.250% | 6/30/27 | 32,500 | 32,815 | ||
United States Treasury Note/Bond | 1.875% | 2/28/29 | 2,855 | 2,654 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 680 | 584 | ||
United States Treasury Note/Bond | 1.875% | 2/15/32 | 14,335 | 12,984 | ||
United States Treasury Note/Bond | 2.875% | 5/15/32 | 54,155 | 53,546 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 9,085 | 6,909 | ||
2 | United States Treasury Note/Bond | 2.000% | 11/15/41 | 1,019,145 | 809,106 | |
United States Treasury Note/Bond | 2.375% | 2/15/42 | 112,010 | 94,963 | ||
United States Treasury Note/Bond | 3.250% | 5/15/42 | 225,910 | 220,474 | ||
United States Treasury Note/Bond | 2.250% | 2/15/52 | 208,410 | 171,482 | ||
United States Treasury Note/Bond | 2.875% | 5/15/52 | 221,150 | 208,779 | ||
6,733,320 | ||||||
Agency Bonds and Notes (0.0%) | ||||||
Tennessee Valley Authority | 4.625% | 9/15/60 | 19,800 | 22,225 | ||
Conventional Mortgage-Backed Securities (2.1%) | ||||||
4,5 | Fannie Mae Pool | 1.770% | 1/1/36 | 21,262 | 17,537 | |
4,5 | Freddie Mac Gold Pool | 4.000% | 7/1/33 | 3 | 3 | |
4 | Ginnie Mae I Pool | 6.000% | 6/15/31–7/15/35 | 16 | 16 | |
4 | Ginnie Mae I Pool | 6.500% | 4/15/32–7/15/38 | 1,315 | 1,401 | |
4,5 | UMBS Pool | 2.500% | 8/1/27–4/1/38 | 27,384 | 25,282 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,5,6 | UMBS Pool | 3.000% | 7/14/52 | 820,000 | 763,369 | |
4,5,6 | UMBS Pool | 3.500% | 7/14/52 | 135,000 | 129,748 | |
4,5,6 | UMBS Pool | 4.000% | 7/14/52 | 293,525 | 289,397 | |
1,226,753 | ||||||
Nonconventional Mortgage-Backed Securities (0.4%) | ||||||
4,5 | Fannie Mae REMICS | 1.250% | 2/25/28 | 9,327 | 8,955 | |
4,5 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 4,436 | 4,216 | |
4,5 | Fannie Mae REMICS | 1.700% | 6/25/43 | 1,850 | 1,792 | |
4,5 | Fannie Mae REMICS | 2.000% | 6/25/43–6/25/44 | 6,227 | 5,916 | |
4,5 | Fannie Mae REMICS | 2.500% | 8/25/46–2/25/47 | 31,339 | 27,169 | |
4,5 | Fannie Mae REMICS | 3.000% | 12/25/39–9/25/57 | 45,059 | 42,617 | |
4,5 | Fannie Mae REMICS | 3.500% | 4/25/31–11/25/57 | 74,677 | 73,692 | |
4,5 | Fannie Mae REMICS | 4.000% | 7/25/53 | 2,745 | 2,760 | |
4,5 | Freddie Mac REMICS | 1.500% | 10/15/42 | 5,747 | 5,253 | |
4,5 | Freddie Mac REMICS | 2.000% | 9/15/31 | 8,637 | 8,349 | |
4,5 | Freddie Mac REMICS | 2.500% | 9/15/32 | 1,137 | 1,123 | |
4,5 | Freddie Mac REMICS | 3.000% | 6/15/44–5/15/46 | 32,438 | 30,799 | |
4,5 | Freddie Mac REMICS | 3.500% | 3/15/31–10/15/45 | 8,634 | 8,454 | |
4,5 | Freddie Mac REMICS | 4.000% | 12/15/30–2/15/31 | 3,747 | 3,737 | |
4 | Ginnie Mae | 1.700% | 10/20/45 | 1,503 | 1,487 | |
226,319 | ||||||
Total U.S. Government and Agency Obligations (Cost $8,760,425) | 8,208,617 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (1.6%) | ||||||
4,7 | Aaset Trust Class A Series 2019-1 | 3.844% | 5/15/39 | 9,206 | 6,326 | |
4,7 | Affirm Asset Securitization Trust Class A Series 2021-A | 0.880% | 8/15/25 | 6,845 | 6,782 | |
4,7 | Affirm Asset Securitization Trust Class A Series 2021-B | 1.030% | 8/17/26 | 17,575 | 16,850 | |
4,7 | Affirm Asset Securitization Trust Class A Series 2021-Z1 | 1.070% | 8/15/25 | 9,979 | 9,725 | |
4,7 | Affirm Asset Securitization Trust Class A Series 2021-Z2 | 1.170% | 11/16/26 | 8,022 | 7,847 | |
4,7 | Aligned Data Centers Issuer LLC Class A2 Series 2021-1A | 1.937% | 8/15/46 | 43,730 | 38,669 | |
4,7 | American Tower Trust #1 Class 2A Series 13 | 3.070% | 3/15/48 | 32,900 | 32,667 | |
4,7,8 | Angel Oak Mortgage Trust Class A1 Series 2019-5 | 2.593% | 10/25/49 | 2,394 | 2,348 | |
4,7,8 | Angel Oak Mortgage Trust Class A1 Series 2019-6 | 2.620% | 11/25/59 | 5,285 | 5,292 | |
4,7,8 | Angel Oak Mortgage Trust Class A1 Series 2021-6 | 1.458% | 9/25/66 | 25,491 | 21,729 | |
4,7,8 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-2 | 3.628% | 3/25/49 | 340 | 340 | |
4,7,8 | Angel Oak Mortgage Trust I LLC Class A1 Series 2019-4 | 2.993% | 7/26/49 | 1,848 | 1,852 | |
4,7,8 | BX Commercial Mortgage Trust Class A Series 2021-VOLT, 1M USD LIBOR + 0.700% | 2.024% | 9/15/36 | 28,565 | 27,324 | |
4,7,8 | BX Trust Class A Series 2021-ARIA, 1M USD LIBOR + 0.899% | 2.223% | 10/15/36 | 14,465 | 13,597 | |
4,7,8 | BXHPP Trust Class A Series 2021-FILM, 1M USD LIBOR + 0.650% | 1.974% | 8/15/36 | 15,215 | 14,664 | |
4,7,8 | BXHPP Trust Class B Series 2021-FILM, 1M USD LIBOR + 0.900% | 2.224% | 8/15/36 | 3,140 | 2,961 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,7 | Castlelake Aircraft Structured Trust Class A Series 2019-1A | 3.967% | 4/15/39 | 18,517 | 16,335 | |
4,7,8 | Cent CLO 21 Ltd. Class A1R3 Series 2014-21A, 3M USD LIBOR + 0.970% | 2.195% | 7/27/30 | 10,000 | 9,833 | |
4,7 | CF Hippolyta LLC Class A1 Series 2021-A1 | 1.530% | 3/15/61 | 25,292 | 22,331 | |
4,7 | Chesapeake Funding II LLC Class A1 Series 2018-3A | 3.390% | 1/15/31 | 2,895 | 2,899 | |
4,7,8 | Cloud Pass-Through Trust Class CLOU Series 2019-1A | 3.554% | 12/5/22 | 114 | 114 | |
4,7 | DB Master Finance LLC Class A2II Series 2019-1A | 4.021% | 5/20/49 | 13,158 | 12,758 | |
4,7 | Domino's Pizza Master Issuer LLC Class A2I Series 2021-1A | 2.662% | 4/25/51 | 37,674 | 32,639 | |
4,7 | Domino's Pizza Master Issuer LLC Class A2II Series 2021-1A | 3.151% | 4/25/51 | 31,170 | 27,313 | |
4,7 | Enterprise Fleet Financing LLC Class A2 Series 2019-2 | 2.290% | 2/20/25 | 4,438 | 4,425 | |
4,7 | Enterprise Fleet Financing LLC Class A2 Series 2019-3 | 2.060% | 5/20/25 | 3,836 | 3,824 | |
4,5,8 | Fannie Mae Connecticut Avenue Securities Class 2M2 Series 2016-C03, 1M USD LIBOR + 5.900% | 7.524% | 10/25/28 | 3,524 | 3,660 | |
4,5 | FHLMC Multifamily Structured Pass Through Certificates Class A2 Series K-1521 | 2.184% | 8/25/36 | 17,210 | 14,039 | |
4,5 | FHLMC Multifamily Structured Pass Through Certificates Class A2 Series K733 | 3.750% | 8/25/25 | 10,785 | 10,887 | |
4,5 | FHLMC Multifamily Structured Pass Through Certificates Class A3 Series K-1512 | 3.059% | 4/25/34 | 7,200 | 6,645 | |
4,5 | FHLMC Multifamily Structured Pass Through Certificates Class A3 Series K-1513 | 2.797% | 8/25/34 | 7,552 | 6,771 | |
4,7 | FirstKey Homes Trust Class A Series 2021-SFR1 | 1.538% | 8/17/38 | 67,237 | 60,331 | |
4,7 | Home Partners of America Trust Class A Series 2021-2 | 1.901% | 12/17/26 | 35,231 | 31,288 | |
4,7 | Horizon Aircraft Finance II Ltd. Class A Series 2019-1 | 3.721% | 7/15/39 | 9,405 | 8,322 | |
4,7 | Horizon Aircraft Finance III Ltd. Class A Series 2019-2 | 3.425% | 11/15/39 | 9,852 | 8,409 | |
4,7,8 | Life Mortgage Trust Class A Series 2021-BMR, 1M USD LIBOR + 0.700% | 2.024% | 3/15/38 | 9,717 | 9,315 | |
4,7 | MACH 1 Cayman Ltd. Class A Series 2019-1 | 3.474% | 10/15/39 | 9,084 | 8,232 | |
4,7,8 | Madison Park Funding XIII Ltd. Class AR2 Series 2014-13A, 3M USD LIBOR + 0.950% | 1.994% | 4/19/30 | 33,312 | 32,898 | |
4,7,8 | Magnetite VII Ltd. Class A1R2 Series 2012-7A, 3M USD LIBOR + 0.800% | 1.844% | 1/15/28 | 29,981 | 29,548 | |
4,7 | MAPS Ltd. Class A Series 2019-1A | 4.458% | 3/15/44 | 3,890 | 3,524 | |
4,7 | Mercury Financial Credit Card Master Trust Class A Series 2021-1A | 1.540% | 3/20/26 | 36,145 | 34,413 | |
4,7 | MMAF Equipment Finance LLC Class A3 Series 2019-B | 2.010% | 12/12/24 | 19,504 | 19,265 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,7 | New Economy Assets Phase 1 Sponsor LLC Class A1 Series 2021-1 | 1.910% | 10/20/61 | 98,855 | 86,213 | |
4,7 | New Economy Assets Phase 1 Sponsor LLC Class B1 Series 2021-1 | 2.410% | 10/20/61 | 10,130 | 8,768 | |
4,7 | OneMain Direct Auto Receivables Trust Class A Series 2021-1A | 0.870% | 7/14/28 | 29,755 | 27,708 | |
4,5 | Seasoned Credit Risk Transfer Trust Class MA Series 2019-3 | 3.500% | 10/25/58 | 26,929 | 26,631 | |
4,7,8 | SFAVE Commercial Mortgage Securities Trust Class A2B Series 2015-5AVE | 4.144% | 1/5/43 | 22,000 | 18,525 | |
4,7 | SoFi Professional Loan Program Trust Class AFX Series 2021-B | 1.140% | 2/15/47 | 16,980 | 15,212 | |
4,7 | START Ireland Class A Series 2019-1 | 4.089% | 3/15/44 | 10,044 | 9,277 | |
4,7,8 | Symphony CLO XIV Ltd. Class AR Series 2014-14A, 3M USD LIBOR + 0.950% | 1.988% | 7/14/26 | 5,284 | 5,270 | |
4,7 | Taco Bell Funding LLC Class A2I Series 2021-1A | 1.946% | 8/25/51 | 39,919 | 34,615 | |
4,7 | Taco Bell Funding LLC Class A2II Series 2021-1A | 2.294% | 8/25/51 | 36,536 | 31,059 | |
4,7 | Vantage Data Centers Issuer LLC Class A2 Series 2019-1A | 3.188% | 7/15/44 | 10,159 | 9,891 | |
4,7 | Vantage Data Centers Issuer LLC Class A2 Series 2021-1A | 2.165% | 10/15/46 | 47,695 | 42,655 | |
4,7 | Vantage Data Centers LLC Class A2 Series 2020-1A | 1.645% | 9/15/45 | 32,830 | 29,856 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,071,803) | 974,671 | |||||
Corporate Bonds (42.3%) | ||||||
Communications (2.8%) | ||||||
America Movil SAB de CV | 3.625% | 4/22/29 | 25,600 | 24,364 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 10,010 | 11,074 | ||
AT&T Inc. | 2.750% | 6/1/31 | 61,900 | 53,493 | ||
AT&T Inc. | 4.300% | 12/15/42 | 5,945 | 5,166 | ||
AT&T Inc. | 3.650% | 6/1/51 | 6,086 | 4,757 | ||
AT&T Inc. | 3.500% | 9/15/53 | 33,465 | 25,379 | ||
AT&T Inc. | 3.850% | 6/1/60 | 17,664 | 13,679 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.800% | 4/1/31 | 7,635 | 6,118 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.300% | 2/1/32 | 7,635 | 5,785 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.500% | 3/1/42 | 4,895 | 3,408 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,565 | 2,547 | ||
Comcast Corp. | 3.150% | 3/1/26 | 15,280 | 14,897 | ||
Comcast Corp. | 3.400% | 4/1/30 | 4,915 | 4,606 | ||
Comcast Corp. | 4.250% | 1/15/33 | 15,060 | 14,797 | ||
Comcast Corp. | 4.200% | 8/15/34 | 25,155 | 24,229 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,657 | 31,679 | ||
Comcast Corp. | 3.969% | 11/1/47 | 40,576 | 35,091 | ||
Comcast Corp. | 4.000% | 3/1/48 | 17,415 | 15,186 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Comcast Corp. | 3.999% | 11/1/49 | 26,848 | 23,449 | ||
Comcast Corp. | 2.887% | 11/1/51 | 37,513 | 26,827 | ||
Comcast Corp. | 2.450% | 8/15/52 | 35,080 | 23,260 | ||
Comcast Corp. | 4.049% | 11/1/52 | 19,891 | 17,431 | ||
Comcast Corp. | 2.937% | 11/1/56 | 156,916 | 108,891 | ||
Comcast Corp. | 2.987% | 11/1/63 | 109,670 | 74,923 | ||
7 | Cox Communications Inc. | 2.600% | 6/15/31 | 12,960 | 10,867 | |
7 | Cox Communications Inc. | 4.800% | 2/1/35 | 58,525 | 55,691 | |
7 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,674 | 10,428 | |
7 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 21,168 | 21,094 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 15,084 | 14,106 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 4,406 | 4,047 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 24,240 | 21,555 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 12,143 | 9,547 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 27,367 | 19,116 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 6,495 | 6,029 | ||
7 | NBN Co. Ltd. | 1.625% | 1/8/27 | 25,935 | 23,085 | |
7 | NBN Co. Ltd. | 2.625% | 5/5/31 | 28,797 | 24,542 | |
7 | NBN Co. Ltd. | 2.500% | 1/8/32 | 68,983 | 57,634 | |
7 | NTT Finance Corp. | 1.162% | 4/3/26 | 76,700 | 69,039 | |
7 | NTT Finance Corp. | 2.065% | 4/3/31 | 10,125 | 8,479 | |
7 | Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 45,300 | 39,415 | |
Orange SA | 9.000% | 3/1/31 | 54,566 | 70,420 | ||
7 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 12,220 | 12,244 | |
7 | Sky Ltd. | 3.750% | 9/16/24 | 42,911 | 42,668 | |
4,7 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | 4.738% | 9/20/29 | 30,205 | 30,289 | |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,215 | 3,314 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 37,480 | 32,572 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 59,480 | 55,532 | ||
T-Mobile USA Inc. | 2.550% | 2/15/31 | 19,710 | 16,581 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 5,105 | 4,146 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 17,030 | 15,248 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 23,440 | 20,825 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 20,490 | 14,954 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 9,670 | 7,065 | ||
TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 3,720 | 3,374 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 22,990 | 22,881 | ||
Verizon Communications Inc. | 2.355% | 3/15/32 | 22,780 | 18,897 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 50,074 | 49,274 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 23,900 | 22,900 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 39,918 | 27,727 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 84,065 | 72,198 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 13,285 | 11,695 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 11,000 | 12,537 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 52,100 | 44,490 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 14,600 | 10,455 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 48,240 | 40,276 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 16,160 | 13,504 | ||
1,641,776 | ||||||
Consumer Discretionary (2.0%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 8,900 | 8,821 | ||
Amazon.com Inc. | 3.600% | 4/13/32 | 82,875 | 79,874 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 55,880 | 58,608 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 17,920 | 18,858 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Amazon.com Inc. | 3.950% | 4/13/52 | 35,665 | 32,848 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 32,790 | 30,787 | ||
American Honda Finance Corp. | 2.300% | 9/9/26 | 17,135 | 16,030 | ||
American Honda Finance Corp. | 2.000% | 3/24/28 | 34,925 | 30,969 | ||
7 | BMW US Capital LLC | 2.250% | 9/15/23 | 93,000 | 91,934 | |
7 | BMW US Capital LLC | 0.800% | 4/1/24 | 25,960 | 24,778 | |
7 | BMW US Capital LLC | 1.250% | 8/12/26 | 28,890 | 25,866 | |
4 | Duke University | 2.832% | 10/1/55 | 9,635 | 7,335 | |
Emory University | 2.143% | 9/1/30 | 39,256 | 34,326 | ||
7 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 745 | 745 | |
7 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 3,775 | 4,367 | |
7 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 31,000 | 31,173 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 58,730 | 58,272 | ||
George Washington University | 3.545% | 9/15/46 | 10,000 | 8,285 | ||
Georgetown University | 4.315% | 4/1/49 | 5,155 | 4,705 | ||
Georgetown University | 2.943% | 4/1/50 | 9,795 | 6,910 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 10,040 | 10,044 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 7,305 | 6,631 | ||
Home Depot Inc. | 1.875% | 9/15/31 | 8,465 | 7,054 | ||
Home Depot Inc. | 3.250% | 4/15/32 | 22,220 | 20,726 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 32,073 | 27,221 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 22,390 | 21,413 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 4,500 | 4,238 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,020 | 11,728 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 2,435 | 1,898 | ||
Home Depot Inc. | 2.375% | 3/15/51 | 2,435 | 1,645 | ||
Home Depot Inc. | 2.750% | 9/15/51 | 19,470 | 14,160 | ||
Home Depot Inc. | 3.625% | 4/15/52 | 39,335 | 33,699 | ||
7 | Hyundai Capital America | 0.800% | 4/3/23 | 118,000 | 115,151 | |
7 | Hyundai Capital America | 0.875% | 6/14/24 | 30,300 | 28,341 | |
7 | Hyundai Capital America | 1.650% | 9/17/26 | 36,110 | 31,871 | |
4 | Johns Hopkins University | 4.083% | 7/1/53 | 7,145 | 6,831 | |
4 | Johns Hopkins University | 2.813% | 1/1/60 | 2,920 | 2,101 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 115,000 | 109,228 | ||
Lowe's Cos. Inc. | 3.750% | 4/1/32 | 17,090 | 15,860 | ||
McDonald's Corp. | 3.250% | 6/10/24 | 4,400 | 4,390 | ||
McDonald's Corp. | 3.625% | 9/1/49 | 28,770 | 23,586 | ||
4 | Northeastern University | 2.894% | 10/1/50 | 8,570 | 6,298 | |
Starbucks Corp. | 4.500% | 11/15/48 | 25,312 | 23,051 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 7,185 | 5,404 | ||
Thomas Jefferson University | 3.847% | 11/1/57 | 11,905 | 9,729 | ||
4 | University of Chicago | 2.761% | 4/1/45 | 9,540 | 7,782 | |
University of Miami | 4.063% | 4/1/52 | 16,335 | 14,722 | ||
VF Corp. | 2.800% | 4/23/27 | 23,720 | 22,201 | ||
VF Corp. | 2.950% | 4/23/30 | 54,225 | 47,448 | ||
1,209,942 | ||||||
Consumer Staples (1.3%) | ||||||
Altria Group Inc. | 5.800% | 2/14/39 | 18,180 | 16,588 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 5,615 | 4,160 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 15,460 | 14,840 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 59,800 | 56,401 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,080 | 15,543 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 34,425 | 34,367 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
BAT Capital Corp. | 3.557% | 8/15/27 | 60,340 | 55,255 | ||
7 | BAT International Finance plc | 3.950% | 6/15/25 | 15,000 | 14,711 | |
7 | Cargill Inc. | 2.125% | 4/23/30 | 10,230 | 8,760 | |
7 | Cargill Inc. | 4.760% | 11/23/45 | 57,879 | 56,872 | |
7 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,780 | 18,361 | |
7 | Coca-Cola Europacific Partners plc | 0.800% | 5/3/24 | 53,765 | 50,822 | |
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,685 | 7,724 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 12,255 | 10,217 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 10,375 | 9,799 | ||
7 | Danone SA | 2.589% | 11/2/23 | 10,000 | 9,872 | |
7 | Danone SA | 2.947% | 11/2/26 | 68,785 | 65,901 | |
Diageo Capital plc | 2.625% | 4/29/23 | 42,580 | 42,316 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,420 | 17,219 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,315 | 9,659 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 3,585 | 2,989 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,280 | 10,929 | ||
Estee Lauder Cos. Inc. | 2.600% | 4/15/30 | 9,875 | 8,860 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 11,685 | 10,327 | ||
Kroger Co. | 3.850% | 8/1/23 | 5,055 | 5,078 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 6,060 | 5,178 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 57,600 | 54,160 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 72,545 | 69,650 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 11,665 | 9,952 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 22,785 | 17,863 | ||
Philip Morris International Inc. | 4.125% | 3/4/43 | 10,000 | 8,054 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 5,835 | 5,203 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 15,000 | 12,235 | ||
7 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 21,075 | 19,857 | |
759,722 | ||||||
Energy (2.1%) | ||||||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 16,205 | 13,316 | ||
BP Capital Markets America Inc. | 2.721% | 1/12/32 | 94,170 | 81,130 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 17,760 | 12,353 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 32,550 | 23,260 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 54,330 | 39,240 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 19,795 | 14,666 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 8,000 | 8,000 | ||
7 | ConocoPhillips Co. | 3.758% | 3/15/42 | 11,185 | 9,783 | |
7 | Coterra Energy Inc. | 4.375% | 6/1/24 | 30,289 | 30,273 | |
7 | Eastern Gas Transmission & Storage Inc. | 3.000% | 11/15/29 | 19,580 | 17,727 | |
7 | Eastern Gas Transmission & Storage Inc. | 4.800% | 11/1/43 | 14,190 | 13,262 | |
7 | Eastern Gas Transmission & Storage Inc. | 4.600% | 12/15/44 | 7,003 | 6,444 | |
7 | EIG Pearl Holdings Sarl | 3.545% | 8/31/36 | 59,370 | 50,682 | |
7 | EIG Pearl Holdings Sarl | 4.387% | 11/30/46 | 24,880 | 19,781 | |
Energy Transfer LP | 5.350% | 5/15/45 | 3,410 | 2,983 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 5,600 | 4,848 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 20,601 | 18,116 | ||
Energy Transfer Operating LP | 5.000% | 5/15/50 | 10,000 | 8,508 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 5,000 | 4,598 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 23,475 | 19,786 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,445 | 4,254 | ||
Enterprise Products Operating LLC | 3.300% | 2/15/53 | 24,250 | 17,681 | ||
Equinor ASA | 2.450% | 1/17/23 | 10,840 | 10,828 | ||
Equinor ASA | 2.650% | 1/15/24 | 10,105 | 10,009 | ||
Equinor ASA | 3.700% | 3/1/24 | 20,035 | 20,128 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Equinor ASA | 3.250% | 11/10/24 | 17,460 | 17,370 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,965 | 4,878 | ||
Equinor ASA | 3.125% | 4/6/30 | 82,270 | 76,182 | ||
Equinor ASA | 2.375% | 5/22/30 | 15,795 | 13,857 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 10,710 | 10,700 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 7,330 | 7,195 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 35,095 | 33,316 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 24,070 | 21,639 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 36,910 | 33,173 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 10,845 | 9,912 | ||
7 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 48,951 | 41,607 | |
7 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 38,270 | 31,254 | |
7 | Qatar Energy | 2.250% | 7/12/31 | 32,240 | 27,558 | |
7 | Qatar Energy | 3.125% | 7/12/41 | 23,670 | 18,581 | |
7 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 27,885 | 26,585 | |
7 | Schlumberger Holdings Corp. | 4.000% | 12/21/25 | 21,010 | 20,873 | |
7 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 25,724 | 24,330 | |
Shell International Finance BV | 3.250% | 5/11/25 | 28,680 | 28,400 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 40,575 | 38,698 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 10,795 | 11,594 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 95,725 | 89,104 | ||
Shell International Finance BV | 3.000% | 11/26/51 | 51,310 | 38,277 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 13,000 | 13,627 | ||
Total Capital International SA | 2.700% | 1/25/23 | 32,714 | 32,633 | ||
Total Capital International SA | 3.750% | 4/10/24 | 50,000 | 50,146 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 58,060 | 58,992 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 14,595 | 13,949 | ||
1,256,086 | ||||||
Financials (17.4%) | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.000% | 10/29/28 | 14,995 | 12,615 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.400% | 10/29/33 | 8,910 | 7,028 | ||
7 | AIA Group Ltd. | 3.600% | 4/9/29 | 49,000 | 47,219 | |
7 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,795 | 12,014 | |
American International Group Inc. | 6.250% | 5/1/36 | 8,338 | 9,381 | ||
American International Group Inc. | 4.800% | 7/10/45 | 7,655 | 7,122 | ||
American International Group Inc. | 4.750% | 4/1/48 | 21,540 | 20,161 | ||
American International Group Inc. | 4.375% | 6/30/50 | 13,125 | 11,616 | ||
Ameriprise Financial Inc. | 4.500% | 5/13/32 | 18,270 | 17,955 | ||
Aon Corp. / Aon Global Holdings plc | 2.850% | 5/28/27 | 18,420 | 17,270 | ||
7 | Athene Global Funding | 1.000% | 4/16/24 | 23,855 | 22,443 | |
7 | Athene Global Funding | 1.985% | 8/19/28 | 700 | 578 | |
7 | Athene Global Funding | 2.717% | 1/7/29 | 42,315 | 36,050 | |
7 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 23,805 | 19,066 | |
7 | Aviation Capital Group LLC | 1.950% | 9/20/26 | 23,950 | 20,377 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,600 | 28,523 | ||
Banco Santander SA | 3.848% | 4/12/23 | 17,000 | 16,991 | ||
Banco Santander SA | 1.849% | 3/25/26 | 48,600 | 43,725 | ||
Banco Santander SA | 2.749% | 12/3/30 | 16,800 | 13,344 | ||
Banco Santander SA | 2.958% | 3/25/31 | 9,800 | 8,215 | ||
Bank of America Corp. | 4.000% | 1/22/25 | 26,225 | 26,115 | ||
Bank of America Corp. | 3.559% | 4/23/27 | 54,370 | 52,145 | ||
Bank of America Corp. | 3.593% | 7/21/28 | 37,995 | 35,861 | ||
Bank of America Corp. | 3.419% | 12/20/28 | 48,603 | 45,272 | ||
Bank of America Corp. | 4.271% | 7/23/29 | 72,640 | 69,857 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Bank of America Corp. | 3.974% | 2/7/30 | 69,430 | 65,232 | ||
Bank of America Corp. | 3.194% | 7/23/30 | 33,250 | 29,741 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 99,085 | 83,855 | ||
Bank of America Corp. | 2.687% | 4/22/32 | 65,125 | 54,723 | ||
Bank of America Corp. | 2.572% | 10/20/32 | 21,500 | 17,741 | ||
Bank of America Corp. | 6.110% | 1/29/37 | 30,000 | 32,509 | ||
Bank of America Corp. | 3.846% | 3/8/37 | 62,865 | 54,445 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 8,770 | 9,466 | ||
Bank of America Corp. | 3.311% | 4/22/42 | 30,000 | 23,561 | ||
Bank of America Corp. | 5.000% | 1/21/44 | 24,180 | 23,612 | ||
Bank of America Corp. | 3.946% | 1/23/49 | 5,290 | 4,516 | ||
Bank of America Corp. | 4.330% | 3/15/50 | 59,475 | 53,469 | ||
Bank of America Corp. | 2.972% | 7/21/52 | 29,030 | 20,698 | ||
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 32,698 | 32,351 | ||
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 22,710 | 22,274 | ||
8 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 2.289% | 10/30/23 | 43,060 | 43,083 | |
Bank of Nova Scotia | 2.700% | 8/3/26 | 60,225 | 56,853 | ||
Bank of Nova Scotia | 1.950% | 2/2/27 | 12,170 | 11,000 | ||
7 | Banque Federative du Credit Mutuel SA | 1.604% | 10/4/26 | 33,875 | 30,306 | |
Barclays plc | 3.932% | 5/7/25 | 52,770 | 51,956 | ||
Barclays plc | 2.852% | 5/7/26 | 9,735 | 9,195 | ||
Barclays plc | 2.279% | 11/24/27 | 14,635 | 12,984 | ||
Barclays plc | 2.667% | 3/10/32 | 52,470 | 42,315 | ||
Barclays plc | 2.894% | 11/24/32 | 42,750 | 34,400 | ||
Barclays plc | 3.330% | 11/24/42 | 16,060 | 11,985 | ||
8 | Barclays plc, 3M USD LIBOR + 1.380% | 2.791% | 5/16/24 | 36,710 | 36,674 | |
Berkshire Hathaway Finance Corp. | 2.875% | 3/15/32 | 20,000 | 17,935 | ||
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 23,645 | 23,222 | ||
BlackRock Inc. | 2.100% | 2/25/32 | 24,410 | 20,155 | ||
7 | Blackstone Holdings Finance Co. LLC | 2.550% | 3/30/32 | 18,535 | 15,530 | |
BNP Paribas SA | 3.250% | 3/3/23 | 4,190 | 4,198 | ||
7 | BNP Paribas SA | 3.800% | 1/10/24 | 56,070 | 55,750 | |
7 | BNP Paribas SA | 3.375% | 1/9/25 | 61,070 | 59,679 | |
7 | BNP Paribas SA | 2.819% | 11/19/25 | 44,480 | 42,533 | |
7 | BNP Paribas SA | 1.323% | 1/13/27 | 20,420 | 18,033 | |
7 | BNP Paribas SA | 3.500% | 11/16/27 | 74,220 | 69,522 | |
7 | BNP Paribas SA | 2.591% | 1/20/28 | 66,815 | 60,169 | |
7 | BNP Paribas SA | 2.159% | 9/15/29 | 30,900 | 25,883 | |
7 | BNP Paribas SA | 2.871% | 4/19/32 | 23,320 | 19,371 | |
7 | BPCE SA | 5.700% | 10/22/23 | 10,670 | 10,826 | |
BPCE SA | 4.000% | 4/15/24 | 25,885 | 25,809 | ||
7 | BPCE SA | 5.150% | 7/21/24 | 37,185 | 37,281 | |
7 | BPCE SA | 2.045% | 10/19/27 | 24,910 | 21,979 | |
7 | BPCE SA | 3.500% | 10/23/27 | 64,900 | 60,186 | |
7 | BPCE SA | 2.700% | 10/1/29 | 48,550 | 42,358 | |
7 | Brighthouse Financial Global Funding | 1.000% | 4/12/24 | 4,600 | 4,346 | |
7 | Brighthouse Financial Global Funding | 1.750% | 1/13/25 | 16,695 | 15,552 | |
7 | Brighthouse Financial Global Funding | 1.550% | 5/24/26 | 37,050 | 32,897 | |
7 | Brighthouse Financial Global Funding | 2.000% | 6/28/28 | 27,235 | 23,548 | |
7 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 35,110 | 31,855 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Capital One Financial Corp. | 3.750% | 4/24/24 | 60,945 | 60,730 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 9,055 | 8,800 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 58,465 | 56,070 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,790 | 19,141 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 45,325 | 40,480 | ||
Charles Schwab Corp. | 2.900% | 3/3/32 | 46,475 | 40,877 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 20,340 | 20,286 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 12,280 | 12,007 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 24,795 | 23,371 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 52,610 | 49,293 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 105,990 | 93,669 | ||
Citigroup Inc. | 3.070% | 2/24/28 | 34,000 | 31,509 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 45,085 | 43,285 | ||
Citigroup Inc. | 3.520% | 10/27/28 | 72,260 | 67,438 | ||
Citigroup Inc. | 6.625% | 6/15/32 | 9,000 | 9,841 | ||
Citigroup Inc. | 2.520% | 11/3/32 | 25,345 | 20,549 | ||
Citigroup Inc. | 3.878% | 1/24/39 | 37,225 | 32,220 | ||
Citigroup Inc. | 5.875% | 1/30/42 | 7,460 | 7,919 | ||
Citigroup Inc. | 2.904% | 11/3/42 | 19,070 | 13,895 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 12,142 | 11,860 | ||
7 | CNO Global Funding | 1.650% | 1/6/25 | 8,460 | 7,990 | |
7 | CNO Global Funding | 2.650% | 1/6/29 | 22,195 | 19,387 | |
Comerica Bank | 2.500% | 7/23/24 | 26,085 | 25,333 | ||
7 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 79,335 | 64,674 | |
7 | Commonwealth Bank of Australia | 3.784% | 3/14/32 | 9,825 | 8,665 | |
7 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 50,065 | 44,223 | |
7 | Corebridge Financial Inc. | 3.900% | 4/5/32 | 10,118 | 9,079 | |
7 | Corebridge Financial Inc. | 4.350% | 4/5/42 | 5,430 | 4,637 | |
7 | Corebridge Financial Inc. | 4.400% | 4/5/52 | 13,765 | 11,486 | |
7 | Credit Agricole SA | 3.750% | 4/24/23 | 31,690 | 31,696 | |
7 | Credit Agricole SA | 3.250% | 10/4/24 | 79,590 | 77,582 | |
Credit Suisse AG | 3.625% | 9/9/24 | 3,955 | 3,882 | ||
7 | Credit Suisse Group AG | 4.207% | 6/12/24 | 12,285 | 12,151 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 57,400 | 55,640 | ||
7 | Credit Suisse Group AG | 2.593% | 9/11/25 | 33,940 | 31,956 | |
7 | Credit Suisse Group AG | 1.305% | 2/2/27 | 49,860 | 42,905 | |
7 | Credit Suisse Group AG | 3.869% | 1/12/29 | 11,050 | 9,949 | |
7 | Credit Suisse Group AG | 3.091% | 5/14/32 | 41,460 | 33,157 | |
7,8 | Credit Suisse Group AG, 3M USD LIBOR + 1.240% | 2.961% | 6/12/24 | 24,825 | 24,851 | |
7 | Danske Bank A/S | 3.875% | 9/12/23 | 45,515 | 45,339 | |
7 | Danske Bank A/S | 5.375% | 1/12/24 | 57,035 | 57,622 | |
7 | Danske Bank A/S | 1.621% | 9/11/26 | 30,135 | 26,949 | |
7 | Danske Bank A/S | 1.549% | 9/10/27 | 55,390 | 48,605 | |
7 | DNB Bank ASA | 1.535% | 5/25/27 | 51,450 | 45,947 | |
7 | DNB Bank ASA | 1.605% | 3/30/28 | 45,295 | 39,515 | |
7 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 15,285 | 14,047 | |
7 | Equitable Financial Life Global Funding | 1.300% | 7/12/26 | 26,910 | 23,813 | |
7 | Equitable Financial Life Global Funding | 1.700% | 11/12/26 | 12,195 | 10,896 | |
7 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 33,510 | 29,115 | |
7 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 30,265 | 26,265 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 9,850 | 9,036 | ||
Fifth Third Bancorp | 4.055% | 4/25/28 | 19,480 | 19,010 | ||
Fifth Third Bancorp | 4.337% | 4/25/33 | 16,015 | 15,235 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Fifth Third Bank NA | 3.850% | 3/15/26 | 29,295 | 28,696 | ||
7 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,320 | 5,341 | |
7 | GA Global Funding Trust | 1.000% | 4/8/24 | 36,170 | 34,106 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 7,715 | 7,760 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 16,660 | 16,468 | ||
Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 44,260 | 43,049 | ||
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 13,000 | 12,920 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 48,000 | 46,126 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 36,525 | 35,336 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 76,670 | 68,166 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 43,275 | 37,983 | ||
Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 14,525 | 13,768 | ||
Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 72,755 | 68,597 | ||
Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 54,990 | 52,783 | ||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 19,710 | 18,259 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 88,650 | 73,551 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 45,765 | 37,042 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 24,510 | 20,205 | ||
Goldman Sachs Group Inc. | 3.102% | 2/24/33 | 83,655 | 71,539 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,700 | 22,906 | ||
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 10,000 | 7,630 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 19,895 | 18,684 | ||
7 | Guardian Life Global Funding | 1.250% | 5/13/26 | 7,235 | 6,528 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 56,130 | 56,291 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 19,405 | 18,105 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 7,915 | 7,748 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 27,800 | 24,442 | ||
HSBC Holdings plc | 2.251% | 11/22/27 | 73,225 | 65,242 | ||
HSBC Holdings plc | 4.041% | 3/13/28 | 27,520 | 26,141 | ||
HSBC Holdings plc | 2.013% | 9/22/28 | 10,000 | 8,557 | ||
HSBC Holdings plc | 4.583% | 6/19/29 | 40,190 | 38,708 | ||
HSBC Holdings plc | 2.206% | 8/17/29 | 32,365 | 27,183 | ||
HSBC Holdings plc | 2.357% | 8/18/31 | 62,305 | 50,572 | ||
HSBC Holdings plc | 7.625% | 5/17/32 | 15,800 | 18,087 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 54,790 | 44,981 | ||
HSBC Holdings plc | 2.871% | 11/22/32 | 16,015 | 13,118 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 22,000 | 23,422 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 43,680 | 48,298 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 5,795 | 5,393 | ||
8 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 2.455% | 5/18/24 | 26,495 | 26,325 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 18,355 | 18,236 | ||
Huntington National Bank | 4.552% | 5/17/28 | 17,175 | 17,100 | ||
ING Groep NV | 3.950% | 3/29/27 | 33,605 | 32,411 | ||
ING Groep NV | 1.726% | 4/1/27 | 33,125 | 29,597 | ||
Intercontinental Exchange Inc. | 4.350% | 6/15/29 | 23,425 | 23,098 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 16,125 | 12,626 | ||
Intercontinental Exchange Inc. | 4.600% | 3/15/33 | 43,125 | 42,869 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 6,100 | 4,465 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 55,840 | 40,742 | ||
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 46,610 | 45,861 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 27,695 | 18,694 | ||
7 | JAB Holdings BV | 2.200% | 11/23/30 | 10,375 | 8,140 | |
7 | JAB Holdings BV | 3.750% | 5/28/51 | 20,355 | 14,089 | |
7 | JAB Holdings BV | 4.500% | 4/8/52 | 51,835 | 39,943 | |
7 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 48,955 | 48,453 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Jackson National Life Global Funding | 1.750% | 1/12/25 | 18,300 | 17,285 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 20,345 | 20,332 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 11,200 | 11,269 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 11,560 | 11,613 | ||
JPMorgan Chase & Co. | 7.750% | 7/15/25 | 25,000 | 27,368 | ||
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 26,730 | 25,974 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 75,000 | 71,603 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 24,400 | 24,221 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 9,275 | 9,185 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 14,530 | 12,495 | ||
JPMorgan Chase & Co. | 4.452% | 12/5/29 | 40,000 | 38,939 | ||
JPMorgan Chase & Co. | 3.702% | 5/6/30 | 18,940 | 17,638 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 37,965 | 30,325 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 22,175 | 18,672 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/41 | 38,075 | 29,558 | ||
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 70,000 | 73,467 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 16,235 | 16,655 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 19,440 | 15,097 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 13,500 | 14,122 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 12,000 | 11,449 | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 160,000 | 136,385 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 38,610 | 28,444 | ||
7 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 2,608 | 2,605 | |
7 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 9,217 | 9,039 | |
Liberty Mutual Group Inc. | 5.500% | 6/15/52 | 33,825 | 32,289 | ||
7 | Liberty Mutual Insurance Co. | 8.500% | 5/15/25 | 21,665 | 23,661 | |
Loews Corp. | 2.625% | 5/15/23 | 14,100 | 14,051 | ||
7 | LSEGA Financing plc | 1.375% | 4/6/26 | 97,795 | 87,825 | |
7 | LSEGA Financing plc | 2.000% | 4/6/28 | 63,125 | 55,349 | |
7 | LSEGA Financing plc | 2.500% | 4/6/31 | 38,890 | 33,338 | |
7 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 50,725 | 50,776 | |
7 | Macquarie Group Ltd. | 1.935% | 4/14/28 | 42,250 | 36,597 | |
7 | Macquarie Group Ltd. | 2.871% | 1/14/33 | 59,070 | 48,268 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 20,085 | 19,671 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 22,125 | 21,862 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,400 | 10,306 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 18,280 | 13,002 | ||
7 | Massachusetts Mutual Life Insurance Co. | 3.200% | 12/1/61 | 19,410 | 13,353 | |
MetLife Inc. | 3.600% | 4/10/24 | 28,000 | 28,075 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5,300 | 4,763 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,500 | 17,285 | ||
7 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 29,970 | 28,942 | |
7 | Metropolitan Life Global Funding I | 4.400% | 6/30/27 | 15,070 | 15,185 | |
7 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 43,250 | 40,723 | |
7 | Metropolitan Life Global Funding I | 2.400% | 1/11/32 | 58,345 | 49,100 | |
7 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 25,000 | 27,426 | |
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 64,285 | 64,290 | ||
Morgan Stanley | 3.750% | 2/25/23 | 23,000 | 23,065 | ||
Morgan Stanley | 3.875% | 4/29/24 | 22,050 | 22,113 | ||
Morgan Stanley | 0.790% | 5/30/25 | 51,000 | 47,518 | ||
Morgan Stanley | 2.720% | 7/22/25 | 51,520 | 49,700 | ||
Morgan Stanley | 4.000% | 7/23/25 | 20,805 | 20,811 | ||
Morgan Stanley | 2.630% | 2/18/26 | 60,280 | 57,655 | ||
Morgan Stanley | 3.125% | 7/27/26 | 36,950 | 35,263 | ||
Morgan Stanley | 4.350% | 9/8/26 | 15,000 | 14,846 | ||
Morgan Stanley | 3.625% | 1/20/27 | 31,000 | 30,086 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Morgan Stanley | 3.772% | 1/24/29 | 56,830 | 54,021 | ||
Morgan Stanley | 2.699% | 1/22/31 | 72,345 | 62,719 | ||
Morgan Stanley | 7.250% | 4/1/32 | 51,100 | 60,297 | ||
Morgan Stanley | 2.239% | 7/21/32 | 52,315 | 42,509 | ||
Morgan Stanley | 2.511% | 10/20/32 | 90,340 | 74,805 | ||
Morgan Stanley | 2.943% | 1/21/33 | 31,085 | 26,648 | ||
Morgan Stanley | 2.484% | 9/16/36 | 53,080 | 40,815 | ||
Morgan Stanley | 5.297% | 4/20/37 | 14,345 | 13,917 | ||
Morgan Stanley | 4.300% | 1/27/45 | 24,705 | 22,220 | ||
Nasdaq Inc. | 3.950% | 3/7/52 | 34,865 | 28,697 | ||
National Australia Bank Ltd. | 3.905% | 6/9/27 | 60,000 | 59,295 | ||
7 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 83,980 | 67,525 | |
7 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 55,019 | 46,062 | |
7 | National Australia Bank Ltd. | 3.347% | 1/12/37 | 24,765 | 20,847 | |
7 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 47,630 | 38,748 | |
7 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 66,415 | 55,464 | |
NatWest Group plc | 1.642% | 6/14/27 | 30,570 | 26,847 | ||
7 | NatWest Markets plc | 0.800% | 8/12/24 | 23,725 | 22,061 | |
7 | NBK SPC Ltd. | 1.625% | 9/15/27 | 67,250 | 60,016 | |
7 | New York Life Global Funding | 2.900% | 1/17/24 | 58,670 | 58,078 | |
7 | New York Life Insurance Co. | 5.875% | 5/15/33 | 44,785 | 49,210 | |
7 | New York Life Insurance Co. | 3.750% | 5/15/50 | 17,810 | 14,569 | |
7 | New York Life Insurance Co. | 4.450% | 5/15/69 | 14,535 | 12,557 | |
7 | Nordea Bank Abp | 1.500% | 9/30/26 | 65,000 | 57,786 | |
7 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 24,098 | 19,881 | |
7 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,060 | 6,793 | |
7 | Pacific Life Global Funding II | 1.375% | 4/14/26 | 51,785 | 46,768 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 15,560 | 15,252 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 22,660 | 21,773 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 53,520 | 52,706 | |
PNC Bank NA | 3.300% | 10/30/24 | 14,645 | 14,518 | ||
PNC Bank NA | 2.950% | 2/23/25 | 34,775 | 33,893 | ||
PNC Bank NA | 3.100% | 10/25/27 | 42,485 | 40,336 | ||
PNC Bank NA | 3.250% | 1/22/28 | 60,960 | 58,099 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 40,150 | 40,307 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 52,980 | 46,081 | ||
7 | Principal Life Global Funding II | 2.500% | 9/16/29 | 45,000 | 39,291 | |
Protective Life Global Funding | 4.714% | 7/6/27 | 30,000 | 30,243 | ||
Prudential Financial Inc. | 3.000% | 3/10/40 | 8,200 | 6,636 | ||
Prudential plc | 3.125% | 4/14/30 | 21,325 | 19,552 | ||
7 | RGA Global Funding | 2.700% | 1/18/29 | 32,500 | 28,693 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 26,105 | 26,065 | ||
7 | Standard Chartered plc | 1.214% | 3/23/25 | 12,545 | 11,834 | |
7 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 100,340 | 95,171 | |
7 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 65,775 | 58,654 | |
7 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 21,990 | 21,385 | |
7 | Teachers Insurance & Annuity Assn. of America | 4.270% | 5/15/47 | 42,865 | 38,022 | |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 39,070 | 38,945 | |
7 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,135 | 36,300 | |
7 | Temasek Financial I Ltd. | 2.375% | 8/2/41 | 46,325 | 36,426 | |
7 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 40,775 | 28,856 | |
7 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 23,800 | 15,967 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Truist Bank | 3.300% | 5/15/26 | 11,955 | 11,528 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 60,000 | 59,646 | ||
Truist Financial Corp. | 3.700% | 6/5/25 | 48,000 | 47,801 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 33,005 | 27,400 | ||
7 | UBS AG | 1.250% | 6/1/26 | 60,465 | 53,817 | |
7 | UBS Group AG | 1.494% | 8/10/27 | 40,025 | 34,957 | |
7 | UBS Group AG | 3.126% | 8/13/30 | 18,240 | 16,155 | |
7 | UBS Group AG | 2.095% | 2/11/32 | 25,345 | 20,147 | |
7 | UBS Group AG | 2.746% | 2/11/33 | 28,115 | 22,882 | |
7 | UBS Group AG | 3.179% | 2/11/43 | 29,380 | 22,320 | |
7 | UniCredit SpA | 1.982% | 6/3/27 | 37,130 | 32,119 | |
7 | UniCredit SpA | 3.127% | 6/3/32 | 40,330 | 31,641 | |
US Bancorp | 3.700% | 1/30/24 | 39,005 | 39,208 | ||
US Bancorp | 2.375% | 7/22/26 | 45,000 | 42,442 | ||
US Bancorp | 2.677% | 1/27/33 | 64,325 | 55,505 | ||
US Bancorp | 2.491% | 11/3/36 | 63,125 | 51,535 | ||
Wachovia Corp. | 6.605% | 10/1/25 | 15,000 | 16,037 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 34,444 | 34,838 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 30,455 | 30,513 | ||
Wells Fargo & Co. | 3.000% | 2/19/25 | 28,660 | 28,032 | ||
Wells Fargo & Co. | 0.805% | 5/19/25 | 24,935 | 23,346 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 27,170 | 26,674 | ||
Wells Fargo & Co. | 3.000% | 4/22/26 | 36,830 | 35,070 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 45,700 | 44,921 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 6,435 | 6,076 | ||
Wells Fargo & Co. | 3.196% | 6/17/27 | 57,145 | 54,168 | ||
Wells Fargo & Co. | 3.526% | 3/24/28 | 70,000 | 66,424 | ||
Wells Fargo & Co. | 2.879% | 10/30/30 | 28,045 | 24,665 | ||
Wells Fargo & Co. | 2.572% | 2/11/31 | 98,745 | 84,899 | ||
Wells Fargo & Co. | 3.350% | 3/2/33 | 21,795 | 19,345 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 28,551 | 28,736 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 20,735 | 18,602 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 16,060 | 14,861 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 36,200 | 31,396 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 38,790 | 35,368 | ||
Wells Fargo & Co. | 4.611% | 4/25/53 | 58,110 | 53,775 | ||
10,350,704 | ||||||
Health Care (4.6%) | ||||||
AbbVie Inc. | 3.800% | 3/15/25 | 12,825 | 12,737 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 21,925 | 20,159 | ||
AbbVie Inc. | 4.300% | 5/14/36 | 2,780 | 2,612 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 19,895 | 17,731 | ||
AdventHealth Obligated Group | 2.795% | 11/15/51 | 21,620 | 15,450 | ||
Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 17,670 | 15,235 | ||
Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 19,220 | 14,476 | ||
Aetna Inc. | 2.800% | 6/15/23 | 32,080 | 31,687 | ||
7 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,645 | 5,283 | |
7 | Alcon Finance Corp. | 2.600% | 5/27/30 | 7,035 | 5,997 | |
7 | Alcon Finance Corp. | 3.800% | 9/23/49 | 32,825 | 25,988 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 18,386 | 18,035 | ||
Amgen Inc. | 3.625% | 5/22/24 | 38,185 | 38,120 | ||
Anthem Inc. | 3.650% | 12/1/27 | 13,150 | 12,792 | ||
Anthem Inc. | 4.101% | 3/1/28 | 42,145 | 41,698 | ||
Anthem Inc. | 2.550% | 3/15/31 | 38,225 | 33,034 | ||
Anthem Inc. | 4.650% | 8/15/44 | 3,181 | 3,014 | ||
Ascension Health | 2.532% | 11/15/29 | 48,025 | 43,230 | ||
4 | Ascension Health | 4.847% | 11/15/53 | 1,950 | 2,053 | |
AstraZeneca plc | 3.375% | 11/16/25 | 27,755 | 27,485 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
AstraZeneca plc | 4.000% | 1/17/29 | 33,295 | 33,177 | ||
Banner Health | 2.907% | 1/1/42 | 12,150 | 9,458 | ||
Baxter International Inc. | 2.272% | 12/1/28 | 36,960 | 32,358 | ||
7 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 23,781 | 23,470 | |
7 | Bayer US Finance II LLC | 5.500% | 7/30/35 | 15,000 | 14,842 | |
7 | Bayer US Finance LLC | 3.375% | 10/8/24 | 26,960 | 26,354 | |
Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 12,965 | 9,446 | ||
4 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,675 | 16,481 | |
Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,525 | 9,508 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,416 | 4,416 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 7,303 | 7,330 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 9,086 | 8,777 | ||
Bristol-Myers Squibb Co. | 2.950% | 3/15/32 | 10,915 | 10,019 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 16,775 | 16,046 | ||
Bristol-Myers Squibb Co. | 3.550% | 3/15/42 | 40,260 | 35,317 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 5,553 | 5,448 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 48,907 | 45,954 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 17,765 | 12,561 | ||
Bristol-Myers Squibb Co. | 3.700% | 3/15/52 | 14,050 | 12,136 | ||
Children's Hospital Corp. | 2.585% | 2/1/50 | 5,670 | 3,934 | ||
Cigna Corp. | 3.250% | 4/15/25 | 30,765 | 30,182 | ||
Cigna Corp. | 4.375% | 10/15/28 | 18,115 | 17,949 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 33,780 | 33,793 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 11,695 | 11,810 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 28,080 | 27,330 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 44,950 | 41,414 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 22,715 | 19,399 | ||
4 | CommonSpirit Health | 4.350% | 11/1/42 | 22,185 | 19,894 | |
CommonSpirit Health | 4.187% | 10/1/49 | 53,398 | 44,887 | ||
CommonSpirit Health | 3.910% | 10/1/50 | 4,190 | 3,353 | ||
Cottage Health Obligated Group | 3.304% | 11/1/49 | 10,000 | 7,909 | ||
7 | CSL UK Holdings Ltd. | 4.250% | 4/27/32 | 34,505 | 33,738 | |
7 | CSL UK Holdings Ltd. | 4.750% | 4/27/52 | 6,895 | 6,599 | |
CVS Health Corp. | 2.750% | 12/1/22 | 20,000 | 19,975 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 1,905 | 1,886 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 4,915 | 3,945 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 18,205 | 17,983 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 18,000 | 15,710 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 25,595 | 24,709 | ||
4,7 | CVS Pass-Through Trust | 5.926% | 1/10/34 | 11,239 | 11,495 | |
Dignity Health | 3.812% | 11/1/24 | 18,560 | 18,365 | ||
Gilead Sciences Inc. | 2.500% | 9/1/23 | 36,390 | 36,032 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 21,420 | 21,449 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 28,575 | 28,259 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 30,892 | 28,572 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 14,640 | 12,918 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 20,185 | 14,126 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 25,750 | 25,733 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 16,055 | 17,541 | ||
7 | HCA Inc. | 3.625% | 3/15/32 | 20,465 | 17,273 | |
7 | HCA Inc. | 4.375% | 3/15/42 | 4,590 | 3,643 | |
7 | HCA Inc. | 4.625% | 3/15/52 | 10,970 | 8,776 | |
Indiana University Health Inc. Obligated Group | 2.852% | 11/1/51 | 12,815 | 9,327 | ||
Inova Health System Foundation | 4.068% | 5/15/52 | 14,145 | 12,956 | ||
Johnson & Johnson | 2.450% | 3/1/26 | 78,000 | 75,804 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 15,190 | 14,759 | ||
Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 39,420 | 30,166 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 12,710 | 12,975 | ||
Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 38,650 | 28,898 | ||
Mass General Brigham Inc. | 3.192% | 7/1/49 | 32,645 | 25,508 | ||
Mass General Brigham Inc. | 3.342% | 7/1/60 | 31,285 | 23,302 | ||
Mayo Clinic | 4.128% | 11/15/52 | 6,465 | 6,136 | ||
Memorial Sloan-Kettering Cancer Center | 5.000% | 7/1/42 | 11,505 | 11,922 | ||
Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 20,260 | 15,302 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 7,820 | 7,261 | ||
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 5,940 | 5,425 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 38,000 | 37,507 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 58,390 | 56,534 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 28,405 | 26,947 | ||
Mercy Health | 4.302% | 7/1/28 | 19,830 | 19,937 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 13,425 | 13,490 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,485 | 21,451 | ||
OhioHealth Corp. | 2.297% | 11/15/31 | 12,575 | 10,772 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 28,400 | 27,768 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 52,500 | 51,064 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 9,100 | 7,759 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 52,715 | 50,848 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 11,300 | 8,904 | ||
Piedmont Healthcare Inc. | 2.044% | 1/1/32 | 8,750 | 7,174 | ||
Piedmont Healthcare Inc. | 2.719% | 1/1/42 | 8,750 | 6,551 | ||
Piedmont Healthcare Inc. | 2.864% | 1/1/52 | 11,625 | 8,268 | ||
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 10,125 | 9,666 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 25,655 | 22,706 | ||
4 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 12,030 | 10,534 | |
Providence St. Joseph Health Obligated Group | 2.700% | 10/1/51 | 34,000 | 22,745 | ||
7 | Roche Holdings Inc. | 2.375% | 1/28/27 | 61,570 | 58,048 | |
7 | Roche Holdings Inc. | 2.607% | 12/13/51 | 12,495 | 9,126 | |
Royalty Pharma plc | 2.200% | 9/2/30 | 10,425 | 8,413 | ||
Royalty Pharma plc | 3.550% | 9/2/50 | 48,265 | 33,701 | ||
Rush Obligated Group | 3.922% | 11/15/29 | 12,000 | 11,534 | ||
SSM Health Care Corp. | 3.823% | 6/1/27 | 41,615 | 41,430 | ||
Sutter Health | 2.294% | 8/15/30 | 19,905 | 17,030 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,825 | 25,781 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,290 | 14,070 | ||
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 8,960 | 7,840 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 19,320 | 16,211 | ||
Toledo Hospital | 5.750% | 11/15/38 | 17,965 | 18,362 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 12,000 | 11,990 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 14,220 | 13,926 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,260 | 34,096 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 11,275 | 9,665 | ||
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 14,600 | 12,642 | ||
UnitedHealth Group Inc. | 4.200% | 5/15/32 | 16,790 | 16,794 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,285 | 9,443 | ||
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 20,000 | 24,257 | ||
UnitedHealth Group Inc. | 3.500% | 8/15/39 | 7,300 | 6,367 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 12,760 | 9,937 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 36,010 | 35,727 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 31,000 | 29,151 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 12,296 | 12,396 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,345 | 7,803 | ||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 4,870 | 4,226 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 12,545 | 11,734 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,890 | 4,684 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 40,900 | 34,946 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 76,019 | 56,489 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 19,810 | 15,584 | ||
UnitedHealth Group Inc. | 4.750% | 5/15/52 | 8,745 | 8,747 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 8,560 | 7,393 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 12,840 | 9,419 | ||
Wyeth LLC | 5.950% | 4/1/37 | 15,000 | 17,306 | ||
2,717,129 | ||||||
Industrials (1.8%) | ||||||
7 | Ashtead Capital Inc. | 2.450% | 8/12/31 | 17,920 | 13,708 | |
7 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 26,068 | 25,809 | |
7 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 29,838 | 29,324 | |
7 | BAE Systems plc | 3.400% | 4/15/30 | 9,390 | 8,586 | |
Boeing Co. | 1.433% | 2/4/24 | 34,165 | 32,684 | ||
Boeing Co. | 2.700% | 2/1/27 | 16,380 | 14,579 | ||
Boeing Co. | 3.625% | 2/1/31 | 24,370 | 21,092 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 3,748 | 3,889 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 5,750 | 5,529 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 21,220 | 19,324 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 26,898 | 24,739 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,225 | 2,944 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 16,975 | 13,027 | ||
Burlington Northern Santa Fe LLC | 2.875% | 6/15/52 | 13,410 | 9,963 | ||
Burlington Northern Santa Fe LLC | 4.450% | 1/15/53 | 7,485 | 7,231 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 25,925 | 17,404 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 8,515 | 7,305 | ||
Canadian Pacific Railway Co. | 3.100% | 12/2/51 | 20,120 | 14,824 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,103 | 13,053 | ||
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 39,500 | 39,397 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 19,475 | 19,540 | ||
Caterpillar Inc. | 5.200% | 5/27/41 | 19,770 | 21,246 | ||
CSX Corp. | 4.300% | 3/1/48 | 16,635 | 15,239 | ||
CSX Corp. | 3.350% | 9/15/49 | 7,745 | 6,048 | ||
7 | Daimler Trucks Finance North America LLC | 3.650% | 4/7/27 | 26,835 | 25,716 | |
Eaton Corp. | 6.500% | 6/1/25 | 10,000 | 10,598 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 42,775 | 42,910 | ||
John Deere Capital Corp. | 2.800% | 1/27/23 | 8,000 | 7,988 | ||
John Deere Capital Corp. | 3.350% | 6/12/24 | 9,000 | 9,011 | ||
John Deere Capital Corp. | 3.450% | 3/13/25 | 43,560 | 43,644 | ||
Kansas City Southern | 4.950% | 8/15/45 | 13,845 | 13,367 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 2,545 | 2,172 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 6,715 | 6,710 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 7,501 | 6,621 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 12,041 | 12,155 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 4,609 | 4,294 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 8,155 | 7,050 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 9,065 | 8,290 | ||
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 14,290 | 12,774 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 32,800 | 32,404 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,050 | 8,707 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 5,891 | 5,010 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 62,200 | 61,779 | |
7 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 21,840 | 19,161 | |
7 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 38,245 | 32,419 | |
7 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 40,495 | 38,523 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,040 | 23,933 | ||
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 40,240 | 34,871 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 44,340 | 37,081 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 27,750 | 26,986 | ||
Union Pacific Corp. | 2.800% | 2/14/32 | 10,855 | 9,653 | ||
Union Pacific Corp. | 3.375% | 2/14/42 | 17,820 | 14,853 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 14,765 | 11,605 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 29,538 | 25,364 | ||
Union Pacific Corp. | 3.500% | 2/14/53 | 34,490 | 28,185 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 32,310 | 27,005 | ||
Union Pacific Corp. | 3.550% | 5/20/61 | 10,000 | 7,889 | ||
Union Pacific Corp. | 2.973% | 9/16/62 | 7,030 | 4,859 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 16,165 | 12,864 | ||
4 | United Airlines Class B Series 2018-1 Pass Through Trust | 4.600% | 9/1/27 | 5,341 | 4,744 | |
1,067,679 | ||||||
Materials (0.1%) | ||||||
7 | Air Liquide Finance SA | 2.250% | 9/27/23 | 21,000 | 20,762 | |
7 | Air Liquide Finance SA | 2.500% | 9/27/26 | 16,815 | 15,968 | |
7 | Corp. Nacional del Cobre de Chile | 3.700% | 1/30/50 | 20,390 | 15,216 | |
51,946 | ||||||
Real Estate (0.9%) | ||||||
American Tower Corp. | 5.000% | 2/15/24 | 8,641 | 8,748 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,300 | 7,262 | ||
American Tower Corp. | 3.800% | 8/15/29 | 32,261 | 29,622 | ||
Boston Properties LP | 3.125% | 9/1/23 | 13,520 | 13,399 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,780 | 1,773 | ||
Crown Castle International Corp. | 3.650% | 9/1/27 | 10,385 | 9,823 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,575 | 8,096 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 76,475 | 60,710 | ||
CubeSmart LP | 2.250% | 12/15/28 | 11,790 | 10,067 | ||
Healthpeak Properties Inc. | 2.125% | 12/1/28 | 29,850 | 25,786 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 30,600 | 26,996 | ||
Realty Income Corp. | 3.400% | 1/15/28 | 8,845 | 8,356 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 25,855 | 22,743 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 19,405 | 17,671 | ||
Realty Income Corp. | 2.850% | 12/15/32 | 19,565 | 16,767 | ||
7 | SBA Tower Trust | 1.840% | 4/15/27 | 53,140 | 47,430 | |
7 | SBA Tower Trust | 2.593% | 10/15/31 | 50,750 | 43,717 | |
7 | SBA Tower Trust | 3.448% | 3/15/48 | 28,730 | 28,452 | |
7 | SBA Tower Trust | 2.836% | 1/15/50 | 24,160 | 23,411 | |
7 | SBA Tower Trust | 1.884% | 7/15/50 | 9,320 | 8,622 | |
7 | SBA Tower Trust | 1.631% | 5/15/51 | 40,475 | 36,167 | |
7 | Scentre Group Trust 1 / Scentre Group Trust 2 | 4.375% | 5/28/30 | 28,670 | 27,642 | |
Simon Property Group LP | 3.750% | 2/1/24 | 6,645 | 6,632 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 20,470 | 20,247 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 38,350 | 32,562 | ||
542,701 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Technology (3.5%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,750 | 22,710 | ||
Apple Inc. | 3.450% | 5/6/24 | 31,140 | 31,291 | ||
Apple Inc. | 2.850% | 5/11/24 | 45,635 | 45,359 | ||
Apple Inc. | 2.750% | 1/13/25 | 21,615 | 21,377 | ||
Apple Inc. | 3.250% | 2/23/26 | 38,220 | 37,937 | ||
Apple Inc. | 2.450% | 8/4/26 | 55,182 | 52,957 | ||
Apple Inc. | 3.350% | 2/9/27 | 56,435 | 56,069 | ||
Apple Inc. | 3.200% | 5/11/27 | 39,750 | 39,145 | ||
Apple Inc. | 2.900% | 9/12/27 | 83,420 | 80,505 | ||
Apple Inc. | 3.850% | 5/4/43 | 15,275 | 14,055 | ||
Apple Inc. | 4.450% | 5/6/44 | 4,035 | 4,024 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,510 | 33,478 | ||
Apple Inc. | 2.650% | 5/11/50 | 26,520 | 19,602 | ||
Apple Inc. | 2.550% | 8/20/60 | 50,285 | 34,532 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 10,955 | 10,561 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 38,911 | 36,949 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 4,670 | 4,282 | ||
7 | Broadcom Inc. | 2.600% | 2/15/33 | 4,300 | 3,316 | |
7 | Broadcom Inc. | 3.419% | 4/15/33 | 10,360 | 8,564 | |
7 | Broadcom Inc. | 3.500% | 2/15/41 | 26,355 | 19,875 | |
7 | Broadcom Inc. | 3.750% | 2/15/51 | 12,880 | 9,516 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,921 | 15,302 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,825 | 29,716 | ||
Intel Corp. | 2.000% | 8/12/31 | 11,260 | 9,431 | ||
Intel Corp. | 4.100% | 5/19/46 | 47,755 | 43,498 | ||
Intel Corp. | 3.250% | 11/15/49 | 10,000 | 7,806 | ||
Intel Corp. | 3.050% | 8/12/51 | 60,730 | 45,223 | ||
Intel Corp. | 3.200% | 8/12/61 | 16,360 | 11,935 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 61,300 | 61,424 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 22,800 | 22,865 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 81,400 | 80,770 | ||
International Business Machines Corp. | 7.000% | 10/30/25 | 25,000 | 27,454 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 148,025 | 144,609 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 98,025 | 92,832 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 47,230 | 47,164 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 23,890 | 23,714 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 11,865 | 11,856 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 64,501 | 62,188 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 25,692 | 24,261 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 162,183 | 119,401 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 115,380 | 91,092 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 19,051 | 13,692 | ||
Oracle Corp. | 2.400% | 9/15/23 | 63,535 | 62,562 | ||
Oracle Corp. | 2.950% | 11/15/24 | 80,105 | 77,691 | ||
Oracle Corp. | 1.650% | 3/25/26 | 51,805 | 46,401 | ||
Oracle Corp. | 3.250% | 11/15/27 | 96,975 | 89,354 | ||
Oracle Corp. | 4.000% | 11/15/47 | 16,360 | 12,157 | ||
Oracle Corp. | 3.850% | 4/1/60 | 18,920 | 13,054 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,611 | 23,913 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 44,450 | 38,991 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,504 | 33,549 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
QUALCOMM Inc. | 4.250% | 5/20/32 | 8,595 | 8,731 | ||
QUALCOMM Inc. | 4.500% | 5/20/52 | 19,725 | 19,522 | ||
7 | S&P Global Inc. | 2.700% | 3/1/29 | 25,905 | 23,584 | |
7 | S&P Global Inc. | 2.900% | 3/1/32 | 11,910 | 10,611 | |
7 | S&P Global Inc. | 3.700% | 3/1/52 | 13,635 | 11,656 | |
Workday Inc. | 3.700% | 4/1/29 | 9,155 | 8,581 | ||
Workday Inc. | 3.800% | 4/1/32 | 35,295 | 32,274 | ||
2,084,968 | ||||||
Utilities (5.8%) | ||||||
AEP Texas Inc. | 4.150% | 5/1/49 | 4,750 | 4,076 | ||
AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 12,960 | ||
AEP Transmission Co. LLC | 4.500% | 6/15/52 | 14,190 | 13,601 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 3,365 | 3,364 | ||
Alabama Power Co. | 4.100% | 1/15/42 | 5,595 | 4,846 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 20,255 | 16,760 | ||
Alabama Power Co. | 4.300% | 7/15/48 | 27,790 | 25,068 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 58,000 | 57,946 | ||
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,365 | 21,970 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,085 | 4,358 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 20,245 | 19,023 | ||
American Water Capital Corp. | 4.450% | 6/1/32 | 33,370 | 33,170 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,495 | 1,248 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 29,696 | 26,611 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 885 | 781 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 4,430 | 3,528 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 16,830 | 12,335 | ||
Baltimore Gas and Electric Co. | 2.800% | 8/15/22 | 26,250 | 26,250 | ||
Baltimore Gas and Electric Co. | 2.400% | 8/15/26 | 20,945 | 19,753 | ||
Baltimore Gas and Electric Co. | 2.900% | 6/15/50 | 9,820 | 7,232 | ||
Baltimore Gas and Electric Co. | 4.550% | 6/1/52 | 3,880 | 3,762 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 32,052 | 35,342 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 865 | 946 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,725 | 10,824 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 32,020 | 29,245 | ||
7 | Berkshire Hathaway Energy Co. | 4.600% | 5/1/53 | 52,900 | 51,045 | |
7 | Boston Gas Co. | 3.150% | 8/1/27 | 8,010 | 7,449 | |
7 | Boston Gas Co. | 3.001% | 8/1/29 | 5,700 | 5,036 | |
7 | Boston Gas Co. | 3.757% | 3/16/32 | 13,050 | 12,088 | |
7 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 63,125 | 51,536 | |
CenterPoint Energy Houston Electric LLC | 4.250% | 2/1/49 | 6,685 | 6,340 | ||
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 9,123 | 8,916 | ||
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 4,406 | 4,922 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 13,465 | 12,017 | ||
Cleco Securitization I LLC | 4.646% | 9/1/44 | 26,300 | 25,443 | ||
Commonwealth Edison Co. | 2.950% | 8/15/27 | 23,275 | 22,181 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,990 | 11,069 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,420 | 5,444 | ||
Commonwealth Edison Co. | 3.750% | 8/15/47 | 5,000 | 4,290 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,900 | 16,116 | ||
Commonwealth Edison Co. | 3.850% | 3/15/52 | 13,160 | 11,584 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,500 | 10,126 | ||
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 45,000 | 50,731 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 30,855 | 28,362 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,752 | 2,332 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,755 | 1,530 | ||
Consolidated Edison Co. of New York Inc. | 3.200% | 12/1/51 | 32,238 | 24,499 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 24,915 | 22,970 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 27,272 | 24,467 | ||
Consolidated Edison Co. of New York Inc. | 3.600% | 6/15/61 | 1,350 | 1,067 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 9,550 | 9,580 | ||
7 | Dominion Energy Inc. | 2.450% | 1/15/23 | 106,490 | 105,668 | |
Dominion Energy Inc. | 4.900% | 8/1/41 | 13,562 | 13,003 | ||
Dominion Energy Inc. | 4.600% | 3/15/49 | 13,855 | 12,979 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,832 | 5,617 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,446 | 1,543 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 23,085 | 25,786 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 9,627 | 10,059 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 6,830 | 6,467 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 25,065 | 24,958 | ||
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,000 | 5,410 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 13,915 | 15,129 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 4,474 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 6,375 | 5,895 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 5,205 | 4,642 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,220 | 14,616 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 17,480 | 16,407 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 11,420 | 10,451 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 33,075 | 25,607 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 37,600 | 34,313 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 14,740 | 11,625 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 36,945 | 27,866 | ||
Duke Energy Progress LLC | 3.400% | 4/1/32 | 38,235 | 35,489 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 1,625 | 1,854 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 6,221 | 5,597 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 61,923 | 55,937 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 2,455 | 1,683 | ||
Duke Energy Progress LLC | 4.000% | 4/1/52 | 9,770 | 8,783 | ||
4 | Duke Energy Progress NC Storm Funding LLC | 2.387% | 7/1/39 | 34,240 | 31,524 | |
7 | East Ohio Gas Co. | 2.000% | 6/15/30 | 13,440 | 11,162 | |
7 | East Ohio Gas Co. | 3.000% | 6/15/50 | 19,575 | 14,159 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 14,085 | 14,048 | ||
7 | Electricite de France SA | 4.875% | 9/21/38 | 69,690 | 61,886 | |
7 | Electricite de France SA | 4.875% | 1/22/44 | 2,910 | 2,497 | |
7 | Electricite de France SA | 4.950% | 10/13/45 | 12,500 | 10,474 | |
Emera US Finance LP | 3.550% | 6/15/26 | 32,320 | 30,957 | ||
7 | Enel Finance International NV | 5.000% | 6/15/32 | 56,240 | 54,361 | |
Enel Finance International NV | 5.500% | 6/15/52 | 48,955 | 46,675 | ||
Entergy Corp. | 2.950% | 9/1/26 | 7,085 | 6,720 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 10,065 | 9,581 | ||
Evergy Inc. | 2.450% | 9/15/24 | 28,130 | 27,084 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 3,120 | 2,415 | ||
Evergy Metro Inc. | 2.250% | 6/1/30 | 8,520 | 7,366 | ||
Evergy Metro Inc. | 4.200% | 3/15/48 | 3,282 | 2,943 | ||
Eversource Energy | 2.900% | 10/1/24 | 25,155 | 24,583 | ||
Eversource Energy | 3.150% | 1/15/25 | 6,775 | 6,623 | ||
Eversource Energy | 3.300% | 1/15/28 | 14,490 | 13,657 | ||
Eversource Energy | 3.375% | 3/1/32 | 14,435 | 12,967 | ||
7 | Exelon Corp. | 3.350% | 3/15/32 | 35,015 | 31,375 | |
Florida Power & Light Co. | 6.200% | 6/1/36 | 12,452 | 14,132 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 10,000 | 11,298 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,994 | 5,530 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 29,745 | 31,629 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 20,000 | 18,833 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 27,690 | 24,396 | ||
Fortis Inc. | 3.055% | 10/4/26 | 44,365 | 41,666 | ||
Georgia Power Co. | 4.700% | 5/15/32 | 30,600 | 30,741 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 34,725 | 31,492 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 28,162 | 24,491 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 9,335 | 7,428 | ||
Georgia Power Co. | 5.125% | 5/15/52 | 35,520 | 35,405 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,590 | 12,855 | ||
7 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 37,580 | 35,456 | |
7 | KeySpan Gas East Corp. | 5.819% | 4/1/41 | 5,060 | 5,081 | |
7 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,895 | 23,050 | |
7 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,851 | 6,742 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 9,925 | 10,907 | ||
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,110 | 1,051 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 14,675 | 13,572 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,000 | 10,229 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 44,720 | 34,950 | ||
7 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 3,400 | 3,320 | |
7 | Monongahela Power Co. | 4.100% | 4/15/24 | 11,000 | 10,999 | |
7 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,320 | 4,275 | |
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,355 | 15,222 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 32,210 | 31,502 | ||
Nevada Power Co. | 3.125% | 8/1/50 | 17,655 | 13,100 | ||
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,950 | 31,842 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 33,830 | 29,445 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 12,880 | 12,022 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 20,155 | 17,815 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 41,505 | 34,868 | ||
NextEra Energy Capital Holdings Inc. | 5.000% | 7/15/32 | 8,755 | 8,969 | ||
7 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,280 | 34,723 | |
7 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 22,255 | 15,324 | |
NiSource Inc. | 5.250% | 2/15/43 | 13,546 | 13,143 | ||
NiSource Inc. | 4.800% | 2/15/44 | 7,995 | 7,203 | ||
NiSource Inc. | 5.000% | 6/15/52 | 21,065 | 20,412 | ||
Northern States Power Co. | 2.250% | 4/1/31 | 4,915 | 4,303 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Northern States Power Co. | 4.500% | 6/1/52 | 6,645 | 6,530 | ||
4,7 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 35,520 | 36,962 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 5,145 | 5,413 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,835 | 1,596 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 20,029 | 16,306 | ||
7 | Oglethorpe Power Corp. | 4.500% | 4/1/47 | 4,095 | 3,513 | |
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 4,806 | 4,490 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,225 | 16,311 | ||
Oklahoma Gas and Electric Co. | 6.500% | 4/15/28 | 10,000 | 10,771 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 31,858 | 31,117 | ||
7 | Oncor Electric Delivery Co. LLC | 4.150% | 6/1/32 | 7,625 | 7,662 | |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 11,325 | 11,952 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 3,275 | 3,182 | ||
Oncor Electric Delivery Co. LLC | 2.700% | 11/15/51 | 23,765 | 17,201 | ||
7 | Oncor Electric Delivery Co. LLC | 4.600% | 6/1/52 | 26,785 | 26,503 | |
PacifiCorp | 2.950% | 6/1/23 | 14,835 | 14,757 | ||
PacifiCorp | 3.600% | 4/1/24 | 20,000 | 20,044 | ||
PacifiCorp | 3.350% | 7/1/25 | 15,354 | 15,119 | ||
PacifiCorp | 2.700% | 9/15/30 | 8,500 | 7,506 | ||
PacifiCorp | 5.750% | 4/1/37 | 14,188 | 15,031 | ||
PacifiCorp | 4.125% | 1/15/49 | 2,262 | 2,021 | ||
PacifiCorp | 4.150% | 2/15/50 | 11,330 | 10,159 | ||
PacifiCorp | 3.300% | 3/15/51 | 20,663 | 16,217 | ||
PECO Energy Co. | 4.600% | 5/15/52 | 16,875 | 16,942 | ||
4 | PG&E Energy Recovery Funding LLC | 2.280% | 1/15/38 | 3,573 | 3,025 | |
4 | PG&E Energy Recovery Funding LLC | 2.822% | 7/15/48 | 16,435 | 13,021 | |
Piedmont Natural Gas Co Inc. | 5.050% | 5/15/52 | 14,375 | 14,109 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 8,000 | 9,291 | ||
PPL Electric Utilities Corp. | 2.500% | 9/1/22 | 12,830 | 12,819 | ||
Public Service Electric and Gas Co. | 3.100% | 3/15/32 | 13,910 | 12,801 | ||
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 19,880 | 18,077 | ||
San Diego Gas & Electric Co. | 1.700% | 10/1/30 | 4,915 | 4,041 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,620 | 4,754 | ||
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 1,505 | 1,387 | ||
San Diego Gas & Electric Co. | 2.950% | 8/15/51 | 711 | 527 | ||
San Diego Gas & Electric Co. | 3.700% | 3/15/52 | 43,105 | 36,428 | ||
4 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 10,090 | 8,834 | |
SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,915 | 3,005 | ||
SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,545 | 3,066 | ||
Sempra Energy | 3.700% | 4/1/29 | 5,190 | 4,881 | ||
Sempra Energy | 3.800% | 2/1/38 | 20,000 | 16,868 | ||
Sempra Energy | 6.000% | 10/15/39 | 21,184 | 22,301 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 8,027 | 7,637 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 3,225 | 3,175 | ||
Southern California Edison Co. | 5.750% | 4/1/35 | 5,000 | 5,113 | ||
Southern California Edison Co. | 6.050% | 3/15/39 | 1,995 | 2,087 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 5,150 | 4,565 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 17,788 | 14,741 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 8,782 | 7,032 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 16,770 | 15,161 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 8,160 | 6,112 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 3,675 | 2,981 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 32,029 | 26,436 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 25,325 | 19,379 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 28,885 | 27,375 | ||
Southern California Gas Co. | 2.950% | 4/15/27 | 26,220 | 24,881 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Southern Co. | 2.950% | 7/1/23 | 44,985 | 44,475 | ||
Southern Co. | 4.400% | 7/1/46 | 25,160 | 21,935 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 9,465 | 7,640 | ||
Southwestern Electric Power Co. | 2.750% | 10/1/26 | 15,000 | 14,050 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 10,583 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,790 | 3,141 | ||
Tampa Electric Co. | 2.600% | 9/15/22 | 20,205 | 20,161 | ||
Texas Electric Market Stabilization Funding N LLC | 4.966% | 2/1/44 | 39,050 | 38,875 | ||
Texas Electric Market Stabilization Funding N LLC | 5.057% | 8/1/48 | 18,750 | 18,667 | ||
Texas Electric Market Stabilization Funding N LLC | 5.167% | 2/1/52 | 17,590 | 17,598 | ||
Union Electric Co. | 4.000% | 4/1/48 | 14,942 | 13,097 | ||
Union Electric Co. | 3.900% | 4/1/52 | 13,335 | 11,807 | ||
Virginia Electric and Power Co. | 3.500% | 3/15/27 | 40,765 | 39,824 | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 9,435 | 10,453 | ||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 13,825 | 15,009 | ||
Xcel Energy Inc. | 3.350% | 12/1/26 | 33,370 | 32,200 | ||
3,473,205 | ||||||
Total Corporate Bonds (Cost $27,768,836) | 25,155,858 | |||||
Sovereign Bonds (1.0%) | ||||||
6,7 | Emirate of Abu Dhabi | 4.951% | 7/7/52 | 20,995 | 21,151 | |
7 | Government of Bermuda | 2.375% | 8/20/30 | 18,120 | 15,163 | |
7 | Government of Bermuda | 3.375% | 8/20/50 | 7,115 | 5,165 | |
7 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 30,320 | 30,245 | |
Province of Ontario | 2.500% | 4/27/26 | 100,400 | 97,414 | ||
Province of Quebec | 2.500% | 4/20/26 | 134,755 | 130,915 | ||
Republic of Chile | 2.550% | 1/27/32 | 20,660 | 17,555 | ||
Republic of Chile | 2.550% | 7/27/33 | 37,110 | 30,316 | ||
Republic of Chile | 3.500% | 1/31/34 | 19,975 | 17,764 | ||
Republic of Chile | 3.500% | 4/15/53 | 22,895 | 17,319 | ||
Republic of Chile | 3.100% | 1/22/61 | 14,340 | 9,698 | ||
Republic of Colombia | 4.000% | 2/26/24 | 29,348 | 28,512 | ||
Republic of Panama | 2.252% | 9/29/32 | 36,590 | 28,610 | ||
4 | Republic of Panama | 3.870% | 7/23/60 | 23,230 | 16,506 | |
7 | State of Qatar | 3.875% | 4/23/23 | 69,280 | 69,525 | |
7 | State of Qatar | 3.375% | 3/14/24 | 3,250 | 3,242 | |
7 | State of Qatar | 4.400% | 4/16/50 | 13,435 | 12,800 | |
United Mexican States | 4.400% | 2/12/52 | 18,705 | 14,013 | ||
Total Sovereign Bonds (Cost $621,923) | 565,913 | |||||
Taxable Municipal Bonds (3.1%) | ||||||
Alabama Federal Aid Highway Finance Authority Government Fund/Grant Revenue | 2.650% | 9/1/37 | 4,905 | 3,969 | ||
Bay Area Toll Authority Highway Revenue | 2.574% | 4/1/31 | 14,735 | 13,467 | ||
Bay Area Toll Authority Highway Revenue | 6.263% | 4/1/49 | 4,670 | 5,959 | ||
Bay Area Toll Authority Highway Revenue | 7.043% | 4/1/50 | 24,800 | 34,089 | ||
Broward FL Airport System Port, Airport & Marina Revenue | 3.477% | 10/1/43 | 10,070 | 8,485 | ||
California GO | 7.500% | 4/1/34 | 5,845 | 7,502 | ||
California GO | 7.350% | 11/1/39 | 45,195 | 58,873 | ||
California GO | 7.600% | 11/1/40 | 2,215 | 3,059 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
California Health Facilities Financing Authority Intergovernmental Agreement Revenue | 4.190% | 6/1/37 | 9,220 | 8,771 | ||
California Health Facilities Financing Authority Intergovernmental Agreement Revenue | 4.353% | 6/1/41 | 20,630 | 19,326 | ||
California State University College & University Revenue | 2.719% | 11/1/52 | 12,175 | 9,056 | ||
California State University College & University Revenue | 2.939% | 11/1/52 | 15,330 | 11,700 | ||
Chicago O'Hare International Airport Port, Airport & Marina Revenue | 6.395% | 1/1/40 | 4,780 | 5,895 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 61,935 | 74,271 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 31,650 | 37,954 | ||
Chicago Transit Authority Sales Tax Receipts Fund Sales Tax Revenue | 6.200% | 12/1/40 | 2,290 | 2,631 | ||
Commonwealth of Massachusetts GO | 2.514% | 7/1/41 | 10,625 | 8,234 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 2.843% | 11/1/46 | 10,280 | 7,992 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 4.087% | 11/1/51 | 4,680 | 4,565 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 4.507% | 11/1/51 | 28,285 | 27,492 | ||
Dallas-Fort Worth International Airport Port, Airport & Marina Revenue | 3.089% | 11/1/40 | 7,770 | 6,478 | ||
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 6,480 | 7,165 | ||
Duke University College & University Revenue | 5.850% | 4/1/37 | 62,165 | 72,063 | ||
Florida State Board of Administration Finance Corp. Miscellaneous Revenue | 1.705% | 7/1/27 | 33,175 | 30,007 | ||
Foothill-Eastern Transportation Corridor Agency Highway Revenue | 4.094% | 1/15/49 | 5,145 | 4,496 | ||
9 | Foothill-Eastern Transportation Corridor Agency Highway Revenue | 3.924% | 1/15/53 | 38,475 | 33,511 | |
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.637% | 4/1/57 | 71,194 | 83,560 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 2.746% | 6/1/34 | 2,375 | 2,047 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 3.293% | 6/1/42 | 4,595 | 3,706 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 3.000% | 6/1/46 | 9,955 | 8,748 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Grand Parkway Transportation Corp. Texas System Highway Revenue | 3.236% | 10/1/52 | 53,710 | 43,000 | ||
Great Lakes Water Authority Sewage Disposal System Sewer Revenue | 3.056% | 7/1/39 | 12,495 | 10,541 | ||
Houston TX GO | 6.290% | 3/1/32 | 13,425 | 14,998 | ||
Illinois GO | 5.100% | 6/1/33 | 144,465 | 145,345 | ||
Illinois State Toll Highway Authority Highway Revenue | 6.184% | 1/1/34 | 16,525 | 19,042 | ||
JobsOhio Beverage System Miscellaneous Revenue | 2.833% | 1/1/38 | 5,335 | 4,450 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.927% | 4/15/45 | 38,405 | 40,255 | ||
10 | Kansas Development Finance Authority Appropriations Revenue | 2.774% | 5/1/51 | 15,160 | 11,666 | |
Louisville and Jefferson County Metropolitan Sewer District Sewer Revenue | 6.250% | 5/15/43 | 11,000 | 13,080 | ||
Maryland State Transportation Authority Transit Revenue | 5.888% | 7/1/43 | 12,005 | 13,791 | ||
Massachusetts School Building Authority Sales Tax Revenue | 1.753% | 8/15/30 | 28,455 | 24,504 | ||
Massachusetts School Building Authority Sales Tax Revenue | 5.715% | 8/15/39 | 15,000 | 16,803 | ||
Massachusetts School Building Authority Sales Tax Revenue | 3.395% | 10/15/40 | 16,565 | 13,991 | ||
Massachusetts School Building Authority Sales Tax Revenue | 2.950% | 5/15/43 | 23,000 | 17,640 | ||
Massachusetts Water Resources Authority Water Revenue | 2.823% | 8/1/41 | 12,650 | 10,429 | ||
Metropolitan Transportation Authority Fuel Sales Tax Revenue | 6.089% | 11/15/40 | 16,940 | 19,680 | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 2,430 | 3,259 | ||
Metropolitan Transportation Authority Transit Revenue | 6.200% | 11/15/26 | 2,255 | 2,357 | ||
Metropolitan Transportation Authority Transit Revenue | 6.814% | 11/15/40 | 27,855 | 33,676 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 37,785 | 38,987 | ||
Michigan Finance Authority Health, Hospital, Nursing Home Revenue | 3.084% | 12/1/34 | 11,385 | 10,211 | ||
New Jersey Turnpike Authority Highway Revenue | 7.414% | 1/1/40 | 28,975 | 38,453 | ||
New York State Dormitory Authority Income Tax Revenue | 3.110% | 2/15/39 | 21,345 | 18,289 | ||
New York State Dormitory Authority Income Tax Revenue | 3.190% | 2/15/43 | 11,865 | 9,732 | ||
New York State Thruway Authority Highway & Bridge Trust Fund Fuel Sales Tax Revenue | 5.883% | 4/1/30 | 29,670 | 33,318 | ||
New York State Thruway Authority Highway Revenue | 2.900% | 1/1/35 | 16,215 | 14,188 | ||
New York State Thruway Authority Highway Revenue | 3.500% | 1/1/42 | 9,140 | 7,781 | ||
North Texas Tollway Authority Highway Revenue | 3.011% | 1/1/43 | 10,335 | 8,329 | ||
North Texas Tollway Authority Highway Revenue | 6.718% | 1/1/49 | 15,100 | 20,343 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Oregon Department of Transportation Fuel Sales Tax Revenue | 5.834% | 11/15/34 | 14,510 | 16,548 | ||
11 | Oregon School Boards Assn. GO | 4.759% | 6/30/28 | 13,576 | 13,864 | |
10 | Oregon State University College & University Revenue | 3.424% | 3/1/60 | 31,000 | 25,211 | |
12 | Philadelphia Authority for Industrial Development Miscellaneous Revenue | 6.550% | 10/15/28 | 64,830 | 73,662 | |
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.859% | 12/1/24 | 1,960 | 2,069 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 3.175% | 7/15/60 | 16,940 | 12,671 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.458% | 10/1/62 | 53,000 | 51,533 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.810% | 10/15/65 | 10,910 | 11,261 | ||
Regents of the University of California Medical Center Pooled Health, Hospital, Nursing Home Revenue | 4.132% | 5/15/32 | 17,270 | 17,099 | ||
Riverside CA General Fund Revenue | 3.857% | 6/1/45 | 12,905 | 11,510 | ||
Riverside County CA Appropriations Revenue | 3.818% | 2/15/38 | 9,875 | 9,347 | ||
Rutgers State University of New Jersey College & University Revenue | 3.270% | 5/1/43 | 11,595 | 9,710 | ||
Sales Tax Securitization Corp. Illinois Sales Tax Revenue | 4.787% | 1/1/48 | 24,635 | 25,043 | ||
Sales Tax Securitization Corp. Intergovernmental Agreement Revenue | 3.238% | 1/1/42 | 20,635 | 17,377 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 2.905% | 2/1/48 | 8,990 | 7,004 | ||
Texas Transportation Commission GO | 2.562% | 4/1/42 | 8,625 | 6,975 | ||
Texas Transportation Commission State Highway Fund Fuel Sales Tax Revenue | 5.178% | 4/1/30 | 12,275 | 13,104 | ||
Texas Transportation Commission State Highway Fund Miscellaneous Revenue | 4.000% | 10/1/33 | 17,140 | 17,011 | ||
University of California College & University Revenue | 1.316% | 5/15/27 | 13,645 | 12,237 | ||
University of California College & University Revenue | 1.614% | 5/15/30 | 23,375 | 19,615 | ||
University of California College & University Revenue | 4.601% | 5/15/31 | 19,390 | 19,958 | ||
University of California College & University Revenue | 4.765% | 5/15/44 | 4,740 | 4,779 | ||
University of California College & University Revenue | 3.931% | 5/15/45 | 18,275 | 17,162 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.548% | 5/15/48 | 10,665 | 13,243 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.583% | 5/15/49 | 15,790 | 19,600 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.006% | 5/15/50 | 14,850 | 11,203 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 4.563% | 5/15/53 | 45,480 | 44,661 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.256% | 5/15/60 | 27,700 | 20,590 | ||
University of Michigan College & University Revenue | 3.504% | 4/1/52 | 14,470 | 12,798 | ||
University of Minnesota College & University Revenue | 4.048% | 4/1/52 | 28,000 | 27,483 | ||
Utility Debt Securitization Authority Electric Power & Light Revenue | 3.435% | 12/15/25 | 3,475 | 3,471 | ||
9 | Wisconsin Appropriations Revenue | 5.700% | 5/1/26 | 6,285 | 6,678 | |
Wisconsin Appropriations Revenue | 3.954% | 5/1/36 | 28,325 | 27,890 | ||
Total Taxable Municipal Bonds (Cost $1,959,131) | 1,865,576 | |||||
Shares | ||||||
Common Stocks (36.9%) | ||||||
Communication Services (1.2%) | ||||||
Comcast Corp. Class A | 11,384,269 | 446,718 | ||||
Verizon Communications Inc. | 5,775,563 | 293,110 | ||||
739,828 | ||||||
Consumer Discretionary (2.2%) | ||||||
Home Depot Inc. | 2,463,730 | 675,727 | ||||
TJX Cos. Inc. | 4,808,654 | 268,563 | ||||
Darden Restaurants Inc. | 1,947,478 | 220,299 | ||||
Starbucks Corp. | 1,587,762 | 121,289 | ||||
1,285,878 | ||||||
Consumer Staples (5.4%) | ||||||
Procter & Gamble Co. | 3,983,049 | 572,723 | ||||
Mondelez International Inc. Class A | 8,567,363 | 531,948 | ||||
Philip Morris International Inc. | 5,006,750 | 494,366 | ||||
Unilever plc ADR | 6,728,259 | 308,356 | ||||
PepsiCo Inc. | 1,703,493 | 283,904 | ||||
Kimberly-Clark Corp. | 1,734,326 | 234,394 | ||||
Coca-Cola Co. | 3,576,233 | 224,981 | ||||
Kellogg Co. | 3,107,330 | 221,677 | ||||
Archer-Daniels-Midland Co. | 2,401,893 | 186,387 | ||||
Sysco Corp. | 1,698,448 | 143,875 | ||||
3,202,611 | ||||||
Energy (2.9%) | ||||||
ConocoPhillips | 6,515,840 | 585,188 | ||||
13 | TC Energy Corp. | 5,604,931 | 290,349 | |||
EOG Resources Inc. | 2,509,166 | 277,112 | ||||
Coterra Energy Inc. | 8,572,221 | 221,078 | ||||
Pioneer Natural Resources Co. | 961,290 | 214,444 | ||||
Phillips 66 | 1,626,773 | 133,379 | ||||
1,721,550 | ||||||
Financials (7.1%) | ||||||
JPMorgan Chase & Co. | 7,050,892 | 794,001 | ||||
MetLife Inc. | 8,875,255 | 557,277 |
Shares | Market Value ($000) | |||||
Morgan Stanley | 6,875,554 | 522,955 | ||||
Chubb Ltd. | 2,467,061 | 484,975 | ||||
Progressive Corp. | 2,928,102 | 340,451 | ||||
PNC Financial Services Group Inc. | 1,967,480 | 310,409 | ||||
BlackRock Inc. | 499,930 | 304,477 | ||||
Truist Financial Corp. | 6,353,547 | 301,349 | ||||
M&T Bank Corp. | 1,632,196 | 260,156 | ||||
Royal Bank of Canada | 2,428,726 | 235,174 | ||||
Blackstone Inc. | 1,550,523 | 141,454 | ||||
4,252,678 | ||||||
Health Care (6.4%) | ||||||
Johnson & Johnson | 4,826,757 | 856,798 | ||||
Pfizer Inc. | 16,079,347 | 843,040 | ||||
Merck & Co. Inc. | 7,120,989 | 649,221 | ||||
Medtronic plc | 4,258,295 | 382,182 | ||||
Eli Lilly & Co. | 1,072,931 | 347,876 | ||||
CVS Health Corp. | 3,483,084 | 322,743 | ||||
AstraZeneca plc ADR | 4,584,721 | 302,912 | ||||
Koninklijke Philips NV GDR | 4,904,526 | 105,594 | ||||
3,810,366 | ||||||
Industrials (3.4%) | ||||||
General Dynamics Corp. | 1,780,599 | 393,958 | ||||
Eaton Corp. plc | 2,436,637 | 306,992 | ||||
Johnson Controls International plc | 5,928,817 | 283,872 | ||||
L3Harris Technologies Inc. | 1,134,565 | 274,224 | ||||
Canadian National Railway Co. | 2,235,220 | 251,428 | ||||
Raytheon Technologies Corp. | 2,393,854 | 230,073 | ||||
Honeywell International Inc. | 1,113,741 | 193,579 | ||||
Caterpillar Inc. | 591,944 | 105,816 | ||||
2,039,942 | ||||||
Information Technology (3.6%) | ||||||
Cisco Systems Inc. | 13,210,233 | 563,284 | ||||
Texas Instruments Inc. | 2,814,172 | 432,398 | ||||
Analog Devices Inc. | 2,386,625 | 348,662 | ||||
Corning Inc. | 7,962,469 | 250,897 | ||||
NXP Semiconductors NV | 1,332,140 | 197,197 | ||||
QUALCOMM Inc. | 1,378,363 | 176,072 | ||||
Broadcom Inc. | 330,215 | 160,422 | ||||
2,128,932 | ||||||
Materials (1.1%) | ||||||
LyondellBasell Industries NV Class A | 3,676,192 | 321,520 | ||||
PPG Industries Inc. | 2,377,117 | 271,799 | ||||
13 | Rio Tinto plc ADR | 1,421,028 | 86,683 | |||
680,002 | ||||||
Real Estate (0.4%) | ||||||
Crown Castle International Corp. | 1,404,193 | 236,438 | ||||
Utilities (3.2%) | ||||||
Exelon Corp. | 8,911,525 | 403,870 | ||||
American Electric Power Co. Inc. | 4,078,191 | 391,262 | ||||
Sempra Energy (XNYS) | 2,224,971 | 334,346 | ||||
Dominion Energy Inc. | 4,086,064 | 326,109 | ||||
Duke Energy Corp. | 2,818,231 | 302,143 | ||||
DTE Energy Co. | 994,399 | 126,040 | ||||
1,883,770 | ||||||
Total Common Stocks (Cost $16,028,807) | 21,981,995 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (3.4%) | ||||||
Money Market Fund (0.4%) | ||||||
14,15 | Vanguard Market Liquidity Fund | 1.417% | 2,429,072 | 242,834 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (0.7%) | ||||||
Bank of America Securities, LLC (Dated 6/30/22, Repurchase Value $5,200,000, collateralized by Freddie Mac 0.000%, 2/25/32, with a value of $5,304,000) | 1.550% | 7/1/22 | 5,200 | 5,200 | ||
Deutsche Bank Securities, Inc. (Dated 6/30/22, Repurchase Value $40,202,000, collateralized by U.S. Treasury Note/Bond 0.375%–1.875%, 12/31/25–2/15/32, with a value of $41,004,000) | 1.500% | 7/1/22 | 40,200 | 40,200 | ||
HSBC Bank USA (Dated 6/30/22, Repurchase Value $200,000, collateralized by Fannie Mae 3.500%, 4/1/30, with a value of $204,000) | 1.550% | 7/1/22 | 200 | 200 | ||
HSBC Bank USA (Dated 6/30/22, Repurchase Value $9,900,000, collateralized by U.S. Treasury Note/Bond 0.500%–2.375%, 5/15/27–9/30/28, with a value of $10,098,000) | 1.470% | 7/1/22 | 9,900 | 9,900 | ||
JP Morgan Securities LLC (Dated 6/30/22, Repurchase Value $200,000, collateralized by U.S. Treasury Note/Bond 2.875%–3.125%, 8/15/44–11/15/46, with a value of $204,000) | 1.480% | 7/1/22 | 200 | 200 | ||
Natixis SA (Dated 6/30/22, Repurchase Value $212,509,000, collateralized by Fannie Mae 0.000%, 7/15/28, Federal Home Loan Bank 2.590%–3.000%, 2/24/37–1/27/42, Freddie Mac 0.000%, 9/15/29, U.S. Treasury Bill 0.000%, 12/22/22, and U.S. Treasury Note/Bond 0.250%–3.000%, 11/15/23–5/31/29, with a value of $216,750,000) | 1.450% | 7/1/22 | 212,500 | 212,500 | ||
NatWest Markets plc (Dated 6/30/22, Repurchase Value $38,502,000, collateralized by U.S. Treasury Note/Bond 2.500%–3.250%, 5/15/42–2/15/45, with a value of $39,270,000) | 1.480% | 7/1/22 | 38,500 | 38,500 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Nomura International plc (Dated 6/30/22, Repurchase Value $5,000,000, collateralized by U.S. Treasury Note/Bond 3.375%, 5/15/44, with a value of $5,100,000) | 1.480% | 7/1/22 | 5,000 | 5,000 | ||
RBC Capital Markets LLC (Dated 6/30/22, Repurchase Value $66,803,000, collateralized by Freddie Mac 3.500%, 3/1/43, U.S. Treasury Bill 0.000%, 12/29/22, and U.S. Treasury Note/Bond 0.375%, 4/15/24, with a value of $68,136,000) | 1.530% | 7/1/22 | 66,800 | 66,800 | ||
Societe Generale (Dated 6/30/22, Repurchase Value $13,001,000, collateralized by Fannie Mae 4.000%, 7/1/49–7/1/56, with a value of $13,260,000) | 1.520% | 7/1/22 | 13,000 | 13,000 | ||
391,500 | ||||||
U.S. Government and Agency Obligations (2.3%) | ||||||
Federal Home Loan Banks Discount Notes | 1.371% | 7/27/22 | 350,000 | 349,619 | ||
Federal Home Loan Banks Discount Notes | 1.483%–1.498% | 8/10/22 | 333,000 | 332,406 | ||
United States Treasury Bill | 1.165%–1.171% | 7/28/22 | 350,000 | 349,740 | ||
United States Treasury Bill | 1.219% | 8/9/22 | 175,000 | 174,761 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
United States Treasury Bill | 0.448%–0.690% | 12/29/22 | 185,000 | 182,726 | ||
1,389,252 | ||||||
Total Temporary Cash Investments (Cost $2,025,460) | 2,023,586 | |||||
Total Investments (102.1%) (Cost $58,236,385) | 60,776,216 | |||||
Other Assets and Liabilities—Net (-2.1%) | (1,234,039) | |||||
Net Assets (100%) | 59,542,177 | |||||
Cost is in $000. |
1 | Securities with a value of $6,118,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $33,958,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
3 | Securities with a value of $25,647,000 have been segregated as initial margin for open centrally cleared swap contracts. |
4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
5 | 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. |
6 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2022. |
7 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the aggregate value was $7,583,040,000, representing 12.7% of net assets. |
8 | 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. |
9 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
10 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
11 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
12 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
13 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $228,521,000. |
14 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
15 | Collateral of $242,840,000 was received for securities on loan, of which $242,834,000 is held in Vanguard Market Liquidity Fund and $6,000 is held in cash. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
CLO—Collaterized Loan Obligation. | |
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 | ||||
2-Year U.S. Treasury Note | September 2022 | 300 | 63,005 | 7 |
5-Year U.S. Treasury Note | September 2022 | 3,919 | 439,908 | (3,189) |
10-Year U.S. Treasury Note | September 2022 | 1,052 | 124,695 | (961) |
(4,143) | ||||
Short Futures Contracts | ||||
Ultra 10-Year U.S. Treasury Note | September 2022 | (39) | (4,968) | (33) |
Ultra Long U.S. Treasury Bond | September 2022 | (175) | (27,010) | 96 |
63 | ||||
(4,080) |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount (000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) | |
Credit Protection Sold | ||||||
CDX-NA-IG-S38-V1 | 6/21/27 | USD | 812,985 | 1.000 | (98) | (7,496) |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
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. 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.
D. 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.
E. 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.
F. 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).
G. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting
arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
H. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of June 30, 2022, 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 | — | 8,208,617 | — | 8,208,617 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 974,671 | — | 974,671 |
Corporate Bonds | — | 25,155,858 | — | 25,155,858 |
Sovereign Bonds | — | 565,913 | — | 565,913 |
Taxable Municipal Bonds | — | 1,865,576 | — | 1,865,576 |
Common Stocks | 21,981,995 | — | — | 21,981,995 |
Temporary Cash Investments | 242,834 | 1,780,752 | — | 2,023,586 |
Total | 22,224,829 | 38,551,387 | — | 60,776,216 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 103 | — | — | 103 |
Liabilities | ||||
Futures Contracts1 | 4,183 | — | — | 4,183 |
Swap Contracts | 7,4961 | — | — | 7,496 |
Total | 11,679 | — | — | 11,679 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |