Vanguard® Global Wellington Fund
Schedule of Investments (unaudited)
As of May 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | |||||
Common Stocks (64.5%) | ||||||
Austria (0.6%) | ||||||
Erste Group Bank AG | 262,163 | 10,859 | ||||
Canada (0.8%) | ||||||
Dollarama Inc. | 232,205 | 10,156 | ||||
Suncor Energy Inc. | 156,251 | 3,609 | ||||
13,765 | ||||||
Finland (0.3%) | ||||||
* | Nokia OYJ | 894,534 | 4,668 | |||
France (4.3%) | ||||||
Safran SA | 99,139 | 14,802 | ||||
Arkema SA | 87,969 | 11,655 | ||||
BNP Paribas SA | 154,557 | 10,641 | ||||
Engie SA | 682,304 | 10,197 | ||||
TOTAL SE | 215,679 | 10,059 | ||||
Vinci SA | 78,380 | 8,910 | ||||
1 | Amundi SA | 96,928 | 8,617 | |||
74,881 | ||||||
Germany (0.2%) | ||||||
Bayerische Motoren Werke AG | 39,649 | 4,209 | ||||
Japan (5.7%) | ||||||
Tokio Marine Holdings Inc. | 344,597 | 16,151 | ||||
Nippon Telegraph & Telephone Corp. | 537,244 | 14,333 | ||||
Astellas Pharma Inc. | 860,800 | 13,735 | ||||
Isuzu Motors Ltd. | 943,614 | 12,404 | ||||
Marui Group Co. Ltd. | 517,665 | 9,921 | ||||
Nihon Unisys Ltd. | 244,500 | 7,210 | ||||
Honda Motor Co. Ltd. | 227,300 | 7,103 | ||||
Mitsubishi UFJ Financial Group Inc. | 1,216,922 | 6,886 | ||||
Sumitomo Mitsui Financial Group Inc. | 180,701 | 6,606 | ||||
Mitsubishi Estate Co. Ltd. | 329,900 | 5,412 | ||||
99,761 | ||||||
Netherlands (0.2%) | ||||||
ING Groep NV | 239,561 | 3,352 | ||||
South Korea (1.1%) | ||||||
Samsung Electronics Co. Ltd. | 266,003 | 19,094 | ||||
Spain (1.5%) | ||||||
Iberdrola SA | 1,101,202 | 14,769 | ||||
CaixaBank SA | 3,115,435 | 10,801 | ||||
25,570 |
Shares | Market Value ($000) | |||||
Sweden (2.4%) | ||||||
Autoliv Inc. | 198,192 | 21,014 | ||||
Lundin Energy AB | 375,428 | 12,872 | ||||
Alfa Laval AB | 208,080 | 7,760 | ||||
41,646 | ||||||
Switzerland (3.3%) | ||||||
Novartis AG (Registered) | 268,417 | 23,712 | ||||
Nestle SA (Registered) | 140,773 | 17,388 | ||||
Zurich Insurance Group AG | 20,301 | 8,539 | ||||
Julius Baer Group Ltd. | 122,718 | 8,338 | ||||
57,977 | ||||||
Taiwan (1.4%) | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,154,175 | 24,506 | ||||
United Kingdom (4.9%) | ||||||
2 | AstraZeneca plc ADR | 561,265 | 31,863 | |||
WPP plc | 896,020 | 12,377 | ||||
Linde plc | 31,777 | 9,572 | ||||
Prudential plc | 435,592 | 9,268 | ||||
Diageo plc | 181,222 | 8,739 | ||||
BAE Systems plc | 748,695 | 5,576 | ||||
Rotork plc | 950,835 | 4,554 | ||||
Derwent London plc | 87,634 | 4,302 | ||||
86,251 | ||||||
United States (37.8%) | ||||||
Johnson & Johnson | 186,504 | 31,566 | ||||
United Parcel Service Inc. Class B | 144,421 | 30,993 | ||||
Microsoft Corp. | 121,394 | 30,310 | ||||
Bank of America Corp. | 705,335 | 29,899 | ||||
Cisco Systems Inc. | 523,030 | 27,668 | ||||
Comcast Corp. Class A | 434,269 | 24,901 | ||||
Chubb Ltd. | 134,503 | 22,864 | ||||
Northrop Grumman Corp. | 61,836 | 22,624 | ||||
Medtronic plc | 161,532 | 20,448 | ||||
Mondelez International Inc. Class A | 298,179 | 18,943 | ||||
American Express Co. | 118,235 | 18,933 | ||||
Sempra Energy | 138,764 | 18,801 | ||||
Eli Lilly & Co. | 88,761 | 17,729 | ||||
JPMorgan Chase & Co. | 107,912 | 17,723 | ||||
* | General Motors Co. | 294,427 | 17,462 | |||
Merck & Co. Inc. | 227,316 | 17,251 | ||||
Raytheon Technologies Corp. | 187,208 | 16,607 | ||||
Texas Instruments Inc. | 83,601 | 15,869 | ||||
Deere & Co. | 43,602 | 15,745 | ||||
UnitedHealth Group Inc. | 36,366 | 14,980 | ||||
Baxter International Inc. | 181,919 | 14,939 | ||||
Broadcom Inc. | 31,036 | 14,659 | ||||
Lockheed Martin Corp. | 37,152 | 14,199 | ||||
PepsiCo Inc. | 94,550 | 13,988 | ||||
PNC Financial Services Group Inc. | 70,723 | 13,768 | ||||
McDonald's Corp. | 57,850 | 13,531 | ||||
Colgate-Palmolive Co. | 152,037 | 12,738 | ||||
TJX Cos. Inc. | 174,883 | 11,812 | ||||
Pioneer Natural Resources Co. | 74,103 | 11,278 | ||||
American Tower Corp. | 40,780 | 10,418 | ||||
General Dynamics Corp. | 54,855 | 10,417 | ||||
* | Alphabet Inc. Class A | 3,749 | 8,836 |
Shares | Market Value ($000) | |||||
Union Pacific Corp. | 38,347 | 8,618 | ||||
Duke Energy Corp. | 84,284 | 8,447 | ||||
Caterpillar Inc. | 34,553 | 8,330 | ||||
KLA Corp. | 23,567 | 7,468 | ||||
RenaissanceRe Holdings Ltd. | 39,558 | 6,097 | ||||
Verizon Communications Inc. | 106,229 | 6,001 | ||||
Marsh & McLennan Cos. Inc. | 38,752 | 5,361 | ||||
Gilead Sciences Inc. | 80,805 | 5,342 | ||||
BlackRock Inc. | 5,959 | 5,226 | ||||
Intel Corp. | 75,924 | 4,337 | ||||
Accenture plc Class A | 14,436 | 4,073 | ||||
Honeywell International Inc. | 14,892 | 3,439 | ||||
Schneider Electric SE | 20,840 | 3,317 | ||||
Abbott Laboratories | 21,008 | 2,451 | ||||
660,406 | ||||||
Total Common Stocks (Cost $834,448) | 1,126,945 | |||||
Coupon | Maturity Date | Face Amount ($000) | ||||
U.S. Government and Agency Obligations (5.3%) | ||||||
3,4 | Fannie Mae Pool | 3.070% | 2/1/25 | 150 | 162 | |
3,4 | Fannie Mae REMICS | 2.000% | 9/25/40 | 81 | 83 | |
3,4 | Fannie Mae REMICS | 2.500% | 5/25/45–3/25/53 | 733 | 761 | |
3,4 | Fannie Mae REMICS | 3.000% | 2/25/49 | 164 | 172 | |
3,4 | Fannie Mae REMICS | 3.500% | 6/25/44–6/25/59 | 1,637 | 1,746 | |
3,4 | Freddie Mac REMICS | 1.750% | 9/15/42 | 835 | 852 | |
3,4 | Freddie Mac REMICS | 3.500% | 9/15/40–11/15/40 | 113 | 115 | |
3,4 | Freddie Mac REMICS | 4.000% | 12/15/39–8/15/40 | 781 | 863 | |
3 | Ginnie Mae REMICS | 2.750% | 9/20/44 | 138 | 141 | |
3,4,5 | UMBS Pool | 1.500% | 6/25/36 | 1,697 | 1,718 | |
3,4,5 | UMBS Pool | 2.000% | 6/25/36–7/25/51 | 4,850 | 4,930 | |
3,4,5 | UMBS Pool | 2.500% | 6/25/36–6/25/51 | 15,475 | 16,056 | |
3,4,5 | UMBS Pool | 3.000% | 6/25/51–7/25/51 | 7,100 | 7,416 | |
United States Treasury Note/Bond | 0.250% | 3/15/24–5/31/25 | 18,250 | 18,199 | ||
6 | United States Treasury Note/Bond | 0.125% | 3/31/23–2/15/24 | 20,285 | 20,258 | |
United States Treasury Note/Bond | 2.375% | 5/15/51 | 1,050 | 1,072 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 2,150 | 2,147 | ||
United States Treasury Note/Bond | 0.375% | 4/15/24–1/31/26 | 2,305 | 2,292 | ||
United States Treasury Note/Bond | 0.500% | 2/28/26 | 2,175 | 2,150 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 790 | 756 | ||
United States Treasury Note/Bond | 1.375% | 8/15/50 | 170 | 136 | ||
7 | United States Treasury Note/Bond | 1.625% | 11/15/50 | 1,250 | 1,070 | |
United States Treasury Note/Bond | 1.875% | 2/15/41–2/15/51 | 9,910 | 9,307 | ||
Total U.S. Government and Agency Obligations (Cost $92,145) | 92,402 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.9%) | ||||||
Bermuda (0.0%) | ||||||
1,3 | START Ireland Series 2019-1 | 4.089% | 3/15/44 | 151 | 153 | |
Canada (0.1%) | ||||||
1,3 | Chesapeake Funding II LLC Series 2018-2A | 3.230% | 8/15/30 | 279 | 282 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
1,3,8 | Ford Auto Securitization Trust Series 2019-AA | 2.354% | 6/15/23 | 710 | 591 | |
1,3,9 | Master Credit Card Trust II Series 2018-1A, 1M USD LIBOR + 0.490% | 0.587% | 7/21/24 | 765 | 766 | |
1,639 | ||||||
Cayman Islands (0.4%) | ||||||
1,3 | Horizon Aircraft Finance II Ltd. Series 2019-1 | 3.721% | 7/15/39 | 229 | 229 | |
1,3,9 | KKR CLO 16 Ltd., 3M USD LIBOR + 1.250% | 1.438% | 1/20/29 | 336 | 336 | |
1,3,9 | Madison Park Funding XVIII Ltd. Series 2015-18A, 3M USD LIBOR + 1.190% | 1.376% | 10/21/30 | 730 | 730 | |
1,3,9 | Madison Park Funding XXX Ltd. Series 2018-30A, 3M USD LIBOR + 0.750% | 0.934% | 4/15/29 | 1,400 | 1,399 | |
1,3,9 | Magnetite VII Ltd. Series 2012-7A, 3M USD LIBOR + 0.800% | 0.984% | 1/15/28 | 1,365 | 1,366 | |
1,3,5,9 | OHA Credit Funding 3 Ltd. Series 2019-3A, 3M USD LIBOR + 1.140% | 1.271% | 7/2/35 | 1,335 | 1,335 | |
1,3,5,9,10 | Rockland Park CLO Ltd. Series 2021-1A, 3M USD LIBOR + 1.120% | 1.251% | 4/20/34 | 1,600 | 1,600 | |
1,3,5,9,10 | Rockland Park CLO Ltd. Series 2021-1A, 3M USD LIBOR + 1.650% | 1.781% | 4/20/34 | 800 | 800 | |
7,795 | ||||||
United States (0.4%) | ||||||
1,3 | Aaset Trust Series 2019-1 | 3.844% | 5/15/39 | 205 | 204 | |
1,3 | Angel Oak Mortgage Trust I LLC Series 2018-3 | 3.649% | 9/25/48 | 163 | 164 | |
1,3 | Castlelake Aircraft Structured Trust Series 2019-1A | 3.967% | 4/15/39 | 217 | 217 | |
1,3 | CF Hippolyta LLC Series 2020-1 | 1.690% | 7/15/60 | 783 | 795 | |
1,3 | DB Master Finance LLC Series 2019-1A | 3.787% | 5/20/49 | 142 | 145 | |
1,3 | DB Master Finance LLC Series 2019-1A | 4.021% | 5/20/49 | 123 | 130 | |
1,3 | Domino's Pizza Master Issuer LLC Series 2021-1A | 2.662% | 4/25/51 | 525 | 534 | |
1,3 | Domino's Pizza Master Issuer LLC Series 2021-1A | 3.151% | 4/25/51 | 735 | 760 | |
3 | Ford Credit Auto Lease Trust Series 2021-A | 0.780% | 9/15/25 | 280 | 281 | |
1,3,4 | Freddie Mac STACR REMIC Trust Series 2021-DNA1 | 0.660% | 1/25/51 | 490 | 490 | |
3,4,9 | Freddie Mac Structured Agency Credit Risk Debt Notes Series 2016-DNA3, 1M USD LIBOR + 5.000% | 5.092% | 12/25/28 | 392 | 412 | |
3,4,9 | Freddie Mac Structured Agency Credit Risk Debt Notes Series 2017-DNA3, 1M USD LIBOR + 2.500% | 2.592% | 3/25/30 | 945 | 965 | |
1,3 | GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | 2.830% | 6/17/24 | 92 | 93 | |
1,3 | MMAF Equipment Finance LLC Series 2017-B | 2.210% | 10/17/22 | 8 | 8 | |
3 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 213 | 231 | |
1,3 | SoFi Consumer Loan Program Trust Series 2019-3 | 2.900% | 5/25/28 | 203 | 204 | |
1,3 | Towd Point Mortgage Trust Series 2018-1 | 3.000% | 1/25/58 | 162 | 165 | |
1,3 | Vantage Data Centers Issuer LLC Series 2019-1A | 3.188% | 7/15/44 | 191 | 199 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
1,3 | Vantage Data Centers LLC Series 2020-1A | 1.645% | 9/15/45 | 810 | 811 | |
6,808 | ||||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $16,239) | 16,395 | |||||
Corporate Bonds (20.8%) | ||||||
Australia (0.6%) | ||||||
1,3 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 3,150 | 3,102 | |
1,3 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 575 | 581 | |
1,3 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 2,020 | 1,940 | |
1,3 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 795 | 799 | |
1,3 | National Australia Bank Ltd. | 3.933% | 8/2/34 | 1,050 | 1,125 | |
1,3 | Scentre Group Trust 1 | 3.625% | 1/28/26 | 809 | 886 | |
1,3 | Scentre Group Trust 1 | 4.375% | 5/28/30 | 1,230 | 1,403 | |
9,836 | ||||||
Austria (0.1%) | ||||||
1,3 | JAB Holdings BV | 2.200% | 11/23/30 | 430 | 411 | |
1,3 | JAB Holdings BV | 3.750% | 5/28/51 | 805 | 809 | |
1,220 | ||||||
Belgium (0.3%) | ||||||
3 | Anheuser-Busch Cos. LLC | 4.900% | 2/1/46 | 925 | 1,114 | |
3,11 | Anheuser-Busch InBev SA/NV | 2.000% | 3/17/28 | 217 | 294 | |
3,11 | Anheuser-Busch InBev SA/NV | 2.875% | 4/2/32 | 800 | 1,172 | |
3,11 | Anheuser-Busch InBev SA/NV | 2.750% | 3/17/36 | 350 | 507 | |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 670 | 770 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 170 | 197 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.500% | 6/1/50 | 770 | 891 | ||
4,945 | ||||||
Canada (0.6%) | ||||||
8 | Bank of Montreal | 2.850% | 3/6/24 | 3,185 | 2,767 | |
3,8 | Bell Canada | 3.350% | 3/22/23 | 975 | 838 | |
9 | Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720% | 0.910% | 6/16/22 | 570 | 574 | |
8 | Canadian Imperial Bank of Commerce | 3.290% | 1/15/24 | 3,140 | 2,754 | |
Emera US Finance LP | 2.700% | 6/15/21 | 400 | 400 | ||
Fortis Inc. | 3.055% | 10/4/26 | 775 | 834 | ||
Nutrien Ltd. | 4.125% | 3/15/35 | 650 | 732 | ||
3,8 | Royal Bank of Canada | 2.949% | 5/1/23 | 1,875 | 1,619 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 400 | 463 | ||
10,981 | ||||||
China (0.0%) | ||||||
1,3 | Sinopec Group Overseas Development 2017 Ltd. | 3.000% | 4/12/22 | 1,025 | 1,045 | |
Denmark (0.4%) | ||||||
11 | Danske Bank A/S | 0.500% | 8/27/25 | 2,450 | 3,014 | |
1,3 | Danske Bank A/S | 1.621% | 9/11/26 | 1,320 | 1,318 | |
3,12 | Danske Bank A/S | 2.250% | 1/14/28 | 1,440 | 2,091 | |
6,423 | ||||||
France (1.4%) | ||||||
3,11 | Airbus SE | 2.375% | 4/7/32 | 600 | 837 | |
3,11 | Airbus SE | 2.375% | 6/9/40 | 700 | 958 | |
3,11 | AXA SA | 5.125% | 7/4/43 | 600 | 807 | |
1,3 | BNP Paribas SA | 2.819% | 11/19/25 | 470 | 497 | |
1,3 | BNP Paribas SA | 2.219% | 6/9/26 | 1,095 | 1,133 | |
3,11 | BNP Paribas SA | 0.125% | 9/4/26 | 600 | 723 | |
3,11 | BNP Paribas SA | 2.125% | 1/23/27 | 1,800 | 2,365 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,11 | BPCE SA | 1.125% | 1/18/23 | 700 | 871 | |
3,11 | BPCE SA | 0.500% | 9/15/27 | 2,700 | 3,292 | |
1,3 | BPCE SA | 3.250% | 1/11/28 | 525 | 563 | |
11 | Cie de Saint-Gobain | 2.375% | 10/4/27 | 1,000 | 1,379 | |
3,11 | Credit Mutuel Arkea SA | 1.625% | 4/15/26 | 1,500 | 1,940 | |
1,3 | Danone SA | 2.947% | 11/2/26 | 555 | 598 | |
3,11 | Engie SA | 0.000% | 3/4/27 | 1,300 | 1,570 | |
3,11 | Orange SA | 1.000% | 5/12/25 | 1,300 | 1,648 | |
3,11 | RCI Banque SA | 0.750% | 9/26/22 | 500 | 616 | |
3,11 | RCI Banque SA | 1.375% | 3/8/24 | 1,400 | 1,760 | |
3,11 | RCI Banque SA | 1.625% | 4/11/25 | 2,325 | 2,959 | |
24,516 | ||||||
Germany (0.9%) | ||||||
1,3 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 1,000 | 1,121 | |
1,3 | Bayer US Finance LLC | 3.375% | 10/8/24 | 770 | 832 | |
3,12 | E.ON International Finance BV | 4.750% | 1/31/34 | 200 | 358 | |
3,12 | E.ON International Finance BV | 5.875% | 10/30/37 | 250 | 514 | |
1,3 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 650 | 667 | |
3,12 | Volkswagen Financial Services NV | 0.875% | 2/20/25 | 700 | 987 | |
3,11 | Volkswagen International Finance NV | 0.875% | 9/22/28 | 900 | 1,130 | |
3,11 | Volkswagen International Finance NV | 1.250% | 9/23/32 | 800 | 1,009 | |
3,11 | Volkswagen International Finance NV | 1.500% | 1/21/41 | 300 | 351 | |
3,11 | Volkswagen Leasing GmbH | 2.625% | 1/15/24 | 425 | 554 | |
3,11 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 3,100 | 3,950 | |
3,11 | Vonovia Finance BV | 1.625% | 10/7/39 | 600 | 745 | |
11 | Wintershall Dea Finance BV | 0.840% | 9/25/25 | 1,300 | 1,616 | |
11 | Wintershall Dea Finance BV | 1.823% | 9/25/31 | 1,400 | 1,741 | |
15,575 | ||||||
Ireland (0.7%) | ||||||
AerCap Ireland Capital DAC | 3.875% | 1/23/28 | 2,665 | 2,820 | ||
1,3 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 939 | 924 | |
1,3 | Avolon Holdings Funding Ltd. | 4.375% | 5/1/26 | 646 | 697 | |
1,3 | Avolon Holdings Funding Ltd. | 2.750% | 2/21/28 | 2,030 | 1,979 | |
11 | CRH Finance DAC | 3.125% | 4/3/23 | 1,634 | 2,114 | |
3,11 | CRH SMW Finance DAC | 1.250% | 11/5/26 | 1,200 | 1,546 | |
1,3 | Park Aerospace Holdings Ltd. | 5.500% | 2/15/24 | 1,716 | 1,887 | |
11,967 | ||||||
Italy (0.3%) | ||||||
1,3 | Enel Finance International NV | 3.625% | 5/25/27 | 880 | 968 | |
1,3 | Enel Finance International NV | 4.750% | 5/25/47 | 1,030 | 1,237 | |
1,3,5 | UniCredit SpA | 1.982% | 6/3/27 | 1,505 | 1,505 | |
1,3,5 | UniCredit SpA | 3.127% | 6/3/32 | 1,130 | 1,127 | |
4,837 | ||||||
Japan (0.1%) | ||||||
1,3 | NTT Finance Corp. | 1.162% | 4/3/26 | 1,180 | 1,177 | |
1,3 | NTT Finance Corp. | 2.065% | 4/3/31 | 265 | 264 | |
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 200 | 196 | ||
1,637 | ||||||
Mexico (0.0%) | ||||||
America Movil SAB de CV | 3.625% | 4/22/29 | 275 | 301 | ||
America Movil SAB de CV | 6.375% | 3/1/35 | 350 | 492 | ||
793 | ||||||
Netherlands (0.4%) | ||||||
1,3 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 1,090 | 1,078 | |
3,12 | Cooperatieve Rabobank UA | 4.625% | 5/23/29 | 100 | 168 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
11 | Euronext NV | 1.125% | 6/12/29 | 1,125 | 1,425 | |
3,11 | Heineken NV | 1.500% | 10/3/29 | 1,325 | 1,753 | |
11 | ING Groep NV | 0.250% | 2/18/29 | 2,600 | 3,093 | |
Shell International Finance BV | 4.000% | 5/10/46 | 300 | 342 | ||
7,859 | ||||||
Norway (0.1%) | ||||||
1,3 | Aker BP ASA | 4.000% | 1/15/31 | 1,090 | 1,177 | |
Singapore (0.0%) | ||||||
1,3 | BOC Aviation USA Corp. | 1.625% | 4/29/24 | 645 | 650 | |
South Korea (0.0%) | ||||||
1,3 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 200 | 212 | |
Spain (0.2%) | ||||||
3,11 | Iberdrola Finanzas SA | 1.250% | 10/28/26 | 1,300 | 1,684 | |
Telefonica Emisiones SA | 4.665% | 3/6/38 | 1,055 | 1,206 | ||
2,890 | ||||||
Switzerland (0.4%) | ||||||
1,3 | Alcon Finance Corp. | 3.000% | 9/23/29 | 1,280 | 1,334 | |
1,3 | Alcon Finance Corp. | 2.600% | 5/27/30 | 625 | 632 | |
3,11 | Credit Suisse Group AG | 1.250% | 7/17/25 | 675 | 844 | |
1,3 | Credit Suisse Group AG | 3.091% | 5/14/32 | 1,740 | 1,767 | |
11 | UBS Group AG | 0.250% | 2/24/28 | 1,600 | 1,922 | |
6,499 | ||||||
United Arab Emirates (0.1%) | ||||||
1,3 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 2,355 | 2,325 | |
United Kingdom (2.2%) | ||||||
AstraZeneca plc | 4.000% | 1/17/29 | 755 | 862 | ||
1,3 | BAE Systems plc | 3.400% | 4/15/30 | 200 | 214 | |
3,11 | Barclays plc | 1.375% | 1/24/26 | 1,675 | 2,122 | |
Barclays plc | 4.337% | 1/10/28 | 1,380 | 1,546 | ||
3 | Barclays plc | 4.972% | 5/16/29 | 1,875 | 2,176 | |
Barclays plc | 2.645% | 6/24/31 | 815 | 813 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 1,240 | 1,319 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 475 | 517 | ||
3,8 | BP Capital Markets plc | 3.470% | 5/15/25 | 1,350 | 1,205 | |
