Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
As of April 30, 2024
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 (5.8%) | ||||||
U.S. Government Securities (5.2%) | ||||||
United States Treasury Note/Bond | 3.750% | 4/15/26 | 1,995 | 1,947 | ||
United States Treasury Note/Bond | 1.250% | 4/30/28 | 1,950 | 1,701 | ||
United States Treasury Note/Bond | 1.250% | 6/30/28 | 2,757 | 2,393 | ||
United States Treasury Note/Bond | 3.875% | 8/15/33 | 10,952 | 10,285 | ||
United States Treasury Note/Bond | 4.500% | 11/15/33 | 20,086 | 19,797 | ||
United States Treasury Note/Bond | 4.000% | 2/15/34 | 19,926 | 18,871 | ||
United States Treasury Note/Bond | 4.500% | 5/15/38 | 11,306 | 11,076 | ||
United States Treasury Note/Bond | 4.250% | 5/15/39 | 52,131 | 49,313 | ||
United States Treasury Note/Bond | 4.375% | 11/15/39 | 39,543 | 37,788 | ||
United States Treasury Note/Bond | 4.625% | 2/15/40 | 21,908 | 21,511 | ||
1 | United States Treasury Note/Bond | 1.125% | 8/15/40 | 15,590 | 9,081 | |
2 | United States Treasury Note/Bond | 4.750% | 2/15/41 | 65,896 | 65,330 | |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 35,827 | 33,879 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 16,505 | 10,898 | ||
United States Treasury Note/Bond | 3.000% | 5/15/42 | 9,322 | 7,200 | ||
1 | United States Treasury Note/Bond | 3.250% | 5/15/42 | 32,509 | 26,109 | |
United States Treasury Note/Bond | 3.375% | 8/15/42 | 8,551 | 6,976 | ||
United States Treasury Note/Bond | 2.750% | 11/15/42 | 20,070 | 14,792 | ||
United States Treasury Note/Bond | 3.875% | 2/15/43 | 7,705 | 6,732 | ||
United States Treasury Note/Bond | 3.875% | 5/15/43 | 45,464 | 39,653 | ||
United States Treasury Note/Bond | 3.625% | 8/15/43 | 17,003 | 14,256 | ||
United States Treasury Note/Bond | 4.375% | 8/15/43 | 52,377 | 48,923 | ||
United States Treasury Note/Bond | 4.750% | 11/15/43 | 7,250 | 7,112 | ||
United States Treasury Note/Bond | 4.500% | 2/15/44 | 30,825 | 29,264 | ||
United States Treasury Note/Bond | 3.125% | 8/15/44 | 5,000 | 3,851 | ||
United States Treasury Note/Bond | 2.500% | 2/15/45 | 11,350 | 7,785 | ||
United States Treasury Note/Bond | 3.000% | 5/15/45 | 77,415 | 57,964 | ||
United States Treasury Note/Bond | 2.500% | 2/15/46 | 28,700 | 19,453 | ||
United States Treasury Note/Bond | 2.250% | 8/15/46 | 34,180 | 21,875 | ||
United States Treasury Note/Bond | 3.000% | 5/15/47 | 4,085 | 3,008 | ||
United States Treasury Note/Bond | 3.000% | 2/15/48 | 4,025 | 2,950 | ||
United States Treasury Note/Bond | 3.375% | 11/15/48 | 10,673 | 8,355 | ||
United States Treasury Note/Bond | 3.000% | 2/15/49 | 9,793 | 7,141 | ||
United States Treasury Note/Bond | 2.375% | 11/15/49 | 1,700 | 1,084 | ||
United States Treasury Note/Bond | 1.625% | 11/15/50 | 8,500 | 4,441 | ||
United States Treasury Note/Bond | 2.375% | 5/15/51 | 15,000 | 9,464 | ||
1 | United States Treasury Note/Bond | 2.000% | 8/15/51 | 16,483 | 9,462 | |
United States Treasury Note/Bond | 1.875% | 11/15/51 | 14,142 | 7,842 | ||
2 | United States Treasury Note/Bond | 2.250% | 2/15/52 | 10,333 | 6,302 | |
United States Treasury Note/Bond | 2.875% | 5/15/52 | 8,918 | 6,276 | ||
United States Treasury Note/Bond | 3.000% | 8/15/52 | 8,946 | 6,461 | ||
United States Treasury Note/Bond | 4.000% | 11/15/52 | 4,012 | 3,516 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
United States Treasury Note/Bond | 3.625% | 2/15/53 | 18,581 | 15,181 | ||
United States Treasury Note/Bond | 3.625% | 5/15/53 | 15,474 | 12,648 | ||
United States Treasury Note/Bond | 4.125% | 8/15/53 | 10,326 | 9,247 | ||
United States Treasury Note/Bond | 4.750% | 11/15/53 | 39,489 | 39,279 | ||
United States Treasury Note/Bond | 4.250% | 2/15/54 | 9,780 | 8,955 | ||
United States Treasury Strip Principal | 0.000% | 2/15/48 | 15,000 | 4,741 | ||
772,168 | ||||||
Agency Bonds and Notes (0.3%) | ||||||
Tennessee Valley Authority | 5.250% | 9/15/39 | 33,800 | 33,966 | ||
Tennessee Valley Authority | 4.250% | 9/15/65 | 10,000 | 8,126 | ||
42,092 | ||||||
Conventional Mortgage-Backed Securities (0.3%) | ||||||
3,4 | UMBS Pool | 2.320% | 4/1/36 | 37,423 | 28,030 | |
3,4 | UMBS Pool | 2.120% | 10/1/36 | 23,000 | 16,622 | |
44,652 | ||||||
Total U.S. Government and Agency Obligations (Cost $924,804) | 858,912 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%) | ||||||
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K-1521 | 2.184% | 8/25/36 | 21,675 | 15,701 | |
3,4 | Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K-1522 | 2.361% | 10/25/36 | 29,170 | 21,550 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $52,147) | 37,251 | |||||
Corporate Bonds (80.1%) | ||||||
Communications (4.6%) | ||||||
America Movil SAB de CV | 4.375% | 4/22/49 | 34,805 | 28,258 | ||
AT&T Inc. | 3.500% | 6/1/41 | 15,700 | 11,654 | ||
AT&T Inc. | 4.650% | 6/1/44 | 1,520 | 1,263 | ||
AT&T Inc. | 3.650% | 6/1/51 | 13,690 | 9,425 | ||
AT&T Inc. | 3.500% | 9/15/53 | 11,890 | 7,829 | ||
AT&T Inc. | 3.800% | 12/1/57 | 3,697 | 2,499 | ||
Bell Telephone Co. of Canada or Bell Canada | 5.550% | 2/15/54 | 5,240 | 4,921 | ||
5 | CK Hutchison Group Telecom Finance SA | 2.625% | 10/17/34 | 500 | 443 | |
Comcast Corp. | 5.650% | 6/15/35 | 6,492 | 6,489 | ||
Comcast Corp. | 6.500% | 11/15/35 | 4,320 | 4,613 | ||
Comcast Corp. | 3.900% | 3/1/38 | 15,335 | 12,708 | ||
Comcast Corp. | 4.600% | 10/15/38 | 7,024 | 6,245 | ||
Comcast Corp. | 3.250% | 11/1/39 | 5,540 | 4,107 | ||
Comcast Corp. | 3.750% | 4/1/40 | 12,100 | 9,587 | ||
Comcast Corp. | 4.500% | 1/15/43 | 1,184 | 985 | ||
Comcast Corp. | 4.750% | 3/1/44 | 5,045 | 4,418 | ||
Comcast Corp. | 3.400% | 7/15/46 | 14,755 | 10,340 | ||
Comcast Corp. | 4.000% | 8/15/47 | 18,875 | 14,408 | ||
Comcast Corp. | 3.969% | 11/1/47 | 80,688 | 61,089 | ||
Comcast Corp. | 4.700% | 10/15/48 | 6,335 | 5,449 | ||
Comcast Corp. | 3.999% | 11/1/49 | 30,176 | 22,785 | ||
Comcast Corp. | 3.450% | 2/1/50 | 8,500 | 5,832 | ||
Comcast Corp. | 2.887% | 11/1/51 | 48,403 | 29,248 | ||
Comcast Corp. | 2.450% | 8/15/52 | 2,000 | 1,088 | ||
Comcast Corp. | 4.049% | 11/1/52 | 3,837 | 2,887 | ||
Comcast Corp. | 5.350% | 5/15/53 | 26,410 | 24,604 | ||
Comcast Corp. | 2.937% | 11/1/56 | 122,325 | 71,281 | ||
Comcast Corp. | 4.950% | 10/15/58 | 1,266 | 1,102 | ||
Comcast Corp. | 2.650% | 8/15/62 | 3,000 | 1,570 | ||
Comcast Corp. | 2.987% | 11/1/63 | 112,190 | 63,913 | ||
Comcast Corp. | 5.500% | 5/15/64 | 10,950 | 10,203 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
6 | Cox Communications Inc. | 5.800% | 12/15/53 | 2,400 | 2,233 | |
6 | Deutsche Telekom AG | 3.625% | 1/21/50 | 3,180 | 2,249 | |
Discovery Communications LLC | 4.650% | 5/15/50 | 1,820 | 1,314 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 1,525 | 954 | ||
6 | DISH Network Corp. | 11.750% | 11/15/27 | 190 | 192 | |
7 | Koninklijke KPN NV | 3.875% | 2/16/36 | 200 | 209 | |
6 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 98 | 57 | |
6 | Level 3 Financing Inc. | 3.875% | 11/15/29 | 45 | 16 | |
Meta Platforms Inc. | 4.450% | 8/15/52 | 8,000 | 6,649 | ||
Meta Platforms Inc. | 5.600% | 5/15/53 | 72,735 | 72,010 | ||
Meta Platforms Inc. | 5.750% | 5/15/63 | 29,380 | 29,267 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 8,827 | 7,412 | ||
Orange SA | 5.375% | 1/13/42 | 1,000 | 941 | ||
7 | T Mobile USA Inc. | 3.850% | 5/8/36 | 300 | 318 | |
Telefonica Emisiones SA | 4.665% | 3/6/38 | 950 | 822 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 2,000 | 1,730 | ||
Time Warner Cable LLC | 7.300% | 7/1/38 | 1,390 | 1,348 | ||
T-Mobile USA Inc. | 3.000% | 2/15/41 | 2,000 | 1,399 | ||
T-Mobile USA Inc. | 5.500% | 1/15/55 | 3,725 | 3,499 | ||
TWDC Enterprises 18 Corp. | 3.000% | 7/30/46 | 5,837 | 3,836 | ||
Verizon Communications Inc. | 3.400% | 3/22/41 | 5,528 | 4,115 | ||
Verizon Communications Inc. | 4.862% | 8/21/46 | 2,280 | 2,013 | ||
Verizon Communications Inc. | 5.500% | 2/23/54 | 1,580 | 1,502 | ||
Vodafone Group plc | 5.625% | 2/10/53 | 3,205 | 2,998 | ||
7 | Vodafone International Financing DAC | 4.000% | 2/10/43 | 200 | 209 | |
Walt Disney Co. | 6.200% | 12/15/34 | 3,326 | 3,544 | ||
Walt Disney Co. | 6.400% | 12/15/35 | 2,218 | 2,379 | ||
Walt Disney Co. | 6.650% | 11/15/37 | 2,710 | 2,983 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 48,715 | 37,935 | ||
Walt Disney Co. | 4.750% | 9/15/44 | 10,464 | 9,274 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 58,270 | 35,971 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 2,995 | 2,171 | ||
Warnermedia Holdings Inc. | 5.050% | 3/15/42 | 2,450 | 1,964 | ||
Warnermedia Holdings Inc. | 5.391% | 3/15/62 | 1,130 | 865 | ||
685,621 | ||||||
Consumer Discretionary (4.5%) | ||||||
Alibaba Group Holding Ltd. | 4.000% | 12/6/37 | 21,010 | 17,470 | ||
Alibaba Group Holding Ltd. | 4.200% | 12/6/47 | 14,873 | 11,552 | ||
Alibaba Group Holding Ltd. | 4.400% | 12/6/57 | 8,530 | 6,586 | ||
Amazon.com Inc. | 4.050% | 8/22/47 | 67,075 | 54,786 | ||
Amazon.com Inc. | 2.500% | 6/3/50 | 28,720 | 17,028 | ||
Amazon.com Inc. | 3.100% | 5/12/51 | 22,740 | 15,191 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 42,417 | 34,483 | ||
Amazon.com Inc. | 2.700% | 6/3/60 | 18,830 | 10,796 | ||
Amazon.com Inc. | 3.250% | 5/12/61 | 28,475 | 18,531 | ||
Amazon.com Inc. | 4.100% | 4/13/62 | 33,035 | 25,839 | ||
3 | American University | 3.672% | 4/1/49 | 2,563 | 1,953 | |
Brown University | 2.924% | 9/1/50 | 1,600 | 1,037 | ||
California Institute of Technology | 3.650% | 9/1/19 | 4,242 | 2,727 | ||
Case Western Reserve University | 5.405% | 6/1/22 | 1,893 | 1,742 | ||
3 | Duke University | 2.682% | 10/1/44 | 3,100 | 2,155 | |
3 | Duke University | 2.832% | 10/1/55 | 10,635 | 6,633 | |
6 | ERAC USA Finance LLC | 5.200% | 10/30/34 | 7,080 | 6,825 | |
6 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 2,850 | 3,120 | |
Ford Foundation | 2.815% | 6/1/70 | 1,950 | 1,092 | ||
Ford Motor Co. | 9.625% | 4/22/30 | 10 | 11 | ||
General Motors Co. | 5.150% | 4/1/38 | 1,000 | 899 | ||
General Motors Co. | 5.200% | 4/1/45 | 1,500 | 1,284 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
General Motors Co. | 5.400% | 4/1/48 | 1,000 | 873 | ||
General Motors Co. | 5.950% | 4/1/49 | 2,000 | 1,880 | ||
George Washington University | 4.300% | 9/15/44 | 2,890 | 2,445 | ||
Georgetown University | 4.315% | 4/1/49 | 7,515 | 6,273 | ||
Georgetown University | 2.943% | 4/1/50 | 18,790 | 12,212 | ||
Home Depot Inc. | 5.875% | 12/16/36 | 2,595 | 2,690 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 1,000 | 760 | ||
Home Depot Inc. | 5.400% | 9/15/40 | 947 | 925 | ||
Home Depot Inc. | 5.950% | 4/1/41 | 18,480 | 19,125 | ||
Home Depot Inc. | 4.875% | 2/15/44 | 45,115 | 40,794 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 12,900 | 10,904 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 21,515 | 17,682 | ||
Home Depot Inc. | 3.900% | 6/15/47 | 31,240 | 24,157 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 2,320 | 1,962 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 1,450 | 960 | ||
Home Depot Inc. | 3.350% | 4/15/50 | 4,030 | 2,780 | ||
Home Depot Inc. | 2.375% | 3/15/51 | 500 | 279 | ||
Home Depot Inc. | 2.750% | 9/15/51 | 23,930 | 14,458 | ||
Home Depot Inc. | 3.625% | 4/15/52 | 3,120 | 2,256 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 947 | 654 | ||
Indiana University Foundation Inc. | 2.820% | 10/1/51 | 6,000 | 3,740 | ||
3 | Johns Hopkins University | 2.813% | 1/1/60 | 2,000 | 1,243 | |
Leland Stanford Junior University | 3.647% | 5/1/48 | 16,833 | 13,347 | ||
Leland Stanford Junior University | 2.413% | 6/1/50 | 1,600 | 966 | ||
Lowe's Cos. Inc. | 4.250% | 4/1/52 | 1,525 | 1,179 | ||
3 | Massachusetts Institute of Technology | 3.959% | 7/1/38 | 24,140 | 21,241 | |
Massachusetts Institute of Technology | 2.989% | 7/1/50 | 1,600 | 1,089 | ||
Massachusetts Institute of Technology | 3.067% | 4/1/52 | 1,600 | 1,095 | ||
Massachusetts Institute of Technology | 5.600% | 7/1/11 | 1,920 | 1,947 | ||
Massachusetts Institute of Technology | 4.678% | 7/1/14 | 1,305 | 1,101 | ||
7 | McDonald's Corp. | 4.125% | 11/28/35 | 400 | 432 | |
McDonald's Corp. | 3.625% | 9/1/49 | 4,400 | 3,145 | ||
McDonald's Corp. | 5.450% | 8/14/53 | 24,590 | 23,431 | ||
NIKE Inc. | 3.625% | 5/1/43 | 10,604 | 8,223 | ||
NIKE Inc. | 3.375% | 11/1/46 | 19,180 | 13,721 | ||
3 | Northeastern University | 2.894% | 10/1/50 | 17,647 | 11,631 | |
6 | President and Fellows of Harvard College | 6.500% | 1/15/39 | 3,709 | 4,168 | |
President and Fellows of Harvard College | 4.875% | 10/15/40 | 750 | 710 | ||
President and Fellows of Harvard College | 3.150% | 7/15/46 | 17,450 | 12,541 | ||
President and Fellows of Harvard College | 3.745% | 11/15/52 | 21,590 | 16,832 | ||
7 | Robert Bosch GmbH | 4.375% | 6/2/43 | 300 | 326 | |
Rockefeller Foundation | 2.492% | 10/1/50 | 38,532 | 23,192 | ||
Thomas Jefferson University | 3.847% | 11/1/57 | 17,300 | 12,203 | ||
Trustees of Princeton University | 2.516% | 7/1/50 | 3,040 | 1,910 | ||
Trustees of Princeton University | 4.201% | 3/1/52 | 10,598 | 8,982 | ||
3 | University of Chicago | 2.761% | 4/1/45 | 11,735 | 8,789 | |
3 | University of Chicago | 2.547% | 4/1/50 | 10,000 | 6,423 | |
University of Chicago | 3.000% | 10/1/52 | 5,695 | 3,855 | ||
3 | University of Southern California | 3.028% | 10/1/39 | 2,500 | 1,934 | |
University of Southern California | 4.976% | 10/1/53 | 17,610 | 16,629 | ||
7 | Volkswagen International Finance NV | 1.500% | 1/21/41 | 100 | 72 | |
Washington University | 3.524% | 4/15/54 | 2,300 | 1,692 | ||
Washington University | 4.349% | 4/15/22 | 1,830 | 1,399 | ||
6 | WK Kellogg Foundation Trust | 2.443% | 10/1/50 | 42,390 | 24,853 | |
Yale University | 2.402% | 4/15/50 | 19,845 | 11,950 | ||
671,800 | ||||||
Consumer Staples (5.3%) | ||||||
Altria Group Inc. | 4.450% | 5/6/50 | 1,130 | 852 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 23,950 | 22,298 | ||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.900% | 2/1/46 | 193,945 | 174,714 | ||
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 2,000 | 1,734 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 5,500 | 4,869 | ||
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 12,383 | 15,402 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.450% | 1/23/39 | 6,000 | 5,893 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.350% | 6/1/40 | 6,588 | 5,678 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 3,800 | 3,487 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 10,831 | 9,345 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.439% | 10/6/48 | 7,025 | 5,889 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.550% | 1/23/49 | 72,770 | 71,682 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.500% | 6/1/50 | 2,685 | 2,308 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 4/15/58 | 14,975 | 12,911 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.800% | 1/23/59 | 3,805 | 3,865 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 18,749 | 15,411 | ||
Archer-Daniels-Midland Co. | 2.700% | 9/15/51 | 17,350 | 10,360 | ||
6 | Bacardi Ltd. / Bacardi-Martini BV | 5.900% | 6/15/43 | 12,715 | 12,138 | |
BAT Capital Corp. | 4.390% | 8/15/37 | 1,375 | 1,128 | ||
BAT Capital Corp. | 7.079% | 8/2/43 | 1,800 | 1,868 | ||
BAT Capital Corp. | 4.540% | 8/15/47 | 3,535 | 2,640 | ||
BAT Capital Corp. | 4.758% | 9/6/49 | 5,915 | 4,553 | ||
BAT Capital Corp. | 7.081% | 8/2/53 | 2,190 | 2,294 | ||
5 | BAT International Finance plc | 2.250% | 9/9/52 | 300 | 166 | |
6 | Cargill Inc. | 4.760% | 11/23/45 | 20,000 | 17,433 | |
6 | Cargill Inc. | 3.125% | 5/25/51 | 13,715 | 8,911 | |
6 | Cargill Inc. | 4.375% | 4/22/52 | 6,210 | 5,094 | |
Coca-Cola Co. | 2.875% | 5/5/41 | 10,925 | 7,818 | ||
Coca-Cola Co. | 2.600% | 6/1/50 | 30,500 | 18,562 | ||
Coca-Cola Co. | 3.000% | 3/5/51 | 37,160 | 24,634 | ||
Coca-Cola Co. | 2.500% | 3/15/51 | 17,750 | 10,475 | ||
Estee Lauder Cos. Inc. | 5.150% | 5/15/53 | 1,820 | 1,683 | ||
Hershey Co. | 3.125% | 11/15/49 | 20,500 | 13,799 | ||
J M Smucker Co. | 6.500% | 11/15/43 | 1,455 | 1,511 | ||
J M Smucker Co. | 6.500% | 11/15/53 | 2,555 | 2,683 | ||
6 | JBS USA LUX SA / JBS USA Food Co. / JBS Luxembourg Sarl | 7.250% | 11/15/53 | 2,300 | 2,365 | |
Kenvue Inc. | 5.100% | 3/22/43 | 12,905 | 12,173 | ||
Kenvue Inc. | 5.050% | 3/22/53 | 19,020 | 17,547 | ||
Kenvue Inc. | 5.200% | 3/22/63 | 13,235 | 12,228 | ||
Keurig Dr Pepper Inc. | 4.500% | 11/15/45 | 1,000 | 829 | ||
Kimberly-Clark Corp. | 3.200% | 7/30/46 | 14,400 | 9,976 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 2,150 | 1,845 | ||
6 | Nestle Capital Corp. | 5.100% | 3/12/54 | 36,620 | 34,195 | |
7 | Nestle Finance International Ltd. | 3.750% | 11/14/35 | 500 | 545 | |
6 | Nestle Holdings Inc. | 4.000% | 9/24/48 | 22,130 | 17,535 | |
PepsiCo Inc. | 2.750% | 10/21/51 | 13,335 | 8,249 | ||
PepsiCo Inc. | 4.650% | 2/15/53 | 44,960 | 39,814 | ||
Philip Morris International Inc. | 6.375% | 5/16/38 | 14,871 | 15,637 | ||
7 | Philip Morris International Inc. | 1.450% | 8/1/39 | 600 | 423 | |
Philip Morris International Inc. | 4.375% | 11/15/41 | 4,890 | 4,036 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 6,750 | 5,154 | ||
Philip Morris International Inc. | 4.125% | 3/4/43 | 30,475 | 24,032 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 9,345 | 8,122 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 4,290 | 3,403 | ||
6 | SC Johnson & Son Inc. | 4.000% | 5/15/43 | 28,110 | 21,614 | |
Target Corp. | 3.900% | 11/15/47 | 2,000 | 1,543 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Target Corp. | 2.950% | 1/15/52 | 23,895 | 15,138 | ||
Target Corp. | 4.800% | 1/15/53 | 2,370 | 2,114 | ||
Unilever Capital Corp. | 2.625% | 8/12/51 | 2,000 | 1,233 | ||
Walmart Inc. | 3.625% | 12/15/47 | 7,380 | 5,671 | ||
Walmart Inc. | 4.500% | 4/15/53 | 17,530 | 15,263 | ||
784,772 | ||||||
Energy (6.2%) | ||||||
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc. | 4.080% | 12/15/47 | 2,500 | 1,948 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 25,555 | 18,358 | ||
BP Capital Markets America Inc. | 3.000% | 2/24/50 | 21,760 | 13,952 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 37,140 | 22,503 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 64,545 | 40,417 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 32,280 | 20,412 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 41,895 | 27,128 | ||
7 | BP Capital Markets BV | 1.467% | 9/21/41 | 300 | 217 | |
Burlington Resources LLC | 5.950% | 10/15/36 | 2,000 | 2,052 | ||
Cheniere Corpus Christi Holdings LLC | 2.742% | 12/31/39 | 968 | 766 | ||
Chevron Corp. | 3.078% | 5/11/50 | 19,305 | 12,867 | ||
6 | Columbia Pipelines Operating Co. LLC | 6.544% | 11/15/53 | 12,945 | 13,348 | |
ConocoPhillips Co. | 3.758% | 3/15/42 | 7,900 | 6,171 | ||
ConocoPhillips Co. | 4.300% | 11/15/44 | 9,348 | 7,776 | ||
ConocoPhillips Co. | 5.950% | 3/15/46 | 1,000 | 1,017 | ||
ConocoPhillips Co. | 3.800% | 3/15/52 | 41,665 | 30,633 | ||
ConocoPhillips Co. | 5.300% | 5/15/53 | 22,090 | 20,711 | ||
ConocoPhillips Co. | 5.550% | 3/15/54 | 16,680 | 16,164 | ||
ConocoPhillips Co. | 4.025% | 3/15/62 | 38,575 | 28,412 | ||
ConocoPhillips Co. | 5.700% | 9/15/63 | 12,740 | 12,495 | ||
6 | DCP Midstream Operating LP | 6.750% | 9/15/37 | 6,085 | 6,358 | |
DCP Midstream Operating LP | 5.600% | 4/1/44 | 2,270 | 2,127 | ||
Diamondback Energy Inc. | 5.750% | 4/18/54 | 7,755 | 7,402 | ||
Diamondback Energy Inc. | 5.900% | 4/18/64 | 7,455 | 7,093 | ||
6 | EIG Pearl Holdings Sarl | 4.387% | 11/30/46 | 15,940 | 11,950 | |
Enbridge Inc. | 6.700% | 11/15/53 | 15,840 | 16,952 | ||
Enbridge Inc. | 5.950% | 4/5/54 | 4,170 | 4,042 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 3,056 | 2,639 | ||
Energy Transfer LP | 5.000% | 5/15/50 | 3,000 | 2,490 | ||
Energy Transfer LP | 5.950% | 5/15/54 | 2,835 | 2,672 | ||
Enterprise Products Operating LLC | 4.850% | 1/31/34 | 6,170 | 5,887 | ||
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 5,695 | 5,159 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 3,375 | 2,979 | ||
Enterprise Products Operating LLC | 4.200% | 1/31/50 | 22,265 | 17,608 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 2,305 | 1,659 | ||
Enterprise Products Operating LLC | 3.200% | 2/15/52 | 4,000 | 2,600 | ||
Enterprise Products Operating LLC | 3.300% | 2/15/53 | 1,800 | 1,190 | ||
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 1,500 | 1,306 | ||
Enterprise Products Operating LLC | 3.950% | 1/31/60 | 17,110 | 12,288 | ||
EOG Resources Inc. | 3.900% | 4/1/35 | 1,650 | 1,451 | ||
EOG Resources Inc. | 4.950% | 4/15/50 | 23,160 | 20,936 | ||
Equinor ASA | 3.625% | 4/6/40 | 19,225 | 15,294 | ||
Equinor ASA | 4.250% | 11/23/41 | 1,944 | 1,656 | ||
Equinor ASA | 3.950% | 5/15/43 | 35,350 | 28,550 | ||
Equinor ASA | 3.250% | 11/18/49 | 18,640 | 12,746 | ||
Equinor ASA | 3.700% | 4/6/50 | 19,800 | 14,649 | ||
Exxon Mobil Corp. | 2.995% | 8/16/39 | 5,178 | 3,843 | ||
Exxon Mobil Corp. | 4.227% | 3/19/40 | 5,000 | 4,344 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 23,530 | 19,164 | ||
Exxon Mobil Corp. | 3.095% | 8/16/49 | 14,590 | 9,716 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Exxon Mobil Corp. | 4.327% | 3/19/50 | 55,042 | 45,737 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 3,550 | 2,511 | ||
6 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 21,690 | 16,623 | |
3,6 | Greensaif Pipelines Bidco Sarl | 6.129% | 2/23/38 | 7,850 | 7,749 | |
3,6 | Greensaif Pipelines Bidco Sarl | 6.510% | 2/23/42 | 21,035 | 21,131 | |
Halliburton Co. | 4.500% | 11/15/41 | 960 | 812 | ||
Halliburton Co. | 5.000% | 11/15/45 | 4,580 | 4,095 | ||
Hess Corp. | 5.800% | 4/1/47 | 10,867 | 10,625 | ||
6 | Northern Natural Gas Co. | 5.625% | 2/1/54 | 6,750 | 6,471 | |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 2,290 | 1,769 | ||
Ovintiv Inc. | 6.500% | 2/1/38 | 891 | 892 | ||
Petroleos del Peru SA | 5.625% | 6/19/47 | 2,075 | 1,265 | ||
Petroleos Mexicanos | 6.500% | 6/2/41 | 711 | 470 | ||
Petroleos Mexicanos | 6.375% | 1/23/45 | 77 | 48 | ||
Petroleos Mexicanos | 6.750% | 9/21/47 | 397 | 253 | ||
Petroleos Mexicanos | 6.950% | 1/28/60 | 912 | 580 | ||
Phillips 66 Co. | 5.650% | 6/15/54 | 1,855 | 1,771 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 8,890 | 7,991 | ||
Shell International Finance BV | 6.375% | 12/15/38 | 4,211 | 4,550 | ||
Shell International Finance BV | 2.875% | 11/26/41 | 15,345 | 10,760 | ||
Shell International Finance BV | 3.625% | 8/21/42 | 1,000 | 776 | ||
Shell International Finance BV | 4.550% | 8/12/43 | 15,195 | 13,268 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 42,595 | 35,720 | ||
Shell International Finance BV | 4.000% | 5/10/46 | 37,137 | 29,297 | ||
Shell International Finance BV | 3.750% | 9/12/46 | 63,375 | 48,120 | ||
Shell International Finance BV | 3.125% | 11/7/49 | 5,000 | 3,318 | ||
Shell International Finance BV | 3.250% | 4/6/50 | 16,730 | 11,348 | ||
Shell International Finance BV | 3.000% | 11/26/51 | 33,789 | 21,470 | ||
Suncor Energy Inc. | 6.500% | 6/15/38 | 656 | 673 | ||
Suncor Energy Inc. | 3.750% | 3/4/51 | 325 | 226 | ||
Targa Resources Corp. | 6.500% | 2/15/53 | 4,565 | 4,681 | ||
TotalEnergies Capital International SA | 2.986% | 6/29/41 | 28,045 | 20,002 | ||
TotalEnergies Capital International SA | 3.461% | 7/12/49 | 500 | 355 | ||
TotalEnergies Capital International SA | 3.127% | 5/29/50 | 28,725 | 19,189 | ||
TotalEnergies Capital SA | 5.488% | 4/5/54 | 13,045 | 12,691 | ||
TotalEnergies Capital SA | 5.638% | 4/5/64 | 6,670 | 6,533 | ||
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 1,798 | 1,768 | ||
919,635 | ||||||
Financials (16.3%) | ||||||
ACE Capital Trust II | 9.700% | 4/1/30 | 3,745 | 4,366 | ||
Aflac Inc. | 4.000% | 10/15/46 | 900 | 685 | ||
Aflac Inc. | 4.750% | 1/15/49 | 800 | 692 | ||
Allstate Corp. | 4.200% | 12/15/46 | 12,485 | 9,754 | ||
Allstate Corp. | 3.850% | 8/10/49 | 1,956 | 1,438 | ||
Aon North America Inc. | 5.750% | 3/1/54 | 34,585 | 33,432 | ||
Athene Holding Ltd. | 6.250% | 4/1/54 | 3,925 | 3,819 | ||
5 | Aviva plc | 6.875% | 5/20/58 | 200 | 251 | |
Bank of America Corp. | 5.468% | 1/23/35 | 24,465 | 23,781 | ||
Bank of America Corp. | 6.110% | 1/29/37 | 3,957 | 4,028 | ||
Bank of America Corp. | 4.244% | 4/24/38 | 68,876 | 59,275 | ||
Bank of America Corp. | 7.750% | 5/14/38 | 2,300 | 2,685 | ||
Bank of America Corp. | 4.078% | 4/23/40 | 23,960 | 19,747 | ||
Bank of America Corp. | 2.676% | 6/19/41 | 64,163 | 43,382 | ||
Bank of America Corp. | 5.875% | 2/7/42 | 4,000 | 4,090 | ||
Bank of America Corp. | 3.311% | 4/22/42 | 57,690 | 42,380 | ||
Bank of America Corp. | 5.000% | 1/21/44 | 2,560 | 2,353 | ||
Bank of America Corp. | 4.443% | 1/20/48 | 28,155 | 23,159 | ||
Bank of America Corp. | 3.946% | 1/23/49 | 64,760 | 49,789 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Bank of America Corp. | 4.330% | 3/15/50 | 24,571 | 19,840 | ||
Bank of America Corp. | 4.083% | 3/20/51 | 34,765 | 26,907 | ||
Bank of America Corp. | 2.831% | 10/24/51 | 22,445 | 13,644 | ||
Bank of America Corp. | 3.483% | 3/13/52 | 1,000 | 696 | ||
Bank of America Corp. | 2.972% | 7/21/52 | 3,500 | 2,201 | ||
Bank of New York Mellon Corp. | 6.474% | 10/25/34 | 27,275 | 28,779 | ||
Barclays plc | 6.036% | 3/12/55 | 12,130 | 12,037 | ||
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 2,000 | 1,735 | ||
Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 4,000 | 3,324 | ||
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/49 | 10,100 | 8,502 | ||
Berkshire Hathaway Finance Corp. | 2.850% | 10/15/50 | 3,000 | 1,889 | ||
Berkshire Hathaway Finance Corp. | 3.850% | 3/15/52 | 8,900 | 6,740 | ||
BlackRock Funding Inc. | 5.250% | 3/14/54 | 24,110 | 22,799 | ||
BNP Paribas SA | 5.894% | 12/5/34 | 15,935 | 16,101 | ||
7 | BPCE SA | 3.875% | 1/25/36 | 600 | 638 | |
Capital One Financial Corp. | 6.051% | 2/1/35 | 7,505 | 7,381 | ||
Chubb INA Holdings Inc. | 5.000% | 3/15/34 | 2,415 | 2,340 | ||
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 1,500 | 1,244 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 22,075 | 18,474 | ||
Chubb INA Holdings Inc. | 3.050% | 12/15/61 | 7,235 | 4,474 | ||
Citigroup Inc. | 3.878% | 1/24/39 | 63,980 | 52,275 | ||
Citigroup Inc. | 8.125% | 7/15/39 | 2,000 | 2,444 | ||
Citigroup Inc. | 5.316% | 3/26/41 | 10,000 | 9,454 | ||
Citigroup Inc. | 5.875% | 1/30/42 | 3,490 | 3,522 | ||
Citigroup Inc. | 2.904% | 11/3/42 | 1,560 | 1,065 | ||
Citigroup Inc. | 4.650% | 7/30/45 | 11,342 | 9,709 | ||
Citigroup Inc. | 4.281% | 4/24/48 | 1,900 | 1,537 | ||
Citigroup Inc. | 4.650% | 7/23/48 | 9,275 | 7,925 | ||
Corebridge Financial Inc. | 4.350% | 4/5/42 | 4,000 | 3,207 | ||
Corebridge Financial Inc. | 4.400% | 4/5/52 | 3,990 | 3,062 | ||
7 | Credit Agricole SA | 4.125% | 2/26/36 | 400 | 427 | |
6 | FMR LLC | 6.450% | 11/15/39 | 16,010 | 16,532 | |
GATX Corp. | 3.100% | 6/1/51 | 2,725 | 1,665 | ||
6 | Global Atlantic Fin Co. | 7.950% | 6/15/33 | 6,210 | 6,721 | |
6 | Global Atlantic Fin Co. | 6.750% | 3/15/54 | 1,670 | 1,620 | |
Goldman Sachs Group Inc. | 5.851% | 4/25/35 | 12,320 | 12,331 | ||
Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 115,690 | 95,563 | ||
Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 31,315 | 26,946 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 8,200 | 8,565 | ||
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 2,300 | 1,648 | ||
Goldman Sachs Group Inc. | 2.908% | 7/21/42 | 21,261 | 14,507 | ||
Goldman Sachs Group Inc. | 3.436% | 2/24/43 | 22,570 | 16,583 | ||
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 4,600 | 4,052 | ||
HSBC Bank USA NA | 5.625% | 8/15/35 | 750 | 716 | ||
HSBC Holdings plc | 6.500% | 9/15/37 | 20,523 | 20,662 | ||
HSBC Holdings plc | 6.800% | 6/1/38 | 33,749 | 35,118 | ||
HSBC Holdings plc | 6.332% | 3/9/44 | 44,075 | 45,052 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 1,000 | 682 | ||
Intercontinental Exchange Inc. | 4.250% | 9/21/48 | 9,125 | 7,385 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 11,420 | 7,273 | ||
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 57,395 | 51,700 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 2,211 | 1,299 | ||
Intercontinental Exchange Inc. | 5.200% | 6/15/62 | 44,205 | 40,343 | ||
6 | Intesa Sanpaolo SpA | 7.800% | 11/28/53 | 5,545 | 5,964 | |
Invesco Finance plc | 5.375% | 11/30/43 | 5,163 | 4,774 | ||
7 | JAB Holdings BV | 2.250% | 12/19/39 | 400 | 316 | |
JPMorgan Chase & Co. | 5.336% | 1/23/35 | 4,905 | 4,755 | ||
JPMorgan Chase & Co. | 5.766% | 4/22/35 | 26,205 | 26,254 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 25,899 | 27,933 | ||
JPMorgan Chase & Co. | 3.882% | 7/24/38 | 52,342 | 43,569 | ||
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 24,480 | 24,093 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/41 | 18,000 | 13,074 | ||
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 6,286 | 6,255 | ||
JPMorgan Chase & Co. | 2.525% | 11/19/41 | 1,910 | 1,263 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 2,730 | 2,651 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 27,500 | 19,818 | ||
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 1,970 | 1,779 | ||
JPMorgan Chase & Co. | 4.260% | 2/22/48 | 36,921 | 29,854 | ||
JPMorgan Chase & Co. | 4.032% | 7/24/48 | 33,990 | 26,529 | ||
JPMorgan Chase & Co. | 3.964% | 11/15/48 | 108,610 | 83,587 | ||
JPMorgan Chase & Co. | 3.897% | 1/23/49 | 45,555 | 34,916 | ||
JPMorgan Chase & Co. | 3.109% | 4/22/51 | 19,160 | 12,577 | ||
JPMorgan Chase & Co. | 3.328% | 4/22/52 | 31,925 | 21,698 | ||
Lloyds Banking Group plc | 5.679% | 1/5/35 | 12,335 | 12,041 | ||
6 | LSEGA Financing plc | 3.200% | 4/6/41 | 23,170 | 16,710 | |
M&T Bank Corp. | 6.082% | 3/13/32 | 14,020 | 13,672 | ||
Marsh & McLennan Cos. Inc. | 4.200% | 3/1/48 | 1,200 | 951 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 2,500 | 2,203 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 700 | 425 | ||
Marsh & McLennan Cos. Inc. | 6.250% | 11/1/52 | 1,500 | 1,584 | ||
Marsh & McLennan Cos. Inc. | 5.450% | 3/15/53 | 9,300 | 8,811 | ||
Marsh & McLennan Cos. Inc. | 5.700% | 9/15/53 | 1,200 | 1,183 | ||
Marsh & McLennan Cos. Inc. | 5.450% | 3/15/54 | 2,340 | 2,232 | ||
6 | Massachusetts Mutual Life Insurance Co. | 3.375% | 4/15/50 | 7,366 | 4,831 | |
6 | Massachusetts Mutual Life Insurance Co. | 3.729% | 10/15/70 | 15,195 | 9,510 | |
MetLife Inc. | 6.375% | 6/15/34 | 3,000 | 3,180 | ||
MetLife Inc. | 4.125% | 8/13/42 | 31,131 | 25,161 | ||
MetLife Inc. | 4.875% | 11/13/43 | 11,950 | 10,594 | ||
MetLife Inc. | 4.600% | 5/13/46 | 1,500 | 1,282 | ||
MetLife Inc. | 5.000% | 7/15/52 | 4,000 | 3,564 | ||
MetLife Inc. | 5.250% | 1/15/54 | 4,000 | 3,720 | ||
Mitsubishi UFJ Financial Group Inc. | 3.751% | 7/18/39 | 3,000 | 2,442 | ||
Morgan Stanley | 6.627% | 11/1/34 | 18,770 | 19,832 | ||
Morgan Stanley | 5.466% | 1/18/35 | 28,835 | 28,072 | ||
7 | Morgan Stanley | 3.955% | 3/21/35 | 500 | 529 | |
Morgan Stanley | 5.831% | 4/19/35 | 20,415 | 20,426 | ||
Morgan Stanley | 5.948% | 1/19/38 | 8,990 | 8,752 | ||
8 | Morgan Stanley | 3.971% | 7/22/38 | 83,115 | 68,247 | |
Morgan Stanley | 5.942% | 2/7/39 | 15,990 | 15,411 | ||
Morgan Stanley | 4.457% | 4/22/39 | 2,380 | 2,076 | ||
Morgan Stanley | 3.217% | 4/22/42 | 4,380 | 3,171 | ||
Morgan Stanley | 6.375% | 7/24/42 | 37,300 | 40,198 | ||
Morgan Stanley | 4.300% | 1/27/45 | 16,955 | 14,107 | ||
Morgan Stanley | 4.375% | 1/22/47 | 8,360 | 6,929 | ||
Morgan Stanley | 5.597% | 3/24/51 | 4,390 | 4,335 | ||
Morgan Stanley | 2.802% | 1/25/52 | 4,000 | 2,439 | ||
Nasdaq Inc. | 2.500% | 12/21/40 | 6,042 | 3,858 | ||
Nasdaq Inc. | 5.950% | 8/15/53 | 8,860 | 8,758 | ||
Nasdaq Inc. | 6.100% | 6/28/63 | 23,465 | 23,493 | ||
6 | Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 19,046 | 23,695 | |
6 | Nationwide Mutual Insurance Co. | 4.950% | 4/22/44 | 13,215 | 10,987 | |
6 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 7,235 | 5,389 | |
6 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 8,944 | 6,664 | |
6 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 28,074 | 18,376 | |
Progressive Corp. | 4.125% | 4/15/47 | 1,800 | 1,443 | ||
Progressive Corp. | 3.950% | 3/26/50 | 1,000 | 770 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Progressive Corp. | 3.700% | 3/15/52 | 700 | 512 | ||
Prudential Financial Inc. | 3.000% | 3/10/40 | 1,000 | 722 | ||
Prudential Financial Inc. | 4.600% | 5/15/44 | 1,769 | 1,503 | ||
Prudential Financial Inc. | 3.905% | 12/7/47 | 1,920 | 1,438 | ||
Prudential Financial Inc. | 4.418% | 3/27/48 | 390 | 317 | ||
Prudential Financial Inc. | 3.935% | 12/7/49 | 2,110 | 1,568 | ||
Prudential Financial Inc. | 4.350% | 2/25/50 | 2,098 | 1,669 | ||
Prudential Financial Inc. | 3.700% | 3/13/51 | 5,284 | 3,786 | ||
6 | Societe Generale SA | 7.132% | 1/19/55 | 12,315 | 11,762 | |
State Street Corp. | 6.123% | 11/21/34 | 5,565 | 5,657 | ||
6 | Teachers Insurance & Annuity Assn. of America | 3.300% | 5/15/50 | 16,150 | 10,708 | |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,100 | 964 | ||
Travelers Cos. Inc. | 3.750% | 5/15/46 | 2,954 | 2,246 | ||
Travelers Cos. Inc. | 4.000% | 5/30/47 | 2,600 | 2,045 | ||
Travelers Cos. Inc. | 4.100% | 3/4/49 | 15,000 | 11,959 | ||
Travelers Cos. Inc. | 3.050% | 6/8/51 | 41,465 | 26,938 | ||
Travelers Cos. Inc. | 5.450% | 5/25/53 | 3,900 | 3,806 | ||
6 | UBS Group AG | 5.699% | 2/8/35 | 31,460 | 30,519 | |
UBS Group AG | 4.875% | 5/15/45 | 4,000 | 3,513 | ||
Wachovia Corp. | 5.500% | 8/1/35 | 1,600 | 1,547 | ||
Wells Fargo & Co. | 5.557% | 7/25/34 | 43,375 | 42,258 | ||
Wells Fargo & Co. | 6.491% | 10/23/34 | 20,205 | 21,036 | ||
Wells Fargo & Co. | 5.499% | 1/23/35 | 27,815 | 27,018 | ||
Wells Fargo & Co. | 3.068% | 4/30/41 | 12,410 | 8,817 | ||
Wells Fargo & Co. | 5.375% | 11/2/43 | 41,462 | 38,111 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 117,092 | 110,607 | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 4,127 | 3,436 | ||
Wells Fargo & Co. | 3.900% | 5/1/45 | 8,058 | 6,230 | ||
Wells Fargo & Co. | 4.900% | 11/17/45 | 21,949 | 18,749 | ||
Wells Fargo & Co. | 4.400% | 6/14/46 | 27,292 | 21,584 | ||
Wells Fargo & Co. | 4.750% | 12/7/46 | 46,559 | 38,856 | ||
Wells Fargo & Co. | 5.013% | 4/4/51 | 53,288 | 47,353 | ||
Wells Fargo & Co. | 4.611% | 4/25/53 | 39,620 | 32,977 | ||
Wells Fargo Bank NA | 5.850% | 2/1/37 | 2,000 | 1,996 | ||
Wells Fargo Bank NA | 6.600% | 1/15/38 | 3,000 | 3,157 | ||
2,439,517 | ||||||
Health Care (11.9%) | ||||||
Abbott Laboratories | 5.300% | 5/27/40 | 15,015 | 14,811 | ||
Abbott Laboratories | 4.900% | 11/30/46 | 49,345 | 45,292 | ||
AbbVie Inc. | 4.300% | 5/14/36 | 1,000 | 899 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 7,635 | 6,469 | ||
AbbVie Inc. | 4.400% | 11/6/42 | 3,055 | 2,632 | ||
AbbVie Inc. | 5.350% | 3/15/44 | 12,900 | 12,459 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 38,585 | 34,957 | ||
AbbVie Inc. | 4.700% | 5/14/45 | 23,335 | 20,642 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 9,470 | 8,055 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 3,055 | 2,757 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 87,683 | 71,606 | ||
AbbVie Inc. | 5.400% | 3/15/54 | 28,515 | 27,640 | ||
AbbVie Inc. | 5.500% | 3/15/64 | 34,130 | 32,935 | ||
AdventHealth Obligated Group | 2.795% | 11/15/51 | 3,000 | 1,878 | ||
Advocate Health & Hospitals Corp. | 4.272% | 8/15/48 | 7,315 | 6,035 | ||
Advocate Health & Hospitals Corp. | 3.387% | 10/15/49 | 15,205 | 10,716 | ||
Aetna Inc. | 4.750% | 3/15/44 | 1,653 | 1,369 | ||
3 | Allina Health System | 3.887% | 4/15/49 | 3,569 | 2,694 | |
Amgen Inc. | 4.950% | 10/1/41 | 2,415 | 2,184 | ||
Amgen Inc. | 5.600% | 3/2/43 | 4,901 | 4,727 | ||
Amgen Inc. | 4.875% | 3/1/53 | 6,870 | 5,878 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Amgen Inc. | 5.650% | 3/2/53 | 11,365 | 10,932 | ||
Amgen Inc. | 5.750% | 3/2/63 | 3,405 | 3,249 | ||
Ascension Health | 3.106% | 11/15/39 | 3,000 | 2,241 | ||
AstraZeneca plc | 4.375% | 11/16/45 | 9,000 | 7,575 | ||
AstraZeneca plc | 3.000% | 5/28/51 | 20,190 | 13,232 | ||
Baptist Health South Florida Obligated Group | 3.115% | 11/15/71 | 2,200 | 1,244 | ||
Baptist Healthcare System Obligated Group | 3.540% | 8/15/50 | 1,400 | 974 | ||
Baxter International Inc. | 3.132% | 12/1/51 | 21,800 | 13,385 | ||
Baylor Scott & White Holdings | 2.839% | 11/15/50 | 12,850 | 8,166 | ||
7 | Becton Dickinson Euro Finance Sarl | 1.336% | 8/13/41 | 300 | 212 | |
Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 11,255 | 6,921 | ||
Bon Secours Mercy Health Inc. | 3.205% | 6/1/50 | 4,556 | 3,008 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 21,177 | 17,878 | ||
Bristol-Myers Squibb Co. | 2.350% | 11/13/40 | 28,285 | 18,263 | ||
Bristol-Myers Squibb Co. | 5.500% | 2/22/44 | 1,165 | 1,131 | ||
Bristol-Myers Squibb Co. | 4.350% | 11/15/47 | 3,300 | 2,684 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 777 | 653 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 103,690 | 83,070 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 3,180 | 1,831 | ||
Bristol-Myers Squibb Co. | 3.700% | 3/15/52 | 7,380 | 5,301 | ||
Bristol-Myers Squibb Co. | 6.250% | 11/15/53 | 6,405 | 6,787 | ||
Bristol-Myers Squibb Co. | 5.550% | 2/22/54 | 27,360 | 26,448 | ||
Bristol-Myers Squibb Co. | 3.900% | 3/15/62 | 39,835 | 28,274 | ||
Bristol-Myers Squibb Co. | 6.400% | 11/15/63 | 18,715 | 19,957 | ||
Bristol-Myers Squibb Co. | 5.650% | 2/22/64 | 7,420 | 7,111 | ||
Children's Health System of Texas | 2.511% | 8/15/50 | 2,500 | 1,472 | ||
Children's Hospital of Philadelphia | 2.704% | 7/1/50 | 1,250 | 771 | ||
City of Hope | 5.623% | 11/15/43 | 1,944 | 1,856 | ||
City of Hope | 4.378% | 8/15/48 | 1,671 | 1,326 | ||
CommonSpirit Health | 4.187% | 10/1/49 | 1,412 | 1,103 | ||
CommonSpirit Health | 5.548% | 12/1/54 | 5,455 | 5,211 | ||
6 | CSL Finance plc | 4.750% | 4/27/52 | 14,200 | 12,182 | |
6 | CSL Finance plc | 5.417% | 4/3/54 | 7,790 | 7,330 | |
Danaher Corp. | 2.600% | 10/1/50 | 2,000 | 1,187 | ||
Danaher Corp. | 2.800% | 12/10/51 | 2,275 | 1,394 | ||
Dignity Health | 4.500% | 11/1/42 | 1,041 | 853 | ||
Dignity Health | 5.267% | 11/1/64 | 758 | 669 | ||
7 | Eli Lilly & Co. | 1.700% | 11/1/49 | 400 | 299 | |
Eli Lilly & Co. | 5.000% | 2/9/54 | 12,770 | 11,889 | ||
Eli Lilly & Co. | 4.950% | 2/27/63 | 10,460 | 9,437 | ||
Eli Lilly & Co. | 5.100% | 2/9/64 | 28,750 | 26,731 | ||
GE HealthCare Technologies Inc. | 6.377% | 11/22/52 | 5,320 | 5,678 | ||
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 23,294 | 25,182 | ||
Hackensack Meridian Health Inc. | 2.875% | 9/1/50 | 1,250 | 800 | ||
HCA Inc. | 6.000% | 4/1/54 | 3,360 | 3,205 | ||
Inova Health System Foundation | 4.068% | 5/15/52 | 8,945 | 7,134 | ||
Johnson & Johnson | 3.750% | 3/3/47 | 16,965 | 13,273 | ||
Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 17,350 | 12,173 | ||
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 10,390 | 9,489 | ||
Kaiser Foundation Hospitals | 4.150% | 5/1/47 | 13,856 | 11,166 | ||
Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 45,155 | 29,252 | ||
Mass General Brigham Inc. | 3.765% | 7/1/48 | 6,455 | 4,893 | ||
Mass General Brigham Inc. | 3.192% | 7/1/49 | 12,725 | 8,692 | ||
Mass General Brigham Inc. | 3.342% | 7/1/60 | 39,084 | 25,162 | ||
Mayo Clinic | 3.774% | 11/15/43 | 11,795 | 9,450 | ||
Mayo Clinic | 3.196% | 11/15/61 | 23,785 | 15,368 | ||
Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 2,050 | 1,346 | ||
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 2,000 | 1,606 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Merck & Co. Inc. | 3.900% | 3/7/39 | 4,400 | 3,701 | ||
Merck & Co. Inc. | 4.900% | 5/17/44 | 19,955 | 18,298 | ||
Merck & Co. Inc. | 3.700% | 2/10/45 | 70,945 | 54,393 | ||
Merck & Co. Inc. | 2.750% | 12/10/51 | 23,400 | 14,273 | ||
Merck & Co. Inc. | 5.000% | 5/17/53 | 35,990 | 33,061 | ||
Merck & Co. Inc. | 2.900% | 12/10/61 | 2,180 | 1,269 | ||
Merck & Co. Inc. | 5.150% | 5/17/63 | 17,520 | 16,182 | ||
Mount Sinai Hospital | 3.391% | 7/1/50 | 2,000 | 1,302 | ||
New York and Presbyterian Hospital | 2.256% | 8/1/40 | 4,077 | 2,663 | ||
New York and Presbyterian Hospital | 4.024% | 8/1/45 | 12,210 | 9,923 | ||
New York and Presbyterian Hospital | 4.063% | 8/1/56 | 3,743 | 2,887 | ||
New York and Presbyterian Hospital | 4.763% | 8/1/16 | 2,000 | 1,616 | ||
Northwell Healthcare Inc. | 4.800% | 11/1/42 | 1,041 | 904 | ||
Northwell Healthcare Inc. | 3.979% | 11/1/46 | 1,944 | 1,492 | ||
Northwell Healthcare Inc. | 4.260% | 11/1/47 | 947 | 742 | ||
Northwell Healthcare Inc. | 3.809% | 11/1/49 | 2,284 | 1,630 | ||
Northwestern Memorial Healthcare Obligated Group | 2.633% | 7/15/51 | 3,500 | 2,184 | ||
Novant Health Inc. | 3.168% | 11/1/51 | 5,500 | 3,555 | ||
Novant Health Inc. | 3.318% | 11/1/61 | 26,665 | 16,682 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 24,840 | 21,580 | ||
NYU Langone Hospitals | 4.784% | 7/1/44 | 1,944 | 1,739 | ||
OhioHealth Corp. | 2.834% | 11/15/41 | 4,875 | 3,414 | ||
3 | Orlando Health Obligated Group | 3.327% | 10/1/50 | 1,350 | 938 | |
PeaceHealth Obligated Group | 4.787% | 11/15/48 | 1,515 | 1,276 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 20,280 | 17,488 | ||
Pfizer Inc. | 3.900% | 3/15/39 | 34,185 | 28,220 | ||
Pfizer Inc. | 7.200% | 3/15/39 | 33,687 | 38,872 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 5,000 | 3,387 | ||
Pfizer Inc. | 4.300% | 6/15/43 | 2,865 | 2,417 | ||
Pfizer Inc. | 4.400% | 5/15/44 | 8,165 | 7,045 | ||
Pfizer Inc. | 4.125% | 12/15/46 | 7,734 | 6,246 | ||
Pfizer Inc. | 4.200% | 9/15/48 | 16,686 | 13,526 | ||
Pfizer Investment Enterprises Pte Ltd. | 5.110% | 5/19/43 | 53,140 | 49,517 | ||
Pfizer Investment Enterprises Pte Ltd. | 5.300% | 5/19/53 | 39,890 | 37,305 | ||
Pfizer Investment Enterprises Pte Ltd. | 5.340% | 5/19/63 | 43,035 | 39,442 | ||
Piedmont Healthcare Inc. | 2.719% | 1/1/42 | 2,000 | 1,351 | ||
3 | Providence St. Joseph Health Obligated Group | 3.744% | 10/1/47 | 4,605 | 3,385 | |
Providence St. Joseph Health Obligated Group | 2.700% | 10/1/51 | 8,725 | 4,985 | ||
Roche Finance Europe BV | 3.586% | 12/4/36 | 500 | 536 | ||
6 | Roche Holdings Inc. | 2.607% | 12/13/51 | 15,380 | 9,100 | |
6 | Roche Holdings Inc. | 5.218% | 3/8/54 | 9,595 | 9,148 | |
Stanford Health Care | 3.027% | 8/15/51 | 25,000 | 16,269 | ||
Stryker Corp. | 4.625% | 3/15/46 | 4,815 | 4,155 | ||
Sutter Health | 3.161% | 8/15/40 | 22,915 | 16,859 | ||
Sutter Health | 3.361% | 8/15/50 | 3,089 | 2,123 | ||
Sutter Health | 5.547% | 8/15/53 | 6,485 | 6,397 | ||
7 | Thermo Fisher Scientific Finance I BV | 2.000% | 10/18/51 | 200 | 147 | |
Thermo Fisher Scientific Inc. | 2.800% | 10/15/41 | 5,460 | 3,777 | ||
7 | Thermo Fisher Scientific Inc. | 1.875% | 10/1/49 | 400 | 292 | |
3 | Trinity Health Corp. | 3.434% | 12/1/48 | 1,045 | 772 | |
UnitedHealth Group Inc. | 3.500% | 8/15/39 | 20,796 | 16,315 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 1,520 | 1,063 | ||
UnitedHealth Group Inc. | 3.050% | 5/15/41 | 21,325 | 15,360 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 158 | 140 | ||
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 23,917 | 20,545 | ||
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 1,346 | 1,087 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 48,920 | 43,446 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
UnitedHealth Group Inc. | 4.250% | 4/15/47 | 14,906 | 12,162 | ||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 25,610 | 19,152 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 29,232 | 23,731 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 21,722 | 15,959 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 3,000 | 1,898 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 25,845 | 17,373 | ||
UnitedHealth Group Inc. | 4.750% | 5/15/52 | 15,675 | 13,617 | ||
UnitedHealth Group Inc. | 5.875% | 2/15/53 | 32,365 | 32,990 | ||
UnitedHealth Group Inc. | 5.050% | 4/15/53 | 2,100 | 1,908 | ||
UnitedHealth Group Inc. | 5.375% | 4/15/54 | 44,550 | 42,346 | ||
UnitedHealth Group Inc. | 6.050% | 2/15/63 | 3,400 | 3,507 | ||
UnitedHealth Group Inc. | 5.200% | 4/15/63 | 6,125 | 5,583 | ||
UnitedHealth Group Inc. | 5.500% | 4/15/64 | 36,950 | 35,062 | ||
Wyeth LLC | 5.950% | 4/1/37 | 33,438 | 34,482 | ||
Yale-New Haven Health Services Corp. | 2.496% | 7/1/50 | 1,250 | 712 | ||
1,771,644 | ||||||
Industrials (4.6%) | ||||||
6 | BAE Systems plc | 5.500% | 3/26/54 | 22,300 | 21,328 | |
6 | Boeing Co. | 6.858% | 5/1/54 | 12,635 | 12,680 | |
6 | Boeing Co. | 7.008% | 5/1/64 | 2,160 | 2,162 | |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 2,000 | 1,837 | ||
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 24,790 | 21,222 | ||
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 41,150 | 34,972 | ||
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 1,500 | 1,280 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 2,470 | 2,315 | ||
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 16,500 | 14,927 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 43,085 | 37,089 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 12,335 | 9,979 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 11,910 | 9,485 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 5,081 | 4,001 | ||
Burlington Northern Santa Fe LLC | 4.150% | 12/15/48 | 18,399 | 14,683 | ||
Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 19,445 | 13,911 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 4,000 | 2,588 | ||
Burlington Northern Santa Fe LLC | 3.300% | 9/15/51 | 17,015 | 11,486 | ||
Burlington Northern Santa Fe LLC | 2.875% | 6/15/52 | 5,830 | 3,586 | ||
Burlington Northern Santa Fe LLC | 5.200% | 4/15/54 | 4,450 | 4,168 | ||
Canadian National Railway Co. | 3.650% | 2/3/48 | 28,169 | 21,298 | ||
Canadian Pacific Railway Co. | 3.100% | 12/2/51 | 4,490 | 2,880 | ||
Caterpillar Inc. | 6.050% | 8/15/36 | 2,968 | 3,139 | ||
Caterpillar Inc. | 3.803% | 8/15/42 | 26,112 | 20,880 | ||
CSX Corp. | 4.750% | 5/30/42 | 878 | 780 | ||
CSX Corp. | 3.800% | 4/15/50 | 1,109 | 822 | ||
Cummins Inc. | 5.450% | 2/20/54 | 2,300 | 2,213 | ||
Emerson Electric Co. | 2.800% | 12/21/51 | 4,130 | 2,527 | ||
Enterprise Products Operating LLC | 4.800% | 2/1/49 | 13,190 | 11,417 | ||
General Dynamics Corp. | 4.250% | 4/1/40 | 8,325 | 7,148 | ||
5 | Heathrow Funding Ltd. | 4.625% | 10/31/48 | 500 | 518 | |
Honeywell International Inc. | 4.500% | 1/15/34 | 3,840 | 3,607 | ||
Honeywell International Inc. | 5.000% | 3/1/35 | 7,790 | 7,552 | ||
7 | Honeywell International Inc. | 3.750% | 3/1/36 | 1,100 | 1,149 | |
Honeywell International Inc. | 5.700% | 3/15/36 | 10,300 | 10,550 | ||
Honeywell International Inc. | 5.700% | 3/15/37 | 6,250 | 6,355 | ||
Honeywell International Inc. | 5.250% | 3/1/54 | 60,395 | 57,311 | ||
Honeywell International Inc. | 5.350% | 3/1/64 | 4,900 | 4,644 | ||
3 | JetBlue Pass Through Trust Class AA Series 2019-1 | 2.750% | 11/15/33 | 1,169 | 986 | |
Lockheed Martin Corp. | 4.800% | 8/15/34 | 3,833 | 3,670 | ||
Lockheed Martin Corp. | 3.600% | 3/1/35 | 2,000 | 1,712 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 12,189 | 11,140 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Lockheed Martin Corp. | 4.070% | 12/15/42 | 7,394 | 6,096 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 8,572 | 6,674 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 4,544 | 4,018 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 26,945 | 16,833 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 29,552 | 23,283 | ||
Lockheed Martin Corp. | 4.150% | 6/15/53 | 58,665 | 46,496 | ||
Lockheed Martin Corp. | 5.700% | 11/15/54 | 1,600 | 1,617 | ||
Lockheed Martin Corp. | 5.200% | 2/15/55 | 5,975 | 5,612 | ||
Lockheed Martin Corp. | 4.300% | 6/15/62 | 4,980 | 3,943 | ||
Lockheed Martin Corp. | 5.900% | 11/15/63 | 7,770 | 8,022 | ||
Lockheed Martin Corp. | 5.200% | 2/15/64 | 16,285 | 15,138 | ||
6 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 265 | 265 | |
5 | Motability Operations Group plc | 4.875% | 1/17/43 | 500 | 577 | |
Norfolk Southern Corp. | 4.550% | 6/1/53 | 3,390 | 2,803 | ||
Norfolk Southern Corp. | 5.950% | 3/15/64 | 5,330 | 5,326 | ||
Northrop Grumman Corp. | 5.250% | 5/1/50 | 700 | 650 | ||
Northrop Grumman Corp. | 4.950% | 3/15/53 | 12,410 | 10,996 | ||
Northrop Grumman Corp. | 5.200% | 6/1/54 | 38,955 | 35,809 | ||
Rockwell Automation Inc. | 2.800% | 8/15/61 | 16,045 | 8,912 | ||
RTX Corp. | 5.700% | 4/15/40 | 1,000 | 980 | ||
RTX Corp. | 4.875% | 10/15/40 | 5,477 | 4,888 | ||
RTX Corp. | 6.400% | 3/15/54 | 5,100 | 5,471 | ||
Union Pacific Corp. | 3.375% | 2/14/42 | 20,855 | 15,638 | ||
Union Pacific Corp. | 3.500% | 2/14/53 | 10,370 | 7,274 | ||
Union Pacific Corp. | 3.550% | 5/20/61 | 7,500 | 5,020 | ||
Union Pacific Corp. | 5.150% | 1/20/63 | 31,730 | 28,683 | ||
Union Pacific Corp. | 3.850% | 2/14/72 | 8,140 | 5,669 | ||
3 | United Airlines Class AA Series 2019-2 Pass Through Trust | 2.700% | 11/1/33 | 1,620 | 1,381 | |
United Parcel Service Inc. | 4.875% | 11/15/40 | 3,000 | 2,758 | ||
686,829 | ||||||
Materials (1.1%) | ||||||
Air Products and Chemicals Inc. | 2.700% | 5/15/40 | 1,830 | 1,267 | ||
BASF SE | 4.500% | 3/8/35 | 200 | 224 | ||
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 29,647 | 24,449 | ||
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 6,250 | 5,691 | ||
BHP Billiton Finance USA Ltd. | 5.500% | 9/8/53 | 11,165 | 10,799 | ||
6 | Corp. Nacional del Cobre de Chile | 6.300% | 9/8/53 | 15,235 | 14,391 | |
Ecolab Inc. | 2.125% | 8/15/50 | 10,990 | 5,930 | ||
Ecolab Inc. | 2.700% | 12/15/51 | 40,570 | 24,440 | ||
6 | Glencore Funding LLC | 5.893% | 4/4/54 | 6,435 | 6,091 | |
Linde Inc. | 3.550% | 11/7/42 | 1,799 | 1,383 | ||
7 | Linde plc | 1.625% | 3/31/35 | 800 | 703 | |
Nutrien Ltd. | 5.875% | 12/1/36 | 1,520 | 1,517 | ||
Nutrien Ltd. | 4.900% | 6/1/43 | 3,811 | 3,299 | ||
Nutrien Ltd. | 5.800% | 3/27/53 | 1,655 | 1,600 | ||
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 2,000 | 1,903 | ||
Rio Tinto Finance USA Ltd. | 2.750% | 11/2/51 | 27,410 | 16,566 | ||
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 29,895 | 24,646 | ||
Rio Tinto Finance USA plc | 5.125% | 3/9/53 | 21,575 | 19,840 | ||
6 | Smurfit Kappa Treasury ULC | 5.777% | 4/3/54 | 3,285 | 3,155 | |
167,894 | ||||||
Real Estate (0.6%) | ||||||
Alexandria Real Estate Equities Inc. | 4.750% | 4/15/35 | 3,420 | 3,111 | ||
Alexandria Real Estate Equities Inc. | 5.625% | 5/15/54 | 1,760 | 1,620 | ||
American Homes 4 Rent LP | 3.375% | 7/15/51 | 1,925 | 1,210 | ||
Essex Portfolio LP | 4.500% | 3/15/48 | 1,700 | 1,360 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Kilroy Realty LP | 6.250% | 1/15/36 | 3,240 | 3,043 | ||
Mid-America Apartments LP | 2.875% | 9/15/51 | 2,250 | 1,348 | ||
7 | Prologis Euro Finance LLC | 4.250% | 1/31/43 | 500 | 516 | |
5 | Prologis LP | 5.625% | 5/4/40 | 200 | 247 | |
Prologis LP | 5.250% | 6/15/53 | 2,243 | 2,062 | ||
Prologis LP | 5.250% | 3/15/54 | 22,085 | 20,169 | ||
Public Storage Operating Co. | 5.350% | 8/1/53 | 15,615 | 14,643 | ||
7 | Realty Income Corp. | 5.125% | 7/6/34 | 300 | 341 | |
Simon Property Group LP | 6.750% | 2/1/40 | 1,100 | 1,178 | ||
Simon Property Group LP | 4.250% | 10/1/44 | 9,315 | 7,356 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 33,520 | 21,946 | ||
Simon Property Group LP | 3.800% | 7/15/50 | 1,600 | 1,147 | ||
Simon Property Group LP | 5.850% | 3/8/53 | 1,300 | 1,261 | ||
Simon Property Group LP | 6.650% | 1/15/54 | 11,535 | 12,381 | ||
7 | Unibail-Rodamco-Westfield SE | 1.750% | 7/1/49 | 400 | 261 | |
Vonovia SE | 1.625% | 9/1/51 | 400 | 234 | ||
95,434 | ||||||
Technology (10.2%) | ||||||
Advanced Micro Devices Inc. | 4.393% | 6/1/52 | 3,410 | 2,833 | ||
Apple Inc. | 2.375% | 2/8/41 | 9,100 | 6,097 | ||
Apple Inc. | 3.850% | 5/4/43 | 41,670 | 34,069 | ||
Apple Inc. | 3.450% | 2/9/45 | 40,090 | 30,391 | ||
Apple Inc. | 4.375% | 5/13/45 | 19,275 | 16,732 | ||
Apple Inc. | 4.650% | 2/23/46 | 33,320 | 29,987 | ||
Apple Inc. | 3.850% | 8/4/46 | 32,830 | 26,063 | ||
Apple Inc. | 4.250% | 2/9/47 | 33,690 | 28,795 | ||
Apple Inc. | 3.750% | 9/12/47 | 6,422 | 4,972 | ||
Apple Inc. | 3.750% | 11/13/47 | 27,995 | 21,611 | ||
Apple Inc. | 2.950% | 9/11/49 | 33,382 | 22,110 | ||
Apple Inc. | 2.650% | 2/8/51 | 59,650 | 36,453 | ||
Apple Inc. | 2.700% | 8/5/51 | 46,125 | 28,458 | ||
Apple Inc. | 3.950% | 8/8/52 | 12,997 | 10,236 | ||
Apple Inc. | 4.850% | 5/10/53 | 21,364 | 19,844 | ||
Apple Inc. | 4.100% | 8/8/62 | 14,210 | 11,155 | ||
Applied Materials Inc. | 5.100% | 10/1/35 | 95 | 94 | ||
6 | Broadcom Inc. | 3.137% | 11/15/35 | 2,500 | 1,942 | |
6 | Broadcom Inc. | 3.187% | 11/15/36 | 2,230 | 1,710 | |
6 | Broadcom Inc. | 4.926% | 5/15/37 | 3,880 | 3,546 | |
Cisco Systems Inc. | 5.900% | 2/15/39 | 13,465 | 13,999 | ||
Cisco Systems Inc. | 5.500% | 1/15/40 | 17,202 | 17,125 | ||
Cisco Systems Inc. | 5.300% | 2/26/54 | 38,870 | 37,433 | ||
Cisco Systems Inc. | 5.350% | 2/26/64 | 18,300 | 17,455 | ||
6 | CommScope Inc. | 7.125% | 7/1/28 | 96 | 32 | |
Dell International LLC / EMC Corp. | 8.100% | 7/15/36 | 1,727 | 2,013 | ||
Dell International LLC / EMC Corp. | 3.375% | 12/15/41 | 3,000 | 2,132 | ||
Global Payments Inc. | 5.950% | 8/15/52 | 3,820 | 3,650 | ||
IBM International Capital Pte. Ltd. | 5.250% | 2/5/44 | 62,330 | 57,606 | ||
IBM International Capital Pte. Ltd. | 5.300% | 2/5/54 | 25,070 | 22,880 | ||
Intel Corp. | 5.625% | 2/10/43 | 18,350 | 17,790 | ||
Intel Corp. | 4.100% | 5/19/46 | 7,330 | 5,748 | ||
Intel Corp. | 4.100% | 5/11/47 | 33,355 | 25,792 | ||
Intel Corp. | 3.734% | 12/8/47 | 57,997 | 41,545 | ||
Intel Corp. | 3.250% | 11/15/49 | 42,600 | 27,630 | ||
Intel Corp. | 4.750% | 3/25/50 | 9,620 | 8,072 | ||
Intel Corp. | 3.050% | 8/12/51 | 17,768 | 10,915 | ||
Intel Corp. | 4.900% | 8/5/52 | 30,465 | 26,091 | ||
Intel Corp. | 5.700% | 2/10/53 | 22,155 | 21,154 | ||
Intel Corp. | 3.100% | 2/15/60 | 19,740 | 11,608 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Intel Corp. | 3.200% | 8/12/61 | 3,400 | 2,018 | ||
Intel Corp. | 5.050% | 8/5/62 | 23,310 | 19,929 | ||
Intel Corp. | 5.900% | 2/10/63 | 14,300 | 13,913 | ||
International Business Machines Corp. | 4.150% | 5/15/39 | 29,305 | 24,524 | ||
International Business Machines Corp. | 4.000% | 6/20/42 | 4,443 | 3,539 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 35,713 | 28,326 | ||
International Business Machines Corp. | 3.430% | 2/9/52 | 13,845 | 9,289 | ||
International Business Machines Corp. | 4.900% | 7/27/52 | 21,500 | 18,774 | ||
Intuit Inc. | 5.500% | 9/15/53 | 14,955 | 14,607 | ||
KLA Corp. | 5.000% | 3/15/49 | 1,256 | 1,141 | ||
KLA Corp. | 4.950% | 7/15/52 | 3,790 | 3,439 | ||
Mastercard Inc. | 3.950% | 2/26/48 | 20,075 | 16,007 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 185,072 | 113,221 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 102,002 | 67,113 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 48,124 | 28,197 | ||
Microsoft Corp. | 3.041% | 3/17/62 | 36,210 | 23,108 | ||
NVIDIA Corp. | 3.500% | 4/1/40 | 22,525 | 18,124 | ||
NVIDIA Corp. | 3.500% | 4/1/50 | 29,900 | 22,216 | ||
NVIDIA Corp. | 3.700% | 4/1/60 | 13,140 | 9,640 | ||
Oracle Corp. | 6.500% | 4/15/38 | 17,605 | 18,331 | ||
Oracle Corp. | 5.375% | 7/15/40 | 19,240 | 17,752 | ||
Oracle Corp. | 3.650% | 3/25/41 | 4,600 | 3,430 | ||
Oracle Corp. | 4.125% | 5/15/45 | 24,805 | 18,899 | ||
Oracle Corp. | 4.000% | 7/15/46 | 22,790 | 16,886 | ||
Oracle Corp. | 3.950% | 3/25/51 | 13,200 | 9,433 | ||
QUALCOMM Inc. | 4.800% | 5/20/45 | 12,300 | 11,114 | ||
QUALCOMM Inc. | 4.300% | 5/20/47 | 43,145 | 35,862 | ||
QUALCOMM Inc. | 4.500% | 5/20/52 | 26,500 | 22,313 | ||
QUALCOMM Inc. | 6.000% | 5/20/53 | 25,365 | 26,637 | ||
S&P Global Inc. | 3.250% | 12/1/49 | 2,000 | 1,367 | ||
S&P Global Inc. | 3.700% | 3/1/52 | 54,428 | 40,058 | ||
Salesforce Inc. | 2.700% | 7/15/41 | 5,150 | 3,513 | ||
Salesforce Inc. | 2.900% | 7/15/51 | 30,670 | 19,280 | ||
Salesforce Inc. | 3.050% | 7/15/61 | 20,640 | 12,476 | ||
Texas Instruments Inc. | 3.875% | 3/15/39 | 6,056 | 5,147 | ||
Texas Instruments Inc. | 4.100% | 8/16/52 | 1,250 | 1,003 | ||
Texas Instruments Inc. | 5.000% | 3/14/53 | 21,310 | 19,498 | ||
Texas Instruments Inc. | 5.150% | 2/8/54 | 14,310 | 13,398 | ||
Texas Instruments Inc. | 5.050% | 5/18/63 | 28,640 | 25,943 | ||
Visa Inc. | 2.700% | 4/15/40 | 4,500 | 3,187 | ||
Visa Inc. | 4.300% | 12/14/45 | 20,390 | 17,245 | ||
Visa Inc. | 3.650% | 9/15/47 | 37,123 | 28,131 | ||
1,515,796 | ||||||
Utilities (14.8%) | ||||||
AEP Transmission Co. LLC | 3.750% | 12/1/47 | 38,300 | 27,947 | ||
AEP Transmission Co. LLC | 4.250% | 9/15/48 | 5,580 | 4,388 | ||
AEP Transmission Co. LLC | 3.800% | 6/15/49 | 5,436 | 3,949 | ||
AEP Transmission Co. LLC | 3.650% | 4/1/50 | 3,525 | 2,501 | ||
AEP Transmission Co. LLC | 4.500% | 6/15/52 | 2,290 | 1,869 | ||
AEP Transmission Co. LLC | 5.400% | 3/15/53 | 1,130 | 1,057 | ||
Alabama Power Co. | 6.000% | 3/1/39 | 9,745 | 9,840 | ||
Alabama Power Co. | 5.500% | 3/15/41 | 26,874 | 25,385 | ||
Alabama Power Co. | 5.200% | 6/1/41 | 14,920 | 13,687 | ||
Alabama Power Co. | 3.850% | 12/1/42 | 1,065 | 833 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 23,325 | 17,534 | ||
Alabama Power Co. | 3.450% | 10/1/49 | 1,944 | 1,351 | ||
Alabama Power Co. | 3.125% | 7/15/51 | 2,700 | 1,746 | ||
Ameren Illinois Co. | 4.500% | 3/15/49 | 27,960 | 23,296 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Ameren Illinois Co. | 2.900% | 6/15/51 | 6,730 | 4,109 | ||
Ameren Illinois Co. | 5.900% | 12/1/52 | 2,625 | 2,647 | ||
Appalachian Power Co. | 6.700% | 8/15/37 | 17,970 | 18,624 | ||
Appalachian Power Co. | 4.400% | 5/15/44 | 1,995 | 1,552 | ||
Appalachian Power Co. | 3.700% | 5/1/50 | 3,760 | 2,528 | ||
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,420 | 1,170 | ||
Atmos Energy Corp. | 4.125% | 10/15/44 | 2,150 | 1,748 | ||
Atmos Energy Corp. | 3.375% | 9/15/49 | 2,890 | 1,973 | ||
Atmos Energy Corp. | 6.200% | 11/15/53 | 2,620 | 2,786 | ||
Baltimore Gas and Electric Co. | 6.350% | 10/1/36 | 1,165 | 1,208 | ||
Baltimore Gas and Electric Co. | 4.250% | 9/15/48 | 26,475 | 20,913 | ||
Baltimore Gas and Electric Co. | 4.550% | 6/1/52 | 5,690 | 4,692 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 4,890 | 4,887 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 25,000 | 23,108 | ||
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 40,125 | 33,964 | ||
Berkshire Hathaway Energy Co. | 4.450% | 1/15/49 | 10,604 | 8,504 | ||
6 | Brooklyn Union Gas Co. | 4.487% | 3/4/49 | 35,000 | 26,162 | |
5 | Cadent Finance plc | 2.250% | 10/10/35 | 400 | 351 | |
CenterPoint Energy Houston Electric LLC | 2.900% | 7/1/50 | 5,200 | 3,251 | ||
CenterPoint Energy Houston Electric LLC | 3.600% | 3/1/52 | 2,000 | 1,412 | ||
CenterPoint Energy Houston Electric LLC | 4.850% | 10/1/52 | 3,800 | 3,306 | ||
CenterPoint Energy Houston Electric LLC | 5.300% | 4/1/53 | 5,720 | 5,363 | ||
CenterPoint Energy Inc. | 3.700% | 9/1/49 | 1,244 | 863 | ||
CenterPoint Energy Resources Corp. | 4.100% | 9/1/47 | 2,615 | 2,003 | ||
CMS Energy Corp. | 4.875% | 3/1/44 | 2,902 | 2,568 | ||
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,810 | 2,874 | ||
Commonwealth Edison Co. | 3.800% | 10/1/42 | 20,733 | 15,883 | ||
Commonwealth Edison Co. | 4.600% | 8/15/43 | 15,205 | 12,945 | ||
Commonwealth Edison Co. | 4.700% | 1/15/44 | 15,891 | 13,825 | ||
Commonwealth Edison Co. | 3.700% | 3/1/45 | 17,765 | 13,184 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 11,060 | 8,969 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 13,732 | 9,970 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 8,765 | 6,667 | ||
Commonwealth Edison Co. | 4.000% | 3/1/49 | 13,485 | 10,163 | ||
Commonwealth Edison Co. | 3.000% | 3/1/50 | 2,000 | 1,251 | ||
Commonwealth Edison Co. | 3.125% | 3/15/51 | 2,060 | 1,318 | ||
Commonwealth Edison Co. | 2.750% | 9/1/51 | 1,500 | 878 | ||
Commonwealth Edison Co. | 3.850% | 3/15/52 | 1,500 | 1,089 | ||
Commonwealth Edison Co. | 5.300% | 2/1/53 | 2,170 | 2,004 | ||
Connecticut Light and Power Co. | 6.350% | 6/1/36 | 947 | 984 | ||
Connecticut Light and Power Co. | 4.300% | 4/15/44 | 1,390 | 1,149 | ||
Connecticut Light and Power Co. | 4.150% | 6/1/45 | 16,885 | 13,666 | ||
Connecticut Light and Power Co. | 4.000% | 4/1/48 | 6,645 | 5,132 | ||
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 947 | 949 | ||
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 10,637 | 11,001 | ||
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 9,925 | 10,785 | ||
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 8,668 | 8,358 | ||
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 852 | 831 | ||
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 10,501 | 8,455 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 8,740 | 6,831 | ||
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 60,956 | 50,901 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 6,330 | 5,254 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 7,000 | 5,238 | ||
Consolidated Edison Co. of New York Inc. | 3.875% | 6/15/47 | 3,715 | 2,786 | ||
Consolidated Edison Co. of New York Inc. | 4.650% | 12/1/48 | 2,995 | 2,507 | ||
Consolidated Edison Co. of New York Inc. | 4.125% | 5/15/49 | 1,000 | 771 | ||
Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 2,000 | 1,524 | ||
Consolidated Edison Co. of New York Inc. | 3.200% | 12/1/51 | 38,421 | 24,737 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Consolidated Edison Co. of New York Inc. | 5.900% | 11/15/53 | 16,935 | 17,037 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 5,425 | 4,478 | ||
Consolidated Edison Co. of New York Inc. | 4.300% | 12/1/56 | 2,285 | 1,762 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 947 | 754 | ||
Consolidated Edison Co. of New York Inc. | 3.000% | 12/1/60 | 25,563 | 14,682 | ||
Consumers Energy Co. | 3.750% | 2/15/50 | 1,944 | 1,446 | ||
Consumers Energy Co. | 3.100% | 8/15/50 | 33,646 | 22,238 | ||
Consumers Energy Co. | 2.650% | 8/15/52 | 11,455 | 6,755 | ||
Consumers Energy Co. | 4.200% | 9/1/52 | 11,380 | 8,973 | ||
Consumers Energy Co. | 2.500% | 5/1/60 | 12,610 | 6,659 | ||
Dominion Energy Inc. | 4.900% | 8/1/41 | 6,000 | 5,198 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 11,775 | 11,988 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 3,000 | 2,854 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 2,340 | 1,993 | ||
Dominion Energy South Carolina Inc. | 6.250% | 10/15/53 | 2,935 | 3,106 | ||
DTE Electric Co. | 4.300% | 7/1/44 | 3,320 | 2,721 | ||
DTE Electric Co. | 3.700% | 3/15/45 | 2,910 | 2,181 | ||
DTE Electric Co. | 2.950% | 3/1/50 | 2,235 | 1,399 | ||
DTE Electric Co. | 3.250% | 4/1/51 | 2,000 | 1,315 | ||
DTE Electric Co. | 3.650% | 3/1/52 | 10,715 | 7,604 | ||
DTE Electric Co. | 5.400% | 4/1/53 | 2,260 | 2,160 | ||
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 8,910 | 8,454 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 16,300 | 13,339 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 42,092 | 33,418 | ||
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 2,373 | 1,744 | ||
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 2,000 | 1,503 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 1,500 | 1,073 | ||
Duke Energy Carolinas LLC | 3.200% | 8/15/49 | 947 | 623 | ||
Duke Energy Carolinas LLC | 3.450% | 4/15/51 | 10,945 | 7,464 | ||
Duke Energy Carolinas LLC | 3.550% | 3/15/52 | 1,300 | 893 | ||
Duke Energy Florida LLC | 6.350% | 9/15/37 | 758 | 785 | ||
Duke Energy Florida LLC | 5.650% | 4/1/40 | 3,350 | 3,268 | ||
Duke Energy Florida LLC | 3.850% | 11/15/42 | 1,466 | 1,141 | ||
Duke Energy Florida LLC | 3.400% | 10/1/46 | 2,000 | 1,375 | ||
Duke Energy Florida LLC | 4.200% | 7/15/48 | 2,950 | 2,313 | ||
Duke Energy Florida LLC | 3.000% | 12/15/51 | 2,450 | 1,508 | ||
Duke Energy Florida LLC | 6.200% | 11/15/53 | 2,500 | 2,605 | ||
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 1,000 | 1,028 | ||
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 775 | 807 | ||
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 1,311 | 1,375 | ||
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 12,700 | 10,147 | ||
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 29,514 | 25,670 | ||
Duke Energy Indiana LLC | 3.250% | 10/1/49 | 2,465 | 1,622 | ||
Duke Energy Indiana LLC | 2.750% | 4/1/50 | 13,461 | 7,906 | ||
Duke Energy Indiana LLC | 5.400% | 4/1/53 | 9,060 | 8,382 | ||
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 10,325 | 7,520 | ||
Duke Energy Ohio Inc. | 4.300% | 2/1/49 | 1,000 | 783 | ||
Duke Energy Ohio Inc. | 5.650% | 4/1/53 | 3,305 | 3,165 | ||
Duke Energy Progress LLC | 4.100% | 5/15/42 | 2,250 | 1,798 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 23,186 | 18,338 | ||
Duke Energy Progress LLC | 4.150% | 12/1/44 | 29,945 | 23,603 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 22,105 | 17,385 | ||
Duke Energy Progress LLC | 3.700% | 10/15/46 | 22,000 | 15,935 | ||
Duke Energy Progress LLC | 3.600% | 9/15/47 | 2,000 | 1,406 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 1,000 | 560 | ||
Duke Energy Progress LLC | 2.900% | 8/15/51 | 28,945 | 17,561 | ||
Duke Energy Progress LLC | 4.000% | 4/1/52 | 7,295 | 5,443 | ||
Enel Finance International NV | 4.500% | 2/20/43 | 500 | 533 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Engie SA | 4.250% | 1/11/43 | 700 | 743 | |
6 | Engie SA | 5.875% | 4/10/54 | 3,900 | 3,718 | |
Entergy Arkansas LLC | 2.650% | 6/15/51 | 2,665 | 1,510 | ||
Entergy Louisiana LLC | 4.200% | 9/1/48 | 1,400 | 1,085 | ||
Entergy Louisiana LLC | 4.200% | 4/1/50 | 1,500 | 1,155 | ||
Entergy Louisiana LLC | 2.900% | 3/15/51 | 2,800 | 1,665 | ||
Entergy Texas Inc. | 5.000% | 9/15/52 | 400 | 345 | ||
Entergy Texas Inc. | 5.800% | 9/1/53 | 930 | 911 | ||
Evergy Kansas Central Inc. | 4.125% | 3/1/42 | 1,113 | 894 | ||
Evergy Kansas Central Inc. | 4.625% | 9/1/43 | 1,231 | 1,019 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 8,050 | 5,211 | ||
Evergy Kansas Central Inc. | 3.450% | 4/15/50 | 500 | 336 | ||
Exelon Corp. | 4.450% | 4/15/46 | 450 | 364 | ||
Exelon Corp. | 4.100% | 3/15/52 | 2,365 | 1,773 | ||
Exelon Corp. | 5.600% | 3/15/53 | 3,010 | 2,855 | ||
Florida Power & Light Co. | 5.650% | 2/1/37 | 1,500 | 1,498 | ||
Florida Power & Light Co. | 5.960% | 4/1/39 | 947 | 976 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 663 | 673 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 2,779 | 2,647 | ||
Florida Power & Light Co. | 3.950% | 3/1/48 | 5,859 | 4,527 | ||
Florida Power & Light Co. | 3.990% | 3/1/49 | 2,890 | 2,237 | ||
Georgia Power Co. | 4.750% | 9/1/40 | 33,945 | 29,775 | ||
Georgia Power Co. | 4.300% | 3/15/42 | 12,511 | 10,335 | ||
Georgia Power Co. | 3.700% | 1/30/50 | 17,230 | 12,401 | ||
Georgia Power Co. | 5.125% | 5/15/52 | 540 | 490 | ||
Idaho Power Co. | 5.500% | 3/15/53 | 1,530 | 1,427 | ||
Indiana Michigan Power Co. | 3.750% | 7/1/47 | 1,000 | 713 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 1,164 | 898 | ||
Indiana Michigan Power Co. | 5.625% | 4/1/53 | 2,340 | 2,240 | ||
3 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 17,104 | 15,527 | |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 5,084 | 4,690 | ||
Kentucky Utilities Co. | 4.375% | 10/1/45 | 18,000 | 14,623 | ||
Kentucky Utilities Co. | 3.300% | 6/1/50 | 1,900 | 1,261 | ||
Louisville Gas and Electric Co. | 4.250% | 4/1/49 | 17,050 | 13,371 | ||
6 | Massachusetts Electric Co. | 4.004% | 8/15/46 | 10,890 | 8,001 | |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 1,473 | 1,481 | ||
MidAmerican Energy Co. | 4.800% | 9/15/43 | 22,525 | 19,932 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 24,721 | 19,773 | ||
MidAmerican Energy Co. | 3.950% | 8/1/47 | 2,000 | 1,522 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 15,510 | 12,456 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 1,000 | 651 | ||
MidAmerican Energy Co. | 2.700% | 8/1/52 | 1,250 | 730 | ||
MidAmerican Energy Co. | 5.300% | 2/1/55 | 1,970 | 1,832 | ||
6 | Monongahela Power Co. | 5.400% | 12/15/43 | 10,640 | 9,634 | |
7 | National Grid plc | 4.275% | 1/16/35 | 300 | 323 | |
National Rural Utilities Cooperative Finance Corp. | 4.300% | 3/15/49 | 13,055 | 10,447 | ||
Nevada Power Co. | 5.450% | 5/15/41 | 21,620 | 20,259 | ||
Nevada Power Co. | 3.125% | 8/1/50 | 1,500 | 935 | ||
6 | New England Power Co. | 2.807% | 10/6/50 | 15,615 | 9,052 | |
6 | Niagara Mohawk Power Corp. | 5.664% | 1/17/54 | 1,230 | 1,158 | |
Northern States Power Co. | 6.250% | 6/1/36 | 780 | 816 | ||
Northern States Power Co. | 6.200% | 7/1/37 | 1,944 | 2,040 | ||
Northern States Power Co. | 5.350% | 11/1/39 | 758 | 726 | ||
Northern States Power Co. | 3.400% | 8/15/42 | 1,000 | 739 | ||
Northern States Power Co. | 4.000% | 8/15/45 | 805 | 621 | ||
Northern States Power Co. | 3.600% | 9/15/47 | 12,525 | 8,979 | ||
Northern States Power Co. | 4.200% | 9/1/48 | 12,250 | 9,240 | ||
Northern States Power Co. | 2.600% | 6/1/51 | 14,765 | 8,492 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Northern States Power Co. | 4.500% | 6/1/52 | 3,000 | 2,477 | ||
Northern States Power Co. | 5.100% | 5/15/53 | 21,580 | 19,562 | ||
Northern States Power Co. | 5.400% | 3/15/54 | 3,890 | 3,688 | ||
NSTAR Electric Co. | 3.100% | 6/1/51 | 1,000 | 644 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 8,535 | 7,330 | ||
6 | Oglethorpe Power Corp. | 6.200% | 12/1/53 | 2,180 | 2,176 | |
Ohio Power Co. | 4.000% | 6/1/49 | 2,724 | 2,021 | ||
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,420 | 1,643 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 3,103 | 2,945 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 16,908 | 12,553 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 6/1/49 | 1,420 | 1,058 | ||
Oncor Electric Delivery Co. LLC | 3.700% | 5/15/50 | 2,195 | 1,584 | ||
Oncor Electric Delivery Co. LLC | 2.700% | 11/15/51 | 10,080 | 5,867 | ||
Pacific Gas and Electric Co. | 3.950% | 12/1/47 | 1,850 | 1,293 | ||
Pacific Gas and Electric Co. | 4.950% | 7/1/50 | 21,500 | 17,499 | ||
Pacific Gas and Electric Co. | 3.500% | 8/1/50 | 2,415 | 1,551 | ||
Pacific Gas and Electric Co. | 6.750% | 1/15/53 | 17,181 | 17,752 | ||
Pacific Gas and Electric Co. | 6.700% | 4/1/53 | 2,676 | 2,748 | ||
PacifiCorp | 5.250% | 6/15/35 | 1,232 | 1,167 | ||
PacifiCorp | 6.100% | 8/1/36 | 1,420 | 1,426 | ||
PacifiCorp | 6.250% | 10/15/37 | 1,957 | 1,980 | ||
PacifiCorp | 6.350% | 7/15/38 | 14,644 | 14,913 | ||
PacifiCorp | 6.000% | 1/15/39 | 12,981 | 12,880 | ||
PacifiCorp | 4.125% | 1/15/49 | 5,737 | 4,228 | ||
PacifiCorp | 4.150% | 2/15/50 | 22,050 | 16,432 | ||
PacifiCorp | 5.350% | 12/1/53 | 3,060 | 2,668 | ||
PacifiCorp | 5.800% | 1/15/55 | 2,260 | 2,087 | ||
PECO Energy Co. | 4.800% | 10/15/43 | 10,365 | 9,091 | ||
PECO Energy Co. | 4.150% | 10/1/44 | 396 | 318 | ||
PECO Energy Co. | 3.700% | 9/15/47 | 15,500 | 11,437 | ||
PECO Energy Co. | 3.900% | 3/1/48 | 5,890 | 4,538 | ||
PECO Energy Co. | 3.050% | 3/15/51 | 3,000 | 1,912 | ||
PECO Energy Co. | 4.600% | 5/15/52 | 3,040 | 2,567 | ||
PECO Energy Co. | 4.375% | 8/15/52 | 3,800 | 3,093 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,160 | 1,240 | ||
Potomac Electric Power Co. | 7.900% | 12/15/38 | 142 | 175 | ||
PPL Electric Utilities Corp. | 6.450% | 8/15/37 | 10,200 | 10,461 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 10,924 | 11,433 | ||
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,183 | 1,093 | ||
PPL Electric Utilities Corp. | 3.950% | 6/1/47 | 12,500 | 9,645 | ||
PPL Electric Utilities Corp. | 5.250% | 5/15/53 | 2,210 | 2,068 | ||
Public Service Co. of Colorado | 6.250% | 9/1/37 | 960 | 986 | ||
Public Service Co. of Colorado | 3.600% | 9/15/42 | 20,555 | 15,082 | ||
Public Service Co. of Colorado | 4.300% | 3/15/44 | 2,761 | 2,188 | ||
Public Service Co. of Colorado | 3.800% | 6/15/47 | 2,260 | 1,633 | ||
Public Service Co. of Colorado | 4.050% | 9/15/49 | 34,010 | 25,346 | ||
Public Service Co. of Colorado | 4.500% | 6/1/52 | 5,660 | 4,519 | ||
Public Service Co. of Colorado | 5.750% | 5/15/54 | 2,600 | 2,522 | ||
Public Service Co. of New Hampshire | 5.150% | 1/15/53 | 1,050 | 967 | ||
Public Service Electric and Gas Co. | 3.600% | 12/1/47 | 2,000 | 1,441 | ||
Public Service Electric and Gas Co. | 3.850% | 5/1/49 | 2,890 | 2,185 | ||
Public Service Electric and Gas Co. | 3.200% | 8/1/49 | 1,065 | 709 | ||
Public Service Electric and Gas Co. | 2.700% | 5/1/50 | 19,725 | 11,966 | ||
Public Service Electric and Gas Co. | 3.000% | 3/1/51 | 8,875 | 5,671 | ||
Public Service Electric and Gas Co. | 5.125% | 3/15/53 | 2,420 | 2,225 | ||
Public Service Electric and Gas Co. | 5.450% | 3/1/54 | 3,900 | 3,754 | ||
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 473 | 491 | ||
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,042 | 1,017 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 15,992 | 15,690 | ||
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 379 | 305 | ||
Puget Sound Energy Inc. | 4.223% | 6/15/48 | 22,045 | 17,157 | ||
Puget Sound Energy Inc. | 3.250% | 9/15/49 | 35,150 | 22,648 | ||
Puget Sound Energy Inc. | 2.893% | 9/15/51 | 14,200 | 8,535 | ||
3,6 | Rayburn Country Securitization LLC | 3.025% | 12/1/43 | 8,724 | 6,653 | |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 2,000 | 1,729 | ||
San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 1,000 | 729 | ||
San Diego Gas & Electric Co. | 4.100% | 6/15/49 | 2,081 | 1,592 | ||
San Diego Gas & Electric Co. | 2.950% | 8/15/51 | 1,500 | 943 | ||
San Diego Gas & Electric Co. | 3.700% | 3/15/52 | 21,475 | 15,128 | ||
San Diego Gas & Electric Co. | 5.550% | 4/15/54 | 3,550 | 3,390 | ||
5 | Severn Trent Utilities Finance plc | 5.250% | 4/4/36 | 100 | 120 | |
Southern California Edison Co. | 5.950% | 2/1/38 | 12,915 | 12,797 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 14,228 | 11,964 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 1,704 | 1,324 | ||
Southern California Edison Co. | 3.900% | 3/15/43 | 21,775 | 16,531 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 21,739 | 18,303 | ||
Southern California Edison Co. | 3.600% | 2/1/45 | 3,837 | 2,727 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 41,120 | 30,814 | ||
Southern California Edison Co. | 4.125% | 3/1/48 | 40,632 | 30,952 | ||
Southern California Edison Co. | 4.875% | 3/1/49 | 3,435 | 2,912 | ||
Southern California Edison Co. | 3.650% | 2/1/50 | 12,650 | 8,793 | ||
Southern California Edison Co. | 2.950% | 2/1/51 | 1,505 | 916 | ||
Southern California Edison Co. | 3.450% | 2/1/52 | 23,965 | 15,962 | ||
Southern California Edison Co. | 5.450% | 6/1/52 | 23,110 | 21,230 | ||
Southern California Edison Co. | 5.875% | 12/1/53 | 16,812 | 16,375 | ||
Southern California Edison Co. | 5.750% | 4/15/54 | 8,230 | 7,918 | ||
Southern California Gas Co. | 5.125% | 11/15/40 | 1,870 | 1,727 | ||
Southern California Gas Co. | 4.125% | 6/1/48 | 30,835 | 23,439 | ||
Southern California Gas Co. | 4.300% | 1/15/49 | 15,075 | 11,799 | ||
Southern California Gas Co. | 5.750% | 6/1/53 | 15,610 | 15,094 | ||
Southern California Gas Co. | 5.600% | 4/1/54 | 11,695 | 11,113 | ||
Southwestern Public Service Co. | 4.500% | 8/15/41 | 18,975 | 15,451 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 20,540 | 14,057 | ||
Southwestern Public Service Co. | 3.150% | 5/1/50 | 10,750 | 6,710 | ||
Tampa Electric Co. | 3.450% | 3/15/51 | 2,000 | 1,316 | ||
Tampa Electric Co. | 5.000% | 7/15/52 | 1,380 | 1,198 | ||
Tucson Electric Power Co. | 3.250% | 5/1/51 | 20,000 | 12,786 | ||
Tucson Electric Power Co. | 5.500% | 4/15/53 | 12,165 | 11,420 | ||
Union Electric Co. | 3.900% | 9/15/42 | 4,326 | 3,400 | ||
Union Electric Co. | 4.000% | 4/1/48 | 21,550 | 16,306 | ||
Union Electric Co. | 3.250% | 10/1/49 | 2,025 | 1,335 | ||
Union Electric Co. | 3.900% | 4/1/52 | 1,500 | 1,121 | ||
Union Electric Co. | 5.450% | 3/15/53 | 2,210 | 2,075 | ||
Union Electric Co. | 5.250% | 1/15/54 | 7,660 | 6,980 | ||
Virginia Electric & Power Co. | 5.700% | 8/15/53 | 13,080 | 12,753 | ||
Virginia Electric and Power Co. | 6.000% | 5/15/37 | 52,203 | 52,455 | ||
Virginia Electric and Power Co. | 6.350% | 11/30/37 | 1,944 | 2,016 | ||
Virginia Electric and Power Co. | 8.875% | 11/15/38 | 920 | 1,176 | ||
Virginia Electric and Power Co. | 4.450% | 2/15/44 | 15,490 | 12,828 | ||
Virginia Electric and Power Co. | 4.200% | 5/15/45 | 2,000 | 1,583 | ||
Virginia Electric and Power Co. | 4.000% | 11/15/46 | 8,725 | 6,625 | ||
Virginia Electric and Power Co. | 3.800% | 9/15/47 | 34,972 | 25,386 | ||
Virginia Electric and Power Co. | 4.600% | 12/1/48 | 7,310 | 6,035 | ||
Virginia Electric and Power Co. | 3.300% | 12/1/49 | 1,400 | 929 | ||
Virginia Electric and Power Co. | 2.450% | 12/15/50 | 19,151 | 10,465 | ||
Virginia Electric and Power Co. | 2.950% | 11/15/51 | 26,662 | 16,236 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Virginia Electric and Power Co. | 4.625% | 5/15/52 | 20,570 | 16,937 | ||
Virginia Electric and Power Co. | 5.450% | 4/1/53 | 16,222 | 15,160 | ||
Virginia Electric and Power Co. | 5.350% | 1/15/54 | 2,790 | 2,585 | ||
Wisconsin Public Service Corp. | 3.300% | 9/1/49 | 4,034 | 2,689 | ||
5 | Yorkshire Water Finance plc | 2.750% | 4/18/41 | 500 | 399 | |
2,203,128 | ||||||
Total Corporate Bonds (Cost $14,581,797) | 11,942,070 | |||||
Floating Rate Loan Interests (0.0%) | ||||||
8 | American Airlines Inc. Term Loan, TSFR3M + 4.750% (Cost $3) | 10.336% | 4/20/28 | 3 | 3 | |
Sovereign Bonds (1.6%) | ||||||
6 | CDP Financial Inc. | 5.600% | 11/25/39 | 1,500 | 1,522 | |
6 | Emirate of Abu Dhabi | 5.500% | 4/30/54 | 7,825 | 7,588 | |
7 | European Union | 2.625% | 2/4/48 | 14,200 | 13,385 | |
7 | European Union | 3.000% | 3/4/53 | 12,920 | 12,740 | |
6 | Kingdom of Saudi Arabia | 5.000% | 1/18/53 | 18,890 | 15,963 | |
6 | Kingdom of Saudi Arabia | 5.750% | 1/16/54 | 14,585 | 13,605 | |
6 | OMERS Finance Trust | 4.000% | 4/19/52 | 14,000 | 10,567 | |
Republic of Chile | 3.100% | 5/7/41 | 34,285 | 24,015 | ||
Republic of Chile | 3.500% | 1/25/50 | 10,784 | 7,396 | ||
Republic of Chile | 3.500% | 4/15/53 | 17,590 | 12,001 | ||
Republic of Chile | 5.330% | 1/5/54 | 24,235 | 22,021 | ||
Republic of Chile | 3.100% | 1/22/61 | 24,795 | 14,483 | ||
Republic of Chile | 3.250% | 9/21/71 | 24,130 | 14,109 | ||
3 | Republic of Panama | 3.870% | 7/23/60 | 7,712 | 4,240 | |
Republic of Panama | 4.500% | 1/19/63 | 1,330 | 812 | ||
Republic of Poland | 5.500% | 3/18/54 | 20,945 | 19,690 | ||
State of Israel | 5.750% | 3/12/54 | 45,535 | 41,056 | ||
United Mexican States | 4.400% | 2/12/52 | 9,731 | 7,005 | ||
United Mexican States | 6.400% | 5/7/54 | 1,173 | 1,106 | ||
Total Sovereign Bonds (Cost $291,666) | 243,304 | |||||
Taxable Municipal Bonds (8.6%) | ||||||
American Municipal Power Inc. Electric Power & Light Revenue | 6.270% | 2/15/50 | 39,426 | 40,498 | ||
Bay Area Toll Authority Highway Revenue | 6.918% | 4/1/40 | 23,745 | 25,996 | ||
Bay Area Toll Authority Highway Revenue | 6.263% | 4/1/49 | 13,365 | 13,951 | ||
California GO | 5.125% | 3/1/38 | 2,300 | 2,234 | ||
California GO | 4.600% | 4/1/38 | 21,195 | 19,637 | ||
California GO | 7.550% | 4/1/39 | 6,500 | 7,640 | ||
California GO | 7.300% | 10/1/39 | 21,336 | 24,142 | ||
California GO | 7.350% | 11/1/39 | 1,000 | 1,137 | ||
California GO | 7.625% | 3/1/40 | 3,770 | 4,413 | ||
California GO | 7.600% | 11/1/40 | 60,685 | 71,681 | ||
California GO | 5.875% | 10/1/41 | 12,060 | 12,316 | ||
California GO | 5.200% | 3/1/43 | 13,435 | 12,756 | ||
California Health Facilities Financing Authority Intergovernmental Agreement Revenue | 4.353% | 6/1/41 | 1,950 | 1,706 | ||
California State Public Works Board Lease (Abatement) Revenue | 8.361% | 10/1/34 | 1,066 | 1,259 | ||
California State University College & University Revenue | 3.899% | 11/1/47 | 1,620 | 1,295 | ||
California State University College & University Revenue | 2.975% | 11/1/51 | 27,825 | 18,178 | ||
California State University College & University Revenue | 2.719% | 11/1/52 | 10,925 | 6,990 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 43,828 | 47,781 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue | 6.899% | 12/1/40 | 9,082 | 9,901 | ||
Commonwealth Financing Authority Appropriations Revenue | 4.144% | 6/1/38 | 17,060 | 15,209 | ||
Commonwealth Financing Authority Appropriations Revenue (Plancon Program) | 3.864% | 6/1/38 | 19,285 | 16,900 | ||
Commonwealth of Massachusetts GO | 5.456% | 12/1/39 | 1,265 | 1,247 | ||
Commonwealth of Massachusetts GO | 2.900% | 9/1/49 | 6,540 | 4,374 | ||
Dallas Area Rapid Transit Sales Tax Revenue | 5.999% | 12/1/44 | 189 | 194 | ||
Dallas Area Rapid Transit Sales Tax Revenue | 2.613% | 12/1/48 | 25,470 | 16,720 | ||
Dallas County Hospital District GO | 5.621% | 8/15/44 | 1,100 | 1,077 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 2.843% | 11/1/46 | 16,740 | 11,640 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 4.087% | 11/1/51 | 2,160 | 1,747 | ||
Dallas Fort Worth International Airport Port, Airport & Marina Revenue | 4.507% | 11/1/51 | 6,905 | 5,976 | ||
District of Columbia Water & Sewer Authority Water Revenue | 4.814% | 10/1/14 | 1,944 | 1,661 | ||
Duke University College & University Revenue | 5.850% | 4/1/37 | 29,490 | 30,588 | ||
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.637% | 4/1/57 | 890 | 954 | ||
Georgia Municipal Electric Authority Electric Power & Light Revenue | 6.655% | 4/1/57 | 320 | 346 | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue | 4.214% | 6/1/50 | 26,160 | 18,839 | ||
Grand Parkway Transportation Corp. Highway Revenue | 5.184% | 10/1/42 | 1,420 | 1,376 | ||
Grand Parkway Transportation Corp. Highway Revenue | 3.236% | 10/1/52 | 2,690 | 1,859 | ||
Houston TX GO | 3.961% | 3/1/47 | 1,500 | 1,233 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.727% | 4/15/37 | 2,417 | 2,292 | ||
Kansas Development Finance Authority Appropriations Revenue | 4.927% | 4/15/45 | 20,480 | 18,912 | ||
9 | Kansas Development Finance Authority Appropriations Revenue | 2.774% | 5/1/51 | 14,225 | 9,377 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue | 5.735% | 6/1/39 | 15,020 | 15,028 | ||
Los Angeles Department of Water & Power Electric Power & Light Revenue | 6.574% | 7/1/45 | 1,500 | 1,621 | ||
Los Angeles Department of Water & Power Water Revenue | 6.603% | 7/1/50 | 1,849 | 2,036 | ||
Los Angeles Department of Water & Power Water System Water Revenue | 6.008% | 7/1/39 | 1,136 | 1,164 | ||
3 | Louisiana Local Government Environmental Facilities & Community Development Authority Intergovernmental Agreement Revenue | 5.198% | 12/1/39 | 2,300 | 2,240 | |
Maryland Health & Higher Educational Facilities Authority Health, Hospital, Nursing Home Revenue | 3.052% | 7/1/40 | 1,165 | 845 | ||
Massachusetts Water Resources Authority Water Revenue | 2.823% | 8/1/41 | 16,390 | 12,336 | ||
Metropolitan Transportation Authority Fuel Sales Tax Revenue | 6.089% | 11/15/40 | 3,833 | 3,926 | ||
Metropolitan Transportation Authority Miscellaneous Taxes Revenue | 7.336% | 11/15/39 | 52,780 | 60,574 | ||
Metropolitan Transportation Authority Transit Revenue | 5.871% | 11/15/39 | 210 | 207 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Metropolitan Transportation Authority Transit Revenue | 6.814% | 11/15/40 | 750 | 799 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 1,405 | 1,405 | ||
Metropolitan Transportation Authority Transit Revenue | 5.175% | 11/15/49 | 120 | 104 | ||
Michigan Finance Authority Health, Hospital, Nursing Home Revenue | 3.384% | 12/1/40 | 3,230 | 2,526 | ||
Michigan Strategic Fund Lease (Appropriation) Revenue | 3.225% | 9/1/47 | 8,310 | 6,056 | ||
New Jersey Turnpike Authority Highway Revenue | 7.414% | 1/1/40 | 3,607 | 4,131 | ||
New Jersey Turnpike Authority Highway Revenue | 7.102% | 1/1/41 | 40,361 | 45,042 | ||
New York City Municipal Water Finance Authority Water Revenue | 5.724% | 6/15/42 | 12,711 | 12,533 | ||
New York City Municipal Water Finance Authority Water Revenue | 5.952% | 6/15/42 | 18,114 | 18,336 | ||
New York City Municipal Water Finance Authority Water Revenue | 6.011% | 6/15/42 | 6,843 | 6,970 | ||
New York City Municipal Water Finance Authority Water Revenue | 5.440% | 6/15/43 | 1,200 | 1,140 | ||
New York City Municipal Water Finance Authority Water Revenue | 5.882% | 6/15/44 | 27,580 | 27,623 | ||
New York City Transitional Finance Authority Future Tax Secured Sales Tax Revenue | 5.508% | 8/1/37 | 2,859 | 2,804 | ||
New York NY GO | 5.590% | 3/1/35 | 947 | 943 | ||
New York NY GO | 6.271% | 12/1/37 | 550 | 575 | ||
New York NY GO | 5.263% | 10/1/52 | 10,670 | 10,545 | ||
New York NY GO | 5.828% | 10/1/53 | 22,280 | 23,705 | ||
New York State Dormitory Authority Income Tax Revenue | 5.628% | 3/15/39 | 15,919 | 15,776 | ||
New York State Dormitory Authority Income Tax Revenue | 5.600% | 3/15/40 | 189 | 186 | ||
North Texas Tollway Authority Highway Revenue | 6.718% | 1/1/49 | 22,942 | 25,785 | ||
Ohio State University College & University Revenue | 4.910% | 6/1/40 | 13,800 | 12,979 | ||
Ohio State University College & University Revenue | 4.800% | 6/1/11 | 17,638 | 14,926 | ||
Pennsylvania State University College & University Revenue | 2.790% | 9/1/43 | 1,000 | 700 | ||
Permanent University Fund - Texas A&M University System College & University Revenue | 3.100% | 7/1/49 | 565 | 401 | ||
Permanent University Fund - University of Texas System College & University Revenue | 5.262% | 7/1/39 | 11,500 | 11,188 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.647% | 11/1/40 | 15,253 | 15,712 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.647% | 11/1/40 | 10,176 | 10,492 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.926% | 10/1/51 | 25,005 | 22,954 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 5.072% | 7/15/53 | 5,730 | 5,454 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 4.458% | 10/1/62 | 46,790 | 39,904 | ||
Port Authority of New York & New Jersey Port, Airport & Marina Revenue | 3.287% | 8/1/69 | 32,798 | 21,202 | ||
Rutgers State University of New Jersey College & University Revenue | 3.915% | 5/1/19 | 44,030 | 29,631 | ||
Sacramento Municipal Utility District Electric Power & Light Revenue | 6.156% | 5/15/36 | 857 | 890 | ||
Sales Tax Securitization Corp. Intergovernmental Agreement Revenue | 3.238% | 1/1/42 | 25,400 | 19,603 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Sales Tax Securitization Corp. Sales Tax Revenue | 4.637% | 1/1/40 | 14,900 | 13,728 | ||
Sales Tax Securitization Corp. Sales Tax Revenue | 3.587% | 1/1/43 | 36,460 | 29,547 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 5.985% | 2/1/39 | 10,450 | 10,635 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 5.808% | 2/1/41 | 1,000 | 994 | ||
San Antonio TX Electric & Gas Systems Electric Power & Light Revenue | 4.427% | 2/1/42 | 1,326 | 1,215 | ||
San Diego County Regional Airport Authority Port, Airport & Marina Revenue | 5.594% | 7/1/43 | 717 | 686 | ||
San Francisco CA Public Utilities Commission Water Revenue | 6.950% | 11/1/50 | 1,326 | 1,471 | ||
10 | San Joaquin Hills Transportation Corridor Agency Highway Revenue | 3.492% | 1/15/50 | 3,975 | 2,903 | |
Texas GO | 5.517% | 4/1/39 | 3,500 | 3,509 | ||
3 | Texas Natural Gas Securitization Finance Corp. Natural Gas Revenue | 5.169% | 4/1/41 | 3,450 | 3,363 | |
Texas Private Activity Bond Surface Transportation Corp. Highway Revenue | 3.922% | 12/31/49 | 4,150 | 3,265 | ||
Texas Transportation Commission GO | 2.472% | 10/1/44 | 8,625 | 5,696 | ||
University of California College & University Revenue | 3.931% | 5/15/45 | 17,840 | 15,884 | ||
University of California College & University Revenue | 4.858% | 5/15/12 | 32,223 | 27,498 | ||
University of California College & University Revenue | 4.767% | 5/15/15 | 12,000 | 10,048 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.548% | 5/15/48 | 8,918 | 9,589 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 6.583% | 5/15/49 | 852 | 919 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.006% | 5/15/50 | 32,500 | 21,249 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 4.563% | 5/15/53 | 9,765 | 8,409 | ||
University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue | 3.706% | 5/15/20 | 790 | 501 | ||
University of Michigan College & University Revenue | 2.437% | 4/1/40 | 1,500 | 1,055 | ||
University of Michigan College & University Revenue | 3.599% | 4/1/47 | 26,363 | 21,334 | ||
University of Michigan College & University Revenue | 3.504% | 4/1/52 | 19,835 | 14,711 | ||
University of Michigan College & University Revenue | 3.504% | 4/1/52 | 14,898 | 11,050 | ||
University of Minnesota College & University Revenue | 4.048% | 4/1/52 | 21,515 | 17,568 | ||
University of Texas System Regents College & University Revenue | 4.794% | 8/15/46 | 8,915 | 8,300 | ||
University of Virginia College & University Revenue | 2.256% | 9/1/50 | 17,580 | 9,993 | ||
University of Virginia College & University Revenue | 2.584% | 11/1/51 | 2,025 | 1,230 | ||
University of Virginia College & University Revenue | 3.227% | 9/1/19 | 35,640 | 20,467 | ||
Wisconsin Appropriations Revenue | 3.954% | 5/1/36 | 3,364 | 3,022 | ||
Total Taxable Municipal Bonds (Cost $1,456,142) | 1,278,868 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (2.6%) | ||||||
Money Market Fund (0.6%) | ||||||
11 | Vanguard Market Liquidity Fund | 5.394% | 849,144 | 84,906 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (2.0%) | ||||||
Bank of America Securities LLC (Dated 4/30/24, Repurchase Value $39,806,000, collateralized by Fannie Mae 2.125%–3.910%, 4/24/26–3/1/50, Ginnie Mae 6.052%, 8/20/72, and U.S. Treasury Note/Bond 0.875%, 6/30/26, with a value of $40,596,000) | 5.320% | 5/1/24 | 39,800 | 39,800 | ||
Barclays Capital Inc. (Dated 4/30/24, Repurchase Value $60,509,000, collateralized by U.S. Treasury Note/Bond 1.250%, 6/30/28, with a value of $61,710,000) | 5.300% | 5/1/24 | 60,500 | 60,500 | ||
Citigroup Global Markets Inc. (Dated 4/30/24, Repurchase Value $61,409,000, collateralized by U.S. Treasury Note/Bond 2.000%, 5/31/24, with a value of $62,628,000) | 5.310% | 5/1/24 | 61,400 | 61,400 | ||
JP Morgan Securities LLC (Dated 4/30/24, Repurchase Value $12,002,000, collateralized by U.S. Treasury Bill 0.000%, 6/13/24, with a value of $12,240,000) | 5.310% | 5/1/24 | 12,000 | 12,000 | ||
RBC Capital Markets LLC (Dated 4/30/24, Repurchase Value $68,110,000, collateralized by Freddie Mac 7.000%, 12/1/53, U.S. Treasury Bill 0.000%, 10/17/24, and U.S. Treasury Note/Bond 4.375%, 8/31/28, with a value of $69,462,000) | 5.300% | 5/1/24 | 68,100 | 68,100 | ||
Wells Fargo & Co. (Dated 4/30/24, Repurchase Value $55,708,000, collateralized by Federal Home Loan Bank 0.000%, 5/13/24, with a value of $56,814,000) | 5.320% | 5/1/24 | 55,700 | 55,700 | ||
297,500 | ||||||
Total Temporary Cash Investments (Cost $382,403) | 382,406 | |||||
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | |||
Options Purchased (0.0%) | ||||||
Over-the-Counter Swaptions (0.0%) | ||||||
Call Swaptions | ||||||
10-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.548% Annually | NGFP | 6/26/24 | 3.548% | 8,350 | 5 | |
2-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.750% Annually | BANA | 5/22/24 | 3.750% | 14,200 | — | |
2-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.750% Annually | BANA | 5/22/24 | 3.750% | 14,400 | — | |
2-Year Interest Rate Swap, Pays SOFR Annually, Receives 4.350% Annually | BANA | 5/22/24 | 4.350% | 14,200 | 2 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | ||
2-Year Interest Rate Swap, Pays SOFR Annually, Receives 4.350% Annually | BANA | 5/22/24 | 4.350% | 14,400 | 2 | |
9 | ||||||
Put Swaptions | ||||||
10-Year Interest Rate Swap, Receives SOFR Annually, Pays 4.353% Annually | NGFP | 6/26/24 | 4.353% | 12,525 | 141 | |
5-Year CDX-NA-IG-S41-V1, Credit Protection Purchased, Pays 1.000% Quarterly | BANA | 5/15/24 | 0.575% | 60,200 | 3 | |
5-Year CDX-NA-IG-S42-V1, Credit Protection Purchased, Pays 1.000% Quarterly | GSI | 7/17/24 | 0.550% | 59,170 | 118 | |
5-Year CDX-NA-IG-S42-V1, Credit Protection Purchased, Pays 1.000% Quarterly | JPMC | 7/17/24 | 0.550% | 57,970 | 115 | |
377 | ||||||
Total Options Purchased (Cost $397) | 386 | |||||
Total Investments (98.9%) (Cost $17,689,359) | 14,743,200 | |||||
Other Assets and Liabilities—Net (1.1%) | 169,959 | |||||
Net Assets (100%) | 14,913,159 | |||||
Cost is in $000. |
1 | Securities with a value of $11,336,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $30,359,000 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 | Face amount denominated in British pounds. |
6 | 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 April 30, 2024, the aggregate value was $647,477,000, representing 4.3% of net assets. |
7 | Face amount denominated in euro. |
8 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
9 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
10 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
11 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
BANA—Bank of America, N.A. | |
DAC—Designated Activity Company. | |
GO—General Obligation Bond. | |
GSI—Goldman Sachs International. | |
JPMC—JPMorgan Chase Bank, N.A. | |
NGFP—Nomura Global Financial Products Inc. | |
SOFR—Secured Overnight Financing Rate. | |
TSFR3M—CME Term Secured Overnight Financing Rate 3-Month. | |
UMBS—Uniform Mortgage-Backed Securities. |
Derivative Financial Instruments Outstanding as of Period End
Options Written |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | |
Over-the-Counter Swaptions | |||||
Call Swaptions | |||||
2-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.950% Annually | BANA | 5/22/24 | 3.950% | 14,200 | — |
2-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.950% Annually | BANA | 5/22/24 | 3.950% | 14,400 | — |
2-Year Interest Rate Swap, Receives SOFR Annually, Pays 4.150% Annually | BANA | 5/22/24 | 4.150% | 14,200 | (1) |
2-Year Interest Rate Swap, Receives SOFR Annually, Pays 4.150% Annually | BANA | 5/22/24 | 4.150% | 14,400 | (1) |
(2) | |||||
Put Swaptions | |||||
10-Year Interest Rate Swap, Pays SOFR Annually, Receives 4.103% Annually | NGFP | 6/26/24 | 4.103% | 12,525 | (283) |
5-Year CDX-NA-IG-S42-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 7/17/24 | 0.750% | 59,180 | (30) |
(313) | |||||
Total Options Written (Premiums Received $70) | (315) |
BANA—Bank of America, N.A. |
GSI—Goldman Sachs International. |
NGFP—Nomura Global Financial Products Inc. |
SOFR—Secured Overnight Financing Rate. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | June 2024 | 143 | 28,980 | (32) |
5-Year U.S. Treasury Note | June 2024 | 46 | 4,818 | (15) |
10-Year U.S. Treasury Note | June 2024 | 21 | 2,256 | (50) |
Long U.S. Treasury Bond | June 2024 | 142 | 16,161 | (690) |
Ultra 10-Year U.S. Treasury Note | June 2024 | 3,990 | 439,773 | (9,987) |
Ultra Long U.S. Treasury Bond | June 2024 | 438 | 52,368 | (2,805) |
(13,579) |
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 | June 2024 | (33) | (6,688) | 35 |
10-Year U.S. Treasury Note | June 2024 | (585) | (62,851) | 1,118 |
10-Year Japanese Government Bond | June 2024 | (23) | (21,073) | 166 |
Euro-Bobl | June 2024 | (14) | (1,740) | 26 |
Euro-Bund | June 2024 | (57) | (7,913) | 132 |
Euro-Buxl | June 2024 | (186) | (25,591) | 861 |
Euro-Schatz | June 2024 | (1) | (112) | 1 |
Long Gilt | June 2024 | (28) | (3,351) | 52 |
Long U.S. Treasury Bond | June 2024 | (755) | (85,928) | 2,852 |
Ultra Long U.S. Treasury Bond | June 2024 | (891) | (106,530) | 7,578 |
12,821 | ||||
(758) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
State Street Bank & Trust Co. | 6/6/24 | EUR | 549 | USD | 590 | — | (2) |
BNP Paribas | 6/6/24 | EUR | 155 | USD | 166 | — | — |
BNP Paribas | 6/6/24 | JPY | 13,571 | USD | 87 | — | (1) |
Bank of America, N.A. | 6/6/24 | JPY | 7,316 | USD | 48 | — | (1) |
Barclays Bank plc | 6/6/24 | USD | 164 | AUD | 254 | — | — |
State Street Bank & Trust Co. | 6/6/24 | USD | 37,030 | EUR | 34,664 | — | (19) |
Bank of Montreal | 6/6/24 | USD | 454 | EUR | 424 | 1 | — |
State Street Bank & Trust Co. | 6/6/24 | USD | 322 | EUR | 300 | 2 | — |
BNP Paribas | 6/6/24 | USD | 284 | EUR | 264 | 1 | — |
JPMorgan Chase Bank, N.A. | 6/6/24 | USD | 2,325 | GBP | 1,876 | — | (20) |
Royal Bank of Canada | 6/6/24 | USD | 256 | GBP | 206 | — | (1) |
4 | (44) |
AUD—Australian dollar. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
USD—U.S. dollar. |
At April 30, 2024, the counterparties had deposited in segregated accounts securities with a value of $39,000 in connection with open forward currency contracts.
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-S42-V1 | 6/21/29 | USD | 1,176,700 | 1.000 | 26,220 | (139) |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and other 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 by methods deemed 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. Floating Rate Loan Interests: Floating rate loan interests represent interests in amounts owed by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the fund to supply additional cash to the borrower on demand. Floating rate loan interests may be made directly with a borrower or acquired through assignment or participation. The fund’s right to enforce a borrower’s compliance with the terms of the loan agreement, or benefit directly from the collateral supporting the loan, varies when the loan is a direct borrowing, an assignment, or a participation. Floating rate loan interests involve various risks including risk of loss in case of default, insolvency, or the bankruptcy of the borrower and are generally subject to restrictions on transfer with limited opportunities to sell them in secondary markets. The fund may also invest in loan commitments, which are contractual obligations for a future funding. The fund may earn a commitment fee on any unfunded portion of these commitments which is amortized to interest income over the commitment period. Both the funded portion of a floating rate loan interest as well as its unfunded commitment, if any, is reflected on the Schedule of Investments.
D. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of
the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
E. Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund’s sensitivity to interest rates or to adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay either a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, and receive a different floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.
Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
F. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing
brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
G. 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. Risks associated with these types of forward currency 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).
H. 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.
I. 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 April 30, 2024, 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 | — | 858,912 | — | 858,912 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 37,251 | — | 37,251 |
Corporate Bonds | — | 11,942,070 | — | 11,942,070 |
Floating Rate Loan Interests | — | 3 | — | 3 |
Sovereign Bonds | — | 243,304 | — | 243,304 |
Taxable Municipal Bonds | — | 1,278,868 | — | 1,278,868 |
Temporary Cash Investments | 84,906 | 297,500 | — | 382,406 |
Options Purchased | — | 386 | — | 386 |
Total | 84,906 | 14,658,294 | — | 14,743,200 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 12,821 | — | — | 12,821 |
Forward Currency Contracts | — | 4 | — | 4 |
Total | 12,821 | 4 | — | 12,825 |
Liabilities | ||||
Options Written | — | 315 | — | 315 |
Futures Contracts1 | 13,579 | — | — | 13,579 |
Forward Currency Contracts | — | 44 | — | 44 |
Swap Contracts | 1391 | — | — | 139 |
Total | 13,718 | 359 | — | 14,077 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |