Vanguard® Ultra-Short-Term Bond Fund
Schedule of Investments (unaudited)
As of October 31, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (3.8%) | ||||||
U.S. Government Securities (3.8%) | ||||||
1 | United States Treasury Note/Bond | 0.125% | 8/31/23 | 320,000 | 308,000 | |
United States Treasury Note/Bond | 0.375% | 10/31/23 | 275,300 | 263,772 | ||
Total U.S. Government and Agency Obligations (Cost $574,197) | 571,772 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (14.3%) | ||||||
2 | Ally Auto Receivables Trust Class A2 Series 2022-2 | 4.620% | 10/15/23 | 35,500 | 35,289 | |
2,3 | American Credit Acceptance Receivables Trust Class A Series 2021-4 | 0.450% | 9/15/25 | 2,765 | 2,760 | |
2,3 | American Credit Acceptance Receivables Trust Class B Series 2021-2 | 0.680% | 5/13/25 | 845 | 844 | |
2,3 | American Credit Acceptance Receivables Trust Class B Series 2021-3 | 0.660% | 2/13/26 | 10,034 | 9,981 | |
2,3 | American Credit Acceptance Receivables Trust Class B Series 2021-4 | 0.860% | 2/13/26 | 9,200 | 9,080 | |
2 | AmeriCredit Automobile Receivables Trust Class A2 Series 2021-2 | 0.260% | 11/18/24 | 3,710 | 3,695 | |
2 | AmeriCredit Automobile Receivables Trust Class A2 Series 2021-3 | 0.410% | 2/18/25 | 9,957 | 9,872 | |
2 | AmeriCredit Automobile Receivables Trust Class A2A Series 2022-2 | 4.200% | 12/18/25 | 45,610 | 45,217 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2020-2 | 0.660% | 12/18/24 | 1,453 | 1,446 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2020-3 | 0.530% | 6/18/25 | 7,056 | 6,956 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-1 | 0.370% | 8/18/25 | 10,346 | 10,133 | |
2 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2 | 0.340% | 12/18/26 | 8,320 | 8,003 | |
2 | AmeriCredit Automobile Receivables Trust Class B Series 2019-3 | 2.130% | 7/18/25 | 7,825 | 7,805 | |
2 | AmeriCredit Automobile Receivables Trust Class C Series 2018-2 | 3.590% | 6/18/24 | 514 | 514 | |
2 | AmeriCredit Automobile Receivables Trust Class C Series 2020-2 | 1.480% | 2/18/26 | 2,520 | 2,404 | |
2,3 | ARI Fleet Lease Trust Class A2 Series 2021-A | 0.370% | 3/15/30 | 5,150 | 5,037 | |
2,3 | ARI Fleet Lease Trust Class A2 Series 2022-A | 3.120% | 1/15/31 | 3,530 | 3,447 | |
2,3 | ARI Fleet Lease Trust Class A3 Series 2022-A | 3.430% | 1/15/31 | 1,950 | 1,854 | |
2,3 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-2A | 2.970% | 3/20/24 | 7,792 | 7,755 | |
2 | BMW Vehicle Lease Trust Class A2 Series 2022-1 | 0.670% | 5/28/24 | 12,805 | 12,671 | |
2 | BMW Vehicle Owner Trust Class A4 Series 2020-A | 0.620% | 4/26/27 | 4,230 | 4,028 | |
2,3,4 | Brass No. 10 plc Class A1 Series 10A | 0.669% | 4/16/69 | 8,562 | 8,095 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2,4 | Brazos Higher Education Authority Inc. Class A2 Series 2011-1, 3M USD LIBOR + 0.800% | 3.797% | 2/25/30 | 22 | 22 | |
2,3 | Canadian Pacer Auto Receivables Trust Class A2A Series 2021-1A | 0.240% | 10/19/23 | 1,233 | 1,229 | |
2 | Capital One Prime Auto Receivables Trust Class A2 Series 2021-1 | 0.320% | 2/18/25 | 10,801 | 10,643 | |
2 | Capital One Prime Auto Receivables Trust Class A2a Series 2022-2 | 3.740% | 9/15/25 | 10,780 | 10,669 | |
2 | CarMax Auto Owner Trust Class A2 Series 2022-1 | 0.910% | 2/18/25 | 19,102 | 18,838 | |
2 | CarMax Auto Owner Trust Class A2A Series 2021-2 | 0.270% | 6/17/24 | 663 | 662 | |
2 | CarMax Auto Owner Trust Class A2A Series 2021-3 | 0.290% | 9/16/24 | 4,265 | 4,230 | |
2 | CarMax Auto Owner Trust Class A2A Series 2021-4 | 0.240% | 11/15/24 | 9,512 | 9,427 | |
2 | CarMax Auto Owner Trust Class A3 Series 2020-3 | 0.620% | 3/17/25 | 19,427 | 19,071 | |
2 | CarMax Auto Owner Trust Class A3 Series 2022-2 | 3.490% | 2/16/27 | 3,680 | 3,575 | |
2 | CarMax Auto Owner Trust Class A4 Series 2020-3 | 0.770% | 3/16/26 | 4,660 | 4,409 | |
2 | Carvana Auto Receivables Trust Class A2 Series 2021-P3 | 0.380% | 1/10/25 | 7,221 | 7,141 | |
2 | Carvana Auto Receivables Trust Class A3 Series 2022-P1 | 3.350% | 2/10/27 | 5,700 | 5,490 | |
2,3 | Chase Auto Owner Trust Class A2 Series 2022-A | 3.860% | 10/27/25 | 14,500 | 14,342 | |
2,3 | Chesapeake Funding II LLC Class A1 Series 2019-1A | 2.940% | 4/15/31 | 25 | 25 | |
2,3 | Chesapeake Funding II LLC Class A1 Series 2020-1A | 0.870% | 8/15/32 | 6,775 | 6,696 | |
2 | CNH Equipment Trust Class A2 Series 2021-C | 0.330% | 1/15/25 | 9,618 | 9,438 | |
2 | CNH Equipment Trust Class A2 Series 2022-B | 3.940% | 12/15/25 | 8,800 | 8,703 | |
2 | CNH Equipment Trust Class A3 Series 2020-A | 1.160% | 6/16/25 | 3,712 | 3,647 | |
2 | CNH Equipment Trust Class A4 Series 2020-A | 1.510% | 4/15/27 | 2,250 | 2,143 | |
2 | COMM Mortgage Trust Class A2 Series 2014-CR14 | 3.147% | 2/10/47 | 26 | 26 | |
2 | COMM Mortgage Trust Class ASB Series 2014-CCRE16 | 3.653% | 4/10/47 | 1,659 | 1,642 | |
2,3,4,5 | Connecticut Avenue Securities Trust Class 1M1 Series 2021-R01, SOFR + 0.750% | 3.747% | 10/25/41 | 10,612 | 10,593 | |
2 | Daimler Trucks Retail Trust Class A2 Series 2022-1 | 5.070% | 9/16/24 | 12,110 | 12,072 | |
2,3 | Dell Equipment Finance Trust Class A2 Series 2021-1 | 0.330% | 5/22/26 | 4,906 | 4,884 | |
2,3 | Dell Equipment Finance Trust Class A2 Series 2021-2 | 0.330% | 12/22/26 | 8,381 | 8,234 | |
2,3 | Dell Equipment Finance Trust Class A2 Series 2022-2 | 4.030% | 7/22/27 | 14,410 | 14,229 | |
2,3 | Dell Equipment Finance Trust Class A3 Series 2020-2 | 0.570% | 10/23/23 | 12,860 | 12,689 | |
2,3 | DLLAA LLC Class A2 Series 2021-1A | 0.360% | 5/17/24 | 4,666 | 4,627 | |
2,3 | DLLAD LLC Class A2 Series 2021-1A | 0.350% | 9/20/24 | 10,305 | 10,111 | |
2,3 | Dllmt LLC Class A2 Series 2021-1 | 0.600% | 3/20/24 | 15,082 | 14,854 | |
2,3 | DLLST LLC Class A3 Series 2022-1A | 3.400% | 1/21/25 | 11,000 | 10,707 | |
2,3 | DLLST LLC Class A4 Series 2022-1A | 3.690% | 9/20/28 | 2,810 | 2,706 | |
2,3 | Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2 | 0.560% | 12/11/34 | 7,033 | 6,802 | |
2 | Drive Auto Receivables Trust Class A3 Series 2021-2 | 0.350% | 3/17/25 | 6,106 | 6,095 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2 | Drive Auto Receivables Trust Class A3 Series 2021-3 | 0.790% | 10/15/25 | 28,840 | 28,536 | |
2 | Drive Auto Receivables Trust Class B Series 2021-1 | 0.650% | 7/15/25 | 4,544 | 4,531 | |
2 | Drive Auto Receivables Trust Class C Series 2020-2 | 2.280% | 8/17/26 | 1,195 | 1,184 | |
2 | Drive Auto Receivables Trust Class D Series 2018-5 | 4.300% | 4/15/26 | 3,167 | 3,159 | |
2 | Drive Auto Receivables Trust Class D Series 2019-1 | 4.090% | 6/15/26 | 762 | 759 | |
2 | Drive Auto Receivables Trust Class D Series 2019-4 | 2.700% | 2/16/27 | 2,109 | 2,069 | |
2 | Drive Auto Receivables Trust Class D Series 2020-1 | 2.700% | 5/17/27 | 2,130 | 2,085 | |
2,3 | DT Auto Owner Trust Class A Series 2021-1A | 0.350% | 1/15/25 | 203 | 201 | |
2,3 | DT Auto Owner Trust Class A Series 2021-2A | 0.410% | 3/17/25 | 3,543 | 3,516 | |
2,3 | DT Auto Owner Trust Class A Series 2021-3A | 0.330% | 4/15/25 | 8,897 | 8,788 | |
2,3 | DT Auto Owner Trust Class A Series 2021-4 | 0.560% | 9/15/25 | 6,949 | 6,808 | |
2,3 | DT Auto Owner Trust Class A Series 2022-2A | 2.880% | 6/15/26 | 6,760 | 6,639 | |
2,3 | Enterprise Fleet Financing LLC Class A2 Series 2020-2 | 0.610% | 7/20/26 | 9,762 | 9,471 | |
2,3 | Enterprise Fleet Financing LLC Class A2 Series 2021-1 | 0.440% | 12/21/26 | 4,013 | 3,871 | |
2,3 | Enterprise Fleet Financing LLC Class A2 Series 2021-2 | 0.480% | 5/20/27 | 12,673 | 12,089 | |
2,3 | Enterprise Fleet Financing LLC Class A2 Series 2021-3 | 0.770% | 8/20/27 | 11,007 | 10,488 | |
2 | Exeter Automobile Receivables Trust Class A3 Series 2021-3A | 0.350% | 2/18/25 | 3,546 | 3,541 | |
2 | Exeter Automobile Receivables Trust Class A3 Series 2021-4A | 0.680% | 7/15/25 | 12,533 | 12,466 | |
2 | Exeter Automobile Receivables Trust Class A3 Series 2022-2A | 2.800% | 11/17/25 | 18,000 | 17,752 | |
2,3,4,5 | Fannie Mae Connecticut Avenue Securities Class 2M1 Series 2021-R02, SOFR + 0.900% | 3.897% | 11/25/41 | 18,530 | 18,050 | |
2,3 | Flagship Credit Auto Trust Class A Series 2020-3 | 0.700% | 4/15/25 | 1,198 | 1,195 | |
2,3 | Flagship Credit Auto Trust Class A Series 2021-1 | 0.310% | 6/16/25 | 2,009 | 1,988 | |
2,3 | Flagship Credit Auto Trust Class A Series 2021-2 | 0.370% | 12/15/26 | 9,300 | 9,153 | |
2,3 | Flagship Credit Auto Trust Class A Series 2021-3 | 0.360% | 7/15/27 | 19,141 | 18,420 | |
2,3 | Flagship Credit Auto Trust Class A Series 2021-4 | 0.810% | 7/17/26 | 11,483 | 11,132 | |
2 | Ford Credit Auto Lease Trust Class A2 Series 2021-B | 0.240% | 4/15/24 | 3,082 | 3,059 | |
2 | Ford Credit Auto Lease Trust Class A3 Series 2021-B | 0.370% | 10/15/24 | 43,720 | 42,310 | |
2 | Ford Credit Auto Lease Trust Class A4 Series 2022-A | 3.370% | 7/15/25 | 2,630 | 2,543 | |
2 | Ford Credit Auto Lease Trust Class B Series 2020-B | 1.000% | 11/15/23 | 3,389 | 3,383 | |
2 | Ford Credit Auto Lease Trust Class C Series 2021-A | 0.780% | 9/15/25 | 10,450 | 10,091 | |
2 | Ford Credit Auto Lease Trust Class C Series 2022-A | 4.180% | 10/15/25 | 8,350 | 8,113 | |
2,3 | Ford Credit Auto Owner Trust Class A Series 2018-2 | 3.470% | 1/15/30 | 23,140 | 22,856 | |
2,3 | Ford Credit Auto Owner Trust Class A Series 2019-1 | 3.520% | 7/15/30 | 30,270 | 29,658 | |
2 | Ford Credit Auto Owner Trust Class A2A Series 2022-B | 3.440% | 2/15/25 | 23,500 | 23,275 | |
2 | Ford Credit Auto Owner Trust Class A2A Series 2022-C | 4.520% | 4/15/25 | 16,970 | 16,895 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2 | Ford Credit Auto Owner Trust Class A3 Series 2020-A | 1.040% | 8/15/24 | 2,391 | 2,364 | |
2 | Ford Credit Auto Owner Trust Class A3 Series 2020-B | 0.560% | 10/15/24 | 21,663 | 21,377 | |
2 | Ford Credit Auto Owner Trust Class A4 Series 2019-A | 2.850% | 8/15/24 | 6,089 | 6,073 | |
2 | Ford Credit Auto Owner Trust Class A4 Series 2020-A | 1.350% | 7/15/25 | 2,340 | 2,248 | |
2 | Ford Credit Auto Owner Trust Class A4 Series 2021-A | 0.300% | 4/15/24 | 3,500 | 3,450 | |
2 | Ford Credit Floorplan Master Owner Trust A Class C Series 2020-1 | 1.420% | 9/15/25 | 4,790 | 4,595 | |
2 | Ford Credit Floorplan Master Owner Trust Class A Series 2020-1B | 0.980% | 9/15/25 | 5,200 | 4,966 | |
2 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2020-1 | 0.700% | 9/15/25 | 52,100 | 50,050 | |
2 | Ford Credit Floorplan Master Owner Trust Class D Series 2020-1 | 2.120% | 9/15/25 | 6,730 | 6,504 | |
2,3,4,5 | Freddie Mac STACR REMICS Trust Class M1 Series 2021-DNA6, SOFR30A + 0.800% | 3.797% | 10/25/41 | 19,430 | 18,976 | |
2,3 | GLS Auto Receivables Issuer Trust Class A Series 2021-3A | 0.420% | 1/15/25 | 5,157 | 5,124 | |
2,3 | GLS Auto Receivables Issuer Trust Class A Series 2021-4A | 0.840% | 7/15/25 | 11,306 | 11,123 | |
2,3 | GLS Auto Receivables Trust Class A Series 2021-2A | 0.310% | 11/15/24 | 452 | 451 | |
2,3 | GLS Auto Receivables Trust Class A Series 2022-1A | 1.980% | 8/15/25 | 10,261 | 10,110 | |
2 | GM Financial Automobile Leasing Trust Class A3 Series 2020-3 | 0.450% | 8/21/23 | 888 | 887 | |
2 | GM Financial Automobile Leasing Trust Class A3 Series 2021-2 | 0.340% | 5/20/24 | 33,858 | 33,315 | |
2 | GM Financial Automobile Leasing Trust Class A4 Series 2020-2 | 1.010% | 7/22/24 | 827 | 826 | |
2 | GM Financial Automobile Leasing Trust Class A4 Series 2020-3 | 0.510% | 10/21/24 | 6,440 | 6,405 | |
2 | GM Financial Automobile Leasing Trust Class A4 Series 2022-2 | 3.540% | 5/20/26 | 7,470 | 7,246 | |
2 | GM Financial Automobile Leasing Trust Class B Series 2022-2 | 4.020% | 5/20/26 | 5,250 | 5,097 | |
2 | GM Financial Automobile Leasing Trust Class C Series 2020-2 | 2.560% | 7/22/24 | 1,180 | 1,169 | |
2 | GM Financial Automobile Leasing Trust Class D Series 2020-2 | 3.210% | 12/20/24 | 1,680 | 1,663 | |
2 | GM Financial Automobile Leasing Trust Class D Series 2020-3 | 1.710% | 2/20/25 | 4,760 | 4,629 | |
2 | GM Financial Consumer Automobile Receivables Trust Class A2 Series 2022-1 | 0.760% | 2/18/25 | 13,702 | 13,460 | |
2 | GM Financial Consumer Automobile Receivables Trust Class A2a Series 2022-4 | 4.600% | 11/17/25 | 35,500 | 35,271 | |
2 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2020-2 | 1.490% | 12/16/24 | 5,345 | 5,278 | |
2 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2020-2 | 1.740% | 8/18/25 | 9,000 | 8,673 | |
2 | GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3 | 0.810% | 1/16/26 | 2,100 | 1,953 | |
2 | GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3 | 1.370% | 1/16/26 | 900 | 840 | |
2,3 | GMF Floorplan Owner Revolving Trust Class A Series 2020-1 | 0.680% | 8/15/25 | 10,940 | 10,560 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2,3 | GMF Floorplan Owner Revolving Trust Class A Series 2020-2 | 0.690% | 10/15/25 | 29,460 | 28,191 | |
2,3 | GMF Floorplan Owner Revolving Trust Class B Series 2020-1 | 1.030% | 8/15/25 | 1,670 | 1,610 | |
2,3 | GMF Floorplan Owner Revolving Trust Class C Series 2020-1 | 1.480% | 8/15/25 | 1,360 | 1,303 | |
2,4 | GS Mortgage Securities Trust Class B Series 2013-GC12 | 3.777% | 6/10/46 | 4,719 | 4,639 | |
2 | Harley-Davidson Motorcycle Trust Class A3 Series 2021-A | 0.370% | 4/15/26 | 7,465 | 7,275 | |
2 | Harley-Davidson Motorcycle Trust Class A3 Series 2022-A | 3.060% | 2/15/27 | 5,660 | 5,443 | |
2,3 | Hertz Vehicle Financing III LLC Class A Series 2022-3A | 3.370% | 3/25/25 | 14,780 | 14,309 | |
2,3 | Hertz Vehicle Financing III LLC Class C Series 2022-3A | 4.350% | 3/25/25 | 2,760 | 2,665 | |
2 | Honda Auto Receivables Owner Trust Class A2 Series 2022-2 | 3.810% | 3/18/25 | 9,900 | 9,790 | |
2 | Honda Auto Receivables Owner Trust Class A4 Series 2019-4 | 1.870% | 1/20/26 | 1,900 | 1,880 | |
2 | Honda Auto Receivables Owner Trust Class A4 Series 2020-2 | 1.090% | 10/15/26 | 4,730 | 4,550 | |
2 | Honda Auto Receivables Owner Trust Class A4 Series 2020-3 | 0.460% | 4/19/27 | 10,740 | 10,184 | |
2,3 | HPEFS Equipment Trust Class A2 Series 2021-1A | 0.270% | 3/20/31 | 2,323 | 2,318 | |
2,3 | HPEFS Equipment Trust Class A2 Series 2021-2A | 0.300% | 9/20/28 | 5,614 | 5,575 | |
2,3 | HPEFS Equipment Trust Class A2 Series 2022-1A | 1.020% | 5/21/29 | 13,946 | 13,672 | |
2,3 | HPEFS Equipment Trust Class A3 Series 2021-2A | 0.360% | 9/20/28 | 10,500 | 10,181 | |
2,3 | Hyundai Auto Lease Securitization Trust Class A2 Series 2021-C | 0.240% | 1/16/24 | 17,672 | 17,497 | |
2,3 | Hyundai Auto Lease Securitization Trust Class A2 Series 2022-A | 0.810% | 4/15/24 | 20,749 | 20,353 | |
2,3 | Hyundai Auto Lease Securitization Trust Class A3 Series 2020-B | 0.510% | 9/15/23 | 5,837 | 5,820 | |
2,3 | Hyundai Auto Lease Securitization Trust Class A3 Series 2021-A | 0.330% | 1/16/24 | 10,593 | 10,506 | |
2,3 | Hyundai Auto Lease Securitization Trust Class A3 Series 2021-B | 0.330% | 6/17/24 | 3,970 | 3,884 | |
2,3 | Hyundai Auto Lease Securitization Trust Class A4 Series 2020-B | 0.580% | 6/17/24 | 5,030 | 4,979 | |
2,3 | Hyundai Auto Lease Securitization Trust Class A4 Series 2021-A | 0.420% | 12/16/24 | 4,280 | 4,179 | |
2 | Hyundai Auto Receivables Trust Class A2 Series 2022-B | 3.640% | 5/15/25 | 12,500 | 12,365 | |
2 | Hyundai Auto Receivables Trust Class A2A Series 2021-C | 0.360% | 10/15/24 | 6,064 | 5,984 | |
2 | Hyundai Auto Receivables Trust Class A3 Series 2020-B | 0.480% | 12/16/24 | 9,323 | 9,184 | |
2 | Hyundai Auto Receivables Trust Class A4 Series 2019-B | 2.000% | 4/15/25 | 4,727 | 4,668 | |
2 | Hyundai Auto Receivables Trust Class A4 Series 2020-A | 1.720% | 6/15/26 | 9,260 | 8,855 | |
2 | Hyundai Auto Receivables Trust Class A4 Series 2020-B | 0.620% | 12/15/25 | 8,020 | 7,674 | |
2 | John Deere Owner Trust Class A2 Series 2022-B | 3.730% | 6/16/25 | 13,330 | 13,176 | |
2 | John Deere Owner Trust Class A3 Series 2020-B | 0.510% | 11/15/24 | 6,792 | 6,660 | |
2 | John Deere Owner Trust Class A4 Series 2020-B | 0.720% | 6/15/27 | 3,820 | 3,625 | |
2,3 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-1 | 0.875% | 9/25/28 | 10,251 | 9,877 | |
2,3 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-2 | 0.889% | 12/26/28 | 6,312 | 6,061 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2,3 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-3 | 0.760% | 2/26/29 | 12,024 | 11,261 | |
2,3 | JPMorgan Chase Bank NA - CACLN Class C Series 2020-2 | 1.139% | 2/25/28 | 904 | 878 | |
2,3 | JPMorgan Chase Bank NA - CACLN Class C Series 2021-1 | 1.024% | 9/25/28 | 6,356 | 6,115 | |
2,3 | JPMorgan Chase Bank NA Class B Series 2020-1 | 0.991% | 1/25/28 | 4,942 | 4,798 | |
2,3 | JPMorgan Chase Bank NA Class C Series 2020-1 | 1.389% | 1/25/28 | 518 | 507 | |
2,3 | JPMorgan Chase Bank NA Class D Series 2020-1 | 1.886% | 1/25/28 | 406 | 397 | |
2,3 | Kubota Credit Owner Trust Class A2 Series 2022-2A | 4.070% | 6/17/25 | 17,370 | 17,129 | |
2,3 | Kubota Credit Owner Trust Class A3 Series 2020-1 | 1.960% | 3/15/24 | 2,838 | 2,815 | |
2,3 | Kubota Credit Owner Trust Class A3 Series 2020-2 | 0.590% | 10/15/24 | 12,779 | 12,444 | |
2,3 | Kubota Credit Owner Trust Class A4 Series 2020-2 | 0.730% | 6/15/26 | 4,810 | 4,516 | |
2,3,4 | Lanark Master Issuer plc Class 1A Series 2020-1A | 2.277% | 12/22/69 | 720 | 719 | |
2,3 | Master Credit Card Trust II Class A Series 2020-1 | 1.990% | 9/21/24 | 5,320 | 5,263 | |
2 | Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B | 0.400% | 11/15/24 | 20,110 | 19,373 | |
2 | Mercedes-Benz Auto Lease Trust Class A4 Series 2020-B | 0.500% | 6/15/26 | 4,775 | 4,699 | |
2,3 | MMAF Equipment Finance LLC Class A2 Series 2020-A | 0.740% | 4/9/24 | 3,161 | 3,118 | |
2 | Nissan Auto Lease Trust Class A2 Series 2021-A | 0.300% | 12/15/23 | 15,163 | 15,064 | |
2 | Nissan Auto Lease Trust Class A3 Series 2020-B | 0.430% | 10/16/23 | 5,403 | 5,390 | |
2 | Nissan Auto Lease Trust Class A4 Series 2020-B | 0.490% | 1/15/26 | 6,930 | 6,840 | |
2 | Nissan Auto Receivables Owner Trust Class A2 Series 2022-B | 4.500% | 8/15/25 | 18,470 | 18,306 | |
2 | Nissan Auto Receivables Owner Trust Class A3 Series 2019-B | 2.500% | 11/15/23 | 153 | 153 | |
2 | Nissan Auto Receivables Owner Trust Class A3 Series 2020-A | 1.380% | 12/16/24 | 8,572 | 8,420 | |
2 | Nissan Auto Receivables Owner Trust Class A4 Series 2018-C | 3.270% | 6/16/25 | 622 | 621 | |
2 | Nissan Auto Receivables Owner Trust Class A4 Series 2020-A | 1.700% | 5/17/27 | 6,830 | 6,524 | |
2 | Nissan Auto Receivables Owner Trust Class A4 Series 2020-B | 0.710% | 2/16/27 | 7,030 | 6,751 | |
2,3,4 | Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% | 4.292% | 1/16/60 | 704 | 702 | |
2,3,4 | Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% | 4.489% | 6/20/60 | 1,774 | 1,766 | |
2,3,4 | Pepper Residential Securities Trust No. 24 Class A1U Series 24A, 1M USD LIBOR + 0.900% | 4.343% | 11/18/60 | 1,663 | 1,659 | |
2,3 | PFS Financing Corp. Class A Series 2020-A | 1.270% | 6/15/25 | 4,100 | 3,985 | |
2,3,4 | RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% | 3.993% | 12/5/59 | 1,099 | 1,097 | |
2,3,4 | RESIMAC Bastille Trust Class A1B Series 2021-2NCA, SOFR + 0.740% | 3.762% | 2/3/53 | 12,681 | 12,591 | |
2,3 | RESIMAC Premier Class A1B Series 2020-1 | 1.274% | 2/7/52 | 2,065 | 2,063 | |
2,3 | Santander Bank NA - SBCLN Class B Series 2021-1A | 1.833% | 12/15/31 | 9,653 | 9,255 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2021-3 | 0.330% | 3/17/25 | 3,095 | 3,088 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2 | Santander Drive Auto Receivables Trust Class A3 Series 2021-4 | 0.510% | 8/15/25 | 15,131 | 15,039 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2022-2 | 2.980% | 10/15/26 | 8,800 | 8,586 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2022-3 | 3.400% | 12/15/26 | 940 | 912 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2022-4 | 4.140% | 2/16/27 | 19,480 | 19,176 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2022-5 | 4.110% | 8/17/26 | 9,780 | 9,565 | |
2 | Santander Drive Auto Receivables Trust Class A3 Series 2022-6 | 4.490% | 11/16/26 | 1,440 | 1,417 | |
2 | Santander Drive Auto Receivables Trust Class B Series 2021-2 | 0.590% | 9/15/25 | 9,112 | 9,067 | |
2 | Santander Drive Auto Receivables Trust Class B Series 2021-3 | 0.600% | 12/15/25 | 16,000 | 15,770 | |
2 | Santander Drive Auto Receivables Trust Class B Series 2022-2 | 3.440% | 9/15/27 | 10,000 | 9,491 | |
2 | Santander Drive Auto Receivables Trust Class C Series 2020-2 | 1.460% | 9/15/25 | 2,483 | 2,467 | |
2 | Santander Drive Auto Receivables Trust Class C Series 2020-3 | 1.120% | 1/15/26 | 6,798 | 6,723 | |
2 | Santander Drive Auto Receivables Trust Class C Series 2021-1 | 0.750% | 2/17/26 | 7,620 | 7,470 | |
2,3 | Santander Retail Auto Lease Trust Class A2 Series 2021-B | 0.310% | 1/22/24 | 6,883 | 6,834 | |
2,3 | Santander Retail Auto Lease Trust Class A2 Series 2021-C | 0.290% | 4/22/24 | 8,518 | 8,476 | |
2,3 | Santander Retail Auto Lease Trust Class A3 Series 2021-B | 0.510% | 8/20/24 | 22,600 | 21,636 | |
2,3 | Santander Retail Auto Lease Trust Class A3 Series 2021-C | 0.500% | 3/20/25 | 16,890 | 16,314 | |
2,3 | Santander Retail Auto Lease Trust Class A4 Series 2020-B | 0.650% | 12/20/24 | 9,950 | 9,511 | |
2,3 | Santander Retail Auto Lease Trust Class A4 Series 2022-B | 3.330% | 10/20/26 | 4,050 | 3,871 | |
2,3 | Santander Retail Auto Lease Trust Class B Series 2022-B | 3.850% | 3/22/27 | 4,790 | 4,575 | |
2 | Synchrony Card Funding LLC Class A Series 2022-A1 | 3.370% | 4/15/28 | 11,090 | 10,687 | |
2,3 | Tesla Auto Lease Trust Class A2 Series 2021-B | 0.360% | 9/22/25 | 19,632 | 19,118 | |
2,3 | Tesla Auto Lease Trust Class A3 Series 2020-A | 0.680% | 12/20/23 | 7,975 | 7,919 | |
2,3 | Tesla Auto Lease Trust Class A4 Series 2020-A | 0.780% | 12/20/23 | 1,270 | 1,257 | |
2,3 | Tesla Auto Lease Trust Class B Series 2020-A | 1.180% | 1/22/24 | 2,080 | 2,052 | |
2,3 | Tesla Auto Lease Trust Class C Series 2020-A | 1.680% | 2/20/24 | 1,050 | 1,036 | |
2,3 | Toyota Auto Loan Extended Note Trust Class A Series 2019-1A | 2.560% | 11/25/31 | 860 | 818 | |
2 | Toyota Auto Receivables Owner Trust Class A2A Series 2022-C | 3.830% | 8/15/25 | 14,320 | 14,144 | |
2 | Toyota Auto Receivables Owner Trust Class A3 Series 2020-A | 1.660% | 5/15/24 | 1,507 | 1,496 | |
2 | Toyota Auto Receivables Owner Trust Class A4 Series 2020-B | 1.660% | 9/15/25 | 4,460 | 4,289 | |
2 | Toyota Auto Receivables Owner Trust Class A4 Series 2020-C | 0.570% | 10/15/25 | 7,530 | 7,099 | |
2,3 | Toyota Lease Owner Trust Class A2 Series 2021-A | 0.270% | 9/20/23 | 95 | 95 | |
2,3 | Toyota Lease Owner Trust Class A3 Series 2021-B | 0.420% | 10/21/24 | 19,800 | 19,065 | |
2 | Usaa Auto Owner Trust Class A2 Series 2022-A | 4.600% | 2/18/25 | 27,920 | 27,752 | |
2 | Verizon Master Trust Class A1a Series 2022-5 | 3.720% | 7/20/27 | 4,010 | 3,932 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2 | Verizon Master Trust Class B Series 2022-1 | 1.270% | 1/20/27 | 10,135 | 9,847 | |
2 | Verizon Master Trust Class B Series 2022-1 | 1.390% | 1/20/27 | 4,700 | 4,562 | |
2 | Verizon Owner Trust Class A Series 2020-B | 0.470% | 2/20/25 | 33,025 | 32,454 | |
2 | Verizon Owner Trust Class A1A Series 2020-A | 1.850% | 7/22/24 | 12,679 | 12,586 | |
2 | Verizon Owner Trust Class B Series 2020-A | 1.980% | 7/22/24 | 16,280 | 16,033 | |
2 | Verizon Owner Trust Class B Series 2020-B | 0.680% | 2/20/25 | 13,620 | 12,976 | |
2 | Verizon Owner Trust Class C Series 2019-C | 2.160% | 4/22/24 | 11,000 | 10,887 | |
2 | Verizon Owner Trust Class C Series 2020-A | 2.060% | 7/22/24 | 14,500 | 14,272 | |
2 | Verizon Owner Trust Class C Series 2020-B | 0.830% | 2/20/25 | 21,010 | 20,065 | |
2 | Volkswagen Auto Lease Trust Class A2 Series 2022-A | 3.020% | 10/21/24 | 19,000 | 18,697 | |
2 | Volkswagen Auto Loan Enhanced Trust Class A4 Series 2020-1 | 1.260% | 8/20/26 | 3,590 | 3,447 | |
2,3 | Volvo Financial Equipment LLC Class A3 Series 2020-1A | 0.510% | 10/15/24 | 16,050 | 15,682 | |
2,3 | Volvo Financial Equipment LLC Class A4 Series 2020-1A | 0.600% | 3/15/28 | 4,700 | 4,395 | |
2,3 | Westlake Automobile Receivables Trust Class A2A Series 2021-1A | 0.390% | 10/15/24 | 6,593 | 6,553 | |
2,3 | Westlake Automobile Receivables Trust Class A2A Series 2021-2A | 0.320% | 4/15/25 | 9,620 | 9,489 | |
2,3 | Westlake Automobile Receivables Trust Class A3 Series 2021-3A | 0.950% | 6/16/25 | 32,220 | 31,288 | |
2,3 | Westlake Automobile Receivables Trust Class A3 Series 2022-1A | 2.420% | 7/15/25 | 28,100 | 27,219 | |
2,3 | Wheels Fleet Lease Funding 1 LLC Class A Series 2022-1A | 2.470% | 10/18/36 | 3,877 | 3,762 | |
2,3 | Wheels SPV 2 LLC Class A2 Series 2020-1A | 0.510% | 8/20/29 | 2,947 | 2,905 | |
2,3 | Wheels SPV 2 LLC Class A3 Series 2020-1A | 0.620% | 8/20/29 | 3,475 | 3,322 | |
2 | World Omni Auto Receivables Trust Class A2 Series 2021-D | 0.350% | 12/16/24 | 9,814 | 9,706 | |
2 | World Omni Auto Receivables Trust Class A2 Series 2022-C | 3.730% | 3/16/26 | 8,610 | 8,495 | |
2 | World Omni Auto Receivables Trust Class A3 Series 2020-A | 1.100% | 4/15/25 | 552 | 543 | |
2 | World Omni Automobile Lease Securitization Trust Class A4 Series 2022-A | 3.340% | 6/15/27 | 1,200 | 1,159 | |
2 | World Omni Automobile Lease Securitization Trust Class B Series 2020-B | 0.700% | 2/17/26 | 5,000 | 4,857 | |
2 | World Omni Automobile Lease Securitization Trust Class B Series 2022-A | 3.670% | 6/15/27 | 3,890 | 3,762 | |
2 | World Omni Select Auto Trust Class A2 Series 2021-A | 0.290% | 2/18/25 | 5,254 | 5,229 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,220,795) | 2,171,404 | |||||
Corporate Bonds (66.9%) | ||||||
Communications (2.4%) | ||||||
AT&T Inc. | 1.700% | 3/25/26 | 20 | 18 | ||
British Telecommunications plc | 4.500% | 12/4/23 | 8,059 | 7,954 | ||
3 | Cox Communications Inc. | 2.950% | 6/30/23 | 43,811 | 43,331 | |
3 | Deutsche Telekom International Finance BV | 2.485% | 9/19/23 | 5,980 | 5,836 | |
Discovery Communications LLC | 2.950% | 3/20/23 | 72,549 | 71,895 | ||
Discovery Communications LLC | 3.950% | 6/15/25 | 4,258 | 4,024 | ||
3 | Magallanes Inc. | 3.428% | 3/15/24 | 37,540 | 36,225 | |
3 | NTT Finance Corp. | 0.583% | 3/1/24 | 45,780 | 43,075 | |
3 | Sky Ltd. | 3.125% | 11/26/22 | 10,960 | 10,946 | |
Sprint Corp. | 7.875% | 9/15/23 | 52,105 | 52,953 | ||
Take-Two Interactive Software Inc. | 3.300% | 3/28/24 | 11,250 | 10,922 | ||
TWDC Enterprises 18 Corp. | 2.350% | 12/1/22 | 24,608 | 24,570 | ||
6 | Verizon Communications Inc. | 3.500% | 2/17/23 | 37,630 | 24,015 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
6 | Vodafone Group plc | 3.250% | 12/13/22 | 48,840 | 31,218 | |
4,6 | Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050% | 3.733% | 12/13/22 | 4,970 | 3,179 | |
370,161 | ||||||
Consumer Discretionary (5.0%) | ||||||
American Honda Finance Corp. | 2.050% | 1/10/23 | 15,691 | 15,618 | ||
American Honda Finance Corp. | 1.950% | 5/10/23 | 24,393 | 24,032 | ||
American Honda Finance Corp. | 0.875% | 7/7/23 | 51,135 | 49,645 | ||
American Honda Finance Corp. | 3.450% | 7/14/23 | 1,355 | 1,340 | ||
American Honda Finance Corp. | 0.650% | 9/8/23 | 49,057 | 47,161 | ||
American Honda Finance Corp. | 3.625% | 10/10/23 | 6,493 | 6,407 | ||
AutoZone Inc. | 3.125% | 7/15/23 | 14,980 | 14,763 | ||
3 | BMW US Capital LLC | 3.450% | 4/12/23 | 3,099 | 3,079 | |
3 | BMW US Capital LLC | 3.150% | 4/18/24 | 10,000 | 9,730 | |
3 | Daimler Finance North America LLC | 3.350% | 2/22/23 | 3,393 | 3,377 | |
3 | Daimler Finance North America LLC | 1.750% | 3/10/23 | 17,177 | 16,981 | |
3 | Daimler Finance North America LLC | 3.700% | 5/4/23 | 400 | 397 | |
3 | Daimler Finance North America LLC | 3.650% | 2/22/24 | 23,810 | 23,347 | |
DR Horton Inc. | 4.750% | 2/15/23 | 6,266 | 6,262 | ||
3 | ERAC USA Finance LLC | 2.700% | 11/1/23 | 83,131 | 80,612 | |
General Motors Co. | 4.875% | 10/2/23 | 500 | 495 | ||
General Motors Co. | 5.400% | 10/2/23 | 20,612 | 20,531 | ||
General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 5,349 | 5,335 | ||
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 2,898 | 2,870 | ||
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 37,100 | 36,864 | ||
General Motors Financial Co. Inc. | 4.150% | 6/19/23 | 2,105 | 2,087 | ||
General Motors Financial Co. Inc. | 1.700% | 8/18/23 | 23,095 | 22,357 | ||
General Motors Financial Co. Inc. | 5.100% | 1/17/24 | 1,526 | 1,513 | ||
Lennar Corp. | 4.875% | 12/15/23 | 8,327 | 8,262 | ||
Lennar Corp. | 5.875% | 11/15/24 | 10,641 | 10,654 | ||
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 370 | 366 | ||
McDonald's Corp. | 3.350% | 4/1/23 | 11,375 | 11,309 | ||
3 | Nissan Motor Acceptance Co. LLC | 3.450% | 3/15/23 | 10,885 | 10,782 | |
3 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 34,851 | 33,856 | |
Starbucks Corp. | 3.100% | 3/1/23 | 14,493 | 14,412 | ||
Toyota Motor Credit Corp. | 0.400% | 4/6/23 | 35,000 | 34,348 | ||
Toyota Motor Credit Corp. | 0.500% | 8/14/23 | 9,352 | 9,052 | ||
Toyota Motor Credit Corp. | 1.350% | 8/25/23 | 4,901 | 4,760 | ||
Toyota Motor Credit Corp. | 2.500% | 3/22/24 | 46,595 | 45,053 | ||
Toyota Motor Credit Corp. | 4.400% | 9/20/24 | 38,070 | 37,698 | ||
6 | Volkswagen Financial Services Australia Pty Ltd. | 3.100% | 4/17/23 | 32,110 | 20,419 | |
3 | Volkswagen Group of America Finance LLC | 3.125% | 5/12/23 | 7,673 | 7,578 | |
3 | Volkswagen Group of America Finance LLC | 4.250% | 11/13/23 | 8,429 | 8,325 | |
3 | Volkswagen Group of America Finance LLC | 0.875% | 11/22/23 | 110,478 | 105,211 | |
756,888 | ||||||
Consumer Staples (1.8%) | ||||||
3 | 7-Eleven Inc. | 0.625% | 2/10/23 | 40,485 | 39,983 | |
3 | 7-Eleven Inc. | 0.800% | 2/10/24 | 23,226 | 21,910 | |
Altria Group Inc. | 2.950% | 5/2/23 | 2,000 | 1,977 | ||
Campbell Soup Co. | 3.650% | 3/15/23 | 24,646 | 24,524 | ||
3 | Coca-Cola Europacific Partners plc | 0.500% | 5/5/23 | 17,000 | 16,587 | |
Conagra Brands Inc. | 0.500% | 8/11/23 | 17,500 | 16,847 | ||
Constellation Brands Inc. | 3.600% | 5/9/24 | 14,000 | 13,709 | ||
Diageo Capital plc | 3.500% | 9/18/23 | 4,135 | 4,077 | ||
Dollar General Corp. | 4.250% | 9/20/24 | 20,530 | 20,174 | ||
GSK Consumer Healthcare Capital US LLC | 3.024% | 3/24/24 | 22,450 | 21,660 | ||
3 | JDE Peet's NV | 0.800% | 9/24/24 | 25,000 | 22,743 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Keurig Dr Pepper Inc. | 0.750% | 3/15/24 | 19,043 | 17,941 | ||
Mondelez International Inc. | 2.125% | 3/17/24 | 8,475 | 8,129 | ||
Philip Morris International Inc. | 1.125% | 5/1/23 | 25,000 | 24,516 | ||
Philip Morris International Inc. | 2.125% | 5/10/23 | 1,860 | 1,834 | ||
3 | Reckitt Benckiser Treasury Services plc | 3.625% | 9/21/23 | 434 | 429 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 437 | 435 | ||
Walgreens Boots Alliance Inc. | 0.950% | 11/17/23 | 19,789 | 18,922 | ||
276,397 | ||||||
Energy (3.9%) | ||||||
Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 26,239 | 26,121 | ||
ConocoPhillips Co. | 2.400% | 12/15/22 | 13,172 | 13,134 | ||
Ecopetrol SA | 5.875% | 9/18/23 | 21,170 | 20,839 | ||
Enable Midstream Partners LP | 3.900% | 5/15/24 | 3,000 | 2,913 | ||
Enbridge Inc. | 4.000% | 10/1/23 | 31,673 | 31,244 | ||
Enbridge Inc. | 0.550% | 10/4/23 | 40,528 | 38,746 | ||
4 | Enbridge Inc., SOFR + 0.400% | 3.129% | 2/17/23 | 20,000 | 19,930 | |
4 | Enbridge Inc., SOFR + 0.630% | 3.342% | 2/16/24 | 13,390 | 13,242 | |
Energy Transfer LP | 3.600% | 2/1/23 | 23,465 | 23,355 | ||
Energy Transfer LP | 4.250% | 3/15/23 | 2,262 | 2,252 | ||
Energy Transfer LP | 4.200% | 9/15/23 | 23,114 | 22,844 | ||
Energy Transfer LP | 5.875% | 1/15/24 | 31,556 | 31,612 | ||
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 31,336 | 31,145 | ||
EOG Resources Inc. | 2.625% | 3/15/23 | 51,882 | 51,461 | ||
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 1,482 | 1,461 | ||
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 8,460 | 8,307 | ||
Kinder Morgan Inc. | 3.150% | 1/15/23 | 34,888 | 34,732 | ||
3 | Kinder Morgan Inc. | 5.625% | 11/15/23 | 18,065 | 18,029 | |
MPLX LP | 4.500% | 7/15/23 | 4,000 | 3,977 | ||
Phillips 66 | 3.700% | 4/6/23 | 33,599 | 33,421 | ||
Phillips 66 | 0.900% | 2/15/24 | 9,348 | 8,851 | ||
Pioneer Natural Resources Co. | 0.550% | 5/15/23 | 32,382 | 31,591 | ||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 9,529 | 9,529 | ||
3 | Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 766 | 736 | |
Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 200 | 192 | ||
Schlumberger Investment SA | 3.650% | 12/1/23 | 8,400 | 8,282 | ||
Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 6,090 | 6,060 | ||
3 | Southern Natural Gas Co. LLC | 0.625% | 4/28/23 | 13,500 | 13,135 | |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 1,129 | 1,119 | ||
Thai Oil PCL | 3.625% | 1/23/23 | 2,520 | 2,508 | ||
Thaioil Treasury Center Co. Ltd. | 3.625% | 1/23/23 | 10,220 | 10,177 | ||
TotalEnergies Capital International SA | 3.700% | 1/15/24 | 2,144 | 2,110 | ||
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 20,073 | 19,752 | ||
Williams Cos. Inc. | 4.500% | 11/15/23 | 17,291 | 17,134 | ||
Williams Cos. Inc. | 4.300% | 3/4/24 | 24,174 | 23,804 | ||
583,745 | ||||||
Financials (31.7%) | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/23/23 | 52,970 | 52,679 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 29,189 | 28,670 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.875% | 1/16/24 | 2,400 | 2,356 | ||
4 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, SOFR + 0.680% | 3.733% | 9/29/23 | 37,100 | 36,316 | |
3 | AIG Global Funding | 0.800% | 7/7/23 | 16,265 | 15,821 | |
3 | AIG Global Funding | 0.400% | 9/13/23 | 62,000 | 59,614 | |
3 | AIG Global Funding | 0.450% | 12/8/23 | 15,000 | 14,236 | |
Air Lease Corp. | 3.875% | 7/3/23 | 12,623 | 12,470 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Air Lease Corp. | 3.000% | 9/15/23 | 4,243 | 4,143 | ||
Ally Financial Inc. | 3.050% | 6/5/23 | 15,227 | 14,988 | ||
Ally Financial Inc. | 1.450% | 10/2/23 | 91,708 | 87,974 | ||
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 11,775 | 11,649 | ||
Aon Corp. | 2.200% | 11/15/22 | 21,990 | 21,968 | ||
Aon plc | 4.000% | 11/27/23 | 52,277 | 51,626 | ||
3 | ASB Bank Ltd. | 3.750% | 6/14/23 | 3,800 | 3,769 | |
3 | Athene Global Funding | 2.800% | 5/26/23 | 51,891 | 51,144 | |
3 | Athene Global Funding | 1.200% | 10/13/23 | 26,054 | 24,995 | |
3 | Athene Global Funding | 0.950% | 1/8/24 | 52,152 | 49,158 | |
4,6 | Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% | 5.029% | 7/26/29 | 2,568 | 1,647 | |
Banco Santander SA | 2.706% | 6/27/24 | 50,600 | 48,065 | ||
Banco Santander SA | 0.701% | 6/30/24 | 20,000 | 19,214 | ||
4,6 | Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% | 4.612% | 1/19/23 | 6,200 | 3,967 | |
Bank of America Corp. | 3.004% | 12/20/23 | 66,849 | 66,606 | ||
Bank of America Corp. | 3.550% | 3/5/24 | 82,095 | 81,403 | ||
Bank of America Corp. | 1.486% | 5/19/24 | 19,000 | 18,566 | ||
Bank of America Corp. | 0.523% | 6/14/24 | 20,000 | 19,305 | ||
Bank of Montreal | 0.400% | 9/15/23 | 134,700 | 129,090 | ||
Bank of Montreal | 3.300% | 2/5/24 | 8,420 | 8,215 | ||
Bank of Montreal | 4.250% | 9/14/24 | 37,600 | 36,814 | ||
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 912 | 894 | ||
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 2,040 | 2,005 | ||
Bank of Nova Scotia | 1.625% | 5/1/23 | 3,338 | 3,287 | ||
Bank of Nova Scotia | 0.400% | 9/15/23 | 91,465 | 87,798 | ||
Bank of Nova Scotia | 3.400% | 2/11/24 | 8,583 | 8,386 | ||
Bank of Nova Scotia | 2.440% | 3/11/24 | 3,116 | 3,000 | ||
3 | Banque Federative du Credit Mutuel SA | 2.125% | 11/21/22 | 62,997 | 62,920 | |
3 | Banque Federative du Credit Mutuel SA | 3.750% | 7/20/23 | 132,576 | 131,038 | |
4,6 | Barclays plc, 3M Australian Bank Bill Rate + 1.800% | 4.553% | 6/15/23 | 14,250 | 9,131 | |
3 | BNP Paribas SA | 3.500% | 3/1/23 | 23,017 | 22,865 | |
4,6 | BNP Paribas SA, 3M Australian Bank Bill Rate + 1.750% | 4.552% | 12/16/22 | 5,650 | 3,615 | |
3 | BPCE SA | 5.700% | 10/22/23 | 12,210 | 11,966 | |
4,6 | BPCE SA, 3M Australian Bank Bill Rate + 1.100% | 4.129% | 4/26/23 | 9,590 | 6,142 | |
Canadian Imperial Bank of Commerce | 0.450% | 6/22/23 | 31,610 | 30,679 | ||
Canadian Imperial Bank of Commerce | 3.500% | 9/13/23 | 1,294 | 1,277 | ||
Canadian Imperial Bank of Commerce | 0.500% | 12/14/23 | 5,706 | 5,414 | ||
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 4,521 | 4,382 | ||
Capital One Bank USA NA | 3.375% | 2/15/23 | 59,515 | 59,243 | ||
Capital One Financial Corp. | 3.900% | 1/29/24 | 2,927 | 2,869 | ||
Charles Schwab Corp. | 2.650% | 1/25/23 | 12,978 | 12,921 | ||
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 12,990 | 12,990 | ||
Citigroup Inc. | 3.500% | 5/15/23 | 1,950 | 1,933 | ||
Citigroup Inc. | 3.875% | 10/25/23 | 20,000 | 19,748 | ||
Citigroup Inc. | 1.678% | 5/15/24 | 29,203 | 28,562 | ||
Citigroup Inc. | 4.044% | 6/1/24 | 91,975 | 91,017 | ||
Citigroup Inc. | 0.776% | 10/30/24 | 13,000 | 12,290 | ||
3 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 24,990 | 23,788 | |
Cooperatieve Rabobank UA | 3.875% | 8/22/24 | 14,065 | 13,750 | ||
Credit Suisse AG | 0.520% | 8/9/23 | 55,305 | 52,334 | ||
Credit Suisse AG | 4.750% | 8/9/24 | 38,654 | 36,699 | ||
3 | Danske Bank A/S | 1.171% | 12/8/23 | 45,475 | 45,235 | |
Danske Bank A/S | 1.226% | 6/22/24 | 4,760 | 4,348 | ||
Deutsche Bank AG | 3.300% | 11/16/22 | 13,363 | 13,353 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Discover Bank | 3.350% | 2/6/23 | 33,861 | 33,700 | ||
Discover Bank | 4.200% | 8/8/23 | 41,311 | 40,862 | ||
3 | DNB Bank ASA | 2.968% | 3/28/25 | 70,000 | 66,968 | |
3 | Equitable Financial Life Global Funding | 0.500% | 4/6/23 | 50,950 | 49,991 | |
3 | Equitable Financial Life Global Funding | 0.500% | 11/17/23 | 1,968 | 1,871 | |
Equitable Holdings Inc. | 3.900% | 4/20/23 | 46,492 | 46,249 | ||
Fifth Third Bancorp | 4.300% | 1/16/24 | 919 | 906 | ||
First Republic Bank | 1.912% | 2/12/24 | 28,143 | 27,806 | ||
3 | Five Corners Funding Trust | 4.419% | 11/15/23 | 9,989 | 9,871 | |
3 | GA Global Funding Trust | 1.250% | 12/8/23 | 912 | 868 | |
3 | GA Global Funding Trust | 1.000% | 4/8/24 | 45,015 | 41,801 | |
Goldman Sachs Group Inc. | 0.523% | 3/8/23 | 9,000 | 8,851 | ||
6 | Goldman Sachs Group Inc. | 3.600% | 5/16/23 | 11,840 | 7,533 | |
Goldman Sachs Group Inc. | 1.217% | 12/6/23 | 65,000 | 62,194 | ||
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 32,400 | 31,747 | ||
Goldman Sachs Group Inc. | 0.925% | 10/21/24 | 54,900 | 51,960 | ||
Goldman Sachs Group Inc. | 5.700% | 11/1/24 | 14,000 | 13,998 | ||
4,6 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% | 3.503% | 5/16/23 | 2,800 | 1,792 | |
3 | Guardian Life Global Funding | 3.400% | 4/25/23 | 18,931 | 18,791 | |
HSBC Holdings plc | 3.033% | 11/22/23 | 10,000 | 9,990 | ||
6 | HSBC Holdings plc | 3.350% | 2/16/24 | 29,487 | 18,760 | |
HSBC Holdings plc | 3.950% | 5/18/24 | 90,623 | 89,126 | ||
HSBC Holdings plc | 0.732% | 8/17/24 | 38,760 | 36,727 | ||
HSBC Holdings plc | 1.162% | 11/22/24 | 26,200 | 24,585 | ||
4,6 | HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% | 3.404% | 2/16/24 | 8,436 | 5,385 | |
Huntington National Bank | 3.550% | 10/6/23 | 25,260 | 24,871 | ||
�� | Jackson Financial Inc. | 1.125% | 11/22/23 | 15,474 | 14,779 | |
3 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 982 | 953 | |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 8,900 | 8,873 | ||
JPMorgan Chase & Co. | 0.697% | 3/16/24 | 10,000 | 9,803 | ||
JPMorgan Chase & Co. | 1.514% | 6/1/24 | 53,139 | 51,885 | ||
JPMorgan Chase & Co. | 4.023% | 12/5/24 | 50,000 | 49,100 | ||
KeyBank NA | 0.423% | 1/3/24 | 8,330 | 8,256 | ||
Legg Mason Inc. | 3.950% | 7/15/24 | 10,000 | 9,751 | ||
3 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 7,000 | 6,928 | |
Lincoln National Corp. | 4.000% | 9/1/23 | 4,168 | 4,137 | ||
6 | Lloyds Banking Group plc | 3.650% | 3/20/23 | 8,970 | 5,715 | |
Lloyds Banking Group plc | 4.050% | 8/16/23 | 84,479 | 83,487 | ||
Lloyds Banking Group plc | 2.907% | 11/7/23 | 24,800 | 24,787 | ||
6 | Lloyds Banking Group plc | 3.900% | 11/23/23 | 8,880 | 5,592 | |
Lloyds Banking Group plc | 0.695% | 5/11/24 | 77,785 | 75,463 | ||
Loews Corp. | 2.625% | 5/15/23 | 3,000 | 2,961 | ||
3 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 19,113 | 19,075 | |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 5,058 | 4,989 | ||
Marsh & McLennan Cos. Inc. | 3.875% | 3/15/24 | 22,940 | 22,535 | ||
3 | MassMutual Global Funding II | 0.850% | 6/9/23 | 44,362 | 43,289 | |
3 | MassMutual Global Funding II | 0.480% | 8/28/23 | 65,560 | 63,046 | |
MetLife Inc. | 4.368% | 9/15/23 | 2,150 | 2,137 | ||
3 | Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 5,692 | 5,676 | |
3 | Metropolitan Life Global Funding I | 1.950% | 1/13/23 | 22,000 | 21,880 | |
3 | Metropolitan Life Global Funding I | 0.900% | 6/8/23 | 54,346 | 53,026 | |
3 | Metropolitan Life Global Funding I | 0.400% | 1/7/24 | 37,342 | 35,295 | |
3 | Metropolitan Life Global Funding I | 3.600% | 1/11/24 | 1,635 | 1,604 | |
Mitsubishi UFJ Financial Group Inc. | 3.455% | 3/2/23 | 18,250 | 18,167 | ||
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 57,929 | 57,225 | ||
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 1,131 | 1,104 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 31,200 | 30,341 | ||
Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 35,185 | 33,572 | ||
Mizuho Financial Group Inc. | 3.549% | 3/5/23 | 5,500 | 5,475 | ||
Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 47,611 | 46,050 | ||
Morgan Stanley | 4.875% | 11/1/22 | 59,824 | 59,824 | ||
Morgan Stanley | 4.100% | 5/22/23 | 11,136 | 11,081 | ||
Morgan Stanley | 0.560% | 11/10/23 | 22,323 | 22,301 | ||
Morgan Stanley | 0.529% | 1/25/24 | 78,994 | 77,820 | ||
Morgan Stanley | 0.731% | 4/5/24 | 15,395 | 15,022 | ||
Morgan Stanley | 3.737% | 4/24/24 | 10,000 | 9,900 | ||
3 | MUFG Bank Ltd. | 3.200% | 2/26/23 | 7,960 | 7,915 | |
3 | MUFG Bank Ltd. | 4.100% | 9/9/23 | 1,520 | 1,504 | |
Nasdaq Inc. | 0.445% | 12/21/22 | 10,613 | 10,536 | ||
National Bank of Canada | 2.100% | 2/1/23 | 40,826 | 40,535 | ||
3 | Nationwide Building Society | 2.000% | 1/27/23 | 53,975 | 53,560 | |
NatWest Group plc | 3.875% | 9/12/23 | 8,000 | 7,881 | ||
3 | New York Life Global Funding | 1.100% | 5/5/23 | 12,170 | 11,932 | |
3 | New York Life Global Funding | 0.550% | 4/26/24 | 350 | 327 | |
3 | Nordea Bank Abp | 3.750% | 8/30/23 | 29,322 | 28,886 | |
Nordea Bank Abp | 3.750% | 8/30/23 | 12,061 | 11,882 | ||
3 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 3/14/23 | 8,986 | 8,895 | |
3 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.125% | 8/1/23 | 4,472 | 4,418 | |
3 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.900% | 2/1/24 | 747 | 729 | |
PNC Bank NA | 2.700% | 11/1/22 | 18,577 | 18,577 | ||
PNC Bank NA | 3.800% | 7/25/23 | 24,865 | 24,619 | ||
PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 6,614 | 6,495 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 6,978 | 6,829 | ||
3 | Pricoa Global Funding I | 3.450% | 9/1/23 | 23,536 | 23,226 | |
Principal Financial Group Inc. | 3.125% | 5/15/23 | 6,641 | 6,570 | ||
3 | Principal Life Global Funding II | 0.500% | 1/8/24 | 11,096 | 10,498 | |
3 | Protective Life Global Funding | 0.502% | 4/12/23 | 4,360 | 4,271 | |
3 | Protective Life Global Funding | 1.082% | 6/9/23 | 13,690 | 13,340 | |
3 | Protective Life Global Funding | 0.391% | 7/7/23 | 31,000 | 30,025 | |
3 | Protective Life Global Funding | 0.631% | 10/13/23 | 4,426 | 4,234 | |
Protective Life Global Funding | 0.631% | 10/13/23 | 12,200 | 11,671 | ||
3 | Protective Life Global Funding | 0.473% | 1/12/24 | 8,281 | 7,800 | |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 1,454 | 1,451 | ||
3 | Reliance Standard Life Global Funding II | 2.150% | 1/21/23 | 19,915 | 19,771 | |
3 | Reliance Standard Life Global Funding II | 3.850% | 9/19/23 | 44,405 | 43,688 | |
Royal Bank of Canada | 3.700% | 10/5/23 | 29,530 | 29,110 | ||
Royal Bank of Canada | 0.425% | 1/19/24 | 15,542 | 14,664 | ||
Royal Bank of Canada | 3.970% | 7/26/24 | 136,775 | 133,653 | ||
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 2,781 | 2,774 | ||
3 | Santander UK plc | 5.000% | 11/7/23 | 11,303 | 11,117 | |
3 | Skandinaviska Enskilda Banken AB | 2.200% | 12/12/22 | 19,750 | 19,695 | |
3 | Skandinaviska Enskilda Banken AB | 0.550% | 9/1/23 | 84,452 | 81,110 | |
3 | Standard Chartered plc | 0.991% | 1/12/25 | 35,000 | 32,530 | |
State Bank of India | 4.500% | 9/28/23 | 6,550 | 6,493 | ||
State Street Corp. | 3.100% | 5/15/23 | 12,950 | 12,827 | ||
State Street Corp. | 3.700% | 11/20/23 | 1,126 | 1,112 | ||
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 1,910 | 1,876 | ||
4,6 | Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.730% | 3.163% | 11/29/22 | 8,750 | 5,595 | |
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 40,000 | 39,862 | ||
6 | Sumitomo Mitsui Financial Group Inc. | 3.604% | 3/7/23 | 16,380 | 10,448 | |
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 27,382 | 27,070 | ||
Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 4,912 | 4,843 | ||
Sumitomo Mitsui Financial Group Inc. | 0.508% | 1/12/24 | 1,598 | 1,505 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3 | Sumitomo Mitsui Trust Bank Ltd. | 0.800% | 9/12/23 | 22,300 | 21,430 | |
3 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 1,160 | 1,086 | |
3 | Swedbank AB | 1.300% | 6/2/23 | 17,950 | 17,542 | |
Toronto-Dominion Bank | 0.750% | 6/12/23 | 19,426 | 18,895 | ||
Toronto-Dominion Bank | 0.450% | 9/11/23 | 2,400 | 2,300 | ||
Toronto-Dominion Bank | 4.285% | 9/13/24 | 44,000 | 43,114 | ||
3 | UBS Group AG | 1.008% | 7/30/24 | 35,445 | 34,153 | |
US Bancorp | 3.375% | 2/5/24 | 18,686 | 18,305 | ||
3 | USAA Capital Corp. | 1.500% | 5/1/23 | 2,548 | 2,503 | |
Wells Fargo & Co. | 4.125% | 8/15/23 | 8,000 | 7,943 | ||
Wells Fargo & Co. | 3.750% | 1/24/24 | 84,919 | 83,507 | ||
Wells Fargo & Co. | 1.654% | 6/2/24 | 106,159 | 103,706 | ||
4,6 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% | 4.705% | 6/22/28 | 41,700 | 26,667 | |
Willis North America Inc. | 3.600% | 5/15/24 | 10,566 | 10,224 | ||
4,802,178 | ||||||
Health Care (6.3%) | ||||||
AbbVie Inc. | 2.300% | 11/21/22 | 34,891 | 34,847 | ||
Aetna Inc. | 2.800% | 6/15/23 | 33,028 | 32,548 | ||
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 31,363 | 30,856 | ||
Amgen Inc. | 2.250% | 8/19/23 | 17,000 | 16,629 | ||
Anthem Inc. | 2.950% | 12/1/22 | 11,600 | 11,586 | ||
Anthem Inc. | 3.300% | 1/15/23 | 38,155 | 38,034 | ||
Anthem Inc. | 3.500% | 8/15/24 | 10,791 | 10,486 | ||
Astrazeneca Finance LLC | 0.700% | 5/28/24 | 22,765 | 21,267 | ||
Baxter International Inc. | 0.868% | 12/1/23 | 1,567 | 1,496 | ||
4 | Baxter International Inc., SOFR + 0.260% | 3.113% | 12/1/23 | 42,000 | 41,603 | |
3 | Bayer US Finance II LLC | 3.875% | 12/15/23 | 21,047 | 20,674 | |
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 35,175 | 33,638 | ||
Cardinal Health Inc. | 3.200% | 3/15/23 | 5,299 | 5,259 | ||
Cigna Corp. | 3.050% | 11/30/22 | 29,047 | 29,013 | ||
Cigna Corp. | 3.750% | 7/15/23 | 40,501 | 40,137 | ||
Cigna Corp. | 0.613% | 3/15/24 | 6,000 | 5,649 | ||
DH Europe Finance II Sarl | 2.050% | 11/15/22 | 77,443 | 77,371 | ||
Gilead Sciences Inc. | 2.500% | 9/1/23 | 2,400 | 2,348 | ||
Gilead Sciences Inc. | 0.750% | 9/29/23 | 27,517 | 26,481 | ||
Humana Inc. | 3.150% | 12/1/22 | 25,110 | 25,087 | ||
Humana Inc. | 2.900% | 12/15/22 | 62,131 | 61,961 | ||
Illumina Inc. | 0.550% | 3/23/23 | 28,917 | 28,381 | ||
McKesson Corp. | 2.700% | 12/15/22 | 7,947 | 7,926 | ||
McKesson Corp. | 2.850% | 3/15/23 | 16,990 | 16,871 | ||
3 | Mylan Inc. | 3.125% | 1/15/23 | 20,916 | 20,798 | |
Mylan Inc. | 4.200% | 11/29/23 | 9,000 | 8,830 | ||
PerkinElmer Inc. | 0.550% | 9/15/23 | 45,880 | 44,094 | ||
Royalty Pharma plc | 0.750% | 9/2/23 | 75,299 | 72,366 | ||
Shire Acquisitions Investments Ireland DAC | 2.875% | 9/23/23 | 861 | 842 | ||
Stryker Corp. | 0.600% | 12/1/23 | 25,000 | 23,832 | ||
Takeda Pharmaceutical Co. Ltd. | 4.400% | 11/26/23 | 24,286 | 24,046 | ||
Thermo Fisher Scientific Inc. | 0.797% | 10/18/23 | 40,432 | 38,808 | ||
4 | Thermo Fisher Scientific Inc., SOFR + 0.350% | 3.409% | 4/18/23 | 80,000 | 79,940 | |
UnitedHealth Group Inc. | 3.500% | 6/15/23 | 1,624 | 1,612 | ||
Zoetis Inc. | 3.250% | 2/1/23 | 22,224 | 22,121 | ||
957,437 | ||||||
Industrials (2.2%) | ||||||
Boeing Co. | 1.167% | 2/4/23 | 44,000 | 43,486 | ||
Boeing Co. | 4.508% | 5/1/23 | 37,881 | 37,808 | ||
Boeing Co. | 1.433% | 2/4/24 | 3,211 | 3,046 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 3,908 | 3,867 | ||
CNH Industrial Capital LLC | 1.950% | 7/2/23 | 24,675 | 24,099 | ||
CNH Industrial Capital LLC | 4.200% | 1/15/24 | 1,981 | 1,949 | ||
CNH Industrial NV | 4.500% | 8/15/23 | 1,414 | 1,403 | ||
Cummins Inc. | 3.650% | 10/1/23 | 422 | 417 | ||
3 | Daimler Trucks Finance North America LLC | 1.125% | 12/14/23 | 12,235 | 11,658 | |
Huntington Ingalls Industries Inc. | 0.670% | 8/16/23 | 30,454 | 29,322 | ||
John Deere Capital Corp. | 4.550% | 10/11/24 | 44,660 | 44,436 | ||
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 22,215 | 22,005 | ||
Norfolk Southern Corp. | 3.850% | 1/15/24 | 3,104 | 3,058 | ||
Northrop Grumman Corp. | 3.250% | 8/1/23 | 7,654 | 7,549 | ||
6 | QPH Finance Co. Pty Ltd. | 3.750% | 6/7/23 | 9,520 | 6,070 | |
Quanta Services Inc. | 0.950% | 10/1/24 | 5,565 | 5,058 | ||
Rockwell Automation Inc. | 0.350% | 8/15/23 | 29,100 | 28,046 | ||
Ryder System Inc. | 3.875% | 12/1/23 | 17,810 | 17,530 | ||
Ryder System Inc. | 3.650% | 3/18/24 | 3,430 | 3,349 | ||
Union Pacific Corp. | 2.950% | 1/15/23 | 23,297 | 23,223 | ||
Union Pacific Corp. | 3.500% | 6/8/23 | 8,264 | 8,194 | ||
2,7 | US Airways Series 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 16 | 16 | |
6 | WSO Finance Pty Ltd. | 3.500% | 7/14/23 | 8,460 | 5,377 | |
330,966 | ||||||
Materials (2.5%) | ||||||
Berry Global Inc. | 0.950% | 2/15/24 | 5,500 | 5,178 | ||
Carlisle Cos. Inc. | 0.550% | 9/1/23 | 25,470 | 24,482 | ||
Celanese US Holdings LLC | 3.500% | 5/8/24 | 2,930 | 2,807 | ||
Celanese US Holdings LLC | 5.900% | 7/5/24 | 8,030 | 7,891 | ||
3 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.300% | 5/1/23 | 42,811 | 42,429 | |
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 18,701 | 18,502 | ||
Georgia-Pacific LLC | 8.000% | 1/15/24 | 14,119 | 14,582 | ||
Indonesia Asahan Aluminium Persero PT | 5.710% | 11/15/23 | 35,874 | 35,812 | ||
LYB International Finance BV | 4.000% | 7/15/23 | 30,972 | 30,617 | ||
Martin Marietta Materials Inc. | 0.650% | 7/15/23 | 15,000 | 14,512 | ||
Mosaic Co. | 4.250% | 11/15/23 | 79,586 | 78,746 | ||
Nutrien Ltd. | 1.900% | 5/13/23 | 61,551 | 60,457 | ||
PPG Industries Inc. | 3.200% | 3/15/23 | 7,000 | 6,929 | ||
Sherwin-Williams Co. | 4.050% | 8/8/24 | 29,090 | 28,550 | ||
371,494 | ||||||
Real Estate (3.0%) | ||||||
American Tower Corp. | 3.500% | 1/31/23 | 1,230 | 1,226 | ||
American Tower Corp. | 3.000% | 6/15/23 | 69,108 | 68,120 | ||
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 17,450 | 17,286 | ||
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 25,272 | 25,037 | ||
Boston Properties LP | 3.125% | 9/1/23 | 61,231 | 59,987 | ||
Boston Properties LP | 3.800% | 2/1/24 | 7,472 | 7,282 | ||
Camden Property Trust | 2.950% | 12/15/22 | 41,799 | 41,677 | ||
Camden Property Trust | 4.875% | 6/15/23 | 2,831 | 2,824 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 47,048 | 46,322 | ||
Essex Portfolio LP | 3.250% | 5/1/23 | 8,470 | 8,389 | ||
Essex Portfolio LP | 3.875% | 5/1/24 | 1,050 | 1,024 | ||
Federal Realty Investment Trust | 2.750% | 6/1/23 | 1,800 | 1,776 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 22,984 | 22,551 | ||
6 | General Property Trust Co. | 3.591% | 11/7/23 | 20,520 | 13,003 | |
Mid-America Apartments LP | 4.300% | 10/15/23 | 29,100 | 28,769 | ||
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 6,246 | 6,184 | ||
4 | Public Storage, SOFR + 0.470% | 3.529% | 4/23/24 | 8,845 | 8,776 | |
Realty Income Corp. | 4.600% | 2/6/24 | 24,820 | 24,644 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
6 | Shopping Centres Australasia Property Group | 3.900% | 6/7/24 | 8,560 | 5,390 | |
Simon Property Group LP | 2.750% | 6/1/23 | 17,465 | 17,213 | ||
Simon Property Group LP | 3.750% | 2/1/24 | 15,895 | 15,601 | ||
Ventas Realty LP | 3.500% | 4/15/24 | 10,040 | 9,743 | ||
Ventas Realty LP | 3.750% | 5/1/24 | 5,000 | 4,859 | ||
Welltower Inc. | 4.500% | 1/15/24 | 9,995 | 9,873 | ||
Welltower Inc. | 3.625% | 3/15/24 | 1,495 | 1,453 | ||
449,009 | ||||||
Technology (2.0%) | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 17,246 | 16,893 | ||
Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 6,619 | 6,609 | ||
Equifax Inc. | 3.950% | 6/15/23 | 2,175 | 2,155 | ||
Fidelity National Information Services Inc. | 0.375% | 3/1/23 | 50,000 | 49,250 | ||
Global Payments Inc. | 3.750% | 6/1/23 | 8,895 | 8,805 | ||
Hewlett Packard Enterprise Co. | 4.450% | 10/2/23 | 2,400 | 2,382 | ||
6 | Intel Corp. | 4.000% | 12/1/22 | 29,460 | 18,849 | |
Oracle Corp. | 3.625% | 7/15/23 | 4,101 | 4,057 | ||
Oracle Corp. | 2.400% | 9/15/23 | 68,376 | 66,691 | ||
Roper Technologies Inc. | 3.650% | 9/15/23 | 3,087 | 3,046 | ||
Skyworks Solutions Inc. | 0.900% | 6/1/23 | 80,121 | 77,790 | ||
Teledyne Technologies Inc. | 0.650% | 4/1/23 | 550 | 539 | ||
VMware Inc. | 0.600% | 8/15/23 | 47,966 | 46,181 | ||
303,247 | ||||||
Utilities (6.1%) | ||||||
Abu Dhabi National Energy Co. PJSC | 3.875% | 5/6/24 | 10,100 | 9,883 | ||
American Electric Power Co. Inc. | 0.750% | 11/1/23 | 10,000 | 9,551 | ||
Atmos Energy Corp. | 0.625% | 3/9/23 | 9,260 | 9,126 | ||
Baltimore Gas and Electric Co. | 3.350% | 7/1/23 | 7,592 | 7,513 | ||
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 2,400 | 2,371 | ||
Black Hills Corp. | 1.037% | 8/23/24 | 9,000 | 8,323 | ||
CenterPoint Energy Inc. | 2.500% | 9/1/24 | 5,182 | 4,906 | ||
CenterPoint Energy Resources Corp. | 0.700% | 3/2/23 | 35,798 | 35,274 | ||
Consolidated Edison Inc. | 0.650% | 12/1/23 | 34,357 | 32,795 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 1,616 | 1,589 | ||
3 | Dominion Energy Inc. | 2.450% | 1/15/23 | 69,850 | 69,441 | |
4 | Dominion Energy Inc., 3M USD LIBOR + 0.530% | 3.823% | 9/15/23 | 6,090 | 6,068 | |
DTE Energy Co. | 0.550% | 11/1/22 | 60,220 | 60,220 | ||
DTE Energy Co. | 2.250% | 11/1/22 | 25,900 | 25,900 | ||
Duke Energy Corp. | 3.950% | 10/15/23 | 33,885 | 33,492 | ||
Duke Energy Progress LLC | 3.375% | 9/1/23 | 9,129 | 8,991 | ||
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 14,553 | 14,323 | ||
Edison International | 2.950% | 3/15/23 | 2,023 | 2,004 | ||
Entergy Louisiana LLC | 0.620% | 11/17/23 | 26,286 | 25,033 | ||
Eversource Energy | 2.800% | 5/1/23 | 44,715 | 44,180 | ||
Eversource Energy | 3.800% | 12/1/23 | 278 | 273 | ||
4 | Eversource Energy, SOFR + 0.250% | 2.941% | 8/15/23 | 32,600 | 32,353 | |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 11,121 | 11,120 | ||
NextEra Energy Capital Holdings Inc. | 0.650% | 3/1/23 | 53,300 | 52,576 | ||
4 | NextEra Energy Capital Holdings Inc., 3M USD LIBOR + 0.270% | 3.254% | 2/22/23 | 40,000 | 39,911 | |
4 | NextEra Energy Capital Holdings Inc., SOFR + 0.400% | 3.012% | 11/3/23 | 37,700 | 37,274 | |
Oklahoma Gas and Electric Co. | 0.553% | 5/26/23 | 352 | 343 | ||
ONE Gas Inc. | 0.850% | 3/11/23 | 16,250 | 16,019 | ||
Public Service Electric and Gas Co. | 2.375% | 5/15/23 | 4,214 | 4,151 | ||
Public Service Enterprise Group Inc. | 2.650% | 11/15/22 | 78,040 | 77,960 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Public Service Enterprise Group Inc. | 0.841% | 11/8/23 | 2,174 | 2,072 | ||
Southern California Edison Co. | 0.700% | 4/3/23 | 20,000 | 19,634 | ||
Southern California Edison Co. | 0.700% | 8/1/23 | 2,150 | 2,078 | ||
Southern California Edison Co. | 3.500% | 10/1/23 | 11,154 | 10,954 | ||
Southern Co. | 2.950% | 7/1/23 | 9,635 | 9,477 | ||
Southern Co. | 4.475% | 8/1/24 | 14,950 | 14,672 | ||
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 16,325 | 15,897 | ||
State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 17,729 | 17,562 | ||
3 | State Grid Overseas Investment BVI Ltd. | 3.750% | 5/2/23 | 32,647 | 32,469 | |
6 | United Energy Distribution Pty Ltd. | 3.500% | 9/12/23 | 25,140 | 15,957 | |
Virginia Electric and Power Co. | 2.750% | 3/15/23 | 30,143 | 29,884 | ||
WEC Energy Group Inc. | 0.550% | 9/15/23 | 59,410 | 57,012 | ||
Xcel Energy Inc. | 0.500% | 10/15/23 | 21,795 | 20,811 | ||
931,442 | ||||||
Total Corporate Bonds (Cost $10,387,268) | 10,132,964 | |||||
Sovereign Bonds (2.6%) | ||||||
6 | Airservices Australia | 2.750% | 5/15/23 | 6,290 | 4,000 | |
APICORP Sukuk Ltd. | 3.141% | 11/1/22 | 40,788 | 40,788 | ||
Corp. Andina de Fomento | 2.375% | 5/12/23 | 10,000 | 9,850 | ||
Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 2,115 | 2,114 | ||
Export-Import Bank of India | 4.000% | 1/14/23 | 28,218 | 28,142 | ||
Kingdom of Morocco | 4.250% | 12/11/22 | 1,800 | 1,796 | ||
8 | Korea Monetary Stabilization Bond | 3.050% | 7/9/23 | 80,000,000 | 55,891 | |
8 | Korea Monetary Stabilization Bond | 3.310% | 9/9/23 | 181,000,000 | 126,383 | |
Perusahaan Penerbit SBSN Indonesia III | 3.300% | 11/21/22 | 19,409 | 19,372 | ||
Republic of Colombia | 2.625% | 3/15/23 | 31,180 | 30,686 | ||
Republic of Croatia | 5.500% | 4/4/23 | 10,662 | 10,685 | ||
Republic of Hungary | 5.375% | 2/21/23 | 23,702 | 23,690 | ||
Republic of Hungary | 5.750% | 11/22/23 | 8,000 | 7,985 | ||
Republic of Hungary | 5.375% | 3/25/24 | 4,270 | 4,229 | ||
Republic of Indonesia | 2.950% | 1/11/23 | 2,500 | 2,488 | ||
Republic of Panama | 4.000% | 9/22/24 | 13,047 | 12,658 | ||
Romania | 4.375% | 8/22/23 | 13,860 | 13,783 | ||
Total Sovereign Bonds (Cost $406,555) | 394,540 | |||||
Shares | ||||||
Temporary Cash Investments (13.3%) | ||||||
Money Market Fund (2.0%) | ||||||
9 | Vanguard Market Liquidity Fund | 3.117% | 3,156,881 | 315,625 | ||
Maturity Date | Face Amount ($000) | |||||
Commercial Paper (0.5%) | ||||||
Raytheon Technologies Corp. | 3.797% | 12/1/22 | 9,000 | 8,971 | ||
Raytheon Technologies Corp. | 3.691% | 12/19/22 | 6,600 | 6,564 | ||
Raytheon Technologies Corp. | 3.861% | 12/30/22 | 59,600 | 59,186 | ||
74,721 | ||||||
U.S. Government and Agency Obligations (10.8%) | ||||||
United States Treasury Bill | 2.619% | 9/7/23 | 300,000 | 288,737 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
United States Treasury Bill | 3.615% | 10/5/23 | 1,405,400 | 1,346,220 | ||
1,634,957 | ||||||
Total Temporary Cash Investments (Cost $2,034,151) | 2,025,303 | |||||
Total Investments (100.9%) (Cost $15,622,966) | 15,295,983 | |||||
Other Assets and Liabilities—Net (-0.9%) | (141,459) | |||||
Net Assets (100%) | 15,154,524 | |||||
Cost is in $000. |
1 | Securities with a value of $7,067,000 have been segregated as initial margin for open futures contracts. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
3 | 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 October 31, 2022, the aggregate value was $3,122,874,000, representing 20.6% of net assets. |
4 | 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. |
5 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
6 | Face amount denominated in Australian dollars. |
7 | Security value determined using significant unobservable inputs. |
8 | Face amount denominated in Korean won. |
9 | 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. | |
DAC—Designated Activity Company. | |
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. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | 8,509 | 1,739,093 | (9,267) |
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | December 2022 | (274) | (29,207) | 1,124 |
AUD 3-Year Treasury Bond | December 2022 | (959) | (65,964) | 141 |
1,265 | ||||
(8,002) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Credit Agricole CIB | 11/2/22 | AUD | 201,739 | USD | 129,577 | — | (528) |
State Street Bank & Trust Co. | 11/2/22 | AUD | 962 | USD | 622 | — | (6) |
Bank of America, N.A. | 11/2/22 | AUD | 939 | USD | 593 | 8 | — |
JPMorgan Chase Bank, N.A. | 11/2/22 | AUD | 553 | USD | 351 | 3 | — |
Royal Bank of Canada | 11/2/22 | AUD | 510 | USD | 342 | — | (16) |
Bank of New York | 11/2/22 | AUD | 449 | USD | 297 | — | (10) |
Toronto-Dominion Bank | 11/2/22 | AUD | 442 | USD | 279 | 4 | — |
Bank of Montreal | 11/2/22 | AUD | 324 | USD | 217 | — | (10) |
Citibank, N.A. | 11/2/22 | AUD | 215 | USD | 144 | — | (7) |
Standard Chartered Bank | 11/2/22 | AUD | 197 | USD | 124 | 2 | — |
State Street Bank & Trust Co. | 11/2/22 | AUD | 142 | USD | 90 | 1 | — |
State Street Bank & Trust Co. | 11/2/22 | EUR | 34 | USD | 34 | — | — |
Standard Chartered Bank | 12/13/22 | EUR | 34 | USD | 34 | — | — |
State Street Bank & Trust Co. | 11/2/22 | GBP | 2 | USD | 3 | — | — |
Bank of America, N.A. | 12/13/22 | GBP | 2 | USD | 3 | — | — |
Credit Agricole CIB | 12/13/22 | USD | 129,719 | AUD | 201,739 | 497 | — |
Standard Chartered Bank | 11/2/22 | USD | 127,025 | AUD | 189,024 | 6,109 | — |
Credit Agricole CIB | 11/2/22 | USD | 126,852 | AUD | 188,269 | 6,419 | — |
Citibank, N.A. | 12/13/22 | USD | 64,683 | AUD | 101,180 | — | (127) |
Royal Bank of Canada | 12/13/22 | USD | 64,414 | AUD | 100,869 | — | (197) |
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 12,956 | AUD | 20,465 | — | (136) |
BNP Paribas | 11/2/22 | USD | 5,463 | AUD | 8,710 | — | (109) |
Bank of Montreal | 11/2/22 | USD | 724 | AUD | 1,122 | 7 | — |
State Street Bank & Trust Co. | 11/2/22 | USD | 405 | AUD | 619 | 9 | — |
Bank of America, N.A. | 12/14/22 | USD | 269 | AUD | 421 | — | — |
State Street Bank & Trust Co. | 12/13/22 | USD | 229 | AUD | 352 | 3 | — |
Bank of Montreal | 12/13/22 | USD | 184 | AUD | 287 | — | — |
Standard Chartered Bank | 11/2/22 | USD | 34 | EUR | 34 | — | — |
Bank of America, N.A. | 11/2/22 | USD | 3 | GBP | 2 | — | — |
JPMorgan Chase Bank, N.A. | 7/10/23 | USD | 111,153 | KRW | 152,000,000 | 3,235 | — |
Barclays Bank plc | 7/10/23 | USD | 60,935 | KRW | 80,000,000 | 4,135 | — |
BNP Paribas | 7/10/23 | USD | 27,783 | KRW | 38,000,000 | 803 | — |
21,235 | (1,146) |
AUD—Australian dollar. |
EUR—euro. |
GBP—British pound. |
KRW—Korean won. |
USD—U.S. dollar. |
At October 31, 2022, the counterparties had deposited in segregated accounts securities with a value of $14,097,000 and cash of $6,200,000 in connection with open forward currency contracts.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed
securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the valuation designee to represent fair value and subject to oversight by the board of trustees.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
E. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a
cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
F. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of October 31, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 571,772 | — | 571,772 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 2,171,404 | — | 2,171,404 |
Corporate Bonds | — | 10,132,948 | 16 | 10,132,964 |
Sovereign Bonds | — | 394,540 | — | 394,540 |
Temporary Cash Investments | 315,625 | 1,709,678 | — | 2,025,303 |
Total | 315,625 | 14,980,342 | 16 | 15,295,983 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,265 | — | — | 1,265 |
Forward Currency Contracts | — | 21,235 | — | 21,235 |
Total | 1,265 | 21,235 | — | 22,500 |
Liabilities | ||||
Futures Contracts1 | 9,267 | — | — | 9,267 |
Forward Currency Contracts | — | 1,146 | — | 1,146 |
Total | 9,267 | 1,146 | — | 10,413 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |