UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02368
Name of Registrant: | Vanguard Fixed Income Securities Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: January 31
Date of reporting period: February 1, 2021—July 31, 2021
Item 1: Reports to Shareholders
Vanguard Short-Term Treasury Fund |
Vanguard Short-Term Federal Fund |
Vanguard Intermediate-Term Treasury Fund |
Vanguard Long-Term Treasury Fund |
About Your Fund’s Expenses | 1 |
Short-Term Treasury Fund | 3 |
Short-Term Federal Fund | 18 |
Intermediate-Term Treasury Fund | 35 |
Long-Term Treasury Fund | 51 |
Trustees Approve Advisory Arrangements | 66 |
Liquidity Risk Management | 68 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended July 31, 2021 | |||
Beginning Account Value 1/31/2021 | Ending Account Value 7/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $998.70 | $0.99 |
Admiral™ Shares | 1,000.00 | 999.20 | 0.50 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,001.20 | $0.99 |
Admiral Shares | 1,000.00 | 1,001.70 | 0.50 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $999.60 | $0.99 |
Admiral Shares | 1,000.00 | 1,000.10 | 0.50 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $991.80 | $0.99 |
Admiral Shares | 1,000.00 | 992.30 | 0.49 |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Asset-Backed/Commercial Mortgage-Backed Securities | 0.1% |
Government Mortgage-Backed Securities | 0.8 |
U.S. Government Securities | 99.1 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (97.3%) | ||||||
U.S. Government Securities (96.5%) | ||||||
U.S. Treasury Note/Bond | 1.500% | 9/15/22 | 100,000 | 101,578 | ||
U.S. Treasury Note/Bond | 0.125% | 9/30/22 | 90,000 | 90,028 | ||
U.S. Treasury Note/Bond | 1.875% | 9/30/22 | 150,000 | 153,070 | ||
U.S. Treasury Note/Bond | 1.375% | 10/15/22 | 102,500 | 104,070 | ||
U.S. Treasury Note/Bond | 0.125% | 10/31/22 | 200,000 | 200,062 | ||
U.S. Treasury Note/Bond | 1.875% | 10/31/22 | 195,500 | 199,807 | ||
U.S. Treasury Note/Bond | 2.000% | 10/31/22 | 175,000 | 179,102 | ||
U.S. Treasury Note/Bond | 1.625% | 11/15/22 | 185,500 | 189,094 | ||
U.S. Treasury Note/Bond | 2.000% | 11/30/22 | 135,500 | 138,887 | ||
U.S. Treasury Note/Bond | 0.125% | 12/31/22 | 125,000 | 125,000 | ||
U.S. Treasury Note/Bond | 2.125% | 12/31/22 | 77,300 | 79,474 | ||
U.S. Treasury Note/Bond | 1.500% | 2/28/23 | 145,500 | 148,615 | ||
U.S. Treasury Note/Bond | 0.500% | 3/15/23 | 50,000 | 50,289 | ||
U.S. Treasury Note/Bond | 0.125% | 3/31/23 | 200,000 | 199,906 | ||
U.S. Treasury Note/Bond | 0.250% | 4/15/23 | 300,000 | 300,516 | ||
U.S. Treasury Note/Bond | 0.125% | 4/30/23 | 275,000 | 274,828 | ||
U.S. Treasury Note/Bond | 2.750% | 4/30/23 | 16,500 | 17,245 | ||
U.S. Treasury Note/Bond | 1.750% | 5/15/23 | 100,000 | 102,828 | ||
U.S. Treasury Note/Bond | 0.125% | 5/31/23 | 200,000 | 199,844 | ||
U.S. Treasury Note/Bond | 1.625% | 5/31/23 | 250,000 | 256,641 | ||
U.S. Treasury Note/Bond | 0.250% | 6/15/23 | 375,000 | 375,527 | ||
U.S. Treasury Note/Bond | 0.125% | 6/30/23 | 250,000 | 249,805 | ||
U.S. Treasury Note/Bond | 1.375% | 6/30/23 | 173,500 | 177,485 | ||
U.S. Treasury Note/Bond | 2.750% | 7/31/23 | 20,800 | 21,863 | ||
U.S. Treasury Note/Bond | 0.125% | 9/15/23 | 100,000 | 99,828 | ||
U.S. Treasury Note/Bond | 1.375% | 9/30/23 | 150,000 | 153,750 | ||
U.S. Treasury Note/Bond | 0.125% | 10/15/23 | 25,000 | 24,949 | ||
U.S. Treasury Note/Bond | 2.875% | 10/31/23 | 20,000 | 21,184 | ||
U.S. Treasury Note/Bond | 0.125% | 12/15/23 | 150,000 | 149,578 | ||
U.S. Treasury Note/Bond | 2.250% | 12/31/23 | 150,000 | 157,219 | ||
U.S. Treasury Note/Bond | 0.125% | 1/15/24 | 93,700 | 93,407 | ||
U.S. Treasury Note/Bond | 2.250% | 1/31/24 | 78,500 | 82,376 | ||
U.S. Treasury Note/Bond | 2.750% | 2/15/24 | 40,500 | 43,044 | ||
U.S. Treasury Note/Bond | 2.125% | 2/29/24 | 84,600 | 88,632 | ||
U.S. Treasury Note/Bond | 2.125% | 3/31/24 | 100,000 | 104,859 | ||
U.S. Treasury Note/Bond | 0.375% | 4/15/24 | 100,000 | 100,203 | ||
U.S. Treasury Note/Bond | 2.000% | 4/30/24 | 210,000 | 219,712 | ||
U.S. Treasury Note/Bond | 2.250% | 4/30/24 | 215,000 | 226,422 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Treasury Note/Bond | 2.000% | 5/31/24 | 185,000 | 193,730 | ||
1 | U.S. Treasury Note/Bond | 1.750% | 6/30/24 | 155,000 | 161,345 | |
U.S. Treasury Note/Bond | 2.000% | 6/30/24 | 170,000 | 178,208 | ||
U.S. Treasury Note/Bond | 1.750% | 7/31/24 | 90,000 | 93,783 | ||
U.S. Treasury Note/Bond | 2.125% | 7/31/24 | 133,000 | 140,045 | ||
U.S. Treasury Note/Bond | 2.375% | 8/15/24 | 85,000 | 90,180 | ||
U.S. Treasury Note/Bond | 1.250% | 8/31/24 | 110,000 | 112,956 | ||
U.S. Treasury Note/Bond | 1.875% | 8/31/24 | 100,000 | 104,609 | ||
U.S. Treasury Note/Bond | 1.500% | 9/30/24 | 70,000 | 72,461 | ||
U.S. Treasury Note/Bond | 2.250% | 10/31/24 | 12,427 | 13,169 | ||
U.S. Treasury Note/Bond | 1.500% | 11/30/24 | 125,000 | 129,492 | ||
U.S. Treasury Note/Bond | 2.250% | 12/31/24 | 13,145 | 13,954 | ||
U.S. Treasury Note/Bond | 1.375% | 1/31/25 | 90,000 | 92,883 | ||
U.S. Treasury Note/Bond | 2.000% | 2/15/25 | 90,900 | 95,800 | ||
U.S. Treasury Note/Bond | 1.125% | 2/28/25 | 100,000 | 102,344 | ||
U.S. Treasury Note/Bond | 2.125% | 5/15/25 | 15,000 | 15,909 | ||
U.S. Treasury Note/Bond | 0.250% | 5/31/25 | 87,000 | 86,116 | ||
U.S. Treasury Note/Bond | 0.250% | 6/30/25 | 15,000 | 14,836 | ||
U.S. Treasury Note/Bond | 2.750% | 6/30/25 | 87,000 | 94,477 | ||
U.S. Treasury Note/Bond | 2.000% | 8/15/25 | 60,000 | 63,469 | ||
U.S. Treasury Note/Bond | 2.750% | 8/31/25 | 35,000 | 38,101 | ||
U.S. Treasury Note/Bond | 0.250% | 9/30/25 | 16,000 | 15,788 | ||
U.S. Treasury Note/Bond | 0.250% | 10/31/25 | 24,000 | 23,659 | ||
U.S. Treasury Note/Bond | 0.375% | 12/31/25 | 100,000 | 98,969 | ||
U.S. Treasury Note/Bond | 0.375% | 1/31/26 | 80,000 | 79,100 | ||
7,626,110 | ||||||
Conventional Mortgage-Backed Securities (0.0%) | ||||||
2,3 | Freddie Mac Gold Pool | 6.000% | 10/1/27–4/1/28 | 31 | 36 | |
Nonconventional Mortgage-Backed Securities (0.8%) | ||||||
2,3 | Fannie Mae REMICS | 1.750% | 4/25/44 | 1,892 | 1,941 | |
2,3 | Fannie Mae REMICS | 2.250% | 10/25/43–6/25/44 | 5,090 | 5,239 | |
2,3 | Fannie Mae REMICS | 2.500% | 5/25/48–12/25/49 | 2,786 | 2,882 | |
2,3 | Fannie Mae REMICS | 3.000% | 2/25/44–12/25/48 | 11,042 | 11,753 | |
2,3 | Fannie Mae REMICS | 4.000% | 12/25/46 | 5,295 | 5,523 | |
2,3 | Freddie Mac REMICS | 1.750% | 4/15/43 | 2,539 | 2,586 | |
2,3 | Freddie Mac REMICS | 2.250% | 6/15/44–9/25/49 | 3,412 | 3,508 | |
2,3 | Freddie Mac REMICS | 2.500% | 12/25/49 | 1,273 | 1,328 | |
2,3 | Freddie Mac REMICS | 3.500% | 12/25/49 | 3,125 | 3,343 | |
2,3 | Freddie Mac Strips | 3.000% | 6/15/42 | 2,985 | 3,166 | |
2 | Ginnie Mae | 2.500% | 9/20/49 | 2,704 | 2,805 | |
2 | Ginnie Mae | 2.750% | 1/20/46–3/20/46 | 5,155 | 5,250 | |
2 | Ginnie Mae | 3.000% | 8/20/44–12/20/47 | 14,010 | 14,355 | |
2 | Ginnie Mae | 4.000% | 10/20/47 | 1,261 | 1,343 | |
65,022 | ||||||
Total U.S. Government and Agency Obligations (Cost $7,682,642) | 7,691,168 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%) | ||||||
2 | U.S. Small Business Administration Class 1 Series 2002-20L | 5.100% | 12/1/22 | 148 | 152 | |
2 | U.S. Small Business Administration Class 1 Series 2004-20F | 5.520% | 6/1/24 | 344 | 363 | |
2 | U.S. Small Business Administration Class 1 Series 2004-20G | 5.190% | 7/1/24 | 148 | 156 | |
2 | U.S. Small Business Administration Class 1 Series 2007-20G | 5.820% | 7/1/27 | 703 | 777 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | U.S. Small Business Administration Class 1 Series 2007-20I | 5.560% | 9/1/27 | 3,650 | 4,025 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $5,155) | 5,473 | |||||
Shares | ||||||
Temporary Cash Investments (1.9%) | ||||||
Money Market Fund (1.9%) | ||||||
4 | Vanguard Market Liquidity Fund (Cost $146,655) | 0.064% | 1,466,547 | 146,655 | ||
Total Investments (99.3%) (Cost $7,834,452) | 7,843,296 | |||||
Other Assets and Liabilities—Net (0.7%) | 56,361 | |||||
Net Assets (100%) | 7,899,657 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $1,346,000 have been segregated as initial margin for open futures contracts. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
REMICS—Real Estate Mortgage Investment Conduits. |
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 2021 | 1,390 | 306,712 | 258 |
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (950) | (127,730) | (2,513) |
5-Year U.S. Treasury Note | September 2021 | (1,580) | (196,624) | 21 |
Ultra 10-Year U.S. Treasury Note | September 2021 | (19) | (2,855) | (68) |
(2,560) | ||||
(2,302) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $7,687,797) | 7,696,641 |
Affiliated Issuers (Cost $146,655) | 146,655 |
Total Investments in Securities | 7,843,296 |
Investment in Vanguard | 270 |
Cash | 150 |
Receivables for Investment Securities Sold | 202,234 |
Receivables for Accrued Income | 24,783 |
Receivables for Capital Shares Issued | 12,024 |
Other Assets | 130 |
Total Assets | 8,082,887 |
Liabilities | |
Payables for Investment Securities Purchased | 178,078 |
Payables for Capital Shares Redeemed | 4,313 |
Payables for Distributions | 342 |
Payables to Vanguard | 375 |
Variation Margin Payable—Futures Contracts | 122 |
Total Liabilities | 183,230 |
Net Assets | 7,899,657 |
At July 31, 2021, net assets consisted of: | |
Paid-in Capital | 7,897,171 |
Total Distributable Earnings (Loss) | 2,486 |
Net Assets | 7,899,657 |
Investor Shares—Net Assets | |
Applicable to 61,192,208 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 655,626 |
Net Asset Value Per Share—Investor Shares | $10.71 |
Admiral Shares—Net Assets | |
Applicable to 676,115,088 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,244,031 |
Net Asset Value Per Share—Admiral Shares | $10.71 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 25,271 |
Total Income | 25,271 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 461 |
Management and Administrative—Investor Shares | 542 |
Management and Administrative—Admiral Shares | 2,902 |
Marketing and Distribution—Investor Shares | 56 |
Marketing and Distribution—Admiral Shares | 274 |
Custodian Fees | 41 |
Shareholders’ Reports—Investor Shares | 34 |
Shareholders’ Reports—Admiral Shares | 51 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 4,364 |
Net Investment Income | 20,907 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (1,588) |
Futures Contracts | 8,189 |
Options Purchased | (725) |
Options Written | (5,223) |
Realized Net Gain (Loss) | 653 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (20,156) |
Futures Contracts | (4,876) |
Options Purchased | 31 |
Options Written | (35) |
Change in Unrealized Appreciation (Depreciation) | (25,036) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,476) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $54,000, $0, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 20,907 | 65,386 | |
Realized Net Gain (Loss) | 653 | 258,260 | |
Change in Unrealized Appreciation (Depreciation) | (25,036) | (34,555) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,476) | 289,091 | |
Distributions | |||
Investor Shares | (2,952) | (14,913) | |
Admiral Shares | (35,920) | (173,458) | |
Total Distributions | (38,872) | (188,371) | |
Capital Share Transactions | |||
Investor Shares | (41,401) | 36,739 | |
Admiral Shares | (535,025) | (517,391) | |
Net Increase (Decrease) from Capital Share Transactions | (576,426) | (480,652) | |
Total Increase (Decrease) | (618,774) | (379,932) | |
Net Assets | |||
Beginning of Period | 8,518,431 | 8,898,363 | |
End of Period | 7,899,657 | 8,518,431 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $10.77 | $10.64 | $10.48 | $10.49 | $10.65 | $10.73 |
Investment Operations | ||||||
Net Investment Income | .0231 | .0701 | .2451 | .2271 | .1271 | .094 |
Net Realized and Unrealized Gain (Loss) on Investments | (.036) | .286 | .160 | (.009) | (.160) | (.048) |
Total from Investment Operations | (.013) | .356 | .405 | .218 | (.033) | .046 |
Distributions | ||||||
Dividends from Net Investment Income | (.023) | (.070) | (.245) | (.228) | (.127) | (.094) |
Distributions from Realized Capital Gains | (.024) | (.156) | — | — | — | (.032) |
Total Distributions | (.047) | (.226) | (.245) | (.228) | (.127) | (.126) |
Net Asset Value, End of Period | $10.71 | $10.77 | $10.64 | $10.48 | $10.49 | $10.65 |
Total Return2 | -0.13% | 3.35% | 3.91% | 2.11% | -0.31% | 0.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $656 | $701 | $655 | $671 | $737 | $900 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.43% | 0.64% | 2.30% | 2.18% | 1.20% | 0.87% |
Portfolio Turnover Rate3 | 135% | 357% | 340% | 282% | 280% | 249% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 3%, 57%, 5%, 37%, 7%, and 3%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $10.77 | $10.64 | $10.48 | $10.49 | $10.65 | $10.73 |
Investment Operations | ||||||
Net Investment Income | .0281 | .0791 | .2541 | .2381 | .1381 | .105 |
Net Realized and Unrealized Gain (Loss) on Investments | (.036) | .288 | .162 | (.010) | (.160) | (.048) |
Total from Investment Operations | (.008) | .367 | .416 | .228 | (.022) | .057 |
Distributions | ||||||
Dividends from Net Investment Income | (.028) | (.081) | (.256) | (.238) | (.138) | (.105) |
Distributions from Realized Capital Gains | (.024) | (.156) | — | — | — | (.032) |
Total Distributions | (.052) | (.237) | (.256) | (.238) | (.138) | (.137) |
Net Asset Value, End of Period | $10.71 | $10.77 | $10.64 | $10.48 | $10.49 | $10.65 |
Total Return2 | -0.08% | 3.46% | 4.01% | 2.21% | -0.21% | 0.53% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,244 | $7,818 | $8,243 | $7,385 | $7,044 | $6,805 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.53% | 0.73% | 2.40% | 2.28% | 1.30% | 0.97% |
Portfolio Turnover Rate3 | 135% | 357% | 340% | 282% | 280% | 249% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 3%, 57%, 5%, 37%, 7%, and 3%, respectively, attributable to mortgage-dollar-roll activity. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 7,691,168 | — | 7,691,168 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 5,473 | — | 5,473 |
Temporary Cash Investments | 146,655 | — | — | 146,655 |
Total | 146,655 | 7,696,641 | — | 7,843,296 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 279 | — | — | 279 |
Liabilities | ||||
Futures Contracts1 | 2,581 | — | — | 2,581 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 7,836,238 |
Gross Unrealized Appreciation | 11,764 |
Gross Unrealized Depreciation | (7,008) |
Net Unrealized Appreciation (Depreciation) | 4,756 |
E. | During the six months ended July 31, 2021, the fund purchased $10,842,235,000 of investment securities and sold $11,536,029,000 of investment securities, other than temporary cash investments. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 83,893 | 7,816 | 502,974 | 46,442 | |
Issued in Lieu of Cash Distributions | 2,752 | 256 | 13,876 | 1,285 | |
Redeemed | (128,046) | (11,932) | (480,111) | (44,212) | |
Net Increase (Decrease)—Investor Shares | (41,401) | (3,860) | 36,739 | 3,515 |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 755,083 | 70,382 | 4,620,655 | 426,251 | |
Issued in Lieu of Cash Distributions | 31,564 | 2,944 | 152,189 | 14,096 | |
Redeemed | (1,321,672) | (123,157) | (5,290,235) | (489,007) | |
Net Increase (Decrease)—Admiral Shares | (535,025) | (49,831) | (517,391) | (48,660) |
G. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
Agency Bonds and Notes | 29.8% |
Asset-Backed/Commercial Mortgage-Backed Securities | 2.0 |
Government Mortgage-Backed Securities | 11.3 |
Sovereign Bonds | 0.1 |
U.S. Government Securities | 56.8 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.0%) | ||||||
U.S. Government Securities (57.4%) | ||||||
U.S. Treasury Note/Bond | 0.125% | 9/30/22 | 1,687,000 | 1,687,527 | ||
U.S. Treasury Note/Bond | 0.125% | 3/31/23 | 550,000 | 549,742 | ||
U.S. Treasury Note/Bond | 0.125% | 2/15/24 | 439,563 | 438,052 | ||
U.S. Treasury Note/Bond | 0.375% | 4/15/24 | 605,000 | 606,229 | ||
U.S. Treasury Note/Bond | 1.375% | 1/31/25 | 165,000 | 170,285 | ||
U.S. Treasury Note/Bond | 0.250% | 7/31/25 | 50,000 | 49,422 | ||
U.S. Treasury Note/Bond | 0.250% | 10/31/25 | 40,000 | 39,431 | ||
U.S. Treasury Note/Bond | 0.375% | 11/30/25 | 522,200 | 517,223 | ||
U.S. Treasury Note/Bond | 0.375% | 12/31/25 | 103,930 | 102,858 | ||
U.S. Treasury Note/Bond | 0.375% | 1/31/26 | 270,000 | 266,963 | ||
U.S. Treasury Note/Bond | 0.750% | 3/31/26 | 90,000 | 90,422 | ||
U.S. Treasury Note/Bond | 0.875% | 6/30/26 | 21,135 | 21,330 | ||
U.S. Treasury Note/Bond | 0.500% | 8/31/27 | 2,320 | 2,269 | ||
U.S. Treasury Note/Bond | 0.375% | 9/30/27 | 14,700 | 14,254 | ||
1 | U.S. Treasury Note/Bond | 0.500% | 10/31/27 | 247,000 | 241,057 | |
U.S. Treasury Note/Bond | 1.125% | 2/29/28 | 3,810 | 3,855 | ||
U.S. Treasury Note/Bond | 1.250% | 4/30/28 | 29,300 | 29,840 | ||
U.S. Treasury Note/Bond | 1.625% | 5/15/31 | 9,800 | 10,160 | ||
4,840,919 | ||||||
Agency Bonds and Notes (30.1%) | ||||||
2 | Fannie Mae Interest Strip | 0.000% | 11/15/25 | 72,402 | 70,331 | |
2 | Fannie Mae Interest Strip | 0.000% | 5/15/26 | 68,711 | 66,140 | |
2,3 | Fannie Mae Interest Strip | 0.000% | 10/25/40 | 7,614 | 7,235 | |
2 | Fannie Mae Principal Strip | 0.000% | 1/15/30 | 63,400 | 56,274 | |
2 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 174,215 | 153,505 | |
2 | Fannie Mae Principal Strip | 0.000% | 11/15/30 | 7,000 | 6,079 | |
Federal Farm Credit Banks Funding Corp. | 0.125% | 11/23/22 | 37,000 | 37,008 | ||
Federal Farm Credit Banks Funding Corp. | 0.680% | 3/9/26 | 275,000 | 273,600 | ||
Federal Home Loan Mortgage Corp. | 0.250% | 11/6/23 | 100,000 | 100,016 | ||
Federal Home Loan Mortgage Corp. | 1.500% | 2/12/25 | 136,000 | 140,929 | ||
Federal Home Loan Mortgage Corp. | 0.640% | 11/24/25 | 174,650 | 174,146 | ||
Federal Home Loan Mortgage Corp. | 0.700% | 12/30/25 | 194,850 | 194,479 | ||
2 | Federal National Mortgage Association | 0.500% | 6/17/25 | 110,000 | 109,819 | |
2 | Federal National Mortgage Association | 0.375% | 8/25/25 | 130,000 | 128,888 | |
2 | Federal National Mortgage Association | 0.650% | 12/17/25 | 138,500 | 138,102 | |
2 | Federal National Mortgage Association | 0.650% | 12/17/25 | 180,495 | 179,977 | |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/31 | 4,455 | 3,827 | |
2 | Freddie Mac Strips | 0.000% | 9/15/29 | 23,050 | 20,605 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Freddie Mac Strips | 0.000% | 3/15/31 | 21,820 | 18,780 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 4,430 | 4,493 | ||
Private Export Funding Corp. | 3.550% | 1/15/24 | 8,700 | 9,357 | ||
Private Export Funding Corp. | 1.400% | 7/15/28 | 41,000 | 41,518 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/28 | 1,890 | 1,757 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 1/15/29 | 3,169 | 2,889 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 7/15/29 | 33,485 | 30,241 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 10/15/29 | 15,108 | 13,545 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 1/15/30 | 4,155 | 3,685 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 1/15/30 | 374,796 | 332,397 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 4/15/30 | 227,307 | 200,528 | ||
Tennessee Valley Authority Principal Strip | 0.000% | 11/1/25 | 17,342 | 16,836 | ||
2,536,986 | ||||||
Conventional Mortgage-Backed Securities (8.8%) | ||||||
2,3 | Freddie Mac Gold Pool | 2.000% | 9/1/28–6/1/30 | 3,442 | 3,584 | |
2,3 | Freddie Mac Gold Pool | 2.500% | 6/1/22–10/1/31 | 11,077 | 11,671 | |
2,3 | Freddie Mac Gold Pool | 3.000% | 11/1/29–3/1/31 | 15,479 | 16,339 | |
2,3 | Freddie Mac Gold Pool | 3.500% | 10/1/25–8/1/29 | 6,205 | 6,662 | |
2,3 | Freddie Mac Gold Pool | 4.000% | 5/1/24–1/1/29 | 2,267 | 2,404 | |
2,3 | Freddie Mac Gold Pool | 4.500% | 8/1/22–9/1/26 | 1,689 | 1,773 | |
2,3 | Freddie Mac Gold Pool | 5.000% | 12/1/21–6/1/25 | 366 | 381 | |
2,3,4 | UMBS Pool | 1.500% | 9/16/36 | 226,500 | 230,464 | |
2,3,4 | UMBS Pool | 2.000% | 10/1/27–9/16/36 | 288,077 | 298,581 | |
2,3 | UMBS Pool | 2.500% | 2/1/28–9/1/31 | 45,765 | 48,049 | |
2,3 | UMBS Pool | 3.000% | 8/1/27–12/1/35 | 93,565 | 98,687 | |
2,3 | UMBS Pool | 3.500% | 3/1/22–5/1/30 | 15,271 | 16,285 | |
2,3 | UMBS Pool | 4.000% | 8/1/21–12/1/28 | 3,202 | 3,377 | |
2,3 | UMBS Pool | 4.500% | 11/1/22–10/1/25 | 270 | 283 | |
2,3 | UMBS Pool | 5.000% | 5/1/22–6/1/25 | 267 | 275 | |
2,3 | UMBS Pool | 5.500% | 11/1/21–1/1/25 | 17 | 16 | |
738,831 | ||||||
Nonconventional Mortgage-Backed Securities (2.7%) | ||||||
2,3 | Fannie Mae REMICS | 1.750% | 4/25/44 | 5,977 | 6,133 | |
2,3 | Fannie Mae REMICS | 2.000% | 12/25/44 | 3,112 | 3,193 | |
2,3 | Fannie Mae REMICS | 2.100% | 4/25/43 | 2,280 | 2,319 | |
2,3 | Fannie Mae REMICS | 2.250% | 7/25/43–6/25/44 | 15,445 | 15,894 | |
2,3 | Fannie Mae REMICS | 2.500% | 6/25/40–1/25/50 | 25,248 | 26,211 | |
2,3 | Fannie Mae REMICS | 3.000% | 2/25/44–9/25/49 | 29,274 | 30,886 | |
2,3 | Fannie Mae REMICS | 3.500% | 11/25/45–10/25/48 | 13,084 | 13,791 | |
2,3 | Fannie Mae REMICS | 4.000% | 12/25/46 | 2,803 | 2,924 | |
2,3 | Fannie Mae REMICS | 5.250% | 9/25/41 | 3,131 | 3,505 | |
2,3 | Freddie Mac REMICS | 1.500% | 10/15/42 | 6,135 | 6,203 | |
2,3 | Freddie Mac REMICS | 1.750% | 4/15/43 | 10,614 | 10,809 | |
2,3 | Freddie Mac REMICS | 2.250% | 6/15/43–9/25/49 | 10,999 | 11,292 | |
2,3 | Freddie Mac REMICS | 2.500% | 10/25/49–12/25/49 | 18,723 | 19,596 | |
2,3 | Freddie Mac REMICS | 2.750% | 1/15/46–10/25/49 | 3,339 | 3,505 | |
2,3 | Freddie Mac REMICS | 3.000% | 10/15/45–12/15/47 | 5,784 | 5,983 | |
2,3 | Freddie Mac REMICS | 3.500% | 12/25/49 | 7,000 | 7,488 | |
2,3 | Freddie Mac Strips | 3.000% | 6/15/42 | 6,015 | 6,380 | |
3,5 | Ginnie Mae | 2.035% | 12/20/42 | 3,564 | 3,704 | |
3 | Ginnie Mae | 2.500% | 9/20/49 | 6,253 | 6,487 | |
3 | Ginnie Mae | 2.750% | 1/20/46–3/20/46 | 11,167 | 11,370 | |
3 | Ginnie Mae | 3.000% | 3/20/41–3/20/48 | 22,024 | 22,748 | |
3 | Ginnie Mae | 3.500% | 4/20/48–2/20/49 | 6,921 | 7,446 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Ginnie Mae | 4.000% | 10/20/47 | 679 | 723 | |
228,590 | ||||||
Total U.S. Government and Agency Obligations (Cost $8,331,201) | 8,345,326 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.0%) | ||||||
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K037 | 0.943% | 1/25/24 | 60,177 | 1,207 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K043 | 0.523% | 12/25/24 | 19,958 | 321 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K053 | 0.883% | 12/25/25 | 10,133 | 346 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K054 | 1.166% | 1/25/26 | 118,139 | 5,445 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K055 | 1.358% | 3/25/26 | 3,840 | 211 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K057 | 1.175% | 7/25/26 | 136,019 | 6,814 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K058 | 0.923% | 8/25/26 | 6,803 | 283 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K065 | 0.670% | 4/25/27 | 35,971 | 1,259 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series KG02 | 1.018% | 8/25/29 | 16,000 | 1,115 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series KG04 | 0.854% | 11/25/30 | 10,995 | 753 | |
2,3,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series KG05 | 0.312% | 1/25/31 | 114,000 | 3,149 | |
3 | U.S. Small Business Administration Class 1 Series 2002-20L | 5.100% | 12/1/22 | 91 | 94 | |
3 | U.S. Small Business Administration Class 1 Series 2004-20F | 5.520% | 6/1/24 | 315 | 334 | |
3 | U.S. Small Business Administration Class 1 Series 2004-20G | 5.190% | 7/1/24 | 91 | 96 | |
3 | U.S. Small Business Administration Class 1 Series 2005-20A | 4.860% | 1/1/25 | 96 | 101 | |
3 | U.S. Small Business Administration Class 1 Series 2005-20B | 4.625% | 2/1/25 | 54 | 57 | |
3 | U.S. Small Business Administration Class 1 Series 2005-20C | 4.950% | 3/1/25 | 39 | 42 | |
3 | U.S. Small Business Administration Class 1 Series 2005-20G | 4.750% | 7/1/25 | 27 | 29 | |
3 | U.S. Small Business Administration Class 1 Series 2007-20G | 5.820% | 7/1/27 | 431 | 476 | |
3 | U.S. Small Business Administration Class 1 Series 2007-20I | 5.560% | 9/1/27 | 2,250 | 2,481 | |
3 | U.S. Small Business Administration Class 1 Series 2007-20L | 5.290% | 12/1/27 | 29 | 32 | |
3 | U.S. Small Business Administration Class 1 Series 2008-20B | 5.160% | 2/1/28 | 70 | 77 | |
3 | U.S. Small Business Administration Class 1 Series 2008-20C | 5.490% | 3/1/28 | 64 | 71 | |
3 | U.S. Small Business Administration Class 1 Series 2008-20D | 5.370% | 4/1/28 | 153 | 167 | |
3 | U.S. Small Business Administration Class 1 Series 2008-20F | 5.680% | 6/1/28 | 43 | 47 | |
3 | U.S. Small Business Administration Class 1 Series 2008-20H | 6.020% | 8/1/28 | 50 | 56 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | U.S. Small Business Administration Class 1 Series 2008-20J | 5.630% | 10/1/28 | 63 | 69 | |
3 | U.S. Small Business Administration Class 1 Series 2009-20A | 5.720% | 1/1/29 | 37 | 41 | |
3 | U.S. Small Business Administration Class 1 Series 2010-20H | 3.520% | 8/1/30 | 105 | 114 | |
3 | U.S. Small Business Administration Class 1 Series 2011-20B | 4.220% | 2/1/31 | 200 | 219 | |
3 | U.S. Small Business Administration Class 1 Series 2011-20H | 3.290% | 8/1/31 | 53 | 57 | |
3 | U.S. Small Business Administration Class 1 Series 2012-20I | 2.200% | 9/1/32 | 38 | 39 | |
3 | U.S. Small Business Administration Class 1 Series 2013-20G | 3.150% | 7/1/33 | 54 | 58 | |
3 | U.S. Small Business Administration Class 1 Series 2013-20K | 3.380% | 11/1/33 | 70 | 76 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20B | 3.220% | 2/1/38 | 16,744 | 18,408 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20D | 3.310% | 4/1/38 | 24,563 | 27,129 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20E | 3.500% | 5/1/38 | 6,776 | 7,545 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20F | 3.600% | 6/1/38 | 12,285 | 13,728 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20J | 3.770% | 10/1/38 | 23,431 | 26,442 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20K | 3.870% | 11/1/38 | 13,550 | 15,290 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20L | 3.540% | 12/1/38 | 17,621 | 19,639 | |
3 | U.S. Small Business Administration Class 1 Series 2018-25F | 3.670% | 12/1/43 | 1,978 | 2,220 | |
3 | U.S. Small Business Administration Class 1 Series 2019-20A | 3.370% | 1/1/39 | 7,377 | 8,168 | |
3 | U.S. Small Business Administration Class 1 Series 2019-20C | 3.200% | 3/1/39 | 7,819 | 8,586 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $156,297) | 172,891 | |||||
Sovereign Bonds (0.1%) | ||||||
7 | State of Israel (Cost $6,254) | 0.000% | 11/1/24 | 6,905 | 6,707 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (4.7%) | ||||||
Money Market Fund (4.7%) | ||||||
8 | Vanguard Market Liquidity Fund (Cost $391,672) | 0.064% | 3,916,761 | 391,676 | ||
Total Investments (105.8%) (Cost $8,885,424) | 8,916,600 | |||||
Other Assets and Liabilities—Net (-5.8%) | (488,029) | |||||
Net Assets (100%) | 8,428,571 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $29,280,000 have been segregated as initial margin for open futures contracts. |
2 | 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. |
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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021. |
5 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
6 | Interest-only security. |
7 | U.S. government-guaranteed. |
8 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
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 2021 | 1,313 | 289,722 | 221 |
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (4,684) | (629,778) | (11,447) |
5-Year U.S. Treasury Note | September 2021 | (8,064) | (1,003,527) | (7,771) |
Long U.S. Treasury Bond | September 2021 | (86) | (14,166) | (740) |
Ultra 10-Year U.S. Treasury Note | September 2021 | (5,248) | (788,512) | (30,272) |
Ultra Long U.S. Treasury Bond | September 2021 | (9) | (1,796) | (127) |
(50,357) | ||||
(50,136) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $8,493,752) | 8,524,924 |
Affiliated Issuers (Cost $391,672) | 391,676 |
Total Investments in Securities | 8,916,600 |
Investment in Vanguard | 285 |
Cash | 811 |
Receivables for Investment Securities Sold | 627,995 |
Receivables for Accrued Income | 11,261 |
Receivables for Capital Shares Issued | 38,401 |
Other Assets | 111 |
Total Assets | 9,595,464 |
Liabilities | |
Payables for Investment Securities Purchased | 1,154,740 |
Payables for Capital Shares Redeemed | 7,914 |
Payables for Distributions | 465 |
Payables to Vanguard | 399 |
Variation Margin Payable—Futures Contracts | 3,375 |
Total Liabilities | 1,166,893 |
Net Assets | 8,428,571 |
At July 31, 2021, net assets consisted of: | |
Paid-in Capital | 8,364,047 |
Total Distributable Earnings (Loss) | 64,524 |
Net Assets | 8,428,571 |
Investor Shares—Net Assets | |
Applicable to 66,620,389 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 730,167 |
Net Asset Value Per Share—Investor Shares | $10.96 |
Admiral Shares—Net Assets | |
Applicable to 702,402,084 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,698,404 |
Net Asset Value Per Share—Admiral Shares | $10.96 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 31,080 |
Total Income | 31,080 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 308 |
Management and Administrative—Investor Shares | 617 |
Management and Administrative—Admiral Shares | 3,195 |
Marketing and Distribution—Investor Shares | 47 |
Marketing and Distribution—Admiral Shares | 178 |
Custodian Fees | 50 |
Shareholders’ Reports—Investor Shares | 30 |
Shareholders’ Reports—Admiral Shares | 47 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 4,474 |
Net Investment Income | 26,606 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 23,128 |
Futures Contracts | 85,912 |
Options Purchased | (527) |
Options Written | 379 |
Realized Net Gain (Loss) | 108,892 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (51,482) |
Futures Contracts | (68,813) |
Change in Unrealized Appreciation (Depreciation) | (120,295) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,203 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $487,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 26,606 | 80,150 | |
Realized Net Gain (Loss) | 108,892 | 102,324 | |
Change in Unrealized Appreciation (Depreciation) | (120,295) | 44,479 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,203 | 226,953 | |
Distributions | |||
Investor Shares | (4,975) | (10,838) | |
Admiral Shares | (54,041) | (98,386) | |
Total Distributions | (59,016) | (109,224) | |
Capital Share Transactions | |||
Investor Shares | (33,014) | 130,437 | |
Admiral Shares | 458,309 | 2,804,847 | |
Net Increase (Decrease) from Capital Share Transactions | 425,295 | 2,935,284 | |
Total Increase (Decrease) | 381,482 | 3,053,013 | |
Net Assets | |||
Beginning of Period | 8,047,089 | 4,994,076 | |
End of Period | 8,428,571 | 8,047,089 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.02 | $10.79 | $10.57 | $10.55 | $10.70 | $10.79 |
Investment Operations | ||||||
Net Investment Income | .0301 | .1251 | .2461 | .2081 | .1421 | .116 |
Net Realized and Unrealized Gain (Loss) on Investments | (.016) | .274 | .221 | .021 | (.144) | (.063) |
Total from Investment Operations | .014 | .399 | .467 | .229 | (.002) | .053 |
Distributions | ||||||
Dividends from Net Investment Income | (.030) | (.127) | (.247) | (.209) | (.142) | (.116) |
Distributions from Realized Capital Gains | (.044) | (.042) | — | — | (.006) | (.027) |
Total Distributions | (.074) | (.169) | (.247) | (.209) | (.148) | (.143) |
Net Asset Value, End of Period | $10.96 | $11.02 | $10.79 | $10.57 | $10.55 | $10.70 |
Total Return2 | 0.12% | 3.71% | 4.46% | 2.20% | -0.02% | 0.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $730 | $767 | $623 | $622 | $719 | $827 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.56% | 1.14% | 2.30% | 1.98% | 1.33% | 1.07% |
Portfolio Turnover Rate3 | 199% | 663% | 499% | 327% | 211% | 304% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 50%, 180%, 32%, 90%, 30%, and 38%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.02 | $10.79 | $10.57 | $10.55 | $10.70 | $10.79 |
Investment Operations | ||||||
Net Investment Income | .0361 | .1301 | .2571 | .2191 | .1531 | .127 |
Net Realized and Unrealized Gain (Loss) on Investments | (.017) | .280 | .220 | .020 | (.144) | (.063) |
Total from Investment Operations | .019 | .410 | .477 | .239 | .009 | .064 |
Distributions | ||||||
Dividends from Net Investment Income | (.035) | (.138) | (.257) | (.219) | (.153) | (.127) |
Distributions from Realized Capital Gains | (.044) | (.042) | — | — | (.006) | (.027) |
Total Distributions | (.079) | (.180) | (.257) | (.219) | (.159) | (.154) |
Net Asset Value, End of Period | $10.96 | $11.02 | $10.79 | $10.57 | $10.55 | $10.70 |
Total Return2 | 0.17% | 3.81% | 4.56% | 2.30% | 0.08% | 0.59% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,698 | $7,280 | $4,371 | $3,963 | $4,239 | $4,819 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.66% | 1.19% | 2.40% | 2.08% | 1.43% | 1.17% |
Portfolio Turnover Rate3 | 199% | 663% | 499% | 327% | 211% | 304% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 50%, 180%, 32%, 90%, 30%, and 38%, respectively, attributable to mortgage-dollar-roll activity. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 8,345,326 | — | 8,345,326 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 172,891 | — | 172,891 |
Sovereign Bonds | — | 6,707 | — | 6,707 |
Temporary Cash Investments | 391,676 | — | — | 391,676 |
Total | 391,676 | 8,524,924 | — | 8,916,600 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 221 | — | — | 221 |
Liabilities | ||||
Futures Contracts1 | 50,357 | — | — | 50,357 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 8,893,650 |
Gross Unrealized Appreciation | 41,433 |
Gross Unrealized Depreciation | (68,619) |
Net Unrealized Appreciation (Depreciation) | (27,186) |
E. | During the six months ended July 31, 2021, the fund purchased $16,393,065,000 of investment securities and sold $15,193,048,000 of investment securities, other than temporary cash investments. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 135,382 | 12,336 | 541,122 | 49,278 | |
Issued in Lieu of Cash Distributions | 4,404 | 403 | 9,577 | 872 | |
Redeemed | (172,800) | (15,747) | (420,262) | (38,267) | |
Net Increase (Decrease)—Investor Shares | (33,014) | (3,008) | 130,437 | 11,883 | |
Admiral Shares | |||||
Issued | 1,998,838 | 182,199 | 5,382,618 | 490,282 | |
Issued in Lieu of Cash Distributions | 47,373 | 4,329 | 86,834 | 7,902 | |
Redeemed | (1,587,902) | (144,801) | (2,664,605) | (242,718) | |
Net Increase (Decrease)—Admiral Shares | 458,309 | 41,727 | 2,804,847 | 255,466 |
G. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
Agency Bonds and Notes | 3.7% |
Asset-Backed/Commercial Mortgage-Backed Securities | 2.7 |
Government Mortgage-Backed Securities | 0.4 |
Sovereign Bonds | 0.7 |
U.S. Government Securities | 92.5 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (96.1%) | ||||||
U.S. Government Securities (92.1%) | ||||||
U.S. Treasury Note/Bond | 2.625% | 12/31/23 | 39,000 | 41,224 | ||
U.S. Treasury Note/Bond | 2.125% | 2/29/24 | 31,000 | 32,477 | ||
U.S. Treasury Note/Bond | 2.375% | 2/29/24 | 39,500 | 41,623 | ||
U.S. Treasury Note/Bond | 2.125% | 3/31/24 | 54,000 | 56,624 | ||
U.S. Treasury Note/Bond | 2.250% | 4/30/24 | 46,200 | 48,654 | ||
U.S. Treasury Note/Bond | 2.000% | 6/30/24 | 34,500 | 36,166 | ||
U.S. Treasury Note/Bond | 1.250% | 8/31/24 | 6,600 | 6,777 | ||
U.S. Treasury Note/Bond | 1.875% | 8/31/24 | 70,000 | 73,227 | ||
U.S. Treasury Note/Bond | 1.500% | 9/30/24 | 82,600 | 85,504 | ||
U.S. Treasury Note/Bond | 2.125% | 9/30/24 | 69,000 | 72,784 | ||
U.S. Treasury Note/Bond | 2.250% | 10/31/24 | 47,700 | 50,547 | ||
U.S. Treasury Note/Bond | 2.250% | 11/15/24 | 20,200 | 21,412 | ||
U.S. Treasury Note/Bond | 1.500% | 11/30/24 | 102,500 | 106,184 | ||
U.S. Treasury Note/Bond | 1.750% | 12/31/24 | 30,000 | 31,345 | ||
U.S. Treasury Note/Bond | 2.250% | 12/31/24 | 26,400 | 28,025 | ||
U.S. Treasury Note/Bond | 2.000% | 2/15/25 | 167,500 | 176,529 | ||
U.S. Treasury Note/Bond | 1.125% | 2/28/25 | 209,130 | 214,031 | ||
U.S. Treasury Note/Bond | 2.750% | 2/28/25 | 122,400 | 132,345 | ||
U.S. Treasury Note/Bond | 2.625% | 3/31/25 | 45,300 | 48,825 | ||
U.S. Treasury Note/Bond | 0.375% | 4/30/25 | 75,500 | 75,146 | ||
U.S. Treasury Note/Bond | 2.125% | 5/15/25 | 121,600 | 128,972 | ||
U.S. Treasury Note/Bond | 0.250% | 5/31/25 | 41,700 | 41,277 | ||
U.S. Treasury Note/Bond | 0.250% | 6/30/25 | 73,200 | 72,399 | ||
U.S. Treasury Note/Bond | 0.250% | 7/31/25 | 157,300 | 155,481 | ||
U.S. Treasury Note/Bond | 2.875% | 7/31/25 | 74,100 | 80,931 | ||
U.S. Treasury Note/Bond | 2.000% | 8/15/25 | 30,600 | 32,369 | ||
U.S. Treasury Note/Bond | 0.250% | 8/31/25 | 130,800 | 129,165 | ||
U.S. Treasury Note/Bond | 2.750% | 8/31/25 | 43,600 | 47,463 | ||
U.S. Treasury Note/Bond | 0.250% | 9/30/25 | 101,400 | 100,053 | ||
U.S. Treasury Note/Bond | 0.250% | 10/31/25 | 108,000 | 106,464 | ||
U.S. Treasury Note/Bond | 2.250% | 11/15/25 | 49,000 | 52,453 | ||
U.S. Treasury Note/Bond | 0.375% | 11/30/25 | 121,100 | 119,946 | ||
U.S. Treasury Note/Bond | 2.875% | 11/30/25 | 44,000 | 48,283 | ||
U.S. Treasury Note/Bond | 0.375% | 12/31/25 | 75,800 | 75,018 | ||
U.S. Treasury Note/Bond | 0.375% | 1/31/26 | 162,300 | 160,474 | ||
U.S. Treasury Note/Bond | 1.625% | 2/15/26 | 60,684 | 63,377 | ||
U.S. Treasury Note/Bond | 6.000% | 2/15/26 | 17,000 | 21,083 | ||
U.S. Treasury Note/Bond | 0.500% | 2/28/26 | 129,400 | 128,591 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Treasury Note/Bond | 0.750% | 3/31/26 | 21,000 | 21,098 | ||
U.S. Treasury Note/Bond | 2.250% | 3/31/26 | 7,450 | 7,999 | ||
U.S. Treasury Note/Bond | 2.375% | 4/30/26 | 64,000 | 69,130 | ||
U.S. Treasury Note/Bond | 1.625% | 5/15/26 | 90,300 | 94,364 | ||
U.S. Treasury Note/Bond | 0.750% | 5/31/26 | 70,000 | 70,241 | ||
U.S. Treasury Note/Bond | 2.125% | 5/31/26 | 110,300 | 117,918 | ||
U.S. Treasury Note/Bond | 1.875% | 6/30/26 | 39,900 | 42,194 | ||
U.S. Treasury Note/Bond | 1.875% | 7/31/26 | 36,000 | 38,087 | ||
U.S. Treasury Note/Bond | 1.500% | 8/15/26 | 147,000 | 152,765 | ||
U.S. Treasury Note/Bond | 1.625% | 9/30/26 | 136,400 | 142,666 | ||
U.S. Treasury Note/Bond | 2.000% | 11/15/26 | 155,100 | 165,206 | ||
U.S. Treasury Note/Bond | 6.500% | 11/15/26 | 5,000 | 6,491 | ||
U.S. Treasury Note/Bond | 2.250% | 2/15/27 | 150,000 | 161,953 | ||
U.S. Treasury Note/Bond | 6.625% | 2/15/27 | 7,000 | 9,216 | ||
U.S. Treasury Note/Bond | 1.125% | 2/28/27 | 19,100 | 19,458 | ||
U.S. Treasury Note/Bond | 2.375% | 5/15/27 | 34,000 | 37,002 | ||
U.S. Treasury Note/Bond | 2.250% | 8/15/27 | 73,900 | 79,997 | ||
U.S. Treasury Note/Bond | 0.500% | 10/31/27 | 66,000 | 64,412 | ||
U.S. Treasury Note/Bond | 2.250% | 11/15/27 | 49,500 | 53,615 | ||
U.S. Treasury Note/Bond | 6.125% | 11/15/27 | 14,000 | 18,489 | ||
U.S. Treasury Note/Bond | 0.625% | 11/30/27 | 120,800 | 118,686 | ||
U.S. Treasury Note/Bond | 0.625% | 12/31/27 | 75,500 | 74,108 | ||
U.S. Treasury Note/Bond | 0.750% | 1/31/28 | 80,600 | 79,668 | ||
U.S. Treasury Note/Bond | 2.750% | 2/15/28 | 143,500 | 160,092 | ||
U.S. Treasury Note/Bond | 1.125% | 2/29/28 | 36,640 | 37,075 | ||
U.S. Treasury Note/Bond | 1.250% | 3/31/28 | 118,900 | 121,148 | ||
U.S. Treasury Note/Bond | 1.250% | 4/30/28 | 33,700 | 34,321 | ||
U.S. Treasury Note/Bond | 2.875% | 5/15/28 | 109,700 | 123,515 | ||
U.S. Treasury Note/Bond | 1.250% | 6/30/28 | 50,000 | 50,867 | ||
U.S. Treasury Note/Bond | 2.875% | 8/15/28 | 184,700 | 208,336 | ||
U.S. Treasury Note/Bond | 5.500% | 8/15/28 | 10,000 | 13,075 | ||
U.S. Treasury Note/Bond | 3.125% | 11/15/28 | 203,500 | 233,516 | ||
U.S. Treasury Note/Bond | 5.250% | 11/15/28 | 19,500 | 25,320 | ||
U.S. Treasury Note/Bond | 2.625% | 2/15/29 | 127,900 | 142,449 | ||
U.S. Treasury Note/Bond | 5.250% | 2/15/29 | 10,000 | 13,047 | ||
U.S. Treasury Note/Bond | 2.375% | 5/15/29 | 16,500 | 18,096 | ||
U.S. Treasury Note/Bond | 1.500% | 2/15/30 | 23,500 | 24,187 | ||
1 | U.S. Treasury Note/Bond | 0.625% | 5/15/30 | 67,250 | 64,213 | |
U.S. Treasury Note/Bond | 0.625% | 8/15/30 | 114,200 | 108,740 | ||
U.S. Treasury Note/Bond | 0.875% | 11/15/30 | 126,400 | 122,806 | ||
U.S. Treasury Note/Bond | 1.125% | 2/15/31 | 113,500 | 112,578 | ||
6,201,392 | ||||||
Agency Bonds and Notes (3.7%) | ||||||
2 | Fannie Mae Interest Strip | 0.000% | 5/15/29 | 18,875 | 17,017 | |
2 | Fannie Mae Principal Strip | 0.000% | 1/15/30 | 16,000 | 14,202 | |
2 | Fannie Mae Principal Strip | ��� 0.000% | 5/15/30 | 55,682 | 49,063 | |
2 | Fannie Mae Principal Strip | 0.000% | 11/15/30 | 6,000 | 5,210 | |
2 | Freddie Mac Strips | 0.000% | 3/15/31 | 28,909 | 24,882 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 4,150 | 4,209 | ||
Private Export Funding Corp. | 3.550% | 1/15/24 | 10,300 | 11,078 | ||
Private Export Funding Corp. | 1.400% | 7/15/28 | 34,000 | 34,429 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/28 | 2,260 | 2,100 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 4/15/30 | 98,000 | 86,455 | ||
248,645 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Nonconventional Mortgage-Backed Securities (0.3%) | ||||||
2,3 | Fannie Mae REMICS | 1.750% | 5/25/43–4/25/44 | 3,630 | 3,714 | |
2,3 | Fannie Mae REMICS | 2.250% | 10/25/43 | 4,136 | 4,259 | |
2,3 | Fannie Mae REMICS | 2.500% | 9/25/49 | 3,410 | 3,572 | |
2,3 | Fannie Mae REMICS | 3.000% | 2/25/43 | 136 | 140 | |
2,3 | Fannie Mae REMICS | 3.500% | 6/25/48 | 3,175 | 3,316 | |
2,3 | Freddie Mac REMICS | 3.500% | 6/15/38 | 1,388 | 1,404 | |
3 | Ginnie Mae | 2.750% | 1/20/46 | 1,862 | 1,896 | |
3 | Ginnie Mae | 3.000% | 8/20/46–2/20/48 | 2,455 | 2,583 | |
3 | Ginnie Mae | 3.500% | 6/20/48–2/20/49 | 2,452 | 2,677 | |
23,561 | ||||||
Total U.S. Government and Agency Obligations (Cost $6,404,457) | 6,473,598 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.7%) | ||||||
3 | U.S. Small Business Administration Class 1 Series 2018-20B | 3.220% | 2/1/38 | 20,734 | 22,795 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20D | 3.310% | 4/1/38 | 30,370 | 33,543 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20E | 3.500% | 5/1/38 | 8,282 | 9,221 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20F | 3.600% | 6/1/38 | 14,589 | 16,302 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20J | 3.770% | 10/1/38 | 27,606 | 31,153 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20K | 3.870% | 11/1/38 | 17,232 | 19,444 | |
3 | U.S. Small Business Administration Class 1 Series 2018-20L | 3.540% | 12/1/38 | 22,586 | 25,173 | |
3 | U.S. Small Business Administration Class 1 Series 2018-25F | 3.670% | 12/1/43 | 2,322 | 2,607 | |
3 | U.S. Small Business Administration Class 1 Series 2019-20A | 3.370% | 1/1/39 | 9,184 | 10,168 | |
3 | U.S. Small Business Administration Class 1 Series 2019-20C | 3.200% | 3/1/39 | 9,643 | 10,589 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $162,633) | 180,995 | |||||
Sovereign Bonds (0.7%) | ||||||
4 | State of Israel (Cost $45,714) | 0.000% | 11/1/24 | 50,000 | 48,564 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (2.2%) | ||||||
Money Market Fund (2.2%) | ||||||
5 | Vanguard Market Liquidity Fund (Cost $145,407) | 0.064% | 1,454,072 | 145,407 | ||
Total Investments (101.7%) (Cost $6,758,211) | 6,848,564 | |||||
Other Assets and Liabilities—Net (-1.7%) | (112,119) | |||||
Net Assets (100%) | 6,736,445 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $2,557,000 have been segregated as initial margin for open futures contracts. |
2 | 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. |
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 | U.S. government-guaranteed. |
5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
REMICS—Real Estate Mortgage Investment Conduits. |
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 | 723 | 89,974 | 76 |
Ultra 10-Year U.S. Treasury Note | September 2021 | 682 | 102,471 | 502 |
578 | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (1,002) | (134,722) | (1,825) |
2-Year U.S. Treasury Note | September 2021 | (1,003) | (221,318) | (147) |
Ultra Long U.S. Treasury Bond | September 2021 | (14) | (2,793) | 27 |
(1,945) | ||||
(1,367) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,612,804) | 6,703,157 |
Affiliated Issuers (Cost $145,407) | 145,407 |
Total Investments in Securities | 6,848,564 |
Investment in Vanguard | 229 |
Cash | 184 |
Receivables for Investment Securities Sold | 107,478 |
Receivables for Accrued Income | 34,047 |
Receivables for Capital Shares Issued | 3,527 |
Variation Margin Receivable—Futures Contracts | 369 |
Other Assets | 67 |
Total Assets | 6,994,465 |
Liabilities | |
Payables for Investment Securities Purchased | 252,090 |
Payables for Capital Shares Redeemed | 4,607 |
Payables for Distributions | 990 |
Payables to Vanguard | 333 |
Total Liabilities | 258,020 |
Net Assets | 6,736,445 |
At July 31, 2021, net assets consisted of: | |
Paid-in Capital | 6,686,345 |
Total Distributable Earnings (Loss) | 50,100 |
Net Assets | 6,736,445 |
Investor Shares—Net Assets | |
Applicable to 74,757,143 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 864,731 |
Net Asset Value Per Share—Investor Shares | $11.57 |
Admiral Shares—Net Assets | |
Applicable to 507,617,846 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,871,714 |
Net Asset Value Per Share—Admiral Shares | $11.57 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 39,558 |
Total Income | 39,558 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 361 |
Management and Administrative—Investor Shares | 714 |
Management and Administrative—Admiral Shares | 2,352 |
Marketing and Distribution—Investor Shares | 63 |
Marketing and Distribution—Admiral Shares | 201 |
Custodian Fees | 24 |
Shareholders’ Reports—Investor Shares | 50 |
Shareholders’ Reports—Admiral Shares | 56 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 3,824 |
Net Investment Income | 35,734 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (35,886) |
Futures Contracts | 11,022 |
Options Purchased | (610) |
Options Written | (4,394) |
Realized Net Gain (Loss) | (29,868) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (5,008) |
Futures Contracts | (5,248) |
Options Purchased | 27 |
Options Written | (30) |
Change in Unrealized Appreciation (Depreciation) | (10,259) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,393) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $17,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 35,734 | 82,483 | |
Realized Net Gain (Loss) | (29,868) | 392,594 | |
Change in Unrealized Appreciation (Depreciation) | (10,259) | (113,488) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,393) | 361,589 | |
Distributions | |||
Investor Shares | (5,806) | (45,250) | |
Admiral Shares | (41,192) | (296,030) | |
Total Distributions | (46,998) | (341,280) | |
Capital Share Transactions | |||
Investor Shares | (81,301) | 30,081 | |
Admiral Shares | (321,015) | 771,609 | |
Net Increase (Decrease) from Capital Share Transactions | (402,316) | 801,690 | |
Total Increase (Decrease) | (453,707) | 821,999 | |
Net Assets | |||
Beginning of Period | 7,190,152 | 6,368,153 | |
End of Period | 6,736,445 | 7,190,152 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.65 | $11.57 | $10.96 | $10.88 | $11.11 | $11.51 |
Investment Operations | ||||||
Net Investment Income | .0551 | .1291 | .2551 | .2601 | .1981 | .177 |
Net Realized and Unrealized Gain (Loss) on Investments | (.061) | .507 | .611 | .081 | (.230) | (.271) |
Total from Investment Operations | (.006) | .636 | .866 | .341 | (.032) | (.094) |
Distributions | ||||||
Dividends from Net Investment Income | (.055) | (.127) | (.256) | (.261) | (.198) | (.177) |
Distributions from Realized Capital Gains | (.019) | (.429) | — | — | — | (.129) |
Total Distributions | (.074) | (.556) | (.256) | (.261) | (.198) | (.306) |
Net Asset Value, End of Period | $11.57 | $11.65 | $11.57 | $10.96 | $10.88 | $11.11 |
Total Return2 | -0.04% | 5.50% | 7.98% | 3.20% | -0.31% | -0.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $865 | $953 | $917 | $837 | $967 | $1,185 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.97% | 1.07% | 2.27% | 2.42% | 1.78% | 1.53% |
Portfolio Turnover Rate3 | 127% | 309% | 214% | 231% | 181% | 152% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 3%, 37%, 5%, 35%, 6% and 3%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.65 | $11.57 | $10.96 | $10.88 | $11.11 | $11.51 |
Investment Operations | ||||||
Net Investment Income | .0611 | .1391 | .2671 | .2721 | .2101 | .188 |
Net Realized and Unrealized Gain (Loss) on Investments | (.061) | .509 | .610 | .080 | (.230) | (.271) |
Total from Investment Operations | — | .648 | .877 | .352 | (.020) | (.083) |
Distributions | ||||||
Dividends from Net Investment Income | (.061) | (.139) | (.267) | (.272) | (.210) | (.188) |
Distributions from Realized Capital Gains | (.019) | (.429) | — | — | — | (.129) |
Total Distributions | (.080) | (.568) | (.267) | (.272) | (.210) | (.317) |
Net Asset Value, End of Period | $11.57 | $11.65 | $11.57 | $10.96 | $10.88 | $11.11 |
Total Return2 | 0.01% | 5.60% | 8.09% | 3.30% | -0.21% | -0.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,872 | $6,237 | $5,452 | $4,976 | $5,100 | $5,190 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 1.16% | 2.37% | 2.52% | 1.88% | 1.63% |
Portfolio Turnover Rate3 | 127% | 309% | 214% | 231% | 181% | 152% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 3%, 37%, 5%, 35%, 6% and 3%, respectively, attributable to mortgage-dollar-roll activity. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 6,473,598 | — | 6,473,598 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 180,995 | — | 180,995 |
Sovereign Bonds | — | 48,564 | — | 48,564 |
Temporary Cash Investments | 145,407 | — | — | 145,407 |
Total | 145,407 | 6,703,157 | — | 6,848,564 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 605 | — | — | 605 |
Liabilities | ||||
Futures Contracts1 | 1,972 | — | — | 1,972 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 6,764,300 |
Gross Unrealized Appreciation | 103,774 |
Gross Unrealized Depreciation | (20,877) |
Net Unrealized Appreciation (Depreciation) | 82,897 |
E. | During the six months ended July 31, 2021, the fund purchased $8,641,998,000 of investment securities and sold $9,380,104,000 of investment securities, other than temporary cash investments. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 71,300 | 6,210 | 430,736 | 35,860 | |
Issued in Lieu of Cash Distributions | 5,380 | 471 | 42,262 | 3,591 | |
Redeemed | (157,981) | (13,781) | (442,917) | (36,819) | |
Net Increase (Decrease)—Investor Shares | (81,301) | (7,100) | 30,081 | 2,632 | |
Admiral Shares | |||||
Issued | 747,210 | 65,184 | 2,920,648 | 242,850 | |
Issued in Lieu of Cash Distributions | 34,230 | 2,995 | 249,608 | 21,208 | |
Redeemed | (1,102,455) | (96,145) | (2,398,647) | (199,657) | |
Net Increase (Decrease)—Admiral Shares | (321,015) | (27,966) | 771,609 | 64,401 |
G. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
Agency Bonds and Notes | 6.3% |
Government Mortgage-Backed Securities | 0.5 |
U.S. Government Securities | 93.2 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (97.8%) | ||||||
U.S. Government Securities (91.1%) | ||||||
U.S. Treasury Note/Bond | 1.250% | 4/30/28 | 12,300 | 12,527 | ||
U.S. Treasury Note/Bond | 0.625% | 5/15/30 | 1,700 | 1,623 | ||
U.S. Treasury Note/Bond | 1.125% | 2/15/31 | 22,000 | 21,821 | ||
U.S. Treasury Note/Bond | 4.500% | 2/15/36 | 39,100 | 54,899 | ||
U.S. Treasury Note/Bond | 4.750% | 2/15/37 | 14,000 | 20,344 | ||
U.S. Treasury Note/Bond | 5.000% | 5/15/37 | 15,000 | 22,378 | ||
U.S. Treasury Note/Bond | 4.375% | 2/15/38 | 16,122 | 22,762 | ||
U.S. Treasury Note/Bond | 4.500% | 5/15/38 | 11,000 | 15,761 | ||
U.S. Treasury Note/Bond | 4.250% | 5/15/39 | 29,600 | 41,588 | ||
U.S. Treasury Note/Bond | 4.500% | 8/15/39 | 16,667 | 24,117 | ||
U.S. Treasury Note/Bond | 4.375% | 11/15/39 | 48,000 | 68,580 | ||
U.S. Treasury Note/Bond | 4.625% | 2/15/40 | 24,700 | 36,394 | ||
U.S. Treasury Note/Bond | 1.125% | 5/15/40 | 94,050 | 84,057 | ||
U.S. Treasury Note/Bond | 1.125% | 8/15/40 | 90,300 | 80,438 | ||
U.S. Treasury Note/Bond | 3.875% | 8/15/40 | 9,791 | 13,230 | ||
U.S. Treasury Note/Bond | 1.375% | 11/15/40 | 100,900 | 93,790 | ||
U.S. Treasury Note/Bond | 1.875% | 2/15/41 | 143,800 | 145,508 | ||
U.S. Treasury Note/Bond | 4.375% | 5/15/41 | 20,863 | 30,114 | ||
U.S. Treasury Note/Bond | 3.750% | 8/15/41 | 33,170 | 44,334 | ||
U.S. Treasury Note/Bond | 3.125% | 11/15/41 | 4,300 | 5,280 | ||
U.S. Treasury Note/Bond | 3.125% | 2/15/42 | 33,000 | 40,575 | ||
U.S. Treasury Note/Bond | 3.000% | 5/15/42 | 15,000 | 18,098 | ||
U.S. Treasury Note/Bond | 2.750% | 8/15/42 | 18,500 | 21,500 | ||
U.S. Treasury Note/Bond | 2.750% | 11/15/42 | 56,000 | 65,074 | ||
U.S. Treasury Note/Bond | 3.125% | 2/15/43 | 20,111 | 24,752 | ||
U.S. Treasury Note/Bond | 2.875% | 5/15/43 | 63,446 | 75,224 | ||
U.S. Treasury Note/Bond | 3.625% | 8/15/43 | 57,264 | 75,893 | ||
U.S. Treasury Note/Bond | 3.750% | 11/15/43 | 20,557 | 27,790 | ||
U.S. Treasury Note/Bond | 3.125% | 8/15/44 | 54,849 | 67,901 | ||
U.S. Treasury Note/Bond | 3.000% | 11/15/44 | 55,251 | 67,095 | ||
U.S. Treasury Note/Bond | 2.500% | 2/15/45 | 105,900 | 118,443 | ||
U.S. Treasury Note/Bond | 3.000% | 5/15/45 | 91,705 | 111,709 | ||
U.S. Treasury Note/Bond | 2.875% | 8/15/45 | 40,963 | 48,919 | ||
U.S. Treasury Note/Bond | 3.000% | 11/15/45 | 13,600 | 16,613 | ||
U.S. Treasury Note/Bond | 2.500% | 2/15/46 | 77,795 | 87,203 | ||
U.S. Treasury Note/Bond | 2.500% | 5/15/46 | 66,810 | 74,952 | ||
U.S. Treasury Note/Bond | 2.250% | 8/15/46 | 68,500 | 73,391 | ||
U.S. Treasury Note/Bond | 2.875% | 11/15/46 | 85,969 | 103,230 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Treasury Note/Bond | 3.000% | 2/15/47 | 73,198 | 89,942 | ||
U.S. Treasury Note/Bond | 3.000% | 5/15/47 | 48,636 | 59,830 | ||
U.S. Treasury Note/Bond | 2.750% | 8/15/47 | 124,117 | 146,187 | ||
U.S. Treasury Note/Bond | 2.750% | 11/15/47 | 95,690 | 112,809 | ||
U.S. Treasury Note/Bond | 3.000% | 2/15/48 | 115,804 | 142,837 | ||
U.S. Treasury Note/Bond | 3.125% | 5/15/48 | 51,162 | 64,552 | ||
U.S. Treasury Note/Bond | 3.000% | 8/15/48 | 114,533 | 141,537 | ||
U.S. Treasury Note/Bond | 3.375% | 11/15/48 | 110,061 | 145,366 | ||
U.S. Treasury Note/Bond | 3.000% | 2/15/49 | 120,420 | 149,245 | ||
1 | U.S. Treasury Note/Bond | 2.875% | 5/15/49 | 120,761 | 146,499 | |
U.S. Treasury Note/Bond | 2.250% | 8/15/49 | 112,500 | 120,955 | ||
U.S. Treasury Note/Bond | 2.375% | 11/15/49 | 92,400 | 102,073 | ||
U.S. Treasury Note/Bond | 2.000% | 2/15/50 | 106,000 | 108,137 | ||
U.S. Treasury Note/Bond | 1.250% | 5/15/50 | 43,600 | 37,108 | ||
U.S. Treasury Note/Bond | 1.375% | 8/15/50 | 100,797 | 88,544 | ||
U.S. Treasury Note/Bond | 1.625% | 11/15/50 | 60,012 | 56,101 | ||
U.S. Treasury Note/Bond | 1.875% | 2/15/51 | 18,700 | 18,560 | ||
U.S. Treasury Note/Bond | 2.375% | 5/15/51 | 3,400 | 3,772 | ||
3,691,961 | ||||||
Agency Bonds and Notes (6.2%) | ||||||
2 | Fannie Mae Interest Strip | 0.000% | 5/15/29 | 4,592 | 4,140 | |
2 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 60,829 | 53,598 | |
2 | Fannie Mae Principal Strip | 0.000% | 8/6/38 | 1,000 | 707 | |
Federal Home Loan Mortgage Corp. | 0.000% | 12/14/29 | 20,000 | 17,773 | ||
2 | Federal National Mortgage Association | 0.000% | 11/15/30 | 55,000 | 47,717 | |
2 | Federal National Mortgage Association | 0.000% | 10/3/33 | 8,000 | 6,467 | |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/28 | 1,771 | 1,639 | |
2 | Freddie Mac Coupon Strips | 0.000% | 9/15/28 | 1,000 | 914 | |
2 | Freddie Mac Coupon Strips | 0.000% | 1/15/30 | 15,658 | 13,898 | |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/30 | 12,896 | 11,410 | |
2 | Freddie Mac Strips | 0.000% | 3/15/31 | 75,000 | 64,552 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/28 | 8,702 | 8,088 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 1/15/30 | 20,000 | 17,737 | ||
248,640 | ||||||
Conventional Mortgage-Backed Securities (0.0%) | ||||||
2,3 | UMBS Pool | 6.000% | 2/1/26–11/1/28 | 5 | 6 | |
Nonconventional Mortgage-Backed Securities (0.5%) | ||||||
2,3 | Fannie Mae REMICS | 3.000% | 2/25/44 | 2,070 | 2,223 | |
2,3 | Fannie Mae REMICS | 3.500% | 4/25/43 | 13,342 | 14,885 | |
3 | Ginnie Mae | 3.000% | 8/20/46 | 200 | 217 | |
3 | Ginnie Mae | 3.500% | 6/20/48–2/20/49 | 1,984 | 2,165 | |
3 | Ginnie Mae | 4.000% | 10/20/47 | 582 | 620 | |
20,110 | ||||||
Total U.S. Government and Agency Obligations (Cost $3,670,436) | 3,960,717 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (1.7%) | ||||||
Money Market Fund (1.7%) | ||||||
4 | Vanguard Market Liquidity Fund (Cost $70,106) | 0.064% | 701,063 | 70,106 | ||
Total Investments (99.5%) (Cost $3,740,542) | 4,030,823 | |||||
Other Assets and Liabilities—Net (0.5%) | 20,154 | |||||
Net Assets (100%) | 4,050,977 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $9,728,000 have been segregated as initial margin for open futures contracts. |
2 | 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. |
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 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
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 2021 | 4 | 883 | 1 |
Long U.S. Treasury Bond | September 2021 | 688 | 113,327 | 5,276 |
Ultra Long U.S. Treasury Bond | September 2021 | 1,558 | 310,870 | 19,994 |
25,271 | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (864) | (116,168) | (1,965) |
5-Year U.S. Treasury Note | September 2021 | (825) | (102,667) | 7 |
Ultra 10-Year U.S. Treasury Note | September 2021 | (1,617) | (242,954) | (9,540) |
(11,498) | ||||
13,773 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,670,436) | 3,960,717 |
Affiliated Issuers (Cost $70,106) | 70,106 |
Total Investments in Securities | 4,030,823 |
Investment in Vanguard | 134 |
Cash | 1 |
Receivables for Accrued Income | 29,697 |
Receivables for Capital Shares Issued | 1,230 |
Variation Margin Receivable—Futures Contracts | 808 |
Other Assets | 39 |
Total Assets | 4,062,732 |
Liabilities | |
Payables for Investment Securities Purchased | 7,623 |
Payables for Capital Shares Redeemed | 3,203 |
Payables for Distributions | 716 |
Payables to Vanguard | 213 |
Total Liabilities | 11,755 |
Net Assets | 4,050,977 |
At July 31, 2021, net assets consisted of: | |
Paid-in Capital | 3,912,117 |
Total Distributable Earnings (Loss) | 138,860 |
Net Assets | 4,050,977 |
Investor Shares—Net Assets | |
Applicable to 65,137,457 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 842,622 |
Net Asset Value Per Share—Investor Shares | $12.94 |
Admiral Shares—Net Assets | |
Applicable to 248,017,207 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,208,355 |
Net Asset Value Per Share—Admiral Shares | $12.94 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 41,099 |
Total Income | 41,099 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 236 |
Management and Administrative—Investor Shares | 631 |
Management and Administrative—Admiral Shares | 1,156 |
Marketing and Distribution—Investor Shares | 64 |
Marketing and Distribution—Admiral Shares | 116 |
Custodian Fees | 17 |
Shareholders’ Reports—Investor Shares | 61 |
Shareholders’ Reports—Admiral Shares | 43 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,326 |
Net Investment Income | 38,773 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (85,439) |
Futures Contracts | (40,648) |
Options Purchased | (339) |
Options Written | (2,457) |
Realized Net Gain (Loss) | (128,883) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 22,805 |
Futures Contracts | 25,130 |
Options Purchased | 16 |
Options Written | (18) |
Change in Unrealized Appreciation (Depreciation) | 47,933 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (42,177) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $13,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 38,773 | 85,062 | |
Realized Net Gain (Loss) | (128,883) | 471,651 | |
Change in Unrealized Appreciation (Depreciation) | 47,933 | (303,886) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (42,177) | 252,827 | |
Distributions | |||
Investor Shares | (30,347) | (96,568) | |
Admiral Shares | (113,197) | (336,034) | |
Total Distributions | (143,544) | (432,602) | |
Capital Share Transactions | |||
Investor Shares | (45,046) | (10,665) | |
Admiral Shares | 58,422 | 371,560 | |
Net Increase (Decrease) from Capital Share Transactions | 13,376 | 360,895 | |
Total Increase (Decrease) | (172,345) | 181,120 | |
Net Assets | |||
Beginning of Period | 4,223,322 | 4,042,202 | |
End of Period | 4,050,977 | 4,223,322 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $13.55 | $14.05 | $11.86 | $11.96 | $11.79 | $12.80 |
Investment Operations | ||||||
Net Investment Income | .1201 | .2731 | .3311 | .3341 | .3281 | .332 |
Net Realized and Unrealized Gain (Loss) on Investments | (.273) | .677 | 2.226 | (.100) | .170 | (.725) |
Total from Investment Operations | (.153) | .950 | 2.557 | .234 | .498 | (.393) |
Distributions | ||||||
Dividends from Net Investment Income | (.120) | (.273) | (.331) | (.334) | (.328) | (.332) |
Distributions from Realized Capital Gains | (.337) | (1.177) | (.036) | — | — | (.285) |
Total Distributions | (.457) | (1.450) | (.367) | (.334) | (.328) | (.617) |
Net Asset Value, End of Period | $12.94 | $13.55 | $14.05 | $11.86 | $11.96 | $11.79 |
Total Return2 | -0.82% | 6.41% | 21.84% | 2.05% | 4.21% | -3.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $843 | $931 | $971 | $794 | $882 | $995 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.94% | 1.79% | 2.55% | 2.89% | 2.70% | 2.53% |
Portfolio Turnover Rate3 | 52% | 172% | 96%4 | 122% | 103%4 | 94% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 2%, 26%, 4%, 34%, 6%, and 3%, respectively, attributable to mortgage-dollar-roll activity. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $13.55 | $14.05 | $11.86 | $11.96 | $11.79 | $12.80 |
Investment Operations | ||||||
Net Investment Income | .1261 | .2881 | .3441 | .3461 | .3401 | .345 |
Net Realized and Unrealized Gain (Loss) on Investments | (.273) | .677 | 2.226 | (.100) | .170 | (.725) |
Total from Investment Operations | (.147) | .965 | 2.570 | .246 | .510 | (.380) |
Distributions | ||||||
Dividends from Net Investment Income | (.126) | (.288) | (.344) | (.346) | (.340) | (.345) |
Distributions from Realized Capital Gains | (.337) | (1.177) | (.036) | — | — | (.285) |
Total Distributions | (.463) | (1.465) | (.380) | (.346) | (.340) | (.630) |
Net Asset Value, End of Period | $12.94 | $13.55 | $14.05 | $11.86 | $11.96 | $11.79 |
Total Return2 | -0.77% | 6.51% | 21.96% | 2.16% | 4.32% | -3.12% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,208 | $3,292 | $3,071 | $2,532 | $2,588 | $2,509 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.04% | 1.89% | 2.65% | 2.99% | 2.80% | 2.63% |
Portfolio Turnover Rate3 | 52% | 172% | 96%4 | 122% | 103%4 | 94% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 2%, 26%, 4%, 34%, 6%, and 3%, respectively, attributable to mortgage-dollar-roll activity. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 3,960,717 | — | 3,960,717 |
Temporary Cash Investments | 70,106 | — | — | 70,106 |
Total | 70,106 | 3,960,717 | — | 4,030,823 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 25,278 | — | — | 25,278 |
Liabilities | ||||
Futures Contracts1 | 11,505 | — | — | 11,505 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 3,772,644 |
Gross Unrealized Appreciation | 330,994 |
Gross Unrealized Depreciation | (59,042) |
Net Unrealized Appreciation (Depreciation) | 271,952 |
E. | During the six months ended July 31, 2021, the fund purchased $2,027,716,000 of investment securities and sold $2,336,731,000 of investment securities, other than temporary cash investments. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 82,904 | 6,616 | 482,372 | 31,459 | |
Issued in Lieu of Cash Distributions | 28,671 | 2,402 | 90,861 | 6,323 | |
Redeemed | (156,621) | (12,608) | (583,898) | (38,201) | |
Net Increase (Decrease)—Investor Shares | (45,046) | (3,590) | (10,665) | (419) |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 563,584 | 45,340 | 1,745,042 | 113,843 | |
Issued in Lieu of Cash Distributions | 101,814 | 8,528 | 299,458 | 20,883 | |
Redeemed | (606,976) | (48,826) | (1,672,940) | (110,393) | |
Net Increase (Decrease)—Admiral Shares | 58,422 | 5,042 | 371,560 | 24,333 |
G. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard Short-Term Investment-Grade Fund |
Vanguard Intermediate-Term Investment-Grade Fund |
Vanguard Long-Term Investment-Grade Fund |
About Your Fund’s Expenses | 1 |
Short-Term Investment-Grade Fund | 3 |
Intermediate-Term Investment-Grade Fund | 38 |
Long-Term Investment-Grade Fund | 67 |
Trustees Approve Advisory Arrangements | 93 |
Liquidity Risk Management | 95 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended July 31, 2021 | |||
Beginning Account Value 1/31/2021 | Ending Account Value 7/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,005.10 | $0.99 |
Admiral™ Shares | 1,000.00 | 1,005.60 | 0.50 |
Institutional Shares | 1,000.00 | 1,005.80 | 0.35 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,009.60 | $1.00 |
Admiral Shares | 1,000.00 | 1,010.10 | 0.50 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,017.00 | $1.10 |
Admiral Shares | 1,000.00 | 1,017.50 | 0.60 |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.45 | 0.35 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.70 | $1.10 |
Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
Asset-Backed/Commercial Mortgage-Backed Securities | 8.2% |
Common Stocks | 0.1 |
Corporate Bonds - Communications | 5.6 |
Corporate Bonds - Consumer Discretionary | 5.2 |
Corporate Bonds - Consumer Staples | 3.3 |
Corporate Bonds - Energy | 7.7 |
Corporate Bonds - Financials | 28.2 |
Corporate Bonds - Health Care | 7.3 |
Corporate Bonds - Industrials | 5.4 |
Corporate Bonds - Materials | 2.2 |
Corporate Bonds - Real Estate | 3.5 |
Corporate Bonds - Technology | 4.6 |
Corporate Bonds - Utilities | 4.0 |
Sovereign Bonds | 3.0 |
Taxable Municipal Bonds | 0.0 |
U.S. Government and Agency Obligations | 11.7 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
U.S. Government and Agency Obligations | |||||||
U.S. Government Securities | |||||||
U.S. Treasury Note/Bond | 0.750% | 3/31/26 | 850,000 | 853,984 | 1.1% | ||
U.S. Treasury Note/Bond1 | 0.375% | 1/31/26 | 850,000 | 840,438 | 1.1% | ||
U.S. Treasury Note/Bond1 | 0.125% | 12/15/23 | 800,000 | 797,750 | 1.0% | ||
U.S. Treasury Note/Bond | 0.375% | 4/15/24 | 600,000 | 601,219 | 0.8% | ||
U.S. Treasury Note/Bond1 | 0.250% | 10/31/25 | 600,000 | 591,469 | 0.8% | ||
U.S. Treasury Note/Bond | 0.125% | 10/31/22 | 500,000 | 500,156 | 0.7% | ||
U.S. Treasury Note/Bond | 0.125% | 11/30/22 | 500,000 | 500,078 | 0.7% | ||
U.S. Treasury Note/Bond2 | 0.125% | 12/31/22 | 500,000 | 500,000 | 0.6% | ||
U.S. Treasury Note/Bond | 0.125% | 1/31/23 | 500,000 | 499,922 | 0.6% | ||
U.S. Treasury Note/Bond | 0.125% | 2/28/23 | 500,000 | 499,844 | 0.6% | ||
U.S. Treasury Note/Bond | 0.125% | 1/15/24 | 500,000 | 498,438 | 0.6% | ||
U.S. Treasury Note/Bond | 0.625% | 7/31/26 | 500,000 | 498,221 | 0.6% | ||
U.S. Treasury Note/Bond1 | 0.500% | 2/28/26 | 500,000 | 496,875 | 0.6% | ||
U.S. Treasury Note/Bond3 | 0.250% | 5/15/24 | 400,000 | 399,250 | 0.5% | ||
U.S. Treasury Note/Bond | 1.500% | 11/30/24 | 350,000 | 362,578 | 0.5% | ||
U.S. Treasury Note/Bond1 | 0.125% | 10/15/23 | 250,000 | 249,492 | 0.3% | ||
U.S. Treasury Note/Bond | 0.625% | 12/31/27 | 180,000 | 176,681 | 0.2% | ||
U.S. Treasury Note/Bond | 0.875% | 11/15/30 | 100,000 | 97,156 | 0.1% | ||
8,963,551 | 11.4% | ||||||
†Nonconventional Mortgage-Backed Securities4,5,6 | 147,715 | 0.2% | |||||
Total U.S. Government and Agency Obligations (Cost $9,093,602) | 9,111,266 | 11.6% | |||||
Asset-Backed/Commercial Mortgage-Backed Securities | |||||||
AmeriCredit Automobile Receivables Trust Class A3 Series 2021-24 | 0.340% | 12/18/26 | 11,160 | 11,199 | 0.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
AmeriCredit Automobile Receivables Trust Class D Series 2018-24 | 4.010% | 7/18/24 | 19,450 | 20,365 | 0.0% | ||
AmeriCredit Automobile Receivables Trust Class D Series 2019-14 | 3.620% | 3/18/25 | 21,620 | 22,645 | 0.1% | ||
Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS74 | 3.441% | 9/15/48 | 6,999 | 7,506 | 0.0% | ||
Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK34 | 3.574% | 2/15/50 | 4,760 | 5,315 | 0.0% | ||
Banc of America Commercial Mortgage Trust Class C Series 2015-UBS74,6 | 4.358% | 9/15/48 | 1,600 | 1,602 | 0.0% | ||
Banc of America Funding Trust Class 2A2 Series 2006-H4,6 | 3.132% | 9/20/46 | 5,064 | 4,061 | 0.0% | ||
Bank of America Mortgage Trust Class A2 Series 2002-J4,6 | 3.601% | 9/25/32 | 14 | 13 | 0.0% | ||
Citigroup Mortgage Loan Trust Class 2A1A Series 2007-AR84,6 | 2.993% | 7/25/37 | 299 | 280 | 0.0% | ||
Drive Auto Receivables Trust Class C Series 2018-54 | 3.990% | 1/15/25 | 14,937 | 15,104 | 0.0% | ||
Drive Auto Receivables Trust Class C Series 2020-24 | 2.280% | 8/17/26 | 5,790 | 5,945 | 0.0% | ||
Drive Auto Receivables Trust Class C Series 2021-14 | 1.020% | 6/15/27 | 15,990 | 16,081 | 0.0% | ||
Drive Auto Receivables Trust Class D Series 2017-14 | 3.840% | 3/15/23 | 199 | 199 | 0.0% | ||
Drive Auto Receivables Trust Class D Series 2018-34 | 4.300% | 9/16/24 | 12,159 | 12,409 | 0.0% | ||
Drive Auto Receivables Trust Class D Series 2018-54 | �� 4.300% | 4/15/26 | 26,460 | 27,487 | 0.1% | ||
Drive Auto Receivables Trust Class D Series 2019-24 | 3.690% | 8/17/26 | 15,870 | 16,474 | 0.0% | ||
Drive Auto Receivables Trust Class D Series 2019-44 | 2.700% | 2/16/27 | 5,010 | 5,165 | 0.0% | ||
Drive Auto Receivables Trust Class D Series 2020-14 | 2.700% | 5/17/27 | 5,010 | 5,149 | 0.0% | ||
Drive Auto Receivables Trust Class D Series 2020-24 | 3.050% | 5/15/28 | 6,160 | 6,415 | 0.0% | ||
GMF Floorplan Owner Revolving Trust Class A Series 2020-24,7 | 0.690% | 10/15/25 | 46,850 | 46,999 | 0.1% | ||
GMF Floorplan Owner Revolving Trust Class B Series 2020-14,7 | 1.030% | 8/15/25 | 3,940 | 3,975 | 0.0% | ||
GMF Floorplan Owner Revolving Trust Class B Series 2020-24,7 | 0.960% | 10/15/25 | 8,220 | 8,278 | 0.0% | ||
GMF Floorplan Owner Revolving Trust Class C Series 2020-14,7 | 1.480% | 8/15/25 | 3,210 | 3,254 | 0.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
GMF Floorplan Owner Revolving Trust Class C Series 2020-24,7 | 1.310% | 10/15/25 | 5,800 | 5,835 | 0.0% | ||
GS Mortgage Securities Corp. II Class A5 Series 2018-GS104,6 | 4.155% | 7/10/51 | 3,865 | 4,486 | 0.0% | ||
GS Mortgage Securities Trust Class A3 Series 2015-GC344 | 3.244% | 10/10/48 | 9,961 | 10,567 | 0.0% | ||
GS Mortgage Securities Trust Class A3 Series 2017-GS64 | 3.433% | 5/10/50 | 2,501 | 2,776 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2013-GC124 | 3.135% | 6/10/46 | 13,060 | 13,593 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2013-GC144 | 3.955% | 8/10/46 | 21,631 | 22,434 | 0.1% | ||
GS Mortgage Securities Trust Class A4 Series 2014-GC264 | 3.364% | 11/10/47 | 19,174 | 20,288 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2015-GC284 | 3.136% | 2/10/48 | 38,431 | 40,655 | 0.1% | ||
GS Mortgage Securities Trust Class A4 Series 2015-GC304 | 3.382% | 5/10/50 | 12,225 | 13,223 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2015-GC324 | 3.764% | 7/10/48 | 4,636 | 5,097 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2015-GC344 | 3.506% | 10/10/48 | 17,922 | 19,557 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2016-GS34 | 2.850% | 10/10/49 | 11,930 | 12,839 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2018-GS94,6 | 3.992% | 3/10/51 | 4,990 | 5,722 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2019-GC404 | 3.160% | 7/10/52 | 3,920 | 4,326 | 0.0% | ||
GS Mortgage Securities Trust Class A5 Series 2013-GC134,6 | 4.052% | 7/10/46 | 22,934 | 24,314 | 0.1% | ||
GS Mortgage Securities Trust Class A5 Series 2014-GC204 | 3.998% | 4/10/47 | 13,757 | 14,739 | 0.0% | ||
GS Mortgage Securities Trust Class A5 Series 2014-GC244 | 3.931% | 9/10/47 | 33,925 | 36,860 | 0.1% | ||
GS Mortgage Securities Trust Class A5 Series 2014-GC264 | 3.629% | 11/10/47 | 16,700 | 18,057 | 0.0% | ||
GS Mortgage Securities Trust Class A5 Series 2015-GC284 | 3.396% | 2/10/48 | 35,733 | 38,416 | 0.1% | ||
GS Mortgage Securities Trust Class AS Series 2012-GC64,7 | 4.948% | 1/10/45 | 1,000 | 1,008 | 0.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
GS Mortgage Securities Trust Class AS Series 2014-GC204 | 4.258% | 4/10/47 | 1,410 | 1,519 | 0.0% | ||
GS Mortgage Securities Trust Class AS Series 2014-GC244,6 | 4.162% | 9/10/47 | 13,246 | 14,355 | 0.0% | ||
GS Mortgage Securities Trust Class B Series 2013-GC124,6 | 3.777% | 6/10/46 | 5,350 | 5,567 | 0.0% | ||
GS Mortgage Securities Trust Class B Series 2014-GC244,6 | 4.515% | 9/10/47 | 10,665 | 11,161 | 0.0% | ||
GS Mortgage Securities Trust Class C Series 2013-GC134,6,7 | 4.085% | 7/10/46 | 5,650 | 5,549 | 0.0% | ||
GS Mortgage Securities Trust Class C Series 2014-GC244,6 | 4.536% | 9/10/47 | 17,556 | 16,666 | 0.0% | ||
GS Mortgage Securities Trust Class C Series 2015-GC344,6 | 4.648% | 10/10/48 | 12,080 | 12,837 | 0.0% | ||
Merrill Lynch Mortgage Investors Trust MLMI Class 2A Series 2003-A44,6 | 2.444% | 7/25/33 | 224 | 244 | 0.0% | ||
Merrill Lynch Mortgage Investors Trust MLMI Class 2A2 Series 2003-A2, 6M USD LIBOR + 1.500%4,6 | 1.661% | 2/25/33 | 462 | 441 | 0.0% | ||
Morgan Stanley Capital I Class A4 Series 2017-HR24 | 3.587% | 12/15/50 | 6,765 | 7,576 | 0.0% | ||
Morgan Stanley Capital I Class ASB Series 2017-HR24 | 3.509% | 12/15/50 | 5,420 | 5,916 | 0.0% | ||
Morgan Stanley Capital I Trust Class A Series 2014-150E4,7 | 3.912% | 9/9/32 | 15,955 | 17,151 | 0.0% | ||
Morgan Stanley Capital I Trust Class A Series 2015-4204,7 | 3.727% | 10/12/50 | 15,360 | 16,393 | 0.0% | ||
Morgan Stanley Capital I Trust Class A4 Series 2015-UBS84 | 3.809% | 12/15/48 | 41,942 | 46,425 | 0.1% | ||
Morgan Stanley Capital I Trust Class A4 Series 2016-BNK24 | 3.049% | 11/15/49 | 11,960 | 13,024 | 0.0% | ||
Morgan Stanley Capital I Trust Class A4 Series 2016-UB114 | 2.782% | 8/15/49 | 5,621 | 6,033 | 0.0% | ||
Morgan Stanley Capital I Trust Class AS Series 2012-C44 | 3.773% | 3/15/45 | 2,500 | 2,520 | 0.0% | ||
Morgan Stanley Capital I Trust Class C Series 2015-UBS84,6 | 4.582% | 12/15/48 | 5,740 | 5,632 | 0.0% | ||
Santander Drive Auto Receivables Trust Class C Series 2020-24 | 1.460% | 9/15/25 | 18,750 | 18,951 | 0.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
Santander Drive Auto Receivables Trust Class C Series 2020-34 | 1.120% | 1/15/26 | 11,550 | 11,644 | 0.0% | ||
Santander Drive Auto Receivables Trust Class C Series 2021-14 | 0.750% | 2/17/26 | 13,940 | 13,950 | 0.0% | ||
Santander Drive Auto Receivables Trust Class D Series 2018-34 | 4.070% | 8/15/24 | 40,568 | 41,373 | 0.1% | ||
Santander Drive Auto Receivables Trust Class D Series 2018-44 | 3.980% | 12/15/25 | 21,750 | 22,355 | 0.1% | ||
Santander Drive Auto Receivables Trust Class D Series 2018-54 | 4.190% | 12/16/24 | 35,530 | 36,225 | 0.1% | ||
Santander Drive Auto Receivables Trust Class D Series 2020-24 | 2.220% | 9/15/26 | 25,830 | 26,461 | 0.1% | ||
Santander Drive Auto Receivables Trust Class D Series 2021-14 | 1.130% | 11/16/26 | 17,230 | 17,303 | 0.0% | ||
Santander Retail Auto Lease Trust Class A3 Series 2020-A4,7 | 1.740% | 7/20/23 | 44,500 | 45,112 | 0.1% | ||
Santander Retail Auto Lease Trust Class A3 Series 2021-B4,7 | 0.510% | 8/20/24 | 36,430 | 36,447 | 0.1% | ||
Santander Retail Auto Lease Trust Class A4 Series 2020-A4,7 | 1.760% | 3/20/24 | 11,250 | 11,462 | 0.0% | ||
Santander Retail Auto Lease Trust Class A4 Series 2021-B4,7 | 0.540% | 6/20/25 | 8,960 | 8,792 | 0.0% | ||
Santander Retail Auto Lease Trust Class C Series 2020-B4,7 | 1.180% | 12/20/24 | 9,190 | 9,251 | 0.0% | ||
Santander Retail Auto Lease Trust Class D Series 2020-A4,7 | 2.520% | 11/20/24 | 15,340 | 15,759 | 0.0% | ||
Santander Retail Auto Lease Trust Class D Series 2020-B4,7 | 1.980% | 10/20/25 | 17,540 | 17,807 | 0.0% | ||
Santander Retail Auto Lease Trust Class D Series 2021-B4,7 | 1.410% | 11/20/25 | 14,530 | 14,524 | 0.0% | ||
† | Asset-Backed/Commercial Mortgage-Backed Securities—Other4,5,6,7 | 5,327,293 | 6.7% | ||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,227,520) | 6,424,430 | 8.2% | |||||
Corporate Bonds | |||||||
Communications | |||||||
AT&T Inc. | 0.900% | 3/25/24 | 291,305 | 292,078 | 0.4% | ||
AT&T Inc. | 0.000%–4.450% | 11/16/21–7/15/25 | 257,413 | 262,142 | 0.3% | ||
AT&T Inc. | 1.700% | 3/25/26 | 211,870 | 215,120 | 0.3% | ||
AT&T Inc. | 0.406% | 12/16/21 | 169,800 | 169,683 | 0.2% | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.464% | 7/23/22 | 251,829 | 259,866 | 0.3% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.908% | 7/23/25 | 209,067 | 237,166 | 0.3% | ||
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc.7 | 5.875% | 8/15/27 | 740 | 766 | 0.0% | ||
T-Mobile USA Inc. | 3.500% | 4/15/25 | 266,502 | 289,447 | 0.4% | ||
ViacomCBS Inc. | 4.750% | 5/15/25 | 154,386 | 174,940 | 0.2% | ||
Vodafone Group plc | 3.750% | 1/16/24 | 161,276 | 174,272 | 0.2% | ||
† | Communications—Other6,7,8,9,10 | 2,270,669 | 2.9% | ||||
4,346,149 | 5.5% | ||||||
Consumer Discretionary | |||||||
American Honda Finance Corp. | 0.550% | 7/12/24 | 155,100 | 154,787 | 0.2% | ||
General Motors Co. | 4.875%–6.125% | 10/2/23–10/1/25 | 186,621 | 213,034 | 0.4% | ||
General Motors Financial Co. Inc. | 1.250%–5.200% | 9/25/21–1/8/26 | 603,555 | 635,898 | 0.8% | ||
† | Consumer Discretionary—Other7,8,10 | 3,041,514 | 3.7% | ||||
4,045,233 | 5.1% | ||||||
Consumer Staples | |||||||
Reckitt Benckiser Treasury Services plc7 | 2.750% | 6/26/24 | 170,933 | 180,499 | 0.2% | ||
Reynolds American Inc. | 4.450% | 6/12/25 | 147,838 | 164,267 | 0.2% | ||
† | Consumer Staples—Other7,8,9 | 2,254,615 | 2.9% | ||||
2,599,381 | 3.3% | ||||||
Energy | |||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/25 | 146,738 | 167,723 | 0.2% | ||
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 131,309 | 149,963 | 0.2% | ||
† | Energy—Other7,8 | 5,677,927 | 7.2% | ||||
5,995,613 | 7.6% | ||||||
Financials | |||||||
American Express Co. | 3.700% | 8/3/23 | 155,698 | 165,664 | 0.2% | ||
Banco Santander SA | 0.701%–5.179% | 2/23/23–3/25/26 | 230,530 | 241,496 | 0.2% | ||
Banco Santander SA, 3M Australian Bank Bill Rate + 1.650%6,10 | 1.675% | 1/19/23 | 14,400 | 10,696 | 0.0% | ||
Bank of America Corp.8 | 0.523%–4.450% | 1/20/23–7/22/27 | 1,236,861 | 1,303,076 | 1.5% | ||
Bank of America Corp. | 3.550% | 3/5/24 | 156,731 | 164,111 | 0.2% | ||
Citibank NA, 3M Australian Bank Bill Rate + 0.750%6,10 | 0.793% | 5/20/22 | 13,800 | 10,176 | 0.0% | ||
Citigroup Inc.8 | 0.776%–5.500% | 1/14/22–6/9/27 | 760,757 | 796,176 | 1.0% | ||
Citigroup Inc., 3M Australian Bank Bill Rate + 1.720%6,10 | 1.745% | 10/27/23 | 5,800 | 4,374 | 0.0% | ||
Goldman Sachs Group Inc.8 | 0.481%–4.250% | 10/31/22–3/9/27 | 983,416 | 1,047,808 | 1.6% | ||
Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 208,145 | 208,080 | 0.3% | ||
Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%6,10 | 1.239% | 5/16/23 | 29,170 | 21,681 | 0.0% | ||
Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370%6,10 | 1.395% | 9/8/21 | 19,280 | 14,163 | 0.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
HSBC Holdings plc8,9,10,11 | 0.309%–4.292% | 3/13/23–7/24/27 | 932,483 | 967,804 | 1.5% | ||
HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100%6,10 | 1.139% | 2/16/24 | 17,314 | 12,809 | 0.0% | ||
JPMorgan Chase & Co. | 0.563%–4.023% | 4/1/23–4/22/27 | 1,301,895 | 1,347,981 | 1.7% | ||
Morgan Stanley8 | 0.406%–5.000% | 11/1/22–10/29/27 | 1,052,460 | 1,093,397 | 1.8% | ||
Morgan Stanley | 3.125% | 1/23/23 | 151,394 | 157,485 | 0.2% | ||
Royal Bank of Canada | 2.250% | 11/1/24 | 158,384 | 166,017 | 0.2% | ||
Royal Bank of Canada | 2.550% | 7/16/24 | 145,403 | 153,641 | 0.2% | ||
Santander Holdings USA Inc. | 3.400%–4.500% | 3/28/22–7/17/25 | 203,988 | 215,135 | 0.4% | ||
Santander UK Group Holdings plc | 1.532%–4.796% | 1/10/23–6/14/27 | 162,749 | 168,181 | 0.2% | ||
Santander UK plc7 | 4.000%–5.000% | 11/7/23–3/13/24 | 61,198 | 66,668 | 0.1% | ||
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 176,740 | 186,629 | 0.2% | ||
Truist Bank | 3.200% | 4/1/24 | 142,122 | 152,014 | 0.2% | ||
Wells Fargo & Co.8,9,10 | 0.500%–4.750% | 4/22/22–4/30/26 | 786,019 | 838,605 | 0.9% | ||
Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100%6,10 | 1.125% | 4/27/22 | 21,453 | 15,843 | 0.0% | ||
Wells Fargo Bank NA9 | 2.082%–5.250% | 9/9/22–8/1/23 | 140,560 | 157,745 | 0.2% | ||
† | Financials—Other6,7,8,9,10,12,13,14 | 12,315,745 | 15.2% | ||||
22,003,200 | 28.0% | ||||||
Health Care | |||||||
AbbVie Inc.8 | 1.250%–5.000% | 11/14/21–5/14/25 | 472,449 | 493,704 | 0.5% | ||
AbbVie Inc. | 2.600% | 11/21/24 | 307,610 | 325,128 | 0.4% | ||
AbbVie Inc. | 2.300% | 11/21/22 | 213,500 | 218,864 | 0.3% | ||
AbbVie Inc. | 2.150% | 11/19/21 | 161,500 | 162,415 | 0.2% | ||
† | Health Care—Other7,8 | 4,464,796 | 5.8% | ||||
5,664,907 | 7.2% | ||||||
Industrials | |||||||
Boeing Co. | 2.196% | 2/4/26 | 388,100 | 391,445 | 0.5% | ||
Boeing Co. | 1.433% | 2/4/24 | 222,700 | 223,190 | 0.3% | ||
Boeing Co. | 4.875% | 5/1/25 | 182,695 | 204,862 | 0.3% | ||
Boeing Co. | 4.508% | 5/1/23 | 174,223 | 185,096 | 0.2% | ||
Boeing Co. | 1.167%–2.850% | 5/1/22–2/1/26 | 97,854 | 101,095 | 0.1% | ||
Raytheon Technologies Corp. | 3.200% | 3/15/24 | 142,359 | 151,613 | 0.2% | ||
† | Industrials—Other4,6,7,8,9,10,15 | 2,913,605 | 3.7% | ||||
4,170,906 | 5.3% | ||||||
† | Materials7,8,9 | 1,708,213 | 2.2% | ||||
† | Real Estate7,8,9,10 | 2,760,932 | 3.5% | ||||
Technology | |||||||
Fiserv Inc. | 2.750% | 7/1/24 | 162,005 | 171,524 | 0.2% | ||
VMware Inc. | 4.500% | 5/15/25 | 149,682 | 167,677 | 0.2% | ||
† | Technology—Other7,8 | 3,209,076 | 4.1% | ||||
3,548,277 | 4.5% | ||||||
Utilities | |||||||
Duke Energy Corp. | 3.227% | 3/11/22 | 290,625 | 295,641 | 0.4% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
† | Utilities—Other6,7,8,9,10 | 2,795,168 | 3.5% | ||||
3,090,809 | 3.9% | ||||||
Total Corporate Bonds (Cost $58,836,821) | 59,933,620 | 76.1% | |||||
Sovereign Bonds | |||||||
Republic of Colombia | 4.000% | 2/26/24 | 174,399 | 182,870 | 0.2% | ||
† | Sovereign Bonds—Other4,7,8,16 | 2,121,079 | 2.7% | ||||
Total Sovereign Bonds (Cost $2,248,019) | 2,303,949 | 2.9% | |||||
†Taxable Municipal Bonds (Cost $25,017)6,17 | 26,496 | 0.0% | |||||
Shares | |||||||
Common Stocks | |||||||
Exchange-Traded Fund | |||||||
Vanguard Short-Term Corporate Bond ETF (Cost $78,302)18 | 967,764 | 80,199 | 0.1% | ||||
Coupon | |||||||
Temporary Cash Investments | |||||||
Money Market Fund | |||||||
Vanguard Market Liquidity Fund (Cost $696,635)19 | 0.064% | 6,969,802 | 696,980 | 0.9% | |||
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | ||||
Options Purchased | |||||||
Over-the-Counter Swaptions | |||||||
Call Swaptions | |||||||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | NGFP | 1/13/23 | 0.603% | 624,374 | 1,806 | 0.0% | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 623,325 | 1,826 | 0.0% | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 623,250 | 1,774 | 0.0% |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | Percentage of Net Assets | ||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 623,250 | 1,927 | 0.0% | |
7,333 | 0.0% | ||||||
Put Swaptions | |||||||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 58,360 | 37 | 0.0% | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 38,860 | 24 | 0.0% |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | Percentage of Net Assets | ||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 27,485 | 17 | 0.0% | |
78 | 0.0% | ||||||
Total Options Purchased (Cost $12,100) | 7,411 | 0.0% | |||||
Total Investments (Cost $77,218,016) | 78,584,351 | 99.8% | |||||
Other Assets and Liabilities—Net | 124,977 | 0.2% | |||||
Net Assets | 78,709,328 | 100.0% | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
1 | Securities with a value of $41,886,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
2 | Securities with a value of $37,907,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | Securities with a value of $25,151,000 have been segregated as initial margin for open futures 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 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
7 | Certain of the fund’s securities are 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 July 31, 2021, the aggregate value was $9,748,138,000, representing 12.4% of net assets. |
8 | Certain securities have face amount denominated in euro. |
9 | Certain securities have face amount denominated in British pounds. |
10 | Certain securities have face amount denominated in Australian dollars. |
11 | Certain securities have face amount denominated in Canadian dollars. |
12 | Guaranteed by multiple countries. |
13 | Non-income-producing security—security in default. |
14 | Certain of the fund’s securities are valued using significant unobservable inputs. |
15 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021. |
16 | Guaranteed by the Republic of Hungary. |
17 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
18 | Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group. |
19 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3M—3-month. | |
6M—6-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank NA. | |
GSI—Goldman Sachs International. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. |
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 2021 | 7,754 | 1,710,969 | (214) |
5-Year U.S. Treasury Note | September 2021 | 31,871 | 3,966,197 | 17,331 |
Long U.S. Treasury Bond | September 2021 | 76 | 12,519 | 583 |
17,700 | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (10,199) | (1,371,287) | (4,132) |
5-Year Government of Canada Bond | September 2021 | (231) | (23,248) | (156) |
AUD 10-Year Treasury Bond | September 2021 | (176) | (18,779) | (495) |
AUD 3-Year Treasury Bond | September 2021 | (843) | (72,428) | (79) |
Euro-Bobl | September 2021 | (5,298) | (850,704) | (7,670) |
Euro-Bund | September 2021 | (443) | (92,789) | (2,623) |
Euro-Buxl | September 2021 | (12) | (3,061) | (214) |
Euro-Schatz | September 2021 | (3,754) | (500,337) | (870) |
Long Gilt | September 2021 | (1,115) | (201,155) | (3,718) |
Ultra 10-Year U.S. Treasury Note | September 2021 | (492) | (73,923) | (361) |
(20,318) | ||||
(2,618) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Bank of America, N.A. | 8/27/21 | CAD | 44 | USD | 35 | — | — |
Deutsche Bank AG | 8/27/21 | CAD | 22 | USD | 17 | — | — |
Citibank, N.A. | 8/27/21 | EUR | 29,539 | USD | 34,908 | 151 | — |
Deutsche Bank AG | 8/27/21 | EUR | 12,409 | USD | 14,750 | — | (22) |
Morgan Stanley Capital Services Inc. | 8/27/21 | EUR | 12,265 | USD | 14,489 | 68 | — |
Barclays Bank plc | 8/27/21 | USD | 339,145 | AUD | 459,987 | 1,533 | — |
State Street Bank & Trust Co. | 8/27/21 | USD | 338,914 | AUD | 459,987 | 1,302 | — |
Bank of America, N.A. | 8/27/21 | USD | 4,666 | AUD | 6,330 | 20 | — |
Citibank, N.A. | 8/27/21 | USD | 43,049 | CAD | 54,265 | — | (444) |
State Street Bank & Trust Co. | 8/27/21 | USD | 1,377,326 | EUR | 1,168,069 | — | (9,040) |
Goldman Sachs Bank USA | 8/27/21 | USD | 534,134 | EUR | 453,843 | — | (4,526) |
Bank of America, N.A. | 8/27/21 | USD | 21,309 | EUR | 18,110 | — | (186) |
State Street Bank & Trust Co. | 8/27/21 | USD | 5,985 | EUR | 5,035 | 9 | — |
Toronto-Dominion Bank | 8/27/21 | USD | 519,758 | GBP | 377,923 | — | (5,590) |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
JPMorgan Chase Bank, N.A. | 8/27/21 | USD | 27,154 | GBP | 19,592 | — | (80) |
Toronto-Dominion Bank | 8/27/21 | USD | 152 | JPY | 16,803 | — | (1) |
3,083 | (19,889) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
USD—U.S. dollar. |
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-S36-V1 | 6/21/24 | USD 141,640 | 1.000 | 3,119 | 37 | |
CDX-NA-IG-S36-V1 | 6/23/26 | USD 1,481,800 | 1.000 | 37,727 | 4,994 | |
40,846 | 5,031 | |||||
Credit Protection Purchased | ||||||
CDX-NA-HY-S36-V1 | 6/23/26 | USD 38,860 | (5.000) | (3,837) | 36 | |
37,009 | 5,067 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Ally Financial Inc./Ba1 | 12/23/25 | GSI | 3,270 | 1.000 | 37 | 21 | 16 | — |
American Express Co./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 103 | 95 | 8 | — |
American International Group Inc./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 71 | 40 | 31 | — |
Berkshire Hathaway Inc./Aa2 | 12/21/22 | BARC | 16,580 | 1.000 | 227 | 78 | 149 | — |
Berkshire Hathaway Inc./Aa2 | 6/21/22 | BARC | 32,955 | 1.000 | 307 | 98 | 209 | — |
Boeing Co./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | (2) | (17) | 15 | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Boeing Co./Baa2 | 6/21/24 | GSI | 24,365 | 1.000 | 132 | 341 | — | (209) |
Chubb INA Holdings Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 120 | 107 | 13 | — |
Comcast Corp./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 93 | 85 | 8 | — |
CVS Health Corp./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 96 | 67 | 29 | — |
Dominion Energy Inc./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 101 | 83 | 18 | — |
Dow Chemical Co./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 74 | 55 | 19 | — |
Enbridge Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 59 | 49 | 10 | — |
General Electric Co./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 53 | 17 | 36 | — |
General Motors Co./Baa3 | 12/23/25 | GSI | 3,270 | 1.000 | 30 | (3) | 33 | — |
International Business Machines Corp./A2 | 12/23/25 | GSI | 3,270 | 1.000 | 102 | 88 | 14 | — |
Kroger Co./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 88 | 67 | 21 | — |
Lincoln National Corp./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 58 | 38 | 20 | — |
Lowe's Cos. Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 105 | 88 | 17 | — |
Marathon Petroleum Corp./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 43 | 26 | 17 | — |
Marsh & McLennan Cos. Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 115 | 102 | 13 | — |
Metlife Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 80 | 65 | 15 | — |
Metlife Inc./A3 | 12/21/21 | BARC | 6,575 | 1.000 | 31 | 1 | 30 | — |
Mondelez International Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 100 | 79 | 21 | — |
People’s Republic of China/A1 | 6/21/24 | GSI | 20,715 | 1.000 | 495 | 275 | 220 | — |
People’s Republic of China/A1 | 6/21/22 | BNPSW | 26,335 | 1.000 | 246 | 40 | 206 | — |
Prudential Financial Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 80 | 65 | 15 | — |
Republic of Chile/A1 | 9/22/26 | BARC | 10,200 | 1.000 | 150 | 180 | — | (30) |
Republic of Chile/A1 | 9/22/26 | BARC | 6,700 | 1.000 | 99 | 112 | — | (13) |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Republic of Chile/A1 | 6/23/26 | BOANA | 6,092 | 1.000 | 94 | 87 | 7 | — |
Republic of Chile/A1 | 6/23/26 | GSI | 20,300 | 1.000 | 314 | 266 | 48 | — |
Republic of Chile/A1 | 6/23/26 | MSCS | 21,300 | 1.000 | 329 | 289 | 40 | — |
Republic of Indonesia/Baa2 | 6/23/26 | MSCS | 27,336 | 1.000 | 276 | 157 | 119 | — |
Republic of Peru/A3 | 6/23/26 | BARC | 5,600 | 1.000 | — | 16 | — | (16) |
Republic of Peru/A3 | 6/23/26 | JPMC | 10,980 | 1.000 | (1) | 102 | — | (103) |
Russian Federation/Baa3 | 6/23/26 | GSI | 19,100 | 1.000 | 136 | (5) | 141 | — |
Simon Property Group LP/A3 | 12/23/25 | GSI | 3,270 | 1.000 | 58 | 40 | 18 | — |
UnitedHealth Group Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 104 | 94 | 10 | — |
Verizon Communications Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 86 | 65 | 21 | — |
Verizon Communications Inc./Baa1 | 12/21/22 | GSI | 33,580 | 1.000 | 403 | 161 | 242 | — |
5,092 | 3,614 | 1,849 | (371) | |||||
Credit Protection Purchased | ||||||||
Bank of China Ltd. | 6/21/23 | BNPSW | 19,485 | (1.000) | (313) | (118) | — | (195) |
Bank of China Ltd. | 6/21/22 | BNPSW | 26,335 | (1.000) | (230) | (1) | — | (229) |
Bank of China Ltd. | 12/21/21 | BNPSW | 13,100 | (1.000) | (61) | 4 | — | (65) |
Boeing Co. | 12/21/24 | JPMC | 9,690 | (1.000) | (39) | 555 | — | (594) |
CVS Health Corp. | 12/21/21 | BARC | 19,535 | (1.000) | (93) | (50) | — | (43) |
CVS Health Corp. | 12/21/21 | BARC | 6,620 | (1.000) | (31) | (16) | — | (15) |
CVS Health Corp. | 12/21/21 | JPMC | 29,300 | (1.000) | (139) | (65) | — | (74) |
Deutsche Bank AG | 12/21/22 | JPMC | 20,120 | (1.000) | (206) | (27) | — | (179) |
Lincoln National Corp. | 12/21/21 | BARC | 6,575 | (1.000) | (31) | 1 | — | (32) |
McDonald’s Corp. | 6/22/22 | GSI | 26,675 | (1.000) | (254) | (150) | — | (104) |
Raytheon Co. | 12/21/21 | GSI | 24,420 | (1.000) | (122) | (69) | — | (53) |
Raytheon Co. | 12/21/21 | GSI | 24,415 | (1.000) | (122) | (68) | — | (54) |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Republic of Colombia | 6/23/26 | MSCS | 3,720 | (1.000) | 79 | 55 | 24 | — |
Republic of Turkey | 6/23/26 | MSCS | 5,960 | (1.000) | 725 | 568 | 157 | — |
Societe Generale SA | 12/21/21 | JPMC | 9,765 | (1.000) | (40) | (4) | — | (36) |
Standard Chartered plc | 12/21/21 | JPMC | 16,475 | (1.000) | (81) | 3 | — | (84) |
State of Qatar | 6/21/22 | BOANA | 1,500 | (1.000) | (14) | 3 | — | (17) |
State of Qatar | 6/21/22 | CITNA | 3,450 | (1.000) | (31) | 7 | — | (38) |
(1,003) | 628 | 181 | (1,812) | |||||
4,089 | 4,242 | 2,030 | (2,183) |
1 | Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
BOANA—Bank of America, N.A. | |
CITNA—Citibank NA. | |
GSI—Goldman Sachs International. | |
JPMC—JPMorgan Chase Bank, N.A. | |
MSCS—Morgan Stanley Capital Services LLC. |
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount ($000) | Interest Rate Received (%) | Interest Rate (Paid) (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
9/6/22 | N/A | 100 | 0.0901 | (0.040)2 | — | — |
6/16/23 | N/A | 11,458 | 0.0003 | (0.049)4 | (23) | 1 |
6/16/23 | N/A | 11,458 | 0.0494 | (0.124)3 | — | — |
6/17/24 | N/A | 57,157 | 0.0003 | (0.049)4 | (413) | 20 |
6/17/24 | N/A | 57,157 | 0.0494 | (0.295)3 | (34) | (32) |
(470) | (11) |
1 | Based on 1-Day USD Overnight Fed Funds Effective Rate as of the most recent payment date. Interest payment received/paid quarterly. |
2 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid quarterly. |
3 | Interest payment received/paid annually. |
4 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid annually. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $76,443,079) | 77,807,172 |
Affiliated Issuers (Cost $774,937) | 777,179 |
Total Investments in Securities | 78,584,351 |
Investment in Vanguard | 2,693 |
Cash | 3,381 |
Foreign Currency, at Value (Cost $13,221) | 13,238 |
Receivables for Investment Securities Sold | 636,903 |
Receivables for Accrued Income | 462,514 |
Receivables for Capital Shares Issued | 63,797 |
Swap Premiums Paid | 4,835 |
Unrealized Appreciation—Forward Currency Contracts | 3,083 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 2,030 |
Other Assets | 680 |
Total Assets | 79,777,505 |
Liabilities | |
Payables for Investment Securities Purchased | 974,680 |
Payables for Capital Shares Redeemed | 49,950 |
Payables for Distributions | 16,597 |
Payables to Vanguard | 3,646 |
Swap Premiums Received | 593 |
Variation Margin Payable—Futures Contracts | 398 |
Variation Margin Payable—Centrally Cleared Swap Contracts | 241 |
Unrealized Depreciation—Forward Currency Contracts | 19,889 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 2,183 |
Total Liabilities | 1,068,177 |
Net Assets | 78,709,328 |
Statement of Assets and Liabilities (continued) | |
At July 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 77,098,556 |
Total Distributable Earnings (Loss) | 1,610,772 |
Net Assets | 78,709,328 |
Investor Shares—Net Assets | |
Applicable to 823,312,885 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,044,896 |
Net Asset Value Per Share—Investor Shares | $10.99 |
Admiral Shares—Net Assets | |
Applicable to 5,028,036,853 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 55,237,896 |
Net Asset Value Per Share—Admiral Shares | $10.99 |
Institutional Shares—Net Assets | |
Applicable to 1,313,176,956 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 14,426,536 |
Net Asset Value Per Share—Institutional Shares | $10.99 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends—Affiliated Issuers | 648 |
Interest—Unaffiliated Issuers | 660,124 |
Interest—Affiliated Issuers | 514 |
Total Income | 661,286 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,118 |
Management and Administrative—Investor Shares | 7,765 |
Management and Administrative—Admiral Shares | 22,504 |
Management and Administrative—Institutional Shares | 4,381 |
Marketing and Distribution—Investor Shares | 388 |
Marketing and Distribution—Admiral Shares | 1,279 |
Marketing and Distribution—Institutional Shares | 175 |
Custodian Fees | 176 |
Shareholders’ Reports—Investor Shares | 83 |
Shareholders’ Reports—Admiral Shares | 219 |
Shareholders’ Reports—Institutional Shares | 10 |
Trustees’ Fees and Expenses | 24 |
Total Expenses | 40,122 |
Net Investment Income | 621,164 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Unaffiliated Issuers | 329,047 |
Futures Contracts | 83,264 |
Options Purchased | (3,632) |
Options Written | 3,075 |
Swap Contracts | 36,735 |
Forward Currency Contracts | 152,362 |
Foreign Currencies | (12,634) |
Realized Net Gain (Loss) | 588,217 |
Statement of Operations (continued) | |
Six Months Ended July 31, 2021 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers | (695,839) |
Investment Securities—Affiliated Issuers | (232) |
Futures Contracts | (17,888) |
Options Purchased | (4,853) |
Options Written | (295) |
Swap Contracts | (10,405) |
Forward Currency Contracts | (62,147) |
Foreign Currencies | (514) |
Change in Unrealized Appreciation (Depreciation) | (792,173) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 417,208 |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 621,164 | 1,445,806 | |
Realized Net Gain (Loss) | 588,217 | 371,946 | |
Change in Unrealized Appreciation (Depreciation) | (792,173) | 793,785 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 417,208 | 2,611,537 | |
Distributions | |||
Investor Shares | (68,377) | (175,858) | |
Admiral Shares | (441,966) | (1,039,658) | |
Institutional Shares | (125,003) | (255,366) | |
Total Distributions | (635,346) | (1,470,882) | |
Capital Share Transactions | |||
Investor Shares | 454,104 | 284,616 | |
Admiral Shares | 4,105,117 | 6,268,794 | |
Institutional Shares | 202,449 | 3,251,051 | |
Net Increase (Decrease) from Capital Share Transactions | 4,761,670 | 9,804,461 | |
Total Increase (Decrease) | 4,543,532 | 10,945,116 | |
Net Assets | |||
Beginning of Period | 74,165,796 | 63,220,680 | |
End of Period | 78,709,328 | 74,165,796 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 | $10.60 |
Investment Operations | ||||||
Net Investment Income | .0841 | .2331 | .2971 | .2831 | .2241 | .213 |
Net Realized and Unrealized Gain (Loss) on Investments | (.028) | .225 | .304 | (.069) | (.087) | .053 |
Total from Investment Operations | .056 | .458 | .601 | .214 | .137 | .266 |
Distributions | ||||||
Dividends from Net Investment Income | (.086) | (.238) | (.301) | (.284) | (.215) | (.205) |
Distributions from Realized Capital Gains | — | — | — | — | (.002) | (.011) |
Total Distributions | (.086) | (.238) | (.301) | (.284) | (.217) | (.216) |
Net Asset Value, End of Period | $10.99 | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 |
Total Return2 | 0.51% | 4.29% | 5.79% | 2.07% | 1.29% | 2.52% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,045 | $8,617 | $8,179 | $7,846 | $9,333 | $9,558 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.54% | 2.14% | 2.78% | 2.71% | 2.11% | 2.00% |
Portfolio Turnover Rate | 38%3 | 89%3 | 76%3 | 71%3 | 86% | 68% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 | $10.60 |
Investment Operations | ||||||
Net Investment Income | .0891 | .2441 | .3081 | .2941 | .2361 | .224 |
Net Realized and Unrealized Gain (Loss) on Investments | (.028) | .225 | .304 | (.070) | (.088) | .053 |
Total from Investment Operations | .061 | .469 | .612 | .224 | .148 | .277 |
Distributions | ||||||
Dividends from Net Investment Income | (.091) | (.249) | (.312) | (.294) | (.226) | (.216) |
Distributions from Realized Capital Gains | — | — | — | — | (.002) | (.011) |
Total Distributions | (.091) | (.249) | (.312) | (.294) | (.228) | (.227) |
Net Asset Value, End of Period | $10.99 | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 |
Total Return2 | 0.56% | 4.39% | 5.90% | 2.17% | 1.39% | 2.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $55,238 | $51,282 | $44,211 | $40,218 | $42,156 | $38,564 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.64% | 2.23% | 2.88% | 2.81% | 2.21% | 2.10% |
Portfolio Turnover Rate | 38%3 | 89%3 | 76%3 | 71%3 | 86% | 68% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 | $10.60 |
Investment Operations | ||||||
Net Investment Income | .0911 | .2461 | .3111 | .2971 | .2401 | .227 |
Net Realized and Unrealized Gain (Loss) on Investments | (.028) | .226 | .304 | (.070) | (.089) | .053 |
Total from Investment Operations | .063 | .472 | .615 | .227 | .151 | .280 |
Distributions | ||||||
Dividends from Net Investment Income | (.093) | (.252) | (.315) | (.297) | (.229) | (.219) |
Distributions from Realized Capital Gains | — | — | — | — | (.002) | (.011) |
Total Distributions | (.093) | (.252) | (.315) | (.297) | (.231) | (.230) |
Net Asset Value, End of Period | $10.99 | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 |
Total Return | 0.58% | 4.42% | 5.93% | 2.20% | 1.42% | 2.65% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,427 | $14,267 | $10,830 | $10,100 | $11,566 | $9,949 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 2.25% | 2.91% | 2.84% | 2.24% | 2.13% |
Portfolio Turnover Rate | 38%2 | 89%2 | 76%2 | 71%2 | 86% | 68% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Includes 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 9,111,266 | — | 9,111,266 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 6,424,430 | — | 6,424,430 |
Corporate Bonds | — | 59,933,617 | 3 | 59,933,620 |
Sovereign Bonds | — | 2,303,949 | — | 2,303,949 |
Taxable Municipal Bonds | — | 26,496 | — | 26,496 |
Common Stocks | 80,199 | — | — | 80,199 |
Temporary Cash Investments | 696,980 | — | — | 696,980 |
Options Purchased | — | 7,411 | — | 7,411 |
Total | 777,179 | 77,807,169 | 3 | 78,584,351 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 17,914 | — | — | 17,914 |
Forward Currency Contracts | — | 3,083 | — | 3,083 |
Swap Contracts | 5,0881 | 2,030 | — | 7,118 |
Total | 23,002 | 5,113 | — | 28,115 |
Liabilities | ||||
Futures Contracts1 | 20,532 | — | — | 20,532 |
Forward Currency Contracts | — | 19,889 | — | 19,889 |
Swap Contracts | 321 | 2,183 | — | 2,215 |
Total | 20,564 | 22,072 | — | 42,636 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Investments in Secuties, at Value—Unaffiliated Issuers (Options Purchased) | 7,333 | — | 78 | 7,411 |
Swap Premiums Paid | — | — | 4,835 | 4,835 |
Unrealized Appreciation—Futures Contracts1 | 17,914 | — | — | 17,914 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | 21 | — | 5,067 | 5,088 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Appreciation—Forward Currency Contracts | — | 3,083 | — | 3,083 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | — | 2,030 | 2,030 |
Total Assets | 25,268 | 3,083 | 12,010 | 40,361 |
Swap Premiums Received | — | — | 593 | 593 |
Unrealized Depreciation—Futures Contracts1 | 20,532 | — | — | 20,532 |
Unrealized Depreciation—Centrally Cleared Swap Contracts1 | 32 | — | — | 32 |
Unrealized Depreciation—Forward Currency Contracts | — | 19,889 | — | 19,889 |
Unrealized Depreciation— Over-the-Counter Swap Contracts | — | — | 2,183 | 2,183 |
Total Liabilities | 20,564 | 19,889 | 2,776 | 43,229 |
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | 83,264 | — | — | 83,264 |
Options Purchased | (55) | — | (3,577) | (3,632) |
Options Written | — | — | 3,075 | 3,075 |
Swap Contracts | 5,332 | — | 31,403 | 36,735 |
Forward Currency Contracts | — | 152,362 | — | 152,362 |
Realized Net Gain (Loss) on Derivatives | 88,541 | 152,362 | 30,901 | 271,804 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (17,888) | — | — | (17,888) |
Options Purchased | (3,930) | — | (923) | (4,853) |
Options Written | — | — | (295) | (295) |
Swap Contracts | (1,215) | — | (9,190) | (10,405) |
Forward Currency Contracts | — | (62,147) | — | (62,147) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (23,033) | (62,147) | (10,408) | (95,588) |
E. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 77,440,455 |
Gross Unrealized Appreciation | 1,278,758 |
Gross Unrealized Depreciation | (145,141) |
Net Unrealized Appreciation (Depreciation) | 1,133,617 |
F. | During the six months ended July 31, 2021, the fund purchased $19,860,193,000 of investment securities and sold $13,672,235,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $11,148,638,000 and $14,527,342,000, respectively. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 1,300,053 | 118,450 | 3,104,089 | 285,855 | |
Issued in Lieu of Cash Distributions | 64,229 | 5,854 | 164,257 | 15,072 | |
Redeemed | (910,178) | (82,974) | (2,983,730) | (276,021) | |
Net Increase (Decrease)—Investor Shares | 454,104 | 41,330 | 284,616 | 24,906 | |
Admiral Shares | |||||
Issued | 10,553,691 | 961,786 | 20,001,081 | 1,832,509 | |
Issued in Lieu of Cash Distributions | 351,249 | 32,018 | 828,429 | 76,003 | |
Redeemed | (6,799,823) | (619,828) | (14,560,716) | (1,346,688) | |
Net Increase (Decrease)—Admiral Shares | 4,105,117 | 373,976 | 6,268,794 | 561,824 |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 2,487,869 | 226,707 | 6,743,962 | 616,179 | |
Issued in Lieu of Cash Distributions | 116,101 | 10,584 | 234,890 | 21,546 | |
Redeemed | (2,401,521) | (218,921) | (3,727,801) | (345,374) | |
Net Increase (Decrease)—Institutional Shares | 202,449 | 18,370 | 3,251,051 | 292,351 |
H. | Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows: |
Current Period Transactions | ||||||||
Jan. 31, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Jul. 31, 2021 Market Value ($000) | |
Vanguard Market Liquidity Fund | 2,215,174 | NA1 | NA1 | — | — | 514 | — | 696,980 |
Vanguard Short- Term Corporate Bond ETF | 80,431 | — | — | — | (232) | 648 | — | 80,199 |
Total | 2,295,605 | — | (232) | 1,162 | — | 777,179 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
I. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
Asset-Backed/Commercial Mortgage-Backed Securities | 4.9% |
Corporate Bonds - Communications | 6.8 |
Corporate Bonds - Consumer Discretionary | 5.1 |
Corporate Bonds - Consumer Staples | 5.1 |
Corporate Bonds - Energy | 7.2 |
Corporate Bonds - Financials | 25.9 |
Corporate Bonds - Health Care | 7.0 |
Corporate Bonds - Industrials | 5.8 |
Corporate Bonds - Materials | 2.0 |
Corporate Bonds - Real Estate | 6.2 |
Corporate Bonds - Technology | 6.8 |
Corporate Bonds - Utilities | 5.3 |
Sovereign Bonds | 4.4 |
Taxable Municipal Bonds | 0.1 |
U.S. Government and Agency Obligations | 7.4 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
U.S. Government and Agency Obligations | |||||||
U.S. Government Securities | |||||||
U.S. Treasury Note/Bond1 | 1.125% | 2/15/31 | 600,000 | 595,125 | 1.6% | ||
U.S. Treasury Note/Bond2 | 1.250% | 4/30/28 | 500,000 | 509,219 | 1.3% | ||
U.S. Treasury Note/Bond | 1.625% | 5/15/31 | 450,000 | 466,523 | 1.2% | ||
U.S. Treasury Note/Bond1,3 | 0.875% | 11/15/30 | 375,000 | 364,336 | 1.0% | ||
U.S. Treasury Note/Bond1 | 1.250% | 6/30/28 | 275,000 | 279,770 | 0.7% | ||
U.S. Treasury Note/Bond | 1.250% | 3/31/28 | 250,000 | 254,727 | 0.7% | ||
U.S. Treasury Note/Bond | 1.250% | 5/31/28 | 250,000 | 254,531 | 0.7% | ||
2,724,231 | 7.2% | ||||||
†Agency Bonds and Notes4,5 | 3,871 | 0.0% | |||||
†Nonconventional Mortgage-Backed Securities4,5,6 | 24,003 | 0.1% | |||||
Total U.S. Government and Agency Obligations (Cost $2,696,263) | 2,752,105 | 7.3% | |||||
Asset-Backed/Commercial Mortgage-Backed Securities | |||||||
Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS74 | 3.441% | 9/15/48 | 4,411 | 4,731 | 0.0% | ||
Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK34 | 3.574% | 2/15/50 | 1,540 | 1,720 | 0.0% | ||
Banc of America Commercial Mortgage Trust Class C Series 2015-UBS74,6 | 4.358% | 9/15/48 | 360 | 360 | 0.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
GS Mortgage Securities Corp. II Class A5 Series 2018-GS104,6 | 4.155% | 7/10/51 | 1,065 | 1,236 | 0.0% | ||
GS Mortgage Securities Trust Class A3 Series 2015-GC344 | 3.244% | 10/10/48 | 7,544 | 8,003 | 0.0% | ||
GS Mortgage Securities Trust Class A3 Series 2017-GS64 | 3.433% | 5/10/50 | 5,920 | 6,570 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2013-GC124 | 3.135% | 6/10/46 | 4,128 | 4,296 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2013-GC144 | 3.955% | 8/10/46 | 5,899 | 6,118 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2014-GC264 | 3.364% | 11/10/47 | 7,602 | 8,044 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2015-GC284 | 3.136% | 2/10/48 | 8,999 | 9,520 | 0.1% | ||
GS Mortgage Securities Trust Class A4 Series 2015-GC304 | 3.382% | 5/10/50 | 2,398 | 2,593 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2015-GC324 | 3.764% | 7/10/48 | 4,615 | 5,074 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2016-GS34 | 2.850% | 10/10/49 | 2,220 | 2,389 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2019-GC384 | 3.968% | 2/10/52 | 3,080 | 3,553 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2019-GC404 | 3.160% | 7/10/52 | 6,528 | 7,205 | 0.0% | ||
GS Mortgage Securities Trust Class A4 Series 2019-GC424 | 3.001% | 9/1/52 | 7,000 | 7,651 | 0.0% | ||
GS Mortgage Securities Trust Class A5 Series 2013-GC134,6 | 4.052% | 7/10/46 | 185 | 196 | 0.0% | ||
GS Mortgage Securities Trust Class A5 Series 2014-GC204 | 3.998% | 4/10/47 | 6,289 | 6,738 | 0.0% | ||
GS Mortgage Securities Trust Class A5 Series 2020-GC454 | 2.911% | 2/13/53 | 18,170 | 19,728 | 0.1% | ||
GS Mortgage Securities Trust Class AAB Series 2020-GC454 | 2.843% | 2/13/53 | 7,336 | 7,954 | 0.0% | ||
GS Mortgage Securities Trust Class AS Series 2012-GC64,7 | 4.948% | 1/10/45 | 1,025 | 1,033 | 0.0% | ||
GS Mortgage Securities Trust Class AS Series 2014-GC204 | 4.258% | 4/10/47 | 570 | 614 | 0.0% | ||
GS Mortgage Securities Trust Class AS Series 2014-GC244,6 | 4.162% | 9/10/47 | 6,520 | 7,066 | 0.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
GS Mortgage Securities Trust Class B Series 2013-GC124,6 | 3.777% | 6/10/46 | 1,550 | 1,613 | 0.0% | ||
GS Mortgage Securities Trust Class B Series 2014-GC244,6 | 4.515% | 9/10/47 | 2,610 | 2,731 | 0.0% | ||
GS Mortgage Securities Trust Class C Series 2013-GC134,6,7 | 4.085% | 7/10/46 | 1,210 | 1,188 | 0.0% | ||
GS Mortgage Securities Trust Class C Series 2014-GC244,6 | 4.536% | 9/10/47 | 4,615 | 4,381 | 0.0% | ||
GS Mortgage Securities Trust Class C Series 2015-GC344,6 | 4.648% | 10/10/48 | 2,610 | 2,774 | 0.0% | ||
Morgan Stanley Capital I Class A4 Series 2017-HR24 | 3.587% | 12/15/50 | 3,506 | 3,926 | 0.0% | ||
Morgan Stanley Capital I Class ASB Series 2017-HR24 | 3.509% | 12/15/50 | 2,800 | 3,056 | 0.0% | ||
Morgan Stanley Capital I Trust Class A Series 2014-150E4,7 | 3.912% | 9/9/32 | 3,670 | 3,945 | ���0.0% | ||
Morgan Stanley Capital I Trust Class A Series 2015-4204,7 | 3.727% | 10/12/50 | 2,308 | 2,463 | 0.0% | ||
Morgan Stanley Capital I Trust Class A3 Series 2016-BNK24 | 2.791% | 11/15/49 | 8,300 | 8,839 | 0.0% | ||
Morgan Stanley Capital I Trust Class A4 Series 2016-BNK24 | 3.049% | 11/15/49 | 5,260 | 5,728 | 0.0% | ||
Morgan Stanley Capital I Trust Class A4 Series 2016-UB114 | 2.782% | 8/15/49 | 2,778 | 2,982 | 0.0% | ||
Morgan Stanley Capital I Trust Class A4 Series 2021-L64 | 2.444% | 6/15/54 | 1,900 | 1,986 | 0.0% | ||
Morgan Stanley Capital I Trust Class AS Series 2012-C44 | 3.773% | 3/15/45 | 2,440 | 2,460 | 0.0% | ||
Morgan Stanley Capital I Trust Class C Series 2015-UBS84,6 | 4.582% | 12/15/48 | 1,610 | 1,580 | 0.0% | ||
† | Asset-Backed/Commercial Mortgage-Backed Securities—Other4,6,7 | 1,641,516 | 4.6% | ||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,739,213) | 1,813,560 | 4.8% | |||||
Corporate Bonds | |||||||
Communications | |||||||
Comcast Corp. | 4.150% | 10/15/28 | 81,690 | 95,188 | 0.3% | ||
Fox Corp. | 4.709% | 1/25/29 | 61,320 | 72,511 | 0.2% | ||
T-Mobile USA Inc. | 3.750% | 4/15/27 | 134,017 | 149,429 | 0.4% | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 130,135 | 147,055 | 0.4% | ||
Verizon Communications Inc.8 | 1.500%–4.500% | 2/17/25–1/20/31 | 244,174 | 263,090 | 0.7% | ||
Verizon Communications Inc. | 2.100% | 3/22/28 | 138,235 | 142,286 | 0.4% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
Verizon Communications Inc. | 2.550% | 3/21/31 | 96,531 | 100,357 | 0.3% | ||
† | Communications—Other7,9,10 | 1,582,146 | 4.1% | ||||
2,552,062 | 6.8% | ||||||
Consumer Discretionary | |||||||
Home Depot Inc. | 2.950% | 6/15/29 | 71,145 | 78,555 | 0.2% | ||
Nissan Motor Co. Ltd.7 | 4.345% | 9/17/27 | 72,500 | 80,610 | 0.2% | ||
† | Consumer Discretionary—Other7,9 | 1,756,589 | 4.7% | ||||
1,915,754 | 5.1% | ||||||
Consumer Staples | |||||||
7-Eleven Inc.7 | 1.300% | 2/10/28 | 71,032 | 69,446 | 0.2% | ||
Anheuser-Busch InBev Worldwide Inc. | 4.000% | 4/13/28 | 68,436 | 78,410 | 0.2% | ||
BAT Capital Corp. | 4.700% | 4/2/27 | 62,771 | 71,443 | 0.2% | ||
† | Consumer Staples—Other7,9,10 | 1,689,950 | 4.4% | ||||
1,909,249 | 5.0% | ||||||
Energy | |||||||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 77,145 | 82,549 | 0.2% | ||
Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 60,665 | 68,925 | 0.2% | ||
Shell International Finance BV | 2.375% | 11/7/29 | 117,219 | 123,156 | 0.3% | ||
† | Energy—Other7,9,11 | 2,423,841 | 6.4% | ||||
2,698,471 | 7.1% | ||||||
Financials | |||||||
Bank of America Corp.9 | 0.654%–4.450% | 3/3/26–3/15/50 | 743,615 | 793,441 | 2.4% | ||
Bank of America Corp. | 3.419% | 12/20/28 | 67,280 | 73,969 | 0.2% | ||
Citigroup Inc. | 1.122%–6.625% | 3/9/26–7/23/48 | 534,257 | 590,734 | 1.7% | ||
E*TRADE Financial Corp. | 3.800% | 8/24/27 | 3,003 | 3,370 | 0.0% | ||
Goldman Sachs Group Inc.9 | 1.000%–4.750% | 10/21/25–10/21/45 | 454,309 | 504,073 | 1.6% | ||
Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550%6,8 | 1.570% | 5/2/24 | 30,700 | 23,106 | 0.1% | ||
HSBC Holdings plc10 | 1.589%–4.950% | 8/18/25–5/24/32 | 354,754 | 390,395 | 1.1% | ||
HSBC Holdings plc | 4.041% | 3/13/28 | 78,139 | 87,500 | 0.2% | ||
HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100%6,8 | 1.139% | 2/16/24 | 28,200 | 20,863 | 0.1% | ||
JPMorgan Chase & Co. | 0.824%–4.493% | 6/1/25–4/22/51 | 780,005 | 827,541 | 2.3% | ||
Lloyds Banking Group plc | 3.750% | 1/11/27 | 68,999 | 76,684 | 0.2% | ||
Morgan Stanley | 0.985%–5.597% | 7/23/25–3/24/51 | 361,253 | 390,576 | 1.1% | ||
Morgan Stanley | 0.790% | 5/30/25 | 107,221 | 107,092 | 0.3% | ||
Morgan Stanley | 3.875% | 1/27/26 | 84,720 | 95,006 | 0.3% | ||
Morgan Stanley | 3.625% | 1/20/27 | 68,607 | 76,640 | 0.2% | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 84,077 | 90,941 | 0.2% | ||
Wells Fargo & Co.8,10 | 2.125%–5.013% | 4/22/26–4/4/51 | 335,439 | 366,796 | 1.1% | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 75,315 | 81,720 | 0.2% | ||
Wells Fargo Bank NA10 | 5.250% | 8/1/23 | 23,050 | 34,761 | 0.1% | ||
† | Financials—Other6,7,8,9,10,12,13,14 | 5,016,172 | 12.1% | ||||
9,651,380 | 25.5% | ||||||
Health Care | |||||||
AbbVie Inc. | 2.950% | 11/21/26 | 74,412 | 80,590 | 0.2% | ||
Amgen Inc. | 2.200% | 2/21/27 | 65,841 | 69,047 | 0.2% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
CVS Health Corp. | 4.300% | 3/25/28 | 109,084 | 126,309 | 0.3% | ||
CVS Health Corp. | 3.625% | 4/1/27 | 61,060 | 68,069 | 0.2% | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 76,737 | 77,136 | 0.2% | ||
† | Health Care—Other7,9,15 | 2,188,713 | 5.8% | ||||
2,609,864 | 6.9% | ||||||
Industrials | |||||||
Boeing Co. | 5.040% | 5/1/27 | 64,624 | 74,806 | 0.2% | ||
Boeing Co. | 5.150% | 5/1/30 | 61,541 | 73,266 | 0.2% | ||
Delta Air Lines Inc. / SkyMiles IP Ltd.4,7 | 4.750% | 10/20/28 | 89,502 | 100,236 | 0.3% | ||
Northrop Grumman Corp. | 3.250% | 1/15/28 | 77,009 | 84,680 | 0.2% | ||
† | Industrials—Other4,6,7,8,9,10,15 | 1,820,986 | 4.8% | ||||
2,153,974 | 5.7% | ||||||
† | Materials7,9,10 | 762,860 | 2.0% | ||||
† | Real Estate7,9,10 | 2,293,366 | 6.1% | ||||
Technology | |||||||
Apple Inc. | 1.400% | 8/5/28 | 115,000 | 115,123 | 0.3% | ||
Dell International LLC / EMC Corp. | 4.900%–6.100% | 6/15/26–7/15/27 | 79,825 | 96,579 | 0.3% | ||
Dell International LLC / EMC Corp. | 5.300% | 10/1/29 | 70,197 | 85,930 | 0.2% | ||
Dell International LLC / EMC Corp. | 6.200% | 7/15/30 | 65,551 | 85,161 | 0.2% | ||
Oracle Corp. | 2.875% | 3/25/31 | 90,937 | 96,155 | 0.3% | ||
Oracle Corp. | 2.300% | 3/25/28 | 92,518 | 95,979 | 0.3% | ||
Oracle Corp. | 2.950% | 4/1/30 | 70,260 | 75,016 | 0.2% | ||
QUALCOMM Inc. | 3.250% | 5/20/27 | 68,234 | 75,510 | 0.2% | ||
VMware Inc. | 1.400%–4.700% | 8/15/26–8/15/31 | 89,730 | 99,689 | 0.1% | ||
VMware Inc. | 3.900% | 8/21/27 | 72,562 | 81,708 | 0.2% | ||
† | Technology—Other7 | 1,618,355 | 4.4% | ||||
2,525,205 | 6.7% | ||||||
† | Utilities6,7,8,9 | 1,992,049 | 5.3% | ||||
Total Corporate Bonds (Cost $29,911,770) | 31,064,234 | 82.2% | |||||
Sovereign Bonds | |||||||
KSA Sukuk Ltd. | 3.628% | 4/20/27 | 75,706 | 83,508 | 0.2% | ||
Republic of Colombia | 4.500% | 1/28/26 | 94,468 | 102,644 | 0.3% | ||
Republic of Indonesia | 3.750% | 4/25/22 | 87,775 | 89,864 | 0.2% | ||
United Mexican States | 4.500% | 4/22/29 | 141,380 | 161,054 | 0.4% | ||
† | Sovereign Bonds—Other4,7,9,16 | 1,195,862 | 3.2% | ||||
Total Sovereign Bonds (Cost $1,586,519) | 1,632,932 | 4.3% | |||||
†Taxable Municipal Bonds (Cost $46,417)6,17 | 51,061 | 0.1% | |||||
Shares | |||||||
Temporary Cash Investments | |||||||
Money Market Fund | |||||||
Vanguard Market Liquidity Fund (Cost $217,927)18 | 0.064% | 2,179,326 | 217,932 | 0.6% |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | Percentage of Net Assets | ||
Options Purchased | |||||||
Over-the-Counter Swaptions | |||||||
Call Swaptions | |||||||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | NGFP | 1/13/23 | 0.603% | 317,328 | 918 | 0.0% | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 318,214 | 932 | 0.0% | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 316,703 | 902 | 0.0% | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 316,703 | 979 | 0.0% | |
3,731 | 0.0% | ||||||
Put Swaptions | |||||||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 27,890 | 17 | 0.0% | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 18,510 | 12 | 0.0% |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | Percentage of Net Assets | ||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 13,090 | 8 | 0.0% | |
37 | 0.0% | ||||||
Total Options Purchased (Cost $6,122) | 3,768 | 0.0% | |||||
Total Investments (Cost $36,204,231) | 37,535,592 | 99.3% | |||||
Other Assets and Liabilities—Net | 260,749 | 0.7% | |||||
Net Assets | 37,796,341 | 100.0% | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
1 | Securities with a value of $16,269,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
2 | Securities with a value of $43,386,000 have been segregated as initial margin for open futures contracts. |
3 | Securities with a value of $1,230,000 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 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
7 | Certain of the fund’s securities are 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 July 31, 2021, the aggregate value was $3,487,764,000, representing 9.2% of net assets. |
8 | Certain securities have face amount denominated in Australian dollars. |
9 | Certain securities have face amount denominated in euro. |
10 | Certain securities have face amount denominated in British pounds. |
11 | Guaranteed by the Republic of Azerbaijan. |
12 | Guaranteed by multiple countries. |
13 | Non-income-producing security—security in default. |
14 | Certain of the fund’s securities are valued using significant unobservable inputs. |
15 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021. |
16 | Guaranteed by the State of Qatar. |
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. |
3M—3-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank NA. | |
GSI—Goldman Sachs International. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | 18,137 | 2,438,576 | 31,009 |
Ultra 10-Year U.S. Treasury Note | September 2021 | 8,894 | 1,336,324 | 11,192 |
42,201 | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2021 | (2,402) | (530,016) | (121) |
5-Year U.S. Treasury Note | September 2021 | (1,510) | (187,912) | 8 |
AUD 10-Year Treasury Bond | September 2021 | (351) | (37,452) | (1,051) |
AUD 3-Year Treasury Bond | September 2021 | (1,070) | (91,931) | (101) |
Euro-Bobl | September 2021 | (2,367) | (380,071) | (3,222) |
Euro-Bund | September 2021 | (1,426) | (298,684) | (6,362) |
Euro-Buxl | September 2021 | (276) | (70,405) | (4,148) |
Euro-Schatz | September 2021 | (406) | (54,112) | (90) |
Long Gilt | September 2021 | (1,244) | (224,428) | (1,864) |
Long U.S. Treasury Bond | September 2021 | (1,434) | (236,207) | (10,091) |
Ultra Long U.S. Treasury Bond | September 2021 | (1,787) | (356,562) | (21,003) |
(48,045) | ||||
(5,844) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Morgan Stanley Capital Services Inc. | 8/27/21 | EUR | 22,195 | USD | 26,240 | 103 | — |
UBS AG | 8/27/21 | MXN | 37,453 | USD | 1,860 | 14 | — |
JPMorgan Chase Bank, N.A. | 8/27/21 | ZAR | 23,919 | USD | 1,608 | 19 | — |
State Street Bank & Trust Co. | 8/27/21 | USD | 164,321 | AUD | 223,028 | 627 | — |
Barclays Bank plc | 8/27/21 | USD | 160,502 | AUD | 217,691 | 726 | — |
State Street Bank & Trust Co. | 8/27/21 | USD | 471,867 | EUR | 400,867 | — | (3,917) |
Goldman Sachs Bank USA | 8/27/21 | USD | 471,786 | EUR | 400,867 | — | (3,998) |
State Street Bank & Trust Co. | 8/27/21 | USD | 16,234 | EUR | 13,657 | 24 | — |
JPMorgan Chase Bank, N.A. | 8/27/21 | USD | 1,529 | EUR | 1,294 | — | (7) |
Toronto-Dominion Bank | 8/27/21 | USD | 326,036 | GBP | 237,066 | — | (3,506) |
Morgan Stanley Capital Services Inc. | 8/27/21 | USD | 50,553 | GBP | 36,588 | — | (308) |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
JPMorgan Chase Bank, N.A. | 8/27/21 | USD | 8,021 | GBP | 5,827 | — | (79) |
Toronto-Dominion Bank | 8/27/21 | USD | 75 | JPY | 8,326 | — | — |
1,513 | (11,815) |
AUD—Australian dollar. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
MXN—Mexican pesos. |
USD—U.S. dollar. |
ZAR—South African rand. |
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-S36-V1 | 6/21/24 | USD 67,550 | 1.000 | 1,488 | 17 | |
Credit Protection Purchased | ||||||
CDX-NA-HY-S36-V1 | 6/23/26 | USD 18,510 | (5.000) | (1,828) | 17 | |
CDX-NA-IG-S36-V1 | 6/23/26 | USD 42,018 | (1.000) | (1,070) | (39) | |
(2,898) | (22) | |||||
(1,410) | (5) |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Ally Financial Inc./Ba1 | 12/23/25 | GSI | 1,630 | 1.000 | 18 | 10 | 8 | — |
America Movil SAB de CV/A3 | 12/21/22 | BARC | 15,000 | 1.000 | 146 | (40) | 186 | — |
American Express Co./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 51 | 47 | 4 | — |
American International Group Inc./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 35 | 20 | 15 | — |
Berkshire Hathaway Inc./Aa2 | 12/21/24 | BARC | 19,400 | 1.000 | 566 | 389 | 177 | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Berkshire Hathaway Inc./Aa2 | 12/21/24 | JPMC | 9,400 | 1.000 | 274 | 182 | 92 | — |
Berkshire Hathaway Inc./Aa2 | 12/21/22 | BARC | 7,605 | 1.000 | 104 | 36 | 68 | — |
Berkshire Hathaway Inc./Aa2 | 6/21/22 | BARC | 15,760 | 1.000 | 147 | 47 | 100 | — |
Boeing Co./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | (1) | (8) | 7 | — |
Chubb INA Holdings Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 59 | 53 | 6 | — |
Comcast Corp./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 46 | 42 | 4 | — |
CVS Health Corp./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 48 | 34 | 14 | — |
Dominion Energy Inc./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 51 | 42 | 9 | — |
Dow Chemical Co./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 37 | 27 | 10 | — |
Enbridge Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 29 | 24 | 5 | — |
General Electric Co./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 26 | 8 | 18 | — |
General Motors Co./Baa3 | 12/23/25 | GSI | 1,630 | 1.000 | 16 | (1) | 17 | — |
International Business Machines Corp./A2 | 12/23/25 | GSI | 1,630 | 1.000 | 51 | 44 | 7 | — |
Kroger Co./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 45 | 34 | 11 | — |
Lincoln National Corp./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 29 | 19 | 10 | — |
Lowe's Cos. Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 52 | 44 | 8 | — |
Marathon Petroleum Corp./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 21 | 13 | 8 | — |
Marsh & McLennan Cos. Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 57 | 51 | 6 | — |
Metlife Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 39 | 32 | 7 | — |
Metlife Inc./A3 | 6/21/24 | BARC | 24,300 | 1.000 | 535 | 13 | 522 | — |
Metlife Inc./A3 | 12/21/21 | BARC | 3,165 | 1.000 | 14 | — | 14 | — |
Mondelez International Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 50 | 39 | 11 | — |
People’s Republic of China/A1 | 6/21/22 | BNPSW | 22,800 | 1.000 | 213 | 35 | 178 | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Prudential Financial Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 40 | 32 | 8 | — |
Republic of Chile/A1 | 6/23/26 | JPMC | 20,000 | 1.000 | 309 | 325 | — | (16) |
Republic of Indonesia/Baa2 | 6/23/26 | BARC | 19,600 | 1.000 | 198 | 232 | — | (34) |
Republic of Indonesia/Baa2 | 6/23/26 | BARC | 17,604 | 1.000 | 178 | 208 | — | (30) |
Republic of Indonesia/Baa2 | 6/23/26 | BARC | 15,000 | 1.000 | 152 | 163 | — | (11) |
Republic of Indonesia/Baa2 | 6/23/26 | BARC | 8,700 | 1.000 | 88 | 103 | — | (15) |
Republic of Peru/A3 | 6/23/26 | BARC | 5,100 | 1.000 | (1) | 14 | — | (15) |
Republic of Peru/A3 | 6/23/26 | BNPSW | 13,060 | 1.000 | (1) | 93 | — | (94) |
Russian Federation/Baa3 | 6/23/26 | GSI | 21,614 | 1.000 | 155 | (5) | 160 | — |
Simon Property Group LP/A3 | 12/23/25 | GSI | 1,630 | 1.000 | 29 | 20 | 9 | — |
Unibail-Rodamco-Westfield SE/Baa1 | 6/23/26 | GSI | 12,1002 | 1.000 | (17) | (164) | 147 | — |
UnitedHealth Group Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 52 | 47 | 5 | — |
Verizon Communications Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 43 | 32 | 11 | — |
Verizon Communications Inc./Baa1 | 12/21/22 | GSI | 15,585 | 1.000 | 187 | 75 | 112 | — |
4,170 | 2,411 | 1,974 | (215) | |||||
Credit Protection Purchased | ||||||||
Bank of China Ltd. | 6/21/22 | BNPSW | 22,800 | (1.000) | (200) | (1) | — | (199) |
Bank of China Ltd. | 12/21/21 | BNPSW | 6,200 | (1.000) | (29) | 2 | — | (31) |
CVS Health Corp. | 12/21/21 | BARC | 3,220 | (1.000) | (15) | (8) | — | (7) |
CVS Health Corp. | 12/21/21 | BOANA | 15,000 | (1.000) | (71) | (38) | — | (33) |
Deutsche Bank AG | 12/21/22 | JPMC | 9,115 | (1.000) | (93) | (12) | — | (81) |
Federative Republic of Brazil | 6/23/26 | MSCS | 9,220 | (1.000) | 321 | 332 | — | (11) |
Lincoln National Corp. | 12/21/21 | BARC | 3,165 | (1.000) | (15) | 1 | — | (16) |
McDonald’s Corp. | 6/22/22 | GSI | 12,325 | (1.000) | (117) | (69) | — | (48) |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Republic of Philippines | 6/23/26 | BNPSW | 7,940 | (1.000) | (196) | (208) | 12 | — |
Republic of Turkey | 6/23/26 | MSCS | 3,055 | (1.000) | 371 | 291 | 80 | — |
Societe Generale SA | 12/21/21 | JPMC | 14,675 | (1.000) | (61) | (7) | — | (54) |
Standard Chartered plc | 12/21/21 | JPMC | 7,945 | (1.000) | (39) | 1 | — | (40) |
State of Qatar | 6/21/22 | BOANA | 1,360 | (1.000) | (12) | 3 | — | (15) |
State of Qatar | 6/21/22 | CITNA | 2,640 | (1.000) | (24) | 5 | — | (29) |
(180) | 292 | 92 | (564) | |||||
3,990 | 2,703 | 2,066 | (779) |
1 | Periodic premium received/paid quarterly. |
2 | Notional amount denominated in euro. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
BOANA—Bank of America, N.A. | |
CITNA—Citibank NA. | |
GSI—Goldman Sachs International. | |
JPMC—JPMorgan Chase Bank, N.A. | |
MSCS—Morgan Stanley Capital Services LLC. |
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount ($000) | Interest Rate Received (%) | Interest Rate (Paid) (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
6/16/23 | N/A | 3,603 | 0.0001 | (0.049)2 | (7) | — |
6/16/23 | N/A | 3,603 | 0.0492 | (0.123)1 | — | — |
6/17/24 | N/A | 12,946 | 0.0001 | (0.049)2 | (93) | 5 |
6/17/24 | N/A | 12,946 | 0.0492 | (0.294)1 | (8) | (7) |
(108) | (2) |
1 | Interest payment received/paid annually. |
2 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid annually. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $35,986,304) | 37,317,660 |
Affiliated Issuers (Cost $217,927) | 217,932 |
Total Investments in Securities | 37,535,592 |
Investment in Vanguard | 1,273 |
Cash | 3,028 |
Foreign Currency, at Value (Cost $15,059) | 15,028 |
Receivables for Investment Securities Sold | 304,154 |
Receivables for Accrued Income | 260,423 |
Receivables for Capital Shares Issued | 21,807 |
Swap Premiums Paid | 3,264 |
Variation Margin Receivable—Futures Contracts | 2,506 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 92 |
Unrealized Appreciation—Forward Currency Contracts | 1,513 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 2,066 |
Other Assets | 100 |
Total Assets | 38,150,846 |
Liabilities | |
Payables for Investment Securities Purchased | 310,856 |
Payables for Capital Shares Redeemed | 18,776 |
Payables for Distributions | 9,973 |
Payables to Vanguard | 1,745 |
Swap Premiums Received | 561 |
Unrealized Depreciation—Forward Currency Contracts | 11,815 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 779 |
Total Liabilities | 354,505 |
Net Assets | 37,796,341 |
Statement of Assets and Liabilities (continued) | |
At July 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 36,195,344 |
Total Distributable Earnings (Loss) | 1,600,997 |
Net Assets | 37,796,341 |
Investor Shares—Net Assets | |
Applicable to 211,419,746 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,179,850 |
Net Asset Value Per Share—Investor Shares | $10.31 |
Admiral Shares—Net Assets | |
Applicable to 3,454,380,376 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 35,616,491 |
Net Asset Value Per Share—Admiral Shares | $10.31 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 435,593 |
Total Income | 435,593 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,697 |
Management and Administrative—Investor Shares | 1,885 |
Management and Administrative—Admiral Shares | 14,390 |
Marketing and Distribution—Investor Shares | 128 |
Marketing and Distribution—Admiral Shares | 842 |
Custodian Fees | 156 |
Shareholders’ Reports—Investor Shares | 37 |
Shareholders’ Reports—Admiral Shares | 190 |
Trustees’ Fees and Expenses | 13 |
Total Expenses | 19,338 |
Net Investment Income | 416,255 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 231,718 |
Futures Contracts | 49,566 |
Options Purchased | (1,763) |
Options Written | 1,549 |
Swap Contracts | 4,262 |
Forward Currency Contracts | 54,539 |
Foreign Currencies | (5,773) |
Realized Net Gain (Loss) | 334,098 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (346,250) |
Futures Contracts | (16,907) |
Options Purchased | (2,435) |
Options Written | (158) |
Swap Contracts | 2,563 |
Forward Currency Contracts | (22,967) |
Foreign Currencies | (154) |
Change in Unrealized Appreciation (Depreciation) | (386,308) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 364,045 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $192,000, $0, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 416,255 | 868,577 | |
Realized Net Gain (Loss) | 334,098 | 1,297,445 | |
Change in Unrealized Appreciation (Depreciation) | (386,308) | 274,647 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 364,045 | 2,440,669 | |
Distributions | |||
Investor Shares | (37,940) | (130,968) | |
Admiral Shares | (610,994) | (1,911,445) | |
Total Distributions | (648,934) | (2,042,413) | |
Capital Share Transactions | |||
Investor Shares | (104,359) | (190,626) | |
Admiral Shares | 787,804 | 3,585,341 | |
Net Increase (Decrease) from Capital Share Transactions | 683,445 | 3,394,715 | |
Total Increase (Decrease) | 398,556 | 3,792,971 | |
Net Assets | |||
Beginning of Period | 37,397,785 | 33,604,814 | |
End of Period | 37,796,341 | 37,397,785 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $10.39 | $10.23 | $9.52 | $9.61 | $9.66 | $9.72 |
Investment Operations | ||||||
Net Investment Income | .1101 | .2521 | .3001 | .3001 | .2771 | .278 |
Net Realized and Unrealized Gain (Loss) on Investments | (.015) | .500 | .711 | (.087) | (.034) | .030 |
Total from Investment Operations | .095 | .752 | 1.011 | .213 | .243 | .308 |
Distributions | ||||||
Dividends from Net Investment Income | (.111) | (.257) | (.301) | (.303) | (.274) | (.276) |
Distributions from Realized Capital Gains | (.064) | (.335) | — | — | (.016) | (.092) |
Total Distributions | (.175) | (.592) | (.301) | (.303) | (.290) | (.368) |
Net Asset Value, End of Period | $10.31 | $10.39 | $10.23 | $9.52 | $9.61 | $9.66 |
Total Return2 | 0.96% | 7.49% | 10.76% | 2.31% | 2.47% | 3.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,180 | $2,305 | $2,459 | $2,115 | $2,472 | $2,671 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 2.19% | 2.41% | 3.03% | 3.20% | 2.84% | 2.80% |
Portfolio Turnover Rate | 45%3 | 113%3,4 | 114%3 | 73%3 | 63% | 68% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 1%, 12%, 1% and 1%, respectively, attributable to mortgage-dollar-roll activity. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $10.39 | $10.23 | $9.52 | $9.61 | $9.66 | $9.72 |
Investment Operations | ||||||
Net Investment Income | .1151 | .2611 | .3091 | .3101 | .2881 | .288 |
Net Realized and Unrealized Gain (Loss) on Investments | (.015) | .501 | .712 | (.087) | (.039) | .030 |
Total from Investment Operations | .100 | .762 | 1.021 | .223 | .249 | .318 |
Distributions | ||||||
Dividends from Net Investment Income | (.116) | (.267) | (.311) | (.313) | (.283) | (.286) |
Distributions from Realized Capital Gains | (.064) | (.335) | — | — | (.016) | (.092) |
Total Distributions | (.180) | (.602) | (.311) | (.313) | (.299) | (.378) |
Net Asset Value, End of Period | $10.31 | $10.39 | $10.23 | $9.52 | $9.61 | $9.66 |
Total Return2 | 1.01% | 7.59% | 10.87% | 2.41% | 2.58% | 3.27% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $35,616 | $35,093 | $31,146 | $27,011 | $27,000 | $25,145 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.29% | 2.50% | 3.13% | 3.30% | 2.94% | 2.90% |
Portfolio Turnover Rate | 45%3 | 113%3,4 | 114%3 | 73%3 | 63% | 68% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 1%, 12%, 1% and 1%, respectively, attributable to mortgage-dollar-roll activity. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 2,752,105 | — | 2,752,105 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,813,560 | — | 1,813,560 |
Corporate Bonds | — | 31,064,231 | 3 | 31,064,234 |
Sovereign Bonds | — | 1,632,932 | — | 1,632,932 |
Taxable Municipal Bonds | — | 51,061 | — | 51,061 |
Temporary Cash Investments | 217,932 | — | — | 217,932 |
Options Purchased | — | 3,768 | — | 3,768 |
Total | 217,932 | 37,317,657 | 3 | 37,535,592 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 42,209 | — | — | 42,209 |
Forward Currency Contracts | — | 1,513 | — | 1,513 |
Swap Contracts | 391 | 2,066 | — | 2,105 |
Total | 42,248 | 3,579 | — | 45,827 |
Liabilities | ||||
Futures Contracts1 | 48,053 | — | — | 48,053 |
Forward Currency Contracts | — | 11,815 | — | 11,815 |
Swap Contracts | 461 | 779 | — | 825 |
Total | 48,099 | 12,594 | — | 60,693 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Investments in Secuties, at Value—Unaffiliated Issuers (Options Purchased) | 3,731 | — | 37 | 3,768 |
Swap Premiums Paid | — | — | 3,264 | 3,264 |
Unrealized Appreciation—Futures Contracts1 | 42,209 | — | — | 42,209 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | 5 | — | 34 | 39 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Appreciation—Forward Currency Contracts | — | 1,513 | — | 1,513 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | — | 2,066 | 2,066 |
Total Assets | 45,945 | 1,513 | 5,401 | 52,859 |
Swap Premiums Received | — | — | 561 | 561 |
Unrealized Depreciation—Futures Contracts1 | 48,053 | — | — | 48,053 |
Unrealized Depreciation—Centrally Cleared Swap Contracts1 | 7 | — | 39 | 46 |
Unrealized Depreciation—Forward Currency Contracts | — | 11,815 | — | 11,815 |
Unrealized Depreciation— Over-the-Counter Swap Contracts | — | — | 779 | 779 |
Total Liabilities | 48,060 | 11,815 | 1,379 | 61,254 |
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | 49,566 | — | — | 49,566 |
Options Purchased | (28) | — | (1,735) | (1,763) |
Options Written | — | — | 1,549 | 1,549 |
Swap Contracts | 1,322 | — | 2,940 | 4,262 |
Forward Currency Contracts | — | 54,539 | — | 54,539 |
Realized Net Gain (Loss) on Derivatives | 50,860 | 54,539 | 2,754 | 108,153 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (16,907) | — | — | (16,907) |
Options Purchased | (1,998) | — | (437) | (2,435) |
Options Written | — | — | (158) | (158) |
Swap Contracts | (217) | — | 2,780 | 2,563 |
Forward Currency Contracts | — | (22,967) | — | (22,967) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (19,122) | (22,967) | 2,185 | (39,904) |
E. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 36,249,919 |
Gross Unrealized Appreciation | 1,428,287 |
Gross Unrealized Depreciation | (154,777) |
Net Unrealized Appreciation (Depreciation) | 1,273,510 |
F. | During the six months ended July 31, 2021, the fund purchased $12,147,545,000 of investment securities and sold $10,083,631,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $4,980,562,000 and $6,198,376,000, respectively. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 220,480 | 21,613 | 698,936 | 66,916 | |
Issued in Lieu of Cash Distributions | 33,917 | 3,362 | 117,483 | 11,322 | |
Redeemed | (358,756) | (35,290) | (1,007,045) | (96,799) | |
Net Increase (Decrease)—Investor Shares | (104,359) | (10,315) | (190,626) | (18,561) | |
Admiral Shares | |||||
Issued | 4,522,226 | 444,638 | 9,955,217 | 951,905 | |
Issued in Lieu of Cash Distributions | 526,364 | 52,167 | 1,655,354 | 159,373 | |
Redeemed | (4,260,786) | (418,815) | (8,025,230) | (778,982) | |
Net Increase (Decrease)—Admiral Shares | 787,804 | 77,990 | 3,585,341 | 332,296 |
H. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
Corporate Bonds - Communications | 7.1% |
Corporate Bonds - Consumer Discretionary | 5.2 |
Corporate Bonds - Consumer Staples | 4.8 |
Corporate Bonds - Energy | 5.5 |
Corporate Bonds - Financials | 18.5 |
Corporate Bonds - Health Care | 11.8 |
Corporate Bonds - Industrials | 3.9 |
Corporate Bonds - Materials | 0.5 |
Corporate Bonds - Real Estate | 0.5 |
Corporate Bonds - Technology | 11.0 |
Corporate Bonds - Utilities | 15.0 |
Sovereign Bonds | 1.7 |
Taxable Municipal Bonds | 8.9 |
U.S. Government and Agency Obligations | 5.6 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
U.S. Government and Agency Obligations | |||||||
U.S. Government Securities | |||||||
U.S. Treasury Note/Bond1 | 0.125%–5.250% | 10/31/22–5/15/50 | 251,675 | 263,820 | 1.3% | ||
U.S. Treasury Note/Bond | 0.625% | 5/15/30 | 180,000 | 171,872 | 0.8% | ||
U.S. Treasury Note/Bond2 | 2.375% | 11/15/49 | 100,000 | 110,469 | 0.5% | ||
U.S. Treasury Note/Bond1,2 | 1.375% | 8/15/50 | 121,100 | 106,379 | 0.5% | ||
U.S. Treasury Note/Bond | 4.750% | 2/15/41 | 70,000 | 105,448 | 0.5% | ||
U.S. Treasury Note/Bond | 1.125% | 8/15/40 | 84,390 | 75,173 | 0.4% | ||
U.S. Treasury Note/Bond | 3.750% | 8/15/41 | 55,095 | 73,637 | 0.3% | ||
U.S. Treasury Note/Bond | 4.750% | 2/15/37 | 50,000 | 72,656 | 0.3% | ||
U.S. Treasury Note/Bond | 3.000% | 11/15/44 | 55,000 | 66,791 | 0.3% | ||
† | U.S. Government Securities—Other | 26,817 | 0.1% | ||||
1,073,062 | 5.0% | ||||||
†Agency Bonds and Notes | 63,911 | 0.3% | |||||
Total U.S. Government and Agency Obligations (Cost $1,109,663) | 1,136,973 | 5.3% | |||||
Corporate Bonds | |||||||
Communications | |||||||
Comcast Corp. | 2.450%–6.500% | 6/15/35–8/15/62 | 321,224 | 388,398 | 1.8% | ||
Comcast Corp. | 4.950% | 10/15/58 | 85,850 | 121,548 | 0.6% | ||
Comcast Corp. | 3.969% | 11/1/47 | 85,688 | 102,018 | 0.5% | ||
Comcast Corp. | 4.750% | 3/1/44 | 62,715 | 81,946 | 0.4% | ||
Comcast Corp. | 4.600% | 10/15/38 | 64,153 | 80,713 | 0.4% | ||
NBCUniversal Media LLC | 4.450%–5.950% | 4/1/41–1/15/43 | 39,597 | 53,292 | 0.2% | ||
TWDC Enterprises 18 Corp. | 3.000%–7.550% | 7/30/46–7/15/93 | 8,349 | 9,000 | 0.0% | ||
Walt Disney Co. | 2.750%–6.650% | 12/15/34–9/1/49 | 164,738 | 191,176 | 0.9% | ||
Walt Disney Co. | 3.600% | 1/13/51 | 63,711 | 73,608 | 0.4% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
† | Communications—Other3,4 | 339,827 | 1.5% | ||||
1,441,526 | 6.7% | ||||||
Consumer Discretionary | |||||||
Amazon.com Inc. | 2.500%–4.950% | 8/22/37–5/12/61 | 196,087 | 227,967 | 1.1% | ||
Amazon.com Inc. | 4.050% | 8/22/47 | 95,075 | 117,819 | 0.6% | ||
Home Depot Inc. | 3.125%–5.950% | 12/16/36–9/15/56 | 146,074 | 193,954 | 0.8% | ||
Home Depot Inc. | 4.875% | 2/15/44 | 60,115 | 81,792 | 0.4% | ||
† | Consumer Discretionary—Other3,5,6 | 443,214 | 2.1% | ||||
1,064,746 | 5.0% | ||||||
Consumer Staples | |||||||
Walmart Inc. | 3.950% | 6/28/38 | 96,757 | 117,905 | 0.6% | ||
Walmart Inc. | 3.625% | 12/15/47 | 69,145 | 82,468 | 0.4% | ||
Walmart Inc. | 2.950%–5.625% | 4/1/40–9/24/49 | 44,327 | 56,491 | 0.3% | ||
† | Consumer Staples—Other3,4,6 | 727,823 | 3.3% | ||||
984,687 | 4.6% | ||||||
Energy | |||||||
Exxon Mobil Corp.6 | 1.408%–4.227% | 6/26/39–4/15/51 | 113,798 | 129,741 | 0.7% | ||
Exxon Mobil Corp. | 4.327% | 3/19/50 | 68,181 | 86,600 | 0.4% | ||
Northern Natural Gas Co.3 | 3.400% | 10/16/51 | 2,800 | 2,959 | 0.0% | ||
Shell International Finance BV | 3.125%–6.375% | 5/11/35–4/6/50 | 171,173 | 209,803 | 0.9% | ||
Shell International Finance BV | 3.750% | 9/12/46 | 63,375 | 73,409 | 0.4% | ||
† | Energy—Other3 | 606,204 | 2.8% | ||||
1,108,716 | 5.2% | ||||||
Financials | |||||||
Bank of America Corp. | 2.496%–5.875% | 2/13/31–3/13/52 | 233,719 | 266,412 | 1.4% | ||
Bank of America Corp. | 4.244% | 4/24/38 | 80,255 | 95,779 | 0.5% | ||
Bank of America Corp. | 3.946% | 1/23/49 | 62,960 | 73,739 | 0.4% | ||
Bank of America Corp. | 4.083% | 3/20/51 | 57,390 | 69,394 | 0.3% | ||
Bank of America Corp. | 3.311% | 4/22/42 | 62,940 | 67,948 | 0.3% | ||
Bank of America NA | 6.000% | 10/15/36 | 20,450 | 29,045 | 0.1% | ||
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/49 | 64,185 | 81,625 | 0.4% | ||
Berkshire Hathaway Finance Corp. | 2.500%–4.400% | 5/15/42–1/15/51 | 46,792 | 56,394 | 0.2% | ||
Berkshire Hathaway Inc.6 | 0.500%–4.500% | 1/15/41–2/11/43 | 48,370 | 62,854 | 0.3% | ||
Citigroup Inc. | 3.878% | 1/24/39 | 70,730 | 82,662 | 0.4% | ||
Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 139,440 | 165,221 | 0.8% | ||
Goldman Sachs Group Inc.6 | 1.000%–6.250% | 3/18/33–10/21/45 | 131,536 | 157,689 | 0.8% | ||
HSBC Holdings plc | 6.800% | 6/1/38 | 48,749 | 70,774 | 0.3% | ||
JPMorgan Chase & Co. | 3.109%–6.400% | 5/15/38–4/22/52 | 336,922 | 407,279 | 2.0% | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 97,835 | 116,385 | 0.5% | ||
JPMorgan Chase & Co. | 3.882% | 7/24/38 | 67,662 | 79,268 | 0.4% | ||
MetLife Inc. | 4.125% | 8/13/42 | 56,081 | 68,593 | 0.3% | ||
Morgan Stanley | 2.239%–7.250% | 4/1/31–1/25/52 | 210,161 | 257,463 | 1.3% | ||
Morgan Stanley | 3.971% | 7/22/38 | 103,500 | 122,274 | 0.6% | ||
Wachovia Corp. | 5.500% | 8/1/35 | 2,322 | 3,071 | 0.0% | ||
Wells Fargo & Co.4 | 2.125%–5.013% | 9/24/31–4/4/51 | 171,400 | 216,254 | 1.0% | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 130,765 | 182,757 | 0.9% | ||
Wells Fargo & Co. | 5.375% | 11/2/43 | 55,167 | 75,187 | 0.4% | ||
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 745 | 0.0% | ||
† | Financials—Other3,4,6 | 934,765 | 3.8% | ||||
3,743,577 | 17.4% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
Health Care | |||||||
Abbott Laboratories | 4.900% | 11/30/46 | 76,140 | 106,702 | 0.5% | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 115,795 | 149,463 | 0.7% | ||
Bristol-Myers Squibb Co. | 2.350%–4.550% | 6/15/39–11/13/50 | 106,252 | 119,247 | 0.5% | ||
Johnson & Johnson | 2.100%–3.750% | 3/1/36–9/1/60 | 224,826 | 260,792 | 1.3% | ||
Merck & Co. Inc. | 3.700% | 2/10/45 | 75,455 | 89,170 | 0.4% | ||
Pfizer Inc. | 2.700%–7.200% | 9/15/38–5/28/50 | 190,257 | 250,743 | 1.3% | ||
UnitedHealth Group Inc. | 2.300%–6.875% | 5/15/31–8/15/59 | 286,000 | 346,752 | 1.8% | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 53,920 | 72,514 | 0.3% | ||
Wyeth LLC | 5.950% | 4/1/37 | 53,438 | 77,931 | 0.4% | ||
Wyeth LLC | 6.500% | 2/1/34 | 1,240 | 1,840 | 0.0% | ||
† | Health Care—Other3,5,6 | 912,430 | 3.9% | ||||
2,387,584 | 11.1% | ||||||
Industrials | |||||||
Burlington Northern Santa Fe LLC | 3.050%–7.950% | 8/15/30–9/15/51 | 253,893 | 321,076 | 1.6% | ||
† | Industrials—Other3,4,5 | 472,118 | 2.1% | ||||
793,194 | 3.7% | ||||||
† | Materials3,6 | 100,491 | 0.5% | ||||
† | Real Estate3,4,6 | 104,137 | 0.5% | ||||
Technology | |||||||
Apple Inc. | 2.375%–4.650% | 2/8/41–8/20/60 | 400,662 | 456,654 | 2.1% | ||
Apple Inc. | 3.850% | 5/4/43 | 63,204 | 76,237 | 0.4% | ||
Intel Corp. | 3.100%–4.750% | 5/19/46–2/15/60 | 193,258 | 219,302 | 0.9% | ||
International Business Machines Corp. | 4.150% | 5/15/39 | 95,670 | 115,544 | 0.5% | ||
Microsoft Corp. | 2.525% | 6/1/50 | 240,789 | 241,009 | 1.1% | ||
Microsoft Corp. | 2.921% | 3/17/52 | 134,575 | 145,198 | 0.7% | ||
Microsoft Corp. | 3.041%–3.500% | 2/12/35–3/17/62 | 72,707 | 81,873 | 0.5% | ||
Microsoft Corp. | 2.675% | 6/1/60 | 66,699 | 67,656 | 0.3% | ||
Oracle Corp. | 3.600%–6.500% | 7/8/34–5/15/55 | 173,740 | 216,644 | 1.1% | ||
QUALCOMM Inc. | 4.300% | 5/20/47 | 55,300 | 70,712 | 0.3% | ||
† | Technology—Other3,6 | 540,841 | 2.5% | ||||
2,231,670 | 10.4% | ||||||
Utilities | |||||||
Baltimore Gas and Electric Co. | 2.900%–6.350% | 10/1/36–6/15/50 | 29,120 | 36,889 | 0.2% | ||
Berkshire Hathaway Energy Co. | 2.850%–6.125% | 4/1/36–5/15/51 | 91,427 | 118,497 | 0.6% | ||
Commonwealth Edison Co. | 3.125%–5.900% | 3/15/36–3/15/51 | 118,886 | 146,274 | 0.8% | ||
Duke Energy Carolinas LLC | 3.200%–6.100% | 6/1/37–4/15/51 | 122,642 | 153,386 | 0.8% | ||
Duke Energy Florida LLC | 3.400%–6.350% | 9/15/37–7/15/48 | 4,958 | 6,334 | 0.0% | ||
Duke Energy Indiana LLC | 4.200%–6.450% | 10/15/35–7/15/43 | 55,327 | 73,481 | 0.4% | ||
Duke Energy Ohio Inc. | 3.700%–4.300% | 6/15/46–2/1/49 | 11,325 | 13,169 | 0.1% | ||
Duke Energy Progress LLC | 3.700%–4.200% | 5/15/42–10/15/46 | 104,486 | 127,144 | 0.5% | ||
MidAmerican Energy Co. | 2.700%–5.800% | 10/15/36–8/1/52 | 70,479 | 90,785 | 0.4% | ||
Nevada Power Co. | 5.375%–6.650% | 4/1/36–5/15/41 | 43,880 | 60,541 | 0.2% | ||
Northern States Power Co. | 2.600%–6.250% | 6/1/36–6/1/51 | 67,877 | 86,821 | 0.5% | ||
PacifiCorp | 3.300%–6.350% | 6/15/35–3/15/51 | 161,141 | 218,016 | 1.0% | ||
PECO Energy Co. | 3.050%–4.800% | 10/15/43–3/15/51 | 75,156 | 89,630 | 0.5% | ||
Potomac Electric Power Co. | 4.150%–7.900% | 11/15/37–3/15/43 | 14,877 | 18,723 | 0.1% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
Public Service Co. of Colorado | 3.200%–6.250% | 9/1/37–3/1/50 | 66,796 | 81,080 | 0.3% | ||
Southwestern Public Service Co. | 3.150%–4.500% | 8/15/41–5/1/50 | 56,685 | 67,246 | 0.3% | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 57,203 | 81,192 | 0.4% | ||
† | Utilities—Other3,4,5,6 | 1,568,771 | 7.0% | ||||
3,037,979 | 14.1% | ||||||
Total Corporate Bonds (Cost $14,471,128) | 16,998,307 | 79.2% | |||||
Sovereign Bonds | |||||||
Republic of Chile | 3.100% | 5/7/41 | 78,715 | 79,649 | 0.4% | ||
† | Sovereign Bonds—Other3,5,6 | 259,312 | 1.2% | ||||
Total Sovereign Bonds (Cost $327,715) | 338,961 | 1.6% | |||||
Taxable Municipal Bonds | |||||||
California GO | 7.600% | 11/1/40 | 56,685 | 100,834 | 0.5% | ||
California GO | 7.300% | 10/1/39 | 47,286 | 76,788 | 0.4% | ||
California GO | 2.500%–7.550% | 10/1/29–4/1/39 | 42,950 | 54,066 | 0.3% | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 50,780 | 84,163 | 0.4% | ||
† | Taxable Municipal Bonds—Other7,8,9 | 1,481,345 | 6.8% | ||||
Total Taxable Municipal Bonds (Cost $1,389,564) | 1,797,196 | 8.4% | |||||
Shares | |||||||
Temporary Cash Investments | |||||||
Money Market Fund | |||||||
Vanguard Market Liquidity Fund 10 | 0.064% | 3,759,065 | 375,907 | 1.7% | |||
Maturity Date | Face Amount ($000) | ||||||
Repurchase Agreements | |||||||
Bank of America Securities LLC (Dated 7/30/21, Repurchase Value $149,001,000, collateralized by Federal Farm Credit Bank 2.710%–5.250%, 4/21/28–4/6/45, with a value of $151,981,000) | 0.050% | 8/2/21 | 149,000 | 149,000 | 0.7% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | Percentage of Net Assets | |||
Barclays Capital Inc. (Dated 7/30/21, Repurchase Value $228,501,000, collateralized by U.S. Treasury Bill 0.000%, 9/30/21, and U.S. Treasury Note/Bond 2.875%–3.750%, 11/15/43–5/15/49, with a value of $233,070,000) | 0.050% | 8/2/21 | 228,500 | 228,500 | 1.1% | ||
Citigroup Global Markets Inc. (Dated 7/30/21, Repurchase Value $88,000,000, collateralized by U.S. Treasury Note/Bond 1.250%–2.875%, 2/15/45–11/15/50, with a value of $89,760,000) | 0.050% | 8/2/21 | 88,000 | 88,000 | 0.4% | ||
RBC Capital Markets LLC (Dated 7/30/21, Repurchase Value $53,700,000, collateralized by Federal National Mortgage Association 2.000%, 5/1/51, and U.S. Treasury Note/Bond 0.125%, 1/31/23, with a value of $54,774,000) | 0.050% | 8/2/21 | 53,700 | 53,700 | 0.2% | ||
Wells Fargo & Co. (Dated 7/30/21, Repurchase Value $227,101,000, collateralized by Federal National Mortgage Association 3.000%–6.000%, 6/1/28–2/1/49, with a value of $231,642,000) | 0.060% | 8/2/21 | 227,100 | 227,100 | 1.1% | ||
746,300 | 3.5% | ||||||
Total Temporary Cash Investments (Cost $1,122,192) | 1,122,207 | 5.2% |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | Percentage of Net Assets | ||
Options Purchased | |||||||
Over-the-Counter Swaptions | |||||||
Put Swaptions | |||||||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 1,735 | 1 | 0.0% | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 1,150 | 1 | 0.0% | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 2,435 | 1 | 0.0% | |
3 | 0.0% | ||||||
Total Options Purchased (Cost $45) | 3 | 0.0% | |||||
Total Investments (Cost $18,420,307) | 21,393,647 | 99.7% | |||||
Other Assets and Liabilities—Net | 69,212 | 0.3% | |||||
Net Assets | 21,462,859 | 100.0% | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
1 | Securities with a value of $26,208,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $93,114,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | Certain of the fund’s securities are 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 July 31, 2021, the aggregate value was $917,404,000, representing 4.3% of net assets. |
4 | Certain securities have face amount denominated in British pounds. |
5 | 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. |
6 | Certain securities have face amount denominated in euro. |
7 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
8 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
9 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
GO—General Obligation Bond. | |
GSI—Goldman Sachs International. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | 262 | 35,227 | 207 |
5-Year U.S. Treasury Note | September 2021 | 59 | 7,342 | 15 |
Long U.S. Treasury Bond | September 2021 | 4,409 | 726,245 | 31,682 |
Ultra 10-Year U.S. Treasury Note | September 2021 | 403 | 60,551 | 1,662 |
Ultra Long U.S. Treasury Bond | September 2021 | 1,156 | 230,658 | 12,431 |
45,997 | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | September 2021 | (548) | (73,680) | (448) |
2-Year U.S. Treasury Note | September 2021 | (174) | (38,394) | (16) |
Euro-Bobl | September 2021 | (5) | (803) | (8) |
Euro-Bund | September 2021 | (134) | (28,067) | (658) |
Euro-Buxl | September 2021 | (49) | (12,499) | (704) |
Euro-Schatz | September 2021 | (11) | (1,466) | (2) |
Long Gilt | September 2021 | (161) | (29,046) | (569) |
Ultra 10-Year U.S. Treasury Note | September 2021 | (3) | (451) | 1 |
Ultra Long U.S. Treasury Bond | September 2021 | (440) | (87,794) | (613) |
(3,017) | ||||
42,980 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
State Street Bank & Trust Co. | 8/27/21 | USD | 91 | AUD | 124 | — | — |
Barclays Bank plc | 8/27/21 | USD | 91 | AUD | 124 | — | — |
State Street Bank & Trust Co. | 8/27/21 | USD | 21,329 | EUR | 18,120 | — | (177) |
Goldman Sachs Bank USA | 8/27/21 | USD | 21,326 | EUR | 18,120 | — | (181) |
Bank of America, N.A. | 8/27/21 | USD | 4,563 | EUR | 3,878 | — | (40) |
JPMorgan Chase Bank, N.A. | 8/27/21 | USD | 103 | EUR | 87 | — | — |
Toronto-Dominion Bank | 8/27/21 | USD | 24,449 | GBP | 17,777 | — | (263) |
State Street Bank & Trust Co. | 8/27/21 | USD | 1,374 | GBP | 999 | — | (14) |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Toronto-Dominion Bank | 8/27/21 | USD | 4 | JPY | 447 | — | — |
Citibank, N.A. | 8/27/21 | USD | — | MXN | 4 | — | — |
— | (675) |
AUD—Australian dollar. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
MXN—Mexican pesos. |
USD—U.S. dollar. |
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-S36-V1 | 6/21/24 | USD 14,660 | 1.000 | 323 | 4 | |
CDX-NA-IG-S36-V1 | 6/23/26 | USD 2,804,172 | 1.000 | 71,394 | 10,436 | |
71,717 | 10,440 | |||||
Credit Protection Purchased | ||||||
CDX-NA-HY-S36-V1 | 6/23/26 | USD 1,150 | (5.000) | (113) | 1 | |
71,604 | 10,441 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Metlife Inc./A3 | 12/21/21 | GSI | 10,000 | 1.000 | 48 | 3 | 45 | — |
Credit Protection Purchased | ||||||||
Bank of China Ltd. | 12/21/21 | BNPSW | 300 | (1.000) | (2) | — | — | (2) |
46 | 3 | 45 | (2) |
1 | Periodic premium received/paid quarterly. |
BNPSW—BNP Paribas. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $18,044,415) | 21,017,740 |
Affiliated Issuers (Cost $375,892) | 375,907 |
Total Investments in Securities | 21,393,647 |
Investment in Vanguard | 724 |
Foreign Currency, at Value (Cost $334) | 333 |
Receivables for Investment Securities Sold | 11,446 |
Receivables for Accrued Income | 180,530 |
Receivables for Capital Shares Issued | 4,641 |
Swap Premiums Paid | 3 |
Variation Margin Receivable—Futures Contracts | 2,953 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 45 |
Other Assets | 54 |
Total Assets | 21,594,376 |
Liabilities | |
Due to Custodian | 1,495 |
Payables for Investment Securities Purchased | 97,321 |
Payables to Investment Advisor | 754 |
Payables for Capital Shares Redeemed | 20,267 |
Payables for Distributions | 7,276 |
Payables to Vanguard | 1,177 |
Variation Margin Payable—Centrally Cleared Swap Contracts | 2,550 |
Unrealized Depreciation—Forward Currency Contracts | 675 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 2 |
Total Liabilities | 131,517 |
Net Assets | 21,462,859 |
Statement of Assets and Liabilities (continued) | |
At July 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 18,347,222 |
Total Distributable Earnings (Loss) | 3,115,637 |
Net Assets | 21,462,859 |
Investor Shares—Net Assets | |
Applicable to 473,901,999 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,396,729 |
Net Asset Value Per Share—Investor Shares | $11.39 |
Admiral Shares—Net Assets | |
Applicable to 1,410,812,256 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,066,130 |
Net Asset Value Per Share—Admiral Shares | $11.39 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 325,405 |
Total Income | 325,405 |
Expenses | |
Investment Advisory Fees—Note B | 1,589 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 4,746 |
Management and Administrative—Admiral Shares | 6,997 |
Marketing and Distribution—Investor Shares | 207 |
Marketing and Distribution—Admiral Shares | 387 |
Custodian Fees | 84 |
Shareholders’ Reports—Investor Shares | 52 |
Shareholders’ Reports—Admiral Shares | 25 |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 14,102 |
Net Investment Income | 311,303 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 153,092 |
Futures Contracts | (57,858) |
Options Purchased | (221) |
Options Written | 228 |
Swap Contracts | 19,340 |
Forward Currency Contracts | 1,823 |
Foreign Currencies | (169) |
Realized Net Gain (Loss) | 116,235 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (91,878) |
Futures Contracts | 52,414 |
Options Purchased | (35) |
Options Written | (26) |
Swap Contracts | 9,685 |
Forward Currency Contracts | (957) |
Foreign Currencies | (5) |
Change in Unrealized Appreciation (Depreciation) | (30,802) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 396,736 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $209,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 311,303 | 620,349 | |
Realized Net Gain (Loss) | 116,235 | 856,736 | |
Change in Unrealized Appreciation (Depreciation) | (30,802) | (178,659) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 396,736 | 1,298,426 | |
Distributions | |||
Investor Shares | (99,095) | (334,548) | |
Admiral Shares | (303,125) | (1,083,369) | |
Total Distributions | (402,220) | (1,417,917) | |
Capital Share Transactions | |||
Investor Shares | 326,436 | 140,872 | |
Admiral Shares | 616,593 | 227,298 | |
Net Increase (Decrease) from Capital Share Transactions | 943,029 | 368,170 | |
Total Increase (Decrease) | 937,545 | 248,679 | |
Net Assets | |||
Beginning of Period | 20,525,314 | 20,276,635 | |
End of Period | 21,462,859 | 20,525,314 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.42 | $11.48 | $9.79 | $10.40 | $10.06 | $10.00 |
Investment Operations | ||||||
Net Investment Income | .1631 | .3491 | .3811 | .3971 | .4051 | .416 |
Net Realized and Unrealized Gain (Loss) on Investments | .019 | .399 | 1.854 | (.560) | .520 | .260 |
Total from Investment Operations | .182 | .748 | 2.235 | (.163) | .925 | .676 |
Distributions | ||||||
Dividends from Net Investment Income | (.172) | (.368) | (.399) | (.413) | (.421) | (.435) |
Distributions from Realized Capital Gains | (.040) | (.440) | (.146) | (.034) | (.164) | (.181) |
Total Distributions | (.212) | (.808) | (.545) | (.447) | (.585) | (.616) |
Net Asset Value, End of Period | $11.39 | $11.42 | $11.48 | $9.79 | $10.40 | $10.06 |
Total Return2 | 1.70% | 6.54% | 23.31% | -1.45% | 9.28% | 6.71% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,397 | $5,070 | $4,942 | $4,098 | $4,570 | $4,069 |
Ratio of Total Expenses to Average Net Assets | 0.22% | 0.22% | 0.22% | 0.22% | 0.22% | 0.22% |
Ratio of Net Investment Income to Average Net Assets | 3.01% | 2.97% | 3.57% | 4.08% | 3.87% | 3.92% |
Portfolio Turnover Rate | 10% | 30% | 34%3 | 32%3 | 27% | 24% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 1% and 0%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $11.42 | $11.48 | $9.79 | $10.40 | $10.06 | $10.00 |
Investment Operations | ||||||
Net Investment Income | .1691 | .3611 | .3921 | .4071 | .4151 | .426 |
Net Realized and Unrealized Gain (Loss) on Investments | .019 | .399 | 1.853 | (.560) | .520 | .260 |
Total from Investment Operations | .188 | .760 | 2.245 | (.153) | .935 | .686 |
Distributions | ||||||
Dividends from Net Investment Income | (.178) | (.380) | (.409) | (.423) | (.431) | (.445) |
Distributions from Realized Capital Gains | (.040) | (.440) | (.146) | (.034) | (.164) | (.181) |
Total Distributions | (.218) | (.820) | (.555) | (.457) | (.595) | (.626) |
Net Asset Value, End of Period | $11.39 | $11.42 | $11.48 | $9.79 | $10.40 | $10.06 |
Total Return2 | 1.75% | 6.64% | 23.43% | -1.35% | 9.39% | 6.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $16,066 | $15,455 | $15,335 | $12,820 | $11,925 | $10,336 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 3.11% | 3.07% | 3.67% | 4.18% | 3.97% | 4.03% |
Portfolio Turnover Rate | 10% | 30% | 34%3 | 32%3 | 27% | 24% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 1% and 0%, respectively, attributable to mortgage-dollar-roll activity. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | Wellington Management Company llp provides investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 1,136,973 | — | 1,136,973 |
Corporate Bonds | — | 16,998,307 | — | 16,998,307 |
Sovereign Bonds | — | 338,961 | — | 338,961 |
Taxable Municipal Bonds | — | 1,797,196 | — | 1,797,196 |
Temporary Cash Investments | 375,907 | 746,300 | — | 1,122,207 |
Options Purchased | — | 3 | — | 3 |
Total | 375,907 | 21,017,740 | — | 21,393,647 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 45,998 | — | — | 45,998 |
Swap Contracts | 10,4411 | 45 | — | 10,486 |
Total | 56,439 | 45 | — | 56,484 |
Liabilities | ||||
Futures Contracts1 | 3,018 | — | — | 3,018 |
Forward Currency Contracts | — | 675 | — | 675 |
Swap Contracts | — | 2 | — | 2 |
Total | 3,018 | 677 | — | 3,695 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Investments in Secuties, at Value—Unaffiliated Issuers (Options Purchased) | — | — | 3 | 3 |
Swap Premiums Paid | — | — | 3 | 3 |
Unrealized Appreciation—Futures Contracts1 | 45,998 | — | — | 45,998 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | — | 10,441 | 10,441 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | — | 45 | 45 |
Total Assets | 45,998 | — | 10,492 | 56,490 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Depreciation—Futures Contracts1 | 3,018 | — | — | 3,018 |
Unrealized Depreciation—Forward Currency Contracts | — | 675 | — | 675 |
Unrealized Depreciation— Over-the-Counter Swap Contracts | — | — | 2 | 2 |
Total Liabilities | 3,018 | 675 | 2 | 3,695 |
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (57,858) | — | — | (57,858) |
Options Purchased | — | — | (221) | (221) |
Options Written | — | — | 228 | 228 |
Swap Contracts | — | — | 19,340 | 19,340 |
Forward Currency Contracts | — | 1,823 | — | 1,823 |
Realized Net Gain (Loss) on Derivatives | (57,858) | 1,823 | 19,347 | (36,688) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 52,414 | — | — | 52,414 |
Options Purchased | — | — | (35) | (35) |
Options Written | — | — | (26) | (26) |
Swap Contracts | — | — | 9,685 | 9,685 |
Forward Currency Contracts | — | (957) | — | (957) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 52,414 | (957) | 9,624 | 61,081 |
F. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 18,436,467 |
Gross Unrealized Appreciation | 3,068,625 |
Gross Unrealized Depreciation | (58,653) |
Net Unrealized Appreciation (Depreciation) | 3,009,972 |
G. | During the six months ended July 31, 2021, the fund purchased $2,758,899,000 of investment securities and sold $1,834,435,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $276,190,000 and $161,054,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 477,629 | 43,951 | 1,693,476 | 147,409 | |
Issued in Lieu of Cash Distributions | 96,392 | 8,883 | 324,064 | 27,749 | |
Redeemed | (247,585) | (22,742) | (1,876,668) | (161,919) | |
Net Increase (Decrease)—Investor Shares | 326,436 | 30,092 | 140,872 | 13,239 | |
Admiral Shares | |||||
Issued | 2,100,748 | 194,040 | 3,924,902 | 333,278 | |
Issued in Lieu of Cash Distributions | 252,035 | 23,219 | 889,842 | 76,206 | |
Redeemed | (1,736,190) | (159,308) | (4,587,446) | (392,663) | |
Net Increase (Decrease)—Admiral Shares | 616,593 | 57,951 | 227,298 | 16,821 |
I. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 45 |
Liquidity Risk Management | 47 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended July 31, 2021 | |||
Beginning Account Value 1/31/2021 | Ending Account Value 7/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Ultra-Short-Term Bond Fund | |||
Investor Shares | $1,000.00 | $1,002.00 | $0.99 |
Admiral™ Shares | 1,000.00 | 1,002.90 | 0.50 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Asset-Backed/Commercial Mortgage-Backed Securities | 14.7% |
Corporate Bonds | 69.4 |
Short-Term Reserves | 9.8 |
Sovereign Bonds | 3.6 |
Taxable Municipal Bonds | 0.0 |
Treasury/Agency | 2.2 |
Commercial Paper | 0.3 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Asset-Backed/Commercial Mortgage-Backed Securities (14.8%) | ||||||
1,2 | American Credit Acceptance Receivables Trust Class A Series 2020-3 | 0.620% | 10/13/23 | 4,301 | 4,303 | |
1,2 | American Credit Acceptance Receivables Trust Class A Series 2020-4 | 0.530% | 3/13/24 | 10,154 | 10,164 | |
1,2 | American Credit Acceptance Receivables Trust Class A Series 2021-1 | 0.350% | 5/13/24 | 12,585 | 12,588 | |
1,2 | American Credit Acceptance Receivables Trust Class A Series 2021-2 | 0.370% | 10/15/24 | 10,925 | 10,927 | |
1,2 | American Credit Acceptance Receivables Trust Class A Series 2021-3 | 0.330% | 6/13/25 | 28,250 | 28,262 | |
1,2 | American Credit Acceptance Receivables Trust Class B Series 2020-3 | 1.150% | 8/13/24 | 10,000 | 10,035 | |
1,2 | American Credit Acceptance Receivables Trust Class B Series 2020-4 | 0.850% | 12/13/24 | 18,000 | 18,051 | |
1,2 | American Credit Acceptance Receivables Trust Class B Series 2021-1 | 0.610% | 3/13/25 | 6,250 | 6,260 | |
1,2 | American Credit Acceptance Receivables Trust Class B Series 2021-2 | 0.680% | 5/13/25 | 3,500 | 3,510 | |
1,2 | American Credit Acceptance Receivables Trust Class B Series 2021-3 | 0.660% | 2/13/26 | 11,750 | 11,756 | |
2 | Americredit Automobile Receivables Trust Class A2 Series 2021-2 | 0.260% | 11/18/24 | 34,000 | 34,026 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2020-2 | 0.660% | 12/18/24 | 5,270 | 5,289 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2020-3 | 0.530% | 6/18/25 | 13,020 | 13,060 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-1 | 0.370% | 8/18/25 | 14,240 | 14,239 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2 | 0.340% | 12/18/26 | 8,320 | 8,349 | |
2 | AmeriCredit Automobile Receivables Trust Class B Series 2019-3 | 2.130% | 7/18/25 | 23,085 | 23,533 | |
2 | Americredit Automobile Receivables Trust Class C Series 2018-2 | 3.590% | 6/18/24 | 3,390 | 3,491 | |
2 | AmeriCredit Automobile Receivables Trust Class C Series 2020-2 | 1.480% | 2/18/26 | 2,520 | 2,558 | |
1,2 | ARI Fleet Lease Trust Class A2 Series 2018-B | 3.220% | 8/16/27 | 1,163 | 1,172 | |
1,2 | ARI Fleet Lease Trust Class A2 Series 2020-A | 1.770% | 8/15/28 | 6,973 | 7,011 | |
1,2 | ARI Fleet Lease Trust Class A2 Series 2021-A | 0.370% | 3/15/30 | 7,500 | 7,503 | |
1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2016-2A | 2.720% | 11/20/22 | 7,397 | 7,436 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A | 3.070% | 9/20/23 | 5,940 | 6,091 | |
1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-2A | 2.970% | 3/20/24 | 9,350 | 9,692 | |
2 | BMW Vehicle Owner Trust Class A3 Series 2020-A | 0.480% | 10/25/24 | 27,070 | 27,144 | |
2 | BMW Vehicle Owner Trust Class A4 Series 2020-A | 0.620% | 4/26/27 | 4,230 | 4,250 | |
1,2,3 | Brass No. 10 plc Class A1 Series 10A | 0.669% | 4/16/69 | 14,591 | 14,687 | |
2,3 | Brazos Higher Education Authority Inc. Class A2 Series 2011-1, 3M USD LIBOR + 0.800% | 0.947% | 2/25/30 | 59 | 60 | |
2 | California Republic Auto Receivables Trust Class B Series 2018-1 | 3.560% | 3/15/23 | 2,219 | 2,226 | |
1,2 | Canadian Pacer Auto Receivables Trust Class A2A Series 2020-1A | 1.770% | 11/21/22 | 5,217 | 5,228 | |
2 | Carmax Auto Owner Trust Class A2A Series 2019-4 | 2.010% | 3/15/23 | 2,025 | 2,027 | |
2 | CarMax Auto Owner Trust Class A2A Series 2021-2 | 0.270% | 6/17/24 | 10,000 | 10,001 | |
2 | CarMax Auto Owner Trust Class A2A Series 2021-3 | 0.290% | 9/16/24 | 35,250 | 35,258 | |
2 | CarMax Auto Owner Trust Class A3 Series 2018-3 | 3.130% | 6/15/23 | 4,058 | 4,092 | |
2 | Carmax Auto Owner Trust Class A3 Series 2019-1 | 3.050% | 3/15/24 | 1,027 | 1,041 | |
2 | CarMax Auto Owner Trust Class A3 Series 2020-3 | 0.620% | 3/17/25 | 41,050 | 41,226 | |
2 | CarMax Auto Owner Trust Class A4 Series 2020-3 | 0.770% | 3/16/26 | 4,660 | 4,693 | |
1,2 | Chesapeake Funding II LLC Class A1 Series 2018-2A | 3.230% | 8/15/30 | 21,245 | 21,349 | |
1,2 | Chesapeake Funding II LLC Class A1 Series 2019-1A | 2.940% | 4/15/31 | 17,084 | 17,220 | |
1,2 | Chesapeake Funding II LLC Class A1 Series 2020-1A | 0.870% | 8/16/32 | 12,991 | 13,058 | |
2 | CNH Equipment Trust Class A3 Series 2020-A | 1.160% | 6/16/25 | 8,340 | 8,415 | |
2 | CNH Equipment Trust Class A4 Series 2020-A | 1.510% | 4/15/27 | 2,250 | 2,307 | |
2 | COMM Mortgage Trust Class A2 Series 2014-CR14 | 3.147% | 2/10/47 | 29 | 30 | |
2 | COMM Mortgage Trust Class ASB Series 2014-CCRE16 | 3.653% | 4/10/47 | 3,535 | 3,672 | |
1,2 | Dell Equipment Finance Trust Class A2 Series 2020-2 | 0.470% | 10/24/22 | 22,531 | 22,558 | |
1,2 | Dell Equipment Finance Trust Class A2 Series 2021-1 | 0.330% | 5/22/26 | 29,000 | 29,033 | |
1,2 | Dell Equipment Finance Trust Class A3 Series 2019-1 | 2.830% | 3/22/24 | 5,781 | 5,812 | |
1,2 | Dell Equipment Finance Trust Class A3 Series 2020-2 | 0.570% | 10/23/23 | 23,000 | 23,083 | |
1,2 | DLL LLC Class A3 Series 2019-DA1 | 2.890% | 4/20/23 | 4,910 | 4,940 | |
1,2 | DLLAA LLC Class A2 Series 2021-1A | 0.360% | 5/17/24 | 17,000 | 17,011 | |
1,2 | DLLAD LLC Class A2 Series 2021-1A | 0.350% | 9/20/24 | 21,250 | 21,256 | |
1,2 | Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2 | 0.560% | 12/11/34 | 11,500 | 11,521 | |
2 | Drive Auto Receivables Trust Class A3 Series 2020-2 | 0.830% | 5/15/24 | 7,270 | 7,282 | |
2 | Drive Auto Receivables Trust Class A3 Series 2021-1 | 0.440% | 11/15/24 | 9,200 | 9,220 | |
2 | Drive Auto Receivables Trust Class B Series 2019-4 | 2.230% | 1/16/24 | 6,649 | 6,663 | |
2 | Drive Auto Receivables Trust Class B Series 2021-1 | 0.650% | 7/15/25 | 14,500 | 14,533 | |
2 | Drive Auto Receivables Trust Class C Series 2018-5 | 3.990% | 1/15/25 | 2,332 | 2,358 | |
2 | Drive Auto Receivables Trust Class C Series 2020-2 | 2.280% | 8/17/26 | 1,520 | 1,561 | |
2 | Drive Auto Receivables Trust Class D Series 2017-1 | 3.840% | 3/15/23 | 468 | 469 | |
2 | Drive Auto Receivables Trust Class D Series 2018-1 | 3.810% | 5/15/24 | 5,496 | 5,561 | |
2 | Drive Auto Receivables Trust Class D Series 2018-3 | 4.300% | 9/16/24 | 8,658 | 8,836 | |
2 | Drive Auto Receivables Trust Class D Series 2018-5 | 4.300% | 4/15/26 | 300 | 312 | |
2 | Drive Auto Receivables Trust Class D Series 2019-1 | 4.090% | 6/15/26 | 1,510 | 1,563 | |
2 | Drive Auto Receivables Trust Class D Series 2019-4 | 2.700% | 2/16/27 | 2,130 | 2,196 | |
2 | Drive Auto Receivables Trust Class D Series 2020-1 | 2.700% | 5/17/27 | 2,130 | 2,189 | |
1,2 | DT Auto Owner Trust Class A Series 2020-1A | 1.940% | 9/15/23 | 2,046 | 2,050 | |
1,2 | DT Auto Owner Trust Class A Series 2020-2A | 1.140% | 1/16/24 | 2,121 | 2,127 | |
1,2 | DT Auto Owner Trust Class A Series 2020-3A | 0.540% | 4/15/24 | 13,454 | 13,469 | |
1,2 | DT Auto Owner Trust Class A Series 2021-1A | 0.350% | 1/15/25 | 15,358 | 15,368 | |
1,2 | DT Auto Owner Trust Class A Series 2021-2A | 0.410% | 3/17/25 | 21,344 | 21,366 | |
1,2 | Enterprise Fleet Financing LLC Class A2 Series 2018-3 | 3.380% | 5/20/24 | 1,662 | 1,671 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2 | Enterprise Fleet Financing LLC Class A2 Series 2020-2 | 0.610% | 7/20/26 | 20,195 | 20,270 | |
1,2 | Enterprise Fleet Financing LLC Class A2 Series 2021-1 | 0.440% | 12/21/26 | 7,000 | 7,006 | |
1,2 | Enterprise Fleet Financing LLC Class A2 Series 2021-2 | 0.480% | 5/20/27 | 16,560 | 16,561 | |
2 | Exeter Automobile Receivables Trust Class A3 Series 2020-3A | 0.520% | 10/16/23 | 10,098 | 10,104 | |
2 | Exeter Automobile Receivables Trust Class A3 Series 2021-1A | 0.340% | 3/15/24 | 11,400 | 11,404 | |
2 | Exeter Automobile Receivables Trust Class A3 Series 2021-2A | 0.300% | 10/15/24 | 8,000 | 8,001 | |
1,2 | Fair Square Issuance Trust Class A Series 2020-AA | 2.900% | 9/20/24 | 3,060 | 3,090 | |
1,2 | Flagship Credit Auto Trust Class A Series 2020-2 | 1.490% | 7/15/24 | 2,602 | 2,617 | |
1,2 | Flagship Credit Auto Trust Class A Series 2020-3 | 0.700% | 4/15/25 | 15,985 | 16,027 | |
1,2 | Flagship Credit Auto Trust Class A Series 2021-1 | 0.310% | 6/16/25 | 13,262 | 13,264 | |
1,2 | Flagship Credit Auto Trust Class A Series 2021-2 | 0.370% | 12/15/26 | 31,999 | 32,005 | |
2 | Ford Credit Auto Lease Trust Class A3 Series 2020-B | 0.620% | 8/15/23 | 44,064 | 44,191 | |
2 | Ford Credit Auto Lease Trust Class A4 Series 2020-B | 0.690% | 10/15/23 | 7,150 | 7,187 | |
2 | Ford Credit Auto Lease Trust Class B Series 2020-B | 1.000% | 11/15/23 | 4,790 | 4,838 | |
2 | Ford Credit Auto Lease Trust Class C Series 2021-A | 0.780% | 9/15/25 | 4,300 | 4,294 | |
2 | Ford Credit Auto Owner Trust Class A3 Series 2020-A | 1.040% | 8/15/24 | 8,160 | 8,216 | |
2 | Ford Credit Auto Owner Trust Class A3 Series 2020-B | 0.560% | 10/15/24 | 58,200 | 58,417 | |
2 | Ford Credit Auto Owner Trust Class A4 Series 2020-A | 1.350% | 7/15/25 | 2,340 | 2,389 | |
2 | Ford Credit Floorplan Master Owner Trust A Class A Series 2019-1 | 2.840% | 3/15/24 | 2,294 | 2,331 | |
2 | Ford Credit Floorplan Master Owner Trust A Class A1 Series 2018-3 | 3.520% | 10/15/23 | 38,086 | 38,343 | |
2 | Ford Credit Floorplan Master Owner Trust A Class C Series 2020-1 | 1.420% | 9/15/25 | 4,790 | 4,844 | |
2 | Ford Credit Floorplan Master Owner Trust Class A Series 2017-3 | 2.480% | 9/15/24 | 8,875 | 9,097 | |
2 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2019-3 | 2.230% | 9/15/24 | 5,020 | 5,131 | |
2 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2020-1 | 0.700% | 9/15/25 | 52,100 | 52,387 | |
2 | Ford Credit Floorplan Master Owner Trust Class D Series 2020-1 | 2.120% | 9/15/25 | 6,730 | 6,893 | |
1,2,3,4 | Freddie Mac STACR REMIC Trust Class M1 Series 2020-DNA2, 1M USD LIBOR + 0.750% | 0.839% | 2/25/50 | 1,182 | 1,182 | |
1,2,3,4 | Freddie Mac STACR REMIC Trust Class M1 Series 2021-DNA5, SOFR + 0.650% | 0.700% | 1/25/34 | 4,000 | 4,000 | |
1,2 | GLS Auto Receivables Issuer Trust Class A Series 2020-3A | 0.690% | 10/16/23 | 4,678 | 4,684 | |
1,2 | GLS Auto Receivables Issuer Trust Class A Series 2020-4A | 0.520% | 2/15/24 | 8,721 | 8,729 | |
1,2 | GLS Auto Receivables Issuer Trust Class A Series 2021-1A | 0.340% | 5/15/24 | 14,985 | 14,991 | |
1,2 | GLS Auto Receivables Trust Class A Series 2021-2A | 0.310% | 11/15/24 | 22,621 | 22,620 | |
2 | GM Financial Automobile Leasing Trust Class A3 Series 2019-3 | 2.030% | 6/20/22 | 4,539 | 4,547 | |
2 | GM Financial Automobile Leasing Trust Class A3 Series 2020-2 | 0.800% | 7/20/23 | 15,170 | 15,245 | |
2 | GM Financial Automobile Leasing Trust Class A3 Series 2020-3 | 0.450% | 8/21/23 | 23,600 | 23,654 | |
2 | GM Financial Automobile Leasing Trust Class A3 Series 2021-2 | 0.340% | 5/20/24 | 37,500 | 37,468 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | GM Financial Automobile Leasing Trust Class A4 Series 2020-2 | 1.010% | 7/22/24 | 2,010 | 2,030 | |
2 | GM Financial Automobile Leasing Trust Class A4 Series 2020-3 | 0.510% | 10/21/24 | 6,440 | 6,465 | |
2 | GM Financial Automobile Leasing Trust Class C Series 2020-2 | 2.560% | 7/22/24 | 1,180 | 1,217 | |
2 | GM Financial Automobile Leasing Trust Class D Series 2020-2 | 3.210% | 12/20/24 | 1,680 | 1,745 | |
2 | GM Financial Automobile Leasing Trust Class D Series 2020-3 | 1.710% | 2/20/25 | 4,760 | 4,826 | |
2 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2020-2 | 1.490% | 12/16/24 | 15,000 | 15,173 | |
2 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2018-3 | 3.160% | 1/16/24 | 7,500 | 7,662 | |
2 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2020-2 | 1.740% | 8/18/25 | 9,000 | 9,250 | |
2 | GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3 | 0.810% | 1/16/26 | 2,100 | 2,097 | |
2 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3 | 1.370% | 1/16/26 | 900 | 912 | |
1,2 | GMF Floorplan Owner Revolving Trust Class A Series 2019-1 | 2.700% | 4/15/24 | 1,200 | 1,221 | |
1,2 | GMF Floorplan Owner Revolving Trust Class A Series 2020-1 | 0.680% | 8/15/25 | 10,940 | 10,973 | |
1,2 | GMF Floorplan Owner Revolving Trust Class A Series 2020-2 | 0.690% | 10/15/25 | 29,460 | 29,554 | |
1,2 | GMF Floorplan Owner Revolving Trust Class A1 Series 2018-4 | 3.500% | 9/15/23 | 71,625 | 71,908 | |
1,2 | GMF Floorplan Owner Revolving Trust Class B Series 2020-1 | 1.030% | 8/15/25 | 1,670 | 1,685 | |
1,2 | GMF Floorplan Owner Revolving Trust Class C Series 2020-1 | 1.480% | 8/15/25 | 1,360 | 1,379 | |
1,2,3 | Gosforth Funding plc Class A1 Series 2018-1A, 3M USD LIBOR + 0.450% | 0.597% | 8/25/60 | 5,456 | 5,462 | |
1,2,3 | Gosforth Funding plc Class A1A Series 2017-1A, 3M USD LIBOR + 0.470% | 0.605% | 9/20/21 | 31 | 31 | |
1,2 | GreatAmerica Leasing Receivables Funding LLC Class A2 Series 2020-1 | 1.760% | 6/15/22 | 18,107 | 18,162 | |
1,2 | GreatAmerica Leasing Receivables Funding LLC Class A4 Series 2018-1 | 2.830% | 6/17/24 | 520 | 523 | |
1,2 | GS Mortgage Securities Corp. Trust Class A Series 2012-ALOH | 3.551% | 4/10/34 | 10,000 | 10,060 | |
2 | Harley-Davidson Motorcycle Trust Class A3 Series 2021-A | 0.370% | 4/15/26 | 10,330 | 10,333 | |
2 | Honda Auto Receivables Owner Trust Class A3 Series 2019-1 | 2.830% | 3/20/23 | 1,973 | 1,993 | |
2 | Honda Auto Receivables Owner Trust Class A3 Series 2020-1 | 1.610% | 4/22/24 | 2,580 | 2,614 | |
2 | Honda Auto Receivables Owner Trust Class A3 Series 2020-2 | 0.820% | 7/15/24 | 18,250 | 18,348 | |
2 | Honda Auto Receivables Owner Trust Class A4 Series 2019-4 | 1.870% | 1/20/26 | 1,900 | 1,948 | |
2 | Honda Auto Receivables Owner Trust Class A4 Series 2020-2 | 1.090% | 10/15/26 | 4,730 | 4,805 | |
2 | Honda Auto Receivables Owner Trust Class A4 Series 2020-3 | 0.460% | 4/19/27 | 10,740 | 10,751 | |
1,2 | HPEFS Equipment Trust Class A2 Series 2020-1A | 1.730% | 2/20/30 | 5,267 | 5,281 | |
1,2 | HPEFS Equipment Trust Class A2 Series 2021-1A | 0.270% | 3/20/31 | 33,500 | 33,515 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2 | HPEFS Equipment Trust Class A2 Series 2021-2A | 0.300% | 9/20/28 | 17,000 | 17,005 | |
1,2 | HPEFS Equipment Trust Class A3 Series 2019-1A | 2.210% | 9/20/29 | 1,158 | 1,161 | |
1,2 | HPEFS Equipment Trust Class A3 Series 2021-2A | 0.360% | 9/20/28 | 10,500 | 10,499 | |
1,2 | Hyundai Auto Lease Securitization Trust Class A3 Series 2020-B | 0.510% | 9/15/23 | 29,990 | 30,083 | |
1,2 | Hyundai Auto Lease Securitization Trust Class A3 Series 2021-A | 0.330% | 1/16/24 | 19,500 | 19,517 | |
1,2 | Hyundai Auto Lease Securitization Trust Class A3 Series 2021-B | 0.330% | 6/17/24 | 3,970 | 3,970 | |
1,2 | Hyundai Auto Lease Securitization Trust Class A4 Series 2020-B | 0.580% | 6/17/24 | 5,030 | 5,053 | |
1,2 | Hyundai Auto Lease Securitization Trust Class A4 Series 2021-A | 0.420% | 12/16/24 | 4,280 | 4,286 | |
2 | Hyundai Auto Receivables Trust Class A2 Series 2021-B | 0.240% | 5/15/24 | 40,620 | 40,701 | |
2 | Hyundai Auto Receivables Trust Class A3 Series 2020-A | 1.410% | 11/15/24 | 14,760 | 14,952 | |
2 | Hyundai Auto Receivables Trust Class A3 Series 2020-B | 0.480% | 12/16/24 | 36,200 | 36,305 | |
2 | Hyundai Auto Receivables Trust Class A4 Series 2019-B | 2.000% | 4/15/25 | 4,727 | 4,866 | |
2 | Hyundai Auto Receivables Trust Class A4 Series 2020-A | 1.720% | 6/15/26 | 9,260 | 9,555 | |
2 | Hyundai Auto Receivables Trust Class A4 Series 2020-B | 0.620% | 12/15/25 | 8,020 | 8,061 | |
2 | John Deere Owner Trust Class A3 Series 2020-B | 0.510% | 11/15/24 | 14,550 | 14,593 | |
2 | John Deere Owner Trust Class A4 Series 2020-B | 0.720% | 6/15/27 | 3,820 | 3,849 | |
1,2 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-1 | 0.875% | 9/25/28 | 23,753 | 23,775 | |
1,2 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-2 | 0.889% | 12/26/28 | 13,000 | 13,011 | |
1,2 | JPMorgan Chase Bank NA - CACLN Class C Series 2020-2 | 1.139% | 2/25/28 | 2,507 | 2,517 | |
1,2 | JPMorgan Chase Bank NA - CACLN Class C Series 2021-1 | 1.024% | 9/25/28 | 14,727 | 14,756 | |
1,2 | JPMorgan Chase Bank NA Class B Series 2020-1 | 0.991% | 1/25/28 | 16,929 | 16,916 | |
1,2 | JPMorgan Chase Bank NA Class C Series 2020-1 | 1.389% | 1/25/28 | 1,774 | 1,775 | |
1,2 | JPMorgan Chase Bank NA Class D Series 2020-1 | 1.886% | 1/25/28 | 1,391 | 1,396 | |
1,2 | Kubota Credit Owner Trust Class A3 Series 2020-1 | 1.960% | 3/15/24 | 7,540 | 7,675 | |
1,2 | Kubota Credit Owner Trust Class A3 Series 2020-2 | 0.590% | 10/15/24 | 17,700 | 17,722 | |
1,2 | Kubota Credit Owner Trust Class A4 Series 2020-2 | 0.730% | 6/15/26 | 4,810 | 4,806 | |
1,2,3 | Lanark Master Issuer plc Class 1A Series 2020-1A | 2.277% | 12/22/69 | 720 | 736 | |
1,2 | Master Credit Card Trust II Class A Series 2020-1 | 1.990% | 9/21/24 | 5,320 | 5,463 | |
2 | Mercedes-Benz Auto Lease Trust Class A3 Series 2019-B | 2.000% | 10/17/22 | 10,816 | 10,880 | |
2 | Mercedes-Benz Auto Lease Trust Class A3 Series 2020-A | 1.840% | 12/15/22 | 18,728 | 18,847 | |
2 | Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B | 0.400% | 11/15/24 | 20,110 | 20,126 | |
2 | Mercedes-Benz Auto Lease Trust Class A4 Series 2020-B | 0.500% | 6/15/26 | 4,775 | 4,788 | |
2 | Mercedes-Benz Auto Receivables Trust Class A3 Series 2020-1 | 0.550% | 2/18/25 | 25,830 | 25,937 | |
1,2 | MMAF Equipment Finance LLC Class A2 Series 2019-B | 2.070% | 10/12/22 | 4,379 | 4,397 | |
1,2 | MMAF Equipment Finance LLC Class A2 Series 2020-A | 0.740% | 4/9/24 | 8,424 | 8,455 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2 | MMAF Equipment Finance LLC Class A5 Series 2015-AA | 2.490% | 2/19/36 | 2,117 | 2,133 | |
2 | Nissan Auto Lease Trust Class A3 Series 2019-B | 2.270% | 7/15/22 | 6,930 | 6,943 | |
2 | Nissan Auto Lease Trust Class A3 Series 2020-B | 0.430% | 10/16/23 | 30,050 | 30,116 | |
2 | Nissan Auto Lease Trust Class A4 Series 2020-B | 0.490% | 1/15/26 | 6,930 | 6,948 | |
2 | Nissan Auto Receivables Owner Trust Class A3 Series 2019-B | 2.500% | 11/15/23 | 6,600 | 6,695 | |
2 | Nissan Auto Receivables Owner Trust Class A3 Series 2020-A | 1.380% | 12/16/24 | 20,640 | 20,874 | |
2 | Nissan Auto Receivables Owner Trust Class A3 Series 2020-B | 0.550% | 7/15/24 | 50,050 | 50,210 | |
2 | Nissan Auto Receivables Owner Trust Class A4 Series 2017-C | 2.280% | 2/15/24 | 200 | 201 | |
2 | Nissan Auto Receivables Owner Trust Class A4 Series 2018-C | 3.270% | 6/16/25 | 1,870 | 1,930 | |
2 | Nissan Auto Receivables Owner Trust Class A4 Series 2020-A | 1.700% | 5/17/27 | 6,830 | 7,042 | |
2 | Nissan Auto Receivables Owner Trust Class A4 Series 2020-B | 0.710% | 2/16/27 | 7,030 | 7,084 | |
1,2,3 | Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% | 0.971% | 1/16/60 | 2,822 | 2,829 | |
1,2,3 | Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% | 1.084% | 6/20/60 | 4,748 | 4,747 | |
1,2,3 | Pepper Residential Securities Trust No. 24 Class A1U Series 24A, 1M USD LIBOR + 0.900% | 0.989% | 8/18/21 | 4,099 | 4,089 | |
1,2 | PFS Financing Corp. Class A Series 2020-A | 1.270% | 6/15/25 | 4,100 | 4,162 | |
1,2,3 | RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% | 0.953% | 12/5/59 | 3,848 | 3,856 | |
1,2 | RESIMAC Premier Class A1B Series 2020-1 | 1.274% | 2/7/52 | 4,039 | 4,040 | |
1,2 | Santander Consumer Auto Receivables Trust Class A Series 2020-A | 1.370% | 10/15/24 | 6,857 | 6,899 | |
2 | Santander Drive Auto Receivables Trust Class A2 Series 2021-2 | 0.280% | 4/15/24 | 22,000 | 22,001 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2020-2 | 0.670% | 4/15/24 | 5,664 | 5,669 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2020-3 | 0.520% | 7/15/24 | 24,290 | 24,320 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2020-4 | 0.480% | 7/15/24 | 12,150 | 12,171 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2021-1 | 0.320% | 9/16/24 | 14,000 | 14,020 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2021-2 | 0.340% | 2/18/25 | 9,000 | 9,013 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2021-3 | 0.330% | 3/17/25 | 27,890 | 27,924 | |
2 | Santander Drive Auto Receivables Trust Class B Series 2021-2 | 0.590% | 9/15/25 | 12,500 | 12,529 | |
2 | Santander Drive Auto Receivables Trust Class B Series 2021-3 | 0.600% | 12/15/25 | 16,000 | 16,017 | |
2 | Santander Drive Auto Receivables Trust Class C Series 2020-2 | 1.460% | 9/15/25 | 6,120 | 6,185 | |
2 | Santander Drive Auto Receivables Trust Class C Series 2020-3 | 1.120% | 1/15/26 | 11,050 | 11,140 | |
2 | Santander Drive Auto Receivables Trust Class C Series 2021-1 | 0.750% | 2/17/26 | 7,620 | 7,626 | |
2 | Santander Drive Auto Receivables Trust Class D Series 2017-2 | 3.490% | 7/17/23 | 2,720 | 2,722 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2 | Santander Retail Auto Lease Trust Class A2 Series 2021-B | 0.310% | 1/22/24 | 33,000 | 33,002 | |
1,2 | Santander Retail Auto Lease Trust Class A2A Series 2019-C | 1.890% | 9/20/22 | 3,208 | 3,211 | |
1,2 | Santander Retail Auto Lease Trust Class A3 Series 2019-A | 2.770% | 6/20/22 | 23,875 | 23,940 | |
1,2 | Santander Retail Auto Lease Trust Class A3 Series 2021-B | 0.510% | 8/20/24 | 22,600 | 22,611 | |
1,2 | Santander Retail Auto Lease Trust Class A4 Series 2020-B | 0.650% | 12/20/24 | 9,950 | 9,999 | |
1,2 | Securitized Term Auto Receivables Trust Class A4 Series 2018-1A | 3.298% | 11/25/22 | 1,039 | 1,046 | |
1,2 | SoFi Professional Loan Program LLC Class A1FX Series 2019-C | 2.130% | 11/16/48 | 153 | 153 | |
1,2 | SoFi Professional Loan Program Trust Class A1FX Series 2020-A | 2.060% | 5/15/46 | 2,052 | 2,058 | |
2 | Synchrony Card Issuance Trust Class A Series 2018-A1 | 3.380% | 9/15/24 | 52,155 | 52,352 | |
2 | Synchrony Credit Card Master Note Trust Class A Series 2017-2 | 2.620% | 10/15/25 | 1,970 | 2,027 | |
1,2 | Tesla Auto Lease Trust Class A2 Series 2019-A | 2.130% | 4/20/22 | 8,704 | 8,737 | |
1,2 | Tesla Auto Lease Trust Class A3 Series 2020-A | 0.680% | 12/20/23 | 14,140 | 14,216 | |
1,2 | Tesla Auto Lease Trust Class A4 Series 2020-A | 0.780% | 12/20/23 | 1,270 | 1,279 | |
1,2 | Tesla Auto Lease Trust Class B Series 2020-A | 1.180% | 1/22/24 | 2,080 | 2,102 | |
1,2 | Tesla Auto Lease Trust Class C Series 2020-A | 1.680% | 2/20/24 | 1,050 | 1,066 | |
1,2 | Tidewater Auto Receivables Trust Class A2 Series 2020-A | 1.390% | 8/15/24 | 7,265 | 7,282 | |
1,2 | Toyota Auto Loan Extended Note Trust Class A Series 2019-1A | 2.560% | 11/25/31 | 860 | 908 | |
2 | Toyota Auto Receivables Owner Trust Class A3 Series 2020-A | 1.660% | 5/15/24 | 5,355 | 5,418 | |
2 | Toyota Auto Receivables Owner Trust Class A3 Series 2020-B | 1.360% | 8/15/24 | 11,700 | 11,827 | |
2 | Toyota Auto Receivables Owner Trust Class A4 Series 2020-B | 1.660% | 9/15/25 | 4,460 | 4,585 | |
2 | Toyota Auto Receivables Owner Trust Class A4 Series 2020-C | 0.570% | 10/15/25 | 7,530 | 7,554 | |
1,2 | Toyota Lease Owner Trust Class A2 Series 2021-A | 0.270% | 9/20/23 | 21,000 | 21,012 | |
1,2 | Toyota Lease Owner Trust Class A3 Series 2021-B | 0.420% | 10/21/24 | 19,800 | 19,804 | |
2 | USAA Auto Owner Trust Series Class A3 2019-1 | 2.160% | 7/17/23 | 2,634 | 2,646 | |
2 | Verizon Owner Trust Class A Series 2020-B | 0.470% | 2/20/25 | 43,360 | 43,507 | |
2 | Verizon Owner Trust Class A1A Series 2019-A | 2.930% | 9/20/23 | 26,161 | 26,437 | |
2 | Verizon Owner Trust Class A1A Series 2019-B | 2.330% | 12/20/23 | 3,770 | 3,811 | |
2 | Verizon Owner Trust Class A1A Series 2020-A | 1.850% | 7/22/24 | 46,445 | 47,195 | |
2 | Verizon Owner Trust Class B Series 2018-A | 3.380% | 4/20/23 | 28,149 | 28,620 | |
2 | Verizon Owner Trust Class B Series 2020-A | 1.980% | 7/22/24 | 16,280 | 16,754 | |
2 | Verizon Owner Trust Class B Series 2020-B | 0.680% | 2/20/25 | 13,620 | 13,677 | |
2 | Verizon Owner Trust Class C Series 2018-A | 3.550% | 4/20/23 | 5,000 | 5,120 | |
2 | Verizon Owner Trust Class C Series 2019-C | 2.160% | 4/22/24 | 11,000 | 11,221 | |
2 | Verizon Owner Trust Class C Series 2020-A | 2.060% | 7/22/24 | 14,500 | 14,886 | |
2 | Verizon Owner Trust Class C Series 2020-B | 0.830% | 2/20/25 | 4,550 | 4,575 | |
2 | Volkswagen Auto Loan Enhanced Trust Class A3 Series 2018-1 | 3.020% | 11/21/22 | 211 | 212 | |
2 | Volkswagen Auto Loan Enhanced Trust Class A3 Series 2020-1 | 0.980% | 11/20/24 | 24,510 | 24,680 | |
2 | Volkswagen Auto Loan Enhanced Trust Class A4 Series 2018-2 | 3.330% | 2/20/25 | 2,850 | 2,913 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Volkswagen Auto Loan Enhanced Trust Class A4 Series 2020-1 | 1.260% | 8/20/26 | 3,590 | 3,662 | |
1,2 | Volvo Financial Equipment LLC Class A3 Series 2020-1A | 0.510% | 10/15/24 | 24,000 | 24,078 | |
1,2 | Volvo Financial Equipment LLC Class A4 Series 2020-1A | 0.600% | 3/15/28 | 4,700 | 4,750 | |
1,2 | Westlake Automobile Receivables Trust Class A2A Series 2021-1A | 0.390% | 10/15/24 | 44,500 | 44,534 | |
1,2 | Westlake Automobile Receivables Trust Class A2A Series 2021-2A | 0.320% | 4/15/25 | 28,000 | 28,011 | |
1,2 | Wheels SPV 2 LLC Class A2 Series 2020-1A | 0.510% | 8/20/29 | 9,421 | 9,424 | |
1,2 | Wheels SPV 2 LLC Class A3 Series 2020-1A | 0.620% | 8/20/29 | 3,475 | 3,479 | |
2 | World Omni Auto Receivables Trust Class A3 Series 2018-A | 2.500% | 4/17/23 | 1,150 | 1,155 | |
2 | World Omni Auto Receivables Trust Class A3 Series 2020-A | 1.100% | 4/15/25 | 1,375 | 1,386 | |
2 | World Omni Auto Receivables Trust Class A3 Series 2020-B | 0.630% | 5/15/25 | 34,560 | 34,723 | |
2 | World Omni Automobile Lease Securitization Trust Class B Series 2020-B | 0.700% | 2/17/26 | 5,000 | 5,018 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,976,828) | 2,982,480 | |||||
Corporate Bonds (70.0%) | ||||||
Communications (3.5%) | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 42,510 | 43,553 | ||
AT&T Inc. | 0.395% | 11/16/21 | 105,000 | 104,945 | ||
AT&T Inc. | 0.436% | 12/14/21 | 16,000 | 15,989 | ||
AT&T Inc. | 3.000% | 6/30/22 | 700 | 714 | ||
AT&T Inc. | 2.625% | 12/1/22 | 185 | 190 | ||
AT&T Inc. | 1.700% | 3/25/26 | 20 | 20 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.464% | 7/23/22 | 117,764 | 121,522 | ||
1 | Deutsche Telekom International Finance BV | 2.485% | 9/19/23 | 1,050 | 1,091 | |
Discovery Communications LLC | 2.950% | 3/20/23 | 21,231 | 22,033 | ||
Fox Corp. | 3.666% | 1/25/22 | 58,374 | 59,318 | ||
Interpublic Group of Cos. Inc. | 3.750% | 10/1/21 | 72,256 | 72,661 | ||
1 | NTT Finance Corp. | 0.373% | 3/3/23 | 147,500 | 147,543 | |
5 | Optus Finance Pty Ltd. | 3.250% | 8/23/22 | 7,500 | 5,671 | |
1 | Sky Ltd. | 3.125% | 11/26/22 | 10,960 | 11,361 | |
5 | Verizon Communications Inc. | 3.500% | 2/17/23 | 40,880 | 31,307 | |
5 | Vodafone Group plc | 3.250% | 12/13/22 | 53,840 | 40,937 | |
3,5 | Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050% | 1.074% | 12/13/22 | 4,970 | 3,661 | |
Walt Disney Co. | 0.283% | 9/15/21 | 15,000 | 14,995 | ||
Walt Disney Co. | 0.283% | 10/1/21 | 15,000 | 14,993 | ||
Walt Disney Co. | 1.650% | 9/1/22 | 2,599 | 2,640 | ||
715,144 | ||||||
Consumer Discretionary (4.9%) | ||||||
Amazon.com Inc. | 2.500% | 11/29/22 | 1,238 | 1,269 | ||
6 | Amazon.com Inc. | 0.250% | 5/12/23 | 30,000 | 30,014 | |
American Honda Finance Corp. | 2.200% | 6/27/22 | 2,680 | 2,728 | ||
American Honda Finance Corp. | 0.400% | 10/21/22 | 53,271 | 53,376 | ||
American Honda Finance Corp. | 2.050% | 1/10/23 | 7,691 | 7,892 | ||
American Honda Finance Corp. | 0.875% | 7/7/23 | 51,135 | 51,663 | ||
American Honda Finance Corp. | 3.450% | 7/14/23 | 1,355 | 1,436 | ||
American Honda Finance Corp. | 0.650% | 9/8/23 | 49,057 | 49,323 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Honda Finance Corp. | 3.625% | 10/10/23 | 1,550 | 1,659 | ||
American Honda Finance Corp. | 3.550% | 1/12/24 | 300 | 322 | ||
AutoZone Inc. | 3.125% | 7/15/23 | 14,980 | 15,658 | ||
1 | BMW U.S. Capital LLC | 3.450% | 4/12/23 | 3,099 | 3,251 | |
1 | Daimler Finance North America LLC | 3.750% | 11/5/21 | 7,223 | 7,288 | |
1 | Daimler Finance North America LLC | 2.850% | 1/6/22 | 24,250 | 24,517 | |
1 | Daimler Finance North America LLC | 3.400% | 2/22/22 | 20,699 | 21,054 | |
1 | Daimler Finance North America LLC | 2.550% | 8/15/22 | 13,103 | 13,400 | |
1 | Daimler Finance North America LLC | 3.350% | 2/22/23 | 2,653 | 2,770 | |
1 | Daimler Finance North America LLC | 1.750% | 3/10/23 | 11,369 | 11,596 | |
1 | Daimler Finance North America LLC | 3.700% | 5/4/23 | 400 | 422 | |
DR Horton Inc. | 4.750% | 2/15/23 | 6,266 | 6,596 | ||
1 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 471 | 487 | |
1 | ERAC USA Finance LLC | 2.700% | 11/1/23 | 21,025 | 21,955 | |
General Motors Co. | 4.875% | 10/2/23 | 500 | 543 | ||
General Motors Co. | 5.400% | 10/2/23 | 9,000 | 9,871 | ||
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 18,840 | 18,950 | ||
General Motors Financial Co. Inc. | 4.200% | 11/6/21 | 45,714 | 46,172 | ||
General Motors Financial Co. Inc. | 3.450% | 1/14/22 | 14,350 | 14,509 | ||
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 7,145 | 7,258 | ||
General Motors Financial Co. Inc. | 3.150% | 6/30/22 | 2,928 | 2,993 | ||
General Motors Financial Co. Inc. | 3.550% | 7/8/22 | 16,494 | 16,967 | ||
General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 1,179 | 1,222 | ||
General Motors Financial Co. Inc. | 5.200% | 3/20/23 | 2,130 | 2,284 | ||
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 572 | 599 | ||
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 100 | 106 | ||
General Motors Financial Co. Inc. | 4.150% | 6/19/23 | 975 | 1,034 | ||
General Motors Financial Co. Inc. | 1.700% | 8/18/23 | 14,220 | 14,510 | ||
1 | Harley-Davidson Financial Services Inc. | 3.350% | 2/15/23 | 500 | 519 | |
Lennar Corp. | 4.875% | 12/15/23 | 8,327 | 9,045 | ||
1 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 34,851 | 36,350 | |
Ralph Lauren Corp. | 1.700% | 6/15/22 | 19,289 | 19,525 | ||
Starbucks Corp. | 2.700% | 6/15/22 | 53,546 | 54,460 | ||
Starbucks Corp. | 3.100% | 3/1/23 | 10,000 | 10,409 | ||
5 | Toyota Finance Australia Ltd. | 3.100% | 5/19/22 | 10,378 | 7,787 | |
3,5 | Toyota Finance Australia Ltd., 3M Australian Bank Bill Rate + 0.780% | 0.821% | 11/22/21 | 11,400 | 8,385 | |
Toyota Motor Credit Corp. | 1.150% | 5/26/22 | 53,922 | 54,338 | ||
Toyota Motor Credit Corp. | 0.450% | 7/22/22 | 25,630 | 25,701 | ||
Toyota Motor Credit Corp. | 0.350% | 10/14/22 | 22,000 | 22,042 | ||
Toyota Motor Credit Corp. | 2.900% | 3/30/23 | 17,000 | 17,741 | ||
Toyota Motor Credit Corp. | 0.400% | 4/6/23 | 40,000 | 40,068 | ||
Toyota Motor Credit Corp. | 0.500% | 8/14/23 | 20,000 | 20,079 | ||
Toyota Motor Credit Corp. | 0.450% | 1/11/24 | 40,000 | 39,999 | ||
5 | Volkswagen Financial Services Australia Pty Ltd. | 3.300% | 2/28/22 | 3,790 | 2,824 | |
3,5 | Volkswagen Financial Services Australia Pty Ltd., 3M Australian Bank Bill Rate + 1.300% | 1.324% | 9/14/22 | 7,800 | 5,757 | |
1 | Volkswagen Group of America Finance LLC | 2.500% | 9/24/21 | 19,100 | 19,161 | |
1 | Volkswagen Group of America Finance LLC | 4.000% | 11/12/21 | 27,059 | 27,339 | |
1 | Volkswagen Group of America Finance LLC | 2.900% | 5/13/22 | 49,850 | 50,827 | |
1 | Volkswagen Group of America Finance LLC | 2.700% | 9/26/22 | 18,308 | 18,788 | |
1 | Volkswagen Group of America Finance LLC | 4.250% | 11/13/23 | 8,429 | 9,090 | |
1 | Volkswagen Group of America Finance LLC | 0.875% | 11/22/23 | 12,000 | 12,056 | |
977,984 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Consumer Staples (2.9%) | ||||||
1 | 7-Eleven Inc. | 0.625% | 2/10/23 | 40,485 | 40,509 | |
1 | 7-Eleven Inc. | 0.800% | 2/10/24 | 365 | 365 | |
Altria Group Inc. | 2.950% | 5/2/23 | 2,000 | 2,083 | ||
3,5 | Anheuser-Busch InBev Worldwide Inc., 3M Australian Bank Bill Rate + 0.970% | 0.995% | 9/6/22 | 27,790 | 20,531 | |
BAT Capital Corp. | 2.764% | 8/15/22 | 1,600 | 1,635 | ||
Campbell Soup Co. | 2.500% | 8/2/22 | 9,450 | 9,648 | ||
Campbell Soup Co. | 3.650% | 3/15/23 | 24,646 | 25,844 | ||
1 | Cargill Inc. | 3.250% | 3/1/23 | 500 | 523 | |
Clorox Co. | 3.050% | 9/15/22 | 36,599 | 37,481 | ||
1 | Coca-Cola Europacific Partners plc | 0.500% | 5/5/23 | 17,000 | 16,993 | |
Constellation Brands Inc. | 2.700% | 5/9/22 | 13,543 | 13,753 | ||
Constellation Brands Inc. | 2.650% | 11/7/22 | 38,678 | 39,721 | ||
Constellation Brands Inc. | 3.200% | 2/15/23 | 17,617 | 18,315 | ||
Dollar General Corp. | 3.250% | 4/15/23 | 62 | 64 | ||
Dollar Tree Inc. | 3.700% | 5/15/23 | 16,340 | 17,224 | ||
General Mills Inc. | 3.150% | 12/15/21 | 15,000 | 15,050 | ||
General Mills Inc. | 2.600% | 10/12/22 | 1,075 | 1,102 | ||
Hormel Foods Corp. | 0.650% | 6/3/24 | 5,000 | 5,017 | ||
JM Smucker Co. | 3.500% | 10/15/21 | 19,208 | 19,331 | ||
Keurig Dr Pepper Inc. | 4.057% | 5/25/23 | 26,068 | 27,739 | ||
Keurig Dr Pepper Inc. | 0.750% | 3/15/24 | 15,000 | 15,020 | ||
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 4,000 | 4,051 | ||
Kroger Co. | 2.800% | 8/1/22 | 8,175 | 8,360 | ||
McCormick & Co. Inc. | 2.700% | 8/15/22 | 21,612 | 22,103 | ||
1 | Mondelez International Holdings Netherlands BV | 2.000% | 10/28/21 | 25,582 | 25,652 | |
1 | Mondelez International Holdings Netherlands BV | 2.125% | 9/19/22 | 45,474 | 46,389 | |
Mondelez International Inc. | 0.625% | 7/1/22 | 32,336 | 32,459 | ||
5 | New Zealand Milk Australasia Pty Ltd. | 5.250% | 5/23/22 | 5,000 | 3,816 | |
Philip Morris International Inc. | 2.625% | 3/6/23 | 1,000 | 1,038 | ||
Philip Morris International Inc. | 1.125% | 5/1/23 | 25,000 | 25,352 | ||
Philip Morris International Inc. | 2.125% | 5/10/23 | 1,860 | 1,914 | ||
1 | Reckitt Benckiser Treasury Services plc | 2.375% | 6/24/22 | 57,400 | 58,399 | |
1 | Reckitt Benckiser Treasury Services plc | 3.625% | 9/21/23 | 434 | 460 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 300 | 326 | ||
Tyson Foods Inc. | 4.500% | 6/15/22 | 30,080 | 30,843 | ||
589,110 | ||||||
Energy (5.7%) | ||||||
BP Capital Markets America Inc. | 2.937% | 4/6/23 | 19,000 | 19,809 | ||
BP Capital Markets America Inc. | 2.750% | 5/10/23 | 31,277 | 32,584 | ||
BP Capital Markets America Inc. | 3.216% | 11/28/23 | 4,084 | 4,330 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 10,000 | 10,287 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 2,700 | 2,915 | ||
Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 100 | 103 | ||
Chevron USA Inc. | 0.426% | 8/11/23 | 20,360 | 20,416 | ||
Diamondback Energy Inc. | 0.900% | 3/24/23 | 13,460 | 13,455 | ||
Ecopetrol SA | 5.875% | 9/18/23 | 15,135 | 16,304 | ||
Empresa Nacional del Petroleo | 4.750% | 12/6/21 | 63,117 | 63,914 | ||
Enbridge Inc. | 2.900% | 7/15/22 | 15,384 | 15,724 | ||
Enbridge Inc. | 4.000% | 10/1/23 | 3,130 | 3,339 | ||
3 | Enbridge Inc., SOFR + 0.400% | 0.435% | 2/17/23 | 20,000 | 20,040 | |
Energy Transfer LP | 4.650% | 2/15/22 | 15,236 | 15,577 | ||
Energy Transfer LP | 3.600% | 2/1/23 | 1,550 | 1,605 | ||
Energy Transfer LP | 4.250% | 3/15/23 | 2,262 | 2,369 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Energy Transfer LP / Regency Energy Finance Corp. | 5.875% | 3/1/22 | 3,515 | 3,576 | ||
Enterprise Products Operating LLC | 3.500% | 2/1/22 | 28,403 | 28,854 | ||
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 21,939 | 22,373 | ||
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 19,627 | 20,404 | ||
EOG Resources Inc. | 2.625% | 3/15/23 | 23,227 | 23,965 | ||
7 | Exxon Mobil Corp. | 1.902% | 8/16/22 | 5,545 | 5,644 | |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 70 | 71 | ||
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 1,385 | 1,415 | ||
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 29,881 | 30,764 | ||
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 1,887 | 1,958 | ||
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 250 | 263 | ||
Kinder Morgan Inc. | 3.150% | 1/15/23 | 34,661 | 35,964 | ||
1 | Kinder Morgan Inc. | 5.625% | 11/15/23 | 8,538 | 9,376 | |
Marathon Petroleum Corp. | 4.500% | 5/1/23 | 15,891 | 16,898 | ||
MPLX LP | 4.500% | 7/15/23 | 4,000 | 4,268 | ||
ONEOK Partners LP | 3.375% | 10/1/22 | 75 | 77 | ||
Pertamina Persero PT | 4.875% | 5/3/22 | 70,926 | 73,155 | ||
Petronas Capital Ltd. | 7.875% | 5/22/22 | 44,568 | 47,196 | ||
Phillips 66 | 4.300% | 4/1/22 | 85,507 | 87,725 | ||
Phillips 66 | 3.700% | 4/6/23 | 12,750 | 13,424 | ||
Pioneer Natural Resources Co. | 0.550% | 5/15/23 | 27,500 | 27,531 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 60,846 | 61,924 | ||
Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 29,275 | 29,885 | ||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 3,200 | 3,428 | ||
Schlumberger Investment SA | 3.650% | 12/1/23 | 5,000 | 5,332 | ||
Shell International Finance BV | 2.375% | 8/21/22 | 6,000 | 6,135 | ||
Shell International Finance BV | 2.250% | 1/6/23 | 4,887 | 5,025 | ||
Shell International Finance BV | 0.375% | 9/15/23 | 13,275 | 13,288 | ||
Sinopec Group Overseas Development 2012 Ltd. | 3.900% | 5/17/22 | 25,637 | 26,294 | ||
Sinopec Group Overseas Development 2016 Ltd. | 2.000% | 9/29/21 | 40,084 | 40,172 | ||
Sinopec Group Overseas Development 2017 Ltd. | 3.000% | 4/12/22 | 8,601 | 8,740 | ||
Sinopec Group Overseas Development 2017 Ltd. | 2.500% | 9/13/22 | 34,372 | 35,077 | ||
1 | Southern Natural Gas Co. LLC | 0.625% | 4/28/23 | 13,500 | 13,503 | |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 1,129 | 1,238 | ||
Thai Oil PCL | 3.625% | 1/23/23 | 2,520 | 2,607 | ||
Thaioil Treasury Center Co. Ltd. | 3.625% | 1/23/23 | 10,220 | 10,563 | ||
5 | TotalEnergies Capital International SA | 4.250% | 11/26/21 | 15,000 | 11,142 | |
TotalEnergies Capital International SA | 2.875% | 2/17/22 | 6,072 | 6,158 | ||
TotalEnergies Capital SA | 4.250% | 12/15/21 | 43,425 | 44,075 | ||
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 9,655 | 9,865 | ||
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 4,000 | 4,254 | ||
Williams Cos. Inc. | 4.000% | 11/15/21 | 23,250 | 23,279 | ||
Williams Cos. Inc. | 3.600% | 3/15/22 | 63,649 | 64,563 | ||
Williams Cos. Inc. | 3.350% | 8/15/22 | 25,163 | 25,749 | ||
Williams Cos. Inc. | 3.700% | 1/15/23 | 1,117 | 1,161 | ||
1,151,129 | ||||||
Financials (30.3%) | ||||||
ABN AMRO Bank NV | 6.250% | 4/27/22 | 4,261 | 4,437 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.625% | 7/1/22 | 2,831 | 2,935 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/23/23 | 12,371 | 12,797 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.125% | 7/3/23 | 32,340 | 34,221 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 11,345 | 12,146 | ||
1 | AIG Global Funding | 2.700% | 12/15/21 | 6,685 | 6,746 | |
1 | AIG Global Funding | 2.300% | 7/1/22 | 2,560 | 2,606 | |
1 | AIG Global Funding | 0.800% | 7/7/23 | 16,265 | 16,401 | |
1 | AIG Global Funding | 0.450% | 12/8/23 | 15,000 | 14,999 | |
Air Lease Corp. | 2.250% | 1/15/23 | 865 | 887 | ||
Air Lease Corp. | 2.750% | 1/15/23 | 2,634 | 2,715 | ||
Air Lease Corp. | 3.875% | 7/3/23 | 9,573 | 10,142 | ||
Air Lease Corp. | 3.000% | 9/15/23 | 1,843 | 1,926 | ||
Allstate Corp. | 3.150% | 6/15/23 | 7,966 | 8,383 | ||
Ally Financial Inc. | 3.050% | 6/5/23 | 7,152 | 7,459 | ||
Ally Financial Inc. | 1.450% | 10/2/23 | 23,463 | 23,819 | ||
American Express Co. | 3.700% | 11/5/21 | 30,429 | 30,612 | ||
American Express Co. | 2.750% | 5/20/22 | 11,884 | 12,097 | ||
American Express Co. | 2.500% | 8/1/22 | 27,067 | 27,624 | ||
American Express Co. | 3.400% | 2/27/23 | 37,935 | 39,665 | ||
American International Group Inc. | 4.875% | 6/1/22 | 7,972 | 8,266 | ||
American International Group Inc. | 4.125% | 2/15/24 | 21,967 | 23,877 | ||
Ameriprise Financial Inc. | 3.000% | 3/22/22 | 22,503 | 22,903 | ||
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 11,775 | 12,699 | ||
1 | ANZ New Zealand International Ltd. | 1.900% | 2/13/23 | 6,160 | 6,310 | |
Aon Corp. | 2.200% | 11/15/22 | 19,045 | 19,504 | ||
Aon plc | 4.000% | 11/27/23 | 28,060 | 30,065 | ||
1 | Athene Global Funding | 4.000% | 1/25/22 | 16,764 | 17,059 | |
1 | Athene Global Funding | 3.000% | 7/1/22 | 16,670 | 17,070 | |
1 | Athene Global Funding | 2.800% | 5/26/23 | 51,891 | 54,044 | |
1 | Athene Global Funding | 1.200% | 10/13/23 | 7,940 | 8,044 | |
1 | Athene Global Funding | 0.950% | 1/8/24 | 52,152 | 52,540 | |
Australia & New Zealand Banking Group Ltd. | 2.050% | 11/21/22 | 5,000 | 5,119 | ||
5 | Australia & New Zealand Banking Group Ltd. | 4.750% | 5/13/27 | 6,994 | 5,291 | |
Banco Santander SA | 3.500% | 4/11/22 | 20,400 | 20,852 | ||
Banco Santander SA | 3.125% | 2/23/23 | 500 | 520 | ||
Banco Santander SA | 0.701% | 6/30/24 | 20,000 | 20,063 | ||
Bank of America Corp. | 5.700% | 1/24/22 | 15,000 | 15,393 | ||
Bank of America Corp. | 3.300% | 1/11/23 | 1,812 | 1,891 | ||
Bank of America Corp. | 3.124% | 1/20/23 | 31,531 | 31,936 | ||
Bank of America Corp. | 2.881% | 4/24/23 | 11,007 | 11,207 | ||
Bank of America Corp. | 2.816% | 7/21/23 | 27,895 | 28,542 | ||
Bank of America Corp. | 3.004% | 12/20/23 | 44,849 | 46,392 | ||
Bank of America Corp. | 4.125% | 1/22/24 | 2,703 | 2,940 | ||
3,5 | Bank of America Corp., 3M Australian Bank Bill Rate + 1.550% | 1.590% | 8/5/21 | 5,000 | 3,669 | |
Bank of Montreal | 2.900% | 3/26/22 | 21,237 | 21,612 | ||
Bank of Montreal | 2.050% | 11/1/22 | 4,515 | 4,618 | ||
Bank of New York Mellon Corp. | 2.661% | 5/16/23 | 6,444 | 6,565 | ||
Bank of Nova Scotia | 2.000% | 11/15/22 | 29,537 | 30,204 | ||
Bank of Nova Scotia | 2.375% | 1/18/23 | 13,000 | 13,401 | ||
Bank of Nova Scotia | 1.950% | 2/1/23 | 15,000 | 15,378 | ||
Bank of Nova Scotia | 1.625% | 5/1/23 | 2,177 | 2,228 | ||
Bank of Nova Scotia | 3.400% | 2/11/24 | 8,293 | 8,882 | ||
1 | Banque Federative du Credit Mutuel SA | 2.700% | 7/20/22 | 40,980 | 41,944 | |
1 | Banque Federative du Credit Mutuel SA | 2.125% | 11/21/22 | 61,179 | 62,629 | |
1 | Banque Federative du Credit Mutuel SA | 3.750% | 7/20/23 | 82,566 | 87,799 | |
1 | Banque Federative du Credit Mutuel SA | 0.650% | 2/27/24 | 11,610 | 11,614 | |
Barclays Bank plc | 1.700% | 5/12/22 | 15,000 | 15,155 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Barclays plc | 3.200% | 8/10/21 | 18,399 | 18,410 | ||
Barclays plc | 3.684% | 1/10/23 | 19,480 | 19,757 | ||
Barclays plc | 4.610% | 2/15/23 | 75,151 | 76,819 | ||
1 | BNP Paribas SA | 2.950% | 5/23/22 | 3,487 | 3,562 | |
1 | BNP Paribas SA | 3.500% | 3/1/23 | 28,017 | 29,353 | |
BNP Paribas SA | 3.250% | 3/3/23 | 4,434 | 4,641 | ||
3,5 | BNP Paribas SA, 3M Australian Bank Bill Rate + 1.750% | 1.772% | 12/16/22 | 5,650 | 4,213 | |
1 | BNZ International Funding Ltd. | 3.375% | 3/1/23 | 400 | 419 | |
BPCE SA | 2.750% | 12/2/21 | 2,450 | 2,471 | ||
1 | BPCE SA | 3.000% | 5/22/22 | 65,834 | 67,272 | |
1 | BPCE SA | 5.700% | 10/22/23 | 12,210 | 13,481 | |
3,5 | BPCE SA, 3M Australian Bank Bill Rate + 1.100% | 1.125% | 4/26/23 | 9,590 | 7,137 | |
Canadian Imperial Bank of Commerce | 0.450% | 6/22/23 | 31,610 | 31,615 | ||
Canadian Imperial Bank of Commerce | 0.950% | 6/23/23 | 7,260 | 7,336 | ||
Canadian Imperial Bank of Commerce | 2.606% | 7/22/23 | 66,446 | 67,900 | ||
Canadian Imperial Bank of Commerce | 3.500% | 9/13/23 | 27,000 | 28,803 | ||
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 13,274 | 14,139 | ||
Capital One Bank USA NA | 2.014% | 1/27/23 | 17,371 | 17,507 | ||
Capital One Bank USA NA | 3.375% | 2/15/23 | 32,344 | 33,783 | ||
Capital One Financial Corp. | 3.050% | 3/9/22 | 1,350 | 1,369 | ||
Capital One NA | 2.250% | 9/13/21 | 1,505 | 1,507 | ||
Capital One NA | 2.650% | 8/8/22 | 5,000 | 5,109 | ||
Charles Schwab Corp. | 2.650% | 1/25/23 | 2,090 | 2,159 | ||
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 12,990 | 13,365 | ||
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 1,687 | 1,752 | ||
3,5 | Citibank NA, 3M Australian Bank Bill Rate + 0.750% | 0.793% | 5/20/22 | 25,000 | 18,434 | |
Citigroup Inc. | 2.900% | 12/8/21 | 10,000 | 10,071 | ||
Citigroup Inc. | 2.750% | 4/25/22 | 22,800 | 23,165 | ||
Citigroup Inc. | 4.050% | 7/30/22 | 8,721 | 9,039 | ||
Citigroup Inc. | 2.700% | 10/27/22 | 26,907 | 27,640 | ||
Citigroup Inc. | 2.312% | 11/4/22 | 50,186 | 50,437 | ||
Citigroup Inc. | 3.142% | 1/24/23 | 20,068 | 20,335 | ||
Citigroup Inc. | 3.500% | 5/15/23 | 1,950 | 2,051 | ||
Citigroup Inc. | 2.876% | 7/24/23 | 11,000 | 11,262 | ||
Citigroup Inc. | 3.875% | 10/25/23 | 3,500 | 3,769 | ||
Citigroup Inc. | 1.678% | 5/15/24 | 1,422 | 1,451 | ||
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 64,476 | 67,366 | ||
Credit Suisse AG | 2.100% | 11/12/21 | 7,900 | 7,942 | ||
Credit Suisse AG | 2.800% | 4/8/22 | 11,014 | 11,208 | ||
Credit Suisse AG | 0.495% | 2/2/24 | 9,000 | 8,979 | ||
Credit Suisse Group AG | 3.800% | 9/15/22 | 23,561 | 24,462 | ||
1 | Credit Suisse Group AG | 3.574% | 1/9/23 | 19,392 | 19,656 | |
1 | Credit Suisse Group AG | 2.997% | 12/14/23 | 20,620 | 21,272 | |
1 | Danske Bank A/S | 5.000% | 1/12/22 | 34,604 | 35,276 | |
1 | Danske Bank A/S | 2.700% | 3/2/22 | 9,469 | 9,596 | |
1 | Danske Bank A/S | 5.000% | 1/12/23 | 3,120 | 3,180 | |
1 | Danske Bank A/S | 1.226% | 6/22/24 | 36,006 | 36,400 | |
Danske Bank A/S | 1.226% | 6/22/24 | 4,760 | 4,812 | ||
Deutsche Bank AG | 3.300% | 11/16/22 | 13,363 | 13,814 | ||
Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 16,006 | 16,680 | ||
Discover Bank | 3.350% | 2/6/23 | 33,861 | 35,263 | ||
Discover Bank | 4.200% | 8/8/23 | 27,811 | 29,877 | ||
Discover Financial Services | 5.200% | 4/27/22 | 2,500 | 2,587 | ||
Discover Financial Services | 3.850% | 11/21/22 | 8,505 | 8,883 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
E*TRADE Financial Corp. | 2.950% | 8/24/22 | 19,738 | 20,243 | ||
Enstar Group Ltd. | 4.500% | 3/10/22 | 1,129 | 1,151 | ||
1 | Equitable Financial Life Global Funding | 0.500% | 4/6/23 | 13,450 | 13,484 | |
1 | Equitable Financial Life Global Funding | 0.500% | 11/17/23 | 50,154 | 50,204 | |
Equitable Holdings Inc. | 3.900% | 4/20/23 | 45,983 | 48,550 | ||
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 550 | 580 | ||
Fifth Third Bancorp | 3.500% | 3/15/22 | 5,000 | 5,087 | ||
Fifth Third Bancorp | 4.300% | 1/16/24 | 919 | 996 | ||
Fifth Third Bank NA | 2.875% | 10/1/21 | 5,000 | 5,010 | ||
Fifth Third Bank NA | 1.800% | 1/30/23 | 250 | 255 | ||
First Republic Bank | 2.500% | 6/6/22 | 5,525 | 5,618 | ||
1 | Five Corners Funding Trust | 4.419% | 11/15/23 | 9,989 | 10,863 | |
GATX Corp. | 4.750% | 6/15/22 | 10,330 | 10,692 | ||
5 | Goldman Sachs Group Inc. | 4.700% | 9/8/21 | 8,790 | 6,476 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 31,941 | 32,777 | ||
Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 75,373 | 75,809 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 3,750 | 3,929 | ||
Goldman Sachs Group Inc. | 0.481% | 1/27/23 | 25,000 | 25,010 | ||
Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 8,000 | 8,328 | ||
Goldman Sachs Group Inc. | 0.523% | 3/8/23 | 9,000 | 9,006 | ||
Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 54,133 | 55,262 | ||
Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 22,764 | 23,296 | ||
Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 4,711 | 4,714 | ||
3,5 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% | 1.239% | 5/16/23 | 2,800 | 2,081 | |
1 | Guardian Life Global Funding | 3.400% | 4/25/23 | 18,931 | 19,934 | |
HSBC Bank Inc. | 0.366% | 10/1/21 | 19,500 | 19,492 | ||
HSBC Bank Inc. | 0.366% | 10/7/21 | 42,249 | 42,230 | ||
HSBC Holdings plc | 3.262% | 3/13/23 | 64,223 | 65,357 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 11,000 | 11,634 | ||
HSBC Holdings plc | 3.033% | 11/22/23 | 10,000 | 10,343 | ||
HSBC Holdings plc | 3.950% | 5/18/24 | 35,682 | 37,832 | ||
HSBC USA Inc. | 0.315% | 2/22/22 | 60,000 | 59,905 | ||
Huntington National Bank | 2.500% | 8/7/22 | 35,000 | 35,735 | ||
Huntington National Bank | 3.550% | 10/6/23 | 850 | 906 | ||
1 | ING Bank NV | 2.050% | 8/15/21 | 7,000 | 7,004 | |
ING Groep NV | 3.150% | 3/29/22 | 34,884 | 35,544 | ||
Intercontinental Exchange Inc. | 2.350% | 9/15/22 | 30,886 | 31,530 | ||
Intercontinental Exchange Inc. | 0.700% | 6/15/23 | 34,482 | 34,681 | ||
Intercontinental Exchange Inc. | 3.450% | 9/21/23 | 1,000 | 1,063 | ||
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 46,989 | 50,579 | ||
International Finance Corp. | 5.875% | 8/15/22 | 221 | 233 | ||
Invesco Finance plc | 3.125% | 11/30/22 | 36,237 | 37,537 | ||
1 | Jackson National Life Global Funding | 2.100% | 10/25/21 | 1,590 | 1,597 | |
1 | Jackson National Life Global Funding | 3.300% | 2/1/22 | 7,000 | 7,107 | |
1 | Jackson National Life Global Funding | 2.375% | 9/15/22 | 500 | 511 | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 29,693 | 30,707 | ||
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 64,835 | 65,640 | ||
JPMorgan Chase & Co. | 3.207% | 4/1/23 | 5,131 | 5,230 | ||
JPMorgan Chase & Co. | 2.776% | 4/25/23 | 42,095 | 42,842 | ||
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 8,605 | 9,032 | ||
JPMorgan Chase & Co. | 0.697% | 3/16/24 | 10,000 | 10,038 | ||
JPMorgan Chase & Co. | 1.514% | 6/1/24 | 23,139 | 23,586 | ||
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 4,500 | 4,488 | ||
KeyBank NA | 2.300% | 9/14/22 | 500 | 511 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
KeyBank NA | 1.250% | 3/10/23 | 5,005 | 5,082 | ||
KeyBank NA | 0.423% | 1/3/24 | 8,330 | 8,339 | ||
Lincoln National Corp. | 4.000% | 9/1/23 | 4,168 | 4,465 | ||
5 | Lloyds Bank plc | 1.650% | 8/12/22 | 10,000 | 7,436 | |
Lloyds Banking Group plc | 3.000% | 1/11/22 | 16,000 | 16,194 | ||
Lloyds Banking Group plc | 2.858% | 3/17/23 | 44,889 | 45,568 | ||
Lloyds Banking Group plc | 1.326% | 6/15/23 | 22,053 | 22,217 | ||
Lloyds Banking Group plc | 4.050% | 8/16/23 | 77,829 | 83,271 | ||
Lloyds Banking Group plc | 2.907% | 11/7/23 | 24,800 | 25,544 | ||
Lloyds Banking Group plc | 0.695% | 5/11/24 | 12,375 | 12,419 | ||
Loews Corp. | 2.625% | 5/15/23 | 3,000 | 3,104 | ||
5 | Macquarie Bank Ltd. | 1.750% | 6/21/22 | 7,570 | 5,626 | |
1 | Macquarie Bank Ltd. | 0.441% | 12/16/22 | 2,625 | 2,630 | |
3,5 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.750% | 0.778% | 6/21/22 | 19,500 | 14,379 | |
5 | Macquarie Group Ltd. | 3.250% | 12/15/22 | 87,950 | 65,152 | |
1 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 16,883 | 17,463 | |
3,5 | Macquarie Group Ltd., 3M Australian Bank Bill Rate + 1.150% | 1.174% | 12/15/22 | 2,500 | 1,840 | |
Manufacturers & Traders Trust Co. | 2.500% | 5/18/22 | 25,000 | 25,402 | ||
Marsh & McLennan Cos. Inc. | 2.750% | 1/30/22 | 15,405 | 15,565 | ||
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 305 | 318 | ||
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 4,853 | 5,189 | ||
1 | MassMutual Global Funding II | 2.500% | 10/17/22 | 17,142 | 17,606 | |
1 | MassMutual Global Funding II | 0.850% | 6/9/23 | 44,362 | 44,820 | |
1 | MassMutual Global Funding II | 0.480% | 8/28/23 | 65,560 | 65,709 | |
1 | Met Tower Global Funding | 0.550% | 7/13/22 | 1,000 | 1,002 | |
MetLife Inc. | 4.368% | 9/15/23 | 2,150 | 2,325 | ||
1 | Metropolitan Life Global Funding I | 1.950% | 9/15/21 | 29,826 | 29,888 | |
1 | Metropolitan Life Global Funding I | 3.450% | 10/9/21 | 30,000 | 30,180 | |
1 | Metropolitan Life Global Funding I | 3.375% | 1/11/22 | 4,905 | 4,974 | |
1 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 5,000 | 5,083 | |
1 | Metropolitan Life Global Funding I | 2.400% | 6/17/22 | 2,240 | 2,283 | |
1 | Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 5,692 | 5,911 | |
1 | Metropolitan Life Global Funding I | 1.950% | 1/13/23 | 22,000 | 22,530 | |
1 | Metropolitan Life Global Funding I | 0.900% | 6/8/23 | 54,346 | 54,943 | |
1 | Metropolitan Life Global Funding I | 0.400% | 1/7/24 | 36,380 | 36,326 | |
1 | Metropolitan Life Global Funding I | 3.600% | 1/11/24 | 185 | 199 | |
Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 17,124 | 17,162 | ||
Mitsubishi UFJ Financial Group Inc. | 2.998% | 2/22/22 | 7,732 | 7,851 | ||
Mitsubishi UFJ Financial Group Inc. | 3.218% | 3/7/22 | 32,165 | 32,736 | ||
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 82,460 | 84,336 | ||
Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 500 | 512 | ||
Mitsubishi UFJ Financial Group Inc. | 3.455% | 3/2/23 | 15,750 | 16,516 | ||
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 20,000 | 21,310 | ||
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 16,150 | 16,869 | ||
Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 27,680 | 27,815 | ||
Mizuho Financial Group Inc. | 2.273% | 9/13/21 | 16,545 | 16,584 | ||
Mizuho Financial Group Inc. | 2.953% | 2/28/22 | 35,100 | 35,649 | ||
Mizuho Financial Group Inc. | 2.601% | 9/11/22 | 22,545 | 23,120 | ||
Mizuho Financial Group Inc. | 3.549% | 3/5/23 | 5,500 | 5,777 | ||
Mizuho Financial Group Inc. | 2.721% | 7/16/23 | 48,402 | 49,503 | ||
Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 5,661 | 5,737 | ||
Mizuho Financial Group Inc. | 0.849% | 9/8/24 | 42,631 | 42,858 | ||
5 | Morgan Stanley | 5.000% | 9/30/21 | 2,090 | 1,545 | |
Morgan Stanley | 2.625% | 11/17/21 | 31,120 | 31,337 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Morgan Stanley | 2.750% | 5/19/22 | 20,191 | 20,598 | ||
Morgan Stanley | 4.875% | 11/1/22 | 61,024 | 64,352 | ||
Morgan Stanley | 3.125% | 1/23/23 | 20,130 | 20,940 | ||
Morgan Stanley | 3.750% | 2/25/23 | 14,158 | 14,893 | ||
Morgan Stanley | 4.100% | 5/22/23 | 10,636 | 11,305 | ||
Morgan Stanley | 0.560% | 11/10/23 | 12,323 | 12,346 | ||
Morgan Stanley | 0.529% | 1/25/24 | 3,994 | 3,995 | ||
Morgan Stanley | 0.731% | 4/5/24 | 15,395 | 15,447 | ||
Morgan Stanley | 3.737% | 4/24/24 | 10,000 | 10,553 | ||
Morgan Stanley | 0.791% | 1/22/25 | 7,500 | 7,513 | ||
3 | Morgan Stanley, SOFR + 0.700% | 0.750% | 1/20/23 | 20,000 | 20,046 | |
1 | MUFG Bank Ltd. | 2.850% | 9/8/21 | 22,000 | 22,058 | |
1 | MUFG Bank Ltd. | 3.200% | 2/26/23 | 7,960 | 8,311 | |
MUFG Union Bank NA | 3.150% | 4/1/22 | 11,085 | 11,275 | ||
MUFG Union Bank NA | 2.100% | 12/9/22 | 4,200 | 4,295 | ||
Nasdaq Inc. | 0.445% | 12/21/22 | 10,613 | 10,618 | ||
3,5 | National Australia Bank Ltd., 3M Australian Bank Bill Rate + 2.400% | 2.428% | 9/21/26 | 10,450 | 7,689 | |
1 | National Bank of Canada | 2.150% | 10/7/22 | 13,405 | 13,692 | |
National Bank of Canada | 2.100% | 2/1/23 | 7,650 | 7,844 | ||
National Bank of Canada | 0.900% | 8/15/23 | 8,474 | 8,515 | ||
1 | Nationwide Building Society | 2.000% | 1/27/23 | 53,975 | 55,331 | |
1 | Nationwide Building Society | 3.622% | 4/26/23 | 26,771 | 27,393 | |
1 | New York Life Global Funding | 2.300% | 6/10/22 | 850 | 865 | |
1 | New York Life Global Funding | 1.100% | 5/5/23 | 12,170 | 12,349 | |
1 | New York Life Global Funding | 0.550% | 4/26/24 | 350 | 351 | |
1 | Nordea Bank Abp | 4.250% | 9/21/22 | 780 | 813 | |
1 | Nordea Bank Abp | 1.000% | 6/9/23 | 3,000 | 3,036 | |
1 | Nordea Bank Abp | 3.750% | 8/30/23 | 29,322 | 31,297 | |
Nordea Bank Abp | 3.750% | 8/30/23 | 12,061 | 12,873 | ||
PNC Bank NA | 2.950% | 1/30/23 | 1,600 | 1,658 | ||
PNC Bank NA | 1.743% | 2/24/23 | 11,000 | 11,088 | ||
PNC Bank NA | 3.800% | 7/25/23 | 13,920 | 14,802 | ||
1 | Pricoa Global Funding I | 3.450% | 9/1/23 | 22,549 | 23,999 | |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 5,440 | 5,615 | ||
Principal Financial Group Inc. | 3.125% | 5/15/23 | 6,641 | 6,962 | ||
1 | Principal Life Global Funding II | 2.375% | 11/21/21 | 750 | 755 | |
1 | Principal Life Global Funding II | 0.500% | 1/8/24 | 9,500 | 9,506 | |
1 | Protective Life Global Funding | 0.502% | 4/12/23 | 3,730 | 3,738 | |
1 | Protective Life Global Funding | 1.082% | 6/9/23 | 12,230 | 12,390 | |
1 | Protective Life Global Funding | 0.391% | 7/7/23 | 31,000 | 30,985 | |
1 | Protective Life Global Funding | 0.631% | 10/13/23 | 1,891 | 1,899 | |
Protective Life Global Funding | 0.631% | 10/13/23 | 12,200 | 12,254 | ||
1 | Protective Life Global Funding | 0.473% | 1/12/24 | 470 | 469 | |
1 | Reliance Standard Life Global Funding II | 2.625% | 7/22/22 | 970 | 992 | |
1 | Reliance Standard Life Global Funding II | 2.150% | 1/21/23 | 5,515 | 5,647 | |
1 | Reliance Standard Life Global Funding II | 3.850% | 9/19/23 | 9,475 | 10,122 | |
Royal Bank of Canada | 1.950% | 1/17/23 | 3,433 | 3,517 | ||
Royal Bank of Canada | 1.600% | 4/17/23 | 5,794 | 5,923 | ||
Royal Bank of Canada | 3.700% | 10/5/23 | 18,700 | 20,020 | ||
Royal Bank of Canada | 0.425% | 1/19/24 | 25,000 | 25,010 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 41,100 | 41,841 | ||
Santander UK Group Holdings plc | 2.875% | 8/5/21 | 38,486 | 38,491 | ||
Santander UK Group Holdings plc | 3.571% | 1/10/23 | 10,000 | 10,137 | ||
Shinhan Bank Co. Ltd. | 3.875% | 12/7/26 | 15,000 | 15,134 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Skandinaviska Enskilda Banken AB | 3.050% | 3/25/22 | 13,750 | 14,001 | |
1 | Skandinaviska Enskilda Banken AB | 2.200% | 12/12/22 | 19,750 | 20,264 | |
1 | Skandinaviska Enskilda Banken AB | 0.550% | 9/1/23 | 20,000 | 20,066 | |
1 | Standard Chartered plc | 2.744% | 9/10/22 | 4,364 | 4,374 | |
1 | Standard Chartered plc | 4.247% | 1/20/23 | 66,800 | 67,954 | |
1 | Standard Chartered plc | 1.319% | 10/14/23 | 50,943 | 51,366 | |
State Street Corp. | 2.825% | 3/30/23 | 9,620 | 9,783 | ||
Sumitomo Mitsui Banking Corp. | 4.850% | 3/1/22 | 17,435 | 17,869 | ||
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 302 | 328 | ||
3,5 | Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.660% | 0.700% | 8/18/22 | 15,000 | 11,068 | |
3,5 | Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.730% | 0.766% | 11/29/22 | 10,000 | 7,396 | |
Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 39,080 | 39,270 | ||
5 | Sumitomo Mitsui Financial Group Inc. | 3.662% | 3/29/22 | 10,000 | 7,499 | |
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 91,217 | 93,379 | ||
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 31,925 | 32,885 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 5,000 | 5,204 | ||
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 19,030 | 20,270 | ||
Sumitomo Mitsui Financial Group Inc. | 0.508% | 1/12/24 | 1,670 | 1,668 | ||
3,5 | Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270% | 1.300% | 3/29/22 | 3,080 | 2,275 | |
Svenska Handelsbanken AB | 1.875% | 9/7/21 | 9,230 | 9,245 | ||
5 | Swedbank AB | 3.500% | 2/17/22 | 6,180 | 4,607 | |
1 | Swedbank AB | 2.800% | 3/14/22 | 4,174 | 4,240 | |
Toronto-Dominion Bank | 1.900% | 12/1/22 | 44,457 | 45,442 | ||
Toronto-Dominion Bank | 0.750% | 6/12/23 | 10,270 | 10,350 | ||
Toronto-Dominion Bank | 0.450% | 9/11/23 | 11,324 | 11,340 | ||
Toronto-Dominion Bank | 0.550% | 3/4/24 | 8,240 | 8,253 | ||
Truist Bank | 2.800% | 5/17/22 | 2,632 | 2,680 | ||
Truist Bank | 3.502% | 8/2/22 | 12,201 | 12,201 | ||
Truist Bank | 1.250% | 3/9/23 | 1,595 | 1,619 | ||
Truist Financial Corp. | 2.750% | 4/1/22 | 11,682 | 11,855 | ||
Truist Financial Corp. | 3.050% | 6/20/22 | 7,214 | 7,376 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 9,000 | 9,265 | ||
1 | UBS AG | 1.750% | 4/21/22 | 21,178 | 21,391 | |
1 | UBS AG | 0.450% | 2/9/24 | 10,000 | 9,967 | |
1 | UBS Group AG | 2.650% | 2/1/22 | 35,000 | 35,415 | |
1 | UBS Group AG | 3.491% | 5/23/23 | 45,828 | 46,971 | |
1 | UBS Group AG | 2.859% | 8/15/23 | 68,817 | 70,506 | |
1 | USAA Capital Corp. | 1.500% | 5/1/23 | 2,548 | 2,601 | |
Wells Fargo & Co. | 3.500% | 3/8/22 | 2,544 | 2,594 | ||
8 | Wells Fargo & Co. | 2.125% | 4/22/22 | 2,930 | 4,119 | |
5 | Wells Fargo & Co. | 5.250% | 9/7/22 | 13,920 | 10,748 | |
Wells Fargo & Co. | 3.069% | 1/24/23 | 50,000 | 50,670 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 40,919 | 43,985 | ||
Wells Fargo & Co. | 1.654% | 6/2/24 | 55,429 | 56,630 | ||
Wells Fargo Bank NA | 2.082% | 9/9/22 | 16,500 | 16,529 | ||
Wells Fargo Bank NA | 3.550% | 8/14/23 | 9,000 | 9,568 | ||
Westpac Banking Corp. | 2.500% | 6/28/22 | 380 | 388 | ||
Westpac Banking Corp. | 2.750% | 1/11/23 | 25,155 | 26,063 | ||
5 | Westpac Banking Corp. | 4.500% | 3/11/27 | 3,466 | 2,600 | |
3,5 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% | 1.824% | 6/22/28 | 13,100 | 9,810 | |
Willis North America Inc. | 3.600% | 5/15/24 | 15,566 | 16,701 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Zions Bancorp NA | 3.500% | 8/27/21 | 15,360 | 15,391 | ||
6,111,662 | ||||||
Health Care (5.9%) | ||||||
AbbVie Inc. | 2.150% | 11/19/21 | 5,000 | 5,028 | ||
AbbVie Inc. | 5.000% | 12/15/21 | 6,000 | 6,033 | ||
AbbVie Inc. | 3.450% | 3/15/22 | 40,000 | 40,573 | ||
AbbVie Inc. | 3.250% | 10/1/22 | 27,474 | 28,202 | ||
AbbVie Inc. | 2.900% | 11/6/22 | 24 | 25 | ||
AbbVie Inc. | 3.200% | 11/6/22 | 5,579 | 5,752 | ||
AbbVie Inc. | 2.300% | 11/21/22 | 37,009 | 37,939 | ||
AbbVie Inc. | 2.850% | 5/14/23 | 4,650 | 4,833 | ||
AbbVie Inc. | 3.750% | 11/14/23 | 6,600 | 7,067 | ||
Aetna Inc. | 2.750% | 11/15/22 | 33,729 | 34,564 | ||
Aetna Inc. | 2.800% | 6/15/23 | 9,028 | 9,384 | ||
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 54,960 | 55,059 | ||
Amgen Inc. | 3.625% | 5/15/22 | 10,655 | 10,844 | ||
Anthem Inc. | 3.125% | 5/15/22 | 10,000 | 10,223 | ||
Anthem Inc. | 2.950% | 12/1/22 | 12,900 | 13,325 | ||
Anthem Inc. | 3.300% | 1/15/23 | 38,155 | 39,764 | ||
Astrazeneca Finance LLC | 0.700% | 5/28/24 | 19,000 | 19,025 | ||
AstraZeneca plc | 2.375% | 6/12/22 | 33,100 | 33,661 | ||
AstraZeneca plc | 3.500% | 8/17/23 | 105 | 111 | ||
1 | Bayer U.S. Finance II LLC | 3.875% | 12/15/23 | 21,047 | 22,517 | |
1 | Bayer U.S. Finance LLC | 3.000% | 10/8/21 | 6,220 | 6,250 | |
Biogen Inc. | 3.625% | 9/15/22 | 5,786 | 5,997 | ||
Bristol-Myers Squibb Co. | 2.600% | 5/16/22 | 5,140 | 5,238 | ||
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 750 | 763 | ||
Bristol-Myers Squibb Co. | 3.550% | 8/15/22 | 3,975 | 4,110 | ||
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 40,000 | 40,027 | ||
Cardinal Health Inc. | 2.616% | 6/15/22 | 519 | 528 | ||
Cardinal Health Inc. | 3.200% | 3/15/23 | 3,040 | 3,172 | ||
Cigna Corp. | 3.050% | 11/30/22 | 31,392 | 32,450 | ||
Cigna Corp. | 3.750% | 7/15/23 | 63,501 | 67,402 | ||
Cigna Corp. | 0.613% | 3/15/24 | 10,000 | 10,003 | ||
CVS Health Corp. | 3.500% | 7/20/22 | 3,412 | 3,499 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 44,239 | 45,413 | ||
CVS Health Corp. | 4.750% | 12/1/22 | 1,795 | 1,879 | ||
CVS Health Corp. | 3.700% | 3/9/23 | 3,783 | 3,973 | ||
Gilead Sciences Inc. | 4.400% | 12/1/21 | 9,397 | 9,428 | ||
Gilead Sciences Inc. | 3.250% | 9/1/22 | 25,449 | 26,141 | ||
Gilead Sciences Inc. | 0.750% | 9/29/23 | 35,140 | 35,161 | ||
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 4,984 | 5,085 | ||
GlaxoSmithKline Capital plc | 2.875% | 6/1/22 | 4,660 | 4,753 | ||
GlaxoSmithKline Capital plc | 0.534% | 10/1/23 | 38,022 | 38,113 | ||
Humana Inc. | 3.150% | 12/1/22 | 28,310 | 29,150 | ||
Humana Inc. | 2.900% | 12/15/22 | 65,131 | 67,206 | ||
Humana Inc. | 0.650% | 8/3/23 | 20,000 | 20,000 | ||
Illumina Inc. | 0.550% | 3/23/23 | 28,917 | 28,967 | ||
McKesson Corp. | 2.700% | 12/15/22 | 7,947 | 8,151 | ||
McKesson Corp. | 2.850% | 3/15/23 | 3,609 | 3,724 | ||
1 | Mylan Inc. | 3.125% | 1/15/23 | 20,916 | 21,669 | |
Mylan Inc. | 4.200% | 11/29/23 | 9,000 | 9,645 | ||
Stryker Corp. | 0.600% | 12/1/23 | 25,000 | 25,008 | ||
Takeda Pharmaceutical Co. Ltd. | 4.400% | 11/26/23 | 42,453 | 46,013 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 9,315 | 9,407 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UnitedHealth Group Inc. | 2.375% | 10/15/22 | 14,049 | 14,405 | ||
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 775 | 800 | ||
UnitedHealth Group Inc. | 3.500% | 6/15/23 | 1,624 | 1,720 | ||
UnitedHealth Group Inc. | 3.500% | 2/15/24 | 225 | 242 | ||
Viatris Inc. | 0.477% | 10/15/21 | 32,000 | 31,969 | ||
1 | Viatris Inc. | 1.125% | 6/22/22 | 88,114 | 88,648 | |
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 18,910 | 19,176 | ||
Zimmer Biomet Holdings Inc. | 3.700% | 3/19/23 | 20 | 21 | ||
Zoetis Inc. | 3.250% | 2/1/23 | 22,006 | 22,791 | ||
1,182,026 | ||||||
Industrials (3.6%) | ||||||
5 | Australia Pacific Airports Melbourne Pty Ltd. | 4.000% | 9/15/22 | 5,000 | 3,772 | |
Block Financial LLC | 5.500% | 11/1/22 | 8,000 | 8,291 | ||
Boeing Co. | 2.700% | 5/1/22 | 55,731 | 56,655 | ||
Boeing Co. | 2.200% | 10/30/22 | 500 | 508 | ||
Boeing Co. | 1.167% | 2/4/23 | 44,000 | 44,141 | ||
Boeing Co. | 2.800% | 3/1/23 | 500 | 516 | ||
Boeing Co. | 4.508% | 5/1/23 | 31,581 | 33,552 | ||
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 3,600 | 3,884 | ||
Caterpillar Financial Services Corp. | 1.931% | 10/1/21 | 9,140 | 9,167 | ||
Caterpillar Financial Services Corp. | 0.950% | 5/13/22 | 18,150 | 18,259 | ||
Caterpillar Financial Services Corp. | 1.900% | 9/6/22 | 21,180 | 21,577 | ||
Caterpillar Financial Services Corp. | 2.550% | 11/29/22 | 630 | 650 | ||
Caterpillar Financial Services Corp. | 0.650% | 7/7/23 | 40,000 | 40,273 | ||
CNH Industrial Capital LLC | 3.875% | 10/15/21 | 952 | 958 | ||
CNH Industrial Capital LLC | 4.375% | 4/5/22 | 4,645 | 4,763 | ||
CNH Industrial Capital LLC | 1.950% | 7/2/23 | 1,220 | 1,251 | ||
CNH Industrial Capital LLC | 4.200% | 1/15/24 | 190 | 206 | ||
CNH Industrial NV | 4.500% | 8/15/23 | 638 | 686 | ||
5 | ConnectEast Finance Pty Ltd. | 4.250% | 2/25/22 | 17,730 | 13,168 | |
General Dynamics Corp. | 2.250% | 11/15/22 | 500 | 510 | ||
General Electric Co. | 2.700% | 10/9/22 | 525 | 539 | ||
General Electric Co. | 3.100% | 1/9/23 | 750 | 779 | ||
6 | Honeywell International Inc. | 0.483% | 8/19/22 | 108,575 | 108,586 | |
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 21,533 | 22,845 | ||
Norfolk Southern Corp. | 3.850% | 1/15/24 | 1,000 | 1,071 | ||
Northrop Grumman Corp. | 3.250% | 8/1/23 | 7,654 | 8,082 | ||
PACCAR Financial Corp. | 0.350% | 8/11/23 | 10,000 | 10,007 | ||
1 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.875% | 7/11/22 | 397 | 413 | |
1 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.250% | 1/17/23 | 720 | 758 | |
1 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 3/14/23 | 2,120 | 2,189 | |
1 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.125% | 8/1/23 | 655 | 698 | |
1 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.900% | 2/1/24 | 747 | 802 | |
5 | QPH Finance Co. Pty Ltd. | 3.750% | 6/7/23 | 9,520 | 7,282 | |
Raytheon Technologies Corp. | 2.800% | 3/15/22 | 68,142 | 69,067 | ||
Raytheon Technologies Corp. | 2.500% | 12/15/22 | 13,865 | 14,206 | ||
Ryder System Inc. | 2.875% | 6/1/22 | 18,574 | 18,931 | ||
Ryder System Inc. | 3.875% | 12/1/23 | 17,810 | 19,118 | ||
1 | Siemens Financieringsmaatschappij NV | 0.400% | 3/11/23 | 75,000 | 75,142 | |
Southwest Airlines Co. | 4.750% | 5/4/23 | 88,086 | 94,349 | ||
2 | Southwest Airlines Co. Series 2007-1 Pass Through Trust | 6.650% | 8/1/22 | 1,954 | 2,000 | |
Teledyne Technologies Inc. | 0.650% | 4/1/23 | 550 | 550 | ||
Tyco Electronics Group SA | 3.500% | 2/3/22 | 1,520 | 1,532 | ||
United Parcel Service Inc. | 2.450% | 10/1/22 | 1,060 | 1,087 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | US Airways Series 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 1,992 | 2,002 | |
Waste Management Inc. | 2.900% | 9/15/22 | 4,000 | 4,090 | ||
728,912 | ||||||
Materials (1.6%) | ||||||
1 | Air Liquide Finance SA | 1.750% | 9/27/21 | 31,660 | 31,699 | |
1 | Berry Global Inc. | 0.950% | 2/15/24 | 5,500 | 5,515 | |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 16,700 | 17,956 | ||
1 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.300% | 5/1/23 | 7,400 | 7,762 | |
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 19,235 | 20,768 | ||
Eastman Chemical Co. | 3.500% | 12/1/21 | 18,332 | 18,524 | ||
Ecolab Inc. | 3.250% | 1/14/23 | 5,000 | 5,186 | ||
EI du Pont de Nemours and Co. | 0.000% | 12/15/21 | 130,000 | 129,897 | ||
GC Treasury Center Co. Ltd. | 4.250% | 9/19/22 | 4,930 | 5,106 | ||
Indonesia Asahan Aluminium Persero PT | 5.230% | 11/15/21 | 1,000 | 1,013 | ||
1 | International Flavors & Fragrances Inc. | 0.697% | 9/15/22 | 3,035 | 3,039 | |
Linde Inc. | 2.200% | 8/15/22 | 25 | 25 | ||
LYB International Finance BV | 4.000% | 7/15/23 | 12,255 | 13,076 | ||
Martin Marietta Materials Inc. | 0.650% | 7/15/23 | 15,000 | 15,028 | ||
Newmont Corp. | 3.500% | 3/15/22 | 2,000 | 2,022 | ||
Nucor Corp. | 4.125% | 9/15/22 | 4,237 | 4,377 | ||
Nutrien Ltd. | 3.150% | 10/1/22 | 10,516 | 10,780 | ||
Nutrien Ltd. | 1.900% | 5/13/23 | 8,635 | 8,846 | ||
Nutrien Ltd. | 3.625% | 3/15/24 | 641 | 685 | ||
Packaging Corp. of America | 4.500% | 11/1/23 | 20,557 | 22,176 | ||
PPG Industries Inc. | 3.200% | 3/15/23 | 7,000 | 7,298 | ||
Sherwin-Williams Co. | 4.200% | 1/15/22 | 602 | 607 | ||
331,385 | ||||||
Real Estate (2.1%) | ||||||
American Tower Corp. | 2.250% | 1/15/22 | 9,154 | 9,232 | ||
American Tower Corp. | 3.500% | 1/31/23 | 1,230 | 1,287 | ||
American Tower Corp. | 3.000% | 6/15/23 | 12,640 | 13,229 | ||
AvalonBay Communities Inc. | 2.950% | 9/15/22 | 9,225 | 9,437 | ||
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 17,450 | 18,013 | ||
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 25,272 | 27,269 | ||
Boston Properties LP | 3.850% | 2/1/23 | 23,523 | 24,496 | ||
Boston Properties LP | 3.125% | 9/1/23 | 20,350 | 21,311 | ||
Boston Properties LP | 3.800% | 2/1/24 | 4,672 | 4,997 | ||
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 2,730 | 2,851 | ||
Camden Property Trust | 2.950% | 12/15/22 | 6,289 | 6,473 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 1,000 | 1,050 | ||
ERP Operating LP | 0.303% | 9/8/21 | 59,190 | 59,179 | ||
ERP Operating LP | 3.000% | 4/15/23 | 68,415 | 71,091 | ||
Essex Portfolio LP | 3.250% | 5/1/23 | 8,470 | 8,819 | ||
Essex Portfolio LP | 3.875% | 5/1/24 | 1,050 | 1,132 | ||
Federal Realty Investment Trust | 2.750% | 6/1/23 | 1,800 | 1,864 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 20,984 | 22,501 | ||
Highwoods Realty LP | 3.625% | 1/15/23 | 2,736 | 2,826 | ||
Kimco Realty Corp. | 3.400% | 11/1/22 | 11,221 | 11,587 | ||
Kimco Realty Corp. | 3.125% | 6/1/23 | 9,290 | 9,679 | ||
Mid-America Apartments LP | 4.300% | 10/15/23 | 3,100 | 3,325 | ||
Public Storage | 2.370% | 9/15/22 | 9,110 | 9,312 | ||
3 | Public Storage, SOFR + 0.470% | 0.520% | 4/23/24 | 8,845 | 8,862 | |
Realty Income Corp. | 4.650% | 8/1/23 | 18,770 | 20,151 | ||
Simon Property Group LP | 2.750% | 6/1/23 | 17,465 | 18,107 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Simon Property Group LP | 3.750% | 2/1/24 | 7,965 | 8,529 | ||
SL Green Operating Partnership LP | 3.250% | 10/15/22 | 300 | 309 | ||
Ventas Realty LP | 3.125% | 6/15/23 | 5,155 | 5,365 | ||
Ventas Realty LP | 3.500% | 4/15/24 | 2,371 | 2,534 | ||
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 1,885 | 1,939 | ||
Weingarten Realty Investors | 3.500% | 4/15/23 | 1,160 | 1,207 | ||
Welltower Inc. | 4.500% | 1/15/24 | 9,995 | 10,844 | ||
Welltower Inc. | 3.625% | 3/15/24 | 1,495 | 1,603 | ||
420,410 | ||||||
Technology (3.4%) | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 17,246 | 18,388 | ||
Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 38,632 | 41,746 | ||
Equifax Inc. | 3.300% | 12/15/22 | 14,895 | 15,377 | ||
Equifax Inc. | 3.950% | 6/15/23 | 2,175 | 2,308 | ||
Fidelity National Information Services Inc. | 0.375% | 3/1/23 | 50,000 | 50,005 | ||
5 | Intel Corp. | 4.000% | 12/1/22 | 32,710 | 25,168 | |
Micron Technology Inc. | 2.497% | 4/24/23 | 59,600 | 61,545 | ||
Moody's Corp. | 4.500% | 9/1/22 | 5,440 | 5,624 | ||
Moody's Corp. | 2.625% | 1/15/23 | 1,425 | 1,469 | ||
NVIDIA Corp. | 0.309% | 6/15/23 | 172,550 | 172,635 | ||
1 | NXP BV / NXP Funding LLC | 4.625% | 6/1/23 | 640 | 686 | |
Oracle Corp. | 1.900% | 9/15/21 | 8,095 | 8,105 | ||
Oracle Corp. | 2.500% | 5/15/22 | 7,604 | 7,708 | ||
Oracle Corp. | 2.400% | 9/15/23 | 70,687 | 73,221 | ||
PayPal Holdings Inc. | 2.200% | 9/26/22 | 71,556 | 73,172 | ||
PayPal Holdings Inc. | 1.350% | 6/1/23 | 24,301 | 24,753 | ||
Roper Technologies Inc. | 0.450% | 8/15/22 | 10,000 | 10,010 | ||
Roper Technologies Inc. | 3.650% | 9/15/23 | 3,087 | 3,286 | ||
Skyworks Solutions Inc. | 0.900% | 6/1/23 | 2,870 | 2,881 | ||
VMware Inc. | 2.950% | 8/21/22 | 87,818 | 89,974 | ||
VMware Inc. | 0.600% | 8/15/23 | 4,000 | 4,007 | ||
692,068 | ||||||
Utilities (6.1%) | ||||||
American Electric Power Co. Inc. | 0.750% | 11/1/23 | 10,000 | 10,007 | ||
Atmos Energy Corp. | 0.625% | 3/9/23 | 9,260 | 9,262 | ||
5 | AusNet Services Holdings Pty Ltd. | 5.750% | 6/28/22 | 33,130 | 25,460 | |
Baltimore Gas and Electric Co. | 3.350% | 7/1/23 | 4,810 | 5,045 | ||
Berkshire Hathaway Energy Co. | 2.800% | 1/15/23 | 500 | 517 | ||
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 500 | 507 | ||
CenterPoint Energy Inc. | 2.500% | 9/1/22 | 24,040 | 24,548 | ||
CenterPoint Energy Resources Corp. | 0.700% | 3/2/23 | 8,046 | 8,047 | ||
CenterPoint Energy Resources Corp. | 3.550% | 4/1/23 | 12,500 | 13,113 | ||
Consolidated Edison Inc. | 0.650% | 12/1/23 | 34,357 | 34,374 | ||
1 | Dominion Energy Inc. | 2.450% | 1/15/23 | 69,850 | 71,883 | |
3 | Dominion Energy Inc., 3M USD LIBOR + 0.530% | 0.649% | 9/15/23 | 6,090 | 6,093 | |
DTE Energy Co. | 0.550% | 11/1/22 | 60,220 | 60,410 | ||
DTE Energy Co. | 2.250% | 11/1/22 | 25,900 | 26,491 | ||
Duke Energy Corp. | 1.800% | 9/1/21 | 328 | 328 | ||
Duke Energy Corp. | 2.400% | 8/15/22 | 11,528 | 11,757 | ||
Duke Energy Corp. | 3.050% | 8/15/22 | 9,087 | 9,278 | ||
Duke Energy Progress LLC | 3.000% | 9/15/21 | 1,175 | 1,177 | ||
3 | Duke Energy Progress LLC, 3M USD LIBOR + 0.180% | 0.335% | 2/18/22 | 29,000 | 29,000 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 9,867 | 10,448 | ||
Edison International | 2.400% | 9/15/22 | 1,826 | 1,855 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Edison International | 3.125% | 11/15/22 | 960 | 988 | ||
Edison International | 2.950% | 3/15/23 | 1,342 | 1,385 | ||
Enel Finance America LLC | 0.356% | 5/12/22 | 24,340 | 24,268 | ||
Enel Finance America LLC | 0.351% | 5/18/22 | 29,000 | 28,911 | ||
Enel Finance America LLC | 0.356% | 5/19/22 | 19,400 | 19,341 | ||
Enel Finance America LLC | 0.321% | 6/14/22 | 48,030 | 47,864 | ||
Enel Finance America LLC | 0.322% | 6/17/22 | 47,930 | 47,763 | ||
1 | Engie SA | 2.875% | 10/10/22 | 4,640 | 4,774 | |
Entergy Corp. | 4.000% | 7/15/22 | 7,719 | 7,939 | ||
Entergy Louisiana LLC | 0.620% | 11/17/23 | 26,750 | 26,764 | ||
3,5 | ETSA Utilities Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.020% | 1.056% | 8/29/22 | 14,900 | 10,988 | |
Eversource Energy | 2.750% | 3/15/22 | 62,800 | 63,631 | ||
Eversource Energy | 2.800% | 5/1/23 | 44,715 | 46,271 | ||
Georgia Power Co. | 2.850% | 5/15/22 | 500 | 510 | ||
NextEra Energy Capital Holdings Inc. | 2.900% | 4/1/22 | 27,982 | 28,474 | ||
NextEra Energy Capital Holdings Inc. | 2.800% | 1/15/23 | 3,422 | 3,535 | ||
NextEra Energy Capital Holdings Inc. | 0.650% | 3/1/23 | 45,500 | 45,668 | ||
3 | NextEra Energy Capital Holdings Inc., 3M USD LIBOR + 0.270% | 0.420% | 2/22/23 | 40,000 | 39,985 | |
Northern States Power Co. | 2.600% | 5/15/23 | 11,145 | 11,472 | ||
NSTAR Electric Co. | 2.375% | 10/15/22 | 1,200 | 1,223 | ||
NTPC Ltd. | 4.750% | 10/3/22 | 6,890 | 7,183 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 4,200 | 4,289 | ||
ONE Gas Inc. | 0.850% | 3/11/23 | 65,000 | 65,016 | ||
PECO Energy Co. | 1.700% | 9/15/21 | 2,295 | 2,297 | ||
PECO Energy Co. | 2.375% | 9/15/22 | 3,595 | 3,659 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.500% | 11/22/21 | 55,193 | 55,952 | ||
Progress Energy Inc. | 3.150% | 4/1/22 | 13,709 | 13,871 | ||
PSEG Power LLC | 3.850% | 6/1/23 | 10,688 | 11,317 | ||
Public Service Electric and Gas Co. | 2.375% | 5/15/23 | 10,870 | 11,211 | ||
Public Service Enterprise Group Inc. | 2.650% | 11/15/22 | 74,500 | 76,607 | ||
Puget Energy Inc. | 6.000% | 9/1/21 | 7,829 | 7,861 | ||
Sempra Energy | 2.900% | 2/1/23 | 5,768 | 5,965 | ||
Sempra Energy | 4.050% | 12/1/23 | 11,670 | 12,511 | ||
Southern California Edison Co. | 0.700% | 4/3/23 | 20,000 | 20,056 | ||
3 | Southern California Edison Co., SOFR + 0.350% | 0.398% | 6/13/22 | 24,020 | 24,061 | |
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 80 | 83 | ||
State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 2,377 | 2,482 | ||
State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 19,705 | 20,012 | ||
5 | United Energy Distribution Pty Ltd. | 3.500% | 9/12/23 | 18,230 | 14,018 | |
Virginia Electric and Power Co. | 2.750% | 3/15/23 | 30,143 | 31,148 | ||
WEC Energy Group Inc. | 0.550% | 9/15/23 | 13,710 | 13,732 | ||
Xcel Energy Inc. | 0.500% | 10/15/23 | 9,705 | 9,716 | ||
1,234,401 | ||||||
Total Corporate Bonds (Cost $14,120,345) | 14,134,231 | |||||
Sovereign Bonds (3.6%) | ||||||
Corp. Andina de Fomento | 3.250% | 2/11/22 | 26,585 | 26,981 | ||
Corp. Andina de Fomento | 4.375% | 6/15/22 | 15,419 | 15,938 | ||
Corp. Andina de Fomento | 2.375% | 5/12/23 | 10,000 | 10,296 | ||
Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 6,200 | 6,313 | ||
1 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 1,838 | 1,867 | |
Export-Import Bank of India | 4.000% | 1/14/23 | 19,168 | 19,994 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Fondo MIVIVIENDA SA | 3.500% | 1/31/23 | 8,453 | 8,713 | ||
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 61,214 | 61,468 | ||
9 | Korea Monetary Stabilization Bond | 1.315% | 10/2/21 | 50,000,000 | 43,513 | |
9 | Korea Monetary Stabilization Bond | 0.000% | 10/19/21 | 150,000,000 | 130,214 | |
9 | Korea Monetary Stabilization Bond | 0.880% | 7/9/22 | 100,000,000 | 86,918 | |
KSA Sukuk Ltd. | 2.894% | 4/20/22 | 45,310 | 46,053 | ||
Kuwait | 2.750% | 3/20/22 | 15,693 | 15,923 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.400% | 3/29/22 | 50,866 | 51,761 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.300% | 11/21/22 | 19,409 | 20,082 | ||
Republic of Chile | 2.250% | 10/30/22 | 4,700 | 4,806 | ||
Republic of Colombia | 2.625% | 3/15/23 | 30,405 | 30,855 | ||
Republic of Croatia | 5.500% | 4/4/23 | 3,155 | 3,414 | ||
Republic of Hungary | 5.375% | 2/21/23 | 22,492 | 24,235 | ||
Republic of Hungary | 5.750% | 11/22/23 | 8,000 | 8,960 | ||
Republic of Indonesia | 3.750% | 4/25/22 | 46,856 | 47,971 | ||
Republic of Indonesia | 2.950% | 1/11/23 | 2,500 | 2,588 | ||
Republic of Panama | 4.000% | 9/22/24 | 13,047 | 14,174 | ||
Republic of Serbia | 7.250% | 9/28/21 | 3,678 | 3,718 | ||
Romania | 6.750% | 2/7/22 | 27,481 | 28,357 | ||
10 | SoQ Sukuk A QSC | 3.241% | 1/18/23 | 11,847 | 12,340 | |
State of Israel | 4.000% | 6/30/22 | 300 | 310 | ||
State of Qatar | 3.875% | 4/23/23 | 10,000 | 10,587 | ||
Total Sovereign Bonds (Cost $739,076) | 738,349 | |||||
Taxable Municipal Bonds (0.0%) | ||||||
3 | New Mexico Educational Assistance Foundation Student Loan Revenue, 1M USD LIBOR + 0.700% (Cost $20) | 0.800% | 1/2/25 | 19 | 20 | |
Total Taxable Municipal Bonds (Cost $20) | 20 | |||||
Shares | ||||||
Temporary Cash Investments (12.4%) | ||||||
Money Market Fund (9.9%) | ||||||
11 | Vanguard Market Liquidity Fund | 0.064% | 19,990,449 | 1,999,045 | ||
Maturity Date | Face Amount ($000) | |||||
Commercial Paper (0.3%) | ||||||
General Motors Financial Co. Inc. | 0.325% | 9/10/21 | 20,000 | 19,991 | ||
Humana Inc. | 0.274% | 10/20/21 | 35,000 | 34,975 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (2.2%) | ||||||
12 | U.S. Treasury Bill | 0.073% | 7/14/22 | 450,000 | 449,719 | |
Total Temporary Cash Investments (Cost $2,503,597) | 2,503,730 | |||||
Total Investments (100.8%) (Cost $20,339,866) | 20,358,810 | |||||
Other Assets and Liabilities—Net (-0.8%) | (154,940) | |||||
Net Assets (100%) | 20,203,870 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
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 July 31, 2021, the aggregate value was $4,044,781,000, representing 20.0% of net assets. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
3 | 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. |
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 | Face amount denominated in Australian dollars. |
6 | Securities with a value of $5,467,000 have been segregated as initial margin for open futures contracts. |
7 | Securities with a value of $811,000 have been segregated as initial margin for open centrally cleared swap contracts. |
8 | Face amount denominated in British pounds. |
9 | Face amount denominated in Korean won. |
10 | Guaranteed by the State of Qatar. |
11 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12 | Securities with a value of $870,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
1M—1-month. | |
3M—3-month. | |
LIBOR—London Interbank Offered Rate. | |
SOFR—Secured Overnight Financing Rate. |
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 2021 | 2,766 | 610,335 | (5) |
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2021 | (4,235) | (527,026) | (3,074) |
AUD 3-Year Treasury Bond | September 2021 | (952) | (81,792) | (240) |
(3,314) | ||||
(3,319) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
BNP Paribas | 8/27/21 | AUD | 403 | USD | 297 | — | (1) |
JPMorgan Chase Bank, N.A. | 8/27/21 | AUD | 155 | USD | 114 | — | — |
JPMorgan Chase Bank, N.A. | 8/27/21 | EUR | 34 | USD | 40 | — | — |
State Street Bank & Trust Co. | 8/27/21 | USD | 229,326 | AUD | 311,271 | 866 | — |
Barclays Bank plc | 8/27/21 | USD | 220,624 | AUD | 299,236 | 997 | — |
Royal Bank of Canada | 8/27/21 | USD | 258 | AUD | 350 | 1 | — |
BNP Paribas | 8/27/21 | USD | 153 | AUD | 207 | 1 | — |
Toronto-Dominion Bank | 8/27/21 | USD | 4,112 | GBP | 2,990 | — | (44) |
State Street Bank & Trust Co. | 9/15/21 | USD | 89,325 | KRW | 100,000,000 | 2,451 | — |
BNP Paribas | 9/15/21 | USD | 53,111 | KRW | 60,000,000 | 987 | — |
Standard Chartered Bank | 9/15/21 | USD | 44,462 | KRW | 50,000,000 | 1,025 | — |
Citibank, N.A. | 9/15/21 | USD | 44,117 | KRW | 50,000,000 | 681 | — |
JPMorgan Chase Bank, N.A. | 9/15/21 | USD | 40,251 | KRW | 45,000,000 | 1,160 | — |
8,169 | (45) |
AUD—Australian dollar. |
EUR—euro. |
GBP—British pound. |
KRW—Korean won. |
USD—U.S. dollar. |
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 Purchased | ||||||
CDX-NA-IG-S35-V1 | 12/23/25 | USD 60,000 | (1.000) | (1,507) | (81) |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Republic of Indonesia/Baa2 | 6/23/26 | JPMC | 4,500 | 1.000 | 45 | 30 | 15 | — |
1 Periodic premium received/paid quarterly. |
JPMC—JPMorgan Chase Bank, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $18,340,925) | 18,359,765 |
Affiliated Issuers (Cost $1,998,941) | 1,999,045 |
Total Investments in Securities | 20,358,810 |
Investment in Vanguard | 676 |
Cash | 812 |
Foreign Currency, at Value (Cost $5,436) | 5,430 |
Receivables for Accrued Income | 90,592 |
Receivables for Capital Shares Issued | 61,867 |
Swap Premiums Paid | 30 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 24 |
Unrealized Appreciation—Forward Currency Contracts | 8,169 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 15 |
Total Assets | 20,526,425 |
Liabilities | |
Payables for Investment Securities Purchased | 288,745 |
Payables for Capital Shares Redeemed | 30,732 |
Payables for Distributions | 1,596 |
Payables to Vanguard | 911 |
Variation Margin Payable—Futures Contracts | 526 |
Unrealized Depreciation—Forward Currency Contracts | 45 |
Total Liabilities | 322,555 |
Net Assets | 20,203,870 |
Statement of Assets and Liabilities (continued) | |
At July 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 20,154,379 |
Total Distributable Earnings (Loss) | 49,491 |
Net Assets | 20,203,870 |
Investor Shares—Net Assets | |
Applicable to 82,674,316 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 832,375 |
Net Asset Value Per Share—Investor Shares | $10.07 |
Admiral Shares—Net Assets | |
Applicable to 961,840,622 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 19,371,495 |
Net Asset Value Per Share—Admiral Shares | $20.14 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 70,054 |
Total Income | 70,054 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 396 |
Management and Administrative—Investor Shares | 729 |
Management and Administrative—Admiral Shares | 8,236 |
Marketing and Distribution—Investor Shares | 29 |
Marketing and Distribution—Admiral Shares | 240 |
Custodian Fees | 25 |
Shareholders’ Reports—Investor Shares | 3 |
Shareholders’ Reports—Admiral Shares | 13 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 9,673 |
Net Investment Income | 60,381 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 6,491 |
Futures Contracts | 13,912 |
Swap Contracts | (65) |
Forward Currency Contracts | 41,632 |
Foreign Currencies | (9,408) |
Realized Net Gain (Loss) | 52,562 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (60,674) |
Futures Contracts | (3,737) |
Swap Contracts | (106) |
Forward Currency Contracts | 1,515 |
Foreign Currencies | (20) |
Change in Unrealized Appreciation (Depreciation) | (63,022) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 49,921 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $721,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 60,381 | 138,925 | |
Realized Net Gain (Loss) | 52,562 | (14,627) | |
Change in Unrealized Appreciation (Depreciation) | (63,022) | 56,809 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 49,921 | 181,107 | |
Distributions | |||
Investor Shares | (2,351) | (6,698) | |
Admiral Shares | (61,577) | (136,565) | |
Total Distributions | (63,928) | (143,263) | |
Capital Share Transactions | |||
Investor Shares | 104,820 | 255,196 | |
Admiral Shares | 3,324,998 | 9,580,899 | |
Net Increase (Decrease) from Capital Share Transactions | 3,429,818 | 9,836,095 | |
Total Increase (Decrease) | 3,415,811 | 9,873,939 | |
Net Assets | |||
Beginning of Period | 16,788,059 | 6,914,120 | |
End of Period | 20,203,870 | 16,788,059 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $10.08 | $10.04 | $9.98 | $9.97 | $10.00 | $9.99 |
Investment Operations | ||||||
Net Investment Income | .0281 | .1271 | .2521 | .2271 | .1541 | .106 |
Net Realized and Unrealized Gain (Loss) on Investments | (.008) | .053 | .065 | .003 | (.037) | .006 |
Total from Investment Operations | .020 | .180 | .317 | .230 | .117 | .112 |
Distributions | ||||||
Dividends from Net Investment Income | (.030) | (.140) | (.257) | (.220) | (.145) | (.102) |
Distributions from Realized Capital Gains | — | — | — | — | (.002) | — |
Total Distributions | (.030) | (.140) | (.257) | (.220) | (.147) | (.102) |
Net Asset Value, End of Period | $10.07 | $10.08 | $10.04 | $9.98 | $9.97 | $10.00 |
Total Return2 | 0.20% | 1.81% | 3.21% | 2.34% | 1.17% | 1.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $832 | $728 | $471 | $309 | $179 | $131 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.56% | 1.27% | 2.53% | 2.28% | 1.54% | 1.11% |
Portfolio Turnover Rate | 26%3 | 60%3 | 70% | 61% | 70% | 81% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 1% and 3% attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $20.15 | $20.08 | $19.96 | $19.94 | $20.00 | $19.98 |
Investment Operations | ||||||
Net Investment Income | .0651 | .2631 | .5271 | .4731 | .3281 | .228 |
Net Realized and Unrealized Gain (Loss) on Investments | (.006) | .107 | .126 | .008 | (.077) | .015 |
Total from Investment Operations | .059 | .370 | .653 | .481 | .251 | .243 |
Distributions | ||||||
Dividends from Net Investment Income | (.069) | (.300) | (.533) | (.461) | (.307) | (.223) |
Distributions from Realized Capital Gains | — | — | — | — | (.004) | — |
Total Distributions | (.069) | (.300) | (.533) | (.461) | (.311) | (.223) |
Net Asset Value, End of Period | $20.14 | $20.15 | $20.08 | $19.96 | $19.94 | $20.00 |
Total Return2 | 0.29% | 1.86% | 3.31% | 2.44% | 1.26% | 1.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $19,371 | $16,060 | $6,443 | $5,244 | $3,474 | $2,024 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 0.65% | 1.31% | 2.63% | 2.38% | 1.64% | 1.19% |
Portfolio Turnover Rate | 26%3 | 60%3 | 70% | 61% | 70% | 81% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 1% and 3% attributable to mortgage-dollar-roll activity. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | — | 2,982,480 | — | 2,982,480 |
Corporate Bonds | — | 14,134,231 | — | 14,134,231 |
Sovereign Bonds | — | 738,349 | — | 738,349 |
Taxable Municipal Bonds | — | 20 | — | 20 |
Temporary Cash Investments | 1,999,045 | 504,685 | — | 2,503,730 |
Total | 1,999,045 | 18,359,765 | — | 20,358,810 |
Derivative Financial Instruments | ||||
Assets | ||||
Forward Currency Contracts | — | 8,169 | — | 8,169 |
Swap Contracts | —1 | 15 | — | 15 |
Total | — | 8,184 | — | 8,184 |
Liabilities | ||||
Futures Contracts1 | 3,319 | — | — | 3,319 |
Forward Currency Contracts | — | 45 | — | 45 |
Swap Contracts | 811 | — | — | 81 |
Total | 3,400 | 45 | — | 3,445 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Premiums Paid | — | — | 30 | 30 |
Unrealized Appreciation—Forward Currency Contracts | — | 8,169 | — | 8,169 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | — | 15 | 15 |
Total Assets | — | 8,169 | 45 | 8,214 |
Unrealized Depreciation—Futures Contracts1 | 3,319 | — | — | 3,319 |
Unrealized Depreciation—Centrally Cleared Swap Contracts1 | — | — | 81 | 81 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Depreciation—Forward Currency Contracts | — | 45 | — | 45 |
Total Liabilities | 3,319 | 45 | 81 | 3,445 |
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | 13,912 | — | — | 13,912 |
Swap Contracts | — | — | (65) | (65) |
Forward Currency Contracts | — | 41,632 | — | 41,632 |
Realized Net Gain (Loss) on Derivatives | 13,912 | 41,632 | (65) | 55,479 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (3,737) | — | — | (3,737) |
Swap Contracts | — | — | (106) | (106) |
Forward Currency Contracts | — | 1,515 | — | 1,515 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (3,737) | 1,515 | (106) | (2,328) |
E. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 20,360,056 |
Gross Unrealized Appreciation | 33,139 |
Gross Unrealized Depreciation | (29,616) |
Net Unrealized Appreciation (Depreciation) | 3,523 |
F. | During the six months ended July 31, 2021, the fund purchased $5,823,730,000 of investment securities and sold $2,674,906,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $756,285,000 and $1,046,924,000, respectively. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 409,829 | 40,686 | 885,690 | 88,050 | |
Issued in Lieu of Cash Distributions | 2,110 | 210 | 6,094 | 607 | |
Redeemed | (307,119) | (30,491) | (636,588) | (63,338) | |
Net Increase (Decrease)—Investor Shares | 104,820 | 10,405 | 255,196 | 25,319 | |
Admiral Shares | |||||
Issued | 9,320,147 | 462,559 | 16,385,112 | 814,372 | |
Issued in Lieu of Cash Distributions | 50,327 | 2,498 | 110,723 | 5,511 | |
Redeemed | (6,045,476) | (300,056) | (6,914,936) | (343,906) | |
Net Increase (Decrease)—Admiral Shares | 3,324,998 | 165,001 | 9,580,899 | 475,977 |
H. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 33 |
Liquidity Risk Management | 35 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended July 31, 2021 | |||
Beginning Account Value 1/31/2021 | Ending Account Value 7/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $1,027.80 | $1.16 |
Admiral™ Shares | 1,000.00 | 1,028.30 | 0.65 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.65 | $1.15 |
Admiral Shares | 1,000.00 | 1,024.15 | 0.65 |
Corporate Bonds - Communications | 18.7% |
Corporate Bonds - Consumer Discretionary | 14.6 |
Corporate Bonds - Consumer Staples | 4.0 |
Corporate Bonds - Energy | 8.5 |
Corporate Bonds - Financials | 9.0 |
Corporate Bonds - Health Care | 9.6 |
Corporate Bonds - Industrials | 6.3 |
Corporate Bonds - Materials | 9.6 |
Corporate Bonds - Real Estate | 1.2 |
Corporate Bonds - Technology | 11.9 |
Corporate Bonds - Utilities | 1.7 |
Preferred Stock | 0.0 |
U.S. Government and Agency Obligations | 4.9 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (4.7%) | ||||||
U.S. Government Securities (4.7%) | ||||||
U.S. Treasury Note/Bond | 2.875% | 10/15/21 | 275,000 | 276,547 | ||
1 | U.S. Treasury Note/Bond | 1.500% | 1/31/22 | 275,000 | 276,934 | |
U.S. Treasury Note/Bond | 0.125% | 4/30/22 | 275,000 | 275,086 | ||
U.S. Treasury Note/Bond | 2.000% | 7/31/22 | 275,000 | 280,242 | ||
U.S. Treasury Note/Bond | 1.375% | 10/15/22 | 275,000 | 279,211 | ||
Total U.S. Government and Agency Obligations (Cost $1,387,866) | 1,388,020 | |||||
Corporate Bonds (91.0%) | ||||||
Communications (17.9%) | ||||||
2 | Altice Financing SA | 7.500% | 5/15/26 | 25,000 | 26,002 | |
2,3 | Altice France SA | 2.125% | 2/15/25 | 11,415 | 13,213 | |
2 | Altice France SA | 7.375% | 5/1/26 | 78,140 | 81,240 | |
2 | Altice France SA | 8.125% | 2/1/27 | 600 | 650 | |
2 | Altice France SA | 5.500% | 1/15/28 | 19,790 | 20,284 | |
2 | Altice France SA | 5.125% | 7/15/29 | 100,720 | 101,414 | |
Belo Corp. | 7.750% | 6/1/27 | 29,475 | 34,754 | ||
Belo Corp. | 7.250% | 9/15/27 | 24,707 | 29,103 | ||
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.750% | 2/15/26 | 23,480 | 24,276 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.500% | 5/1/26 | 60,288 | 62,320 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.125% | 5/1/27 | 17,527 | 18,340 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.000% | 2/1/28 | 34,125 | 35,783 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.500% | 8/15/30 | 50,355 | 52,906 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.250% | 2/1/31 | 68,465 | 70,603 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 4.500% | 5/1/32 | 116,373 | 121,738 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 6.484% | 10/23/45 | 4,215 | 5,936 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.375% | 5/1/47 | 31,500 | 38,964 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.125% | 7/1/49 | 20,000 | 24,191 | ||
CSC Holdings LLC | 6.750% | 11/15/21 | 44,262 | 44,931 | ||
CSC Holdings LLC | 5.875% | 9/15/22 | 6,058 | 6,337 | ||
2 | CSC Holdings LLC | 5.500% | 4/15/27 | 82,015 | 85,819 | |
2 | CSC Holdings LLC | 6.500% | 2/1/29 | 35,323 | 39,050 | |
2 | CSC Holdings LLC | 4.125% | 12/1/30 | 123,394 | 123,716 | |
2 | CSC Holdings LLC | 4.625% | 12/1/30 | 1,275 | 1,255 | |
2 | CSC Holdings LLC | 3.375% | 2/15/31 | 82,190 | 78,078 | |
2 | CSC Holdings LLC | 4.500% | 11/15/31 | 142,670 | 143,906 | |
DISH DBS Corp. | 5.875% | 7/15/22 | 105,934 | 109,712 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
DISH DBS Corp. | 5.000% | 3/15/23 | 48,242 | 50,435 | ||
DISH DBS Corp. | 5.875% | 11/15/24 | 87,950 | 94,813 | ||
DISH DBS Corp. | 7.750% | 7/1/26 | 121,605 | 138,889 | ||
DISH DBS Corp. | 7.375% | 7/1/28 | 88,115 | 95,352 | ||
2 | DISH DBS Corp. | 5.125% | 6/1/29 | 65,475 | 64,906 | |
Embarq Corp. | 7.995% | 6/1/36 | 28,550 | 31,983 | ||
2 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 26,240 | 28,139 | |
2 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 167,919 | 173,796 | |
2 | Frontier Communications Holdings LLC | 6.750% | 5/1/29 | 78,962 | 84,674 | |
Frontier Communications Holdings LLC | 5.875% | 11/1/29 | 102,602 | 105,249 | ||
2 | Go Daddy Operating Co. LLC / GD Finance Co. Inc. | 3.500% | 3/1/29 | 116,540 | 116,653 | |
2 | Gray Television Inc. | 5.875% | 7/15/26 | 60,725 | 62,682 | |
Lamar Media Corp. | 3.750% | 2/15/28 | 31,890 | 32,491 | ||
Lamar Media Corp. | 4.000% | 2/15/30 | 75,500 | 77,062 | ||
2 | Lamar Media Corp. | 3.625% | 1/15/31 | 55,653 | 55,020 | |
2,3 | Lorca Telecom Bondco SA | 4.000% | 9/18/27 | 24,420 | 29,726 | |
Lumen Technologies Inc. | 5.800% | 3/15/22 | 15,178 | 15,583 | ||
Lumen Technologies Inc. | 6.750% | 12/1/23 | 23,920 | 26,448 | ||
Lumen Technologies Inc. | 7.500% | 4/1/24 | 17,708 | 19,909 | ||
Netflix Inc. | 5.875% | 2/15/25 | 13,420 | 15,453 | ||
2 | Netflix Inc. | 3.625% | 6/15/25 | 22,115 | 23,761 | |
Netflix Inc. | 4.375% | 11/15/26 | 1,455 | 1,652 | ||
Netflix Inc. | 5.875% | 11/15/28 | 4,860 | 6,039 | ||
2 | Outfront Media Capital LLC / Outfront Media Capital Corp. | 6.250% | 6/15/25 | 21,912 | 23,305 | |
2 | Outfront Media Capital LLC / Outfront Media Capital Corp. | 5.000% | 8/15/27 | 18,291 | 18,750 | |
2 | Outfront Media Capital LLC / Outfront Media Capital Corp. | 4.625% | 3/15/30 | 75,178 | 75,764 | |
Quebecor Media Inc. | 5.750% | 1/15/23 | 122,547 | 131,324 | ||
2 | Scripps Escrow II Inc. | 3.875% | 1/15/29 | 62,485 | 62,497 | |
2 | Scripps Escrow II Inc. | 5.375% | 1/15/31 | 8,550 | 8,548 | |
2 | Sirius XM Radio Inc. | 4.625% | 7/15/24 | 55,185 | 56,637 | |
2 | Sirius XM Radio Inc. | 5.375% | 7/15/26 | 15,825 | 16,340 | |
2 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 35,170 | 36,261 | |
2 | Sirius XM Radio Inc. | 4.125% | 7/1/30 | 75,495 | 77,926 | |
Sprint Capital Corp. | 6.875% | 11/15/28 | 24,215 | 31,220 | ||
Sprint Capital Corp. | 8.750% | 3/15/32 | 13,969 | 21,535 | ||
Sprint Communications Inc. | 6.000% | 11/15/22 | 13,000 | 13,757 | ||
Sprint Corp. | 7.250% | 9/15/21 | 5,000 | 5,037 | ||
Sprint Corp. | 7.875% | 9/15/23 | 288,614 | 326,641 | ||
Sprint Corp. | 7.125% | 6/15/24 | 70,886 | 81,517 | ||
Sprint Corp. | 7.625% | 2/15/25 | 53,661 | 63,317 | ||
Telecom Italia Capital SA | 6.375% | 11/15/33 | 12,326 | 14,596 | ||
Telecom Italia Capital SA | 6.000% | 9/30/34 | 36,250 | 41,647 | ||
Telecom Italia Capital SA | 7.721% | 6/4/38 | 37,725 | 50,648 | ||
2 | Telecom Italia SPA | 5.303% | 5/30/24 | 6,555 | 7,111 | |
2 | Telenet Finance Luxembourg Notes Sarl | 5.500% | 3/1/28 | 129,600 | 136,528 | |
Time Warner Cable LLC | 5.500% | 9/1/41 | 20,846 | 26,318 | ||
T-Mobile USA Inc. | 4.500% | 2/1/26 | 14,640 | 14,990 | ||
T-Mobile USA Inc. | 5.375% | 4/15/27 | 98,340 | 104,020 | ||
2 | T-Mobile USA Inc. | 3.375% | 4/15/29 | 63,900 | 66,589 | |
2 | T-Mobile USA Inc. | 3.500% | 4/15/31 | 74,430 | 78,141 | |
2 | UPC Broadband Finco BV | 4.875% | 7/15/31 | 91,040 | 92,837 | |
2 | UPC Holding BV | 5.500% | 1/15/28 | 74,560 | 78,452 | |
ViacomCBS Inc. | 5.875% | 2/28/57 | 82,651 | 84,236 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ViacomCBS Inc. | 6.250% | 2/28/57 | 33,146 | 37,892 | ||
2 | Videotron Ltd. | 5.375% | 6/15/24 | 12,673 | 14,001 | |
2 | Videotron Ltd. | 5.125% | 4/15/27 | 1,500 | 1,564 | |
2,4 | Videotron Ltd. | 3.625% | 6/15/28 | 97,435 | 78,391 | |
2 | Videotron Ltd. | 3.625% | 6/15/29 | 46,245 | 47,541 | |
2 | Virgin Media Secured Finance plc | 5.500% | 5/15/29 | 43,280 | 46,251 | |
2 | Virgin Media Secured Finance plc | 4.500% | 8/15/30 | 42,595 | 42,900 | |
2,5 | Virgin Media Vendor Financing Notes III DAC | 4.875% | 7/15/28 | 38,910 | 54,991 | |
2 | Virgin Media Vendor Financing Notes IV DAC | 5.000% | 7/15/28 | 38,325 | 39,047 | |
2 | Vmed O2 UK Financing I plc | 4.250% | 1/31/31 | 94,695 | 93,722 | |
2 | VTR Comunicaciones SPA | 5.125% | 1/15/28 | 20,592 | 21,492 | |
2 | VTR Finance NV | 6.375% | 7/15/28 | 9,055 | 9,606 | |
2,3 | WMG Acquisition Corp. | 3.625% | 10/15/26 | 7,030 | 8,534 | |
2,3 | WMG Acquisition Corp. | 2.750% | 7/15/28 | 18,490 | 22,462 | |
2 | WMG Acquisition Corp. | 3.875% | 7/15/30 | 58,405 | 60,001 | |
2 | WMG Acquisition Corp. | 3.000% | 2/15/31 | 62,070 | 60,097 | |
2 | Ziggo BV | 5.500% | 1/15/27 | 46,075 | 47,809 | |
2 | Ziggo BV | 4.875% | 1/15/30 | 66,840 | 68,851 | |
5,346,877 | ||||||
Consumer Discretionary (13.9%) | ||||||
2 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 48,119 | 48,521 | |
2 | 1011778 BC ULC / New Red Finance Inc. | 3.500% | 2/15/29 | 45,540 | 45,336 | |
2 | 1011778 BC ULC / New Red Finance Inc. | 4.000% | 10/15/30 | 114,019 | 113,736 | |
2 | Adient Global Holdings Ltd. | 4.875% | 8/15/26 | 29,277 | 29,936 | |
2 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 38,713 | 39,732 | |
2 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 66,970 | 66,783 | |
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 22,880 | 23,803 | ||
Asbury Automotive Group Inc. | 4.750% | 3/1/30 | 13,388 | 14,233 | ||
2 | Beacon Roofing Supply Inc. | 4.125% | 5/15/29 | 17,080 | 17,118 | |
6,7 | Beacon Roofing Supply Inc. Bank Loan, 1M USD LIBOR + 2.500% | 2.592% | 8/31/21 | 27,882 | 27,688 | |
Boyd Gaming Corp. | 4.750% | 12/1/27 | 128,570 | 133,216 | ||
2 | Builders Firstsource Inc. | 4.250% | 2/1/32 | 32,815 | 33,583 | |
2 | Caesars Entertainment Inc. | 6.250% | 7/1/25 | 64,450 | 67,995 | |
2 | Caesars Entertainment Inc. | 8.125% | 7/1/27 | 64,390 | 70,902 | |
2 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 21,605 | 22,695 | |
2 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.250% | 10/15/25 | 167,363 | 168,631 | |
2 | Carnival Corp. | 4.000% | 8/1/28 | 98,194 | 97,961 | |
Cedar Fair LP | 5.250% | 7/15/29 | 55,656 | 56,632 | ||
Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. | 5.375% | 6/1/24 | 15,675 | 15,807 | ||
Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op | 5.375% | 4/15/27 | 27,005 | 27,566 | ||
2 | Cinemark USA Inc. | 5.250% | 7/15/28 | 5,000 | 4,701 | |
2,3 | Cirsa Finance International Sarl | 6.250% | 12/20/23 | 46,210 | 55,421 | |
2 | Cirsa Finance International Sarl | 7.875% | 12/20/23 | 66,800 | 68,009 | |
2 | Clarios Global LP / Clarios US Finance Co. | 6.250% | 5/15/26 | 28,738 | 30,418 | |
2 | Clarios Global LP / Clarios US Finance Co. | 8.500% | 5/15/27 | 26,491 | 28,598 | |
6,7 | Clarios Global LP Bank Loan, 1M USD LIBOR + 3.250% | 3.342% | 8/31/21 | 23,511 | 23,306 | |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 47,989 | 47,989 | ||
Ford Motor Credit Co. LLC | 3.813% | 10/12/21 | 14,320 | 14,395 | ||
Ford Motor Credit Co. LLC | 5.596% | 1/7/22 | 28,855 | 29,396 | ||
Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 11,970 | 12,070 | ||
Ford Motor Credit Co. LLC | 3.339% | 3/28/22 | 5,750 | 5,822 | ||
Ford Motor Credit Co. LLC | 2.979% | 8/3/22 | 9,735 | 9,873 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 21,255 | 21,905 | ||
Ford Motor Credit Co. LLC | 3.350% | 11/1/22 | 41,781 | 42,715 | ||
Ford Motor Credit Co. LLC | 3.087% | 1/9/23 | 25,291 | 25,807 | ||
Ford Motor Credit Co. LLC | 4.140% | 2/15/23 | 500 | 517 | ||
Ford Motor Credit Co. LLC | 3.096% | 5/4/23 | 6,346 | 6,488 | ||
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 210 | 220 | ||
Ford Motor Credit Co. LLC | 3.370% | 11/17/23 | 10,105 | 10,464 | ||
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 15,275 | 16,345 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 16,070 | 16,788 | ||
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 4,800 | 5,202 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 6,000 | 6,315 | ||
7 | Ford Motor Credit Co. LLC, 3M USD LIBOR + 1.080% | 1.198% | 8/3/22 | 21,625 | 21,545 | |
7 | Ford Motor Credit Co. LLC, 3M USD LIBOR + 1.235% | 1.391% | 2/15/23 | 5,100 | 5,069 | |
6,7 | Great Outdoors Group LLC Bank Loan, 6M USD LIBOR + 4.250% | 5.000% | 9/30/21 | 74,486 | 74,486 | |
2 | Group 1 Automotive Inc. | 4.000% | 8/15/28 | 4,054 | 4,160 | |
2 | Hanesbrands Inc. | 4.625% | 5/15/24 | 21,770 | 23,054 | |
2 | Hanesbrands Inc. | 5.375% | 5/15/25 | 23,690 | 24,848 | |
2 | Hanesbrands Inc. | 4.875% | 5/15/26 | 93,794 | 101,343 | |
6,7 | IRB Holding Corp. Bank Loan, 3M USD LIBOR + 3.250% | 4.250% | 9/15/21 | 90,853 | 90,480 | |
2 | Jacobs Entertainment Inc. | 7.875% | 2/1/24 | 26,555 | 27,651 | |
2 | JELD-WEN Inc. | 4.625% | 12/15/25 | 8,571 | 8,734 | |
2 | JELD-WEN Inc. | 4.875% | 12/15/27 | 18,700 | 19,449 | |
2 | KAR Auction Services Inc. | 5.125% | 6/1/25 | 89,923 | 91,986 | |
KB Home | 7.500% | 9/15/22 | 6,935 | 7,412 | ||
KB Home | 7.625% | 5/15/23 | 41,775 | 45,038 | ||
KB Home | 4.800% | 11/15/29 | 15,825 | 17,285 | ||
KB Home | 4.000% | 6/15/31 | 43,745 | 45,483 | ||
2 | KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC | 4.750% | 6/1/27 | 32,810 | 34,287 | |
L Brands Inc. | 6.694% | 1/15/27 | 13,000 | 15,422 | ||
2 | L Brands Inc. | 6.625% | 10/1/30 | 68,730 | 79,274 | |
Lennar Corp. | 4.125% | 1/15/22 | 27,575 | 27,766 | ||
Lennar Corp. | 4.875% | 12/15/23 | 21,825 | 23,706 | ||
Lennar Corp. | 4.500% | 4/30/24 | 112,404 | 122,388 | ||
Lennar Corp. | 5.250% | 6/1/26 | 4,600 | 5,343 | ||
Lennar Corp. | 5.000% | 6/15/27 | 35,955 | 42,060 | ||
Lennar Corp. | 4.750% | 11/29/27 | 12,005 | 14,010 | ||
2 | Lithia Motors Inc. | 5.250% | 8/1/25 | 5,708 | 5,858 | |
2 | Lithia Motors Inc. | 4.625% | 12/15/27 | 69,275 | 73,701 | |
2 | Lithia Motors Inc. | 4.375% | 1/15/31 | 23,480 | 25,586 | |
Macy's Retail Holdings LLC | 2.875% | 2/15/23 | 3,738 | 3,773 | ||
Macy's Retail Holdings LLC | 3.625% | 6/1/24 | 32,971 | 33,806 | ||
2 | Macy's Retail Holdings LLC | 5.875% | 4/1/29 | 50,591 | 53,398 | |
Macy's Retail Holdings LLC | 4.500% | 12/15/34 | 13,975 | 12,942 | ||
Macy's Retail Holdings LLC | 5.125% | 1/15/42 | 6,915 | 6,324 | ||
Macy's Retail Holdings LLC | 4.300% | 2/15/43 | 31,200 | 25,634 | ||
2 | Masonite International Corp. | 3.500% | 2/15/30 | 12,420 | 12,513 | |
2 | Mattel Inc. | 3.375% | 4/1/26 | 18,470 | 19,208 | |
2 | Mattel Inc. | 5.875% | 12/15/27 | 76,280 | 83,370 | |
2 | Mattel Inc. | 3.750% | 4/1/29 | 25,585 | 26,965 | |
MGM Resorts International | 6.000% | 3/15/23 | 12,554 | 13,261 | ||
MGM Resorts International | 5.750% | 6/15/25 | 32,801 | 35,707 | ||
2 | Michaels Cos. Inc. | 5.250% | 5/1/28 | 32,860 | 34,005 | |
2 | Michaels Cos. Inc. | 7.875% | 5/1/29 | 59,525 | 61,742 | |
2 | NMG Holding Co. Inc. / Neiman Marcus Group LLC | 7.125% | 4/1/26 | 15,825 | 16,890 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Penn National Gaming Inc. | 4.125% | 7/1/29 | 56,620 | 55,807 | |
2 | Petsmart Inc. | 4.750% | 2/15/28 | 29,580 | 30,667 | |
2 | Petsmart Inc. | 7.750% | 2/15/29 | 7,735 | 8,481 | |
PulteGroup Inc. | 5.500% | 3/1/26 | 26,182 | 30,668 | ||
PVH Corp. | 4.625% | 7/10/25 | 35,890 | 39,974 | ||
2 | Scientific Games International Inc. | 7.000% | 5/15/28 | 67,625 | 72,977 | |
Service Corp. International | 4.625% | 12/15/27 | 27,935 | 29,465 | ||
Service Corp. International | 5.125% | 6/1/29 | 44,190 | 47,890 | ||
Service Corp. International | 3.375% | 8/15/30 | 26,810 | 26,732 | ||
Service Corp. International | 4.000% | 5/15/31 | 65,605 | 67,890 | ||
2 | Speedway Motorsports LLC / Speedway Funding II Inc. | 4.875% | 11/1/27 | 20,000 | 20,421 | |
6,7 | SRAM LLC Bank Loan, 3M USD LIBOR + 2.750% | 3.250% | 9/30/21 | 23,655 | 23,526 | |
2 | Taylor Morrison Communities Inc. | 5.875% | 6/15/27 | 9,642 | 10,932 | |
2 | Taylor Morrison Communities Inc. | 5.125% | 8/1/30 | 37,717 | 41,012 | |
Toll Brothers Finance Corp. | 5.875% | 2/15/22 | 2,325 | 2,356 | ||
Toll Brothers Finance Corp. | 4.375% | 4/15/23 | 10,000 | 10,448 | ||
Toll Brothers Finance Corp. | 4.875% | 11/15/25 | 9,595 | 10,749 | ||
Toll Brothers Finance Corp. | 4.875% | 3/15/27 | 68,200 | 77,435 | ||
Toll Brothers Finance Corp. | 3.800% | 11/1/29 | 56,775 | 61,383 | ||
Under Armour Inc. | 3.250% | 6/15/26 | 66,860 | 69,400 | ||
2 | William Carter Co. | 5.500% | 5/15/25 | 8,785 | 9,249 | |
2 | William Carter Co. | 5.625% | 3/15/27 | 12,968 | 13,568 | |
2 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 5,695 | 5,886 | |
2 | WW International Inc. | 4.500% | 4/15/29 | 50,400 | 51,280 | |
6,7 | WW International Inc. Bank Loan, 1M USD LIBOR + 3.500% | 4.000% | 8/31/21 | 11,185 | 11,159 | |
2 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 5.500% | 3/1/25 | 67,416 | 71,463 | |
2 | Yum! Brands Inc. | 7.750% | 4/1/25 | 5,165 | 5,589 | |
2 | Yum! Brands Inc. | 4.750% | 1/15/30 | 37,170 | 40,710 | |
Yum! Brands Inc. | 3.625% | 3/15/31 | 93,497 | 95,382 | ||
4,164,099 | ||||||
Consumer Staples (3.9%) | ||||||
B&G Foods Inc. | 5.250% | 4/1/25 | 60,337 | 61,977 | ||
B&G Foods Inc. | 5.250% | 9/15/27 | 58,175 | 60,567 | ||
2,5 | Bellis Acquisition Co. plc | 3.250% | 2/16/26 | 17,494 | 24,258 | |
2,3 | Darling Global Finance BV | 3.625% | 5/15/26 | 12,945 | 15,623 | |
2 | Darling Ingredients Inc. | 5.250% | 4/15/27 | 10,305 | 10,789 | |
2 | Energizer Holdings Inc. | 4.750% | 6/15/28 | 54,462 | 56,022 | |
2 | Energizer Holdings Inc. | 4.375% | 3/31/29 | 70,760 | 71,091 | |
6,7 | Froneri International Ltd. Bank Loan, 1M USD LIBOR + 2.250% | 2.342% | 8/30/21 | 30,606 | 30,027 | |
Kraft Heinz Foods Co. | 4.250% | 3/1/31 | 38,000 | 43,781 | ||
Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 102,325 | 129,647 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 35,730 | 44,453 | ||
2 | Lamb Weston Holdings Inc. | 4.875% | 11/1/26 | 8,550 | 8,819 | |
2 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 3,090 | 3,436 | |
2 | Performance Food Group Inc. | 6.875% | 5/1/25 | 6,645 | 7,070 | |
2 | Performance Food Group Inc. | 5.500% | 10/15/27 | 86,710 | 90,376 | |
2 | Performance Food Group Inc. | 4.250% | 8/1/29 | 66,570 | 67,716 | |
2 | Post Holdings Inc. | 5.750% | 3/1/27 | 27,091 | 28,229 | |
2 | Post Holdings Inc. | 5.625% | 1/15/28 | 90,650 | 95,635 | |
2 | Post Holdings Inc. | 5.500% | 12/15/29 | 16,000 | 17,140 | |
2 | Post Holdings Inc. | 4.625% | 4/15/30 | 69,934 | 71,254 | |
2 | Post Holdings Inc. | 4.500% | 9/15/31 | 100,565 | 101,735 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6,7 | Revlon Consumer Products Corp. Bank Loan, 3M USD LIBOR + 3.500% | 4.250% | 8/30/21 | 25,379 | 14,339 | |
TreeHouse Foods Inc. | 4.000% | 9/1/28 | 74,100 | 74,154 | ||
2 | United Natural Foods Inc. | 6.750% | 10/15/28 | 24,310 | 26,252 | |
1,154,390 | ||||||
Energy (8.1%) | ||||||
Apache Corp. | 4.875% | 11/15/27 | 33,350 | 35,893 | ||
Apache Corp. | 4.250% | 1/15/30 | 2,330 | ��2,436 | ||
Apache Corp. | 5.100% | 9/1/40 | 37,550 | 40,272 | ||
Apache Corp. | 5.250% | 2/1/42 | 16,724 | 17,990 | ||
Apache Corp. | 4.750% | 4/15/43 | 48,945 | 50,413 | ||
Apache Corp. | 4.250% | 1/15/44 | 23,927 | 23,515 | ||
Apache Corp. | 5.350% | 7/1/49 | 47,762 | 50,419 | ||
2 | Blue Racer Midstream LLC / Blue Racer Finance Corp. | 7.625% | 12/15/25 | 15,055 | 16,219 | |
2 | Blue Racer Midstream LLC / Blue Racer Finance Corp. | 6.625% | 7/15/26 | 24,310 | 25,219 | |
2 | Buckeye Partners LP | 4.125% | 3/1/25 | 30,350 | 31,457 | |
2 | Buckeye Partners LP | 4.500% | 3/1/28 | 61,806 | 63,701 | |
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 26,612 | 30,392 | ||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/25 | 39,084 | 44,673 | ||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/27 | 23,885 | 27,977 | ||
Cheniere Energy Partners LP | 4.500% | 10/1/29 | 38,654 | 41,692 | ||
Continental Resources Inc. | 4.375% | 1/15/28 | 54,925 | 61,282 | ||
2 | Continental Resources Inc. | 5.750% | 1/15/31 | 48,530 | 58,515 | |
Continental Resources Inc. | 4.900% | 6/1/44 | 82,859 | 95,688 | ||
DCP Midstream Operating LP | 4.950% | 4/1/22 | 38,299 | 38,849 | ||
DCP Midstream Operating LP | 3.875% | 3/15/23 | 31,988 | 32,827 | ||
DCP Midstream Operating LP | 5.600% | 4/1/44 | 26,895 | 30,895 | ||
2 | DT Midstream Inc. | 4.125% | 6/15/29 | 23,760 | 24,364 | |
2 | DT Midstream Inc. | 4.375% | 6/15/31 | 28,125 | 29,185 | |
EnLink Midstream Partners LP | 5.050% | 4/1/45 | 30,827 | 28,705 | ||
EQM Midstream Partners LP | 4.750% | 7/15/23 | 10,970 | 11,435 | ||
EQM Midstream Partners LP | 4.000% | 8/1/24 | 13,880 | 14,233 | ||
2 | EQM Midstream Partners LP | 6.000% | 7/1/25 | 56,531 | 61,516 | |
2 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 61,070 | 68,564 | |
EQM Midstream Partners LP | 5.500% | 7/15/28 | 15,541 | 16,840 | ||
2 | EQM Midstream Partners LP | 4.500% | 1/15/29 | 34,140 | 34,701 | |
2 | EQM Midstream Partners LP | 4.750% | 1/15/31 | 34,110 | 34,844 | |
EQT Corp. | 3.000% | 10/1/22 | 13,375 | 13,558 | ||
EQT Corp. | 6.625% | 2/1/25 | 4,855 | 5,610 | ||
EQT Corp. | 3.900% | 10/1/27 | 4,925 | 5,336 | ||
EQT Corp. | 7.500% | 2/1/30 | 23,887 | 31,379 | ||
2 | EQT Corp. | 3.625% | 5/15/31 | 22,785 | 24,123 | |
6,7 | NorthRiver Midstream Finance LP Bank Loan, 3M USD LIBOR + 3.250% | 3.395% | 10/1/21 | 23,048 | 22,815 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 12,500 | 12,632 | ||
Occidental Petroleum Corp. | 3.200% | 8/15/26 | 3,380 | 3,368 | ||
Occidental Petroleum Corp. | 6.375% | 9/1/28 | 8,265 | 9,645 | ||
Occidental Petroleum Corp. | 3.500% | 8/15/29 | 19,414 | 19,363 | ||
Occidental Petroleum Corp. | 6.125% | 1/1/31 | 23,416 | 27,686 | ||
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 5,650 | 5,549 | ||
Occidental Petroleum Corp. | 4.100% | 2/15/47 | 4,675 | 4,425 | ||
Occidental Petroleum Corp. | 4.200% | 3/15/48 | 4,675 | 4,477 | ||
Ovintiv Inc. | 7.200% | 11/1/31 | 4,457 | 5,957 | ||
Ovintiv Inc. | 7.375% | 11/1/31 | 43,158 | 58,285 | ||
Ovintiv Inc. | 6.500% | 8/15/34 | 25,560 | 34,034 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Ovintiv Inc. | 6.500% | 2/1/38 | 23,025 | 31,378 | ||
2 | Range Resources Corp. | 8.250% | 1/15/29 | 23,160 | 25,651 | |
2 | Rockies Express Pipeline LLC | 4.950% | 7/15/29 | 10,603 | 10,923 | |
2 | Rockies Express Pipeline LLC | 4.800% | 5/15/30 | 8,522 | 8,670 | |
2 | Rockies Express Pipeline LLC | 7.500% | 7/15/38 | 38,048 | 42,171 | |
2 | Rockies Express Pipeline LLC | 6.875% | 4/15/40 | 13,880 | 14,597 | |
Sunoco LP / Sunoco Finance Corp. | 5.500% | 2/15/26 | 72,984 | 75,115 | ||
Sunoco LP / Sunoco Finance Corp. | 6.000% | 4/15/27 | 70,255 | 73,328 | ||
Sunoco LP / Sunoco Finance Corp. | 5.875% | 3/15/28 | 18,335 | 19,287 | ||
Sunoco LP / Sunoco Finance Corp. | 4.500% | 5/15/29 | 31,095 | 31,791 | ||
2 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 5.500% | 9/15/24 | 16,214 | 16,454 | |
2 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 5.500% | 1/15/28 | 84,770 | 87,001 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 5.375% | 2/1/27 | 5,340 | 5,542 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.875% | 1/15/29 | 32,470 | 36,462 | ||
2 | Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 4.875% | 2/1/31 | 48,850 | 52,801 | |
2,8 | Transocean Guardian Ltd. | 5.875% | 1/15/24 | 39,176 | 37,116 | |
2,8 | Transocean Phoenix 2 Ltd. | 7.750% | 10/15/24 | 16,517 | 16,626 | |
2,8 | Transocean Pontus Ltd. | 6.125% | 8/1/25 | 29,865 | 29,453 | |
2,8 | Transocean Proteus Ltd. | 6.250% | 12/1/24 | 19,026 | 18,835 | |
2 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 43,770 | 44,706 | |
2 | Venture Global Calcasieu Pass LLC | 4.125% | 8/15/31 | 61,945 | 63,884 | |
Western Midstream Operating LP | 4.350% | 2/1/25 | 15,585 | 16,350 | ||
Western Midstream Operating LP | 3.950% | 6/1/25 | 14,570 | 15,081 | ||
Western Midstream Operating LP | 4.650% | 7/1/26 | 39,380 | 42,197 | ||
Western Midstream Operating LP | 4.500% | 3/1/28 | 3,250 | 3,498 | ||
Western Midstream Operating LP | 4.750% | 8/15/28 | 7,215 | 7,849 | ||
Western Midstream Operating LP | 5.450% | 4/1/44 | 21,255 | 23,859 | ||
Western Midstream Operating LP | 5.300% | 3/1/48 | 53,203 | 58,649 | ||
Western Midstream Operating LP | 6.500% | 2/1/50 | 63,863 | 75,135 | ||
2,417,362 | ||||||
Financials (8.6%) | ||||||
2 | Acrisure LLC / Acrisure Finance Inc. | 4.250% | 2/15/29 | 117,770 | 114,717 | |
2 | AerCap Global Aviation Trust | 6.500% | 6/15/45 | 125,050 | 134,628 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 37,320 | 39,954 | ||
Aircastle Ltd. | 5.000% | 4/1/23 | 33,700 | 36,010 | ||
Aircastle Ltd. | 4.125% | 5/1/24 | 53,980 | 57,759 | ||
2 | AmWINS Group Inc. | 4.875% | 6/30/29 | 9,190 | 9,371 | |
6,7,9,10 | Asurion LLC Bank Loan | —% | 7/31/27 | 48,720 | 47,827 | |
6,7 | Asurion LLC Bank Loan, 1M USD LIBOR + 3.000% | 3.092% | 8/31/21 | 98,300 | 96,632 | |
2 | Avolon Holdings Funding Ltd. | 5.250% | 5/15/24 | 50,695 | 55,806 | |
BNP Paribas SA | 6.750% | 12/29/49 | 71,120 | 73,298 | ||
2 | Carlyle Aviation Elevate | 7.000% | 10/15/24 | 20,132 | 20,190 | |
CIT Group Inc. | 5.000% | 8/15/22 | 68,866 | 71,760 | ||
2 | Compass Group Diversified Holdings LLC | 5.250% | 4/15/29 | 16,230 | 16,850 | |
Credit Acceptance Corp. | 6.625% | 3/15/26 | 3,000 | 3,171 | ||
Credit Suisse Group AG | 6.250% | 12/29/49 | 195,295 | 213,283 | ||
2 | DAE Funding LLC | 5.250% | 11/15/21 | 26,185 | 26,419 | |
2 | DAE Funding LLC | 4.500% | 8/1/22 | 52,168 | 52,168 | |
2 | DAE Funding LLC | 5.000% | 8/1/24 | 80,610 | 82,625 | |
2 | Enact Holdings Inc. | 6.500% | 8/15/25 | 70,125 | 76,102 | |
2 | Freedom Mortgage Corp. | 8.125% | 11/15/24 | 9,198 | 9,433 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Freedom Mortgage Corp. | 8.250% | 4/15/25 | 44,768 | 46,582 | |
2 | Freedom Mortgage Corp. | 7.625% | 5/1/26 | 2,652 | 2,721 | |
Genworth Holdings Inc. | 4.900% | 8/15/23 | 49,580 | 49,841 | ||
Genworth Holdings Inc. | 4.800% | 2/15/24 | 15,900 | 15,825 | ||
2 | goeasy Ltd. | 4.375% | 5/1/26 | 48,048 | 49,500 | |
2 | Home Point Capital Inc. | 5.000% | 2/1/26 | 24,104 | 22,231 | |
ING Groep NV | 6.875% | 12/29/49 | 84,910 | 88,009 | ||
2 | Intesa Sanpaolo SPA | 5.017% | 6/26/24 | 43,740 | 47,426 | |
2 | Intesa Sanpaolo SPA | 5.710% | 1/15/26 | 110,000 | 124,215 | |
2 | LD Holdings Group LLC | 6.500% | 11/1/25 | 15,880 | 16,230 | |
2 | LD Holdings Group LLC | 6.125% | 4/1/28 | 7,585 | 7,530 | |
MGIC Investment Corp. | 5.750% | 8/15/23 | 23,315 | 25,113 | ||
MGIC Investment Corp. | 5.250% | 8/15/28 | 23,805 | 25,338 | ||
2 | Nationstar Mortgage Holdings Inc. | 5.125% | 12/15/30 | 123,360 | 123,900 | |
Navient Corp. | 6.500% | 6/15/22 | 135,749 | 141,617 | ||
Navient Corp. | 5.500% | 1/25/23 | 31,790 | 33,392 | ||
Navient Corp. | 7.250% | 9/25/23 | 15,065 | 16,594 | ||
Navient Corp. | 6.750% | 6/15/26 | 1,460 | 1,638 | ||
OneMain Finance Corp. | 8.250% | 10/1/23 | 12,466 | 14,110 | ||
OneMain Finance Corp. | 6.125% | 3/15/24 | 24,420 | 26,282 | ||
OneMain Finance Corp. | 7.125% | 3/15/26 | 98,626 | 116,070 | ||
OneMain Finance Corp. | 3.500% | 1/15/27 | 20,735 | 21,086 | ||
OneMain Finance Corp. | 4.000% | 9/15/30 | 48,500 | 48,361 | ||
2 | Park Aerospace Holdings Ltd. | 5.500% | 2/15/24 | 20,000 | 22,039 | |
2 | PennyMac Financial Services Inc. | 5.375% | 10/15/25 | 62,863 | 65,988 | |
2 | PennyMac Financial Services Inc. | 4.250% | 2/15/29 | 64,300 | 62,344 | |
Radian Group Inc. | 4.500% | 10/1/24 | 73,175 | 78,159 | ||
Radian Group Inc. | 6.625% | 3/15/25 | 10,000 | 11,221 | ||
Radian Group Inc. | 4.875% | 3/15/27 | 36,000 | 39,117 | ||
2,580,482 | ||||||
Health Care (9.2%) | ||||||
2 | Acadia Healthcare Co. Inc. | 5.500% | 7/1/28 | 38,630 | 41,327 | |
2 | Acadia Healthcare Co. Inc. | 5.000% | 4/15/29 | 37,507 | 39,416 | |
2,3 | Avantor Funding Inc. | 2.625% | 11/1/25 | 76,630 | 93,238 | |
2 | Avantor Funding Inc. | 4.625% | 7/15/28 | 97,290 | 102,414 | |
2 | Bausch Health Americas Inc. | 9.250% | 4/1/26 | 17,325 | 18,720 | |
2 | Bausch Health Americas Inc. | 8.500% | 1/31/27 | 60,700 | 65,701 | |
2 | Bausch Health Cos. Inc. | 6.125% | 4/15/25 | 120,400 | 123,012 | |
2 | Bausch Health Cos. Inc. | 5.500% | 11/1/25 | 51,675 | 52,794 | |
2 | Bausch Health Cos. Inc. | 9.000% | 12/15/25 | 26,760 | 28,569 | |
2 | Bausch Health Cos. Inc. | 5.750% | 8/15/27 | 12,790 | 13,460 | |
2 | Bausch Health Cos. Inc. | 7.000% | 1/15/28 | 18,060 | 18,951 | |
2 | Bausch Health Cos. Inc. | 5.000% | 1/30/28 | 43,125 | 41,228 | |
2 | Bausch Health Cos. Inc. | 4.875% | 6/1/28 | 33,380 | 34,434 | |
2 | Bausch Health Cos. Inc. | 7.250% | 5/30/29 | 1,940 | 2,009 | |
2 | Bausch Health Cos. Inc. | 5.250% | 1/30/30 | 65,205 | 61,423 | |
2,3 | CAB SELAS | 3.375% | 2/1/28 | 21,403 | 25,581 | |
CAB SELAS | 3.375% | 2/1/28 | 24,950 | 29,820 | ||
2 | Catalent Pharma Solutions Inc. | 5.000% | 7/15/27 | 21,270 | 22,318 | |
2,3 | Catalent Pharma Solutions Inc. | 2.375% | 3/1/28 | 45,735 | 54,544 | |
2 | Catalent Pharma Solutions Inc. | 3.125% | 2/15/29 | 12,215 | 11,974 | |
2 | Centene Corp. | 5.375% | 6/1/26 | 10,000 | 10,416 | |
2 | Centene Corp. | 5.375% | 8/15/26 | 10,000 | 10,421 | |
Centene Corp. | 4.250% | 12/15/27 | 80,915 | 85,263 | ||
Centene Corp. | 4.625% | 12/15/29 | 41,455 | 45,464 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Centene Corp. | 3.000% | 10/15/30 | 18,435 | 19,176 | ||
9 | Centene Corp. | 2.625% | 8/1/31 | 28,960 | 28,988 | |
2 | Charles River Laboratories International Inc. | 4.250% | 5/1/28 | 43,614 | 45,587 | |
2 | Charles River Laboratories International Inc. | 3.750% | 3/15/29 | 24,860 | 25,485 | |
2 | Charles River Laboratories International Inc. | 4.000% | 3/15/31 | 22,050 | 23,239 | |
2 | CHS/Community Health Systems Inc. | 6.625% | 2/15/25 | 33,710 | 35,366 | |
2 | CHS/Community Health Systems Inc. | 5.625% | 3/15/27 | 44,915 | 47,570 | |
2 | CHS/Community Health Systems Inc. | 6.000% | 1/15/29 | 26,435 | 28,130 | |
2 | CHS/Community Health Systems Inc. | 4.750% | 2/15/31 | 28,895 | 29,335 | |
2,3 | Grifols SA | 1.625% | 2/15/25 | 27,965 | 33,461 | |
2,3 | Grifols SA | 2.250% | 11/15/27 | 42,955 | 51,861 | |
HCA Inc. | 5.875% | 5/1/23 | 35,722 | 38,677 | ||
HCA Inc. | 5.375% | 2/1/25 | 31,390 | 35,538 | ||
HCA Inc. | 7.690% | 6/15/25 | 4,510 | 5,503 | ||
HCA Inc. | 5.875% | 2/15/26 | 110,595 | 128,878 | ||
HCA Inc. | 5.625% | 9/1/28 | 12,585 | 15,132 | ||
HCA Inc. | 5.875% | 2/1/29 | 39,095 | 47,824 | ||
HCA Inc. | 3.500% | 9/1/30 | 207,655 | 224,814 | ||
2 | HCRX Investments Holdco LP | 4.500% | 8/1/29 | 9,640 | 9,838 | |
2 | Hill-Rom Holdings Inc. | 4.375% | 9/15/27 | 9,690 | 10,133 | |
2 | Hologic Inc. | 3.250% | 2/15/29 | 48,275 | 48,749 | |
6,7 | ICON Luxembourg Sarl Bank Loan, 3M USD LIBOR + 2.500% | 3.000% | 9/27/21 | 23,248 | 23,190 | |
6,7 | ICON Luxembourg Sarl Bank Loan, 3M USD LIBOR + 2.500% | 3.000% | 9/27/21 | 5,792 | 5,778 | |
2 | IQVIA Inc. | 5.000% | 10/15/26 | 46,310 | 47,701 | |
2 | IQVIA Inc. | 5.000% | 5/15/27 | 99,992 | 104,290 | |
2,3 | IQVIA Inc. | 2.250% | 1/15/28 | 41,670 | 50,010 | |
2,3 | IQVIA Inc. | 2.875% | 6/15/28 | 61,595 | 75,593 | |
2 | Jaguar Holding Co. II / Pharmaceutical Product Development LP | 4.625% | 6/15/25 | 13,115 | 13,754 | |
2 | Jaguar Holding Co. II / Pharmaceutical Product Development LP | 5.000% | 6/15/28 | 15,565 | 16,816 | |
2 | Jazz Securities DAC | 4.375% | 1/15/29 | 16,780 | 17,513 | |
2 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 71,270 | 73,091 | |
2 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 5.125% | 4/30/31 | 36,240 | 37,334 | |
2 | Par Pharmaceutical Inc. | 7.500% | 4/1/27 | 24,913 | 25,435 | |
2 | Teleflex Inc. | 4.250% | 6/1/28 | 31,312 | 32,647 | |
Tenet Healthcare Corp. | 4.625% | 7/15/24 | 9,660 | 9,792 | ||
2 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 27,250 | 27,889 | |
2 | Tenet Healthcare Corp. | 7.500% | 4/1/25 | 13,440 | 14,452 | |
2 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 8,930 | 9,238 | |
2 | Tenet Healthcare Corp. | 4.625% | 6/15/28 | 8,020 | 8,289 | |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 13,080 | 13,146 | ||
Teva Pharmaceutical Finance Netherlands III BV | 3.150% | 10/1/26 | 94,130 | 90,319 | ||
Teva Pharmaceutical Finance Netherlands III BV | 6.750% | 3/1/28 | 75,000 | 83,385 | ||
2,745,443 | ||||||
Industrials (6.1%) | ||||||
2 | APX Group Inc. | 5.750% | 7/15/29 | 15,735 | 15,794 | |
6,7,9,10 | APX Group Inc. Bank Loan | —% | 7/10/28 | 37,215 | 36,936 | |
2 | Aramark Services Inc. | 5.000% | 4/1/25 | 54,020 | 55,437 | |
2 | Aramark Services Inc. | 5.000% | 2/1/28 | 21,627 | 22,491 | |
2 | Ashtead Capital Inc. | 4.125% | 8/15/25 | 46,175 | 47,174 | |
2 | Ashtead Capital Inc. | 5.250% | 8/1/26 | 17,715 | 18,422 | |
2 | Ashtead Capital Inc. | 4.375% | 8/15/27 | 46,175 | 48,488 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Brand Industrial Services Inc. | 8.500% | 7/15/25 | 118,790 | 121,005 | |
6,7 | Brown Group Holding LLC Bank Loan, 3M USD LIBOR + 2.750% | 3.250% | 9/9/21 | 96,888 | 96,126 | |
2 | BWX Technologies Inc. | 4.125% | 6/30/28 | 28,086 | 28,795 | |
2 | BWX Technologies Inc. | 4.125% | 4/15/29 | 48,280 | 49,453 | |
2 | Clean Harbors Inc. | 4.875% | 7/15/27 | 47,390 | 49,771 | |
2 | Clean Harbors Inc. | 5.125% | 7/15/29 | 25,851 | 28,256 | |
2 | Core & Main LP | 6.125% | 8/15/25 | 5,535 | 5,627 | |
6,7 | Core & Main LP Bank Loan, 3M USD LIBOR + 2.750% | 3.750% | 10/27/21 | 9,172 | 9,157 | |
2 | First Student Bidco Inc. / First Transit Parent Inc. | 4.000% | 7/31/29 | 68,058 | 68,172 | |
2 | Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | 5.750% | 1/20/26 | 17,345 | 18,178 | |
2 | Herc Holdings Inc. | 5.500% | 7/15/27 | 197,742 | 207,443 | |
2,3 | Loxam SAS | 4.250% | 4/15/24 | 5,520 | 6,607 | |
3 | Loxam SAS | 2.875% | 4/15/26 | 19,380 | 22,916 | |
3 | Loxam SAS | 3.750% | 7/15/26 | 23,820 | 28,856 | |
2 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 6,225 | 6,443 | |
2,3 | Q-Park Holding I BV | 1.500% | 3/1/25 | 27,380 | 30,961 | |
2,3 | Q-Park Holding I BV | 2.000% | 3/1/27 | 35,245 | 39,374 | |
2 | Sensata Technologies BV | 4.875% | 10/15/23 | 10,000 | 10,704 | |
2 | Sensata Technologies BV | 5.625% | 11/1/24 | 19,290 | 21,498 | |
2 | Sensata Technologies BV | 5.000% | 10/1/25 | 52,750 | 58,863 | |
2 | Sensata Technologies Inc. | 4.375% | 2/15/30 | 12,765 | 13,658 | |
2 | Sensata Technologies Inc. | 3.750% | 2/15/31 | 61,723 | 62,186 | |
2 | Spirit AeroSystems Inc. | 5.500% | 1/15/25 | 24,250 | 25,513 | |
2,3 | SSANGYONG C&E Co. Ltd. | 4.375% | 7/15/27 | 8,900 | 11,035 | |
2 | Stericycle Inc. | 3.875% | 1/15/29 | 8,425 | 8,534 | |
2 | TK Elevator U.S. Newco Inc. | 5.250% | 7/15/27 | 46,205 | 48,810 | |
2 | TransDigm Inc. | 6.250% | 3/15/26 | 20,000 | 20,998 | |
2 | United Airlines Inc. | 4.375% | 4/15/26 | 9,000 | 9,259 | |
2 | United Airlines Inc. | 4.625% | 4/15/29 | 10,230 | 10,527 | |
United Rentals North America Inc. | 5.875% | 9/15/26 | 62,210 | 64,302 | ||
United Rentals North America Inc. | 5.500% | 5/15/27 | 76,330 | 80,300 | ||
United Rentals North America Inc. | 4.875% | 1/15/28 | 71,121 | 75,192 | ||
United Rentals North America Inc. | 5.250% | 1/15/30 | 24,410 | 26,681 | ||
United Rentals North America Inc. | 4.000% | 7/15/30 | 57,240 | 59,515 | ||
United Rentals North America Inc. | 3.875% | 2/15/31 | 48,454 | 49,874 | ||
9 | United Rentals North America Inc. | 3.750% | 1/15/32 | 32,110 | 32,110 | |
2,3 | Verisure Holding AB | 3.250% | 2/15/27 | 23,594 | 28,067 | |
2,3 | Verisure Midholding AB | 5.250% | 2/15/29 | 7,557 | 9,231 | |
2,3 | Vertical Holdco GmbH | 6.625% | 7/15/28 | 6,200 | 7,822 | |
2 | Vertical Holdco GmbH | 7.625% | 7/15/28 | 2,130 | 2,312 | |
2 | WESCO Distribution Inc. | 7.125% | 6/15/25 | 10,000 | 10,774 | |
1,809,647 | ||||||
Materials (9.2%) | ||||||
2 | ARD Finance SA | 6.500% | 6/30/27 | 18,990 | 20,020 | |
2 | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | 3.250% | 9/1/28 | 42,625 | 42,683 | |
2 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 6.000% | 2/15/25 | 135,016 | 139,177 | |
2 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.125% | 8/15/26 | 51,375 | 53,018 | |
2,5 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.750% | 7/15/27 | 5,520 | 7,841 | |
2 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 8/15/27 | 34,795 | 35,574 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 8/15/27 | 80,280 | 81,999 | |
3 | Ball Corp. | 1.500% | 3/15/27 | 68,205 | 82,308 | |
2 | Berry Global Inc. | 4.500% | 2/15/26 | 36,204 | 36,928 | |
2 | Berry Global Inc. | 4.875% | 7/15/26 | 53,380 | 56,302 | |
2 | Berry Global Inc. | 5.625% | 7/15/27 | 7,055 | 7,445 | |
Cemex SAB de CV | 7.375% | 6/5/27 | 17,810 | 20,156 | ||
2 | Cemex SAB de CV | 5.450% | 11/19/29 | 2,000 | 2,196 | |
Cemex SAB de CV | 5.450% | 11/19/29 | 18,910 | 20,754 | ||
2 | Cemex SAB de CV | 3.875% | 7/11/31 | 45,620 | 47,175 | |
2,3 | CeramTec BondCo GmbH | 5.250% | 12/15/25 | 13,800 | 16,649 | |
CF Industries Inc. | 4.950% | 6/1/43 | 6,026 | 7,418 | ||
CF Industries Inc. | 5.375% | 3/15/44 | 17,636 | 22,676 | ||
Chemours Co. | 7.000% | 5/15/25 | 88,595 | 91,441 | ||
Chemours Co. | 5.375% | 5/15/27 | 31,740 | 34,452 | ||
Commercial Metals Co. | 4.875% | 5/15/23 | 6,540 | 6,878 | ||
Commercial Metals Co. | 5.375% | 7/15/27 | 20,685 | 21,823 | ||
Commercial Metals Co. | 3.875% | 2/15/31 | 4,660 | 4,696 | ||
2 | Constellium SE | 5.875% | 2/15/26 | 31,780 | 32,606 | |
2 | Constellium SE | 5.625% | 6/15/28 | 11,954 | 12,788 | |
2 | Constellium SE | 3.750% | 4/15/29 | 26,650 | 26,631 | |
Crown Americas LLC / Crown Americas Capital Corp. IV | 4.500% | 1/15/23 | 61,200 | 64,070 | ||
Crown Americas LLC / Crown Americas Capital Corp. V | 4.250% | 9/30/26 | 16,434 | 17,654 | ||
Crown Americas LLC / Crown Americas Capital Corp. VI | 4.750% | 2/1/26 | 20,130 | 20,840 | ||
2,3 | Crown European Holdings SA | 2.875% | 2/1/26 | 51,200 | 64,773 | |
2,3 | Diamond BC BV | 5.625% | 8/15/25 | 102,750 | 123,590 | |
2 | Flex Acquisition Co. Inc. | 6.875% | 1/15/25 | 127,475 | 129,070 | |
2 | Flex Acquisition Co. Inc. | 7.875% | 7/15/26 | 33,275 | 34,728 | |
Graphic Packaging International LLC | 4.125% | 8/15/24 | 23,440 | 25,030 | ||
2 | Graphic Packaging International LLC | 4.750% | 7/15/27 | 7,870 | 8,526 | |
2 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 74,555 | 75,644 | |
2 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 17,280 | 17,215 | |
2 | Novelis Corp. | 5.875% | 9/30/26 | 68,673 | 71,229 | |
2,9 | Novelis Corp. | 3.250% | 11/15/26 | 24,245 | 24,586 | |
2 | Novelis Corp. | 4.750% | 1/30/30 | 51,958 | 55,347 | |
2,9 | Novelis Corp. | 3.875% | 8/15/31 | 24,990 | 25,271 | |
2,3 | OCI NV | 3.125% | 11/1/24 | 31,590 | 38,117 | |
2 | OCI NV | 5.250% | 11/1/24 | 60,643 | 62,393 | |
2 | OCI NV | 4.625% | 10/15/25 | 22,145 | 22,941 | |
2 | OI European Group BV | 4.000% | 3/15/23 | 22,215 | 22,899 | |
Olin Corp. | 5.125% | 9/15/27 | 61,215 | 63,844 | ||
Olin Corp. | 5.625% | 8/1/29 | 56,960 | 62,494 | ||
Olin Corp. | 5.000% | 2/1/30 | 35,955 | 38,471 | ||
2 | Owens-Brockway Glass Container Inc. | 5.875% | 8/15/23 | 70,800 | 75,965 | |
2 | Owens-Brockway Glass Container Inc. | 5.375% | 1/15/25 | 29,319 | 31,380 | |
2 | Owens-Brockway Glass Container Inc. | 6.375% | 8/15/25 | 42,000 | 46,923 | |
2 | Owens-Brockway Glass Container Inc. | 6.625% | 5/13/27 | 42,690 | 46,216 | |
2 | Sealed Air Corp. | 4.000% | 12/1/27 | 8,853 | 9,460 | |
Silgan Holdings Inc. | 4.750% | 3/15/25 | 4,222 | 4,281 | ||
Silgan Holdings Inc. | 4.125% | 2/1/28 | 14,225 | 14,763 | ||
3 | Silgan Holdings Inc. | 2.250% | 6/1/28 | 43,070 | 51,343 | |
2 | Standard Industries Inc. | 5.000% | 2/15/27 | 23,785 | 24,620 | |
2 | Standard Industries Inc. | 4.750% | 1/15/28 | 26,914 | 28,010 | |
2 | Standard Industries Inc. | 4.375% | 7/15/30 | 99,980 | 102,816 | |
2 | Standard Industries Inc. | 3.375% | 1/15/31 | 119,950 | 115,949 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6,7 | Starfruit Finco B.V. Bank Loan, 1M USD LIBOR + 2.750% | 2.835% | 8/23/21 | 16,789 | 16,563 | |
2,3 | Trivium Packaging Finance BV | 3.750% | 8/15/26 | 6,095 | 7,305 | |
2 | Trivium Packaging Finance BV | 5.500% | 8/15/26 | 59,455 | 62,279 | |
2 | Tronox Inc. | 4.625% | 3/15/29 | 70,115 | 71,386 | |
2 | Valvoline Inc. | 3.625% | 6/15/31 | 35,760 | 35,582 | |
2,745,207 | ||||||
Real Estate (1.2%) | ||||||
GLP Capital LP / GLP Financing II Inc. | 5.250% | 6/1/25 | 5,000 | 5,642 | ||
GLP Capital LP / GLP Financing II Inc. | 5.375% | 4/15/26 | 27,875 | 32,249 | ||
Hospitality Properties Trust | 5.250% | 2/15/26 | 6,650 | 6,718 | ||
Hospitality Properties Trust | 4.950% | 2/15/27 | 7,565 | 7,454 | ||
Hospitality Properties Trust | 3.950% | 1/15/28 | 6,790 | 6,368 | ||
Hospitality Properties Trust | 4.375% | 2/15/30 | 17,714 | 16,601 | ||
2 | Iron Mountain Inc. | 4.875% | 9/15/27 | 26,970 | 27,972 | |
2 | Iron Mountain Inc. | 4.875% | 9/15/29 | 67,770 | 70,952 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 5.625% | 5/1/24 | 5,000 | 5,420 | ||
Service Properties Trust | 7.500% | 9/15/25 | 3,945 | 4,448 | ||
Service Properties Trust | 4.750% | 10/1/26 | 32,558 | 31,971 | ||
Service Properties Trust | 5.500% | 12/15/27 | 32,810 | 34,911 | ||
Service Properties Trust | 4.950% | 10/1/29 | 2,884 | 2,802 | ||
2 | VICI Properties LP / VICI Note Co. Inc. | 4.250% | 12/1/26 | 54,048 | 56,211 | |
2 | VICI Properties LP / VICI Note Co. Inc. | 3.750% | 2/15/27 | 15,724 | 16,185 | |
2 | VICI Properties LP / VICI Note Co. Inc. | 4.625% | 12/1/29 | 23,225 | 24,885 | |
350,789 | ||||||
Technology (11.3%) | ||||||
2 | Black Knight InfoServ LLC | 3.625% | 9/1/28 | 69,188 | 69,393 | |
2 | Booz Allen Hamilton Inc. | 3.875% | 9/1/28 | 10,820 | 11,040 | |
2 | Booz Allen Hamilton Inc. | 4.000% | 7/1/29 | 14,295 | 14,735 | |
2 | BY Crown Parent LLC / BY Bond Finance Inc. | 4.250% | 1/31/26 | 45,480 | 47,930 | |
CDK Global Inc. | 5.000% | 10/15/24 | 6,015 | 6,628 | ||
CDK Global Inc. | 4.875% | 6/1/27 | 39,837 | 41,944 | ||
2 | CDK Global Inc. | 5.250% | 5/15/29 | 46,725 | 50,897 | |
CDW LLC / CDW Finance Corp. | 5.500% | 12/1/24 | 12,007 | 13,246 | ||
CDW LLC / CDW Finance Corp. | 4.125% | 5/1/25 | 61,233 | 63,577 | ||
CDW LLC / CDW Finance Corp. | 4.250% | 4/1/28 | 77,724 | 80,872 | ||
CDW LLC / CDW Finance Corp. | 3.250% | 2/15/29 | 101,684 | 102,408 | ||
2 | Change Healthcare Holdings LLC / Change Healthcare Finance Inc. | 5.750% | 3/1/25 | 111,020 | 112,521 | |
2 | Dun & Bradstreet Corp. | 6.875% | 8/15/26 | 16,624 | 17,619 | |
6,7 | Dun & Bradstreet Corp. Bank Loan, 1M USD LIBOR + 3.250% | 3.336% | 8/27/21 | 102,057 | 101,148 | |
2 | Entegris Inc. | 4.375% | 4/15/28 | 67,165 | 70,583 | |
2 | Entegris Inc. | 3.625% | 5/1/29 | 20,155 | 20,677 | |
2 | Gartner Inc. | 3.625% | 6/15/29 | 18,960 | 19,428 | |
2 | Gartner Inc. | 3.750% | 10/1/30 | 44,640 | 45,997 | |
2 | Imola Merger Corp. | 4.750% | 5/15/29 | 242,905 | 250,820 | |
Microchip Technology Inc. | 4.250% | 9/1/25 | 45,630 | 47,970 | ||
2 | MSCI Inc. | 5.375% | 5/15/27 | 28,181 | 29,927 | |
2 | MSCI Inc. | 4.000% | 11/15/29 | 58,180 | 62,000 | |
2 | MSCI Inc. | 3.625% | 9/1/30 | 10,965 | 11,535 | |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 4.500% | 7/15/29 | 72,575 | 73,185 | |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 4.750% | 7/15/31 | 72,575 | 73,232 | |
Nokia of America Corp. | 6.500% | 1/15/28 | 56,315 | 60,915 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Nokia of America Corp. | 6.450% | 3/15/29 | 88,747 | 98,714 | ||
Nokia Oyj | 4.375% | 6/12/27 | 59,355 | 65,608 | ||
Nokia Oyj | 6.625% | 5/15/39 | 129,409 | 178,133 | ||
NortonLifeLock Inc. | 3.950% | 6/15/22 | 11,455 | 11,633 | ||
2 | NortonLifeLock Inc. | 5.000% | 4/15/25 | 132,140 | 133,914 | |
2 | Open Text Corp. | 5.875% | 6/1/26 | 91,270 | 94,233 | |
2 | Open Text Corp. | 3.875% | 2/15/28 | 99,067 | 102,312 | |
2 | Open Text Holdings Inc. | 4.125% | 2/15/30 | 95,210 | 98,555 | |
6,7 | Peraton Corp. Bank Loan, 1M USD LIBOR + 3.750% | 4.500% | 8/31/21 | 53,262 | 53,151 | |
2 | Presidio Holdings Inc. | 4.875% | 2/1/27 | 90,529 | 93,457 | |
2 | Presidio Holdings Inc. | 8.250% | 2/1/28 | 54,820 | 59,568 | |
2 | PTC Inc. | 3.625% | 2/15/25 | 18,000 | 18,499 | |
2 | PTC Inc. | 4.000% | 2/15/28 | 20,370 | 21,059 | |
Qorvo Inc. | 4.375% | 10/15/29 | 78,508 | 85,494 | ||
2 | Qorvo Inc. | 3.375% | 4/1/31 | 67,500 | 70,107 | |
2 | Square Inc. | 2.750% | 6/1/26 | 41,505 | 42,425 | |
6,7 | SS&C European Holdings Sarl Bank Loan, 1M USD LIBOR + 1.750% | 1.842% | 8/31/21 | 15,985 | 15,731 | |
2 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 147,721 | 156,247 | |
6,7 | SS&C Technologies Inc. Bank Loan, 1M USD LIBOR + 1.750% | 1.842% | 8/31/21 | 20,178 | 19,858 | |
6,7 | SS&C Technologies Inc. Bank Loan, 1M USD LIBOR + 1.750% | 1.842% | 8/31/21 | 18,490 | 18,197 | |
Western Digital Corp. | 4.750% | 2/15/26 | 113,443 | 125,982 | ||
Xerox Corp. | 4.375% | 3/15/23 | 70,356 | 73,524 | ||
Xerox Corp. | 4.800% | 3/1/35 | 29,269 | 29,814 | ||
Xerox Corp. | 6.750% | 12/15/39 | 39,756 | 45,117 | ||
2 | Xerox Holdings Corp. | 5.000% | 8/15/25 | 5,145 | 5,477 | |
2 | Xerox Holdings Corp. | 5.500% | 8/15/28 | 163,030 | 171,894 | |
3,388,930 | ||||||
Utilities (1.6%) | ||||||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.625% | 5/20/24 | 46,910 | 51,278 | ||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.500% | 5/20/25 | 21,659 | 23,878 | ||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.875% | 8/20/26 | 46,910 | 52,558 | ||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.750% | 5/20/27 | 54,170 | 61,022 | ||
2 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 18,731 | 19,850 | |
2 | Clearway Energy Operating LLC | 3.750% | 2/15/31 | 81,950 | 82,320 | |
2 | NextEra Energy Operating Partners LP | 4.250% | 7/15/24 | 33,229 | 35,111 | |
2 | NextEra Energy Operating Partners LP | 4.250% | 9/15/24 | 3,532 | 3,731 | |
2 | NextEra Energy Operating Partners LP | 3.875% | 10/15/26 | 104,720 | 111,249 | |
2 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 24,185 | 26,039 | |
2 | Suburban Propane Partners LP/Suburban Energy Finance Corp. | 5.000% | 6/1/31 | 19,605 | 20,370 | |
487,406 | ||||||
Total Corporate Bonds (Cost $25,887,632) | 27,190,632 | |||||
Shares | ||||||
Preferred Stock (0.0%) | ||||||
7 | GMAC Capital Trust I Pfd., 3M USD LIBOR + 5.785% (Cost $9,005) | 6.065% | 8/15/21 | 344,755 | 9,174 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Temporary Cash Investments (4.1%) | ||||||
Repurchase Agreements (3.4%) | ||||||
Bank of America Securities LLC (Dated 7/30/21, Repurchase Value $44,600,000, collateralized by U.S. Treasury Note/Bond 2.375%, 2/29/24, with a value of $45,492,000) | 0.050% | 8/2/21 | 44,600 | 44,600 | ||
Credit Agricole Securities (USA) Inc. (Dated 7/30/21, Repurchase Value $86,200,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.625%–0.750%, 2/15/43–2/15/45, with a value of $87,924,000) | 0.050% | 8/2/21 | 86,200 | 86,200 | ||
JP Morgan Securities LLC (Dated 7/30/21, Repurchase Value $359,701,000, collateralized by U.S. Treasury Note/Bond 0.125%, 11/30/22, with a value of $366,894,000) | 0.050% | 8/2/21 | 359,700 | 359,700 | ||
RBC Capital Markets LLC (Dated 7/30/21, Repurchase Value $244,801,000, collateralized by U.S. Treasury Note/Bond 0.125%–3.000%, 12/31/22–11/15/45, with a value of $249,696,000) | 0.050% | 8/2/21 | 244,800 | 244,800 | ||
TD Securities (USA) LLC (Dated 7/30/21, Repurchase Value $286,701,000, collateralized by Federal Home Loan Mortgage Corp. 2.500%–4.500%, 7/1/36–3/1/51, with a value of $292,434,000) | 0.050% | 8/2/21 | 286,700 | 286,700 | ||
1,022,000 | ||||||
U.S. Government and Agency Obligations (0.7%) | ||||||
U.S. Treasury Bill | 0.025% | 11/12/21 | 200,000 | 199,974 | ||
Total Temporary Cash Investments (Cost $1,221,986) | 1,221,974 | |||||
Total Investments (99.8%) (Cost $28,506,489) | 29,809,800 | |||||
Other Assets and Liabilities—Net (0.2%) | 56,914 | |||||
Net Assets (100%) | 29,866,714 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $58,886,000 have been segregated as initial margin for open centrally cleared swap contracts. |
2 | 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 July 31, 2021, the aggregate value was $15,912,885,000, representing 53.3% of net assets. |
3 | Face amount denominated in euro. |
4 | Face amount denominated in Canadian dollars. |
5 | Face amount denominated in British pounds. |
6 | Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At July 31, 2021, the aggregate value of these securities was $858,120,000, representing 3.1% of net assets. |
7 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
8 | 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. |
9 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021. |
10 | Represents an unsettled loan as of July 31, 2021. The coupon rate is not known until the settlement date. |
1M—1-month. | |
3M—3-month. | |
6M—6-month. | |
LIBOR—London Interbank Offered Rate. |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Goldman Sachs International | 8/31/21 | USD | 77,642 | CAD | 97,435 | — | (453) |
BNP Paribas | 8/31/21 | USD | 1,156,202 | EUR | 979,550 | — | (6,484) |
Citibank, N.A. | 8/31/21 | USD | 20,145 | EUR | 17,017 | — | (54) |
Bank of America, N.A. | 8/31/21 | USD | 82,242 | GBP | 59,664 | — | (697) |
— | (7,688) |
CAD—Canadian dollar. |
EUR—euro. |
GBP—British pound. |
USD—U.S. dollar. |
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-HY-S36-V1 | 6/21/26 | USD 782,500 | 5.000 | 77,255 | 3,658 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
CDX-NA-HY-BB-S34-V1/N/A | 6/21/25 | GSI | 102,430 | 5.000 | 12,486 | 4,421 | 8,065 | — |
CDX-NA-HY-BB-S34-V1/N/A | 6/21/25 | GSI | 55,000 | 5.000 | 6,704 | 2,261 | 4,443 | — |
CDX-NA-HY-BB-S34-V1/N/A | 6/21/25 | GSI | 55,000 | 5.000 | 6,705 | 2,312 | 4,393 | — |
CDX-NA-HY-BB-S34-V1/N/A | 6/21/25 | JPMC | 50,000 | 5.000 | 6,095 | 3,047 | 3,048 | — |
31,990 | 12,041 | 19,949 | — |
1 Periodic premium received/paid quarterly. |
GSI—Goldman Sachs International. |
JPMC—JPMorgan Chase Bank, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Unaffiliated Issuers (Cost $28,506,489) | 29,809,800 |
Investment in Vanguard | 1,013 |
Cash | 4 |
Foreign Currency, at Value (Cost $60,659) | 60,682 |
Receivables for Investment Securities Sold | 25,937 |
Receivables for Accrued Income | 333,165 |
Receivables for Capital Shares Issued | 26,373 |
Swap Premiums Paid | 12,041 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 19,949 |
Total Assets | 30,288,964 |
Liabilities | |
Payables for Investment Securities Purchased | 361,866 |
Payables to Investment Advisor | 2,112 |
Payables for Capital Shares Redeemed | 24,435 |
Payables for Distributions | 23,233 |
Payables to Vanguard | 1,475 |
Variation Margin Payable—Centrally Cleared Swap Contracts | 1,441 |
Unrealized Depreciation—Forward Currency Contracts | 7,688 |
Total Liabilities | 422,250 |
Net Assets | 29,866,714 |
At July 31, 2021, net assets consisted of: | |
Paid-in Capital | 29,332,273 |
Total Distributable Earnings (Loss) | 534,441 |
Net Assets | 29,866,714 |
Investor Shares—Net Assets | |
Applicable to 654,840,803 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,931,407 |
Net Asset Value Per Share—Investor Shares | $6.00 |
Admiral Shares—Net Assets | |
Applicable to 4,319,952,061 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 25,935,307 |
Net Asset Value Per Share—Admiral Shares | $6.00 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 4,022 |
Interest | 615,623 |
Total Income | 619,645 |
Expenses | |
Investment Advisory Fees—Note B | 4,176 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 3,553 |
Management and Administrative—Admiral Shares | 11,627 |
Marketing and Distribution—Investor Shares | 228 |
Marketing and Distribution—Admiral Shares | 694 |
Custodian Fees | 69 |
Shareholders’ Reports—Investor Shares | 33 |
Shareholders’ Reports—Admiral Shares | 78 |
Trustees’ Fees and Expenses | 21 |
Total Expenses | 20,479 |
Net Investment Income | 599,166 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 87,212 |
Swap Contracts | 48,608 |
Forward Currency Contracts | 44,281 |
Foreign Currencies | (1,369) |
Realized Net Gain (Loss) | 178,732 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 96,854 |
Swap Contracts | (21,963) |
Forward Currency Contracts | (10,724) |
Foreign Currencies | (116) |
Change in Unrealized Appreciation (Depreciation) | 64,051 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 841,949 |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 599,166 | 1,205,693 | |
Realized Net Gain (Loss) | 178,732 | (617,006) | |
Change in Unrealized Appreciation (Depreciation) | 64,051 | 695,006 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 841,949 | 1,283,693 | |
Distributions | |||
Investor Shares | (79,967) | (176,641) | |
Admiral Shares | (533,546) | (1,088,594) | |
Total Distributions | (613,513) | (1,265,235) | |
Capital Share Transactions | |||
Investor Shares | 24,701 | (201,354) | |
Admiral Shares | 939,116 | 2,054,072 | |
Net Increase (Decrease) from Capital Share Transactions | 963,817 | 1,852,718 | |
Total Increase (Decrease) | 1,192,253 | 1,871,176 | |
Net Assets | |||
Beginning of Period | 28,674,461 | 26,803,285 | |
End of Period | 29,866,714 | 28,674,461 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $5.96 | $5.94 | $5.67 | $5.91 | $5.86 | $5.46 |
Investment Operations | ||||||
Net Investment Income | .1211 | .2591 | .3021 | .3171 | .3091 | .315 |
Net Realized and Unrealized Gain (Loss) on Investments | .043 | .034 | .278 | (.230) | .048 | .404 |
Total from Investment Operations | .164 | .293 | .580 | .087 | .357 | .719 |
Distributions | ||||||
Dividends from Net Investment Income | (.124) | (.273) | (.310) | (.327) | (.307) | (.317) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.002) |
Total Distributions | (.124) | (.273) | (.310) | (.327) | (.307) | (.319) |
Net Asset Value, End of Period | $6.00 | $5.96 | $5.94 | $5.67 | $5.91 | $5.86 |
Total Return2 | 2.78% | 5.22% | 10.45% | 1.61% | 6.19% | 13.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,931 | $3,877 | $4,102 | $3,557 | $4,146 | $4,064 |
Ratio of Total Expenses to Average Net Assets | 0.23% | 0.23% | 0.23% | 0.23% | 0.23% | 0.23% |
Ratio of Net Investment Income to Average Net Assets | 4.08% | 4.51% | 5.16% | 5.55% | 5.20% | 5.48% |
Portfolio Turnover Rate | 15% | 38% | 28% | 21% | 27% | 26% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $5.96 | $5.94 | $5.67 | $5.91 | $5.86 | $5.46 |
Investment Operations | ||||||
Net Investment Income | .1231 | .2651 | .3081 | .3231 | .3141 | .320 |
Net Realized and Unrealized Gain (Loss) on Investments | .043 | .033 | .278 | (.230) | .049 | .404 |
Total from Investment Operations | .166 | .298 | .586 | .093 | .363 | .724 |
Distributions | ||||||
Dividends from Net Investment Income | (.126) | (.278) | (.316) | (.333) | (.313) | (.322) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.002) |
Total Distributions | (.126) | (.278) | (.316) | (.333) | (.313) | (.324) |
Net Asset Value, End of Period | $6.00 | $5.96 | $5.94 | $5.67 | $5.910 | $5.86 |
Total Return2 | 2.83% | 5.32% | 10.55% | 1.71% | 6.29% | 13.54% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $25,935 | $24,798 | $22,701 | $19,285 | $20,721 | $17,718 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to Average Net Assets | 4.18% | 4.60% | 5.26% | 5.65% | 5.30% | 5.58% |
Portfolio Turnover Rate | 15% | 38% | 28% | 21% | 27% | 26% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | Wellington Management Company llp provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the six months ended July 31, 2021, the investment advisory fee represented an effective annual rate of 0.03% of the fund’s average net assets. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 1,388,020 | — | 1,388,020 |
Corporate Bonds | — | 27,190,632 | — | 27,190,632 |
Preferred Stock | — | 9,174 | — | 9,174 |
Temporary Cash Investments | — | 1,221,974 | — | 1,221,974 |
Total | — | 29,809,800 | — | 29,809,800 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | 3,6581 | 19,949 | — | 23,607 |
Liabilities | ||||
Forward Currency Contracts | — | 7,688 | — | 7,688 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Premiums Paid | — | 12,041 | 12,041 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | 3,658 | 3,658 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | 19,949 | 19,949 |
Total Assets | — | 35,648 | 35,648 |
Unrealized Depreciation—Forward Currency Contracts | 7,688 | — | 7,688 |
Total Liabilities | 7,688 | — | 7,688 |
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Contracts | — | 48,608 | 48,608 |
Forward Currency Contracts | 44,281 | — | 44,281 |
Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) | |
Realized Net Gain (Loss) on Derivatives | 44,281 | 48,608 | 92,889 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Swap Contracts | — | (21,963) | (21,963) |
Forward Currency Contracts | (10,724) | — | (10,724) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (10,724) | (21,963) | (32,687) |
F. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments, based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 28,610,921 |
Gross Unrealized Appreciation | 1,308,116 |
Gross Unrealized Depreciation | (81,277) |
Net Unrealized Appreciation (Depreciation) | 1,226,839 |
G. | During the six months ended July 31, 2021, the fund purchased $4,872,527,000 of investment securities and sold $3,933,393,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $586,472,000 and $250,000,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 540,026 | 90,562 | 1,375,590 | 239,476 | |
Issued in Lieu of Cash Distributions | 68,400 | 11,480 | 149,574 | 26,103 | |
Redeemed | (583,725) | (97,948) | (1,726,518) | (305,172) | |
Net Increase (Decrease)—Investor Shares | 24,701 | 4,094 | (201,354) | (39,593) |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 3,484,842 | 584,875 | 9,015,194 | 1,582,471 | |
Issued in Lieu of Cash Distributions | 405,563 | 68,066 | 795,731 | 138,656 | |
Redeemed | (2,951,289) | (495,343) | (7,756,853) | (1,379,219) | |
Net Increase (Decrease)—Admiral Shares | 939,116 | 157,598 | 2,054,072 | 341,908 |
I. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended July 31, 2021 | |||
Beginning Account Value 1/31/2021 | Ending Account Value 7/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
GNMA Fund | |||
Investor Shares | $1,000.00 | $996.80 | $1.04 |
AdmiralTM Shares | 1,000.00 | 997.30 | 0.54 |
Based on Hypothetical 5% Yearly Return | |||
GNMA Fund | |||
Investor Shares | $1,000.00 | $1,023.75 | $1.05 |
Admiral Shares | 1,000.00 | 1,024.25 | 0.55 |
0 - 5 Years | 0.1% |
5 - 10 Years | 0.9 |
10 - 15 Years | 3.0 |
15 - 20 Years | 6.2 |
20 - 25 Years | 17.8 |
Over 25 Years | 72.0 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (95.8%) | ||||||
Conventional Mortgage-Backed Securities (90.1%) | ||||||
1,2 | Fannie Mae Pool | 2.950% | 6/1/31 | 1,925 | 2,154 | |
1,2 | Fannie Mae Pool | 2.960% | 6/1/31 | 2,405 | 2,694 | |
1,2 | Fannie Mae Pool | 3.010% | 8/1/34 | 2,045 | 2,294 | |
1,2 | Fannie Mae Pool | 3.050% | 7/1/31 | 2,000 | 2,247 | |
1,2 | Fannie Mae Pool | 3.110% | 11/1/27–2/1/28 | 22,867 | 25,351 | |
1,2 | Fannie Mae Pool | 3.240% | 3/1/28 | 6,056 | 6,781 | |
1,2 | Fannie Mae Pool | 3.260% | 12/1/37 | 4,175 | 4,788 | |
1,2 | Fannie Mae Pool | 3.330% | 4/1/32 | 10,818 | 12,480 | |
1,2 | Fannie Mae Pool | 3.350% | 1/1/30 | 4,900 | 5,580 | |
1,2 | Fannie Mae Pool | 3.410% | 5/1/32 | 4,100 | 4,764 | |
1,2 | Fannie Mae Pool | 3.420% | 4/1/31 | 1,398 | 1,605 | |
1,2 | Fannie Mae Pool | 3.460% | 9/1/29 | 6,456 | 7,388 | |
1,2 | Fannie Mae Pool | 3.550% | 2/1/30 | 8,875 | 10,329 | |
1,2 | Fannie Mae Pool | 4.180% | 11/1/30 | 28,219 | 33,674 | |
1,2 | Freddie Mac Gold Pool | 3.000% | 6/1/43–1/1/47 | 15,613 | 16,475 | |
1,2 | Freddie Mac Gold Pool | 3.500% | 11/1/47–8/1/48 | 2,517 | 2,688 | |
1,2 | Freddie Mac Gold Pool | 4.000% | 9/1/30–4/1/44 | 2,869 | 3,125 | |
1,2 | Freddie Mac Gold Pool | 4.500% | 4/1/34–11/1/45 | 33,069 | 36,638 | |
1,2 | Freddie Mac Gold Pool | 5.000% | 12/1/27–8/1/44 | 22,846 | 25,588 | |
1 | Ginnie Mae I Pool | 2.500% | 11/15/42–9/15/43 | 49,933 | 52,053 | |
1 | Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/46 | 563,931 | 595,923 | |
1 | Ginnie Mae I Pool | 3.250% | 8/15/42 | 13,554 | 14,460 | |
1 | Ginnie Mae I Pool | 3.500% | 7/15/39–6/15/48 | 460,439 | 494,723 | |
1 | Ginnie Mae I Pool | 3.750% | 10/15/40–8/15/42 | 115,389 | 126,422 | |
1 | Ginnie Mae I Pool | 3.875% | 10/15/40–6/15/42 | 25,199 | 27,570 | |
1 | Ginnie Mae I Pool | 4.000% | 8/15/24–7/15/46 | 609,536 | 666,423 | |
1 | Ginnie Mae I Pool | 4.500% | 4/15/33–4/15/44 | 321,804 | 363,611 | |
1,3 | Ginnie Mae I Pool | 5.000% | 1/15/30–8/15/51 | 279,938 | 323,447 | |
1 | Ginnie Mae I Pool | 5.500% | 9/15/23–9/15/45 | 238,331 | 273,885 | |
1 | Ginnie Mae I Pool | 6.000% | 2/15/24–6/15/41 | 127,389 | 144,050 | |
1 | Ginnie Mae I Pool | 6.500% | 4/15/23–7/15/40 | 88,016 | 97,350 | |
1 | Ginnie Mae I Pool | 7.000% | 11/15/31–11/15/36 | 22,577 | 25,618 | |
1 | Ginnie Mae I Pool | 7.250% | 1/15/27–2/15/27 | 11 | 12 | |
1 | Ginnie Mae I Pool | 7.500% | 10/15/31 | 8,296 | 9,440 | |
1 | Ginnie Mae I Pool | 8.000% | 8/15/31 | 2,868 | 3,327 | |
1 | Ginnie Mae I Pool | 8.500% | 2/15/22–6/15/28 | 144 | 160 | |
1 | Ginnie Mae II Pool | 1.500% | 4/20/44–6/20/47 | 788 | 793 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,3 | Ginnie Mae II Pool | 2.000% | 10/20/43–8/15/51 | 2,756,978 | 2,824,842 | |
1,3 | Ginnie Mae II Pool | 2.500% | 11/20/42–8/15/51 | 5,044,738 | 5,250,450 | |
1,3 | Ginnie Mae II Pool | 3.000% | 4/20/31–8/15/51 | 3,743,564 | 3,934,442 | |
1,3,4 | Ginnie Mae II Pool | 3.500% | 10/20/40–8/15/51 | 3,856,158 | 4,094,086 | |
1,3 | Ginnie Mae II Pool | 4.000% | 4/20/39–8/15/51 | 1,598,170 | 1,711,663 | |
1,3 | Ginnie Mae II Pool | 4.500% | 12/20/32–8/15/51 | 585,721 | 631,695 | |
1 | Ginnie Mae II Pool | 5.000% | 10/20/32–3/20/45 | 143,600 | 160,213 | |
1 | Ginnie Mae II Pool | 5.500% | 1/20/34–7/20/40 | 17,504 | 20,467 | |
1 | Ginnie Mae II Pool | 6.000% | 4/20/28–8/20/40 | 22,646 | 26,273 | |
1 | Ginnie Mae II Pool | 6.500% | 4/20/37–3/20/41 | 659 | 779 | |
1 | Ginnie Mae II Pool | 7.500% | 6/20/25–8/20/25 | 50 | 54 | |
1,2,3 | UMBS Pool | 1.500% | 11/1/50–8/25/51 | 2,203 | 2,350 | |
1,2,3 | UMBS Pool | 2.000% | 8/25/36–8/25/51 | 11,060 | 11,920 | |
1,2,3 | UMBS Pool | 2.500% | 7/1/27–9/25/51 | 18,671 | 19,532 | |
1,2,3 | UMBS Pool | 3.000% | 11/1/22–6/1/49 | 223 | 295 | |
1,2 | UMBS Pool | 4.000% | 5/1/46–6/1/46 | 3,202 | 3,458 | |
1,2 | UMBS Pool | 4.500% | 12/1/40–3/1/44 | 1,158 | 1,302 | |
1,2,3 | UMBS Pool | 5.000% | 6/1/23–8/25/51 | 26,184 | 30,964 | |
1,2 | UMBS Pool | 6.500% | 2/1/29–5/1/40 | 1,357 | 1,564 | |
22,152,259 | ||||||
Nonconventional Mortgage-Backed Securities (5.7%) | ||||||
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.560% | 2.127% | 8/1/43 | 3,497 | 3,646 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.580% | 2.701% | 9/1/44 | 4,124 | 4,294 | |
1,2 | Fannie Mae REMICS | 2.000% | 9/25/42 | 5,438 | 5,543 | |
1,2 | Fannie Mae REMICS | 2.500% | 10/25/42 | 5,227 | 5,399 | |
1,2 | Fannie Mae REMICS | 3.000% | 6/25/43–7/25/49 | 38,300 | 41,846 | |
1,2 | Fannie Mae REMICS | 3.500% | 7/25/44–12/25/58 | 91,208 | 99,723 | |
1,2 | Fannie Mae REMICS | 6.000% | 10/25/28–9/25/32 | 2,291 | 2,591 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.600% | 2.671% | 10/1/44 | 10,291 | 10,745 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.601% | 3.034% | 10/1/44 | 5,308 | 5,516 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.615% | 2.784% | 9/1/44 | 2,793 | 2,924 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% | 2.091% | 9/1/43 | 4,212 | 4,369 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% | 2.614% | 7/1/44 | 1,781 | 1,864 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% | 2.845% | 10/1/44 | 5,126 | 5,349 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.630% | 1.999% | 4/1/44 | 4,101 | 4,392 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.691% | 2.147% | 8/1/43 | 3,681 | 3,898 | |
1,2 | Freddie Mac REMICS | 2.000% | 4/15/42 | 5,754 | 5,911 | |
1,2 | Freddie Mac REMICS | 3.000% | 8/15/42–3/15/43 | 82,473 | 87,990 | |
1,2 | Freddie Mac REMICS | 3.500% | 8/15/45 | 8,707 | 10,071 | |
1,2 | Freddie Mac REMICS | 4.000% | 6/15/54 | 3,587 | 4,329 | |
1,2 | Freddie Mac REMICS | 6.000% | 4/15/28–11/15/32 | 6,286 | 7,105 | |
1 | Ginnie Mae REMICS | 4.000% | 1/20/45 | 17,384 | 19,993 | |
1 | Ginnie Mae REMICS | 3.000% | 6/20/39–6/20/49 | 538,259 | 575,958 | |
1 | Ginnie Mae REMICS | 1.650% | 11/20/45 | 61,440 | 62,820 | |
1 | Ginnie Mae REMICS | 1.750% | 10/20/42–7/20/44 | 21,044 | 20,486 | |
1 | Ginnie Mae REMICS | 2.000% | 1/20/42–10/20/44 | 35,377 | 36,328 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Ginnie Mae REMICS | 2.250% | 3/16/45 | 10,191 | 10,600 | |
1 | Ginnie Mae REMICS | 2.375% | 4/20/44 | 3,453 | 3,541 | |
1 | Ginnie Mae REMICS | 2.500% | 12/16/39–12/20/49 | 144,724 | 148,968 | |
1 | Ginnie Mae REMICS | 2.750% | 6/16/43 | 8,615 | 8,833 | |
1 | Ginnie Mae REMICS | 3.000% | 7/20/43 | 5,701 | 6,136 | |
1 | Ginnie Mae REMICS | 3.250% | 8/20/44–2/20/49 | 11,969 | 13,934 | |
1 | Ginnie Mae REMICS | 3.500% | 7/20/43–2/20/49 | 99,898 | 110,967 | |
1 | Ginnie Mae REMICS | 3.683% | 10/20/48 | 13,270 | 14,562 | |
1 | Ginnie Mae REMICS | 3.750% | 12/16/39 | 2,108 | 2,453 | |
1 | Ginnie Mae REMICS | 4.500% | 6/20/39 | 2,175 | 2,500 | |
1 | Ginnie Mae REMICS | 5.000% | 6/16/37 | 7,681 | 8,901 | |
1 | Ginnie Mae REMICS | 5.500% | 8/16/36 | 6,876 | 7,924 | |
1,5 | Ginnie Mae REMICS, 1M USD LIBOR + 0.200% | 0.284% | 2/20/37 | 1,743 | 1,732 | |
1 | Government National Mortgage Assn. | 2.350% | 5/17/46 | 13,855 | 14,243 | |
1 | Government National Mortgage Assn. | 2.650% | 11/17/48 | 8,340 | 8,723 | |
1,397,107 | ||||||
Total U.S. Government and Agency Obligations (Cost $23,074,054) | 23,549,366 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (1.1%) | ||||||
1 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 147,118 | 157,167 | |
1 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 12,735 | 15,002 | |
1 | Seasoned Credit Risk Transfer Trust Series 2020-1 | 2.500% | 8/25/59 | 90,588 | 92,253 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $261,630) | 264,422 | |||||
Shares | ||||||
Temporary Cash Investments (22.6%) | ||||||
Money Market Fund (13.5%) | ||||||
6 | Vanguard Market Liquidity Fund | 0.064% | 33,230,254 | 3,323,025 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (4.1%) | ||||||
Bank of America Securities, LLC (Dated 7/30/21, Repurchase Value $15,500,000, collateralized by U.S. Treasury Note/Bond 0.125%, 4/30/22, with a value of $15,810,000) | 0.050% | 8/2/21 | 15,500 | 15,500 | ||
Barclays Capital Inc. (Dated 7/30/21, Repurchase Value $19,100,000, collateralized by U.S. Treasury Note/Bond 2.375%, 8/15/24, with a value of $19,482,000) | 0.050% | 8/2/21 | 19,100 | 19,100 | ||
Citigroup Global Markets Inc. (Dated 7/30/21, Repurchase Value $141,601,000, collateralized by U.S. Treasury Note/Bond 1.250%–2.375%, 5/15/50–5/15/51, with a value of $144,432,000) | 0.050% | 8/2/21 | 141,600 | 141,600 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Credit Agricole Securities (USA) Inc. (Dated 7/30/21, Repurchase Value $86,000,000, collateralized by Treasury Inflation Indexed Note/Bond 0.625%, 2/15/43, with a value of $87,720,000) | 0.050% | 8/2/21 | 86,000 | 86,000 | ||
HSBC Bank USA (Dated 7/30/21, Repurchase Value $140,001,000, collateralized by Fannie Mae 2.500%–4.000%, 9/1/31–12/1/50, and Freddie Mac 3.180%, 9/1/33, with a value of $142,800,000) | 0.050% | 8/2/21 | 140,000 | 140,000 | ||
HSBC Bank USA (Dated 7/30/21, Repurchase Value $161,901,000, collateralized by U.S. Treasury Note/Bond 0.125%–2.875%, 11/15/21–11/15/30, with a value of $165,138,000) | 0.045% | 8/2/21 | 161,900 | 161,900 | ||
Natixis SA (Dated 7/30/21, Repurchase Value $179,901,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.750%, 10/15/24–2/15/42, U.S. Treasury Bill 0.000%, 12/9/21, and U.S. Treasury Note/Bond 0.105%–3.000%, 11/30/21–2/15/47, with a value of $183,498,000) | 0.040% | 8/2/21 | 179,900 | 179,900 | ||
Societe Generale (Dated 7/30/21, Repurchase Value $190,301,000, collateralized by Fannie Mae 2.500%–4.500%, 8/1/35–9/1/50, Freddie Mac 2.000%–4.500%, 11/1/40–7/1/51, and Ginnie Mae 2.250%–4.500%, 4/20/26–6/20/51, with a value of $194,106,000) | 0.045% | 8/2/21 | 190,300 | 190,300 | ||
TD Securities (USA) LLC (Dated 7/30/21, Repurchase Value $36,500,000, collateralized by Ginnie Mae 2.000%–8.500%, 12/15/24–6/20/51, with a value of $37,230,000) | 0.050% | 8/2/21 | 36,500 | 36,500 | ||
Wells Fargo & Co. (Dated 7/30/21, Repurchase Value $44,700,000, collateralized by Fannie Mae 2.500%–4.500%, 6/1/33–12/1/50, with a value of $45,594,000) | 0.060% | 8/2/21 | 44,700 | 44,700 | ||
1,015,500 | ||||||
U.S. Government and Agency Obligations (5.0%) | ||||||
United States Treasury Bill | 0.046% | 8/5/21 | 225,000 | 225,000 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Bill | 0.036% | 8/12/21 | 450,000 | 449,996 | ||
United States Treasury Bill | 0.037% | 8/17/21 | 550,000 | 549,992 | ||
1,224,988 | ||||||
Total Temporary Cash Investments (Cost $5,563,562) | 5,563,513 | |||||
Total Investments (119.5%) (Cost $28,899,246) | 29,377,301 | |||||
Other Assets and Liabilities—Net (-19.5%) | (4,788,312) | |||||
Net Assets (100%) | 24,588,989 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | 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. |
2 | 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. |
3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021. |
4 | Securities with a value of $8,426,000 have been segregated as initial margin for open futures contracts. |
5 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12M—12-month. | |
1M—1-month. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
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 2021 | 3,898 | 860,118 | (46) |
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2021 | (2,055) | (255,735) | (1,359) |
10-Year U.S. Treasury Note | September 2021 | (184) | (24,739) | (44) |
Long U.S. Treasury Bond | September 2021 | (19) | (3,130) | (160) |
Ultra 10-Year U.S. Treasury Note | September 2021 | (614) | (92,253) | (3,218) |
Ultra Long U.S. Treasury Bond | September 2021 | (357) | (71,233) | (5,396) |
(10,177) | ||||
(10,223) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $25,576,168) | 26,054,276 |
Affiliated Issuers (Cost $3,323,078) | 3,323,025 |
Total Investments in Securities | 29,377,301 |
Investment in Vanguard | 849 |
Cash | 1,036 |
Receivables for Investment Securities Sold | 2,744,450 |
Receivables for Accrued Income | 48,887 |
Receivables for Capital Shares Issued | 14,048 |
Other Assets | 615 |
Total Assets | 32,187,186 |
Liabilities | |
Payables for Investment Securities Purchased | 7,577,098 |
Payables for Capital Shares Redeemed | 15,078 |
Payables for Distributions | 3,090 |
Payables to Investment Advisor | 617 |
Payables to Vanguard | 1,397 |
Variation Margin Payable—Futures Contracts | 917 |
Total Liabilities | 7,598,197 |
Net Assets | 24,588,989 |
Statement of Assets and Liabilities (continued) | |
At July 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 24,414,443 |
Total Distributable Earnings (Loss) | 174,546 |
Net Assets | 24,588,989 |
Investor Shares—Net Assets | |
Applicable to 681,898,554 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,272,006 |
Net Asset Value Per Share—Investor Shares | $10.66 |
Admiral Shares—Net Assets | |
Applicable to 1,623,818,098 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 17,316,983 |
Net Asset Value Per Share—Admiral Shares | $10.66 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 119,575 |
Total Income | 119,575 |
Expenses | |
Investment Advisory Fees—Note B | 1,265 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 7,035 |
Management and Administrative—Admiral Shares | 8,476 |
Marketing and Distribution—Investor Shares | 351 |
Marketing and Distribution—Admiral Shares | 551 |
Custodian Fees | 245 |
Shareholders’ Reports—Investor Shares | 52 |
Shareholders’ Reports—Admiral Shares | 66 |
Trustees’ Fees and Expenses | 23 |
Total Expenses | 18,064 |
Net Investment Income | 101,511 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (99,777) |
Futures Contracts | 32,066 |
Swap Contracts | 3,033 |
Realized Net Gain (Loss) | (64,678) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (86,264) |
Futures Contracts | (28,385) |
Swap Contracts | (1,083) |
Change in Unrealized Appreciation (Depreciation) | (115,732) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (78,899) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,105,000, $0, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 101,511 | 447,461 | |
Realized Net Gain (Loss) | (64,678) | 125,841 | |
Change in Unrealized Appreciation (Depreciation) | (115,732) | 227,186 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (78,899) | 800,488 | |
Distributions | |||
Investor Shares | (25,507) | (120,267) | |
Admiral Shares | (72,216) | (322,351) | |
Return of Capital | |||
Investor Shares | — | (6,874) | |
Admiral Shares | — | (18,426) | |
Total Distributions | (97,723) | (467,918) | |
Capital Share Transactions | |||
Investor Shares | (396,828) | 259,752 | |
Admiral Shares | (2,158,190) | 2,006,549 | |
Net Increase (Decrease) from Capital Share Transactions | (2,555,018) | 2,266,301 | |
Total Increase (Decrease) | (2,731,640) | 2,598,871 | |
Net Assets | |||
Beginning of Period | 27,320,629 | 24,721,758 | |
End of Period | 24,588,989 | 27,320,629 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $10.73 | $10.58 | $10.31 | $10.32 | $10.51 | $10.77 |
Investment Operations | ||||||
Net Investment Income | .0361 | .1781 | .2851 | .2981 | .2841 | .236 |
Net Realized and Unrealized Gain (Loss) on Investments | (.070) | .157 | .272 | (.011) | (.193) | (.183) |
Total from Investment Operations | (.034) | .335 | .557 | .287 | .091 | .053 |
Distributions | ||||||
Dividends from Net Investment Income | (.036) | (.176) | (.287) | (.297) | (.281) | (.237) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.076) |
Return of Capital | — | (.009) | — | — | — | — |
Total Distributions | (.036) | (.185) | (.287) | (.297) | (.281) | (.313) |
Net Asset Value, End of Period | $10.66 | $10.73 | $10.58 | $10.31 | $10.32 | $10.51 |
Total Return2 | -0.32% | 3.17% | 5.46% | 2.85% | 0.85% | 0.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,272 | $7,719 | $7,365 | $6,715 | $7,598 | $7,993 |
Ratio of Total Expenses to Average Net Assets | 0.21% | 0.21% | 0.21% | 0.21% | 0.21% | 0.21% |
Ratio of Net Investment Income to Average Net Assets | 0.67% | 1.66% | 2.71% | 2.93% | 2.70% | 2.19% |
Portfolio Turnover Rate3 | 372% | 638% | 616% | 415% | 620% | 926% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 95%, 182%, 198%, 200%, 156%, and 300%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $10.73 | $10.58 | $10.31 | $10.32 | $10.51 | $10.77 |
Investment Operations | ||||||
Net Investment Income | .0431 | .1841 | .2951 | .3091 | .2941 | .247 |
Net Realized and Unrealized Gain (Loss) on Investments | (.072) | .161 | .272 | (.012) | (.192) | (.183) |
Total from Investment Operations | (.029) | .345 | .567 | .297 | .102 | .064 |
Distributions | ||||||
Dividends from Net Investment Income | (.041) | (.185) | (.297) | (.307) | (.292) | (.248) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.076) |
Return of Capital | — | (.010) | — | — | — | — |
Total Distributions | (.041) | (.195) | (.297) | (.307) | (.292) | (.324) |
Net Asset Value, End of Period | $10.66 | $10.73 | $10.58 | $10.31 | $10.32 | $10.51 |
Total Return2 | -0.27% | 3.28% | 5.57% | 2.95% | 0.95% | 0.59% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $17,317 | $19,602 | $17,356 | $14,706 | $16,491 | $17,613 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 0.82% | 1.72% | 2.81% | 3.03% | 2.80% | 2.29% |
Portfolio Turnover Rate3 | 372% | 638% | 616% | 415% | 620% | 926% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 95%, 182%, 198%, 200%, 156%, and 300%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 23,549,366 | — | 23,549,366 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 264,422 | — | 264,422 |
Temporary Cash Investments | 3,323,025 | 2,240,488 | — | 5,563,513 |
Total | 3,323,025 | 26,054,276 | — | 29,377,301 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 10,223 | — | — | 10,223 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount ($000) | |
Tax Cost | 28,906,973 |
Gross Unrealized Appreciation | 511,825 |
Gross Unrealized Depreciation | (51,720) |
Net Unrealized Appreciation (Depreciation) | 460,105 |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 416,504 | 38,994 | 2,356,623 | 218,976 | |
Issued in Lieu of Cash Distributions | 24,182 | 2,268 | 119,282 | 11,086 | |
Redeemed | (837,514) | (78,551) | (2,216,153) | (207,051) | |
Net Increase (Decrease)—Investor Shares | (396,828) | (37,289) | 259,752 | 23,011 | |
Admiral Shares | |||||
Issued | 1,451,883 | 135,990 | 6,456,531 | 600,771 | |
Issued in Lieu of Cash Distributions | 55,752 | 5,229 | 266,184 | 24,739 | |
Redeemed | (3,665,825) | (343,770) | (4,716,166) | (439,640) | |
Net Increase (Decrease)—Admiral Shares | (2,158,190) | (202,551) | 2,006,549 | 185,870 |
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Vanguard Real Estate Index Fund |
Vanguard Real Estate II Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended July 31, 2021 | |||
Beginning Account Value 1/31/2021 | Ending Account Value 7/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Real Estate Index Fund | |||
Investor Shares | $1,000.00 | $1,266.60 | $1.46 |
ETF Shares | 1,000.00 | 1,267.50 | 0.67 |
AdmiralTM Shares | 1,000.00 | 1,267.70 | 0.67 |
Institutional Shares | 1,000.00 | 1,267.50 | 0.56 |
Real Estate II Index Fund | $1,000.00 | $1,268.10 | $0.45 |
Based on Hypothetical 5% Yearly Return | |||
Real Estate Index Fund | |||
Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
Institutional Shares | 1,000.00 | 1,024.30 | 0.50 |
Real Estate II Index Fund | $1,000.00 | $1,024.40 | $0.40 |
Diversified Real Estate Activities | 0.2% |
Diversified REITs | 3.9 |
Health Care REITs | 8.4 |
Hotel & Resort REITs | 2.9 |
Industrial REITs | 11.0 |
Office REITs | 7.1 |
Real Estate Development | 0.3 |
Real Estate Operating Companies | 0.2 |
Real Estate Services | 4.0 |
Residential REITs | 14.9 |
Retail REITs | 9.6 |
Specialized REITs | 37.5 |
Shares | Market Value• ($000) | |||||
Equity Real Estate Investment Trusts (REITs) (95.7%) | ||||||
Diversified REITs (3.5%) | ||||||
WP Carey Inc. | 8,210,363 | 662,494 | ||||
VEREIT Inc. | 10,720,525 | 524,984 | ||||
STORE Capital Corp. | 11,058,719 | 400,215 | ||||
1 | Broadstone Net Lease Inc. | 6,822,411 | 177,519 | |||
* | DigitalBridge Group Inc. | 22,629,209 | 157,499 | |||
Essential Properties Realty Trust Inc. | 5,005,265 | 149,157 | ||||
PS Business Parks Inc. | 964,737 | 148,251 | ||||
Washington REIT | 3,960,011 | 96,189 | ||||
American Assets Trust Inc. | 2,406,260 | 88,863 | ||||
iStar Inc. | 3,455,277 | 83,721 | ||||
Empire State Realty Trust Inc. Class A | 6,787,213 | 77,578 | ||||
Global Net Lease Inc. | 4,199,319 | 77,562 | ||||
Alexander & Baldwin Inc. | 3,386,473 | 67,797 | ||||
Gladstone Commercial Corp. | 1,673,233 | 38,786 | ||||
Armada Hoffler Properties Inc. | 2,776,600 | 36,096 | ||||
One Liberty Properties Inc. | 770,908 | 23,582 | ||||
2,810,293 | ||||||
Health Care REITs (7.4%) | ||||||
Welltower Inc. | 19,535,126 | 1,696,821 | ||||
Ventas Inc. | 17,535,850 | 1,048,293 | ||||
Healthpeak Properties Inc. | 25,213,767 | 932,153 | ||||
Medical Properties Trust Inc. | 27,066,393 | 569,206 | ||||
Omega Healthcare Investors Inc. | 10,845,142 | 393,462 | ||||
Healthcare Trust of America Inc. Class A | 10,236,927 | 292,674 | ||||
Healthcare Realty Trust Inc. | 6,538,819 | 208,458 | ||||
Physicians Realty Trust | 9,742,356 | 184,618 |
Shares | Market Value• ($000) | |||||
Sabra Health Care REIT Inc. | 9,858,942 | 183,278 | ||||
National Health Investors Inc. | 2,009,200 | 137,088 | ||||
CareTrust REIT Inc. | 4,488,365 | 108,259 | ||||
LTC Properties Inc. | 1,835,295 | 69,466 | ||||
Community Healthcare Trust Inc. | 1,067,342 | 53,186 | ||||
Diversified Healthcare Trust | 11,151,607 | 43,491 | ||||
Global Medical REIT Inc. | 2,654,079 | 41,297 | ||||
Universal Health Realty Income Trust | 644,718 | 38,522 | ||||
New Senior Investment Group Inc. | 3,886,921 | 35,837 | ||||
6,036,109 | ||||||
Hotel & Resort REITs (2.5%) | ||||||
* | Host Hotels & Resorts Inc. | 33,015,350 | 525,934 | |||
MGM Growth Properties LLC Class A | 7,041,108 | 266,154 | ||||
* | Park Hotels & Resorts Inc. | 11,038,955 | 204,221 | |||
* | Ryman Hospitality Properties Inc. | 2,444,054 | 187,459 | |||
Apple Hospitality REIT Inc. | 9,923,012 | 148,349 | ||||
Pebblebrook Hotel Trust | 6,146,331 | 138,231 | ||||
* | Sunstone Hotel Investors Inc. | 10,088,813 | 116,425 | |||
RLJ Lodging Trust | 7,722,510 | 110,818 | ||||
* | Xenia Hotels & Resorts Inc. | 5,323,447 | 94,119 | |||
Service Properties Trust | 7,715,008 | 85,868 | ||||
* | DiamondRock Hospitality Co. | 9,833,336 | 84,665 | |||
* | Summit Hotel Properties Inc. | 4,947,303 | 44,575 | |||
* | Chatham Lodging Trust | 2,203,409 | 27,058 | |||
* | CorePoint Lodging Inc. | 1,902,982 | 25,576 | |||
2,059,452 |
Shares | Market Value• ($000) | |||||
Industrial REITs (9.7%) | ||||||
Prologis Inc. | 34,610,944 | 4,431,585 | ||||
Duke Realty Corp. | 17,494,406 | 890,115 | ||||
Americold Realty Trust | 11,189,412 | 434,709 | ||||
Rexford Industrial Realty Inc. | 6,149,818 | 378,337 | ||||
First Industrial Realty Trust Inc. | 6,045,084 | 331,150 | ||||
EastGroup Properties Inc. | 1,856,362 | 327,128 | ||||
STAG Industrial Inc. | 7,412,921 | 306,302 | ||||
Innovative Industrial Properties Inc. | 1,119,672 | 240,718 | ||||
Terreno Realty Corp. | 3,212,156 | 219,583 | ||||
Lexington Realty Trust | 12,984,889 | 170,751 | ||||
Monmouth Real Estate Investment Corp. | 4,371,974 | 83,243 | ||||
Industrial Logistics Properties Trust | 3,057,562 | 82,860 | ||||
7,896,481 | ||||||
Office REITs (6.3%) | ||||||
Alexandria Real Estate Equities Inc. | 6,077,965 | 1,223,738 | ||||
Boston Properties Inc. | 6,924,108 | 812,752 | ||||
Kilroy Realty Corp. | 4,902,544 | 339,599 | ||||
Vornado Realty Trust | 7,613,573 | 331,190 | ||||
Cousins Properties Inc. | 6,952,604 | 276,158 | ||||
Douglas Emmett Inc. | 8,211,398 | 274,261 | ||||
SL Green Realty Corp. | 3,299,428 | 245,675 | ||||
Highwoods Properties Inc. | 4,862,797 | 231,907 | ||||
Hudson Pacific Properties Inc. | 7,063,233 | 192,544 | ||||
JBG SMITH Properties | 5,541,438 | 180,817 | ||||
Corporate Office Properties Trust | 5,247,829 | 154,496 | ||||
Equity Commonwealth | 5,694,419 | 149,706 | ||||
Brandywine Realty Trust | 7,988,111 | 111,514 | ||||
Piedmont Office Realty Trust Inc. Class A | 5,798,534 | 110,288 | ||||
Columbia Property Trust Inc. | 5,377,096 | 89,636 | ||||
Easterly Government Properties Inc. | 3,844,972 | 87,281 | ||||
Paramount Group Inc. | 8,204,241 | 80,073 | ||||
Office Properties Income Trust | 2,260,131 | 65,499 | ||||
* | Mack-Cali Realty Corp. | 3,395,772 | 61,124 | |||
City Office REIT Inc. | 2,026,906 | 26,086 | ||||
Franklin Street Properties Corp. | 4,762,661 | 24,861 | ||||
*,2 | New York REIT Liquidating LLC | 1,208 | 14 | |||
5,069,219 |
Shares | Market Value• ($000) | |||||
Other (11.6%)3 | ||||||
4,5 | Vanguard Real Estate II Index Fund | 365,543,416 | 9,381,743 | |||
Residential REITs (13.1%) | ||||||
AvalonBay Communities Inc. | 6,530,461 | 1,487,835 | ||||
Equity Residential | 16,270,206 | 1,368,812 | ||||
Invitation Homes Inc. | 26,549,005 | 1,080,014 | ||||
Mid-America Apartment Communities Inc. | 5,353,841 | 1,033,827 | ||||
Essex Property Trust Inc. | 3,042,077 | 998,105 | ||||
Sun Communities Inc. | 5,036,946 | 987,795 | ||||
UDR Inc. | 13,892,993 | 763,976 | ||||
Camden Property Trust | 4,566,362 | 682,169 | ||||
Equity LifeStyle Properties Inc. | 8,106,126 | 679,293 | ||||
American Homes 4 Rent Class A | 13,296,086 | 558,436 | ||||
Apartment Income REIT Corp. | 6,967,372 | 366,762 | ||||
American Campus Communities Inc. | 6,442,397 | 324,117 | ||||
1 | Independence Realty Trust Inc. | 4,768,181 | 91,931 | |||
NexPoint Residential Trust Inc. | 1,055,507 | 62,222 | ||||
Centerspace | 610,875 | 54,979 | ||||
Apartment Investment & Management Co. Class A | 6,966,556 | 48,487 | ||||
UMH Properties Inc. | 1,952,395 | 45,452 | ||||
Preferred Apartment Communities Inc. | 2,337,413 | 24,636 | ||||
10,658,848 | ||||||
Retail REITs (8.5%) | ||||||
Simon Property Group Inc. | 14,974,760 | 1,894,607 | ||||
Realty Income Corp. | 17,476,799 | 1,228,444 | ||||
Regency Centers Corp. | 7,154,591 | 467,982 | ||||
Kimco Realty Corp. | 20,235,224 | 431,617 | ||||
National Retail Properties Inc. | 8,201,387 | 400,802 | ||||
Federal Realty Investment Trust | 3,232,059 | 379,864 | ||||
Brixmor Property Group Inc. | 13,892,236 | 319,799 | ||||
Spirit Realty Capital Inc. | 5,375,263 | 269,946 | ||||
Agree Realty Corp. | 2,970,101 | 223,203 | ||||
Weingarten Realty Investors | 5,696,024 | 183,355 | ||||
Retail Properties of America Inc. Class A | 10,044,821 | 126,665 | ||||
SITE Centers Corp. | 7,241,006 | 114,842 | ||||
Macerich Co. | 6,881,058 | 112,161 |
Shares | Market Value• ($000) | |||||
Urban Edge Properties | 5,477,395 | 104,071 | ||||
Retail Opportunity Investments Corp. | 5,529,547 | 97,707 | ||||
Acadia Realty Trust | 4,039,047 | 86,435 | ||||
Kite Realty Group Trust | 3,946,270 | 79,557 | ||||
1 | Tanger Factory Outlet Centers Inc. | 4,380,634 | 75,216 | |||
Getty Realty Corp. | 1,739,990 | 54,966 | ||||
RPT Realty | 3,800,917 | 48,424 | ||||
NETSTREIT Corp. | 1,841,928 | 47,798 | ||||
American Finance Trust Inc. Class A | 5,094,920 | 43,154 | ||||
Saul Centers Inc. | 660,711 | 30,128 | ||||
Alexander's Inc. | 107,705 | 30,033 | ||||
Urstadt Biddle Properties Inc. Class A | 1,392,787 | 26,560 | ||||
* | Seritage Growth Properties Class A | 1,234,161 | 19,586 | |||
*,2 | Spirit MTA REIT | 2,071,263 | 554 | |||
Urstadt Biddle Properties Inc. | 16,032 | 269 | ||||
6,897,745 | ||||||
Specialized REITs (33.1%) | ||||||
American Tower Corp. | 20,798,560 | 5,881,834 | ||||
Crown Castle International Corp. | 19,936,706 | 3,849,579 | ||||
Equinix Inc. | 4,153,976 | 3,407,963 | ||||
Public Storage | 7,367,643 | 2,302,241 | ||||
Digital Realty Trust Inc. | 12,862,730 | 1,982,918 | ||||
SBA Communications Corp. | 5,116,738 | 1,744,757 | ||||
Weyerhaeuser Co. | 34,999,235 | 1,180,524 | ||||
Extra Space Storage Inc. | 6,147,960 | 1,070,606 | ||||
VICI Properties Inc. | 25,119,360 | 783,473 | ||||
Iron Mountain Inc. | 13,499,464 | 590,737 | ||||
Gaming & Leisure Properties Inc. | 10,351,165 | 490,024 | ||||
CubeSmart | 9,137,443 | 453,765 | ||||
Lamar Advertising Co. Class A | 4,044,278 | 431,120 | ||||
Life Storage Inc. | 3,531,109 | 414,411 | ||||
CyrusOne Inc. | 5,636,715 | 401,729 | ||||
CoreSite Realty Corp. | 2,001,479 | 276,624 | ||||
Rayonier Inc. | 6,449,681 | 243,218 | ||||
QTS Realty Trust Inc. Class A | 3,022,152 | 234,851 | ||||
National Storage Affiliates Trust | 3,878,252 | 210,085 | ||||
EPR Properties | 3,498,410 | 175,970 | ||||
PotlatchDeltic Corp. | 3,130,960 | 162,622 | ||||
* | Outfront Media Inc. | 6,757,354 | 161,433 | |||
Uniti Group Inc. | 10,893,693 | 127,565 | ||||
Four Corners Property Trust Inc. | 3,562,459 | 102,278 | ||||
Safehold Inc. | 747,350 | 67,501 |
Shares | Market Value• ($000) | |||||
1 | GEO Group Inc. | 5,678,620 | 39,296 | |||
1 | Gladstone Land Corp. | 1,225,730 | 28,584 | |||
CatchMark Timber Trust Inc. Class A | 2,277,340 | 26,622 | ||||
26,842,330 | ||||||
Total Equity Real Estate Investment Trusts (REITs) (Cost $58,991,878) | 77,652,220 | |||||
Real Estate Management & Development (4.0%) | ||||||
Diversified Real Estate Activities (0.1%) | ||||||
St. Joe Co. | 1,514,673 | 68,569 | ||||
RMR Group Inc. Class A | 721,618 | 28,316 | ||||
* | Five Point Holdings LLC Class A | 2,748,239 | 23,003 | |||
119,888 | ||||||
Real Estate Development (0.2%) | ||||||
* | Howard Hughes Corp. | 1,933,947 | 179,296 | |||
* | Forestar Group Inc. | 785,190 | 16,073 | |||
195,369 | ||||||
Real Estate Operating Companies (0.2%) | ||||||
Kennedy-Wilson Holdings Inc. | 5,953,712 | 120,206 | ||||
* | FRP Holdings Inc. | 285,914 | 17,192 | |||
137,398 | ||||||
Real Estate Services (3.5%) | ||||||
* | CBRE Group Inc. Class A | 15,707,267 | 1,515,123 | |||
* | Jones Lang LaSalle Inc. | 2,392,261 | 532,446 | |||
* | Redfin Corp. | 3,996,752 | 234,090 | |||
* | Cushman & Wakefield plc | 6,234,303 | 116,394 | |||
* | eXp World Holdings Inc. | 2,946,549 | 105,840 | |||
Newmark Group Inc. Class A | 7,447,584 | 95,925 | ||||
* | Realogy Holdings Corp. | 5,405,790 | 95,791 | |||
* | Opendoor Technologies Inc. | 5,404,078 | 80,088 | |||
* | Marcus & Millichap Inc. | 1,106,666 | 44,034 | |||
RE/MAX Holdings Inc. Class A | 870,505 | 29,858 | ||||
2,849,589 | ||||||
Total Real Estate Management & Development (Cost $2,377,448) | 3,302,244 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
6,7 | Vanguard Market Liquidity Fund, 0.064% (Cost $372,969) | 3,730,140 | 373,013 | |||
Total Investments (100.2%) (Cost $61,742,295) | 81,327,477 | |||||
Other Assets and Liabilities—Net (-0.2%) | (167,955) | |||||
Net Assets (100%) | 81,159,522 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $157,112,000. |
2 | Security value determined using significant unobservable inputs. |
3 | “Other” represents securities that are not classified by the fund’s benchmark index. |
4 | Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group. |
5 | Represents a wholly owned subsidiary of the fund. See accompanying financial statements for Vanguard Real Estate II Index Fund's Schedule of Investments. |
6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
7 | Collateral of $167,448,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Crown Castle International Corp. | 1/31/22 | GSI | 50,543 | (0.139) | — | (2,272) |
Digital Realty Trust Inc. | 1/31/22 | GSI | 39,273 | (0.139) | — | (734) |
Equinix Inc. | 1/31/22 | GSI | 20,851 | (0.139) | — | (342) |
Equity Residential | 1/31/22 | GSI | 24,966 | (0.139) | 272 | — |
Redfin Corp. | 1/31/22 | GSI | 19,390 | (0.089) | 1,109 | — |
Seritage Growth Properties Class A | 1/31/22 | GSI | 6,486 | (0.089) | — | (202) |
Simon Property Group Inc. | 1/31/22 | GSI | 50,616 | (0.139) | 550 | — |
1,931 | (3,550) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $54,361,781) | 71,572,721 |
Affiliated Issuers (Cost $372,969) | 373,013 |
Vanguard Real Estate II Index Fund (Cost $7,007,545) | 9,381,743 |
Total Investments in Securities | 81,327,477 |
Investment in Vanguard | 2,339 |
Cash | 8,339 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 3,380 |
Receivables for Accrued Income | 33,806 |
Receivables for Capital Shares Issued | 18,405 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,931 |
Total Assets | 81,395,677 |
Liabilities | |
Payables for Investment Securities Purchased | 39,670 |
Collateral for Securities on Loan | 167,448 |
Payables for Capital Shares Redeemed | 21,518 |
Payables to Vanguard | 3,969 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 3,550 |
Total Liabilities | 236,155 |
Net Assets | 81,159,522 |
Statement of Assets and Liabilities (continued) | |
At July 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 63,378,439 |
Total Distributable Earnings (Loss) | 17,781,083 |
Net Assets | 81,159,522 |
Investor Shares—Net Assets | |
Applicable to 6,051,720 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 213,767 |
Net Asset Value Per Share—Investor Shares | $35.32 |
ETF Shares—Net Assets | |
Applicable to 412,146,444 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 43,816,072 |
Net Asset Value Per Share—ETF Shares | $106.31 |
Admiral Shares—Net Assets | |
Applicable to 167,483,061 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 25,234,941 |
Net Asset Value Per Share—Admiral Shares | $150.67 |
Institutional Shares—Net Assets | |
Applicable to 510,061,733 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,894,742 |
Net Asset Value Per Share—Institutional Shares | $23.32 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends—Unaffiliated Issuers | 807,193 |
Dividends—Vanguard Real Estate II Index Fund | 106,864 |
Interest—Affiliated Issuers | 34 |
Securities Lending—Net | 1,127 |
Total Income | 915,218 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,325 |
Management and Administrative—Investor Shares | 232 |
Management and Administrative—ETF Shares | 20,016 |
Management and Administrative—Admiral Shares | 11,880 |
Management and Administrative—Institutional Shares | 4,739 |
Marketing and Distribution—Investor Shares | 14 |
Marketing and Distribution—ETF Shares | 711 |
Marketing and Distribution—Admiral Shares | 540 |
Marketing and Distribution—Institutional Shares | 136 |
Custodian Fees | 103 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 587 |
Shareholders’ Reports—Admiral Shares | 154 |
Shareholders’ Reports—Institutional Shares | 45 |
Trustees’ Fees and Expenses | 20 |
Total Expenses | 40,503 |
Net Investment Income | 874,715 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received—Unaffiliated Issuers | 28,694 |
Capital Gain Distributions Received—Vanguard Real Estate II Index Fund | — |
Investment Securities Sold—Unaffiliated Issuers1 | 743,283 |
Investment Securities Sold—Affiliated Issuers1 | 30 |
Investment Securities Sold—Vanguard Real Estate II Index Fund | — |
Swap Contracts | 25,929 |
Realized Net Gain (Loss) | 797,936 |
Statement of Operations (continued) | |
Six Months Ended July 31, 2021 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers | 13,214,089 |
Investment Securities—Affiliated Issuers | (31) |
Investment Securities—Vanguard Real Estate II Index Fund | 1,877,266 |
Swap Contracts | (1,619) |
Change in Unrealized Appreciation (Depreciation) | 15,089,705 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,762,356 |
1 | Includes $1,014,170,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 874,715 | 1,355,272 | |
Realized Net Gain (Loss) | 797,936 | 1,060,800 | |
Change in Unrealized Appreciation (Depreciation) | 15,089,705 | (7,797,964) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,762,356 | (5,381,892) | |
Distributions | |||
Investor Shares | (2,460) | (4,393) | |
ETF Shares | (502,309) | (714,428) | |
Admiral Shares | (293,799) | (458,678) | |
Institutional Shares | (140,314) | (213,294) | |
Return of Capital | |||
Investor Shares | — | (3,129) | |
ETF Shares | — | (508,885) | |
Admiral Shares | — | (326,715) | |
Institutional Shares | — | (151,929) | |
Total Distributions | (938,882) | (2,381,451) | |
Capital Share Transactions | |||
Investor Shares | (17,279) | (29,761) | |
ETF Shares | 3,351,265 | (1,176,383) | |
Admiral Shares | 538,926 | (1,182,290) | |
Institutional Shares | 31,963 | 356,671 | |
Net Increase (Decrease) from Capital Share Transactions | 3,904,875 | (2,031,763) | |
Total Increase (Decrease) | 19,728,349 | (9,795,106) | |
Net Assets | |||
Beginning of Period | 61,431,173 | 71,226,279 | |
End of Period | 81,159,522 | 61,431,173 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $28.23 | $31.21 | $27.69 | $26.40 | $27.38 | $25.59 |
Investment Operations | ||||||
Net Investment Income | .3741 | .5861 | .7191 | .7871 | .7611 | .746 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.111 | (2.498) | 3.801 | 1.639 | (.614) | 2.324 |
Total from Investment Operations | 7.485 | (1.912) | 4.520 | 2.426 | .147 | 3.070 |
Distributions | ||||||
Dividends from Net Investment Income | (.395) | (.624) | (.752) | (.851) | (.788) | (.752) |
Distributions from Realized Capital Gains | — | — | — | — | (.011) | (.187) |
Return of Capital | — | (.444) | (.248) | (.285) | (.328) | (.341) |
Total Distributions | (.395) | (1.068) | (1.000) | (1.136) | (1.127) | (1.280) |
Net Asset Value, End of Period | $35.32 | $28.23 | $31.21 | $27.69 | $26.40 | $27.38 |
Total Return2 | 26.66% | -5.88% | 16.59% | 9.53% | 0.45% | 12.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $214 | $188 | $243 | $1,871 | $2,143 | $2,603 |
Ratio of Total Expenses to Average Net Assets | 0.26% | 0.26% | 0.26% | 0.25% | 0.26% | 0.26% |
Ratio of Net Investment Income to Average Net Assets | 2.35% | 2.18% | 2.48% | 3.02% | 2.87% | 2.60% |
Portfolio Turnover Rate3 | 3% | 8% | 6% | 24% | 6% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $84.96 | $93.93 | $83.36 | $79.47 | $82.43 | $77.05 |
Investment Operations | ||||||
Net Investment Income | 1.1791 | 1.8891 | 2.3351 | 2.4871 | 2.4991 | 2.334 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.427 | (7.525) | 11.379 | 4.934 | (1.945) | 7.022 |
Total from Investment Operations | 22.606 | (5.636) | 13.714 | 7.421 | .554 | 9.356 |
Distributions | ||||||
Dividends from Net Investment Income | (1.256) | (1.947) | (2.364) | (2.646) | (2.458) | (2.353) |
Distributions from Realized Capital Gains | — | — | — | — | (.034) | (.563) |
Return of Capital | — | (1.387) | (.780) | (.885) | (1.022) | (1.060) |
Total Distributions | (1.256) | (3.334) | (3.144) | (3.531) | (3.514) | (3.976) |
Net Asset Value, End of Period | $106.31 | $84.96 | $93.93 | $83.36 | $79.47 | $82.43 |
Total Return | 26.75% | -5.80% | 16.70% | 9.70% | 0.59% | 12.25% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $43,816 | $32,064 | $37,682 | $30,857 | $32,377 | $33,527 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 2.45% | 2.33% | 2.60% | 3.15% | 3.01% | 2.74% |
Portfolio Turnover Rate2 | 3% | 8% | 6% | 24% | 6% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $120.40 | $133.12 | $118.14 | $112.63 | $116.83 | $109.19 |
Investment Operations | ||||||
Net Investment Income | 1.6631 | 2.6771 | 3.3151 | 3.5071 | 3.5381 | 3.306 |
Net Realized and Unrealized Gain (Loss) on Investments | 30.385 | (10.672) | 16.121 | 7.008 | (2.761) | 9.966 |
Total from Investment Operations | 32.048 | (7.995) | 19.436 | 10.515 | .777 | 13.272 |
Distributions | ||||||
Dividends from Net Investment Income | (1.778) | (2.759) | (3.350) | (3.751) | (3.483) | (3.333) |
Distributions from Realized Capital Gains | — | — | — | — | (.048) | (.798) |
Return of Capital | — | (1.966) | (1.106) | (1.254) | (1.447) | (1.501) |
Total Distributions | (1.778) | (4.725) | (4.456) | (5.005) | (4.978) | (5.632) |
Net Asset Value, End of Period | $150.67 | $120.40 | $133.12 | $118.14 | $112.63 | $116.83 |
Total Return2 | 26.77% | -5.74% | 16.73% | 9.69% | 0.58% | 12.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $25,235 | $19,702 | $23,274 | $18,223 | $17,757 | $18,337 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.11% | 0.12% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 2.44% | 2.33% | 2.60% | 3.16% | 3.01% | 2.74% |
Portfolio Turnover Rate3 | 3% | 8% | 6% | 24% | 6% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $18.64 | $20.60 | $18.28 | $17.43 | $18.08 | $16.90 |
Investment Operations | ||||||
Net Investment Income | .2591 | .4211 | .5181 | .5431 | .5681 | .515 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.698 | (1.646) | 2.496 | 1.085 | (.444) | 1.540 |
Total from Investment Operations | 4.957 | (1.225) | 3.014 | 1.628 | .124 | 2.055 |
Distributions | ||||||
Dividends from Net Investment Income | (.277) | (.429) | (.522) | (.583) | (.542) | (.519) |
Distributions from Realized Capital Gains | — | — | — | — | (.007) | (.123) |
Return of Capital | — | (.306) | (.172) | (.195) | (.225) | (.233) |
Total Distributions | (.277) | (.735) | (.694) | (.778) | (.774) | (.875) |
Net Asset Value, End of Period | $23.32 | $18.64 | $20.60 | $18.28 | $17.43 | $18.08 |
Total Return | 26.75% | -5.68% | 16.77% | 9.70% | 0.60% | 12.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,895 | $9,478 | $10,027 | $8,206 | $8,176 | $7,799 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.46% | 2.37% | 2.63% | 3.18% | 3.03% | 2.76% |
Portfolio Turnover Rate2 | 3% | 8% | 6% | 24% | 6% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 80,953,896 | — | 568 | 80,954,464 |
Temporary Cash Investments | 373,013 | — | — | 373,013 |
Total | 81,326,909 | — | 568 | 81,327,477 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 1,931 | — | 1,931 |
Liabilities | ||||
Swap Contracts | — | 3,550 | — | 3,550 |
D. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 61,909,529 |
Gross Unrealized Appreciation | 22,534,033 |
Gross Unrealized Depreciation | (3,117,704) |
Net Unrealized Appreciation (Depreciation) | 19,416,329 |
E. | During the six months ended July 31, 2021, the fund purchased $8,361,766,000 of investment securities and sold $4,572,194,000 of investment securities, other than temporary cash investments. Purchases and sales include $5,772,757,000 and $2,536,331,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 26,465 | 794 | 16,000 | 586 | |
Issued in Lieu of Cash Distributions | 2,460 | 77 | 7,522 | 282 | |
Redeemed | (46,204) | (1,468) | (53,283) | (2,013) | |
Net Increase (Decrease)—Investor Shares | (17,279) | (597) | (29,761) | (1,145) | |
ETF Shares | |||||
Issued | 5,888,466 | 60,628 | 8,299,471 | 100,643 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (2,537,201) | (25,900) | (9,475,854) | (124,400) | |
Net Increase (Decrease)—ETF Shares | 3,351,265 | 34,728 | (1,176,383) | (23,757) | |
Admiral Shares | |||||
Issued | 2,100,630 | 15,314 | 3,229,939 | 28,465 | |
Issued in Lieu of Cash Distributions | 257,944 | 1,879 | 688,666 | 6,053 | |
Redeemed | (1,819,648) | (13,341) | (5,100,895) | (45,719) | |
Net Increase (Decrease)—Admiral Shares | 538,926 | 3,852 | (1,182,290) | (11,201) |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 991,262 | 46,898 | 1,959,562 | 112,493 | |
Issued in Lieu of Cash Distributions | 130,864 | 6,163 | 343,567 | 19,520 | |
Redeemed | (1,090,163) | (51,579) | (1,946,458) | (110,090) | |
Net Increase (Decrease)—Institutional Shares | 31,963 | 1,482 | 356,671 | 21,923 |
G. | Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows: |
Current Period Transactions | ||||||||
Jan. 31, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Jul. 31, 2021 Market Value ($000) | |
Vanguard Market Liquidity Fund | 353,714 | NA1 | NA1 | 30 | (31) | 34 | — | 373,013 |
Vanguard Real Estate II Index Fund | 7,399,530 | 106,864 | — | — | 1,877,266 | 106,864 | — | 9,381,743 |
Total | 7,753,244 | 106,864 | — | 30 | 1,877,235 | 106,898 | — | 9,754,756 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
H. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
Diversified Real Estate Activities | 0.2% |
Diversified REITs | 3.9 |
Health Care REITs | 8.4 |
Hotel & Resort REITs | 2.8 |
Industrial REITs | 10.9 |
Office REITs | 7.1 |
Real Estate Development | 0.3 |
Real Estate Operating Companies | 0.2 |
Real Estate Services | 4.0 |
Residential REITs | 14.9 |
Retail REITs | 9.7 |
Specialized REITs | 37.6 |
Shares | Market Value• ($000) | |||||
Equity Real Estate Investment Trusts (REITs) (95.2%) | ||||||
Diversified REITs (3.9%) | ||||||
WP Carey Inc. | 1,072,485 | 86,539 | ||||
VEREIT Inc. | 1,400,486 | 68,582 | ||||
STORE Capital Corp. | 1,445,182 | 52,301 | ||||
Broadstone Net Lease Inc. | 891,407 | 23,194 | ||||
* | DigitalBridge Group Inc. | 2,954,710 | 20,565 | |||
Essential Properties Realty Trust Inc. | 653,727 | 19,481 | ||||
PS Business Parks Inc. | 126,032 | 19,367 | ||||
Washington REIT | 517,115 | 12,561 | ||||
American Assets Trust Inc. | 314,509 | 11,615 | ||||
iStar Inc. | 451,960 | 10,951 | ||||
Empire State Realty Trust Inc. Class A | 887,311 | 10,142 | ||||
Global Net Lease Inc. | 547,851 | 10,119 | ||||
Alexander & Baldwin Inc. | 443,112 | 8,871 | ||||
Gladstone Commercial Corp. | 218,687 | 5,069 | ||||
Armada Hoffler Properties Inc. | 363,020 | 4,719 | ||||
One Liberty Properties Inc. | 100,808 | 3,084 | ||||
367,160 | ||||||
Health Care REITs (8.4%) | ||||||
Welltower Inc. | 2,552,155 | 221,680 | ||||
Ventas Inc. | 2,290,892 | 136,950 | ||||
Healthpeak Properties Inc. | 3,293,823 | 121,773 | ||||
Medical Properties Trust Inc. | 3,535,545 | 74,352 | ||||
Omega Healthcare Investors Inc. | 1,417,123 | 51,413 | ||||
Healthcare Trust of America Inc. Class A | 1,337,288 | 38,233 | ||||
Healthcare Realty Trust Inc. | 854,236 | 27,233 | ||||
Physicians Realty Trust | 1,272,786 | 24,119 | ||||
Sabra Health Care REIT Inc. | 1,289,067 | 23,964 | ||||
National Health Investors Inc. | 262,363 | 17,901 | ||||
CareTrust REIT Inc. | 586,480 | 14,146 | ||||
LTC Properties Inc. | 240,108 | 9,088 |
Shares | Market Value• ($000) | |||||
Community Healthcare Trust Inc. | 139,442 | 6,948 | ||||
Diversified Healthcare Trust | 1,454,880 | 5,674 | ||||
Global Medical REIT Inc. | 346,790 | 5,396 | ||||
Universal Health Realty Income Trust | 84,255 | 5,034 | ||||
New Senior Investment Group Inc. | 507,008 | 4,675 | ||||
788,579 | ||||||
Hotel & Resort REITs (2.8%) | ||||||
* | Host Hotels & Resorts Inc. | 4,313,225 | 68,710 | |||
MGM Growth Properties LLC Class A | 920,288 | 34,787 | ||||
* | Ryman Hospitality Properties Inc. | 319,298 | 24,490 | |||
Apple Hospitality REIT Inc. | 1,296,196 | 19,378 | ||||
* | Park Hotels & Resorts Inc. | 1,043,149 | 19,298 | |||
Pebblebrook Hotel Trust | 802,691 | 18,053 | ||||
* | Sunstone Hotel Investors Inc. | 1,318,373 | 15,214 | |||
RLJ Lodging Trust | 1,008,669 | 14,474 | ||||
* | Xenia Hotels & Resorts Inc. | 695,249 | 12,292 | |||
Service Properties Trust | 1,007,519 | 11,214 | ||||
* | DiamondRock Hospitality Co. | 1,284,136 | 11,056 | |||
* | Summit Hotel Properties Inc. | 647,542 | 5,834 | |||
* | Chatham Lodging Trust | 287,710 | 3,533 | |||
* | CorePoint Lodging Inc. | 248,278 | 3,337 | |||
261,670 | ||||||
Industrial REITs (10.9%) | ||||||
Prologis Inc. | 4,521,778 | 578,968 | ||||
Duke Realty Corp. | 2,285,495 | 116,286 | ||||
Rexford Industrial Realty Inc. | 803,576 | 49,436 | ||||
Americold Realty Trust | 1,212,141 | 47,092 | ||||
First Industrial Realty Trust Inc. | 789,612 | 43,255 | ||||
EastGroup Properties Inc. | 242,462 | 42,727 | ||||
STAG Industrial Inc. | 968,337 | 40,012 |
Shares | Market Value• ($000) | |||||
Innovative Industrial Properties Inc. | 146,269 | 31,446 | ||||
Terreno Realty Corp. | 419,653 | 28,688 | ||||
Lexington Realty Trust | 1,696,762 | 22,312 | ||||
Monmouth Real Estate Investment Corp. | 571,581 | 10,883 | ||||
Industrial Logistics Properties Trust | 399,271 | 10,820 | ||||
1,021,925 | ||||||
Office REITs (7.1%) | ||||||
Alexandria Real Estate Equities Inc. | 794,036 | 159,871 | ||||
Boston Properties Inc. | 904,576 | 106,179 | ||||
Kilroy Realty Corp. | 640,333 | 44,356 | ||||
Vornado Realty Trust | 994,506 | 43,261 | ||||
Cousins Properties Inc. | 908,242 | 36,075 | ||||
Douglas Emmett Inc. | 1,072,722 | 35,829 | ||||
SL Green Realty Corp. | 431,038 | 32,095 | ||||
Highwoods Properties Inc. | 635,245 | 30,295 | ||||
Hudson Pacific Properties Inc. | 923,462 | 25,174 | ||||
JBG SMITH Properties | 724,032 | 23,625 | ||||
Corporate Office Properties Trust | 685,849 | 20,191 | ||||
Equity Commonwealth | 743,423 | 19,545 | ||||
Brandywine Realty Trust | 1,043,246 | 14,564 | ||||
Piedmont Office Realty Trust Inc. Class A | 757,808 | 14,414 | ||||
Columbia Property Trust Inc. | 702,475 | 11,710 | ||||
Easterly Government Properties Inc. | 502,019 | 11,396 | ||||
Paramount Group Inc. | 1,071,938 | 10,462 | ||||
Office Properties Income Trust | 295,530 | 8,564 | ||||
* | Mack-Cali Realty Corp. | 444,119 | 7,994 | |||
City Office REIT Inc. | 266,051 | 3,424 | ||||
Franklin Street Properties Corp. | 624,444 | 3,260 | ||||
662,284 | ||||||
Residential REITs (14.9%) | ||||||
AvalonBay Communities Inc. | 853,154 | 194,374 | ||||
Equity Residential | 2,164,746 | 182,120 | ||||
Invitation Homes Inc. | 3,468,499 | 141,099 | ||||
Mid-America Apartment Communities Inc. | 699,461 | 135,066 | ||||
Essex Property Trust Inc. | 397,423 | 130,395 | ||||
Sun Communities Inc. | 658,056 | 129,051 | ||||
UDR Inc. | 1,814,987 | 99,806 | ||||
Camden Property Trust | 596,569 | 89,121 | ||||
Equity LifeStyle Properties Inc. | 1,058,990 | 88,743 | ||||
American Homes 4 Rent Class A | 1,737,082 | 72,958 |
Shares | Market Value• ($000) | |||||
Apartment Income REIT Corp. | 910,178 | 47,912 | ||||
American Campus Communities Inc. | 841,443 | 42,333 | ||||
1 | Independence Realty Trust Inc. | 622,412 | 12,000 | |||
NexPoint Residential Trust Inc. | 137,818 | 8,124 | ||||
Centerspace | 79,821 | 7,184 | ||||
Apartment Investment & Management Co. Class A | 911,942 | 6,347 | ||||
UMH Properties Inc. | 255,205 | 5,941 | ||||
Preferred Apartment Communities Inc. | 305,928 | 3,225 | ||||
1,395,799 | ||||||
Retail REITs (9.7%) | ||||||
Simon Property Group Inc. | 2,008,640 | 254,133 | ||||
Realty Income Corp. | 2,283,086 | 160,478 | ||||
Regency Centers Corp. | 934,619 | 61,134 | ||||
Kimco Realty Corp. | 2,644,230 | 56,401 | ||||
National Retail Properties Inc. | 1,071,702 | 52,374 | ||||
Federal Realty Investment Trust | 422,338 | 49,637 | ||||
Brixmor Property Group Inc. | 1,814,382 | 41,767 | ||||
Spirit Realty Capital Inc. | 702,163 | 35,263 | ||||
Agree Realty Corp. | 388,002 | 29,158 | ||||
Weingarten Realty Investors | 744,155 | 23,954 | ||||
Retail Properties of America Inc. Class A | 1,311,996 | 16,544 | ||||
SITE Centers Corp. | 945,758 | 15,000 | ||||
Macerich Co. | 899,053 | 14,655 | ||||
Urban Edge Properties | 715,350 | 13,592 | ||||
Retail Opportunity Investments Corp. | 722,485 | 12,766 | ||||
Acadia Realty Trust | 527,903 | 11,297 | ||||
Kite Realty Group Trust | 515,856 | 10,400 | ||||
Tanger Factory Outlet Centers Inc. | 572,674 | 9,833 | ||||
Getty Realty Corp. | 227,598 | 7,190 | ||||
RPT Realty | 497,326 | 6,336 | ||||
NETSTREIT Corp. | 240,998 | 6,254 | ||||
American Finance Trust Inc. Class A | 664,964 | 5,632 | ||||
Alexander's Inc. | 14,069 | 3,923 | ||||
Saul Centers Inc. | 86,032 | 3,923 | ||||
Urstadt Biddle Properties Inc. Class A | 183,709 | 3,503 | ||||
*,1 | Seritage Growth Properties Class A | 212,763 | 3,377 | |||
*,2 | Spirit MTA REIT | 257,871 | 69 | |||
908,593 | ||||||
Specialized REITs (37.5%) | ||||||
American Tower Corp. | 2,717,247 | 768,437 |
Shares | Market Value• ($000) | |||||
Crown Castle International Corp. | 2,637,310 | 509,238 | ||||
Equinix Inc. | 545,965 | 447,915 | ||||
Public Storage | 962,562 | 300,781 | ||||
Digital Realty Trust Inc. | 1,713,100 | 264,092 | ||||
SBA Communications Corp. | 668,477 | 227,944 | ||||
Weyerhaeuser Co. | 4,572,416 | 154,228 | ||||
Extra Space Storage Inc. | 803,213 | 139,872 | ||||
VICI Properties Inc. | 3,281,552 | 102,352 | ||||
Iron Mountain Inc. | 1,763,588 | 77,175 | ||||
Gaming & Leisure Properties Inc. | 1,352,203 | 64,013 | ||||
CubeSmart | 1,194,025 | 59,295 | ||||
Lamar Advertising Co. Class A | 528,506 | 56,339 | ||||
Life Storage Inc. | 461,437 | 54,154 | ||||
CyrusOne Inc. | 736,596 | 52,497 | ||||
CoreSite Realty Corp. | 261,451 | 36,135 | ||||
Rayonier Inc. | 843,080 | 31,793 | ||||
QTS Realty Trust Inc. Class A | 395,029 | 30,698 | ||||
National Storage Affiliates Trust | 507,118 | 27,471 | ||||
EPR Properties | 457,042 | 22,989 | ||||
PotlatchDeltic Corp. | 409,052 | 21,246 | ||||
* | Outfront Media Inc. | 882,829 | 21,091 | |||
Uniti Group Inc. | 1,422,859 | 16,662 | ||||
Four Corners Property Trust Inc. | 465,523 | 13,365 | ||||
Safehold Inc. | 97,658 | 8,820 | ||||
1 | GEO Group Inc. | 741,210 | 5,129 | |||
Gladstone Land Corp. | 159,695 | 3,724 | ||||
CatchMark Timber Trust Inc. Class A | 298,818 | 3,493 | ||||
3,520,948 | ||||||
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,634,960) | 8,926,958 | |||||
Real Estate Management & Development (4.6%) | ||||||
Diversified Real Estate Activities (0.1%) | ||||||
St. Joe Co. | 197,988 | 8,963 | ||||
RMR Group Inc. Class A | 94,236 | 3,698 | ||||
* | Five Point Holdings LLC Class A | 359,146 | 3,006 | |||
15,667 | ||||||
Real Estate Development (0.3%) | ||||||
* | Howard Hughes Corp. | 252,658 | 23,424 | |||
* | Forestar Group Inc. | 102,966 | 2,108 | |||
25,532 |
Shares | Market Value• ($000) | |||||
Real Estate Operating Companies (0.2%) | ||||||
Kennedy-Wilson Holdings Inc. | 777,559 | 15,699 | ||||
* | FRP Holdings Inc. | 37,293 | 2,242 | |||
17,941 | ||||||
Real Estate Services (4.0%) | ||||||
* | CBRE Group Inc. Class A | 2,052,133 | 197,949 | |||
* | Jones Lang LaSalle Inc. | 312,544 | 69,563 | |||
* | Redfin Corp. | 567,871 | 33,260 | |||
* | Cushman & Wakefield plc | 814,608 | 15,209 | |||
* | eXp World Holdings Inc. | 384,842 | 13,823 | |||
Newmark Group Inc. Class A | 972,485 | 12,526 | ||||
* | Realogy Holdings Corp. | 706,311 | 12,516 | |||
* | Opendoor Technologies Inc. | 705,760 | 10,459 | |||
* | Marcus & Millichap Inc. | 144,822 | 5,762 | |||
RE/MAX Holdings Inc. Class A | 113,722 | 3,901 | ||||
374,968 | ||||||
Total Real Estate Management & Development (Cost $290,168) | 434,108 | |||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 0.064% (Cost $33,004) | 330,055 | 33,006 | |||
Total Investments (100.1%) (Cost $6,958,132) | 9,394,072 | |||||
Other Assets and Liabilities—Net (-0.1%) | (12,329) | |||||
Net Assets (100%) | 9,381,743 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $15,464,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $16,470,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Americold Realty Trust | 1/31/22 | GSI | 9,840 | (0.089) | — | (128) |
Park Hotels & Resorts Inc. | 1/31/22 | GSI | 7,532 | (0.089) | — | (132) |
— | (260) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,925,128) | 9,361,066 |
Affiliated Issuers (Cost $33,004) | 33,006 |
Total Investments in Securities | 9,394,072 |
Investment in Vanguard | 307 |
Cash | 450 |
Receivables for Accrued Income | 4,421 |
Total Assets | 9,399,250 |
Liabilities | |
Payables for Investment Securities Purchased | 450 |
Collateral for Securities on Loan | 16,470 |
Payables to Vanguard | 327 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 260 |
Total Liabilities | 17,507 |
Net Assets | 9,381,743 |
At July 31, 2021, net assets consisted of: | |
Paid-in Capital | 7,009,289 |
Total Distributable Earnings (Loss) | 2,372,454 |
Net Assets | 9,381,743 |
Net Assets | |
Applicable to 365,543,416 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,381,743 |
Net Asset Value Per Share | $25.67 |
Six Months Ended July 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 100,221 |
Interest1 | 2 |
Securities Lending—Net | 128 |
Total Income | 100,351 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 503 |
Management and Administrative | 2,850 |
Marketing and Distribution | 21 |
Custodian Fees | 21 |
Shareholders’ Reports | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,397 |
Net Investment Income | 96,954 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received | 11,444 |
Investment Securities Sold1 | (17,372) |
Swap Contracts | 397 |
Realized Net Gain (Loss) | (5,531) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 1,891,050 |
Swap Contracts | (260) |
Change in Unrealized Appreciation (Depreciation) | 1,890,790 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,982,213 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, $3,000, and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 96,954 | 165,977 | |
Realized Net Gain (Loss) | (5,531) | (9,691) | |
Change in Unrealized Appreciation (Depreciation) | 1,890,790 | (604,377) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,982,213 | (448,091) | |
Distributions | |||
Net Investment Income | (106,864) | (163,444) | |
Return of Capital | — | (119,057) | |
Total Distributions | (106,864) | (282,501) | |
Capital Share Transactions | |||
Issued | — | — | |
Issued in Lieu of Cash Distributions | 106,864 | 282,501 | |
Redeemed | — | — | |
Net Increase (Decrease) from Capital Share Transactions | 106,864 | 282,501 | |
Total Increase (Decrease) | 1,982,213 | (448,091) | |
Net Assets | |||
Beginning of Period | 7,399,530 | 7,847,621 | |
End of Period | 9,381,743 | 7,399,530 |
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2021 | Year Ended January 31, | September 26, 20171 to January 31, 2018 | ||
2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $20.50 | $22.64 | $20.10 | $19.17 | $20.00 |
Investment Operations | |||||
Net Investment Income2 | .267 | .471 | .571 | .611 | .268 |
Net Realized and Unrealized Gain (Loss) on Investments | 5.198 | (1.808) | 2.752 | 1.176 | (.834) |
Total from Investment Operations | 5.465 | (1.337) | 3.323 | 1.787 | (.566) |
Distributions | |||||
Dividends from Net Investment Income | (.295) | (.465) | (.590) | (.626) | (.225) |
Distributions from Realized Capital Gains | — | — | — | — | (.030) |
Return of Capital | — | (.338) | (.193) | (.231) | (.009) |
Total Distributions | (.295) | (.803) | (.783) | (.857) | (.264) |
Net Asset Value, End of Period | $25.67 | $20.50 | $22.64 | $20.10 | $19.17 |
Total Return | 26.81% | -5.70% | 16.78% | 9.68% | -2.89% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $9,382 | $7,400 | $7,848 | $6,719 | $6,126 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 2.30% | 2.41% | 2.63% | 3.22% | 3.84%3 |
Portfolio Turnover Rate | 2% | 4% | 3% | 23% | 1% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 9,360,997 | — | 69 | 9,361,066 |
Temporary Cash Investments | 33,006 | — | — | 33,006 |
Total | 9,394,003 | — | 69 | 9,394,072 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Swap Contracts | — | 260 | — | 260 |
D. | As of July 31, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 6,975,609 |
Gross Unrealized Appreciation | 2,879,939 |
Gross Unrealized Depreciation | (461,736) |
Net Unrealized Appreciation (Depreciation) | 2,418,203 |
E. | During the six months ended July 31, 2021, the fund purchased $245,871,000 of investment securities and sold $148,409,000 of investment securities, other than temporary cash investments. |
F. | Capital shares issued and redeemed were: |
Six Months Ended July 31, 2021 | Year Ended January 31, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | — | — | |
Issued in Lieu of Cash Distributions | 4,598 | 14,371 | |
Redeemed | — | — | |
Net Increase (Decrease) in Shares Outstanding | 4,598 | 14,371 |
G. | Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements. |
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U.S. Patent Nos. 6,879,964 and 7,720,749.
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Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (11.6%) | ||||||
U.S. Government Securities (11.4%) | ||||||
U.S. Treasury Note/Bond | 0.125% | 10/31/22 | 500,000 | 500,156 | ||
U.S. Treasury Note/Bond | 0.125% | 11/30/22 | 500,000 | 500,078 | ||
1 | U.S. Treasury Note/Bond | 0.125% | 12/31/22 | 500,000 | 500,000 | |
U.S. Treasury Note/Bond | 0.125% | 1/31/23 | 500,000 | 499,922 | ||
U.S. Treasury Note/Bond | 0.125% | 2/28/23 | 500,000 | 499,844 | ||
2 | U.S. Treasury Note/Bond | 0.125% | 10/15/23 | 250,000 | 249,492 | |
2 | U.S. Treasury Note/Bond | 0.125% | 12/15/23 | 800,000 | 797,750 | |
U.S. Treasury Note/Bond | 0.125% | 1/15/24 | 500,000 | 498,438 | ||
U.S. Treasury Note/Bond | 0.375% | 4/15/24 | 600,000 | 601,219 | ||
3 | U.S. Treasury Note/Bond | 0.250% | 5/15/24 | 400,000 | 399,250 | |
U.S. Treasury Note/Bond | 1.500% | 11/30/24 | 350,000 | 362,578 | ||
2 | U.S. Treasury Note/Bond | 0.250% | 10/31/25 | 600,000 | 591,469 | |
2 | U.S. Treasury Note/Bond | 0.375% | 1/31/26 | 850,000 | 840,438 | |
2 | U.S. Treasury Note/Bond | 0.500% | 2/28/26 | 500,000 | 496,875 | |
U.S. Treasury Note/Bond | 0.750% | 3/31/26 | 850,000 | 853,984 | ||
U.S. Treasury Note/Bond | 0.625% | 7/31/26 | 500,000 | 498,221 | ||
U.S. Treasury Note/Bond | 0.625% | 12/31/27 | 180,000 | 176,681 | ||
U.S. Treasury Note/Bond | 0.875% | 11/15/30 | 100,000 | 97,156 | ||
8,963,551 | ||||||
Nonconventional Mortgage-Backed Securities (0.2%) | ||||||
4,5,6 | Fannie Mae Pool, 12M USD LIBOR + 1.690% | 2.060% | 2/1/37 | 286 | 304 | |
4,5,6 | Fannie Mae Pool, 12M USD LIBOR + 1.750% | 2.309% | 9/1/32 | 80 | 84 | |
4,5,6 | Fannie Mae Pool, 12M USD LIBOR + 1.760% | 2.325% | 8/1/37 | 241 | 252 | |
4,5,6 | Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.410% | 8/1/33 | 448 | 470 | |
4,5,6 | Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.535% | 8/1/33 | 448 | 460 | |
4,5,6 | Fannie Mae Pool, 12M USD LIBOR + 1.800% | 2.556% | 7/1/33 | 1,175 | 1,216 | |
4,5,6 | Fannie Mae Pool, 12M USD LIBOR + 1.960% | 2.710% | 5/1/33 | 74 | 74 | |
4,5,6 | Fannie Mae Pool, 1YR CMT + 2.000% | 2.125% | 12/1/32 | 144 | 148 | |
4,5,6 | Fannie Mae Pool, 1YR CMT + 2.125% | 2.221% | 6/1/33 | 629 | 655 | |
4,5,6 | Fannie Mae Pool, 1YR CMT + 2.185% | 2.560% | 7/1/32 | 55 | 56 | |
4,5,6 | Fannie Mae Pool, 1YR CMT + 2.210% | 2.335% | 5/1/33 | 814 | 865 | |
4,5 | Fannie Mae REMICS | 2.100% | 4/25/43 | 5,847 | 5,947 | |
4,5 | Fannie Mae REMICS | 2.250% | 7/25/43–6/25/44 | 9,452 | 9,715 | |
4,5 | Fannie Mae REMICS | 2.500% | 6/25/40–1/25/50 | 24,944 | 26,016 | |
4,5 | Fannie Mae REMICS | 3.000% | 9/25/49 | 10,140 | 10,675 | |
4,5 | Fannie Mae REMICS | 3.500% | 12/25/45 | 6,416 | 6,969 | |
4,5,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% | 2.399% | 8/1/37 | 1,023 | 1,079 | |
4,5,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893% | 2.393% | 9/1/32 | 573 | 591 | |
4,5,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% | 2.336% | 2/1/33 | 38 | 40 | |
4,5,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% | 2.461% | 10/1/32 | 160 | 171 | |
4,5,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% | 2.586% | 8/1/33 | 348 | 370 | |
4,5,6 | Freddie Mac Non Gold Pool, 1YR CMT + 2.250% | 2.500% | 8/1/32 | 236 | 252 | |
4,5,6 | Freddie Mac Non Gold Pool, 1YR CMT + 2.250% | 2.513% | 8/1/32 | 412 | 427 | |
4,5,6 | Freddie Mac Non Gold Pool, 1YR CMT + 2.254% | 2.379% | 9/1/32 | 27 | 27 | |
4,5 | Freddie Mac REMICS | 2.250% | 6/15/43–6/15/44 | 14,955 | 15,332 | |
4,5 | Freddie Mac REMICS | 2.500% | 12/25/49 | 21,077 | 22,158 | |
4,5 | Freddie Mac REMICS | 2.750% | 10/25/49 | 6,127 | 6,478 | |
4,5 | Freddie Mac REMICS | 3.000% | 10/15/45 | 8,759 | 9,073 | |
4,5 | Freddie Mac REMICS | 3.500% | 12/25/49 | 8,687 | 9,293 | |
4 | Ginnie Mae | 2.500% | 9/20/49 | 6,986 | 7,248 | |
4 | Ginnie Mae | 2.750% | 3/20/46 | 4,855 | 4,942 | |
4 | Ginnie Mae | 3.000% | 3/20/41–12/20/47 | 6,091 | 6,328 | |
147,715 | ||||||
Total U.S. Government and Agency Obligations (Cost $9,093,602) | 9,111,266 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (8.2%) | ||||||
4 | Ally Auto Receivables Trust Class A4 Series 2019-1 | 3.020% | 4/15/24 | 6,300 | 6,470 | |
4 | Ally Auto Receivables Trust Class A4 Series 2019-4 | 1.920% | 1/15/25 | 8,150 | 8,351 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,7 | American Homes 4 Rent Trust Class A Series 2014-SFR2 | 3.786% | 10/17/36 | 11,886 | 12,613 | |
4,7 | American Homes 4 Rent Trust Class A Series 2015-SFR2 | 3.732% | 10/17/52 | 6,343 | 6,804 | |
4,7 | American Homes 4 Rent Trust Class B Series 2014-SFR2 | 4.290% | 10/17/36 | 3,360 | 3,584 | |
4,7 | American Homes 4 Rent Trust Class B Series 2015-SFR2 | 4.295% | 10/17/52 | 2,830 | 3,075 | |
4 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2 | 0.340% | 12/18/26 | 11,160 | 11,199 | |
4 | AmeriCredit Automobile Receivables Trust Class C Series 2020-2 | 1.480% | 2/18/26 | 7,730 | 7,847 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2018-2 | 4.010% | 7/18/24 | 19,450 | 20,365 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2019-1 | 3.620% | 3/18/25 | 21,620 | 22,645 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2020-2 | 2.130% | 3/18/26 | 7,990 | 8,212 | |
4,7 | AOA Mortgage Trust Class A Series 2015-1177 | 2.957% | 12/13/29 | 13,390 | 13,394 | |
4,6,7 | Aventura Mall Trust Class A Series 2018-AVM | 4.112% | 7/5/40 | 580 | 665 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A | 3.070% | 9/20/23 | 7,640 | 7,834 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2018-2A | 4.000% | 3/20/25 | 17,935 | 19,374 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-1A | 3.450% | 3/20/23 | 19,930 | 20,200 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-2A | 3.350% | 9/22/25 | 14,490 | 15,566 | |
4 | Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS7 | 3.441% | 9/15/48 | 6,999 | 7,506 | |
4 | Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3 | 3.574% | 2/15/50 | 4,760 | 5,315 | |
4,6 | Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7 | 4.358% | 9/15/48 | 1,600 | 1,602 | |
4,6 | Banc of America Funding Trust Class 2A2 Series 2006-H | 3.132% | 9/20/46 | 5,064 | 4,061 | |
4 | BANK Class A4 Series 2017-BNK4 | 3.625% | 5/15/50 | 3,890 | 4,357 | |
4 | BANK Class A4 Series 2017-BNK7 | 3.175% | 9/15/60 | 830 | 906 | |
4 | BANK Class A4 Series 2017-BNK8 | 3.488% | 11/15/50 | 5,500 | 6,152 | |
4 | BANK Class A5 Series 2017-BNK7 | 3.435% | 9/15/60 | 3,120 | 3,477 | |
4 | BANK Class AS Series 2017-BNK6 | 3.741% | 7/15/60 | 3,080 | 3,414 | |
4 | BANK Class ASB Series 2018-BN14 | 4.185% | 9/15/60 | 6,680 | 7,559 | |
4 | BANK Class ASB Series 2019-BN17 | 3.623% | 4/15/52 | 7,533 | 8,436 | |
4 | Bank of America Credit Card Trust Class A1 Series 2021-A1 | 0.440% | 9/15/26 | 12,810 | 12,811 | |
4,6 | Bank of America Mortgage Trust Class A2 Series 2002-J | 3.601% | 9/25/32 | 14 | 13 | |
4,6 | Bear Stearns ARM Trust Class 1A1 Series 2007-3 | 3.164% | 5/25/47 | 6,004 | 5,874 | |
4,6 | Bear Stearns ARM Trust Class 2A1 Series 2006-4 | 2.852% | 10/25/36 | 6,909 | 6,334 | |
4 | Benchmark Mortgage Trust Class A5 Series 2020-B16 | 2.732% | 2/15/53 | 17,390 | 18,641 | |
4,6 | Benchmark Mortgage Trust Class AM Series 2018-B1 | 3.878% | 1/15/51 | 5,990 | 6,683 | |
4 | Benchmark Mortgage Trust Class ASB Series 2019-B10 | 3.615% | 3/15/62 | 8,042 | 8,994 | |
4,6 | Brazos Higher Education Authority Inc. Class A2 Series 2011-1, 3M USD LIBOR + 0.800% | 0.947% | 2/25/30 | 9,197 | 9,234 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A3 Series 2018-2A | 3.270% | 12/19/22 | 930 | 934 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A3 Series 2020-1A | 1.830% | 7/19/24 | 31,730 | 32,117 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2018-2A | 3.440% | 8/21/23 | 2,080 | 2,119 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2019-1A | 2.960% | 6/19/24 | 4,170 | 4,293 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2020-1A | 1.890% | 3/19/25 | 6,810 | 6,930 | |
4 | Capital One Multi-Asset Execution Trust Class A1 Series 2021-A1 | 0.550% | 7/15/26 | 55,900 | 55,972 | |
4 | Capital One Prime Auto Receivables Trust Class A3 Series 2019-1 | 2.510% | 11/15/23 | 22,698 | 22,936 | |
4 | Capital One Prime Auto Receivables Trust Class A3 Series 2020-1 | 1.600% | 11/15/24 | 104,270 | 105,569 | |
4 | Capital One Prime Auto Receivables Trust Class A4 Series 2019-1 | 2.560% | 10/15/24 | 13,130 | 13,515 | |
4 | Capital One Prime Auto Receivables Trust Class A4 Series 2020-1 | 1.630% | 8/15/25 | 25,320 | 25,955 | |
4,7 | CARDS II Trust Class A Series 2021-1A | 0.602% | 4/15/27 | 45,710 | 45,743 | |
4 | CarMax Auto Owner Trust Class A3 Series 2019-4 | 2.020% | 11/15/24 | 49,210 | 49,960 | |
4 | CarMax Auto Owner Trust Class A3 Series 2021-3 | 0.550% | 6/15/26 | 36,480 | 36,495 | |
4 | CarMax Auto Owner Trust Class A4 Series 2018-4 | 3.480% | 2/15/24 | 6,780 | 7,018 | |
4 | CarMax Auto Owner Trust Class A4 Series 2019-3 | 2.300% | 4/15/25 | 7,570 | 7,837 | |
4 | CarMax Auto Owner Trust Class A4 Series 2019-4 | 2.130% | 7/15/25 | 13,790 | 14,275 | |
4 | CarMax Auto Owner Trust Class A4 Series 2020-1 | 2.030% | 6/16/25 | 12,860 | 13,308 | |
4 | CarMax Auto Owner Trust Class B Series 2017-4 | 2.460% | 8/15/23 | 4,830 | 4,868 | |
4 | CarMax Auto Owner Trust Class B Series 2018-2 | 3.370% | 10/16/23 | 4,755 | 4,868 | |
4 | CarMax Auto Owner Trust Class B Series 2018-4 | 3.670% | 5/15/24 | 5,940 | 6,208 | |
4 | CarMax Auto Owner Trust Class B Series 2019-3 | 2.500% | 4/15/25 | 9,610 | 9,974 | |
4 | CarMax Auto Owner Trust Class B Series 2020-3 | 1.090% | 3/16/26 | 7,740 | 7,812 | |
4 | CarMax Auto Owner Trust Class C Series 2017-4 | 2.700% | 10/16/23 | 4,830 | 4,872 | |
4 | CarMax Auto Owner Trust Class C Series 2018-1 | 2.950% | 11/15/23 | 6,170 | 6,257 | |
4 | CarMax Auto Owner Trust Class C Series 2018-2 | 3.570% | 12/15/23 | 6,860 | 7,033 | |
4 | CarMax Auto Owner Trust Class C Series 2018-4 | 3.850% | 7/15/24 | 4,030 | 4,215 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | CarMax Auto Owner Trust Class C Series 2019-4 | 2.600% | 9/15/25 | 4,240 | 4,415 | |
4 | CarMax Auto Owner Trust Class C Series 2020-3 | 1.690% | 4/15/26 | 4,840 | 4,949 | |
4 | CarMax Auto Owner Trust Class C Series 2020-4 | 1.300% | 8/17/26 | 6,190 | 6,227 | |
4 | CarMax Auto Owner Trust Class C Series 2021-3 | 1.250% | 5/17/27 | 8,400 | 8,407 | |
4 | CarMax Auto Owner Trust Class D Series 2018-2 | 3.990% | 4/15/25 | 5,300 | 5,437 | |
4 | CarMax Auto Owner Trust Class D Series 2018-4 | 4.150% | 4/15/25 | 2,730 | 2,851 | |
4 | CD Mortgage Trust Class A4 Series 2016-CD1 | 2.724% | 8/10/49 | 3,650 | 3,913 | |
4 | CD Mortgage Trust Class A4 Series 2017-CD3 | 3.631% | 2/10/50 | 5,355 | 5,967 | |
4,6 | CD Mortgage Trust Class A4 Series 2017-CD4 | 3.514% | 5/10/50 | 6,310 | 7,005 | |
4 | CD Mortgage Trust Class A5 Series 2017-CD6 | 3.456% | 11/13/50 | 6,715 | 7,449 | |
4,6 | CD Mortgage Trust Class C Series 2016-CD1 | 3.631% | 8/10/49 | 6,299 | 6,628 | |
4 | CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4 | 3.283% | 5/10/58 | 5,064 | 5,490 | |
4,6,7 | CFCRE Commercial Mortgage Trust Class AJ Series 2011-C2 | 5.776% | 12/15/47 | 14,658 | 14,718 | |
4,7 | Chesapeake Funding II LLC Class A1 Series 2019-1A | 2.940% | 4/15/31 | 15,509 | 15,633 | |
4,6 | CHL Mortgage Class 1A1 Series 2006-HYB1 Pass-Through Trust | 2.629% | 3/20/36 | 4,002 | 3,421 | |
4,6 | CHL Mortgage Class 3A1 Series 2007-HYB2 Pass-Through Trust | 2.850% | 2/25/47 | 4,553 | 3,663 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC23 | 3.356% | 7/10/47 | 7,352 | 7,765 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC25 | 3.372% | 10/10/47 | 16,334 | 17,342 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8 | 3.203% | 9/15/50 | 2,641 | 2,861 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC11 | 3.093% | 4/10/46 | 6,350 | 6,578 | |
4,6 | Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC15 | 4.371% | 9/10/46 | 3,786 | 4,061 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC19 | 4.023% | 3/10/47 | 19,843 | 21,297 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC21 | 3.575% | 5/10/47 | 2,913 | 3,052 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC23 | 3.622% | 7/10/47 | 25,685 | 27,618 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC25 | 3.635% | 10/10/47 | 12,858 | 13,855 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2015-GC31 | 3.762% | 6/10/48 | 25,297 | 27,751 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-C4 | 3.471% | 10/12/50 | 4,800 | 5,333 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-P8 | 3.465% | 9/15/50 | 4,683 | 5,227 | |
4,6 | Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5 | 4.228% | 6/10/51 | 4,260 | 4,947 | |
4 | Citigroup Commercial Mortgage Trust Class A5 Series 2014-GC21 | 3.855% | 5/10/47 | 10,000 | 10,799 | |
4 | Citigroup Commercial Mortgage Trust Class A5 Series 2015-GC27 | 3.137% | 2/10/48 | 38,271 | 40,810 | |
4 | Citigroup Commercial Mortgage Trust Class AS Series 2014-GC23 | 3.863% | 7/10/47 | 12,426 | 13,357 | |
4,6 | Citigroup Commercial Mortgage Trust Class B Series 2014-GC23 | 4.175% | 7/10/47 | 5,394 | 5,798 | |
4 | Citigroup Commercial Mortgage Trust Class B Series 2017-P8 | 4.192% | 9/15/50 | 9,500 | 10,567 | |
4,6 | Citigroup Commercial Mortgage Trust Class C Series 2014-GC23 | 4.430% | 7/10/47 | 4,380 | 4,746 | |
4,6 | Citigroup Commercial Mortgage Trust Class C Series 2015-GC33 | 4.573% | 9/10/58 | 4,000 | 4,047 | |
4,6 | Citigroup Commercial Mortgage Trust Class C Series 2017-P8 | 4.266% | 9/15/50 | 2,200 | 2,445 | |
4,6 | Citigroup Mortgage Loan Trust Class 2A1A Series 2007-AR8 | 2.993% | 7/25/37 | 299 | 280 | |
4 | COMM Mortgage Trust Class A2 Series 2014-CR15 | 2.928% | 2/10/47 | 408 | 408 | |
4 | COMM Mortgage Trust Class A3 Series 2012-CR4 | 2.853% | 10/15/45 | 10,904 | 11,083 | |
4 | COMM Mortgage Trust Class A3 Series 2013-CR11 | 3.983% | 8/10/50 | 13,316 | 14,154 | |
4 | COMM Mortgage Trust Class A3 Series 2013-CR12 | 3.765% | 10/10/46 | 7,416 | 7,788 | |
4 | COMM Mortgage Trust Class A3 Series 2014-CR14 | 3.955% | 2/10/47 | 1,915 | 2,037 | |
4 | COMM Mortgage Trust Class A3 Series 2014-CR20 | 3.326% | 11/10/47 | 17,593 | 18,633 | |
4 | COMM Mortgage Trust Class A4 Series 2012-CR5 | 2.771% | 12/10/45 | 2,640 | 2,707 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR11 | 4.258% | 8/10/50 | 7,275 | 7,802 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR12 | 4.046% | 10/10/46 | 8,502 | 9,090 | |
4,6 | COMM Mortgage Trust Class A4 Series 2013-CR13 | 4.194% | 11/10/46 | 3,617 | 3,894 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR8 | 3.334% | 6/10/46 | 278 | 284 | |
4,6 | COMM Mortgage Trust Class A4 Series 2013-CR9 | 4.246% | 7/10/45 | 12,916 | 13,693 | |
4 | COMM Mortgage Trust Class A4 Series 2013-LC6 | 2.941% | 1/10/46 | 3,142 | 3,222 | |
4,6 | COMM Mortgage Trust Class A4 Series 2014-CR14 | 4.236% | 2/10/47 | 18,995 | 20,487 | |
4,6 | COMM Mortgage Trust Class A4 Series 2014-CR15 | 4.074% | 2/10/47 | 20,250 | 21,828 | |
4 | COMM Mortgage Trust Class A4 Series 2014-CR17 | 3.700% | 5/10/47 | 1,772 | 1,894 | |
4 | COMM Mortgage Trust Class A4 Series 2014-CR18 | 3.550% | 7/15/47 | 8,255 | 8,716 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR25 | 3.759% | 8/10/48 | 15,527 | 17,144 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR26 | 3.630% | 10/10/48 | 22,007 | 24,207 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR27 | 3.612% | 10/10/48 | 11,974 | 13,157 | |
4 | COMM Mortgage Trust Class A4 Series 2015-LC19 | 3.183% | 2/10/48 | 9,930 | 10,673 | |
4,6 | COMM Mortgage Trust Class A5 Series 2013-CR8 | 3.612% | 6/10/46 | 8,199 | 8,611 | |
4 | COMM Mortgage Trust Class A5 Series 2013-LC13 | 4.205% | 8/10/46 | 13,223 | 14,060 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | COMM Mortgage Trust Class A5 Series 2014-CR17 | 3.977% | 5/10/47 | 12,668 | 13,721 | |
4 | COMM Mortgage Trust Class A5 Series 2014-CR18 | 3.828% | 7/15/47 | 30,571 | 33,125 | |
4 | COMM Mortgage Trust Class A5 Series 2014-LC17 | 3.917% | 10/10/47 | 11,922 | 13,003 | |
4 | COMM Mortgage Trust Class A5 Series 2015-CR22 | 3.309% | 3/10/48 | 36,015 | 38,945 | |
4 | COMM Mortgage Trust Class A5 Series 2015-CR24 | 3.696% | 8/10/48 | 11,921 | 13,102 | |
4 | COMM Mortgage Trust Class AM Series 2012-CR2 | 3.791% | 8/15/45 | 4,100 | 4,173 | |
4 | COMM Mortgage Trust Class AM Series 2012-CR4 | 3.251% | 10/15/45 | 1,990 | 2,007 | |
4,7 | COMM Mortgage Trust Class AM Series 2013-CR6 | 3.147% | 3/10/46 | 17,360 | 17,809 | |
4,6,7 | COMM Mortgage Trust Class AM Series 2013-CR9 | 4.270% | 7/10/45 | 11,250 | 11,636 | |
4,6,7 | COMM Mortgage Trust Class AM Series 2013-LC13 | 4.557% | 8/10/46 | 18,565 | 19,873 | |
4,6 | COMM Mortgage Trust Class AM Series 2014-CR15 | 4.426% | 2/10/47 | 13,450 | 14,548 | |
4 | COMM Mortgage Trust Class AM Series 2014-CR17 | 4.174% | 5/10/47 | 27,380 | 29,502 | |
4,7 | COMM Mortgage Trust Class B Series 2013-CR6 | 3.397% | 3/10/46 | 2,380 | 2,440 | |
4,6,7 | COMM Mortgage Trust Class C Series 2013-CR9 | 4.270% | 7/10/45 | 12,690 | 11,425 | |
4,6 | COMM Mortgage Trust Class C Series 2015-CR27 | 4.450% | 10/10/48 | 8,118 | 8,820 | |
4 | CSAIL Commercial Mortgage Trust Class A4 Series 2015-C2 | 3.504% | 6/15/57 | 18,210 | 19,750 | |
4 | CSAIL Commercial Mortgage Trust Class A4 Series 2015-C4 | 3.808% | 11/15/48 | 41,832 | 46,204 | |
4 | CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7 | 3.502% | 11/15/49 | 5,173 | 5,691 | |
4,6 | CSAIL Commercial Mortgage Trust Class C Series 2015-C3 | 4.370% | 8/15/48 | 10,600 | 9,777 | |
4 | DBGS Mortgage Trust Class A4 Series 2018-C1 | 4.466% | 10/15/51 | 13,990 | 16,556 | |
4 | DBJPM Mortgage Trust Class A5 Series 2017-C6 | 3.328% | 6/10/50 | 3,540 | 3,921 | |
4,7 | DLL LLC Class A4 Series 2019-MT3 | 2.150% | 9/21/26 | 5,810 | 5,913 | |
4,7 | DLLAD LLC Class A3 Series 2021-1A | 0.640% | 9/21/26 | 13,750 | 13,745 | |
4 | Drive Auto Receivables Trust Class C Series 2018-5 | 3.990% | 1/15/25 | 14,937 | 15,104 | |
4 | Drive Auto Receivables Trust Class C Series 2020-2 | 2.280% | 8/17/26 | 5,790 | 5,945 | |
4 | Drive Auto Receivables Trust Class C Series 2021-1 | 1.020% | 6/15/27 | 15,990 | 16,081 | |
4 | Drive Auto Receivables Trust Class D Series 2017-1 | 3.840% | 3/15/23 | 199 | 199 | |
4 | Drive Auto Receivables Trust Class D Series 2018-3 | 4.300% | 9/16/24 | 12,159 | 12,409 | |
4 | Drive Auto Receivables Trust Class D Series 2018-5 | 4.300% | 4/15/26 | 26,460 | 27,487 | |
4 | Drive Auto Receivables Trust Class D Series 2019-2 | 3.690% | 8/17/26 | 15,870 | 16,474 | |
4 | Drive Auto Receivables Trust Class D Series 2019-4 | 2.700% | 2/16/27 | 5,010 | 5,165 | |
4 | Drive Auto Receivables Trust Class D Series 2020-1 | 2.700% | 5/17/27 | 5,010 | 5,149 | |
4 | Drive Auto Receivables Trust Class D Series 2020-2 | 3.050% | 5/15/28 | 6,160 | 6,415 | |
4,6,7 | Edsouth Indenture No. 9 LLC Class A Series 2015-1, 1M USD LIBOR + 0.800% | 0.889% | 10/25/56 | 10,464 | 10,514 | |
4,6,7 | EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A | 3.580% | 11/25/38 | 5,625 | 5,837 | |
4,7 | Enterprise Fleet Financing LLC Class A2 Series 2020-1 | 1.780% | 12/22/25 | 15,602 | 15,792 | |
4,7 | Enterprise Fleet Financing LLC Class A2 Series 2021-1 | 0.440% | 12/21/26 | 7,150 | 7,157 | |
4,7 | Enterprise Fleet Financing LLC Class A2 Series 2021-2 | 0.480% | 5/20/27 | 23,940 | 23,941 | |
4,7 | Fair Square Issuance Trust Class A Series 2020-AA | 2.900% | 9/20/24 | 14,400 | 14,539 | |
4,6 | First Horizon Mortgage Class 1A1 Series 2006-AR3 Pass-Through Trust | 2.631% | 11/25/36 | 2,489 | 1,915 | |
4,6 | First Horizon Mortgage Class 1A1 Series 2006-AR4 Pass-Through Trust | 2.884% | 1/25/37 | 4,780 | 3,430 | |
4,7 | FirstKey Homes Trust Class A Series 2020-SFR2 | 1.266% | 10/19/37 | 11,674 | 11,695 | |
4 | Ford Credit Auto Lease Trust Class B Series 2020-B | 1.000% | 11/15/23 | 14,470 | 14,616 | |
4 | Ford Credit Auto Lease Trust Class C Series 2021-A | 0.780% | 9/15/25 | 6,990 | 6,980 | |
4,7 | Ford Credit Auto Owner Trust Class A Series 2018-1 | 3.190% | 7/15/31 | 87,670 | 94,604 | |
4,7 | Ford Credit Auto Owner Trust Class A Series 2020-1 | 2.040% | 8/15/31 | 21,100 | 22,014 | |
4 | Ford Credit Auto Owner Trust Class A4 Series 2019-A | 2.850% | 8/15/24 | 26,820 | 27,777 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2018-1 | 3.340% | 7/15/31 | 20,100 | 21,665 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-1 | 2.290% | 8/15/31 | 20,070 | 20,929 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-2 | 1.490% | 4/15/33 | 6,100 | 6,182 | |
4 | Ford Credit Auto Owner Trust Class B Series 2020-B | 1.190% | 1/15/26 | 15,500 | 15,701 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2017-2 | 2.750% | 3/15/29 | 13,976 | 14,325 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2018-2 | 3.760% | 1/15/30 | 5,365 | 5,671 | |
4 | Ford Credit Auto Owner Trust Class C Series 2019-A | 3.250% | 9/15/25 | 10,980 | 11,446 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2020-1 | 2.540% | 8/15/31 | 7,484 | 7,845 | |
4 | Ford Credit Auto Owner Trust Class C Series 2020-B | 2.040% | 12/15/26 | 8,650 | 8,894 | |
4 | Ford Credit Auto Owner Trust Class C Series 2020-C | 1.040% | 5/15/28 | 4,930 | 4,972 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2021-1 | 1.910% | 10/17/33 | 6,400 | 6,472 | |
4 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2019-3 | 2.230% | 9/15/24 | 15,159 | 15,495 | |
4 | Ford Credit Floorplan Master Owner Trust Class D Series 2020-1 | 2.120% | 9/15/25 | 5,350 | 5,479 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,5,6,7 | Freddie Mac STACR REMIC Trust Class M1 Series 2020-DNA2, 1M USD LIBOR + 0.750% | 0.839% | 2/25/50 | 3,433 | 3,434 | |
4 | GM Financial Automobile Leasing Trust Class A4 Series 2021-2 | 0.410% | 5/20/25 | 6,110 | 6,106 | |
4 | GM Financial Automobile Leasing Trust Class B Series 2020-1 | 1.840% | 12/20/23 | 14,540 | 14,750 | |
4 | GM Financial Automobile Leasing Trust Class B Series 2021-1 | 0.750% | 5/17/27 | 3,250 | 3,232 | |
4 | GM Financial Automobile Leasing Trust Class B Series 2021-2 | 0.690% | 5/20/25 | 11,690 | 11,690 | |
4 | GM Financial Automobile Leasing Trust Class C Series 2020-2 | 2.560% | 7/22/24 | 4,545 | 4,689 | |
4 | GM Financial Automobile Leasing Trust Class C Series 2021-1 | 1.040% | 5/17/27 | 2,150 | 2,150 | |
4 | GM Financial Automobile Leasing Trust Class C Series 2021-2 | 1.010% | 5/20/25 | 11,140 | 11,135 | |
4 | GM Financial Automobile Leasing Trust Class D Series 2020-1 | 2.280% | 6/20/24 | 6,680 | 6,792 | |
4 | GM Financial Automobile Leasing Trust Class D Series 2020-2 | 3.210% | 12/20/24 | 6,470 | 6,720 | |
4 | GM Financial Consumer Automobile Receivables Trust 2 Class C Series 2021-2 | 1.280% | 1/19/27 | 7,030 | 7,077 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2021-2 | 0.510% | 4/16/26 | 12,710 | 12,753 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2021-3 | 0.480% | 6/16/26 | 24,320 | 24,375 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2019-4 | 1.760% | 1/16/25 | 5,070 | 5,183 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-2 | 0.820% | 10/16/26 | 10,500 | 10,521 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-3 | 0.730% | 8/16/27 | 14,240 | 14,308 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3 | 0.810% | 1/16/26 | 5,700 | 5,693 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2020-4 | 0.730% | 3/16/26 | 7,010 | 6,959 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2021-2 | 1.090% | 12/16/26 | 7,270 | 7,326 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3 | 1.370% | 1/16/26 | 2,200 | 2,230 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4 | 1.050% | 5/18/26 | 2,710 | 2,715 | |
4 | GM Financial Consumer Automobile Receivables Trust Class D Series 2020-3 | 1.910% | 9/16/27 | 3,400 | 3,478 | |
4,6 | GMACM Mortgage Loan Trust Class 3A1 Series 2005-AR6 | 2.999% | 11/19/35 | 821 | 758 | |
4,7 | GMF Floorplan Owner Revolving Trust Class A Series 2020-2 | 0.690% | 10/15/25 | 46,850 | 46,999 | |
4,7 | GMF Floorplan Owner Revolving Trust Class B Series 2020-1 | 1.030% | 8/15/25 | 3,940 | 3,975 | |
4,7 | GMF Floorplan Owner Revolving Trust Class B Series 2020-2 | 0.960% | 10/15/25 | 8,220 | 8,278 | |
4,7 | GMF Floorplan Owner Revolving Trust Class C Series 2020-1 | 1.480% | 8/15/25 | 3,210 | 3,254 | |
4,7 | GMF Floorplan Owner Revolving Trust Class C Series 2020-2 | 1.310% | 10/15/25 | 5,800 | 5,835 | |
4,7 | Golden Credit Card Trust Class A Series 2018-4A | 3.440% | 8/15/25 | 24,560 | 26,054 | |
4,6,7 | Gosforth Funding plc Class A1 Series 2018-1A, 3M USD LIBOR + 0.450% | 0.597% | 8/25/60 | 3,531 | 3,535 | |
4,7 | GreatAmerica Leasing Receivables Funding LLC Class A4 Series 2019-1 | 3.210% | 2/18/25 | 5,260 | 5,414 | |
4,6 | GS Mortgage Securities Corp. II Class A5 Series 2018-GS10 | 4.155% | 7/10/51 | 3,865 | 4,486 | |
4 | GS Mortgage Securities Trust Class A3 Series 2015-GC34 | 3.244% | 10/10/48 | 9,961 | 10,567 | |
4 | GS Mortgage Securities Trust Class A3 Series 2017-GS6 | 3.433% | 5/10/50 | 2,501 | 2,776 | |
4 | GS Mortgage Securities Trust Class A4 Series 2013-GC12 | 3.135% | 6/10/46 | 13,060 | 13,593 | |
4 | GS Mortgage Securities Trust Class A4 Series 2013-GC14 | 3.955% | 8/10/46 | 21,631 | 22,434 | |
4 | GS Mortgage Securities Trust Class A4 Series 2014-GC26 | 3.364% | 11/10/47 | 19,174 | 20,288 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC28 | 3.136% | 2/10/48 | 38,431 | 40,655 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC30 | 3.382% | 5/10/50 | 12,225 | 13,223 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC32 | 3.764% | 7/10/48 | 4,636 | 5,097 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC34 | 3.506% | 10/10/48 | 17,922 | 19,557 | |
4 | GS Mortgage Securities Trust Class A4 Series 2016-GS3 | 2.850% | 10/10/49 | 11,930 | 12,839 | |
4,6 | GS Mortgage Securities Trust Class A4 Series 2018-GS9 | 3.992% | 3/10/51 | 4,990 | 5,722 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC40 | 3.160% | 7/10/52 | 3,920 | 4,326 | |
4,6 | GS Mortgage Securities Trust Class A5 Series 2013-GC13 | 4.052% | 7/10/46 | 22,934 | 24,314 | |
4 | GS Mortgage Securities Trust Class A5 Series 2014-GC20 | 3.998% | 4/10/47 | 13,757 | 14,739 | |
4 | GS Mortgage Securities Trust Class A5 Series 2014-GC24 | 3.931% | 9/10/47 | 33,925 | 36,860 | |
4 | GS Mortgage Securities Trust Class A5 Series 2014-GC26 | 3.629% | 11/10/47 | 16,700 | 18,057 | |
4 | GS Mortgage Securities Trust Class A5 Series 2015-GC28 | 3.396% | 2/10/48 | 35,733 | 38,416 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,7 | GS Mortgage Securities Trust Class AS Series 2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,008 | |
4 | GS Mortgage Securities Trust Class AS Series 2014-GC20 | 4.258% | 4/10/47 | 1,410 | 1,519 | |
4,6 | GS Mortgage Securities Trust Class AS Series 2014-GC24 | 4.162% | 9/10/47 | 13,246 | 14,355 | |
4,6 | GS Mortgage Securities Trust Class B Series 2013-GC12 | 3.777% | 6/10/46 | 5,350 | 5,567 | |
4,6 | GS Mortgage Securities Trust Class B Series 2014-GC24 | 4.515% | 9/10/47 | 10,665 | 11,161 | |
4,6,7 | GS Mortgage Securities Trust Class C Series 2013-GC13 | 4.085% | 7/10/46 | 5,650 | 5,549 | |
4,6 | GS Mortgage Securities Trust Class C Series 2014-GC24 | 4.536% | 9/10/47 | 17,556 | 16,666 | |
4,6 | GS Mortgage Securities Trust Class C Series 2015-GC34 | 4.648% | 10/10/48 | 12,080 | 12,837 | |
4,7 | Harley Marine Financing LLC Class A2 Series 2018-1A | 5.682% | 5/15/43 | 8,302 | 8,060 | |
4 | Harley-Davidson Motorcycle Trust Class A3 Series 2019-A | 2.340% | 2/15/24 | 3,598 | 3,629 | |
4 | Harley-Davidson Motorcycle Trust Class A3 Series 2020-A | 1.870% | 10/15/24 | 24,315 | 24,547 | |
4 | Harley-Davidson Motorcycle Trust Class A4 Series 2019-A | 2.390% | 11/15/26 | 9,060 | 9,297 | |
4 | Harley-Davidson Motorcycle Trust Class A4 Series 2019-A | 1.930% | 4/15/27 | 8,270 | 8,503 | |
4,7 | Hertz Vehicle Financing LLC Class A Series 2021-1A | 1.210% | 12/26/25 | 16,040 | 16,125 | |
4,7 | Hertz Vehicle Financing LLC Class B Series 2021-1A | 1.560% | 12/26/25 | 13,010 | 13,079 | |
4,7 | Hertz Vehicle Financing LLC Class C Series 2021-1A | 2.050% | 12/26/25 | 6,150 | 6,193 | |
4,7 | Hilton USA Trust Class A Series 2016-HHV | 3.719% | 11/5/38 | 3,950 | 4,365 | |
4 | Honda Auto Receivables Owner Trust Class A3 Series 2021-2 | 0.330% | 8/15/25 | 30,110 | 30,092 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2018-3 | 3.070% | 11/21/24 | 5,460 | 5,520 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2019-3 | 1.850% | 8/15/25 | 4,730 | 4,831 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2021-2 | 0.550% | 8/16/27 | 12,340 | 12,336 | |
4,7 | HPEFS Equipment Trust Class A3 Series 2019-1A | 2.210% | 9/20/29 | 1,269 | 1,271 | |
4,7 | HPEFS Equipment Trust Class A3 Series 2020-1A | 1.760% | 2/20/30 | 20,400 | 20,574 | |
4,7 | HPEFS Equipment Trust Class B Series 2019-1A | 2.320% | 9/20/29 | 6,820 | 6,867 | |
4,7 | HPEFS Equipment Trust Class B Series 2020-1A | 1.890% | 2/20/30 | 8,400 | 8,514 | |
4,7 | HPEFS Equipment Trust Class C Series 2019-1A | 2.490% | 9/20/29 | 3,800 | 3,855 | |
4,7 | HPEFS Equipment Trust Class D Series 2019-1A | 2.720% | 9/20/29 | 1,700 | 1,734 | |
4,7 | Hudsons Bay Simon JV Trust Class A7 Series 2015-HB7 | 3.914% | 8/5/34 | 14,750 | 13,464 | |
4,7 | Hyundai Auto Lease Securitization Trust Class A4 Series 2021-B | 0.380% | 8/15/25 | 6,950 | 6,948 | |
4 | Hyundai Auto Receivables Trust Class A3 Series 2019-B | 1.940% | 2/15/24 | 9,268 | 9,358 | |
4 | Hyundai Auto Receivables Trust Class A3 Series 2021-B | 0.380% | 1/15/26 | 45,470 | 45,686 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2019-B | 2.000% | 4/15/25 | 12,600 | 12,969 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2021-B | 0.600% | 2/16/27 | 21,480 | 21,653 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-A | 2.940% | 5/15/25 | 5,655 | 5,866 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-B | 2.210% | 4/15/25 | 3,600 | 3,727 | |
4 | Hyundai Auto Receivables Trust Class B Series 2020-B | 0.940% | 12/15/25 | 3,870 | 3,882 | |
4 | Hyundai Auto Receivables Trust Class B Series 2020-C | 0.810% | 11/16/26 | 8,220 | 8,191 | |
4 | Hyundai Auto Receivables Trust Class B Series 2021-A | 1.090% | 5/17/27 | 8,510 | 8,534 | |
4 | Hyundai Auto Receivables Trust Class B Series 2021-B | 0.910% | 2/16/27 | 7,900 | 8,001 | |
4 | Hyundai Auto Receivables Trust Class C Series 2020-B | 1.600% | 12/15/26 | 4,840 | 4,917 | |
4 | Hyundai Auto Receivables Trust Class C Series 2020-C | 1.080% | 12/15/27 | 7,250 | 7,294 | |
4 | Hyundai Auto Receivables Trust Class C Series 2021-A | 1.330% | 11/15/27 | 12,395 | 12,488 | |
4 | Hyundai Auto Receivables Trust Class C Series 2021-B | 1.120% | 2/15/28 | 8,400 | 8,523 | |
4,6,7 | Invitation Homes Trust Class A Series 2017-SFR2, 1M USD LIBOR + 0.850% | 0.939% | 12/17/36 | 26,119 | 26,136 | |
4,6,7 | Invitation Homes Trust Class A Series 2018-SFR1, 1M USD LIBOR + 0.700% | 0.789% | 3/17/37 | 35,364 | 35,262 | |
4,6,7 | Invitation Homes Trust Class B Series 2017-SFR2, 1M USD LIBOR + 1.150% | 1.239% | 12/17/36 | 9,955 | 9,945 | |
4,6,7 | Invitation Homes Trust Class B Series 2018-SFR1, 1M USD LIBOR + 0.950% | 1.039% | 3/17/37 | 9,890 | 9,879 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2010-C2 | 4.070% | 11/15/43 | 729 | 731 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2012-C6 | 3.507% | 5/15/45 | 12,213 | 12,405 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2013-C16 | 3.881% | 12/15/46 | 2,321 | 2,437 | |
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C13 | 3.994% | 1/15/46 | 3,815 | 4,023 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C16 | 4.166% | 12/15/46 | 1,680 | 1,800 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A5 Series 2012-LC9 | 2.840% | 12/15/47 | 25,014 | 25,531 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A5 Series 2013-LC11 | 2.960% | 4/15/46 | 3,586 | 3,708 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class AS Series 2013-C16 | 4.517% | 12/15/46 | 14,600 | 15,689 | |
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class B Series 2013-C16 | 4.957% | 12/15/46 | 21,150 | 22,591 | |
4,6,7 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2010-C2 | 5.683% | 11/15/43 | 6,225 | 6,209 | |
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C13 | 4.077% | 1/15/46 | 5,450 | 5,714 | |
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C16 | 5.022% | 12/15/46 | 9,770 | 10,053 | |
4,6,7 | JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2 | 5.683% | 11/15/43 | 7,100 | 6,172 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A3 Series 2014-C26 | 3.231% | 1/15/48 | 27,722 | 29,375 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A3 Series 2015-C31 | 3.801% | 8/15/48 | 21,082 | 23,091 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C14 | 4.133% | 8/15/46 | 10,455 | 10,949 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C17 | 4.199% | 1/15/47 | 1,860 | 2,002 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C19 | 3.997% | 4/15/47 | 1,975 | 2,122 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C26 | 3.494% | 1/15/48 | 10,000 | 10,822 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C27 | 3.179% | 2/15/48 | 17,150 | 18,347 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C30 | 3.551% | 7/15/48 | 23,680 | 25,619 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C33 | 3.770% | 12/15/48 | 22,187 | 24,620 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C12 | 3.664% | 7/15/45 | 2,866 | 3,003 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C15 | 4.131% | 11/15/45 | 2,900 | 3,102 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2014-C18 | 4.079% | 2/15/47 | 28,340 | 30,486 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2014-C24 | 3.639% | 11/15/47 | 10,982 | 11,867 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2015-C32 | 3.598% | 11/15/48 | 12,364 | 13,419 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2013-C12 | 4.038% | 7/15/45 | 7,520 | 7,916 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2014-C18 | 4.439% | 2/15/47 | 12,950 | 13,925 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2015-C30 | 4.226% | 7/15/48 | 15,901 | 17,575 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class B Series 2014-C18 | 4.800% | 2/15/47 | 13,200 | 13,909 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class C Series 2014-C18 | 4.800% | 2/15/47 | 5,850 | 5,707 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A4 Series 2017-JP6 | 3.224% | 7/15/50 | 6,030 | 6,579 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP5 | 3.723% | 3/15/50 | 5,970 | 6,700 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP6 | 3.490% | 7/15/50 | 2,522 | 2,803 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP7 | 3.454% | 9/15/50 | 2,500 | 2,781 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A3 Series 2016-C4 | 3.141% | 12/15/49 | 6,430 | 7,036 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8 | 4.211% | 6/15/51 | 4,000 | 4,641 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7 | 3.409% | 10/15/50 | 5,693 | 6,348 | |
4,6,7 | Lanark Master Issuer plc Class 1A Series 2020-1A | 2.277% | 12/22/69 | 9,405 | 9,620 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2B Series 2017-C | 2.810% | 11/25/42 | 6,430 | 6,574 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B | 3.540% | 5/26/43 | 8,671 | 8,939 | |
4,7 | Master Credit Card Trust Class A Series 2021-1A | 0.530% | 11/21/25 | 44,340 | 44,395 | |
4,6 | MASTR Adjustable Rate Mortgages Trust Class 5A1 Series 2004-3 | 1.877% | 4/25/34 | 119 | 111 | |
4 | Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B | 0.400% | 11/15/24 | 24,820 | 24,839 | |
4 | Mercedes-Benz Auto Lease Trust Class A4 Series 2021-B | 0.510% | 3/15/27 | 13,030 | 13,054 | |
4 | Mercedes-Benz Auto Receivables Trust Class A4 Series 2019-1 | 2.040% | 1/15/26 | 17,090 | 17,506 | |
4,6 | Merrill Lynch Mortgage Investors Trust MLMI Class 2A Series 2003-A4 | 2.444% | 7/25/33 | 224 | 244 | |
4,6 | Merrill Lynch Mortgage Investors Trust MLMI Class 2A2 Series 2003-A2, 6M USD LIBOR + 1.500% | 1.661% | 2/25/33 | 462 | 441 | |
4,7 | MMAF Equipment Finance LLC Class A4 Series 2018-A | 3.390% | 1/10/25 | 6,680 | 6,850 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2015-AA | 2.490% | 2/19/36 | 5,271 | 5,310 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2018-A | 3.610% | 3/10/42 | 3,580 | 3,823 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2019-A | 3.080% | 11/12/41 | 6,400 | 6,784 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2013-C11 | 3.960% | 8/15/46 | 8,093 | 8,397 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2014-C15 | 3.773% | 4/15/47 | 32,330 | 34,347 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C23 | 3.451% | 7/15/50 | 9,280 | 9,993 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C24 | 3.479% | 5/15/48 | 19,960 | 21,514 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2012-C6 | 2.858% | 11/15/45 | 4,356 | 4,437 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C10 | 4.080% | 7/15/46 | 28,493 | 30,038 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C11 | 4.154% | 8/15/46 | 24,216 | 25,340 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C12 | 4.259% | 10/15/46 | 3,830 | 4,080 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C13 | 4.039% | 11/15/46 | 8,300 | 8,882 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C7 | 2.918% | 2/15/46 | 6,400 | 6,575 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C9 | 3.102% | 5/15/46 | 4,025 | 4,165 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C15 | 4.051% | 4/15/47 | 11,920 | 12,848 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C18 | 3.923% | 10/15/47 | 13,400 | 14,574 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C19 | 3.526% | 12/15/47 | 23,220 | 25,059 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C20 | 3.249% | 2/15/48 | 37,941 | 40,662 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C23 | 3.719% | 7/15/50 | 18,458 | 20,241 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C29 | 3.325% | 5/15/49 | 9,789 | 10,607 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C32 | 3.720% | 12/15/49 | 28,249 | 31,686 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2017-C34 | 3.536% | 11/15/52 | 2,475 | 2,768 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C14 | 4.064% | 2/15/47 | 16,600 | 17,844 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C16 | 3.892% | 6/15/47 | 21,398 | 23,082 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C17 | 3.741% | 8/15/47 | 16,794 | 18,123 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2015-C25 | 3.635% | 10/15/48 | 8,498 | 9,358 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2013-C7 | 3.214% | 2/15/46 | 2,940 | 3,025 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C14 | 4.384% | 2/15/47 | 17,500 | 18,820 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C16 | 4.094% | 6/15/47 | 9,540 | 10,259 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C17 | 4.011% | 8/15/47 | 7,460 | 8,030 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class B Series 2014-C16 | 4.334% | 6/15/47 | 22,920 | 23,836 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10 | 4.080% | 7/15/46 | 3,372 | 2,970 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15 | 4.899% | 4/15/47 | 1,895 | 1,972 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C16 | 4.767% | 6/15/47 | 12,300 | 12,275 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2016-C29 | 4.733% | 5/15/49 | 2,210 | 2,351 | |
4 | Morgan Stanley Capital I Class A4 Series 2017-HR2 | 3.587% | 12/15/50 | 6,765 | 7,576 | |
4 | Morgan Stanley Capital I Class ASB Series 2017-HR2 | 3.509% | 12/15/50 | 5,420 | 5,916 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2014-150E | 3.912% | 9/9/32 | 15,955 | 17,151 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2015-420 | 3.727% | 10/12/50 | 15,360 | 16,393 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Morgan Stanley Capital I Trust Class A4 Series 2015-UBS8 | 3.809% | 12/15/48 | 41,942 | 46,425 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-BNK2 | 3.049% | 11/15/49 | 11,960 | 13,024 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-UB11 | 2.782% | 8/15/49 | 5,621 | 6,033 | |
4 | Morgan Stanley Capital I Trust Class AS Series 2012-C4 | 3.773% | 3/15/45 | 2,500 | 2,520 | |
4,6 | Morgan Stanley Capital I Trust Class C Series 2015-UBS8 | 4.582% | 12/15/48 | 5,740 | 5,632 | |
4,6 | Morgan Stanley Mortgage Loan Trust Class 5A1 Series 2006-8AR | 2.041% | 6/25/36 | 2,386 | 2,230 | |
4,7 | MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV | 3.277% | 10/15/30 | 34,485 | 33,489 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2017-A | 2.880% | 12/16/58 | 8,405 | 8,625 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2018-BA | 3.610% | 12/15/59 | 8,796 | 9,108 | |
4,7 | Navient Private Education Refi Loan Trust Class A2A Series 2018-DA | 4.000% | 12/15/59 | 30,405 | 32,043 | |
4,6,7 | Navient Student Loan Trust Class A2 Series 2016-2A, 1M USD LIBOR + 1.050% | 1.139% | 6/25/65 | 416 | 416 | |
4,6,7 | Navient Student Loan Trust Class A2 Series 2016-6A, 1M USD LIBOR + 0.750% | 0.839% | 3/25/66 | 17,818 | 17,870 | |
4,7 | Navient Student Loan Trust Class A2A Series 2019-BA | 3.390% | 12/15/59 | 16,052 | 16,890 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2018-B | 3.160% | 12/16/24 | 10,430 | 10,690 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2019-A | 3.000% | 9/15/25 | 7,290 | 7,563 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2019-B | 2.540% | 12/15/25 | 20,100 | 20,760 | |
4,7 | Palisades Center Trust Class A Series 2016-PLSD | 2.713% | 4/13/33 | 8,360 | 7,820 | |
4,6,7 | Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% | 0.971% | 1/16/60 | 5,831 | 5,845 | |
4,6,7 | Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% | 1.084% | 6/20/60 | 3,028 | 3,028 | |
4,6,7 | Pepper Residential Securities Trust No. 23 Class A1U Series 23A, 1M USD LIBOR + 0.950% | 1.039% | 8/18/60 | 2,460 | 2,459 | |
4,7 | PFS Financing Corp. Class A Series 2020-A | 1.270% | 6/15/25 | 7,720 | 7,837 | |
4,6,7 | PHEAA Student Loan Trust Class A Series 2016-2A, 1M USD LIBOR + 0.950% | 1.039% | 11/25/65 | 12,936 | 13,083 | |
4,6,7 | RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% | 0.953% | 12/5/59 | 7,460 | 7,477 | |
4,6,7 | RESIMAC MBS Trust Class A1A Series 2018-2A, 1M USD LIBOR + 0.850% | 0.950% | 4/10/50 | 1,523 | 1,521 | |
4,6,7 | RESIMAC Premier Class A1 Series 2018-1A, 1M USD LIBOR + 0.800% | 0.900% | 11/10/49 | 6,180 | 6,191 | |
4,6 | RFMSI Series Trust Class 2A1 Series 2006-SA3 | 4.583% | 9/25/36 | 2,424 | 1,895 | |
4,6 | RFMSI Trust Class 2A1 Series 2006-SA2 | 4.442% | 8/25/36 | 6,841 | 6,174 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2020-2 | 1.460% | 9/15/25 | 18,750 | 18,951 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2020-3 | 1.120% | 1/15/26 | 11,550 | 11,644 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2021-1 | 0.750% | 2/17/26 | 13,940 | 13,950 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-3 | 4.070% | 8/15/24 | 40,568 | 41,373 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-4 | 3.980% | 12/15/25 | 21,750 | 22,355 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-5 | 4.190% | 12/16/24 | 35,530 | 36,225 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2020-2 | 2.220% | 9/15/26 | 25,830 | 26,461 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2021-1 | 1.130% | 11/16/26 | 17,230 | 17,303 | |
4,7 | Santander Retail Auto Lease Trust Class A3 Series 2020-A | 1.740% | 7/20/23 | 44,500 | 45,112 | |
4,7 | Santander Retail Auto Lease Trust Class A3 Series 2021-B | 0.510% | 8/20/24 | 36,430 | 36,447 | |
4,7 | Santander Retail Auto Lease Trust Class A4 Series 2020-A | 1.760% | 3/20/24 | 11,250 | 11,462 | |
4,7 | Santander Retail Auto Lease Trust Class A4 Series 2021-B | 0.540% | 6/20/25 | 8,960 | 8,792 | |
4,7 | Santander Retail Auto Lease Trust Class C Series 2020-B | 1.180% | 12/20/24 | 9,190 | 9,251 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2020-A | 2.520% | 11/20/24 | 15,340 | 15,759 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2020-B | 1.980% | 10/20/25 | 17,540 | 17,807 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2021-B | 1.410% | 11/20/25 | 14,530 | 14,524 | |
4,7 | Securitized Term Auto Receivables Trust Class A4 Series 2018-1A | 3.298% | 11/25/22 | 2,593 | 2,612 | |
4,7 | Securitized Term Auto Receivables Trust Class A4 Series 2018-2A | 3.544% | 6/26/23 | 6,450 | 6,524 | |
4,7 | SLM Private Education Loan Trust Class B Series 2014-A | 3.500% | 11/15/44 | 3,970 | 3,981 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2016-A | 2.700% | 5/15/31 | 5,430 | 5,569 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2017-B | 2.820% | 10/15/35 | 11,596 | 12,035 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-B | 3.600% | 1/15/37 | 15,651 | 16,661 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-C | 3.630% | 11/15/35 | 18,599 | 19,543 | |
4,6,7 | SoFi Professional Loan Program LLC Class A1 Series 2016-D, 1M USD LIBOR + 0.950% | 1.039% | 1/25/39 | 757 | 759 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,6,7 | SoFi Professional Loan Program LLC Class A1 Series 2017-C, 1M USD LIBOR + 0.600% | 0.689% | 7/25/40 | 406 | 406 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2016-C | 2.360% | 12/27/32 | 1,206 | 1,219 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2016-D | 2.340% | 4/25/33 | 2,077 | 2,108 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2017-A | 2.400% | 3/26/40 | 532 | 540 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2017-E | 2.720% | 11/26/40 | 6,498 | 6,619 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2018-A | 2.950% | 2/25/42 | 8,957 | 9,094 | |
4,7 | SoFi Professional Loan Program LLC Class A2BSeries 2016-B | 2.740% | 10/25/32 | 1,449 | 1,464 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-B | 2.740% | 5/25/40 | 3,679 | 3,717 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-D | 2.650% | 9/25/40 | 5,035 | 5,122 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-F | 2.840% | 1/25/41 | 5,946 | 6,082 | |
4,7 | SoFi Professional Loan Program Trust Class A1FX Series 2020-A | 2.060% | 5/15/46 | 9,801 | 9,825 | |
4 | Synchrony Credit Card Master Note Trust Class C Series 2017-2 | 3.010% | 10/15/25 | 13,000 | 13,372 | |
4,7 | Taco Bell Funding LLC Class A2II Series 2016-1A | 4.377% | 5/25/46 | 8,212 | 8,213 | |
4,7 | Tesla Auto Lease Trust Class A4 Series 2020-A | 0.780% | 12/20/23 | 3,620 | 3,646 | |
4,7 | Tesla Auto Lease Trust Class C Series 2018-B | 4.360% | 10/20/21 | 10,340 | 10,377 | |
4,7 | Tesla Auto Lease Trust Class C Series 2020-A | 1.680% | 2/20/24 | 3,000 | 3,045 | |
4,7 | Tidewater Auto Receivables Trust Class C Series 2018-AA | 3.840% | 11/15/24 | 2,421 | 2,430 | |
4,7 | Tidewater Auto Receivables Trust Class D Series 2018-AA | 4.300% | 11/15/24 | 2,059 | 2,076 | |
4,7 | TMSQ Mortgage Trust Class A Series 2014-1500 | 3.680% | 10/10/36 | 24,260 | 25,723 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2019-1A | 2.560% | 11/25/31 | 2,640 | 2,788 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2020-1A | 1.350% | 5/25/33 | 17,410 | 17,793 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2021-1A | 1.070% | 2/27/34 | 40,160 | 40,269 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2019-A | 3.000% | 5/15/24 | 4,880 | 5,052 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2019-D | 1.990% | 2/18/25 | 9,410 | 9,692 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2020-A | 1.680% | 5/15/25 | 29,200 | 29,999 | |
4,7 | Toyota Lease Owner Trust Class A3 Series 2021-B | 0.420% | 10/21/24 | 29,300 | 29,306 | |
4,7 | Toyota Lease Owner Trust Class A4 Series 2021-A | 0.500% | 8/20/25 | 6,310 | 6,323 | |
4,7 | Trafigura Securitisation Finance plc Class A2 Series 2018-1A | 3.730% | 3/15/22 | 49,490 | 49,686 | |
4,7 | Trinity Rail Leasing LLC Class A2 Series 2018-1A | 4.620% | 6/17/48 | 21,060 | 21,887 | |
4 | UBS Commercial Mortgage Trust Class A4 Series 2017-C7 | 3.679% | 12/15/50 | 5,515 | 6,215 | |
4 | UBS Commercial Mortgage Trust Class AS Series 2012-C1 | 4.171% | 5/10/45 | 1,250 | 1,272 | |
4 | UBS Commercial Mortgage Trust Class ASB Series 2019-C16 | 3.460% | 4/15/52 | 5,849 | 6,469 | |
4,7 | UBS-BAMLL Trust Class A Series 2012-WRM | 3.663% | 6/10/30 | 25,038 | 24,997 | |
4 | UBS-Barclays Commercial Mortgage Trust Class A4 Series 2013-C6 | 3.244% | 4/10/46 | 7,560 | 7,828 | |
4 | UBS-Barclays Commercial Mortgage Trust Class AS Series 2013-C6 | 3.469% | 4/10/46 | 2,304 | 2,383 | |
4 | Verizon Master Trust Class A Series 2021-1 | 0.500% | 5/20/27 | 48,170 | 48,260 | |
4 | Verizon Master Trust Class B Series 2021-1 | 0.690% | 5/20/27 | 22,770 | 22,806 | |
4 | Verizon Master Trust Class C Series 2021-1 | 0.890% | 5/20/27 | 12,360 | 12,407 | |
4 | Verizon Owner Trust Class B Series 2020-A | 1.980% | 7/22/24 | 16,635 | 17,119 | |
4 | Verizon Owner Trust Class B Series 2020-B | 0.680% | 2/20/25 | 18,050 | 18,125 | |
4 | Verizon Owner Trust Class C Series 2020-B | 0.830% | 2/20/25 | 12,480 | 12,548 | |
4 | Volkswagen Auto Loan Enhanced Trust Class A4 Series 2018-1 | 3.150% | 7/22/24 | 6,970 | 7,049 | |
4,6 | WaMu Mortgage Pass-Through Certificates Class 1A7 Series 2003-AR9 Trust | 2.755% | 9/25/33 | 412 | 409 | |
4,6 | WaMu Mortgage Pass-Through Certificates Class A Series 2002-AR18 Trust | 2.558% | 1/25/33 | 67 | 67 | |
4,6 | WaMu Mortgage Pass-Through Certificates Class A7 Series 2003-AR7 Trust | 2.378% | 8/25/33 | 283 | 292 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2015-C30 | 3.411% | 9/15/58 | 20,694 | 22,442 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2016-BNK1 | 2.652% | 8/15/49 | 8,255 | 8,816 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2013-LC12 | 4.218% | 7/15/46 | 4,716 | 4,980 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C27 | 3.190% | 2/15/48 | 29,418 | 30,916 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C29 | 3.637% | 6/15/48 | 31,072 | 34,063 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C30 | 3.664% | 9/15/58 | 20,610 | 22,678 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-LC22 | 3.839% | 9/15/58 | 23,212 | 25,732 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2016-C37 | 3.525% | 12/15/49 | 6,936 | 7,572 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C39 | 3.157% | 9/15/50 | 5,750 | 6,216 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40 | 3.581% | 10/15/50 | 2,495 | 2,790 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1 | 3.631% | 1/15/60 | 2,479 | 2,769 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46 | 4.152% | 8/15/51 | 3,435 | 3,982 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47 | 4.442% | 9/15/61 | 3,040 | 3,587 | |
4 | Wells Fargo Commercial Mortgage Trust Class A5 Series 2014-LC16 | 3.817% | 8/15/50 | 33,030 | 35,541 | |
4 | Wells Fargo Commercial Mortgage Trust Class A5 Series 2014-LC18 | 3.405% | 12/15/47 | 31,300 | 33,804 | |
4 | Wells Fargo Commercial Mortgage Trust Class AS Series 2012-LC5 | 3.539% | 10/15/45 | 1,650 | 1,696 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class AS Series 2013-LC12 | 4.308% | 7/15/46 | 4,906 | 5,130 | |
4 | Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16 | 4.020% | 8/15/50 | 7,100 | 7,400 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-C30 | 4.067% | 9/15/58 | 17,222 | 18,910 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-LC22 | 4.207% | 9/15/58 | 8,550 | 9,458 | |
4 | Wells Fargo Commercial Mortgage Trust Class ASB Series 2019-C49 | 3.933% | 3/15/52 | 7,894 | 8,931 | |
4 | Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16 | 4.322% | 8/15/50 | 6,550 | 6,267 | |
4 | Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16 | 4.458% | 8/15/50 | 6,830 | 4,896 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class C Series 2015-LC22 | 4.557% | 9/15/58 | 14,300 | 14,966 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43 | 4.514% | 3/15/51 | 5,973 | 6,305 | |
4,6 | Wells Fargo Mortgage Backed Securities Trust Class 2A1 Series 2006-AR14 | 2.774% | 10/25/36 | 3,158 | 2,962 | |
4,6,7 | WFLD Mortgage Trust Class A Series 2014-MONT | 3.755% | 8/10/31 | 35,485 | 37,499 | |
4,6 | WFRBS Commercial Mortgage Trust Class A4 Series 2013-C15 | 4.153% | 8/15/46 | 14,980 | 15,860 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2013-C17 | 4.023% | 12/15/46 | 9,770 | 10,407 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-C19 | 3.829% | 3/15/47 | 19,900 | 21,169 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-C21 | 3.410% | 8/15/47 | 1,564 | 1,662 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-C23 | 3.650% | 10/15/57 | 11,291 | 12,155 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14 | 3.766% | 3/15/47 | 2,586 | 2,740 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2013-C16 | 4.415% | 9/15/46 | 14,650 | 15,699 | |
4,6 | WFRBS Commercial Mortgage Trust Class A5 Series 2013-C18 | 4.162% | 12/15/46 | 8,730 | 9,410 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C19 | 4.101% | 3/15/47 | 23,553 | 25,433 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C20 | 3.995% | 5/15/47 | 22,461 | 24,277 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C21 | 3.678% | 8/15/47 | 10,000 | 10,803 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C23 | 3.917% | 10/15/57 | 10,655 | 11,614 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C24 | 3.607% | 11/15/47 | 17,438 | 18,825 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-LC14 | 4.045% | 3/15/47 | 37,269 | 40,135 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2012-C9 | 3.388% | 11/15/45 | 2,860 | 2,940 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2013-C13 | 3.345% | 5/15/45 | 2,230 | 2,314 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2014-C21 | 3.891% | 8/15/47 | 7,130 | 7,522 | |
4,6 | WFRBS Commercial Mortgage Trust Class B Series 2013-C18 | 4.864% | 12/15/46 | 5,775 | 6,105 | |
4 | WFRBS Commercial Mortgage Trust Class B Series 2014-C20 | 4.378% | 5/15/47 | 11,110 | 10,824 | |
4,6 | WFRBS Commercial Mortgage Trust Class C Series 2014-C20 | 4.513% | 5/15/47 | 4,500 | 4,381 | |
4 | World Omni Auto Receivables Trust Class A3 Series 2021-B | 0.420% | 6/15/26 | 22,520 | 22,494 | |
4 | World Omni Auto Receivables Trust Class A4 Series 2018-D | 3.440% | 12/16/24 | 3,660 | 3,798 | |
4 | World Omni Auto Receivables Trust Class A4 Series 2019-A | 3.220% | 6/16/25 | 6,060 | 6,299 | |
4 | World Omni Auto Receivables Trust Class A4 Series 2021-B | 0.690% | 6/15/27 | 5,920 | 5,934 | |
4 | World Omni Auto Receivables Trust Class B Series 2018-A | 2.890% | 4/15/25 | 8,670 | 8,798 | |
4 | World Omni Auto Receivables Trust Class B Series 2019-B | 2.860% | 6/16/25 | 5,210 | 5,398 | |
4 | World Omni Auto Receivables Trust Class B Series 2020-B | 1.220% | 3/16/26 | 4,350 | 4,413 | |
4 | World Omni Auto Receivables Trust Class B Series 2020-C | 0.870% | 10/15/26 | 8,950 | 8,950 | |
4 | World Omni Auto Receivables Trust Class B Series 2021-B | 1.040% | 6/15/27 | 4,360 | 4,369 | |
4 | World Omni Auto Receivables Trust Class C Series 2020-C | 1.390% | 5/17/27 | 3,900 | 3,931 | |
4 | World Omni Auto Receivables Trust Class C Series 2021-B | 1.290% | 12/15/27 | 4,270 | 4,279 | |
4 | World Omni Automobile Lease Securitization Trust Class A3 Series 2021-A | 0.420% | 8/15/24 | 25,540 | 25,577 | |
4 | World Omni Automobile Lease Securitization Trust Class A4 Series 2021-A | 0.500% | 11/16/26 | 11,150 | 11,173 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,227,520) | 6,424,430 | |||||
Corporate Bonds (76.1%) | ||||||
Communications (5.5%) | ||||||
AT&T Inc. | 0.000% | 11/16/21 | 43,730 | 43,707 | ||
AT&T Inc. | 0.436% | 12/14/21 | 132,250 | 132,160 | ||
AT&T Inc. | 0.406% | 12/16/21 | 169,800 | 169,683 | ||
AT&T Inc. | 3.000% | 6/30/22 | 28,769 | 29,347 | ||
AT&T Inc. | 2.625% | 12/1/22 | 9,800 | 10,047 | ||
AT&T Inc. | 4.050% | 12/15/23 | 3,985 | 4,316 | ||
AT&T Inc. | 0.900% | 3/25/24 | 291,305 | 292,078 | ||
AT&T Inc. | 4.450% | 4/1/24 | 2,710 | 2,957 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
AT&T Inc. | 3.950% | 1/15/25 | 9,750 | 10,776 | ||
AT&T Inc. | 3.400% | 5/15/25 | 24,729 | 26,974 | ||
AT&T Inc. | 3.600% | 7/15/25 | 1,690 | 1,858 | ||
AT&T Inc. | 1.700% | 3/25/26 | 211,870 | 215,120 | ||
8 | Booking Holdings Inc. | 0.100% | 3/8/25 | 23,876 | 28,574 | |
Booking Holdings Inc. | 3.600% | 6/1/26 | 16,000 | 17,804 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.464% | 7/23/22 | 251,829 | 259,866 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.500% | 2/1/24 | 80,277 | 87,315 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.908% | 7/23/25 | 209,067 | 237,166 | ||
7 | Cogent Communications Group Inc. | 3.500% | 5/1/26 | 3,085 | 3,176 | |
Comcast Corp. | 3.600% | 3/1/24 | 820 | 886 | ||
Comcast Corp. | 3.700% | 4/15/24 | 70,261 | 76,101 | ||
Comcast Corp. | 3.375% | 2/15/25 | 23,821 | 25,869 | ||
Comcast Corp. | 3.375% | 8/15/25 | 95,599 | 104,509 | ||
Comcast Corp. | 3.950% | 10/15/25 | 76,819 | 86,158 | ||
Comcast Corp. | 3.150% | 3/1/26 | 52,555 | 57,357 | ||
7 | Cox Communications Inc. | 3.150% | 8/15/24 | 9,327 | 9,958 | |
CSC Holdings LLC | 6.750% | 11/15/21 | 4,888 | 4,962 | ||
7 | CSC Holdings LLC | 5.375% | 2/1/28 | 4,745 | 5,020 | |
7 | CSC Holdings LLC | 7.500% | 4/1/28 | 1,100 | 1,201 | |
7 | CSC Holdings LLC | 6.500% | 2/1/29 | 3,000 | 3,316 | |
7 | CSC Holdings LLC | 4.625% | 12/1/30 | 4,395 | 4,327 | |
7 | Deutsche Telekom International Finance BV | 2.485% | 9/19/23 | 15,700 | 16,310 | |
7 | DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 8/15/27 | 740 | 766 | |
Discovery Communications LLC | 2.950% | 3/20/23 | 55,062 | 57,142 | ||
Discovery Communications LLC | 3.800% | 3/13/24 | 63,424 | 68,118 | ||
Discovery Communications LLC | 3.900% | 11/15/24 | 28,005 | 30,409 | ||
Discovery Communications LLC | 3.450% | 3/15/25 | 5,993 | 6,461 | ||
Discovery Communications LLC | 3.950% | 6/15/25 | 3,180 | 3,503 | ||
Discovery Communications LLC | 4.900% | 3/11/26 | 38,190 | 43,780 | ||
Expedia Group Inc. | 3.600% | 12/15/23 | 4,840 | 5,140 | ||
7 | Expedia Group Inc. | 6.250% | 5/1/25 | 2,920 | 3,405 | |
Expedia Group Inc. | 5.000% | 2/15/26 | 2,700 | 3,074 | ||
Fox Corp. | 3.666% | 1/25/22 | 45,434 | 46,169 | ||
Fox Corp. | 4.030% | 1/25/24 | 46,216 | 49,985 | ||
Fox Corp. | 3.050% | 4/7/25 | 61,451 | 65,983 | ||
7 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 988 | 1,059 | |
7 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 5,208 | 5,390 | |
7 | Frontier Communications Holdings LLC | 6.750% | 5/1/29 | 1,855 | 1,989 | |
9 | Global Switch Holdings Ltd. | 4.375% | 12/13/22 | 19,190 | 27,948 | |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 6,672 | 7,259 | ||
Lamar Media Corp. | 3.750% | 2/15/28 | 1,335 | 1,360 | ||
Level 3 Financing Inc. | 5.250% | 3/15/26 | 1,523 | 1,572 | ||
7 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 2,760 | 2,869 | |
7 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 1,490 | 1,518 | |
7 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 2,350 | 2,286 | |
7 | Netflix Inc. | 3.625% | 6/15/25 | 11,303 | 12,144 | |
Netflix Inc. | 4.875% | 4/15/28 | 7,265 | 8,492 | ||
Netflix Inc. | 5.875% | 11/15/28 | 354 | 440 | ||
7 | Nexstar Media Inc. | 5.625% | 7/15/27 | 3,875 | 4,097 | |
7 | Nexstar Media Inc. | 4.750% | 11/1/28 | 2,898 | 2,992 | |
7 | NTT Finance Corp. | 0.583% | 3/1/24 | 45,780 | 45,807 | |
7 | NTT Finance Corp. | 1.162% | 4/3/26 | 87,855 | 88,171 | |
7 | QualityTech LP / QTS Finance Corp. | 3.875% | 10/1/28 | 1,830 | 1,961 | |
Qwest Corp. | 6.750% | 12/1/21 | 33,857 | 34,493 | ||
Rogers Communications Inc. | 3.000% | 3/15/23 | 1,180 | 1,221 | ||
7 | Scripps Escrow II Inc. | 3.875% | 1/15/29 | 1,058 | 1,058 | |
7 | Sirius XM Radio Inc. | 4.625% | 7/15/24 | 7,470 | 7,667 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 700 | 733 | |
7 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 825 | 851 | |
7 | Sky Ltd. | 3.125% | 11/26/22 | 45,710 | 47,381 | |
7 | Sky Ltd. | 3.750% | 9/16/24 | 48,460 | 52,993 | |
8 | Sky Ltd. | 2.500% | 9/15/26 | 22,015 | 29,530 | |
Sprint Corp. | 7.125% | 6/15/24 | 10,496 | 12,070 | ||
Sprint Corp. | 7.625% | 3/1/26 | 3,640 | 4,445 | ||
7 | Tegna Inc. | 4.750% | 3/15/26 | 3,755 | 3,996 | |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 8,730 | 9,816 | ||
T-Mobile USA Inc. | 3.500% | 4/15/25 | 266,502 | 289,447 | ||
T-Mobile USA Inc. | 4.500% | 2/1/26 | 9,536 | 9,764 | ||
T-Mobile USA Inc. | 1.500% | 2/15/26 | 38,600 | 39,063 | ||
T-Mobile USA Inc. | 2.250% | 2/15/26 | 9,980 | 10,101 | ||
7 | T-Mobile USA Inc. | 2.250% | 2/15/26 | 4,855 | 4,908 | |
TWDC Enterprises 18 Corp. | 2.350% | 12/1/22 | 6,200 | 6,367 | ||
TWDC Enterprises 18 Corp. | 3.000% | 2/13/26 | 55 | 60 | ||
7 | Twitter Inc. | 3.875% | 12/15/27 | 1,786 | 1,912 | |
VeriSign Inc. | 5.250% | 4/1/25 | 28,080 | 31,938 | ||
10 | Verizon Communications Inc. | 3.500% | 2/17/23 | 13,960 | 10,691 | |
Verizon Communications Inc. | 4.150% | 3/15/24 | 10,600 | 11,513 | ||
Verizon Communications Inc. | 0.750% | 3/22/24 | 91,475 | 91,891 | ||
Verizon Communications Inc. | 3.500% | 11/1/24 | 19,300 | 20,914 | ||
Verizon Communications Inc. | 3.376% | 2/15/25 | 50,112 | 54,543 | ||
Verizon Communications Inc. | 0.850% | 11/20/25 | 124,840 | 124,156 | ||
Verizon Communications Inc. | 1.450% | 3/20/26 | 117,805 | 119,551 | ||
Verizon Communications Inc. | 1.680% | 10/30/30 | 4,509 | 4,369 | ||
6,10 | Verizon Communications Inc., 3M Australian Bank Bill Rate + 1.220% | 1.259% | 2/17/23 | 33,310 | 24,663 | |
ViacomCBS Inc. | 3.875% | 4/1/24 | 50,818 | 54,609 | ||
ViacomCBS Inc. | 3.500% | 1/15/25 | 10,700 | 11,527 | ||
ViacomCBS Inc. | 4.750% | 5/15/25 | 154,386 | 174,940 | ||
Vodafone Group plc | 3.750% | 1/16/24 | 161,276 | 174,272 | ||
Vodafone Group plc | 4.125% | 5/30/25 | 22,338 | 24,967 | ||
6,10 | Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050% | 1.074% | 12/13/22 | 4,360 | 3,212 | |
Walt Disney Co. | 0.283% | 9/15/21 | 9,700 | 9,697 | ||
Walt Disney Co. | 0.283% | 10/1/21 | 9,700 | 9,695 | ||
Walt Disney Co. | 1.750% | 8/30/24 | 108,787 | 112,659 | ||
Walt Disney Co. | 3.700% | 9/15/24 | 5,090 | 5,533 | ||
Walt Disney Co. | 3.350% | 3/24/25 | 67,423 | 73,529 | ||
Walt Disney Co. | 1.750% | 1/13/26 | 51,805 | 53,521 | ||
7 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 4,140 | 4,122 | |
7 | Zayo Group Holdings Inc. | 6.125% | 3/1/28 | 1,547 | 1,574 | |
4,346,149 | ||||||
Consumer Discretionary (5.1%) | ||||||
7 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 2,610 | 2,632 | |
7 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 2,820 | 2,864 | |
Amazon.com Inc. | 0.450% | 5/12/24 | 8,335 | 8,341 | ||
Amazon.com Inc. | 5.200% | 12/3/25 | 12,340 | 14,499 | ||
Amazon.com Inc. | 1.000% | 5/12/26 | 39,000 | 39,307 | ||
7 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 2,590 | 2,658 | |
American Honda Finance Corp. | 2.050% | 1/10/23 | 9,900 | 10,159 | ||
American Honda Finance Corp. | 1.950% | 5/10/23 | 66,050 | 67,920 | ||
American Honda Finance Corp. | 0.875% | 7/7/23 | 70,100 | 70,824 | ||
American Honda Finance Corp. | 0.650% | 9/8/23 | 7,500 | 7,541 | ||
American Honda Finance Corp. | 3.625% | 10/10/23 | 112,000 | 119,869 | ||
American Honda Finance Corp. | 2.900% | 2/16/24 | 7,400 | 7,840 | ||
American Honda Finance Corp. | 2.400% | 6/27/24 | 33,500 | 35,244 | ||
American Honda Finance Corp. | 0.550% | 7/12/24 | 155,100 | 154,787 | ||
American Honda Finance Corp. | 2.150% | 9/10/24 | 43,628 | 45,629 | ||
8 | American Honda Finance Corp. | 1.950% | 10/18/24 | 14,575 | 18,504 | |
American Honda Finance Corp. | 1.200% | 7/8/25 | 47,476 | 48,083 | ||
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 7,269 | 7,562 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Asbury Automotive Group Inc. | 4.750% | 3/1/30 | 615 | 654 | ||
AutoZone Inc. | 2.875% | 1/15/23 | 2,584 | 2,658 | ||
AutoZone Inc. | 3.625% | 4/15/25 | 50,197 | 54,989 | ||
7 | BMW U.S. Capital LLC | 0.800% | 4/1/24 | 20,000 | 20,139 | |
BorgWarner Inc. | 3.375% | 3/15/25 | 11,300 | 12,248 | ||
7 | Boyd Gaming Corp. | 8.625% | 6/1/25 | 6,078 | 6,646 | |
7 | Caesars Entertainment Inc. | 6.250% | 7/1/25 | 2,420 | 2,553 | |
7 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 602 | 632 | |
7 | Carnival Corp. | 11.500% | 4/1/23 | 426 | 480 | |
7 | Carnival Corp. | 4.000% | 8/1/28 | 3,690 | 3,681 | |
7 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP | 5.500% | 5/1/25 | 9,970 | 10,354 | |
7 | Churchill Downs Inc. | 5.500% | 4/1/27 | 6,559 | 6,825 | |
7 | Churchill Downs Inc. | 4.750% | 1/15/28 | 2,831 | 2,942 | |
7 | Clarios Global LP | 6.750% | 5/15/25 | 2,269 | 2,410 | |
7 | Clarios Global LP / Clarios US Finance Co. | 6.250% | 5/15/26 | 1,620 | 1,715 | |
7 | Daimler Finance North America LLC | 1.750% | 3/10/23 | 8,000 | 8,160 | |
7 | Daimler Finance North America LLC | 3.650% | 2/22/24 | 26,000 | 27,931 | |
7 | Daimler Finance North America LLC | 0.750% | 3/1/24 | 122,615 | 122,954 | |
7 | Daimler Finance North America LLC | 2.700% | 6/14/24 | 38,000 | 40,078 | |
DR Horton Inc. | 2.600% | 10/15/25 | 35,654 | 37,731 | ||
DR Horton Inc. | 1.300% | 10/15/26 | 24,280 | 24,308 | ||
eBay Inc. | 1.400% | 5/10/26 | 29,500 | 29,854 | ||
7 | ERAC USA Finance LLC | 2.700% | 11/1/23 | 54,880 | 57,308 | |
7 | ERAC USA Finance LLC | 3.850% | 11/15/24 | 33,134 | 36,128 | |
7 | ERAC USA Finance LLC | 3.800% | 11/1/25 | 8,875 | 9,840 | |
7 | ERAC USA Finance LLC | 3.300% | 12/1/26 | 2,965 | 3,257 | |
Ford Motor Co. | 8.500% | 4/21/23 | 3,604 | 4,003 | ||
Ford Motor Credit Co. LLC | 3.087% | 1/9/23 | 5,500 | 5,612 | ||
Ford Motor Credit Co. LLC | 5.125% | 6/16/25 | 2,745 | 3,024 | ||
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 1,195 | 1,279 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 15,400 | 16,088 | ||
Ford Motor Credit Co. LLC | 4.125% | 8/17/27 | 5,923 | 6,346 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 1,763 | 1,856 | ||
General Motors Co. | 4.875% | 10/2/23 | 32,904 | 35,749 | ||
General Motors Co. | 5.400% | 10/2/23 | 55,240 | 60,588 | ||
General Motors Co. | 6.125% | 10/1/25 | 98,477 | 116,697 | ||
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 59,030 | 59,375 | ||
General Motors Financial Co. Inc. | 4.200% | 11/6/21 | 13,800 | 13,938 | ||
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 15,908 | 16,159 | ||
General Motors Financial Co. Inc. | 3.150% | 6/30/22 | 3,900 | 3,986 | ||
General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 19,510 | 20,221 | ||
General Motors Financial Co. Inc. | 5.200% | 3/20/23 | 108,150 | 115,984 | ||
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 36,300 | 38,528 | ||
General Motors Financial Co. Inc. | 4.150% | 6/19/23 | 5,500 | 5,834 | ||
General Motors Financial Co. Inc. | 5.100% | 1/17/24 | 45,250 | 49,768 | ||
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 24,350 | 26,204 | ||
General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 52,385 | 56,291 | ||
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 4,900 | 5,348 | ||
General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 32,344 | 34,303 | ||
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 54,475 | 60,362 | ||
General Motors Financial Co. Inc. | 2.750% | 6/20/25 | 22,453 | 23,749 | ||
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 6,000 | 6,653 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 99,300 | 99,195 | ||
Goodyear Tire & Rubber Co. | 9.500% | 5/31/25 | 1,890 | 2,092 | ||
7 | Harley-Davidson Financial Services Inc. | 2.550% | 6/9/22 | 28,944 | 29,367 | |
7 | Harley-Davidson Financial Services Inc. | 3.350% | 6/8/25 | 14,500 | 15,522 | |
7 | Hilton Domestic Operating Co. Inc. | 5.375% | 5/1/25 | 3,183 | 3,333 | |
7 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 860 | 927 | |
7 | Hilton Domestic Operating Co. Inc. | 3.750% | 5/1/29 | 2,935 | 2,976 | |
7 | International Game Technology plc | 4.125% | 4/15/26 | 1,855 | 1,932 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | International Game Technology plc | 6.250% | 1/15/27 | 540 | 613 | |
Lennar Corp. | 5.375% | 10/1/22 | 7,465 | 7,878 | ||
Lennar Corp. | 4.875% | 12/15/23 | 10,500 | 11,405 | ||
Lennar Corp. | 4.500% | 4/30/24 | 5,650 | 6,152 | ||
Lennar Corp. | 5.875% | 11/15/24 | 19,700 | 22,348 | ||
Lennar Corp. | 4.750% | 5/30/25 | 22,084 | 24,824 | ||
Lennar Corp. | 5.250% | 6/1/26 | 14,995 | 17,417 | ||
7 | Lithia Motors Inc. | 5.250% | 8/1/25 | 3,387 | 3,476 | |
7 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 8,850 | 9,799 | |
7 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 1,647 | 1,651 | |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 7,405 | 7,936 | ||
Marriott International Inc. | 5.750% | 5/1/25 | 41,775 | 48,229 | ||
Marriott International Inc. | 3.750% | 10/1/25 | 15,325 | 16,679 | ||
Marriott International Inc. | 3.125% | 6/15/26 | 6,390 | 6,842 | ||
McDonald's Corp. | 3.350% | 4/1/23 | 6,300 | 6,594 | ||
McDonald's Corp. | 3.375% | 5/26/25 | 11,755 | 12,792 | ||
McDonald's Corp. | 3.300% | 7/1/25 | 50,201 | 54,664 | ||
McDonald's Corp. | 1.450% | 9/1/25 | 24,300 | 24,865 | ||
McDonald's Corp. | 3.700% | 1/30/26 | 7,000 | 7,800 | ||
7 | Meritage Homes Corp. | 3.875% | 4/15/29 | 1,775 | 1,874 | |
7 | Nissan Motor Acceptance Corp. | 1.900% | 9/14/21 | 11,962 | 11,985 | |
7 | Nissan Motor Acceptance Corp. | 3.650% | 9/21/21 | 17,140 | 17,208 | |
7 | Nissan Motor Acceptance Corp. | 1.050% | 3/8/24 | 51,000 | 51,017 | |
7 | Nissan Motor Acceptance Corp. | 2.000% | 3/9/26 | 37,000 | 37,622 | |
7 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 105,000 | 109,515 | |
7 | Nissan Motor Co. Ltd. | 3.522% | 9/17/25 | 108,300 | 116,174 | |
7 | Penn National Gaming Inc. | 5.625% | 1/15/27 | 1,225 | 1,269 | |
PulteGroup Inc. | 5.500% | 3/1/26 | 2,323 | 2,721 | ||
PulteGroup Inc. | 5.000% | 1/15/27 | 1,310 | 1,537 | ||
Ralph Lauren Corp. | 1.700% | 6/15/22 | 5,930 | 6,003 | ||
Ross Stores Inc. | 0.875% | 4/15/26 | 43,000 | 42,476 | ||
7 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 592 | 672 | |
7 | Royal Caribbean Cruises Ltd. | 9.125% | 6/15/23 | 596 | 649 | |
7 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 1,185 | 1,356 | |
TJX Cos. Inc. | 2.250% | 9/15/26 | 2,011 | 2,129 | ||
Toll Brothers Finance Corp. | 4.875% | 11/15/25 | 4,860 | 5,444 | ||
Toll Brothers Finance Corp. | 4.875% | 3/15/27 | 4,860 | 5,518 | ||
Toll Brothers Finance Corp. | 4.350% | 2/15/28 | 2,490 | 2,765 | ||
Toyota Motor Credit Corp. | 2.700% | 1/11/23 | 7,080 | 7,328 | ||
Toyota Motor Credit Corp. | 2.900% | 3/30/23 | 93,300 | 97,366 | ||
Toyota Motor Credit Corp. | 0.400% | 4/6/23 | 63,140 | 63,247 | ||
Toyota Motor Credit Corp. | 0.500% | 8/14/23 | 27,045 | 27,151 | ||
Toyota Motor Credit Corp. | 1.350% | 8/25/23 | 72,000 | 73,406 | ||
Toyota Motor Credit Corp. | 3.450% | 9/20/23 | 97,255 | 103,626 | ||
Toyota Motor Credit Corp. | 0.450% | 1/11/24 | 52,350 | 52,349 | ||
Toyota Motor Credit Corp. | 2.900% | 4/17/24 | 2,130 | 2,264 | ||
Toyota Motor Credit Corp. | 1.800% | 2/13/25 | 66 | 68 | ||
Toyota Motor Credit Corp. | 3.000% | 4/1/25 | 39,050 | 42,118 | ||
Toyota Motor Credit Corp. | 0.800% | 10/16/25 | 73,500 | 73,151 | ||
8 | Toyota Motor Finance Netherlands BV | 0.625% | 9/26/23 | 12,145 | 14,706 | |
Tri Pointe Homes Inc. | 5.700% | 6/15/28 | 3,005 | 3,327 | ||
7 | Vail Resorts Inc. | 6.250% | 5/15/25 | 7,353 | 7,813 | |
8 | Volkswagen Bank GmbH | 0.750% | 6/15/23 | 14,510 | 17,509 | |
8 | Volkswagen Financial Services AG | 2.500% | 4/6/23 | 29,070 | 36,043 | |
8 | Volkswagen Financial Services AG | 0.875% | 4/12/23 | 14,500 | 17,510 | |
10 | Volkswagen Financial Services Australia Pty Ltd. | 3.100% | 4/17/23 | 22,620 | 17,230 | |
7 | Volkswagen Group of America Finance LLC | 2.500% | 9/24/21 | 19,100 | 19,161 | |
7 | Volkswagen Group of America Finance LLC | 4.000% | 11/12/21 | 63,563 | 64,220 | |
7 | Volkswagen Group of America Finance LLC | 2.900% | 5/13/22 | 37,000 | 37,725 | |
7 | Volkswagen Group of America Finance LLC | 2.700% | 9/26/22 | 75,020 | 76,988 | |
7 | Volkswagen Group of America Finance LLC | 0.750% | 11/23/22 | 48,000 | 48,182 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Volkswagen Group of America Finance LLC | 3.125% | 5/12/23 | 36,400 | 37,993 | |
7 | Volkswagen Group of America Finance LLC | 4.250% | 11/13/23 | 17,700 | 19,089 | |
7 | Volkswagen Group of America Finance LLC | 0.875% | 11/22/23 | 104,315 | 104,801 | |
7 | Volkswagen Group of America Finance LLC | 3.350% | 5/13/25 | 4,500 | 4,870 | |
7 | Volkswagen Group of America Finance LLC | 1.250% | 11/24/25 | 89,250 | 89,462 | |
8 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 27,139 | 33,811 | |
7 | William Carter Co. | 5.500% | 5/15/25 | 3,706 | 3,902 | |
7 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 2,530 | 2,615 | |
7 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 2,206 | 2,277 | |
4,045,233 | ||||||
Consumer Staples (3.3%) | ||||||
7 | 7-Eleven Inc. | 0.625% | 2/10/23 | 30,650 | 30,668 | |
7 | 7-Eleven Inc. | 0.800% | 2/10/24 | 98,000 | 97,994 | |
7 | 7-Eleven Inc. | 0.950% | 2/10/26 | 56,300 | 55,731 | |
8 | Altria Group Inc. | 1.000% | 2/15/23 | 29,015 | 34,961 | |
Altria Group Inc. | 2.350% | 5/6/25 | 58,739 | 61,495 | ||
8 | Altria Group Inc. | 1.700% | 6/15/25 | 9,705 | 12,162 | |
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 3.650% | 2/1/26 | 28,500 | 31,627 | ||
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 29,421 | 32,565 | ||
BAT Capital Corp. | 3.222% | 8/15/24 | 67,044 | 71,205 | ||
9 | BAT Capital Corp. | 2.125% | 8/15/25 | 9,705 | 13,865 | |
BAT Capital Corp. | 3.215% | 9/6/26 | 6,000 | 6,428 | ||
BAT Capital Corp. | 4.700% | 4/2/27 | 10,000 | 11,382 | ||
7 | BAT International Finance plc | 3.950% | 6/15/25 | 75,200 | 82,555 | |
BAT International Finance plc | 1.668% | 3/25/26 | 68,450 | 69,030 | ||
Bunge Ltd. Finance Corp. Co. | 1.630% | 8/17/25 | 6,310 | 6,417 | ||
Campbell Soup Co. | 3.650% | 3/15/23 | 47,173 | 49,465 | ||
Campbell Soup Co. | 3.950% | 3/15/25 | 20,300 | 22,409 | ||
8 | CK Hutchison Finance 16 Ltd. | 1.250% | 4/6/23 | 14,550 | 17,665 | |
7 | Coca-Cola Europacific Partners plc | 0.500% | 5/5/23 | 16,000 | 15,993 | |
Conagra Brands Inc. | 4.300% | 5/1/24 | 10,000 | 10,959 | ||
Conagra Brands Inc. | 4.600% | 11/1/25 | 6,400 | 7,289 | ||
Constellation Brands Inc. | 2.650% | 11/7/22 | 33,800 | 34,711 | ||
Constellation Brands Inc. | 3.200% | 2/15/23 | 11,450 | 11,904 | ||
Constellation Brands Inc. | 4.250% | 5/1/23 | 78,574 | 83,586 | ||
Constellation Brands Inc. | 4.750% | 11/15/24 | 11,550 | 12,975 | ||
Constellation Brands Inc. | 4.400% | 11/15/25 | 34,588 | 39,165 | ||
Constellation Brands Inc. | 4.750% | 12/1/25 | 4,000 | 4,618 | ||
Dollar General Corp. | 3.250% | 4/15/23 | 15,626 | 16,261 | ||
Dollar Tree Inc. | 3.700% | 5/15/23 | 25,270 | 26,638 | ||
General Mills Inc. | 2.600% | 10/12/22 | 27,900 | 28,592 | ||
General Mills Inc. | 3.700% | 10/17/23 | 12,000 | 12,811 | ||
Grupo Bimbo SAB de CV | 4.500% | 1/25/22 | 3,128 | 3,185 | ||
7 | Grupo Bimbo SAB de CV | 4.500% | 1/25/22 | 2,781 | 2,833 | |
Hershey Co. | 0.900% | 6/1/25 | 8,900 | 8,970 | ||
Hormel Foods Corp. | 0.650% | 6/3/24 | 26,600 | 26,689 | ||
JM Smucker Co. | 3.500% | 3/15/25 | 15,800 | 17,246 | ||
Kellogg Co. | 2.650% | 12/1/23 | 8,000 | 8,390 | ||
Keurig Dr Pepper Inc. | 4.057% | 5/25/23 | 51,829 | 55,152 | ||
Keurig Dr Pepper Inc. | 3.130% | 12/15/23 | 15,320 | 16,229 | ||
Keurig Dr Pepper Inc. | 0.750% | 3/15/24 | 44,000 | 44,057 | ||
Keurig Dr Pepper Inc. | 4.417% | 5/25/25 | 48,900 | 55,071 | ||
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 4,800 | 5,225 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 20,427 | 22,616 | ||
Kroger Co. | 3.400% | 4/15/22 | 16,260 | 16,485 | ||
Kroger Co. | 2.800% | 8/1/22 | 35,058 | 35,851 | ||
Kroger Co. | 3.850% | 8/1/23 | 3,400 | 3,602 | ||
Kroger Co. | 4.000% | 2/1/24 | 20,700 | 22,287 | ||
Kroger Co. | 3.500% | 2/1/26 | 27,000 | 29,825 | ||
7 | Lamb Weston Holdings Inc. | 4.625% | 11/1/24 | 7,283 | 7,484 | |
7 | Lamb Weston Holdings Inc. | 4.875% | 11/1/26 | 1,925 | 1,985 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 2,210 | 2,457 | |
McCormick & Co. Inc. | 2.700% | 8/15/22 | 5,900 | 6,034 | ||
McCormick & Co. Inc. | 3.150% | 8/15/24 | 10,250 | 10,957 | ||
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 4,900 | 5,532 | ||
7 | Mondelez International Holdings Netherlands BV | 2.250% | 9/19/24 | 98,580 | 103,145 | |
Mondelez International Inc. | 0.625% | 7/1/22 | 42,500 | 42,661 | ||
Mondelez International Inc. | 1.500% | 5/4/25 | 61,425 | 62,712 | ||
7 | Nestle Holdings Inc. | 3.500% | 9/24/25 | 14,500 | 16,038 | |
8 | PepsiCo Inc. | 0.250% | 5/6/24 | 15,180 | 18,338 | |
PepsiCo Inc. | 2.250% | 3/19/25 | 6,935 | 7,312 | ||
7 | Performance Food Group Inc. | 6.875% | 5/1/25 | 997 | 1,061 | |
7 | Performance Food Group Inc. | 5.500% | 10/15/27 | 4,340 | 4,523 | |
7 | Pernod Ricard SA | 4.250% | 7/15/22 | 18,900 | 19,597 | |
Philip Morris International Inc. | 2.625% | 3/6/23 | 3,350 | 3,479 | ||
Philip Morris International Inc. | 1.125% | 5/1/23 | 12,850 | 13,031 | ||
Philip Morris International Inc. | 2.875% | 5/1/24 | 9,000 | 9,555 | ||
Philip Morris International Inc. | 1.500% | 5/1/25 | 35,300 | 36,116 | ||
Philip Morris International Inc. | 2.750% | 2/25/26 | 15,557 | 16,704 | ||
8 | Philip Morris International Inc. | 2.875% | 3/3/26 | 16,600 | 22,275 | |
Philip Morris International Inc. | 0.875% | 5/1/26 | 34,000 | 33,802 | ||
7 | Post Holdings Inc. | 5.750% | 3/1/27 | 700 | 729 | |
7 | Reckitt Benckiser Treasury Services plc | 2.375% | 6/24/22 | 122,848 | 124,986 | |
7 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 170,933 | 180,499 | |
Reynolds American Inc. | 4.450% | 6/12/25 | 147,838 | 164,267 | ||
Sysco Corp. | 2.600% | 6/12/22 | 11,585 | 11,812 | ||
Sysco Corp. | 5.650% | 4/1/25 | 35,600 | 41,258 | ||
Tyson Foods Inc. | 4.500% | 6/15/22 | 13,769 | 14,118 | ||
Tyson Foods Inc. | 3.900% | 9/28/23 | 20,328 | 21,772 | ||
Tyson Foods Inc. | 3.950% | 8/15/24 | 88,199 | 95,988 | ||
Tyson Foods Inc. | 4.000% | 3/1/26 | 46,638 | 52,336 | ||
Unilever Capital Corp. | 2.600% | 5/5/24 | 37,430 | 39,509 | ||
7 | Viterra Finance BV | 2.000% | 4/21/26 | 19,750 | 20,014 | |
Walmart Inc. | 3.050% | 7/8/26 | 414 | 456 | ||
2,599,381 | ||||||
Energy (7.6%) | ||||||
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. | 2.773% | 12/15/22 | 57,814 | 59,633 | ||
BP Capital Markets America Inc. | 2.750% | 5/10/23 | 71,181 | 74,157 | ||
BP Capital Markets America Inc. | 3.216% | 11/28/23 | 52,995 | 56,186 | ||
BP Capital Markets America Inc. | 3.790% | 2/6/24 | 63,231 | 68,166 | ||
BP Capital Markets America Inc. | 3.224% | 4/14/24 | 48,592 | 51,883 | ||
BP Capital Markets America Inc. | 3.194% | 4/6/25 | 40,652 | 43,861 | ||
BP Capital Markets America Inc. | 3.796% | 9/21/25 | 40,135 | 44,576 | ||
BP Capital Markets America Inc. | 3.119% | 5/4/26 | 63,745 | 69,477 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 8,655 | 8,904 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 35,810 | 38,668 | ||
BP Capital Markets plc | 3.535% | 11/4/24 | 16,530 | 17,996 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 10,360 | 11,343 | ||
Buckeye Partners LP | 4.150% | 7/1/23 | 3,230 | 3,344 | ||
Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 50,064 | 51,783 | ||
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 17,956 | 19,264 | ||
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 12,780 | 13,962 | ||
Canadian Natural Resources Ltd. | 2.050% | 7/15/25 | 18,252 | 18,872 | ||
Cenovus Energy Inc. | 3.950% | 4/15/22 | 1,410 | 1,431 | ||
Cenovus Energy Inc. | 3.000% | 8/15/22 | 7,465 | 7,610 | ||
Cenovus Energy Inc. | 4.000% | 4/15/24 | 9,800 | 10,505 | ||
Cenovus Energy Inc. | 5.375% | 7/15/25 | 107,255 | 122,397 | ||
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 131,309 | 149,963 | ||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/25 | 146,738 | 167,723 | ||
Cheniere Energy Inc. | 4.625% | 10/15/28 | 3,665 | 3,871 | ||
Chevron Corp. | 1.554% | 5/11/25 | 85,696 | 88,195 | ||
Chevron USA Inc. | 3.900% | 11/15/24 | 15,800 | 17,358 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Chevron USA Inc. | 0.687% | 8/12/25 | 39,870 | 39,725 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 21,605 | 23,465 | ||
CNPC General Capital Ltd. | 3.950% | 4/19/22 | 2,147 | 2,197 | ||
7 | CNX Resources Corp. | 7.250% | 3/14/27 | 4,850 | 5,169 | |
ConocoPhillips Co. | 2.400% | 12/15/22 | 14,637 | 14,974 | ||
ConocoPhillips Co. | 4.950% | 3/15/26 | 61,485 | 71,644 | ||
7 | CrownRock LP / CrownRock Finance Inc. | 5.625% | 10/15/25 | 2,820 | 2,891 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 1,801 | 2,049 | ||
7 | Devon Energy Corp. | 5.250% | 9/15/24 | 69,358 | 77,181 | |
Diamondback Energy Inc. | 0.900% | 3/24/23 | 20,915 | 20,907 | ||
Diamondback Energy Inc. | 2.875% | 12/1/24 | 73,207 | 77,048 | ||
Diamondback Energy Inc. | 4.750% | 5/31/25 | 16,395 | 18,387 | ||
Diamondback Energy Inc. | 3.250% | 12/1/26 | 25,020 | 26,986 | ||
7 | DT Midstream Inc. | 4.125% | 6/15/29 | 3,795 | 3,892 | |
7 | Eastern Gas Transmission & Storage Inc. | 3.600% | 12/15/24 | 6,378 | 6,901 | |
Ecopetrol SA | 5.875% | 9/18/23 | 25,280 | 27,232 | ||
Ecopetrol SA | 4.125% | 1/16/25 | 2,910 | 3,049 | ||
Ecopetrol SA | 5.375% | 6/26/26 | 13,899 | 15,232 | ||
Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 22,304 | 24,155 | ||
Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 9,594 | 10,112 | ||
Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 5,318 | 6,016 | ||
Enable Midstream Partners LP | 3.900% | 5/15/24 | 6,970 | 7,437 | ||
Enbridge Energy Partners LP | 5.875% | 10/15/25 | 10,441 | 12,344 | ||
Enbridge Inc. | 2.900% | 7/15/22 | 12,898 | 13,183 | ||
Enbridge Inc. | 4.000% | 10/1/23 | 32,750 | 34,933 | ||
Enbridge Inc. | 3.500% | 6/10/24 | 25,732 | 27,626 | ||
Enbridge Inc. | 2.500% | 1/15/25 | 33,290 | 35,031 | ||
7 | Endeavor Energy Resources LP / EER Finance Inc. | 6.625% | 7/15/25 | 1,196 | 1,265 | |
7 | Endeavor Energy Resources LP / EER Finance Inc. | 5.500% | 1/30/26 | 1,668 | 1,718 | |
7 | Endeavor Energy Resources LP / EER Finance Inc. | 5.750% | 1/30/28 | 1,179 | 1,238 | |
Energy Transfer LP | 5.200% | 2/1/22 | 41,415 | 41,889 | ||
Energy Transfer LP | 3.450% | 1/15/23 | 16,340 | 16,864 | ||
Energy Transfer LP | 3.600% | 2/1/23 | 2,916 | 3,019 | ||
Energy Transfer LP | 4.250% | 3/15/23 | 39,423 | 41,285 | ||
Energy Transfer LP | 4.200% | 9/15/23 | 42,572 | 45,422 | ||
Energy Transfer LP | 5.875% | 1/15/24 | 33,215 | 36,701 | ||
Energy Transfer LP | 4.900% | 2/1/24 | 40,324 | 43,783 | ||
Energy Transfer LP | 4.250% | 4/1/24 | 43,668 | 46,980 | ||
Energy Transfer LP | 4.500% | 4/15/24 | 40,986 | 44,594 | ||
Energy Transfer LP | 4.050% | 3/15/25 | 41,524 | 45,146 | ||
Energy Transfer LP | 2.900% | 5/15/25 | 21,640 | 22,830 | ||
Energy Transfer LP | 4.750% | 1/15/26 | 3,155 | 3,560 | ||
Energy Transfer LP / Regency Energy Finance Corp. | 5.875% | 3/1/22 | 83,408 | 84,854 | ||
Energy Transfer LP / Regency Energy Finance Corp. | 5.000% | 10/1/22 | 85,463 | 88,787 | ||
Energy Transfer LP / Regency Energy Finance Corp. | 4.500% | 11/1/23 | 89,002 | 95,238 | ||
7 | Eni SPA | 4.000% | 9/12/23 | 77,305 | 82,499 | |
7 | EnLink Midstream LLC | 5.625% | 1/15/28 | 865 | 916 | |
EnLink Midstream Partners LP | 4.850% | 7/15/26 | 2,915 | 3,045 | ||
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 28,502 | 30,635 | ||
Enterprise Products Operating LLC | 3.700% | 2/15/26 | 31,438 | 34,946 | ||
EOG Resources Inc. | 2.625% | 3/15/23 | 12,711 | 13,115 | ||
EOG Resources Inc. | 3.150% | 4/1/25 | 29,057 | 31,391 | ||
7 | EQM Midstream Partners LP | 6.000% | 7/1/25 | 2,905 | 3,161 | |
EQT Corp. | 3.000% | 10/1/22 | 1,116 | 1,131 | ||
7 | EQT Corp. | 3.125% | 5/15/26 | 1,670 | 1,718 | |
EQT Corp. | 5.000% | 1/15/29 | 3,660 | 4,136 | ||
Equinor ASA | 3.150% | 1/23/22 | 2,000 | 2,028 | ||
8 | Exxon Mobil Corp. | 0.142% | 6/26/24 | 29,015 | 34,825 | |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 7,378 | 7,849 | ||
Exxon Mobil Corp. | 2.992% | 3/19/25 | 80,438 | 86,429 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 29,538 | 31,314 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Gazprom PJSC Via Gaz Capital SA | 6.510% | 3/7/22 | 9,480 | 9,797 | ||
8 | Gazprom PJSC Via Gaz Capital SA | 3.125% | 11/17/23 | 2,600 | 3,252 | |
8 | Gazprom PJSC Via Gaz Capital SA | 2.949% | 1/24/24 | 15,630 | 19,485 | |
8 | Gazprom PJSC Via Gaz Capital SA | 2.250% | 11/22/24 | 3,400 | 4,188 | |
Harvest Operations Corp. | 3.000% | 9/21/22 | 2,875 | 2,958 | ||
7 | Hilcorp Energy I LP / Hilcorp Finance Co. | 5.750% | 2/1/29 | 2,095 | 2,142 | |
7 | KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 2,800 | 3,680 | |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 3,695 | 3,776 | ||
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 77,198 | 79,480 | ||
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 32,549 | 33,781 | ||
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 10,068 | 10,605 | ||
Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 11,015 | 11,875 | ||
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 16,684 | 18,159 | ||
Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 5,145 | 5,640 | ||
Kinder Morgan Inc. | 3.150% | 1/15/23 | 88,311 | 91,631 | ||
7 | Kinder Morgan Inc. | 5.625% | 11/15/23 | 24,815 | 27,250 | |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 25,844 | 28,808 | ||
Marathon Petroleum Corp. | 4.500% | 5/1/23 | 80,322 | 85,412 | ||
Marathon Petroleum Corp. | 4.750% | 12/15/23 | 52,092 | 56,652 | ||
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 31,830 | 34,276 | ||
Marathon Petroleum Corp. | 4.700% | 5/1/25 | 67,262 | 75,825 | ||
7 | MEG Energy Corp. | 6.500% | 1/15/25 | 10,517 | 10,859 | |
7 | Midwest Connector Capital Co. LLC | 3.625% | 4/1/22 | 67,868 | 68,920 | |
MPLX LP | 3.500% | 12/1/22 | 41,490 | 43,036 | ||
MPLX LP | 3.375% | 3/15/23 | 15,115 | 15,766 | ||
MPLX LP | 4.875% | 12/1/24 | 29,939 | 33,453 | ||
MPLX LP | 4.875% | 6/1/25 | 20,170 | 22,829 | ||
MPLX LP | 1.750% | 3/1/26 | 75,831 | 76,950 | ||
Nustar Logistics LP | 5.750% | 10/1/25 | 4,110 | 4,493 | ||
Occidental Petroleum Corp. | 5.500% | 12/1/25 | 2,665 | 2,932 | ||
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 1,110 | 1,122 | ||
Occidental Petroleum Corp. | 3.200% | 8/15/26 | 4,463 | 4,448 | ||
ONEOK Inc. | 2.750% | 9/1/24 | 43,924 | 46,197 | ||
ONEOK Inc. | 2.200% | 9/15/25 | 25,076 | 25,866 | ||
ONEOK Inc. | 5.850% | 1/15/26 | 6,200 | 7,345 | ||
ONEOK Partners LP | 3.375% | 10/1/22 | 6,951 | 7,131 | ||
ONEOK Partners LP | 5.000% | 9/15/23 | 26,043 | 28,075 | ||
ONEOK Partners LP | 4.900% | 3/15/25 | 9,680 | 10,851 | ||
Ovintiv Exploration Inc. | 5.625% | 7/1/24 | 8,776 | 9,709 | ||
Ovintiv Inc. | 3.900% | 11/15/21 | 4,860 | 4,863 | ||
Pertamina Persero PT | 4.875% | 5/3/22 | 31,389 | 32,376 | ||
Pertamina Persero PT | 4.300% | 5/20/23 | 50,622 | 53,663 | ||
Petronas Capital Ltd. | 3.125% | 3/18/22 | 12,520 | 12,725 | ||
Petronas Capital Ltd. | 7.875% | 5/22/22 | 10,234 | 10,837 | ||
7 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 5,835 | 6,400 | |
Phillips 66 | 3.700% | 4/6/23 | 23,599 | 24,846 | ||
Phillips 66 | 0.900% | 2/15/24 | 24,185 | 24,201 | ||
Phillips 66 | 3.850% | 4/9/25 | 18,475 | 20,292 | ||
Phillips 66 | 1.300% | 2/15/26 | 31,403 | 31,501 | ||
Phillips 66 Partners LP | 3.605% | 2/15/25 | 18,938 | 20,474 | ||
Pioneer Natural Resources Co. | 0.550% | 5/15/23 | 30,000 | 30,034 | ||
Pioneer Natural Resources Co. | 0.750% | 1/15/24 | 29,110 | 29,117 | ||
Pioneer Natural Resources Co. | 1.125% | 1/15/26 | 31,105 | 30,954 | ||
Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 39,765 | 44,991 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 18,518 | 19,569 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 30,937 | 33,070 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 69,905 | 78,323 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 4.500% | 12/15/26 | 6,300 | 7,115 | ||
7 | Rattler Midstream LP | 5.625% | 7/15/25 | 1,053 | 1,100 | |
Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 24,103 | 24,605 | ||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 83,467 | 89,404 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 60,549 | 67,811 | ||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 97,746 | 111,929 | ||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 61,066 | 72,626 | ||
7 | SAGlobal Sukuk Ltd. | 0.946% | 6/17/24 | 34,667 | 34,630 | |
7 | SAGlobal Sukuk Ltd. | 1.602% | 6/17/26 | 9,858 | 9,867 | |
Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 13,400 | 14,081 | ||
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 14,635 | 14,902 | ||
Shell International Finance BV | 2.000% | 11/7/24 | 97,255 | 101,384 | ||
Shell International Finance BV | 2.375% | 4/6/25 | 33,945 | 35,797 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 58,686 | 63,969 | ||
Shell International Finance BV | 2.875% | 5/10/26 | 17,236 | 18,738 | ||
Sinopec Group Overseas Development 2012 Ltd. | 3.900% | 5/17/22 | 8,873 | 9,100 | ||
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 21,800 | 23,488 | |
Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 30,630 | 33,058 | ||
Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 10,000 | 10,748 | ||
Sinopec Group Overseas Development 2017 Ltd. | 2.500% | 9/13/22 | 38,173 | 38,956 | ||
Spectra Energy Partners LP | 3.500% | 3/15/25 | 11,985 | 12,967 | ||
State Oil Co. of the Azerbaijan Republic | 4.750% | 3/13/23 | 6,595 | 6,954 | ||
Suncor Energy Inc. | 2.800% | 5/15/23 | 44,265 | 45,980 | ||
Suncor Energy Inc. | 3.600% | 12/1/24 | 9,685 | 10,475 | ||
Suncor Energy Inc. | 3.100% | 5/15/25 | 38,202 | 40,962 | ||
7 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 7.500% | 10/1/25 | 250 | 272 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.500% | 7/15/27 | 1,760 | 1,907 | ||
TotalEnergies Capital International SA | 3.700% | 1/15/24 | 12,701 | 13,710 | ||
TotalEnergies Capital International SA | 2.434% | 1/10/25 | 77,470 | 81,557 | ||
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 60,016 | 61,320 | ||
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 28,622 | 30,440 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 28,389 | 32,788 | ||
Valero Energy Corp. | 2.700% | 4/15/23 | 19,175 | 19,859 | ||
Valero Energy Corp. | 1.200% | 3/15/24 | 37,665 | 38,004 | ||
Valero Energy Corp. | 2.850% | 4/15/25 | 23,370 | 24,775 | ||
Valero Energy Corp. | 3.400% | 9/15/26 | 22,860 | 24,820 | ||
Western Midstream Operating LP | 5.300% | 2/1/30 | 5,530 | 6,210 | ||
Williams Cos. Inc. | 7.875% | 9/1/21 | 3,900 | 3,922 | ||
Williams Cos. Inc. | 3.600% | 3/15/22 | 87,852 | 89,114 | ||
Williams Cos. Inc. | 3.350% | 8/15/22 | 9,730 | 9,956 | ||
Williams Cos. Inc. | 3.700% | 1/15/23 | 15,910 | 16,534 | ||
Williams Cos. Inc. | 4.500% | 11/15/23 | 78,400 | 84,601 | ||
Williams Cos. Inc. | 4.550% | 6/24/24 | 115,409 | 127,026 | ||
Williams Cos. Inc. | 3.900% | 1/15/25 | 13,788 | 15,070 | ||
Williams Cos. Inc. | 4.000% | 9/15/25 | 9,899 | 10,987 | ||
5,995,613 | ||||||
Financials (28.0%) | ||||||
7 | ABN AMRO Bank NV | 1.542% | 6/16/27 | 39,160 | 39,237 | |
ABN AMRO Bank NV | 4.400% | 3/27/28 | 22,000 | 23,145 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/23/23 | 27,350 | 28,292 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.125% | 7/3/23 | 10,230 | 10,825 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 61,208 | 65,529 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.875% | 1/16/24 | 14,000 | 15,223 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.150% | 2/15/24 | 33,690 | 35,327 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 2.875% | 8/14/24 | 38,553 | 40,295 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.500% | 1/15/25 | 26,615 | 28,287 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 6.500% | 7/15/25 | 24,230 | 28,379 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.450% | 10/1/25 | 8,400 | 9,271 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.750% | 1/30/26 | 47,476 | 47,212 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.450% | 4/3/26 | 2,855 | 3,152 | ||
Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 9,700 | 10,599 | ||
Aflac Inc. | 3.250% | 3/17/25 | 5,820 | 6,338 | ||
Aflac Inc. | 1.125% | 3/15/26 | 18,735 | 18,880 | ||
Air Lease Corp. | 2.250% | 1/15/23 | 22,025 | 22,577 | ||
Air Lease Corp. | 2.750% | 1/15/23 | 7,588 | 7,822 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Air Lease Corp. | 3.875% | 7/3/23 | 10,700 | 11,336 | ||
Air Lease Corp. | 4.250% | 2/1/24 | 18,766 | 20,301 | ||
Air Lease Corp. | 2.300% | 2/1/25 | 34,000 | 35,282 | ||
Air Lease Corp. | 3.250% | 3/1/25 | 2,910 | 3,109 | ||
Air Lease Corp. | 3.375% | 7/1/25 | 29,915 | 32,261 | ||
Air Lease Corp. | 2.875% | 1/15/26 | 62,885 | 66,506 | ||
Aircastle Ltd. | 4.400% | 9/25/23 | 4,850 | 5,190 | ||
Aircastle Ltd. | 4.125% | 5/1/24 | 6,790 | 7,265 | ||
7 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 4.250% | 10/15/27 | 1,185 | 1,177 | |
7 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 6.750% | 10/15/27 | 120 | 125 | |
Allstate Corp. | 0.750% | 12/15/25 | 9,662 | 9,636 | ||
Ally Financial Inc. | 4.125% | 2/13/22 | 15,564 | 15,867 | ||
Ally Financial Inc. | 4.625% | 5/19/22 | 6,730 | 6,953 | ||
Ally Financial Inc. | 1.450% | 10/2/23 | 75,800 | 76,950 | ||
Ally Financial Inc. | 3.875% | 5/21/24 | 46,879 | 50,647 | ||
Ally Financial Inc. | 5.125% | 9/30/24 | 1,655 | 1,860 | ||
Ally Financial Inc. | 4.625% | 3/30/25 | 3,814 | 4,276 | ||
Ally Financial Inc. | 5.800% | 5/1/25 | 1,940 | 2,256 | ||
Ally Financial Inc. | 5.750% | 11/20/25 | 4,850 | 5,548 | ||
American Express Co. | 3.700% | 11/5/21 | 35,380 | 35,592 | ||
American Express Co. | 2.750% | 5/20/22 | 31,360 | 31,922 | ||
American Express Co. | 2.500% | 8/1/22 | 9,760 | 9,961 | ||
American Express Co. | 3.700% | 8/3/23 | 155,698 | 165,664 | ||
American Express Co. | 3.400% | 2/22/24 | 44,050 | 47,094 | ||
American Express Co. | 2.500% | 7/30/24 | 89,030 | 93,967 | ||
American Express Co. | 3.000% | 10/30/24 | 31,027 | 33,261 | ||
American Express Co. | 4.200% | 11/6/25 | 16,315 | 18,551 | ||
American Express Co. | 3.125% | 5/20/26 | 6,545 | 7,184 | ||
American International Group Inc. | 2.500% | 6/30/25 | 88,167 | 93,131 | ||
American International Group Inc. | 3.750% | 7/10/25 | 29,786 | 32,815 | ||
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 23,893 | 26,190 | ||
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 20,610 | 22,142 | ||
7 | Antares Holdings LP | 3.950% | 7/15/26 | 20,925 | 22,198 | |
7 | Antares Holdings LP | 2.750% | 1/15/27 | 23,100 | 23,122 | |
Aon plc | 4.000% | 11/27/23 | 27,482 | 29,446 | ||
Aon plc | 3.500% | 6/14/24 | 42,490 | 45,700 | ||
Aon plc | 3.875% | 12/15/25 | 10,782 | 12,020 | ||
7 | Apollo Management Holdings LP | 4.000% | 5/30/24 | 4,835 | 5,276 | |
Ares Capital Corp. | 2.150% | 7/15/26 | 29,000 | 29,237 | ||
Assurant Inc. | 4.200% | 9/27/23 | 9,700 | 10,401 | ||
8 | Athene Global Funding | 1.875% | 6/23/23 | 24,185 | 29,801 | |
7 | Athene Global Funding | 1.200% | 10/13/23 | 36,190 | 36,665 | |
7 | Athene Global Funding | 0.950% | 1/8/24 | 34,970 | 35,230 | |
8 | Athene Global Funding | 1.125% | 9/2/25 | 24,465 | 30,288 | |
7 | Australia & New Zealand Banking Group Ltd. | 2.950% | 7/22/30 | 50,299 | 52,599 | |
6,10 | Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% | 2.025% | 7/26/29 | 38,688 | 29,264 | |
9 | Aviva plc | 6.125% | 11/14/36 | 5,950 | 10,078 | |
7 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 30,875 | 31,015 | |
7 | Avolon Holdings Funding Ltd. | 4.250% | 4/15/26 | 20,690 | 22,606 | |
7 | Avolon Holdings Funding Ltd. | 4.375% | 5/1/26 | 1,237 | 1,359 | |
8 | Banco Bilbao Vizcaya Argentaria SA | 2.575% | 2/22/29 | 1,100 | 1,378 | |
Banco Santander SA | 3.125% | 2/23/23 | 21,400 | 22,248 | ||
Banco Santander SA | 2.706% | 6/27/24 | 78,400 | 82,716 | ||
Banco Santander SA | 0.701% | 6/30/24 | 16,085 | 16,136 | ||
Banco Santander SA | 2.746% | 5/28/25 | 80,170 | 84,625 | ||
Banco Santander SA | 5.179% | 11/19/25 | 5,225 | 5,987 | ||
Banco Santander SA | 1.849% | 3/25/26 | 29,250 | 29,784 | ||
6,10 | Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% | 1.675% | 1/19/23 | 14,400 | 10,696 | |
Bank of America Corp. | 3.124% | 1/20/23 | 46,075 | 46,667 | ||
Bank of America Corp. | 2.816% | 7/21/23 | 19,500 | 19,952 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | Bank of America Corp. | 0.750% | 7/26/23 | 65,745 | 79,632 | |
Bank of America Corp. | 3.004% | 12/20/23 | 101,268 | 104,753 | ||
Bank of America Corp. | 4.125% | 1/22/24 | 48,795 | 53,074 | ||
Bank of America Corp. | 3.550% | 3/5/24 | 156,731 | 164,111 | ||
Bank of America Corp. | 4.000% | 4/1/24 | 14,195 | 15,470 | ||
Bank of America Corp. | 0.523% | 6/14/24 | 21,300 | 21,308 | ||
Bank of America Corp. | 3.864% | 7/23/24 | 43,351 | 46,093 | ||
Bank of America Corp. | 4.200% | 8/26/24 | 20,727 | 22,721 | ||
Bank of America Corp. | 0.810% | 10/24/24 | 59,850 | 60,085 | ||
Bank of America Corp. | 4.000% | 1/22/25 | 94,485 | 103,715 | ||
Bank of America Corp. | 3.458% | 3/15/25 | 9,700 | 10,364 | ||
Bank of America Corp. | 3.950% | 4/21/25 | 81,301 | 89,295 | ||
Bank of America Corp. | 0.976% | 4/22/25 | 89,163 | 89,643 | ||
Bank of America Corp. | 3.875% | 8/1/25 | 4,645 | 5,185 | ||
Bank of America Corp. | 0.981% | 9/25/25 | 49,430 | 49,526 | ||
Bank of America Corp. | 3.093% | 10/1/25 | 80,345 | 85,760 | ||
Bank of America Corp. | 2.456% | 10/22/25 | 19,250 | 20,169 | ||
Bank of America Corp. | 3.366% | 1/23/26 | 53,253 | 57,349 | ||
Bank of America Corp. | 2.015% | 2/13/26 | 70,770 | 73,060 | ||
Bank of America Corp. | 4.450% | 3/3/26 | 23,458 | 26,563 | ||
Bank of America Corp. | 1.319% | 6/19/26 | 71,740 | 72,148 | ||
Bank of America Corp. | 1.197% | 10/24/26 | 29,580 | 29,525 | ||
Bank of America Corp. | 1.658% | 3/11/27 | 19,415 | 19,726 | ||
Bank of America Corp. | 1.734% | 7/22/27 | 99,520 | 101,293 | ||
Bank of Montreal | 3.300% | 2/5/24 | 134,729 | 144,161 | ||
Bank of Montreal | 0.625% | 7/9/24 | 38,925 | 38,989 | ||
Bank of Montreal | 0.949% | 1/22/27 | 24,275 | 24,125 | ||
Bank of Montreal | 4.338% | 10/5/28 | 95,773 | 102,641 | ||
Bank of New York Mellon Corp. | 2.661% | 5/16/23 | 4,850 | 4,941 | ||
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 7,930 | 8,538 | ||
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 17,380 | 18,727 | ||
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 7,855 | 8,484 | ||
Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 4,590 | 4,813 | ||
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 21,580 | 23,286 | ||
Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 32,270 | 33,258 | ||
Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 4,641 | 5,018 | ||
Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 10,000 | 10,667 | ||
7 | Bank of New Zealand | 1.000% | 3/3/26 | 4,330 | 4,308 | |
Bank of Nova Scotia | 0.700% | 4/15/24 | 38,855 | 38,989 | ||
Bank of Nova Scotia | 0.650% | 7/31/24 | 25,170 | 25,203 | ||
Bank of Nova Scotia | 2.200% | 2/3/25 | 80,899 | 84,855 | ||
Bank of Nova Scotia | 1.300% | 6/11/25 | 46,410 | 47,128 | ||
Bank of Nova Scotia | 4.500% | 12/16/25 | 16,780 | 19,131 | ||
Bank of Nova Scotia | 1.050% | 3/2/26 | 44,685 | 44,579 | ||
Bank of Nova Scotia | 1.350% | 6/24/26 | 55,250 | 55,751 | ||
7 | Banque Federative du Credit Mutuel SA | 0.650% | 2/27/24 | 37,920 | 37,934 | |
7 | Banque Federative du Credit Mutuel SA | 2.375% | 11/21/24 | 23,000 | 24,094 | |
Barclays plc | 3.684% | 1/10/23 | 4,260 | 4,321 | ||
9 | Barclays plc | 3.125% | 1/17/24 | 14,575 | 21,300 | |
Barclays plc | 4.375% | 9/11/24 | 47,414 | 51,729 | ||
Barclays plc | 1.007% | 12/10/24 | 53,410 | 53,598 | ||
Barclays plc | 3.650% | 3/16/25 | 38,535 | 41,887 | ||
Barclays plc | 3.932% | 5/7/25 | 51,325 | 55,401 | ||
Barclays plc | 4.375% | 1/12/26 | 32,833 | 37,047 | ||
Barclays plc | 2.852% | 5/7/26 | 96,646 | 102,529 | ||
Barclays plc | 5.200% | 5/12/26 | 9,800 | 11,305 | ||
8 | Barclays plc | 2.000% | 2/7/28 | 2,000 | 2,432 | |
8 | Belfius Bank SA | 0.375% | 2/13/26 | 1,300 | 1,566 | |
8 | Berkshire Hathaway Inc. | 0.625% | 1/17/23 | 1,510 | 1,815 | |
8 | Blackstone Property Partners Europe Holdings Sarl | 1.400% | 7/6/22 | 26,785 | 32,091 | |
8 | Blackstone Property Partners Europe Holdings Sarl | 0.500% | 9/12/23 | 21,547 | 25,819 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | Blackstone Property Partners Europe Holdings Sarl | 1.250% | 4/26/27 | 600 | 735 | |
8 | BNP Paribas SA | 0.500% | 7/15/25 | 24,300 | 29,317 | |
7 | BNP Paribas SA | 2.819% | 11/19/25 | 18,898 | 19,886 | |
7 | BNP Paribas SA | 2.219% | 6/9/26 | 16,200 | 16,753 | |
7 | BNP Paribas SA | 1.323% | 1/13/27 | 46,345 | 45,955 | |
7 | BOC Aviation Ltd. | 2.375% | 9/15/21 | 29,210 | 29,224 | |
7 | BPCE SA | 5.700% | 10/22/23 | 29,100 | 32,130 | |
7 | BPCE SA | 2.375% | 1/14/25 | 37,030 | 38,639 | |
7 | BPCE SA | 1.000% | 1/20/26 | 30,245 | 30,058 | |
6,10 | BPCE SA, 3M Australian Bank Bill Rate + 1.100% | 1.125% | 4/26/23 | 21,540 | 16,029 | |
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 19,800 | 21,769 | ||
Brown & Brown Inc. | 4.200% | 9/15/24 | 33,202 | 36,417 | ||
Canadian Imperial Bank of Commerce | 2.606% | 7/22/23 | 23,183 | 23,690 | ||
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 27,720 | 29,527 | ||
Canadian Imperial Bank of Commerce | 0.950% | 10/23/25 | 16,780 | 16,812 | ||
Canadian Imperial Bank of Commerce | 1.250% | 6/22/26 | 58,365 | 58,544 | ||
7 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 18,900 | 19,092 | |
Capital One Bank USA NA | 2.014% | 1/27/23 | 67,900 | 68,433 | ||
Capital One Bank USA NA | 3.375% | 2/15/23 | 29,149 | 30,446 | ||
Capital One Bank USA NA | 2.280% | 1/28/26 | 46,330 | 48,263 | ||
Capital One Financial Corp. | 3.050% | 3/9/22 | 38,860 | 39,418 | ||
Capital One Financial Corp. | 2.600% | 5/11/23 | 26,934 | 27,945 | ||
Capital One Financial Corp. | 3.500% | 6/15/23 | 1,210 | 1,277 | ||
Capital One Financial Corp. | 3.900% | 1/29/24 | 19,550 | 21,067 | ||
Capital One Financial Corp. | 3.750% | 4/24/24 | 15,000 | 16,207 | ||
Capital One Financial Corp. | 3.300% | 10/30/24 | 14,500 | 15,644 | ||
Capital One NA | 2.250% | 9/13/21 | 15,602 | 15,626 | ||
Charles Schwab Corp. | 3.550% | 2/1/24 | 2,840 | 3,055 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 17,510 | 17,651 | ||
Charles Schwab Corp. | 4.200% | 3/24/25 | 2,552 | 2,860 | ||
Charles Schwab Corp. | 3.850% | 5/21/25 | 49,040 | 54,463 | ||
Charles Schwab Corp. | 0.900% | 3/11/26 | 29,040 | 29,042 | ||
Charles Schwab Corp. | 1.150% | 5/13/26 | 29,150 | 29,427 | ||
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 10,005 | 10,390 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 94,408 | 101,739 | ||
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 31,665 | 34,370 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 72,851 | 80,426 | ||
CIT Group Inc. | 4.750% | 2/16/24 | 18,348 | 19,789 | ||
CIT Group Inc. | 3.929% | 6/19/24 | 8,221 | 8,634 | ||
6,10 | Citibank NA, 3M Australian Bank Bill Rate + 0.750% | 0.793% | 5/20/22 | 13,800 | 10,176 | |
Citigroup Inc. | 4.500% | 1/14/22 | 8,760 | 8,927 | ||
Citigroup Inc. | 2.750% | 4/25/22 | 34,244 | 34,793 | ||
Citigroup Inc. | 2.312% | 11/4/22 | 62,640 | 62,953 | ||
Citigroup Inc. | 3.142% | 1/24/23 | 65,832 | 66,707 | ||
Citigroup Inc. | 3.500% | 5/15/23 | 18,000 | 18,935 | ||
Citigroup Inc. | 2.876% | 7/24/23 | 47,810 | 48,949 | ||
Citigroup Inc. | 1.678% | 5/15/24 | 20,210 | 20,625 | ||
Citigroup Inc. | 4.044% | 6/1/24 | 71,725 | 76,231 | ||
Citigroup Inc. | 3.750% | 6/16/24 | 1,800 | 1,957 | ||
Citigroup Inc. | 0.776% | 10/30/24 | 25,890 | 25,989 | ||
Citigroup Inc. | 3.875% | 3/26/25 | 26,482 | 29,071 | ||
Citigroup Inc. | 3.352% | 4/24/25 | 76,179 | 81,334 | ||
Citigroup Inc. | 3.300% | 4/27/25 | 11,650 | 12,692 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 29,145 | 29,302 | ||
Citigroup Inc. | 4.400% | 6/10/25 | 28,325 | 31,683 | ||
Citigroup Inc. | 5.500% | 9/13/25 | 2,615 | 3,052 | ||
Citigroup Inc. | 4.600% | 3/9/26 | 46,660 | 53,427 | ||
Citigroup Inc. | 3.106% | 4/8/26 | 82,755 | 88,638 | ||
8 | Citigroup Inc. | 1.500% | 7/24/26 | 1,350 | 1,693 | |
Citigroup Inc. | 3.200% | 10/21/26 | 7,025 | 7,660 | ||
Citigroup Inc. | 1.122% | 1/28/27 | 29,100 | 28,861 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Citigroup Inc. | 1.462% | 6/9/27 | 62,560 | 62,697 | ||
6,10 | Citigroup Inc., 3M Australian Bank Bill Rate + 1.720% | 1.745% | 10/27/23 | 5,800 | 4,374 | |
Citizens Bank NA | 3.250% | 2/14/22 | 9,719 | 9,850 | ||
CNO Financial Group Inc. | 5.250% | 5/30/25 | 22,250 | 25,317 | ||
8 | Commonwealth Bank of Australia | 1.936% | 10/3/29 | 700 | 872 | |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 2,623 | 2,741 | ||
7 | Cooperatieve Rabobank UA | 3.875% | 9/26/23 | 77,820 | 83,438 | |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 88,770 | 96,851 | ||
8 | Cooperatieve Rabobank UA | 0.625% | 2/27/24 | 15,200 | 18,463 | |
7 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 9,720 | 10,258 | |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 18,700 | 20,980 | ||
Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 1,250 | 1,385 | ||
7 | Cooperatieve Rabobank UA | 1.004% | 9/24/26 | 14,600 | 14,551 | |
7 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 23,750 | 23,610 | |
9 | Credit Agricole SA | 7.375% | 12/18/23 | 21,000 | 33,563 | |
8 | Credit Agricole SA | 3.125% | 2/5/26 | 2,000 | 2,728 | |
7 | Credit Agricole SA | 1.247% | 1/26/27 | 26,940 | 26,717 | |
8 | Credit Mutuel Arkea SA | 1.250% | 5/31/24 | 1,800 | 2,217 | |
Credit Suisse AG | 1.000% | 5/5/23 | 27,250 | 27,542 | ||
Credit Suisse AG | 0.495% | 2/2/24 | 17,465 | 17,425 | ||
Credit Suisse AG | 3.625% | 9/9/24 | 64,404 | 70,060 | ||
Credit Suisse AG | 2.950% | 4/9/25 | 28,600 | 30,723 | ||
6,10 | Credit Suisse AG, 3M Australian Bank Bill Rate + 1.150% | 1.190% | 5/26/23 | 29,040 | 21,656 | |
7 | Credit Suisse Group AG | 3.574% | 1/9/23 | 31,845 | 32,279 | |
Credit Suisse Group AG | 3.800% | 6/9/23 | 56,320 | 59,569 | ||
7 | Credit Suisse Group AG | 4.207% | 6/12/24 | 62,630 | 66,534 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 21,716 | 23,656 | ||
7 | Credit Suisse Group AG | 1.305% | 2/2/27 | 19,480 | 19,222 | |
6,10 | Credit Suisse Group AG, 3M Australian Bank Bill Rate + 1.250% | 1.275% | 3/8/24 | 9,240 | 6,815 | |
7 | Danske Bank A/S | 2.000% | 9/8/21 | 25,872 | 25,920 | |
7 | Danske Bank A/S | 3.001% | 9/20/22 | 39,000 | 39,119 | |
7 | Danske Bank A/S | 3.875% | 9/12/23 | 34,000 | 36,163 | |
7 | Danske Bank A/S | 1.171% | 12/8/23 | 43,945 | 44,170 | |
8 | Danske Bank A/S | 2.500% | 6/21/29 | 1,100 | 1,379 | |
8 | Danske Bank A/S | 1.000% | 5/15/31 | 4,500 | 5,385 | |
Deutsche Bank AG | 0.898% | 5/28/24 | 43,600 | 43,543 | ||
Deutsche Bank AG | 2.222% | 9/18/24 | 27,415 | 28,138 | ||
Deutsche Bank AG | 1.447% | 4/1/25 | 29,140 | 29,400 | ||
Deutsche Bank AG | 1.686% | 3/19/26 | 19,425 | 19,705 | ||
Deutsche Bank AG | 2.129% | 11/24/26 | 51,200 | 52,349 | ||
Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 38,730 | 40,360 | ||
7 | Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 7,300 | 7,290 | |
7,11 | Dexia Credit Local SA | 2.375% | 9/20/22 | 5,800 | 5,941 | |
Discover Bank | 4.200% | 8/8/23 | 37,294 | 40,064 | ||
Discover Bank | 2.450% | 9/12/24 | 34,165 | 35,778 | ||
Discover Bank | 4.682% | 8/9/28 | 14,450 | 15,356 | ||
Discover Financial Services | 3.950% | 11/6/24 | 4,535 | 4,951 | ||
7 | DNB Bank ASA | 1.127% | 9/16/26 | 20,160 | 20,136 | |
7 | DNB Bank ASA | 1.535% | 5/25/27 | 24,275 | 24,499 | |
7 | Equitable Financial Life Global Funding | 0.500% | 4/6/23 | 36,420 | 36,513 | |
Equitable Holdings Inc. | 3.900% | 4/20/23 | 29,609 | 31,262 | ||
7 | F&G Global Funding | 1.750% | 6/30/26 | 31,600 | 32,258 | |
8 | FCA Bank SPA | 0.625% | 11/24/22 | 9,700 | 11,625 | |
7 | Fidelity & Guaranty Life Holdings Inc. | 5.500% | 5/1/25 | 30,685 | 35,378 | |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 2,370 | 2,497 | ||
Fifth Third Bancorp | 3.650% | 1/25/24 | 29,100 | 31,207 | ||
First Republic Bank | 2.500% | 6/6/22 | 91,570 | 93,108 | ||
First Republic Bank | 1.912% | 2/12/24 | 29,621 | 30,222 | ||
7 | Five Corners Funding Trust | 4.419% | 11/15/23 | 89,012 | 96,796 | |
Franklin Resources Inc. | 2.800% | 9/15/22 | 13,112 | 13,474 | ||
FS KKR Capital Corp. | 3.400% | 1/15/26 | 17,880 | 18,676 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | GA Global Funding Trust | 1.000% | 4/8/24 | 29,135 | 29,349 | |
7 | GA Global Funding Trust | 1.625% | 1/15/26 | 12,550 | 12,803 | |
GATX Corp. | 3.250% | 3/30/25 | 2,109 | 2,266 | ||
GATX Corp. | 3.250% | 9/15/26 | 9,710 | 10,552 | ||
GE Capital Funding LLC | 3.450% | 5/15/25 | 17,770 | 19,381 | ||
GE Capital International Funding Co. Unlimited Co. | 3.373% | 11/15/25 | 45,311 | 49,740 | ||
Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 52,755 | 53,060 | ||
Goldman Sachs Group Inc. | 0.481% | 1/27/23 | 73,000 | 73,029 | ||
Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 28,813 | 29,414 | ||
Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 32,411 | 33,169 | ||
Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 52,380 | 52,409 | ||
Goldman Sachs Group Inc. | 3.625% | 2/20/24 | 62,105 | 66,527 | ||
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 29,010 | 31,439 | ||
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 33,975 | 34,037 | ||
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 48,492 | 52,588 | ||
Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 208,145 | 208,080 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 51,450 | 55,636 | ||
8 | Goldman Sachs Group Inc. | 3.375% | 3/27/25 | 29,600 | 39,513 | |
Goldman Sachs Group Inc. | 3.500% | 4/1/25 | 90,415 | 98,293 | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 83,185 | 91,120 | ||
Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 99,376 | 106,545 | ||
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 45,559 | 51,118 | ||
Goldman Sachs Group Inc. | 0.855% | 2/12/26 | 24,905 | 24,800 | ||
8 | Goldman Sachs Group Inc. | 2.875% | 6/3/26 | 19,500 | 26,223 | |
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 25,155 | 27,516 | ||
Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 37,910 | 37,659 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 63,420 | 63,713 | ||
6,10 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% | 1.239% | 5/16/23 | 29,170 | 21,681 | |
6,10 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370% | 1.395% | 9/8/21 | 19,280 | 14,163 | |
7 | Great-West Lifeco U.S. Finance 2020 LP | 0.904% | 8/12/25 | 14,450 | 14,390 | |
9 | Hastings Group Finance plc | 3.000% | 5/24/25 | 19,430 | 28,720 | |
HSBC Holdings plc | 3.262% | 3/13/23 | 89,049 | 90,621 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 52,881 | 55,927 | ||
9 | HSBC Holdings plc | 2.175% | 6/27/23 | 14,500 | 20,434 | |
HSBC Holdings plc | 3.033% | 11/22/23 | 87,945 | 90,957 | ||
12 | HSBC Holdings plc | 3.196% | 12/5/23 | 48,400 | 40,652 | |
10 | HSBC Holdings plc | 3.350% | 2/16/24 | 9,909 | 7,569 | |
HSBC Holdings plc | 4.250% | 3/14/24 | 54,345 | 58,730 | ||
HSBC Holdings plc | 3.950% | 5/18/24 | 61,416 | 65,117 | ||
HSBC Holdings plc | 3.803% | 3/11/25 | 58,275 | 62,626 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 59,700 | 59,853 | ||
HSBC Holdings plc | 4.250% | 8/18/25 | 33,878 | 37,572 | ||
HSBC Holdings plc | 2.633% | 11/7/25 | 47,395 | 49,692 | ||
HSBC Holdings plc | 1.645% | 4/18/26 | 103,654 | 105,224 | ||
HSBC Holdings plc | 2.099% | 6/4/26 | 117,457 | 121,166 | ||
HSBC Holdings plc | 4.292% | 9/12/26 | 35,483 | 39,600 | ||
8 | HSBC Holdings plc | 0.309% | 11/13/26 | 1,100 | 1,317 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 48,896 | 49,223 | ||
9 | HSBC Holdings plc | 1.750% | 7/24/27 | 8,200 | 11,524 | |
6,10 | HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% | 1.139% | 2/16/24 | 17,314 | 12,809 | |
Huntington Bancshares Inc. | 4.350% | 2/4/23 | 8,800 | 9,279 | ||
Huntington National Bank | 3.550% | 10/6/23 | 35,240 | 37,543 | ||
ING Groep NV | 3.550% | 4/9/24 | 4,800 | 5,169 | ||
ING Groep NV | 1.726% | 4/1/27 | 19,420 | 19,774 | ||
Intercontinental Exchange Inc. | 0.700% | 6/15/23 | 24,540 | 24,682 | ||
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 40,240 | 43,315 | ||
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 12,778 | 14,179 | ||
7 | Intesa Sanpaolo SPA | 3.250% | 9/23/24 | 51,560 | 54,878 | |
8 | Intesa Sanpaolo SPA | 0.625% | 2/24/26 | 19,400 | 23,204 | |
Invesco Finance plc | 3.125% | 11/30/22 | 28,515 | 29,538 | ||
Invesco Finance plc | 4.000% | 1/30/24 | 40,732 | 44,072 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Invesco Finance plc | 3.750% | 1/15/26 | 2,910 | 3,233 | ||
Jefferies Group LLC | 5.125% | 1/20/23 | 13,585 | 14,481 | ||
JPMorgan Chase & Co. | 3.207% | 4/1/23 | 61,154 | 62,328 | ||
JPMorgan Chase & Co. | 2.776% | 4/25/23 | 92,825 | 94,473 | ||
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 8,340 | 8,657 | ||
JPMorgan Chase & Co. | 3.559% | 4/23/24 | 71,475 | 75,204 | ||
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 22,750 | 24,667 | ||
JPMorgan Chase & Co. | 1.514% | 6/1/24 | 29,050 | 29,611 | ||
JPMorgan Chase & Co. | 3.797% | 7/23/24 | 15,069 | 16,025 | ||
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 3,075 | 3,350 | ||
JPMorgan Chase & Co. | 0.653% | 9/16/24 | 16,365 | 16,413 | ||
JPMorgan Chase & Co. | 4.023% | 12/5/24 | 81,527 | 87,816 | ||
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 20,195 | 21,709 | ||
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 26,200 | 26,127 | ||
JPMorgan Chase & Co. | 3.220% | 3/1/25 | 117,868 | 125,158 | ||
JPMorgan Chase & Co. | 0.824% | 6/1/25 | 75,555 | 75,667 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 52,500 | 52,725 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 41,063 | 45,525 | ||
JPMorgan Chase & Co. | 2.301% | 10/15/25 | 109,425 | 114,178 | ||
JPMorgan Chase & Co. | 2.005% | 3/13/26 | 92,841 | 96,211 | ||
JPMorgan Chase & Co. | 2.083% | 4/22/26 | 143,080 | 148,509 | ||
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 25,000 | 27,359 | ||
JPMorgan Chase & Co. | 1.045% | 11/19/26 | 95,188 | 94,619 | ||
JPMorgan Chase & Co. | 1.040% | 2/4/27 | 42,800 | 42,379 | ||
JPMorgan Chase & Co. | 1.578% | 4/22/27 | 58,550 | 59,271 | ||
Kemper Corp. | 4.350% | 2/15/25 | 13,849 | 15,216 | ||
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 5.250% | 10/1/25 | 3,880 | 3,938 | |
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.250% | 2/1/27 | 1,595 | 1,593 | |
Lazard Group LLC | 3.750% | 2/13/25 | 7,625 | 8,315 | ||
13,14 | Lehman Brothers E-Capital Trust I | 3.589% | 8/19/65 | 9,410 | 1 | |
Lincoln National Corp. | 4.000% | 9/1/23 | 8,850 | 9,481 | ||
8 | Lloyds Bank Corporate Markets plc | 0.375% | 1/28/25 | 1,200 | 1,450 | |
Lloyds Banking Group plc | 2.858% | 3/17/23 | 56,965 | 57,827 | ||
Lloyds Banking Group plc | 1.326% | 6/15/23 | 61,255 | 61,711 | ||
Lloyds Banking Group plc | 4.050% | 8/16/23 | 53,550 | 57,295 | ||
Lloyds Banking Group plc | 2.907% | 11/7/23 | 133,035 | 137,027 | ||
Lloyds Banking Group plc | 3.900% | 3/12/24 | 14,500 | 15,691 | ||
Lloyds Banking Group plc | 0.695% | 5/11/24 | 74,780 | 75,044 | ||
Lloyds Banking Group plc | 4.500% | 11/4/24 | 19,450 | 21,567 | ||
Lloyds Banking Group plc | 4.450% | 5/8/25 | 30,695 | 34,526 | ||
Lloyds Banking Group plc | 3.870% | 7/9/25 | 21,410 | 23,212 | ||
Lloyds Banking Group plc | 4.582% | 12/10/25 | 37,480 | 42,253 | ||
Lloyds Banking Group plc | 2.438% | 2/5/26 | 14,700 | 15,392 | ||
Lloyds Banking Group plc | 1.627% | 5/11/27 | 19,415 | 19,562 | ||
7 | LSEGA Financing plc | 0.650% | 4/6/24 | 39,665 | 39,750 | |
7 | LSEGA Financing plc | 1.375% | 4/6/26 | 34,875 | 35,097 | |
8 | Luminor Bank AS | 0.792% | 12/3/24 | 5,344 | 6,409 | |
10 | Macquarie Bank Ltd. | 1.750% | 6/21/22 | 2,910 | 2,163 | |
6,10 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.750% | 0.778% | 6/21/22 | 54,720 | 40,349 | |
6,10 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.900% | 2.940% | 5/28/30 | 33,130 | 25,709 | |
10 | Macquarie Group Ltd. | 3.250% | 12/15/22 | 6,400 | 4,741 | |
7 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 11,250 | 11,637 | |
Macquarie Group Ltd. | 3.189% | 11/28/23 | 29,040 | 30,038 | ||
7 | Macquarie Group Ltd. | 1.340% | 1/12/27 | 19,425 | 19,393 | |
7 | Macquarie Group Ltd. | 1.629% | 9/23/27 | 29,145 | 29,275 | |
6,10 | Macquarie Group Ltd., 3M Australian Bank Bill Rate + 1.150% | 1.174% | 12/15/22 | 33,920 | 24,959 | |
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 4,791 | 4,997 | ||
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 9,700 | 10,372 | ||
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 49,082 | 52,819 | ||
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 29,500 | 32,148 | ||
7 | MassMutual Global Funding II | 2.750% | 6/22/24 | 54,080 | 57,414 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
MetLife Inc. | 3.600% | 4/10/24 | 6,554 | 7,089 | ||
7 | Metropolitan Life Global Funding I | 0.900% | 6/8/23 | 23,630 | 23,890 | |
7 | Metropolitan Life Global Funding I | 0.400% | 1/7/24 | 19,960 | 19,930 | |
7 | Metropolitan Life Global Funding I | 3.600% | 1/11/24 | 9,860 | 10,607 | |
8 | Metropolitan Life Global Funding I | 0.375% | 4/9/24 | 14,505 | 17,528 | |
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 98,645 | 105,107 | ||
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 8,775 | 9,166 | ||
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 48,925 | 52,407 | ||
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 27,840 | 29,489 | ||
Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 73,974 | 74,333 | ||
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 96,850 | 101,021 | ||
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 78,174 | 85,992 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 48,955 | 49,695 | ||
Mitsubishi UFJ Financial Group Inc. | 0.953% | 7/19/25 | 75,855 | 76,281 | ||
Mitsubishi UFJ Financial Group Inc. | 1.538% | 7/20/27 | 63,900 | 64,642 | ||
7 | Mizuho Bank Ltd. | 2.950% | 10/17/22 | 1,772 | 1,829 | |
7 | Mizuho Bank Ltd. | 3.750% | 4/16/24 | 5,100 | 5,527 | |
7 | Mizuho Bank Ltd. | 3.600% | 9/25/24 | 8,300 | 9,017 | |
Mizuho Financial Group Inc. | 2.273% | 9/13/21 | 6,295 | 6,310 | ||
Mizuho Financial Group Inc. | 2.721% | 7/16/23 | 58,200 | 59,524 | ||
Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 41,950 | 42,513 | ||
Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 29,200 | 30,695 | ||
Mizuho Financial Group Inc. | 2.226% | 5/25/26 | 19,200 | 19,956 | ||
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 35,790 | 35,599 | ||
Mizuho Financial Group Inc. | 1.554% | 7/9/27 | 33,200 | 33,552 | ||
Morgan Stanley | 4.875% | 11/1/22 | 36,039 | 38,005 | ||
Morgan Stanley | 3.125% | 1/23/23 | 151,394 | 157,485 | ||
Morgan Stanley | 3.750% | 2/25/23 | 24,905 | 26,197 | ||
Morgan Stanley | 4.100% | 5/22/23 | 34,000 | 36,138 | ||
Morgan Stanley | 0.560% | 11/10/23 | 43,460 | 43,540 | ||
Morgan Stanley | 0.529% | 1/25/24 | 145,450 | 145,480 | ||
Morgan Stanley | 0.731% | 4/5/24 | 36,085 | 36,207 | ||
Morgan Stanley | 3.737% | 4/24/24 | 17,765 | 18,747 | ||
Morgan Stanley | 3.875% | 4/29/24 | 16,900 | 18,376 | ||
Morgan Stanley | 3.700% | 10/23/24 | 28,860 | 31,510 | ||
Morgan Stanley | 0.791% | 1/22/25 | 50,700 | 50,786 | ||
Morgan Stanley | 0.790% | 5/30/25 | 132,320 | 132,161 | ||
Morgan Stanley | 2.720% | 7/22/25 | 125,360 | 131,967 | ||
Morgan Stanley | 4.000% | 7/23/25 | 62,301 | 69,394 | ||
Morgan Stanley | 0.864% | 10/21/25 | 11,410 | 11,416 | ||
Morgan Stanley | 5.000% | 11/24/25 | 65,705 | 76,015 | ||
Morgan Stanley | 2.188% | 4/28/26 | 91,370 | 94,939 | ||
Morgan Stanley | 3.125% | 7/27/26 | 6,054 | 6,587 | ||
Morgan Stanley | 0.985% | 12/10/26 | 34,615 | 34,232 | ||
Morgan Stanley | 1.593% | 5/4/27 | 32,335 | 32,825 | ||
Morgan Stanley | 1.512% | 7/20/27 | 48,600 | 48,999 | ||
8 | Morgan Stanley | 0.406% | 10/29/27 | 8,226 | 9,876 | |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 9,315 | 9,977 | ||
MUFG Union Bank NA | 2.100% | 12/9/22 | 37,000 | 37,837 | ||
Nasdaq Inc. | 0.445% | 12/21/22 | 9,000 | 9,004 | ||
Nasdaq Inc. | 4.250% | 6/1/24 | 9,000 | 9,825 | ||
7 | National Bank of Canada | 2.150% | 10/7/22 | 37,000 | 37,792 | |
National Bank of Canada | 2.100% | 2/1/23 | 42,000 | 43,068 | ||
National Bank of Canada | 0.550% | 11/15/24 | 29,260 | 29,203 | ||
7 | National Securities Clearing Corp. | 0.750% | 12/7/25 | 24,500 | 24,343 | |
7 | Nationwide Building Society | 3.766% | 3/8/24 | 6,900 | 7,234 | |
7 | Nationwide Building Society | 4.363% | 8/1/24 | 17,052 | 18,249 | |
8 | Nationwide Building Society | 0.250% | 7/22/25 | 1,400 | 1,689 | |
7 | Nationwide Building Society | 1.000% | 8/28/25 | 23,130 | 23,136 | |
8 | Nationwide Building Society | 2.000% | 7/25/29 | 48,715 | 60,872 | |
Natwest Group plc | 6.125% | 12/15/22 | 5,503 | 5,900 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Natwest Group plc | 3.498% | 5/15/23 | 19,630 | 20,091 | ||
Natwest Group plc | 3.875% | 9/12/23 | 36,709 | 39,153 | ||
Natwest Group plc | 2.359% | 5/22/24 | 9,680 | 9,965 | ||
Natwest Group plc | 4.519% | 6/25/24 | 24,958 | 26,729 | ||
Natwest Group plc | 4.269% | 3/22/25 | 73,550 | 79,876 | ||
Natwest Group plc | 4.800% | 4/5/26 | 3,200 | 3,679 | ||
Natwest Group plc | 1.642% | 6/14/27 | 22,600 | 22,730 | ||
Natwest Group plc | 3.754% | 11/1/29 | 30,080 | 32,006 | ||
9 | Natwest Group plc | 2.105% | 11/28/31 | 7,300 | 10,221 | |
7 | New York Life Global Funding | 1.100% | 5/5/23 | 750 | 761 | |
9 | NIBC Bank NV | 3.125% | 11/15/23 | 11,500 | 16,775 | |
Nomura Holdings Inc. | 2.648% | 1/16/25 | 24,200 | 25,499 | ||
Nomura Holdings Inc. | 1.851% | 7/16/25 | 29,565 | 30,278 | ||
Nomura Holdings Inc. | 1.653% | 7/14/26 | 46,635 | 46,889 | ||
8 | Nordea Bank Abp | 1.000% | 2/22/23 | 6,800 | 8,250 | |
7 | Nordea Bank Abp | 0.750% | 8/28/25 | 34,690 | 34,518 | |
7 | Northwestern Mutual Global Funding | 0.800% | 1/14/26 | 17,170 | 17,054 | |
7 | Nuveen Finance LLC | 4.125% | 11/1/24 | 14,375 | 15,911 | |
8 | Nykredit Realkredit A/S | 0.250% | 1/20/23 | 32,000 | 38,261 | |
8 | Nykredit Realkredit A/S | 0.500% | 7/10/25 | 1,750 | 2,132 | |
8 | OP Corporate Bank plc | 1.625% | 6/9/30 | 800 | 987 | |
ORIX Corp. | 4.050% | 1/16/24 | 3,850 | 4,170 | ||
Owl Rock Capital Corp. | 3.750% | 7/22/25 | 9,580 | 10,195 | ||
Owl Rock Capital Corp. | 4.250% | 1/15/26 | 1,940 | 2,100 | ||
Owl Rock Capital Corp. | 3.400% | 7/15/26 | 23,530 | 24,740 | ||
7 | Pacific Life Global Funding II | 1.200% | 6/24/25 | 18,360 | 18,552 | |
9 | Pension Insurance Corp. plc | 6.500% | 7/3/24 | 19,905 | 31,581 | |
9 | Phoenix Group Holdings plc | 6.625% | 12/18/25 | 16,210 | 27,135 | |
PNC Bank NA | 2.700% | 11/1/22 | 18,247 | 18,771 | ||
PNC Bank NA | 2.028% | 12/9/22 | 25,610 | 25,763 | ||
PNC Bank NA | 1.743% | 2/24/23 | 16,970 | 17,106 | ||
PNC Bank NA | 3.800% | 7/25/23 | 21,354 | 22,707 | ||
PNC Bank NA | 3.300% | 10/30/24 | 35,395 | 38,402 | ||
PNC Bank NA | 2.950% | 2/23/25 | 20,340 | 21,907 | ||
PNC Bank NA | 3.250% | 6/1/25 | 55,192 | 60,230 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 7,900 | 8,572 | ||
PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 4,481 | 4,810 | ||
7 | Protective Life Global Funding | 0.502% | 4/12/23 | 13,230 | 13,257 | |
7 | Protective Life Global Funding | 1.618% | 4/15/26 | 27,420 | 28,025 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 954 | 965 | ||
Prudential Financial Inc. | 5.200% | 3/15/44 | 2,415 | 2,603 | ||
7 | Reliance Standard Life Global Funding II | 2.150% | 1/21/23 | 14,020 | 14,356 | |
7 | Reliance Standard Life Global Funding II | 3.850% | 9/19/23 | 40,630 | 43,405 | |
9 | Rothesay Life plc | 8.000% | 10/30/25 | 13,825 | 24,139 | |
Royal Bank of Canada | 3.700% | 10/5/23 | 41,355 | 44,275 | ||
Royal Bank of Canada | 2.550% | 7/16/24 | 145,403 | 153,641 | ||
Royal Bank of Canada | 2.250% | 11/1/24 | 158,384 | 166,017 | ||
Royal Bank of Canada | 1.150% | 6/10/25 | 27,870 | 28,144 | ||
Royal Bank of Canada | 1.200% | 4/27/26 | 61,280 | 61,518 | ||
Royal Bank of Canada | 1.150% | 7/14/26 | 49,684 | 49,770 | ||
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 47,351 | 48,205 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 58,410 | 60,710 | ||
Santander Holdings USA Inc. | 3.500% | 6/7/24 | 46,300 | 49,550 | ||
Santander Holdings USA Inc. | 3.450% | 6/2/25 | 30,410 | 32,760 | ||
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 21,517 | 23,910 | ||
Santander UK Group Holdings plc | 3.571% | 1/10/23 | 5,930 | 6,011 | ||
Santander UK Group Holdings plc | 3.373% | 1/5/24 | 68,117 | 70,727 | ||
Santander UK Group Holdings plc | 4.796% | 11/15/24 | 25,877 | 28,236 | ||
Santander UK Group Holdings plc | 1.532% | 8/21/26 | 19,325 | 19,476 | ||
Santander UK Group Holdings plc | 1.673% | 6/14/27 | 43,500 | 43,731 | ||
7 | Santander UK plc | 5.000% | 11/7/23 | 4,328 | 4,719 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Santander UK plc | 4.000% | 3/13/24 | 56,870 | 61,949 | ||
7 | SBL Holdings Inc. | 5.125% | 11/13/26 | 15,088 | 16,786 | |
9 | Scottish Widows Ltd. | 5.500% | 6/16/23 | 16,354 | 24,575 | |
7 | Security Benefit Global Funding | 1.250% | 5/17/24 | 13,595 | 13,657 | |
Sixth Street Specialty Lending Inc. | 2.500% | 8/1/26 | 9,700 | 9,876 | ||
8 | Skandinaviska Enskilda Banken AB | 0.250% | 5/19/23 | 5,650 | 6,783 | |
7 | Skandinaviska Enskilda Banken AB | 0.550% | 9/1/23 | 69,050 | 69,277 | |
7 | Skandinaviska Enskilda Banken AB | 0.850% | 9/2/25 | 3,675 | 3,665 | |
7 | Standard Chartered plc | 1.319% | 10/14/23 | 20,120 | 20,287 | |
7 | Standard Chartered plc | 0.991% | 1/12/25 | 38,795 | 38,797 | |
7 | Standard Chartered plc | 1.214% | 3/23/25 | 14,565 | 14,657 | |
7 | Standard Chartered plc | 1.456% | 1/14/27 | 12,125 | 12,076 | |
6,10 | Standard Chartered plc, 3M Australian Bank Bill Rate + 1.850% | 1.880% | 6/28/25 | 5,000 | 3,783 | |
State Street Corp. | 2.825% | 3/30/23 | 11,325 | 11,517 | ||
State Street Corp. | 3.776% | 12/3/24 | 24,700 | 26,597 | ||
State Street Corp. | 3.550% | 8/18/25 | 25,480 | 28,264 | ||
State Street Corp. | 2.354% | 11/1/25 | 68,809 | 72,562 | ||
State Street Corp. | 2.901% | 3/30/26 | 15,200 | 16,297 | ||
Stifel Financial Corp. | 4.250% | 7/18/24 | 14,300 | 15,709 | ||
6,10 | Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.950% | 0.975% | 6/5/23 | 31,750 | 23,614 | |
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 26,460 | 27,087 | ||
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 11,372 | 11,714 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 65,858 | 68,541 | ||
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 67,572 | 71,977 | ||
Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 5,370 | 5,779 | ||
Sumitomo Mitsui Financial Group Inc. | 0.508% | 1/12/24 | 7,200 | 7,192 | ||
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 176,740 | 186,629 | ||
Sumitomo Mitsui Financial Group Inc. | 2.448% | 9/27/24 | 4,800 | 5,045 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 40,900 | 42,860 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 48,465 | 49,243 | ||
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 14,600 | 16,350 | ||
8 | Sumitomo Mitsui Financial Group Inc. | 1.546% | 6/15/26 | 800 | 1,022 | |
6,10 | Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.200% | 1.225% | 3/7/23 | 20,359 | 15,134 | |
6,10 | Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.250% | 1.274% | 10/16/24 | 28,365 | 21,342 | |
6,10 | Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270% | 1.300% | 3/29/22 | 41,051 | 30,328 | |
10 | Svenska Handelsbanken AB | 3.250% | 9/27/23 | 12,610 | 9,783 | |
7 | Svenska Handelsbanken AB | 0.550% | 6/11/24 | 20,800 | 20,794 | |
8 | Svenska Handelsbanken AB | 0.125% | 6/18/24 | 12,145 | 14,628 | |
7 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 13,000 | 13,076 | |
7 | Swedbank AB | 0.600% | 9/25/23 | 31,045 | 31,119 | |
8 | Swedbank AB | 0.750% | 5/5/25 | 1,700 | 2,092 | |
Synchrony Bank | 3.000% | 6/15/22 | 11,600 | 11,840 | ||
Synchrony Financial | 2.850% | 7/25/22 | 32,785 | 33,515 | ||
Synchrony Financial | 4.375% | 3/19/24 | 21,466 | 23,364 | ||
Synchrony Financial | 4.250% | 8/15/24 | 41,202 | 44,973 | ||
Synchrony Financial | 4.500% | 7/23/25 | 42,390 | 47,393 | ||
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 45,039 | 49,433 | ||
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 5,146 | |
Toronto-Dominion Bank | 0.750% | 6/12/23 | 29,586 | 29,816 | ||
Toronto-Dominion Bank | 3.500% | 7/19/23 | 20,983 | 22,287 | ||
Toronto-Dominion Bank | 0.450% | 9/11/23 | 66,620 | 66,715 | ||
Toronto-Dominion Bank | 0.550% | 3/4/24 | 39,070 | 39,133 | ||
Toronto-Dominion Bank | 2.650% | 6/12/24 | 29,609 | 31,358 | ||
10 | Toronto-Dominion Bank | 2.050% | 7/10/24 | 10,330 | 7,866 | |
Toronto-Dominion Bank | 1.150% | 6/12/25 | 30,170 | 30,569 | ||
Toronto-Dominion Bank | 0.750% | 9/11/25 | 57,055 | 56,766 | ||
6,10 | Toronto-Dominion Bank, 3M Australian Bank Bill Rate + 1.000% | 1.025% | 7/10/24 | 31,890 | 23,826 | |
Trinity Acquisition plc | 4.400% | 3/15/26 | 1,367 | 1,547 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Truist Bank | 3.502% | 8/2/22 | 90 | 90 | ||
Truist Bank | 3.200% | 4/1/24 | 142,122 | 152,014 | ||
Truist Bank | 3.689% | 8/2/24 | 37,570 | 40,030 | ||
Truist Bank | 2.150% | 12/6/24 | 79,665 | 83,466 | ||
Truist Bank | 1.500% | 3/10/25 | 35,380 | 36,388 | ||
Truist Bank | 4.050% | 11/3/25 | 290 | 327 | ||
Truist Bank | 2.636% | 9/17/29 | 10,545 | 11,056 | ||
Truist Financial Corp. | 3.950% | 3/22/22 | 4,300 | 4,388 | ||
Truist Financial Corp. | 3.750% | 12/6/23 | 37,870 | 40,696 | ||
Truist Financial Corp. | 2.500% | 8/1/24 | 44,925 | 47,445 | ||
Truist Financial Corp. | 4.000% | 5/1/25 | 18,790 | 20,928 | ||
Truist Financial Corp. | 1.200% | 8/5/25 | 22,235 | 22,596 | ||
Truist Financial Corp. | 1.267% | 3/2/27 | 15,350 | 15,430 | ||
U.S. Bancorp | 3.700% | 1/30/24 | 31,760 | 34,235 | ||
U.S. Bancorp | 3.375% | 2/5/24 | 27,721 | 29,693 | ||
8 | U.S. Bancorp | 0.850% | 6/7/24 | 13,691 | 16,744 | |
U.S. Bancorp | 2.400% | 7/30/24 | 86,540 | 91,185 | ||
U.S. Bancorp | 3.600% | 9/11/24 | 14,310 | 15,569 | ||
U.S. Bancorp | 1.450% | 5/12/25 | 36,620 | 37,572 | ||
U.S. Bancorp | 3.100% | 4/27/26 | 10,454 | 11,441 | ||
U.S. Bancorp | 2.375% | 7/22/26 | 25,525 | 27,186 | ||
U.S. Bank NA | 2.050% | 1/21/25 | 29,713 | 31,041 | ||
7 | UBS AG | 0.450% | 2/9/24 | 24,260 | 24,180 | |
7 | UBS AG | 1.250% | 6/1/26 | 27,200 | 27,340 | |
7 | UBS Group AG | 2.650% | 2/1/22 | 6,082 | 6,154 | |
7 | UBS Group AG | 3.491% | 5/23/23 | 20,975 | 21,498 | |
7 | UBS Group AG | 2.859% | 8/15/23 | 58,400 | 59,833 | |
7 | UBS Group AG | 1.008% | 7/30/24 | 37,605 | 37,900 | |
8 | UBS Group AG | 1.500% | 11/30/24 | 9,705 | 11,969 | |
7 | UBS Group AG | 4.125% | 9/24/25 | 14,000 | 15,677 | |
7 | UBS Group AG | 4.125% | 4/15/26 | 8,250 | 9,297 | |
8 | UniCredit SPA | 1.250% | 6/25/25 | 19,405 | 23,779 | |
8 | UniCredit SPA | 1.625% | 7/3/25 | 4,589 | 5,647 | |
Voya Financial Inc. | 3.125% | 7/15/24 | 33,259 | 35,428 | ||
13,14 | Washington Mutual Bank / Debt not acquired by JPMorgan | 6.875% | 6/15/11 | 21,983 | 2 | |
9 | Wells Fargo & Co. | 2.125% | 4/22/22 | 21,365 | 30,034 | |
Wells Fargo & Co. | 3.450% | 2/13/23 | 38,500 | 40,298 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 93,425 | 100,426 | ||
8 | Wells Fargo & Co. | 0.500% | 4/26/24 | 24,890 | 30,095 | |
Wells Fargo & Co. | 1.654% | 6/2/24 | 49,050 | 50,113 | ||
10 | Wells Fargo & Co. | 4.750% | 8/27/24 | 11,660 | 9,545 | |
Wells Fargo & Co. | 3.300% | 9/9/24 | 15,665 | 16,891 | ||
Wells Fargo & Co. | 3.000% | 2/19/25 | 97,078 | 103,957 | ||
Wells Fargo & Co. | 0.805% | 5/19/25 | 22,155 | 22,196 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 85,176 | 93,924 | ||
Wells Fargo & Co. | 2.406% | 10/30/25 | 103,211 | 107,911 | ||
Wells Fargo & Co. | 2.164% | 2/11/26 | 90,854 | 94,628 | ||
Wells Fargo & Co. | 2.188% | 4/30/26 | 132,990 | 138,587 | ||
6,10 | Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100% | 1.125% | 4/27/22 | 21,453 | 15,843 | |
Wells Fargo Bank NA | 2.082% | 9/9/22 | 107,110 | 107,300 | ||
9 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 33,450 | 50,445 | |
Westpac Banking Corp. | 3.300% | 2/26/24 | 9,069 | 9,724 | ||
Westpac Banking Corp. | 2.350% | 2/19/25 | 30,727 | 32,444 | ||
Westpac Banking Corp. | 1.150% | 6/3/26 | 15,045 | 15,189 | ||
10 | Westpac Banking Corp. | 4.800% | 6/14/28 | 3,294 | 2,579 | |
Westpac Banking Corp. | 2.894% | 2/4/30 | 64,004 | 66,798 | ||
8 | Westpac Banking Corp. | 0.766% | 5/13/31 | 650 | 777 | |
Westpac Banking Corp. | 4.322% | 11/23/31 | 6,343 | 7,089 | ||
6,10 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.400% | 1.439% | 2/16/28 | 2,900 | 2,150 | |
6,10 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% | 1.824% | 6/22/28 | 53,800 | 40,287 | |
6,10 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.980% | 2.020% | 8/27/29 | 11,700 | 8,853 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Willis North America Inc. | 3.600% | 5/15/24 | 70,071 | 75,182 | ||
22,003,200 | ||||||
Health Care (7.2%) | ||||||
AbbVie Inc. | 3.375% | 11/14/21 | 32,071 | 32,354 | ||
AbbVie Inc. | 2.150% | 11/19/21 | 161,500 | 162,415 | ||
AbbVie Inc. | 5.000% | 12/15/21 | 30,630 | 30,797 | ||
AbbVie Inc. | 3.450% | 3/15/22 | 86,900 | 88,144 | ||
AbbVie Inc. | 3.250% | 10/1/22 | 11,900 | 12,215 | ||
AbbVie Inc. | 2.900% | 11/6/22 | 99,170 | 102,318 | ||
AbbVie Inc. | 3.200% | 11/6/22 | 71,665 | 73,886 | ||
AbbVie Inc. | 2.300% | 11/21/22 | 213,500 | 218,864 | ||
AbbVie Inc. | 2.800% | 3/15/23 | 8,647 | 8,930 | ||
AbbVie Inc. | 2.850% | 5/14/23 | 2,900 | 3,014 | ||
8 | AbbVie Inc. | 1.250% | 6/1/24 | 14,505 | 17,848 | |
AbbVie Inc. | 3.850% | 6/15/24 | 56,807 | 61,501 | ||
AbbVie Inc. | 2.600% | 11/21/24 | 307,610 | 325,128 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 46,212 | 50,633 | ||
AbbVie Inc. | 3.600% | 5/14/25 | 11,042 | 12,064 | ||
Aetna Inc. | 2.750% | 11/15/22 | 10,770 | 11,037 | ||
Aetna Inc. | 2.800% | 6/15/23 | 46,265 | 48,089 | ||
Aetna Inc. | 3.500% | 11/15/24 | 9,670 | 10,445 | ||
7 | Alcon Finance Corp. | 2.750% | 9/23/26 | 14,700 | 15,667 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 46,030 | 46,113 | ||
Amgen Inc. | 2.700% | 5/1/22 | 16,240 | 16,469 | ||
Amgen Inc. | 3.625% | 5/15/22 | 1,349 | 1,373 | ||
Amgen Inc. | 1.900% | 2/21/25 | 19,500 | 20,240 | ||
Amgen Inc. | 3.125% | 5/1/25 | 33,400 | 36,014 | ||
Anthem Inc. | 0.450% | 3/15/23 | 43,690 | 43,756 | ||
Anthem Inc. | 3.500% | 8/15/24 | 12,029 | 12,968 | ||
Anthem Inc. | 2.375% | 1/15/25 | 24,455 | 25,675 | ||
Anthem Inc. | 1.500% | 3/15/26 | 26,395 | 26,894 | ||
Astrazeneca Finance LLC | 0.700% | 5/28/24 | 86,300 | 86,412 | ||
Astrazeneca Finance LLC | 1.200% | 5/28/26 | 86,250 | 86,927 | ||
AstraZeneca plc | 2.375% | 6/12/22 | 2,810 | 2,858 | ||
AstraZeneca plc | 3.500% | 8/17/23 | 9,645 | 10,232 | ||
AstraZeneca plc | 3.375% | 11/16/25 | 25,583 | 28,172 | ||
7 | Bausch Health Cos. Inc. | 6.125% | 4/15/25 | 10,579 | 10,808 | |
7 | Bausch Health Cos. Inc. | 5.500% | 11/1/25 | 1,840 | 1,880 | |
7 | Bausch Health Cos. Inc. | 5.750% | 8/15/27 | 2,103 | 2,213 | |
7 | Bausch Health Cos. Inc. | 7.000% | 1/15/28 | 1,100 | 1,154 | |
7 | Bausch Health Cos. Inc. | 4.875% | 6/1/28 | 1,410 | 1,454 | |
Baxalta Inc. | 3.600% | 6/23/22 | 1,984 | 2,030 | ||
Baxalta Inc. | 4.000% | 6/23/25 | 13,304 | 14,740 | ||
7 | Bayer U.S. Finance II LLC | 3.875% | 12/15/23 | 120,071 | 128,455 | |
7 | Bayer U.S. Finance II LLC | 4.250% | 12/15/25 | 45,879 | 51,324 | |
7 | Bayer U.S. Finance LLC | 3.375% | 10/8/24 | 29,600 | 31,799 | |
Becton Dickinson and Co. | 2.894% | 6/6/22 | 10,852 | 11,066 | ||
Becton Dickinson and Co. | 3.363% | 6/6/24 | 70,503 | 75,485 | ||
Biogen Inc. | 3.625% | 9/15/22 | 37,267 | 38,625 | ||
Biogen Inc. | 4.050% | 9/15/25 | 14,800 | 16,525 | ||
Boston Scientific Corp. | 3.450% | 3/1/24 | 48,016 | 51,307 | ||
Boston Scientific Corp. | 1.900% | 6/1/25 | 44,255 | 45,829 | ||
Boston Scientific Corp. | 3.750% | 3/1/26 | 5,900 | 6,581 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 35,279 | 36,533 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 2,911 | 3,037 | ||
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 17,530 | 17,542 | ||
Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 114,773 | 122,581 | ||
Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 9,645 | 10,738 | ||
Bristol-Myers Squibb Co. | 0.750% | 11/13/25 | 48,500 | 48,358 | ||
Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 61,924 | 68,214 | ||
Cardinal Health Inc. | 3.079% | 6/15/24 | 9,000 | 9,559 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Centene Corp. | 5.375% | 6/1/26 | 10,920 | 11,374 | |
Cigna Corp. | 3.050% | 11/30/22 | 18,100 | 18,710 | ||
Cigna Corp. | 3.000% | 7/15/23 | 59,164 | 61,891 | ||
Cigna Corp. | 3.750% | 7/15/23 | 34,363 | 36,474 | ||
Cigna Corp. | 0.613% | 3/15/24 | 14,000 | 14,005 | ||
Cigna Corp. | 3.500% | 6/15/24 | 79,100 | 84,917 | ||
Cigna Corp. | 3.250% | 4/15/25 | 24,000 | 25,938 | ||
Cigna Corp. | 4.125% | 11/15/25 | 86,619 | 97,320 | ||
Cigna Corp. | 1.250% | 3/15/26 | 32,550 | 32,833 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 1,900 | 2,029 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 47,945 | 50,510 | ||
CommonSpirit Health | 1.547% | 10/1/25 | 32,500 | 32,986 | ||
CVS Health Corp. | 3.500% | 7/20/22 | 27,981 | 28,698 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 44,825 | 46,015 | ||
CVS Health Corp. | 3.700% | 3/9/23 | 117,215 | 123,111 | ||
CVS Health Corp. | 2.625% | 8/15/24 | 53,400 | 56,385 | ||
CVS Health Corp. | 4.100% | 3/25/25 | 62,625 | 69,472 | ||
CVS Health Corp. | 2.875% | 6/1/26 | 24,293 | 26,228 | ||
CVS Health Corp. | 3.000% | 8/15/26 | 19,500 | 21,168 | ||
8 | Danaher Corp. | 1.700% | 3/30/24 | 14,510 | 18,081 | |
DH Europe Finance II Sarl | 2.050% | 11/15/22 | 82,095 | 83,963 | ||
DH Europe Finance II Sarl | 2.200% | 11/15/24 | 96,626 | 101,044 | ||
8 | DH Europe Finance II Sarl | 0.200% | 3/18/26 | 19,435 | 23,389 | |
Dignity Health | 3.812% | 11/1/24 | 970 | 1,055 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 1,923 | 2,000 | ||
Gilead Sciences Inc. | 2.500% | 9/1/23 | 35,875 | 37,322 | ||
Gilead Sciences Inc. | 0.750% | 9/29/23 | 44,300 | 44,326 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 46,615 | 50,093 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 97,415 | 105,712 | ||
Gilead Sciences Inc. | 3.650% | 3/1/26 | 80,087 | 88,712 | ||
GlaxoSmithKline Capital Inc. | 3.375% | 5/15/23 | 10,379 | 10,941 | ||
GlaxoSmithKline Capital plc | 0.534% | 10/1/23 | 4,502 | 4,513 | ||
GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 85,619 | 91,390 | ||
HCA Inc. | 4.750% | 5/1/23 | 14,000 | 14,986 | ||
HCA Inc. | 5.000% | 3/15/24 | 96,830 | 107,149 | ||
HCA Inc. | 5.375% | 2/1/25 | 5,023 | 5,687 | ||
HCA Inc. | 5.250% | 4/15/25 | 47,142 | 54,086 | ||
7 | Highmark Inc. | 1.450% | 5/10/26 | 51,010 | 51,453 | |
7 | Hill-Rom Holdings Inc. | 4.375% | 9/15/27 | 4,866 | 5,088 | |
Humana Inc. | 0.650% | 8/3/23 | 41,800 | 41,799 | ||
Humana Inc. | 3.850% | 10/1/24 | 15,019 | 16,327 | ||
Humana Inc. | 4.500% | 4/1/25 | 48,500 | 54,448 | ||
Illumina Inc. | 0.550% | 3/23/23 | 24,500 | 24,542 | ||
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 11,700 | 12,657 | ||
McKesson Corp. | 2.700% | 12/15/22 | 70,452 | 72,258 | ||
McKesson Corp. | 2.850% | 3/15/23 | 29,215 | 30,142 | ||
McKesson Corp. | 3.796% | 3/15/24 | 53,240 | 57,281 | ||
McKesson Corp. | 0.900% | 12/3/25 | 33,940 | 33,799 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 24,718 | 27,178 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 12,355 | 13,201 | ||
7 | Mylan Inc. | 3.125% | 1/15/23 | 27,015 | 27,987 | |
7 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 9,705 | 9,953 | |
Pfizer Inc. | 0.800% | 5/28/25 | 22,135 | 22,298 | ||
Quest Diagnostics Inc. | 3.500% | 3/30/25 | 11,655 | 12,686 | ||
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 6,800 | 7,505 | ||
7 | Royalty Pharma plc | 0.750% | 9/2/23 | 55,500 | 55,670 | |
7 | Royalty Pharma plc | 1.200% | 9/2/25 | 37,250 | 37,206 | |
Shire Acquisitions Investments Ireland DAC | 2.875% | 9/23/23 | 67,355 | 70,393 | ||
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 46,630 | 50,798 | ||
SSM Health Care Corp. | 3.688% | 6/1/23 | 35,540 | 37,421 | ||
Stryker Corp. | 1.150% | 6/15/25 | 48,500 | 48,972 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Stryker Corp. | 3.375% | 11/1/25 | 14,800 | 16,208 | ||
Takeda Pharmaceutical Co. Ltd. | 4.400% | 11/26/23 | 39,836 | 43,177 | ||
7 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 1,545 | 1,581 | |
7 | Tenet Healthcare Corp. | 7.500% | 4/1/25 | 660 | 710 | |
7 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 6,250 | 6,465 | |
7 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 2,644 | 2,694 | |
Thermo Fisher Scientific Inc. | 4.133% | 3/25/25 | 21,067 | 23,383 | ||
UnitedHealth Group Inc. | 2.375% | 10/15/22 | 13,635 | 13,980 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 18,390 | 19,164 | ||
UnitedHealth Group Inc. | 3.500% | 2/15/24 | 44,480 | 47,874 | ||
UnitedHealth Group Inc. | 0.550% | 5/15/24 | 30,240 | 30,262 | ||
UnitedHealth Group Inc. | 2.375% | 8/15/24 | 49,992 | 52,685 | ||
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 8,402 | 9,370 | ||
UnitedHealth Group Inc. | 1.250% | 1/15/26 | 10,320 | 10,485 | ||
UnitedHealth Group Inc. | 1.150% | 5/15/26 | 14,465 | 14,595 | ||
8 | Utah Acquisition Sub Inc. | 2.250% | 11/22/24 | 45,974 | 58,432 | |
Viatris Inc. | 0.404% | 12/15/21 | 32,000 | 31,932 | ||
7 | Viatris Inc. | 1.125% | 6/22/22 | 65,500 | 65,897 | |
7 | Viatris Inc. | 1.650% | 6/22/25 | 64,981 | 66,181 | |
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 11,000 | 11,155 | ||
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 45,653 | 49,638 | ||
Zoetis Inc. | 3.250% | 2/1/23 | 12,665 | 13,117 | ||
Zoetis Inc. | 4.500% | 11/13/25 | 29,000 | 33,058 | ||
5,664,907 | ||||||
Industrials (5.3%) | ||||||
3M Co. | 2.650% | 4/15/25 | 19,255 | 20,556 | ||
7,15 | Air Canada | 3.875% | 8/15/26 | 3,605 | 3,615 | |
7 | Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl | 4.625% | 6/1/28 | 840 | 839 | |
7 | Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl | 4.625% | 6/1/28 | 1,250 | 1,254 | |
7 | Allison Transmission Inc. | 4.750% | 10/1/27 | 3,993 | 4,168 | |
7 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.500% | 4/20/26 | 7,985 | 8,354 | |
7 | AP Moller - Maersk A/S | 3.875% | 9/28/25 | 27,700 | 30,577 | |
7 | Aramark Services Inc. | 6.375% | 5/1/25 | 5,150 | 5,430 | |
7 | Aramark Services Inc. | 5.000% | 2/1/28 | 1,100 | 1,144 | |
10 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 9,320 | 7,344 | |
10 | Australia Pacific Airports Melbourne Pty Ltd. | 4.000% | 9/15/22 | 12,690 | 9,573 | |
Block Financial LLC | 5.250% | 10/1/25 | 4,600 | 5,268 | ||
Boeing Co. | 2.700% | 5/1/22 | 14,095 | 14,329 | ||
Boeing Co. | 1.167% | 2/4/23 | 5,800 | 5,819 | ||
Boeing Co. | 4.508% | 5/1/23 | 174,223 | 185,096 | ||
Boeing Co. | 1.875% | 6/15/23 | 19,781 | 20,165 | ||
Boeing Co. | 1.433% | 2/4/24 | 222,700 | 223,190 | ||
Boeing Co. | 2.800% | 3/1/24 | 28,830 | 30,073 | ||
Boeing Co. | 2.850% | 10/30/24 | 7,500 | 7,901 | ||
Boeing Co. | 4.875% | 5/1/25 | 182,695 | 204,862 | ||
Boeing Co. | 2.600% | 10/30/25 | 10,553 | 10,986 | ||
Boeing Co. | 2.750% | 2/1/26 | 11,295 | 11,822 | ||
Boeing Co. | 2.196% | 2/4/26 | 388,100 | 391,445 | ||
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 9,480 | 10,229 | ||
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 20,265 | 21,913 | ||
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 1,590 | 1,718 | ||
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 15,760 | 19,793 | ||
Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 9,568 | 10,184 | ||
7 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 2,697 | 2,760 | |
Carrier Global Corp. | 2.242% | 2/15/25 | 138,435 | 144,830 | ||
Caterpillar Financial Services Corp. | 0.450% | 9/14/23 | 41,280 | 41,386 | ||
Caterpillar Financial Services Corp. | 2.850% | 5/17/24 | 5,580 | 5,939 | ||
Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 11,305 | 11,855 | ||
Caterpillar Financial Services Corp. | 0.800% | 11/13/25 | 25,475 | 25,473 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Clark Equipment Co. | 5.875% | 6/1/25 | 1,790 | 1,894 | |
7 | Clean Harbors Inc. | 4.875% | 7/15/27 | 8,014 | 8,417 | |
CNH Industrial Capital LLC | 3.875% | 10/15/21 | 7,362 | 7,412 | ||
CNH Industrial Capital LLC | 4.375% | 4/5/22 | 22,700 | 23,276 | ||
CNH Industrial Capital LLC | 1.950% | 7/2/23 | 23,960 | 24,570 | ||
CNH Industrial Capital LLC | 1.875% | 1/15/26 | 30,663 | 31,479 | ||
CNH Industrial Capital LLC | 1.450% | 7/15/26 | 38,840 | 39,051 | ||
CNH Industrial NV | 4.500% | 8/15/23 | 48,980 | 52,675 | ||
CSX Corp. | 3.400% | 8/1/24 | 51,900 | 55,947 | ||
CSX Corp. | 3.350% | 11/1/25 | 4,021 | 4,406 | ||
4 | CSX Transportation Inc. | 6.251% | 1/15/23 | 1,766 | 1,902 | |
Cummins Inc. | 0.750% | 9/1/25 | 6,705 | 6,697 | ||
Deere & Co. | 2.750% | 4/15/25 | 21,290 | 22,797 | ||
Delta Air Lines Inc. | 2.900% | 10/28/24 | 2,105 | 2,135 | ||
7 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 54,563 | 64,194 | |
4,7 | Delta Air Lines Inc. / SkyMiles IP Ltd. | 4.500% | 10/20/25 | 95,574 | 102,865 | |
Dover Corp. | 3.150% | 11/15/25 | 6,115 | 6,609 | ||
8 | easyJet plc | 0.875% | 6/11/25 | 1,000 | 1,190 | |
Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 3,078 | 3,232 | ||
Embraer Netherlands Finance BV | 5.400% | 2/1/27 | 2,365 | 2,499 | ||
Embraer Overseas Ltd. | 5.696% | 9/16/23 | 1,281 | 1,369 | ||
Embraer SA | 5.150% | 6/15/22 | 21,700 | 22,285 | ||
General Dynamics Corp. | 3.250% | 4/1/25 | 51,954 | 56,433 | ||
General Dynamics Corp. | 3.500% | 5/15/25 | 31,690 | 34,806 | ||
7 | H&E Equipment Services Inc. | 3.875% | 12/15/28 | 4,535 | 4,500 | |
9 | Heathrow Funding Ltd. | 6.750% | 12/3/28 | 9,715 | 17,037 | |
8 | Honeywell International Inc. | 0.000% | 3/10/24 | 7,500 | 8,965 | |
Honeywell International Inc. | 1.350% | 6/1/25 | 27,400 | 28,030 | ||
Huntington Ingalls Industries Inc. | 3.844% | 5/1/25 | 60,717 | 66,498 | ||
8 | John Deere Cash Management SARL | 1.375% | 4/2/24 | 14,505 | 18,009 | |
Johnson Controls International plc | 3.625% | 7/2/24 | 8,998 | 9,688 | ||
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 119,000 | 126,251 | ||
L3Harris Technologies Inc. | 3.950% | 5/28/24 | 13,700 | 14,847 | ||
L3Harris Technologies Inc. | 3.832% | 4/27/25 | 4,620 | 5,081 | ||
Lennox International Inc. | 1.350% | 8/1/25 | 6,770 | 6,845 | ||
Lockheed Martin Corp. | 2.900% | 3/1/25 | 3,855 | 4,142 | ||
Lockheed Martin Corp. | 3.550% | 1/15/26 | 12,099 | 13,426 | ||
7 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 117,751 | 128,172 | |
6,10 | New Terminal Financing Co. Pty Ltd., 3M Australian Bank Bill Rate + 1.450% | 1.475% | 7/12/24 | 5,900 | 4,324 | |
Norfolk Southern Corp. | 3.650% | 8/1/25 | 7,852 | 8,645 | ||
Norfolk Southern Corp. | 2.900% | 6/15/26 | 10,060 | 10,888 | ||
Northrop Grumman Corp. | 2.930% | 1/15/25 | 65,480 | 69,842 | ||
Otis Worldwide Corp. | 2.056% | 4/5/25 | 111,358 | 115,819 | ||
Parker-Hannifin Corp. | 3.500% | 9/15/22 | 5,800 | 6,003 | ||
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 9,810 | 10,538 | ||
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.250% | 1/17/23 | 3,470 | 3,653 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 3/14/23 | 10,169 | 10,498 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.125% | 8/1/23 | 4,340 | 4,623 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 61,977 | 66,398 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 1.200% | 11/15/25 | 58,835 | 58,674 | |
Precision Castparts Corp. | 2.500% | 1/15/23 | 3,087 | 3,172 | ||
10 | Qantas Airways Ltd. | 7.750% | 5/19/22 | 37,020 | 28,599 | |
10 | QPH Finance Co. Pty Ltd. | 3.750% | 6/7/23 | 5,280 | 4,039 | |
Raytheon Technologies Corp. | 2.800% | 3/15/22 | 81,866 | 82,977 | ||
Raytheon Technologies Corp. | 2.500% | 12/15/22 | 41,910 | 42,939 | ||
Raytheon Technologies Corp. | 3.650% | 8/16/23 | 10,178 | 10,790 | ||
Raytheon Technologies Corp. | 3.200% | 3/15/24 | 142,359 | 151,613 | ||
Raytheon Technologies Corp. | 3.950% | 8/16/25 | 50,870 | 56,683 | ||
Republic Services Inc. | 2.500% | 8/15/24 | 1,182 | 1,243 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Republic Services Inc. | 3.200% | 3/15/25 | 11,715 | 12,640 | ||
Republic Services Inc. | 0.875% | 11/15/25 | 14,500 | 14,411 | ||
7 | Rolls-Royce plc | 3.625% | 10/14/25 | 2,115 | 2,131 | |
7 | Rolls-Royce plc | 5.750% | 10/15/27 | 8,001 | 8,766 | |
Ryder System Inc. | 2.875% | 6/1/22 | 43,650 | 44,489 | ||
Ryder System Inc. | 2.500% | 9/1/22 | 14,200 | 14,503 | ||
Ryder System Inc. | 3.650% | 3/18/24 | 72,895 | 78,402 | ||
7 | Siemens Financieringsmaatschappij NV | 0.650% | 3/11/24 | 73,340 | 73,586 | |
7 | Siemens Financieringsmaatschappij NV | 1.200% | 3/11/26 | 42,600 | 42,908 | |
Southwest Airlines Co. | 2.750% | 11/16/22 | 29,000 | 29,759 | ||
Southwest Airlines Co. | 4.750% | 5/4/23 | 84,507 | 90,516 | ||
Southwest Airlines Co. | 5.250% | 5/4/25 | 41,341 | 47,246 | ||
Southwest Airlines Co. | 3.000% | 11/15/26 | 6,800 | 7,315 | ||
Stanley Black & Decker Inc. | 3.400% | 3/1/26 | 21,105 | 23,286 | ||
Teledyne Technologies Inc. | 1.600% | 4/1/26 | 58,250 | 58,956 | ||
7 | TransDigm Inc. | 8.000% | 12/15/25 | 6,865 | 7,382 | |
7 | TransDigm Inc. | 6.250% | 3/15/26 | 6,000 | 6,299 | |
TransDigm Inc. | 5.500% | 11/15/27 | 4,600 | 4,750 | ||
Tyco Electronics Group SA | 3.500% | 2/3/22 | 41,318 | 41,646 | ||
Tyco Electronics Group SA | 3.450% | 8/1/24 | 26,462 | 28,371 | ||
4 | UAL Series 2007-1 Pass Through Trust | 6.636% | 1/2/24 | 10,241 | 10,598 | |
Union Pacific Corp. | 2.950% | 3/1/22 | 25,790 | 26,195 | ||
Union Pacific Corp. | 2.950% | 1/15/23 | 22,500 | 23,189 | ||
Union Pacific Corp. | 3.500% | 6/8/23 | 29,614 | 31,268 | ||
Union Pacific Corp. | 3.646% | 2/15/24 | 9,600 | 10,279 | ||
Union Pacific Corp. | 3.150% | 3/1/24 | 47,090 | 50,203 | ||
Union Pacific Corp. | 3.250% | 1/15/25 | 1,415 | 1,528 | ||
Union Pacific Corp. | 3.250% | 8/15/25 | 6,872 | 7,490 | ||
Union Pacific Corp. | 2.750% | 3/1/26 | 8,717 | 9,377 | ||
4 | United Airlines Class B Series 2020-1 Pass Through Trust | 4.875% | 7/15/27 | 9,062 | 9,491 | |
United Airlines Holdings Inc. | 4.875% | 1/15/25 | 2,170 | 2,224 | ||
7 | United Airlines Inc. | 4.375% | 4/15/26 | 7,715 | 7,937 | |
8 | United Parcel Service Inc. | 0.375% | 11/15/23 | 12,145 | 14,636 | |
United Rentals North America Inc. | 3.875% | 11/15/27 | 6,608 | 6,903 | ||
4 | US Airways Series 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 4,329 | 4,351 | |
Waste Management Inc. | 2.400% | 5/15/23 | 1,600 | 1,654 | ||
Waste Management Inc. | 0.750% | 11/15/25 | 22,100 | 21,988 | ||
7 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 4,611 | 5,137 | |
10 | WSO Finance Pty Ltd. | 3.500% | 7/14/23 | 9,950 | 7,615 | |
4,170,906 | ||||||
Materials (2.2%) | ||||||
7 | Air Liquide Finance SA | 2.250% | 9/27/23 | 44,520 | 46,160 | |
7 | Air Liquide Finance SA | 2.500% | 9/27/26 | 200 | 214 | |
7 | Arconic Corp. | 6.000% | 5/15/25 | 1,058 | 1,118 | |
7 | Arconic Rolled Products Corp. | 6.125% | 2/15/28 | 2,224 | 2,378 | |
7 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 4/30/25 | 8,019 | 8,369 | |
7 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.125% | 8/15/26 | 5,030 | 5,191 | |
7 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV | 4.750% | 6/15/27 | 2,376 | 2,506 | |
Ball Corp. | 5.000% | 3/15/22 | 875 | 895 | ||
Ball Corp. | 4.000% | 11/15/23 | 7,285 | 7,742 | ||
Ball Corp. | 4.875% | 3/15/26 | 2,775 | 3,098 | ||
7 | Berry Global Inc. | 0.950% | 2/15/24 | 67,435 | 67,624 | |
7 | Berry Global Inc. | 1.570% | 1/15/26 | 72,398 | 72,931 | |
7 | Berry Global Inc. | 4.875% | 7/15/26 | 6,265 | 6,608 | |
7 | Berry Global Inc. | 5.625% | 7/15/27 | 22,883 | 24,148 | |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 4,225 | 4,543 | ||
7 | Big River Steel LLC / BRS Finance Corp. | 6.625% | 1/31/29 | 1,560 | 1,714 | |
7 | CANPACK SA / Eastern PA Land Investment Holding LLC | 3.125% | 11/1/25 | 1,792 | 1,823 | |
7 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.300% | 5/1/23 | 61,351 | 64,348 | |
8 | CRH Finland Services Oyj | 0.875% | 11/5/23 | 4,500 | 5,471 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Dow Chemical Co. | 4.550% | 11/30/25 | 24,580 | 28,108 | ||
Dow Chemical Co. | 3.625% | 5/15/26 | 74,933 | 83,378 | ||
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 105,429 | 113,829 | ||
DuPont de Nemours Inc. | 4.493% | 11/15/25 | 63,465 | 72,213 | ||
Eastman Chemical Co. | 3.600% | 8/15/22 | 16,870 | 17,295 | ||
Eastman Chemical Co. | 3.800% | 3/15/25 | 22,387 | 24,492 | ||
EI du Pont de Nemours and Co. | 1.700% | 7/15/25 | 14,540 | 14,989 | ||
7 | Element Solutions Inc. | 3.875% | 9/1/28 | 3,447 | 3,521 | |
FMC Corp. | 3.950% | 2/1/22 | 19,660 | 19,828 | ||
7 | FMG Resources August 2006 Pty Ltd. | 4.500% | 9/15/27 | 1,040 | 1,133 | |
Freeport-McMoRan Inc. | 4.550% | 11/14/24 | 26,375 | 28,674 | ||
Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 8,228 | 8,704 | ||
7 | Georgia-Pacific LLC | 0.625% | 5/15/24 | 146,305 | 146,639 | |
7 | Georgia-Pacific LLC | 1.750% | 9/30/25 | 71,540 | 73,923 | |
7 | Georgia-Pacific LLC | 0.950% | 5/15/26 | 71,895 | 71,434 | |
9 | Glencore Finance Europe Ltd. | 6.000% | 4/3/22 | 11,129 | 16,016 | |
8 | Glencore Finance Europe Ltd. | 1.750% | 3/17/25 | 7,286 | 9,113 | |
8 | Glencore Finance Europe Ltd. | 3.750% | 4/1/26 | 10,105 | 13,774 | |
7 | Graphic Packaging International LLC | 0.821% | 4/15/24 | 33,975 | 33,836 | |
7 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 625 | 634 | |
7 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 1,775 | 1,768 | |
7 | Indonesia Asahan Aluminium Persero PT | 5.230% | 11/15/21 | 20,675 | 20,934 | |
7 | Indonesia Asahan Aluminium Persero PT | 4.750% | 5/15/25 | 24,212 | 26,586 | |
7 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 1,593 | 1,603 | |
7 | Ingevity Corp. | 3.875% | 11/1/28 | 2,075 | 2,075 | |
7 | International Flavors & Fragrances Inc. | 0.697% | 9/15/22 | 16,395 | 16,418 | |
7 | Kraton Polymers LLC / Kraton Polymers Capital Corp. | 4.250% | 12/15/25 | 2,063 | 2,112 | |
LYB International Finance BV | 4.000% | 7/15/23 | 21,204 | 22,624 | ||
LYB International Finance III LLC | 2.875% | 5/1/25 | 28,970 | 30,970 | ||
LYB International Finance III LLC | 1.250% | 10/1/25 | 52,860 | 53,157 | ||
LyondellBasell Industries NV | 5.750% | 4/15/24 | 56,973 | 63,835 | ||
Martin Marietta Materials Inc. | 0.650% | 7/15/23 | 10,500 | 10,519 | ||
Mosaic Co. | 4.250% | 11/15/23 | 20,576 | 22,068 | ||
Newmont Corp. | 3.500% | 3/15/22 | 40 | 40 | ||
Newmont Corp. | 3.700% | 3/15/23 | 9,921 | 10,345 | ||
Nucor Corp. | 2.000% | 6/1/25 | 14,030 | 14,610 | ||
Nutrien Ltd. | 3.150% | 10/1/22 | 14,048 | 14,401 | ||
Nutrien Ltd. | 1.900% | 5/13/23 | 53,606 | 54,914 | ||
Nutrien Ltd. | 3.500% | 6/1/23 | 8,604 | 9,011 | ||
Nutrien Ltd. | 3.625% | 3/15/24 | 5,189 | 5,547 | ||
Nutrien Ltd. | 3.375% | 3/15/25 | 16,185 | 17,504 | ||
Nutrien Ltd. | 3.000% | 4/1/25 | 26,277 | 28,119 | ||
7 | OCI NV | 5.250% | 11/1/24 | 1,512 | 1,556 | |
7 | OCI NV | 4.625% | 10/15/25 | 1,584 | 1,641 | |
Packaging Corp. of America | 3.650% | 9/15/24 | 339 | 367 | ||
PPG Industries Inc. | 1.200% | 3/15/26 | 31,690 | 31,855 | ||
7 | Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 4.000% | 10/15/27 | 6,921 | 6,913 | |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 4,495 | 4,972 | ||
Sherwin-Williams Co. | 4.200% | 1/15/22 | 1,581 | 1,594 | ||
Sherwin-Williams Co. | 3.125% | 6/1/24 | 43 | 46 | ||
Steel Dynamics Inc. | 2.800% | 12/15/24 | 14,555 | 15,378 | ||
Steel Dynamics Inc. | 2.400% | 6/15/25 | 16,055 | 16,862 | ||
7 | Trivium Packaging Finance BV | 5.500% | 8/15/26 | 400 | 419 | |
WestRock RKT LLC | 4.000% | 3/1/23 | 37,452 | 39,162 | ||
WRKCo Inc. | 3.000% | 9/15/24 | 38,578 | 40,988 | ||
WRKCo Inc. | 3.750% | 3/15/25 | 8,107 | 8,886 | ||
1,708,213 | ||||||
Real Estate (3.5%) | ||||||
8 | Akelius Residential Property AB | 1.750% | 2/7/25 | 3,000 | 3,765 | |
9 | Akelius Residential Property AB | 2.375% | 8/15/25 | 26,941 | 39,215 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
10 | Ale Direct Property Trust | 4.000% | 8/20/22 | 10,880 | 8,160 | |
Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 69,140 | 75,536 | ||
American Campus Communities Operating Partnership LP | 3.750% | 4/15/23 | 6,800 | 7,118 | ||
American Campus Communities Operating Partnership LP | 4.125% | 7/1/24 | 25,730 | 28,045 | ||
American Tower Corp. | 3.000% | 6/15/23 | 58,755 | 61,493 | ||
American Tower Corp. | 0.600% | 1/15/24 | 48,370 | 48,358 | ||
American Tower Corp. | 3.375% | 5/15/24 | 26,786 | 28,648 | ||
American Tower Corp. | 2.950% | 1/15/25 | 9,754 | 10,395 | ||
American Tower Corp. | 2.400% | 3/15/25 | 63,857 | 66,912 | ||
American Tower Corp. | 4.000% | 6/1/25 | 13,200 | 14,541 | ||
American Tower Corp. | 1.600% | 4/15/26 | 67,914 | 69,004 | ||
8 | American Tower Corp. | 0.450% | 1/15/27 | 19,437 | 23,307 | |
8 | Aroundtown SA | 0.375% | 9/23/22 | 27,000 | 32,264 | |
8 | Aroundtown SA | 0.625% | 7/9/25 | 24,300 | 29,410 | |
8 | Aroundtown SA | 1.625% | 12/31/99 | 200 | 233 | |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 12,000 | 12,387 | ||
Boston Properties LP | 3.125% | 9/1/23 | 42,320 | 44,318 | ||
Boston Properties LP | 3.200% | 1/15/25 | 12,424 | 13,328 | ||
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 11,910 | 12,440 | ||
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 14,155 | 15,322 | ||
Brixmor Operating Partnership LP | 3.250% | 9/15/23 | 1,360 | 1,429 | ||
Brixmor Operating Partnership LP | 3.650% | 6/15/24 | 37,375 | 40,233 | ||
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 15,114 | 16,492 | ||
Camden Property Trust | 2.950% | 12/15/22 | 34,360 | 35,363 | ||
Camden Property Trust | 4.875% | 6/15/23 | 3,435 | 3,663 | ||
Camden Property Trust | 4.250% | 1/15/24 | 46,982 | 50,515 | ||
Camden Property Trust | 3.500% | 9/15/24 | 2,785 | 2,996 | ||
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 29,741 | 31,441 | ||
Corporate Office Properties LP | 5.000% | 7/1/25 | 2,420 | 2,738 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 31,330 | 32,452 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 41,835 | 43,919 | ||
Crown Castle International Corp. | 3.200% | 9/1/24 | 69,394 | 74,140 | ||
Crown Castle International Corp. | 1.350% | 7/15/25 | 29,140 | 29,491 | ||
Crown Castle International Corp. | 3.700% | 6/15/26 | 45,719 | 50,657 | ||
Crown Castle International Corp. | 1.050% | 7/15/26 | 81,089 | 80,045 | ||
7 | CTR Partnership LP / CareTrust Capital Corp. | 3.875% | 6/30/28 | 4,288 | 4,397 | |
CubeSmart LP | 4.375% | 12/15/23 | 11,340 | 12,235 | ||
CubeSmart LP | 4.000% | 11/15/25 | 7,260 | 8,060 | ||
8 | Digital Dutch Finco BV | 0.625% | 7/15/25 | 13,205 | 16,065 | |
8 | Digital Euro Finco LLC | 2.625% | 4/15/24 | 13,361 | 16,976 | |
Digital Realty Trust LP | 4.750% | 10/1/25 | 24,145 | 27,555 | ||
Duke Realty LP | 3.750% | 12/1/24 | 2,760 | 3,001 | ||
Duke Realty LP | 3.250% | 6/30/26 | 11,070 | 12,095 | ||
Equinix Inc. | 1.450% | 5/15/26 | 9,710 | 9,784 | ||
Equinix Inc. | 2.900% | 11/18/26 | 17,520 | 18,887 | ||
ERP Operating LP | 3.000% | 4/15/23 | 46,795 | 48,626 | ||
ERP Operating LP | 3.375% | 6/1/25 | 20,200 | 21,962 | ||
8 | Fastighets AB Balder | 1.875% | 3/14/25 | 9,700 | 12,155 | |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 18,030 | 18,668 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 23,874 | 25,600 | ||
7 | HAT Holdings I LLC / HAT Holdings II LLC | 3.375% | 6/15/26 | 4,295 | 4,339 | |
Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 1,900 | 2,078 | ||
Healthpeak Properties Inc. | 3.400% | 2/1/25 | 3,942 | 4,249 | ||
Healthpeak Properties Inc. | 1.350% | 2/1/27 | 43,700 | 43,909 | ||
Highwoods Realty LP | 3.625% | 1/15/23 | 5,280 | 5,454 | ||
Host Hotels & Resorts LP | 4.000% | 6/15/25 | 7,560 | 8,235 | ||
7 | IIP Operating Partnership LP | 5.500% | 5/25/26 | 27,600 | 28,816 | |
Kilroy Realty LP | 3.450% | 12/15/24 | 21,115 | 22,661 | ||
Kilroy Realty LP | 4.375% | 10/1/25 | 5,685 | 6,359 | ||
Kimco Realty Corp. | 3.125% | 6/1/23 | 26,640 | 27,756 | ||
Kimco Realty Corp. | 2.700% | 3/1/24 | 28,329 | 29,695 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Kimco Realty Corp. | 3.300% | 2/1/25 | 52,530 | 56,718 | ||
8 | Kojamo Oyj | 1.500% | 6/19/24 | 4,850 | 5,980 | |
8 | Logicor Financing Sarl | 0.750% | 7/15/24 | 5,068 | 6,135 | |
8 | Logicor Financing Sarl | 2.250% | 5/13/25 | 4,855 | 6,197 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 5.625% | 5/1/24 | 10,542 | 11,428 | ||
7 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.625% | 6/15/25 | 4,492 | 4,780 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.500% | 9/1/26 | 1,086 | 1,160 | ||
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,000 | 2,145 | ||
Mid-America Apartments LP | 3.750% | 6/15/24 | 4,540 | 4,901 | ||
Mid-America Apartments LP | 4.000% | 11/15/25 | 3,890 | 4,335 | ||
National Retail Properties Inc. | 3.900% | 6/15/24 | 25,562 | 27,633 | ||
National Retail Properties Inc. | 4.000% | 11/15/25 | 9,593 | 10,676 | ||
Office Properties Income Trust | 2.650% | 6/15/26 | 12,500 | 12,853 | ||
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 2,397 | 2,554 | ||
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 16,340 | 17,834 | ||
Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 10,690 | 11,738 | ||
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 21,350 | 24,492 | ||
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 54,524 | 55,385 | |
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 6,000 | 6,708 | |
7 | Realogy Group LLC / Realogy Co-issuer Corp. | 7.625% | 6/15/25 | 1,225 | 1,321 | |
Realty Income Corp. | 3.875% | 7/15/24 | 6,871 | 7,452 | ||
Realty Income Corp. | 3.875% | 4/15/25 | 27,930 | 30,939 | ||
Realty Income Corp. | 0.750% | 3/15/26 | 9,960 | 9,855 | ||
9 | Realty Income Corp. | 1.125% | 7/13/27 | 13,900 | 19,251 | |
Regency Centers LP | 3.750% | 6/15/24 | 1,115 | 1,196 | ||
Sabra Health Care LP | 4.800% | 6/1/24 | 50,994 | 55,914 | ||
8 | Samhallsbyggnadsbolaget i Norden AB | 1.750% | 1/14/25 | 6,700 | 8,360 | |
Simon Property Group LP | 2.350% | 1/30/22 | 28,290 | 28,438 | ||
Simon Property Group LP | 2.625% | 6/15/22 | 25,666 | 26,048 | ||
Simon Property Group LP | 2.750% | 2/1/23 | 5,300 | 5,458 | ||
Simon Property Group LP | 2.750% | 6/1/23 | 16,123 | 16,716 | ||
Simon Property Group LP | 3.750% | 2/1/24 | 30,620 | 32,787 | ||
Simon Property Group LP | 2.000% | 9/13/24 | 79,690 | 82,770 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 47,028 | 50,726 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 48,883 | 53,624 | ||
Simon Property Group LP | 3.300% | 1/15/26 | 9,640 | 10,522 | ||
7 | Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC | 7.875% | 2/15/25 | 7,904 | 8,420 | |
7 | Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC | 4.750% | 4/15/28 | 1,125 | 1,130 | |
Ventas Realty LP | 3.125% | 6/15/23 | 13,265 | 13,804 | ||
Ventas Realty LP | 3.500% | 4/15/24 | 37,091 | 39,635 | ||
Ventas Realty LP | 3.750% | 5/1/24 | 6,012 | 6,453 | ||
Ventas Realty LP | 2.650% | 1/15/25 | 12,310 | 12,995 | ||
Ventas Realty LP | 3.500% | 2/1/25 | 4,820 | 5,217 | ||
VEREIT Operating Partnership LP | 4.600% | 2/6/24 | 40,387 | 43,951 | ||
VEREIT Operating Partnership LP | 4.625% | 11/1/25 | 68,748 | 78,252 | ||
VEREIT Operating Partnership LP | 4.875% | 6/1/26 | 77,754 | 90,324 | ||
Vornado Realty LP | 2.150% | 6/1/26 | 11,600 | 11,897 | ||
7 | Wea Finance LLC / Westfield UK & Europe Finance plc | 3.750% | 9/17/24 | 7,140 | 7,662 | |
Weingarten Realty Investors | 3.500% | 4/15/23 | 13,765 | 14,327 | ||
Weingarten Realty Investors | 4.450% | 1/15/24 | 11,302 | 12,157 | ||
Welltower Inc. | 3.625% | 3/15/24 | 28,402 | 30,455 | ||
Welltower Inc. | 4.000% | 6/1/25 | 72,809 | 80,582 | ||
9 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 6,499 | 9,252 | |
2,760,932 | ||||||
Technology (4.5%) | ||||||
Analog Devices Inc. | 2.950% | 4/1/25 | 12,190 | 13,083 | ||
Apple Inc. | 3.000% | 2/9/24 | 38,325 | 40,647 | ||
Apple Inc. | 3.450% | 5/6/24 | 49,061 | 53,038 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Apple Inc. | 2.850% | 5/11/24 | 78,285 | 83,145 | ||
Apple Inc. | 2.750% | 1/13/25 | 38,558 | 41,207 | ||
Apple Inc. | 0.700% | 2/8/26 | 26,018 | 25,889 | ||
Apple Inc. | 3.250% | 2/23/26 | 36,351 | 39,971 | ||
Apple Inc. | 2.450% | 8/4/26 | 47,762 | 51,083 | ||
Apple Inc. | 2.050% | 9/11/26 | 66,330 | 69,670 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 11,899 | 12,687 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.125% | 1/15/25 | 19,200 | 20,506 | ||
Broadcom Inc. | 3.625% | 10/15/24 | 73,287 | 79,507 | ||
Broadcom Inc. | 4.700% | 4/15/25 | 93,309 | 104,963 | ||
Broadcom Inc. | 3.150% | 11/15/25 | 39,911 | 42,901 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 51,447 | 57,750 | ||
CDW LLC / CDW Finance Corp. | 4.125% | 5/1/25 | 2,960 | 3,073 | ||
Citrix Systems Inc. | 1.250% | 3/1/26 | 19,405 | 19,318 | ||
7 | Clarivate Science Holdings Corp. | 3.875% | 6/30/28 | 4,285 | 4,323 | |
7 | CommScope Inc. | 5.500% | 3/1/24 | 3,270 | 3,365 | |
7 | CommScope Inc. | 6.000% | 3/1/26 | 2,321 | 2,432 | |
7 | CommScope Inc. | 8.250% | 3/1/27 | 612 | 648 | |
7 | CommScope Inc. | 7.125% | 7/1/28 | 1,801 | 1,942 | |
7 | CommScope Technologies Finance LLC | 6.000% | 6/15/25 | 2,910 | 2,954 | |
Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 42,996 | 46,461 | ||
Dell International LLC / EMC Corp. | 4.000% | 7/15/24 | 29,155 | 31,709 | ||
Dell International LLC / EMC Corp. | 5.850% | 7/15/25 | 71,657 | 84,187 | ||
Dell International LLC / EMC Corp. | 6.020% | 6/15/26 | 79,070 | 95,180 | ||
Dell International LLC / EMC Corp. | 4.900% | 10/1/26 | 14,325 | 16,677 | ||
7 | Entegris Inc. | 4.375% | 4/15/28 | 2,096 | 2,203 | |
7 | Entegris Inc. | 3.625% | 5/1/29 | 2,125 | 2,180 | |
Equifax Inc. | 3.950% | 6/15/23 | 9,450 | 10,026 | ||
Equifax Inc. | 2.600% | 12/1/24 | 95,144 | 100,342 | ||
Equifax Inc. | 2.600% | 12/15/25 | 48,800 | 51,819 | ||
8 | Fidelity National Information Services Inc. | 0.125% | 12/3/22 | 32,000 | 38,174 | |
8 | Fidelity National Information Services Inc. | 0.750% | 5/21/23 | 16,256 | 19,615 | |
Fidelity National Information Services Inc. | 0.600% | 3/1/24 | 31,060 | 31,064 | ||
Fiserv Inc. | 3.800% | 10/1/23 | 2,528 | 2,702 | ||
Fiserv Inc. | 2.750% | 7/1/24 | 162,005 | 171,524 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 375 | 408 | ||
Global Payments Inc. | 1.200% | 3/1/26 | 29,500 | 29,455 | ||
Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 37,385 | 38,894 | ||
Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 19,340 | 22,112 | ||
HP Inc. | 2.200% | 6/17/25 | 86,341 | 89,883 | ||
7 | HP Inc. | 1.450% | 6/17/26 | 71,207 | 71,392 | |
Intel Corp. | 3.700% | 7/29/25 | 6,650 | 7,345 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 36,694 | 39,517 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 73,405 | 78,243 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 132,314 | 146,212 | ||
Intuit Inc. | 0.950% | 7/15/25 | 1,950 | 1,964 | ||
Juniper Networks Inc. | 1.200% | 12/10/25 | 41,930 | 42,059 | ||
7 | Marvell Technology Inc. | 4.200% | 6/22/23 | 29,250 | 31,029 | |
Micron Technology Inc. | 2.497% | 4/24/23 | 8,030 | 8,292 | ||
Micron Technology Inc. | 4.640% | 2/6/24 | 23,880 | 26,096 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 8,570 | 9,383 | ||
7 | NCR Corp. | 8.125% | 4/15/25 | 1,940 | 2,108 | |
7 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 1,365 | 1,442 | |
NVIDIA Corp. | 0.584% | 6/14/24 | 79,440 | 79,748 | ||
7 | NXP BV / NXP Funding LLC | 3.875% | 9/1/22 | 107,314 | 111,067 | |
7 | NXP BV / NXP Funding LLC | 4.625% | 6/1/23 | 22,660 | 24,283 | |
7 | NXP BV / NXP Funding LLC | 4.875% | 3/1/24 | 78,750 | 86,590 | |
Oracle Corp. | 2.625% | 2/15/23 | 34,041 | 35,129 | ||
Oracle Corp. | 3.625% | 7/15/23 | 4,650 | 4,929 | ||
Oracle Corp. | 2.400% | 9/15/23 | 107,713 | 111,575 | ||
Oracle Corp. | 3.400% | 7/8/24 | 31,165 | 33,389 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Oracle Corp. | 2.950% | 11/15/24 | 43,813 | 46,737 | ||
Oracle Corp. | 2.500% | 4/1/25 | 86,750 | 91,319 | ||
Oracle Corp. | 2.950% | 5/15/25 | 38,853 | 41,479 | ||
Oracle Corp. | 1.650% | 3/25/26 | 137,840 | 140,495 | ||
Oracle Corp. | 2.650% | 7/15/26 | 13,151 | 13,963 | ||
PayPal Holdings Inc. | 2.200% | 9/26/22 | 60,948 | 62,325 | ||
Roper Technologies Inc. | 3.800% | 12/15/26 | 8,148 | 9,155 | ||
7 | Sabre GLBL Inc. | 9.250% | 4/15/25 | 1,305 | 1,527 | |
7 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 2,965 | 3,170 | |
7 | Seagate HDD Cayman | 3.125% | 7/15/29 | 4,835 | 4,739 | |
Skyworks Solutions Inc. | 0.900% | 6/1/23 | 11,710 | 11,755 | ||
Skyworks Solutions Inc. | 1.800% | 6/1/26 | 54,006 | 54,984 | ||
7 | Square Inc. | 2.750% | 6/1/26 | 2,460 | 2,515 | |
7 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 5,951 | 6,294 | |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 18,719 | 19,462 | ||
Verisk Analytics Inc. | 4.000% | 6/15/25 | 52,010 | 57,629 | ||
Visa Inc. | 3.150% | 12/14/25 | 45,070 | 49,432 | ||
VMware Inc. | 2.950% | 8/21/22 | 47,262 | 48,422 | ||
VMware Inc. | 0.600% | 8/15/23 | 34,000 | 34,057 | ||
VMware Inc. | 4.500% | 5/15/25 | 149,682 | 167,677 | ||
VMware Inc. | 1.400% | 8/15/26 | 57,000 | 57,199 | ||
Western Digital Corp. | 4.750% | 2/15/26 | 12,096 | 13,433 | ||
3,548,277 | ||||||
Utilities (3.9%) | ||||||
AEP Texas Inc. | 2.400% | 10/1/22 | 22,670 | 23,190 | ||
Ameren Corp. | 2.500% | 9/15/24 | 32,940 | 34,661 | ||
Ameren Illinois Co. | 3.250% | 3/1/25 | 11,340 | 12,263 | ||
American Electric Power Co. Inc. | 1.000% | 11/1/25 | 9,675 | 9,662 | ||
Atmos Energy Corp. | 0.625% | 3/9/23 | 39,550 | 39,558 | ||
8 | AusNet Services Holdings Pty Ltd. | 1.625% | 3/11/81 | 400 | 487 | |
6,10 | Australian Gas Networks Ltd., 3M Australian Bank Bill Rate + 0.400% | 0.430% | 7/1/24 | 9,500 | 6,879 | |
Baltimore Gas and Electric Co. | 2.800% | 8/15/22 | 4,375 | 4,458 | ||
Baltimore Gas and Electric Co. | 3.350% | 7/1/23 | 3,142 | 3,295 | ||
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 69,517 | 74,245 | ||
8 | Cadent Finance plc | 0.625% | 9/22/24 | 14,465 | 17,583 | |
7 | Calpine Corp. | 4.500% | 2/15/28 | 7,320 | 7,543 | |
CenterPoint Energy Inc. | 2.500% | 9/1/22 | 15,280 | 15,603 | ||
CenterPoint Energy Inc. | 3.850% | 2/1/24 | 2,467 | 2,647 | ||
CenterPoint Energy Inc. | 2.500% | 9/1/24 | 15,867 | 16,635 | ||
CenterPoint Energy Inc. | 1.450% | 6/1/26 | 38,870 | 39,343 | ||
CenterPoint Energy Resources Corp. | 0.700% | 3/2/23 | 31,670 | 31,674 | ||
Clearway Energy Operating LLC | 5.000% | 9/15/26 | 6,997 | 7,192 | ||
Commonwealth Edison Co. | 3.100% | 11/1/24 | 5,620 | 6,014 | ||
Consolidated Edison Inc. | 0.650% | 12/1/23 | 40,295 | 40,315 | ||
10 | DBNGP Finance Co. Pty Ltd. | 4.225% | 5/28/25 | 8,050 | 6,501 | |
Dominion Energy Inc. | 2.750% | 9/15/22 | 35,582 | 36,300 | ||
7 | Dominion Energy Inc. | 2.450% | 1/15/23 | 1,890 | 1,945 | |
Dominion Energy Inc. | 3.300% | 3/15/25 | 47,212 | 51,231 | ||
Dominion Energy Inc. | 1.450% | 4/15/26 | 48,550 | 49,107 | ||
6 | Dominion Energy Inc., 3M USD LIBOR + 0.530% | 0.649% | 9/15/23 | 31,810 | 31,825 | |
DTE Electric Co. | 3.375% | 3/1/25 | 298 | 323 | ||
DTE Energy Co. | 2.250% | 11/1/22 | 80,850 | 82,696 | ||
DTE Energy Co. | 1.050% | 6/1/25 | 27,760 | 27,852 | ||
Duke Energy Corp. | 3.227% | 3/11/22 | 290,625 | 295,641 | ||
Duke Energy Corp. | 3.950% | 10/15/23 | 15,085 | 16,092 | ||
Duke Energy Corp. | 3.750% | 4/15/24 | 7,091 | 7,635 | ||
Duke Energy Corp. | 0.900% | 9/15/25 | 43,565 | 43,374 | ||
Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 11,620 | 12,337 | ||
Duke Energy Progress LLC | 3.250% | 8/15/25 | 7,798 | 8,500 | ||
9 | E.ON International Finance BV | 5.500% | 7/6/22 | 22,300 | 32,431 | |
9 | E.ON International Finance BV | 5.625% | 12/6/23 | 2,945 | 4,562 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | East Ohio Gas Co. | 1.300% | 6/15/25 | 9,715 | 9,814 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 12,700 | 13,448 | ||
Eastern Energy Gas Holdings LLC | 2.500% | 11/15/24 | 4,830 | 5,066 | ||
Eastern Energy Gas Holdings LLC | 3.600% | 12/15/24 | 12,757 | 13,806 | ||
7 | Electricite de France SA | 4.500% | 9/21/28 | 16,050 | 18,819 | |
7 | Emera U.S. Finance LP | 0.833% | 6/15/24 | 6,800 | 6,784 | |
7 | Enel Finance International NV | 1.375% | 7/12/26 | 48,500 | 48,813 | |
8 | Enel SPA | 3.375% | 11/24/81 | 400 | 529 | |
7 | Engie SA | 2.875% | 10/10/22 | 10,649 | 10,957 | |
8 | Engie SA | 0.875% | 3/27/24 | 2,500 | 3,053 | |
Entergy Arkansas LLC | 3.050% | 6/1/23 | 7,190 | 7,479 | ||
Entergy Arkansas LLC | 3.700% | 6/1/24 | 9,388 | 10,143 | ||
Entergy Arkansas LLC | 3.500% | 4/1/26 | 23,522 | 26,030 | ||
Entergy Corp. | 4.000% | 7/15/22 | 41,151 | 42,326 | ||
Entergy Corp. | 0.900% | 9/15/25 | 48,975 | 48,652 | ||
Entergy Corp. | 2.950% | 9/1/26 | 90,500 | 97,555 | ||
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 22,680 | 26,079 | ||
Entergy Louisiana LLC | 4.050% | 9/1/23 | 11,650 | 12,401 | ||
Entergy Louisiana LLC | 0.620% | 11/17/23 | 30,780 | 30,796 | ||
Entergy Louisiana LLC | 5.400% | 11/1/24 | 8,562 | 9,835 | ||
6,10 | ETSA Utilities Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.040% | 1.064% | 12/13/23 | 5,000 | 3,700 | |
Evergy Inc. | 2.450% | 9/15/24 | 48,500 | 50,991 | ||
Eversource Energy | 0.800% | 8/15/25 | 11,595 | 11,559 | ||
Exelon Corp. | 3.950% | 6/15/25 | 21,742 | 23,990 | ||
FirstEnergy Corp. | 2.050% | 3/1/25 | 5,635 | 5,717 | ||
FirstEnergy Corp. | 4.650% | 7/15/27 | 3,995 | 4,458 | ||
Florida Power & Light Co. | 2.850% | 4/1/25 | 15,630 | 16,777 | ||
Georgia Power Co. | 2.200% | 9/15/24 | 23,973 | 25,032 | ||
8 | IE2 Holdco SAU | 2.375% | 11/27/23 | 19,400 | 24,164 | |
8 | IE2 Holdco SAU | 2.875% | 6/1/26 | 10,600 | 14,082 | |
ITC Holdings Corp. | 2.700% | 11/15/22 | 29,250 | 30,049 | ||
Korea Midland Power Co. Ltd | 2.375% | 7/22/22 | 9,809 | 9,994 | ||
Korea Midland Power Co. Ltd. | 3.375% | 1/22/22 | 27,758 | 28,148 | ||
MidAmerican Energy Co. | 3.700% | 9/15/23 | 4,370 | 4,631 | ||
MidAmerican Energy Co. | 3.500% | 10/15/24 | 1,000 | 1,082 | ||
National Fuel Gas Co. | 5.500% | 1/15/26 | 9,705 | 11,298 | ||
8 | National Grid Electricity Transmission plc | 0.190% | 1/20/25 | 13,007 | 15,611 | |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 9,777 | 10,099 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 800 | 846 | ||
NextEra Energy Capital Holdings Inc. | 2.900% | 4/1/22 | 51,745 | 52,654 | ||
NextEra Energy Capital Holdings Inc. | 2.800% | 1/15/23 | 2,895 | 2,990 | ||
NextEra Energy Capital Holdings Inc. | 0.650% | 3/1/23 | 93,210 | 93,553 | ||
NextEra Energy Capital Holdings Inc. | 3.150% | 4/1/24 | 34,601 | 36,828 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 5/1/25 | 36,353 | 38,755 | ||
7 | NRG Energy Inc. | 2.000% | 12/2/25 | 18,522 | 19,027 | |
NRG Energy Inc. | 7.250% | 5/15/26 | 20,652 | 21,476 | ||
NRG Energy Inc. | 6.625% | 1/15/27 | 4,969 | 5,145 | ||
NSTAR Electric Co. | 2.375% | 10/15/22 | 16,235 | 16,546 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 3,600 | 3,676 | ||
Oncor Electric Delivery Co. LLC | 2.750% | 6/1/24 | 47,575 | 50,516 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 13,637 | 14,629 | ||
Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 10,695 | 10,523 | ||
ONE Gas Inc. | 0.850% | 3/11/23 | 24,270 | 24,276 | ||
Pacific Gas and Electric Co. | 3.500% | 6/15/25 | 9,665 | 10,145 | ||
Pacific Gas and Electric Co. | 3.450% | 7/1/25 | 9,665 | 10,094 | ||
PacifiCorp | 3.600% | 4/1/24 | 16,160 | 17,340 | ||
PacifiCorp | 3.350% | 7/1/25 | 17,720 | 19,273 | ||
7 | Pattern Energy Operations LP / Pattern Energy Operations Inc. | 4.500% | 8/15/28 | 2,223 | 2,297 | |
PECO Energy Co. | 3.150% | 10/15/25 | 3,885 | 4,223 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.500% | 11/22/21 | 23,156 | 23,474 | ||
Potomac Electric Power Co. | 3.600% | 3/15/24 | 10,425 | 11,184 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Progress Energy Inc. | 3.150% | 4/1/22 | 17,667 | 17,876 | ||
Public Service Electric and Gas Co. | 3.000% | 5/15/25 | 8,340 | 8,966 | ||
Public Service Enterprise Group Inc. | 2.650% | 11/15/22 | 1,455 | 1,496 | ||
Public Service Enterprise Group Inc. | 2.875% | 6/15/24 | 65,543 | 69,578 | ||
Public Service Enterprise Group Inc. | 0.800% | 8/15/25 | 49,115 | 48,876 | ||
Puget Energy Inc. | 5.625% | 7/15/22 | 47,334 | 49,008 | ||
Sempra Energy | 2.900% | 2/1/23 | 16,585 | 17,152 | ||
Southern California Edison Co. | 0.700% | 4/3/23 | 29,130 | 29,211 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 19,070 | 20,413 | ||
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 6,570 | 6,827 | ||
Southern Power Co. | 0.900% | 1/15/26 | 9,700 | 9,621 | ||
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 13,170 | 13,285 | ||
Southwestern Electric Power Co. | 1.650% | 3/15/26 | 35,070 | 35,811 | ||
Southwestern Public Service Co. | 3.300% | 6/15/24 | 41,903 | 44,593 | ||
State Grid Overseas Investment 2014 Ltd. | 4.125% | 5/7/24 | 8,654 | 9,432 | ||
State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 16,600 | 16,858 | ||
State Grid Overseas Investment 2016 Ltd. | 3.750% | 5/2/23 | 10,775 | 11,354 | ||
10 | United Energy Distribution Pty Ltd. | 3.500% | 9/12/23 | 6,180 | 4,752 | |
10 | United Energy Distribution Pty Ltd. | 3.850% | 10/23/24 | 24,200 | 19,369 | |
6,10 | Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.280% | 0.305% | 1/15/22 | 56,190 | 41,147 | |
Virginia Electric and Power Co. | 3.450% | 9/1/22 | 23,690 | 24,294 | ||
Virginia Electric and Power Co. | 2.750% | 3/15/23 | 4,599 | 4,752 | ||
Virginia Electric and Power Co. | 3.450% | 2/15/24 | 16,509 | 17,587 | ||
Virginia Electric and Power Co. | 3.100% | 5/15/25 | 8,585 | 9,234 | ||
Virginia Electric and Power Co. | 3.150% | 1/15/26 | 12,295 | 13,448 | ||
Virginia Electric and Power Co. | 2.950% | 11/15/26 | 46,842 | 50,948 | ||
7 | Vistra Operations Co. LLC | 5.500% | 9/1/26 | 21,384 | 22,032 | |
7 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 3,881 | 4,030 | |
7 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 1,380 | 1,426 | |
WEC Energy Group Inc. | 0.550% | 9/15/23 | 53,165 | 53,251 | ||
WEC Energy Group Inc. | 0.800% | 3/15/24 | 48,550 | 48,801 | ||
9 | Western Power Distribution plc | 3.625% | 11/6/23 | 14,458 | 21,223 | |
Xcel Energy Inc. | 0.500% | 10/15/23 | 19,300 | 19,322 | ||
3,090,809 | ||||||
Total Corporate Bonds (Cost $58,836,821) | 59,933,620 | |||||
Sovereign Bonds (2.9%) | ||||||
Arab Petroleum Investments Corp. | 4.125% | 9/18/23 | 14,518 | 15,541 | ||
7 | Banque Ouest Africaine de Developpement | 5.000% | 7/27/27 | 17,455 | 19,392 | |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 24,580 | 26,503 | |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 24,864 | 25,700 | ||
Corp. Andina de Fomento | 2.375% | 5/12/23 | 29,050 | 29,909 | ||
Corp. Andina de Fomento | 1.625% | 9/23/25 | 48,335 | 49,030 | ||
Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 9,838 | 10,770 | ||
7 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 4,313 | 4,251 | |
Dominican Republic | 6.600% | 1/28/24 | 4,125 | 4,552 | ||
4 | Dominican Republic | 5.875% | 4/18/24 | 10,180 | 10,765 | |
Dominican Republic | 5.500% | 1/27/25 | 3,940 | 4,276 | ||
7 | Dominican Republic | 4.875% | 9/23/32 | 6,750 | 7,026 | |
Export-Import Bank of Korea | 2.750% | 1/25/22 | 2,500 | 2,528 | ||
Federative Republic of Brazil | 4.625% | 1/13/28 | 2,494 | 2,707 | ||
Fondo MIVIVIENDA SA | 3.500% | 1/31/23 | 31,766 | 32,744 | ||
7 | Government of Bermuda | 4.138% | 1/3/23 | 6,000 | 6,310 | |
7 | Government of Bermuda | 4.854% | 2/6/24 | 2,861 | 3,151 | |
Kingdom of Morocco | 4.250% | 12/11/22 | 30,991 | 32,484 | ||
7,8 | Kingdom of Morocco | 1.375% | 3/30/26 | 42,700 | 51,399 | |
8 | Kingdom of Morocco | 1.375% | 3/30/26 | 4,800 | 5,778 | |
7 | Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 1,615 | 1,622 | |
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 94,403 | 94,794 | ||
Kingdom of Saudi Arabia | 4.000% | 4/17/25 | 32,495 | 35,848 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Korea Development Bank | 4.625% | 11/16/21 | 2,795 | 2,829 | ||
Korea Development Bank | 3.250% | 2/19/24 | 12,205 | 13,054 | ||
Korea Hydro & Nuclear Power Co. Ltd. | 3.000% | 9/19/22 | 11,764 | 12,106 | ||
7 | Korea National Oil Corp. | 2.875% | 3/27/22 | 9,400 | 9,552 | |
Korea National Oil Corp. | 0.875% | 10/5/25 | 19,400 | 19,237 | ||
KSA Sukuk Ltd. | 2.894% | 4/20/22 | 89,656 | 91,127 | ||
KSA Sukuk Ltd. | 3.628% | 4/20/27 | 26,188 | 28,887 | ||
Kuwait | 2.750% | 3/20/22 | 33,318 | 33,806 | ||
8,16 | MFB Magyar Fejlesztesi Bank Zrt | 1.375% | 6/24/25 | 16,459 | 20,482 | |
North American Development Bank | 2.400% | 10/26/22 | 711 | 724 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.400% | 3/29/22 | 21,339 | 21,714 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.300% | 11/21/22 | 3,800 | 3,932 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.900% | 8/20/24 | 4,850 | 5,277 | ||
Perusahaan Penerbit SBSN Indonesia III | 4.325% | 5/28/25 | 26,200 | 29,254 | ||
Province of Nova Scotia | 8.250% | 7/30/22 | 12,785 | 13,758 | ||
Republic of Chile | 3.125% | 3/27/25 | 16,700 | 17,867 | ||
8 | Republic of Chile | 0.100% | 1/26/27 | 18,930 | 22,227 | |
Republic of Chile | 2.550% | 7/27/33 | 63,890 | 65,081 | ||
Republic of Colombia | 2.625% | 3/15/23 | 49,954 | 50,693 | ||
Republic of Colombia | 4.000% | 2/26/24 | 174,399 | 182,870 | ||
Republic of Colombia | 4.500% | 1/28/26 | 25,590 | 27,805 | ||
Republic of Croatia | 5.500% | 4/4/23 | 29,565 | 31,991 | ||
Republic of Croatia | 6.000% | 1/26/24 | 2,400 | 2,713 | ||
Republic of Guatemala | 5.750% | 6/6/22 | 19,828 | 20,460 | ||
Republic of Hungary | 5.375% | 2/21/23 | 55,760 | 60,082 | ||
Republic of Hungary | 5.750% | 11/22/23 | 55,959 | 62,675 | ||
8 | Republic of Hungary | 1.125% | 4/28/26 | 30,800 | 38,505 | |
7 | Republic of Indonesia | 3.700% | 1/8/22 | 10,072 | 10,199 | |
Republic of Indonesia | 3.700% | 1/8/22 | 2,100 | 2,129 | ||
Republic of Indonesia | 3.750% | 4/25/22 | 45,545 | 46,629 | ||
Republic of Lithuania | 6.625% | 2/1/22 | 35,220 | 36,299 | ||
Republic of Panama | 4.000% | 9/22/24 | 76,323 | 82,917 | ||
Republic of Panama | 3.750% | 3/16/25 | 45,864 | 49,820 | ||
Republic of Panama | 7.125% | 1/29/26 | 24,798 | 30,800 | ||
Republic of Paraguay | 4.625% | 1/25/23 | 39,521 | 41,434 | ||
Republic of Paraguay | 5.000% | 4/15/26 | 10,687 | 12,050 | ||
Republic of Peru | 7.350% | 7/21/25 | 31,996 | 39,007 | ||
Republic of Peru | 2.392% | 1/23/26 | 11,309 | 11,592 | ||
8 | Republic of Philippines | 0.000% | 2/3/23 | 39,801 | 47,169 | |
8 | Republic of Philippines | 0.250% | 4/28/25 | 22,400 | 26,634 | |
Republic of Serbia | 7.250% | 9/28/21 | 56,526 | 57,134 | ||
8 | Republic of Serbia | 3.125% | 5/15/27 | 71,905 | 94,922 | |
Republic of Slovenia | 5.500% | 10/26/22 | 11,740 | 12,489 | ||
Republic of Slovenia | 5.850% | 5/10/23 | 2,100 | 2,301 | ||
7 | Republic of Slovenia | 5.250% | 2/18/24 | 8,600 | 9,633 | |
Republic of Trinidad & Tobago | 4.375% | 1/16/24 | 9,388 | 9,918 | ||
Republic of Turkey | 3.250% | 3/23/23 | 12,970 | 12,972 | ||
Republic of Uzbekistan | 4.750% | 2/20/24 | 8,540 | 9,032 | ||
Romania | 6.750% | 2/7/22 | 2,672 | 2,757 | ||
Romania | 4.375% | 8/22/23 | 12,480 | 13,410 | ||
Romania | 4.875% | 1/22/24 | 7,934 | 8,720 | ||
8 | Romania | 2.750% | 2/26/26 | 29,460 | 38,585 | |
8 | Romania | 2.000% | 12/8/26 | 29,194 | 37,189 | |
8 | Romania | 2.500% | 2/8/30 | 4,855 | 6,148 | |
7,8 | Romania | 2.000% | 4/14/33 | 9,725 | 11,392 | |
Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 21,160 | 22,673 | ||
Sharjah Sukuk Program Ltd. | 2.942% | 6/10/27 | 6,844 | 6,995 | ||
7 | Slovak Republic | 4.375% | 5/21/22 | 5,500 | 5,678 | |
Slovak Republic | 4.375% | 5/21/22 | 3,000 | 3,097 | ||
State of Qatar | 4.500% | 1/20/22 | 14,555 | 14,831 | ||
State of Qatar | 3.375% | 3/14/24 | 4,800 | 5,143 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
State of Qatar | 3.400% | 4/16/25 | 56,767 | 61,769 | ||
United Mexican States | 3.750% | 1/11/28 | 21,548 | 23,675 | ||
8 | United Mexican States | 3.625% | 4/9/29 | 1,652 | 2,287 | |
United Mexican States | 4.500% | 4/22/29 | 15,145 | 17,253 | ||
United Mexican States | 3.250% | 4/16/30 | 11,010 | 11,479 | ||
Total Sovereign Bonds (Cost $2,248,019) | 2,303,949 | |||||
Taxable Municipal Bonds (0.0%) | ||||||
17 | New Jersey Economic Development Authority Appropriations Revenue | 7.425% | 2/15/29 | 13,409 | 17,527 | |
6 | New Mexico Educational Assistance Foundation Student Loan Revenue, 1M USD LIBOR + 0.700% | 0.800% | 1/2/25 | 3,859 | 3,860 | |
New York Transportation Development Corp. Miscellaneous Revenue | 4.248% | 9/1/35 | 4,575 | 5,109 | ||
Total Taxable Municipal Bonds (Cost $25,017) | 26,496 | |||||
Shares | ||||||
Common Stocks (0.1%) | ||||||
Exchange-Traded Fund (0.1%) | ||||||
18 | Vanguard Short-Term Corporate Bond ETF (Cost $78,302) | 967,764 | 80,199 | |||
Temporary Cash Investments (0.9%) | ||||||
Money Market Fund (0.9%) | ||||||
19 | Vanguard Market Liquidity Fund (Cost $696,635) | 0.064% | 6,969,802 | 696,980 | ||
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | |||
Options Purchased (0.0%) | ||||||
Over-the-Counter Swaptions (0.0%) | ||||||
Call Swaptions | ||||||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | NGFP | 1/13/23 | 0.603% | 624,374 | 1,806 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 623,325 | 1,826 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 623,250 | 1,774 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 623,250 | 1,927 | |
7,333 | ||||||
Put Swaptions | ||||||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 58,360 | 37 | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 38,860 | 24 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | ||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 27,485 | 17 | |
78 | ||||||
Total Options Purchased (Cost $12,100) | 7,411 | |||||
Total Investments (99.8%) (Cost $77,218,016) | 78,584,351 | |||||
Other Assets and Liabilities—Net (0.2%) | 124,977 | |||||
Net Assets (100%) | 78,709,328 | |||||
Cost is in $000. |
1 | Securities with a value of $37,907,000 have been segregated as initial margin for open centrally cleared swap contracts. |
2 | Securities with a value of $41,886,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
3 | Securities with a value of $25,151,000 have been segregated as initial margin for open futures 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 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
7 | Security 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 July 31, 2021, the aggregate value was $9,748,138,000, representing 12.4% of net assets. |
8 | Face amount denominated in euro. |
9 | Face amount denominated in British pounds. |
10 | Face amount denominated in Australian dollars. |
11 | Guaranteed by multiple countries. |
12 | Face amount denominated in Canadian dollars. |
13 | Non-income-producing security—security in default. |
14 | Security value determined using significant unobservable inputs. |
15 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021. |
16 | Guaranteed by the Republic of Hungary. |
17 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
18 | Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group. |
19 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12M—12-month. | |
1M—1-month. | |
1YR—1-year. | |
3M—3-month. | |
6M—6-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank NA. | |
CMT—Constant Maturing Treasury Rate. | |
GSI—Goldman Sachs International. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. | |
REMICS—Real Estate Mortgage Investment Conduits. |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (7.3%) | ||||||
U.S. Government Securities (7.2%) | ||||||
U.S. Treasury Note/Bond | 1.250% | 3/31/28 | 250,000 | 254,727 | ||
1 | U.S. Treasury Note/Bond | 1.250% | 4/30/28 | 500,000 | 509,219 | |
U.S. Treasury Note/Bond | 1.250% | 5/31/28 | 250,000 | 254,531 | ||
2 | U.S. Treasury Note/Bond | 1.250% | 6/30/28 | 275,000 | 279,770 | |
2,3 | U.S. Treasury Note/Bond | 0.875% | 11/15/30 | 375,000 | 364,336 | |
2 | U.S. Treasury Note/Bond | 1.125% | 2/15/31 | 600,000 | 595,125 | |
U.S. Treasury Note/Bond | 1.625% | 5/15/31 | 450,000 | 466,523 | ||
2,724,231 | ||||||
Agency Bonds and Notes (0.0%) | ||||||
4,5 | Fannie Mae Interest Strip | 0.000% | 10/25/40 | 4,074 | 3,871 | |
Nonconventional Mortgage-Backed Securities (0.1%) | ||||||
4,5 | Fannie Mae REMICS | 5.250% | 9/25/41 | 8,959 | 10,027 | |
4,5,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893% | 2.393% | 9/1/32 | 103 | 107 | |
4,5,6 | Freddie Mac Non Gold Pool, 1YR CMT + 2.250% | 2.513% | 8/1/32 | 164 | 170 | |
4 | Ginnie Mae | 3.000% | 8/20/46 | 2,116 | 2,291 | |
4 | Ginnie Mae | 3.500% | 6/20/48–2/20/49 | 10,631 | 11,408 | |
24,003 | ||||||
Total U.S. Government and Agency Obligations (Cost $2,696,263) | 2,752,105 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (4.8%) | ||||||
4 | Ally Auto Receivables Trust Class A4 Series 2019-1 | 3.020% | 4/15/24 | 3,030 | 3,112 | |
4,7 | American Homes 4 Rent Trust Class A Series 2014-SFR2 | 3.786% | 10/17/36 | 3,706 | 3,933 | |
4,7 | American Homes 4 Rent Trust Class A Series 2015-SFR2 | 3.732% | 10/17/52 | 2,694 | 2,890 | |
4,7 | American Homes 4 Rent Trust Class B Series 2014-SFR2 | 4.290% | 10/17/36 | 1,060 | 1,131 | |
4,7 | American Homes 4 Rent Trust Class B Series 2015-SFR2 | 4.295% | 10/17/52 | 1,070 | 1,163 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2018-2 | 4.010% | 7/18/24 | 9,460 | 9,905 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2019-1 | 3.620% | 3/18/25 | 7,240 | 7,583 | |
4,7 | AOA Mortgage Trust Class A Series 2015-1177 | 2.957% | 12/13/29 | 1,330 | 1,330 | |
4,6,7 | Aventura Mall Trust Class A Series 2018-AVM | 4.112% | 7/5/40 | 13,621 | 15,626 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A | 3.070% | 9/20/23 | 4,220 | 4,327 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2018-2A | 4.000% | 3/20/25 | 3,890 | 4,202 | |
4,7 | BAMLL Commercial Mortgage Securities Trust Class ANM Series 2019-BPR | 3.112% | 11/5/32 | 22,800 | 23,821 | |
4 | Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS7 | 3.441% | 9/15/48 | 4,411 | 4,731 | |
4 | Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3 | 3.574% | 2/15/50 | 1,540 | 1,720 | |
4,6 | Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7 | 4.358% | 9/15/48 | 360 | 360 | |
4 | BANK Class A3 Series 2019-BN20 | 3.011% | 9/15/62 | 7,060 | 7,720 | |
4 | BANK Class A3 Series 2019-BN23 | 2.920% | 12/15/52 | 7,000 | 7,608 | |
4 | BANK Class A4 Series 2017-BNK4 | 3.625% | 5/15/50 | 1,661 | 1,861 | |
4 | BANK Class A4 Series 2017-BNK7 | 3.175% | 9/15/60 | 6,629 | 7,235 | |
4 | BANK Class A4 Series 2017-BNK8 | 3.488% | 11/15/50 | 5,270 | 5,894 | |
4,6 | BANK Class A4 Series 2018-BN12 | 4.255% | 5/15/61 | 3,960 | 4,616 | |
4,6 | BANK Class A4 Series 2018-BN14 | 4.231% | 9/15/60 | 4,985 | 5,821 | |
4 | BANK Class A4 Series 2019-BN17 | 3.714% | 4/15/52 | 5,604 | 6,389 | |
4 | BANK Class A5 Series 2017-BNK7 | 3.435% | 9/15/60 | 3,990 | 4,446 | |
4 | BANK Class AS Series 2017-BNK6 | 3.741% | 7/15/60 | 1,310 | 1,452 | |
4 | BANK Class ASB Series 2018-BN14 | 4.185% | 9/15/60 | 2,205 | 2,495 | |
4 | BANK Class ASB Series 2019-BN17 | 3.623% | 4/15/52 | 1,437 | 1,609 | |
4 | BANK Class ASB Series 2019-BN23 | 2.846% | 12/15/52 | 9,970 | 10,820 | |
4 | BBCMS Mortgage Trust Class A4 Series 2020-C6 | 2.639% | 2/15/53 | 7,285 | 7,774 | |
4 | BBCMS Mortgage Trust Class A5 Series 2021-C10 | 2.492% | 7/15/54 | 4,250 | 4,474 | |
4 | Benchmark Mortgage Trust Class A4 Series 2018-B6 | 4.261% | 10/10/51 | 6,770 | 7,928 | |
4 | Benchmark Mortgage Trust Class A5 Series 2019-B15 | 2.928% | 12/15/72 | 7,000 | 7,618 | |
4 | Benchmark Mortgage Trust Class A5 Series 2020-B16 | 2.732% | 2/15/53 | 13,660 | 14,642 | |
4 | Benchmark Mortgage Trust Class AAB Series 2019-B15 | 2.859% | 12/15/72 | 6,735 | 7,307 | |
4,6 | Benchmark Mortgage Trust Class AM Series 2018-B1 | 3.878% | 1/15/51 | 2,350 | 2,622 | |
4 | Benchmark Mortgage Trust Class ASB Series 2019-B10 | 3.615% | 3/15/62 | 1,532 | 1,713 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,7 | Canadian Pacer Auto Receivables Trust Class A3 Series 2018-2A | 3.270% | 12/19/22 | 572 | 575 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2018-2A | 3.440% | 8/21/23 | 1,280 | 1,304 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2019-1A | 2.960% | 6/19/24 | 2,090 | 2,152 | |
4 | Cantor Commercial Real Estate Lending Class A4 Series 2019-CF3 | 3.006% | 1/15/53 | 7,000 | 7,588 | |
4 | Capital One Prime Auto Receivables Trust Class A4 Series 2019-1 | 2.560% | 10/15/24 | 5,890 | 6,063 | |
4 | CarMax Auto Owner Trust Class A4 Series 2018-4 | 3.480% | 2/15/24 | 3,370 | 3,488 | |
4 | CarMax Auto Owner Trust Class A4 Series 2019-3 | 2.300% | 4/15/25 | 4,760 | 4,928 | |
4 | CarMax Auto Owner Trust Class A4 Series 2019-4 | 2.130% | 7/15/25 | 4,510 | 4,669 | |
4 | CarMax Auto Owner Trust Class B Series 2018-2 | 3.370% | 10/16/23 | 2,140 | 2,191 | |
4 | CarMax Auto Owner Trust Class B Series 2018-4 | 3.670% | 5/15/24 | 2,960 | 3,094 | |
4 | CarMax Auto Owner Trust Class B Series 2019-3 | 2.500% | 4/15/25 | 6,040 | 6,269 | |
4 | CarMax Auto Owner Trust Class C Series 2018-1 | 2.950% | 11/15/23 | 1,560 | 1,582 | |
4 | CarMax Auto Owner Trust Class C Series 2018-2 | 3.570% | 12/15/23 | 3,090 | 3,168 | |
4 | CarMax Auto Owner Trust Class C Series 2018-4 | 3.850% | 7/15/24 | 2,010 | 2,102 | |
4 | CarMax Auto Owner Trust Class C Series 2019-4 | 2.600% | 9/15/25 | 2,690 | 2,801 | |
4 | CarMax Auto Owner Trust Class C Series 2021-3 | 1.250% | 5/17/27 | 1,360 | 1,361 | |
4 | CarMax Auto Owner Trust Class D Series 2018-2 | 3.990% | 4/15/25 | 2,390 | 2,452 | |
4 | CarMax Auto Owner Trust Class D Series 2018-4 | 4.150% | 4/15/25 | 1,360 | 1,420 | |
4 | CD Mortgage Trust Class A4 Series 2016-CD1 | 2.724% | 8/10/49 | 18,170 | 19,480 | |
4 | CD Mortgage Trust Class A4 Series 2017-CD3 | 3.631% | 2/10/50 | 5,765 | 6,424 | |
4,6 | CD Mortgage Trust Class A4 Series 2017-CD4 | 3.514% | 5/10/50 | 2,470 | 2,742 | |
4 | CD Mortgage Trust Class A5 Series 2017-CD6 | 3.456% | 11/13/50 | 2,341 | 2,597 | |
4,6 | CD Mortgage Trust Class C Series 2016-CD1 | 3.631% | 8/10/49 | 5,510 | 5,798 | |
4 | CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4 | 3.283% | 5/10/58 | 926 | 1,003 | |
4,6,7 | CFCRE Commercial Mortgage Trust Class AJ Series 2011-C2 | 5.776% | 12/15/47 | 5,164 | 5,185 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC19 | 3.753% | 3/10/47 | 460 | 488 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC23 | 3.356% | 7/10/47 | 2,906 | 3,069 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC25 | 3.372% | 10/10/47 | 4,267 | 4,531 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2016-GC37 | 3.050% | 4/10/49 | 9,730 | 10,311 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8 | 3.203% | 9/15/50 | 1,530 | 1,658 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2019-C7 | 2.860% | 12/15/72 | 7,000 | 7,559 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC11 | 3.093% | 4/10/46 | 6,015 | 6,231 | |
4,6 | Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC15 | 4.371% | 9/10/46 | 1,910 | 2,048 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC19 | 4.023% | 3/10/47 | 16,273 | 17,466 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC21 | 3.575% | 5/10/47 | 11,800 | 12,362 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC23 | 3.622% | 7/10/47 | 8,949 | 9,622 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC25 | 3.635% | 10/10/47 | 7,375 | 7,947 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2015-GC31 | 3.762% | 6/10/48 | 11,849 | 12,998 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-C4 | 3.471% | 10/12/50 | 6,425 | 7,138 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-P8 | 3.465% | 9/15/50 | 3,770 | 4,208 | |
4,6 | Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5 | 4.228% | 6/10/51 | 400 | 465 | |
4 | Citigroup Commercial Mortgage Trust Class A5 Series 2014-GC21 | 3.855% | 5/10/47 | 4,897 | 5,288 | |
4 | Citigroup Commercial Mortgage Trust Class A5 Series 2015-GC27 | 3.137% | 2/10/48 | 6,418 | 6,843 | |
4 | Citigroup Commercial Mortgage Trust Class AS Series 2014-GC23 | 3.863% | 7/10/47 | 2,020 | 2,171 | |
4,6 | Citigroup Commercial Mortgage Trust Class B Series 2014-GC23 | 4.175% | 7/10/47 | 800 | 860 | |
4 | Citigroup Commercial Mortgage Trust Class B Series 2017-P8 | 4.192% | 9/15/50 | 3,150 | 3,504 | |
4,6 | Citigroup Commercial Mortgage Trust Class C Series 2014-GC23 | 4.430% | 7/10/47 | 1,250 | 1,354 | |
4,6 | Citigroup Commercial Mortgage Trust Class C Series 2015-GC33 | 4.573% | 9/10/58 | 900 | 911 | |
4,6 | Citigroup Commercial Mortgage Trust Class C Series 2017-P8 | 4.266% | 9/15/50 | 750 | 834 | |
4 | COMM Mortgage Trust Class A2 Series 2014-CR15 | 2.928% | 2/10/47 | 40 | 40 | |
4 | COMM Mortgage Trust Class A3 Series 2012-CR4 | 2.853% | 10/15/45 | 6,857 | 6,969 | |
4 | COMM Mortgage Trust Class A3 Series 2013-CR11 | 3.983% | 8/10/50 | 4,875 | 5,181 | |
4 | COMM Mortgage Trust Class A3 Series 2013-CR12 | 3.765% | 10/10/46 | 5,579 | 5,858 | |
4 | COMM Mortgage Trust Class A3 Series 2014-CR14 | 3.955% | 2/10/47 | 500 | 532 | |
4 | COMM Mortgage Trust Class A3 Series 2014-CR20 | 3.326% | 11/10/47 | 10,587 | 11,213 | |
4 | COMM Mortgage Trust Class A4 Series 2012-CR5 | 2.771% | 12/10/45 | 2,919 | 2,993 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR11 | 4.258% | 8/10/50 | 2,257 | 2,420 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR12 | 4.046% | 10/10/46 | 2,727 | 2,915 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR8 | 3.334% | 6/10/46 | 97 | 100 | |
4,6 | COMM Mortgage Trust Class A4 Series 2013-CR9 | 4.246% | 7/10/45 | 5,493 | 5,823 | |
4 | COMM Mortgage Trust Class A4 Series 2013-LC6 | 2.941% | 1/10/46 | 2,976 | 3,052 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,6 | COMM Mortgage Trust Class A4 Series 2014-CR14 | 4.236% | 2/10/47 | 4,932 | 5,319 | |
4,6 | COMM Mortgage Trust Class A4 Series 2014-CR15 | 4.074% | 2/10/47 | 4,350 | 4,689 | |
4 | COMM Mortgage Trust Class A4 Series 2014-CR17 | 3.700% | 5/10/47 | 927 | 991 | |
4 | COMM Mortgage Trust Class A4 Series 2014-CR18 | 3.550% | 7/15/47 | 5,399 | 5,700 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR25 | 3.759% | 8/10/48 | 4,187 | 4,624 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR27 | 3.612% | 10/10/48 | 3,748 | 4,118 | |
4 | COMM Mortgage Trust Class A4 Series 2015-LC19 | 3.183% | 2/10/48 | 10,403 | 11,181 | |
4,6 | COMM Mortgage Trust Class A5 Series 2013-CR8 | 3.612% | 6/10/46 | 1,760 | 1,848 | |
4 | COMM Mortgage Trust Class A5 Series 2013-LC13 | 4.205% | 8/10/46 | 569 | 605 | |
4 | COMM Mortgage Trust Class A5 Series 2014-CR17 | 3.977% | 5/10/47 | 3,498 | 3,789 | |
4 | COMM Mortgage Trust Class A5 Series 2014-CR18 | 3.828% | 7/15/47 | 11,585 | 12,553 | |
4 | COMM Mortgage Trust Class A5 Series 2014-LC17 | 3.917% | 10/10/47 | 2,512 | 2,740 | |
4 | COMM Mortgage Trust Class A5 Series 2015-CR24 | 3.696% | 8/10/48 | 2,590 | 2,847 | |
4 | COMM Mortgage Trust Class AM Series 2012-CR2 | 3.791% | 8/15/45 | 3,900 | 3,970 | |
4 | COMM Mortgage Trust Class AM Series 2012-CR4 | 3.251% | 10/15/45 | 420 | 424 | |
4,7 | COMM Mortgage Trust Class AM Series 2013-CR6 | 3.147% | 3/10/46 | 9,240 | 9,479 | |
4,6 | COMM Mortgage Trust Class AM Series 2014-CR15 | 4.426% | 2/10/47 | 1,300 | 1,406 | |
4 | COMM Mortgage Trust Class AM Series 2014-CR17 | 4.174% | 5/10/47 | 1,290 | 1,390 | |
4 | COMM Mortgage Trust Class ASB Series 2019-GC44 | 2.873% | 8/15/57 | 180 | 195 | |
4,7 | COMM Mortgage Trust Class B Series 2013-CR6 | 3.397% | 3/10/46 | 1,400 | 1,435 | |
4,6,7 | COMM Mortgage Trust Class C Series 2013-CR9 | 4.270% | 7/10/45 | 2,780 | 2,503 | |
4,6 | COMM Mortgage Trust Class C Series 2015-CR27 | 4.450% | 10/10/48 | 1,760 | 1,912 | |
4 | CSAIL Commercial Mortgage Trust Class A3 Series 2020-C19 | 2.561% | 3/15/53 | 15,250 | 16,035 | |
4 | CSAIL Commercial Mortgage Trust Class A4 Series 2015-C2 | 3.504% | 6/15/57 | 6,650 | 7,212 | |
4 | CSAIL Commercial Mortgage Trust Class A4 Series 2015-C4 | 3.808% | 11/15/48 | 11,274 | 12,452 | |
4 | CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7 | 3.502% | 11/15/49 | 1,558 | 1,714 | |
4,6 | CSAIL Commercial Mortgage Trust Class C Series 2015-C3 | 4.370% | 8/15/48 | 2,160 | 1,992 | |
4 | DBGS Mortgage Trust Class A4 Series 2018-C1 | 4.466% | 10/15/51 | 5,600 | 6,627 | |
4 | DBJPM Mortgage Trust Class A5 Series 2017-C6 | 3.328% | 6/10/50 | 5,540 | 6,136 | |
4,7 | DLL LLC Class A4 Series 2019-MT3 | 2.150% | 9/21/26 | 3,790 | 3,857 | |
4 | Drive Auto Receivables Trust Class D Series 2017-1 | 3.840% | 3/15/23 | 136 | 136 | |
4 | Drive Auto Receivables Trust Class D Series 2018-3 | 4.300% | 9/16/24 | 6,080 | 6,205 | |
4 | Drive Auto Receivables Trust Class D Series 2018-5 | 4.300% | 4/15/26 | 13,430 | 13,951 | |
4 | Drive Auto Receivables Trust Class D Series 2019-2 | 3.690% | 8/17/26 | 5,630 | 5,844 | |
4,6,7 | Edsouth Indenture No. 9 LLC Class A Series 2015-1, 1M USD LIBOR + 0.800% | 0.889% | 10/25/56 | 3,568 | 3,585 | |
4,6,7 | EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A | 3.580% | 11/25/38 | 2,472 | 2,565 | |
4,7 | Fair Square Issuance Trust Class A Series 2020-AA | 2.900% | 9/20/24 | 6,790 | 6,856 | |
4,7 | FirstKey Homes Trust Class A Series 2020-SFR2 | 1.266% | 10/19/37 | 5,288 | 5,298 | |
4,7 | Ford Credit Auto Owner Trust Class A Series 2018-1 | 3.190% | 7/15/31 | 19,160 | 20,675 | |
4,7 | Ford Credit Auto Owner Trust Class A Series 2020-1 | 2.040% | 8/15/31 | 8,520 | 8,889 | |
4 | Ford Credit Auto Owner Trust Class A4 Series 2019-A | 2.850% | 8/15/24 | 11,040 | 11,434 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2018-1 | 3.340% | 7/15/31 | 4,390 | 4,732 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-1 | 2.290% | 8/15/31 | 8,090 | 8,436 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-2 | 1.490% | 4/15/33 | 2,690 | 2,726 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2017-2 | 2.750% | 3/15/29 | 9,830 | 10,075 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2018-2 | 3.760% | 1/15/30 | 2,700 | 2,854 | |
4 | Ford Credit Auto Owner Trust Class C Series 2019-A | 3.250% | 9/15/25 | 4,520 | 4,712 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2020-1 | 2.540% | 8/15/31 | 3,000 | 3,145 | |
4 | GM Financial Automobile Leasing Trust Class C Series 2021-1 | 1.040% | 5/17/27 | 530 | 530 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2019-4 | 1.760% | 1/16/25 | 3,240 | 3,312 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4 | 1.050% | 5/18/26 | 1,200 | 1,202 | |
4,7 | Golden Credit Card Trust Class A Series 2018-4A | 3.440% | 8/15/25 | 13,328 | 14,139 | |
4,7 | GreatAmerica Leasing Receivables Funding LLC Class A4 Series 2019-1 | 3.210% | 2/18/25 | 2,540 | 2,614 | |
4,6 | GS Mortgage Securities Corp. II Class A5 Series 2018-GS10 | 4.155% | 7/10/51 | 1,065 | 1,236 | |
4 | GS Mortgage Securities Trust Class A3 Series 2015-GC34 | 3.244% | 10/10/48 | 7,544 | 8,003 | |
4 | GS Mortgage Securities Trust Class A3 Series 2017-GS6 | 3.433% | 5/10/50 | 5,920 | 6,570 | |
4 | GS Mortgage Securities Trust Class A4 Series 2013-GC12 | 3.135% | 6/10/46 | 4,128 | 4,296 | |
4 | GS Mortgage Securities Trust Class A4 Series 2013-GC14 | 3.955% | 8/10/46 | 5,899 | 6,118 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | GS Mortgage Securities Trust Class A4 Series 2014-GC26 | 3.364% | 11/10/47 | 7,602 | 8,044 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC28 | 3.136% | 2/10/48 | 8,999 | 9,520 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC30 | 3.382% | 5/10/50 | 2,398 | 2,593 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC32 | 3.764% | 7/10/48 | 4,615 | 5,074 | |
4 | GS Mortgage Securities Trust Class A4 Series 2016-GS3 | 2.850% | 10/10/49 | 2,220 | 2,389 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC38 | 3.968% | 2/10/52 | 3,080 | 3,553 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC40 | 3.160% | 7/10/52 | 6,528 | 7,205 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC42 | 3.001% | 9/1/52 | 7,000 | 7,651 | |
4,6 | GS Mortgage Securities Trust Class A5 Series 2013-GC13 | 4.052% | 7/10/46 | 185 | 196 | |
4 | GS Mortgage Securities Trust Class A5 Series 2014-GC20 | 3.998% | 4/10/47 | 6,289 | 6,738 | |
4 | GS Mortgage Securities Trust Class A5 Series 2020-GC45 | 2.911% | 2/13/53 | 18,170 | 19,728 | |
4 | GS Mortgage Securities Trust Class AAB Series 2020-GC45 | 2.843% | 2/13/53 | 7,336 | 7,954 | |
4,7 | GS Mortgage Securities Trust Class AS Series 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,033 | |
4 | GS Mortgage Securities Trust Class AS Series 2014-GC20 | 4.258% | 4/10/47 | 570 | 614 | |
4,6 | GS Mortgage Securities Trust Class AS Series 2014-GC24 | 4.162% | 9/10/47 | 6,520 | 7,066 | |
4,6 | GS Mortgage Securities Trust Class B Series 2013-GC12 | 3.777% | 6/10/46 | 1,550 | 1,613 | |
4,6 | GS Mortgage Securities Trust Class B Series 2014-GC24 | 4.515% | 9/10/47 | 2,610 | 2,731 | |
4,6,7 | GS Mortgage Securities Trust Class C Series 2013-GC13 | 4.085% | 7/10/46 | 1,210 | 1,188 | |
4,6 | GS Mortgage Securities Trust Class C Series 2014-GC24 | 4.536% | 9/10/47 | 4,615 | 4,381 | |
4,6 | GS Mortgage Securities Trust Class C Series 2015-GC34 | 4.648% | 10/10/48 | 2,610 | 2,774 | |
4,7 | Harley Marine Financing LLC Class A2 Series 2018-1A | 5.682% | 5/15/43 | 3,490 | 3,388 | |
4 | Harley-Davidson Motorcycle Trust Class A4 Series 2019-A | 2.390% | 11/15/26 | 4,110 | 4,218 | |
4,7 | Hertz Vehicle Financing LLC Class A Series 2021-2A | 1.680% | 12/27/27 | 4,260 | 4,315 | |
4,7 | Hertz Vehicle Financing LLC Class B Series 2021-1A | 1.560% | 12/26/25 | 2,220 | 2,232 | |
4,7 | Hertz Vehicle Financing LLC Class C Series 2021-1A | 2.050% | 12/26/25 | 1,050 | 1,057 | |
4,7 | Hilton USA Trust Class A Series 2016-HHV | 3.719% | 11/5/38 | 7,780 | 8,598 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2019-3 | 1.850% | 8/15/25 | 3,520 | 3,595 | |
4,7 | HPEFS Equipment Trust Class B Series 2020-1A | 1.890% | 2/20/30 | 2,300 | 2,331 | |
4,7 | HPEFS Equipment Trust Class C Series 2019-1A | 2.490% | 9/20/29 | 2,600 | 2,638 | |
4,7 | HPEFS Equipment Trust Class D Series 2019-1A | 2.720% | 9/20/29 | 1,200 | 1,224 | |
4,7 | Hudsons Bay Simon JV Trust Class A7 Series 2015-HB7 | 3.914% | 8/5/34 | 4,750 | 4,336 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2019-B | 2.000% | 4/15/25 | 1,850 | 1,904 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-A | 2.940% | 5/15/25 | 2,490 | 2,583 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-B | 2.210% | 4/15/25 | 530 | 549 | |
4 | Hyundai Auto Receivables Trust Class B Series 2021-B | 0.910% | 2/16/27 | 1,270 | 1,286 | |
4 | Hyundai Auto Receivables Trust Class C Series 2021-B | 1.120% | 2/15/28 | 1,350 | 1,370 | |
4,6,7 | Invitation Homes Trust Class A Series 2017-SFR2, 1M USD LIBOR + 0.850% | 0.939% | 12/17/36 | 13,019 | 13,028 | |
4,6,7 | Invitation Homes Trust Class A Series 2018-SFR1, 1M USD LIBOR + 0.700% | 0.789% | 3/17/37 | 8,056 | 8,033 | |
4,6,7 | Invitation Homes Trust Class B Series 2017-SFR2, 1M USD LIBOR + 1.150% | 1.239% | 12/17/36 | 4,929 | 4,924 | |
4,6,7 | Invitation Homes Trust Class B Series 2018-SFR1, 1M USD LIBOR + 0.950% | 1.039% | 3/17/37 | 2,250 | 2,248 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2010-C2 | 4.070% | 11/15/43 | 289 | 290 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2012-C6 | 3.507% | 5/15/45 | 2,972 | 3,019 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2013-C16 | 3.881% | 12/15/46 | 648 | 681 | |
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C13 | 3.994% | 1/15/46 | 286 | 302 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C16 | 4.166% | 12/15/46 | 3,223 | 3,454 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A5 Series 2012-LC9 | 2.840% | 12/15/47 | 2,911 | 2,971 | |
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class B Series 2013-C16 | 4.957% | 12/15/46 | 2,135 | 2,280 | |
4,6,7 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2010-C2 | 5.683% | 11/15/43 | 2,313 | 2,307 | |
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C13 | 4.077% | 1/15/46 | 2,550 | 2,673 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,6 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C16 | 5.022% | 12/15/46 | 960 | 988 | |
4,6,7 | JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2 | 5.683% | 11/15/43 | 2,730 | 2,373 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A3 Series 2014-C26 | 3.231% | 1/15/48 | 12,398 | 13,137 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A3 Series 2015-C31 | 3.801% | 8/15/48 | 11,540 | 12,640 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C12 | 3.363% | 7/15/45 | 5,108 | 5,278 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C14 | 4.133% | 8/15/46 | 4,612 | 4,829 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C17 | 4.199% | 1/15/47 | 760 | 818 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C19 | 3.997% | 4/15/47 | 3,680 | 3,954 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C21 | 3.493% | 8/15/47 | 4,309 | 4,555 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C26 | 3.494% | 1/15/48 | 2,821 | 3,053 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C27 | 3.179% | 2/15/48 | 9,941 | 10,635 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C30 | 3.551% | 7/15/48 | 4,640 | 5,020 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C33 | 3.770% | 12/15/48 | 7,300 | 8,101 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C12 | 3.664% | 7/15/45 | 915 | 959 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2014-C24 | 3.639% | 11/15/47 | 6,021 | 6,506 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2015-C32 | 3.598% | 11/15/48 | 3,878 | 4,209 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2013-C12 | 4.038% | 7/15/45 | 5,000 | 5,263 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2014-C18 | 4.439% | 2/15/47 | 600 | 645 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2015-C30 | 4.226% | 7/15/48 | 2,245 | 2,481 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class B Series 2014-C18 | 4.800% | 2/15/47 | 2,500 | 2,634 | |
4,6 | JPMBB Commercial Mortgage Securities Trust Class C Series 2014-C18 | 4.800% | 2/15/47 | 1,000 | 976 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A4 Series 2017-JP6 | 3.224% | 7/15/50 | 4,890 | 5,335 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP5 | 3.723% | 3/15/50 | 6,680 | 7,496 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP6 | 3.490% | 7/15/50 | 3,740 | 4,157 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP7 | 3.454% | 9/15/50 | 4,680 | 5,206 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A3 Series 2016-C4 | 3.141% | 12/15/49 | 2,840 | 3,108 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8 | 4.211% | 6/15/51 | 150 | 174 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7 | 3.409% | 10/15/50 | 1,860 | 2,074 | |
4,6,7 | Lanark Master Issuer plc Class 1A Series 2020-1A | 2.277% | 12/22/69 | 3,100 | 3,171 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2B Series 2017-C | 2.810% | 11/25/42 | 3,135 | 3,205 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B | 3.540% | 5/26/43 | 3,794 | 3,912 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2FX Series 2019-A | 2.730% | 10/25/48 | 5,003 | 5,164 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2018-A | 3.610% | 3/10/42 | 1,580 | 1,687 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2019-A | 3.080% | 11/12/41 | 2,630 | 2,788 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2013-C11 | 3.960% | 8/15/46 | 10,951 | 11,362 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2014-C15 | 3.773% | 4/15/47 | 8,793 | 9,341 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C23 | 3.451% | 7/15/50 | 5,379 | 5,793 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C24 | 3.479% | 5/15/48 | 4,232 | 4,562 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2012-C6 | 2.858% | 11/15/45 | 4,745 | 4,833 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C10 | 4.080% | 7/15/46 | 1,244 | 1,311 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C11 | 4.154% | 8/15/46 | 3,937 | 4,120 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C12 | 4.259% | 10/15/46 | 1,940 | 2,067 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C13 | 4.039% | 11/15/46 | 400 | 428 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C7 | 2.918% | 2/15/46 | 2,470 | 2,538 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C9 | 3.102% | 5/15/46 | 1,880 | 1,945 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C15 | 4.051% | 4/15/47 | 11,275 | 12,152 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C18 | 3.923% | 10/15/47 | 5,430 | 5,906 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C19 | 3.526% | 12/15/47 | 3,940 | 4,252 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C20 | 3.249% | 2/15/48 | 10,452 | 11,202 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C23 | 3.719% | 7/15/50 | 3,870 | 4,244 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C29 | 3.325% | 5/15/49 | 15,409 | 16,697 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C32 | 3.720% | 12/15/49 | 16,374 | 18,366 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2017-C34 | 3.536% | 11/15/52 | 6,550 | 7,324 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C14 | 4.064% | 2/15/47 | 2,300 | 2,472 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C16 | 3.892% | 6/15/47 | 4,798 | 5,176 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2015-C25 | 3.635% | 10/15/48 | 8,263 | 9,100 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2013-C7 | 3.214% | 2/15/46 | 2,000 | 2,058 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C14 | 4.384% | 2/15/47 | 1,600 | 1,721 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C16 | 4.094% | 6/15/47 | 935 | 1,005 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C17 | 4.011% | 8/15/47 | 1,380 | 1,486 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class B Series 2014-C16 | 4.334% | 6/15/47 | 7,090 | 7,373 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10 | 4.080% | 7/15/46 | 1,830 | 1,612 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15 | 4.899% | 4/15/47 | 1,140 | 1,187 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C16 | 4.767% | 6/15/47 | 2,400 | 2,395 | |
4,6 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2016-C29 | 4.733% | 5/15/49 | 1,090 | 1,159 | |
4 | Morgan Stanley Capital I Class A4 Series 2017-HR2 | 3.587% | 12/15/50 | 3,506 | 3,926 | |
4 | Morgan Stanley Capital I Class ASB Series 2017-HR2 | 3.509% | 12/15/50 | 2,800 | 3,056 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2014-150E | 3.912% | 9/9/32 | 3,670 | 3,945 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2015-420 | 3.727% | 10/12/50 | 2,308 | 2,463 | |
4 | Morgan Stanley Capital I Trust Class A3 Series 2016-BNK2 | 2.791% | 11/15/49 | 8,300 | 8,839 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-BNK2 | 3.049% | 11/15/49 | 5,260 | 5,728 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-UB11 | 2.782% | 8/15/49 | 2,778 | 2,982 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2021-L6 | 2.444% | 6/15/54 | 1,900 | 1,986 | |
4 | Morgan Stanley Capital I Trust Class AS Series 2012-C4 | 3.773% | 3/15/45 | 2,440 | 2,460 | |
4,6 | Morgan Stanley Capital I Trust Class C Series 2015-UBS8 | 4.582% | 12/15/48 | 1,610 | 1,580 | |
4,7 | MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV | 3.277% | 10/15/30 | 10,100 | 9,808 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2017-A | 2.880% | 12/16/58 | 4,274 | 4,386 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2018-BA | 3.610% | 12/15/59 | 3,862 | 3,999 | |
4,7 | Navient Private Education Refi Loan Trust Class A2A Series 2018-DA | 4.000% | 12/15/59 | 15,140 | 15,955 | |
4,7 | Navient Student Loan Trust Class A2A Series 2019-BA | 3.390% | 12/15/59 | 5,828 | 6,132 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2018-B | 3.160% | 12/16/24 | 5,220 | 5,350 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2019-A | 3.000% | 9/15/25 | 3,520 | 3,652 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2019-B | 2.540% | 12/15/25 | 9,540 | 9,853 | |
4,7 | Palisades Center Trust Class A Series 2016-PLSD | 2.713% | 4/13/33 | 8,980 | 8,400 | |
4,6,7 | Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% | 0.971% | 1/16/60 | 2,956 | 2,964 | |
4,6,7 | Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% | 1.084% | 6/20/60 | 1,590 | 1,590 | |
4,6,7 | Pepper Residential Securities Trust No. 23 Class A1U Series 23A, 1M USD LIBOR + 0.950% | 1.039% | 8/18/60 | 814 | 814 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,6,7 | PHEAA Student Loan Trust Class A Series 2016-2A, 1M USD LIBOR + 0.950% | 1.039% | 11/25/65 | 5,695 | 5,760 | |
4,6,7 | RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% | 0.953% | 12/5/59 | 3,773 | 3,781 | |
4,6,7 | RESIMAC MBS Trust Class A1A Series 2018-2A, 1M USD LIBOR + 0.850% | 0.950% | 4/10/50 | 788 | 787 | |
4,6,7 | RESIMAC Premier Class A1 Series 2018-1A, 1M USD LIBOR + 0.800% | 0.900% | 11/10/49 | 2,720 | 2,725 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-3 | 4.070% | 8/15/24 | 21,573 | 22,002 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-4 | 3.980% | 12/15/25 | 11,000 | 11,306 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-5 | 4.190% | 12/16/24 | 17,580 | 17,924 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2021-1 | 1.130% | 11/16/26 | 4,080 | 4,097 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2020-B | 1.980% | 10/20/25 | 7,460 | 7,574 | |
4,7 | Securitized Term Auto Receivables Trust Class A4 Series 2018-1A | 3.298% | 11/25/22 | 1,137 | 1,145 | |
4,7 | Securitized Term Auto Receivables Trust Class A4 Series 2018-2A | 3.544% | 6/26/23 | 3,370 | 3,408 | |
4,7 | SLM Private Education Loan Trust Class B Series 2014-A | 3.500% | 11/15/44 | 775 | 777 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2016-A | 2.700% | 5/15/31 | 2,402 | 2,463 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2017-B | 2.820% | 10/15/35 | 5,722 | 5,939 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-B | 3.600% | 1/15/37 | 7,625 | 8,117 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-C | 3.630% | 11/15/35 | 10,858 | 11,409 | |
4,6,7 | SoFi Professional Loan Program LLC Class A1 Series 2016-D, 1M USD LIBOR + 0.950% | 1.039% | 1/25/39 | 277 | 277 | |
4,6,7 | SoFi Professional Loan Program LLC Class A1 Series 2017-C, 1M USD LIBOR + 0.600% | 0.689% | 7/25/40 | 213 | 214 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2016-C | 2.360% | 12/27/32 | 486 | 491 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2017-A | 2.400% | 3/26/40 | 322 | 327 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2018-A | 2.950% | 2/25/42 | 3,273 | 3,323 | |
4,7 | SoFi Professional Loan Program LLC Class A2BSeries 2016-B | 2.740% | 10/25/32 | 624 | 630 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-B | 2.740% | 5/25/40 | 1,864 | 1,884 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-F | 2.840% | 1/25/41 | 2,954 | 3,021 | |
4 | Synchrony Credit Card Master Note Trust Class C Series 2017-2 | 3.010% | 10/15/25 | 6,390 | 6,573 | |
4,7 | Taco Bell Funding LLC Class A2II Series 2016-1A | 4.377% | 5/25/46 | 3,552 | 3,553 | |
4,7 | TMSQ Mortgage Trust Class A Series 2014-1500 | 3.680% | 10/10/36 | 2,800 | 2,969 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2021-1A | 1.070% | 2/27/34 | 8,210 | 8,232 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2019-A | 3.000% | 5/15/24 | 2,350 | 2,433 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2019-D | 1.990% | 2/18/25 | 5,980 | 6,160 | |
4,7 | Trafigura Securitisation Finance plc Class A2 Series 2018-1A | 3.730% | 3/15/22 | 21,540 | 21,625 | |
4,7 | Trinity Rail Leasing LLC Class A2 Series 2018-1A | 4.620% | 6/17/48 | 10,260 | 10,663 | |
4 | UBS Commercial Mortgage Trust Class A4 Series 2017-C7 | 3.679% | 12/15/50 | 6,673 | 7,521 | |
4 | UBS Commercial Mortgage Trust Class AS Series 2012-C1 | 4.171% | 5/10/45 | 1,200 | 1,221 | |
4 | UBS Commercial Mortgage Trust Class ASB Series 2019-C16 | 3.460% | 4/15/52 | 2,287 | 2,529 | |
4,7 | UBS-BAMLL Trust Class A Series 2012-WRM | 3.663% | 6/10/30 | 6,673 | 6,662 | |
4 | UBS-Barclays Commercial Mortgage Trust Class A4 Series 2013-C6 | 3.244% | 4/10/46 | 3,970 | 4,111 | |
4 | UBS-Barclays Commercial Mortgage Trust Class AS Series 2013-C6 | 3.469% | 4/10/46 | 1,160 | 1,200 | |
4 | Verizon Owner Trust Class C Series 2020-B | 0.830% | 2/20/25 | 5,860 | 5,892 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2015-C30 | 3.411% | 9/15/58 | 6,800 | 7,375 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2016-BNK1 | 2.652% | 8/15/49 | 4,470 | 4,774 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2013-LC12 | 4.218% | 7/15/46 | 2,773 | 2,927 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C29 | 3.637% | 6/15/48 | 16,693 | 18,300 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C30 | 3.664% | 9/15/58 | 4,380 | 4,820 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-LC22 | 3.839% | 9/15/58 | 10,834 | 12,010 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2016-C37 | 3.525% | 12/15/49 | 2,190 | 2,391 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C39 | 3.157% | 9/15/50 | 4,270 | 4,616 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40 | 3.581% | 10/15/50 | 2,880 | 3,220 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1 | 3.631% | 1/15/60 | 2,712 | 3,029 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46 | 4.152% | 8/15/51 | 1,115 | 1,292 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47 | 4.442% | 9/15/61 | 1,090 | 1,286 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2019-C54 | 3.146% | 12/15/52 | 2,390 | 2,635 | |
4 | Wells Fargo Commercial Mortgage Trust Class A5 Series 2014-LC18 | 3.405% | 12/15/47 | 13,210 | 14,267 | |
4 | Wells Fargo Commercial Mortgage Trust Class AS Series 2012-LC5 | 3.539% | 10/15/45 | 7,210 | 7,409 | |
4 | Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16 | 4.020% | 8/15/50 | 700 | 730 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-C30 | 4.067% | 9/15/58 | 2,250 | 2,471 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,6 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-LC22 | 4.207% | 9/15/58 | 2,045 | 2,262 | |
4 | Wells Fargo Commercial Mortgage Trust Class ASB Series 2019-C49 | 3.933% | 3/15/52 | 3,250 | 3,677 | |
4 | Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16 | 4.322% | 8/15/50 | 1,300 | 1,244 | |
4 | Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16 | 4.458% | 8/15/50 | 1,450 | 1,039 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class C Series 2015-LC22 | 4.557% | 9/15/58 | 5,225 | 5,468 | |
4,6 | Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43 | 4.514% | 3/15/51 | 12,380 | 13,068 | |
4,6,7 | WFLD Mortgage Trust Class A Series 2014-MONT | 3.755% | 8/10/31 | 4,640 | 4,903 | |
4,6 | WFRBS Commercial Mortgage Trust Class A4 Series 2013-C15 | 4.153% | 8/15/46 | 6,044 | 6,399 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-C21 | 3.410% | 8/15/47 | 1,427 | 1,517 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14 | 3.766% | 3/15/47 | 884 | 937 | |
4,6 | WFRBS Commercial Mortgage Trust Class A5 Series 2013-C18 | 4.162% | 12/15/46 | 2,378 | 2,563 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C19 | 4.101% | 3/15/47 | 10,595 | 11,441 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C20 | 3.995% | 5/15/47 | 8,175 | 8,836 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C21 | 3.678% | 8/15/47 | 7,786 | 8,411 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C23 | 3.917% | 10/15/57 | 4,167 | 4,542 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2012-C9 | 3.388% | 11/15/45 | 2,870 | 2,950 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2013-C13 | 3.345% | 5/15/45 | 2,220 | 2,303 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2014-C21 | 3.891% | 8/15/47 | 700 | 739 | |
4,6 | WFRBS Commercial Mortgage Trust Class B Series 2013-C18 | 4.864% | 12/15/46 | 1,085 | 1,147 | |
4 | WFRBS Commercial Mortgage Trust Class B Series 2014-C20 | 4.378% | 5/15/47 | 2,410 | 2,348 | |
4,6 | WFRBS Commercial Mortgage Trust Class C Series 2014-C20 | 4.513% | 5/15/47 | 1,410 | 1,373 | |
4 | World Omni Auto Receivables Trust Class A4 Series 2018-D | 3.440% | 12/16/24 | 1,770 | 1,837 | |
4 | World Omni Auto Receivables Trust Class A4 Series 2019-A | 3.220% | 6/16/25 | 3,060 | 3,181 | |
4 | World Omni Auto Receivables Trust Class B Series 2018-A | 2.890% | 4/15/25 | 3,820 | 3,876 | |
4 | World Omni Auto Receivables Trust Class B Series 2019-B | 2.860% | 6/16/25 | 2,510 | 2,600 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,739,213) | 1,813,560 | |||||
Corporate Bonds (82.2%) | ||||||
Communications (6.8%) | ||||||
Activision Blizzard Inc. | 3.400% | 9/15/26 | 343 | 380 | ||
Activision Blizzard Inc. | 1.350% | 9/15/30 | 12,392 | 11,789 | ||
AT&T Inc. | 2.300% | 6/1/27 | 59,457 | 62,293 | ||
AT&T Inc. | 1.650% | 2/1/28 | 42,893 | 42,984 | ||
AT&T Inc. | 4.100% | 2/15/28 | 7,733 | 8,877 | ||
AT&T Inc. | 4.350% | 3/1/29 | 36,556 | 42,556 | ||
AT&T Inc. | 4.300% | 2/15/30 | 43,644 | 50,898 | ||
AT&T Inc. | 2.750% | 6/1/31 | 47,000 | 49,582 | ||
AT&T Inc. | 2.250% | 2/1/32 | 3,914 | 3,905 | ||
Booking Holdings Inc. | 4.625% | 4/13/30 | 55,630 | 67,069 | ||
7 | British Telecommunications plc | 3.250% | 11/8/29 | 30,000 | 31,816 | |
7 | Cable One Inc. | 4.000% | 11/15/30 | 2,555 | 2,579 | |
CBS Corp. | 7.875% | 7/30/30 | 304 | 438 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.750% | 2/15/28 | 13,609 | 15,122 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.200% | 3/15/28 | 24,890 | 28,304 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.050% | 3/30/29 | 24,184 | 28,850 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.800% | 4/1/31 | 22,000 | 22,779 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.300% | 2/1/32 | 15,000 | 14,723 | ||
7 | Cogent Communications Group Inc. | 3.500% | 5/1/26 | 1,475 | 1,519 | |
Comcast Corp. | 2.350% | 1/15/27 | 53,381 | 56,403 | ||
Comcast Corp. | 3.300% | 2/1/27 | 2,000 | 2,206 | ||
Comcast Corp. | 3.300% | 4/1/27 | 15,000 | 16,629 | ||
Comcast Corp. | 3.150% | 2/15/28 | 35,747 | 39,412 | ||
Comcast Corp. | 3.550% | 5/1/28 | 15,000 | 16,875 | ||
Comcast Corp. | 4.150% | 10/15/28 | 81,690 | 95,188 | ||
Comcast Corp. | 2.650% | 2/1/30 | 12,290 | 13,054 | ||
Comcast Corp. | 3.400% | 4/1/30 | 37,386 | 41,724 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Comcast Corp. | 4.250% | 10/15/30 | 3,753 | 4,460 | ||
Comcast Corp. | 1.950% | 1/15/31 | 20,000 | 20,021 | ||
Comcast Corp. | 1.500% | 2/15/31 | 2,000 | 1,928 | ||
7 | Cox Communications Inc. | 2.600% | 6/15/31 | 30,000 | 30,979 | |
7 | CSC Holdings LLC | 5.375% | 2/1/28 | 1,980 | 2,095 | |
7 | CSC Holdings LLC | 6.500% | 2/1/29 | 2,790 | 3,084 | |
7 | CSC Holdings LLC | 4.625% | 12/1/30 | 2,678 | 2,636 | |
7 | CSC Holdings LLC | 4.500% | 11/15/31 | 3,795 | 3,828 | |
7 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 9,350 | 10,966 | |
7 | DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 8/15/27 | 943 | 976 | |
Discovery Communications LLC | 3.950% | 6/15/25 | 3,715 | 4,093 | ||
Discovery Communications LLC | 4.900% | 3/11/26 | 29,563 | 33,890 | ||
Discovery Communications LLC | 3.950% | 3/20/28 | 27,237 | 30,628 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 9,315 | 10,614 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 15,314 | 16,898 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 5,000 | 5,374 | ||
Electronic Arts Inc. | 1.850% | 2/15/31 | 49,437 | 48,987 | ||
Expedia Group Inc. | 5.000% | 2/15/26 | 7,000 | 7,971 | ||
Expedia Group Inc. | 4.625% | 8/1/27 | 22,670 | 25,837 | ||
Expedia Group Inc. | 3.800% | 2/15/28 | 39,000 | 42,721 | ||
Expedia Group Inc. | 2.950% | 3/15/31 | 13,000 | 13,348 | ||
Fox Corp. | 4.709% | 1/25/29 | 61,320 | 72,511 | ||
Fox Corp. | 3.500% | 4/8/30 | 18,000 | 20,041 | ||
Fox Corp. | 5.576% | 1/25/49 | 1,380 | 1,905 | ||
7 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 805 | 863 | |
7 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 3,840 | 3,974 | |
7 | Frontier Communications Holdings LLC | 6.750% | 5/1/29 | 1,330 | 1,426 | |
Interpublic Group of Cos. Inc. | 4.750% | 3/30/30 | 364 | 439 | ||
Interpublic Group of Cos. Inc. | 2.400% | 3/1/31 | 30,000 | 30,717 | ||
Lamar Media Corp. | 3.750% | 2/15/28 | 1,400 | 1,426 | ||
7 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 6,088 | 6,328 | |
7 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 545 | 555 | |
7 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 1,920 | 1,868 | |
7 | Netflix Inc. | 3.625% | 6/15/25 | 4,810 | 5,168 | |
Netflix Inc. | 4.875% | 4/15/28 | 5,535 | 6,470 | ||
Netflix Inc. | 5.875% | 11/15/28 | 5,935 | 7,374 | ||
7 | Netflix Inc. | 4.875% | 6/15/30 | 1,603 | 1,932 | |
7 | News Corp. | 3.875% | 5/15/29 | 3,448 | 3,513 | |
7 | Nexstar Media Inc. | 5.625% | 7/15/27 | 2,250 | 2,379 | |
7 | Nexstar Media Inc. | 4.750% | 11/1/28 | 2,340 | 2,416 | |
7 | NTT Finance Corp. | 2.065% | 4/3/31 | 4,955 | 5,099 | |
Omnicom Group Inc. | 2.600% | 8/1/31 | 45,000 | 46,551 | ||
7 | Playtika Holding Corp. | 4.250% | 3/15/29 | 2,325 | 2,320 | |
7 | QualityTech LP / QTS Finance Corp. | 3.875% | 10/1/28 | 1,325 | 1,420 | |
Qwest Corp. | 7.250% | 9/15/25 | 4,554 | 5,381 | ||
8 | RELX Finance BV | 0.875% | 3/10/32 | 700 | 867 | |
7 | Scripps Escrow II Inc. | 3.875% | 1/15/29 | 3,755 | 3,756 | |
7 | Sirius XM Radio Inc. | 4.625% | 7/15/24 | 2,100 | 2,155 | |
7 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 1,810 | 1,896 | |
7 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 520 | 536 | |
Sprint Corp. | 7.125% | 6/15/24 | 5,555 | 6,388 | ||
Sprint Corp. | 7.625% | 3/1/26 | 1,085 | 1,325 | ||
7 | Switch Ltd. | 4.125% | 6/15/29 | 1,540 | 1,586 | |
7 | Tegna Inc. | 4.750% | 3/15/26 | 2,040 | 2,171 | |
Telefonica Emisiones SA | 4.103% | 3/8/27 | 38,943 | 44,053 | ||
T-Mobile USA Inc. | 4.500% | 2/1/26 | 4,320 | 4,423 | ||
T-Mobile USA Inc. | 1.500% | 2/15/26 | 11,419 | 11,556 | ||
T-Mobile USA Inc. | 3.750% | 4/15/27 | 134,017 | 149,429 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 339 | 348 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 4,065 | 4,065 | ||
7 | T-Mobile USA Inc. | 3.375% | 4/15/29 | 3,610 | 3,762 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 130,135 | 147,055 | ||
T-Mobile USA Inc. | 2.875% | 2/15/31 | 827 | 831 | ||
7 | T-Mobile USA Inc. | 3.500% | 4/15/31 | 1,605 | 1,685 | |
T-Mobile USA Inc. | 2.250% | 11/15/31 | 7,000 | 7,028 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 2,000 | 2,436 | ||
7 | Twitter Inc. | 3.875% | 12/15/27 | 2,591 | 2,774 | |
Verisign Inc. | 2.700% | 6/15/31 | 30,000 | 31,092 | ||
9 | Verizon Communications Inc. | 4.050% | 2/17/25 | 15,310 | 12,376 | |
Verizon Communications Inc. | 4.125% | 3/16/27 | 44,892 | 51,442 | ||
Verizon Communications Inc. | 3.000% | 3/22/27 | 56,875 | 61,711 | ||
9 | Verizon Communications Inc. | 4.500% | 8/17/27 | 8,500 | 7,196 | |
Verizon Communications Inc. | 2.100% | 3/22/28 | 138,235 | 142,286 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 40,128 | 47,101 | ||
Verizon Communications Inc. | 3.875% | 2/8/29 | 1,000 | 1,149 | ||
Verizon Communications Inc. | 4.016% | 12/3/29 | 10,000 | 11,567 | ||
Verizon Communications Inc. | 3.150% | 3/22/30 | 42,200 | 45,988 | ||
Verizon Communications Inc. | 1.500% | 9/18/30 | 2,000 | 1,939 | ||
Verizon Communications Inc. | 1.750% | 1/20/31 | 23,269 | 22,621 | ||
Verizon Communications Inc. | 2.550% | 3/21/31 | 96,531 | 100,357 | ||
ViacomCBS Inc. | 3.700% | 6/1/28 | 17,000 | 19,095 | ||
ViacomCBS Inc. | 4.950% | 1/15/31 | 44,871 | 54,695 | ||
ViacomCBS Inc. | 4.200% | 5/19/32 | 3,000 | 3,507 | ||
7 | Videotron Ltd. | 3.625% | 6/15/29 | 1,584 | 1,628 | |
Vodafone Group plc | 4.375% | 5/30/28 | 39,173 | 45,864 | ||
Vodafone Group plc | 4.875% | 6/19/49 | 3,000 | 3,829 | ||
Vodafone Group plc | 4.125% | 6/4/81 | 23,770 | 24,048 | ||
Walt Disney Co. | 3.375% | 11/15/26 | 44,928 | 49,823 | ||
Walt Disney Co. | 3.700% | 3/23/27 | 11,162 | 12,641 | ||
Walt Disney Co. | 2.200% | 1/13/28 | 5,160 | 5,400 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 44,664 | 45,781 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 2,000 | 2,311 | ||
10 | WPP Finance 2013 | 2.875% | 9/14/46 | 1,800 | 2,620 | |
10 | WPP Finance SA | 3.750% | 5/19/32 | 9,250 | 14,908 | |
7 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 2,710 | 2,698 | |
7 | Zayo Group Holdings Inc. | 6.125% | 3/1/28 | 4,817 | 4,900 | |
2,552,062 | ||||||
Consumer Discretionary (5.1%) | ||||||
7 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 1,780 | 1,795 | |
7 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 4,956 | 5,033 | |
7 | 1011778 BC ULC / New Red Finance Inc. | 4.000% | 10/15/30 | 4,481 | 4,470 | |
Advance Auto Parts Inc. | 3.900% | 4/15/30 | 300 | 339 | ||
Amazon.com Inc. | 3.150% | 8/22/27 | 22,515 | 25,011 | ||
Amazon.com Inc. | 1.650% | 5/12/28 | 40,000 | 40,816 | ||
Amazon.com Inc. | 1.500% | 6/3/30 | 2,000 | 1,982 | ||
Amazon.com Inc. | 2.100% | 5/12/31 | 35,000 | 36,151 | ||
7 | Ambience Merger Sub Inc. | 4.875% | 7/15/28 | 790 | 793 | |
7 | Ambience Merger Sub Inc. | 7.125% | 7/15/29 | 1,575 | 1,594 | |
7 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 3,680 | 3,777 | |
7 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 7,090 | 7,070 | |
American Honda Finance Corp. | 1.800% | 1/13/31 | 20,000 | 20,134 | ||
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 4,277 | 4,449 | ||
Asbury Automotive Group Inc. | 4.750% | 3/1/30 | 7,697 | 8,183 | ||
AutoNation Inc. | 1.950% | 8/1/28 | 10,000 | 10,029 | ||
AutoZone Inc. | 3.750% | 6/1/27 | 16,000 | 18,031 | ||
AutoZone Inc. | 3.750% | 4/18/29 | 6,000 | 6,791 | ||
AutoZone Inc. | 4.000% | 4/15/30 | 26,000 | 29,993 | ||
AutoZone Inc. | 1.650% | 1/15/31 | 53,522 | 51,717 | ||
Best Buy Co. Inc. | 4.450% | 10/1/28 | 14,000 | 16,395 | ||
Best Buy Co. Inc. | 1.950% | 10/1/30 | 21,000 | 20,696 | ||
7 | BMW U.S. Capital LLC | 2.550% | 4/1/31 | 20,000 | 21,230 | |
BorgWarner Inc. | 2.650% | 7/1/27 | 59,326 | 63,366 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Boyd Gaming Corp. | 8.625% | 6/1/25 | 3,040 | 3,324 | |
7 | Builders Firstsource Inc. | 4.250% | 2/1/32 | 785 | 803 | |
7 | Caesars Entertainment Inc. | 8.125% | 7/1/27 | 4,034 | 4,442 | |
7 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 329 | 346 | |
7 | Carnival Corp. | 11.500% | 4/1/23 | 463 | 522 | |
7 | Carnival Corp. | 7.625% | 3/1/26 | 1,256 | 1,331 | |
7 | Carnival Corp. | 4.000% | 8/1/28 | 4,715 | 4,704 | |
7 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP | 5.500% | 5/1/25 | 4,941 | 5,131 | |
7 | Churchill Downs Inc. | 5.500% | 4/1/27 | 5,242 | 5,455 | |
7 | Churchill Downs Inc. | 4.750% | 1/15/28 | 6,159 | 6,401 | |
7 | Clarios Global LP | 6.750% | 5/15/25 | 585 | 621 | |
7 | Clarios Global LP / Clarios US Finance Co. | 8.500% | 5/15/27 | 5,830 | 6,294 | |
7 | Daimler Finance North America LLC | 1.450% | 3/2/26 | 65,000 | 65,841 | |
eBay Inc. | 2.700% | 3/11/30 | 20,080 | 21,169 | ||
eBay Inc. | 2.600% | 5/10/31 | 20,000 | 20,785 | ||
Ford Motor Co. | 8.500% | 4/21/23 | 1,135 | 1,261 | ||
Ford Motor Credit Co. LLC | 3.087% | 1/9/23 | 760 | 775 | ||
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 645 | 690 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 3,930 | 4,106 | ||
Ford Motor Credit Co. LLC | 4.271% | 1/9/27 | 1,250 | 1,347 | ||
Ford Motor Credit Co. LLC | 4.125% | 8/17/27 | 7,206 | 7,721 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 1,020 | 1,074 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/16/28 | 2,330 | 2,335 | ||
General Motors Co. | 6.125% | 10/1/25 | 15,000 | 17,775 | ||
General Motors Co. | 4.200% | 10/1/27 | 25,000 | 28,150 | ||
General Motors Co. | 6.800% | 10/1/27 | 10,000 | 12,722 | ||
General Motors Co. | 5.000% | 10/1/28 | 15,000 | 17,658 | ||
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 25,123 | 27,857 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 30,000 | 29,968 | ||
General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 10,506 | 11,678 | ||
General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 17,000 | 19,260 | ||
General Motors Financial Co. Inc. | 2.700% | 8/20/27 | 12,676 | 13,301 | ||
General Motors Financial Co. Inc. | 3.850% | 1/5/28 | 464 | 515 | ||
General Motors Financial Co. Inc. | 2.400% | 4/10/28 | 25,000 | 25,654 | ||
General Motors Financial Co. Inc. | 3.600% | 6/21/30 | 7,000 | 7,688 | ||
Goodyear Tire & Rubber Co. | 9.500% | 5/31/25 | 891 | 986 | ||
Harley-Davidson Inc. | 3.500% | 7/28/25 | 17,000 | 18,384 | ||
7 | Hilton Domestic Operating Co. Inc. | 5.375% | 5/1/25 | 6,145 | 6,435 | |
7 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 2,632 | 2,836 | |
Home Depot Inc. | 3.900% | 12/6/28 | 24,033 | 28,099 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 71,145 | 78,555 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 2,000 | 2,165 | ||
Hyatt Hotels Corp. | 5.750% | 4/23/30 | 553 | 677 | ||
7 | International Game Technology plc | 4.125% | 4/15/26 | 900 | 937 | |
7 | International Game Technology plc | 6.250% | 1/15/27 | 385 | 437 | |
Kohl's Corp. | 3.375% | 5/1/31 | 15,000 | 15,717 | ||
Lennar Corp. | 5.250% | 6/1/26 | 1,702 | 1,977 | ||
Lennar Corp. | 5.000% | 6/15/27 | 10,000 | 11,698 | ||
Lennar Corp. | 4.750% | 11/29/27 | 25,272 | 29,493 | ||
7 | Lithia Motors Inc. | 4.625% | 12/15/27 | 1,540 | 1,638 | |
7 | Lithia Motors Inc. | 3.875% | 6/1/29 | 4,000 | 4,216 | |
7 | Lithia Motors Inc. | 4.375% | 1/15/31 | 3,450 | 3,759 | |
7 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 545 | 567 | |
7 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 3,302 | 3,656 | |
7 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 2,980 | 2,988 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 9,000 | 9,893 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 29,730 | 29,347 | ||
Lowe's Cos. Inc. | 3.650% | 4/5/29 | 18,557 | 20,990 | ||
Lowe's Cos. Inc. | 1.700% | 10/15/30 | 24,460 | 23,932 | ||
Lowe's Cos. Inc. | 2.625% | 4/1/31 | 7,000 | 7,362 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Lowe's Cos. Inc. | 5.125% | 4/15/50 | 2,000 | 2,764 | ||
Magna International Inc. | 2.450% | 6/15/30 | 35,820 | 37,144 | ||
Marriott International Inc. | 5.750% | 5/1/25 | 8,000 | 9,236 | ||
Marriott International Inc. | 4.625% | 6/15/30 | 33,741 | 39,143 | ||
Marriott International Inc. | 2.850% | 4/15/31 | 33,822 | 34,703 | ||
Masco Corp. | 1.500% | 2/15/28 | 12,000 | 11,889 | ||
Masco Corp. | 2.000% | 10/1/30 | 10,000 | 9,939 | ||
7 | Masonite International Corp. | 3.500% | 2/15/30 | 1,580 | 1,592 | |
McDonald's Corp. | 3.500% | 3/1/27 | 8,318 | 9,242 | ||
McDonald's Corp. | 3.500% | 7/1/27 | 13,000 | 14,527 | ||
McDonald's Corp. | 2.625% | 9/1/29 | 22,939 | 24,444 | ||
McDonald's Corp. | 3.600% | 7/1/30 | 21,000 | 23,877 | ||
McDonald's Corp. | 4.200% | 4/1/50 | 2,000 | 2,469 | ||
7 | Meritage Homes Corp. | 3.875% | 4/15/29 | 8,270 | 8,732 | |
7 | NCL Corp. Ltd. | 5.875% | 3/15/26 | 4,500 | 4,533 | |
7 | Nissan Motor Acceptance Corp. | 2.000% | 3/9/26 | 22,000 | 22,370 | |
7 | Nissan Motor Co. Ltd. | 3.522% | 9/17/25 | 12,000 | 12,872 | |
7 | Nissan Motor Co. Ltd. | 4.345% | 9/17/27 | 72,500 | 80,610 | |
8 | Nissan Motor Co. Ltd. | 3.201% | 9/17/28 | 800 | 1,088 | |
O'Reilly Automotive Inc. | 3.600% | 9/1/27 | 9,905 | 11,209 | ||
O'Reilly Automotive Inc. | 3.900% | 6/1/29 | 12,000 | 13,724 | ||
O'Reilly Automotive Inc. | 1.750% | 3/15/31 | 10,250 | 10,037 | ||
7 | Penn National Gaming Inc. | 5.625% | 1/15/27 | 580 | 601 | |
PulteGroup Inc. | 5.500% | 3/1/26 | 4,850 | 5,681 | ||
PulteGroup Inc. | 5.000% | 1/15/27 | 1,485 | 1,743 | ||
Ralph Lauren Corp. | 2.950% | 6/15/30 | 53,110 | 57,348 | ||
Ross Stores Inc. | 1.875% | 4/15/31 | 20,000 | 19,748 | ||
7 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 325 | 369 | |
7 | Royal Caribbean Cruises Ltd. | 9.125% | 6/15/23 | 325 | 354 | |
7 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 655 | 750 | |
Starbucks Corp. | 3.500% | 3/1/28 | 5,620 | 6,327 | ||
Starbucks Corp. | 4.000% | 11/15/28 | 359 | 418 | ||
Starbucks Corp. | 3.550% | 8/15/29 | 7,131 | 8,072 | ||
Starbucks Corp. | 2.250% | 3/12/30 | 10,250 | 10,546 | ||
Starbucks Corp. | 2.550% | 11/15/30 | 12,000 | 12,638 | ||
Starbucks Corp. | 4.500% | 11/15/48 | 5,000 | 6,410 | ||
TJX Cos. Inc. | 3.875% | 4/15/30 | 29,686 | 34,451 | ||
Toll Brothers Finance Corp. | 4.350% | 2/15/28 | 15,328 | 17,019 | ||
Toll Brothers Finance Corp. | 3.800% | 11/1/29 | 4,256 | 4,601 | ||
Toyota Motor Credit Corp. | 3.200% | 1/11/27 | 2,000 | 2,216 | ||
Toyota Motor Credit Corp. | 1.900% | 4/6/28 | 27,000 | 27,886 | ||
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 33,466 | 38,621 | ||
Toyota Motor Credit Corp. | 3.375% | 4/1/30 | 25,000 | 28,502 | ||
Toyota Motor Credit Corp. | 1.650% | 1/10/31 | 5,000 | 5,004 | ||
Tractor Supply Co. | 1.750% | 11/1/30 | 10,000 | 9,743 | ||
Tri Pointe Homes Inc. | 5.700% | 6/15/28 | 1,650 | 1,827 | ||
7 | Vail Resorts Inc. | 6.250% | 5/15/25 | 5,383 | 5,720 | |
8 | Volkswagen Financial Services AG | 2.250% | 10/16/26 | 11,850 | 15,687 | |
7 | Volkswagen Group of America Finance LLC | 1.250% | 11/24/25 | 5,000 | 5,012 | |
7 | Volkswagen Group of America Finance LLC | 3.200% | 9/26/26 | 5,000 | 5,437 | |
7 | Volkswagen Group of America Finance LLC | 1.625% | 11/24/27 | 19,500 | 19,495 | |
8 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 23,853 | 29,717 | |
Whirlpool Corp. | 4.750% | 2/26/29 | 32,000 | 38,268 | ||
Whirlpool Corp. | 2.400% | 5/15/31 | 15,000 | 15,375 | ||
7 | William Carter Co. | 5.500% | 5/15/25 | 2,649 | 2,789 | |
7 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 1,379 | 1,425 | |
7 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 4,375 | 4,517 | |
1,915,754 | ||||||
Consumer Staples (5.0%) | ||||||
7 | 7-Eleven Inc. | 1.300% | 2/10/28 | 71,032 | 69,446 | |
7 | 7-Eleven Inc. | 1.800% | 2/10/31 | 28,300 | 27,630 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Alimentation Couche-Tard Inc. | 3.550% | 7/26/27 | 46,114 | 51,310 | |
Altria Group Inc. | 4.400% | 2/14/26 | 10,977 | 12,464 | ||
Altria Group Inc. | 2.625% | 9/16/26 | 16,076 | 17,035 | ||
Altria Group Inc. | 4.800% | 2/14/29 | 51,142 | 59,922 | ||
Altria Group Inc. | 3.400% | 5/6/30 | 10,000 | 10,771 | ||
Altria Group Inc. | 2.450% | 2/4/32 | 25,000 | 24,638 | ||
Altria Group Inc. | 4.250% | 8/9/42 | 5,000 | 5,325 | ||
Altria Group Inc. | 4.450% | 5/6/50 | 2,000 | 2,170 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.000% | 4/13/28 | 68,436 | 78,410 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 1/23/29 | 45,422 | 54,588 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.500% | 6/1/30 | 49,850 | 56,038 | ||
BAT Capital Corp. | 3.215% | 9/6/26 | 43,800 | 46,923 | ||
BAT Capital Corp. | 4.700% | 4/2/27 | 62,771 | 71,443 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 49,337 | 53,419 | ||
BAT Capital Corp. | 2.259% | 3/25/28 | 24,294 | 24,485 | ||
BAT Capital Corp. | 3.462% | 9/6/29 | 26,330 | 28,255 | ||
BAT Capital Corp. | 3.984% | 9/25/50 | 2,000 | 1,992 | ||
10 | BAT International Finance plc | 2.250% | 9/9/52 | 3,534 | 3,848 | |
Bunge Ltd. Finance Corp. Co. | 1.630% | 8/17/25 | 3,470 | 3,529 | ||
Campbell Soup Co. | 4.150% | 3/15/28 | 4,000 | 4,589 | ||
Clorox Co. | 1.800% | 5/15/30 | 15,000 | 15,000 | ||
Coca-Cola Co. | 1.650% | 6/1/30 | 10,000 | 10,004 | ||
Coca-Cola Co. | 2.000% | 3/5/31 | 30,000 | 30,835 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 10,000 | 9,840 | ||
Conagra Brands Inc. | 4.850% | 11/1/28 | 35,000 | 42,048 | ||
Constellation Brands Inc. | 3.500% | 5/9/27 | 19,885 | 22,042 | ||
Constellation Brands Inc. | 3.600% | 2/15/28 | 12,590 | 14,101 | ||
Constellation Brands Inc. | 4.650% | 11/15/28 | 19,615 | 23,291 | ||
Constellation Brands Inc. | 3.150% | 8/1/29 | 28,034 | 30,426 | ||
Costco Wholesale Corp. | 1.600% | 4/20/30 | 24,000 | 23,992 | ||
Diageo Capital plc | 3.875% | 5/18/28 | 8,000 | 9,235 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,465 | 20,473 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,765 | 11,956 | ||
Dollar General Corp. | 4.125% | 5/1/28 | 4,650 | 5,392 | ||
Dollar General Corp. | 3.500% | 4/3/30 | 39,752 | 44,605 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 5,250 | 5,568 | ||
Estee Lauder Cos. Inc. | 1.950% | 3/15/31 | 10,000 | 10,197 | ||
Flowers Foods Inc. | 2.400% | 3/15/31 | 10,000 | 10,184 | ||
General Mills Inc. | 4.200% | 4/17/28 | 21,570 | 25,004 | ||
General Mills Inc. | 2.875% | 4/15/30 | 47,085 | 50,742 | ||
Grupo Bimbo SAB de CV | 4.500% | 1/25/22 | 1,010 | 1,029 | ||
Hershey Co. | 1.700% | 6/1/30 | 5,000 | 5,046 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 27,500 | 27,968 | ||
Hormel Foods Corp. | 1.800% | 6/11/30 | 14,910 | 15,051 | ||
8 | Imperial Brands Finance Netherlands BV | 1.750% | 3/18/33 | 200 | 245 | |
JM Smucker Co. | 3.375% | 12/15/27 | 32,727 | 36,230 | ||
JM Smucker Co. | 2.375% | 3/15/30 | 14,985 | 15,587 | ||
Kellogg Co. | 4.300% | 5/15/28 | 16,000 | 18,721 | ||
Kellogg Co. | 2.100% | 6/1/30 | 18,735 | 19,043 | ||
Keurig Dr Pepper Inc. | 2.550% | 9/15/26 | 530 | 566 | ||
Keurig Dr Pepper Inc. | 4.597% | 5/25/28 | 50,809 | 60,180 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 12,445 | 13,779 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 8,990 | 9,914 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 2,678 | 3,332 | ||
Kroger Co. | 4.500% | 1/15/29 | 4,000 | 4,780 | ||
Kroger Co. | 2.200% | 5/1/30 | 23,600 | 24,083 | ||
7 | Lamb Weston Holdings Inc. | 4.625% | 11/1/24 | 1,310 | 1,346 | |
7 | Lamb Weston Holdings Inc. | 4.875% | 11/1/26 | 2,178 | 2,246 | |
7 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 4,109 | 4,569 | |
McCormick & Co. Inc. | 3.400% | 8/15/27 | 19,985 | 22,266 | ||
Mondelez International Inc. | 4.125% | 5/7/28 | 2,000 | 2,357 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Mondelez International Inc. | 2.750% | 4/13/30 | 39,013 | 41,692 | ||
Mondelez International Inc. | 1.500% | 2/4/31 | 15,643 | 15,092 | ||
7 | Nestle Holdings Inc. | 3.625% | 9/24/28 | 11,819 | 13,525 | |
PepsiCo Inc. | 2.750% | 3/19/30 | 27,317 | 29,812 | ||
PepsiCo Inc. | 1.625% | 5/1/30 | 18,355 | 18,405 | ||
7 | Performance Food Group Inc. | 6.875% | 5/1/25 | 765 | 814 | |
7 | Performance Food Group Inc. | 5.500% | 10/15/27 | 5,851 | 6,098 | |
7 | Performance Food Group Inc. | 4.250% | 8/1/29 | 3,920 | 3,987 | |
8 | Philip Morris International Inc. | 2.875% | 3/3/26 | 8,167 | 10,959 | |
Philip Morris International Inc. | 3.125% | 8/17/27 | 10,000 | 11,054 | ||
Philip Morris International Inc. | 3.125% | 3/2/28 | 20,382 | 22,394 | ||
Philip Morris International Inc. | 3.375% | 8/15/29 | 25,460 | 28,534 | ||
Philip Morris International Inc. | 2.100% | 5/1/30 | 19,800 | 20,105 | ||
Philip Morris International Inc. | 1.750% | 11/1/30 | 15,000 | 14,791 | ||
8 | Philip Morris International Inc. | 2.000% | 5/9/36 | 5,800 | 7,598 | |
8 | Philip Morris International Inc. | 1.450% | 8/1/39 | 5,800 | 6,915 | |
Philip Morris International Inc. | 4.250% | 11/10/44 | 4,000 | 4,769 | ||
7 | Post Holdings Inc. | 5.750% | 3/1/27 | 1,780 | 1,855 | |
7 | Post Holdings Inc. | 4.500% | 9/15/31 | 4,099 | 4,147 | |
7 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 34,956 | 38,103 | |
Sysco Corp. | 3.300% | 7/15/26 | 478 | 524 | ||
Sysco Corp. | 2.400% | 2/15/30 | 12,000 | 12,483 | ||
Sysco Corp. | 5.950% | 4/1/30 | 11,746 | 15,248 | ||
Target Corp. | 3.375% | 4/15/29 | 19,036 | 21,538 | ||
Target Corp. | 2.350% | 2/15/30 | 10,000 | 10,585 | ||
Tyson Foods Inc. | 3.550% | 6/2/27 | 326 | 364 | ||
Tyson Foods Inc. | 4.350% | 3/1/29 | 35,113 | 41,250 | ||
Unilever Capital Corp. | 2.900% | 5/5/27 | 4,000 | 4,368 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 43,983 | 45,983 | ||
Walmart Inc. | 3.700% | 6/26/28 | 29,188 | 33,540 | ||
Walmart Inc. | 3.250% | 7/8/29 | 9,929 | 11,214 | ||
1,909,249 | ||||||
Energy (7.1%) | ||||||
7 | Antero Resources Corp. | 5.375% | 3/1/30 | 4,349 | 4,425 | |
7 | Atlantica Sustainable Infrastructure plc | 4.125% | 6/15/28 | 797 | 828 | |
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. | 3.337% | 12/15/27 | 29,752 | 32,745 | ||
BP Capital Markets America Inc. | 3.410% | 2/11/26 | 53,200 | 58,429 | ||
BP Capital Markets America Inc. | 3.017% | 1/16/27 | 29,711 | 32,258 | ||
BP Capital Markets America Inc. | 3.588% | 4/14/27 | 2,000 | 2,230 | ||
BP Capital Markets America Inc. | 3.937% | 9/21/28 | 8,690 | 9,967 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 16,467 | 19,211 | ||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 30,390 | 30,102 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 5,000 | 5,152 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 8,000 | 7,580 | ||
BP Capital Markets plc | 3.279% | 9/19/27 | 57,280 | 63,378 | ||
BP Capital Markets plc | 3.723% | 11/28/28 | 18,250 | 20,734 | ||
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 45,770 | 50,787 | ||
Canadian Natural Resources Ltd. | 2.950% | 7/15/30 | 21,700 | 22,745 | ||
Cenovus Energy Inc. | 5.375% | 7/15/25 | 13,245 | 15,115 | ||
Cenovus Energy Inc. | 4.250% | 4/15/27 | 12,643 | 14,158 | ||
Cenovus Energy Inc. | 4.400% | 4/15/29 | 1,000 | 1,136 | ||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/27 | 54,107 | 63,376 | ||
Cheniere Corpus Christi Holdings LLC | 3.700% | 11/15/29 | 33,906 | 37,462 | ||
Cheniere Energy Inc. | 4.625% | 10/15/28 | 2,645 | 2,794 | ||
7 | Cheniere Energy Partners LP | 4.000% | 3/1/31 | 3,235 | 3,421 | |
Chevron Corp. | 1.995% | 5/11/27 | 18,350 | 19,172 | ||
Chevron Corp. | 2.236% | 5/11/30 | 16,050 | 16,818 | ||
Chevron USA Inc. | 3.850% | 1/15/28 | 18,393 | 21,029 | ||
Chevron USA Inc. | 3.250% | 10/15/29 | 15,000 | 16,772 | ||
Chevron USA Inc. | 2.343% | 8/12/50 | 2,000 | 1,862 | ||
Cimarex Energy Co. | 3.900% | 5/15/27 | 16,781 | 18,685 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Cimarex Energy Co. | 4.375% | 3/15/29 | 30,923 | 35,498 | ||
7 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 1,043 | |
7 | CNX Resources Corp. | 6.000% | 1/15/29 | 4,050 | 4,287 | |
7 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 770 | 799 | |
7 | Comstock Resources Inc. | 5.875% | 1/15/30 | 5,465 | 5,497 | |
7 | ConocoPhillips | 3.750% | 10/1/27 | 33,990 | 38,543 | |
7 | ConocoPhillips | 4.300% | 8/15/28 | 25,786 | 30,192 | |
7 | ConocoPhillips | 2.400% | 2/15/31 | 6,590 | 6,843 | |
7 | CrownRock LP / CrownRock Finance Inc. | 5.625% | 10/15/25 | 1,365 | 1,399 | |
7 | CrownRock LP / CrownRock Finance Inc. | 5.000% | 5/1/29 | 1,220 | 1,274 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 988 | 1,124 | ||
DCP Midstream Operating LP | 5.125% | 5/15/29 | 2,702 | 3,014 | ||
Devon Energy Corp. | 5.850% | 12/15/25 | 7,000 | 8,216 | ||
7 | Devon Energy Corp. | 5.250% | 10/15/27 | 3,389 | 3,619 | |
7 | Devon Energy Corp. | 5.875% | 6/15/28 | 1,141 | 1,261 | |
7 | Devon Energy Corp. | 4.500% | 1/15/30 | 28,745 | 31,328 | |
Diamondback Energy Inc. | 3.250% | 12/1/26 | 50,023 | 53,954 | ||
Diamondback Energy Inc. | 3.500% | 12/1/29 | 10,000 | 10,829 | ||
Diamondback Energy Inc. | 3.125% | 3/24/31 | 20,000 | 20,985 | ||
7 | DT Midstream Inc. | 4.125% | 6/15/29 | 3,254 | 3,337 | |
7 | DT Midstream Inc. | 4.375% | 6/15/31 | 2,395 | 2,485 | |
Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 13,883 | 15,035 | ||
Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 9,881 | 10,415 | ||
Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 34,100 | 38,579 | ||
Enable Midstream Partners LP | 4.400% | 3/15/27 | 40,676 | 45,457 | ||
Enable Midstream Partners LP | 4.950% | 5/15/28 | 41,251 | 47,639 | ||
Enable Midstream Partners LP | 4.150% | 9/15/29 | 17,367 | 19,298 | ||
Enbridge Inc. | 4.250% | 12/1/26 | 4,611 | 5,240 | ||
Enbridge Inc. | 3.700% | 7/15/27 | 18,961 | 21,164 | ||
Enbridge Inc. | 3.125% | 11/15/29 | 9,998 | 10,784 | ||
7 | Endeavor Energy Resources LP / EER Finance Inc. | 6.625% | 7/15/25 | 658 | 696 | |
7 | Endeavor Energy Resources LP / EER Finance Inc. | 5.750% | 1/30/28 | 2,670 | 2,803 | |
Energy Transfer LP | 4.050% | 3/15/25 | 12,880 | 14,004 | ||
Energy Transfer LP | 5.950% | 12/1/25 | 2,000 | 2,345 | ||
Energy Transfer LP | 5.500% | 6/1/27 | 8,071 | 9,575 | ||
Energy Transfer LP | 4.950% | 6/15/28 | 508 | 592 | ||
Energy Transfer LP | 5.250% | 4/15/29 | 34,465 | 41,029 | ||
Energy Transfer LP | 3.750% | 5/15/30 | 29,797 | 32,507 | ||
7 | EnLink Midstream LLC | 5.625% | 1/15/28 | 915 | 969 | |
EnLink Midstream LLC | 5.375% | 6/1/29 | 2,020 | 2,102 | ||
Enterprise Products Operating LLC | 3.950% | 2/15/27 | 2,000 | 2,253 | ||
Enterprise Products Operating LLC | 4.150% | 10/16/28 | 19,500 | 22,596 | ||
Enterprise Products Operating LLC | 3.125% | 7/31/29 | 10,250 | 11,183 | ||
Enterprise Products Operating LLC | 2.800% | 1/31/30 | 14,713 | 15,758 | ||
7 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 2,604 | 2,924 | |
EQT Corp. | 3.000% | 10/1/22 | 436 | 442 | ||
7 | EQT Corp. | 3.125% | 5/15/26 | 1,003 | 1,032 | |
EQT Corp. | 5.000% | 1/15/29 | 2,625 | 2,967 | ||
Equinor ASA | 3.150% | 1/23/22 | 3,000 | 3,041 | ||
Equinor ASA | 3.950% | 5/15/43 | 3,191 | 3,793 | ||
8 | Exxon Mobil Corp. | 0.142% | 6/26/24 | 2,200 | 2,641 | |
Exxon Mobil Corp. | 3.482% | 3/19/30 | 40,000 | 45,450 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 77,145 | 82,549 | ||
8 | Exxon Mobil Corp. | 1.408% | 6/26/39 | 8,200 | 9,884 | |
Exxon Mobil Corp. | 3.095% | 8/16/49 | 2,112 | 2,219 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 2,000 | 2,234 | ||
7 | Flex Intermediate Holdco LLC | 3.363% | 6/30/31 | 25,000 | 25,738 | |
Gazprom PJSC Via Gaz Capital SA | 6.510% | 3/7/22 | 2,650 | 2,739 | ||
Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 11,778 | 13,235 | ||
7 | Hilcorp Energy I LP / Hilcorp Finance Co. | 5.750% | 2/1/29 | 695 | 710 | |
7 | Hilcorp Energy I LP / Hilcorp Finance Co. | 6.000% | 2/1/31 | 827 | 863 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 5,400 | 7,097 | |
Kinder Morgan Inc. | 4.300% | 3/1/28 | 36,386 | 41,955 | ||
Kinder Morgan Inc. | 7.750% | 1/15/32 | 990 | 1,451 | ||
Magellan Midstream Partners LP | 3.250% | 6/1/30 | 607 | 663 | ||
Marathon Oil Corp. | 3.850% | 6/1/25 | 9,000 | 9,827 | ||
Marathon Oil Corp. | 4.400% | 7/15/27 | 5,000 | 5,698 | ||
Marathon Petroleum Corp. | 4.700% | 5/1/25 | 46,626 | 52,562 | ||
Marathon Petroleum Corp. | 5.125% | 12/15/26 | 45,540 | 53,765 | ||
7 | MC Brazil Downstream Trading Sarl | 7.250% | 6/30/31 | 12,113 | 12,597 | |
7 | MEG Energy Corp. | 6.500% | 1/15/25 | 2,919 | 3,014 | |
7 | MEG Energy Corp. | 5.875% | 2/1/29 | 400 | 413 | |
MPLX LP | 1.750% | 3/1/26 | 10,000 | 10,148 | ||
MPLX LP | 4.125% | 3/1/27 | 9,000 | 10,146 | ||
MPLX LP | 4.250% | 12/1/27 | 18,500 | 21,117 | ||
MPLX LP | 4.000% | 3/15/28 | 5,650 | 6,349 | ||
MPLX LP | 2.650% | 8/15/30 | 46,592 | 47,767 | ||
7 | NGPL PipeCo LLC | 3.250% | 7/15/31 | 10,000 | 10,437 | |
Nustar Logistics LP | 5.750% | 10/1/25 | 635 | 694 | ||
Nustar Logistics LP | 6.375% | 10/1/30 | 2,525 | 2,807 | ||
Occidental Petroleum Corp. | 5.500% | 12/1/25 | 600 | 660 | ||
Occidental Petroleum Corp. | 5.550% | 3/15/26 | 2,559 | 2,801 | ||
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 710 | 718 | ||
Occidental Petroleum Corp. | 3.200% | 8/15/26 | 4,995 | 4,978 | ||
Occidental Petroleum Corp. | 3.000% | 2/15/27 | 1,665 | 1,650 | ||
Occidental Petroleum Corp. | 4.400% | 8/15/49 | 2,455 | 2,387 | ||
8 | OMV AG | 1.000% | 7/3/34 | 500 | 618 | |
ONEOK Inc. | 5.850% | 1/15/26 | 7,743 | 9,173 | ||
ONEOK Inc. | 4.550% | 7/15/28 | 14,210 | 16,375 | ||
ONEOK Inc. | 4.350% | 3/15/29 | 9,123 | 10,396 | ||
ONEOK Inc. | 3.400% | 9/1/29 | 21,797 | 23,513 | ||
ONEOK Inc. | 3.100% | 3/15/30 | 16,129 | 17,094 | ||
ONEOK Inc. | 6.350% | 1/15/31 | 5,438 | 7,075 | ||
Ovintiv Exploration Inc. | 5.625% | 7/1/24 | 9,340 | 10,332 | ||
7 | Parkland Corp. | 4.500% | 10/1/29 | 2,435 | 2,506 | |
Petroleos del Peru SA | 5.625% | 6/19/47 | 5,000 | 5,173 | ||
7 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 6,029 | 6,613 | |
Petronas Capital Ltd. | 3.500% | 4/21/30 | 36,360 | 39,888 | ||
Phillips 66 | 3.900% | 3/15/28 | 7,000 | 7,891 | ||
Phillips 66 | 2.150% | 12/15/30 | 10,800 | 10,689 | ||
Phillips 66 Partners LP | 3.750% | 3/1/28 | 32,099 | 35,413 | ||
Phillips 66 Partners LP | 3.150% | 12/15/29 | 21,299 | 22,541 | ||
Pioneer Natural Resources Co. | 1.900% | 8/15/30 | 44,700 | 43,434 | ||
Pioneer Natural Resources Co. | 2.150% | 1/15/31 | 31,900 | 31,532 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 4.500% | 12/15/26 | 23,896 | 26,988 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.550% | 12/15/29 | 26,733 | 28,579 | ||
7 | Rattler Midstream LP | 5.625% | 7/15/25 | 775 | 810 | |
Sabine Pass Liquefaction LLC | 5.000% | 3/15/27 | 14,487 | 16,878 | ||
Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 60,665 | 68,925 | ||
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 32,348 | 37,839 | ||
Saibu Gas Holdings Co. Ltd. | 4.200% | 4/15/27 | 9,115 | 10,174 | ||
Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 10,000 | 10,943 | ||
Shell International Finance BV | 3.875% | 11/13/28 | 8,365 | 9,679 | ||
Shell International Finance BV | 2.375% | 11/7/29 | 117,219 | 123,156 | ||
Shell International Finance BV | 2.750% | 4/6/30 | 5,033 | 5,430 | ||
Sinopec Capital 2013 Ltd. | 3.125% | 4/24/23 | 13,170 | 13,686 | ||
Sinopec Group Overseas Development 2016 Ltd. | 3.500% | 5/3/26 | 5,000 | 5,504 | ||
Solar Applied Materials Technology Corp. | 4.000% | 10/1/27 | 13,741 | 15,314 | ||
11 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 10,873 | 12,906 | |
Spectra Energy Partners LP | 3.375% | 10/15/26 | 20,838 | 22,756 | ||
Suvidhaa Infoserve Ltd. | 3.900% | 7/15/26 | 13,648 | 15,022 | ||
7 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 7.500% | 10/1/25 | 200 | 217 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 6.000% | 12/31/30 | 832 | 876 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.500% | 7/15/27 | 2,440 | 2,643 | ||
TotalEnergies Capital International SA | 3.455% | 2/19/29 | 29,154 | 32,887 | ||
TotalEnergies Capital International SA | 2.829% | 1/10/30 | 3,785 | 4,107 | ||
TotalEnergies Capital SA | 3.883% | 10/11/28 | 18,600 | 21,530 | ||
TransCanada PipeLines Ltd. | 4.250% | 5/15/28 | 34,688 | 40,114 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 10,240 | 11,869 | ||
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 2,000 | 2,581 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.000% | 3/15/28 | 1,286 | 1,467 | ||
Transcontinental Gas Pipe Line Co. LLC | 3.250% | 5/15/30 | 14,065 | 15,335 | ||
Valero Energy Corp. | 2.150% | 9/15/27 | 14,628 | 14,917 | ||
Valero Energy Corp. | 4.350% | 6/1/28 | 11,392 | 13,020 | ||
Valero Energy Corp. | 4.000% | 4/1/29 | 986 | 1,105 | ||
7 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 1,565 | 1,598 | |
7 | Venture Global Calcasieu Pass LLC | 4.125% | 8/15/31 | 1,560 | 1,609 | |
Western Midstream Operating LP | 5.300% | 2/1/30 | 3,200 | 3,593 | ||
Williams Companies Inc. | 2.600% | 3/15/31 | 12,000 | 12,367 | ||
Williams Cos. Inc. | 3.750% | 6/15/27 | 42,710 | 47,708 | ||
2,698,471 | ||||||
Financials (25.5%) | ||||||
7 | ABN AMRO Bank NV | 1.542% | 6/16/27 | 14,670 | 14,699 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.450% | 10/1/25 | 2,600 | 2,870 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.750% | 1/30/26 | 20,000 | 19,889 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.650% | 7/21/27 | 13,495 | 14,494 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.625% | 10/15/27 | 20,024 | 22,464 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.875% | 1/23/28 | 3,856 | 4,171 | ||
Affiliated Managers Group Inc. | 3.300% | 6/15/30 | 25,223 | 27,628 | ||
Aflac Inc. | 3.600% | 4/1/30 | 24,950 | 28,505 | ||
Aflac Inc. | 4.750% | 1/15/49 | 1,069 | 1,441 | ||
Air Lease Corp. | 3.375% | 7/1/25 | 6,960 | 7,506 | ||
Air Lease Corp. | 2.875% | 1/15/26 | 19,845 | 20,988 | ||
Air Lease Corp. | 3.750% | 6/1/26 | 5,000 | 5,497 | ||
Air Lease Corp. | 1.875% | 8/15/26 | 35,000 | 35,327 | ||
Air Lease Corp. | 3.625% | 4/1/27 | 2,000 | 2,175 | ||
Air Lease Corp. | 3.625% | 12/1/27 | 2,903 | 3,159 | ||
Air Lease Corp. | 4.625% | 10/1/28 | 3,955 | 4,535 | ||
Air Lease Corp. | 3.250% | 10/1/29 | 2,000 | 2,113 | ||
Air Lease Corp. | 3.000% | 2/1/30 | 24,670 | 25,492 | ||
Air Lease Corp. | 3.125% | 12/1/30 | 5,298 | 5,504 | ||
Aircastle Ltd. | 4.250% | 6/15/26 | 3,000 | 3,306 | ||
7 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 4.250% | 10/15/27 | 640 | 636 | |
7 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 6.750% | 10/15/27 | 2,028 | 2,120 | |
Allstate Corp. | 1.450% | 12/15/30 | 12,000 | 11,666 | ||
American International Group Inc. | 3.900% | 4/1/26 | 14,297 | 15,948 | ||
American International Group Inc. | 4.200% | 4/1/28 | 5,000 | 5,788 | ||
American International Group Inc. | 3.400% | 6/30/30 | 28,125 | 31,152 | ||
American International Group Inc. | 4.800% | 7/10/45 | 1,339 | 1,724 | ||
American International Group Inc. | 4.375% | 6/30/50 | 2,000 | 2,521 | ||
Ameriprise Financial Inc. | 2.875% | 9/15/26 | 11,986 | 12,977 | ||
7 | Antares Holdings LP | 2.750% | 1/15/27 | 11,200 | 11,210 | |
Aon Corp. | 2.800% | 5/15/30 | 32,126 | 34,331 | ||
Ares Capital Corp. | 2.875% | 6/15/28 | 10,300 | 10,622 | ||
8 | Athene Global Funding | 1.125% | 9/2/25 | 35,800 | 44,321 | |
7 | Athene Global Funding | 2.450% | 8/20/27 | 10,000 | 10,527 | |
8 | Athene Global Funding | 0.625% | 1/12/28 | 13,600 | 16,303 | |
Athene Global Funding | 1.875% | 11/30/28 | 5,000 | 7,023 | ||
Athene Holding Ltd. | 4.125% | 1/12/28 | 10,777 | 12,212 | ||
Athene Holding Ltd. | 3.500% | 1/15/31 | 16,561 | 18,127 | ||
Athene Holding Ltd. | 3.950% | 5/25/51 | 4,665 | 5,318 | ||
7 | Australia & New Zealand Banking Group Ltd. | 2.950% | 7/22/30 | 31,510 | 32,951 | |
10 | Aviva plc | 6.125% | 11/14/36 | 11,000 | 18,632 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 15,750 | 15,821 | |
7 | Avolon Holdings Funding Ltd. | 4.250% | 4/15/26 | 10,810 | 11,811 | |
7 | Avolon Holdings Funding Ltd. | 4.375% | 5/1/26 | 640 | 703 | |
7 | Avolon Holdings Funding Ltd. | 2.750% | 2/21/28 | 10,000 | 10,100 | |
8 | AXA SA | 1.375% | 10/7/41 | 250 | 303 | |
8 | Banco Bilbao Vizcaya Argentaria SA | 2.575% | 2/22/29 | 1,700 | 2,129 | |
Banco Santander SA | 3.800% | 2/23/28 | 30,200 | 33,654 | ||
Banco Santander SA | 4.379% | 4/12/28 | 4,415 | 5,097 | ||
Banco Santander SA | 3.306% | 6/27/29 | 29,700 | 32,685 | ||
Banco Santander SA | 3.490% | 5/28/30 | 9,850 | 10,768 | ||
Banco Santander SA | 2.749% | 12/3/30 | 27,470 | 27,698 | ||
Banco Santander SA | 2.958% | 3/25/31 | 10,000 | 10,468 | ||
Bank of America Corp. | 4.450% | 3/3/26 | 8,750 | 9,908 | ||
8 | Bank of America Corp. | 0.808% | 5/9/26 | 1,100 | 1,348 | |
Bank of America Corp. | 1.319% | 6/19/26 | 12,890 | 12,963 | ||
Bank of America Corp. | 4.250% | 10/22/26 | 27,950 | 31,653 | ||
Bank of America Corp. | 1.197% | 10/24/26 | 15,940 | 15,910 | ||
Bank of America Corp. | 1.658% | 3/11/27 | 30,000 | 30,480 | ||
Bank of America Corp. | 3.559% | 4/23/27 | 28,981 | 31,888 | ||
Bank of America Corp. | 1.734% | 7/22/27 | 39,820 | 40,530 | ||
Bank of America Corp. | 3.248% | 10/21/27 | 28,508 | 31,109 | ||
Bank of America Corp. | 4.183% | 11/25/27 | 24,852 | 28,036 | ||
Bank of America Corp. | 3.824% | 1/20/28 | 51,829 | 57,964 | ||
Bank of America Corp. | 3.705% | 4/24/28 | 29,256 | 32,532 | ||
Bank of America Corp. | 3.593% | 7/21/28 | 12,862 | 14,250 | ||
Bank of America Corp. | 3.419% | 12/20/28 | 67,280 | 73,969 | ||
Bank of America Corp. | 3.970% | 3/5/29 | 40,165 | 45,470 | ||
Bank of America Corp. | 2.087% | 6/14/29 | 26,700 | 27,197 | ||
Bank of America Corp. | 4.271% | 7/23/29 | 22,622 | 26,094 | ||
Bank of America Corp. | 3.974% | 2/7/30 | 23,584 | 26,864 | ||
Bank of America Corp. | 3.194% | 7/23/30 | 22,720 | 24,651 | ||
Bank of America Corp. | 2.884% | 10/22/30 | 32,946 | 34,994 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 29,550 | 30,547 | ||
Bank of America Corp. | 2.592% | 4/29/31 | 25,990 | 26,980 | ||
Bank of America Corp. | 1.898% | 7/23/31 | 65,770 | 64,611 | ||
Bank of America Corp. | 1.922% | 10/24/31 | 19,000 | 18,688 | ||
8 | Bank of America Corp. | 0.654% | 10/26/31 | 14,000 | 16,731 | |
Bank of America Corp. | 2.651% | 3/11/32 | 33,430 | 34,772 | ||
Bank of America Corp. | 2.687% | 4/22/32 | 27,500 | 28,718 | ||
Bank of America Corp. | 2.299% | 7/21/32 | 41,900 | 42,285 | ||
Bank of America Corp. | 4.330% | 3/15/50 | 5,000 | 6,268 | ||
Bank of Montreal | 3.803% | 12/15/32 | 2,000 | 2,222 | ||
Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 14,500 | 16,068 | ||
Bank of New York Mellon Corp. | 3.400% | 1/29/28 | 11,250 | 12,644 | ||
Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 47,280 | 52,556 | ||
Bank of New York Mellon Corp. | 3.000% | 10/30/28 | 7,000 | 7,759 | ||
7 | Bank of New Zealand | 1.000% | 3/3/26 | 2,670 | 2,656 | |
Bank of Nova Scotia | 1.050% | 3/2/26 | 19,610 | 19,564 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 32,211 | 34,551 | ||
Bank of Nova Scotia | 2.150% | 8/1/31 | 20,000 | 20,277 | ||
Barclays plc | 4.375% | 1/12/26 | 24,811 | 27,996 | ||
Barclays plc | 5.200% | 5/12/26 | 17,575 | 20,274 | ||
Barclays plc | 4.337% | 1/10/28 | 19,500 | 22,055 | ||
8 | Barclays plc | 2.000% | 2/7/28 | 4,600 | 5,594 | |
Barclays plc | 4.836% | 5/9/28 | 25,432 | 28,865 | ||
Barclays plc | 4.972% | 5/16/29 | 20,952 | 24,727 | ||
Barclays plc | 5.088% | 6/20/30 | 4,000 | 4,693 | ||
Barclays plc | 2.645% | 6/24/31 | 23,035 | 23,539 | ||
Barclays plc | 3.564% | 9/23/35 | 13,075 | 13,788 | ||
7 | Belrose Funding Trust | 2.330% | 8/15/30 | 15,630 | 15,682 | |
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 5,900 | 5,652 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | Berkshire Hathaway Inc. | 0.500% | 1/15/41 | 6,642 | 7,363 | |
BlackRock Inc. | 2.400% | 4/30/30 | 23,141 | 24,554 | ||
8 | Blackstone Property Partners Europe Holdings Sarl | 0.500% | 9/12/23 | 37,400 | 44,814 | |
8 | Blackstone Property Partners Europe Holdings Sarl | 1.250% | 4/26/27 | 600 | 735 | |
8 | Blackstone Property Partners Europe Holdings Sarl | 1.750% | 3/12/29 | 10,200 | 12,769 | |
7 | BNP Paribas SA | 2.219% | 6/9/26 | 8,830 | 9,132 | |
7 | BNP Paribas SA | 1.323% | 1/13/27 | 33,990 | 33,704 | |
7 | BNP Paribas SA | 3.500% | 11/16/27 | 8,121 | 8,945 | |
8 | BNP Paribas SA | 1.125% | 1/15/32 | 7,900 | 9,539 | |
7 | BNP Paribas SA | 2.588% | 8/12/35 | 10,220 | 10,093 | |
7 | BNP Paribas SA | 2.824% | 1/26/41 | 7,650 | 7,409 | |
7 | BPCE SA | 1.000% | 1/20/26 | 15,440 | 15,345 | |
BPCE SA | 3.375% | 12/2/26 | 10,000 | 11,056 | ||
7 | BPCE SA | 3.250% | 1/11/28 | 19,800 | 21,774 | |
7 | BPCE SA | 2.277% | 1/20/32 | 6,970 | 6,919 | |
6 | BPCE SA, 3M Australian Bank Bill Rate + 0.780% | 0.805% | 4/20/26 | 40,510 | 29,946 | |
6,9 | BPCE SA, 3M Australian Bank Bill Rate + 1.600% | 1.625% | 6/5/25 | 12,500 | 9,527 | |
Brighthouse Financial Inc. | 5.625% | 5/15/30 | 1,550 | 1,906 | ||
7 | Broadstreet Partners Inc. | 5.875% | 4/15/29 | 815 | 829 | |
Brookfield Finance Inc. | 4.250% | 6/2/26 | 2,901 | 3,287 | ||
Brookfield Finance Inc. | 3.900% | 1/25/28 | 19,925 | 22,557 | ||
Brookfield Finance Inc. | 4.850% | 3/29/29 | 17,444 | 20,932 | ||
Brookfield Finance Inc. | 4.350% | 4/15/30 | 6,000 | 7,052 | ||
Brookfield Finance Inc. | 2.724% | 4/15/31 | 5,515 | 5,795 | ||
Brown & Brown Inc. | 4.500% | 3/15/29 | 2,182 | 2,546 | ||
Brown & Brown Inc. | 2.375% | 3/15/31 | 26,000 | 26,376 | ||
Canadian Imperial Bank of Commerce | 1.250% | 6/22/26 | 14,960 | 15,006 | ||
7 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 3,190 | 3,222 | |
Capital One Financial Corp. | 3.750% | 3/9/27 | 24,218 | 27,165 | ||
Capital One Financial Corp. | 3.650% | 5/11/27 | 9,845 | 11,040 | ||
Capital One Financial Corp. | 3.800% | 1/31/28 | 20,300 | 22,972 | ||
Capital One Financial Corp. | 2.359% | 7/29/32 | 15,000 | 15,133 | ||
Cboe Global Markets Inc. | 1.625% | 12/15/30 | 15,880 | 15,582 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 4,043 | 4,463 | ||
Charles Schwab Corp. | 3.200% | 1/25/28 | 24,693 | 27,455 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 20,000 | 20,785 | ||
Charles Schwab Corp. | 4.000% | 2/1/29 | 17,652 | 20,573 | ||
Charles Schwab Corp. | 3.250% | 5/22/29 | 4,000 | 4,462 | ||
Charles Schwab Corp. | 4.625% | 3/22/30 | 1,705 | 2,105 | ||
Charles Schwab Corp. | 1.650% | 3/11/31 | 10,000 | 9,886 | ||
Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 32,120 | 31,078 | ||
CIT Group Inc. | 5.250% | 3/7/25 | 778 | 878 | ||
Citigroup Inc. | 4.600% | 3/9/26 | 8,589 | 9,835 | ||
Citigroup Inc. | 3.400% | 5/1/26 | 39,669 | 43,662 | ||
Citigroup Inc. | 3.200% | 10/21/26 | 53,796 | 58,656 | ||
Citigroup Inc. | 4.300% | 11/20/26 | 32,452 | 36,922 | ||
Citigroup Inc. | 1.122% | 1/28/27 | 10,000 | 9,918 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 20,000 | 20,044 | ||
Citigroup Inc. | 4.450% | 9/29/27 | 33,838 | 39,046 | ||
Citigroup Inc. | 3.887% | 1/10/28 | 20,800 | 23,234 | ||
Citigroup Inc. | 3.668% | 7/24/28 | 35,260 | 39,187 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 39,250 | 44,607 | ||
Citigroup Inc. | 3.520% | 10/27/28 | 40,466 | 44,604 | ||
Citigroup Inc. | 4.075% | 4/23/29 | 8,500 | 9,697 | ||
Citigroup Inc. | 3.980% | 3/20/30 | 24,793 | 28,297 | ||
Citigroup Inc. | 2.976% | 11/5/30 | 33,773 | 36,091 | ||
Citigroup Inc. | 2.666% | 1/29/31 | 42,659 | 44,572 | ||
Citigroup Inc. | 4.412% | 3/31/31 | 29,752 | 35,062 | ||
Citigroup Inc. | 2.572% | 6/3/31 | 24,000 | 24,853 | ||
Citigroup Inc. | 2.561% | 5/1/32 | 21,400 | 22,121 | ||
Citigroup Inc. | 6.625% | 6/15/32 | 260 | 358 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Citigroup Inc. | 4.650% | 7/23/48 | 15,000 | 19,968 | ||
Citizens Financial Group Inc. | 2.500% | 2/6/30 | 2,948 | 3,065 | ||
Citizens Financial Group Inc. | 3.250% | 4/30/30 | 10,216 | 11,217 | ||
CNA Financial Corp. | 3.450% | 8/15/27 | 12,300 | 13,635 | ||
CNA Financial Corp. | 2.050% | 8/15/30 | 12,000 | 11,996 | ||
CNO Financial Group Inc. | 5.250% | 5/30/29 | 16,377 | 19,662 | ||
7 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 12,000 | 12,165 | |
Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 9,462 | 10,481 | ||
7 | Cooperatieve Rabobank UA | 1.004% | 9/24/26 | 15,000 | 14,950 | |
7 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 10,500 | 10,438 | |
8 | Credit Agricole SA | 1.250% | 4/14/26 | 1,400 | 1,774 | |
7 | Credit Agricole SA | 1.247% | 1/26/27 | 13,890 | 13,775 | |
7 | Credit Agricole SA | 2.811% | 1/11/41 | 5,835 | 5,668 | |
8 | Credit Mutuel Arkea SA | 0.875% | 3/11/33 | 500 | 606 | |
8 | Credit Suisse AG | 1.500% | 4/10/26 | 1,350 | 1,712 | |
Credit Suisse Group AG | 4.550% | 4/17/26 | 2,000 | 2,273 | ||
7 | Credit Suisse Group AG | 1.305% | 2/2/27 | 11,920 | 11,762 | |
7 | Credit Suisse Group AG | 4.194% | 4/1/31 | 250 | 285 | |
7 | Credit Suisse Group AG | 3.091% | 5/14/32 | 15,600 | 16,318 | |
8 | Credit Suisse Group AG | 0.625% | 1/18/33 | 16,400 | 18,777 | |
Danske Bank A/S | 2.500% | 6/21/29 | 900 | 1,128 | ||
8 | Danske Bank A/S | 1.000% | 5/15/31 | 17,400 | 20,822 | |
Deutsche Bank AG | 2.129% | 11/24/26 | 20,175 | 20,628 | ||
Deutsche Bank AG | 3.729% | 1/14/32 | 5,000 | 5,147 | ||
Deutsche Bank AG | 3.035% | 5/28/32 | 30,350 | 31,384 | ||
Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 8,605 | 8,967 | ||
7 | Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 20,000 | 19,972 | |
7,12 | Dexia Credit Local SA | 2.375% | 9/20/22 | 1,750 | 1,792 | |
Discover Bank | 3.450% | 7/27/26 | 6,575 | 7,219 | ||
Discover Bank | 4.650% | 9/13/28 | 29,300 | 34,721 | ||
Discover Bank | 2.700% | 2/6/30 | 10,788 | 11,458 | ||
Discover Financial Services | 4.500% | 1/30/26 | 10,000 | 11,371 | ||
Discover Financial Services | 4.100% | 2/9/27 | 2,000 | 2,272 | ||
7 | DNB Bank ASA | 1.127% | 9/16/26 | 30,000 | 29,965 | |
E*TRADE Financial Corp. | 3.800% | 8/24/27 | 3,003 | 3,370 | ||
Enstar Group Ltd. | 4.950% | 6/1/29 | 20,380 | 23,630 | ||
7 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 3,495 | 3,500 | |
Equitable Holdings Inc. | 4.350% | 4/20/28 | 21,531 | 24,935 | ||
Equitable Holdings Inc. | 5.000% | 4/20/48 | 7,720 | 10,065 | ||
Fairfax Financial Holdings Ltd. | 4.850% | 4/17/28 | 565 | 658 | ||
Fairfax Financial Holdings Ltd. | 4.625% | 4/29/30 | 3,085 | 3,587 | ||
7 | Fairfax Financial Holdings Ltd. | 3.375% | 3/3/31 | 15,500 | 16,533 | |
Fidelity National Financial Inc. | 3.400% | 6/15/30 | 36,371 | 39,798 | ||
Fidelity National Financial Inc. | 2.450% | 3/15/31 | 7,374 | 7,442 | ||
Fifth Third Bank NA | 3.850% | 3/15/26 | 2,000 | 2,234 | ||
Fifth Third Bank NA | 2.250% | 2/1/27 | 11,686 | 12,345 | ||
First American Financial Corp. | 2.400% | 8/15/31 | 10,000 | 9,899 | ||
7 | Five Corners Funding Trust II | 2.850% | 5/15/30 | 15,000 | 16,052 | |
Franklin Resources Inc. | 1.600% | 10/30/30 | 15,000 | 14,679 | ||
FS KKR Capital Corp. | 3.400% | 1/15/26 | 10,000 | 10,445 | ||
7 | GA Global Funding Trust | 1.625% | 1/15/26 | 6,460 | 6,590 | |
GATX Corp. | 4.000% | 6/30/30 | 4,093 | 4,678 | ||
GATX Corp. | 1.900% | 6/1/31 | 25,000 | 24,220 | ||
GATX Corp. | 3.100% | 6/1/51 | 6,675 | 6,593 | ||
8 | GE Capital European Funding Unlimited Co. | 6.025% | 3/1/38 | 100 | 202 | |
GE Capital Funding LLC | 4.400% | 5/15/30 | 46,495 | 54,676 | ||
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 3,000 | 3,686 | ||
7 | Global Atlantic Fin Co. | 3.125% | 6/15/31 | 25,000 | 25,600 | |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 16,595 | 18,620 | ||
Goldman Sachs Group Inc. | 1.000% | 12/16/25 | 36,800 | 51,050 | ||
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 24,793 | 27,480 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | Goldman Sachs Group Inc. | 2.875% | 6/3/26 | 13,400 | 18,020 | |
8 | Goldman Sachs Group Inc. | 1.625% | 7/27/26 | 13,400 | 17,081 | |
Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 27,445 | 27,263 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 23,300 | 25,798 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 35,245 | 35,408 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 40,000 | 40,284 | ||
Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 42,207 | 47,086 | ||
Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 44,483 | 50,103 | ||
Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 22,365 | 25,751 | ||
Goldman Sachs Group Inc. | 2.600% | 2/7/30 | 30,416 | 31,882 | ||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 2,000 | 2,271 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 26,460 | 26,101 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 21,000 | 21,776 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 17,500 | 17,795 | ||
8 | Goldman Sachs Group Inc. | 1.000% | 3/18/33 | 7,000 | 8,478 | |
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 4,900 | 5,203 | ||
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 5,000 | 6,623 | ||
6,9 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550% | 1.570% | 5/2/24 | 30,700 | 23,106 | |
Hanover Insurance Group Inc. | 2.500% | 9/1/30 | 5,000 | 5,111 | ||
Hartford Financial Services Group Inc. | 2.800% | 8/19/29 | 3,926 | 4,204 | ||
8 | Helvetia Europe SA | 2.750% | 9/30/41 | 10,800 | 14,150 | |
HSBC Holdings plc | 4.250% | 8/18/25 | 3,045 | 3,377 | ||
HSBC Holdings plc | 4.300% | 3/8/26 | 25,735 | 29,144 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 30,758 | 34,271 | ||
HSBC Holdings plc | 2.099% | 6/4/26 | 11,801 | 12,174 | ||
HSBC Holdings plc | 4.292% | 9/12/26 | 20,350 | 22,711 | ||
HSBC Holdings plc | 4.375% | 11/23/26 | 11,018 | 12,460 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 33,330 | 33,553 | ||
10 | HSBC Holdings plc | 1.750% | 7/24/27 | 16,000 | 22,486 | |
HSBC Holdings plc | 4.041% | 3/13/28 | 78,139 | 87,500 | ||
HSBC Holdings plc | 2.013% | 9/22/28 | 42,450 | 43,025 | ||
HSBC Holdings plc | 4.583% | 6/19/29 | 41,640 | 48,463 | ||
HSBC Holdings plc | 4.950% | 3/31/30 | 17,320 | 21,074 | ||
HSBC Holdings plc | 3.973% | 5/22/30 | 29,752 | 33,544 | ||
HSBC Holdings plc | 2.848% | 6/4/31 | 36,495 | 38,362 | ||
HSBC Holdings plc | 2.357% | 8/18/31 | 23,560 | 23,815 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 11,500 | 11,936 | ||
6,9 | HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% | 1.139% | 2/16/24 | 28,200 | 20,863 | |
Huntington Bancshares Inc. | 2.550% | 2/4/30 | 10,000 | 10,612 | ||
ICBCIL Finance Co. Ltd. | 3.375% | 4/5/22 | 10,000 | 10,155 | ||
ING Groep NV | 3.950% | 3/29/27 | 25,636 | 29,008 | ||
ING Groep NV | 4.550% | 10/2/28 | 9,000 | 10,671 | ||
ING Groep NV | 4.050% | 4/9/29 | 13,264 | 15,356 | ||
ING Groep NV | 2.727% | 4/1/32 | 10,000 | 10,498 | ||
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 17,416 | 19,326 | ||
Intercontinental Exchange Inc. | 3.750% | 9/21/28 | 2,090 | 2,368 | ||
Intercontinental Exchange Inc. | 2.100% | 6/15/30 | 17,000 | 17,162 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 15,000 | 14,515 | ||
7 | Intesa Sanpaolo SPA | 4.000% | 9/23/29 | 21,525 | 23,885 | |
10 | Intesa Sanpaolo SPA | 2.500% | 1/15/30 | 4,000 | 5,793 | |
7 | Intesa Sanpaolo SPA | 4.198% | 6/1/32 | 10,000 | 10,294 | |
10 | Intesa Sanpaolo SPA | 2.625% | 3/11/36 | 4,774 | 6,847 | |
Invesco Finance plc | 3.750% | 1/15/26 | 11,166 | 12,406 | ||
8 | JAB Holdings BV | 3.375% | 4/17/35 | 8,400 | 12,593 | |
8 | JAB Holdings BV | 2.250% | 12/19/39 | 1,200 | 1,553 | |
Jefferies Group LLC | 6.450% | 6/8/27 | 300 | 377 | ||
Jefferies Group LLC / Jefferies Group Capital Finance Inc. | 4.850% | 1/15/27 | 4,500 | 5,272 | ||
Jefferies Group LLC / Jefferies Group Capital Finance Inc. | 4.150% | 1/23/30 | 5,000 | 5,714 | ||
JPMorgan Chase & Co. | 0.824% | 6/1/25 | 34,428 | 34,479 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 30,000 | 30,128 | ||
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 11,273 | 12,337 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
JPMorgan Chase & Co. | 1.045% | 11/19/26 | 46,619 | 46,340 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 19,992 | 22,745 | ||
JPMorgan Chase & Co. | 1.040% | 2/4/27 | 37,875 | 37,502 | ||
JPMorgan Chase & Co. | 1.578% | 4/22/27 | 35,000 | 35,431 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 4,000 | 4,600 | ||
JPMorgan Chase & Co. | 3.625% | 12/1/27 | 18,750 | 20,660 | ||
JPMorgan Chase & Co. | 3.782% | 2/1/28 | 34,793 | 38,868 | ||
JPMorgan Chase & Co. | 3.540% | 5/1/28 | 32,277 | 35,766 | ||
JPMorgan Chase & Co. | 2.182% | 6/1/28 | 16,303 | 16,876 | ||
JPMorgan Chase & Co. | 3.509% | 1/23/29 | 42,057 | 46,685 | ||
JPMorgan Chase & Co. | 4.005% | 4/23/29 | 46,001 | 52,444 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 37,500 | 38,239 | ||
JPMorgan Chase & Co. | 4.203% | 7/23/29 | 31,355 | 36,179 | ||
JPMorgan Chase & Co. | 4.452% | 12/5/29 | 22,800 | 26,801 | ||
JPMorgan Chase & Co. | 3.702% | 5/6/30 | 27,661 | 31,137 | ||
JPMorgan Chase & Co. | 2.739% | 10/15/30 | 37,471 | 39,684 | ||
JPMorgan Chase & Co. | 4.493% | 3/24/31 | 12,100 | 14,462 | ||
JPMorgan Chase & Co. | 2.522% | 4/22/31 | 47,000 | 48,913 | ||
JPMorgan Chase & Co. | 2.956% | 5/13/31 | 15,300 | 16,236 | ||
JPMorgan Chase & Co. | 1.764% | 11/19/31 | 25,000 | 24,323 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 50,000 | 49,372 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 33,950 | 35,339 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 8,500 | 9,045 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 22,000 | 22,950 | ||
Kemper Corp. | 2.400% | 9/30/30 | 4,837 | 4,914 | ||
KeyCorp | 4.100% | 4/30/28 | 15,000 | 17,468 | ||
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 5.250% | 10/1/25 | 671 | 681 | |
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.250% | 2/1/27 | 2,099 | 2,097 | |
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.750% | 6/15/29 | 4,128 | 4,111 | |
Lazard Group LLC | 4.500% | 9/19/28 | 31,409 | 36,599 | ||
Lazard Group LLC | 4.375% | 3/11/29 | 555 | 642 | ||
10 | Leeds Building Society | 1.500% | 3/16/27 | 18,978 | 26,464 | |
Lincoln National Corp. | 4.350% | 3/1/48 | 5,000 | 6,130 | ||
8 | Lloyds Bank Corporate Markets plc | 0.375% | 1/28/25 | 1,800 | 2,175 | |
9 | Lloyds Banking Group plc | 4.000% | 3/7/25 | 2,300 | 1,851 | |
Lloyds Banking Group plc | 4.582% | 12/10/25 | 5,303 | 5,978 | ||
Lloyds Banking Group plc | 4.650% | 3/24/26 | 1,080 | 1,230 | ||
Lloyds Banking Group plc | 3.750% | 1/11/27 | 68,999 | 76,684 | ||
Lloyds Banking Group plc | 4.375% | 3/22/28 | 29,752 | 34,426 | ||
Lloyds Banking Group plc | 4.550% | 8/16/28 | 23,800 | 27,977 | ||
Lloyds Banking Group plc | 3.574% | 11/7/28 | 10,873 | 11,968 | ||
6,9 | Lloyds Banking Group plc, 3M Australian Bank Bill Rate + 1.400% | 1.425% | 3/7/25 | 19,000 | 14,248 | |
7 | LPL Holdings Inc. | 4.375% | 5/15/31 | 3,610 | 3,695 | |
9 | Macquarie Bank Ltd. | 1.750% | 8/7/24 | 9,640 | 7,271 | |
7 | Macquarie Bank Ltd. | 3.052% | 3/3/36 | 20,000 | 20,212 | |
6,9 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.800% | 0.842% | 8/7/24 | 35,000 | 25,977 | |
6,9 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.840% | 0.880% | 2/12/25 | 25,000 | 18,575 | |
6,9 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.900% | 2.940% | 5/28/30 | 20,710 | 16,071 | |
7 | Macquarie Group Ltd. | 1.340% | 1/12/27 | 8,655 | 8,641 | |
7 | Macquarie Group Ltd. | 1.629% | 9/23/27 | 13,335 | 13,394 | |
7 | Macquarie Group Ltd. | 2.691% | 6/23/32 | 20,000 | 20,371 | |
Markel Corp. | 3.350% | 9/17/29 | 7,000 | 7,789 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 33,393 | 39,599 | ||
Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 11,995 | 12,362 | ||
Metlife Inc. | 4.550% | 3/23/30 | 24,945 | 30,308 | ||
7 | Midcap Financial Issuer Trust | 5.625% | 1/15/30 | 1,575 | 1,551 | |
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 11,555 | 12,375 | ||
Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 4,920 | 5,522 | ||
Mitsubishi UFJ Financial Group Inc. | 1.538% | 7/20/27 | 13,500 | 13,657 | ||
Mitsubishi UFJ Financial Group Inc. | 3.287% | 7/25/27 | 2,750 | 3,052 | ||
Mitsubishi UFJ Financial Group Inc. | 3.961% | 3/2/28 | 10,136 | 11,605 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Mitsubishi UFJ Financial Group Inc. | 4.050% | 9/11/28 | 5,000 | 5,790 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 43,090 | 48,981 | ||
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 41,735 | 45,687 | ||
Mitsubishi UFJ Financial Group Inc. | 2.559% | 2/25/30 | 30,878 | 32,440 | ||
Mitsubishi UFJ Financial Group Inc. | 2.309% | 7/20/32 | 40,000 | 40,769 | ||
7 | Mizuho Financial Group Inc. | 3.477% | 4/12/26 | 10,000 | 11,021 | |
Mizuho Financial Group Inc. | 2.226% | 5/25/26 | 10,200 | 10,602 | ||
Mizuho Financial Group Inc. | 2.839% | 9/13/26 | 3,525 | 3,802 | ||
Mizuho Financial Group Inc. | 3.663% | 2/28/27 | 1,879 | 2,099 | ||
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 42,860 | 42,632 | ||
Mizuho Financial Group Inc. | 1.554% | 7/9/27 | 8,000 | 8,085 | ||
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 7,750 | 8,918 | ||
Mizuho Financial Group Inc. | 4.254% | 9/11/29 | 2,000 | 2,322 | ||
Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 21,400 | 23,261 | ||
Mizuho Financial Group Inc. | 2.869% | 9/13/30 | 10,620 | 11,282 | ||
Mizuho Financial Group Inc. | 2.591% | 5/25/31 | 19,607 | 20,370 | ||
Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 10,000 | 10,099 | ||
Mizuho Financial Group Inc. | 2.260% | 7/9/32 | 12,000 | 12,085 | ||
Morgan Stanley | 0.790% | 5/30/25 | 107,221 | 107,092 | ||
Morgan Stanley | 4.000% | 7/23/25 | 14,187 | 15,802 | ||
Morgan Stanley | 3.875% | 1/27/26 | 84,720 | 95,006 | ||
Morgan Stanley | 4.350% | 9/8/26 | 23,460 | 26,725 | ||
Morgan Stanley | 0.985% | 12/10/26 | 16,117 | 15,939 | ||
Morgan Stanley | 3.625% | 1/20/27 | 68,607 | 76,640 | ||
Morgan Stanley | 3.950% | 4/23/27 | 26,821 | 30,206 | ||
Morgan Stanley | 1.593% | 5/4/27 | 23,530 | 23,887 | ||
Morgan Stanley | 1.512% | 7/20/27 | 18,600 | 18,753 | ||
Morgan Stanley | 3.591% | 7/22/28 | 51,390 | 57,262 | ||
Morgan Stanley | 3.772% | 1/24/29 | 20,000 | 22,518 | ||
Morgan Stanley | 4.431% | 1/23/30 | 25,000 | 29,400 | ||
Morgan Stanley | 2.699% | 1/22/31 | 43,418 | 45,760 | ||
Morgan Stanley | 3.622% | 4/1/31 | 31,735 | 35,706 | ||
Morgan Stanley | 1.794% | 2/13/32 | 13,320 | 12,955 | ||
Morgan Stanley | 1.928% | 4/28/32 | 10,715 | 10,522 | ||
Morgan Stanley | 2.239% | 7/21/32 | 28,500 | 28,734 | ||
Morgan Stanley | 3.217% | 4/22/42 | 12,460 | 13,384 | ||
Morgan Stanley | 5.597% | 3/24/51 | 2,000 | 3,023 | ||
8 | Nationwide Building Society | 0.250% | 7/22/25 | 1,000 | 1,206 | |
7 | Nationwide Building Society | 1.000% | 8/28/25 | 12,620 | 12,623 | |
Natwest Group plc | 1.642% | 6/14/27 | 12,338 | 12,409 | ||
Natwest Group plc | 3.073% | 5/22/28 | 12,686 | 13,560 | ||
Natwest Group plc | 4.892% | 5/18/29 | 23,355 | 27,601 | ||
Natwest Group plc | 3.754% | 11/1/29 | 755 | 803 | ||
Natwest Group plc | 5.076% | 1/27/30 | 17,179 | 20,587 | ||
Natwest Group plc | 4.445% | 5/8/30 | 7,550 | 8,778 | ||
Natwest Group plc | 2.105% | 11/28/31 | 13,800 | 19,322 | ||
Natwest Group plc | 3.032% | 11/28/35 | 15,000 | 15,164 | ||
10 | NIBC Bank NV | 3.125% | 11/15/23 | 22,000 | 32,091 | |
Nippon Life Insurance Co. | 3.375% | 5/8/32 | 5,036 | 5,522 | ||
7 | Nippon Life Insurance Co. | 3.400% | 1/23/50 | 6,000 | 6,263 | |
7 | Nippon Life Insurance Co. | 2.750% | 1/21/51 | 11,110 | 11,008 | |
Nomura Holdings Inc. | 1.851% | 7/16/25 | 6,670 | 6,831 | ||
Nomura Holdings Inc. | 1.653% | 7/14/26 | 12,000 | 12,065 | ||
Nomura Holdings Inc. | 2.172% | 7/14/28 | 25,000 | 25,152 | ||
Nomura Holdings Inc. | 3.103% | 1/16/30 | 7,557 | 8,010 | ||
Nomura Holdings Inc. | 2.608% | 7/14/31 | 11,000 | 11,166 | ||
Northern Trust Corp. | 1.950% | 5/1/30 | 5,574 | 5,716 | ||
8 | OP Corporate Bank plc | 1.625% | 6/9/30 | 700 | 863 | |
ORIX Corp. | 2.250% | 3/9/31 | 15,000 | 15,364 | ||
Owl Rock Capital Corp. | 3.400% | 7/15/26 | 16,000 | 16,823 | ||
Owl Rock Capital Corp. | 2.875% | 6/11/28 | 300 | 303 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | Phoenix Group Holdings plc | 4.375% | 1/24/29 | 400 | 561 | |
7 | Pine Street Trust I | 4.572% | 2/15/29 | 250 | 290 | |
PNC Bank NA | 3.100% | 10/25/27 | 46,625 | 51,530 | ||
PNC Bank NA | 3.250% | 1/22/28 | 28,085 | 31,331 | ||
PNC Bank NA | 2.700% | 10/22/29 | 29,415 | 31,580 | ||
PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 15,500 | 17,081 | ||
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 40,332 | 45,503 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 15,000 | 15,906 | ||
Principal Financial Group Inc. | 3.100% | 11/15/26 | 6,110 | 6,662 | ||
Principal Financial Group Inc. | 3.700% | 5/15/29 | 18,767 | 21,323 | ||
Progressive Corp. | 4.000% | 3/1/29 | 1,070 | 1,244 | ||
Progressive Corp. | 3.200% | 3/26/30 | 14,172 | 15,810 | ||
7 | Protective Life Corp. | 4.300% | 9/30/28 | 22,700 | 25,998 | |
Prudential Financial Inc. | 2.100% | 3/10/30 | 2,750 | 2,830 | ||
Prudential Financial Inc. | 3.000% | 3/10/40 | 5,000 | 5,268 | ||
Prudential Financial Inc. | 5.375% | 5/15/45 | 3,575 | 3,953 | ||
Prudential Financial Inc. | 3.935% | 12/7/49 | 2,000 | 2,396 | ||
Prudential plc | 3.125% | 4/14/30 | 1,500 | 1,639 | ||
Raymond James Financial Inc. | 3.750% | 4/1/51 | 4,000 | 4,505 | ||
Reinsurance Group of America Inc. | 3.900% | 5/15/29 | 6,800 | 7,736 | ||
7 | Sammons Financial Group Inc. | 3.350% | 4/16/31 | 10,000 | 10,492 | |
8 | Sampo Oyj | 2.500% | 9/3/52 | 200 | 258 | |
Santander Holdings USA Inc. | 3.450% | 6/2/25 | 6,925 | 7,460 | ||
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 2,000 | 2,222 | ||
Santander Holdings USA Inc. | 4.400% | 7/13/27 | 13,772 | 15,585 | ||
Santander UK Group Holdings plc | 1.532% | 8/21/26 | 15,000 | 15,117 | ||
Santander UK Group Holdings plc | 1.673% | 6/14/27 | 20,500 | 20,609 | ||
Santander UK Group Holdings plc | 3.823% | 11/3/28 | 2,500 | 2,774 | ||
7 | SBL Holdings Inc. | 5.000% | 2/18/31 | 17,773 | 19,192 | |
Sixth Street Specialty Lending Inc. | 2.500% | 8/1/26 | 5,000 | 5,091 | ||
7 | Standard Chartered plc | 1.456% | 1/14/27 | 12,500 | 12,450 | |
State Street Corp. | 2.400% | 1/24/30 | 7,030 | 7,468 | ||
State Street Corp. | 3.152% | 3/30/31 | 4,997 | 5,564 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 630 | 640 | ||
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 19,710 | 22,072 | ||
8 | Sumitomo Mitsui Financial Group Inc. | 1.546% | 6/15/26 | 1,000 | 1,277 | |
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 51,114 | 54,474 | ||
Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 5,975 | 6,497 | ||
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 23,965 | 26,586 | ||
Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 19,491 | 21,592 | ||
Sumitomo Mitsui Financial Group Inc. | 3.352% | 10/18/27 | 4,000 | 4,430 | ||
Sumitomo Mitsui Financial Group Inc. | 3.544% | 1/17/28 | 13,366 | 14,977 | ||
Sumitomo Mitsui Financial Group Inc. | 3.944% | 7/19/28 | 4,870 | 5,587 | ||
Sumitomo Mitsui Financial Group Inc. | 4.306% | 10/16/28 | 750 | 881 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 84,077 | 90,941 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 32,727 | 34,762 | ||
Sumitomo Mitsui Financial Group Inc. | 2.130% | 7/8/30 | 16,045 | 16,281 | ||
Sumitomo Mitsui Financial Group Inc. | 2.142% | 9/23/30 | 2,465 | 2,428 | ||
SVB Financial Group | 2.100% | 5/15/28 | 30,625 | 31,476 | ||
SVB Financial Group | 3.125% | 6/5/30 | 7,000 | 7,640 | ||
SVB Financial Group | 1.800% | 2/2/31 | 10,000 | 9,732 | ||
7 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 6,200 | 6,236 | |
8 | Swedbank AB | 0.750% | 5/5/25 | 1,300 | 1,600 | |
Synchrony Financial | 3.700% | 8/4/26 | 24,354 | 26,809 | ||
Synchrony Financial | 3.950% | 12/1/27 | 28,297 | 31,699 | ||
Synchrony Financial | 5.150% | 3/19/29 | 1,157 | 1,385 | ||
TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 20,837 | 23,082 | ||
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 1,000 | 1,029 | |
7 | Temasek Financial I Ltd. | 2.750% | 8/2/61 | 26,900 | 26,803 | |
Toronto-Dominion Bank | 3.625% | 9/15/31 | 11,160 | 12,453 | ||
Truist Bank | 3.625% | 9/16/25 | 22,245 | 24,600 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Truist Bank | 2.250% | 3/11/30 | 34,140 | 35,225 | ||
Truist Financial Corp. | 1.267% | 3/2/27 | 7,560 | 7,599 | ||
Truist Financial Corp. | 1.125% | 8/3/27 | 20,265 | 20,066 | ||
Truist Financial Corp. | 3.875% | 3/19/29 | 10,000 | 11,505 | ||
Truist Financial Corp. | 1.887% | 6/7/29 | 15,000 | 15,246 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 11,250 | 11,485 | ||
U.S. Bancorp | 3.150% | 4/27/27 | 29,644 | 32,811 | ||
U.S. Bancorp | 3.900% | 4/26/28 | 2,250 | 2,611 | ||
U.S. Bancorp | 3.000% | 7/30/29 | 21,800 | 23,821 | ||
U.S. Bancorp | 1.375% | 7/22/30 | 27,000 | 26,338 | ||
7 | UBS Group AG | 1.364% | 1/30/27 | 30,835 | 30,799 | |
UniCredit SPA | 1.625% | 7/3/25 | 4,301 | 5,293 | ||
8 | UniCredit SPA | 1.200% | 1/20/26 | 43,791 | 53,262 | |
United Overseas Bank Ltd. | 2.880% | 3/8/27 | 3,000 | 3,033 | ||
7 | USAA Capital Corp. | 2.125% | 5/1/30 | 3,600 | 3,698 | |
Voya Financial Inc. | 5.700% | 7/15/43 | 3,758 | 5,284 | ||
13,14 | Washington Mutual Bank / Debt not acquired by JPMorgan | 5.500% | 1/15/13 | 6,147 | 1 | |
13,14 | Washington Mutual Bank / Debt not acquired by JPMorgan | 5.650% | 8/15/14 | 7,500 | 1 | |
13,14 | Washington Mutual Bank / Debt not acquired by JPMorgan | 5.125% | 1/15/15 | 9,000 | 1 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 60,337 | 65,448 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 11,899 | 13,409 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 75,315 | 81,720 | ||
9 | Wells Fargo & Co. | 4.000% | 4/27/27 | 13,972 | 11,533 | |
Wells Fargo & Co. | 3.196% | 6/17/27 | 21,350 | 23,220 | ||
Wells Fargo & Co. | 4.300% | 7/22/27 | 14,000 | 16,086 | ||
Wells Fargo & Co. | 3.584% | 5/22/28 | 51,812 | 57,507 | ||
Wells Fargo & Co. | 2.393% | 6/2/28 | 25,588 | 26,791 | ||
Wells Fargo & Co. | 4.150% | 1/24/29 | 13,949 | 16,155 | ||
Wells Fargo & Co. | 2.879% | 10/30/30 | 51,832 | 55,368 | ||
Wells Fargo & Co. | 2.572% | 2/11/31 | 49,900 | 52,238 | ||
Wells Fargo & Co. | 4.478% | 4/4/31 | 2,000 | 2,391 | ||
10 | Wells Fargo & Co. | 2.125% | 9/24/31 | 9,800 | 14,060 | |
Wells Fargo & Co. | 5.013% | 4/4/51 | 9,000 | 12,590 | ||
10 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 23,050 | 34,761 | |
8 | Westpac Banking Corp. | 0.375% | 3/5/23 | 8,500 | 10,223 | |
Westpac Banking Corp. | 3.350% | 3/8/27 | 18,107 | 20,189 | ||
Westpac Banking Corp. | 2.894% | 2/4/30 | 250 | 261 | ||
Westpac Banking Corp. | 2.150% | 6/3/31 | 12,780 | 13,155 | ||
Westpac Banking Corp. | 4.322% | 11/23/31 | 21,500 | 24,030 | ||
Westpac Banking Corp. | 4.110% | 7/24/34 | 11,175 | 12,428 | ||
Westpac Banking Corp. | 2.668% | 11/15/35 | 15,000 | 14,989 | ||
Westpac Banking Corp. | 2.963% | 11/16/40 | 3,430 | 3,458 | ||
Willis North America Inc. | 4.500% | 9/15/28 | 12,000 | 13,989 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 52,892 | 56,152 | ||
9,651,380 | ||||||
Health Care (6.9%) | ||||||
AbbVie Inc. | 2.950% | 11/21/26 | 74,412 | 80,590 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 53,028 | 58,330 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 5,000 | 5,935 | ||
Agilent Technologies Inc. | 3.050% | 9/22/26 | 2,000 | 2,166 | ||
Agilent Technologies Inc. | 2.750% | 9/15/29 | 10,000 | 10,627 | ||
Agilent Technologies Inc. | 2.300% | 3/12/31 | 25,000 | 25,497 | ||
7 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,000 | 5,329 | |
AmerisourceBergen Corp. | 3.450% | 12/15/27 | 15,701 | 17,286 | ||
AmerisourceBergen Corp. | 2.700% | 3/15/31 | 42,000 | 43,935 | ||
Amgen Inc. | 2.200% | 2/21/27 | 65,841 | 69,047 | ||
Amgen Inc. | 3.200% | 11/2/27 | 7,553 | 8,326 | ||
Amgen Inc. | 2.450% | 2/21/30 | 7,400 | 7,739 | ||
Anthem Inc. | 1.500% | 3/15/26 | 12,810 | 13,052 | ||
Anthem Inc. | 3.650% | 12/1/27 | 10,000 | 11,270 | ||
Anthem Inc. | 2.875% | 9/15/29 | 24,704 | 26,617 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Anthem Inc. | 2.250% | 5/15/30 | 372 | 382 | ||
Anthem Inc. | 2.550% | 3/15/31 | 5,000 | 5,243 | ||
Anthem Inc. | 3.125% | 5/15/50 | 2,000 | 2,098 | ||
Ascension Health | 2.532% | 11/15/29 | 2,500 | 2,672 | ||
Astrazeneca Finance LLC | 1.750% | 5/28/28 | 51,477 | 52,393 | ||
Astrazeneca Finance LLC | 2.250% | 5/28/31 | 10,000 | 10,386 | ||
AstraZeneca plc | 1.375% | 8/6/30 | 39,800 | 38,572 | ||
7 | Bausch Health Cos. Inc. | 6.125% | 4/15/25 | 1,367 | 1,397 | |
7 | Bausch Health Cos. Inc. | 5.500% | 11/1/25 | 970 | 991 | |
7 | Bausch Health Cos. Inc. | 5.750% | 8/15/27 | 1,589 | 1,672 | |
7 | Bausch Health Cos. Inc. | 7.000% | 1/15/28 | 2,715 | 2,849 | |
7 | Bausch Health Cos. Inc. | 4.875% | 6/1/28 | 2,035 | 2,099 | |
7 | Bausch Health Cos. Inc. | 5.250% | 2/15/31 | 1,615 | 1,513 | |
Baxter International Inc. | 3.950% | 4/1/30 | 8,000 | 9,318 | ||
7 | Bayer U.S. Finance II LLC | 4.375% | 12/15/28 | 38,367 | 44,482 | |
Becton Dickinson and Co. | 3.700% | 6/6/27 | 48,768 | 54,590 | ||
Becton Dickinson and Co. | 2.823% | 5/20/30 | 3,465 | 3,690 | ||
Biogen Inc. | 2.250% | 5/1/30 | 5,955 | 6,056 | ||
Boston Scientific Corp. | 4.000% | 3/1/29 | 12,000 | 13,837 | ||
Boston Scientific Corp. | 2.650% | 6/1/30 | 43,499 | 45,755 | ||
Bristol-Myers Squibb Co. | 3.450% | 11/15/27 | 45,226 | 50,847 | ||
Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 29,040 | 33,516 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 59,317 | 67,218 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 16,500 | 16,194 | ||
Centene Corp. | 2.450% | 7/15/28 | 16,665 | 16,875 | ||
Centene Corp. | 3.000% | 10/15/30 | 1,487 | 1,547 | ||
Centene Corp. | 2.500% | 3/1/31 | 3,175 | 3,178 | ||
15 | Centene Corp. | 2.625% | 8/1/31 | 8,535 | 8,543 | |
7 | Charles River Laboratories International Inc. | 3.750% | 3/15/29 | 1,635 | 1,676 | |
CHRISTUS Health | 4.341% | 7/1/28 | 19,800 | 23,041 | ||
Cigna Corp. | 4.500% | 2/25/26 | 10,000 | 11,422 | ||
Cigna Corp. | 3.400% | 3/1/27 | 38,217 | 42,212 | ||
Cigna Corp. | 4.375% | 10/15/28 | 49,260 | 57,948 | ||
Cigna Corp. | 2.400% | 3/15/30 | 22,341 | 23,232 | ||
Cigna Corp. | 2.375% | 3/15/31 | 5,000 | 5,169 | ||
Cigna Corp. | 3.400% | 3/15/50 | 2,000 | 2,151 | ||
CVS Health Corp. | 3.000% | 8/15/26 | 20,571 | 22,330 | ||
CVS Health Corp. | 3.625% | 4/1/27 | 61,060 | 68,069 | ||
CVS Health Corp. | 1.300% | 8/21/27 | 30,000 | 29,814 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 109,084 | 126,309 | ||
CVS Health Corp. | 3.250% | 8/15/29 | 45,414 | 49,929 | ||
CVS Health Corp. | 3.750% | 4/1/30 | 22,585 | 25,679 | ||
CVS Health Corp. | 1.875% | 2/28/31 | 5,000 | 4,947 | ||
CVS Health Corp. | 4.250% | 4/1/50 | 2,000 | 2,448 | ||
DH Europe Finance II Sarl | 2.600% | 11/15/29 | 22,000 | 23,352 | ||
Eli Lilly & Co. | 3.375% | 3/15/29 | 8,300 | 9,415 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 3,202 | 3,330 | ||
8 | Fresenius SE & Co. KGaA | 1.125% | 1/28/33 | 350 | 435 | |
Gilead Sciences Inc. | 2.950% | 3/1/27 | 8,324 | 9,050 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 35,702 | 41,323 | ||
HCA Inc. | 5.375% | 2/1/25 | 4,630 | 5,242 | ||
HCA Inc. | 5.250% | 6/15/26 | 30,340 | 35,356 | ||
HCA Inc. | 4.500% | 2/15/27 | 34,516 | 39,392 | ||
HCA Inc. | 4.125% | 6/15/29 | 18,660 | 21,300 | ||
HCA Inc. | 2.375% | 7/15/31 | 20,000 | 20,203 | ||
7 | HCRX Investments Holdco LP | 4.500% | 8/1/29 | 785 | 801 | |
7 | Highmark Inc. | 1.450% | 5/10/26 | 22,500 | 22,695 | |
7 | Highmark Inc. | 2.550% | 5/10/31 | 20,000 | 20,590 | |
7 | Hill-Rom Holdings Inc. | 4.375% | 9/15/27 | 4,645 | 4,857 | |
Humana Inc. | 3.950% | 3/15/27 | 7,550 | 8,526 | ||
Humana Inc. | 4.875% | 4/1/30 | 508 | 620 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Laboratory Corp. of America Holdings | 3.600% | 9/1/27 | 464 | 519 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 54,169 | 61,375 | ||
Mercy Health | 4.302% | 7/1/28 | 12,500 | 14,664 | ||
8 | Mylan Inc. | 2.125% | 5/23/25 | 33,780 | 42,976 | |
Mylan Inc. | 4.550% | 4/15/28 | 24,800 | 28,761 | ||
Novartis Capital Corp. | 3.100% | 5/17/27 | 8,700 | 9,592 | ||
Novartis Capital Corp. | 2.200% | 8/14/30 | 22,570 | 23,747 | ||
7 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 4,065 | 4,169 | |
7 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 5.125% | 4/30/31 | 2,435 | 2,509 | |
Perrigo Finance Unlimited Co. | 3.150% | 6/15/30 | 11,500 | 12,036 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 45,721 | 52,037 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 17,500 | 18,966 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 11,270 | 11,387 | ||
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 7,500 | 8,065 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 5,000 | 5,309 | ||
Quest Diagnostics Inc. | 2.950% | 6/30/30 | 13,950 | 15,011 | ||
Quest Diagnostics Inc. | 2.800% | 6/30/31 | 6,655 | 7,082 | ||
Regeneron Pharmaceuticals Inc. | 1.750% | 9/15/30 | 15,000 | 14,507 | ||
7 | Royalty Pharma plc | 1.200% | 9/2/25 | 7,000 | 6,992 | |
7 | Royalty Pharma plc | 1.750% | 9/2/27 | 10,000 | 10,032 | |
7 | Royalty Pharma plc | 2.200% | 9/2/30 | 10,000 | 9,953 | |
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 29,545 | 32,186 | ||
Stanford Health Care | 3.310% | 8/15/30 | 17,000 | 19,112 | ||
STERIS Irish FinCo UnLtd Co. | 2.700% | 3/15/31 | 32,000 | 33,198 | ||
Stryker Corp. | 1.950% | 6/15/30 | 20,000 | 20,172 | ||
Takeda Pharmaceutical Co. Ltd. | 5.000% | 11/26/28 | 22,708 | 27,621 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 76,737 | 77,136 | ||
7 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 360 | 368 | |
7 | Tenet Healthcare Corp. | 7.500% | 4/1/25 | 270 | 290 | |
7 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 3,474 | 3,594 | |
7 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 1,641 | 1,710 | |
7 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 3,819 | 3,891 | |
Thermo Fisher Scientific Inc. | 3.200% | 8/15/27 | 16,870 | 18,609 | ||
Thermo Fisher Scientific Inc. | 2.600% | 10/1/29 | 5,000 | 5,323 | ||
UnitedHealth Group Inc. | 1.150% | 5/15/26 | 6,810 | 6,871 | ||
UnitedHealth Group Inc. | 3.450% | 1/15/27 | 10,800 | 12,092 | ||
UnitedHealth Group Inc. | 3.375% | 4/15/27 | 20,317 | 22,723 | ||
UnitedHealth Group Inc. | 2.950% | 10/15/27 | 10,948 | 12,078 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 29,398 | 34,019 | ||
UnitedHealth Group Inc. | 3.875% | 12/15/28 | 30,288 | 35,231 | ||
UnitedHealth Group Inc. | 2.875% | 8/15/29 | 5,666 | 6,195 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 10,000 | 10,250 | ||
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 13,500 | 14,062 | ||
8 | Upjohn Finance BV | 1.908% | 6/23/32 | 10,800 | 13,956 | |
8 | Utah Acquisition Sub Inc. | 2.250% | 11/22/24 | 12,000 | 15,252 | |
Utah Acquisition Sub Inc. | 3.950% | 6/15/26 | 36,800 | 40,861 | ||
7 | Viatris Inc. | 2.300% | 6/22/27 | 28,360 | 29,180 | |
7 | Viatris Inc. | 2.700% | 6/22/30 | 59,400 | 60,974 | |
7 | Viatris Inc. | 3.850% | 6/22/40 | 5,000 | 5,452 | |
Zoetis Inc. | 3.000% | 9/12/27 | 1,015 | 1,108 | ||
Zoetis Inc. | 3.900% | 8/20/28 | 21,700 | 24,970 | ||
Zoetis Inc. | 2.000% | 5/15/30 | 15,000 | 15,169 | ||
2,609,864 | ||||||
Industrials (5.7%) | ||||||
3M Co. | 3.375% | 3/1/29 | 10,087 | 11,414 | ||
3M Co. | 2.375% | 8/26/29 | 10,000 | 10,623 | ||
7,15 | Air Canada | 3.875% | 8/15/26 | 2,580 | 2,587 | |
7 | Airbus SE | 3.150% | 4/10/27 | 26,527 | 28,974 | |
7 | Allied Universal Holdco LLC / Allied Universal Finance Corp. | 6.000% | 6/1/29 | 407 | 409 | |
7 | Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl | 4.625% | 6/1/28 | 595 | 594 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl | 4.625% | 6/1/28 | 895 | 898 | |
7 | Allison Transmission Inc. | 4.750% | 10/1/27 | 5,165 | 5,392 | |
7 | Allison Transmission Inc. | 3.750% | 1/30/31 | 2,900 | 2,899 | |
7 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.500% | 4/20/26 | 2,935 | 3,071 | |
4,7 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.750% | 4/20/29 | 7,985 | 8,634 | |
7 | Aramark Services Inc. | 6.375% | 5/1/25 | 1,472 | 1,552 | |
7 | Aramark Services Inc. | 5.000% | 2/1/28 | 2,610 | 2,714 | |
7 | Atkore Inc. | 4.250% | 6/1/31 | 1,995 | 2,049 | |
9 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 34,840 | 27,453 | |
7 | BAE Systems plc | 1.900% | 2/15/31 | 16,670 | 16,436 | |
Block Financial LLC | 3.875% | 8/15/30 | 13,650 | 14,992 | ||
Boeing Co. | 4.875% | 5/1/25 | 4,862 | 5,452 | ||
Boeing Co. | 2.750% | 2/1/26 | 19,520 | 20,430 | ||
Boeing Co. | 2.250% | 6/15/26 | 5,638 | 5,784 | ||
Boeing Co. | 2.700% | 2/1/27 | 24,130 | 25,076 | ||
Boeing Co. | 5.040% | 5/1/27 | 64,624 | 74,806 | ||
Boeing Co. | 3.250% | 2/1/28 | 33,155 | 35,356 | ||
Boeing Co. | 3.250% | 3/1/28 | 1,131 | 1,198 | ||
Boeing Co. | 3.200% | 3/1/29 | 17,969 | 18,954 | ||
Boeing Co. | 2.950% | 2/1/30 | 10,000 | 10,324 | ||
Boeing Co. | 5.150% | 5/1/30 | 61,541 | 73,266 | ||
Boeing Co. | 3.625% | 2/1/31 | 5,000 | 5,449 | ||
Canadian Pacific Railway Co. | 4.000% | 6/1/28 | 2,000 | 2,299 | ||
7 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 2,914 | 2,982 | |
Carrier Global Corp. | 2.493% | 2/15/27 | 14,144 | 14,946 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 31,000 | 32,800 | ||
Caterpillar Inc. | 2.600% | 9/19/29 | 8,000 | 8,611 | ||
7 | Clark Equipment Co. | 5.875% | 6/1/25 | 1,572 | 1,663 | |
7 | Clean Harbors Inc. | 4.875% | 7/15/27 | 4,160 | 4,369 | |
CNH Industrial Capital LLC | 1.875% | 1/15/26 | 34,000 | 34,905 | ||
CSX Corp. | 3.250% | 6/1/27 | 39,444 | 43,387 | ||
CSX Corp. | 3.800% | 3/1/28 | 18,470 | 20,981 | ||
CSX Corp. | 2.400% | 2/15/30 | 663 | 691 | ||
4 | Delta Air Lines Class AA Series 2020-1 Pass Through Trust | 2.000% | 12/10/29 | 9,402 | 9,458 | |
Delta Air Lines Inc. | 2.900% | 10/28/24 | 1,255 | 1,273 | ||
7 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 5,575 | 6,559 | |
Delta Air Lines Inc. | 3.750% | 10/28/29 | 2,023 | 2,011 | ||
4,7 | Delta Air Lines Inc. / SkyMiles IP Ltd. | 4.750% | 10/20/28 | 89,502 | 100,236 | |
8 | easyJet FinCo BV | 1.875% | 3/3/28 | 10,100 | 12,051 | |
Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 17,853 | 18,744 | ||
Embraer Netherlands Finance BV | 5.400% | 2/1/27 | 4,100 | 4,332 | ||
Embraer Overseas Ltd. | 5.696% | 9/16/23 | 582 | 622 | ||
Embraer SA | 5.150% | 6/15/22 | 8,000 | 8,216 | ||
FedEx Corp. | 3.400% | 2/15/28 | 478 | 536 | ||
FedEx Corp. | 3.100% | 8/5/29 | 11,998 | 13,156 | ||
FedEx Corp. | 4.250% | 5/15/30 | 7,753 | 9,157 | ||
FedEx Corp. | 2.400% | 5/15/31 | 39,791 | 41,225 | ||
7 | First Student Bidco Inc. / First Transit Parent Inc. | 4.000% | 7/31/29 | 3,140 | 3,145 | |
10 | Gatwick Funding Ltd. | 2.500% | 4/15/32 | 2,800 | 3,936 | |
General Dynamics Corp. | 3.500% | 4/1/27 | 22,400 | 25,086 | ||
General Dynamics Corp. | 3.750% | 5/15/28 | 20,545 | 23,556 | ||
General Dynamics Corp. | 3.625% | 4/1/30 | 21,607 | 24,776 | ||
General Dynamics Corp. | 2.250% | 6/1/31 | 10,000 | 10,442 | ||
General Electric Co. | 3.450% | 5/1/27 | 14,365 | 15,927 | ||
General Electric Co. | 3.625% | 5/1/30 | 23,090 | 26,029 | ||
General Electric Co. | 6.750% | 3/15/32 | 15,465 | 21,601 | ||
7 | H&E Equipment Services Inc. | 3.875% | 12/15/28 | 3,625 | 3,597 | |
10 | Heathrow Funding Ltd. | 6.750% | 12/3/28 | 7,165 | 12,565 | |
8 | Heathrow Funding Ltd. | 1.500% | 2/11/30 | 800 | 993 | |
Honeywell International Inc. | 2.700% | 8/15/29 | 14,138 | 15,364 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Honeywell International Inc. | 1.950% | 6/1/30 | 9,459 | 9,740 | ||
Hubbell Inc. | 2.300% | 3/15/31 | 15,000 | 15,329 | ||
Huntington Ingalls Industries Inc. | 3.483% | 12/1/27 | 18,000 | 19,758 | ||
Huntington Ingalls Industries Inc. | 4.200% | 5/1/30 | 3,000 | 3,465 | ||
7 | Interchile SA | 4.500% | 6/30/56 | 15,000 | 16,087 | |
Johnson Controls International plc | 3.900% | 2/14/26 | 2,621 | 2,918 | ||
8 | Johnson Controls International plc / Tyco Fire & Security Finance SCA | 1.000% | 9/15/32 | 800 | 992 | |
L3Harris Technologies Inc. | 3.850% | 12/15/26 | 26,665 | 30,091 | ||
L3Harris Technologies Inc. | 4.400% | 6/15/28 | 36,284 | 42,379 | ||
L3Harris Technologies Inc. | 4.400% | 6/15/28 | 273 | 319 | ||
L3Harris Technologies Inc. | 2.900% | 12/15/29 | 4,831 | 5,200 | ||
L3Harris Technologies Inc. | 1.800% | 1/15/31 | 26,540 | 26,092 | ||
Lennox International Inc. | 1.700% | 8/1/27 | 7,000 | 7,067 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 7,138 | 7,262 | ||
9 | Lonsdale Finance Pty Ltd. | 2.450% | 11/20/26 | 2,500 | 1,905 | |
7 | Madison IAQ LLC | 4.125% | 6/30/28 | 2,375 | 2,379 | |
7 | Madison IAQ LLC | 5.875% | 6/30/29 | 2,363 | 2,390 | |
7 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 46,176 | 50,263 | |
7 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 1,600 | 1,656 | |
Norfolk Southern Corp. | 3.800% | 8/1/28 | 10,803 | 12,358 | ||
Norfolk Southern Corp. | 2.300% | 5/15/31 | 15,000 | 15,508 | ||
Northrop Grumman Corp. | 3.200% | 2/1/27 | 311 | 340 | ||
Northrop Grumman Corp. | 3.250% | 1/15/28 | 77,009 | 84,680 | ||
Northrop Grumman Corp. | 4.400% | 5/1/30 | 32,630 | 39,054 | ||
Otis Worldwide Corp. | 2.293% | 4/5/27 | 14,120 | 14,833 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 25,769 | 27,192 | ||
9 | Pacific National Finance Pty Ltd. | 3.700% | 9/24/29 | 12,700 | 9,646 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.200% | 4/1/27 | 19,467 | 22,130 | |
9 | Qantas Airways Ltd. | 4.750% | 10/12/26 | 25,000 | 20,433 | |
Raytheon Technologies Corp. | 3.500% | 3/15/27 | 40,249 | 44,739 | ||
Raytheon Technologies Corp. | 3.125% | 5/4/27 | 59,338 | 64,873 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 28,670 | 33,270 | ||
Raytheon Technologies Corp. | 2.250% | 7/1/30 | 8,511 | 8,773 | ||
Republic Services Inc. | 3.950% | 5/15/28 | 2,000 | 2,294 | ||
Republic Services Inc. | 1.750% | 2/15/32 | 21,900 | 21,344 | ||
7 | Rolls-Royce plc | 5.750% | 10/15/27 | 6,236 | 6,832 | |
7 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 25,000 | 25,449 | |
Southwest Airlines Co. | 7.375% | 3/1/27 | 4,930 | 6,279 | ||
Southwest Airlines Co. | 5.125% | 6/15/27 | 31,304 | 37,041 | ||
Southwest Airlines Co. | 3.450% | 11/16/27 | 3,800 | 4,160 | ||
Southwest Airlines Co. | 2.625% | 2/10/30 | 19,989 | 20,764 | ||
Stanley Black & Decker Inc. | 2.300% | 3/15/30 | 44,607 | 46,873 | ||
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 34,661 | 35,853 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 15,000 | 15,771 | ||
7 | TransDigm Inc. | 8.000% | 12/15/25 | 1,030 | 1,108 | |
7 | TransDigm Inc. | 6.250% | 3/15/26 | 7,569 | 7,947 | |
TransDigm Inc. | 5.500% | 11/15/27 | 3,009 | 3,107 | ||
7 | TransDigm Inc. | 4.875% | 5/1/29 | 4,880 | 4,907 | |
6,9 | Transurban Queensland Finance Pty Ltd., 3M Australian Bank Bill Rate + 2.050% | 2.072% | 12/16/24 | 16,000 | 12,150 | |
Tyco Electronics Group SA | 3.700% | 2/15/26 | 25,054 | 27,588 | ||
Tyco Electronics Group SA | 3.125% | 8/15/27 | 24,541 | 26,794 | ||
Union Pacific Corp. | 2.150% | 2/5/27 | 43,336 | 45,349 | ||
Union Pacific Corp. | 3.000% | 4/15/27 | 7,272 | 7,940 | ||
Union Pacific Corp. | 3.950% | 9/10/28 | 17,542 | 20,280 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 5,149 | 5,860 | ||
Union Pacific Corp. | 2.375% | 5/20/31 | 20,000 | 20,809 | ||
4 | United Airlines Class AA Series 2019-2 Pass Through Trust | 5.875% | 4/15/29 | 32,462 | 36,039 | |
United Airlines Holdings Inc. | 4.875% | 1/15/25 | 1,445 | 1,481 | ||
7 | United Airlines Inc. | 4.375% | 4/15/26 | 4,855 | 4,995 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | United Airlines Inc. | 4.625% | 4/15/29 | 4,865 | 5,006 | |
United Rentals North America Inc. | 3.875% | 2/15/31 | 3,148 | 3,240 | ||
15 | United Rentals North America Inc. | 3.750% | 1/15/32 | 1,570 | 1,570 | |
Waste Management Inc. | 3.150% | 11/15/27 | 491 | 542 | ||
Waste Management Inc. | 1.150% | 3/15/28 | 14,865 | 14,579 | ||
Waste Management Inc. | 2.000% | 6/1/29 | 15,320 | 15,706 | ||
Waste Management Inc. | 1.500% | 3/15/31 | 17,800 | 17,211 | ||
7 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 4,463 | 4,972 | |
2,153,974 | ||||||
Materials (2.0%) | ||||||
Amcor Flexibles North America Inc. | 2.690% | 5/25/31 | 20,000 | 20,884 | ||
7 | Arconic Corp. | 6.000% | 5/15/25 | 770 | 814 | |
7 | Arconic Rolled Products Corp. | 6.125% | 2/15/28 | 1,305 | 1,395 | |
7 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 4/30/25 | 1,839 | 1,919 | |
7 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.125% | 8/15/26 | 2,510 | 2,590 | |
7 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV | 4.750% | 6/15/27 | 1,319 | 1,391 | |
Ball Corp. | 5.000% | 3/15/22 | 940 | 962 | ||
Ball Corp. | 2.875% | 8/15/30 | 789 | 781 | ||
7 | Berry Global Inc. | 1.570% | 1/15/26 | 28,476 | 28,686 | |
7 | Berry Global Inc. | 4.875% | 7/15/26 | 4,147 | 4,374 | |
7 | Berry Global Inc. | 5.625% | 7/15/27 | 5,440 | 5,741 | |
7 | Big River Steel LLC / BRS Finance Corp. | 6.625% | 1/31/29 | 2,784 | 3,058 | |
7 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.400% | 12/1/26 | 36,416 | 40,298 | |
7 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.700% | 6/1/28 | 23,646 | 26,765 | |
Dow Chemical Co. | 4.800% | 11/30/28 | 4,000 | 4,844 | ||
Dow Chemical Co. | 2.100% | 11/15/30 | 17,500 | 17,690 | ||
DuPont de Nemours Inc. | 4.725% | 11/15/28 | 14,000 | 16,812 | ||
Ecolab Inc. | 3.250% | 12/1/27 | 3,928 | 4,370 | ||
Ecolab Inc. | 1.300% | 1/30/31 | 25,350 | 24,574 | ||
7 | Element Solutions Inc. | 3.875% | 9/1/28 | 1,885 | 1,925 | |
FMC Corp. | 3.200% | 10/1/26 | 14,475 | 15,708 | ||
7 | FMG Resources August 2006 Pty Ltd. | 4.500% | 9/15/27 | 550 | 599 | |
Freeport-McMoRan Inc. | 4.125% | 3/1/28 | 7,775 | 8,137 | ||
Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 4,405 | 4,660 | ||
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 1,580 | 1,707 | ||
Freeport-McMoRan Inc. | 4.625% | 8/1/30 | 4,130 | 4,532 | ||
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 1,230 | 1,580 | ||
7 | Georgia-Pacific LLC | 2.100% | 4/30/27 | 51,652 | 53,887 | |
7 | Georgia-Pacific LLC | 2.300% | 4/30/30 | 7,000 | 7,279 | |
8 | Glencore Capital Finance DAC | 1.125% | 3/10/28 | 550 | 674 | |
Glencore Capital Finance DAC | 1.250% | 3/1/33 | 7,400 | 8,850 | ||
10 | Glencore Finance Europe Ltd. | 6.000% | 4/3/22 | 10,730 | 15,442 | |
7 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 2,607 | 2,645 | |
7 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 977 | 973 | |
7 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 2,585 | 2,631 | |
Huntsman International LLC | 2.950% | 6/15/31 | 10,000 | 10,336 | ||
7 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 1,085 | 1,092 | |
7 | Ingevity Corp. | 3.875% | 11/1/28 | 1,485 | 1,485 | |
7 | Kraton Polymers LLC / Kraton Polymers Capital Corp. | 4.250% | 12/15/25 | 1,105 | 1,131 | |
LYB International Finance II BV | 3.500% | 3/2/27 | 12,183 | 13,423 | ||
LYB International Finance III LLC | 3.375% | 5/1/30 | 40,010 | 44,257 | ||
Martin Marietta Materials Inc. | 2.400% | 7/15/31 | 25,000 | 25,684 | ||
Newmont Corp. | 2.800% | 10/1/29 | 37,675 | 40,094 | ||
Newmont Corp. | 2.250% | 10/1/30 | 34,620 | 35,207 | ||
Nucor Corp. | 2.700% | 6/1/30 | 21,060 | 22,347 | ||
Nutrien Ltd. | 4.200% | 4/1/29 | 5,695 | 6,633 | ||
7 | OCI NV | 5.250% | 11/1/24 | 2,385 | 2,454 | |
7 | OCI NV | 4.625% | 10/15/25 | 860 | 891 | |
7 | OCP SA | 5.125% | 6/23/51 | 6,520 | 6,653 | |
Packaging Corp. of America | 3.000% | 12/15/29 | 17,944 | 19,262 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
PPG Industries Inc. | 2.800% | 8/15/29 | 5,000 | 5,357 | ||
PPG Industries Inc. | 2.550% | 6/15/30 | 6,435 | 6,789 | ||
Praxair Inc. | 1.100% | 8/10/30 | 5,570 | 5,334 | ||
7 | Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 4.000% | 10/15/27 | 3,015 | 3,011 | |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 2,000 | 2,736 | ||
RPM International Inc. | 3.750% | 3/15/27 | 15,392 | 17,010 | ||
RPM International Inc. | 4.550% | 3/1/29 | 15,250 | 17,791 | ||
Sherwin-Williams Co. | 3.450% | 6/1/27 | 25,331 | 28,151 | ||
Sherwin-Williams Co. | 2.950% | 8/15/29 | 18,434 | 20,020 | ||
Sherwin-Williams Co. | 2.300% | 5/15/30 | 4,875 | 5,041 | ||
Steel Dynamics Inc. | 5.000% | 12/15/26 | 510 | 531 | ||
Steel Dynamics Inc. | 1.650% | 10/15/27 | 14,000 | 14,102 | ||
Steel Dynamics Inc. | 3.450% | 4/15/30 | 32,200 | 35,624 | ||
7 | Trivium Packaging Finance BV | 5.500% | 8/15/26 | 910 | 953 | |
United States Steel Corp. | 6.875% | 3/1/29 | 4,794 | 5,206 | ||
Westrock Co. | 4.000% | 3/15/28 | 6,350 | 7,240 | ||
WRKCo Inc. | 3.375% | 9/15/27 | 3,150 | 3,469 | ||
WRKCo Inc. | 3.900% | 6/1/28 | 12,616 | 14,369 | ||
762,860 | ||||||
Real Estate (6.1%) | ||||||
Agree LP | 2.000% | 6/15/28 | 28,750 | 28,973 | ||
Agree LP | 2.900% | 10/1/30 | 3,500 | 3,717 | ||
Agree LP | 2.600% | 6/15/33 | 11,220 | 11,405 | ||
10 | Akelius Residential Property AB | 2.375% | 8/15/25 | 12,654 | 18,419 | |
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/28 | 1,975 | 2,255 | ||
Alexandria Real Estate Equities Inc. | 2.750% | 12/15/29 | 22,905 | 24,333 | ||
Alexandria Real Estate Equities Inc. | 4.900% | 12/15/30 | 347 | 430 | ||
Alexandria Real Estate Equities Inc. | 2.000% | 5/18/32 | 10,000 | 9,980 | ||
Alexandria Real Estate Equities Inc. | 1.875% | 2/1/33 | 7,080 | 6,864 | ||
American Assets Trust LP | 3.375% | 2/1/31 | 13,104 | 13,780 | ||
American Campus Communities Operating Partnership LP | 3.625% | 11/15/27 | 880 | 969 | ||
American Campus Communities Operating Partnership LP | 2.850% | 2/1/30 | 1,049 | 1,097 | ||
American Homes 4 Rent LP | 4.250% | 2/15/28 | 13,372 | 15,364 | ||
American Homes 4 Rent LP | 2.375% | 7/15/31 | 10,000 | 10,144 | ||
American Tower Corp. | 3.375% | 10/15/26 | 26,348 | 28,849 | ||
American Tower Corp. | 2.750% | 1/15/27 | 29,758 | 31,668 | ||
American Tower Corp. | 3.550% | 7/15/27 | 11,315 | 12,527 | ||
American Tower Corp. | 3.600% | 1/15/28 | 27,234 | 30,246 | ||
American Tower Corp. | 1.500% | 1/31/28 | 39,887 | 39,349 | ||
American Tower Corp. | 3.950% | 3/15/29 | 9,000 | 10,228 | ||
American Tower Corp. | 3.800% | 8/15/29 | 2,500 | 2,818 | ||
American Tower Corp. | 2.900% | 1/15/30 | 17,600 | 18,735 | ||
American Tower Corp. | 2.700% | 4/15/31 | 20,000 | 20,999 | ||
8 | American Tower Corp. | 1.250% | 5/21/33 | 7,000 | 8,662 | |
10 | Aroundtown SA | 3.625% | 4/10/31 | 4,049 | 6,332 | |
8 | Aroundtown SA | 1.625% | 12/31/99 | 400 | 466 | |
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 19,800 | 21,487 | ||
AvalonBay Communities Inc. | 2.900% | 10/15/26 | 6,500 | 7,027 | ||
AvalonBay Communities Inc. | 3.350% | 5/15/27 | 12,040 | 13,331 | ||
AvalonBay Communities Inc. | 3.200% | 1/15/28 | 18,750 | 20,594 | ||
AvalonBay Communities Inc. | 3.300% | 6/1/29 | 5,000 | 5,563 | ||
AvalonBay Communities Inc. | 2.300% | 3/1/30 | 14,752 | 15,313 | ||
8 | Balder Finland Oyj | 1.000% | 1/20/29 | 11,953 | 14,248 | |
Balder Finland Oyj | 1.375% | 5/24/30 | 7,600 | 9,227 | ||
Boston Properties LP | 2.750% | 10/1/26 | 9,952 | 10,693 | ||
Boston Properties LP | 3.400% | 6/21/29 | 295 | 325 | ||
Boston Properties LP | 2.900% | 3/15/30 | 16,800 | 17,835 | ||
Boston Properties LP | 3.250% | 1/30/31 | 10,806 | 11,784 | ||
Boston Properties LP | 2.550% | 4/1/32 | 20,000 | 20,545 | ||
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 19,935 | 21,967 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Brixmor Operating Partnership LP | 2.250% | 4/1/28 | 13,000 | 13,376 | ||
Brixmor Operating Partnership LP | 4.125% | 5/15/29 | 18,000 | 20,600 | ||
Brixmor Operating Partnership LP | 4.050% | 7/1/30 | 23,018 | 26,266 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 28,603 | 29,627 | ||
Corporate Office Properties LP | 2.750% | 4/15/31 | 26,710 | 27,371 | ||
Crown Castle International Corp. | 4.450% | 2/15/26 | 37,166 | 42,143 | ||
Crown Castle International Corp. | 3.700% | 6/15/26 | 9,005 | 9,978 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,758 | 9,851 | ||
Crown Castle International Corp. | 4.300% | 2/15/29 | 19,930 | 23,197 | ||
Crown Castle International Corp. | 3.100% | 11/15/29 | 30,966 | 33,314 | ||
Crown Castle International Corp. | 3.300% | 7/1/30 | 10,589 | 11,534 | ||
Crown Castle International Corp. | 2.250% | 1/15/31 | 13,715 | 13,755 | ||
7 | CTR Partnership LP / CareTrust Capital Corp. | 3.875% | 6/30/28 | 2,049 | 2,101 | |
CubeSmart LP | 4.375% | 2/15/29 | 12,000 | 13,913 | ||
Digital Realty Trust LP | 4.750% | 10/1/25 | 5,645 | 6,442 | ||
Digital Realty Trust LP | 3.700% | 8/15/27 | 21,675 | 24,453 | ||
Digital Realty Trust LP | 3.600% | 7/1/29 | 26,524 | 29,928 | ||
Duke Realty LP | 3.375% | 12/15/27 | 12,983 | 14,411 | ||
Duke Realty LP | 2.875% | 11/15/29 | 5,000 | 5,370 | ||
Duke Realty LP | 1.750% | 2/1/31 | 10,000 | 9,767 | ||
Equinix Inc. | 2.900% | 11/18/26 | 660 | 711 | ||
Equinix Inc. | 1.800% | 7/15/27 | 15,000 | 15,307 | ||
Equinix Inc. | 2.000% | 5/15/28 | 10,000 | 10,222 | ||
Equinix Inc. | 2.150% | 7/15/30 | 10,000 | 10,072 | ||
Equinix Inc. | 2.500% | 5/15/31 | 10,000 | 10,352 | ||
ERP Operating LP | 2.850% | 11/1/26 | 8,211 | 8,854 | ||
ERP Operating LP | 3.500% | 3/1/28 | 8,836 | 9,885 | ||
ERP Operating LP | 4.150% | 12/1/28 | 27,426 | 31,896 | ||
ERP Operating LP | 3.000% | 7/1/29 | 7,000 | 7,648 | ||
ERP Operating LP | 2.500% | 2/15/30 | 12,570 | 13,232 | ||
Essential Properties LP | 2.950% | 7/15/31 | 20,000 | 20,280 | ||
Essex Portfolio LP | 4.000% | 3/1/29 | 426 | 489 | ||
Essex Portfolio LP | 3.000% | 1/15/30 | 10,000 | 10,709 | ||
Extra Space Storage LP | 2.550% | 6/1/31 | 20,000 | 20,496 | ||
8 | Fastighets AB Balder | 1.250% | 1/28/28 | 510 | 621 | |
Federal Realty Investment Trust | 3.250% | 7/15/27 | 10,000 | 10,957 | ||
Federal Realty Investment Trust | 3.200% | 6/15/29 | 10,000 | 10,888 | ||
Federal Realty Investment Trust | 3.500% | 6/1/30 | 1,990 | 2,214 | ||
Hammerson Ireland Finance DAC | 1.750% | 6/3/27 | 500 | 604 | ||
7 | HAT Holdings I LLC / HAT Holdings II LLC | 3.375% | 6/15/26 | 2,040 | 2,061 | |
Healthcare Realty Trust Inc. | 2.400% | 3/15/30 | 1,000 | 1,027 | ||
Healthcare Realty Trust Inc. | 2.050% | 3/15/31 | 15,000 | 14,889 | ||
Healthcare Trust of America Holdings LP | 3.100% | 2/15/30 | 501 | 543 | ||
Healthcare Trust of America Holdings LP | 2.000% | 3/15/31 | 25,349 | 25,084 | ||
Healthpeak Properties Inc. | 3.500% | 7/15/29 | 12,542 | 14,103 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 14,900 | 16,139 | ||
Healthpeak Properties Inc. | 2.875% | 1/15/31 | 4,507 | 4,816 | ||
Highwoods Realty LP | 3.875% | 3/1/27 | 23,615 | 26,382 | ||
Highwoods Realty LP | 4.125% | 3/15/28 | 500 | 568 | ||
Highwoods Realty LP | 4.200% | 4/15/29 | 342 | 392 | ||
Highwoods Realty LP | 3.050% | 2/15/30 | 12,090 | 12,918 | ||
Highwoods Realty LP | 2.600% | 2/1/31 | 1,161 | 1,198 | ||
7 | IIP Operating Partnership LP | 5.500% | 5/25/26 | 9,600 | 10,023 | |
Kilroy Realty LP | 4.750% | 12/15/28 | 6,705 | 7,925 | ||
Kilroy Realty LP | 4.250% | 8/15/29 | 3,500 | 4,027 | ||
Kilroy Realty LP | 3.050% | 2/15/30 | 9,887 | 10,576 | ||
Kimco Realty Corp. | 2.800% | 10/1/26 | 7,468 | 8,007 | ||
Kimco Realty Corp. | 3.800% | 4/1/27 | 12,979 | 14,555 | ||
Kimco Realty Corp. | 1.900% | 3/1/28 | 31,105 | 31,431 | ||
Kimco Realty Corp. | 4.250% | 4/1/45 | 7,500 | 8,835 | ||
Life Storage LP | 2.200% | 10/15/30 | 7,000 | 7,072 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | Merlin Properties Socimi SA | 1.875% | 12/4/34 | 300 | 366 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 5.625% | 5/1/24 | 3,010 | 3,263 | ||
7 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.625% | 6/15/25 | 3,550 | 3,777 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.500% | 9/1/26 | 1,440 | 1,538 | ||
Mid-America Apartments LP | 4.000% | 11/15/25 | 7,620 | 8,491 | ||
Mid-America Apartments LP | 3.950% | 3/15/29 | 2,000 | 2,304 | ||
Mid-America Apartments LP | 2.750% | 3/15/30 | 16,850 | 17,928 | ||
Mid-America Apartments LP | 1.700% | 2/15/31 | 1,900 | 1,845 | ||
National Retail Properties Inc. | 4.000% | 11/15/25 | 10,605 | 11,803 | ||
National Retail Properties Inc. | 3.500% | 10/15/27 | 8,830 | 9,658 | ||
National Retail Properties Inc. | 4.300% | 10/15/28 | 1,722 | 1,985 | ||
National Retail Properties Inc. | 2.500% | 4/15/30 | 23,948 | 24,789 | ||
Office Properties Income Trust | 2.650% | 6/15/26 | 2,100 | 2,159 | ||
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 11,324 | 12,990 | ||
Omega Healthcare Investors Inc. | 4.750% | 1/15/28 | 10,137 | 11,593 | ||
Omega Healthcare Investors Inc. | 3.625% | 10/1/29 | 10,000 | 10,820 | ||
Omega Healthcare Investors Inc. | 3.375% | 2/1/31 | 18,910 | 19,725 | ||
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 6,000 | 6,095 | |
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 7,000 | 7,826 | |
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 11,900 | 13,647 | |
Physicians Realty LP | 3.950% | 1/15/28 | 5,775 | 6,433 | ||
Prologis LP | 4.375% | 2/1/29 | 15,000 | 17,897 | ||
Prologis LP | 2.250% | 4/15/30 | 10,000 | 10,409 | ||
Prologis LP | 1.250% | 10/15/30 | 10,000 | 9,598 | ||
Public Storage | 1.850% | 5/1/28 | 34,290 | 35,136 | ||
Public Storage | 3.385% | 5/1/29 | 18,527 | 20,802 | ||
Public Storage | 2.300% | 5/1/31 | 13,330 | 13,899 | ||
7 | Realogy Group LLC / Realogy Co-issuer Corp. | 7.625% | 6/15/25 | 610 | 658 | |
Realty Income Corp. | 4.125% | 10/15/26 | 45,976 | 52,415 | ||
Realty Income Corp. | 1.125% | 7/13/27 | 26,300 | 36,425 | ||
Realty Income Corp. | 3.650% | 1/15/28 | 18,669 | 21,144 | ||
Regency Centers LP | 2.950% | 9/15/29 | 8,150 | 8,745 | ||
Regency Centers LP | 3.700% | 6/15/30 | 22,150 | 25,034 | ||
Rexford Industrial Realty LP | 2.125% | 12/1/30 | 5,488 | 5,411 | ||
Sabra Health Care LP | 5.125% | 8/15/26 | 42,846 | 48,623 | ||
Sabra Health Care LP | 3.900% | 10/15/29 | 21,580 | 23,055 | ||
7 | Sba Communications Corp. | 3.125% | 2/1/29 | 5,310 | 5,218 | |
8 | Simon International Finance SCA | 1.125% | 3/19/33 | 17,800 | 21,860 | |
Simon Property Group LP | 3.250% | 11/30/26 | 24,342 | 26,776 | ||
Simon Property Group LP | 3.375% | 6/15/27 | 21,390 | 23,659 | ||
Simon Property Group LP | 3.375% | 12/1/27 | 20,559 | 22,766 | ||
Simon Property Group LP | 1.750% | 2/1/28 | 29,800 | 30,042 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 18,700 | 19,467 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 17,630 | 18,608 | ||
Simon Property Group LP | 2.200% | 2/1/31 | 21,649 | 21,791 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 5,000 | 5,256 | ||
Spirit Realty LP | 2.100% | 3/15/28 | 10,000 | 10,126 | ||
STORE Capital Corp. | 2.750% | 11/18/30 | 7,000 | 7,210 | ||
Sun Communities Operating LP | 2.700% | 7/15/31 | 10,000 | 10,247 | ||
UDR Inc. | 2.950% | 9/1/26 | 1,900 | 2,047 | ||
UDR Inc. | 1.900% | 3/15/33 | 10,000 | 9,587 | ||
7 | Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC | 7.875% | 2/15/25 | 1,520 | 1,619 | |
7 | Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC | 4.750% | 4/15/28 | 1,885 | 1,893 | |
7 | Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC | 6.500% | 2/15/29 | 2,241 | 2,273 | |
Ventas Realty LP | 3.250% | 10/15/26 | 5,820 | 6,365 | ||
Ventas Realty LP | 3.850% | 4/1/27 | 3,900 | 4,399 | ||
VEREIT Operating Partnership LP | 4.875% | 6/1/26 | 2,600 | 3,020 | ||
VEREIT Operating Partnership LP | 3.950% | 8/15/27 | 14,815 | 16,884 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 11,920 | 13,145 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 7,500 | 7,743 | ||
VEREIT Operating Partnership LP | 3.100% | 12/15/29 | 15,000 | 16,292 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 10,097 | 10,827 | ||
8 | Vicinity Centres Trust | 1.125% | 11/7/29 | 17,486 | 21,759 | |
Vornado Realty LP | 3.400% | 6/1/31 | 10,250 | 10,784 | ||
Welltower Inc. | 4.250% | 4/1/26 | 6,375 | 7,222 | ||
Welltower Inc. | 2.700% | 2/15/27 | 10,970 | 11,722 | ||
Welltower Inc. | 4.250% | 4/15/28 | 2,845 | 3,298 | ||
Welltower Inc. | 2.050% | 1/15/29 | 20,000 | 20,332 | ||
Welltower Inc. | 4.125% | 3/15/29 | 435 | 500 | ||
Welltower Inc. | 3.100% | 1/15/30 | 5,000 | 5,400 | ||
10 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 21,958 | 31,258 | |
Weyerhaeuser Co. | 4.000% | 11/15/29 | 15,516 | 17,886 | ||
Weyerhaeuser Co. | 4.000% | 4/15/30 | 1,605 | 1,846 | ||
2,293,366 | ||||||
Technology (6.7%) | ||||||
Apple Inc. | 3.350% | 2/9/27 | 25,834 | 28,795 | ||
Apple Inc. | 3.200% | 5/11/27 | 55,622 | 61,704 | ||
Apple Inc. | 2.900% | 9/12/27 | 37,615 | 41,240 | ||
Apple Inc. | 1.200% | 2/8/28 | 32,420 | 32,164 | ||
Apple Inc. | 1.400% | 8/5/28 | 115,000 | 115,123 | ||
Apple Inc. | 1.650% | 2/8/31 | 34,280 | 34,154 | ||
Applied Materials Inc. | 3.300% | 4/1/27 | 9,037 | 10,048 | ||
Autodesk Inc. | 3.500% | 6/15/27 | 9,000 | 10,034 | ||
Autodesk Inc. | 2.850% | 1/15/30 | 15,692 | 16,801 | ||
Automatic Data Processing Inc. | 1.700% | 5/15/28 | 26,610 | 27,198 | ||
Automatic Data Processing Inc. | 1.250% | 9/1/30 | 12,000 | 11,622 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 55,328 | 61,419 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 31,027 | 34,828 | ||
Broadcom Inc. | 3.459% | 9/15/26 | 20,302 | 22,163 | ||
7 | Broadcom Inc. | 1.950% | 2/15/28 | 10,518 | 10,588 | |
Broadcom Inc. | 4.110% | 9/15/28 | 29,411 | 33,195 | ||
Broadcom Inc. | 4.750% | 4/15/29 | 19,792 | 23,213 | ||
Broadcom Inc. | 5.000% | 4/15/30 | 37,571 | 44,829 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 30,000 | 34,053 | ||
7 | Broadcom Inc. | 2.450% | 2/15/31 | 28,484 | 28,412 | |
CDW LLC / CDW Finance Corp. | 4.125% | 5/1/25 | 1,645 | 1,708 | ||
Cisco Systems Inc. | 5.500% | 1/15/40 | 5,000 | 7,091 | ||
7 | Clarivate Science Holdings Corp. | 3.875% | 6/30/28 | 2,050 | 2,068 | |
7 | Clarivate Science Holdings Corp. | 4.875% | 6/30/29 | 3,170 | 3,204 | |
7 | CommScope Inc. | 6.000% | 3/1/26 | 1,210 | 1,268 | |
7 | CommScope Inc. | 8.250% | 3/1/27 | 2,130 | 2,254 | |
7 | CommScope Inc. | 7.125% | 7/1/28 | 3,478 | 3,750 | |
Dell International LLC / EMC Corp. | 6.020% | 6/15/26 | 54,270 | 65,327 | ||
Dell International LLC / EMC Corp. | 4.900% | 10/1/26 | 4,645 | 5,408 | ||
Dell International LLC / EMC Corp. | 6.100% | 7/15/27 | 20,910 | 25,844 | ||
Dell International LLC / EMC Corp. | 5.300% | 10/1/29 | 70,197 | 85,930 | ||
Dell International LLC / EMC Corp. | 6.200% | 7/15/30 | 65,551 | 85,161 | ||
7 | Entegris Inc. | 3.625% | 5/1/29 | 2,275 | 2,334 | |
Equifax Inc. | 3.100% | 5/15/30 | 11,000 | 12,001 | ||
Fidelity National Information Services Inc. | 1.150% | 3/1/26 | 20,000 | 20,006 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 25,250 | 25,500 | ||
Fidelity National Information Services Inc. | 2.250% | 3/1/31 | 15,692 | 15,954 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 51,918 | 56,546 | ||
Fiserv Inc. | 2.250% | 6/1/27 | 4,310 | 4,512 | ||
Fiserv Inc. | 3.500% | 7/1/29 | 38,450 | 42,902 | ||
Fiserv Inc. | 2.650% | 6/1/30 | 11,950 | 12,566 | ||
Global Payments Inc. | 1.200% | 3/1/26 | 10,000 | 9,985 | ||
Global Payments Inc. | 3.200% | 8/15/29 | 5,480 | 5,927 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 250 | 265 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
HP Inc. | 3.000% | 6/17/27 | 10,130 | 10,933 | ||
HP Inc. | 3.400% | 6/17/30 | 17,544 | 18,840 | ||
7 | HP Inc. | 2.650% | 6/17/31 | 52,881 | 53,368 | |
Intel Corp. | 3.750% | 3/25/27 | 5,340 | 6,057 | ||
Intel Corp. | 2.450% | 11/15/29 | 58,413 | 61,631 | ||
Intel Corp. | 3.900% | 3/25/30 | 6,363 | 7,422 | ||
Intel Corp. | 4.750% | 3/25/50 | 2,000 | 2,686 | ||
International Business Machines Corp. | 1.700% | 5/15/27 | 1,271 | 1,299 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 35,444 | 39,881 | ||
International Business Machines Corp. | 1.950% | 5/15/30 | 22,000 | 22,154 | ||
Juniper Networks Inc. | 3.750% | 8/15/29 | 31,207 | 35,062 | ||
Juniper Networks Inc. | 2.000% | 12/10/30 | 20,554 | 20,074 | ||
Mastercard Inc. | 3.300% | 3/26/27 | 16,800 | 18,761 | ||
Mastercard Inc. | 2.950% | 6/1/29 | 19,000 | 21,059 | ||
Motorola Solutions Inc. | 2.750% | 5/24/31 | 25,000 | 25,973 | ||
7 | MSCI Inc. | 3.625% | 9/1/30 | 2,465 | 2,593 | |
7 | MSCI Inc. | 3.625% | 11/1/31 | 3,635 | 3,849 | |
7 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 2,915 | 3,079 | |
NVIDIA Corp. | 2.850% | 4/1/30 | 20,000 | 21,830 | ||
NVIDIA Corp. | 2.000% | 6/15/31 | 20,000 | 20,307 | ||
7 | NXP BV / NXP Funding LLC | 5.350% | 3/1/26 | 18,000 | 21,087 | |
7 | NXP BV / NXP Funding LLC | 5.550% | 12/1/28 | 809 | 1,002 | |
7 | NXP BV / NXP Funding LLC / NXP USA Inc. | 3.400% | 5/1/30 | 3,456 | 3,824 | |
7 | NXP BV / NXP Funding LLC / NXP USA Inc. | 2.500% | 5/11/31 | 40,000 | 41,264 | |
Oracle Corp. | 2.650% | 7/15/26 | 40,802 | 43,320 | ||
Oracle Corp. | 2.800% | 4/1/27 | 293 | 313 | ||
Oracle Corp. | 3.250% | 11/15/27 | 14,885 | 16,275 | ||
Oracle Corp. | 2.300% | 3/25/28 | 92,518 | 95,979 | ||
Oracle Corp. | 2.950% | 4/1/30 | 70,260 | 75,016 | ||
Oracle Corp. | 2.875% | 3/25/31 | 90,937 | 96,155 | ||
Oracle Corp. | 3.600% | 4/1/50 | 2,000 | 2,096 | ||
PayPal Holdings Inc. | 2.850% | 10/1/29 | 6,007 | 6,546 | ||
QUALCOMM Inc. | 3.250% | 5/20/27 | 68,234 | 75,510 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 36,811 | 36,529 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 15,336 | 14,955 | ||
RELX Capital Inc. | 3.000% | 5/22/30 | 8,800 | 9,498 | ||
Roper Technologies Inc. | 3.800% | 12/15/26 | 5,250 | 5,899 | ||
Roper Technologies Inc. | 1.400% | 9/15/27 | 16,317 | 16,256 | ||
Roper Technologies Inc. | 2.950% | 9/15/29 | 4,250 | 4,599 | ||
Roper Technologies Inc. | 2.000% | 6/30/30 | 48,380 | 48,468 | ||
S&P Global Inc. | 2.950% | 1/22/27 | 10,649 | 11,597 | ||
7 | Sabre GLBL Inc. | 9.250% | 4/15/25 | 1,400 | 1,638 | |
7 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 1,628 | 1,740 | |
salesforce.com Inc. | 1.950% | 7/15/31 | 17,500 | 17,812 | ||
7 | Seagate HDD Cayman | 3.125% | 7/15/29 | 2,530 | 2,480 | |
7 | Seagate HDD Cayman | 4.125% | 1/15/31 | 4,100 | 4,294 | |
Skyworks Solutions Inc. | 3.000% | 6/1/31 | 46,290 | 48,478 | ||
7 | Square Inc. | 2.750% | 6/1/26 | 1,175 | 1,201 | |
7 | Square Inc. | 3.500% | 6/1/31 | 2,395 | 2,484 | |
7 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 3,318 | 3,509 | |
Texas Instruments Inc. | 2.250% | 9/4/29 | 2,000 | 2,110 | ||
Texas Instruments Inc. | 1.750% | 5/4/30 | 10,755 | 10,881 | ||
Verisk Analytics Inc. | 4.125% | 3/15/29 | 22,755 | 26,303 | ||
Visa Inc. | 2.050% | 4/15/30 | 12,752 | 13,258 | ||
VMware Inc. | 1.400% | 8/15/26 | 16,000 | 16,056 | ||
VMware Inc. | 4.650% | 5/15/27 | 9,800 | 11,398 | ||
VMware Inc. | 3.900% | 8/21/27 | 72,562 | 81,708 | ||
VMware Inc. | 1.800% | 8/15/28 | 10,465 | 10,498 | ||
VMware Inc. | 4.700% | 5/15/30 | 40,665 | 48,935 | ||
VMware Inc. | 2.200% | 8/15/31 | 12,800 | 12,802 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Western Digital Corp. | 4.750% | 2/15/26 | 4,935 | 5,480 | ||
2,525,205 | ||||||
Utilities (5.3%) | ||||||
AEP Transmission Co. LLC | 3.100% | 12/1/26 | 14,300 | 15,659 | ||
AEP Transmission Co. LLC | 3.650% | 4/1/50 | 6,560 | 7,702 | ||
6,9 | AGI Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.000% | 1.025% | 1/8/26 | 22,260 | 16,388 | |
Alabama Power Co. | 3.700% | 12/1/47 | 435 | 506 | ||
Alabama Power Co. | 4.300% | 7/15/48 | 100 | 127 | ||
Ameren Corp. | 3.500% | 1/15/31 | 15,245 | 16,993 | ||
Ameren Illinois Co. | 1.550% | 11/15/30 | 9,785 | 9,573 | ||
Ameren Illinois Co. | 2.900% | 6/15/51 | 2,630 | 2,741 | ||
Appalachian Power Co. | 3.300% | 6/1/27 | 2,860 | 3,132 | ||
8 | APT Pipelines Ltd. | 1.250% | 3/15/33 | 5,800 | 7,057 | |
Atmos Energy Corp. | 3.000% | 6/15/27 | 7,165 | 7,825 | ||
Atmos Energy Corp. | 4.300% | 10/1/48 | 590 | 745 | ||
Atmos Energy Corp. | 3.375% | 9/15/49 | 330 | 367 | ||
9 | Ausgrid Finance Pty Ltd. | 1.814% | 2/5/27 | 4,550 | 3,322 | |
6,9 | Ausgrid Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.220% | 1.241% | 10/30/24 | 9,160 | 6,782 | |
Baltimore Gas and Electric Co. | 2.900% | 6/15/50 | 5,000 | 5,131 | ||
Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 10,955 | 12,185 | ||
Berkshire Hathaway Energy Co. | 3.700% | 7/15/30 | 19,800 | 22,734 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 667 | 898 | ||
Berkshire Hathaway Energy Co. | 2.850% | 5/15/51 | 5,050 | 5,026 | ||
8 | Cadent Finance plc | 0.750% | 3/11/32 | 500 | 604 | |
7 | Calpine Corp. | 4.500% | 2/15/28 | 6,811 | 7,019 | |
CenterPoint Energy Houston Electric LLC | 2.350% | 4/1/31 | 9,920 | 10,374 | ||
CenterPoint Energy Houston Electric LLC | 3.350% | 4/1/51 | 199 | 225 | ||
CenterPoint Energy Inc. | 4.250% | 11/1/28 | 9,811 | 11,377 | ||
CenterPoint Energy Inc. | 2.950% | 3/1/30 | 1,195 | 1,281 | ||
CenterPoint Energy Inc. | 2.650% | 6/1/31 | 21,800 | 22,748 | ||
Clearway Energy Operating LLC | 5.000% | 9/15/26 | 2,090 | 2,148 | ||
7 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 1,725 | 1,828 | |
CMS Energy Corp. | 3.450% | 8/15/27 | 455 | 507 | ||
7 | Comision Federal de Electricidad | 4.677% | 2/9/51 | 752 | 736 | |
Commonwealth Edison Co. | 2.950% | 8/15/27 | 2,000 | 2,180 | ||
Commonwealth Edison Co. | 2.200% | 3/1/30 | 2,900 | 3,007 | ||
Commonwealth Edison Co. | 3.750% | 8/15/47 | 281 | 332 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 246 | 302 | ||
Commonwealth Edison Co. | 3.000% | 3/1/50 | 127 | 134 | ||
Commonwealth Edison Co. | 3.125% | 3/15/51 | 8,131 | 8,796 | ||
Connecticut Light and Power Co. | 3.200% | 3/15/27 | 11,040 | 12,240 | ||
Consolidated Edison Co. of New York Inc. | 3.350% | 4/1/30 | 10,000 | 11,197 | ||
Consumers Energy Co. | 3.500% | 8/1/51 | 134 | 157 | ||
9 | DBNGP Finance Co. Pty Ltd. | 4.225% | 5/28/25 | 30,550 | 24,672 | |
Dominion Energy Inc. | 2.850% | 8/15/26 | 5,000 | 5,372 | ||
Dominion Energy Inc. | 4.250% | 6/1/28 | 3,590 | 4,168 | ||
Dominion Energy Inc. | 3.375% | 4/1/30 | 37,494 | 41,578 | ||
DTE Electric Co. | 1.900% | 4/1/28 | 4,985 | 5,142 | ||
DTE Electric Co. | 2.250% | 3/1/30 | 24,694 | 25,754 | ||
DTE Electric Co. | 2.625% | 3/1/31 | 14,916 | 16,035 | ||
DTE Electric Co. | 4.300% | 7/1/44 | 4,144 | 5,232 | ||
DTE Electric Co. | 3.700% | 3/15/45 | 397 | 465 | ||
DTE Electric Co. | 4.050% | 5/15/48 | 109 | 136 | ||
DTE Electric Co. | 3.950% | 3/1/49 | 449 | 555 | ||
DTE Electric Co. | 2.950% | 3/1/50 | 212 | 224 | ||
Duke Energy Carolinas LLC | 3.950% | 11/15/28 | 20,378 | 23,655 | ||
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 11,375 | 12,002 | ||
Duke Energy Carolinas LLC | 2.450% | 2/1/30 | 21,890 | 23,014 | ||
Duke Energy Carolinas LLC | 2.550% | 4/15/31 | 10,000 | 10,585 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 699 | 864 | ||
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 599 | 710 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 1,222 | 1,422 | ||
Duke Energy Carolinas LLC | 3.950% | 3/15/48 | 818 | 984 | ||
Duke Energy Corp. | 2.550% | 6/15/31 | 40,000 | 41,366 | ||
Duke Energy Florida LLC | 3.200% | 1/15/27 | 17,455 | 19,229 | ||
Duke Energy Florida LLC | 3.800% | 7/15/28 | 28,923 | 33,146 | ||
Duke Energy Florida LLC | 2.500% | 12/1/29 | 25,380 | 27,089 | ||
Duke Energy Florida LLC | 1.750% | 6/15/30 | 34,710 | 34,529 | ||
Duke Energy Florida LLC | 6.400% | 6/15/38 | 100 | 150 | ||
Duke Energy Indiana LLC | 3.250% | 10/1/49 | 307 | 333 | ||
Duke Energy Ohio Inc. | 2.125% | 6/1/30 | 10,000 | 10,185 | ||
Duke Energy Progress LLC | 3.700% | 9/1/28 | 5,781 | 6,584 | ||
Duke Energy Progress LLC | 3.450% | 3/15/29 | 4,221 | 4,758 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 301 | 373 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 4,988 | 4,778 | ||
Edison International | 5.750% | 6/15/27 | 9,000 | 10,372 | ||
Edison International | 4.125% | 3/15/28 | 2,000 | 2,165 | ||
7 | Electricite de France SA | 4.500% | 9/21/28 | 5,000 | 5,863 | |
8 | Elenia Finance Oyj | 0.375% | 2/6/27 | 17,095 | 20,534 | |
7 | Enel Finance International NV | 1.875% | 7/12/28 | 20,000 | 20,244 | |
Enel SPA | 1.875% | 12/31/99 | 400 | 473 | ||
Entergy Arkansas LLC | 2.650% | 6/15/51 | 5,827 | 5,711 | ||
Entergy Corp. | 1.900% | 6/15/28 | 17,485 | 17,708 | ||
Entergy Corp. | 2.800% | 6/15/30 | 21,235 | 22,520 | ||
Entergy Corp. | 2.400% | 6/15/31 | 19,250 | 19,657 | ||
Entergy Louisiana LLC | 2.400% | 10/1/26 | 18,176 | 19,246 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 20,443 | 22,461 | ||
Entergy Louisiana LLC | 3.250% | 4/1/28 | 8,150 | 9,008 | ||
Entergy Louisiana LLC | 1.600% | 12/15/30 | 5,050 | 4,938 | ||
Entergy Louisiana LLC | 2.350% | 6/15/32 | 6,000 | 6,199 | ||
Entergy Louisiana LLC | 4.200% | 9/1/48 | 250 | 314 | ||
Entergy Texas Inc. | 4.000% | 3/30/29 | 3,129 | 3,588 | ||
Entergy Texas Inc. | 1.750% | 3/15/31 | 5,000 | 4,877 | ||
8 | EP Infrastructure AS | 1.816% | 3/2/31 | 15,540 | 19,209 | |
Eurogrid GmbH | 0.741% | 4/21/33 | 400 | 490 | ||
Evergy Inc. | 2.900% | 9/15/29 | 48,540 | 52,010 | ||
Evergy Kansas Central Inc. | 2.550% | 7/1/26 | 16,615 | 17,698 | ||
Evergy Kansas Central Inc. | 3.100% | 4/1/27 | 5,800 | 6,353 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 5,000 | 5,413 | ||
Eversource Energy | 1.650% | 8/15/30 | 9,145 | 8,933 | ||
Exelon Corp. | 3.950% | 6/15/25 | 8,452 | 9,326 | ||
Exelon Corp. | 3.400% | 4/15/26 | 2,845 | 3,120 | ||
Exelon Corp. | 4.050% | 4/15/30 | 55,075 | 63,692 | ||
FirstEnergy Corp. | 4.650% | 7/15/27 | 3,705 | 4,135 | ||
FirstEnergy Corp. | 2.650% | 3/1/30 | 3,230 | 3,288 | ||
FirstEnergy Corp. | 3.400% | 3/1/50 | 1,210 | 1,221 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 231 | 288 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 304 | 365 | ||
Florida Power & Light Co. | 3.950% | 3/1/48 | 111 | 138 | ||
8 | IE2 Holdco SAU | 2.875% | 6/1/26 | 26,500 | 35,205 | |
ITC Holdings Corp. | 3.250% | 6/30/26 | 9,700 | 10,602 | ||
ITC Holdings Corp. | 3.350% | 11/15/27 | 18,745 | 20,651 | ||
Kentucky Utilities Co. | 5.125% | 11/1/40 | 700 | 937 | ||
Kentucky Utilities Co. | 4.375% | 10/1/45 | 201 | 251 | ||
Kentucky Utilities Co. | 3.300% | 6/1/50 | 880 | 967 | ||
MidAmerican Energy Co. | 3.650% | 4/15/29 | 6,315 | 7,235 | ||
National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 11,680 | 13,006 | ||
National Rural Utilities Cooperative Finance Corp. | 3.900% | 11/1/28 | 13,055 | 15,034 | ||
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 32,016 | 36,439 | ||
Nevada Power Co. | 2.400% | 5/1/30 | 11,640 | 12,149 | ||
NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 3,636 | 3,966 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 27,000 | 27,605 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 8,191 | 9,175 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 12,000 | 12,829 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 30,000 | 30,811 | ||
Northern States Power Co. | 3.600% | 9/15/47 | 491 | 573 | ||
NRG Energy Inc. | 7.250% | 5/15/26 | 4,850 | 5,044 | ||
NRG Energy Inc. | 6.625% | 1/15/27 | 1,545 | 1,600 | ||
7 | NRG Energy Inc. | 2.450% | 12/2/27 | 16,937 | 17,308 | |
7 | NRG Energy Inc. | 3.625% | 2/15/31 | 2,375 | 2,396 | |
NSTAR Electric Co. | 3.250% | 11/15/25 | 10,000 | 10,851 | ||
NSTAR Electric Co. | 3.200% | 5/15/27 | 44,419 | 48,979 | ||
NTPC Ltd. | 4.250% | 2/26/26 | 6,250 | 6,761 | ||
Ohio Power Co. | 1.625% | 1/15/31 | 19,900 | 19,482 | ||
Oncor Electric Delivery Co. LLC | 3.700% | 11/15/28 | 52,271 | 60,110 | ||
Oncor Electric Delivery Co. LLC | 5.750% | 3/15/29 | 19,475 | 24,847 | ||
Pacific Gas and Electric Co. | 3.300% | 12/1/27 | 15,000 | 15,409 | ||
Pacific Gas and Electric Co. | 2.500% | 2/1/31 | 20,000 | 18,875 | ||
Pacific Gas and Electric Co. | 3.250% | 6/1/31 | 20,000 | 19,715 | ||
PacifiCorp | 3.500% | 6/15/29 | 19,585 | 22,068 | ||
PacifiCorp | 2.700% | 9/15/30 | 13,815 | 14,752 | ||
7 | Pattern Energy Operations LP / Pattern Energy Operations Inc. | 4.500% | 8/15/28 | 1,410 | 1,457 | |
PECO Energy Co. | 3.900% | 3/1/48 | 369 | 450 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 4.125% | 5/15/27 | 7,299 | 7,938 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.450% | 5/21/28 | 2,205 | 2,579 | ||
7,8 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 13,940 | 16,049 | |
Piedmont Natural Gas Co. Inc. | 3.500% | 6/1/29 | 20,625 | 22,935 | ||
Public Service Co. of Colorado | 3.600% | 9/15/42 | 436 | 507 | ||
Public Service Electric and Gas Co. | 3.000% | 5/15/27 | 4,700 | 5,138 | ||
Public Service Electric and Gas Co. | 3.700% | 5/1/28 | 2,570 | 2,947 | ||
Public Service Electric and Gas Co. | 3.650% | 9/1/28 | 3,270 | 3,733 | ||
Public Service Electric and Gas Co. | 3.200% | 5/15/29 | 31,239 | 34,842 | ||
Public Service Electric and Gas Co. | 2.450% | 1/15/30 | 7,500 | 7,943 | ||
Public Service Electric and Gas Co. | 3.800% | 3/1/46 | 621 | 746 | ||
Public Service Enterprise Group Inc. | 1.600% | 8/15/30 | 45,000 | 43,323 | ||
Puget Energy Inc. | 3.650% | 5/15/25 | 13,665 | 14,814 | ||
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 1,248 | 1,583 | ||
Sempra Energy | 3.250% | 6/15/27 | 6,360 | 6,966 | ||
Sempra Energy | 3.400% | 2/1/28 | 627 | 694 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 13,871 | 15,188 | ||
Southern California Edison Co. | 1.200% | 2/1/26 | 6,529 | 6,524 | ||
Southern California Edison Co. | 4.200% | 3/1/29 | 9,000 | 10,286 | ||
Southern California Edison Co. | 2.250% | 6/1/30 | 10,000 | 10,059 | ||
Southern California Gas Co. | 2.550% | 2/1/30 | 5,790 | 6,087 | ||
Southern Co. | 1.750% | 3/15/28 | 961 | 968 | ||
Southern Co. | 3.700% | 4/30/30 | 2,415 | 2,712 | ||
Southern Co. Gas Capital Corp. | 3.250% | 6/15/26 | 4,125 | 4,491 | ||
Southern Co. Gas Capital Corp. | 1.750% | 1/15/31 | 10,833 | 10,552 | ||
Southwestern Electric Power Co. | 4.100% | 9/15/28 | 26,793 | 30,941 | ||
State Grid Overseas Investment 2014 Ltd. | 4.125% | 5/7/24 | 4,005 | 4,365 | ||
State Grid Overseas Investment 2016 Ltd. | 3.750% | 5/2/23 | 5,245 | 5,527 | ||
State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 16,000 | 17,796 | ||
Terna SPA | 0.750% | 7/24/32 | 700 | 854 | ||
Union Electric Co. | 2.950% | 6/15/27 | 12,861 | 14,005 | ||
Union Electric Co. | 3.500% | 3/15/29 | 8,552 | 9,631 | ||
Union Electric Co. | 2.950% | 3/15/30 | 18,000 | 19,606 | ||
Virginia Electric and Power Co. | 3.500% | 3/15/27 | 20,267 | 22,644 | ||
Virginia Electric and Power Co. | 8.875% | 11/15/38 | 884 | 1,605 | ||
Virginia Electric and Power Co. | 4.000% | 1/15/43 | 190 | 227 | ||
Virginia Electric and Power Co. | 4.650% | 8/15/43 | 602 | 780 | ||
Virginia Electric and Power Co. | 3.800% | 9/15/47 | 882 | 1,038 | ||
Virginia Electric and Power Co. | 3.300% | 12/1/49 | 486 | 536 | ||
7 | Vistra Operations Co. LLC | 5.500% | 9/1/26 | 2,379 | 2,451 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 1,769 | 1,837 | |
7 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 995 | 1,028 | |
7 | Vistra Operations Co. LLC | 4.375% | 5/1/29 | 3,232 | 3,315 | |
WEC Energy Group Inc. | 1.375% | 10/15/27 | 35,000 | 34,739 | ||
Wisconsin Electric Power Co. | 1.700% | 6/15/28 | 15,000 | 15,251 | ||
Xcel Energy Inc. | 4.000% | 6/15/28 | 15,662 | 17,999 | ||
1,992,049 | ||||||
Total Corporate Bonds (Cost $29,911,770) | 31,064,234 | |||||
Sovereign Bonds (4.3%) | ||||||
7 | Banque Ouest Africaine de Developpement | 5.000% | 7/27/27 | 1,329 | 1,477 | |
7 | Banque Ouest Africaine de Developpement | 4.700% | 10/22/31 | 4,150 | 4,535 | |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 8,000 | 8,626 | |
Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 5,382 | 5,892 | ||
7 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 16,731 | 16,489 | |
4 | Dominican Republic | 5.875% | 4/18/24 | 1,800 | 1,903 | |
Dominican Republic | 6.500% | 2/15/48 | 879 | 968 | ||
7 | Dominican Republic | 5.875% | 1/30/60 | 458 | 464 | |
Dominican Republic | 5.875% | 1/30/60 | 2,900 | 2,938 | ||
Export-Import Bank of India | 3.875% | 3/12/24 | 3,900 | 4,162 | ||
Export-Import Bank of India | 3.375% | 8/5/26 | 3,000 | 3,208 | ||
7 | Export-Import Bank of India | 3.875% | 2/1/28 | 9,675 | 10,538 | |
Export-Import Bank of India | 3.875% | 2/1/28 | 10,000 | 10,892 | ||
Federative Republic of Brazil | 4.625% | 1/13/28 | 19,621 | 21,293 | ||
Federative Republic of Brazil | 3.875% | 6/12/30 | 6,922 | 6,991 | ||
Federative Republic of Brazil | 4.750% | 1/14/50 | 5,296 | 5,097 | ||
Fondo MIVIVIENDA SA | 3.500% | 1/31/23 | 12,050 | 12,421 | ||
7 | Government of Bermuda | 4.138% | 1/3/23 | 10,964 | 11,531 | |
7 | Government of Bermuda | 4.854% | 2/6/24 | 3,517 | 3,873 | |
Government of Bermuda | 4.854% | 2/6/24 | 8,791 | 9,669 | ||
Government of Bermuda | 4.750% | 2/15/29 | 12,860 | 15,136 | ||
7,8 | Kingdom of Morocco | 2.000% | 9/30/30 | 28,190 | 33,288 | |
7 | Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 785 | 788 | |
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 37,948 | 38,105 | ||
Kingdom of Saudi Arabia | 4.000% | 4/17/25 | 59,870 | 66,047 | ||
Korea Hydro & Nuclear Power Co. Ltd. | 3.000% | 9/19/22 | 2,800 | 2,881 | ||
KSA Sukuk Ltd. | 2.894% | 4/20/22 | 12,050 | 12,248 | ||
KSA Sukuk Ltd. | 3.628% | 4/20/27 | 75,706 | 83,508 | ||
North American Development Bank | 2.400% | 10/26/22 | 343 | 349 | ||
7,8 | North Macedonia | 1.625% | 3/10/28 | 9,000 | 10,622 | |
Panama Bonos del Tesoro | 3.362% | 6/30/31 | 49,448 | 49,947 | ||
7,8 | Republic of Albania | 3.500% | 6/16/27 | 6,000 | 7,658 | |
4 | Republic of Azerbaijan | 3.500% | 9/1/32 | 22,952 | 23,831 | |
Republic of Chile | 3.240% | 2/6/28 | 29,287 | 31,903 | ||
Republic of Chile | 2.450% | 1/31/31 | 15,588 | 15,938 | ||
8 | Republic of Chile | 1.300% | 7/26/36 | 14,005 | 16,549 | |
Republic of Chile | 3.100% | 5/7/41 | 37,265 | 37,707 | ||
Republic of Colombia | 4.000% | 2/26/24 | 15,248 | 15,989 | ||
Republic of Colombia | 4.500% | 1/28/26 | 94,468 | 102,644 | ||
Republic of Colombia | 3.875% | 4/25/27 | 35,925 | 38,018 | ||
Republic of Colombia | 3.000% | 1/30/30 | 1,580 | 1,550 | ||
Republic of Colombia | 10.375% | 1/28/33 | 31,960 | 47,861 | ||
Republic of Colombia | 5.000% | 6/15/45 | 645 | 675 | ||
Republic of Guatemala | 4.500% | 5/3/26 | 8,972 | 9,776 | ||
Republic of Hungary | 5.375% | 2/21/23 | 28,264 | 30,455 | ||
Republic of Hungary | 5.750% | 11/22/23 | 22,042 | 24,687 | ||
8 | Republic of Hungary | 1.125% | 4/28/26 | 11,200 | 14,002 | |
7 | Republic of Indonesia | 3.700% | 1/8/22 | 3,124 | 3,164 | |
Republic of Indonesia | 3.750% | 4/25/22 | 87,775 | 89,864 | ||
Republic of Indonesia | 5.375% | 10/17/23 | 6,400 | 7,068 | ||
Republic of Indonesia | 3.850% | 7/18/27 | 5,000 | 5,578 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Republic of Lithuania | 6.625% | 2/1/22 | 12,000 | 12,368 | ||
Republic of Panama | 4.000% | 9/22/24 | 6,360 | 6,910 | ||
Republic of Panama | 3.750% | 3/16/25 | 28,263 | 30,701 | ||
Republic of Panama | 7.125% | 1/29/26 | 15,019 | 18,654 | ||
Republic of Panama | 8.875% | 9/30/27 | 1,350 | 1,867 | ||
Republic of Panama | 8.125% | 4/28/34 | 9,236 | 13,340 | ||
4 | Republic of Panama | 4.500% | 4/16/50 | 1,000 | 1,140 | |
4 | Republic of Panama | 3.870% | 7/23/60 | 5,519 | 5,693 | |
Republic of Paraguay | 5.000% | 4/15/26 | 5,000 | 5,638 | ||
Republic of Peru | 7.350% | 7/21/25 | 9,030 | 11,009 | ||
Republic of Peru | 2.392% | 1/23/26 | 10,152 | 10,406 | ||
Republic of Serbia | 7.250% | 9/28/21 | 1,739 | 1,758 | ||
8 | Republic of Serbia | 3.125% | 5/15/27 | 48,031 | 63,406 | |
Republic of Slovenia | 5.500% | 10/26/22 | 36,251 | 38,565 | ||
Republic of Turkey | 3.250% | 3/23/23 | 6,630 | 6,631 | ||
Republic of Turkey | 5.750% | 5/11/47 | 790 | 683 | ||
7 | Republic of Uzbekistan | 3.900% | 10/19/31 | 18,000 | 17,965 | |
Romania | 4.375% | 8/22/23 | 1,000 | 1,074 | ||
7,8 | Romania | 1.750% | 7/13/30 | 19,120 | 22,699 | |
7,8 | Romania | 2.000% | 4/14/33 | 14,000 | 16,399 | |
8 | Romania | 2.625% | 12/2/40 | 3,506 | 4,067 | |
7,8 | Romania | 2.750% | 4/14/41 | 5,410 | 6,298 | |
7,8 | Romania | 2.875% | 4/13/42 | 7,770 | 9,089 | |
Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 3,720 | 3,986 | ||
Sharjah Sukuk Program Ltd. | 2.942% | 6/10/27 | 22,223 | 22,713 | ||
Socialist Republic of Vietnam | 4.800% | 11/19/24 | 10,000 | 11,120 | ||
16 | SoQ Sukuk A QSC | 3.241% | 1/18/23 | 1,000 | 1,042 | |
State of Israel | 2.750% | 7/3/30 | 13,800 | 14,861 | ||
State of Israel | 3.375% | 1/15/50 | 1,871 | 2,049 | ||
State of Israel | 3.800% | 5/13/60 | 18,330 | 21,344 | ||
State of Israel | 4.500% | 4/3/20 | 8,277 | 10,716 | ||
State of Qatar | 3.875% | 4/23/23 | 31,735 | 33,599 | ||
8 | United Mexican States | 3.625% | 4/9/29 | 13,601 | 18,829 | |
United Mexican States | 4.500% | 4/22/29 | 141,380 | 161,054 | ||
United Mexican States | 3.250% | 4/16/30 | 37,453 | 39,047 | ||
United Mexican States | 3.771% | 5/24/61 | 3,116 | 2,921 | ||
United Mexican States | 3.750% | 4/19/71 | 2,700 | 2,488 | ||
Total Sovereign Bonds (Cost $1,586,519) | 1,632,932 | |||||
Taxable Municipal Bonds (0.1%) | ||||||
17 | New Jersey Economic Development Authority Appropriations Revenue | 7.425% | 2/15/29 | 10,675 | 13,953 | |
6 | New Mexico Educational Assistance Foundation Student Loan Revenue, 1M USD LIBOR + 0.700% | 0.800% | 1/2/25 | 698 | 698 | |
New York City Transitional Finance Authority Future Tax Secured Income Tax Revenue | 5.125% | 2/1/24 | 1,500 | 1,662 | ||
New York State Dormitory Authority Lease Revenue | 3.892% | 12/1/24 | 2,000 | 2,219 | ||
New York State Urban Development Corp. Income Tax Revenue | 3.900% | 3/15/33 | 400 | 453 | ||
New York Transportation Development Corp. Miscellaneous Revenue | 4.248% | 9/1/35 | 4,765 | 5,322 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.859% | 12/1/24 | 2,000 | 2,336 | ||
San Diego County Regional Airport Authority Port, Airport & Marina Revenue | 5.594% | 7/1/43 | 6,200 | 6,963 | ||
Sonoma County CA Miscellaneous Revenue | 6.000% | 12/1/29 | 4,540 | 5,555 | ||
Texas GO | 3.682% | 8/1/24 | 2,000 | 2,068 | ||
Texas Private Activity Bond Surface Transportation Corp. Highway Revenue | 3.922% | 12/31/49 | 8,550 | 9,832 | ||
Total Taxable Municipal Bonds (Cost $46,417) | 51,061 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
18 | Vanguard Market Liquidity Fund (Cost $217,927) | 0.064% | 2,179,326 | 217,932 | ||
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | |||
Options Purchased (0.0%) | ||||||
Over-the-Counter Swaptions (0.0%) | ||||||
Call Swaptions | ||||||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | NGFP | 1/13/23 | 0.603% | 317,328 | 918 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 318,214 | 932 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 316,703 | 902 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 316,703 | 979 | |
3,731 | ||||||
Put Swaptions | ||||||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 27,890 | 17 | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 18,510 | 12 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | ||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 13,090 | 8 | |
37 | ||||||
Total Options Purchased (Cost $6,122) | 3,768 | |||||
Total Investments (99.3%) (Cost $36,204,231) | 37,535,592 | |||||
Other Assets and Liabilities—Net (0.7%) | 260,749 | |||||
Net Assets (100%) | 37,796,341 | |||||
Cost is in $000. |
1 | Securities with a value of $43,386,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $16,269,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
3 | Securities with a value of $1,230,000 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 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
7 | Security 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 July 31, 2021, the aggregate value was $3,487,764,000, representing 9.2% of net assets. |
8 | Face amount denominated in euro. |
9 | Face amount denominated in Australian dollars. |
10 | Face amount denominated in British pounds. |
11 | Guaranteed by the Republic of Azerbaijan. |
12 | Guaranteed by multiple countries. |
13 | Non-income-producing security—security in default. |
14 | Security value determined using significant unobservable inputs. |
15 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021. |
16 | Guaranteed by the State of Qatar. |
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. |
12M—12-month. | |
1M—1-month. | |
1YR—1-year. | |
3M—3-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank NA. | |
CMT—Constant Maturing Treasury Rate. | |
GO—General Obligation Bond. | |
GSI—Goldman Sachs International. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. | |
REMICS—Real Estate Mortgage Investment Conduits. |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (5.3%) | ||||||
U.S. Government Securities (5.0%) | ||||||
U.S. Treasury Note/Bond | 0.125% | 10/31/22 | 2,600 | 2,601 | ||
U.S. Treasury Note/Bond | 0.750% | 5/31/26 | 9,700 | 9,733 | ||
U.S. Treasury Note/Bond | 1.250% | 6/30/28 | 1,750 | 1,780 | ||
U.S. Treasury Note/Bond | 5.250% | 2/15/29 | 27,875 | 36,368 | ||
U.S. Treasury Note/Bond | 0.625% | 5/15/30 | 180,000 | 171,872 | ||
1 | U.S. Treasury Note/Bond | 0.625% | 8/15/30 | 40,000 | 38,087 | |
U.S. Treasury Note/Bond | 1.125% | 2/15/31 | 25,000 | 24,797 | ||
U.S. Treasury Note/Bond | 1.625% | 5/15/31 | 15,000 | 15,551 | ||
U.S. Treasury Note/Bond | 4.750% | 2/15/37 | 50,000 | 72,656 | ||
U.S. Treasury Note/Bond | 1.125% | 8/15/40 | 84,390 | 75,173 | ||
U.S. Treasury Note/Bond | 1.875% | 2/15/41 | 10,000 | 10,119 | ||
U.S. Treasury Note/Bond | 4.750% | 2/15/41 | 70,000 | 105,448 | ||
U.S. Treasury Note/Bond | 2.250% | 5/15/41 | 50,000 | 53,711 | ||
U.S. Treasury Note/Bond | 3.750% | 8/15/41 | 55,095 | 73,637 | ||
U.S. Treasury Note/Bond | 2.875% | 5/15/43 | 35,000 | 41,497 | ||
U.S. Treasury Note/Bond | 3.000% | 11/15/44 | 55,000 | 66,791 | ||
2 | U.S. Treasury Note/Bond | 2.375% | 11/15/49 | 100,000 | 110,469 | |
1 | U.S. Treasury Note/Bond | 1.250% | 5/15/50 | 34,750 | 29,576 | |
1,2 | U.S. Treasury Note/Bond | 1.375% | 8/15/50 | 121,100 | 106,379 | |
U.S. Treasury Strip Principal | 0.000% | 2/15/48 | 45,000 | 26,817 | ||
1,073,062 | ||||||
Agency Bonds and Notes (0.3%) | ||||||
Tennessee Valley Authority | 5.250% | 9/15/39 | 33,800 | 49,300 | ||
Tennessee Valley Authority | 4.250% | 9/15/65 | 10,000 | 14,611 | ||
63,911 | ||||||
Total U.S. Government and Agency Obligations (Cost $1,109,663) | 1,136,973 | |||||
Corporate Bonds (79.2%) | ||||||
Communications (6.7%) | ||||||
Activision Blizzard Inc. | 2.500% | 9/15/50 | 7,390 | 6,748 | ||
Alphabet Inc. | 1.900% | 8/15/40 | 25,925 | 24,091 | ||
Alphabet Inc. | 2.050% | 8/15/50 | 19,215 | 17,393 | ||
Alphabet Inc. | 2.250% | 8/15/60 | 17,455 | 15,766 | ||
America Movil SAB de CV | 4.375% | 4/22/49 | 49,405 | 62,062 | ||
AT&T Inc. | 3.500% | 6/1/41 | 9,800 | 10,388 | ||
AT&T Inc. | 3.650% | 6/1/51 | 13,690 | 14,568 | ||
AT&T Inc. | 3.300% | 2/1/52 | 31,415 | 31,406 | ||
3 | AT&T Inc. | 3.500% | 9/15/53 | 1,450 | 1,497 | |
3 | AT&T Inc. | 3.550% | 9/15/55 | 1,880 | 1,943 | |
3 | AT&T Inc. | 3.800% | 12/1/57 | 3,697 | 3,939 | |
3 | Cable One Inc. | 4.000% | 11/15/30 | 125 | 126 | |
Charter Communications Operating, LLC / Charter Communications Operating Capital Corp. | 3.850% | 4/1/61 | 2,000 | 2,001 | ||
3 | Cogent Communications Group Inc. | 3.500% | 5/1/26 | 90 | 93 | |
Comcast Corp. | 5.650% | 6/15/35 | 34,942 | 48,006 | ||
Comcast Corp. | 6.500% | 11/15/35 | 4,320 | 6,364 | ||
Comcast Corp. | 3.200% | 7/15/36 | 16,810 | 18,348 | ||
Comcast Corp. | 3.900% | 3/1/38 | 39,335 | 45,934 | ||
Comcast Corp. | 6.400% | 5/15/38 | 3,452 | 5,145 | ||
Comcast Corp. | 4.600% | 10/15/38 | 64,153 | 80,713 | ||
Comcast Corp. | 3.250% | 11/1/39 | 3,000 | 3,268 | ||
Comcast Corp. | 3.750% | 4/1/40 | 7,100 | 8,208 | ||
Comcast Corp. | 4.500% | 1/15/43 | 1,184 | 1,486 | ||
Comcast Corp. | 4.750% | 3/1/44 | 62,715 | 81,946 | ||
Comcast Corp. | 4.600% | 8/15/45 | 29,645 | 37,939 | ||
Comcast Corp. | 3.400% | 7/15/46 | 19,755 | 21,525 | ||
Comcast Corp. | 4.000% | 8/15/47 | 18,875 | 22,429 | ||
Comcast Corp. | 3.969% | 11/1/47 | 85,688 | 102,018 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Comcast Corp. | 4.000% | 3/1/48 | 22,025 | 26,257 | ||
Comcast Corp. | 4.700% | 10/15/48 | 31,010 | 40,760 | ||
Comcast Corp. | 3.999% | 11/1/49 | 28,176 | 33,850 | ||
Comcast Corp. | 3.450% | 2/1/50 | 5,500 | 6,112 | ||
Comcast Corp. | 2.800% | 1/15/51 | 17,285 | 17,094 | ||
Comcast Corp. | 2.450% | 8/15/52 | 2,000 | 1,866 | ||
Comcast Corp. | 4.049% | 11/1/52 | 33,810 | 40,967 | ||
Comcast Corp. | 4.950% | 10/15/58 | 85,850 | 121,548 | ||
Comcast Corp. | 2.650% | 8/15/62 | 3,000 | 2,840 | ||
3 | CSC Holdings LLC | 5.375% | 2/1/28 | 245 | 259 | |
3 | CSC Holdings LLC | 4.625% | 12/1/30 | 336 | 331 | |
3 | CSC Holdings LLC | 4.500% | 11/15/31 | 815 | 822 | |
3 | Deutsche Telekom AG | 3.625% | 1/21/50 | 3,180 | 3,453 | |
3 | DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 8/15/27 | 70 | 72 | |
Discovery Communications LLC | 4.650% | 5/15/50 | 1,950 | 2,317 | ||
Electronic Arts Inc. | 2.950% | 2/15/51 | 2,000 | 1,994 | ||
3 | Expedia Group Inc. | 6.250% | 5/1/25 | 38 | 44 | |
Fox Corp. | 5.576% | 1/25/49 | 966 | 1,333 | ||
3 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 45 | 48 | |
3 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 215 | 223 | |
3 | Frontier Communications Holdings LLC | 6.750% | 5/1/29 | 70 | 75 | |
Lamar Media Corp. | 3.750% | 2/15/28 | 80 | 82 | ||
3 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 353 | 366 | |
3 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 115 | 112 | |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 16,947 | 24,967 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 22,650 | 28,325 | ||
3 | Netflix Inc. | 3.625% | 6/15/25 | 290 | 312 | |
Netflix Inc. | 5.875% | 11/15/28 | 115 | 143 | ||
3 | Netflix Inc. | 4.875% | 6/15/30 | 115 | 139 | |
3 | News Corp. | 3.875% | 5/15/29 | 235 | 239 | |
3 | Nexstar Media Inc. | 5.625% | 7/15/27 | 67 | 71 | |
3 | Nexstar Media Inc. | 4.750% | 11/1/28 | 130 | 134 | |
3 | Playtika Holding Corp. | 4.250% | 3/15/29 | 120 | 120 | |
3 | QualityTech LP / QTS Finance Corp. | 3.875% | 10/1/28 | 70 | 75 | |
3 | Scripps Escrow II Inc. | 3.875% | 1/15/29 | 230 | 230 | |
3 | Sirius XM Radio Inc. | 4.625% | 7/15/24 | 104 | 107 | |
3 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 99 | 104 | |
3 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 35 | 36 | |
Sprint Corp. | 7.125% | 6/15/24 | 345 | 396 | ||
Sprint Corp. | 7.625% | 3/1/26 | 60 | 73 | ||
3 | Switch Ltd. | 4.125% | 6/15/29 | 110 | 113 | |
3 | Tegna Inc. | 4.750% | 3/15/26 | 115 | 122 | |
Telefonica Emisiones SA | 4.665% | 3/6/38 | 950 | 1,130 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 2,000 | 2,513 | ||
Telefonica Emisiones SA | 4.895% | 3/6/48 | 2,475 | 2,990 | ||
3 | Tencent Holdings Ltd. | 3.925% | 1/19/38 | 14,740 | 16,068 | |
3 | Tencent Holdings Ltd. | 3.680% | 4/22/41 | 13,150 | 14,003 | |
3 | Tencent Holdings Ltd. | 3.840% | 4/22/51 | 18,020 | 19,543 | |
3 | Tencent Holdings Ltd. | 3.940% | 4/22/61 | 5,310 | 5,902 | |
Time Warner Cable LLC | 6.550% | 5/1/37 | 11,975 | 16,500 | ||
T-Mobile USA Inc. | 4.500% | 2/1/26 | 225 | 230 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 250 | 250 | ||
3 | T-Mobile USA Inc. | 3.375% | 4/15/29 | 750 | 782 | |
T-Mobile USA Inc. | 2.875% | 2/15/31 | 45 | 45 | ||
3 | T-Mobile USA Inc. | 3.500% | 4/15/31 | 100 | 105 | |
T-Mobile USA Inc. | 3.000% | 2/15/41 | 4,930 | 4,979 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 590 | 601 | ||
TWDC Enterprises 18 Corp. | 3.000% | 7/30/46 | 5,837 | 6,100 | ||
TWDC Enterprises 18 Corp. | 7.550% | 7/15/93 | 2,512 | 2,900 | ||
3 | Twitter Inc. | 3.875% | 12/15/27 | 165 | 177 | |
4 | Verizon Communications Inc. | 2.500% | 4/8/31 | 3,300 | 4,914 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Verizon Communications Inc. | 3.400% | 3/22/41 | 2,500 | 2,700 | ||
Verizon Communications Inc. | 2.875% | 11/20/50 | 1,500 | 1,464 | ||
Verizon Communications Inc. | 3.550% | 3/22/51 | 3,240 | 3,545 | ||
Verizon Communications Inc. | 3.700% | 3/22/61 | 21,730 | 24,022 | ||
ViacomCBS Inc. | 4.950% | 5/19/50 | 3,000 | 3,857 | ||
3 | Videotron Ltd. | 3.625% | 6/15/29 | 115 | 118 | |
Vodafone Group plc | 5.250% | 5/30/48 | 2,090 | 2,787 | ||
Vodafone Group plc | 4.125% | 6/4/81 | 1,730 | 1,750 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 3,326 | 4,749 | ||
Walt Disney Co. | 6.400% | 12/15/35 | 17,218 | 25,607 | ||
Walt Disney Co. | 6.650% | 11/15/37 | 2,710 | 4,181 | ||
Walt Disney Co. | 4.625% | 3/23/40 | 11,720 | 15,079 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 58,715 | 66,178 | ||
Walt Disney Co. | 4.750% | 9/15/44 | 13,474 | 18,024 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 57,575 | 57,358 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 63,711 | 73,608 | ||
4 | WPP Finance SA | 3.750% | 5/19/32 | 1,200 | 1,934 | |
3 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 665 | 662 | |
3 | Zayo Group Holdings Inc. | 6.125% | 3/1/28 | 285 | 290 | |
1,441,526 | ||||||
Consumer Discretionary (5.0%) | ||||||
3 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 130 | 131 | |
3 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 290 | 295 | |
3 | 1011778 BC ULC / New Red Finance Inc. | 4.000% | 10/15/30 | 365 | 364 | |
Alibaba Group Holding Ltd. | 4.000% | 12/6/37 | 31,000 | 34,781 | ||
Alibaba Group Holding Ltd. | 4.200% | 12/6/47 | 14,873 | 17,409 | ||
Alibaba Group Holding Ltd. | 4.400% | 12/6/57 | 13,080 | 15,792 | ||
Amazon.com Inc. | 3.875% | 8/22/37 | 55,000 | 66,447 | ||
Amazon.com Inc. | 2.875% | 5/12/41 | 15,845 | 16,720 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 6,000 | 8,338 | ||
Amazon.com Inc. | 4.050% | 8/22/47 | 95,075 | 117,819 | ||
Amazon.com Inc. | 2.500% | 6/3/50 | 18,520 | 17,865 | ||
Amazon.com Inc. | 3.100% | 5/12/51 | 12,570 | 13,525 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 50,347 | 66,153 | ||
Amazon.com Inc. | 2.700% | 6/3/60 | 20,830 | 20,343 | ||
Amazon.com Inc. | 3.250% | 5/12/61 | 16,975 | 18,576 | ||
3 | Ambience Merger Sub Inc. | 4.875% | 7/15/28 | 60 | 60 | |
3 | Ambience Merger Sub Inc. | 7.125% | 7/15/29 | 120 | 121 | |
3 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 230 | 236 | |
3 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 485 | 484 | |
5 | American University | 3.672% | 4/1/49 | 2,563 | 3,007 | |
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 1,130 | 1,176 | ||
Asbury Automotive Group Inc. | 4.750% | 3/1/30 | 220 | 234 | ||
Bowdoin College | 4.693% | 7/1/12 | 2,500 | 3,381 | ||
3 | Boyd Gaming Corp. | 8.625% | 6/1/25 | 160 | 175 | |
3 | Builders Firstsource Inc. | 4.250% | 2/1/32 | 60 | 61 | |
3 | Caesars Entertainment Inc. | 8.125% | 7/1/27 | 216 | 238 | |
3 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 18 | 19 | |
California Institute of Technology | 3.650% | 9/1/19 | 4,242 | 5,022 | ||
3 | Carnival Corp. | 11.500% | 4/1/23 | 27 | 30 | |
3 | Carnival Corp. | 7.625% | 3/1/26 | 68 | 72 | |
3 | Carnival Corp. | 4.000% | 8/1/28 | 355 | 354 | |
3 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP | 5.500% | 5/1/25 | 595 | 618 | |
3 | Churchill Downs Inc. | 5.500% | 4/1/27 | 465 | 484 | |
3 | Churchill Downs Inc. | 4.750% | 1/15/28 | 288 | 299 | |
3 | Clarios Global LP | 6.750% | 5/15/25 | 31 | 33 | |
3 | Clarios Global LP / Clarios US Finance Co. | 8.500% | 5/15/27 | 320 | 345 | |
5 | Duke University | 2.682% | 10/1/44 | 3,100 | 3,237 | |
5 | Duke University | 2.832% | 10/1/55 | 9,635 | 10,242 | |
Ford Foundation | 2.815% | 6/1/70 | 11,950 | 12,431 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Ford Motor Co. | 8.500% | 4/21/23 | 60 | 67 | ||
Ford Motor Credit Co. LLC | 3.087% | 1/9/23 | 70 | 71 | ||
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 35 | 37 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 70 | 73 | ||
Ford Motor Credit Co. LLC | 4.271% | 1/9/27 | 240 | 259 | ||
Ford Motor Credit Co. LLC | 4.125% | 8/17/27 | 480 | 514 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 60 | 63 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/16/28 | 165 | 165 | ||
General Motors Co. | 5.150% | 4/1/38 | 1,000 | 1,224 | ||
General Motors Co. | 5.200% | 4/1/45 | 1,500 | 1,879 | ||
General Motors Co. | 5.400% | 4/1/48 | 1,000 | 1,286 | ||
George Washington University | 4.300% | 9/15/44 | 2,890 | 3,736 | ||
Georgetown University | 4.315% | 4/1/49 | 14,755 | 18,897 | ||
Georgetown University | 2.943% | 4/1/50 | 15,535 | 16,077 | ||
Georgetown University | 5.215% | 10/1/18 | 940 | 1,488 | ||
Goodyear Tire & Rubber Co. | 9.500% | 5/31/25 | 45 | 50 | ||
3 | Hilton Domestic Operating Co. Inc. | 5.375% | 5/1/25 | 375 | 393 | |
3 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 105 | 113 | |
Home Depot Inc. | 5.875% | 12/16/36 | 34,525 | 50,179 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 1,000 | 1,118 | ||
Home Depot Inc. | 5.400% | 9/15/40 | 947 | 1,332 | ||
Home Depot Inc. | 5.950% | 4/1/41 | 18,480 | 27,429 | ||
Home Depot Inc. | 4.200% | 4/1/43 | 6,035 | 7,527 | ||
Home Depot Inc. | 4.875% | 2/15/44 | 60,115 | 81,792 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 12,900 | 16,635 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 21,515 | 27,275 | ||
Home Depot Inc. | 3.900% | 6/15/47 | 28,950 | 35,087 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 14,825 | 19,804 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 5,950 | 6,471 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 947 | 1,097 | ||
3 | International Game Technology plc | 4.125% | 4/15/26 | 45 | 47 | |
3 | International Game Technology plc | 6.250% | 1/15/27 | 20 | 23 | |
5 | Johns Hopkins University | 2.813% | 1/1/60 | 2,690 | 2,824 | |
3 | Lithia Motors Inc. | 4.625% | 12/15/27 | 600 | 638 | |
3 | Lithia Motors Inc. | 3.875% | 6/1/29 | 290 | 306 | |
3 | Lithia Motors Inc. | 4.375% | 1/15/31 | 180 | 196 | |
3 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 29 | 31 | |
3 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 335 | 371 | |
3 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 60 | 60 | |
Marriott International Inc. | 4.625% | 6/15/30 | 140 | 162 | ||
3 | Masonite International Corp. | 3.500% | 2/15/30 | 115 | 116 | |
5 | Massachusetts Institute of Technology | 3.959% | 7/1/38 | 24,140 | 29,326 | |
McDonald's Corp. | 3.625% | 9/1/49 | 1,000 | 1,135 | ||
McDonald's Corp. | 4.200% | 4/1/50 | 1,000 | 1,235 | ||
3 | Meritage Homes Corp. | 3.875% | 4/15/29 | 1,000 | 1,056 | |
3 | NCL Corp. Ltd. | 5.875% | 3/15/26 | 235 | 237 | |
NIKE Inc. | 3.250% | 3/27/40 | 9,055 | 10,150 | ||
NIKE Inc. | 3.625% | 5/1/43 | 30,604 | 36,568 | ||
NIKE Inc. | 3.375% | 11/1/46 | 19,840 | 22,687 | ||
3 | Penn National Gaming Inc. | 5.625% | 1/15/27 | 45 | 47 | |
President and Fellows of Harvard College | 5.625% | 10/1/38 | 2,500 | 3,665 | ||
3 | President and Fellows of Harvard College | 6.500% | 1/15/39 | 3,709 | 5,929 | |
President and Fellows of Harvard College | 4.875% | 10/15/40 | 750 | 1,053 | ||
President and Fellows of Harvard College | 3.150% | 7/15/46 | 17,450 | 19,873 | ||
Rockefeller Foundation | 2.492% | 10/1/50 | 34,515 | 34,713 | ||
3 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 20 | 23 | |
3 | Royal Caribbean Cruises Ltd. | 9.125% | 6/15/23 | 20 | 22 | |
3 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 35 | 40 | |
Starbucks Corp. | 4.500% | 11/15/48 | 2,500 | 3,205 | ||
Toll Brothers Finance Corp. | 4.350% | 2/15/28 | 1,560 | 1,732 | ||
Toll Brothers Finance Corp. | 3.800% | 11/1/29 | 315 | 341 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Tri Pointe Homes Inc. | 5.700% | 6/15/28 | 90 | 100 | ||
Trustees of the University of Pennsylvania | 3.610% | 2/15/19 | 20,230 | 24,058 | ||
5 | University of Chicago | 2.761% | 4/1/45 | 11,735 | 12,178 | |
5 | University of Chicago | 2.547% | 4/1/50 | 8,120 | 7,945 | |
University of Chicago | 3.000% | 10/1/52 | 5,695 | 6,181 | ||
3 | Vail Resorts Inc. | 6.250% | 5/15/25 | 595 | 632 | |
6 | Volkswagen International Finance NV | 3.300% | 3/22/33 | 1,000 | 1,528 | |
3 | William Carter Co. | 5.500% | 5/15/25 | 155 | 163 | |
3 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 79 | 82 | |
3 | WK Kellogg Foundation Trust | 2.443% | 10/1/50 | 35,340 | 35,030 | |
3 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 230 | 237 | |
Yale University | 2.402% | 4/15/50 | 19,845 | 19,746 | ||
1,064,746 | ||||||
Consumer Staples (4.6%) | ||||||
3 | 7-Eleven Inc. | 2.800% | 2/10/51 | 3,160 | 3,028 | |
Altria Group Inc. | 5.800% | 2/14/39 | 2,250 | 2,835 | ||
Altria Group Inc. | 3.400% | 2/4/41 | 3,750 | 3,634 | ||
Altria Group Inc. | 4.450% | 5/6/50 | 1,130 | 1,226 | ||
Anheuser-Busch Cos. LLC | 6.750% | 12/15/27 | 400 | 511 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 4,000 | 4,976 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 1,000 | 1,282 | ||
6 | Anheuser-Busch InBev SA NV | 3.700% | 4/2/40 | 900 | 1,501 | |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 4,000 | 4,836 | ||
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 12,383 | 20,973 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 16,330 | 18,218 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 28,749 | 39,052 | ||
BAT Capital Corp. | 4.390% | 8/15/37 | 1,375 | 1,512 | ||
BAT Capital Corp. | 4.540% | 8/15/47 | 1,535 | 1,652 | ||
4 | BAT International Finance plc | 2.250% | 9/9/52 | 300 | 327 | |
3 | Cargill Inc. | 4.760% | 11/23/45 | 20,000 | 26,850 | |
Coca-Cola Co. | 2.875% | 5/5/41 | 22,925 | 24,383 | ||
Coca-Cola Co. | 2.600% | 6/1/50 | 40,500 | 40,428 | ||
Coca-Cola Co. | 3.000% | 3/5/51 | 47,160 | 50,771 | ||
Coca-Cola Co. | 2.500% | 3/15/51 | 33,665 | 32,879 | ||
Estee Lauder Cos. Inc. | 3.125% | 12/1/49 | 18,964 | 21,110 | ||
Hershey Co. | 3.125% | 11/15/49 | 25,500 | 27,931 | ||
Hershey Co. | 2.650% | 6/1/50 | 2,000 | 2,025 | ||
Hormel Foods Corp. | 3.050% | 6/3/51 | 20,165 | 21,671 | ||
Keurig Dr Pepper Inc. | 4.500% | 11/15/45 | 1,000 | 1,242 | ||
Kimberly-Clark Corp. | 3.200% | 7/30/46 | 19,400 | 21,551 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 1,030 | 1,140 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 740 | 816 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 2,070 | 2,575 | ||
3 | Lamb Weston Holdings Inc. | 4.625% | 11/1/24 | 80 | 82 | |
3 | Lamb Weston Holdings Inc. | 4.875% | 11/1/26 | 210 | 217 | |
3 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 380 | 422 | |
3 | Nestle Holdings Inc. | 3.900% | 9/24/38 | 49,785 | 60,266 | |
3 | Nestle Holdings Inc. | 4.000% | 9/24/48 | 23,255 | 29,053 | |
PepsiCo Inc. | 4.000% | 3/5/42 | 2,038 | 2,528 | ||
PepsiCo Inc. | 3.600% | 8/13/42 | 947 | 1,116 | ||
PepsiCo Inc. | 4.450% | 4/14/46 | 29,289 | 38,597 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 45,375 | 51,979 | ||
PepsiCo Inc. | 4.000% | 5/2/47 | 15,435 | 19,223 | ||
PepsiCo Inc. | 3.375% | 7/29/49 | 25,294 | 28,892 | ||
PepsiCo Inc. | 2.875% | 10/15/49 | 12,285 | 12,962 | ||
3 | Performance Food Group Inc. | 6.875% | 5/1/25 | 80 | 85 | |
3 | Performance Food Group Inc. | 5.500% | 10/15/27 | 535 | 558 | |
3 | Performance Food Group Inc. | 4.250% | 8/1/29 | 295 | 300 | |
6 | Philip Morris International Inc. | 2.000% | 5/9/36 | 1,100 | 1,441 | |
Philip Morris International Inc. | 6.375% | 5/16/38 | 5,802 | 8,432 | ||
Philip Morris International Inc. | 4.375% | 11/15/41 | 4,890 | 5,861 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Philip Morris International Inc. | 3.875% | 8/21/42 | 1,750 | 1,980 | ||
Philip Morris International Inc. | 4.125% | 3/4/43 | 17,345 | 20,116 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 22,345 | 28,648 | ||
3 | Post Holdings Inc. | 5.750% | 3/1/27 | 105 | 109 | |
3 | Post Holdings Inc. | 4.500% | 9/15/31 | 215 | 217 | |
3 | SC Johnson & Son Inc. | 4.000% | 5/15/43 | 28,110 | 33,804 | |
Walmart Inc. | 3.950% | 6/28/38 | 96,757 | 117,905 | ||
Walmart Inc. | 5.625% | 4/1/40 | 1,839 | 2,685 | ||
Walmart Inc. | 4.875% | 7/8/40 | 1,944 | 2,626 | ||
Walmart Inc. | 5.000% | 10/25/40 | 1,610 | 2,210 | ||
Walmart Inc. | 5.625% | 4/15/41 | 3,695 | 5,452 | ||
Walmart Inc. | 4.000% | 4/11/43 | 1,326 | 1,648 | ||
Walmart Inc. | 3.625% | 12/15/47 | 69,145 | 82,468 | ||
Walmart Inc. | 4.050% | 6/29/48 | 26,395 | 33,707 | ||
Walmart Inc. | 2.950% | 9/24/49 | 7,518 | 8,163 | ||
984,687 | ||||||
Energy (5.2%) | ||||||
3 | Antero Resources Corp. | 5.375% | 3/1/30 | 325 | 331 | |
3 | Atlantica Sustainable Infrastructure plc | 4.125% | 6/15/28 | 60 | 62 | |
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. | 4.080% | 12/15/47 | 3,837 | 4,452 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 25,055 | 25,819 | ||
BP Capital Markets America Inc. | 3.000% | 2/24/50 | 2,000 | 1,976 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 37,140 | 35,188 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 38,070 | 37,353 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 50,075 | 52,192 | ||
Burlington Resources LLC | 5.950% | 10/15/36 | 1,420 | 2,012 | ||
3 | Cameron LNG LLC | 3.701% | 1/15/39 | 1,300 | 1,474 | |
Cheniere Energy Inc. | 4.625% | 10/15/28 | 145 | 153 | ||
3 | Cheniere Energy Partners LP | 4.000% | 3/1/31 | 170 | 180 | |
Chevron Corp. | 2.978% | 5/11/40 | 14,790 | 15,756 | ||
Chevron Corp. | 3.078% | 5/11/50 | 19,305 | 20,384 | ||
Chevron USA Inc. | 5.050% | 11/15/44 | 4,500 | 6,144 | ||
Chevron USA Inc. | 4.950% | 8/15/47 | 2,000 | 2,719 | ||
Chevron USA Inc. | 2.343% | 8/12/50 | 1,590 | 1,480 | ||
3 | CNX Resources Corp. | 6.000% | 1/15/29 | 250 | 265 | |
3 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 55 | 57 | |
3 | Comstock Resources Inc. | 5.875% | 1/15/30 | 410 | 412 | |
ConocoPhillips | 7.000% | 3/30/29 | 5,830 | 7,794 | ||
ConocoPhillips | 5.900% | 10/15/32 | 1,326 | 1,806 | ||
ConocoPhillips | 6.500% | 2/1/39 | 32,170 | 47,993 | ||
3 | ConocoPhillips | 4.875% | 10/1/47 | 7,445 | 9,927 | |
3 | ConocoPhillips | 4.850% | 8/15/48 | 4,100 | 5,474 | |
ConocoPhillips Co. | 4.300% | 11/15/44 | 9,878 | 12,225 | ||
3 | CrownRock LP / CrownRock Finance Inc. | 5.625% | 10/15/25 | 85 | 87 | |
3 | CrownRock LP / CrownRock Finance Inc. | 5.000% | 5/1/29 | 75 | 78 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 56 | 64 | ||
DCP Midstream Operating LP | 5.125% | 5/15/29 | 180 | 201 | ||
3 | DT Midstream Inc. | 4.125% | 6/15/29 | 235 | 241 | |
3 | DT Midstream Inc. | 4.375% | 6/15/31 | 175 | 182 | |
3 | Endeavor Energy Resources LP / EER Finance Inc. | 6.625% | 7/15/25 | 37 | 39 | |
3 | Endeavor Energy Resources LP / EER Finance Inc. | 5.750% | 1/30/28 | 150 | 158 | |
Energy Transfer Operating LP | 5.000% | 5/15/50 | 3,000 | 3,517 | ||
3 | EnLink Midstream LLC | 5.625% | 1/15/28 | 50 | 53 | |
EnLink Midstream LLC | 5.375% | 6/1/29 | 125 | 130 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 4,111 | 5,176 | ||
Enterprise Products Operating LLC | 4.200% | 1/31/50 | 3,000 | 3,513 | ||
EOG Resources Inc. | 3.900% | 4/1/35 | 1,650 | 1,938 | ||
EOG Resources Inc. | 4.950% | 4/15/50 | 18,090 | 24,708 | ||
3 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 145 | 163 | |
EQT Corp. | 3.000% | 10/1/22 | 26 | 26 | ||
3 | EQT Corp. | 3.125% | 5/15/26 | 75 | 77 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
EQT Corp. | 5.000% | 1/15/29 | 140 | 158 | ||
Equinor ASA | 3.625% | 4/6/40 | 19,225 | 22,133 | ||
Equinor ASA | 4.250% | 11/23/41 | 1,944 | 2,405 | ||
Equinor ASA | 3.950% | 5/15/43 | 35,350 | 42,024 | ||
Equinor ASA | 3.250% | 11/18/49 | 18,640 | 20,168 | ||
Equinor ASA | 3.700% | 4/6/50 | 9,800 | 11,560 | ||
6 | Exxon Mobil Corp. | 1.408% | 6/26/39 | 1,100 | 1,326 | |
Exxon Mobil Corp. | 2.995% | 8/16/39 | 6,678 | 7,032 | ||
Exxon Mobil Corp. | 4.227% | 3/19/40 | 10,425 | 12,753 | ||
Exxon Mobil Corp. | 3.567% | 3/6/45 | 10,700 | 11,956 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 33,010 | 40,023 | ||
Exxon Mobil Corp. | 3.095% | 8/16/49 | 19,590 | 20,578 | ||
Exxon Mobil Corp. | 4.327% | 3/19/50 | 68,181 | 86,600 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 32,295 | 36,073 | ||
3 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 32,310 | 32,534 | |
3 | Hilcorp Energy I LP / Hilcorp Finance Co. | 5.750% | 2/1/29 | 35 | 36 | |
3 | Hilcorp Energy I LP / Hilcorp Finance Co. | 6.000% | 2/1/31 | 45 | 47 | |
KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 1,425 | 1,870 | ||
Marathon Petroleum Corp. | 4.500% | 4/1/48 | 2,500 | 2,891 | ||
3 | MEG Energy Corp. | 6.500% | 1/15/25 | 158 | 163 | |
3 | MEG Energy Corp. | 5.875% | 2/1/29 | 20 | 21 | |
3 | Northern Natural Gas Co. | 3.400% | 10/16/51 | 2,800 | 2,959 | |
Nustar Logistics LP | 5.750% | 10/1/25 | 35 | 38 | ||
Nustar Logistics LP | 6.375% | 10/1/30 | 140 | 156 | ||
Occidental Petroleum Corp. | 5.500% | 12/1/25 | 30 | 33 | ||
Occidental Petroleum Corp. | 5.550% | 3/15/26 | 145 | 159 | ||
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 40 | 40 | ||
Occidental Petroleum Corp. | 3.200% | 8/15/26 | 445 | 443 | ||
Occidental Petroleum Corp. | 3.000% | 2/15/27 | 95 | 94 | ||
Occidental Petroleum Corp. | 4.400% | 8/15/49 | 130 | 126 | ||
Ovintiv Exploration Inc. | 5.625% | 7/1/24 | 320 | 354 | ||
3 | Parkland Corp. | 4.500% | 10/1/29 | 150 | 154 | |
Petroleos del Peru SA | 5.625% | 6/19/47 | 5,000 | 5,173 | ||
Petronas Capital Ltd. | 3.500% | 4/21/30 | 4,460 | 4,893 | ||
3 | Qatar Petroleum | 3.125% | 7/12/41 | 21,000 | 21,801 | |
3 | Qatar Petroleum | 3.300% | 7/12/51 | 22,055 | 22,880 | |
3 | Rattler Midstream LP | 5.625% | 7/15/25 | 45 | 47 | |
Shell International Finance BV | 4.125% | 5/11/35 | 36,405 | 43,909 | ||
Shell International Finance BV | 6.375% | 12/15/38 | 2,121 | 3,167 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 13,990 | 19,587 | ||
Shell International Finance BV | 4.550% | 8/12/43 | 19,195 | 24,356 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 40,595 | 50,872 | ||
Shell International Finance BV | 4.000% | 5/10/46 | 37,137 | 44,294 | ||
Shell International Finance BV | 3.750% | 9/12/46 | 63,375 | 73,409 | ||
Shell International Finance BV | 3.125% | 11/7/49 | 5,000 | 5,338 | ||
Shell International Finance BV | 3.250% | 4/6/50 | 16,730 | 18,280 | ||
Suncor Energy Inc. | 3.750% | 3/4/51 | 1,100 | 1,218 | ||
3 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 7.500% | 10/1/25 | 10 | 11 | |
3 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 6.000% | 12/31/30 | 45 | 47 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.500% | 7/15/27 | 158 | 172 | ||
Total Capital International SA | 2.986% | 6/29/41 | 29,580 | 31,012 | ||
Total Capital International SA | 3.461% | 7/12/49 | 500 | 554 | ||
Total Capital International SA | 3.127% | 5/29/50 | 44,285 | 46,361 | ||
3 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 120 | 123 | |
3 | Venture Global Calcasieu Pass LLC | 4.125% | 8/15/31 | 120 | 124 | |
Western Midstream Operating LP | 5.300% | 2/1/30 | 180 | 202 | ||
1,108,716 | ||||||
Financials (17.4%) | ||||||
ACE Capital Trust II | 9.700% | 4/1/30 | 3,745 | 5,672 | ||
Aflac Inc. | 4.000% | 10/15/46 | 947 | 1,130 | ||
3 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 4.250% | 10/15/27 | 35 | 35 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 6.750% | 10/15/27 | 105 | 110 | |
Allstate Corp. | 4.200% | 12/15/46 | 14,385 | 18,105 | ||
American International Group Inc. | 4.375% | 6/30/50 | 6,205 | 7,822 | ||
4 | Athene Global Funding | 1.875% | 11/30/28 | 1,200 | 1,685 | |
Athene Holding Ltd. | 3.950% | 5/25/51 | 1,705 | 1,944 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 30,170 | 31,188 | ||
Bank of America Corp. | 4.244% | 4/24/38 | 80,255 | 95,779 | ||
Bank of America Corp. | 4.078% | 4/23/40 | 37,950 | 44,683 | ||
Bank of America Corp. | 2.676% | 6/19/41 | 59,163 | 58,352 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 19,230 | 28,181 | ||
Bank of America Corp. | 3.311% | 4/22/42 | 62,940 | 67,948 | ||
Bank of America Corp. | 4.443% | 1/20/48 | 26,455 | 33,354 | ||
Bank of America Corp. | 3.946% | 1/23/49 | 62,960 | 73,739 | ||
Bank of America Corp. | 4.330% | 3/15/50 | 34,336 | 43,046 | ||
Bank of America Corp. | 4.083% | 3/20/51 | 57,390 | 69,394 | ||
Bank of America Corp. | 2.831% | 10/24/51 | 13,395 | 13,168 | ||
Bank of America Corp. | 3.483% | 3/13/52 | 13,020 | 14,440 | ||
Bank of America NA | 6.000% | 10/15/36 | 20,450 | 29,045 | ||
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 2,000 | 2,560 | ||
Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 34,372 | 43,392 | ||
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/49 | 64,185 | 81,625 | ||
Berkshire Hathaway Finance Corp. | 2.850% | 10/15/50 | 7,420 | 7,568 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 3,000 | 2,874 | ||
6 | Berkshire Hathaway Inc. | 0.500% | 1/15/41 | 623 | 691 | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 47,747 | 62,163 | ||
6 | Blackstone Property Partners Europe Holdings Sarl | 1.750% | 3/12/29 | 1,470 | 1,840 | |
3 | BNP Paribas SA | 2.824% | 1/26/41 | 1,800 | 1,743 | |
3 | Broadstreet Partners Inc. | 5.875% | 4/15/29 | 50 | 51 | |
Brookfield Finance LLC | 3.450% | 4/15/50 | 1,470 | 1,548 | ||
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 1,500 | 1,869 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 5,125 | 6,603 | ||
CI Financial Corp. | 4.100% | 6/15/51 | 5,850 | 6,212 | ||
Citigroup Inc. | 2.561% | 5/1/32 | 38,875 | 40,185 | ||
Citigroup Inc. | 3.878% | 1/24/39 | 70,730 | 82,662 | ||
Citigroup Inc. | 5.316% | 3/26/41 | 10,000 | 13,576 | ||
Citigroup Inc. | 4.650% | 7/30/45 | 13,142 | 17,168 | ||
Citigroup Inc. | 4.281% | 4/24/48 | 13,570 | 17,145 | ||
Citigroup Inc. | 4.650% | 7/23/48 | 19,887 | 26,474 | ||
3 | Commonwealth Bank of Australia | 3.305% | 3/11/41 | 4,180 | 4,381 | |
Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 1,375 | 1,934 | ||
3 | Credit Agricole SA | 2.811% | 1/11/41 | 1,750 | 1,700 | |
6 | Credit Suisse Group AG | 0.625% | 1/18/33 | 700 | 801 | |
Equitable Holdings Inc. | 5.000% | 4/20/48 | 4,890 | 6,375 | ||
Everest Reinsurance Holdings Inc. | 3.500% | 10/15/50 | 2,070 | 2,269 | ||
3 | FMR LLC | 6.450% | 11/15/39 | 16,010 | 23,924 | |
GATX Corp. | 3.100% | 6/1/51 | 2,725 | 2,691 | ||
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 3,500 | 4,300 | ||
6 | Goldman Sachs Group Inc. | 1.000% | 3/18/33 | 1,300 | 1,574 | |
Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 139,440 | 165,221 | ||
Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 43,422 | 53,391 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 15,170 | 22,742 | ||
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 32,300 | 34,295 | ||
Goldman Sachs Group Inc. | 2.908% | 7/21/42 | 20,480 | 20,784 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 18,000 | 23,758 | ||
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 864 | 1,145 | ||
6 | Helvetia Europe SA | 2.750% | 9/30/41 | 1,100 | 1,441 | |
4 | HSBC Holdings plc | 3.000% | 5/29/30 | 1,900 | 2,861 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 15,263 | 21,712 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 33,660 | 34,937 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 10,000 | 13,934 | ||
HSBC Holdings plc | 6.500% | 9/15/37 | 27,273 | 38,511 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
HSBC Holdings plc | 6.800% | 6/1/38 | 48,749 | 70,774 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 12,695 | 18,799 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 5,500 | 7,256 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 1,760 | 1,731 | ||
Intercontinental Exchange Inc. | 4.250% | 9/21/48 | 7,225 | 8,763 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 880 | 875 | ||
4 | Intesa Sanpaolo SPA | 2.500% | 1/15/30 | 1,100 | 1,593 | |
Invesco Finance plc | 5.375% | 11/30/43 | 3,113 | 4,186 | ||
6 | JAB Holdings BV | 2.250% | 12/19/39 | 1,000 | 1,294 | |
3 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 189 | 252 | |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 44,499 | 66,062 | ||
JPMorgan Chase & Co. | 3.882% | 7/24/38 | 67,662 | 79,268 | ||
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 29,390 | 40,867 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/41 | 16,600 | 17,650 | ||
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 11,247 | 15,913 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 44,200 | 47,034 | ||
JPMorgan Chase & Co. | 4.260% | 2/22/48 | 36,921 | 45,548 | ||
JPMorgan Chase & Co. | 4.032% | 7/24/48 | 32,890 | 39,163 | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 97,835 | 116,385 | ||
JPMorgan Chase & Co. | 3.897% | 1/23/49 | 47,355 | 55,674 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 19,160 | 19,988 | ||
JPMorgan Chase & Co. | 3.328% | 4/22/52 | 54,660 | 59,380 | ||
3 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 5.250% | 10/1/25 | 35 | 36 | |
3 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.250% | 2/1/27 | 347 | 347 | |
3 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.750% | 6/15/29 | 300 | 299 | |
3 | LPL Holdings Inc. | 4.375% | 5/15/31 | 750 | 768 | |
3 | LSEGA Financing plc | 3.200% | 4/6/41 | 26,545 | 28,423 | |
Markel Corp. | 3.450% | 5/7/52 | 3,490 | 3,707 | ||
Marsh & McLennan Cos. Inc. | 4.750% | 3/15/39 | 21,719 | 28,501 | ||
Marsh & McLennan Cos. Inc. | 4.350% | 1/30/47 | 22,580 | 29,010 | ||
Marsh & McLennan Cos. Inc. | 4.200% | 3/1/48 | 1,000 | 1,266 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 16,451 | 22,748 | ||
3 | Massachusetts Mutual Life Insurance Co. | 3.729% | 10/15/70 | 15,356 | 17,038 | |
MetLife Inc. | 4.125% | 8/13/42 | 56,081 | 68,593 | ||
MetLife Inc. | 4.875% | 11/13/43 | 10,000 | 13,497 | ||
MetLife Inc. | 4.050% | 3/1/45 | 5,236 | 6,383 | ||
3 | Midcap Financial Issuer Trust | 5.625% | 1/15/30 | 117 | 115 | |
Morgan Stanley | 3.622% | 4/1/31 | 15,000 | 16,877 | ||
Morgan Stanley | 7.250% | 4/1/32 | 6,870 | 10,151 | ||
Morgan Stanley | 2.239% | 7/21/32 | 35,310 | 35,599 | ||
Morgan Stanley | 3.971% | 7/22/38 | 103,500 | 122,274 | ||
Morgan Stanley | 4.457% | 4/22/39 | 6,850 | 8,520 | ||
Morgan Stanley | 3.217% | 4/22/42 | 23,020 | 24,726 | ||
Morgan Stanley | 6.375% | 7/24/42 | 33,160 | 51,502 | ||
Morgan Stanley | 4.300% | 1/27/45 | 30,041 | 37,577 | ||
Morgan Stanley | 4.375% | 1/22/47 | 44,780 | 57,084 | ||
Morgan Stanley | 5.597% | 3/24/51 | 750 | 1,134 | ||
Morgan Stanley | 2.802% | 1/25/52 | 14,380 | 14,293 | ||
Nasdaq Inc. | 2.500% | 12/21/40 | 6,042 | 5,741 | ||
3 | Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 24,046 | 42,537 | |
3 | Nationwide Mutual Insurance Co. | 4.950% | 4/22/44 | 13,215 | 16,225 | |
3 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 14,765 | 16,843 | |
3 | New York Life Insurance Co. | 5.875% | 5/15/33 | 36,125 | 48,769 | |
3 | New York Life Insurance Co. | 3.750% | 5/15/50 | 7,870 | 9,108 | |
3 | Nippon Life Insurance Co. | 3.400% | 1/23/50 | 1,400 | 1,461 | |
3 | Nippon Life Insurance Co. | 2.750% | 1/21/51 | 2,640 | 2,616 | |
3 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 8,944 | 10,417 | |
3 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 33,074 | 36,980 | |
Old Republic International Corp. | 3.850% | 6/11/51 | 2,580 | 2,803 | ||
3 | OneAmerica Financial Partners Inc. | 4.250% | 10/15/50 | 2,030 | 2,182 | |
3 | Pacific Life Insurance Co. | 4.300% | 10/24/67 | 6,295 | 7,364 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Pension Insurance Corp. plc | 4.625% | 5/7/31 | 860 | 1,373 | |
Progressive Corp. | 4.125% | 4/15/47 | 7,920 | 9,992 | ||
Progressive Corp. | 3.950% | 3/26/50 | 10,525 | 13,066 | ||
Prudential Financial Inc. | 3.000% | 3/10/40 | 3,250 | 3,424 | ||
Prudential Financial Inc. | 4.600% | 5/15/44 | 1,139 | 1,482 | ||
Prudential Financial Inc. | 5.375% | 5/15/45 | 128 | 141 | ||
Prudential Financial Inc. | 3.905% | 12/7/47 | 1,420 | 1,687 | ||
Prudential Financial Inc. | 4.418% | 3/27/48 | 390 | 498 | ||
Prudential Financial Inc. | 3.935% | 12/7/49 | 16,765 | 20,082 | ||
Prudential Financial Inc. | 4.350% | 2/25/50 | 1,548 | 1,977 | ||
Prudential Financial Inc. | 3.700% | 3/13/51 | 6,484 | 7,589 | ||
Raymond James Financial Inc. | 3.750% | 4/1/51 | 2,000 | 2,252 | ||
3 | Securian Financial Group Inc. | 4.800% | 4/15/48 | 4,146 | 5,153 | |
3 | Temasek Financial I Ltd. | 2.750% | 8/2/61 | 51,455 | 51,269 | |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,100 | 1,478 | ||
Travelers Cos. Inc. | 3.750% | 5/15/46 | 3,954 | 4,714 | ||
Travelers Cos. Inc. | 4.000% | 5/30/47 | 2,600 | 3,226 | ||
Travelers Cos. Inc. | 4.100% | 3/4/49 | 15,000 | 19,013 | ||
Travelers Cos. Inc. | 2.550% | 4/27/50 | 1,000 | 991 | ||
Travelers Cos. Inc. | 3.050% | 6/8/51 | 43,915 | 47,551 | ||
Wachovia Corp. | 5.500% | 8/1/35 | 2,322 | 3,071 | ||
4 | Wells Fargo & Co. | 2.125% | 9/24/31 | 1,300 | 1,865 | |
Wells Fargo & Co. | 3.068% | 4/30/41 | 28,640 | 30,129 | ||
Wells Fargo & Co. | 5.375% | 11/2/43 | 55,167 | 75,187 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 130,765 | 182,757 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 2,957 | 3,715 | ||
Wells Fargo & Co. | 3.900% | 5/1/45 | 3,837 | 4,584 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 19,485 | 25,388 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 33,292 | 40,925 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 43,559 | 56,027 | ||
Wells Fargo & Co. | 5.013% | 4/4/51 | 38,330 | 53,621 | ||
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 745 | ||
Westpac Banking Corp. | 2.963% | 11/16/40 | 3,580 | 3,610 | ||
6 | Zurich Finance Ireland Designated Activity Co. | 1.625% | 6/17/39 | 1,170 | 1,576 | |
3,743,577 | ||||||
Health Care (11.1%) | ||||||
Abbott Laboratories | 4.750% | 11/30/36 | 16,130 | 21,150 | ||
Abbott Laboratories | 4.900% | 11/30/46 | 76,140 | 106,702 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 3,000 | 3,561 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 358 | 474 | ||
Advocate Health & Hospitals Corp. | 4.272% | 8/15/48 | 6,315 | 8,157 | ||
Advocate Health & Hospitals Corp. | 3.387% | 10/15/49 | 15,205 | 17,300 | ||
5 | Allina Health System | 3.887% | 4/15/49 | 3,569 | 4,237 | |
Amgen Inc. | 3.150% | 2/21/40 | 1,250 | 1,337 | ||
Amgen Inc. | 3.375% | 2/21/50 | 125 | 136 | ||
Ascension Health | 3.106% | 11/15/39 | 3,000 | 3,280 | ||
AstraZeneca plc | 3.000% | 5/28/51 | 30,190 | 32,330 | ||
Baptist Healthcare System Obligated Group | 3.540% | 8/15/50 | 1,400 | 1,564 | ||
3 | Bausch Health Cos. Inc. | 6.125% | 4/15/25 | 78 | 80 | |
3 | Bausch Health Cos. Inc. | 5.500% | 11/1/25 | 50 | 51 | |
3 | Bausch Health Cos. Inc. | 5.750% | 8/15/27 | 85 | 89 | |
3 | Bausch Health Cos. Inc. | 7.000% | 1/15/28 | 156 | 164 | |
3 | Bausch Health Cos. Inc. | 4.875% | 6/1/28 | 150 | 155 | |
3 | Bausch Health Cos. Inc. | 5.250% | 2/15/31 | 100 | 94 | |
Baylor Scott & White Holdings | 2.839% | 11/15/50 | 8,710 | 8,991 | ||
Bon Secours Mercy Health Inc. | 3.205% | 6/1/50 | 1,660 | 1,775 | ||
Boston Scientific Corp. | 4.700% | 3/1/49 | 1,414 | 1,851 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 48,137 | 59,351 | ||
Bristol-Myers Squibb Co. | 2.350% | 11/13/40 | 28,285 | 27,708 | ||
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 3,250 | 4,286 | ||
Bristol-Myers Squibb Co. | 4.350% | 11/15/47 | 5,000 | 6,463 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 1,000 | 1,329 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 115,795 | 149,463 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 20,580 | 20,110 | ||
Centene Corp. | 2.450% | 7/15/28 | 335 | 339 | ||
Centene Corp. | 3.000% | 10/15/30 | 135 | 140 | ||
Centene Corp. | 2.500% | 3/1/31 | 220 | 220 | ||
3 | Charles River Laboratories International Inc. | 3.750% | 3/15/29 | 85 | 87 | |
Children's Health System of Texas | 2.511% | 8/15/50 | 2,500 | 2,403 | ||
Children's Hospital of Philadelphia | 2.704% | 7/1/50 | 1,250 | 1,258 | ||
Cigna Corp. | 4.800% | 8/15/38 | 2,000 | 2,538 | ||
Cigna Corp. | 3.200% | 3/15/40 | 1,000 | 1,063 | ||
City of Hope | 5.623% | 11/15/43 | 1,944 | 2,819 | ||
City of Hope | 4.378% | 8/15/48 | 1,671 | 2,140 | ||
5 | CommonSpirit Health | 4.350% | 11/1/42 | 16,260 | 19,441 | |
CVS Health Corp. | 4.780% | 3/25/38 | 3,057 | 3,839 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 2,000 | 2,372 | ||
CVS Health Corp. | 2.700% | 8/21/40 | 2,100 | 2,090 | ||
CVS Health Corp. | 5.050% | 3/25/48 | 1,000 | 1,332 | ||
Dignity Health | 4.500% | 11/1/42 | 1,041 | 1,284 | ||
Dignity Health | 5.267% | 11/1/64 | 758 | 1,081 | ||
Eli Lilly & Co. | 3.950% | 3/15/49 | 18,330 | 22,778 | ||
Eli Lilly & Co. | 2.250% | 5/15/50 | 37,835 | 35,198 | ||
Eli Lilly & Co. | 4.150% | 3/15/59 | 23,420 | 30,628 | ||
Eli Lilly & Co. | 2.500% | 9/15/60 | 19,075 | 18,064 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 184 | 192 | ||
Gilead Sciences Inc. | 4.600% | 9/1/35 | 1,890 | 2,363 | ||
Gilead Sciences Inc. | 5.650% | 12/1/41 | 3,686 | 5,200 | ||
Gilead Sciences Inc. | 4.800% | 4/1/44 | 20,390 | 26,567 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 36,730 | 45,928 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 18,230 | 22,076 | ||
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 37,532 | 57,031 | ||
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 2,000 | 2,528 | ||
Hackensack Meridian Health Inc. | 2.875% | 9/1/50 | 1,250 | 1,282 | ||
HCA Inc. | 5.375% | 2/1/25 | 255 | 289 | ||
HCA Inc. | 5.500% | 6/15/47 | 2,000 | 2,669 | ||
HCA Inc. | 3.500% | 7/15/51 | 2,500 | 2,579 | ||
3 | HCRX Investments Holdco LP | 4.500% | 8/1/29 | 60 | 61 | |
3 | Hill-Rom Holdings Inc. | 4.375% | 9/15/27 | 664 | 695 | |
Johnson & Johnson | 3.550% | 3/1/36 | 47,310 | 56,245 | ||
Johnson & Johnson | 3.625% | 3/3/37 | 53,652 | 63,629 | ||
Johnson & Johnson | 3.400% | 1/15/38 | 43,125 | 50,134 | ||
Johnson & Johnson | 2.100% | 9/1/40 | 12,840 | 12,527 | ||
Johnson & Johnson | 3.700% | 3/1/46 | 26,329 | 32,004 | ||
Johnson & Johnson | 3.750% | 3/3/47 | 22,355 | 27,411 | ||
Johnson & Johnson | 2.450% | 9/1/60 | 19,215 | 18,842 | ||
Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 21,395 | 22,417 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 15,390 | 21,048 | ||
Kaiser Foundation Hospitals | 4.150% | 5/1/47 | 17,944 | 22,844 | ||
Kaiser Foundation Hospitals | 3.266% | 11/1/49 | 1,171 | 1,303 | ||
Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 27,655 | 29,310 | ||
Mass General Brigham Inc. | 3.192% | 7/1/49 | 9,050 | 9,763 | ||
Mass General Brigham Inc. | 3.342% | 7/1/60 | 34,775 | 39,588 | ||
Mayo Clinic | 3.774% | 11/15/43 | 11,795 | 14,127 | ||
Mayo Clinic | 3.196% | 11/15/61 | 23,785 | 26,586 | ||
6 | Medtronic Global Holdings SCA | 1.375% | 10/15/40 | 700 | 888 | |
Medtronic Inc. | 4.375% | 3/15/35 | 12,878 | 16,341 | ||
Medtronic Inc. | 4.625% | 3/15/45 | 14,809 | 19,841 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 2,000 | 2,605 | ||
Merck & Co. Inc. | 3.900% | 3/7/39 | 2,000 | 2,412 | ||
Merck & Co. Inc. | 3.700% | 2/10/45 | 75,455 | 89,170 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 18,729 | 23,366 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Mount Sinai Hospitals Group Inc. | 3.391% | 7/1/50 | 2,000 | 2,142 | ||
New York and Presbyterian Hospital | 2.256% | 8/1/40 | 4,077 | 3,952 | ||
New York and Presbyterian Hospital | 4.024% | 8/1/45 | 13,685 | 17,315 | ||
New York and Presbyterian Hospital | 4.063% | 8/1/56 | 3,743 | 4,810 | ||
New York and Presbyterian Hospital | 4.763% | 8/1/16 | 5,250 | 7,539 | ||
Northwell Healthcare Inc. | 4.800% | 11/1/42 | 1,042 | 1,292 | ||
Northwell Healthcare Inc. | 3.979% | 11/1/46 | 1,944 | 2,258 | ||
Northwell Healthcare Inc. | 4.260% | 11/1/47 | 947 | 1,150 | ||
Northwell Healthcare Inc. | 3.809% | 11/1/49 | 3,784 | 4,364 | ||
Novant Health Inc. | 2.637% | 11/1/36 | 2,000 | 2,098 | ||
Novant Health Inc. | 3.168% | 11/1/51 | 5,500 | 6,001 | ||
Novant Health Inc. | 3.318% | 11/1/61 | 26,665 | 29,530 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 24,840 | 32,636 | ||
Novartis Capital Corp. | 2.750% | 8/14/50 | 11,960 | 12,524 | ||
NYU Langone Hospitals | 4.784% | 7/1/44 | 1,944 | 2,567 | ||
3 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 250 | 256 | |
3 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 5.125% | 4/30/31 | 150 | 155 | |
5 | Orlando Health Obligated Group | 3.327% | 10/1/50 | 1,350 | 1,471 | |
Partners Healthcare System Inc. | 3.765% | 7/1/48 | 6,455 | 7,721 | ||
PeaceHealth Obligated Group | 4.787% | 11/15/48 | 6,015 | 8,331 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 34,780 | 43,012 | ||
Pfizer Inc. | 3.900% | 3/15/39 | 34,185 | 41,487 | ||
Pfizer Inc. | 7.200% | 3/15/39 | 34,632 | 57,298 | ||
Pfizer Inc. | 4.300% | 6/15/43 | 7,780 | 9,991 | ||
Pfizer Inc. | 4.400% | 5/15/44 | 8,615 | 11,260 | ||
Pfizer Inc. | 4.125% | 12/15/46 | 21,540 | 27,225 | ||
Pfizer Inc. | 4.200% | 9/15/48 | 24,916 | 31,964 | ||
Pfizer Inc. | 4.000% | 3/15/49 | 18,334 | 22,937 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 5,475 | 5,569 | ||
5 | Providence St. Joseph Health Obligated Group | 3.744% | 10/1/47 | 4,605 | 5,397 | |
Stanford Health Care | 3.310% | 8/15/30 | 2,140 | 2,406 | ||
Stanford Health Care | 3.027% | 8/15/51 | 25,000 | 26,582 | ||
Sutter Health | 3.161% | 8/15/40 | 21,475 | 23,107 | ||
Sutter Health | 3.361% | 8/15/50 | 11,962 | 13,078 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 4,575 | 4,751 | ||
3 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 20 | 20 | |
3 | Tenet Healthcare Corp. | 7.500% | 4/1/25 | 15 | 16 | |
3 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 192 | 199 | |
3 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 90 | 94 | |
3 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 278 | 283 | |
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 17,775 | 18,515 | ||
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 34,886 | 50,092 | ||
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 10,130 | 15,961 | ||
UnitedHealth Group Inc. | 3.500% | 8/15/39 | 20,796 | 23,694 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 10,135 | 10,503 | ||
UnitedHealth Group Inc. | 3.050% | 5/15/41 | 21,325 | 22,883 | ||
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 23,917 | 30,212 | ||
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 1,041 | 1,260 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 53,920 | 72,514 | ||
UnitedHealth Group Inc. | 4.250% | 4/15/47 | 12,111 | 15,329 | ||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 25,610 | 30,191 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 26,467 | 33,614 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 2,890 | 3,792 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 19,722 | 23,190 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 3,000 | 3,113 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 36,010 | 39,648 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 20,185 | 24,755 | ||
6 | Upjohn Finance BV | 1.908% | 6/23/32 | 1,000 | 1,292 | |
3 | Viatris Inc. | 3.850% | 6/22/40 | 5,600 | 6,106 | |
Wyeth LLC | 6.500% | 2/1/34 | 1,240 | 1,840 | ||
Wyeth LLC | 5.950% | 4/1/37 | 53,438 | 77,931 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Yale-New Haven Health Services Corp. | 2.496% | 7/1/50 | 1,250 | 1,198 | ||
2,387,584 | ||||||
Industrials (3.7%) | ||||||
3M Co. | 3.700% | 4/15/50 | 34,740 | 41,625 | ||
3 | Air Canada | 3.875% | 8/15/26 | 195 | 196 | |
3 | Allied Universal Holdco LLC / Allied Universal Finance Corp. | 6.000% | 6/1/29 | 25 | 25 | |
3 | Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl | 4.625% | 6/1/28 | 35 | 35 | |
3 | Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl | 4.625% | 6/1/28 | 55 | 55 | |
3 | Allison Transmission Inc. | 4.750% | 10/1/27 | 291 | 303 | |
3 | Allison Transmission Inc. | 3.750% | 1/30/31 | 160 | 160 | |
3 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.500% | 4/20/26 | 150 | 157 | |
3,5 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.750% | 4/20/29 | 730 | 789 | |
3 | Aramark Services Inc. | 6.375% | 5/1/25 | 80 | 84 | |
3 | Aramark Services Inc. | 5.000% | 2/1/28 | 434 | 452 | |
3 | Atkore Inc. | 4.250% | 6/1/31 | 145 | 149 | |
Boeing Co. | 5.705% | 5/1/40 | 1,600 | 2,084 | ||
Boeing Co. | 5.930% | 5/1/60 | 1,000 | 1,387 | ||
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 1,658 | 2,461 | ||
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 15,000 | 21,631 | ||
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 2,000 | 2,675 | ||
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 24,790 | 31,349 | ||
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 41,150 | 52,213 | ||
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 11,200 | 14,356 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 500 | 696 | ||
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 18,000 | 24,449 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 43,085 | 56,262 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 12,335 | 15,219 | ||
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 7,265 | 8,706 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 11,910 | 14,835 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,141 | 3,877 | ||
Burlington Northern Santa Fe LLC | 4.150% | 12/15/48 | 18,399 | 23,074 | ||
Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 24,445 | 28,243 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 2,000 | 2,129 | ||
Burlington Northern Santa Fe LLC | 3.300% | 9/15/51 | 17,015 | 18,901 | ||
Canadian National Railway Co. | 3.200% | 8/2/46 | 1,000 | 1,068 | ||
Canadian National Railway Co. | 3.650% | 2/3/48 | 28,169 | 32,161 | ||
Canadian National Railway Co. | 4.450% | 1/20/49 | 15,410 | 19,838 | ||
3 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 190 | 194 | |
Carrier Global Corp. | 3.377% | 4/5/40 | 2,000 | 2,161 | ||
Caterpillar Inc. | 6.050% | 8/15/36 | 2,968 | 4,377 | ||
Caterpillar Inc. | 3.803% | 8/15/42 | 26,112 | 32,041 | ||
Caterpillar Inc. | 3.250% | 4/9/50 | 7,175 | 8,091 | ||
Caterpillar Inc. | 4.750% | 5/15/64 | 7,048 | 10,422 | ||
3 | Clark Equipment Co. | 5.875% | 6/1/25 | 90 | 95 | |
3 | Clean Harbors Inc. | 4.875% | 7/15/27 | 237 | 248 | |
Cummins Inc. | 2.600% | 9/1/50 | 2,000 | 1,958 | ||
Delta Air Lines Inc. | 2.900% | 10/28/24 | 70 | 71 | ||
3 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 330 | 388 | |
Delta Air Lines Inc. | 3.750% | 10/28/29 | 160 | 159 | ||
FedEx Corp. | 3.250% | 5/15/41 | 3,030 | 3,205 | ||
3 | First Student Bidco Inc. / First Transit Parent Inc. | 4.000% | 7/31/29 | 235 | 235 | |
4 | Gatwick Funding Ltd. | 2.500% | 4/15/32 | 500 | 703 | |
General Dynamics Corp. | 4.250% | 4/1/40 | 6,325 | 7,898 | ||
General Dynamics Corp. | 4.250% | 4/1/50 | 701 | 915 | ||
General Electric Co. | 4.250% | 5/1/40 | 1,000 | 1,191 | ||
General Electric Co. | 4.350% | 5/1/50 | 1,335 | 1,644 | ||
3 | H&E Equipment Services Inc. | 3.875% | 12/15/28 | 335 | 332 | |
Honeywell International Inc. | 5.700% | 3/15/36 | 10,300 | 14,403 | ||
Honeywell International Inc. | 5.700% | 3/15/37 | 6,250 | 8,828 | ||
Honeywell International Inc. | 2.800% | 6/1/50 | 4,000 | 4,241 | ||
3 | Interchile SA | 4.500% | 6/30/56 | 3,300 | 3,539 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | JetBlue Class AA Series 2019-1 Pass Through Trust | 2.750% | 11/15/33 | 1,343 | 1,356 | |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 2,000 | 2,339 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 17,189 | 21,978 | ||
Lockheed Martin Corp. | 4.070% | 12/15/42 | 4,784 | 5,917 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 8,572 | 10,233 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 1,844 | 2,492 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 37,945 | 39,024 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 37,742 | 48,035 | ||
3 | Madison IAQ LLC | 4.125% | 6/30/28 | 175 | 175 | |
3 | Madison IAQ LLC | 5.875% | 6/30/29 | 180 | 182 | |
3 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 407 | 443 | |
3 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 120 | 124 | |
Northrop Grumman Corp. | 5.250% | 5/1/50 | 700 | 1,008 | ||
Raytheon Technologies Corp. | 6.125% | 7/15/38 | 7,535 | 10,975 | ||
Raytheon Technologies Corp. | 5.700% | 4/15/40 | 1,000 | 1,419 | ||
Raytheon Technologies Corp. | 4.700% | 12/15/41 | 29,685 | 38,232 | ||
Raytheon Technologies Corp. | 4.200% | 12/15/44 | 1,000 | 1,167 | ||
Raytheon Technologies Corp. | 4.050% | 5/4/47 | 4,000 | 4,813 | ||
Raytheon Technologies Corp. | 3.125% | 7/1/50 | 2,000 | 2,115 | ||
3 | Rolls-Royce plc | 5.750% | 10/15/27 | 900 | 986 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 32,025 | 43,961 | ||
Stanley Black & Decker Inc. | 2.750% | 11/15/50 | 2,030 | 2,026 | ||
3 | TransDigm Inc. | 8.000% | 12/15/25 | 55 | 59 | |
3 | TransDigm Inc. | 6.250% | 3/15/26 | 574 | 603 | |
TransDigm Inc. | 5.500% | 11/15/27 | 160 | 165 | ||
3 | TransDigm Inc. | 4.875% | 5/1/29 | 300 | 302 | |
Union Pacific Corp. | 3.550% | 5/20/61 | 3,660 | 4,053 | ||
5 | United Airlines Class AA Series 2019-2 Pass Through Trust | 2.700% | 11/1/33 | 1,868 | 1,874 | |
United Airlines Holdings Inc. | 4.875% | 1/15/25 | 75 | 77 | ||
3 | United Airlines Inc. | 4.375% | 4/15/26 | 330 | 339 | |
3 | United Airlines Inc. | 4.625% | 4/15/29 | 300 | 309 | |
United Parcel Service Inc. | 6.200% | 1/15/38 | 4,311 | 6,464 | ||
United Parcel Service Inc. | 4.250% | 3/15/49 | 2,000 | 2,594 | ||
United Parcel Service Inc. | 3.400% | 9/1/49 | 3,837 | 4,422 | ||
United Parcel Service Inc. | 5.300% | 4/1/50 | 2,205 | 3,297 | ||
United Rentals North America Inc. | 3.875% | 2/15/31 | 235 | 242 | ||
United Rentals North America Inc. | 3.750% | 1/15/32 | 120 | 121 | ||
3 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 260 | 290 | |
793,194 | ||||||
Materials (0.5%) | ||||||
Air Products and Chemicals Inc. | 2.700% | 5/15/40 | 2,995 | 3,129 | ||
3 | Arconic Corp. | 6.000% | 5/15/25 | 45 | 48 | |
3 | Arconic Rolled Products Corp. | 6.125% | 2/15/28 | 95 | 102 | |
3 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 4/30/25 | 102 | 106 | |
3 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.125% | 8/15/26 | 130 | 134 | |
3 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV | 4.750% | 6/15/27 | 75 | 79 | |
Ball Corp. | 5.000% | 3/15/22 | 55 | 56 | ||
Ball Corp. | 2.875% | 8/15/30 | 60 | 59 | ||
3 | Berry Global Inc. | 4.875% | 7/15/26 | 236 | 249 | |
3 | Berry Global Inc. | 5.625% | 7/15/27 | 290 | 306 | |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 17,947 | 22,414 | ||
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 4,310 | 6,035 | ||
3 | Big River Steel LLC / BRS Finance Corp. | 6.625% | 1/31/29 | 150 | 165 | |
Ecolab Inc. | 3.950% | 12/1/47 | 1,000 | 1,241 | ||
Ecolab Inc. | 2.125% | 8/15/50 | 1,000 | 924 | ||
3 | Element Solutions Inc. | 3.875% | 9/1/28 | 115 | 118 | |
3 | FMG Resources August 2006 Pty Ltd. | 4.500% | 9/15/27 | 30 | 33 | |
Freeport-McMoRan Inc. | 4.125% | 3/1/28 | 555 | 581 | ||
Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 275 | 291 | ||
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 115 | 124 | ||
Freeport-McMoRan Inc. | 4.625% | 8/1/30 | 265 | 291 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 65 | 84 | ||
6 | Glencore Capital Finance DAC | 1.250% | 3/1/33 | 700 | 837 | |
3 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 85 | 86 | |
3 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 58 | 58 | |
3 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 305 | 310 | |
3 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 60 | 60 | |
3 | Ingevity Corp. | 3.875% | 11/1/28 | 80 | 80 | |
3 | Kraton Polymers LLC / Kraton Polymers Capital Corp. | 4.250% | 12/15/25 | 60 | 61 | |
Linde Inc. | 3.550% | 11/7/42 | 2,349 | 2,784 | ||
3 | OCI NV | 5.250% | 11/1/24 | 144 | 148 | |
3 | OCI NV | 4.625% | 10/15/25 | 45 | 47 | |
3 | OCP SA | 5.125% | 6/23/51 | 2,400 | 2,449 | |
3 | Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 4.000% | 10/15/27 | 280 | 280 | |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 44,895 | 56,350 | ||
3 | Trivium Packaging Finance BV | 5.500% | 8/15/26 | 50 | 52 | |
United States Steel Corp. | 6.875% | 3/1/29 | 295 | 320 | ||
100,491 | ||||||
Real Estate (0.5%) | ||||||
Agree LP | 2.600% | 6/15/33 | 1,760 | 1,789 | ||
Alexandria Real Estate Equities Inc. | 1.875% | 2/1/33 | 1,535 | 1,488 | ||
Alexandria Real Estate Equities Inc. | 4.850% | 4/15/49 | 750 | 995 | ||
Alexandria Real Estate Equities Inc. | 4.000% | 2/1/50 | 1,937 | 2,295 | ||
Alexandria Real Estate Equities Inc. | 3.000% | 5/18/51 | 3,520 | 3,566 | ||
American Homes 4 Rent LP | 3.375% | 7/15/51 | 1,925 | 1,993 | ||
6 | American Tower Corp. | 1.250% | 5/21/33 | 1,281 | 1,585 | |
American Tower Corp. | 3.700% | 10/15/49 | 5,000 | 5,565 | ||
4 | Aroundtown SA | 3.625% | 4/10/31 | 1,500 | 2,346 | |
Crown Castle International Corp. | 4.150% | 7/1/50 | 2,850 | 3,343 | ||
3 | CTR Partnership LP / CareTrust Capital Corp. | 3.875% | 6/30/28 | 149 | 153 | |
6 | Digital Dutch Finco BV | 1.000% | 1/15/32 | 1,000 | 1,204 | |
ERP Operating LP | 4.500% | 7/1/44 | 289 | 376 | ||
Essex Portfolio LP | 4.500% | 3/15/48 | 3,200 | 4,000 | ||
3 | HAT Holdings I LLC / HAT Holdings II LLC | 3.375% | 6/15/26 | 150 | 152 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 5.625% | 5/1/24 | 112 | 121 | ||
3 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.625% | 6/15/25 | 247 | 263 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.500% | 9/1/26 | 153 | 163 | ||
National Retail Properties Inc. | 4.800% | 10/15/48 | 500 | 646 | ||
National Retail Properties Inc. | 3.100% | 4/15/50 | 3,400 | 3,409 | ||
National Retail Properties Inc. | 3.500% | 4/15/51 | 3,330 | 3,607 | ||
3 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 3,000 | 3,440 | |
3 | Realogy Group LLC / Realogy Co-issuer Corp. | 7.625% | 6/15/25 | 30 | 32 | |
3 | Sba Communications Corp. | 3.125% | 2/1/29 | 280 | 275 | |
6 | Simon International Finance SCA | 1.125% | 3/19/33 | 1,600 | 1,965 | |
Simon Property Group LP | 4.250% | 10/1/44 | 715 | 857 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 45,780 | 48,120 | ||
Simon Property Group LP | 3.800% | 7/15/50 | 7,500 | 8,532 | ||
3 | Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC | 7.875% | 2/15/25 | 80 | 85 | |
3 | Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC | 4.750% | 4/15/28 | 125 | 126 | |
3 | Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC | 6.500% | 2/15/29 | 195 | 198 | |
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 1,350 | 1,448 | ||
104,137 | ||||||
Technology (10.4%) | ||||||
Apple Inc. | 2.375% | 2/8/41 | 28,015 | 27,570 | ||
Apple Inc. | 3.850% | 5/4/43 | 63,204 | 76,237 | ||
Apple Inc. | 3.450% | 2/9/45 | 45,360 | 51,546 | ||
Apple Inc. | 4.375% | 5/13/45 | 47,166 | 60,525 | ||
Apple Inc. | 4.650% | 2/23/46 | 40,667 | 54,289 | ||
Apple Inc. | 3.850% | 8/4/46 | 40,245 | 48,285 | ||
Apple Inc. | 4.250% | 2/9/47 | 39,099 | 49,643 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Apple Inc. | 3.750% | 11/13/47 | 24,095 | 28,573 | ||
Apple Inc. | 2.950% | 9/11/49 | 34,025 | 35,636 | ||
Apple Inc. | 2.650% | 2/8/51 | 40,650 | 40,452 | ||
Apple Inc. | 2.700% | 8/5/51 | 38,700 | 38,781 | ||
Apple Inc. | 2.550% | 8/20/60 | 22,640 | 21,354 | ||
Applied Materials Inc. | 5.100% | 10/1/35 | 95 | 127 | ||
Applied Materials Inc. | 4.350% | 4/1/47 | 1,775 | 2,291 | ||
CDW LLC / CDW Finance Corp. | 4.125% | 5/1/25 | 95 | 99 | ||
Cisco Systems Inc. | 5.900% | 2/15/39 | 23,465 | 34,228 | ||
Cisco Systems Inc. | 5.500% | 1/15/40 | 15,202 | 21,558 | ||
3 | Clarivate Science Holdings Corp. | 3.875% | 6/30/28 | 150 | 151 | |
3 | Clarivate Science Holdings Corp. | 4.875% | 6/30/29 | 230 | 232 | |
3 | CommScope Inc. | 6.000% | 3/1/26 | 65 | 68 | |
3 | CommScope Inc. | 8.250% | 3/1/27 | 120 | 127 | |
3 | CommScope Inc. | 7.125% | 7/1/28 | 191 | 206 | |
Dell International LLC / EMC Corp. | 8.100% | 7/15/36 | 4,000 | 6,225 | ||
Dell International LLC / EMC Corp. | 8.350% | 7/15/46 | 1,000 | 1,658 | ||
3 | Entegris Inc. | 3.625% | 5/1/29 | 140 | 144 | |
6 | Fidelity National Information Services Inc. | 2.000% | 5/21/30 | 1,700 | 2,274 | |
Intel Corp. | 4.100% | 5/19/46 | 23,330 | 28,146 | ||
Intel Corp. | 4.100% | 5/11/47 | 34,841 | 42,224 | ||
Intel Corp. | 3.734% | 12/8/47 | 56,122 | 64,594 | ||
Intel Corp. | 3.250% | 11/15/49 | 48,560 | 52,017 | ||
Intel Corp. | 4.750% | 3/25/50 | 3,500 | 4,701 | ||
Intel Corp. | 3.100% | 2/15/60 | 26,905 | 27,620 | ||
International Business Machines Corp. | 4.150% | 5/15/39 | 95,670 | 115,544 | ||
International Business Machines Corp. | 4.000% | 6/20/42 | 10,633 | 12,638 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 50,715 | 63,648 | ||
Lam Research Corp. | 2.875% | 6/15/50 | 6,795 | 7,019 | ||
Mastercard Inc. | 3.800% | 11/21/46 | 2,000 | 2,418 | ||
Mastercard Inc. | 3.950% | 2/26/48 | 25,075 | 31,022 | ||
Mastercard Inc. | 3.650% | 6/1/49 | 2,422 | 2,877 | ||
Mastercard Inc. | 3.850% | 3/26/50 | 12,150 | 15,016 | ||
Mastercard Inc. | 2.950% | 3/15/51 | 10,865 | 11,567 | ||
Microsoft Corp. | 3.500% | 2/12/35 | 10,553 | 12,524 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 12,745 | 15,025 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 240,789 | 241,009 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 134,575 | 145,198 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 66,699 | 67,656 | ||
Microsoft Corp. | 3.041% | 3/17/62 | 49,409 | 54,324 | ||
3 | MSCI Inc. | 3.625% | 9/1/30 | 125 | 131 | |
3 | MSCI Inc. | 3.625% | 11/1/31 | 225 | 238 | |
3 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 165 | 174 | |
NVIDIA Corp. | 3.500% | 4/1/40 | 24,525 | 28,190 | ||
NVIDIA Corp. | 3.500% | 4/1/50 | 22,660 | 26,191 | ||
NVIDIA Corp. | 3.700% | 4/1/60 | 13,840 | 16,637 | ||
Oracle Corp. | 4.300% | 7/8/34 | 8,000 | 9,442 | ||
Oracle Corp. | 6.500% | 4/15/38 | 42,605 | 61,058 | ||
Oracle Corp. | 3.600% | 4/1/40 | 2,000 | 2,139 | ||
Oracle Corp. | 5.375% | 7/15/40 | 42,740 | 55,910 | ||
Oracle Corp. | 3.650% | 3/25/41 | 5,800 | 6,262 | ||
Oracle Corp. | 4.125% | 5/15/45 | 24,805 | 27,926 | ||
Oracle Corp. | 4.000% | 7/15/46 | 32,790 | 36,313 | ||
Oracle Corp. | 4.375% | 5/15/55 | 15,000 | 17,594 | ||
QUALCOMM Inc. | 4.800% | 5/20/45 | 12,300 | 16,634 | ||
QUALCOMM Inc. | 4.300% | 5/20/47 | 55,300 | 70,712 | ||
S&P Global Inc. | 3.250% | 12/1/49 | 2,000 | 2,211 | ||
3 | Sabre GLBL Inc. | 9.250% | 4/15/25 | 75 | 88 | |
3 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 94 | 100 | |
salesforce.com Inc. | 2.700% | 7/15/41 | 5,470 | 5,591 | ||
salesforce.com Inc. | 2.900% | 7/15/51 | 35,720 | 36,761 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
salesforce.com Inc. | 3.050% | 7/15/61 | 24,175 | 25,187 | ||
3 | Seagate HDD Cayman | 3.125% | 7/15/29 | 70 | 69 | |
3 | Square Inc. | 2.750% | 6/1/26 | 85 | 87 | |
3 | Square Inc. | 3.500% | 6/1/31 | 175 | 181 | |
3 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 505 | 535 | |
Texas Instruments Inc. | 3.875% | 3/15/39 | 5,056 | 6,178 | ||
Visa Inc. | 4.150% | 12/14/35 | 20,145 | 25,181 | ||
Visa Inc. | 2.700% | 4/15/40 | 5,500 | 5,776 | ||
Visa Inc. | 4.300% | 12/14/45 | 35,196 | 45,617 | ||
Visa Inc. | 3.650% | 9/15/47 | 37,123 | 44,174 | ||
Visa Inc. | 2.000% | 8/15/50 | 43,570 | 39,007 | ||
Western Digital Corp. | 4.750% | 2/15/26 | 279 | 310 | ||
2,231,670 | ||||||
Utilities (14.1%) | ||||||
AEP Texas Inc. | 4.150% | 5/1/49 | 947 | 1,125 | ||
AEP Transmission Co. LLC | 4.000% | 12/1/46 | 710 | 864 | ||
AEP Transmission Co. LLC | 3.750% | 12/1/47 | 40,313 | 47,400 | ||
AEP Transmission Co. LLC | 4.250% | 9/15/48 | 5,580 | 7,062 | ||
Alabama Power Co. | 6.000% | 3/1/39 | 7,535 | 10,912 | ||
Alabama Power Co. | 5.500% | 3/15/41 | 26,874 | 36,951 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 14,920 | 19,811 | ||
Alabama Power Co. | 3.850% | 12/1/42 | 1,065 | 1,253 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 23,325 | 27,017 | ||
Alabama Power Co. | 3.450% | 10/1/49 | 1,944 | 2,179 | ||
Alabama Power Co. | 3.125% | 7/15/51 | 2,700 | 2,873 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 10,000 | 11,790 | ||
Ameren Illinois Co. | 4.500% | 3/15/49 | 26,150 | 34,485 | ||
Ameren Illinois Co. | 2.900% | 6/15/51 | 3,000 | 3,127 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 10,630 | 11,838 | ||
Appalachian Power Co. | 6.700% | 8/15/37 | 32,970 | 48,054 | ||
Appalachian Power Co. | 4.400% | 5/15/44 | 1,995 | 2,439 | ||
Appalachian Power Co. | 4.500% | 3/1/49 | 2,070 | 2,617 | ||
Appalachian Power Co. | 3.700% | 5/1/50 | 3,760 | 4,288 | ||
6 | APT Pipelines Ltd. | 1.250% | 3/15/33 | 500 | 608 | |
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,420 | 1,705 | ||
Atmos Energy Corp. | 3.375% | 9/15/49 | 2,890 | 3,217 | ||
Baltimore Gas and Electric Co. | 6.350% | 10/1/36 | 1,165 | 1,710 | ||
Baltimore Gas and Electric Co. | 4.250% | 9/15/48 | 26,475 | 33,660 | ||
Baltimore Gas and Electric Co. | 2.900% | 6/15/50 | 1,480 | 1,519 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 11,612 | 16,631 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 2,890 | 4,026 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 25,000 | 33,652 | ||
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 43,625 | 54,493 | ||
Berkshire Hathaway Energy Co. | 4.450% | 1/15/49 | 5,000 | 6,411 | ||
Berkshire Hathaway Energy Co. | 2.850% | 5/15/51 | 3,300 | 3,284 | ||
3 | Brooklyn Union Gas Co. | 4.487% | 3/4/49 | 35,000 | 42,357 | |
4 | Cadent Finance plc | 3.125% | 3/21/40 | 1,000 | 1,581 | |
3 | Calpine Corp. | 4.500% | 2/15/28 | 185 | 191 | |
CenterPoint Energy Houston Electric LLC | 2.900% | 7/1/50 | 3,400 | 3,545 | ||
CenterPoint Energy Houston Electric LLC | 3.350% | 4/1/51 | 1,330 | 1,506 | ||
Clearway Energy Operating LLC | 5.000% | 9/15/26 | 110 | 113 | ||
3 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 100 | 106 | |
3 | Comision Federal de Electricidad | 4.677% | 2/9/51 | 475 | 465 | |
Comision Federal de Electricidad | 4.677% | 2/9/51 | 690 | 676 | ||
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,370 | 3,436 | ||
Commonwealth Edison Co. | 3.800% | 10/1/42 | 20,733 | 24,417 | ||
Commonwealth Edison Co. | 4.600% | 8/15/43 | 15,205 | 19,778 | ||
Commonwealth Edison Co. | 4.700% | 1/15/44 | 15,891 | 20,917 | ||
Commonwealth Edison Co. | 3.700% | 3/1/45 | 17,765 | 20,709 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,060 | 13,983 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 11,552 | 13,400 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 8,765 | 10,749 | ||
Commonwealth Edison Co. | 4.000% | 3/1/49 | 13,485 | 16,657 | ||
Commonwealth Edison Co. | 3.125% | 3/15/51 | 2,060 | 2,228 | ||
Connecticut Light and Power Co. | 6.350% | 6/1/36 | 14,382 | 20,558 | ||
Connecticut Light and Power Co. | 4.300% | 4/15/44 | 1,390 | 1,772 | ||
Connecticut Light and Power Co. | 4.150% | 6/1/45 | 17,480 | 21,851 | ||
Consolidated Edison Co. of New York Inc. | 5.100% | 6/15/33 | 691 | 851 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,947 | 13,604 | ||
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 10,637 | 15,209 | ||
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 9,600 | 14,502 | ||
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 8,668 | 11,799 | ||
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 7,947 | 11,046 | ||
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 10,501 | 12,553 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 8,740 | 10,150 | ||
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 50,016 | 61,777 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 5,715 | 7,099 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 7,000 | 7,999 | ||
Consolidated Edison Co. of New York Inc. | 3.875% | 6/15/47 | 1,000 | 1,143 | ||
Consolidated Edison Co. of New York Inc. | 4.650% | 12/1/48 | 1,000 | 1,277 | ||
Consolidated Edison Co. of New York Inc. | 4.125% | 5/15/49 | 5,085 | 6,064 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,000 | 1,170 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 947 | 1,194 | ||
Consumers Energy Co. | 3.250% | 8/15/46 | 1,000 | 1,101 | ||
Consumers Energy Co. | 3.750% | 2/15/50 | 1,944 | 2,353 | ||
Consumers Energy Co. | 3.100% | 8/15/50 | 31,227 | 34,104 | ||
Consumers Energy Co. | 2.500% | 5/1/60 | 20,740 | 19,477 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 11,775 | 17,043 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 3,000 | 4,203 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 2,340 | 3,043 | ||
DTE Electric Co. | 4.300% | 7/1/44 | 1,220 | 1,540 | ||
DTE Electric Co. | 3.700% | 3/15/45 | 2,910 | 3,407 | ||
DTE Electric Co. | 4.050% | 5/15/48 | 947 | 1,178 | ||
DTE Electric Co. | 2.950% | 3/1/50 | 2,235 | 2,360 | ||
DTE Electric Co. | 3.250% | 4/1/51 | 2,000 | 2,224 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 28,230 | 39,904 | ||
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 8,910 | 12,313 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 16,300 | 20,145 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 42,092 | 50,730 | ||
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 1,643 | 1,910 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 1,500 | 1,746 | ||
Duke Energy Carolinas LLC | 3.200% | 8/15/49 | 10,922 | 11,838 | ||
Duke Energy Carolinas LLC | 3.450% | 4/15/51 | 13,045 | 14,800 | ||
Duke Energy Florida LLC | 6.350% | 9/15/37 | 758 | 1,138 | ||
Duke Energy Florida LLC | 5.650% | 4/1/40 | 1,200 | 1,714 | ||
Duke Energy Florida LLC | 3.400% | 10/1/46 | 2,000 | 2,225 | ||
Duke Energy Florida LLC | 4.200% | 7/15/48 | 1,000 | 1,257 | ||
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 1,927 | 2,706 | ||
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 775 | 1,155 | ||
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 10,411 | 15,600 | ||
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 12,700 | 15,092 | ||
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 29,514 | 38,928 | ||
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 10,325 | 11,900 | ||
Duke Energy Ohio Inc. | 4.300% | 2/1/49 | 1,000 | 1,269 | ||
Duke Energy Progress LLC | 4.100% | 5/15/42 | 2,250 | 2,733 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 23,186 | 28,415 | ||
Duke Energy Progress LLC | 4.150% | 12/1/44 | 29,945 | 37,108 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 22,105 | 27,398 | ||
Duke Energy Progress LLC | 3.700% | 10/15/46 | 27,000 | 31,490 | ||
4 | E.ON International Finance BV | 4.750% | 1/31/34 | 1,200 | 2,169 | |
4 | E.ON International Finance BV | 6.750% | 1/27/39 | 600 | 1,387 | |
4 | Enel Finance International NV | 5.750% | 9/14/40 | 600 | 1,296 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Entergy Arkansas LLC | 2.650% | 6/15/51 | 1,665 | 1,632 | ||
Entergy Louisiana LLC | 4.000% | 3/15/33 | 651 | 776 | ||
Entergy Louisiana LLC | 4.950% | 1/15/45 | 1,046 | 1,149 | ||
Entergy Louisiana LLC | 4.200% | 9/1/48 | 1,000 | 1,255 | ||
Entergy Louisiana LLC | 4.200% | 4/1/50 | 1,500 | 1,895 | ||
Entergy Louisiana LLC | 2.900% | 3/15/51 | 2,000 | 2,046 | ||
Evergy Kansas Central Inc. | 4.125% | 3/1/42 | 1,112 | 1,350 | ||
Evergy Kansas Central Inc. | 4.625% | 9/1/43 | 1,231 | 1,553 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 8,050 | 8,715 | ||
Evergy Kansas Central Inc. | 3.450% | 4/15/50 | 500 | 563 | ||
FirstEnergy Corp. | 4.650% | 7/15/27 | 255 | 285 | ||
FirstEnergy Corp. | 2.650% | 3/1/30 | 200 | 204 | ||
FirstEnergy Corp. | 3.400% | 3/1/50 | 75 | 76 | ||
Florida Power & Light Co. | 5.960% | 4/1/39 | 947 | 1,407 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 663 | 970 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 2,779 | 3,894 | ||
Florida Power & Light Co. | 3.950% | 3/1/48 | 5,859 | 7,277 | ||
Florida Power & Light Co. | 3.990% | 3/1/49 | 2,890 | 3,605 | ||
Florida Power & Light Co. | 3.150% | 10/1/49 | 1,000 | 1,109 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 33,945 | 42,675 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 11,841 | 14,310 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 17,230 | 19,242 | ||
5 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 20,164 | 24,527 | |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 2,894 | 3,872 | ||
Kentucky Utilities Co. | 4.375% | 10/1/45 | 18,000 | 22,481 | ||
Kentucky Utilities Co. | 3.300% | 6/1/50 | 1,900 | 2,089 | ||
Louisville Gas and Electric Co. | 4.250% | 4/1/49 | 17,050 | 21,530 | ||
3 | Massachusetts Electric Co. | 4.004% | 8/15/46 | 10,890 | 12,517 | |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 473 | 676 | ||
MidAmerican Energy Co. | 4.800% | 9/15/43 | 27,525 | 36,657 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 24,721 | 31,263 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 15,510 | 19,841 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 1,000 | 1,089 | ||
MidAmerican Energy Co. | 2.700% | 8/1/52 | 1,250 | 1,259 | ||
3 | Monongahela Power Co. | 5.400% | 12/15/43 | 15,640 | 21,111 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 2,100 | 2,511 | ||
National Rural Utilities Cooperative Finance Corp. | 4.300% | 3/15/49 | 13,055 | 16,784 | ||
Nevada Power Co. | 6.650% | 4/1/36 | 5,830 | 8,750 | ||
Nevada Power Co. | 5.375% | 9/15/40 | 16,430 | 22,117 | ||
Nevada Power Co. | 5.450% | 5/15/41 | 21,620 | 29,674 | ||
3 | New England Power Co. | 2.807% | 10/6/50 | 15,615 | 14,951 | |
Northern States Power Co. | 6.250% | 6/1/36 | 780 | 1,142 | ||
Northern States Power Co. | 6.200% | 7/1/37 | 27,844 | 41,435 | ||
Northern States Power Co. | 5.350% | 11/1/39 | 758 | 1,068 | ||
Northern States Power Co. | 3.400% | 8/15/42 | 1,000 | 1,141 | ||
Northern States Power Co. | 4.000% | 8/15/45 | 805 | 983 | ||
Northern States Power Co. | 3.600% | 9/15/47 | 9,675 | 11,298 | ||
Northern States Power Co. | 4.200% | 9/1/48 | 12,250 | 15,074 | ||
Northern States Power Co. | 2.600% | 6/1/51 | 14,765 | 14,680 | ||
NRG Energy Inc. | 7.250% | 5/15/26 | 259 | 270 | ||
NRG Energy Inc. | 6.625% | 1/15/27 | 80 | 83 | ||
3 | NRG Energy Inc. | 3.625% | 2/15/31 | 175 | 177 | |
Oglethorpe Power Corp. | 4.200% | 12/1/42 | 11,677 | 13,197 | ||
Ohio Power Co. | 4.000% | 6/1/49 | 734 | 890 | ||
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,420 | 2,353 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 3,103 | 4,295 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 6,300 | 8,218 | ||
Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 7,120 | 8,427 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 16,908 | 20,275 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 6/1/49 | 1,420 | 1,724 | ||
PacifiCorp | 5.250% | 6/15/35 | 1,232 | 1,647 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
PacifiCorp | 6.100% | 8/1/36 | 14,920 | 21,276 | ||
PacifiCorp | 6.250% | 10/15/37 | 7,772 | 11,264 | ||
PacifiCorp | 6.350% | 7/15/38 | 35,944 | 52,564 | ||
PacifiCorp | 6.000% | 1/15/39 | 32,206 | 46,539 | ||
PacifiCorp | 4.100% | 2/1/42 | 19,700 | 23,694 | ||
PacifiCorp | 4.125% | 1/15/49 | 3,837 | 4,696 | ||
PacifiCorp | 4.150% | 2/15/50 | 44,530 | 55,247 | ||
PacifiCorp | 3.300% | 3/15/51 | 1,000 | 1,089 | ||
3 | Pattern Energy Operations LP / Pattern Energy Operations Inc. | 4.500% | 8/15/28 | 100 | 103 | |
PECO Energy Co. | 4.800% | 10/15/43 | 10,365 | 13,631 | ||
PECO Energy Co. | 4.150% | 10/1/44 | 396 | 494 | ||
PECO Energy Co. | 3.700% | 9/15/47 | 15,500 | 18,259 | ||
PECO Energy Co. | 3.900% | 3/1/48 | 32,240 | 39,335 | ||
PECO Energy Co. | 3.050% | 3/15/51 | 16,655 | 17,911 | ||
3,6 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 1,690 | 1,946 | |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,160 | 1,742 | ||
Potomac Electric Power Co. | 7.900% | 12/15/38 | 142 | 237 | ||
Potomac Electric Power Co. | 4.150% | 3/15/43 | 13,575 | 16,744 | ||
PPL Electric Utilities Corp. | 6.450% | 8/15/37 | 10,200 | 14,819 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 10,924 | 16,206 | ||
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,183 | 1,585 | ||
PPL Electric Utilities Corp. | 3.950% | 6/1/47 | 12,500 | 15,261 | ||
Public Service Co. of Colorado | 6.250% | 9/1/37 | 960 | 1,437 | ||
Public Service Co. of Colorado | 3.600% | 9/15/42 | 20,555 | 23,887 | ||
Public Service Co. of Colorado | 4.300% | 3/15/44 | 2,761 | 3,472 | ||
Public Service Co. of Colorado | 3.800% | 6/15/47 | 570 | 683 | ||
Public Service Co. of Colorado | 4.050% | 9/15/49 | 34,010 | 42,764 | ||
Public Service Co. of Colorado | 3.200% | 3/1/50 | 7,940 | 8,837 | ||
Public Service Electric and Gas Co. | 3.650% | 9/1/42 | 21,083 | 24,531 | ||
Public Service Electric and Gas Co. | 3.850% | 5/1/49 | 2,890 | 3,523 | ||
Public Service Electric and Gas Co. | 3.200% | 8/1/49 | 1,065 | 1,178 | ||
Public Service Electric and Gas Co. | 3.000% | 3/1/51 | 3,000 | 3,237 | ||
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 473 | 680 | ||
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,042 | 1,464 | ||
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 15,992 | 22,837 | ||
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 379 | 472 | ||
Puget Sound Energy Inc. | 4.223% | 6/15/48 | 29,820 | 37,363 | ||
Puget Sound Energy Inc. | 3.250% | 9/15/49 | 35,150 | 38,224 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 1,000 | 1,163 | ||
San Diego Gas & Electric Co. | 4.100% | 6/15/49 | 2,081 | 2,572 | ||
San Diego Gas & Electric Co. | 3.320% | 4/15/50 | 3,795 | 4,163 | ||
Southern California Edison Co. | 6.000% | 1/15/34 | 1,000 | 1,329 | ||
Southern California Edison Co. | 5.625% | 2/1/36 | 925 | 1,195 | ||
Southern California Edison Co. | 5.950% | 2/1/38 | 11,060 | 14,566 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 14,228 | 16,580 | ||
Southern California Edison Co. | 3.900% | 12/1/41 | 7,660 | 8,079 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 1,704 | 1,859 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 21,775 | 23,128 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 21,739 | 25,129 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 3,837 | 3,883 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 31,200 | 33,248 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 36,182 | 39,344 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 22,870 | 23,319 | ||
Southern California Edison Co. | 2.950% | 2/1/51 | 805 | 746 | ||
Southern California Gas Co. | 5.125% | 11/15/40 | 1,870 | 2,492 | ||
Southern California Gas Co. | 4.125% | 6/1/48 | 30,835 | 37,987 | ||
Southern California Gas Co. | 4.300% | 1/15/49 | 15,075 | 19,177 | ||
Southwestern Public Service Co. | 4.500% | 8/15/41 | 23,975 | 30,253 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 20,540 | 23,693 | ||
Southwestern Public Service Co. | 3.750% | 6/15/49 | 1,420 | 1,688 | ||
Southwestern Public Service Co. | 3.150% | 5/1/50 | 10,750 | 11,612 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Tampa Electric Co. | 6.150% | 5/15/37 | 12,220 | 17,075 | ||
Tampa Electric Co. | 3.450% | 3/15/51 | 2,000 | 2,252 | ||
Tucson Electric Power Co. | 3.250% | 5/1/51 | 20,000 | 21,385 | ||
Union Electric Co. | 3.900% | 9/15/42 | 4,326 | 5,105 | ||
Union Electric Co. | 4.000% | 4/1/48 | 20,290 | 24,770 | ||
Union Electric Co. | 3.250% | 10/1/49 | 2,025 | 2,227 | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 57,203 | 81,192 | ||
Virginia Electric and Power Co. | 6.350% | 11/30/37 | 1,944 | 2,869 | ||
Virginia Electric and Power Co. | 4.450% | 2/15/44 | 15,490 | 19,673 | ||
Virginia Electric and Power Co. | 4.000% | 11/15/46 | 8,725 | 10,485 | ||
Virginia Electric and Power Co. | 3.800% | 9/15/47 | 29,319 | 34,498 | ||
Virginia Electric and Power Co. | 4.600% | 12/1/48 | 7,310 | 9,694 | ||
Virginia Electric and Power Co. | 3.300% | 12/1/49 | 1,400 | 1,544 | ||
Virginia Electric and Power Co. | 2.450% | 12/15/50 | 1,615 | 1,529 | ||
3 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 105 | 109 | |
3 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 200 | 207 | |
3 | Vistra Operations Co. LLC | 4.375% | 5/1/29 | 200 | 205 | |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 521 | 699 | ||
Wisconsin Public Service Corp. | 3.300% | 9/1/49 | 1,944 | 2,129 | ||
3,037,979 | ||||||
Total Corporate Bonds (Cost $14,471,128) | 16,998,307 | |||||
Sovereign Bonds (1.6%) | ||||||
3 | Banque Ouest Africaine de Developpement | 4.700% | 10/22/31 | 670 | 732 | |
3 | CDP Financial Inc. | 5.600% | 11/25/39 | 1,500 | 2,137 | |
3 | Export-Import Bank of India | 3.875% | 2/1/28 | 960 | 1,046 | |
Federative Republic of Brazil | 4.625% | 1/13/28 | 5,099 | 5,533 | ||
Federative Republic of Brazil | 4.750% | 1/14/50 | 3,417 | 3,289 | ||
3,6 | Kingdom of Morocco | 2.000% | 9/30/30 | 2,130 | 2,515 | |
3 | Kingdom of Saudi Arabia | 3.450% | 2/2/61 | 27,460 | 27,523 | |
Panama Bonos del Tesoro | 3.362% | 6/30/31 | 2,255 | 2,278 | ||
6 | Republic of Chile | 1.300% | 7/26/36 | 3,890 | 4,597 | |
Republic of Chile | 3.100% | 5/7/41 | 78,715 | 79,649 | ||
Republic of Chile | 3.500% | 1/25/50 | 55,212 | 58,379 | ||
Republic of Chile | 3.500% | 4/15/53 | 17,695 | 18,758 | ||
Republic of Chile | 3.100% | 1/22/61 | 23,330 | 22,470 | ||
Republic of Colombia | 10.375% | 1/28/33 | 1,259 | 1,886 | ||
Republic of Colombia | 5.000% | 6/15/45 | 6,188 | 6,472 | ||
Republic of Guatemala | 5.375% | 4/24/32 | 497 | 573 | ||
5 | Republic of Panama | 4.500% | 4/16/50 | 700 | 798 | |
5 | Republic of Panama | 3.870% | 7/23/60 | 2,798 | 2,886 | |
3,6 | Romania | 1.750% | 7/13/30 | 8,600 | 10,210 | |
3,6 | Romania | 2.875% | 4/13/42 | 1,190 | 1,392 | |
State of Israel | 3.375% | 1/15/50 | 752 | 824 | ||
State of Israel | 3.875% | 7/3/50 | 21,945 | 26,000 | ||
State of Israel | 3.800% | 5/13/60 | 6,584 | 7,666 | ||
State of Israel | 4.500% | 4/3/20 | 3,192 | 4,132 | ||
3 | State of Qatar | 5.103% | 4/23/48 | 765 | 1,026 | |
3 | State of Qatar | 4.817% | 3/14/49 | 18,835 | 24,519 | |
3 | State of Qatar | 4.400% | 4/16/50 | 9,215 | 11,370 | |
6 | United Mexican States | 3.625% | 4/9/29 | 741 | 1,026 | |
United Mexican States | 4.500% | 4/22/29 | 6,850 | 7,803 | ||
United Mexican States | 3.771% | 5/24/61 | 1,570 | 1,472 | ||
Total Sovereign Bonds (Cost $327,715) | 338,961 | |||||
Taxable Municipal Bonds (8.4%) | ||||||
Allentown Neighborhood Improvement Zone Development Authority Sales Tax Revenue | 5.620% | 5/1/22 | 1,930 | 1,961 | ||
American Municipal Power Inc. Electric Power & Light Revenue | 6.270% | 2/15/50 | 43,016 | 61,842 | ||
Bay Area Toll Authority Highway Revenue | 6.793% | 4/1/30 | 1,449 | 1,833 | ||
Bay Area Toll Authority Highway Revenue | 6.918% | 4/1/40 | 23,745 | 36,392 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Bay Area Toll Authority Highway Revenue | 6.263% | 4/1/49 | 10,420 | 17,126 | ||
Bay Area Toll Authority Highway Revenue | 3.552% | 4/1/54 | 8,595 | 9,028 | ||
California GO | 2.500% | 10/1/29 | 4,500 | 4,820 | ||
California GO | 4.600% | 4/1/38 | 31,195 | 36,656 | ||
California GO | 7.550% | 4/1/39 | 7,255 | 12,590 | ||
California GO | 7.300% | 10/1/39 | 47,286 | 76,788 | ||
California GO | 7.600% | 11/1/40 | 56,685 | 100,834 | ||
California State Public Works Board Lease (Abatement) Revenue | 8.361% | 10/1/34 | 1,136 | 1,833 | ||
California State University College & University Revenue | 2.975% | 11/1/51 | 27,825 | 29,619 | ||
California State University College & University Revenue | 2.719% | 11/1/52 | 10,925 | 10,932 | ||
Chicago O'Hare International Airport Port, Airport & Marina Revenue | 4.472% | 1/1/49 | 11,525 | 15,250 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 43,340 | 62,888 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 9,620 | 13,959 | ||
7 | Commonwealth Financing Authority Appropriations Revenue | 5.197% | 6/1/26 | 2,417 | 2,707 | |
Commonwealth Financing Authority Appropriations Revenue | 4.144% | 6/1/38 | 17,060 | 20,561 | ||
Commonwealth Financing Authority Appropriations Revenue (Plancon Program) | 3.864% | 6/1/38 | 19,285 | 22,394 | ||
Commonwealth of Massachusetts GO | 2.514% | 7/1/41 | 5,570 | 5,626 | ||
Commonwealth of Massachusetts GO | 2.813% | 9/1/43 | 40,910 | 44,203 | ||
Commonwealth of Massachusetts GO | 2.900% | 9/1/49 | 1,275 | 1,381 | ||
Dallas Area Rapid Transit Sales Tax Revenue | 5.999% | 12/1/44 | 189 | 294 | ||
Dallas-Fort Worth International Airport Port, Airport & Marina Revenue | 3.089% | 11/1/40 | 4,195 | 4,368 | ||
District of Columbia Water & Sewer Authority Water Revenue | 4.814% | 10/1/14 | 1,944 | 2,894 | ||
Duke University College & University Revenue | 5.850% | 4/1/37 | 29,490 | 42,488 | ||
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.637% | 4/1/57 | 923 | 1,433 | ||
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.655% | 4/1/57 | 333 | 525 | ||
Grand Parkway Transportation Corp. Highway Revenue | 5.184% | 10/1/42 | 1,420 | 1,960 | ||
Houston TX GO | 6.290% | 3/1/32 | 1,972 | 2,524 | ||
Illinois State Toll Highway Authority Highway Revenue | 6.184% | 1/1/34 | 10,330 | 14,636 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.727% | 4/15/37 | 2,417 | 3,033 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.927% | 4/15/45 | 20,480 | 27,217 | ||
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 1,944 | 2,448 | ||
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 27,775 | 40,525 | ||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue | 5.735% | 6/1/39 | 15,020 | 20,317 | ||
Los Angeles Department of Water & Power System Electric Power & Light Revenue | 5.716% | 7/1/39 | 379 | 558 | ||
Los Angeles Department of Water & Power System Water Revenue | 6.603% | 7/1/50 | 1,849 | 3,227 | ||
Los Angeles Department of Water Revenue | 6.008% | 7/1/39 | 1,136 | 1,581 | ||
Metropolitan Transportation Authority Fuel Sales Tax Revenue | 6.089% | 11/15/40 | 3,833 | 5,561 | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 50,780 | 84,163 | ||
Metropolitan Transportation Authority Transit Revenue | 5.871% | 11/15/39 | 210 | 282 | ||
Metropolitan Transportation Authority Transit Revenue | 6.814% | 11/15/40 | 750 | 1,100 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 4,650 | 6,284 | ||
Michigan Finance Authority Health, Hospital, Nursing Home Revenue | 3.384% | 12/1/40 | 3,230 | 3,653 | ||
Michigan Strategic Fund Lease (Appropriation) Revenue | 3.225% | 9/1/47 | 8,310 | 8,546 | ||
8 | New Jersey Economic Development Authority Appropriations Revenue | 7.425% | 2/15/29 | 6,570 | 8,588 | |
New Jersey Rutgers State University College & University Revenue | 3.915% | 5/1/19 | 48,580 | 55,418 | ||
New Jersey Turnpike Authority Highway Revenue | 3.729% | 1/1/36 | 6,750 | 8,023 | ||
New Jersey Turnpike Authority Highway Revenue | 7.414% | 1/1/40 | 947 | 1,586 | ||
New Jersey Turnpike Authority Highway Revenue | 7.102% | 1/1/41 | 37,862 | 61,894 | ||
New York City Transitional Finance Authority Future Tax Secured Sales Tax Revenue | 5.508% | 8/1/37 | 2,859 | 3,900 | ||
New York City Water & Sewer System Water Revenue | 5.724% | 6/15/42 | 12,711 | 19,291 | ||
New York City Water & Sewer System Water Revenue | 5.952% | 6/15/42 | 18,114 | 28,037 | ||
New York City Water & Sewer System Water Revenue | 6.011% | 6/15/42 | 6,843 | 10,661 | ||
New York City Water & Sewer System Water Revenue | 5.882% | 6/15/44 | 32,580 | 51,140 | ||
New York GO | 5.590% | 3/1/35 | 947 | 1,303 | ||
New York NY GO | 6.271% | 12/1/37 | 550 | 821 | ||
New York State Dormitory Authority Income Tax Revenue | 5.289% | 3/15/33 | 7,288 | 9,046 | ||
New York State Dormitory Authority Income Tax Revenue | 3.110% | 2/15/39 | 8,465 | 9,458 | ||
New York State Dormitory Authority Income Tax Revenue | 5.628% | 3/15/39 | 15,919 | 21,174 | ||
New York State Dormitory Authority Income Tax Revenue | 5.600% | 3/15/40 | 189 | 262 | ||
New York State Dormitory Authority Income Tax Revenue | 3.190% | 2/15/43 | 7,295 | 8,103 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
New York State Thruway Authority Highway Revenue | 3.500% | 1/1/42 | 10,945 | 11,723 | ||
New York State Urban Development Corp. Income Tax Revenue | 3.900% | 3/15/33 | 21,250 | 24,075 | ||
North Texas Tollway Authority Highway Revenue | 6.718% | 1/1/49 | 22,942 | 39,018 | ||
Ohio State University College & University Revenue | 4.910% | 6/1/40 | 12,300 | 16,760 | ||
Ohio State University College & University Revenue | 4.800% | 6/1/11 | 17,635 | 26,197 | ||
9 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 857 | 980 | |
Permanent University Fund - University of Texas System College & University Revenue | 5.262% | 7/1/39 | 11,500 | 16,458 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 6.040% | 12/1/29 | 2,038 | 2,732 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.647% | 11/1/40 | 15,253 | 21,986 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.647% | 11/1/40 | 10,176 | 14,667 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.926% | 10/1/51 | 25,005 | 35,711 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.458% | 10/1/62 | 35,940 | 49,382 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 3.287% | 8/1/69 | 29,094 | 32,379 | ||
Sacramento Municipal Utility District Electric Power & Light Revenue | 6.156% | 5/15/36 | 857 | 1,217 | ||
Sales Tax Securitization Corp. Sales Tax Revenue | 4.637% | 1/1/40 | 15,870 | 19,766 | ||
Sales Tax Securitization Corp. Sales Tax Revenue | 3.587% | 1/1/43 | 36,460 | 40,886 | ||
Sales Tax Securitization Corp. Sales Tax Revenue | 4.787% | 1/1/48 | 4,990 | 6,532 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 5.985% | 2/1/39 | 10,450 | 15,255 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 4.427% | 2/1/42 | 1,326 | 1,664 | ||
San Diego County Regional Airport Authority Port, Airport & Marina Revenue | 5.594% | 7/1/43 | 757 | 851 | ||
San Francisco CA Public Utilities Commission Water Revenue | 6.950% | 11/1/50 | 1,326 | 2,272 | ||
Sonoma County CA Miscellaneous Revenue | 6.000% | 12/1/29 | 433 | 530 | ||
Texas Private Activity Bond Surface Transportation Corp. Highway Revenue | 3.922% | 12/31/49 | 4,150 | 4,772 | ||
University of California College & University Revenue | 4.601% | 5/15/31 | 2,141 | 2,571 | ||
University of California College & University Revenue | 2.147% | 5/15/33 | 5,000 | 5,107 | ||
University of California College & University Revenue | 5.770% | 5/15/43 | 473 | 681 | ||
University of California College & University Revenue | 3.931% | 5/15/45 | 17,840 | 20,646 | ||
University of California College & University Revenue | 4.858% | 5/15/12 | 32,223 | 47,771 | ||
University of California College & University Revenue | 4.767% | 5/15/15 | 14,875 | 21,446 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.548% | 5/15/48 | 8,918 | 14,162 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.583% | 5/15/49 | 852 | 1,341 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.006% | 5/15/50 | 28,170 | 29,539 | ||
University of North Carolina at Chapel Hill College & University Revenue | 3.327% | 12/1/36 | 6,730 | 7,826 | ||
University of Pittsburgh-of the Commonwealth System of Higher Education College & University Revenue | 3.555% | 9/15/19 | 14,400 | 15,946 | ||
University of Texas System Regents College & University Revenue | 4.794% | 8/15/46 | 8,915 | 12,247 | ||
University of Virginia College & University Revenue | 2.256% | 9/1/50 | 20,280 | 19,356 | ||
University of Virginia College & University Revenue | 3.227% | 9/1/19 | 35,640 | 36,190 | ||
Washington GO | 5.481% | 8/1/39 | 852 | 1,208 | ||
7 | Wisconsin Appropriations Revenue | 5.700% | 5/1/26 | 1,702 | 1,986 | |
Wisconsin Appropriations Revenue | 3.954% | 5/1/36 | 3,364 | 3,815 | ||
Total Taxable Municipal Bonds (Cost $1,389,564) | 1,797,196 | |||||
Shares | ||||||
Temporary Cash Investments (5.2%) | ||||||
Money Market Fund (1.7%) | ||||||
10 | Vanguard Market Liquidity Fund | 0.064% | 3,759,065 | 375,907 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (3.5%) | ||||||
Bank of America Securities LLC (Dated 7/30/21, Repurchase Value $149,001,000, collateralized by Federal Farm Credit Bank 2.710%–5.250%, 4/21/28–4/6/45, with a value of $151,981,000) | 0.050% | 8/2/21 | 149,000 | 149,000 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Barclays Capital Inc. (Dated 7/30/21, Repurchase Value $228,501,000, collateralized by U.S. Treasury Bill 0.000%, 9/30/21, and U.S. Treasury Note/Bond 2.875%–3.750%, 11/15/43–5/15/49, with a value of $233,070,000) | 0.050% | 8/2/21 | 228,500 | 228,500 | ||
Citigroup Global Markets Inc. (Dated 7/30/21, Repurchase Value $88,000,000, collateralized by U.S. Treasury Note/Bond 1.250%–2.875%, 2/15/45–11/15/50, with a value of $89,760,000) | 0.050% | 8/2/21 | 88,000 | 88,000 | ||
RBC Capital Markets LLC (Dated 7/30/21, Repurchase Value $53,700,000, collateralized by Federal National Mortgage Association 2.000%, 5/1/51, and U.S. Treasury Note/Bond 0.125%, 1/31/23, with a value of $54,774,000) | 0.050% | 8/2/21 | 53,700 | 53,700 | ||
Wells Fargo & Co. (Dated 7/30/21, Repurchase Value $227,101,000, collateralized by Federal National Mortgage Association 3.000%–6.000%, 6/1/28–2/1/49, with a value of $231,642,000) | 0.060% | 8/2/21 | 227,100 | 227,100 | ||
746,300 | ||||||
Total Temporary Cash Investments (Cost $1,122,192) | 1,122,207 | |||||
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | |||
Options Purchased (0.0%) | ||||||
Over-the-Counter Swaptions (0.0%) | ||||||
Put Swaptions | ||||||
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 1,735 | 1 | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 1,150 | 1 | |
5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 8/18/21 | 1.060% | 2,435 | 1 | |
3 | ||||||
Total Options Purchased (Cost $45) | 3 | |||||
Total Investments (99.7%) (Cost $18,420,307) | 21,393,647 | |||||
Other Assets and Liabilities—Net (0.3%) | 69,212 | |||||
Net Assets (100%) | 21,462,859 | |||||
Cost is in $000. |
1 | Securities with a value of $26,208,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $93,114,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | 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 July 31, 2021, the aggregate value was $917,404,000, representing 4.3% of net assets. |
4 | Face amount denominated in British pounds. |
5 | 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. |
6 | Face amount denominated in euro. |
7 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
8 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
9 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
GO—General Obligation Bond. | |
GSI—Goldman Sachs International. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications field herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD FIXED INCOME SECURITIES FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: September 22, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD FIXED INCOME SECURITIES FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: September 22, 2021
VANGUARD FIXED INCOME SECURITIES FUNDS | ||
BY: | /s/ JOHN BENDL* | |
JOHN BENDL | ||
CHIEF FINANCIAL OFFICER |
Date: September 22, 2021
*By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.