1,3 | CK Hutchison International 17 II Ltd. | 2.750% | 3/29/23 | 1,275 | 1,325 | |
3,12 | CPUK Finance Ltd. | 3.588% | 8/28/25 | 1,400 | 2,140 | |
3,11 | FCE Bank plc | 0.869% | 9/13/21 | 1,800 | 2,196 | |
3,12 | Heathrow Funding Ltd. | 2.750% | 10/13/29 | 650 | 952 | |
3,12 | Heathrow Funding Ltd. | 2.750% | 8/9/49 | 250 | 344 | |
9 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 1.155% | 5/18/24 | 245 | 248 | |
3,12 | HSBC Holdings plc | 2.256% | 11/13/26 | 600 | 884 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 580 | 582 | ||
12 | HSBC Holdings plc | 1.750% | 7/24/27 | 2,000 | 2,858 | |
3 | HSBC Holdings plc | 4.041% | 3/13/28 | 1,160 | 1,290 | |
HSBC Holdings plc | 2.804% | 5/24/32 | 935 | 945 | ||
3,11 | Natwest Group plc | 1.750% | 3/2/26 | 3,125 | 4,011 | |
12 | Natwest Group plc | 3.622% | 8/14/30 | 1,475 | 2,232 | |
Prudential plc | 3.125% | 4/14/30 | 540 | 576 | ||
1,3 | Sky Ltd. | 3.125% | 11/26/22 | 725 | 755 | |
1,3 | Standard Chartered plc | 2.744% | 9/10/22 | 1,095 | 1,102 | |
1,3 | Standard Chartered plc | 0.991% | 1/12/25 | 815 | 815 | |
3,11 | Vodafone Group plc | 1.625% | 11/24/30 | 2,675 | 3,540 | |
Vodafone Group plc | 5.250% | 5/30/48 | 400 | 507 | ||
38,076 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
United States (12.0%) | ||||||
AbbVie Inc. | 3.800% | 3/15/25 | 1,060 | 1,164 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 275 | 309 | ||
AbbVie Inc. | 4.750% | 3/15/45 | 225 | 274 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 675 | 778 | ||
3 | Alabama Power Co. | 4.300% | 7/15/48 | 255 | 307 | |
Altria Group Inc. | 5.800% | 2/14/39 | 560 | 677 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 400 | 381 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 300 | 379 | ||
American Electric Power Co. Inc. | 3.200% | 11/13/27 | 950 | 1,032 | ||
11 | American Express Credit Corp. | 0.625% | 11/22/21 | 1,900 | 2,326 | |
12 | American Honda Finance Corp. | 0.750% | 11/25/26 | 1,855 | 2,587 | |
11 | American International Group Inc. | 1.500% | 6/8/23 | 975 | 1,222 | |
American International Group Inc. | 4.250% | 3/15/29 | 1,072 | 1,225 | ||
American International Group Inc. | 3.400% | 6/30/30 | 785 | 849 | ||
American International Group Inc. | 4.500% | 7/16/44 | 73 | 85 | ||
American International Group Inc. | 4.750% | 4/1/48 | 45 | 55 | ||
American International Group Inc. | 4.375% | 6/30/50 | 570 | 663 | ||
American Tower Corp. | 5.000% | 2/15/24 | 380 | 424 | ||
American Tower Corp. | 4.400% | 2/15/26 | 300 | 339 | ||
11 | American Tower Corp. | 0.450% | 1/15/27 | 3,120 | 3,798 | |
Amgen Inc. | 3.625% | 5/22/24 | 275 | 298 | ||
Amgen Inc. | 4.663% | 6/15/51 | 350 | 431 | ||
Amgen Inc. | 2.770% | 9/1/53 | 590 | 532 | ||
Anthem Inc. | 3.500% | 8/15/24 | 275 | 298 | ||
Anthem Inc. | 2.250% | 5/15/30 | 1,010 | 1,004 | ||
Anthem Inc. | 4.375% | 12/1/47 | 500 | 586 | ||
11 | AT&T Inc. | 2.050% | 5/19/32 | 475 | 635 | |
11 | AT&T Inc. | 3.150% | 9/4/36 | 575 | 834 | |
11 | AT&T Inc. | 2.600% | 5/19/38 | 425 | 579 | |
1,3 | AT&T Inc. | 3.500% | 9/15/53 | 2,620 | 2,497 | |
1,3 | Athene Global Funding | 2.500% | 3/24/28 | 2,555 | 2,603 | |
3 | Bank of America Corp. | 3.300% | 1/11/23 | 570 | 597 | |
Bank of America Corp. | 1.734% | 7/22/27 | 1,325 | 1,342 | ||
3 | Bank of America Corp. | 3.593% | 7/21/28 | 1,885 | 2,077 | |
3 | Bank of America Corp. | 4.271% | 7/23/29 | 1,640 | 1,872 | |
3 | Bank of America Corp. | 2.496% | 2/13/31 | 770 | 776 | |
Bank of America Corp. | 2.687% | 4/22/32 | 1,165 | 1,183 | ||
Bank of America Corp. | 3.311% | 4/22/42 | 635 | 651 | ||
3,9 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 1.235% | 10/30/23 | 415 | 420 | |
11 | Becton Dickinson Euro Finance Sarl | 1.213% | 2/12/36 | 595 | 704 | |
Boeing Co. | 1.433% | 2/4/24 | 1,145 | 1,149 | ||
Boeing Co. | 2.196% | 2/4/26 | 1,145 | 1,150 | ||
Boeing Co. | 3.250% | 3/1/28 | 632 | 662 | ||
Boeing Co. | 3.450% | 11/1/28 | 230 | 243 | ||
3 | Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 415 | 407 | |
11 | Booking Holdings Inc. | 0.100% | 3/8/25 | 485 | 592 | |
11 | Booking Holdings Inc. | 0.500% | 3/8/28 | 845 | 1,031 | |
11 | BorgWarner Inc. | 1.000% | 5/19/31 | 875 | 1,061 | |
1,3 | Boston Gas Co. | 3.001% | 8/1/29 | 130 | 136 | |
11 | Boston Scientific Corp. | 0.625% | 12/1/27 | 1,000 | 1,230 | |
Boston Scientific Corp. | 4.000% | 3/1/29 | 60 | 68 | ||
Boston Scientific Corp. | 4.550% | 3/1/39 | 600 | 713 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 1,090 | 1,060 | ||
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 890 | 968 | ||
Brixmor Operating Partnership LP | 2.250% | 4/1/28 | 965 | 959 | ||
Broadcom Inc. | 4.700% | 4/15/25 | 1,510 | 1,702 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
1,3 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 965 | 1,083 | |
1,3 | Cargill Inc. | 4.760% | 11/23/45 | 340 | 430 | |
Carrier Global Corp. | 2.722% | 2/15/30 | 648 | 666 | ||
Carrier Global Corp. | 3.377% | 4/5/40 | 250 | 255 | ||
Charter Communications Operating LLC | 5.050% | 3/30/29 | 595 | 693 | ||
Charter Communications Operating LLC | 2.300% | 2/1/32 | 1,325 | 1,247 | ||
Charter Communications Operating LLC | 6.384% | 10/23/35 | 355 | 464 | ||
Charter Communications Operating LLC | 5.375% | 5/1/47 | 110 | 128 | ||
Charter Communications Operating LLC | 5.125% | 7/1/49 | 90 | 103 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 118 | 130 | ||
Charter Communications Operating LLC | 3.700% | 4/1/51 | 610 | 574 | ||
Cigna Corp. | 4.375% | 10/15/28 | 420 | 485 | ||
Cigna Corp. | 2.400% | 3/15/30 | 310 | 313 | ||
Citigroup Inc. | 4.600% | 3/9/26 | 535 | 614 | ||
Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 475 | 522 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 325 | 334 | ||
Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 535 | 616 | ||
Comcast Corp. | 3.950% | 10/15/25 | 250 | 281 | ||
11 | Comcast Corp. | 0.250% | 5/20/27 | 1,050 | 1,283 | |
12 | Comcast Corp. | 1.500% | 2/20/29 | 630 | 890 | |
Comcast Corp. | 6.500% | 11/15/35 | 885 | 1,263 | ||
Comcast Corp. | 4.000% | 3/1/48 | 40 | 45 | ||
Comcast Corp. | 4.700% | 10/15/48 | 140 | 174 | ||
Comcast Corp. | 3.999% | 11/1/49 | 120 | 136 | ||
Comcast Corp. | 4.049% | 11/1/52 | 20 | 23 | ||
Comcast Corp. | 2.650% | 8/15/62 | 25 | 22 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 770 | 829 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 355 | 381 | ||
CommonSpirit Health | 4.187% | 10/1/49 | 435 | 478 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 35 | 38 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 245 | 282 | ||
Conagra Brands Inc. | 4.600% | 11/1/25 | 200 | 229 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 640 | 623 | ||
3 | Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 75 | 103 | |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 290 | 350 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 115 | 119 | ||
3 | Cottage Health Obligated Group | 3.304% | 11/1/49 | 130 | 135 | |
1,3 | Cox Communications Inc. | 3.500% | 8/15/27 | 2,665 | 2,917 | |
1,3 | Cox Communications Inc. | 4.800% | 2/1/35 | 100 | 118 | |
Crown Castle International Corp. | 2.100% | 4/1/31 | 2,475 | 2,362 | ||
Crown Castle International Corp. | 2.900% | 4/1/41 | 420 | 390 | ||
CSX Corp. | 4.300% | 3/1/48 | 495 | 576 | ||
CVS Health Corp. | 2.875% | 6/1/26 | 1,455 | 1,562 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 289 | 331 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 235 | 262 | ||
CVS Health Corp. | 5.050% | 3/25/48 | 125 | 155 | ||
11 | Danaher Corp. | 2.100% | 9/30/26 | 1,550 | 2,077 | |
Dignity Health | 3.812% | 11/1/24 | 594 | 646 | ||
Dignity Health | 4.500% | 11/1/42 | 166 | 192 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 186 | 205 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Discovery Communications LLC | 3.625% | 5/15/30 | 995 | 1,065 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 588 | 654 | ||
1,3 | Discovery Communications LLC | 4.000% | 9/15/55 | 497 | 495 | |
Dominion Energy Inc. | 2.715% | 8/15/21 | 140 | 141 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 156 | 216 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 113 | 145 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 300 | 400 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 230 | 287 | ||
Eastern Energy Gas Holdings LLC | 4.600% | 12/15/44 | 660 | 765 | ||
Energy Transfer LP | 4.900% | 3/15/35 | 1,075 | 1,201 | ||
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 535 | 579 | ||
1,3 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 150 | 152 | |
1,3 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 825 | 811 | |
1,3 | ERAC USA Finance LLC | 3.300% | 12/1/26 | 300 | 327 | |
1,3 | ERAC USA Finance LLC | 4.500% | 2/15/45 | 455 | 536 | |
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 235 | 239 | ||
3 | Evergy Metro Inc. | 2.250% | 6/1/30 | 245 | 246 | |
Exxon Mobil Corp. | 2.275% | 8/16/26 | 1,075 | 1,138 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 190 | 197 | ||
FedEx Corp. | 4.100% | 2/1/45 | 85 | 94 | ||
FedEx Corp. | 4.750% | 11/15/45 | 227 | 274 | ||
FedEx Corp. | 4.550% | 4/1/46 | 117 | 137 | ||
FedEx Corp. | 4.050% | 2/15/48 | 33 | 36 | ||
11 | Fidelity National Information Services Inc. | 1.500% | 5/21/27 | 1,820 | 2,347 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 555 | 585 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 355 | 386 | ||
11 | Fiserv Inc. | 1.625% | 7/1/30 | 1,125 | 1,463 | |
12 | Fiserv Inc. | 3.000% | 7/1/31 | 775 | 1,189 | |
11 | General Mills Inc. | 0.450% | 1/15/26 | 1,275 | 1,576 | |
General Motors Co. | 4.200% | 10/1/27 | 475 | 531 | ||
General Motors Co. | 5.000% | 10/1/28 | 935 | 1,089 | ||
1,3 | Genting New York LLC | 3.300% | 2/15/26 | 1,668 | 1,673 | |
Georgia Power Co. | 4.300% | 3/15/42 | 860 | 991 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 1,005 | 914 | ||
3 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 1,375 | 1,482 | |
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 3,610 | 3,612 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 885 | 892 | ||
1,3 | Gray Oak Pipeline LLC | 2.600% | 10/15/25 | 436 | 450 | |
1,3 | Gray Oak Pipeline LLC | 3.450% | 10/15/27 | 70 | 73 | |
HCA Inc. | 5.250% | 6/15/49 | 575 | 711 | ||
Healthpeak Properties Inc. | 3.500% | 7/15/29 | 335 | 367 | ||
Hess Corp. | 7.300% | 8/15/31 | 1,750 | 2,325 | ||
Hess Corp. | 5.600% | 2/15/41 | 425 | 515 | ||
1,3 | Hyundai Capital America | 0.800% | 4/3/23 | 1,385 | 1,387 | |
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 1,425 | 1,333 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 550 | 605 | ||
International Business Machines Corp. | 1.950% | 5/15/30 | 1,510 | 1,482 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 420 | 488 | ||
International Paper Co. | 4.350% | 8/15/48 | 605 | 720 | ||
1,3 | ITC Holdings Corp. | 2.950% | 5/14/30 | 965 | 1,004 | |
3 | John Deere Capital Corp. | 3.450% | 3/13/25 | 985 | 1,083 | |
3 | Johnson Controls International plc | 4.950% | 7/2/64 | 692 | 871 | |
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 1,910 | 1,929 | ||
3 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 975 | 1,093 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 45 | 59 | ||
1,3 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 400 | 423 | |
Kroger Co. | 4.450% | 2/1/47 | 330 | 376 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Kroger Co. | 5.400% | 1/15/49 | 290 | 378 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 1,845 | 1,781 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 1,010 | 1,178 | ||
1,3 | Marvell Technology Inc. | 2.950% | 4/15/31 | 1,130 | 1,145 | |
1,3 | Massachusetts Mutual Life Insurance Co. | 3.375% | 4/15/50 | 550 | 551 | |
McCormick & Co. Inc. | 2.500% | 4/15/30 | 180 | 183 | ||
3 | McDonald's Corp. | 4.450% | 9/1/48 | 475 | 563 | |
3 | McDonald's Corp. | 3.625% | 9/1/49 | 50 | 53 | |
11 | Medtronic Global Holdings SCA | 1.125% | 3/7/27 | 1,595 | 2,043 | |
11 | Medtronic Global Holdings SCA | 1.625% | 3/7/31 | 785 | 1,046 | |
3 | Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 235 | 232 | |
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 150 | 183 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 545 | 606 | ||
3 | Mercy Health | 3.555% | 8/1/27 | 410 | 446 | |
3 | Mercy Health | 4.302% | 7/1/28 | 370 | 429 | |
1,3 | Microchip Technology Inc. | 0.972% | 2/15/24 | 1,630 | 1,634 | |
Microsoft Corp. | 2.921% | 3/17/52 | 1,125 | 1,129 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 10 | 12 | ||
1,3 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 1,385 | 1,536 | |
3,8 | Molson Coors International LP | 2.840% | 7/15/23 | 1,875 | 1,605 | |
11 | Mondelez International Inc. | 0.250% | 3/17/28 | 975 | 1,174 | |
11 | Mondelez International Inc. | 1.375% | 3/17/41 | 910 | 1,056 | |
Morgan Stanley | 2.750% | 5/19/22 | 1,375 | 1,409 | ||
3 | Morgan Stanley | 3.125% | 7/27/26 | 1,850 | 2,013 | |
3 | Morgan Stanley | 3.772% | 1/24/29 | 570 | 635 | |
11 | Morgan Stanley | 0.497% | 2/7/31 | 1,050 | 1,245 | |
National Retail Properties Inc. | 3.900% | 6/15/24 | 805 | 872 | ||
1,3 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 1,330 | 1,429 | |
1,3 | Niagara Mohawk Power Corp. | 1.960% | 6/27/30 | 985 | 961 | |
Norfolk Southern Corp. | 2.550% | 11/1/29 | 1,165 | 1,204 | ||
1,3 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 230 | 252 | |
1,3 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 36 | 37 | |
NVIDIA Corp. | 3.500% | 4/1/40 | 445 | 486 | ||
1,3 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 210 | 265 | |
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 161 | 196 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 305 | 372 | ||
Oracle Corp. | 3.400% | 7/8/24 | 575 | 620 | ||
Oracle Corp. | 3.600% | 4/1/50 | 850 | 839 | ||
Oracle Corp. | 3.950% | 3/25/51 | 1,505 | 1,566 | ||
Oracle Corp. | 3.850% | 4/1/60 | 225 | 226 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 85 | 87 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 195 | 197 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 335 | 341 | ||
PacifiCorp | 2.700% | 9/15/30 | 205 | 212 | ||
1,3 | Pennsylvania Electric Co. | 3.600% | 6/1/29 | 208 | 219 | |
1,3 | Penske Truck Leasing Co. LP | 3.375% | 2/1/22 | 145 | 147 | |
1,3 | Penske Truck Leasing Co. LP | 4.250% | 1/17/23 | 1,405 | 1,489 | |
1,3 | Penske Truck Leasing Co. LP | 2.700% | 11/1/24 | 170 | 180 | |
1,3 | Penske Truck Leasing Co. LP | 3.950% | 3/10/25 | 1,120 | 1,229 | |
1,3 | Penske Truck Leasing Co. LP | 4.000% | 7/15/25 | 180 | 199 | |
Pfizer Inc. | 1.700% | 5/28/30 | 275 | 269 | ||
Philip Morris International Inc. | 2.500% | 11/2/22 | 575 | 592 | ||
3 | PNC Bank NA | 3.250% | 1/22/28 | 910 | 997 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 225 | 257 | |
Raytheon Technologies Corp. | 3.950% | 8/16/25 | 285 | 318 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 725 | 853 | ||
Republic Services Inc. | 2.300% | 3/1/30 | 1,290 | 1,291 | ||
1,3 | Royalty Pharma plc | 3.300% | 9/2/40 | 315 | 306 | |
1,3 | Royalty Pharma plc | 3.550% | 9/2/50 | 765 | 736 | |
3 | San Diego Gas & Electric Co. | 1.700% | 10/1/30 | 1,360 | 1,299 | |
3 | San Diego Gas & Electric Co. | 4.100% | 6/15/49 | 261 | 303 | |
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 2,400 | 2,458 | ||
1,3 | SBA Tower Trust | 3.448% | 3/15/23 | 675 | 713 | |
1,3 | SBA Tower Trust | 1.884% | 1/15/26 | 245 | 249 | |
1,3 | SBA Tower Trust | 1.631% | 11/15/26 | 540 | 541 | |
3 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 400 | 390 | |
3 | SCE Recovery Funding LLC | 1.942% | 5/15/38 | 165 | 157 | |
3 | SCE Recovery Funding LLC | 2.510% | 11/15/43 | 95 | 88 | |
Sempra Energy | 3.250% | 6/15/27 | 1,050 | 1,143 | ||
Sherwin-Williams Co. | 3.450% | 6/1/27 | 2,055 | 2,270 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 149 | 159 | ||
3 | Southern California Edison Co. | 3.700% | 8/1/25 | 30 | 33 | |
3 | Southern California Edison Co. | 2.950% | 2/1/51 | 790 | 699 | |
Southern Co. | 4.400% | 7/1/46 | 5 | 6 | ||
1,3 | Sprint Spectrum Co. LLC | 4.738% | 3/20/25 | 805 | 864 | |
3 | SSM Health Care Corp. | 3.823% | 6/1/27 | 320 | 361 | |
Starbucks Corp. | 4.500% | 11/15/48 | 730 | 866 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 60 | 60 | ||
3 | Sutter Health | 2.294% | 8/15/30 | 360 | 359 | |
Sysco Corp. | 2.400% | 2/15/30 | 1,495 | 1,508 | ||
1,3 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 860 | 1,070 | |
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 985 | 999 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 790 | 798 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 1,975 | 1,969 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 515 | 576 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 245 | 277 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 505 | 486 | ||
3 | Toledo Hospital | 5.325% | 11/15/28 | 555 | 641 | |
Toledo Hospital | 5.750% | 11/15/38 | 210 | 249 | ||
Trinity Acquisition plc | 4.400% | 3/15/26 | 1,274 | 1,445 | ||
3 | Truist Bank | 3.300% | 5/15/26 | 450 | 495 | |
3 | Truist Financial Corp. | 3.200% | 9/3/21 | 510 | 513 | |
3 | Truist Financial Corp. | 2.200% | 3/16/23 | 875 | 903 | |
3 | Truist Financial Corp. | 3.700% | 6/5/25 | 970 | 1,073 | |
Union Pacific Corp. | 3.600% | 9/15/37 | 910 | 992 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 285 | 296 | ||
3 | United Airlines Pass-Through Trust Series 2018-1 | 4.600% | 3/1/26 | 54 | 55 | |
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 820 | 934 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 240 | 239 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 75 | 93 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 65 | 77 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 535 | 578 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 285 | 287 | ||
VEREIT Operating Partnership LP | 3.100% | 12/15/29 | 830 | 874 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 120 | 122 | ||
11 | Verizon Communications Inc. | 1.250% | 4/8/30 | 1,100 | 1,406 | |
Verizon Communications Inc. | 1.680% | 10/30/30 | 307 | 289 | ||
12 | Verizon Communications Inc. | 3.375% | 10/27/36 | 200 | 324 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Verizon Communications Inc. | 4.522% | 9/15/48 | 720 | 854 | ||
Verizon Communications Inc. | 5.012% | 8/21/54 | 475 | 614 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 185 | 166 | ||
VF Corp. | 2.800% | 4/23/27 | 185 | 198 | ||
VF Corp. | 2.950% | 4/23/30 | 1,765 | 1,847 | ||
3,8 | Wells Fargo & Co. | 2.975% | 5/19/26 | 625 | 545 | |
3 | Wells Fargo & Co. | 4.100% | 6/3/26 | 920 | 1,035 | |
3 | Wells Fargo & Co. | 4.300% | 7/22/27 | 275 | 314 | |
3 | Wells Fargo & Co. | 2.879% | 10/30/30 | 435 | 456 | |
3 | Wells Fargo & Co. | 4.750% | 12/7/46 | 800 | 969 | |
Welltower Inc. | 4.000% | 6/1/25 | 275 | 305 | ||
209,615 | ||||||
Total Corporate Bonds (Cost $347,496) | 363,078 | |||||
Sovereign Bonds (4.4%) | ||||||
Australia (0.3%) | ||||||
3,13 | Commonwealth of Australia | 2.750% | 11/21/27 | 135 | 115 | |
3,13 | Commonwealth of Australia | 2.250% | 5/21/28 | 1,195 | 990 | |
3,13 | Commonwealth of Australia | 2.500% | 5/21/30 | 4,085 | 3,421 | |
3,13 | Commonwealth of Australia | 1.000% | 11/21/31 | 1,375 | 990 | |
5,516 | ||||||
Bermuda (0.0%) | ||||||
1,3 | Bermuda | 2.375% | 8/20/30 | 200 | 197 | |
1,3 | Bermuda | 3.375% | 8/20/50 | 200 | 197 | |
394 | ||||||
Canada (0.5%) | ||||||
8 | Canadian Government Bond | 0.500% | 9/1/25 | 790 | 646 | |
8 | Canadian Government Bond | 0.250% | 3/1/26 | 2,785 | 2,235 | |
8 | City of Montreal | 3.150% | 12/1/36 | 750 | 661 | |
8 | City of Montreal | 3.500% | 12/1/38 | 410 | 375 | |
8 | City of Toronto | 3.200% | 8/1/48 | 1,000 | 858 | |
8 | Province of Ontario | 2.900% | 6/2/28 | 1,910 | 1,710 | |
3,14 | Province of Ontario | 0.250% | 6/28/29 | 985 | 1,124 | |
7,609 | ||||||
Chile (0.1%) | ||||||
3 | Corp. Nacional del Cobre de Chile | 3.625% | 8/1/27 | 650 | 710 | |
11 | Republic of Chile | 1.250% | 1/22/51 | 670 | 718 | |
1,428 | ||||||
China (0.1%) | ||||||
1,3 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 2,135 | 2,175 | |
Colombia (0.1%) | ||||||
3 | Republic of Colombia | 4.000% | 2/26/24 | 1,350 | 1,432 | |
Croatia (0.1%) | ||||||
11 | Republic of Croatia | 1.500% | 6/17/31 | 1,815 | 2,292 | |
Japan (1.0%) | ||||||
3,15 | Japan | 0.100% | 3/20/31 | 1,883,000 | 17,180 | |
Mexico (0.1%) | ||||||
3 | United Mexican States | 4.280% | 8/14/41 | 2,210 | 2,306 | |
Norway (0.1%) | ||||||
Equinor ASA | 3.000% | 4/6/27 | 1,545 | 1,679 | ||
Panama (0.2%) | ||||||
1,3 | Empresa de Transmision Electrica SA | 5.125% | 5/2/49 | 470 | 512 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3 | Republic of Panama | 2.252% | 9/29/32 | 2,765 | 2,658 | |
3,170 | ||||||
Qatar (0.2%) | ||||||
1,3 | State of Qatar | 2.375% | 6/2/21 | 1,400 | 1,400 | |
1,3 | State of Qatar | 3.875% | 4/23/23 | 550 | 586 | |
1,3 | State of Qatar | 5.103% | 4/23/48 | 255 | 331 | |
1,3 | State of Qatar | 4.400% | 4/16/50 | 780 | 930 | |
3,247 | ||||||
Romania (0.2%) | ||||||
1,11 | Republic of Romania | 1.375% | 12/2/29 | 299 | 361 | |
3,11 | Republic of Romania | 2.500% | 2/8/30 | 1,225 | 1,585 | |
3,11 | Republic of Romania | 2.124% | 7/16/31 | 725 | 901 | |
1,11 | Republic of Romania | 2.000% | 4/14/33 | 410 | 494 | |
3,341 | ||||||
Saudi Arabia (0.2%) | ||||||
1,3 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 2,020 | 2,101 | |
1,3 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 500 | 530 | |
1,3 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 680 | 733 | |
3,364 | ||||||
Singapore (0.0%) | ||||||
1,3 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 510 | 572 | |
Spain (0.1%) | ||||||
1,11 | Kingdom of Spain | 0.600% | 10/31/29 | 1,050 | 1,315 | |
Supranational (0.4%) | ||||||
3,11 | European Union | 0.750% | 4/4/31 | 1,125 | 1,466 | |
3,11 | European Union | 0.200% | 6/4/36 | 5,100 | 6,033 | |
7,499 | ||||||
United Arab Emirates (0.1%) | ||||||
3 | Emirate of Abu Dhabi | 3.125% | 10/11/27 | 1,235 | 1,351 | |
United Kingdom (0.6%) | ||||||
12 | United Kingdom | 0.625% | 6/7/25 | 700 | 1,009 | |
12 | United Kingdom | 1.250% | 7/22/27 | 655 | 973 | |
12 | United Kingdom | 0.875% | 10/22/29 | 1,100 | 1,578 | |
12 | United Kingdom | 0.375% | 10/22/30 | 3,875 | 5,269 | |
12 | United Kingdom | 3.500% | 1/22/45 | 735 | 1,510 | |
10,339 | ||||||
Total Sovereign Bonds (Cost $73,931) | 76,209 | |||||
Taxable Municipal Bonds (0.5%) | ||||||
United States (0.5%) | ||||||
Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 100 | 103 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.300% | 12/1/21 | 20 | 21 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 805 | 1,134 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 55 | 77 | ||
Dallas/Fort Worth International Airport Revenue | 3.089% | 11/1/40 | 90 | 92 | ||
Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 55 | 57 | ||
16 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 405 | 421 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 747 | 1,095 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 3.236% | 10/1/52 | 290 | 293 | ||
Illinois GO | 5.100% | 6/1/33 | 660 | 758 | ||
16 | Kansas Development Finance Authority Revenue (Employees Retirement System) | 5.371% | 5/1/26 | 520 | 589 | |
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 175 | 186 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.200% | 11/15/26 | 20 | 23 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.668% | 11/15/39 | 170 | 240 | ||
New York Metropolitan Transportation Authority Revenue (Climate Bond Certified) | 5.175% | 11/15/49 | 445 | 567 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 285 | 304 | ||
17 | Philadelphia PA Authority for Industrial Development Revenue | 6.550% | 10/15/28 | 635 | 804 | |
Port Authority of New York & New Jersey Revenue | 3.175% | 7/15/60 | 295 | 291 | ||
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 305 | 386 | ||
Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 650 | 800 | ||
State of Connecticut GO | 2.000% | 7/1/23 | 190 | 197 | ||
State of Connecticut GO | 5.770% | 3/15/25 | 275 | 326 | ||
University of California Revenue | 1.316% | 5/15/27 | 155 | 156 | ||
Total Taxable Municipal Bonds (Cost $8,092) | 8,920 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (4.8%) | ||||||
Money Market Fund (4.8%) | ||||||
18,19 | Vanguard Market Liquidity Fund (Cost $84,162) | 0.055% | 841,822 | 84,182 | ||
Total Investments (101.2%) (Cost $1,456,513) | 1,768,131 | |||||
Other Assets and Liabilities—Net (-1.2%) | (21,742) | |||||
Net Assets (100%) | 1,746,389 |
Cost is in $000. | |
* | Non-income-producing security. |
1 | 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 May 31, 2021, the aggregate value was $112,405,000, representing 6.4% of net assets. |
2 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $11,354,000. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
5 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of May 31, 2021. |
6 | Securities with a value of $612,000 have been segregated as collateral for open forward currency contracts. |
7 | Securities with a value of $885,000 have been segregated as initial margin for open futures contracts. |
8 | Face amount denominated in Canadian dollars. |
9 | 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. |
10 | Security value determined using significant unobservable inputs. |
11 | Face amount denominated in euro. |
12 | Face amount denominated in British pounds. |
13 | Face amount denominated in Australian dollars. |
14 | Face amount denominated in Swiss francs. |
15 | Face amount denominated in Japanese yen. |
16 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
17 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
18 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
19 | Collateral of $11,800,000 was received for securities on loan. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
GO—Government Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2021 | 61 | 7,555 | 7 |
Euro-Bobl | June 2021 | 14 | 2,300 | 5 |
Euro-BTP | June 2021 | 12 | 2,156 | 36 |
Euro-Buxl | June 2021 | 2 | 490 | (3) |
Euro-OAT | June 2021 | 16 | 3,130 | (23) |
Euro-Schatz | June 2021 | 112 | 15,303 | (7) |
15 | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (269) | (35,491) | 2 |
Euro-Bund | June 2021 | (5) | (1,036) | (6) |
Long Gilt | September 2021 | (21) | (3,792) | 2 |
Ultra 10-Year U.S. Treasury Note | September 2021 | (55) | (7,973) | 3 |
1 | ||||
16 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Bank of America, N.A. | 6/30/21 | USD | 6,340 | AUD | 8,177 | 35 | — |
Bank of America, N.A. | 6/30/21 | USD | 14,570 | CAD | 17,561 | 34 | — |
Goldman Sachs International | 6/30/21 | USD | 3,940 | CAD | 4,760 | — | — |
Bank of America, N.A. | 6/30/21 | AUD | 900 | CAD | 842 | — | (3) |
Goldman Sachs International | 6/30/21 | USD | 3,107 | CHF | 2,784 | 9 | — |
JPMorgan Chase Bank, N.A. | 6/30/21 | USD | 118,116 | EUR | 96,772 | 43 | — |
Goldman Sachs International | 6/30/21 | GBP | 2,624 | EUR | 3,042 | 12 | — |
Bank of America, N.A. | 6/30/21 | USD | 36,406 | GBP | 25,627 | 36 | — |
JPMorgan Chase Bank, N.A. | 6/30/21 | USD | 320 | GBP | 225 | 1 | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Bank of America, N.A. | 6/30/21 | USD | 18,265 | JPY | 1,984,573 | 193 | — |
Bank of America, N.A. | 6/30/21 | GBP | 1,169 | JPY | 180,330 | 17 | — |
380 | (3) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
CHF—Swiss franc. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
USD—U.S. dollar. |
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or
rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
E. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
F. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.
G. 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 May 31, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks—North and South America | 670,854 | 3,317 | — | 674,171 |
Common Stocks—Other | 52,877 | 399,897 | — | 452,774 |
U.S. Government and Agency Obligations | — | 92,402 | — | 92,402 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 13,995 | 2,400 | 16,395 |
Corporate Bonds | — | 363,078 | — | 363,078 |
Sovereign Bonds | — | 76,209 | — | 76,209 |
Taxable Municipal Bonds | — | 8,920 | — | 8,920 |
Temporary Cash Investments | 84,182 | — | — | 84,182 |
Total | 807,913 | 957,818 | 2,400 | 1,768,131 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 55 | — | — | 55 |
Forward Currency Contracts | — | 380 | — | 380 |
Total | 55 | 380 | — | 435 |
Liabilities | ||||
Futures Contracts1 | 39 | — | — | 39 |
Forward Currency Contracts | — | 3 | — | 3 |
Total | 39 | 3 | — | 42 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |