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, 2022—July 31, 2022
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 | 17 |
Intermediate-Term Treasury Fund | 32 |
Long-Term Treasury Fund | 46 |
Trustees Approve Advisory Arrangements | 60 |
Liquidity Risk Management | 62 |
• | 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, 2022 | |||
Beginning Account Value 1/31/2022 | Ending Account Value 7/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $980.70 | $0.98 |
Admiral™ Shares | 1,000.00 | 981.10 | 0.49 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $975.80 | $0.98 |
Admiral Shares | 1,000.00 | 976.30 | 0.49 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $960.20 | $0.97 |
Admiral Shares | 1,000.00 | 960.70 | 0.49 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $841.40 | $0.91 |
Admiral Shares | 1,000.00 | 841.80 | 0.46 |
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 |
Government Mortgage-Backed Securities | 3.2% |
U.S. Government Securities | 96.8 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (98.3%) | ||||||
U.S. Government Securities (93.9%) | ||||||
1 | United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/23 | 835,145 | 842,452 | |
United States Treasury Note/Bond | 0.125% | 8/31/23 | 125,000 | 121,211 | ||
2 | United States Treasury Note/Bond | 1.375% | 8/31/23 | 120,000 | 117,956 | |
United States Treasury Note/Bond | 2.750% | 8/31/23 | 90,000 | 89,775 | ||
United States Treasury Note/Bond | 0.125% | 9/15/23 | 70,000 | 67,802 | ||
United States Treasury Note/Bond | 1.375% | 9/30/23 | 150,000 | 147,187 | ||
United States Treasury Note/Bond | 0.125% | 10/15/23 | 20,000 | 19,328 | ||
United States Treasury Note/Bond | 2.875% | 10/31/23 | 20,000 | 19,984 | ||
United States Treasury Note/Bond | 2.250% | 12/31/23 | 235,000 | 232,613 | ||
United States Treasury Note/Bond | 0.125% | 1/15/24 | 93,700 | 89,923 | ||
United States Treasury Note/Bond | 2.250% | 1/31/24 | 78,500 | 77,678 | ||
United States Treasury Note/Bond | 2.750% | 2/15/24 | 40,500 | 40,367 | ||
United States Treasury Note/Bond | 2.125% | 2/29/24 | 84,600 | 83,490 | ||
United States Treasury Note/Bond | 0.250% | 3/15/24 | 205,000 | 196,255 | ||
United States Treasury Note/Bond | 2.250% | 3/31/24 | 65,000 | 64,248 | ||
United States Treasury Note/Bond | 2.000% | 4/30/24 | 60,000 | 59,034 | ||
United States Treasury Note/Bond | 2.250% | 4/30/24 | 143,000 | 141,324 | ||
United States Treasury Note/Bond | 2.500% | 4/30/24 | 274,000 | 271,902 | ||
United States Treasury Note/Bond | 2.000% | 5/31/24 | 25,000 | 24,594 | ||
United States Treasury Note/Bond | 0.250% | 6/15/24 | 88,000 | 83,738 | ||
United States Treasury Note/Bond | 3.125% | 7/31/24 | 230,000 | 230,467 | ||
United States Treasury Note/Bond | 2.375% | 8/15/24 | 85,000 | 84,084 | ||
United States Treasury Note/Bond | 1.250% | 8/31/24 | 72,000 | 69,593 | ||
United States Treasury Note/Bond | 1.875% | 8/31/24 | 100,000 | 97,906 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 180,000 | 170,662 | ||
United States Treasury Note/Bond | 1.500% | 9/30/24 | 110,000 | 106,803 | ||
United States Treasury Note/Bond | 2.250% | 10/31/24 | 12,428 | 12,255 | ||
United States Treasury Note/Bond | 0.750% | 11/15/24 | 135,000 | 128,630 | ||
United States Treasury Note/Bond | 2.250% | 11/15/24 | 63,000 | 62,114 | ||
United States Treasury Note/Bond | 1.750% | 12/31/24 | 100,000 | 97,375 | ||
United States Treasury Note/Bond | 2.250% | 12/31/24 | 13,145 | 12,952 | ||
United States Treasury Note/Bond | 1.375% | 1/31/25 | 90,000 | 86,738 | ||
United States Treasury Note/Bond | 2.500% | 1/31/25 | 57,400 | 56,862 | ||
United States Treasury Note/Bond | 2.000% | 2/15/25 | 90,900 | 88,997 | ||
1 | United States Treasury Note/Bond | 1.125% | 2/28/25 | 122,000 | 116,739 | |
United States Treasury Note/Bond | 2.750% | 2/28/25 | 23,000 | 22,928 | ||
United States Treasury Note/Bond | 1.750% | 3/15/25 | 250,000 | 243,008 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 2.125% | 5/15/25 | 15,000 | 14,707 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 137,000 | 127,367 | ||
United States Treasury Note/Bond | 2.875% | 5/31/25 | 38,000 | 38,012 | ||
United States Treasury Note/Bond | 0.250% | 6/30/25 | 115,000 | 106,698 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 200,000 | 185,187 | ||
United States Treasury Note/Bond | 2.000% | 8/15/25 | 60,000 | 58,528 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 150,000 | 138,563 | ||
United States Treasury Note/Bond | 2.750% | 8/31/25 | 35,000 | 34,902 | ||
United States Treasury Note/Bond | 0.250% | 9/30/25 | 16,000 | 14,755 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 114,000 | 104,933 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 150,000 | 138,469 | ||
United States Treasury Note/Bond | 0.375% | 12/31/25 | 20,000 | 18,419 | ||
United States Treasury Note/Bond | 0.500% | 2/28/26 | 150,000 | 138,281 | ||
United States Treasury Note/Bond | 0.750% | 3/31/26 | 87,000 | 80,828 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 60,000 | 55,669 | ||
United States Treasury Note/Bond | 2.125% | 5/31/26 | 25,000 | 24,418 | ||
United States Treasury Note/Bond | 0.625% | 7/31/26 | 50,000 | 45,961 | ||
United States Treasury Note/Bond | 1.875% | 7/31/26 | 110,000 | 106,305 | ||
United States Treasury Note/Bond | 1.500% | 8/15/26 | 121,000 | 115,101 | ||
United States Treasury Note/Bond | 1.625% | 9/30/26 | 67,000 | 64,058 | ||
United States Treasury Note/Bond | 1.125% | 10/31/26 | 10,000 | 9,350 | ||
United States Treasury Note/Bond | 1.250% | 12/31/26 | 135,000 | 126,689 | ||
United States Treasury Note/Bond | 2.250% | 2/15/27 | 100,000 | 97,844 | ||
United States Treasury Note/Bond | 1.125% | 2/28/27 | 7,893 | 7,346 | ||
United States Treasury Note/Bond | 1.875% | 2/28/27 | 82,000 | 79,053 | ||
United States Treasury Note/Bond | 2.750% | 4/30/27 | 41,000 | 41,058 | ||
United States Treasury Note/Bond | 1.250% | 3/31/28 | 37,000 | 34,098 | ||
United States Treasury Note/Bond | 1.250% | 4/30/28 | 70,000 | 64,444 | ||
6,550,017 | ||||||
Nonconventional Mortgage-Backed Securities (4.4%) | ||||||
3,4 | Fannie Mae REMICS | 3.000% | 9/25/50–2/25/52 | 117,709 | 111,612 | |
3,4 | Freddie Mac REMICS | 2.000% | 12/25/51 | 1,263 | 1,103 | |
3,4 | Freddie Mac REMICS | 3.000% | 11/25/50–2/25/52 | 73,958 | 69,958 | |
3 | Ginnie Mae | 1.500% | 5/20/51–12/20/51 | 7,148 | 6,508 | |
3 | Ginnie Mae | 2.000% | 11/20/51 | 7,139 | 5,794 | |
3 | Ginnie Mae | 2.500% | 9/20/51 | 13,254 | 12,639 | |
3 | Ginnie Mae | 3.000% | 11/20/50–12/20/51 | 106,112 | 99,329 | |
3 | Ginnie Mae | 3.500% | 11/20/51 | 2,420 | 2,358 | |
�� | 309,301 | |||||
Total U.S. Government and Agency Obligations (Cost $7,008,611) | 6,859,318 | |||||
Shares | ||||||
Temporary Cash Investments (4.9%) | ||||||
Money Market Fund (4.9%) | ||||||
5 | Vanguard Market Liquidity Fund (Cost $342,660) | 1.903% | 3,427,972 | 342,660 | ||
Total Investments (103.2%) (Cost $7,351,271) | 7,201,978 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.4%) | ||||||
3,4,6 | UMBS Pool (Proceeds ($91,854)) | 3.000% | 9/14/52 | (100,000) | (96,148) | |
Other Assets and Liabilities—Net (-1.8%) | (125,364) | |||||
Net Assets (100%) | 6,980,466 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $4,015,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $8,858,000 have been segregated as initial margin for open futures contracts. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
6 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2022. |
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 2022 | 3,591 | 755,765 | 2,787 |
Ultra Long U.S. Treasury Bond | September 2022 | 122 | 19,314 | 264 |
3,051 | ||||
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2022 | (1,537) | (174,798) | (656) |
10-Year U.S. Treasury Note | September 2022 | (986) | (119,445) | (2,969) |
Ultra 10-Year U.S. Treasury Note | September 2022 | (1,921) | (252,131) | (3,975) |
(7,600) | ||||
(4,549) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $7,008,611) | 6,859,318 |
Affiliated Issuers (Cost $342,660) | 342,660 |
Total Investments in Securities | 7,201,978 |
Investment in Vanguard | 269 |
Receivables for Investment Securities Sold | 276,143 |
Receivables for Accrued Income | 26,035 |
Receivables for Capital Shares Issued | 4,716 |
Other Assets | 130 |
Total Assets | 7,509,271 |
Liabilities | |
Payables for Investment Securities Purchased | 421,954 |
Payables for Capital Shares Redeemed | 6,916 |
Payables for Distributions | 1,914 |
Payables to Vanguard | 328 |
Liability for Sale Commitments, at Value (Proceeds $91,854) | 96,148 |
Variation Margin Payable—Futures Contracts | 1,545 |
Total Liabilities | 528,805 |
Net Assets | 6,980,466 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 7,299,066 |
Total Distributable Earnings (Loss) | (318,600) |
Net Assets | 6,980,466 |
Investor Shares—Net Assets | |
Applicable to 50,507,114 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 518,270 |
Net Asset Value Per Share—Investor Shares | $10.26 |
Admiral Shares—Net Assets | |
Applicable to 629,761,744 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,462,196 |
Net Asset Value Per Share—Admiral Shares | $10.26 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 60,027 |
Total Income | 60,027 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 264 |
Management and Administrative—Investor Shares | 479 |
Management and Administrative—Admiral Shares | 2,846 |
Marketing and Distribution—Investor Shares | 25 |
Marketing and Distribution—Admiral Shares | 164 |
Custodian Fees | 17 |
Shareholders’ Reports—Investor Shares | 10 |
Shareholders’ Reports—Admiral Shares | 23 |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 5 |
Total Expenses | 3,835 |
Expenses Paid Indirectly | (1) |
Net Expenses | 3,834 |
Net Investment Income | 56,193 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (123,686) |
Futures Contracts | (7,728) |
Realized Net Gain (Loss) | (131,414) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (62,008) |
Futures Contracts | (589) |
Change in Unrealized Appreciation (Depreciation) | (62,597) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (137,818) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $470,000, $14,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 56,193 | 33,805 | |
Realized Net Gain (Loss) | (131,414) | (24,797) | |
Change in Unrealized Appreciation (Depreciation) | (62,597) | (127,117) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (137,818) | (118,109) | |
Distributions | |||
Investor Shares | (3,949) | (3,666) | |
Admiral Shares | (52,225) | (47,667) | |
Total Distributions | (56,174) | (51,333) | |
Capital Share Transactions | |||
Investor Shares | (49,218) | (104,604) | |
Admiral Shares | (209,334) | (811,375) | |
Net Increase (Decrease) from Capital Share Transactions | (258,552) | (915,979) | |
Total Increase (Decrease) | (452,544) | (1,085,421) | |
Net Assets | |||
Beginning of Period | 7,433,010 | 8,518,431 | |
End of Period | 6,980,466 | 7,433,010 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.54 | $10.77 | $10.64 | $10.48 | $10.49 | $10.65 |
Investment Operations | ||||||
Net Investment Income1 | .076 | .036 | .070 | .245 | .227 | .127 |
Net Realized and Unrealized Gain (Loss) on Investments | (.280) | (.207) | .286 | .160 | (.009) | (.160) |
Total from Investment Operations | (.204) | (.171) | .356 | .405 | .218 | (.033) |
Distributions | ||||||
Dividends from Net Investment Income | (.076) | (.035) | (.070) | (.245) | (.228) | (.127) |
Distributions from Realized Capital Gains | — | (.024) | (.156) | — | — | — |
Total Distributions | (.076) | (.059) | (.226) | (.245) | (.228) | (.127) |
Net Asset Value, End of Period | $10.26 | $10.54 | $10.77 | $10.64 | $10.48 | $10.49 |
Total Return2 | -1.93% | -1.60% | 3.35% | 3.91% | 2.11% | -0.31% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $518 | $582 | $701 | $655 | $671 | $737 |
Ratio of Total Expenses to Average Net Assets | ||||||
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.48% | 0.34% | 0.64% | 2.30% | 2.18% | 1.20% |
Portfolio Turnover Rate4 | 116% | 213% | 357% | 340% | 282% | 280% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 9%, 4%, 57%, 5%, 37%, and 7%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.54 | $10.77 | $10.64 | $10.48 | $10.49 | $10.65 |
Investment Operations | ||||||
Net Investment Income1 | .081 | .047 | .079 | .254 | .238 | .138 |
Net Realized and Unrealized Gain (Loss) on Investments | (.280) | (.207) | .288 | .162 | (.010) | (.160) |
Total from Investment Operations | (.199) | (.160) | .367 | .416 | .228 | (.022) |
Distributions | ||||||
Dividends from Net Investment Income | (.081) | (.046) | (.081) | (.256) | (.238) | (.138) |
Distributions from Realized Capital Gains | — | (.024) | (.156) | — | — | — |
Total Distributions | (.081) | (.070) | (.237) | (.256) | (.238) | (.138) |
Net Asset Value, End of Period | $10.26 | $10.54 | $10.77 | $10.64 | $10.48 | $10.49 |
Total Return2 | -1.89% | -1.50% | 3.46% | 4.01% | 2.21% | -0.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,462 | $6,851 | $7,818 | $8,243 | $7,385 | $7,044 |
Ratio of Total Expenses to Average Net Assets | ||||||
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.58% | 0.44% | 0.73% | 2.40% | 2.28% | 1.30% |
Portfolio Turnover Rate4 | 116% | 213% | 357% | 340% | 282% | 280% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 9%, 4%, 57%, 5%, 37%, and 7%, 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets). |
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 | — | 6,859,318 | — | 6,859,318 |
Temporary Cash Investments | 342,660 | — | — | 342,660 |
Total | 342,660 | 6,859,318 | — | 7,201,978 |
Liabilities | ||||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments | — | 96,148 | — | 96,148 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3,051 | — | — | 3,051 |
Liabilities | ||||
Futures Contracts1 | 7,600 | — | — | 7,600 |
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 | 7,374,400 |
Gross Unrealized Appreciation | 9,765 |
Gross Unrealized Depreciation | (191,031) |
Net Unrealized Appreciation (Depreciation) | (181,266) |
E. | During the six months ended July 31, 2022, the fund purchased $7,477,267,000 of investment securities and sold $8,054,465,000 of investment securities, other than temporary cash investments. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 84,436 | 8,196 | 143,058 | 13,378 | |
Issued in Lieu of Cash Distributions | 3,672 | 357 | 3,414 | 319 | |
Redeemed | (137,326) | (13,312) | (251,076) | (23,483) | |
Net Increase (Decrease)—Investor Shares | (49,218) | (4,759) | (104,604) | (9,786) | |
Admiral Shares | |||||
Issued | 1,013,190 | 98,153 | 1,662,551 | 155,781 | |
Issued in Lieu of Cash Distributions | 44,871 | 4,362 | 41,703 | 3,898 | |
Redeemed | (1,267,395) | (123,029) | (2,515,629) | (235,349) | |
Net Increase (Decrease)—Admiral Shares | (209,334) | (20,514) | (811,375) | (75,670) |
G. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, that would require recognition or disclosure in these financial statements. |
Agency Bonds and Notes | 34.3% |
Asset-Backed/Commercial Mortgage-Backed Securities | 18.8 |
Government Mortgage-Backed Securities | 16.5 |
U.S. Government Securities | 30.4 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (82.5%) | ||||||
U.S. Government Securities (30.9%) | ||||||
1,2 | United States Treasury Note/Bond | 0.125% | 3/31/23 | 590,500 | 579,520 | |
1 | United States Treasury Note/Bond | 0.250% | 6/15/23 | 533,000 | 520,508 | |
United States Treasury Note/Bond | 0.125% | 7/15/23 | 129,000 | 125,513 | ||
United States Treasury Note/Bond | 0.250% | 3/15/24 | 63,000 | 60,312 | ||
United States Treasury Note/Bond | 3.000% | 6/30/24 | 84,000 | 84,118 | ||
United States Treasury Note/Bond | 1.125% | 1/15/25 | 21,400 | 20,517 | ||
United States Treasury Note/Bond | 1.500% | 2/15/25 | 69,600 | 67,251 | ||
United States Treasury Note/Bond | 1.750% | 3/15/25 | 297,200 | 288,888 | ||
United States Treasury Note/Bond | 2.750% | 5/15/25 | 100,000 | 99,719 | ||
United States Treasury Note/Bond | 2.875% | 6/15/25 | 311,425 | 311,717 | ||
2,158,063 | ||||||
Agency Bonds and Notes (34.9%) | ||||||
3 | AID-Israel | 0.000% | 11/1/24 | 6,905 | 6,410 | |
4 | Fannie Mae Interest Strip | 0.000% | 11/15/25 | 61,621 | 55,897 | |
4 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 63,061 | 49,517 | |
4 | Fannie Mae Principal Strip | 0.000% | 11/15/30 | 7,000 | 5,403 | |
Federal Farm Credit Banks Funding Corp. | 1.125% | 1/6/25 | 25,000 | 23,956 | ||
Federal Farm Credit Banks Funding Corp. | 0.680% | 3/9/26 | 275,000 | 253,954 | ||
Federal Home Loan Banks | 2.750% | 6/28/24 | 50,000 | 49,828 | ||
Federal Home Loan Banks | 1.250% | 12/21/26 | 310,000 | 289,107 | ||
4 | Federal Home Loan Mortgage Corp. | 4.000% | 12/30/24 | 300,000 | 300,687 | |
4 | Federal Home Loan Mortgage Corp. | 0.640% | 11/24/25 | 174,650 | 162,096 | |
4 | Federal Home Loan Mortgage Corp. | 0.700% | 12/30/25 | 194,850 | 180,856 | |
4 | Federal National Mortgage Assn. | 0.500% | 6/17/25 | 110,000 | 102,771 | |
4 | Federal National Mortgage Assn. | 0.375% | 8/25/25 | 65,000 | 60,187 | |
4 | Federal National Mortgage Assn. | 0.650% | 12/17/25 | 138,500 | 128,307 | |
4 | Federal National Mortgage Assn. | 0.650% | 12/17/25 | 180,495 | 167,212 | |
4 | Freddie Mac Coupon Strips | 0.000% | 3/15/31 | 4,455 | 3,391 | |
4 | Freddie Mac Principal Strips | 0.000% | 3/15/31 | 21,820 | 16,611 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 8,700 | 8,731 | ||
Private Export Funding Corp. | 1.400% | 7/15/28 | 26,000 | 23,411 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 10/15/29 | 15,108 | 12,097 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 1/15/30 | 4,155 | 3,292 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 1/15/30 | 394,377 | 312,680 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 4/15/30 | 227,307 | 178,545 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Tennessee Valley Authority | 1.500% | 9/15/31 | 50,000 | 43,176 | ||
2,438,122 | ||||||
Conventional Mortgage-Backed Securities (11.6%) | ||||||
4,5 | Freddie Mac Gold Pool | 2.000% | 9/1/28–6/1/30 | 2,422 | 2,311 | |
5,6 | Ginnie Mae | 4.500% | 8/18/52–9/21/52 | 157,500 | 160,330 | |
4,5 | UMBS Pool | 1.500% | 12/1/35–12/1/36 | 149,920 | 138,924 | |
4,5 | UMBS Pool | 2.000% | 10/1/27–3/1/37 | 243,569 | 231,839 | |
4,5 | UMBS Pool | 2.500% | 2/1/35–11/1/36 | 148,354 | 144,585 | |
4,5,6 | UMBS Pool | 3.000% | 12/1/34–6/1/37 | 29,422 | 29,280 | |
4,5 | UMBS Pool | 3.500% | 1/1/33–9/1/34 | 76,741 | 77,460 | |
4,5,6 | UMBS Pool | 4.500% | 9/14/52 | 27,000 | 31,257 | |
815,986 | ||||||
Nonconventional Mortgage-Backed Securities (5.1%) | ||||||
4,5 | Fannie Mae REMICS | 1.500% | 12/25/51 | 20,178 | 15,646 | |
4,5 | Fannie Mae REMICS | 3.000% | 9/25/50–2/25/52 | 108,426 | 102,502 | |
4,5 | Freddie Mac REMICS | 2.000% | 12/25/51 | 174 | 152 | |
4,5 | Freddie Mac REMICS | 3.000% | 9/25/50–2/25/52 | 95,476 | 89,613 | |
5 | Ginnie Mae | 1.500% | 2/20/51–12/20/51 | 40,222 | 36,168 | |
5 | Ginnie Mae | 2.000% | 11/20/51 | 18,041 | 16,878 | |
5 | Ginnie Mae | 2.500% | 9/20/51 | 3,228 | 3,056 | |
5 | Ginnie Mae | 3.000% | 11/20/50–12/20/51 | 96,028 | 90,753 | |
5 | Ginnie Mae | 3.500% | 11/20/51 | 545 | 531 | |
355,299 | ||||||
Total U.S. Government and Agency Obligations (Cost $6,004,708) | 5,767,470 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (19.1%) | ||||||
4,5 | FHLMC Multifamily Structured Class A2 Series K028 Pass Through Certificates | 3.111% | 2/25/23 | 781 | 779 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K039 Pass Through Certificates | 3.303% | 7/25/24 | 154,000 | 153,584 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K040 Pass Through Certificates | 3.241% | 9/25/24 | 174,400 | 173,831 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K041 Pass Through Certificates | 3.171% | 10/25/24 | 148,000 | 147,389 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K044 Pass Through Certificates | 2.811% | 1/25/25 | 78,520 | 77,589 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K045 Pass Through Certificates | 3.023% | 1/25/25 | 156,443 | 155,311 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K046 Pass Through Certificates | 3.205% | 3/25/25 | 180,500 | 180,018 | |
4,5,7 | FHLMC Multifamily Structured Class A2 Series K047 Pass Through Certificates | 3.329% | 5/25/25 | 152,500 | 152,599 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K049 Pass Through Certificates | 3.010% | 7/25/25 | 148,500 | 147,408 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K144 Pass Through Certificates | 2.450% | 4/25/32 | 8,500 | 7,897 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K145 Pass Through Certificates | 2.580% | 6/25/55 | 19,075 | 17,919 | |
4 | FHLMC Multifamily Structured Class A2 Series K146 Pass Through Certificates | 2.920% | 6/25/32 | 38,000 | 36,760 | |
4 | FHLMC Multifamily Structured Class A2 Series K147 Pass Through Certificates | 3.000% | 6/25/32 | 37,412 | 36,438 | |
4,5,8 | FHLMC Multifamily Structured Class A2 Series K148 Pass Through Certificates | 3.500% | 9/25/32 | 18,000 | 18,258 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K035 Pass Through Certificates | 0.315% | 8/25/23 | 6,439 | 20 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K036 Pass Through Certificates | 0.695% | 10/25/23 | 3,433 | 25 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K037 Pass Through Certificates | 0.920% | 1/25/24 | 58,558 | 633 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K038 Pass Through Certificates | 1.087% | 3/25/24 | 2,107 | 31 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K040 Pass Through Certificates | 0.700% | 9/25/24 | 4,101 | 48 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.514% | 12/25/24 | 19,607 | 216 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.640% | 11/25/25 | 2,325 | 41 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.879% | 12/25/25 | 9,986 | 247 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.159% | 1/25/26 | 117,502 | 3,942 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.349% | 3/25/26 | 3,717 | 150 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.171% | 7/25/26 | 133,670 | 5,008 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.918% | 8/25/26 | 6,683 | 208 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.306% | 9/25/26 | 3,033 | 32 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.070% | 10/25/26 | 11,047 | 39 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.295% | 12/25/26 | 77,765 | 923 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.603% | 3/25/27 | 3,029 | 73 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.668% | 4/25/27 | 35,547 | 952 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.427% | 8/25/27 | 4,310 | 81 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series K135 Pass Through Certificates | 0.192% | 10/25/31 | 265,920 | 3,887 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series KG02 Pass Through Certificates | 1.026% | 8/25/29 | 15,520 | 871 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series KG04 Pass Through Certificates | 0.852% | 11/25/30 | 10,985 | 612 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series KG05 Pass Through Certificates | 0.312% | 1/25/31 | 114,000 | 2,576 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series KG06 Pass Through Certificates | 0.532% | 10/25/31 | 36,987 | 1,437 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series KIR1 Pass Through Certificates Series KIR1 | 1.043% | 3/25/26 | 89,357 | 2,903 | |
4,5,7,9 | FHLMC Multifamily Structured Class X1 Series KSG2 Pass Through Certificates | 0.122% | 11/25/31 | 351,602 | 3,663 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,326,808) | 1,334,398 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (1.0%) | ||||||
Money Market Fund (1.0%) | ||||||
10 | Vanguard Market Liquidity Fund (Cost $68,436) | 1.903% | 684,634 | 68,436 | ||
Total Investments (102.6%) (Cost $7,399,952) | 7,170,304 | |||||
Other Assets and Liabilities—Net (-2.6%) | (183,645) | |||||
Net Assets (100%) | 6,986,659 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $3,283,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $26,940,000 have been segregated as initial margin for open futures contracts. |
3 | U.S. government-guaranteed. |
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 | 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2022. |
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 | 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, 2022, the aggregate value was $18,258,000, representing 0.3% of net assets. |
9 | Interest-only security. |
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. |
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 2022 | 5,471 | 1,151,432 | 3,232 |
Ultra Long U.S. Treasury Bond | September 2022 | 192 | 30,396 | 405 |
3,637 | ||||
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2022 | (1,307) | (148,641) | (593) |
10-Year U.S. Treasury Note | September 2022 | (5,737) | (694,984) | (13,338) |
Ultra 10-Year U.S. Treasury Note | September 2022 | (5,021) | (659,006) | (12,651) |
(26,582) | ||||
(22,945) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $7,331,516) | 7,101,868 |
Affiliated Issuers (Cost $68,436) | 68,436 |
Total Investments in Securities | 7,170,304 |
Investment in Vanguard | 268 |
Receivables for Investment Securities Sold | 576,857 |
Receivables for Accrued Income | 16,026 |
Receivables for Capital Shares Issued | 6,228 |
Other Assets | 111 |
Total Assets | 7,769,794 |
Liabilities | |
Due to Custodian | 323 |
Payables for Investment Securities Purchased | 764,579 |
Payables for Capital Shares Redeemed | 13,336 |
Payables for Distributions | 1,317 |
Payables to Vanguard | 328 |
Variation Margin Payable—Futures Contracts | 3,252 |
Total Liabilities | 783,135 |
Net Assets | 6,986,659 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 7,364,878 |
Total Distributable Earnings (Loss) | (378,219) |
Net Assets | 6,986,659 |
Investor Shares—Net Assets | |
Applicable to 50,112,949 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 520,479 |
Net Asset Value Per Share—Investor Shares | $10.39 |
Admiral Shares—Net Assets | |
Applicable to 622,578,998 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,466,180 |
Net Asset Value Per Share—Admiral Shares | $10.39 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 43,020 |
Total Income | 43,020 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 270 |
Management and Administrative—Investor Shares | 489 |
Management and Administrative—Admiral Shares | 2,906 |
Marketing and Distribution—Investor Shares | 28 |
Marketing and Distribution—Admiral Shares | 167 |
Custodian Fees | 18 |
Shareholders’ Reports—Investor Shares | 10 |
Shareholders’ Reports—Admiral Shares | 47 |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 5 |
Total Expenses | 3,942 |
Expenses Paid Indirectly | (3) |
Net Expenses | 3,939 |
Net Investment Income | 39,081 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (188,301) |
Futures Contracts | 83,770 |
Realized Net Gain (Loss) | (104,531) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (96,846) |
Futures Contracts | (30,499) |
Change in Unrealized Appreciation (Depreciation) | (127,345) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (192,795) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,206,000, $112,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 39,081 | 48,756 | |
Realized Net Gain (Loss) | (104,531) | 65,459 | |
Change in Unrealized Appreciation (Depreciation) | (127,345) | (226,583) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (192,795) | (112,368) | |
Distributions | |||
Investor Shares | (2,680) | (10,072) | |
Admiral Shares | (36,464) | (116,874) | |
Total Distributions | (39,144) | (126,946) | |
Capital Share Transactions | |||
Investor Shares | (74,137) | (135,375) | |
Admiral Shares | (577,020) | 197,355 | |
Net Increase (Decrease) from Capital Share Transactions | (651,157) | 61,980 | |
Total Increase (Decrease) | (883,096) | (177,334) | |
Net Assets | |||
Beginning of Period | 7,869,755 | 8,047,089 | |
End of Period | 6,986,659 | 7,869,755 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.70 | $11.02 | $10.79 | $10.57 | $10.55 | $10.70 |
Investment Operations | ||||||
Net Investment Income1 | .050 | .054 | .125 | .246 | .208 | .142 |
Net Realized and Unrealized Gain (Loss) on Investments | (.309) | (.215) | .274 | .221 | .021 | (.144) |
Total from Investment Operations | (.259) | (.161) | .399 | .467 | .229 | (.002) |
Distributions | ||||||
Dividends from Net Investment Income | (.051) | (.053) | (.127) | (.247) | (.209) | (.142) |
Distributions from Realized Capital Gains | — | (.106) | (.042) | — | — | (.006) |
Total Distributions | (.051) | (.159) | (.169) | (.247) | (.209) | (.148) |
Net Asset Value, End of Period | $10.39 | $10.70 | $11.02 | $10.79 | $10.57 | $10.55 |
Total Return2 | -2.42% | -1.48% | 3.71% | 4.46% | 2.20% | -0.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $520 | $612 | $767 | $623 | $622 | $719 |
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.97% | 0.50% | 1.14% | 2.30% | 1.98% | 1.33% |
Portfolio Turnover Rate4 | 232% | 424% | 663% | 499% | 327% | 211% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 45%, 87%, 180%, 32%, 90%, and 30%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.70 | $11.02 | $10.79 | $10.57 | $10.55 | $10.70 |
Investment Operations | ||||||
Net Investment Income1 | .056 | .065 | .130 | .257 | .219 | .153 |
Net Realized and Unrealized Gain (Loss) on Investments | (.310) | (.215) | .280 | .220 | .020 | (.144) |
Total from Investment Operations | (.254) | (.150) | .410 | .477 | .239 | .009 |
Distributions | ||||||
Dividends from Net Investment Income | (.056) | (.064) | (.138) | (.257) | (.219) | (.153) |
Distributions from Realized Capital Gains | — | (.106) | (.042) | — | — | (.006) |
Total Distributions | (.056) | (.170) | (.180) | (.257) | (.219) | (.159) |
Net Asset Value, End of Period | $10.39 | $10.70 | $11.02 | $10.79 | $10.57 | $10.55 |
Total Return2 | -2.37% | -1.38% | 3.81% | 4.56% | 2.30% | 0.08% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,466 | $7,258 | $7,280 | $4,371 | $3,963 | $4,239 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 0.59% | 1.19% | 2.40% | 2.08% | 1.43% |
Portfolio Turnover Rate4 | 232% | 424% | 663% | 499% | 327% | 211% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 45%, 87%, 180%, 32%, 90%, and 30%, 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets). |
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 | — | 5,767,470 | — | 5,767,470 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,334,398 | — | 1,334,398 |
Temporary Cash Investments | 68,436 | — | — | 68,436 |
Total | 68,436 | 7,101,868 | — | 7,170,304 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3,637 | — | — | 3,637 |
Liabilities | ||||
Futures Contracts1 | 26,582 | — | — | 26,582 |
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. | As of July 31, 2022, 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 | 7,400,742 |
Gross Unrealized Appreciation | 29,069 |
Gross Unrealized Depreciation | (282,452) |
Net Unrealized Appreciation (Depreciation) | (253,383) |
F. | During the six months ended July 31, 2022, the fund purchased $17,725,192,000 of investment securities and sold $18,489,051,000 of investment securities, other than temporary cash investments. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 42,278 | 4,031 | 221,361 | 20,241 | |
Issued in Lieu of Cash Distributions | 2,387 | 229 | 8,922 | 821 | |
Redeemed | (118,802) | (11,351) | (365,658) | (33,486) | |
Net Increase (Decrease)—Investor Shares | (74,137) | (7,091) | (135,375) | (12,424) | |
Admiral Shares | |||||
Issued | 1,776,329 | 169,145 | 3,483,716 | 318,684 | |
Issued in Lieu of Cash Distributions | 31,333 | 3,006 | 101,385 | 9,331 | |
Redeemed | (2,384,682) | (227,676) | (3,387,746) | (310,586) | |
Net Increase (Decrease)—Admiral Shares | (577,020) | (55,525) | 197,355 | 17,429 |
H. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, that would require recognition or disclosure in these financial statements. |
Agency Bonds and Notes | 4.1% |
Government Mortgage-Backed Securities | 0.4 |
U.S. Government Securities | 95.5 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (97.6%) | ||||||
U.S. Government Securities (93.2%) | ||||||
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/23 | 614,170 | 619,544 | ||
United States Treasury Note/Bond | 2.000% | 8/15/25 | 11,400 | 11,120 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 272,700 | 251,907 | ||
United States Treasury Note/Bond | 2.750% | 8/31/25 | 43,600 | 43,477 | ||
United States Treasury Note/Bond | 0.250% | 9/30/25 | 83,500 | 77,003 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 45,000 | 41,421 | ||
United States Treasury Note/Bond | 2.250% | 11/15/25 | 49,000 | 48,120 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 89,300 | 82,435 | ||
United States Treasury Note/Bond | 2.875% | 11/30/25 | 44,000 | 44,069 | ||
United States Treasury Note/Bond | 0.375% | 1/31/26 | 113,000 | 103,889 | ||
United States Treasury Note/Bond | 1.625% | 2/15/26 | 132,184 | 126,938 | ||
United States Treasury Note/Bond | 6.000% | 2/15/26 | 17,000 | 18,785 | ||
United States Treasury Note/Bond | 0.750% | 3/31/26 | 103,000 | 95,693 | ||
United States Treasury Note/Bond | 2.250% | 3/31/26 | 7,450 | 7,310 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 59,000 | 54,741 | ||
United States Treasury Note/Bond | 1.625% | 5/15/26 | 90,300 | 86,561 | ||
United States Treasury Note/Bond | 0.750% | 5/31/26 | 123,000 | 113,948 | ||
United States Treasury Note/Bond | 2.125% | 5/31/26 | 80,300 | 78,431 | ||
United States Treasury Note/Bond | 1.500% | 8/15/26 | 123,000 | 117,004 | ||
United States Treasury Note/Bond | 1.625% | 9/30/26 | 91,400 | 87,387 | ||
United States Treasury Note/Bond | 1.625% | 10/31/26 | 15,000 | 14,325 | ||
United States Treasury Note/Bond | 2.000% | 11/15/26 | 55,100 | 53,395 | ||
United States Treasury Note/Bond | 6.500% | 11/15/26 | 5,000 | 5,744 | ||
United States Treasury Note/Bond | 6.625% | 2/15/27 | 7,000 | 8,129 | ||
United States Treasury Note/Bond | 1.125% | 2/28/27 | 7,220 | 6,719 | ||
United States Treasury Note/Bond | 2.750% | 4/30/27 | 39,000 | 39,055 | ||
United States Treasury Note/Bond | 2.375% | 5/15/27 | 22,000 | 21,636 | ||
United States Treasury Note/Bond | 0.500% | 6/30/27 | 55,000 | 49,388 | ||
United States Treasury Note/Bond | 2.250% | 8/15/27 | 12,000 | 11,726 | ||
United States Treasury Note/Bond | 0.500% | 10/31/27 | 118,500 | 105,613 | ||
United States Treasury Note/Bond | 2.250% | 11/15/27 | 71,000 | 69,280 | ||
United States Treasury Note/Bond | 6.125% | 11/15/27 | 14,000 | 16,288 | ||
United States Treasury Note/Bond | 0.625% | 11/30/27 | 120,800 | 108,173 | ||
United States Treasury Note/Bond | 0.625% | 12/31/27 | 100,500 | 89,853 | ||
United States Treasury Note/Bond | 0.750% | 1/31/28 | 132,500 | 119,126 | ||
United States Treasury Note/Bond | 2.750% | 2/15/28 | 118,500 | 118,500 | ||
United States Treasury Note/Bond | 1.125% | 2/29/28 | 91,640 | 84,051 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 1.250% | 3/31/28 | 153,900 | 141,828 | ||
United States Treasury Note/Bond | 1.250% | 4/30/28 | 170,900 | 157,335 | ||
United States Treasury Note/Bond | 2.875% | 5/15/28 | 109,700 | 110,454 | ||
United States Treasury Note/Bond | 1.250% | 5/31/28 | 117,500 | 108,027 | ||
United States Treasury Note/Bond | 1.250% | 6/30/28 | 131,600 | 120,846 | ||
United States Treasury Note/Bond | 1.000% | 7/31/28 | 51,100 | 46,190 | ||
United States Treasury Note/Bond | 2.875% | 8/15/28 | 159,700 | 160,798 | ||
United States Treasury Note/Bond | 5.500% | 8/15/28 | 50,000 | 57,578 | ||
United States Treasury Note/Bond | 1.125% | 8/31/28 | 67,150 | 61,096 | ||
United States Treasury Note/Bond | 1.250% | 9/30/28 | 124,700 | 114,178 | ||
United States Treasury Note/Bond | 1.375% | 10/31/28 | 58,230 | 53,672 | ||
United States Treasury Note/Bond | 3.125% | 11/15/28 | 67,500 | 68,987 | ||
United States Treasury Note/Bond | 5.250% | 11/15/28 | 19,500 | 22,282 | ||
United States Treasury Note/Bond | 1.500% | 11/30/28 | 88,089 | 81,785 | ||
United States Treasury Note/Bond | 1.750% | 1/31/29 | 11,500 | 10,842 | ||
United States Treasury Note/Bond | 5.250% | 2/15/29 | 10,000 | 11,497 | ||
United States Treasury Note/Bond | 2.375% | 3/31/29 | 85,250 | 83,412 | ||
United States Treasury Note/Bond | 2.375% | 5/15/29 | 16,500 | 16,149 | ||
United States Treasury Note/Bond | 2.750% | 5/31/29 | 2,400 | 2,405 | ||
United States Treasury Note/Bond | 3.250% | 6/30/29 | 5,071 | 5,244 | ||
United States Treasury Note/Bond | 1.750% | 11/15/29 | 16,300 | 15,342 | ||
United States Treasury Note/Bond | 1.500% | 2/15/30 | 23,500 | 21,653 | ||
1 | United States Treasury Note/Bond | 0.625% | 5/15/30 | 67,250 | 57,625 | |
1 | United States Treasury Note/Bond | 0.625% | 8/15/30 | 114,200 | 97,463 | |
United States Treasury Note/Bond | 0.875% | 11/15/30 | 126,400 | 109,929 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 113,500 | 100,465 | ||
United States Treasury Note/Bond | 1.625% | 5/15/31 | 67,800 | 62,397 | ||
United States Treasury Note/Bond | 1.250% | 8/15/31 | 142,600 | 126,602 | ||
United States Treasury Note/Bond | 1.375% | 11/15/31 | 140,000 | 125,256 | ||
United States Treasury Note/Bond | 1.875% | 2/15/32 | 153,000 | 142,816 | ||
United States Treasury Note/Bond | 2.875% | 5/15/32 | 35,000 | 35,618 | ||
5,360,555 | ||||||
Agency Bonds and Notes (4.0%) | ||||||
2 | AID-Israel | 0.000% | 11/1/24 | 50,000 | 46,419 | |
3 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 52,117 | 40,923 | |
3 | Fannie Mae Principal Strip | 0.000% | 11/15/30 | 6,000 | 4,631 | |
3 | Freddie Mac Principal Strips | 0.000% | 3/15/31 | 28,909 | 22,008 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 10,300 | 10,336 | ||
Private Export Funding Corp. | 1.400% | 7/15/28 | 22,000 | 19,809 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 1/15/30 | 15,000 | 11,893 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 4/15/30 | 98,000 | 76,977 | ||
232,996 | ||||||
Nonconventional Mortgage-Backed Securities (0.4%) | ||||||
4 | Ginnie Mae | 1.100% | 1/20/51 | 26,352 | 21,597 | |
Total U.S. Government and Agency Obligations (Cost $5,917,578) | 5,615,148 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (1.8%) | ||||||
Money Market Fund (1.8%) | ||||||
5 | Vanguard Market Liquidity Fund (Cost $104,568) | 1.903% | 1,046,081 | 104,566 | ||
Total Investments (99.4%) (Cost $6,022,146) | 5,719,714 | |||||
Other Assets and Liabilities—Net (0.6%) | 32,013 | |||||
Net Assets (100%) | 5,751,727 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $10,389,000 have been segregated as initial margin for open futures contracts. |
2 | U.S. government-guaranteed. |
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 | 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 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
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 2022 | 4,923 | 559,876 | 10,395 |
10-Year U.S. Treasury Note | September 2022 | 238 | 28,831 | 711 |
Ultra 10-Year U.S. Treasury Note | September 2022 | 247 | 32,419 | 955 |
Ultra Long U.S. Treasury Bond | September 2022 | 104 | 16,465 | 228 |
12,289 | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | (998) | (210,040) | (1,388) |
10,901 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $5,917,578) | 5,615,148 |
Affiliated Issuers (Cost $104,568) | 104,566 |
Total Investments in Securities | 5,719,714 |
Investment in Vanguard | 215 |
Cash | 2,724 |
Receivables for Investment Securities Sold | 103,810 |
Receivables for Accrued Income | 23,761 |
Receivables for Capital Shares Issued | 5,644 |
Variation Margin Receivable—Futures Contracts | 202 |
Other Assets | 67 |
Total Assets | 5,856,137 |
Liabilities | |
Payables for Investment Securities Purchased | 89,816 |
Payables for Capital Shares Redeemed | 12,778 |
Payables for Distributions | 1,539 |
Payables to Vanguard | 277 |
Total Liabilities | 104,410 |
Net Assets | 5,751,727 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 6,241,683 |
Total Distributable Earnings (Loss) | (489,956) |
Net Assets | 5,751,727 |
Investor Shares—Net Assets | |
Applicable to 62,787,049 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 665,131 |
Net Asset Value Per Share—Investor Shares | $10.59 |
Admiral Shares—Net Assets | |
Applicable to 480,164,558 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,086,596 |
Net Asset Value Per Share—Admiral Shares | $10.59 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 53,218 |
Total Income | 53,218 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 211 |
Management and Administrative—Investor Shares | 618 |
Management and Administrative—Admiral Shares | 2,151 |
Marketing and Distribution—Investor Shares | 29 |
Marketing and Distribution—Admiral Shares | 124 |
Custodian Fees | 14 |
Shareholders’ Reports—Investor Shares | 13 |
Shareholders’ Reports—Admiral Shares | 37 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 5 |
Total Expenses | 3,203 |
Expenses Paid Indirectly | (1) |
Net Expenses | 3,202 |
Net Investment Income | 50,016 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (111,751) |
Futures Contracts | (32,401) |
Realized Net Gain (Loss) | (144,152) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (161,118) |
Futures Contracts | 15,197 |
Change in Unrealized Appreciation (Depreciation) | (145,921) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (240,057) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $250,000, ($10,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 50,016 | 67,910 | |
Realized Net Gain (Loss) | (144,152) | (47,317) | |
Change in Unrealized Appreciation (Depreciation) | (145,921) | (244,855) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (240,057) | (224,262) | |
Distributions | |||
Investor Shares | (5,692) | (9,491) | |
Admiral Shares | (44,298) | (69,688) | |
Total Distributions | (49,990) | (79,179) | |
Capital Share Transactions | |||
Investor Shares | (56,041) | (157,062) | |
Admiral Shares | (12,732) | (619,102) | |
Net Increase (Decrease) from Capital Share Transactions | (68,773) | (776,164) | |
Total Increase (Decrease) | (358,820) | (1,079,605) | |
Net Assets | |||
Beginning of Period | 6,110,547 | 7,190,152 | |
End of Period | 5,751,727 | 6,110,547 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $11.12 | $11.65 | $11.57 | $10.96 | $10.88 | $11.11 |
Investment Operations | ||||||
Net Investment Income1 | .087 | .107 | .129 | .255 | .260 | .198 |
Net Realized and Unrealized Gain (Loss) on Investments | (.529) | (.511) | .507 | .611 | .081 | (.230) |
Total from Investment Operations | (.442) | (.404) | .636 | .866 | .341 | (.032) |
Distributions | ||||||
Dividends from Net Investment Income | (.088) | (.107) | (.127) | (.256) | (.261) | (.198) |
Distributions from Realized Capital Gains | — | (.019) | (.429) | — | — | — |
Total Distributions | (.088) | (.126) | (.556) | (.256) | (.261) | (.198) |
Net Asset Value, End of Period | $10.59 | $11.12 | $11.65 | $11.57 | $10.96 | $10.88 |
Total Return2 | -3.98% | -3.49% | 5.50% | 7.98% | 3.20% | -0.31% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $665 | $757 | $953 | $917 | $837 | $967 |
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.66% | 0.93% | 1.07% | 2.27% | 2.42% | 1.78% |
Portfolio Turnover Rate | 60% | 181%4 | 309%4 | 214%4 | 231%4 | 181%4 |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 3%, 37%, 5%, 35%, and 6%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $11.12 | $11.65 | $11.57 | $10.96 | $10.88 | $11.11 |
Investment Operations | ||||||
Net Investment Income1 | .093 | .118 | .139 | .267 | .272 | .210 |
Net Realized and Unrealized Gain (Loss) on Investments | (.530) | (.511) | .509 | .610 | .080 | (.230) |
Total from Investment Operations | (.437) | (.393) | .648 | .877 | .352 | (.020) |
Distributions | ||||||
Dividends from Net Investment Income | (.093) | (.118) | (.139) | (.267) | (.272) | (.210) |
Distributions from Realized Capital Gains | — | (.019) | (.429) | — | — | — |
Total Distributions | (.093) | (.137) | (.568) | (.267) | (.272) | (.210) |
Net Asset Value, End of Period | $10.59 | $11.12 | $11.65 | $11.57 | $10.96 | $10.88 |
Total Return2 | -3.93% | -3.39% | 5.60% | 8.09% | 3.30% | -0.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,087 | $5,353 | $6,237 | $5,452 | $4,976 | $5,100 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.76% | 1.03% | 1.16% | 2.37% | 2.52% | 1.88% |
Portfolio Turnover Rate | 60% | 181%4 | 309%4 | 214%4 | 231%4 | 181%4 |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 3%, 37%, 5%, 35%, and 6%, 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets). |
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 | — | 5,615,148 | — | 5,615,148 |
Temporary Cash Investments | 104,566 | — | — | 104,566 |
Total | 104,566 | 5,615,148 | — | 5,719,714 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 12,289 | — | — | 12,289 |
Liabilities | ||||
Futures Contracts1 | 1,388 | — | — | 1,388 |
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. | As of July 31, 2022, 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 | 6,030,710 |
Gross Unrealized Appreciation | 17,205 |
Gross Unrealized Depreciation | (317,300) |
Net Unrealized Appreciation (Depreciation) | (300,095) |
F. | During the six months ended July 31, 2022, the fund purchased $3,225,103,000 of investment securities and sold $3,946,062,000 of investment securities, other than temporary cash investments. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 48,531 | 4,558 | 139,548 | 12,220 | |
Issued in Lieu of Cash Distributions | 5,206 | 491 | 8,775 | 770 | |
Redeemed | (109,778) | (10,336) | (305,385) | (26,773) | |
Net Increase (Decrease)—Investor Shares | (56,041) | (5,287) | (157,062) | (13,783) | |
Admiral Shares | |||||
Issued | 759,251 | 71,818 | 1,293,679 | 113,258 | |
Issued in Lieu of Cash Distributions | 37,555 | 3,546 | 57,745 | 5,070 | |
Redeemed | (809,538) | (76,505) | (1,970,526) | (172,606) | |
Net Increase (Decrease)—Admiral Shares | (12,732) | (1,141) | (619,102) | (54,278) |
H. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, that would require recognition or disclosure in these financial statements. |
Agency Bonds and Notes | 8.5% |
Government Mortgage-Backed Securities | 0.4 |
U.S. Government Securities | 91.1 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.0%) | ||||||
U.S. Government Securities (90.2%) | ||||||
United States Treasury Note/Bond | 2.750% | 5/31/29 | 14,750 | 14,778 | ||
United States Treasury Note/Bond | 3.250% | 6/30/29 | 3,682 | 3,807 | ||
United States Treasury Note/Bond | 4.375% | 2/15/38 | 2,000 | 2,410 | ||
United States Treasury Note/Bond | 3.500% | 2/15/39 | 5,000 | 5,409 | ||
United States Treasury Note/Bond | 4.375% | 11/15/39 | 21,600 | 25,765 | ||
United States Treasury Note/Bond | 1.125% | 5/15/40 | 55,650 | 39,703 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 85,300 | 60,483 | ||
United States Treasury Note/Bond | 3.875% | 8/15/40 | 9,791 | 10,892 | ||
United States Treasury Note/Bond | 1.375% | 11/15/40 | 52,900 | 39,022 | ||
United States Treasury Note/Bond | 4.250% | 11/15/40 | 31,000 | 36,086 | ||
United States Treasury Note/Bond | 1.875% | 2/15/41 | 112,900 | 90,761 | ||
United States Treasury Note/Bond | 2.250% | 5/15/41 | 72,700 | 62,159 | ||
United States Treasury Note/Bond | 4.375% | 5/15/41 | 12,863 | 15,174 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 101,690 | 79,366 | ||
United States Treasury Note/Bond | 3.750% | 8/15/41 | 12,770 | 13,804 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 138,000 | 112,578 | ||
United States Treasury Note/Bond | 3.125% | 11/15/41 | 24,300 | 23,966 | ||
United States Treasury Note/Bond | 2.375% | 2/15/42 | 24,000 | 20,880 | ||
United States Treasury Note/Bond | 3.125% | 2/15/42 | 14,000 | 13,759 | ||
United States Treasury Note/Bond | 3.000% | 5/15/42 | 33,800 | 32,511 | ||
United States Treasury Note/Bond | 2.750% | 8/15/42 | 18,500 | 17,003 | ||
United States Treasury Note/Bond | 2.750% | 11/15/42 | 44,000 | 40,370 | ||
United States Treasury Note/Bond | 3.125% | 2/15/43 | 46,111 | 44,828 | ||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 61,346 | 57,225 | ||
United States Treasury Note/Bond | 3.625% | 8/15/43 | 37,264 | 39,110 | ||
United States Treasury Note/Bond | 3.750% | 11/15/43 | 20,557 | 21,963 | ||
United States Treasury Note/Bond | 3.625% | 2/15/44 | 25,000 | 26,219 | ||
United States Treasury Note/Bond | 3.375% | 5/15/44 | 39,500 | 39,858 | ||
United States Treasury Note/Bond | 3.125% | 8/15/44 | 44,449 | 43,011 | ||
United States Treasury Note/Bond | 3.000% | 11/15/44 | 177,251 | 167,779 | ||
United States Treasury Note/Bond | 2.500% | 2/15/45 | 63,900 | 55,333 | ||
United States Treasury Note/Bond | 3.000% | 5/15/45 | 35,205 | 33,313 | ||
United States Treasury Note/Bond | 2.875% | 8/15/45 | 40,963 | 37,968 | ||
United States Treasury Note/Bond | 3.000% | 11/15/45 | 13,600 | 12,903 | ||
United States Treasury Note/Bond | 2.500% | 2/15/46 | 26,795 | 23,211 | ||
United States Treasury Note/Bond | 2.500% | 5/15/46 | 12,810 | 11,087 | ||
United States Treasury Note/Bond | 2.250% | 8/15/46 | 45,600 | 37,513 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 2.875% | 11/15/46 | 33,769 | 31,352 | ||
United States Treasury Note/Bond | 3.000% | 2/15/47 | 49,998 | 47,561 | ||
United States Treasury Note/Bond | 3.000% | 5/15/47 | 1,636 | 1,558 | ||
United States Treasury Note/Bond | 2.750% | 8/15/47 | 5,230 | 4,764 | ||
United States Treasury Note/Bond | 2.750% | 11/15/47 | 22,690 | 20,712 | ||
United States Treasury Note/Bond | 3.000% | 2/15/48 | 24,804 | 23,832 | ||
United States Treasury Note/Bond | 3.125% | 5/15/48 | 57,662 | 56,896 | ||
United States Treasury Note/Bond | 3.000% | 8/15/48 | 41,533 | 40,079 | ||
United States Treasury Note/Bond | 3.375% | 11/15/48 | 90,961 | 94,486 | ||
United States Treasury Note/Bond | 3.000% | 2/15/49 | 50,420 | 49,120 | ||
1 | United States Treasury Note/Bond | 2.875% | 5/15/49 | 43,761 | 41,724 | |
United States Treasury Note/Bond | 2.250% | 8/15/49 | 66,500 | 55,839 | ||
United States Treasury Note/Bond | 2.375% | 11/15/49 | 46,400 | 40,107 | ||
United States Treasury Note/Bond | 2.000% | 2/15/50 | 66,000 | 52,377 | ||
United States Treasury Note/Bond | 1.250% | 5/15/50 | 85,600 | 55,801 | ||
United States Treasury Note/Bond | 1.375% | 8/15/50 | 109,797 | 73,976 | ||
United States Treasury Note/Bond | 1.625% | 11/15/50 | 128,012 | 92,128 | ||
United States Treasury Note/Bond | 1.875% | 2/15/51 | 125,900 | 96,648 | ||
United States Treasury Note/Bond | 2.375% | 5/15/51 | 144,400 | 124,680 | ||
United States Treasury Note/Bond | 2.000% | 8/15/51 | 109,000 | 86,297 | ||
United States Treasury Note/Bond | 1.875% | 11/15/51 | 134,000 | 102,992 | ||
United States Treasury Note/Bond | 2.250% | 2/15/52 | 112,000 | 94,325 | ||
United States Treasury Note/Bond | 2.875% | 5/15/52 | 18,000 | 17,409 | ||
2,716,670 | ||||||
Agency Bonds and Notes (8.4%) | ||||||
2 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 56,935 | 44,706 | |
2 | Fannie Mae Principal Strip | 0.000% | 8/6/38 | 7,100 | 3,896 | |
Federal Farm Credit Banks Funding Corp. | 3.820% | 6/15/37 | 50,000 | 50,490 | ||
2 | Federal Home Loan Mortgage Corp. | 0.000% | 12/14/29 | 20,000 | 15,945 | |
2 | Federal Home Loan Mortgage Corp. | 0.000% | 11/15/38 | 14,465 | 7,843 | |
2 | Federal National Mortgage Assn. | 0.000% | 11/15/30 | 55,000 | 42,452 | |
2 | Federal National Mortgage Assn. | 0.000% | 10/3/33 | 8,000 | 5,490 | |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/30 | 12,896 | 10,179 | |
2 | Freddie Mac Principal Strips | 0.000% | 3/15/31 | 75,000 | 57,096 | |
Resolution Funding Corp. Principal Strip | 0.000% | 1/15/30 | 20,000 | 15,857 | ||
253,954 | ||||||
Nonconventional Mortgage-Backed Securities (0.4%) | ||||||
3 | Ginnie Mae | 1.100% | 1/20/51 | 14,189 | 11,629 | |
Total U.S. Government and Agency Obligations (Cost $3,399,265) | 2,982,253 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
4 | Vanguard Market Liquidity Fund (Cost $10,159) | 1.903% | 101,632 | 10,159 | ||
Total Investments (99.3%) (Cost $3,409,424) | 2,992,412 | |||||
Other Assets and Liabilities—Net (0.7%) | 21,141 | |||||
Net Assets (100%) | 3,013,553 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $5,853,000 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. |
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 2022 | 201 | 22,859 | 424 |
Long U.S. Treasury Bond | September 2022 | 784 | 112,896 | 3,183 |
Ultra Long U.S. Treasury Bond | September 2022 | 681 | 107,811 | 628 |
4,235 | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | (343) | (72,188) | (434) |
10-Year U.S. Treasury Note | September 2022 | (1,952) | (236,467) | (5,529) |
Ultra 10-Year U.S. Treasury Note | September 2022 | (662) | (86,888) | (1,233) |
(7,196) | ||||
(2,961) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,399,265) | 2,982,253 |
Affiliated Issuers (Cost $10,159) | 10,159 |
Total Investments in Securities | 2,992,412 |
Investment in Vanguard | 113 |
Receivables for Investment Securities Sold | 24,049 |
Receivables for Accrued Income | 24,538 |
Receivables for Capital Shares Issued | 2,037 |
Variation Margin Receivable—Futures Contracts | 1,042 |
Other Assets | 39 |
Total Assets | 3,044,230 |
Liabilities | |
Payables for Investment Securities Purchased | 17,714 |
Payables for Capital Shares Redeemed | 12,096 |
Payables for Distributions | 709 |
Payables to Vanguard | 158 |
Total Liabilities | 30,677 |
Net Assets | 3,013,553 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 3,691,062 |
Total Distributable Earnings (Loss) | (677,509) |
Net Assets | 3,013,553 |
Investor Shares—Net Assets | |
Applicable to 59,163,293 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 604,871 |
Net Asset Value Per Share—Investor Shares | $10.22 |
Admiral Shares—Net Assets | |
Applicable to 235,595,890 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,408,682 |
Net Asset Value Per Share—Admiral Shares | $10.22 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 40,184 |
Total Income | 40,184 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 116 |
Management and Administrative—Investor Shares | 563 |
Management and Administrative—Admiral Shares | 1,081 |
Marketing and Distribution—Investor Shares | 27 |
Marketing and Distribution—Admiral Shares | 62 |
Custodian Fees | 9 |
Shareholders’ Reports—Investor Shares | 25 |
Shareholders’ Reports—Admiral Shares | 16 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 5 |
Total Expenses | 1,905 |
Expenses Paid Indirectly | (1) |
Net Expenses | 1,904 |
Net Investment Income | 38,280 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (109,160) |
Futures Contracts | (17,190) |
Realized Net Gain (Loss) | (126,350) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (490,782) |
Futures Contracts | (610) |
Change in Unrealized Appreciation (Depreciation) | (491,392) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (579,462) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $65,000, ($8,000), and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 38,280 | 77,072 | |
Realized Net Gain (Loss) | (126,350) | (95,059) | |
Change in Unrealized Appreciation (Depreciation) | (491,392) | (184,702) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (579,462) | (202,689) | |
Distributions | |||
Investor Shares | (7,482) | (37,811) | |
Admiral Shares | (30,787) | (143,859) | |
Total Distributions | (38,269) | (181,670) | |
Capital Share Transactions | |||
Investor Shares | (19,624) | (97,549) | |
Admiral Shares | (53,238) | (37,268) | |
Net Increase (Decrease) from Capital Share Transactions | (72,862) | (134,817) | |
Total Increase (Decrease) | (690,593) | (519,176) | |
Net Assets | |||
Beginning of Period | 3,704,146 | 4,223,322 | |
End of Period | 3,013,553 | 3,704,146 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $12.29 | $13.55 | $14.05 | $11.86 | $11.96 | $11.79 |
Investment Operations | ||||||
Net Investment Income1 | .124 | .239 | .273 | .331 | .334 | .328 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.070) | (.923) | .677 | 2.226 | (.100) | .170 |
Total from Investment Operations | (1.946) | (.684) | .950 | 2.557 | .234 | .498 |
Distributions | ||||||
Dividends from Net Investment Income | (.124) | (.239) | (.273) | (.331) | (.334) | (.328) |
Distributions from Realized Capital Gains | — | (.337) | (1.177) | (.036) | — | — |
Total Distributions | (.124) | (.576) | (1.450) | (.367) | (.334) | (.328) |
Net Asset Value, End of Period | $10.22 | $12.29 | $13.55 | $14.05 | $11.86 | $11.96 |
Total Return2 | -15.86% | -4.92% | 6.41% | 21.84% | 2.05% | 4.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $605 | $750 | $931 | $971 | $794 | $882 |
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 2.34% | 1.90% | 1.79% | 2.55% | 2.89% | 2.70% |
Portfolio Turnover Rate | 37% | 106%4 | 172%4 | 96%4,5 | 122%4 | 103%4,5 |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 2%, 26%, 4%, 34%, and 6%, respectively, attributable to mortgage-dollar-roll activity. |
5 | 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, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $12.29 | $13.55 | $14.05 | $11.86 | $11.96 | $11.79 |
Investment Operations | ||||||
Net Investment Income1 | .130 | .252 | .288 | .344 | .346 | .340 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.070) | (.923) | .677 | 2.226 | (.100) | .170 |
Total from Investment Operations | (1.940) | (.671) | .965 | 2.570 | .246 | .510 |
Distributions | ||||||
Dividends from Net Investment Income | (.130) | (.252) | (.288) | (.344) | (.346) | (.340) |
Distributions from Realized Capital Gains | — | (.337) | (1.177) | (.036) | — | — |
Total Distributions | (.130) | (.589) | (1.465) | (.380) | (.346) | (.340) |
Net Asset Value, End of Period | $10.22 | $12.29 | $13.55 | $14.05 | $11.86 | $11.96 |
Total Return2 | -15.82% | -4.82% | 6.51% | 21.96% | 2.16% | 4.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,409 | $2,954 | $3,292 | $3,071 | $2,532 | $2,588 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.44% | 2.00% | 1.89% | 2.65% | 2.99% | 2.80% |
Portfolio Turnover Rate | 37% | 106%4 | 172%4 | 96%4,5 | 122%4 | 103%4,5 |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 2%, 26%, 4%, 34%, and 6%, respectively, attributable to mortgage-dollar-roll activity. |
5 | 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets). |
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 | — | 2,982,253 | — | 2,982,253 |
Temporary Cash Investments | 10,159 | — | — | 10,159 |
Total | 10,159 | 2,982,253 | — | 2,992,412 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 4,235 | — | — | 4,235 |
Liabilities | ||||
Futures Contracts1 | 7,196 | — | — | 7,196 |
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. | As of July 31, 2022, 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 | 3,453,180 |
Gross Unrealized Appreciation | 9,020 |
Gross Unrealized Depreciation | (472,749) |
Net Unrealized Appreciation (Depreciation) | (463,729) |
F. | During the six months ended July 31, 2022, the fund purchased $1,183,424,000 of investment securities and sold $1,283,305,000 of investment securities, other than temporary cash investments. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 62,442 | 5,829 | 147,473 | 11,701 | |
Issued in Lieu of Cash Distributions | 7,022 | 660 | 35,678 | 2,954 | |
Redeemed | (89,088) | (8,351) | (280,700) | (22,357) | |
Net Increase (Decrease)—Investor Shares | (19,624) | (1,862) | (97,549) | (7,702) | |
Admiral Shares | |||||
Issued | 254,295 | 23,859 | 815,470 | 65,179 | |
Issued in Lieu of Cash Distributions | 27,008 | 2,542 | 128,719 | 10,646 | |
Redeemed | (334,541) | (31,264) | (981,457) | (78,341) | |
Net Increase (Decrease)—Admiral Shares | (53,238) | (4,863) | (37,268) | (2,516) |
H. | Management has determined that no other events or transactions occurred subsequent to July 31, 2022, 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 | 45 |
Long-Term Investment-Grade Fund | 84 |
Trustees Approve Advisory Arrangements | 111 |
Liquidity Risk Management | 113 |
• | 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, 2022 | |||
Beginning Account Value 1/31/2022 | Ending Account Value 7/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $968.90 | $0.98 |
Admiral™ Shares | 1,000.00 | 969.30 | 0.49 |
Institutional Shares | 1,000.00 | 969.50 | 0.34 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $928.00 | $0.96 |
Admiral Shares | 1,000.00 | 928.50 | 0.48 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $866.10 | $1.02 |
Admiral Shares | 1,000.00 | 866.50 | 0.56 |
Six Months Ended July 31, 2022 | |||
Beginning Account Value 1/31/2022 | Ending Account Value 7/31/2022 | Expenses Paid During Period | |
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 | 6.6% |
Common Stocks | 0.1 |
Corporate Bonds - Communications | 5.2 |
Corporate Bonds - Consumer Discretionary | 5.5 |
Corporate Bonds - Consumer Staples | 3.2 |
Corporate Bonds - Energy | 6.9 |
Corporate Bonds - Financials | 29.0 |
Corporate Bonds - Health Care | 6.5 |
Corporate Bonds - Industrials | 5.6 |
Corporate Bonds - Materials | 2.2 |
Corporate Bonds - Real Estate | 4.2 |
Corporate Bonds - Technology | 4.3 |
Corporate Bonds - Utilities | 3.7 |
Floating Rate Loan Interests | 0.1 |
Sovereign Bonds | 2.1 |
Taxable Municipal Bonds | 0.0 |
U.S. Government and Agency Obligations | 14.8 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (14.9%) | ||||||
U.S. Government Securities (12.8%) | ||||||
United States Treasury Note/Bond | 0.125% | 1/15/24 | 399,000 | 382,915 | ||
United States Treasury Note/Bond | 0.375% | 4/15/24 | 600,000 | 574,406 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 500,000 | 474,062 | ||
1 | United States Treasury Note/Bond | 0.750% | 11/15/24 | 737,000 | 702,223 | |
1 | United States Treasury Note/Bond | 1.000% | 12/15/24 | 488,755 | 467,830 | |
2 | United States Treasury Note/Bond | 1.125% | 1/15/25 | 892,000 | 855,205 | |
United States Treasury Note/Bond | 1.500% | 2/15/25 | 334,000 | 322,728 | ||
United States Treasury Note/Bond | 1.750% | 3/15/25 | 278,900 | 271,100 | ||
1 | United States Treasury Note/Bond | 2.750% | 5/15/25 | 674,910 | 673,012 | |
United States Treasury Note/Bond | 2.875% | 6/15/25 | 400,000 | 400,375 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 102,000 | 93,888 | ||
3 | United States Treasury Note/Bond | 0.375% | 11/30/25 | 500,000 | 461,562 | |
1,2 | United States Treasury Note/Bond | 0.375% | 1/31/26 | 850,000 | 781,469 | |
United States Treasury Note/Bond | 0.500% | 2/28/26 | 500,000 | 460,937 | ||
United States Treasury Note/Bond | 0.750% | 3/31/26 | 579,000 | 537,927 | ||
United States Treasury Note/Bond | 2.625% | 5/31/27 | 250,000 | 249,141 | ||
United States Treasury Note/Bond | 3.250% | 6/30/27 | 500,000 | 512,422 | ||
United States Treasury Note/Bond | 2.750% | 7/31/27 | 400,000 | 401,000 | ||
8,622,202 | ||||||
Conventional Mortgage-Backed Securities (2.1%) | ||||||
4,5 | Ginnie Mae | 4.500% | 8/18/52– 9/21/52 | 865,500 | 880,908 | |
4,5,6 | UMBS Pool | 4.500% | 9/14/52 | 479,250 | 485,687 | |
1,366,595 | ||||||
Total U.S. Government and Agency Obligations (Cost $10,276,208) | 9,988,797 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (6.7%) | ||||||
4 | American Express Credit Account Class A Series 2022-2 | 3.390% | 5/17/27 | 42,390 | 42,559 | |
4,7 | American Homes 4 Rent Trust Class A Series 2014-SFR2 | 3.786% | 10/17/36 | 11,624 | 11,594 | |
4,7 | American Homes 4 Rent Trust Class A Series 2015-SFR2 | 3.732% | 10/17/52 | 6,216 | 6,165 | |
4,7 | American Homes 4 Rent Trust Class B Series 2014-SFR2 | 4.290% | 10/17/36 | 3,360 | 3,355 | |
4,7 | American Homes 4 Rent Trust Class B Series 2015-SFR2 | 4.295% | 10/17/52 | 2,830 | 2,816 | |
4 | AmeriCredit Automobile Receivables Trust Class C Series 2020-2 | 1.480% | 2/18/26 | 7,730 | 7,494 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2018-2 | 4.010% | 7/18/24 | 19,450 | 19,435 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2019-1 | 3.620% | 3/18/25 | 21,620 | 21,468 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2020-2 | 2.130% | 3/18/26 | 7,990 | 7,672 | |
4,7,8 | Aventura Mall Trust Class A Series 2018-AVM | 4.112% | 7/5/40 | 580 | 565 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2018-2A | 4.000% | 3/20/25 | 9,935 | 9,911 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-2A | 3.350% | 9/22/25 | 14,490 | 14,272 | |
4 | BA Credit Card Trust Class A1 Series 2021-A1 | 0.440% | 9/15/26 | 4,210 | 4,017 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | BA Credit Card Trust Class A1 Series 2022-A1 | 3.530% | 11/15/27 | 13,350 | 13,470 | |
4 | Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS7 | 3.441% | 9/15/48 | 8,001 | 7,874 | |
4 | Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3 | 3.574% | 2/15/50 | 4,760 | 4,710 | |
4,8 | Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7 | 4.342% | 9/15/48 | 1,600 | 1,496 | |
4,8 | Banc of America Funding Trust Class 2A2 Series 2006-H | 3.365% | 9/20/46 | 3,083 | 2,632 | |
4 | BANK Class A4 Series 2017-BNK4 | 3.625% | 5/15/50 | 3,890 | 3,857 | |
4 | BANK Class A4 Series 2017-BNK7 | 3.175% | 9/15/60 | 830 | 799 | |
4 | BANK Class A4 Series 2017-BNK8 | 3.488% | 11/15/50 | 5,500 | 5,422 | |
4 | BANK Class A4 Series 2017-BNK9 | 3.538% | 11/15/54 | 8,668 | 8,560 | |
4 | BANK Class A5 Series 2017-BNK7 | 3.435% | 9/15/60 | 3,120 | 3,071 | |
4 | BANK Class AS Series 2017-BNK6 | 3.741% | 7/15/60 | 3,080 | 2,982 | |
4 | BANK Class ASB Series 2018-BNK14 | 4.185% | 9/15/60 | 6,680 | 6,763 | |
4 | BANK Class ASB Series 2019-BNK17 | 3.623% | 4/15/52 | 7,533 | 7,429 | |
4,8 | Bank of America Mortgage Trust Class A2 Series 2002-J | 2.247% | 9/25/32 | 3 | 3 | |
4 | BBCMS Mortgage Trust Class A1 Series 2022-C16 | 4.021% | 6/15/55 | 8,656 | 8,647 | |
4,8 | Bear Stearns ARM Trust Class 1A1 Series 2007-3 | 3.248% | 5/25/47 | 4,575 | 4,362 | |
4,8 | Bear Stearns ARM Trust Class 2A1 Series 2006-4 | 3.104% | 10/25/36 | 5,137 | 4,600 | |
4 | Benchmark Mortgage Trust Class A4 Series 2018-B8 | 3.963% | 1/15/52 | 2,620 | 2,633 | |
4,8 | Benchmark Mortgage Trust Class A5 Series 2018-B1 | 3.666% | 1/15/51 | 6,333 | 6,269 | |
4,8 | Benchmark Mortgage Trust Class A5 Series 2018-B2 | 3.882% | 2/15/51 | 7,705 | 7,706 | |
4,8 | Benchmark Mortgage Trust Class AM Series 2018-B1 | 3.878% | 1/15/51 | 5,990 | 5,852 | |
4 | Benchmark Mortgage Trust Class ASB Series 2019-B10 | 3.615% | 3/15/62 | 8,042 | 7,929 | |
4,8 | Brazos Higher Education Authority Inc. Class A2 Series 2011-1, 3M USD LIBOR + 0.800% | 2.324% | 2/25/30 | 4,475 | 4,468 | |
4,7 | BX Trust Class A Series 2019-OC11 | 3.202% | 12/9/41 | 13,037 | 11,880 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2019-1A | 2.960% | 6/19/24 | 4,170 | 4,155 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2020-1A | 1.890% | 3/19/25 | 6,810 | 6,642 | |
4 | Capital One Multi-Asset Execution Trust Class A Series 2022-A2 | 3.490% | 5/15/27 | 54,230 | 54,695 | |
4 | Capital One Multi-Asset Execution Trust Class A3 Series 2021-A3 | 1.040% | 11/15/26 | 45,390 | 43,179 | |
4 | Capital One Prime Auto Receivables Trust Class A3 Series 2019-1 | 2.510% | 11/15/23 | 730 | 729 | |
4 | Capital One Prime Auto Receivables Trust Class A3 Series 2021-1 | 0.770% | 9/15/26 | 14,690 | 13,943 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Capital One Prime Auto Receivables Trust Class A4 Series 2020-1 | 1.630% | 8/15/25 | 25,320 | 24,795 | |
4 | Capital One Prime Auto Receivables Trust Class A4 Series 2021-1 | 1.040% | 4/15/27 | 12,510 | 11,560 | |
4,7 | CARDS II Trust Class A Series 2021-1A | 0.602% | 4/15/27 | 45,710 | 43,594 | |
4 | CarMax Auto Owner Trust Class A3 Series 2021-3 | 0.550% | 6/15/26 | 20,270 | 19,516 | |
4 | CarMax Auto Owner Trust Class A4 Series 2020-1 | 2.030% | 6/16/25 | 12,860 | 12,571 | |
4 | CarMax Auto Owner Trust Class C Series 2018-4 | 3.850% | 7/15/24 | 4,030 | 4,033 | |
4 | CarMax Auto Owner Trust Class C Series 2019-4 | 2.600% | 9/15/25 | 4,240 | 4,131 | |
4 | CarMax Auto Owner Trust Class C Series 2020-3 | 1.690% | 4/15/26 | 4,840 | 4,613 | |
4 | CarMax Auto Owner Trust Class C Series 2020-4 | 1.300% | 8/17/26 | 6,190 | 5,800 | |
4 | CarMax Auto Owner Trust Class D Series 2018-4 | 4.150% | 4/15/25 | 2,730 | 2,729 | |
4 | Carvana Auto Receivables Trust Class A3 Series 2021-P3 | 0.700% | 11/10/26 | 20,340 | 19,161 | |
4 | Carvana Auto Receivables Trust Class A4 Series 2021-P3 | 1.030% | 6/10/27 | 9,760 | 8,745 | |
4 | CD Mortgage Trust Class A3 Series 2018-CD7 | 4.013% | 8/15/51 | 6,400 | 6,396 | |
4 | CD Mortgage Trust Class A4 Series 2016-CD1 | 2.724% | 8/10/49 | 3,650 | 3,491 | |
4 | CD Mortgage Trust Class A4 Series 2017-CD3 | 3.631% | 2/10/50 | 5,355 | 5,204 | |
4,8 | CD Mortgage Trust Class A4 Series 2017-CD4 | 3.514% | 5/10/50 | 6,310 | 6,178 | |
4 | CD Mortgage Trust Class A4 Series 2018-CD7 | 4.279% | 8/15/51 | 7,400 | 7,554 | |
4 | CD Mortgage Trust Class A5 Series 2017-CD6 | 3.456% | 11/13/50 | 6,715 | 6,565 | |
4 | CD Mortgage Trust Class AM Series 2016-CD1 | 2.926% | 8/10/49 | 3,106 | 2,915 | |
4 | CD Mortgage Trust Class AM Series 2017-CD4 | 3.747% | 5/10/50 | 5,295 | 5,139 | |
4,8 | CD Mortgage Trust Class AM Series 2017-CD6 | 3.709% | 11/13/50 | 6,357 | 6,123 | |
4,8 | CD Mortgage Trust Class AS Series 2016-CD1 | 3.684% | 8/15/50 | 2,092 | 2,024 | |
4,8 | CD Mortgage Trust Class C Series 2016-CD1 | 3.631% | 8/10/49 | 6,299 | 5,768 | |
4,8 | CD Mortgage Trust Class C Series 2018-CD7 | 4.850% | 8/15/51 | 2,830 | 2,811 | |
4 | CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4 | 3.283% | 5/10/58 | 5,064 | 4,937 | |
4,7 | Chesapeake Funding II LLC Class A1 Series 2019-1A | 2.940% | 4/15/31 | 2,675 | 2,674 | |
4,8 | CHL Mortgage Class 1A1 Series 2006-HYB1 Pass-Through Trust | 2.864% | 3/20/36 | 3,184 | 3,116 | |
4,8 | CHL Mortgage Class 3A1 Series 2007-HYB2 Pass-Through Trust | 2.754% | 2/25/47 | 3,786 | 2,867 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC23 | 3.356% | 7/10/47 | 7,276 | 7,188 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8 | 3.203% | 9/15/50 | 2,641 | 2,559 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC19 | 4.023% | 3/10/47 | 3,873 | 3,869 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC21 | 3.575% | 5/10/47 | 11,564 | 11,438 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC25 | 3.635% | 10/10/47 | 12,858 | 12,729 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2015-GC31 | 3.762% | 6/10/48 | 25,297 | 25,142 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2016-GC36 | 3.349% | 2/10/49 | 5,412 | 5,289 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-C4 | 3.471% | 10/12/50 | 4,800 | 4,703 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-P8 | 3.465% | 9/15/50 | 4,683 | 4,605 | |
4,8 | Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5 | 4.228% | 6/10/51 | 4,260 | 4,313 | |
4 | Citigroup Commercial Mortgage Trust Class AS Series 2014-GC23 | 3.863% | 7/10/47 | 12,426 | 12,249 | |
4,8 | Citigroup Commercial Mortgage Trust Class AS Series 2017-P8 | 3.789% | 9/15/50 | 1,590 | 1,538 | |
4,8 | Citigroup Commercial Mortgage Trust Class B Series 2014-GC23 | 4.175% | 7/10/47 | 5,394 | 5,383 | |
4 | Citigroup Commercial Mortgage Trust Class B Series 2017-P8 | 4.192% | 9/15/50 | 9,500 | 9,260 | |
4,8 | Citigroup Commercial Mortgage Trust Class C Series 2014-GC23 | 4.428% | 7/10/47 | 4,380 | 4,306 | |
4,8 | Citigroup Commercial Mortgage Trust Class C Series 2015-GC33 | 4.574% | 9/10/58 | 4,000 | 3,792 | |
4,8 | Citigroup Commercial Mortgage Trust Class C Series 2017-P8 | 4.264% | 9/15/50 | 5,840 | 5,595 | |
4,8 | Citigroup Mortgage Loan Trust Class 2A1A Series 2007-AR8 | 3.514% | 7/25/37 | 235 | 221 | |
4 | COMM Mortgage Trust Class A3 Series 2013-CR11 | 3.983% | 8/10/50 | 13,316 | 13,245 | |
4 | COMM Mortgage Trust Class A3 Series 2013-CR12 | 3.765% | 10/10/46 | 6,924 | 6,880 | |
4 | COMM Mortgage Trust Class A3 Series 2014-CR14 | 3.955% | 2/10/47 | 1,915 | 1,910 | |
4 | COMM Mortgage Trust Class A4 Series 2012-CR5 | 2.771% | 12/10/45 | 2,334 | 2,327 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR11 | 4.258% | 8/10/50 | 7,275 | 7,299 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR12 | 4.046% | 10/10/46 | 8,502 | 8,407 | |
4,8 | COMM Mortgage Trust Class A4 Series 2013-CR13 | 4.194% | 11/10/46 | 3,617 | 3,614 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR8 | 3.334% | 6/10/46 | 250 | 249 | |
4,8 | COMM Mortgage Trust Class A4 Series 2013-CR9 | 4.268% | 7/10/45 | 11,929 | 11,930 | |
4 | COMM Mortgage Trust Class A4 Series 2013-LC6 | 2.941% | 1/10/46 | 2,522 | 2,517 | |
4 | COMM Mortgage Trust Class A4 Series 2014-CR17 | 3.700% | 5/10/47 | 1,767 | 1,751 | |
4 | COMM Mortgage Trust Class A4 Series 2014-CR18 | 3.550% | 7/15/47 | 8,071 | 7,958 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR25 | 3.759% | 8/10/48 | 19,714 | 19,624 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR26 | 3.630% | 10/10/48 | 22,007 | 21,828 | |
4 | COMM Mortgage Trust Class A4 Series 2015-CR27 | 3.612% | 10/10/48 | 15,612 | 15,338 | |
4 | COMM Mortgage Trust Class A4 Series 2015-LC19 | 3.183% | 2/10/48 | 20,332 | 19,967 | |
4,8 | COMM Mortgage Trust Class A5 Series 2013-CR8 | 3.612% | 6/10/46 | 8,199 | 8,163 | |
4 | COMM Mortgage Trust Class A5 Series 2013-LC13 | 4.205% | 8/10/46 | 12,939 | 12,926 | |
4 | COMM Mortgage Trust Class A5 Series 2015-CR24 | 3.696% | 8/10/48 | 14,442 | 14,331 | |
4 | COMM Mortgage Trust Class AM Series 2012-CR2 | 3.791% | 8/15/45 | 1,024 | 1,023 | |
4,7 | COMM Mortgage Trust Class AM Series 2013-CR6 | 3.147% | 3/10/46 | 17,360 | 17,179 | |
4,7,8 | COMM Mortgage Trust Class AM Series 2013-CR9 | 4.292% | 7/10/45 | 11,250 | 11,131 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7,8 | COMM Mortgage Trust Class AM Series 2013-LC13 | 4.557% | 8/10/46 | 18,565 | 18,510 | |
4,8 | COMM Mortgage Trust Class AM Series 2014-CR15 | 4.426% | 2/10/47 | 13,450 | 13,422 | |
4 | COMM Mortgage Trust Class AM Series 2014-CR17 | 4.174% | 5/10/47 | 27,380 | 27,122 | |
4,7 | COMM Mortgage Trust Class B Series 2013-CR6 | 3.397% | 3/10/46 | 2,380 | 2,363 | |
4,7,8 | COMM Mortgage Trust Class C Series 2013-CR9 | 4.292% | 7/10/45 | 12,690 | 11,990 | |
4,8 | COMM Mortgage Trust Class C Series 2015-CR27 | 4.450% | 10/10/48 | 8,118 | 7,963 | |
4 | CSAIL Commercial Mortgage Trust Class A3 Series 2015-C3 | 3.447% | 8/15/48 | 7,289 | 7,160 | |
4 | CSAIL Commercial Mortgage Trust Class A4 Series 2015-C2 | 3.504% | 6/15/57 | 24,670 | 24,306 | |
4 | CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7 | 3.502% | 11/15/49 | 5,173 | 5,064 | |
4,8 | CSAIL Commercial Mortgage Trust Class C Series 2015-C3 | 4.366% | 8/15/48 | 10,600 | 9,618 | |
4 | DBGS Mortgage Trust Class A4 Series 2018-C1 | 4.466% | 10/15/51 | 13,990 | 14,320 | |
4 | DBJPM Mortgage Trust Class A4 Series 2016-C3 | 2.632% | 8/10/49 | 9,900 | 9,430 | |
4 | DBJPM Mortgage Trust Class A5 Series 2017-C6 | 3.328% | 6/10/50 | 3,540 | 3,458 | |
4 | Discover Card Execution Note Trust Class A Series 2022-A2 | 3.320% | 5/15/27 | 41,190 | 41,351 | |
4 | Discover Card Execution Note Trust Class A2 Series 2021-A2 | 1.030% | 9/15/28 | 11,180 | 10,148 | |
4,7 | DLLAD LLC Class A3 Series 2021-1A | 0.640% | 9/21/26 | 13,750 | 13,096 | |
4,7 | Dllmt LLC Class A3 Series 2021-1 | 1.000% | 7/21/25 | 11,910 | 11,363 | |
4,7 | Dllmt LLC Class A4 Series 2021-1 | 1.240% | 6/20/29 | 7,940 | 7,441 | |
4 | Drive Auto Receivables Trust Class C Series 2020-2 | 2.280% | 8/17/26 | 5,790 | 5,755 | |
4 | Drive Auto Receivables Trust Class D Series 2018-3 | 4.300% | 9/16/24 | 2,200 | 2,201 | |
4 | Drive Auto Receivables Trust Class D Series 2018-5 | 4.300% | 4/15/26 | 20,095 | 20,126 | |
4 | Drive Auto Receivables Trust Class D Series 2019-2 | 3.690% | 8/17/26 | 15,870 | 15,835 | |
4 | Drive Auto Receivables Trust Class D Series 2019-4 | 2.700% | 2/16/27 | 5,010 | 4,944 | |
4 | Drive Auto Receivables Trust Class D Series 2020-1 | 2.700% | 5/17/27 | 5,010 | 4,929 | |
4 | Drive Auto Receivables Trust Class D Series 2020-2 | 3.050% | 5/15/28 | 6,160 | 6,110 | |
4,7,8 | Edsouth Indenture No. 9 LLC Class A Series 2015-1, 1M USD LIBOR + 0.800% | 3.059% | 10/25/56 | 8,599 | 8,512 | |
4,7 | EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A | 3.580% | 11/25/38 | 3,774 | 3,582 | |
4,7 | Enterprise Fleet Financing LLC Class A2 Series 2021-2 | 0.480% | 5/20/27 | 11,893 | 11,401 | |
4,7 | Enterprise Fleet Financing LLC Class A2 Series 2021-3 | 0.770% | 8/20/27 | 16,566 | 15,916 | |
4,8 | First Horizon Mortgage Class 1A1 Series 2006-AR3 Pass-Through Trust | 2.432% | 11/25/36 | 1,883 | 1,339 | |
4,8 | First Horizon Mortgage Class 1A1 Series 2006-AR4 Pass-Through Trust | 2.915% | 1/25/37 | 3,780 | 2,594 | |
4,7 | FirstKey Homes Trust Class A Series 2020-SFR2 | 1.266% | 10/19/37 | 11,612 | 10,826 | |
4 | Ford Credit Auto Lease Trust Class C Series 2022-A | 4.180% | 10/15/25 | 13,640 | 13,554 | |
4,7 | Ford Credit Auto Owner Trust Class A Series 2020-1 | 2.040% | 8/15/31 | 14,180 | 13,654 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | Ford Credit Auto Owner Trust Class A Series 2022-1 | 3.880% | 11/15/34 | 11,290 | 11,386 | |
4 | Ford Credit Auto Owner Trust Class A3 Series 2022-B | 3.740% | 9/15/26 | 17,100 | 17,116 | |
4 | Ford Credit Auto Owner Trust Class A4 Series 2022-B | 3.930% | 8/15/27 | 6,800 | 6,906 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2018-1 | 3.340% | 7/15/31 | 20,100 | 19,755 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-1 | 2.290% | 8/15/31 | 6,270 | 5,922 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-2 | 1.490% | 4/15/33 | 6,100 | 5,619 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2018-2 | 3.760% | 1/15/30 | 5,365 | 5,330 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2020-1 | 2.540% | 8/15/31 | 7,484 | 7,110 | |
4 | Ford Credit Auto Owner Trust Class C Series 2020-B | 2.040% | 12/15/26 | 8,650 | 8,333 | |
4 | Ford Credit Auto Owner Trust Class C Series 2020-C | 1.040% | 5/15/28 | 4,930 | 4,565 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2021-1 | 1.910% | 10/17/33 | 6,400 | 5,760 | |
4 | Ford Credit Floorplan Master Owner Trust Class A Series 2020-2 | 1.060% | 9/15/27 | 2,620 | 2,416 | |
4 | Ford Credit Floorplan Master Owner Trust Class D Series 2020-1 | 2.120% | 9/15/25 | 5,350 | 5,175 | |
4,6,7,8 | Freddie Mac STACR REMIC Trust Class M1A Series 2022-HQA1, SOFR30A + 2.100% | 3.614% | 3/25/42 | 4,385 | 4,348 | |
4 | GM Financial Automobile Leasing Trust Class A4 Series 2021-2 | 0.410% | 5/20/25 | 6,110 | 5,879 | |
4 | GM Financial Automobile Leasing Trust Class A4 Series 2021-3 | 0.500% | 7/21/25 | 11,160 | 10,630 | |
4 | GM Financial Automobile Leasing Trust Class B Series 2021-3 | 0.760% | 7/21/25 | 10,230 | 9,708 | |
4 | GM Financial Automobile Leasing Trust Class B Series 2022-2 | 4.020% | 5/20/26 | 8,240 | 8,257 | |
4 | GM Financial Automobile Leasing Trust Class C Series 2020-2 | 2.560% | 7/22/24 | 4,545 | 4,507 | |
4 | GM Financial Automobile Leasing Trust Class C Series 2021-2 | 1.010% | 5/20/25 | 11,140 | 10,622 | |
4 | GM Financial Automobile Leasing Trust Class D Series 2020-2 | 3.210% | 12/20/24 | 6,470 | 6,418 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2021-2 | 0.510% | 4/16/26 | 12,710 | 12,306 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2021-3 | 0.480% | 6/16/26 | 24,320 | 23,333 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2021-4 | 0.680% | 9/16/26 | 7,740 | 7,380 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-2 | 0.820% | 10/16/26 | 10,500 | 9,869 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-3 | 0.730% | 8/16/27 | 14,240 | 13,334 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-4 | 0.990% | 10/18/27 | 11,410 | 10,692 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3 | 0.810% | 1/16/26 | 5,700 | 5,394 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2020-4 | 0.730% | 3/16/26 | 7,010 | 6,568 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2021-1 | 0.750% | 5/17/27 | 3,250 | 3,026 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2021-2 | 1.090% | 12/16/26 | 7,270 | 6,784 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2021-4 | 1.250% | 10/18/27 | 2,910 | 2,687 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2022-2 | 3.770% | 4/17/28 | 16,500 | 16,245 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3 | 1.370% | 1/16/26 | 2,200 | 2,101 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4 | 1.050% | 5/18/26 | 2,710 | 2,550 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2021-1 | 1.040% | 5/17/27 | 2,150 | 2,006 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2021-2 | 1.280% | 1/19/27 | 7,030 | 6,499 | |
4 | GM Financial Consumer Automobile Receivables Trust Class D Series 2020-3 | 1.910% | 9/16/27 | 3,400 | 3,268 | |
4,7 | GM Financial Revolving Receivables Trust Class A Series 2021-1 | 1.170% | 6/12/34 | 15,020 | 13,576 | |
4,7 | GM Financial Revolving Receivables Trust Class B Series 2021-1 | 1.490% | 6/12/34 | 1,870 | 1,697 | |
4,7 | GM Financial Revolving Receivables Trust Class C Series 2021-1 | 1.670% | 6/12/34 | 3,380 | 3,016 | |
4,8 | GMACM Mortgage Loan Trust Class 3A1 Series 2005-AR6 | 2.859% | 11/19/35 | 612 | 599 | |
4,7 | GMF Floorplan Owner Revolving Trust Class A Series 2020-2 | 0.690% | 10/15/25 | 46,850 | 45,190 | |
4,7 | GMF Floorplan Owner Revolving Trust Class B Series 2020-1 | 1.030% | 8/15/25 | 3,940 | 3,807 | |
4,7 | GMF Floorplan Owner Revolving Trust Class B Series 2020-2 | 0.960% | 10/15/25 | 8,220 | 7,894 | |
4,7 | GMF Floorplan Owner Revolving Trust Class C Series 2020-1 | 1.480% | 8/15/25 | 3,210 | 3,105 | |
4,7 | GMF Floorplan Owner Revolving Trust Class C Series 2020-2 | 1.310% | 10/15/25 | 5,800 | 5,568 | |
4,7 | Golden Credit Card Trust Class A Series 2021-1A | 1.140% | 8/15/28 | 31,290 | 28,582 | |
4,7,8 | Gosforth Funding plc Class A1 Series 2018-1A, 3M USD LIBOR + 0.450% | 1.974% | 8/25/60 | 659 | 659 | |
4,8 | GS Mortgage Securities Corp. II Class A5 Series 2018-GS10 | 4.155% | 7/10/51 | 3,865 | 3,889 | |
4 | GS Mortgage Securities Trust Class A3 Series 2017-GS6 | 3.433% | 5/10/50 | 2,501 | 2,452 | |
4 | GS Mortgage Securities Trust Class A4 Series 2013-GC12 | 3.135% | 6/10/46 | 13,060 | 12,955 | |
4 | GS Mortgage Securities Trust Class A4 Series 2013-GC14 | 3.955% | 8/10/46 | 20,244 | 20,165 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC30 | 3.382% | 5/10/50 | 14,623 | 14,413 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC32 | 3.764% | 7/10/48 | 9,121 | 9,075 | |
4 | GS Mortgage Securities Trust Class A4 Series 2015-GC34 | 3.506% | 10/10/48 | 17,922 | 17,670 | |
4 | GS Mortgage Securities Trust Class A4 Series 2016-GS3 | 2.850% | 10/10/49 | 11,930 | 11,453 | |
4,8 | GS Mortgage Securities Trust Class A4 Series 2018-GS9 | 3.992% | 3/10/51 | 4,990 | 5,008 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC40 | 3.160% | 7/10/52 | 3,920 | 3,743 | |
4,8 | GS Mortgage Securities Trust Class A5 Series 2013-GC13 | 4.038% | 7/10/46 | 22,934 | 22,872 | |
4 | GS Mortgage Securities Trust Class A5 Series 2014-GC20 | 3.998% | 4/10/47 | 13,757 | 13,715 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | GS Mortgage Securities Trust Class A5 Series 2014-GC24 | 3.931% | 9/10/47 | 8,125 | 8,070 | |
4 | GS Mortgage Securities Trust Class AS Series 2014-GC20 | 4.258% | 4/10/47 | 1,410 | 1,401 | |
4,8 | GS Mortgage Securities Trust Class AS Series 2014-GC24 | 4.162% | 9/10/47 | 13,246 | 13,101 | |
4,8 | GS Mortgage Securities Trust Class B Series 2013-GC12 | 3.777% | 6/10/46 | 5,350 | 5,289 | |
4,8 | GS Mortgage Securities Trust Class B Series 2014-GC24 | 4.512% | 9/10/47 | 10,665 | 10,225 | |
4,7,8 | GS Mortgage Securities Trust Class C Series 2013-GC13 | 4.071% | 7/10/46 | 5,650 | 5,279 | |
4,8 | GS Mortgage Securities Trust Class C Series 2014-GC24 | 4.533% | 9/10/47 | 17,556 | 16,159 | |
4,8 | GS Mortgage Securities Trust Class C Series 2015-GC34 | 4.648% | 10/10/48 | 12,080 | 11,380 | |
4 | Harley-Davidson Motorcycle Trust Class A3 Series 2021-B | 0.560% | 11/16/26 | 26,430 | 25,724 | |
4 | Harley-Davidson Motorcycle Trust Class A4 Series 2020-A | 1.930% | 4/15/27 | 8,270 | 8,135 | |
4,7 | Hertz Vehicle Financing III LLC Class A Series 2022-1A | 1.990% | 6/25/26 | 11,420 | 10,758 | |
4,7 | Hertz Vehicle Financing III LLC Class A Series 2022-1A | 2.630% | 6/25/26 | 4,980 | 4,623 | |
4,7 | Hertz Vehicle Financing III LLC Class A Series 2022-3A | 3.370% | 3/25/25 | 4,780 | 4,716 | |
4,7 | Hertz Vehicle Financing III LLC Class C Series 2022-3A | 4.350% | 3/25/25 | 3,360 | 3,304 | |
4 | Honda Auto Receivables Owner Trust Class A3 Series 2021-3 | 0.410% | 11/18/25 | 22,030 | 21,112 | |
4 | Honda Auto Receivables Owner Trust Class A3 Series 2021-4 | 1.140% | 6/21/28 | 8,630 | 8,079 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2021-2 | 0.550% | 8/16/27 | 12,340 | 11,539 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2021-3 | 0.600% | 12/20/27 | 13,000 | 12,071 | |
4,7 | HPEFS Equipment Trust Class A3 Series 2022-2A | 3.760% | 9/20/29 | 7,490 | 7,471 | |
4,7 | HPEFS Equipment Trust Class B Series 2020-1A | 1.890% | 2/20/30 | 6,396 | 6,387 | |
4,7 | HPEFS Equipment Trust Class C Series 2019-1A | 2.490% | 9/20/29 | 392 | 392 | |
4,7 | HPEFS Equipment Trust Class D Series 2019-1A | 2.720% | 9/20/29 | 1,700 | 1,699 | |
4,7 | Hudson Yards Mortgage Trust Class A Series 2019-30HY | 3.228% | 7/10/39 | 11,165 | 10,422 | |
4,7 | Hudsons Bay Simon JV Trust Class A7 Series 2015-HB7 | 3.914% | 8/5/34 | 14,750 | 13,875 | |
4,7 | Hyundai Auto Lease Securitization Trust Class A4 Series 2021-B | 0.380% | 8/15/25 | 6,950 | 6,669 | |
4,7 | Hyundai Auto Lease Securitization Trust Class B Series 2021-C | 0.760% | 2/17/26 | 34,970 | 33,284 | |
4 | Hyundai Auto Receivables Trust Class A3 Series 2021-B | 0.380% | 1/15/26 | 45,470 | 43,730 | |
4 | Hyundai Auto Receivables Trust Class A3 Series 2021-C | 0.740% | 5/15/26 | 8,200 | 7,852 | |
4 | Hyundai Auto Receivables Trust Class A3 Series 2022-B | 3.720% | 11/16/26 | 28,990 | 29,106 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2021-B | 0.600% | 2/16/27 | 21,480 | 20,035 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2021-C | 1.030% | 12/15/27 | 13,120 | 12,225 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2022-B | 3.800% | 8/15/28 | 15,460 | 15,594 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-A | 2.940% | 5/15/25 | 5,655 | 5,627 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-B | 2.210% | 4/15/25 | 3,600 | 3,537 | |
4 | Hyundai Auto Receivables Trust Class B Series 2020-C | 0.810% | 11/16/26 | 8,220 | 7,698 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Hyundai Auto Receivables Trust Class B Series 2021-A | 1.090% | 5/17/27 | 8,510 | 7,929 | |
4 | Hyundai Auto Receivables Trust Class B Series 2021-B | 0.910% | 2/16/27 | 7,900 | 7,270 | |
4 | Hyundai Auto Receivables Trust Class C Series 2020-B | 1.600% | 12/15/26 | 4,840 | 4,618 | |
4 | Hyundai Auto Receivables Trust Class C Series 2020-C | 1.080% | 12/15/27 | 7,250 | 6,752 | |
4 | Hyundai Auto Receivables Trust Class C Series 2021-A | 1.330% | 11/15/27 | 12,395 | 11,486 | |
4 | Hyundai Auto Receivables Trust Class C Series 2021-B | 1.120% | 2/15/28 | 8,400 | 7,683 | |
4,7,8 | Invitation Homes Trust Class A Series 2018-SFR1, 1M USD LIBOR + 0.700% | 2.856% | 3/17/37 | 34,543 | 33,983 | |
4,7,8 | Invitation Homes Trust Class B Series 2018-SFR1, 1M USD LIBOR + 0.950% | 3.106% | 3/17/37 | 9,889 | 9,791 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2013-C16 | 3.881% | 12/15/46 | 1,392 | 1,379 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C13 | 3.994% | 1/15/46 | 3,815 | 3,809 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C16 | 4.166% | 12/15/46 | 1,680 | 1,673 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A5 Series 2013-LC11 | 2.960% | 4/15/46 | 3,586 | 3,551 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class AS Series 2013-C16 | 4.517% | 12/15/46 | 14,600 | 14,550 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class B Series 2013-C16 | 4.939% | 12/15/46 | 21,150 | 21,132 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C13 | 4.076% | 1/15/46 | 5,450 | 5,365 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C16 | 5.004% | 12/15/46 | 9,770 | 9,657 | |
4,7,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2 | 5.672% | 11/15/43 | 2,366 | 2,131 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A3 Series 2015-C31 | 3.801% | 8/15/48 | 19,404 | 19,269 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C14 | 4.133% | 8/15/46 | 10,455 | 10,398 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C17 | 4.199% | 1/15/47 | 1,860 | 1,860 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C19 | 3.997% | 4/15/47 | 1,975 | 1,968 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C21 | 3.493% | 8/15/47 | 3,417 | 3,377 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C27 | 3.179% | 2/15/48 | 19,090 | 18,649 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C32 | 3.329% | 11/15/48 | 3,850 | 3,806 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C33 | 3.770% | 12/15/48 | 24,417 | 24,336 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C12 | 3.664% | 7/15/45 | 2,866 | 2,851 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C15 | 4.131% | 11/15/45 | 2,900 | 2,896 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2014-C24 | 3.639% | 11/15/47 | 10,982 | 10,876 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2015-C32 | 3.598% | 11/15/48 | 15,342 | 15,062 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2013-C12 | 4.034% | 7/15/45 | 7,520 | 7,460 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2014-C18 | 4.439% | 2/15/47 | 12,950 | 12,867 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2015-C30 | 4.226% | 7/15/48 | 15,901 | 15,769 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class B Series 2014-C18 | 4.788% | 2/15/47 | 13,200 | 12,971 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class C Series 2014-C18 | 4.788% | 2/15/47 | 8,880 | 8,355 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A4 Series 2017-JP6 | 3.224% | 7/15/50 | 6,030 | 5,875 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP5 | 3.723% | 3/15/50 | 5,970 | 5,929 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP6 | 3.490% | 7/15/50 | 2,522 | 2,481 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP7 | 3.454% | 9/15/50 | 2,500 | 2,456 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A3 Series 2016-C4 | 3.141% | 12/15/49 | 6,430 | 6,223 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8 | 4.211% | 6/15/51 | 4,000 | 4,040 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7 | 3.409% | 10/15/50 | 5,693 | 5,576 | |
4,8 | JPMDB Commercial Mortgage Securities Trust Class AS Series 2017-C7 | 3.713% | 10/15/50 | 8,556 | 8,285 | |
4,7,8 | Lanark Master Issuer plc Class 1A Series 2020-1A | 2.277% | 12/22/69 | 9,405 | 9,317 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2B Series 2017-C | 2.810% | 11/25/42 | 2,206 | 2,193 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B | 3.540% | 5/26/43 | 3,046 | 3,038 | |
4,7 | Master Credit Card Trust Class A Series 2021-1A | 0.530% | 11/21/25 | 44,340 | 42,148 | |
4,7 | Master Credit Card Trust II Class A2 Series 2022-1 | 1.660% | 7/21/26 | 16,300 | 15,546 | |
4,8 | MASTR Adjustable Rate Mortgages Trust Class 5A1 Series 2004-3 | 2.091% | 4/25/34 | 30 | 29 | |
4 | Mercedes-Benz Auto Lease Trust Class A4 Series 2021-B | 0.510% | 3/15/27 | 13,030 | 12,385 | |
4,8 | Merrill Lynch Mortgage Investors Trust MLMI Class 2A Series 2003-A4 | 3.004% | 7/25/33 | 206 | 197 | |
4,8 | Merrill Lynch Mortgage Investors Trust MLMI Class 2A2 Series 2003-A2, 6M USD LIBOR + 1.500% | 4.447% | 2/25/33 | 295 | 283 | |
4,7 | MMAF Equipment Finance LLC Class A4 Series 2018-A | 3.390% | 1/10/25 | 3,424 | 3,422 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2018-A | 3.610% | 3/10/42 | 3,580 | 3,549 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | MMAF Equipment Finance LLC Class A5 Series 2019-A | 3.080% | 11/12/41 | 6,400 | 6,282 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2013-C11 | 3.960% | 8/15/46 | 8,093 | 8,048 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C23 | 3.451% | 7/15/50 | 9,426 | 9,260 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2012-C6 | 2.858% | 11/15/45 | 1,181 | 1,178 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C10 | 4.073% | 7/15/46 | 28,493 | 28,360 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C11 | 4.150% | 8/15/46 | 24,216 | 24,077 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C12 | 4.259% | 10/15/46 | 3,830 | 3,827 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C13 | 4.039% | 11/15/46 | 8,300 | 8,264 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C7 | 2.918% | 2/15/46 | 6,400 | 6,352 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C9 | 3.102% | 5/15/46 | 4,025 | 3,991 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C18 | 3.923% | 10/15/47 | 13,400 | 13,368 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C23 | 3.719% | 7/15/50 | 22,328 | 22,194 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C29 | 3.325% | 5/15/49 | 9,789 | 9,591 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C32 | 3.720% | 12/15/49 | 20,049 | 19,821 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2017-C34 | 3.536% | 11/15/52 | 2,475 | 2,438 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2015-C25 | 3.635% | 10/15/48 | 5,857 | 5,813 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2013-C7 | 3.214% | 2/15/46 | 2,940 | 2,915 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C14 | 4.384% | 2/15/47 | 17,500 | 17,428 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C16 | 4.094% | 6/15/47 | 9,540 | 9,428 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C17 | 4.011% | 8/15/47 | 7,460 | 7,365 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class B Series 2014-C16 | 4.318% | 6/15/47 | 19,220 | 18,831 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10 | 4.073% | 7/15/46 | 3,372 | 3,082 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15 | 4.891% | 4/15/47 | 1,895 | 1,881 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C16 | 4.751% | 6/15/47 | 12,300 | 11,578 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2016-C29 | 4.728% | 5/15/49 | 7,019 | 6,668 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Morgan Stanley Capital I Class A4 Series 2017-HR2 | 3.587% | 12/15/50 | 6,765 | 6,661 | |
4 | Morgan Stanley Capital I Class ASB Series 2017-HR2 | 3.509% | 12/15/50 | 5,420 | 5,367 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2014-150E | 3.912% | 9/9/32 | 15,955 | 15,469 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2015-420 | 3.727% | 10/12/50 | 14,870 | 14,721 | |
4 | Morgan Stanley Capital I Trust Class A3 Series 2016-BNK2 | 2.791% | 11/15/49 | 9,934 | 9,528 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2015-UBS8 | 3.809% | 12/15/48 | 41,942 | 41,703 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-BNK2 | 3.049% | 11/15/49 | 11,960 | 11,580 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-UB11 | 2.782% | 8/15/49 | 5,621 | 5,371 | |
4,8 | Morgan Stanley Capital I Trust Class C Series 2015-UBS8 | 4.576% | 12/15/48 | 5,740 | 5,185 | |
4,8 | Morgan Stanley Mortgage Loan Trust Class 5A1 Series 2006-8AR | 2.552% | 6/25/36 | 2,005 | 1,946 | |
4,7 | MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV | 3.277% | 10/15/30 | 15,230 | 15,033 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2017-A | 2.880% | 12/16/58 | 4,106 | 4,067 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2018-BA | 3.610% | 12/15/59 | 6,193 | 6,120 | |
4,7 | Navient Private Education Refi Loan Trust Class A2A Series 2018-DA | 4.000% | 12/15/59 | 23,317 | 23,113 | |
4,7,8 | Navient Student Loan Trust Class A2 Series 2016-6A, 1M USD LIBOR + 0.750% | 3.009% | 3/25/66 | 8,824 | 8,810 | |
4,7 | Navient Student Loan Trust Class A2A Series 2019-BA | 3.390% | 12/15/59 | 12,229 | 12,009 | |
4,7 | One Bryant Park Trust Class A Series 2019-OBP | 2.516% | 9/15/54 | 6,175 | 5,481 | |
4,7 | Palisades Center Trust Class A Series 2016-PLSD | 2.713% | 4/13/33 | 12,880 | 11,844 | |
4,7,8 | Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% | 3.036% | 1/16/60 | 2,178 | 2,176 | |
4,7,8 | Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% | 3.126% | 6/20/60 | 1,449 | 1,443 | |
4,7,8 | Pepper Residential Securities Trust No. 23 Class A1U Series 23A, 1M USD LIBOR + 0.950% | 3.106% | 8/18/60 | 1,262 | 1,255 | |
4,7,8 | PHEAA Student Loan Trust Class A Series 2016-2A, 1M USD LIBOR + 0.950% | 3.209% | 11/25/65 | 10,579 | 10,469 | |
4,7 | Progress Residential Trust Class A Series 2022-SFR3 | 3.200% | 4/17/39 | 3,690 | 3,527 | |
4,7 | Progress Residential Trust Class A Series 2022-SFR5 | 4.451% | 6/17/39 | 3,070 | 3,095 | |
4,7 | Progress Residential Trust Class B Series 2022-SFR3 | 3.600% | 4/17/39 | 1,590 | 1,521 | |
4,7 | Progress Residential Trust Class B Series 2022-SFR5 | 4.896% | 6/17/39 | 2,850 | 2,895 | |
4,7,8 | RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% | 2.648% | 12/5/59 | 3,197 | 3,192 | |
4,7,8 | RESIMAC MBS Trust Class A1A Series 2018-2A, 1M USD LIBOR + 0.850% | 2.722% | 4/10/50 | 646 | 646 | |
4,7,8 | RESIMAC Premier Class A1 Series 2018-1A, 1M USD LIBOR + 0.800% | 2.672% | 11/10/49 | 1,363 | 1,363 | |
4,8 | RFMSI Series Trust Class 2A1 Series 2006-SA3 | 4.639% | 9/25/36 | 2,231 | 1,330 | |
4,8 | RFMSI Trust Class 2A1 Series 2006-SA2 | 4.764% | 8/25/36 | 6,077 | 4,412 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Santander Drive Auto Receivables Trust Class A3 Series 2022-3 | 3.400% | 12/15/26 | 7,310 | 7,244 | |
4 | Santander Drive Auto Receivables Trust Class B Series 2022-2 | 3.440% | 9/15/27 | 24,290 | 23,731 | |
4 | Santander Drive Auto Receivables Trust Class B Series 2022-3 | 4.130% | 8/16/27 | 11,820 | 11,774 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2022-2 | 3.760% | 7/16/29 | 13,030 | 12,706 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2022-3 | 4.490% | 8/15/29 | 20,615 | 20,497 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-3 | 4.070% | 8/15/24 | 8,826 | 8,823 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-4 | 3.980% | 12/15/25 | 11,948 | 11,966 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-5 | 4.190% | 12/16/24 | 5,418 | 5,418 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2020-2 | 2.220% | 9/15/26 | 25,830 | 25,220 | |
4,7 | Santander Retail Auto Lease Trust Class A3 Series 2021-B | 0.510% | 8/20/24 | 36,430 | 35,119 | |
4,7 | Santander Retail Auto Lease Trust Class A4 Series 2021-B | 0.540% | 6/20/25 | 8,960 | 8,529 | |
4,7 | Santander Retail Auto Lease Trust Class A4 Series 2021-C | 0.590% | 3/20/26 | 9,170 | 8,728 | |
4,7 | Santander Retail Auto Lease Trust Class B Series 2022-B | 3.850% | 3/22/27 | 6,030 | 6,021 | |
4,7 | Santander Retail Auto Lease Trust Class C Series 2020-B | 1.180% | 12/20/24 | 9,190 | 8,790 | |
4,7 | Santander Retail Auto Lease Trust Class C Series 2021-C | ��1.110% | 3/20/26 | 14,090 | 13,304 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2020-A | 2.520% | 11/20/24 | 15,340 | 15,125 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2020-B | 1.980% | 10/20/25 | 17,540 | 16,894 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2021-B | 1.410% | 11/20/25 | 14,530 | 13,750 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2016-A | 2.700% | 5/15/31 | 3,483 | 3,421 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2017-B | 2.820% | 10/15/35 | 8,447 | 8,268 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-B | 3.600% | 1/15/37 | 11,533 | 11,387 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-C | 3.630% | 11/15/35 | 13,784 | 13,607 | |
4,7,8 | SoFi Professional Loan Program LLC Class A1 Series 2016-D, 1M USD LIBOR + 0.950% | 3.209% | 1/25/39 | 419 | 417 | |
4,7,8 | SoFi Professional Loan Program LLC Class A1 Series 2017-C, 1M USD LIBOR + 0.600% | 2.859% | 7/25/40 | 177 | 176 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2016-C | 2.360% | 12/27/32 | 148 | 148 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2016-D | 2.340% | 4/25/33 | 915 | 905 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2017-A | 2.400% | 3/26/40 | 145 | 144 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2017-E | 2.720% | 11/26/40 | 1,849 | 1,841 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2018-A | 2.950% | 2/25/42 | 4,625 | 4,545 | |
4,7 | SoFi Professional Loan Program LLC Class A2BSeries 2016-B | 2.740% | 10/25/32 | 318 | 318 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-B | 2.740% | 5/25/40 | 1,251 | 1,242 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-D | 2.650% | 9/25/40 | 2,743 | 2,684 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-F | 2.840% | 1/25/41 | 3,113 | 3,060 | |
4 | Synchrony Card Issuance Trust Class A Series 2022-A2 | 3.860% | 7/17/28 | 26,580 | 26,756 | |
4,7 | Tesla Auto Lease Trust Class A3 Series 2021-B | 0.600% | 9/22/25 | 15,250 | 14,503 | |
4,7 | Tesla Auto Lease Trust Class A4 Series 2020-A | 0.780% | 12/20/23 | 3,620 | 3,565 | |
4,7 | Tesla Auto Lease Trust Class A4 Series 2021-B | 0.630% | 9/22/25 | 7,820 | 7,402 | |
4,7 | Tesla Auto Lease Trust Class B Series 2021-B | 0.910% | 9/22/25 | 11,660 | 11,008 | |
4,7 | Tesla Auto Lease Trust Class C Series 2020-A | 1.680% | 2/20/24 | 3,000 | 2,937 | |
4,7 | Tesla Auto Lease Trust Class C Series 2021-B | 1.120% | 9/22/25 | 7,770 | 7,272 | |
4,7 | Tidewater Auto Receivables Trust Class D Series 2018-AA | 4.300% | 11/15/24 | 712 | 712 | |
4,7 | TMSQ Mortgage Trust Class A Series 2014-1500 | 3.680% | 10/10/36 | 24,260 | 24,048 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2019-1A | 2.560% | 11/25/31 | 2,640 | 2,594 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2020-1A | 1.350% | 5/25/33 | 17,410 | 16,313 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2021-1A | 1.070% | 2/27/34 | 40,160 | 36,682 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2022-1A | 3.820% | 4/25/35 | 20,410 | 20,441 | |
4 | Toyota Auto Receivables Owner Trust Class A3 Series 2021-C | 0.720% | 1/15/27 | 19,640 | 18,057 | |
4 | Toyota Auto Receivables Owner Trust Class A3 Series 2021-D | 0.710% | 4/15/26 | 14,820 | 14,176 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2021-D | 1.020% | 3/15/27 | 11,100 | 10,273 | |
4,7 | Toyota Lease Owner Trust Class A4 Series 2021-A | 0.500% | 8/20/25 | 6,310 | 6,096 | |
4,7 | Trinity Rail Leasing LLC Class A2 Series 2018-1A | 4.620% | 6/17/48 | 21,060 | 20,624 | |
4 | UBS Commercial Mortgage Trust Class A4 Series 2017-C7 | 3.679% | 12/15/50 | 5,515 | 5,442 | |
4 | UBS Commercial Mortgage Trust Class ASB Series 2019-C16 | 3.460% | 4/15/52 | 5,849 | 5,757 | |
4,7 | UBS-BAMLL Trust Class A Series 2012-WRM | 3.663% | 6/10/30 | 793 | 760 | |
4 | UBS-Barclays Commercial Mortgage Trust Class A4 Series 2013-C6 | 3.244% | 4/10/46 | 7,560 | 7,508 | |
4 | UBS-Barclays Commercial Mortgage Trust Class AS Series 2013-C6 | 3.469% | 4/10/46 | 2,304 | 2,285 | |
4 | Verizon Master Trust Class A Series 2021-1 | 0.500% | 5/20/27 | 48,170 | 45,713 | |
4 | Verizon Master Trust Class A Series 2021-2 | 0.990% | 4/20/28 | 18,260 | 17,323 | |
4 | Verizon Master Trust Class B Series 2021-1 | 0.690% | 5/20/27 | 22,770 | 21,494 | |
4 | Verizon Master Trust Class B Series 2021-2 | 1.280% | 4/20/28 | 19,430 | 18,398 | |
4 | Verizon Master Trust Class C Series 2021-1 | 0.890% | 5/20/27 | 12,360 | 11,684 | |
4 | Verizon Owner Trust Class B Series 2020-B | 0.680% | 2/20/25 | 18,050 | 17,388 | |
4,8 | WaMu Mortgage Pass-Through Certificates Class 1A7 Series 2003-AR9 Trust | 2.537% | 9/25/33 | 361 | 372 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,8 | WaMu Mortgage Pass-Through Certificates Class A Series 2002-AR18 Trust | 2.594% | 1/25/33 | 59 | 63 | |
4,8 | WaMu Mortgage Pass-Through Certificates Class A7 Series 2003-AR7 Trust | 3.805% | 8/25/33 | 250 | 244 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2015-C30 | 3.411% | 9/15/58 | 26,236 | 25,782 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2016-BNK1 | 2.652% | 8/15/49 | 8,255 | 7,884 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2017-C40 | 3.317% | 10/15/50 | 6,950 | 6,749 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2013-LC12 | 4.218% | 7/15/46 | 4,716 | 4,698 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C30 | 3.664% | 9/15/58 | 24,860 | 24,676 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2016-C37 | 3.525% | 12/15/49 | 7,343 | 7,217 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C39 | 3.157% | 9/15/50 | 5,750 | 5,589 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40 | 3.581% | 10/15/50 | 2,495 | 2,456 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1 | 3.631% | 1/15/60 | 2,479 | 2,450 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46 | 4.152% | 8/15/51 | 3,435 | 3,473 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47 | 4.442% | 9/15/61 | 3,040 | 3,122 | |
4 | Wells Fargo Commercial Mortgage Trust Class A5 Series 2014-LC16 | 3.817% | 8/15/50 | 33,030 | 32,695 | |
4 | Wells Fargo Commercial Mortgage Trust Class A5 Series 2018-C44 | 4.212% | 5/15/51 | 11,100 | 11,278 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class AS Series 2013-LC12 | 4.298% | 7/15/46 | 4,906 | 4,849 | |
4 | Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16 | 4.020% | 8/15/50 | 7,100 | 6,990 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-C30 | 4.067% | 9/15/58 | 17,222 | 16,976 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-LC22 | 4.207% | 9/15/58 | 8,550 | 8,457 | |
4 | Wells Fargo Commercial Mortgage Trust Class ASB Series 2019-C49 | 3.933% | 3/15/52 | 7,894 | 7,873 | |
4 | Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16 | 4.322% | 8/15/50 | 6,550 | 6,041 | |
4 | Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16 | 4.458% | 8/15/50 | 6,830 | 4,209 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class C Series 2015-LC22 | 4.555% | 9/15/58 | 14,300 | 13,634 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43 | 4.514% | 3/15/51 | 5,973 | 5,663 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,8 | Wells Fargo Mortgage Backed Securities Trust Class 2A1 Series 2006-AR14 | 2.609% | 10/25/36 | 2,464 | 2,439 | |
4,7,8 | WFLD Mortgage Trust Class A Series 2014-MONT | 3.755% | 8/10/31 | 35,485 | 35,473 | |
4,8 | WFRBS Commercial Mortgage Trust Class A4 Series 2013-C15 | 4.153% | 8/15/46 | 14,980 | 14,954 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2013-C17 | 4.023% | 12/15/46 | 9,770 | 9,737 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-C19 | 3.829% | 3/15/47 | 19,900 | 19,765 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-C21 | 3.410% | 8/15/47 | 2,406 | 2,362 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-C23 | 3.650% | 10/15/57 | 10,683 | 10,617 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14 | 3.766% | 3/15/47 | 2,032 | 2,020 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2013-C16 | 4.415% | 9/15/46 | 14,650 | 14,621 | |
4,8 | WFRBS Commercial Mortgage Trust Class A5 Series 2013-C18 | 4.162% | 12/15/46 | 8,730 | 8,725 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C21 | 3.678% | 8/15/47 | 10,000 | 9,922 | |
4 | WFRBS Commercial Mortgage Trust Class A5 Series 2014-C23 | 3.917% | 10/15/57 | 14,702 | 14,672 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2012-C9 | 3.388% | 11/15/45 | 2,860 | 2,855 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2013-C13 | 3.345% | 5/15/45 | 2,230 | 2,206 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2014-C21 | 3.891% | 8/15/47 | 7,130 | 6,944 | |
4,8 | WFRBS Commercial Mortgage Trust Class B Series 2013-C18 | 4.865% | 12/15/46 | 5,775 | 5,724 | |
4 | WFRBS Commercial Mortgage Trust Class B Series 2014-C20 | 4.378% | 5/15/47 | 11,110 | 10,901 | |
4,8 | WFRBS Commercial Mortgage Trust Class C Series 2014-C20 | 4.513% | 5/15/47 | 4,500 | 4,131 | |
4 | World Omni Auto Receivables Trust Class A3 Series 2021-C | 0.440% | 8/17/26 | 22,010 | 21,173 | |
4 | World Omni Auto Receivables Trust Class A4 Series 2021-D | 1.100% | 11/15/27 | 13,110 | 12,230 | |
4 | World Omni Auto Receivables Trust Class B Series 2019-B | 2.860% | 6/16/25 | 5,210 | 5,188 | |
4 | World Omni Auto Receivables Trust Class B Series 2020-B | 1.220% | 3/16/26 | 4,350 | 4,156 | |
4 | World Omni Auto Receivables Trust Class B Series 2020-C | 0.870% | 10/15/26 | 8,950 | 8,460 | |
4 | World Omni Auto Receivables Trust Class B Series 2021-B | 1.040% | 6/15/27 | 4,360 | 4,063 | |
4 | World Omni Auto Receivables Trust Class B Series 2021-C | 0.840% | 9/15/27 | 5,360 | 4,916 | |
4 | World Omni Auto Receivables Trust Class C Series 2020-C | 1.390% | 5/17/27 | 3,900 | 3,676 | |
4 | World Omni Auto Receivables Trust Class C Series 2021-B | 1.290% | 12/15/27 | 4,270 | 3,981 | |
4 | World Omni Auto Receivables Trust Class C Series 2021-C | 1.060% | 4/17/28 | 2,420 | 2,218 | |
4 | World Omni Auto Receivables Trust Class C Series 2021-D | 1.720% | 6/15/28 | 4,640 | 4,321 | |
4 | World Omni Automobile Lease Securitization Trust Class A3 Series 2021-A | 0.420% | 8/15/24 | 25,540 | 24,690 | |
4 | World Omni Automobile Lease Securitization Trust Class A4 Series 2021-A | 0.500% | 11/16/26 | 11,150 | 10,639 | |
4 | World Omni Automobile Lease Securitization Trust Class B Series 2022-A | 3.670% | 6/15/27 | 4,970 | 4,929 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $4,636,742) | 4,474,778 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Corporate Bonds (76.9%) | ||||||
Communications (5.3%) | ||||||
Activision Blizzard Inc. | 3.400% | 9/15/26 | 7,819 | 7,846 | ||
AT&T Inc. | 0.900% | 3/25/24 | 217,824 | 209,175 | ||
AT&T Inc. | 1.700% | 3/25/26 | 210,670 | 196,178 | ||
AT&T Inc. | 2.300% | 6/1/27 | 57,467 | 53,858 | ||
9 | Booking Holdings Inc. | 0.100% | 3/8/25 | 23,876 | 23,544 | |
Booking Holdings Inc. | 3.600% | 6/1/26 | 16,000 | 16,167 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.500% | 2/1/24 | 80,277 | 80,821 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.908% | 7/23/25 | 266,302 | 269,731 | ||
9 | CK Hutchison Group Telecom Finance SA | 0.750% | 4/17/26 | 1,000 | 975 | |
Comcast Corp. | 3.375% | 8/15/25 | 94,899 | 94,983 | ||
Comcast Corp. | 3.950% | 10/15/25 | 72,999 | 74,263 | ||
Comcast Corp. | 3.150% | 3/1/26 | 52,555 | 52,274 | ||
9 | Comcast Corp. | 0.010% | 9/14/26 | 48,105 | 46,101 | |
Comcast Corp. | 2.350% | 1/15/27 | 51,581 | 49,383 | ||
7 | Cox Communications Inc. | 3.150% | 8/15/24 | 9,327 | 9,145 | |
7 | CSC Holdings LLC | 5.375% | 2/1/28 | 4,745 | 4,506 | |
7 | CSC Holdings LLC | 6.500% | 2/1/29 | 3,000 | 2,899 | |
7 | CSC Holdings LLC | 4.625% | 12/1/30 | 4,395 | 3,341 | |
7 | Deutsche Telekom International Finance BV | 2.485% | 9/19/23 | 15,700 | 15,531 | |
7 | Deutsche Telekom International Finance BV | 3.600% | 1/19/27 | 10,810 | 10,805 | |
7 | Directv Financing LLC / Directv Financing Co-Obligor Inc. | 5.875% | 8/15/27 | 1,523 | 1,423 | |
Discovery Communications LLC | 2.950% | 3/20/23 | 55,062 | 54,894 | ||
Discovery Communications LLC | 3.800% | 3/13/24 | 62,824 | 62,602 | ||
Discovery Communications LLC | 3.900% | 11/15/24 | 28,005 | 27,715 | ||
Discovery Communications LLC | 3.450% | 3/15/25 | 5,993 | 5,854 | ||
Discovery Communications LLC | 3.950% | 6/15/25 | 6,790 | 6,731 | ||
Discovery Communications LLC | 4.900% | 3/11/26 | 77,970 | 79,572 | ||
7 | DISH DBS Corp. | 5.250% | 12/1/26 | 2,413 | 2,067 | |
Expedia Group Inc. | 5.000% | 2/15/26 | 15,700 | 15,876 | ||
Fox Corp. | 4.030% | 1/25/24 | 46,216 | 46,411 | ||
Fox Corp. | 3.050% | 4/7/25 | 61,451 | 60,130 | ||
7 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 988 | 973 | |
7 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 5,208 | 4,892 | |
10 | Global Switch Holdings Ltd. | 4.375% | 12/13/22 | 19,190 | 23,446 | |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 6,672 | 6,679 | ||
Level 3 Financing Inc. | 5.250% | 3/15/26 | 1,523 | 1,510 | ||
7 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 1,640 | 1,505 | |
7 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 1,490 | 1,306 | |
7 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 2,350 | 1,970 | |
7 | Magallanes Inc. | 3.428% | 3/15/24 | 93,475 | 92,030 | |
7 | Magallanes Inc. | 3.638% | 3/15/25 | 77,840 | 76,301 | |
7 | Magallanes Inc. | 3.755% | 3/15/27 | 240,981 | 231,648 | |
Netflix Inc. | 5.875% | 2/15/25 | 1,455 | 1,510 | ||
7 | Netflix Inc. | 3.625% | 6/15/25 | 12,468 | 12,268 | |
Netflix Inc. | 4.375% | 11/15/26 | 7,179 | 7,183 | ||
Netflix Inc. | 4.875% | 4/15/28 | 10,180 | 10,097 | ||
Netflix Inc. | 5.875% | 11/15/28 | 354 | 365 | ||
7 | Nexstar Media Inc. | 5.625% | 7/15/27 | 3,875 | 3,876 | |
7 | Nexstar Media Inc. | 4.750% | 11/1/28 | 2,898 | 2,700 | |
7 | NTT Finance Corp. | 0.583% | 3/1/24 | 45,780 | 43,705 | |
7 | NTT Finance Corp. | 1.162% | 4/3/26 | 87,855 | 80,365 | |
Omnicom Group Inc. / Omnicom Capital Inc. | 3.600% | 4/15/26 | 21,539 | 21,523 | ||
Ooredoo International Finance Ltd. | 3.250% | 2/21/23 | 16,700 | 16,687 | ||
Paramount Global Inc. | 4.750% | 5/15/25 | 57,148 | 58,177 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Paramount Global Inc. | 4.000% | 1/15/26 | 10,167 | 10,176 | ||
7 | Rogers Communications Inc. | 3.200% | 3/15/27 | 38,720 | 37,836 | |
7 | Sirius XM Radio Inc. | 3.125% | 9/1/26 | 1,215 | 1,144 | |
7 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 700 | 694 | |
7 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 825 | 766 | |
7 | Sky Ltd. | 3.750% | 9/16/24 | 48,460 | 48,592 | |
9 | Sky Ltd. | 2.500% | 9/15/26 | 22,015 | 23,299 | |
Sprint Corp. | 7.125% | 6/15/24 | 10,496 | 10,993 | ||
Sprint Corp. | 7.625% | 3/1/26 | 3,640 | 3,992 | ||
Take-Two Interactive Software Inc. | 3.300% | 3/28/24 | 23,520 | 23,430 | ||
Take-Two Interactive Software Inc. | 3.550% | 4/14/25 | 24,260 | 24,088 | ||
Take-Two Interactive Software Inc. | 3.700% | 4/14/27 | 29,100 | 28,832 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 8,730 | 8,993 | ||
T-Mobile USA Inc. | 3.500% | 4/15/25 | 308,141 | 304,744 | ||
T-Mobile USA Inc. | 1.500% | 2/15/26 | 54,009 | 49,846 | ||
T-Mobile USA Inc. | 2.250% | 2/15/26 | 14,835 | 13,849 | ||
T-Mobile USA Inc. | 3.750% | 4/15/27 | 253 | 249 | ||
TWDC Enterprises 18 Corp. | 3.000% | 2/13/26 | 55 | 55 | ||
VeriSign Inc. | 5.250% | 4/1/25 | 28,080 | 28,603 | ||
Verizon Communications Inc. | 0.850% | 11/20/25 | 38,220 | 35,233 | ||
Verizon Communications Inc. | 1.450% | 3/20/26 | 118,945 | 111,330 | ||
Verizon Communications Inc. | 2.625% | 8/15/26 | 19,430 | 18,845 | ||
Verizon Communications Inc. | 4.125% | 3/16/27 | 43,582 | 44,590 | ||
Verizon Communications Inc. | 3.000% | 3/22/27 | 55,195 | 53,843 | ||
Verizon Communications Inc. | 2.100% | 3/22/28 | 43,312 | 39,693 | ||
7 | Videotron Ltd. | 5.125% | 4/15/27 | 1,875 | 1,819 | |
Vodafone Group plc | 3.750% | 1/16/24 | 132,231 | 133,039 | ||
Vodafone Group plc | 4.125% | 5/30/25 | 22,338 | 22,612 | ||
Walt Disney Co. | 3.350% | 3/24/25 | 65,463 | 65,701 | ||
Walt Disney Co. | 3.700% | 10/15/25 | 4,006 | 4,048 | ||
Walt Disney Co. | 1.750% | 1/13/26 | 51,005 | 48,492 | ||
Walt Disney Co. | 3.375% | 11/15/26 | 43,428 | 43,281 | ||
7 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 5,320 | 4,660 | |
3,532,884 | ||||||
Consumer Discretionary (5.5%) | ||||||
7 | 1011778 BC ULC / New Red Finance Inc. | 5.750% | 4/15/25 | 761 | 770 | |
7 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 3,456 | 3,253 | |
7 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 1,974 | 1,834 | |
7 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 6,349 | 5,911 | |
American Honda Finance Corp. | 1.950% | 5/10/23 | 26,550 | 26,307 | ||
American Honda Finance Corp. | 0.875% | 7/7/23 | 31,700 | 31,001 | ||
American Honda Finance Corp. | 3.625% | 10/10/23 | 35,000 | 35,193 | ||
American Honda Finance Corp. | 0.550% | 7/12/24 | 96,050 | 91,093 | ||
American Honda Finance Corp. | 0.750% | 8/9/24 | 14,895 | 14,168 | ||
American Honda Finance Corp. | 2.150% | 9/10/24 | 25,448 | 24,837 | ||
9 | American Honda Finance Corp. | 1.950% | 10/18/24 | 14,575 | 15,098 | |
American Honda Finance Corp. | 1.200% | 7/8/25 | 47,476 | 44,612 | ||
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 7,269 | 6,735 | ||
AutoZone Inc. | 3.625% | 4/15/25 | 50,197 | 50,173 | ||
AutoZone Inc. | 3.750% | 6/1/27 | 15,500 | 15,484 | ||
7 | BMW US Capital LLC | 0.800% | 4/1/24 | 10,125 | 9,711 | |
7 | BMW US Capital LLC | 1.250% | 8/12/26 | 24,500 | 22,296 | |
7 | BMW US Capital LLC | 3.450% | 4/1/27 | 9,875 | 9,772 | |
Brunswick Corp. | 0.850% | 8/18/24 | 34,250 | 32,002 | ||
7 | Caesars Entertainment Inc. | 6.250% | 7/1/25 | 2,420 | 2,417 | |
7 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 3,065 | 3,065 | |
7 | Carnival Corp. | 4.000% | 8/1/28 | 3,690 | 3,216 | |
7 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP | 5.500% | 5/1/25 | 11,865 | 11,951 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Churchill Downs Inc. | 5.500% | 4/1/27 | 6,559 | 6,531 | |
7 | Churchill Downs Inc. | 4.750% | 1/15/28 | 2,831 | 2,685 | |
7 | Clarios Global LP | 6.750% | 5/15/25 | 2,269 | 2,278 | |
7 | Clarios Global LP / Clarios US Finance Co. | 6.250% | 5/15/26 | 1,620 | 1,635 | |
7 | Daimler Finance North America LLC | 3.650% | 2/22/24 | 26,000 | 25,934 | |
7 | Daimler Finance North America LLC | 0.750% | 3/1/24 | 122,615 | 117,313 | |
7 | Daimler Finance North America LLC | 2.700% | 6/14/24 | 38,000 | 37,345 | |
7 | Daimler Finance North America LLC | 1.450% | 3/2/26 | 63,000 | 58,203 | |
DR Horton Inc. | 2.600% | 10/15/25 | 20,559 | 19,640 | ||
DR Horton Inc. | 1.300% | 10/15/26 | 17,480 | 15,458 | ||
eBay Inc. | 1.400% | 5/10/26 | 28,500 | 26,257 | ||
7 | ERAC USA Finance LLC | 2.700% | 11/1/23 | 54,880 | 54,124 | |
7 | ERAC USA Finance LLC | 3.850% | 11/15/24 | 37,894 | 37,608 | |
7 | ERAC USA Finance LLC | 3.800% | 11/1/25 | 18,585 | 18,423 | |
7 | ERAC USA Finance LLC | 3.300% | 12/1/26 | 2,965 | 2,878 | |
Ford Motor Credit Co. LLC | 5.125% | 6/16/25 | 2,745 | 2,736 | ||
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 1,195 | 1,170 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 9,395 | 8,964 | ||
Ford Motor Credit Co. LLC | 2.700% | 8/10/26 | 6,095 | 5,545 | ||
Ford Motor Credit Co. LLC | 4.950% | 5/28/27 | 16,975 | 16,677 | ||
Ford Motor Credit Co. LLC | 4.125% | 8/17/27 | 6,703 | 6,351 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 993 | 911 | ||
General Motors Co. | 4.875% | 10/2/23 | 32,904 | 33,294 | ||
General Motors Co. | 5.400% | 10/2/23 | 55,240 | 56,210 | ||
General Motors Co. | 6.125% | 10/1/25 | 112,477 | 118,257 | ||
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 36,300 | 36,471 | ||
General Motors Financial Co. Inc. | 4.150% | 6/19/23 | 5,500 | 5,513 | ||
General Motors Financial Co. Inc. | 5.100% | 1/17/24 | 45,250 | 45,965 | ||
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 51,061 | 50,990 | ||
General Motors Financial Co. Inc. | 1.200% | 10/15/24 | 33,600 | 31,445 | ||
General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 37,585 | 37,021 | ||
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 4,900 | 4,859 | ||
General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 39,315 | 38,070 | ||
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 64,015 | 64,144 | ||
General Motors Financial Co. Inc. | 2.750% | 6/20/25 | 21,853 | 20,938 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 153,293 | 138,325 | ||
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 29,409 | 30,030 | ||
General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 14,131 | 13,882 | ||
General Motors Financial Co. Inc. | 2.350% | 2/26/27 | 53,440 | 48,239 | ||
General Motors Financial Co. Inc. | 5.000% | 4/9/27 | 34,965 | 35,087 | ||
4 | General Motors Financial Co. Inc. | 3.640% | 4/16/27 | 29,050 | 29,262 | |
General Motors Financial Co. Inc. | 2.700% | 8/20/27 | 12,296 | 11,081 | ||
4 | General Motors Financial Co. Inc. | 3.710% | 12/16/27 | 15,490 | 15,615 | |
Genuine Parts Co. | 1.750% | 2/1/25 | 8,244 | 7,859 | ||
7 | Harley-Davidson Financial Services Inc. | 3.350% | 6/8/25 | 14,500 | 14,076 | |
7 | Harley-Davidson Financial Services Inc. | 3.050% | 2/14/27 | 105,556 | 96,472 | |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 16,500 | 16,246 | ||
7 | Hilton Domestic Operating Co. Inc. | 5.375% | 5/1/25 | 7,959 | 7,983 | |
7 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 860 | 869 | |
7 | Hilton Domestic Operating Co. Inc. | 3.750% | 5/1/29 | 2,935 | 2,664 | |
Honda Motor Co. Ltd. | 2.271% | 3/10/25 | 28,570 | 27,790 | ||
Honda Motor Co. Ltd. | 2.534% | 3/10/27 | 38,590 | 36,976 | ||
Hyatt Hotels Corp. | 1.300% | 10/1/23 | 38,800 | 37,517 | ||
7 | International Game Technology plc | 4.125% | 4/15/26 | 1,855 | 1,771 | |
7 | International Game Technology plc | 6.250% | 1/15/27 | 540 | 547 | |
Lennar Corp. | 4.875% | 12/15/23 | 10,500 | 10,619 | ||
Lennar Corp. | 4.500% | 4/30/24 | 34,650 | 34,774 | ||
Lennar Corp. | 5.875% | 11/15/24 | 19,400 | 19,983 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Lennar Corp. | 4.750% | 5/30/25 | 22,084 | 22,360 | ||
Lennar Corp. | 5.250% | 6/1/26 | 52,647 | 54,036 | ||
7 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 10,985 | 11,287 | |
7 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 1,647 | 1,509 | |
Lowe's Cos. Inc. | 3.350% | 4/1/27 | 18,020 | 17,886 | ||
Marriott International Inc. | 3.750% | 10/1/25 | 15,325 | 15,176 | ||
Marriott International Inc. | 3.125% | 6/15/26 | 6,390 | 6,164 | ||
7 | Mattel Inc. | 5.875% | 12/15/27 | 9,219 | 9,424 | |
McDonald's Corp. | 3.300% | 7/1/25 | 25,701 | 25,702 | ||
McDonald's Corp. | 1.450% | 9/1/25 | 24,300 | 23,032 | ||
9 | McDonald's Corp. | 2.875% | 12/17/25 | 1,300 | 1,365 | |
McDonald's Corp. | 3.500% | 7/1/27 | 21,500 | 21,528 | ||
7 | Meritage Homes Corp. | 3.875% | 4/15/29 | 1,775 | 1,589 | |
7 | NCL Corp Ltd. | 5.875% | 2/15/27 | 1,298 | 1,193 | |
7 | Nissan Motor Acceptance Co. LLC | 1.050% | 3/8/24 | 50,400 | 47,604 | |
7 | Nissan Motor Acceptance Co. LLC | 1.125% | 9/16/24 | 23,960 | 22,219 | |
7 | Nissan Motor Acceptance Co. LLC | 2.000% | 3/9/26 | 72,750 | 64,216 | |
7 | Nissan Motor Acceptance Co. LLC | 1.850% | 9/16/26 | 68,035 | 58,551 | |
7 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 105,000 | 103,527 | |
7 | Nissan Motor Co. Ltd. | 3.522% | 9/17/25 | 120,512 | 115,931 | |
7 | Penn National Gaming Inc. | 5.625% | 1/15/27 | 1,225 | 1,137 | |
Ross Stores Inc. | 0.875% | 4/15/26 | 30,575 | 27,693 | ||
7 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 592 | 605 | |
7 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 706 | 754 | |
Starbucks Corp. | 2.000% | 3/12/27 | 3,813 | 3,557 | ||
7 | Stellantis Finance US Inc. | 1.711% | 1/29/27 | 10,685 | 9,466 | |
9 | Stellantis NV | 3.875% | 1/5/26 | 700 | 748 | |
TJX Cos. Inc. | 2.250% | 9/15/26 | 2,011 | 1,936 | ||
Toll Brothers Finance Corp. | 4.875% | 11/15/25 | 4,860 | 4,870 | ||
Toll Brothers Finance Corp. | 4.875% | 3/15/27 | 6,805 | 6,725 | ||
Toll Brothers Finance Corp. | 4.350% | 2/15/28 | 2,490 | 2,374 | ||
9 | Toyota Finance Australia Ltd. | 2.280% | 10/21/27 | 300 | 313 | |
Toyota Motor Credit Corp. | 2.500% | 3/22/24 | 37,760 | 37,365 | ||
Toyota Motor Credit Corp. | 1.450% | 1/13/25 | 46,070 | 44,170 | ||
Toyota Motor Credit Corp. | 3.000% | 4/1/25 | 39,050 | 38,746 | ||
Toyota Motor Credit Corp. | 3.950% | 6/30/25 | 43,920 | 44,608 | ||
Toyota Motor Credit Corp. | 0.800% | 10/16/25 | 88,560 | 81,751 | ||
Toyota Motor Credit Corp. | 1.900% | 1/13/27 | 67,445 | 63,285 | ||
Toyota Motor Credit Corp. | 3.050% | 3/22/27 | 110,905 | 109,266 | ||
9 | Toyota Motor Finance Netherlands BV | 3.070% | 10/27/25 | 500 | 487 | |
7 | Vail Resorts Inc. | 6.250% | 5/15/25 | 9,713 | 9,931 | |
9 | Volkswagen Financial Services AG | 1.375% | 10/16/23 | 1,200 | 1,225 | |
11 | Volkswagen Financial Services Australia Pty Ltd. | 3.100% | 4/17/23 | 12,910 | 8,972 | |
10 | Volkswagen Financial Services NV | 1.125% | 9/18/23 | 30,400 | 35,878 | |
7 | Volkswagen Group of America Finance LLC | 2.700% | 9/26/22 | 60,335 | 60,276 | |
7 | Volkswagen Group of America Finance LLC | 0.750% | 11/23/22 | 48,000 | 47,562 | |
7 | Volkswagen Group of America Finance LLC | 3.125% | 5/12/23 | 36,400 | 36,192 | |
7 | Volkswagen Group of America Finance LLC | 4.250% | 11/13/23 | 17,700 | 17,808 | |
7 | Volkswagen Group of America Finance LLC | 0.875% | 11/22/23 | 116,065 | 111,744 | |
7 | Volkswagen Group of America Finance LLC | 2.850% | 9/26/24 | 22,133 | 21,586 | |
7 | Volkswagen Group of America Finance LLC | 3.350% | 5/13/25 | 4,500 | 4,407 | |
7 | Volkswagen Group of America Finance LLC | 1.250% | 11/24/25 | 94,250 | 85,973 | |
7 | Volkswagen Group of America Finance LLC | 3.200% | 9/26/26 | 5,000 | 4,807 | |
9 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 27,139 | 27,477 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
9 | Volkswagen Leasing GmbH | 0.375% | 7/20/26 | 14,570 | 13,818 | |
7 | William Carter Co. | 5.625% | 3/15/27 | 2,947 | 2,924 | |
7 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 2,206 | 2,041 | |
3,707,185 | ||||||
Consumer Staples (3.2%) | ||||||
7 | 7-Eleven Inc. | 0.625% | 2/10/23 | 15,820 | 15,573 | |
7 | 7-Eleven Inc. | 0.800% | 2/10/24 | 126,300 | 120,707 | |
7 | 7-Eleven Inc. | 0.950% | 2/10/26 | 67,700 | 61,021 | |
Altria Group Inc. | 2.350% | 5/6/25 | 58,739 | 56,578 | ||
9 | Altria Group Inc. | 1.700% | 6/15/25 | 9,705 | 9,583 | |
Altria Group Inc. | 4.400% | 2/14/26 | 16,727 | 16,902 | ||
Altria Group Inc. | 2.625% | 9/16/26 | 25,076 | 23,828 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 3.650% | 2/1/26 | 20,831 | 20,978 | ||
BAT Capital Corp. | 3.222% | 8/15/24 | 54,007 | 53,039 | ||
BAT Capital Corp. | 2.789% | 9/6/24 | 9,750 | 9,472 | ||
10 | BAT Capital Corp. | 2.125% | 8/15/25 | 9,705 | 11,113 | |
BAT Capital Corp. | 3.215% | 9/6/26 | 71,137 | 67,362 | ||
BAT Capital Corp. | 4.700% | 4/2/27 | 10,000 | 9,893 | ||
7 | BAT International Finance plc | 3.950% | 6/15/25 | 75,200 | 74,383 | |
BAT International Finance plc | 1.668% | 3/25/26 | 133,090 | 120,547 | ||
10 | BAT International Finance plc | 4.000% | 9/4/26 | 2,797 | 3,319 | |
Campbell Soup Co. | 3.650% | 3/15/23 | 46,173 | 46,195 | ||
Campbell Soup Co. | 3.950% | 3/15/25 | 20,300 | 20,445 | ||
9 | CK Hutchison Europe Finance 18 Ltd. | 1.250% | 4/13/25 | 15,010 | 15,118 | |
7 | Coca-Cola Europacific Partners plc | 0.500% | 5/5/23 | 16,000 | 15,594 | |
Conagra Brands Inc. | 0.500% | 8/11/23 | 8,750 | 8,459 | ||
Constellation Brands Inc. | 4.750% | 11/15/24 | 11,550 | 11,753 | ||
Constellation Brands Inc. | 4.400% | 11/15/25 | 23,350 | 23,812 | ||
Constellation Brands Inc. | 4.750% | 12/1/25 | 4,000 | 4,090 | ||
Constellation Brands Inc. | 3.700% | 12/6/26 | 8,315 | 8,234 | ||
Constellation Brands Inc. | 3.500% | 5/9/27 | 15,790 | 15,422 | ||
Constellation Brands Inc. | 4.350% | 5/9/27 | 53,230 | 53,918 | ||
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 6,634 | 6,609 | ||
7 | GSK Consumer Healthcare Capital UK plc | 3.125% | 3/24/25 | 145,350 | 143,138 | |
7 | GSK Consumer Healthcare Capital US LLC | 3.375% | 3/24/27 | 58,059 | 57,034 | |
J M Smucker Co. | 3.500% | 3/15/25 | 9,370 | 9,379 | ||
7 | JDE Peet's NV | 1.375% | 1/15/27 | 36,090 | 31,527 | |
Keurig Dr Pepper Inc. | 3.130% | 12/15/23 | 15,320 | 15,294 | ||
Keurig Dr Pepper Inc. | 0.750% | 3/15/24 | 25,455 | 24,356 | ||
Keurig Dr Pepper Inc. | 4.417% | 5/25/25 | 11,672 | 11,895 | ||
Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 20,400 | 19,748 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 24,988 | 24,836 | ||
Kroger Co. | 3.850% | 8/1/23 | 3,400 | 3,410 | ||
Kroger Co. | 4.000% | 2/1/24 | 20,700 | 20,854 | ||
Kroger Co. | 3.500% | 2/1/26 | 26,000 | 25,993 | ||
Kroger Co. | 2.650% | 10/15/26 | 620 | 596 | ||
7 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 2,210 | 2,154 | |
9 | Louis Dreyfus Co. Finance BV | 2.375% | 11/27/25 | 10,533 | 10,503 | |
McCormick & Co. Inc. | 3.150% | 8/15/24 | 8,764 | 8,684 | ||
McCormick & Co. Inc. | 3.400% | 8/15/27 | 19,385 | 18,940 | ||
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 4,900 | 4,980 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 24,500 | 23,424 | ||
7 | Mondelez International Holdings Netherlands BV | 2.250% | 9/19/24 | 72,805 | 70,618 | |
7 | Mondelez International Holdings Netherlands BV | 0.750% | 9/24/24 | 19,510 | 18,328 | |
7 | Mondelez International Holdings Netherlands BV | 1.250% | 9/24/26 | 48,010 | 43,453 | |
Mondelez International Inc. | 1.500% | 5/4/25 | 61,425 | 58,388 | ||
Mondelez International Inc. | 2.625% | 3/17/27 | 29,030 | 27,808 | ||
7 | Nestle Holdings Inc. | 3.500% | 9/24/25 | 14,500 | 14,660 | |
Pepsico Inc. | 3.600% | 2/18/28 | 46,980 | 47,856 | ||
7 | Performance Food Group Inc. | 6.875% | 5/1/25 | 997 | 1,012 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Performance Food Group Inc. | 5.500% | 10/15/27 | 4,340 | 4,291 | |
9 | Pernod Ricard SA | 1.800% | 10/24/23 | 2,000 | 2,022 | |
Philip Morris International Inc. | 1.500% | 5/1/25 | 35,300 | 33,490 | ||
Philip Morris International Inc. | 2.750% | 2/25/26 | 15,557 | 15,042 | ||
9 | Philip Morris International Inc. | 2.875% | 3/3/26 | 21,455 | 22,187 | |
Philip Morris International Inc. | 0.875% | 5/1/26 | 34,000 | 30,627 | ||
9 | Procter & Gamble Co. | 1.125% | 11/2/23 | 1,000 | 1,026 | |
7 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 114,068 | 112,142 | |
7 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 12,151 | 11,791 | |
Reynolds American Inc. | 4.450% | 6/12/25 | 149,146 | 149,284 | ||
Target Corp. | 1.950% | 1/15/27 | 23,133 | 22,053 | ||
Tyson Foods Inc. | 3.950% | 8/15/24 | 87,199 | 87,583 | ||
Tyson Foods Inc. | 4.000% | 3/1/26 | 31,486 | 31,725 | ||
2,166,078 | ||||||
Energy (7.0%) | ||||||
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc. | 2.061% | 12/15/26 | 14,200 | 13,212 | ||
BP Capital Markets America Inc. | 3.790% | 2/6/24 | 50,029 | 50,515 | ||
BP Capital Markets America Inc. | 3.194% | 4/6/25 | 46,652 | 46,652 | ||
BP Capital Markets America Inc. | 3.796% | 9/21/25 | 40,135 | 40,768 | ||
BP Capital Markets America Inc. | 3.410% | 2/11/26 | 36,620 | 36,684 | ||
BP Capital Markets America Inc. | 3.119% | 5/4/26 | 63,745 | 63,130 | ||
BP Capital Markets America Inc. | 3.017% | 1/16/27 | 28,626 | 28,061 | ||
9 | BP Capital Markets plc | 2.972% | 2/27/26 | 400 | 425 | |
BP Capital Markets plc | 3.279% | 9/19/27 | 38,808 | 38,304 | ||
Buckeye Partners LP | 4.150% | 7/1/23 | 3,230 | 3,189 | ||
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 18,391 | 18,319 | ||
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 12,950 | 12,902 | ||
Canadian Natural Resources Ltd. | 2.050% | 7/15/25 | 18,312 | 17,286 | ||
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 24,750 | 24,217 | ||
Cenovus Energy Inc. | 5.375% | 7/15/25 | 109,700 | 113,862 | ||
Cenovus Energy Inc. | 4.250% | 4/15/27 | 34,940 | 34,921 | ||
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 135,880 | 141,004 | ||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/25 | 131,039 | 134,924 | ||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/27 | 52,787 | 53,740 | ||
Cheniere Energy Inc. | 4.625% | 10/15/28 | 3,665 | 3,574 | ||
Chevron Corp. | 1.554% | 5/11/25 | 33,324 | 32,034 | ||
Chevron Corp. | 2.954% | 5/16/26 | 4,800 | 4,770 | ||
7 | CNX Resources Corp. | 7.250% | 3/14/27 | 4,850 | 4,910 | |
ConocoPhillips Co. | 2.400% | 3/7/25 | 23,370 | 22,832 | ||
Continental Resources Inc. | 3.800% | 6/1/24 | 14,571 | 14,426 | ||
7 | Continental Resources Inc. | 2.268% | 11/15/26 | 26,650 | 24,116 | |
7 | Coterra Energy Inc. | 4.375% | 6/1/24 | 23,830 | 23,837 | |
7 | Coterra Energy Inc. | 3.900% | 5/15/27 | 16,269 | 15,878 | |
7 | CrownRock LP / CrownRock Finance Inc. | 5.625% | 10/15/25 | 2,820 | 2,814 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 1,801 | 1,854 | ||
Devon Energy Corp. | 5.250% | 9/15/24 | 69,058 | 70,606 | ||
Devon Energy Corp. | 5.850% | 12/15/25 | 13,303 | 13,933 | ||
Diamondback Energy Inc. | 3.250% | 12/1/26 | 76,025 | 75,169 | ||
7 | DT Midstream Inc. | 4.125% | 6/15/29 | 3,795 | 3,496 | |
7 | Eastern Gas Transmission & Storage Inc. | 3.600% | 12/15/24 | 6,378 | 6,353 | |
Ecopetrol SA | 5.875% | 9/18/23 | 9,009 | 9,111 | ||
Ecopetrol SA | 4.125% | 1/16/25 | 11,959 | 11,521 | ||
Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 22,304 | 22,316 | ||
Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 13,839 | 12,913 | ||
Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 5,318 | 5,039 | ||
Enable Midstream Partners LP | 3.900% | 5/15/24 | 6,970 | 6,941 | ||
Enable Midstream Partners LP | 4.400% | 3/15/27 | 48,450 | 48,006 | ||
Enbridge Energy Partners LP | 5.875% | 10/15/25 | 24,941 | 26,183 | ||
Enbridge Inc. | 4.000% | 10/1/23 | 32,750 | 32,844 | ||
Enbridge Inc. | 3.500% | 6/10/24 | 36,445 | 36,379 | ||
Enbridge Inc. | 2.500% | 1/15/25 | 32,322 | 31,389 | ||
Enbridge Inc. | 2.500% | 2/14/25 | 9,714 | 9,406 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Enbridge Inc. | 1.600% | 10/4/26 | 29,100 | 26,540 | ||
Enbridge Inc. | 4.250% | 12/1/26 | 4,461 | 4,510 | ||
Enbridge Inc. | 3.700% | 7/15/27 | 19,646 | 19,289 | ||
7 | Endeavor Energy Resources LP / EER Finance Inc. | 5.750% | 1/30/28 | 1,179 | 1,191 | |
Energy Transfer LP | 3.450% | 1/15/23 | 16,340 | 16,299 | ||
Energy Transfer LP | 3.600% | 2/1/23 | 2,916 | 2,908 | ||
Energy Transfer LP | 4.250% | 3/15/23 | 39,423 | 39,443 | ||
Energy Transfer LP | 4.200% | 9/15/23 | 22,372 | 22,482 | ||
Energy Transfer LP | 5.875% | 1/15/24 | 40,015 | 40,877 | ||
Energy Transfer LP | 4.900% | 2/1/24 | 40,324 | 40,673 | ||
Energy Transfer LP | 4.250% | 4/1/24 | 43,668 | 43,658 | ||
Energy Transfer LP | 4.500% | 4/15/24 | 40,686 | 40,855 | ||
Energy Transfer LP | 4.050% | 3/15/25 | 53,734 | 53,313 | ||
Energy Transfer LP | 5.950% | 12/1/25 | 10,655 | 11,073 | ||
Energy Transfer LP | 4.750% | 1/15/26 | 3,155 | 3,179 | ||
Energy Transfer LP | 5.500% | 6/1/27 | 7,831 | 8,095 | ||
Energy Transfer LP / Regency Energy Finance Corp. | 5.000% | 10/1/22 | 85,463 | 85,460 | ||
Energy Transfer LP / Regency Energy Finance Corp. | 4.500% | 11/1/23 | 107,739 | 108,114 | ||
7 | Eni SpA | 4.000% | 9/12/23 | 77,305 | 77,100 | |
7 | EnLink Midstream LLC | 5.625% | 1/15/28 | 865 | 841 | |
EnLink Midstream Partners LP | 4.850% | 7/15/26 | 2,915 | 2,884 | ||
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 28,502 | 28,592 | ||
Enterprise Products Operating LLC | 3.700% | 2/15/26 | 31,438 | 31,503 | ||
7 | EQM Midstream Partners LP | 6.000% | 7/1/25 | 1,067 | 1,069 | |
7 | EQM Midstream Partners LP | 7.500% | 6/1/27 | 3,429 | 3,507 | |
EQT Corp. | 6.125% | 2/1/25 | 18,158 | 18,919 | ||
7 | EQT Corp. | 3.125% | 5/15/26 | 2,748 | 2,645 | |
EQT Corp. | 3.900% | 10/1/27 | 22,500 | 21,896 | ||
Exxon Mobil Corp. | 2.992% | 3/19/25 | 27,951 | 27,832 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 30,225 | 30,141 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 20,813 | 20,178 | ||
9 | Gazprom PJSC Via Gaz Capital SA | 3.125% | 11/17/23 | 2,600 | 1,143 | |
9 | Gazprom PJSC Via Gaz Capital SA | 2.949% | 1/24/24 | 15,630 | 6,629 | |
9 | Gazprom PJSC Via Gaz Capital SA | 2.250% | 11/22/24 | 3,400 | 1,425 | |
Harvest Operations Corp. | 3.000% | 9/21/22 | 2,875 | 2,874 | ||
Harvest Operations Corp. | 1.000% | 4/26/24 | 19,240 | 18,364 | ||
7 | Hilcorp Energy I LP / Hilcorp Finance Co. | 5.750% | 2/1/29 | 2,095 | 1,905 | |
KazMunayGas National Co. JSC | 4.750% | 4/24/25 | 4,790 | 4,624 | ||
7 | KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 2,800 | 2,330 | |
KazTransGas JSC | 4.375% | 9/26/27 | 2,699 | 2,385 | ||
Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 11,015 | 11,054 | ||
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 17,184 | 17,285 | ||
Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 5,145 | 5,172 | ||
Kinder Morgan Inc. | 3.150% | 1/15/23 | 88,311 | 88,149 | ||
7 | Kinder Morgan Inc. | 5.625% | 11/15/23 | 24,415 | 24,806 | |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 25,844 | 26,098 | ||
Kinder Morgan Inc. | 1.750% | 11/15/26 | 29,100 | 26,438 | ||
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 31,830 | 31,669 | ||
Marathon Petroleum Corp. | 4.700% | 5/1/25 | 108,547 | 110,678 | ||
Marathon Petroleum Corp. | 5.125% | 12/15/26 | 55,600 | 57,615 | ||
MPLX LP | 3.500% | 12/1/22 | 41,490 | 41,462 | ||
MPLX LP | 3.375% | 3/15/23 | 15,115 | 15,093 | ||
MPLX LP | 4.875% | 12/1/24 | 29,939 | 30,423 | ||
MPLX LP | 4.875% | 6/1/25 | 20,170 | 20,529 | ||
MPLX LP | 1.750% | 3/1/26 | 85,686 | 78,881 | ||
Newfield Exploration Co. | 5.375% | 1/1/26 | 32,854 | 33,493 | ||
Nustar Logistics LP | 5.750% | 10/1/25 | 4,110 | 3,994 | ||
Occidental Petroleum Corp. | 6.950% | 7/1/24 | 3,899 | 4,090 | ||
Occidental Petroleum Corp. | 5.875% | 9/1/25 | 4,445 | 4,578 | ||
Occidental Petroleum Corp. | 5.500% | 12/1/25 | 2,665 | 2,726 | ||
ONEOK Inc. | 2.750% | 9/1/24 | 43,924 | 42,753 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ONEOK Inc. | 2.200% | 9/15/25 | 20,076 | 18,857 | ||
ONEOK Inc. | 5.850% | 1/15/26 | 13,718 | 14,352 | ||
ONEOK Partners LP | 5.000% | 9/15/23 | 26,043 | 26,298 | ||
ONEOK Partners LP | 4.900% | 3/15/25 | 9,680 | 9,805 | ||
Pertamina Persero PT | 4.300% | 5/20/23 | 50,622 | 50,842 | ||
Pertamina Persero PT | 1.400% | 2/9/26 | 19,433 | 17,527 | ||
Phillips 66 | 3.700% | 4/6/23 | 23,599 | 23,652 | ||
Phillips 66 | 0.900% | 2/15/24 | 24,185 | 23,274 | ||
Phillips 66 | 3.850% | 4/9/25 | 18,475 | 18,676 | ||
Phillips 66 | 1.300% | 2/15/26 | 31,103 | 28,610 | ||
7 | Phillips 66 Co. | 3.605% | 2/15/25 | 21,326 | 21,227 | |
Pioneer Natural Resources Co. | 0.550% | 5/15/23 | 29,500 | 28,828 | ||
Pioneer Natural Resources Co. | 1.125% | 1/15/26 | 31,105 | 28,353 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 18,518 | 18,464 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 30,637 | 30,161 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 60,277 | 60,466 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 4.500% | 12/15/26 | 29,582 | 29,478 | ||
7 | SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 34,667 | 32,951 | |
SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 30,376 | 28,946 | ||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 83,467 | 83,982 | ||
Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 55,698 | 56,895 | ||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 113,890 | 117,208 | ||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 78,820 | 82,366 | ||
Sabine Pass Liquefaction LLC | 5.000% | 3/15/27 | 15,322 | 15,612 | ||
7 | Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 3,079 | 2,986 | |
Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 550 | 534 | ||
Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 14,780 | 14,595 | ||
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 23,701 | 22,374 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 34,824 | 34,866 | ||
Shell International Finance BV | 2.875% | 5/10/26 | 17,236 | 16,945 | ||
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 21,800 | 22,112 | |
Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 30,630 | 31,048 | ||
7 | Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 29,921 | 29,701 | |
Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 10,000 | 9,920 | ||
Sinopec Group Overseas Development 2017 Ltd. | 2.500% | 9/13/22 | 38,173 | 38,145 | ||
7,12 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 3,151 | 3,311 | |
12 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 10,449 | 10,953 | |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 11,420 | 11,563 | ||
Spectra Energy Partners LP | 3.500% | 3/15/25 | 11,985 | 11,868 | ||
Spectra Energy Partners LP | 3.375% | 10/15/26 | 20,242 | 19,713 | ||
State Oil Co. of the Azerbaijan Republic | 4.750% | 3/13/23 | 6,595 | 6,606 | ||
Suvidhaa Infoserve Ltd. | 3.900% | 7/15/26 | 13,256 | 12,954 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.500% | 7/15/27 | 1,760 | 1,811 | ||
TotalEnergies Capital International SA | 2.434% | 1/10/25 | 58,447 | 57,485 | ||
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 28,622 | 28,650 | ||
TransCanada PipeLines Ltd. | 1.000% | 10/12/24 | 110,665 | 104,051 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 28,389 | 29,194 | ||
Valero Energy Corp. | 2.850% | 4/15/25 | 23,370 | 22,779 | ||
Valero Energy Corp. | 3.400% | 9/15/26 | 22,560 | 22,097 | ||
Western Midstream Operating LP | 4.650% | 7/1/26 | 3,620 | 3,589 | ||
Western Midstream Operating LP | 4.300% | 2/1/30 | 5,530 | 5,142 | ||
Williams Cos. Inc. | 3.700% | 1/15/23 | 31,010 | 30,991 | ||
Williams Cos. Inc. | 4.500% | 11/15/23 | 78,400 | 79,003 | ||
Williams Cos. Inc. | 4.300% | 3/4/24 | 13,600 | 13,669 | ||
Williams Cos. Inc. | 4.550% | 6/24/24 | 114,409 | 115,669 | ||
Williams Cos. Inc. | 4.000% | 9/15/25 | 9,899 | 9,875 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Williams Cos. Inc. | 3.750% | 6/15/27 | 9,700 | 9,527 | ||
4,699,052 | ||||||
Financials (29.3%) | ||||||
7 | ABN AMRO Bank NV | 1.542% | 6/16/27 | 53,430 | 47,697 | |
ABN AMRO Bank NV | 4.400% | 3/27/28 | 22,000 | 21,857 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/23/23 | 27,850 | 27,718 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.125% | 7/3/23 | 48,935 | 48,627 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 88,419 | 88,377 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.150% | 10/29/23 | 116,350 | 111,728 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.150% | 2/15/24 | 57,761 | 56,188 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 2.875% | 8/14/24 | 50,233 | 48,190 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.650% | 10/29/24 | 172,300 | 160,222 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.750% | 10/29/24 | 87,100 | 80,894 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.500% | 1/15/25 | 27,615 | 26,600 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 6.500% | 7/15/25 | 24,230 | 25,059 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.450% | 10/1/25 | 37,600 | 36,797 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.750% | 1/30/26 | 67,476 | 59,783 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 2.450% | 10/29/26 | 63,280 | 56,465 | ||
Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 9,700 | 9,662 | ||
Aflac Inc. | 3.250% | 3/17/25 | 5,820 | 5,798 | ||
Aflac Inc. | 1.125% | 3/15/26 | 19,645 | 18,022 | ||
Air Lease Corp. | 2.750% | 1/15/23 | 7,588 | 7,544 | ||
Air Lease Corp. | 3.875% | 7/3/23 | 10,700 | 10,619 | ||
Air Lease Corp. | 4.250% | 2/1/24 | 18,766 | 18,716 | ||
Air Lease Corp. | 2.300% | 2/1/25 | 42,260 | 40,050 | ||
Air Lease Corp. | 3.250% | 3/1/25 | 2,910 | 2,825 | ||
Air Lease Corp. | 3.375% | 7/1/25 | 56,433 | 54,469 | ||
Air Lease Corp. | 2.875% | 1/15/26 | 82,135 | 77,079 | ||
Air Lease Corp. | ��3.750% | 6/1/26 | 4,000 | 3,835 | ||
Air Lease Corp. | 1.875% | 8/15/26 | 5,292 | 4,716 | ||
Air Lease Corp. | 2.200% | 1/15/27 | 29,100 | 25,968 | ||
Aircastle Ltd. | 4.400% | 9/25/23 | 4,850 | 4,801 | ||
Aircastle Ltd. | 4.125% | 5/1/24 | 6,790 | 6,650 | ||
7 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 6.750% | 10/15/27 | 120 | 114 | |
Allstate Corp. | 0.750% | 12/15/25 | 17,162 | 15,634 | ||
Ally Financial Inc. | 3.875% | 5/21/24 | 46,379 | 46,221 | ||
Ally Financial Inc. | 5.125% | 9/30/24 | 1,655 | 1,689 | ||
Ally Financial Inc. | 4.625% | 3/30/25 | 3,814 | 3,859 | ||
Ally Financial Inc. | 5.800% | 5/1/25 | 1,940 | 2,020 | ||
Ally Financial Inc. | 5.750% | 11/20/25 | 4,850 | 4,907 | ||
Ally Financial Inc. | 4.750% | 6/9/27 | 29,100 | 28,771 | ||
American Express Co. | 3.400% | 2/22/24 | 27,837 | 27,776 | ||
American Express Co. | 3.375% | 5/3/24 | 40,840 | 40,764 | ||
American Express Co. | 2.500% | 7/30/24 | 73,801 | 72,452 | ||
American Express Co. | 3.000% | 10/30/24 | 36,577 | 36,234 | ||
American Express Co. | 2.250% | 3/4/25 | 21,382 | 20,733 | ||
American Express Co. | 3.950% | 8/1/25 | 155,000 | 156,388 | ||
American Express Co. | 4.200% | 11/6/25 | 16,315 | 16,751 | ||
American Express Co. | 3.125% | 5/20/26 | 6,545 | 6,470 | ||
American Express Co. | 2.550% | 3/4/27 | 53,087 | 50,673 | ||
American International Group Inc. | 2.500% | 6/30/25 | 98,917 | 95,424 | ||
American International Group Inc. | 3.900% | 4/1/26 | 18,700 | 18,712 | ||
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 20,610 | 20,317 | ||
Ameriprise Financial Inc. | 2.875% | 9/15/26 | 11,645 | 11,339 | ||
7 | Antares Holdings LP | 3.950% | 7/15/26 | 20,925 | 18,800 | |
7 | Antares Holdings LP | 2.750% | 1/15/27 | 23,100 | 19,162 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Aon Corp. / Aon Global Holdings plc | 2.850% | 5/28/27 | 26,800 | 25,676 | ||
Aon plc | 4.000% | 11/27/23 | 27,482 | 27,667 | ||
Aon plc | 3.500% | 6/14/24 | 42,490 | 42,490 | ||
Aon plc | 3.875% | 12/15/25 | 10,782 | 10,835 | ||
7 | Apollo Management Holdings LP | 4.000% | 5/30/24 | 4,835 | 4,780 | |
Ares Capital Corp. | 2.150% | 7/15/26 | 29,000 | 25,151 | ||
7 | Athene Global Funding | 1.200% | 10/13/23 | 33,041 | 31,921 | |
7 | Athene Global Funding | 0.950% | 1/8/24 | 34,970 | 33,387 | |
7 | Athene Global Funding | 0.914% | 8/19/24 | 11,320 | 10,534 | |
9 | Athene Global Funding | 1.125% | 9/2/25 | 50,358 | 49,472 | |
7 | Australia & New Zealand Banking Group Ltd. | 2.950% | 7/22/30 | 80,579 | 76,279 | |
8,11 | Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% | 4.251% | 7/26/29 | 55,206 | 38,611 | |
10 | Aviva plc | 6.125% | 11/14/36 | 7,200 | 9,229 | |
7 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 30,875 | 26,858 | |
7 | Avolon Holdings Funding Ltd. | 4.250% | 4/15/26 | 30,990 | 28,716 | |
7 | Avolon Holdings Funding Ltd. | 4.375% | 5/1/26 | 1,877 | 1,757 | |
9 | Banco Bilbao Vizcaya Argentaria SA | 1.125% | 2/28/24 | 3,000 | 3,057 | |
10 | Banco Santander SA | 2.750% | 9/12/23 | 1,000 | 1,208 | |
Banco Santander SA | 2.706% | 6/27/24 | 78,400 | 76,820 | ||
Banco Santander SA | 0.701% | 6/30/24 | 16,085 | 15,547 | ||
Banco Santander SA | 2.746% | 5/28/25 | 60,170 | 57,431 | ||
Banco Santander SA | 5.179% | 11/19/25 | 5,225 | 5,278 | ||
Banco Santander SA | 1.849% | 3/25/26 | 29,250 | 26,598 | ||
Banco Santander SA | 1.722% | 9/14/27 | 22,000 | 19,378 | ||
8,11 | Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% | 3.841% | 1/19/23 | 14,400 | 10,083 | |
Bank of America Corp. | 3.550% | 3/5/24 | 102,866 | 102,697 | ||
Bank of America Corp. | 0.523% | 6/14/24 | 21,300 | 20,663 | ||
Bank of America Corp. | 3.864% | 7/23/24 | 43,351 | 43,259 | ||
Bank of America Corp. | 4.200% | 8/26/24 | 20,427 | 20,660 | ||
Bank of America Corp. | 0.810% | 10/24/24 | 59,850 | 57,426 | ||
Bank of America Corp. | 4.000% | 1/22/25 | 93,985 | 94,302 | ||
Bank of America Corp. | 1.843% | 2/4/25 | 104,570 | 101,277 | ||
Bank of America Corp. | 3.458% | 3/15/25 | 9,700 | 9,585 | ||
Bank of America Corp. | 3.950% | 4/21/25 | 81,301 | 81,396 | ||
Bank of America Corp. | 0.976% | 4/22/25 | 88,863 | 84,284 | ||
Bank of America Corp. | 3.841% | 4/25/25 | 24,300 | 24,214 | ||
Bank of America Corp. | 3.875% | 8/1/25 | 4,645 | 4,704 | ||
Bank of America Corp. | 0.981% | 9/25/25 | 49,430 | 46,103 | ||
Bank of America Corp. | 3.093% | 10/1/25 | 79,845 | 77,761 | ||
Bank of America Corp. | 2.456% | 10/22/25 | 19,250 | 18,503 | ||
Bank of America Corp. | 3.366% | 1/23/26 | 52,553 | 51,366 | ||
Bank of America Corp. | 2.015% | 2/13/26 | 51,370 | 48,670 | ||
Bank of America Corp. | 4.450% | 3/3/26 | 53,863 | 54,639 | ||
Bank of America Corp. | 3.384% | 4/2/26 | 111,500 | 109,018 | ||
Bank of America Corp. | 1.319% | 6/19/26 | 84,240 | 77,665 | ||
Bank of America Corp. | 4.827% | 7/22/26 | 127,600 | 129,607 | ||
Bank of America Corp. | 4.250% | 10/22/26 | 27,110 | 27,397 | ||
Bank of America Corp. | 1.197% | 10/24/26 | 43,560 | 39,564 | ||
Bank of America Corp. | 1.658% | 3/11/27 | 48,515 | 44,306 | ||
Bank of America Corp. | 3.559% | 4/23/27 | 28,110 | 27,427 | ||
Bank of America Corp. | 1.734% | 7/22/27 | 138,145 | 125,321 | ||
Bank of America Corp. | 3.248% | 10/21/27 | 23,208 | 22,424 | ||
Bank of America Corp. | 3.824% | 1/20/28 | 50,329 | 49,371 | ||
Bank of America Corp. | 2.551% | 2/4/28 | 55,500 | 51,579 | ||
Bank of America Corp. | 4.376% | 4/27/28 | 27,500 | 27,599 | ||
Bank of America Corp. | 4.948% | 7/22/28 | 56,635 | 58,252 | ||
Bank of Montreal | 3.300% | 2/5/24 | 16,647 | 16,624 | ||
Bank of Montreal | 0.625% | 7/9/24 | 35,900 | 34,035 | ||
Bank of Montreal | 3.700% | 6/7/25 | 21,225 | 21,258 | ||
Bank of Montreal | 1.250% | 9/15/26 | 27,680 | 25,154 | ||
Bank of Montreal | 0.949% | 1/22/27 | 24,275 | 21,974 | ||
Bank of Montreal | 2.650% | 3/8/27 | 12,686 | 12,070 | ||
Bank of Montreal | 4.338% | 10/5/28 | 95,383 | 95,423 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 13,370 | 12,745 | ||
Bank of New York Mellon Corp. | 4.414% | 7/24/26 | 53,975 | 54,872 | ||
Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 9,700 | 9,351 | ||
Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 45,782 | 44,959 | ||
Bank of Nova Scotia | 0.700% | 4/15/24 | 18,568 | 17,683 | ||
Bank of Nova Scotia | 0.650% | 7/31/24 | 25,170 | 23,760 | ||
Bank of Nova Scotia | 1.450% | 1/10/25 | 21,605 | 20,568 | ||
Bank of Nova Scotia | 2.200% | 2/3/25 | 59,127 | 57,173 | ||
Bank of Nova Scotia | 3.450% | 4/11/25 | 42,075 | 41,794 | ||
Bank of Nova Scotia | 1.300% | 6/11/25 | 39,410 | 37,051 | ||
Bank of Nova Scotia | 4.500% | 12/16/25 | 47,180 | 47,648 | ||
Bank of Nova Scotia | 1.050% | 3/2/26 | 62,795 | 57,310 | ||
Bank of Nova Scotia | 1.350% | 6/24/26 | 55,050 | 50,595 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 32,080 | 30,835 | ||
Bank of Nova Scotia | 1.300% | 9/15/26 | 17,300 | 15,663 | ||
7 | Bank of Nova Scotia | 1.188% | 10/13/26 | 12,750 | 11,663 | |
Bank of Nova Scotia | 1.950% | 2/2/27 | 38,800 | 35,729 | ||
10 | Barclays plc | 3.125% | 1/17/24 | 14,575 | 17,604 | |
Barclays plc | 4.375% | 9/11/24 | 55,709 | 55,494 | ||
Barclays plc | 1.007% | 12/10/24 | 48,910 | 46,565 | ||
Barclays plc | 3.650% | 3/16/25 | 38,535 | 37,952 | ||
Barclays plc | 3.932% | 5/7/25 | 51,325 | 50,526 | ||
Barclays plc | 4.375% | 1/12/26 | 56,898 | 57,080 | ||
Barclays plc | 2.852% | 5/7/26 | 28,346 | 26,905 | ||
10 | Barclays plc | 3.000% | 5/8/26 | 500 | 585 | |
Barclays plc | 5.200% | 5/12/26 | 56,505 | 57,057 | ||
Barclays plc | 2.279% | 11/24/27 | 31,350 | 28,078 | ||
7 | Blackstone Mortgage Trust Inc. | 3.750% | 1/15/27 | 3,254 | 2,891 | |
7 | BPCE SA | 5.700% | 10/22/23 | 29,100 | 29,433 | |
7 | BPCE SA | 2.375% | 1/14/25 | 33,030 | 31,519 | |
7 | BPCE SA | 1.000% | 1/20/26 | 30,245 | 27,220 | |
7 | BPCE SA | 2.045% | 10/19/27 | 33,900 | 30,319 | |
8,11 | BPCE SA, 3M Australian Bank Bill Rate + 1.100% | 3.351% | 4/26/23 | 11,840 | 8,298 | |
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 7,680 | 7,695 | ||
Brown & Brown Inc. | 4.200% | 9/15/24 | 33,202 | 33,284 | ||
9 | CaixaBank SA | 0.750% | 7/10/26 | 1,000 | 977 | |
Canadian Imperial Bank of Commerce | 3.300% | 4/7/25 | 37,472 | 37,101 | ||
Canadian Imperial Bank of Commerce | 3.945% | 8/4/25 | 49,385 | 49,485 | ||
Canadian Imperial Bank of Commerce | 1.250% | 6/22/26 | 72,565 | 66,217 | ||
Canadian Imperial Bank of Commerce | 3.450% | 4/7/27 | 37,200 | 36,512 | ||
Capital One Bank USA NA | 2.280% | 1/28/26 | 48,130 | 46,042 | ||
Capital One Financial Corp. | 3.500% | 6/15/23 | 1,210 | 1,210 | ||
Capital One Financial Corp. | 3.750% | 4/24/24 | 15,000 | 15,002 | ||
9 | Capital One Financial Corp. | 0.800% | 6/12/24 | 14,500 | 14,427 | |
Capital One Financial Corp. | 3.300% | 10/30/24 | 14,500 | 14,296 | ||
Capital One Financial Corp. | 1.343% | 12/6/24 | 20,900 | 20,056 | ||
Capital One Financial Corp. | 4.166% | 5/9/25 | 48,400 | 48,083 | ||
Capital One Financial Corp. | 4.200% | 10/29/25 | 23,563 | 23,595 | ||
Capital One Financial Corp. | 2.636% | 3/3/26 | 72,400 | 68,925 | ||
Capital One Financial Corp. | 3.750% | 3/9/27 | 23,488 | 23,104 | ||
Capital One Financial Corp. | 3.650% | 5/11/27 | 9,535 | 9,296 | ||
Capital One Financial Corp. | 1.878% | 11/2/27 | 48,500 | 43,396 | ||
Capital One Financial Corp. | 4.927% | 5/10/28 | 38,800 | 39,196 | ||
Charles Schwab Corp. | 3.625% | 4/1/25 | 44,839 | 45,051 | ||
Charles Schwab Corp. | 3.850% | 5/21/25 | 49,262 | 50,117 | ||
Charles Schwab Corp. | 0.900% | 3/11/26 | 26,115 | 24,020 | ||
Charles Schwab Corp. | 1.150% | 5/13/26 | 29,150 | 26,861 | ||
Charles Schwab Corp. | 2.450% | 3/3/27 | 42,975 | 41,150 | ||
Charles Schwab Corp. | 3.300% | 4/1/27 | 20,174 | 20,046 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 51,810 | 52,052 | ||
9 | Chubb INA Holdings Inc. | 0.300% | 12/15/24 | 21,768 | ���21,615 | |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 12,265 | 12,234 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 50,778 | 50,867 | ||
9 | Cia de Seguros Fidelidade SA | 4.250% | 9/4/31 | 2,300 | 2,149 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Citigroup Inc. | 3.500% | 5/15/23 | 18,000 | 18,019 | ||
9 | Citigroup Inc. | 0.750% | 10/26/23 | 1,000 | 1,015 | |
10 | Citigroup Inc. | 2.750% | 1/24/24 | 1,100 | 1,330 | |
Citigroup Inc. | 0.776% | 10/30/24 | 25,890 | 24,836 | ||
Citigroup Inc. | 3.875% | 3/26/25 | 26,482 | 26,462 | ||
Citigroup Inc. | 3.352% | 4/24/25 | 74,969 | 74,078 | ||
Citigroup Inc. | 3.300% | 4/27/25 | 11,650 | 11,607 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 29,145 | 27,609 | ||
Citigroup Inc. | 4.140% | 5/24/25 | 39,168 | 39,212 | ||
Citigroup Inc. | 4.400% | 6/10/25 | 28,325 | 28,616 | ||
Citigroup Inc. | 5.500% | 9/13/25 | 2,615 | 2,728 | ||
Citigroup Inc. | 1.281% | 11/3/25 | 19,100 | 17,872 | ||
Citigroup Inc. | 2.014% | 1/25/26 | 33,690 | 32,023 | ||
Citigroup Inc. | 4.600% | 3/9/26 | 54,490 | 55,617 | ||
Citigroup Inc. | 3.106% | 4/8/26 | 92,165 | 89,667 | ||
Citigroup Inc. | 3.400% | 5/1/26 | 19,200 | 18,942 | ||
Citigroup Inc. | 3.200% | 10/21/26 | 74,703 | 73,038 | ||
Citigroup Inc. | 4.300% | 11/20/26 | 31,424 | 31,809 | ||
Citigroup Inc. | 1.122% | 1/28/27 | 38,800 | 34,853 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 81,460 | 73,355 | ||
Citigroup Inc. | 3.887% | 1/10/28 | 20,360 | 19,963 | ||
Citigroup Inc. | 3.070% | 2/24/28 | 48,400 | 45,960 | ||
Citigroup Inc. | 4.658% | 5/24/28 | 30,920 | 31,330 | ||
CNO Financial Group Inc. | 5.250% | 5/30/25 | 22,250 | 22,649 | ||
8,11 | Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.800% | 3.306% | 9/10/30 | 7,300 | 5,016 | |
7 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 9,920 | 9,674 | |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 18,700 | 18,745 | ||
Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 48,131 | 46,870 | ||
7 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 33,940 | 30,298 | |
7 | Cooperatieve Rabobank UA | 1.980% | 12/15/27 | 24,200 | 21,910 | |
7 | Corebridge Financial Inc. | 3.500% | 4/4/25 | 54,043 | 52,885 | |
7 | Corebridge Financial Inc. | 3.650% | 4/5/27 | 74,650 | 71,875 | |
10 | Credit Agricole SA | 7.375% | 12/18/23 | 21,000 | 26,710 | |
Credit Suisse AG | 0.495% | 2/2/24 | 8,730 | 8,303 | ||
Credit Suisse AG | 3.625% | 9/9/24 | 59,410 | 58,662 | ||
Credit Suisse AG | 3.700% | 2/21/25 | 20,050 | 19,783 | ||
Credit Suisse AG | 2.950% | 4/9/25 | 28,600 | 27,675 | ||
9 | Credit Suisse AG | 0.250% | 1/5/26 | 400 | 376 | |
9 | Credit Suisse AG | 1.500% | 4/10/26 | 15,000 | 14,703 | |
Credit Suisse AG | 1.250% | 8/7/26 | 38,800 | 34,544 | ||
Credit Suisse Group AG | 3.800% | 6/9/23 | 56,320 | 56,114 | ||
7 | Credit Suisse Group AG | 4.207% | 6/12/24 | 62,630 | 62,018 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 7,161 | 6,947 | ||
8,11 | Credit Suisse Group AG, 3M Australian Bank Bill Rate + 1.250% | 2.713% | 3/8/24 | 9,240 | 6,395 | |
7 | Danske Bank A/S | 1.226% | 6/22/24 | 19,333 | 18,272 | |
7 | Danske Bank A/S | 0.976% | 9/10/25 | 35,590 | 32,977 | |
7 | Danske Bank A/S | 1.549% | 9/10/27 | 17,442 | 15,502 | |
9 | Danske Bank A/S | 1.000% | 5/15/31 | 4,500 | 4,122 | |
9 | de Volksbank NV | 0.250% | 6/22/26 | 27,200 | 25,548 | |
Deutsche Bank AG | 0.962% | 11/8/23 | 13,600 | 13,104 | ||
Deutsche Bank AG | 0.898% | 5/28/24 | 43,600 | 41,131 | ||
Deutsche Bank AG | 2.222% | 9/18/24 | 27,415 | 26,493 | ||
Deutsche Bank AG | 1.447% | 4/1/25 | 29,140 | 27,314 | ||
Deutsche Bank AG | 1.686% | 3/19/26 | 19,425 | 17,755 | ||
Deutsche Bank AG | 2.129% | 11/24/26 | 70,800 | 63,453 | ||
Deutsche Bank AG | 2.311% | 11/16/27 | 45,176 | 39,264 | ||
Deutsche Bank AG | 2.552% | 1/7/28 | 38,800 | 34,042 | ||
7,13 | Dexia Credit Local SA | 2.375% | 9/20/22 | 5,800 | 5,799 | |
Discover Bank | 4.200% | 8/8/23 | 36,694 | 36,872 | ||
Discover Bank | 2.450% | 9/12/24 | 34,165 | 32,896 | ||
Discover Bank | 3.450% | 7/27/26 | 25,725 | 24,590 | ||
Discover Bank | 4.682% | 8/9/28 | 14,450 | 14,054 | ||
Discover Financial Services | 3.950% | 11/6/24 | 4,535 | 4,528 | ||
Discover Financial Services | 3.750% | 3/4/25 | 5,085 | 5,058 | ||
Discover Financial Services | 4.500% | 1/30/26 | 9,700 | 9,718 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | DNB Bank ASA | 1.127% | 9/16/26 | 41,460 | 37,589 | |
Equitable Holdings Inc. | 3.900% | 4/20/23 | 29,609 | 29,711 | ||
7 | F&G Global Funding | 0.900% | 9/20/24 | 10,936 | 10,129 | |
7 | F&G Global Funding | 1.750% | 6/30/26 | 18,649 | 16,884 | |
9 | FCA Bank SpA | 0.125% | 11/16/23 | 3,000 | 3,010 | |
7 | Fidelity & Guaranty Life Holdings Inc. | 5.500% | 5/1/25 | 27,753 | 28,503 | |
Fifth Third Bancorp | 3.650% | 1/25/24 | 29,100 | 29,140 | ||
Fifth Third Bank NA | 3.850% | 3/15/26 | 2,000 | 1,987 | ||
First American Financial Corp. | 4.600% | 11/15/24 | 6,790 | 6,791 | ||
First-Citizens Bank & Trust Co. | 3.929% | 6/19/24 | 8,221 | 8,178 | ||
First-Citizens Bank & Trust Co. | 2.969% | 9/27/25 | 16,692 | 16,092 | ||
7 | Five Corners Funding Trust | 4.419% | 11/15/23 | 78,622 | 79,021 | |
FS KKR Capital Corp. | 3.400% | 1/15/26 | 17,880 | 16,312 | ||
7 | GA Global Funding Trust | 1.000% | 4/8/24 | 27,124 | 25,651 | |
GATX Corp. | 3.250% | 3/30/25 | 2,109 | 2,070 | ||
GATX Corp. | 3.250% | 9/15/26 | 9,710 | 9,412 | ||
Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 48,475 | 48,022 | ||
Goldman Sachs Group Inc. | 3.625% | 2/20/24 | 42,205 | 42,290 | ||
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 29,010 | 29,218 | ||
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 17,035 | 16,685 | ||
Goldman Sachs Group Inc. | 3.000% | 3/15/24 | 29,490 | 29,218 | ||
9 | Goldman Sachs Group Inc. | 1.375% | 5/15/24 | 1,000 | 1,016 | |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 18,667 | 18,774 | ||
Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 158,400 | 152,183 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 51,150 | 51,108 | ||
Goldman Sachs Group Inc. | 1.757% | 1/24/25 | 59,080 | 57,050 | ||
Goldman Sachs Group Inc. | 3.500% | 4/1/25 | 89,415 | 88,928 | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 83,185 | 83,260 | ||
Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 99,376 | 97,442 | ||
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 61,444 | 62,271 | ||
Goldman Sachs Group Inc. | 0.855% | 2/12/26 | 33,975 | 31,250 | ||
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 23,883 | 23,932 | ||
9 | Goldman Sachs Group Inc. | 2.875% | 6/3/26 | 19,500 | 20,276 | |
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 25,155 | 24,679 | ||
Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 90,585 | 81,931 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 23,300 | 23,294 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 97,620 | 88,242 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 38,150 | 34,203 | ||
Goldman Sachs Group Inc. | 1.948% | 10/21/27 | 72,690 | 66,247 | ||
Goldman Sachs Group Inc. | 2.640% | 2/24/28 | 49,930 | 46,494 | ||
10 | Goldman Sachs Group Inc. | 7.250% | 4/10/28 | 4,700 | 6,771 | |
8,11 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% | 2.200% | 5/16/23 | 29,170 | 20,400 | |
7 | Great-West Lifeco US Finance 2020 LP | 0.904% | 8/12/25 | 10,030 | 9,171 | |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 9,700 | 9,782 | ||
14 | HSBC Holdings plc | 3.196% | 12/5/23 | 48,400 | 37,188 | |
11 | HSBC Holdings plc | 3.350% | 2/16/24 | 9,909 | 6,881 | |
HSBC Holdings plc | 4.250% | 3/14/24 | 49,600 | 49,724 | ||
HSBC Holdings plc | 3.803% | 3/11/25 | 58,275 | 57,512 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 59,700 | 55,887 | ||
HSBC Holdings plc | 4.250% | 8/18/25 | 41,423 | 41,175 | ||
HSBC Holdings plc | 2.633% | 11/7/25 | 46,895 | 44,921 | ||
HSBC Holdings plc | 4.300% | 3/8/26 | 24,965 | 25,165 | ||
HSBC Holdings plc | 2.999% | 3/10/26 | 47,660 | 45,829 | ||
HSBC Holdings plc | 1.645% | 4/18/26 | 103,654 | 95,664 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 29,850 | 29,687 | ||
HSBC Holdings plc | 2.099% | 6/4/26 | 127,707 | 119,136 | ||
HSBC Holdings plc | 4.292% | 9/12/26 | 55,223 | 54,603 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 80,846 | 72,082 | ||
10 | HSBC Holdings plc | 1.750% | 7/24/27 | 8,200 | 9,212 | |
HSBC Holdings plc | 2.251% | 11/22/27 | 32,800 | 29,654 | ||
HSBC Holdings plc | 4.041% | 3/13/28 | 75,639 | 73,061 | ||
HSBC Holdings plc | 4.755% | 6/9/28 | 18,700 | 18,547 | ||
8,11 | HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% | 2.100% | 2/16/24 | 17,314 | 12,079 | |
Huntington Bancshares Inc. | 4.350% | 2/4/23 | 8,800 | 8,807 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ING Groep NV | 3.550% | 4/9/24 | 4,800 | 4,777 | ||
ING Groep NV | 3.950% | 3/29/27 | 24,836 | 24,275 | ||
ING Groep NV | 1.726% | 4/1/27 | 19,420 | 17,573 | ||
Intercontinental Exchange Inc. | 3.650% | 5/23/25 | 26,400 | 26,604 | ||
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 29,498 | 29,742 | ||
Intercontinental Exchange Inc. | 4.000% | 9/15/27 | 52,800 | 53,156 | ||
9 | Intesa Sanpaolo SpA | 1.375% | 1/18/24 | 2,000 | 2,023 | |
7 | Intesa Sanpaolo SpA | 3.250% | 9/23/24 | 32,450 | 31,346 | |
Invesco Finance plc | 4.000% | 1/30/24 | 40,732 | 40,964 | ||
Invesco Finance plc | 3.750% | 1/15/26 | 13,760 | 13,723 | ||
7 | Jackson Financial Inc. | 1.125% | 11/22/23 | 20,940 | 20,171 | |
JPMorgan Chase & Co. | 3.797% | 7/23/24 | 15,069 | 15,038 | ||
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 3,075 | 3,094 | ||
JPMorgan Chase & Co. | 4.023% | 12/5/24 | 27,732 | 27,790 | ||
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 30,565 | 28,962 | ||
JPMorgan Chase & Co. | 3.220% | 3/1/25 | 116,868 | 115,674 | ||
JPMorgan Chase & Co. | 0.824% | 6/1/25 | 108,905 | 102,470 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 81,300 | 76,505 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 41,063 | 41,584 | ||
JPMorgan Chase & Co. | 2.301% | 10/15/25 | 100,625 | 96,484 | ||
JPMorgan Chase & Co. | 1.561% | 12/10/25 | 47,600 | 44,792 | ||
JPMorgan Chase & Co. | 2.005% | 3/13/26 | 92,341 | 87,345 | ||
JPMorgan Chase & Co. | 2.083% | 4/22/26 | 142,870 | 135,429 | ||
JPMorgan Chase & Co. | 4.080% | 4/26/26 | 63,485 | 63,407 | ||
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 35,135 | 34,761 | ||
JPMorgan Chase & Co. | 1.045% | 11/19/26 | 140,388 | 126,598 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 19,304 | 19,522 | ||
JPMorgan Chase & Co. | 1.040% | 2/4/27 | 79,540 | 71,442 | ||
JPMorgan Chase & Co. | 1.578% | 4/22/27 | 91,550 | 83,174 | ||
JPMorgan Chase & Co. | 1.470% | 9/22/27 | 59,200 | 52,936 | ||
JPMorgan Chase & Co. | 3.782% | 2/1/28 | 28,775 | 28,250 | ||
JPMorgan Chase & Co. | 2.947% | 2/24/28 | 4,953 | 4,685 | ||
JPMorgan Chase & Co. | 4.323% | 4/26/28 | 55,805 | 55,970 | ||
JPMorgan Chase & Co. | 4.851% | 7/25/28 | 65,840 | 67,562 | ||
9 | KBC Group NV | 0.750% | 10/18/23 | 1,000 | 1,014 | |
Kemper Corp. | 4.350% | 2/15/25 | 9,059 | 9,051 | ||
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 5.250% | 10/1/25 | 3,880 | 3,664 | |
Lazard Group LLC | 3.750% | 2/13/25 | 7,625 | 7,574 | ||
15,16 | Lehman Brothers E-Capital Trust I | 3.589% | 8/19/65 | 9,410 | 1 | |
Lincoln National Corp. | 4.000% | 9/1/23 | 8,850 | 8,906 | ||
Lloyds Banking Group plc | 4.050% | 8/16/23 | 53,550 | 53,684 | ||
Lloyds Banking Group plc | 3.900% | 3/12/24 | 14,500 | 14,539 | ||
Lloyds Banking Group plc | 4.582% | 12/10/25 | 42,383 | 41,803 | ||
Lloyds Banking Group plc | 2.438% | 2/5/26 | 14,200 | 13,518 | ||
Lloyds Banking Group plc | 4.650% | 3/24/26 | 1,080 | 1,068 | ||
Lloyds Banking Group plc | 3.750% | 1/11/27 | 43,260 | 42,314 | ||
Lloyds Banking Group plc | 1.627% | 5/11/27 | 19,415 | 17,472 | ||
7 | LSEGA Financing plc | 0.650% | 4/6/24 | 39,665 | 37,614 | |
9 | Luminor Bank A/S | 0.792% | 12/3/24 | 5,344 | 5,285 | |
8,11 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.900% | 4.070% | 5/28/30 | 33,130 | 23,281 | |
7 | Macquarie Group Ltd. | 1.340% | 1/12/27 | 35,525 | 31,659 | |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 9,700 | 9,723 | ||
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 29,500 | 29,496 | ||
7 | Metropolitan Life Global Funding I | 0.400% | 1/7/24 | 19,960 | 19,092 | |
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 8,775 | 8,687 | ||
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 46,925 | 46,669 | ||
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 27,840 | 27,279 | ||
Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 73,974 | 71,341 | ||
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 34,987 | 33,491 | ||
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 78,174 | 78,522 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 48,955 | 45,665 | ||
Mitsubishi UFJ Financial Group Inc. | 4.788% | 7/18/25 | 16,700 | 16,880 | ||
Mitsubishi UFJ Financial Group Inc. | 0.953% | 7/19/25 | 75,355 | 70,585 | ||
Mitsubishi UFJ Financial Group Inc. | 0.962% | 10/11/25 | 31,900 | 29,609 | ||
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 11,300 | 10,725 | ||
Mitsubishi UFJ Financial Group Inc. | 1.538% | 7/20/27 | 64,598 | 57,765 | ||
Mitsubishi UFJ Financial Group Inc. | 1.640% | 10/13/27 | 27,700 | 24,762 | ||
Mitsubishi UFJ Financial Group Inc. | 2.341% | 1/19/28 | 47,700 | 43,636 | ||
Mitsubishi UFJ Financial Group Inc. | 5.017% | 7/20/28 | 16,200 | 16,642 | ||
8,11 | Mitsubishi UFJ Financial Group Inc., 3M Australian Bank Bill Rate + 1.250% | 3.063% | 10/1/24 | 13,600 | 9,498 | |
Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 1,410 | 1,372 | ||
Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 28,700 | 27,565 | ||
7 | Mizuho Financial Group Inc. | 3.477% | 4/12/26 | 9,700 | 9,416 | |
Mizuho Financial Group Inc. | 2.226% | 5/25/26 | 28,890 | 27,198 | ||
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 52,063 | 46,010 | ||
Mizuho Financial Group Inc. | 1.554% | 7/9/27 | 40,700 | 36,263 | ||
Morgan Stanley | 4.100% | 5/22/23 | 33,500 | 33,658 | ||
Morgan Stanley | 0.560% | 11/10/23 | 38,610 | 38,256 | ||
Morgan Stanley | 0.529% | 1/25/24 | 69,850 | 68,727 | ||
Morgan Stanley | 0.731% | 4/5/24 | 36,085 | 35,296 | ||
Morgan Stanley | 3.737% | 4/24/24 | 17,765 | 17,737 | ||
Morgan Stanley | 3.875% | 4/29/24 | 16,900 | 17,034 | ||
Morgan Stanley | 3.700% | 10/23/24 | 28,860 | 29,037 | ||
Morgan Stanley | 0.791% | 1/22/25 | 50,700 | 48,226 | ||
Morgan Stanley | 0.790% | 5/30/25 | 174,870 | 164,207 | ||
Morgan Stanley | 2.720% | 7/22/25 | 125,360 | 122,172 | ||
Morgan Stanley | 4.000% | 7/23/25 | 75,721 | 76,515 | ||
Morgan Stanley | 0.864% | 10/21/25 | 11,410 | 10,611 | ||
Morgan Stanley | 1.164% | 10/21/25 | 28,800 | 26,902 | ||
Morgan Stanley | 5.000% | 11/24/25 | 85,105 | 87,713 | ||
Morgan Stanley | 3.875% | 1/27/26 | 90,315 | 90,899 | ||
Morgan Stanley | 2.188% | 4/28/26 | 122,055 | 116,272 | ||
9 | Morgan Stanley | 2.103% | 5/8/26 | 20,778 | 21,290 | |
Morgan Stanley | 4.679% | 7/17/26 | 25,000 | 25,403 | ||
Morgan Stanley | 3.125% | 7/27/26 | 12,619 | 12,344 | ||
Morgan Stanley | 4.350% | 9/8/26 | 41,130 | 41,481 | ||
Morgan Stanley | 0.985% | 12/10/26 | 59,465 | 53,428 | ||
Morgan Stanley | 3.625% | 1/20/27 | 66,477 | 66,411 | ||
Morgan Stanley | 1.593% | 5/4/27 | 55,135 | 50,290 | ||
Morgan Stanley | 1.512% | 7/20/27 | 66,650 | 60,140 | ||
9 | Morgan Stanley | 0.406% | 10/29/27 | 8,226 | 7,772 | |
Morgan Stanley | 2.475% | 1/21/28 | 81,230 | 75,621 | ||
Morgan Stanley | 4.210% | 4/20/28 | 29,100 | 29,082 | ||
9 | National Australia Bank Ltd. | 0.625% | 11/10/23 | 1,000 | 1,013 | |
National Bank of Canada | 0.750% | 8/6/24 | 17,357 | 16,292 | ||
National Bank of Canada | 0.550% | 11/15/24 | 14,823 | 14,188 | ||
7 | Nationwide Building Society | 3.766% | 3/8/24 | 6,900 | 6,879 | |
7 | Nationwide Building Society | 4.363% | 8/1/24 | 17,052 | 17,014 | |
7 | Nationwide Building Society | 1.000% | 8/28/25 | 23,130 | 21,042 | |
7 | Nationwide Building Society | 1.500% | 10/13/26 | 13,045 | 11,798 | |
9 | Nationwide Building Society | 2.000% | 7/25/29 | 48,715 | 48,244 | |
Natwest Group plc | 3.073% | 5/22/28 | 12,286 | 11,370 | ||
NatWest Group plc | 3.875% | 9/12/23 | 36,709 | 36,647 | ||
NatWest Group plc | 2.359% | 5/22/24 | 9,680 | 9,525 | ||
NatWest Group plc | 4.269% | 3/22/25 | 73,550 | 72,900 | ||
9 | NatWest Group plc | 1.750% | 3/2/26 | 14,500 | 14,555 | |
NatWest Group plc | 4.800% | 4/5/26 | 24,675 | 24,933 | ||
NatWest Group plc | 1.642% | 6/14/27 | 22,600 | 20,138 | ||
NatWest Group plc | 3.754% | 11/1/29 | 30,835 | 29,548 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
10 | NatWest Group plc | 2.105% | 11/28/31 | 7,300 | 7,915 | |
9 | NatWest Markets plc | 0.125% | 11/12/25 | 9,700 | 9,343 | |
10 | NIBC Bank NV | 3.125% | 11/15/23 | 11,500 | 13,843 | |
Nomura Holdings Inc. | 2.648% | 1/16/25 | 24,200 | 23,275 | ||
Nomura Holdings Inc. | 1.851% | 7/16/25 | 13,236 | 12,303 | ||
Nomura Holdings Inc. | 1.653% | 7/14/26 | 56,135 | 50,245 | ||
Nomura Holdings Inc. | 2.329% | 1/22/27 | 24,300 | 21,988 | ||
Nomura Holdings Inc. | 5.386% | 7/6/27 | 19,400 | 19,846 | ||
Northern Trust Corp. | 4.000% | 5/10/27 | 35,185 | 36,179 | ||
7 | Nuveen Finance LLC | 4.125% | 11/1/24 | 14,375 | 14,356 | |
OneMain Finance Corp. | 3.500% | 1/15/27 | 2,438 | 2,095 | ||
9 | OP Corporate Bank plc | 0.375% | 2/26/24 | 1,000 | 1,011 | |
ORIX Corp. | 4.050% | 1/16/24 | 3,850 | 3,868 | ||
Owl Rock Capital Corp. | 3.750% | 7/22/25 | 9,580 | 9,133 | ||
Owl Rock Capital Corp. | 4.250% | 1/15/26 | 1,940 | 1,854 | ||
Owl Rock Capital Corp. | 3.400% | 7/15/26 | 23,230 | 20,904 | ||
10 | Pension Insurance Corp. plc | 6.500% | 7/3/24 | 19,905 | 25,143 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.250% | 1/17/23 | 3,470 | 3,478 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 3/14/23 | 10,169 | 10,095 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.125% | 8/1/23 | 4,340 | 4,347 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.450% | 7/1/24 | 61,977 | 60,942 | |
7 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 1.200% | 11/15/25 | 58,335 | 52,578 | |
10 | Phoenix Group Holdings plc | 6.625% | 12/18/25 | 24,093 | 30,640 | |
PNC Bank NA | 3.800% | 7/25/23 | 10,729 | 10,768 | ||
Principal Financial Group Inc. | 3.100% | 11/15/26 | 5,935 | 5,706 | ||
Progressive Corp. | 2.500% | 3/15/27 | 34,943 | 33,690 | ||
7 | Protective Life Global Funding | 0.473% | 1/12/24 | 320 | 306 | |
7 | Protective Life Global Funding | 1.618% | 4/15/26 | 22,570 | 20,797 | |
Prudential Financial Inc. | 5.200% | 3/15/44 | 2,415 | 2,334 | ||
Prudential Financial Inc. | 5.375% | 5/15/45 | 3,465 | 3,410 | ||
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 1,500 | 1,516 | ||
7 | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc. | 2.875% | 10/15/26 | 6,800 | 6,001 | |
10 | Rothesay Life plc | 8.000% | 10/30/25 | 19,730 | 26,096 | |
Royal Bank of Canada | 2.550% | 7/16/24 | 76,541 | 75,148 | ||
Royal Bank of Canada | 3.970% | 7/26/24 | 37,750 | 37,970 | ||
Royal Bank of Canada | 0.750% | 10/7/24 | 23,475 | 22,054 | ||
Royal Bank of Canada | 2.250% | 11/1/24 | 45,469 | 44,346 | ||
Royal Bank of Canada | 1.600% | 1/21/25 | 21,100 | 20,145 | ||
Royal Bank of Canada | 3.375% | 4/14/25 | 26,960 | 26,825 | ||
Royal Bank of Canada | 1.150% | 6/10/25 | 27,870 | 26,061 | ||
Royal Bank of Canada | 1.200% | 4/27/26 | 60,580 | 55,405 | ||
Royal Bank of Canada | 1.150% | 7/14/26 | 49,384 | 44,886 | ||
Royal Bank of Canada | 1.400% | 11/2/26 | 15,705 | 14,255 | ||
Royal Bank of Canada | 3.625% | 5/4/27 | 15,700 | 15,524 | ||
Royal Bank of Canada | 4.240% | 8/3/27 | 3,500 | 3,541 | ||
Santander Holdings USA Inc. | 3.500% | 6/7/24 | 46,300 | 45,831 | ||
Santander Holdings USA Inc. | 3.450% | 6/2/25 | 37,135 | 36,047 | ||
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 22,962 | 22,985 | ||
Santander UK Group Holdings plc | 3.373% | 1/5/24 | 67,907 | 67,589 | ||
Santander UK Group Holdings plc | 4.796% | 11/15/24 | 25,877 | 25,863 | ||
Santander UK Group Holdings plc | 1.532% | 8/21/26 | 33,875 | 30,607 | ||
Santander UK Group Holdings plc | 1.673% | 6/14/27 | 63,415 | 56,068 | ||
Santander UK Group Holdings plc | 2.469% | 1/11/28 | 33,952 | 30,508 | ||
7 | Santander UK plc | 5.000% | 11/7/23 | 4,328 | 4,358 | |
Santander UK plc | 4.000% | 3/13/24 | 56,870 | 57,159 | ||
7 | SBL Holdings Inc. | 5.125% | 11/13/26 | 15,088 | 14,684 | |
9 | SCOR SE | 3.000% | 6/8/46 | 400 | 399 | |
10 | Scottish Widows Ltd. | 5.500% | 6/16/23 | 16,354 | 20,163 | |
7 | Security Benefit Global Funding | 1.250% | 5/17/24 | 13,595 | 12,833 | |
Sixth Street Specialty Lending Inc. | 2.500% | 8/1/26 | 9,700 | 8,599 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
8,11 | Standard Chartered plc, 3M Australian Bank Bill Rate + 1.850% | 3.660% | 6/28/25 | 20,500 | 14,467 | |
State Street Corp. | 3.550% | 8/18/25 | 25,480 | 25,665 | ||
State Street Corp. | 2.354% | 11/1/25 | 58,809 | 57,385 | ||
State Street Corp. | 2.650% | 5/19/26 | 6,900 | 6,759 | ||
Stifel Financial Corp. | 4.250% | 7/18/24 | 14,300 | 14,397 | ||
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 302 | 303 | ||
Sumitomo Mitsui Financial Group Inc. | 0.508% | 1/12/24 | 8,670 | 8,311 | ||
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 158,717 | 155,363 | ||
Sumitomo Mitsui Financial Group Inc. | 2.448% | 9/27/24 | 4,800 | 4,644 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 26,400 | 25,375 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 49,095 | 45,771 | ||
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 32,810 | 32,692 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 49,634 | 47,330 | ||
Sumitomo Mitsui Financial Group Inc. | 1.402% | 9/17/26 | 49,100 | 44,090 | ||
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 23,285 | 22,644 | ||
Sumitomo Mitsui Financial Group Inc. | 2.174% | 1/14/27 | 19,400 | 17,855 | ||
8,11 | Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.250% | 3.441% | 10/16/24 | 23,465 | 16,392 | |
SVB Financial Group | 1.800% | 10/28/26 | 29,000 | 26,300 | ||
9 | Svenska Handelsbanken AB | 1.625% | 3/5/29 | 1,300 | 1,306 | |
Synchrony Financial | 4.375% | 3/19/24 | 21,466 | 21,449 | ||
Synchrony Financial | 4.250% | 8/15/24 | 40,502 | 40,523 | ||
Synchrony Financial | 4.500% | 7/23/25 | 42,390 | 42,221 | ||
Synchrony Financial | 3.700% | 8/4/26 | 23,619 | 22,371 | ||
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 4,988 | |
Toronto-Dominion Bank | 2.350% | 3/8/24 | 68,711 | 67,558 | ||
Toronto-Dominion Bank | 3.766% | 6/6/25 | 75,945 | 76,240 | ||
Toronto-Dominion Bank | 1.150% | 6/12/25 | 30,400 | 28,439 | ||
Toronto-Dominion Bank | 0.750% | 9/11/25 | 57,055 | 52,342 | ||
Toronto-Dominion Bank | 1.250% | 9/10/26 | 74,720 | 67,827 | ||
Toronto-Dominion Bank | 2.800% | 3/10/27 | 94,215 | 90,208 | ||
Toronto-Dominion Bank | 4.108% | 6/8/27 | 59,060 | 59,715 | ||
Toronto-Dominion Bank | 3.625% | 9/15/31 | 11,000 | 10,646 | ||
8,11 | Toronto-Dominion Bank, 3M Australian Bank Bill Rate + 1.000% | 2.980% | 7/10/24 | 12,480 | 8,718 | |
Trinity Acquisition plc | 4.400% | 3/15/26 | 1,367 | 1,374 | ||
Truist Bank | 2.150% | 12/6/24 | 42,875 | 41,591 | ||
Truist Bank | 1.500% | 3/10/25 | 35,380 | 33,644 | ||
Truist Bank | 3.625% | 9/16/25 | 21,610 | 21,547 | ||
Truist Bank | 4.050% | 11/3/25 | 290 | 294 | ||
Truist Bank | 2.636% | 9/17/29 | 10,545 | 10,048 | ||
Truist Financial Corp. | 2.500% | 8/1/24 | 12,645 | 12,425 | ||
Truist Financial Corp. | 4.000% | 5/1/25 | 18,790 | 19,000 | ||
Truist Financial Corp. | 1.200% | 8/5/25 | 22,235 | 20,703 | ||
Truist Financial Corp. | 1.267% | 3/2/27 | 15,350 | 14,086 | ||
7 | UBS AG | 1.250% | 6/1/26 | 27,200 | 24,632 | |
7 | UBS Group AG | 4.125% | 9/24/25 | 8,000 | 8,035 | |
7 | UBS Group AG | 4.125% | 4/15/26 | 8,250 | 8,223 | |
7 | UBS Group AG | 1.364% | 1/30/27 | 29,910 | 26,883 | |
7 | UBS Group AG | 1.494% | 8/10/27 | 33,900 | 30,071 | |
US Bancorp | 3.600% | 9/11/24 | 14,310 | 14,420 | ||
US Bancorp | 1.450% | 5/12/25 | 7,775 | 7,429 | ||
US Bancorp | 3.100% | 4/27/26 | 10,154 | 9,985 | ||
US Bancorp | 2.375% | 7/22/26 | 24,725 | 23,902 | ||
US Bancorp | 4.548% | 7/22/28 | 143,705 | 147,526 | ||
US Bank NA | 2.050% | 1/21/25 | 8,433 | 8,169 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
15,16 | Washington Mutual Bank / Debt not acquired by JPMorgan | 6.875% | 6/15/11 | 21,983 | 2 | |
Wells Fargo & Co. | 3.750% | 1/24/24 | 16,725 | 16,824 | ||
11 | Wells Fargo & Co. | 4.750% | 8/27/24 | 33,810 | 23,867 | |
Wells Fargo & Co. | 3.000% | 2/19/25 | 102,996 | 101,918 | ||
Wells Fargo & Co. | 0.805% | 5/19/25 | 22,155 | 20,907 | ||
Wells Fargo & Co. | 3.550% | 9/29/25 | 94,858 | 94,587 | ||
Wells Fargo & Co. | 2.406% | 10/30/25 | 101,711 | 97,843 | ||
Wells Fargo & Co. | 2.164% | 2/11/26 | 89,354 | 85,215 | ||
Wells Fargo & Co. | 3.000% | 4/22/26 | 59,637 | 57,893 | ||
Wells Fargo & Co. | 2.188% | 4/30/26 | 132,990 | 126,281 | ||
Wells Fargo & Co. | 4.100% | 6/3/26 | 91,330 | 91,642 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 73,175 | 71,047 | ||
9 | Wells Fargo & Co. | 1.375% | 10/26/26 | 24,290 | 24,006 | |
Wells Fargo & Co. | 3.196% | 6/17/27 | 20,050 | 19,282 | ||
Wells Fargo & Co. | 3.526% | 3/24/28 | 75,025 | 72,524 | ||
Wells Fargo & Co. | 4.808% | 7/25/28 | 65,840 | 67,364 | ||
10 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 33,450 | 41,405 | |
9 | Westpac Banking Corp. | 0.750% | 10/17/23 | 200 | 203 | |
7 | Westpac Banking Corp. | 1.552% | 9/30/26 | 8,250 | 7,693 | |
11 | Westpac Banking Corp. | 4.800% | 6/14/28 | 3,294 | 2,310 | |
Westpac Banking Corp. | 2.894% | 2/4/30 | 63,744 | 60,602 | ||
Westpac Banking Corp. | 4.322% | 11/23/31 | 27,918 | 27,173 | ||
8,11 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.400% | 2.400% | 2/16/28 | 2,900 | 2,007 | |
8,11 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.550% | 3.671% | 1/29/31 | 6,800 | 4,611 | |
8,11 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% | 3.578% | 6/22/28 | 46,000 | 32,147 | |
8,11 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.980% | 3.109% | 8/27/29 | 21,400 | 14,938 | |
Willis North America Inc. | 3.600% | 5/15/24 | 70,071 | 69,738 | ||
Willis North America Inc. | 4.650% | 6/15/27 | 19,400 | 19,529 | ||
19,689,981 | ||||||
Health Care (6.6%) | ||||||
AbbVie Inc. | 2.300% | 11/21/22 | 124,155 | 123,924 | ||
AbbVie Inc. | 2.800% | 3/15/23 | 8,647 | 8,596 | ||
AbbVie Inc. | 3.850% | 6/15/24 | 31,807 | 31,975 | ||
AbbVie Inc. | 2.600% | 11/21/24 | 247,360 | 242,075 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 117,842 | 118,233 | ||
AbbVie Inc. | 3.600% | 5/14/25 | 11,792 | 11,798 | ||
AbbVie Inc. | 3.200% | 5/14/26 | 24,750 | 24,505 | ||
AbbVie Inc. | 2.950% | 11/21/26 | 119,467 | 116,530 | ||
Aetna Inc. | 2.800% | 6/15/23 | 46,265 | 46,005 | ||
Aetna Inc. | 3.500% | 11/15/24 | 9,670 | 9,637 | ||
Agilent Technologies Inc. | 3.050% | 9/22/26 | 2,000 | 1,938 | ||
7 | Alcon Finance Corp. | 2.750% | 9/23/26 | 19,700 | 18,708 | |
9 | American Medical Systems Europe BV | 0.750% | 3/8/25 | 25,841 | 25,970 | |
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 20,045 | 19,686 | ||
Amgen Inc. | 3.125% | 5/1/25 | 15,679 | 15,617 | ||
Amgen Inc. | 2.200% | 2/21/27 | 34,841 | 33,054 | ||
Amgen Inc. | 3.200% | 11/2/27 | 7,330 | 7,234 | ||
Anthem Inc. | 3.500% | 8/15/24 | 12,029 | 12,032 | ||
Anthem Inc. | 2.375% | 1/15/25 | 24,455 | 23,839 | ||
Anthem Inc. | 1.500% | 3/15/26 | 38,795 | 36,203 | ||
Astrazeneca Finance LLC | 1.200% | 5/28/26 | 76,530 | 70,784 | ||
AstraZeneca plc | 3.375% | 11/16/25 | 30,383 | 30,471 | ||
Baxalta Inc. | 4.000% | 6/23/25 | 12,304 | 12,316 | ||
Baxter International Inc. | 1.322% | 11/29/24 | 145,800 | 137,876 | ||
Baxter International Inc. | 1.915% | 2/1/27 | 144,915 | 133,693 | ||
7 | Bayer US Finance II LLC | 3.875% | 12/15/23 | 120,071 | 120,093 | |
7 | Bayer US Finance LLC | 3.375% | 10/8/24 | 24,570 | 24,251 | |
Becton Dickinson and Co. | 3.363% | 6/6/24 | 31,743 | 31,519 | ||
Becton Dickinson and Co. | 3.700% | 6/6/27 | 69,747 | 69,089 | ||
Boston Scientific Corp. | 3.450% | 3/1/24 | 21,005 | 21,024 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Boston Scientific Corp. | 1.900% | 6/1/25 | 43,755 | 41,784 | ||
Cardinal Health Inc. | 3.079% | 6/15/24 | 9,000 | 8,892 | ||
Cigna Corp. | 3.000% | 7/15/23 | 15,473 | 15,404 | ||
Cigna Corp. | 0.613% | 3/15/24 | 8,400 | 8,034 | ||
Cigna Corp. | 3.500% | 6/15/24 | 54,665 | 54,828 | ||
Cigna Corp. | 3.250% | 4/15/25 | 24,000 | 23,810 | ||
Cigna Corp. | 4.125% | 11/15/25 | 96,619 | 98,095 | ||
Cigna Corp. | 4.500% | 2/25/26 | 9,900 | 10,186 | ||
Cigna Corp. | 1.250% | 3/15/26 | 22,550 | 20,841 | ||
Cigna Corp. | 3.400% | 3/1/27 | 36,217 | 35,754 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 1,900 | 1,907 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 47,945 | 46,752 | ||
CommonSpirit Health | 1.547% | 10/1/25 | 32,500 | 30,136 | ||
7 | CSL UK Holdings Ltd. | 3.850% | 4/27/27 | 9,680 | 9,756 | |
CVS Health Corp. | 2.625% | 8/15/24 | 52,900 | 52,311 | ||
CVS Health Corp. | 4.100% | 3/25/25 | 25,853 | 26,259 | ||
CVS Health Corp. | 3.875% | 7/20/25 | 45,617 | 46,185 | ||
CVS Health Corp. | 2.875% | 6/1/26 | 24,200 | 23,710 | ||
CVS Health Corp. | 3.000% | 8/15/26 | 41,970 | 41,100 | ||
CVS Health Corp. | 3.625% | 4/1/27 | 59,135 | 59,059 | ||
CVS Health Corp. | 1.300% | 8/21/27 | 29,000 | 25,911 | ||
Danaher Corp. | 3.350% | 9/15/25 | 9,700 | 9,686 | ||
DH Europe Finance II Sarl | 2.200% | 11/15/24 | 96,366 | 93,346 | ||
9 | DH Europe Finance II Sarl | 0.200% | 3/18/26 | 19,435 | 18,996 | |
Dignity Health | 3.812% | 11/1/24 | 970 | 969 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 1,923 | 1,778 | ||
9 | Fresenius Finance Ireland plc | 1.500% | 1/30/24 | 1,000 | 1,022 | |
Gilead Sciences Inc. | 0.750% | 9/29/23 | 33,225 | 32,282 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 46,615 | 46,997 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 97,415 | 97,892 | ||
Gilead Sciences Inc. | 3.650% | 3/1/26 | 78,587 | 78,847 | ||
Gilead Sciences Inc. | 2.950% | 3/1/27 | 8,024 | 7,815 | ||
HCA Inc. | 5.000% | 3/15/24 | 96,830 | 98,222 | ||
HCA Inc. | 5.250% | 4/15/25 | 47,142 | 48,067 | ||
HCA Inc. | 5.250% | 6/15/26 | 44,900 | 45,684 | ||
7 | HCA Inc. | 3.125% | 3/15/27 | 28,845 | 27,202 | |
7 | Highmark Inc. | 1.450% | 5/10/26 | 60,053 | 55,009 | |
Humana Inc. | 0.650% | 8/3/23 | 41,800 | 40,625 | ||
Humana Inc. | 3.850% | 10/1/24 | 15,019 | 15,092 | ||
Humana Inc. | 4.500% | 4/1/25 | 48,500 | 49,405 | ||
Humana Inc. | 3.950% | 3/15/27 | 6,000 | 6,014 | ||
Illumina Inc. | 0.550% | 3/23/23 | 19,600 | 19,168 | ||
McKesson Corp. | 2.700% | 12/15/22 | 66,452 | 66,268 | ||
McKesson Corp. | 2.850% | 3/15/23 | 19,435 | 19,368 | ||
McKesson Corp. | 3.796% | 3/15/24 | 53,240 | 53,465 | ||
McKesson Corp. | 0.900% | 12/3/25 | 33,440 | 30,533 | ||
McKesson Corp. | 1.300% | 8/15/26 | 34,000 | 30,879 | ||
Merck & Co. Inc. | 1.700% | 6/10/27 | 42,980 | 40,282 | ||
7 | Mylan Inc. | 3.125% | 1/15/23 | 27,015 | 26,851 | |
7 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 9,705 | 9,209 | |
PerkinElmer Inc. | 0.850% | 9/15/24 | 58,085 | 54,484 | ||
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 12,893 | 12,466 | ||
Quest Diagnostics Inc. | 3.500% | 3/30/25 | 11,655 | 11,596 | ||
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 6,800 | 6,757 | ||
7 | Roche Holdings Inc. | 2.132% | 3/10/25 | 17,925 | 17,531 | |
7 | Roche Holdings Inc. | 2.314% | 3/10/27 | 48,510 | 46,554 | |
Royalty Pharma plc | 0.750% | 9/2/23 | 52,600 | 50,838 | ||
Royalty Pharma plc | 1.200% | 9/2/25 | 36,950 | 33,990 | ||
Royalty Pharma plc | 1.750% | 9/2/27 | 26,975 | 23,920 | ||
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 137,061 | 133,499 | ||
SSM Health Care Corp. | 3.688% | 6/1/23 | 25,640 | 25,694 | ||
Stryker Corp. | 1.150% | 6/15/25 | 38,800 | 36,334 | ||
Stryker Corp. | 3.375% | 11/1/25 | 2,960 | 2,934 | ||
Takeda Pharmaceutical Co. Ltd. | 4.400% | 11/26/23 | 20,736 | 20,919 | ||
Takeda Pharmaceutical Co. Ltd. | 5.000% | 11/26/28 | 5,000 | 5,231 | ||
7 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 1,545 | 1,533 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 6,250 | 6,157 | |
7 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 2,644 | 2,460 | |
9 | Thermo Fisher Scientific Finance I BV | 0.000% | 11/18/23 | 1,000 | 1,008 | |
Thermo Fisher Scientific Inc. | 0.797% | 10/18/23 | 175,835 | 170,923 | ||
Thermo Fisher Scientific Inc. | 1.215% | 10/18/24 | 174,500 | 166,838 | ||
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 5,427 | 5,529 | ||
UnitedHealth Group Inc. | 1.250% | 1/15/26 | 10,320 | 9,672 | ||
Utah Acquisition Sub Inc. | 3.950% | 6/15/26 | 74,350 | 70,382 | ||
Viatris Inc. | 1.650% | 6/22/25 | 80,766 | 74,135 | ||
Zimmer Biomet Holdings Inc. | 3.050% | 1/15/26 | 73,410 | 71,457 | ||
Zoetis Inc. | 4.500% | 11/13/25 | 38,800 | 39,830 | ||
Zoetis Inc. | 3.000% | 9/12/27 | 4,615 | 4,467 | ||
4,437,500 | ||||||
Industrials (5.6%) | ||||||
10 | Abertis Infraestructuras SA | 3.375% | 11/27/26 | 400 | 465 | |
7 | Air Canada | 3.875% | 8/15/26 | 3,605 | 3,317 | |
7 | Allison Transmission Inc. | 4.750% | 10/1/27 | 3,048 | 2,900 | |
7 | American Airlines Inc. | 11.750% | 7/15/25 | 1,452 | 1,612 | |
7 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.500% | 4/20/26 | 7,985 | 7,875 | |
7 | AP Moller - Maersk A/S | 3.875% | 9/28/25 | 27,700 | 27,831 | |
7 | Aramark Services Inc. | 6.375% | 5/1/25 | 10,005 | 10,019 | |
7 | Aramark Services Inc. | 5.000% | 2/1/28 | 1,100 | 1,074 | |
11 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 21,690 | 15,070 | |
9 | Aurizon Network Pty Ltd. | 3.125% | 6/1/26 | 1,000 | 1,050 | |
9 | Autoroutes du Sud de la France SA | 1.125% | 4/20/26 | 1,100 | 1,101 | |
Boeing Co. | 4.508% | 5/1/23 | 174,223 | 174,718 | ||
Boeing Co. | 1.875% | 6/15/23 | 19,781 | 19,431 | ||
Boeing Co. | 1.433% | 2/4/24 | 222,300 | 213,943 | ||
Boeing Co. | 2.800% | 3/1/24 | 28,830 | 28,267 | ||
Boeing Co. | 2.850% | 10/30/24 | 7,500 | 7,330 | ||
Boeing Co. | 4.875% | 5/1/25 | 207,276 | 210,458 | ||
Boeing Co. | 2.600% | 10/30/25 | 10,553 | 9,985 | ||
Boeing Co. | 2.750% | 2/1/26 | 30,255 | 28,941 | ||
Boeing Co. | 2.196% | 2/4/26 | 387,200 | 360,581 | ||
Boeing Co. | 2.250% | 6/15/26 | 8,748 | 8,083 | ||
Boeing Co. | 2.700% | 2/1/27 | 23,440 | 21,725 | ||
11 | Brisbane Airport Corp. Pty Ltd. | 3.900% | 4/24/25 | 12,200 | 8,299 | |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 15,760 | 17,549 | ||
Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 9,568 | 9,389 | ||
Canadian Pacific Railway Co. | 1.750% | 12/2/26 | 36,800 | 34,213 | ||
7 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 2,697 | 2,530 | |
Carrier Global Corp. | 2.242% | 2/15/25 | 16,409 | 15,832 | ||
Caterpillar Financial Services Corp. | 1.150% | 9/14/26 | 19,400 | 17,871 | ||
7 | Clean Harbors Inc. | 4.875% | 7/15/27 | 12,182 | 12,102 | |
CNH Industrial Capital LLC | 1.950% | 7/2/23 | 23,960 | 23,485 | ||
CNH Industrial Capital LLC | 1.875% | 1/15/26 | 74,052 | 68,342 | ||
CNH Industrial Capital LLC | 1.450% | 7/15/26 | 38,840 | 35,151 | ||
CNH Industrial NV | 4.500% | 8/15/23 | 48,980 | 49,191 | ||
CSX Corp. | 3.350% | 11/1/25 | 4,021 | 4,013 | ||
7 | Daimler Trucks Finance North America LLC | 1.125% | 12/14/23 | 65,390 | 63,082 | |
7 | Daimler Trucks Finance North America LLC | 3.650% | 4/7/27 | 29,020 | 28,337 | |
Delta Air Lines Inc. | 2.900% | 10/28/24 | 2,105 | 2,016 | ||
7 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 59,778 | 62,609 | |
4,7 | Delta Air Lines Inc. / SkyMiles IP Ltd. | 4.500% | 10/20/25 | 94,974 | 94,059 | |
Dover Corp. | 3.150% | 11/15/25 | 6,115 | 6,040 | ||
9 | easyJet plc | 1.125% | 10/18/23 | 1,000 | 1,007 | |
9 | easyJet plc | 0.875% | 6/11/25 | 14,575 | 13,984 | |
Embraer Overseas Ltd. | 5.696% | 9/16/23 | 1,281 | 1,298 | ||
Emerson Electric Co. | 0.875% | 10/15/26 | 9,575 | 8,742 | ||
General Dynamics Corp. | 3.250% | 4/1/25 | 51,654 | 51,805 | ||
General Dynamics Corp. | 3.500% | 5/15/25 | 18,640 | 18,834 | ||
General Dynamics Corp. | 3.500% | 4/1/27 | 21,740 | 21,953 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
10 | Heathrow Funding Ltd. | 7.125% | 2/14/24 | 1,100 | 1,389 | |
10 | Heathrow Funding Ltd. | 6.750% | 12/3/28 | 9,715 | 13,200 | |
Huntington Ingalls Industries Inc. | 3.844% | 5/1/25 | 60,217 | 59,558 | ||
Huntington Ingalls Industries Inc. | 3.483% | 12/1/27 | 31,200 | 29,793 | ||
John Deere Capital Corp. | 3.400% | 6/6/25 | 60,095 | 60,471 | ||
John Deere Capital Corp. | 0.700% | 1/15/26 | 4,840 | 4,465 | ||
John Deere Capital Corp. | 1.300% | 10/13/26 | 10,208 | 9,440 | ||
John Deere Capital Corp. | 2.350% | 3/8/27 | 31,020 | 29,917 | ||
Johnson Controls International plc | 3.625% | 7/2/24 | 8,998 | 8,987 | ||
Johnson Controls International plc | 3.900% | 2/14/26 | 2,541 | 2,560 | ||
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 119,000 | 119,067 | ||
L3Harris Technologies Inc. | 3.950% | 5/28/24 | 13,700 | 13,751 | ||
L3Harris Technologies Inc. | 3.832% | 4/27/25 | 4,620 | 4,613 | ||
L3Harris Technologies Inc. | 3.850% | 12/15/26 | 26,108 | 25,845 | ||
Lennox International Inc. | 1.350% | 8/1/25 | 6,770 | 6,269 | ||
Lennox International Inc. | 1.700% | 8/1/27 | 6,800 | 6,037 | ||
7 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 166,911 | 168,622 | |
7 | Misc Capital Two Labuan Ltd. | 3.625% | 4/6/25 | 48,550 | 47,601 | |
7 | Misc Capital Two Labuan Ltd. | 3.750% | 4/6/27 | 6,795 | 6,504 | |
8,11 | New Terminal Financing Co. Pty Ltd., 3M Australian Bank Bill Rate + 1.450% | 3.437% | 7/12/24 | 5,900 | 4,077 | |
Norfolk Southern Corp. | 3.650% | 8/1/25 | 7,852 | 7,867 | ||
Norfolk Southern Corp. | 2.900% | 6/15/26 | 16,309 | 15,958 | ||
Northrop Grumman Corp. | 2.930% | 1/15/25 | 62,869 | 62,292 | ||
Otis Worldwide Corp. | 2.056% | 4/5/25 | 111,058 | 106,111 | ||
Otis Worldwide Corp. | 2.293% | 4/5/27 | 1,220 | 1,130 | ||
11 | Pacific National Finance Pty Ltd. | 5.250% | 5/19/25 | 38,120 | 26,739 | |
Parker-Hannifin Corp. | 3.650% | 6/15/24 | 77,560 | 77,522 | ||
Parker-Hannifin Corp. | 4.250% | 9/15/27 | 29,080 | 29,748 | ||
Quanta Services Inc. | 0.950% | 10/1/24 | 14,085 | 13,130 | ||
Raytheon Technologies Corp. | 3.650% | 8/16/23 | 10,178 | 10,201 | ||
Raytheon Technologies Corp. | 3.200% | 3/15/24 | 103,489 | 103,397 | ||
Raytheon Technologies Corp. | 3.950% | 8/16/25 | 50,370 | 51,346 | ||
Raytheon Technologies Corp. | 3.500% | 3/15/27 | 38,900 | 39,000 | ||
Raytheon Technologies Corp. | 3.125% | 5/4/27 | 24,137 | 23,725 | ||
Republic Services Inc. | 3.200% | 3/15/25 | 11,715 | 11,596 | ||
Republic Services Inc. | 0.875% | 11/15/25 | 14,500 | 13,235 | ||
Republic Services Inc. | 2.900% | 7/1/26 | 4,860 | 4,727 | ||
7 | Rolls-Royce plc | 3.625% | 10/14/25 | 2,115 | 1,985 | |
7 | Rolls-Royce plc | 5.750% | 10/15/27 | 8,001 | 7,564 | |
Ryder System Inc. | 3.650% | 3/18/24 | 72,595 | 72,443 | ||
Ryder System Inc. | 1.750% | 9/1/26 | 24,290 | 22,407 | ||
Ryder System Inc. | 2.850% | 3/1/27 | 20,090 | 18,981 | ||
9 | Siemens Financieringsmaatschappij NV | 0.300% | 2/28/24 | 1,000 | 1,018 | |
7 | Siemens Financieringsmaatschappij NV | 0.650% | 3/11/24 | 39,366 | 37,793 | |
7 | Siemens Financieringsmaatschappij NV | 1.200% | 3/11/26 | 42,600 | 39,250 | |
Southwest Airlines Co. | 2.750% | 11/16/22 | 29,000 | 28,929 | ||
Southwest Airlines Co. | 4.750% | 5/4/23 | 84,507 | 85,119 | ||
Southwest Airlines Co. | 5.250% | 5/4/25 | 41,341 | 42,609 | ||
Southwest Airlines Co. | 3.000% | 11/15/26 | 6,800 | 6,482 | ||
Southwest Airlines Co. | 5.125% | 6/15/27 | 45,212 | 46,824 | ||
Southwest Airlines Co. | 3.450% | 11/16/27 | 8,742 | 8,414 | ||
Stanley Black & Decker Inc. | 3.400% | 3/1/26 | 21,105 | 21,078 | ||
Teledyne Technologies Inc. | 1.600% | 4/1/26 | 64,850 | 58,974 | ||
7 | TransDigm Inc. | 8.000% | 12/15/25 | 15,808 | 16,363 | |
7 | TransDigm Inc. | 6.250% | 3/15/26 | 6,000 | 6,025 | |
TransDigm Inc. | 5.500% | 11/15/27 | 4,600 | 4,340 | ||
Tyco Electronics Group SA | 3.700% | 2/15/26 | 24,334 | 24,441 | ||
Tyco Electronics Group SA | 3.125% | 8/15/27 | 23,841 | 23,255 | ||
Union Pacific Corp. | 3.500% | 6/8/23 | 22,764 | 22,844 | ||
Union Pacific Corp. | 3.150% | 3/1/24 | 37,610 | 37,596 | ||
Union Pacific Corp. | 3.250% | 8/15/25 | 15,077 | 15,045 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Union Pacific Corp. | 2.750% | 3/1/26 | 8,717 | 8,556 | ||
Union Pacific Corp. | 3.000% | 4/15/27 | 7,062 | 6,970 | ||
4 | United Airlines Class B Series 2020-1 Pass Through Trust | 4.875% | 7/15/27 | 7,721 | 7,290 | |
7 | United Airlines Inc. | 4.375% | 4/15/26 | 9,885 | 9,517 | |
United Rentals North America Inc. | 3.875% | 11/15/27 | 6,608 | 6,347 | ||
4,16 | US Airways Series 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 25 | 25 | |
7 | Vertiv Group Corp. | 4.125% | 11/15/28 | 2,733 | 2,423 | |
Waste Management Inc. | 0.750% | 11/15/25 | 30,210 | 27,780 | ||
Waste Management Inc. | 3.150% | 11/15/27 | 491 | 484 | ||
7 | WESCO Distribution Inc. | 7.125% | 6/15/25 | 1,945 | 2,012 | |
7 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 4,611 | 4,809 | |
7 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 2,530 | 2,374 | |
9 | Wizz Air Finance Co. BV | 1.350% | 1/19/24 | 4,600 | 4,528 | |
11 | WSO Finance Pty Ltd. | 3.500% | 7/14/23 | 9,950 | 6,932 | |
3,787,225 | ||||||
Materials (2.2%) | ||||||
7 | Air Liquide Finance SA | 2.500% | 9/27/26 | 200 | 193 | |
Albemarle Corp. | 4.650% | 6/1/27 | 16,240 | 16,388 | ||
ArcelorMittal SA | 4.550% | 3/11/26 | 12,700 | 12,824 | ||
7 | Arconic Corp. | 6.000% | 5/15/25 | 1,058 | 1,068 | |
7 | Arconic Corp. | 6.125% | 2/15/28 | 2,224 | 2,225 | |
7 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 4/30/25 | 8,019 | 7,863 | |
7 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.125% | 8/15/26 | 4,784 | 4,319 | |
Avery Dennison Corp. | 0.850% | 8/15/24 | 20,000 | 18,867 | ||
7 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV | 4.750% | 6/15/27 | 2,376 | 2,278 | |
Ball Corp. | 4.000% | 11/15/23 | 7,285 | 7,297 | ||
Ball Corp. | 4.875% | 3/15/26 | 2,775 | 2,796 | ||
Berry Global Inc. | 0.950% | 2/15/24 | 67,135 | 63,818 | ||
9 | Berry Global Inc. | 1.000% | 1/15/25 | 400 | 389 | |
8 | Berry Global Inc. | 2.000% | 11/30/25 | 1,074 | 1,055 | |
Berry Global Inc. | 1.570% | 1/15/26 | 113,233 | 103,124 | ||
7 | Berry Global Inc. | 4.875% | 7/15/26 | 15,149 | 14,863 | |
7 | Berry Global Inc. | 5.625% | 7/15/27 | 24,828 | 25,077 | |
7 | Big River Steel LLC / BRS Finance Corp. | 6.625% | 1/31/29 | 4,090 | 4,190 | |
7 | Canpack SA / Canpack US LLC | 3.875% | 11/15/29 | 1,575 | 1,284 | |
Celanese US Holdings LLC | 5.900% | 7/5/24 | 52,420 | 52,814 | ||
Celanese US Holdings LLC | 6.050% | 3/15/25 | 48,410 | 48,833 | ||
9 | Celanese US Holdings LLC | 4.777% | 7/19/26 | 4,500 | 4,693 | |
Celanese US Holdings LLC | 6.165% | 7/15/27 | 26,300 | 26,714 | ||
7 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.300% | 5/1/23 | 48,706 | 48,584 | |
7 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.400% | 12/1/26 | 35,216 | 34,641 | |
Cleveland-Cliffs Inc. | 5.875% | 6/1/27 | 5,381 | 5,362 | ||
Dow Chemical Co. | 4.550% | 11/30/25 | 24,580 | 25,126 | ||
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 63,901 | 64,521 | ||
DuPont de Nemours Inc. | 4.493% | 11/15/25 | 59,612 | 61,140 | ||
Eastman Chemical Co. | 3.800% | 3/15/25 | 22,587 | 22,492 | ||
EI du Pont de Nemours and Co. | 1.700% | 7/15/25 | 14,540 | 13,896 | ||
7 | Element Solutions Inc. | 3.875% | 9/1/28 | 6,543 | 6,043 | |
FMC Corp. | 3.200% | 10/1/26 | 12,000 | 11,599 | ||
7 | Freeport Indonesia PT | 4.763% | 4/14/27 | 5,860 | 5,733 | |
Freeport-McMoRan Inc. | 4.550% | 11/14/24 | 26,375 | 26,525 | ||
Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 8,228 | 7,832 | ||
7 | Georgia-Pacific LLC | 0.625% | 5/15/24 | 69,717 | 66,080 | |
7 | Georgia-Pacific LLC | 1.750% | 9/30/25 | 70,940 | 66,834 | |
7 | Georgia-Pacific LLC | 0.950% | 5/15/26 | 71,895 | 65,348 | |
7 | Georgia-Pacific LLC | 2.100% | 4/30/27 | 49,882 | 46,693 | |
9 | Glencore Finance Europe Ltd. | 1.750% | 3/17/25 | 7,286 | 7,310 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
9 | Glencore Finance Europe Ltd. | 3.750% | 4/1/26 | 10,105 | 10,573 | |
7 | Graphic Packaging International LLC | 0.821% | 4/15/24 | 15,743 | 14,868 | |
7 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 625 | 578 | |
7 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 1,775 | 1,608 | |
7 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 2,454 | 2,036 | |
7 | Indonesia Asahan Aluminium Persero PT | 4.750% | 5/15/25 | 24,212 | 24,337 | |
Indonesia Asahan Aluminium Persero PT | 4.750% | 5/15/25 | 16,630 | 16,760 | ||
7 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 1,593 | 1,403 | |
7 | Ingevity Corp. | 3.875% | 11/1/28 | 2,075 | 1,840 | |
LYB International Finance BV | 4.000% | 7/15/23 | 21,204 | 21,228 | ||
LYB International Finance III LLC | 1.250% | 10/1/25 | 51,849 | 47,695 | ||
LyondellBasell Industries NV | 5.750% | 4/15/24 | 31,952 | 32,751 | ||
Martin Marietta Materials Inc. | 0.650% | 7/15/23 | 10,500 | 10,192 | ||
Mosaic Co. | 4.250% | 11/15/23 | 20,576 | 20,749 | ||
Nucor Corp. | 3.950% | 5/23/25 | 9,700 | 9,820 | ||
Nucor Corp. | 2.000% | 6/1/25 | 26,034 | 24,996 | ||
Nucor Corp. | 4.300% | 5/23/27 | 9,700 | 9,915 | ||
Nutrien Ltd. | 1.900% | 5/13/23 | 53,606 | 52,808 | ||
Nutrien Ltd. | 3.000% | 4/1/25 | 35,822 | 35,280 | ||
Packaging Corp. of America | 3.650% | 9/15/24 | 339 | 338 | ||
7 | Pactiv Evergreen Group Issuer Inc. / Pactiv Evergreen Group Issuer LLC | 4.000% | 10/15/27 | 3,142 | 2,774 | |
9 | PPG Industries Inc. | 1.875% | 6/1/25 | 20,043 | 20,465 | |
PPG Industries Inc. | 1.200% | 3/15/26 | 31,690 | 28,933 | ||
RPM International Inc. | 3.750% | 3/15/27 | 10,000 | 9,751 | ||
Steel Dynamics Inc. | 2.800% | 12/15/24 | 14,555 | 14,233 | ||
Steel Dynamics Inc. | 2.400% | 6/15/25 | 16,055 | 15,456 | ||
WRKCo Inc. | 3.000% | 9/15/24 | 29,076 | 28,466 | ||
WRKCo Inc. | 3.750% | 3/15/25 | 8,107 | 8,089 | ||
WRKCo Inc. | 3.375% | 9/15/27 | 3,050 | 2,949 | ||
1,479,622 | ||||||
Real Estate (4.2%) | ||||||
9 | Akelius Residential Property AB | 1.750% | 2/7/25 | 3,000 | 3,009 | |
10 | Akelius Residential Property AB | 2.375% | 8/15/25 | 26,941 | 31,392 | |
Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 68,740 | 68,468 | ||
American Campus Communities Operating Partnership LP | 3.750% | 4/15/23 | 6,800 | 6,783 | ||
American Campus Communities Operating Partnership LP | 4.125% | 7/1/24 | 33,452 | 33,657 | ||
American Tower Corp. | 3.000% | 6/15/23 | 58,755 | 58,354 | ||
American Tower Corp. | 0.600% | 1/15/24 | 120,940 | 115,613 | ||
American Tower Corp. | 3.375% | 5/15/24 | 26,786 | 26,560 | ||
American Tower Corp. | 2.950% | 1/15/25 | 53,083 | 51,939 | ||
American Tower Corp. | 2.400% | 3/15/25 | 63,357 | 60,797 | ||
American Tower Corp. | 4.000% | 6/1/25 | 31,725 | 31,764 | ||
American Tower Corp. | 1.600% | 4/15/26 | 67,714 | 61,867 | ||
American Tower Corp. | 1.450% | 9/15/26 | 34,406 | 30,890 | ||
American Tower Corp. | 3.375% | 10/15/26 | 25,308 | 24,520 | ||
9 | American Tower Corp. | 0.450% | 1/15/27 | 19,437 | 18,165 | |
American Tower Corp. | 2.750% | 1/15/27 | 28,920 | 27,113 | ||
9 | American Tower Corp. | 0.400% | 2/15/27 | 8,744 | 8,097 | |
American Tower Corp. | 3.550% | 7/15/27 | 10,995 | 10,626 | ||
9 | Aroundtown SA | 0.625% | 7/9/25 | 43,700 | 40,674 | |
9 | Aroundtown SA | 3.375% | 12/31/99 | 3,600 | 3,141 | |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 12,000 | 11,940 | ||
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 19,400 | 18,791 | ||
AvalonBay Communities Inc. | 2.900% | 10/15/26 | 6,300 | 6,063 | ||
9 | Blackstone Property Partners Europe Holdings Sarl | 0.500% | 9/12/23 | 21,547 | 21,565 | |
9 | Blackstone Property Partners Europe Holdings Sarl | 2.200% | 7/24/25 | 5,850 | 5,714 | |
Boston Properties LP | 3.125% | 9/1/23 | 42,320 | 42,073 | ||
Boston Properties LP | 3.800% | 2/1/24 | 5,070 | 5,071 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Boston Properties LP | 3.200% | 1/15/25 | 7,524 | 7,396 | ||
Boston Properties LP | 2.750% | 10/1/26 | 14,550 | 13,829 | ||
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 12,880 | 12,856 | ||
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 14,155 | 14,062 | ||
Brixmor Operating Partnership LP | 3.650% | 6/15/24 | 71,237 | 70,262 | ||
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 36,846 | 36,386 | ||
Camden Property Trust | 4.875% | 6/15/23 | 3,435 | 3,453 | ||
Camden Property Trust | 4.250% | 1/15/24 | 46,982 | 47,088 | ||
Camden Property Trust | 3.500% | 9/15/24 | 2,785 | 2,748 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 59,075 | 53,926 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 41,835 | 41,549 | ||
Crown Castle International Corp. | 3.200% | 9/1/24 | 68,894 | 68,144 | ||
Crown Castle International Corp. | 1.350% | 7/15/25 | 29,140 | 27,011 | ||
Crown Castle International Corp. | 4.450% | 2/15/26 | 41,232 | 41,733 | ||
Crown Castle International Corp. | 3.700% | 6/15/26 | 56,235 | 55,548 | ||
Crown Castle International Corp. | 1.050% | 7/15/26 | 80,869 | 72,150 | ||
Crown Castle International Corp. | 4.000% | 3/1/27 | 7,199 | 7,151 | ||
Crown Castle International Corp. | 2.900% | 3/15/27 | 19,430 | 18,433 | ||
7 | CTR Partnership LP / CareTrust Capital Corp. | 3.875% | 6/30/28 | 2,912 | 2,573 | |
CubeSmart LP | 4.000% | 11/15/25 | 7,260 | 7,218 | ||
9 | Digital Dutch Finco BV | 0.625% | 7/15/25 | 13,205 | 12,782 | |
Duke Realty LP | 3.250% | 6/30/26 | 11,070 | 10,832 | ||
Equinix Inc. | 1.450% | 5/15/26 | 9,710 | 8,848 | ||
Equinix Inc. | 2.900% | 11/18/26 | 18,180 | 17,328 | ||
Equinix Inc. | 1.800% | 7/15/27 | 14,550 | 13,002 | ||
ERP Operating LP | 3.375% | 6/1/25 | 20,200 | 19,979 | ||
ERP Operating LP | 2.850% | 11/1/26 | 7,965 | 7,657 | ||
9 | Fastighets AB Balder | 1.875% | 3/14/25 | 9,700 | 8,915 | |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 18,030 | 17,917 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 23,874 | 23,901 | ||
Healthcare Realty Holdings LP Co. | 3.875% | 5/1/25 | 5,800 | 5,712 | ||
Healthpeak Properties Inc. | 3.400% | 2/1/25 | 3,942 | 3,887 | ||
Healthpeak Properties Inc. | 1.350% | 2/1/27 | 24,300 | 21,748 | ||
9 | Heimstaden Bostad AB | 1.125% | 1/21/26 | 17,200 | 15,955 | |
Highwoods Realty LP | 3.625% | 1/15/23 | 5,280 | 5,279 | ||
Host Hotels & Resorts LP | 4.000% | 6/15/25 | 12,046 | 11,836 | ||
IIP Operating Partnership LP | 5.500% | 5/25/26 | 27,600 | 23,499 | ||
Kilroy Realty LP | 3.450% | 12/15/24 | 21,115 | 20,662 | ||
Kilroy Realty LP | 4.375% | 10/1/25 | 5,685 | 5,651 | ||
Kimco Realty Corp. | 3.500% | 4/15/23 | 13,765 | 13,723 | ||
Kimco Realty Corp. | 4.450% | 1/15/24 | 11,302 | 11,328 | ||
Kimco Realty Corp. | 2.700% | 3/1/24 | 28,329 | 27,866 | ||
Kimco Realty Corp. | 3.300% | 2/1/25 | 52,230 | 51,568 | ||
Kimco Realty Corp. | 2.800% | 10/1/26 | 7,258 | 6,928 | ||
Kimco Realty Corp. | 3.800% | 4/1/27 | 9,684 | 9,507 | ||
9 | Kojamo OYJ | 1.500% | 6/19/24 | 4,850 | 4,769 | |
9 | Logicor Financing Sarl | 0.750% | 7/15/24 | 5,068 | 4,980 | |
9 | Logicor Financing Sarl | 2.250% | 5/13/25 | 4,855 | 4,847 | |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,000 | 2,011 | ||
Mid-America Apartments LP | 3.750% | 6/15/24 | 8,923 | 8,915 | ||
Mid-America Apartments LP | 4.000% | 11/15/25 | 11,320 | 11,307 | ||
Mid-America Apartments LP | 1.100% | 9/15/26 | 25,130 | 22,445 | ||
MPT Operating Partnership LP / MPT Finance Corp. | 5.000% | 10/15/27 | 4,900 | 4,716 | ||
National Retail Properties Inc. | 3.900% | 6/15/24 | 25,562 | 25,565 | ||
National Retail Properties Inc. | 4.000% | 11/15/25 | 19,893 | 19,885 | ||
Office Properties Income Trust | 2.650% | 6/15/26 | 12,500 | 10,430 | ||
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 2,397 | 2,395 | ||
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 16,340 | 16,402 | ||
Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 10,390 | 10,370 | ||
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 32,354 | 32,427 | ||
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 6,000 | 5,935 | |
Prologis LP | 2.125% | 4/15/27 | 9,885 | 9,333 | ||
Public Storage | 1.500% | 11/9/26 | 17,225 | 15,932 | ||
Realty Income Corp. | 4.600% | 2/6/24 | 42,787 | 43,367 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Realty Income Corp. | 3.875% | 4/15/25 | 27,938 | 28,122 | ||
Realty Income Corp. | 4.625% | 11/1/25 | 77,124 | 79,124 | ||
Realty Income Corp. | 0.750% | 3/15/26 | 9,960 | 8,907 | ||
Realty Income Corp. | 4.875% | 6/1/26 | 103,847 | 107,321 | ||
Realty Income Corp. | 4.125% | 10/15/26 | 44,580 | 45,033 | ||
10 | Realty Income Corp. | 1.875% | 1/14/27 | 6,214 | 7,073 | |
10 | Realty Income Corp. | 1.125% | 7/13/27 | 13,900 | 15,139 | |
Regency Centers LP | 3.750% | 6/15/24 | 1,115 | 1,108 | ||
Sabra Health Care LP | 5.125% | 8/15/26 | 41,426 | 40,702 | ||
9 | Samhallsbyggnadsbolaget i Norden AB | 1.750% | 1/14/25 | 6,700 | 5,618 | |
9 | Samhallsbyggnadsbolaget i Norden AB | 1.125% | 9/4/26 | 2,700 | 2,069 | |
Simon Property Group LP | 3.750% | 2/1/24 | 30,620 | 30,689 | ||
Simon Property Group LP | 2.000% | 9/13/24 | 53,032 | 51,402 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 41,828 | 41,720 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 48,883 | 48,609 | ||
Simon Property Group LP | 3.250% | 11/30/26 | 23,542 | 22,935 | ||
Simon Property Group LP | 1.375% | 1/15/27 | 24,250 | 21,766 | ||
UDR Inc. | 2.950% | 9/1/26 | 1,500 | 1,432 | ||
7 | Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC | 7.875% | 2/15/25 | 7,904 | 7,951 | |
Ventas Realty LP | 3.500% | 4/15/24 | 36,891 | 36,533 | ||
Ventas Realty LP | 3.750% | 5/1/24 | 6,012 | 5,980 | ||
Ventas Realty LP | 2.650% | 1/15/25 | 12,310 | 11,874 | ||
Ventas Realty LP | 3.500% | 2/1/25 | 4,820 | 4,746 | ||
Ventas Realty LP | 3.250% | 10/15/26 | 25,055 | 23,977 | ||
7 | VICI Properties LP / VICI Note Co. Inc. | 5.625% | 5/1/24 | 10,542 | 10,548 | |
7 | VICI Properties LP / VICI Note Co. Inc. | 4.625% | 6/15/25 | 4,492 | 4,381 | |
Vornado Realty LP | 2.150% | 6/1/26 | 11,600 | 10,465 | ||
7 | Wea Finance LLC / Westfield UK & Europe Finance plc | 3.750% | 9/17/24 | 7,140 | 6,895 | |
Welltower Inc. | 3.625% | 3/15/24 | 28,402 | 28,370 | ||
Welltower Inc. | 4.000% | 6/1/25 | 72,809 | 72,826 | ||
Welltower Inc. | 4.250% | 4/1/26 | 6,180 | 6,225 | ||
10 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 6,499 | 7,271 | |
2,857,314 | ||||||
Technology (4.3%) | ||||||
9 | Apple Inc. | 1.375% | 1/17/24 | 1,000 | 1,030 | |
Apple Inc. | 3.250% | 2/23/26 | 16,951 | 17,103 | ||
Apple Inc. | 2.050% | 9/11/26 | 29,700 | 28,556 | ||
Apple Inc. | 3.200% | 5/11/27 | 53,722 | 54,100 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.125% | 1/15/25 | 19,200 | 18,920 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 53,758 | 53,197 | ||
Broadcom Inc. | 3.625% | 10/15/24 | 73,287 | 73,284 | ||
Broadcom Inc. | 3.150% | 11/15/25 | 39,911 | 39,092 | ||
Broadcom Inc. | 3.459% | 9/15/26 | 29,472 | 28,900 | ||
Citrix Systems Inc. | 1.250% | 3/1/26 | 19,405 | 18,866 | ||
7 | Clarivate Science Holdings Corp. | 3.875% | 7/1/28 | 4,285 | 3,901 | |
7 | CommScope Inc. | 6.000% | 3/1/26 | 2,321 | 2,258 | |
Dell International LLC / EMC Corp. | 4.000% | 7/15/24 | 29,155 | 29,316 | ||
Dell International LLC / EMC Corp. | 5.850% | 7/15/25 | 61,782 | 64,839 | ||
Dell International LLC / EMC Corp. | 6.020% | 6/15/26 | 170,854 | 181,535 | ||
Dell International LLC / EMC Corp. | 6.100% | 7/15/27 | 20,000 | 21,462 | ||
9 | DXC Technology Co. | 1.750% | 1/15/26 | 9,715 | 9,567 | |
DXC Technology Co. | 1.800% | 9/15/26 | 71,500 | 64,338 | ||
7 | Entegris Escrow Corp. | 4.750% | 4/15/29 | 3,880 | 3,742 | |
Equifax Inc. | 3.950% | 6/15/23 | 9,450 | 9,471 | ||
Equifax Inc. | 2.600% | 12/1/24 | 94,444 | 91,642 | ||
Equifax Inc. | 2.600% | 12/15/25 | 48,400 | 45,983 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Fidelity National Information Services Inc. | 0.600% | 3/1/24 | 31,060 | 29,575 | ||
Fidelity National Information Services Inc. | 1.150% | 3/1/26 | 19,430 | 17,664 | ||
Fiserv Inc. | 2.750% | 7/1/24 | 162,005 | 159,641 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 50,813 | 49,466 | ||
Global Payments Inc. | 1.500% | 11/15/24 | 33,880 | 31,957 | ||
Global Payments Inc. | 1.200% | 3/1/26 | 75,797 | 68,231 | ||
Global Payments Inc. | 2.150% | 1/15/27 | 79,610 | 72,215 | ||
HP Inc. | 2.200% | 6/17/25 | 86,341 | 82,705 | ||
HP Inc. | 1.450% | 6/17/26 | 90,112 | 82,273 | ||
HP Inc. | 3.000% | 6/17/27 | 9,830 | 9,339 | ||
Intel Corp. | 3.750% | 3/25/27 | 5,190 | 5,300 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 118,084 | 117,582 | ||
Intuit Inc. | 0.950% | 7/15/25 | 1,950 | 1,828 | ||
Juniper Networks Inc. | 1.200% | 12/10/25 | 13,730 | 12,461 | ||
Marvell Technology Inc. | 4.200% | 6/22/23 | 29,250 | 29,315 | ||
7 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 546 | 535 | |
NXP BV / NXP Funding LLC | 4.875% | 3/1/24 | 78,750 | 79,783 | ||
NXP BV / NXP Funding LLC | 5.350% | 3/1/26 | 17,480 | 18,074 | ||
Oracle Corp. | 3.625% | 7/15/23 | 4,650 | 4,647 | ||
Oracle Corp. | 2.400% | 9/15/23 | 76,659 | 75,796 | ||
Oracle Corp. | 3.400% | 7/8/24 | 31,165 | 31,019 | ||
Oracle Corp. | 2.950% | 11/15/24 | 43,813 | 43,088 | ||
Oracle Corp. | 2.500% | 4/1/25 | 124,996 | 120,788 | ||
Oracle Corp. | 2.950% | 5/15/25 | 47,433 | 46,245 | ||
Oracle Corp. | 1.650% | 3/25/26 | 121,609 | 111,812 | ||
Oracle Corp. | 2.650% | 7/15/26 | 91,643 | 86,740 | ||
Oracle Corp. | 2.800% | 4/1/27 | 30,005 | 28,274 | ||
PayPal Holdings Inc. | 3.900% | 6/1/27 | 13,230 | 13,514 | ||
7 | Qorvo Inc. | 1.750% | 12/15/24 | 14,560 | 13,659 | |
QUALCOMM Inc. | 3.250% | 5/20/27 | 32,284 | 32,418 | ||
Roper Technologies Inc. | 3.800% | 12/15/26 | 12,272 | 12,297 | ||
7 | S&P Global Inc. | 2.450% | 3/1/27 | 62,840 | 60,049 | |
7 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 2,965 | 2,940 | |
Skyworks Solutions Inc. | 0.900% | 6/1/23 | 11,710 | 11,434 | ||
Skyworks Solutions Inc. | 1.800% | 6/1/26 | 90,504 | 82,160 | ||
7 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 3,909 | 3,849 | |
TSMC Arizona Corp. | 3.875% | 4/22/27 | 40,780 | 40,974 | ||
Verisk Analytics Inc. | 4.000% | 6/15/25 | 52,010 | 52,282 | ||
9 | Visa Inc. | 1.500% | 6/15/26 | 31,830 | 32,646 | |
VMware Inc. | 0.600% | 8/15/23 | 34,000 | 32,918 | ||
VMware Inc. | 4.500% | 5/15/25 | 149,682 | 151,362 | ||
VMware Inc. | 1.400% | 8/15/26 | 72,540 | 65,410 | ||
Workday Inc. | 3.500% | 4/1/27 | 29,130 | 28,567 | ||
2,913,934 | ||||||
Utilities (3.7%) | ||||||
AEP Transmission Co. LLC | 3.100% | 12/1/26 | 13,890 | 13,631 | ||
8,11 | AGI Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.000% | 2.962% | 1/8/26 | 4,860 | 3,352 | |
Ameren Corp. | 2.500% | 9/15/24 | 32,940 | 31,976 | ||
Ameren Corp. | 3.650% | 2/15/26 | 9,007 | 8,957 | ||
Ameren Corp. | 1.950% | 3/15/27 | 17,800 | 16,303 | ||
Ameren Illinois Co. | 3.250% | 3/1/25 | 11,340 | 11,315 | ||
American Electric Power Co. Inc. | 2.031% | 3/15/24 | 26,630 | 25,913 | ||
American Electric Power Co. Inc. | 1.000% | 11/1/25 | 9,675 | 8,819 | ||
Atmos Energy Corp. | 0.625% | 3/9/23 | 41,230 | 40,554 | ||
8,11 | Australian Gas Networks Ltd., 3M Australian Bank Bill Rate + 0.400% | 2.213% | 7/1/24 | 9,500 | 6,535 | |
Baltimore Gas and Electric Co. | 3.350% | 7/1/23 | 3,142 | 3,145 | ||
Berkshire Hathaway Energy Co. | 4.050% | 4/15/25 | 19,699 | 20,148 | ||
Black Hills Corp. | 1.037% | 8/23/24 | 29,400 | 27,679 | ||
9 | Cadent Finance plc | 0.625% | 9/22/24 | 14,465 | 14,414 | |
7 | Calpine Corp. | 4.500% | 2/15/28 | 1,494 | 1,448 | |
CenterPoint Energy Inc. | 2.500% | 9/1/24 | 15,667 | 15,183 | ||
CenterPoint Energy Inc. | 1.450% | 6/1/26 | 46,620 | 42,699 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
CenterPoint Energy Resources Corp. | 0.700% | 3/2/23 | 31,670 | 31,237 | ||
Consolidated Edison Inc. | 0.650% | 12/1/23 | 40,295 | 38,865 | ||
11 | DBNGP Finance Co. Pty Ltd. | 4.225% | 5/28/25 | 8,050 | 5,586 | |
Dominion Energy Inc. | 3.300% | 3/15/25 | 47,212 | 46,857 | ||
Dominion Energy Inc. | 1.450% | 4/15/26 | 59,182 | 54,886 | ||
Dominion Energy Inc. | 2.850% | 8/15/26 | 4,500 | 4,334 | ||
8 | Dominion Energy Inc., 3M USD LIBOR + 0.530% | 2.359% | 9/15/23 | 31,810 | 31,634 | |
DTE Energy Co. | 1.050% | 6/1/25 | 35,045 | 32,577 | ||
DTE Energy Co. | 2.850% | 10/1/26 | 6,695 | 6,436 | ||
Duke Energy Carolinas NC Storm Funding LLC | 1.679% | 7/1/33 | 8,525 | 7,941 | ||
Duke Energy Corp. | 3.950% | 10/15/23 | 15,085 | 15,148 | ||
Duke Energy Corp. | 0.900% | 9/15/25 | 33,565 | 30,946 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 16,491 | 15,808 | ||
Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 11,620 | 11,664 | ||
Duke Energy Progress LLC | 3.250% | 8/15/25 | 7,798 | 7,830 | ||
10 | E.ON International Finance BV | 5.625% | 12/6/23 | 2,945 | 3,697 | |
9 | E.ON SE | 0.000% | 12/18/23 | 3,000 | 3,016 | |
7 | East Ohio Gas Co. | 1.300% | 6/15/25 | 9,715 | 9,036 | |
Eastern Energy Gas Holdings LLC | 3.600% | 12/15/24 | 17,106 | 17,057 | ||
7 | Electricite de France SA | 4.500% | 9/21/28 | 16,050 | 16,105 | |
9 | Energias de Portugal SA | 2.875% | 6/1/26 | 10,600 | 11,081 | |
7 | Engie SA | 2.875% | 10/10/22 | 10,649 | 10,601 | |
Entergy Arkansas LLC | 3.500% | 4/1/26 | 23,522 | 23,571 | ||
Entergy Corp. | 0.900% | 9/15/25 | 48,695 | 44,399 | ||
Entergy Corp. | 2.950% | 9/1/26 | 90,000 | 86,524 | ||
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 22,680 | 23,531 | ||
Entergy Louisiana LLC | 4.050% | 9/1/23 | 11,650 | 11,719 | ||
Entergy Louisiana LLC | 0.620% | 11/17/23 | 18,608 | 17,997 | ||
Entergy Louisiana LLC | 0.950% | 10/1/24 | 17,460 | 16,548 | ||
Entergy Louisiana LLC | 5.400% | 11/1/24 | 8,562 | 8,867 | ||
Entergy Louisiana LLC | 2.400% | 10/1/26 | 16,976 | 16,144 | ||
Evergy Inc. | 2.450% | 9/15/24 | 48,500 | 47,065 | ||
Evergy Kansas Central Inc. | 2.550% | 7/1/26 | 16,138 | 15,529 | ||
Eversource Energy | 0.800% | 8/15/25 | 11,595 | 10,591 | ||
Eversource Energy | 1.400% | 8/15/26 | 22,250 | 20,168 | ||
Eversource Energy | 2.900% | 3/1/27 | 41,865 | 40,270 | ||
Eversource Energy | 4.600% | 7/1/27 | 24,200 | 24,960 | ||
Exelon Corp. | 3.950% | 6/15/25 | 30,194 | 30,380 | ||
Exelon Corp. | 3.400% | 4/15/26 | 4,845 | 4,802 | ||
7 | Exelon Corp. | 2.750% | 3/15/27 | 35,937 | 34,451 | |
FirstEnergy Corp. | 2.050% | 3/1/25 | 5,635 | 5,290 | ||
FirstEnergy Corp. | 1.600% | 1/15/26 | 12,317 | 11,268 | ||
FirstEnergy Corp. | 4.400% | 7/15/27 | 3,995 | 3,915 | ||
Georgia Power Co. | 2.200% | 9/15/24 | 23,973 | 23,313 | ||
ITC Holdings Corp. | 2.700% | 11/15/22 | 29,250 | 29,144 | ||
ITC Holdings Corp. | 3.250% | 6/30/26 | 9,400 | 9,148 | ||
MidAmerican Energy Co. | 3.700% | 9/15/23 | 4,370 | 4,355 | ||
National Fuel Gas Co. | 5.500% | 1/15/26 | 9,705 | 9,928 | ||
9 | National Grid Electricity Transmission plc | 0.190% | 1/20/25 | 13,007 | 12,867 | |
National Rural Utilities Cooperative Finance Corp. | 1.875% | 2/7/25 | 24,290 | 23,472 | ||
NextEra Energy Capital Holdings Inc. | 0.650% | 3/1/23 | 54,370 | 53,559 | ||
NextEra Energy Capital Holdings Inc. | 1.875% | 1/15/27 | 20,853 | 19,304 | ||
NextEra Energy Capital Holdings Inc. | 4.625% | 7/15/27 | 29,000 | 30,053 | ||
7 | NextEra Energy Operating Partners LP | 3.875% | 10/15/26 | 1,455 | 1,438 | |
7 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 6,056 | 5,986 | |
7 | NRG Energy Inc. | 2.000% | 12/2/25 | 18,522 | 16,951 | |
NRG Energy Inc. | 6.625% | 1/15/27 | 1,514 | 1,538 | ||
NSTAR Electric Co. | 3.250% | 11/15/25 | 9,710 | 9,531 | ||
NSTAR Electric Co. | 3.200% | 5/15/27 | 33,850 | 33,430 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
NTPC Ltd. | 4.375% | 11/26/24 | 4,300 | 4,304 | ||
Oncor Electric Delivery Co. LLC | 2.750% | 6/1/24 | 33,785 | 33,362 | ||
Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 10,695 | 9,772 | ||
Pacific Gas and Electric Co. | 3.250% | 6/15/23 | 6,953 | 6,873 | ||
Pacific Gas and Electric Co. | 3.500% | 6/15/25 | 16,285 | 15,549 | ||
Pacific Gas and Electric Co. | 3.450% | 7/1/25 | 14,525 | 13,929 | ||
Pacific Gas and Electric Co. | 3.150% | 1/1/26 | 100,743 | 94,032 | ||
Pacific Gas and Electric Co. | 2.100% | 8/1/27 | 13,019 | 11,156 | ||
PacifiCorp | 3.350% | 7/1/25 | 17,120 | 17,019 | ||
PECO Energy Co. | 3.150% | 10/15/25 | 3,885 | 3,862 | ||
Perusahaan Gas Negara Tbk PT | 5.125% | 5/16/24 | 3,897 | 3,937 | ||
Public Service Electric and Gas Co. | 3.000% | 5/15/25 | 8,340 | 8,251 | ||
Public Service Enterprise Group Inc. | 2.875% | 6/15/24 | 65,543 | 64,665 | ||
Public Service Enterprise Group Inc. | 0.800% | 8/15/25 | 48,415 | 44,241 | ||
Puget Energy Inc. | 3.650% | 5/15/25 | 13,272 | 13,021 | ||
7 | Rayburn Country Securitization LLC | 2.307% | 12/1/32 | 10,633 | 9,895 | |
Sempra Energy | 3.300% | 4/1/25 | 36,889 | 36,494 | ||
Southern California Edison Co. | 3.700% | 8/1/25 | 13,471 | 13,485 | ||
Southern California Edison Co. | 1.200% | 2/1/26 | 6,329 | 5,781 | ||
Southern California Gas Co. | 2.600% | 6/15/26 | 16,150 | 15,607 | ||
Southern California Gas Co. | 2.950% | 4/15/27 | 19,425 | 19,022 | ||
Southern Co. | 4.475% | 8/1/24 | 29,890 | 30,183 | ||
Southern Co. | 5.113% | 8/1/27 | 38,600 | 39,541 | ||
Southern Co. Gas Capital Corp. | 3.250% | 6/15/26 | 4,025 | 3,931 | ||
Southern Power Co. | 0.900% | 1/15/26 | 9,700 | 8,826 | ||
Southwestern Electric Power Co. | 1.650% | 3/15/26 | 35,070 | 32,433 | ||
Southwestern Public Service Co. | 3.300% | 6/15/24 | 41,903 | 41,704 | ||
State Grid Overseas Investment 2014 Ltd. | 4.125% | 5/7/24 | 8,654 | 8,760 | ||
State Grid Overseas Investment BVI Ltd. | 3.750% | 5/2/23 | 10,775 | 10,826 | ||
Tampa Electric Co. | 3.875% | 7/12/24 | 17,470 | 17,548 | ||
Union Electric Co. | 2.950% | 6/15/27 | 12,496 | 12,191 | ||
11 | United Energy Distribution Pty Ltd. | 3.850% | 10/23/24 | 24,200 | 16,815 | |
8,11 | Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.500% | 1.554% | 8/23/24 | 29,100 | 20,138 | |
Virginia Electric and Power Co. | 3.450% | 2/15/24 | 16,509 | 16,520 | ||
Virginia Electric and Power Co. | 3.100% | 5/15/25 | 8,585 | 8,530 | ||
Virginia Electric and Power Co. | 3.150% | 1/15/26 | 12,295 | 12,225 | ||
Virginia Electric and Power Co. | 2.950% | 11/15/26 | 46,542 | 45,283 | ||
Virginia Electric and Power Co. | 3.500% | 3/15/27 | 19,467 | 19,492 | ||
7 | Vistra Operations Co. LLC | 5.125% | 5/13/25 | 9,672 | 9,680 | |
7 | Vistra Operations Co. LLC | 5.500% | 9/1/26 | 21,384 | 21,654 | |
7 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 3,881 | 3,892 | |
7 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 1,380 | 1,360 | |
WEC Energy Group Inc. | 0.550% | 9/15/23 | 53,165 | 51,535 | ||
WEC Energy Group Inc. | 0.800% | 3/15/24 | 48,550 | 46,410 | ||
10 | Western Power Distribution plc | 3.625% | 11/6/23 | 14,458 | 17,693 | |
Xcel Energy Inc. | 3.350% | 12/1/26 | 20,814 | 20,463 | ||
Xcel Energy Inc. | 1.750% | 3/15/27 | 31,596 | 28,916 | ||
2,477,225 | ||||||
Total Corporate Bonds (Cost $54,668,460) | 51,748,000 | |||||
Floating Rate Loan Interests (0.1%) | ||||||
8 | AAdvantage Loyalty IP Ltd. Term Loan, 3M USD LIBOR + 4.750% | 7.460% | 4/20/28 | 1,200 | 1,176 | |
8 | Avient Corp. Term Loan B, TSFR3M + 3.500% | 4.875% | 7/27/29 | 2,000 | 1,965 | |
8 | Axalta Coating Systems US Holdings Inc. Term Loan B-3, 3M USD LIBOR + 1.750% | 4.000% | 6/1/24 | 3,300 | 3,274 | |
8 | Bausch Health Cos. Inc. Term Loan B, TSFR1M + 5.250% | 7.174% | 2/1/27 | 5,465 | 4,582 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
8 | CDK Global Inc. Term Loan B, TSFR3M + 4.500% | 6.609% | 7/6/29 | 1,440 | 1,397 | |
8 | Churchill Downs Inc. Term Loan B, 1M USD LIBOR + 2.000% | 4.380% | 12/27/24 | 2,843 | 2,774 | |
8 | Clark Equipment Co. Term Loan B, TSFR3M + 2.500% | 4.654% | 4/20/29 | 564 | 545 | |
8 | Clean Harbors Inc. Term Loan B, 1M USD LIBOR + 2.000% | 4.372% | 10/8/28 | 6,766 | 6,708 | |
8 | DaVita Inc. Term Loan B, 1M USD LIBOR +1.750% | 4.273% | 11/30/25 | 2,750 | 2,599 | |
8 | DirecTV Financing LLC Term Loan, 1M USD LIBOR + 5.000% | 7.372% | 8/2/27 | 3,012 | 2,838 | |
8 | Hilton Worldwide Finance LLC Term Loan B-2, 1M USD LIBOR + 1.750% | 4.009% | 6/22/26 | 1,415 | 1,391 | |
8 | McAfee Corp. Term Loan B, TSFR1M + 4.000% | 6.407% | 3/1/29 | 1,435 | 1,366 | |
8 | Medline Borrower LP Term Loan B, 1M USD LIBOR + 3.250% | 5.622% | 10/23/28 | 2,793 | 2,664 | |
8 | Nexstar Broadcasting Inc. Term Loan, 3M USD LIBOR + 2.250% | 3.014% | 1/17/24 | 40 | 40 | |
8 | Setanta Aircraft Leasing DAC Term Loan B, 3M USD LIBOR + 2.000% | 4.250% | 11/5/28 | 35,555 | 34,838 | |
8 | SkyMiles IP Ltd. Term Loan B, 3M USD LIBOR + 3.750% | 6.460% | 10/20/27 | 3,860 | 3,897 | |
8 | Southwestern Energy Co. Term Loan, TSFR3M + 2.500% | 4.704% | 6/22/27 | 1,741 | 1,717 | |
8 | SS&C Technologies Inc. Term Loan B-6, TSFR1M + 2.250% | 4.677% | 3/22/29 | 1,049 | 1,024 | |
8 | SS&C Technologies Inc. Term Loan B-7, TSFR1M + 2.250% | 4.677% | 3/22/29 | 1,401 | 1,368 | |
8 | Wyndham Hotels & Resorts Inc. Term Loan B, 1M USD LIBOR + 1.750% | 4.122% | 5/30/25 | 3,006 | 2,961 | |
Total Floating Rate Loan Interests (Cost $81,206) | 79,124 | |||||
Sovereign Bonds (2.1%) | ||||||
APICORP Sukuk Ltd. | 3.141% | 11/1/22 | 23,410 | 23,278 | ||
Arab Petroleum Investments Corp. | 4.125% | 9/18/23 | 14,518 | 14,529 | ||
7 | Banque Ouest Africaine de Developpement | 5.000% | 7/27/27 | 8,358 | 7,665 | |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 24,580 | 24,594 | |
Corp. Andina de Fomento | 2.375% | 5/12/23 | 19,340 | 19,179 | ||
Corp. Andina de Fomento | 1.250% | 10/26/24 | 77,708 | 73,977 | ||
Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 6,018 | 5,938 | ||
7 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 2,117 | 1,764 | |
Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 6,038 | 6,030 | ||
7 | Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 367 | 365 | |
Dominican Republic | 6.000% | 7/19/28 | 19,566 | 18,918 | ||
7 | Dominican Republic | 5.500% | 2/22/29 | 14,785 | 13,738 | |
Export-Import Bank of India | 3.875% | 3/12/24 | 9,516 | 9,480 | ||
7 | Fondo MIVIVIENDA SA | 4.625% | 4/12/27 | 23,578 | 22,642 | |
7 | Government of Bermuda | 4.854% | 2/6/24 | 2,861 | 2,892 | |
Kingdom of Morocco | 4.250% | 12/11/22 | 30,991 | 30,974 | ||
7,9 | Kingdom of Morocco | 1.375% | 3/30/26 | 17,304 | 16,198 | |
9 | Kingdom of Morocco | 1.375% | 3/30/26 | 4,800 | 4,493 | |
Korea Development Bank | 3.250% | 2/19/24 | 12,205 | 12,204 | ||
Korea Hydro & Nuclear Power Co. Ltd. | 3.000% | 9/19/22 | 11,764 | 11,761 | ||
Korea National Oil Corp. | 0.875% | 10/5/25 | 19,400 | 17,671 | ||
9 | MFB Magyar Fejlesztesi Bank Zrt | 1.375% | 6/24/25 | 16,459 | 15,931 | |
North American Development Bank | 2.400% | 10/26/22 | 711 | 711 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.300% | 11/21/22 | 3,800 | 3,804 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Perusahaan Penerbit SBSN Indonesia III | 4.400% | 6/6/27 | 14,919 | 15,263 | |
Republic of Chile | 3.125% | 1/21/26 | 16,180 | 15,803 | ||
9 | Republic of Chile | 0.100% | 1/26/27 | 18,930 | 17,160 | |
Republic of Chile | 2.750% | 1/31/27 | 20,689 | 19,753 | ||
9 | Republic of Chile | 0.555% | 1/21/29 | 10,244 | 8,922 | |
Republic of Chile | 2.550% | 7/27/33 | 11,585 | 9,844 | ||
Republic of Colombia | 2.625% | 3/15/23 | 77,149 | 76,457 | ||
Republic of Colombia | 4.000% | 2/26/24 | 40,280 | 39,589 | ||
Republic of Colombia | 4.500% | 1/28/26 | 14,479 | 13,890 | ||
Republic of Croatia | 5.500% | 4/4/23 | 64,069 | 64,854 | ||
Republic of Croatia | 6.000% | 1/26/24 | 2,400 | 2,482 | ||
Republic of Hungary | 5.375% | 2/21/23 | 79,668 | 80,359 | ||
Republic of Hungary | 5.750% | 11/22/23 | 70,356 | 71,828 | ||
Republic of Hungary | 5.375% | 3/25/24 | 43,000 | 43,780 | ||
9 | Republic of Hungary | 1.125% | 4/28/26 | 30,800 | 29,274 | |
7 | Republic of Hungary | 5.250% | 6/16/29 | 6,320 | 6,415 | |
9 | Republic of Korea | 0.000% | 10/15/26 | 8,743 | 8,374 | |
Republic of Panama | 4.000% | 9/22/24 | 98,528 | 98,818 | ||
Republic of Panama | 3.750% | 3/16/25 | 42,751 | 42,535 | ||
Republic of Panama | 7.125% | 1/29/26 | 12,200 | 13,325 | ||
Republic of Peru | 7.350% | 7/21/25 | 37,025 | 40,313 | ||
Republic of Peru | 2.392% | 1/23/26 | 3,749 | 3,555 | ||
9 | Republic of Philippines | 0.000% | 2/3/23 | 39,801 | 40,459 | |
9 | Republic of Philippines | 0.250% | 4/28/25 | 9,535 | 9,121 | |
Republic of Philippines | 3.229% | 3/29/27 | 16,910 | 16,894 | ||
9 | Republic of Serbia | 3.125% | 5/15/27 | 71,905 | 66,719 | |
Republic of Slovenia | 5.500% | 10/26/22 | 11,740 | 11,776 | ||
Republic of Uzbekistan | 4.750% | 2/20/24 | 8,540 | 8,279 | ||
Romania | 4.375% | 8/22/23 | 12,480 | 12,506 | ||
Romania | 4.875% | 1/22/24 | 7,934 | 7,990 | ||
9 | Romania | 2.750% | 2/26/26 | 9,689 | 9,473 | |
9 | Romania | 2.000% | 12/8/26 | 24,328 | 23,105 | |
7 | Romania | 3.000% | 2/27/27 | 10,662 | 9,759 | |
7 | Romania | 5.250% | 11/25/27 | 38,218 | 37,855 | |
9 | Romania | 2.500% | 2/8/30 | 6,632 | 5,633 | |
7,9 | Romania | 2.000% | 4/14/33 | 8,304 | 5,910 | |
7 | Romania | 6.000% | 5/25/34 | 26,539 | 25,732 | |
Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 16,074 | 15,610 | ||
State of Qatar | 3.375% | 3/14/24 | 4,800 | 4,810 | ||
United Mexican States | 3.600% | 1/30/25 | 39,424 | 39,378 | ||
9 | United Mexican States | 3.625% | 4/9/29 | 844 | 847 | |
Total Sovereign Bonds (Cost $1,536,392) | 1,433,185 | |||||
Taxable Municipal Bonds (0.0%) | ||||||
17 | New Jersey Economic Development Authority Appropriations Revenue | 7.425% | 2/15/29 | 13,409 | 15,283 | |
New York Transportation Development Corp. Miscellaneous Revenue | 4.248% | 9/1/35 | 4,165 | 4,142 | ||
Total Taxable Municipal Bonds (Cost $20,381) | 19,425 | |||||
Shares | ||||||
Common Stocks (0.1%) | ||||||
Exchange-Traded Fund (0.1%) | ||||||
18 | Vanguard Short-Term Corporate Bond ETF (Cost $78,302) | 967,764 | 74,895 | |||
Coupon | ||||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
19 | Vanguard Market Liquidity Fund (Cost $385,914) | 1.903% | 3,860,989 | 385,945 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($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 | 45 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 623,325 | 47 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 623,250 | 65 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | ||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 623,250 | 68 | |
Total Options Purchased (Cost $11,018) | 225 | |||||
Total Investments (101.3%) (Cost $71,694,623) | 68,204,374 | |||||
Other Assets and Liabilities—Net (-1.3%) | (907,709) | |||||
Net Assets (100%) | 67,296,665 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $6,433,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
2 | Securities with a value of $2,133,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | Securities with a value of $55,050,000 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2022. |
6 | 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. |
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, 2022, the aggregate value was $7,890,340,000, representing 11.7% of net assets. |
8 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
9 | Face amount denominated in euro. |
10 | Face amount denominated in British pounds. |
11 | Face amount denominated in Australian dollars. |
12 | Guaranteed by the Republic of Azerbaijan. |
13 | Guaranteed by multiple countries. |
14 | Face amount denominated in Canadian dollars. |
15 | Non-income-producing security—security in default. |
16 | Security value determined using significant unobservable inputs. |
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. |
1M—1-month. | |
3M—3-month. | |
6M—6-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank NA. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. | |
REMIC—Real Estate Mortgage Investment Conduits. | |
SOFR30A—30 Day Average Secured Overnight Financing Rate. | |
TSFR1M—CME Term SOFR 1 Month. | |
TSFR3M—CME Term SOFR 3 Month. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
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 2022 | 35,826 | 4,074,368 | 21,974 |
Euro-Schatz | September 2022 | 153 | 17,222 | 143 |
22,117 | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | (995) | (209,409) | (562) |
5-Year Government of Canada Bond | September 2022 | (190) | (17,145) | (54) |
10-Year U.S. Treasury Note | September 2022 | (1,508) | (182,680) | (4,039) |
AUD 3-Year Treasury Bond | September 2022 | (847) | (64,646) | (1,065) |
AUD 10-Year Treasury Bond | September 2022 | (177) | (15,455) | (652) |
Euro-Bobl | September 2022 | (5,089) | (665,079) | (16,862) |
Euro-Bund | September 2022 | (111) | (17,884) | (797) |
Long Gilt | September 2022 | (803) | (115,567) | (531) |
Long U.S. Treasury Bond | September 2022 | (82) | (11,808) | (217) |
Ultra 10-Year U.S. Treasury Note | September 2022 | (2,929) | (384,431) | (11,614) |
(36,393) | ||||
(14,276) |
Forward Currency Contracts | ||||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | |||||
Counterparty | Receive | Deliver | ||||||
BNP Paribas | 9/21/22 | AUD | 5,054 | USD | 3,513 | 22 | — | |
HSBC Bank plc | 9/21/22 | CAD | 229 | USD | 177 | 1 | — | |
BNP Paribas | 9/21/22 | CAD | 107 | USD | 82 | 1 | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | CAD | 101 | USD | 80 | — | (1) | |
HSBC Bank plc | 9/21/22 | EUR | 54,324 | USD | 57,551 | — | (1,824) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | EUR | 15,488 | USD | 15,860 | 28 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | EUR | 8,528 | USD | 8,895 | — | (147) | |
Standard Chartered Bank | 9/21/22 | EUR | 7,229 | USD | 7,599 | — | (184) | |
Bank of New York | 9/21/22 | EUR | 5,954 | USD | 6,107 | 1 | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | EUR | 5,984 | USD | 6,027 | 112 | — | |
Bank of New York | 9/21/22 | EUR | 3,423 | USD | 3,666 | — | (156) | |
State Street Bank & Trust Co. | 9/21/22 | EUR | 3,339 | USD | 3,545 | — | (119) | |
Standard Chartered Bank | 9/21/22 | GBP | 13,581 | USD | 16,735 | — | (176) | |
Toronto-Dominion Bank | 9/21/22 | GBP | 8,742 | USD | 10,508 | 150 | — | |
State Street Bank & Trust Co. | 9/21/22 | USD | 132,329 | AUD | 185,916 | 2,321 | — | |
State Street Bank & Trust Co. | 9/21/22 | USD | 129,532 | AUD | 185,730 | — | (347) | |
Bank of Montreal | 9/21/22 | USD | 131,790 | AUD | 184,988 | 2,430 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 39,866 | CAD | 49,990 | 835 | — | |
Credit Agricole CIB | 9/21/22 | USD | 343,868 | EUR | 318,649 | 16,992 | — | |
Bank of America, N.A. | 9/21/22 | USD | 340,528 | EUR | 315,435 | 16,949 | — | |
Deutsche Bank AG | 9/8/22 | USD | 266,570 | EUR | 263,685 | — | (3,664) |
Forward Currency Contracts (continued) | ||||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | |||||
Counterparty | Receive | Deliver | ||||||
State Street Bank & Trust Co. | 9/8/22 | USD | 263,625 | EUR | 261,061 | — | (3,919) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 22,854 | EUR | 21,666 | 629 | — | |
Standard Chartered Bank | 9/21/22 | USD | 10,307 | EUR | 9,831 | 221 | — | |
Barclays Bank plc | 9/21/22 | USD | 7,787 | EUR | 7,578 | 14 | — | |
Standard Chartered Bank | 9/21/22 | USD | 7,445 | EUR | 7,341 | — | (86) | |
Bank of America, N.A. | 9/21/22 | USD | 6,566 | EUR | 6,489 | — | (90) | |
Deutsche Bank AG | 9/21/22 | USD | 6,418 | EUR | 6,278 | — | (23) | |
Barclays Bank plc | 9/21/22 | USD | 5,603 | EUR | 5,470 | — | (8) | |
HSBC Bank plc | 9/21/22 | USD | 2,425 | EUR | 2,276 | 90 | — | |
Bank of New York | 9/21/22 | USD | 1,845 | EUR | 1,820 | — | (22) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 825 | EUR | 781 | 24 | — | |
Standard Chartered Bank | 9/21/22 | USD | 227,546 | GBP | 182,795 | 4,670 | — | |
State Street Bank & Trust Co. | 9/21/22 | USD | 226,628 | GBP | 182,065 | 4,642 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 7,561 | GBP | 6,288 | — | (105) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 126 | JPY | 16,803 | — | — | |
50,132 | (10,871) |
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 Purchased | ||||||
CDX-NA-HY-S37-V2 | 12/22/26 | USD | 38,471 | (5.000) | (1,177) | 2,465 |
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./Baa3 | 12/23/25 | GSI | 3,270 | 1.000 | (111) | 16 | — | (127) |
American Express Co./A2 | 12/23/25 | GSI | 3,270 | 1.000 | 68 | 74 | — | (6) |
American International Group Inc./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 43 | 31 | 12 | — |
AT&T Inc./Baa2 | 12/21/23 | BARC | 179,110 | 1.000 | 444 | 1,492 | — | (1,048) |
AT&T Inc./Baa2 | 12/21/23 | BARC | 44,560 | 1.000 | 110 | 371 | — | (261) |
Berkshire Hathaway Inc./Aa2 | 12/21/22 | BARC | 16,580 | 1.000 | 80 | 22 | 58 | — |
Boeing Co./Baa2 | 6/21/24 | GSI | 24,365 | 1.000 | (92) | 223 | — | (315) |
Boeing Co./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | (53) | (13) | — | (40) |
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) |
Chubb INA Holdings Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 89 | 83 | 6 | — |
Comcast Corp./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 58 | 66 | — | (8) |
CVS Health Corp./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 66 | 52 | 14 | — |
Dominion Energy Inc./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 74 | 65 | 9 | — |
Dow Chemical Co./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 6 | 42 | — | (36) |
Enbridge Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 30 | 38 | — | (8) |
Federation of Malaysia/A3 | 6/22/27 | JPMC | 10,500 | 1.000 | 118 | 167 | — | (49) |
General Electric Co./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | (8) | 13 | — | (21) |
General Motors Co./Baa3 | 12/23/25 | GSI | 3,270 | 1.000 | (64) | (2) | — | (62) |
International Business Machines Corp./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 63 | 68 | — | (5) |
Kroger Co./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 68 | 52 | 16 | — |
Lincoln National Corp./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 9 | 29 | — | (20) |
Lowe's Cos. Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 65 | 68 | — | (3) |
Marathon Petroleum Corp./Baa2 | 12/23/25 | GSI | 3,270 | 1.000 | 27 | 20 | 7 | — |
Marsh & McLennan Cos. Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 87 | 79 | 8 | — |
Metlife Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 50 | 50 | — | — |
Mondelez International Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 67 | 61 | 6 | — |
People's Republic of China/A1 | 6/21/24 | GSI | 20,715 | 1.000 | 275 | 180 | 95 | — |
Prudential Financial Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 49 | 50 | — | (1) |
Republic of Chile/A1 | 6/22/27 | CITNA | 46,750 | 1.000 | (537) | 446 | — | (983) |
Republic of Chile/A1 | 6/22/27 | JPMC | 9,900 | 1.000 | (113) | 126 | — | (239) |
Republic of Chile/A1 | 6/22/27 | MSCS | 17,890 | 1.000 | (206) | 202 | — | (408) |
Republic of Philippines/Baa2 | 6/22/27 | BARC | 8,250 | 1.000 | (4) | 82 | — | (86) |
Simon Property Group LP/A3 | 12/23/25 | GSI | 3,270 | 1.000 | 13 | 31 | — | (18) |
UnitedHealth Group Inc./A3 | 12/23/25 | GSI | 3,270 | 1.000 | 77 | 72 | 5 | — |
Verizon Communications Inc./Baa1 | 12/21/22 | GSI | 33,580 | 1.000 | 101 | 45 | 56 | — |
Verizon Communications Inc./Baa1 | 12/23/25 | GSI | 3,270 | 1.000 | 9 | 50 | — | (41) |
958 | 4,451 | 292 | (3,785) | |||||
Credit Protection Purchased | ||||||||
Bank of China Ltd. | 6/21/23 | BNPSW | 19,485 | (1.000) | (135) | (56) | — | (79) |
Boeing Co. | 12/21/24 | JPMC | 9,690 | (1.000) | 73 | 392 | — | (319) |
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) |
Deutsche Bank AG | 12/21/22 | JPMC | 20,120 | (1.000) | (26) | (7) | — | (19) |
Republic of Colombia | 6/22/27 | MSCS | 1,850 | (1.000) | 125 | 82 | 43 | — |
37 | 411 | 43 | (417) | |||||
995 | 4,862 | 335 | (4,202) |
1 | Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
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 | 1.4371 | (1.364)2 | — | — |
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. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $71,230,407) | 67,743,534 |
Affiliated Issuers (Cost $464,216) | 460,840 |
Total Investments in Securities | 68,204,374 |
Investment in Vanguard | 2,583 |
Foreign Currency, at Value (Cost $9,610) | 9,693 |
Receivables for Investment Securities Sold | 2,503,299 |
Receivables for Accrued Income | 450,594 |
Receivables for Capital Shares Issued | 45,514 |
Swap Premiums Paid | 4,940 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 52 |
Unrealized Appreciation—Forward Currency Contracts | 50,132 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 335 |
Other Assets | 680 |
Total Assets | 71,272,196 |
Liabilities | |
Due to Custodian | 2,795 |
Payables for Investment Securities Purchased | 3,873,886 |
Payables for Capital Shares Redeemed | 62,421 |
Payables for Distributions | 18,110 |
Payables to Vanguard | 3,069 |
Swap Premiums Received | 78 |
Variation Margin Payable—Futures Contracts | 99 |
Unrealized Depreciation—Forward Currency Contracts | 10,871 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 4,202 |
Total Liabilities | 3,975,531 |
Net Assets | 67,296,665 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 71,371,354 |
Total Distributable Earnings (Loss) | (4,074,689) |
Net Assets | 67,296,665 |
Investor Shares—Net Assets | |
Applicable to 689,995,689 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,042,672 |
Net Asset Value Per Share—Investor Shares | $10.21 |
Admiral Shares—Net Assets | |
Applicable to 4,634,738,283 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 47,305,999 |
Net Asset Value Per Share—Admiral Shares | $10.21 |
Institutional Shares—Net Assets | |
Applicable to 1,268,560,736 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,947,994 |
Net Asset Value Per Share—Institutional Shares | $10.21 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends—Affiliated Issuers | 619 |
Interest—Unaffiliated Issuers | 653,469 |
Interest—Affiliated Issuers | 3,837 |
Total Income | 657,925 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,633 |
Management and Administrative— Investor Shares | 6,763 |
Management and Administrative— Admiral Shares | 21,489 |
Management and Administrative— Institutional Shares | 3,863 |
Marketing and Distribution— Investor Shares | 312 |
Marketing and Distribution— Admiral Shares | 1,224 |
Marketing and Distribution— Institutional Shares | 284 |
Custodian Fees | 188 |
Shareholders’ Reports—Investor Shares | 59 |
Shareholders’ Reports—Admiral Shares | 229 |
Shareholders’ Reports—Institutional Shares | 9 |
Trustees’ Fees and Expenses | 18 |
Other Expenses | 7 |
Total Expenses | 37,078 |
Expenses Paid Indirectly | (7) |
Net Expenses | 37,071 |
Net Investment Income | 620,854 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Unaffiliated Issuers | (619,453) |
Investment Securities Sold—Affiliated Issuers | (367) |
Futures Contracts | (163,070) |
Options Purchased | (1,127) |
Options Written | 2,039 |
Swap Contracts | (4,781) |
Forward Currency Contracts | 194,555 |
Foreign Currencies | (22,506) |
Realized Net Gain (Loss) | (614,710) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers | (2,395,854) |
Investment Securities—Affiliated Issuers | (2,876) |
Futures Contracts | 4,347 |
Options Purchased | (1,671) |
Options Written | (45) |
Swap Contracts | (275) |
Forward Currency Contracts | 680 |
Foreign Currencies | (298) |
Change in Unrealized Appreciation (Depreciation) | (2,395,992) |
Statement of Assets and Liabilities (continued) | |
Six Months Ended July 31, 2022 | |
($000) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,389,848) |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 620,854 | 1,214,741 | |
Realized Net Gain (Loss) | (614,710) | 751,955 | |
Change in Unrealized Appreciation (Depreciation) | (2,395,992) | (3,215,463) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,389,848) | (1,248,767) | |
Distributions | |||
Investor Shares | (65,059) | (168,845) | |
Admiral Shares | (459,746) | (1,102,577) | |
Institutional Shares | (125,784) | (297,838) | |
Total Distributions | (650,589) | (1,569,260) | |
Capital Share Transactions | |||
Investor Shares | (1,031,923) | 98,823 | |
Admiral Shares | (4,746,679) | 4,902,787 | |
Institutional Shares | (584,706) | 351,031 | |
Net Increase (Decrease) from Capital Share Transactions | (6,363,308) | 5,352,641 | |
Total Increase (Decrease) | (9,403,745) | 2,534,614 | |
Net Assets | |||
Beginning of Period | 76,700,410 | 74,165,796 | |
End of Period | 67,296,665 | 76,700,410 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.63 | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 |
Investment Operations | ||||||
Net Investment Income1 | .085 | .161 | .233 | .297 | .283 | .224 |
Net Realized and Unrealized Gain (Loss) on Investments | (.416) | (.341) | .225 | .304 | (.069) | (.087) |
Total from Investment Operations | (.331) | (.180) | .458 | .601 | .214 | .137 |
Distributions | ||||||
Dividends from Net Investment Income | (.089) | (.171) | (.238) | (.301) | (.284) | (.215) |
Distributions from Realized Capital Gains | — | (.039) | — | — | — | (.002) |
Total Distributions | (.089) | (.210) | (.238) | (.301) | (.284) | (.217) |
Net Asset Value, End of Period | $10.21 | $10.63 | $11.02 | $10.80 | $10.50 | $10.57 |
Total Return2 | -3.11% | -1.66% | 4.29% | 5.79% | 2.07% | 1.29% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,043 | $8,400 | $8,617 | $8,179 | $7,846 | $9,333 |
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.66% | 1.47% | 2.14% | 2.78% | 2.71% | 2.11% |
Portfolio Turnover Rate | 24%4 | 65%4 | 89%4 | 76%4 | 71%4 | 86% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 1%, 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, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.63 | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 |
Investment Operations | ||||||
Net Investment Income1 | .090 | .171 | .244 | .308 | .294 | .236 |
Net Realized and Unrealized Gain (Loss) on Investments | (.416) | (.341) | .225 | .304 | (.070) | (.088) |
Total from Investment Operations | (.326) | (.170) | .469 | .612 | .224 | .148 |
Distributions | ||||||
Dividends from Net Investment Income | (.094) | (.181) | (.249) | (.312) | (.294) | (.226) |
Distributions from Realized Capital Gains | — | (.039) | — | — | — | (.002) |
Total Distributions | (.094) | (.220) | (.249) | (.312) | (.294) | (.228) |
Net Asset Value, End of Period | $10.21 | $10.63 | $11.02 | $10.80 | $10.50 | $10.57 |
Total Return2 | -3.07% | -1.56% | 4.39% | 5.90% | 2.17% | 1.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $47,306 | $54,200 | $51,282 | $44,211 | $40,218 | $42,156 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.76% | 1.57% | 2.23% | 2.88% | 2.81% | 2.21% |
Portfolio Turnover Rate | 24%4 | 65%4 | 89%4 | 76%4 | 71%4 | 86% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 1%, 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, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.63 | $11.02 | $10.80 | $10.50 | $10.57 | $10.65 |
Investment Operations | ||||||
Net Investment Income1 | .091 | .175 | .246 | .311 | .297 | .240 |
Net Realized and Unrealized Gain (Loss) on Investments | (.415) | (.341) | .226 | .304 | (.070) | (.089) |
Total from Investment Operations | (.324) | (.166) | .472 | .615 | .227 | .151 |
Distributions | ||||||
Dividends from Net Investment Income | (.096) | (.185) | (.252) | (.315) | (.297) | (.229) |
Distributions from Realized Capital Gains | — | (.039) | — | — | — | (.002) |
Total Distributions | (.096) | (.224) | (.252) | (.315) | (.297) | (.231) |
Net Asset Value, End of Period | $10.21 | $10.63 | $11.02 | $10.80 | $10.50 | $10.57 |
Total Return | -3.05% | -1.53% | 4.42% | 5.93% | 2.20% | 1.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,948 | $14,101 | $14,267 | $10,830 | $10,100 | $11,566 |
Ratio of Total Expenses to Average Net Assets | 0.07%2 | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.79% | 1.60% | 2.25% | 2.91% | 2.84% | 2.24% |
Portfolio Turnover Rate | 24%3 | 65%3 | 89%3 | 76%3 | 71%3 | 86% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
3 | Includes 1%, 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $7,000 (an annual rate of less than 0.01% of average net assets). |
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 | — | 9,988,797 | — | 9,988,797 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 4,474,778 | — | 4,474,778 |
Corporate Bonds | — | 51,747,972 | 28 | 51,748,000 |
Floating Rate Loan Interests | — | 79,124 | — | 79,124 |
Sovereign Bonds | — | 1,433,185 | — | 1,433,185 |
Taxable Municipal Bonds | — | 19,425 | — | 19,425 |
Common Stocks | 74,895 | — | — | 74,895 |
Temporary Cash Investments | 385,945 | — | — | 385,945 |
Options Purchased | — | 225 | — | 225 |
Total | 460,840 | 67,743,506 | 28 | 68,204,374 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 22,117 | — | — | 22,117 |
Forward Currency Contracts | — | 50,132 | — | 50,132 |
Swap Contracts | 2,4651 | 335 | — | 2,800 |
Total | 24,582 | 50,467 | — | 75,049 |
Liabilities | ||||
Futures Contracts1 | 36,393 | — | — | 36,393 |
Forward Currency Contracts | — | 10,871 | — | 10,871 |
Swap Contracts | — | 4,202 | — | 4,202 |
Total | 36,393 | 15,073 | — | 51,466 |
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, 2022, 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) | 225 | — | — | 225 |
Swap Premiums Paid | — | — | 4,940 | 4,940 |
Unrealized Appreciation—Futures Contracts1 | 22,117 | — | — | 22,117 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | — | 2,465 | 2,465 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Appreciation—Forward Currency Contracts | — | 50,132 | — | 50,132 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | — | 335 | 335 |
Total Assets | 22,342 | 50,132 | 7,740 | 80,214 |
Swap Premiums Received | — | — | 78 | 78 |
Unrealized Depreciation—Futures Contracts1 | 36,393 | — | — | 36,393 |
Unrealized Depreciation—Forward Currency Contracts | — | 10,871 | — | 10,871 |
Unrealized Depreciation— Over-the-Counter Swap Contracts | — | — | 4,202 | 4,202 |
Total Liabilities | 36,393 | 10,871 | 4,280 | 51,544 |
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. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (163,070) | — | — | (163,070) |
Options Purchased | — | — | (1,127) | (1,127) |
Options Written | — | — | 2,039 | 2,039 |
Swap Contracts | — | — | (4,781) | (4,781) |
Forward Currency Contracts | — | 194,555 | — | 194,555 |
Realized Net Gain (Loss) on Derivatives | (163,070) | 194,555 | (3,869) | 27,616 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 4,347 | — | — | 4,347 |
Options Purchased | (1,446) | — | (225) | (1,671) |
Options Written | — | — | (45) | (45) |
Swap Contracts | — | — | (275) | (275) |
Forward Currency Contracts | — | 680 | — | 680 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 2,901 | 680 | (545) | 3,036 |
F. | As of July 31, 2022, 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 | 71,602,314 |
Gross Unrealized Appreciation | 251,851 |
Gross Unrealized Depreciation | (3,621,346) |
Net Unrealized Appreciation (Depreciation) | (3,369,495) |
G. | During the six months ended July 31, 2022, the fund purchased $9,725,935,000 of investment securities and sold $15,237,191,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $7,261,565,000 and $5,806,060,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 361,155 | 35,066 | 1,986,938 | 181,610 | |
Issued in Lieu of Cash Distributions | 60,965 | 5,947 | 158,729 | 14,596 | |
Redeemed | (1,454,043) | (141,384) | (2,046,844) | (187,822) | |
Net Increase (Decrease)—Investor Shares | (1,031,923) | (100,371) | 98,823 | 8,384 | |
Admiral Shares | |||||
Issued | 5,521,814 | 537,271 | 18,548,849 | 1,698,725 | |
Issued in Lieu of Cash Distributions | 364,398 | 35,554 | 883,405 | 81,245 | |
Redeemed | (10,632,891) | (1,038,118) | (14,529,467) | (1,334,000) | |
Net Increase (Decrease)—Admiral Shares | (4,746,679) | (465,293) | 4,902,787 | 445,970 | |
Institutional Shares | |||||
Issued | 1,744,482 | 169,569 | 4,071,971 | 372,794 | |
Issued in Lieu of Cash Distributions | 116,775 | 11,396 | 277,476 | 25,509 | |
Redeemed | (2,445,963) | (239,234) | (3,998,416) | (366,280) | |
Net Increase (Decrease)—Institutional Shares | (584,706) | (58,269) | 351,031 | 32,023 |
I. | Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows: |
Current Period Transactions | ||||||||
Jan. 31, 2022 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, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 994,617 | NA1 | NA1 | (367) | (69) | 3,837 | — | 385,945 |
Vanguard Short- Term Corporate Bond ETF | 77,702 | — | — | — | (2,807) | 619 | — | 74,895 |
Total | 1,072,319 | — | — | (367) | (2,876) | 4,456 | — | 460,840 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
J. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, that would require recognition or disclosure in these financial statements. |
Asset-Backed/Commercial Mortgage-Backed Securities | 2.7% |
Corporate Bonds - Communications | 7.8 |
Corporate Bonds - Consumer Discretionary | 5.5 |
Corporate Bonds - Consumer Staples | 5.6 |
Corporate Bonds - Energy | 7.0 |
Corporate Bonds - Financials | 23.6 |
Corporate Bonds - Health Care | 8.0 |
Corporate Bonds - Industrials | 5.9 |
Corporate Bonds - Materials | 2.5 |
Corporate Bonds - Real Estate | 5.9 |
Corporate Bonds - Technology | 5.7 |
Corporate Bonds - Utilities | 5.5 |
Floating Rate Loan Interests | 0.1 |
Sovereign Bonds | 3.2 |
Taxable Municipal Bonds | 0.1 |
U.S. Government and Agency Obligations | 10.9 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (10.9%) | ||||||
U.S. Government Securities (8.9%) | ||||||
United States Treasury Note/Bond | 1.125% | 8/31/28 | 139,000 | 126,468 | ||
1 | United States Treasury Note/Bond | 1.250% | 9/30/28 | 350,000 | 320,469 | |
United States Treasury Note/Bond | 1.375% | 10/31/28 | 175,000 | 161,301 | ||
United States Treasury Note/Bond | 1.500% | 11/30/28 | 175,000 | 162,477 | ||
United States Treasury Note/Bond | 1.875% | 2/28/29 | 200,000 | 190,156 | ||
United States Treasury Note/Bond | 2.375% | 3/31/29 | 135,000 | 132,089 | ||
United States Treasury Note/Bond | 2.750% | 5/31/29 | 313,280 | 313,868 | ||
United States Treasury Note/Bond | 3.250% | 6/30/29 | 50,000 | 51,703 | ||
United States Treasury Note/Bond | 1.625% | 5/15/31 | 291,900 | 268,639 | ||
1,2,3 | United States Treasury Note/Bond | 1.250% | 8/15/31 | 500,000 | 443,906 | |
United States Treasury Note/Bond | 1.375% | 11/15/31 | 250,000 | 223,672 | ||
United States Treasury Note/Bond | 1.875% | 2/15/32 | 300,000 | 280,031 | ||
United States Treasury Note/Bond | 2.875% | 5/15/32 | 140,000 | 142,472 | ||
2,817,251 | ||||||
Conventional Mortgage-Backed Securities (2.0%) | ||||||
4,5 | Ginnie Mae | 4.500% | 8/18/52– 9/21/52 | 392,000 | 398,979 | |
4,5,6 | UMBS Pool | 4.500% | 9/14/52 | 218,500 | 221,438 | |
620,417 | ||||||
Total U.S. Government and Agency Obligations (Cost $3,563,649) | 3,437,668 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.8%) | ||||||
4,7 | American Homes 4 Rent Trust Class A Series 2014-SFR2 | 3.786% | 10/17/36 | 3,624 | 3,615 | |
4,7 | American Homes 4 Rent Trust Class A Series 2015-SFR2 | 3.732% | 10/17/52 | 2,640 | 2,618 | |
4,7 | American Homes 4 Rent Trust Class B Series 2014-SFR2 | 4.290% | 10/17/36 | 1,060 | 1,058 | |
4,7 | American Homes 4 Rent Trust Class B Series 2015-SFR2 | 4.295% | 10/17/52 | 1,070 | 1,065 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2018-2 | 4.010% | 7/18/24 | 9,460 | 9,453 | |
4 | AmeriCredit Automobile Receivables Trust Class D Series 2019-1 | 3.620% | 3/18/25 | 7,240 | 7,189 | |
4,7,8 | Aventura Mall Trust Class A Series 2018-AVM | 4.112% | 7/5/40 | 13,621 | 13,263 | |
4,7 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2018-2A | 4.000% | 3/20/25 | 2,150 | 2,145 | |
4,7 | BAMLL Commercial Mortgage Securities Trust Class ANM Series 2019-BPR | 3.112% | 11/5/32 | 12,800 | 12,073 | |
4 | Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3 | 3.574% | 2/15/50 | 1,540 | 1,524 | |
4,8 | Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7 | 4.342% | 9/15/48 | 360 | 337 | |
4 | BANK Class A3 Series 2019-BNK20 | 3.011% | 9/15/62 | 7,060 | 6,690 | |
4 | BANK Class A3 Series 2019-BNK23 | 2.920% | 12/15/52 | 7,350 | 6,908 | |
4 | BANK Class A4 Series 2017-BNK4 | 3.625% | 5/15/50 | 1,661 | 1,647 | |
4 | BANK Class A4 Series 2017-BNK7 | 3.175% | 9/15/60 | 6,629 | 6,383 | |
4 | BANK Class A4 Series 2017-BNK8 | 3.488% | 11/15/50 | 5,270 | 5,195 | |
4,8 | BANK Class A4 Series 2018-BNK12 | 4.255% | 5/15/61 | 3,960 | 4,046 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,8 | BANK Class A4 Series 2018-BNK14 | 4.231% | 9/15/60 | 4,985 | 5,087 | |
4 | BANK Class A4 Series 2019-BNK17 | 3.714% | 4/15/52 | 11,404 | 11,313 | |
4 | BANK Class A4 Series 2019-BNK18 | 3.584% | 5/15/62 | 12,720 | 12,483 | |
4,8 | BANK Class A4 Series 2022-BNK40 | 3.394% | 3/15/64 | 4,030 | 3,894 | |
4 | BANK Class A5 Series 2017-BNK7 | 3.435% | 9/15/60 | 3,990 | 3,927 | |
4 | BANK Class AS Series 2017-BNK6 | 3.741% | 7/15/60 | 1,310 | 1,268 | |
4 | BANK Class ASB Series 2018-BNK14 | 4.185% | 9/15/60 | 2,205 | 2,233 | |
4 | BANK Class ASB Series 2019-BN23 | 2.846% | 12/15/52 | 9,970 | 9,544 | |
4 | BANK Class ASB Series 2019-BNK17 | 3.623% | 4/15/52 | 1,437 | 1,417 | |
4,8 | Barclays Commercial Mortgage Class A5 Series 2022-C16 | 4.600% | 6/15/55 | 3,830 | 4,047 | |
4 | BBCMS Mortgage Trust Class A4 Series 2020-C6 | 2.639% | 2/15/53 | 7,285 | 6,701 | |
4 | BBCMS Trust Class A5 Series 2021-C10 | 2.492% | 7/15/54 | 4,250 | 3,827 | |
4 | Benchmark Mortgage Trust Class A4 Series 2018-B6 | 4.261% | 10/10/51 | 6,770 | 6,909 | |
4 | Benchmark Mortgage Trust Class A4 Series 2018-B8 | 3.963% | 1/15/52 | 1,200 | 1,206 | |
4,8 | Benchmark Mortgage Trust Class A5 Series 2018-B1 | 3.666% | 1/15/51 | 4,630 | 4,583 | |
4,8 | Benchmark Mortgage Trust Class A5 Series 2018-B2 | 3.882% | 2/15/51 | 5,040 | 5,041 | |
4 | Benchmark Mortgage Trust Class A5 Series 2019-B15 | 2.928% | 12/15/72 | 11,750 | 11,035 | |
4 | Benchmark Mortgage Trust Class A5 Series 2020-B16 | 2.732% | 2/15/53 | 13,660 | 12,664 | |
4 | Benchmark Mortgage Trust Class AAB Series 2019-B15 | 2.859% | 12/15/72 | 6,735 | 6,381 | |
4,8 | Benchmark Mortgage Trust Class AM Series 2018-B1 | 3.878% | 1/15/51 | 2,350 | 2,296 | |
4 | Benchmark Mortgage Trust Class ASB Series 2019-B10 | 3.615% | 3/15/62 | 1,532 | 1,510 | |
4,7 | BX Trust Class A Series 2019-OC11 | 3.202% | 12/9/41 | 5,490 | 5,003 | |
4,7 | Canadian Pacer Auto Receivables Trust Class A4 Series 2019-1A | 2.960% | 6/19/24 | 2,090 | 2,082 | |
4 | Cantor Commercial Real Estate Lending Class A4 Series 2019-CF3 | 3.006% | 1/15/53 | 11,550 | 10,852 | |
4 | CarMax Auto Owner Trust Class C Series 2018-4 | 3.850% | 7/15/24 | 2,010 | 2,012 | |
4 | CarMax Auto Owner Trust Class C Series 2019-4 | 2.600% | 9/15/25 | 2,690 | 2,621 | |
4 | CarMax Auto Owner Trust Class D Series 2018-4 | 4.150% | 4/15/25 | 1,360 | 1,360 | |
4 | CD Mortgage Trust Class A3 Series 2018-CD7 | 4.013% | 8/15/51 | 2,900 | 2,898 | |
4 | CD Mortgage Trust Class A4 Series 2016-CD1 | 2.724% | 8/10/49 | 18,170 | 17,377 | |
4 | CD Mortgage Trust Class A4 Series 2017-CD3 | 3.631% | 2/10/50 | 5,765 | 5,602 | |
4,8 | CD Mortgage Trust Class A4 Series 2017-CD4 | 3.514% | 5/10/50 | 2,470 | 2,418 | |
4 | CD Mortgage Trust Class A4 Series 2018-CD7 | 4.279% | 8/15/51 | 3,400 | 3,471 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | CD Mortgage Trust Class A5 Series 2017-CD6 | 3.456% | 11/13/50 | 2,341 | 2,289 | |
4 | CD Mortgage Trust Class AM Series 2016-CD1 | 2.926% | 8/10/49 | 1,180 | 1,107 | |
4 | CD Mortgage Trust Class AM Series 2017-CD4 | 3.747% | 5/10/50 | 2,200 | 2,135 | |
4,8 | CD Mortgage Trust Class AM Series 2017-CD6 | 3.709% | 11/13/50 | 2,940 | 2,832 | |
4,8 | CD Mortgage Trust Class AS Series 2016-CD1 | 3.684% | 8/15/50 | 820 | 793 | |
4,8 | CD Mortgage Trust Class C Series 2016-CD1 | 3.631% | 8/10/49 | 5,510 | 5,046 | |
4,8 | CD Mortgage Trust Class C Series 2018-CD7 | 4.850% | 8/15/51 | 1,350 | 1,341 | |
4 | CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4 | 3.283% | 5/10/58 | 926 | 902 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC19 | 3.753% | 3/10/47 | 416 | 413 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC23 | 3.356% | 7/10/47 | 2,876 | 2,841 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2016-GC37 | 3.050% | 4/10/49 | 8,778 | 8,538 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8 | 3.203% | 9/15/50 | 1,530 | 1,483 | |
4 | Citigroup Commercial Mortgage Trust Class A3 Series 2019-C7 | 2.860% | 12/15/72 | 10,900 | 10,104 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC19 | 4.023% | 3/10/47 | 3,253 | 3,250 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2016-GC36 | 3.349% | 2/10/49 | 2,470 | 2,414 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-C4 | 3.471% | 10/12/50 | 6,425 | 6,295 | |
4 | Citigroup Commercial Mortgage Trust Class A4 Series 2017-P8 | 3.465% | 9/15/50 | 3,770 | 3,707 | |
4,8 | Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5 | 4.228% | 6/10/51 | 400 | 405 | |
4 | Citigroup Commercial Mortgage Trust Class AS Series 2014-GC23 | 3.863% | 7/10/47 | 2,020 | 1,991 | |
4,8 | Citigroup Commercial Mortgage Trust Class AS Series 2017-P8 | 3.789% | 9/15/50 | 750 | 725 | |
4,8 | Citigroup Commercial Mortgage Trust Class B Series 2014-GC23 | 4.175% | 7/10/47 | 800 | 798 | |
4 | Citigroup Commercial Mortgage Trust Class B Series 2017-P8 | 4.192% | 9/15/50 | 3,150 | 3,070 | |
4,8 | Citigroup Commercial Mortgage Trust Class C Series 2014-GC23 | 4.428% | 7/10/47 | 1,250 | 1,229 | |
4,8 | Citigroup Commercial Mortgage Trust Class C Series 2015-GC33 | 4.574% | 9/10/58 | 900 | 853 | |
4,8 | Citigroup Commercial Mortgage Trust Class C Series 2017-P8 | 4.264% | 9/15/50 | 2,220 | ��� 2,127 | |
4 | COMM Mortgage Trust Class A3 Series 2013-CR11 | 3.983% | 8/10/50 | 4,875 | 4,849 | |
4 | COMM Mortgage Trust Class A3 Series 2014-CR14 | 3.955% | 2/10/47 | 500 | 499 | |
4 | COMM Mortgage Trust Class A4 Series 2012-CR5 | 2.771% | 12/10/45 | 2,580 | 2,573 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR11 | 4.258% | 8/10/50 | 2,257 | 2,265 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR12 | 4.046% | 10/10/46 | 2,727 | 2,696 | |
4 | COMM Mortgage Trust Class A4 Series 2013-CR8 | 3.334% | 6/10/46 | 88 | 87 | |
4 | COMM Mortgage Trust Class A4 Series 2013-LC6 | 2.941% | 1/10/46 | 2,388 | 2,383 | |
4 | COMM Mortgage Trust Class A4 Series 2014-CR17 | 3.700% | 5/10/47 | 925 | 916 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | COMM Mortgage Trust Class A4 Series 2014-CR18 | 3.550% | 7/15/47 | 5,279 | 5,205 | |
4,8 | COMM Mortgage Trust Class A5 Series 2013-CR8 | 3.612% | 6/10/46 | 1,760 | 1,752 | |
4 | COMM Mortgage Trust Class A5 Series 2013-LC13 | 4.205% | 8/10/46 | 556 | 556 | |
4 | COMM Mortgage Trust Class AM Series 2012-CR2 | 3.791% | 8/15/45 | 974 | 973 | |
4,8 | COMM Mortgage Trust Class AM Series 2014-CR15 | 4.426% | 2/10/47 | 1,300 | 1,297 | |
4 | COMM Mortgage Trust Class AM Series 2014-CR17 | 4.174% | 5/10/47 | 1,290 | 1,278 | |
4 | COMM Mortgage Trust Class ASB Series 2019-GC44 | 2.873% | 8/15/57 | 180 | 172 | |
4,7 | COMM Mortgage Trust Class B Series 2013-CR6 | 3.397% | 3/10/46 | 1,400 | 1,390 | |
4,7,8 | COMM Mortgage Trust Class C Series 2013-CR9 | 4.292% | 7/10/45 | 2,780 | 2,627 | |
4,8 | COMM Mortgage Trust Class C Series 2015-CR27 | 4.450% | 10/10/48 | 1,760 | 1,726 | |
4 | CSAIL Commercial Mortgage Trust Class A3 Series 2020-C19 | 2.561% | 3/15/53 | 15,250 | 13,838 | |
4 | CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7 | 3.502% | 11/15/49 | 1,558 | 1,525 | |
4,8 | CSAIL Commercial Mortgage Trust Class C Series 2015-C3 | 4.366% | 8/15/48 | 2,160 | 1,960 | |
4 | DBGS Mortgage Trust Class A4 Series 2018-C1 | 4.466% | 10/15/51 | 5,600 | 5,732 | |
4 | DBJPM Mortgage Trust Class A5 Series 2017-C6 | 3.328% | 6/10/50 | 5,540 | 5,411 | |
4 | Discover Card Execution Note Trust Class A2 Series 2021-A2 | 1.030% | 9/15/28 | 2,980 | 2,705 | |
4 | Drive Auto Receivables Trust Class D Series 2018-3 | 4.300% | 9/16/24 | 1,100 | 1,101 | |
4 | Drive Auto Receivables Trust Class D Series 2019-2 | 3.690% | 8/17/26 | 5,630 | 5,617 | |
4,7,8 | Edsouth Indenture No. 9 LLC Class A Series 2015-1, 1M USD LIBOR + 0.800% | 3.059% | 10/25/56 | 2,932 | 2,903 | |
4,7 | EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A | 3.580% | 11/25/38 | 1,658 | 1,574 | |
4,7 | FirstKey Homes Trust Class A Series 2020-SFR2 | 1.266% | 10/19/37 | 5,260 | 4,904 | |
4 | Ford Credit Auto Lease Trust Class C Series 2022-A | 4.180% | 10/15/25 | 1,340 | 1,332 | |
4,7 | Ford Credit Auto Owner Trust Class A Series 2020-1 | 2.040% | 8/15/31 | 3,900 | 3,755 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2018-1 | 3.340% | 7/15/31 | 4,390 | 4,315 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-1 | 2.290% | 8/15/31 | 2,530 | 2,390 | |
4,7 | Ford Credit Auto Owner Trust Class B Series 2020-2 | 1.490% | 4/15/33 | 2,690 | 2,478 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2018-2 | 3.760% | 1/15/30 | 2,700 | 2,683 | |
4,7 | Ford Credit Auto Owner Trust Class C Series 2020-1 | 2.540% | 8/15/31 | 3,000 | 2,850 | |
4 | Ford Credit Floorplan Master Owner Trust Class A Series 2020-2 | 1.060% | 9/15/27 | 560 | 516 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2021-4 | 1.250% | 10/18/27 | 760 | 702 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4 | 1.050% | 5/18/26 | 1,200 | 1,129 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2021-1 | 1.040% | 5/17/27 | 530 | 495 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | GM Financial Revolving Receivables Trust Class B Series 2021-1 | 1.490% | 6/12/34 | 500 | 454 | |
4,7 | GM Financial Revolving Receivables Trust Class C Series 2021-1 | 1.670% | 6/12/34 | 900 | 803 | |
4,7 | Golden Credit Card Trust Class A Series 2021-1A | 1.140% | 8/15/28 | 6,680 | 6,102 | |
4,8 | GS Mortgage Securities Corp. II Class A5 Series 2018-GS10 | 4.155% | 7/10/51 | 1,065 | 1,072 | |
4 | GS Mortgage Securities Trust Class A3 Series 2017-GS6 | 3.433% | 5/10/50 | 5,920 | 5,802 | |
4 | GS Mortgage Securities Trust Class A4 Series 2016-GS3 | 2.850% | 10/10/49 | 2,220 | 2,131 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC38 | 3.968% | 2/10/52 | 3,080 | 3,092 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC40 | 3.160% | 7/10/52 | 6,528 | 6,233 | |
4 | GS Mortgage Securities Trust Class A4 Series 2019-GC42 | 3.001% | 9/1/52 | 7,000 | 6,631 | |
4,8 | GS Mortgage Securities Trust Class A5 Series 2013-GC13 | 4.038% | 7/10/46 | 185 | 185 | |
4 | GS Mortgage Securities Trust Class A5 Series 2020-GC45 | 2.911% | 2/13/53 | 18,170 | 17,027 | |
4 | GS Mortgage Securities Trust Class AAB Series 2020-GC45 | 2.843% | 2/13/53 | 7,336 | 7,025 | |
4 | GS Mortgage Securities Trust Class AS Series 2014-GC20 | 4.258% | 4/10/47 | 570 | 566 | |
4,8 | GS Mortgage Securities Trust Class AS Series 2014-GC24 | 4.162% | 9/10/47 | 6,520 | 6,449 | |
4,8 | GS Mortgage Securities Trust Class B Series 2013-GC12 | 3.777% | 6/10/46 | 1,550 | 1,532 | |
4,8 | GS Mortgage Securities Trust Class B Series 2014-GC24 | 4.512% | 9/10/47 | 2,610 | 2,502 | |
4,7,8 | GS Mortgage Securities Trust Class C Series 2013-GC13 | 4.071% | 7/10/46 | 1,210 | 1,130 | |
4,8 | GS Mortgage Securities Trust Class C Series 2014-GC24 | 4.533% | 9/10/47 | 4,615 | 4,248 | |
4,8 | GS Mortgage Securities Trust Class C Series 2015-GC34 | 4.648% | 10/10/48 | 2,610 | 2,459 | |
4,7 | Hertz Vehicle Financing III LLC Class A Series 2022-1A | 1.990% | 6/25/26 | 1,120 | 1,055 | |
4,7 | Hertz Vehicle Financing III LLC Class A Series 2022-1A | 2.630% | 6/25/26 | 1,120 | 1,040 | |
4,7 | Hertz Vehicle Financing III LLC Class C Series 2022-3A | 4.350% | 3/25/25 | 270 | 266 | |
4,7 | Hertz Vehicle Financing LLC Class A Series 2021-2A | 1.680% | 12/27/27 | 3,190 | 2,886 | |
4,7 | HPEFS Equipment Trust Class B Series 2020-1A | 1.890% | 2/20/30 | 1,751 | 1,749 | |
4,7 | HPEFS Equipment Trust Class C Series 2019-1A | 2.490% | 9/20/29 | 269 | 268 | |
4,7 | HPEFS Equipment Trust Class D Series 2019-1A | 2.720% | 9/20/29 | 1,200 | 1,200 | |
4,7 | Hudson Yards Mortgage Trust Class A Series 2019-30HY | 3.228% | 7/10/39 | 5,810 | 5,423 | |
4,7 | Hudsons Bay Simon JV Trust Class A7 Series 2015-HB7 | 3.914% | 8/5/34 | 4,750 | 4,468 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-A | 2.940% | 5/15/25 | 2,490 | 2,478 | |
4 | Hyundai Auto Receivables Trust Class B Series 2019-B | 2.210% | 4/15/25 | 530 | 521 | |
4 | Hyundai Auto Receivables Trust Class B Series 2021-B | 0.910% | 2/16/27 | 1,270 | 1,169 | |
4 | Hyundai Auto Receivables Trust Class C Series 2021-B | 1.120% | 2/15/28 | 1,350 | 1,235 | |
4,7,8 | Invitation Homes Trust Class A Series 2018-SFR1, 1M USD LIBOR + 0.700% | 2.856% | 3/17/37 | 7,869 | 7,742 | |
4,7,8 | Invitation Homes Trust Class B Series 2018-SFR1, 1M USD LIBOR + 0.950% | 3.106% | 3/17/37 | 2,250 | 2,227 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2013-C16 | 3.881% | 12/15/46 | 389 | 385 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C13 | 3.994% | 1/15/46 | 286 | 286 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C16 | 4.166% | 12/15/46 | 3,223 | 3,209 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class B Series 2013-C16 | 4.939% | 12/15/46 | 2,135 | 2,133 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C13 | 4.076% | 1/15/46 | 2,550 | 2,510 | |
4,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C16 | 5.004% | 12/15/46 | 960 | 949 | |
4,7,8 | JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2 | 5.672% | 11/15/43 | 910 | 820 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C17 | 4.199% | 1/15/47 | 760 | 760 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C19 | 3.997% | 4/15/47 | 3,680 | 3,667 | |
4 | JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C12 | 3.664% | 7/15/45 | 915 | 910 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2013-C12 | 4.034% | 7/15/45 | 5,000 | 4,960 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2014-C18 | 4.439% | 2/15/47 | 600 | 596 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class AS Series 2015-C30 | 4.226% | 7/15/48 | 2,245 | 2,226 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class B Series 2014-C18 | 4.788% | 2/15/47 | 2,500 | 2,457 | |
4,8 | JPMBB Commercial Mortgage Securities Trust Class C Series 2014-C18 | 4.788% | 2/15/47 | 2,500 | 2,352 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A4 Series 2017-JP6 | 3.224% | 7/15/50 | 4,890 | 4,764 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP5 | 3.723% | 3/15/50 | 6,680 | 6,634 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP6 | 3.490% | 7/15/50 | 3,740 | 3,679 | |
4 | JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP7 | 3.454% | 9/15/50 | 4,680 | 4,598 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A3 Series 2016-C4 | 3.141% | 12/15/49 | 2,840 | 2,749 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8 | 4.211% | 6/15/51 | 150 | 151 | |
4 | JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7 | 3.409% | 10/15/50 | 1,860 | 1,822 | |
4,8 | JPMDB Commercial Mortgage Securities Trust Class AS Series 2017-C7 | 3.713% | 10/15/50 | 3,600 | 3,486 | |
4,7,8 | Lanark Master Issuer plc Class 1A Series 2020-1A | 2.277% | 12/22/69 | 3,100 | 3,071 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2B Series 2017-C | 2.810% | 11/25/42 | 1,075 | 1,069 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B | 3.540% | 5/26/43 | 1,333 | 1,329 | |
4,7 | Laurel Road Prime Student Loan Trust Class A2FX Series 2019-A | 2.730% | 10/25/48 | 2,524 | 2,464 | |
4,7 | Master Credit Card Trust II Class A2 Series 2022-1 | 1.660% | 7/21/26 | 5,070 | 4,836 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2018-A | 3.610% | 3/10/42 | 1,580 | 1,567 | |
4,7 | MMAF Equipment Finance LLC Class A5 Series 2019-A | 3.080% | 11/12/41 | 2,630 | 2,582 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C10 | 4.073% | 7/15/46 | 1,244 | 1,238 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C12 | 4.259% | 10/15/46 | 1,940 | 1,938 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C13 | 4.039% | 11/15/46 | 400 | 398 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C7 | 2.918% | 2/15/46 | 2,470 | 2,452 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C9 | 3.102% | 5/15/46 | 1,880 | 1,864 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2017-C34 | 3.536% | 11/15/52 | 6,550 | 6,453 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2013-C7 | 3.214% | 2/15/46 | 2,000 | 1,983 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C14 | 4.384% | 2/15/47 | 1,600 | 1,593 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C16 | 4.094% | 6/15/47 | 935 | 924 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C17 | 4.011% | 8/15/47 | 1,380 | 1,362 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class B Series 2014-C16 | 4.318% | 6/15/47 | 5,890 | 5,771 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10 | 4.073% | 7/15/46 | 1,830 | 1,673 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15 | 4.891% | 4/15/47 | 1,140 | 1,131 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C16 | 4.751% | 6/15/47 | 2,400 | 2,259 | |
4,8 | Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2016-C29 | 4.728% | 5/15/49 | 2,440 | 2,318 | |
4 | Morgan Stanley Capital I Class A4 Series 2017-HR2 | 3.587% | 12/15/50 | 3,506 | 3,452 | |
4 | Morgan Stanley Capital I Class ASB Series 2017-HR2 | 3.509% | 12/15/50 | 2,800 | 2,772 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2014-150E | 3.912% | 9/9/32 | 3,670 | 3,558 | |
4,7 | Morgan Stanley Capital I Trust Class A Series 2015-420 | 3.727% | 10/12/50 | 2,235 | 2,212 | |
4 | Morgan Stanley Capital I Trust Class A3 Series 2016-BNK2 | 2.791% | 11/15/49 | 8,300 | 7,961 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-BNK2 | 3.049% | 11/15/49 | 5,260 | 5,093 | |
4 | Morgan Stanley Capital I Trust Class A4 Series 2016-UB11 | 2.782% | 8/15/49 | 2,778 | 2,654 | |
4,8 | Morgan Stanley Capital I Trust Class A4 Series 2021-L6 | 2.444% | 6/15/54 | 1,900 | 1,680 | |
4,8 | Morgan Stanley Capital I Trust Class C Series 2015-UBS8 | 4.576% | 12/15/48 | 1,610 | 1,454 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV | 3.277% | 10/15/30 | 3,690 | 3,642 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2017-A | 2.880% | 12/16/58 | 2,088 | 2,068 | |
4,7 | Navient Private Education Loan Trust Class A2A Series 2018-BA | 3.610% | 12/15/59 | 2,719 | 2,687 | |
4,7 | Navient Private Education Refi Loan Trust Class A2A Series 2018-DA | 4.000% | 12/15/59 | 11,610 | 11,509 | |
4,7 | Navient Student Loan Trust Class A2A Series 2019-BA | 3.390% | 12/15/59 | 4,440 | 4,360 | |
4,7 | One Bryant Park Trust Class A Series 2019-OBP | 2.516% | 9/15/54 | 3,975 | 3,528 | |
4,7 | Palisades Center Trust Class A Series 2016-PLSD | 2.713% | 4/13/33 | 8,980 | 8,257 | |
4,7,8 | Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% | 3.036% | 1/16/60 | 1,104 | 1,103 | |
4,7,8 | Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% | 3.126% | 6/20/60 | 761 | 757 | |
4,7,8 | Pepper Residential Securities Trust No. 23 Class A1U Series 23A, 1M USD LIBOR + 0.950% | 3.106% | 8/18/60 | 418 | 415 | |
4,7,8 | PHEAA Student Loan Trust Class A Series 2016-2A, 1M USD LIBOR + 0.950% | 3.209% | 11/25/65 | 4,658 | 4,609 | |
4,7 | Progress Residential Trust Class A Series 2022-SFR3 | 3.200% | 4/17/39 | 480 | 459 | |
4,7 | Progress Residential Trust Class A Series 2022-SFR5 | 4.451% | 6/17/39 | 360 | 363 | |
4,7 | Progress Residential Trust Class B Series 2022-SFR3 | 3.600% | 4/17/39 | 210 | 201 | |
4,7 | Progress Residential Trust Class B Series 2022-SFR5 | 4.896% | 6/17/39 | 250 | 254 | |
4,7,8 | RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% | 2.648% | 12/5/59 | 1,617 | 1,614 | |
4,7,8 | RESIMAC MBS Trust Class A1A Series 2018-2A, 1M USD LIBOR + 0.850% | 2.722% | 4/10/50 | 334 | 334 | |
4,7,8 | RESIMAC Premier Class A1 Series 2018-1A, 1M USD LIBOR + 0.800% | 2.672% | 11/10/49 | 600 | 600 | |
4 | Santander Drive Auto Receivables Trust Class A3 Series 2022-3 | 3.400% | 12/15/26 | 870 | 862 | |
4 | Santander Drive Auto Receivables Trust Class B Series 2022-3 | 4.130% | 8/16/27 | 1,700 | 1,693 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2022-2 | 3.760% | 7/16/29 | 1,590 | 1,550 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2022-3 | 4.490% | 8/15/29 | 2,910 | 2,893 | |
4,7 | Santander Retail Auto Lease Trust Class D Series 2020-B | 1.980% | 10/20/25 | 7,460 | 7,185 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2016-A | 2.700% | 5/15/31 | 1,540 | 1,513 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2017-B | 2.820% | 10/15/35 | 4,168 | 4,080 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-B | 3.600% | 1/15/37 | 5,619 | 5,548 | |
4,7 | SMB Private Education Loan Trust Class A2A Series 2018-C | 3.630% | 11/15/35 | 8,047 | 7,944 | |
4,7,8 | SoFi Professional Loan Program LLC Class A1 Series 2016-D, 1M USD LIBOR + 0.950% | 3.209% | 1/25/39 | 153 | 153 | |
4,7,8 | SoFi Professional Loan Program LLC Class A1 Series 2017-C, 1M USD LIBOR + 0.600% | 2.859% | 7/25/40 | 93 | 93 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2016-C | 2.360% | 12/27/32 | 60 | 60 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2017-A | 2.400% | 3/26/40 | 88 | 87 | |
4,7 | SoFi Professional Loan Program LLC Class A2B Series 2018-A | 2.950% | 2/25/42 | 1,690 | 1,661 | |
4,7 | SoFi Professional Loan Program LLC Class A2BSeries 2016-B | 2.740% | 10/25/32 | 137 | 137 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-B | 2.740% | 5/25/40 | 634 | 630 | |
4,7 | SoFi Professional Loan Program LLC Class A2FX Series 2017-F | 2.840% | 1/25/41 | 1,547 | 1,520 | |
4,7 | TMSQ Mortgage Trust Class A Series 2014-1500 | 3.680% | 10/10/36 | 2,800 | 2,776 | |
4,7 | Toyota Auto Loan Extended Note Trust Class A Series 2022-1A | 3.820% | 4/25/35 | 1,670 | 1,673 | |
4,7 | Trinity Rail Leasing LLC Class A2 Series 2018-1A | 4.620% | 6/17/48 | 10,260 | 10,047 | |
4 | UBS Commercial Mortgage Trust Class A4 Series 2017-C7 | 3.679% | 12/15/50 | 6,673 | 6,584 | |
4 | UBS Commercial Mortgage Trust Class ASB Series 2019-C16 | 3.460% | 4/15/52 | 2,287 | 2,251 | |
4,7 | UBS-BAMLL Trust Class A Series 2012-WRM | 3.663% | 6/10/30 | 211 | 203 | |
4 | UBS-Barclays Commercial Mortgage Trust Class A4 Series 2013-C6 | 3.244% | 4/10/46 | 3,970 | 3,943 | |
4 | UBS-Barclays Commercial Mortgage Trust Class AS Series 2013-C6 | 3.469% | 4/10/46 | 1,160 | 1,151 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2016-BNK1 | 2.652% | 8/15/49 | 4,470 | 4,269 | |
4 | Wells Fargo Commercial Mortgage Trust Class A3 Series 2017-C40 | 3.317% | 10/15/50 | 2,600 | 2,525 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2013-LC12 | 4.218% | 7/15/46 | 2,773 | 2,762 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2016-C37 | 3.525% | 12/15/49 | 2,190 | 2,152 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C39 | 3.157% | 9/15/50 | 4,270 | 4,151 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40 | 3.581% | 10/15/50 | 2,880 | 2,835 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1 | 3.631% | 1/15/60 | 2,712 | 2,680 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46 | 4.152% | 8/15/51 | 1,115 | 1,127 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47 | 4.442% | 9/15/61 | 1,090 | 1,119 | |
4 | Wells Fargo Commercial Mortgage Trust Class A4 Series 2019-C54 | 3.146% | 12/15/52 | 2,390 | 2,265 | |
4 | Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16 | 4.020% | 8/15/50 | 700 | 689 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-C30 | 4.067% | 9/15/58 | 2,250 | 2,218 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,8 | Wells Fargo Commercial Mortgage Trust Class AS Series 2015-LC22 | 4.207% | 9/15/58 | 2,045 | 2,023 | |
4 | Wells Fargo Commercial Mortgage Trust Class ASB Series 2019-C49 | 3.933% | 3/15/52 | 3,250 | 3,242 | |
4 | Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16 | 4.322% | 8/15/50 | 1,300 | 1,199 | |
4 | Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16 | 4.458% | 8/15/50 | 1,450 | 894 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class C Series 2015-LC22 | 4.555% | 9/15/58 | 5,225 | 4,982 | |
4,8 | Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43 | 4.514% | 3/15/51 | 12,380 | 11,738 | |
4,7,8 | WFLD Mortgage Trust Class A Series 2014-MONT | 3.755% | 8/10/31 | 4,640 | 4,638 | |
4 | WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14 | 3.766% | 3/15/47 | 695 | 691 | |
4,8 | WFRBS Commercial Mortgage Trust Class A5 Series 2013-C18 | 4.162% | 12/15/46 | 2,378 | 2,377 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2012-C9 | 3.388% | 11/15/45 | 2,870 | 2,865 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2013-C13 | 3.345% | 5/15/45 | 2,220 | 2,196 | |
4 | WFRBS Commercial Mortgage Trust Class AS Series 2014-C21 | 3.891% | 8/15/47 | 700 | 682 | |
4,8 | WFRBS Commercial Mortgage Trust Class B Series 2013-C18 | 4.865% | 12/15/46 | 1,085 | 1,075 | |
4 | WFRBS Commercial Mortgage Trust Class B Series 2014-C20 | 4.378% | 5/15/47 | 2,410 | 2,365 | |
4,8 | WFRBS Commercial Mortgage Trust Class C Series 2014-C20 | 4.513% | 5/15/47 | 1,410 | 1,294 | |
4 | World Omni Auto Receivables Trust Class B Series 2019-B | 2.860% | 6/16/25 | 2,510 | 2,500 | |
4 | World Omni Auto Receivables Trust Class C Series 2021-C | 1.060% | 4/17/28 | 510 | 467 | |
4 | World Omni Auto Receivables Trust Class C Series 2021-D | 1.720% | 6/15/28 | 2,240 | 2,086 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $906,820) | 863,605 | |||||
Corporate Bonds (83.1%) | ||||||
Communications (7.8%) | ||||||
Activision Blizzard Inc. | 1.350% | 9/15/30 | 20,703 | 17,264 | ||
7 | America Movil SAB de CV | 5.375% | 4/4/32 | 18,044 | 17,113 | |
9 | AT&T Inc. | 1.800% | 9/5/26 | 11,900 | 12,168 | |
AT&T Inc. | 1.650% | 2/1/28 | 46,893 | 41,725 | ||
AT&T Inc. | 4.100% | 2/15/28 | 14,733 | 14,768 | ||
AT&T Inc. | 4.350% | 3/1/29 | 21,556 | 21,748 | ||
AT&T Inc. | 4.300% | 2/15/30 | 68,644 | 68,832 | ||
AT&T Inc. | 2.750% | 6/1/31 | 62,000 | 55,566 | ||
AT&T Inc. | 2.250% | 2/1/32 | 17,000 | 14,485 | ||
10 | AT&T Inc. | 7.000% | 4/30/40 | 200 | 320 | |
Booking Holdings Inc. | 4.625% | 4/13/30 | 35,630 | 36,740 | ||
British Telecommunications plc | 5.125% | 12/4/28 | 23,102 | 23,524 | ||
7 | British Telecommunications plc | 3.250% | 11/8/29 | 30,000 | 26,946 | |
7 | Cable One Inc. | 4.000% | 11/15/30 | 4,208 | 3,796 | |
CBS Corp. | 4.200% | 6/1/29 | 2,000 | 1,934 | ||
CBS Corp. | 7.875% | 7/30/30 | 304 | 355 | ||
7 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.000% | 2/1/28 | 2,308 | 2,227 | |
7 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.750% | 3/1/30 | 5,885 | 5,353 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | 3.750% | 2/15/28 | 18,609 | 17,579 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.200% | 3/15/28 | 54,533 | 52,665 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.250% | 1/15/29 | 51,263 | 43,753 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.050% | 3/30/29 | 34,184 | 34,025 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 2.800% | 4/1/31 | 24,025 | 20,294 | ||
10 | CK Hutchison Group Telecom Finance SA | 2.625% | 10/17/34 | 780 | 742 | |
7 | Cogent Communications Group Inc. | 7.000% | 6/15/27 | 2,230 | 2,249 | |
Comcast Corp. | 3.150% | 2/15/28 | 35,747 | 35,012 | ||
Comcast Corp. | 3.550% | 5/1/28 | 15,000 | 14,952 | ||
Comcast Corp. | 4.150% | 10/15/28 | 81,690 | 83,848 | ||
Comcast Corp. | 2.650% | 2/1/30 | 15,290 | 14,147 | ||
Comcast Corp. | 3.400% | 4/1/30 | �� 72,518 | 70,612 | ||
Comcast Corp. | 4.250% | 10/15/30 | 6,753 | 6,942 | ||
Comcast Corp. | 1.950% | 1/15/31 | 25,500 | 22,086 | ||
Comcast Corp. | 1.500% | 2/15/31 | 12,000 | 10,066 | ||
7 | Cox Communications Inc. | 2.600% | 6/15/31 | 30,000 | 26,085 | |
7 | Cox Communications Inc. | 4.500% | 6/30/43 | 2,700 | 2,467 | |
7 | CSC Holdings LLC | 5.375% | 2/1/28 | 1,980 | 1,880 | |
7 | CSC Holdings LLC | 6.500% | 2/1/29 | 2,790 | 2,696 | |
7 | CSC Holdings LLC | 4.625% | 12/1/30 | 2,527 | 1,921 | |
7 | CSC Holdings LLC | 3.375% | 2/15/31 | 1,465 | 1,172 | |
7 | Deutsche Telekom International Finance BV | 4.375% | 6/21/28 | 9,350 | 9,567 | |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 10,000 | 12,776 | ||
7 | Directv Financing LLC / Directv Financing Co-Obligor Inc. | 5.875% | 8/15/27 | 3,259 | 3,045 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 34,696 | 33,474 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 34,315 | 32,430 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 25,186 | 23,115 | ||
7 | DISH DBS Corp. | 5.250% | 12/1/26 | 1,835 | 1,572 | |
7 | DISH DBS Corp. | 5.750% | 12/1/28 | 1,119 | 907 | |
DISH DBS Corp. | 5.125% | 6/1/29 | 2,245 | 1,470 | ||
Electronic Arts Inc. | 1.850% | 2/15/31 | 49,437 | 41,714 | ||
Expedia Group Inc. | 4.625% | 8/1/27 | 22,670 | 22,392 | ||
Expedia Group Inc. | 3.800% | 2/15/28 | 43,363 | 40,512 | ||
Expedia Group Inc. | 3.250% | 2/15/30 | 5,020 | 4,332 | ||
Expedia Group Inc. | 2.950% | 3/15/31 | 27,000 | 22,272 | ||
Fox Corp. | 4.709% | 1/25/29 | 61,320 | 62,373 | ||
Fox Corp. | 3.500% | 4/8/30 | 24,000 | 22,538 | ||
7 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 805 | 793 | |
7 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 2,180 | 2,048 | |
7 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 4,301 | 3,626 | |
7 | Frontier Communications Holdings LLC | 8.750% | 5/15/30 | 993 | 1,054 | |
Interpublic Group of Cos. Inc. | 4.750% | 3/30/30 | 364 | 366 | ||
Interpublic Group of Cos. Inc. | 2.400% | 3/1/31 | 16,016 | 13,499 | ||
7 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 3,628 | 3,328 | |
7 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 545 | 477 | |
7 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 1,920 | 1,609 | |
7 | Magallanes Inc. | 4.054% | 3/15/29 | 65,530 | 62,371 | |
7 | Magallanes Inc. | 4.279% | 3/15/32 | 78,260 | 73,016 | |
7 | Netflix Inc. | 3.625% | 6/15/25 | 4,810 | 4,733 | |
Netflix Inc. | 4.875% | 4/15/28 | 25,069 | 24,864 | ||
Netflix Inc. | 5.875% | 11/15/28 | 5,935 | 6,126 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Netflix Inc. | 6.375% | 5/15/29 | 11,566 | 12,350 | ||
7 | News Corp. | 3.875% | 5/15/29 | 4,843 | 4,472 | |
7 | News Corp. | 5.125% | 2/15/32 | 1,398 | 1,348 | |
7 | Nexstar Media Inc. | 5.625% | 7/15/27 | 3,753 | 3,754 | |
7 | Nexstar Media Inc. | 4.750% | 11/1/28 | 2,340 | 2,180 | |
7 | NTT Finance Corp. | 2.065% | 4/3/31 | 4,955 | 4,296 | |
Omnicom Group Inc. | 2.450% | 4/30/30 | 10,000 | 8,698 | ||
Omnicom Group Inc. | 4.200% | 6/1/30 | 2,000 | 1,963 | ||
Omnicom Group Inc. | 2.600% | 8/1/31 | 40,000 | 34,691 | ||
10 | Orange SA | 8.125% | 11/20/28 | 600 | 937 | |
Paramount Global Inc. | 3.700% | 6/1/28 | 27,005 | 25,813 | ||
Paramount Global Inc. | 4.950% | 1/15/31 | 44,871 | 43,963 | ||
Paramount Global Inc. | 4.200% | 5/19/32 | 3,000 | 2,725 | ||
7 | Rogers Communications Inc. | 3.800% | 3/15/32 | 28,616 | 27,672 | |
7 | Scripps Escrow II Inc. | 5.375% | 1/15/31 | 1,858 | 1,574 | |
7 | Scripps Escrow Inc. | 5.875% | 7/15/27 | 1,843 | 1,759 | |
7 | Sirius XM Radio Inc. | 3.125% | 9/1/26 | 585 | 551 | |
7 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 1,810 | 1,794 | |
7 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 520 | 483 | |
Sprint Corp. | 7.125% | 6/15/24 | 5,555 | 5,818 | ||
Sprint Corp. | 7.625% | 3/1/26 | 5,777 | 6,336 | ||
Take-Two Interactive Software Inc. | 4.000% | 4/14/32 | 16,475 | 16,134 | ||
Telefonica Emisiones SA | 4.103% | 3/8/27 | 38,943 | 38,825 | ||
10 | Telefonica Emisiones SA | 5.445% | 10/8/29 | 200 | 268 | |
T-Mobile USA Inc. | 3.750% | 4/15/27 | 138,628 | 136,615 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 4,339 | 3,884 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 42,545 | 38,061 | ||
T-Mobile USA Inc. | 3.375% | 4/15/29 | 31,773 | 29,685 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 124,735 | 119,958 | ||
T-Mobile USA Inc. | 2.875% | 2/15/31 | 6,810 | 6,026 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 26,520 | 22,361 | ||
7 | Univision Communications Inc. | 7.375% | 6/30/30 | 648 | 655 | |
Verizon Communications Inc. | 2.100% | 3/22/28 | 93,343 | 85,544 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 40,128 | 41,157 | ||
Verizon Communications Inc. | 3.875% | 2/8/29 | 1,000 | 997 | ||
Verizon Communications Inc. | 4.016% | 12/3/29 | 52,000 | 52,055 | ||
Verizon Communications Inc. | 3.150% | 3/22/30 | 40,626 | 38,313 | ||
Verizon Communications Inc. | 1.500% | 9/18/30 | 10,107 | 8,424 | ||
Verizon Communications Inc. | 1.680% | 10/30/30 | 19,550 | 16,365 | ||
Verizon Communications Inc. | 1.750% | 1/20/31 | 36,784 | 30,745 | ||
Verizon Communications Inc. | 2.550% | 3/21/31 | 72,741 | 64,675 | ||
Verizon Communications Inc. | 2.355% | 3/15/32 | 54,342 | 46,916 | ||
10 | Verizon Communications Inc. | 3.125% | 11/2/35 | 300 | 335 | |
10 | Verizon Communications Inc. | 1.875% | 11/3/38 | 1,600 | 1,473 | |
7 | Videotron Ltd. | 3.625% | 6/15/29 | 2,618 | 2,286 | |
Vodafone Group plc | 4.375% | 5/30/28 | 38,026 | 38,706 | ||
9 | Vodafone Group plc | 2.500% | 5/24/39 | 3,660 | 3,427 | |
Vodafone Group plc | 4.125% | 6/4/81 | 16,278 | 13,179 | ||
7 | VZ Secured Financing BV | 5.000% | 1/15/32 | 2,228 | 1,989 | |
Walt Disney Co. | 2.200% | 1/13/28 | 5,160 | 4,835 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 44,664 | 39,795 | ||
7 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 9,378 | 8,596 | |
7 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 3,265 | 2,860 | |
2,470,777 | ||||||
Consumer Discretionary (5.5%) | ||||||
7 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 2,242 | 2,110 | |
7 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 3,469 | 3,223 | |
Amazon.com Inc. | 1.650% | 5/12/28 | 40,000 | 36,762 | ||
Amazon.com Inc. | 1.500% | 6/3/30 | 21,946 | 19,085 | ||
Amazon.com Inc. | 2.100% | 5/12/31 | 38,500 | 34,695 | ||
Amazon.com Inc. | 3.600% | 4/13/32 | 10,000 | 10,118 | ||
Amazon.com Inc. | 3.950% | 4/13/52 | 2,810 | 2,735 | ||
7 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 3,755 | 3,496 | |
7 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 1,670 | 1,428 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Honda Finance Corp. | 1.800% | 1/13/31 | 20,000 | 17,070 | ||
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 4,277 | 3,963 | ||
7 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 625 | 547 | |
AutoZone Inc. | 4.000% | 4/15/30 | 29,868 | 29,447 | ||
AutoZone Inc. | 1.650% | 1/15/31 | 39,857 | 32,656 | ||
AutoZone Inc. | 4.750% | 8/1/32 | 15,000 | 15,464 | ||
Bath & Body Works Inc. | 7.500% | 6/15/29 | 2,070 | 2,056 | ||
7 | BMW US Capital LLC | 2.550% | 4/1/31 | 20,000 | 17,860 | |
Boyd Gaming Corp. | 4.750% | 12/1/27 | 4,233 | 4,073 | ||
Brunswick Corp. | 2.400% | 8/18/31 | 8,390 | 6,449 | ||
7 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 2,144 | 2,144 | |
7 | Camelot Return Merger Sub Inc. | 8.750% | 8/1/28 | 3,702 | 3,441 | |
7 | Carnival Corp. | 5.750% | 3/1/27 | 6,257 | 4,959 | |
7 | Carnival Corp. | 4.000% | 8/1/28 | 3,216 | 2,803 | |
7 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP | 5.500% | 5/1/25 | 4,941 | 4,977 | |
7 | Churchill Downs Inc. | 5.500% | 4/1/27 | 5,242 | 5,220 | |
7 | Churchill Downs Inc. | 4.750% | 1/15/28 | 6,159 | 5,842 | |
7 | Clarios Global LP | 6.750% | 5/15/25 | 585 | 587 | |
7 | Clarios Global LP / Clarios US Finance Co. | 8.500% | 5/15/27 | 5,830 | 5,881 | |
Dana Inc. | 4.500% | 2/15/32 | 3,058 | 2,553 | ||
eBay Inc. | 2.700% | 3/11/30 | 36,017 | 31,802 | ||
eBay Inc. | 2.600% | 5/10/31 | 20,000 | 17,227 | ||
Ford Motor Credit Co. LLC | 2.700% | 8/10/26 | 2,925 | 2,661 | ||
Ford Motor Credit Co. LLC | 4.950% | 5/28/27 | 6,205 | 6,096 | ||
Ford Motor Credit Co. LLC | 4.125% | 8/17/27 | 580 | 550 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 2,780 | 2,550 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/16/28 | 2,010 | 1,755 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/10/29 | 4,602 | 3,870 | ||
Ford Motor Credit Co. LLC | 4.000% | 11/13/30 | 1,627 | 1,441 | ||
Ford Motor Credit Co. LLC | 3.625% | 6/17/31 | 5,986 | 5,094 | ||
General Motors Co. | 4.200% | 10/1/27 | 25,424 | 24,846 | ||
General Motors Co. | 6.800% | 10/1/27 | 10,000 | 10,821 | ||
General Motors Co. | 5.000% | 10/1/28 | 27,660 | 27,557 | ||
General Motors Co. | 5.400% | 10/15/29 | 25,000 | 24,996 | ||
General Motors Co. | 5.599% | 10/15/32 | 20,000 | 19,983 | ||
General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 8,276 | 8,130 | ||
General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 19,368 | 19,044 | ||
General Motors Financial Co. Inc. | 5.000% | 4/9/27 | 13,985 | 14,034 | ||
General Motors Financial Co. Inc. | 3.850% | 1/5/28 | 464 | 435 | ||
General Motors Financial Co. Inc. | 2.400% | 4/10/28 | 30,168 | 26,109 | ||
General Motors Financial Co. Inc. | 2.400% | 10/15/28 | 21,000 | 17,980 | ||
General Motors Financial Co. Inc. | 3.600% | 6/21/30 | 15,000 | 13,345 | ||
General Motors Financial Co. Inc. | 3.100% | 1/12/32 | 22,500 | 18,823 | ||
Goodyear Tire & Rubber Co. | 5.000% | 7/15/29 | 1,443 | 1,315 | ||
7 | Harley-Davidson Financial Services Inc. | 3.050% | 2/14/27 | 42,910 | 39,217 | |
7 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 2,632 | 2,658 | |
Home Depot Inc. | 1.500% | 9/15/28 | 29,595 | 26,776 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 18,511 | 19,065 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 80,075 | 77,268 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 17,810 | 16,791 | ||
�� | Home Depot Inc. | 1.375% | 3/15/31 | 10,000 | 8,438 | |
Home Depot Inc. | 1.875% | 9/15/31 | 18,300 | 15,952 | ||
Home Depot Inc. | 3.250% | 4/15/32 | 31,475 | 30,687 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 2,500 | 2,161 | ||
Honda Motor Co. Ltd. | 2.967% | 3/10/32 | 21,035 | 19,705 | ||
Hyatt Hotels Corp. | 6.000% | 4/23/30 | 553 | 572 | ||
7 | International Game Technology plc | 4.125% | 4/15/26 | 900 | 859 | |
7 | International Game Technology plc | 6.250% | 1/15/27 | 385 | 390 | |
KB Home | 7.250% | 7/15/30 | 2,233 | 2,244 | ||
Lennar Corp. | 5.000% | 6/15/27 | 19,420 | 19,673 | ||
Lennar Corp. | 4.750% | 11/29/27 | 24,128 | 24,371 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Lithia Motors Inc. | 4.625% | 12/15/27 | 1,632 | 1,562 | |
7 | Lithia Motors Inc. | 3.875% | 6/1/29 | 7,084 | 6,346 | |
7 | Lithia Motors Inc. | 4.375% | 1/15/31 | 100 | 91 | |
7 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 545 | 537 | |
7 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 3,302 | 3,393 | |
7 | Live Nation Entertainment Inc. | 4.750% | 10/15/27 | 2,168 | 2,078 | |
7 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 473 | 433 | |
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 48,038 | 42,048 | ||
Lowe's Cos. Inc. | 1.700% | 9/15/28 | 19,610 | 17,401 | ||
Lowe's Cos. Inc. | 3.650% | 4/5/29 | 25,404 | 24,845 | ||
Lowe's Cos. Inc. | 1.700% | 10/15/30 | 25,190 | 21,110 | ||
Lowe's Cos. Inc. | 2.625% | 4/1/31 | 17,000 | 15,197 | ||
Lowe's Cos. Inc. | 3.750% | 4/1/32 | 36,090 | 35,027 | ||
9 | LVMH Moet Hennessy Louis Vuitton SE | 0.000% | 2/11/24 | 1,000 | 1,014 | |
Magna International Inc. | 2.450% | 6/15/30 | 35,820 | 31,679 | ||
Marriott International Inc. | 4.625% | 6/15/30 | 49,345 | 48,402 | ||
Marriott International Inc. | 2.850% | 4/15/31 | 35,554 | 30,478 | ||
7 | Mattel Inc. | 3.375% | 4/1/26 | 1,488 | 1,412 | |
7 | Mattel Inc. | 5.875% | 12/15/27 | 1,455 | 1,487 | |
McDonald's Corp. | 2.625% | 9/1/29 | 63,736 | 59,364 | ||
McDonald's Corp. | 2.125% | 3/1/30 | 15,311 | 13,644 | ||
McDonald's Corp. | 4.200% | 4/1/50 | 5,000 | 4,761 | ||
9 | Mercedes-Benz Group AG | 1.375% | 5/11/28 | 600 | 602 | |
7 | Meritage Homes Corp. | 3.875% | 4/15/29 | 8,270 | 7,404 | |
7 | MIWD Holdco II LLC / MIWD Finance Corp. | 5.500% | 2/1/30 | 1,113 | 939 | |
7 | NCL Corp Ltd. | 5.875% | 2/15/27 | 1,840 | 1,691 | |
7 | NCL Corp Ltd. | 7.750% | 2/15/29 | 1,040 | 833 | |
7 | Nissan Motor Acceptance Co. LLC | 2.450% | 9/15/28 | 15,835 | 13,018 | |
7 | Nissan Motor Co. Ltd. | 4.345% | 9/17/27 | 40,000 | 37,599 | |
9 | Nissan Motor Co. Ltd. | 3.201% | 9/17/28 | 300 | 286 | |
7 | Nissan Motor Co. Ltd. | 4.810% | 9/17/30 | 16,035 | 14,575 | |
O'Reilly Automotive Inc. | 3.900% | 6/1/29 | 18,000 | 17,641 | ||
O'Reilly Automotive Inc. | 1.750% | 3/15/31 | 7,250 | 5,981 | ||
7 | Penn National Gaming Inc. | 5.625% | 1/15/27 | 580 | 538 | |
7 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 325 | 332 | |
7 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 390 | 417 | |
Starbucks Corp. | 4.000% | 11/15/28 | 359 | 364 | ||
Starbucks Corp. | 3.550% | 8/15/29 | 10,131 | 9,897 | ||
Starbucks Corp. | 2.250% | 3/12/30 | 13,250 | 11,709 | ||
Starbucks Corp. | 2.550% | 11/15/30 | 24,866 | 22,214 | ||
7 | Stellantis Finance US Inc. | 2.691% | 9/15/31 | 20,000 | 16,372 | |
7 | Studio City Co. Ltd. | 7.000% | 2/15/27 | 1,403 | 1,172 | |
TJX Cos. Inc. | 3.875% | 4/15/30 | 29,686 | 29,928 | ||
Toll Brothers Finance Corp. | 4.350% | 2/15/28 | 31,758 | 30,283 | ||
Toll Brothers Finance Corp. | 3.800% | 11/1/29 | 22,966 | 20,748 | ||
9 | Toyota Finance Australia Ltd. | 2.280% | 10/21/27 | 400 | 417 | |
Toyota Motor Credit Corp. | 1.900% | 4/6/28 | 27,000 | 24,735 | ||
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 33,466 | 33,369 | ||
Toyota Motor Credit Corp. | 3.375% | 4/1/30 | 25,000 | 24,396 | ||
Toyota Motor Credit Corp. | 1.650% | 1/10/31 | 5,000 | 4,234 | ||
Toyota Motor Credit Corp. | 1.900% | 9/12/31 | 27,000 | 23,070 | ||
Toyota Motor Credit Corp. | 2.400% | 1/13/32 | 15,000 | ��� 13,334 | ||
9 | Toyota Motor Finance Netherlands BV | 3.070% | 10/27/25 | 400 | 389 | |
7 | Vail Resorts Inc. | 6.250% | 5/15/25 | 7,771 | 7,945 | |
9 | Volkswagen Financial Services AG | 0.875% | 1/31/28 | 300 | 281 | |
10 | Volkswagen Financial Services NV | 1.375% | 9/14/28 | 4,000 | 4,141 | |
7 | Volkswagen Group of America Finance LLC | 1.625% | 11/24/27 | 19,500 | 16,925 | |
7 | Volkswagen Group of America Finance LLC | 4.600% | 6/8/29 | 12,000 | 11,951 | |
9 | Volkswagen International Finance NV | 0.875% | 9/22/28 | 200 | 185 | |
9 | Volkswagen Leasing GmbH | 0.375% | 7/20/26 | 14,052 | 13,326 | |
Whirlpool Corp. | 4.750% | 2/26/29 | 32,000 | 32,731 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Whirlpool Corp. | 2.400% | 5/15/31 | 15,000 | 12,902 | ||
7 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 4,375 | 4,048 | |
7 | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. | 7.750% | 4/15/25 | 2,228 | 2,226 | |
1,726,392 | ||||||
Consumer Staples (5.6%) | ||||||
7 | Alimentation Couche-Tard Inc. | 3.550% | 7/26/27 | 36,164 | 34,285 | |
Altria Group Inc. | 4.800% | 2/14/29 | 54,130 | 54,019 | ||
Altria Group Inc. | 3.400% | 5/6/30 | 25,810 | 22,702 | ||
Altria Group Inc. | 2.450% | 2/4/32 | 25,000 | 19,588 | ||
10 | Anheuser-Busch InBev SA NV | 2.850% | 5/25/37 | 2,700 | 2,896 | |
9 | Anheuser-Busch InBev SA NV | 3.700% | 4/2/40 | 1,000 | 1,130 | |
Anheuser-Busch InBev Worldwide Inc. | 4.000% | 4/13/28 | 88,830 | 90,934 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 1/23/29 | 85,521 | 90,055 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.500% | 6/1/30 | 39,890 | 39,201 | ||
Archer-Daniels-Midland Co. | 2.900% | 3/1/32 | 20,000 | 18,921 | ||
BAT Capital Corp. | 4.700% | 4/2/27 | 82,008 | 81,130 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 56,337 | 52,595 | ||
BAT Capital Corp. | 2.259% | 3/25/28 | 28,184 | 24,191 | ||
BAT Capital Corp. | 3.462% | 9/6/29 | 40,690 | 35,326 | ||
BAT Capital Corp. | 4.906% | 4/2/30 | 5,000 | 4,760 | ||
BAT Capital Corp. | 2.726% | 3/25/31 | 550 | 448 | ||
BAT International Finance plc | 4.448% | 3/16/28 | 50,000 | 48,033 | ||
Campbell Soup Co. | 4.150% | 3/15/28 | 11,139 | 11,234 | ||
Campbell Soup Co. | 2.375% | 4/24/30 | 19,700 | 17,224 | ||
9 | CK Hutchison Europe Finance 18 Ltd. | 2.000% | 4/13/30 | 8,700 | 8,431 | |
Coca-Cola Co. | 1.650% | 6/1/30 | 10,000 | 8,823 | ||
Coca-Cola Co. | 2.000% | 3/5/31 | 30,000 | 26,985 | ||
Constellation Brands Inc. | 3.600% | 2/15/28 | 14,610 | 14,188 | ||
Constellation Brands Inc. | 4.650% | 11/15/28 | 37,806 | 38,361 | ||
Constellation Brands Inc. | 3.150% | 8/1/29 | 75,705 | 70,628 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 14,970 | 13,536 | ||
Constellation Brands Inc. | 2.250% | 8/1/31 | 10,709 | 9,098 | ||
Costco Wholesale Corp. | 1.600% | 4/20/30 | 56,935 | 49,963 | ||
Costco Wholesale Corp. | 1.750% | 4/20/32 | 8,789 | 7,603 | ||
Diageo Capital plc | 3.875% | 5/18/28 | 8,000 | 8,118 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 19,465 | 17,925 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 11,765 | 10,460 | ||
Dollar General Corp. | 4.125% | 5/1/28 | 4,650 | 4,701 | ||
Dollar General Corp. | 3.500% | 4/3/30 | 29,752 | 28,470 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 15,250 | 14,016 | ||
General Mills Inc. | 4.200% | 4/17/28 | 21,570 | 22,135 | ||
General Mills Inc. | 2.875% | 4/15/30 | 27,085 | 25,012 | ||
9 | GSK Consumer Healthcare Capital NL BV | 1.250% | 3/29/26 | 4,539 | 4,595 | |
7 | GSK Consumer Healthcare Capital US LLC | 3.375% | 3/24/29 | 65,000 | 62,821 | |
7 | GSK Consumer Healthcare Capital US LLC | 3.625% | 3/24/32 | 30,300 | 29,370 | |
Hershey Co. | 1.700% | 6/1/30 | 5,000 | 4,348 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 9,121 | 8,364 | ||
Hormel Foods Corp. | 1.800% | 6/11/30 | 16,695 | 14,672 | ||
JM Smucker Co. | 3.375% | 12/15/27 | 32,727 | 31,984 | ||
Kellogg Co. | 4.300% | 5/15/28 | 16,000 | 16,405 | ||
Kellogg Co. | 2.100% | 6/1/30 | 25,364 | 21,824 | ||
Kellogg Co. | 7.450% | 4/1/31 | 568 | 674 | ||
Keurig Dr Pepper Inc. | 3.950% | 4/15/29 | 30,000 | �� 29,881 | ||
Keurig Dr Pepper Inc. | 3.200% | 5/1/30 | 20,000 | 18,676 | ||
Keurig Dr Pepper Inc. | 2.250% | 3/15/31 | 3,000 | 2,589 | ||
Keurig Dr Pepper Inc. | 4.050% | 4/15/32 | 25,000 | 24,691 | ||
Keurig Dr Pepper Inc. | 4.500% | 4/15/52 | 2,500 | 2,337 | ||
Kimberly-Clark Corp. | 3.950% | 11/1/28 | 5,500 | 5,652 | ||
Kimberly-Clark Corp. | 3.100% | 3/26/30 | 10,000 | 9,711 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 30,643 | 30,457 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 10,379 | 10,001 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 2,248 | 2,102 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Kroger Co. | 2.200% | 5/1/30 | 30,618 | 26,866 | ||
Kroger Co. | 1.700% | 1/15/31 | 3,000 | 2,491 | ||
7 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 4,109 | 4,005 | |
7 | Lamb Weston Holdings Inc. | 4.125% | 1/31/30 | 123 | 115 | |
9 | Louis Dreyfus Co. Finance BV | 2.375% | 11/27/25 | 9,969 | 9,941 | |
McCormick & Co. Inc. | 2.500% | 4/15/30 | 1,200 | 1,061 | ||
Mondelez International Inc. | 2.750% | 4/13/30 | 29,469 | 26,924 | ||
Mondelez International Inc. | 1.500% | 2/4/31 | 18,643 | 15,297 | ||
7 | Nestle Holdings Inc. | 1.500% | 9/14/28 | 6,500 | 5,889 | |
7 | Nestle Holdings Inc. | 3.625% | 9/24/28 | 15,694 | 16,070 | |
10 | Pepsico Inc. | 3.550% | 7/22/34 | 2,600 | 3,273 | |
PepsiCo Inc. | 2.625% | 7/29/29 | 8,065 | 7,729 | ||
PepsiCo Inc. | 2.750% | 3/19/30 | 27,317 | 26,025 | ||
PepsiCo Inc. | 1.625% | 5/1/30 | 18,355 | 16,187 | ||
PepsiCo Inc. | 3.900% | 7/18/32 | 34,165 | 35,281 | ||
7 | Performance Food Group Inc. | 6.875% | 5/1/25 | 765 | 777 | |
7 | Performance Food Group Inc. | 5.500% | 10/15/27 | 2,701 | 2,671 | |
7 | Performance Food Group Inc. | 4.250% | 8/1/29 | 525 | 467 | |
Philip Morris International Inc. | 3.125% | 3/2/28 | 20,382 | 19,011 | ||
Philip Morris International Inc. | 3.375% | 8/15/29 | 11,460 | 10,536 | ||
Philip Morris International Inc. | 2.100% | 5/1/30 | 19,800 | 16,455 | ||
Philip Morris International Inc. | 1.750% | 11/1/30 | 15,000 | 11,946 | ||
9 | Philip Morris International Inc. | 2.000% | 5/9/36 | 2,000 | 1,521 | |
9 | Procter & Gamble Co. | 1.125% | 11/2/23 | 2,000 | 2,052 | |
Sysco Corp. | 2.400% | 2/15/30 | 13,391 | 11,915 | ||
Sysco Corp. | 5.950% | 4/1/30 | 39,069 | 42,901 | ||
Target Corp. | 2.350% | 2/15/30 | 18,090 | 16,603 | ||
Target Corp. | 2.650% | 9/15/30 | 6,067 | 5,665 | ||
Tyson Foods Inc. | 4.350% | 3/1/29 | 18,113 | 18,523 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 43,983 | 40,229 | ||
9 | Walmart Inc. | 4.875% | 9/21/29 | 500 | 615 | |
Walmart Inc. | 1.800% | 9/22/31 | 6,500 | 5,759 | ||
1,763,079 | ||||||
Energy (7.0%) | ||||||
7 | Antero Resources Corp. | 5.375% | 3/1/30 | 4,349 | 4,273 | |
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc. | 3.337% | 12/15/27 | 25,339 | 24,562 | ||
Boardwalk Pipelines LP | 3.600% | 9/1/32 | 5,000 | 4,404 | ||
7 | Bonanza Creek Energy Inc. | 5.000% | 10/15/26 | 1,569 | 1,476 | |
BP Capital Markets America Inc. | 3.937% | 9/21/28 | 8,690 | 8,794 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 26,842 | 27,576 | ||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 35,390 | 30,432 | ||
BP Capital Markets America Inc. | 2.721% | 1/12/32 | 63,000 | 57,470 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 5,000 | 3,773 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 3,000 | 2,389 | ||
9 | BP Capital Markets BV | 0.933% | 12/4/40 | 2,300 | 1,617 | |
9 | BP Capital Markets plc | 2.972% | 2/27/26 | 600 | 638 | |
BP Capital Markets plc | 3.279% | 9/19/27 | 11,456 | 11,307 | ||
BP Capital Markets plc | 3.723% | 11/28/28 | 18,250 | 18,287 | ||
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 20,000 | 19,569 | ||
Canadian Natural Resources Ltd. | 2.950% | 7/15/30 | 36,700 | 33,152 | ||
Cenovus Energy Inc. | 4.400% | 4/15/29 | 13,482 | 13,379 | ||
Cenovus Energy Inc. | 2.650% | 1/15/32 | 17,000 | 14,661 | ||
Cheniere Corpus Christi Holdings LLC | 3.700% | 11/15/29 | 47,304 | 44,354 | ||
Cheniere Energy Inc. | 4.625% | 10/15/28 | 2,645 | 2,579 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 3,235 | 2,997 | ||
Cheniere Energy Partners LP | 3.250% | 1/31/32 | 1,563 | 1,362 | ||
Chevron Corp. | 2.236% | 5/11/30 | 16,050 | 14,629 | ||
Chevron USA Inc. | 3.850% | 1/15/28 | 25,037 | 25,616 | ||
Chevron USA Inc. | 3.250% | 10/15/29 | 24,000 | 23,431 | ||
Chevron USA Inc. | 2.343% | 8/12/50 | 1,000 | 731 | ||
7 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 1,001 | |
7 | Colgate Energy Partners III LLC | 7.750% | 2/15/26 | 1,445 | 1,417 | |
7 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 3,851 | 3,520 | |
ConocoPhillips Co. | 6.950% | 4/15/29 | 26,876 | 31,618 | ||
ConocoPhillips Co. | 3.800% | 3/15/52 | 3,000 | 2,708 | ||
Continental Resources Inc. | 4.375% | 1/15/28 | 17,400 | 16,762 | ||
7 | Coterra Energy Inc. | 4.375% | 3/15/29 | 30,923 | 30,917 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | CrownRock LP / CrownRock Finance Inc. | 5.625% | 10/15/25 | 1,365 | 1,362 | |
7 | CrownRock LP / CrownRock Finance Inc. | 5.000% | 5/1/29 | 1,220 | 1,134 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 988 | 1,017 | ||
DCP Midstream Operating LP | 5.125% | 5/15/29 | 2,702 | 2,674 | ||
Devon Energy Corp. | 5.250% | 10/15/27 | 3,389 | 3,404 | ||
Devon Energy Corp. | 5.875% | 6/15/28 | 1,141 | 1,174 | ||
Devon Energy Corp. | 4.500% | 1/15/30 | 28,745 | 28,172 | ||
Diamondback Energy Inc. | 3.500% | 12/1/29 | 16,529 | 15,588 | ||
Diamondback Energy Inc. | 3.125% | 3/24/31 | 30,000 | 27,172 | ||
7 | DT Midstream Inc. | 4.125% | 6/15/29 | 3,254 | 2,998 | |
7 | DT Midstream Inc. | 4.375% | 6/15/31 | 2,395 | 2,164 | |
Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 13,883 | 13,890 | ||
Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 19,530 | 18,223 | ||
Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 36,480 | 34,565 | ||
Enable Midstream Partners LP | 4.950% | 5/15/28 | 51,246 | 51,288 | ||
Enable Midstream Partners LP | 4.150% | 9/15/29 | 37,887 | 35,846 | ||
Enbridge Inc. | 3.125% | 11/15/29 | 15,998 | 14,956 | ||
7 | Endeavor Energy Resources LP / EER Finance Inc. | 5.750% | 1/30/28 | 2,670 | 2,696 | |
Energy Transfer LP | 5.250% | 4/15/29 | 29,465 | 30,021 | ||
Energy Transfer LP | 3.750% | 5/15/30 | 27,797 | 25,836 | ||
7 | EnLink Midstream LLC | 5.625% | 1/15/28 | 915 | 890 | |
EnLink Midstream LLC | 5.375% | 6/1/29 | 2,020 | 1,917 | ||
Enterprise Products Operating LLC | 4.150% | 10/16/28 | 24,500 | 24,670 | ||
Enterprise Products Operating LLC | 3.125% | 7/31/29 | 15,250 | 14,250 | ||
Enterprise Products Operating LLC | 2.800% | 1/31/30 | 17,897 | 16,300 | ||
Enterprise Products Operating LLC | 5.250% | 8/16/77 | 10,000 | 8,599 | ||
7 | EQM Midstream Partners LP | 7.500% | 6/1/27 | 1,065 | 1,089 | |
7 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 2,604 | 2,603 | |
EQM Midstream Partners LP | 5.500% | 7/15/28 | 2,078 | 1,972 | ||
7 | EQM Midstream Partners LP | 7.500% | 6/1/30 | 1,033 | 1,064 | |
EQT Corp. | 3.900% | 10/1/27 | 30,000 | 29,194 | ||
EQT Corp. | 5.000% | 1/15/29 | 6,550 | 6,518 | ||
EQT Corp. | 7.000% | 2/1/30 | 5,000 | 5,477 | ||
7 | EQT Corp. | 3.625% | 5/15/31 | 11,658 | 10,670 | |
Equinor ASA | 3.950% | 5/15/43 | 3,191 | 3,000 | ||
Exxon Mobil Corp. | 3.482% | 3/19/30 | 65,105 | 64,651 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 52,186 | 48,684 | ||
Exxon Mobil Corp. | 3.095% | 8/16/49 | 1,052 | 861 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 5,000 | 4,348 | ||
Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 1,441 | 1,265 | ||
Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 8,320 | 3,501 | ||
Helmerich & Payne Inc. | 2.900% | 9/29/31 | 16,930 | 14,916 | ||
7 | Hess Midstream Operations LP | 5.500% | 10/15/30 | 768 | 717 | |
7 | Hilcorp Energy I LP / Hilcorp Finance Co. | 5.750% | 2/1/29 | 695 | 632 | |
7 | Hilcorp Energy I LP / Hilcorp Finance Co. | 6.000% | 2/1/31 | 827 | 757 | |
KazMunayGas National Co. JSC | 4.750% | 4/19/27 | 5,000 | 4,554 | ||
7 | KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 5,400 | 4,493 | |
KazTransGas JSC | 4.375% | 9/26/27 | 2,627 | 2,322 | ||
Kinder Morgan Inc. | 4.300% | 3/1/28 | 31,386 | 31,530 | ||
Kinder Morgan Inc. | 2.000% | 2/15/31 | 5,000 | 4,142 | ||
Kinder Morgan Inc. | 7.750% | 1/15/32 | 990 | 1,204 | ||
Magellan Midstream Partners LP | 3.250% | 6/1/30 | 3,607 | 3,294 | ||
Marathon Oil Corp. | 4.400% | 7/15/27 | 10,000 | 9,964 | ||
Marathon Petroleum Corp. | 3.800% | 4/1/28 | 13,175 | 12,734 | ||
7 | MEG Energy Corp. | 5.875% | 2/1/29 | 400 | 385 | |
MPLX LP | 4.250% | 12/1/27 | 6,700 | 6,638 | ||
MPLX LP | 4.000% | 3/15/28 | 8,650 | 8,467 | ||
MPLX LP | 2.650% | 8/15/30 | 43,530 | 37,787 | ||
Nustar Logistics LP | 5.750% | 10/1/25 | 635 | 617 | ||
Nustar Logistics LP | 6.375% | 10/1/30 | 2,525 | 2,353 | ||
Occidental Petroleum Corp. | 5.500% | 12/1/25 | 600 | 614 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Occidental Petroleum Corp. | 5.550% | 3/15/26 | 2,559 | 2,628 | ||
Occidental Petroleum Corp. | 6.375% | 9/1/28 | 9,328 | 10,054 | ||
Occidental Petroleum Corp. | 6.125% | 1/1/31 | 1,574 | 1,686 | ||
Occidental Petroleum Corp. | 7.500% | 5/1/31 | 4,092 | 4,756 | ||
ONEOK Inc. | 4.550% | 7/15/28 | 35,210 | 34,788 | ||
ONEOK Inc. | 4.350% | 3/15/29 | 4,183 | 4,046 | ||
ONEOK Inc. | 3.400% | 9/1/29 | 29,767 | 27,092 | ||
ONEOK Inc. | 3.100% | 3/15/30 | 6,129 | 5,436 | ||
ONEOK Inc. | 6.350% | 1/15/31 | 5,438 | 5,833 | ||
Ovintiv Inc. | 7.375% | 11/1/31 | 12,232 | 13,750 | ||
7 | Parkland Corp. | 4.500% | 10/1/29 | 2,435 | 2,137 | |
Petroleos del Peru SA | 5.625% | 6/19/47 | 25,083 | 17,652 | ||
Petroleos Mexicanos | 6.875% | 10/16/25 | 12,289 | 12,062 | ||
Petroleos Mexicanos | 6.490% | 1/23/27 | 13,143 | 11,934 | ||
Petroleos Mexicanos | 6.500% | 3/13/27 | 6,070 | 5,515 | ||
Petroleos Mexicanos | 6.500% | 6/2/41 | 851 | 580 | ||
Petroleos Mexicanos | 6.375% | 1/23/45 | 1,748 | 1,171 | ||
Petroleos Mexicanos | 6.750% | 9/21/47 | 7,378 | 5,003 | ||
Petroleos Mexicanos | 6.350% | 2/12/48 | 2,048 | 1,346 | ||
7 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 2,132 | 2,078 | |
Petronas Capital Ltd. | 3.500% | 4/21/30 | 40,300 | 39,238 | ||
Petronas Energy Canada Ltd. | 2.112% | 3/23/28 | 950 | 875 | ||
Phillips 66 | 3.900% | 3/15/28 | 7,057 | 6,986 | ||
Phillips 66 | 2.150% | 12/15/30 | 23,800 | 20,363 | ||
7 | Phillips 66 Co. | 3.750% | 3/1/28 | 35,984 | 34,765 | |
7 | Phillips 66 Co. | 3.150% | 12/15/29 | 21,299 | 19,639 | |
Pioneer Natural Resources Co. | 1.900% | 8/15/30 | 44,700 | 37,740 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.550% | 12/15/29 | 26,733 | 24,166 | ||
Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 76,277 | 74,794 | ||
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 59,588 | 59,086 | ||
Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 10,000 | 9,798 | ||
Schlumberger Investment SA | 2.650% | 6/26/30 | 12,000 | 10,920 | ||
Shell International Finance BV | 3.875% | 11/13/28 | 10,000 | 10,167 | ||
Shell International Finance BV | 2.375% | 11/7/29 | 74,653 | 68,308 | ||
Shell International Finance BV | 2.750% | 4/6/30 | 40,000 | 37,543 | ||
Shell International Finance BV | 3.250% | 4/6/50 | 3,000 | 2,514 | ||
Sinopec Capital 2013 Ltd. | 3.125% | 4/24/23 | 13,170 | 13,176 | ||
Solar Applied Materials Technology Corp. | 4.000% | 10/1/27 | 13,741 | 13,322 | ||
11 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 10,873 | 11,398 | |
7 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 2,737 | 2,586 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.500% | 7/15/27 | 2,440 | 2,511 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 5.000% | 1/15/28 | 14,663 | 14,459 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.875% | 1/15/29 | 4,097 | 4,234 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 4.875% | 2/1/31 | 34,595 | 32,713 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 4.000% | 1/15/32 | 16,002 | 14,295 | ||
TotalEnergies Capital International SA | 3.455% | 2/19/29 | 39,067 | 38,550 | ||
TotalEnergies Capital International SA | 2.829% | 1/10/30 | 3,785 | 3,563 | ||
TotalEnergies Capital SA | 3.883% | 10/11/28 | 18,600 | 18,834 | ||
TransCanada PipeLines Ltd. | 4.250% | 5/15/28 | 23,000 | 23,110 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 20,000 | 19,672 | ||
TransCanada PipeLines Ltd. | 2.500% | 10/12/31 | 17,000 | 14,656 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.000% | 3/15/28 | 1,286 | 1,272 | ||
Transcontinental Gas Pipe Line Co. LLC | 3.250% | 5/15/30 | 14,065 | 12,998 | ||
Valero Energy Corp. | 2.150% | 9/15/27 | 14,628 | 13,276 | ||
Valero Energy Corp. | 4.350% | 6/1/28 | 11,392 | 11,439 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Valero Energy Corp. | 4.000% | 4/1/29 | 1,736 | 1,693 | ||
Valero Energy Corp. | 2.800% | 12/1/31 | 12,000 | 10,488 | ||
7 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 3,135 | 2,903 | |
Western Midstream Operating LP | 4.500% | 3/1/28 | 7,771 | 7,566 | ||
Western Midstream Operating LP | 4.750% | 8/15/28 | 16,350 | 16,007 | ||
Western Midstream Operating LP | 4.300% | 2/1/30 | 4,424 | 4,113 | ||
Williams Cos. Inc. | 3.750% | 6/15/27 | 14,000 | 13,750 | ||
Williams Cos. Inc. | 3.500% | 11/15/30 | 17,000 | 15,838 | ||
Williams Cos. Inc. | 2.600% | 3/15/31 | 42,000 | 36,467 | ||
2,196,562 | ||||||
Financials (23.7%) | ||||||
7 | ABN AMRO Bank NV | 2.470% | 12/13/29 | 25,000 | 21,709 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 2.450% | 10/29/26 | 32,020 | 28,572 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.650% | 7/21/27 | 18,495 | 17,068 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.625% | 10/15/27 | 29,509 | 28,408 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.875% | 1/23/28 | 3,856 | 3,555 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.000% | 10/29/28 | 72,700 | 63,558 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/30/32 | 63,850 | 53,549 | ||
Affiliated Managers Group Inc. | 3.300% | 6/15/30 | 25,223 | 23,203 | ||
Aflac Inc. | 3.600% | 4/1/30 | 10,000 | 9,810 | ||
Air Lease Corp. | 3.625% | 12/1/27 | 2,903 | 2,673 | ||
Air Lease Corp. | 4.625% | 10/1/28 | 3,955 | 3,785 | ||
Air Lease Corp. | 3.250% | 10/1/29 | 2,000 | 1,740 | ||
Air Lease Corp. | 3.000% | 2/1/30 | 24,670 | 20,786 | ||
Air Lease Corp. | 3.125% | 12/1/30 | 5,298 | 4,496 | ||
Air Lease Corp. | 2.875% | 1/15/32 | 1,773 | 1,459 | ||
Aircastle Ltd. | 4.250% | 6/15/26 | 3,000 | 2,812 | ||
7 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 6.750% | 10/15/27 | 2,028 | 1,924 | |
Allstate Corp. | 1.450% | 12/15/30 | 20,000 | 16,494 | ||
Ally Financial Inc. | 2.200% | 11/2/28 | 24,000 | 20,449 | ||
Ally Financial Inc. | 8.000% | 11/1/31 | 35,000 | 39,599 | ||
American Express Co. | 4.050% | 5/3/29 | 20,200 | 20,344 | ||
American Express Co. | 4.989% | 5/26/33 | 10,000 | 10,284 | ||
American Express Co. | 4.420% | 8/3/33 | 18,720 | 19,046 | ||
American International Group Inc. | 5.750% | 4/1/48 | 10,000 | 9,212 | ||
7 | Antares Holdings LP | 2.750% | 1/15/27 | 11,200 | 9,291 | |
Aon Corp. | 3.750% | 5/2/29 | 3,000 | 2,922 | ||
Aon Corp. | 2.800% | 5/15/30 | 32,426 | 29,358 | ||
Aon Corp. / Aon Global Holdings plc | 2.850% | 5/28/27 | 6,400 | 6,132 | ||
Aon Corp. / Aon Global Holdings plc | 2.600% | 12/2/31 | 7,000 | 6,112 | ||
Ares Capital Corp. | 2.875% | 6/15/28 | 10,300 | 8,525 | ||
9 | Assicurazioni Generali SpA | 5.000% | 6/8/48 | 200 | 209 | |
9 | Athene Global Funding | 1.125% | 9/2/25 | 20,257 | 19,901 | |
7 | Athene Global Funding | 2.450% | 8/20/27 | 10,000 | 8,844 | |
Athene Holding Ltd. | 4.125% | 1/12/28 | 12,744 | 12,299 | ||
Athene Holding Ltd. | 3.500% | 1/15/31 | 16,561 | 14,499 | ||
7 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 5,750 | 5,002 | |
7 | Avolon Holdings Funding Ltd. | 2.750% | 2/21/28 | 10,000 | 8,241 | |
9 | AXA SA | 3.875% | 5/20/49 | 3,237 | 3,331 | |
9 | Banco Bilbao Vizcaya Argentaria SA | 1.125% | 2/28/24 | 2,000 | 2,038 | |
Banco Santander SA | 3.800% | 2/23/28 | 30,200 | 28,540 | ||
Banco Santander SA | 4.379% | 4/12/28 | 4,415 | 4,329 | ||
Banco Santander SA | 3.306% | 6/27/29 | 9,500 | 8,816 | ||
Banco Santander SA | 3.490% | 5/28/30 | 9,850 | 8,879 | ||
Banco Santander SA | 2.749% | 12/3/30 | 27,470 | 21,927 | ||
Banco Santander SA | 2.958% | 3/25/31 | 10,000 | 8,489 | ||
Bank of America Corp. | 4.183% | 11/25/27 | 26,852 | 26,788 | ||
Bank of America Corp. | 2.551% | 2/4/28 | 28,500 | 26,487 | ||
Bank of America Corp. | 3.705% | 4/24/28 | 29,256 | �� 28,515 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Bank of America Corp. | 3.593% | 7/21/28 | 12,862 | 12,444 | ||
Bank of America Corp. | 3.419% | 12/20/28 | 87,280 | 83,497 | ||
Bank of America Corp. | 3.970% | 3/5/29 | 40,165 | 39,308 | ||
Bank of America Corp. | 2.087% | 6/14/29 | 41,700 | 36,832 | ||
Bank of America Corp. | 4.271% | 7/23/29 | 22,622 | 22,429 | ||
Bank of America Corp. | 3.974% | 2/7/30 | 42,723 | 41,377 | ||
Bank of America Corp. | 3.194% | 7/23/30 | 34,921 | 32,187 | ||
Bank of America Corp. | 2.884% | 10/22/30 | 32,946 | 29,826 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 47,013 | 41,110 | ||
Bank of America Corp. | 2.592% | 4/29/31 | 25,990 | 22,754 | ||
Bank of America Corp. | 1.898% | 7/23/31 | 65,770 | 54,393 | ||
Bank of America Corp. | 1.922% | 10/24/31 | 59,206 | 48,783 | ||
9 | Bank of America Corp. | 0.654% | 10/26/31 | 7,400 | 6,422 | |
Bank of America Corp. | 2.651% | 3/11/32 | 43,430 | 37,732 | ||
Bank of America Corp. | 2.687% | 4/22/32 | 63,107 | 54,875 | ||
Bank of America Corp. | 2.299% | 7/21/32 | 53,325 | 44,739 | ||
Bank of America Corp. | 2.572% | 10/20/32 | 25,000 | 21,412 | ||
Bank of America Corp. | 2.972% | 2/4/33 | 50,000 | 44,175 | ||
Bank of America Corp. | 4.571% | 4/27/33 | 43,700 | 43,965 | ||
Bank of America Corp. | 5.015% | 7/22/33 | 59,250 | 61,747 | ||
Bank of America Corp. | 2.482% | 9/21/36 | 25,000 | 20,225 | ||
Bank of America Corp. | 3.846% | 3/8/37 | 35,000 | 31,463 | ||
Bank of Montreal | 3.803% | 12/15/32 | 2,000 | 1,876 | ||
Bank of Montreal | 3.088% | 1/10/37 | 10,000 | 8,359 | ||
Bank of New York Mellon Corp. | 3.400% | 1/29/28 | 11,250 | 11,049 | ||
Bank of New York Mellon Corp. | 3.000% | 10/30/28 | 7,000 | 6,603 | ||
Bank of New York Mellon Corp. | 4.596% | 7/26/30 | 16,635 | 17,129 | ||
Bank of New York Mellon Corp. | 4.289% | 6/13/33 | 5,000 | 5,101 | ||
Bank of Nova Scotia | 2.150% | 8/1/31 | 20,000 | 16,946 | ||
Bank of Nova Scotia | 2.450% | 2/2/32 | 35,000 | 30,079 | ||
Bank of Nova Scotia | 4.588% | 5/4/37 | 10,000 | 9,332 | ||
10 | Barclays plc | 3.000% | 5/8/26 | 300 | 351 | |
Barclays plc | 4.337% | 1/10/28 | 19,500 | 18,960 | ||
Barclays plc | 4.836% | 5/9/28 | 35,836 | 34,824 | ||
Barclays plc | 4.972% | 5/16/29 | 20,952 | 20,768 | ||
Barclays plc | 5.088% | 6/20/30 | 4,000 | 3,800 | ||
Barclays plc | 2.645% | 6/24/31 | 23,035 | 19,070 | ||
Barclays plc | 2.667% | 3/10/32 | 10,000 | 8,198 | ||
Barclays plc | 2.894% | 11/24/32 | 20,000 | 16,413 | ||
Barclays plc | 3.564% | 9/23/35 | 13,075 | 10,887 | ||
7 | Belrose Funding Trust | 2.330% | 8/15/30 | 6,880 | 5,691 | |
Berkshire Hathaway Finance Corp. | 2.875% | 3/15/32 | 11,795 | 11,141 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 5,801 | 4,154 | ||
BlackRock Inc. | 2.400% | 4/30/30 | 13,141 | 11,960 | ||
7 | Blackstone Mortgage Trust Inc. | 3.750% | 1/15/27 | 2,070 | 1,839 | |
8,12 | BPCE SA, 3M Australian Bank Bill Rate + 0.780% | 2.997% | 4/20/26 | 40,510 | 27,736 | |
8,12 | BPCE SA, 3M Australian Bank Bill Rate + 1.600% | 2.842% | 6/5/25 | 12,500 | 8,808 | |
Brighthouse Financial Inc. | 5.625% | 5/15/30 | 1,550 | 1,571 | ||
Brookfield Finance Inc. | 3.900% | 1/25/28 | 8,955 | 8,742 | ||
Brookfield Finance Inc. | 4.850% | 3/29/29 | 9,444 | 9,584 | ||
Brown & Brown Inc. | 4.500% | 3/15/29 | 2,182 | 2,169 | ||
Brown & Brown Inc. | 2.375% | 3/15/31 | 26,000 | 21,394 | ||
9 | CaixaBank SA | 0.750% | 7/10/26 | 1,000 | 977 | |
Canadian Imperial Bank of Commerce | 3.600% | 4/7/32 | 6,000 | 5,671 | ||
Capital One Financial Corp. | 3.800% | 1/31/28 | 27,300 | 26,512 | ||
Capital One Financial Corp. | 3.273% | 3/1/30 | 41,980 | 38,226 | ||
Capital One Financial Corp. | 2.359% | 7/29/32 | 28,000 | 22,151 | ||
Capital One Financial Corp. | 2.618% | 11/2/32 | 20,000 | 16,498 | ||
Capital One Financial Corp. | 5.268% | 5/10/33 | 21,500 | 21,917 | ||
Cboe Global Markets Inc. | 1.625% | 12/15/30 | 12,719 | 10,659 | ||
Cboe Global Markets Inc. | 3.000% | 3/16/32 | 10,500 | 9,721 | ||
Charles Schwab Corp. | 3.200% | 1/25/28 | 24,693 | 24,238 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 20,000 | 18,489 | ||
Charles Schwab Corp. | 4.000% | 2/1/29 | 17,652 | 17,898 | ||
Charles Schwab Corp. | 3.250% | 5/22/29 | 4,000 | 3,866 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Charles Schwab Corp. | 4.625% | 3/22/30 | 1,705 | 1,782 | ||
Charles Schwab Corp. | 1.650% | 3/11/31 | 10,000 | 8,401 | ||
Charles Schwab Corp. | 2.900% | 3/3/32 | 10,500 | 9,699 | ||
Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 32,120 | 26,710 | ||
9 | Cia de Seguros Fidelidade SA | 4.250% | 9/4/31 | 2,200 | 2,056 | |
9 | Citigroup Inc. | 0.750% | 10/26/23 | 1,400 | 1,420 | |
Citigroup Inc. | 4.450% | 9/29/27 | 34,218 | 34,334 | ||
Citigroup Inc. | 3.668% | 7/24/28 | 44,260 | 42,766 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 39,250 | 39,028 | ||
Citigroup Inc. | 3.520% | 10/27/28 | 40,466 | 38,742 | ||
Citigroup Inc. | 4.075% | 4/23/29 | 19,086 | 18,629 | ||
Citigroup Inc. | 3.980% | 3/20/30 | 34,793 | 33,683 | ||
Citigroup Inc. | 2.976% | 11/5/30 | 40,076 | 36,185 | ||
Citigroup Inc. | 2.666% | 1/29/31 | 42,659 | 37,703 | ||
Citigroup Inc. | 4.412% | 3/31/31 | 39,752 | 39,356 | ||
Citigroup Inc. | 2.572% | 6/3/31 | 33,377 | 29,058 | ||
Citigroup Inc. | 2.561% | 5/1/32 | 24,563 | 21,100 | ||
Citigroup Inc. | 6.625% | 6/15/32 | 260 | 293 | ||
Citigroup Inc. | 2.520% | 11/3/32 | 38,000 | 32,299 | ||
Citigroup Inc. | 3.057% | 1/25/33 | 24,000 | 21,288 | ||
Citigroup Inc. | 3.785% | 3/17/33 | 9,705 | 9,132 | ||
Citigroup Inc. | 4.910% | 5/24/33 | 33,910 | 34,931 | ||
Citigroup Inc. | 4.650% | 7/23/48 | 5,000 | 4,939 | ||
Citizens Financial Group Inc. | 2.500% | 2/6/30 | 5,948 | 5,157 | ||
Citizens Financial Group Inc. | 3.250% | 4/30/30 | 11,061 | 10,174 | ||
CME Group Inc. | 2.650% | 3/15/32 | 15,385 | 14,154 | ||
CNA Financial Corp. | 2.050% | 8/15/30 | 12,000 | 9,969 | ||
CNO Financial Group Inc. | 5.250% | 5/30/29 | 16,377 | 16,136 | ||
7 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 12,000 | 9,963 | |
8,12 | Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.320% | 2.365% | 8/20/31 | 27,100 | 18,134 | |
8,12 | Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.800% | 3.306% | 9/10/30 | 51,700 | 35,521 | |
7 | Corebridge Financial Inc. | 3.650% | 4/5/27 | 10,000 | 9,628 | |
7 | Corebridge Financial Inc. | 3.850% | 4/5/29 | 45,120 | 42,803 | |
7 | Corebridge Financial Inc. | 3.900% | 4/5/32 | 35,070 | 32,635 | |
9 | Credit Agricole Assurances SA | 4.750% | 9/27/48 | 200 | 211 | |
9 | Credit Suisse AG | 0.250% | 1/5/26 | 600 | 564 | |
9 | Credit Suisse Group AG | 2.125% | 10/13/26 | 5,312 | 5,170 | |
7 | Credit Suisse Group AG | 4.194% | 4/1/31 | 250 | 223 | |
7 | Credit Suisse Group AG | 3.091% | 5/14/32 | 15,600 | 12,539 | |
9 | Deutsche Bank AG, | 1.875% | 2/23/28 | 400 | 379 | |
Deutsche Bank AG | 3.729% | 1/14/32 | 5,000 | 3,892 | ||
Deutsche Bank AG | 3.035% | 5/28/32 | 30,350 | 24,878 | ||
7,13 | Dexia Credit Local SA | 2.375% | 9/20/22 | 1,750 | 1,750 | |
Discover Bank | 4.650% | 9/13/28 | 31,600 | 30,844 | ||
Discover Bank | 2.700% | 2/6/30 | 23,788 | 20,375 | ||
Enstar Group Ltd. | 4.950% | 6/1/29 | 20,380 | 19,579 | ||
Enstar Group Ltd. | 3.100% | 9/1/31 | 12,000 | 9,646 | ||
Equitable Holdings Inc. | 4.350% | 4/20/28 | 27,444 | 27,735 | ||
Fairfax Financial Holdings Ltd. | 4.850% | 4/17/28 | 565 | 565 | ||
Fairfax Financial Holdings Ltd. | 4.625% | 4/29/30 | 25,330 | 24,825 | ||
Fairfax Financial Holdings Ltd. | 3.375% | 3/3/31 | 15,500 | 13,801 | ||
Fidelity National Financial Inc. | 3.400% | 6/15/30 | 31,371 | 28,187 | ||
Fidelity National Financial Inc. | 2.450% | 3/15/31 | 5,374 | 4,400 | ||
Fifth Third Bancorp | 4.337% | 4/25/33 | 6,313 | 6,225 | ||
7 | Five Corners Funding Trust II | 2.850% | 5/15/30 | 15,000 | 13,414 | |
Franklin Resources Inc. | 1.600% | 10/30/30 | 15,000 | 12,338 | ||
GATX Corp. | 4.000% | 6/30/30 | 4,093 | 3,902 | ||
GATX Corp. | 1.900% | 6/1/31 | 25,000 | 19,972 | ||
GATX Corp. | 3.500% | 6/1/32 | 15,985 | 14,401 | ||
7 | Global Atlantic Fin Co. | 3.125% | 6/15/31 | 25,000 | 20,286 | |
10 | Goldman Sachs Group Inc. | 1.000% | 12/16/25 | 19,400 | 22,135 | |
Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 46,207 | 44,921 | ||
Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 44,483 | 43,088 | ||
Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 50,389 | 49,801 | ||
Goldman Sachs Group Inc. | 2.600% | 2/7/30 | 32,416 | 28,683 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 2,000 | 1,928 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 31,460 | 25,920 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 41,000 | 35,377 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 84,346 | 71,106 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 55,650 | 48,099 | ||
Goldman Sachs Group Inc. | 3.102% | 2/24/33 | 42,600 | 38,007 | ||
9 | Goldman Sachs Group Inc. | 1.000% | 3/18/33 | 5,600 | 4,634 | |
8,12 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550% | 3.700% | 5/2/24 | 20,700 | 14,546 | |
Hanover Insurance Group Inc. | 2.500% | 9/1/30 | 5,000 | 4,178 | ||
Hartford Financial Services Group Inc. | 2.800% | 8/19/29 | 3,926 | 3,581 | ||
HSBC Holdings plc | 2.013% | 9/22/28 | 42,450 | 36,898 | ||
HSBC Holdings plc | 4.583% | 6/19/29 | 41,640 | 40,655 | ||
HSBC Holdings plc | 2.206% | 8/17/29 | 15,000 | 12,789 | ||
9 | HSBC Holdings plc | 0.641% | 9/24/29 | 4,200 | 3,763 | |
HSBC Holdings plc | 4.950% | 3/31/30 | 17,320 | 17,539 | ||
HSBC Holdings plc | 3.973% | 5/22/30 | 29,752 | 27,914 | ||
HSBC Holdings plc | 2.848% | 6/4/31 | 36,495 | 31,399 | ||
HSBC Holdings plc | 2.357% | 8/18/31 | 23,560 | 19,461 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 36,500 | 30,638 | ||
HSBC Holdings plc | 2.871% | 11/22/32 | 16,000 | 13,396 | ||
HSBC Holdings plc | 4.762% | 3/29/33 | 15,000 | 14,217 | ||
Huntington Bancshares Inc. | 2.550% | 2/4/30 | 10,000 | 8,764 | ||
Huntington Bancshares Inc. | 5.023% | 5/17/33 | 5,500 | 5,629 | ||
ING Groep NV | 4.550% | 10/2/28 | 9,000 | 8,993 | ||
ING Groep NV | 4.050% | 4/9/29 | 13,264 | 12,772 | ||
ING Groep NV | 4.252% | 3/28/33 | 10,000 | 9,544 | ||
Intercontinental Exchange Inc. | 3.750% | 9/21/28 | 6,090 | 6,059 | ||
Intercontinental Exchange Inc. | 4.350% | 6/15/29 | 25,100 | 25,588 | ||
Intercontinental Exchange Inc. | 2.100% | 6/15/30 | 19,270 | 16,823 | ||
Intercontinental Exchange Inc. | 4.600% | 3/15/33 | 17,500 | 18,106 | ||
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 1,064 | 1,098 | ||
7 | Intesa Sanpaolo SpA | 4.198% | 6/1/32 | 10,000 | 7,649 | |
9 | JAB Holdings BV | 2.250% | 12/19/39 | 1,000 | 747 | |
Jefferies Group LLC / Jefferies Group Capital Finance Inc. | 4.150% | 1/23/30 | 5,000 | 4,687 | ||
Jefferies Group LLC / Jefferies Group Capital Finance Inc. | 2.625% | 10/15/31 | 5,000 | 4,033 | ||
JPMorgan Chase & Co. | 3.625% | 12/1/27 | 18,750 | 18,460 | ||
JPMorgan Chase & Co. | 4.323% | 4/26/28 | 35,000 | 35,104 | ||
JPMorgan Chase & Co. | 3.540% | 5/1/28 | 37,277 | 36,120 | ||
JPMorgan Chase & Co. | 2.182% | 6/1/28 | 36,575 | 33,331 | ||
JPMorgan Chase & Co. | 4.851% | 7/25/28 | 20,000 | 20,523 | ||
JPMorgan Chase & Co. | 3.509% | 1/23/29 | 42,057 | 40,247 | ||
JPMorgan Chase & Co. | 4.005% | 4/23/29 | 46,001 | 45,028 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 37,500 | 33,106 | ||
JPMorgan Chase & Co. | 4.203% | 7/23/29 | 31,355 | 31,027 | ||
JPMorgan Chase & Co. | 4.452% | 12/5/29 | 22,800 | 22,800 | ||
JPMorgan Chase & Co. | 3.702% | 5/6/30 | 43,522 | 41,614 | ||
JPMorgan Chase & Co. | 4.565% | 6/14/30 | 40,000 | 40,290 | ||
JPMorgan Chase & Co. | 2.739% | 10/15/30 | 81,229 | 72,786 | ||
JPMorgan Chase & Co. | 4.493% | 3/24/31 | 15,100 | 15,212 | ||
JPMorgan Chase & Co. | 2.522% | 4/22/31 | 22,000 | 19,285 | ||
JPMorgan Chase & Co. | 2.956% | 5/13/31 | 36,400 | 32,520 | ||
JPMorgan Chase & Co. | 1.764% | 11/19/31 | 35,000 | 28,628 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 65,000 | 54,065 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 33,950 | 29,468 | ||
JPMorgan Chase & Co. | 2.545% | 11/8/32 | 30,000 | 25,774 | ||
JPMorgan Chase & Co. | 2.963% | 1/25/33 | 42,200 | 37,552 | ||
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 14,100 | 14,296 | ||
JPMorgan Chase & Co. | 4.912% | 7/25/33 | 64,500 | 67,192 | ||
Kemper Corp. | 2.400% | 9/30/30 | 4,837 | 4,028 | ||
Kemper Corp. | 3.800% | 2/23/32 | 10,000 | 9,103 | ||
KeyCorp | 4.100% | 4/30/28 | 15,000 | 14,962 | ||
KeyCorp | 4.789% | 6/1/33 | 20,000 | 20,303 | ||
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 5.250% | 10/1/25 | 671 | 634 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.750% | 6/15/29 | 1,993 | 1,704 | |
Lazard Group LLC | 4.500% | 9/19/28 | 31,409 | 30,909 | ||
Lazard Group LLC | 4.375% | 3/11/29 | 555 | 543 | ||
Lincoln National Corp. | 3.400% | 1/15/31 | 11,993 | 11,040 | ||
Lloyds Banking Group plc | 4.375% | 3/22/28 | 29,752 | 29,480 | ||
Lloyds Banking Group plc | 4.550% | 8/16/28 | 13,800 | 13,749 | ||
7 | Macquarie Bank Ltd. | 3.052% | 3/3/36 | 15,000 | 12,187 | |
8,12 | Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.900% | 4.070% | 5/28/30 | 45,710 | 32,121 | |
Markel Corp. | 3.350% | 9/17/29 | 19,039 | 17,852 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 26,293 | 26,835 | ||
Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 18,175 | 15,937 | ||
Metlife Inc. | 5.000% | 7/15/52 | 5,000 | 5,325 | ||
MetLife Inc. | 4.550% | 3/23/30 | 24,945 | 25,973 | ||
7 | Midcap Financial Issuer Trust | 5.625% | 1/15/30 | 2,360 | 1,909 | |
Mitsubishi UFJ Financial Group Inc. | 3.961% | 3/2/28 | 10,136 | 10,000 | ||
Mitsubishi UFJ Financial Group Inc. | 4.050% | 9/11/28 | 5,000 | 4,915 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 43,090 | 41,506 | ||
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 41,735 | 38,501 | ||
Mitsubishi UFJ Financial Group Inc. | 2.559% | 2/25/30 | 37,878 | 33,134 | ||
Mitsubishi UFJ Financial Group Inc. | 2.309% | 7/20/32 | 40,000 | 33,176 | ||
Mitsubishi UFJ Financial Group Inc. | 2.494% | 10/13/32 | 8,000 | 6,755 | ||
Mitsubishi UFJ Financial Group Inc. | 5.133% | 7/20/33 | 11,200 | 11,664 | ||
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 7,750 | 7,537 | ||
Mizuho Financial Group Inc. | 4.254% | 9/11/29 | 2,000 | 1,944 | ||
Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 21,400 | 19,346 | ||
Mizuho Financial Group Inc. | 2.869% | 9/13/30 | 10,620 | 9,383 | ||
Mizuho Financial Group Inc. | 2.591% | 5/25/31 | 19,607 | 16,738 | ||
Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 13,000 | 10,752 | ||
Mizuho Financial Group Inc. | 2.260% | 7/9/32 | 12,000 | 9,769 | ||
Morgan Stanley | 3.950% | 4/23/27 | 26,821 | 26,490 | ||
Morgan Stanley | 3.591% | 7/22/28 | 57,390 | 55,580 | ||
Morgan Stanley | 3.772% | 1/24/29 | 36,421 | 35,646 | ||
Morgan Stanley | 4.431% | 1/23/30 | 43,000 | 43,081 | ||
Morgan Stanley | 2.699% | 1/22/31 | 51,418 | 46,056 | ||
Morgan Stanley | 3.622% | 4/1/31 | 37,909 | 36,065 | ||
Morgan Stanley | 1.794% | 2/13/32 | 34,634 | 28,285 | ||
Morgan Stanley | 1.928% | 4/28/32 | 19,429 | 16,019 | ||
Morgan Stanley | 2.239% | 7/21/32 | 47,078 | 39,697 | ||
Morgan Stanley | 2.511% | 10/20/32 | 30,000 | 25,756 | ||
Morgan Stanley | 2.943% | 1/21/33 | 25,000 | 22,317 | ||
Morgan Stanley | 4.889% | 7/20/33 | 39,650 | 41,224 | ||
Morgan Stanley | 2.484% | 9/16/36 | 30,000 | 24,161 | ||
Morgan Stanley | 5.297% | 4/20/37 | 16,000 | 16,153 | ||
Morgan Stanley Domestic Holdings Inc. | 3.800% | 8/24/27 | 3,003 | 2,977 | ||
Nasdaq Inc. | 3.950% | 3/7/52 | 1,195 | 1,035 | ||
9 | National Australia Bank Ltd. | 0.625% | 11/10/23 | 800 | 811 | |
Natwest Group plc | 4.892% | 5/18/29 | 23,355 | 23,054 | ||
Natwest Group plc | 5.076% | 1/27/30 | 24,601 | 24,545 | ||
Natwest Group plc | 4.445% | 5/8/30 | 7,550 | 7,266 | ||
Natwest Group plc | 3.032% | 11/28/35 | 15,000 | 12,211 | ||
10 | NIBC Bank NV | 3.125% | 11/15/23 | 17,600 | 21,185 | |
7 | Nippon Life Insurance Co. | 2.750% | 1/21/51 | 11,110 | 9,177 | |
7 | Nippon Life Insurance Co. | 2.900% | 9/16/51 | 15,000 | 12,352 | |
Nomura Holdings Inc. | 2.172% | 7/14/28 | 25,300 | 21,782 | ||
Nomura Holdings Inc. | 2.710% | 1/22/29 | 12,950 | 11,333 | ||
Nomura Holdings Inc. | 3.103% | 1/16/30 | 7,857 | 6,845 | ||
Nomura Holdings Inc. | 2.679% | 7/16/30 | 5,000 | 4,193 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Nomura Holdings Inc. | 2.608% | 7/14/31 | 11,000 | 9,033 | ||
Nomura Holdings Inc. | 2.999% | 1/22/32 | 10,000 | 8,401 | ||
Northern Trust Corp. | 1.950% | 5/1/30 | 5,574 | 4,885 | ||
Northern Trust Corp. | 3.375% | 5/8/32 | 5,036 | ��� 4,772 | ||
OneMain Finance Corp. | 3.500% | 1/15/27 | 1,855 | 1,594 | ||
ORIX Corp. | 2.250% | 3/9/31 | 5,217 | 4,503 | ||
Owl Rock Capital Corp. | 3.400% | 7/15/26 | 16,000 | 14,398 | ||
Owl Rock Capital Corp. | 2.875% | 6/11/28 | 300 | 246 | ||
7 | Pine Street Trust I | 4.572% | 2/15/29 | 250 | 246 | |
PNC Bank NA | 3.250% | 1/22/28 | 28,085 | 27,339 | ||
PNC Bank NA | 2.700% | 10/22/29 | 29,415 | 26,359 | ||
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 32,603 | 31,528 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 35,000 | 31,433 | ||
PNC Financial Services Group Inc. | 4.626% | 6/6/33 | 10,000 | 9,908 | ||
Principal Financial Group Inc. | 3.700% | 5/15/29 | 18,767 | 18,073 | ||
Progressive Corp. | 4.000% | 3/1/29 | 1,070 | 1,088 | ||
Progressive Corp. | 3.200% | 3/26/30 | 14,172 | 13,591 | ||
Progressive Corp. | 3.000% | 3/15/32 | 3,700 | 3,466 | ||
7 | Protective Life Corp. | 4.300% | 9/30/28 | 22,700 | 22,660 | |
Prudential Financial Inc. | 2.100% | 3/10/30 | 2,750 | 2,408 | ||
Prudential Financial Inc. | 3.700% | 10/1/50 | 10,000 | 8,809 | ||
Prudential Financial Inc. | 3.700% | 3/13/51 | 2,500 | 2,158 | ||
Prudential Financial Inc. | 5.125% | 3/1/52 | 10,000 | 9,537 | ||
Prudential plc | 3.125% | 4/14/30 | 1,500 | 1,391 | ||
Regions Financial Corp. | 1.800% | 8/12/28 | 35,000 | 30,867 | ||
Reinsurance Group of America Inc. | 3.900% | 5/15/29 | 6,800 | 6,567 | ||
Reinsurance Group of America Inc. | 3.150% | 6/15/30 | 2,925 | 2,655 | ||
10 | Rothesay Life plc | 8.000% | 10/30/25 | 3,748 | 4,957 | |
Royal Bank of Canada | 2.300% | 11/3/31 | 20,000 | 17,217 | ||
Royal Bank of Canada | 3.875% | 5/4/32 | 7,700 | 7,544 | ||
Santander UK Group Holdings plc | 3.823% | 11/3/28 | 2,500 | 2,356 | ||
7 | SBL Holdings Inc. | 5.000% | 2/18/31 | 17,773 | 14,828 | |
Sixth Street Specialty Lending Inc. | 2.500% | 8/1/26 | 5,000 | 4,432 | ||
State Street Corp. | 2.400% | 1/24/30 | 7,030 | 6,332 | ||
State Street Corp. | 3.152% | 3/30/31 | 4,997 | 4,651 | ||
State Street Corp. | 2.623% | 2/7/33 | 15,000 | 13,234 | ||
State Street Corp. | 4.421% | 5/13/33 | 15,000 | 15,348 | ||
State Street Corp. | 3.031% | 11/1/34 | 3,000 | 2,692 | ||
Stifel Financial Corp. | 4.000% | 5/15/30 | 4,000 | 3,777 | ||
Sumitomo Mitsui Financial Group Inc. | 3.544% | 1/17/28 | 13,366 | 12,926 | ||
Sumitomo Mitsui Financial Group Inc. | 3.944% | 7/19/28 | 4,870 | 4,763 | ||
Sumitomo Mitsui Financial Group Inc. | 1.902% | 9/17/28 | 37,100 | 32,041 | ||
Sumitomo Mitsui Financial Group Inc. | 4.306% | 10/16/28 | 750 | 744 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 54,077 | 49,280 | ||
Sumitomo Mitsui Financial Group Inc. | 2.724% | 9/27/29 | 3,000 | 2,671 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 32,727 | 29,117 | ||
Sumitomo Mitsui Financial Group Inc. | 2.130% | 7/8/30 | 19,045 | 16,055 | ||
Sumitomo Mitsui Financial Group Inc. | 2.142% | 9/23/30 | 14,237 | 11,696 | ||
Sumitomo Mitsui Financial Group Inc. | 2.222% | 9/17/31 | 20,100 | 16,681 | ||
SVB Financial Group | 2.100% | 5/15/28 | 30,625 | 26,625 | ||
SVB Financial Group | 3.125% | 6/5/30 | 7,000 | 6,174 | ||
SVB Financial Group | 1.800% | 2/2/31 | 10,000 | 7,860 | ||
Synchrony Financial | 3.950% | 12/1/27 | 23,297 | 21,929 | ||
Synchrony Financial | 5.150% | 3/19/29 | 1,157 | 1,119 | ||
Synchrony Financial | 2.875% | 10/28/31 | 35,000 | 27,692 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 1,000 | 998 | |
7 | Temasek Financial I Ltd. | 2.750% | 8/2/61 | 15,650 | 11,969 | |
Toronto-Dominion Bank | 2.000% | 9/10/31 | 10,000 | 8,422 | ||
Toronto-Dominion Bank | 2.450% | 1/12/32 | 14,045 | 12,219 | ||
Toronto-Dominion Bank | 3.200% | 3/10/32 | 41,600 | 38,426 | ||
Toronto-Dominion Bank | 4.456% | 6/8/32 | 16,700 | 17,014 | ||
Truist Bank | 2.250% | 3/11/30 | 34,140 | 29,341 | ||
Truist Financial Corp. | 3.875% | 3/19/29 | 10,000 | 9,713 | ||
Truist Financial Corp. | 1.887% | 6/7/29 | 15,000 | 13,261 | ||
Truist Financial Corp. | 1.950% | 6/5/30 | 15,000 | 12,851 | ||
US Bancorp | 3.900% | 4/26/28 | 2,250 | 2,290 | ||
US Bancorp | 4.548% | 7/22/28 | 23,600 | 24,227 | ||
US Bancorp | 3.000% | 7/30/29 | 21,800 | 20,334 | ||
US Bancorp | 1.375% | 7/22/30 | 27,000 | 22,450 | ||
US Bancorp | 4.967% | 7/22/33 | 90,025 | 93,570 | ||
US Bancorp | 2.491% | 11/3/36 | 7,250 | 6,125 | ||
10 | Utmost Group plc | 4.000% | 12/15/31 | 1,700 | 1,647 | |
14,15 | Washington Mutual Bank / Debt not acquired by JPMorgan | 5.500% | 1/15/13 | 6,147 | 1 | |
14,15 | Washington Mutual Bank / Debt not acquired by JPMorgan | 5.650% | 8/15/14 | 7,500 | 1 | |
14,15 | Washington Mutual Bank / Debt not acquired by JPMorgan | 5.125% | 1/15/15 | 9,000 | 1 | |
12 | Wells Fargo & Co. | 4.000% | 4/27/27 | 13,972 | 9,403 | |
Wells Fargo & Co. | 3.584% | 5/22/28 | 57,812 | 55,939 | ||
Wells Fargo & Co. | 2.393% | 6/2/28 | 31,588 | 28,985 | ||
Wells Fargo & Co. | 4.808% | 7/25/28 | 20,000 | 20,463 | ||
Wells Fargo & Co. | 4.150% | 1/24/29 | 26,949 | 26,922 | ||
Wells Fargo & Co. | 2.879% | 10/30/30 | 71,832 | 65,222 | ||
Wells Fargo & Co. | 2.572% | 2/11/31 | 42,900 | 37,826 | ||
Wells Fargo & Co. | 4.478% | 4/4/31 | 2,000 | 2,009 | ||
Wells Fargo & Co. | 3.350% | 3/2/33 | 37,880 | 34,699 | ||
Wells Fargo & Co. | 4.897% | 7/25/33 | 79,330 | 82,134 | ||
Wells Fargo & Co. | 4.611% | 4/25/53 | 10,885 | 10,654 | ||
10 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 11,950 | 14,792 | |
Westpac Banking Corp. | 1.953% | 11/20/28 | 25,400 | 22,797 | ||
Westpac Banking Corp. | 2.650% | 1/16/30 | 5,000 | 4,592 | ||
Westpac Banking Corp. | 2.894% | 2/4/30 | 250 | 238 | ||
Westpac Banking Corp. | 2.150% | 6/3/31 | 12,780 | 11,116 | ||
Westpac Banking Corp. | 4.110% | 7/24/34 | 11,175 | 10,365 | ||
Westpac Banking Corp. | 2.668% | 11/15/35 | 15,000 | 12,254 | ||
Westpac Banking Corp. | 3.020% | 11/18/36 | 15,000 | 12,360 | ||
8,12 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.550% | 3.671% | 1/29/31 | 25,200 | 17,088 | |
Willis North America Inc. | 4.500% | 9/15/28 | 14,000 | 13,990 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 52,892 | 46,994 | ||
7,457,931 | ||||||
Health Care (8.0%) | ||||||
Abbott Laboratories | 1.400% | 6/30/30 | 5,000 | 4,360 | ||
AbbVie Inc. | 4.250% | 11/14/28 | 78,636 | 80,336 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 100,066 | 95,381 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 2,500 | 2,533 | ||
Agilent Technologies Inc. | 2.750% | 9/15/29 | 10,000 | 9,056 | ||
Agilent Technologies Inc. | 2.300% | 3/12/31 | 25,000 | 21,393 | ||
9 | American Medical Systems Europe BV | 1.875% | 3/8/34 | 5,300 | 5,071 | |
AmerisourceBergen Corp. | 3.450% | 12/15/27 | 15,701 | 15,498 | ||
AmerisourceBergen Corp. | 2.800% | 5/15/30 | 6,000 | 5,426 | ||
AmerisourceBergen Corp. | 2.700% | 3/15/31 | 78,844 | 70,094 | ||
Amgen Inc. | 1.650% | 8/15/28 | 38,438 | 34,379 | ||
Amgen Inc. | 3.000% | 2/22/29 | 19,824 | 18,934 | ||
Amgen Inc. | 2.450% | 2/21/30 | 13,400 | 12,201 | ||
Amgen Inc. | 2.300% | 2/25/31 | 10,000 | 8,912 | ||
Amgen Inc. | 2.000% | 1/15/32 | 5,000 | 4,284 | ||
Amgen Inc. | 3.350% | 2/22/32 | 33,780 | 32,325 | ||
Amgen Inc. | 4.663% | 6/15/51 | 5,000 | 4,980 | ||
Anthem Inc. | 3.650% | 12/1/27 | 10,000 | 10,035 | ||
Anthem Inc. | 2.875% | 9/15/29 | 30,704 | 28,594 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Anthem Inc. | 2.250% | 5/15/30 | 6,441 | 5,721 | ||
Anthem Inc. | 2.550% | 3/15/31 | 8,000 | 7,179 | ||
Anthem Inc. | 4.100% | 5/15/32 | 15,000 | 15,155 | ||
Ascension Health | 2.532% | 11/15/29 | 2,500 | 2,315 | ||
Astrazeneca Finance LLC | 1.750% | 5/28/28 | 61,477 | 56,367 | ||
Astrazeneca Finance LLC | 2.250% | 5/28/31 | 15,000 | 13,644 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 15,121 | 15,590 | ||
AstraZeneca plc | 1.375% | 8/6/30 | 56,800 | 48,802 | ||
7 | Bausch Health Americas Inc. | 9.250% | 4/1/26 | 2,698 | 1,887 | |
7 | Bausch Health Cos. Inc. | 5.250% | 2/15/31 | 1,615 | 828 | |
Baxter International Inc. | 2.272% | 12/1/28 | 56,445 | 51,007 | ||
Baxter International Inc. | 3.950% | 4/1/30 | 22,000 | 21,565 | ||
Baxter International Inc. | 1.730% | 4/1/31 | 3,000 | 2,458 | ||
Baxter International Inc. | 2.539% | 2/1/32 | 60,000 | 52,068 | ||
Becton Dickinson and Co. | 2.823% | 5/20/30 | 3,465 | 3,168 | ||
Boston Scientific Corp. | 2.650% | 6/1/30 | 77,567 | 70,685 | ||
Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 15,970 | 16,391 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 32,971 | 32,658 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 46,570 | 39,989 | ||
Bristol-Myers Squibb Co. | 2.950% | 3/15/32 | 57,300 | 55,042 | ||
Bristol-Myers Squibb Co. | 3.550% | 3/15/42 | 5,000 | 4,608 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 5,000 | 3,709 | ||
Cedars-Sinai Health System | 2.288% | 8/15/31 | 2,000 | 1,764 | ||
Centene Corp. | 2.450% | 7/15/28 | 19,825 | 17,738 | ||
Centene Corp. | 3.000% | 10/15/30 | 3,660 | 3,268 | ||
Centene Corp. | 2.625% | 8/1/31 | 8,535 | 7,311 | ||
7 | Charles River Laboratories International Inc. | 4.250% | 5/1/28 | 3,386 | 3,309 | |
CHRISTUS Health | 4.341% | 7/1/28 | 19,800 | 20,280 | ||
Cigna Corp. | 4.375% | 10/15/28 | 64,260 | 65,583 | ||
Cigna Corp. | 2.400% | 3/15/30 | 55,139 | 49,375 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 509 | 445 | ||
7 | CSL UK Holdings Ltd. | 4.250% | 4/27/32 | 26,665 | 27,110 | |
CVS Health Corp. | 4.300% | 3/25/28 | 89,564 | 91,136 | ||
CVS Health Corp. | 3.250% | 8/15/29 | 63,378 | 59,923 | ||
CVS Health Corp. | 3.750% | 4/1/30 | 47,849 | 46,552 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 24,635 | 20,676 | ||
CVS Health Corp. | 1.875% | 2/28/31 | 10,000 | 8,372 | ||
7 | DaVita Inc. | 3.750% | 2/15/31 | 2,203 | 1,685 | |
DH Europe Finance II Sarl | 2.600% | 11/15/29 | 22,000 | 20,456 | ||
Eli Lilly & Co. | 3.375% | 3/15/29 | 8,300 | 8,333 | ||
Eli Lilly & Co. | 3.950% | 3/15/49 | 2,500 | 2,517 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 4,675 | 4,324 | ||
9 | Fresenius Finance Ireland plc | 1.500% | 1/30/24 | 1,000 | 1,022 | |
Gilead Sciences Inc. | 2.600% | 10/1/40 | 5,000 | 3,853 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 2,500 | 2,307 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 67,224 | 68,939 | ||
HCA Inc. | 4.500% | 2/15/27 | 34,516 | 34,362 | ||
7 | HCA Inc. | 3.375% | 3/15/29 | 15,000 | 13,777 | |
HCA Inc. | 3.500% | 9/1/30 | 15,000 | 13,672 | ||
HCA Inc. | 2.375% | 7/15/31 | 20,000 | 16,542 | ||
7 | HCA Inc. | 3.625% | 3/15/32 | 28,135 | 25,544 | |
7 | Highmark Inc. | 2.550% | 5/10/31 | 20,000 | 17,157 | |
Humana Inc. | 4.875% | 4/1/30 | 1,758 | 1,831 | ||
Merck & Co. Inc. | 1.900% | 12/10/28 | 4,184 | 3,835 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 40,459 | 40,299 | ||
Merck & Co. Inc. | 1.450% | 6/24/30 | 17,000 | 14,665 | ||
Merck & Co. Inc. | 2.150% | 12/10/31 | 66,586 | 59,600 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 2,500 | 2,425 | ||
Merck & Co. Inc. | 2.750% | 12/10/51 | 5,000 | 3,894 | ||
Mercy Health | 4.302% | 7/1/28 | 12,500 | 12,662 | ||
7 | Mozart Debt Merger Sub Inc. | 3.875% | 4/1/29 | 1,309 | 1,182 | |
Mylan Inc. | 4.550% | 4/15/28 | 14,900 | 14,313 | ||
Northwestern Memorial Healthcare Obligated Group | 2.633% | 7/15/51 | 2,500 | 1,823 | ||
Novartis Capital Corp. | 2.200% | 8/14/30 | 29,570 | 27,294 | ||
Novartis Capital Corp. | 4.000% | 11/20/45 | 2,500 | 2,493 | ||
7 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 6,375 | 6,049 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PerkinElmer Inc. | 1.900% | 9/15/28 | 42,366 | 36,744 | ||
PerkinElmer Inc. | 3.300% | 9/15/29 | 5,000 | 4,614 | ||
PerkinElmer Inc. | 2.250% | 9/15/31 | 11,000 | 9,161 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 30,721 | 30,927 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 32,530 | 30,865 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 26,270 | 23,237 | ||
Pfizer Inc. | 1.750% | 8/18/31 | 13,540 | 11,831 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 5,000 | 4,041 | ||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 5,000 | 4,555 | ||
Quest Diagnostics Inc. | 2.950% | 6/30/30 | 13,950 | 12,812 | ||
Quest Diagnostics Inc. | 2.800% | 6/30/31 | 6,655 | 5,943 | ||
Regeneron Pharmaceuticals Inc. | 1.750% | 9/15/30 | 15,000 | 12,551 | ||
7 | Roche Holdings Inc. | 1.930% | 12/13/28 | 52,500 | 48,234 | |
7 | Roche Holdings Inc. | 2.076% | 12/13/31 | 24,820 | 22,093 | |
7 | Roche Holdings Inc. | 2.607% | 12/13/51 | 5,000 | 3,803 | |
Royalty Pharma plc | 2.200% | 9/2/30 | 25,000 | 21,112 | ||
Royalty Pharma plc | 2.150% | 9/2/31 | 4,000 | 3,306 | ||
Stanford Health Care | 3.310% | 8/15/30 | 17,000 | 16,254 | ||
STERIS Irish FinCo UnLtd Co. | 2.700% | 3/15/31 | 22,000 | 19,299 | ||
Stryker Corp. | 1.950% | 6/15/30 | 13,250 | 11,418 | ||
Takeda Pharmaceutical Co. Ltd. | 5.000% | 11/26/28 | 35,329 | 36,962 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 102,037 | 88,503 | ||
Takeda Pharmaceutical Co. Ltd. | 3.175% | 7/9/50 | 2,500 | 1,962 | ||
7 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 360 | 357 | |
7 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 3,474 | 3,422 | |
7 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 1,641 | 1,657 | |
7 | Tenet Healthcare Corp. | 6.125% | 10/1/28 | 2,015 | 1,964 | |
7 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 1,804 | 1,678 | |
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 24,050 | 22,015 | ||
Thermo Fisher Scientific Inc. | 2.600% | 10/1/29 | 25,879 | 24,519 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 38,981 | 34,641 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 29,398 | 30,194 | ||
UnitedHealth Group Inc. | 3.875% | 12/15/28 | 20,288 | 20,770 | ||
UnitedHealth Group Inc. | 2.875% | 8/15/29 | 5,666 | 5,438 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 10,000 | 8,947 | ||
Viatris Inc. | 2.300% | 6/22/27 | 32,360 | 28,240 | ||
Viatris Inc. | 2.700% | 6/22/30 | 6,456 | 5,292 | ||
Zoetis Inc. | 3.900% | 8/20/28 | 21,700 | 21,733 | ||
Zoetis Inc. | 2.000% | 5/15/30 | 19,148 | 16,705 | ||
2,522,124 | ||||||
Industrials (5.9%) | ||||||
3M Co. | 3.375% | 3/1/29 | 10,087 | 9,892 | ||
3M Co. | 2.375% | 8/26/29 | 10,000 | 9,173 | ||
3M Co. | 3.050% | 4/15/30 | 18,359 | 17,435 | ||
9 | Abertis Infraestructuras SA | 2.250% | 3/29/29 | 300 | 289 | |
Adani Ports & Special Economic Zone Ltd. | 3.100% | 2/2/31 | 4,500 | 3,509 | ||
7 | Air Canada | 3.875% | 8/15/26 | 2,580 | 2,374 | |
7 | Airbus SE | 3.150% | 4/10/27 | 16,677 | 16,337 | |
9 | Airbus SE | 2.375% | 6/9/40 | 1,800 | 1,728 | |
7 | Allison Transmission Inc. | 4.750% | 10/1/27 | 3,940 | 3,748 | |
7 | American Airlines Inc. | 11.750% | 7/15/25 | 685 | 760 | |
7 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.500% | 4/20/26 | 2,935 | 2,895 | |
4,7 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.750% | 4/20/29 | 7,985 | 7,646 | |
7 | Aramark Services Inc. | 6.375% | 5/1/25 | 1,472 | 1,474 | |
7 | Aramark Services Inc. | 5.000% | 2/1/28 | 2,610 | 2,548 | |
12 | Aurizon Finance Pty Ltd. | 3.000% | 3/9/28 | 40,230 | 24,190 | |
12 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 34,840 | 24,206 | |
9 | Autoroutes du Sud de la France SA | 1.125% | 4/20/26 | 300 | 300 | |
7 | BAE Systems plc | 1.900% | 2/15/31 | 6,670 | 5,586 | |
Boeing Co. | 5.040% | 5/1/27 | 64,624 | 65,919 | ||
Boeing Co. | 3.250% | 2/1/28 | 34,203 | 31,812 | ||
Boeing Co. | 3.250% | 3/1/28 | 3,131 | 2,908 | ||
Boeing Co. | 3.200% | 3/1/29 | 19,969 | 18,088 | ||
Boeing Co. | 5.150% | 5/1/30 | 81,841 | 82,559 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Boeing Co. | 3.625% | 2/1/31 | 5,000 | 4,591 | ||
Burlington Northern Santa Fe LLC | 4.450% | 1/15/53 | 5,000 | 5,104 | ||
Canadian Pacific Railway Co. | 4.000% | 6/1/28 | 2,000 | 2,033 | ||
Canadian Pacific Railway Co. | 2.050% | 3/5/30 | 3,000 | 2,635 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 20,000 | 17,970 | ||
7 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 2,914 | 2,734 | |
Carrier Global Corp. | 2.722% | 2/15/30 | 31,000 | 27,849 | ||
Caterpillar Inc. | 2.600% | 9/19/29 | 8,000 | 7,563 | ||
Caterpillar Inc. | 2.600% | 4/9/30 | 5,000 | 4,714 | ||
7 | Clean Harbors Inc. | 4.875% | 7/15/27 | 4,535 | 4,505 | |
CSX Corp. | 3.800% | 3/1/28 | 18,470 | 18,643 | ||
CSX Corp. | 2.400% | 2/15/30 | 8,663 | 7,888 | ||
CSX Corp. | 4.100% | 11/15/32 | 20,000 | 20,278 | ||
7 | Daimler Trucks Finance North America LLC | 2.375% | 12/14/28 | 10,000 | 8,848 | |
Deere & Co. | 3.100% | 4/15/30 | 2,000 | 1,949 | ||
4 | Delta Air Lines Class AA Series 2020-1 Pass Through Trust | 2.000% | 12/10/29 | 8,804 | 7,856 | |
Delta Air Lines Inc. | 2.900% | 10/28/24 | 1,255 | 1,202 | ||
Delta Air Lines Inc. | 3.750% | 10/28/29 | 2,023 | 1,763 | ||
4,7 | Delta Air Lines Inc. / SkyMiles IP Ltd. | 4.750% | 10/20/28 | 95,221 | 93,070 | |
Dover Corp. | 2.950% | 11/4/29 | 3,000 | 2,758 | ||
9 | easyJet FinCo BV | 1.875% | 3/3/28 | 200 | 176 | |
Embraer Overseas Ltd. | 5.696% | 9/16/23 | 582 | 590 | ||
Emerson Electric Co. | 2.000% | 12/21/28 | 70,085 | 64,249 | ||
Emerson Electric Co. | 2.200% | 12/21/31 | 35,550 | 31,659 | ||
FedEx Corp. | 3.400% | 2/15/28 | 478 | 469 | ||
FedEx Corp. | 3.100% | 8/5/29 | 12,359 | 11,684 | ||
FedEx Corp. | 2.400% | 5/15/31 | 32,544 | 28,565 | ||
General Dynamics Corp. | 3.750% | 5/15/28 | 26,285 | 26,712 | ||
General Dynamics Corp. | 3.625% | 4/1/30 | 25,207 | 25,217 | ||
General Dynamics Corp. | 2.250% | 6/1/31 | 10,000 | 9,050 | ||
General Electric Co. | 6.750% | 3/15/32 | 8,333 | 9,703 | ||
9 | General Electric Co. | 4.125% | 9/19/35 | 200 | 226 | |
Honeywell International Inc. | 2.700% | 8/15/29 | 14,138 | 13,455 | ||
Honeywell International Inc. | 1.950% | 6/1/30 | 18,680 | 16,755 | ||
Honeywell International Inc. | 1.750% | 9/1/31 | 30,142 | 26,144 | ||
Hubbell Inc. | 2.300% | 3/15/31 | 15,000 | 13,034 | ||
Huntington Ingalls Industries Inc. | 2.043% | 8/16/28 | 25,450 | 22,188 | ||
Huntington Ingalls Industries Inc. | 4.200% | 5/1/30 | 15,053 | 14,508 | ||
John Deere Capital Corp. | 3.450% | 3/7/29 | 3,000 | 2,995 | ||
John Deere Capital Corp. | 2.800% | 7/18/29 | 12,294 | 11,771 | ||
John Deere Capital Corp. | 3.900% | 6/7/32 | 5,965 | 6,153 | ||
Johnson Controls International plc / Tyco Fire & Security Finance SCA | 2.000% | 9/16/31 | 9,000 | 7,463 | ||
L3Harris Technologies Inc. | 4.400% | 6/15/28 | 39,284 | 39,718 | ||
L3Harris Technologies Inc. | 4.400% | 6/15/28 | 6,273 | 6,336 | ||
L3Harris Technologies Inc. | 2.900% | 12/15/29 | 7,831 | 7,158 | ||
L3Harris Technologies Inc. | 1.800% | 1/15/31 | 29,540 | 24,380 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 7,138 | 6,341 | ||
Lockheed Martin Corp. | 3.900% | 6/15/32 | 15,330 | 15,832 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 5,000 | 5,233 | ||
Lockheed Martin Corp. | 4.150% | 6/15/53 | 7,500 | 7,363 | ||
12 | Lonsdale Finance Pty Ltd. | 2.100% | 10/15/27 | 15,000 | 9,002 | |
7 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 36,176 | 36,547 | |
7 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 5,042 | 4,620 | |
Norfolk Southern Corp. | 3.800% | 8/1/28 | 10,803 | 10,908 | ||
Norfolk Southern Corp. | 2.550% | 11/1/29 | 3,000 | 2,777 | ||
Norfolk Southern Corp. | 2.300% | 5/15/31 | 10,000 | 8,968 | ||
Norfolk Southern Corp. | 4.550% | 6/1/53 | 5,130 | 5,100 | ||
Northrop Grumman Corp. | 3.250% | 1/15/28 | 77,009 | 75,661 | ||
Northrop Grumman Corp. | 4.400% | 5/1/30 | 32,630 | 33,718 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 28,769 | 25,753 | ||
12 | Pacific National Finance Pty Ltd. | 5.400% | 5/12/27 | 22,860 | 15,835 | |
12 | Pacific National Finance Pty Ltd. | 3.700% | 9/24/29 | 18,940 | 11,405 | |
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 3,000 | 2,849 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Parker-Hannifin Corp. | 4.500% | 9/15/29 | 25,000 | 25,577 | ||
12 | Qantas Airways Ltd. | 4.750% | 10/12/26 | 32,930 | 22,623 | |
12 | Qantas Airways Ltd. | 3.150% | 9/27/28 | 20,500 | 12,375 | |
12 | Qantas Airways Ltd. | 2.950% | 11/27/29 | 4,270 | 2,413 | |
Quanta Services Inc. | 2.900% | 10/1/30 | 8,400 | 7,280 | ||
Quanta Services Inc. | 2.350% | 1/15/32 | 7,000 | 5,676 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 42,770 | 43,445 | ||
Raytheon Technologies Corp. | 2.250% | 7/1/30 | 24,511 | 21,955 | ||
Raytheon Technologies Corp. | 1.900% | 9/1/31 | 25,000 | 21,356 | ||
Republic Services Inc. | 1.450% | 2/15/31 | 10,000 | 8,252 | ||
Republic Services Inc. | 1.750% | 2/15/32 | 12,620 | 10,368 | ||
Rockwell Automation Inc. | 1.750% | 8/15/31 | 7,500 | 6,427 | ||
7 | Roller Bearing Co. of America Inc. | 4.375% | 10/15/29 | 1,563 | 1,431 | |
7 | Rolls-Royce plc | 5.750% | 10/15/27 | 5,966 | 5,640 | |
Ryder System Inc. | 2.850% | 3/1/27 | 9,320 | 8,805 | ||
7 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 25,000 | 22,500 | |
9 | Siemens Financieringsmaatschappij NV | 0.500% | 2/20/32 | 4,100 | 3,688 | |
Southwest Airlines Co. | 7.375% | 3/1/27 | 4,930 | 5,415 | ||
Southwest Airlines Co. | 2.625% | 2/10/30 | 31,710 | 27,517 | ||
Stanley Black & Decker Inc. | 2.300% | 3/15/30 | 29,607 | 26,281 | ||
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 34,661 | 30,835 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 25,607 | 21,968 | ||
7 | TopBuild Corp. | 3.625% | 3/15/29 | 628 | 567 | |
7 | TopBuild Corp. | 4.125% | 2/15/32 | 3,717 | 3,279 | |
7 | TransDigm Inc. | 8.000% | 12/15/25 | 3,425 | 3,545 | |
7 | TransDigm Inc. | 6.250% | 3/15/26 | 7,569 | 7,600 | |
TransDigm Inc. | 5.500% | 11/15/27 | 3,009 | 2,839 | ||
TransDigm Inc. | 4.875% | 5/1/29 | 4,880 | 4,368 | ||
Triton Container International Ltd. / TAL International Container Corp. | 3.250% | 3/15/32 | 18,030 | 14,860 | ||
Tyco Electronics Group SA | 2.500% | 2/4/32 | 7,990 | 7,277 | ||
Union Pacific Corp. | 3.950% | 9/10/28 | 17,542 | 17,923 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 8,149 | 8,194 | ||
Union Pacific Corp. | 2.400% | 2/5/30 | 35,200 | 32,305 | ||
Union Pacific Corp. | 2.800% | 2/14/32 | 13,000 | 12,085 | ||
4 | United Airlines Class AA Series 2019-2 Pass Through Trust | 5.875% | 4/15/29 | 34,518 | 34,573 | |
7 | United Airlines Inc. | 4.375% | 4/15/26 | 6,300 | 6,065 | |
7 | United Airlines Inc. | 4.625% | 4/15/29 | 4,865 | 4,484 | |
United Parcel Service Inc. | 2.500% | 9/1/29 | 12,227 | 11,456 | ||
7 | Vertiv Group Corp. | 4.125% | 11/15/28 | 1,710 | 1,516 | |
Waste Management Inc. | 1.150% | 3/15/28 | 12,099 | 10,597 | ||
Waste Management Inc. | 2.000% | 6/1/29 | 15,320 | 13,738 | ||
Waste Management Inc. | 1.500% | 3/15/31 | 27,800 | 23,224 | ||
7 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 4,463 | 4,654 | |
7 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 1,379 | 1,294 | |
9 | Wizz Air Finance Co. BV | 1.350% | 1/19/24 | 10,500 | 10,336 | |
1,856,205 | ||||||
Materials (2.5%) | ||||||
7 | Advanced Drainage Systems Inc. | 6.375% | 6/15/30 | 648 | 658 | |
Air Products and Chemicals Inc. | 2.050% | 5/15/30 | 5,552 | 5,005 | ||
Albemarle Corp. | 5.050% | 6/1/32 | 5,000 | 5,020 | ||
9 | Aliaxis Finance SA | 0.875% | 11/8/28 | 7,500 | 5,991 | |
Amcor Flexibles North America Inc. | 2.690% | 5/25/31 | 20,000 | 17,157 | ||
7 | Antofagasta plc | 5.625% | 5/13/32 | 7,500 | 7,426 | |
ArcelorMittal SA | 4.250% | 7/16/29 | 10,000 | 9,696 | ||
7 | Arconic Corp. | 6.000% | 5/15/25 | 770 | 777 | |
7 | Arconic Corp. | 6.125% | 2/15/28 | 1,305 | 1,306 | |
7 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 4/30/25 | 1,839 | 1,803 | |
5,7 | Avient Corp. | 7.125% | 8/1/30 | 1,803 | 1,862 | |
7 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV | 4.750% | 6/15/27 | 2,868 | 2,750 | |
Ball Corp. | 2.875% | 8/15/30 | 3,088 | 2,678 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Ball Corp. | 3.125% | 9/15/31 | 2,271 | 1,988 | ||
Berry Global Inc. | 1.650% | 1/15/27 | 22,469 | 19,876 | ||
7 | Berry Global Inc. | 5.625% | 7/15/27 | 5,440 | 5,494 | |
7 | Big River Steel LLC / BRS Finance Corp. | 6.625% | 1/31/29 | 2,801 | 2,870 | |
7 | Canpack SA / Canpack US LLC | 3.875% | 11/15/29 | 5,438 | 4,432 | |
Celanese US Holdings LLC | 6.330% | 7/15/29 | 15,000 | 15,447 | ||
Celanese US Holdings LLC | 6.379% | 7/15/32 | 10,100 | 10,381 | ||
7 | Chemours Co. | 4.625% | 11/15/29 | 4,943 | 4,337 | |
Dow Chemical Co. | 4.800% | 11/30/28 | 4,000 | 4,141 | ||
Dow Chemical Co. | 2.100% | 11/15/30 | 49,000 | 41,861 | ||
DuPont de Nemours Inc. | 4.725% | 11/15/28 | 12,000 | 12,464 | ||
Ecolab Inc. | 1.300% | 1/30/31 | 10,000 | 8,350 | ||
Ecolab Inc. | 2.125% | 2/1/32 | 10,000 | 8,817 | ||
7 | Element Solutions Inc. | 3.875% | 9/1/28 | 3,825 | 3,533 | |
FMC Corp. | 3.450% | 10/1/29 | 13,000 | 12,202 | ||
7 | Freeport Indonesia PT | 5.315% | 4/14/32 | 47,310 | 44,073 | |
7 | Freeport Indonesia PT | 6.200% | 4/14/52 | 12,125 | 10,706 | |
Freeport-McMoRan Inc. | 4.125% | 3/1/28 | 8,330 | 7,867 | ||
Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 9,680 | 9,214 | ||
Freeport-McMoRan Inc. | 5.250% | 9/1/29 | 22,881 | 22,558 | ||
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 12,603 | 11,822 | ||
Freeport-McMoRan Inc. | 4.625% | 8/1/30 | 5,933 | 5,690 | ||
7 | GC Treasury Center Co. Ltd. | 4.400% | 3/30/32 | 10,909 | 10,143 | |
GCC SAB de CV | 3.614% | 4/20/32 | 1,500 | 1,259 | ||
7 | Georgia-Pacific LLC | 2.300% | 4/30/30 | 17,000 | 15,252 | |
9 | Glencore Capital Finance DAC | 1.125% | 3/10/28 | 5,000 | 4,518 | |
7 | Graham Packaging Co. Inc. | 7.125% | 8/15/28 | 2,243 | 1,899 | |
7 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 2,607 | 2,412 | |
7 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 977 | 885 | |
7 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 4,465 | 3,704 | |
7 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 1,085 | 956 | |
7 | Ingevity Corp. | 3.875% | 11/1/28 | 1,485 | 1,317 | |
Inversiones CMPC SA | 3.850% | 1/13/30 | 1,500 | 1,354 | ||
7 | Kaiser Aluminum Corp. | 4.500% | 6/1/31 | 2,918 | 2,344 | |
9 | Koninklijke DSM NV | 0.625% | 6/23/32 | 4,700 | 4,028 | |
9 | LANXESS AG | 1.750% | 3/22/28 | 400 | 382 | |
Linde Inc. | 1.100% | 8/10/30 | 5,570 | 4,638 | ||
9 | Linde plc | 1.000% | 9/30/51 | 2,400 | 1,650 | |
Martin Marietta Materials Inc. | 2.400% | 7/15/31 | 25,000 | 21,199 | ||
Newmont Corp. | 2.800% | 10/1/29 | 32,675 | 29,531 | ||
Newmont Corp. | 2.250% | 10/1/30 | 34,620 | 29,618 | ||
Newmont Corp. | 2.600% | 7/15/32 | 10,000 | 8,530 | ||
7 | Novelis Corp. | 4.750% | 1/30/30 | 2,167 | 2,004 | |
Nucor Corp. | 2.700% | 6/1/30 | 15,060 | 13,453 | ||
Nucor Corp. | 3.125% | 4/1/32 | 15,620 | 14,153 | ||
Nutrien Ltd. | 4.200% | 4/1/29 | 17,656 | 17,586 | ||
Nutrien Ltd. | 2.950% | 5/13/30 | 13,207 | 12,100 | ||
Packaging Corp. of America | 3.000% | 12/15/29 | 13,000 | 11,956 | ||
7 | Pactiv Evergreen Group Issuer Inc. / Pactiv Evergreen Group Issuer LLC | 4.000% | 10/15/27 | 1,367 | 1,207 | |
7 | POSCO | 4.375% | 8/4/25 | 75,000 | 74,930 | |
9 | PPG Industries Inc. | 2.750% | 6/1/29 | 2,100 | 2,153 | |
PPG Industries Inc. | 2.800% | 8/15/29 | 11,000 | 10,215 | ||
PPG Industries Inc. | 2.550% | 6/15/30 | 9,435 | 8,524 | ||
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 2,000 | 2,343 | ||
Rio Tinto Finance USA Ltd. | 2.750% | 11/2/51 | 3,000 | 2,296 | ||
RPM International Inc. | 4.550% | 3/1/29 | 17,250 | 16,980 | ||
RPM International Inc. | 2.950% | 1/15/32 | 3,415 | 2,900 | ||
Sherwin-Williams Co. | 2.950% | 8/15/29 | 32,011 | 29,630 | ||
Sherwin-Williams Co. | 2.300% | 5/15/30 | 20,563 | 17,916 | ||
Sherwin-Williams Co. | 2.200% | 3/15/32 | 4,000 | 3,384 | ||
7 | SPCM SA | 3.125% | 3/15/27 | 1,093 | 932 | |
7 | SPCM SA | 3.375% | 3/15/30 | 2,925 | 2,353 | |
Steel Dynamics Inc. | 3.450% | 4/15/30 | 27,891 | 25,511 | ||
7 | Unifrax Escrow Issuer Corp. | 5.250% | 9/30/28 | 2,342 | 1,965 | |
United States Steel Corp. | 6.875% | 3/1/29 | 1,600 | 1,533 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Vale Overseas Ltd. | 3.750% | 7/8/30 | 5,000 | 4,550 | ||
WRKCo Inc. | 3.900% | 6/1/28 | 26,734 | 26,485 | ||
WRKCo Inc. | 4.900% | 3/15/29 | 12,000 | 12,396 | ||
795,326 | ||||||
Real Estate (5.9%) | ||||||
Agree LP | 2.000% | 6/15/28 | 23,750 | 20,655 | ||
Agree LP | 2.900% | 10/1/30 | 6,500 | 5,676 | ||
Agree LP | 2.600% | 6/15/33 | 5,720 | 4,720 | ||
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/28 | 1,975 | 1,952 | ||
Alexandria Real Estate Equities Inc. | 2.750% | 12/15/29 | 27,005 | 24,243 | ||
Alexandria Real Estate Equities Inc. | 4.900% | 12/15/30 | 4,347 | 4,466 | ||
Alexandria Real Estate Equities Inc. | 3.375% | 8/15/31 | 2,875 | 2,639 | ||
American Assets Trust LP | 3.375% | 2/1/31 | 11,292 | 9,870 | ||
American Campus Communities Operating Partnership LP | 3.625% | 11/15/27 | 880 | 879 | ||
American Campus Communities Operating Partnership LP | 2.250% | 1/15/29 | 22,000 | 20,926 | ||
American Campus Communities Operating Partnership LP | 2.850% | 2/1/30 | 5,049 | 4,878 | ||
American Homes 4 Rent LP | 4.250% | 2/15/28 | 13,372 | 13,086 | ||
American Homes 4 Rent LP | 2.375% | 7/15/31 | 10,000 | 8,251 | ||
American Homes 4 Rent LP | 3.625% | 4/15/32 | 10,000 | 9,092 | ||
American Tower Corp. | 3.600% | 1/15/28 | 27,234 | 26,085 | ||
American Tower Corp. | 1.500% | 1/31/28 | 34,887 | 30,145 | ||
American Tower Corp. | 3.950% | 3/15/29 | 9,000 | 8,687 | ||
American Tower Corp. | 3.800% | 8/15/29 | 41,188 | 39,357 | ||
American Tower Corp. | 2.900% | 1/15/30 | 30,100 | 26,886 | ||
American Tower Corp. | 2.100% | 6/15/30 | 24,909 | 20,883 | ||
American Tower Corp. | 2.700% | 4/15/31 | 20,000 | 17,304 | ||
American Tower Corp. | 2.300% | 9/15/31 | 4,000 | 3,324 | ||
9 | Aroundtown SA | 0.000% | 7/16/26 | 5,800 | 5,074 | |
9 | Aroundtown SA | 2.875% | 12/31/99 | 1,805 | 1,593 | |
AvalonBay Communities Inc. | 3.200% | 1/15/28 | 18,750 | 18,052 | ||
AvalonBay Communities Inc. | 1.900% | 12/1/28 | 13,300 | 11,848 | ||
AvalonBay Communities Inc. | 3.300% | 6/1/29 | 5,000 | 4,763 | ||
AvalonBay Communities Inc. | 2.300% | 3/1/30 | 14,752 | 13,115 | ||
9 | Blackstone Property Partners Europe Holdings Sarl | 1.000% | 10/20/26 | 5,267 | 4,781 | |
Boston Properties LP | 4.500% | 12/1/28 | 10,000 | 10,004 | ||
Boston Properties LP | 3.400% | 6/21/29 | 295 | 272 | ||
Boston Properties LP | 2.900% | 3/15/30 | 16,800 | 14,815 | ||
Boston Properties LP | 3.250% | 1/30/31 | 10,806 | 9,593 | ||
Boston Properties LP | 2.550% | 4/1/32 | 10,000 | 8,285 | ||
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 27,776 | 26,422 | ||
Brixmor Operating Partnership LP | 3.900% | 3/15/27 | 1,100 | 1,067 | ||
Brixmor Operating Partnership LP | 2.250% | 4/1/28 | 13,000 | 11,343 | ||
Brixmor Operating Partnership LP | 4.125% | 5/15/29 | 18,000 | 17,011 | ||
Brixmor Operating Partnership LP | 4.050% | 7/1/30 | 8,018 | 7,408 | ||
Brixmor Operating Partnership LP | 2.500% | 8/16/31 | 20,000 | 16,116 | ||
Corporate Office Properties LP | 2.000% | 1/15/29 | 20,000 | 16,348 | ||
Corporate Office Properties LP | 2.750% | 4/15/31 | 27,226 | 22,325 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 8,758 | 8,542 | ||
Crown Castle International Corp. | 4.300% | 2/15/29 | 22,930 | 22,721 | ||
Crown Castle International Corp. | 3.100% | 11/15/29 | 30,966 | 28,294 | ||
Crown Castle International Corp. | 3.300% | 7/1/30 | 14,589 | 13,386 | ||
Crown Castle International Corp. | 2.250% | 1/15/31 | 13,715 | 11,601 | ||
CubeSmart LP | 2.250% | 12/15/28 | 20,000 | 17,364 | ||
CubeSmart LP | 4.375% | 2/15/29 | 12,000 | 11,867 | ||
CubeSmart LP | 2.000% | 2/15/31 | 19,558 | 16,015 | ||
9 | Digital Euro Finco LLC | 2.625% | 4/15/24 | 11,793 | 12,131 | |
Digital Realty Trust LP | 3.700% | 8/15/27 | 21,675 | 21,166 | ||
Digital Realty Trust LP | 3.600% | 7/1/29 | 37,195 | 35,063 | ||
Duke Realty LP | 3.375% | 12/15/27 | 23,983 | 23,049 | ||
Duke Realty LP | 2.875% | 11/15/29 | 5,000 | 4,601 | ||
Duke Realty LP | 1.750% | 2/1/31 | 3,000 | 2,504 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Equinix Inc. | 1.550% | 3/15/28 | 3,000 | 2,611 | ||
Equinix Inc. | 2.000% | 5/15/28 | 10,000 | 8,793 | ||
Equinix Inc. | 3.200% | 11/18/29 | 6,750 | 6,228 | ||
Equinix Inc. | 2.150% | 7/15/30 | 10,000 | 8,472 | ||
Equinix Inc. | 2.500% | 5/15/31 | 10,000 | 8,577 | ||
ERP Operating LP | 3.500% | 3/1/28 | 8,836 | 8,591 | ||
ERP Operating LP | 4.150% | 12/1/28 | 27,426 | 27,403 | ||
ERP Operating LP | 3.000% | 7/1/29 | 7,000 | 6,523 | ||
ERP Operating LP | 1.850% | 8/1/31 | 5,250 | 4,429 | ||
Essential Properties LP | 2.950% | 7/15/31 | 20,000 | 15,955 | ||
Essex Portfolio LP | 4.000% | 3/1/29 | 426 | 416 | ||
Essex Portfolio LP | 3.000% | 1/15/30 | 10,000 | 9,022 | ||
Essex Portfolio LP | 1.650% | 1/15/31 | 4,053 | 3,264 | ||
Extra Space Storage LP | 3.900% | 4/1/29 | 15,000 | 14,386 | ||
Extra Space Storage LP | 2.550% | 6/1/31 | 20,000 | 16,964 | ||
Extra Space Storage LP | 2.350% | 3/15/32 | 10,000 | 8,121 | ||
Federal Realty Investment Trust | 3.250% | 7/15/27 | 10,000 | 9,602 | ||
Federal Realty Investment Trust | 3.200% | 6/15/29 | 10,000 | 9,201 | ||
Federal Realty Investment Trust | 3.500% | 6/1/30 | 1,990 | 1,840 | ||
Healthcare Realty Holdings LP Co. | 2.400% | 3/15/30 | 1,000 | 848 | ||
Healthcare Realty Holdings LP Co. | 2.050% | 3/15/31 | 15,000 | 12,095 | ||
Healthcare Trust of America Holdings LP | 3.100% | 2/15/30 | 501 | 443 | ||
Healthcare Trust of America Holdings LP | 2.000% | 3/15/31 | 28,349 | 22,884 | ||
Healthpeak Properties Inc. | 2.125% | 12/1/28 | 12,000 | 10,702 | ||
Healthpeak Properties Inc. | 3.500% | 7/15/29 | 16,479 | 15,568 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 14,900 | 13,544 | ||
Healthpeak Properties Inc. | 2.875% | 1/15/31 | 10,507 | 9,375 | ||
Highwoods Realty LP | 3.875% | 3/1/27 | 23,615 | 23,124 | ||
Highwoods Realty LP | 4.125% | 3/15/28 | 3,450 | 3,360 | ||
Highwoods Realty LP | 4.200% | 4/15/29 | 342 | 325 | ||
Highwoods Realty LP | 3.050% | 2/15/30 | 12,090 | 10,656 | ||
Highwoods Realty LP | 2.600% | 2/1/31 | 1,161 | 969 | ||
Host Hotels & Resorts LP | 3.375% | 12/15/29 | 6,252 | 5,487 | ||
Host Hotels & Resorts LP | 3.500% | 9/15/30 | 10,512 | 9,130 | ||
Host Hotels & Resorts LP | 2.900% | 12/15/31 | 16,025 | 12,846 | ||
IIP Operating Partnership LP | 5.500% | 5/25/26 | 9,600 | 8,174 | ||
Invitation Homes Operating Partnership LP | 2.300% | 11/15/28 | 10,000 | 8,599 | ||
Invitation Homes Operating Partnership LP | 2.000% | 8/15/31 | 4,000 | 3,143 | ||
Invitation Homes Operating Partnership LP | 4.150% | 4/15/32 | 10,000 | 9,387 | ||
Kilroy Realty LP | 4.750% | 12/15/28 | 6,705 | 6,668 | ||
Kilroy Realty LP | 4.250% | 8/15/29 | 3,500 | 3,355 | ||
Kilroy Realty LP | 3.050% | 2/15/30 | 14,877 | 13,122 | ||
Kimco Realty Corp. | 1.900% | 3/1/28 | 23,105 | 20,404 | ||
Kimco Realty Corp. | 2.700% | 10/1/30 | 4,000 | 3,510 | ||
Kimco Realty Corp. | 2.250% | 12/1/31 | 10,000 | 8,329 | ||
Kimco Realty Corp. | 3.200% | 4/1/32 | 10,000 | 9,015 | ||
Kimco Realty Corp. | 3.700% | 10/1/49 | 2,500 | 2,015 | ||
Life Storage LP | 4.000% | 6/15/29 | 6,494 | 6,135 | ||
Life Storage LP | 2.200% | 10/15/30 | 7,000 | 5,778 | ||
Life Storage LP | 2.400% | 10/15/31 | 15,500 | 12,822 | ||
LXP Industrial Trust | 2.375% | 10/1/31 | 5,000 | 3,979 | ||
Mid-America Apartments LP | 3.950% | 3/15/29 | 17,673 | 17,300 | ||
Mid-America Apartments LP | 2.750% | 3/15/30 | 16,850 | 15,115 | ||
Mid-America Apartments LP | 1.700% | 2/15/31 | 1,900 | 1,552 | ||
MPT Operating Partnership LP / MPT Finance Corp. | 3.500% | 3/15/31 | 3,512 | 3,029 | ||
National Retail Properties Inc. | 3.500% | 10/15/27 | 8,830 | 8,440 | ||
National Retail Properties Inc. | 4.300% | 10/15/28 | 1,722 | 1,705 | ||
National Retail Properties Inc. | 2.500% | 4/15/30 | 23,948 | 20,950 | ||
Office Properties Income Trust | 2.650% | 6/15/26 | 2,100 | 1,752 | ||
Omega Healthcare Investors Inc. | 4.750% | 1/15/28 | 10,137 | 9,837 | ||
Omega Healthcare Investors Inc. | 3.625% | 10/1/29 | 10,000 | 8,710 | ||
Omega Healthcare Investors Inc. | 3.375% | 2/1/31 | 11,735 | 9,771 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 7,000 | 6,924 | |
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 11,900 | 11,896 | |
Phillips Edison Grocery Center Operating Partnership I LP | 2.625% | 11/15/31 | 20,000 | 15,910 | ||
Physicians Realty LP | 3.950% | 1/15/28 | 5,775 | 5,613 | ||
Physicians Realty LP | 2.625% | 11/1/31 | 10,000 | 8,339 | ||
Piedmont Operating Partnership LP | 2.750% | 4/1/32 | 10,000 | 7,932 | ||
9 | Prologis International Funding II SA | 1.625% | 6/17/32 | 6,353 | 5,719 | |
Prologis LP | 4.375% | 2/1/29 | 15,000 | 15,307 | ||
Prologis LP | 2.250% | 4/15/30 | 10,000 | 8,989 | ||
Prologis LP | 1.250% | 10/15/30 | 10,000 | 8,320 | ||
Public Storage | 1.850% | 5/1/28 | 20,000 | 17,928 | ||
Public Storage | 1.950% | 11/9/28 | 8,800 | 7,876 | ||
Public Storage | 3.385% | 5/1/29 | 18,527 | 17,877 | ||
Public Storage | 2.300% | 5/1/31 | 10,830 | 9,530 | ||
Public Storage | 2.250% | 11/9/31 | 7,000 | 6,088 | ||
Realty Income Corp. | 3.650% | 1/15/28 | 18,669 | 18,399 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 7,500 | 6,794 | ||
Realty Income Corp. | 3.100% | 12/15/29 | 21,990 | 20,584 | ||
Regency Centers LP | 2.950% | 9/15/29 | 8,150 | 7,321 | ||
Regency Centers LP | 3.700% | 6/15/30 | 22,150 | 20,729 | ||
Rexford Industrial Realty LP | 2.125% | 12/1/30 | 5,488 | 4,560 | ||
Rexford Industrial Realty LP | 2.150% | 9/1/31 | 17,000 | 13,934 | ||
Sabra Health Care LP | 3.900% | 10/15/29 | 21,580 | 19,446 | ||
SBA Communications Corp. | 3.125% | 2/1/29 | 3,740 | 3,274 | ||
9 | SBB Treasury OYJ | 1.125% | 11/26/29 | 5,300 | 3,401 | |
Simon Property Group LP | 3.375% | 6/15/27 | 21,390 | 20,870 | ||
Simon Property Group LP | 3.375% | 12/1/27 | 20,559 | 19,798 | ||
Simon Property Group LP | 1.750% | 2/1/28 | 29,800 | 26,315 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 21,700 | 19,159 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 17,630 | 15,535 | ||
Simon Property Group LP | 2.200% | 2/1/31 | 5,999 | 5,050 | ||
Spirit Realty LP | 2.100% | 3/15/28 | 10,000 | 8,571 | ||
Spirit Realty LP | 3.400% | 1/15/30 | 421 | 374 | ||
Spirit Realty LP | 2.700% | 2/15/32 | 10,000 | 8,071 | ||
STORE Capital Corp. | 2.750% | 11/18/30 | 7,000 | 5,894 | ||
Sun Communities Operating LP | 2.300% | 11/1/28 | 19,600 | 17,141 | ||
Sun Communities Operating LP | 2.700% | 7/15/31 | 10,000 | 8,346 | ||
Sun Communities Operating LP | 4.200% | 4/15/32 | 5,079 | 4,745 | ||
Tanger Properties LP | 2.750% | 9/1/31 | 12,000 | 9,493 | ||
UDR Inc. | 3.200% | 1/15/30 | 3,000 | 2,724 | ||
UDR Inc. | 3.000% | 8/15/31 | 7,660 | 6,743 | ||
7 | Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC | 7.875% | 2/15/25 | 1,520 | 1,529 | |
7 | VICI Properties LP / VICI Note Co. Inc. | 5.625% | 5/1/24 | 3,010 | 3,012 | |
7 | VICI Properties LP / VICI Note Co. Inc. | 4.625% | 6/15/25 | 3,550 | 3,462 | |
9 | Vonovia SE | 0.000% | 12/1/25 | 5,600 | 5,285 | |
9 | Vonovia SE | 1.500% | 6/14/41 | 2,100 | 1,504 | |
Vornado Realty LP | 3.400% | 6/1/31 | 10,250 | 8,700 | ||
Welltower Inc. | 4.250% | 4/15/28 | 2,845 | 2,835 | ||
Welltower Inc. | 2.050% | 1/15/29 | 25,955 | 22,573 | ||
Welltower Inc. | 4.125% | 3/15/29 | 435 | 425 | ||
Welltower Inc. | 3.100% | 1/15/30 | 19,120 | 17,383 | ||
Welltower Inc. | 2.750% | 1/15/32 | 7,000 | 6,028 | ||
10 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 16,858 | 18,860 | |
Weyerhaeuser Co. | 4.000% | 11/15/29 | 15,516 | 15,168 | ||
Weyerhaeuser Co. | 4.000% | 4/15/30 | 1,605 | 1,560 | ||
Weyerhaeuser Co. | 3.375% | 3/9/33 | 10,500 | 9,580 | ||
WP Carey Inc. | 2.450% | 2/1/32 | 10,000 | 8,272 | ||
1,874,588 | ||||||
Technology (5.7%) | ||||||
Adobe Inc. | 2.300% | 2/1/30 | 10,000 | 9,194 | ||
Analog Devices Inc. | 1.700% | 10/1/28 | 10,650 | 9,656 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Analog Devices Inc. | 2.100% | 10/1/31 | 15,970 | 14,202 | ||
9 | Apple Inc. | 1.375% | 1/17/24 | 1,200 | 1,236 | |
Apple Inc. | 1.200% | 2/8/28 | 45,670 | 41,207 | ||
Apple Inc. | 1.400% | 8/5/28 | 85,000 | 76,984 | ||
Apple Inc. | 1.650% | 5/11/30 | 25,000 | 22,164 | ||
Apple Inc. | 1.250% | 8/20/30 | 6,510 | 5,573 | ||
Apple Inc. | 1.650% | 2/8/31 | 27,770 | 24,378 | ||
Apple Inc. | 2.650% | 5/11/50 | 2,500 | 1,948 | ||
Apple Inc. | 2.400% | 8/20/50 | 1,500 | 1,122 | ||
Automatic Data Processing Inc. | 1.700% | 5/15/28 | 26,610 | 24,716 | ||
Automatic Data Processing Inc. | 1.250% | 9/1/30 | 24,000 | 20,441 | ||
7 | Broadcom Inc. | 1.950% | 2/15/28 | 17,424 | 15,324 | |
Broadcom Inc. | 4.110% | 9/15/28 | 29,411 | 29,017 | ||
Broadcom Inc. | 4.750% | 4/15/29 | 42,375 | 42,774 | ||
Broadcom Inc. | 5.000% | 4/15/30 | 37,571 | 38,035 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 25,000 | 23,806 | ||
7 | Broadcom Inc. | 2.450% | 2/15/31 | 23,484 | 19,630 | |
Citrix Systems Inc. | 3.300% | 3/1/30 | 10,750 | 10,650 | ||
7 | Clarivate Science Holdings Corp. | 4.875% | 7/1/29 | 3,170 | 2,806 | |
7 | CommScope Inc. | 6.000% | 3/1/26 | 1,210 | 1,177 | |
7 | CommScope Inc. | 7.125% | 7/1/28 | 2,517 | 2,089 | |
7 | Condor Merger Sub Inc. | 7.375% | 2/15/30 | 4,456 | 3,943 | |
Dell International LLC / EMC Corp. | 5.300% | 10/1/29 | 55,363 | 56,113 | ||
Dell International LLC / EMC Corp. | 6.200% | 7/15/30 | 51,995 | 55,745 | ||
DXC Technology Co. | 2.375% | 9/15/28 | 45,000 | 39,401 | ||
7 | Entegris Escrow Corp. | 4.750% | 4/15/29 | 24,932 | 24,045 | |
7 | Entegris Escrow Corp. | 5.950% | 6/15/30 | 5,945 | 5,893 | |
Equifax Inc. | 3.100% | 5/15/30 | 17,000 | 15,351 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 32,250 | 28,337 | ||
Fidelity National Information Services Inc. | 3.750% | 5/21/29 | 3,000 | 2,897 | ||
Fidelity National Information Services Inc. | 2.250% | 3/1/31 | 19,692 | 16,654 | ||
Fiserv Inc. | 4.200% | 10/1/28 | 7,000 | 7,010 | ||
Fiserv Inc. | 3.500% | 7/1/29 | 55,450 | 52,503 | ||
Fiserv Inc. | 2.650% | 6/1/30 | 36,950 | 32,582 | ||
Global Payments Inc. | 3.200% | 8/15/29 | 9,480 | 8,458 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 4,550 | 3,928 | ||
Global Payments Inc. | 2.900% | 11/15/31 | 35,000 | 29,450 | ||
HP Inc. | 4.000% | 4/15/29 | 28,960 | 27,978 | ||
HP Inc. | 3.400% | 6/17/30 | 9,725 | 8,745 | ||
HP Inc. | 2.650% | 6/17/31 | 22,881 | 18,977 | ||
HP Inc. | 4.200% | 4/15/32 | 17,130 | 15,904 | ||
Intel Corp. | 1.600% | 8/12/28 | 20,900 | 18,959 | ||
Intel Corp. | 2.450% | 11/15/29 | 58,413 | 53,818 | ||
Intel Corp. | 3.900% | 3/25/30 | 6,363 | 6,442 | ||
Intel Corp. | 2.000% | 8/12/31 | 9,300 | 8,129 | ||
Juniper Networks Inc. | 3.750% | 8/15/29 | 31,827 | 30,018 | ||
Juniper Networks Inc. | 2.000% | 12/10/30 | 15,554 | 12,547 | ||
KLA Corp. | 4.650% | 7/15/32 | 14,510 | 15,543 | ||
Mastercard Inc. | 2.950% | 6/1/29 | 19,000 | 18,437 | ||
Mastercard Inc. | 3.350% | 3/26/30 | 3,779 | 3,745 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 1,500 | 1,157 | ||
Motorola Solutions Inc. | 2.750% | 5/24/31 | 25,000 | 20,957 | ||
7 | MSCI Inc. | 3.625% | 9/1/30 | 2,465 | 2,249 | |
7 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 1,166 | 1,142 | |
NVIDIA Corp. | 2.850% | 4/1/30 | 20,000 | 19,074 | ||
NVIDIA Corp. | 2.000% | 6/15/31 | 10,000 | 8,904 | ||
NXP BV / NXP Funding LLC | 5.550% | 12/1/28 | 809 | 838 | ||
NXP BV / NXP Funding LLC / NXP USA Inc. | 3.400% | 5/1/30 | 8,456 | 7,714 | ||
NXP BV / NXP Funding LLC / NXP USA Inc. | 2.500% | 5/11/31 | 30,000 | 25,314 | ||
Oracle Corp. | 2.800% | 4/1/27 | 293 | 276 | ||
Oracle Corp. | 3.250% | 11/15/27 | 14,885 | 14,212 | ||
Oracle Corp. | 2.300% | 3/25/28 | 64,753 | 58,130 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Oracle Corp. | 2.950% | 4/1/30 | 70,260 | 62,043 | ||
Oracle Corp. | 2.875% | 3/25/31 | 51,257 | 44,156 | ||
PayPal Holdings Inc. | 2.850% | 10/1/29 | 6,007 | 5,654 | ||
PayPal Holdings Inc. | 2.300% | 6/1/30 | 17,000 | 15,228 | ||
PayPal Holdings Inc. | 4.400% | 6/1/32 | 5,000 | 5,157 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 36,811 | 33,045 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 4,204 | 3,843 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 15,336 | 13,040 | ||
RELX Capital Inc. | 3.000% | 5/22/30 | 8,800 | 8,187 | ||
Roper Technologies Inc. | 2.000% | 6/30/30 | 18,380 | 15,475 | ||
7 | S&P Global Inc. | 2.700% | 3/1/29 | 49,410 | 46,535 | |
S&P Global Inc. | 2.500% | 12/1/29 | 10,438 | 9,574 | ||
S&P Global Inc. | 1.250% | 8/15/30 | 6,750 | 5,593 | ||
7 | S&P Global Inc. | 2.900% | 3/1/32 | 37,147 | 34,476 | |
7 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 1,628 | 1,614 | |
salesforce.com Inc. | 1.950% | 7/15/31 | 24,040 | 21,389 | ||
Skyworks Solutions Inc. | 3.000% | 6/1/31 | 31,290 | 26,388 | ||
7 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 1,884 | 1,855 | |
Teledyne FLIR LLC | 2.500% | 8/1/30 | 14,900 | 12,656 | ||
Texas Instruments Inc. | 2.250% | 9/4/29 | 2,000 | 1,847 | ||
Texas Instruments Inc. | 1.750% | 5/4/30 | 10,755 | 9,544 | ||
Texas Instruments Inc. | 1.900% | 9/15/31 | 10,000 | 8,873 | ||
7 | TSMC Global Ltd. | 4.625% | 7/22/32 | 5,670 | 5,842 | |
Verisk Analytics Inc. | 4.125% | 3/15/29 | 22,755 | 22,532 | ||
Visa Inc. | 1.100% | 2/15/31 | 10,000 | 8,364 | ||
VMware Inc. | 4.650% | 5/15/27 | 9,800 | 9,945 | ||
VMware Inc. | 3.900% | 8/21/27 | 57,562 | 56,618 | ||
VMware Inc. | 1.800% | 8/15/28 | 41,394 | 35,432 | ||
VMware Inc. | 4.700% | 5/15/30 | 40,665 | 39,963 | ||
Workday Inc. | 3.700% | 4/1/29 | 18,140 | 17,513 | ||
1,802,029 | ||||||
Utilities (5.5%) | ||||||
AEP Transmission Co. LLC | 3.650% | 4/1/50 | 3,280 | 2,855 | ||
12 | AGI Finance Pty Ltd. | 1.815% | 11/23/28 | 3,390 | 1,921 | |
8,12 | AGI Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.000% | 2.962% | 1/8/26 | 22,260 | 15,353 | |
Alabama Power Co. | 3.050% | 3/15/32 | 3,300 | 3,153 | ||
Ameren Corp. | 1.750% | 3/15/28 | 20,321 | 17,982 | ||
Ameren Corp. | 3.500% | 1/15/31 | 20,245 | 19,250 | ||
Ameren Illinois Co. | 1.550% | 11/15/30 | 9,785 | 8,317 | ||
American Water Capital Corp. | 2.800% | 5/1/30 | 4,000 | 3,704 | ||
American Water Capital Corp. | 4.450% | 6/1/32 | 5,000 | 5,169 | ||
Appalachian Power Co. | 4.500% | 8/1/32 | 22,030 | 22,185 | ||
Baltimore Gas and Electric Co. | 4.550% | 6/1/52 | 4,610 | 4,693 | ||
Berkshire Hathaway Energy Co. | 3.700% | 7/15/30 | 25,632 | 25,508 | ||
Berkshire Hathaway Energy Co. | 1.650% | 5/15/31 | 5,000 | 4,207 | ||
7 | Berkshire Hathaway Energy Co. | 4.600% | 5/1/53 | 3,450 | 3,479 | |
7 | Calpine Corp. | 5.125% | 3/15/28 | 3,930 | 3,695 | |
CenterPoint Energy Houston Electric LLC | 2.350% | 4/1/31 | 9,920 | 8,942 | ||
CenterPoint Energy Houston Electric LLC | 3.000% | 3/1/32 | 12,002 | 11,355 | ||
CenterPoint Energy Inc. | 4.250% | 11/1/28 | 7,193 | 7,101 | ||
CenterPoint Energy Inc. | 2.950% | 3/1/30 | 11,305 | 10,411 | ||
CenterPoint Energy Inc. | 2.650% | 6/1/31 | 19,800 | 17,576 | ||
CenterPoint Energy Resources Corp. | 1.750% | 10/1/30 | 9,000 | 7,622 | ||
CenterPoint Energy Resources Corp. | 4.400% | 7/1/32 | 5,000 | 5,152 | ||
10 | Centrica plc | 4.375% | 3/13/29 | 4,100 | 5,180 | |
7 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 2,248 | 2,182 | |
CMS Energy Corp. | 4.750% | 6/1/50 | 15,000 | 13,892 | ||
Comision Federal de Electricidad | 4.688% | 5/15/29 | 6,658 | 6,138 | ||
Comision Federal de Electricidad | 3.348% | 2/9/31 | 3,890 | 3,109 | ||
7 | Comision Federal de Electricidad | 3.875% | 7/26/33 | 7,250 | 5,742 | |
Comision Federal de Electricidad | 3.875% | 7/26/33 | 472 | 379 | ||
Commonwealth Edison Co. | 3.150% | 3/15/32 | 11,850 | 11,296 | ||
Connecticut Light and Power Co. | 2.050% | 7/1/31 | 3,000 | 2,642 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Consolidated Edison Co. of New York Inc. | 3.350% | 4/1/30 | 10,000 | 9,688 | ||
4 | Consorcio Transmantaro SA | 4.700% | 4/16/34 | 1,500 | 1,389 | |
12 | DBNGP Finance Co. Pty Ltd. | 4.225% | 5/28/25 | 30,550 | 21,197 | |
Dominion Energy Inc. | 3.375% | 4/1/30 | 45,450 | 43,178 | ||
Dominion Energy Inc. | 2.250% | 8/15/31 | 5,000 | 4,317 | ||
Dominion Energy South Carolina Inc. | 2.300% | 12/1/31 | 11,291 | 10,010 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 3,470 | 4,177 | ||
DTE Electric Co. | 2.250% | 3/1/30 | 24,694 | 22,371 | ||
DTE Electric Co. | 2.625% | 3/1/31 | 11,500 | 10,615 | ||
DTE Electric Co. | 3.000% | 3/1/32 | 7,500 | 7,076 | ||
DTE Energy Co. | 3.400% | 6/15/29 | 25,883 | 24,450 | ||
DTE Energy Co. | 2.950% | 3/1/30 | 13,783 | 12,585 | ||
Duke Energy Carolinas LLC | 3.950% | 11/15/28 | 15,378 | 15,691 | ||
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 11,375 | 10,463 | ||
Duke Energy Carolinas LLC | 2.450% | 2/1/30 | 25,081 | 23,026 | ||
Duke Energy Carolinas LLC | 2.550% | 4/15/31 | 7,190 | 6,551 | ||
Duke Energy Carolinas LLC | 2.850% | 3/15/32 | 8,250 | 7,651 | ||
Duke Energy Carolinas NC Storm Funding LLC | 1.679% | 7/1/33 | 2,253 | 2,099 | ||
9 | Duke Energy Corp. | 3.100% | 6/15/28 | 10,894 | 11,551 | |
Duke Energy Corp. | 2.450% | 6/1/30 | 17,000 | 14,997 | ||
Duke Energy Corp. | 2.550% | 6/15/31 | 20,000 | ��� 17,523 | ||
Duke Energy Florida LLC | 2.500% | 12/1/29 | 25,380 | 23,373 | ||
Duke Energy Florida LLC | 1.750% | 6/15/30 | 34,710 | 29,870 | ||
Duke Energy Florida LLC | 2.400% | 12/15/31 | 10,000 | 8,916 | ||
Duke Energy Ohio Inc. | 2.125% | 6/1/30 | 11,650 | 10,158 | ||
Duke Energy Progress LLC | 3.700% | 9/1/28 | 6,446 | 6,475 | ||
Duke Energy Progress LLC | 3.450% | 3/15/29 | 4,221 | 4,142 | ||
Duke Energy Progress LLC | 2.000% | 8/15/31 | 12,500 | 10,837 | ||
Duke Energy Progress LLC | 3.400% | 4/1/32 | 15,000 | 14,550 | ||
10 | E.ON International Finance BV | 6.750% | 1/27/39 | 100 | 154 | |
9 | E.ON SE | 0.000% | 12/18/23 | 800 | 804 | |
Edison International | 5.750% | 6/15/27 | 9,000 | 9,334 | ||
Edison International | 4.125% | 3/15/28 | 2,000 | 1,921 | ||
7 | Electricite de France SA | 4.500% | 9/21/28 | 5,000 | 5,017 | |
9 | Engie SA | 2.000% | 9/28/37 | 3,600 | 3,087 | |
Entergy Corp. | 1.900% | 6/15/28 | 11,000 | 9,787 | ||
Entergy Corp. | 2.800% | 6/15/30 | 16,000 | 14,160 | ||
Entergy Corp. | 2.400% | 6/15/31 | 11,000 | 9,291 | ||
Entergy Louisiana LLC | 3.250% | 4/1/28 | 8,150 | 7,847 | ||
Entergy Louisiana LLC | 1.600% | 12/15/30 | 5,050 | 4,190 | ||
Entergy Texas Inc. | 4.000% | 3/30/29 | 3,129 | 3,126 | ||
Entergy Texas Inc. | 1.750% | 3/15/31 | 5,000 | 4,193 | ||
Eskom Holdings SOC Ltd. | 7.125% | 2/11/25 | 2,800 | 2,612 | ||
Evergy Inc. | 2.900% | 9/15/29 | 23,000 | 20,842 | ||
Eversource Energy | 1.650% | 8/15/30 | 16,165 | 13,412 | ||
Eversource Energy | 2.550% | 3/15/31 | 3,000 | 2,644 | ||
Eversource Energy | 3.375% | 3/1/32 | 15,000 | 14,064 | ||
Exelon Corp. | 4.050% | 4/15/30 | 45,000 | 44,864 | ||
7 | Exelon Corp. | 3.350% | 3/15/32 | 28,000 | 26,282 | |
FirstEnergy Corp. | 4.400% | 7/15/27 | 3,705 | 3,631 | ||
FirstEnergy Corp. | 2.650% | 3/1/30 | 21,911 | 19,259 | ||
FirstEnergy Corp. | 2.250% | 9/1/30 | 7,896 | 6,700 | ||
FirstEnergy Corp. | 3.400% | 3/1/50 | 1,210 | 905 | ||
Florida Power & Light Co. | 2.450% | 2/3/32 | 22,500 | 20,605 | ||
ITC Holdings Corp. | 3.350% | 11/15/27 | 18,745 | 18,163 | ||
9 | National Grid plc | 0.750% | 9/1/33 | 10,300 | 8,452 | |
National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 11,680 | 11,504 | ||
National Rural Utilities Cooperative Finance Corp. | 3.900% | 11/1/28 | 13,055 | 13,085 | ||
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 32,016 | 31,246 | ||
Nevada Power Co. | 2.400% | 5/1/30 | 11,640 | 10,489 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 31,000 | 27,845 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 8,191 | 7,899 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 25,000 | 23,056 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 35,000 | 30,804 | ||
NextEra Energy Capital Holdings Inc. | 2.440% | 1/15/32 | 15,850 | 13,850 | ||
NextEra Energy Capital Holdings Inc. | 5.000% | 7/15/32 | 15,630 | 16,735 | ||
7 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 3,378 | 3,339 | |
NiSource Inc. | 2.950% | 9/1/29 | 5,136 | 4,717 | ||
NRG Energy Inc. | 6.625% | 1/15/27 | 471 | 478 | ||
NSTAR Electric Co. | 3.950% | 4/1/30 | 1,460 | 1,475 | ||
NSTAR Electric Co. | 1.950% | 8/15/31 | 850 | 736 | ||
NTPC Ltd. | 4.250% | 2/26/26 | 6,250 | 6,253 | ||
Ohio Power Co. | 1.625% | 1/15/31 | 18,491 | 15,441 | ||
Oncor Electric Delivery Co. LLC | 5.750% | 3/15/29 | 19,475 | 21,589 | ||
Pacific Gas and Electric Co. | 2.100% | 8/1/27 | 14,960 | 12,819 | ||
Pacific Gas and Electric Co. | 3.300% | 12/1/27 | 23,191 | 20,698 | ||
Pacific Gas and Electric Co. | 3.000% | 6/15/28 | 70,397 | 61,827 | ||
Pacific Gas and Electric Co. | 2.500% | 2/1/31 | 67,175 | 53,684 | ||
Pacific Gas and Electric Co. | 3.250% | 6/1/31 | 20,357 | 17,070 | ||
PacifiCorp | 3.500% | 6/15/29 | 19,585 | 19,185 | ||
PacifiCorp | 2.700% | 9/15/30 | 13,815 | 12,661 | ||
PECO Energy Co. | 4.600% | 5/15/52 | 1,500 | 1,566 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.450% | 5/21/28 | 2,205 | 2,251 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 3.000% | 6/30/30 | 4,500 | 3,824 | ||
7,9 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 13,940 | 10,862 | |
Piedmont Natural Gas Co. Inc. | 3.500% | 6/1/29 | 10,000 | 9,577 | ||
Piedmont Natural Gas Co. Inc. | 2.500% | 3/15/31 | 5,000 | 4,387 | ||
Public Service Co. of Colorado | 1.900% | 1/15/31 | 300 | 262 | ||
Public Service Co. of Colorado | 1.875% | 6/15/31 | 6,400 | 5,559 | ||
Public Service Co. of Colorado | 4.100% | 6/1/32 | 5,500 | 5,671 | ||
Public Service Electric and Gas Co. | 3.200% | 5/15/29 | 17,458 | 17,003 | ||
Public Service Electric and Gas Co. | 2.450% | 1/15/30 | 10,900 | 10,060 | ||
Public Service Electric and Gas Co. | 1.900% | 8/15/31 | 12,000 | 10,477 | ||
Public Service Enterprise Group Inc. | 1.600% | 8/15/30 | 53,551 | 44,337 | ||
Public Service Enterprise Group Inc. | 2.450% | 11/15/31 | 5,000 | 4,368 | ||
Sempra Energy | 3.700% | 4/1/29 | 20,000 | 19,454 | ||
Southern California Edison Co. | 4.200% | 3/1/29 | 9,000 | 8,974 | ||
Southern California Edison Co. | 2.250% | 6/1/30 | 10,000 | 8,666 | ||
Southern California Edison Co. | 2.500% | 6/1/31 | 8,000 | 6,951 | ||
Southern California Edison Co. | 2.750% | 2/1/32 | 7,000 | 6,175 | ||
Southern California Gas Co. | 2.550% | 2/1/30 | 5,790 | 5,359 | ||
Southern Co. | 1.750% | 3/15/28 | 961 | 847 | ||
Southern Co. | 3.700% | 4/30/30 | 2,415 | 2,345 | ||
Southern Co. Gas Capital Corp. | 1.750% | 1/15/31 | 10,833 | 8,906 | ||
Southwestern Electric Power Co. | 4.100% | 9/15/28 | 26,793 | 26,708 | ||
State Grid Overseas Investment BVI Ltd. | 3.750% | 5/2/23 | 5,245 | 5,270 | ||
10 | Thames Water Utilities Finance plc | 5.125% | 9/28/37 | 200 | 269 | |
Transelec SA | 3.875% | 1/12/29 | 1,500 | 1,388 | ||
Union Electric Co. | 3.500% | 3/15/29 | 8,552 | 8,432 | ||
Union Electric Co. | 2.950% | 3/15/30 | 18,000 | 16,959 | ||
Virginia Electric and Power Co. | 3.800% | 4/1/28 | 6,850 | 6,888 | ||
Virginia Electric and Power Co. | 2.300% | 11/15/31 | 3,000 | 2,664 | ||
Virginia Electric and Power Co. | 2.400% | 3/30/32 | 3,000 | 2,688 | ||
7 | Vistra Operations Co. LLC | 5.500% | 9/1/26 | 2,379 | 2,409 | |
7 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 1,769 | 1,774 | |
7 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 995 | 981 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
WEC Energy Group Inc. | 1.375% | 10/15/27 | 35,195 | 31,284 | ||
WEC Energy Group Inc. | 2.200% | 12/15/28 | 10,000 | 9,021 | ||
WEC Energy Group Inc. | 1.800% | 10/15/30 | 8,290 | 6,977 | ||
Xcel Energy Inc. | 4.000% | 6/15/28 | 10,000 | 10,017 | ||
Xcel Energy Inc. | 2.600% | 12/1/29 | 5,000 | 4,518 | ||
Xcel Energy Inc. | 2.350% | 11/15/31 | 21,000 | 18,122 | ||
Xcel Energy Inc. | 4.600% | 6/1/32 | 12,000 | 12,430 | ||
1,729,627 | ||||||
Total Corporate Bonds (Cost $28,917,839) | 26,194,640 | |||||
Floating Rate Loan Interests (0.1%) | ||||||
8 | AAdvantage Loyalty IP Ltd. Term Loan, 3M USD LIBOR + 4.750% | 7.460% | 4/20/28 | 890 | 872 | |
8 | Axalta Coating Systems US Holdings Inc. Term Loan B-3, 3M USD LIBOR + 1.750% | 4.000% | 6/1/24 | 1,556 | 1,543 | |
8 | Bausch Health Cos. Inc. Term Loan B, TSFR1M + 5.250% | 7.174% | 2/1/27 | 2,995 | 2,511 | |
8 | CDK Global Inc. Term Loan B, TSFR3M + 4.500% | 6.609% | 7/6/29 | 1,035 | 1,004 | |
8 | Clark Equipment Co. Term Loan B, TSFR3M + 2.500% | 4.654% | 4/20/29 | 417 | 403 | |
8 | DaVita Inc. Term Loan B, 1M USD LIBOR +1.750% | 4.273% | 11/30/25 | 1,985 | 1,876 | |
8 | DirecTV Financing LLC Term Loan, 1M USD LIBOR + 5.000% | 7.372% | 8/2/27 | 2,786 | 2,625 | |
8 | First Student Bidco Inc. Term Loan B, TSFR3M + 4.000% | 6.154% | 7/21/28 | 2,848 | 2,699 | |
8 | First Student Bidco Inc. Term Loan C, TSFR3M + 4.000% | 6.154% | 7/21/28 | 198 | 187 | |
8 | Hilton Worldwide Finance LLC Term Loan B-2, 1M USD LIBOR + 1.750% | 4.009% | 6/22/26 | 1,045 | 1,027 | |
8 | McAfee Corp. Term Loan B, TSFR1M + 4.000% | 6.407% | 3/1/29 | 1,075 | 1,024 | |
8 | Medline Borrower LP Term Loan B, 1M USD LIBOR + 3.250% | 5.622% | 10/23/28 | 1,317 | 1,256 | |
8 | Setanta Aircraft Leasing DAC Term Loan B, 3M USD LIBOR + 2.000% | 4.250% | 11/5/28 | 11,145 | 10,920 | |
8 | SkyMiles IP Ltd. Term Loan B, 3M USD LIBOR + 3.750% | 6.460% | 10/20/27 | 905 | 914 | |
8 | Southwestern Energy Co. Term Loan, TSFR3M + 2.500% | 4.704% | 6/22/27 | 826 | 815 | |
8 | SS&C Technologies Inc. Term Loan B-6, TSFR1M + 2.250% | 4.677% | 3/22/29 | 676 | 660 | |
8 | SS&C Technologies Inc. Term Loan B-7, TSFR1M + 2.250% | 4.677% | 3/22/29 | 969 | 945 | |
8 | Wyndham Hotels & Resorts Inc. Term Loan B, 1M USD LIBOR + 1.750% | 4.122% | 5/30/25 | ��1,434 | 1,413 | |
Total Floating Rate Loan Interests (Cost $33,549) | 32,694 | |||||
Sovereign Bonds (3.2%) | ||||||
7 | Banque Ouest Africaine de Developpement | 5.000% | 7/27/27 | 626 | 574 | |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 8,000 | 8,004 | |
Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 3,226 | 3,183 | ||
7 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 8,234 | 6,862 | |
Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 1,136 | 1,134 | ||
7 | Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 13,096 | 9,770 | |
Dominican Republic | 5.950% | 1/25/27 | 2,360 | 2,338 | ||
7 | Dominican Republic | 5.500% | 2/22/29 | 46,390 | 43,105 | |
Dominican Republic | 4.500% | 1/30/30 | 6,950 | 6,004 | ||
7 | Dominican Republic | 6.000% | 2/22/33 | 8,962 | 8,125 | |
7 | Emirate of Abu Dhabi | 4.050% | 7/7/32 | 15,165 | 15,790 | |
Export-Import Bank of India | 3.875% | 3/12/24 | 3,900 | 3,885 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Export-Import Bank of India | 3.875% | 2/1/28 | 9,675 | 9,354 | |
Export-Import Bank of India | 3.875% | 2/1/28 | 10,000 | 9,668 | ||
Federative Republic of Brazil | 4.750% | 1/14/50 | 7,184 | 5,395 | ||
7 | Fondo MIVIVIENDA SA | 4.625% | 4/12/27 | 8,829 | 8,478 | |
7 | Government of Bermuda | 4.854% | 2/6/24 | 3,517 | 3,556 | |
Government of Bermuda | 4.854% | 2/6/24 | 11,494 | 11,654 | ||
Government of Bermuda | 4.750% | 2/15/29 | 12,860 | 13,200 | ||
7,9 | Kingdom of Morocco | 2.000% | 9/30/30 | 28,190 | 22,163 | |
Korea Hydro & Nuclear Power Co. Ltd. | 3.000% | 9/19/22 | 2,800 | 2,799 | ||
16 | Mexican Bonos | 7.750% | 5/29/31 | 700,000 | 32,427 | |
16 | Mexican Bonos | 10.000% | 11/20/36 | 783,860 | 42,641 | |
16 | Mexican Bonos | 7.750% | 11/13/42 | 775,000 | 34,255 | |
North American Development Bank | 2.400% | 10/26/22 | 343 | 343 | ||
9 | North Macedonia | 2.750% | 1/18/25 | 1,795 | 1,694 | |
7,9 | North Macedonia | 1.625% | 3/10/28 | 2,706 | 2,180 | |
Panama Bonos del Tesoro | 3.362% | 6/30/31 | 37,549 | 32,377 | ||
7 | Perusahaan Penerbit SBSN Indonesia III | 4.700% | 6/6/32 | 9,560 | 9,894 | |
Republic of Chile | 2.750% | 1/31/27 | 19,321 | 18,447 | ||
Republic of Chile | 3.240% | 2/6/28 | 58,942 | 56,887 | ||
Republic of Chile | 2.550% | 7/27/33 | 11,265 | 9,572 | ||
Republic of Colombia | 4.000% | 2/26/24 | 3,675 | 3,612 | ||
Republic of Colombia | 4.500% | 1/28/26 | 54,771 | 52,545 | ||
Republic of Colombia | 3.875% | 4/25/27 | 12,103 | 11,076 | ||
Republic of Colombia | 4.500% | 3/15/29 | 473 | 428 | ||
Republic of Colombia | 4.125% | 5/15/51 | 1,007 | 663 | ||
Republic of Hungary | 5.375% | 2/21/23 | 17,268 | 17,418 | ||
Republic of Hungary | 5.750% | 11/22/23 | 22,042 | 22,503 | ||
9 | Republic of Hungary | 1.125% | 4/28/26 | 11,200 | 10,645 | |
7 | Republic of Hungary | 5.250% | 6/16/29 | 7,540 | 7,654 | |
7 | Republic of Hungary | 2.125% | 9/22/31 | 12,824 | 10,565 | |
Republic of Indonesia | 3.550% | 3/31/32 | 9,640 | 9,391 | ||
9 | Republic of Korea | 0.000% | 10/15/26 | 9,000 | 8,620 | |
Republic of Panama | 4.000% | 9/22/24 | 3,960 | 3,972 | ||
Republic of Panama | 3.750% | 3/16/25 | 12,222 | 12,160 | ||
Republic of Panama | 7.125% | 1/29/26 | 7,954 | 8,688 | ||
Republic of Panama | 8.125% | 4/28/34 | 9,236 | 11,416 | ||
4 | Republic of Panama | 4.500% | 4/16/50 | 350 | 288 | |
4 | Republic of Panama | 3.870% | 7/23/60 | 15,221 | 11,083 | |
Republic of Paraguay | 5.000% | 4/15/26 | 2,904 | 2,991 | ||
Republic of Peru | 7.350% | 7/21/25 | 7,093 | 7,723 | ||
Republic of Peru | 2.392% | 1/23/26 | 4,562 | 4,326 | ||
Republic of Philippines | 3.229% | 3/29/27 | 590 | 589 | ||
9 | Republic of Philippines | 1.750% | 4/28/41 | 869 | 627 | |
9 | Republic of Serbia | 3.125% | 5/15/27 | 48,031 | 44,567 | |
Republic of Slovenia | 5.500% | 10/26/22 | 36,251 | 36,361 | ||
Republic of South Africa | 4.300% | 10/12/28 | 20,000 | 18,337 | ||
Republic of South Africa | 4.850% | 9/30/29 | 20,000 | 18,335 | ||
Republic of South Africa | 5.750% | 9/30/49 | 6,600 | 5,013 | ||
7 | Republic of Uzbekistan | 3.900% | 10/19/31 | 13,567 | 10,003 | |
Romania | 4.375% | 8/22/23 | 1,000 | 1,002 | ||
7 | Romania | 3.000% | 2/27/27 | 6,746 | 6,175 | |
7 | Romania | 5.250% | 11/25/27 | 16,379 | 16,224 | |
7,9 | Romania | 1.750% | 7/13/30 | 19,120 | 14,600 | |
9 | Romania | 1.750% | 7/13/30 | 9,040 | 6,903 | |
7,9 | Romania | 2.000% | 4/14/33 | 11,954 | 8,507 | |
7 | Romania | 6.000% | 5/25/34 | 10,615 | 10,292 | |
7,9 | Romania | 2.750% | 4/14/41 | 5,410 | 3,492 | |
9 | Romania | 2.750% | 4/14/41 | 3,506 | 2,265 | |
Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 15,057 | 14,622 | ||
Socialist Republic of Vietnam | 4.800% | 11/19/24 | 10,000 | 10,009 | ||
State of Israel | 4.500% | 4/3/20 | 8,277 | 7,662 | ||
9 | United Mexican States | 3.625% | 4/9/29 | 6,948 | 6,969 | |
United Mexican States | 4.500% | 4/22/29 | 61,429 | 61,452 | ||
United Mexican States | 2.659% | 5/24/31 | 11,176 | 9,580 | ||
United Mexican States | 4.400% | 2/12/52 | 26,000 | 20,708 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 18,889 | 13,417 | |
Total Sovereign Bonds (Cost $1,107,000) | 1,001,236 | |||||
Taxable Municipal Bonds (0.1%) | ||||||
17 | New Jersey Economic Development Authority Appropriations Revenue | 7.425% | 2/15/29 | 10,675 | 12,167 | |
New York City Transitional Finance Authority Future Tax Secured Income Tax Revenue | 5.125% | 2/1/24 | 1,500 | 1,537 | ||
New York State Dormitory Authority Lease Revenue | 3.892% | 12/1/24 | 2,000 | 2,031 | ||
New York State Urban Development Corp. Income Tax Revenue | 3.900% | 3/15/33 | 400 | 393 | ||
New York Transportation Development Corp. Miscellaneous Revenue | 4.248% | 9/1/35 | 4,335 | 4,311 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.859% | 12/1/24 | 2,000 | 2,117 | ||
San Diego County Regional Airport Authority Port, Airport & Marina Revenue | 5.594% | 7/1/43 | 6,045 | 6,104 | ||
Sonoma County CA Miscellaneous Revenue | 6.000% | 12/1/29 | 4,290 | 4,647 | ||
Texas GO, Prere. | 3.682% | 8/1/22 | 2,000 | 2,000 | ||
Texas Private Activity Bond Surface Transportation Corp. Highway Revenue | 3.922% | 12/31/49 | 8,550 | 7,467 | ||
Total Taxable Municipal Bonds (Cost $44,279) | 42,774 | |||||
Shares | ||||||
Temporary Cash Investments (1.5%) | ||||||
Money Market Fund (1.5%) | ||||||
18 | Vanguard Market Liquidity Fund (Cost $463,684) | 1.903% | 4,638,492 | 463,664 | ||
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 | 23 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 318,214 | 24 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 316,703 | 33 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | ||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 316,703 | 35 | |
Total Options Purchased (Cost $5,605) | 115 | |||||
Total Investments (101.7%) (Cost $35,042,425) | 32,036,396 | |||||
Other Assets and Liabilities—Net (-1.7%) | (524,989) | |||||
Net Assets (100%) | 31,511,407 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $6,268,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
2 | Securities with a value of $75,436,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | Securities with a value of $37,802,000 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2022. |
6 | 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. |
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, 2022, the aggregate value was $2,584,359,000, representing 8.2% of net assets. |
8 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
9 | Face amount denominated in euro. |
10 | Face amount denominated in British pounds. |
11 | Guaranteed by the Republic of Azerbaijan. |
12 | Face amount denominated in Australian dollars. |
13 | Guaranteed by multiple countries. |
14 | Non-income-producing security—security in default. |
15 | Security value determined using significant unobservable inputs. |
16 | Face amount denominated in Mexican pesos. |
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. |
1M—1-month. | |
3M—3-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank NA. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. | |
Prere.—Prerefunded. | |
TSFR1M—CME Term SOFR 1 Month. | |
TSFR3M—CME Term SOFR 3 Month. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
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 2022 | 9,014 | 1,091,962 | 23,531 |
Ultra 10-Year U.S. Treasury Note | September 2022 | 8,493 | 1,114,706 | 23,369 |
46,900 | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | (1,743) | (366,833) | (1,722) |
5-Year U.S. Treasury Note | September 2022 | (6,319) | (718,638) | (4,101) |
AUD 3-Year Treasury Bond | September 2022 | (1,075) | (82,048) | (1,352) |
AUD 10-Year Treasury Bond | September 2022 | (681) | (59,461) | (2,508) |
Euro-Bobl | September 2022 | (1,174) | (153,429) | (3,857) |
Euro-Bund | September 2022 | (730) | (117,615) | (5,981) |
Euro-Buxl | September 2022 | (94) | (17,850) | (1,531) |
Euro-Schatz | September 2022 | (31) | (3,489) | (38) |
Long Gilt | September 2022 | (294) | (42,312) | (381) |
Long U.S. Treasury Bond | September 2022 | (393) | (56,592) | (2,475) |
Ultra Long U.S. Treasury Bond | September 2022 | (1,257) | (198,999) | (2,098) |
(26,044) | ||||
20,856 |
Forward Currency Contracts | ||||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | |||||
Counterparty | Receive | Deliver | ||||||
BNP Paribas | 9/21/22 | AUD | 3,444 | USD | 2,394 | 15 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | AUD | 3,028 | USD | 2,188 | — | (70) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | AUD | 2,532 | USD | 1,706 | 64 | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | AUD | 2,207 | USD | 1,545 | — | (1) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | CAD | 3 | USD | 2 | — | — | |
Standard Chartered Bank | 9/21/22 | EUR | 20,598 | USD | 21,718 | — | (589) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | EUR | 5,677 | USD | 5,939 | — | (115) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | EUR | 5,335 | USD | 5,458 | 14 | — | |
Bank of New York | 9/21/22 | EUR | 5,114 | USD | 5,352 | — | (106) | |
Bank of America, N.A. | 9/21/22 | EUR | 2,630 | USD | 2,751 | — | (53) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | EUR | 1,688 | USD | 1,700 | 31 | — | |
State Street Bank & Trust Co. | 9/21/22 | GBP | 16,146 | USD | 19,355 | 331 | — | |
Toronto-Dominion Bank | 9/21/22 | GBP | 11,412 | USD | 13,718 | 196 | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | GBP | 3,655 | USD | 4,436 | 20 | — | |
Deutsche Bank AG | 9/21/22 | GBP | 1,489 | USD | 1,818 | — | (3) | |
Standard Chartered Bank | 9/21/22 | GBP | 1,459 | USD | 1,737 | 42 | — | |
Royal Bank of Canada | 9/21/22 | GBP | 1,316 | USD | 1,586 | 19 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | MXN | 67,632 | USD | 3,384 | — | (99) | |
Credit Agricole CIB | 9/21/22 | ZAR | 23,961 | USD | 1,546 | — | (113) |
Forward Currency Contracts (continued) | ||||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | |||||
Counterparty | Receive | Deliver | ||||||
State Street Bank & Trust Co. | 9/21/22 | USD | 110,197 | AUD | 154,822 | 1,932 | — | |
State Street Bank & Trust Co. | 9/21/22 | USD | 107,868 | AUD | 154,667 | — | (289) | |
Bank of Montreal | 9/21/22 | USD | 109,749 | AUD | 154,049 | 2,024 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 10,163 | AUD | 14,570 | — | (26) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 2,656 | AUD | 3,888 | — | (64) | |
Deutsche Bank AG | 9/21/22 | USD | 1,784 | AUD | 2,573 | — | (15) | |
Bank of America, N.A. | 9/21/22 | USD | 1,204 | AUD | 1,754 | — | (22) | |
Bank of New York | 9/21/22 | USD | 1,018 | AUD | 1,464 | — | (5) | |
Bank of America, N.A. | 9/21/22 | USD | 191,558 | EUR | 178,000 | 8,962 | — | |
Credit Agricole CIB | 9/21/22 | USD | 175,934 | EUR | 163,104 | 8,618 | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 12,407 | EUR | 11,767 | 338 | — | |
Standard Chartered Bank | 9/21/22 | USD | 11,756 | EUR | 11,188 | 279 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 5,456 | EUR | 5,207 | 115 | — | |
Barclays Bank plc | 9/21/22 | USD | 5,120 | EUR | 5,001 | — | (10) | |
Standard Chartered Bank | 9/21/22 | USD | 3,395 | EUR | 3,344 | — | (35) | |
Deutsche Bank AG | 9/21/22 | USD | 3,411 | EUR | 3,337 | — | (12) | |
Bank of America, N.A. | 9/21/22 | USD | 3,183 | EUR | 3,146 | — | (44) | |
Barclays Bank plc | 9/21/22 | USD | 2,756 | EUR | 2,682 | 5 | — | |
BNP Paribas | 9/21/22 | USD | 2,579 | EUR | 2,542 | — | (29) | |
Bank of New York | 9/21/22 | USD | 2,295 | EUR | 2,254 | — | (18) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 2,061 | EUR | 2,021 | — | (13) | |
HSBC Bank plc | 9/21/22 | USD | 1,549 | EUR | 1,454 | 57 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 912 | EUR | 892 | — | (3) | |
HSBC Bank plc | 9/21/22 | USD | 148 | EUR | 145 | — | (2) | |
Standard Chartered Bank | 9/21/22 | USD | 70,733 | GBP | 56,822 | 1,452 | — | |
State Street Bank & Trust Co. | 9/21/22 | USD | 70,448 | GBP | 56,595 | 1,443 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 4,679 | GBP | 3,855 | — | (20) | |
Bank of America, N.A. | 9/21/22 | USD | 2,583 | GBP | 2,152 | — | (41) | |
Bank of New York | 9/21/22 | USD | 1,996 | GBP | 1,674 | — | (45) | |
Deutsche Bank AG | 9/21/22 | USD | 1,358 | GBP | 1,139 | — | (31) | |
Standard Chartered Bank | 9/21/22 | USD | 1,124 | GBP | 946 | — | (29) | |
State Street Bank & Trust Co. | 9/21/22 | USD | 929 | GBP | 777 | — | (19) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 63 | JPY | 8,326 | — | — | |
Bank of America, N.A. | 9/21/22 | USD | 87,804 | MXN | 1,755,552 | 2,519 | — | |
Toronto-Dominion Bank | 9/21/22 | USD | 31,270 | MXN | 658,083 | — | (700) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 631 | MXN | 13,099 | — | (5) | |
28,476 | (2,626) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
MXN—Mexican peso. |
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-S38-V1 | 6/22/27 | USD | 2,572,250 | 1.000 | 25,921 | (3,784) |
Credit Protection Purchased | ||||||
CDX-NA-HY-S37-V2 | 12/22/26 | USD | 18,325 | (5.000) | (541) | 1,194 |
25,380 | (2,590) |
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./Baa3 | 12/23/25 | GSI | 1,630 | 1.000 | (55) | 8 | — | (63) |
America Movil SAB de CV/Baa1 | 12/21/22 | BARC | 15,000 | 1.000 | 62 | (11) | 73 | — |
American Express Co./A2 | 12/23/25 | GSI | 1,630 | 1.000 | 34 | 37 | — | (3) |
American International Group Inc./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 22 | 16 | 6 | — |
Berkshire Hathaway Inc./Aa2 | 12/21/22 | BARC | 7,605 | 1.000 | 36 | 10 | 26 | — |
Berkshire Hathaway Inc./Aa2 | 12/21/24 | BARC | 19,400 | 1.000 | 405 | 275 | 130 | — |
Berkshire Hathaway Inc./Aa2 | 12/21/24 | JPMC | 9,400 | 1.000 | 196 | 129 | 67 | — |
Boeing Co./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | (26) | (6) | — | (20) |
Chubb INA Holdings Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 44 | 41 | 3 | — |
Comcast Corp./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 29 | 33 | — | (4) |
Credit Suisse Group Funding Guernsey Ltd./WR | 6/22/27 | JPMC | 4,9002 | 1.000 | (204) | (58) | — | (146) |
Credit Suisse Group Funding Guernsey Ltd./WR | 6/22/27 | JPMC | 2,4002 | 1.000 | (100) | (38) | — | (62) |
CVS Health Corp./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 33 | 26 | 7 | — |
Dominion Energy Inc./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 37 | 32 | 5 | — |
Dow Chemical Co./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 3 | 21 | — | (18) |
Enbridge Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 15 | 19 | — | (4) |
Federation of Malaysia/A3 | 6/22/27 | JPMC | 7,020 | 1.000 | 79 | 111 | — | (32) |
General Electric Co./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | (5) | 6 | — | (11) |
General Motors Co./Baa3 | 12/23/25 | GSI | 1,630 | 1.000 | (32) | (1) | — | (31) |
International Business Machines Corp./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 32 | 34 | — | (2) |
Kroger Co./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 34 | 26 | 8 | — |
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) |
Lincoln National Corp./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 4 | 14 | — | (10) |
Lowe's Cos. Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 33 | 34 | — | (1) |
Marathon Petroleum Corp./Baa2 | 12/23/25 | GSI | 1,630 | 1.000 | 13 | 10 | 3 | — |
Marsh & McLennan Cos. Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 43 | 39 | 4 | — |
Metlife Inc./A3 | 6/21/24 | BARC | 24,300 | 1.000 | 323 | 8 | 315 | — |
Metlife Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 25 | 25 | — | — |
Mondelez International Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 33 | 30 | 3 | — |
Prudential Financial Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 25 | 25 | — | — |
Republic of Chile/A1 | 6/22/27 | CITNA | 6,360 | 1.000 | (73) | 61 | — | (134) |
Republic of Chile/A1 | 6/22/27 | JPMC | 10,450 | 1.000 | (120) | 133 | — | (253) |
Republic of Chile/A1 | 6/22/27 | MSCS | 55,000 | 1.000 | (491) | (1,023) | 532 | — |
Republic of Indonesia/Baa2 | 6/22/27 | BARC | 17,100 | 1.000 | (103) | 138 | — | (241) |
Republic of Indonesia/Baa2 | 6/22/27 | BARC | 15,000 | 1.000 | (91) | 40 | — | (131) |
Republic of Indonesia/Baa2 | 6/22/27 | GSI | 20,000 | 1.000 | (120) | 27 | — | (147) |
Republic of Indonesia/Baa2 | 6/22/27 | JPMC | 22,500 | 1.000 | (135) | 156 | — | (291) |
Republic of Mexico/Baa2 | 6/22/27 | BARC | 45,000 | 1.000 | (1,092) | (934) | — | (158) |
Republic of Mexico/Baa2 | 6/22/27 | GSI | 50,000 | 1.000 | (1,213) | (1,336) | 123 | — |
Republic of Mexico/Baa2 | 6/22/27 | GSI | 10,150 | 1.000 | (246) | (205) | — | (41) |
Republic of Mexico/Baa2 | 6/22/27 | MSCS | 514 | 1.000 | (338) | (507) | 169 | — |
Republic of Philippines/Baa2 | 6/22/27 | BARC | 1,000 | 1.000 | — | 10 | — | (10) |
Republic of Philippines/Baa2 | 6/22/27 | JPMC | 20,000 | 1.000 | (12) | 98 | — | (110) |
Republic of Philippines/Baa2 | 6/22/27 | JPMC | 7,000 | 1.000 | (5) | 59 | — | (64) |
Republic of Philippines/Baa2 | 6/22/27 | JPMC | 5,000 | 1.000 | (3) | 50 | — | (53) |
Simon Property Group LP/A3 | 12/23/25 | GSI | 1,630 | 1.000 | 7 | 16 | — | (9) |
UnitedHealth Group Inc./A3 | 12/23/25 | GSI | 1,630 | 1.000 | 39 | 36 | 3 | — |
Verizon Communications Inc./Baa1 | 12/21/22 | GSI | 15,585 | 1.000 | 47 | 21 | 26 | — |
Verizon Communications Inc./Baa1 | 12/23/25 | GSI | 1,630 | 1.000 | 5 | 25 | — | (20) |
Volkswagen International Finance NV/A3 | 6/22/27 | GSI | 11,0002 | 1.000 | (456) | (79) | — | (377) |
(3,262) | (2,319) | 1,503 | (2,446) |
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) |
Credit Protection Purchased | ||||||||
BASF SE | 6/22/27 | BNPSW | 6,8002 | (1.000) | 94 | (40) | 134 | — |
Deutsche Bank AG | 12/21/22 | JPMC | 9,115 | (1.000) | (11) | (3) | — | (8) |
Standard Chartered plc | 6/22/27 | JPMC | 6,8002 | (1.000) | (57) | (31) | — | (26) |
Standard Chartered plc | 6/22/27 | JPMC | 3,4002 | (1.000) | (28) | (8) | — | (20) |
(2) | (82) | 134 | (54) | |||||
(3,264) | (2,401) | 1,637 | (2,500) |
1 | Periodic premium received/paid quarterly. |
2 | Notional amount denominated in euro. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank NA. | |
GSI—Goldman Sachs International. | |
JPMC—JPMorgan Chase Bank, N.A. | |
MSCS—Morgan Stanley Capital Services LLC. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $34,578,741) | 31,572,732 |
Affiliated Issuers (Cost $463,684) | 463,664 |
Total Investments in Securities | 32,036,396 |
Investment in Vanguard | 1,171 |
Foreign Currency, at Value (Cost $6,072) | 6,118 |
Receivables for Investment Securities Sold | 1,046,270 |
Receivables for Accrued Income | 273,664 |
Receivables for Capital Shares Issued | 18,574 |
Swap Premiums Paid | 1,879 |
Variation Margin Receivable—Futures Contracts | 1,570 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 1,049 |
Unrealized Appreciation—Forward Currency Contracts | 28,476 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,637 |
Other Assets | 100 |
Total Assets | 33,416,904 |
Liabilities | |
Due to Custodian | 11,350 |
Payables for Investment Securities Purchased | 1,848,010 |
Payables for Capital Shares Redeemed | 24,451 |
Payables for Distributions | 10,854 |
Payables to Vanguard | 1,426 |
Swap Premiums Received | 4,280 |
Unrealized Depreciation—Forward Currency Contracts | 2,626 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 2,500 |
Total Liabilities | 1,905,497 |
Net Assets | 31,511,407 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 35,329,603 |
Total Distributable Earnings (Loss) | (3,818,196) |
Net Assets | 31,511,407 |
Investor Shares—Net Assets | |
Applicable to 179,889,368 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,592,597 |
Net Asset Value Per Share—Investor Shares | $8.85 |
Admiral Shares—Net Assets | |
Applicable to 3,379,433,835 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 29,918,810 |
Net Asset Value Per Share—Admiral Shares | $8.85 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 453,950 |
Total Income | 453,950 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,183 |
Management and Administrative— Investor Shares | 1,549 |
Management and Administrative— Admiral Shares | 13,170 |
Marketing and Distribution— Investor Shares | 62 |
Marketing and Distribution— Admiral Shares | 706 |
Custodian Fees | 95 |
Shareholders’ Reports—Investor Shares | 22 |
Shareholders’ Reports—Admiral Shares | 154 |
Trustees’ Fees and Expenses | 8 |
Other Expenses | 7 |
Total Expenses | 16,956 |
Expenses Paid Indirectly | (2) |
Net Expenses | 16,954 |
Net Investment Income | 436,996 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (722,077) |
Futures Contracts | (146,029) |
Options Purchased | (537) |
Options Written | 958 |
Swap Contracts | (18,233) |
Forward Currency Contracts | 50,974 |
Foreign Currencies | (11,651) |
Realized Net Gain (Loss) | (846,595) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (2,177,295) |
Futures Contracts | 29,588 |
Options Purchased | (842) |
Options Written | (21) |
Swap Contracts | (2,003) |
Forward Currency Contracts | 7,188 |
Foreign Currencies | 32 |
Change in Unrealized Appreciation (Depreciation) | (2,143,353) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,552,952) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,106,000, ($295,000), and ($24,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 436,996 | 832,700 | |
Realized Net Gain (Loss) | (846,595) | 481,908 | |
Change in Unrealized Appreciation (Depreciation) | (2,143,353) | (2,522,389) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,552,952) | (1,207,781) | |
Distributions | |||
Investor Shares | (23,256) | (80,528) | |
Admiral Shares | (443,300) | (1,370,724) | |
Total Distributions | (466,556) | (1,451,252) | |
Capital Share Transactions | |||
Investor Shares | (144,637) | (260,501) | |
Admiral Shares | (1,232,406) | 1,429,707 | |
Net Increase (Decrease) from Capital Share Transactions | (1,377,043) | 1,169,206 | |
Total Increase (Decrease) | (4,396,551) | (1,489,827) | |
Net Assets | |||
Beginning of Period | 35,907,958 | 37,397,785 | |
End of Period | 31,511,407 | 35,907,958 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $9.67 | $10.39 | $10.23 | $9.52 | $9.61 | $9.66 |
Investment Operations | ||||||
Net Investment Income1 | .116 | .218 | .252 | .300 | .300 | .277 |
Net Realized and Unrealized Gain (Loss) on Investments | (.811) | (.550) | .500 | .711 | (.087) | (.034) |
Total from Investment Operations | (.695) | (.332) | .752 | 1.011 | .213 | .243 |
Distributions | ||||||
Dividends from Net Investment Income | (.125) | (.224) | (.257) | (.301) | (.303) | (.274) |
Distributions from Realized Capital Gains | — | (.164) | (.335) | — | — | (.016) |
Total Distributions | (.125) | (.388) | (.592) | (.301) | (.303) | (.290) |
Net Asset Value, End of Period | $8.85 | $9.67 | $10.39 | $10.23 | $9.52 | $9.61 |
Total Return2 | -7.20% | -3.27% | 7.49% | 10.76% | 2.31% | 2.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,593 | $1,895 | $2,305 | $2,459 | $2,115 | $2,472 |
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 2.62% | 2.16% | 2.41% | 3.03% | 3.20% | 2.84% |
Portfolio Turnover Rate | 32%4 | 82%4 | 113%4,5 | 114%4 | 73%4 | 63% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 1%, 1%, 12%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity. |
5 | 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, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $9.67 | $10.39 | $10.23 | $9.52 | $9.61 | $9.66 |
Investment Operations | ||||||
Net Investment Income1 | .121 | .228 | .261 | .309 | .310 | .288 |
Net Realized and Unrealized Gain (Loss) on Investments | (.812) | (.550) | .501 | .712 | (.087) | (.039) |
Total from Investment Operations | (.691) | (.322) | .762 | 1.021 | .223 | .249 |
Distributions | ||||||
Dividends from Net Investment Income | (.129) | (.234) | (.267) | (.311) | (.313) | (.283) |
Distributions from Realized Capital Gains | — | (.164) | (.335) | — | — | (.016) |
Total Distributions | (.129) | (.398) | (.602) | (.311) | (.313) | (.299) |
Net Asset Value, End of Period | $8.85 | $9.67 | $10.39 | $10.23 | $9.52 | $9.61 |
Total Return2 | -7.15% | -3.17% | 7.59% | 10.87% | 2.41% | 2.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $29,919 | $34,013 | $35,093 | $31,146 | $27,011 | $27,000 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.72% | 2.25% | 2.50% | 3.13% | 3.30% | 2.94% |
Portfolio Turnover Rate | 32%4 | 82%4 | 113%4,5 | 114%4 | 73%4 | 63% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 1%, 1%, 12%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity. |
5 | 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets). |
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 | — | 3,437,668 | — | 3,437,668 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 863,605 | — | 863,605 |
Corporate Bonds | — | 26,194,637 | 3 | 26,194,640 |
Floating Rate Loan Interests | — | 32,694 | — | 32,694 |
Sovereign Bonds | — | 1,001,236 | — | 1,001,236 |
Taxable Municipal Bonds | — | 42,774 | — | 42,774 |
Temporary Cash Investments | 463,664 | — | — | 463,664 |
Options Purchased | — | 115 | — | 115 |
Total | 463,664 | 31,572,729 | 3 | 32,036,396 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 46,900 | — | — | 46,900 |
Forward Currency Contracts | — | 28,476 | — | 28,476 |
Swap Contracts | 1,1941 | 1,637 | — | 2,831 |
Total | 48,094 | 30,113 | — | 78,207 |
Liabilities | ||||
Futures Contracts1 | 26,044 | — | — | 26,044 |
Forward Currency Contracts | — | 2,626 | — | 2,626 |
Swap Contracts | 3,7841 | 2,500 | — | 6,284 |
Total | 29,828 | 5,126 | — | 34,954 |
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, 2022, 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) | 115 | — | — | 115 |
Swap Premiums Paid | — | — | 1,879 | 1,879 |
Unrealized Appreciation—Futures Contracts1 | 46,900 | — | — | 46,900 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | — | 1,194 | 1,194 |
Unrealized Appreciation—Forward Currency Contracts | — | 28,476 | — | 28,476 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | — | 1,637 | 1,637 |
Total Assets | 47,015 | 28,476 | 4,710 | 80,201 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Premiums Received | — | — | 4,280 | 4,280 |
Unrealized Depreciation—Futures Contracts1 | 26,044 | — | — | 26,044 |
Unrealized Depreciation—Centrally Cleared Swap Contracts1 | — | — | 3,784 | 3,784 |
Unrealized Depreciation—Forward Currency Contracts | — | 2,626 | — | 2,626 |
Unrealized Depreciation— Over-the-Counter Swap Contracts | — | — | 2,500 | 2,500 |
Total Liabilities | 26,044 | 2,626 | 10,564 | 39,234 |
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. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (146,029) | — | — | (146,029) |
Options Purchased | — | — | (537) | (537) |
Options Written | — | — | 958 | 958 |
Swap Contracts | (9,859) | — | (8,374) | (18,233) |
Forward Currency Contracts | — | 50,974 | — | 50,974 |
Realized Net Gain (Loss) on Derivatives | (155,888) | 50,974 | (7,953) | (112,867) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 29,588 | — | — | 29,588 |
Options Purchased | (735) | — | (107) | (842) |
Options Written | — | — | (21) | (21) |
Swap Contracts | 2,702 | — | (4,705) | (2,003) |
Forward Currency Contracts | — | 7,188 | — | 7,188 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 31,555 | 7,188 | (4,833) | 33,910 |
F. | As of July 31, 2022, 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 | 35,013,686 |
Gross Unrealized Appreciation | 199,883 |
Gross Unrealized Depreciation | (3,136,321) |
Net Unrealized Appreciation (Depreciation) | (2,936,438) |
G. | During the six months ended July 31, 2022, the fund purchased $7,160,499,000 of investment securities and sold $7,936,642,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,333,409,000 and $3,355,552,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 90,700 | 10,113 | 373,603 | 36,840 | |
Issued in Lieu of Cash Distributions | 20,658 | 2,312 | 71,993 | 7,179 | |
Redeemed | (255,995) | (28,542) | (706,097) | (69,748) | |
Net Increase (Decrease)—Investor Shares | (144,637) | (16,117) | (260,501) | (25,729) | |
Admiral Shares | |||||
Issued | 3,007,205 | 335,327 | 7,799,964 | 770,507 | |
Issued in Lieu of Cash Distributions | 379,371 | 42,469 | 1,182,976 | 118,004 | |
Redeemed | (4,618,982) | (515,852) | (7,553,233) | (747,411) | |
Net Increase (Decrease)—Admiral Shares | (1,232,406) | (138,056) | 1,429,707 | 141,100 |
I. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, that would require recognition or disclosure in these financial statements. |
Asset-Backed/Commercial Mortgage-Backed Securities | 0.3% |
Corporate Bonds - Communications | 5.7 |
Corporate Bonds - Consumer Discretionary | 6.3 |
Corporate Bonds - Consumer Staples | 3.5 |
Corporate Bonds - Energy | 5.6 |
Corporate Bonds - Financials | 18.6 |
Corporate Bonds - Health Care | 10.6 |
Corporate Bonds - Industrials | 4.6 |
Corporate Bonds - Materials | 0.8 |
Corporate Bonds - Real Estate | 0.5 |
Corporate Bonds - Technology | 10.5 |
Corporate Bonds - Utilities | 15.6 |
Floating Rate Loan Interests | 0.0 |
Sovereign Bonds | 1.4 |
Taxable Municipal Bonds | 9.6 |
U.S. Government and Agency Obligations | 6.4 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (6.2%) | ||||||
U.S. Government Securities (5.6%) | ||||||
United States Treasury Note/Bond | 2.625% | 4/15/25 | 8,000 | 7,949 | ||
United States Treasury Note/Bond | 2.875% | 6/15/25 | 3,000 | 3,003 | ||
United States Treasury Note/Bond | 0.750% | 5/31/26 | 2,000 | 1,853 | ||
United States Treasury Note/Bond | 1.250% | 11/30/26 | 10,100 | 9,491 | ||
United States Treasury Note/Bond | 1.875% | 2/28/27 | 2,200 | 2,121 | ||
1 | United States Treasury Note/Bond | 0.625% | 5/15/30 | 152,000 | 130,245 | |
United States Treasury Note/Bond | 1.625% | 5/15/31 | 15,000 | 13,805 | ||
United States Treasury Note/Bond | 1.250% | 8/15/31 | 7,000 | 6,215 | ||
United States Treasury Note/Bond | 1.375% | 11/15/31 | 59,000 | 52,786 | ||
United States Treasury Note/Bond | 1.875% | 2/15/32 | 5,000 | 4,667 | ||
United States Treasury Note/Bond | 4.375% | 2/15/38 | 60,329 | 72,706 | ||
1,2 | United States Treasury Note/Bond | 1.125% | 5/15/40 | 89,000 | 63,496 | |
United States Treasury Note/Bond | 1.125% | 8/15/40 | 79,390 | 56,292 | ||
United States Treasury Note/Bond | 1.375% | 11/15/40 | 50,000 | 36,883 | ||
United States Treasury Note/Bond | 2.250% | 5/15/41 | 3,700 | 3,163 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 17,750 | 13,853 | ||
United States Treasury Note/Bond | 3.750% | 8/15/41 | 56,094 | 60,634 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 56,000 | 45,684 | ||
United States Treasury Note/Bond | 2.375% | 2/15/42 | 65,810 | 57,255 | ||
United States Treasury Note/Bond | 3.125% | 2/15/42 | 38,500 | 37,838 | ||
United States Treasury Note/Bond | 3.250% | 5/15/42 | 25,295 | 25,319 | ||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 2,000 | 1,866 | ||
United States Treasury Note/Bond | 3.000% | 11/15/44 | 7,800 | 7,383 | ||
United States Treasury Note/Bond | 3.000% | 5/15/47 | 4,800 | 4,570 | ||
United States Treasury Note/Bond | 2.750% | 8/15/47 | 32,000 | 29,150 | ||
United States Treasury Note/Bond | 3.000% | 2/15/48 | 77,000 | 73,980 | ||
2 | United States Treasury Note/Bond | 2.000% | 8/15/51 | 31,800 | 25,177 | |
1,2 | United States Treasury Note/Bond | 1.875% | 11/15/51 | 55,500 | 42,657 | |
United States Treasury Note/Bond | 2.250% | 2/15/52 | 25,000 | 21,055 | ||
United States Treasury Note/Bond | 2.875% | 5/15/52 | 29,500 | 28,532 | ||
United States Treasury Strip Principal | 0.000% | 2/15/48 | 15,000 | 6,537 | ||
946,165 | ||||||
Agency Bonds and Notes (0.3%) | ||||||
Tennessee Valley Authority | 5.250% | 9/15/39 | 33,800 | 39,652 | ||
Tennessee Valley Authority | 4.250% | 9/15/65 | 10,000 | 10,687 | ||
50,339 | ||||||
Conventional Mortgage-Backed Securities (0.3%) | ||||||
3,4 | Fannie Mae Pool | 2.120% | 10/1/36 | 23,000 | 19,971 | |
3,4 | Fannie Mae Pool | 2.320% | 4/1/36 | 37,423 | 32,636 | |
52,607 | ||||||
Total U.S. Government and Agency Obligations (Cost $1,137,891) | 1,049,111 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.3%) | ||||||
3,4 | FHLMC Multifamily Structured Pass Through Certificates Class A2 Series K-1521 | 2.184% | 8/25/36 | 21,675 | 18,343 | |
3,4 | FHLMC Multifamily Structured Pass Through Certificates Class A2 Series K-1522 | 2.361% | 10/25/36 | 29,170 | 25,193 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $52,305) | 43,536 | |||||
Corporate Bonds (79.2%) | ||||||
Communications (5.5%) | ||||||
Activision Blizzard Inc. | 2.500% | 9/15/50 | 9,390 | 6,820 | ||
Alphabet Inc. | 1.900% | 8/15/40 | 33,925 | 25,456 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Alphabet Inc. | 2.250% | 8/15/60 | 17,455 | 12,152 | ||
America Movil SAB CV | 4.700% | 7/21/32 | 7,015 | 7,258 | ||
America Movil SAB de CV | 5.375% | 4/4/32 | 9,100 | 8,639 | ||
America Movil SAB de CV | 4.375% | 4/22/49 | 39,405 | 37,787 | ||
AT&T Inc. | 3.500% | 6/1/41 | 8,800 | 7,383 | ||
AT&T Inc. | 3.650% | 6/1/51 | 13,690 | 11,138 | ||
AT&T Inc. | 3.800% | 12/1/57 | 3,697 | 2,996 | ||
5 | Cable One Inc. | 4.000% | 11/15/30 | 265 | 239 | |
5 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.000% | 2/1/28 | 170 | 164 | |
5 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.750% | 3/1/30 | 440 | 400 | |
6 | CK Hutchison Group Telecom Finance SA | 2.625% | 10/17/34 | 420 | 399 | |
5 | Cogent Communications Group Inc. | 7.000% | 6/15/27 | 185 | 187 | |
Comcast Corp. | 5.650% | 6/15/35 | 17,896 | 20,351 | ||
Comcast Corp. | 6.500% | 11/15/35 | 4,320 | 5,282 | ||
Comcast Corp. | 3.200% | 7/15/36 | 16,810 | 14,988 | ||
Comcast Corp. | 3.900% | 3/1/38 | 39,335 | 37,144 | ||
Comcast Corp. | 4.600% | 10/15/38 | 19,518 | 19,763 | ||
Comcast Corp. | 3.250% | 11/1/39 | 3,000 | 2,583 | ||
Comcast Corp. | 3.750% | 4/1/40 | 17,100 | 15,647 | ||
Comcast Corp. | 4.500% | 1/15/43 | 1,184 | 1,127 | ||
Comcast Corp. | 4.750% | 3/1/44 | 5,045 | 5,079 | ||
Comcast Corp. | 3.400% | 7/15/46 | 14,755 | 12,262 | ||
Comcast Corp. | 4.000% | 8/15/47 | 18,875 | 17,180 | ||
Comcast Corp. | 3.969% | 11/1/47 | 85,688 | 77,505 | ||
Comcast Corp. | 4.000% | 3/1/48 | 12,025 | 10,932 | ||
Comcast Corp. | 4.700% | 10/15/48 | 8,835 | 8,943 | ||
Comcast Corp. | 3.999% | 11/1/49 | 30,176 | 27,354 | ||
Comcast Corp. | 3.450% | 2/1/50 | 8,500 | 7,076 | ||
Comcast Corp. | 2.800% | 1/15/51 | 7,000 | 5,190 | ||
Comcast Corp. | 2.887% | 11/1/51 | 36,933 | 27,682 | ||
Comcast Corp. | 2.450% | 8/15/52 | 2,000 | 1,388 | ||
Comcast Corp. | 4.049% | 11/1/52 | 3,837 | 3,497 | ||
Comcast Corp. | 2.937% | 11/1/56 | 114,849 | 83,652 | ||
Comcast Corp. | 4.950% | 10/15/58 | 1,266 | 1,318 | ||
Comcast Corp. | 2.650% | 8/15/62 | 6,000 | 4,064 | ||
Comcast Corp. | 2.987% | 11/1/63 | 118,190 | 85,133 | ||
5 | CSC Holdings LLC | 5.375% | 2/1/28 | 245 | 233 | |
5 | CSC Holdings LLC | 4.625% | 12/1/30 | 266 | 202 | |
5 | CSC Holdings LLC | 3.375% | 2/15/31 | 105 | 84 | |
5 | Deutsche Telekom AG | 3.625% | 1/21/50 | 3,180 | 2,626 | |
5 | Directv Financing LLC / Directv Financing Co-Obligor Inc. | 5.875% | 8/15/27 | 295 | 276 | |
Discovery Communications LLC | 4.650% | 5/15/50 | 9,000 | 7,426 | ||
5 | DISH DBS Corp. | 5.250% | 12/1/26 | 140 | 120 | |
5 | DISH DBS Corp. | 5.750% | 12/1/28 | 90 | 73 | |
DISH DBS Corp. | 5.125% | 6/1/29 | 168 | 110 | ||
Fox Corp. | 5.476% | 1/25/39 | 1,000 | 1,020 | ||
Fox Corp. | 5.576% | 1/25/49 | 966 | 984 | ||
5 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 45 | 44 | |
5 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 120 | 113 | |
5 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 315 | 266 | |
5 | Frontier Communications Holdings LLC | 8.750% | 5/15/30 | 85 | 90 | |
5 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 213 | 195 | |
5 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 115 | 96 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | Magallanes Inc. | 4.279% | 3/15/32 | 30,000 | 27,990 | |
5 | Magallanes Inc. | 5.050% | 3/15/42 | 1,250 | 1,110 | |
5 | Magallanes Inc. | 5.141% | 3/15/52 | 19,580 | 17,108 | |
5 | Magallanes Inc. | 5.391% | 3/15/62 | 10,460 | 9,173 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 13,827 | 13,473 | ||
5 | Netflix Inc. | 3.625% | 6/15/25 | 290 | 285 | |
Netflix Inc. | 4.875% | 4/15/28 | 1,150 | 1,141 | ||
Netflix Inc. | 5.875% | 11/15/28 | 115 | 119 | ||
Netflix Inc. | 6.375% | 5/15/29 | 850 | 908 | ||
5 | News Corp. | 3.875% | 5/15/29 | 340 | 314 | |
5 | News Corp. | 5.125% | 2/15/32 | 105 | 101 | |
5 | Nexstar Media Inc. | 5.625% | 7/15/27 | 192 | 192 | |
5 | Nexstar Media Inc. | 4.750% | 11/1/28 | 130 | 121 | |
Paramount Global Inc. | 4.375% | 3/15/43 | 11,065 | 8,888 | ||
Paramount Global Inc. | 4.950% | 5/19/50 | 3,000 | 2,582 | ||
5 | Scripps Escrow II Inc. | 5.375% | 1/15/31 | 155 | 131 | |
5 | Scripps Escrow Inc. | 5.875% | 7/15/27 | 155 | 148 | |
5 | Sirius XM Radio Inc. | 3.125% | 9/1/26 | 45 | 42 | |
5 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 99 | 99 | |
5 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 35 | 33 | |
Sprint Corp. | 7.125% | 6/15/24 | 345 | 361 | ||
Sprint Corp. | 7.625% | 3/1/26 | 400 | 439 | ||
Telefonica Emisiones SA | 4.665% | 3/6/38 | 950 | 868 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 2,000 | 1,814 | ||
Telefonica Emisiones SA | 4.895% | 3/6/48 | 2,475 | 2,148 | ||
Time Warner Cable LLC | 6.550% | 5/1/37 | 11,975 | 12,549 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 1,542 | 1,380 | ||
T-Mobile USA Inc. | 3.375% | 4/15/29 | 590 | 551 | ||
T-Mobile USA Inc. | 3.000% | 2/15/41 | 3,430 | 2,667 | ||
TWDC Enterprises 18 Corp. | 3.000% | 7/30/46 | 5,837 | 4,662 | ||
TWDC Enterprises 18 Corp. | 7.550% | 7/15/93 | 2,512 | 2,662 | ||
5 | Univision Communications Inc. | 7.375% | 6/30/30 | 55 | 56 | |
6 | Verizon Communications Inc. | 1.875% | 11/3/38 | 900 | 828 | |
5 | Videotron Ltd. | 3.625% | 6/15/29 | 215 | 188 | |
7 | Vodafone Group plc | 2.500% | 5/24/39 | 700 | 655 | |
Vodafone Group plc | 4.125% | 6/4/81 | 1,175 | 951 | ||
5 | VZ Secured Financing BV | 5.000% | 1/15/32 | 170 | 152 | |
Walt Disney Co. | 6.200% | 12/15/34 | 3,326 | 3,958 | ||
Walt Disney Co. | 6.400% | 12/15/35 | 17,218 | 20,901 | ||
Walt Disney Co. | 6.650% | 11/15/37 | 2,710 | 3,411 | ||
Walt Disney Co. | 4.625% | 3/23/40 | 11,720 | 12,019 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 58,715 | 52,631 | ||
Walt Disney Co. | 4.750% | 9/15/44 | 8,474 | 8,696 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 58,270 | 44,074 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 41,516 | 36,513 | ||
5 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 695 | 637 | |
5 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 705 | 617 | |
930,462 | ||||||
Consumer Discretionary (6.1%) | ||||||
5 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 482 | 454 | |
5 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 203 | 189 | |
Alibaba Group Holding Ltd. | 4.000% | 12/6/37 | 31,000 | 27,226 | ||
Alibaba Group Holding Ltd. | 4.200% | 12/6/47 | 14,873 | 12,211 | ||
Alibaba Group Holding Ltd. | 4.400% | 12/6/57 | 13,080 | 10,738 | ||
Amazon.com Inc. | 3.600% | 4/13/32 | 7,045 | 7,128 | ||
Amazon.com Inc. | 3.875% | 8/22/37 | 42,000 | 42,334 | ||
Amazon.com Inc. | 2.875% | 5/12/41 | 15,845 | 13,372 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 6,000 | 6,647 | ||
Amazon.com Inc. | 4.050% | 8/22/47 | 100,075 | 98,977 | ||
Amazon.com Inc. | 2.500% | 6/3/50 | 28,720 | 21,477 | ||
Amazon.com Inc. | 3.100% | 5/12/51 | 22,740 | 19,095 | ||
Amazon.com Inc. | 3.950% | 4/13/52 | 5,625 | 5,475 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 50,347 | 50,637 | ||
Amazon.com Inc. | 2.700% | 6/3/60 | 22,830 | 16,503 | ||
Amazon.com Inc. | 3.250% | 5/12/61 | 16,975 | 13,926 | ||
Amazon.com Inc. | 4.100% | 4/13/62 | 54,535 | 52,744 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 250 | 233 | |
5 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 115 | 98 | |
3 | American University | 3.672% | 4/1/49 | 2,563 | 2,210 | |
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 1,130 | 1,047 | ||
5 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 45 | 39 | |
Bath & Body Works Inc. | 7.500% | 6/15/29 | 175 | 174 | ||
Boyd Gaming Corp. | 4.750% | 12/1/27 | 315 | 303 | ||
5 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 168 | 168 | |
California Institute of Technology | 3.650% | 9/1/19 | 4,242 | 3,296 | ||
5 | Camelot Return Merger Sub Inc. | 8.750% | 8/1/28 | 310 | 288 | |
5 | Carnival Corp. | 5.750% | 3/1/27 | 460 | 365 | |
5 | Carnival Corp. | 4.000% | 8/1/28 | 240 | 209 | |
Case Western Reserve University | 5.405% | 6/1/22 | 1,893 | 1,968 | ||
5 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP | 5.500% | 5/1/25 | 595 | 599 | |
5 | Churchill Downs Inc. | 5.500% | 4/1/27 | 465 | 463 | |
5 | Churchill Downs Inc. | 4.750% | 1/15/28 | 288 | 273 | |
5 | Clarios Global LP | 6.750% | 5/15/25 | 31 | 31 | |
5 | Clarios Global LP / Clarios US Finance Co. | 8.500% | 5/15/27 | 320 | 323 | |
Dana Inc. | 4.500% | 2/15/32 | 230 | 192 | ||
3 | Duke University | 2.682% | 10/1/44 | 3,100 | 2,484 | |
3 | Duke University | 2.832% | 10/1/55 | 9,635 | 7,437 | |
Ford Foundation | 2.815% | 6/1/70 | 11,950 | 8,527 | ||
Ford Motor Credit Co. LLC | 2.700% | 8/10/26 | 220 | 200 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 195 | 179 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/10/29 | 745 | 627 | ||
Ford Motor Credit Co. LLC | 4.000% | 11/13/30 | 140 | 124 | ||
Ford Motor Credit Co. LLC | 3.625% | 6/17/31 | 315 | 268 | ||
General Motors Co. | 5.150% | 4/1/38 | 1,000 | 904 | ||
General Motors Co. | 5.200% | 4/1/45 | 1,500 | 1,305 | ||
General Motors Co. | 5.400% | 4/1/48 | 1,000 | 902 | ||
George Washington University | 4.300% | 9/15/44 | 2,890 | 2,688 | ||
Georgetown University | 4.315% | 4/1/49 | 14,755 | 13,787 | ||
Georgetown University | 2.943% | 4/1/50 | 18,790 | 14,037 | ||
Georgetown University | 5.215% | 10/1/18 | 940 | 922 | ||
Goodyear Tire & Rubber Co. | 5.000% | 7/15/29 | 110 | 100 | ||
5 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 105 | 106 | |
5 | Hilton Domestic Operating Co. Inc. | 3.750% | 5/1/29 | 250 | 227 | |
Home Depot Inc. | 5.875% | 12/16/36 | 24,525 | 29,639 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 1,000 | 888 | ||
Home Depot Inc. | 5.400% | 9/15/40 | 947 | 1,062 | ||
Home Depot Inc. | 5.950% | 4/1/41 | 18,480 | 21,994 | ||
Home Depot Inc. | 4.875% | 2/15/44 | 60,115 | 63,837 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 12,900 | 12,979 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 21,515 | 21,165 | ||
Home Depot Inc. | 3.900% | 6/15/47 | 28,950 | 27,113 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 17,825 | ���18,266 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 7,950 | 6,538 | ||
Home Depot Inc. | 3.350% | 4/15/50 | 2,000 | 1,710 | ||
Home Depot Inc. | 2.375% | 3/15/51 | 2,500 | 1,781 | ||
Home Depot Inc. | 2.750% | 9/15/51 | 26,130 | 20,190 | ||
Home Depot Inc. | 3.625% | 4/15/52 | 18,235 | 16,385 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 947 | 819 | ||
Indiana University Foundation Inc. | 2.820% | 10/1/51 | 6,000 | 4,497 | ||
5 | International Game Technology plc | 4.125% | 4/15/26 | 45 | 43 | |
5 | International Game Technology plc | 6.250% | 1/15/27 | 20 | 20 | |
KB Home | 7.250% | 7/15/30 | 185 | 186 | ||
5 | Lithia Motors Inc. | 4.625% | 12/15/27 | 600 | 574 | |
5 | Lithia Motors Inc. | 3.875% | 6/1/29 | 558 | 500 | |
5 | Lithia Motors Inc. | 4.375% | 1/15/31 | 500 | 455 | |
5 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 29 | 29 | |
5 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 335 | 344 | |
5 | Live Nation Entertainment Inc. | 4.750% | 10/15/27 | 180 | 173 | |
5 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 10 | 9 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Lowe's Cos. Inc. | 4.450% | 4/1/62 | 23,410 | 21,158 | ||
3 | Massachusetts Institute of Technology | 3.959% | 7/1/38 | 24,140 | 24,704 | |
5 | Mattel Inc. | 3.375% | 4/1/26 | 110 | 104 | |
5 | Mattel Inc. | 5.875% | 12/15/27 | 120 | 123 | |
5 | Meritage Homes Corp. | 3.875% | 4/15/29 | 1,000 | 895 | |
5 | MIWD Holdco II LLC / MIWD Finance Corp. | 5.500% | 2/1/30 | 85 | 72 | |
5 | NCL Corp Ltd. | 5.875% | 2/15/27 | 135 | 124 | |
5 | NCL Corp Ltd. | 7.750% | 2/15/29 | 75 | 60 | |
NIKE Inc. | 3.625% | 5/1/43 | 30,604 | 28,438 | ||
NIKE Inc. | 3.375% | 11/1/46 | 19,840 | 17,670 | ||
3 | Northeastern University | 2.894% | 10/1/50 | 16,227 | 12,540 | |
5 | Penn National Gaming Inc. | 5.625% | 1/15/27 | 45 | 42 | |
President and Fellows of Harvard College | 5.625% | 10/1/38 | 2,500 | 2,955 | ||
5 | President and Fellows of Harvard College | 6.500% | 1/15/39 | 3,709 | 4,754 | |
President and Fellows of Harvard College | 4.875% | 10/15/40 | 750 | 813 | ||
President and Fellows of Harvard College | 3.150% | 7/15/46 | 17,450 | 15,211 | ||
President and Fellows of Harvard College | 3.745% | 11/15/52 | 27,590 | 26,448 | ||
Rockefeller Foundation | 2.492% | 10/1/50 | 34,515 | 25,537 | ||
5 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 20 | 20 | |
5 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 21 | 22 | |
5 | Studio City Co. Ltd. | 7.000% | 2/15/27 | 105 | 88 | |
Thomas Jefferson University | 3.847% | 11/1/57 | 24,350 | 20,707 | ||
Trustees of Princeton University | 4.201% | 3/1/52 | 18,865 | 19,486 | ||
Trustees of the University of Pennsylvania | 3.610% | 2/15/19 | 20,230 | 15,652 | ||
3 | University of Chicago | 2.761% | 4/1/45 | 11,735 | 9,713 | |
3 | University of Chicago | 2.547% | 4/1/50 | 8,120 | 6,158 | |
University of Chicago | 3.000% | 10/1/52 | 5,695 | 4,592 | ||
University of Miami | 4.063% | 4/1/52 | 12,840 | 11,789 | ||
5 | Vail Resorts Inc. | 6.250% | 5/15/25 | 595 | 608 | |
Washington University | 4.349% | 4/15/22 | 1,830 | 1,618 | ||
5 | WK Kellogg Foundation Trust | 2.443% | 10/1/50 | 42,390 | 31,046 | |
5 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 480 | 444 | |
5 | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. | 7.750% | 4/15/25 | 185 | 185 | |
Yale University | 2.402% | 4/15/50 | 19,845 | 14,745 | ||
1,035,953 | ||||||
Consumer Staples (3.3%) | ||||||
Altria Group Inc. | 5.800% | 2/14/39 | 2,250 | 2,122 | ||
Altria Group Inc. | 3.400% | 2/4/41 | 3,750 | 2,588 | ||
Altria Group Inc. | 4.450% | 5/6/50 | 1,130 | 844 | ||
Anheuser-Busch Cos. LLC | 6.750% | 12/15/27 | 400 | 454 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 2,000 | 2,055 | ||
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 2,000 | 1,926 | ||
7 | Anheuser-Busch InBev SA NV | 3.700% | 4/2/40 | 900 | 1,017 | |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 3,000 | 2,916 | ||
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 12,383 | 16,751 | ||
Archer-Daniels-Midland Co. | 2.900% | 3/1/32 | 18,835 | 17,818 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 18,749 | 19,770 | ||
Archer-Daniels-Midland Co. | 2.700% | 9/15/51 | 21,850 | 17,176 | ||
BAT Capital Corp. | 4.390% | 8/15/37 | 1,375 | 1,137 | ||
BAT Capital Corp. | 4.540% | 8/15/47 | 1,535 | 1,147 | ||
5 | Cargill Inc. | 4.760% | 11/23/45 | 20,000 | 20,517 | |
5 | Cargill Inc. | 3.125% | 5/25/51 | 13,715 | 11,104 | |
5 | Cargill Inc. | 4.375% | 4/22/52 | 6,210 | 6,254 | |
7 | CK Hutchison Europe Finance 18 Ltd. | 2.000% | 4/13/30 | 1,600 | 1,550 | |
Coca-Cola Co. | 2.875% | 5/5/41 | 15,925 | 13,787 | ||
Coca-Cola Co. | 2.600% | 6/1/50 | 30,500 | 23,828 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Coca-Cola Co. | 3.000% | 3/5/51 | 47,160 | 40,006 | ||
Coca-Cola Co. | 2.500% | 3/15/51 | 25,665 | 19,440 | ||
Constellation Brands Inc. | 5.250% | 11/15/48 | 2,500 | 2,566 | ||
Hershey Co. | 3.125% | 11/15/49 | 25,500 | 21,179 | ||
Keurig Dr Pepper Inc. | 4.500% | 11/15/45 | 1,000 | 938 | ||
Keurig Dr Pepper Inc. | 4.500% | 4/15/52 | 3,000 | 2,805 | ||
Kimberly-Clark Corp. | 3.200% | 7/30/46 | 14,400 | 12,142 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 2,150 | 2,010 | ||
5 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 380 | 370 | |
5 | Lamb Weston Holdings Inc. | 4.125% | 1/31/30 | 10 | 9 | |
5 | Nestle Holdings Inc. | 3.900% | 9/24/38 | 39,785 | 38,572 | |
5 | Nestle Holdings Inc. | 4.000% | 9/24/48 | 23,255 | 22,672 | |
6 | Pepsico Inc. | 3.550% | 7/22/34 | 500 | 629 | |
Pepsico Inc. | 4.200% | 7/18/52 | 6,860 | 7,117 | ||
PepsiCo Inc. | 2.625% | 10/21/41 | 14,485 | 12,117 | ||
PepsiCo Inc. | 4.450% | 4/14/46 | 4,784 | 5,106 | ||
PepsiCo Inc. | 4.000% | 5/2/47 | 3,250 | 3,228 | ||
PepsiCo Inc. | 3.375% | 7/29/49 | 2,944 | 2,619 | ||
PepsiCo Inc. | 2.750% | 10/21/51 | 26,470 | 21,515 | ||
5 | Performance Food Group Inc. | 6.875% | 5/1/25 | 80 | 81 | |
5 | Performance Food Group Inc. | 5.500% | 10/15/27 | 245 | 242 | |
5 | Performance Food Group Inc. | 4.250% | 8/1/29 | 40 | 36 | |
Philip Morris International Inc. | 6.375% | 5/16/38 | 5,802 | 6,237 | ||
Philip Morris International Inc. | 4.375% | 11/15/41 | 4,890 | 4,186 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 1,750 | 1,378 | ||
Philip Morris International Inc. | 4.125% | 3/4/43 | 17,345 | 14,083 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 9,345 | 8,357 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 2,000 | 1,662 | ||
5 | SC Johnson & Son Inc. | 4.000% | 5/15/43 | 28,110 | 25,342 | |
Target Corp. | 2.950% | 1/15/52 | 32,895 | 26,404 | ||
Unilever Capital Corp. | 2.625% | 8/12/51 | 11,112 | 8,515 | ||
Walmart Inc. | 3.950% | 6/28/38 | 36,957 | 37,342 | ||
Walmart Inc. | 5.625% | 4/1/40 | 1,840 | 2,204 | ||
Walmart Inc. | 5.625% | 4/15/41 | 3,695 | 4,431 | ||
Walmart Inc. | 2.500% | 9/22/41 | 18,885 | 15,482 | ||
Walmart Inc. | 4.000% | 4/11/43 | 1,326 | 1,311 | ||
Walmart Inc. | 3.625% | 12/15/47 | 13,145 | 12,450 | ||
Walmart Inc. | 2.950% | 9/24/49 | 3,758 | 3,184 | ||
Walmart Inc. | 2.650% | 9/22/51 | 14,690 | 11,680 | ||
564,408 | ||||||
Energy (5.4%) | ||||||
5 | Antero Resources Corp. | 5.375% | 3/1/30 | 325 | 319 | |
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc. | 4.080% | 12/15/47 | 2,500 | 2,198 | ||
5 | Bonanza Creek Energy Inc. | 5.000% | 10/15/26 | 115 | 108 | |
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 25,555 | 21,150 | ||
BP Capital Markets America Inc. | 3.000% | 2/24/50 | 2,000 | 1,541 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 37,140 | 27,533 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 44,570 | 33,631 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 26,280 | 20,323 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 52,075 | 41,474 | ||
7 | BP Capital Markets BV | 0.933% | 12/4/40 | 600 | 422 | |
5 | Cameron LNG LLC | 3.701% | 1/15/39 | 1,300 | 1,136 | |
Cenovus Energy Inc. | 5.400% | 6/15/47 | 1,800 | 1,805 | ||
Cheniere Energy Inc. | 4.625% | 10/15/28 | 145 | 141 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 170 | 157 | ||
Cheniere Energy Partners LP | 3.250% | 1/31/32 | 115 | 100 | ||
Chevron Corp. | 3.078% | 5/11/50 | 19,305 | 16,104 | ||
Chevron USA Inc. | 2.343% | 8/12/50 | 3,620 | 2,645 | ||
5 | Colgate Energy Partners III LLC | 7.750% | 2/15/26 | 120 | 118 | |
5 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 285 | 261 | |
ConocoPhillips | 5.900% | 10/15/32 | 1,326 | 1,510 | ||
5 | ConocoPhillips Co. | 3.758% | 3/15/42 | 14,700 | 13,453 | |
ConocoPhillips Co. | 4.300% | 11/15/44 | 9,878 | 9,536 | ||
ConocoPhillips Co. | 3.800% | 3/15/52 | 34,665 | 31,296 | ||
5 | ConocoPhillips Co. | 4.025% | 3/15/62 | 40,525 | 36,300 | |
5 | CrownRock LP / CrownRock Finance Inc. | 5.625% | 10/15/25 | 85 | 85 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | CrownRock LP / CrownRock Finance Inc. | 5.000% | 5/1/29 | 75 | 70 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 56 | 58 | ||
DCP Midstream Operating LP | 5.125% | 5/15/29 | 180 | 178 | ||
Diamondback Energy Inc. | 4.250% | 3/15/52 | 1,955 | 1,690 | ||
5 | DT Midstream Inc. | 4.125% | 6/15/29 | 235 | 217 | |
5 | DT Midstream Inc. | 4.375% | 6/15/31 | 175 | 158 | |
5 | Endeavor Energy Resources LP / EER Finance Inc. | 5.750% | 1/30/28 | 150 | 151 | |
Energy Transfer Operating LP | 5.000% | 5/15/50 | 3,000 | 2,651 | ||
5 | EnLink Midstream LLC | 5.625% | 1/15/28 | 50 | 49 | |
EnLink Midstream LLC | 5.375% | 6/1/29 | 125 | 119 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 1,500 | 1,453 | ||
Enterprise Products Operating LLC | 4.200% | 1/31/50 | 1,500 | 1,333 | ||
EOG Resources Inc. | 3.900% | 4/1/35 | 1,650 | 1,599 | ||
EOG Resources Inc. | 4.950% | 4/15/50 | 16,580 | 17,766 | ||
5 | EQM Midstream Partners LP | 7.500% | 6/1/27 | 85 | 87 | |
5 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 145 | 145 | |
EQM Midstream Partners LP | 5.500% | 7/15/28 | 170 | 161 | ||
5 | EQM Midstream Partners LP | 7.500% | 6/1/30 | 85 | 88 | |
Equinor ASA | 3.625% | 4/6/40 | 19,225 | 17,630 | ||
Equinor ASA | 4.250% | 11/23/41 | 1,944 | 1,912 | ||
Equinor ASA | 3.950% | 5/15/43 | 35,350 | 33,233 | ||
Equinor ASA | 3.250% | 11/18/49 | 18,640 | 15,627 | ||
Equinor ASA | 3.700% | 4/6/50 | 19,800 | 18,056 | ||
Exxon Mobil Corp. | 2.995% | 8/16/39 | 5,178 | 4,441 | ||
Exxon Mobil Corp. | 4.227% | 3/19/40 | 5,000 | 4,973 | ||
Exxon Mobil Corp. | 3.567% | 3/6/45 | 10,700 | 9,496 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 35,010 | 33,640 | ||
Exxon Mobil Corp. | 3.095% | 8/16/49 | 19,590 | 16,024 | ||
Exxon Mobil Corp. | 4.327% | 3/19/50 | 68,181 | 67,957 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 34,295 | 29,820 | ||
5 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 29,341 | 24,793 | |
5 | Hess Midstream Operations LP | 5.500% | 10/15/30 | 55 | 51 | |
5 | Hilcorp Energy I LP / Hilcorp Finance Co. | 5.750% | 2/1/29 | 35 | 32 | |
5 | Hilcorp Energy I LP / Hilcorp Finance Co. | 6.000% | 2/1/31 | 45 | 41 | |
KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 1,425 | 1,195 | ||
5 | MEG Energy Corp. | 5.875% | 2/1/29 | 20 | 19 | |
MPLX LP | 4.950% | 3/14/52 | 750 | 681 | ||
5 | Northern Natural Gas Co. | 3.400% | 10/16/51 | 2,800 | 2,175 | |
Nustar Logistics LP | 5.750% | 10/1/25 | 35 | 34 | ||
Nustar Logistics LP | 6.375% | 10/1/30 | 140 | 130 | ||
Occidental Petroleum Corp. | 5.500% | 12/1/25 | 30 | 31 | ||
Occidental Petroleum Corp. | 5.550% | 3/15/26 | 145 | 149 | ||
Occidental Petroleum Corp. | 6.375% | 9/1/28 | 285 | 307 | ||
Occidental Petroleum Corp. | 6.125% | 1/1/31 | 130 | 139 | ||
5 | Parkland Corp. | 4.500% | 10/1/29 | 150 | 132 | |
Petroleos del Peru SA | 5.625% | 6/19/47 | 4,570 | 3,216 | ||
Petroleos Mexicanos | 6.500% | 6/2/41 | 476 | 324 | ||
Petroleos Mexicanos | 6.750% | 9/21/47 | 477 | 323 | ||
Petroleos Mexicanos | 6.350% | 2/12/48 | 1,147 | 754 | ||
Petronas Capital Ltd. | 3.500% | 4/21/30 | 8,245 | 8,028 | ||
5 | Qatar Petroleum | 3.300% | 7/12/51 | 15,610 | 12,946 | |
Shell International Finance BV | 4.125% | 5/11/35 | 24,405 | 24,446 | ||
Shell International Finance BV | 6.375% | 12/15/38 | 2,121 | 2,552 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 13,990 | 15,714 | ||
Shell International Finance BV | 2.875% | 11/26/41 | 15,345 | 12,497 | ||
Shell International Finance BV | 3.625% | 8/21/42 | 1,000 | 890 | ||
Shell International Finance BV | 4.550% | 8/12/43 | 19,195 | 19,310 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 40,595 | 40,022 | ||
Shell International Finance BV | 4.000% | 5/10/46 | 37,137 | 34,507 | ||
Shell International Finance BV | 3.750% | 9/12/46 | 63,375 | 57,208 | ||
Shell International Finance BV | 3.125% | 11/7/49 | 5,000 | 4,068 | ||
Shell International Finance BV | 3.250% | 4/6/50 | 16,730 | 14,020 | ||
Shell International Finance BV | 3.000% | 11/26/51 | 22,000 | 17,556 | ||
Suncor Energy Inc. | 3.750% | 3/4/51 | 1,100 | 927 | ||
5 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 200 | 189 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.500% | 7/15/27 | 158 | 163 | ||
Total Capital International SA | 2.986% | 6/29/41 | 28,045 | 23,335 | ||
Total Capital International SA | 3.461% | 7/12/49 | 500 | 427 | ||
Total Capital International SA | 3.127% | 5/29/50 | 44,285 | 35,771 | ||
Valero Energy Corp. | 3.650% | 12/1/51 | 1,600 | 1,272 | ||
Valero Energy Corp. | 4.000% | 6/1/52 | 500 | 421 | ||
5 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 240 | 222 | |
Western Midstream Operating LP | 4.500% | 3/1/28 | 310 | 302 | ||
Western Midstream Operating LP | 4.300% | 2/1/30 | 180 | 167 | ||
Western Midstream Operating LP | 5.500% | 2/1/50 | 2,235 | 2,002 | ||
907,616 | ||||||
Financials (17.9%) | ||||||
ACE Capital Trust II | 9.700% | 4/1/30 | 3,745 | 4,866 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.850% | 10/29/41 | 6,150 | 4,695 | ||
Aflac Inc. | 4.000% | 10/15/46 | 947 | 833 | ||
5 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | 6.750% | 10/15/27 | 105 | 100 | |
Allstate Corp. | 4.200% | 12/15/46 | 12,485 | 11,742 | ||
Allstate Corp. | 3.850% | 8/10/49 | 1,000 | 899 | ||
American International Group Inc. | 4.375% | 6/30/50 | 3,305 | 3,119 | ||
Aon Corp. / Aon Global Holdings plc | 3.900% | 2/28/52 | 4,600 | 3,990 | ||
6 | Athene Global Funding | 1.875% | 11/30/28 | 1,200 | 1,288 | |
Athene Holding Ltd. | 3.950% | 5/25/51 | 1,705 | 1,291 | ||
Bank of America Corp. | 2.496% | 2/13/31 | 15,570 | 13,615 | ||
Bank of America Corp. | 2.572% | 10/20/32 | 14,175 | 12,141 | ||
Bank of America Corp. | 4.571% | 4/27/33 | 17,840 | 17,948 | ||
Bank of America Corp. | 5.015% | 7/22/33 | 18,835 | 19,629 | ||
Bank of America Corp. | 4.244% | 4/24/38 | 80,255 | 77,360 | ||
Bank of America Corp. | 4.078% | 4/23/40 | 37,950 | 34,584 | ||
Bank of America Corp. | 2.676% | 6/19/41 | 66,163 | 50,087 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 19,230 | 21,764 | ||
Bank of America Corp. | 3.311% | 4/22/42 | 62,940 | 51,953 | ||
Bank of America Corp. | 4.443% | 1/20/48 | 24,655 | 23,696 | ||
Bank of America Corp. | 3.946% | 1/23/49 | 64,760 | 58,424 | ||
Bank of America Corp. | 4.330% | 3/15/50 | 34,336 | 32,732 | ||
Bank of America Corp. | 4.083% | 3/20/51 | 52,890 | 48,155 | ||
Bank of America Corp. | 2.831% | 10/24/51 | 18,395 | 13,367 | ||
Bank of America Corp. | 2.972% | 7/21/52 | 4,250 | 3,115 | ||
Bank of America NA | 6.000% | 10/15/36 | 14,450 | 16,574 | ||
Bank of New York Mellon Corp. | 4.289% | 6/13/33 | 26,880 | 27,422 | ||
Barclays plc | 3.330% | 11/24/42 | 2,500 | 1,891 | ||
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 2,000 | 1,998 | ||
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 2,000 | 1,969 | ||
Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 11,500 | 11,308 | ||
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/49 | 44,185 | 43,470 | ||
Berkshire Hathaway Finance Corp. | 2.850% | 10/15/50 | 8,420 | 6,414 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 3,000 | 2,148 | ||
Berkshire Hathaway Finance Corp. | 3.850% | 3/15/52 | 62,665 | 56,764 | ||
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 30,247 | 30,890 | ||
5 | Blackstone Mortgage Trust Inc. | 3.750% | 1/15/27 | 155 | 138 | |
5 | BNP Paribas SA | 3.132% | 1/20/33 | 18,335 | 15,662 | |
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 1,500 | 1,413 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 20,125 | 19,628 | ||
Chubb INA Holdings Inc. | 2.850% | 12/15/51 | 1,000 | 759 | ||
Chubb INA Holdings Inc. | 3.050% | 12/15/61 | 7,235 | 5,410 | ||
Citigroup Inc. | 2.561% | 5/1/32 | 6,220 | 5,343 | ||
Citigroup Inc. | 3.878% | 1/24/39 | 65,730 | 59,300 | ||
Citigroup Inc. | 5.316% | 3/26/41 | 10,000 | 10,460 | ||
Citigroup Inc. | 2.904% | 11/3/42 | 8,685 | 6,690 | ||
Citigroup Inc. | 4.650% | 7/30/45 | 13,142 | 12,812 | ||
Citigroup Inc. | 4.281% | 4/24/48 | 8,570 | 7,968 | ||
Citigroup Inc. | 4.650% | 7/23/48 | 14,887 | 14,706 | ||
5 | Commonwealth Bank of Australia | 3.305% | 3/11/41 | 4,180 | 3,250 | |
Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 1,375 | 1,552 | ||
5 | Corebridge Financial Inc. | 4.350% | 4/5/42 | 5,065 | 4,446 | |
5 | Corebridge Financial Inc. | 4.400% | 4/5/52 | 6,600 | 5,684 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Credit Suisse Group AG | 0.625% | 1/18/33 | 900 | 641 | |
Equitable Holdings Inc. | 5.000% | 4/20/48 | 5,890 | 5,720 | ||
Everest Reinsurance Holdings Inc. | 3.125% | 10/15/52 | 4,300 | 3,144 | ||
5 | FMR LLC | 6.450% | 11/15/39 | 16,010 | 18,351 | |
GATX Corp. | 3.100% | 6/1/51 | 2,725 | 1,893 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 9,080 | 7,848 | ||
7 | Goldman Sachs Group Inc. | 1.000% | 3/18/33 | 1,300 | 1,076 | |
Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 139,440 | 129,252 | ||
Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 43,422 | 41,351 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 12,170 | 14,159 | ||
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 22,300 | 17,997 | ||
Goldman Sachs Group Inc. | 2.908% | 7/21/42 | 20,480 | 15,710 | ||
Goldman Sachs Group Inc. | 3.436% | 2/24/43 | 25,660 | 21,461 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 8,000 | 7,910 | ||
Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 2,000 | 2,017 | ||
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 5,864 | 5,794 | ||
Hartford Financial Services Group Inc. | 2.900% | 9/15/51 | 4,800 | 3,464 | ||
5 | Hill City Funding Trust | 4.046% | 8/15/41 | 2,880 | 2,148 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 8,273 | 9,873 | ||
HSBC Holdings plc | 2.804% | 5/24/32 | 23,660 | 19,860 | ||
HSBC Holdings plc | 2.871% | 11/22/32 | 4,870 | 4,078 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 10,000 | 11,199 | ||
HSBC Holdings plc | 6.500% | 9/15/37 | 20,523 | 22,847 | ||
HSBC Holdings plc | 6.800% | 6/1/38 | 48,749 | 54,425 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 2,975 | 3,369 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 2,200 | 2,134 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 7,240 | 5,978 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 1,000 | 781 | ||
Intercontinental Exchange Inc. | 4.250% | 9/21/48 | 7,225 | 6,731 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 12,920 | 10,019 | ||
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 52,395 | 54,089 | ||
Intercontinental Exchange Inc. | 5.200% | 6/15/62 | 44,554 | 46,393 | ||
Invesco Finance plc | 5.375% | 11/30/43 | 3,113 | 3,194 | ||
7 | JAB Holdings BV | 2.250% | 12/19/39 | 1,000 | 747 | |
5 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 189 | 216 | |
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 12,440 | 12,613 | ||
JPMorgan Chase & Co. | 4.912% | 7/25/33 | 8,605 | 8,964 | ||
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 44,499 | 52,800 | ||
JPMorgan Chase & Co. | 3.882% | 7/24/38 | 67,662 | 62,942 | ||
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 29,390 | 31,803 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/41 | 16,600 | 13,514 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 44,200 | 36,140 | ||
JPMorgan Chase & Co. | 4.260% | 2/22/48 | 36,921 | 34,856 | ||
JPMorgan Chase & Co. | 4.032% | 7/24/48 | 32,890 | 29,549 | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 105,345 | 94,147 | ||
JPMorgan Chase & Co. | 3.897% | 1/23/49 | 47,355 | 41,583 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 19,160 | 14,612 | ||
JPMorgan Chase & Co. | 3.328% | 4/22/52 | 53,095 | 42,340 | ||
5 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 5.250% | 10/1/25 | 35 | 33 | |
5 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.750% | 6/15/29 | 170 | 145 | |
5 | LSEGA Financing plc | 3.200% | 4/6/41 | 24,545 | 20,193 | |
Markel Corp. | 3.450% | 5/7/52 | 3,490 | 2,701 | ||
Marsh & McLennan Cos. Inc. | 4.350% | 1/30/47 | 3,985 | 3,771 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 6,515 | 4,849 | ||
5 | Massachusetts Mutual Life Insurance Co. | 3.375% | 4/15/50 | 7,366 | 5,801 | |
5 | Massachusetts Mutual Life Insurance Co. | 3.729% | 10/15/70 | 15,356 | 11,630 | |
Metlife Inc. | 5.000% | 7/15/52 | 10,705 | 11,402 | ||
MetLife Inc. | 4.125% | 8/13/42 | 56,081 | 52,434 | ||
MetLife Inc. | 4.875% | 11/13/43 | 10,000 | 10,298 | ||
MetLife Inc. | 4.050% | 3/1/45 | 7,236 | 6,680 | ||
5 | Midcap Financial Issuer Trust | 5.625% | 1/15/30 | 177 | 143 | |
Morgan Stanley | 3.622% | 4/1/31 | 15,000 | 14,270 | ||
Morgan Stanley | 7.250% | 4/1/32 | 6,870 | 8,464 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Morgan Stanley | 2.239% | 7/21/32 | 35,310 | 29,774 | ||
Morgan Stanley | 2.511% | 10/20/32 | 5,000 | 4,293 | ||
Morgan Stanley | 4.889% | 7/20/33 | 3,890 | 4,044 | ||
Morgan Stanley | 3.971% | 7/22/38 | 103,500 | 97,590 | ||
Morgan Stanley | 4.457% | 4/22/39 | 6,850 | 6,677 | ||
Morgan Stanley | 3.217% | 4/22/42 | 23,020 | 19,099 | ||
Morgan Stanley | 6.375% | 7/24/42 | 33,160 | 39,619 | ||
Morgan Stanley | 4.300% | 1/27/45 | 32,041 | 30,147 | ||
Morgan Stanley | 4.375% | 1/22/47 | 32,780 | 31,397 | ||
Morgan Stanley | 5.597% | 3/24/51 | 750 | 852 | ||
Morgan Stanley | 2.802% | 1/25/52 | 2,725 | 1,978 | ||
Nasdaq Inc. | 2.500% | 12/21/40 | 6,042 | 4,400 | ||
Nasdaq Inc. | 3.950% | 3/7/52 | 1,000 | 866 | ||
5 | Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 24,046 | 33,551 | |
5 | Nationwide Mutual Insurance Co. | 4.950% | 4/22/44 | 13,215 | 12,407 | |
5 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 13,720 | 12,065 | |
5 | New York Life Insurance Co. | 5.875% | 5/15/33 | 36,125 | 41,018 | |
5 | New York Life Insurance Co. | 3.750% | 5/15/50 | 3,130 | 2,703 | |
5 | New York Life Insurance Co. | 4.450% | 5/15/69 | 2,500 | 2,276 | |
5 | Nippon Life Insurance Co. | 3.400% | 1/23/50 | 1,400 | 1,236 | |
5 | Nippon Life Insurance Co. | 2.750% | 1/21/51 | 2,640 | 2,181 | |
5 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 8,944 | 7,652 | |
5 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 33,074 | 25,901 | |
5 | OneAmerica Financial Partners Inc. | 4.250% | 10/15/50 | 1,580 | 1,314 | |
OneMain Finance Corp. | 3.500% | 1/15/27 | 140 | 120 | ||
Progressive Corp. | 4.125% | 4/15/47 | 3,420 | 3,239 | ||
Progressive Corp. | 3.950% | 3/26/50 | 1,670 | 1,537 | ||
Prudential Financial Inc. | 3.000% | 3/10/40 | 3,250 | 2,727 | ||
Prudential Financial Inc. | 4.600% | 5/15/44 | 1,139 | 1,119 | ||
Prudential Financial Inc. | 5.375% | 5/15/45 | 128 | 126 | ||
Prudential Financial Inc. | 3.905% | 12/7/47 | 1,420 | 1,270 | ||
Prudential Financial Inc. | 4.418% | 3/27/48 | 390 | 372 | ||
Prudential Financial Inc. | 3.935% | 12/7/49 | 1,560 | 1,396 | ||
Prudential Financial Inc. | 4.350% | 2/25/50 | 1,548 | 1,481 | ||
Prudential Financial Inc. | 3.700% | 3/13/51 | 6,484 | 5,596 | ||
5 | Securian Financial Group Inc. | 4.800% | 4/15/48 | 4,146 | 3,647 | |
Sumitomo Mitsui Financial Group Inc. | 2.930% | 9/17/41 | 2,300 | 1,725 | ||
5 | Temasek Financial I Ltd. | 2.750% | 8/2/61 | 41,455 | 31,706 | |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,100 | 1,095 | ||
Travelers Cos. Inc. | 3.750% | 5/15/46 | 2,954 | 2,603 | ||
Travelers Cos. Inc. | 4.000% | 5/30/47 | 2,600 | 2,412 | ||
Travelers Cos. Inc. | 4.100% | 3/4/49 | 15,000 | 13,888 | ||
Travelers Cos. Inc. | 3.050% | 6/8/51 | 41,465 | 33,147 | ||
US Bancorp | 2.491% | 11/3/36 | 2,000 | 1,690 | ||
Wachovia Corp. | 5.500% | 8/1/35 | 2,322 | 2,457 | ||
Wells Fargo & Co. | 3.350% | 3/2/33 | 59,060 | 54,101 | ||
Wells Fargo & Co. | 4.897% | 7/25/33 | 15,145 | 15,680 | ||
Wells Fargo & Co. | 3.068% | 4/30/41 | 25,375 | 20,550 | ||
Wells Fargo & Co. | 5.375% | 11/2/43 | 55,167 | 56,590 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 119,265 | 125,629 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 3,957 | 3,720 | ||
Wells Fargo & Co. | 3.900% | 5/1/45 | 3,837 | 3,370 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 18,930 | 18,353 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 33,292 | 30,164 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 43,559 | 41,223 | ||
Wells Fargo & Co. | 5.013% | 4/4/51 | 53,935 | 55,935 | ||
Wells Fargo & Co. | 4.611% | 4/25/53 | 5,300 | 5,188 | ||
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 593 | ||
Westpac Banking Corp. | 2.963% | 11/16/40 | 3,580 | 2,667 | ||
Westpac Banking Corp. | 3.133% | 11/18/41 | 6,900 | 5,280 | ||
3,037,444 | ||||||
Health Care (10.2%) | ||||||
Abbott Laboratories | 4.750% | 11/30/36 | 6,000 | 6,731 | ||
Abbott Laboratories | 4.900% | 11/30/46 | 76,140 | 84,230 | ||
AbbVie Inc. | 4.300% | 5/14/36 | 1,000 | 995 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 1,000 | 941 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AbbVie Inc. | 4.875% | 11/14/48 | 1,514 | 1,534 | ||
AdventHealth Obligated Group | 2.795% | 11/15/51 | 3,000 | 2,212 | ||
Advocate Health & Hospitals Corp. | 4.272% | 8/15/48 | 7,315 | 7,070 | ||
Advocate Health & Hospitals Corp. | 3.387% | 10/15/49 | 15,205 | 12,652 | ||
3 | Allina Health System | 3.887% | 4/15/49 | 3,569 | 3,184 | |
7 | American Medical Systems Europe BV | 1.875% | 3/8/34 | 727 | 696 | |
AmerisourceBergen Corp. | 4.300% | 12/15/47 | 5,879 | 5,580 | ||
Amgen Inc. | 3.150% | 2/21/40 | 1,250 | 1,050 | ||
Amgen Inc. | 4.200% | 2/22/52 | 4,140 | 3,852 | ||
Amgen Inc. | 4.400% | 2/22/62 | 3,300 | 3,081 | ||
Ascension Health | 3.106% | 11/15/39 | 3,000 | 2,539 | ||
AstraZeneca plc | 4.375% | 11/16/45 | 7,000 | 7,121 | ||
AstraZeneca plc | 2.125% | 8/6/50 | 2,000 | 1,411 | ||
AstraZeneca plc | 3.000% | 5/28/51 | 27,190 | 22,754 | ||
Baptist Health South Florida Obligated Group | 3.115% | 11/15/71 | 2,200 | 1,544 | ||
Baptist Healthcare System Obligated Group | 3.540% | 8/15/50 | 1,400 | 1,141 | ||
5 | Bausch Health Americas Inc. | 9.250% | 4/1/26 | 215 | 150 | |
5 | Bausch Health Cos. Inc. | 5.250% | 2/15/31 | 100 | 51 | |
Baxter International Inc. | 3.132% | 12/1/51 | 23,800 | 18,037 | ||
Baylor Scott & White Holdings | 2.839% | 11/15/50 | 8,710 | 6,500 | ||
Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 11,255 | 8,320 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 48,137 | 48,069 | ||
Bristol-Myers Squibb Co. | 2.350% | 11/13/40 | 28,285 | 22,140 | ||
Bristol-Myers Squibb Co. | 4.350% | 11/15/47 | 5,000 | 4,984 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 777 | 797 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 104,690 | 103,093 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 5,000 | 3,709 | ||
Bristol-Myers Squibb Co. | 3.700% | 3/15/52 | 7,380 | 6,698 | ||
Bristol-Myers Squibb Co. | 3.900% | 3/15/62 | 42,835 | 38,888 | ||
Centene Corp. | 2.450% | 7/15/28 | 565 | 506 | ||
Centene Corp. | 3.000% | 10/15/30 | 315 | 281 | ||
5 | Charles River Laboratories International Inc. | 4.250% | 5/1/28 | 175 | 171 | |
5 | Charles River Laboratories International Inc. | 3.750% | 3/15/29 | 500 | 463 | |
Children's Health System of Texas | 2.511% | 8/15/50 | 2,500 | 1,743 | ||
Children's Hospital of Philadelphia | 2.704% | 7/1/50 | 1,250 | 908 | ||
City of Hope | 5.623% | 11/15/43 | 1,944 | 2,134 | ||
City of Hope | 4.378% | 8/15/48 | 1,671 | 1,587 | ||
5 | CSL UK Holdings Ltd. | 4.750% | 4/27/52 | 4,200 | 4,212 | |
CVS Health Corp. | 2.700% | 8/21/40 | 2,100 | 1,603 | ||
Danaher Corp. | 2.800% | 12/10/51 | 2,000 | 1,539 | ||
5 | DaVita Inc. | 3.750% | 2/15/31 | 185 | 142 | |
Dignity Health | 4.500% | 11/1/42 | 1,041 | 976 | ||
Dignity Health | 5.267% | 11/1/64 | 758 | 734 | ||
Duke University Health System Inc. | 3.920% | 6/1/47 | 11,773 | 10,827 | ||
Eli Lilly & Co. | 3.950% | 3/15/49 | 5,625 | 5,662 | ||
Eli Lilly & Co. | 2.250% | 5/15/50 | 20,335 | 15,027 | ||
Eli Lilly & Co. | 2.500% | 9/15/60 | 19,075 | 13,963 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 304 | 281 | ||
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 33,294 | 41,209 | ||
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 2,000 | 1,957 | ||
Hackensack Meridian Health Inc. | 2.875% | 9/1/50 | 1,250 | 927 | ||
HCA Inc. | 5.500% | 6/15/47 | 2,000 | 1,933 | ||
Inova Health System Foundation | 4.068% | 5/15/52 | 11,245 | 10,592 | ||
Johnson & Johnson | 3.550% | 3/1/36 | 42,310 | 42,077 | ||
Johnson & Johnson | 3.625% | 3/3/37 | 53,652 | 53,687 | ||
Johnson & Johnson | 3.400% | 1/15/38 | 43,125 | 40,772 | ||
Johnson & Johnson | 2.100% | 9/1/40 | 3,250 | 2,514 | ||
Johnson & Johnson | 3.700% | 3/1/46 | 26,329 | 25,334 | ||
Johnson & Johnson | 3.750% | 3/3/47 | 22,355 | 21,685 | ||
Johnson & Johnson | 2.450% | 9/1/60 | 14,215 | 10,284 | ||
Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 17,350 | 13,800 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 15,390 | 16,179 | ||
Kaiser Foundation Hospitals | 4.150% | 5/1/47 | 17,944 | 17,172 | ||
Kaiser Foundation Hospitals | 3.266% | 11/1/49 | 1,171 | 951 | ||
Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 44,155 | 34,184 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Mass General Brigham Inc. | 3.192% | 7/1/49 | 9,050 | 7,227 | ||
Mass General Brigham Inc. | 3.342% | 7/1/60 | 34,775 | 27,222 | ||
Mayo Clinic | 3.774% | 11/15/43 | 11,795 | 10,795 | ||
Mayo Clinic | 3.196% | 11/15/61 | 23,785 | 18,546 | ||
Medtronic Inc. | 4.375% | 3/15/35 | 4,115 | 4,331 | ||
Medtronic Inc. | 4.625% | 3/15/45 | 16,809 | 17,777 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 2,000 | 1,913 | ||
Merck & Co. Inc. | 3.900% | 3/7/39 | 2,000 | 1,955 | ||
Merck & Co. Inc. | 3.700% | 2/10/45 | 70,945 | 65,784 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 5,944 | 5,765 | ||
Merck & Co. Inc. | 2.750% | 12/10/51 | 3,500 | 2,726 | ||
Merck & Co. Inc. | 2.900% | 12/10/61 | 2,180 | 1,640 | ||
Mount Sinai Hospitals Group Inc. | 3.391% | 7/1/50 | 2,000 | 1,565 | ||
5 | Mozart Debt Merger Sub Inc. | 3.875% | 4/1/29 | 110 | 99 | |
New York and Presbyterian Hospital | 2.256% | 8/1/40 | 4,077 | 3,009 | ||
New York and Presbyterian Hospital | 4.024% | 8/1/45 | 12,210 | 11,505 | ||
New York and Presbyterian Hospital | 4.063% | 8/1/56 | 3,743 | 3,458 | ||
New York and Presbyterian Hospital | 4.763% | 8/1/16 | 5,250 | 5,037 | ||
Northwell Healthcare Inc. | 4.800% | 11/1/42 | 1,042 | 947 | ||
Northwell Healthcare Inc. | 3.979% | 11/1/46 | 1,944 | 1,704 | ||
Northwell Healthcare Inc. | 4.260% | 11/1/47 | 947 | 857 | ||
Northwell Healthcare Inc. | 3.809% | 11/1/49 | 3,784 | 3,254 | ||
Northwestern Memorial Healthcare Obligated Group | 2.633% | 7/15/51 | 3,500 | 2,553 | ||
Novant Health Inc. | 2.637% | 11/1/36 | 2,000 | 1,671 | ||
Novant Health Inc. | 3.168% | 11/1/51 | 5,500 | 4,340 | ||
Novant Health Inc. | 3.318% | 11/1/61 | 26,665 | 20,572 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 24,840 | 26,245 | ||
NYU Langone Hospitals | 4.784% | 7/1/44 | 1,944 | 1,934 | ||
OhioHealth Corp. | 2.834% | 11/15/41 | 4,875 | 3,858 | ||
5 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 420 | 399 | |
3 | Orlando Health Obligated Group | 3.327% | 10/1/50 | 1,350 | 1,064 | |
Partners Healthcare System Inc. | 3.765% | 7/1/48 | 6,455 | 5,689 | ||
PeaceHealth Obligated Group | 4.787% | 11/15/48 | 6,015 | 6,034 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 20,280 | 20,427 | ||
Pfizer Inc. | 3.900% | 3/15/39 | 34,185 | 33,533 | ||
Pfizer Inc. | 7.200% | 3/15/39 | 31,767 | 42,937 | ||
Pfizer Inc. | 4.300% | 6/15/43 | 10,645 | 10,866 | ||
Pfizer Inc. | 4.400% | 5/15/44 | 8,165 | 8,438 | ||
Pfizer Inc. | 4.125% | 12/15/46 | 11,665 | 11,724 | ||
Pfizer Inc. | 4.200% | 9/15/48 | 20,916 | 21,391 | ||
Pfizer Inc. | 4.000% | 3/15/49 | 1,944 | 1,922 | ||
Piedmont Healthcare Inc. | 2.719% | 1/1/42 | 2,000 | 1,525 | ||
3 | Providence St. Joseph Health Obligated Group | 3.744% | 10/1/47 | 4,605 | 4,016 | |
5 | Roche Holdings Inc. | 2.607% | 12/13/51 | 39,700 | 30,198 | |
Stanford Health Care | 3.310% | 8/15/30 | 2,140 | 2,046 | ||
Stanford Health Care | 3.027% | 8/15/51 | 25,000 | 19,405 | ||
Sutter Health | 3.161% | 8/15/40 | 22,915 | 18,437 | ||
Sutter Health | 3.361% | 8/15/50 | 11,962 | 9,613 | ||
5 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 20 | 20 | |
5 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 192 | 189 | |
5 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 90 | 91 | |
5 | Tenet Healthcare Corp. | 6.125% | 10/1/28 | 145 | 141 | |
5 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 133 | 124 | |
7 | Thermo Fisher Scientific Finance I BV | 2.000% | 10/18/51 | 300 | 246 | |
Thermo Fisher Scientific Inc. | 2.800% | 10/15/41 | 4,000 | 3,306 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 10,000 | 10,665 | ||
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 34,886 | 40,974 | ||
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 6,575 | 8,431 | ||
UnitedHealth Group Inc. | 3.500% | 8/15/39 | 20,796 | 18,963 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 1,520 | 1,239 | ||
UnitedHealth Group Inc. | 3.050% | 5/15/41 | 21,325 | 18,152 | ||
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 23,917 | 24,003 | ||
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 4,316 | 4,092 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 48,920 | 51,988 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 1,345 | 1,322 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UnitedHealth Group Inc. | 4.250% | 4/15/47 | 14,906 | 14,672 | ||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 25,610 | 23,429 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 27,767 | 27,183 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 2,890 | 2,920 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 21,722 | 19,689 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 3,000 | 2,377 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 30,845 | 25,884 | ||
UnitedHealth Group Inc. | 4.750% | 5/15/52 | 7,765 | 8,218 | ||
UnitedHealth Group Inc. | 4.950% | 5/15/62 | 15,755 | 17,020 | ||
Wyeth LLC | 6.500% | 2/1/34 | 1,240 | 1,538 | ||
Wyeth LLC | 5.950% | 4/1/37 | 53,438 | 65,017 | ||
Yale-New Haven Health Services Corp. | 2.496% | 7/1/50 | 1,250 | 870 | ||
1,730,486 | ||||||
Industrials (4.4%) | ||||||
3M Co. | 3.700% | 4/15/50 | 24,000 | 21,540 | ||
5 | Air Canada | 3.875% | 8/15/26 | 195 | 179 | |
7 | Airbus SE | 2.375% | 6/9/40 | 200 | 192 | |
5 | Allison Transmission Inc. | 4.750% | 10/1/27 | 221 | 210 | |
5 | American Airlines Inc. | 11.750% | 7/15/25 | 50 | 56 | |
5 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.500% | 4/20/26 | 150 | 148 | |
3,5 | American Airlines Inc. / AAdvantage Loyalty IP Ltd. | 5.750% | 4/20/29 | 730 | 699 | |
5 | Aramark Services Inc. | 6.375% | 5/1/25 | 80 | 80 | |
5 | Aramark Services Inc. | 5.000% | 2/1/28 | 434 | 424 | |
Boeing Co. | 5.705% | 5/1/40 | 2,600 | 2,596 | ||
Boeing Co. | 5.930% | 5/1/60 | 1,000 | 990 | ||
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 1,658 | 2,078 | ||
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 15,000 | 17,288 | ||
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 2,000 | 2,121 | ||
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 24,790 | 24,720 | ||
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 41,150 | 40,963 | ||
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 11,200 | 11,286 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 500 | 545 | ||
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 19,000 | 20,176 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 43,085 | 44,095 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 12,335 | 11,914 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 11,910 | 11,513 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,141 | 3,014 | ||
Burlington Northern Santa Fe LLC | 4.150% | 12/15/48 | 18,399 | 17,868 | ||
Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 19,445 | 17,264 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 4,000 | 3,265 | ||
Burlington Northern Santa Fe LLC | 3.300% | 9/15/51 | 17,015 | 14,487 | ||
Burlington Northern Santa Fe LLC | 2.875% | 6/15/52 | 5,830 | 4,615 | ||
Burlington Northern Santa Fe LLC | 4.450% | 1/15/53 | 5,025 | 5,129 | ||
Canadian National Railway Co. | 3.200% | 8/2/46 | 1,000 | 825 | ||
Canadian National Railway Co. | 3.650% | 2/3/48 | 28,169 | 24,977 | ||
Canadian National Railway Co. | 4.450% | 1/20/49 | 10,180 | 10,195 | ||
Canadian Pacific Railway Co. | 3.100% | 12/2/51 | 4,490 | 3,534 | ||
5 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 190 | 178 | |
Caterpillar Inc. | 6.050% | 8/15/36 | 2,968 | 3,592 | ||
Caterpillar Inc. | 3.803% | 8/15/42 | 26,112 | 25,147 | ||
5 | Clean Harbors Inc. | 4.875% | 7/15/27 | 762 | 757 | |
CSX Corp. | 4.500% | 11/15/52 | 3,750 | 3,726 | ||
Delta Air Lines Inc. | 2.900% | 10/28/24 | 70 | 67 | ||
5 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 330 | 346 | |
Delta Air Lines Inc. | 3.750% | 10/28/29 | 160 | 139 | ||
Emerson Electric Co. | 2.800% | 12/21/51 | 6,130 | 4,730 | ||
5 | Empresa de los Ferrocarriles del Estado | 3.830% | 9/14/61 | 3,240 | 2,291 | |
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 1,891 | 1,865 | ||
General Dynamics Corp. | 4.250% | 4/1/40 | 7,325 | 7,381 | ||
General Dynamics Corp. | 4.250% | 4/1/50 | 701 | 706 | ||
Honeywell International Inc. | 5.700% | 3/15/36 | 10,300 | 12,125 | ||
Honeywell International Inc. | 5.700% | 3/15/37 | 6,250 | 7,439 | ||
3 | JetBlue Class AA Series 2019-1 Pass Through Trust | 2.750% | 11/15/33 | 1,273 | 1,101 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | LBJ Infrastructure Group LLC | 3.797% | 12/31/57 | 14,570 | 10,542 | |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 2,000 | 1,947 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 17,189 | 18,118 | ||
Lockheed Martin Corp. | 4.070% | 12/15/42 | 5,284 | 5,168 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 8,572 | 7,977 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 4,544 | 4,756 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 26,945 | 21,383 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 29,552 | 28,813 | ||
Lockheed Martin Corp. | 4.150% | 6/15/53 | 61,695 | 60,570 | ||
Lockheed Martin Corp. | 4.300% | 6/15/62 | 2,530 | 2,502 | ||
5 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 407 | 411 | |
5 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 360 | 330 | |
Norfolk Southern Corp. | 4.550% | 6/1/53 | 3,390 | 3,370 | ||
Northrop Grumman Corp. | 5.250% | 5/1/50 | 700 | 773 | ||
Raytheon Technologies Corp. | 5.700% | 4/15/40 | 1,000 | 1,123 | ||
Raytheon Technologies Corp. | 4.200% | 12/15/44 | 1,000 | 908 | ||
Raytheon Technologies Corp. | 4.050% | 5/4/47 | 4,000 | 3,721 | ||
Rockwell Automation Inc. | 2.800% | 8/15/61 | 17,445 | 12,073 | ||
5 | Roller Bearing Co. of America Inc. | 4.375% | 10/15/29 | 115 | 105 | |
5 | Rolls-Royce plc | 5.750% | 10/15/27 | 760 | 718 | |
7 | Siemens Financieringsmaatschappij NV | 0.500% | 2/20/32 | 800 | 720 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 32,025 | 33,144 | ||
5 | TopBuild Corp. | 3.625% | 3/15/29 | 45 | 41 | |
5 | TopBuild Corp. | 4.125% | 2/15/32 | 270 | 238 | |
5 | TransDigm Inc. | 8.000% | 12/15/25 | 230 | 238 | |
5 | TransDigm Inc. | 6.250% | 3/15/26 | 574 | 577 | |
TransDigm Inc. | 5.500% | 11/15/27 | 160 | 151 | ||
TransDigm Inc. | 4.875% | 5/1/29 | 300 | 269 | ||
Union Pacific Corp. | 3.600% | 9/15/37 | 18,335 | 17,444 | ||
Union Pacific Corp. | 3.375% | 2/14/42 | 18,525 | 16,334 | ||
Union Pacific Corp. | 2.950% | 3/10/52 | 44,970 | 34,929 | ||
Union Pacific Corp. | 3.500% | 2/14/53 | 24,760 | 21,352 | ||
Union Pacific Corp. | 3.550% | 5/20/61 | 5,660 | 4,758 | ||
Union Pacific Corp. | 3.850% | 2/14/72 | 32,180 | 27,870 | ||
3 | United Airlines Class AA Series 2019-2 Pass Through Trust | 2.700% | 11/1/33 | 1,769 | 1,503 | |
5 | United Airlines Inc. | 4.375% | 4/15/26 | 405 | 390 | |
5 | United Airlines Inc. | 4.625% | 4/15/29 | 300 | 277 | |
United Parcel Service Inc. | 4.875% | 11/15/40 | 3,000 | 3,185 | ||
United Parcel Service Inc. | 4.250% | 3/15/49 | 2,000 | 2,013 | ||
United Parcel Service Inc. | 3.400% | 9/1/49 | 3,837 | 3,404 | ||
United Parcel Service Inc. | 5.300% | 4/1/50 | 2,205 | 2,576 | ||
5 | Vertiv Group Corp. | 4.125% | 11/15/28 | 125 | 111 | |
5 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 260 | 271 | |
5 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 79 | 74 | |
747,753 | ||||||
Materials (0.8%) | ||||||
5 | Advanced Drainage Systems Inc. | 6.375% | 6/15/30 | 50 | 51 | |
Air Products and Chemicals Inc. | 2.700% | 5/15/40 | 2,995 | 2,507 | ||
Air Products and Chemicals Inc. | 2.800% | 5/15/50 | 1,000 | 794 | ||
5 | Arconic Corp. | 6.000% | 5/15/25 | 45 | 45 | |
5 | Arconic Corp. | 6.125% | 2/15/28 | 95 | 95 | |
5 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 4/30/25 | 102 | 100 | |
5,8 | Avient Corp. | 7.125% | 8/1/30 | 150 | 155 | |
5 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV | 4.750% | 6/15/27 | 185 | 177 | |
Ball Corp. | 2.875% | 8/15/30 | 574 | 498 | ||
Ball Corp. | 3.125% | 9/15/31 | 165 | 144 | ||
5 | Berry Global Inc. | 4.875% | 7/15/26 | 236 | 232 | |
5 | Berry Global Inc. | 5.625% | 7/15/27 | 290 | 293 | |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 17,947 | 17,460 | ||
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 4,310 | 4,620 | ||
5 | Big River Steel LLC / BRS Finance Corp. | 6.625% | 1/31/29 | 160 | 164 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | Canpack SA / Canpack US LLC | 3.875% | 11/15/29 | 395 | 322 | |
5 | Chemours Co. | 4.625% | 11/15/29 | 385 | 338 | |
5 | Corp. Nacional del Cobre de Chile | 3.700% | 1/30/50 | 18,535 | 14,450 | |
Dow Chemical Co. | 3.600% | 11/15/50 | 1,000 | 797 | ||
Ecolab Inc. | 3.950% | 12/1/47 | 1,558 | 1,476 | ||
Ecolab Inc. | 2.125% | 8/15/50 | 1,380 | 925 | ||
Ecolab Inc. | 2.700% | 12/15/51 | 34,110 | 25,860 | ||
5 | Element Solutions Inc. | 3.875% | 9/1/28 | 255 | 235 | |
5 | Freeport Indonesia PT | 6.200% | 4/14/52 | 2,750 | 2,428 | |
Freeport-McMoRan Inc. | 5.400% | 11/14/34 | 700 | 700 | ||
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 65 | 61 | ||
5 | Graham Packaging Co. Inc. | 7.125% | 8/15/28 | 165 | 140 | |
5 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 85 | 79 | |
5 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 58 | 53 | |
5 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 445 | 369 | |
5 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 60 | 53 | |
5 | Ingevity Corp. | 3.875% | 11/1/28 | 80 | 71 | |
5 | Kaiser Aluminum Corp. | 4.500% | 6/1/31 | 240 | 193 | |
7 | Koninklijke DSM NV | 0.625% | 6/23/32 | 1,000 | 857 | |
Linde Inc. | 3.550% | 11/7/42 | 1,799 | 1,631 | ||
7 | Linde plc | 1.000% | 9/30/51 | 700 | 481 | |
Newmont Corp. | 2.600% | 7/15/32 | 3,000 | 2,559 | ||
5 | Novelis Corp. | 4.750% | 1/30/30 | 180 | 166 | |
5 | Pactiv Evergreen Group Issuer Inc. / Pactiv Evergreen Group Issuer LLC | 4.000% | 10/15/27 | 128 | 113 | |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 2,000 | 2,200 | ||
Rio Tinto Finance USA Ltd. | 2.750% | 11/2/51 | 31,810 | 24,348 | ||
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 29,895 | 28,879 | ||
5 | SPCM SA | 3.125% | 3/15/27 | 90 | 77 | |
5 | SPCM SA | 3.375% | 3/15/30 | 240 | 193 | |
5 | Unifrax Escrow Issuer Corp. | 5.250% | 9/30/28 | 175 | 147 | |
United States Steel Corp. | 6.875% | 3/1/29 | 96 | 92 | ||
137,628 | ||||||
Real Estate (0.5%) | ||||||
Agree LP | 2.600% | 6/15/33 | 1,760 | 1,452 | ||
Alexandria Real Estate Equities Inc. | 4.850% | 4/15/49 | 750 | 713 | ||
Alexandria Real Estate Equities Inc. | 4.000% | 2/1/50 | 1,937 | 1,662 | ||
Alexandria Real Estate Equities Inc. | 3.000% | 5/18/51 | 3,520 | 2,513 | ||
Alexandria Real Estate Equities Inc. | 3.550% | 3/15/52 | 4,650 | 3,702 | ||
American Homes 4 Rent LP | 3.375% | 7/15/51 | 1,925 | 1,375 | ||
American Tower Corp. | 2.900% | 1/15/30 | 1,250 | 1,117 | ||
American Tower Corp. | 2.300% | 9/15/31 | 7,820 | 6,499 | ||
American Tower Corp. | 4.050% | 3/15/32 | 2,448 | 2,344 | ||
Boston Properties LP | 2.450% | 10/1/33 | 1,650 | 1,311 | ||
Corporate Office Properties LP | 2.900% | 12/1/33 | 1,735 | 1,362 | ||
7 | Digital Dutch Finco BV | 1.000% | 1/15/32 | 1,000 | 816 | |
Equinix Inc. | 3.400% | 2/15/52 | 6,837 | 5,197 | ||
ERP Operating LP | 4.500% | 7/1/44 | 289 | 284 | ||
Essex Portfolio LP | 4.500% | 3/15/48 | 1,700 | 1,557 | ||
Kimco Realty Corp. | 3.700% | 10/1/49 | 2,000 | 1,612 | ||
Mid-America Apartments LP | 2.875% | 9/15/51 | 2,250 | 1,623 | ||
MPT Operating Partnership LP / MPT Finance Corp. | 3.500% | 3/15/31 | 435 | 375 | ||
National Retail Properties Inc. | 4.800% | 10/15/48 | 500 | 473 | ||
National Retail Properties Inc. | 3.100% | 4/15/50 | 3,400 | 2,390 | ||
National Retail Properties Inc. | 3.500% | 4/15/51 | 3,330 | 2,578 | ||
5 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 3,000 | 2,999 | |
7 | Prologis International Funding II SA | 1.625% | 6/17/32 | 1,238 | 1,114 | |
SBA Communications Corp. | 3.125% | 2/1/29 | 195 | 171 | ||
Simon Property Group LP | 4.250% | 10/1/44 | 715 | 626 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 33,520 | 25,299 | ||
Simon Property Group LP | 3.800% | 7/15/50 | 8,500 | 7,064 | ||
5 | Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC | 7.875% | 2/15/25 | 80 | 81 | |
7 | Vonovia Finance BV | 1.625% | 10/7/39 | 500 | 368 | |
7 | Vonovia SE | 1.500% | 6/14/41 | 600 | 430 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Weyerhaeuser Co. | 4.000% | 3/9/52 | 1,300 | 1,120 | ||
80,227 | ||||||
Technology (10.1%) | ||||||
Advanced Micro Devices Inc. | 4.393% | 6/1/52 | 3,410 | 3,473 | ||
Apple Inc. | 2.375% | 2/8/41 | 28,015 | 22,577 | ||
6 | Apple Inc. | 3.600% | 7/31/42 | 400 | 510 | |
Apple Inc. | 3.850% | 5/4/43 | 62,494 | 60,677 | ||
Apple Inc. | 3.450% | 2/9/45 | 45,360 | 41,537 | ||
Apple Inc. | 4.375% | 5/13/45 | 35,166 | 36,719 | ||
Apple Inc. | 4.650% | 2/23/46 | 35,107 | 37,926 | ||
Apple Inc. | 3.850% | 8/4/46 | 42,955 | 41,310 | ||
Apple Inc. | 4.250% | 2/9/47 | 39,099 | 40,294 | ||
Apple Inc. | 3.750% | 11/13/47 | 24,095 | 22,885 | ||
Apple Inc. | 2.950% | 9/11/49 | 34,025 | 28,255 | ||
Apple Inc. | 2.400% | 8/20/50 | 2,000 | 1,496 | ||
Apple Inc. | 2.650% | 2/8/51 | 59,650 | 46,519 | ||
Apple Inc. | 2.700% | 8/5/51 | 53,725 | 42,269 | ||
Apple Inc. | 2.550% | 8/20/60 | 22,640 | 16,558 | ||
Apple Inc. | 2.850% | 8/5/61 | 1,600 | 1,240 | ||
Applied Materials Inc. | 5.100% | 10/1/35 | 95 | 105 | ||
Applied Materials Inc. | 4.350% | 4/1/47 | 1,775 | 1,824 | ||
Cisco Systems Inc. | 5.900% | 2/15/39 | 23,465 | 27,748 | ||
Cisco Systems Inc. | 5.500% | 1/15/40 | 17,202 | 19,628 | ||
5 | Clarivate Science Holdings Corp. | 4.875% | 7/1/29 | 230 | 204 | |
5 | CommScope Inc. | 6.000% | 3/1/26 | 65 | 63 | |
5 | CommScope Inc. | 7.125% | 7/1/28 | 136 | 113 | |
5 | Condor Merger Sub Inc. | 7.375% | 2/15/30 | 325 | 288 | |
Dell International LLC / EMC Corp. | 8.100% | 7/15/36 | 1,727 | 2,111 | ||
5 | Dell International LLC / EMC Corp. | 3.375% | 12/15/41 | 3,000 | 2,240 | |
5 | Entegris Escrow Corp. | 4.750% | 4/15/29 | 1,980 | 1,910 | |
5 | Entegris Escrow Corp. | 5.950% | 6/15/30 | 490 | 486 | |
Intel Corp. | 4.100% | 5/19/46 | 19,202 | 17,931 | ||
Intel Corp. | 4.100% | 5/11/47 | 33,355 | 31,225 | ||
Intel Corp. | 3.734% | 12/8/47 | 56,122 | 49,160 | ||
Intel Corp. | 3.250% | 11/15/49 | 42,600 | 34,451 | ||
Intel Corp. | 4.750% | 3/25/50 | 5,500 | 5,592 | ||
Intel Corp. | 3.050% | 8/12/51 | 17,768 | 13,700 | ||
Intel Corp. | 3.100% | 2/15/60 | 19,740 | 14,673 | ||
Intel Corp. | 3.200% | 8/12/61 | 3,400 | 2,589 | ||
International Business Machines Corp. | 4.400% | 7/27/32 | 10,070 | 10,339 | ||
International Business Machines Corp. | 4.150% | 5/15/39 | 36,745 | 34,653 | ||
International Business Machines Corp. | 4.000% | 6/20/42 | 2,133 | 1,944 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 42,215 | 39,157 | ||
International Business Machines Corp. | 3.430% | 2/9/52 | 13,845 | 11,133 | ||
International Business Machines Corp. | 4.900% | 7/27/52 | 23,500 | 23,589 | ||
KLA Corp. | 5.000% | 3/15/49 | 1,256 | 1,339 | ||
KLA Corp. | 4.950% | 7/15/52 | 3,790 | 4,060 | ||
5 | Kyndryl Holdings Inc. | 4.100% | 10/15/41 | 4,760 | 3,163 | |
Mastercard Inc. | 3.950% | 2/26/48 | 25,075 | 24,372 | ||
Mastercard Inc. | 3.650% | 6/1/49 | 2,422 | 2,259 | ||
Mastercard Inc. | 3.850% | 3/26/50 | 4,500 | 4,344 | ||
Mastercard Inc. | 2.950% | 3/15/51 | 3,000 | 2,493 | ||
Microsoft Corp. | 3.500% | 2/12/35 | 14,553 | 14,755 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 219,289 | 170,506 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 127,814 | 107,593 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 68,199 | 52,613 | ||
Microsoft Corp. | 3.041% | 3/17/62 | 49,409 | 41,142 | ||
5 | MSCI Inc. | 3.625% | 9/1/30 | 125 | 114 | |
5 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 66 | 65 | |
NVIDIA Corp. | 3.500% | 4/1/40 | 22,525 | 20,757 | ||
NVIDIA Corp. | 3.500% | 4/1/50 | 22,660 | 20,369 | ||
NVIDIA Corp. | 3.700% | 4/1/60 | 13,140 | 11,721 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Oracle Corp. | 6.500% | 4/15/38 | 42,605 | 45,263 | ||
Oracle Corp. | 5.375% | 7/15/40 | 19,240 | 18,069 | ||
Oracle Corp. | 4.125% | 5/15/45 | 24,805 | 19,793 | ||
Oracle Corp. | 4.000% | 7/15/46 | 32,790 | 25,349 | ||
QUALCOMM Inc. | 4.800% | 5/20/45 | 12,300 | 13,174 | ||
QUALCOMM Inc. | 4.300% | 5/20/47 | 41,225 | 41,228 | ||
QUALCOMM Inc. | 4.500% | 5/20/52 | 19,500 | 20,030 | ||
S&P Global Inc. | 3.250% | 12/1/49 | 2,000 | 1,655 | ||
5 | S&P Global Inc. | 3.700% | 3/1/52 | 64,678 | 58,638 | |
5 | S&P Global Inc. | 3.900% | 3/1/62 | 7,010 | 6,386 | |
5 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 94 | 93 | |
salesforce.com Inc. | 2.700% | 7/15/41 | 4,100 | 3,368 | ||
salesforce.com Inc. | 2.900% | 7/15/51 | 39,420 | 31,693 | ||
salesforce.com Inc. | 3.050% | 7/15/61 | 26,175 | 20,720 | ||
5 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 287 | 283 | |
Texas Instruments Inc. | 3.875% | 3/15/39 | 6,056 | 5,988 | ||
5 | TSMC Global Ltd. | 4.625% | 7/22/32 | 20,055 | 20,665 | |
Visa Inc. | 4.150% | 12/14/35 | 20,145 | 21,143 | ||
Visa Inc. | 2.700% | 4/15/40 | 4,500 | 3,831 | ||
Visa Inc. | 4.300% | 12/14/45 | 38,196 | 39,676 | ||
Visa Inc. | 3.650% | 9/15/47 | 37,123 | 34,607 | ||
Visa Inc. | 2.000% | 8/15/50 | 13,570 | 9,552 | ||
1,713,970 | ||||||
Utilities (15.0%) | ||||||
AEP Transmission Co. LLC | 3.750% | 12/1/47 | 38,300 | 33,045 | ||
AEP Transmission Co. LLC | 4.250% | 9/15/48 | 5,580 | 5,223 | ||
AEP Transmission Co. LLC | 3.800% | 6/15/49 | 5,436 | 4,808 | ||
AEP Transmission Co. LLC | 3.150% | 9/15/49 | 5,763 | 4,538 | ||
AEP Transmission Co. LLC | 3.650% | 4/1/50 | 3,525 | 3,068 | ||
AEP Transmission Co. LLC | 4.500% | 6/15/52 | 8,950 | 8,913 | ||
Alabama Power Co. | 6.000% | 3/1/39 | 7,535 | 8,505 | ||
Alabama Power Co. | 5.500% | 3/15/41 | 26,874 | 28,506 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 14,920 | 15,358 | ||
Alabama Power Co. | 3.850% | 12/1/42 | 1,065 | 952 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 23,325 | 20,258 | ||
Alabama Power Co. | 3.450% | 10/1/49 | 1,944 | 1,615 | ||
Alabama Power Co. | 3.125% | 7/15/51 | 2,700 | 2,144 | ||
Alabama Power Co. | 3.000% | 3/15/52 | 4,920 | 3,857 | ||
Ameren Illinois Co. | 4.500% | 3/15/49 | 26,150 | 26,119 | ||
Ameren Illinois Co. | 2.900% | 6/15/51 | 3,000 | 2,299 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 2,380 | 2,083 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 17,780 | 14,764 | ||
Appalachian Power Co. | 6.700% | 8/15/37 | 17,970 | 20,852 | ||
Appalachian Power Co. | 4.400% | 5/15/44 | 1,995 | 1,815 | ||
Appalachian Power Co. | 3.700% | 5/1/50 | 3,760 | 3,105 | ||
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,420 | 1,304 | ||
Atmos Energy Corp. | 4.125% | 10/15/44 | 2,150 | 1,993 | ||
Atmos Energy Corp. | 3.375% | 9/15/49 | 2,890 | 2,403 | ||
Baltimore Gas and Electric Co. | 6.350% | 10/1/36 | 1,165 | 1,393 | ||
Baltimore Gas and Electric Co. | 4.250% | 9/15/48 | 26,475 | 25,092 | ||
Baltimore Gas and Electric Co. | 4.550% | 6/1/52 | 3,705 | 3,772 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 6,612 | 7,620 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 4,890 | 5,568 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 25,000 | 26,473 | ||
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 43,625 | 42,724 | ||
Berkshire Hathaway Energy Co. | 4.450% | 1/15/49 | 5,000 | 4,894 | ||
Berkshire Hathaway Energy Co. | 2.850% | 5/15/51 | 3,730 | 2,816 | ||
5 | Berkshire Hathaway Energy Co. | 4.600% | 5/1/53 | 2,300 | 2,319 | |
5 | Brooklyn Union Gas Co. | 4.487% | 3/4/49 | 35,000 | 30,549 | |
6 | Cadent Finance plc | 3.125% | 3/21/40 | 1,000 | 1,031 | |
5 | Calpine Corp. | 5.125% | 3/15/28 | 295 | 277 | |
CenterPoint Energy Houston Electric LLC | 2.900% | 7/1/50 | 5,200 | 4,106 | ||
CenterPoint Energy Houston Electric LLC | 3.350% | 4/1/51 | 1,330 | 1,144 | ||
CenterPoint Energy Houston Electric LLC | 3.600% | 3/1/52 | 2,000 | 1,788 | ||
CenterPoint Energy Inc. | 3.700% | 9/1/49 | 1,244 | 1,041 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
CenterPoint Energy Resources Corp. | 4.100% | 9/1/47 | 2,615 | 2,401 | ||
6 | Centrica plc | 7.000% | 9/19/33 | 400 | 600 | |
5 | Centrica plc | 5.375% | 10/16/43 | 3,800 | 3,973 | |
5 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 185 | 180 | |
CMS Energy Corp. | 4.875% | 3/1/44 | 1,902 | 1,860 | ||
5 | Comision Federal de Electricidad | 3.875% | 7/26/33 | 570 | 451 | |
Comision Federal de Electricidad | 3.875% | 7/26/33 | 1,675 | 1,344 | ||
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,370 | 2,770 | ||
Commonwealth Edison Co. | 3.800% | 10/1/42 | 20,733 | 18,844 | ||
Commonwealth Edison Co. | 4.600% | 8/15/43 | 15,205 | 15,279 | ||
Commonwealth Edison Co. | 4.700% | 1/15/44 | 15,891 | 16,200 | ||
Commonwealth Edison Co. | 3.700% | 3/1/45 | 17,765 | 15,601 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,060 | 10,672 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 11,552 | 10,234 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 8,765 | 8,283 | ||
Commonwealth Edison Co. | 4.000% | 3/1/49 | 13,485 | 12,608 | ||
Commonwealth Edison Co. | 3.000% | 3/1/50 | 2,000 | 1,607 | ||
Commonwealth Edison Co. | 3.125% | 3/15/51 | 2,060 | 1,667 | ||
Commonwealth Edison Co. | 2.750% | 9/1/51 | 1,500 | 1,124 | ||
Commonwealth Edison Co. | 3.850% | 3/15/52 | 1,500 | 1,388 | ||
Connecticut Light and Power Co. | 6.350% | 6/1/36 | 14,382 | 16,818 | ||
Connecticut Light and Power Co. | 4.300% | 4/15/44 | 1,390 | 1,347 | ||
Connecticut Light and Power Co. | 4.150% | 6/1/45 | 17,480 | 16,627 | ||
Connecticut Light and Power Co. | 4.000% | 4/1/48 | 6,645 | 6,286 | ||
Consolidated Edison Co of New York Inc. | 3.600% | 6/15/61 | 2,195 | 1,844 | ||
Consolidated Edison Co. of New York Inc. | 5.100% | 6/15/33 | 691 | 727 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 9,947 | 11,132 | ||
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 10,637 | 12,298 | ||
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 9,600 | 11,478 | ||
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 8,668 | 9,243 | ||
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 852 | 934 | ||
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 10,501 | 9,663 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 8,740 | 7,909 | ||
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 50,016 | 48,038 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 5,715 | 5,474 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 7,000 | 6,182 | ||
Consolidated Edison Co. of New York Inc. | 3.875% | 6/15/47 | 1,000 | 875 | ||
Consolidated Edison Co. of New York Inc. | 4.650% | 12/1/48 | 6,790 | 6,690 | ||
Consolidated Edison Co. of New York Inc. | 4.125% | 5/15/49 | 9,044 | 8,313 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,000 | 920 | ||
Consolidated Edison Co. of New York Inc. | 3.200% | 12/1/51 | 38,807 | 30,930 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 947 | 896 | ||
Consolidated Edison Co. of New York Inc. | 3.000% | 12/1/60 | 24,438 | 17,524 | ||
Consumers Energy Co. | 3.250% | 8/15/46 | 1,000 | 837 | ||
Consumers Energy Co. | 3.750% | 2/15/50 | 1,944 | 1,749 | ||
Consumers Energy Co. | 3.100% | 8/15/50 | 33,646 | 27,376 | ||
Consumers Energy Co. | 2.650% | 8/15/52 | 19,985 | 15,016 | ||
Consumers Energy Co. | 2.500% | 5/1/60 | 21,681 | 14,739 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 11,775 | 13,459 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 3,000 | 3,248 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 2,340 | 2,313 | ||
DTE Electric Co. | 4.300% | 7/1/44 | 1,220 | 1,179 | ||
DTE Electric Co. | 3.700% | 3/15/45 | 2,910 | 2,606 | ||
DTE Electric Co. | 2.950% | 3/1/50 | 2,235 | 1,789 | ||
DTE Electric Co. | 3.250% | 4/1/51 | 2,000 | 1,681 | ||
DTE Electric Co. | 3.650% | 3/1/52 | 10,715 | 9,667 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 11,230 | 12,646 | ||
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 8,910 | 9,733 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 16,300 | 15,791 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 42,092 | 39,348 | ||
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 1,643 | 1,454 | ||
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 2,000 | 1,802 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 1,500 | 1,323 | ||
Duke Energy Carolinas LLC | 3.200% | 8/15/49 | 10,922 | 8,975 | ||
Duke Energy Carolinas LLC | 3.450% | 4/15/51 | 13,045 | 11,115 | ||
Duke Energy Carolinas LLC | 3.550% | 3/15/52 | 5,320 | 4,628 | ||
7 | Duke Energy Corp. | 3.850% | 6/15/34 | 1,100 | 1,194 | |
Duke Energy Florida LLC | 6.350% | 9/15/37 | 758 | 895 | ||
Duke Energy Florida LLC | 5.650% | 4/1/40 | 1,200 | 1,322 | ||
Duke Energy Florida LLC | 3.850% | 11/15/42 | 1,466 | 1,327 | ||
Duke Energy Florida LLC | 3.400% | 10/1/46 | 2,000 | 1,658 | ||
Duke Energy Florida LLC | 4.200% | 7/15/48 | 1,000 | 943 | ||
Duke Energy Florida LLC | 3.000% | 12/15/51 | 2,450 | 1,926 | ||
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 1,000 | 1,138 | ||
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 775 | 904 | ||
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 10,411 | 12,198 | ||
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 12,700 | 11,590 | ||
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 29,514 | 29,597 | ||
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 10,325 | 8,950 | ||
Duke Energy Ohio Inc. | 4.300% | 2/1/49 | 1,000 | 947 | ||
Duke Energy Progress LLC | 4.100% | 5/15/42 | 2,250 | 2,118 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 23,186 | 21,767 | ||
Duke Energy Progress LLC | 4.150% | 12/1/44 | 29,945 | 28,144 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 22,105 | 20,922 | ||
Duke Energy Progress LLC | 3.700% | 10/15/46 | 22,000 | 19,044 | ||
Duke Energy Progress LLC | 3.600% | 9/15/47 | 2,000 | 1,747 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 1,000 | 718 | ||
Duke Energy Progress LLC | 2.900% | 8/15/51 | 14,785 | 11,425 | ||
Duke Energy Progress LLC | 4.000% | 4/1/52 | 9,670 | 9,087 | ||
6 | DWR Cymru Financing UK plc | 2.500% | 3/31/36 | 1,200 | 1,318 | |
6 | Enel Finance International NV | 5.750% | 9/14/40 | 400 | 556 | |
7 | Engie SA | 2.000% | 9/28/37 | 800 | 686 | |
Entergy Arkansas LLC | 2.650% | 6/15/51 | 2,665 | 1,935 | ||
Entergy Louisiana LLC | 4.000% | 3/15/33 | 651 | 645 | ||
Entergy Louisiana LLC | 4.950% | 1/15/45 | 1,046 | 1,016 | ||
Entergy Louisiana LLC | 4.200% | 9/1/48 | 1,400 | 1,330 | ||
Entergy Louisiana LLC | 4.200% | 4/1/50 | 1,500 | 1,407 | ||
Entergy Louisiana LLC | 2.900% | 3/15/51 | 2,800 | 2,122 | ||
Evergy Kansas Central Inc. | 4.125% | 3/1/42 | 1,112 | 1,036 | ||
Evergy Kansas Central Inc. | 4.625% | 9/1/43 | 1,231 | 1,165 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 8,050 | 6,498 | ||
Evergy Kansas Central Inc. | 3.450% | 4/15/50 | 500 | 418 | ||
5 | Exelon Corp. | 4.100% | 3/15/52 | 2,365 | 2,141 | |
FirstEnergy Corp. | 4.400% | 7/15/27 | 255 | 250 | ||
FirstEnergy Corp. | 2.650% | 3/1/30 | 1,560 | 1,371 | ||
FirstEnergy Corp. | 3.400% | 3/1/50 | 75 | 56 | ||
Florida Power & Light Co. | 5.650% | 2/1/37 | 1,500 | 1,702 | ||
Florida Power & Light Co. | 5.960% | 4/1/39 | 947 | 1,093 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 663 | 757 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 2,779 | 3,046 | ||
Florida Power & Light Co. | 3.950% | 3/1/48 | 5,859 | 5,580 | ||
Florida Power & Light Co. | 3.990% | 3/1/49 | 2,890 | 2,764 | ||
Florida Power & Light Co. | 2.875% | 12/4/51 | 2,000 | 1,586 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 33,945 | 31,971 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 10,641 | 9,808 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 17,230 | 14,242 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 17,767 | 18,403 | |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 2,894 | 3,017 | ||
Kentucky Utilities Co. | 4.375% | 10/1/45 | 18,000 | 17,142 | ||
Kentucky Utilities Co. | 3.300% | 6/1/50 | 1,900 | 1,555 | ||
Louisville Gas and Electric Co. | 4.250% | 4/1/49 | 17,050 | 15,852 | ||
5 | Massachusetts Electric Co. | 4.004% | 8/15/46 | 10,890 | 9,236 | |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 1,473 | 1,706 | ||
MidAmerican Energy Co. | 4.800% | 9/15/43 | 27,525 | 28,348 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 24,721 | 23,752 | ||
MidAmerican Energy Co. | 3.950% | 8/1/47 | 2,000 | 1,852 | ||
MidAmerican Energy Co. | 3.650% | 8/1/48 | 2,780 | 2,470 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 15,510 | 15,070 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 1,000 | 820 | ||
MidAmerican Energy Co. | 2.700% | 8/1/52 | 1,250 | 951 | ||
5 | Monongahela Power Co. | 5.400% | 12/15/43 | 10,640 | 11,014 | |
6 | National Grid Electricity Transmission plc | 2.750% | 2/6/35 | 1,200 | 1,280 | |
7 | National Grid plc | 0.750% | 9/1/33 | 100 | 82 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 2,100 | 2,093 | ||
National Rural Utilities Cooperative Finance Corp. | 4.300% | 3/15/49 | 13,055 | 12,344 | ||
Nevada Power Co. | 6.650% | 4/1/36 | 5,830 | 7,024 | ||
Nevada Power Co. | 5.450% | 5/15/41 | 21,620 | 22,771 | ||
5 | New England Power Co. | 2.807% | 10/6/50 | 15,615 | 10,818 | |
NextEra Energy Capital Holdings Inc. | 3.000% | 1/15/52 | 1,360 | 1,027 | ||
5 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 261 | 258 | |
Northern States Power Co. | 6.250% | 6/1/36 | 780 | 937 | ||
Northern States Power Co. | 6.200% | 7/1/37 | 1,944 | 2,353 | ||
Northern States Power Co. | 5.350% | 11/1/39 | 758 | 847 | ||
Northern States Power Co. | 3.400% | 8/15/42 | 1,000 | 880 | ||
Northern States Power Co. | 4.000% | 8/15/45 | 805 | 747 | ||
Northern States Power Co. | 3.600% | 9/15/47 | 12,525 | 11,017 | ||
Northern States Power Co. | 4.200% | 9/1/48 | 12,250 | 11,175 | ||
Northern States Power Co. | 2.600% | 6/1/51 | 14,765 | 11,107 | ||
Northern States Power Co. | 4.500% | 6/1/52 | 5,330 | 5,510 | ||
NRG Energy Inc. | 6.625% | 1/15/27 | 24 | 24 | ||
NSTAR Electric Co. | 3.100% | 6/1/51 | 1,000 | 796 | ||
Ohio Power Co. | 4.000% | 6/1/49 | 734 | 649 | ||
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,420 | 1,877 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 3,103 | 3,404 | ||
Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 7,120 | 6,434 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 16,908 | 15,468 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 11/15/48 | 3,665 | 3,511 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 6/1/49 | 1,420 | 1,307 | ||
Oncor Electric Delivery Co. LLC | 3.700% | 5/15/50 | 255 | 231 | ||
Oncor Electric Delivery Co. LLC | 2.700% | 11/15/51 | 10,080 | 7,702 | ||
PacifiCorp | 5.250% | 6/15/35 | 1,232 | 1,303 | ||
PacifiCorp | 6.100% | 8/1/36 | 14,920 | 16,897 | ||
PacifiCorp | 6.250% | 10/15/37 | 7,772 | 8,997 | ||
PacifiCorp | 6.350% | 7/15/38 | 35,944 | 41,974 | ||
PacifiCorp | 6.000% | 1/15/39 | 32,206 | 36,432 | ||
PacifiCorp | 4.100% | 2/1/42 | 19,700 | 18,176 | ||
PacifiCorp | 4.125% | 1/15/49 | 3,437 | 3,241 | ||
PacifiCorp | 4.150% | 2/15/50 | 44,530 | 42,052 | ||
PacifiCorp | 2.900% | 6/15/52 | 7,299 | 5,607 | ||
PECO Energy Co. | 4.800% | 10/15/43 | 10,365 | 10,262 | ||
PECO Energy Co. | 4.150% | 10/1/44 | 396 | 375 | ||
PECO Energy Co. | 3.700% | 9/15/47 | 15,500 | 13,964 | ||
PECO Energy Co. | 3.900% | 3/1/48 | 30,240 | 28,054 | ||
PECO Energy Co. | 3.050% | 3/15/51 | 5,655 | 4,566 | ||
PECO Energy Co. | 4.600% | 5/15/52 | 8,925 | 9,319 | ||
5,7 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 1,690 | 1,317 | |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,160 | 1,417 | ||
Potomac Electric Power Co. | 7.900% | 12/15/38 | 142 | 189 | ||
Potomac Electric Power Co. | 4.150% | 3/15/43 | 13,575 | 12,851 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PPL Electric Utilities Corp. | 6.450% | 8/15/37 | 10,200 | 11,997 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 10,924 | 12,744 | ||
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,183 | 1,196 | ||
PPL Electric Utilities Corp. | 3.950% | 6/1/47 | 12,500 | 11,491 | ||
Public Service Co. of Colorado | 6.250% | 9/1/37 | 960 | 1,164 | ||
Public Service Co. of Colorado | 3.600% | 9/15/42 | 20,555 | 18,233 | ||
Public Service Co. of Colorado | 4.300% | 3/15/44 | 2,761 | 2,630 | ||
Public Service Co. of Colorado | 3.800% | 6/15/47 | 1,280 | 1,154 | ||
Public Service Co. of Colorado | 4.050% | 9/15/49 | 34,010 | 31,421 | ||
Public Service Co. of Colorado | 3.200% | 3/1/50 | 4,000 | 3,290 | ||
Public Service Co. of Colorado | 4.500% | 6/1/52 | 5,660 | 5,750 | ||
Public Service Co. of New Hampshire | 3.600% | 7/1/49 | 3,655 | 3,211 | ||
Public Service Electric and Gas Co. | 3.650% | 9/1/42 | 21,083 | 18,891 | ||
Public Service Electric and Gas Co. | 3.600% | 12/1/47 | 2,000 | 1,743 | ||
Public Service Electric and Gas Co. | 3.850% | 5/1/49 | 2,890 | 2,644 | ||
Public Service Electric and Gas Co. | 3.200% | 8/1/49 | 1,065 | 880 | ||
Public Service Electric and Gas Co. | 2.700% | 5/1/50 | 17,600 | 13,228 | ||
Public Service Electric and Gas Co. | 3.000% | 3/1/51 | 3,000 | 2,408 | ||
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 473 | 549 | ||
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,042 | 1,146 | ||
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 15,992 | 17,602 | ||
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 379 | 350 | ||
Puget Sound Energy Inc. | 4.223% | 6/15/48 | 29,820 | 27,428 | ||
Puget Sound Energy Inc. | 3.250% | 9/15/49 | 35,150 | 27,448 | ||
Puget Sound Energy Inc. | 2.893% | 9/15/51 | 14,200 | 10,599 | ||
3,5 | Rayburn Country Securitization LLC | 3.025% | 12/1/43 | 8,724 | 7,394 | |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 2,000 | 1,962 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 1,000 | 884 | ||
San Diego Gas & Electric Co. | 4.100% | 6/15/49 | 2,081 | 1,938 | ||
San Diego Gas & Electric Co. | 2.950% | 8/15/51 | 1,500 | 1,176 | ||
San Diego Gas & Electric Co. | 3.700% | 3/15/52 | 21,475 | 19,159 | ||
Southern California Edison Co. | 6.000% | 1/15/34 | 1,000 | 1,107 | ||
Southern California Edison Co. | 5.625% | 2/1/36 | 925 | 966 | ||
Southern California Edison Co. | 5.950% | 2/1/38 | 11,060 | 11,808 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 14,228 | 12,981 | ||
Southern California Edison Co. | 3.900% | 12/1/41 | 7,660 | 6,256 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 1,704 | 1,471 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 21,775 | 18,242 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 21,739 | 20,444 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 3,837 | 3,009 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 33,200 | 28,035 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 36,182 | 31,389 | ||
Southern California Edison Co. | 4.875% | 3/1/49 | 1,415 | 1,345 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 22,870 | 18,327 | ||
Southern California Edison Co. | 2.950% | 2/1/51 | 1,505 | 1,089 | ||
Southern California Edison Co. | 3.450% | 2/1/52 | 23,965 | 19,200 | ||
Southern California Edison Co. | 5.450% | 6/1/52 | 13,110 | 13,475 | ||
Southern California Gas Co. | 5.125% | 11/15/40 | 1,870 | 1,912 | ||
Southern California Gas Co. | 4.125% | 6/1/48 | 30,835 | 27,557 | ||
Southern California Gas Co. | 4.300% | 1/15/49 | 15,075 | 14,054 | ||
Southwestern Public Service Co. | 4.500% | 8/15/41 | 23,975 | 23,305 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 20,540 | 17,585 | ||
Southwestern Public Service Co. | 3.750% | 6/15/49 | 1,420 | 1,239 | ||
Southwestern Public Service Co. | 3.150% | 5/1/50 | 10,750 | 8,707 | ||
Tampa Electric Co. | 3.450% | 3/15/51 | 2,000 | 1,655 | ||
Tampa Electric Co. | 5.000% | 7/15/52 | 3,790 | 4,009 | ||
Tucson Electric Power Co. | 3.250% | 5/1/51 | 20,000 | 15,311 | ||
Union Electric Co. | 3.900% | 9/15/42 | 4,326 | 3,937 | ||
Union Electric Co. | 4.000% | 4/1/48 | 21,550 | 19,629 | ||
Union Electric Co. | 3.250% | 10/1/49 | 2,025 | 1,642 | ||
Union Electric Co. | 3.900% | 4/1/52 | 9,575 | 8,892 | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 57,203 | 65,789 | ||
Virginia Electric and Power Co. | 6.350% | 11/30/37 | 1,944 | 2,318 | ||
Virginia Electric and Power Co. | 4.450% | 2/15/44 | 15,490 | 15,205 | ||
Virginia Electric and Power Co. | 4.200% | 5/15/45 | 2,000 | 1,873 | ||
Virginia Electric and Power Co. | 4.000% | 11/15/46 | 8,725 | 8,013 | ||
Virginia Electric and Power Co. | 3.800% | 9/15/47 | 34,972 | 31,282 | ||
Virginia Electric and Power Co. | 4.600% | 12/1/48 | 7,310 | 7,336 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Virginia Electric and Power Co. | 3.300% | 12/1/49 | 1,400 | 1,165 | ||
Virginia Electric and Power Co. | 2.450% | 12/15/50 | 10,840 | 7,736 | ||
Virginia Electric and Power Co. | 2.950% | 11/15/51 | 16,390 | 12,796 | ||
Virginia Electric and Power Co. | 4.625% | 5/15/52 | 11,340 | 11,637 | ||
5 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 105 | 105 | |
5 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 200 | 197 | |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 521 | 585 | ||
Wisconsin Public Service Corp. | 3.300% | 9/1/49 | 1,944 | 1,596 | ||
Xcel Energy Inc. | 3.500% | 12/1/49 | 1,340 | 1,115 | ||
2,548,792 | ||||||
Total Corporate Bonds (Cost $14,844,460) | 13,434,739 | |||||
Floating Rate Loan Interests (0.0%) | ||||||
9 | AAdvantage Loyalty IP Ltd. Term Loan, 3M USD LIBOR + 4.750% | 7.460% | 4/20/28 | 65 | 64 | |
9 | Bausch Health Cos. Inc. Term Loan B, TSFR1M + 5.250% | 7.174% | 2/1/27 | 215 | 180 | |
9 | CDK Global Inc. Term Loan B, TSFR3M + 4.500% | 6.609% | 7/6/29 | 170 | 165 | |
9 | DirecTV Financing LLC Term Loan, 1M USD LIBOR + 5.000% | 7.372% | 8/2/27 | 127 | 120 | |
9 | First Student Bidco Inc. Term Loan B, TSFR3M + 4.000% | 6.154% | 7/21/28 | 236 | 224 | |
9 | First Student Bidco Inc. Term Loan C, TSFR3M + 4.000% | 6.154% | 7/21/28 | 16 | 15 | |
9 | McAfee Corp. Term Loan B, TSFR1M + 4.000% | 6.407% | 3/1/29 | 80 | 76 | |
9 | Medline Borrower LP Term Loan B, 1M USD LIBOR + 3.250% | 5.622% | 10/23/28 | 95 | 90 | |
Total Floating Rate Loan Interests (Cost $971) | 934 | |||||
Sovereign Bonds (1.4%) | ||||||
5 | CDP Financial Inc. | 5.600% | 11/25/39 | 1,500 | 1,767 | |
5 | Emirate of Abu Dhabi | 4.951% | 7/7/52 | 4,445 | 4,803 | |
5 | Export-Import Bank of India | 3.875% | 2/1/28 | 960 | 928 | |
5 | Government of Bermuda | 5.000% | 7/15/32 | 7,300 | 7,567 | |
Government of Bermuda | 3.375% | 8/20/50 | 6,389 | 4,919 | ||
5,7 | Kingdom of Morocco | 2.000% | 9/30/30 | 2,130 | 1,675 | |
5 | OMERS Finance Trust | 4.000% | 4/19/52 | 14,000 | 13,243 | |
Panama Bonos del Tesoro | 3.362% | 6/30/31 | 1,810 | 1,561 | ||
Republic of Chile | 2.550% | 7/27/33 | 16,465 | 13,990 | ||
Republic of Chile | 3.500% | 1/31/34 | 10,020 | 9,192 | ||
Republic of Chile | 3.100% | 5/7/41 | 60,560 | 47,724 | ||
Republic of Chile | 4.340% | 3/7/42 | 6,000 | 5,523 | ||
Republic of Chile | 3.500% | 1/25/50 | 20,784 | 16,680 | ||
Republic of Chile | 3.500% | 4/15/53 | 14,695 | 11,614 | ||
Republic of Chile | 3.100% | 1/22/61 | 23,330 | 16,622 | ||
Republic of Chile | 3.250% | 9/21/71 | 24,130 | 17,028 | ||
Republic of Indonesia | 6.625% | 2/17/37 | 3,300 | 3,749 | ||
3 | Republic of Panama | 4.500% | 4/16/50 | 259 | 213 | |
3 | Republic of Panama | 3.870% | 7/23/60 | 6,432 | 4,683 | |
Republic of Panama | 4.500% | 1/19/63 | 1,330 | 1,049 | ||
7 | Republic of Philippines | 1.750% | 4/28/41 | 186 | 134 | |
5,7 | Romania | 1.750% | 7/13/30 | 8,600 | 6,567 | |
7 | Romania | 1.750% | 7/13/30 | 1,190 | 909 | |
State of Israel | 4.500% | 4/3/20 | 3,192 | 2,955 | ||
5 | State of Qatar | 4.817% | 3/14/49 | 14,865 | 15,791 | |
5 | State of Qatar | 4.400% | 4/16/50 | 9,215 | 9,343 | |
7 | United Mexican States | 3.625% | 4/9/29 | 379 | 380 | |
United Mexican States | 4.400% | 2/12/52 | 7,300 | 5,814 | ||
United Mexican States | 3.771% | 5/24/61 | 4,545 | 3,159 | ||
Total Sovereign Bonds (Cost $276,328) | 229,582 | |||||
Taxable Municipal Bonds (9.2%) | ||||||
American Municipal Power Inc. Electric Power & Light Revenue | 6.270% | 2/15/50 | 41,731 | 48,295 | ||
Bay Area Toll Authority Highway Revenue | 6.793% | 4/1/30 | 1,319 | 1,478 | ||
Bay Area Toll Authority Highway Revenue | 6.918% | 4/1/40 | 23,745 | 29,993 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Bay Area Toll Authority Highway Revenue | 6.263% | 4/1/49 | 10,420 | 13,353 | ||
Bay Area Toll Authority Highway Revenue | 3.552% | 4/1/54 | 8,595 | 7,130 | ||
California GO | 2.500% | 10/1/29 | 4,500 | 4,169 | ||
California GO | 4.600% | 4/1/38 | 31,195 | 31,930 | ||
California GO | 7.550% | 4/1/39 | 7,255 | 9,990 | ||
California GO | 7.300% | 10/1/39 | 37,286 | 48,756 | ||
California GO | 7.600% | 11/1/40 | 56,685 | 78,745 | ||
California Health Facilities Financing Authority Intergovernmental Agreement Revenue | 4.353% | 6/1/41 | 3,830 | 3,726 | ||
California State Public Works Board Lease (Abatement) Revenue | 8.361% | 10/1/34 | 1,136 | 1,542 | ||
California State University College & University Revenue | 2.975% | 11/1/51 | 27,825 | 22,032 | ||
California State University College & University Revenue | 2.719% | 11/1/52 | 10,925 | 8,293 | ||
Chicago O'Hare International Airport Port, Airport & Marina Revenue | 4.472% | 1/1/49 | 11,525 | 11,776 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 43,340 | 52,562 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 9,620 | 11,715 | ||
10 | Commonwealth Financing Authority Appropriations Revenue | 5.197% | 6/1/26 | 1,982 | 2,063 | |
Commonwealth Financing Authority Appropriations Revenue | 4.144% | 6/1/38 | 17,060 | 16,940 | ||
Commonwealth Financing Authority Appropriations Revenue (Plancon Program) | 3.864% | 6/1/38 | 19,285 | 18,534 | ||
Commonwealth of Massachusetts GO | 2.514% | 7/1/41 | 5,570 | 4,320 | ||
Commonwealth of Massachusetts GO | 2.813% | 9/1/43 | 40,910 | 32,448 | ||
Commonwealth of Massachusetts GO | 2.900% | 9/1/49 | 6,540 | 5,017 | ||
Dallas Area Rapid Transit Sales Tax Revenue | 5.999% | 12/1/44 | 189 | 229 | ||
Dallas Area Rapid Transit Sales Tax Revenue | 2.613% | 12/1/48 | 25,470 | 18,864 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 2.843% | 11/1/46 | 16,740 | 13,011 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 4.087% | 11/1/51 | 2,160 | 2,049 | ||
District of Columbia Water & Sewer Authority Water Revenue | 4.814% | 10/1/14 | 1,944 | 1,945 | ||
Duke University College & University Revenue | 5.850% | 4/1/37 | 29,490 | 35,097 | ||
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.637% | 4/1/57 | 912 | 1,083 | ||
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.655% | 4/1/57 | 329 | 398 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 2.746% | 6/1/34 | 1,055 | 929 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 4.214% | 6/1/50 | 26,160 | 21,359 | ||
Grand Parkway Transportation Corp. Highway Revenue | 5.184% | 10/1/42 | 1,420 | 1,582 | ||
Houston TX GO | 6.290% | 3/1/32 | 1,842 | 2,088 | ||
Illinois State Toll Highway Authority Highway Revenue | 6.184% | 1/1/34 | 10,330 | 12,232 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.727% | 4/15/37 | 2,417 | 2,506 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.927% | 4/15/45 | 20,480 | 21,416 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
11 | Kansas Development Finance Authority Appropriations Revenue | 2.774% | 5/1/51 | 11,710 | 8,710 | |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 1,944 | 2,139 | ||
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 27,775 | 33,692 | ||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue | 5.735% | 6/1/39 | 15,020 | 17,053 | ||
Los Angeles Department of Water & Power System Electric Power & Light Revenue | 5.716% | 7/1/39 | 379 | 445 | ||
Los Angeles Department of Water & Power System Water Revenue | 6.603% | 7/1/50 | 1,849 | 2,450 | ||
Los Angeles Department of Water Revenue | 6.008% | 7/1/39 | 1,136 | 1,298 | ||
Massachusetts Water Resources Authority Water Revenue | 2.823% | 8/1/41 | 16,390 | 13,831 | ||
Metropolitan Transportation Authority Fuel Sales Tax Revenue | 6.089% | 11/15/40 | 3,833 | 4,526 | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 50,780 | 69,035 | ||
Metropolitan Transportation Authority Transit Revenue | 5.871% | 11/15/39 | 210 | 231 | ||
Metropolitan Transportation Authority Transit Revenue | 6.814% | 11/15/40 | 750 | 897 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 4,650 | 4,778 | ||
Michigan Finance Authority Health, Hospital, Nursing Home Revenue | 3.384% | 12/1/40 | 3,230 | 2,837 | ||
Michigan Strategic Fund Lease (Appropriation) Revenue | 3.225% | 9/1/47 | 8,310 | 6,545 | ||
12 | New Jersey Economic Development Authority Appropriations Revenue | 7.425% | 2/15/29 | 6,570 | 7,489 | |
New Jersey Rutgers State University College & University Revenue | 3.915% | 5/1/19 | 44,030 | 35,046 | ||
New Jersey Turnpike Authority Highway Revenue | 7.414% | 1/1/40 | 947 | 1,281 | ||
New Jersey Turnpike Authority Highway Revenue | 7.102% | 1/1/41 | 37,862 | 49,793 | ||
New York City Municipal Water Finance Authority Water Revenue | 5.952% | 6/15/42 | 18,114 | 22,162 | ||
New York City Municipal Water Finance Authority Water Revenue | 6.011% | 6/15/42 | 6,843 | 8,416 | ||
New York City Municipal Water Finance Authority Water Revenue | 5.882% | 6/15/44 | 32,580 | 40,071 | ||
New York City Transitional Finance Authority Future Tax Secured Sales Tax Revenue | 5.508% | 8/1/37 | 2,859 | 3,217 | ||
New York City Water & Sewer System Water Revenue | 5.724% | 6/15/42 | 12,711 | 15,215 | ||
New York NY GO | 5.590% | 3/1/35 | 947 | 1,082 | ||
New York NY GO | 6.271% | 12/1/37 | 550 | 659 | ||
New York State Dormitory Authority Income Tax Revenue | 5.289% | 3/15/33 | 7,288 | 7,921 | ||
New York State Dormitory Authority Income Tax Revenue | 3.110% | 2/15/39 | 8,465 | 7,384 | ||
New York State Dormitory Authority Income Tax Revenue | 5.628% | 3/15/39 | 15,919 | 17,799 | ||
New York State Dormitory Authority Income Tax Revenue | 5.600% | 3/15/40 | 189 | 214 | ||
New York State Dormitory Authority Income Tax Revenue | 3.190% | 2/15/43 | 7,295 | 6,173 | ||
New York State Thruway Authority Highway Revenue | 3.500% | 1/1/42 | 10,945 | 9,529 | ||
New York State Urban Development Corp. Income Tax Revenue | 3.900% | 3/15/33 | 21,250 | 20,894 | ||
North Texas Tollway Authority Highway Revenue | 6.718% | 1/1/49 | 22,942 | 29,820 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Ohio State University College & University Revenue | 4.910% | 6/1/40 | 12,300 | 13,697 | ||
Ohio State University College & University Revenue | 4.800% | 6/1/11 | 17,635 | 18,118 | ||
13 | Oregon School Boards Assn. GO | 4.759% | 6/30/28 | 757 | 779 | |
Permanent University Fund - University of Texas System College & University Revenue | 5.262% | 7/1/39 | 11,500 | 13,359 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 6.040% | 12/1/29 | 2,038 | 2,334 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.647% | 11/1/40 | 15,253 | 17,337 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.647% | 11/1/40 | 10,176 | 11,566 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.926% | 10/1/51 | 25,005 | 27,421 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.458% | 10/1/62 | 42,960 | 43,252 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 3.287% | 8/1/69 | 31,474 | 24,381 | ||
Sacramento Municipal Utility District Electric Power & Light Revenue | 6.156% | 5/15/36 | 857 | 1,016 | ||
Sales Tax Securitization Corp. Illinois Sales Tax Revenue | 3.587% | 1/1/43 | 36,460 | 32,558 | ||
Sales Tax Securitization Corp. Illinois Sales Tax Revenue | 4.787% | 1/1/48 | 4,990 | 5,071 | ||
Sales Tax Securitization Corp. Intergovernmental Agreement Revenue | 3.238% | 1/1/42 | 25,400 | 21,534 | ||
Sales Tax Securitization Corp. Sales Tax Revenue | 4.637% | 1/1/40 | 15,560 | 15,755 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 5.985% | 2/1/39 | 10,450 | 12,662 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 4.427% | 2/1/42 | 1,326 | 1,372 | ||
San Diego County Regional Airport Authority Port, Airport & Marina Revenue | 5.594% | 7/1/43 | 737 | 745 | ||
San Francisco CA Public Utilities Commission Water Revenue | 6.950% | 11/1/50 | 1,326 | 1,788 | ||
10 | San Joaquin Hills Transportation Corridor Agency Highway Revenue | 3.492% | 1/15/50 | 28,850 | 23,939 | |
Sonoma County CA Miscellaneous Revenue | 6.000% | 12/1/29 | 408 | 442 | ||
Texas Private Activity Bond Surface Transportation Corp. Highway Revenue | 3.922% | 12/31/49 | 4,150 | 3,624 | ||
University of California College & University Revenue | 4.601% | 5/15/31 | 2,141 | 2,226 | ||
University of California College & University Revenue | 2.147% | 5/15/33 | 5,000 | 4,196 | ||
University of California College & University Revenue | 5.770% | 5/15/43 | 473 | 540 | ||
University of California College & University Revenue | 3.931% | 5/15/45 | 17,840 | 16,991 | ||
University of California College & University Revenue | 4.858% | 5/15/12 | 32,223 | 31,318 | ||
University of California College & University Revenue | 4.767% | 5/15/15 | 14,875 | 14,189 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.548% | 5/15/48 | 8,918 | 11,349 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.583% | 5/15/49 | 852 | 1,082 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.006% | 5/15/50 | 28,170 | 21,819 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 4.563% | 5/15/53 | 9,255 | 9,379 | ||
University of Michigan College & University Revenue | 3.599% | 4/1/47 | 20,540 | 19,464 | ||
University of Michigan College & University Revenue | 3.504% | 4/1/52 | 12,365 | 11,225 | ||
University of Minnesota College & University Revenue | 4.048% | 4/1/52 | 14,000 | 13,758 | ||
University of North Carolina at Chapel Hill College & University Revenue | 3.327% | 12/1/36 | 6,730 | 6,472 | ||
University of Texas System Regents College & University Revenue | 4.794% | 8/15/46 | 8,915 | 9,753 | ||
University of Virginia College & University Revenue | 2.256% | 9/1/50 | 15,280 | 10,707 | ||
University of Virginia College & University Revenue | 3.227% | 9/1/19 | 35,640 | 25,866 | ||
Washington GO | 5.481% | 8/1/39 | 852 | 967 | ||
10 | Wisconsin Appropriations Revenue | 5.700% | 5/1/26 | 1,557 | 1,643 | |
Wisconsin Appropriations Revenue | 3.954% | 5/1/36 | 3,364 | 3,331 | ||
Total Taxable Municipal Bonds (Cost $1,566,210) | 1,561,252 | |||||
Shares | ||||||
Temporary Cash Investments (2.0%) | ||||||
Money Market Fund (0.3%) | ||||||
14 | Vanguard Market Liquidity Fund | 1.903% | 463,103 | 46,292 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (1.7%) | ||||||
Bank of America Securities, LLC (Dated 7/29/22, Repurchase Value $22,804,000, collateralized by Ginnie Mae 3.000%, 6/20/50, with a value of $23,256,000) | 2.300% | 8/1/22 | 22,800 | 22,800 | ||
Barclays Capital Inc. (Dated 7/29/22, Repurchase Value $13,302,000, collateralized by U.S. Treasury Note/Bond 2.625%–3.125%, 5/31/27–2/15/42, with a value of $13,566,000) | 2.220% | 8/1/22 | 13,300 | 13,300 | ||
Citigroup Global Markets Inc. (Dated 7/29/22, Repurchase Value $152,129,000, collateralized by U.S. Treasury Note/Bond 1.375%–2.875%, 8/15/50–5/15/52, with a value of $155,142,000) | 2.250% | 8/1/22 | 152,100 | 152,100 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
RBC Capital Markets LLC (Dated 7/29/22, Repurchase Value $102,720,000, collateralized by Fannie Mae 4.500%, 6/1/52, and U.S. Treasury Note/Bond 0.750%–1.625%, 2/15/26–5/31/26, with a value of $104,754,000) | 2.280% | 8/1/22 | 102,700 | 102,700 | ||
290,900 | ||||||
Total Temporary Cash Investments (Cost $337,194) | 337,192 | |||||
Total Investments (98.3%) (Cost $18,215,359) | 16,656,346 | |||||
Other Assets and Liabilities—Net (1.7%) | 295,440 | |||||
Net Assets (100%) | 16,951,786 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $15,492,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $43,997,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2022, the aggregate value was $909,429,000, representing 5.4% of net assets. |
6 | Face amount denominated in British pounds. |
7 | Face amount denominated in euro. |
8 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2022. |
9 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
10 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
11 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
12 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
13 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
14 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month. | |
3M—3-month. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
TSFR1M—CME Term SOFR 1 Month. | |
TSFR3M—CME Term SOFR 3 Month. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | 15 | 3,157 | 6 |
5-Year U.S. Treasury Note | September 2022 | 130 | 14,784 | 201 |
Long U.S. Treasury Bond | September 2022 | 3,192 | 459,648 | 9,568 |
Ultra 10-Year U.S. Treasury Note | September 2022 | 296 | 38,850 | 510 |
Ultra Long U.S. Treasury Bond | September 2022 | 524 | 82,956 | 1,131 |
11,416 |
Futures Contracts (continued) | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | (35) | (7,366) | (29) |
5-Year U.S. Treasury Note | September 2022 | (102) | (11,600) | (119) |
10-Year U.S. Treasury Note | September 2022 | (393) | (47,608) | (1,034) |
Euro-Bobl | September 2022 | (5) | (653) | (17) |
Euro-Bund | September 2022 | (106) | (17,078) | (864) |
Euro-Buxl | September 2022 | (22) | (4,178) | (349) |
Long Gilt | September 2022 | (75) | (10,794) | (57) |
Ultra 10-Year U.S. Treasury Note | September 2022 | (249) | (32,681) | (20) |
(2,489) | ||||
8,927 |
Forward Currency Contracts | ||||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | |||||
Counterparty | Receive | Deliver | ||||||
JPMorgan Chase Bank, N.A. | 8/2/22 | CAD | — | USD | — | — | — | |
Bank of America, N.A. | 9/21/22 | EUR | 1,661 | USD | 1,740 | — | (36) | |
Standard Chartered Bank | 9/21/22 | EUR | 1,233 | USD | 1,300 | — | (35) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | EUR | 583 | USD | 605 | — | (7) | |
Standard Chartered Bank | 9/21/22 | EUR | 499 | USD | 509 | 2 | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | EUR | 266 | USD | 269 | 4 | — | |
JPMorgan Chase Bank, N.A. | 9/21/22 | EUR | 156 | USD | 159 | 1 | — | |
Credit Agricole CIB | 9/21/22 | EUR | 131 | USD | 140 | — | (6) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | GBP | 661 | USD | 803 | 4 | — | |
Toronto-Dominion Bank | 9/21/22 | GBP | 584 | USD | 703 | 8 | — | |
Royal Bank of Canada | 9/21/22 | GBP | 446 | USD | 536 | 8 | — | |
Standard Chartered Bank | 9/21/22 | GBP | 298 | USD | 355 | 9 | — | |
Deutsche Bank AG | 9/21/22 | GBP | 291 | USD | 355 | — | (1) | |
State Street Bank & Trust Co. | 9/21/22 | GBP | 163 | USD | 200 | — | (1) | |
Bank of America, N.A. | 9/21/22 | GBP | 160 | USD | 197 | — | (2) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | GBP | 115 | USD | 141 | — | (1) | |
Bank of America, N.A. | 9/21/22 | USD | 158 | AUD | 222 | 3 | — | |
Bank of America, N.A. | 9/21/22 | USD | 24,785 | EUR | 22,959 | 1,233 | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 1,605 | EUR | 1,519 | 46 | — | |
Standard Chartered Bank | 9/21/22 | USD | 1,036 | EUR | 986 | 25 | — | |
Bank of New York | 9/21/22 | USD | 458 | EUR | 452 | — | (5) | |
Barclays Bank plc | 9/21/22 | USD | 404 | EUR | 394 | 1 | — | |
Standard Chartered Bank | 9/21/22 | USD | 345 | EUR | 340 | — | (4) | |
Deutsche Bank AG | 9/21/22 | USD | 337 | EUR | 330 | — | (1) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 297 | EUR | 292 | — | (2) | |
Barclays Bank plc | 9/21/22 | USD | 288 | EUR | 281 | — | (1) | |
Credit Agricole CIB | 9/21/22 | USD | 285 | EUR | 272 | 6 | — | |
Bank of America, N.A. | 9/21/22 | USD | 275 | EUR | 272 | — | (4) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 240 | EUR | 224 | 9 | — | |
State Street Bank & Trust Co. | 9/21/22 | USD | 221 | EUR | 208 | 7 | — | |
Toronto-Dominion Bank | 9/21/22 | USD | 88 | EUR | 85 | — | — | |
HSBC Bank plc | 9/21/22 | USD | 28 | EUR | 28 | — | — |
Forward Currency Contracts (continued) | ||||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | |||||
Counterparty | Receive | Deliver | ||||||
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 10,219 | GBP | 8,220 | 196 | — | |
Bank of America, N.A. | 9/21/22 | USD | 478 | GBP | 398 | — | (8) | |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 274 | GBP | 225 | — | (1) | |
HSBC Bank plc | 9/21/22 | USD | 265 | GBP | 221 | — | (4) | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 179 | GBP | 149 | — | (3) | |
Bank of New York | 9/21/22 | USD | 166 | GBP | 137 | — | (1) | |
UBS AG | 9/21/22 | USD | 160 | GBP | 130 | 1 | — | |
Standard Chartered Bank | 9/21/22 | USD | 154 | GBP | 130 | — | (4) | |
Deutsche Bank AG | 9/21/22 | USD | 138 | GBP | 116 | — | (3) | |
Toronto-Dominion Bank | 9/21/22 | USD | 71 | GBP | 59 | — | (1) | |
Barclays Bank plc | 9/21/22 | USD | 51 | GBP | 41 | — | — | |
Morgan Stanley Capital Services Inc. | 9/21/22 | USD | 3 | JPY | 447 | — | — | |
Bank of America, N.A. | 9/21/22 | USD | — | MXN | 4 | — | — | |
1,563 | (131) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
MXN—Mexican peso. |
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-S38-V1 | 6/22/27 | USD | 1,939,640 | 1.000 | 19,518 | 1,738 |
Credit Protection Purchased | ||||||
CDX-NA-HY-S37-V2 | 12/22/26 | USD | 1,139 | (5.000) | (34) | 74 |
19,484 | 1,812 |
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 Chile/A1 | 6/22/27 | MSCS | 5,890 | 1.000 | (67) | 67 | — | (134) |
1 | Periodic premium received/paid quarterly. |
MSCS—Morgan Stanley Capital Services LLC. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $18,169,065) | 16,610,054 |
Affiliated Issuers (Cost $46,294) | 46,292 |
Total Investments in Securities | 16,656,346 |
Investment in Vanguard | 625 |
Foreign Currency, at Value (Cost $316) | 315 |
Receivables for Investment Securities Sold | 124,339 |
Receivables for Accrued Income | 187,799 |
Receivables for Capital Shares Issued | 2,945 |
Swap Premiums Paid | 67 |
Variation Margin Receivable—Futures Contracts | 3,037 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 6,414 |
Unrealized Appreciation—Forward Currency Contracts | 1,563 |
Other Assets | 54 |
Total Assets | 16,983,504 |
Liabilities | |
Due to Custodian | 1,317 |
Payables for Investment Securities Purchased | 9,419 |
Payables to Investment Advisor | 620 |
Payables for Capital Shares Redeemed | 12,411 |
Payables for Distributions | 6,782 |
Payables to Vanguard | 904 |
Unrealized Depreciation—Forward Currency Contracts | 131 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 134 |
Total Liabilities | 31,718 |
Net Assets | 16,951,786 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 18,844,450 |
Total Distributable Earnings (Loss) | (1,892,664) |
Net Assets | 16,951,786 |
Investor Shares—Net Assets | |
Applicable to 458,479,213 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,023,672 |
Net Asset Value Per Share—Investor Shares | $8.78 |
Admiral Shares—Net Assets | |
Applicable to 1,473,100,508 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,928,114 |
Net Asset Value Per Share—Admiral Shares | $8.78 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 336,230 |
Total Income | 336,230 |
Expenses | |
Investment Advisory Fees—Note B | 1,410 |
The Vanguard Group—Note C | |
Management and Administrative— Investor Shares | 3,923 |
Management and Administrative— Admiral Shares | 6,112 |
Marketing and Distribution— Investor Shares | 163 |
Marketing and Distribution— Admiral Shares | 322 |
Custodian Fees | 54 |
Shareholders’ Reports—Investor Shares | 43 |
Shareholders’ Reports—Admiral Shares | 22 |
Trustees’ Fees and Expenses | 4 |
Other Expenses | 8 |
Total Expenses | 12,061 |
Net Investment Income | 324,169 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (230,328) |
Futures Contracts | (76,311) |
Options Purchased | (121) |
Options Written | 162 |
Swap Contracts | (27,478) |
Forward Currency Contracts | 2,807 |
Foreign Currencies | 174 |
Realized Net Gain (Loss) | (331,095) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (2,694,501) |
Futures Contracts | 18,175 |
Options Purchased | (24) |
Options Written | (5) |
Swap Contracts | 11,074 |
Forward Currency Contracts | 694 |
Foreign Currencies | (4) |
Change in Unrealized Appreciation (Depreciation) | (2,664,591) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,671,517) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $464,000, ($64,000), and ($8,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 324,169 | 621,050 | |
Realized Net Gain (Loss) | (331,095) | 418,195 | |
Change in Unrealized Appreciation (Depreciation) | (2,664,591) | (1,939,329) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,671,517) | (900,084) | |
Distributions | |||
Investor Shares | (79,110) | (266,705) | |
Admiral Shares | (254,238) | (828,301) | |
Total Distributions | (333,348) | (1,095,006) | |
Capital Share Transactions | |||
Investor Shares | (83,134) | 256,812 | |
Admiral Shares | 430,963 | 821,786 | |
Net Increase (Decrease) from Capital Share Transactions | 347,829 | 1,078,598 | |
Total Increase (Decrease) | (2,657,036) | (916,492) | |
Net Assets | |||
Beginning of Period | 19,608,822 | 20,525,314 | |
End of Period | 16,951,786 | 19,608,822 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.33 | $11.42 | $11.48 | $9.79 | $10.40 | $10.06 |
Investment Operations | ||||||
Net Investment Income1 | .165 | .323 | .349 | .381 | .397 | .405 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.545) | (.836) | .399 | 1.854 | (.560) | .520 |
Total from Investment Operations | (1.380) | (.513) | .748 | 2.235 | (.163) | .925 |
Distributions | ||||||
Dividends from Net Investment Income | (.170) | (.340) | (.368) | (.399) | (.413) | (.421) |
Distributions from Realized Capital Gains | — | (.237) | (.440) | (.146) | (.034) | (.164) |
Total Distributions | (.170) | (.577) | (.808) | (.545) | (.447) | (.585) |
Net Asset Value, End of Period | $8.78 | $10.33 | $11.42 | $11.48 | $9.79 | $10.40 |
Total Return2 | -13.39% | -4.64% | 6.54% | 23.31% | -1.45% | 9.28% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,024 | $4,840 | $5,070 | $4,942 | $4,098 | $4,570 |
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 | 3.67% | 2.94% | 2.97% | 3.57% | 4.08% | 3.87% |
Portfolio Turnover Rate | 14% | 24% | 30% | 34%3 | 32%3 | 27% |
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, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.33 | $11.42 | $11.48 | $9.79 | $10.40 | $10.06 |
Investment Operations | ||||||
Net Investment Income1 | .169 | .334 | .361 | .392 | .407 | .415 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.545) | (.836) | .399 | 1.853 | (.560) | .520 |
Total from Investment Operations | (1.376) | (.502) | .760 | 2.245 | (.153) | .935 |
Distributions | ||||||
Dividends from Net Investment Income | (.174) | (.351) | (.380) | (.409) | (.423) | (.431) |
Distributions from Realized Capital Gains | — | (.237) | (.440) | (.146) | (.034) | (.164) |
Total Distributions | (.174) | (.588) | (.820) | (.555) | (.457) | (.595) |
Net Asset Value, End of Period | $8.78 | $10.33 | $11.42 | $11.48 | $9.79 | $10.40 |
Total Return2 | -13.35% | -4.54% | 6.64% | 23.43% | -1.35% | 9.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,928 | $14,769 | $15,455 | $15,335 | $12,820 | $11,925 |
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 | 3.77% | 3.04% | 3.07% | 3.67% | 4.18% | 3.97% |
Portfolio Turnover Rate | 14% | 24% | 30% | 34%3 | 32%3 | 27% |
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 | — | 1,049,111 | — | 1,049,111 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 43,536 | — | 43,536 |
Corporate Bonds | — | 13,434,739 | — | 13,434,739 |
Floating Rate Loan Interests | — | 934 | — | 934 |
Sovereign Bonds | — | 229,582 | — | 229,582 |
Taxable Municipal Bonds | — | 1,561,252 | — | 1,561,252 |
Temporary Cash Investments | 46,292 | 290,900 | — | 337,192 |
Total | 46,292 | 16,610,054 | — | 16,656,346 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 11,416 | — | — | 11,416 |
Forward Currency Contracts | — | 1,563 | — | 1,563 |
Swap Contracts | 1,8121 | — | — | 1,812 |
Total | 13,228 | 1,563 | — | 14,791 |
Liabilities | ||||
Futures Contracts1 | 2,489 | — | — | 2,489 |
Forward Currency Contracts | — | 131 | — | 131 |
Swap Contracts | — | 134 | — | 134 |
Total | 2,489 | 265 | — | 2,754 |
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, 2022, 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 | — | — | 67 | 67 |
Unrealized Appreciation—Futures Contracts1 | 11,416 | — | — | 11,416 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | — | 1,812 | 1,812 |
Unrealized Appreciation—Forward Currency Contracts | — | 1,563 | — | 1,563 |
Total Assets | 11,416 | 1,563 | 1,879 | 14,858 |
Unrealized Depreciation—Futures Contracts1 | 2,489 | — | — | 2,489 |
Unrealized Depreciation—Forward Currency Contracts | — | 131 | — | 131 |
Unrealized Depreciation— Over-the-Counter Swap Contracts | — | — | 134 | 134 |
Total Liabilities | 2,489 | 131 | 134 | 2,754 |
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. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (76,311) | — | — | (76,311) |
Options Purchased | — | — | (121) | (121) |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Options Written | — | — | 162 | 162 |
Swap Contracts | (11,023) | — | (16,455) | (27,478) |
Forward Currency Contracts | — | 2,807 | — | 2,807 |
Realized Net Gain (Loss) on Derivatives | (87,334) | 2,807 | (16,414) | (100,941) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 18,175 | — | — | 18,175 |
Options Purchased | — | — | (24) | (24) |
Options Written | — | — | (5) | (5) |
Swap Contracts | 1,135 | — | 9,939 | 11,074 |
Forward Currency Contracts | — | 694 | — | 694 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 19,310 | 694 | 9,910 | 29,914 |
F. | As of July 31, 2022, 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 | 18,238,068 |
Gross Unrealized Appreciation | 297,935 |
Gross Unrealized Depreciation | (1,867,554) |
Net Unrealized Appreciation (Depreciation) | (1,569,619) |
G. | During the six months ended July 31, 2022, the fund purchased $2,070,955,000 of investment securities and sold $1,549,445,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $771,489,000 and $799,835,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 149,529 | 16,142 | 630,560 | 58,007 | |
Issued in Lieu of Cash Distributions | 76,998 | 8,534 | 259,726 | 23,855 | |
Redeemed | (309,661) | (34,543) | (633,474) | (57,326) | |
Net Increase (Decrease)—Investor Shares | (83,134) | (9,867) | 256,812 | 24,536 | |
Admiral Shares | |||||
Issued | 1,389,215 | 150,351 | 3,420,433 | 312,724 | |
Issued in Lieu of Cash Distributions | 214,260 | 23,779 | 697,288 | 64,043 | |
Redeemed | (1,172,512) | (130,089) | (3,295,935) | (300,568) | |
Net Increase (Decrease)—Admiral Shares | 430,963 | 44,041 | 821,786 | 76,199 |
I. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, 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 | 37 |
Liquidity Risk Management | 39 |
• | 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, 2022 | |||
Ultra-Short-Term Bond Fund | Beginning Account Value 1/31/2022 | Ending Account Value 7/31/2022 | Expenses Paid During Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $993.70 | $0.99 |
Admiral™ Shares | 1,000.00 | 994.30 | 0.49 |
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 | 15.1% |
Corporate Bonds | 61.8 |
Short-Term Reserves | 0.2 |
Sovereign Bonds | 2.6 |
Treasury/Agency | 20.3 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (1.8%) | ||||||
U.S. Government Securities (1.8%) | ||||||
1,2 | United States Treasury Note/Bond | 2.625% | 12/31/23 | 300,000 | 298,641 | |
Total U.S. Government and Agency Obligations (Cost $308,033) | 298,641 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (15.0%) | ||||||
3,4 | American Credit Acceptance Receivables Trust Class A Series 2021-2 | 0.370% | 10/15/24 | 188 | 188 | |
3,4 | American Credit Acceptance Receivables Trust Class A Series 2021-3 | 0.330% | 6/13/25 | 4,217 | 4,210 | |
3,4 | American Credit Acceptance Receivables Trust Class A Series 2021-4 | 0.450% | 9/15/25 | 6,348 | 6,281 | |
3,4 | American Credit Acceptance Receivables Trust Class B Series 2021-1 | 0.610% | 3/13/25 | 1,983 | 1,982 | |
3,4 | American Credit Acceptance Receivables Trust Class B Series 2021-2 | 0.680% | 5/13/25 | 3,500 | 3,484 | |
3,4 | American Credit Acceptance Receivables Trust Class B Series 2021-3 | 0.660% | 2/13/26 | 11,750 | 11,588 | |
3,4 | American Credit Acceptance Receivables Trust Class B Series 2021-4 | 0.860% | 2/13/26 | 9,200 | 8,994 | |
4 | AmeriCredit Automobile Receivables Trust Class A2 Series 2021-2 | 0.260% | 11/18/24 | 9,567 | 9,518 | |
4 | AmeriCredit Automobile Receivables Trust Class A2 Series 2021-3 | 0.410% | 2/18/25 | 15,856 | 15,679 | |
4 | AmeriCredit Automobile Receivables Trust Class A2A Series 2022-2 | 4.200% | 12/18/25 | 45,610 | 45,653 | |
4 | AmeriCredit Automobile Receivables Trust Class A3 Series 2020-2 | 0.660% | 12/18/24 | 2,679 | 2,659 | |
4 | AmeriCredit Automobile Receivables Trust Class A3 Series 2020-3 | 0.530% | 6/18/25 | 9,960 | 9,838 | |
4 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-1 | 0.370% | 8/18/25 | 13,881 | 13,674 | |
4 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2 | 0.340% | 12/18/26 | 8,320 | 8,088 | |
4 | AmeriCredit Automobile Receivables Trust Class B Series 2019-3 | 2.130% | 7/18/25 | 17,539 | 17,498 | |
4 | AmeriCredit Automobile Receivables Trust Class C Series 2018-2 | 3.590% | 6/18/24 | 1,502 | 1,501 | |
4 | AmeriCredit Automobile Receivables Trust Class C Series 2020-2 | 1.480% | 2/18/26 | 2,520 | 2,443 | |
3,4 | ARI Fleet Lease Trust Class A2 Series 2020-A | 1.770% | 8/15/28 | 1,169 | 1,168 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,4 | ARI Fleet Lease Trust Class A2 Series 2021-A | 0.370% | 3/15/30 | 6,423 | 6,302 | |
3,4 | ARI Fleet Lease Trust Class A2 Series 2022-A | 3.120% | 1/15/31 | 3,530 | 3,480 | |
3,4 | ARI Fleet Lease Trust Class A3 Series 2022-A | 3.430% | 1/15/31 | 1,950 | 1,907 | |
3,4 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A | 3.070% | 9/20/23 | 8,745 | 8,744 | |
3,4 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-2A | 2.970% | 3/20/24 | 9,350 | 9,311 | |
4 | BMW Vehicle Lease Trust Class A2 Series 2022-1 | 0.670% | 5/28/24 | 19,895 | 19,699 | |
4 | BMW Vehicle Owner Trust Class A4 Series 2020-A | 0.620% | 4/26/27 | 4,230 | 4,062 | |
3,4,5 | Brass No. 10 plc Class A1 Series 10A | 0.669% | 4/16/69 | 10,270 | 9,889 | |
4,5 | Brazos Higher Education Authority Inc. Class A2 Series 2011-1, 3M USD LIBOR + 0.800% | 2.324% | 2/25/30 | 29 | 29 | |
3,4 | Canadian Pacer Auto Receivables Trust Class A2A Series 2021-1A | 0.240% | 10/19/23 | 3,504 | 3,486 | |
4 | Capital One Prime Auto Receivables Trust Class A2 Series 2021-1 | 0.320% | 2/18/25 | 15,152 | 14,972 | |
4 | CarMax Auto Owner Trust Class A2 Series 2022-1 | 0.910% | 2/18/25 | 26,678 | 26,321 | |
4 | CarMax Auto Owner Trust Class A2A Series 2021-2 | 0.270% | 6/17/24 | 2,549 | 2,540 | |
4 | CarMax Auto Owner Trust Class A2A Series 2021-3 | 0.290% | 9/16/24 | 7,698 | 7,646 | |
4 | CarMax Auto Owner Trust Class A2A Series 2021-4 | 0.240% | 11/15/24 | 14,780 | 14,649 | |
4 | CarMax Auto Owner Trust Class A3 Series 2019-1 | 3.050% | 3/15/24 | 94 | 94 | |
4 | CarMax Auto Owner Trust Class A3 Series 2020-3 | 0.620% | 3/17/25 | 25,465 | 25,085 | |
4 | CarMax Auto Owner Trust Class A3 Series 2022-2 | 3.490% | 2/16/27 | 3,680 | 3,659 | |
4 | CarMax Auto Owner Trust Class A4 Series 2020-3 | 0.770% | 3/16/26 | 4,660 | 4,480 | |
4 | Carvana Auto Receivables Trust Class A2 Series 2021-P3 | 0.380% | 1/10/25 | 11,008 | 10,902 | |
4 | Carvana Auto Receivables Trust Class A3 Series 2022-P1 | 3.350% | 2/10/27 | 5,700 | 5,581 | |
3,4 | Chesapeake Funding II LLC Class A1 Series 2019-1A | 2.940% | 4/15/31 | 2,947 | 2,946 | |
3,4 | Chesapeake Funding II LLC Class A1 Series 2020-1A | 0.870% | 8/15/32 | 7,827 | 7,750 | |
4 | CNH Equipment Trust Class A2 Series 2021-C | 0.330% | 1/15/25 | 14,963 | 14,737 | |
4 | CNH Equipment Trust Class A3 Series 2020-A | 1.160% | 6/16/25 | 4,317 | 4,251 | |
4 | CNH Equipment Trust Class A4 Series 2020-A | 1.510% | 4/15/27 | 2,250 | 2,163 | |
4 | COMM Mortgage Trust Class A2 Series 2014-CR14 | 3.147% | 2/10/47 | 26 | 26 | |
4 | COMM Mortgage Trust Class ASB Series 2014-CCRE16 | 3.653% | 4/10/47 | 2,011 | 2,007 | |
3,4,5,6 | Connecticut Avenue Securities Trust Class 1M1 Series 2021-R01, SOFR + 0.750% | 2.264% | 10/25/41 | 13,590 | 13,480 | |
3,4 | Dell Equipment Finance Trust Class A2 Series 2021-1 | 0.330% | 5/22/26 | 11,428 | 11,353 | |
3,4 | Dell Equipment Finance Trust Class A2 Series 2021-2 | 0.330% | 12/22/26 | 11,582 | 11,402 | |
3,4 | Dell Equipment Finance Trust Class A2 Series 2022-2 | 4.030% | 7/22/27 | 14,410 | 14,428 | |
3,4 | Dell Equipment Finance Trust Class A3 Series 2020-2 | 0.570% | 10/23/23 | 18,781 | 18,543 | |
3,4 | DLLAA LLC Class A2 Series 2021-1A | 0.360% | 5/17/24 | 7,565 | 7,478 | |
3,4 | DLLAD LLC Class A2 Series 2021-1A | 0.350% | 9/20/24 | 14,118 | 13,874 | |
3,4 | Dllmt LLC Class A2 Series 2021-1 | 0.600% | 3/20/24 | 21,184 | 20,916 | |
3,4 | DLLST LLC Class A3 Series 2022-1A | 3.400% | 1/21/25 | 11,000 | 10,842 | |
3,4 | DLLST LLC Class A4 Series 2022-1A | 3.690% | 9/20/28 | 2,810 | 2,808 | |
3,4 | Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2 | 0.560% | 12/11/34 | 8,264 | 8,031 | |
4 | Drive Auto Receivables Trust Class A3 Series 2021-2 | 0.350% | 3/17/25 | 26,545 | 26,410 | |
4 | Drive Auto Receivables Trust Class A3 Series 2021-3 | 0.790% | 10/15/25 | 28,840 | 28,447 | |
4 | Drive Auto Receivables Trust Class B Series 2021-1 | 0.650% | 7/15/25 | 12,062 | 12,005 | |
4 | Drive Auto Receivables Trust Class C Series 2020-2 | 2.280% | 8/17/26 | 1,520 | 1,511 | |
4 | Drive Auto Receivables Trust Class D Series 2018-3 | 4.300% | 9/16/24 | 1,567 | 1,567 | |
4 | Drive Auto Receivables Trust Class D Series 2018-5 | 4.300% | 4/15/26 | 4,124 | 4,130 | |
4 | Drive Auto Receivables Trust Class D Series 2019-1 | 4.090% | 6/15/26 | 979 | 978 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Drive Auto Receivables Trust Class D Series 2019-4 | 2.700% | 2/16/27 | 2,130 | 2,102 | |
4 | Drive Auto Receivables Trust Class D Series 2020-1 | 2.700% | 5/17/27 | 2,130 | 2,096 | |
3,4 | DT Auto Owner Trust Class A Series 2021-1A | 0.350% | 1/15/25 | 2,886 | 2,878 | |
3,4 | DT Auto Owner Trust Class A Series 2021-2A | 0.410% | 3/17/25 | 6,859 | 6,811 | |
3,4 | DT Auto Owner Trust Class A Series 2021-3A | 0.330% | 4/15/25 | 13,718 | 13,533 | |
3,4 | DT Auto Owner Trust Class A Series 2021-4 | 0.560% | 9/15/25 | 9,229 | 9,111 | |
3,4 | DT Auto Owner Trust Class A Series 2022-2A | 2.880% | 6/15/26 | 8,490 | 8,413 | |
3,4 | Enterprise Fleet Financing LLC Class A2 Series 2020-2 | 0.610% | 7/20/26 | 11,745 | 11,453 | |
3,4 | Enterprise Fleet Financing LLC Class A2 Series 2021-1 | 0.440% | 12/21/26 | 4,800 | 4,657 | |
3,4 | Enterprise Fleet Financing LLC Class A2 Series 2021-2 | 0.480% | 5/20/27 | 14,376 | 13,781 | |
3,4 | Enterprise Fleet Financing LLC Class A2 Series 2021-3 | 0.770% | 8/20/27 | 12,687 | 12,189 | |
4 | Exeter Automobile Receivables Trust Class A3 Series 2021-2A | 0.300% | 10/15/24 | 1,258 | 1,256 | |
4 | Exeter Automobile Receivables Trust Class A3 Series 2021-3A | 0.350% | 2/18/25 | 12,465 | 12,359 | |
4 | Exeter Automobile Receivables Trust Class A3 Series 2021-4A | 0.680% | 7/15/25 | 20,610 | 20,426 | |
4 | Exeter Automobile Receivables Trust Class A3 Series 2022-2A | 2.800% | 11/17/25 | 18,000 | 17,779 | |
3,4,5,6 | Fannie Mae Connecticut Avenue Securities Class 2M1 Series 2021-R02, SOFR + 0.900% | 2.414% | 11/25/41 | 21,125 | 21,140 | |
3,4 | Flagship Credit Auto Trust Class A Series 2020-3 | 0.700% | 4/15/25 | 3,408 | 3,389 | |
3,4 | Flagship Credit Auto Trust Class A Series 2021-1 | 0.310% | 6/16/25 | 3,633 | 3,590 | |
3,4 | Flagship Credit Auto Trust Class A Series 2021-2 | 0.370% | 12/15/26 | 12,684 | 12,536 | |
3,4 | Flagship Credit Auto Trust Class A Series 2021-3 | 0.360% | 7/15/27 | 23,614 | 23,055 | |
3,4 | Flagship Credit Auto Trust Class A Series 2021-4 | 0.810% | 7/17/26 | 14,043 | 13,721 | |
4 | Ford Credit Auto Lease Trust Class A2 Series 2021-B | 0.240% | 4/15/24 | 5,172 | 5,126 | |
4 | Ford Credit Auto Lease Trust Class A3 Series 2020-B | 0.620% | 8/15/23 | 3,319 | 3,317 | |
4 | Ford Credit Auto Lease Trust Class A3 Series 2021-B | 0.370% | 10/15/24 | 43,720 | 42,492 | |
4 | Ford Credit Auto Lease Trust Class A4 Series 2020-B | 0.690% | 10/15/23 | 7,150 | 7,130 | |
4 | Ford Credit Auto Lease Trust Class A4 Series 2022-A | 3.370% | 7/15/25 | 2,630 | 2,619 | |
4 | Ford Credit Auto Lease Trust Class B Series 2020-B | 1.000% | 11/15/23 | 4,790 | 4,757 | |
4 | Ford Credit Auto Lease Trust Class C Series 2021-A | 0.780% | 9/15/25 | 10,450 | 10,163 | |
4 | Ford Credit Auto Lease Trust Class C Series 2022-A | 4.180% | 10/15/25 | 8,350 | 8,297 | |
3,4 | Ford Credit Auto Owner Trust Class A Series 2018-2 | 3.470% | 1/15/30 | 23,140 | 23,071 | |
4 | Ford Credit Auto Owner Trust Class A2A Series 2022-B | 3.440% | 2/15/25 | 23,500 | 23,454 | |
4 | Ford Credit Auto Owner Trust Class A3 Series 2020-A | 1.040% | 8/15/24 | 3,431 | 3,393 | |
4 | Ford Credit Auto Owner Trust Class A3 Series 2020-B | 0.560% | 10/15/24 | 30,428 | 30,038 | |
4 | Ford Credit Auto Owner Trust Class A4 Series 2019-A | 2.850% | 8/15/24 | 9,179 | 9,166 | |
4 | Ford Credit Auto Owner Trust Class A4 Series 2020-A | 1.350% | 7/15/25 | 2,340 | 2,280 | |
4 | Ford Credit Auto Owner Trust Class A4 Series 2021-A | 0.300% | 4/15/24 | 3,500 | 3,441 | |
4 | Ford Credit Floorplan Master Owner Trust A Class C Series 2020-1 | 1.420% | 9/15/25 | 4,790 | 4,617 | |
4 | Ford Credit Floorplan Master Owner Trust Class A Series 2017-3 | 2.480% | 9/15/24 | 8,875 | 8,870 | |
4 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2019-3 | 2.230% | 9/15/24 | 17,743 | 17,730 | |
4 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2020-1 | 0.700% | 9/15/25 | 52,100 | 50,383 | |
4 | Ford Credit Floorplan Master Owner Trust Class D Series 2020-1 | 2.120% | 9/15/25 | 6,730 | 6,509 | |
3,4,5,6 | Freddie Mac STACR REMICS Trust Class M1 Series 2021-DNA6, SOFR30A + 0.800% | 2.314% | 10/25/41 | 19,430 | 19,180 | |
3,4 | GLS Auto Receivables Issuer Trust Class A Series 2021-3A | 0.420% | 1/15/25 | 8,790 | 8,675 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,4 | GLS Auto Receivables Issuer Trust Class A Series 2021-4A | 0.840% | 7/15/25 | 15,674 | 15,413 | |
3,4 | GLS Auto Receivables Trust Class A Series 2021-2A | 0.310% | 11/15/24 | 3,868 | 3,851 | |
3,4 | GLS Auto Receivables Trust Class A Series 2022-1A | 1.980% | 8/15/25 | 13,630 | 13,483 | |
4 | GM Financial Automobile Leasing Trust Class A3 Series 2020-2 | 0.800% | 7/20/23 | 2,722 | 2,717 | |
4 | GM Financial Automobile Leasing Trust Class A3 Series 2020-3 | 0.450% | 8/21/23 | 8,224 | 8,198 | |
4 | GM Financial Automobile Leasing Trust Class A3 Series 2021-2 | 0.340% | 5/20/24 | 37,500 | 36,849 | |
4 | GM Financial Automobile Leasing Trust Class A4 Series 2020-2 | 1.010% | 7/22/24 | 2,010 | 2,001 | |
4 | GM Financial Automobile Leasing Trust Class A4 Series 2020-3 | 0.510% | 10/21/24 | 6,440 | 6,379 | |
4 | GM Financial Automobile Leasing Trust Class A4 Series 2022-2 | 3.540% | 5/20/26 | 7,470 | 7,448 | |
4 | GM Financial Automobile Leasing Trust Class B Series 2022-2 | 4.020% | 5/20/26 | 5,250 | 5,261 | |
4 | GM Financial Automobile Leasing Trust Class C Series 2020-2 | 2.560% | 7/22/24 | 1,180 | 1,170 | |
4 | GM Financial Automobile Leasing Trust Class D Series 2020-2 | 3.210% | 12/20/24 | 1,680 | 1,666 | |
4 | GM Financial Automobile Leasing Trust Class D Series 2020-3 | 1.710% | 2/20/25 | 4,760 | 4,655 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A2 Series 2022-1 | 0.760% | 2/18/25 | 18,527 | 18,315 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2020-2 | 1.490% | 12/16/24 | 7,268 | 7,206 | |
4 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2020-2 | 1.740% | 8/18/25 | 9,000 | 8,810 | |
4 | GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3 | 0.810% | 1/16/26 | 2,100 | 1,987 | |
4 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3 | 1.370% | 1/16/26 | 900 | 860 | |
3,4 | GMF Floorplan Owner Revolving Trust Class A Series 2020-1 | 0.680% | 8/15/25 | 10,940 | 10,609 | |
3,4 | GMF Floorplan Owner Revolving Trust Class A Series 2020-2 | 0.690% | 10/15/25 | 29,460 | 28,416 | |
3,4 | GMF Floorplan Owner Revolving Trust Class B Series 2020-1 | 1.030% | 8/15/25 | 1,670 | 1,614 | |
3,4 | GMF Floorplan Owner Revolving Trust Class C Series 2020-1 | 1.480% | 8/15/25 | 1,360 | 1,316 | |
3,4,5 | Gosforth Funding plc Class A1 Series 2018-1A, 3M USD LIBOR + 0.450% | 1.974% | 8/25/60 | 1,018 | 1,018 | |
4,5 | GS Mortgage Securities Trust Class B Series 2013-GC12 | 3.777% | 6/10/46 | 4,719 | 4,665 | |
4 | Harley-Davidson Motorcycle Trust Class A3 Series 2021-A | 0.370% | 4/15/26 | 9,401 | 9,203 | |
4 | Harley-Davidson Motorcycle Trust Class A3 Series 2022-A | 3.060% | 2/15/27 | 5,660 | 5,586 | |
3,4 | Hertz Vehicle Financing III LLC Class A Series 2022-3A | 3.370% | 3/25/25 | 14,780 | 14,584 | |
3,4 | Hertz Vehicle Financing III LLC Class C Series 2022-3A | 4.350% | 3/25/25 | 2,760 | 2,714 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2019-4 | 1.870% | 1/20/26 | 1,900 | 1,879 | |
4 | Honda Auto Receivables Owner Trust Class A4 Series 2020-2 | 1.090% | 10/15/26 | 4,730 | 4,607 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Honda Auto Receivables Owner Trust Class A4 Series 2020-3 | 0.460% | 4/19/27 | 10,740 | 10,275 | |
3,4 | HPEFS Equipment Trust Class A2 Series 2021-1A | 0.270% | 3/20/31 | 10,527 | 10,477 | |
3,4 | HPEFS Equipment Trust Class A2 Series 2021-2A | 0.300% | 9/20/28 | 9,920 | 9,832 | |
3,4 | HPEFS Equipment Trust Class A2 Series 2022-1A | 1.020% | 5/21/29 | 14,500 | 14,212 | |
3,4 | HPEFS Equipment Trust Class A3 Series 2021-2A | 0.360% | 9/20/28 | 10,500 | 10,182 | |
3,4 | Hyundai Auto Lease Securitization Trust Class A2 Series 2021-C | 0.240% | 1/16/24 | 25,259 | 24,976 | |
3,4 | Hyundai Auto Lease Securitization Trust Class A2 Series 2022-A | 0.810% | 4/15/24 | 25,716 | 25,328 | |
3,4 | Hyundai Auto Lease Securitization Trust Class A3 Series 2020-B | 0.510% | 9/15/23 | 14,894 | 14,824 | |
3,4 | Hyundai Auto Lease Securitization Trust Class A3 Series 2021-A | 0.330% | 1/16/24 | 17,273 | 17,128 | |
3,4 | Hyundai Auto Lease Securitization Trust Class A3 Series 2021-B | 0.330% | 6/17/24 | 3,970 | 3,877 | |
3,4 | Hyundai Auto Lease Securitization Trust Class A4 Series 2020-B | 0.580% | 6/17/24 | 5,030 | 4,950 | |
3,4 | Hyundai Auto Lease Securitization Trust Class A4 Series 2021-A | 0.420% | 12/16/24 | 4,280 | 4,183 | |
4 | Hyundai Auto Receivables Trust Class A2 Series 2022-B | 3.640% | 5/15/25 | 12,500 | 12,502 | |
4 | Hyundai Auto Receivables Trust Class A2A Series 2021-C | 0.360% | 10/15/24 | 8,522 | 8,418 | |
4 | Hyundai Auto Receivables Trust Class A3 Series 2020-B | 0.480% | 12/16/24 | 13,017 | 12,832 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2019-B | 2.000% | 4/15/25 | 4,727 | 4,681 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2020-A | 1.720% | 6/15/26 | 9,260 | 9,018 | |
4 | Hyundai Auto Receivables Trust Class A4 Series 2020-B | 0.620% | 12/15/25 | 8,020 | 7,735 | |
4 | John Deere Owner Trust Class A2 Series 2022-B | 3.730% | 6/16/25 | 13,330 | 13,336 | |
4 | John Deere Owner Trust Class A3 Series 2020-B | 0.510% | 11/15/24 | 8,505 | 8,348 | |
4 | John Deere Owner Trust Class A4 Series 2020-B | 0.720% | 6/15/27 | 3,820 | 3,652 | |
3,4 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-1 | 0.875% | 9/25/28 | 12,397 | 12,005 | |
3,4 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-2 | 0.889% | 12/26/28 | 7,605 | 7,350 | |
3,4 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-3 | 0.760% | 2/26/29 | 13,885 | 13,364 | |
3,4 | JPMorgan Chase Bank NA - CACLN Class C Series 2020-2 | 1.139% | 2/25/28 | 1,160 | 1,135 | |
3,4 | JPMorgan Chase Bank NA - CACLN Class C Series 2021-1 | 1.024% | 9/25/28 | 7,686 | 7,474 | |
3,4 | JPMorgan Chase Bank NA Class B Series 2020-1 | 0.991% | 1/25/28 | 6,821 | 6,715 | |
3,4 | JPMorgan Chase Bank NA Class C Series 2020-1 | 1.389% | 1/25/28 | 715 | 703 | |
3,4 | JPMorgan Chase Bank NA Class D Series 2020-1 | 1.886% | 1/25/28 | 560 | 551 | |
3,4 | Kubota Credit Owner Trust Class A2 Series 2022-2 | 4.070% | 6/17/25 | 17,370 | 17,416 | |
3,4 | Kubota Credit Owner Trust Class A3 Series 2020-1 | 1.960% | 3/15/24 | 4,161 | 4,129 | |
3,4 | Kubota Credit Owner Trust Class A3 Series 2020-2 | 0.590% | 10/15/24 | 16,006 | 15,646 | |
3,4 | Kubota Credit Owner Trust Class A4 Series 2020-2 | 0.730% | 6/15/26 | 4,810 | 4,554 | |
3,4,5 | Lanark Master Issuer plc Class 1A Series 2020-1A | 2.277% | 12/22/69 | 720 | 713 | |
3,4 | Master Credit Card Trust II Class A Series 2020-1 | 1.990% | 9/21/24 | 5,320 | 5,275 | |
4 | Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B | 0.400% | 11/15/24 | 20,110 | 19,524 | |
4 | Mercedes-Benz Auto Lease Trust Class A4 Series 2020-B | 0.500% | 6/15/26 | 4,775 | 4,686 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,4 | MMAF Equipment Finance LLC Class A2 Series 2020-A | 0.740% | 4/9/24 | 4,218 | 4,148 | |
4 | Nissan Auto Lease Trust Class A2 Series 2021-A | 0.300% | 12/15/23 | 22,340 | 22,130 | |
4 | Nissan Auto Lease Trust Class A3 Series 2020-B | 0.430% | 10/16/23 | 15,734 | 15,665 | |
4 | Nissan Auto Lease Trust Class A3 Series 2021-A | 0.520% | 8/15/24 | 27,760 | 26,981 | |
4 | Nissan Auto Lease Trust Class A4 Series 2020-B | 0.490% | 1/15/26 | 6,930 | 6,834 | |
4 | Nissan Auto Receivables Owner Trust Class A3 Series 2019-B | 2.500% | 11/15/23 | 1,136 | 1,135 | |
4 | Nissan Auto Receivables Owner Trust Class A3 Series 2020-A | 1.380% | 12/16/24 | 11,224 | 11,108 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2018-C | 3.270% | 6/16/25 | 1,336 | 1,336 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2020-A | 1.700% | 5/17/27 | 6,830 | 6,626 | |
4 | Nissan Auto Receivables Owner Trust Class A4 Series 2020-B | 0.710% | 2/16/27 | 7,030 | 6,785 | |
3,4,5 | Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% | 3.036% | 1/16/60 | 1,054 | 1,053 | |
3,4,5 | Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% | 3.126% | 6/20/60 | 2,272 | 2,262 | |
3,4,5 | Pepper Residential Securities Trust No. 24 Class A1U Series 24A, 1M USD LIBOR + 0.900% | 3.056% | 11/18/60 | 2,074 | 2,077 | |
3,4 | PFS Financing Corp. Class A Series 2020-A | 1.270% | 6/15/25 | 4,100 | 3,995 | |
3,4,5 | RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% | 2.648% | 12/5/59 | 1,649 | 1,646 | |
3,4,5 | RESIMAC Bastille Trust Class A1B Series 2021-2NCA, SOFR + 0.740% | 1.379% | 2/3/53 | 14,359 | 14,268 | |
3,4 | RESIMAC Premier Class A1B Series 2020-1 | 1.274% | 2/7/52 | 2,426 | 2,423 | |
3,4 | Santander Bank NA - SBCLN Class B Series 2021-1A | 1.833% | 12/15/31 | 11,409 | 11,005 | |
3,4 | Santander Consumer Auto Receivables Trust Class A Series 2020-A | 1.370% | 10/15/24 | 846 | 844 | |
4 | Santander Drive Auto Receivables Trust Class A2 Series 2021-4 | 0.370% | 8/15/24 | 6,247 | 6,235 | |
4 | Santander Drive Auto Receivables Trust Class A3 Series 2021-2 | 0.340% | 2/18/25 | 2,964 | 2,959 | |
4 | Santander Drive Auto Receivables Trust Class A3 Series 2021-3 | 0.330% | 3/17/25 | 19,529 | 19,423 | |
4 | Santander Drive Auto Receivables Trust Class A3 Series 2021-4 | 0.510% | 8/15/25 | 20,500 | 20,220 | |
4 | Santander Drive Auto Receivables Trust Class A3 Series 2022-2 | 2.980% | 10/15/26 | 8,800 | 8,689 | |
4 | Santander Drive Auto Receivables Trust Class A3 Series 2022-3 | 3.400% | 12/15/26 | 940 | 931 | |
4 | Santander Drive Auto Receivables Trust Class A3 Series 2022-4 | 4.140% | 2/16/27 | 19,480 | 19,497 | |
4 | Santander Drive Auto Receivables Trust Class B Series 2021-2 | 0.590% | 9/15/25 | 12,500 | 12,353 | |
4 | Santander Drive Auto Receivables Trust Class B Series 2021-3 | 0.600% | 12/15/25 | 16,000 | 15,765 | |
4 | Santander Drive Auto Receivables Trust Class B Series 2022-2 | 3.440% | 9/15/27 | 10,000 | 9,770 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2020-2 | 1.460% | 9/15/25 | 4,375 | 4,350 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2020-3 | 1.120% | 1/15/26 | 10,391 | 10,261 | |
4 | Santander Drive Auto Receivables Trust Class C Series 2021-1 | 0.750% | 2/17/26 | 7,620 | 7,433 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Santander Drive Auto Receivables Trust Class D Series 2018-3 | 4.070% | 8/15/24 | 4,592 | 4,591 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-4 | 3.980% | 12/15/25 | 5,812 | 5,820 | |
4 | Santander Drive Auto Receivables Trust Class D Series 2018-5 | 4.190% | 12/16/24 | 2,603 | 2,603 | |
3,4 | Santander Retail Auto Lease Trust Class A2 Series 2021-B | 0.310% | 1/22/24 | 14,490 | 14,384 | |
3,4 | Santander Retail Auto Lease Trust Class A2 Series 2021-C | 0.290% | 4/22/24 | 18,135 | 17,998 | |
3,4 | Santander Retail Auto Lease Trust Class A3 Series 2021-B | 0.510% | 8/20/24 | 22,600 | 21,787 | |
3,4 | Santander Retail Auto Lease Trust Class A3 Series 2021-C | 0.500% | 3/20/25 | 16,890 | 16,387 | |
3,4 | Santander Retail Auto Lease Trust Class A4 Series 2020-B | 0.650% | 12/20/24 | 9,950 | 9,618 | |
3,4 | Santander Retail Auto Lease Trust Class A4 Series 2022-B | 3.330% | 10/20/26 | 4,050 | 4,003 | |
3,4 | Santander Retail Auto Lease Trust Class B Series 2022-B | 3.850% | 3/22/27 | 4,790 | 4,783 | |
4 | Synchrony Card Funding LLC Class A Series 2022-A1 | 3.370% | 4/15/28 | 11,090 | 11,106 | |
4 | Synchrony Credit Card Master Note Trust Class A Series 2017-2 | 2.620% | 10/15/25 | 1,970 | 1,968 | |
3,4 | Tesla Auto Lease Trust Class A2 Series 2021-B | 0.360% | 9/22/25 | 23,335 | 22,819 | |
3,4 | Tesla Auto Lease Trust Class A3 Series 2020-A | 0.680% | 12/20/23 | 14,677 | 14,540 | |
3,4 | Tesla Auto Lease Trust Class A4 Series 2020-A | 0.780% | 12/20/23 | 1,270 | 1,251 | |
3,4 | Tesla Auto Lease Trust Class B Series 2020-A | 1.180% | 1/22/24 | 2,080 | 2,039 | |
3,4 | Tesla Auto Lease Trust Class C Series 2020-A | 1.680% | 2/20/24 | 1,050 | 1,028 | |
3,4 | Toyota Auto Loan Extended Note Trust Class A Series 2019-1A | 2.560% | 11/25/31 | 860 | 845 | |
4 | Toyota Auto Receivables Owner Trust Class A3 Series 2020-A | 1.660% | 5/15/24 | 2,300 | 2,284 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2020-B | 1.660% | 9/15/25 | 4,460 | 4,333 | |
4 | Toyota Auto Receivables Owner Trust Class A4 Series 2020-C | 0.570% | 10/15/25 | 7,530 | 7,170 | |
3,4 | Toyota Lease Owner Trust Class A2 Series 2021-A | 0.270% | 9/20/23 | 5,861 | 5,838 | |
3,4 | Toyota Lease Owner Trust Class A3 Series 2021-B | 0.420% | 10/21/24 | 19,800 | 19,146 | |
4 | Verizon Master Trust Class B Series 2022-1 | 1.270% | 1/20/27 | 10,135 | 9,895 | |
4 | Verizon Master Trust Class B Series 2022-1 | 1.390% | 1/20/27 | 4,700 | 4,583 | |
4 | Verizon Owner Trust Class A Series 2020-B | 0.470% | 2/20/25 | 43,360 | 42,710 | |
4 | Verizon Owner Trust Class A1A Series 2019-B | 2.330% | 12/20/23 | 344 | 343 | |
4 | Verizon Owner Trust Class A1A Series 2020-A | 1.850% | 7/22/24 | 21,961 | 21,858 | |
4 | Verizon Owner Trust Class B Series 2020-A | 1.980% | 7/22/24 | 16,280 | 16,097 | |
4 | Verizon Owner Trust Class B Series 2020-B | 0.680% | 2/20/25 | 13,620 | 13,120 | |
4 | Verizon Owner Trust Class C Series 2019-C | 2.160% | 4/22/24 | 11,000 | 10,915 | |
4 | Verizon Owner Trust Class C Series 2020-A | 2.060% | 7/22/24 | 14,500 | 14,323 | |
4 | Verizon Owner Trust Class C Series 2020-B | 0.830% | 2/20/25 | 21,010 | 20,218 | |
4 | Volkswagen Auto Lease Trust Class A2 Series 2022-A | 3.020% | 10/21/24 | 19,000 | 18,860 | |
4 | Volkswagen Auto Loan Enhanced Trust Class A4 Series 2020-1 | 1.260% | 8/20/26 | 3,590 | 3,478 | |
3,4 | Volvo Financial Equipment LLC Class A3 Series 2020-1A | 0.510% | 10/15/24 | 20,469 | 20,028 | |
3,4 | Volvo Financial Equipment LLC Class A4 Series 2020-1A | 0.600% | 3/15/28 | 4,700 | 4,425 | |
3,4 | Westlake Automobile Receivables Trust Class A2A Series 2021-1A | 0.390% | 10/15/24 | 12,769 | 12,679 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,4 | Westlake Automobile Receivables Trust Class A2A Series 2021-2A | 0.320% | 4/15/25 | 14,085 | 13,904 | |
3,4 | Westlake Automobile Receivables Trust Class A3 Series 2021-3A | 0.950% | 6/16/25 | 32,220 | 31,332 | |
3,4 | Westlake Automobile Receivables Trust Class A3 Series 2022-1A | 2.420% | 7/15/25 | 28,100 | 27,503 | |
3,4 | Wheels Fleet Lease Funding 1 LLC Class A Series 2022-1A | 2.470% | 10/18/36 | 4,040 | 3,963 | |
3,4 | Wheels SPV 2 LLC Class A2 Series 2020-1A | 0.510% | 8/20/29 | 4,192 | 4,141 | |
3,4 | Wheels SPV 2 LLC Class A3 Series 2020-1A | 0.620% | 8/20/29 | 3,475 | 3,338 | |
4 | World Omni Auto Receivables Trust Class A2 Series 2021-D | 0.350% | 12/16/24 | 14,305 | 14,125 | |
4 | World Omni Auto Receivables Trust Class A3 Series 2020-A | 1.700% | 1/17/23 | 10,674 | 10,669 | |
4 | World Omni Auto Receivables Trust Class A3 Series 2020-A | 1.100% | 4/15/25 | 730 | 721 | |
4 | World Omni Automobile Lease Securitization Trust Class A4 Series 2022-A | 3.340% | 6/15/27 | 1,200 | 1,187 | |
4 | World Omni Automobile Lease Securitization Trust Class B Series 2020-B | 0.700% | 2/17/26 | 5,000 | 4,863 | |
4 | World Omni Automobile Lease Securitization Trust Class B Series 2022-A | 3.670% | 6/15/27 | 3,890 | 3,858 | |
4 | World Omni Select Auto Trust Class A2 Series 2021-A | 0.290% | 2/18/25 | 11,001 | 10,915 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,548,730) | 2,505,435 | |||||
Corporate Bonds (61.5%) | ||||||
Communications (2.4%) | ||||||
AT&T Inc. | 1.700% | 3/25/26 | 20 | 18 | ||
British Telecommunications plc | 4.500% | 12/4/23 | 8,059 | 8,112 | ||
3 | Cox Communications Inc. | 2.950% | 6/30/23 | 43,811 | 43,454 | |
3 | Deutsche Telekom International Finance BV | 2.485% | 9/19/23 | 1,050 | 1,039 | |
Discovery Communications LLC | 2.950% | 3/20/23 | 21,231 | 21,166 | ||
Discovery Communications LLC | 3.950% | 6/15/25 | 4,258 | 4,221 | ||
3 | Magallanes Inc. | 3.428% | 3/15/24 | 37,540 | 36,959 | |
3 | NTT Finance Corp. | 0.373% | 3/3/23 | 147,500 | 144,988 | |
3 | NTT Finance Corp. | 4.142% | 7/26/24 | 9,460 | 9,557 | |
7 | Optus Finance Pty Ltd. | 3.250% | 8/23/22 | 7,500 | 5,239 | |
3 | Sky Ltd. | 3.125% | 11/26/22 | 10,960 | 10,953 | |
Take-Two Interactive Software Inc. | 3.300% | 3/28/24 | 11,250 | 11,207 | ||
TWDC Enterprises 18 Corp. | 2.350% | 12/1/22 | 24,608 | 24,550 | ||
7 | Verizon Communications Inc. | 3.500% | 2/17/23 | 37,630 | 26,259 | |
Vodafone Group plc | 2.500% | 9/26/22 | 3,472 | 3,469 | ||
7 | Vodafone Group plc | 3.250% | 12/13/22 | 48,840 | 34,099 | |
5,7 | Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050% | 2.672% | 12/13/22 | 4,970 | 3,474 | |
Walt Disney Co. | 0.000% | 9/20/22 | 17,900 | 17,829 | ||
406,593 | ||||||
Consumer Discretionary (3.8%) | ||||||
American Honda Finance Corp. | 0.400% | 10/21/22 | 53,271 | 52,966 | ||
American Honda Finance Corp. | 2.050% | 1/10/23 | 15,691 | 15,625 | ||
American Honda Finance Corp. | 1.950% | 5/10/23 | 24,393 | 24,170 | ||
American Honda Finance Corp. | 0.875% | 7/7/23 | 51,135 | 50,007 | ||
American Honda Finance Corp. | 3.450% | 7/14/23 | 1,355 | 1,356 | ||
American Honda Finance Corp. | 0.650% | 9/8/23 | 49,057 | 47,792 | ||
American Honda Finance Corp. | 3.625% | 10/10/23 | 1,550 | 1,559 | ||
AutoZone Inc. | 3.125% | 7/15/23 | 14,980 | 14,897 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | BMW US Capital LLC | 3.450% | 4/12/23 | 3,099 | 3,099 | |
3 | BMW US Capital LLC | 3.150% | 4/18/24 | 10,000 | 9,963 | |
3 | Daimler Finance North America LLC | 2.550% | 8/15/22 | 23,647 | 23,645 | |
3 | Daimler Finance North America LLC | 3.350% | 2/22/23 | 3,393 | 3,390 | |
3 | Daimler Finance North America LLC | 1.750% | 3/10/23 | 17,177 | 16,983 | |
3 | Daimler Finance North America LLC | 3.700% | 5/4/23 | 400 | 400 | |
DR Horton Inc. | 4.750% | 2/15/23 | 6,266 | 6,296 | ||
3 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 471 | 471 | |
3 | ERAC USA Finance LLC | 2.700% | 11/1/23 | 33,025 | 32,570 | |
General Motors Co. | 4.875% | 10/2/23 | 500 | 506 | ||
General Motors Co. | 5.400% | 10/2/23 | 20,612 | 20,974 | ||
General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 5,349 | 5,342 | ||
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 2,898 | 2,895 | ||
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 100 | 100 | ||
General Motors Financial Co. Inc. | 4.150% | 6/19/23 | 975 | 977 | ||
General Motors Financial Co. Inc. | 1.700% | 8/18/23 | 23,095 | 22,562 | ||
Lennar Corp. | 4.875% | 12/15/23 | 8,327 | 8,421 | ||
Lennar Corp. | 5.875% | 11/15/24 | 15,641 | 16,111 | ||
McDonald's Corp. | 3.350% | 4/1/23 | 11,375 | 11,380 | ||
3 | Nissan Motor Acceptance Co. LLC | 2.600% | 9/28/22 | 100 | 100 | |
3 | Nissan Motor Acceptance Co. LLC | 3.450% | 3/15/23 | 10,885 | 10,838 | |
3 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 34,851 | 34,362 | |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 12,452 | 12,452 | ||
Starbucks Corp. | 3.100% | 3/1/23 | 14,493 | 14,507 | ||
Toyota Motor Credit Corp. | 0.400% | 4/6/23 | 35,000 | 34,421 | ||
Toyota Motor Credit Corp. | 0.500% | 8/14/23 | 9,352 | 9,098 | ||
Toyota Motor Credit Corp. | 1.350% | 8/25/23 | 4,901 | 4,813 | ||
Toyota Motor Credit Corp. | 2.500% | 3/22/24 | 46,595 | 46,108 | ||
7 | Volkswagen Financial Services Australia Pty Ltd. | 3.500% | 9/14/22 | 4,670 | 3,264 | |
7 | Volkswagen Financial Services Australia Pty Ltd. | 3.100% | 4/17/23 | 32,110 | 22,315 | |
5,7 | Volkswagen Financial Services Australia Pty Ltd., 3M Australian Bank Bill Rate + 1.300% | 2.922% | 9/14/22 | 16,520 | 11,543 | |
3 | Volkswagen Group of America Finance LLC | 2.700% | 9/26/22 | 20,797 | 20,777 | |
3 | Volkswagen Group of America Finance LLC | 4.250% | 11/13/23 | 8,429 | 8,480 | |
3 | Volkswagen Group of America Finance LLC | 0.875% | 11/22/23 | 6,376 | 6,139 | |
633,674 | ||||||
Consumer Staples (2.2%) | ||||||
3 | 7-Eleven Inc. | 0.625% | 2/10/23 | 40,485 | 39,854 | |
3 | 7-Eleven Inc. | 0.800% | 2/10/24 | 20,365 | 19,463 | |
Altria Group Inc. | 2.950% | 5/2/23 | 2,000 | 1,982 | ||
5,7 | Anheuser-Busch InBev Worldwide Inc., 3M Australian Bank Bill Rate + 0.970% | 2.212% | 9/6/22 | 27,790 | 19,412 | |
BAT Capital Corp. | 2.764% | 8/15/22 | 2,600 | 2,599 | ||
Campbell Soup Co. | 3.650% | 3/15/23 | 24,646 | 24,658 | ||
3 | Coca-Cola Europacific Partners plc | 0.500% | 5/5/23 | 17,000 | 16,568 | |
Conagra Brands Inc. | 0.500% | 8/11/23 | 17,500 | 16,918 | ||
Constellation Brands Inc. | 3.600% | 5/9/24 | 19,000 | 19,009 | ||
Dollar General Corp. | 3.250% | 4/15/23 | 62 | 62 | ||
General Mills Inc. | 2.600% | 10/12/22 | 23,025 | 23,023 | ||
3 | GSK Consumer Healthcare Capital US LLC | 3.024% | 3/24/24 | 22,450 | 22,185 | |
Hormel Foods Corp. | 0.650% | 6/3/24 | 5,000 | 4,784 | ||
3 | JDE Peet's NV | 0.800% | 9/24/24 | 25,000 | 23,359 | |
Keurig Dr Pepper Inc. | 0.750% | 3/15/24 | 7,970 | 7,626 | ||
McCormick & Co. Inc. | 2.700% | 8/15/22 | 22,999 | 22,999 | ||
3 | Mondelez International Holdings Netherlands BV | 2.125% | 9/19/22 | 48,664 | 48,595 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Mondelez International Inc. | 2.125% | 3/17/24 | 8,475 | 8,308 | ||
Philip Morris International Inc. | 2.375% | 8/17/22 | 1,500 | 1,500 | ||
Philip Morris International Inc. | 1.125% | 5/1/23 | 25,000 | 24,610 | ||
Philip Morris International Inc. | 2.125% | 5/10/23 | 1,860 | 1,843 | ||
3 | Reckitt Benckiser Treasury Services plc | 3.625% | 9/21/23 | 434 | 436 | |
3 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 5,560 | 5,466 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 437 | 443 | ||
Walgreens Boots Alliance Inc. | 0.950% | 11/17/23 | 14,585 | 14,146 | ||
369,848 | ||||||
Energy (3.2%) | ||||||
BP Capital Markets America Inc. | 2.750% | 5/10/23 | 46,480 | 46,480 | ||
Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 26,239 | 26,185 | ||
ConocoPhillips Co. | 2.400% | 12/15/22 | 13,172 | 13,130 | ||
Ecopetrol SA | 5.875% | 9/18/23 | 21,170 | 21,410 | ||
Enbridge Inc. | 0.550% | 10/4/23 | 34,200 | 33,025 | ||
5 | Enbridge Inc., SOFR + 0.400% | 1.792% | 2/17/23 | 20,000 | 19,911 | |
5 | Enbridge Inc., SOFR + 0.630% | 1.987% | 2/16/24 | 13,390 | 13,208 | |
Energy Transfer LP | 3.600% | 2/1/23 | 23,465 | 23,401 | ||
Energy Transfer LP | 4.250% | 3/15/23 | 2,262 | 2,263 | ||
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 31,336 | 31,340 | ||
EOG Resources Inc. | 2.625% | 3/15/23 | 51,882 | 51,673 | ||
Kinder Morgan Inc. | 3.150% | 1/15/23 | 34,888 | 34,824 | ||
3 | Kinder Morgan Inc. | 5.625% | 11/15/23 | 8,538 | 8,675 | |
MPLX LP | 4.500% | 7/15/23 | 4,000 | 4,020 | ||
Phillips 66 | 3.700% | 4/6/23 | 12,750 | 12,779 | ||
Pioneer Natural Resources Co. | 0.550% | 5/15/23 | 32,382 | 31,644 | ||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 11,900 | 11,973 | ||
3 | Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 766 | 743 | |
Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 200 | 194 | ||
Schlumberger Investment SA | 3.650% | 12/1/23 | 6,000 | 6,048 | ||
Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 6,090 | 6,173 | ||
Sinopec Group Overseas Development 2017 Ltd. | 2.500% | 9/13/22 | 43,647 | 43,615 | ||
3 | Southern Natural Gas Co. LLC | 0.625% | 4/28/23 | 13,500 | 13,109 | |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 1,129 | 1,143 | ||
3 | Texas Eastern Transmission LP | 2.800% | 10/15/22 | 275 | 274 | |
Thai Oil PCL | 3.625% | 1/23/23 | 2,520 | 2,514 | ||
Thaioil Treasury Center Co. Ltd. | 3.625% | 1/23/23 | 10,220 | 10,200 | ||
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 18,650 | 18,668 | ||
TransCanada PipeLines Ltd. | 1.000% | 10/12/24 | 10,186 | 9,577 | ||
Williams Cos. Inc. | 3.700% | 1/15/23 | 21,228 | 21,215 | ||
Williams Cos. Inc. | 4.300% | 3/4/24 | 10,244 | 10,296 | ||
529,710 | ||||||
Financials (30.5%) | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/23/23 | 52,970 | 52,718 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 29,189 | 29,175 | ||
5 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, SOFR + 0.680% | 2.712% | 9/29/23 | 37,100 | 36,538 | |
3 | AIG Global Funding | 0.800% | 7/7/23 | 16,265 | 15,880 | |
3 | AIG Global Funding | 0.400% | 9/13/23 | 62,000 | 60,000 | |
3 | AIG Global Funding | 0.450% | 12/8/23 | 15,000 | 14,378 | |
Air Lease Corp. | 3.875% | 7/3/23 | 12,623 | 12,528 | ||
Air Lease Corp. | 3.000% | 9/15/23 | 1,843 | 1,818 | ||
Allstate Corp. | 3.150% | 6/15/23 | 7,966 | 7,971 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Ally Financial Inc. | 3.050% | 6/5/23 | 15,227 | 15,118 | ||
Ally Financial Inc. | 1.450% | 10/2/23 | 91,708 | 89,131 | ||
American Express Co. | 3.400% | 2/27/23 | 34,235 | 34,317 | ||
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 11,775 | 11,853 | ||
Aon Corp. | 2.200% | 11/15/22 | 21,990 | 21,934 | ||
Aon plc | 4.000% | 11/27/23 | 28,060 | 28,249 | ||
3 | ASB Bank Ltd. | 3.750% | 6/14/23 | 3,800 | 3,805 | |
3 | Athene Global Funding | 2.800% | 5/26/23 | 51,891 | 51,502 | |
3 | Athene Global Funding | 1.200% | 10/13/23 | 26,054 | 25,171 | |
3 | Athene Global Funding | 0.950% | 1/8/24 | 52,152 | 49,792 | |
5,7 | Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% | 4.251% | 7/26/29 | 2,568 | 1,796 | |
Banco Santander SA | 0.701% | 6/30/24 | 20,000 | 19,331 | ||
5,7 | Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% | 3.841% | 1/19/23 | 6,200 | 4,341 | |
Bank of America Corp. | 3.300% | 1/11/23 | 1,812 | 1,813 | ||
Bank of America Corp. | 3.004% | 12/20/23 | 66,849 | 66,680 | ||
Bank of America Corp. | 3.550% | 3/5/24 | 82,095 | 81,960 | ||
Bank of America Corp. | 1.486% | 5/19/24 | 19,000 | 18,649 | ||
Bank of America Corp. | 0.523% | 6/14/24 | 20,000 | 19,402 | ||
Bank of Montreal | 0.400% | 9/15/23 | 134,700 | 130,509 | ||
Bank of Montreal | 0.625% | 7/9/24 | 1,800 | 1,707 | ||
Bank of Nova Scotia | 1.625% | 5/1/23 | 3,338 | 3,300 | ||
Bank of Nova Scotia | 0.400% | 9/15/23 | 89,065 | 86,271 | ||
3 | Banque Federative du Credit Mutuel SA | 2.125% | 11/21/22 | 62,997 | 62,816 | |
3 | Banque Federative du Credit Mutuel SA | 3.750% | 7/20/23 | 132,576 | 132,906 | |
5,7 | Barclays plc, 3M Australian Bank Bill Rate + 1.800% | 3.505% | 6/15/23 | 14,250 | 10,003 | |
3 | BNP Paribas SA | 3.500% | 3/1/23 | 23,017 | 23,004 | |
5,7 | BNP Paribas SA, 3M Australian Bank Bill Rate + 1.750% | 3.493% | 12/16/22 | 5,650 | 3,957 | |
3 | BPCE SA | 5.700% | 10/22/23 | 12,210 | 12,350 | |
5,7 | BPCE SA, 3M Australian Bank Bill Rate + 1.100% | 3.351% | 4/26/23 | 9,590 | 6,721 | |
Canadian Imperial Bank of Commerce | 0.450% | 6/22/23 | 31,610 | 30,780 | ||
Canadian Imperial Bank of Commerce | 0.950% | 6/23/23 | 11,994 | 11,736 | ||
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 4,521 | 4,490 | ||
Capital One Bank USA NA | 3.375% | 2/15/23 | 59,515 | 59,484 | ||
Charles Schwab Corp. | 2.650% | 1/25/23 | 12,978 | 12,948 | ||
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 12,990 | 12,984 | ||
Citigroup Inc. | 2.700% | 10/27/22 | 26,907 | 26,905 | ||
Citigroup Inc. | 3.500% | 5/15/23 | 1,950 | 1,952 | ||
Citigroup Inc. | 3.875% | 10/25/23 | 3,500 | 3,539 | ||
Citigroup Inc. | 1.678% | 5/15/24 | 29,203 | 28,737 | ||
Citigroup Inc. | 4.044% | 6/1/24 | 91,975 | 92,096 | ||
Citigroup Inc. | 0.776% | 10/30/24 | 18,000 | 17,267 | ||
3 | Cooperatieve Rabobank UA | 3.875% | 9/26/23 | 61,900 | 61,989 | |
3 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 29,990 | 29,245 | |
Credit Suisse AG | 0.520% | 8/9/23 | 55,305 | 53,512 | ||
3 | Credit Suisse Group AG | 2.997% | 12/14/23 | 20,620 | 20,509 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 25,624 | 25,636 | ||
3 | Danske Bank A/S | 1.171% | 12/8/23 | 45,475 | 44,935 | |
3 | Danske Bank A/S | 1.226% | 6/22/24 | 36,006 | 34,030 | |
Danske Bank A/S | 1.226% | 6/22/24 | 4,760 | ���4,499 | ||
Deutsche Bank AG | 3.300% | 11/16/22 | 13,363 | 13,356 | ||
Deutsche Bank AG | 0.962% | 11/8/23 | 3,700 | 3,565 | ||
Discover Bank | 3.350% | 2/6/23 | 33,861 | 33,807 | ||
Discover Bank | 4.200% | 8/8/23 | 41,311 | 41,512 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | DNB Bank ASA | 2.968% | 3/28/25 | 75,000 | 73,588 | |
3 | Equitable Financial Life Global Funding | 0.500% | 4/6/23 | 50,950 | 49,881 | |
Equitable Holdings Inc. | 3.900% | 4/20/23 | 46,492 | 46,652 | ||
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 550 | 550 | ||
Fifth Third Bancorp | 4.300% | 1/16/24 | 919 | 926 | ||
First Republic Bank | 1.912% | 2/12/24 | 28,143 | 27,860 | ||
3 | Five Corners Funding Trust | 4.419% | 11/15/23 | 9,989 | 10,040 | |
Franklin Resources Inc. | 2.800% | 9/15/22 | 13,642 | 13,625 | ||
Globe Life Inc. | 3.800% | 9/15/22 | 155 | 155 | ||
Goldman Sachs Group Inc. | 0.523% | 3/8/23 | 9,000 | 8,828 | ||
Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 4,711 | 4,667 | ||
Goldman Sachs Group Inc. | 1.217% | 12/6/23 | 65,000 | 63,021 | ||
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 17,500 | 17,141 | ||
Goldman Sachs Group Inc. | 0.925% | 10/21/24 | 54,900 | 52,737 | ||
5,7 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% | 2.200% | 5/16/23 | 2,800 | 1,958 | |
3 | Guardian Life Global Funding | 3.400% | 4/25/23 | 18,931 | 18,918 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 11,000 | 11,008 | ||
HSBC Holdings plc | 3.033% | 11/22/23 | 10,000 | 9,974 | ||
7 | HSBC Holdings plc | 3.350% | 2/16/24 | 29,487 | 20,476 | |
HSBC Holdings plc | 3.950% | 5/18/24 | 90,623 | 90,406 | ||
HSBC Holdings plc | 0.732% | 8/17/24 | 38,760 | 37,270 | ||
HSBC Holdings plc | 1.162% | 11/22/24 | 26,200 | 25,104 | ||
Huntington National Bank | 3.550% | 10/6/23 | 850 | 850 | ||
International Finance Corp. | 5.875% | 8/15/22 | 2,555 | 2,556 | ||
3 | Jackson Financial Inc. | 1.125% | 11/22/23 | 13,915 | 13,404 | |
3 | Jackson National Life Global Funding | 2.375% | 9/15/22 | 500 | 500 | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 29,693 | 29,718 | ||
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 8,900 | 8,909 | ||
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 8,605 | 8,622 | ||
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 8,372 | 8,332 | ||
JPMorgan Chase & Co. | 0.697% | 3/16/24 | 10,000 | 9,814 | ||
JPMorgan Chase & Co. | 1.514% | 6/1/24 | 53,139 | 52,086 | ||
JPMorgan Chase & Co. | 0.653% | 9/16/24 | 15,246 | 14,669 | ||
JPMorgan Chase & Co. | 4.023% | 12/5/24 | 55,000 | 55,115 | ||
KeyBank NA | 2.300% | 9/14/22 | 500 | 500 | ||
KeyBank NA | 0.423% | 1/3/24 | 8,330 | 8,218 | ||
Legg Mason Inc. | 3.950% | 7/15/24 | 10,000 | 10,016 | ||
3 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 7,000 | 7,012 | |
Lincoln National Corp. | 4.000% | 9/1/23 | 4,168 | 4,194 | ||
7 | Lloyds Bank plc | 1.650% | 8/12/22 | 8,750 | 6,110 | |
7 | Lloyds Banking Group plc | 3.650% | 3/20/23 | 8,970 | 6,259 | |
Lloyds Banking Group plc | 4.050% | 8/16/23 | 77,829 | 78,024 | ||
Lloyds Banking Group plc | 2.907% | 11/7/23 | 24,800 | 24,704 | ||
7 | Lloyds Banking Group plc | 3.900% | 11/23/23 | 8,880 | 6,186 | |
Lloyds Banking Group plc | 0.695% | 5/11/24 | 77,785 | 75,517 | ||
Loews Corp. | 2.625% | 5/15/23 | 3,000 | 2,993 | ||
3 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 19,113 | 19,068 | |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 4,853 | 4,865 | ||
3 | MassMutual Global Funding II | 2.500% | 10/17/22 | 17,142 | 17,114 | |
3 | MassMutual Global Funding II | 0.850% | 6/9/23 | 44,362 | 43,409 | |
3 | MassMutual Global Funding II | 0.480% | 8/28/23 | 65,560 | 63,525 | |
MetLife Inc. | 4.368% | 9/15/23 | 2,150 | 2,177 | ||
3 | Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 5,692 | 5,686 | |
3 | Metropolitan Life Global Funding I | 1.950% | 1/13/23 | 22,000 | 21,843 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Metropolitan Life Global Funding I | 0.900% | 6/8/23 | 54,346 | 53,272 | |
3 | Metropolitan Life Global Funding I | 0.400% | 1/7/24 | 36,380 | 34,798 | |
Mitsubishi UFJ Financial Group Inc. | 3.455% | 3/2/23 | 18,250 | 18,247 | ||
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 52,088 | 52,055 | ||
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 3,650 | 3,576 | ||
Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 35,185 | 33,933 | ||
Mitsubishi UFJ Financial Group Inc. | 4.788% | 7/18/25 | 13,800 | 13,949 | ||
3 | Mizuho Bank Ltd. | 3.600% | 9/25/24 | 8,700 | 8,657 | |
Mizuho Financial Group Inc. | 2.601% | 9/11/22 | 22,545 | 22,541 | ||
Mizuho Financial Group Inc. | 3.549% | 3/5/23 | 5,500 | 5,497 | ||
Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 47,611 | 46,331 | ||
Morgan Stanley | 4.875% | 11/1/22 | 64,824 | 65,118 | ||
Morgan Stanley | 3.125% | 1/23/23 | 10,130 | 10,133 | ||
Morgan Stanley | 4.100% | 5/22/23 | 11,136 | 11,189 | ||
Morgan Stanley | 0.560% | 11/10/23 | 22,323 | 22,118 | ||
Morgan Stanley | 0.529% | 1/25/24 | 78,994 | 77,724 | ||
Morgan Stanley | 0.731% | 4/5/24 | 15,395 | 15,058 | ||
Morgan Stanley | 3.737% | 4/24/24 | 10,000 | 9,984 | ||
3 | MUFG Bank Ltd. | 3.200% | 2/26/23 | 7,960 | 7,948 | |
Nasdaq Inc. | 0.445% | 12/21/22 | 10,613 | 10,494 | ||
3 | National Bank of Canada | 2.150% | 10/7/22 | 30,655 | 30,609 | |
National Bank of Canada | 2.100% | 2/1/23 | 40,826 | 40,618 | ||
National Bank of Canada | 0.900% | 8/15/23 | 8,474 | 8,464 | ||
3 | Nationwide Building Society | 2.000% | 1/27/23 | 53,975 | 53,485 | |
Natwest Group plc | 6.125% | 12/15/22 | 4,957 | 4,995 | ||
3 | NatWest Markets plc | 3.625% | 9/29/22 | 1,351 | 1,355 | |
3 | New York Life Global Funding | 1.100% | 5/5/23 | 12,170 | 11,964 | |
3 | New York Life Global Funding | 0.550% | 4/26/24 | 350 | 332 | |
3 | Nordea Bank Abp | 4.250% | 9/21/22 | 5,080 | 5,080 | |
3 | Nordea Bank Abp | 3.750% | 8/30/23 | 29,322 | 29,352 | |
Nordea Bank Abp | 3.750% | 8/30/23 | 12,061 | 12,073 | ||
3 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.125% | 8/1/23 | 655 | 656 | |
3 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.900% | 2/1/24 | 747 | 743 | |
PNC Bank NA | 2.700% | 11/1/22 | 18,577 | 18,567 | ||
PNC Bank NA | 3.800% | 7/25/23 | 24,920 | 25,010 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 6,978 | 7,012 | ||
3 | Pricoa Global Funding I | 3.450% | 9/1/23 | 22,549 | 22,548 | |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 5,440 | 5,443 | ||
Principal Financial Group Inc. | 3.125% | 5/15/23 | 6,641 | 6,628 | ||
3 | Principal Life Global Funding II | 0.500% | 1/8/24 | 9,500 | 9,095 | |
3 | Protective Life Global Funding | 0.502% | 4/12/23 | 4,360 | 4,269 | |
3 | Protective Life Global Funding | 1.082% | 6/9/23 | 13,690 | 13,400 | |
3 | Protective Life Global Funding | 0.391% | 7/7/23 | 31,000 | 30,092 | |
3 | Protective Life Global Funding | 0.631% | 10/13/23 | 4,426 | 4,286 | |
Protective Life Global Funding | 0.631% | 10/13/23 | 12,200 | 11,813 | ||
3 | Reliance Standard Life Global Funding II | 2.150% | 1/21/23 | 19,915 | 19,743 | |
3 | Reliance Standard Life Global Funding II | 3.850% | 9/19/23 | 44,405 | 44,455 | |
Royal Bank of Canada | 1.600% | 4/17/23 | 5,794 | 5,730 | ||
Royal Bank of Canada | 3.700% | 10/5/23 | 18,700 | 18,807 | ||
Royal Bank of Canada | 3.970% | 7/26/24 | 160,145 | 161,079 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 2,781 | 2,775 | ||
3 | Skandinaviska Enskilda Banken AB | 2.200% | 12/12/22 | 19,750 | 19,686 | |
3 | Skandinaviska Enskilda Banken AB | 0.550% | 9/1/23 | 83,440 | 80,891 | |
3 | Standard Chartered plc | 1.319% | 10/14/23 | 68,973 | 68,574 | |
3 | Standard Chartered plc | 0.991% | 1/12/25 | 40,000 | 37,880 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
State Bank of India | 4.500% | 9/28/23 | 6,550 | 6,600 | ||
5,7 | Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.660% | 1.740% | 8/18/22 | 13,000 | 9,080 | |
5,7 | Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.730% | 1.900% | 11/29/22 | 8,750 | 6,116 | |
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 31,925 | 31,918 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 40,000 | 39,974 | ||
7 | Sumitomo Mitsui Financial Group Inc. | 3.604% | 3/7/23 | 16,380 | 11,441 | |
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 27,382 | 27,415 | ||
Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 4,912 | 4,941 | ||
3 | Sumitomo Mitsui Trust Bank Ltd. | 0.800% | 9/12/23 | 22,300 | 21,612 | |
3 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 1,160 | 1,104 | |
3 | Swedbank AB | 1.300% | 6/2/23 | 17,950 | 17,613 | |
Toronto-Dominion Bank | 0.750% | 6/12/23 | 19,426 | 18,998 | ||
Truist Financial Corp. | 2.200% | 3/16/23 | 9,000 | 8,942 | ||
3 | UBS Group AG | 2.859% | 8/15/23 | 129,089 | 129,072 | |
3 | UBS Group AG | 1.008% | 7/30/24 | 40,445 | 39,250 | |
3 | USAA Capital Corp. | 1.500% | 5/1/23 | 2,548 | 2,512 | |
7 | Wells Fargo & Co. | 5.250% | 9/7/22 | 13,920 | 9,746 | |
Wells Fargo & Co. | 3.750% | 1/24/24 | 84,919 | 85,422 | ||
Wells Fargo & Co. | 1.654% | 6/2/24 | 106,159 | 104,167 | ||
5,7 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% | 3.578% | 6/22/28 | 41,700 | 29,142 | |
Willis North America Inc. | 3.600% | 5/15/24 | 15,566 | 15,492 | ||
5,076,375 | ||||||
Health Care (5.9%) | ||||||
AbbVie Inc. | 3.200% | 11/6/22 | 10,571 | 10,566 | ||
AbbVie Inc. | 2.300% | 11/21/22 | 34,891 | 34,826 | ||
Aetna Inc. | 2.750% | 11/15/22 | 41,965 | 41,953 | ||
Aetna Inc. | 2.800% | 6/15/23 | 33,028 | 32,842 | ||
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 31,363 | 30,801 | ||
Amgen Inc. | 2.250% | 8/19/23 | 17,000 | 16,827 | ||
Anthem Inc. | 2.950% | 12/1/22 | 11,600 | 11,588 | ||
Anthem Inc. | 3.300% | 1/15/23 | 38,155 | 38,148 | ||
Astrazeneca Finance LLC | 0.700% | 5/28/24 | 27,765 | 26,484 | ||
5 | Baxter International Inc. | 1.883% | 12/1/23 | 42,000 | 41,547 | |
3 | Bayer US Finance II LLC | 3.875% | 12/15/23 | 21,047 | 21,051 | |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 1,750 | 1,750 | ||
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 35,175 | 34,135 | ||
Cardinal Health Inc. | 3.200% | 3/15/23 | 5,299 | 5,291 | ||
Cigna Corp. | 3.050% | 11/30/22 | 29,047 | 29,029 | ||
Cigna Corp. | 3.750% | 7/15/23 | 40,501 | 40,590 | ||
Cigna Corp. | 0.613% | 3/15/24 | 6,000 | 5,739 | ||
CVS Health Corp. | 4.750% | 12/1/22 | 1,795 | 1,797 | ||
DH Europe Finance II Sarl | 2.050% | 11/15/22 | 77,443 | 77,168 | ||
Gilead Sciences Inc. | 0.750% | 9/29/23 | 26,355 | 25,607 | ||
Humana Inc. | 3.150% | 12/1/22 | 25,110 | 25,104 | ||
Humana Inc. | 2.900% | 12/15/22 | 62,131 | 62,016 | ||
Humana Inc. | 0.650% | 8/3/23 | 30,500 | 29,643 | ||
Illumina Inc. | 0.550% | 3/23/23 | 28,917 | 28,279 | ||
McKesson Corp. | 2.700% | 12/15/22 | 7,947 | 7,925 | ||
Merck & Co. Inc. | 2.400% | 9/15/22 | 2,500 | 2,499 | ||
3 | Mylan Inc. | 3.125% | 1/15/23 | 20,916 | 20,789 | |
Mylan Inc. | 4.200% | 11/29/23 | 9,000 | 9,018 | ||
PerkinElmer Inc. | 0.550% | 9/15/23 | 45,170 | 43,653 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Roche Holdings Inc. | 2.132% | 3/10/25 | 4,770 | 4,665 | |
Royalty Pharma plc | 0.750% | 9/2/23 | 16,014 | 15,478 | ||
Stryker Corp. | 0.600% | 12/1/23 | 25,000 | 24,097 | ||
Takeda Pharmaceutical Co. Ltd. | 4.400% | 11/26/23 | 42,453 | 42,827 | ||
Thermo Fisher Scientific Inc. | 0.797% | 10/18/23 | 20,000 | 19,441 | ||
5 | Thermo Fisher Scientific Inc., SOFR + 0.350% | 2.522% | 4/18/23 | 80,000 | 79,764 | |
UnitedHealth Group Inc. | 2.375% | 10/15/22 | 14,049 | 14,041 | ||
UnitedHealth Group Inc. | 3.500% | 6/15/23 | 1,624 | 1,633 | ||
Zoetis Inc. | 3.250% | 2/1/23 | 22,224 | 22,178 | ||
980,789 | ||||||
Industrials (2.4%) | ||||||
7 | Australia Pacific Airports Melbourne Pty Ltd. | 4.000% | 9/15/22 | 5,000 | 3,500 | |
Boeing Co. | 1.167% | 2/4/23 | 44,000 | 43,433 | ||
Boeing Co. | 4.508% | 5/1/23 | 31,581 | 31,671 | ||
Caterpillar Financial Services Corp. | 1.900% | 9/6/22 | 21,180 | 21,166 | ||
CNH Industrial Capital LLC | 1.950% | 7/2/23 | 2,879 | 2,822 | ||
CNH Industrial Capital LLC | 4.200% | 1/15/24 | 190 | 191 | ||
CNH Industrial NV | 4.500% | 8/15/23 | 638 | 641 | ||
3 | Daimler Trucks Finance North America LLC | 1.125% | 12/14/23 | 10,695 | 10,317 | |
Huntington Ingalls Industries Inc. | 0.670% | 8/16/23 | 28,200 | 27,252 | ||
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 22,215 | 22,227 | ||
Norfolk Southern Corp. | 3.850% | 1/15/24 | 1,000 | 1,006 | ||
Northrop Grumman Corp. | 3.250% | 8/1/23 | 7,654 | 7,647 | ||
PACCAR Financial Corp. | 3.150% | 6/13/24 | 26,665 | 26,566 | ||
7 | QPH Finance Co. Pty Ltd. | 3.750% | 6/7/23 | 9,520 | 6,658 | |
Quanta Services Inc. | 0.950% | 10/1/24 | 10,565 | 9,849 | ||
Rockwell Automation Inc. | 0.350% | 8/15/23 | 29,100 | 28,222 | ||
Ryder System Inc. | 2.500% | 9/1/22 | 12,800 | 12,784 | ||
Ryder System Inc. | 3.875% | 12/1/23 | 17,810 | 17,830 | ||
Southwest Airlines Co. | 4.750% | 5/4/23 | 90,363 | 91,018 | ||
4 | Southwest Airlines Co. Series 2007-1 Pass Through Trust | 6.650% | 8/1/22 | 300 | 300 | |
Teledyne Technologies Inc. | 0.650% | 4/1/23 | 550 | 537 | ||
Union Pacific Corp. | 2.950% | 1/15/23 | 23,297 | 23,267 | ||
Union Pacific Corp. | 3.500% | 6/8/23 | 8,264 | 8,293 | ||
4,8 | US Airways Series 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 16 | 16 | |
397,213 | ||||||
Materials (1.0%) | ||||||
Berry Global Inc. | 0.950% | 2/15/24 | 5,500 | 5,228 | ||
Carlisle Cos. Inc. | 0.550% | 9/1/23 | 9,310 | 9,006 | ||
Celanese US Holdings LLC | 5.900% | 7/5/24 | 13,030 | 13,128 | ||
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 15,541 | 15,692 | ||
GC Treasury Center Co. Ltd. | 4.250% | 9/19/22 | 4,930 | 4,935 | ||
Georgia-Pacific LLC | 8.000% | 1/15/24 | 13,574 | 14,426 | ||
Indonesia Asahan Aluminium Persero PT | 5.710% | 11/15/23 | 35,874 | 36,611 | ||
3 | International Flavors & Fragrances Inc. | 0.697% | 9/15/22 | 3,035 | 3,025 | |
LYB International Finance BV | 4.000% | 7/15/23 | 12,255 | 12,269 | ||
Martin Marietta Materials Inc. | 0.650% | 7/15/23 | 15,000 | 14,560 | ||
Nucor Corp. | 4.125% | 9/15/22 | 4,237 | 4,234 | ||
Nutrien Ltd. | 3.150% | 10/1/22 | 10,516 | 10,520 | ||
Nutrien Ltd. | 1.900% | 5/13/23 | 12,461 | 12,276 | ||
PPG Industries Inc. | 3.200% | 3/15/23 | 7,000 | 6,986 | ||
162,896 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Real Estate (2.1%) | ||||||
American Tower Corp. | 3.500% | 1/31/23 | 1,230 | 1,230 | ||
American Tower Corp. | 3.000% | 6/15/23 | 12,640 | 12,554 | ||
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 17,450 | 17,362 | ||
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 25,272 | 25,480 | ||
Boston Properties LP | 3.125% | 9/1/23 | 20,350 | 20,231 | ||
Boston Properties LP | 3.800% | 2/1/24 | 7,472 | 7,473 | ||
Camden Property Trust | 2.950% | 12/15/22 | 41,799 | 41,744 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 10,750 | 10,676 | ||
ERP Operating LP | 3.000% | 4/15/23 | 68,415 | 68,429 | ||
Essex Portfolio LP | 3.250% | 5/1/23 | 8,470 | 8,429 | ||
Essex Portfolio LP | 3.875% | 5/1/24 | 1,050 | 1,049 | ||
Federal Realty Investment Trust | 2.750% | 6/1/23 | 1,800 | 1,789 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 20,984 | 21,008 | ||
7 | General Property Trust Co. | 3.591% | 11/7/23 | 20,520 | 14,279 | |
Kimco Realty Corp. | 3.500% | 4/15/23 | 1,160 | 1,156 | ||
Mid-America Apartments LP | 4.300% | 10/15/23 | 3,100 | 3,117 | ||
Public Storage | 2.370% | 9/15/22 | 9,410 | 9,411 | ||
5 | Public Storage, SOFR + 0.470% | 2.699% | 4/23/24 | 8,845 | 8,791 | |
Realty Income Corp. | 4.600% | 2/6/24 | 5,050 | 5,119 | ||
Simon Property Group LP | 2.750% | 6/1/23 | 17,465 | ��� 17,369 | ||
Simon Property Group LP | 3.750% | 2/1/24 | 15,895 | 15,931 | ||
Ventas Realty LP | 3.500% | 4/15/24 | 2,371 | 2,348 | ||
Waste Management Inc. | 0.360% | 8/15/22 | 25,000 | 24,969 | ||
Welltower Inc. | 4.500% | 1/15/24 | 9,995 | 10,069 | ||
Welltower Inc. | 3.625% | 3/15/24 | 1,495 | 1,493 | ||
351,506 | ||||||
Technology (2.0%) | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 17,246 | 17,246 | ||
Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 6,619 | 6,692 | ||
Equifax Inc. | 3.300% | 12/15/22 | 14,895 | 14,891 | ||
Equifax Inc. | 3.950% | 6/15/23 | 2,175 | 2,180 | ||
Fidelity National Information Services Inc. | 0.375% | 3/1/23 | 50,000 | 49,089 | ||
Global Payments Inc. | 3.750% | 6/1/23 | 8,895 | 8,876 | ||
7 | Intel Corp. | 4.000% | 12/1/22 | 29,460 | 20,642 | |
Moody's Corp. | 2.625% | 1/15/23 | 17,654 | 17,595 | ||
Oracle Corp. | 2.500% | 10/15/22 | 11,803 | 11,785 | ||
Oracle Corp. | 2.400% | 9/15/23 | 68,376 | 67,606 | ||
Roper Technologies Inc. | 0.450% | 8/15/22 | 10,000 | 9,989 | ||
Roper Technologies Inc. | 3.650% | 9/15/23 | 3,087 | 3,092 | ||
Skyworks Solutions Inc. | 0.900% | 6/1/23 | 80,121 | 78,235 | ||
VMware Inc. | 0.600% | 8/15/23 | 17,495 | 16,939 | ||
324,857 | ||||||
Utilities (6.0%) | ||||||
Abu Dhabi National Energy Co. PJSC | 3.875% | 5/6/24 | 10,100 | 10,160 | ||
American Electric Power Co. Inc. | 0.750% | 11/1/23 | 10,000 | 9,659 | ||
Atmos Energy Corp. | 0.625% | 3/9/23 | 9,260 | 9,108 | ||
Baltimore Gas and Electric Co. | 3.350% | 7/1/23 | 4,810 | 4,814 | ||
Black Hills Corp. | 1.037% | 8/23/24 | 9,000 | 8,473 | ||
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 2,000 | 2,000 | ||
CenterPoint Energy Inc. | 2.500% | 9/1/24 | 10,182 | 9,867 | ||
CenterPoint Energy Resources Corp. | 0.700% | 3/2/23 | 8,046 | 7,936 | ||
Consolidated Edison Inc. | 0.650% | 12/1/23 | 34,357 | 33,138 | ||
Dominion Energy Inc. | 2.750% | 9/15/22 | 40,140 | 40,063 | ||
3 | Dominion Energy Inc. | 2.450% | 1/15/23 | 69,850 | 69,380 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | Dominion Energy Inc., 3M USD LIBOR + 0.530% | 2.359% | 9/15/23 | 6,090 | 6,056 | |
DTE Energy Co. | 0.550% | 11/1/22 | 60,220 | 59,931 | ||
DTE Energy Co. | 2.250% | 11/1/22 | 25,900 | 25,826 | ||
Duke Energy Corp. | 2.400% | 8/15/22 | 14,109 | 14,101 | ||
Duke Energy Corp. | 3.950% | 10/15/23 | 447 | 449 | ||
Duke Energy Progress LLC | 3.375% | 9/1/23 | 8,695 | 8,709 | ||
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 9,867 | 9,877 | ||
Edison International | 2.400% | 9/15/22 | 3,001 | 2,994 | ||
Edison International | 2.950% | 3/15/23 | 2,023 | 2,014 | ||
Enel Finance America LLC | 0.000% | 8/5/22 | 40,000 | 39,977 | ||
3 | Engie SA | 2.875% | 10/10/22 | 4,640 | 4,619 | |
Entergy Louisiana LLC | 0.620% | 11/17/23 | 16,172 | 15,641 | ||
5,7 | ETSA Utilities Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.020% | 2.190% | 8/29/22 | 14,900 | 10,409 | |
Eversource Energy | 2.800% | 5/1/23 | 44,715 | 44,431 | ||
5 | Eversource Energy, SOFR + 0.250% | 1.596% | 8/15/23 | 32,600 | 32,305 | |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 10,719 | 10,682 | ||
NextEra Energy Capital Holdings Inc. | 0.650% | 3/1/23 | 53,300 | 52,505 | ||
5 | NextEra Energy Capital Holdings Inc., 3M USD LIBOR + 0.270% | 1.775% | 2/22/23 | 40,000 | 39,826 | |
5 | NextEra Energy Capital Holdings Inc., SOFR + 0.400% | 1.537% | 11/3/23 | 37,700 | 37,233 | |
NTPC Ltd. | 4.750% | 10/3/22 | 18,624 | 18,657 | ||
Oklahoma Gas and Electric Co. | 0.553% | 5/26/23 | 352 | 344 | ||
ONE Gas Inc. | 0.850% | 3/11/23 | 65,000 | 63,888 | ||
Public Service Electric and Gas Co. | 2.375% | 5/15/23 | 4,214 | 4,182 | ||
Public Service Enterprise Group Inc. | 2.650% | 11/15/22 | 78,040 | 77,821 | ||
Southern California Edison Co. | 0.700% | 4/3/23 | 20,000 | 19,629 | ||
Southern California Edison Co. | 0.700% | 8/1/23 | 2,150 | 2,093 | ||
Southern California Edison Co. | 3.500% | 10/1/23 | 10,000 | 9,996 | ||
Southern Co. | 4.475% | 8/1/24 | 14,950 | 15,097 | ||
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 8,325 | 8,210 | ||
State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 17,729 | 17,730 | ||
3 | State Grid Overseas Investment BVI Ltd. | 3.750% | 5/2/23 | 32,647 | 32,800 | |
Tampa Electric Co. | 3.875% | 7/12/24 | 4,340 | 4,359 | ||
7 | United Energy Distribution Pty Ltd. | 3.500% | 9/12/23 | 25,140 | 17,506 | |
Virginia Electric and Power Co. | 3.450% | 9/1/22 | 47,651 | 47,610 | ||
Virginia Electric and Power Co. | 2.750% | 3/15/23 | 30,143 | 29,977 | ||
WEC Energy Group Inc. | 0.550% | 9/15/23 | 13,710 | 13,290 | ||
1,005,372 | ||||||
Total Corporate Bonds (Cost $10,431,985) | 10,238,833 | |||||
Sovereign Bonds (2.6%) | ||||||
7 | Airservices Australia | 2.750% | 5/15/23 | 6,290 | 4,378 | |
APICORP Sukuk Ltd. | 3.141% | 11/1/22 | 40,788 | 40,559 | ||
Corp. Andina de Fomento | 2.375% | 5/12/23 | 10,000 | 9,917 | ||
Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 2,115 | 2,112 | ||
Export-Import Bank of India | 4.000% | 1/14/23 | 28,218 | 28,256 | ||
Kingdom of Morocco | 4.250% | 12/11/22 | 1,800 | 1,799 | ||
9 | Korea Monetary Stabilization Bond | 1.080% | 9/9/22 | 190,000,000 | 146,066 | |
9 | Korea Monetary Stabilization Bond | 3.050% | 7/9/23 | 80,000,000 | 61,590 | |
Perusahaan Penerbit SBSN Indonesia III | 3.300% | 11/21/22 | 19,409 | 19,431 | ||
Republic of Chile | 2.250% | 10/30/22 | 15,340 | 15,309 | ||
Republic of Colombia | 2.625% | 3/15/23 | 31,180 | 30,900 | ||
Republic of Croatia | 5.500% | 4/4/23 | 10,662 | 10,793 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Republic of Hungary | 5.375% | 2/21/23 | 23,702 | 23,907 | ||
Republic of Hungary | 5.750% | 11/22/23 | 8,000 | 8,167 | ||
Republic of Indonesia | 2.950% | 1/11/23 | 2,500 | 2,501 | ||
Republic of Panama | 4.000% | 9/22/24 | 13,047 | 13,085 | ||
State of Qatar | 3.875% | 4/23/23 | 10,000 | 10,030 | ||
Total Sovereign Bonds (Cost $443,879) | 428,800 | |||||
Shares | ||||||
Temporary Cash Investments (18.5%) | ||||||
Money Market Fund (0.1%) | ||||||
10 | Vanguard Market Liquidity Fund | 1.903% | 252,364 | 25,226 | ||
Maturity Date | Face Amount ($000) | |||||
U.S. Government and Agency Obligations (18.4%) | ||||||
2 | United States Treasury Bill | 3.141% | 6/15/23 | 1,570,000 | 1,530,545 | |
United States Treasury Bill | 3.077% | 7/13/23 | 1,570,000 | 1,526,844 | ||
3,057,389 | ||||||
Total Temporary Cash Investments (Cost $3,078,678) | 3,082,615 | |||||
Total Investments (99.4%) (Cost $16,811,305) | 16,554,324 | |||||
Other Assets and Liabilities—Net (0.6%) | 98,696 | |||||
Net Assets (100%) | 16,653,020 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $4,449,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $169,000 have been segregated as collateral for open forward currency 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, 2022, the aggregate value was $3,661,738,000, representing 22.0% of net assets. |
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 | 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 | 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. |
7 | Face amount denominated in Australian dollars. |
8 | Security value determined using significant unobservable inputs. |
9 | Face amount denominated in Korean won. |
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. |
1M—1-month. | |
3M—3-month. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
SOFR—Secured Overnight Financing Rate. | |
SOFR30A—30 Day Average Secured Overnight Financing Rate. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | 7,253 | 1,526,473 | 2,564 |
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2022 | (553) | (62,891) | (442) |
AUD 3-Year Treasury Bond | September 2022 | (956) | (72,966) | (1,202) |
(1,644) | ||||
920 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Standard Chartered Bank | 9/21/22 | AUD | 34,452 | USD | 23,943 | 150 | — |
Toronto-Dominion Bank | 9/21/22 | AUD | 24,701 | USD | 17,082 | 191 | — |
BNP Paribas | 9/21/22 | AUD | 1,163 | USD | 807 | 7 | — |
JPMorgan Chase Bank, N.A. | 9/21/22 | AUD | 1,074 | USD | 764 | — | (12) |
State Street Bank & Trust Co. | 9/21/22 | AUD | 712 | USD | 498 | — | — |
State Street Bank & Trust Co. | 9/21/22 | AUD | 585 | USD | 404 | 5 | — |
JPMorgan Chase Bank, N.A. | 9/21/22 | AUD | 497 | USD | 347 | 1 | — |
Bank of America, N.A. | 9/21/22 | EUR | 34 | USD | 37 | — | (2) |
JPMorgan Chase Bank, N.A. | 9/21/22 | GBP | 2 | USD | 3 | — | — |
Barclays Bank plc | 9/15/22 | KRW | 80,000,000 | USD | 60,411 | 1,213 | — |
BNP Paribas | 9/15/22 | KRW | 28,900,000 | USD | 22,096 | 165 | — |
Citibank, N.A. | 9/15/22 | KRW | 21,100,000 | USD | 16,131 | 122 | — |
State Street Bank & Trust Co. | 9/21/22 | USD | 118,176 | AUD | 169,460 | — | (326) |
State Street Bank & Trust Co. | 9/21/22 | USD | 120,063 | AUD | 168,683 | 2,105 | — |
Bank of Montreal | 9/21/22 | USD | 119,574 | AUD | 167,841 | 2,205 | — |
JPMorgan Chase Bank, N.A. | 9/21/22 | USD | 19,620 | AUD | 28,280 | — | (157) |
Bank of New York | 9/21/22 | USD | 6,861 | AUD | 9,870 | — | (42) |
Toronto-Dominion Bank | 9/21/22 | USD | 1,867 | AUD | 2,689 | — | (13) |
Bank of America, N.A. | 9/21/22 | USD | 719 | AUD | 1,039 | — | (7) |
Standard Chartered Bank | 9/21/22 | USD | 8 | AUD | 11 | — | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
BNP Paribas | 9/15/22 | USD | 285,052 | KRW | 321,000,000 | 37,782 | — |
Barclays Bank plc | 7/10/23 | USD | 60,935 | KRW | 80,000,000 | — | (1,177) |
43,946 | (1,736) |
AUD—Australian dollar. |
EUR—euro. |
GBP—British pound. |
KRW—Korean won. |
USD—U.S. dollar. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $16,786,080) | 16,529,098 |
Affiliated Issuers (Cost $25,225) | 25,226 |
Total Investments in Securities | 16,554,324 |
Investment in Vanguard | 649 |
Foreign Currency, at Value (Cost $526) | 552 |
Receivables for Investment Securities Sold | 27,877 |
Receivables for Accrued Income | 62,130 |
Receivables for Capital Shares Issued | 19,559 |
Unrealized Appreciation—Forward Currency Contracts | 43,946 |
Total Assets | 16,709,037 |
Liabilities | |
Due to Custodian | 1,221 |
Payables for Investment Securities Purchased | 15,864 |
Payables for Capital Shares Redeemed | 32,564 |
Payables for Distributions | 3,166 |
Payables to Vanguard | 753 |
Variation Margin Payable—Futures Contracts | 713 |
Unrealized Depreciation—Forward Currency Contracts | 1,736 |
Total Liabilities | 56,017 |
Net Assets | 16,653,020 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 16,967,290 |
Total Distributable Earnings (Loss) | (314,270) |
Net Assets | 16,653,020 |
Investor Shares—Net Assets | |
Applicable to 49,467,169 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 489,411 |
Net Asset Value Per Share—Investor Shares | $9.89 |
Admiral Shares—Net Assets | |
Applicable to 816,748,563 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,163,609 |
Net Asset Value Per Share—Admiral Shares | $19.79 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1,2 | 85,288 |
Total Income | 85,288 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 661 |
Management and Administrative—Investor Shares | 498 |
Management and Administrative—Admiral Shares | 7,562 |
Marketing and Distribution—Investor Shares | 28 |
Marketing and Distribution—Admiral Shares | 429 |
Custodian Fees | 56 |
Shareholders’ Reports—Investor Shares | 7 |
Shareholders’ Reports—Admiral Shares | 45 |
Trustees’ Fees and Expenses | 5 |
Other Expenses | 6 |
Total Expenses | 9,297 |
Expenses Paid Indirectly | (3) |
Net Expenses | 9,294 |
Net Investment Income | 75,994 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (63,886) |
Futures Contracts | (46,186) |
Swap Contracts | 493 |
Forward Currency Contracts | 14,018 |
Foreign Currencies | (14,311) |
Realized Net Gain (Loss) | (109,872) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (119,014) |
Futures Contracts | 10,469 |
Swap Contracts | (197) |
Forward Currency Contracts | 21,414 |
Foreign Currencies | 323 |
Change in Unrealized Appreciation (Depreciation) | (87,005) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (120,883) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,501,000, ($217,000), and ($77,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Interest is net of foreign withholding taxes of $171,000. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 75,994 | 110,988 | |
Realized Net Gain (Loss) | (109,872) | 50,431 | |
Change in Unrealized Appreciation (Depreciation) | (87,005) | (213,469) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (120,883) | (52,050) | |
Distributions | |||
Investor Shares | (2,021) | (3,889) | |
Admiral Shares | (73,636) | (113,727) | |
Total Distributions | (75,657) | (117,616) | |
Capital Share Transactions | |||
Investor Shares | (181,401) | (45,100) | |
Admiral Shares | (3,121,887) | 3,579,555 | |
Net Increase (Decrease) from Capital Share Transactions | (3,303,288) | 3,534,455 | |
Total Increase (Decrease) | (3,499,828) | 3,364,789 | |
Net Assets | |||
Beginning of Period | 20,152,848 | 16,788,059 | |
End of Period | 16,653,020 | 20,152,848 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $9.99 | $10.08 | $10.04 | $9.98 | $9.97 | $10.00 |
Investment Operations | ||||||
Net Investment Income1 | .036 | .047 | .127 | .252 | .227 | .154 |
Net Realized and Unrealized Gain (Loss) on Investments | (.099) | (.086) | .053 | .065 | .003 | (.037) |
Total from Investment Operations | (.063) | (.039) | .180 | .317 | .230 | .117 |
Distributions | ||||||
Dividends from Net Investment Income | (.037) | (.050) | (.140) | (.257) | (.220) | (.145) |
Distributions from Realized Capital Gains | — | (.001) | — | — | — | (.002) |
Total Distributions | (.037) | (.051) | (.140) | (.257) | (.220) | (.147) |
Net Asset Value, End of Period | $9.89 | $9.99 | $10.08 | $10.04 | $9.98 | $9.97 |
Total Return2 | -0.63% | -0.39% | 1.81% | 3.21% | 2.34% | 1.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $489 | $677 | $728 | $471 | $309 | $179 |
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.74% | 0.47% | 1.27% | 2.53% | 2.28% | 1.54% |
Portfolio Turnover Rate | 19% | 57%4 | 60%4 | 70% | 61% | 70% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 1% and 3%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $19.99 | $20.15 | $20.08 | $19.96 | $19.94 | $20.00 |
Investment Operations | ||||||
Net Investment Income1 | .083 | .113 | .263 | .527 | .473 | .328 |
Net Realized and Unrealized Gain (Loss) on Investments | (.198) | (.152) | .107 | .126 | .008 | (.077) |
Total from Investment Operations | (.115) | (.039) | .370 | .653 | .481 | .251 |
Distributions | ||||||
Dividends from Net Investment Income | (.085) | (.119) | (.300) | (.533) | (.461) | (.307) |
Distributions from Realized Capital Gains | — | (.002) | — | — | — | (.004) |
Total Distributions | (.085) | (.121) | (.300) | (.533) | (.461) | (.311) |
Net Asset Value, End of Period | $19.79 | $19.99 | $20.15 | $20.08 | $19.96 | $19.94 |
Total Return2 | -0.57% | -0.20% | 1.86% | 3.31% | 2.44% | 1.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $16,164 | $19,476 | $16,060 | $6,443 | $5,244 | $3,474 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.85% | 0.56% | 1.31% | 2.63% | 2.38% | 1.64% |
Portfolio Turnover Rate | 19% | 57%4 | 60%4 | 70% | 61% | 70% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 1% 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets). |
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 | — | 298,641 | — | 298,641 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 2,505,435 | — | 2,505,435 |
Corporate Bonds | — | 10,238,817 | 16 | 10,238,833 |
Sovereign Bonds | — | 428,800 | — | 428,800 |
Temporary Cash Investments | 25,226 | 3,057,389 | — | 3,082,615 |
Total | 25,226 | 16,529,082 | 16 | 16,554,324 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2,564 | — | — | 2,564 |
Forward Currency Contracts | — | 43,946 | — | 43,946 |
Total | 2,564 | 43,946 | — | 46,510 |
Liabilities | ||||
Futures Contracts1 | 1,644 | — | — | 1,644 |
Forward Currency Contracts | — | 1,736 | — | 1,736 |
Total | 1,644 | 1,736 | — | 3,380 |
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, 2022, 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) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 2,564 | — | 2,564 |
Unrealized Appreciation—Forward Currency Contracts | — | 43,946 | 43,946 |
Total Assets | 2,564 | 43,946 | 46,510 |
Unrealized Depreciation—Futures Contracts1 | 1,644 | — | 1,644 |
Unrealized Depreciation—Forward Currency Contracts | — | 1,736 | 1,736 |
Total Liabilities | 1,644 | 1,736 | 3,380 |
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. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (46,186) | — | — | (46,186) |
Swap Contracts | — | — | 493 | 493 |
Forward Currency Contracts | — | 14,018 | — | 14,018 |
Realized Net Gain (Loss) on Derivatives | (46,186) | 14,018 | 493 | (31,675) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 10,469 | — | — | 10,469 |
Swap Contracts | — | — | (197) | (197) |
Forward Currency Contracts | — | 21,414 | — | 21,414 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 10,469 | 21,414 | (197) | 31,686 |
F. | As of July 31, 2022, 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 | 16,774,048 |
Gross Unrealized Appreciation | 90,711 |
Gross Unrealized Depreciation | (267,305) |
Net Unrealized Appreciation (Depreciation) | (176,594) |
G. | During the six months ended July 31, 2022, the fund purchased $2,526,749,000 of investment securities and sold $5,204,849,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $104,212,000 and $120,487,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 130,802 | 13,198 | 616,149 | 61,217 | |
Issued in Lieu of Cash Distributions | 1,844 | 186 | 3,508 | 349 | |
Redeemed | (314,047) | (31,665) | (664,757) | (66,087) | |
Net Increase (Decrease)—Investor Shares | (181,401) | (18,281) | (45,100) | (4,521) | |
Admiral Shares | |||||
Issued | 5,125,042 | 258,314 | 16,783,133 | 833,760 | |
Issued in Lieu of Cash Distributions | 60,465 | 3,052 | 93,137 | 4,630 | |
Redeemed | (8,307,394) | (418,816) | (13,296,715) | (661,031) | |
Net Increase (Decrease)—Admiral Shares | (3,121,887) | (157,450) | 3,579,555 | 177,359 |
I. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, 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 | 32 |
Liquidity Risk Management | 34 |
• | 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, 2022 | |||
Beginning Account Value 1/31/2022 | Ending Account Value 7/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $956.30 | $1.12 |
Admiral™ Shares | 1,000.00 | 956.80 | 0.63 |
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 | 17.7% |
Corporate Bonds - Consumer Discretionary | 14.9 |
Corporate Bonds - Consumer Staples | 3.2 |
Corporate Bonds - Energy | 10.1 |
Corporate Bonds - Financials | 7.4 |
Corporate Bonds - Health Care | 10.6 |
Corporate Bonds - Industrials | 6.6 |
Corporate Bonds - Materials | 8.0 |
Corporate Bonds - Real Estate | 1.5 |
Corporate Bonds - Technology | 10.9 |
Corporate Bonds - Utilities | 2.0 |
Floating Rate Loan Interests | 4.1 |
U.S. Government and Agency Obligations | 3.0 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (2.9%) | ||||||
U.S. Government Securities (2.9%) | ||||||
United States Treasury Note/Bond | 1.375% | 10/15/22 | 200,000 | 199,500 | ||
1 | United States Treasury Note/Bond | 0.125% | 1/31/23 | 275,000 | 271,219 | |
United States Treasury Note/Bond | 1.625% | 4/30/23 | 275,000 | 272,164 | ||
Total U.S. Government and Agency Obligations (Cost $750,481) | 742,883 | |||||
Corporate Bonds (89.3%) | ||||||
Communications (17.0%) | ||||||
2,3 | Altice France SA | 2.125% | 2/15/25 | 11,415 | 10,619 | |
2 | Altice France SA | 8.125% | 2/1/27 | 600 | 592 | |
2 | Altice France SA | 5.500% | 1/15/28 | 19,790 | 17,389 | |
2 | Altice France SA | 5.125% | 7/15/29 | 90,970 | 77,853 | |
2 | Arches Buyer Inc. | 4.250% | 6/1/28 | 107,255 | 91,611 | |
2 | Banijay Entertainment SASU | 5.375% | 3/1/25 | 26,880 | 25,624 | |
Belo Corp. | 7.750% | 6/1/27 | 29,475 | 29,920 | ||
Belo Corp. | 7.250% | 9/15/27 | 24,707 | 24,697 | ||
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.500% | 5/1/26 | 50,144 | 50,096 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.125% | 5/1/27 | 34,282 | 33,639 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.375% | 6/1/29 | 7,245 | 6,922 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.500% | 8/15/30 | 85,720 | 76,274 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.250% | 2/1/31 | 86,865 | 75,333 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.750% | 2/1/32 | 7,000 | 6,180 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 4.500% | 5/1/32 | 120,718 | 104,194 | ||
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.500% | 6/1/33 | 10,000 | 8,417 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.250% | 1/15/34 | 17,800 | 14,726 | |
2 | CSC Holdings LLC | 5.500% | 4/15/27 | 82,015 | 79,427 | |
2 | CSC Holdings LLC | 6.500% | 2/1/29 | 35,323 | 34,132 | |
2 | CSC Holdings LLC | 4.125% | 12/1/30 | 123,394 | 105,047 | |
2 | CSC Holdings LLC | 4.625% | 12/1/30 | 22,675 | 17,240 | |
2 | CSC Holdings LLC | 3.375% | 2/15/31 | 82,190 | 65,752 | |
2 | CSC Holdings LLC | 4.500% | 11/15/31 | 144,170 | 122,639 | |
2 | CSC Holdings LLC | 5.000% | 11/15/31 | 27,270 | 20,522 | |
DISH DBS Corp. | 5.000% | 3/15/23 | 48,242 | 47,483 | ||
DISH DBS Corp. | 5.875% | 11/15/24 | 87,950 | 81,367 | ||
DISH DBS Corp. | 7.750% | 7/1/26 | 121,605 | 100,425 | ||
DISH DBS Corp. | 7.375% | 7/1/28 | 70,315 | 50,072 | ||
DISH DBS Corp. | 5.125% | 6/1/29 | 22,735 | 14,889 | ||
Embarq Corp. | 7.995% | 6/1/36 | 30,150 | 24,844 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 26,240 | 25,844 | |
2 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 167,919 | 157,718 | |
2 | Frontier Communications Holdings LLC | 6.750% | 5/1/29 | 78,962 | 70,278 | |
Frontier Communications Holdings LLC | 5.875% | 11/1/29 | 108,903 | 91,484 | ||
2 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 57,475 | 48,450 | |
2 | Go Daddy Operating Co. LLC / GD Finance Co. Inc. | 3.500% | 3/1/29 | 116,540 | 103,950 | |
2 | Iliad Holding SAS | 6.500% | 10/15/26 | 28,825 | 27,661 | |
2 | Iliad Holding SAS | 7.000% | 10/15/28 | 26,725 | 25,670 | |
Lamar Media Corp. | 3.750% | 2/15/28 | 31,890 | 29,914 | ||
Lamar Media Corp. | 4.875% | 1/15/29 | 2,920 | 2,805 | ||
Lamar Media Corp. | 4.000% | 2/15/30 | 75,500 | 69,841 | ||
Lamar Media Corp. | 3.625% | 1/15/31 | 59,108 | 51,972 | ||
2,3 | Lorca Telecom Bondco SA | 4.000% | 9/18/27 | 55,975 | 52,152 | |
Lumen Technologies Inc. | 6.750% | 12/1/23 | 23,920 | 24,293 | ||
Lumen Technologies Inc. | 7.500% | 4/1/24 | 17,708 | 18,158 | ||
Netflix Inc. | 4.875% | 4/15/28 | 6,630 | 6,576 | ||
2 | Outfront Media Capital LLC / Outfront Media Capital Corp. | 6.250% | 6/15/25 | 32,550 | 32,250 | |
2 | Outfront Media Capital LLC / Outfront Media Capital Corp. | 5.000% | 8/15/27 | 16,096 | 15,133 | |
2 | Outfront Media Capital LLC / Outfront Media Capital Corp. | 4.250% | 1/15/29 | 10,100 | 8,681 | |
2 | Outfront Media Capital LLC / Outfront Media Capital Corp. | 4.625% | 3/15/30 | 81,243 | 69,009 | |
Paramount Global Inc. | 6.250% | 2/28/57 | 33,146 | 30,580 | ||
Paramount Global Inc. | 6.375% | 3/30/62 | 33,700 | 31,870 | ||
Quebecor Media Inc. | 5.750% | 1/15/23 | 123,547 | 123,877 | ||
2 | ROBLOX Corp. | 3.875% | 5/1/30 | 119,965 | 105,753 | |
2 | Scripps Escrow II Inc. | 3.875% | 1/15/29 | 62,485 | 55,751 | |
2 | Sirius XM Radio Inc. | 3.125% | 9/1/26 | 13,825 | 13,017 | |
2 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 35,170 | 32,662 | |
2 | Sirius XM Radio Inc. | 4.125% | 7/1/30 | 75,495 | 67,740 | |
2 | Sirius XM Radio Inc. | 3.875% | 9/1/31 | 63,105 | 54,146 | |
Sprint Corp. | 7.875% | 9/15/23 | 323,614 | 335,739 | ||
Sprint Corp. | 7.125% | 6/15/24 | 70,886 | 74,245 | ||
Sprint Corp. | 7.625% | 2/15/25 | 53,661 | 57,292 | ||
Telecom Italia Capital SA | 6.375% | 11/15/33 | 10,545 | 8,770 | ||
Telecom Italia Capital SA | 6.000% | 9/30/34 | 36,250 | 28,611 | ||
Telecom Italia Capital SA | 7.721% | 6/4/38 | 36,020 | 29,760 | ||
2 | Telecom Italia SpA | 5.303% | 5/30/24 | 6,555 | 6,376 | |
2 | Telenet Finance Luxembourg Notes Sarl | 5.500% | 3/1/28 | 96,200 | 87,369 | |
T-Mobile USA Inc. | 5.375% | 4/15/27 | 29,295 | 29,713 | ||
2 | UPC Broadband Finco BV | 4.875% | 7/15/31 | 83,515 | 73,907 | |
2 | UPC Holding BV | 5.500% | 1/15/28 | 84,310 | 76,477 | |
2 | Videotron Ltd. | 5.375% | 6/15/24 | 12,673 | 12,750 | |
2 | Videotron Ltd. | 5.125% | 4/15/27 | 1,500 | 1,455 | |
2,4 | Videotron Ltd. | 3.625% | 6/15/28 | 97,435 | 65,607 | |
2 | Videotron Ltd. | 3.625% | 6/15/29 | 61,335 | 53,565 | |
2 | Virgin Media Secured Finance plc | 5.500% | 5/15/29 | 43,280 | 41,000 | |
2 | Virgin Media Secured Finance plc | 4.500% | 8/15/30 | 42,595 | 38,317 | |
2,5 | Virgin Media Vendor Financing Notes III DAC | 4.875% | 7/15/28 | 38,910 | 41,151 | |
2 | Virgin Media Vendor Financing Notes IV DAC | 5.000% | 7/15/28 | 38,325 | 35,039 | |
2 | Vmed O2 UK Financing I plc | 4.250% | 1/31/31 | 94,695 | 83,156 | |
2 | VZ Secured Financing BV | 5.000% | 1/15/32 | 58,570 | 52,287 | |
2,3 | WMG Acquisition Corp. | 2.750% | 7/15/28 | 18,490 | 16,853 | |
2 | WMG Acquisition Corp. | 3.875% | 7/15/30 | 58,405 | 53,192 | |
2 | WMG Acquisition Corp. | 3.000% | 2/15/31 | 62,070 | 53,866 | |
2,3 | WP/AP Telecom Holdings IV BV | 3.750% | 1/15/29 | 33,365 | 30,331 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Ziggo BV | 4.875% | 1/15/30 | 66,840 | 61,806 | |
4,313,794 | ||||||
Consumer Discretionary (14.3%) | ||||||
2 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 48,119 | 45,287 | |
2 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 8,000 | 7,432 | |
2 | 1011778 BC ULC / New Red Finance Inc. | 3.500% | 2/15/29 | 45,540 | 41,297 | |
2 | 1011778 BC ULC / New Red Finance Inc. | 4.000% | 10/15/30 | 133,629 | 116,616 | |
2 | Adient Global Holdings Ltd. | 4.875% | 8/15/26 | 23,432 | 21,843 | |
2 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 38,713 | 36,042 | |
2 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 56,970 | 48,711 | |
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 22,880 | 21,201 | ||
2 | Asbury Automotive Group Inc. | 4.625% | 11/15/29 | 26,830 | 23,735 | |
Asbury Automotive Group Inc. | 4.750% | 3/1/30 | 13,388 | 11,933 | ||
2 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 26,865 | 23,495 | |
2 | Ashton Woods USA LLC / Ashton Woods Finance Co. | 6.625% | 1/15/28 | 585 | 513 | |
2 | Ashton Woods USA LLC / Ashton Woods Finance Co. | 4.625% | 4/1/30 | 17,560 | 13,328 | |
Bath & Body Works Inc. | 6.694% | 1/15/27 | 20,412 | 20,129 | ||
Bath & Body Works Inc. | 5.250% | 2/1/28 | 2,500 | 2,355 | ||
2 | Bath & Body Works Inc. | 6.625% | 10/1/30 | 85,550 | 82,831 | |
Bath & Body Works Inc. | 6.875% | 11/1/35 | 13,940 | 12,804 | ||
Bath & Body Works Inc. | 6.750% | 7/1/36 | 1,860 | 1,676 | ||
2 | Beacon Roofing Supply Inc. | 4.125% | 5/15/29 | 17,080 | 15,138 | |
Boyd Gaming Corp. | 4.750% | 12/1/27 | 128,570 | 123,716 | ||
2 | Boyd Gaming Corp. | 4.750% | 6/15/31 | 6,005 | 5,529 | |
2 | Builders Firstsource Inc. | 4.250% | 2/1/32 | 37,950 | 32,535 | |
2 | Caesars Entertainment Inc. | 6.250% | 7/1/25 | 64,450 | 64,368 | |
2 | Caesars Entertainment Inc. | 8.125% | 7/1/27 | 74,280 | 74,368 | |
2 | Caesars Entertainment Inc. | 4.625% | 10/15/29 | 46,265 | 39,203 | |
2 | Caesars Resort Collection LLC / CRC Finco Inc. | 5.750% | 7/1/25 | 21,605 | 21,603 | |
2 | Carnival Corp. | 5.750% | 3/1/27 | 14,420 | 11,429 | |
2 | Carnival Corp. | 4.000% | 8/1/28 | 105,835 | 92,248 | |
2 | Carnival Corp. | 6.000% | 5/1/29 | 113,690 | 87,517 | |
2 | Carnival Corp. | 10.500% | 6/1/30 | 51,630 | 45,902 | |
Cedar Fair LP | 5.250% | 7/15/29 | 60,486 | 57,893 | ||
Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op | 5.375% | 4/15/27 | 32,005 | 31,174 | ||
2 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP | 5.500% | 5/1/25 | 10,000 | 10,072 | |
Century Communities Inc. | 6.750% | 6/1/27 | 11,293 | 11,481 | ||
2 | Century Communities Inc. | 3.875% | 8/15/29 | 15,427 | 13,200 | |
2 | Cinemark USA Inc. | 8.750% | 5/1/25 | 5,595 | 5,845 | |
2 | Cinemark USA Inc. | 5.875% | 3/15/26 | 11,850 | 11,381 | |
2 | Cinemark USA Inc. | 5.250% | 7/15/28 | 77,440 | 68,906 | |
2,3 | Cirsa Finance International Sarl | 6.250% | 12/20/23 | 39,240 | 38,827 | |
2,3 | Cirsa Finance International Sarl | 4.500% | 3/15/27 | 17,660 | 15,057 | |
2 | Clarios Global LP / Clarios US Finance Co. | 6.250% | 5/15/26 | 30,723 | 31,002 | |
2 | Clarios Global LP / Clarios US Finance Co. | 8.500% | 5/15/27 | 26,491 | 26,721 | |
Ford Motor Co. | 4.346% | 12/8/26 | 27,780 | 27,367 | ||
Ford Motor Co. | 3.250% | 2/12/32 | 139,570 | 116,439 | ||
Ford Motor Co. | 4.750% | 1/15/43 | 40,000 | 32,676 | ||
Ford Motor Co. | 5.291% | 12/8/46 | 13,765 | 11,839 | ||
Ford Motor Credit Co. LLC | 3.087% | 1/9/23 | 32,291 | 32,168 | ||
Ford Motor Credit Co. LLC | 4.140% | 2/15/23 | 21,180 | 21,212 | ||
Ford Motor Credit Co. LLC | 3.096% | 5/4/23 | 11,846 | 11,715 | ||
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 210 | 210 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Ford Motor Credit Co. LLC | 3.370% | 11/17/23 | 16,305 | 16,014 | ||
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 15,275 | 14,959 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 16,070 | 15,333 | ||
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 4,800 | 4,694 | ||
Ford Motor Credit Co. LLC | 2.700% | 8/10/26 | 87,840 | 79,908 | ||
Ford Motor Credit Co. LLC | 4.950% | 5/28/27 | 29,165 | 28,653 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 6,000 | 5,504 | ||
Ford Motor Credit Co. LLC | 3.625% | 6/17/31 | 2,955 | 2,515 | ||
6 | Ford Motor Credit Co. LLC, 3M USD LIBOR + 1.235% | 2.646% | 2/15/23 | 5,100 | 5,066 | |
2 | Gap Inc. | 3.625% | 10/1/29 | 42,730 | 31,310 | |
2 | Gap Inc. | 3.875% | 10/1/31 | 66,300 | 48,057 | |
Griffon Corp. | 5.750% | 3/1/28 | 18,565 | 17,645 | ||
2 | Group 1 Automotive Inc. | 4.000% | 8/15/28 | 4,054 | 3,627 | |
2 | Hanesbrands Inc. | 4.625% | 5/15/24 | 21,770 | 21,646 | |
2 | Hanesbrands Inc. | 4.875% | 5/15/26 | 93,794 | 91,890 | |
2 | JELD-WEN Inc. | 4.625% | 12/15/25 | 8,571 | 7,907 | |
2 | JELD-WEN Inc. | 4.875% | 12/15/27 | 16,928 | 14,212 | |
2 | KAR Auction Services Inc. | 5.125% | 6/1/25 | 84,923 | 83,735 | |
KB Home | 7.625% | 5/15/23 | 15,271 | 15,426 | ||
KB Home | 4.800% | 11/15/29 | 15,825 | 14,287 | ||
KB Home | 4.000% | 6/15/31 | 43,745 | 36,875 | ||
2 | KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC | 4.750% | 6/1/27 | 32,810 | 32,892 | |
2 | Lithia Motors Inc. | 4.625% | 12/15/27 | 69,275 | 66,325 | |
2 | Lithia Motors Inc. | 4.375% | 1/15/31 | 22,880 | 20,815 | |
2 | Masonite International Corp. | 3.500% | 2/15/30 | 12,420 | 10,725 | |
2 | Mattel Inc. | 3.375% | 4/1/26 | 18,470 | 17,522 | |
2 | Mattel Inc. | 5.875% | 12/15/27 | 76,280 | 77,978 | |
2 | Mattel Inc. | 3.750% | 4/1/29 | 25,585 | 23,767 | |
MGM Resorts International | 6.000% | 3/15/23 | 45,571 | 45,987 | ||
MGM Resorts International | 5.750% | 6/15/25 | 51,486 | 50,853 | ||
2 | Michaels Cos. Inc. | 5.250% | 5/1/28 | 48,585 | 40,444 | |
2 | Michaels Cos. Inc. | 7.875% | 5/1/29 | 42,725 | 29,480 | |
2 | NCL Corp Ltd. | 7.750% | 2/15/29 | 16,060 | 12,871 | |
2 | NMG Holding Co. Inc. / Neiman Marcus Group LLC | 7.125% | 4/1/26 | 15,825 | 15,479 | |
2 | Petsmart Inc. | 4.750% | 2/15/28 | 85,461 | 80,950 | |
2 | Petsmart Inc. | 7.750% | 2/15/29 | 26,610 | 25,652 | |
Royal Caribbean Cruises Ltd. | 5.250% | 11/15/22 | 10,118 | 10,047 | ||
2 | Royal Caribbean Cruises Ltd. | 4.250% | 7/1/26 | 11,360 | 8,743 | |
2 | Royal Caribbean Cruises Ltd. | 5.500% | 8/31/26 | 91,230 | 73,069 | |
2 | Royal Caribbean Cruises Ltd. | 5.375% | 7/15/27 | 19,070 | 14,713 | |
2 | Royal Caribbean Cruises Ltd. | 5.500% | 4/1/28 | 1,705 | 1,284 | |
2 | Scientific Games International Inc. | 7.000% | 5/15/28 | 57,625 | 58,516 | |
Service Corp. International | 4.625% | 12/15/27 | 27,935 | 27,577 | ||
Service Corp. International | 5.125% | 6/1/29 | 44,190 | 44,179 | ||
Service Corp. International | 3.375% | 8/15/30 | 26,810 | 23,832 | ||
Service Corp. International | 4.000% | 5/15/31 | 65,605 | 60,406 | ||
2 | Speedway Motorsports LLC / Speedway Funding II Inc. | 4.875% | 11/1/27 | 39,400 | 35,787 | |
2 | Taylor Morrison Communities Inc. | 5.875% | 6/15/27 | 9,642 | 9,846 | |
2 | Taylor Morrison Communities Inc. | 5.125% | 8/1/30 | 37,717 | 34,504 | |
2 | Tempur Sealy International Inc. | 3.875% | 10/15/31 | 8,438 | 6,846 | |
Under Armour Inc. | 3.250% | 6/15/26 | 67,855 | 62,819 | ||
2 | William Carter Co. | 5.625% | 3/15/27 | 12,968 | 12,868 | |
2 | Wolverine World Wide Inc. | 4.000% | 8/15/29 | 10,000 | 8,715 | |
2 | WW International Inc. | 4.500% | 4/15/29 | 34,823 | 25,416 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 5.500% | 3/1/25 | 70,661 | 69,542 | |
2 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 5.250% | 5/15/27 | 50,065 | 46,432 | |
2 | Wynn Macau Ltd. | 5.500% | 1/15/26 | 10,000 | 8,243 | |
2 | Wynn Macau Ltd. | 5.125% | 12/15/29 | 34,286 | 26,241 | |
2 | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. | 5.125% | 10/1/29 | 2,872 | 2,506 | |
2 | Yum! Brands Inc. | 4.750% | 1/15/30 | 37,170 | 36,140 | |
Yum! Brands Inc. | 3.625% | 3/15/31 | 93,497 | 83,388 | ||
Yum! Brands Inc. | 4.625% | 1/31/32 | 29,240 | 27,512 | ||
3,650,143 | ||||||
Consumer Staples (3.1%) | ||||||
B&G Foods Inc. | 5.250% | 4/1/25 | 60,337 | 58,129 | ||
B&G Foods Inc. | 5.250% | 9/15/27 | 58,175 | 53,265 | ||
2,3 | Darling Global Finance BV | 3.625% | 5/15/26 | 12,945 | 12,508 | |
2 | Darling Ingredients Inc. | 5.250% | 4/15/27 | 10,305 | 10,327 | |
2 | Darling Ingredients Inc. | 6.000% | 6/15/30 | 14,715 | 15,286 | |
2 | Energizer Holdings Inc. | 4.750% | 6/15/28 | 54,462 | 46,489 | |
2 | Energizer Holdings Inc. | 4.375% | 3/31/29 | 82,000 | 67,685 | |
2 | Performance Food Group Inc. | 6.875% | 5/1/25 | 6,645 | 6,748 | |
2 | Performance Food Group Inc. | 5.500% | 10/15/27 | 86,710 | 85,738 | |
2 | Performance Food Group Inc. | 4.250% | 8/1/29 | 86,454 | 76,825 | |
2 | Post Holdings Inc. | 5.750% | 3/1/27 | 8,810 | 8,814 | |
2 | Post Holdings Inc. | 5.625% | 1/15/28 | 90,650 | 89,464 | |
2 | Post Holdings Inc. | 5.500% | 12/15/29 | 36,090 | 34,097 | |
2 | Post Holdings Inc. | 4.625% | 4/15/30 | 73,334 | 65,643 | |
2 | Post Holdings Inc. | 4.500% | 9/15/31 | 100,565 | 89,930 | |
2 | United Natural Foods Inc. | 6.750% | 10/15/28 | 40,224 | 40,490 | |
2 | US Foods Inc. | 4.625% | 6/1/30 | 30,538 | 28,000 | |
789,438 | ||||||
Energy (9.7%) | ||||||
Apache Corp. | 4.875% | 11/15/27 | 33,350 | 31,243 | ||
Apache Corp. | 4.375% | 10/15/28 | 4,225 | 4,001 | ||
Apache Corp. | 4.250% | 1/15/30 | 27,250 | 26,281 | ||
Apache Corp. | 5.100% | 9/1/40 | 46,858 | 41,786 | ||
Apache Corp. | 5.250% | 2/1/42 | 16,724 | 14,550 | ||
Apache Corp. | 4.250% | 1/15/44 | 1,636 | 1,270 | ||
Apache Corp. | 5.350% | 7/1/49 | 47,762 | 39,840 | ||
2 | Blue Racer Midstream LLC / Blue Racer Finance Corp. | 7.625% | 12/15/25 | 15,055 | 15,011 | |
2 | Blue Racer Midstream LLC / Blue Racer Finance Corp. | 6.625% | 7/15/26 | 19,310 | 18,268 | |
2 | Buckeye Partners LP | 4.125% | 3/1/25 | 38,844 | 37,400 | |
Buckeye Partners LP | 3.950% | 12/1/26 | 20,553 | 19,135 | ||
Buckeye Partners LP | 4.125% | 12/1/27 | 17,370 | 15,817 | ||
2 | Buckeye Partners LP | 4.500% | 3/1/28 | 88,628 | 81,632 | |
Cheniere Energy Partners LP | 4.500% | 10/1/29 | 38,654 | 37,050 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 18,200 | 16,859 | ||
Continental Resources Inc. | 4.375% | 1/15/28 | 34,925 | 33,645 | ||
2 | Continental Resources Inc. | 5.750% | 1/15/31 | 48,530 | 47,750 | |
Continental Resources Inc. | 4.900% | 6/1/44 | 82,859 | 66,612 | ||
DCP Midstream Operating LP | 3.875% | 3/15/23 | 31,988 | 32,006 | ||
DCP Midstream Operating LP | 5.125% | 5/15/29 | 8,190 | 8,104 | ||
DCP Midstream Operating LP | 5.600% | 4/1/44 | 26,895 | 23,428 | ||
2 | DT Midstream Inc. | 4.125% | 6/15/29 | 86,319 | 79,518 | |
2 | DT Midstream Inc. | 4.375% | 6/15/31 | 122,985 | 111,125 | |
2 | Earthstone Energy Holdings LLC | 8.000% | 4/15/27 | 24,860 | 23,702 | |
2 | EnLink Midstream LLC | 5.625% | 1/15/28 | 27,875 | 27,108 | |
EnLink Midstream LLC | 5.375% | 6/1/29 | 28,150 | 26,718 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 5,000 | 5,005 | ||
EnLink Midstream Partners LP | 4.150% | 6/1/25 | 28,550 | 28,069 | ||
EnLink Midstream Partners LP | 4.850% | 7/15/26 | 23,854 | 23,598 | ||
EnLink Midstream Partners LP | 5.050% | 4/1/45 | 30,827 | 22,724 | ||
EnLink Midstream Partners LP | 5.450% | 6/1/47 | 25,380 | 19,712 | ||
EQM Midstream Partners LP | 4.000% | 8/1/24 | 8,934 | 8,674 | ||
2 | EQM Midstream Partners LP | 6.000% | 7/1/25 | 56,531 | 56,650 | |
EQM Midstream Partners LP | 4.125% | 12/1/26 | 4,000 | 3,697 | ||
2 | EQM Midstream Partners LP | 7.500% | 6/1/27 | 3,760 | 3,845 | |
2 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 61,070 | 61,038 | |
EQM Midstream Partners LP | 5.500% | 7/15/28 | 25,577 | 24,275 | ||
2 | EQM Midstream Partners LP | 4.500% | 1/15/29 | 34,140 | 30,556 | |
2 | EQM Midstream Partners LP | 7.500% | 6/1/30 | 3,860 | 3,976 | |
2 | EQM Midstream Partners LP | 4.750% | 1/15/31 | 87,012 | 78,810 | |
EQT Corp. | 6.125% | 2/1/25 | 4,855 | 5,058 | ||
2 | EQT Corp. | 3.625% | 5/15/31 | 9,613 | 8,798 | |
2 | Hess Midstream Operations LP | 4.250% | 2/15/30 | 730 | 648 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 12,500 | 11,967 | ||
Occidental Petroleum Corp. | 3.200% | 8/15/26 | 8,175 | 7,685 | ||
Occidental Petroleum Corp. | 3.000% | 2/15/27 | 9,320 | 8,630 | ||
Occidental Petroleum Corp. | 6.375% | 9/1/28 | 8,265 | 8,908 | ||
Occidental Petroleum Corp. | 6.625% | 9/1/30 | 7,190 | 7,977 | ||
Occidental Petroleum Corp. | 6.125% | 1/1/31 | 45,216 | 48,438 | ||
Occidental Petroleum Corp. | 6.450% | 9/15/36 | 11,560 | 12,852 | ||
Occidental Petroleum Corp. | 6.600% | 3/15/46 | 7,579 | 8,376 | ||
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 8,420 | 7,193 | ||
Ovintiv Inc. | 7.200% | 11/1/31 | 4,457 | 4,928 | ||
Ovintiv Inc. | 7.375% | 11/1/31 | 43,158 | 48,515 | ||
Ovintiv Inc. | 6.500% | 8/15/34 | 25,560 | 27,446 | ||
Ovintiv Inc. | 6.500% | 2/1/38 | 23,025 | 24,013 | ||
Range Resources Corp. | 5.000% | 3/15/23 | 21,500 | 21,578 | ||
Range Resources Corp. | 8.250% | 1/15/29 | 23,160 | 24,791 | ||
2 | Range Resources Corp. | 4.750% | 2/15/30 | 77,721 | 74,214 | |
2 | Rockies Express Pipeline LLC | 4.950% | 7/15/29 | 10,603 | 9,372 | |
2 | Rockies Express Pipeline LLC | 4.800% | 5/15/30 | 8,522 | 7,232 | |
2 | Rockies Express Pipeline LLC | 7.500% | 7/15/38 | 10,758 | 9,697 | |
SM Energy Co. | 6.750% | 9/15/26 | 21,030 | 21,020 | ||
SM Energy Co. | 6.625% | 1/15/27 | 2,095 | 2,095 | ||
SM Energy Co. | 6.500% | 7/15/28 | 2,100 | 2,074 | ||
Southwestern Energy Co. | 5.375% | 2/1/29 | 28,520 | 27,881 | ||
Southwestern Energy Co. | 5.375% | 3/15/30 | 68,570 | 67,534 | ||
Southwestern Energy Co. | 4.750% | 2/1/32 | 18,190 | 16,969 | ||
Sunoco LP / Sunoco Finance Corp. | 6.000% | 4/15/27 | 70,255 | 69,951 | ||
Sunoco LP / Sunoco Finance Corp. | 5.875% | 3/15/28 | 18,335 | 17,555 | ||
Sunoco LP / Sunoco Finance Corp. | 4.500% | 5/15/29 | 31,095 | 27,960 | ||
Sunoco LP / Sunoco Finance Corp. | 4.500% | 4/30/30 | 51,930 | 45,479 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.875% | 1/15/29 | 32,470 | 33,554 | ||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 4.875% | 2/1/31 | 48,850 | 46,192 | ||
2,7 | Transocean Guardian Ltd. | 5.875% | 1/15/24 | 31,738 | 30,308 | |
2,7 | Transocean Phoenix 2 Ltd. | 7.750% | 10/15/24 | 13,514 | 13,110 | |
2,7 | Transocean Pontus Ltd. | 6.125% | 8/1/25 | 25,334 | 23,696 | |
2,7 | Transocean Proteus Ltd. | 6.250% | 12/1/24 | 15,566 | 14,703 | |
2 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 49,475 | 45,816 | |
2 | Venture Global Calcasieu Pass LLC | 4.125% | 8/15/31 | 61,945 | 57,250 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Venture Global Calcasieu Pass LLC | 3.875% | 11/1/33 | 79,365 | 69,252 | |
2 | Vine Energy Holdings LLC | 6.750% | 4/15/29 | 465 | 482 | |
Western Midstream Operating LP | 3.350% | 2/1/25 | 15,585 | 15,295 | ||
Western Midstream Operating LP | 3.950% | 6/1/25 | 14,570 | 14,424 | ||
Western Midstream Operating LP | 4.650% | 7/1/26 | 39,380 | 39,046 | ||
Western Midstream Operating LP | 4.500% | 3/1/28 | 3,250 | 3,164 | ||
Western Midstream Operating LP | 4.750% | 8/15/28 | 7,215 | 7,063 | ||
Western Midstream Operating LP | 4.300% | 2/1/30 | 3,580 | 3,329 | ||
Western Midstream Operating LP | 5.450% | 4/1/44 | 21,255 | 19,014 | ||
Western Midstream Operating LP | 5.300% | 3/1/48 | 53,203 | 47,176 | ||
Western Midstream Operating LP | 5.500% | 2/1/50 | 63,863 | 57,194 | ||
2,477,390 | ||||||
Financials (7.1%) | ||||||
2 | Acrisure LLC / Acrisure Finance Inc. | 4.250% | 2/15/29 | 137,770 | 122,163 | |
2 | AerCap Global Aviation Trust | 6.500% | 6/15/45 | 125,050 | 117,715 | |
Aircastle Ltd. | 4.125% | 5/1/24 | 10,995 | 10,768 | ||
2 | AmWINS Group Inc. | 4.875% | 6/30/29 | 11,022 | 10,032 | |
2 | Avolon Holdings Funding Ltd. | 5.250% | 5/15/24 | 50,695 | 50,111 | |
2 | Burford Capital Global Finance LLC | 6.875% | 4/15/30 | 20,330 | 18,118 | |
2 | Compass Group Diversified Holdings LLC | 5.250% | 4/15/29 | 26,230 | 23,170 | |
Credit Acceptance Corp. | 6.625% | 3/15/26 | 3,000 | 3,028 | ||
Credit Suisse Group AG | 6.250% | 12/29/49 | 210,295 | 203,261 | ||
2 | Enact Holdings Inc. | 6.500% | 8/15/25 | 74,125 | 74,629 | |
2 | FirstCash Inc. | 4.625% | 9/1/28 | 20,000 | 18,191 | |
2 | FirstCash Inc. | 5.625% | 1/1/30 | 14,725 | 13,836 | |
2 | Fly Leasing Ltd. | 7.000% | 10/15/24 | 20,132 | 11,027 | |
2 | Freedom Mortgage Corp. | 8.250% | 4/15/25 | 34,650 | 31,013 | |
2 | goeasy Ltd. | 4.375% | 5/1/26 | 48,048 | 41,345 | |
2 | Home Point Capital Inc. | 5.000% | 2/1/26 | 6,717 | 4,635 | |
2 | HUB International Ltd. | 5.625% | 12/1/29 | 32,265 | 28,967 | |
2 | Intesa Sanpaolo SpA | 5.017% | 6/26/24 | 43,740 | 42,229 | |
2 | Intesa Sanpaolo SpA | 5.710% | 1/15/26 | 110,000 | 106,814 | |
2 | LD Holdings Group LLC | 6.500% | 11/1/25 | 13,685 | 8,960 | |
2 | LD Holdings Group LLC | 6.125% | 4/1/28 | 1,065 | 647 | |
MGIC Investment Corp. | 5.250% | 8/15/28 | 23,805 | 22,912 | ||
2 | Nationstar Mortgage Holdings Inc. | 5.125% | 12/15/30 | 123,360 | 102,990 | |
Navient Corp. | 5.500% | 1/25/23 | 43,440 | 43,667 | ||
Navient Corp. | 7.250% | 9/25/23 | 9,039 | 9,182 | ||
Navient Corp. | 6.125% | 3/25/24 | 10,000 | 10,002 | ||
Navient Corp. | 5.875% | 10/25/24 | 6,000 | 5,922 | ||
Navient Corp. | 6.750% | 6/15/26 | 1,460 | 1,390 | ||
Navient Corp. | 4.875% | 3/15/28 | 15,026 | 12,893 | ||
Navient Corp. | 5.500% | 3/15/29 | 80,585 | 69,165 | ||
Navient Corp. | 5.625% | 8/1/33 | 10,626 | 8,388 | ||
OneMain Finance Corp. | 8.250% | 10/1/23 | 12,466 | 12,706 | ||
OneMain Finance Corp. | 6.125% | 3/15/24 | 27,155 | 26,890 | ||
OneMain Finance Corp. | 7.125% | 3/15/26 | 109,246 | 106,438 | ||
OneMain Finance Corp. | 3.500% | 1/15/27 | 20,735 | 17,814 | ||
OneMain Finance Corp. | 3.875% | 9/15/28 | 58,650 | 48,598 | ||
OneMain Finance Corp. | 4.000% | 9/15/30 | 48,500 | 38,407 | ||
2 | Park Aerospace Holdings Ltd. | 5.500% | 2/15/24 | 15,145 | 14,967 | |
2 | PennyMac Financial Services Inc. | 5.375% | 10/15/25 | 62,863 | 58,946 | |
2 | PennyMac Financial Services Inc. | 4.250% | 2/15/29 | 64,300 | 52,336 | |
2 | PennyMac Financial Services Inc. | 5.750% | 9/15/31 | 19,390 | 16,063 | |
Radian Group Inc. | 4.500% | 10/1/24 | 73,175 | 72,241 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Radian Group Inc. | 6.625% | 3/15/25 | 10,000 | 10,191 | ||
Radian Group Inc. | 4.875% | 3/15/27 | 36,000 | 35,156 | ||
SLM Corp. | 3.125% | 11/2/26 | 16,925 | 14,852 | ||
2 | United Wholesale Mortgage LLC | 5.500% | 11/15/25 | 17,200 | 16,068 | |
2 | United Wholesale Mortgage LLC | 5.750% | 6/15/27 | 24,350 | 21,282 | |
2 | United Wholesale Mortgage LLC | 5.500% | 4/15/29 | 10,000 | 8,576 | |
1,798,701 | ||||||
Health Care (10.2%) | ||||||
2 | 180 Medical Inc. | 3.875% | 10/15/29 | 4,805 | 4,374 | |
2 | Acadia Healthcare Co. Inc. | 5.500% | 7/1/28 | 42,085 | 41,633 | |
2 | Acadia Healthcare Co. Inc. | 5.000% | 4/15/29 | 37,507 | 36,252 | |
2,3 | Avantor Funding Inc. | 2.625% | 11/1/25 | 70,860 | 70,945 | |
2 | Avantor Funding Inc. | 4.625% | 7/15/28 | 102,390 | 98,728 | |
2 | Avantor Funding Inc. | 3.875% | 11/1/29 | 6,830 | 6,299 | |
2 | Bausch Health Cos. Inc. | 5.500% | 11/1/25 | 51,675 | 46,342 | |
2 | Bausch Health Cos. Inc. | 6.125% | 2/1/27 | 17,075 | 14,561 | |
2 | Bausch Health Cos. Inc. | 5.750% | 8/15/27 | 12,790 | 10,645 | |
2 | Bausch Health Cos. Inc. | 5.000% | 1/30/28 | 13,125 | 7,002 | |
2 | Bausch Health Cos. Inc. | 4.875% | 6/1/28 | 33,380 | 26,663 | |
2 | Bausch Health Cos. Inc. | 5.250% | 1/30/30 | 25,205 | 13,056 | |
2,3 | CAB SELAS | 3.375% | 2/1/28 | 43,453 | 38,549 | |
3 | CAB SELAS | 3.375% | 2/1/28 | 34,950 | 31,006 | |
2 | Catalent Pharma Solutions Inc. | 5.000% | 7/15/27 | 21,270 | 21,302 | |
2,3 | Catalent Pharma Solutions Inc. | 2.375% | 3/1/28 | 45,735 | 40,693 | |
2 | Catalent Pharma Solutions Inc. | 3.125% | 2/15/29 | 12,215 | 10,827 | |
2 | Catalent Pharma Solutions Inc. | 3.500% | 4/1/30 | 38,905 | 34,800 | |
Centene Corp. | 4.250% | 12/15/27 | 80,915 | 79,583 | ||
Centene Corp. | 4.625% | 12/15/29 | 41,455 | 40,901 | ||
Centene Corp. | 3.000% | 10/15/30 | 18,435 | 16,462 | ||
2 | Charles River Laboratories International Inc. | 4.250% | 5/1/28 | 43,614 | 42,620 | |
2 | Charles River Laboratories International Inc. | 3.750% | 3/15/29 | 24,860 | 23,029 | |
2 | Charles River Laboratories International Inc. | 4.000% | 3/15/31 | 24,970 | 23,002 | |
2 | CHS/Community Health Systems Inc. | 5.625% | 3/15/27 | 68,575 | 60,945 | |
2 | CHS/Community Health Systems Inc. | 6.000% | 1/15/29 | 21,435 | 18,703 | |
2 | CHS/Community Health Systems Inc. | 5.250% | 5/15/30 | 44,365 | 37,268 | |
2 | CHS/Community Health Systems Inc. | 4.750% | 2/15/31 | 38,895 | 31,332 | |
2 | Grifols Escrow Issuer SA | 4.750% | 10/15/28 | 23,180 | 20,586 | |
2,3 | Grifols SA | 1.625% | 2/15/25 | 27,965 | 27,416 | |
2,3 | Grifols SA | 2.250% | 11/15/27 | 42,955 | 39,203 | |
HCA Inc. | 5.375% | 2/1/25 | 31,390 | 32,084 | ||
HCA Inc. | 7.690% | 6/15/25 | 4,510 | 4,852 | ||
HCA Inc. | 5.875% | 2/15/26 | 77,370 | 79,997 | ||
HCA Inc. | 5.625% | 9/1/28 | 12,585 | 13,041 | ||
HCA Inc. | 5.875% | 2/1/29 | 39,095 | 40,867 | ||
HCA Inc. | 3.500% | 9/1/30 | 178,580 | 162,766 | ||
2 | Hologic Inc. | 3.250% | 2/15/29 | 48,275 | 43,835 | |
2 | IQVIA Inc. | 5.000% | 10/15/26 | 46,310 | 46,393 | |
2 | IQVIA Inc. | 5.000% | 5/15/27 | 99,992 | 100,138 | |
2,3 | IQVIA Inc. | 2.250% | 1/15/28 | 41,670 | 38,461 | |
2,3 | IQVIA Inc. | 2.875% | 6/15/28 | 61,595 | 57,759 | |
2 | Jazz Securities DAC | 4.375% | 1/15/29 | 65,260 | 62,823 | |
2 | Mozart Debt Merger Sub Inc. | 3.875% | 4/1/29 | 215,210 | 194,302 | |
2 | Mozart Debt Merger Sub Inc. | 5.250% | 10/1/29 | 135,546 | 122,465 | |
2 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 4.125% | 4/30/28 | 109,270 | 103,681 | |
2 | Organon & Co. / Organon Foreign Debt Co.-Issuer BV | 5.125% | 4/30/31 | 46,345 | 43,419 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Owens & Minor Inc. | 6.625% | 4/1/30 | 28,683 | 28,707 | |
2 | Prestige Brands Inc. | 3.750% | 4/1/31 | 8,723 | 7,498 | |
2 | Teleflex Inc. | 4.250% | 6/1/28 | 34,312 | 32,563 | |
Tenet Healthcare Corp. | 4.625% | 7/15/24 | 3,978 | 3,973 | ||
2 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 27,250 | 27,041 | |
2 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 8,930 | 8,797 | |
2 | Tenet Healthcare Corp. | 5.125% | 11/1/27 | 1,865 | 1,838 | |
2 | Tenet Healthcare Corp. | 4.625% | 6/15/28 | 14,205 | 13,455 | |
2 | Tenet Healthcare Corp. | 6.125% | 10/1/28 | 27,450 | 26,748 | |
2 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 10,405 | 9,681 | |
2 | Tenet Healthcare Corp. | 4.375% | 1/15/30 | 23,970 | 22,336 | |
2 | Tenet Healthcare Corp. | 6.125% | 6/15/30 | 63,975 | 64,674 | |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 7,370 | 7,322 | ||
Teva Pharmaceutical Finance Netherlands III BV | 3.150% | 10/1/26 | 94,130 | 84,340 | ||
Teva Pharmaceutical Finance Netherlands III BV | 4.750% | 5/9/27 | 14,300 | 13,534 | ||
Teva Pharmaceutical Finance Netherlands III BV | 6.750% | 3/1/28 | 70,935 | 71,502 | ||
2,585,619 | ||||||
Industrials (6.3%) | ||||||
2 | APX Group Inc. | 5.750% | 7/15/29 | 22,065 | 18,542 | |
2 | Aramark Services Inc. | 5.000% | 4/1/25 | 54,020 | 53,901 | |
2 | Aramark Services Inc. | 5.000% | 2/1/28 | 45,642 | 44,565 | |
2 | BWX Technologies Inc. | 4.125% | 6/30/28 | 29,906 | 28,377 | |
2 | BWX Technologies Inc. | 4.125% | 4/15/29 | 53,005 | 49,803 | |
2 | Clean Harbors Inc. | 4.875% | 7/15/27 | 47,390 | 47,081 | |
2 | Clean Harbors Inc. | 5.125% | 7/15/29 | 25,851 | 25,146 | |
2 | Covanta Holding Corp. | 4.875% | 12/1/29 | 27,075 | 24,171 | |
2 | First Student Bidco Inc. / First Transit Parent Inc. | 4.000% | 7/31/29 | 104,477 | 92,183 | |
2 | Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | 5.750% | 1/20/26 | 76,960 | 74,946 | |
2 | Herc Holdings Inc. | 5.500% | 7/15/27 | 197,742 | 197,869 | |
Howmet Aerospace Inc. | 3.000% | 1/15/29 | 1,510 | 1,352 | ||
2,3 | Loxam SAS | 4.250% | 4/15/24 | 5,520 | 5,557 | |
3 | Loxam SAS | 2.875% | 4/15/26 | 19,380 | 17,768 | |
3 | Loxam SAS | 3.750% | 7/15/26 | 28,395 | 26,518 | |
2 | Moog Inc. | 4.250% | 12/15/27 | 10,110 | 9,435 | |
2 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 6,225 | 5,704 | |
2,3 | Q-Park Holding I BV | 1.500% | 3/1/25 | 27,330 | 25,089 | |
2,3 | Q-Park Holding I BV | 2.000% | 3/1/27 | 34,995 | 29,246 | |
2 | Sensata Technologies BV | 4.875% | 10/15/23 | 10,000 | 10,048 | |
2 | Sensata Technologies BV | 5.625% | 11/1/24 | 19,290 | 19,522 | |
2 | Sensata Technologies BV | 5.000% | 10/1/25 | 52,750 | �� 52,919 | |
2 | Sensata Technologies Inc. | 4.375% | 2/15/30 | 12,765 | 11,894 | |
2 | Sensata Technologies Inc. | 3.750% | 2/15/31 | 61,723 | 53,619 | |
2 | Spirit AeroSystems Inc. | 5.500% | 1/15/25 | 24,250 | 24,144 | |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 3,185 | 2,859 | ||
2 | Stericycle Inc. | 3.875% | 1/15/29 | 8,425 | 7,699 | |
2,3 | TK Elevator Midco GmbH | 4.375% | 7/15/27 | 20,249 | 18,939 | |
2 | TK Elevator US Newco Inc. | 5.250% | 7/15/27 | 57,081 | 54,754 | |
2 | TransDigm Inc. | 6.250% | 3/15/26 | 80,850 | 81,184 | |
TransDigm Inc. | 5.500% | 11/15/27 | 23,820 | 22,474 | ||
TransDigm Inc. | 4.625% | 1/15/29 | 97,941 | 88,108 | ||
TransDigm Inc. | 4.875% | 5/1/29 | 16,188 | 14,490 | ||
2 | United Airlines Inc. | 4.375% | 4/15/26 | 11,920 | 11,476 | |
2 | United Airlines Inc. | 4.625% | 4/15/29 | 29,570 | 27,255 | |
United Rentals North America Inc. | 5.500% | 5/15/27 | 38,166 | 38,799 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United Rentals North America Inc. | 4.875% | 1/15/28 | 71,121 | 71,034 | ||
United Rentals North America Inc. | 5.250% | 1/15/30 | 24,410 | 24,689 | ||
United Rentals North America Inc. | 4.000% | 7/15/30 | 57,240 | 53,031 | ||
United Rentals North America Inc. | 3.875% | 2/15/31 | 48,454 | 44,182 | ||
United Rentals North America Inc. | 3.750% | 1/15/32 | 56,825 | 50,051 | ||
2,3 | Verisure Holding AB | 3.250% | 2/15/27 | 33,594 | 30,116 | |
2,3 | Verisure Midholding AB | 5.250% | 2/15/29 | 7,557 | 6,456 | |
2 | WESCO Distribution Inc. | 7.125% | 6/15/25 | 10,000 | 10,344 | |
2 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 11,010 | 10,331 | |
1,617,670 | ||||||
Materials (7.7%) | ||||||
2 | Advanced Drainage Systems Inc. | 6.375% | 6/15/30 | 8,885 | 9,024 | |
2 | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | 3.250% | 9/1/28 | 42,625 | 39,610 | |
2 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.125% | 8/15/26 | 61,925 | 55,905 | |
2,5 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 4.750% | 7/15/27 | 5,520 | 5,007 | |
2 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 8/15/27 | 44,378 | 34,574 | |
2 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 8/15/27 | 70,697 | 53,807 | |
8 | Avient Corp. | 7.125% | 8/1/30 | 24,380 | 25,172 | |
2 | Axalta Coating Systems LLC | 3.375% | 2/15/29 | 55,709 | 48,761 | |
3 | Ball Corp. | 1.500% | 3/15/27 | 68,205 | 62,817 | |
Ball Corp. | 3.125% | 9/15/31 | 975 | 854 | ||
2 | Berry Global Inc. | 4.500% | 2/15/26 | 36,204 | 35,106 | |
2 | Berry Global Inc. | 4.875% | 7/15/26 | 43,380 | 42,562 | |
2 | Berry Global Inc. | 5.625% | 7/15/27 | 7,055 | 7,126 | |
Cemex SAB de CV | 7.375% | 6/5/27 | 17,810 | 18,077 | ||
2 | Cemex SAB de CV | 5.450% | 11/19/29 | 2,000 | 1,833 | |
Cemex SAB de CV | 5.450% | 11/19/29 | 18,910 | 17,464 | ||
2 | Cemex SAB de CV | 3.875% | 7/11/31 | 45,620 | 36,762 | |
Chemours Co. | 5.375% | 5/15/27 | 31,740 | 30,463 | ||
2 | Chemours Co. | 4.625% | 11/15/29 | 26,670 | 23,401 | |
2 | Clydesdale Acquisition Holdings Inc. | 6.625% | 4/15/29 | 35,100 | 35,395 | |
Commercial Metals Co. | 4.875% | 5/15/23 | 6,540 | 6,570 | ||
Commercial Metals Co. | 4.125% | 1/15/30 | 14,115 | 12,211 | ||
Commercial Metals Co. | 3.875% | 2/15/31 | 4,660 | 3,928 | ||
Commercial Metals Co. | 4.375% | 3/15/32 | 30,770 | 26,318 | ||
2 | Constellium SE | 5.875% | 2/15/26 | 19,025 | 18,488 | |
2 | Constellium SE | 5.625% | 6/15/28 | 25,079 | 22,593 | |
2 | Constellium SE | 3.750% | 4/15/29 | 36,650 | 31,253 | |
2 | Crown Americas LLC | 5.250% | 4/1/30 | 81,090 | 81,017 | |
Crown Americas LLC / Crown Americas Capital Corp. V | 4.250% | 9/30/26 | 16,434 | 16,048 | ||
Crown Americas LLC / Crown Americas Capital Corp. VI | 4.750% | 2/1/26 | 20,130 | 19,975 | ||
2,3 | Crown European Holdings SA | 2.875% | 2/1/26 | 31,200 | 30,417 | |
2 | Diamond BC BV | 4.625% | 10/1/29 | 13,745 | 11,588 | |
2 | FMG Resources August 2006 Pty Ltd. | 5.875% | 4/15/30 | 34,525 | 32,807 | |
2 | FMG Resources August 2006 Pty Ltd. | 4.375% | 4/1/31 | 71,178 | 61,904 | |
2 | FMG Resources August 2006 Pty Ltd. | 6.125% | 4/15/32 | 34,277 | 32,589 | |
Graphic Packaging International LLC | 4.125% | 8/15/24 | 23,440 | 23,262 | ||
2 | Graphic Packaging International LLC | 4.750% | 7/15/27 | 7,870 | 7,702 | |
2 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 74,555 | 68,980 | |
2 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 17,280 | 15,658 | |
2 | Graphic Packaging International LLC | 3.750% | 2/1/30 | 18,085 | 16,345 | |
2 | NOVA Chemicals Corp. | 5.250% | 6/1/27 | 55,894 | 53,576 | |
2 | Novelis Corp. | 3.250% | 11/15/26 | 24,245 | 22,578 | |
2 | Novelis Corp. | 4.750% | 1/30/30 | 51,958 | 48,052 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Novelis Corp. | 3.875% | 8/15/31 | 37,020 | 32,049 | |
2 | OCI NV | 4.625% | 10/15/25 | 22,514 | 21,854 | |
Olin Corp. | 5.125% | 9/15/27 | 44,876 | 43,182 | ||
Olin Corp. | 5.625% | 8/1/29 | 16,390 | 15,735 | ||
2 | Owens-Brockway Glass Container Inc. | 5.875% | 8/15/23 | 48,968 | 48,981 | |
2 | Owens-Brockway Glass Container Inc. | 5.375% | 1/15/25 | 29,319 | 27,545 | |
2 | Owens-Brockway Glass Container Inc. | 6.375% | 8/15/25 | 42,000 | 40,206 | |
2 | Owens-Brockway Glass Container Inc. | 6.625% | 5/13/27 | 42,690 | 41,056 | |
2 | Sealed Air Corp. | 4.000% | 12/1/27 | 8,853 | 8,419 | |
Silgan Holdings Inc. | 4.125% | 2/1/28 | 14,225 | 13,554 | ||
3 | Silgan Holdings Inc. | 2.250% | 6/1/28 | 43,070 | 37,612 | |
2 | Standard Industries Inc. | 5.000% | 2/15/27 | 23,785 | 22,930 | |
2 | Standard Industries Inc. | 4.750% | 1/15/28 | 31,779 | 30,181 | |
2 | Standard Industries Inc. | 4.375% | 7/15/30 | 87,750 | 76,450 | |
2 | Standard Industries Inc. | 3.375% | 1/15/31 | 109,950 | 89,654 | |
2,3 | Trivium Packaging Finance BV | 3.750% | 8/15/26 | 16,095 | 15,252 | |
2 | Trivium Packaging Finance BV | 5.500% | 8/15/26 | 59,455 | 58,682 | |
2 | Trivium Packaging Finance BV | 8.500% | 8/15/27 | 1,178 | 1,144 | |
2 | Tronox Inc. | 4.625% | 3/15/29 | 93,970 | 81,494 | |
1,953,559 | ||||||
Real Estate (1.5%) | ||||||
2 | Iron Mountain Inc. | 4.875% | 9/15/27 | 29,895 | 28,559 | |
2 | Iron Mountain Inc. | 5.250% | 3/15/28 | 1,460 | 1,402 | |
2 | Iron Mountain Inc. | 4.875% | 9/15/29 | 85,781 | 78,930 | |
2 | Iron Mountain Inc. | 5.250% | 7/15/30 | 8,045 | 7,498 | |
2 | Iron Mountain Inc. | 4.500% | 2/15/31 | 3,805 | 3,340 | |
2 | Iron Mountain Inc. | 5.625% | 7/15/32 | 12,625 | 11,985 | |
2 | Iron Mountain Information Management Services Inc. | 5.000% | 7/15/32 | 704 | 635 | |
2 | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | 4.875% | 5/15/29 | 9,655 | 8,893 | |
Service Properties Trust | 4.500% | 3/15/25 | 1,582 | 1,338 | ||
Service Properties Trust | 7.500% | 9/15/25 | 4,808 | 4,659 | ||
Service Properties Trust | 5.250% | 2/15/26 | 6,650 | 5,527 | ||
Service Properties Trust | 4.750% | 10/1/26 | 33,592 | 26,285 | ||
Service Properties Trust | 4.950% | 2/15/27 | 9,445 | 7,790 | ||
Service Properties Trust | 5.500% | 12/15/27 | 38,399 | 33,520 | ||
Service Properties Trust | 3.950% | 1/15/28 | 18,540 | 13,740 | ||
Service Properties Trust | 4.950% | 10/1/29 | 2,884 | 2,154 | ||
Service Properties Trust | 4.375% | 2/15/30 | 17,714 | 12,911 | ||
2 | VICI Properties LP / VICI Note Co. Inc. | 5.625% | 5/1/24 | 5,000 | 5,003 | |
2 | VICI Properties LP / VICI Note Co. Inc. | 4.250% | 12/1/26 | 87,348 | 82,485 | |
2 | VICI Properties LP / VICI Note Co. Inc. | 3.750% | 2/15/27 | 15,724 | 14,402 | |
2 | VICI Properties LP / VICI Note Co. Inc. | 4.625% | 12/1/29 | 23,225 | 22,149 | |
373,205 | ||||||
Technology (10.5%) | ||||||
2 | Black Knight InfoServ LLC | 3.625% | 9/1/28 | 69,188 | 64,059 | |
Block Inc. | 2.750% | 6/1/26 | 67,887 | 63,376 | ||
Block Inc. | 3.500% | 6/1/31 | 7,625 | 6,616 | ||
2 | Booz Allen Hamilton Inc. | 3.875% | 9/1/28 | 14,995 | 14,224 | |
2 | Booz Allen Hamilton Inc. | 4.000% | 7/1/29 | 15,535 | 14,831 | |
CDW LLC / CDW Finance Corp. | 4.125% | 5/1/25 | 61,233 | 60,229 | ||
CDW LLC / CDW Finance Corp. | 4.250% | 4/1/28 | 77,724 | 71,731 | ||
CDW LLC / CDW Finance Corp. | 3.250% | 2/15/29 | 71,684 | 62,248 | ||
2 | Change Healthcare Holdings LLC / Change Healthcare Finance Inc. | 5.750% | 3/1/25 | 98,454 | 97,986 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Condor Merger Sub Inc. | 7.375% | 2/15/30 | 32,265 | 28,547 | |
2 | Entegris Escrow Corp. | 4.750% | 4/15/29 | 34,590 | 33,360 | |
2 | Entegris Inc. | 4.375% | 4/15/28 | 67,165 | 63,289 | |
2 | Entegris Inc. | 3.625% | 5/1/29 | 20,155 | 18,006 | |
2 | Fair Isaac Corp. | 4.000% | 6/15/28 | 52,292 | 48,942 | |
2 | Gartner Inc. | 3.625% | 6/15/29 | 12,435 | 11,360 | |
2 | Gartner Inc. | 3.750% | 10/1/30 | 38,129 | 35,159 | |
2 | II-VI Inc. | 5.000% | 12/15/29 | 61,155 | 58,726 | |
2 | Imola Merger Corp. | 4.750% | 5/15/29 | 255,630 | 239,037 | |
2 | Minerva Merger Sub Inc. | 6.500% | 2/15/30 | 79,108 | 71,606 | |
2 | MSCI Inc. | 4.000% | 11/15/29 | 55,270 | 52,123 | |
2 | MSCI Inc. | 3.625% | 9/1/30 | 10,965 | 10,002 | |
2 | MSCI Inc. | 3.625% | 11/1/31 | 1,365 | 1,221 | |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 5,230 | 5,124 | |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 4.500% | 7/15/29 | 87,345 | 82,590 | |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 5.875% | 10/1/30 | 4,000 | 3,923 | |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 4.750% | 7/15/31 | 52,325 | 49,745 | |
Nokia of America Corp. | 6.500% | 1/15/28 | 56,315 | 56,131 | ||
Nokia of America Corp. | 6.450% | 3/15/29 | 88,747 | 83,847 | ||
Nokia OYJ | 4.375% | 6/12/27 | 59,355 | 59,993 | ||
Nokia OYJ | 6.625% | 5/15/39 | 129,409 | 135,366 | ||
2 | NortonLifeLock Inc. | 5.000% | 4/15/25 | 132,140 | 131,642 | |
2 | Open Text Corp. | 3.875% | 2/15/28 | 99,067 | 91,769 | |
2 | Open Text Corp. | 3.875% | 12/1/29 | 31,005 | 27,938 | |
2 | Open Text Holdings Inc. | 4.125% | 2/15/30 | 95,210 | 88,040 | |
2 | Open Text Holdings Inc. | 4.125% | 12/1/31 | 34,880 | 31,114 | |
2 | Presidio Holdings Inc. | 4.875% | 2/1/27 | 97,432 | 93,529 | |
2 | Presidio Holdings Inc. | 8.250% | 2/1/28 | 38,445 | 36,135 | |
2 | PTC Inc. | 3.625% | 2/15/25 | 18,000 | 17,529 | |
2 | PTC Inc. | 4.000% | 2/15/28 | 20,370 | 19,351 | |
Qorvo Inc. | 4.375% | 10/15/29 | 48,875 | 45,484 | ||
2 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 147,721 | 145,466 | |
Western Digital Corp. | 4.750% | 2/15/26 | 63,443 | 62,611 | ||
Xerox Corp. | 4.625% | 3/15/23 | 70,356 | 70,271 | ||
Xerox Corp. | 4.800% | 3/1/35 | 27,144 | 20,715 | ||
Xerox Corp. | 6.750% | 12/15/39 | 39,241 | 34,518 | ||
2 | Xerox Holdings Corp. | 5.000% | 8/15/25 | 5,145 | 4,970 | |
2 | Xerox Holdings Corp. | 5.500% | 8/15/28 | 158,030 | 144,349 | |
2,668,828 | ||||||
Utilities (1.9%) | ||||||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.625% | 5/20/24 | 46,910 | 47,534 | ||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.500% | 5/20/25 | 37,500 | 37,728 | ||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.875% | 8/20/26 | 46,910 | 47,506 | ||
AmeriGas Partners LP / AmeriGas Finance Corp. | 5.750% | 5/20/27 | 41,391 | 41,685 | ||
2 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 18,731 | 18,180 | |
2 | Clearway Energy Operating LLC | 3.750% | 2/15/31 | 81,950 | 71,866 | |
2 | Clearway Energy Operating LLC | 3.750% | 1/15/32 | 16,020 | 13,656 | |
FirstEnergy Corp. | 4.400% | 7/15/27 | 20,110 | 19,708 | ||
2 | NextEra Energy Operating Partners LP | 4.250% | 7/15/24 | 33,229 | 32,905 | |
2 | NextEra Energy Operating Partners LP | 4.250% | 9/15/24 | 3,532 | 3,471 | |
2 | NextEra Energy Operating Partners LP | 3.875% | 10/15/26 | 104,720 | 103,525 | |
2 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 24,185 | 23,904 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Suburban Propane Partners LP / Suburban Energy Finance Corp. | 5.000% | 6/1/31 | 20,945 | 19,149 | |
480,817 | ||||||
Total Corporate Bonds (Cost $24,497,392) | 22,709,164 | |||||
Floating Rate Loan Interests (4.0%) | ||||||
6 | APX Group Inc. Term Loan B, 1M USD LIBOR + 3.500% | 5.656% | 10/7/28 | 26,816 | 25,165 | |
6 | Asurion LLC 2nd Lien Term Loan B-4, 1M USD LIBOR + 5.250% | 7.622% | 1/20/29 | 10,225 | 8,722 | |
6 | Asurion LLC Term Loan B-7, 1M USD LIBOR + 3.000% | 5.372% | 3/11/24 | 84,726 | 81,602 | |
6 | Asurion LLC Term Loan B-8, 1M USD LIBOR + 3.250% | 5.622% | 12/23/26 | 45,096 | 42,277 | |
6 | Asurion LLC Term Loan B-9, 1M USD LIBOR + 3.250% | 5.622% | 7/31/27 | 71,539 | 66,996 | |
6 | Athenahealth Inc. Term Loan B, TSFR1M + 3.500% | 5.653% | 2/15/29 | 34,229 | 32,551 | |
6 | Brown Group Holding LLC Term Loan B, 1M USD LIBOR + 2.500% | 4.872% | 7/6/28 | 51,102 | 49,161 | |
6 | Chamberlain Group Inc. Term Loan B, 1M USD LIBOR + 3.500% | 5.872% | 3/11/28 | 55,640 | 51,641 | |
6 | Clarios Global LP Term Loan B, 1M USD LIBOR + 3.250% | 5.622% | 4/30/26 | 21,870 | 20,995 | |
6 | Dun & Bradstreet Corp. Term Loan, 3M USD LIBOR + 3.250% | 5.550% | 6/2/26 | 108,123 | 105,041 | |
6 | Great Outdoors Group LLC Term Loan B-1, 1M USD LIBOR + 3.750% | 6.122% | 6/3/28 | 32,810 | 29,940 | |
6 | HUB International Ltd. Term Loan B, 3M USD LIBOR + 3.250% | 5.982% | 4/25/25 | 35,391 | 34,567 | |
6 | IRB Holding Corp. Term Loan B, TSFR1M + 3.150% | 4.874% | 12/15/27 | 121,834 | 116,351 | |
6 | McAfee Corp. Term Loan B, TSFR1M + 4.000% | 6.407% | 3/1/29 | 55,890 | 53,212 | |
6 | Medline Borrower LP Term Loan B, 1M USD LIBOR + 3.250% | 5.622% | 10/23/28 | 99,059 | 94,463 | |
6 | NorthRiver Midstream Finance LP Term Loan B, 3M USD LIBOR + 3.250% | 5.527% | 1/10/25 | 22,811 | 22,505 | |
6 | Owens & Minor Inc. Term Loan B, TSFR1M + 3.750% | 6.177% | 3/29/29 | 12,708 | 12,629 | |
6 | Peraton Corp. Term Loan B, 1M USD LIBOR + 3.750% | 6.122% | 1/2/28 | 33,995 | 32,947 | |
6 | SRAM LLC Term Loan B, 1M USD LIBOR + 2.750% | 3.250% | 5/18/28 | 24,733 | 23,744 | |
6 | SRAM LLC Term Loan B, 3M USD LIBOR + 2.750% | 3.250% | 5/18/28 | 3,035 | 2,913 | |
6 | SS&C European Holdings Sarl Term Loan B-4, 1M USD LIBOR + 1.750% | 4.122% | 4/16/25 | 10,408 | 10,144 | |
6 | SS&C Technologies Inc. Term Loan B-3, 1M USD LIBOR + 1.750% | 4.122% | 4/16/25 | 12,821 | 12,496 | |
6 | SS&C Technologies Inc. Term Loan B-5, 1M USD LIBOR + 1.750% | 4.122% | 4/16/25 | 18,074 | 17,658 | |
6 | Trans Union LLC Term Loan B-6, 1M USD LIBOR + 2.250% | 4.622% | 1/12/28 | 57,914 | 56,426 | |
Total Floating Rate Loan Interests (Cost $1,047,457) | 1,004,146 | |||||
Temporary Cash Investments (1.1%) | ||||||
Repurchase Agreements (1.1%) | ||||||
Bank of America Securities, LLC (Dated 7/29/22, Repurchase Value $10,702,000, collateralized by Ginnie Mae 2.500%, 2/20/52, with a value of $10,914,000) | 2.300% | 8/1/22 | 10,700 | 10,700 | ||
Credit Agricole Securities (Dated 7/29/22, Repurchase Value $75,514,000, collateralized by U.S. Treasury Note/Bond 3.000%–4.250%, 11/15/40–2/15/49, with a value of $77,010,000) | 2.220% | 8/1/22 | 75,500 | 75,500 | ||
JP Morgan Securities LLC (Dated 7/29/22, Repurchase Value $15,903,000, collateralized by U.S. Treasury Note/Bond 0.125%–1.375%, 8/31/22–6/30/23, with a value of $16,218,000) | 2.250% | 8/1/22 | 15,900 | 15,900 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
RBC Capital Markets LLC (Dated 7/29/22, Repurchase Value $100,519,000, collateralized by Fannie Mae 4.500%, 6/1/52, and U.S. Treasury Note/Bond 0.750%–2.500%, 1/31/24–5/31/26, with a value of $102,510,000) | 2.280% | 8/1/22 | 100,500 | 100,500 | ||
TD Securities (USA) LLC (Dated 7/29/22, Repurchase Value $85,116,000, collateralized by Ginnie Mae 2.500%–3.500%, 3/20/48–1/20/52, with a value of $86,802,000) | 2.250% | 8/1/22 | 85,100 | 85,100 | ||
287,700 | ||||||
Total Temporary Cash Investments (Cost $287,700) | 287,700 | |||||
Total Investments (97.3%) (Cost $26,583,030) | 24,743,893 | |||||
Other Assets and Liabilities—Net (2.7%) | 678,876 | |||||
Net Assets (100%) | 25,422,769 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $28,874,000 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, 2022, the aggregate value was $14,991,742,000, representing 59.0% of net assets. |
3 | Face amount denominated in euro. |
4 | Face amount denominated in Canadian dollars. |
5 | Face amount denominated in British pounds. |
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 | 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. |
8 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2022. |
1M—1-month. | |
3M—3-month. | |
LIBOR—London Interbank Offered Rate. | |
TSFR1M—CME Term SOFR 1 Month. | |
USD—U.S. dollar. |
Other Financial Instruments as of Period End | ||||
Floating Rate Loan Commitments | ||||
Total Unfunded Commitment ($000) | Fair Value Commitment ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | |
Athenahealth Inc. | 5,801 | 5,540 | — | (261) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
JPMorgan Chase Bank, N.A. | 8/31/22 | EUR | 30,030 | USD | 30,717 | 41 | — |
JPMorgan Chase Bank, N.A. | 8/31/22 | USD | 75,676 | CAD | 97,435 | — | (410) |
Deutsche Bank AG | 8/31/22 | USD | 839,885 | EUR | 821,485 | — | (1,507) |
Toronto-Dominion Bank | 8/31/22 | USD | 52,507 | GBP | 43,575 | — | (595) |
41 | (2,512) |
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-S38-V2 | 6/21/27 | USD | 322,265 | 5.000 | 5,651 | 12,995 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Unaffiliated Issuers (Cost $26,583,030) | 24,743,893 |
Investment in Vanguard | 924 |
Cash | 10,815 |
Foreign Currency, at Value (Cost $67) | 30 |
Receivables for Investment Securities Sold | 417,097 |
Receivables for Accrued Income | 327,767 |
Receivables for Capital Shares Issued | 19,440 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 778 |
Unrealized Appreciation—Forward Currency Contracts | 41 |
Total Assets | 25,520,785 |
Liabilities | |
Payables for Investment Securities Purchased | 25,918 |
Payables to Investment Advisor | 1,846 |
Payables for Capital Shares Redeemed | 43,581 |
Payables for Distributions | 22,675 |
Payables to Vanguard | 1,223 |
Unrealized Depreciation—Floating Rate Loan Commitments | 261 |
Unrealized Depreciation—Forward Currency Contracts | 2,512 |
Total Liabilities | 98,016 |
Net Assets | 25,422,769 |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 27,959,862 |
Total Distributable Earnings (Loss) | (2,537,093) |
Net Assets | 25,422,769 |
Investor Shares—Net Assets | |
Applicable to 584,833,038 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,150,207 |
Net Asset Value Per Share—Investor Shares | $5.39 |
Admiral Shares—Net Assets | |
Applicable to 4,134,886,034 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 22,272,562 |
Net Asset Value Per Share—Admiral Shares | $5.39 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest | 631,677 |
Total Income | 631,677 |
Expenses | |
Investment Advisory Fees—Note B | 3,850 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 3,043 |
Management and Administrative—Admiral Shares | 10,689 |
Marketing and Distribution—Investor Shares | 143 |
Marketing and Distribution—Admiral Shares | 561 |
Custodian Fees | 92 |
Shareholders’ Reports—Investor Shares | 45 |
Shareholders’ Reports—Admiral Shares | 122 |
Trustees’ Fees and Expenses | 7 |
Other Expenses | 5 |
Total Expenses | 18,557 |
Expenses Paid Indirectly | (4) |
Net Expenses | 18,553 |
Net Investment Income | 613,124 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (190,446) |
Swap Contracts | (19,428) |
Forward Currency Contracts | 116,598 |
Foreign Currencies | (1,718) |
Realized Net Gain (Loss) | (94,994) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (1,793,222) |
Floating Rate Loan Commitments | (261) |
Swap Contracts | 15,576 |
Forward Currency Contracts | (11,879) |
Foreign Currencies | (341) |
Change in Unrealized Appreciation (Depreciation) | (1,790,127) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,271,997) |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 613,124 | 1,198,182 | |
Realized Net Gain (Loss) | (94,994) | 376,215 | |
Change in Unrealized Appreciation (Depreciation) | (1,790,127) | (1,294,169) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,271,997) | 280,228 | |
Distributions | |||
Investor Shares | (76,669) | (156,416) | |
Admiral Shares | (553,813) | (1,064,431) | |
Total Distributions | (630,482) | (1,220,847) | |
Capital Share Transactions | |||
Investor Shares | (226,265) | (147,124) | |
Admiral Shares | (1,071,222) | 1,036,017 | |
Net Increase (Decrease) from Capital Share Transactions | (1,297,487) | 888,893 | |
Total Increase (Decrease) | (3,199,966) | (51,726) | |
Net Assets | |||
Beginning of Period | 28,622,735 | 28,674,461 | |
End of Period | 25,422,769 | 28,622,735 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $5.77 | $5.96 | $5.94 | $5.67 | $5.91 | $5.86 |
Investment Operations | ||||||
Net Investment Income1 | .124 | .238 | .259 | .302 | .317 | .309 |
Net Realized and Unrealized Gain (Loss) on Investments | (.376) | (.185) | .034 | .278 | (.230) | .048 |
Total from Investment Operations | (.252) | .053 | .293 | .580 | .087 | .357 |
Distributions | ||||||
Dividends from Net Investment Income | (.128) | (.243) | (.273) | (.310) | (.327) | (.307) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.128) | (.243) | (.273) | (.310) | (.327) | (.307) |
Net Asset Value, End of Period | $5.39 | $5.77 | $5.96 | $5.94 | $5.67 | $5.91 |
Total Return2 | -4.37% | 0.84% | 5.22% | 10.45% | 1.61% | 6.19% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,150 | $3,612 | $3,877 | $4,102 | $3,557 | $4,146 |
Ratio of Total Expenses to Average Net Assets | 0.23%3 | 0.23% | 0.23% | 0.23% | 0.23% | 0.23% |
Ratio of Net Investment Income to Average Net Assets | 4.60% | 4.00% | 4.51% | 5.16% | 5.55% | 5.20% |
Portfolio Turnover Rate | 14% | 31% | 38% | 28% | 21% | 27% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.23%. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $5.77 | $5.96 | $5.94 | $5.67 | $5.91 | $5.86 |
Investment Operations | ||||||
Net Investment Income1 | .127 | .244 | .265 | .308 | .323 | .314 |
Net Realized and Unrealized Gain (Loss) on Investments | (.376) | (.185) | .033 | .278 | (.230) | .049 |
Total from Investment Operations | (.249) | .059 | .298 | .586 | .093 | .363 |
Distributions | ||||||
Dividends from Net Investment Income | (.131) | (.249) | (.278) | (.316) | (.333) | (.313) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.131) | (.249) | (.278) | (.316) | (.333) | (.313) |
Net Asset Value, End of Period | $5.39 | $5.77 | $5.96 | $5.94 | $5.67 | $5.91 |
Total Return2 | -4.32% | 0.94% | 5.32% | 10.55% | 1.71% | 6.29% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $22,273 | $25,011 | $24,798 | $22,701 | $19,285 | $20,721 |
Ratio of Total Expenses to Average Net Assets | 0.13%3 | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to Average Net Assets | 4.70% | 4.10% | 4.60% | 5.26% | 5.65% | 5.30% |
Portfolio Turnover Rate | 14% | 31% | 38% | 28% | 21% | 27% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.13%. |
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, 2022, 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $4,000 (an annual rate of less than 0.01% of average net assets). |
E. | Various inputs may be used to determine the value of the fund’s investments, other financial instruments, 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 | — | 742,883 | — | 742,883 |
Corporate Bonds | — | 22,709,164 | — | 22,709,164 |
Floating Rate Loan Interests | — | 1,004,146 | — | 1,004,146 |
Temporary Cash Investments | — | 287,700 | — | 287,700 |
Total | — | 24,743,893 | — | 24,743,893 |
Other Financial Instruments | ||||
Liabilities | ||||
Floating Rate Loan Commitments | — | 261 | — | 261 |
Derivative Financial Instruments | ||||
Assets | ||||
Forward Currency Contracts | — | 41 | — | 41 |
Swap Contracts | 12,9951 | — | — | 12,995 |
Total | 12,995 | 41 | — | 13,036 |
Liabilities | ||||
Forward Currency Contracts | — | 2,512 | — | 2,512 |
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. |
F. | At July 31, 2022, 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) |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | 12,995 | 12,995 |
Unrealized Appreciation—Forward Currency Contracts | 41 | — | 41 |
Total Assets | 41 | 12,995 | 13,036 |
Unrealized Depreciation—Forward Currency Contracts | 2,512 | — | 2,512 |
Total Liabilities | 2,512 | — | 2,512 |
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. |
Realized Net Gain (Loss) on Derivatives | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Contracts | — | (19,428) | (19,428) |
Forward Currency Contracts | 116,598 | — | 116,598 |
Realized Net Gain (Loss) on Derivatives | 116,598 | (19,428) | 97,170 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Swap Contracts | — | 15,576 | 15,576 |
Forward Currency Contracts | (11,879) | — | (11,879) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (11,879) | 15,576 | 3,697 |
G. | As of July 31, 2022, gross unrealized appreciation and depreciation for investments, other financial instruments, and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 26,575,354 |
Gross Unrealized Appreciation | 132,719 |
Gross Unrealized Depreciation | (1,953,917) |
Net Unrealized Appreciation (Depreciation) | (1,821,198) |
H. | During the six months ended July 31, 2022, the fund purchased $3,229,005,000 of investment securities and sold $3,897,128,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $275,086,000 and $625,137,000, respectively. |
I. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 225,450 | 41,470 | 967,937 | 162,449 | |
Issued in Lieu of Cash Distributions | 64,923 | 11,932 | 133,360 | 22,449 | |
Redeemed | (516,638) | (94,599) | (1,248,421) | (209,615) | |
Net Increase (Decrease)—Investor Shares | (226,265) | (41,197) | (147,124) | (24,717) | |
Admiral Shares | |||||
Issued | 2,561,735 | 468,851 | 6,260,677 | 1,051,228 | |
Issued in Lieu of Cash Distributions | 427,788 | 78,641 | 812,641 | 136,821 | |
Redeemed | (4,060,745) | (747,707) | (6,037,301) | (1,015,302) | |
Net Increase (Decrease)—Admiral Shares | (1,071,222) | (200,215) | 1,036,017 | 172,747 |
J. | Management has determined that no other events or transactions occurred subsequent to July 31, 2022, 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, 2022 | |||
Beginning Account Value 1/31/2022 | Ending Account Value 7/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
GNMA Fund | |||
Investor Shares | $1,000.00 | $958.90 | $1.02 |
Admiral™ Shares | 1,000.00 | 959.40 | 0.53 |
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 | 0.2% |
5 - 10 Years | 0.8 |
10 - 15 Years | 2.7 |
15 - 20 Years | 8.5 |
20 - 25 Years | 19.3 |
Over 25 Years | 68.5 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (97.7%) | ||||||
Conventional Mortgage-Backed Securities (91.4%) | ||||||
1,2 | Fannie Mae Pool | 2.120% | 5/1/31 | 20,825 | 20,003 | |
1,2 | Fannie Mae Pool | 2.250% | 4/1/33 | 27,145 | 24,861 | |
1,2 | Fannie Mae Pool | 2.690% | 3/1/37 | 8,121 | 7,457 | |
1,2 | Fannie Mae Pool | 2.950% | 6/1/31 | 1,925 | 1,889 | |
1,2 | Fannie Mae Pool | 2.960% | 6/1/31 | 2,353 | 2,310 | |
1,2 | Fannie Mae Pool | 3.010% | 8/1/34 | 2,045 | 1,986 | |
1,2 | Fannie Mae Pool | 3.050% | 7/1/31 | 2,000 | 1,975 | |
1,2 | Fannie Mae Pool | 3.240% | 3/1/28 | 5,957 | 5,989 | |
1,2 | Fannie Mae Pool | 3.260% | 12/1/37 | 4,175 | 4,081 | |
1,2 | Fannie Mae Pool | 3.410% | 5/1/32 | 4,100 | 4,123 | |
1,2 | Fannie Mae Pool | 3.420% | 4/1/31 | 1,365 | 1,379 | |
1,2 | Fannie Mae Pool | 3.460% | 9/1/29 | 6,326 | 6,433 | |
1,2 | Freddie Mac Gold Pool | 3.000% | 6/1/43–1/1/47 | 11,375 | 11,111 | |
1,2 | Freddie Mac Gold Pool | 3.500% | 11/1/47–8/1/48 | 1,652 | 1,653 | |
1,2 | Freddie Mac Gold Pool | 4.000% | 9/1/30–4/1/44 | 2,050 | 2,101 | |
1,2 | Freddie Mac Gold Pool | 4.500% | 4/1/34–11/1/45 | 23,799 | 24,832 | |
1,2 | Freddie Mac Gold Pool | 5.000% | 1/1/38–4/1/44 | 8,279 | 8,708 | |
1 | Ginnie Mae I Pool | 2.500% | 11/15/42–12/15/46 | 52,900 | 50,012 | |
1 | Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/46 | 434,465 | 423,269 | |
Ginnie Mae I Pool | 3.250% | 8/15/42 | 9,930 | 9,949 | ||
1 | Ginnie Mae I Pool | 3.500% | 7/15/39–6/15/48 | 352,139 | 355,832 | |
1 | Ginnie Mae I Pool | 3.750% | 7/15/42 | 1,117 | 1,140 | |
1 | Ginnie Mae I Pool | 3.875% | 10/15/40–6/15/42 | 16,604 | 17,295 | |
1 | Ginnie Mae I Pool | 4.000% | 8/15/24–7/15/46 | 481,605 | 497,653 | |
1 | Ginnie Mae I Pool | 4.500% | 4/15/33–4/15/44 | 246,572 | 259,208 | |
1 | Ginnie Mae I Pool | 5.000% | 1/15/30–7/15/52 | 250,277 | 264,711 | |
1 | Ginnie Mae I Pool | 5.500% | 9/15/23–9/15/45 | 188,532 | 202,603 | |
1 | Ginnie Mae I Pool | 6.000% | 2/15/24–6/15/41 | 101,057 | 106,992 | |
1 | Ginnie Mae I Pool | 6.500% | 7/15/23–7/15/40 | 68,865 | 72,707 | |
1 | Ginnie Mae I Pool | 7.000% | 11/15/31–11/15/36 | 11,865 | 12,709 | |
Ginnie Mae I Pool | 7.250% | 1/15/27 | 7 | 7 | ||
Ginnie Mae I Pool | 7.500% | 10/15/31 | 5,304 | 5,673 | ||
Ginnie Mae I Pool | 8.000% | 8/15/31 | 2,043 | 2,228 | ||
Ginnie Mae I Pool | 8.500% | 9/15/22–6/15/28 | 29 | 31 | ||
1,3 | Ginnie Mae II Pool | 1.500% | 4/20/44–8/15/52 | 150,002 | 132,304 | |
1,3,4 | Ginnie Mae II Pool | 2.000% | 10/20/43–8/15/52 | 4,060,762 | 3,729,377 | |
1,3,4 | Ginnie Mae II Pool | 2.500% | 11/20/42–8/15/52 | 4,991,719 | 4,730,737 | |
1,3,4 | Ginnie Mae II Pool | 3.000% | 4/20/31–8/15/52 | 2,936,438 | 2,864,350 | |
1,3,4,5 | Ginnie Mae II Pool | 3.500% | 10/20/40–8/15/52 | 2,072,483 | 2,087,013 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,3 | Ginnie Mae II Pool | 4.000% | 4/20/39–8/15/52 | 725,574 | 744,850 | |
1 | Ginnie Mae II Pool | 4.500% | 12/20/32–1/20/50 | 334,972 | 349,423 | |
1 | Ginnie Mae II Pool | 5.000% | 10/20/32–12/20/43 | 63,036 | 68,396 | |
1 | Ginnie Mae II Pool | 5.500% | 1/20/34–7/20/40 | 13,570 | 14,419 | |
1 | Ginnie Mae II Pool | 6.000% | 4/20/28–8/20/40 | 17,561 | 18,652 | |
1 | Ginnie Mae II Pool | 6.500% | 5/20/37–3/20/41 | 539 | 603 | |
1 | Ginnie Mae II Pool | 7.500% | 8/20/25 | 26 | 27 | |
1,2,3 | UMBS Pool | 1.500% | 8/25/52 | 3,000 | 2,577 | |
1,2,3 | UMBS Pool | 2.000% | 11/1/46–8/25/52 | 36,387 | 32,871 | |
1,2,3 | UMBS Pool | 2.500% | 7/1/27–8/25/52 | 106,516 | 100,147 | |
1,2,3 | UMBS Pool | 3.000% | 11/1/22–6/1/49 | 678 | 723 | |
1,2 | UMBS Pool | 4.000% | 5/1/46–6/1/46 | 2,148 | 2,191 | |
1,2 | UMBS Pool | 4.500% | 12/1/40–3/1/44 | 853 | 901 | |
1,2 | UMBS Pool | 5.000% | 9/1/35 | 4,735 | 4,927 | |
1,2 | UMBS Pool | 6.500% | 2/1/29–5/1/40 | 1,038 | 1,115 | |
17,298,513 | ||||||
Nonconventional Mortgage-Backed Securities (6.3%) | ||||||
1,2,6 | Fannie Mae Pool, 12M USD LIBOR + 1.560% | 2.269% | 8/1/43 | 2,248 | 2,332 | |
1,2,6 | Fannie Mae Pool, 12M USD LIBOR + 1.580% | 1.954% | 9/1/44 | 3,293 | 3,458 | |
1,2 | Fannie Mae REMICS | 1.500% | 11/25/50–1/25/51 | 27,010 | 17,532 | |
1,2 | Fannie Mae REMICS | 2.000% | 9/25/42 | 4,071 | 3,879 | |
1,2 | Fannie Mae REMICS | 2.500% | 10/25/42 | 3,422 | 3,312 | |
1,2 | Fannie Mae REMICS | 3.000% | 6/25/43–7/25/49 | 39,228 | 37,351 | |
1,2 | Fannie Mae REMICS | 3.500% | 7/25/44–4/25/59 | 71,674 | 70,510 | |
1,2 | Fannie Mae REMICS | 6.000% | 10/25/28–9/25/32 | 1,633 | 1,724 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.593% | 2.990% | 10/1/44 | 2,420 | 2,368 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.600% | 1.850% | 10/1/44 | 5,709 | 5,913 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.615% | 2.216% | 9/1/44 | 2,533 | 2,628 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% | 1.890% | 10/1/44 | 3,236 | 3,379 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% | 1.998% | 7/1/44 | 1,449 | 1,521 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% | 2.014% | 9/1/43 | 3,081 | 3,218 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.630% | 2.069% | 4/1/44 | 2,988 | 3,105 | |
1,2,6 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.636% | 2.644% | 8/1/43 | 3,047 | 3,149 | |
1,2 | Freddie Mac REMICS | 2.000% | 4/15/42 | 4,468 | 4,228 | |
1,2 | Freddie Mac REMICS | 2.500% | 3/25/52 | 5,369 | 4,393 | |
1,2 | Freddie Mac REMICS | 3.000% | 8/15/42–3/15/43 | 84,501 | 81,771 | |
1,2 | Freddie Mac REMICS | 3.500% | 8/15/45 | 9,017 | 8,950 | |
1,2 | Freddie Mac REMICS | 4.000% | 6/15/54 | 3,733 | 3,596 | |
1,2 | Freddie Mac REMICS | 6.000% | 4/15/28–11/15/32 | 4,747 | 5,018 | |
1 | Ginnie Mae REMICS | 1.000% | 8/20/50–10/20/50 | 86,607 | 73,973 | |
1 | Ginnie Mae REMICS | 1.500% | 4/16/50–9/20/50 | 74,978 | 68,774 | |
1 | Ginnie Mae REMICS | 1.650% | 11/20/45 | 38,238 | 36,088 | |
1 | Ginnie Mae REMICS | 1.750% | 10/20/42–7/20/44 | 19,950 | 18,154 | |
1 | Ginnie Mae REMICS | 2.000% | 7/20/42–10/20/44 | 24,800 | 23,404 | |
1 | Ginnie Mae REMICS | 2.250% | 3/16/45 | 7,596 | 7,242 | |
1 | Ginnie Mae REMICS | 2.375% | 4/20/44 | 2,462 | 2,361 | |
1 | Ginnie Mae REMICS | 2.500% | 12/16/39–2/20/52 | 169,264 | 158,723 | |
1 | Ginnie Mae REMICS | 3.000% | 6/20/39–6/20/49 | 380,169 | 367,169 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Ginnie Mae REMICS | 3.000% | 7/20/43 | 4,327 | 4,264 | |
1 | Ginnie Mae REMICS | 3.250% | 8/20/44–2/20/49 | 12,364 | 12,536 | |
1 | Ginnie Mae REMICS | 3.500% | 7/20/43–2/20/49 | 82,893 | 82,922 | |
1 | Ginnie Mae REMICS | 3.666% | 10/20/48 | 12,097 | 12,033 | |
1 | Ginnie Mae REMICS | 3.750% | 12/16/39 | 2,188 | 2,200 | |
1 | Ginnie Mae REMICS | 4.000% | 1/20/45 | 18,093 | 18,388 | |
1 | Ginnie Mae REMICS | 4.500% | 6/20/39 | 1,660 | 1,727 | |
1 | Ginnie Mae REMICS | 5.000% | 6/16/37 | 6,167 | 6,402 | |
1 | Ginnie Mae REMICS | 5.500% | 8/16/36 | 5,500 | 5,871 | |
1,6 | Ginnie Mae REMICS, 1M USD LIBOR + 0.200% | 2.326% | 2/20/37 | 1,406 | 1,391 | |
1 | Government National Mortgage Assn. | 2.350% | 5/17/46 | 4,436 | 4,357 | |
1 | Government National Mortgage Assn. | 2.650% | 11/17/48 | 4,880 | 4,722 | |
1,186,036 | ||||||
Total U.S. Government and Agency Obligations (Cost $19,002,378) | 18,484,549 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (1.2%) | ||||||
1 | Seasoned Credit Risk Transfer Trust Series 2018-3 | 3.500% | 8/25/57 | 9,766 | 8,786 | |
1 | Seasoned Credit Risk Transfer Trust Series 2018-4 | 3.500% | 3/25/58 | 10,271 | 9,225 | |
1 | Seasoned Credit Risk Transfer Trust Series 2019-1 | 3.500% | 7/25/58 | 14,147 | 12,742 | |
1 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 118,295 | 114,863 | |
1 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 13,188 | 13,059 | |
1 | Seasoned Credit Risk Transfer Trust Series 2020-1 | 2.500% | 8/25/59 | 74,477 | 69,148 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $252,482) | 227,823 | |||||
Shares | ||||||
Temporary Cash Investments (4.5%) | ||||||
Money Market Fund (2.2%) | ||||||
7 | Vanguard Market Liquidity Fund | 1.903% | 4,283,898 | 428,218 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (2.3%) | ||||||
Bank of America Securities, LLC (Dated 7/29/22, Repurchase Value $600,000, collateralized by Ginnie Mae 2.500%, 2/20/52, with a value of $612,000) | 2.300% | 8/1/22 | 600 | 600 | ||
Bank of Nova Scotia (Dated 7/29/22, Repurchase Value $1,000,000, collateralized by U.S. Treasury Bill 0.000%, 1/26/23, and U.S. Treasury Note/Bond 0.250%–2.750%, 10/31/23–2/15/46, with a value of $1,020,000) | 2.250% | 8/1/22 | 1,000 | 1,000 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Barclays Capital Inc. (Dated 7/29/22, Repurchase Value $64,412,000, collateralized by U.S. Treasury Note/Bond 2.625%, 5/31/27, with a value of $65,688,000) | 2.220% | 8/1/22 | 64,400 | 64,400 | ||
Citigroup Global Markets Inc. (Dated 7/29/22, Repurchase Value $27,705,000, collateralized by U.S. Treasury Note/Bond 2.000%–3.375%, 11/15/48–2/15/50, with a value of $28,254,000) | 2.250% | 8/1/22 | 27,700 | 27,700 | ||
Credit Agricole Securities (USA) Inc. (Dated 7/29/22, Repurchase Value $19,504,000, collateralized by Treasury Inflation Indexed Note/Bond 2.500%, 1/15/29, with a value of $19,890,000) | 2.220% | 8/1/22 | 19,500 | 19,500 | ||
HSBC Bank USA (Dated 7/29/22, Repurchase Value $3,101,000, collateralized by Treasury Inflation Indexed Note/Bond 0.500%, 4/15/24, U.S. Treasury Bill 0.000%, 2/23/23, and U.S. Treasury Note/Bond 6.000%, 2/15/26, with a value of $3,162,000) | 2.240% | 8/1/22 | 3,100 | 3,100 | ||
HSBC Bank USA (Dated 7/29/22, Repurchase Value $76,415,000, collateralized by Fannie Mae 2.000%–3.500%, 3/1/47–5/1/52, and Freddie Mac 3.000%, 10/1/51, with a value of $77,928,000) | 2.300% | 8/1/22 | 76,400 | 76,400 | ||
Natixis SA (Dated 7/29/22, Repurchase Value $132,424,000, collateralized by Treasury Inflation Indexed Note/Bond 1.375%, 2/15/44, and U.S. Treasury Note/Bond 1.500%–4.750%, 8/15/26–11/15/49, with a value of $135,048,000) | 2.220% | 8/1/22 | 132,400 | 132,400 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Societe Generale (Dated 7/29/22, Repurchase Value $89,517,000, collateralized by U.S. Treasury Note/Bond 2.461%, 4/30/24, with a value of $91,290,000) | 2.265% | 8/1/22 | 89,500 | 89,500 | ||
TD Securities (USA) LLC (Dated 7/29/22, Repurchase Value $16,603,000, collateralized by Ginnie Mae 2.500%, 9/20/51, with a value of $16,932,000) | 2.250% | 8/1/22 | 16,600 | 16,600 | ||
431,200 | ||||||
Total Temporary Cash Investments (Cost $859,587) | 859,418 | |||||
Total Investments (103.4%) (Cost $20,114,447) | 19,571,790 | |||||
Other Assets and Liabilities—Net (-3.4%) | (645,999) | |||||
Net Assets (100%) | 18,925,791 |
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, 2022. |
4 | Securities with a value of $9,380,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
5 | Securities with a value of $5,977,000 have been segregated as initial margin for open futures contracts. |
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 | 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. | |
USD—U.S. dollar. |
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 2022 | 3,371 | 383,372 | 1,840 |
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2022 | (594) | (125,014) | 24 |
10-Year U.S. Treasury Note | September 2022 | (2,675) | (324,051) | (5,606) |
Long U.S. Treasury Bond | September 2022 | (580) | (83,520) | (1,800) |
Ultra 10-Year U.S. Treasury Note | September 2022 | (69) | (9,056) | (114) |
(7,496) | ||||
(5,656) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $19,686,060) | 19,143,572 |
Affiliated Issuers (Cost $428,387) | 428,218 |
Total Investments in Securities | 19,571,790 |
Investment in Vanguard | 712 |
Cash | 5,909 |
Receivables for Investment Securities Sold | 1,169,657 |
Receivables for Accrued Income | 46,181 |
Receivables for Capital Shares Issued | 3,063 |
Other Assets | 615 |
Total Assets | 20,797,927 |
Liabilities | |
Payables for Investment Securities Purchased | 1,842,797 |
Payables for Capital Shares Redeemed | 19,925 |
Payables for Distributions | 7,015 |
Payables to Investment Advisor | 483 |
Payables to Vanguard | 1,064 |
Variation Margin Payable—Futures Contracts | 852 |
Total Liabilities | 1,872,136 |
Net Assets | 18,925,791 |
Statement of Assets and Liabilities (continued) | |
At July 31, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 20,427,417 |
Total Distributable Earnings (Loss) | (1,501,626) |
Net Assets | 18,925,791 |
Investor Shares—Net Assets | |
Applicable to 579,360,341 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,727,378 |
Net Asset Value Per Share—Investor Shares | $9.89 |
Admiral Shares—Net Assets | |
Applicable to 1,335,102,471 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,198,413 |
Net Asset Value Per Share—Admiral Shares | $9.89 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 206,769 |
Total Income | 206,769 |
Expenses | |
Investment Advisory Fees—Note B | 1,038 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 5,603 |
Management and Administrative—Admiral Shares | 6,381 |
Marketing and Distribution—Investor Shares | 213 |
Marketing and Distribution—Admiral Shares | 322 |
Custodian Fees | 212 |
Shareholders’ Reports—Investor Shares | 49 |
Shareholders’ Reports—Admiral Shares | 59 |
Trustees’ Fees and Expenses | 5 |
Other Expenses | 6 |
Total Expenses | 13,888 |
Expenses Paid Indirectly | (30) |
Net Expenses | 13,858 |
Net Investment Income | 192,911 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (482,556) |
Futures Contracts | (36,643) |
Realized Net Gain (Loss) | (519,199) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (600,158) |
Futures Contracts | 1,106 |
Change in Unrealized Appreciation (Depreciation) | (599,052) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (925,340) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,295,000, ($344,000), and $216,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 192,911 | 221,471 | |
Realized Net Gain (Loss) | (519,199) | (212,099) | |
Change in Unrealized Appreciation (Depreciation) | (599,052) | (532,825) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (925,340) | (523,453) | |
Distributions | |||
Investor Shares | (55,234) | (57,843) | |
Admiral Shares | (134,671) | (156,253) | |
Total Distributions | (189,905) | (214,096) | |
Capital Share Transactions | |||
Investor Shares | (650,257) | (789,418) | |
Admiral Shares | (1,606,549) | (3,495,820) | |
Net Increase (Decrease) from Capital Share Transactions | (2,256,806) | (4,285,238) | |
Total Increase (Decrease) | (3,372,051) | (5,022,787) | |
Net Assets | |||
Beginning of Period | 22,297,842 | 27,320,629 | |
End of Period | 18,925,791 | 22,297,842 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.41 | $10.73 | $10.58 | $10.31 | $10.32 | $10.51 |
Investment Operations | ||||||
Net Investment Income1 | .092 | .085 | .178 | .285 | .298 | .284 |
Net Realized and Unrealized Gain (Loss) on Investments | (.520) | (.321) | .157 | .272 | (.011) | (.193) |
Total from Investment Operations | (.428) | (.236) | .335 | .557 | .287 | .091 |
Distributions | ||||||
Dividends from Net Investment Income | (.092) | (.084) | (.176) | (.287) | (.297) | (.281) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Return of Capital | — | — | (.009) | — | — | — |
Total Distributions | (.092) | (.084) | (.185) | (.287) | (.297) | (.281) |
Net Asset Value, End of Period | $9.89 | $10.41 | $10.73 | $10.58 | $10.31 | $10.32 |
Total Return2 | -4.11% | -2.21% | 3.17% | 5.46% | 2.85% | 0.85% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,727 | $6,711 | $7,719 | $7,365 | $6,715 | $7,598 |
Ratio of Total Expenses to Average Net Assets | 0.21%3 | 0.21% | 0.21% | 0.21% | 0.21% | 0.21% |
Ratio of Net Investment Income to Average Net Assets | 1.88% | 0.80% | 1.66% | 2.71% | 2.93% | 2.70% |
Portfolio Turnover Rate4 | 268% | 800% | 638% | 616% | 415% | 620% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.21%. |
4 | Includes 110%, 298%, 182%, 198%, 200%, and 156%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.41 | $10.73 | $10.58 | $10.31 | $10.32 | $10.51 |
Investment Operations | ||||||
Net Investment Income1 | .097 | .098 | .184 | .295 | .309 | .294 |
Net Realized and Unrealized Gain (Loss) on Investments | (.520) | (.323) | .161 | .272 | (.012) | (.192) |
Total from Investment Operations | (.423) | (.225) | .345 | .567 | .297 | .102 |
Distributions | ||||||
Dividends from Net Investment Income | (.097) | (.095) | (.185) | (.297) | (.307) | (.292) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Return of Capital | — | — | (.010) | — | — | — |
Total Distributions | (.097) | (.095) | (.195) | (.297) | (.307) | (.292) |
Net Asset Value, End of Period | $9.89 | $10.41 | $10.73 | $10.58 | $10.31 | $10.32 |
Total Return2 | -4.06% | -2.11% | 3.28% | 5.57% | 2.95% | 0.95% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $13,198 | $15,587 | $19,602 | $17,356 | $14,706 | $16,491 |
Ratio of Total Expenses to Average Net Assets | 0.11%3 | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 1.99% | 0.92% | 1.72% | 2.81% | 3.03% | 2.80% |
Portfolio Turnover Rate4 | 268% | 800% | 638% | 616% | 415% | 620% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.11%. |
4 | Includes 110%, 298%, 182%, 198%, 200%, and 156%, 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 | — | 18,484,549 | — | 18,484,549 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 227,823 | — | 227,823 |
Temporary Cash Investments | 428,218 | 431,200 | — | 859,418 |
Total | 428,218 | 19,143,572 | — | 19,571,790 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,864 | — | — | 1,864 |
Liabilities | ||||
Futures Contracts1 | 7,520 | — | — | 7,520 |
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 | 20,117,855 |
Gross Unrealized Appreciation | 185,689 |
Gross Unrealized Depreciation | (737,410) |
Net Unrealized Appreciation (Depreciation) | (551,721) |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 194,496 | 19,430 | 629,695 | 59,106 | |
Issued in Lieu of Cash Distributions | 52,522 | 5,325 | 54,958 | 5,183 | |
Redeemed | (897,275) | (90,020) | (1,474,071) | (138,852) | |
Net Increase (Decrease)—Investor Shares | (650,257) | (65,265) | (789,418) | (74,563) | |
Admiral Shares | |||||
Issued | 574,569 | 58,064 | 2,344,913 | 220,452 | |
Issued in Lieu of Cash Distributions | 103,622 | 10,504 | 120,457 | 11,356 | |
Redeemed | (2,284,740) | (230,580) | (5,961,190) | (561,063) | |
Net Increase (Decrease)—Admiral Shares | (1,606,549) | (162,012) | (3,495,820) | (329,255) |
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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, 2022 | |||
Beginning Account Value 1/31/2022 | Ending Account Value 7/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Real Estate Index Fund | |||
Investor Shares | $1,000.00 | $ 939.70 | $1.20 |
ETF Shares | 1,000.00 | 940.50 | 0.58 |
Admiral™ Shares | 1,000.00 | 940.60 | 0.58 |
Institutional Shares | 1,000.00 | 940.50 | 0.48 |
Real Estate II Index Fund | $1,000.00 | $ 940.70 | $0.38 |
Based on Hypothetical 5% Yearly Return | |||
Real Estate Index Fund | |||
Investor Shares | $1,000.00 | $1,023.56 | $1.25 |
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 | 0.1% |
Diversified REITs | 2.7 |
Health Care REITs | 8.1 |
Hotel & Resort REITs | 2.6 |
Industrial REITs | 11.8 |
Office REITs | 5.9 |
Real Estate Development | 0.2 |
Real Estate Operating Companies | 0.5 |
Real Estate Services | 4.0 |
Residential REITs | 15.1 |
Retail REITs | 11.3 |
Specialized REITs | 37.7 |
Shares | Market Value• ($000) | |||||
Equity Real Estate Investment Trusts (REITs) (95.2%) | ||||||
Diversified REITs (2.4%) | ||||||
WP Carey Inc. | 8,743,103 | 780,759 | ||||
STORE Capital Corp. | 11,303,279 | 328,021 | ||||
Broadstone Net Lease Inc. | 7,497,078 | 169,959 | ||||
Essential Properties Realty Trust Inc. | 5,761,575 | 138,969 | ||||
Global Net Lease Inc. | 4,765,303 | 71,908 | ||||
American Assets Trust Inc. | 2,359,709 | 71,334 | ||||
Alexander & Baldwin Inc. | 3,326,594 | 66,233 | ||||
Empire State Realty Trust Inc. Class A | 6,595,841 | 56,263 | ||||
iStar Inc. | 3,167,456 | 52,928 | ||||
Armada Hoffler Properties Inc. | 3,084,492 | 43,738 | ||||
Gladstone Commercial Corp. | 1,731,930 | 36,284 | ||||
One Liberty Properties Inc. | 768,149 | 21,316 | ||||
1,837,712 | ||||||
Health Care REITs (7.1%) | ||||||
Welltower Inc. | 19,766,417 | 1,706,632 | ||||
Ventas Inc. | 18,324,532 | 985,493 | ||||
Healthpeak Properties Inc. | 24,737,357 | 683,493 | ||||
Medical Properties Trust Inc. | 27,375,325 | 471,951 | ||||
1 | Healthcare Realty Trust Inc. Class A | 17,462,874 | 458,400 | |||
Omega Healthcare Investors Inc. | 10,967,903 | 340,005 | ||||
Physicians Realty Trust | 10,318,085 | 183,352 | ||||
Sabra Health Care REIT Inc. | 10,591,234 | 162,999 | ||||
National Health Investors Inc. | 2,103,159 | 136,369 | ||||
CareTrust REIT Inc. | 4,451,645 | 91,927 | ||||
LTC Properties Inc. | 1,811,743 | 75,912 | ||||
Community Healthcare Trust Inc. | 1,091,309 | 42,507 |
Shares | Market Value• ($000) | |||||
Global Medical REIT Inc. | 2,797,902 | 34,079 | ||||
Universal Health Realty Income Trust | 599,909 | 32,335 | ||||
Diversified Healthcare Trust | 10,977,598 | 18,991 | ||||
5,424,445 | ||||||
Hotel & Resort REITs (2.3%) | ||||||
Host Hotels & Resorts Inc. | 32,757,517 | 583,411 | ||||
* | Ryman Hospitality Properties Inc. | 2,399,581 | 212,459 | |||
Park Hotels & Resorts Inc. | 10,846,779 | 169,101 | ||||
Apple Hospitality REIT Inc. | 9,946,332 | 165,905 | ||||
Pebblebrook Hotel Trust | 6,031,229 | 117,971 | ||||
* | Sunstone Hotel Investors Inc. | 10,060,581 | 113,986 | |||
RLJ Lodging Trust | 7,640,761 | 95,433 | ||||
* | DiamondRock Hospitality Co. | 9,666,781 | 89,708 | |||
* | Xenia Hotels & Resorts Inc. | 5,238,792 | 86,021 | |||
Service Properties Trust | 7,578,116 | 49,561 | ||||
* | Summit Hotel Properties Inc. | 4,873,237 | 38,255 | |||
* | Chatham Lodging Trust | 2,123,237 | 25,819 | |||
1,747,630 | ||||||
Industrial REITs (10.3%) | ||||||
Prologis Inc. | 33,943,300 | 4,499,524 | ||||
Duke Realty Corp. | 17,557,346 | 1,098,387 | ||||
Rexford Industrial Realty Inc. | 7,363,812 | 481,667 | ||||
Americold Realty Trust Inc. | 12,305,953 | 403,020 | ||||
EastGroup Properties Inc. | 1,892,111 | 322,680 | ||||
First Industrial Realty Trust Inc. | 6,044,767 | 314,026 | ||||
STAG Industrial Inc. | 8,162,623 | 267,571 | ||||
Terreno Realty Corp. | 3,462,935 | 216,953 | ||||
LXP Industrial Trust | 13,102,576 | 143,735 |
Shares | Market Value• ($000) | |||||
Innovative Industrial Properties Inc. | 1,175,398 | 113,320 | ||||
Plymouth Industrial REIT Inc. | 1,675,476 | 32,270 | ||||
Industrial Logistics Properties Trust | 2,996,099 | 30,051 | ||||
7,923,204 | ||||||
Office REITs (5.2%) | ||||||
Alexandria Real Estate Equities Inc. | 6,969,646 | 1,155,428 | ||||
Boston Properties Inc. | 6,827,275 | 622,374 | ||||
Kilroy Realty Corp. | 4,818,279 | 261,054 | ||||
Vornado Realty Trust | 7,474,866 | 227,161 | ||||
Cousins Properties Inc. | 6,820,035 | 210,398 | ||||
Douglas Emmett Inc. | 8,060,010 | 190,539 | ||||
Highwoods Properties Inc. | 4,811,285 | 171,137 | ||||
1 | SL Green Realty Corp. | 2,970,817 | 147,501 | |||
* | Equity Commonwealth | 5,187,537 | 145,510 | |||
Corporate Office Properties Trust | 5,152,111 | 145,032 | ||||
JBG SMITH Properties | 5,265,596 | 133,957 | ||||
Hudson Pacific Properties Inc. | 6,934,801 | 104,299 | ||||
Piedmont Office Realty Trust Inc. Class A | 5,655,355 | 77,818 | ||||
Easterly Government Properties Inc. Class A | 3,753,923 | 76,092 | ||||
Brandywine Realty Trust | 7,852,004 | 73,416 | ||||
Paramount Group Inc. | 8,039,427 | 63,110 | ||||
* | Veris Residential Inc. | 3,547,059 | 49,481 | |||
Office Properties Income Trust | 2,223,013 | 46,194 | ||||
Orion Office REIT Inc. | 2,596,389 | 28,405 | ||||
City Office REIT Inc. | 1,998,229 | 28,175 | ||||
Franklin Street Properties Corp. | 4,764,019 | 18,056 | ||||
*,2 | New York REIT Liquidating LLC | 1,208 | 14 | |||
3,975,151 | ||||||
Other (11.7%)3 | ||||||
4,5 | Vanguard Real Estate II Index Fund | 376,527,417 | 8,978,201 | |||
Residential REITs (13.3%) | ||||||
AvalonBay Communities Inc. | 6,410,351 | 1,371,430 | ||||
Equity Residential | 15,780,906 | 1,237,065 | ||||
Invitation Homes Inc. | 27,872,753 | 1,087,874 | ||||
Mid-America Apartment Communities Inc. | 5,290,637 | 982,630 | ||||
Sun Communities Inc. | 5,319,124 | 872,124 | ||||
Essex Property Trust Inc. | 2,994,301 | 857,957 | ||||
UDR Inc. | 14,598,581 | 706,571 | ||||
Camden Property Trust | 4,507,068 | 635,947 | ||||
Equity LifeStyle Properties Inc. | 8,102,334 | 595,684 |
Shares | Market Value• ($000) | |||||
American Homes 4 Rent Class A | 13,300,847 | 503,836 | ||||
American Campus Communities Inc. | 6,457,763 | 421,821 | ||||
Apartment Income REIT Corp. Class A | 7,200,784 | 326,484 | ||||
Independence Realty Trust Inc. | 10,136,076 | 225,021 | ||||
1 | Washington REIT | 4,009,715 | 88,895 | |||
NexPoint Residential Trust Inc. | 1,054,907 | 70,193 | ||||
Centerspace | 689,948 | 59,260 | ||||
* | Apartment Investment & Management Co. Class A | 6,986,166 | 58,125 | |||
UMH Properties Inc. | 2,269,252 | 48,358 | ||||
Bluerock Residential Growth REIT Inc. Class A | 1,341,420 | 35,239 | ||||
10,184,514 | ||||||
Retail REITs (9.9%) | ||||||
Realty Income Corp. | 27,123,565 | 2,006,873 | ||||
Simon Property Group Inc. | 14,672,055 | 1,593,972 | ||||
Kimco Realty Corp. | 28,285,568 | 625,394 | ||||
Regency Centers Corp. | 7,074,635 | 455,819 | ||||
National Retail Properties Inc. | 8,056,224 | 383,557 | ||||
Federal Realty OP LP | 3,245,463 | 342,753 | ||||
Brixmor Property Group Inc. | 13,661,702 | 316,678 | ||||
Agree Realty Corp. | 3,269,938 | 260,254 | ||||
Spirit Realty Capital Inc. | 5,859,542 | 259,812 | ||||
Kite Realty Group Trust | 10,042,773 | 199,751 | ||||
1 | Phillips Edison & Co. Inc. | 5,201,736 | 177,067 | |||
SITE Centers Corp. | 8,720,282 | 127,403 | ||||
Macerich Co. | 9,771,519 | 103,676 | ||||
Retail Opportunity Investments Corp. | 5,632,905 | 98,351 | ||||
InvenTrust Properties Corp. | 3,089,122 | 88,565 | ||||
Urban Edge Properties | 5,384,974 | 88,475 | ||||
Tanger Factory Outlet Centers Inc. | 4,776,117 | 77,707 | ||||
Acadia Realty Trust | 4,095,949 | 70,164 | ||||
Getty Realty Corp. | 1,821,938 | 53,456 | ||||
Necessity Retail REIT Inc. Class A | 5,959,018 | 46,421 | ||||
RPT Realty | 3,894,414 | 42,332 | ||||
NETSTREIT Corp. | 2,027,187 | 41,557 | ||||
Saul Centers Inc. | 653,078 | 34,143 | ||||
Alexander's Inc. | 105,398 | 25,665 | ||||
Urstadt Biddle Properties Inc. Class A | 1,368,442 | 25,179 | ||||
1 | CBL & Associates Properties Inc. | 582,322 | 17,930 |
Shares | Market Value• ($000) | |||||
Urstadt Biddle Properties Inc. | 16,032 | 299 | ||||
*,2 | Spirit MTA REIT | 2,071,263 | — | |||
7,563,253 | ||||||
Specialized REITs (33.0%) | ||||||
American Tower Corp. | 20,911,134 | 5,663,362 | ||||
Crown Castle International Corp. | 19,825,397 | 3,581,656 | ||||
Equinix Inc. | 4,161,311 | 2,928,481 | ||||
Public Storage | 7,229,976 | 2,359,936 | ||||
SBA Communications Corp. | 4,989,735 | 1,675,503 | ||||
Digital Realty Trust Inc. | 12,423,409 | 1,645,481 | ||||
VICI Properties Inc. | 38,751,120 | 1,324,901 | ||||
Weyerhaeuser Co. | 34,233,746 | 1,243,370 | ||||
Extra Space Storage Inc. | 6,141,538 | 1,163,944 | ||||
Iron Mountain Inc. | 13,294,309 | 644,641 | ||||
Gaming & Leisure Properties Inc. | 10,786,938 | 560,813 | ||||
Life Storage Inc. | 3,838,780 | 483,264 | ||||
CubeSmart | 10,274,900 | 471,310 | ||||
Lamar Advertising Co. Class A | 3,983,867 | 402,610 | ||||
Rayonier Inc. | 6,668,165 | 251,723 | ||||
National Storage Affiliates Trust | 3,974,179 | 217,944 | ||||
EPR Properties | 3,438,679 | 185,035 | ||||
PotlatchDeltic Corp. | 3,168,838 | 155,368 | ||||
Uniti Group Inc. | 10,828,607 | 107,961 | ||||
Four Corners Property Trust Inc. | 3,686,411 | 107,754 | ||||
Outfront Media Inc. | 5,701,780 | 105,255 | ||||
Gladstone Land Corp. | 1,489,480 | 40,380 | ||||
Safehold Inc. | 778,981 | 33,216 | ||||
25,353,908 | ||||||
Total Equity Real Estate Investment Trusts (REITs) (Cost $61,679,101) | 72,988,018 | |||||
Real Estate Management & Development (4.2%) | ||||||
Diversified Real Estate Activities (0.1%) | ||||||
St. Joe Co. | 1,485,517 | 62,422 | ||||
RMR Group Inc. Class A | 710,180 | 20,531 | ||||
82,953 | ||||||
Real Estate Development (0.2%) | ||||||
* | Howard Hughes Corp. | 1,896,475 | 134,441 | |||
* | Forestar Group Inc. | 908,355 | 12,572 | |||
147,013 | ||||||
Real Estate Operating Companies (0.4%) | ||||||
* | DigitalBridge Group Inc. | 26,096,211 | 143,007 | |||
Kennedy-Wilson Holdings Inc. | 5,691,636 | 117,589 | ||||
*,1 | WeWork Inc. | 8,090,688 | 38,593 |
Shares | Market Value• ($000) | |||||
* | FRP Holdings Inc. | 281,101 | 16,585 | |||
*,1 | Seritage Growth Properties Class A | 1,208,337 | 14,524 | |||
330,298 | ||||||
Real Estate Services (3.5%) | ||||||
* | CBRE Group Inc. Class A | 15,350,876 | 1,314,342 | |||
* | Jones Lang LaSalle Inc. | 2,288,175 | 436,286 | |||
* | Zillow Group Inc. Class C | 7,545,311 | 263,180 | |||
* | Cushman & Wakefield plc | 6,662,632 | 111,932 | |||
Newmark Group Inc. Class A | 8,772,362 | 100,005 | ||||
* | Zillow Group Inc. Class A | 2,828,387 | 98,994 | |||
*,1 | Opendoor Technologies Inc. | 18,585,684 | 91,256 | |||
* | Anywhere Real Estate Inc. | 5,348,291 | 53,109 | |||
Marcus & Millichap Inc. | 1,184,121 | 48,454 | ||||
1 | eXp World Holdings Inc. | 3,074,010 | 45,680 | |||
*,1 | Compass Inc. Class A | 10,313,029 | 39,396 | |||
* | Redfin Corp. | 4,032,926 | 35,086 | |||
RE/MAX Holdings Inc. Class A | 861,455 | 21,829 | ||||
Douglas Elliman Inc. | 3,211,035 | 19,266 | ||||
*,1 | Offerpad Solutions Inc. | 2,638,342 | 5,567 | |||
*,1 | Doma Holdings Inc. | 4,472,970 | 3,319 | |||
2,687,701 | ||||||
Total Real Estate Management & Development (Cost $4,119,341) | 3,247,965 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
6,7 | Vanguard Market Liquidity Fund, 1.903% (Cost $482,230) | 4,824,316 | 482,239 | |||
Total Investments (100.0%) (Cost $66,280,672) | 76,718,222 | |||||
Other Assets and Liabilities—Net (0.0%) | (9,314) | |||||
Net Assets (100%) | 76,708,908 |
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 $84,190,000. |
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 $88,289,000 was received for securities on loan, of which $84,183,000 is held in Vanguard Market Liquidity Fund and $4,106,000 is held in cash. |
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) |
American Homes 4 Rent Class A | 8/31/22 | BANA | 37,212 | (1.809) | 2,511 | — |
Digital Realty Trust Inc. | 1/31/23 | GSI | 30,245 | (2.153) | 2,853 | — |
Digital Realty Trust Inc. | 8/31/22 | BANA | 48,687 | (1.797) | 915 | — |
Equity Residential | 8/31/22 | BANA | 14,444 | (1.836) | 1,339 | — |
Equity Residential | 8/31/22 | BANA | 28,888 | (1.813) | 2,678 | — |
Redfin Corp. | 1/31/23 | GSI | 3,059 | (2.144) | — | (15) |
Seritage Growth Properties Class A | 1/31/23 | GSI | 4,312 | (2.129) | 446 | — |
Simon Property Group Inc. | 1/31/23 | GSI | 38,544 | (2.165) | 4,894 | — |
VICI Properties Inc. | 8/31/22 | BANA | 160,866 | (2.234) | 25,436 | — |
Welltower Inc. | 8/31/22 | BANA | 61,764 | (1.804) | 2,910 | — |
43,982 | (15) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $58,590,407) | 67,257,782 |
Affiliated Issuers (Cost $482,230) | 482,239 |
Vanguard Real Estate II Index Fund (Cost $7,208,035) | 8,978,201 |
Total Investments in Securities | 76,718,222 |
Investment in Vanguard | 2,409 |
Cash | 4,106 |
Receivables for Investment Securities Sold | 20,197 |
Receivables for Accrued Income | 128,280 |
Receivables for Capital Shares Issued | 18,678 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 43,982 |
Total Assets | 76,935,874 |
Liabilities | |
Due to Custodian | 9,652 |
Payables for Investment Securities Purchased | 102,763 |
Collateral for Securities on Loan | 88,289 |
Payables for Capital Shares Redeemed | 22,634 |
Payables to Vanguard | 3,613 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 15 |
Total Liabilities | 226,966 |
Net Assets | 76,708,908 |
1 Includes $84,190 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At July 31, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 66,875,970 |
Total Distributable Earnings (Loss) | 9,832,938 |
Net Assets | 76,708,908 |
Investor Shares—Net Assets | |
Applicable to 4,475,070 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 147,117 |
Net Asset Value Per Share—Investor Shares | $32.87 |
ETF Shares—Net Assets | |
Applicable to 413,914,080 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 40,954,284 |
Net Asset Value Per Share—ETF Shares | $98.94 |
Admiral Shares—Net Assets | |
Applicable to 170,284,766 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 23,878,936 |
Net Asset Value Per Share—Admiral Shares | $140.23 |
Institutional Shares—Net Assets | |
Applicable to 540,393,314 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,728,571 |
Net Asset Value Per Share—Institutional Shares | $21.70 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends—Unaffiliated Issuers | 1,063,139 |
Dividends—Affiliated Issuers | 30,576 |
Dividends—Vanguard Real Estate II Index Fund | 117,477 |
Interest—Affiliated Issuers | 645 |
Securities Lending—Net | 660 |
Total Income | 1,212,497 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 887 |
Management and Administrative—Investor Shares | 213 |
Management and Administrative—ETF Shares | 22,748 |
Management and Administrative—Admiral Shares | 12,902 |
Management and Administrative—Institutional Shares | 5,143 |
Marketing and Distribution—Investor Shares | 6 |
Marketing and Distribution—ETF Shares | 722 |
Marketing and Distribution—Admiral Shares | 459 |
Marketing and Distribution—Institutional Shares | 186 |
Custodian Fees | 98 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 675 |
Shareholders’ Reports—Admiral Shares | 173 |
Shareholders’ Reports—Institutional Shares | 64 |
Trustees’ Fees and Expenses | 20 |
Other Expenses | 6 |
Total Expenses | 44,303 |
Expenses Paid Indirectly | (23) |
Net Expenses | 44,280 |
Net Investment Income | 1,168,217 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received—Unaffiliated Issuers | 45,697 |
Capital Gain Distributions Received—Vanguard Real Estate II Index Fund | — |
Investment Securities Sold—Unaffiliated Issuers1 | 1,688,874 |
Investment Securities Sold—Affiliated Issuers2 | 21,399 |
Investment Securities Sold—Vanguard Real Estate II Index Fund | — |
Swap Contracts | (39,546) |
Realized Net Gain (Loss) | 1,716,424 |
Statement of Operations (continued) | |
Six Months Ended July 31, 2022 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers | (7,655,293) |
Investment Securities—Affiliated Issuers | 204,832 |
Investment Securities—Vanguard Real Estate II Index Fund | (683,638) |
Swap Contracts | 43,967 |
Change in Unrealized Appreciation (Depreciation) | (8,090,132) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,205,491) |
1 | Includes $1,805,234,000 of net gain (loss) resulting from in-kind redemptions. |
2 | Includes $32,314,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,168,217 | 1,487,532 | |
Realized Net Gain (Loss) | 1,716,424 | 2,507,302 | |
Change in Unrealized Appreciation (Depreciation) | (8,090,132) | 14,077,791 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,205,491) | 18,072,625 | |
Distributions | |||
Investor Shares | (1,879) | (3,637) | |
ETF Shares | (490,481) | (811,715) | |
Admiral Shares | (276,428) | (463,925) | |
Institutional Shares | (135,640) | (220,900) | |
Return of Capital | |||
Investor Shares | — | (1,874) | |
ETF Shares | — | (418,428) | |
Admiral Shares | — | (239,147) | |
Institutional Shares | — | (113,871) | |
Total Distributions | (904,428) | (2,273,497) | |
Capital Share Transactions | |||
Investor Shares | (33,562) | (35,113) | |
ETF Shares | (2,289,715) | 6,252,486 | |
Admiral Shares | (70,519) | 1,052,588 | |
Institutional Shares | 490,722 | 221,639 | |
Net Increase (Decrease) from Capital Share Transactions | (1,903,074) | 7,491,600 | |
Total Increase (Decrease) | (8,012,993) | 23,290,728 | |
Net Assets | |||
Beginning of Period | 84,721,901 | 61,431,173 | |
End of Period | 76,708,908 | 84,721,901 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $35.37 | $28.23 | $31.21 | $27.69 | $26.40 | $27.38 |
Investment Operations | ||||||
Net Investment Income1 | .459 | .602 | .586 | .719 | .787 | .761 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.600) | 7.475 | (2.498) | 3.801 | 1.639 | (.614) |
Total from Investment Operations | (2.141) | 8.077 | (1.912) | 4.520 | 2.426 | .147 |
Distributions | ||||||
Dividends from Net Investment Income | (.359) | (.620) | (.624) | (.752) | (.851) | (.788) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.011) |
Return of Capital | — | (.317) | (.444) | (.248) | (.285) | (.328) |
Total Distributions | (.359) | (.937) | (1.068) | (1.000) | (1.136) | (1.127) |
Net Asset Value, End of Period | $32.87 | $35.37 | $28.23 | $31.21 | $27.69 | $26.40 |
Total Return2 | -6.03% | 28.73% | -5.88% | 16.59% | 9.53% | 0.45% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $147 | $196 | $188 | $243 | $1,871 | $2,143 |
Ratio of Total Expenses to Average Net Assets | 0.25% 3 | 0.26% | 0.26% | 0.26% | 0.25% | 0.26% |
Ratio of Net Investment Income to Average Net Assets | 2.58% | 1.77% | 2.18% | 2.48% | 3.02% | 2.87% |
Portfolio Turnover Rate4 | 4% | 7% | 8% | 6% | 24% | 6% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.25%. |
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, including ETF Creation Units. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $106.44 | $84.96 | $93.93 | $83.36 | $79.47 | $82.43 |
Investment Operations | ||||||
Net Investment Income1 | 1.470 | 1.960 | 1.889 | 2.335 | 2.487 | 2.499 |
Net Realized and Unrealized Gain (Loss) on Investments | (7.824) | 22.486 | (7.525) | 11.379 | 4.934 | (1.945) |
Total from Investment Operations | (6.354) | 24.446 | (5.636) | 13.714 | 7.421 | .554 |
Distributions | ||||||
Dividends from Net Investment Income | (1.146) | (1.943) | (1.947) | (2.364) | (2.646) | (2.458) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.034) |
Return of Capital | — | (1.023) | (1.387) | (.780) | (.885) | (1.022) |
Total Distributions | (1.146) | (2.966) | (3.334) | (3.144) | (3.531) | (3.514) |
Net Asset Value, End of Period | $98.94 | $106.44 | $84.96 | $93.93 | $83.36 | $79.47 |
Total Return | -5.95% | 28.88% | -5.80% | 16.70% | 9.70% | 0.59% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $40,954 | $46,673 | $32,064 | $37,682 | $30,857 | $32,377 |
Ratio of Total Expenses to Average Net Assets | 0.12% 2 | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 2.76% | 1.90% | 2.33% | 2.60% | 3.15% | 3.01% |
Portfolio Turnover Rate3 | 4% | 7% | 8% | 6% | 24% | 6% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.12%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $150.85 | $120.40 | $133.12 | $118.14 | $112.63 | $116.83 |
Investment Operations | ||||||
Net Investment Income1 | 2.096 | 2.761 | 2.677 | 3.315 | 3.507 | 3.538 |
Net Realized and Unrealized Gain (Loss) on Investments | (11.091) | 31.890 | (10.672) | 16.121 | 7.008 | (2.761) |
Total from Investment Operations | (8.995) | 34.651 | (7.995) | 19.436 | 10.515 | .777 |
Distributions | ||||||
Dividends from Net Investment Income | (1.625) | (2.770) | (2.759) | (3.350) | (3.751) | (3.483) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.048) |
Return of Capital | — | (1.431) | (1.966) | (1.106) | (1.254) | (1.447) |
Total Distributions | (1.625) | (4.201) | (4.725) | (4.456) | (5.005) | (4.978) |
Net Asset Value, End of Period | $140.23 | $150.85 | $120.40 | $133.12 | $118.14 | $112.63 |
Total Return2 | -5.94% | 28.91% | -5.74% | 16.73% | 9.69% | 0.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $23,879 | $25,764 | $19,702 | $23,274 | $18,223 | $17,757 |
Ratio of Total Expenses to Average Net Assets | 0.12% 3 | 0.12% | 0.12% | 0.12% | 0.11% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 2.78% | 1.90% | 2.33% | 2.60% | 3.16% | 3.01% |
Portfolio Turnover Rate4 | 4% | 7% | 8% | 6% | 24% | 6% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.12%. |
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, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $23.35 | $18.64 | $20.60 | $18.28 | $17.43 | $18.08 |
Investment Operations | ||||||
Net Investment Income1 | .328 | .432 | .421 | .518 | .543 | .568 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.724) | 4.933 | (1.646) | 2.496 | 1.085 | (.444) |
Total from Investment Operations | (1.396) | 5.365 | (1.225) | 3.014 | 1.628 | .124 |
Distributions | ||||||
Dividends from Net Investment Income | (.254) | (.432) | (.429) | (.522) | (.583) | (.542) |
Distributions from Realized Capital Gains | — | — | — | — | — | (.007) |
Return of Capital | — | (.223) | (.306) | (.172) | (.195) | (.225) |
Total Distributions | (.254) | (.655) | (.735) | (.694) | (.778) | (.774) |
Net Asset Value, End of Period | $21.70 | $23.35 | $18.64 | $20.60 | $18.28 | $17.43 |
Total Return | -5.95% | 28.91% | -5.68% | 16.77% | 9.70% | 0.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,729 | $12,089 | $9,478 | $10,027 | $8,206 | $8,176 |
Ratio of Total Expenses to Average Net Assets | 0.10% 2 | 0.10% | 0.10% | 0.10% | 0.09% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.81% | 1.92% | 2.37% | 2.63% | 3.18% | 3.03% |
Portfolio Turnover Rate3 | 4% | 7% | 8% | 6% | 24% | 6% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
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. |
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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $23,000 (an annual rate of less than 0.01% of average net assets). |
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 | ||||
Common Stocks | 76,235,969 | — | 14 | 76,235,983 |
Temporary Cash Investments | 482,239 | — | — | 482,239 |
Total | 76,718,208 | — | 14 | 76,718,222 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 43,982 | — | 43,982 |
Liabilities | ||||
Swap Contracts | — | 15 | — | 15 |
E. | As of July 31, 2022, 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 | 66,532,469 |
Gross Unrealized Appreciation | 16,444,842 |
Gross Unrealized Depreciation | (6,215,122) |
Net Unrealized Appreciation (Depreciation) | 10,229,720 |
F. | During the six months ended July 31, 2022, the fund purchased $6,666,599,000 of investment securities and sold $8,517,790,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,716,008,000 and $5,022,320,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 8,183 | 239 | 40,853 | 1,192 | |
Issued in Lieu of Cash Distributions | 1,879 | 58 | 5,511 | 161 | |
Redeemed | (43,624) | (1,361) | (81,477) | (2,463) | |
Net Increase (Decrease)—Investor Shares | (33,562) | (1,064) | (35,113) | (1,110) | |
ETF Shares | |||||
Issued | 2,739,304 | 26,810 | 12,323,320 | 119,786 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (5,029,019) | (51,400) | (6,070,834) | (58,700) | |
Net Increase (Decrease)—ETF Shares | (2,289,715) | (24,590) | 6,252,486 | 61,086 | |
Admiral Shares | |||||
Issued | 1,491,343 | 10,427 | 4,265,102 | 29,377 | |
Issued in Lieu of Cash Distributions | 242,660 | 1,768 | 616,726 | 4,188 | |
Redeemed | (1,804,522) | (12,701) | (3,829,240) | (26,405) | |
Net Increase (Decrease)—Admiral Shares | (70,519) | (506) | 1,052,588 | 7,160 | |
Institutional Shares | |||||
Issued | 1,257,128 | 57,103 | 2,230,405 | 98,845 | |
Issued in Lieu of Cash Distributions | 125,971 | 5,933 | 311,998 | 13,695 | |
Redeemed | (892,377) | (40,438) | (2,320,764) | (103,325) | |
Net Increase (Decrease)—Institutional Shares | 490,722 | 22,598 | 221,639 | 9,215 |
Current Period Transactions | ||||||||
Jan. 31, 2022 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Jul. 31, 2022 Market Value ($000) | |
Easterly Government Properties Inc. | 90,343 | 5,544 | 16,623 | (251) | (2,921) | 2,164 | — | NA 2 |
Equity Commonwealth | NA 3 | 10,687 | 27,803 | (1,498) | 12,511 | — | — | NA 2 |
Hudson Pacific Properties Inc. | NA 3 | 11,338 | 17,834 | (4,079) | (57,207) | 3,572 | — | NA 2 |
Vanguard Market Liquidity Fund | 147,613 | NA 4 | NA 4 | (50) | (14) | 645 | — | 482,239 |
Vanguard Real Estate II Index Fund | 9,542,041 | 117,477 | — | — | (683,638) | 117,477 | — | 8,978,201 |
VICI Properties Inc. | NA 3,5 | 488,161 | 282,110 | 27,277 | 252,463 | 24,840 | — | NA 2 |
Total | 9,779,997 | 633,207 | 344,370 | 21,399 | (478,806) | 148,698 | — | 9,460,440 |
1 | Does not include adjustments related to return of capital. |
2 | Not applicable—at July 31, 2022, the security was still held, but the issuer was no longer an affiliated company of the fund. |
3 | Not applicable—at January 31, 2022, the issuer was not an affiliated company of the fund. |
4 | Not applicable—purchases and sales are for temporary cash investment purposes. |
5 | Not applicable—in April 2022, VICI Properties Inc. acquired MGM Growth Properties LLC. |
I. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, that would require recognition or disclosure in these financial statements. |
Diversified Real Estate Activities | 0.1% |
Diversified REITs | 2.7 |
Health Care REITs | 8.1 |
Hotel & Resort REITs | 2.5 |
Industrial REITs | 11.6 |
Office REITs | 5.9 |
Real Estate Development | 0.2 |
Real Estate Operating Companies | 0.5 |
Real Estate Services | 4.0 |
Residential REITs | 15.2 |
Retail REITs | 11.3 |
Specialized REITs | 37.9 |
Shares | Market Value• ($000) | |||||
Equity Real Estate Investment Trusts (REITs) (95.0%) | ||||||
Diversified REITs (2.7%) | ||||||
WP Carey Inc. | 1,158,931 | 103,493 | ||||
STORE Capital Corp. | 1,498,233 | 43,479 | ||||
Broadstone Net Lease Inc. | 993,672 | 22,527 | ||||
Essential Properties Realty Trust Inc. | 763,637 | 18,419 | ||||
Global Net Lease Inc. | 631,098 | 9,523 | ||||
American Assets Trust Inc. | 312,892 | 9,459 | ||||
Alexander & Baldwin Inc. | 440,954 | 8,779 | ||||
Empire State Realty Trust Inc. Class A | 874,766 | 7,462 | ||||
iStar Inc. | 420,079 | 7,019 | ||||
Armada Hoffler Properties Inc. | 409,794 | 5,811 | ||||
Gladstone Commercial Corp. | 229,328 | 4,804 | ||||
One Liberty Properties Inc. | 101,863 | 2,827 | ||||
243,602 | ||||||
Health Care REITs (8.1%) | ||||||
Welltower Inc. | 2,719,606 | 234,811 | ||||
Ventas Inc. | 2,429,055 | 130,635 | ||||
Healthpeak Properties Inc. | 3,279,150 | 90,603 | ||||
Medical Properties Trust Inc. | 3,628,739 | 62,559 | ||||
Healthcare Realty Trust Inc. Class A | 2,314,798 | 60,763 | ||||
Omega Healthcare Investors Inc. | 1,453,889 | 45,071 | ||||
Physicians Realty Trust | 1,367,537 | 24,301 | ||||
Sabra Health Care REIT Inc. | 1,403,911 | 21,606 | ||||
National Health Investors Inc. | 278,772 | 18,076 | ||||
CareTrust REIT Inc. | 590,124 | 12,186 | ||||
LTC Properties Inc. | 240,295 | 10,068 | ||||
Community Healthcare Trust Inc. | 144,816 | 5,641 | ||||
Global Medical REIT Inc. | 371,042 | 4,519 |
Shares | Market Value• ($000) | |||||
Universal Health Realty Income Trust | 79,609 | 4,291 | ||||
Diversified Healthcare Trust | 1,449,979 | 2,508 | ||||
727,638 | ||||||
Hotel & Resort REITs (2.5%) | ||||||
Host Hotels & Resorts Inc. | 4,342,314 | 77,337 | ||||
* | Ryman Hospitality Properties Inc. | 318,097 | 28,164 | |||
Apple Hospitality REIT Inc. | 1,318,391 | 21,991 | ||||
Park Hotels & Resorts Inc. | 1,037,833 | 16,180 | ||||
Pebblebrook Hotel Trust | 799,484 | 15,638 | ||||
* | Sunstone Hotel Investors Inc. | 1,333,564 | 15,109 | |||
RLJ Lodging Trust | 1,012,853 | 12,650 | ||||
* | DiamondRock Hospitality Co. | 1,281,877 | 11,896 | |||
* | Xenia Hotels & Resorts Inc. | 694,712 | 11,407 | |||
Service Properties Trust | 1,004,752 | 6,571 | ||||
* | Summit Hotel Properties Inc. | 647,605 | 5,084 | |||
* | Chatham Lodging Trust | 280,859 | 3,415 | |||
225,442 | ||||||
Industrial REITs (11.6%) | ||||||
Prologis Inc. | 4,499,479 | 596,451 | ||||
Duke Realty Corp. | 2,327,380 | 145,601 | ||||
Rexford Industrial Realty Inc. | 976,154 | 63,850 | ||||
Americold Realty Trust Inc. | 1,381,262 | 45,236 | ||||
EastGroup Properties Inc. | 250,819 | 42,775 | ||||
First Industrial Realty Trust Inc. | 801,263 | 41,625 | ||||
STAG Industrial Inc. | 1,082,003 | 35,468 | ||||
Terreno Realty Corp. | 459,057 | 28,760 | ||||
LXP Industrial Trust | 1,736,639 | 19,051 | ||||
Innovative Industrial Properties Inc. | 155,821 | 15,023 | ||||
Plymouth Industrial REIT Inc. | 222,529 | 4,286 | ||||
Industrial Logistics Properties Trust | 398,082 | 3,993 | ||||
1,042,119 |
Shares | Market Value• ($000) | |||||
Office REITs (5.9%) | ||||||
Alexandria Real Estate Equities Inc. | 923,884 | 153,161 | ||||
Boston Properties Inc. | 905,004 | 82,500 | ||||
Kilroy Realty Corp. | 638,690 | 34,604 | ||||
Vornado Realty Trust | 990,820 | 30,111 | ||||
Cousins Properties Inc. | 903,950 | 27,887 | ||||
Douglas Emmett Inc. | 1,068,361 | 25,256 | ||||
Highwoods Properties Inc. | 637,664 | 22,682 | ||||
SL Green Realty Corp. | 393,738 | 19,549 | ||||
* | Equity Commonwealth | 687,473 | 19,284 | |||
Corporate Office Properties Trust | 682,859 | 19,222 | ||||
JBG SMITH Properties | 697,898 | 17,755 | ||||
Hudson Pacific Properties Inc. | 919,272 | 13,826 | ||||
Piedmont Office Realty Trust Inc. Class A | 749,588 | 10,314 | ||||
Easterly Government Properties Inc. Class A | 497,600 | 10,086 | ||||
Brandywine Realty Trust | 1,040,730 | 9,731 | ||||
Paramount Group Inc. | 1,066,693 | 8,374 | ||||
* | Veris Residential Inc. | 470,485 | 6,563 | |||
Office Properties Income Trust | 294,714 | 6,124 | ||||
Orion Office REIT Inc. | 343,992 | 3,763 | ||||
City Office REIT Inc. | 264,882 | 3,735 | ||||
Franklin Street Properties Corp. | 633,398 | 2,401 | ||||
526,928 | ||||||
Residential REITs (15.2%) | ||||||
AvalonBay Communities Inc. | 849,741 | 181,794 | ||||
Equity Residential | 2,171,420 | 170,218 | ||||
Invitation Homes Inc. | 3,694,748 | 144,206 | ||||
Mid-America Apartment Communities Inc. | 701,313 | 130,255 | ||||
Sun Communities Inc. | 705,091 | 115,607 | ||||
Essex Property Trust Inc. | 396,917 | 113,729 | ||||
UDR Inc. | 1,935,170 | 93,662 | ||||
Camden Property Trust | 597,449 | 84,300 | ||||
Equity LifeStyle Properties Inc. | 1,074,046 | 78,964 | ||||
American Homes 4 Rent Class A | 1,902,291 | 72,059 | ||||
American Campus Communities Inc. | 855,959 | 55,911 | ||||
Apartment Income REIT Corp. Class A | 954,478 | 43,276 | ||||
Independence Realty Trust Inc. | 1,343,606 | 29,828 | ||||
Washington REIT | 531,381 | 11,781 | ||||
NexPoint Residential Trust Inc. | 139,744 | 9,298 | ||||
Centerspace | 91,356 | 7,846 | ||||
* | Apartment Investment & Management Co. Class A | 926,197 | 7,706 |
Shares | Market Value• ($000) | |||||
UMH Properties Inc. | 300,645 | 6,407 | ||||
Bluerock Residential Growth REIT Inc. Class A | 177,745 | 4,669 | ||||
1,361,516 | ||||||
Retail REITs (11.2%) | ||||||
Realty Income Corp. | 3,595,410 | 266,024 | ||||
Simon Property Group Inc. | 1,997,923 | 217,054 | ||||
Kimco Realty Corp. | 3,749,466 | 82,901 | ||||
Regency Centers Corp. | 937,819 | 60,424 | ||||
National Retail Properties Inc. | 1,067,872 | 50,841 | ||||
Federal Realty OP LP | 430,218 | 45,435 | ||||
Brixmor Property Group Inc. | 1,810,950 | 41,978 | ||||
Agree Realty Corp. | 433,430 | 34,497 | ||||
Spirit Realty Capital Inc. | 776,693 | 34,439 | ||||
Kite Realty Group Trust | 1,331,222 | 26,478 | ||||
1 | Phillips Edison & Co. Inc. | 689,529 | 23,472 | |||
SITE Centers Corp. | 1,155,888 | 16,887 | ||||
Macerich Co. | 1,295,245 | 13,743 | ||||
Retail Opportunity Investments Corp. | 746,485 | 13,034 | ||||
InvenTrust Properties Corp. | 409,468 | 11,739 | ||||
Urban Edge Properties | 714,031 | 11,732 | ||||
Tanger Factory Outlet Centers Inc. | 633,048 | 10,300 | ||||
Acadia Realty Trust | 543,264 | 9,306 | ||||
Getty Realty Corp. | 241,693 | 7,091 | ||||
Necessity Retail REIT Inc. Class A | 789,954 | 6,154 | ||||
RPT Realty | 514,604 | 5,594 | ||||
NETSTREIT Corp. | 269,457 | 5,524 | ||||
Saul Centers Inc. | 86,333 | 4,513 | ||||
Alexander's Inc. | 13,988 | 3,406 | ||||
Urstadt Biddle Properties Inc. Class A | 183,284 | 3,372 | ||||
1 | CBL & Associates Properties Inc. | 77,067 | 2,373 | |||
*,2 | Spirit MTA REIT | 257,871 | — | |||
1,008,311 | ||||||
Specialized REITs (37.8%) | ||||||
American Tower Corp. | 2,771,941 | 750,725 | ||||
Crown Castle International Corp. | 2,628,026 | 474,779 | ||||
Equinix Inc. | 551,619 | 388,196 | ||||
Public Storage | 958,397 | 312,830 | ||||
Digital Realty Trust Inc. | 1,729,681 | 229,096 | ||||
SBA Communications Corp. | 661,432 | 222,102 | ||||
VICI Properties Inc. | 5,852,569 | 200,099 | ||||
Weyerhaeuser Co. | 4,537,971 | 164,819 | ||||
Extra Space Storage Inc. | 814,116 | 154,291 | ||||
Iron Mountain Inc. | 1,762,257 | 85,452 | ||||
Gaming & Leisure Properties Inc. | 1,429,876 | 74,339 | ||||
Life Storage Inc. | 508,870 | 64,062 |
Shares | Market Value• ($000) | |||||
CubeSmart | 1,362,038 | 62,477 | ||||
Lamar Advertising Co. Class A | 528,094 | 53,369 | ||||
Rayonier Inc. | 883,921 | 33,368 | ||||
National Storage Affiliates Trust | 526,821 | 28,891 | ||||
EPR Properties | 455,790 | 24,526 | ||||
PotlatchDeltic Corp. | 420,033 | 20,594 | ||||
Uniti Group Inc. | 1,435,498 | 14,312 | ||||
Four Corners Property Trust Inc. | 488,552 | 14,281 | ||||
Outfront Media Inc. | 755,826 | 13,953 | ||||
Gladstone Land Corp. | 198,008 | 5,368 | ||||
Safehold Inc. | 103,439 | 4,411 | ||||
3,396,340 | ||||||
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,717,716) | 8,531,896 | |||||
Real Estate Management & Development (4.8%) | ||||||
Diversified Real Estate Activities (0.1%) | ||||||
St. Joe Co. | 196,789 | 8,269 | ||||
RMR Group Inc. Class A | 94,242 | 2,724 | ||||
10,993 | ||||||
Real Estate Development (0.2%) | ||||||
* | Howard Hughes Corp. | 251,409 | 17,822 | |||
* | Forestar Group Inc. | 120,847 | 1,673 | |||
19,495 | ||||||
Real Estate Operating Companies (0.5%) | ||||||
* | DigitalBridge Group Inc. | 3,459,676 | 18,959 | |||
Kennedy-Wilson Holdings Inc. | 754,484 | 15,588 | ||||
*,1 | WeWork Inc. | 1,071,100 | 5,109 | |||
* | Seritage Growth Properties Class A | 213,098 | 2,561 | |||
* | FRP Holdings Inc. | 37,335 | 2,203 | |||
44,420 | ||||||
Real Estate Services (4.0%) | ||||||
* | CBRE Group Inc. Class A | 2,034,952 | 174,233 | |||
* | Jones Lang LaSalle Inc. | 303,333 | 57,837 | |||
* | Zillow Group Inc. Class C | 996,489 | 34,758 | |||
* | Cushman & Wakefield plc | 883,283 | 14,839 |
Shares | Market Value• ($000) | |||||
Newmark Group Inc. Class A | 1,162,909 | 13,257 | ||||
* | Zillow Group Inc. Class A | 378,600 | 13,251 | |||
* | Opendoor Technologies Inc. | 2,463,977 | 12,098 | |||
* | Anywhere Real Estate Inc. | 709,473 | 7,045 | |||
Marcus & Millichap Inc. | 156,652 | 6,410 | ||||
1 | eXp World Holdings Inc. | 406,749 | 6,044 | |||
* | Compass Inc. Class A | 1,366,823 | 5,221 | |||
* | Redfin Corp. | 581,335 | 5,058 | |||
RE/MAX Holdings Inc. Class A | 114,441 | 2,900 | ||||
Douglas Elliman Inc. | 424,547 | 2,547 | ||||
*,1 | Offerpad Solutions Inc. | 348,555 | 735 | |||
*,1 | Doma Holdings Inc. | 581,481 | 432 | |||
356,665 | ||||||
Total Real Estate Management & Development (Cost $511,284) | 431,573 | |||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 1.903% (Cost $26,840) | 268,507 | 26,840 | |||
Total Investments (100.1%) (Cost $7,255,840) | 8,990,309 | |||||
Other Assets and Liabilities—Net (-0.1%) | (12,108) | |||||
Net Assets (100%) | 8,978,201 |
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 $13,847,000. |
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 $14,336,000 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 Inc. | 1/31/23 | GSI | 7,788 | (2.093) | 396 | — |
Park Hotels & Resorts Inc. | 1/31/23 | GSI | 5,544 | (2.110) | 690 | — |
1,086 | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $7,229,000) | 8,963,469 |
Affiliated Issuers (Cost $26,840) | 26,840 |
Total Investments in Securities | 8,990,309 |
Investment in Vanguard | 316 |
Receivables for Investment Securities Sold | 1,218 |
Receivables for Accrued Income | 16,915 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,086 |
Total Assets | 9,009,844 |
Liabilities | |
Due to Custodian | 1,218 |
Payables for Investment Securities Purchased | 15,788 |
Collateral for Securities on Loan | 14,336 |
Payables to Vanguard | 301 |
Total Liabilities | 31,643 |
Net Assets | 8,978,201 |
1 Includes $13,847 of securities on loan. | |
At July 31, 2022, net assets consisted of: | |
Paid-in Capital | 7,206,235 |
Total Distributable Earnings (Loss) | 1,771,966 |
Net Assets | 8,978,201 |
Net Assets | |
Applicable to 376,527,417 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,978,201 |
Net Asset Value Per Share | $23.84 |
Six Months Ended July 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 142,749 |
Interest 1 | 17 |
Securities Lending—Net | 70 |
Total Income | 142,836 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 618 |
Management and Administrative | 2,872 |
Marketing and Distribution | 79 |
Custodian Fees | 13 |
Shareholders’ Reports | — |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 6 |
Total Expenses | 3,590 |
Expenses Paid Indirectly | (1) |
Net Expenses | 3,589 |
Net Investment Income | 139,247 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received | 5,521 |
Investment Securities Sold1 | 14,480 |
Swap Contracts | (1,523) |
Realized Net Gain (Loss) | 18,478 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (722,651) |
Swap Contracts | 1,086 |
Change in Unrealized Appreciation (Depreciation) | (721,565) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (563,840) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $17,000, ($6,000), and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 139,247 | 176,897 | |
Realized Net Gain (Loss) | 18,478 | 53,384 | |
Change in Unrealized Appreciation (Depreciation) | (721,565) | 1,912,230 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (563,840) | 2,142,511 | |
Distributions | |||
Net Investment Income and/or Realized Capital Gains | (117,477) | (186,333) | |
Return of Capital | — | (76,790) | |
Total Distributions | (117,477) | (263,123) | |
Capital Share Transactions | |||
Issued | — | — | |
Issued in Lieu of Cash Distributions | 117,477 | 263,123 | |
Redeemed | — | — | |
Net Increase (Decrease) from Capital Share Transactions | 117,477 | 263,123 | |
Total Increase (Decrease) | (563,840) | 2,142,511 | |
Net Assets | |||
Beginning of Period | 9,542,041 | 7,399,530 | |
End of Period | 8,978,201 | 9,542,041 |
For a Share Outstanding Throughout Each Period | Six Months Ended July 31, 2022 | Year Ended January 31, | September 26, 20171 to January 31, 2018 | |||
2022 | 2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $25.69 | $20.50 | $22.64 | $20.10 | $19.17 | $20.00 |
Investment Operations | ||||||
Net Investment Income2 | .373 | .484 | .471 | .571 | .611 | .268 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.908) | 5.427 | (1.808) | 2.752 | 1.176 | (.834) |
Total from Investment Operations | (1.535) | 5.911 | (1.337) | 3.323 | 1.787 | (.566) |
Distributions | ||||||
Dividends from Net Investment Income | (.315) | (.477) | (.465) | (.590) | (.626) | (.225) |
Distributions from Realized Capital Gains | — | (.034) | — | — | — | (.030) |
Return of Capital | — | (.210) | (.338) | (.193) | (.231) | (.009) |
Total Distributions | (.315) | (.721) | (.803) | (.783) | (.857) | (.264) |
Net Asset Value, End of Period | $23.84 | $25.69 | $20.50 | $22.64 | $20.10 | $19.17 |
Total Return | -5.93% | 28.96% | -5.70% | 16.78% | 9.68% | -2.89% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,978 | $9,542 | $7,400 | $7,848 | $6,719 | $6,126 |
Ratio of Total Expenses to Average Net Assets | 0.08% 3 | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% 4 |
Ratio of Net Investment Income to Average Net Assets | 2.90% | 1.95% | 2.41% | 2.63% | 3.22% | 3.84% 4 |
Portfolio Turnover Rate | 3% | 6% | 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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
4 | 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets). |
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 | ||||
Common Stocks | 8,963,469 | — | — | 8,963,469 |
Temporary Cash Investments | 26,840 | — | — | 26,840 |
Total | 8,990,309 | — | — | 8,990,309 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 1,086 | — | 1,086 |
E. | As of July 31, 2022, 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 | 7,288,336 |
Gross Unrealized Appreciation | 2,502,589 |
Gross Unrealized Depreciation | (799,530) |
Net Unrealized Appreciation (Depreciation) | 1,703,059 |
F. | During the six months ended July 31, 2022, the fund purchased $461,971,000 of investment securities and sold $306,012,000 of investment securities, other than temporary cash investments. |
G. | Capital shares issued and redeemed were: |
Six Months Ended July 31, 2022 | Year Ended January 31, 2022 | ||
Shares (000) | Shares (000) | ||
Issued | — | — | |
Issued in Lieu of Cash Distributions | 5,076 | 10,506 | |
Redeemed | — | — | |
Net Increase (Decrease) in Shares Outstanding | 5,076 | 10,506 |
H. | Management has determined that no events or transactions occurred subsequent to July 31, 2022, that would require recognition or disclosure in these financial statements. |
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U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
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.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
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 filed 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 19, 2022
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 19, 2022
VANGUARD FIXED INCOME SECURITIES FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER | ||
Date: September 19, 2022
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.